N-Q 1 main.htm Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited) Investments November 30, 2015 (Unaudited)

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)

Marc Bryant, Secretary

245 Summer St.

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

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:	August 31

Date of reporting period:	November 30, 2015

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Advisor Series Short-Term
Credit Fund

November 30, 2015

1.9863258.100

ASS1-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 67.0%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 5.0%
Automobiles - 2.6%
American Honda Finance Corp.:
0.95% 5/5/17	$ 715,000		$ 712,150
1.125% 10/7/16	272,000		272,642
Daimler Finance North America LLC:
1.375% 8/1/17 (c)	358,000		355,187
1.45% 8/1/16 (c)	311,000		311,517
1.65% 3/2/18 (c)	179,000		177,498
1.65% 5/18/18 (c)	500,000		494,330
General Motors Financial Co., Inc. 2.4% 4/10/18	799,000		795,550
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (c)	358,000		345,618
1.65% 5/22/18 (c)	500,000		472,464
Volkswagen International Finance NV 2.125% 11/20/18 (c)	500,000		471,453
			4,408,409
Media - 2.4%
CBS Corp. 2.3% 8/15/19	100,000		99,541
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (c)	200,000		201,035
COX Communications, Inc. 6.25% 6/1/18 (c)	89,000		96,078
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17	858,000		868,189
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (c)	1,000,000		1,002,977
Thomson Reuters Corp. 0.875% 5/23/16	95,000		94,999
Time Warner Cable, Inc. 5.85% 5/1/17	675,000		707,800
Time Warner, Inc. 6.875% 6/15/18	500,000		561,477
Viacom, Inc. 2.2% 4/1/19	179,000		176,364
Walt Disney Co. 1.1% 12/1/17	174,000		174,038
			3,982,498
TOTAL CONSUMER DISCRETIONARY			8,390,907
CONSUMER STAPLES - 4.7%
Beverages - 0.4%
Heineken NV 1.4% 10/1/17 (c)	99,000		98,807
SABMiller Holdings, Inc. 2.45% 1/15/17 (c)	476,000		480,598
			579,405
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food & Staples Retailing - 0.7%
CVS Health Corp.:
1.9% 7/20/18	$ 171,000		$ 171,992
2.25% 12/5/18	500,000		505,517
2.25% 8/12/19	500,000		502,562
Walgreens Boots Alliance, Inc. 1.75% 11/17/17	46,000		45,846
			1,225,917
Food Products - 2.0%
General Mills, Inc.:
0.875% 1/29/16	173,000		173,026
1.4% 10/20/17	447,000		446,988
5.7% 2/15/17	500,000		526,394
H.J. Heinz Co. 1.6% 6/30/17 (c)	350,000		350,346
The J.M. Smucker Co. 1.75% 3/15/18	1,116,000		1,113,058
Tyson Foods, Inc. 2.65% 8/15/19	679,000		683,913
William Wrigley Jr. Co. 1.4% 10/21/16 (c)	121,000		121,337
			3,415,062
Tobacco - 1.6%
BAT International Finance PLC:
1.85% 6/15/18 (c)	500,000		500,895
2.75% 6/15/20 (c)	500,000		506,389
Imperial Tobacco Finance PLC 2.05% 2/11/18 (c)	200,000		200,205
Philip Morris International, Inc. 1.25% 8/11/17	322,000		322,659
Reynolds American, Inc.:
2.3% 6/12/18	578,000		585,365
3.25% 6/12/20	235,000		240,742
6.75% 6/15/17	294,000		315,749
			2,672,004
TOTAL CONSUMER STAPLES			7,892,388
ENERGY - 5.6%
Energy Equipment & Services - 0.3%
Nabors Industries, Inc. 2.35% 9/15/16	102,000		101,761
Noble Holding International Ltd. 4% 3/16/18	12,000		11,334
Petrofac Ltd. 3.4% 10/10/18 (c)	322,000		314,936
			428,031
Oil, Gas & Consumable Fuels - 5.3%
BG Energy Capital PLC 2.875% 10/15/16 (c)	241,000		244,006
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
BP Capital Markets PLC:
1.375% 5/10/18	$ 1,195,000		$ 1,186,758
2.248% 11/1/16	236,000		238,714
2.521% 1/15/20	500,000		504,676
Canadian Natural Resources Ltd. 1.75% 1/15/18	74,000		72,691
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (c)	237,000		235,746
ConocoPhillips Co. 1.5% 5/15/18	1,370,000		1,362,099
Enbridge, Inc.:
0.779% 6/2/17 (d)	317,000		310,726
0.9755% 10/1/16 (d)	447,000		444,054
Enterprise Products Operating LP:
1.65% 5/7/18	424,000		418,463
2.55% 10/15/19	35,000		34,587
Marathon Petroleum Corp. 3.5% 3/1/16	304,000		305,895
Petro-Canada 6.05% 5/15/18	179,000		194,523
Petrobras Global Finance BV:
2% 5/20/16	358,000		351,628
3.25% 3/17/17	268,000		250,580
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	206,000		204,970
Petroleos Mexicanos 3.125% 1/23/19	30,000		29,654
Phillips 66 Co. 2.95% 5/1/17	116,000		118,217
Schlumberger Investment SA 1.25% 8/1/17 (c)	268,000		266,528
Shell International Finance BV 2.125% 5/11/20	266,000		265,129
Southwestern Energy Co. 3.3% 1/23/18	69,000		65,904
Spectra Energy Partners, LP 2.95% 6/15/16	56,000		56,392
Total Capital International SA 1% 1/10/17	537,000		536,661
TransCanada PipeLines Ltd.:
1.0066% 6/30/16 (d)	716,000		715,795
1.625% 11/9/17	200,000		199,560
1.875% 1/12/18	358,000		358,217
			8,972,173
TOTAL ENERGY			9,400,204
FINANCIALS - 32.5%
Banks - 15.3%
Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (c)	208,000		206,960
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Bank of America Corp.:
2% 1/11/18	$ 2,191,000		$ 2,199,508
2.6% 1/15/19	4,350,000		4,398,027
Bank of Montreal 1.4% 4/10/18	700,000		695,417
Bank of Nova Scotia 1.375% 12/18/17	191,000		190,350
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1% 2/26/16 (c)	393,000		393,436
1.45% 9/8/17 (c)	250,000		248,000
1.55% 9/9/16 (c)	205,000		205,849
1.7% 3/5/18 (c)	358,000		355,513
Barclays Bank PLC 5% 9/22/16	358,000		369,225
Barclays PLC 2% 3/16/18	850,000		846,949
BNP Paribas 2.375% 9/14/17	370,000		374,044
Capital One NA 2.35% 8/17/18	500,000		500,242
Citigroup, Inc.:
1.2799% 7/25/16 (d)	358,000		358,882
1.3% 11/15/16	314,000		314,478
1.55% 8/14/17	895,000		893,449
1.7% 4/27/18	500,000		497,897
1.8% 2/5/18	351,000		350,795
1.85% 11/24/17	179,000		179,087
2.15% 7/30/18	300,000		301,776
2.4% 2/18/20	241,000		240,318
2.5% 9/26/18	300,000		304,359
2.5% 7/29/19	175,000		176,525
Citizens Bank NA:
1.6% 12/4/17	358,000		354,220
2.45% 12/4/19	270,000		266,292
Commonwealth Bank of Australia 1.125% 3/13/17	384,000		383,866
Credit Suisse New York Branch:
0.8967% 5/26/17 (d)	358,000		356,746
1.375% 5/26/17	895,000		892,754
1.7% 4/27/18	350,000		348,993
1.75% 1/29/18	358,000		357,634
Discover Bank:
2% 2/21/18	447,000		444,820
2.6% 11/13/18	500,000		501,826
Fifth Third Bancorp 4.5% 6/1/18	223,000		235,886
Fifth Third Bank 2.15% 8/20/18	228,000		229,468
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
HSBC U.S.A., Inc.:
1.5% 11/13/17	$ 179,000		$ 178,408
1.7% 3/5/18	216,000		215,575
Intesa Sanpaolo SpA 2.375% 1/13/17	447,000		449,056
JPMorgan Chase & Co. 2% 8/15/17	358,000		360,432
La Caisse Centrale 1.75% 1/29/18 (c)	268,000		266,322
Lloyds Bank PLC 1.75% 3/16/18	268,000		267,900
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (c)	268,000		266,720
Mizuho Bank Ltd.:
0.7755% 9/25/17 (c)(d)	358,000		356,820
1.55% 10/17/17 (c)	587,000		584,453
MUFG Americas Holdings Corp. 1.625% 2/9/18	51,000		50,693
Nordea Bank AB 1.875% 9/17/18 (c)	200,000		199,561
Regions Financial Corp. 2% 5/15/18	496,000		493,902
Royal Bank of Canada 2.2% 7/27/18	179,000		181,066
Royal Bank of Scotland Group PLC 1.2666% 3/31/17 (d)	393,000		392,586
Sumitomo Mitsui Banking Corp.:
1.3% 1/10/17	447,000		446,177
1.75% 1/16/18	358,000		357,215
SunTrust Banks, Inc. 3.5% 1/20/17	259,000		264,571
Wells Fargo & Co. 2.15% 1/15/19	1,000,000		1,006,353
Westpac Banking Corp. 2% 8/14/17	402,000		405,658
			25,717,059
Capital Markets - 7.7%
Deutsche Bank AG London Branch 1.4% 2/13/17	895,000		891,545
Goldman Sachs Group, Inc.:
1.748% 9/15/17	626,000		625,753
2.375% 1/22/18	1,893,000		1,917,181
2.55% 10/23/19	180,000		181,757
2.625% 1/31/19	268,000		272,855
JPMorgan Chase & Co. 1.7% 3/1/18	4,179,000		4,174,391
Lazard Group LLC 6.85% 6/15/17	5,000		5,333
Morgan Stanley:
1.875% 1/5/18	2,179,000		2,187,605
5.45% 1/9/17	608,000		635,186
UBS AG Stamford Branch:
1.0264% 3/26/18 (d)	1,000,000		998,091
1.375% 6/1/17	500,000		498,426
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
UBS AG Stamford Branch: - continued
1.375% 8/14/17	$ 352,000		$ 350,705
1.8% 3/26/18	256,000		256,280
			12,995,108
Consumer Finance - 3.9%
American Express Credit Corp.:
1.125% 6/5/17	447,000		445,248
2.8% 9/19/16	173,000		175,555
Discover Financial Services 6.45% 6/12/17	563,000		599,448
Ford Motor Credit Co. LLC:
1.684% 9/8/17	358,000		354,792
2.145% 1/9/18	1,858,000		1,851,497
2.24% 6/15/18	701,000		696,967
3% 6/12/17	528,000		534,400
Hyundai Capital America:
1.45% 2/6/17 (c)	250,000		248,942
2% 3/19/18 (c)	179,000		177,361
2.125% 10/2/17 (c)	265,000		264,450
2.875% 8/9/18 (c)	127,000		128,684
John Deere Capital Corp.:
1.3% 3/12/18	1,000,000		993,247
1.6% 7/13/18	65,000		64,988
Synchrony Financial 1.875% 8/15/17	42,000		41,902
			6,577,481
Diversified Financial Services - 0.5%
AIG Global Funding 1.65% 12/15/17 (c)	268,000		268,445
Berkshire Hathaway Finance Corp. 1.6% 5/15/17	238,000		239,906
Berkshire Hathaway, Inc. 1.55% 2/9/18	198,000		198,542
IntercontinentalExchange, Inc. 2.75% 12/1/20	58,000		58,190
McGraw Hill Financial, Inc. 2.5% 8/15/18 (c)	116,000		116,794
			881,877
Insurance - 3.7%
ACE INA Holdings, Inc. 2.3% 11/3/20	112,000		111,282
AFLAC, Inc. 2.4% 3/16/20	500,000		502,674
American International Group, Inc.:
2.3% 7/16/19	432,000		432,086
5.85% 1/16/18	221,000		239,616
Aon Corp.:
3.125% 5/27/16	223,000		225,409
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Aon Corp.: - continued
5% 9/30/20	$ 170,000		$ 186,910
Assurant, Inc. 2.5% 3/15/18	600,000		604,144
Marsh & McLennan Companies, Inc. 2.55% 10/15/18	210,000		212,787
MetLife, Inc.:
1.756% 12/15/17 (d)	83,000		83,334
1.903% 12/15/17 (d)	36,000		36,230
Metropolitan Life Global Funding I:
1.3% 4/10/17 (c)	716,000		717,339
1.5% 1/10/18 (c)	458,000		456,871
New York Life Global Funding 1.55% 11/2/18 (c)	330,000		328,118
Pricoa Global Funding I:
1.15% 11/25/16 (c)	196,000		196,181
1.9% 9/21/18 (c)	300,000		300,410
Principal Life Global Funding II:
2.2% 4/8/20 (c)	430,000		426,614
2.25% 10/15/18 (c)	500,000		504,217
Prudential Financial, Inc. 2.3% 8/15/18	565,000		569,871
TIAA Asset Management Finance LLC 2.95% 11/1/19 (c)	51,000		51,417
			6,185,510
Real Estate Investment Trusts - 0.8%
Boston Properties, Inc. 3.7% 11/15/18	500,000		519,709
DDR Corp. 9.625% 3/15/16	59,000		60,355
ERP Operating LP 2.375% 7/1/19	114,000		114,417
Health Care REIT, Inc.:
2.25% 3/15/18	61,000		60,974
4.7% 9/15/17	500,000		523,992
Select Income REIT 2.85% 2/1/18	86,000		86,054
			1,365,501
Real Estate Management & Development - 0.6%
Brandywine Operating Partnership LP 6% 4/1/16	300,000		304,320
Mack-Cali Realty LP 2.5% 12/15/17	137,000		135,966
Ventas Realty LP:
1.25% 4/17/17	88,000		87,472
1.55% 9/26/16	51,000		51,162
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	$ 124,000		$ 123,883
Washington Prime Group LP 3.85% 4/1/20	259,000		262,270
			965,073
TOTAL FINANCIALS			54,687,609
HEALTH CARE - 4.4%
Biotechnology - 1.7%
AbbVie, Inc.:
1.75% 11/6/17	333,000		334,174
1.8% 5/14/18	962,000		960,897
2.5% 5/14/20	273,000		271,304
Amgen, Inc.:
1.25% 5/22/17	356,000		355,070
2.2% 5/22/19	750,000		749,609
Celgene Corp. 2.125% 8/15/18	168,000		168,619
			2,839,673
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 1.8% 12/15/17	246,000		246,549
Medtronic, Inc. 1.5% 3/15/18	296,000		296,992
Zimmer Biomet Holdings, Inc. 2% 4/1/18	340,000		339,189
			882,730
Health Care Providers & Services - 0.5%
Cardinal Health, Inc. 1.95% 6/15/18	51,000		51,065
Express Scripts Holding Co. 1.25% 6/2/17	445,000		442,540
UnitedHealth Group, Inc. 1.9% 7/16/18	326,000		328,658
WellPoint, Inc. 1.875% 1/15/18	115,000		115,304
			937,567
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	55,000		54,886
2.15% 12/14/18	83,000		82,998
			137,884
Pharmaceuticals - 1.6%
Actavis Funding SCS:
1.416% 3/12/18 (d)	447,000		448,383
2.35% 3/12/18	858,000		865,791
3% 3/12/20	149,000		150,875
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
Bayer U.S. Finance LLC 1.5% 10/6/17 (c)	$ 372,000		$ 372,469
Mylan, Inc. 1.35% 11/29/16	65,000		64,587
Zoetis, Inc.:
1.15% 2/1/16	175,000		175,064
1.875% 2/1/18	531,000		526,557
3.45% 11/13/20	47,000		47,371
			2,651,097
TOTAL HEALTH CARE			7,448,951
INDUSTRIALS - 0.9%
Aerospace & Defense - 0.4%
L-3 Communications Corp. 1.5% 5/28/17	177,000		173,703
Lockheed Martin Corp. 1.85% 11/23/18	500,000		500,679
			674,382
Industrial Conglomerates - 0.4%
Danaher Corp. 1.65% 9/15/18	396,000		396,653
Roper Industries, Inc. 2.05% 10/1/18	214,000		212,700
			609,353
Trading Companies & Distributors - 0.1%
Air Lease Corp.:
2.125% 1/15/18	88,000		86,698
2.625% 9/4/18	180,000		178,493
			265,191
TOTAL INDUSTRIALS			1,548,926
INFORMATION TECHNOLOGY - 1.3%
Electronic Equipment & Components - 0.6%
Amphenol Corp. 1.55% 9/15/17	304,000		303,207
Tyco Electronics Group SA:
2.375% 12/17/18	40,000		40,188
6.55% 10/1/17	604,000		656,770
			1,000,165
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
IT Services - 0.4%
The Western Union Co.:
2.875% 12/10/17	$ 199,000		$ 202,119
3.65% 8/22/18	388,000		399,389
			601,508
Technology Hardware, Storage & Peripherals - 0.3%
Hewlett Packard Enterprise Co. 2.85% 10/5/18 (c)	500,000		501,709
TOTAL INFORMATION TECHNOLOGY			2,103,382
MATERIALS - 1.5%
Chemicals - 1.2%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (c)	1,120,000		1,110,738
Ecolab, Inc.:
1.45% 12/8/17	106,000		105,378
1.55% 1/12/18	858,000		850,458
			2,066,574
Metals & Mining - 0.3%
Anglo American Capital PLC 1.2705% 4/15/16 (c)(d)	210,000		209,144
Freeport-McMoRan, Inc. 2.3% 11/14/17	119,000		107,398
Rio Tinto Finance (U.S.A.) PLC 1.1743% 6/17/16 (d)	179,000		179,128
			495,670
TOTAL MATERIALS			2,562,244
TELECOMMUNICATION SERVICES - 5.9%
Diversified Telecommunication Services - 4.8%
AT&T, Inc.:
1.4% 12/1/17	1,196,000		1,194,177
2.375% 11/27/18	500,000		506,609
2.45% 6/30/20	186,000		182,944
2.95% 5/15/16	214,000		216,012
BellSouth Corp. 4.821% 4/26/16 (c)(d)	500,000		507,291
British Telecommunications PLC:
1.25% 2/14/17	500,000		498,761
1.625% 6/28/16	330,000		331,069
2.35% 2/14/19	886,000		889,478
CenturyLink, Inc. 5.15% 6/15/17	196,000		201,880
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Deutsche Telekom International Financial BV:
3.125% 4/11/16 (c)	$ 216,000		$ 217,633
5.75% 3/23/16	358,000		363,320
Verizon Communications, Inc.:
1.35% 6/9/17	1,278,000		1,278,741
2% 11/1/16	488,000		492,088
2.5% 9/15/16	671,000		678,645
3.65% 9/14/18	500,000		527,047
			8,085,695
Wireless Telecommunication Services - 1.1%
America Movil S.A.B. de CV:
1.336% 9/12/16 (d)	214,000		213,991
2.375% 9/8/16	274,000		276,196
Vodafone Group PLC:
1.5% 2/19/18	1,179,000		1,174,457
1.625% 3/20/17	258,000		258,587
			1,923,231
TOTAL TELECOMMUNICATION SERVICES			10,008,926
UTILITIES - 5.2%
Electric Utilities - 3.4%
American Electric Power Co., Inc. 1.65% 12/15/17	274,000		271,999
Cleveland Electric Illuminating Co. 5.7% 4/1/17	200,000		207,912
Duke Energy Corp.:
0.704% 4/3/17 (d)	320,000		319,275
1.625% 8/15/17	457,000		457,830
2.1% 6/15/18	1,000,000		1,008,177
Eversource Energy 1.45% 5/1/18	52,000		51,230
Exelon Corp.:
1.55% 6/9/17	35,000		34,902
2.85% 6/15/20	51,000		51,131
FirstEnergy Corp. 2.75% 3/15/18	576,000		578,409
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	341,000		340,179
Pacific Gas & Electric Co. 5.625% 11/30/17	317,000		340,429
Public Service Electric & Gas Co. 2.3% 9/15/18	1,000,000		1,013,828
Southern Co. 1.3% 8/15/17	250,000		248,018
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
TECO Finance, Inc. 0.9196% 4/10/18 (d)	$ 400,000		$ 397,354
Xcel Energy, Inc. 0.75% 5/9/16	393,000		392,905
			5,713,578
Gas Utilities - 0.6%
Southern California Gas Co. 1.55% 6/15/18	1,000,000		997,491
Independent Power and Renewable Electricity Producers - 0.1%
Southern Power Co. 1.5% 6/1/18	264,000		259,136
Multi-Utilities - 1.1%
Berkshire Hathaway Energy Co. 1.1% 5/15/17	468,000		464,777
Dominion Resources, Inc.:
1.4% 9/15/17	151,000		149,742
1.9% 6/15/18	283,000		281,872
1.95% 8/15/16	151,000		151,812
2.5% 12/1/19	229,000		228,946
2.6266% 9/30/66 (d)	239,000		186,370
Wisconsin Energy Corp. 1.65% 6/15/18	334,000		332,976
			1,796,495
TOTAL UTILITIES			8,766,700
TOTAL NONCONVERTIBLE BONDS (Cost $113,292,381)		112,810,237
U.S. Treasury Obligations - 4.2%

U.S. Treasury Notes:
1.25% 11/15/18	4,350,000		4,353,397
1.375% 3/31/20	2,800,000		2,776,155
TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,147,646)		7,129,552
U.S. Government Agency - Mortgage Securities - 2.4%

Fannie Mae - 1.2%
2.234% 1/1/40 (d)	59,803		63,394
2.274% 11/1/34 (d)	30,584		32,160
2.298% 3/1/40 (d)	31,471		33,419
2.31% 12/1/39 (d)	15,665		16,659
2.321% 2/1/35 (d)	58,348		61,493
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
2.342% 10/1/35 (d)	$ 65,619		$ 69,111
2.403% 11/1/36 (d)	71,758		75,972
2.424% 5/1/35 (d)	51,901		55,014
2.431% 12/1/34 (d)	27,212		28,938
2.458% 3/1/40 (d)	42,428		45,128
2.476% 12/1/33 (d)	29,845		31,649
2.478% 7/1/35 (d)	184,480		195,830
2.516% 4/1/35 (d)	17,581		18,612
2.543% 10/1/41 (d)	77,833		82,770
2.557% 6/1/42 (d)	22,740		23,395
2.673% 9/1/41 (d)	108,685		115,580
2.686% 2/1/42 (d)	129,083		133,820
2.756% 1/1/42 (d)	114,118		118,455
2.783% 8/1/41 (d)	95,899		101,982
2.951% 11/1/40 (d)	14,609		15,226
2.98% 9/1/41 (d)	16,508		17,247
3.022% 8/1/41 (d)	20,628		21,606
3.243% 7/1/41 (d)	25,057		26,381
3.3% 10/1/41 (d)	13,081		13,662
3.553% 7/1/41 (d)	29,370		30,952
4.5% 6/1/19 to 7/1/20	36,218		37,673
5.5% 11/1/17 to 11/1/34	570,335		632,416
6.5% 6/1/16	133		135
7% 1/1/16 to 4/1/17	824		847
TOTAL FANNIE MAE			2,099,526
Freddie Mac - 1.1%
2.255% 11/1/35 (d)	40,151		42,269
2.361% 10/1/42 (d)	128,255		135,655
2.41% 4/1/40 (d)	32,381		34,316
2.519% 8/1/36 (d)	20,988		22,239
2.53% 4/1/40 (d)	32,183		34,251
2.979% 8/1/41 (d)	57,457		61,102
3% 8/1/21	148,870		154,608
3.141% 9/1/41 (d)	34,710		36,244
3.211% 9/1/41 (d)	17,316		18,109
3.226% 4/1/41 (d)	16,714		17,503
3.293% 6/1/41 (d)	17,984		18,940
3.451% 5/1/41 (d)	15,737		16,384
3.5% 8/1/26	439,242		462,185
3.617% 6/1/41 (d)	25,985		27,510
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
3.706% 5/1/41 (d)	$ 22,859		$ 24,206
4% 6/1/24 to 4/1/26	516,397		548,483
4.5% 8/1/18 to 11/1/18	108,134		112,139
8.5% 5/1/26 to 7/1/28	6,472		7,645
TOTAL FREDDIE MAC			1,773,788
Ginnie Mae - 0.1%
5.5% 6/15/35	53,958		61,057
7% 1/15/25 to 6/15/32	31,951		37,354
TOTAL GINNIE MAE			98,411
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $3,988,670)		3,971,725
Asset-Backed Securities - 13.2%

Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured)	45,828		44,352
Series 2005-1 Class M1, 0.926% 4/25/35 (d)	14,969		13,532
Ally Auto Receivables Trust Series 2014-SN1 Class A3, 0.75% 2/21/17	236,000		235,888
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	118,000		118,419
Series 2012-5 Class A, 1.54% 9/15/19	499,000		498,206
Series 2014-3 Class A, 1.33% 3/15/19	854,000		852,891
Series 2014-5 Class A2, 1.6% 10/15/19	447,000		447,280
Series 2015-3 Class A, 1.63% 5/15/20	350,000		347,949
American Express Credit Account Master Trust:
Series 2014-2 Class A, 1.26% 1/15/20	350,000		350,368
Series 2014-4 Class A, 1.43% 6/15/20	447,000		447,838
AmeriCredit Automobile Receivables Trust:
Series 2013-1 Class A3, 0.61% 10/10/17	1,207		1,207
Series 2013-5 Class A3, 0.9% 9/10/18	198,879		198,713
Series 2014-1 Class A3, 0.9% 2/8/19	165,942		165,716
Series 2014-2 Class A3, 0.94% 2/8/19	354,000		352,936
Series 2014-4 Class A3, 1.27% 7/8/19	90,000		89,809
Series 2015-2 Class A3, 1.27% 1/8/20	400,000		396,808
Series 2015-3 Class A3, 1.54% 3/9/20	500,000		498,394
Asset-Backed Securities - continued
	Principal Amount		Value
Argent Securities, Inc. pass-thru certificates Series 2003-W7 Class A2, 1.001% 3/25/34 (d)	$ 14,781		$ 13,565
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20	447,000		445,850
BMV Vehicle Lease Trust Series 2014-1 Class A3, 0.73% 2/21/17	220,208		220,105
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	268,000		268,133
Capital Auto Receivables Asset Trust:
Series 2014-2 Class A2, 0.91% 4/20/17	185,658		185,594
Series 2014-3 Class A2, 1.18% 12/20/17	262,000		261,918
Series 2015-1 Class A2, 1.42% 6/20/18	263,000		262,777
Series 2015-2 Class A2, 1.39% 9/20/18	185,000		184,526
Carmax Auto Owner Trust Series 2014-4 Class A3, 1.25% 11/15/19	270,000		269,412
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (c)	50,344		50,308
Chase Issuance Trust:
Series 2013-A8 Class A8, 1.01% 10/15/18	214,000		214,127
Series 2014-A1 Class A, 1.15% 1/15/19	268,000		268,418
Series 2015-A2, Class A, 1.59% 2/18/20	268,000		268,754
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (c)	500,000		498,306
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (c)	273,064		273,309
Series 2014-VT1 Class A3, 1.5% 10/21/19 (c)	270,347		269,298
Citibank Credit Card Issuance Trust:
Series 2014-A4 Class A4, 1.23% 4/24/19	358,000		358,345
Series 2014-A8 Class A8, 1.73% 4/9/20	345,000		346,589
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.471% 3/25/32 (d)	1,524		1,392
Series 2004-2 Class 3A4, 0.721% 7/25/34 (d)	11,176		9,723
Series 2004-4 Class M2, 0.992% 6/25/34 (d)	2,261		2,063
Dell Equipment Finance Trust:
Series 2014-1 Class A3, 0.94% 6/22/20 (c)	179,000		178,927
Series 2015-1 Class A3, 1.3% 3/23/20 (c)	200,000		198,832
Series 2015-2 Class A2A, 1.42% 12/22/17 (c)	200,000		199,647
Discover Card Master Trust:
Series 2013-A5 Class A5, 1.04% 4/15/19	402,000		402,379
Series 2014-A3 Class A3, 1.22% 10/15/19	358,000		358,305
Series 2014-A5 Class A, 1.39% 4/15/20	359,000		359,349
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (c)	196,631		196,066
Series 2014-2 Class A2, 1.05% 3/20/20 (c)	426,815		424,851
Asset-Backed Securities - continued
	Principal Amount		Value
Enterprise Fleet Financing LLC: - continued
Series 2015-1 Class A2, 1.3% 9/20/20 (c)	$ 358,000		$ 357,270
Fannie Mae Series 2004-T5:
Class AB1, 0.7227% 5/28/35 (d)	28,584		26,720
Class AB3, 1.0288% 5/28/35 (d)	12,075		11,225
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18	442,000		440,788
Ford Credit Floorplan Master Owner Trust:
Series 2012-5 Class A, 1.49% 9/15/19	984,000		980,705
Series 2014-4 Class A1, 1.4% 8/15/19	351,000		350,111
Series 2015-4 Class A1, 1.77% 8/15/20	370,000		371,248
Fremont Home Loan Trust Series 2004-D:
Class M4, 1.622% 11/25/34 (d)	18,672		1,971
Class M5, 1.697% 11/25/34 (d)	6,011		113
GE Equipment Transportation LLC Series 2014-1 Class A3, 0.97% 4/23/18	262,648		262,264
GM Financial Automobile Leasing Trust:
Series 2014-1A Class A3, 1.01% 5/22/17 (c)	270,000		269,868
Series 2014-2A Class A3, 1.22% 1/22/18 (c)	340,000		339,870
Series 2015-1 Class A3, 1.53% 9/20/18	297,000		296,522
Series 2015-2 Class A3, 1.68% 12/20/18	260,000		259,148
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (c)	315,000		312,699
Home Equity Asset Trust:
Series 2003-3 Class M1, 1.511% 8/25/33 (d)	10,182		9,731
Series 2003-5 Class A2, 0.921% 12/25/33 (d)	7,906		7,403
Series 2004-1 Class M2, 1.921% 6/25/34 (d)	9,441		8,528
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (d)	28,130		18,071
Hyundai Auto Lease Securitization Trust Series 2015-B Class A3, 1.4% 11/15/18 (c)	330,000		328,907
Hyundai Auto Receivables Trust Series 2015-C Class A3, 1.46% 2/18/20	249,000		248,874
Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.547% 5/15/18 (c)(d)	300,000		299,610
KeyCorp Student Loan Trust Series 1999-A Class A2, 0.6564% 12/27/29 (d)	2,459		2,442
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	355,000		355,041
Merrill Lynch Mortgage Investors Trust:
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (d)	4,542		4,503
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (d)	17,728		17,119
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.877% 8/25/34 (d)	24,849		22,990
Asset-Backed Securities - continued
	Principal Amount		Value
Morgan Stanley ABS Capital I Trust: - continued
Series 2004-NC8 Class M6, 2.096% 9/25/34 (d)	$ 8,733		$ 7,913
Nissan Auto Lease Trust Series 2014-A Class A3, 0.8% 2/15/17	192,000		191,906
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	358,000		356,407
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0436% 10/30/45 (d)	81,619		79,279
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.072% 9/25/34 (d)	142,806		133,787
Class M4, 2.372% 9/25/34 (d)	194,565		125,127
Series 2005-WCH1 Class M4, 1.442% 1/25/36 (d)	33,532		29,904
Santander Drive Auto Receivables Trust Series 2014-4 Class B, 1.82% 5/15/19	164,000		164,349
SLM Private Credit Student Loan Trust:
Series 2004-A Class C, 1.2872% 6/15/33 (d)	104,468		101,512
Series 2004-B:
Class A2, 0.5372% 6/15/21 (d)	72,260		71,785
Class C, 1.2072% 9/15/33 (d)	123,303		118,373
Synchrony Credit Card Master Note Trust:
Series 2015-2 Class A, 1.6% 4/15/21	350,000		348,877
Series 2015-3 class A, 1.74% 9/15/21	500,000		499,552
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (d)	15,559		13,624
Toyota Auto Receivables Owner Trust Series 2015-C Class A3, 1.34% 6/17/19	500,000		500,275
Volkswagen Auto Lease Trust Series 2014-A Class A3, 0.8% 4/20/17	276,296		275,877
Volkswagen Auto Loan Enhanced Trust Series 2014-1 Class A3, 0.91% 10/22/18	237,000		235,394
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (c)	222,000		219,411
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (c)	281,000		281,406
Whinstone Capital Management Ltd. Series 1A Class B3, 2.1199% 10/25/44 (c)(d)	248,994		248,820
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20	329,000		327,140
World Omni Automobile Lease Securitization Trust Series 2015-A Class A3, 1.54% 10/15/18	270,000		268,938
TOTAL ASSET-BACKED SECURITIES (Cost $22,288,343)		22,254,571
Collateralized Mortgage Obligations - 1.0%
	Principal Amount		Value
Private Sponsor - 0.8%
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.7363% 5/27/35 (c)(d)	$ 112,161		$ 115,424
Granite Master Issuer PLC floater:
Series 2006-1A:
Class A5, 0.3468% 12/20/54 (c)(d)	158,678		158,567
Class C2, 1.4068% 12/20/54 (c)(d)	136,000		135,823
Series 2006-2:
Class A4, 0.2868% 12/20/54 (d)	31,125		31,103
Class C1, 1.1468% 12/20/54 (d)	582,000		581,243
Series 2007-2 Class 3A1, 0.3773% 12/17/54 (d)	11,812		11,804
Granite Mortgages Series 2003-2 Class 1A3, 0.8172% 7/20/43 (d)	32,891		32,868
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.7172% 1/20/44 (d)	5,334		5,329
Class 1C, 2.7672% 1/20/44 (d)	9,676		9,660
Series 2004-1 Class 2A1, 0.6651% 3/20/44 (d)	121,357		121,272
Series 2004-3 Class 2A1, 0.6251% 9/20/44 (d)	63,135		63,091
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (d)	14,176		12,686
TOTAL PRIVATE SPONSOR			1,278,870
U.S. Government Agency - 0.2%
Fannie Mae:
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	119,824		126,393
planned amortization class Series 2012-94 Class E, 3% 6/25/22	74,728		76,601
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	29,097		32,761
Series 2009-31 Class A, 4% 2/25/24	14,439		14,806
Freddie Mac:
planned amortization class Series 3820 Class DA, 4% 11/15/35	96,063		100,689
Series 3949 Class MK, 4.5% 10/15/34	73,562		79,159
TOTAL U.S. GOVERNMENT AGENCY			430,409
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,705,990)		1,709,279
Commercial Mortgage Securities - 9.4%
	Principal Amount		Value
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (d)(e)	$ 35,186		$ 353
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46	178,058		179,924
Series 2006-4 Class A1A, 5.617% 7/10/46 (d)	317,565		321,209
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.3458% 5/15/32 (c)(d)	232,000		229,894
Bayview Commercial Asset Trust:
floater:
Series 2005-4A:
Class A2, 0.611% 1/25/36 (c)(d)	85,685		75,813
Class M1, 0.671% 1/25/36 (c)(d)	26,949		21,880
Series 2007-1 Class A2, 0.491% 3/25/37 (c)(d)	42,004		35,148
Series 2007-4A Class A2, 0.747% 9/25/37 (c)(d)	112,330		79,497
Series 2006-2A Class IO, 0% 7/25/36 (c)(d)(e)	859,578		0
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-PW13 Class A1A, 5.533% 9/11/41	281,418		286,524
Series 2006-PW14 Class A1A, 5.189% 12/11/38	112,206		115,292
Series 2006-T22 Class A1A, 5.6179% 4/12/38 (d)	192,386		193,382
Series 2006-PW12 Class A1A, 5.7074% 9/11/38 (d)	229,725		231,138
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.23% 5/15/29 (c)(d)	229,000		226,996
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	167,151		176,791
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.597% 12/15/27 (c)(d)	658,076		655,005
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	102,473		104,534
Series 2006-C4 Class A1A, 5.7922% 3/15/49 (d)	145,285		146,268
Series 2013-GC11 Class A1, 0.754% 4/10/46	75,432		74,922
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2006-CD2 Class A4, 5.3358% 1/15/46 (d)	4,237		4,231
Series 2006-CD2 Class A1B, 5.3368% 1/15/46 (d)	183,202		182,886
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class A3, 5.484% 4/15/47	173,038		179,415
COMM Mortgage Trust:
floater Series 2014-KYO Class A, 1.096% 6/11/27 (c)(d)	447,595		445,259
Series 2013-CR9 Class A1, 1.344% 7/10/45	52,720		52,585
Commercial Mortgage Securities - continued
	Principal Amount		Value
COMM Mortgage Trust pass-thru certificates:
sequential payer:
Series 2006-C7 Class A1A, 5.7532% 6/10/46 (d)	$ 319,623		$ 323,144
Series 2006-C8 Class A1A, 5.292% 12/10/46	311,039		319,345
Series 2006-C7 Class A4, 5.7642% 6/10/46 (d)	60,766		61,227
Commercial Mortgage Trust pass-thru certificates sequential payer Series 2012-CR2 Class A1, 0.824% 8/15/45	11,514		11,504
CSMC Series 2015-TOWN Class A, 1.4458% 3/15/17 (c)(d)	500,000		498,298
CSMC Trust floater Series 2014-ICE:
Class A, 0.9958% 4/15/27 (c)(d)	430,000		428,206
Class B, 1.3958% 4/15/27 (c)(d)	215,000		214,310
Freddie Mac:
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18	78,995		79,367
Series K707 Class A1, 1.615% 9/25/18	194,236		195,412
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.497% 12/15/16 (c)(d)	630,076		628,874
GE Capital Commercial Mortgage Corp.:
sequential payer:
Series 2006-C1 Class A4, 5.2841% 3/10/44 (d)	5,838		5,836
Series 2007-C1 Class A4, 5.543% 12/10/49	95,248		98,378
Series 2006-C1 Class A1A, 5.2841% 3/10/44 (d)	136,324		136,606
Series 2007-C1 Class A1A, 5.483% 12/10/49 (d)	507,426		527,890
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.8193% 7/10/38 (d)	220,140		221,646
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1958% 7/15/31 (c)(d)	97,183		96,954
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	170,096		173,676
Class A4, 5.56% 11/10/39	429,765		431,348
Series 2012-GC6 Class A1, 1.282% 1/10/45	3,338		3,338
Series 2013-GC12 Class A1, 0.742% 6/10/46 (d)	80,023		79,407
Hilton U.S.A. Trust floater Series 2013-HLF Class AFL, 1.1922% 11/5/30 (c)(d)	192,166		191,710
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.446% 11/15/29 (c)(d)	160,000		159,997
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2014-BXH Class A, 1.097% 4/15/27 (c)(d)	268,000		267,656
Series 2014-FL5 Class A, 1.1758% 7/15/31 (c)(d)	304,000		301,972
Commercial Mortgage Securities - continued
	Principal Amount		Value
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	$ 324,799		$ 329,740
Series 2006-LDP8 Class A4, 5.399% 5/15/45	314,083		316,578
Series 2011-C3 Class A3, 4.3877% 2/15/46 (c)	165,000		173,281
Series 2006-LDP7 Class A1A, 5.9107% 4/15/45 (d)	361,728		366,633
Series 2013-C13 Class A1, 1.3029% 1/15/46	226,688		226,344
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	41,307		41,305
Series 2006-C6 Class A4, 5.372% 9/15/39	76,523		77,887
Series 2007-C1 Class A4, 5.424% 2/15/40	350,854		360,236
Series 2007-C7 Class A3, 5.866% 9/15/45	149,644		158,852
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2% 9/15/28 (b)(c)	300,000		300,040
Merrill Lynch Mortgage Trust Series 2006-C2 Class A1A, 5.739% 8/12/43 (d)	271,574		276,023
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer Series 2007-5 Class A4, 5.378% 8/12/48	938,628		963,988
Series 2006-1 Class AM, 5.5135% 2/12/39 (d)	56,000		56,268
Morgan Stanley BAML Trust Series 2012-C5 Class A1, 0.916% 8/15/45	52,431		52,381
Morgan Stanley Capital I Trust:
sequential payer:
Series 2007-IQ13 Class A1A, 5.312% 3/15/44	99,608		102,995
Series 2007-IQ14 Class A2, 5.61% 4/15/49	62,902		62,914
Series 2012-C4 Class A1, 1.085% 3/15/45	44,709		44,694
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (d)	172,639		174,168
Series 2007-T27 Class A1A, 5.6454% 6/11/42 (d)	293,350		308,126
SCG Trust Series 2013-SRP1 Class A, 1.5958% 11/15/26 (c)(d)	210,000		209,114
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class A1, 0.8022% 4/10/46	67,895		67,429
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-C29:
Class A1A, 5.297% 11/15/48	434,243		446,953
Class A4, 5.308% 11/15/48	163,778		166,516
Series 2007-C31 Class A4, 5.509% 4/15/47	54,606		56,793
Series 2006-C23 Class A1A, 5.422% 1/15/45	175,217		175,105
Series 2006-C24 Class A1A, 5.557% 3/15/45 (d)	198,155		199,198
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2006-C26 Class A1A, 6.009% 6/15/45 (d)	$ 287,116		$ 290,855
Series 2006-C27 Class A3, 5.765% 7/15/45 (d)	201,201		201,979
WF-RBS Commercial Mortgage Trust Series 2013-C13 Class A1, 0.778% 5/15/45	46,881		46,580
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.3178% 11/15/29 (c)(d)	198,700		197,670
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $16,178,629)		15,925,692
Municipal Securities - 0.2%

Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19 (Cost $307,012)	285,000		305,697
Supranational Obligations - 0.1%

International Bank for Reconstruction & Development 1% 6/15/18 (Cost $150,790)	151,000		150,033
Bank Notes - 1.2%

Barclays Bank PLC 2.5% 2/20/19	316,000		319,465
Capital One Bank NA:
1.2% 2/13/17	354,000		352,169
1.3% 6/5/17	268,000		265,859
Capital One NA 1.65% 2/5/18	268,000		265,820
Manufacturers & Traders Trust Co. 1.4% 7/25/17	358,000		357,176
Marshall & Ilsley Bank 5% 1/17/17	15,000		15,518
Regions Financial Corp. 2.25% 9/14/18	500,000		501,051
TOTAL BANK NOTES (Cost $2,081,147)		2,077,058

Money Market Funds - 0.6%
	Shares		Value
Fidelity Cash Central Fund, 0.18% (a) (Cost $936,846)	936,846		$ 936,846
TOTAL INVESTMENT PORTFOLIO - 99.3% (Cost $168,077,454)			167,270,690
NET OTHER ASSETS (LIABILITIES) - 0.7%			1,219,487
NET ASSETS - 100%		$ 168,490,177

Legend

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

(b) Security 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 exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $28,231,204 or 16.8% of net assets.

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

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

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 489

Other Information

The following is a summary of the inputs used, as of November 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 112,810,237	$ -	$ 112,810,237	$ -
U.S. Government and Government Agency Obligations	7,129,552	-	7,129,552	-
U.S. Government Agency - Mortgage Securities	3,971,725	-	3,971,725	-
Asset-Backed Securities	22,254,571	-	22,252,487	2,084
Collateralized Mortgage Obligations	1,709,279	-	1,709,279	-
Commercial Mortgage Securities	15,925,692	-	15,925,692	-
Municipal Securities	305,697	-	305,697	-
Supranational Obligations	150,033	-	150,033	-
Bank Notes	2,077,058	-	2,077,058	-
Money Market Funds	936,846	936,846	-	-
Total Investments in Securities:	$ 167,270,690	$ 936,846	$ 166,331,760	$ 2,084

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $168,039,252. Net unrealized depreciation aggregated $768,562, of which $168,154 related to appreciated investment securities and $936,716 related to depreciated investment securities.

Investment Valuation

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

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

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 ® Conservative
Income Bond Fund

November 30, 2015

1.924095.104

FCV-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 76.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 3.3%
Automobiles - 3.0%
Daimler Finance North America LLC:
0.749% 3/2/18 (b)(c)	$ 20,000,000		$ 19,774,860
1.0089% 8/1/16 (b)(c)	14,870,000		14,858,550
1.0441% 8/3/17 (b)(c)	12,500,000		12,497,663
Volkswagen Group of America Finance LLC:
0.5976% 5/23/16 (b)(c)	11,590,000		11,459,207
0.7476% 5/23/17 (b)(c)	6,435,000		6,187,767
Volkswagen International Finance NV 2.875% 4/1/16 (b)	49,550,000		49,624,325
			114,402,372
Media - 0.3%
NBCUniversal Enterprise, Inc. 1.0055% 4/15/18 (b)(c)	9,810,000		9,828,923
TOTAL CONSUMER DISCRETIONARY			124,231,295
CONSUMER STAPLES - 0.2%
Tobacco - 0.2%
Philip Morris International, Inc. 1.25% 8/11/17	6,387,000		6,400,081
ENERGY - 2.2%
Oil, Gas & Consumable Fuels - 2.2%
BP Capital Markets PLC 3.2% 3/11/16	11,200,000		11,279,822
Enbridge, Inc. 0.779% 6/2/17 (c)	12,465,000		12,218,305
Shell International Finance BV 0.6614% 5/10/17 (c)	10,000,000		9,997,190
Total Capital Canada Ltd. 0.7005% 1/15/16 (c)	15,000,000		15,003,510
TransCanada PipeLines Ltd.:
1.0066% 6/30/16 (c)	14,084,000		14,079,958
1.625% 11/9/17	20,000,000		19,955,960
			82,534,745
FINANCIALS - 64.8%
Banks - 57.1%
ABN AMRO Bank NV:
1.1232% 10/28/16 (b)(c)	77,659,000		77,953,328
1.375% 1/22/16 (b)	19,730,000		19,730,493
ABN AMRO Bank NV Amsterdam BRH 0.742% 6/6/16 (b)(c)	49,100,000		49,102,259
ANZ Banking Group Ltd. 1.1116% 11/16/18 (b)(c)	20,000,000		20,005,408
Bank of America Corp.:
0.5808% 10/14/16 (c)	25,180,000		25,106,902
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Bank of America Corp.: - continued
1.0032% 8/25/17 (c)	$ 18,000,000		$ 17,967,906
1.1392% 3/22/16 (c)	51,140,000		51,202,391
1.25% 1/11/16	7,419,000		7,422,413
3.75% 7/12/16	35,000,000		35,580,580
Bank of America NA:
0.7639% 5/8/17 (c)	5,000,000		4,988,365
0.782% 6/5/17 (c)	20,000,000		19,955,240
Bank of Montreal 0.9186% 4/9/18 (c)	4,000,000		3,997,620
Bank of Tokyo-Mitsubishi UFJ Ltd.:
0.642% 9/8/17 (b)(c)	8,200,000		8,131,440
0.742% 3/10/17 (b)(c)	31,475,000		31,419,163
0.8567% 2/26/16 (b)(c)	47,000,000		47,012,408
0.882% 3/5/18 (b)(c)	14,900,000		14,817,305
0.943% 9/9/16 (b)(c)	7,550,000		7,565,342
Banque Federative du Credit Mutuel SA:
1.1672% 1/20/17 (b)(c)	62,375,000		62,647,205
1.1732% 10/28/16 (b)(c)	87,275,000		87,525,217
Barclays Bank PLC:
0.9436% 2/17/17 (c)	1,370,000		1,368,679
5% 9/22/16	54,000,000		55,693,224
BB&T Corp. 3.2% 3/15/16	6,421,000		6,454,389
BNP Paribas SA 0.926% 12/12/16 (c)	35,000,000		35,059,220
BPCE SA:
0.9341% 11/18/16 (c)	12,900,000		12,909,507
1.1914% 2/10/17 (c)	27,875,000		27,953,747
1.5699% 4/25/16 (c)	132,245,000		132,692,516
1.7% 4/25/16	16,710,000		16,736,402
Branch Banking & Trust Co. 0.7544% 12/1/16 (c)	10,000,000		9,999,760
Capital One Bank NA 0.8591% 2/13/17 (c)	15,047,000		14,983,336
Capital One NA:
0.7692% 3/22/16 (c)	10,000,000		9,993,940
1.0136% 2/5/18 (c)	16,125,000		16,055,066
1.5136% 8/17/18 (c)	30,000,000		30,272,970
Citigroup, Inc.:
1.0129% 4/27/18 (c)	10,000,000		9,969,720
1.0416% 11/15/16 (c)	18,000,000		18,030,834
1.1155% 4/1/16 (c)	50,549,000		50,598,740
1.2019% 7/30/18 (c)	25,000,000		24,988,650
1.25% 1/15/16	29,095,000		29,116,705
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Citigroup, Inc.: - continued
1.2799% 7/25/16 (c)	$ 40,000,000		$ 40,098,600
1.3% 4/1/16	3,000,000		3,003,945
4.587% 12/15/15	10,000,000		10,015,070
Commonwealth Bank of Australia:
0.8451% 9/20/16 (b)(c)	17,000,000		17,036,448
1.1189% 11/2/18 (b)(c)	22,500,000		22,535,168
Credit Agricole SA:
1.174% 10/3/16 (b)(c)	22,920,000		22,998,386
1.4805% 4/15/16 (b)(c)	55,580,000		55,728,454
1.625% 4/15/16 (b)	5,250,000		5,267,483
Credit Suisse New York Branch 0.8967% 5/26/17 (c)	72,585,000		72,330,807
Fifth Third Bancorp 3.625% 1/25/16	10,000,000		10,042,430
Fifth Third Bank:
0.8741% 11/18/16 (c)	24,825,000		24,829,046
1.15% 11/18/16	22,555,000		22,567,631
1.2796% 8/20/18 (c)	30,000,000		30,002,640
HSBC U.S.A., Inc. 0.784% 3/3/17 (c)	39,637,000		39,568,151
Huntington National Bank 0.7449% 4/24/17 (c)	20,000,000		19,897,380
ING Bank NV:
0.664% 1/4/16 (b)(c)	46,850,000		46,841,942
0.8855% 3/16/18 (b)(c)	17,000,000		16,949,408
1.282% 3/7/16 (b)(c)	41,934,000		41,993,001
4% 3/15/16 (b)	3,000,000		3,027,885
Intesa Sanpaolo SpA:
2.375% 1/13/17	3,000,000		3,013,800
3.125% 1/15/16	25,375,000		25,441,381
JP Morgan Chase Bank NA 0.736% 6/14/17 (c)	30,000,000		29,961,960
JPMorgan Chase & Co.:
1.35% 2/15/17	10,000,000		10,002,790
2.6% 1/15/16	20,140,000		20,191,055
3.15% 7/5/16	40,020,000		40,560,350
3.45% 3/1/16	42,000,000		42,282,030
KeyBank NA:
0.8444% 6/1/18 (c)	15,000,000		14,970,510
0.8832% 11/25/16 (c)	24,307,000		24,311,521
Lloyds Bank PLC 0.9116% 5/14/18 (c)	30,000,000		29,849,490
Manufacturers & Traders Trust Co. 0.632% 3/7/16 (c)	24,780,000		24,779,703
Mizuho Bank Ltd. 0.9664% 3/26/18 (b)(c)	25,000,000		24,906,775
MUFG Americas Holdings Corp. 0.9139% 2/9/18 (c)	7,000,000		7,005,439
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
MUFG Union Bank NA:
1.0764% 9/26/16 (c)	$ 29,615,000		$ 29,671,772
1.5% 9/26/16	5,809,000		5,830,005
Nordea Bank AB 1.1743% 9/17/18 (b)(c)	18,000,000		18,078,372
PNC Bank NA 0.7444% 6/1/18 (c)	10,000,000		9,955,770
Royal Bank of Scotland Group PLC 1.2666% 3/31/17 (c)	12,255,000		12,242,083
Royal Bank of Scotland PLC 4.375% 3/16/16	22,500,000		22,733,730
Sumitomo Mitsui Banking Corp.:
0.6406% 7/11/17 (c)	15,000,000		14,918,595
0.8971% 1/16/18 (c)	23,500,000		23,410,794
1.0564% 7/23/18 (c)	20,000,000		19,955,180
1.35% 7/11/17 (Reg. S)	26,617,000		26,474,200
Sumitomo Mitsui Trust Bank Ltd. 1.1143% 9/16/16 (b)(c)	8,750,000		8,771,315
Swedbank AB 2.125% 9/29/17 (b)	21,250,000		21,413,774
Wells Fargo & Co. 1.25% 7/20/16	33,555,000		33,659,960
Westpac Banking Corp.:
1.0619% 7/30/18 (c)	9,260,000		9,267,454
1.1041% 11/23/18 (c)	15,000,000		15,016,050
			2,168,418,123
Capital Markets - 6.7%
Deutsche Bank AG London Branch:
0.8817% 5/30/17 (c)	25,000,000		24,867,425
0.9691% 2/13/17 (c)	41,195,000		41,092,878
JPMorgan Chase & Co.:
0.8816% 2/15/17 (c)	2,459,000		2,456,369
1.0267% 2/26/16 (c)	10,000,000		10,006,960
1.125% 2/26/16	8,906,000		8,913,365
Morgan Stanley:
0.7652% 10/18/16 (c)	13,607,000		13,600,047
1.064% 1/5/18 (c)	22,630,000		22,671,843
1.6432% 2/25/16 (c)	5,400,000		5,410,136
3.8% 4/29/16	3,750,000		3,796,219
UBS AG Stamford Branch:
0.8264% 9/26/16 (c)	25,000,000		25,028,100
0.8844% 6/1/17 (c)	30,000,000		29,968,950
1.0264% 3/26/18 (c)	65,450,000		65,325,056
			253,137,348
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - 0.5%
American Express Credit Corp. 0.8339% 7/29/16 (c)	$ 10,000,000		$ 10,005,450
Caterpillar Financial Services Corp. 0.6423% 2/26/16 (c)	7,283,000		7,284,092
			17,289,542
Diversified Financial Services - 0.4%
GE Capital International Funding Co. 0.964% 4/15/16 (b)	15,187,000		15,205,407
Insurance - 0.1%
Metropolitan Life Global Funding I 0.8505% 7/15/16 (b)(c)	5,000,000		5,010,795
TOTAL FINANCIALS			2,459,061,215
HEALTH CARE - 1.6%
Health Care Providers & Services - 0.5%
UnitedHealth Group, Inc. 0.7652% 1/17/17 (c)	20,000,000		20,016,660
Pharmaceuticals - 1.1%
Actavis Funding SCS:
1.1994% 9/1/16 (c)	25,000,000		25,059,100
1.416% 3/12/18 (c)	14,444,000		14,488,675
			39,547,775
TOTAL HEALTH CARE			59,564,435
INFORMATION TECHNOLOGY - 1.0%
Electronic Equipment & Components - 0.4%
Tyco Electronics Group SA 0.5239% 1/29/16 (c)	15,000,000		14,993,955
IT Services - 0.4%
The Western Union Co. 5.93% 10/1/16	13,200,000		13,700,874
Technology Hardware, Storage & Peripherals - 0.2%
Hewlett Packard Enterprise Co. 2.0606% 10/5/17 (b)(c)	9,000,000		9,013,707
TOTAL INFORMATION TECHNOLOGY			37,708,536
Nonconvertible Bonds - continued
	Principal Amount		Value
MATERIALS - 0.4%
Metals & Mining - 0.4%
Anglo American Capital PLC 1.2705% 4/15/16 (b)(c)	$ 6,263,000		$ 6,237,472
Rio Tinto Finance (U.S.A.) PLC 1.1743% 6/17/16 (c)	10,800,000		10,807,711
			17,045,183
TELECOMMUNICATION SERVICES - 2.1%
Diversified Telecommunication Services - 2.1%
AT&T, Inc. 0.7411% 2/12/16 (c)	6,031,000		6,029,245
BellSouth Corp. 4.821% 4/26/16 (b)(c)	35,000,000		35,510,335
Verizon Communications, Inc. 1.8672% 9/15/16 (c)	40,000,000		40,339,120
			81,878,700
UTILITIES - 0.7%
Electric Utilities - 0.7%
Commonwealth Edison Co. 5.95% 8/15/16	5,000,000		5,174,975
Duke Energy Corp.:
0.704% 4/3/17 (c)	4,200,000		4,190,483
2.15% 11/15/16	18,285,000		18,477,651
			27,843,109
TOTAL NONCONVERTIBLE BONDS (Cost $2,897,067,027)		2,896,267,299
Municipal Securities - 10.4%

Berkeley County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 1995, 0.36% 12/7/15, VRDN (c)(d)	200,000		200,000
Darlington County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 2003 A, 0.29% 12/7/15, VRDN (c)(d)	8,250,000		8,250,000
Decatur Indl. Dev. Board Exempt Facilities Rev. (Nucor Steel Decatur LLC Proj.) Series 2003 A, 0.36% 12/7/15, VRDN (c)(d)	23,160,000		23,160,000
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. (WDC I LP Dev. Proj.) Series 2000, 0.22% 12/7/15, LOC SunTrust Banks, Inc., VRDN (c)(d)	6,525,000		6,525,000
Hertford County Indl. Facilities Poll. Cont. Fing. Auth. (Nucor Corp. Proj.) Series 2000 A, 0.3% 12/7/15, VRDN (c)(d)	8,500,000		8,500,000
Illinois Gen. Oblig. Series 2011, 4.961% 3/1/16	23,000,000		23,219,420
Indiana Dev. Fin. Auth. Envir. Rev. (PSI Energy Proj.) Series 2003 B, 0.3% 12/7/15, VRDN (c)(d)	9,950,000		9,950,000
Municipal Securities - continued
	Principal Amount		Value
Los Angeles Reg'l. Arpts. Impt. Rev. (Compagne Nationale Air France Int'l. Arpt. Proj.) Series 1991, 0.36% 12/1/15, LOC Societe Generale, VRDN (c)(d)	$ 1,425,000		$ 1,425,000
Memphis-Shelby County Indl. Dev. Board Facilities Rev. Series 2007, 0.36% 12/7/15, VRDN (c)(d)	3,000,000		3,000,000
New Jersey Econ. Dev. Auth. Rev. Series 2015 YY, 3.375% 6/15/17	27,000,000		26,955,720
Port Arthur Navigation District Envir. Facilities Rev. (Motiva Enterprises LLC Proj.):
Series 2001 A, 0.18% 12/1/15, VRDN (c)	45,375,000		45,375,000
Series 2010 C, 0.18% 12/1/15, VRDN (c)	66,600,000		66,600,000
Series 2010 D, 0.18% 12/1/15, VRDN (c)	60,000,000		60,000,000
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.):
Series 2010 A1, 0.35% 12/7/15, VRDN (c)	11,550,000		11,550,000
Series 2010 B1, 0.34% 12/7/15, VRDN (c)	97,100,000		97,100,000
Stanton County Indl. Dev. Rev. Series 1998, 0.36% 12/7/15, VRDN (c)(d)	1,200,000		1,200,000
TOTAL MUNICIPAL SECURITIES (Cost $393,037,090)		393,010,140
Bank Notes - 1.5%

Fifth Third Bank 0.9% 2/26/16 (Cost $58,144,045)	58,138,000		58,170,557
Certificates of Deposit - 1.6%

Credit Agricole CIB yankee 0.78% 6/3/16	30,000,000		30,014,814
Credit Suisse AG yankee 0.682% 6/6/16 (c)	30,000,000		29,996,820
TOTAL CERTIFICATES OF DEPOSIT (Cost $60,000,000)		60,011,634

Money Market Funds - 2.1%
	Shares
Fidelity Cash Central Fund, 0.18% (a) (Cost $79,606,886)	79,606,886		79,606,886
Cash Equivalents - 7.9%
	Maturity Amount		Value
With:
Mizuho Securities U.S.A., Inc. at:
1.55%, dated 10/9/15 due 4/6/16 (Collateralized by Corporate Obligations valued at $64,947,870, 0.38%- 5.22%, 7/25/35 - 4/25/37)	$ 60,465,000		$ 60,061,800
1.63%, dated:
8/25/15 due 2/19/16 (Collateralized by Corporate Obligations valued at $37,967,727, 0.33%- 1.97%, 3/25/36 - 10/25/37)	35,282,081		35,005,600
9/8/15 due 3/8/16 (Collateralized by Corporate Obligations valued at $70,466,994, 0.46%- 11%, 2/13/17 - 6/5/2115)	65,535,636		65,065,650
Morgan Stanley & Co., Inc. at:
0.86%, dated 3/5/15 due 3/4/16 (Collateralized by Equity Securities valued at $26,574,444) (c)(e)	25,217,986		24,999,250
0.91%, dated:
3/5/15 due 3/4/16 (Collateralized by Corporate Obligations valued at $27,197,843, 6%- 14%, 4/1/17 - 10/15/36) (c)(e)	25,230,660		24,999,225
9/18/15 due 12/15/15 (Collateralized by U.S. Government Obligations valued at:
$25,550,519, 3.5%- 4%, 8/20/45 - 11/20/45 (c)(e)	25,055,611		24,999,850
$66,431,348, 3%- 4%, 11/15/41 - 11/20/45) (c)(e)	65,144,589		64,999,610
TOTAL CASH EQUIVALENTS (Cost $300,000,000)		300,130,985
TOTAL INVESTMENT PORTFOLIO - 99.8% (Cost $3,787,855,048)			3,787,197,501
NET OTHER ASSETS (LIABILITIES) - 0.2%			8,003,993
NET ASSETS - 100%		$ 3,795,201,494

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

Legend

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $926,666,990 or 24.4% of net assets.

