Fidelity® Intermediate Bond Fund

Semi-Annual Report

February 29, 2016

Contents

Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Report of Independent Registered Public Accounting Firm
Shareholder Expense Example
Board Approval of Investment Advisory Contracts and Management Fees

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This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Quality Diversification (% of fund's net assets)

As of February 29, 2016
	U.S. Government and U.S. Government Agency Obligations	33.5%
	AAA	8.1%
	AA	4.1%
	A	17.7%
	BBB	27.9%
	BB and Below	6.4%
	Not Rated	0.3%
	Short-Term Investments and Net Other Assets	2.0%

As of August 31, 2015
	U.S. Government and U.S. Government Agency Obligations	33.6%
	AAA	9.7%
	AA	5.7%
	A	17.6%
	BBB	26.8%
	BB and Below	4.6%
	Short-Term Investments and Net Other Assets	2.0%

We have used ratings from Moody's Investors Service, Inc. Where Moody's^® ratings are not available, we have used S&P^® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.

Weighted Average Maturity as of February 29, 2016

		6 months ago
Years	4.5	4.5

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Duration as of February 29, 2016

		6 months ago
Years	3.9	3.8

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016^,^*
	Corporate Bonds	52.8%
	U.S. Government and U.S. Government Agency Obligations	33.5%
	Asset-Backed Securities	3.8%
	CMOs and Other Mortgage Related Securities	5.4%
	Municipal Bonds	0.4%
	Other Investments	2.1%
	Short-Term Investments and Net Other Assets (Liabilities)	2.0%

* Foreign investments - 9.8%

** Futures and Swaps - 0.0%

As of August 31, 2015^,^*
	Corporate Bonds	48.8%
	U.S. Government and U.S. Government Agency Obligations	33.6%
	Asset-Backed Securities	4.3%
	CMOs and Other Mortgage Related Securities	7.5%
	Municipal Bonds	0.4%
	Other Investments	3.4%
	Short-Term Investments and Net Other Assets (Liabilities)	2.0%

* Foreign investments - 11.3%

** Futures and Swaps - 0.0%

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

Investments February 29, 2016

Showing Percentage of Net Assets

Nonconvertible Bonds - 51.0%
	Principal Amount (000s)	Value (000s)
CONSUMER DISCRETIONARY - 4.6%
Automobiles - 1.5%
Daimler Finance North America LLC:
1.45% 8/1/16 (a)	$2,380	$2,380
2.25% 9/3/19 (a)	17,149	17,066
General Motors Financial Co., Inc.:
2.4% 4/10/18	6,610	6,494
3.1% 1/15/19	4,690	4,640
3.15% 1/15/20	6,680	6,527
Volkswagen Group of America Finance LLC:
2.125% 5/23/19 (a)	3,670	3,544
2.45% 11/20/19 (a)	6,500	6,297
		46,948
Hotels, Restaurants & Leisure - 0.0%
McDonald's Corp. 2.75% 12/9/20	610	628
Household Durables - 0.5%
D.R. Horton, Inc. 4% 2/15/20	8,000	8,140
Toll Brothers Finance Corp.:
4% 12/31/18	5,175	5,291
4.875% 11/15/25	4,400	4,268
		17,699
Media - 2.2%
21st Century Fox America, Inc. 6.9% 3/1/19	5,426	6,160
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25 (a)	4,820	4,934
Comcast Corp.:
4.95% 6/15/16	2,432	2,461
5.15% 3/1/20	4,685	5,263
5.7% 5/15/18	355	387
COX Communications, Inc. 6.25% 6/1/18 (a)	4,000	4,284
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
2.4% 3/15/17	4,504	4,548
5.875% 10/1/19	287	321
Discovery Communications LLC 3.25% 4/1/23	563	517
NBCUniversal, Inc. 5.15% 4/30/20	6,800	7,655
Time Warner Cable, Inc.:
5.85% 5/1/17	8,733	9,068
6.75% 7/1/18	7,189	7,834
8.25% 4/1/19	2,550	2,916
Time Warner, Inc. 4.875% 3/15/20	5,060	5,457
Viacom, Inc.:
3.5% 4/1/17	3,145	3,176
6.125% 10/5/17	3,071	3,224
		68,205
Specialty Retail - 0.4%
AutoZone, Inc. 3.7% 4/15/22	3,290	3,407
Lowe's Companies, Inc. 4.625% 4/15/20	4,793	5,227
TJX Companies, Inc. 2.75% 6/15/21	3,201	3,284
		11,918

TOTAL CONSUMER DISCRETIONARY		145,398

CONSUMER STAPLES - 3.5%
Beverages - 1.5%
Anheuser-Busch InBev Finance, Inc.:
2.15% 2/1/19	6,585	6,679
2.65% 2/1/21	6,659	6,777
3.3% 2/1/23	7,172	7,373
3.65% 2/1/26	7,780	8,024
PepsiCo, Inc. 7.9% 11/1/18	5,580	6,492
SABMiller Holdings, Inc.:
2.2% 8/1/18 (a)	3,580	3,600
2.45% 1/15/17 (a)	8,430	8,497
		47,442
Food & Staples Retailing - 0.3%
CVS Health Corp.:
2.8% 7/20/20	2,854	2,923
3.5% 7/20/22	1,679	1,754
4.125% 5/15/21	4,367	4,659
		9,336
Food Products - 0.5%
Cargill, Inc.:
3.25% 11/15/21 (a)	4,000	4,101
6% 11/27/17 (a)	781	836
Kraft Foods Group, Inc. 2.25% 6/5/17	4,150	4,182
Tyson Foods, Inc. 2.65% 8/15/19	3,500	3,547
William Wrigley Jr. Co. 2% 10/20/17 (a)	2,937	2,944
		15,610
Tobacco - 1.2%
BAT International Finance PLC:
2.75% 6/15/20 (a)	6,420	6,557
3.5% 6/15/22 (a)	4,810	5,010
Imperial Tobacco Finance PLC 3.75% 7/21/22 (a)	4,789	4,916
Philip Morris International, Inc. 4.5% 3/26/20	6,800	7,498
Reynolds American, Inc.:
3.25% 6/12/20	638	664
4% 6/12/22	2,191	2,365
4.45% 6/12/25	4,820	5,235
5.7% 8/15/35	824	930
6.75% 6/15/17	3,818	4,099
		37,274

TOTAL CONSUMER STAPLES		109,662

ENERGY - 5.9%
Energy Equipment & Services - 0.7%
DCP Midstream LLC 5.35% 3/15/20 (a)	4,118	3,101
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	5,067	5,114
Halliburton Co.:
2.7% 11/15/20	2,254	2,222
3.8% 11/15/25	1,675	1,586
6.15% 9/15/19	2,601	2,834
Nabors Industries, Inc. 2.35% 9/15/16	1,770	1,752
Noble Holding International Ltd.:
2.5% 3/15/17	1,741	1,665
5.95% 4/1/25	401	203
Petrofac Ltd. 3.4% 10/10/18 (a)	4,400	3,732
		22,209
Oil, Gas & Consumable Fuels - 5.2%
Anadarko Petroleum Corp.:
5.95% 9/15/16	373	375
6.375% 9/15/17	3,957	4,020
BG Energy Capital PLC 2.875% 10/15/16 (a)	4,300	4,322
Boardwalk Pipelines LP 4.95% 12/15/24	4,140	3,544
BP Capital Markets PLC:
2.315% 2/13/20	4,980	4,878
2.521% 1/15/20	3,410	3,348
3.2% 3/11/16	4,270	4,272
3.245% 5/6/22	4,160	4,103
Canadian Natural Resources Ltd. 3.9% 2/1/25	3,400	2,638
Cenovus Energy, Inc. 5.7% 10/15/19	7,250	6,398
Columbia Pipeline Group, Inc. 3.3% 6/1/20 (a)	2,974	2,785
ConocoPhillips Co. 2.2% 5/15/20	3,712	3,432
DCP Midstream Operating LP:
2.5% 12/1/17	1,922	1,754
2.7% 4/1/19	1,120	919
3.875% 3/15/23	3,530	2,543
Devon Energy Corp. 2.25% 12/15/18	3,355	2,924
El Paso Natural Gas Co. 5.95% 4/15/17	178	180
Enbridge Energy Partners LP 4.2% 9/15/21	4,308	3,812
Enterprise Products Operating LP:
2.55% 10/15/19	693	671
4.05% 2/15/22	4,350	4,345
Exxon Mobil Corp.:
2.25% 3/1/21	6,250	6,250
2.75% 3/1/23	4,879	4,879
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (a)	170	172
Kinder Morgan Energy Partners LP 2.65% 2/1/19	4,636	4,336
Kinder Morgan, Inc. 2% 12/1/17	1,246	1,190
Marathon Petroleum Corp. 3.5% 3/1/16	5,906	5,906
MPLX LP 4% 2/15/25	500	379
Petro-Canada 6.05% 5/15/18	1,874	1,917
Petrobras Global Finance BV 4.375% 5/20/23	7,700	5,248
Petroleos Mexicanos 3.5% 1/30/23	3,205	2,774
Phillips 66 Co. 2.95% 5/1/17	8,400	8,505
Plains All American Pipeline LP/PAA Finance Corp.:
2.6% 12/15/19	4,350	3,860
5.75% 1/15/20	6,268	6,043
Schlumberger Investment SA 1.25% 8/1/17 (a)	6,000	5,898
Shell International Finance BV 2.125% 5/11/20	4,895	4,767
Southeast Supply Header LLC 4.25% 6/15/24 (a)	3,066	2,878
Southwestern Energy Co. 4.05% 1/23/20	2,364	1,525
Spectra Energy Capital, LLC 5.65% 3/1/20	237	237
Suncor Energy, Inc. 6.1% 6/1/18	5,571	5,716
The Williams Companies, Inc.:
3.7% 1/15/23	1,003	742
4.55% 6/24/24	4,547	3,410
Total Capital International SA 2.125% 1/10/19	8,195	8,172
TransCanada PipeLines Ltd. 3.125% 1/15/19	2,847	2,865
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	1,717	1,718
Western Gas Partners LP:
2.6% 8/15/18	3,512	3,069
5.375% 6/1/21	4,300	3,673
Williams Partners LP 4.3% 3/4/24	4,990	3,901
		161,293

TOTAL ENERGY		183,502

FINANCIALS - 24.4%
Banks - 10.7%
Bank of America Corp.:
2.65% 4/1/19	7,598	7,637
3.875% 3/22/17	326	333
4.2% 8/26/24	3,440	3,444
4.25% 10/22/26	3,412	3,380
4.45% 3/3/26	3,485	3,485
5.75% 12/1/17	6,840	7,254
5.875% 1/5/21	5,905	6,664
Bank of Montreal 2.5% 1/11/17	4,210	4,260
Bank of Nova Scotia:
2.8% 7/21/21	3,440	3,504
4.5% 12/16/25	6,400	6,281
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1.65% 2/26/18 (a)	4,760	4,742
2.3% 3/5/20 (a)	3,320	3,298
Barclays PLC:
2.75% 11/8/19	2,863	2,811
2.875% 6/8/20	4,810	4,610
3.25% 1/12/21	3,509	3,383
BNP Paribas 2.375% 9/14/17	6,400	6,461
BNP Paribas SA 2.45% 3/17/19	3,370	3,399
Capital One NA 2.95% 7/23/21	3,430	3,402
CIT Group, Inc. 3.875% 2/19/19	7,345	7,308
Citigroup, Inc.:
1.75% 5/1/18	6,000	5,941
2.15% 7/30/18	6,591	6,567
2.55% 4/8/19	11,680	11,715
4.4% 6/10/25	3,290	3,280
Citizens Bank NA 2.45% 12/4/19	6,790	6,737
Citizens Financial Group, Inc. 4.15% 9/28/22 (a)	1,271	1,302
Comerica, Inc. 2.125% 5/23/19	2,052	2,018
Commonwealth Bank of Australia:
2.25% 3/13/19	8,340	8,396
2.3% 9/6/19	3,440	3,463
Credit Suisse AG 6% 2/15/18	9,794	10,369
Credit Suisse New York Branch 3% 10/29/21	3,500	3,504
Discover Bank 2% 2/21/18	8,400	8,299
Fifth Third Bancorp:
2.875% 7/27/20	3,200	3,225
4.5% 6/1/18	440	463
First Horizon National Corp. 3.5% 12/15/20	7,958	7,901
HBOS PLC 6.75% 5/21/18 (a)	3,004	3,230
HSBC Bank PLC 1.5% 5/15/18 (a)	3,890	3,866
HSBC Holdings PLC:
4% 3/30/22	3,778	3,931
5.1% 4/5/21	4,270	4,700
HSBC U.S.A., Inc. 2.625% 9/24/18	1,804	1,814
Huntington Bancshares, Inc. 7% 12/15/20	1,204	1,429
Huntington National Bank 2.2% 4/1/19	4,985	4,942
Intesa Sanpaolo SpA 2.375% 1/13/17	6,760	6,781
JPMorgan Chase & Co.:
2.2% 10/22/19	8,475	8,470
2.35% 1/28/19	7,995	8,074
3.875% 9/10/24	5,168	5,193
4.125% 12/15/26	5,070	5,144
4.5% 1/24/22	4,210	4,562
KeyCorp. 5.1% 3/24/21	4,303	4,732
Mitsubishi UFJ Financial Group, Inc. 2.95% 3/1/21	7,298	7,362
Mitsubishi UFJ Trust & Banking Corp. 2.45% 10/16/19 (a)	5,070	5,077
Mizuho Bank Ltd.:
1.55% 10/17/17 (a)	7,500	7,454
2.4% 3/26/20 (a)	6,705	6,695
MUFG Americas Holdings Corp.:
1.625% 2/9/18	977	970
2.25% 2/10/20	3,292	3,250
Nordea Bank AB 2.375% 4/4/19 (a)	3,360	3,384
PNC Bank NA 2.45% 11/5/20	4,458	4,492
Regions Financial Corp.:
2% 5/15/18	3,910	3,875
3.2% 2/8/21	4,701	4,678
Royal Bank of Canada:
1.5% 1/16/18	8,080	8,069
2.35% 10/30/20	6,360	6,380
4.65% 1/27/26	3,606	3,637
Royal Bank of Scotland Group PLC 5.125% 5/28/24	5,130	4,914
Sumitomo Mitsui Banking Corp. 2.45% 1/10/19	4,000	4,037
SunTrust Banks, Inc. 3% 3/3/21	4,672	4,662
The Toronto-Dominion Bank 2.625% 9/10/18	5,842	5,959
Wells Fargo & Co.:
2.15% 1/15/19	5,077	5,113
3% 1/22/21	6,034	6,198
4.3% 7/22/27	4,780	4,973
		336,883
Capital Markets - 3.3%
BlackRock, Inc. 4.25% 5/24/21	3,460	3,793
Deutsche Bank AG London Branch 2.5% 2/13/19	8,876	8,686
Goldman Sachs Group, Inc.:
2.375% 1/22/18	4,020	4,044
2.625% 1/31/19	7,920	7,980
5.95% 1/18/18	10,163	10,837
6.15% 4/1/18	3,044	3,281
Lazard Group LLC:
4.25% 11/14/20	1,723	1,768
6.85% 6/15/17	935	983
Merrill Lynch & Co., Inc. 6.875% 4/25/18	5,859	6,399
Morgan Stanley:
2.125% 4/25/18	3,910	3,909
2.375% 7/23/19	3,430	3,423
2.5% 1/24/19	9,985	10,037
2.65% 1/27/20	5,010	5,002
3.875% 1/27/26	4,600	4,727
4.875% 11/1/22	3,010	3,174
5.625% 9/23/19	933	1,024
5.75% 1/25/21	4,378	4,921
5.95% 12/28/17	2,475	2,643
7.3% 5/13/19	3,668	4,195
UBS AG Stamford Branch:
1.375% 6/1/17	2,431	2,425
1.8% 3/26/18	4,881	4,884
2.375% 8/14/19	5,170	5,192
		103,327
Consumer Finance - 1.2%
Capital One Financial Corp. 2.45% 4/24/19	2,760	2,760
Discover Financial Services:
3.85% 11/21/22	196	193
5.2% 4/27/22	710	747
6.45% 6/12/17	2,977	3,122
Ford Motor Credit Co. LLC:
1.7% 5/9/16	4,000	4,003
3.157% 8/4/20	3,320	3,306
4.25% 9/20/22	4,080	4,157
Hyundai Capital America:
2.125% 10/2/17 (a)	1,463	1,464
2.55% 2/6/19 (a)	2,513	2,521
2.6% 3/19/20 (a)	6,620	6,623
2.875% 8/9/18 (a)	1,665	1,678
3% 10/30/20 (a)	6,329	6,421
Synchrony Financial:
1.875% 8/15/17	822	813
3% 8/15/19	1,208	1,210
		39,018
Diversified Financial Services - 0.3%
Brixmor Operating Partnership LP:
3.85% 2/1/25	2,929	2,556
3.875% 8/15/22	2,163	2,012
IntercontinentalExchange, Inc. 2.75% 12/1/20	1,103	1,121
McGraw Hill Financial, Inc. 2.5% 8/15/18	1,947	1,957
		7,646
Insurance - 3.2%
ACE INA Holdings, Inc. 2.3% 11/3/20	2,130	2,143
AIA Group Ltd. 2.25% 3/11/19 (a)	743	743
American International Group, Inc.:
3.3% 3/1/21	1,632	1,650
4.875% 6/1/22	6,517	6,954
Aon Corp. 5% 9/30/20	4,000	4,413
Aon PLC 3.875% 12/15/25	6,215	6,298
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (a)(b)	1,929	1,890
Hartford Financial Services Group, Inc.:
5.125% 4/15/22	1,889	2,092
5.375% 3/15/17	149	154
Liberty Mutual Group, Inc. 5% 6/1/21 (a)	4,280	4,617
Marsh & McLennan Companies, Inc.:
2.55% 10/15/18	3,559	3,640
4.8% 7/15/21	3,265	3,588
MassMutual Global Funding II 2.45% 11/23/20 (a)	4,750	4,790
MetLife, Inc. 3.6% 11/13/25	8,640	8,713
Metropolitan Life Global Funding I 2.3% 4/10/19 (a)	8,370	8,402
Pacific LifeCorp 6% 2/10/20 (a)	2,213	2,476
Prudential Financial, Inc.:
3.5% 5/15/24	7,629	7,477
4.5% 11/15/20	4,820	5,148
Symetra Financial Corp. 6.125% 4/1/16 (a)	6,640	6,666
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (a)	4,303	4,376
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a)	980	985
Unum Group:
4% 3/15/24	3,330	3,316
5.625% 9/15/20	5,021	5,498
7.125% 9/30/16	4,802	4,947
		100,976
Real Estate Investment Trusts - 3.3%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	723	719
4.6% 4/1/22	1,262	1,345
American Campus Communities Operating Partnership LP 3.35% 10/1/20	2,428	2,466
AvalonBay Communities, Inc.:
3.625% 10/1/20	1,583	1,654
4.2% 12/15/23	6,745	7,250
Boston Properties, Inc. 3.85% 2/1/23	3,900	4,022
Camden Property Trust 4.25% 1/15/24	2,807	2,997
Corporate Office Properties LP:
3.7% 6/15/21	2,256	2,230
5% 7/1/25	1,529	1,542
DDR Corp.:
3.625% 2/1/25	1,578	1,501
4.625% 7/15/22	1,318	1,369
4.75% 4/15/18	3,000	3,120
7.5% 4/1/17	2,748	2,900
Digital Delta Holdings LLC 3.4% 10/1/20 (a)	3,292	3,350
Duke Realty LP:
3.625% 4/15/23	1,976	1,972
3.875% 10/15/22	3,009	3,098
6.75% 3/15/20	291	334
8.25% 8/15/19	57	68
Equity One, Inc.:
3.75% 11/15/22	8,200	8,199
6% 9/15/17	3,451	3,640
ERP Operating LP:
3.375% 6/1/25	4,900	4,985
4.625% 12/15/21	3,194	3,530
4.75% 7/15/20	2,996	3,254
Federal Realty Investment Trust:
3% 8/1/22	1,518	1,543
5.9% 4/1/20	42	48
HCP, Inc. 4.25% 11/15/23	5,100	4,988
Health Care REIT, Inc.:
2.25% 3/15/18	1,651	1,647
4% 6/1/25	5,264	5,170
HRPT Properties Trust:
6.25% 6/15/17	1,361	1,401
6.65% 1/15/18	792	834
Kimco Realty Corp.:
3.2% 5/1/21	5,040	5,117
3.4% 11/1/22	2,493	2,522
Lexington Corporate Properties Trust 4.4% 6/15/24	1,190	1,203
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	1,111	1,099
4.5% 4/1/27	3,298	3,116
4.95% 4/1/24	1,104	1,129
5.25% 1/15/26	3,160	3,200
Select Income REIT 2.85% 2/1/18	1,609	1,604
Simon Property Group LP 2.2% 2/1/19	3,118	3,153
		103,319
Real Estate Management & Development - 2.4%
BioMed Realty LP 3.85% 4/15/16	8,587	8,595
Brandywine Operating Partnership LP:
3.95% 2/15/23	4,106	4,079
5.7% 5/1/17	2,338	2,428
Digital Realty Trust LP 3.95% 7/1/22	2,154	2,168
Essex Portfolio LP:
3.875% 5/1/24	2,403	2,477
5.5% 3/15/17	3,558	3,691
Liberty Property LP:
4.125% 6/15/22	1,971	2,034
4.75% 10/1/20	7,111	7,669
5.5% 12/15/16	1,941	1,997
6.625% 10/1/17	2,744	2,920
Mack-Cali Realty LP:
2.5% 12/15/17	2,891	2,864
4.5% 4/18/22	1,234	1,201
7.75% 8/15/19	539	592
Mid-America Apartments LP:
4% 11/15/25	807	824
4.3% 10/15/23	696	736
Post Apartment Homes LP 3.375% 12/1/22	2,705	2,702
Prime Property Funding, Inc. 5.7% 4/15/17 (a)	2,195	2,263
Regency Centers LP:
3.75% 6/15/24	2,349	2,393
5.875% 6/15/17	1,280	1,345
Tanger Properties LP:
3.75% 12/1/24	3,076	3,130
6.125% 6/1/20	4,208	4,785
Ventas Realty LP:
1.25% 4/17/17	1,643	1,630
4.125% 1/15/26	4,120	4,178
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	2,589	2,576
Washington Prime Group LP 3.85% 4/1/20	4,940	5,090
		74,367