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

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

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 15,812

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,896,267,299	$ -	$ 2,896,267,299	$ -
Municipal Securities	393,010,140	-	393,010,140	-
Bank Notes	58,170,557	-	58,170,557	-
Certificates of Deposit	60,011,634	-	60,011,634	-
Money Market Funds	79,606,886	79,606,886	-	-
Cash Equivalents	300,130,985	-	300,130,985	-
Total Investments in Securities:	$ 3,787,197,501	$ 79,606,886	$ 3,707,590,615	$ -

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $3,787,871,907. Net unrealized depreciation aggregated $674,406, of which $2,344,650 related to appreciated investment securities and $3,019,056 related to depreciated investment securities.

Investment Valuation

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities, and certificates of deposit are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices.

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

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Corporate Bond Fund

November 30, 2015

1.907010.105

CBD-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 81.1%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 7.0%
Automobiles - 1.6%
Ford Motor Co. 4.75% 1/15/43	$ 3,184,000		$ 3,054,634
General Motors Co.:
5% 4/1/35	2,537,000		2,425,342
5.2% 4/1/45	4,206,000		4,024,923
General Motors Financial Co., Inc. 3.1% 1/15/19	4,827,000		4,830,664
Volkswagen International Finance NV 2.375% 3/22/17 (b)	2,050,000		2,032,792
			16,368,355
Diversified Consumer Services - 0.0%
Ingersoll-Rand Global Holding Co. Ltd. 5.75% 6/15/43	396,000		437,744
Household Durables - 1.5%
D.R. Horton, Inc.:
3.75% 3/1/19	4,500,000		4,595,625
4% 2/15/20	5,000,000		5,082,500
Toll Brothers Finance Corp. 4.375% 4/15/23	5,750,000		5,640,750
			15,318,875
Internet & Catalog Retail - 0.5%
Amazon.com, Inc. 4.8% 12/5/34	5,101,000		5,369,134
Media - 3.2%
21st Century Fox America, Inc.:
6.15% 2/15/41	4,800,000		5,565,062
6.9% 8/15/39	300,000		364,753
7.75% 12/1/45	111,000		149,749
Comcast Corp.:
4.65% 7/15/42	2,200,000		2,296,173
6.4% 3/1/40	1,150,000		1,456,764
Discovery Communications LLC 4.875% 4/1/43	5,108,000		4,337,162
NBCUniversal, Inc. 5.15% 4/30/20	3,625,000		4,085,074
Time Warner Cable, Inc.:
4.5% 9/15/42	773,000		629,403
5.5% 9/1/41	623,000		573,292
5.875% 11/15/40	1,648,000		1,594,447
6.55% 5/1/37	2,531,000		2,564,366
6.75% 7/1/18	700,000		771,749
7.3% 7/1/38	1,188,000		1,287,250
8.25% 4/1/19	1,856,000		2,148,856
Time Warner, Inc.:
2.1% 6/1/19	3,000,000		2,987,004
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner, Inc.: - continued
6.2% 3/15/40	$ 1,700,000		$ 1,911,747
Viacom, Inc. 3.5% 4/1/17	34,000		34,677
			32,757,528
Specialty Retail - 0.2%
AutoZone, Inc. 3.7% 4/15/22	253,000		259,874
Home Depot, Inc. 5.95% 4/1/41	941,000		1,186,873
Lowe's Companies, Inc. 5.125% 11/15/41	650,000		721,471
			2,168,218
TOTAL CONSUMER DISCRETIONARY			72,419,854
CONSUMER STAPLES - 3.0%
Beverages - 1.2%
Constellation Brands, Inc.:
3.75% 5/1/21	2,000,000		2,025,000
4.25% 5/1/23	3,315,000		3,339,863
Heineken NV 4% 10/1/42 (b)	96,000		85,682
PepsiCo, Inc. 4.25% 10/22/44	6,629,000		6,641,555
			12,092,100
Food Products - 0.2%
The J.M. Smucker Co. 2.5% 3/15/20	1,642,000		1,639,202
Tobacco - 1.6%
Imperial Tobacco Finance PLC:
3.75% 7/21/22 (b)	4,575,000		4,636,602
4.25% 7/21/25 (b)	1,134,000		1,154,649
Philip Morris International, Inc. 4.375% 11/15/41	2,100,000		2,079,596
Reynolds American, Inc.:
2.3% 6/12/18	528,000		534,728
3.25% 6/12/20	436,000		446,654
3.25% 11/1/22	3,304,000		3,284,226
4% 6/12/22	366,000		380,724
4.45% 6/12/25	1,778,000		1,868,029
4.75% 11/1/42	470,000		453,733
5.7% 8/15/35	304,000		334,541
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Tobacco - continued
Reynolds American, Inc.: - continued
5.85% 8/15/45	$ 1,267,000		$ 1,418,999
6.75% 6/15/17	384,000		412,407
			17,004,888
TOTAL CONSUMER STAPLES			30,736,190
ENERGY - 10.8%
Energy Equipment & Services - 2.8%
DCP Midstream LLC:
4.75% 9/30/21 (b)	158,000		135,907
5.35% 3/15/20 (b)	10,096,000		9,403,334
5.85% 5/21/43 (b)(d)	7,500,000		5,925,000
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000		697,202
Ensco PLC:
5.2% 3/15/25	1,787,000		1,472,845
5.75% 10/1/44	561,000		434,730
Halliburton Co. 3.375% 11/15/22	5,850,000		5,883,316
Noble Holding International Ltd.:
2.5% 3/15/17	125,000		118,661
3.05% 3/1/16	450,000		451,815
5.95% 4/1/25	5,000,000		4,008,190
			28,531,000
Oil, Gas & Consumable Fuels - 8.0%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000		406,328
6.375% 9/15/17	3,626,000		3,880,074
Apache Corp. 4.75% 4/15/43	3,233,000		3,055,609
Boardwalk Pipelines LP 4.95% 12/15/24	4,120,000		3,748,178
Canadian Natural Resources Ltd. 3.9% 2/1/25	4,325,000		4,080,283
Cenovus Energy, Inc.:
3.8% 9/15/23	5,000,000		4,742,940
5.7% 10/15/19	1,189,000		1,284,292
Chevron Corp. 1.344% 11/9/17	7,500,000		7,511,348
DCP Midstream Operating LP:
2.5% 12/1/17	370,000		343,663
2.7% 4/1/19	64,000		56,703
3.875% 3/15/23	222,000		182,103
4.95% 4/1/22	1,925,000		1,728,673
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
DCP Midstream Operating LP: - continued
5.6% 4/1/44	$ 340,000		$ 256,870
Devon Energy Corp. 2.25% 12/15/18	910,000		904,419
El Paso Natural Gas Co. 5.95% 4/15/17	492,000		508,800
Enbridge Energy Partners LP 4.2% 9/15/21	140,000		137,139
EnLink Midstream Partners LP 2.7% 4/1/19	1,021,000		983,185
Enterprise Products Operating LP:
2.55% 10/15/19	163,000		161,076
3.75% 2/15/25	547,000		519,329
4.85% 3/15/44	2,023,000		1,784,899
4.95% 10/15/54	2,437,000		2,055,897
ONEOK Partners LP 2% 10/1/17	2,822,000		2,767,950
Petro-Canada 6.05% 5/15/18	4,470,000		4,857,643
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	39,000		38,805
Petroleos Mexicanos:
3.5% 7/18/18	959,000		965,876
5.5% 1/21/21	545,000		571,569
6% 3/5/20	116,000		124,956
6.375% 1/23/45	937,000		869,068
Phillips 66 Co.:
2.95% 5/1/17	2,767,000		2,819,888
4.3% 4/1/22	300,000		315,420
4.65% 11/15/34	3,750,000		3,718,485
Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24	5,000,000		4,342,800
Southeast Supply Header LLC 4.25% 6/15/24 (b)	667,000		642,653
Southwestern Energy Co. 4.95% 1/23/25	6,272,000		5,167,720
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000		59,719
Spectra Energy Partners, LP:
2.95% 6/15/16	452,000		455,167
4.6% 6/15/21	414,000		429,761
Talisman Energy, Inc. 3.75% 2/1/21	3,635,000		3,368,627
The Williams Companies, Inc. 5.75% 6/24/44	4,911,000		3,506,194
Western Gas Partners LP:
2.6% 8/15/18	858,000		842,277
5.375% 6/1/21	1,273,000		1,327,814
Williams Partners LP:
3.35% 8/15/22	2,500,000		2,130,773
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Williams Partners LP: - continued
4% 9/15/25	$ 5,000,000		$ 4,085,085
4.3% 3/4/24	491,000		426,136
			82,166,194
TOTAL ENERGY			110,697,194
FINANCIALS - 38.6%
Banks - 13.9%
Associated Banc-Corp. 5.125% 3/28/16	575,000		580,503
Bank of America Corp.:
2.65% 4/1/19	1,524,000		1,541,358
3.95% 4/21/25	4,128,000		4,083,265
4% 1/22/25	3,277,000		3,253,022
4.2% 8/26/24	10,942,000		11,049,582
5.75% 12/1/17	3,000,000		3,228,720
Barclays PLC 3.65% 3/16/25	4,116,000		3,990,573
BNP Paribas SA 4.25% 10/15/24	6,500,000		6,501,658
BPCE SA 5.15% 7/21/24 (b)	6,475,000		6,686,040
Citigroup, Inc.:
2.5% 7/29/19	4,000,000		4,034,856
4.05% 7/30/22	316,000		326,040
4.4% 6/10/25	1,221,000		1,241,707
5.3% 5/6/44	2,300,000		2,420,895
5.5% 9/13/25	1,317,000		1,446,872
Citizens Bank NA 2.3% 12/3/18	799,000		769,037
Citizens Financial Group, Inc. 4.15% 9/28/22 (b)	517,000		522,703
Credit Agricole SA 4.375% 3/17/25 (b)	3,636,000		3,572,614
Credit Suisse AG 6% 2/15/18	122,000		131,807
Credit Suisse New York Branch 3% 10/29/21	1,550,000		1,554,890
Discover Bank:
2% 2/21/18	3,900,000		3,880,980
7% 4/15/20	2,391,000		2,736,303
Fifth Third Bancorp:
4.3% 1/16/24	4,001,000		4,134,785
5.45% 1/15/17	1,232,000		1,285,859
8.25% 3/1/38	3,848,000		5,557,339
Huntington Bancshares, Inc. 7% 12/15/20	1,087,000		1,274,126
Intesa Sanpaolo SpA 5.017% 6/26/24 (b)	7,245,000		7,254,976
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
JPMorgan Chase & Co.:
3.875% 2/1/24	$ 5,000,000		$ 5,207,225
3.875% 9/10/24	5,237,000		5,264,761
4.125% 12/15/26	13,085,000		13,240,775
Rabobank Nederland 4.625% 12/1/23	4,531,000		4,722,412
Regions Bank 6.45% 6/26/37	2,611,000		3,113,482
Regions Financial Corp. 2% 5/15/18	558,000		555,640
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	3,640,000		3,744,501
6% 12/19/23	5,228,000		5,695,566
6.1% 6/10/23	1,000,000		1,088,390
6.125% 12/15/22	5,972,000		6,570,747
SunTrust Banks, Inc. 2.5% 5/1/19	5,184,000		5,224,332
Wells Fargo & Co. 4.65% 11/4/44	4,700,000		4,617,416
			142,105,757
Capital Markets - 5.9%
Blackstone Holdings Finance Co. LLC 4.45% 7/15/45 (b)	8,385,000		7,934,046
Deutsche Bank AG 4.5% 4/1/25	5,594,000		5,277,643
Goldman Sachs Group, Inc.:
2.55% 10/23/19	6,476,000		6,539,219
3.75% 5/22/25	6,000,000		6,083,820
4.25% 10/21/25	4,750,000		4,763,979
5.25% 7/27/21	1,227,000		1,372,072
5.95% 1/18/18	178,000		193,258
6.15% 4/1/18	204,000		223,725
Janus Capital Group, Inc. 4.875% 8/1/25	3,547,000		3,658,535
Lazard Group LLC 6.85% 6/15/17	31,000		33,062
Merrill Lynch & Co., Inc. 6.11% 1/29/37	2,269,000		2,621,153
Morgan Stanley:
4.3% 1/27/45	948,000		924,346
4.875% 11/1/22	9,466,000		10,238,047
5% 11/24/25	846,000		912,027
5.5% 7/28/21	1,222,000		1,387,043
5.625% 9/23/19	329,000		366,239
5.75% 1/25/21	557,000		634,862
6.625% 4/1/18	153,000		169,374
Peachtree Corners Funding Trust 3.976% 2/15/25 (b)	7,500,000		7,521,705
			60,854,155
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - 3.6%
Ally Financial, Inc.:
4.125% 2/13/22	$ 5,560,000		$ 5,546,100
4.75% 9/10/18	4,500,000		4,643,415
Caterpillar Financial Services Corp. 1.8% 11/13/18	7,500,000		7,522,800
Discover Financial Services:
3.85% 11/21/22	2,538,000		2,529,394
5.2% 4/27/22	2,355,000		2,535,362
Ford Motor Credit Co. LLC:
1.5% 1/17/17	599,000		596,917
2.597% 11/4/19	4,950,000		4,879,705
General Electric Capital Corp. 5.875% 1/14/38	150,000		184,236
Hyundai Capital America:
2.125% 10/2/17 (b)	197,000		196,591
2.55% 2/6/19 (b)	3,163,000		3,148,618
2.875% 8/9/18 (b)	4,930,000		4,995,372
			36,778,510
Diversified Financial Services - 3.0%
Berkshire Hathaway Finance Corp. 4.4% 5/15/42	107,000		106,387
CME Group, Inc. 5.3% 9/15/43	3,050,000		3,504,166
ING U.S., Inc.:
5.5% 7/15/22	2,028,000		2,270,056
5.7% 7/15/43	2,607,000		3,036,535
McGraw Hill Financial, Inc.:
3.3% 8/14/20 (b)	4,913,000		4,979,001
4% 6/15/25 (b)	6,038,000		6,046,423
Moody's Corp.:
2.75% 7/15/19	6,920,000		7,015,600
5.25% 7/15/44	3,386,000		3,495,029
			30,453,197
Insurance - 6.6%
ACE INA Holdings, Inc.:
2.3% 11/3/20	672,000		667,689
2.875% 11/3/22	641,000		637,233
3.35% 5/3/26	516,000		514,633
4.35% 11/3/45	525,000		526,264
American International Group, Inc.:
4.375% 1/15/55	2,685,000		2,381,168
4.5% 7/16/44	5,833,000		5,526,295
Aon Corp. 6.25% 9/30/40	253,000		292,854
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Aon PLC:
3.5% 6/14/24	$ 2,830,000		$ 2,786,141
4.75% 5/15/45	6,000,000		5,959,278
Assurant, Inc. 2.5% 3/15/18	3,842,000		3,868,533
Five Corners Funding Trust 4.419% 11/15/23 (b)	4,111,000		4,323,374
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(d)	66,000		66,413
Hartford Financial Services Group, Inc.:
4.3% 4/15/43	1,211,000		1,149,451
8.125% 6/15/38 (d)	4,915,000		5,443,363
Liberty Mutual Group, Inc. 4.95% 5/1/22 (b)	5,250,000		5,626,966
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	1,643,000		1,793,312
Massachusetts Mutual Life Insurance Co.:
4.5% 4/15/65 (b)	2,264,000		2,061,173
5.375% 12/1/41 (b)	148,000		159,914
New York Life Global Funding 1.55% 11/2/18 (b)	7,890,000		7,844,995
Pacific LifeCorp:
5.125% 1/30/43 (b)	1,285,000		1,314,858
6% 2/10/20 (b)	902,000		1,009,475
Prudential Financial, Inc.:
5.625% 5/12/41	1,170,000		1,318,659
5.625% 6/15/43 (d)	5,000,000		5,200,000
Symetra Financial Corp. 6.125% 4/1/16 (b)	615,000		623,395
TIAA Asset Management Finance LLC 2.95% 11/1/19 (b)	287,000		289,344
Unum Group:
5.625% 9/15/20	1,846,000		2,042,368
5.75% 8/15/42	3,748,000		4,134,430
7.125% 9/30/16	106,000		110,781
			67,672,359
Real Estate Investment Trusts - 2.2%
AvalonBay Communities, Inc. 4.2% 12/15/23	4,553,000		4,815,612
Camden Property Trust 4.25% 1/15/24	758,000		788,036
CommonWealth REIT 5.875% 9/15/20	1,260,000		1,361,537
Corporate Office Properties LP:
3.6% 5/15/23	2,201,000		2,028,644
3.7% 6/15/21	476,000		463,688
DDR Corp.:
4.625% 7/15/22	391,000		404,787
4.75% 4/15/18	1,764,000		1,852,290
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
DDR Corp.: - continued
7.5% 4/1/17	$ 4,000,000		$ 4,286,196
9.625% 3/15/16	214,000		218,916
Duke Realty LP:
3.875% 10/15/22	403,000		405,392
4.375% 6/15/22	206,000		212,817
6.75% 3/15/20	1,295,000		1,484,459
Equity One, Inc. 3.75% 11/15/22	3,000,000		2,911,905
Health Care REIT, Inc.:
2.25% 3/15/18	324,000		323,860
4.7% 9/15/17	548,000		574,295
Lexington Corporate Properties Trust 4.4% 6/15/24	250,000		249,867
Retail Opportunity Investments Partnership LP 5% 12/15/23	167,000		171,837
			22,554,138
Real Estate Management & Development - 3.4%
BioMed Realty LP:
2.625% 5/1/19	4,914,000		4,789,229
3.85% 4/15/16	914,000		920,342
4.25% 7/15/22	170,000		163,599
Brandywine Operating Partnership LP:
3.95% 2/15/23	2,017,000		1,971,484
4.1% 10/1/24	3,000,000		2,913,147
4.55% 10/1/29	2,014,000		1,954,055
4.95% 4/15/18	290,000		304,331
Essex Portfolio LP 5.5% 3/15/17	3,479,000		3,637,618
Liberty Property LP:
3.375% 6/15/23	1,087,000		1,034,782
4.125% 6/15/22	1,832,000		1,852,167
4.4% 2/15/24	1,039,000		1,058,665
4.75% 10/1/20	752,000		803,205
5.5% 12/15/16	2,436,000		2,531,654
6.625% 10/1/17	1,960,000		2,113,911
Mack-Cali Realty LP:
2.5% 12/15/17	488,000		484,319
3.15% 5/15/23	922,000		798,043
4.5% 4/18/22	94,000		90,822
7.75% 8/15/19	126,000		140,817
Mid-America Apartments LP 4.3% 10/15/23	180,000		183,110
Post Apartment Homes LP 3.375% 12/1/22	4,905,000		4,775,214
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	$ 276,000		$ 286,334
Reckson Operating Partnership LP 6% 3/31/16	286,000		289,790
Tanger Properties LP:
3.875% 12/1/23	398,000		399,186
6.125% 6/1/20	661,000		750,743
Ventas Realty LP 4.125% 1/15/26	345,000		344,752
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	508,000		507,522
			35,098,841
TOTAL FINANCIALS			395,516,957
HEALTH CARE - 5.4%
Biotechnology - 1.3%
AbbVie, Inc.:
1.75% 11/6/17	999,000		1,002,523
2.5% 5/14/20	1,885,000		1,873,287
3.2% 11/6/22	1,183,000		1,172,289
3.6% 5/14/25	1,758,000		1,742,125
4.4% 11/6/42	627,000		584,251
4.5% 5/14/35	1,694,000		1,648,206
Amgen, Inc. 2.2% 5/22/19	5,630,000		5,627,067
			13,649,748
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 4.685% 12/15/44	288,000		292,406
Medtronic, Inc. 3.15% 3/15/22	4,650,000		4,722,345
			5,014,751
Health Care Providers & Services - 1.4%
Express Scripts Holding Co. 4.75% 11/15/21	3,000,000		3,256,413
UnitedHealth Group, Inc.:
3.35% 7/15/22	378,000		388,352
3.75% 7/15/25	2,607,000		2,703,832
3.95% 10/15/42	132,000		124,427
4.25% 3/15/43	2,500,000		2,467,010
4.625% 7/15/35	745,000		787,259
4.625% 11/15/41	965,000		1,001,529
4.75% 7/15/45	1,829,000		1,928,792
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Health Care Providers & Services - continued
WellPoint, Inc.:
1.875% 1/15/18	$ 288,000		$ 288,761
2.375% 2/15/17	810,000		817,439
			13,763,814
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
2.15% 12/14/18	509,000		508,985
4.15% 2/1/24	248,000		259,868
5.3% 2/1/44	103,000		111,027
			879,880
Pharmaceuticals - 2.1%
Actavis Funding SCS 4.55% 3/15/35	5,473,000		5,383,954
Johnson & Johnson 4.5% 12/5/43	3,200,000		3,543,450
Roche Holdings, Inc. 3% 11/10/25 (b)	5,000,000		4,977,885
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	7,416,000		7,426,961
Zoetis, Inc.:
1.875% 2/1/18	123,000		121,971
3.45% 11/13/20	286,000		288,256
			21,742,477
TOTAL HEALTH CARE			55,050,670
INDUSTRIALS - 3.3%
Aerospace & Defense - 1.2%
L-3 Communications Corp. 3.95% 5/28/24	3,000,000		2,851,698
The Boeing Co. 1.65% 10/30/20	10,000,000		9,819,060
			12,670,758
Airlines - 0.1%
Aviation Capital Group Corp. 4.625% 1/31/18 (b)	549,000		564,098
Continental Airlines, Inc. 6.648% 3/15/19	33,749		34,677
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	48,965		51,903
8.36% 1/20/19	29,980		32,042
			682,720
Industrial Conglomerates - 0.8%
General Electric Co. 4.125% 10/9/42	434,000		424,481
Roper Industries, Inc. 2.05% 10/1/18	7,475,000		7,429,597
			7,854,078
Nonconvertible Bonds - continued
	Principal Amount		Value
INDUSTRIALS - continued
Machinery - 0.1%
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	$ 270,000		$ 267,004
4.65% 11/1/44	559,000		538,826
			805,830
Road & Rail - 0.3%
Burlington Northern Santa Fe LLC:
4.15% 4/1/45	1,008,000		926,504
4.4% 3/15/42	2,500,000		2,409,745
			3,336,249
Trading Companies & Distributors - 0.8%
Air Lease Corp.:
2.125% 1/15/18	408,000		401,962
3.75% 2/1/22	1,086,000		1,071,840
3.875% 4/1/21	3,305,000		3,338,050
W.W. Grainger, Inc. 4.6% 6/15/45	3,697,000		3,860,182
			8,672,034
TOTAL INDUSTRIALS			34,021,669
INFORMATION TECHNOLOGY - 2.1%
Electronic Equipment & Components - 0.5%
Amphenol Corp. 3.125% 9/15/21	264,000		260,538
Tyco Electronics Group SA:
2.375% 12/17/18	185,000		185,869
6.55% 10/1/17	4,758,000		5,173,697
			5,620,104
IT Services - 0.1%
The Western Union Co. 2.875% 12/10/17	926,000		940,513
Software - 0.8%
Oracle Corp.:
3.25% 5/15/30	4,148,000		3,906,080
4.375% 5/15/55	4,148,000		3,866,421
5.375% 7/15/40	240,000		267,820
			8,040,321
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
Technology Hardware, Storage & Peripherals - 0.7%
Hewlett Packard Enterprise Co.:
4.4% 10/15/22 (b)	$ 3,420,000		$ 3,434,104
6.2% 10/15/35 (b)	3,426,000		3,325,995
			6,760,099
TOTAL INFORMATION TECHNOLOGY			21,361,037
MATERIALS - 2.1%
Chemicals - 0.7%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (b)	5,220,000		5,176,831
Ecolab, Inc. 1.45% 12/8/17	434,000		431,452
Monsanto Co. 4.7% 7/15/64	1,925,000		1,620,586
			7,228,869
Metals & Mining - 1.4%
Alcoa, Inc.:
5.125% 10/1/24	543,000		513,814
5.4% 4/15/21	4,548,000		4,576,425
Anglo American Capital PLC 4.125% 4/15/21 (b)	5,693,000		4,697,249
BHP Billiton Financial (U.S.A.) Ltd.:
6.25% 10/19/75 (b)(d)	407,000		409,076
6.75% 10/19/75 (b)(d)	1,010,000		1,007,475
Corporacion Nacional del Cobre de Chile (Codelco):
4.875% 11/4/44 (b)	200,000		166,781
5.625% 10/18/43 (b)	425,000		398,114
Freeport-McMoRan, Inc. 3.875% 3/15/23	3,625,000		2,437,813
			14,206,747
TOTAL MATERIALS			21,435,616
TELECOMMUNICATION SERVICES - 3.5%
Diversified Telecommunication Services - 2.4%
AT&T, Inc.:
4.5% 5/15/35	4,270,000		4,013,048
4.75% 5/15/46	2,316,000		2,173,334
5.55% 8/15/41	2,700,000		2,775,354
British Telecommunications PLC 2.35% 2/14/19	4,623,000		4,641,150
Verizon Communications, Inc.:
2.45% 11/1/22	634,000		609,874
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Verizon Communications, Inc.: - continued
3.5% 11/1/21	$ 1,420,000		$ 1,459,049
4.6% 4/1/21	460,000		498,881
5.012% 8/21/54	6,001,000		5,687,796
6.4% 9/15/33	1,509,000		1,762,064
6.55% 9/15/43	999,000		1,206,532
			24,827,082
Wireless Telecommunication Services - 1.1%
America Movil S.A.B. de CV 2.375% 9/8/16	1,450,000		1,461,622
Rogers Communications, Inc. 4.1% 10/1/23	4,398,000		4,583,644
Vodafone Group PLC 5.625% 2/27/17	5,000,000		5,252,610
			11,297,876
TOTAL TELECOMMUNICATION SERVICES			36,124,958
UTILITIES - 5.3%
Electric Utilities - 2.4%
Cleveland Electric Illuminating Co. 5.7% 4/1/17	223,000		231,821
DPL, Inc. 6.75% 10/1/19	3,400,000		3,459,500
Duke Energy Carolinas LLC 4.25% 12/15/41	106,000		107,222
Duke Energy Industries, Inc. 4.9% 7/15/43	3,000,000		3,266,793
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (b)	500,000		562,105
6.4% 9/15/20 (b)	1,310,000		1,491,561
FirstEnergy Corp.:
2.75% 3/15/18	699,000		701,924
4.25% 3/15/23	1,919,000		1,946,683
7.375% 11/15/31	6,145,000		7,416,548
Florida Power & Light Co. 5.69% 3/1/40	1,000,000		1,229,458
IPALCO Enterprises, Inc. 3.45% 7/15/20	1,894,000		1,865,590
Nevada Power Co. 6.65% 4/1/36	500,000		640,513
Tampa Electric Co. 6.55% 5/15/36	500,000		637,224
TECO Finance, Inc. 5.15% 3/15/20	114,000		124,289
Xcel Energy, Inc. 4.8% 9/15/41	554,000		571,467
			24,252,698
Gas Utilities - 0.7%
Boston Gas Co. 4.487% 2/15/42 (b)	2,000,000		1,959,524
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Gas Utilities - continued
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (b)	$ 5,023,000		$ 4,860,250
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	18,000		17,840
			6,837,614
Independent Power and Renewable Electricity Producers - 0.3%
TransAlta Corp. 1.9% 6/3/17	3,700,000		3,642,128
Multi-Utilities - 1.9%
Dominion Resources, Inc.:
2.6266% 9/30/66 (d)	7,158,000		5,581,730
7.5% 6/30/66 (d)	145,000		125,991
NiSource Finance Corp.:
5.25% 2/15/43	234,000		252,788
5.95% 6/15/41	1,493,000		1,732,219
6.4% 3/15/18	24,000		26,327
Puget Energy, Inc.:
3.65% 5/15/25 (b)	2,935,000		2,862,969
5.625% 7/15/22	4,240,000		4,733,265
6.5% 12/15/20	613,000		706,780
Sempra Energy:
2.3% 4/1/17	3,024,000		3,047,339
2.875% 10/1/22	224,000		218,512
Wisconsin Energy Corp. 6.25% 5/15/67 (d)	117,000		95,940
			19,383,860
TOTAL UTILITIES			54,116,300
TOTAL NONCONVERTIBLE BONDS (Cost $840,058,008)		831,480,445
U.S. Treasury Obligations - 1.0%

U.S. Treasury Bonds 2.875% 8/15/45 (Cost $10,117,890)	10,140,000		9,913,827
Municipal Securities - 2.0%

American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	280,000		410,824
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	40,000		57,049
Municipal Securities - continued
	Principal Amount		Value
California Gen. Oblig.: - continued
7.3% 10/1/39	$ 2,015,000		$ 2,853,119
7.5% 4/1/34	1,165,000		1,651,958
7.55% 4/1/39	1,815,000		2,680,610
7.6% 11/1/40	6,715,000		10,093,182
7.625% 3/1/40	345,000		508,133
Chicago Gen. Oblig.:
(Taxable Proj.) Series 2012 B, 5.432% 1/1/42	160,000		141,226
6.314% 1/1/44	2,280,000		2,214,929
TOTAL MUNICIPAL SECURITIES (Cost $19,448,770)		20,611,030
Bank Notes - 2.5%

Capital One Bank NA 2.3% 6/5/19	5,000,000		4,947,950
JPMorgan Chase Bank 6% 10/1/17	10,850,000		11,681,598
Marshall & Ilsley Bank 5% 1/17/17	1,027,000		1,062,436
Regions Bank 7.5% 5/15/18	7,499,000		8,379,780
TOTAL BANK NOTES (Cost $25,665,206)		26,071,764

Fixed-Income Funds - 4.1%
	Shares
Fidelity Specialized High Income Central Fund (e) (Cost $43,636,503)	417,165	41,704,014

Preferred Securities - 1.1%
	Principal Amount
FINANCIALS - 1.1%
Banks - 1.1%
Barclays Bank PLC 7.625% 11/21/22	$ 10,030,969		11,332,270
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (c)(d)	102,000		106,768
TOTAL PREFERRED SECURITIES (Cost $11,719,405)		11,439,038

Money Market Funds - 7.5%
	Shares		Value
Fidelity Cash Central Fund, 0.18% (a) (Cost $76,845,223)	76,845,223		$ 76,845,223
TOTAL INVESTMENT PORTFOLIO - 99.3% (Cost $1,027,491,005)			1,018,065,341
NET OTHER ASSETS (LIABILITIES) - 0.7%			6,840,516
NET ASSETS - 100%		$ 1,024,905,857

Legend

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

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

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 33,794
Fidelity Specialized High Income Central Fund	581,306
Total	$ 615,100

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

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Specialized High Income Central Fund	$ 41,748,012	$ 581,306	$ -	$ 41,704,014	5.1%

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 831,480,445	$ -	$ 831,480,445	$ -
U.S. Government and Government Agency Obligations	9,913,827	-	9,913,827	-
Municipal Securities	20,611,030	-	20,611,030	-
Bank Notes	26,071,764	-	26,071,764	-
Fixed-Income Funds	41,704,014	41,704,014	-	-
Preferred Securities	11,439,038	-	11,439,038	-
Money Market Funds	76,845,223	76,845,223	-	-
Total Investments in Securities:	$ 1,018,065,341	$ 118,549,237	$ 899,516,104	$ -

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $1,027,137,539. Net unrealized depreciation aggregated $9,072,198, of which $17,152,561 related to appreciated investment securities and $26,224,759 related to depreciated investment securities.

Investment Valuation

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Intermediate Bond Fund

November 30, 2015

1.813081.111

IBF-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 49.7%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 4.4%
Automobiles - 1.3%
Daimler Finance North America LLC:
1.45% 8/1/16 (b)	$ 2,380		$ 2,384
2.25% 9/3/19 (b)	17,149		17,078
General Motors Financial Co., Inc.:
2.4% 4/10/18	6,610		6,581
3.1% 1/15/19	4,690		4,694
3.15% 1/15/20	6,680		6,628
Volkswagen Group of America Finance LLC 2.125% 5/23/19 (b)	3,670		3,439
			40,804
Household Durables - 0.5%
D.R. Horton, Inc. 4% 2/15/20	8,000		8,132
Toll Brothers Finance Corp.:
4% 12/31/18	5,175		5,356
4.875% 11/15/25	4,400		4,356
			17,844
Media - 2.2%
21st Century Fox America, Inc. 6.9% 3/1/19	5,426		6,197
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25 (b)	4,820		4,895
Comcast Corp.:
4.95% 6/15/16	2,432		2,488
5.15% 3/1/20	4,685		5,279
5.7% 5/15/18	355		390
COX Communications, Inc. 6.25% 6/1/18 (b)	4,000		4,318
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
2.4% 3/15/17	4,504		4,557
5.875% 10/1/19	287		323
Discovery Communications LLC 3.25% 4/1/23	563		524
NBCUniversal, Inc. 5.15% 4/30/20	6,800		7,663
Time Warner Cable, Inc.:
5.85% 5/1/17	8,733		9,157
6.75% 7/1/18	7,189		7,926
8.25% 4/1/19	2,550		2,952
Time Warner, Inc. 4.875% 3/15/20	5,060		5,537
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Viacom, Inc.:
3.5% 4/1/17	$ 3,145		$ 3,208
6.125% 10/5/17	3,071		3,287
			68,701
Specialty Retail - 0.4%
AutoZone, Inc. 3.7% 4/15/22	3,290		3,379
Lowe's Companies, Inc. 4.625% 4/15/20	4,793		5,243
TJX Companies, Inc. 2.75% 6/15/21	3,201		3,261
			11,883
TOTAL CONSUMER DISCRETIONARY			139,232
CONSUMER STAPLES - 2.8%
Beverages - 0.8%
Anheuser-Busch InBev Finance, Inc. 2.15% 2/1/19	6,585		6,610
PepsiCo, Inc. 7.9% 11/1/18	5,580		6,555
SABMiller Holdings, Inc.:
2.2% 8/1/18 (b)	3,580		3,579
2.45% 1/15/17 (b)	8,430		8,511
			25,255
Food & Staples Retailing - 0.3%
CVS Health Corp.:
2.8% 7/20/20	2,854		2,898
3.5% 7/20/22	1,679		1,725
4.125% 5/15/21	4,367		4,661
			9,284
Food Products - 0.5%
Cargill, Inc.:
3.25% 11/15/21 (b)	4,000		4,045
6% 11/27/17 (b)	781		844
Kraft Foods Group, Inc. 2.25% 6/5/17	4,150		4,197
Tyson Foods, Inc. 2.65% 8/15/19	3,500		3,525
William Wrigley Jr. Co. 2% 10/20/17 (b)	2,937		2,954
			15,565
Tobacco - 1.2%
BAT International Finance PLC:
2.75% 6/15/20 (b)	6,420		6,502
3.5% 6/15/22 (b)	4,810		4,940
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - continued
Imperial Tobacco Finance PLC 3.75% 7/21/22 (b)	$ 4,789		$ 4,853
Philip Morris International, Inc. 4.5% 3/26/20	6,800		7,438
Reynolds American, Inc.:
3.25% 6/12/20	1,184		1,213
3.25% 11/1/22	2,145		2,132
4% 6/12/22	2,191		2,279
4.45% 6/12/25	4,820		5,064
5.7% 8/15/35	824		907
6.75% 6/15/17	3,818		4,100
			39,428
TOTAL CONSUMER STAPLES			89,532
ENERGY - 6.0%
Energy Equipment & Services - 0.8%
DCP Midstream LLC 5.35% 3/15/20 (b)	4,118		3,835
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	5,067		5,369
Halliburton Co.:
2.7% 11/15/20	2,254		2,260
3.8% 11/15/25	1,675		1,687
6.15% 9/15/19	2,601		2,951
Nabors Industries, Inc. 2.35% 9/15/16	1,770		1,766
Noble Holding International Ltd.:
2.5% 3/15/17	1,741		1,653
5.95% 4/1/25	401		321
Petrofac Ltd. 3.4% 10/10/18 (b)	4,400		4,303
			24,145
Oil, Gas & Consumable Fuels - 5.2%
Anadarko Petroleum Corp.:
5.95% 9/15/16	373		386
6.375% 9/15/17	3,957		4,234
BG Energy Capital PLC 2.875% 10/15/16 (b)	4,300		4,354
Boardwalk Pipelines LP 4.95% 12/15/24	4,140		3,766
BP Capital Markets PLC:
2.315% 2/13/20	4,980		4,983
2.521% 1/15/20	3,410		3,442
3.2% 3/11/16	4,270		4,300
3.245% 5/6/22	4,160		4,207
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Canadian Natural Resources Ltd. 3.9% 2/1/25	$ 3,400		$ 3,208
Cenovus Energy, Inc. 5.7% 10/15/19	7,250		7,831
Columbia Pipeline Group, Inc. 3.3% 6/1/20 (b)	2,974		2,940
ConocoPhillips Co. 2.2% 5/15/20	2,031		2,021
DCP Midstream Operating LP:
2.5% 12/1/17	1,922		1,785
2.7% 4/1/19	1,120		992
3.875% 3/15/23	3,530		2,896
Devon Energy Corp. 2.25% 12/15/18	3,355		3,334
El Paso Natural Gas Co. 5.95% 4/15/17	178		184
Enbridge Energy Partners LP 4.2% 9/15/21	4,308		4,220
Enterprise Products Operating LP:
2.55% 10/15/19	693		685
4.05% 2/15/22	4,350		4,406
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (b)	170		174
Kinder Morgan Energy Partners LP 2.65% 2/1/19	4,636		4,272
Kinder Morgan, Inc. 2% 12/1/17	1,246		1,209
Marathon Petroleum Corp. 3.5% 3/1/16	5,906		5,943
MPLX LP 4% 2/15/25	500		453
Petro-Canada 6.05% 5/15/18	1,874		2,037
Petrobras Global Finance BV 4.375% 5/20/23	8,700		6,068
Petroleos Mexicanos:
3.5% 1/30/23	3,205		2,941
4.875% 1/24/22	4,300		4,313
4.875% 1/18/24	3,680		3,614
Phillips 66 Co. 2.95% 5/1/17	8,400		8,561
Plains All American Pipeline LP/PAA Finance Corp.:
2.6% 12/15/19	4,350		4,156
5.75% 1/15/20	6,268		6,553
Schlumberger Investment SA 1.25% 8/1/17 (b)	6,000		5,967
Shell International Finance BV 2.125% 5/11/20	4,895		4,879
Southeast Supply Header LLC 4.25% 6/15/24 (b)	3,066		2,954
Southwestern Energy Co. 4.05% 1/23/20	2,364		2,095
Spectra Energy Capital, LLC 5.65% 3/1/20	237		253
Suncor Energy, Inc. 6.1% 6/1/18	5,571		6,080
The Williams Companies, Inc.:
3.7% 1/15/23	1,003		807
4.55% 6/24/24	4,547		3,731
Total Capital International SA 2.125% 1/10/19	8,195		8,287
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	$ 1,717		$ 1,746
Western Gas Partners LP:
2.6% 8/15/18	3,512		3,448
5.375% 6/1/21	4,300		4,485
Williams Partners LP 4.3% 3/4/24	4,990		4,331
			163,531
TOTAL ENERGY			187,676
FINANCIALS - 23.7%
Banks - 10.1%
Bank of America Corp.:
2% 1/11/18	3,000		3,012
2.65% 4/1/19	7,598		7,685
3.875% 3/22/17	326		336
4.2% 8/26/24	3,440		3,474
4.25% 10/22/26	3,412		3,424
5.75% 12/1/17	6,840		7,361
5.875% 1/5/21	5,905		6,733
Bank of Montreal 2.5% 1/11/17	4,210		4,277
Bank of Nova Scotia 2.8% 7/21/21	3,440		3,468
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1.65% 2/26/18 (b)	4,760		4,717
2.3% 3/5/20 (b)	3,320		3,287
Barclays PLC:
2.75% 11/8/19	2,863		2,866
2.875% 6/8/20	4,810		4,825
BNP Paribas 2.375% 9/14/17	6,400		6,470
BNP Paribas SA 2.45% 3/17/19	3,370		3,387
Capital One NA 2.95% 7/23/21	3,430		3,417
CIT Group, Inc. 3.875% 2/19/19	7,345		7,354
Citigroup, Inc.:
1.75% 5/1/18	6,000		5,976
2.15% 7/30/18	6,591		6,630
2.55% 4/8/19	11,680		11,820
4.4% 6/10/25	3,290		3,346
6.125% 5/15/18	100		110
Citizens Bank NA 2.45% 12/4/19	6,790		6,697
Citizens Financial Group, Inc. 4.15% 9/28/22 (b)	1,271		1,285
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Comerica, Inc. 2.125% 5/23/19	$ 2,052		$ 2,046
Commonwealth Bank of Australia:
2.25% 3/13/19	8,340		8,379
2.3% 9/6/19	3,440		3,443
Credit Suisse AG 6% 2/15/18	9,794		10,581
Credit Suisse New York Branch 3% 10/29/21	3,500		3,511
Discover Bank 2% 2/21/18	8,400		8,359
Fifth Third Bancorp:
2.875% 7/27/20	3,200		3,211
4.5% 6/1/18	440		465
First Horizon National Corp. 3.5% 12/15/20	7,958		7,931
HBOS PLC 6.75% 5/21/18 (b)	3,004		3,298
HSBC Bank PLC 1.5% 5/15/18 (b)	3,890		3,864
HSBC Holdings PLC:
4% 3/30/22	3,778		3,985
5.1% 4/5/21	4,270		4,780
HSBC U.S.A., Inc. 2.625% 9/24/18	1,804		1,839
Huntington Bancshares, Inc. 7% 12/15/20	1,204		1,411
Huntington National Bank 2.2% 4/1/19	4,985		4,950
Intesa Sanpaolo SpA 2.375% 1/13/17	6,760		6,791
JPMorgan Chase & Co.:
2.2% 10/22/19	8,475		8,486
2.35% 1/28/19	7,995		8,083
3.875% 9/10/24	5,168		5,195
4.125% 12/15/26	5,070		5,130
4.5% 1/24/22	4,210		4,568
KeyCorp. 5.1% 3/24/21	4,303		4,742
Mitsubishi UFJ Trust & Banking Corp. 2.45% 10/16/19 (b)	5,070		5,068
Mizuho Bank Ltd.:
1.55% 10/17/17 (b)	7,500		7,467
2.4% 3/26/20 (b)	6,705		6,649
MUFG Americas Holdings Corp.:
1.625% 2/9/18	977		971
2.25% 2/10/20	3,292		3,259
Nordea Bank AB 2.375% 4/4/19 (b)	3,360		3,382
PNC Bank NA 2.45% 11/5/20	4,458		4,458
Rabobank Nederland New York Branch 2.25% 1/14/19	6,560		6,612
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Regions Financial Corp. 2% 5/15/18	$ 3,910		$ 3,893
Royal Bank of Canada:
1.5% 1/16/18	8,080		8,073
2.35% 10/30/20	6,360		6,327
Royal Bank of Scotland Group PLC 5.125% 5/28/24	5,130		5,277
Sumitomo Mitsui Banking Corp. 2.45% 1/10/19	4,000		4,026
The Toronto Dominion Bank 2.625% 9/10/18	5,842		5,985
Wells Fargo & Co.:
2.15% 1/15/19	5,077		5,109
3% 1/22/21	6,034		6,178
4.3% 7/22/27	4,780		4,924
			314,663
Capital Markets - 3.2%
BlackRock, Inc. 4.25% 5/24/21	3,460		3,762
Deutsche Bank AG London Branch 2.5% 2/13/19	8,876		8,961
Goldman Sachs Group, Inc.:
2.375% 1/22/18	4,020		4,071
2.625% 1/31/19	7,920		8,063
5.95% 1/18/18	10,163		11,034
6.15% 4/1/18	3,044		3,338
Lazard Group LLC:
4.25% 11/14/20	1,723		1,799
6.85% 6/15/17	935		997
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	1,406		1,519
6.875% 4/25/18	5,859		6,521
Morgan Stanley:
2.125% 4/25/18	3,910		3,940
2.375% 7/23/19	3,430		3,453
2.5% 1/24/19	9,985		10,145
2.65% 1/27/20	5,010		5,048
4.875% 11/1/22	3,010		3,255
5.625% 9/23/19	933		1,039
5.75% 1/25/21	4,378		4,990
5.95% 12/28/17	2,475		2,682
7.3% 5/13/19	3,668		4,272
UBS AG Stamford Branch:
1.375% 6/1/17	2,431		2,423
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
UBS AG Stamford Branch: - continued
1.8% 3/26/18	$ 4,881		$ 4,886
2.375% 8/14/19	5,170		5,195
			101,393
Consumer Finance - 1.4%
Capital One Financial Corp. 2.45% 4/24/19	2,760		2,783
Discover Financial Services:
3.85% 11/21/22	196		195
5.2% 4/27/22	710		764
6.45% 6/12/17	2,977		3,170
Ford Motor Credit Co. LLC:
1.7% 5/9/16	4,000		4,010
3.157% 8/4/20	3,320		3,321
4.25% 9/20/22	4,080		4,237
General Electric Capital Corp. 6.375% 11/15/67 (d)	5,670		6,024
Hyundai Capital America:
2.125% 10/2/17 (b)	1,463		1,460
2.55% 2/6/19 (b)	2,513		2,502
2.6% 3/19/20 (b)	6,620		6,531
2.875% 8/9/18 (b)	1,665		1,687
3% 10/30/20 (b)	6,329		6,310
Synchrony Financial:
1.875% 8/15/17	822		820
3% 8/15/19	1,208		1,214
			45,028
Diversified Financial Services - 0.3%
Brixmor Operating Partnership LP:
3.85% 2/1/25	2,929		2,870
3.875% 8/15/22	2,163		2,151
IntercontinentalExchange, Inc. 2.75% 12/1/20	1,103		1,107
McGraw Hill Financial, Inc. 2.5% 8/15/18 (b)	1,947		1,960
			8,088
Insurance - 3.1%
ACE INA Holdings, Inc. 2.3% 11/3/20	2,130		2,116
AIA Group Ltd. 2.25% 3/11/19 (b)	743		741
American International Group, Inc. 4.875% 6/1/22	4,038		4,405
Aon Corp. 5% 9/30/20	4,000		4,398
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(d)	$ 1,929		$ 1,941
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	1,889		2,090
5.375% 3/15/17	149		156
Liberty Mutual Group, Inc. 5% 6/1/21 (b)	4,280		4,603
Marsh & McLennan Companies, Inc.:
2.55% 10/15/18	3,559		3,606
4.8% 7/15/21	3,265		3,564
MassMutual Global Funding II 2.45% 11/23/20 (b)	4,750		4,759
Metropolitan Life Global Funding I:
1.5% 1/10/18 (b)	9,444		9,421
2.3% 4/10/19 (b)	8,370		8,439
New York Life Global Funding 1.55% 11/2/18 (b)	11,120		11,057
Pacific LifeCorp 6% 2/10/20 (b)	2,213		2,477
Prudential Financial, Inc.:
3.5% 5/15/24	3,345		3,381
4.5% 11/15/20	4,820		5,210
Symetra Financial Corp. 6.125% 4/1/16 (b)	6,640		6,731
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b)	4,303		4,427
TIAA Asset Management Finance LLC 2.95% 11/1/19 (b)	980		988
Unum Group:
4% 3/15/24	3,330		3,353
5.625% 9/15/20	5,021		5,555
7.125% 9/30/16	4,802		5,019
			98,437
Real Estate Investment Trusts - 3.3%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	723		715
4.6% 4/1/22	1,262		1,316
American Campus Communities Operating Partnership LP 3.35% 10/1/20	2,428		2,431
AvalonBay Communities, Inc.:
3.625% 10/1/20	1,583		1,650
4.2% 12/15/23	6,745		7,134
Boston Properties, Inc. 3.85% 2/1/23	3,900		4,021
Camden Property Trust 4.25% 1/15/24	2,807		2,918
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Corporate Office Properties LP:
3.7% 6/15/21	$ 2,256		$ 2,198
5% 7/1/25	1,529		1,485
DDR Corp.:
3.625% 2/1/25	1,578		1,501
4.625% 7/15/22	1,318		1,364
4.75% 4/15/18	3,000		3,150
7.5% 4/1/17	2,748		2,945
Digital Delta Holdings LLC 3.4% 10/1/20 (b)	3,292		3,306
Duke Realty LP:
3.625% 4/15/23	1,976		1,935
3.875% 10/15/22	3,009		3,027
6.75% 3/15/20	291		334
8.25% 8/15/19	57		68
Equity One, Inc.:
3.75% 11/15/22	8,200		7,959
6% 9/15/17	3,451		3,668
6.25% 1/15/17	545		570
ERP Operating LP:
3.375% 6/1/25	4,900		4,870
4.625% 12/15/21	3,194		3,484
4.75% 7/15/20	2,996		3,261
Federal Realty Investment Trust 5.9% 4/1/20	42		48
HCP, Inc. 4.25% 11/15/23	5,100		5,162
Health Care REIT, Inc.:
2.25% 3/15/18	1,651		1,650
4% 6/1/25	5,264		5,193
HRPT Properties Trust:
6.25% 6/15/17	1,361		1,411
6.65% 1/15/18	792		842
Kimco Realty Corp.:
3.2% 5/1/21	5,040		5,076
3.4% 11/1/22	2,493		2,483
Lexington Corporate Properties Trust 4.4% 6/15/24	1,190		1,189
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	1,111		1,089
4.5% 4/1/27 (b)	3,298		3,142
4.95% 4/1/24	1,104		1,116
5.25% 1/15/26 (b)	3,160		3,247
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Select Income REIT 2.85% 2/1/18	$ 1,609		$ 1,610
Simon Property Group LP 2.2% 2/1/19	3,118		3,139
			101,707
Real Estate Management & Development - 2.3%
BioMed Realty LP:
3.85% 4/15/16	8,587		8,647
6.125% 4/15/20	1,521		1,633
Brandywine Operating Partnership LP:
3.95% 2/15/23	4,106		4,013
5.7% 5/1/17	2,338		2,448
Digital Realty Trust LP 3.95% 7/1/22	2,154		2,136
Essex Portfolio LP:
3.875% 5/1/24	2,403		2,423
5.5% 3/15/17	3,558		3,720
Liberty Property LP:
4.125% 6/15/22	1,971		1,993
4.75% 10/1/20	7,111		7,595
5.5% 12/15/16	1,941		2,017
6.625% 10/1/17	2,744		2,959
Mack-Cali Realty LP:
2.5% 12/15/17	2,891		2,869
4.5% 4/18/22	1,234		1,192
7.75% 8/15/19	539		602
Mid-America Apartments LP:
4% 11/15/25	807		805
4.3% 10/15/23	696		708
Post Apartment Homes LP 3.375% 12/1/22	2,705		2,633
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	2,195		2,277
Regency Centers LP:
3.75% 6/15/24	2,349		2,344
5.875% 6/15/17	1,280		1,355
Tanger Properties LP:
3.75% 12/1/24	3,076		3,032
6.125% 6/1/20	4,208		4,779
Ventas Realty LP:
1.25% 4/17/17	1,643		1,633
4.125% 1/15/26	1,037		1,036
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	$ 2,589		$ 2,587
Washington Prime Group LP 3.85% 4/1/20	4,940		5,002
			72,438
TOTAL FINANCIALS			741,754
HEALTH CARE - 3.1%
Biotechnology - 0.8%
AbbVie, Inc.:
2.5% 5/14/20	5,045		5,014
2.9% 11/6/22	4,110		4,020
3.2% 11/6/22	3,165		3,136
Amgen, Inc.:
2.125% 5/1/20	3,530		3,490
2.2% 5/22/19	2,820		2,819
5.85% 6/1/17	3,264		3,470
Celgene Corp. 2.875% 8/15/20	3,000		3,013
			24,962
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 2.675% 12/15/19	1,021		1,033
Medtronic, Inc. 2.5% 3/15/20	6,790		6,878
Zimmer Biomet Holdings, Inc. 1.45% 4/1/17	6,268		6,240
			14,151
Health Care Providers & Services - 1.1%
Aetna, Inc. 2.75% 11/15/22	597		579
Cardinal Health, Inc. 1.95% 6/15/18	936		937
Express Scripts Holding Co. 2.25% 6/15/19	5,140		5,116
Express Scripts, Inc. 3.125% 5/15/16	3,905		3,942
McKesson Corp. 2.284% 3/15/19	3,330		3,336
UnitedHealth Group, Inc.:
1.4% 10/15/17	840		842
2.7% 7/15/20	2,557		2,603
2.75% 2/15/23	684		672
3.35% 7/15/22	1,155		1,187
3.875% 10/15/20	5,296		5,644
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Providers & Services - continued
WellPoint, Inc.:
3.125% 5/15/22	$ 4,290		$ 4,228
4.35% 8/15/20	5,502		5,846
			34,932
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
3.3% 2/15/22	3,414		3,421
4.15% 2/1/24	918		962
			4,383
Pharmaceuticals - 0.6%
Actavis Funding SCS:
2.35% 3/12/18	5,020		5,066
3% 3/12/20	2,840		2,876
Bayer U.S. Finance LLC:
2.375% 10/8/19 (b)	4,070		4,095
3% 10/8/21 (b)	1,764		1,791
Perrigo Co. PLC 1.3% 11/8/16	911		905
Perrigo Finance PLC 3.5% 12/15/21	833		818
Zoetis, Inc.:
3.25% 2/1/23	1,553		1,485
3.45% 11/13/20	887		894
			17,930
TOTAL HEALTH CARE			96,358
INDUSTRIALS - 1.6%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc. 3.8% 10/7/24 (b)	2,162		2,163
Airlines - 0.1%
Continental Airlines, Inc.:
6.648% 3/15/19	980		1,006
6.795% 2/2/20	40		41
6.9% 7/2/19	397		409
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,418		1,503
8.36% 1/20/19	869		929
			3,888
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Industrial Conglomerates - 0.8%
Covidien International Finance SA 6% 10/15/17	$ 3,234		$ 3,500
Danaher Corp.:
2.4% 9/15/20	1,130		1,136
3.35% 9/15/25	2,943		2,999
General Electric Co.:
2.7% 10/9/22	3,340		3,351
3.375% 3/11/24	5,802		6,042
Roper Industries, Inc.:
2.05% 10/1/18	5,730		5,695
3% 12/15/20	3,140		3,139
			25,862
Machinery - 0.3%
Deere & Co. 2.6% 6/8/22	8,200		8,131
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20	924		914
			9,045
Road & Rail - 0.1%
Burlington Northern Santa Fe LLC 3.45% 9/15/21	4,262		4,391
Trading Companies & Distributors - 0.2%
Air Lease Corp.:
3.875% 4/1/21	3,200		3,232
4.75% 3/1/20	2,913		3,071
			6,303
TOTAL INDUSTRIALS			51,652
INFORMATION TECHNOLOGY - 1.6%
Electronic Equipment & Components - 0.1%
Amphenol Corp. 3.125% 9/15/21	1,119		1,104
Tyco Electronics Group SA 6.55% 10/1/17	2,606		2,834
			3,938
IT Services - 0.2%
MasterCard, Inc. 3.375% 4/1/24	4,969		5,083
Software - 0.5%
Oracle Corp.:
2.5% 5/15/22	8,220		8,151
3.875% 7/15/20	6,900		7,421
			15,572
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
Technology Hardware, Storage & Peripherals - 0.8%
Apple, Inc.:
1% 5/3/18	$ 11,730		$ 11,663
2.85% 5/6/21	5,040		5,173
Hewlett Packard Enterprise Co. 3.6% 10/15/20 (b)	7,941		8,004
			24,840
TOTAL INFORMATION TECHNOLOGY			49,433
MATERIALS - 1.2%
Chemicals - 0.6%
Albemarle Corp. U.S. 3% 12/1/19	4,421		4,394
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 2.45% 5/1/20 (b)	2,969		2,944
Ecolab, Inc. 1.45% 12/8/17	2,207		2,194
The Dow Chemical Co. 4.125% 11/15/21	4,063		4,275
The Mosaic Co. 4.25% 11/15/23	5,095		5,112
			18,919
Metals & Mining - 0.6%
Anglo American Capital PLC:
4.125% 4/15/21 (b)	3,440		2,838
9.375% 4/8/19 (b)	3,822		3,956
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (b)	4,300		4,229
Freeport-McMoRan, Inc. 3.875% 3/15/23	5,260		3,537
Vale Overseas Ltd. 6.25% 1/23/17	3,005		3,058
			17,618
TOTAL MATERIALS			36,537
TELECOMMUNICATION SERVICES - 1.5%
Diversified Telecommunication Services - 1.1%
AT&T, Inc.:
2.45% 6/30/20	2,237		2,200
3% 6/30/22	4,920		4,867
3.4% 5/15/25	4,920		4,771
British Telecommunications PLC:
1.625% 6/28/16	2,146		2,153
2.35% 2/14/19	1,992		2,000
CenturyLink, Inc. 6.15% 9/15/19	3,860		3,966
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Deutsche Telekom International Financial BV 3.125% 4/11/16 (b)	$ 6,407		$ 6,455
SBA Tower Trust 3.156% 10/15/20 (b)	4,730		4,670
Verizon Communications, Inc. 5.15% 9/15/23	4,000		4,473
			35,555
Wireless Telecommunication Services - 0.4%
America Movil S.A.B. de CV 2.375% 9/8/16	4,330		4,365
Rogers Communications, Inc. 4.1% 10/1/23	3,500		3,648
Vodafone Group PLC 1.5% 2/19/18	4,000		3,985
			11,998
TOTAL TELECOMMUNICATION SERVICES			47,553
UTILITIES - 3.8%
Electric Utilities - 2.1%
AmerenUE 6.4% 6/15/17	3,867		4,153
Commonwealth Edison Co. 4% 8/1/20	4,400		4,681
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (b)	369		420
Edison International 3.75% 9/15/17	2,938		3,039
Entergy Corp. 4% 7/15/22	4,800		4,920
Eversource Energy 2.8% 5/1/23	4,679		4,516
Exelon Corp. 2.85% 6/15/20	934		936
FirstEnergy Corp.:
2.75% 3/15/18	3,372		3,386
4.25% 3/15/23	4,000		4,058
LG&E and KU Energy LLC 3.75% 11/15/20	19		20
Nevada Power Co.:
6.5% 5/15/18	6,784		7,602
6.5% 8/1/18	2,033		2,268
Pacific Gas & Electric Co.:
3.25% 9/15/21	662		681
3.25% 6/15/23	3,750		3,798
Pennsylvania Electric Co. 6.05% 9/1/17	844		904
PPL Capital Funding, Inc. 4.2% 6/15/22	4,268		4,489
Progress Energy, Inc. 4.4% 1/15/21	4,958		5,261
Tampa Electric Co. 5.4% 5/15/21	1,635		1,830
TECO Finance, Inc. 5.15% 3/15/20	1,709		1,863
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Virginia Electric & Power Co. 3.45% 2/15/24	$ 4,960		$ 5,091
Wisconsin Electric Power Co. 2.95% 9/15/21	768		783
			64,699
Gas Utilities - 0.4%
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (b)	6,420		6,212
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	1,325		1,313
Texas Eastern Transmission LP 6% 9/15/17 (b)	5,603		5,972
			13,497
Independent Power and Renewable Electricity Producers - 0.1%
Southern Power Co. 2.375% 6/1/20	2,294		2,230
Multi-Utilities - 1.2%
Ameren Illinois Co. 6.125% 11/15/17	455		494
Consolidated Edison Co. of New York, Inc. 4.45% 6/15/20	4,620		5,030
Dominion Resources, Inc.:
2.6266% 9/30/66 (d)	4,542		3,542
7.5% 6/30/66 (d)	4,221		3,668
NiSource Finance Corp.:
3.85% 2/15/23	4,300		4,418
5.45% 9/15/20	313		345
6.4% 3/15/18	684		750
PG&E Corp. 2.4% 3/1/19	489		490
San Diego Gas & Electric Co. 3% 8/15/21	4,615		4,741
Sempra Energy:
2.3% 4/1/17	9,715		9,790
2.875% 10/1/22	1,677		1,636
Wisconsin Energy Corp. 6.25% 5/15/67 (d)	3,383		2,774
			37,678
TOTAL UTILITIES			118,104
TOTAL NONCONVERTIBLE BONDS (Cost $1,527,474)		1,557,831
U.S. Government and Government Agency Obligations - 29.6%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - 3.6%
Fannie Mae:
1.125% 7/20/18	$ 9,258		$ 9,240
1.5% 11/30/20	5,168		5,083
1.875% 12/28/20	6,221		6,231
Freddie Mac 1% 9/29/17	94,423		94,482
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			115,036
U.S. Treasury Obligations - 26.0%
U.S. Treasury Notes:
1.25% 11/15/18	84,388		84,454
1.375% 3/31/20 (c)	111,580		110,630
1.625% 4/30/19	117,000		118,042
1.75% 2/28/22	212,500		210,400
2.25% 3/31/21	69,005		70,736
2.375% 8/15/24	216,300		219,819
TOTAL U.S. TREASURY OBLIGATIONS			814,081
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $926,242)		929,117
U.S. Government Agency - Mortgage Securities - 1.4%

Fannie Mae - 0.7%
2.298% 3/1/40 (d)	619		658
2.31% 12/1/39 (d)	306		326
2.403% 11/1/36 (d)	686		727
2.476% 12/1/33 (d)	2,872		3,046
2.478% 7/1/35 (d)	350		372
2.516% 4/1/35 (d)	1,665		1,762
2.557% 6/1/42 (d)	404		416
2.951% 11/1/40 (d)	237		247
2.98% 9/1/41 (d)	267		279
2.991% 10/1/41 (d)	110		115
3.243% 7/1/41 (d)	435		458
3.3% 10/1/41 (d)	212		221
3.553% 7/1/41 (d)	499		526
5.5% 10/1/17 to 6/1/36	8,975		9,854
6.5% 8/1/16 to 8/1/36	3,221		3,744
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
7% 7/1/25 to 2/1/32	$ 13		$ 14
7.5% 11/1/22 to 8/1/29	150		171
TOTAL FANNIE MAE			22,936
Freddie Mac - 0.6%
3% 8/1/21	2,850		2,959
3.211% 9/1/41 (d)	280		293
3.226% 4/1/41 (d)	297		311
3.293% 6/1/41 (d)	317		334
3.451% 5/1/41 (d)	256		267
3.617% 6/1/41 (d)	451		477
3.706% 5/1/41 (d)	390		413
4.5% 8/1/18	1,310		1,358
5% 3/1/19	1,827		1,899
5.5% 3/1/34 to 7/1/35	9,624		10,818
7.5% 7/1/27 to 1/1/33	42		49
TOTAL FREDDIE MAC			19,178
Ginnie Mae - 0.1%
7% 1/15/28 to 11/15/32	1,973		2,317
7.5% 3/15/28	0		0
8% 7/15/17 to 5/15/22	110		114
TOTAL GINNIE MAE			2,431
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $43,136)		44,545
Asset-Backed Securities - 4.2%

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.926% 4/25/35 (d)	299		271
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.847% 3/25/34 (d)	205		197
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	2,004		2,011
Series 2012-5 Class A, 1.54% 9/15/19	8,500		8,486
Series 2014-4 Class A2, 1.43% 6/17/19	6,850		6,834
Series 2014-5 Class A2, 1.6% 10/15/19	650		650
Series 2015-3 Class A, 1.63% 5/15/20	8,120		8,072
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
American Express Credit Account Master Trust Series 2013-3 Class A, 0.98% 5/15/19	$ 6,251		$ 6,254
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.247% 12/25/33 (d)	21		19
Series 2004-R2 Class M3, 1.022% 4/25/34 (d)	40		31
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.001% 3/25/34 (d)	22		20
Series 2004-W11 Class M2, 1.247% 11/25/34 (d)	253		246
Series 2004-W7 Class M1, 1.022% 5/25/34 (d)	968		906
Series 2006-W4 Class A2C, 0.357% 5/25/36 (d)	519		184
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.022% 4/25/34 (d)	763		692
Series 2006-HE2 Class M1, 0.591% 3/25/36 (d)	15		0
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.346% 2/25/35 (d)	1,738		1,562
Capital One Multi-Asset Execution Trust Series 2014-A5 Class A, 1.48% 7/15/20	10,190		10,213
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.337% 12/25/36 (d)	812		545
CFC LLC Series 2013-2A Class A, 1.75% 11/15/17 (b)	146		146
Chase Issuance Trust Series 2014-A7 Class A, 1.38% 11/15/19	8,520		8,520
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.676% 4/25/34 (d)	30		27
Series 2004-4 Class M2, 0.992% 6/25/34 (d)	45		41
Discover Card Master Trust Series 2014-A5 Class A, 1.39% 4/15/20	11,890		11,902
Fannie Mae Series 2004-T5 Class AB3, 1.0288% 5/28/35 (d)	18		16
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.372% 8/25/34 (d)	208		196
Ford Credit Auto Owner Trust:
Series 2014-2 Class A, 2.31% 4/15/26 (b)	12,535		12,600
Series 2015-1 Class A, 2.12% 7/15/26 (b)	7,657		7,623
Ford Credit Floorplan Master Owner Trust:
Series 2012-2 Class A, 1.92% 1/15/19	8,690		8,747
Series 2012-5 Class A, 1.49% 9/15/19	8,350		8,322
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.932% 1/25/35 (d)	427		373
Class M4, 1.217% 1/25/35 (d)	157		85
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7732% 2/25/47 (b)(d)	623		561
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GE Business Loan Trust Series 2006-2A:
Class A, 0.377% 11/15/34 (b)(d)	$ 596		$ 566
Class B, 0.477% 11/15/34 (b)(d)	216		201
Class C, 0.577% 11/15/34 (b)(d)	357		318
Class D, 0.947% 11/15/34 (b)(d)	136		114
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (b)	5,774		5,732
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b)	146		4
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.541% 8/25/33 (d)	198		185
Series 2003-3 Class M1, 1.511% 8/25/33 (d)	202		193
Series 2003-5 Class A2, 0.921% 12/25/33 (d)	15		14
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (d)	766		492
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.521% 7/25/36 (d)	130		57
Series 2007-CH1 Class AV4, 0.327% 11/25/36 (d)	104		104
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.6564% 12/27/29 (d)	49		49
Series 2006-A Class 2C, 1.4764% 3/27/42 (d)	2,280		1,147
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.497% 5/25/37 (d)	147		2
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.947% 7/25/34 (d)	84		70
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.172% 7/25/34 (d)	208		191
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (d)	124		123
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (d)	954		921
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.877% 8/25/34 (d)	26		24
Series 2004-HE7 Class B3, 5.447% 8/25/34 (d)	186		70
Series 2005-NC1 Class M1, 0.857% 1/25/35 (d)	120		113
Series 2005-NC2 Class B1, 1.952% 3/25/35 (d)	88		1
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.707% 9/25/35 (d)	642		571
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.072% 9/25/34 (d)	240		225
Class M4, 2.372% 9/25/34 (d)	308		198
Series 2005-WCH1 Class M4, 1.442% 1/25/36 (d)	665		593
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.997% 4/25/33 (d)	2		2
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Santander Drive Auto Receivables Trust:
Series 2013-4 Class B, 2.16% 1/15/20	$ 1,895		$ 1,901
Series 2014-4 Class B, 1.82% 5/15/19	3,216		3,223
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.992% 3/25/35 (d)	344		318
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2872% 6/15/33 (d)	283		275
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.946% 9/25/34 (d)	30		25
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (d)	168		147
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8871% 4/6/42 (b)(d)	1,820		928
Volkswagen Auto Loan Enhanced Trust Series 2013-2 Class A4, 1.16% 3/20/20	4,957		4,923
Whinstone Capital Management Ltd. Series 1A Class B3, 2.1199% 10/25/44 (b)(d)	806		806
TOTAL ASSET-BACKED SECURITIES (Cost $125,528)		131,178
Collateralized Mortgage Obligations - 2.6%

Private Sponsor - 0.7%
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.3068% 12/20/54 (d)	151		151
Series 2006-1A:
Class A5, 0.3468% 12/20/54 (b)(d)	2,529		2,527
Class C2, 1.4068% 12/20/54 (b)(d)	3,085		3,081
Series 2006-2 Class C1, 1.1468% 12/20/54 (d)	2,445		2,442
Series 2006-3 Class C2, 1.2068% 12/20/54 (d)	506		505
Series 2006-4:
Class B1, 0.3868% 12/20/54 (d)	2,386		2,384
Class C1, 0.9668% 12/20/54 (d)	1,459		1,457
Class M1, 0.5468% 12/20/54 (d)	629		628
Series 2007-1:
Class 1C1, 0.8068% 12/20/54 (d)	1,115		1,114
Class 1M1, 0.5068% 12/20/54 (d)	754		753
Class 2C1, 1.0668% 12/20/54 (d)	506		505
Class 2M1, 0.7068% 12/20/54 (d)	969		968
Series 2007-2 Class 2C1, 1.0573% 12/17/54 (d)	1,341		1,339
Granite Mortgages Series 2003-2 Class 1A3, 0.8172% 7/20/43 (d)	297		296
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Mortgages PLC floater:
Series 2003-3 Class 1C, 2.7672% 1/20/44 (d)	$ 194		$ 193
Series 2004-1 Class 2A1, 0.6651% 3/20/44 (d)	1,872		1,871
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.407% 5/25/47 (d)	162		149
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (d)	384		344
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5469% 6/10/35 (b)(d)	218		198
Class B6, 3.0469% 6/10/35 (b)(d)	60		54
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (d)	10		10
TOTAL PRIVATE SPONSOR			20,969
U.S. Government Agency - 1.9%
Fannie Mae:
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	2,533		2,672
planned amortization class:
Series 2002-9 Class PC, 6% 3/25/17	18		18
Series 2015-28 Class P, 2.5% 5/25/45	18,046		18,191
Series 2013-16 Class GP, 3% 3/25/33	15,867		16,416
Series 2015-28 Class JE, 3% 5/25/45	13,608		13,957
Freddie Mac:
planned amortization class:
Series 2356 Class GD, 6% 9/15/16	46		47
Series 2363 Class PF, 6% 9/15/16	40		41
Series 2425 Class JH, 6% 3/15/17	77		79
Series 3820 Class DA, 4% 11/15/35	2,011		2,108
Series 3777 Class AC, 3.5% 12/15/25	3,681		3,854
Series 3949 Class MK, 4.5% 10/15/34	1,546		1,664
TOTAL U.S. GOVERNMENT AGENCY			59,047
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $67,315)		80,016
Commercial Mortgage Securities - 6.5%
	Principal Amount (000s)		Value (000s)
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (b)	$ 3,032		$ 3,090
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (d)(f)	260		3
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-6 Class A3, 5.369% 10/10/45	1,905		1,911
Series 2006-4 Class A1A, 5.617% 7/10/46 (d)	5,722		5,787
Series 2007-3 Class A4, 5.5616% 6/10/49 (d)	2,003		2,075
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (b)	6,157		6,302
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.496% 12/25/33 (b)(d)	23		21
Series 2005-4A:
Class A2, 0.611% 1/25/36 (b)(d)	340		301
Class B1, 1.621% 1/25/36 (b)(d)	23		15
Class M1, 0.671% 1/25/36 (b)(d)	110		89
Class M2, 0.691% 1/25/36 (b)(d)	52		41
Class M3, 0.721% 1/25/36 (b)(d)	48		36
Class M4, 0.831% 1/25/36 (b)(d)	42		31
Class M5, 0.871% 1/25/36 (b)(d)	42		31
Class M6, 0.921% 1/25/36 (b)(d)	45		30
Series 2006-3A Class M4, 0.651% 10/25/36 (b)(d)	23		2
Series 2007-1 Class A2, 0.491% 3/25/37 (b)(d)	267		223
Series 2007-2A:
Class A1, 0.491% 7/25/37 (b)(d)	273		234
Class A2, 0.541% 7/25/37 (b)(d)	255		205
Class M1, 0.591% 7/25/37 (b)(d)	119		91
Class M2, 0.631% 7/25/37 (b)(d)	65		45
Class M3, 0.711% 7/25/37 (b)(d)	50		31
Series 2007-3:
Class A2, 0.511% 7/25/37 (b)(d)	209		170
Class M1, 0.531% 7/25/37 (b)(d)	71		54
Class M2, 0.561% 7/25/37 (b)(d)	76		55
Class M3, 0.591% 7/25/37 (b)(d)	120		59
Class M4, 0.721% 7/25/37 (b)(d)	142		47
Class M5, 0.821% 7/25/37 (b)(d)	91		14
Series 2007-4A Class M1, 1.147% 9/25/37 (b)(d)	127		27
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-PW13 Class A1A, 5.533% 9/11/41	4,834		4,922
Series 2006-T22 Class A1A, 5.6179% 4/12/38 (d)	3,575		3,593
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Commercial Mortgage Securities Trust: - continued
sequential payer: - continued
Series 2006-PW12 Class A1A, 5.7074% 9/11/38 (d)	$ 4,472		$ 4,499
Series 2007-PW18 Class X2, 0.3004% 6/11/50 (b)(d)(f)	55,564		0
C-BASS Trust floater Series 2006-SC1 Class A, 0.491% 5/25/36 (b)(d)	98		94
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	5,167		5,465
CGBAM Commercial Mortgage Trust Series 2015-SMRT:
Class A, 2.808% 4/10/28 (b)	4,927		4,984
Class D, 3.768% 4/10/28 (b)(d)	1,568		1,595
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A1A, 5.425% 10/15/49	1,899		1,945
Series 2013-GC11 Class A1, 0.754% 4/10/46	1,494		1,484
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD2 Class A1B, 5.3368% 1/15/46 (d)	3,247		3,241
COMM Mortgage Trust:
Series 2013-LC6 Class ASB, 2.478% 1/10/46	7,820		7,849
Series 2014-CR15 Class A2, 2.928% 2/10/47	6,199		6,347
Series 2014-UBS3 Class A2, 2.844% 6/10/47	6,830		6,982
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.047% 4/15/17 (b)(d)	57		57
sequential payer:
Series 2006-C7 Class A1A, 5.7532% 6/10/46 (d)	3,428		3,465
Series 2006-C8 Class A4, 5.306% 12/10/46	5,465		5,579
Credit Suisse Commercial Mortgage Trust sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (d)	2,414		2,478
Series 2007-C3 Class A4, 5.699% 6/15/39 (d)	430		446
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (b)(d)(f)	1		0
CSMC Series 2015-TOWN:
Class B, 2.097% 3/15/17 (b)(d)	615		611
Class C, 2.4458% 3/15/17 (b)(d)	599		595
Class D, 3.397% 3/15/17 (b)(d)	907		898
GAHR Commercial Mortgage Trust Series 2015-NRF:
Class BFX, 3.4949% 12/15/19 (b)(d)	6,240		6,273
Class CFX, 3.4949% 12/15/19 (b)(d)	2,801		2,769
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	$ 8,174		$ 8,443
Series 2006-C1 Class A1A, 5.2841% 3/10/44 (d)	2,533		2,538
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	6,017		6,203
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (b)	1,030		1,038
GS Mortgage Securities Trust:
sequential payer Series 2006-GG8 Class A1A, 5.547% 11/10/39	1,705		1,741
Series 2012-GC6 Class A1, 1.282% 1/10/45	59		59
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (b)	750		747
Class DFX, 4.4065% 11/5/30 (b)	5,778		5,778
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FL2A:
Class E, 0.477% 11/15/18 (b)(d)	69		68
Class F, 0.527% 11/15/18 (b)(d)	201		194
Class G, 0.557% 11/15/18 (b)(d)	174		167
Class H, 0.697% 11/15/18 (b)(d)	134		128
sequential payer:
Series 2006-CB16 Class A4, 5.552% 5/12/45	858		871
Series 2006-LDP8 Class A1A, 5.397% 5/15/45	635		646
Series 2007-LD11 Class A4, 5.7741% 6/15/49 (d)	139		143
Series 2007-LDPX Class A3, 5.42% 1/15/49	3,079		3,167
Series 2006-LDP7 Class A1A, 5.9107% 4/15/45 (d)	6,532		6,620
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C7 Class A2, 5.3% 11/15/38	371		372
Series 2007-C1 Class A4, 5.424% 2/15/40	148		152
Series 2007-C2 Class A3, 5.43% 2/15/40	473		489
Series 2007-C7 Class A3, 5.866% 9/15/45	1,971		2,092
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.414% 1/12/44 (b)(d)	1,050		1,047
Series 2006-C2 Class A1A, 5.739% 8/12/43 (d)	4,678		4,755
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (d)	17		17
Series 2007-5 Class A4, 5.378% 8/12/48	43		44
Series 2007-9 Class A4, 5.7% 9/12/49	313		327
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
sequential payer: - continued
Series 2007-6 Class B, 5.635% 3/12/51 (d)	$ 1,207		$ 377
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.397% 7/15/19 (b)(d)	161		161
Series 2007-XLFA:
Class D, 0.3858% 10/15/20 (b)(d)	125		125
Class E, 0.4458% 10/15/20 (b)(d)	376		375
Class F, 0.4958% 10/15/20 (b)(d)	225		225
Class G, 0.5358% 10/15/20 (b)(d)	279		278
Class H, 0.6258% 10/15/20 (b)(d)	176		174
Class J, 0.7758% 10/15/20 (b)(d)	101		99
sequential payer Series 2011-C2 Class A4, 4.661% 6/15/44 (b)	2,641		2,894
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (d)	2,564		2,587
Series 2006-IQ11 Class A1A, 5.7465% 10/15/42 (d)	4,476		4,505
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (b)	136		138
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b)	155		48
SCG Trust Series 2013-SRP1 Class A, 1.5958% 11/15/26 (b)(d)	3,591		3,576
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45	2,504		2,520
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A Class J, 0.7993% 9/15/21 (b)(d)	132		126
sequential payer:
Series 2006-C29 Class A1A, 5.297% 11/15/48	2,541		2,616
Series 2007-C30 Class A5, 5.342% 12/15/43	9,961		10,265
Series 2007-C32 Class A3, 5.7127% 6/15/49 (d)	2,049		2,115
Series 2007-C33 Class A5, 5.9524% 2/15/51 (d)	799		848
Series 2006-C23 Class A1A, 5.422% 1/15/45	2,110		2,109
Series 2006-C24 Class A1A, 5.557% 3/15/45 (d)	2,398		2,410
Series 2006-C25 Class A1A, 5.715% 5/15/43 (d)	4,399		4,451
Series 2006-C26 Class A1A, 6.009% 6/15/45 (d)	3,607		3,654
Series 2006-C27 Class A1A, 5.749% 7/15/45 (d)	3,052		3,085
WF-RBS Commercial Mortgage Trust Series 2013-C11 Class ASB, 2.63% 3/15/45	8,690		8,746
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $204,273)		203,544
Municipal Securities - 0.4%
	Principal Amount (000s)		Value (000s)
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19 (Cost $11,526)	$ 10,620		$ 11,391
Foreign Government and Government Agency Obligations - 0.3%

New Brunswick Province 2.75% 6/15/18 (Cost $8,690)	8,700		8,979
Supranational Obligations - 0.2%

International Bank for Reconstruction & Development 1% 6/15/18 (Cost $5,810)	5,818		5,781
Bank Notes - 1.7%

Bank of America NA 5.3% 3/15/17	1,267		1,325
Barclays Bank PLC 2.5% 2/20/19	2,100		2,123
Capital One Bank NA 2.25% 2/13/19	6,545		6,526
Discover Bank:
(Delaware) 3.2% 8/9/21	3,500		3,467
3.1% 6/4/20	3,095		3,127
Fifth Third Bank 2.875% 10/1/21	3,440		3,422
JPMorgan Chase Bank 6% 10/1/17	12,071		12,996
PNC Bank NA 2.2% 1/28/19	3,285		3,304
Regions Bank 7.5% 5/15/18	1,200		1,341
SunTrust Bank 2.75% 5/1/23	4,300		4,148
Union Bank NA 2.125% 6/16/17	4,300		4,337
Wachovia Bank NA 6% 11/15/17	5,655		6,133
TOTAL BANK NOTES (Cost $51,268)		52,249

Fixed-Income Funds - 2.4%
	Shares
Fidelity Specialized High Income Central Fund (e) (Cost $77,805)	755,528		75,530
Money Market Funds - 0.6%
	Shares		Value (000s)
Fidelity Cash Central Fund, 0.18% (a) (Cost $19,294)	19,293,960		$ 19,294
TOTAL INVESTMENT PORTFOLIO - 99.6% (Cost $3,068,361)			3,119,455
NET OTHER ASSETS (LIABILITIES) - 0.4%			13,968
NET ASSETS - 100%		$ 3,133,423

Swaps
Credit Default Swaps
Underlying Reference	Rating (1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/ (Paid)	Notional Amount(2) (000s)	Value (000s) (1)	Upfront Premium Received/ (Paid) (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Sell Protection
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	$ 110	$ (11)	$ 0	$ (11)

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

Legend

(c) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $736,000.

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

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

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

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

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity Cash Central Fund	$ 13
Fidelity Specialized High Income Central Fund	1,053
Total	$ 1,066

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Specialized High Income Central Fund	$ 75,610	$ 1,053	$ -	$ 75,530	9.2%

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,557,831	$ -	$ 1,557,831	$ -
U.S. Government and Government Agency Obligations	929,117	-	929,117	-
U.S. Government Agency - Mortgage Securities	44,545	-	44,545	-
Asset-Backed Securities	131,178	-	130,123	1,055
Collateralized Mortgage Obligations	80,016	-	80,016	-
Commercial Mortgage Securities	203,544	-	203,494	50
Municipal Securities	11,391	-	11,391	-
Foreign Government and Government Agency Obligations	8,979	-	8,979	-
Supranational Obligations	5,781	-	5,781	-
Bank Notes	52,249	-	52,249	-
Fixed-Income Funds	75,530	75,530	-	-
Money Market Funds	19,294	19,294	-	-
Total Investments in Securities:	$ 3,119,455	$ 94,824	$ 3,023,526	$ 1,105
Derivative Instruments:
Liabilities
Swaps	$ (11)	$ -	$ (11)	$ -

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $3,086,743,000. Net unrealized appreciation aggregated $32,712,000, of which $68,408,000 related to appreciated investment securities and $35,696,000 related to depreciated investment securities.

Investment Valuation

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

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

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

Credit Risk.

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Investment Grade Bond Fund

November 30, 2015

1.813259.111

IGB-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 34.4%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 3.0%
Automobiles - 0.5%
General Motors Co. 3.5% 10/2/18	$ 5,025		$ 5,096
General Motors Financial Co., Inc.:
2.625% 7/10/17	1,605		1,611
3% 9/25/17	3,673		3,701
3.25% 5/15/18	2,630		2,655
3.5% 7/10/19	5,942		5,995
4.25% 5/15/23	2,950		2,963
4.375% 9/25/21	11,530		11,780
4.75% 8/15/17	2,790		2,894
			36,695
Diversified Consumer Services - 0.1%
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23	4,447		4,582
Household Durables - 0.2%
D.R. Horton, Inc. 4% 2/15/20	15,500		15,756
Media - 2.0%
21st Century Fox America, Inc. 7.75% 12/1/45	4,525		6,105
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.464% 7/23/22 (b)	7,996		8,088
4.908% 7/23/25 (b)	10,079		10,236
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19	6,291		7,085
Discovery Communications LLC 3.25% 4/1/23	954		889
Time Warner Cable, Inc.:
4% 9/1/21	27,833		28,585
5.5% 9/1/41	3,321		3,056
5.875% 11/15/40	7,141		6,909
6.55% 5/1/37	8,170		8,278
6.75% 7/1/18	5,587		6,160
7.3% 7/1/38	8,218		8,905
8.25% 4/1/19	10,913		12,635
Time Warner, Inc.:
4.9% 6/15/42	15,000		14,673
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner, Inc.: - continued
6.2% 3/15/40	$ 5,000		$ 5,623
Viacom, Inc. 4.25% 9/1/23	13,340		13,225
			140,452
Multiline Retail - 0.2%
Family Tree Escrow LLC 5.25% 3/1/20 (b)	15,000		15,525
TOTAL CONSUMER DISCRETIONARY			213,010
CONSUMER STAPLES - 1.5%
Beverages - 0.6%
Constellation Brands, Inc.:
3.75% 5/1/21	13,390		13,557
3.875% 11/15/19	351		363
4.75% 11/15/24	8,249		8,435
6% 5/1/22	13,370		14,841
SABMiller Holdings, Inc. 3.75% 1/15/22 (b)	3,930		4,045
			41,241
Food & Staples Retailing - 0.1%
Walgreens Boots Alliance, Inc. 3.3% 11/18/21	4,181		4,168
Food Products - 0.0%
ConAgra Foods, Inc. 1.9% 1/25/18	2,478		2,466
Tobacco - 0.8%
Altria Group, Inc.:
4.75% 5/5/21	6,000		6,553
9.25% 8/6/19	1,776		2,182
Reynolds American, Inc.:
2.3% 6/12/18	2,942		2,979
3.25% 11/1/22	14,892		14,803
4% 6/12/22	2,039		2,121
4.75% 11/1/42	4,468		4,313
5.7% 8/15/35	1,694		1,864
6.15% 9/15/43	2,440		2,793
6.75% 6/15/17	7,156		7,685
7.25% 6/15/37	9,654		11,830
			57,123
TOTAL CONSUMER STAPLES			104,998
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - 5.3%
Energy Equipment & Services - 0.4%
DCP Midstream LLC:
4.75% 9/30/21 (b)	$ 4,849		$ 4,171
5.35% 3/15/20 (b)	4,973		4,632
5.85% 5/21/43 (b)(e)	9,697		7,661
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21	3,162		3,004
Halliburton Co.:
3.8% 11/15/25	3,737		3,764
4.85% 11/15/35	3,264		3,297
5% 11/15/45	4,471		4,551
			31,080
Oil, Gas & Consumable Fuels - 4.9%
Chesapeake Energy Corp.:
5.75% 3/15/23	9,470		4,025
6.125% 2/15/21	60,015		25,506
6.625% 8/15/20	23,170		10,948
7.25% 12/15/18	14,500		8,619
Columbia Pipeline Group, Inc.:
2.45% 6/1/18 (b)	1,237		1,230
3.3% 6/1/20 (b)	6,073		6,005
4.5% 6/1/25 (b)	1,849		1,771
5.8% 6/1/45 (b)	2,321		2,184
DCP Midstream Operating LP:
2.5% 12/1/17	3,219		2,990
2.7% 4/1/19	1,510		1,338
3.875% 3/15/23	6,765		5,549
5.6% 4/1/44	5,868		4,433
El Paso Corp. 6.5% 9/15/20	16,220		16,782
Empresa Nacional de Petroleo 4.375% 10/30/24 (b)	2,813		2,785
Enable Midstream Partners LP:
2.4% 5/15/19 (b)	1,789		1,643
3.9% 5/15/24 (b)	1,887		1,476
Enbridge Energy Partners LP 4.2% 9/15/21	5,694		5,578
Kinder Morgan, Inc.:
3.05% 12/1/19	57,058		52,290
4.3% 6/1/25	12,912		10,914
Marathon Petroleum Corp. 5.125% 3/1/21	3,437		3,722
MPLX LP 4% 2/15/25	949		859
Nakilat, Inc. 6.067% 12/31/33 (b)	2,634		2,954
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petrobras Global Finance BV:
5.625% 5/20/43	$ 6,485		$ 4,118
7.25% 3/17/44	69,211		49,214
Petrobras International Finance Co. Ltd. 6.75% 1/27/41	2,000		1,370
Petroleos Mexicanos:
4.875% 1/18/24	4,376		4,298
6.375% 1/23/45	13,790		12,790
6.5% 6/2/41	34,664		32,699
Phillips 66 Co. 4.3% 4/1/22	4,638		4,876
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	777		714
Southwestern Energy Co.:
3.3% 1/23/18	2,442		2,332
4.05% 1/23/20	4,431		3,926
4.95% 1/23/25	27,840		22,938
Spectra Energy Capital, LLC 3.3% 3/15/23	6,000		5,301
Spectra Energy Partners, LP:
2.95% 9/25/18	1,066		1,067
4.6% 6/15/21	1,124		1,167
The Williams Companies, Inc.:
3.7% 1/15/23	1,754		1,411
4.55% 6/24/24	19,170		15,730
Western Gas Partners LP 5.375% 6/1/21	6,966		7,266
Williams Partners LP:
4.125% 11/15/20	1,029		992
4.3% 3/4/24	4,326		3,755
			349,565
TOTAL ENERGY			380,645
FINANCIALS - 16.4%
Banks - 8.4%
Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (b)	6,150		6,119
4% 4/14/19 (b)	6,280		5,950
5.75% 9/26/23 (b)	5,628		5,206
Bank of America Corp.:
3.3% 1/11/23	14,964		14,955
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Bank of America Corp.: - continued
3.875% 3/22/17	$ 3,343		$ 3,445
3.95% 4/21/25	24,889		24,619
4% 1/22/25	50,434		50,065
4.1% 7/24/23	3,096		3,236
4.25% 10/22/26	6,065		6,086
5.65% 5/1/18	3,745		4,061
5.75% 12/1/17	9,833		10,583
5.875% 1/5/21	2,580		2,942
Barclays PLC 2.75% 11/8/19	5,118		5,124
Capital One NA 2.95% 7/23/21	8,151		8,120
CIT Group, Inc.:
3.875% 2/19/19	5,000		5,006
5.5% 2/15/19 (b)	5,000		5,238
Citigroup, Inc.:
1.85% 11/24/17	12,208		12,214
4.05% 7/30/22	2,865		2,956
4.4% 6/10/25	6,752		6,867
4.5% 1/14/22	6,932		7,488
5.3% 5/6/44	11,751		12,369
5.5% 9/13/25	2,420		2,659
6.125% 5/15/18	3,326		3,661
Citizens Bank NA 2.3% 12/3/18	5,551		5,343
Citizens Financial Group, Inc.:
4.15% 9/28/22 (b)	5,760		5,824
4.4% 12/3/25	13,920		13,905
Credit Suisse AG 6% 2/15/18	8,864		9,577
Credit Suisse Group Funding Guernsey Ltd.:
3.75% 3/26/25 (b)	21,098		20,622
3.8% 9/15/22 (b)	10,350		10,432
Credit Suisse New York Branch 1.7% 4/27/18	65,523		65,334
Discover Bank:
4.2% 8/8/23	4,147		4,313
7% 4/15/20	6,703		7,671
Fifth Third Bancorp:
4.5% 6/1/18	2,054		2,173
8.25% 3/1/38	2,385		3,444
HBOS PLC 6.75% 5/21/18 (b)	3,056		3,356
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
HSBC Holdings PLC:
4.25% 3/14/24	$ 3,112		$ 3,152
5.25% 3/14/44	2,255		2,375
Huntington Bancshares, Inc. 7% 12/15/20	1,597		1,872
ING Bank NV 5.8% 9/25/23 (b)	2,826		3,098
JPMorgan Chase & Co.:
2.2% 10/22/19	2,700		2,704
2.35% 1/28/19	2,547		2,575
3.875% 9/10/24	15,129		15,209
4.125% 12/15/26	18,426		18,645
4.25% 10/15/20	2,763		2,954
4.35% 8/15/21	18,417		19,833
4.625% 5/10/21	2,717		2,967
4.95% 3/25/20	11,055		12,119
PNC Bank NA 2.45% 11/5/20	9,934		9,934
Rabobank Nederland 4.375% 8/4/25	10,398		10,623
Regions Bank 6.45% 6/26/37	9,230		11,006
Regions Financial Corp. 2% 5/15/18	6,934		6,905
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	27,664		28,458
6% 12/19/23	25,238		27,495
6.1% 6/10/23	8,465		9,213
6.125% 12/15/22	28,328		31,168
Societe Generale 4.25% 4/14/25 (b)	17,200		16,610
Wells Fargo & Co. 4.48% 1/16/24	4,327		4,589
			604,467
Capital Markets - 2.9%
Affiliated Managers Group, Inc. 4.25% 2/15/24	2,258		2,314
Deutsche Bank AG 4.5% 4/1/25	12,526		11,818
Goldman Sachs Group, Inc.:
1.748% 9/15/17	17,322		17,315
2.625% 1/31/19	13,825		14,075
2.9% 7/19/18	9,276		9,514
5.25% 7/27/21	5,652		6,320
5.75% 1/24/22	7,392		8,480
5.95% 1/18/18	4,817		5,230
6.75% 10/1/37	24,283		29,147
Lazard Group LLC:
4.25% 11/14/20	4,700		4,907
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Lazard Group LLC: - continued
6.85% 6/15/17	$ 607		$ 647
Morgan Stanley:
2.375% 7/23/19	12,012		12,092
3.7% 10/23/24	10,321		10,500
3.75% 2/25/23	8,227		8,520
3.875% 4/29/24	9,504		9,823
4.875% 11/1/22	19,366		20,945
5% 11/24/25	12,124		13,070
5.75% 1/25/21	10,138		11,555
6.625% 4/1/18	7,981		8,835
			205,107
Consumer Finance - 0.6%
American Express Credit Corp. 1.875% 11/5/18	16,705		16,757
Discover Financial Services:
3.85% 11/21/22	4,866		4,849
3.95% 11/6/24	4,069		4,031
5.2% 4/27/22	4,096		4,410
Hyundai Capital America 2.125% 10/2/17 (b)	1,850		1,846
Synchrony Financial:
1.875% 8/15/17	1,427		1,424
3% 8/15/19	2,095		2,105
3.75% 8/15/21	3,164		3,188
4.25% 8/15/24	3,185		3,184
			41,794
Diversified Financial Services - 0.2%
IntercontinentalExchange, Inc.:
2.75% 12/1/20	2,475		2,483
3.75% 12/1/25	4,425		4,465
MSCI, Inc. 5.25% 11/15/24 (b)	10,000		10,300
			17,248
Insurance - 1.0%
AIA Group Ltd. 2.25% 3/11/19 (b)	1,290		1,287
Aon Corp. 5% 9/30/20	2,135		2,347
Five Corners Funding Trust 4.419% 11/15/23 (b)	5,900		6,205
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(e)	10,398		10,463
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Hartford Financial Services Group, Inc. 5.125% 4/15/22	$ 5,844		$ 6,466
Liberty Mutual Group, Inc. 5% 6/1/21 (b)	5,273		5,671
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	2,941		3,210
Pacific Life Insurance Co. 9.25% 6/15/39 (b)	4,853		7,093
Pacific LifeCorp:
5.125% 1/30/43 (b)	5,696		5,828
6% 2/10/20 (b)	422		472
Prudential Financial, Inc.:
4.5% 11/16/21	2,796		3,038
5.375% 5/15/45 (e)	6,834		6,937
Symetra Financial Corp. 6.125% 4/1/16 (b)	4,900		4,967
TIAA Asset Management Finance LLC:
2.95% 11/1/19 (b)	1,736		1,750
4.125% 11/1/24 (b)	2,517		2,544
Unum Group 5.625% 9/15/20	4,155		4,597
			72,875
Real Estate Investment Trusts - 1.8%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	1,267		1,253
4.6% 4/1/22	1,475		1,538
American Campus Communities Operating Partnership LP 3.75% 4/15/23	1,860		1,826
AvalonBay Communities, Inc. 3.625% 10/1/20	2,721		2,837
Camden Property Trust:
2.95% 12/15/22	2,605		2,521
4.25% 1/15/24	4,889		5,083
Corporate Office Properties LP 5% 7/1/25	3,165		3,073
DDR Corp.:
3.625% 2/1/25	2,957		2,812
4.25% 2/1/26	2,697		2,689
4.625% 7/15/22	9,008		9,326
4.75% 4/15/18	4,483		4,707
7.5% 4/1/17	2,623		2,811
Duke Realty LP:
3.625% 4/15/23	3,352		3,282
3.875% 10/15/22	9,433		9,489
4.375% 6/15/22	2,822		2,915
5.95% 2/15/17	141		148
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Equity One, Inc.:
3.75% 11/15/22	$ 12,000		$ 11,648
6% 9/15/17	3,423		3,639
6.25% 1/15/17	2,422		2,533
ERP Operating LP 4.625% 12/15/21	7,320		7,986
Federal Realty Investment Trust 5.9% 4/1/20	1,389		1,574
Highwoods/Forsyth LP 3.2% 6/15/21	3,528		3,458
HRPT Properties Trust 6.65% 1/15/18	2,600		2,764
Lexington Corporate Properties Trust 4.4% 6/15/24	2,058		2,057
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	1,964		1,926
4.95% 4/1/24	1,915		1,936
5.25% 1/15/26 (b)	8,152		8,377
Retail Opportunity Investments Partnership LP:
4% 12/15/24	1,392		1,320
5% 12/15/23	1,073		1,104
Weingarten Realty Investors 3.375% 10/15/22	990		964
WP Carey, Inc.:
4% 2/1/25	7,432		7,141
4.6% 4/1/24	11,566		11,730
			126,467
Real Estate Management & Development - 1.5%
BioMed Realty LP:
2.625% 5/1/19	3,275		3,192
6.125% 4/15/20	1,872		2,010
Brandywine Operating Partnership LP:
3.95% 2/15/23	14,620		14,290
4.1% 10/1/24	6,040		5,865
4.95% 4/15/18	4,806		5,043
5.7% 5/1/17	2,243		2,349
CBRE Group, Inc. 4.875% 3/1/26	17,030		16,866
Digital Realty Trust LP 3.95% 7/1/22	4,449		4,412
Essex Portfolio LP 3.875% 5/1/24	4,176		4,211
Liberty Property LP:
3.375% 6/15/23	3,567		3,396
4.125% 6/15/22	2,421		2,448
6.625% 10/1/17	3,709		4,000
Mack-Cali Realty LP:
2.5% 12/15/17	4,581		4,546
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Mack-Cali Realty LP: - continued
3.15% 5/15/23	$ 7,757		$ 6,714
4.5% 4/18/22	1,473		1,423
Mid-America Apartments LP:
4% 11/15/25	1,797		1,792
4.3% 10/15/23	1,200		1,221
6.05% 9/1/16	4,436		4,572
Post Apartment Homes LP 3.375% 12/1/22	1,090		1,061
Tanger Properties LP:
3.75% 12/1/24	4,213		4,153
3.875% 12/1/23	2,574		2,582
6.125% 6/1/20	4,725		5,367
Ventas Realty LP 4.125% 1/15/26	2,168		2,166
Ventas Realty LP/Ventas Capital Corp. 4% 4/30/19	2,018		2,109
			105,788
TOTAL FINANCIALS			1,173,746
HEALTH CARE - 0.5%
Biotechnology - 0.1%
AbbVie, Inc. 4.7% 5/14/45	6,560		6,439
Health Care Providers & Services - 0.3%
Express Scripts Holding Co. 4.75% 11/15/21	6,337		6,879
HCA Holdings, Inc.:
3.75% 3/15/19	4,831		4,879
4.75% 5/1/23	300		298
5.875% 3/15/22	355		381
6.5% 2/15/20	4,514		4,994
WellPoint, Inc. 3.3% 1/15/23	9,384		9,275
			26,706
Pharmaceuticals - 0.1%
Perrigo Finance PLC 3.5% 12/15/21	1,504		1,477
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	1,741		1,744
Zoetis, Inc. 3.25% 2/1/23	2,627		2,511
			5,732
TOTAL HEALTH CARE			38,877
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - 0.4%
Airlines - 0.1%
Continental Airlines, Inc.:
6.545% 8/2/20	$ 820		$ 877
6.795% 2/2/20	86		88
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,568		1,662
8.36% 1/20/19	4,357		4,657
			7,284
Building Products - 0.0%
Masco Corp. 4.45% 4/1/25	2,260		2,215
Trading Companies & Distributors - 0.3%
Air Lease Corp.:
2.125% 1/15/18	3,060		3,015
3.75% 2/1/22	6,348		6,265
3.875% 4/1/21	5,850		5,909
4.25% 9/15/24	5,062		4,961
			20,150
Transportation Infrastructure - 0.0%
BNSF Funding Trust I 6.613% 12/15/55 (e)	2,984		3,343
TOTAL INDUSTRIALS			32,992
INFORMATION TECHNOLOGY - 0.5%
Software - 0.2%
Autodesk, Inc. 3.125% 6/15/20	12,553		12,476
Technology Hardware, Storage & Peripherals - 0.3%
Hewlett Packard Enterprise Co.:
3.6% 10/15/20 (b)	6,891		6,946
4.4% 10/15/22 (b)	6,890		6,918
4.9% 10/15/25 (b)	6,891		6,804
			20,668
TOTAL INFORMATION TECHNOLOGY			33,144
MATERIALS - 1.8%
Chemicals - 0.1%
The Dow Chemical Co. 4.125% 11/15/21	4,654		4,897
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - 1.7%
Alcoa, Inc.:
5.125% 10/1/24	$ 20,085		$ 19,005
5.4% 4/15/21	9,855		9,917
Anglo American Capital PLC:
3.625% 5/14/20 (b)	6,478		5,377
4.125% 4/15/21 (b)	6,319		5,214
4.875% 5/14/25 (b)	18,378		13,692
Barrick Gold Corp.:
3.85% 4/1/22	3,840		3,440
4.1% 5/1/23	62,150		54,650
BHP Billiton Financial (U.S.A.) Ltd.:
6.25% 10/19/75 (b)(e)	2,868		2,883
6.75% 10/19/75 (b)(e)	7,123		7,105
			121,283
TOTAL MATERIALS			126,180
TELECOMMUNICATION SERVICES - 3.2%
Diversified Telecommunication Services - 3.2%
AT&T, Inc. 5.55% 8/15/41	27,220		27,980
BellSouth Capital Funding Corp. 7.875% 2/15/30	222		266
CenturyLink, Inc.:
5.15% 6/15/17	528		544
6% 4/1/17	1,320		1,363
6.15% 9/15/19	3,260		3,350
Embarq Corp.:
7.082% 6/1/16	4,231		4,337
7.995% 6/1/36	11,427		12,007
Verizon Communications, Inc.:
3.45% 3/15/21	15,886		16,332
4.5% 9/15/20	60,362		65,540
5.012% 8/21/54	47,470		44,992
6.1% 4/15/18	6,019		6,629
6.55% 9/15/43	40,272		48,638
			231,978
UTILITIES - 1.8%
Electric Utilities - 1.1%
American Transmission Systems, Inc. 5% 9/1/44 (b)	741		750
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (b)	$ 8,443		$ 9,492
6.4% 9/15/20 (b)	11,231		12,788
Entergy Corp. 4% 7/15/22	6,700		6,867
FirstEnergy Corp.:
4.25% 3/15/23	9,775		9,916
7.375% 11/15/31	13,700		16,535
FirstEnergy Solutions Corp. 6.05% 8/15/21	9,083		9,690
IPALCO Enterprises, Inc. 3.45% 7/15/20	10,770		10,608
Pennsylvania Electric Co. 6.05% 9/1/17	4,923		5,273
			81,919
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (b)	2,894		2,971
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	1,522		1,509
			4,480
Multi-Utilities - 0.6%
Dominion Resources, Inc.:
2.6266% 9/30/66 (e)	12,726		9,924
7.5% 6/30/66 (e)	3,654		3,175
NiSource Finance Corp.:
5.45% 9/15/20	1,461		1,610
5.95% 6/15/41	4,935		5,726
Puget Energy, Inc.:
5.625% 7/15/22	7,175		8,010
6% 9/1/21	6,916		7,858
6.5% 12/15/20	2,216		2,555
Wisconsin Energy Corp. 6.25% 5/15/67 (e)	4,001		3,281
			42,139
TOTAL UTILITIES			128,538
TOTAL NONCONVERTIBLE BONDS (Cost $2,548,736)		2,464,108
U.S. Treasury Obligations - 23.9%

U.S. Treasury Bonds:
2.5% 2/15/45	70,150		63,283
U.S. Treasury Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Bonds: - continued
3% 5/15/45	$ 375,249		$ 375,762
U.S. Treasury Notes:
0.625% 12/31/16 (d)	632,290		631,315
1.625% 7/31/20	321,320		321,144
2% 8/15/25	322,797		316,505
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,706,616)		1,708,009
U.S. Government Agency - Mortgage Securities - 0.5%

Fannie Mae - 0.2%
2.302% 6/1/36 (e)	117		123
2.424% 2/1/35 (e)	1,781		1,891
2.5% 4/1/27 to 3/1/43	2,152		2,179
2.628% 7/1/37 (e)	186		198
3% 10/1/42 to 1/1/43	2,675		2,693
3.5% 11/1/25 to 9/1/42	5,935		6,178
4% 8/1/32 to 11/1/40	2,686		2,870
4.5% 11/1/42	690		754
4.5% 12/1/45 (c)	100		108
5.5% 4/1/39	782		881
6% 3/1/22	41		45
TOTAL FANNIE MAE			17,920
Freddie Mac - 0.2%
3% 5/1/45 to 7/1/45	1,187		1,192
3.176% 10/1/35 (e)	112		119
3.5% 3/1/45 to 6/1/45	2,490		2,580
4% 6/1/33	1,483		1,587
4.5% 7/1/25 to 3/1/44	2,655		2,868
5% 1/1/41 to 7/1/41	2,592		2,860
5.5% 11/1/33 to 8/1/38	250		281
6% 7/1/37 to 8/1/37	655		745
6.5% 9/1/39	730		838
TOTAL FREDDIE MAC			13,070
Ginnie Mae - 0.1%
3% 3/20/45	1,818		1,850
3.5% 3/15/42 to 4/20/45	2,289		2,398
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
4% 11/20/40 to 11/20/41	$ 1,407		$ 1,501
4.5% 5/20/41	857		928
5% 4/15/40	1,311		1,471
TOTAL GINNIE MAE			8,148
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $38,812)		39,138
Asset-Backed Securities - 0.8%

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.926% 4/25/35 (e)	421		380
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.847% 3/25/34 (e)	126		121
Airspeed Ltd. Series 2007-1A Class C1, 2.697% 6/15/32 (b)(e)	4,811		2,117
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.247% 12/25/33 (e)	30		27
Series 2004-R2 Class M3, 1.022% 4/25/34 (e)	57		43
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.001% 3/25/34 (e)	30		28
Series 2004-W7 Class M1, 1.022% 5/25/34 (e)	808		756
Series 2006-W4 Class A2C, 0.357% 5/25/36 (e)	730		259
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.337% 12/25/36 (e)	1,140		765
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.471% 3/25/32 (e)	16		15
Series 2004-3 Class M4, 1.676% 4/25/34 (e)	42		38
Series 2004-4 Class M2, 0.992% 6/25/34 (e)	63		58
Fannie Mae Series 2004-T5 Class AB3, 1.0288% 5/28/35 (e)	25		23
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.372% 8/25/34 (e)	231		218
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.022% 3/25/34 (e)	6		5
Fremont Home Loan Trust Series 2005-A Class M4, 1.217% 1/25/35 (e)	220		120
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7732% 2/25/47 (b)(e)	930		837
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GE Business Loan Trust Series 2006-2A:
Class A, 0.377% 11/15/34 (b)(e)	$ 455		$ 432
Class B, 0.477% 11/15/34 (b)(e)	165		154
Class C, 0.577% 11/15/34 (b)(e)	273		243
Class D, 0.947% 11/15/34 (b)(e)	130		109
Grain Spectrum Funding II LLC Series 2014-1 3.29% 10/10/34 (b)	5,126		5,115
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b)	158		4
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.541% 8/25/33 (e)	122		114
Series 2003-3 Class M1, 1.511% 8/25/33 (e)	284		271
Series 2003-5 Class A2, 0.921% 12/25/33 (e)	21		20
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (e)	913		587
Invitation Homes Trust Series 2015-SFR3 Class E, 3.9468% 8/17/32 (b)(e)	3,002		2,951
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.327% 11/25/36 (e)	124		124
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.6564% 12/27/29 (e)	69		68
Series 2006-A Class 2C, 1.4764% 3/27/42 (e)	1,605		808
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.497% 5/25/37 (e)	206		2
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.947% 7/25/34 (e)	52		43
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.172% 7/25/34 (e)	144		132
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (e)	147		146
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (e)	865		835
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.877% 8/25/34 (e)	36		34
Series 2004-NC6 Class M3, 2.396% 7/25/34 (e)	355		319
Series 2004-NC8 Class M6, 2.096% 9/25/34 (e)	385		349
Series 2005-NC1 Class M1, 0.857% 1/25/35 (e)	169		159
Series 2005-NC2 Class B1, 1.952% 3/25/35 (e)	124		2
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.707% 9/25/35 (e)	903		803
Park Place Securities, Inc. Series 2004-WCW1:
Class M3, 2.072% 9/25/34 (e)	337		316
Class M4, 2.372% 9/25/34 (e)	433		278
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.997% 4/25/33 (e)	3		3
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2872% 6/15/33 (e)	$ 399		$ 387
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.946% 9/25/34 (e)	33		28
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (e)	18		16
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8871% 4/6/42 (b)(e)	1,761		898
Truman Capital Mortgage Loan Trust:
Series 2014-NPL2 Class A1, 3.125% 6/25/54 (b)	320		319
Series 2014-NPL3 Class A1, 3.125% 4/25/53 (b)	1,693		1,688
Vericrest Opportunity Loan Transferee Series 2014-NPL9 Class A1, 3.375% 11/25/54 (b)	4,918		4,901
Vericrest Opportunity Loan Trust:
Series 2014-NP10 Class A1, 3.375% 10/25/54 (b)	4,605		4,588
Series 2014-NP11 Class A1, 3.875% 4/25/55 (b)	5,916		5,909
Series 2014-NPL7 Class A1, 3.375% 8/27/57 (b)	17,590		17,541
TOTAL ASSET-BACKED SECURITIES (Cost $55,493)		56,506
Collateralized Mortgage Obligations - 0.3%

Private Sponsor - 0.3%
CSMC Series 2014-3R:
Class 2A1, 0.8939% 5/27/37 (b)(e)	8,936		8,461
Class AA1, 0.4586% 5/27/37 (b)(e)	5,985		5,529
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6605% 10/25/34 (e)	267		267
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7672% 1/20/44 (e)	341		341
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5863% 8/25/36 (e)	622		527
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.407% 5/25/47 (e)	227		210
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (e)	458		410
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 3% 11/25/25 (b)	7,187		7,187
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.487% 7/25/35 (e)	584		554
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5469% 6/10/35 (b)(e)	$ 198		$ 180
Class B6, 3.0469% 6/10/35 (b)(e)	262		237
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (e)	14		14
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5832% 4/25/33 (e)	63		63
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $23,406)		23,980
Commercial Mortgage Securities - 5.7%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (e)(g)	295		3
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-3 Class A4, 5.889% 7/10/44 (e)	4,234		4,260
Series 2006-6 Class A3, 5.369% 10/10/45	1,728		1,734
Series 2007-2 Class A4, 5.6199% 4/10/49 (e)	4,000		4,127
Series 2007-3 Class A4, 5.5616% 6/10/49 (e)	2,124		2,200
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.496% 12/25/33 (b)(e)	25		23
Series 2005-3A:
Class A2, 0.621% 11/25/35 (b)(e)	190		169
Class M1, 0.661% 11/25/35 (b)(e)	51		44
Class M2, 0.711% 11/25/35 (b)(e)	38		31
Class M3, 0.731% 11/25/35 (b)(e)	34		26
Class M4, 0.821% 11/25/35 (b)(e)	43		33
Series 2005-4A:
Class A2, 0.611% 1/25/36 (b)(e)	478		423
Class B1, 1.621% 1/25/36 (b)(e)	25		16
Class M1, 0.671% 1/25/36 (b)(e)	154		125
Class M2, 0.691% 1/25/36 (b)(e)	58		46
Class M3, 0.721% 1/25/36 (b)(e)	85		64
Class M4, 0.831% 1/25/36 (b)(e)	47		35
Class M5, 0.871% 1/25/36 (b)(e)	47		35
Class M6, 0.921% 1/25/36 (b)(e)	50		33
Series 2006-1:
Class A2, 0.581% 4/25/36 (b)(e)	96		83
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Class M1, 0.601% 4/25/36 (b)(e)	$ 58		$ 47
Class M2, 0.621% 4/25/36 (b)(e)	61		49
Class M3, 0.641% 4/25/36 (b)(e)	53		42
Class M4, 0.741% 4/25/36 (b)(e)	30		24
Class M5, 0.781% 4/25/36 (b)(e)	29		20
Class M6, 0.861% 4/25/36 (b)(e)	58		41
Series 2006-2A:
Class M1, 0.531% 7/25/36 (b)(e)	84		67
Class M2, 0.551% 7/25/36 (b)(e)	59		47
Class M3, 0.571% 7/25/36 (b)(e)	49		39
Class M4, 0.641% 7/25/36 (b)(e)	56		44
Class M5, 0.691% 7/25/36 (b)(e)	41		31
Series 2006-3A Class M4, 0.651% 10/25/36 (b)(e)	25		3
Series 2006-4A:
Class A2, 0.491% 12/25/36 (b)(e)	1,442		1,218
Class M1, 0.511% 12/25/36 (b)(e)	116		90
Class M2, 0.531% 12/25/36 (b)(e)	77		50
Class M3, 0.561% 12/25/36 (b)(e)	78		47
Series 2007-1 Class A2, 0.491% 3/25/37 (b)(e)	298		249
Series 2007-2A:
Class A1, 0.491% 7/25/37 (b)(e)	860		740
Class A2, 0.541% 7/25/37 (b)(e)	806		645
Class M1, 0.591% 7/25/37 (b)(e)	275		210
Class M2, 0.631% 7/25/37 (b)(e)	179		126
Class M3, 0.711% 7/25/37 (b)(e)	138		86
Series 2007-3:
Class A2, 0.511% 7/25/37 (b)(e)	294		238
Class M1, 0.531% 7/25/37 (b)(e)	156		118
Class M2, 0.561% 7/25/37 (b)(e)	167		120
Class M3, 0.591% 7/25/37 (b)(e)	268		132
Class M4, 0.721% 7/25/37 (b)(e)	422		138
Class M5, 0.821% 7/25/37 (b)(e)	198		31
Series 2007-4A Class M1, 1.147% 9/25/37 (b)(e)	135		28
Bear Stearns Commercial Mortgage Securities Trust:
Series 2006-T22 Class A4, 5.6179% 4/12/38 (e)	66		66
Series 2007-PW18 Class X2, 0.3004% 6/11/50 (b)(e)(g)	63,160		1
C-BASS Trust floater Series 2006-SC1 Class A, 0.491% 5/25/36 (b)(e)	138		133
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1958% 12/15/27 (b)(e)	2,535		2,515
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A5, 5.617% 10/15/48	$ 2,149		$ 2,180
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.047% 4/15/17 (b)(e)	100		100
Credit Suisse Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A4, 5.699% 6/15/39 (e)	9,720		10,085
Series 2007-C5 Class A4, 5.695% 9/15/40 (e)	953		989
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (b)(e)(g)	1		0
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	13,416		13,857
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	17,172		17,703
Series 2006-GG7 Class A4, 5.8193% 7/10/38 (e)	2,784		2,803
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A1A, 5.547% 11/10/39	2,238		2,286
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (b)	1,300		1,295
Class DFX, 4.4065% 11/5/30 (b)	11,967		11,967
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FL2A:
Class E, 0.477% 11/15/18 (b)(e)	97		96
Class F, 0.527% 11/15/18 (b)(e)	227		218
Class G, 0.557% 11/15/18 (b)(e)	198		189
Class H, 0.697% 11/15/18 (b)(e)	190		181
sequential payer:
Series 2006-CB17 Class A4, 5.429% 12/12/43	4,326		4,416
Series 2007-CB18 Class A4, 5.44% 6/12/47	12,504		12,867
Series 2007-LD11 Class A4, 5.7741% 6/15/49 (e)	97,451		100,252
Series 2007-CB19:
Class B, 5.695% 2/12/49 (e)	93		24
Class C, 5.695% 2/12/49 (e)	245		16
Class D, 5.695% 2/12/49 (e)	257		5
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (e)	60		0
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0966% 7/15/44 (e)	3,675		3,851
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C7 Class A2, 5.3% 11/15/38	336		338
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.414% 1/12/44 (b)(e)	953		951
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch Mortgage Trust: - continued
Series 2007-C1 Class A4, 5.8373% 6/12/50 (e)	$ 4,145		$ 4,296
Series 2008-C1 Class A4, 5.69% 2/12/51	1,665		1,760
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4:
Class A3, 5.172% 12/12/49 (e)	2,485		2,533
Class ASB, 5.133% 12/12/49 (e)	16		16
Series 2007-6 Class A4, 5.485% 3/12/51 (e)	26,699		27,621
Series 2007-7 Class A4, 5.7427% 6/12/50 (e)	4,758		4,967
Series 2007-6 Class B, 5.635% 3/12/51 (e)	1,095		342
Series 2007-8 Class A3, 5.8772% 8/12/49 (e)	944		989
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.397% 7/15/19 (b)(e)	227		227
Series 2007-XLFA:
Class D, 0.3858% 10/15/20 (b)(e)	176		176
Class E, 0.4458% 10/15/20 (b)(e)	528		527
Class F, 0.4958% 10/15/20 (b)(e)	397		397
Class G, 0.5358% 10/15/20 (b)(e)	491		490
Class H, 0.6258% 10/15/20 (b)(e)	309		306
Class J, 0.7758% 10/15/20 (b)(e)	179		174
sequential payer Series 2007-IQ15 Class A4, 5.9171% 6/11/49 (e)	19,796		20,689
Series 2007-IQ14 Class A4, 5.692% 4/15/49	19,062		19,765
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b)	177		55
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A Class J, 0.7993% 9/15/21 (b)(e)	233		222
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	30,892		31,834
Series 2007-C31 Class A4, 5.509% 4/15/47	32,250		33,542
Series 2007-C32 Class A3, 5.7127% 6/15/49 (e)	16,199		16,718
Series 2007-C33 Class A4, 5.9524% 2/15/51 (e)	30,082		31,230
Series 2005-C22 Class B, 5.3981% 12/15/44 (e)	2,428		2,423
Series 2007-C32:
Class D, 5.7127% 6/15/49 (e)	823		584
Class E, 5.7127% 6/15/49 (e)	1,297		718
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $429,527)		410,215
Municipal Securities - 1.9%
	Principal Amount (000s)		Value (000s)
Chicago Gen. Oblig.:
(Taxable Proj.):
Series 2010 C1, 7.781% 1/1/35	$ 1,510		$ 1,671
Series 2012 B, 5.432% 1/1/42	5,580		4,925
6.314% 1/1/44	29,170		28,337
Illinois Gen. Oblig.:
Series 2003:
4.35% 6/1/18	3,515		3,580
4.95% 6/1/23	6,830		6,867
5.1% 6/1/33	40,020		37,959
Series 2010 5, 6.2% 7/1/21	3,205		3,449
Series 2010-1, 6.63% 2/1/35	4,420		4,574
Series 2010-3:
6.725% 4/1/35	5,880		6,179
7.35% 7/1/35	3,010		3,301
Series 2011:
5.365% 3/1/17	195		201
5.665% 3/1/18	5,145		5,408
5.877% 3/1/19	17,400		18,664
Series 2013:
1.84% 12/1/16	4,160		4,160
3.6% 12/1/19	3,585		3,547
TOTAL MUNICIPAL SECURITIES (Cost $137,752)		132,822
Foreign Government and Government Agency Obligations - 0.1%

United Mexican States 3.5% 1/21/21 (Cost $6,956)	6,991		7,120
Bank Notes - 0.8%

Bank of America NA 5.3% 3/15/17	3,698		3,866
Barclays Bank PLC 2.5% 2/20/19	3,600		3,639
Discover Bank:
(Delaware) 3.2% 8/9/21	8,981		8,896
3.1% 6/4/20	8,842		8,935
8.7% 11/18/19	1,409		1,670
KeyBank NA 6.95% 2/1/28	1,344		1,685
Bank Notes - continued
	Principal Amount (000s)		Value (000s)
Marshall & Ilsley Bank 5% 1/17/17	$ 6,983		$ 7,224
Regions Bank 7.5% 5/15/18	18,321		20,473
TOTAL BANK NOTES (Cost $54,567)		56,388

Fixed-Income Funds - 28.3%
	Shares
Fidelity Mortgage Backed Securities Central Fund (f)	14,793,482		1,612,194
Fidelity Specialized High Income Central Fund (f)	4,132,222		413,098
TOTAL FIXED-INCOME FUNDS (Cost $2,008,672)		2,025,292

Preferred Securities - 0.2%
	Principal Amount (000s)
FINANCIALS - 0.2%
Banks - 0.2%
Barclays Bank PLC 7.625% 11/21/22 (Cost $11,925)	$ 10,602	12,002

Money Market Funds - 5.4%
	Shares
Fidelity Cash Central Fund, 0.18% (a) (Cost $386,470)	386,469,590		386,470
TOTAL INVESTMENT PORTFOLIO - 102.3% (Cost $7,408,932)			7,322,050
NET OTHER ASSETS (LIABILITIES) - (2.3)%			(165,169)
NET ASSETS - 100%		$ 7,156,881

Swaps
Credit Default Swaps
Underlying Reference	Rating (1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/ (Paid)	Notional Amount(2) (000s)	Value (000s)(1)	Upfront Premium Received/ (Paid) (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Buy Protection
Deutsche Bank AG		Dec. 2018	Credit Suisse International	(1%)	$ 6,500	$ (90)	$ (205)	$ (295)
Deutsche Bank AG		Mar. 2019	JPMorgan Chase Bank, N.A.	(1%)	4,085	(55)	(155)	(210)
National Australia Bank Ltd		Dec. 2018	Credit Suisse International	(1%)	6,500	(101)	(340)	(441)
National Australia Bank Ltd		Dec. 2018	Credit Suisse International	(1%)	6,500	(101)	(292)	(393)
Societe Generale		Dec. 2017	Credit Suisse International	(3%)	3,825	(230)	24	(206)
Societe Generale		Dec. 2017	Credit Suisse International	(3%)	3,823	(230)	64	(166)
UFJ Finance Aruba AEC		Mar. 2018	Credit Suisse International	(1%)	5,500	(86)	(57)	(143)
UFJ Finance Aruba AEC		Mar. 2018	Credit Suisse International	(1%)	3,823	(60)	(89)	(149)
TOTAL BUY PROTECTION						(953)	(1,050)	(2,003)
Sell Protection
Countrywide Home Loans Inc Series 2003-BC1 Class B1	Ca	Apr. 2032	Merrill Lynch International	4.29%	50	(5)	0	(5)
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	153	(15)	0	(15)
TOTAL SELL PROTECTION						(20)	0	(20)
TOTAL CREDIT DEFAULT SWAPS						$ (973)	$ (1,050)	$ (2,023)

Legend

(d) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $2,030,902.