TOTAL FINANCIALS		765,536

HEALTH CARE - 3.1%
Biotechnology - 0.8%
AbbVie, Inc.:
2.5% 5/14/20	5,045	5,042
2.9% 11/6/22	4,110	4,080
3.2% 11/6/22	3,165	3,192
Amgen, Inc.:
2.125% 5/1/20	3,530	3,506
2.2% 5/22/19	2,820	2,856
5.85% 6/1/17	3,264	3,439
Celgene Corp. 2.875% 8/15/20	3,000	3,041
		25,156
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 2.675% 12/15/19	1,021	1,042
Medtronic, Inc. 2.5% 3/15/20	6,790	6,956
Zimmer Biomet Holdings, Inc. 1.45% 4/1/17	6,268	6,257
		14,255
Health Care Providers & Services - 1.1%
Aetna, Inc. 2.75% 11/15/22	597	585
Cardinal Health, Inc. 1.95% 6/15/18	936	936
Express Scripts Holding Co. 2.25% 6/15/19	5,140	5,107
McKesson Corp. 2.284% 3/15/19	3,330	3,342
UnitedHealth Group, Inc.:
1.4% 10/15/17	840	841
2.125% 3/15/21	4,680	4,679
2.7% 7/15/20	2,557	2,627
2.75% 2/15/23	684	688
3.35% 7/15/22	1,155	1,208
3.875% 10/15/20	5,296	5,658
WellPoint, Inc.:
3.125% 5/15/22	4,290	4,223
4.35% 8/15/20	5,502	5,877
		35,771
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
3.3% 2/15/22	3,414	3,414
4.15% 2/1/24	918	959
		4,373
Pharmaceuticals - 0.6%
Actavis Funding SCS:
2.35% 3/12/18	5,020	5,050
3% 3/12/20	2,840	2,889
Bayer U.S. Finance LLC:
2.375% 10/8/19 (a)	4,070	4,128
3% 10/8/21 (a)	1,764	1,815
Perrigo Co. PLC 1.3% 11/8/16	911	906
Perrigo Finance PLC 3.5% 12/15/21	833	826
Zoetis, Inc.:
3.25% 2/1/23	1,553	1,493
3.45% 11/13/20	887	904
		18,011

TOTAL HEALTH CARE		97,566

INDUSTRIALS - 1.8%
Aerospace & Defense - 0.3%
BAE Systems Holdings, Inc.:
2.85% 12/15/20 (a)	6,260	6,329
3.8% 10/7/24 (a)	2,162	2,210
		8,539
Airlines - 0.1%
Continental Airlines, Inc.:
6.648% 3/15/19	980	995
6.795% 2/2/20	18	19
6.9% 7/2/19	183	187
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,132	1,159
8.36% 1/20/19	720	743
		3,103
Industrial Conglomerates - 0.8%
Covidien International Finance SA 6% 10/15/17	3,234	3,461
Danaher Corp.:
2.4% 9/15/20	1,130	1,154
3.35% 9/15/25	2,943	3,102
General Electric Co.:
2.7% 10/9/22	3,340	3,455
3.375% 3/11/24	5,802	6,215
Roper Technologies, Inc.:
2.05% 10/1/18	5,730	5,702
3% 12/15/20	3,140	3,172
		26,261
Machinery - 0.3%
Deere & Co. 2.6% 6/8/22	8,200	8,226
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20	924	918
		9,144
Road & Rail - 0.1%
Burlington Northern Santa Fe LLC 3.45% 9/15/21	4,262	4,490
Trading Companies & Distributors - 0.2%
Air Lease Corp.:
3.875% 4/1/21	3,200	3,096
4.75% 3/1/20	2,913	2,964
		6,060

TOTAL INDUSTRIALS		57,597

INFORMATION TECHNOLOGY - 1.6%
Electronic Equipment & Components - 0.2%
Amphenol Corp. 3.125% 9/15/21	1,119	1,127
Tyco Electronics Group SA 6.55% 10/1/17	2,606	2,798
		3,925
IT Services - 0.3%
MasterCard, Inc. 3.375% 4/1/24	4,969	5,206
Visa, Inc. 2.8% 12/14/22	4,670	4,813
		10,019
Software - 0.5%
Oracle Corp.:
2.5% 5/15/22	8,220	8,267
3.875% 7/15/20	6,900	7,465
		15,732
Technology Hardware, Storage & Peripherals - 0.6%
Apple, Inc. 1% 5/3/18	11,730	11,696
Hewlett Packard Enterprise Co. 3.6% 10/15/20 (a)	7,941	7,920
		19,616

TOTAL INFORMATION TECHNOLOGY		49,292

MATERIALS - 1.0%
Chemicals - 0.6%
Albemarle Corp. U.S. 3% 12/1/19	4,421	4,330
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 2.45% 5/1/20 (a)	2,969	2,901
Ecolab, Inc. 1.45% 12/8/17	2,207	2,196
The Dow Chemical Co. 4.125% 11/15/21	4,063	4,293
The Mosaic Co. 4.25% 11/15/23	5,095	4,983
		18,703
Metals & Mining - 0.4%
Anglo American Capital PLC:
4.125% 4/15/21 (a)	1,446	1,110
9.375% 4/8/19 (a)	3,822	3,669
Freeport-McMoRan, Inc. 3.875% 3/15/23	5,260	3,458
Vale Overseas Ltd. 6.25% 1/23/17	3,005	3,029
		11,266

TOTAL MATERIALS		29,969

TELECOMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 1.1%
AT&T, Inc.:
2.45% 6/30/20	2,237	2,228
3% 6/30/22	4,920	4,877
3.4% 5/15/25	4,920	4,825
British Telecommunications PLC:
1.625% 6/28/16	2,146	2,149
2.35% 2/14/19	1,992	2,011
CenturyLink, Inc. 6.15% 9/15/19	3,860	3,966
Deutsche Telekom International Financial BV 3.125% 4/11/16 (a)	6,407	6,420
SBA Tower Trust 3.156% 10/15/15 (a)	4,730	4,736
Verizon Communications, Inc. 5.15% 9/15/23	4,000	4,529
		35,741
Wireless Telecommunication Services - 0.3%
America Movil S.A.B. de CV 2.375% 9/8/16	4,330	4,349
Rogers Communications, Inc. 4.1% 10/1/23	3,500	3,710
		8,059

TOTAL TELECOMMUNICATION SERVICES		43,800

UTILITIES - 3.7%
Electric Utilities - 2.1%
AmerenUE 6.4% 6/15/17	3,867	4,101
Commonwealth Edison Co. 4% 8/1/20	4,400	4,714
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (a)	369	421
Edison International 3.75% 9/15/17	2,938	3,027
Entergy Corp. 4% 7/15/22	4,800	5,041
Eversource Energy 2.8% 5/1/23	4,679	4,582
Exelon Corp. 2.85% 6/15/20	934	942
FirstEnergy Corp.:
2.75% 3/15/18	3,372	3,406
4.25% 3/15/23	4,000	4,176
LG&E and KU Energy LLC 3.75% 11/15/20	19	20
Nevada Power Co.:
6.5% 5/15/18	6,784	7,470
6.5% 8/1/18	2,033	2,251
Pacific Gas & Electric Co.:
3.25% 9/15/21	662	688
3.25% 6/15/23	3,750	3,878
Pennsylvania Electric Co. 6.05% 9/1/17	844	897
PPL Capital Funding, Inc. 4.2% 6/15/22	4,268	4,552
Progress Energy, Inc. 4.4% 1/15/21	4,958	5,290
Tampa Electric Co. 5.4% 5/15/21	1,635	1,828
TECO Finance, Inc. 5.15% 3/15/20	1,709	1,860
Virginia Electric & Power Co. 3.45% 2/15/24	4,960	5,167
Wisconsin Electric Power Co. 2.95% 9/15/21	768	793
		65,104
Gas Utilities - 0.4%
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (a)	6,420	5,939
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	1,325	1,240
Texas Eastern Transmission LP 6% 9/15/17 (a)	5,603	5,884
		13,063
Independent Power and Renewable Electricity Producers - 0.0%
Southern Power Co. 2.375% 6/1/20	2,294	2,255
Multi-Utilities - 1.2%
Ameren Illinois Co. 6.125% 11/15/17	455	489
Consolidated Edison Co. of New York, Inc. 4.45% 6/15/20	4,620	5,064
Dominion Resources, Inc.:
2.9031% 9/30/66 (b)	4,542	3,052
7.5% 6/30/66 (b)	4,221	3,535
NiSource Finance Corp.:
3.85% 2/15/23	4,300	4,484
5.45% 9/15/20	313	346
6.4% 3/15/18	684	742
PG&E Corp. 2.4% 3/1/19	489	494
San Diego Gas & Electric Co. 3% 8/15/21	4,615	4,809
Sempra Energy:
2.3% 4/1/17	9,715	9,778
2.875% 10/1/22	1,677	1,623
Wisconsin Energy Corp. 6.25% 5/15/67 (b)	3,383	2,503
		36,919

TOTAL UTILITIES		117,341

TOTAL NONCONVERTIBLE BONDS
(Cost $1,582,832)		1,599,663

U.S. Government and Government Agency Obligations - 30.4%
U.S. Government Agency Obligations - 3.0%
Fannie Mae 1.125% 7/20/18	9,258	9,297
Freddie Mac 1% 12/15/17	82,666	82,830

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS		92,127

U.S. Treasury Obligations - 27.4%
U.S. Treasury Notes:
0.75% 6/30/17	$37,140	$37,141
0.75% 2/15/19 (c)	41,854	41,659
1.125% 1/15/19	7,552	7,599
1.375% 3/31/20 (d)	49,150	49,586
1.625% 4/30/19	117,000	119,422
1.75% 2/28/22	239,500	243,888
2.25% 3/31/21	69,005	72,272
2.375% 8/15/24	273,500	288,800

TOTAL U.S. TREASURY OBLIGATIONS		860,367

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $928,017)		952,494

U.S. Government Agency - Mortgage Securities - 1.3%
Fannie Mae - 0.7%
2.45% 11/1/36 (b)	651	685
2.489% 12/1/33 (b)	2,679	2,827
2.51% 7/1/35 (b)	334	353
2.557% 3/1/40 (b)	578	610
2.557% 6/1/42 (b)	362	373
2.595% 4/1/35 (b)	1,612	1,697
2.685% 12/1/39 (b)	287	304
2.951% 11/1/40 (b)	220	228
2.98% 9/1/41 (b)	265	278
2.991% 10/1/41 (b)	109	114
3.249% 7/1/41 (b)	378	394
3.347% 10/1/41 (b)	204	214
3.553% 7/1/41 (b)	467	491
5.5% 10/1/17 to 6/1/36	8,193	9,019
6.5% 8/1/16 to 8/1/36	3,053	3,590
7% 7/1/25 to 2/1/32	12	14
7.5% 11/1/22 to 8/1/29	143	165

TOTAL FANNIE MAE		21,356

Freddie Mac - 0.5%
3% 8/1/21	2,622	2,738
3.208% 9/1/41 (b)	255	267
3.216% 4/1/41 (b)	282	295
3.297% 6/1/41 (b)	308	322
3.451% 5/1/41 (b)	215	223
3.626% 6/1/41 (b)	428	449
3.706% 5/1/41 (b)	346	363
4.5% 8/1/18	1,107	1,142
5% 3/1/19	1,575	1,633
5.5% 3/1/34 to 7/1/35	9,062	10,260
7.5% 7/1/27 to 1/1/33	34	41

TOTAL FREDDIE MAC		17,733

Ginnie Mae - 0.1%
7% 1/15/28 to 11/15/32	1,924	2,302
7.5% 3/15/28	0	0
8% 7/15/17 to 5/15/22	84	87

TOTAL GINNIE MAE		2,389

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $40,015)		41,478

Asset-Backed Securities - 3.8%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1266% 4/25/35 (b)	$299	$267
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.0765% 3/25/34 (b)	198	189
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	2,004	2,008
Series 2012-5 Class A, 1.54% 9/15/19	8,500	8,502
Series 2014-4 Class A2, 1.43% 6/17/19	6,850	6,847
Series 2014-5 Class A2, 1.6% 10/15/19	650	650
Series 2015-3 Class A, 1.63% 5/15/20	8,120	8,119
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.4858% 12/25/33 (b)	21	19
Series 2004-R2 Class M3, 1.2608% 4/25/34 (b)	40	29
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.2158% 3/25/34 (b)	22	19
Series 2004-W11 Class M2, 1.4858% 11/25/34 (b)	253	243
Series 2004-W7 Class M1, 1.2608% 5/25/34 (b)	936	856
Series 2006-W4 Class A2C, 0.5958% 5/25/36 (b)	515	182
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.2515% 4/25/34 (b)	750	651
Series 2006-HE2 Class M1, 0.8058% 3/25/36 (b)	13	2
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.5608% 2/25/35 (b)	1,682	1,484
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5758% 12/25/36 (b)	812	552
Chase Issuance Trust Series 2014-A7 Class A, 1.38% 11/15/19	8,520	8,556
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.8908% 4/25/34 (b)	28	25
Series 2004-4 Class M2, 1.2308% 6/25/34 (b)	44	40
Discover Card Master Trust Series 2014-A5 Class A, 1.39% 4/15/20	11,890	11,935
Fannie Mae Series 2004-T5 Class AB3, 1.1189% 5/28/35 (b)	18	15
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6015% 8/25/34 (b)	208	196
Ford Credit Auto Owner Trust:
Series 2014-2 Class A, 2.31% 4/15/26 (a)	12,535	12,663
Series 2015-1 Class A, 2.12% 7/15/26 (a)	7,657	7,682
Series 2016-1 Class A, 2.31% 8/15/27 (a)	6,130	6,128
Ford Credit Floorplan Master Owner Trust:
Series 2012-2 Class A, 1.92% 1/15/19	8,690	8,726
Series 2012-5 Class A, 1.49% 9/15/19	8,350	8,365
Fremont Home Loan Trust Series 2005-A:
Class M3, 1.1615% 1/25/35 (b)	427	371
Class M4, 1.4465% 1/25/35 (b)	157	84
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0091% 2/25/47 (a)(b)	623	552
GE Business Loan Trust Series 2006-2A:
Class A, 0.6093% 11/15/34 (a)(b)	516	489
Class B, 0.7105% 11/15/34 (a)(b)	187	164
Class C, 0.8105% 11/15/34 (a)(b)	310	268
Class D, 1.1805% 11/15/34 (a)(b)	118	98
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (a)	5,774	5,761
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (a)	131	4
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.7558% 8/25/33 (b)	194	178
Series 2003-5 Class A2, 1.1358% 12/25/33 (b)	15	14
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6165% 1/25/37 (b)	766	491
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.7216% 7/25/36 (b)	130	58
Series 2007-CH1 Class AV4, 0.5658% 11/25/36 (b)	25	25
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.9331% 12/27/29 (b)	37	37
Series 2006-A Class 2C, 1.7531% 3/27/42 (b)	2,280	1,169
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7265% 5/25/37 (b)	141	4
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.1858% 7/25/34 (b)	83	69
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.4015% 7/25/34 (b)	184	172
Series 2006-FM1 Class A2B, 0.5458% 4/25/37 (b)	63	63
Series 2006-OPT1 Class A1A, 0.9465% 6/25/35 (b)	927	888
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 1.1158% 8/25/34 (b)	26	22
Series 2004-HE7 Class B3, 5.6858% 8/25/34 (b)	186	98
Series 2005-NC1 Class M1, 1.0958% 1/25/35 (b)	110	98
Series 2005-NC2 Class B1, 2.1908% 3/25/35 (b)	75	2
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.9365% 9/25/35 (b)	642	585
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.3015% 9/25/34 (b)	240	219
Class M4, 2.6015% 9/25/34 (b)	308	208
Series 2005-WCH1 Class M4, 1.6715% 1/25/36 (b)	665	584
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2265% 4/25/33 (b)	2	2
Santander Drive Auto Receivables Trust:
Series 2013-4 Class B, 2.16% 1/15/20	1,141	1,143
Series 2014-4 Class B, 1.82% 5/15/19	3,216	3,218
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2308% 3/25/35 (b)	326	300
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.462% 6/15/33 (b)	254	247
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.1608% 9/25/34 (b)	29	25
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2865% 9/25/34 (b)	168	141
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1717% 4/6/42 (a)(b)	1,820	892
Volkswagen Auto Loan Enhanced Trust Series 2013-2 Class A4, 1.16% 3/20/20	4,957	4,930
TOTAL ASSET-BACKED SECURITIES
(Cost $113,839)		118,623

Collateralized Mortgage Obligations - 1.8%
Private Sponsor - 0.0%
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (b)	153	140
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (b)	351	311
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.7735% 6/10/35 (a)(b)	202	180
Class B6, 3.2735% 6/10/35 (a)(b)	56	50
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (b)	10	10