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

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

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

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

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity Cash Central Fund	$ 165
Fidelity Mortgage Backed Securities Central Fund	7,834
Fidelity Specialized High Income Central Fund	5,758
Total	$ 13,757

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Mortgage Backed Securities Central Fund	$ 1,190,488	$ 425,152	$ -	$ 1,612,194	29.1%
Fidelity Specialized High Income Central Fund	413,534	5,758	-	413,098	50.1%
Total	$ 1,604,022	$ 430,910	$ -	$ 2,025,292

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,464,108	$ -	$ 2,464,108	$ -
U.S. Government and Government Agency Obligations	1,708,009	-	1,708,009	-
U.S. Government Agency - Mortgage Securities	39,138	-	39,138	-
Asset-Backed Securities	56,506	-	53,491	3,015
Collateralized Mortgage Obligations	23,980	-	23,980	-
Commercial Mortgage Securities	410,215	-	410,157	58
Municipal Securities	132,822	-	132,822	-
Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Foreign Government and Government Agency Obligations	$ 7,120	$ -	$ 7,120	$ -
Bank Notes	56,388	-	56,388	-
Fixed-Income Funds	2,025,292	2,025,292	-	-
Preferred Securities	12,002	-	12,002	-
Money Market Funds	386,470	386,470	-	-
Total Investments in Securities:	$ 7,322,050	$ 2,411,762	$ 4,907,215	$ 3,073
Derivative Instruments:
Liabilities
Swaps	$ (973)	$ -	$ (973)	$ -

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $7,404,745,000. Net unrealized depreciation aggregated $82,695,000, of which $132,891,000 related to appreciated investment securities and $215,586,000 related to depreciated investment securities.

Investment Valuation

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

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

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

Credit Risk.

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Series Investment Grade
Bond Fund

November 30, 2015

1.873111.107

LIG-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 46.9%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 3.7%
Automobiles - 0.9%
Daimler Finance North America LLC 1.45% 8/1/16 (b)	$ 17,512,000		$ 17,541,087
General Motors Co.:
3.5% 10/2/18	15,850,000		16,073,485
6.25% 10/2/43	2,624,000		2,809,184
General Motors Financial Co., Inc.:
2.4% 4/10/18	50,000,000		49,784,100
2.625% 7/10/17	5,075,000		5,093,361
3% 9/25/17	11,621,000		11,708,739
3.2% 7/13/20	26,000,000		25,649,156
3.25% 5/15/18	8,305,000		8,383,657
3.5% 7/10/19	18,875,000		19,043,705
4.25% 5/15/23	9,285,000		9,326,179
4.375% 9/25/21	41,737,000		42,643,361
4.75% 8/15/17	8,785,000		9,113,787
			217,169,801
Diversified Consumer Services - 0.1%
Ingersoll-Rand Global Holding Co. Ltd.:
2.875% 1/15/19	2,684,000		2,727,344
4.25% 6/15/23	18,902,000		19,476,281
			22,203,625
Media - 2.7%
21st Century Fox America, Inc.:
6.15% 3/1/37	8,831,000		10,018,540
6.15% 2/15/41	44,925,000		52,085,506
7.75% 12/1/45	10,133,000		13,670,299
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.464% 7/23/22 (b)	26,167,000		26,466,534
4.908% 7/23/25 (b)	25,893,000		26,296,698
6.484% 10/23/45 (b)	25,889,000		26,966,656
Comcast Corp.:
3.6% 3/1/24	43,000,000		44,896,601
4.6% 8/15/45	51,872,000		53,738,147
4.95% 6/15/16	9,131,000		9,341,725
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19	16,408,000		18,477,607
Discovery Communications LLC:
3.25% 4/1/23	3,681,000		3,428,771
6.35% 6/1/40	10,151,000		10,179,717
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Media - continued
NBCUniversal, Inc. 5.15% 4/30/20	$ 28,753,000		$ 32,402,245
Thomson Reuters Corp.:
1.3% 2/23/17	8,556,000		8,516,283
3.85% 9/29/24	18,774,000		18,546,910
Time Warner Cable, Inc.:
4% 9/1/21	38,151,000		39,182,183
4.5% 9/15/42	32,190,000		26,210,192
5.5% 9/1/41	14,842,000		13,657,787
5.85% 5/1/17	7,927,000		8,312,189
5.875% 11/15/40	9,556,000		9,245,468
6.55% 5/1/37	40,036,000		40,563,795
6.75% 7/1/18	23,280,000		25,666,153
7.3% 7/1/38	30,237,000		32,763,120
8.25% 4/1/19	42,627,000		49,353,072
Time Warner, Inc.:
3.6% 7/15/25	9,728,000		9,629,981
4.9% 6/15/42	21,000,000		20,542,830
6.2% 3/15/40	15,555,000		17,492,484
6.5% 11/15/36	6,573,000		7,589,593
Viacom, Inc.:
2.5% 9/1/18	3,555,000		3,565,825
3.5% 4/1/17	15,103,000		15,403,535
			674,210,446
TOTAL CONSUMER DISCRETIONARY			913,583,872
CONSUMER STAPLES - 2.6%
Beverages - 0.1%
Heineken NV 1.4% 10/1/17 (b)	12,431,000		12,406,772
SABMiller Holdings, Inc. 3.75% 1/15/22 (b)	16,792,000		17,283,905
			29,690,677
Food & Staples Retailing - 0.6%
CVS Health Corp.:
1.9% 7/20/18	23,965,000		24,103,973
2.25% 12/5/18	18,014,000		18,212,766
2.8% 7/20/20	23,157,000		23,513,178
3.5% 7/20/22	13,624,000		13,994,804
4% 12/5/23	18,015,000		18,957,941
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food & Staples Retailing - continued
Walgreens Boots Alliance, Inc.:
1.75% 11/17/17	$ 6,303,000		$ 6,281,904
2.7% 11/18/19	14,218,000		14,244,872
3.3% 11/18/21	16,863,000		16,808,684
			136,118,122
Food Products - 0.1%
ConAgra Foods, Inc. 1.9% 1/25/18	8,922,000		8,879,496
Tobacco - 1.8%
Altria Group, Inc.:
2.85% 8/9/22	31,563,000		31,003,356
4% 1/31/24	15,944,000		16,656,298
4.25% 8/9/42	26,526,000		24,335,960
9.25% 8/6/19	1,547,000		1,900,856
Imperial Tobacco Finance PLC:
2.05% 7/20/18 (b)	13,299,000		13,274,171
2.95% 7/21/20 (b)	24,400,000		24,451,679
3.75% 7/21/22 (b)	26,649,000		27,007,829
4.25% 7/21/25 (b)	25,864,000		26,334,958
Philip Morris International, Inc. 5.65% 5/16/18	2,251,000		2,473,786
Reynolds American, Inc.:
2.3% 6/12/18	11,475,000		11,621,226
3.25% 6/12/20	9,488,000		9,719,849
3.25% 11/1/22	47,809,000		47,522,863
4% 6/12/22	17,554,000		18,260,197
4.45% 6/12/25	38,654,000		40,611,245
4.75% 11/1/42	48,462,000		46,784,730
5.7% 8/15/35	6,607,000		7,270,766
5.85% 8/15/45	50,684,000		56,764,458
6.15% 9/15/43	11,136,000		12,747,814
6.75% 6/15/17	10,391,000		11,159,685
7.25% 6/15/37	15,680,000		19,214,523
			449,116,249
TOTAL CONSUMER STAPLES			623,804,544
ENERGY - 7.1%
Energy Equipment & Services - 0.8%
DCP Midstream LLC:
4.75% 9/30/21 (b)	21,176,000		18,215,023
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Energy Equipment & Services - continued
DCP Midstream LLC: - continued
5.35% 3/15/20 (b)	$ 39,799,000		$ 37,068,470
6.75% 9/15/37 (b)	2,991,000		2,401,501
El Paso Pipeline Partners Operating Co. LLC:
5% 10/1/21	13,430,000		12,756,875
6.5% 4/1/20	2,078,000		2,201,801
Ensco PLC:
5.2% 3/15/25	32,677,000		26,932,383
5.75% 10/1/44	12,542,000		9,719,047
Halliburton Co.:
3.8% 11/15/25	12,900,000		12,993,473
4.85% 11/15/35	11,266,000		11,379,437
5% 11/15/45	15,435,000		15,711,750
Noble Holding International Ltd.:
4% 3/16/18	1,918,000		1,811,603
5.95% 4/1/25	32,232,000		25,838,396
6.95% 4/1/45	11,807,000		8,539,885
Transocean, Inc. 5.55% 12/15/16 (g)	13,734,000		13,665,330
			199,234,974
Oil, Gas & Consumable Fuels - 6.3%
Anadarko Petroleum Corp. 6.375% 9/15/17	62,765,000		67,162,944
BP Capital Markets PLC:
1.674% 2/13/18	25,503,000		25,456,432
2.315% 2/13/20	51,007,000		51,038,930
3.535% 11/4/24	26,060,000		26,335,585
3.814% 2/10/24	22,007,000		22,652,377
4.5% 10/1/20	9,929,000		10,861,849
4.742% 3/11/21	12,000,000		13,286,664
Canadian Natural Resources Ltd. 1.75% 1/15/18	10,142,000		9,962,547
Cenovus Energy, Inc. 5.7% 10/15/19	26,560,000		28,688,651
Columbia Pipeline Group, Inc.:
2.45% 6/1/18 (b)	4,897,000		4,871,090
3.3% 6/1/20 (b)	23,925,000		23,655,317
4.5% 6/1/25 (b)	7,318,000		7,008,939
5.8% 6/1/45 (b)	9,183,000		8,640,395
ConocoPhillips Co. 5.75% 2/1/19	12,956,000		14,406,593
DCP Midstream Operating LP:
2.5% 12/1/17	11,492,000		10,673,999
2.7% 4/1/19	2,202,000		1,950,943
3.875% 3/15/23	38,871,000		31,885,298
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Duke Energy Field Services 6.45% 11/3/36 (b)	$ 7,882,000		$ 6,236,270
El Paso Corp. 6.5% 9/15/20	21,920,000		22,679,353
El Paso Natural Gas Co. 5.95% 4/15/17	1,304,000		1,348,528
Empresa Nacional de Petroleo 4.375% 10/30/24 (b)	16,015,000		15,857,396
Enable Midstream Partners LP:
2.4% 5/15/19 (b)	6,935,000		6,370,637
3.9% 5/15/24 (b)	7,314,000		5,721,632
Enbridge Energy Partners LP:
4.2% 9/15/21	24,752,000		24,246,218
4.375% 10/15/20	16,600,000		16,690,752
Enterprise Products Operating LP:
2.55% 10/15/19	4,990,000		4,931,113
3.75% 2/15/25	16,764,000		15,915,976
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (b)	9,551,000		9,775,238
Marathon Petroleum Corp. 5.125% 3/1/21	20,728,000		22,447,284
Motiva Enterprises LLC 5.75% 1/15/20 (b)	6,844,000		7,440,448
MPLX LP 4% 2/15/25	3,838,000		3,475,409
Nakilat, Inc. 6.067% 12/31/33 (b)	5,435,000		6,095,353
Petro-Canada 6.05% 5/15/18	2,920,000		3,173,225
Petrobras Global Finance BV:
3% 1/15/19	2,773,000		2,248,903
3.25% 3/17/17	44,873,000		41,956,255
4.375% 5/20/23	69,514,000		48,486,015
4.875% 3/17/20	47,054,000		37,864,354
5.625% 5/20/43	47,507,000		30,170,746
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	17,613,000		17,524,935
5.375% 1/27/21	81,955,000		65,334,526
5.75% 1/20/20	37,518,000		31,269,377
7.875% 3/15/19	14,377,000		13,349,045
Petroleos Mexicanos:
3.125% 1/23/19	3,563,000		3,521,883
3.5% 7/18/18	34,560,000		34,807,795
3.5% 7/23/20 (b)	22,730,000		22,415,190
3.5% 1/30/23	28,927,000		26,540,523
4.5% 1/23/26 (b)	25,619,000		24,153,593
4.875% 1/24/22	17,019,000		17,070,057
4.875% 1/18/24	25,208,000		24,759,298
5.5% 1/21/21	21,149,000		22,180,014
5.5% 6/27/44	65,642,000		54,154,650
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petroleos Mexicanos: - continued
5.625% 1/23/46 (b)	$ 24,828,000		$ 20,855,520
6% 3/5/20	10,740,000		11,569,235
6.375% 1/23/45	22,458,000		20,829,795
6.5% 6/2/41	47,555,000		44,858,632
8% 5/3/19	13,934,000		15,799,763
Phillips 66 Co. 4.3% 4/1/22	21,152,000		22,239,192
Phillips 66 Partners LP 2.646% 2/15/20	2,101,000		2,031,444
Plains All American Pipeline LP/PAA Finance Corp.:
3.65% 6/1/22	23,890,000		21,943,514
3.85% 10/15/23	20,000,000		18,081,120
6.125% 1/15/17	5,000,000		5,192,035
Shell International Finance BV:
3.25% 5/11/25	26,300,000		26,160,294
4.375% 5/11/45	26,300,000		26,153,877
Southwestern Energy Co.:
3.3% 1/23/18	9,962,000		9,515,039
4.05% 1/23/20	18,075,000		16,016,294
4.95% 1/23/25	13,262,000		10,927,026
Spectra Energy Capital, LLC 5.65% 3/1/20	15,101,000		16,103,963
Spectra Energy Partners, LP:
2.95% 6/15/16	3,790,000		3,816,557
2.95% 9/25/18	4,862,000		4,865,822
4.6% 6/15/21	4,954,000		5,142,599
Suncor Energy, Inc. 6.1% 6/1/18	9,550,000		10,421,714
The Williams Companies, Inc.:
3.7% 1/15/23	18,174,000		14,623,291
4.55% 6/24/24	86,182,000		70,715,520
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	2,800,000		2,846,735
Western Gas Partners LP:
2.6% 8/15/18	26,355,000		25,872,045
5.375% 6/1/21	29,916,000		31,204,153
Williams Partners LP:
4.125% 11/15/20	4,302,000		4,147,717
4.3% 3/4/24	17,006,000		14,759,422
			1,525,442,862
TOTAL ENERGY			1,724,677,836
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - 22.8%
Banks - 8.3%
Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (b)	$ 28,250,000		$ 28,108,750
4% 4/14/19 (b)	24,345,000		23,066,888
5.75% 9/26/23 (b)	25,847,000		23,908,475
Bank of America Corp.:
2.25% 4/21/20	682,000		671,417
2.6% 1/15/19	45,756,000		46,261,238
3.3% 1/11/23	4,718,000		4,715,231
3.875% 3/22/17	52,391,000		53,985,468
3.95% 4/21/25	33,300,000		32,939,128
4% 1/22/25	50,000,000		49,634,150
4.1% 7/24/23	26,666,000		27,875,836
4.2% 8/26/24	27,400,000		27,669,397
4.25% 10/22/26	24,664,000		24,748,672
5.65% 5/1/18	16,400,000		17,784,308
5.75% 12/1/17	32,792,000		35,292,062
5.875% 1/5/21	9,805,000		11,180,269
6.5% 8/1/16	11,950,000		12,372,588
Barclays PLC 2.75% 11/8/19	20,644,000		20,667,018
Capital One NA 2.95% 7/23/21	31,087,000		30,969,647
Citigroup, Inc.:
1.3% 11/15/16	40,887,000		40,949,189
1.7% 4/27/18	159,351,000		158,680,770
1.85% 11/24/17	50,965,000		50,989,871
2.4% 2/18/20	81,119,000		80,889,433
2.5% 7/29/19	70,347,000		70,960,004
4.05% 7/30/22	10,740,000		11,081,221
4.4% 6/10/25	52,520,000		53,410,687
5.5% 9/13/25	11,022,000		12,108,901
6.125% 5/15/18	9,716,000		10,695,703
Citizens Financial Group, Inc. 4.15% 9/28/22 (b)	24,215,000		24,482,091
Credit Suisse AG 6% 2/15/18	27,227,000		29,415,588
Credit Suisse Group Funding Guernsey Ltd.:
2.75% 3/26/20 (b)	26,632,000		26,518,841
3.75% 3/26/25 (b)	26,750,000		26,146,868
3.8% 9/15/22 (b)	38,070,000		38,369,992
Discover Bank:
4.2% 8/8/23	35,498,000		36,915,151
7% 4/15/20	9,043,000		10,348,972
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Fifth Third Bancorp:
4.5% 6/1/18	$ 2,562,000		$ 2,710,045
8.25% 3/1/38	12,528,000		18,093,126
HBOS PLC 6.75% 5/21/18 (b)	4,594,000		5,044,281
HSBC Holdings PLC 4.25% 3/14/24	12,220,000		12,376,929
HSBC U.S.A., Inc. 1.625% 1/16/18	21,531,000		21,483,266
Huntington Bancshares, Inc. 7% 12/15/20	4,459,000		5,226,612
JPMorgan Chase & Co.:
1.625% 5/15/18	26,730,000		26,649,623
2.2% 10/22/19	22,906,000		22,937,038
2.35% 1/28/19	21,611,000		21,847,943
3.15% 7/5/16	25,000,000		25,337,550
3.25% 9/23/22	53,888,000		54,514,502
3.875% 9/10/24	58,432,000		58,741,748
4.125% 12/15/26	75,621,000		76,521,268
4.25% 10/15/20	40,500,000		43,300,818
4.35% 8/15/21	62,606,000		67,419,087
4.625% 5/10/21	10,326,000		11,276,839
4.95% 3/25/20	8,235,000		9,027,586
KeyBank NA 5.45% 3/3/16	10,925,000		11,047,076
Rabobank Nederland 4.375% 8/4/25	39,970,000		40,834,031
Regions Bank 6.45% 6/26/37	40,184,000		47,917,330
Regions Financial Corp. 2% 5/15/18	28,255,000		28,135,510
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	45,938,000		47,256,834
6% 12/19/23	30,612,000		33,349,784
6.1% 6/10/23	35,599,000		38,745,596
6.125% 12/15/22	71,538,000		78,710,328
Wachovia Corp.:
5.75% 6/15/17	2,050,000		2,185,099
5.75% 2/1/18	4,000,000		4,347,080
Wells Fargo & Co.:
1.25% 7/20/16	34,000,000		34,106,352
3.676% 6/15/16	26,564,000		26,982,622
4.48% 1/16/24	16,709,000		17,719,326
			2,047,659,053
Capital Markets - 4.3%
Affiliated Managers Group, Inc.:
3.5% 8/1/25	28,809,000		27,522,160
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Affiliated Managers Group, Inc.: - continued
4.25% 2/15/24	$ 21,448,000		$ 21,976,522
Deutsche Bank AG 4.5% 4/1/25	67,755,000		63,923,251
Deutsche Bank AG London Branch 1.875% 2/13/18	51,007,000		50,798,381
Goldman Sachs Group, Inc.:
1.748% 9/15/17	80,000,000		79,968,480
2.55% 10/23/19	24,803,000		25,045,127
2.6% 4/23/20	20,000,000		20,098,200
2.625% 1/31/19	94,162,000		95,867,839
2.9% 7/19/18	39,857,000		40,878,894
3.85% 7/8/24	25,000,000		25,607,875
5.25% 7/27/21	17,979,000		20,104,711
5.95% 1/18/18	9,760,000		10,596,637
6% 6/15/20	16,000,000		18,273,712
6.15% 4/1/18	10,942,000		12,000,004
Lazard Group LLC:
4.25% 11/14/20	20,221,000		21,113,029
6.85% 6/15/17	1,877,000		2,001,862
Merrill Lynch & Co., Inc. 6.875% 4/25/18	9,961,000		11,086,603
Morgan Stanley:
1.875% 1/5/18	25,133,000		25,232,250
2.125% 4/25/18	26,580,000		26,783,124
2.8% 6/16/20	40,000,000		40,455,200
3.7% 10/23/24	61,950,000		63,024,027
3.75% 2/25/23	29,016,000		30,050,217
3.875% 4/29/24	50,000,000		51,677,100
4.1% 5/22/23	20,000,000		20,487,380
4.875% 11/1/22	39,633,000		42,865,467
5% 11/24/25	6,349,000		6,844,514
5.45% 1/9/17	27,643,000		28,879,001
5.625% 9/23/19	16,919,000		18,834,011
5.75% 1/25/21	26,624,000		30,345,742
6.625% 4/1/18	9,869,000		10,925,190
7.3% 5/13/19	22,127,000		25,773,242
UBS AG Stamford Branch:
1.375% 6/1/17	19,567,000		19,505,403
1.8% 3/26/18	39,521,000		39,564,276
UBS Group Funding Ltd. 4.125% 9/24/25 (b)	27,816,000		27,888,655
			1,055,998,086
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - 1.5%
Discover Financial Services:
3.75% 3/4/25	$ 20,000,000		$ 19,626,120
3.85% 11/21/22	38,277,000		38,147,203
3.95% 11/6/24	16,412,000		16,258,613
5.2% 4/27/22	16,852,000		18,142,644
6.45% 6/12/17	16,773,000		17,858,867
Ford Motor Credit Co. LLC:
1.5% 1/17/17	17,207,000		17,147,154
1.7% 5/9/16	41,347,000		41,455,081
2.24% 6/15/18	29,329,000		29,160,270
2.875% 10/1/18	27,070,000		27,266,366
General Electric Capital Corp.:
1% 12/11/15	19,830,000		19,833,193
2.95% 5/9/16	5,375,000		5,428,562
4.625% 1/7/21	6,275,000		6,946,569
4.65% 10/17/21	2,539,000		2,830,726
6% 8/7/19	6,299,000		7,191,014
Hyundai Capital America:
1.45% 2/6/17 (b)	29,291,000		29,167,070
1.875% 8/9/16 (b)	7,052,000		7,066,725
2.125% 10/2/17 (b)	8,655,000		8,637,050
2.875% 8/9/18 (b)	12,509,000		12,674,869
Synchrony Financial:
1.875% 8/15/17	5,478,000		5,465,187
3% 8/15/19	8,044,000		8,082,925
3.75% 8/15/21	12,146,000		12,237,156
4.25% 8/15/24	12,226,000		12,222,161
			362,845,525
Diversified Financial Services - 0.7%
Brixmor Operating Partnership LP:
3.85% 2/1/25	22,346,000		21,895,259
3.875% 8/15/22	17,670,000		17,571,702
GE Capital International Funding Co.:
0.964% 4/15/16 (b)	14,976,000		14,994,151
2.342% 11/15/20 (b)	59,618,000		59,493,041
General Electric Capital Corp. 5.3% 2/11/21	5,612,000		6,387,825
ING U.S., Inc. 5.5% 7/15/22	17,487,000		19,574,196
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Diversified Financial Services - continued
IntercontinentalExchange, Inc.:
2.75% 12/1/20	$ 8,512,000		$ 8,539,936
3.75% 12/1/25	15,218,000		15,354,566
			163,810,676
Insurance - 2.8%
ACE INA Holdings, Inc.:
2.875% 11/3/22	15,579,000		15,487,442
3.35% 5/3/26	12,557,000		12,523,737
4.35% 11/3/45	12,757,000		12,787,706
AIA Group Ltd. 2.25% 3/11/19 (b)	5,074,000		5,062,107
American International Group, Inc.:
2.3% 7/16/19	10,789,000		10,791,158
3.875% 1/15/35	29,736,000		26,829,901
4.875% 6/1/22	8,077,000		8,811,474
5.6% 10/18/16	24,154,000		25,076,224
Aon Corp.:
3.125% 5/27/16	20,350,000		20,569,800
5% 9/30/20	5,687,000		6,252,675
Five Corners Funding Trust 4.419% 11/15/23 (b)	24,590,000		25,860,319
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(g)	11,133,000		11,202,581
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	27,603,000		30,539,573
5.375% 3/15/17	546,000		571,605
Liberty Mutual Group, Inc.:
5% 6/1/21 (b)	23,174,000		24,921,181
6.7% 8/15/16 (b)	6,494,000		6,735,830
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	13,119,000		14,319,205
Massachusetts Mutual Life Insurance Co.:
4.5% 4/15/65 (b)	49,265,000		44,851,447
5.375% 12/1/41 (b)	6,352,000		6,863,317
MetLife, Inc.:
1.903% 12/15/17 (g)	5,102,000		5,134,551
3.048% 12/15/22 (g)	21,302,000		21,439,845
4.368% 9/15/23	23,681,000		25,557,790
4.75% 2/8/21	6,004,000		6,643,732
6.75% 6/1/16	9,220,000		9,488,256
Metropolitan Life Global Funding I:
1.875% 6/22/18 (b)	22,959,000		23,005,492
3% 1/10/23 (b)	15,204,000		15,188,066
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Pacific Life Insurance Co. 9.25% 6/15/39 (b)	$ 11,401,000		$ 16,664,260
Pacific LifeCorp:
5.125% 1/30/43 (b)	30,812,000		31,527,948
6% 2/10/20 (b)	17,699,000		19,807,871
Pricoa Global Funding I 1.6% 5/29/18 (b)	4,564,000		4,541,381
Prudential Financial, Inc.:
2.3% 8/15/18	3,901,000		3,934,634
4.5% 11/16/21	12,469,000		13,547,369
5.375% 5/15/45 (g)	27,275,000		27,684,125
7.375% 6/15/19	3,820,000		4,461,042
Symetra Financial Corp. 6.125% 4/1/16 (b)	11,250,000		11,403,563
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b)	29,603,000		30,453,820
TIAA Asset Management Finance LLC:
2.95% 11/1/19 (b)	7,063,000		7,120,684
4.125% 11/1/24 (b)	10,239,000		10,350,083
Unum Group:
3.875% 11/5/25	23,721,000		23,421,736
5.625% 9/15/20	18,528,000		20,498,916
5.75% 8/15/42	30,555,000		33,705,312
7.125% 9/30/16	1,654,000		1,728,600
			677,366,358
Real Estate Investment Trusts - 3.0%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	4,816,000		4,762,017
4.6% 4/1/22	6,540,000		6,817,420
American Campus Communities Operating Partnership LP 3.75% 4/15/23	7,324,000		7,188,616
AvalonBay Communities, Inc.:
3.625% 10/1/20	12,415,000		12,943,643
4.2% 12/15/23	20,000,000		21,153,580
Boston Properties, Inc. 3.85% 2/1/23	27,063,000		27,904,984
Camden Property Trust:
2.95% 12/15/22	12,066,000		11,677,161
4.25% 1/15/24	20,255,000		21,057,604
Corporate Office Properties LP 5% 7/1/25	12,342,000		11,983,613
DDR Corp.:
3.625% 2/1/25	12,010,000		11,423,047
4.25% 2/1/26	9,452,000		9,425,100
4.625% 7/15/22	19,208,000		19,885,313
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
DDR Corp.: - continued
4.75% 4/15/18	$ 21,321,000		$ 22,388,137
7.5% 4/1/17	9,638,000		10,327,589
9.625% 3/15/16	7,551,000		7,724,469
Digital Delta Holdings LLC:
3.4% 10/1/20 (b)	26,061,000		26,172,228
4.75% 10/1/25 (b)	18,728,000		18,943,054
Duke Realty LP:
3.625% 4/15/23	22,930,000		22,453,538
3.75% 12/1/24	9,068,000		8,831,788
3.875% 10/15/22	20,422,000		20,543,205
4.375% 6/15/22	13,477,000		13,922,967
5.95% 2/15/17	828,000		868,759
6.5% 1/15/18	12,019,000		13,068,283
6.75% 3/15/20	1,066,000		1,221,956
8.25% 8/15/19	5,060,000		6,026,941
Equity One, Inc.:
3.75% 11/15/22	30,646,000		29,746,080
6% 9/15/17	4,090,000		4,347,519
6.25% 1/15/17	3,237,000		3,385,792
Equity Residential 5.125% 3/15/16	8,850,000		8,958,227
ERP Operating LP:
2.375% 7/1/19	14,895,000		14,949,456
4.625% 12/15/21	31,142,000		33,974,147
4.75% 7/15/20	31,427,000		34,208,290
5.375% 8/1/16	4,428,000		4,545,524
5.75% 6/15/17	24,188,000		25,693,921
Federal Realty Investment Trust 5.9% 4/1/20	3,969,000		4,498,655
HCP, Inc. 3.75% 2/1/16	14,496,000		14,564,131
Health Care REIT, Inc.:
2.25% 3/15/18	10,222,000		10,217,594
4% 6/1/25	16,821,000		16,595,010
4.7% 9/15/17	3,736,000		3,915,264
HRPT Properties Trust:
6.25% 6/15/17	861,000		892,760
6.65% 1/15/18	3,483,000		3,702,286
Lexington Corporate Properties Trust 4.4% 6/15/24	7,941,000		7,936,783
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	7,527,000		7,380,035
4.5% 4/1/27 (b)	73,646,000		70,160,850
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
Omega Healthcare Investors, Inc.: - continued
4.95% 4/1/24	$ 7,519,000		$ 7,603,085
5.25% 1/15/26 (b)	29,837,000		30,659,009
Retail Opportunity Investments Partnership LP:
4% 12/15/24	5,631,000		5,338,301
5% 12/15/23	4,225,000		4,347,373
Simon Property Group LP 4.125% 12/1/21	13,242,000		14,208,322
Weingarten Realty Investors 3.375% 10/15/22	4,634,000		4,513,961
WP Carey, Inc. 4% 2/1/25	30,215,000		29,031,358
			734,088,745
Real Estate Management & Development - 2.2%
BioMed Realty LP:
2.625% 5/1/19	12,739,000		12,415,544
3.85% 4/15/16	27,899,000		28,092,591
4.25% 7/15/22	10,332,000		9,942,969
6.125% 4/15/20	5,563,000		5,973,405
Brandywine Operating Partnership LP:
3.95% 2/15/23	24,708,000		24,150,439
4.1% 10/1/24	24,424,000		23,716,901
4.55% 10/1/29	22,620,000		21,946,738
4.95% 4/15/18	19,325,000		20,279,984
5.7% 5/1/17	6,890,000		7,215,387
6% 4/1/16	6,664,000		6,759,962
Digital Realty Trust LP:
3.95% 7/1/22	17,345,000		17,202,129
5.25% 3/15/21	10,656,000		11,510,196
Essex Portfolio LP 5.5% 3/15/17	8,105,000		8,474,531
Liberty Property LP:
3.375% 6/15/23	12,723,000		12,111,800
3.75% 4/1/25	17,751,000		17,152,791
4.125% 6/15/22	11,558,000		11,685,230
4.4% 2/15/24	32,513,000		33,128,374
4.75% 10/1/20	17,245,000		18,419,247
5.5% 12/15/16	4,865,000		5,056,034
6.625% 10/1/17	12,549,000		13,534,423
Mack-Cali Realty LP:
2.5% 12/15/17	17,302,000		17,171,474
3.15% 5/15/23	41,165,000		35,630,613
4.5% 4/18/22	7,126,000		6,885,113
7.75% 8/15/19	2,973,000		3,322,613
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Mid-America Apartments LP:
4% 11/15/25	$ 6,179,000		$ 6,162,799
4.3% 10/15/23	5,535,000		5,630,617
6.05% 9/1/16	3,862,000		3,980,108
Post Apartment Homes LP 3.375% 12/1/22	4,560,000		4,439,342
Prime Property Funding, Inc. 5.7% 4/15/17 (b)	2,366,000		2,454,590
Reckson Operating Partnership LP 6% 3/31/16	8,396,000		8,507,272
Regency Centers LP 5.875% 6/15/17	3,320,000		3,513,921
Tanger Properties LP:
3.75% 12/1/24	17,037,000		16,794,308
3.875% 12/1/23	10,722,000		10,753,952
6.125% 6/1/20	24,577,000		27,913,770
Ventas Realty LP:
1.55% 9/26/16	18,423,000		18,481,696
3.5% 2/1/25	7,197,000		6,895,914
4.125% 1/15/26	8,443,000		8,436,929
Ventas Realty LP/Ventas Capital Corp.:
2% 2/15/18	15,576,000		15,561,359
4% 4/30/19	8,644,000		9,033,672
Washington Prime Group LP 3.85% 4/1/20	20,000,000		20,252,520
			540,591,257
TOTAL FINANCIALS			5,582,359,700
HEALTH CARE - 2.3%
Biotechnology - 0.8%
AbbVie, Inc.:
1.75% 11/6/17	24,562,000		24,648,630
2.9% 11/6/22	25,191,000		24,641,383
3.6% 5/14/25	37,733,000		37,392,271
4.5% 5/14/35	36,362,000		35,379,026
4.7% 5/14/45	36,299,000		35,629,755
Amgen, Inc.:
1.25% 5/22/17	23,000,000		22,939,924
2.2% 5/22/19	24,334,000		24,321,322
			204,952,311
Health Care Equipment & Supplies - 0.0%
Becton, Dickinson & Co. 2.675% 12/15/19	7,549,000		7,638,727
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Health Care Providers & Services - 0.7%
Express Scripts Holding Co. 4.75% 11/15/21	$ 36,410,000		$ 39,521,999
Medco Health Solutions, Inc. 4.125% 9/15/20	11,062,000		11,665,321
UnitedHealth Group, Inc.:
2.75% 2/15/23	4,066,000		3,994,918
3.35% 7/15/22	9,392,000		9,649,200
3.75% 7/15/25	22,896,000		23,746,426
4.625% 7/15/35	18,496,000		19,545,167
4.75% 7/15/45	25,893,000		27,305,748
WellPoint, Inc. 3.3% 1/15/23	21,022,000		20,777,346
			156,206,125
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	6,468,000		6,454,592
2.4% 2/1/19	4,078,000		4,092,840
4.15% 2/1/24	6,266,000		6,565,847
			17,113,279
Pharmaceuticals - 0.7%
Actavis Funding SCS:
3% 3/12/20	22,207,000		22,486,520
3.45% 3/15/22	25,461,000		25,751,841
Bayer U.S. Finance LLC:
2.375% 10/8/19 (b)	17,401,000		17,508,956
3% 10/8/21 (b)	12,703,000		12,898,334
3.375% 10/8/24 (b)	5,667,000		5,701,240
Mylan, Inc. 1.35% 11/29/16	8,049,000		7,997,897
Perrigo Co. PLC:
1.3% 11/8/16	7,040,000		6,994,170
2.3% 11/8/18	7,532,000		7,437,165
Perrigo Finance PLC:
3.5% 12/15/21	6,081,000		5,973,646
3.9% 12/15/24	9,061,000		8,788,427
4.9% 12/15/44	3,975,000		3,694,238
Pfizer, Inc. 6.2% 3/15/19	10,000,000		11,316,270
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	8,155,000		8,167,053
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
Zoetis, Inc.:
1.875% 2/1/18	$ 3,884,000		$ 3,851,503
3.25% 2/1/23	33,171,000		31,708,623
			180,275,883
TOTAL HEALTH CARE			566,186,325
INDUSTRIALS - 0.7%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
3.8% 10/7/24 (b)	15,580,000		15,588,055
6.375% 6/1/19 (b)	9,485,000		10,637,058
			26,225,113
Airlines - 0.1%
Continental Airlines, Inc.:
6.545% 8/2/20	713,581		763,532
6.648% 3/15/19	1,055,929		1,084,967
6.795% 2/2/20	100,378		102,887
6.9% 7/2/19	427,238		440,824
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	2,893,188		3,066,779
8.36% 1/20/19	4,730,556		5,055,782
			10,514,771
Industrial Conglomerates - 0.0%
General Electric Co. 5.25% 12/6/17	8,512,000		9,179,239
Trading Companies & Distributors - 0.5%
Air Lease Corp.:
2.125% 1/15/18	11,932,000		11,755,406
2.625% 9/4/18	24,956,000		24,747,018
3.75% 2/1/22	25,484,000		25,151,714
3.875% 4/1/21	22,238,000		22,460,380
4.25% 9/15/24	19,743,000		19,348,140
4.75% 3/1/20	19,421,000		20,477,114
			123,939,772
Transportation Infrastructure - 0.0%
BNSF Funding Trust I 6.613% 12/15/55 (g)	2,599,000		2,911,660
TOTAL INDUSTRIALS			172,770,555
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - 0.6%
Electronic Equipment & Components - 0.1%
Amphenol Corp. 3.125% 9/15/21	$ 7,717,000		$ 7,615,792
Tyco Electronics Group SA:
2.375% 12/17/18	4,946,000		4,969,231
6.55% 10/1/17	3,075,000		3,343,657
			15,928,680
Technology Hardware, Storage & Peripherals - 0.5%
Apple, Inc.:
3.2% 5/13/25	26,300,000		26,696,341
4.375% 5/13/45	26,300,000		26,428,581
Hewlett Packard Enterprise Co.:
3.6% 10/15/20 (b)	24,710,000		24,905,901
4.9% 10/15/25 (b)	24,958,000		24,641,508
6.35% 10/15/45 (b)	25,046,000		24,043,985
			126,716,316
TOTAL INFORMATION TECHNOLOGY			142,644,996
MATERIALS - 0.6%
Chemicals - 0.1%
The Dow Chemical Co.:
4.125% 11/15/21	19,768,000		20,801,392
4.25% 11/15/20	6,609,000		7,006,049
			27,807,441
Metals & Mining - 0.5%
BHP Billiton Financial (U.S.A.) Ltd.:
6.25% 10/19/75 (b)(g)	10,050,000		10,101,255
6.75% 10/19/75 (b)(g)	24,962,000		24,899,595
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (b)	22,911,000		22,530,311
4.875% 11/4/44 (b)	10,724,000		8,942,808
Freeport-McMoRan, Inc. 2.3% 11/14/17	16,405,000		14,805,513
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18	27,416,000		27,198,865
Vale Overseas Ltd.:
4.375% 1/11/22	22,000,000		18,347,780
6.25% 1/23/17	3,240,000		3,297,024
			130,123,151
TOTAL MATERIALS			157,930,592
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - 3.0%
Diversified Telecommunication Services - 2.8%
AT&T, Inc.:
2.45% 6/30/20	$ 18,005,000		$ 17,709,160
3% 6/30/22	46,645,000		46,138,715
3.4% 5/15/25	51,500,000		49,938,211
4.75% 5/15/46	49,954,000		46,876,834
4.8% 6/15/44	13,400,000		12,626,713
6.3% 1/15/38	40,737,000		45,503,188
BellSouth Capital Funding Corp. 7.875% 2/15/30	193,000		230,901
CenturyLink, Inc.:
5.15% 6/15/17	1,983,000		2,042,490
6% 4/1/17	4,959,000		5,120,168
6.15% 9/15/19	12,036,000		12,366,990
Embarq Corp. 7.995% 6/1/36	7,935,000		8,338,098
Verizon Communications, Inc.:
1.35% 6/9/17	35,777,000		35,797,751
2.625% 2/21/20	36,216,000		36,555,706
4.5% 9/15/20	64,976,000		70,549,316
5.012% 8/21/54	134,559,000		127,536,097
6.35% 4/1/19	7,155,000		8,131,751
6.4% 9/15/33	26,916,000		31,429,894
6.55% 9/15/43	109,182,000		131,863,469
			688,755,452
Wireless Telecommunication Services - 0.2%
America Movil S.A.B. de CV:
2.375% 9/8/16	29,726,000		29,964,254
3.125% 7/16/22	16,205,000		16,045,348
			46,009,602
TOTAL TELECOMMUNICATION SERVICES			734,765,054
UTILITIES - 3.5%
Electric Utilities - 2.1%
AmerenUE 6.4% 6/15/17	5,870,000		6,304,409
American Electric Power Co., Inc.:
1.65% 12/15/17	10,104,000		10,030,221
2.95% 12/15/22	9,568,000		9,394,389
American Transmission Systems, Inc. 5% 9/1/44 (b)	2,903,000		2,940,214
Dayton Power & Light Co. 1.875% 9/15/16	9,233,000		9,261,253
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (b)	$ 15,117,000		$ 16,994,683
6.4% 9/15/20 (b)	34,900,000		39,737,000
Edison International 3.75% 9/15/17	9,811,000		10,149,323
Eversource Energy:
1.45% 5/1/18	7,067,000		6,962,408
2.8% 5/1/23	32,099,000		30,982,404
Exelon Corp.:
1.55% 6/9/17	5,071,000		5,056,735
2.85% 6/15/20	7,468,000		7,487,140
FirstEnergy Corp.:
2.75% 3/15/18	61,557,000		61,814,493
4.25% 3/15/23	66,372,000		67,329,482
7.375% 11/15/31	30,718,000		37,074,291
FirstEnergy Solutions Corp. 6.05% 8/15/21	48,231,000		51,452,011
IPALCO Enterprises, Inc. 3.45% 7/15/20	42,035,000		41,404,475
LG&E and KU Energy LLC 3.75% 11/15/20	2,232,000		2,314,149
Nevada Power Co. 6.5% 5/15/18	15,159,000		16,986,675
NV Energy, Inc. 6.25% 11/15/20	7,075,000		8,086,683
Pennsylvania Electric Co. 6.05% 9/1/17	4,822,000		5,164,632
PPL Capital Funding, Inc. 3.4% 6/1/23	15,470,000		15,534,510
Progress Energy, Inc. 4.4% 1/15/21	40,776,000		43,267,332
TECO Finance, Inc.:
4% 3/15/16	9,634,000		9,705,272
5.15% 3/15/20	11,097,000		12,098,582
			527,532,766
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (b)	2,827,000		2,901,805
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	6,702,000		6,642,587
Texas Eastern Transmission LP 6% 9/15/17 (b)	12,691,000		13,526,740
			23,071,132
Multi-Utilities - 1.3%
Berkshire Hathaway Energy Co.:
1.1% 5/15/17	37,668,000		37,408,580
2% 11/15/18	29,001,000		28,928,991
Dominion Resources, Inc.:
2.6266% 9/30/66 (g)	66,502,000		51,857,528
7.5% 6/30/66 (g)	7,991,000		6,943,380
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
NiSource Finance Corp.:
5.25% 2/15/43	$ 23,297,000		$ 25,167,493
5.45% 9/15/20	21,013,000		23,157,482
5.8% 2/1/42	11,523,000		13,214,876
5.95% 6/15/41	21,763,000		25,250,020
6.4% 3/15/18	4,848,000		5,318,057
6.8% 1/15/19	6,774,000		7,646,064
PG&E Corp. 2.4% 3/1/19	3,334,000		3,342,785
Puget Energy, Inc.:
6% 9/1/21	26,400,000		29,995,310
6.5% 12/15/20	8,451,000		9,743,885
Sempra Energy:
2.3% 4/1/17	24,264,000		24,451,270
2.875% 10/1/22	9,886,000		9,643,803
Wisconsin Energy Corp. 6.25% 5/15/67 (g)	13,102,000		10,743,640
			312,813,164
TOTAL UTILITIES			863,417,062
TOTAL NONCONVERTIBLE BONDS (Cost $11,423,215,004)		11,482,140,536
U.S. Government and Government Agency Obligations - 17.6%

U.S. Treasury Inflation-Protected Obligations - 4.1%
U.S. Treasury Inflation-Indexed Bonds:
0.75% 2/15/45	131,218,336		117,209,623
1.375% 2/15/44	261,651,629		272,671,935
U.S. Treasury Inflation-Indexed Notes:
0.125% 7/15/24	359,398,155		345,130,735
0.25% 1/15/25	25,115,250		24,236,920
0.375% 7/15/25	248,194,070		243,006,265
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS			1,002,255,478
U.S. Treasury Obligations - 13.5%
U.S. Treasury Bonds 3% 5/15/45	690,621,000		691,565,079
U.S. Government and Government Agency Obligations - continued
	Principal Amount		Value
U.S. Treasury Obligations - continued
U.S. Treasury Notes:
0.75% 2/28/18	$ 122,700,000		$ 121,909,199
0.875% 1/31/18	582,288,000		580,536,478
1% 5/15/18	1,245,283,000		1,242,218,326
1.125% 6/15/18	50,000,000		50,011,700
1.25% 10/31/18	165,606,000		165,819,466
1.625% 6/30/20	222,288,000		222,305,338
1.625% 11/30/20	147,067,000		146,888,902
2.125% 5/15/25	88,406,000		87,701,493
TOTAL U.S. TREASURY OBLIGATIONS			3,308,955,981
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,359,803,297)		4,311,211,459
U.S. Government Agency - Mortgage Securities - 21.0%

Fannie Mae - 10.9%
1.875% 10/1/34 (g)	8,821		9,101
1.88% 1/1/35 (g)	612,950		635,955
1.88% 1/1/35 (g)	6,771		7,025
1.885% 10/1/33 (g)	72,715		75,273
1.899% 2/1/33 (g)	49,844		51,652
1.94% 7/1/35 (g)	73,520		76,510
1.941% 3/1/35 (g)	98,001		101,801
2.006% 10/1/33 (g)	70,322		73,034
2.006% 12/1/34 (g)	205,586		213,509
2.07% 4/1/37 (g)	213,876		223,984
2.115% 12/1/34 (g)	27,362		28,675
2.115% 10/1/35 (g)	46,492		48,436
2.135% 1/1/35 (g)	417,099		436,559
2.175% 3/1/35 (g)	18,352		19,013
2.19% 3/1/37 (g)	56,890		59,998
2.23% 7/1/34 (g)	123,925		129,610
2.278% 6/1/47 (g)	317,423		336,995
2.298% 3/1/40 (g)	951,591		1,010,495
2.302% 6/1/36 (g)	292,684		308,030
2.31% 12/1/39 (g)	523,060		556,241
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
2.311% 3/1/33 (g)	$ 217,092		$ 227,982
2.317% 5/1/36 (g)	394,853		416,844
2.352% 7/1/35 (g)	389,830		412,238
2.391% 9/1/36 (g)	175,731		185,595
2.393% 9/1/36 (g)	168,984		177,846
2.403% 11/1/36 (g)	675,530		715,200
2.458% 3/1/35 (g)	203,486		216,075
2.46% 9/1/35 (g)	191,951		202,661
2.465% 5/1/35 (g)	528,849		558,686
2.468% 6/1/36 (g)	756,640		804,640
2.476% 12/1/33 (g)	1,909,456		2,024,896
2.5% 3/1/27 to 8/1/43	106,485,282		106,852,820
2.5% 12/1/30 (c)	1,000,000		1,013,204
2.525% 5/1/36 (g)	366,194		389,425
2.532% 10/1/33 (g)	288,032		305,985
2.557% 6/1/42 (g)	3,124,839		3,214,825
2.628% 7/1/37 (g)	263,807		280,542
2.635% 9/1/36 (g)	795,946		846,439
2.659% 5/1/35 (g)	170,477		181,292
2.68% 7/1/34 (g)	520,803		553,841
2.686% 2/1/42 (g)	3,346,442		3,469,260
2.756% 1/1/42 (g)	2,941,832		3,053,642
2.78% 9/1/37 (g)	69,729		74,152
2.951% 11/1/40 (g)	1,842,043		1,919,819
2.98% 9/1/41 (g)	2,072,321		2,165,084
2.991% 10/1/41 (g)	901,375		940,191
3% 12/1/26 to 8/1/45	380,752,106		384,259,080
3% 12/1/30 (c)	33,900,000		35,096,589
3% 12/1/45 (c)	64,100,000		64,378,059
3% 12/1/45 (c)	13,700,000		13,759,429
3% 12/1/45 (c)	34,100,000		34,247,922
3% 12/1/45 (c)	11,600,000		11,650,320
3% 12/1/45 (c)	2,100,000		2,109,110
3% 12/1/45 (c)	15,200,000		15,265,936
3% 12/1/45 (c)	32,300,000		32,440,114
3% 12/1/45 (c)	16,400,000		16,471,142
3.007% 8/1/41 (g)	2,492,615		2,603,614
3.243% 7/1/41 (g)	3,336,259		3,512,628
3.3% 10/1/41 (g)	1,652,632		1,725,978
3.346% 9/1/41 (g)	726,458		772,543
3.463% 12/1/40 (g)	28,488,871		30,120,118
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
3.5% 9/1/25 to 11/1/45	$ 566,108,665		$ 589,650,141
3.5% 12/1/45 (c)(d)	94,500,000		97,882,835
3.5% 12/1/45 (c)(d)	16,400,000		16,987,074
3.553% 7/1/41 (g)	3,822,071		4,027,843
4% 9/1/24 to 9/1/45	490,720,036		522,545,247
4% 12/1/45 (c)(d)	86,800,000		92,088,559
4% 12/1/45 (c)(d)	700,000		742,650
4.5% 4/1/21 to 4/1/45	296,598,415		322,282,455
4.5% 12/1/45 (c)(d)	43,300,000		46,806,343
5% 3/1/18 to 11/1/44	32,177,898		35,601,513
5.204% 7/1/37 (g)	85,763		91,108
5.5% 10/1/17 to 3/1/41	55,083,099		61,655,341
5.565% 8/1/46 (g)	78,793		82,901
6% 2/1/17 to 1/1/42	45,620,231		52,013,224
6.5% 1/1/16 to 4/1/37	22,325,754		25,785,279
7% 9/1/18 to 7/1/37	3,793,855		4,384,481
7.5% 8/1/17 to 2/1/32	1,713,455		2,003,508
8% 12/1/17 to 3/1/37	31,589		38,018
8.5% 1/1/17 to 7/1/31	14,162		16,784
9.5% 4/1/16 to 2/1/25	38,703		41,803
10.5% 8/1/20	1,769		1,934
TOTAL FANNIE MAE			2,658,746,703
Freddie Mac - 4.6%
1.549% 8/1/37 (g)	79,688		81,425
1.825% 3/1/37 (g)	38,612		40,214
1.925% 3/1/35 (g)	239,949		248,105
1.948% 1/1/36 (g)	195,636		203,454
1.991% 3/1/36 (g)	510,232		531,761
2.026% 12/1/35 (g)	586,277		610,807
2.034% 2/1/37 (g)	401,173		418,956
2.05% 6/1/37 (g)	66,092		69,110
2.091% 4/1/35 (g)	700,501		730,803
2.095% 8/1/37 (g)	172,180		180,908
2.096% 11/1/35 (g)	449,319		470,838
2.105% 3/1/36 (g)	487,466		510,750
2.121% 5/1/37 (g)	166,403		174,950
2.275% 6/1/33 (g)	509,137		535,182
2.333% 4/1/37 (g)	203,744		216,393
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
2.361% 10/1/42 (g)	$ 3,463,680		$ 3,663,500
2.368% 10/1/36 (g)	699,476		736,176
2.373% 1/1/35 (g)	38,498		40,915
2.385% 6/1/37 (g)	55,705		59,007
2.399% 10/1/35 (g)	297,741		313,825
2.415% 6/1/37 (g)	572,310		608,617
2.436% 5/1/37 (g)	155,238		165,086
2.489% 4/1/36 (g)	412,848		438,448
2.491% 6/1/37 (g)	118,796		125,679
2.515% 6/1/33 (g)	1,575,940		1,671,352
2.595% 4/1/37 (g)	18,936		20,137
2.604% 3/1/35 (g)	2,425,167		2,579,015
2.67% 6/1/36 (g)	150,712		160,273
2.757% 12/1/36 (g)	704,432		749,120
2.76% 3/1/33 (g)	22,728		24,170
2.775% 11/1/35 (g)	214,477		228,083
2.795% 7/1/36 (g)	163,963		174,364
3% 8/1/42 to 8/1/45	221,987,260		223,185,741
3.083% 9/1/41 (g)	4,173,176		4,345,858
3.176% 10/1/35 (g)	274,135		291,526
3.211% 9/1/41 (g)	2,164,064		2,263,125
3.226% 4/1/41 (g)	2,290,421		2,398,465
3.292% 7/1/41 (g)	2,437,196		2,554,417
3.293% 6/1/41 (g)	2,433,950		2,563,291
3.432% 12/1/40 (g)	14,662,463		15,370,410
3.451% 5/1/41 (g)	1,976,850		2,058,065
3.5% 6/1/27 to 11/1/45 (e)(f)	345,915,076		358,751,914
3.5% 12/1/45 (c)	36,700,000		37,940,644
3.617% 6/1/41 (g)	3,437,018		3,638,725
3.706% 5/1/41 (g)	3,013,870		3,191,397
4% 7/1/24 to 5/1/45	200,427,322		213,269,930
4.5% 6/1/25 to 8/1/44 (f)	96,709,393		105,245,861
5% 3/1/19 to 7/1/41	73,777,479		81,793,815
5.107% 4/1/38 (g)	555,261		590,312
5.5% 10/1/17 to 4/1/41	32,635,711		36,457,079
6% 7/1/16 to 12/1/37	6,949,777		7,872,094
6.5% 2/1/16 to 9/1/39	11,814,997		13,545,086
7% 6/1/21 to 9/1/36	3,393,784		3,944,607
7.5% 1/1/16 to 1/1/33	85,981		101,430
8% 7/1/16 to 1/1/37	116,593		140,002
8.5% 5/1/17 to 1/1/28	114,116		134,525
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
9% 5/1/17 to 10/1/20	$ 284		$ 301
9.5% 5/1/21 to 7/1/21	963		1,053
10% 11/15/18 to 8/1/21	389		424
11% 7/1/19 to 9/1/20	86		96
TOTAL FREDDIE MAC			1,138,431,616
Ginnie Mae - 5.5%
3% 4/15/42 to 6/20/45	165,441,535		168,417,093
3% 12/1/45 (c)	39,200,000		39,839,866
3.5% 11/15/40 to 8/20/45	271,633,187		284,374,004
3.5% 12/1/45 (c)(d)	88,800,000		92,741,344
3.5% 12/1/45 (c)(d)	44,300,000		46,266,233
3.5% 12/1/45 (c)(d)	39,500,000		41,253,188
3.5% 1/1/46 (c)	83,600,000		87,091,746
3.5% 1/1/46 (c)	39,500,000		41,149,808
3.5% 1/1/46 (c)	44,300,000		46,150,291
4% 2/15/39 to 11/20/45	173,144,355		184,706,177
4% 12/1/45 (c)	900,000		956,165
4.5% 6/20/33 to 8/15/41	183,661,229		199,973,353
5% 12/15/32 to 9/15/41	63,960,125		71,663,218
5.5% 12/20/28 to 9/15/39	14,201,525		16,078,742
6% 10/15/30 to 5/15/40	10,811,685		12,422,696
6.5% 3/20/31 to 11/15/37	1,057,108		1,225,799
7% 10/15/22 to 3/15/33	4,475,332		5,253,004
7.5% 1/15/17 to 9/15/31	1,513,695		1,760,912
8% 8/15/16 to 11/15/29	592,016		676,627
8.5% 10/15/21 to 1/15/31	97,572		116,031
9% 8/15/19 to 1/15/23	4,271		4,750
9.5% 12/15/20 to 2/15/25	1,855		2,074
10.5% 3/20/16 to 1/20/18	3,981		4,218
11% 2/20/16 to 9/20/19	2,265		2,542
TOTAL GINNIE MAE			1,342,129,881
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $5,114,482,714)		5,139,308,200
Asset-Backed Securities - 0.3%
	Principal Amount		Value
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.926% 4/25/35 (g)	$ 562,768		$ 508,730
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.847% 3/25/34 (g)	242,396		232,570
Airspeed Ltd. Series 2007-1A Class C1, 2.697% 6/15/32 (b)(g)	3,342,951		1,470,898
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.247% 12/25/33 (g)	38,337		35,476
Series 2004-R2 Class M3, 1.022% 4/25/34 (g)	73,246		55,531
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.001% 3/25/34 (g)	40,480		37,149
Series 2004-W11 Class M2, 1.247% 11/25/34 (g)	457,000		444,174
Series 2004-W7 Class M1, 1.022% 5/25/34 (g)	1,310,000		1,225,785
Series 2006-W4 Class A2C, 0.357% 5/25/36 (g)	940,507		333,570
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.022% 4/25/34 (g)	1,430,419		1,296,783
Series 2006-HE2 Class M1, 0.591% 3/25/36 (g)	17,510		290
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.346% 2/25/35 (g)	1,152,133		1,035,336
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17	22,199,166		22,212,295
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.337% 12/25/36 (g)	1,471,000		986,906
CFC LLC Series 2013-2A Class A, 1.75% 11/15/17 (b)	1,239,852		1,239,352
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.676% 4/25/34 (g)	54,587		49,690
Series 2004-4 Class M2, 0.992% 6/25/34 (g)	84,354		76,983
Series 2004-7 Class AF5, 5.868% 1/25/35	7,365,822		7,653,873
Fannie Mae Series 2004-T5 Class AB3, 1.0288% 5/28/35 (g)	31,732		29,500
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.372% 8/25/34 (g)	160,000		150,943
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.022% 3/25/34 (g)	8,645		7,556
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.932% 1/25/35 (g)	801,000		699,645
Class M4, 1.217% 1/25/35 (g)	282,636		154,059
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7732% 2/25/47 (b)(g)	1,023,037		920,822
GE Business Loan Trust Series 2006-2A:
Class A, 0.377% 11/15/34 (b)(g)	780,666		741,563
Class B, 0.477% 11/15/34 (b)(g)	282,238		262,913
Class C, 0.577% 11/15/34 (b)(g)	468,155		416,247
Asset-Backed Securities - continued
	Principal Amount		Value
GE Business Loan Trust Series 2006-2A: - continued
Class D, 0.947% 11/15/34 (b)(g)	$ 177,966		$ 149,115
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b)	234,809		5,960
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.541% 8/25/33 (g)	233,533		218,966
Series 2003-3 Class M1, 1.511% 8/25/33 (g)	378,237		361,486
Series 2003-5 Class A2, 0.921% 12/25/33 (g)	27,804		26,034
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (g)	1,292,000		830,001
Invitation Homes Trust Series 2015-SFR3 Class E, 3.9468% 8/17/32 (b)(g)	7,825,000		7,693,053
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.521% 7/25/36 (g)	152,994		67,766
Series 2007-CH1 Class AV4, 0.327% 11/25/36 (g)	170,953		170,743
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.6564% 12/27/29 (g)	91,833		91,224
Series 2006-A Class 2C, 1.4764% 3/27/42 (g)	2,867,000		1,442,830
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.497% 5/25/37 (g)	266,205		3,214
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.947% 7/25/34 (g)	99,540		83,190
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.172% 7/25/34 (g)	258,026		236,748
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (g)	208,399		206,622
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (g)	1,369,848		1,322,807
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.877% 8/25/34 (g)	48,462		44,836
Series 2005-NC1 Class M1, 0.857% 1/25/35 (g)	217,513		204,007
Series 2005-NC2 Class B1, 1.952% 3/25/35 (g)	159,005		2,606
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.707% 9/25/35 (g)	1,164,000		1,035,351
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.072% 9/25/34 (g)	435,000		407,526
Class M4, 2.372% 9/25/34 (g)	558,000		358,857
Series 2005-WCH1 Class M4, 1.442% 1/25/36 (g)	1,245,000		1,110,281
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.997% 4/25/33 (g)	4,173		3,861
Santander Drive Auto Receivables Trust Series 2014-4 Class C, 2.6% 11/16/20	13,091,000		13,151,744
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.992% 3/25/35 (g)	624,754		578,250
Asset-Backed Securities - continued
	Principal Amount		Value
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2872% 6/15/33 (g)	$ 516,396		$ 501,785
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.946% 9/25/34 (g)	22,821		19,636
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (g)	115,176		100,849
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8871% 4/6/42 (b)(g)	2,398,344		1,223,155
Whinstone Capital Management Ltd. Series 1A Class B3, 2.1199% 10/25/44 (b)(g)	1,459,789		1,458,767
TOTAL ASSET-BACKED SECURITIES (Cost $64,720,549)		75,389,909
Collateralized Mortgage Obligations - 3.4%