TOTAL PRIVATE SPONSOR		691

U.S. Government Agency - 1.8%
Fannie Mae:
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	2,340	2,475
planned amortization class:
Series 2002-9 Class PC, 6% 3/25/17	12	13
Series 2015-28 Class P, 2.5% 5/25/45	17,320	17,717
Series 2013-16 Class GP, 3% 3/25/33	15,240	15,923
Series 2015-28 Class JE, 3% 5/25/45	12,876	13,349
Freddie Mac:
planned amortization class:
Series 2356 Class GD, 6% 9/15/16	27	27
Series 2363 Class PF, 6% 9/15/16	17	17
Series 2425 Class JH, 6% 3/15/17	55	56
Series 3820 Class DA, 4% 11/15/35	1,906	1,996
Series 3777 Class AC, 3.5% 12/15/25	3,513	3,695
Series 3949 Class MK, 4.5% 10/15/34	1,452	1,574

TOTAL U.S. GOVERNMENT AGENCY		56,842

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $57,736)		57,533

Commercial Mortgage Securities - 5.4%
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (a)	2,764	2,814
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (b)(e)	234	2
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-6 Class A3, 5.369% 10/10/45	415	415
Series 2006-4 Class A1A, 5.617% 7/10/46 (b)	5,585	5,623
Series 2007-3 Class A4, 5.7423% 6/10/49 (b)	1,731	1,777
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class A, 3.3228% 9/10/28 (a)	6,157	6,335
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.7108% 12/25/33 (a)(b)	20	18
Series 2005-4A:
Class A2, 0.8258% 1/25/36 (a)(b)	331	283
Class B1, 1.8358% 1/25/36 (a)(b)	22	15
Class M1, 0.8858% 1/25/36 (a)(b)	107	85
Class M2, 0.9058% 1/25/36 (a)(b)	51	39
Class M3, 0.9358% 1/25/36 (a)(b)	47	35
Class M4, 1.0458% 1/25/36 (a)(b)	41	30
Class M5, 1.0858% 1/25/36 (a)(b)	41	30
Class M6, 1.1358% 1/25/36 (a)(b)	44	32
Series 2006-3A Class M4, 0.8658% 10/25/36 (a)(b)	21	2
Series 2007-1 Class A2, 0.7058% 3/25/37 (a)(b)	254	215
Series 2007-2A:
Class A1, 0.7058% 7/25/37 (a)(b)	262	220
Class A2, 0.7558% 7/25/37 (a)(b)	246	195
Class M1, 0.8058% 7/25/37 (a)(b)	114	87
Class M2, 0.8458% 7/25/37 (a)(b)	62	43
Class M3, 0.9258% 7/25/37 (a)(b)	48	30
Series 2007-3:
Class A2, 0.7258% 7/25/37 (a)(b)	204	162
Class M1, 0.7458% 7/25/37 (a)(b)	69	52
Class M2, 0.7758% 7/25/37 (a)(b)	74	53
Class M3, 0.8058% 7/25/37 (a)(b)	116	57
Class M4, 0.9358% 7/25/37 (a)(b)	138	67
Class M5, 1.0358% 7/25/37 (a)(b)	89	19
Series 2007-4A Class M1, 1.3716% 9/25/37 (a)(b)	99	24
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-PW13 Class A1A, 5.533% 9/11/41	4,691	4,736
Series 2006-T22 Class A1A, 5.8216% 4/12/38 (b)	70	70
Series 2006-PW12 Class A1A, 5.9065% 9/11/38 (b)	2,510	2,512
C-BASS Trust floater Series 2006-SC1 Class A, 0.7058% 5/25/36 (a)(b)	82	79
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	5,146	5,401
CGBAM Commercial Mortgage Trust Series 2015-SMRT:
Class A, 2.808% 4/10/28 (a)	4,927	5,031
Class D, 3.768% 4/10/28 (a)(b)	1,568	1,561
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A1A, 5.425% 10/15/49	1,892	1,921
Series 2013-GC11 Class A1, 0.754% 4/10/46	1,325	1,314
COMM Mortgage Trust:
Series 2013-LC6 Class ASB, 2.478% 1/10/46	7,820	7,880
Series 2014-CR15 Class A2, 2.928% 2/10/47	6,199	6,350
Series 2014-UBS3 Class A2, 2.844% 6/10/47	6,830	7,009
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.2805% 4/15/17 (a)(b)	57	56
sequential payer:
Series 2006-C7 Class A1A, 5.9515% 6/10/46 (b)	1,993	1,998
Series 2006-C8 Class A4, 5.306% 12/10/46	4,427	4,489
Credit Suisse Commercial Mortgage Trust sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (b)	2,414	2,462
Series 2007-C3 Class A4, 5.8888% 6/15/39 (b)	425	436
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.0141% 9/15/34 (a)(b)(e)	1	0
CSMC Series 2015-TOWN:
Class B, 2.327% 3/15/17 (a)(b)	615	594
Class C, 2.677% 3/15/17 (a)(b)	599	573
Class D, 3.627% 3/15/17 (a)(b)	1,992	1,889
GAHR Commercial Mortgage Trust Series 2015-NRF:
Class BFX, 3.3822% 12/15/19 (a)(b)	6,240	6,196
Class CFX, 3.3822% 12/15/19 (a)(b)	2,801	2,725
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	8,174	8,303
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	6,006	6,134
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (a)	1,030	1,032
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A1A, 5.547% 11/10/39	1,700	1,719
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (a)	750	748
Class DFX, 4.4065% 11/5/30 (a)	5,778	5,760
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-CB16 Class A4, 5.552% 5/12/45	842	846
Series 2006-LDP8 Class A1A, 5.397% 5/15/45	609	613
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (b)	139	142
Series 2007-LDPX Class A3, 5.42% 1/15/49	3,004	3,063
Series 2006-LDP7 Class A1A, 6.1056% 4/17/45 (b)	5,555	5,579
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C7 Class A2, 5.3% 11/15/38	149	150
Series 2007-C1 Class A4, 5.424% 2/15/40	147	150
Series 2007-C2 Class A3, 5.43% 2/15/40	472	482
Series 2007-C7 Class A3, 5.866% 9/15/45	1,967	2,072
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.9178% 1/12/44 (a)(b)	317	317
Series 2006-C2 Class A1A, 5.739% 8/12/43 (b)	4,660	4,693
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2007-5 Class A4, 5.378% 8/12/48	41	42
Series 2007-9 Class A4, 5.7% 9/12/49	303	315
Series 2007-6 Class B, 5.635% 3/12/51 (b)	1,207	339
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.631% 7/15/19 (a)(b)	161	159
Series 2007-XLFA:
Class D, 0.6155% 10/15/20 (a)(b)	125	125
Class E, 0.6755% 10/15/20 (a)(b)	376	376
Class F, 0.7255% 10/15/20 (a)(b)	225	225
Class G, 0.7655% 10/15/20 (a)(b)	279	279
Class H, 0.8555% 10/15/20 (a)(b)	176	176
Class J, 1.0055% 10/15/20 (a)(b)	101	98
sequential payer Series 2011-C2 Class A4, 4.661% 6/15/44 (a)	2,641	2,921
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (b)	946	945
Series 2006-IQ11 Class A1A, 5.9599% 10/15/42 (b)	538	538
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (a)	19	19
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (a)	153	47
SCG Trust Series 2013-SRP1 Class A, 1.8255% 11/15/26 (a)(b)	3,591	3,575
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45	2,358	2,366
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-C29 Class A1A, 5.297% 11/15/48	2,538	2,585
Series 2007-C30 Class A5, 5.342% 12/15/43	9,961	10,201
Series 2007-C32 Class A3, 5.8991% 6/15/49 (b)	2,049	2,093
Series 2007-C33 Class A5, 6.1491% 2/15/51 (b)	799	840
Series 2006-C25 Class A1A, 5.9451% 5/15/43 (b)	1,272	1,270
Series 2006-C26 Class A1A, 6.009% 6/15/45 (b)	2,731	2,735
Series 2006-C27 Class A1A, 5.749% 7/15/45 (b)	3,014	3,028
WF-RBS Commercial Mortgage Trust Series 2013-C11 Class ASB, 2.63% 3/15/45	8,690	8,809
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $169,515)		169,950

Municipal Securities - 0.4%
Illinois Gen. Oblig. Series 2011, 5.877% 3/1/19
(Cost $11,460)	10,620	11,479

Bank Notes - 1.7%
Capital One Bank NA 2.25% 2/13/19	6,545	6,496
Discover Bank:
(Delaware) 3.2% 8/9/21	$3,500	$3,476
3.1% 6/4/20	3,441	3,422
Fifth Third Bank 2.875% 10/1/21	3,440	3,471
JPMorgan Chase Bank 6% 10/1/17	12,071	12,805
PNC Bank NA 2.2% 1/28/19	3,285	3,300
Regions Bank 7.5% 5/15/18	1,200	1,323
Regions Financial Corp. 2.25% 9/14/18	3,080	3,067
SunTrust Bank 2.75% 5/1/23	4,300	4,188
Union Bank NA 2.125% 6/16/17	4,300	4,323
Wachovia Bank NA 6% 11/15/17	5,655	6,069
TOTAL BANK NOTES
(Cost $51,240)		51,940
	Shares	Value (000s)

Fixed-Income Funds - 2.3%
Fidelity Specialized High Income Central Fund (f)
(Cost $78,861)	766,579	72,733

Money Market Funds - 2.1%
Fidelity Cash Central Fund, 0.40% (g)
(Cost $67,248)	67,248,070	67,248
	Maturity Amount (000s)	Value (000s)

Cash Equivalents - 1.0%
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (h)
(Cost $32,457)	32,457	32,457
TOTAL INVESTMENT PORTFOLIO - 101.2%
(Cost $3,133,220)		3,175,598
NET OTHER ASSETS (LIABILITIES) - (1.2)%		(37,140)
NET ASSETS - 100%		$3,138,458

Swaps

Underlying Reference	Rating(1)	Expiration Date	Clearinghouse/Counterparty	Fixed Payment Received/(Paid)	Notional Amount (000s)(2)	Value (000s)(1)	Upfront Premium Received/(Paid) (000s)	Unrealized Appreciation/(Depreciation) (000s)
Credit Default Swaps
Sell Protection
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	USD 94	$(7)	$0	$(7)

(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 Portfolio could be required to make if a credit event were to occur.

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

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $330,083,000 or 10.5% of net assets.

(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect 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 $749,000.

(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.

(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. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(g) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

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

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	$66
Fidelity Specialized High Income Central Fund	2,109
Total	$2,175

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	$2,109	$--	$72,733	9.2%
Total	$75,610	$2,109	$--	$72,733

Investment Valuation

The following is a summary of the inputs used, as of February 29, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
(Amounts in thousands)
Investments in Securities:
Corporate Bonds	$1,599,663	$--	$1,599,663	$--
U.S. Government and Government Agency Obligations	952,494	--	952,494	--
U.S. Government Agency - Mortgage Securities	41,478	--	41,478	--
Asset-Backed Securities	118,623	--	116,530	2,093
Collateralized Mortgage Obligations	57,533	--	57,533	--
Commercial Mortgage Securities	169,950	--	169,901	49
Municipal Securities	11,479	--	11,479	--
Bank Notes	51,940	--	51,940	--
Fixed-Income Funds	72,733	72,733	--	--
Money Market Funds	67,248	67,248	--	--
Cash Equivalents	32,457	--	32,457	--
Total Investments in Securities:	$3,175,598	$139,981	$3,033,475	$2,142
Derivative Instruments:
Liabilities
Swaps	$(7)	$--	$(7)	$--
Total Liabilities	$(7)	$--	$(7)	$--
Total Derivative Instruments:	$(7)	$--	$(7)	$--

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 29, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type	Value
(Amounts in thousands)	Asset	Liability
Credit Risk
Swaps(a)	$0	$(7)
Total Credit Risk	0	(7)
Total Value of Derivatives	$0	$(7)

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

Other Information

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$32,457,000 due 3/01/16 at 0.40%
Commerz Markets LLC	$32,457
	$32,457

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)		February 29, 2016
Assets
Investment in securities, at value (including repurchase agreements of $32,457) — See accompanying schedule: Unaffiliated issuers (cost $2,987,111)	$3,035,617
Fidelity Central Funds (cost $146,109)	139,981
Total Investments (cost $3,133,220)		$3,175,598
Receivable for investments sold		10,563
Receivable for fund shares sold		2,986
Interest receivable		19,755
Distributions receivable from Fidelity Central Funds		23
Other receivables		110
Total assets		3,209,035
Liabilities
Payable to custodian bank	$34
Payable for investments purchased	32,772
Payable for fund shares redeemed	3,767
Distributions payable	252
Bi-lateral OTC swaps, at value	7
Accrued management fee	812
Other affiliated payables	364
Other payables and accrued expenses	111
Collateral on securities loaned, at value	32,458
Total liabilities		70,577
Net Assets		$3,138,458
Net Assets consist of:
Paid in capital		$3,127,361
Undistributed net investment income		14,642
Accumulated undistributed net realized gain (loss) on investments		(45,916)
Net unrealized appreciation (depreciation) on investments		42,371
Net Assets, for 289,900 shares outstanding		$3,138,458
Net Asset Value, offering price and redemption price per share ($3,138,458 ÷ 289,900 shares)		$10.83

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

Amounts in thousands		Six months ended February 29, 2016
Investment Income
Interest		$56,040
Income from Fidelity Central Funds		2,175
Total income		58,215
Expenses
Management fee	$4,886
Transfer agent fees	1,572
Fund wide operations fee	600
Independent trustees' compensation	7
Miscellaneous	2
Total expenses before reductions	7,067
Expense reductions	–	7,067
Net investment income (loss)		51,148
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	2,261
Swaps	3
Total net realized gain (loss)		2,264
Change in net unrealized appreciation (depreciation) on: Investment securities	(17,524)
Swaps	9
Total change in net unrealized appreciation (depreciation)		(17,515)
Net gain (loss)		(15,251)
Net increase (decrease) in net assets resulting from operations		$35,897

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 29, 2016	Year ended August 31, 2015
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$51,148	$83,367
Net realized gain (loss)	2,264	13,226
Change in net unrealized appreciation (depreciation)	(17,515)	(60,007)
Net increase (decrease) in net assets resulting from operations	35,897	36,586
Distributions to shareholders from net investment income	(44,194)	(74,878)
Share transactions
Proceeds from sales of shares	287,535	525,925
Reinvestment of distributions	42,418	71,952
Cost of shares redeemed	(364,341)	(831,169)
Net increase (decrease) in net assets resulting from share transactions	(34,388)	(233,292)
Total increase (decrease) in net assets	(42,685)	(271,584)
Net Assets
Beginning of period	3,181,143	3,452,727
End of period (including undistributed net investment income of $14,642 and undistributed net investment income of $7,688, respectively)	$3,138,458	$3,181,143
Other Information
Shares
Sold	26,565	47,999
Issued in reinvestment of distributions	3,924	6,564
Redeemed	(33,655)	(75,874)
Net increase (decrease)	(3,166)	(21,311)

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Intermediate Bond Fund

	Six months ended February 29,	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$10.85	$10.98	$10.79	$11.13	$10.89	$10.74
Income from Investment Operations
Net investment income (loss)^A	.176	.276	.281	.269	.312	.352
Net realized and unrealized gain (loss)	(.043)	(.158)	.166	(.367)	.212	.134
Total from investment operations	.133	.118	.447	(.098)	.524	.486
Distributions from net investment income	(.153)	(.248)	(.251)	(.242)	(.284)	(.324)
Distributions from net realized gain	–	–	–	–	–	(.012)
Tax return of capital	–	–	(.006)	–	–	–
Total distributions	(.153)	(.248)	(.257)	(.242)	(.284)	(.336)
Net asset value, end of period	$10.83	$10.85	$10.98	$10.79	$11.13	$10.89
Total Return^B,^C	1.23%	1.08%	4.18%	(.91)%	4.88%	4.63%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of fee waivers, if any	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of all reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Net investment income (loss)	3.27%^F	2.52%	2.58%	2.43%	2.85%	3.30%
Supplemental Data
Net assets, end of period (in millions)	$3,138	$3,181	$3,453	$3,495	$4,109	$4,341
Portfolio turnover rate^G	67%^F	53%	109%	118%	115%	102%^H

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

^E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements

For the period ended February 29, 2016
(Amounts in thousands except percentages)

1. Organization.

Fidelity Intermediate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense Ratio^(a)
Fidelity Specialized High Income Central Fund	FMR Co., Inc. (FMRC)	Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.	Loans & Direct Debt Instruments Restricted Securities	Less than .005%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has 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 as shown below:

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)

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, 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. 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 (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to swaps, prior period premium and discount on debt securities, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation	$72,965
Gross unrealized depreciation	(43,978)
Net unrealized appreciation (depreciation) on securities	$28,987
Tax cost	$3,146,611

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

Fiscal year of expiration
2018	$(16,454)

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with Fidelity Management & Research Company (FMR), or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

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

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)	Change in Net Unrealized Appreciation (Depreciation)
Credit Risk
Swaps	$3	$9
Totals	$3	$9

A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

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

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.

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

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $240,642 and $240,701, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.

Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $2 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $29.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses in the amount of less than five hundred dollars.

10. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

11. 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.

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Salem Street Trust and Shareholders of Fidelity Intermediate Bond Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Intermediate Bond Fund (the Fund), a fund of Fidelity Salem Street Trust, including the schedule of investments, as of February 29, 2016, and the related statement of operations for the six months then ended, the statement of changes in net assets for the six months ended February 29, 2016 and for the year ended August 31, 2015, and the financial highlights for the six months ended February 29, 2016 and for each of the five years in the period ended August 31, 2015. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 29, 2016, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Intermediate Bond Fund as of February 29, 2016, the results of its operations for the six-months then ended, the changes in its net assets for the six months ended February 29, 2016 and for the year ended August 31, 2015, and the financial highlights for the six months ended February 29, 2016 and for each of the five years in the period ended August 31, 2015 in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts
April 20, 2016

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	Annualized Expense Ratio-^A	Beginning Account Value September 1, 2015	Ending Account Value February 29, 2016	Expenses Paid During Period-^B September 1, 2015 to February 29, 2016
Actual	.45%	$1,000.00	$1,012.30	$2.25
Hypothetical-^C		$1,000.00	$1,022.63	$2.26

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

^B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

^C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Intermediate Bond Fund

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established four standing committees (Committees) — Operations, Audit, Fair Valuation, and Governance and Nominating — each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and considers, among other matters, information specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2015 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; and (iv) the extent to which (if any) economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of the fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity's competitors, and that the fund's shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity has continued to increase the resources devoted to non-U.S. offices, including expansion of Fidelity's global investment organization. The Board also noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

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

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) reducing management fees and total expenses for certain index funds and diversified international funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching active fixed-income exchange-traded funds; (viii) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (ix) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (x) modifying the eligibility criteria for certain share classes to accommodate roll-over assets from employer-sponsored retirement plans; (xi) launching a new Class W of the Freedom Index Funds to attract and retain Fidelity record-kept retirement plan assets; and (xii) implementing changes to Fidelity's money market product line in response to recent money market regulatory reforms.

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

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against a securities market index ("benchmark index") and a peer group of funds with similar objectives ("peer group"), if any. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on gross performance (before fees and expenses but after transaction costs) compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and on net performance (after fees and expenses) compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; expectations for interest rate levels and credit conditions; issuer-specific information including credit quality; the potential for incremental return versus the fund's benchmark index weighed against the risks involved in obtaining that incremental return, including the risk of diminished or negative total returns; and fund cash flows and other factors. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index or peer group for certain periods.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods.

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

Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes created for the purpose of facilitating the Trustees' competitive analysis of management fees and total expenses. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Intermediate Bond Fund

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

The Board noted that, in 2014, the ad hoc Committee on Group Fee was formed by it and other Fidelity fund boards to conduct an in-depth review of the "group fee" component of the management fee of funds with such management fee structures. Committee focus included the mechanics of the group fee, the competitive landscape of group fee structures, Fidelity funds with no group fee component and investment products not included in group fee assets. The Board also considered that, for funds subject to the group fee, FMR agreed to voluntarily waive fees over a specified period of time in amounts designed to account for assets converted from certain funds to certain collective investment trusts.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of the fund's total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of the fund compared to competitive fund median expenses. The fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the fund's total expense ratio ranked below its competitive median for 2014.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" expenses (including, among certain other "fund-level" expenses, the management fee) at 0.35%.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the fund's total "fund-level" expenses at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted the findings of the 2013 ad hoc joint committee (created with the board of other Fidelity funds), which reviewed and compared Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationship with the fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

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

The Board also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and was satisfied that the profitability was not excessive.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board also noted that in 2013, it and the boards of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results; (ii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iii) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (iv) the arrangements with and compensation paid to certain fund sub-advisers on behalf of the Fidelity funds; (v) Fidelity's voluntary waiver of its fees to maintain minimum yields for certain money market funds and classes as well as contractual waivers in place for certain funds; (vi) the methodology with respect to competitive fund data and peer group classifications; (vii) Fidelity's transfer agent fee, expense, and service structures for different funds and classes relative to competitive trends, and the impact of the increased use of omnibus accounts; (viii) Fidelity's long-term expectations for its offerings in the workplace investing channel; (ix) new developments in the retail and institutional marketplaces; and (x) the impact of money market reform on Fidelity's money market funds. In addition, the Board considered its discussions with Fidelity throughout the year regarding enhanced information security initiatives and the funds' fair valuation policies.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.

Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

IBF-SANN-0416
1.538685.118

Spartan® U.S. Bond Index Fund
Institutional Class and Fidelity Advantage® Institutional Class

Semi-Annual Report

February 29, 2016

Contents

Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Shareholder Expense Example
Board Approval of Investment Advisory Contracts and Management Fees

You may also call 1-800-835-5092 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of February 29, 2016
	U.S. Government and U.S. Government Agency Obligations	68.9%
	AAA	5.5%
	AA	4.0%
	A	10.5%
	BBB	11.3%
	BB and Below	0.5%
	Not Rated	0.3%
	Short-Term Investments and Net Other Assets^*	(1.0)%

* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

As of August 31, 2015
	U.S. Government and U.S. Government Agency Obligations	68.7%
	AAA	5.1%
	AA	3.9%
	A	11.5%
	BBB	11.3%
	BB and Below	0.4%
	Not Rated	0.2%
	Short-Term Investments and Net Other Assets^*	(1.1)%

* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

Weighted Average Maturity as of February 29, 2016

		6 months ago
Years	7.3	7.3

Duration as of February 29, 2016

		6 months ago
Years	5.3	5.3

Asset Allocation (% of fund's net assets)

As of February 29, 2016^*
	Corporate Bonds	25.1%
	U.S. Government and U.S. Government Agency Obligations	68.9%
	Asset-Backed Securities	0.7%
	CMOs and Other Mortgage Related Securities	1.8%
	Municipal Bonds	0.8%
	Other Investments	3.7%
	Short-Term Investments and Net Other Assets (Liabilities)^**	(1.0)%

* Foreign investments - 8.4%

** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

As of August 31, 2015^*
	Corporate Bonds	25.1%
	U.S. Government and U.S. Government Agency Obligations	68.7%
	Asset-Backed Securities	0.7%
	CMOs and Other Mortgage Related Securities	2.0%
	Municipal Bonds	0.7%
	Other Investments	3.9%
	Short-Term Investments and Net Other Assets (Liabilities)^**	(1.1)%

* Foreign investments - 8.6%

** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.1%
	Principal Amount (000s)	Value (000s)
CONSUMER DISCRETIONARY - 2.1%
Automobiles - 0.3%
American Honda Finance Corp.:
2.125% 10/10/18	$6,550	$6,618
2.15% 3/13/20	8,550	8,628
2.25% 8/15/19	7,650	7,763
Ford Motor Co. 4.75% 1/15/43	7,650	7,025
General Motors Co.:
5.2% 4/1/45	4,270	3,690
6.6% 4/1/36	5,840	6,003
General Motors Financial Co., Inc.:
3.15% 1/15/20	6,630	6,479
4% 1/15/25	6,170	5,717
4.3% 7/13/25	7,600	7,202
		59,125
Diversified Consumer Services - 0.1%
George Washington University 4.3% 9/15/44	2,000	2,059
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19	1,623	1,645
Massachusetts Institute of Technology 3.959% 7/1/38	4,725	5,067
Northwestern University 4.643% 12/1/44	3,350	3,956
President and Fellows of Harvard College 3.619% 10/1/37	1,000	1,019
Rice University 3.774% 5/15/55	1,900	1,950
Trustees of Princeton Univ. 5.7% 3/1/39	1,000	1,342
University Notre Dame du Lac 3.438% 2/15/45	3,330	3,273
University of Southern California 5.25% 10/1/2111	2,000	2,415
		22,726
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
2.75% 12/9/20	2,300	2,367
3.7% 1/30/26	6,900	7,202
4.875% 12/9/45	2,600	2,732
5.35% 3/1/18	2,317	2,485
6.3% 3/1/38	7,045	8,457
Metropolitan Museum of Art 3.4% 7/1/45	3,000	2,856
Starbucks Corp. 3.85% 10/1/23	1,875	2,056
		28,155
Media - 1.1%
21st Century Fox America, Inc.:
3.7% 10/15/25	7,000	7,043
5.4% 10/1/43	3,875	3,885
5.65% 8/15/20	1,000	1,126
6.15% 3/1/37	3,955	4,199
6.9% 3/1/19	2,110	2,395
6.9% 8/15/39	2,000	2,251
7.75% 12/1/45	3,160	3,983
AOL Time Warner, Inc. 7.625% 4/15/31	3,250	3,946
CBS Corp. 4% 1/15/26	6,000	6,067
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.908% 7/23/25 (a)	7,980	8,168
6.484% 10/23/45 (a)	4,690	4,926
Comcast Corp.:
3.125% 7/15/22	3,000	3,124
3.375% 8/15/25	13,700	14,389
4.65% 7/15/42	4,000	4,242
4.75% 3/1/44	5,400	5,676
4.95% 6/15/16	1,862	1,884
5.7% 5/15/18	2,940	3,208
5.7% 7/1/19	8,500	9,549
6.4% 3/1/40	1,000	1,282
6.55% 7/1/39	3,000	3,877
6.95% 8/15/37	6,700	8,926
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
5.875% 10/1/19	2,905	3,250
6.35% 3/15/40	1,000	1,069
6.375% 3/1/41	2,100	2,264
Discovery Communications LLC:
3.25% 4/1/23	2,338	2,147
4.875% 4/1/43	4,900	3,924
5.05% 6/1/20	3,200	3,350
NBCUniversal, Inc. 6.4% 4/30/40	3,000	3,778
Thomson Reuters Corp.:
1.3% 2/23/17	2,350	2,342
1.65% 9/29/17	8,000	7,966
4.7% 10/15/19	4,000	4,309
Time Warner Cable, Inc.:
4.5% 9/15/42	11,000	8,989
5.85% 5/1/17	5,801	6,024
6.75% 7/1/18	1,162	1,266
7.3% 7/1/38	4,000	4,221
8.75% 2/14/19	2,368	2,741
Time Warner, Inc.:
2.1% 6/1/19	3,000	2,974
3.55% 6/1/24	3,000	2,953
3.6% 7/15/25	6,340	6,242
4% 1/15/22	1,000	1,035
4.65% 6/1/44	3,000	2,632
4.85% 7/15/45	3,000	2,798
6.5% 11/15/36	5,724	6,165
Viacom, Inc.:
4.25% 9/1/23	7,775	7,598
4.375% 3/15/43	2,635	1,797
5.625% 9/15/19	1,000	1,073
6.125% 10/5/17	5,420	5,690
Walt Disney Co.:
1.125% 2/15/17	2,760	2,769
1.85% 5/30/19	1,500	1,528
2.3% 2/12/21	4,740	4,858
2.55% 2/15/22	2,810	2,886
3.15% 9/17/25	9,470	10,030
4.125% 6/1/44	5,700	5,880
5.5% 3/15/19	2,000	2,240
		232,934
Multiline Retail - 0.2%
Kohl's Corp. 4.75% 12/15/23	7,800	7,822
Macy's Retail Holdings, Inc.:
2.875% 2/15/23	4,750	4,291
4.3% 2/15/43	4,750	3,397
Target Corp.:
3.875% 7/15/20	3,000	3,277
4% 7/1/42	7,000	7,128
5.875% 7/15/16	2,100	2,140
7% 1/15/38	1,038	1,453
		29,508
Specialty Retail - 0.3%
Advance Auto Parts, Inc. 4.5% 12/1/23	3,750	3,873
AutoZone, Inc.:
3.125% 7/15/23	3,825	3,813
3.25% 4/15/25	4,000	3,951
3.7% 4/15/22	5,500	5,695
Home Depot, Inc.:
2.25% 9/10/18	5,000	5,140
3.75% 2/15/24	6,725	7,350
4.2% 4/1/43	1,575	1,633
4.875% 2/15/44	2,875	3,229
5.4% 3/1/16	6,400	6,400
5.875% 12/16/36	4,700	5,866
Lowe's Companies, Inc.:
1.625% 4/15/17	10,300	10,393
4.625% 4/15/20	2,000	2,181
4.65% 4/15/42	6,500	7,019
5.8% 4/15/40	2,000	2,442
O'Reilly Automotive, Inc. 3.85% 6/15/23	2,825	2,916
		71,901

TOTAL CONSUMER DISCRETIONARY		444,349

CONSUMER STAPLES - 2.1%
Beverages - 0.7%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	4,073	5,007
Anheuser-Busch InBev Finance, Inc.:
1.25% 1/17/18	4,725	4,712
2.625% 1/17/23	2,825	2,792
2.65% 2/1/21	19,340	19,684
3.3% 2/1/23	10,250	10,537
3.65% 2/1/26	16,200	16,709
4.625% 2/1/44	5,750	5,972
4.9% 2/1/46	13,000	13,935
Anheuser-Busch InBev Worldwide, Inc.:
5.375% 1/15/20	1,500	1,670
8.2% 1/15/39	2,800	4,136
Diageo Capital PLC:
1.5% 5/11/17	1,700	1,704
5.75% 10/23/17	5,185	5,541
Dr. Pepper Snapple Group, Inc. 2% 1/15/20	2,850	2,833
PepsiCo, Inc.:
2.15% 10/14/20	12,000	12,147
3.6% 8/13/42	3,000	2,823
4.25% 10/22/44	6,000	6,206
4.45% 4/14/46	800	858
4.875% 11/1/40	2,300	2,562
7.9% 11/1/18	6,000	6,981
The Coca-Cola Co.:
2.875% 10/27/25	9,580	9,808
3.15% 11/15/20	3,700	3,941
		140,558
Food & Staples Retailing - 0.5%
CVS Health Corp.:
2.25% 8/12/19	3,750	3,794
2.8% 7/20/20	8,400	8,602
3.875% 7/20/25	4,660	4,985
5.125% 7/20/45	2,810	3,153
5.3% 12/5/43	4,391	4,981
5.75% 5/15/41	6,000	7,049
Kroger Co. 5.15% 8/1/43	2,725	3,004
Sysco Corp. 3.75% 10/1/25	5,700	5,906
Wal-Mart Stores, Inc.:
1.125% 4/11/18	7,900	7,913
2.8% 4/15/16	6,700	6,718
3.3% 4/22/24	19,000	20,204
5.625% 4/1/40	2,000	2,428
5.625% 4/15/41	4,600	5,642
6.5% 8/15/37	8,275	10,921
Walgreen Co. 3.1% 9/15/22	2,850	2,805
		98,105
Food Products - 0.4%
Campbell Soup Co. 2.5% 8/2/22	4,750	4,643
ConAgra Foods, Inc.:
1.9% 1/25/18	5,675	5,670
3.2% 1/25/23	8,805	8,737
General Mills, Inc.:
2.2% 10/21/19	7,000	7,071
5.65% 2/15/19	13,501	14,945
H.J. Heinz Co. 5% 7/15/35 (a)	3,500	3,649
Kellogg Co.:
3.125% 5/17/22	1,875	1,909
3.25% 5/21/18	2,800	2,889
4.45% 5/30/16	2,000	2,017
Kraft Foods Group, Inc.:
3.5% 6/6/22	11,650	12,023
5% 6/4/42	2,825	2,930
The J.M. Smucker Co. 2.5% 3/15/20	5,700	5,748
Tyson Foods, Inc. 3.95% 8/15/24	7,575	7,988
Unilever Capital Corp.:
2.2% 3/6/19	7,475	7,649
3.1% 7/30/25	2,900	3,060
		90,928
Household Products - 0.2%
Kimberly-Clark Corp.:
1.9% 5/22/19	8,325	8,412
2.4% 3/1/22	5,200	5,266
2.4% 6/1/23	8,000	8,026
Procter & Gamble Co.:
1.9% 11/1/19	4,000	4,094
2.3% 2/6/22	4,700	4,778
3.1% 8/15/23	10,000	10,608
		41,184
Personal Products - 0.0%
Colgate-Palmolive Co. 3.25% 3/15/24	10,000	10,742
Tobacco - 0.3%
Altria Group, Inc.:
2.85% 8/9/22	7,000	7,034
4.25% 8/9/42	9,780	9,329
Philip Morris International, Inc.:
3.875% 8/21/42	4,825	4,585
4.5% 3/26/20	2,000	2,205
4.875% 11/15/43	6,000	6,725
5.65% 5/16/18	6,789	7,409
6.375% 5/16/38	1,450	1,881
Reynolds American, Inc.:
4.45% 6/12/25	7,060	7,668
4.85% 9/15/23	1,800	2,012
5.85% 8/15/45	4,240	4,977
6.75% 6/15/17	2,899	3,112
7.25% 6/15/37	7,220	9,050
		65,987

TOTAL CONSUMER STAPLES		447,504

ENERGY - 2.7%
Energy Equipment & Services - 0.3%
Baker Hughes, Inc. 5.125% 9/15/40	2,000	1,756
Cameron International Corp. 3.7% 6/15/24	7,575	7,319
El Paso Pipeline Partners Operating Co. LLC 4.7% 11/1/42	3,800	2,772
Halliburton Co.:
2.7% 11/15/20	7,540	7,432
3.8% 11/15/25	10,380	9,826
5% 11/15/45	7,540	6,682
6.15% 9/15/19	2,000	2,179
7.45% 9/15/39	1,500	1,729
Nabors Industries, Inc. 2.35% 9/15/16	7,475	7,400
Noble Holding International Ltd.:
2.5% 3/15/17	4,650	4,448
3.05% 3/1/16	1,020	1,020
4.625% 3/1/21	1,340	724
5.25% 3/15/42	3,100	1,236
Weatherford International Ltd. 7% 3/15/38	5,580	3,446
		57,969
Oil, Gas & Consumable Fuels - 2.4%
Anadarko Petroleum Corp.:
3.45% 7/15/24	5,000	4,053
6.2% 3/15/40	2,000	1,592
6.45% 9/15/36	2,675	2,221
Apache Corp. 5.1% 9/1/40	3,000	2,200
Boardwalk Pipelines LP 4.95% 12/15/24	4,750	4,067
BP Capital Markets PLC:
2.241% 9/26/18	4,775	4,752
2.315% 2/13/20	1,800	1,763
2.5% 11/6/22	3,000	2,798
2.521% 1/15/20	6,000	5,891
3.062% 3/17/22	3,750	3,670
3.245% 5/6/22	7,750	7,643
4.5% 10/1/20	2,000	2,114
4.75% 3/10/19	1,000	1,053
Canadian Natural Resources Ltd.:
3.9% 2/1/25	1,875	1,455
5.7% 5/15/17	1,148	1,150
6.25% 3/15/38	6,850	5,047
Cenovus Energy, Inc.:
3% 8/15/22	1,700	1,242
3.8% 9/15/23	1,750	1,279
6.75% 11/15/39	2,000	1,460
Chevron Corp.:
1.104% 12/5/17	5,700	5,655
1.718% 6/24/18	7,525	7,513
1.961% 3/3/20	8,625	8,508
2.193% 11/15/19	11,400	11,456
Columbia Pipeline Group, Inc.:
3.3% 6/1/20 (a)	3,043	2,849
4.5% 6/1/25 (a)	3,325	3,023
ConocoPhillips Co.:
2.2% 5/15/20	5,830	5,390
3.35% 5/15/25	6,810	6,029
5.75% 2/1/19	2,902	3,030
6.5% 2/1/39	7,529	7,519
DCP Midstream Operating LP:
2.5% 12/1/17	5,700	5,203
3.875% 3/15/23	3,775	2,720
Devon Energy Corp.:
2.25% 12/15/18	5,750	5,011
3.25% 5/15/22	4,000	3,080
5.6% 7/15/41	2,875	1,962
Ecopetrol SA 5.375% 6/26/26	4,740	3,845
El Paso Natural Gas Co. 5.95% 4/15/17	926	937
Enbridge Energy Partners LP:
4.2% 9/15/21	8,700	7,698
5.875% 12/15/16	1,000	1,016
6.5% 4/15/18	1,000	1,010
Enbridge, Inc. 3.5% 6/10/24	2,825	2,447
Encana Corp.:
3.9% 11/15/21	4,900	3,479
6.5% 2/1/38	5,000	3,062
Energy Transfer Partners LP:
3.6% 2/1/23	8,550	7,094
4.15% 10/1/20	4,500	3,920
5.15% 3/15/45	2,000	1,455
Enterprise Products Operating LP:
3.7% 2/15/26	1,770	1,659
4.05% 2/15/22	9,325	9,315
4.85% 8/15/42	2,500	2,129
4.85% 3/15/44	5,000	4,291
5.7% 2/15/42	2,000	1,899
6.65% 4/15/18	2,000	2,125
7.55% 4/15/38	2,000	2,226
EOG Resources, Inc. 5.625% 6/1/19	1,000	1,055
Exxon Mobil Corp.:
3.1% 3/1/26	8,330	8,330
3.567% 3/6/45	6,650	6,185
Hess Corp.:
3.5% 7/15/24	3,800	2,991
5.6% 2/15/41	3,400	2,465
8.125% 2/15/19	6,000	6,236
Kinder Morgan Energy Partners LP:
2.65% 2/1/19	3,425	3,203
3.5% 9/1/23	2,000	1,682
3.95% 9/1/22	7,000	6,329
5% 3/1/43	1,000	766
5.625% 9/1/41	1,000	778
6.55% 9/15/40	3,000	2,547
Kinder Morgan, Inc. 5.3% 12/1/34	8,550	6,701
Magellan Midstream Partners LP 6.55% 7/15/19	4,592	5,016
Marathon Oil Corp. 3.85% 6/1/25	7,000	4,819
Marathon Petroleum Corp.:
3.5% 3/1/16	1,000	1,000
5.125% 3/1/21	1,000	1,001
6.5% 3/1/41	1,000	785
Nexen, Inc. 5.875% 3/10/35	3,710	4,025
Occidental Petroleum Corp.:
1.75% 2/15/17	2,000	1,994
2.7% 2/15/23	6,000	5,623
3.125% 2/15/22	2,000	1,992
ONEOK Partners LP:
3.2% 9/15/18	3,000	2,723
3.375% 10/1/22	5,000	3,951
Petro-Canada:
6.05% 5/15/18	3,650	3,734
6.8% 5/15/38	8,445	7,815
Petrobras Global Finance BV:
3% 1/15/19	2,850	2,259
7.25% 3/17/44	3,000	1,955
Petrobras International Finance Co. Ltd.:
6.75% 1/27/41	1,675	1,047
7.875% 3/15/19	6,000	5,415
Petroleos Mexicanos:
3.125% 1/23/19	1,425	1,386
3.5% 7/18/18	5,925	5,881
3.5% 7/23/20 (a)	11,525	10,862
3.5% 1/30/23	6,725	5,820
4.875% 1/24/22	18,010	17,281
5.5% 6/27/44	8,600	6,607
6.375% 1/23/45	3,000	2,602
Phillips 66 Co.:
4.875% 11/15/44	1,000	900
5.875% 5/1/42	9,500	9,093
Plains All American Pipeline LP/PAA Finance Corp.:
3.6% 11/1/24	7,200	5,536
4.9% 2/15/45	1,900	1,277
5.75% 1/15/20	1,000	964
6.125% 1/15/17	1,795	1,795
6.65% 1/15/37	2,795	2,238
Shell International Finance BV:
1.125% 8/21/17	1,375	1,366
2.125% 5/11/20	8,300	8,083
2.375% 8/21/22	3,000	2,898
3.25% 5/11/25	4,160	4,053
4.375% 5/11/45	7,120	6,605
6.375% 12/15/38	4,200	4,857
Southwestern Energy Co. 4.05% 1/23/20	5,000	3,225
Spectra Energy Capital, LLC 5.65% 3/1/20	2,000	1,997
Spectra Energy Partners, LP:
2.95% 9/25/18	2,877	2,832
4.75% 3/15/24	4,825	4,802
Statoil ASA:
1.2% 1/17/18	5,575	5,517
1.95% 11/8/18	7,300	7,234
2.25% 11/8/19	8,000	7,942
3.7% 3/1/24	3,650	3,657
5.1% 8/17/40	2,000	1,999
Suncor Energy, Inc.:
6.1% 6/1/18	11,244	11,537
6.85% 6/1/39	2,000	1,856
Talisman Energy, Inc.:
5.5% 5/15/42	4,100	2,674
5.85% 2/1/37	2,000	1,346
The Williams Companies, Inc.:
4.55% 6/24/24	5,675	4,256
5.75% 6/24/44	1,900	1,245
Total Capital Canada Ltd. 1.45% 1/15/18	2,625	2,597
Total Capital International SA:
1.55% 6/28/17	5,000	4,999
2.1% 6/19/19	4,275	4,224
2.7% 1/25/23	1,900	1,822
2.75% 6/19/21	6,000	6,000
2.875% 2/17/22	4,175	4,113
3.75% 4/10/24	2,000	2,035
TransCanada PipeLines Ltd.:
2.5% 8/1/22	5,000	4,633
6.1% 6/1/40	6,700	6,828
Transcontinental Gas Pipe Line Co. LLC 4.45% 8/1/42	7,750	5,674
Valero Energy Corp. 6.625% 6/15/37	5,420	5,394
Western Gas Partners LP:
2.6% 8/15/18	4,375	3,823
4% 7/1/22	3,000	2,374
Williams Partners LP:
3.35% 8/15/22	2,800	2,073
3.9% 1/15/25	3,525	2,626
XTO Energy, Inc. 5.65% 4/1/16	1,189	1,194
		521,059