Private Sponsor - 0.1%
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.781% 1/25/35 (g)	860,600		837,257
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6605% 10/25/34 (g)	232,142		232,573
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.3068% 12/20/54 (g)	178,650		178,418
Series 2006-1A Class C2, 1.4068% 12/20/54 (b)(g)	5,526,000		5,518,816
Series 2006-2 Class C1, 1.1468% 12/20/54 (g)	4,563,000		4,557,068
Series 2006-3 Class C2, 1.2068% 12/20/54 (g)	922,000		920,801
Series 2006-4:
Class C1, 0.9668% 12/20/54 (g)	2,331,000		2,327,970
Class M1, 0.5468% 12/20/54 (g)	1,006,000		1,004,994
Series 2007-1:
Class 1C1, 0.8068% 12/20/54 (g)	1,847,000		1,844,599
Class 1M1, 0.5068% 12/20/54 (g)	1,238,000		1,236,762
Class 2C1, 1.0668% 12/20/54 (g)	842,000		840,905
Class 2M1, 0.7068% 12/20/54 (g)	1,589,000		1,587,411
Series 2007-2 Class 2C1, 1.0573% 12/17/54 (g)	2,199,000		2,196,141
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7672% 1/20/44 (g)	365,737		365,152
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5863% 8/25/36 (g)	541,964		458,663
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.407% 5/25/47 (g)	302,904		279,236
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (g)	648,385		580,276
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.487% 7/25/35 (g)	$ 779,531		$ 738,351
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5469% 6/10/35 (b)(g)	307,646		279,886
Class B6, 3.0469% 6/10/35 (b)(g)	287,400		260,293
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (g)	18,579		18,230
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5832% 4/25/33 (g)	55,271		54,732
TOTAL PRIVATE SPONSOR			26,318,534
U.S. Government Agency - 3.3%
Fannie Mae:
floater:
Series 2002-18 Class FD, 1.021% 2/25/32 (g)	72,030		73,215
Series 2002-39 Class FD, 1.1993% 3/18/32 (g)	115,536		118,113
Series 2002-60 Class FV, 1.221% 4/25/32 (g)	150,503		154,211
Series 2002-63 Class FN, 1.221% 10/25/32 (g)	206,375		211,335
Series 2002-7 Class FC, 0.971% 1/25/32 (g)	76,772		78,545
Series 2002-94 Class FB, 0.621% 1/25/18 (g)	87,634		87,877
Series 2003-118 Class S, 7.879% 12/25/33 (g)(h)(j)	2,381,060		551,241
Series 2006-104 Class GI, 6.459% 11/25/36 (g)(h)(j)	1,771,533		350,901
planned amortization class:
Series 1992-168 Class KB, 7% 10/25/22	115,544		126,550
Series 1993-207 Class H, 6.5% 11/25/23	1,388,088		1,546,188
Series 1994-23 Class PZ, 6% 2/25/24	3,762,376		4,125,896
Series 1996-28 Class PK, 6.5% 7/25/25	448,049		499,471
Series 1999-17 Class PG, 6% 4/25/29	1,172,135		1,280,454
Series 1999-32 Class PL, 6% 7/25/29	1,055,292		1,154,704
Series 1999-33 Class PK, 6% 7/25/29	693,847		760,847
Series 2001-52 Class YZ, 6.5% 10/25/31	82,775		95,835
Series 2002-9 Class PC, 6% 3/25/17	11,845		12,119
Series 2003-28 Class KG, 5.5% 4/25/23	811,410		879,872
Series 2004-21 Class QE, 4.5% 11/25/32	121,485		124,047
Series 2005-102 Class CO, 0% 11/25/35 (i)	657,488		590,960
Series 2005-73 Class SA, 16.9754% 8/25/35 (g)(j)	254,074		322,888
Series 2005-81 Class PC, 5.5% 9/25/35	946,559		1,085,470
Series 2006-105 Class MD, 5.5% 6/25/35	514,683		520,712
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae: - continued
planned amortization class:
Series 2006-12 Class BO, 0% 10/25/35 (i)	$ 2,806,403		$ 2,618,542
Series 2006-37 Class OW, 0% 5/25/36 (i)	330,765		293,321
Series 2006-45 Class OP, 0% 6/25/36 (i)	854,457		757,103
Series 2006-62 Class KP, 0% 4/25/36 (i)	1,243,576		1,132,187
sequential payer:
Series 1997-41 Class J, 7.5% 6/18/27	239,612		279,893
Series 1999-25 Class Z, 6% 6/25/29	924,321		1,038,688
Series 2001-20 Class Z, 6% 5/25/31	1,216,385		1,330,651
Series 2001-31 Class ZC, 6.5% 7/25/31	653,662		749,923
Series 2002-16 Class ZD, 6.5% 4/25/32	314,956		365,572
Series 2002-74 Class SV, 7.329% 11/25/32 (g)(h)	1,514,326		275,388
Series 2002-79 Class Z, 5.5% 11/25/22	1,669,366		1,840,209
Series 2012-17 Class BC, 3.5% 3/25/27	6,046,240		6,374,914
Series 2012-67 Class AI, 4.5% 7/25/27 (h)	4,490,258		617,745
Series 06-116 Class SG, 6.419% 12/25/36 (g)(h)(j)	1,135,489		219,621
Series 07-40 Class SE, 6.219% 5/25/37 (g)(h)(j)	729,432		121,033
Series 1993-165 Class SH, 19.1747% 9/25/23 (g)(j)	55,799		75,041
Series 2003-21 Class SK, 7.879% 3/25/33 (g)(h)(j)	198,392		53,563
Series 2003-35 Class TQ, 7.279% 5/25/18 (g)(h)(j)	90,596		5,371
Series 2005-72 Class ZC, 5.5% 8/25/35	7,397,710		8,263,363
Series 2007-57 Class SA, 39.294% 6/25/37 (g)(j)	562,098		1,167,340
Series 2007-66:
Class SA, 38.274% 7/25/37 (g)(j)	849,241		1,672,651
Class SB, 38.274% 7/25/37 (g)(j)	378,751		722,558
Series 2008-12 Class SG, 6.129% 3/25/38 (g)(h)(j)	5,005,123		897,770
Series 2009-114 Class AI, 5% 12/25/23 (h)	813,124		28,843
Series 2009-16 Class SA, 6.029% 3/25/24 (g)(h)(j)	407,960		12,076
Series 2009-76 Class MI, 5.5% 9/25/24 (h)	405,696		17,863
Series 2009-85 Class IB, 4.5% 8/25/24 (h)	494,370		40,941
Series 2009-93 Class IC, 4.5% 9/25/24 (h)	742,276		60,057
Series 2010-112 Class SG, 6.139% 6/25/21 (g)(h)(j)	640,937		45,141
Series 2010-12 Class AI, 5% 12/25/18 (h)	1,754,682		86,660
Series 2010-135 Class LS, 5.829% 12/25/40 (g)(h)(j)	4,544,024		813,361
Series 2010-139 Class NI, 4.5% 2/25/40 (h)	4,465,455		629,514
Series 2010-17 Class DI, 4.5% 6/25/21 (h)	484,058		27,517
Series 2010-23:
Class AI, 5% 12/25/18 (h)	726,063		31,603
Class HI, 4.5% 10/25/18 (h)	522,048		24,292
Series 2010-29 Class LI, 4.5% 6/25/19 (h)	1,579,923		69,072
Series 2010-97 Class CI, 4.5% 8/25/25 (h)	1,602,572		115,071
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae: - continued
Series 2011-39 Class ZA, 6% 11/25/32	$ 3,081,430		$ 3,519,647
Series 2011-67 Class AI, 4% 7/25/26 (h)	1,376,784		160,792
Series 2011-83 Class DI, 6% 9/25/26 (h)	2,195,238		283,417
Series 2013-N1 Class A, 6.499% 6/25/35 (g)(h)(j)	3,630,367		816,765
Series 2015-70 Class JC, 3% 10/25/45	21,147,266		21,722,284
Series 2015-78 Class CA, 3% 11/25/45	52,007,648		53,340,235
Fannie Mae Stripped Mortgage-Backed Securities:
Series 339:
Class 29, 5.5% 8/25/18 (h)	262,968		11,711
Class 5, 5.5% 7/25/33 (h)	671,070		142,828
Series 343 Class 16, 5.5% 5/25/34 (h)	549,272		106,518
Series 348 Class 14, 6.5% 8/25/34 (g)(h)	398,158		87,669
Series 351:
Class 12, 5.5% 4/25/34 (g)(h)	270,094		49,650
Class 13, 6% 3/25/34 (h)	359,621		73,429
Series 359 Class 19, 6% 7/25/35 (g)(h)	246,743		50,929
Series 384 Class 6, 5% 7/25/37 (h)	3,193,187		626,464
Freddie Mac:
floater:
Series 2412 Class FK, 0.997% 1/15/32 (g)	57,590		58,522
Series 2423 Class FA, 1.097% 3/15/32 (g)	80,719		82,383
Series 2424 Class FM, 1.197% 3/15/32 (g)	102,952		105,499
Series 2432:
Class FE, 1.097% 6/15/31 (g)	144,644		147,663
Class FG, 1.097% 3/15/32 (g)	47,768		48,738
Series 3346 Class FA, 0.427% 2/15/19 (g)	364,261		364,583
floater target amortization class Series 3366 Class FD, 0.447% 5/15/37 (g)	3,398,538		3,395,175
planned amortization class:
Series 2006-15 Class OP, 0% 3/25/36 (i)	2,317,125		2,024,495
Series 2095 Class PE, 6% 11/15/28	1,311,369		1,439,673
Series 2101 Class PD, 6% 11/15/28	121,432		132,748
Series 2121 Class MG, 6% 2/15/29	528,253		578,193
Series 2131 Class BG, 6% 3/15/29	3,541,260		3,885,821
Series 2137 Class PG, 6% 3/15/29	563,416		617,188
Series 2154 Class PT, 6% 5/15/29	884,409		967,234
Series 2162 Class PH, 6% 6/15/29	215,289		234,894
Series 2356 Class GD, 6% 9/15/16	30,575		31,069
Series 2363 Class PF, 6% 9/15/16	26,616		26,971
Series 2425 Class JH, 6% 3/15/17	111,559		114,364
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Freddie Mac: - continued
planned amortization class:
Series 2520 Class BE, 6% 11/15/32	$ 1,204,849		$ 1,320,483
Series 2585 Class KS, 7.403% 3/15/23 (g)(h)(j)	82,580		11,689
Series 2693 Class MD, 5.5% 10/15/33	3,158,383		3,555,873
Series 2802 Class OB, 6% 5/15/34	2,392,986		2,666,790
Series 2937 Class KC, 4.5% 2/15/20	2,960,289		3,083,648
Series 2962 Class BE, 4.5% 4/15/20	2,993,391		3,135,505
Series 3002 Class NE, 5% 7/15/35	3,381,069		3,696,875
Series 3110 Class OP, 0% 9/15/35 (i)	1,610,945		1,538,934
Series 3119 Class PO, 0% 2/15/36 (i)	2,587,299		2,314,767
Series 3121 Class KO, 0% 3/15/36 (i)	522,122		465,524
Series 3123 Class LO, 0% 3/15/36 (i)	1,526,982		1,363,798
Series 3145 Class GO, 0% 4/15/36 (i)	1,446,778		1,346,301
Series 3189 Class PD, 6% 7/15/36	3,350,381		3,807,077
Series 3225 Class EO, 0% 10/15/36 (i)	872,722		772,331
Series 3258 Class PM, 5.5% 12/15/36	1,448,578		1,617,796
Series 3415 Class PC, 5% 12/15/37	1,302,983		1,400,794
Series 3786 Class HI, 4% 3/15/38 (h)	4,069,809		467,894
Series 3806 Class UP, 4.5% 2/15/41	7,973,306		8,545,114
Series 3832 Class PE, 5% 3/15/41	5,254,507		5,916,852
sequential payer:
Series 2135 Class JE, 6% 3/15/29	247,364		270,520
Series 2274 Class ZM, 6.5% 1/15/31	281,370		322,602
Series 2281 Class ZB, 6% 3/15/30	692,830		755,207
Series 2303 Class ZV, 6% 4/15/31	310,744		341,125
Series 2357 Class ZB, 6.5% 9/15/31	2,080,283		2,415,242
Series 2502 Class ZC, 6% 9/15/32	618,692		681,091
Series 2519 Class ZD, 5.5% 11/15/32	1,103,748		1,198,211
Series 2546 Class MJ, 5.5% 3/15/23	509,901		544,380
Series 2601 Class TB, 5.5% 4/15/23	242,020		266,572
Series 2998 Class LY, 5.5% 7/15/25	662,411		723,599
Series 06-3115 Class SM, 6.403% 2/15/36 (g)(h)(j)	937,703		161,267
Series 2013-4281 Class AI, 4% 12/15/28 (h)	14,972,350		1,707,508
Series 2844:
Class SC, 45.5195% 8/15/24 (g)(j)	32,558		55,459
Class SD, 83.889% 8/15/24 (g)(j)	47,898		112,606
Series 2935 Class ZK, 5.5% 2/15/35	9,283,493		10,464,188
Series 2947 Class XZ, 6% 3/15/35	3,673,786		4,152,233
Series 3055 Class CS, 6.393% 10/15/35 (g)(h)	1,388,118		250,398
Series 3244 Class SG, 6.463% 11/15/36 (g)(h)(j)	3,394,912		653,729
Series 3274 Class SM, 6.233% 2/15/37 (g)(h)	1,624,481		291,750
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Freddie Mac: - continued
Series 3284 Class CI, 5.923% 3/15/37 (g)(h)	$ 7,722,652		$ 1,410,256
Series 3287 Class SD, 6.553% 3/15/37 (g)(h)(j)	4,995,520		1,006,505
Series 3297 Class BI, 6.563% 4/15/37 (g)(h)(j)	7,392,907		1,505,682
Series 3336 Class LI, 6.383% 6/15/37 (g)(h)	2,614,917		409,276
Series 3772 Class BI, 4.5% 10/15/18 (h)	1,859,799		87,522
Series 3949 Class MK, 4.5% 10/15/34	2,406,792		2,589,913
Series 4471 Class PA 4% 12/15/40	31,764,915		33,338,606
target amortization class Series 2156 Class TC, 6.25% 5/15/29	722,941		797,803
Freddie Mac Manufactured Housing participation certificates guaranteed:
floater Series 1686 Class FA, 1.097% 2/15/24 (g)	298,076		302,174
sequential payer:
Series 2043 Class ZH, 6% 4/15/28	556,995		609,768
Series 2056 Class Z, 6% 5/15/28	1,025,168		1,122,404
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40	17,456,495		19,788,694
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2007-37 Class TS, 6.493% 6/16/37 (g)(h)(j)	1,409,227		240,890
Series 2010-H03 Class FA, 0.7435% 3/20/60 (g)(k)	15,660,546		15,595,501
Series 2010-H17 Class FA, 0.5235% 7/20/60 (g)(k)	1,684,899		1,677,526
Series 2010-H18 Class AF, 0.4947% 9/20/60 (g)(k)	1,999,687		1,977,602
Series 2010-H19 Class FG, 0.4947% 8/20/60 (g)(k)	2,416,110		2,389,877
Series 2010-H27 Series FA, 0.5747% 12/20/60 (g)(k)	4,095,215		4,061,851
Series 2011-H05 Class FA, 0.6947% 12/20/60 (g)(k)	6,485,060		6,461,759
Series 2011-H07 Class FA, 0.6947% 2/20/61 (g)(k)	12,485,690		12,442,798
Series 2011-H12 Class FA, 0.6847% 2/20/61 (g)(k)	16,613,858		16,558,334
Series 2011-H13 Class FA, 0.6947% 4/20/61 (g)(k)	6,328,893		6,306,749
Series 2011-H14:
Class FB, 0.6947% 5/20/61 (g)(k)	8,314,273		8,282,089
Class FC, 0.6947% 5/20/61 (g)(k)	6,646,139		6,621,572
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued
Series 2011-H17 Class FA, 0.7247% 6/20/61 (g)(k)	$ 8,690,366		$ 8,669,839
Series 2011-H21 Class FA, 0.7947% 10/20/61 (g)(k)	9,776,880		9,778,308
Series 2012-H01 Class FA, 0.8947% 11/20/61 (g)(k)	8,232,011		8,249,951
Series 2012-H03 Class FA, 0.8947% 1/20/62 (g)(k)	5,257,461		5,268,900
Series 2012-H06 Class FA, 0.8247% 1/20/62 (g)(k)	7,881,457		7,890,687
Series 2012-H07 Class FA, 0.8247% 3/20/62 (g)(k)	4,854,538		4,865,039
Series 2012-H23 Class WA, 0.7147% 10/20/62 (g)(k)	1,315,091		1,310,981
Series 2012-H26, Class CA, 0.7247% 7/20/60 (g)(k)	17,987,352		17,975,326
Series 2013-H07 Class BA, 0.5547% 3/20/63 (g)(k)	1,577,868		1,559,214
Series 2014-H03 Class FA, 0.7947% 1/20/64 (g)(k)	7,613,170		7,614,506
Series 2014-H05 Class FB, 0.7947% 12/20/63 (g)(k)	19,320,205		19,258,723
Series 2014-H11 Class BA, 0.6947% 6/20/64 (g)(k)	6,378,965		6,353,895
Series 2015-H07 Class FA, 0.3% 3/20/65 (g)(k)	30,679,780		30,617,795
Series 2015-H13 Class FL, 0.4747% 5/20/63 (g)(k)	47,688,681		47,597,171
Series 2015-H19 Class FA, 0.3947% 4/20/63 (g)(k)	40,953,671		40,830,302
planned amortization class:
Series 1993-13 Class PD, 6% 5/20/29	1,222,459		1,382,810
Series 1997-8 Class PE, 7.5% 5/16/27	504,107		592,023
Series 2011-136 Class WI, 4.5% 5/20/40 (h)	3,145,436		515,681
sequential payer Series 2004-24 Class ZM, 5% 4/20/34	4,902,418		5,433,003
Series 2004-32 Class GS, 6.303% 5/16/34 (g)(h)(j)	757,578		167,738
Series 2004-73 Class AL, 7.003% 8/17/34 (g)(h)(j)	908,749		172,358
Series 2007-35 Class SC, 39.018% 6/16/37 (g)(j)	60,404		116,649
Series 2010-14 Class SN, 5.753% 2/16/40 (g)(h)(j)	5,624,055		1,083,118
Series 2010-98 Class HS, 6.3933% 8/20/40 (g)(h)	4,887,668		684,802
Series 2010-H10 Class FA, 0.5235% 5/20/60 (g)(k)	5,361,724		5,308,963
Series 2012-76 Class GS, 6.503% 6/16/42 (g)(h)(j)	3,028,695		598,672
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued
Series 2012-97 Class JS, 6.053% 8/16/42 (g)(h)(j)	$ 9,636,460		$ 1,659,968
Series 2013-124:
Class ES, 8.391% 4/20/39 (g)(j)	8,466,918		9,388,390
Class ST, 8.5243% 8/20/39 (g)(j)	15,905,101		18,630,941
Series 2013-147 Class A/S, 5.9433% 10/20/43 (g)(h)	7,270,745		1,165,817
Series 2015-H13 Class HA, 2.5% 8/20/64 (k)	68,672,395		69,795,243
Series 2015-H17:
Class GZ, 4.4503% 5/20/65 (g)(k)	1,623,873		1,793,288
Class HA, 2.5% 5/20/65 (k)	53,156,692		54,031,008
Series 2015-H21:
Class HA, 2.5% 6/20/63 (k)	1,689,487		1,716,750
Class JA, 2.5% 6/20/65 (k)	39,126,199		39,756,170
Ginnie Mae pass thru certificates Series 2010-85 Class SE, 6.3433% 7/20/40 (g)(h)	4,307,255		595,588
TOTAL U.S. GOVERNMENT AGENCY			793,283,960
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $796,882,120)		819,602,494
Commercial Mortgage Securities - 7.5%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (g)(h)	373,449		3,750
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-3 Class A4, 5.889% 7/10/44 (g)	21,225,290		21,350,825
Series 2006-6 Class A3, 5.369% 10/10/45	2,736,778		2,745,522
Series 2007-3 Class A4, 5.5616% 6/10/49 (g)	3,362,851		3,483,771
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	17,209,942		17,789,095
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.496% 12/25/33 (b)(g)	17,636		15,915
Series 2005-4A:
Class A2, 0.611% 1/25/36 (b)(g)	615,808		544,861
Class B1, 1.621% 1/25/36 (b)(g)	17,563		11,173
Class M1, 0.671% 1/25/36 (b)(g)	198,571		161,218
Class M2, 0.691% 1/25/36 (b)(g)	40,193		31,656
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
Series 2005-4A:
Class M3, 0.721% 1/25/36 (b)(g)	$ 87,084		$ 65,786
Class M4, 0.831% 1/25/36 (b)(g)	32,537		24,035
Class M5, 0.871% 1/25/36 (b)(g)	32,537		24,096
Class M6, 0.921% 1/25/36 (b)(g)	34,451		23,101
Series 2006-3A Class M4, 0.651% 10/25/36 (b)(g)	17,385		1,740
Series 2007-1 Class A2, 0.491% 3/25/37 (b)(g)	423,881		354,686
Series 2007-2A:
Class A1, 0.491% 7/25/37 (b)(g)	917,107		788,363
Class A2, 0.541% 7/25/37 (b)(g)	859,189		687,921
Class M1, 0.591% 7/25/37 (b)(g)	263,261		201,090
Class M2, 0.631% 7/25/37 (b)(g)	137,375		96,606
Class M3, 0.711% 7/25/37 (b)(g)	105,629		65,498
Series 2007-3:
Class A2, 0.511% 7/25/37 (b)(g)	379,381		307,609
Class M1, 0.531% 7/25/37 (b)(g)	150,859		114,516
Class M2, 0.561% 7/25/37 (b)(g)	160,825		116,051
Class M3, 0.591% 7/25/37 (b)(g)	259,450		127,802
Class M4, 0.721% 7/25/37 (b)(g)	455,326		149,182
Class M5, 0.821% 7/25/37 (b)(g)	191,690		30,082
Series 2007-4A Class M1, 1.147% 9/25/37 (b)(g)	120,990		25,473
Series 2006-3A, Class IO, 0% 10/25/36 (b)(g)(h)	10,025,408		1
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2007-PW15 Class A4, 5.331% 2/11/44	8,391,205		8,663,182
Series 2007-PW16 Class A4, 5.7049% 6/11/40 (g)	2,013,616		2,086,562
Series 2007-PW18 Class A4, 5.7% 6/11/50	19,669,000		20,607,255
Series 2006-T22 Class A4, 5.6179% 4/12/38 (g)	104,331		104,674
Series 2007-PW18 Class X2, 0.3004% 6/11/50 (b)(g)(h)	79,824,056		639
C-BASS Trust floater Series 2006-SC1 Class A, 0.491% 5/25/36 (b)(g)	177,967		170,954
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1958% 12/15/27 (b)(g)	10,251,000		10,171,418
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	122,995,829		125,705,219
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.047% 4/15/17 (b)(g)	103,547		103,671
sequential payer Series 2006-C7 Class A1A, 5.7532% 6/10/46 (g)	40,207,708		40,650,568
Commercial Mortgage Securities - continued
	Principal Amount		Value
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2007-C2 Class A2, 5.448% 1/15/49 (g)	$ 26,136		$ 26,113
Series 2007-C3 Class A4, 5.699% 6/15/39 (g)	30,647,124		31,800,721
Series 2007-C5 Class A4, 5.695% 9/15/40 (g)	18,634,056		19,341,996
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (b)(g)(h)	1,571		0
CSMC Series 2015-TOWN:
Class B, 2.097% 3/15/17 (b)(g)	4,988,000		4,956,898
Class C, 2.4458% 3/15/17 (b)(g)	4,859,000		4,824,918
Class D, 3.397% 3/15/17 (b)(g)	7,352,000		7,280,996
Freddie Mac:
pass thru-certificates floater Series KF01 Class A, 0.547% 4/25/19 (g)	246,764		246,538
sequential payer:
Series K033 Class A2, 3.06% 7/25/23	51,805,435		53,605,213
Series K034 Class A2, 3.531% 7/25/23	30,768,438		32,817,558
Series K035 Class A2, 3.458% 8/25/23	5,649,000		5,989,338
Series K032 Class A2, 3.31% 5/25/23	9,200,000		9,682,042
Series K036 Class A2, 3.527% 10/25/23	15,078,800		16,050,850
Series K720 Class A2, 2.716% 6/25/22	49,400,000		50,367,618
Freddie Mac Multi-family Structured pass-thru certificates sequential payer Series K038 Class A2, 3.389% 3/25/24	9,030,000		9,538,054
GAHR Commercial Mortgage Trust Series 2015-NRF:
Class BFX, 3.4949% 12/15/19 (b)(g)	25,600,000		25,736,545
Class CFX, 3.4949% 12/15/19 (b)(g)	21,481,000		21,237,831
Class DFX, 3.4949% 12/15/19 (b)(g)	18,206,000		17,644,159
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	76,105,705		78,606,980
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	25,416,092		26,202,318
Series 2006-GG7 Class A4, 5.8193% 7/10/38 (g)	16,742,676		16,857,213
GS Mortgage Securities Corp. Trust:
Series 2013-C, 2.974% 1/10/30 (b)	6,810,000		6,860,098
Series 2013-XA1, 1.331% 1/10/30 (b)(g)(h)	123,825,712		3,070,246
Series 2013-XB1, 0.6525% 1/10/30 (b)(g)(h)	120,531,000		1,515,665
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39	5,712,811		5,733,863
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (b)	5,290,000		5,268,231
Class DFX, 4.4065% 11/5/30 (b)	47,644,000		47,643,614
Commercial Mortgage Securities - continued
	Principal Amount		Value
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FL2A:
Class E, 0.477% 11/15/18 (b)(g)	$ 110,081		$ 107,913
Class F, 0.527% 11/15/18 (b)(g)	320,945		308,565
Class G, 0.557% 11/15/18 (b)(g)	279,111		267,144
Class H, 0.697% 11/15/18 (b)(g)	214,234		204,602
sequential payer:
Series 2006-CB16:
Class A1A, 5.546% 5/12/45	36,924,795		37,486,458
Class A4, 5.552% 5/12/45	6,769,748		6,871,464
Series 2006-CB17 Class A4, 5.429% 12/12/43	17,762,040		18,129,153
Series 2006-LDP8 Class A1A, 5.397% 5/15/45	14,138,771		14,366,428
Series 2007-CB18 Class A4, 5.44% 6/12/47	14,766,573		15,195,969
Series 2007-CB19 Class A4, 5.695% 2/12/49 (g)	47,695,083		49,570,215
Series 2007-LD11 Class A4, 5.7741% 6/15/49 (g)	109,185,368		112,323,978
Series 2007-LDPX Class A3, 5.42% 1/15/49	25,587,231		26,319,811
Series 2006-LDP7 Class A4, 6.1047% 4/15/45 (g)	26,553,668		26,709,585
Series 2007-CB20 Class A1A, 5.746% 2/12/51	70,461,814		74,333,846
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (g)	95,331		2
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0966% 7/15/44 (g)	1,371,419		1,436,806
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	773,506		787,296
Series 2006-C7 Class A2, 5.3% 11/15/38	532,522		534,759
Series 2007-C1 Class A4, 5.424% 2/15/40	42,929,490		44,077,403
Series 2007-C2 Class A3, 5.43% 2/15/40	3,775,615		3,900,868
Series 2007-C6 Class A4, 5.858% 7/15/40 (g)	3,101,137		3,203,619
Series 2007-C7 Class A3, 5.866% 9/15/45	48,059,217		51,016,228
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.414% 1/12/44 (b)(g)	1,509,000		1,505,123
Series 2007-C1:
Class A3, 5.8373% 6/12/50 (g)	996,996		997,331
Class A4, 5.8373% 6/12/50 (g)	54,971,000		56,968,025
Series 2008-C1 Class A4, 5.69% 2/12/51	2,635,328		2,785,354
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4:
Class A3, 5.172% 12/12/49 (g)	2,601,219		2,651,133
Class ASB, 5.133% 12/12/49 (g)	25,004		24,998
Series 2007-5 Class A4, 5.378% 8/12/48	43,354,172		44,525,493
Series 2007-6:
Class A2, 5.331% 3/12/51	6,366,103		6,425,787
Commercial Mortgage Securities - continued
	Principal Amount		Value
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-6:
Class A4, 5.485% 3/12/51 (g)	$ 24,350,000		$ 25,191,249
Series 2007-7 Class A4, 5.7427% 6/12/50 (g)	5,626,230		5,873,321
Series 2007-9 Class A4, 5.7% 9/12/49	184,039		191,868
Series 2007-6 Class B, 5.635% 3/12/51 (g)	1,734,000		541,954
Series 2007-8 Class A3, 5.8772% 8/12/49 (g)	1,496,000		1,567,576
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.397% 7/15/19 (b)(g)	291,739		291,797
Series 2007-XLFA:
Class D, 0.3858% 10/15/20 (b)(g)	1,713,123		1,711,369
Class E, 0.4458% 10/15/20 (b)(g)	8,181,000		8,163,313
Class F, 0.4958% 10/15/20 (b)(g)	9,173,000		9,153,549
Class G, 0.5358% 10/15/20 (b)(g)	505,000		503,721
Class H, 0.6258% 10/15/20 (b)(g)	318,000		315,213
Class J, 0.7758% 10/15/20 (b)(g)	183,596		179,374
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44	861,309		860,591
Series 2006-IQ11 Class A4, 5.7565% 10/15/42 (g)	158,140		158,093
Series 2007-IQ14:
Class A4, 5.692% 4/15/49	2,601,000		2,696,943
Class AAB, 5.654% 4/15/49	1,368,611		1,384,321
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (b)	456,548		463,259
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b)	223,885		69,255
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A Class J, 0.7993% 9/15/21 (b)(g)	240,356		228,223
sequential payer:
Series 2006-C29 Class A1A, 5.297% 11/15/48	20,147,181		20,736,875
Series 2007-C30 Class A5, 5.342% 12/15/43	80,574,818		83,030,827
Series 2007-C31 Class A4, 5.509% 4/15/47	90,736,867		94,371,378
Series 2007-C32 Class A3, 5.7127% 6/15/49 (g)	69,892,000		72,132,535
Series 2007-C33:
Class A4, 5.9524% 2/15/51 (g)	71,178,253		73,895,902
Class A5, 5.9524% 2/15/51 (g)	12,818,000		13,596,949
Series 2005-C22 Class B, 5.3981% 12/15/44 (g)	3,845,000		3,836,700
Series 2006-C27 Class A1A, 5.749% 7/15/45 (g)	53,937,690		54,526,846
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,836,957,719)		1,839,219,539
Municipal Securities - 2.4%
	Principal Amount		Value
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	$ 4,580,000		$ 6,532,133
7.3% 10/1/39	39,940,000		56,552,644
7.5% 4/1/34	18,570,000		26,332,074
7.6% 11/1/40	39,105,000		58,777,943
7.625% 3/1/40	9,470,000		13,947,890
Chicago Gen. Oblig.:
(Taxable Proj.):
Series 2008 B, 5.63% 1/1/22	5,105,000		5,053,848
Series 2010 C1, 7.781% 1/1/35	28,545,000		31,585,613
Series 2012 B, 5.432% 1/1/42	7,305,000		6,447,831
6.314% 1/1/44	33,980,000		33,010,211
Illinois Gen. Oblig.:
Series 2003:
4.35% 6/1/18	13,920,000		14,177,520
4.95% 6/1/23	21,305,000		21,418,982
5.1% 6/1/33	126,140,000		119,643,790
Series 2010-1, 6.63% 2/1/35	21,560,000		22,312,660
Series 2010-3:
5.547% 4/1/19	655,000		692,328
6.725% 4/1/35	31,715,000		33,328,342
7.35% 7/1/35	14,750,000		16,174,998
Series 2011:
4.961% 3/1/16	2,090,000		2,109,939
5.365% 3/1/17	770,000		795,094
5.665% 3/1/18	26,580,000		27,939,301
5.877% 3/1/19	70,360,000		75,469,543
Series 2013:
2.69% 12/1/17	6,955,000		6,913,687
3.14% 12/1/18	7,215,000		7,159,589
TOTAL MUNICIPAL SECURITIES (Cost $578,998,483)		586,375,960
Foreign Government and Government Agency Obligations - 0.3%

Brazilian Federative Republic:
4.25% 1/7/25	26,790,000		23,307,300
5.625% 1/7/41	27,107,000		21,550,065
United Mexican States 4.75% 3/8/44	26,992,000		25,372,480
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $82,210,437)		70,229,845
Bank Notes - 1.7%
	Principal Amount		Value
Bank of America NA:
1.65% 3/26/18	$ 36,584,000		$ 36,531,539
1.75% 6/5/18	130,414,000		130,260,633
5.3% 3/15/17	11,902,000		12,444,255
Barclays Bank PLC 2.5% 2/20/19	14,300,000		14,456,785
Capital One NA 1.65% 2/5/18	25,752,000		25,542,559
Discover Bank:
(Delaware) 3.2% 8/9/21	34,467,000		34,141,528
3.1% 6/4/20	34,762,000		35,127,001
8.7% 11/18/19	3,837,000		4,547,091
JPMorgan Chase Bank 6% 10/1/17	6,068,000		6,533,082
KeyBank NA:
1.65% 2/1/18	16,646,000		16,606,199
6.95% 2/1/28	3,200,000		4,011,654
Marshall & Ilsley Bank 5% 1/17/17	25,252,000		26,123,295
Regions Bank 7.5% 5/15/18	55,802,000		62,356,112
Wachovia Bank NA 6% 11/15/17	6,320,000		6,854,621
TOTAL BANK NOTES (Cost $409,842,439)		415,536,354

Money Market Funds - 2.1%
	Shares
Fidelity Cash Central Fund, 0.18% (a) (Cost $505,977,333)	505,977,333		505,977,333
TOTAL INVESTMENT PORTFOLIO - 103.2% (Cost $25,173,090,095)			25,244,991,629
NET OTHER ASSETS (LIABILITIES) - (3.2)%			(771,364,790)
NET ASSETS - 100%		$ 24,473,626,839
TBA Sale Commitments
	Principal Amount		Value
Fannie Mae
3% 12/1/45	$ (2,100,000)		$ (2,109,110)
3% 12/1/45	(45,700,000)		(45,898,242)
3% 12/1/45	(34,100,000)		(34,247,922)
3% 12/1/45	(11,600,000)		(11,650,320)
3% 12/1/45	(2,100,000)		(2,109,110)
3.5% 12/1/45	(16,400,000)		(16,987,074)
3.5% 12/1/45	(16,400,000)		(16,987,074)
4% 12/1/45	(700,000)		(742,650)
4% 12/1/45	(700,000)		(742,650)
4.5% 12/1/45	(43,100,000)		(46,590,147)
TOTAL FANNIE MAE			(178,064,299)
Ginnie Mae
3.5% 12/1/45	(5,200,000)		(5,430,799)
3.5% 12/1/45	(83,600,000)		(87,310,544)
3.5% 12/1/45	(39,500,000)		(41,253,188)
3.5% 12/1/45	(44,300,000)		(46,266,233)
TOTAL GINNIE MAE			(180,260,764)
TOTAL TBA SALE COMMITMENTS (Proceeds $357,814,867)		$ (358,325,063)

Swaps
Clearinghouse/ Counterparty(1)	Expiration Date	Notional Amount	Payment Received	Payment Paid	Value	Upfront Premium Received/ (Paid)(2)	Unrealized Appreciation/ (Depreciation)
Interest Rate Swaps
LCH	Dec. 2020	$ 73,300,000	3-month LIBOR	2%	$ (480,317)	$ 0	$ (480,317)
LCH	Dec. 2025	118,500,000	3-month LIBOR	2.5%	(1,502,120)	0	(1,502,120)
LCH	Dec. 2045	15,200,000	3-month LIBOR	2.75%	(649,050)	0	(649,050)
TOTAL INTEREST RATE SWAPS					$ (2,631,487)	$ 0	$ (2,631,487)

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

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

Legend

(d) A portion of the security sold on a delayed delivery basis.

(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $11,061,452.

(f) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $224,890.

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

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

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

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

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

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	$ 211,518

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 11,482,140,536	$ -	$ 11,482,140,536	$ -
U.S. Government and Government Agency Obligations	4,311,211,459	-	4,311,211,459	-
U.S. Government Agency - Mortgage Securities	5,139,308,200	-	5,139,308,200	-
Asset-Backed Securities	75,389,909	-	72,627,800	2,762,109
Collateralized Mortgage Obligations	819,602,494	-	819,602,494	-
Commercial Mortgage Securities	1,839,219,539	-	1,839,148,543	70,996
Municipal Securities	586,375,960	-	586,375,960	-
Foreign Government and Government Agency Obligations	70,229,845	-	70,229,845	-
Bank Notes	415,536,354	-	415,536,354	-
Money Market Funds	505,977,333	505,977,333	-	-
Total Investments in Securities:	$ 25,244,991,629	$ 505,977,333	$ 24,736,181,191	$ 2,833,105
Derivative Instruments:
Liabilities
Swaps	$ (2,631,487)	$ -	$ (2,631,487)	$ -
Other Financial Instruments:
TBA Sale Commitments	$ (358,325,063)	$ -	$ (358,325,063)	$ -

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $25,116,633,518. Net unrealized appreciation aggregated $128,358,111, of which $563,013,655 related to appreciated investment securities and $434,655,544 related to depreciated investment securities.

Investment Valuation

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

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

Quarterly Report

Quarterly Holdings Report

for

Series Short-Term
Credit Fund

November 30, 2015

1.9863242.100

SS1-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 67.1%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 5.2%
Automobiles - 2.7%
American Honda Finance Corp. 0.95% 5/5/17	$ 7,210,000		$ 7,181,261
Daimler Finance North America LLC:
1.375% 8/1/17 (c)	5,176,000		5,135,332
1.45% 8/1/16 (c)	1,799,000		1,801,988
1.65% 3/2/18 (c)	3,047,000		3,021,427
1.65% 5/18/18 (c)	3,000,000		2,965,980
General Motors Financial Co., Inc. 2.4% 4/10/18	9,850,000		9,807,468
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (c)	4,784,000		4,618,531
1.65% 5/22/18 (c)	2,000,000		1,889,856
Volkswagen International Finance NV:
1.6% 11/20/17 (c)	2,785,000		2,681,170
2.375% 3/22/17 (c)	2,572,000		2,550,411
			41,653,424
Media - 2.5%
CBS Corp. 2.3% 8/15/19	1,000,000		995,405
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (c)	1,500,000		1,507,760
COX Communications, Inc. 6.25% 6/1/18 (c)	613,000		661,751
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17	6,571,000		6,649,031
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (c)	10,000,000		10,029,770
Thomson Reuters Corp. 0.875% 5/23/16	1,336,000		1,335,987
Time Warner Cable, Inc. 5.85% 5/1/17	7,442,000		7,803,622
Time Warner, Inc. 6.875% 6/15/18	5,000,000		5,614,765
Viacom, Inc. 2.2% 4/1/19	3,047,000		3,002,124
Walt Disney Co. 1.1% 12/1/17	2,321,000		2,321,511
			39,921,726
TOTAL CONSUMER DISCRETIONARY			81,575,150
CONSUMER STAPLES - 3.7%
Beverages - 0.4%
Heineken NV 1.4% 10/1/17 (c)	1,364,000		1,361,342
SABMiller Holdings, Inc. 2.45% 1/15/17 (c)	5,722,000		5,777,269
			7,138,611
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food & Staples Retailing - 0.3%
CVS Health Corp.:
1.9% 7/20/18	$ 1,536,000		$ 1,544,907
2.25% 8/12/19	2,680,000		2,693,730
Walgreens Boots Alliance, Inc. 1.75% 11/17/17	586,000		584,039
			4,822,676
Food Products - 1.4%
General Mills, Inc.:
1.4% 10/20/17	3,154,000		3,153,918
5.7% 2/15/17	3,000,000		3,158,364
H.J. Heinz Co. 1.6% 6/30/17 (c)	3,300,000		3,303,264
The J.M. Smucker Co. 1.75% 3/15/18	8,044,000		8,022,796
Tyson Foods, Inc. 2.65% 8/15/19	2,471,000		2,488,878
William Wrigley Jr. Co. 1.4% 10/21/16 (c)	1,610,000		1,614,487
			21,741,707
Tobacco - 1.6%
BAT International Finance PLC:
1.85% 6/15/18 (c)	5,000,000		5,008,950
2.75% 6/15/20 (c)	3,500,000		3,544,723
Imperial Tobacco Finance PLC:
2.05% 2/11/18 (c)	1,686,000		1,687,725
2.05% 7/20/18 (c)	4,300,000		4,291,972
Philip Morris International, Inc. 1.25% 8/11/17	2,931,000		2,937,003
Reynolds American, Inc.:
2.3% 6/12/18	736,000		745,379
3.25% 6/12/20	2,257,000		2,312,152
6.75% 6/15/17	3,586,000		3,851,278
			24,379,182
TOTAL CONSUMER STAPLES			58,082,176
ENERGY - 5.6%
Energy Equipment & Services - 0.4%
Nabors Industries, Inc. 2.35% 9/15/16	1,381,000		1,377,770
Noble Holding International Ltd. 4% 3/16/18	170,000		160,570
Petrofac Ltd. 3.4% 10/10/18 (c)	4,728,000		4,624,272
			6,162,612
Oil, Gas & Consumable Fuels - 5.2%
BG Energy Capital PLC 2.875% 10/15/16 (c)	2,730,000		2,764,046
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
BP Capital Markets PLC:
1.375% 5/10/18	$ 2,745,000		$ 2,726,068
1.846% 5/5/17	3,047,000		3,073,923
2.248% 11/1/16	2,776,000		2,807,924
Canadian Natural Resources Ltd. 1.75% 1/15/18	935,000		918,456
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (c)	2,225,000		2,213,228
ConocoPhillips Co. 1.5% 5/15/18	8,000,000		7,953,864
DCP Midstream Operating LP 2.7% 4/1/19	238,000		210,865
Enbridge, Inc.:
0.779% 6/2/17 (d)	4,266,000		4,181,572
0.9755% 10/1/16 (d)	5,485,000		5,448,854
Enterprise Products Operating LP:
1.65% 5/7/18	3,748,000		3,699,055
2.55% 10/15/19	476,000		470,383
Kinder Morgan, Inc.:
2% 12/1/17	832,000		806,975
3.05% 12/1/19	1,606,000		1,471,803
Marathon Petroleum Corp. 3.5% 3/1/16	3,622,000		3,644,583
Petro-Canada 6.05% 5/15/18	3,047,000		3,311,239
Petrobras Global Finance BV:
2% 5/20/16	7,116,000		6,989,335
3.25% 3/17/17	3,047,000		2,848,945
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	2,503,000		2,490,485
Petroleos Mexicanos 3.125% 1/23/19	405,000		400,326
Phillips 66 Co. 2.95% 5/1/17	1,219,000		1,242,300
Schlumberger Investment SA 1.25% 8/1/17 (c)	4,003,000		3,981,016
Shell International Finance BV 2.125% 5/11/20	2,509,000		2,500,788
Southwestern Energy Co. 3.3% 1/23/18	879,000		839,562
Spectra Energy Partners, LP 2.95% 6/15/16	1,257,000		1,265,808
TransCanada PipeLines Ltd.:
1.0066% 6/30/16 (d)	6,186,000		6,184,225
1.625% 11/9/17	1,500,000		1,496,697
1.875% 1/12/18	4,751,000		4,753,874
			80,696,199
TOTAL ENERGY			86,858,811
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - 32.8%
Banks - 14.1%
Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (c)	$ 2,802,000		$ 2,787,990
Bank of America Corp.:
2% 1/11/18	9,044,000		9,079,118
2.6% 1/15/19	25,295,000		25,574,307
3.875% 3/22/17	4,571,000		4,710,114
Bank of Nova Scotia 1.375% 12/18/17	2,540,000		2,531,361
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1.45% 9/8/17 (c)	4,571,000		4,534,432
1.55% 9/9/16 (c)	3,053,000		3,065,639
1.7% 3/5/18 (c)	7,618,000		7,565,085
Barclays PLC 2% 3/16/18	6,000,000		5,978,460
BNP Paribas 2.375% 9/14/17	5,586,000		5,647,055
BPCE SA 1.625% 2/10/17	3,047,000		3,043,191
Citigroup, Inc.:
0.603% 6/9/16 (d)	2,133,000		2,126,415
1.2799% 7/25/16 (d)	1,240,000		1,243,057
1.3% 11/15/16	4,177,000		4,183,353
1.55% 8/14/17	12,190,000		12,168,875
1.85% 11/24/17	3,047,000		3,048,487
2.4% 2/18/20	2,933,000		2,924,700
2.5% 9/26/18	5,000,000		5,072,655
2.5% 7/29/19	2,438,000		2,459,245
Citizens Bank NA 1.6% 12/4/17	4,571,000		4,522,735
Credit Suisse New York Branch:
0.8967% 5/26/17 (d)	3,047,000		3,036,329
1.375% 5/26/17	9,386,000		9,362,441
1.75% 1/29/18	6,095,000		6,088,771
Discover Bank 2% 2/21/18	6,220,000		6,189,665
Fifth Third Bancorp 4.5% 6/1/18	2,133,000		2,256,255
HSBC Bank PLC 1.5% 5/15/18 (c)	2,730,000		2,712,007
HSBC U.S.A., Inc.:
1.5% 11/13/17	2,438,000		2,429,940
1.7% 3/5/18	3,047,000		3,041,007
ING Bank NV 1.8% 3/16/18 (c)	2,438,000		2,428,950
Intesa Sanpaolo SpA:
2.375% 1/13/17	6,748,000		6,779,041
3.125% 1/15/16	3,047,000		3,054,971
JPMorgan Chase & Co.:
2.2% 10/22/19	1,459,000		1,460,977
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
JPMorgan Chase & Co.: - continued
2.35% 1/28/19	$ 1,088,000		$ 1,099,929
La Caisse Centrale 1.75% 1/29/18 (c)	3,047,000		3,027,926
Lloyds Bank PLC 1.75% 3/16/18	2,605,000		2,604,023
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (c)	3,480,000		3,463,376
Mizuho Bank Ltd.:
0.7755% 9/25/17 (c)(d)	4,571,000		4,555,929
1.55% 10/17/17 (c)	7,882,000		7,847,800
MUFG Americas Holdings Corp. 1.625% 2/9/18	680,000		675,901
PNC Bank NA:
1.5% 2/23/18	3,047,000		3,038,286
1.8% 11/5/18	1,000,000		999,273
Regions Financial Corp. 2% 5/15/18	2,733,000		2,721,442
Royal Bank of Canada 2.2% 7/27/18	2,742,000		2,773,654
Royal Bank of Scotland Group PLC 1.2666% 3/31/17 (d)	8,504,000		8,495,037
Sumitomo Mitsui Banking Corp.:
1.3% 1/10/17	6,095,000		6,083,773
1.75% 1/16/18	3,047,000		3,040,315
SunTrust Banks, Inc. 3.5% 1/20/17	3,109,000		3,175,871
Westpac Banking Corp. 2% 8/14/17	4,742,000		4,785,152
			219,494,315
Capital Markets - 7.8%
Deutsche Bank AG London Branch 1.4% 2/13/17	10,666,000		10,624,829
Goldman Sachs Group, Inc.:
1.748% 9/15/17	7,618,000		7,614,999
2.375% 1/22/18	15,673,000		15,873,207
2.625% 1/31/19	3,047,000		3,102,199
JPMorgan Chase & Co. 1.7% 3/1/18	45,666,000		45,615,632
Lazard Group LLC 6.85% 6/15/17	89,000		94,920
Morgan Stanley:
1.875% 1/5/18	23,047,000		23,138,013
5.45% 1/9/17	4,876,000		5,094,021
UBS AG Stamford Branch:
1.0264% 3/26/18 (d)	3,000,000		2,994,273
1.375% 8/14/17	4,735,000		4,717,580
1.8% 3/26/18	3,416,000		3,419,741
			122,289,414
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - 4.6%
American Express Credit Corp. 1.125% 6/5/17	$ 6,186,000		$ 6,161,757
American Honda Finance Corp. 1.5% 9/11/17 (c)	1,571,000		1,571,130
Discover Financial Services 6.45% 6/12/17	7,272,000		7,742,782
Ford Motor Credit Co. LLC:
1.461% 3/27/17	2,438,000		2,417,882
1.684% 9/8/17	4,638,000		4,596,434
2.145% 1/9/18	18,047,000		17,983,836
2.24% 6/15/18	1,884,000		1,873,161
3% 6/12/17	8,463,000		8,565,580
Hyundai Capital America:
1.45% 2/6/17 (c)	3,160,000		3,146,630
2% 3/19/18 (c)	3,047,000		3,019,108
2.125% 10/2/17 (c)	2,970,000		2,963,840
John Deere Capital Corp.:
1.3% 3/12/18	10,000,000		9,932,470
1.6% 7/13/18	586,000		585,894
Synchrony Financial 1.875% 8/15/17	565,000		563,678
			71,124,182
Diversified Financial Services - 0.8%
AIG Global Funding 1.65% 12/15/17 (c)	3,047,000		3,052,061
Berkshire Hathaway Finance Corp. 1.6% 5/15/17	3,047,000		3,071,403
Berkshire Hathaway, Inc. 1.55% 2/9/18	2,660,000		2,667,280
IntercontinentalExchange, Inc.:
2.5% 10/15/18	1,883,000		1,902,640
2.75% 12/1/20	545,000		546,789
McGraw Hill Financial, Inc. 2.5% 8/15/18 (c)	1,058,000		1,065,240
			12,305,413
Insurance - 3.5%
ACE INA Holdings, Inc. 2.3% 11/3/20	1,049,000		1,042,271
AFLAC, Inc. 2.4% 3/16/20	3,000,000		3,016,044
American International Group, Inc.:
2.3% 7/16/19	5,696,000		5,697,139
5.85% 1/16/18	2,077,000		2,251,960
Aon Corp. 5% 9/30/20	1,538,000		1,690,982
Assurant, Inc. 2.5% 3/15/18	3,747,000		3,772,877
Marsh & McLennan Companies, Inc. 2.55% 10/15/18	2,802,000		2,839,183
MetLife, Inc.:
1.756% 12/15/17 (d)	1,142,000		1,146,602
1.903% 12/15/17 (d)	490,000		493,126
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - continued
Metropolitan Life Global Funding I:
1.3% 4/10/17 (c)	$ 4,571,000		$ 4,579,548
1.5% 1/10/18 (c)	6,073,000		6,058,036
New York Life Global Funding 1.55% 11/2/18 (c)	3,120,000		3,102,204
Pricoa Global Funding I:
1.15% 11/25/16 (c)	1,837,000		1,838,697
1.9% 9/21/18 (c)	2,000,000		2,002,732
Principal Life Global Funding II:
2.2% 4/8/20 (c)	5,780,000		5,734,488
2.25% 10/15/18 (c)	2,500,000		2,521,083
Prudential Financial, Inc. 2.3% 8/15/18	4,880,000		4,922,075
Symetra Financial Corp. 6.125% 4/1/16 (c)	1,305,000		1,322,813
TIAA Asset Management Finance LLC 2.95% 11/1/19 (c)	658,000		663,374
			54,695,234
Real Estate Investment Trusts - 1.1%
Boston Properties, Inc. 3.7% 11/15/18	5,214,000		5,419,525
DDR Corp. 9.625% 3/15/16	797,000		815,309
Equity One, Inc. 6.25% 1/15/17	109,000		114,010
ERP Operating LP 2.375% 7/1/19	1,567,000		1,572,729
HCP, Inc. 3.75% 2/1/16	1,478,000		1,484,947
Health Care Property Investors, Inc. 6% 1/30/17	3,594,000		3,763,087
Health Care REIT, Inc.:
2.25% 3/15/18	1,081,000		1,080,534
4.7% 9/15/17	1,375,000		1,440,977
Select Income REIT 2.85% 2/1/18	1,091,000		1,091,687
			16,782,805
Real Estate Management & Development - 0.9%
Brandywine Operating Partnership LP 6% 4/1/16	2,386,000		2,420,358
Essex Portfolio LP 5.5% 3/15/17	2,274,000		2,377,678
Mack-Cali Realty LP:
2.5% 12/15/17	1,847,000		1,833,066
5.8% 1/15/16	385,000		386,783
Ventas Realty LP:
1.25% 4/17/17	1,167,000		1,159,998
1.55% 9/26/16	1,147,000		1,150,654
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	$ 1,652,000		$ 1,650,447
Washington Prime Group LP 3.85% 4/1/20	3,571,000		3,616,087
			14,595,071
TOTAL FINANCIALS			511,286,434
HEALTH CARE - 4.8%
Biotechnology - 1.4%
AbbVie, Inc.:
1.75% 11/6/17	4,470,000		4,485,766
1.8% 5/14/18	4,368,000		4,362,990
2.5% 5/14/20	2,500,000		2,484,465
Amgen, Inc.:
1.25% 5/22/17	4,784,000		4,771,504
2.2% 5/22/19	3,596,000		3,594,126
Celgene Corp. 2.125% 8/15/18	1,519,000		1,524,593
			21,223,444
Health Care Equipment & Supplies - 0.7%
Becton, Dickinson & Co. 1.8% 12/15/17	3,087,000		3,093,890
Medtronic, Inc. 1.5% 3/15/18	3,718,000		3,730,459
Zimmer Biomet Holdings, Inc. 2% 4/1/18	4,522,000		4,511,215
			11,335,564
Health Care Providers & Services - 0.7%
Cardinal Health, Inc. 1.95% 6/15/18	482,000		482,615
Express Scripts Holding Co. 1.25% 6/2/17	6,015,000		5,981,755
UnitedHealth Group, Inc. 1.9% 7/16/18	2,929,000		2,952,883
WellPoint, Inc. 1.875% 1/15/18	1,385,000		1,388,658
			10,805,911
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	718,000		716,512
2.15% 12/14/18	776,000		775,977
			1,492,489
Pharmaceuticals - 1.9%
Actavis Funding SCS:
1.416% 3/12/18 (d)	6,095,000		6,113,852
2.35% 3/12/18	6,095,000		6,150,343
3% 3/12/20	1,980,000		2,004,922
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
Bayer U.S. Finance LLC:
1.5% 10/6/17 (c)	$ 5,036,000		$ 5,042,345
2.375% 10/8/19 (c)	2,530,000		2,545,696
Mylan, Inc. 1.35% 11/29/16	850,000		844,603
Perrigo Co. PLC 1.3% 11/8/16	717,000		712,332
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	895,000		896,323
Zoetis, Inc.:
1.15% 2/1/16	2,310,000		2,310,845
1.875% 2/1/18	2,412,000		2,391,819
3.45% 11/13/20	437,000		440,447
			29,453,527
TOTAL HEALTH CARE			74,310,935
INDUSTRIALS - 0.9%
Aerospace & Defense - 0.5%
L-3 Communications Corp. 1.5% 5/28/17	2,197,000		2,156,072
Lockheed Martin Corp. 1.85% 11/23/18	5,000,000		5,006,785
			7,162,857
Airlines - 0.0%
Continental Airlines, Inc. 6.795% 2/2/20	10,743		11,012
Industrial Conglomerates - 0.2%
Danaher Corp. 1.65% 9/15/18	3,659,000		3,665,037
Trading Companies & Distributors - 0.2%
Air Lease Corp.:
2.125% 1/15/18	1,198,000		1,180,270
2.625% 9/4/18	1,642,000		1,628,250
			2,808,520
TOTAL INDUSTRIALS			13,647,426
INFORMATION TECHNOLOGY - 1.8%
Communications Equipment - 0.2%
Cisco Systems, Inc. 1.65% 6/15/18	3,300,000		3,321,684
Electronic Equipment & Components - 1.0%
Amphenol Corp. 1.55% 9/15/17	4,124,000		4,113,236
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
Electronic Equipment & Components - continued
Tyco Electronics Group SA:
2.375% 12/17/18	$ 526,000		$ 528,471
6.55% 10/1/17	10,064,000		10,943,272
			15,584,979
IT Services - 0.3%
The Western Union Co.:
2.875% 12/10/17	3,749,000		3,807,758
3.65% 8/22/18	1,415,000		1,456,536
			5,264,294
Technology Hardware, Storage & Peripherals - 0.3%
Hewlett Packard Enterprise Co. 2.85% 10/5/18 (c)	4,000,000		4,013,668
TOTAL INFORMATION TECHNOLOGY			28,184,625
MATERIALS - 1.9%
Chemicals - 1.3%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (c)	10,850,000		10,760,271
Ecolab, Inc.:
1.45% 12/8/17	1,409,000		1,400,728
1.55% 1/12/18	6,598,000		6,540,004
Sherwin-Williams Co. 1.35% 12/15/17	2,620,000		2,601,846
			21,302,849
Metals & Mining - 0.6%
Anglo American Capital PLC 1.2705% 4/15/16 (c)(d)	2,783,000		2,771,656
Freeport-McMoRan, Inc. 2.3% 11/14/17	1,511,000		1,363,678
Rio Tinto Finance (U.S.A.) PLC:
1.1743% 6/17/16 (d)	2,133,000		2,134,523
1.625% 8/21/17	2,651,000		2,632,761
			8,902,618
TOTAL MATERIALS			30,205,467
TELECOMMUNICATION SERVICES - 5.1%
Diversified Telecommunication Services - 4.4%
AT&T, Inc.:
1.4% 12/1/17	12,620,000		12,600,767
2.45% 6/30/20	1,944,000		1,912,058
2.95% 5/15/16	5,049,000		5,096,461
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
British Telecommunications PLC:
1.25% 2/14/17	$ 5,562,000		$ 5,548,217
1.625% 6/28/16	4,211,000		4,224,644
2.35% 2/14/19	2,499,000		2,508,811
CenturyLink, Inc. 5.15% 6/15/17	3,395,000		3,496,850
Deutsche Telekom International Financial BV 3.125% 4/11/16 (c)	2,633,000		2,652,905
Verizon Communications, Inc.:
1.35% 6/9/17	15,000,000		15,008,700
2% 11/1/16	5,508,000		5,554,146
2.5% 9/15/16	8,731,000		8,830,481
			67,434,040
Wireless Telecommunication Services - 0.7%
America Movil S.A.B. de CV:
1.336% 9/12/16 (d)	3,139,000		3,138,874
2.375% 9/8/16	3,677,000		3,706,471
Vodafone Group PLC 1.5% 2/19/18	4,438,000		4,420,900
			11,266,245
TOTAL TELECOMMUNICATION SERVICES			78,700,285
UTILITIES - 5.3%
Electric Utilities - 2.8%
American Electric Power Co., Inc. 1.65% 12/15/17	3,772,000		3,744,457
Cleveland Electric Illuminating Co. 5.7% 4/1/17	1,805,000		1,876,402
Duke Energy Corp.:
0.704% 4/3/17 (d)	4,109,000		4,099,689
1.625% 8/15/17	5,505,000		5,514,997
2.1% 6/15/18	5,129,000		5,170,940
Eversource Energy 1.45% 5/1/18	726,000		715,255
Exelon Corp.:
1.55% 6/9/17	326,000		325,083
2.85% 6/15/20	480,000		481,230
FirstEnergy Corp. 2.75% 3/15/18	8,001,000		8,034,468
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	3,440,000		3,431,716
Pacific Gas & Electric Co. 5.625% 11/30/17	4,213,000		4,524,370
Southern Co. 1.3% 8/15/17	1,770,000		1,755,966
Xcel Energy, Inc. 1.2% 6/1/17	3,347,000		3,331,664
			43,006,237
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Gas Utilities - 0.3%
Southern California Gas Co. 1.55% 6/15/18	$ 5,000,000		$ 4,987,455
Independent Power and Renewable Electricity Producers - 0.2%
Southern Power Co. 1.5% 6/1/18	2,491,000		2,445,101
Multi-Utilities - 2.0%
Berkshire Hathaway Energy Co. 1.1% 5/15/17	8,517,000		8,458,343
Dominion Resources, Inc.:
1.4% 9/15/17	1,648,000		1,634,266
1.9% 6/15/18	2,656,000		2,645,416
1.95% 8/15/16	1,821,000		1,830,793
2.5% 12/1/19	4,588,000		4,586,926
2.6266% 9/30/66 (d)	2,319,000		1,808,331
Sempra Energy 2.3% 4/1/17	7,873,000		7,933,764
Wisconsin Energy Corp. 1.65% 6/15/18	3,138,000		3,128,376
			32,026,215
TOTAL UTILITIES			82,465,008
TOTAL NONCONVERTIBLE BONDS (Cost $1,050,460,216)		1,045,316,317
U.S. Treasury Obligations - 2.8%

U.S. Treasury Notes:
1.25% 11/15/18	10,000,000		10,007,810
1.375% 3/31/20	33,000,000		32,718,972
TOTAL U.S. TREASURY OBLIGATIONS (Cost $42,932,888)		42,726,782
U.S. Government Agency - Mortgage Securities - 2.8%

Fannie Mae - 1.6%
2.234% 1/1/40 (d)	569,668		603,878
2.274% 11/1/34 (d)	247,969		260,745
2.298% 3/1/40 (d)	376,092		399,372
2.301% 2/1/40 (d)	974,417		1,033,057
2.31% 12/1/39 (d)	147,488		156,845
2.311% 1/1/40 (d)	937,307		996,359
2.321% 2/1/35 (d)	427,757		450,814
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
2.342% 10/1/35 (d)	$ 1,648,375		$ 1,736,095
2.403% 11/1/36 (d)	558,446		591,241
2.424% 5/1/35 (d)	424,040		449,478
2.431% 12/1/34 (d)	221,240		235,275
2.435% 2/1/40 (d)	269,443		286,536
2.458% 3/1/40 (d)	418,179		444,793
2.476% 12/1/33 (d)	202,025		214,238
2.478% 7/1/35 (d)	381,477		404,947
2.516% 4/1/35 (d)	651,112		689,318
2.543% 10/1/41 (d)	855,582		909,859
2.557% 6/1/42 (d)	320,226		329,448
2.56% 11/1/34 (d)	1,761,447		1,873,189
2.673% 9/1/41 (d)	1,267,100		1,347,483
2.686% 2/1/42 (d)	1,736,418		1,800,146
2.756% 1/1/42 (d)	1,532,636		1,590,887
2.951% 11/1/40 (d)	188,991		196,971
2.98% 9/1/41 (d)	210,752		220,186
2.991% 10/1/41 (d)	91,759		95,710
3.022% 8/1/41 (d)	247,550		259,283
3.243% 7/1/41 (d)	341,211		359,248
3.3% 10/1/41 (d)	169,228		176,738
3.553% 7/1/41 (d)	393,434		414,616
5.5% 10/1/17 to 11/1/34	5,882,127		6,570,954
6.5% 1/1/16 to 8/1/17	22,720		23,536
7% 12/1/15 to 11/1/18	8,688		8,958
7.5% 11/1/31	712		844
TOTAL FANNIE MAE			25,131,047
Freddie Mac - 1.2%
2.255% 11/1/35 (d)	284,706		299,730
2.361% 10/1/42 (d)	1,738,978		1,839,300
2.41% 4/1/40 (d)	321,305		340,500
2.519% 8/1/36 (d)	188,733		199,978
2.527% 2/1/40 (d)	495,864		527,577
2.53% 4/1/40 (d)	316,166		336,487
2.979% 8/1/41 (d)	670,655		713,200
3% 8/1/21	1,737,053		1,804,009
3.141% 9/1/41 (d)	408,864		426,927
3.211% 9/1/41 (d)	221,067		231,186
3.226% 4/1/41 (d)	235,368		246,471
3.293% 6/1/41 (d)	249,609		262,873
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
3.451% 5/1/41 (d)	$ 203,145		$ 211,491
3.5% 8/1/26	5,672,031		5,968,297
3.617% 6/1/41 (d)	351,528		372,158
3.706% 5/1/41 (d)	309,239		327,455
4% 9/1/25 to 4/1/26	2,026,155		2,167,200
4.5% 8/1/18 to 11/1/18	1,309,731		1,358,320
5% 4/1/20	585,318		609,709
8.5% 5/1/27 to 7/1/28	51,023		61,128
TOTAL FREDDIE MAC			18,303,996
Ginnie Mae - 0.0%
7% 11/15/27 to 8/15/32	338,013		394,185
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $44,017,644)		43,829,228
Asset-Backed Securities - 10.6%

Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured)	356,361		344,881
Series 2005-1 Class M1, 0.926% 4/25/35 (d)	136,148		123,075
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.847% 3/25/34 (d)	20,227		19,407
Series 2006-OP1 Class M1, 0.477% 4/25/36 (d)	2,438,062		818,096
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	1,545,000		1,550,480
Series 2012-5 Class A, 1.54% 9/15/19	7,047,000		7,035,785
Series 2014-3 Class A, 1.33% 3/15/19	6,080,000		6,072,108
Series 2014-5 Class A2, 1.6% 10/15/19	9,142,000		9,147,727
Series 2015-3 Class A, 1.63% 5/15/20	3,340,000		3,320,431
AmeriCredit Automobile Receivables Trust:
Series 2014-4 Class A3, 1.27% 7/8/19	1,137,000		1,134,584
Series 2015-2 Class A3, 1.27% 1/8/20	2,000,000		1,984,041
Series 2015-3 Class A3, 1.54% 3/9/20	4,500,000		4,485,549
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2004-R2 Class M3, 1.022% 4/25/34 (d)	18,431		13,973
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.001% 3/25/34 (d)	115,119		105,647
Series 2004-W7 Class M1, 1.022% 5/25/34 (d)	69,180		64,733
Series 2006-W4 Class A2C, 0.357% 5/25/36 (d)	236,600		83,915
Asset-Backed Securities - continued
	Principal Amount		Value
Capital Auto Receivables Asset Trust:
Series 2015-1 Class A2, 1.42% 6/20/18	$ 3,047,000		$ 3,044,412
Series 2015-2 Class A2, 1.39% 9/20/18	1,744,000		1,739,529
Carmax Auto Owner Trust Series 2015-1 Class A3, 1.38% 11/15/19	2,295,000		2,288,905
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.337% 12/25/36 (d)	369,893		248,164
CFC LLC:
Series 2013-2A Class A, 1.75% 11/15/17 (c)	114,708		114,661
Series 2014-1A Class A, 1.46% 12/17/18 (c)	771,196		770,633
Chase Issuance Trust Series 2015-A2, Class A, 1.59% 2/18/20	3,047,000		3,055,572
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (c)	3,292,701		3,295,663
Series 2014-VT1 Class A3, 1.5% 10/21/19 (c)	3,404,145		3,390,932
Citibank Credit Card Issuance Trust Series 2014-A8 Class A8, 1.73% 4/9/20	6,095,000		6,123,074
Countrywide Home Loans, Inc.:
Series 2004-2 Class 3A4, 0.721% 7/25/34 (d)	91,880		79,938
Series 2004-3 Class M4, 1.676% 4/25/34 (d)	13,533		12,319
Series 2004-4 Class M2, 0.992% 6/25/34 (d)	20,436		18,651
Dell Equipment Finance Trust:
Series 2014-1 Class A3, 0.94% 6/22/20 (c)	2,590,000		2,588,937
Series 2015-1 Class A3, 1.3% 3/23/20 (c)	1,000,000		994,160
Series 2015-2 Class A2A, 1.42% 12/22/17 (c)	1,500,000		1,497,353
Discover Card Master Trust Series 2014-A5 Class A, 1.39% 4/15/20	4,571,000		4,575,445
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (c)	2,175,572		2,169,325
Series 2014-2 Class A2, 1.05% 3/20/20 (c)	3,633,095		3,616,374
Series 2015-1 Class A2, 1.3% 9/20/20 (c)	4,571,000		4,561,675
Fannie Mae Series 2004-T5:
Class AB1, 0.7227% 5/28/35 (d)	193,359		180,749
Class AB3, 1.0288% 5/28/35 (d)	83,201		77,349
Ford Credit Floorplan Master Owner Trust:
Series 2012-5 Class A, 1.49% 9/15/19	14,971,000		14,920,870
Series 2014-4 Class A1, 1.4% 8/15/19	5,194,000		5,180,845
Series 2015-1 Class A1, 1.42% 1/15/20	3,809,000		3,793,317
Series 2015-4 Class A1, 1.77% 8/15/20	3,000,000		3,010,117
Fremont Home Loan Trust:
Series 2004-D:
Class M4, 1.622% 11/25/34 (d)	124,981		13,195
Class M5, 1.697% 11/25/34 (d)	40,301		757
Asset-Backed Securities - continued
	Principal Amount		Value
Fremont Home Loan Trust: - continued
Series 2005-A:
Class M3, 0.932% 1/25/35 (d)	$ 194,673		$ 170,040
Class M4, 1.217% 1/25/35 (d)	71,232		38,827
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7732% 2/25/47 (c)(d)	223,255		200,949
GE Equipment Small Ticket LLC Series 2013-1A Class A3, 1.02% 2/24/17 (c)	1,170,426		1,170,426
GE Equipment Transportation LLC:
Series 2012-2 Class A4, 0.92% 9/25/17	1,832,079		1,831,849
Series 2014-1 Class A3, 0.97% 4/23/18	3,580,295		3,575,062
Series 2015-1 Class A3, 1.28% 2/25/19	2,895,199		2,899,818
GM Financial Automobile Leasing Trust:
Series 2015-1 Class A3, 1.53% 9/20/18	3,959,000		3,952,624
Series 2015-2 Class A3, 1.68% 12/20/18	2,453,000		2,444,966
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (c)	2,972,000		2,950,289
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.541% 8/25/33 (d)	19,557		18,337
Series 2003-3 Class M1, 1.511% 8/25/33 (d)	91,952		87,879
Series 2003-5 Class A2, 0.921% 12/25/33 (d)	62,458		58,482
Series 2004-1 Class M2, 1.921% 6/25/34 (d)	75,448		68,152
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (d)	274,769		176,516
Hyundai Auto Lease Securitization Trust Series 2015-B Class A3, 1.4% 11/15/18 (c)	2,500,000		2,491,722
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.327% 11/25/36 (d)	40,726		40,676
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.6564% 12/27/29 (d)	22,285		22,137
Series 2006-A Class 2C, 1.4764% 3/27/42 (d)	157,000		79,011
Long Beach Mortgage Loan Trust Series 2006-6 Class 2A3, 0.347% 7/25/36 (d)	2,408,105		1,135,420
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.947% 7/25/34 (d)	8,336		6,967
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.172% 7/25/34 (d)	18,580		17,048
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (d)	44,342		43,963
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (d)	219,667		212,124
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.877% 8/25/34 (d)	111,970		103,591
Series 2005-NC1 Class M1, 0.857% 1/25/35 (d)	54,738		51,339
Series 2005-NC2 Class B1, 1.952% 3/25/35 (d)	40,047		656
Asset-Backed Securities - continued
	Principal Amount		Value
Morgan Stanley ABS Capital I Trust: - continued
Series 2006-NC4 Class A2D, 0.461% 6/25/36 (d)	$ 2,174,447		$ 1,429,456
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	4,571,000		4,550,662
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0436% 10/30/45 (d)	537,659		522,249
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.072% 9/25/34 (d)	1,008,386		944,698
Class M4, 2.372% 9/25/34 (d)	140,224		90,180
Series 2005-WCH1 Class M4, 1.442% 1/25/36 (d)	302,836		270,067
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.997% 4/25/33 (d)	1,048		970
Santander Drive Auto Receivables Trust Series 2014-4 Class B, 1.82% 5/15/19	2,226,000		2,230,733
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.992% 3/25/35 (d)	156,289		144,656
SLM Private Credit Student Loan Trust:
Series 2004-A:
Class B, 0.9172% 6/15/33 (d)	295,135		279,440
Class C, 1.2872% 6/15/33 (d)	870,397		845,770
Series 2004-B:
Class A2, 0.5372% 6/15/21 (d)	560,803		557,116
Class C, 1.2072% 9/15/33 (d)	950,160		912,172
Synchrony Credit Card Master Note Trust:
Series 2015-2 Class A, 1.6% 4/15/21	3,600,000		3,588,445
Series 2015-3 class A, 1.74% 9/15/21	3,000,000		2,997,314
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (d)	117,662		103,026
Toyota Auto Receivables Owner Trust Series 2015-C Class A3, 1.34% 6/17/19	3,500,000		3,501,923
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (c)	2,968,000		2,933,381
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (c)	3,732,000		3,737,393
Whinstone Capital Management Ltd. Series 1A Class B3, 2.1199% 10/25/44 (c)(d)	1,702,396		1,701,204
World Omni Automobile Lease Securitization Trust Series 2015-A Class A3, 1.54% 10/15/18	2,480,000		2,470,248
TOTAL ASSET-BACKED SECURITIES (Cost $165,871,473)		165,327,326
Collateralized Mortgage Obligations - 2.2%
	Principal Amount		Value
Private Sponsor - 1.9%
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.4592% 4/26/36 (c)(d)	$ 830,448		$ 811,141
Credit Suisse Mortgage Trust:
Series 2011-17R Class 2A1, 3.4% 12/27/37 (c)(d)	210,101		210,772
Series 2012-2R Class 1A1, 2.7363% 5/27/35 (c)(d)	1,373,037		1,412,986
Granite Master Issuer PLC floater:
Series 2006-1A:
Class A5, 0.3468% 12/20/54 (c)(d)	2,869,375		2,867,367
Class C2, 1.4068% 12/20/54 (c)(d)	1,270,000		1,268,349
Series 2006-2:
Class A4, 0.2868% 12/20/54 (d)	409,110		408,824
Class C1, 1.1468% 12/20/54 (d)	4,598,000		4,592,023
Class M2, 0.6668% 12/20/54 (d)	914,000		913,086
Series 2006-3 Class C2, 1.2068% 12/20/54 (d)	2,014,000		2,011,382
Series 2006-4:
Class A4, 0.3068% 12/20/54 (d)	743,689		743,169
Class B1, 0.3868% 12/20/54 (d)	4,073,000		4,069,131
Class C1, 0.9668% 12/20/54 (d)	2,490,000		2,486,763
Class M1, 0.5468% 12/20/54 (d)	1,073,000		1,071,927
Series 2007-1:
Class 1C1, 0.8068% 12/20/54 (d)	408,000		407,470
Class 1M1, 0.5068% 12/20/54 (d)	268,000		267,732
Class 2C1, 1.0668% 12/20/54 (d)	185,000		184,760
Class 2M1, 0.7068% 12/20/54 (d)	344,000		343,656
Class 3A1, 0.4068% 12/20/54 (d)	758,626		758,422
Series 2007-2:
Class 2C1, 1.0573% 12/17/54 (d)	477,000		476,380
Class 3A1, 0.3773% 12/17/54 (d)	158,246		158,136
Granite Mortgages Series 2003-2 Class 1A3, 0.8172% 7/20/43 (d)	449,743		449,428
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.7172% 1/20/44 (d)	100,791		100,690
Class 1C, 2.7672% 1/20/44 (d)	805,654		804,365
Series 2004-1 Class 2A1, 0.6651% 3/20/44 (d)	1,993,149		1,991,754
Series 2004-3 Class 2A1, 0.6251% 9/20/44 (d)	500,052		499,702
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (d)	138,173		123,659
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5469% 6/10/35 (c)(d)	$ 50,163		$ 45,636
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (d)	4,675		4,587
TOTAL PRIVATE SPONSOR			29,483,297
U.S. Government Agency - 0.3%
Fannie Mae:
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	1,620,449		1,709,283
planned amortization class Series 2012-94 Class E, 3% 6/25/22	846,329		867,551
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	187,884		211,540
Series 2009-31 Class A, 4% 2/25/24	174,829		179,263
Freddie Mac:
planned amortization class:
Series 2382 Class MB, 6% 11/15/16	34,657		35,318
Series 3820 Class DA, 4% 11/15/35	1,289,093		1,351,174
Series 3949 Class MK, 4.5% 10/15/34	989,008		1,064,257
TOTAL U.S. GOVERNMENT AGENCY			5,418,386
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $34,715,038)		34,901,683
Commercial Mortgage Securities - 11.4%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (d)(e)	349,213		3,507
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46	2,001,763		2,022,742
Series 2006-4 Class A1A, 5.617% 7/10/46 (d)	4,312,232		4,361,714
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.3458% 5/15/32 (c)(d)	2,183,000		2,163,183
Bayview Commercial Asset Trust:
floater:
Series 2005-4A:
Class A2, 0.611% 1/25/36 (c)(d)	636,107		562,821
Class B1, 1.621% 1/25/36 (c)(d)	24,393		15,518
Class M1, 0.671% 1/25/36 (c)(d)	203,079		164,878
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
floater: - continued
Series 2005-4A: - continued
Class M2, 0.691% 1/25/36 (c)(d)	$ 66,027		$ 52,003
Class M3, 0.721% 1/25/36 (c)(d)	87,511		66,108
Class M4, 0.831% 1/25/36 (c)(d)	48,562		35,873
Class M5, 0.871% 1/25/36 (c)(d)	48,562		35,965
Class M6, 0.921% 1/25/36 (c)(d)	49,314		33,067
Series 2007-1 Class A2, 0.491% 3/25/37 (c)(d)	385,367		322,459
Series 2007-2A:
Class A1, 0.491% 7/25/37 (c)(d)	75,007		64,478
Class A2, 0.541% 7/25/37 (c)(d)	70,303		56,289
Series 2007-3:
Class A2, 0.511% 7/25/37 (c)(d)	95,414		77,363
Class M1, 0.531% 7/25/37 (c)(d)	71,866		54,553
Class M2, 0.561% 7/25/37 (c)(d)	77,084		55,624
Class M3, 0.591% 7/25/37 (c)(d)	125,083		61,614
Class M4, 0.721% 7/25/37 (c)(d)	196,181		64,276
Class M5, 0.821% 7/25/37 (c)(d)	91,999		14,438
Series 2007-4A:
Class A2, 0.747% 9/25/37 (c)(d)	993,570		703,158
Class M1, 1.147% 9/25/37 (c)(d)	129,263		27,215
Series 2006-2A Class IO, 0% 7/25/36 (c)(d)(e)	6,515,443		1
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer Series 2006-PW14 Class A1A, 5.189% 12/11/38	1,501,936		1,543,247
Series 2006-PW12 Class A1A, 5.7074% 9/11/38 (d)	3,203,226		3,222,931
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.23% 5/15/29 (c)(d)	2,151,000		2,132,178
C-BASS Trust floater Series 2006-SC1 Class A, 0.491% 5/25/36 (c)(d)	412,584		396,326
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	2,515,693		2,660,777
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.597% 12/15/27 (c)(d)	4,400,336		4,379,799
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	1,473,119		1,502,754
Series 2006-C4 Class A1A, 5.7922% 3/15/49 (d)	1,314,803		1,323,705
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2006-CD2 Class A4, 5.3358% 1/15/46 (d)	56,457		56,388
Series 2006-CD2 Class A1B, 5.3368% 1/15/46 (d)	2,483,678		2,479,396
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class A3, 5.484% 4/15/47	1,618,087		1,677,724
Commercial Mortgage Securities - continued
	Principal Amount		Value
COMM Mortgage Trust floater Series 2014-KYO Class A, 1.096% 6/11/27 (c)(d)	$ 6,704,673		$ 6,669,680
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.047% 4/15/17 (c)(d)	25,884		25,915
sequential payer:
Series 2006-C7 Class A1A, 5.7532% 6/10/46 (d)	4,327,385		4,375,048
Series 2006-C8:
Class A1A, 5.292% 12/10/46	3,371,810		3,461,847
Class A4, 5.306% 12/10/46	4,813,023		4,913,165
Commercial Mortgage Trust pass-thru certificates sequential payer Series 2012-CR2 Class A1, 0.824% 8/15/45	159,668		159,530
CSMC Series 2015-TOWN Class A, 1.4458% 3/15/17 (c)(d)	3,500,000		3,488,084
CSMC Trust floater Series 2014-ICE:
Class A, 0.9958% 4/15/27 (c)(d)	4,981,000		4,960,223
Class B, 1.3958% 4/15/27 (c)(d)	2,893,000		2,883,713
Del Coronado Trust floater Series 2013-HDC Class A, 0.9958% 3/15/26 (c)(d)	1,523,000		1,518,274
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.497% 12/15/16 (c)(d)	7,398,367		7,384,255
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2006-C1 Class A4, 5.2841% 3/10/44 (d)	66,758		66,727
Series 2006-C1 Class A1A, 5.2841% 3/10/44 (d)	1,904,362		1,908,292
Series 2007-C1 Class A1A, 5.483% 12/10/49 (d)	4,709,801		4,899,749
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.8193% 7/10/38 (d)	1,731,022		1,742,864
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (c)	710,000		715,223
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1958% 7/15/31 (c)(d)	1,304,151		1,301,078
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	2,279,587		2,327,561
Class A4, 5.56% 11/10/39	4,315,167		4,331,068
Series 2012-GC6 Class A1, 1.282% 1/10/45	37,638		37,639
Hilton U.S.A. Trust:
floater Series 2013-HLF Class AFL, 1.1922% 11/5/30 (c)(d)	2,508,009		2,502,056
Series 2013-HLT Class DFX, 4.4065% 11/5/30 (c)	658,000		657,995
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.446% 11/15/29 (c)(d)	2,039,000		2,038,966
Commercial Mortgage Securities - continued
	Principal Amount		Value
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class F, 0.527% 11/15/18 (c)(d)	$ 55,500		$ 53,359
Class G, 0.557% 11/15/18 (c)(d)	48,245		46,177
Series 2014-BXH Class A, 1.097% 4/15/27 (c)(d)	4,266,000		4,260,527
Series 2014-FL5 Class A, 1.1758% 7/15/31 (c)(d)	3,108,000		3,087,267
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	4,360,584		4,426,913
Series 2006-LDP8 Class A4, 5.399% 5/15/45	4,076,466		4,108,845
Series 2011-C3 Class A3, 4.3877% 2/15/46 (c)	1,544,000		1,621,489
Series 2013-C10, Class A1, 0.7302% 12/15/47	683,338		679,492
Series 2006-LDP7 Class A1A, 5.9107% 4/15/45 (d)	4,920,231		4,986,943
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	387,144		387,124
Series 2006-C6 Class A4, 5.372% 9/15/39	1,014,856		1,032,948
Series 2007-C1 Class A4, 5.424% 2/15/40	5,007,540		5,141,439
Series 2007-C7 Class A3, 5.866% 9/15/45	1,931,098		2,049,915
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2% 9/15/28 (b)(c)	3,000,000		3,000,399
Merrill Lynch Mortgage Trust Series 2006-C2 Class A1A, 5.739% 8/12/43 (d)	3,650,839		3,710,647
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-1 Class AM, 5.5135% 2/12/39 (d)	510,000		512,439
Morgan Stanley BAML Trust Series 2012-C5 Class A1, 0.916% 8/15/45	596,549		595,989
Morgan Stanley Capital I Trust:
floater Series 2007-XLFA:
Class D, 0.3858% 10/15/20 (c)(d)	240,293		240,047
Class E, 0.4458% 10/15/20 (c)(d)	171,273		170,903
Class F, 0.4958% 10/15/20 (c)(d)	102,785		102,567
Class G, 0.5358% 10/15/20 (c)(d)	127,058		126,736
sequential payer:
Series 2007-IQ13 Class A1A, 5.312% 3/15/44	1,358,995		1,405,212
Series 2007-IQ14 Class A2, 5.61% 4/15/49	549,486		549,590
Series 2012-C4 Class A1, 1.085% 3/15/45	506,564		506,400
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (d)	2,305,523		2,325,940
Series 2006-IQ11 Class A1A, 5.7465% 10/15/42 (d)	3,522,352		3,545,657
Series 2007-T27 Class A1A, 5.6454% 6/11/42 (d)	3,770,712		3,960,639
SCG Trust Series 2013-SRP1 Class A, 1.5958% 11/15/26 (c)(d)	2,729,000		2,717,486
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust:
sequential payer Series 2006-C29:
Class A1A, 5.297% 11/15/48	$ 5,779,046		$ 5,948,195
Class A4, 5.308% 11/15/48	1,779,292		1,809,038
Series 2006-C23 Class A1A, 5.422% 1/15/45	2,364,650		2,363,132
Series 2006-C24 Class A1A, 5.557% 3/15/45 (d)	2,648,024		2,661,961
Series 2006-C25 Class A1A, 5.715% 5/15/43 (d)	3,086,820		3,123,857
Series 2006-C26 Class A1A, 6.009% 6/15/45 (d)	3,856,977		3,907,206
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 Class A1, 1.676% 7/15/46	3,569,144		3,560,562
WF-RBS Commercial Mortgage Trust:
sequential payer Series 2011-C5 Class A1, 1.456% 11/15/44	111,395		111,452
Series 2012-C8 Class A1, 0.864% 8/15/45	732,196		730,372
Series 2013-C13 Class A1, 0.778% 5/15/45	655,035		650,831
Series 2013-C14 Class A1, 0.836% 6/15/46	762,824		756,155
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.3178% 11/15/29 (c)(d)	2,384,400		2,372,044
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $180,932,952)		178,110,918
Municipal Securities - 0.2%

Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19 (Cost $2,892,480)	2,685,000		2,879,985
Supranational Obligations - 0.1%

International Bank for Reconstruction & Development 1% 6/15/18 (Cost $652,091)	653,000		648,816
Bank Notes - 2.3%

Bank of America NA:
1.25% 2/14/17	3,000,000		3,000,771
5.3% 3/15/17	591,000		617,926
Barclays Bank PLC 2.5% 2/20/19	3,946,000		3,989,264
Capital One Bank NA:
1.15% 11/21/16	1,817,000		1,815,839
1.2% 2/13/17	4,450,000		4,426,985
1.3% 6/5/17	4,265,000		4,230,931
Bank Notes - continued
	Principal Amount		Value
Capital One NA:
1.5% 9/5/17	$ 3,078,000		$ 3,057,981
1.65% 2/5/18	4,571,000		4,533,824
KeyBank NA:
1.65% 2/1/18	1,763,000		1,758,785
2.5% 12/15/19	1,749,000		1,756,097
Manufacturers & Traders Trust Co. 1.4% 7/25/17	4,784,000		4,772,987
Marshall & Ilsley Bank 5% 1/17/17	209,000		216,211
Union Bank NA 3% 6/6/16	2,047,000		2,069,695
TOTAL BANK NOTES (Cost $36,366,917)		36,247,296

Money Market Funds - 0.4%
	Shares
Fidelity Cash Central Fund, 0.18% (a) (Cost $6,619,979)	6,619,979		6,619,979
TOTAL INVESTMENT PORTFOLIO - 99.9% (Cost $1,565,461,678)			1,556,608,330
NET OTHER ASSETS (LIABILITIES) - 0.1%			1,033,565
NET ASSETS - 100%		$ 1,557,641,895

Legend

(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.

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

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

Affiliated Central Funds

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

Fund	Income earned
Fidelity Cash Central Fund	$ 2,527

Other Information

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,045,316,317	$ -	$ 1,045,316,317	$ -
U.S. Government and Government Agency Obligations	42,726,782	-	42,726,782	-
U.S. Government Agency - Mortgage Securities	43,829,228	-	43,829,228	-
Asset-Backed Securities	165,327,326	-	165,313,374	13,952
Collateralized Mortgage Obligations	34,901,683	-	34,901,683	-
Commercial Mortgage Securities	178,110,918	-	178,110,917	1
Municipal Securities	2,879,985	-	2,879,985	-
Supranational Obligations	648,816	-	648,816	-
Bank Notes	36,247,296	-	36,247,296	-
Money Market Funds	6,619,979	6,619,979	-	-
Total Investments in Securities:	$ 1,556,608,330	$ 6,619,979	$ 1,549,974,398	$ 13,953

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $1,564,968,141. Net unrealized depreciation aggregated $8,359,811, of which $1,789,583 related to appreciated investment securities and $10,149,394 related to depreciated investment securities.

Investment Valuation

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity ® Short-Term Bond Fund

November 30, 2015

1.813036.111

STP-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 46.0%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 2.7%
Automobiles - 1.6%
American Honda Finance Corp. 0.95% 5/5/17	$ 10,565		$ 10,523
Daimler Finance North America LLC:
1.375% 8/1/17 (c)	11,809		11,716
1.45% 8/1/16 (c)	4,107		4,114
1.65% 3/2/18 (c)	6,953		6,895
1.65% 5/18/18 (c)	10,000		9,887
General Motors Financial Co., Inc. 2.4% 4/10/18	12,000		11,948
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (c)	10,916		10,538
1.65% 5/22/18 (c)	5,300		5,008
Volkswagen International Finance NV:
1.6% 11/20/17 (c)	6,354		6,117
2.375% 3/22/17 (c)	5,868		5,819
			82,565
Media - 1.1%
CBS Corp. 2.3% 8/15/19	2,200		2,190
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3.579% 7/23/20 (c)	5,280		5,307
COX Communications, Inc. 6.25% 6/1/18 (c)	1,399		1,510
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17	10,429		10,553
Thomson Reuters Corp. 0.875% 5/23/16	3,051		3,051
Time Warner Cable, Inc. 5.85% 5/1/17	14,418		15,119
Time Warner, Inc. 6.875% 6/15/18	8,000		8,984
Viacom, Inc. 2.2% 4/1/19	6,953		6,851
Walt Disney Co. 1.1% 12/1/17	5,295		5,296
			58,861
TOTAL CONSUMER DISCRETIONARY			141,426
CONSUMER STAPLES - 2.8%
Beverages - 0.3%
Heineken NV 1.4% 10/1/17 (c)	3,112		3,106
SABMiller Holdings, Inc. 2.45% 1/15/17 (c)	13,054		13,180
			16,286
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Food & Staples Retailing - 0.1%
CVS Health Corp. 1.9% 7/20/18	$ 4,880		$ 4,908
Walgreens Boots Alliance, Inc. 1.75% 11/17/17	1,339		1,335
			6,243
Food Products - 1.0%
ConAgra Foods, Inc. 1.3% 1/25/16	17,266		17,269
General Mills, Inc.:
0.875% 1/29/16	5,323		5,324
1.4% 10/20/17	7,196		7,196
5.7% 2/15/17	5,000		5,264
H.J. Heinz Co. 1.6% 6/30/17 (c)	8,000		8,008
The J.M. Smucker Co. 1.75% 3/15/18	3,523		3,514
Tyson Foods, Inc. 2.65% 8/15/19	5,639		5,680
William Wrigley Jr. Co. 1.4% 10/21/16 (c)	3,673		3,683
			55,938
Tobacco - 1.4%
BAT International Finance PLC:
1.85% 6/15/18 (c)	15,000		15,027
2.75% 6/15/20 (c)	10,510		10,644
Imperial Tobacco Finance PLC:
2.05% 2/11/18 (c)	5,734		5,740
2.05% 7/20/18 (c)	13,355		13,330
Philip Morris International, Inc. 1.25% 8/11/17	8,983		9,001
Reynolds American, Inc.:
2.3% 6/12/18	2,339		2,369
3.25% 6/12/20	7,178		7,353
6.75% 6/15/17	8,181		8,786
			72,250
TOTAL CONSUMER STAPLES			150,717
ENERGY - 4.0%
Energy Equipment & Services - 0.3%
Nabors Industries, Inc. 2.35% 9/15/16	3,152		3,145
Noble Holding International Ltd. 4% 3/16/18	389		367
Petrofac Ltd. 3.4% 10/10/18 (c)	10,787		10,550
			14,062
Oil, Gas & Consumable Fuels - 3.7%
BG Energy Capital PLC 2.875% 10/15/16 (c)	6,229		6,307
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
BP Capital Markets PLC:
1.375% 5/10/18	$ 6,265		$ 6,222
1.846% 5/5/17	6,953		7,014
2.248% 11/1/16	6,334		6,407
Canadian Natural Resources Ltd. 1.75% 1/15/18	2,135		2,097
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (c)	7,043		7,006
ConocoPhillips Co. 1.5% 5/15/18	10,000		9,942
DCP Midstream Operating LP 2.7% 4/1/19	544		482
Enbridge, Inc.:
0.779% 6/2/17 (e)	9,732		9,539
0.9755% 10/1/16 (e)	12,515		12,433
Enterprise Products Operating LP:
1.65% 5/7/18	7,986		7,882
2.55% 10/15/19	1,089		1,076
Kinder Morgan, Inc.:
2% 12/1/17	1,900		1,843
3.05% 12/1/19	3,665		3,359
Marathon Petroleum Corp. 3.5% 3/1/16	8,263		8,315
Petro-Canada 6.05% 5/15/18	6,953		7,556
Petrobras Global Finance BV:
2% 5/20/16	16,234		15,945
3.25% 3/17/17	6,953		6,501
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	5,713		5,684
Petroleos Mexicanos 3.125% 1/23/19	924		913
Phillips 66 Co. 2.95% 5/1/17	2,781		2,834
Schlumberger Investment SA 1.25% 8/1/17 (c)	9,133		9,083
Shell International Finance BV 2.125% 5/11/20	7,883		7,857
Southwestern Energy Co. 3.3% 1/23/18	2,006		1,916
Spectra Energy Partners, LP 2.95% 6/15/16	2,869		2,889
Total Capital International SA 1% 1/10/17	17,416		17,405
TransCanada PipeLines Ltd.:
1.0066% 6/30/16 (e)	14,114		14,110
1.625% 11/9/17	5,000		4,989
1.875% 1/12/18	10,839		10,846
			198,452
TOTAL ENERGY			212,514
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - 23.9%
Banks - 14.0%
ABN AMRO Bank NV 1.1232% 10/28/16 (c)(e)	$ 10,429		$ 10,469
Australia & New Zealand Banking Group Ltd.:
1.25% 1/10/17	8,587		8,601
1.875% 10/6/17	3,477		3,502
Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (c)	6,393		6,361
Bank of America Corp.:
1.25% 1/11/16	12,670		12,676
2% 1/11/18	11,269		11,313
2.6% 1/15/19	15,519		15,690
3.875% 3/22/17	10,429		10,746
Bank of Montreal 1.4% 4/10/18	6,000		5,961
Bank of Nova Scotia 1.375% 12/18/17	5,796		5,776
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1% 2/26/16 (c)	12,515		12,529
1.45% 9/8/17 (c)	10,429		10,346
1.55% 9/9/16 (c)	6,967		6,996
1.7% 3/5/18 (c)	17,382		17,261
Barclays Bank PLC 5% 9/22/16	10,429		10,756
Barclays PLC 2% 3/16/18	5,150		5,132
BNP Paribas 2.375% 9/14/17	12,744		12,883
BPCE SA 1.625% 2/10/17	6,953		6,944
Capital One Bank NA 0.8591% 2/13/17 (e)	6,953		6,924
Capital One NA 2.35% 8/17/18	10,500		10,505
Citigroup, Inc.:
0.603% 6/9/16 (e)	4,867		4,852
1.2799% 7/25/16 (e)	2,830		2,837
1.3% 11/15/16	9,531		9,545
1.55% 8/14/17	27,810		27,762
1.7% 4/27/18	5,000		4,979
1.85% 11/24/17	6,953		6,956
2.15% 7/30/18	5,000		5,030
2.5% 9/26/18	11,000		11,160
2.5% 7/29/19	5,562		5,610
Citizens Bank NA:
1.6% 12/4/17	10,429		10,319
2.3% 12/3/18	4,160		4,004
Commonwealth Bank of Australia 1.125% 3/13/17	11,166		11,162
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Credit Suisse New York Branch:
0.8967% 5/26/17 (e)	$ 6,953		$ 6,929
1.375% 5/26/17	21,414		21,360
1.75% 1/29/18	13,905		13,891
Discover Bank:
2% 2/21/18	14,190		14,121
2.6% 11/13/18	5,000		5,018
Fifth Third Bancorp 4.5% 6/1/18	4,867		5,148
Fifth Third Bank 2.15% 8/20/18	6,425		6,466
HSBC Bank PLC 1.5% 5/15/18 (c)	6,230		6,189
HSBC U.S.A., Inc.:
1.5% 11/13/17	5,562		5,544
1.7% 3/5/18	6,953		6,939
Huntington National Bank 2% 6/30/18	10,530		10,510
ING Bank NV 1.8% 3/16/18 (c)	5,562		5,541
Intesa Sanpaolo SpA:
2.375% 1/13/17	23,397		23,505
3.875% 1/16/18	7,000		7,204
JPMorgan Chase & Co.:
1.35% 2/15/17	39,004		39,015
2.2% 10/22/19	3,329		3,334
2.35% 1/28/19	2,485		2,512
KeyBank NA 1.7% 6/1/18	7,948		7,920
La Caisse Centrale 1.75% 1/29/18 (c)	6,953		6,909
Lloyds Bank PLC 1.75% 3/16/18	5,945		5,943
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (c)	7,940		7,902
Mizuho Bank Ltd.:
0.7755% 9/25/17 (c)(e)	10,429		10,395
1.55% 10/17/17 (c)	17,983		17,905
MUFG Americas Holdings Corp. 1.625% 2/9/18	1,552		1,543
MUFG Union Bank NA 1.5% 9/26/16	4,128		4,143
Nordea Bank AB 1.875% 9/17/18 (c)	10,000		9,978
PNC Bank NA:
1.5% 2/23/18	6,953		6,933
1.8% 11/5/18	10,000		9,993
Regions Financial Corp. 2% 5/15/18	10,937		10,891
Royal Bank of Canada:
1.2% 1/23/17	6,933		6,948
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Royal Bank of Canada: - continued
1.5% 1/16/18	$ 11,875		$ 11,864
2.2% 7/27/18	6,258		6,330
Royal Bank of Scotland Group PLC 1.2666% 3/31/17 (e)	29,971		29,939
Sumitomo Mitsui Banking Corp.:
1.3% 1/10/17	13,905		13,879
1.45% 7/19/16	12,550		12,582
1.75% 1/16/18	6,953		6,938
1.8% 7/18/17	9,178		9,189
SunTrust Banks, Inc. 3.5% 1/20/17	7,094		7,247
Wells Fargo & Co. 1.5% 1/16/18	13,905		13,892
Wells Fargo Bank NA 0.5716% 5/16/16 (e)	7,659		7,655
Westpac Banking Corp.:
1.2% 5/19/17	17,382		17,373
1.5% 12/1/17	10,429		10,433
2% 8/14/17	10,819		10,917
			744,454
Capital Markets - 3.3%
Deutsche Bank AG London Branch 1.4% 2/13/17	24,334		24,240
Goldman Sachs Group, Inc.:
1.0476% 5/22/17 (e)	10,000		9,994
1.748% 9/15/17	19,963		19,955
2.375% 1/22/18	11,882		12,034
2.625% 1/31/19	16,953		17,260
JPMorgan Chase & Co. 1.7% 3/1/18	24,334		24,307
Lazard Group LLC 6.85% 6/15/17	205		219
Morgan Stanley:
1.875% 1/5/18	13,953		14,008
2.375% 7/23/19	5,030		5,064
2.5% 1/24/19	13,000		13,208
5.45% 1/9/17	11,124		11,621
UBS AG Stamford Branch:
1.375% 6/1/17	3,960		3,948
1.375% 8/14/17	10,805		10,765
1.8% 3/26/18	7,793		7,802
			174,425
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - 2.1%
American Express Credit Corp.:
1.125% 6/5/17	$ 14,114		$ 14,059
2.8% 9/19/16	3,808		3,864
American Honda Finance Corp. 1.5% 9/11/17 (c)	3,585		3,585
Discover Financial Services 6.45% 6/12/17	16,591		17,665
Ford Motor Credit Co. LLC:
1.461% 3/27/17	5,562		5,516
1.684% 9/8/17	10,582		10,487
2.145% 1/9/18	6,953		6,929
2.24% 6/15/18	5,996		5,962
3% 6/12/17	19,307		19,541
Hyundai Capital America:
1.45% 2/6/17 (c)	7,209		7,178
2% 3/19/18 (c)	6,953		6,889
2.125% 10/2/17 (c)	7,941		7,925
John Deere Capital Corp. 1.6% 7/13/18	1,859		1,859
Synchrony Financial 1.875% 8/15/17	1,289		1,286
			112,745
Diversified Financial Services - 0.7%
AIG Global Funding 1.65% 12/15/17 (c)	6,953		6,965
Berkshire Hathaway Finance Corp.:
0.6206% 1/12/18 (e)	6,953		6,944
1.6% 5/15/17	6,953		7,009
Berkshire Hathaway, Inc. 1.55% 2/9/18	6,071		6,088
IntercontinentalExchange, Inc.:
2.5% 10/15/18	4,297		4,342
2.75% 12/1/20	1,853		1,859
McGraw Hill Financial, Inc. 2.5% 8/15/18 (c)	3,262		3,284
			36,491
Insurance - 2.3%
ACE INA Holdings, Inc. 2.3% 11/3/20	3,571		3,548
AFLAC, Inc. 2.4% 3/16/20	12,291		12,357
American International Group, Inc.:
2.3% 7/16/19	12,995		12,998
5.85% 1/16/18	6,539		7,090
Aon Corp. 5% 9/30/20	4,968		5,462
Assurant, Inc. 2.5% 3/15/18	6,953		7,001
Marsh & McLennan Companies, Inc. 2.55% 10/15/18	6,393		6,478
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
MetLife, Inc.:
1.756% 12/15/17 (e)	$ 2,606		$ 2,617
1.903% 12/15/17 (e)	1,118		1,125
Metropolitan Life Global Funding I:
1.3% 4/10/17 (c)	10,429		10,449
1.5% 1/10/18 (c)	13,857		13,823
New York Life Global Funding 1.55% 11/2/18 (c)	10,650		10,589
Pricoa Global Funding I:
1.15% 11/25/16 (c)	4,193		4,197
1.9% 9/21/18 (c)	5,000		5,007
Principal Life Global Funding II 2.25% 10/15/18 (c)	10,070		10,155
Prudential Financial, Inc. 2.3% 8/15/18	5,774		5,824
Symetra Financial Corp. 6.125% 4/1/16 (c)	2,979		3,020
TIAA Asset Management Finance LLC 2.95% 11/1/19 (c)	1,504		1,516
			123,256
Real Estate Investment Trusts - 0.8%
Boston Properties, Inc. 3.7% 11/15/18	8,825		9,173
DDR Corp. 9.625% 3/15/16	1,821		1,863
Equity One, Inc. 6.25% 1/15/17	250		261
ERP Operating LP 2.375% 7/1/19	6,575		6,599
HCP, Inc. 3.75% 2/1/16	3,372		3,388
Health Care Property Investors, Inc. 6% 1/30/17	8,202		8,588
Health Care REIT, Inc.:
2.25% 3/15/18	2,467		2,466
4.7% 9/15/17	5,857		6,138
Select Income REIT 2.85% 2/1/18	2,492		2,494
			40,970
Real Estate Management & Development - 0.7%
Brandywine Operating Partnership LP 6% 4/1/16	10,114		10,260
Essex Portfolio LP 5.5% 3/15/17	5,190		5,427
Mack-Cali Realty LP:
2.5% 12/15/17	4,214		4,182
5.8% 1/15/16	879		883
Ventas Realty LP:
1.25% 4/17/17	2,663		2,647
1.55% 9/26/16	2,618		2,626
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	$ 3,769		$ 3,765
Washington Prime Group LP 3.85% 4/1/20	8,149		8,252
			38,042
TOTAL FINANCIALS			1,270,383
HEALTH CARE - 3.3%
Biotechnology - 1.0%
AbbVie, Inc.:
1.75% 11/6/17	10,200		10,236
1.8% 5/14/18	13,720		13,704
2.5% 5/14/20	8,000		7,950
Amgen, Inc.:
1.25% 5/22/17	10,916		10,887
2.2% 5/22/19	8,204		8,200
Celgene Corp. 2.125% 8/15/18	4,784		4,802
			55,779
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 1.8% 12/15/17	7,045		7,061
Medtronic, Inc. 1.5% 3/15/18	8,483		8,511
Zimmer Biomet Holdings, Inc. 2% 4/1/18	10,317		10,292
			25,864
Health Care Providers & Services - 0.5%
Cardinal Health, Inc. 1.95% 6/15/18	1,536		1,538
Express Scripts Holding Co. 1.25% 6/2/17	13,725		13,649
UnitedHealth Group, Inc. 1.9% 7/16/18	9,338		9,414
WellPoint, Inc. 1.875% 1/15/18	3,160		3,168
			27,769
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	1,639		1,636
2.15% 12/14/18	2,650		2,650
			4,286
Pharmaceuticals - 1.2%
Actavis Funding SCS:
1.416% 3/12/18 (e)	13,905		13,948
2.35% 3/12/18	13,905		14,031
3% 3/12/20	4,517		4,574
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
Bayer U.S. Finance LLC:
1.5% 10/6/17 (c)	$ 11,490		$ 11,504
2.375% 10/8/19 (c)	6,535		6,576
Mylan, Inc. 1.35% 11/29/16	1,940		1,928
Perrigo Co. PLC 1.3% 11/8/16	1,638		1,627
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	2,042		2,045
Zoetis, Inc.:
1.15% 2/1/16	5,270		5,272
1.875% 2/1/18	940		932
3.45% 11/13/20	1,485		1,497
			63,934
TOTAL HEALTH CARE			177,632
INDUSTRIALS - 0.8%
Aerospace & Defense - 0.3%
L-3 Communications Corp. 1.5% 5/28/17	5,013		4,920
Lockheed Martin Corp. 1.85% 11/23/18	10,380		10,394
			15,314
Airlines - 0.0%
Continental Airlines, Inc. 6.795% 2/2/20	25		25
Industrial Conglomerates - 0.3%
Danaher Corp. 1.65% 9/15/18	12,080		12,100
Roper Industries, Inc. 2.05% 10/1/18	5,000		4,970
			17,070
Trading Companies & Distributors - 0.2%
Air Lease Corp.:
2.125% 1/15/18	2,733		2,693
2.625% 9/4/18	5,039		4,997
			7,690
TOTAL INDUSTRIALS			40,099
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - 1.5%
Communications Equipment - 0.3%
Cisco Systems, Inc.:
1.1% 3/3/17	$ 8,114		$ 8,138
1.65% 6/15/18	10,400		10,468
			18,606
Electronic Equipment & Components - 0.7%
Amphenol Corp. 1.55% 9/15/17	9,409		9,384
Tyco Electronics Group SA:
2.375% 12/17/18	1,203		1,209
6.55% 10/1/17	22,961		24,967
			35,560
IT Services - 0.2%
The Western Union Co.:
2.875% 12/10/17	8,554		8,688
3.65% 8/22/18	3,229		3,324
			12,012
Technology Hardware, Storage & Peripherals - 0.3%
Hewlett Packard Enterprise Co. 2.85% 10/5/18 (c)	14,730		14,780
TOTAL INFORMATION TECHNOLOGY			80,958
MATERIALS - 1.0%
Chemicals - 0.6%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (c)	15,080		14,955
Ecolab, Inc.:
1.45% 12/8/17	3,216		3,197
1.55% 1/12/18	10,492		10,400
Sherwin-Williams Co. 1.35% 12/15/17	5,980		5,939
			34,491
Metals & Mining - 0.4%
Anglo American Capital PLC 1.2705% 4/15/16 (c)(e)	6,350		6,324
Freeport-McMoRan, Inc. 2.3% 11/14/17	3,449		3,113
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Rio Tinto Finance (U.S.A.) PLC:
1.1743% 6/17/16 (e)	$ 4,867		$ 4,870
1.625% 8/21/17	6,049		6,007
			20,314
TOTAL MATERIALS			54,805
TELECOMMUNICATION SERVICES - 2.4%
Diversified Telecommunication Services - 2.0%
AT&T, Inc.:
1.4% 12/1/17	5,980		5,971
2.45% 6/30/20	5,486		5,396
2.95% 5/15/16	11,521		11,629
BellSouth Corp. 4.821% 4/26/16 (c)(e)	8,500		8,624
British Telecommunications PLC:
1.25% 2/14/17	12,690		12,659
1.625% 6/28/16	9,608		9,639
2.35% 2/14/19	5,701		5,723
CenturyLink, Inc. 5.15% 6/15/17	7,745		7,977
Deutsche Telekom International Financial BV 3.125% 4/11/16 (c)	6,007		6,052
Verizon Communications, Inc.:
2% 11/1/16	12,568		12,673
2.5% 9/15/16	19,918		20,145
			106,488
Wireless Telecommunication Services - 0.4%
America Movil S.A.B. de CV:
1.336% 9/12/16 (e)	7,161		7,161
2.375% 9/8/16	8,389		8,456
Vodafone Group PLC 1.5% 2/19/18	5,562		5,541
			21,158
TOTAL TELECOMMUNICATION SERVICES			127,646
UTILITIES - 3.6%
Electric Utilities - 2.0%
American Electric Power Co., Inc. 1.65% 12/15/17	8,606		8,543
Cleveland Electric Illuminating Co. 5.7% 4/1/17	2,639		2,743
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Duke Energy Corp.:
0.704% 4/3/17 (e)	$ 9,375		$ 9,354
1.625% 8/15/17	3,436		3,442
2.1% 6/15/18	10,853		10,942
Eversource Energy 1.45% 5/1/18	1,658		1,633
Exelon Corp.:
1.55% 6/9/17	1,035		1,032
2.85% 6/15/20	1,524		1,528
FirstEnergy Corp. 2.75% 3/15/18	18,853		18,932
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	10,054		10,030
Pacific Gas & Electric Co. 5.625% 11/30/17	9,614		10,325
TECO Finance, Inc.:
0.9196% 4/10/18 (e)	10,800		10,729
4% 3/15/16	2,677		2,697
Xcel Energy, Inc. 0.75% 5/9/16	13,905		13,902
			105,832
Independent Power and Renewable Electricity Producers - 0.2%
Southern Power Co.:
1.5% 6/1/18	7,838		7,694
1.85% 12/1/17	2,118		2,120
			9,814
Multi-Utilities - 1.4%
Berkshire Hathaway Energy Co. 1.1% 5/15/17	19,433		19,299
Dominion Resources, Inc.:
1.4% 9/15/17	3,761		3,730
1.9% 6/15/18	8,442		8,408
1.95% 8/15/16	4,155		4,177
2.5% 12/1/19	9,562		9,560
2.6266% 9/30/66 (e)	5,292		4,127
Sempra Energy 2.3% 4/1/17	17,962		18,101
Wisconsin Energy Corp. 1.65% 6/15/18	10,003		9,972
			77,374
TOTAL UTILITIES			193,020
TOTAL NONCONVERTIBLE BONDS (Cost $2,454,245)		2,449,200
U.S. Treasury Obligations - 19.9%
	Principal Amount (000s)		Value (000s)
U.S. Treasury Notes:
0.5% 7/31/17 (d)	$ 227,479		$ 226,128
0.875% 10/15/17	130,811		130,719
1% 5/15/18	163,484		163,082
1.25% 11/15/18	517,654		518,062
1.375% 2/28/19	22,189		22,228
TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,060,386)		1,060,219
U.S. Government Agency - Mortgage Securities - 2.3%