TOTAL ENERGY		579,028

FINANCIALS - 8.7%
Banks - 4.1%
Australia & New Zealand Banking Group Ltd.:
1.875% 10/6/17	4,750	4,779
3.7% 11/16/25	6,640	7,030
Bank of America Corp.:
2% 1/11/18	3,550	3,538
2.6% 1/15/19	3,775	3,793
2.65% 4/1/19	17,925	18,016
4% 4/1/24	9,000	9,300
4% 1/22/25	6,000	5,836
4.1% 7/24/23	7,000	7,289
4.2% 8/26/24	8,500	8,510
4.25% 10/22/26	4,000	3,962
4.45% 3/3/26	13,000	13,000
5% 5/13/21	4,000	4,369
5.7% 1/24/22	6,250	7,055
5.75% 12/1/17	5,855	6,209
5.875% 1/5/21	6,640	7,493
6.5% 8/1/16	15,000	15,326
Bank of Montreal:
1.4% 9/11/17	2,875	2,883
2.375% 1/25/19	3,700	3,747
Bank of Nova Scotia 4.375% 1/13/21	1,000	1,087
Banque Centrale de Tunisie 2.452% 7/24/21	8,500	8,820
Barclays PLC:
2.75% 11/8/19	10,000	9,820
3.25% 1/12/21	7,500	7,231
4.375% 1/12/26	5,000	4,825
5.25% 8/17/45	5,600	5,353
BB&T Corp.:
1.6% 8/15/17	5,700	5,705
2.05% 6/19/18	1,900	1,914
BNP Paribas SA:
2.375% 5/21/20	11,600	11,460
2.7% 8/20/18	4,900	4,972
BPCE SA:
2.25% 1/27/20	4,000	3,949
2.5% 7/15/19	12,100	12,178
4% 4/15/24	2,000	2,095
Branch Banking & Trust Co. 3.8% 10/30/26	3,000	3,143
Capital One Bank NA 3.375% 2/15/23	2,424	2,358
Capital One NA 2.4% 9/5/19	7,000	6,908
Citigroup, Inc.:
2.5% 9/26/18	750	755
2.5% 7/29/19	7,400	7,418
2.55% 4/8/19	3,700	3,711
3.375% 3/1/23	6,000	6,046
3.7% 1/12/26	11,130	11,359
3.953% 6/15/16	1,450	1,461
4.4% 6/10/25	4,000	3,988
5.3% 5/6/44	2,000	2,004
5.5% 9/13/25	5,000	5,357
5.875% 1/30/42	1,675	1,902
6.125% 8/25/36	3,650	3,952
8.125% 7/15/39	8,000	11,410
Comerica, Inc. 3.8% 7/22/26	3,650	3,539
Commonwealth Bank of Australia:
1.9% 9/18/17	4,750	4,782
2.3% 3/12/20	7,550	7,558
Corporacion Andina de Fomento:
1.5% 8/8/17	2,825	2,825
4.375% 6/15/22	14,100	15,384
Credit Suisse AG 6% 2/15/18	15,651	16,570
Credit Suisse Group Funding Guernsey Ltd.:
3.8% 9/15/22	12,530	12,280
4.875% 5/15/45	5,000	4,560
Credit Suisse New York Branch:
3% 10/29/21	3,000	3,003
3.625% 9/9/24	3,425	3,439
Discover Bank:
2% 2/21/18	7,375	7,286
4.2% 8/8/23	7,000	7,112
Export-Import Bank of Korea:
2.875% 1/21/25	7,600	7,711
4% 1/11/17	11,380	11,631
5% 4/11/22	6,170	7,076
Fifth Third Bancorp:
3.5% 3/15/22	1,650	1,704
4.5% 6/1/18	824	867
8.25% 3/1/38	2,079	2,928
HSBC Holdings PLC:
4.25% 8/18/25	5,600	5,427
4.875% 1/14/22	10,100	11,034
5.1% 4/5/21	2,800	3,082
6.5% 9/15/37	10,500	11,690
HSBC U.S.A., Inc.:
2.25% 6/23/19	6,625	6,590
2.625% 9/24/18	7,500	7,543
3.5% 6/23/24	7,000	7,075
Huntington Bancshares, Inc. 2.6% 8/2/18	4,675	4,713
Inter-American Development Bank:
1.75% 4/14/22	1,875	1,895
1.875% 6/16/20	5,270	5,366
1.875% 3/15/21	3,900	3,964
International Bank for Reconstruction & Development 1% 10/5/18	9,630	9,644
Japan Bank International Cooperation:
1.75% 5/29/19	15,100	15,142
2.125% 2/10/25	2,000	1,970
2.75% 1/21/26	3,170	3,266
JPMorgan Chase & Co.:
1.8% 1/25/18	16,250	16,217
2% 8/15/17	7,000	7,032
2.25% 1/23/20	8,875	8,855
2.35% 1/28/19	23,000	23,228
3.15% 7/5/16	1,500	1,512
3.25% 9/23/22	4,000	4,065
3.375% 5/1/23	1,900	1,875
3.875% 9/10/24	7,725	7,762
4.125% 12/15/26	5,875	5,960
4.35% 8/15/21	2,000	2,169
4.5% 1/24/22	13,000	14,087
4.625% 5/10/21	1,500	1,639
4.95% 6/1/45	2,550	2,579
5.5% 10/15/40	5,700	6,615
5.6% 7/15/41	1,500	1,759
6.3% 4/23/19	10,000	11,223
KeyCorp. 2.9% 9/15/20	5,800	5,808
Lloyds Bank PLC 3.5% 5/14/25	8,600	8,719
Mitsubishi UFJ Financial Group, Inc. 3.85% 3/1/26	6,580	6,654
MUFG Union Bank NA 2.625% 9/26/18	2,750	2,785
Nordic Investment Bank 0.5% 4/14/16	8,450	8,450
Oesterreichische Kontrollbank 2.375% 10/1/21	4,725	4,909
PNC Bank NA:
2.4% 10/18/19	4,750	4,816
2.6% 7/21/20	6,680	6,790
PNC Financial Services Group, Inc. 3.9% 4/29/24	5,650	5,837
PNC Funding Corp.:
2.7% 9/19/16	11,300	11,392
6.7% 6/10/19	2,500	2,867
Rabobank (Netherlands) NV:
3.95% 11/9/22	5,300	5,277
4.5% 1/11/21	1,000	1,094
5.25% 5/24/41	3,000	3,460
Rabobank Nederland 4.375% 8/4/25	6,000	6,034
Rabobank Nederland New York Branch 3.375% 5/21/25	3,750	3,780
Regions Financial Corp.:
2% 5/15/18	3,650	3,618
3.2% 2/8/21	14,100	14,032
Royal Bank of Canada:
2.15% 3/6/20	6,575	6,591
2.3% 7/20/16	5,500	5,532
4.65% 1/27/26	9,390	9,471
Societe Generale SA 2.625% 10/1/18	3,750	3,827
Sumitomo Mitsui Banking Corp.:
2.25% 7/11/19	5,725	5,729
2.45% 1/16/20	5,000	5,002
2.5% 7/19/18	4,351	4,413
3.4% 7/11/24	5,725	5,880
SunTrust Banks, Inc.:
2.35% 11/1/18	3,000	3,007
2.5% 5/1/19	2,000	2,010
Svenska Handelsbanken AB 2.5% 1/25/19	11,750	11,941
The Toronto-Dominion Bank:
2.375% 10/19/16	1,200	1,211
2.5% 7/14/16	1,200	1,208
2.5% 12/14/20	14,020	14,184
U.S. Bancorp 4.125% 5/24/21	3,000	3,271
Wachovia Corp. 5.75% 6/15/17	2,905	3,060
Wells Fargo & Co.:
2.1% 5/8/17	2,725	2,754
2.6% 7/22/20	7,640	7,727
3.3% 9/9/24	4,625	4,710
3.45% 2/13/23	3,675	3,725
3.55% 9/29/25	4,240	4,401
3.9% 5/1/45	4,760	4,623
4.1% 6/3/26	3,225	3,327
4.48% 1/16/24	3,816	4,056
4.9% 11/17/45	2,770	2,809
5.375% 11/2/43	1,850	2,002
5.606% 1/15/44	11,380	12,530
5.625% 12/11/17	5,972	6,384
Westpac Banking Corp.:
2% 8/14/17	5,000	5,039
2.3% 5/26/20	3,000	3,015
4.875% 11/19/19	3,700	4,034
Zions Bancorp. 4.5% 6/13/23	207	211
		882,555
Capital Markets - 1.2%
Affiliated Managers Group, Inc. 3.5% 8/1/25	4,750	4,670
BlackRock, Inc.:
3.5% 3/18/24	2,900	3,038
4.25% 5/24/21	6,500	7,126
Deutsche Bank AG 4.5% 4/1/25	3,000	2,543
Deutsche Bank AG London Branch 2.95% 8/20/20	9,800	9,493
Eaton Vance Corp. 3.625% 6/15/23	2,825	2,932
Franklin Resources, Inc.:
1.375% 9/15/17	1,900	1,899
2.85% 3/30/25	3,800	3,696
Goldman Sachs Group, Inc.:
2.375% 1/22/18	9,950	10,010
2.55% 10/23/19	11,000	11,020
2.625% 1/31/19	12,850	12,948
2.9% 7/19/18	2,800	2,839
3.5% 1/23/25	5,000	4,951
3.625% 1/22/23	9,000	9,156
3.85% 7/8/24	3,800	3,885
5.25% 7/27/21	4,500	4,992
5.625% 1/15/17	7,000	7,231
5.75% 1/24/22	4,300	4,886
5.95% 1/18/18	3,000	3,199
6% 6/15/20	1,650	1,852
6.15% 4/1/18	7,451	8,031
6.75% 10/1/37	14,860	16,988
Lazard Group LLC:
4.25% 11/14/20	2,650	2,719
6.85% 6/15/17	828	871
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	3,140	3,331
6.875% 4/25/18	6,991	7,636
7.75% 5/14/38	4,175	5,373
Morgan Stanley:
2.125% 4/25/18	8,000	7,998
2.375% 7/23/19	7,550	7,534
2.5% 1/24/19	6,000	6,031
2.65% 1/27/20	11,000	10,984
3.7% 10/23/24	6,000	6,079
3.75% 2/25/23	6,775	6,931
3.875% 4/29/24	9,000	9,249
3.95% 4/23/27	5,210	5,033
4.3% 1/27/45	2,000	1,907
5.45% 1/9/17	236	244
5.5% 7/28/21	3,400	3,814
5.625% 9/23/19	2,000	2,195
5.75% 1/25/21	5,000	5,620
5.95% 12/28/17	5,745	6,135
6.375% 7/24/42	2,900	3,601
6.625% 4/1/18	5,055	5,503
7.25% 4/1/32	1,000	1,311
7.3% 5/13/19	3,000	3,431
State Street Corp. 2.875% 3/7/16	3,340	3,341
The Bank of New York Mellon Corp.:
2.3% 7/28/16	1,000	1,006
2.6% 8/17/20	9,400	9,530
5.45% 5/15/19	2,000	2,199
		266,991
Consumer Finance - 1.0%
American Express Co.:
4.05% 12/3/42	6,975	6,720
7% 3/19/18	5,750	6,316
American Express Credit Corp. 2.375% 3/24/17	3,825	3,869
Capital One Financial Corp. 4.75% 7/15/21	4,000	4,307
Caterpillar Financial Services Corp.:
1.3% 3/1/18	3,650	3,637
2% 3/5/20	3,900	3,892
2.1% 6/9/19	1,600	1,613
2.25% 12/1/19	6,600	6,663
2.85% 6/1/22	4,000	4,050
Discover Financial Services:
5.2% 4/27/22	1,000	1,052
6.45% 6/12/17	2,263	2,373
Ford Motor Credit Co. LLC:
2.375% 3/12/19	2,425	2,385
2.875% 10/1/18	1,575	1,576
3% 6/12/17	3,000	3,025
3.219% 1/9/22	3,500	3,404
4.134% 8/4/25	7,000	6,976
4.25% 2/3/17	7,600	7,751
4.25% 9/20/22	1,800	1,834
4.375% 8/6/23	4,000	4,106
4.389% 1/8/26	3,290	3,357
5.875% 8/2/21	11,375	12,549
General Electric Capital Corp.:
2.95% 5/9/16	11,691	11,739
4.65% 10/17/21	2,005	2,270
5.875% 1/14/38	4,474	5,628
6.875% 1/10/39	1,146	1,608
John Deere Capital Corp.:
1.2% 10/10/17	1,550	1,547
1.3% 3/12/18	3,675	3,662
1.95% 12/13/18	4,825	4,879
1.95% 3/4/19	9,600	9,721
2.05% 3/10/20	7,675	7,679
2.25% 4/17/19	10,250	10,392
2.8% 1/27/23	5,000	5,052
Synchrony Financial:
2.7% 2/3/20	8,000	7,841
3% 8/15/19	5,675	5,684
Toyota Motor Credit Corp.:
2.05% 1/12/17	9,000	9,085
2.1% 1/17/19	6,000	6,087
2.125% 7/18/19	10,400	10,566
2.15% 3/12/20	6,750	6,837
2.75% 5/17/21	2,600	2,660
		204,392
Diversified Financial Services - 0.8%
Berkshire Hathaway Finance Corp. 5.75% 1/15/40	5,000	5,925
Berkshire Hathaway, Inc.:
1.55% 2/9/18	4,575	4,608
4.5% 2/11/43	2,000	2,016
Export Development Canada 1% 6/15/18	5,290	5,285
FMS Wertmanagement AoeR 1.125% 9/5/17	2,800	2,807
GE Capital International Funding Co.:
0.964% 4/15/16 (a)	26,000	26,005
2.342% 11/15/20 (a)	5,694	5,752
4.418% 11/15/35 (a)	20,239	21,089
Goldman Sachs Group, Inc. 4.75% 10/21/45	5,830	5,900
ING U.S., Inc. 5.7% 7/15/43	3,750	4,168
IntercontinentalExchange, Inc.:
2.5% 10/15/18	4,675	4,735
3.75% 12/1/25	5,750	5,921
4% 10/15/23	3,750	3,928
International Finance Corp. 2.25% 4/11/16	5,700	5,711
KfW:
1% 1/26/18	11,500	11,500
1.125% 8/6/18	5,700	5,703
1.5% 2/6/19	4,200	4,237
1.75% 10/15/19	15,575	15,808
1.875% 6/30/20	5,670	5,772
2% 5/2/25	3,825	3,832
2.5% 11/20/24	10,425	10,873
Ontario Province 2% 1/30/19	5,000	5,079
Svensk Exportkredit AB 1.75% 5/30/17	4,750	4,800
		171,454
Insurance - 0.8%
ACE INA Holdings, Inc.:
3.35% 5/3/26	4,220	4,321
4.35% 11/3/45	4,000	4,196
5.9% 6/15/19	3,000	3,364
American International Group, Inc.:
3.375% 8/15/20	5,775	5,862
3.75% 7/10/25	2,850	2,797
3.875% 1/15/35	2,700	2,283
4.5% 7/16/44	8,875	7,866
4.875% 6/1/22	9,000	9,603
5.85% 1/16/18	2,000	2,133
6.4% 12/15/20	2,900	3,310
Aon Corp. 3.125% 5/27/16	8,000	8,038
Aon PLC:
3.5% 6/14/24	2,000	2,020
4% 11/27/23	3,000	3,110
4.6% 6/14/44	1,600	1,513
4.75% 5/15/45	5,880	5,794
Hartford Financial Services Group, Inc. 5.125% 4/15/22	4,750	5,261
Marsh & McLennan Companies, Inc.:
2.3% 4/1/17	5,000	5,041
2.35% 9/10/19	3,850	3,878
2.35% 3/6/20	4,750	4,757
2.55% 10/15/18	5,800	5,933
3.5% 6/3/24	1,900	1,902
4.05% 10/15/23	6,775	7,089
MetLife, Inc.:
4.721% 12/15/44 (b)	5,000	4,995
5.875% 2/6/41	2,400	2,735
7.717% 2/15/19	9,000	10,427
Pricoa Global Funding I 8.875% 6/15/38 (b)	2,944	3,219
Prudential Financial, Inc.:
2.3% 8/15/18	4,900	4,913
5.1% 8/15/43	4,000	4,002
5.4% 6/13/35	447	470
5.5% 3/15/16	421	422
5.625% 5/12/41	2,000	2,101
5.7% 12/14/36	380	408
6.2% 11/15/40	2,400	2,703
7.375% 6/15/19	3,000	3,459
The Chubb Corp.:
5.75% 5/15/18	4,175	4,546
6.5% 5/15/38	3,510	4,613
The Travelers Companies, Inc.:
4.3% 8/25/45	1,460	1,520
6.25% 6/15/37	8,350	10,735
		161,339
Real Estate Investment Trusts - 0.5%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	3,788	3,769
3.9% 6/15/23	5,650	5,705
American Tower Corp. 3.4% 2/15/19	7,475	7,597
Boston Properties, Inc.:
3.125% 9/1/23	1,900	1,883
4.125% 5/15/21	2,100	2,221
DDR Corp.:
3.375% 5/15/23	2,825	2,742
4.625% 7/15/22	1,900	1,974
Duke Realty LP:
3.625% 4/15/23	2,750	2,745
3.75% 12/1/24	5,750	5,726
5.95% 2/15/17	630	654
6.5% 1/15/18	1,000	1,078
ERP Operating LP:
2.375% 7/1/19	5,750	5,777
3% 4/15/23	1,875	1,891
4.625% 12/15/21	5,700	6,300
Federal Realty Investment Trust 3% 8/1/22	4,750	4,827
HCP, Inc. 3.875% 8/15/24	7,575	7,115
Health Care REIT, Inc.:
2.25% 3/15/18	2,470	2,464
3.75% 3/15/23	8,660	8,584
HRPT Properties Trust:
6.25% 6/15/17	1,221	1,257
6.65% 1/15/18	612	644
Kimco Realty Corp. 6.875% 10/1/19	1,000	1,152
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	4,750	4,700
4.5% 4/1/27	9,500	8,974
Simon Property Group LP:
2.8% 1/30/17	4,700	4,747
4.125% 12/1/21	3,200	3,459
5.65% 2/1/20	4,300	4,814
Weingarten Realty Investors 3.5% 4/15/23	3,800	3,753
		106,552
Real Estate Management & Development - 0.3%
Brandywine Operating Partnership LP 3.95% 2/15/23	3,800	3,775
CBRE Group, Inc. 4.875% 3/1/26	5,700	5,748
Liberty Property LP:
3.375% 6/15/23	2,775	2,707
3.75% 4/1/25	4,750	4,736
4.4% 2/15/24	7,425	7,715
4.75% 10/1/20	1,000	1,078
5.5% 12/15/16	1,000	1,029
Mack-Cali Realty LP:
2.5% 12/15/17	3,825	3,789
3.15% 5/15/23	4,700	4,071
4.5% 4/18/22	4,210	4,099
Regency Centers LP 5.875% 6/15/17	781	821
Tanger Properties LP:
3.75% 12/1/24	6,500	6,614
6.125% 6/1/20	4,408	5,012
Ventas Realty LP:
3.5% 2/1/25	4,000	3,876
4.125% 1/15/26	1,450	1,470
4.375% 2/1/45	3,000	2,700
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	4,750	4,726
		63,966