Fannie Mae - 1.5%
2.234% 1/1/40 (e)	1,300		1,378
2.274% 11/1/34 (e)	566		595
2.298% 3/1/40 (e)	858		911
2.301% 2/1/40 (e)	2,223		2,357
2.31% 12/1/39 (e)	336		358
2.311% 1/1/40 (e)	2,138		2,273
2.321% 2/1/35 (e)	976		1,028
2.342% 10/1/35 (e)	3,760		3,961
2.403% 11/1/36 (e)	1,274		1,349
2.424% 5/1/35 (e)	967		1,025
2.431% 12/1/34 (e)	505		537
2.435% 2/1/40 (e)	615		654
2.458% 3/1/40 (e)	954		1,015
2.476% 12/1/33 (e)	461		489
2.478% 7/1/35 (e)	870		924
2.516% 4/1/35 (e)	1,485		1,573
2.543% 10/1/41 (e)	1,952		2,076
2.557% 6/1/42 (e)	731		752
2.56% 11/1/34 (e)	4,018		4,273
2.673% 9/1/41 (e)	2,891		3,074
2.686% 2/1/42 (e)	3,961		4,107
2.756% 1/1/42 (e)	3,496		3,629
2.951% 11/1/40 (e)	431		449
2.98% 9/1/41 (e)	481		502
2.991% 10/1/41 (e)	209		218
3.022% 8/1/41 (e)	565		592
3.243% 7/1/41 (e)	778		820
3.3% 10/1/41 (e)	386		403
3.5% 1/1/26 to 9/1/29	23,246		24,534
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
3.553% 7/1/41 (e)	$ 898		$ 946
5.5% 10/1/17 to 11/1/34	13,435		15,007
6.5% 1/1/16 to 8/1/17	52		54
7% 12/1/15 to 11/1/18	20		21
7.5% 11/1/31	2		2
TOTAL FANNIE MAE			81,886
Freddie Mac - 0.8%
2.255% 11/1/35 (e)	649		684
2.361% 10/1/42 (e)	3,967		4,196
2.41% 4/1/40 (e)	733		777
2.519% 8/1/36 (e)	431		456
2.527% 2/1/40 (e)	1,131		1,204
2.53% 4/1/40 (e)	721		768
2.979% 8/1/41 (e)	1,530		1,627
3% 8/1/21	3,963		4,115
3.141% 9/1/41 (e)	933		974
3.211% 9/1/41 (e)	504		527
3.226% 4/1/41 (e)	537		562
3.293% 6/1/41 (e)	569		600
3.451% 5/1/41 (e)	463		482
3.5% 8/1/26	12,940		13,615
3.617% 6/1/41 (e)	802		849
3.706% 5/1/41 (e)	705		747
4% 9/1/25 to 4/1/26	4,622		4,944
4.5% 8/1/18 to 11/1/18	2,988		3,099
5% 4/1/20	1,335		1,391
8.5% 5/1/27 to 7/1/28	116		139
TOTAL FREDDIE MAC			41,756
Ginnie Mae - 0.0%
7% 11/15/27 to 8/15/32	775		904
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $122,786)		124,546
Asset-Backed Securities - 15.6%
	Principal Amount (000s)		Value (000s)
Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured)	$ 813		$ 787
Series 2005-1 Class M1, 0.926% 4/25/35 (e)	311		281
ACE Securities Corp. Home Equity Loan Trust:
Series 2004-HE1 Class M2, 1.847% 3/25/34 (e)	46		44
Series 2006-OP1 Class M1, 0.477% 4/25/36 (e)	5,562		1,866
Ally Auto Receivables Trust:
Series 2014-SN1 Class A3, 0.75% 2/21/17	6,831		6,828
Series 2015-1 Class A3, 1.39% 9/16/19	7,378		7,344
Series 2015-SN1 Class A3, 1.21% 12/20/17	3,583		3,578
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	3,525		3,538
Series 2012-5 Class A, 1.54% 9/15/19	16,078		16,052
Series 2014-1 Class A2, 1.29% 1/15/19	5,000		4,996
Series 2014-3 Class A, 1.33% 3/15/19	25,279		25,246
Series 2014-4 Class A2, 1.43% 6/17/19	10,394		10,370
Series 2014-5 Class A2, 1.6% 10/15/19	20,858		20,871
Series 2015-3 Class A, 1.63% 5/15/20	10,590		10,528
American Express Credit Account Master Trust:
Series 2014-2 Class A, 1.26% 1/15/20	10,945		10,957
Series 2014-3 Class A, 1.49% 4/15/20	13,905		13,951
AmeriCredit Automobile Receivables Trust:
Series 2013-1 Class A3, 0.61% 10/10/17	36		36
Series 2013-5 Class A3, 0.9% 9/10/18	6,029		6,024
Series 2014-1 Class A3, 0.9% 2/8/19	4,811		4,804
Series 2014-2 Class A3, 0.94% 2/8/19	10,902		10,869
Series 2014-4 Class A3, 1.27% 7/8/19	2,597		2,591
Series 2015-2 Class A3, 1.27% 1/8/20	8,000		7,936
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2004-R2 Class M3, 1.022% 4/25/34 (e)	42		32
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.001% 3/25/34 (e)	263		241
Series 2004-W7 Class M1, 1.022% 5/25/34 (e)	158		148
Series 2006-W4 Class A2C, 0.357% 5/25/36 (e)	540		191
Asset Backed Securities Corp. Home Equity Loan Trust Series 2006-HE2 Class M1, 0.591% 3/25/36 (e)	5		0
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20	10,711		10,683
Capital Auto Receivables Asset Trust:
Series 2014-2 Class A2, 0.91% 4/20/17	5,780		5,778
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Capital Auto Receivables Asset Trust: - continued
Series 2014-3 Class A2, 1.18% 12/20/17	$ 8,109		$ 8,106
Series 2015-1 Class A2, 1.42% 6/20/18	6,953		6,947
Series 2015-2 Class A2, 1.39% 9/20/18	5,488		5,474
Capital One Multi-Asset Execution Trust:
Series 2013-A3 Class A3, 0.96% 9/16/19	9,123		9,120
Series 2014-A5 Class A, 1.48% 7/15/20	13,314		13,344
Series 2015-A1 Class A, 1.39% 1/15/21	15,180		15,132
Carmax Auto Owner Trust:
Series 2015-1 Class A3, 1.38% 11/15/19	5,237		5,223
Series 2015-3 Class A3, 1.63% 5/15/20	5,000		4,991
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.337% 12/25/36 (e)	844		566
CFC LLC:
Series 2013-2A Class A, 1.75% 11/15/17 (c)	262		262
Series 2014-1A Class A, 1.46% 12/17/18 (c)	1,760		1,759
Chase Issuance Trust:
Series 2013-A8 Class A8, 1.01% 10/15/18	6,953		6,957
Series 2014-A7 Class A, 1.38% 11/15/19	13,063		13,062
Series 2015-A2, Class A, 1.59% 2/18/20	6,953		6,973
Series 2015-A7 Class A7, 1.62% 7/15/20	10,463		10,485
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (c)	14,350		14,301
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (c)	7,512		7,518
Series 2014-VT1 Class A3, 1.5% 10/21/19 (c)	7,766		7,736
Citibank Credit Card Issuance Trust:
Series 2013-A6 Class A6, 1.32% 9/7/18	14,370		14,414
Series 2014-A2 Class A2, 1.02% 2/22/19	11,159		11,158
Series 2014-A4 Class A4, 1.23% 4/24/19	10,881		10,891
Series 2014-A8 Class A8, 1.73% 4/9/20	13,905		13,969
Countrywide Home Loans, Inc.:
Series 2004-2 Class 3A4, 0.721% 7/25/34 (e)	210		182
Series 2004-3 Class M4, 1.676% 4/25/34 (e)	31		28
Series 2004-4 Class M2, 0.992% 6/25/34 (e)	47		43
Dell Equipment Finance Trust:
Series 2014-1 Class A3, 0.94% 6/22/20 (c)	5,910		5,908
Series 2015-1 Class A3, 1.3% 3/23/20 (c)	5,000		4,971
Series 2015-2 Class A2A, 1.42% 12/22/17 (c)	5,500		5,490
Discover Card Master Trust:
Series 2013-A5 Class A5, 1.04% 4/15/19	12,156		12,167
Series 2014-A3 Class A3, 1.22% 10/15/19	10,881		10,890
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Discover Card Master Trust: - continued
Series 2014-A5 Class A, 1.39% 4/15/20	$ 10,429		$ 10,439
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (c)	4,965		4,950
Series 2014-2 Class A2, 1.05% 3/20/20 (c)	13,853		13,789
Series 2015-1 Class A2, 1.3% 9/20/20 (c)	10,429		10,408
Fannie Mae Series 2004-T5:
Class AB1, 0.7227% 5/28/35 (e)	441		412
Class AB3, 1.0288% 5/28/35 (e)	190		176
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.372% 8/25/34 (e)	196		185
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18	8,000		7,978
Ford Credit Auto Owner Trust Series 2015-C Class A3, 1.41% 2/15/20	7,723		7,710
Ford Credit Floorplan Master Owner Trust:
Series 2012-2 Class A, 1.92% 1/15/19	7,294		7,342
Series 2012-5 Class A, 1.49% 9/15/19	34,154		34,040
Series 2014-1 Class A1, 1.2% 2/15/19	14,283		14,256
Series 2014-4 Class A1, 1.4% 8/15/19	26,845		26,777
Series 2015-1 Class A1, 1.42% 1/15/20	8,691		8,655
Series 2015-4 Class A1, 1.77% 8/15/20	8,300		8,328
Fremont Home Loan Trust:
Series 2004-D:
Class M4, 1.622% 11/25/34 (e)	285		30
Class M5, 1.697% 11/25/34 (e)	92		2
Series 2005-A:
Class M3, 0.932% 1/25/35 (e)	444		388
Class M4, 1.217% 1/25/35 (e)	163		89
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7732% 2/25/47 (c)(e)	510		459
GE Business Loan Trust Series 2006-2A:
Class A, 0.377% 11/15/34 (c)(e)	95		90
Class B, 0.477% 11/15/34 (c)(e)	34		32
Class C, 0.577% 11/15/34 (c)(e)	57		51
Class D, 0.947% 11/15/34 (c)(e)	22		18
GE Equipment Small Ticket LLC Series 2013-1A Class A3, 1.02% 2/24/17 (c)	2,670		2,670
GE Equipment Transportation LLC:
Series 2012-2 Class A4, 0.92% 9/25/17	4,180		4,179
Series 2014-1 Class A3, 0.97% 4/23/18	8,168		8,156
Series 2015-1 Class A3, 1.28% 2/25/19	6,605		6,615
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
GM Financial Automobile Leasing Trust:
Series 2014-1A Class A3, 1.01% 5/22/17 (c)	$ 8,860		$ 8,856
Series 2014-2A Class A3, 1.22% 1/22/18 (c)	10,790		10,786
Series 2015-1 Class A3, 1.53% 9/20/18	9,034		9,019
Series 2015-2 Class A3, 1.68% 12/20/18	7,804		7,778
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (c)	9,353		9,285
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.541% 8/25/33 (e)	45		42
Series 2003-3 Class M1, 1.511% 8/25/33 (e)	210		200
Series 2003-5 Class A2, 0.921% 12/25/33 (e)	142		133
Series 2004-1 Class M2, 1.921% 6/25/34 (e)	172		155
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.387% 1/25/37 (e)	627		403
Hyundai Auto Lease Securitization Trust:
Series 2014-B Class A3, 0.98% 11/15/17 (c)	13,502		13,486
Series 2015-A Class A3, 1.42% 9/17/18 (c)	9,338		9,348
Series 2015-B Class A3, 1.4% 11/15/18 (c)	9,891		9,858
Hyundai Auto Receivables Trust Series 2015-C Class A3, 1.46% 2/18/20	7,601		7,597
Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.547% 5/15/18 (c)(e)	11,309		11,294
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.521% 7/25/36 (e)	42		19
Series 2007-CH1 Class AV4, 0.327% 11/25/36 (e)	93		93
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.6564% 12/27/29 (e)	51		51
Series 2006-A Class 2C, 1.4764% 3/27/42 (e)	359		181
Long Beach Mortgage Loan Trust Series 2006-6 Class 2A3, 0.347% 7/25/36 (e)	5,494		2,590
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.497% 5/25/37 (e)	219		3
Mercedes Benz Auto Lease Trust Series 2015-B Class A3, 1.34% 7/16/18	5,500		5,487
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	12,088		12,089
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.947% 7/25/34 (e)	19		16
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.172% 7/25/34 (e)	42		39
Series 2006-FM1 Class A2B, 0.331% 4/25/37 (e)	101		100
Series 2006-OPT1 Class A1A, 0.717% 6/25/35 (e)	501		484
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.877% 8/25/34 (e)	$ 255		$ 236
Series 2005-NC1 Class M1, 0.857% 1/25/35 (e)	125		117
Series 2005-NC2 Class B1, 1.952% 3/25/35 (e)	91		1
Series 2006-NC4 Class A2D, 0.461% 6/25/36 (e)	4,961		3,261
Nissan Auto Lease Trust Series 2014-A Class A3, 0.8% 2/15/17	5,997		5,994
Nissan Auto Receivables Owner Trust Series 2015-C Class A3, 1.37% 5/15/20	7,593		7,567
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	10,429		10,383
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0436% 10/30/45 (e)	1,227		1,192
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.072% 9/25/34 (e)	2,300		2,155
Class M4, 2.372% 9/25/34 (e)	320		206
Series 2005-WCH1 Class M4, 1.442% 1/25/36 (e)	691		616
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.997% 4/25/33 (e)	2		2
Santander Drive Auto Receivables Trust:
Series 2014-3 Class A3, 0.81% 7/16/18	9,039		9,033
Series 2014-4 Class B, 1.82% 5/15/19	5,080		5,091
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.992% 3/25/35 (e)	357		331
SLM Private Credit Student Loan Trust:
Series 2004-A:
Class B, 0.9172% 6/15/33 (e)	674		638
Class C, 1.2872% 6/15/33 (e)	1,987		1,931
Series 2004-B:
Class A2, 0.5372% 6/15/21 (e)	1,279		1,271
Class C, 1.2072% 9/15/33 (e)	2,169		2,082
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.946% 9/25/34 (e)	28		24
Synchrony Credit Card Master Note Trust:
Series 2015-2 Class A, 1.6% 4/15/21	10,500		10,466
Series 2015-3 class A, 1.74% 9/15/21	10,000		9,991
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.057% 9/25/34 (e)	268		235
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8871% 4/6/42 (c)(e)	272		139
Volkswagen Auto Lease Trust:
Series 2014-A Class A3, 0.8% 4/20/17	7,961		7,949
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Volkswagen Auto Lease Trust: - continued
Series 2015-A Class A3, 1.25% 12/20/17	$ 4,315		$ 4,282
Volkswagen Auto Loan Enhanced Trust Series 2014-1 Class A3, 0.91% 10/22/18	7,187		7,138
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (c)	6,774		6,695
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (c)	8,516		8,528
Whinstone Capital Management Ltd. Series 1A Class B3, 2.1199% 10/25/44 (c)(e)	3,884		3,881
World Omni Automobile Lease Securitization Trust Series 2015-A Class A3, 1.54% 10/15/18	7,910		7,879
TOTAL ASSET-BACKED SECURITIES (Cost $839,654)		831,567
Collateralized Mortgage Obligations - 2.0%

Private Sponsor - 1.4%
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.4592% 4/26/36 (c)(e)	1,894		1,850
Credit Suisse Mortgage Trust:
Series 2011-17R Class 2A1, 3.4% 12/27/37 (c)(e)	479		481
Series 2012-2R Class 1A1, 2.7363% 5/27/35 (c)(e)	3,132		3,223
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.3068% 12/20/54 (e)	49		49
Series 2006-1A:
Class A5, 0.3468% 12/20/54 (c)(e)	6,546		6,541
Class C2, 1.4068% 12/20/54 (c)(e)	2,900		2,896
Series 2006-2:
Class A4, 0.2868% 12/20/54 (e)	933		933
Class C1, 1.1468% 12/20/54 (e)	10,492		10,478
Class M2, 0.6668% 12/20/54 (e)	2,086		2,084
Series 2006-3 Class C2, 1.2068% 12/20/54 (e)	4,597		4,591
Series 2006-4:
Class A4, 0.3068% 12/20/54 (e)	1,697		1,696
Class B1, 0.3868% 12/20/54 (e)	9,293		9,284
Class C1, 0.9668% 12/20/54 (e)	5,682		5,675
Class M1, 0.5468% 12/20/54 (e)	2,448		2,446
Series 2007-1:
Class 1C1, 0.8068% 12/20/54 (e)	932		931
Class 1M1, 0.5068% 12/20/54 (e)	613		612
Class 2C1, 1.0668% 12/20/54 (e)	425		424
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2007-1:
Class 2M1, 0.7068% 12/20/54 (e)	$ 788		$ 787
Class 3A1, 0.4068% 12/20/54 (e)	1,731		1,730
Series 2007-2:
Class 2C1, 1.0573% 12/17/54 (e)	1,091		1,090
Class 3A1, 0.3773% 12/17/54 (e)	361		361
Granite Mortgages Series 2003-2 Class 1A3, 0.8172% 7/20/43 (e)	1,026		1,025
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.7172% 1/20/44 (e)	230		230
Class 1C, 2.7672% 1/20/44 (e)	1,838		1,835
Series 2004-1 Class 2A1, 0.6651% 3/20/44 (e)	4,547		4,544
Series 2004-3 Class 2A1, 0.6251% 9/20/44 (e)	1,141		1,140
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.407% 5/25/47 (e)	242		223
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.391% 2/25/37 (e)	315		282
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 3% 11/25/25 (c)	5,381		5,381
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.5469% 6/10/35 (c)(e)	114		104
Class B6, 3.0469% 6/10/35 (c)(e)	19		18
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (e)	11		10
TOTAL PRIVATE SPONSOR			72,954
U.S. Government Agency - 0.6%
Fannie Mae:
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	3,697		3,899
planned amortization class Series 2012-94 Class E, 3% 6/25/22	1,931		1,979
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	429		483
Series 2009-31 Class A, 4% 2/25/24	399		409
Freddie Mac:
planned amortization class:
Series 2382 Class MB, 6% 11/15/16	79		81
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Freddie Mac: - continued
planned amortization class:
Series 3820 Class DA, 4% 11/15/35	$ 2,941		$ 3,082
Series 3949 Class MK, 4.5% 10/15/34	2,256		2,428
Series 4221-CLS Class GA, 1.4% 7/15/23	10,576		10,470
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2015-H17 Class HA, 2.5% 5/20/65 (g)	9,702		9,862
TOTAL U.S. GOVERNMENT AGENCY			32,693
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $99,728)		105,647
Commercial Mortgage Securities - 9.1%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4559% 2/14/43 (e)(f)	797		8
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46	5,364		5,421
Series 2006-4 Class A1A, 5.617% 7/10/46 (e)	9,837		9,950
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.3458% 5/15/32 (c)(e)	6,872		6,810
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.496% 12/25/33 (c)(e)	22		19
Series 2005-4A:
Class A2, 0.611% 1/25/36 (c)(e)	1,451		1,284
Class B1, 1.621% 1/25/36 (c)(e)	56		35
Class M1, 0.671% 1/25/36 (c)(e)	463		376
Class M2, 0.691% 1/25/36 (c)(e)	151		119
Class M3, 0.721% 1/25/36 (c)(e)	200		151
Class M4, 0.831% 1/25/36 (c)(e)	111		82
Class M5, 0.871% 1/25/36 (c)(e)	111		82
Class M6, 0.921% 1/25/36 (c)(e)	113		75
Series 2006-3A Class M4, 0.651% 10/25/36 (c)(e)	21		2
Series 2007-1 Class A2, 0.491% 3/25/37 (c)(e)	879		736
Series 2007-2A:
Class A1, 0.491% 7/25/37 (c)(e)	171		147
Class A2, 0.541% 7/25/37 (c)(e)	160		128
Class M1, 0.591% 7/25/37 (c)(e)	82		63
Class M2, 0.631% 7/25/37 (c)(e)	46		32
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-2A:
Class M3, 0.711% 7/25/37 (c)(e)	$ 35		$ 22
Series 2007-3:
Class A2, 0.511% 7/25/37 (c)(e)	218		176
Class M1, 0.531% 7/25/37 (c)(e)	164		124
Class M2, 0.561% 7/25/37 (c)(e)	176		127
Class M3, 0.591% 7/25/37 (c)(e)	285		141
Class M4, 0.721% 7/25/37 (c)(e)	448		147
Class M5, 0.821% 7/25/37 (c)(e)	210		33
Series 2007-4A:
Class A2, 0.747% 9/25/37 (c)(e)	2,267		1,604
Class M1, 1.147% 9/25/37 (c)(e)	295		62
Series 2006-2A Class IO, 0% 7/25/36 (c)(e)(f)	14,864		0
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-PW13 Class A1A, 5.533% 9/11/41	8,609		8,766
Series 2006-PW14 Class A1A, 5.189% 12/11/38	3,426		3,521
Series 2006-T22 Class A1A, 5.6179% 4/12/38 (e)	6,102		6,134
Series 2006-PW12 Class A1A, 5.7074% 9/11/38 (e)	7,307		7,352
BXHTL Mortgage Trust Series 2015-JWRZ Class A, 1.23% 5/15/29 (c)(e)	6,870		6,810
C-BASS Trust floater Series 2006-SC1 Class A, 0.491% 5/25/36 (c)(e)	941		904
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	5,739		6,070
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.597% 12/15/27 (c)(e)	12,338		12,280
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	3,361		3,428
Series 2006-C4 Class A1A, 5.7922% 3/15/49 (e)	4,138		4,166
Series 2013-GC11 Class A1, 0.754% 4/10/46	2,374		2,358
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2006-CD2 Class A4, 5.3358% 1/15/46 (e)	129		129
Series 2006-CD2 Class A1B, 5.3368% 1/15/46 (e)	5,666		5,656
COMM Mortgage Trust floater Series 2014-KYO Class A, 1.096% 6/11/27 (c)(e)	15,295		15,215
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.047% 4/15/17 (c)(e)	59		59
sequential payer:
Series 2006-C7 Class A1A, 5.7532% 6/10/46 (e)	9,872		9,981
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
COMM Mortgage Trust pass-thru certificates: - continued
sequential payer:
Series 2006-C8:
Class A1A, 5.292% 12/10/46	$ 7,692		$ 7,897
Class A4, 5.306% 12/10/46	11,654		11,896
Commercial Mortgage Trust pass-thru certificates sequential payer Series 2012-CR2 Class A1, 0.824% 8/15/45	364		364
CSMC Series 2015-TOWN:
Class B, 2.097% 3/15/17 (c)(e)	1,412		1,403
Class C, 2.4458% 3/15/17 (c)(e)	1,376		1,366
Class D, 3.397% 3/15/17 (c)(e)	2,081		2,061
CSMC Trust floater Series 2014-ICE:
Class A, 0.9958% 4/15/27 (c)(e)	12,691		12,638
Class B, 1.3958% 4/15/27 (c)(e)	6,601		6,580
Del Coronado Trust floater Series 2013-HDC Class A, 0.9958% 3/15/26 (c)(e)	3,477		3,466
Freddie Mac:
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18	1,760		1,768
Series K707 Class A1, 1.615% 9/25/18	5,120		5,151
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.497% 12/15/16 (c)(e)	17,602		17,568
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2006-C1 Class A4, 5.2841% 3/10/44 (e)	152		152
Series 2006-C1 Class A1A, 5.2841% 3/10/44 (e)	4,344		4,353
Series 2007-C1 Class A1A, 5.483% 12/10/49 (e)	15,499		16,124
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A4, 5.8193% 7/10/38 (e)	6,406		6,449
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (c)	1,620		1,632
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1958% 7/15/31 (c)(e)	2,975		2,968
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	5,200		5,310
Class A4, 5.56% 11/10/39	11,129		11,170
Series 2012-GC6 Class A1, 1.282% 1/10/45	86		86
Series 2013-GC12 Class A1, 0.742% 6/10/46 (e)	2,550		2,531
Hilton U.S.A. Trust:
floater Series 2013-HLF Class AFL, 1.1922% 11/5/30 (c)(e)	5,724		5,710
Series 2013-HLT Class DFX, 4.4065% 11/5/30 (c)	1,502		1,502
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.446% 11/15/29 (c)(e)	$ 4,653		$ 4,653
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class E, 0.477% 11/15/18 (c)(e)	62		61
Class F, 0.527% 11/15/18 (c)(e)	127		122
Class G, 0.557% 11/15/18 (c)(e)	110		105
Class H, 0.697% 11/15/18 (c)(e)	121		116
Series 2014-BXH Class A, 1.097% 4/15/27 (c)(e)	9,734		9,722
Series 2014-FL5 Class A, 1.1758% 7/15/31 (c)(e)	7,092		7,045
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	9,948		10,099
Series 2006-LDP8 Class A4, 5.399% 5/15/45	9,300		9,373
Series 2007-CB18 Class A4, 5.44% 6/12/47	6,912		7,113
Series 2011-C3 Class A3, 4.3877% 2/15/46 (c)	5,252		5,516
Series 2013-C10, Class A1, 0.7302% 12/15/47	1,559		1,550
Series 13-LC11 Class A1, 0.7664% 4/15/46	4,940		4,906
Series 2006-LDP7 Class A1A, 5.9107% 4/15/45 (e)	11,224		11,377
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	883		883
Series 2006-C6 Class A4, 5.372% 9/15/39	2,315		2,356
Series 2007-C1 Class A4, 5.424% 2/15/40	11,424		11,729
Series 2007-C7 Class A3, 5.866% 9/15/45	4,405		4,676
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2% 9/15/28 (b)(c)	7,200		7,201
Merrill Lynch Mortgage Trust Series 2006-C2 Class A1A, 5.739% 8/12/43 (e)	8,329		8,465
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer Series 2007-5 Class A4, 5.378% 8/12/48	11,764		12,082
Series 2006-1 Class AM, 5.5135% 2/12/39 (e)	1,574		1,582
Morgan Stanley BAML Trust Series 2012-C5 Class A1, 0.916% 8/15/45	1,361		1,360
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.397% 7/15/19 (c)(e)	241		241
Series 2007-XLFA:
Class D, 0.3858% 10/15/20 (c)(e)	548		548
Class E, 0.4458% 10/15/20 (c)(e)	391		390
Class F, 0.4958% 10/15/20 (c)(e)	234		234
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust: - continued
floater:
Series 2007-XLFA:
Class G, 0.5358% 10/15/20 (c)(e)	$ 290		$ 289
Class H, 0.6258% 10/15/20 (c)(e)	262		260
Class J, 0.7758% 10/15/20 (c)(e)	152		148
sequential payer:
Series 2007-IQ13 Class A1A, 5.312% 3/15/44	3,100		3,206
Series 2007-IQ14 Class A2, 5.61% 4/15/49	1,254		1,254
Series 2012-C4 Class A1, 1.085% 3/15/45	1,156		1,155
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (e)	5,260		5,306
Series 2006-IQ11 Class A1A, 5.7465% 10/15/42 (e)	8,036		8,089
Series 2007-T27 Class A1A, 5.6454% 6/11/42 (e)	8,602		9,035
SCG Trust Series 2013-SRP1 Class A, 1.5958% 11/15/26 (c)(e)	6,227		6,201
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class A1, 0.8022% 4/10/46	2,158		2,143
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A Class J, 0.7993% 9/15/21 (c)(e)	198		188
sequential payer:
Series 2006-C29:
Class A1A, 5.297% 11/15/48	13,184		13,570
Class A4, 5.308% 11/15/48	2,349		2,388
Series 2007-C30 Class A5, 5.342% 12/15/43	2,040		2,102
Series 2006-C23 Class A1A, 5.422% 1/15/45	5,394		5,391
Series 2006-C24 Class A1A, 5.557% 3/15/45 (e)	6,041		6,073
Series 2006-C25 Class A1A, 5.715% 5/15/43 (e)	7,042		7,126
Series 2006-C26 Class A1A, 6.009% 6/15/45 (e)	8,799		8,913
Series 2006-C27 Class A3, 5.765% 7/15/45 (e)	6,167		6,191
Wells Fargo Commercial Mortgage Trust Series 2013-LC12 Class A1, 1.676% 7/15/46	8,142		8,123
WF-RBS Commercial Mortgage Trust:
sequential payer Series 2011-C5 Class A1, 1.456% 11/15/44	254		254
Series 2012-C8 Class A1, 0.864% 8/15/45	1,670		1,666
Series 2013-C13 Class A1, 0.778% 5/15/45	1,494		1,485
Series 2013-C14 Class A1, 0.836% 6/15/46	1,740		1,725
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.3178% 11/15/29 (c)(e)	6,172		6,140
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $504,617)		482,856
Municipal Securities - 0.2%
	Principal Amount (000s)		Value (000s)
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19 (Cost $9,841)	$ 9,135		$ 9,798
Supranational Obligations - 0.0%

International Bank for Reconstruction & Development 1% 6/15/18 (Cost $1,488)	1,490		1,480
Bank Notes - 2.6%

Bank of America NA:
1.25% 2/14/17	11,138		11,141
1.75% 6/5/18	10,000		9,988
5.3% 3/15/17	1,350		1,412
Barclays Bank PLC 2.5% 2/20/19	9,004		9,103
Branch Banking & Trust Co. 1.45% 10/3/16	13,905		13,955
Capital One Bank NA:
1.15% 11/21/16	4,148		4,145
1.2% 2/13/17	10,153		10,100
1.3% 6/5/17	9,732		9,654
Capital One NA:
1.5% 9/5/17	7,022		6,976
1.65% 2/5/18	10,429		10,344
Discover Bank 3.1% 6/4/20	5,008		5,061
KeyBank NA:
1.65% 2/1/18	4,023		4,013
2.5% 12/15/19	3,993		4,009
Manufacturers & Traders Trust Co. 1.4% 7/25/17	10,916		10,891
Marshall & Ilsley Bank 5% 1/17/17	477		493
PNC Bank NA 1.15% 11/1/16	6,928		6,936
Regions Bank 7.5% 5/15/18	744		831
Regions Financial Corp. 2.25% 9/14/18	10,000		10,021
Union Bank NA 3% 6/6/16	6,953		7,030
TOTAL BANK NOTES (Cost $136,133)		136,103

Money Market Funds - 2.4%
	Shares		Value (000s)
Fidelity Cash Central Fund, 0.18% (a) (Cost $127,786)	127,786,176		$ 127,786
TOTAL INVESTMENT PORTFOLIO - 100.1% (Cost $5,356,664)			5,329,202
NET OTHER ASSETS (LIABILITIES) - (0.1)%			(3,031)
NET ASSETS - 100%		$ 5,326,171

Swaps
Credit Default Swaps
Underlying Reference	Rating (1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/ (Paid)	Notional Amount (000s) (2)	Value (1) (000s)	Upfront Premium Received/ (Paid) (000s)	Unrealized Appreciation/(Depreciation) (000s)
Sell Protection
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	$ 76	$ (7)	$ -	$ (7)

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

Legend

(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.

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

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

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

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

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity Cash Central Fund	$ 42

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 2,449,200	$ -	$ 2,449,200	$ -
U.S. Government and Government Agency Obligations	1,060,219	-	1,060,219	-
U.S. Government Agency - Mortgage Securities	124,546	-	124,546	-
Asset-Backed Securities	831,567	-	831,377	190
Collateralized Mortgage Obligations	105,647	-	105,647	-
Commercial Mortgage Securities	482,856	-	482,854	2
Municipal Securities	9,798	-	9,798	-
Supranational Obligations	1,480	-	1,480	-
Bank Notes	136,103	-	136,103	-
Money Market Funds	127,786	127,786	-	-
Total Investments in Securities:	$ 5,329,202	$ 127,786	$ 5,201,224	$ 192
Derivative Instruments:
Liabilities
Swaps	$ (7)	$ -	$ (7)	$ -

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $5,353,200,000. Net unrealized depreciation aggregated $23,998,000, of which $20,120,000 related to appreciated investment securities and $44,118,000 related to depreciated investment securities.

Investment Valuation

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

Credit Risk.

Quarterly Report

Quarterly Holdings Report

for

Spartan® U.S. Bond Index Fund

November 30, 2015

1.810715.111

UBI-QTLY-0116

Investments November 30, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.5%
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - 2.0%
Automobiles - 0.3%
American Honda Finance Corp.:
2.125% 10/10/18	$ 6,550		$ 6,626
2.15% 3/13/20	8,550		8,509
2.25% 8/15/19	7,650		7,710
Ford Motor Co. 4.75% 1/15/43	7,650		7,339
General Motors Co. 5.2% 4/1/45	4,270		4,086
General Motors Financial Co., Inc.:
3.15% 1/15/20	6,630		6,579
4% 1/15/25	6,170		5,957
4.3% 7/13/25	7,600		7,464
			54,270
Diversified Consumer Services - 0.1%
George Washington University 4.3% 9/15/44	2,000		1,884
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19	1,623		1,649
Massachusetts Institute of Technology 3.959% 7/1/38	4,725		4,928
Northwestern University 4.643% 12/1/44	3,350		3,798
President and Fellows of Harvard College 3.619% 10/1/37	1,000		978
Rice University 3.774% 5/15/55	1,900		1,771
Trustees of Princeton Univ. 5.7% 3/1/39	1,000		1,260
University Notre Dame du Lac 3.438% 2/15/45	3,330		3,090
University of Southern California 5.25% 10/1/2111	2,000		2,270
			21,628
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
5.35% 3/1/18	2,317		2,497
6.3% 3/1/38	7,045		8,203
Metropolitan Museum of Art 3.4% 7/1/45	3,000		2,678
Starbucks Corp. 3.85% 10/1/23	1,875		2,005
			15,383
Media - 1.1%
21st Century Fox America, Inc.:
3.7% 10/15/25 (b)	7,000		7,033
5.4% 10/1/43	3,875		4,143
5.65% 8/15/20	1,000		1,129
6.15% 3/1/37	3,955		4,487
6.9% 3/1/19	2,110		2,410
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
21st Century Fox America, Inc.: - continued
6.9% 8/15/39	$ 2,000		$ 2,432
7.75% 12/1/45	3,160		4,263
AOL Time Warner, Inc. 7.625% 4/15/31	3,250		4,093
CBS Corp. 4% 1/15/26	6,000		5,958
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.908% 7/23/25 (b)	7,980		8,104
6.484% 10/23/45 (b)	4,690		4,885
Comcast Corp.:
3.125% 7/15/22	3,000		3,083
3.375% 8/15/25	5,700		5,833
4.65% 7/15/42	4,000		4,175
4.75% 3/1/44	5,400		5,702
4.95% 6/15/16	1,862		1,905
5.7% 5/15/18	2,940		3,232
5.7% 7/1/19	8,500		9,612
6.4% 3/1/40	1,000		1,267
6.55% 7/1/39	3,000		3,867
6.95% 8/15/37	6,700		8,922
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
5.875% 10/1/19	2,905		3,271
6.35% 3/15/40	1,000		1,091
6.375% 3/1/41	2,100		2,292
Discovery Communications LLC:
3.25% 4/1/23	2,338		2,178
4.875% 4/1/43	4,900		4,161
5.05% 6/1/20	3,200		3,432
NBCUniversal, Inc. 6.4% 4/30/40	3,000		3,782
Thomson Reuters Corp.:
1.3% 2/23/17	2,350		2,339
1.65% 9/29/17	8,000		7,985
4.7% 10/15/19	4,000		4,314
Time Warner Cable, Inc.:
4.5% 9/15/42	11,000		8,957
5.85% 5/1/17	5,801		6,083
6.75% 7/1/18	1,162		1,281
7.3% 7/1/38	4,000		4,334
8.75% 2/14/19	2,368		2,767
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Time Warner, Inc.:
2.1% 6/1/19	$ 3,000		$ 2,987
3.55% 6/1/24	3,000		2,979
3.6% 7/15/25	6,340		6,276
4% 1/15/22	1,000		1,046
4.65% 6/1/44	3,000		2,843
4.85% 7/15/45	3,000		2,927
6.5% 11/15/36	5,724		6,609
Viacom, Inc.:
4.25% 9/1/23	7,775		7,708
4.375% 3/15/43	2,635		1,946
5.625% 9/15/19	1,000		1,098
6.125% 10/5/17	5,420		5,801
Walt Disney Co.:
1.125% 2/15/17	2,760		2,769
1.85% 5/30/19	1,500		1,508
2.55% 2/15/22	2,810		2,843
3.15% 9/17/25	9,470		9,653
4.125% 6/1/44	2,000		2,046
5.5% 3/15/19	2,000		2,241
			218,082
Multiline Retail - 0.1%
Kohl's Corp. 4.75% 12/15/23	7,800		8,036
Macy's Retail Holdings, Inc.:
2.875% 2/15/23	4,750		4,385
4.3% 2/15/43	4,750		3,870
Target Corp.:
3.875% 7/15/20	3,000		3,246
4% 7/1/42	7,000		6,832
5.875% 7/15/16	2,100		2,169
7% 1/15/38	1,038		1,423
			29,961
Specialty Retail - 0.3%
Advance Auto Parts, Inc. 4.5% 12/1/23	3,750		3,856
AutoZone, Inc.:
3.125% 7/15/23	3,825		3,771
3.25% 4/15/25	4,000		3,896
3.7% 4/15/22	5,500		5,649
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Home Depot, Inc.:
2.25% 9/10/18	$ 5,000		$ 5,132
3.75% 2/15/24	6,725		7,156
4.2% 4/1/43	1,575		1,589
4.875% 2/15/44	2,875		3,191
5.4% 3/1/16	6,400		6,476
5.875% 12/16/36	4,700		5,793
Lowe's Companies, Inc.:
1.625% 4/15/17	10,300		10,385
4.625% 4/15/20	2,000		2,188
4.65% 4/15/42	6,500		6,831
5.8% 4/15/40	2,000		2,395
O'Reilly Automotive, Inc. 3.85% 6/15/23	2,825		2,865
			71,173
TOTAL CONSUMER DISCRETIONARY			410,497
CONSUMER STAPLES - 1.9%
Beverages - 0.4%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	4,073		4,863
Anheuser-Busch InBev Finance, Inc.:
1.25% 1/17/18	4,725		4,673
2.625% 1/17/23	2,825		2,733
4.625% 2/1/44	5,750		5,824
Anheuser-Busch InBev Worldwide, Inc.:
5.375% 1/15/20	1,500		1,665
8.2% 1/15/39	2,800		4,024
Diageo Capital PLC:
1.5% 5/11/17	1,700		1,701
5.75% 10/23/17	5,185		5,601
Dr. Pepper Snapple Group, Inc. 2% 1/15/20	2,850		2,778
PepsiCo, Inc.:
2.15% 10/14/20	12,000		11,990
3.6% 8/13/42	3,000		2,740
4.25% 10/22/44	6,000		6,011
4.45% 4/14/46	800		825
4.875% 11/1/40	2,300		2,495
7.9% 11/1/18	6,000		7,048
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Beverages - continued
The Coca-Cola Co.:
2.875% 10/27/25	$ 9,580		$ 9,444
3.15% 11/15/20	3,700		3,895
			78,310
Food & Staples Retailing - 0.5%
CVS Health Corp.:
2.25% 8/12/19	3,750		3,769
2.8% 7/20/20	8,400		8,529
3.875% 7/20/25	4,660		4,780
5.125% 7/20/45	2,810		2,999
5.3% 12/5/43	4,391		4,790
5.75% 5/15/41	6,000		6,842
Kroger Co. 5.15% 8/1/43	2,725		2,882
Sysco Corp. 3.75% 10/1/25	5,700		5,796
Wal-Mart Stores, Inc.:
1.125% 4/11/18	7,900		7,887
2.8% 4/15/16	6,700		6,757
3.3% 4/22/24	19,000		19,625
5.625% 4/1/40	2,000		2,394
5.625% 4/15/41	4,600		5,535
6.5% 8/15/37	8,275		10,788
Walgreen Co. 3.1% 9/15/22	2,850		2,769
			96,142
Food Products - 0.4%
Campbell Soup Co. 2.5% 8/2/22	4,750		4,539
ConAgra Foods, Inc.:
1.9% 1/25/18	5,675		5,648
3.2% 1/25/23	11,249		10,757
General Mills, Inc.:
2.2% 10/21/19	7,000		7,020
5.65% 2/15/19	13,501		14,964
H.J. Heinz Co. 5% 7/15/35 (b)	3,500		3,619
Kellogg Co.:
3.125% 5/17/22	1,875		1,863
3.25% 5/21/18	2,800		2,891
4.45% 5/30/16	2,000		2,034
Kraft Foods Group, Inc.:
3.5% 6/6/22	11,650		11,840
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Food Products - continued
Kraft Foods Group, Inc.: - continued
5% 6/4/42	$ 2,825		$ 2,879
The J.M. Smucker Co. 2.5% 3/15/20	5,700		5,690
Tyson Foods, Inc. 3.95% 8/15/24	7,575		7,759
Unilever Capital Corp.:
2.2% 3/6/19	7,475		7,584
3.1% 7/30/25	2,900		2,933
			92,020
Household Products - 0.2%
Kimberly-Clark Corp.:
1.9% 5/22/19	8,325		8,323
2.4% 3/1/22	5,200		5,175
2.4% 6/1/23	8,000		7,810
Procter & Gamble Co.:
1.9% 11/1/19	4,000		4,027
2.3% 2/6/22	4,700		4,690
3.1% 8/15/23	10,000		10,426
			40,451
Personal Products - 0.1%
Colgate-Palmolive Co. 3.25% 3/15/24	10,000		10,332
Tobacco - 0.3%
Altria Group, Inc.:
2.85% 8/9/22	7,000		6,876
4.25% 8/9/42	9,780		8,973
Philip Morris International, Inc.:
3.875% 8/21/42	4,825		4,449
4.5% 3/26/20	2,000		2,188
4.875% 11/15/43	6,000		6,424
5.65% 5/16/18	6,789		7,461
6.375% 5/16/38	1,450		1,834
Reynolds American, Inc.:
3.25% 11/1/22	1,325		1,317
4.45% 6/12/25	7,060		7,417
4.85% 9/15/23	1,800		1,939
5.85% 8/15/45	4,240		4,749
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
CONSUMER STAPLES - continued
Tobacco - continued
Reynolds American, Inc.: - continued
6.75% 6/15/17	$ 2,899		$ 3,113
7.25% 6/15/37	7,220		8,848
			65,588
TOTAL CONSUMER STAPLES			382,843
ENERGY - 3.0%
Energy Equipment & Services - 0.3%
Baker Hughes, Inc. 5.125% 9/15/40	2,000		2,041
Cameron International Corp. 3.7% 6/15/24	7,575		7,626
El Paso Pipeline Partners Operating Co. LLC 4.7% 11/1/42	3,800		2,607
Halliburton Co.:
2.7% 11/15/20	7,540		7,560
3.8% 11/15/25	10,380		10,455
5% 11/15/45	7,540		7,675
6.15% 9/15/19	2,000		2,269
7.45% 9/15/39	1,500		1,975
Nabors Industries, Inc. 2.35% 9/15/16	7,475		7,458
Noble Holding International Ltd.:
2.5% 3/15/17	4,650		4,414
3.05% 3/1/16	1,020		1,024
4.625% 3/1/21	1,340		1,110
5.25% 3/15/42	3,100		1,966
Weatherford International Ltd. 7% 3/15/38	5,580		3,822
			62,002
Oil, Gas & Consumable Fuels - 2.7%
Anadarko Petroleum Corp.:
3.45% 7/15/24	5,000		4,851
6.2% 3/15/40	2,000		2,112
6.45% 9/15/36	2,675		2,938
Apache Corp. 5.1% 9/1/40	3,000		2,912
Boardwalk Pipelines LP 4.95% 12/15/24	4,750		4,321
BP Capital Markets PLC:
2.241% 9/26/18	4,775		4,824
2.315% 2/13/20	1,800		1,801
2.5% 11/6/22	3,000		2,885
2.521% 1/15/20	6,000		6,056
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
BP Capital Markets PLC: - continued
3.062% 3/17/22	$ 3,750		$ 3,750
3.245% 5/6/22	7,750		7,838
4.5% 10/1/20	2,000		2,188
4.75% 3/10/19	1,000		1,084
Canadian Natural Resources Ltd.:
3.9% 2/1/25	1,875		1,769
5.7% 5/15/17	1,148		1,204
6.25% 3/15/38	6,850		7,119
Cenovus Energy, Inc.:
3% 8/15/22	1,700		1,570
3.8% 9/15/23	1,750		1,660
6.75% 11/15/39	2,000		2,089
Chevron Corp.:
1.104% 12/5/17	5,700		5,680
1.718% 6/24/18	7,525		7,559
1.961% 3/3/20	8,625		8,580
2.193% 11/15/19	11,400		11,493
Columbia Pipeline Group, Inc.:
3.3% 6/1/20 (b)	3,043		3,009
4.5% 6/1/25 (b)	3,325		3,185
ConocoPhillips Co.:
2.2% 5/15/20	5,830		5,801
3.35% 5/15/25	6,810		6,658
5.75% 2/1/19	2,902		3,227
6.5% 2/1/39	7,529		8,998
DCP Midstream Operating LP:
2.5% 12/1/17	5,700		5,294
3.875% 3/15/23	3,775		3,097
Devon Energy Corp.:
2.25% 12/15/18	5,750		5,715
3.25% 5/15/22	4,000		3,817
5.6% 7/15/41	2,875		2,663
Ecopetrol SA 5.375% 6/26/26	4,740		4,313
El Paso Natural Gas Co. 5.95% 4/15/17	926		958
Enbridge Energy Partners LP:
4.2% 9/15/21	8,700		8,522
5.875% 12/15/16	1,000		1,032
6.5% 4/15/18	1,000		1,064
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Enbridge, Inc. 3.5% 6/10/24	$ 2,825		$ 2,436
Encana Corp.:
3.9% 11/15/21	4,900		4,571
6.5% 2/1/38	5,000		4,478
Energy Transfer Partners LP:
3.6% 2/1/23	8,550		7,446
4.15% 10/1/20	4,500		4,367
5.15% 3/15/45	2,000		1,512
Enterprise Products Operating LP:
3.7% 2/15/26	1,770		1,658
4.05% 2/15/22	9,325		9,446
4.85% 8/15/42	2,500		2,209
4.85% 3/15/44	5,000		4,412
5.7% 2/15/42	2,000		1,969
6.65% 4/15/18	2,000		2,200
7.55% 4/15/38	2,000		2,324
EOG Resources, Inc. 5.625% 6/1/19	1,000		1,110
Exxon Mobil Corp. 3.567% 3/6/45	6,650		6,332
Hess Corp.:
3.5% 7/15/24	3,800		3,536
5.6% 2/15/41	3,400		3,330
8.125% 2/15/19	6,000		6,917
Kinder Morgan Energy Partners LP:
2.65% 2/1/19	3,425		3,156
3.5% 9/1/23	2,000		1,643
3.95% 9/1/22	7,000		6,138
5% 3/1/43	1,000		704
5.625% 9/1/41	1,000		761
6.55% 9/15/40	3,000		2,594
Kinder Morgan, Inc. 5.3% 12/1/34	8,550		6,561
Magellan Midstream Partners LP 6.55% 7/15/19	4,592		5,101
Marathon Oil Corp. 3.85% 6/1/25	7,000		6,276
Marathon Petroleum Corp.:
3.5% 3/1/16	1,000		1,006
5.125% 3/1/21	1,000		1,083
6.5% 3/1/41	1,000		1,083
Nexen, Inc. 5.875% 3/10/35	3,710		4,113
Occidental Petroleum Corp.:
1.75% 2/15/17	2,000		2,010
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Occidental Petroleum Corp.: - continued
2.7% 2/15/23	$ 6,000		$ 5,843
3.125% 2/15/22	2,000		2,012
ONEOK Partners LP:
3.2% 9/15/18	3,000		2,963
3.375% 10/1/22	5,000		4,270
Petro-Canada:
6.05% 5/15/18	3,650		3,967
6.8% 5/15/38	8,445		10,393
Petrobras Global Finance BV:
3% 1/15/19	2,850		2,311
7.25% 3/17/44	3,000		2,133
Petrobras International Finance Co. Ltd.:
6.75% 1/27/41	1,675		1,147
7.875% 3/15/19	6,000		5,571
Petroleos Mexicanos:
3.125% 1/23/19	1,425		1,409
3.5% 7/18/18	5,925		5,967
3.5% 7/23/20 (b)	11,525		11,365
3.5% 1/30/23	6,725		6,170
4.875% 1/24/22	18,010		18,064
5.5% 6/27/44	8,600		7,095
6.375% 1/23/45	3,000		2,783
Phillips 66 Co.:
4.875% 11/15/44	1,000		986
5.875% 5/1/42	9,500		10,337
Plains All American Pipeline LP/PAA Finance Corp.:
3.6% 11/1/24	7,200		6,254
4.9% 2/15/45	1,900		1,486
5.75% 1/15/20	1,000		1,045
6.125% 1/15/17	1,795		1,864
6.65% 1/15/37	2,795		2,721
Shell International Finance BV:
1.125% 8/21/17	1,375		1,374
2.125% 5/11/20	8,300		8,273
2.375% 8/21/22	3,000		2,918
3.25% 5/11/25	4,160		4,138
4.375% 5/11/45	7,120		7,080
6.375% 12/15/38	4,200		5,260
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Southwestern Energy Co. 4.05% 1/23/20	$ 5,000		$ 4,431
Spectra Energy Capital, LLC 5.65% 3/1/20	2,000		2,133
Spectra Energy Partners, LP:
2.95% 9/25/18	2,877		2,879
4.75% 3/15/24	4,825		4,921
Statoil ASA:
1.2% 1/17/18	5,575		5,537
1.95% 11/8/18	7,300		7,326
2.25% 11/8/19	8,000		8,054
3.7% 3/1/24	3,650		3,764
5.1% 8/17/40	2,000		2,226
Suncor Energy, Inc.:
6.1% 6/1/18	11,244		12,270
6.85% 6/1/39	2,000		2,464
Talisman Energy, Inc.:
5.5% 5/15/42	4,100		3,277
5.85% 2/1/37	2,000		1,711
The Williams Companies, Inc.:
4.55% 6/24/24	5,675		4,657
5.75% 6/24/44	1,900		1,356
Total Capital Canada Ltd. 1.45% 1/15/18	2,625		2,622
Total Capital International SA:
1.55% 6/28/17	5,000		5,022
2.1% 6/19/19	4,275		4,304
2.7% 1/25/23	1,900		1,866
2.75% 6/19/21	6,000		6,052
2.875% 2/17/22	4,175		4,197
3.75% 4/10/24	2,000		2,080
TransCanada PipeLines Ltd.:
2.5% 8/1/22	5,000		4,701
6.1% 6/1/40	6,700		7,401
Transcontinental Gas Pipe Line Co. LLC 4.45% 8/1/42	7,750		5,500
Valero Energy Corp. 6.625% 6/15/37	5,420		5,874
Western Gas Partners LP:
2.6% 8/15/18	4,375		4,295
4% 7/1/22	3,000		2,873
Williams Partners LP:
3.35% 8/15/22	2,800		2,386
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Williams Partners LP: - continued
3.9% 1/15/25	$ 3,525		$ 2,893
XTO Energy, Inc. 5.65% 4/1/16	1,189		1,209
			553,598
TOTAL ENERGY			615,600
FINANCIALS - 8.9%
Banks - 4.0%
Australia & New Zealand Banking Group Ltd.:
1.875% 10/6/17	4,750		4,784
3.7% 11/16/25	6,640		6,770
Bank of America Corp.:
2% 1/11/18	3,550		3,564
2.6% 1/15/19	3,775		3,817
2.65% 4/1/19	17,925		18,129
4% 4/1/24	9,000		9,302
4% 1/22/25	6,000		5,956
4.1% 7/24/23	7,000		7,318
4.2% 8/26/24	8,500		8,584
4.25% 10/22/26	4,000		4,014
5% 5/13/21	4,000		4,402
5.7% 1/24/22	6,250		7,144
5.75% 12/1/17	5,855		6,301
5.875% 1/5/21	6,640		7,571
6.5% 8/1/16	15,000		15,530
Bank of Montreal:
1.4% 9/11/17	2,875		2,868
2.375% 1/25/19	3,700		3,750
Bank of Nova Scotia 4.375% 1/13/21	1,000		1,080
Banque Centrale de Tunisie 2.452% 7/24/21	8,500		8,583
Barclays PLC:
2.75% 11/8/19	10,000		10,011
3.65% 3/16/25	8,525		8,265
5.25% 8/17/45	5,600		5,797
BB&T Corp.:
1.6% 8/15/17	5,700		5,718
2.05% 6/19/18	1,900		1,906
BNP Paribas 3.6% 2/23/16	10,380		10,446
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
BNP Paribas SA:
2.375% 5/21/20	$ 11,600		$ 11,530
2.7% 8/20/18	4,900		4,998
BPCE SA:
2.25% 1/27/20	4,000		3,983
2.5% 7/15/19	12,100		12,190
4% 4/15/24	2,000		2,076
Branch Banking & Trust Co. 3.8% 10/30/26	3,000		3,069
Capital One Bank NA 3.375% 2/15/23	2,424		2,395
Capital One NA 2.4% 9/5/19	7,000		6,946
Citigroup, Inc.:
2.5% 9/26/18	750		761
2.5% 7/29/19	7,400		7,464
2.55% 4/8/19	3,700		3,744
3.375% 3/1/23	6,000		6,050
3.953% 6/15/16	1,450		1,472
4.4% 6/10/25	4,000		4,068
5.3% 5/6/44	2,000		2,105
5.5% 9/13/25	5,000		5,493
5.875% 1/30/42	1,675		1,960
6.125% 5/15/18	1,769		1,947
6.125% 8/25/36	3,650		4,195
8.125% 7/15/39	8,000		11,699
Comerica, Inc. 3.8% 7/22/26	3,650		3,623
Commonwealth Bank of Australia:
1.9% 9/18/17	4,750		4,793
2.3% 3/12/20	7,550		7,505
Corporacion Andina de Fomento:
1.5% 8/8/17	2,825		2,816
3.75% 1/15/16	5,425		5,442
4.375% 6/15/22	14,100		15,168
Credit Suisse AG 6% 2/15/18	15,651		16,909
Credit Suisse Group Funding Guernsey Ltd.:
3.8% 9/15/22 (b)	12,530		12,629
4.875% 5/15/45 (b)	5,000		5,019
Credit Suisse New York Branch:
3% 10/29/21	3,000		3,009
3.625% 9/9/24	3,425		3,454
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
Discover Bank:
2% 2/21/18	$ 7,375		$ 7,339
4.2% 8/8/23	7,000		7,279
Export-Import Bank of Korea:
2.875% 1/21/25	7,600		7,420
4% 1/11/17	11,380		11,664
5% 4/11/22	6,170		6,924
Fifth Third Bancorp:
3.5% 3/15/22	1,650		1,682
3.625% 1/25/16	2,000		2,008
4.5% 6/1/18	824		872
8.25% 3/1/38	2,079		3,003
HSBC Holdings PLC:
4.25% 8/18/25	5,600		5,640
4.875% 1/14/22	10,100		11,127
5.1% 4/5/21	2,800		3,135
6.5% 9/15/37	10,500		12,772
HSBC U.S.A., Inc.:
2.25% 6/23/19	6,625		6,630
2.625% 9/24/18	7,500		7,646
3.5% 6/23/24	7,000		7,071
Huntington Bancshares, Inc. 2.6% 8/2/18	4,675		4,711
Inter-American Development Bank:
1.75% 4/14/22	1,875		1,843
1.875% 6/16/20	5,270		5,303
International Bank for Reconstruction & Development 1% 10/5/18	9,630		9,536
Japan Bank International Cooperation:
1.75% 5/29/19	15,100		15,034
2.125% 2/10/25	2,000		1,900
JPMorgan Chase & Co.:
1.8% 1/25/18	16,250		16,275
2% 8/15/17	7,000		7,048
2.25% 1/23/20	8,875		8,843
2.35% 1/28/19	23,000		23,252
3.15% 7/5/16	1,500		1,520
3.25% 9/23/22	4,000		4,047
3.375% 5/1/23	1,900		1,885
3.875% 9/10/24	7,725		7,766
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
JPMorgan Chase & Co.: - continued
4.125% 12/15/26	$ 5,875		$ 5,945
4.35% 8/15/21	2,000		2,154
4.5% 1/24/22	13,000		14,106
4.625% 5/10/21	1,500		1,638
4.95% 6/1/45	2,550		2,584
5.5% 10/15/40	5,700		6,595
5.6% 7/15/41	1,500		1,761
6.3% 4/23/19	10,000		11,338
KeyCorp. 2.9% 9/15/20	5,800		5,815
Lloyds Bank PLC 3.5% 5/14/25	8,600		8,642
MUFG Union Bank NA 2.625% 9/26/18	2,750		2,788
Nordic Investment Bank 0.5% 4/14/16	8,450		8,450
Oesterreichische Kontrollbank 2.375% 10/1/21	4,725		4,799
PNC Bank NA:
2.4% 10/18/19	4,750		4,783
2.6% 7/21/20	6,680		6,747
PNC Financial Services Group, Inc. 3.9% 4/29/24	5,650		5,769
PNC Funding Corp.:
2.7% 9/19/16	11,300		11,437
6.7% 6/10/19	2,500		2,882
Rabobank (Netherlands) NV:
3.95% 11/9/22	5,300		5,355
4.5% 1/11/21	1,000		1,093
5.25% 5/24/41	3,000		3,438
Rabobank Nederland 4.375% 8/4/25	6,000		6,130
Rabobank Nederland New York Branch 3.375% 5/21/25	3,750		3,737
Regions Financial Corp. 2% 5/15/18	3,650		3,635
Royal Bank of Canada:
2.15% 3/6/20	6,575		6,539
2.3% 7/20/16	5,500		5,554
Societe Generale SA 2.625% 10/1/18	3,750		3,806
Sumitomo Mitsui Banking Corp.:
2.25% 7/11/19	5,725		5,704
2.45% 1/16/20	5,000		4,996
2.5% 7/19/18	4,351		4,403
3.4% 7/11/24	5,725		5,729
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Banks - continued
SunTrust Banks, Inc.:
2.35% 11/1/18	$ 3,000		$ 3,020
2.5% 5/1/19	2,000		2,016
Svenska Handelsbanken AB 2.5% 1/25/19	11,750		11,931
The Toronto Dominion Bank:
2.375% 10/19/16	1,200		1,216
2.5% 7/14/16	1,200		1,213
U.S. Bancorp 4.125% 5/24/21	3,000		3,256
Wachovia Corp. 5.75% 6/15/17	2,905		3,096
Wells Fargo & Co.:
2.1% 5/8/17	2,725		2,758
2.6% 7/22/20	7,640		7,704
3.3% 9/9/24	4,625		4,611
3.45% 2/13/23	3,675		3,695
3.55% 9/29/25	4,240		4,291
3.9% 5/1/45	4,760		4,415
4.1% 6/3/26	3,225		3,279
4.48% 1/16/24	3,816		4,047
4.9% 11/17/45	2,770		2,821
5.375% 11/2/43	1,850		2,007
5.606% 1/15/44	11,380		12,728
5.625% 12/11/17	5,972		6,455
Westpac Banking Corp.:
2% 8/14/17	5,000		5,046
2.3% 5/26/20	3,000		2,995
4.875% 11/19/19	3,700		4,057
Zions Bancorp. 4.5% 6/13/23	207		214
			826,520
Capital Markets - 1.4%
Affiliated Managers Group, Inc. 3.5% 8/1/25	4,750		4,538
BlackRock, Inc.:
3.5% 3/18/24	2,900		2,980
4.25% 5/24/21	6,500		7,067
Deutsche Bank AG 4.5% 4/1/25	3,000		2,830
Deutsche Bank AG London Branch 2.95% 8/20/20	9,800		9,826
Eaton Vance Corp. 3.625% 6/15/23	2,825		2,864
Franklin Resources, Inc.:
1.375% 9/15/17	1,900		1,899
2.85% 3/30/25	3,800		3,633
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.:
2.375% 1/22/18	$ 9,950		$ 10,077
2.55% 10/23/19	11,000		11,107
2.625% 1/31/19	12,850		13,083
2.9% 7/19/18	2,800		2,872
3.5% 1/23/25	5,000		4,973
3.625% 2/7/16	5,000		5,026
3.625% 1/22/23	9,000		9,244
3.85% 7/8/24	3,800		3,892
4.75% 10/21/45	5,830		5,840
5.25% 7/27/21	4,500		5,032
5.625% 1/15/17	7,000		7,309
5.75% 1/24/22	4,300		4,933
5.95% 1/18/18	3,000		3,257
6% 6/15/20	1,650		1,884
6.15% 4/1/18	7,451		8,171
6.75% 10/1/37	14,860		17,837
Lazard Group LLC:
4.25% 11/14/20	2,650		2,767
6.85% 6/15/17	828		883
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	3,140		3,391
6.875% 4/25/18	6,991		7,781
7.75% 5/14/38	4,175		5,762
Morgan Stanley:
2.125% 4/25/18	8,000		8,061
2.375% 7/23/19	7,550		7,600
2.5% 1/24/19	6,000		6,096
2.65% 1/27/20	11,000		11,083
3.7% 10/23/24	6,000		6,104
3.75% 2/25/23	6,775		7,016
3.875% 4/29/24	9,000		9,302
3.95% 4/23/27	5,210		5,098
4.3% 1/27/45	2,000		1,950
5.45% 1/9/17	236		247
5.5% 7/28/21	3,400		3,859
5.625% 9/23/19	2,000		2,226
5.75% 1/25/21	5,000		5,699
5.95% 12/28/17	5,745		6,226
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Morgan Stanley: - continued
6.375% 7/24/42	$ 2,900		$ 3,657
6.625% 4/1/18	5,055		5,596
7.25% 4/1/32	1,000		1,334
7.3% 5/13/19	3,000		3,494
State Street Corp. 2.875% 3/7/16	3,340		3,361
The Bank of New York Mellon Corp.:
2.3% 7/28/16	1,000		1,010
2.6% 8/17/20	9,400		9,493
5.45% 5/15/19	2,000		2,233
			281,503
Consumer Finance - 1.1%
American Express Co.:
4.05% 12/3/42	6,975		6,629
7% 3/19/18	5,750		6,415
American Express Credit Corp. 2.375% 3/24/17	3,825		3,878
Capital One Financial Corp. 4.75% 7/15/21	4,000		4,349
Caterpillar Financial Services Corp.:
1.3% 3/1/18	3,650		3,622
2% 3/5/20	3,900		3,884
2.1% 6/9/19	1,600		1,603
2.25% 12/1/19	6,600		6,630
2.85% 6/1/22	4,000		3,985
Discover Financial Services:
5.2% 4/27/22	1,000		1,077
6.45% 6/12/17	2,263		2,410
Ford Motor Credit Co. LLC:
2.375% 3/12/19	2,425		2,391
2.5% 1/15/16	3,750		3,758
2.875% 10/1/18	1,575		1,586
3% 6/12/17	3,000		3,036
3.219% 1/9/22	3,500		3,451
4.134% 8/4/25	7,000		7,010
4.25% 2/3/17	7,600		7,794
4.25% 9/20/22	1,800		1,869
4.375% 8/6/23	4,000		4,184
5.875% 8/2/21	11,375		12,781
General Electric Capital Corp.:
2.95% 5/9/16	11,691		11,808
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Consumer Finance - continued
General Electric Capital Corp.: - continued
4.65% 10/17/21	$ 2,005		$ 2,235
5.875% 1/14/38	4,474		5,495
6.15% 8/7/37	544		690
6.375% 11/15/67 (f)	9,000		9,563
6.875% 1/10/39	1,146		1,572
HSBC Finance Corp. 5.5% 1/19/16	11,200		11,269
John Deere Capital Corp.:
1.2% 10/10/17	1,550		1,544
1.3% 3/12/18	3,675		3,650
1.95% 12/13/18	4,825		4,862
1.95% 3/4/19	9,600		9,587
2.05% 3/10/20	7,675		7,606
2.25% 4/17/19	10,250		10,357
2.8% 1/27/23	5,000		4,929
Synchrony Financial:
2.7% 2/3/20	8,000		7,883
3% 8/15/19	5,675		5,702
Toyota Motor Credit Corp.:
2.05% 1/12/17	9,000		9,101
2.1% 1/17/19	6,000		6,060
2.125% 7/18/19	10,400		10,473
2.15% 3/12/20	6,750		6,771
2.75% 5/17/21	2,600		2,633
			226,132
Diversified Financial Services - 0.8%
Berkshire Hathaway Finance Corp. 5.75% 1/15/40	5,000		5,897
Berkshire Hathaway, Inc.:
1.55% 2/9/18	4,575		4,588
4.5% 2/11/43	2,000		2,014
Export Development Canada 1% 6/15/18	5,290		5,258
FMS Wertmanagement AoeR 1.125% 9/5/17	2,800		2,800
GE Capital International Funding Co.:
0.964% 4/15/16 (b)	26,000		26,032
2.342% 11/15/20 (b)	5,694		5,682
4.418% 11/15/35 (b)	20,239		20,785
ING U.S., Inc. 5.7% 7/15/43	3,750		4,368
IntercontinentalExchange, Inc.:
2.5% 10/15/18	4,675		4,724
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
IntercontinentalExchange, Inc.: - continued
3.75% 12/1/25	$ 5,750		$ 5,802
4% 10/15/23	3,750		3,882
International Finance Corp. 2.25% 4/11/16	5,700		5,737
KfW:
1% 1/26/18	11,500		11,457
1.125% 8/6/18	5,700		5,668
1.75% 10/15/19	15,575		15,650
1.875% 6/30/20	5,670		5,692
2% 5/2/25	3,825		3,699
2.5% 11/20/24	10,425		10,556
Ontario Province 2% 1/30/19	5,000		5,037
Svensk Exportkredit AB 1.75% 5/30/17	4,750		4,798
			160,126
Insurance - 0.8%
ACE INA Holdings, Inc.:
3.35% 5/3/26	4,220		4,209
4.35% 11/3/45	4,000		4,010
5.9% 6/15/19	3,000		3,391
American International Group, Inc.:
3.375% 8/15/20	5,775		6,017
3.75% 7/10/25	2,850		2,850
4.5% 7/16/44	8,875		8,408
4.875% 6/1/22	9,000		9,818
5.85% 1/16/18	2,000		2,168
6.4% 12/15/20	2,900		3,375
Aon Corp. 3.125% 5/27/16	8,000		8,086
Aon PLC:
3.5% 6/14/24	2,000		1,969
4% 11/27/23	3,000		3,089
4.6% 6/14/44	1,600		1,558
4.75% 5/15/45	5,880		5,840
Hartford Financial Services Group, Inc. 5.125% 4/15/22	4,750		5,255
Marsh & McLennan Companies, Inc.:
2.3% 4/1/17	5,000		5,057
2.35% 9/10/19	3,850		3,855
2.35% 3/6/20	4,750		4,733
2.55% 10/15/18	5,800		5,877
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Insurance - continued
Marsh & McLennan Companies, Inc.: - continued
3.5% 6/3/24	$ 1,900		$ 1,894
4.05% 10/15/23	6,775		7,035
MetLife, Inc.:
4.721% 12/15/44 (f)	5,000		5,157
5.875% 2/6/41	2,400		2,860
7.717% 2/15/19	9,000		10,572
Prudential Financial, Inc.:
2.3% 8/15/18	4,900		4,942
5.1% 8/15/43	4,000		4,214
5.4% 6/13/35	447		491
5.5% 3/15/16	421		427
5.625% 5/12/41	2,000		2,254
5.7% 12/14/36	380		434
6.2% 11/15/40	2,400		2,869
7.375% 6/15/19	3,000		3,503
8.875% 6/15/38 (f)	2,944		3,356
The Chubb Corp.:
5.75% 5/15/18	4,175		4,575
6.5% 5/15/38	3,510		4,565
The Travelers Companies, Inc.:
4.3% 8/25/45	1,460		1,475
6.25% 6/15/37	8,350		10,543
			160,731
Real Estate Investment Trusts - 0.5%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	3,788		3,746
3.9% 6/15/23	5,650		5,627
American Tower Corp. 3.4% 2/15/19	7,475		7,690
Boston Properties, Inc.:
3.125% 9/1/23	1,900		1,854
4.125% 5/15/21	2,100		2,220
DDR Corp.:
3.375% 5/15/23	2,825		2,689
4.625% 7/15/22	1,900		1,967
Duke Realty LP:
3.625% 4/15/23	2,750		2,693
3.75% 12/1/24	5,750		5,600
5.95% 2/15/17	630		661
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP: - continued
6.5% 1/15/18	$ 1,000		$ 1,087
ERP Operating LP:
2.375% 7/1/19	5,750		5,771
3% 4/15/23	1,875		1,843
4.625% 12/15/21	5,700		6,218
Federal Realty Investment Trust 3% 8/1/22	4,750		4,706
HCP, Inc. 3.875% 8/15/24	7,575		7,365
Health Care REIT, Inc.:
2.25% 3/15/18	2,470		2,469
3.75% 3/15/23	8,660		8,510
HRPT Properties Trust:
6.25% 6/15/17	1,221		1,266
6.65% 1/15/18	612		651
Kimco Realty Corp. 6.875% 10/1/19	1,000		1,152
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	4,750		4,657
4.5% 4/1/27 (b)	9,500		9,050
Simon Property Group LP:
2.8% 1/30/17	4,700		4,772
4.125% 12/1/21	3,200		3,434
5.65% 2/1/20	4,300		4,845
Weingarten Realty Investors 3.5% 4/15/23	3,800		3,690
			106,233
Real Estate Management & Development - 0.3%
BioMed Realty LP 4.25% 7/15/22	3,000		2,887
Brandywine Operating Partnership LP 3.95% 2/15/23	3,800		3,714
CBRE Group, Inc. 4.875% 3/1/26	5,700		5,645
Liberty Property LP:
3.375% 6/15/23	2,775		2,642
3.75% 4/1/25	4,750		4,590
4.4% 2/15/24	7,425		7,566
4.75% 10/1/20	1,000		1,068
5.5% 12/15/16	1,000		1,039
Mack-Cali Realty LP:
2.5% 12/15/17	3,825		3,796
3.15% 5/15/23	4,700		4,068
4.5% 4/18/22	4,210		4,068
Regency Centers LP 5.875% 6/15/17	781		827
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - continued
Real Estate Management & Development - continued
Tanger Properties LP:
3.75% 12/1/24	$ 6,500		$ 6,407
6.125% 6/1/20	4,408		5,006
Ventas Realty LP:
3.5% 2/1/25	4,000		3,833
4.125% 1/15/26	1,450		1,449
4.375% 2/1/45	3,000		2,767
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	4,750		4,746
			66,118
TOTAL FINANCIALS			1,827,363
HEALTH CARE - 2.4%
Biotechnology - 0.5%
AbbVie, Inc.:
1.75% 11/6/17	5,700		5,720
2.5% 5/14/20	7,100		7,056
2.9% 11/6/22	5,700		5,576
3.6% 5/14/25	9,000		8,919
4.4% 11/6/42	4,775		4,449
4.7% 5/14/45	8,980		8,814
Amgen, Inc.:
2.2% 5/22/19	11,425		11,419
2.5% 11/15/16	2,000		2,027
3.125% 5/1/25	2,000		1,909
3.875% 11/15/21	9,600		10,111
5.15% 11/15/41	11,150		11,314
5.85% 6/1/17	2,928		3,113
Celgene Corp.:
3.875% 8/15/25	9,500		9,486
5% 8/15/45	3,300		3,305
Gilead Sciences, Inc.:
2.55% 9/1/20	4,740		4,782
3.65% 3/1/26	6,180		6,231
4.75% 3/1/46	4,750		4,834
			109,065
Health Care Equipment & Supplies - 0.3%
Baxter International, Inc.:
1.85% 6/15/18	8,000		7,964
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Equipment & Supplies - continued
Baxter International, Inc.: - continued
4.5% 8/15/19	$ 3,000		$ 3,214
Becton, Dickinson & Co.:
2.675% 12/15/19	5,854		5,924
4.685% 12/15/44	10,180		10,336
Medtronic, Inc.:
2.5% 3/15/20	15,100		15,297
4.625% 3/15/45	10,425		10,789
			53,524
Health Care Providers & Services - 0.6%
Aetna, Inc.:
1.5% 11/15/17	1,958		1,955
4.125% 6/1/21	7,000		7,351
4.125% 11/15/42	4,411		4,169
Catholic Health Initiatives:
1.6% 11/1/17	2,750		2,739
4.35% 11/1/42	2,000		1,859
Childrens Hosp Medical Ctr 4.268% 5/15/44	3,320		3,170
Cigna Corp. 4% 2/15/22	4,600		4,770
Coventry Health Care, Inc. 5.95% 3/15/17	1,731		1,825
Express Scripts Holding Co.:
2.25% 6/15/19	3,800		3,782
6.125% 11/15/41	3,000		3,418
Express Scripts, Inc. 7.25% 6/15/19	2,000		2,325
Kaiser Foundation Hospitals 4.875% 4/1/42	1,800		1,840
McKesson Corp.:
0.95% 12/4/15	2,850		2,850
1.4% 3/15/18	4,725		4,677
3.796% 3/15/24	5,000		5,065
4.883% 3/15/44	5,000		5,072
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55	3,000		2,816
New York & Presbyterian Hospital 4.024% 8/1/45	3,500		3,306
NYU Hospitals Center 4.784% 7/1/44	7,600		7,580
Partners Healthcare System, Inc. 4.117% 7/1/55	3,500		3,176
UnitedHealth Group, Inc.:
1.625% 3/15/19	4,878		4,847
2.3% 12/15/19	8,625		8,723
2.7% 7/15/20	6,000		6,107
2.875% 12/15/21	2,575		2,613
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Health Care Providers & Services - continued
UnitedHealth Group, Inc.: - continued
3.75% 7/15/25	$ 3,500		$ 3,630
4.375% 3/15/42	11,800		11,753
4.75% 7/15/45	1,670		1,761
WellPoint, Inc.:
1.875% 1/15/18	2,000		2,005
3.3% 1/15/23	2,000		1,977
4.625% 5/15/42	2,600		2,521
4.65% 1/15/43	2,000		1,946
5.8% 8/15/40	4,000		4,480
			126,108
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
2.4% 2/1/19	2,850		2,860
4.15% 2/1/24	4,379		4,589
5.3% 2/1/44	5,820		6,274
			13,723
Pharmaceuticals - 0.9%
Actavis Funding SCS:
3% 3/12/20	22,800		23,087
3.45% 3/15/22	18,025		18,231
AstraZeneca PLC:
5.9% 9/15/17	4,505		4,868
6.45% 9/15/37	3,250		4,182
Bristol-Myers Squibb Co. 3.25% 8/1/42	2,800		2,438
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	8,585		9,439
6.375% 5/15/38	7,218		9,274
Johnson & Johnson:
4.5% 12/5/43	6,625		7,336
4.85% 5/15/41	4,260		4,929
Merck & Co., Inc.:
1.3% 5/18/18	7,000		7,005
1.85% 2/10/20	9,000		8,998
2.25% 1/15/16	1,000		1,002
2.4% 9/15/22	2,000		1,970
3.6% 9/15/42	2,000		1,831
3.7% 2/10/45	3,400		3,151
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
Merck & Co., Inc.: - continued
3.875% 1/15/21	$ 1,000		$ 1,074
5% 6/30/19	5,970		6,621
Mylan, Inc. 1.35% 11/29/16	5,295		5,261
Novartis Capital Corp.:
2.4% 9/21/22	3,750		3,704
3% 11/20/25	10,470		10,396
3.7% 9/21/42	2,825		2,697
4% 11/20/45	5,240		5,171
Perrigo Co. PLC:
2.3% 11/8/18	4,609		4,551
4% 11/15/23	5,000		4,930
Perrigo Finance PLC 4.9% 12/15/44	3,089		2,871
Pfizer, Inc.:
6.2% 3/15/19	4,000		4,527
7.2% 3/15/39	5,400		7,387
Sanofi SA 1.25% 4/10/18	7,550		7,544
Watson Pharmaceuticals, Inc.:
1.875% 10/1/17	3,125		3,130
3.25% 10/1/22	3,000		2,974
Zoetis, Inc.:
1.875% 2/1/18	1,000		992
3.25% 2/1/23	5,000		4,780
4.7% 2/1/43	1,300		1,130
			187,481
TOTAL HEALTH CARE			489,901
INDUSTRIALS - 1.6%
Aerospace & Defense - 0.4%
Boeing Capital Corp. 2.125% 8/15/16	4,500		4,541
General Dynamics Corp. 2.25% 7/15/16	2,400		2,424
Honeywell International, Inc. 5.375% 3/1/41	1,400		1,651
Lockheed Martin Corp.:
2.125% 9/15/16	3,000		3,026
3.55% 1/15/26	7,600		7,674
4.7% 5/15/46	3,700		3,796
4.85% 9/15/41	2,700		2,768
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Aerospace & Defense - continued
Northrop Grumman Corp.:
1.75% 6/1/18	$ 6,900		$ 6,878
3.85% 4/15/45	1,875		1,674
4.75% 6/1/43	4,000		4,094
Precision Castparts Corp. 3.25% 6/15/25	5,700		5,670
Raytheon Co.:
3.125% 10/15/20	2,000		2,084
3.15% 12/15/24	8,900		8,954
4.875% 10/15/40	1,000		1,099
The Boeing Co.:
2.5% 3/1/25	4,600		4,443
6% 3/15/19	1,000		1,133
6.875% 3/15/39	3,300		4,599
United Technologies Corp.:
3.1% 6/1/22	2,875		2,939
4.5% 4/15/20	4,000		4,405
4.5% 6/1/42	7,380		7,498
5.7% 4/15/40	2,000		2,376
6.125% 2/1/19	4,000		4,489
			88,215
Air Freight & Logistics - 0.1%
FedEx Corp.:
2.3% 2/1/20	11,350		11,403
3.2% 2/1/25	3,820		3,683
United Parcel Service, Inc. 6.2% 1/15/38	2,500		3,221
			18,307
Airlines - 0.0%
American Airlines pass-thru trust equipment trust certificate 4.95% 7/15/24	3,254		3,462
Continental Airlines, Inc.:
4% 4/29/26	4,216		4,311
6.648% 3/15/19	750		770
6.9% 7/2/19	303		313
			8,856
Commercial Services & Supplies - 0.1%
Republic Services, Inc.:
3.2% 3/15/25	11,275		10,944
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Commercial Services & Supplies - continued
Republic Services, Inc.: - continued
5.5% 9/15/19	$ 4,000		$ 4,423
Waste Management, Inc. 2.9% 9/15/22	6,675		6,565
			21,932
Electrical Equipment - 0.1%
Eaton Corp.:
1.5% 11/2/17	4,775		4,767
2.75% 11/2/22	5,725		5,585
4% 11/2/32	1,900		1,817
4.15% 11/2/42	1,900		1,780
			13,949
Industrial Conglomerates - 0.4%
3M Co. 2% 6/26/22	4,000		3,910
Covidien International Finance SA:
2.95% 6/15/23	3,000		2,968
3.2% 6/15/22	2,150		2,167
6% 10/15/17	2,902		3,141
6.55% 10/15/37	4,250		5,389
Danaher Corp.:
2.4% 9/15/20	7,361		7,402
3.9% 6/23/21	2,900		3,102
4.375% 9/15/45	2,370		2,428
General Electric Co.:
3.375% 3/11/24	5,500		5,728
4.5% 3/11/44	8,500		8,784
5.25% 12/6/17	18,540		19,993
Roper Industries, Inc. 2.05% 10/1/18	5,675		5,641
			70,653
Machinery - 0.1%
Caterpillar, Inc.:
2.6% 6/26/22	6,000		5,924
5.3% 9/15/35	7,000		7,611
Deere & Co. 5.375% 10/16/29	1,000		1,164
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	5,093		5,036
4.65% 11/1/44	6,000		5,783
			25,518
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Road & Rail - 0.4%
Burlington Northern Santa Fe Corp. 4.7% 10/1/19	$ 5,000		$ 5,440
Burlington Northern Santa Fe LLC:
3% 3/15/23	2,800		2,774
3.05% 3/15/22	10,000		10,133
4.15% 4/1/45	1,700		1,563
4.375% 9/1/42	4,500		4,325
4.55% 9/1/44	3,000		2,939
4.9% 4/1/44	4,000		4,114
Canadian National Railway Co. 2.85% 12/15/21	5,000		5,003
CSX Corp.:
3.4% 8/1/24	4,625		4,638
3.95% 5/1/50	2,000		1,739
4.1% 3/15/44	6,775		6,257
7.375% 2/1/19	10,000		11,530
Norfolk Southern Corp.:
3% 4/1/22	7,500		7,428
3.25% 12/1/21	5,000		4,997
3.95% 10/1/42	1,900		1,666
5.75% 1/15/16	10,000		10,059
Union Pacific Corp. 4.75% 9/15/41	2,800		3,017
			87,622
Trading Companies & Distributors - 0.0%
Air Lease Corp. 3.75% 2/1/22	3,820		3,770
TOTAL INDUSTRIALS			338,822
INFORMATION TECHNOLOGY - 1.4%
Communications Equipment - 0.1%
Cisco Systems, Inc.:
3.5% 6/15/25	4,270		4,429
4.45% 1/15/20	2,000		2,192
4.95% 2/15/19	3,479		3,828
5.9% 2/15/39	12,416		15,231
			25,680
Electronic Equipment & Components - 0.1%
Corning, Inc. 4.75% 3/15/42	5,000		4,763
Tyco Electronics Group SA:
2.35% 8/1/19	5,000		5,017
2.375% 12/17/18	3,000		3,014
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
Electronic Equipment & Components - continued
Tyco Electronics Group SA: - continued
3.45% 8/1/24	$ 3,650		$ 3,652
6.55% 10/1/17	2,338		2,542
7.125% 10/1/37	2,475		3,174
			22,162
Internet Software & Services - 0.0%
Google, Inc. 3.625% 5/19/21	3,780		4,037
IT Services - 0.3%
IBM Corp.:
1.25% 2/6/17	11,250		11,274
1.95% 7/22/16	1,500		1,512
3.625% 2/12/24	10,000		10,310
7.625% 10/15/18	13,000		15,118
Xerox Corp.:
2.75% 3/15/19	5,000		4,883
4.5% 5/15/21	4,000		4,036
5.625% 12/15/19	1,000		1,070
			48,203
Semiconductors & Semiconductor Equipment - 0.1%
Intel Corp.:
3.3% 10/1/21	15,000		15,708
4.9% 7/29/45	3,000		3,174
Texas Instruments, Inc. 1.75% 5/1/20	3,800		3,751
			22,633
Software - 0.5%
Microsoft Corp.:
2.5% 2/8/16	2,000		2,008
2.7% 2/12/25	17,175		16,838
3.625% 12/15/23	26,150		27,780
4.2% 6/1/19	2,000		2,177
4.45% 11/3/45	7,570		7,813
5.3% 2/8/41	1,500		1,730
Oracle Corp.:
2.25% 10/8/19	4,725		4,788
2.5% 5/15/22	9,600		9,519
3.4% 7/8/24	4,725		4,816
4.3% 7/8/34	3,875		3,899
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
INFORMATION TECHNOLOGY - continued
Software - continued
Oracle Corp.: - continued
5.375% 7/15/40	$ 12,500		$ 13,949
5.75% 4/15/18	7,400		8,138
			103,455
Technology Hardware, Storage & Peripherals - 0.3%
Apple, Inc.:
2.1% 5/6/19	6,475		6,578
2.7% 5/13/22	6,650		6,689
3.2% 5/13/25	10,490		10,648
3.85% 5/4/43	13,000		12,092
Hewlett Packard Enterprise Co.:
3.6% 10/15/20 (b)	7,130		7,187
4.9% 10/15/25 (b)	9,750		9,626
HP, Inc.:
4.3% 6/1/21	2,780		2,777
6% 9/15/41	1,500		1,382
			56,979
TOTAL INFORMATION TECHNOLOGY			283,149
MATERIALS - 1.2%
Chemicals - 0.5%
Air Products & Chemicals, Inc. 4.375% 8/21/19	1,000		1,074
Albemarle Corp. U.S. 3% 12/1/19	2,850		2,833
E.I. du Pont de Nemours & Co.:
3.625% 1/15/21	5,000		5,208
4.15% 2/15/43	4,000		3,566
4.625% 1/15/20	3,000		3,235
Ecolab, Inc.:
1.45% 12/8/17	6,650		6,611
2.25% 1/12/20	3,775		3,760
5.5% 12/8/41	3,000		3,325
Lubrizol Corp. 8.875% 2/1/19	919		1,105
LYB International Finance BV:
4% 7/15/23	5,625		5,716
4.875% 3/15/44	5,850		5,629
LyondellBasell Industries NV 5% 4/15/19	3,000		3,223
Monsanto Co.:
2.125% 7/15/19	7,458		7,393
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Chemicals - continued
Monsanto Co.: - continued
2.75% 7/15/21	$ 6,357		$ 6,267
2.85% 4/15/25	3,825		3,536
Potash Corp. of Saskatchewan, Inc.:
3.25% 12/1/17	3,800		3,898
4.875% 3/30/20	1,500		1,633
5.625% 12/1/40	1,800		1,941
Praxair, Inc.:
2.2% 8/15/22	2,000		1,904
2.45% 2/15/22	4,650		4,552
3.2% 1/30/26	3,840		3,871
3.55% 11/7/42	2,000		1,768
The Dow Chemical Co.:
3% 11/15/22	4,900		4,817
4.125% 11/15/21	7,700		8,103
8.55% 5/15/19	2,358		2,819
9.4% 5/15/39	3,000		4,391
The Mosaic Co. 5.625% 11/15/43	3,750		3,809
			105,987
Containers & Packaging - 0.0%
Bemis Co., Inc. 6.8% 8/1/19	3,000		3,414
Metals & Mining - 0.6%
Barrick Gold Corp.:
3.85% 4/1/22	8,000		7,166
5.25% 4/1/42	4,500		3,346
BHP Billiton Financial (U.S.A.) Ltd.:
2.05% 9/30/18	8,075		8,077
2.875% 2/24/22	9,300		9,100
5% 9/30/43	3,000		2,874
6.5% 4/1/19	2,500		2,800
Freeport-McMoRan, Inc.:
2.375% 3/15/18	10,425		8,866
3.1% 3/15/20	3,800		2,948
3.55% 3/1/22	5,125		3,536
3.875% 3/15/23	2,000		1,345
5.45% 3/15/43	3,000		1,883
Newmont Mining Corp.:
5.125% 10/1/19	1,000		1,054
6.25% 10/1/39	1,600		1,357
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - continued
Metals & Mining - continued
Nucor Corp.:
4% 8/1/23	$ 3,000		$ 3,003
5.2% 8/1/43	4,000		3,864
Rio Tinto Finance (U.S.A.) Ltd.:
3.75% 9/20/21	3,200		3,259
3.75% 6/15/25	5,810		5,559
6.5% 7/15/18	1,398		1,536
7.125% 7/15/28	2,000		2,416
Rio Tinto Finance (U.S.A.) PLC:
2.25% 12/14/18	3,000		2,976
2.875% 8/21/22	6,000		5,721
Southern Copper Corp.:
3.875% 4/23/25	3,670		3,327
5.25% 11/8/42	5,775		4,313
Teck Resources Ltd.:
4.75% 1/15/22	3,850		2,137
5.2% 3/1/42	5,200		2,405
Vale Overseas Ltd.:
4.375% 1/11/22	11,400		9,507
5.625% 9/15/19	6,210		5,968
6.25% 1/23/17	9,395		9,560
			119,903
Paper & Forest Products - 0.1%
International Paper Co.:
3.65% 6/15/24	4,725		4,711
3.8% 1/15/26	2,880		2,857
4.75% 2/15/22	11,500		12,451
			20,019
TOTAL MATERIALS			249,323
TELECOMMUNICATION SERVICES - 1.2%
Diversified Telecommunication Services - 1.0%
AT&T, Inc.:
2.4% 8/15/16	12,800		12,927
2.45% 6/30/20	5,360		5,272
3.4% 5/15/25	9,270		8,989
4.35% 6/15/45	24,760		21,649
5.55% 8/15/41	7,300		7,504
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
AT&T, Inc.: - continued
5.8% 2/15/19	$ 4,000		$ 4,448
6.3% 1/15/38	838		936
BellSouth Capital Funding Corp. 7.875% 2/15/30	131		157
British Telecommunications PLC 9.625% 12/15/30 (f)	4,515		6,635
Deutsche Telekom International Financial BV 6.75% 8/20/18	3,595		4,032
Orange SA 5.375% 7/8/19	4,000		4,432
Telefonica Emisiones S.A.U.:
3.992% 2/16/16	3,850		3,872
5.462% 2/16/21	2,700		3,040
5.877% 7/15/19	2,000		2,222
6.421% 6/20/16	1,151		1,183
7.045% 6/20/36	2,600		3,157
Verizon Communications, Inc.:
2% 11/1/16	9,600		9,680
4.272% 1/15/36	24,278		22,398
4.4% 11/1/34	3,775		3,580
4.5% 9/15/20	23,600		25,624
4.75% 11/1/41	1,000		952
5.012% 8/21/54	12,557		11,902
6.25% 4/1/37	3,121		3,533
6.35% 4/1/19	6,000		6,819
6.55% 9/15/43	12,516		15,116
6.9% 4/15/38	6,025		7,361
Verizon Global Funding Corp. 5.85% 9/15/35	3,190		3,511
			200,931
Wireless Telecommunication Services - 0.2%
America Movil S.A.B. de CV:
3.125% 7/16/22	5,275		5,223
6.125% 11/15/37	8,365		9,347
Rogers Communications, Inc.:
4.1% 10/1/23	4,825		5,029
5.45% 10/1/43	5,775		6,224
Vodafone Group PLC:
1.25% 9/26/17	4,000		3,977
1.5% 2/19/18	7,700		7,670
2.5% 9/26/22	3,000		2,833
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - continued
Vodafone Group PLC: - continued
2.95% 2/19/23	$ 6,900		$ 6,622
5.45% 6/10/19	6,000		6,656
			53,581
TOTAL TELECOMMUNICATION SERVICES			254,512
UTILITIES - 1.9%
Electric Utilities - 1.3%
Alabama Power Co.:
3.75% 3/1/45	1,000		912
4.15% 8/15/44	4,650		4,484
5.2% 6/1/41	3,850		4,177
AmerenUE:
3.9% 9/15/42	3,700		3,540
6.4% 6/15/17	2,959		3,178
American Electric Power Co., Inc.:
1.65% 12/15/17	4,000		3,971
2.95% 12/15/22	4,000		3,927
Appalachian Power Co. 4.45% 6/1/45	6,000		5,822
Baltimore Gas & Electric Co. 3.35% 7/1/23	2,850		2,887
Carolina Power & Light Co. 2.8% 5/15/22	4,350		4,363
CenterPoint Energy Houston Electric LLC 3.55% 8/1/42	1,900		1,723
Cleveland Electric Illuminating Co. 8.875% 11/15/18	2,000		2,360
Commonwealth Edison Co.:
3.1% 11/1/24	10,000		10,041
3.4% 9/1/21	1,000		1,042
3.7% 3/1/45	3,100		2,813
5.8% 3/15/18	9,945		10,845
Dayton Power & Light Co. 1.875% 9/15/16	3,750		3,761
Detroit Edison Co. 2.65% 6/15/22	8,000		7,910
Duke Energy Carolinas LLC:
3.75% 6/1/45	2,000		1,868
4% 9/30/42	3,750		3,619
5.25% 1/15/18	4,355		4,698
Duke Energy Corp.:
2.1% 6/15/18	4,650		4,688
3.75% 4/15/24	6,000		6,103
3.95% 10/15/23	2,443		2,534
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Duke Energy Progress, Inc.:
4.15% 12/1/44	$ 1,800		$ 1,783
4.375% 3/30/44	2,000		2,049
Edison International 3.75% 9/15/17	3,000		3,103
Entergy Corp. 4% 7/15/22	6,640		6,806
Exelon Corp. 3.95% 6/15/25	7,830		7,936
Florida Power & Light Co.:
3.25% 6/1/24	4,725		4,849
4.05% 10/1/44	5,419		5,386
Hydro-Quebec:
1.375% 6/19/17	1,000		1,003
2% 6/30/16	7,310		7,364
Indiana Michigan Power Co. 3.2% 3/15/23	2,775		2,755
Nevada Power Co. 6.5% 8/1/18	1,555		1,735
Northern States Power Co.:
3.4% 8/15/42	2,000		1,778
4.125% 5/15/44	4,500		4,526
5.25% 3/1/18	10,500		11,330
Pacific Gas & Electric Co.:
2.45% 8/15/22	4,000		3,885
3.75% 8/15/42	5,900		5,371
5.4% 1/15/40	4,000		4,547
PacifiCorp:
3.6% 4/1/24	4,000		4,172
6% 1/15/39	6,193		7,584
Pennsylvania Electric Co. 6.05% 9/1/17	757		811
Potomac Electric Power Co. 6.5% 11/15/37	3,806		4,921
PPL Capital Funding, Inc.:
3.4% 6/1/23	2,675		2,686
4.2% 6/15/22	2,000		2,103
4.7% 6/1/43	1,800		1,812
PPL Electric Utilities Corp. 4.15% 10/1/45	3,500		3,469
Progress Energy, Inc.:
4.875% 12/1/19	1,700		1,840
6% 12/1/39	5,200		6,261
Public Service Co. of Colorado 2.9% 5/15/25	11,000		10,886
Public Service Electric & Gas Co.:
3.65% 9/1/42	2,825		2,625
4% 6/1/44	5,000		4,883
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Electric Utilities - continued
Puget Sound Energy, Inc. 4.3% 5/20/45	$ 6,410		$ 6,541
Tampa Electric Co. 6.15% 5/15/37	6,260		7,655
TECO Finance, Inc. 4% 3/15/16	2,875		2,896
Virginia Electric & Power Co.:
3.1% 5/15/25	4,000		3,988
3.45% 2/15/24	2,750		2,823
4.2% 5/15/45	2,400		2,391
4.45% 2/15/44	2,750		2,845
5% 6/30/19	5,000		5,487
6% 5/15/37	2,000		2,466
Wisconsin Electric Power Co.:
4.25% 6/1/44	4,700		4,737
6.25% 12/1/15	2,983		2,983
Wisconsin Power & Light Co. 5% 7/15/19	1,000		1,101
			277,438
Gas Utilities - 0.0%
Southern California Gas Co. 3.75% 9/15/42	2,000		1,886
Southern Natural Gas Co. 5.9% 4/1/17 (b)	438		450
			2,336
Multi-Utilities - 0.6%
Ameren Illinois Co. 6.125% 11/15/17	3,364		3,653
Berkshire Hathaway Energy Co.:
4.5% 2/1/45	3,000		2,962
5.15% 11/15/43	1,650		1,776
5.75% 4/1/18	3,750		4,081
6.5% 9/15/37	7,605		9,430
CenterPoint Energy, Inc. 5.95% 2/1/17	1,181		1,239
CMS Energy Corp. 4.875% 3/1/44	5,000		5,143
Consolidated Edison Co. of New York, Inc.:
4.45% 6/15/20	2,000		2,178
4.45% 3/15/44	8,000		8,031
5.5% 12/1/39	2,500		2,851
Consumers Energy Co. 2.85% 5/15/22	6,650		6,609
Delmarva Power & Light 4% 6/1/42	4,000		3,825
Dominion Resources, Inc.:
2.5% 12/1/19	6,700		6,698
2.6266% 9/30/66 (f)	1,000		780
4.9% 8/1/41	2,000		1,980
Nonconvertible Bonds - continued
	Principal Amount (000s)		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
Dominion Resources, Inc.: - continued
7.5% 6/30/66 (f)	$ 1,000		$ 869
NiSource Finance Corp.:
4.8% 2/15/44	5,500		5,661
5.45% 9/15/20	5,111		5,633
6.25% 12/15/40	2,453		2,915
6.4% 3/15/18	1,532		1,681
PG&E Corp. 2.4% 3/1/19	2,406		2,412
Puget Energy, Inc. 3.65% 5/15/25 (b)	8,070		7,872
San Diego Gas & Electric Co. 4.5% 8/15/40	1,000		1,052
Sempra Energy:
2.4% 3/15/20	12,406		12,255
2.875% 10/1/22	3,000		2,927
4.05% 12/1/23	5,000		5,219
6% 10/15/39	1,000		1,151
6.5% 6/1/16	3,000		3,081
Wisconsin Energy Corp. 6.25% 5/15/67 (f)	4,228		3,467
			117,431
TOTAL UTILITIES			397,205
TOTAL NONCONVERTIBLE BONDS (Cost $5,154,528)		5,249,215
U.S. Government and Government Agency Obligations - 38.9%