TOTAL FINANCIALS		1,857,249

HEALTH CARE - 2.4%
Biotechnology - 0.5%
AbbVie, Inc.:
1.75% 11/6/17	5,700	5,697
2.5% 5/14/20	7,100	7,095
2.9% 11/6/22	5,700	5,658
3.6% 5/14/25	9,000	9,175
4.4% 11/6/42	4,775	4,576
4.7% 5/14/45	8,980	8,976
Amgen, Inc.:
2.2% 5/22/19	11,425	11,572
2.5% 11/15/16	2,000	2,019
3.125% 5/1/25	2,000	1,977
3.875% 11/15/21	9,600	10,259
5.15% 11/15/41	11,150	11,507
5.85% 6/1/17	2,928	3,085
Celgene Corp.:
3.875% 8/15/25	9,500	9,794
5% 8/15/45	3,300	3,378
Gilead Sciences, Inc.:
2.55% 9/1/20	4,740	4,818
3.65% 3/1/26	6,180	6,471
4.75% 3/1/46	4,750	5,010
		111,067
Health Care Equipment & Supplies - 0.2%
Baxter International, Inc.:
1.85% 6/15/18	8,000	7,992
4.5% 8/15/19	3,000	3,223
Becton, Dickinson & Co.:
2.675% 12/15/19	5,854	5,977
4.685% 12/15/44	10,180	10,509
Medtronic, Inc.:
2.5% 3/15/20	15,100	15,469
4.625% 3/15/45	10,425	11,109
		54,279
Health Care Providers & Services - 0.6%
Aetna, Inc.:
1.5% 11/15/17	1,958	1,954
4.125% 6/1/21	7,000	7,451
4.125% 11/15/42	4,411	4,099
Catholic Health Initiatives:
1.6% 11/1/17	2,750	2,748
4.35% 11/1/42	2,000	1,960
Childrens Hosp Medical Ctr 4.268% 5/15/44	3,320	3,428
Cigna Corp. 4% 2/15/22	4,600	4,855
Coventry Health Care, Inc. 5.95% 3/15/17	1,731	1,810
Express Scripts Holding Co.:
2.25% 6/15/19	3,800	3,775
6.125% 11/15/41	3,000	3,149
Express Scripts, Inc. 7.25% 6/15/19	2,000	2,291
Kaiser Foundation Hospitals 4.875% 4/1/42	1,800	2,007
McKesson Corp.:
1.4% 3/15/18	4,725	4,690
3.796% 3/15/24	5,000	5,141
4.883% 3/15/44	5,000	4,987
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55	3,000	3,030
New York & Presbyterian Hospital 4.024% 8/1/45	3,500	3,468
NYU Hospitals Center 4.784% 7/1/44	7,600	8,102
Partners Healthcare System, Inc. 4.117% 7/1/55	3,500	3,408
UnitedHealth Group, Inc.:
1.625% 3/15/19	4,878	4,881
2.3% 12/15/19	8,625	8,754
2.7% 7/15/20	6,000	6,165
2.875% 12/15/21	2,575	2,644
3.75% 7/15/25	3,500	3,724
4.375% 3/15/42	11,800	12,004
4.75% 7/15/45	1,670	1,827
WellPoint, Inc.:
1.875% 1/15/18	2,000	1,996
3.3% 1/15/23	2,000	1,969
4.625% 5/15/42	2,600	2,462
4.65% 1/15/43	2,000	1,873
5.8% 8/15/40	4,000	4,423
		125,075
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
2.4% 2/1/19	2,850	2,859
4.15% 2/1/24	4,379	4,572
5.3% 2/1/44	5,820	6,269
		13,700
Pharmaceuticals - 1.0%
Actavis Funding SCS:
3% 3/12/20	22,800	23,192
3.45% 3/15/22	18,025	18,418
4.55% 3/15/35	6,650	6,684
AstraZeneca PLC:
5.9% 9/15/17	4,505	4,807
6.45% 9/15/37	3,250	4,140
Bristol-Myers Squibb Co. 3.25% 8/1/42	2,800	2,541
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	8,585	9,377
6.375% 5/15/38	7,218	9,273
Johnson & Johnson:
1.65% 3/1/21	3,770	3,776
2.45% 3/1/26	5,590	5,598
4.5% 12/5/43	6,625	7,639
4.85% 5/15/41	4,260	5,068
Merck & Co., Inc.:
1.3% 5/18/18	7,000	7,028
1.85% 2/10/20	9,000	9,099
2.4% 9/15/22	2,000	2,009
3.6% 9/15/42	2,000	1,888
3.7% 2/10/45	3,400	3,246
3.875% 1/15/21	1,000	1,083
5% 6/30/19	5,970	6,646
Mylan, Inc. 1.35% 11/29/16	5,295	5,258
Novartis Capital Corp.:
2.4% 9/21/22	3,750	3,800
3% 11/20/25	10,470	10,797
3.7% 9/21/42	2,825	2,738
4% 11/20/45	5,240	5,381
Perrigo Co. PLC:
2.3% 11/8/18	4,609	4,535
4% 11/15/23	5,000	4,972
Perrigo Finance PLC 4.9% 12/15/44	3,089	2,969
Pfizer, Inc.:
6.2% 3/15/19	4,000	4,519
7.2% 3/15/39	5,400	7,523
Sanofi SA 1.25% 4/10/18	7,550	7,560
Watson Pharmaceuticals, Inc.:
1.875% 10/1/17	3,125	3,128
3.25% 10/1/22	3,000	3,013
Zoetis, Inc.:
1.875% 2/1/18	1,000	989
3.25% 2/1/23	5,000	4,807
4.7% 2/1/43	1,300	1,139
		204,640

TOTAL HEALTH CARE		508,761

INDUSTRIALS - 1.5%
Aerospace & Defense - 0.4%
Boeing Capital Corp. 2.125% 8/15/16	4,500	4,522
General Dynamics Corp. 2.25% 7/15/16	2,400	2,413
Honeywell International, Inc. 5.375% 3/1/41	1,400	1,689
Lockheed Martin Corp.:
2.125% 9/15/16	3,000	3,016
3.55% 1/15/26	7,600	7,992
4.7% 5/15/46	3,700	3,980
4.85% 9/15/41	2,700	2,889
Northrop Grumman Corp.:
1.75% 6/1/18	6,900	6,888
3.85% 4/15/45	1,875	1,804
4.75% 6/1/43	4,000	4,304
Precision Castparts Corp. 3.25% 6/15/25	5,700	5,836
Raytheon Co.:
3.125% 10/15/20	2,000	2,108
3.15% 12/15/24	8,900	9,280
4.875% 10/15/40	1,000	1,161
The Boeing Co.:
2.5% 3/1/25	4,600	4,539
6% 3/15/19	1,000	1,129
6.875% 3/15/39	3,300	4,633
United Technologies Corp.:
3.1% 6/1/22	2,875	2,986
4.5% 4/15/20	4,000	4,371
4.5% 6/1/42	7,380	7,615
5.7% 4/15/40	2,000	2,385
6.125% 2/1/19	4,000	4,483
		90,023
Air Freight & Logistics - 0.1%
FedEx Corp.:
2.3% 2/1/20	11,350	11,441
3.2% 2/1/25	3,820	3,780
United Parcel Service, Inc. 6.2% 1/15/38	2,500	3,325
		18,546
Airlines - 0.0%
American Airlines pass-thru trust equipment trust certificate 4.95% 7/15/24	3,151	3,324
Continental Airlines, Inc.:
4% 4/29/26	4,216	4,337
6.648% 3/15/19	750	762
6.9% 7/2/19	140	143
		8,566
Commercial Services & Supplies - 0.1%
Republic Services, Inc.:
3.2% 3/15/25	11,275	11,258
5.5% 9/15/19	4,000	4,405
Waste Management, Inc. 2.9% 9/15/22	6,675	6,679
		22,342
Electrical Equipment - 0.1%
Eaton Corp.:
1.5% 11/2/17	4,775	4,754
2.75% 11/2/22	5,725	5,622
4% 11/2/32	1,900	1,865
4.15% 11/2/42	1,900	1,815
General Electric Capital Corp. 6.15% 8/7/37	544	706
		14,762
Industrial Conglomerates - 0.3%
3M Co. 2% 6/26/22	4,000	3,971
Covidien International Finance SA:
2.95% 6/15/23	3,000	3,017
3.2% 6/15/22	2,150	2,228
6% 10/15/17	2,902	3,106
6.55% 10/15/37	4,250	5,475
Danaher Corp.:
2.4% 9/15/20	7,361	7,516
3.9% 6/23/21	2,900	3,147
4.375% 9/15/45	2,370	2,547
General Electric Co.:
3.375% 3/11/24	5,500	5,892
4.5% 3/11/44	8,500	9,128
5.25% 12/6/17	18,540	19,857
Roper Technologies, Inc. 2.05% 10/1/18	5,675	5,647
		71,531
Machinery - 0.1%
Caterpillar, Inc.:
2.6% 6/26/22	6,000	6,031
5.3% 9/15/35	7,000	7,667
Deere & Co. 5.375% 10/16/29	1,000	1,184
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	5,093	5,061
4.65% 11/1/44	6,000	5,899
		25,842
Road & Rail - 0.4%
Burlington Northern Santa Fe Corp. 4.7% 10/1/19	5,000	5,462
Burlington Northern Santa Fe LLC:
3% 3/15/23	2,800	2,854
3.05% 3/15/22	10,000	10,295
4.15% 4/1/45	1,700	1,658
4.375% 9/1/42	4,500	4,513
4.55% 9/1/44	3,000	3,094
4.9% 4/1/44	4,000	4,305
Canadian National Railway Co. 2.85% 12/15/21	5,000	5,127
CSX Corp.:
3.4% 8/1/24	4,625	4,694
3.95% 5/1/50	2,000	1,714
4.1% 3/15/44	6,775	6,249
7.375% 2/1/19	10,000	11,504
Norfolk Southern Corp.:
3% 4/1/22	7,500	7,499
3.25% 12/1/21	5,000	5,031
3.95% 10/1/42	1,900	1,698
Union Pacific Corp. 4.75% 9/15/41	2,800	3,026
		78,723
Trading Companies & Distributors - 0.0%
Air Lease Corp. 3.75% 2/1/22	3,820	3,549

TOTAL INDUSTRIALS		333,884

INFORMATION TECHNOLOGY - 1.5%
Communications Equipment - 0.1%
Cisco Systems, Inc.:
3.5% 6/15/25	4,270	4,499
4.45% 1/15/20	2,000	2,198
4.95% 2/15/19	3,479	3,830
5.9% 2/15/39	12,416	15,369
		25,896
Electronic Equipment & Components - 0.1%
Corning, Inc. 4.75% 3/15/42	5,000	4,771
Tyco Electronics Group SA:
2.35% 8/1/19	5,000	5,018
2.375% 12/17/18	3,000	3,013
3.45% 8/1/24	3,650	3,679
6.55% 10/1/17	2,338	2,510
7.125% 10/1/37	2,475	3,200
		22,191
Internet Software & Services - 0.1%
Apple, Inc. 2.25% 2/23/21	15,000	15,225
Google, Inc. 3.625% 5/19/21	3,780	4,106
		19,331
IT Services - 0.3%
IBM Corp.:
1.25% 2/6/17	11,250	11,296
1.95% 7/22/16	1,500	1,507
3.625% 2/12/24	10,000	10,507
7.625% 10/15/18	13,000	14,979
Visa, Inc.:
2.2% 12/14/20	5,700	5,805
3.15% 12/14/25	9,010	9,361
4.3% 12/14/45	6,640	7,120
Xerox Corp.:
2.75% 3/15/19	5,000	4,757
4.5% 5/15/21	4,000	3,846
5.625% 12/15/19	1,000	1,022
		70,200
Semiconductors & Semiconductor Equipment - 0.1%
Intel Corp.:
3.3% 10/1/21	15,000	15,887
4.9% 7/29/45	3,000	3,255
Texas Instruments, Inc. 1.75% 5/1/20	3,800	3,798
		22,940
Software - 0.5%
Microsoft Corp.:
2.7% 2/12/25	17,175	17,504
3.625% 12/15/23	26,150	28,517
4.2% 6/1/19	2,000	2,183
4.45% 11/3/45	7,570	8,117
5.3% 2/8/41	1,500	1,745
Oracle Corp.:
2.25% 10/8/19	4,725	4,841
2.5% 5/15/22	9,600	9,654
3.4% 7/8/24	4,725	4,945
4.3% 7/8/34	3,875	3,970
5.375% 7/15/40	12,500	14,320
5.75% 4/15/18	7,400	8,082
		103,878
Technology Hardware, Storage & Peripherals - 0.3%
Apple, Inc.:
2.1% 5/6/19	6,475	6,609
2.7% 5/13/22	6,650	6,755
3.2% 5/13/25	10,490	10,842
3.85% 5/4/43	13,000	12,159
Hewlett Packard Enterprise Co.:
3.6% 10/15/20 (a)	7,130	7,111
4.9% 10/15/25 (a)	9,750	9,250
HP, Inc.:
4.3% 6/1/21	2,780	2,806
6% 9/15/41	1,500	1,238
		56,770

TOTAL INFORMATION TECHNOLOGY		321,206

MATERIALS - 1.0%
Chemicals - 0.5%
Air Products & Chemicals, Inc. 4.375% 8/21/19	1,000	1,079
Albemarle Corp. U.S. 3% 12/1/19	2,850	2,791
E.I. du Pont de Nemours & Co.:
3.625% 1/15/21	5,000	5,261
4.15% 2/15/43	4,000	3,523
4.625% 1/15/20	3,000	3,265
Ecolab, Inc.:
1.45% 12/8/17	6,650	6,617
2.25% 1/12/20	3,775	3,786
5.5% 12/8/41	3,000	3,362
Lubrizol Corp. 8.875% 2/1/19	919	1,097
LYB International Finance BV:
4% 7/15/23	5,625	5,690
4.875% 3/15/44	5,850	5,333
LyondellBasell Industries NV 5% 4/15/19	3,000	3,165
Monsanto Co.:
2.125% 7/15/19	7,458	7,501
2.75% 7/15/21	6,357	6,367
2.85% 4/15/25	3,825	3,598
Potash Corp. of Saskatchewan, Inc.:
3.25% 12/1/17	3,800	3,875
4.875% 3/30/20	1,500	1,636
5.625% 12/1/40	1,800	1,873
Praxair, Inc.:
2.2% 8/15/22	2,000	1,966
2.45% 2/15/22	4,650	4,636
3.2% 1/30/26	3,840	4,016
3.55% 11/7/42	2,000	1,844
The Dow Chemical Co.:
3% 11/15/22	4,900	4,846
4.125% 11/15/21	7,700	8,135
4.375% 11/15/42	4,875	4,402
8.55% 5/15/19	2,358	2,772
9.4% 5/15/39	3,000	4,325
The Mosaic Co. 5.625% 11/15/43	3,750	3,491
		110,252
Containers & Packaging - 0.1%
Bemis Co., Inc. 6.8% 8/1/19	3,000	3,398
International Paper Co.:
3.65% 6/15/24	4,725	4,610
3.8% 1/15/26	2,880	2,794
4.75% 2/15/22	11,500	12,185
		22,987
Metals & Mining - 0.4%
Barrick Gold Corp. 5.25% 4/1/42	4,500	3,514
BHP Billiton Financial (U.S.A.) Ltd.:
2.05% 9/30/18	8,075	7,943
2.875% 2/24/22	9,300	8,965
5% 9/30/43	3,000	2,924
6.5% 4/1/19	2,500	2,745
Freeport-McMoRan, Inc. 3.55% 3/1/22	5,125	3,408
Newmont Mining Corp.:
5.125% 10/1/19	1,000	1,066
6.25% 10/1/39	1,600	1,423
Nucor Corp.:
4% 8/1/23	3,000	3,019
5.2% 8/1/43	4,000	3,725
Rio Tinto Finance (U.S.A.) Ltd.:
3.75% 9/20/21	3,200	3,181
3.75% 6/15/25	5,810	5,550
6.5% 7/15/18	1,398	1,500
7.125% 7/15/28	2,000	2,276
Rio Tinto Finance (U.S.A.) PLC:
2.25% 12/14/18	3,000	2,922
2.875% 8/21/22	6,000	5,551
Southern Copper Corp.:
3.875% 4/23/25	3,670	3,270
5.25% 11/8/42	5,775	4,316
Vale Overseas Ltd.:
4.375% 1/11/22	11,400	8,778
5.625% 9/15/19	6,210	5,587
6.25% 1/23/17	9,395	9,471
		91,134

TOTAL MATERIALS		224,373

TELECOMMUNICATION SERVICES - 1.2%
Diversified Telecommunication Services - 0.9%
AT&T, Inc.:
2.4% 8/15/16	12,800	12,876
2.45% 6/30/20	5,360	5,339
3.4% 5/15/25	9,270	9,091
4.35% 6/15/45	24,760	21,092
5.55% 8/15/41	7,300	7,172
5.8% 2/15/19	4,000	4,410
6.3% 1/15/38	838	907
BellSouth Capital Funding Corp. 7.875% 2/15/30	131	155
British Telecommunications PLC 9.625% 12/15/30 (b)	4,515	6,466
Deutsche Telekom International Financial BV 6.75% 8/20/18	3,595	4,008
Orange SA 5.375% 7/8/19	4,000	4,417
Telefonica Emisiones S.A.U.:
5.462% 2/16/21	2,700	2,960
5.877% 7/15/19	2,000	2,193
6.421% 6/20/16	1,151	1,167
7.045% 6/20/36	2,600	3,088
Verizon Communications, Inc.:
2% 11/1/16	9,600	9,654
4.272% 1/15/36	24,278	22,276
4.4% 11/1/34	3,775	3,547
4.5% 9/15/20	23,600	25,666
4.75% 11/1/41	1,000	955
5.012% 8/21/54	12,557	11,679
6.25% 4/1/37	3,121	3,496
6.35% 4/1/19	6,000	6,778
6.55% 9/15/43	12,516	15,177
6.9% 4/15/38	6,025	7,133
Verizon Global Funding Corp. 5.85% 9/15/35	3,190	3,477
		195,179
Wireless Telecommunication Services - 0.3%
America Movil S.A.B. de CV:
3.125% 7/16/22	5,275	5,284
6.125% 11/15/37	8,365	9,203
Rogers Communications, Inc.:
4.1% 10/1/23	4,825	5,114
5.45% 10/1/43	5,775	6,217
Vodafone Group PLC:
1.25% 9/26/17	4,000	3,984
1.5% 2/19/18	7,700	7,627
2.5% 9/26/22	3,000	2,853
2.95% 2/19/23	6,900	6,598
5.45% 6/10/19	6,000	6,576
		53,456

TOTAL TELECOMMUNICATION SERVICES		248,635

UTILITIES - 1.9%
Electric Utilities - 1.3%
Alabama Power Co.:
3.75% 3/1/45	1,000	961
4.15% 8/15/44	4,650	4,737
5.2% 6/1/41	3,850	4,453
AmerenUE:
3.9% 9/15/42	3,700	3,741
6.4% 6/15/17	2,959	3,138
American Electric Power Co., Inc.:
1.65% 12/15/17	4,000	3,973
2.95% 12/15/22	4,000	3,987
Appalachian Power Co. 4.45% 6/1/45	6,000	5,952
Baltimore Gas & Electric Co. 3.35% 7/1/23	2,850	2,962
Carolina Power & Light Co. 2.8% 5/15/22	4,350	4,453
CenterPoint Energy Houston Electric LLC 3.55% 8/1/42	1,900	1,745
Cleveland Electric Illuminating Co. 8.875% 11/15/18	2,000	2,347
Commonwealth Edison Co.:
3.1% 11/1/24	10,000	10,197
3.4% 9/1/21	1,000	1,054
3.7% 3/1/45	3,100	2,948
5.8% 3/15/18	9,945	10,770
Dayton Power & Light Co. 1.875% 9/15/16	3,750	3,755
Detroit Edison Co. 2.65% 6/15/22	8,000	8,158
Duke Energy Carolinas LLC:
3.75% 6/1/45	2,000	1,959
4% 9/30/42	3,750	3,798
5.25% 1/15/18	4,355	4,662
Duke Energy Corp.:
2.1% 6/15/18	4,650	4,660
3.75% 4/15/24	6,000	6,196
3.95% 10/15/23	2,443	2,537
Duke Energy Progress, Inc.:
4.15% 12/1/44	1,800	1,838
4.375% 3/30/44	2,000	2,109
Edison International 3.75% 9/15/17	3,000	3,090
Entergy Corp. 4% 7/15/22	6,640	6,973
Exelon Corp. 3.95% 6/15/25 (a)	7,830	7,927
Florida Power & Light Co.:
3.25% 6/1/24	4,725	4,961
4.05% 10/1/44	5,419	5,666
Hydro-Quebec:
1.375% 6/19/17	1,000	1,005
2% 6/30/16	7,310	7,343
Indiana Michigan Power Co. 3.2% 3/15/23	2,775	2,799
Nevada Power Co. 6.5% 8/1/18	1,555	1,721
Northern States Power Co.:
3.4% 8/15/42	2,000	1,865
4.125% 5/15/44	4,500	4,703
5.25% 3/1/18	10,500	11,274
Pacific Gas & Electric Co.:
2.45% 8/15/22	4,000	3,959
3.75% 8/15/42	5,900	5,562
5.4% 1/15/40	4,000	4,655
PacifiCorp:
3.6% 4/1/24	4,000	4,264
6% 1/15/39	6,193	7,784
Pennsylvania Electric Co. 6.05% 9/1/17	757	804
Potomac Electric Power Co. 6.5% 11/15/37	3,806	5,046
PPL Capital Funding, Inc.:
3.4% 6/1/23	2,675	2,727
4.2% 6/15/22	2,000	2,133
4.7% 6/1/43	1,800	1,831
PPL Electric Utilities Corp. 4.15% 10/1/45	3,500	3,615
Progress Energy, Inc.:
4.875% 12/1/19	1,700	1,847
6% 12/1/39	5,200	5,961
Public Service Co. of Colorado 2.9% 5/15/25	11,000	11,229
Public Service Electric & Gas Co.:
3.65% 9/1/42	2,825	2,737
4% 6/1/44	5,000	5,130
Puget Sound Energy, Inc. 4.3% 5/20/45	6,410	6,798
Tampa Electric Co. 6.15% 5/15/37	6,260	7,919
TECO Finance, Inc. 4% 3/15/16	2,875	2,878
Virginia Electric & Power Co.:
3.1% 5/15/25	4,000	4,098
3.45% 2/15/24	2,750	2,865
4.2% 5/15/45	2,400	2,465
4.45% 2/15/44	2,750	2,918
5% 6/30/19	5,000	5,490
6% 5/15/37	2,000	2,494
Wisconsin Electric Power Co. 4.25% 6/1/44	4,700	4,992
Wisconsin Power & Light Co. 5% 7/15/19	1,000	1,099
		279,717
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (a)	438	443
Multi-Utilities - 0.6%
Ameren Illinois Co. 6.125% 11/15/17	3,364	3,616
Berkshire Hathaway Energy Co.:
4.5% 2/1/45	3,000	3,046
5.15% 11/15/43	1,650	1,817
5.75% 4/1/18	3,750	4,038
6.5% 9/15/37	7,605	9,487
CenterPoint Energy, Inc. 5.95% 2/1/17	1,181	1,223
CMS Energy Corp. 4.875% 3/1/44	5,000	5,229
Consolidated Edison Co. of New York, Inc.:
4.45% 6/15/20	2,000	2,192
4.45% 3/15/44	8,000	8,477
5.5% 12/1/39	2,500	2,945
Consumers Energy Co. 2.85% 5/15/22	6,650	6,794
Delmarva Power & Light 4% 6/1/42	4,000	3,979
Dominion Resources, Inc.:
2.5% 12/1/19	6,700	6,751
2.9031% 9/30/66 (b)	1,000	672
4.9% 8/1/41	2,000	1,941
7.5% 6/30/66 (b)	1,000	838
NiSource Finance Corp.:
4.8% 2/15/44	5,500	5,698
5.45% 9/15/20	5,111	5,657
6.25% 12/15/40	2,453	2,911
6.4% 3/15/18	1,532	1,662
PG&E Corp. 2.4% 3/1/19	2,406	2,430
Puget Energy, Inc. 3.65% 5/15/25	8,070	8,136
San Diego Gas & Electric Co. 4.5% 8/15/40	1,000	1,091
Sempra Energy:
2.4% 3/15/20	12,406	12,175
2.875% 10/1/22	3,000	2,904
4.05% 12/1/23	5,000	5,228
6% 10/15/39	1,000	1,099
6.5% 6/1/16	3,000	3,035
Wisconsin Energy Corp. 6.25% 5/15/67 (b)	4,228	3,129
		118,200

TOTAL UTILITIES		398,360

TOTAL NONCONVERTIBLE BONDS
(Cost $5,284,817)		5,363,349

U.S. Government and Government Agency Obligations - 39.8%
U.S. Government Agency Obligations - 2.5%
Fannie Mae:
1.125% 7/20/18	$102,559	$102,992
1.375% 2/26/21	4,601	4,589
1.5% 11/30/20	18,106	18,189
1.875% 9/18/18	15,050	15,395
2.625% 9/6/24	4,000	4,222
Federal Home Loan Bank:
0.625% 12/28/16	28,350	28,333
0.875% 5/24/17	15,825	15,843
1% 6/21/17	35,300	35,391
1.125% 9/14/18	54,675	54,905
1.375% 2/18/21	20,300	20,263
5% 11/17/17	33,300	35,632
5.5% 7/15/36	1,500	2,074
Freddie Mac:
0.875% 10/14/16	24,375	24,405
1% 6/29/17	2,660	2,667
1% 12/15/17	59,006	59,123
1.375% 5/1/20	14,000	14,104
2.375% 1/13/22	13,000	13,609
3.75% 3/27/19	2,300	2,487
6.25% 7/15/32	7,700	11,297
6.75% 3/15/31	26,000	39,142
Tennessee Valley Authority:
5.25% 9/15/39	20,000	25,590
5.375% 4/1/56	5,395	6,993

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS		537,245

U.S. Treasury Obligations - 37.3%
U.S. Treasury Bonds:
2.5% 2/15/45	106,220	103,536
2.875% 8/15/45	86,740	91,345
3% 11/15/44	8,970	9,693
3% 5/15/45	43,090	46,525
3% 11/15/45	32,860	35,513
3.125% 8/15/44	32,960	36,542
3.375% 5/15/44	72,390	84,218
3.5% 2/15/39	8,315	9,936
3.625% 8/15/43	26,640	32,513
3.625% 2/15/44	67,570	82,340
3.75% 11/15/43	44,780	55,896
3.875% 8/15/40	30,080	37,877
4.25% 5/15/39	26,000	34,556
4.25% 11/15/40	811	1,079
4.375% 2/15/38	8,200	11,125
4.375% 11/15/39	100	135
4.375% 5/15/40	8,000	10,822
4.375% 5/15/41	57,765	78,400
4.5% 2/15/36	37,400	51,472
4.5% 5/15/38	15,000	20,693
4.5% 8/15/39	39,000	53,642
4.625% 2/15/40	21,500	30,082
4.75% 2/15/37	9,420	13,380
4.75% 2/15/41	54,830	78,298
5% 5/15/37	11,000	16,154
5.375% 2/15/31	53,470	76,631
6.25% 5/15/30	86,360	131,750
8.75% 5/15/17	8,000	8,769
8.875% 8/15/17	5,000	5,591
8.875% 2/15/19	6,960	8,584
9% 11/15/18	4,000	4,873
9.125% 5/15/18	3,000	3,547
U.S. Treasury Notes:
0.5% 4/30/17	64,360	64,184
0.625% 5/31/17	106,140	105,974
0.625% 7/31/17	32,510	32,448
0.625% 8/31/17	67,720	67,567
0.75% 1/31/18	22,920	22,900
0.75% 4/15/18	126,660	126,472
0.75% 2/15/19	152,470	151,761
0.875% 12/31/16	3	3
0.875% 2/28/17	4	4
0.875% 4/15/17	84,530	84,665
0.875% 5/15/17	49,260	49,345
0.875% 6/15/17	112,340	112,529
0.875% 7/15/17	100,740	100,889
0.875% 8/15/17	82,420	82,536
0.875% 10/15/17	206,880	207,147
0.875% 11/15/17	33,950	33,991
0.875% 11/30/17	62,560	62,650
0.875% 1/15/18	8,670	8,680
0.875% 7/15/18	104,000	104,110
0.875% 10/15/18	89,640	89,686
1% 9/15/17	64,200	64,413
1% 12/15/17	112,860	113,261
1% 12/31/17	128,720	129,183
1% 2/15/18	96,230	96,598
1% 3/15/18	56,600	56,821
1% 9/15/18	32,730	32,851
1.125% 1/15/19	52,100	52,428
1.125% 4/30/20	177,430	177,208
1.125% 2/28/21	88,310	87,910
1.25% 10/31/18	45,190	45,640
1.25% 11/15/18	30,680	30,984
1.25% 11/30/18	47,480	47,959
1.25% 12/15/18	33,630	33,962
1.25% 1/31/19	14,670	14,818
1.25% 1/31/20	825	829
1.375% 6/30/18	31,800	32,206
1.375% 7/31/18	1,175	1,190
1.375% 9/30/18	95,690	96,983
1.375% 2/28/19	98,500	99,789
1.375% 1/31/20	20,920	21,123
1.375% 2/29/20	49,140	49,593
1.375% 3/31/20	6,630	6,689
1.375% 4/30/20	55,840	56,313
1.375% 8/31/20	78,960	79,598
1.375% 9/30/20	25,600	25,784
1.375% 10/31/20	5,720	5,760
1.375% 1/31/21	20,530	20,666
1.5% 8/31/18	238,925	242,854
1.5% 12/31/18	4,060	4,128
1.5% 1/31/19	37,180	37,805
1.5% 2/28/19	32,250	32,795
1.5% 3/31/19	12,800	13,016
1.5% 10/31/19	36,700	37,266
1.5% 11/30/19	51,090	51,866
1.5% 5/31/20	39,630	40,163
1.5% 1/31/22	4,370	4,391
1.5% 2/28/23	20,410	20,384
1.625% 4/30/19	4,980	5,083
1.625% 7/31/19	43,010	43,894
1.625% 8/31/19 (c)	100,350	102,404
1.625% 12/31/19	8,990	9,166
1.625% 6/30/20	50,460	51,384
1.625% 7/31/20	47,580	48,454
1.625% 11/30/20	94,780	96,605
1.625% 2/15/26 (d)	54,430	53,873
1.75% 10/31/18	10	10
1.75% 9/30/19	11,230	11,504
1.75% 10/31/20	9,960	10,193
1.75% 12/31/20	71,130	72,853
1.75% 3/31/22	117,000	119,111
1.75% 4/30/22	15,910	16,193
1.75% 9/30/22	28,790	29,257
1.75% 1/31/23	25,640	26,037
1.875% 9/30/17	11,325	11,517
1.875% 10/31/17	40,860	41,580
1.875% 6/30/20	24,290	25,002
1.875% 11/30/21	81,260	83,438
1.875% 5/31/22	19,875	20,375
1.875% 8/31/22	69,670	71,360
1.875% 10/31/22	27,400	28,059
2% 11/30/20	31,910	33,011
2% 2/28/21	26,380	27,309
2% 5/31/21	40,290	41,702
2% 8/31/21	108,300	111,976
2% 10/31/21	29,700	30,700
2% 7/31/22	48,060	49,598
2% 11/30/22	42,170	43,516
2% 2/15/25	3,635	3,720
2% 8/15/25	36,140	36,952
2.125% 8/31/20	49,753	51,724
2.125% 1/31/21	3,060	3,186
2.125% 6/30/21	7,260	7,559
2.125% 8/15/21	90,750	94,419
2.125% 9/30/21	43,640	45,413
2.125% 12/31/21	15,950	16,592
2.125% 6/30/22	40,770	42,393
2.125% 12/31/22	63,040	65,599
2.125% 5/15/25	58,355	60,313
2.25% 11/30/17	11,000	11,274
2.25% 4/30/21	42,310	44,323
2.25% 7/31/21	31,690	33,200
2.25% 11/15/24	85,930	89,807
2.25% 11/15/25	115,110	120,268
2.375% 8/15/24	78,790	83,197
2.5% 8/15/23	97,170	103,782
2.5% 5/15/24	95,500	101,819
2.625% 4/30/18	10,200	10,593
2.625% 8/15/20	141,000	149,631
2.625% 11/15/20	94,180	100,081
2.75% 12/31/17	3,000	3,105
2.75% 11/15/23	102,790	111,636
2.75% 2/15/24	135,610	147,227
3% 8/31/16	2	2
3.125% 5/15/21	50,876	55,507
3.375% 11/15/19	27,740	30,060
3.5% 2/15/18	4,000	4,209
3.5% 5/15/20	81,800	89,549
3.625% 2/15/20	59,600	65,325
3.625% 2/15/21	39,800	44,285
3.875% 5/15/18	8,000	8,540
4% 8/15/18	22,000	23,733
4.25% 11/15/17	16,000	16,931
4.5% 5/15/17	13,000	13,585
4.625% 2/15/17	14,000	14,519

TOTAL U.S. TREASURY OBLIGATIONS		7,957,507

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $8,112,859)		8,494,752

U.S. Government Agency - Mortgage Securities - 28.3%
Fannie Mae - 14.2%
2.283% 11/1/34 (b)	11,108	11,585
2.5% 3/1/27 to 8/1/43	220,816	226,645
2.5% 3/1/31 (e)	6,000	6,152
2.623% 11/1/34 (b)	808	851
3% 11/1/20 to 3/1/46	638,530	659,680
3% 3/1/31 (e)	3,000	3,128
3% 3/1/31 (e)	3,000	3,128
3% 3/1/31 (e)	8,000	8,343
3% 3/1/46 (e)	5,000	5,127
3% 3/1/46 (e)	13,000	13,330
3.09% 4/1/41 (b)	5,188	5,380
3.5% 7/1/20 to 12/1/45	783,965	824,557
3.5% 1/1/28	2,000	2,127
3.5% 3/1/31 (e)	500	528
3.5% 3/1/46 (e)	9,000	9,431
3.5% 3/1/46 (e)	39,000	40,867
4% 7/1/18 to 12/1/45	543,262	581,530
4% 3/1/46 (e)	6,000	6,402
4% 3/1/46 (e)	15,000	16,004
4.5% 1/1/19 to 3/1/45	235,308	255,981
4.5% 3/1/46 (e)	2,000	2,172
4.5% 3/1/46 (e)	4,000	4,344
5% 12/1/20 to 12/1/44	135,064	149,235
5% 3/1/46 (e)	2,000	2,214
5% 3/1/46 (e)	1,000	1,107
5.5% 8/1/17 to 9/1/41	88,776	100,239
6% 2/1/23 to 7/1/41	62,914	72,070
6.5% 3/1/22 to 6/1/40	23,220	27,167

TOTAL FANNIE MAE		3,039,324

Freddie Mac - 6.4%
1.969% 3/1/36 (b)	5,519	5,721
2.5% 5/1/23 to 7/1/30	114,548	117,810
2.505% 3/1/35 (b)	2,021	2,135
2.542% 12/1/35 (b)	4,476	4,704
2.653% 9/1/37 (b)	1,478	1,563
3% 3/1/27 to 2/1/46	348,370	359,130
3.5% 9/1/18 to 10/1/45	371,290	389,423
4% 3/1/26 to 4/1/45	202,355	216,449
4% 3/1/46 (e)	25,000	26,639
4.5% 6/1/25 to 12/1/44	119,789	130,369
5% 4/1/23 to 9/1/40	58,770	65,155
5.5% 5/1/23 to 6/1/41 (e)	38,115	42,970
5.5% 11/1/37	597	671
5.5% 1/1/38	388	436
6% 4/1/32 to 8/1/37	1,707	1,961
6.5% 8/1/36 to 12/1/37	585	681

TOTAL FREDDIE MAC		1,365,817

Ginnie Mae - 7.7%
2.5% 10/20/42 to 3/20/44	7,726	7,779
3% 4/15/42 to 12/20/45	315,860	327,892
3% 3/1/46 (e)	7,000	7,249
3.5% 10/15/40 to 2/20/46	338,168	357,588
3.5% 3/1/46 (e)	66,000	69,687
3.5% 3/1/46 (e)	70,900	74,860
3.5% 3/1/46 (e)	33,800	35,688
3.5% 3/1/46 (e)	40,500	42,762
3.5% 3/1/46 (e)	3,000	3,168
3.5% 3/1/46 (e)	24,000	25,341
4% 1/15/25 to 8/20/45	311,985	334,134
4% 3/1/46 (e)	9,000	9,612
4.5% 9/15/33 to 7/20/45	173,783	188,629
4.5% 3/1/46 (e)	2,000	2,150
5% 7/15/38 to 6/20/45	88,077	98,957
5.5% 10/20/32 to 3/20/45	30,556	34,468
5.5% 6/20/43	1,366	1,543
6% 5/20/34 to 12/15/40	15,878	18,403
6.5% 8/20/36 to 1/15/39	3,075	3,604