U.S. Government Agency Obligations - 2.5%
Fannie Mae:
0.875% 10/26/17	32,907		32,835
1.125% 7/20/18	102,559		102,359
1.5% 6/22/20	566		560
1.5% 11/30/20	18,106		17,810
1.875% 9/18/18	15,050		15,303
1.875% 12/28/20	4,230		4,237
2.625% 9/6/24	4,000		4,068
Federal Home Loan Bank:
0.625% 12/28/16	28,350		28,296
0.875% 5/24/17	15,825		15,822
1% 6/21/17	35,300		35,359
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - continued
Federal Home Loan Bank: - continued
1.125% 4/25/18	$ 54,675		$ 54,645
5% 11/17/17	33,300		35,861
5.5% 7/15/36	1,500		1,973
Freddie Mac:
0.875% 10/14/16	24,375		24,402
1% 6/29/17	2,660		2,665
1% 9/29/17	32,075		32,095
1.375% 5/1/20	14,000		13,837
2.375% 1/13/22	13,000		13,227
3.75% 3/27/19	2,300		2,475
6.25% 7/15/32	7,700		10,818
6.75% 3/15/31	26,000		37,558
Tennessee Valley Authority:
5.25% 9/15/39	20,000		24,458
5.375% 4/1/56	5,395		6,491
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			517,154
U.S. Treasury Obligations - 36.4%
U.S. Treasury Bonds:
2.5% 2/15/45	106,220		95,822
2.875% 8/15/45	36,710		35,891
3% 11/15/44	17,905		17,936
3% 5/15/45	43,090		43,149
3.125% 8/15/44	44,650		45,874
3.375% 5/15/44	72,390		78,057
3.5% 2/15/39	8,315		9,246
3.625% 8/15/43	26,640		30,148
3.625% 2/15/44	67,570		76,415
3.75% 11/15/43	44,780		51,828
3.875% 8/15/40	30,080		35,308
4.25% 5/15/39	26,000		32,280
4.25% 11/15/40	811		1,007
4.375% 2/15/38	8,200		10,401
4.375% 11/15/39	100		126
4.375% 5/15/40	8,000		10,109
4.375% 5/15/41	57,765		73,235
4.5% 2/15/36	27,520		35,487
4.5% 5/15/38	15,000		19,362
4.5% 8/15/39	39,000		50,167
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Bonds: - continued
4.625% 2/15/40	$ 21,500		$ 28,133
4.75% 2/15/37	9,420		12,562
4.75% 2/15/41	54,830		73,183
5% 5/15/37	11,000		15,165
5.375% 2/15/31	53,470		72,909
6.25% 5/15/30	86,360		125,917
8.75% 5/15/17	8,000		8,917
8.875% 8/15/17	5,000		5,679
8.875% 2/15/19	6,960		8,630
9% 11/15/18	4,000		4,907
9.125% 5/15/18	3,000		3,589
U.S. Treasury Notes:
0.25% 12/15/15	3		3
0.5% 2/28/17	56,690		56,491
0.5% 3/31/17	31,130		31,006
0.5% 4/30/17	64,360		64,071
0.625% 2/15/17	51,180		51,090
0.625% 5/31/17	115,140		114,758
0.625% 7/31/17	32,510		32,383
0.625% 8/31/17	67,720		67,403
0.75% 3/15/17	66,400		66,361
0.75% 4/15/18	126,660		125,705
0.875% 12/31/16	3		3
0.875% 2/28/17	109,294		109,409
0.875% 4/15/17	146,720		146,852
0.875% 5/15/17	49,260		49,293
0.875% 6/15/17	112,340		112,393
0.875% 7/15/17	100,740		100,752
0.875% 8/15/17	82,420		82,407
0.875% 10/15/17	206,880		206,735
0.875% 11/15/17	33,950		33,904
0.875% 11/30/17	62,560		62,482
0.875% 1/15/18	8,670		8,645
0.875% 7/15/18	104,000		103,285
0.875% 10/15/18	89,640		88,782
1% 3/31/17	45,115		45,235
1% 9/15/17	64,200		64,310
1% 12/15/17	112,860		112,904
1% 2/15/18	96,230		96,147
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1% 3/15/18	$ 56,600		$ 56,531
1% 9/15/18	32,730		32,559
1.125% 4/30/20	177,430		174,013
1.25% 10/31/18	45,190		45,248
1.25% 11/30/18	47,480		47,513
1.25% 1/31/19	14,670		14,654
1.25% 1/31/20	825		815
1.375% 6/30/18	31,800		32,012
1.375% 7/31/18	1,175		1,182
1.375% 9/30/18	95,690		96,187
1.375% 2/28/19	98,500		98,673
1.375% 1/31/20	20,920		20,778
1.375% 2/29/20	49,140		48,768
1.375% 3/31/20	6,630		6,574
1.375% 4/30/20	55,840		55,325
1.375% 8/31/20	78,960		78,029
1.375% 9/30/20	78,640		77,614
1.375% 10/31/20	5,720		5,643
1.5% 8/31/18	246,625		248,841
1.5% 12/31/18	4,060		4,089
1.5% 1/31/19	37,180		37,425
1.5% 2/28/19	32,250		32,438
1.5% 3/31/19	12,800		12,872
1.5% 10/31/19	36,700		36,740
1.5% 11/30/19	51,090		51,094
1.5% 5/31/20	39,630		39,457
1.5% 1/31/22	4,370		4,267
1.625% 4/30/19	4,980		5,024
1.625% 7/31/19	43,010		43,336
1.625% 8/31/19	100,350		101,079
1.625% 12/31/19	8,990		9,029
1.625% 6/30/20	50,460		50,464
1.625% 7/31/20	47,580		47,554
1.625% 11/30/20	80,280		80,183
1.75% 5/31/16	6,670		6,713
1.75% 10/31/18	10		10
1.75% 9/30/19	11,230		11,353
1.75% 10/31/20	9,960		9,989
1.75% 3/31/22	117,000		115,734
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
1.75% 4/30/22	$ 15,910		$ 15,727
1.75% 9/30/22	38,970		38,387
1.875% 9/30/17	11,325		11,527
1.875% 10/31/17	40,860		41,593
1.875% 6/30/20	24,290		24,563
1.875% 11/30/21	81,260		81,263
1.875% 5/31/22	45,535		45,316
1.875% 8/31/22	69,670		69,207
1.875% 10/31/22	27,400		27,193
2% 11/30/20	31,910		32,371
2% 2/28/21	26,380		26,716
2% 5/31/21	40,290		40,732
2% 8/31/21	108,300		109,281
2% 10/31/21	29,700		29,930
2% 7/31/22	48,060		48,163
2% 11/30/22	42,170		42,190
2% 2/15/25 (e)	3,635		3,571
2% 8/15/25	76,280		74,793
2.125% 8/31/20	49,753		50,812
2.125% 1/31/21	3,060		3,119
2.125% 6/30/21	7,260		7,387
2.125% 8/15/21	90,750		92,281
2.125% 9/30/21	43,640		44,310
2.125% 12/31/21	19,320		19,584
2.125% 6/30/22	40,770		41,182
2.125% 5/15/25 (e)	74,255		73,663
2.25% 11/30/17	11,000		11,279
2.25% 4/30/21	42,310		43,369
2.25% 7/31/21	31,690		32,434
2.25% 11/15/24	85,930		86,373
2.25% 11/15/25	40,790		40,924
2.375% 8/15/24	78,790		80,067
2.5% 8/15/23	97,170		100,271
2.5% 5/15/24	95,500		98,134
2.625% 4/30/18	10,200		10,582
2.625% 8/15/20	141,000		147,185
2.625% 11/15/20	94,180		98,297
2.75% 12/31/17	3,000		3,109
2.75% 11/15/23	102,790		107,938
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Obligations - continued
U.S. Treasury Notes: - continued
2.75% 2/15/24	$ 135,610		$ 142,157
3% 8/31/16	2		2
3.125% 5/15/21	50,876		54,378
3.25% 5/31/16	14,200		14,399
3.375% 11/15/19	27,740		29,767
3.5% 2/15/18	4,000		4,214
3.5% 5/15/20	81,800		88,421
3.625% 2/15/20	59,600		64,661
3.625% 2/15/21	39,800		43,508
3.875% 5/15/18	8,000		8,547
4% 8/15/18	22,000		23,705
4.25% 11/15/17	16,000		17,024
4.5% 5/15/17	13,000		13,696
4.625% 11/15/16	13,400		13,894
4.625% 2/15/17	14,000		14,645
5.125% 5/15/16	13,100		13,377
TOTAL U.S. TREASURY OBLIGATIONS			7,485,275
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $7,803,063)		8,002,429
U.S. Government Agency - Mortgage Securities - 30.2%

Fannie Mae - 14.5%
2.276% 11/1/34 (f)	11,225		11,763
2.5% 3/1/27 to 8/1/43	197,314		200,022
2.5% 12/1/30 (d)	16,600		16,819
2.5% 12/1/30 (d)	4,000		4,053
2.53% 11/1/34 (f)	853		904
3% 11/1/20 to 9/1/45	595,898		605,165
3% 12/1/30 (d)	22,600		23,398
3% 12/1/30 (d)	8,000		8,282
3% 12/1/45	7,000		7,030
3.095% 4/1/41 (f)	5,727		5,947
3.5% 8/1/24 to 11/1/45	739,630		768,778
3.5% 12/1/30 (d)	1,000		1,051
3.5% 12/1/45 (d)	37,800		39,153
3.5% 12/1/45	40,000		41,432
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
4% 7/1/18 to 3/1/45	$ 564,139		$ 599,722
4% 12/1/45	16,000		16,975
4.5% 1/1/19 to 12/1/44	229,398		248,253
4.5% 12/1/45 (d)	11,200		12,107
4.5% 12/1/45	3,000		3,243
5% 12/1/20 to 11/1/44	141,968		156,376
5% 12/1/45	1,000		1,103
5.5% 8/1/17 to 9/1/41	92,521		104,072
5.5% 12/1/45	1,000		1,117
6% 2/1/23 to 7/1/41	67,190		76,240
6.5% 3/1/22 to 6/1/40	24,647		28,474
TOTAL FANNIE MAE			2,981,479
Freddie Mac - 6.6%
1.953% 3/1/36 (f)	5,577		5,806
2.391% 12/1/35 (f)	4,816		5,116
2.471% 3/1/35 (f)	2,044		2,172
2.5% 5/1/23 to 7/1/30	118,334		120,254
2.618% 9/1/37 (f)	1,528		1,625
3% 3/1/27 to 7/1/45	355,822		360,831
3.5% 9/1/18 to 10/1/45	381,939		396,074
4% 3/1/26 to 4/1/45	210,298		223,331
4.5% 6/1/25 to 12/1/44	125,913		136,322
5% 4/1/23 to 9/1/40	62,827		69,375
5.5% 5/1/23 to 6/1/41	38,629		43,283
6% 4/1/32 to 8/1/37	1,766		2,011
6.5% 8/1/36 to 12/1/37	639		735
TOTAL FREDDIE MAC			1,366,935
Ginnie Mae - 9.1%
2.5% 10/20/42 to 3/20/44	7,893		7,738
3% 4/15/42 to 8/20/45	306,927		312,799
3% 12/1/45 (d)	5,000		5,082
3.5% 10/15/40 to 7/20/45	324,555		339,788
3.5% 12/1/45 (d)	169,600		177,128
3.5% 12/1/45 (d)	9,000		9,399
3.5% 12/1/45 (d)	105,500		110,183
3.5% 1/1/46 (d)	9,000		9,376
3.5% 1/1/46 (d)	105,500		109,906
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Ginnie Mae - continued
3.5% 1/1/46 (d)	$ 64,100		$ 66,777
3.5% 1/1/46 (d)	23,000		23,961
4% 1/15/25 to 7/20/45	297,866		317,247
4% 12/1/45 (d)	3,000		3,187
4% 12/1/45 (d)	11,000		11,686
4.5% 9/15/33 to 7/20/45	180,192		194,997
4.5% 12/1/45 (d)	2,000		2,149
5% 4/20/38 to 8/20/44	94,034		104,999
5.5% 10/20/32 to 8/20/44	32,696		36,948
5.5% 12/1/45 (d)	1,000		1,102
6% 5/20/34 to 12/15/40	16,729		19,100
6.5% 8/20/36 to 1/15/39	3,290		3,803
TOTAL GINNIE MAE			1,867,355
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $6,143,527)		6,215,769
Asset-Backed Securities - 0.7%

BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	9,500		9,505
Capital One Multi-Asset Execution Trust Series 2015-A1 Class A, 1.39% 1/15/21	9,500		9,470
Chase Issuance Trust:
Series 2012-A4 Class A4, 1.58% 8/16/21	6,875		6,811
Series 2012-A7 Class A7, 2.16% 9/16/24	3,925		3,844
Series 2015-A4 Class A, 1.84% 4/15/22	4,750		4,710
Citibank Credit Card Issuance Trust:
Series 2013-A3 Class A3, 1.11% 7/23/18	2,800		2,805
Series 2013-A9 Class A9, 3.72% 9/8/25	4,675		5,070
Discover Card Master Trust Series 2015-A2 Class A, 1.9% 10/17/22	10,800		10,696
Ford Credit Auto Owner Trust:
Series 2013-C Class A3, 0.82% 12/15/17	1,868		1,868
Series 2014-C Class A3, 1.06% 5/15/19	9,475		9,463
Ford Credit Floorplan Master Owner Trust:
Series 2013-5 Class A1, 1.5% 9/15/18	4,675		4,689
Series 2015-2 Class A1, 1.98% 1/15/22	9,500		9,438
Honda Auto Receivables Owner Trust:
Series 2014-4 Class A3, 0.99% 9/17/18	9,475		9,457
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Honda Auto Receivables Owner Trust: - continued
Series 2015-1 Class A3, 1.05% 10/15/18	$ 10,000		$ 9,980
Hyundai Auto Receivables Trust:
Series 2013-C Class A3, 1.01% 2/15/18	2,531		2,533
Series 2015-A Class A3, 1.05% 4/15/19	9,500		9,456
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	9,500		9,501
Mercedes-Benz Auto Receivables Trust Series 2013-1 Class A3, 0.78% 8/15/17	710		710
Nissan Auto Receivables Owner Trust:
Series 2013-B Class A3, 0.84% 11/15/17	1,858		1,858
Series 2014-B Class A3, 1.11% 5/15/19	9,475		9,458
Volkswagen Auto Lease Trust Series 2015-A Class A3, 1.25% 12/20/17	9,500		9,427
TOTAL ASSET-BACKED SECURITIES (Cost $140,297)		140,749
Commercial Mortgage Securities - 2.7%

Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-3 Class A4, 5.889% 7/10/44 (f)	6,052		6,088
Series 2006-6 Class A3, 5.369% 10/10/45	2,001		2,008
Series 2007-3 Class A4, 5.5616% 6/10/49 (f)	2,459		2,547
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	2,444		2,526
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer Series 2007-PW16 Class A4, 5.7049% 6/11/40 (f)	13,466		13,954
Series 2006-T22 Class A4, 5.6179% 4/12/38 (f)	76		77
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	9,314		9,502
Series 2007-C6 Class A4, 5.7114% 12/10/49 (f)	9,950		10,400
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	4,405		4,502
COMM Mortgage Trust Series 2015-CR22 Class A5, 3.309% 3/10/48	19,425		19,456
COMM Mortgage Trust pass-thru certificates sequential payer Series 2007-C9 Class A4, 5.7956% 12/10/49 (f)	2,805		2,946
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	$ 5,179		$ 5,262
Series 2007-C2 Class A3, 5.542% 1/15/49 (f)	2,536		2,603
Series 2007-C3 Class A4, 5.699% 6/15/39 (f)	6,018		6,245
Series 2007-C5 Class A4, 5.695% 9/15/40 (f)	1,104		1,146
Freddie Mac:
sequential payer:
Series K007 Class A2, 4.224% 3/25/20	19,000		20,741
Series K034 Class A2, 3.531% 7/25/23	9,000		9,599
Series K013 Class A2, 3.974% 1/25/21	11,575		12,576
Series K020 Class A2, 2.373% 5/25/22	10,400		10,420
Series K036 Class A2, 3.527% 10/25/23	8,975		9,554
Series K046 Class A2, 3.205% 3/25/25	33,300		34,350
Series K047 Class A2, 3.329% 5/25/25	3,860		4,019
Series K501 Class A2, 1.655% 11/25/16	16,107		16,170
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	19,501		20,142
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	3,114		3,210
Series 2006-GG7 Class A4, 5.8193% 7/10/38 (f)	34,891		35,130
JPMBB Commercial Mortgage Securities Trust:
sequential payer Series 2014-C21 Class A5, 3.7748% 8/15/47	7,000		7,270
Series 2014-C23 Class A5, 3.9342% 9/15/47	9,550		10,081
Series 2014-C24 Class A5, 3.6385% 11/15/47	5,275		5,444
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2012-LC9 Class A5, 2.84% 12/15/47	13,796		13,812
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-CB17 Class A4, 5.429% 12/12/43	26,028		26,566
Series 2006-LDP8 Class A4, 5.399% 5/15/45	724		729
Series 2006-LDP9 Class A3, 5.336% 5/15/47	504		516
Series 2007-CB19 Class A4, 5.695% 2/12/49 (f)	28,380		29,496
Series 2007-LD11 Class A4, 5.7741% 6/15/49 (f)	8,435		8,678
Series 2007-LDPX Class A3, 5.42% 1/15/49	10,845		11,156
Series 2006-LDP7 Class A4, 6.1047% 4/15/45 (f)	2,548		2,563
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0966% 7/15/44 (f)	3,252		3,407
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	$ 566		$ 576
Series 2006-C7 Class A3, 5.347% 11/15/38	945		966
Series 2007-C1 Class A4, 5.424% 2/15/40	1,104		1,133
Series 2007-C2 Class A3, 5.43% 2/15/40	497		513
Series 2007-C6 Class A4, 5.858% 7/15/40 (f)	1,241		1,282
Series 2007-C7 Class A3, 5.866% 9/15/45	5,282		5,607
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.414% 1/12/44 (b)(f)	1,103		1,100
Series 2007-C1 Class A4, 5.8373% 6/12/50 (f)	4,800		4,974
Series 2008-C1 Class A4, 5.69% 2/12/51	1,928		2,037
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (f)	18		18
Series 2007-5 Class A4, 5.378% 8/12/48	6,196		6,364
Series 2007-6 Class A4, 5.485% 3/12/51 (f)	2,000		2,069
Series 2007-7 Class A4, 5.7427% 6/12/50 (f)	4,114		4,295
Series 2007-6 Class B, 5.635% 3/12/51 (f)	1,268		396
Series 2007-8 Class A3, 5.8772% 8/12/49 (f)	1,094		1,146
Morgan Stanley BAML Trust Series 2015-C20 Class A4, 3.249% 2/15/48	14,725		14,685
Morgan Stanley Capital I Trust:
sequential payer:
Series 2007-HQ11 Class A31, 5.439% 2/12/44	69		69
Series 2007-IQ13 Class A4, 5.364% 3/15/44	5,000		5,130
Series 2006-IQ11 Class A4, 5.7565% 10/15/42 (f)	116		116
Series 2007-IQ14 Class A4, 5.692% 4/15/49	1,902		1,972
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b)	164		51
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	31,242		32,194
Series 2007-C31:
Class A4, 5.509% 4/15/47	15,483		16,103
Class A5, 5.5% 4/15/47	7,950		8,232
Series 2007-C32 Class A3, 5.7127% 6/15/49 (f)	8,092		8,351
Series 2007-C33:
Class A4, 5.9524% 2/15/51 (f)	24,068		24,987
Class A5, 5.9524% 2/15/51 (f)	839		890
Series 2005-C22 Class B, 5.3981% 12/15/44 (f)	2,812		2,806
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2006-C25 Class AM, 5.72% 5/15/43 (f)	$ 664		$ 673
WF-RBS Commercial Mortgage Trust Series 2014-C25 Class A5, 3.631% 11/15/47	14,450		14,876
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $519,568)		548,502
Municipal Securities - 0.8%

American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	9,720		14,261
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2010 S1, 7.043% 4/1/50	2,375		3,232
California Gen. Oblig. 7.55% 4/1/39	15,000		22,154
Chicago Gen. Oblig. 6.314% 1/1/44	1,900		1,846
Illinois Gen. Oblig.:
Series 2003, 5.1% 6/1/33	8,900		8,442
Series 2011:
4.961% 3/1/16	2,830		2,857
5.877% 3/1/19	9,700		10,404
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45	7,600		7,501
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49	9,450		13,454
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39	4,985		6,479
New Jersey Tpk. Auth. Tpk. Rev. Series A, 7.414% 1/1/40	4,700		6,699
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42	9,025		11,388
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37	10,725		12,840
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39	6,160		8,108
Port Auth. of New York & New Jersey:
Series 180, 4.96% 8/1/46	5,175		5,653
Series 2010 164, 5.647% 11/1/40	5,210		6,145
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40	6,320		7,709
Municipal Securities - continued
	Principal Amount (000s)		Value (000s)
Univ. of California Revs.:
Series 2009 R, 5.77% 5/15/43	$ 1,000		$ 1,225
Series 2015 AP, 3.931% 5/15/45	3,740		3,633
TOTAL MUNICIPAL SECURITIES (Cost $140,398)		154,030
Foreign Government and Government Agency Obligations - 2.4%

Brazilian Federative Republic:
4.25% 1/7/25	3,775		3,284
4.875% 1/22/21	15,540		15,043
5.625% 1/7/41	11,975		9,520
5.875% 1/15/19	1,300		1,365
6% 1/17/17	3,000		3,105
Canadian Government 1.125% 3/19/18	6,640		6,638
Chilean Republic 3.25% 9/14/21	9,000		9,360
Colombian Republic:
2.625% 3/15/23	7,575		6,818
4% 2/26/24	4,825		4,716
5% 6/15/45	2,000		1,750
5.625% 2/26/44	7,775		7,406
6.125% 1/18/41	4,750		4,821
7.375% 3/18/19	3,450		3,902
Export Development Canada:
1.25% 10/26/16	4,000		4,017
1.5% 10/3/18	1,700		1,708
Israeli State 4% 6/30/22	7,000		7,569
Italian Republic:
5.375% 6/12/17	2,375		2,510
6.875% 9/27/23	6,000		7,428
Jordanian Kingdom:
1.945% 6/23/19	23,650		23,848
3% 6/30/25	2,400		2,465
KfW:
0.5% 4/19/16	8,000		7,997
0.75% 3/17/17	8,000		7,984
1.5% 4/20/20	2,825		2,794
1.875% 4/1/19	16,930		17,121
2.125% 1/17/23	12,000		11,960
2.75% 10/1/20	4,175		4,354
4% 1/27/20	3,000		3,274
Foreign Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
KfW: - continued
4.875% 6/17/19	$ 25,000		$ 27,838
Korean Republic 7.125% 4/16/19	6,650		7,769
Manitoba Province:
1.3% 4/3/17	3,420		3,431
2.1% 9/6/22	1,900		1,846
3.05% 5/14/24	1,500		1,528
New Brunswick Province 2.75% 6/15/18	4,350		4,489
Ontario Province:
1% 7/22/16	17,000		17,021
4% 10/7/19	15,000		16,145
Panamanian Republic:
3.75% 3/16/25	3,800		3,753
4% 9/22/24	4,800		4,836
4.3% 4/29/53	5,675		4,909
5.2% 1/30/20	1,800		1,951
Peruvian Republic:
4.125% 8/25/27	2,800		2,800
5.625% 11/18/50	7,150		7,543
6.55% 3/14/37	3,075		3,644
7.125% 3/30/19	1,900		2,188
Philippine Republic:
3.95% 1/20/40	5,100		5,188
4.2% 1/21/24	4,765		5,192
6.375% 10/23/34	10,375		13,731
6.5% 1/20/20	6,144		7,194
Polish Government:
4% 1/22/24	4,550		4,809
5% 3/23/22	14,500		16,149
Province of British Columbia 1.2% 4/25/17	7,600		7,620
Province of Quebec:
2.75% 8/25/21	20,000		20,406
2.875% 10/16/24	2,075		2,095
South African Republic:
5.875% 5/30/22	7,675		8,382
6.875% 5/27/19	6,750		7,447
Turkish Republic:
5.75% 3/22/24	3,000		3,194
6% 1/14/41	13,200		13,484
6.25% 9/26/22	13,225		14,514
6.75% 4/3/18	8,375		9,048
Foreign Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
Turkish Republic: - continued
7.5% 11/7/19	$ 2,625		$ 2,973
United Mexican States:
3.5% 1/21/21	7,400		7,537
3.625% 3/15/22	3,000		3,030
4% 10/2/23	18,750		19,125
4.6% 1/23/46	3,000		2,753
4.75% 3/8/44	9,700		9,118
5.55% 1/21/45	1,316		1,382
6.05% 1/11/40	4,800		5,388
Uruguay Republic:
4.125% 11/20/45	4,750		3,788
4.5% 8/14/24	3,625		3,725
5.1% 6/18/50	3,875		3,449
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $497,067)		495,169
Supranational Obligations - 1.4%

African Development Bank:
0.875% 5/15/17	1,000		999
0.875% 3/15/18	1,900		1,886
1.125% 3/15/17	1,300		1,304
1.625% 10/2/18	2,800		2,820
2.375% 9/23/21	2,900		2,962
Asian Development Bank:
1.125% 3/15/17	5,000		5,015
1.125% 6/5/18	7,290		7,272
1.5% 1/22/20	4,750		4,726
1.875% 4/12/19	12,000		12,152
1.875% 2/18/22	2,000		1,986
2.125% 11/24/21	4,825		4,848
Council of Europe Development Bank:
1% 3/7/18	1,900		1,890
2.625% 2/16/16	4,250		4,268
European Bank for Reconstruction and Development:
1% 6/15/18	4,750		4,710
1.75% 6/14/19	4,700		4,738
1.75% 11/26/19	2,875		2,891
2.5% 3/15/16	3,800		3,823
Supranational Obligations - continued
	Principal Amount (000s)		Value (000s)
European Investment Bank:
0.875% 4/18/17	$ 11,000		$ 10,986
1.125% 8/15/18	6,590		6,550
1.25% 5/15/18	3,550		3,546
1.375% 6/15/20	2,725		2,673
1.625% 6/15/17	4,640		4,683
1.625% 12/18/18	30,900		31,079
1.75% 3/15/17	5,000		5,052
1.75% 6/17/19	8,625		8,672
1.875% 3/15/19	3,000		3,034
1.875% 2/10/25	3,000		2,873
2.125% 10/15/21	2,840		2,853
2.25% 8/15/22	1,880		1,896
2.5% 4/15/21	4,650		4,781
2.5% 10/15/24	5,725		5,807
2.875% 9/15/20	9,000		9,427
3.25% 1/29/24	2,000		2,140
Inter-American Development Bank:
1.125% 3/15/17	17,100		17,160
1.75% 10/15/19	1,375		1,386
2.125% 1/15/25	1,830		1,791
3% 10/4/23	3,575		3,795
3.875% 9/17/19	5,000		5,416
4.375% 1/24/44	4,000		4,728
International Bank for Reconstruction & Development:
0.875% 4/17/17	8,050		8,047
1% 9/15/16	9,000		9,033
1% 6/15/18	5,600		5,564
1.625% 2/10/22	3,900		3,807
1.875% 10/7/19	3,825		3,873
2.25% 6/24/21	16,075		16,341
2.5% 11/25/24	5,700		5,778
2.5% 7/29/25	3,790		3,833
International Finance Corp.:
1.625% 7/16/20	2,870		2,858
1.75% 9/16/19	11,350		11,380
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $275,888)		279,132
Bank Notes - 0.1%
	Principal Amount (000s)		Value (000s)
American Express Bank FSB 6% 9/13/17	$ 615		$ 662
Bank of America NA:
5.3% 3/15/17	3,500		3,659
6% 10/15/36	2,419		2,923
Branch Banking & Trust Co. 1.45% 10/3/16	2,000		2,007
JPMorgan Chase Bank 6% 10/1/17	7,075		7,617
KeyBank NA 2.5% 12/15/19	4,000		4,016
Regions Bank 7.5% 5/15/18	2,000		2,235
UBS AG Stamford Branch:
5.75% 4/25/18	830		901
5.875% 12/20/17	2,034		2,200
TOTAL BANK NOTES (Cost $24,689)		26,220
Preferred Securities - 0.0%

FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (c)(f) (Cost $1,176)	1,725		1,806

Money Market Funds - 1.0%
	Shares
Fidelity Cash Central Fund, 0.18% (a) (Cost $210,738)	210,737,740		210,738
TOTAL INVESTMENT PORTFOLIO - 103.7% (Cost $20,910,939)			21,323,759
NET OTHER ASSETS (LIABILITIES) - (3.7)%			(769,500)
NET ASSETS - 100%		$ 20,554,259
TBA Sale Commitments
	Principal Amount (000s)		Value (000s)
Fannie Mae
3.5% 12/1/45	$ (56,900)		$ (58,937)
3.5% 12/1/45	(19,000)		(19,680)
TOTAL FANNIE MAE			(78,617)
Ginnie Mae
3.5% 12/1/45	(9,000)		(9,399)
3.5% 12/1/45	(105,500)		(110,183)
3.5% 12/1/45	(64,100)		(66,945)
3.5% 12/1/45	(105,500)		(110,183)
5% 12/1/45	(1,000)		(1,083)
TOTAL GINNIE MAE			(297,793)
TOTAL TBA SALE COMMITMENTS (Proceeds $376,130)		$ (376,410)

Legend

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

(e) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchases on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $5,308,359.

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

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity Cash Central Fund	$ 69
Fidelity Securities Lending Cash Central Fund	30
Total	$ 99

Other Information

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 5,249,215	$ -	$ 5,249,215	$ -
U.S. Government and Government Agency Obligations	8,002,429	-	8,002,429	-
U.S. Government Agency - Mortgage Securities	6,215,769	-	6,215,769	-
Asset-Backed Securities	140,749	-	140,749	-
Commercial Mortgage Securities	548,502	-	548,451	51
Municipal Securities	154,030	-	154,030	-
Foreign Government and Government Agency Obligations	495,169	-	495,169	-
Supranational Obligations	279,132	-	279,132	-
Bank Notes	26,220	-	26,220	-
Preferred Securities	1,806	-	1,806	-
Money Market Funds	210,738	210,738	-	-
Total Investments in Securities:	$ 21,323,759	$ 210,738	$ 21,112,970	$ 51
Other Financial Instruments:
TBA Sale Commitments	$ (376,410)	$ -	$ (376,410)	$ -

Income Tax Information

At November 30, 2015, the cost of investment securities for income tax purposes was $20,893,416,000. Net unrealized appreciation aggregated $430,343,000, of which $586,705,000 related to appreciated investment securities and $156,362,000 related to depreciated investment securities.

Investment Valuation

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

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

Asset backed securities, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Quarterly Report

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:	January 28, 2016

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

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

Date:	January 28, 2016
By:	/s/Howard J. Galligan III
	Howard J. Galligan III
	Chief Financial Officer

Date:	January 28, 2016