TOTAL GINNIE MAE		1,643,514

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $5,922,706)		6,048,655

Asset-Backed Securities - 0.7%
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	$9,500	$9,504
Capital One Multi-Asset Execution Trust Series 2015-A1 Class A, 1.39% 1/15/21	9,500	9,536
Chase Issuance Trust:
Series 2012-A4 Class A4, 1.58% 8/16/21	6,875	6,893
Series 2012-A7 Class A7, 2.16% 9/16/24	3,925	3,935
Series 2015-A4 Class A, 1.84% 4/15/22	4,750	4,802
Citibank Credit Card Issuance Trust:
Series 2013-A3 Class A3, 1.11% 7/23/18	2,800	2,802
Series 2013-A9 Class A9, 3.72% 9/8/25	4,675	5,173
Discover Card Master Trust Series 2015-A2 Class A, 1.9% 10/17/22	10,800	10,846
Ford Credit Auto Owner Trust:
Series 2013-C Class A3, 0.82% 12/15/17	1,232	1,232
Series 2014-C Class A3, 1.06% 5/15/19	9,475	9,473
Ford Credit Floorplan Master Owner Trust:
Series 2013-5 Class A1, 1.5% 9/15/18	4,675	4,683
Series 2015-2 Class A1, 1.98% 1/15/22	9,500	9,551
Honda Auto Receivables Owner Trust:
Series 2014-4 Class A3, 0.99% 9/17/18	9,475	9,473
Series 2015-1 Class A3, 1.05% 10/15/18	10,000	9,996
Hyundai Auto Receivables Trust:
Series 2013-C Class A3, 1.01% 2/15/18	1,780	1,779
Series 2015-A Class A3, 1.05% 4/15/19	9,500	9,491
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	9,500	9,502
Mercedes-Benz Auto Receivables Trust Series 2013-1 Class A3, 0.78% 8/15/17	411	411
Nissan Auto Receivables Owner Trust:
Series 2013-B Class A3, 0.84% 11/15/17	1,286	1,286
Series 2014-B Class A3, 1.11% 5/15/19	9,475	9,473
Volkswagen Auto Lease Trust Series 2015-A Class A3, 1.25% 12/20/17	9,500	9,438
TOTAL ASSET-BACKED SECURITIES
(Cost $138,056)		139,279

Commercial Mortgage Securities - 2.6%
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-3 Class A4, 5.889% 7/10/44 (b)	5,480	5,485
Series 2006-6 Class A3, 5.369% 10/10/45	436	436
Series 2007-3 Class A4, 5.7423% 6/10/49 (b)	2,125	2,182
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	2,433	2,486
Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW16 Class A4, 5.9112% 6/11/40 (b)	13,057	13,404
Citigroup Commercial Mortgage Trust:
sequential payer:
Series 2006-C5 Class A4, 5.431% 10/15/49	9,186	9,277
Series 2015-P1 Class A5, 3.717% 9/15/48	5,865	6,149
Series 2007-C6 Class A4, 5.8982% 12/10/49 (b)	9,950	10,243
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	3,401	3,476
COMM Mortgage Trust Series 2015-CR22 Class A5, 3.309% 3/10/48	19,425	19,745
COMM Mortgage Trust pass-thru certificates sequential payer Series 2007-C9 Class A4, 5.9887% 12/10/49 (b)	2,564	2,663
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	4,754	4,775
Series 2007-C2 Class A3, 5.542% 1/15/49 (b)	2,536	2,586
Series 2007-C3 Class A4, 5.8888% 6/15/39 (b)	5,954	6,102
Series 2007-C5 Class A4, 5.695% 9/15/40 (b)	847	874
CSAIL Commercial Mortgage Trust sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48	12,565	13,136
Freddie Mac:
sequential payer:
Series K007 Class A2, 4.224% 3/25/20	19,000	20,845
Series K034 Class A2, 3.531% 7/25/23	9,000	9,832
Series K013 Class A2, 3.974% 1/25/21	11,575	12,785
Series K020 Class A2, 2.373% 5/25/22	10,400	10,628
Series K036 Class A2, 3.527% 10/25/23	8,975	9,800
Series K046 Class A2, 3.205% 3/25/25	33,300	35,251
Series K047 Class A2, 3.329% 5/25/25	3,860	4,135
Series K501 Class A2, 1.655% 11/25/16	15,130	15,156
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	19,501	19,808
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	3,108	3,174
Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b)	11,222	11,249
JPMBB Commercial Mortgage Securities Trust:
sequential payer Series 2014-C21 Class A5, 3.7748% 8/15/47	13,830	14,633
Series 2014-C23 Class A5, 3.9342% 9/15/47	9,550	10,198
Series 2014-C24 Class A5, 3.6385% 11/15/47	5,275	5,513
JPMBB Commercial Mortgage Secutities Trust sequential payer Series 2015-C29 Class A4, 3.6108% 5/15/48	9,000	9,350
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2012-LC9 Class A5, 2.84% 12/15/47	13,796	14,037
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-CB17 Class A4, 5.429% 12/12/43	22,050	22,333
Series 2006-LDP8 Class A4, 5.399% 5/15/45	444	446
Series 2006-LDP9 Class A3, 5.336% 5/15/47	489	496
Series 2007-CB19 Class A4, 5.8888% 2/12/49 (b)	27,714	28,493
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (b)	8,435	8,604
Series 2007-LDPX Class A3, 5.42% 1/15/49	10,580	10,788
Series 2006-LDP7 Class A4, 6.1056% 4/17/45 (b)	2,081	2,083
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9% 7/15/44 (b)	3,244	3,357
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	558	563
Series 2006-C7 Class A3, 5.347% 11/15/38	945	957
Series 2007-C1 Class A4, 5.424% 2/15/40	1,095	1,116
Series 2007-C2 Class A3, 5.43% 2/15/40	496	506
Series 2007-C6 Class A4, 5.858% 7/15/40 (b)	1,236	1,263
Series 2007-C7 Class A3, 5.866% 9/15/45	5,271	5,552
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.9178% 1/12/44 (a)(b)	333	333
Series 2007-C1 Class A4, 6.0317% 6/12/50 (b)	4,800	4,936
Series 2008-C1 Class A4, 5.69% 2/12/51	1,913	2,008
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2007-5 Class A4, 5.378% 8/12/48	5,993	6,105
Series 2007-6 Class A4, 5.485% 3/12/51 (b)	2,000	2,046
Series 2007-7 Class A4, 5.81% 6/12/50 (b)	4,013	4,150
Series 2007-6 Class B, 5.635% 3/12/51 (b)	1,268	356
Series 2007-8 Class A3, 6.0719% 8/12/49 (b)	1,093	1,134
Morgan Stanley BAML Trust Series 2015-C20 Class A4, 3.249% 2/15/48	14,725	14,923
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	5,113
Series 2007-IQ14 Class A4, 5.692% 4/15/49	1,902	1,947
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (a)	161	49
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	31,242	31,994
Series 2007-C31:
Class A4, 5.509% 4/15/47	15,483	15,780
Class A5, 5.5% 4/15/47	7,950	8,182
Series 2007-C32 Class A3, 5.8991% 6/15/49 (b)	8,092	8,267
Series 2007-C33:
Class A4, 6.1491% 2/15/51 (b)	23,808	24,590
Class A5, 6.1491% 2/15/51 (b)	839	882
Series 2006-C25 Class AM, 5.9501% 5/15/43 (b)	664	664
WF-RBS Commercial Mortgage Trust Series 2014-C25 Class A5, 3.631% 11/15/47	14,450	15,101
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $515,697)		544,599

Municipal Securities - 0.8%
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	9,720	14,808
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2010 S1, 7.043% 4/1/50	2,375	3,450
California Gen. Oblig. 7.55% 4/1/39	15,000	22,265
Chicago Gen. Oblig. 6.314% 1/1/44	1,900	1,719
Illinois Gen. Oblig.:
Series 2003, 5.1% 6/1/33	$8,900	$8,274
Series 2011:
4.961% 3/1/16	2,830	2,830
5.877% 3/1/19	9,700	10,485
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45	7,600	8,025
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49	9,450	13,756
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39	4,985	6,654
New Jersey Tpk. Auth. Tpk. Rev. Series A, 7.414% 1/1/40	4,700	6,922
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42	9,025	12,184
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37	10,725	13,337
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39	6,160	8,307
Port Auth. of New York & New Jersey:
Series 180, 4.96% 8/1/46	5,175	6,001
Series 2010 164, 5.647% 11/1/40	5,210	6,467
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40	6,320	8,056
South Carolina Pub. Svc. Auth. Rev. Series 2013 C, 5.784% 12/1/41	11,312	13,427
Univ. of California Revs.:
Series 2009 R, 5.77% 5/15/43	1,000	1,278
Series 2015 AP, 3.931% 5/15/45	3,740	3,784
TOTAL MUNICIPAL SECURITIES
(Cost $153,807)		172,029

Foreign Government and Government Agency Obligations - 2.2%
Canadian Government 1.125% 3/19/18	$6,640	$6,667
Chilean Republic 3.25% 9/14/21	9,000	9,540
Colombian Republic:
2.625% 3/15/23	7,575	6,753
4% 2/26/24	4,825	4,644
5% 6/15/45	2,000	1,675
5.625% 2/26/44	7,775	7,017
6.125% 1/18/41	4,750	4,524
7.375% 3/18/19	3,450	3,855
Export Development Canada:
1.25% 10/26/16	4,000	4,012
1.5% 10/3/18	1,700	1,720
Israeli State 4% 6/30/22	7,000	7,741
Italian Republic:
5.375% 6/12/17	2,375	2,487
6.875% 9/27/23	6,000	7,554
Jordanian Kingdom:
1.945% 6/23/19	23,650	24,300
3% 6/30/25	2,400	2,567
KfW:
0.5% 4/19/16	8,000	7,999
0.75% 3/17/17	8,000	7,994
1.5% 4/20/20	2,825	2,835
1.875% 4/1/19	16,930	17,245
2.125% 1/17/23	12,000	12,274
2.75% 10/1/20	4,175	4,413
4% 1/27/20	3,000	3,292
4.875% 6/17/19	25,000	27,860
Korean Republic 7.125% 4/16/19	6,650	7,731
Manitoba Province:
1.3% 4/3/17	3,420	3,431
2.1% 9/6/22	1,900	1,918
3.05% 5/14/24	1,500	1,590
New Brunswick Province 2.75% 6/15/18	4,350	4,501
Ontario Province:
1% 7/22/16	17,000	17,021
4% 10/7/19	15,000	16,259
Panamanian Republic:
3.75% 3/16/25	3,800	3,848
4% 9/22/24	4,800	4,968
4.3% 4/29/53	5,675	5,193
5.2% 1/30/20	1,800	1,973
Peruvian Republic:
4.125% 8/25/27	2,800	2,866
5.625% 11/18/50	7,150	7,651
6.55% 3/14/37	3,075	3,698
7.125% 3/30/19	1,900	2,174
Philippine Republic:
3.95% 1/20/40	5,100	5,469
4.2% 1/21/24	4,765	5,336
6.375% 10/23/34	10,375	14,300
6.5% 1/20/20	6,144	7,230
Polish Government:
4% 1/22/24	4,550	4,891
5% 3/23/22	14,500	16,314
Province of British Columbia 1.2% 4/25/17	7,600	7,626
Province of Quebec:
2.75% 8/25/21	20,000	20,863
2.875% 10/16/24	2,075	2,165
South African Republic:
5.875% 5/30/22	7,675	8,109
6.875% 5/27/19	6,750	7,322
Turkish Republic:
5.75% 3/22/24	3,000	3,185
6% 1/14/41	13,200	13,509
6.25% 9/26/22	13,225	14,428
6.75% 4/3/18	8,375	8,982
7.5% 11/7/19	2,625	2,949
United Mexican States:
3.5% 1/21/21	7,400	7,622
3.625% 3/15/22	3,000	3,066
4% 10/2/23	18,750	19,284
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	1,372
6.05% 1/11/40	4,800	5,340
Uruguay Republic:
4.125% 11/20/45	4,750	3,871
4.5% 8/14/24	3,625	3,797
5.1% 6/18/50	3,875	3,478
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $460,193)		466,169

Supranational Obligations - 1.4%
African Development Bank:
0.875% 5/15/17	1,000	1,000
0.875% 3/15/18	1,900	1,894
1.125% 3/15/17	1,300	1,303
1.625% 10/2/18	2,800	2,839
2.375% 9/23/21	2,900	3,016
Asian Development Bank:
1.125% 3/15/17	5,000	5,015
1.125% 6/5/18	7,290	7,303
1.5% 1/22/20	4,750	4,786
1.875% 4/12/19	12,000	12,243
1.875% 2/18/22	2,000	2,025
2.125% 11/24/21	4,825	4,968
Council of Europe Development Bank 1% 3/7/18	1,900	1,898
European Bank for Reconstruction and Development:
1% 6/15/18	4,750	4,739
1.75% 6/14/19	4,700	4,775
1.75% 11/26/19	2,875	2,922
2.5% 3/15/16	3,800	3,803
European Investment Bank:
0.875% 4/18/17	11,000	11,005
1.125% 8/15/18	6,590	6,577
1.25% 5/15/18	3,550	3,560
1.375% 6/15/20	2,725	2,710
1.625% 6/15/17	4,640	4,684
1.625% 12/18/18	30,900	31,298
1.75% 3/15/17	5,000	5,046
1.75% 6/17/19	8,625	8,743
1.875% 3/15/19	3,000	3,059
1.875% 2/10/25	3,000	2,966
2% 3/15/21	4,770	4,872
2.125% 10/15/21	2,840	2,898
2.25% 8/15/22	1,880	1,937
2.5% 4/15/21	4,650	4,856
2.5% 10/15/24	5,725	5,982
2.875% 9/15/20	9,000	9,543
3.25% 1/29/24	2,000	2,195
Inter-American Development Bank:
1.125% 3/15/17	17,100	17,137
1.75% 10/15/19	1,375	1,406
2.125% 1/15/25	1,830	1,863
3% 10/4/23	3,575	3,916
3.875% 9/17/19	5,000	5,469
4.375% 1/24/44	4,000	5,005
International Bank for Reconstruction & Development:
0.875% 4/17/17	8,050	8,065
1% 9/15/16	9,000	9,030
1% 6/15/18	5,600	5,593
1.625% 2/10/22	3,900	3,892
1.875% 10/7/19	3,825	3,929
2.25% 6/24/21	16,075	16,690
2.5% 11/25/24	5,700	5,999
2.5% 7/29/25	3,790	3,988
International Finance Corp.:
1.625% 7/16/20	2,870	2,910
1.75% 9/16/19	11,350	11,550
Nordic Investment Bank 1.125% 2/25/19	6,600	6,597
TOTAL SUPRANATIONAL OBLIGATIONS
(Cost $282,989)		289,499

Bank Notes - 0.1%
American Express Bank FSB 6% 9/13/17	615	655
Bank of America NA:
5.3% 3/15/17	$3,500	$3,619
6% 10/15/36	2,419	2,860
Branch Banking & Trust Co. 1.45% 10/3/16	2,000	2,006
JPMorgan Chase Bank 6% 10/1/17	7,075	7,505
KeyBank NA 2.5% 12/15/19	4,000	4,045
Regions Bank 7.5% 5/15/18	2,000	2,204
UBS AG Stamford Branch:
5.75% 4/25/18	830	897
5.875% 12/20/17	2,034	2,181
TOTAL BANK NOTES
(Cost $24,675)		25,972

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (Cost $1,176)(b)(f)	$1,725	$1,740
	Shares	Value (000s)

Money Market Funds - 1.5%
Fidelity Cash Central Fund, 0.40% (g)
(Cost $317,964)	317,964,399	317,964
	Maturity Amount (000s)	Value (000s)

Cash Equivalents - 0.1%
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (h)
(Cost $25,210)	25,210	25,210
TOTAL INVESTMENT PORTFOLIO - 102.6%
(Cost $21,240,149)		21,889,217
NET OTHER ASSETS (LIABILITIES) - (2.6)%		(549,866)
NET ASSETS - 100%		$21,339,351

Legend

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

(c) 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 $12,000.

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

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

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

(g) 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.

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

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	$208

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
(Amounts in thousands)
Investments in Securities:
Corporate Bonds	$5,363,349	$--	$5,363,349	$--
U.S. Government and Government Agency Obligations	8,494,752	--	8,494,752	--
U.S. Government Agency - Mortgage Securities	6,048,655	--	6,048,655	--
Asset-Backed Securities	139,279	--	139,279	--
Commercial Mortgage Securities	544,599	--	544,550	49
Municipal Securities	172,029	--	172,029	--
Foreign Government and Government Agency Obligations	466,169	--	466,169	--
Supranational Obligations	289,499	--	289,499	--
Bank Notes	25,972	--	25,972	--
Preferred Securities	1,740	--	1,740	--
Money Market Funds	317,964	317,964	--	--
Cash Equivalents	25,210	--	25,210	--
Total Investments in Securities:	$21,889,217	$317,964	$21,571,204	$49

Other Information

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$25,210,000 due 3/01/16 at 0.40%
Commerz Markets LLC	$25,210
	$25,210

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)		February 29, 2016 (Unaudited)
Assets
Investment in securities, at value (including repurchase agreements of $25,210) — See accompanying schedule: Unaffiliated issuers (cost $20,922,185)	$21,571,253
Fidelity Central Funds (cost $317,964)	317,964
Total Investments (cost $21,240,149)		$21,889,217
Receivable for investments sold		159,270
Receivable for fund shares sold		40,045
Interest receivable		108,424
Distributions receivable from Fidelity Central Funds		57
Receivable from investment adviser for expense reductions		793
Other receivables		113
Total assets		22,197,919
Liabilities
Payable for investments purchased
Regular delivery	$365,053
Delayed delivery	420,717
Payable for fund shares redeemed	44,228
Distributions payable	662
Accrued management fee	879
Other affiliated payables	1,703
Other payables and accrued expenses	116
Collateral on securities loaned, at value	25,210
Total liabilities		858,568
Net Assets		$21,339,351
Net Assets consist of:
Paid in capital		$20,705,712
Undistributed net investment income		33,203
Accumulated undistributed net realized gain (loss) on investments		(48,632)
Net unrealized appreciation (depreciation) on investments		649,068
Net Assets		$21,339,351
Investor Class:
Net Asset Value, offering price and redemption price per share ($6,907,368 ÷ 590,937 shares)		$11.69
Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($6,879,440 ÷ 588,593 shares)		$11.69
Institutional Class:
Net Asset Value, offering price and redemption price per share ($3,322,759 ÷ 284,285 shares)		$11.69
Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($1,484,038 ÷ 126,972 shares)		$11.69
Class F:
Net Asset Value, offering price and redemption price per share ($2,745,746 ÷ 234,926 shares)		$11.69

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

Amounts in thousands		Six months ended February 29, 2016 (Unaudited)
Investment Income
Dividends		$55
Interest		279,400
Income from Fidelity Central Funds		208
Total income		279,663
Expenses
Management fee	$5,155
Transfer agent fees	10,047
Independent trustees' compensation	43
Miscellaneous	15
Total expenses before reductions	15,260
Expense reductions	(4,220)	11,040
Net investment income (loss)		268,623
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(657)
Total net realized gain (loss)		(657)
Change in net unrealized appreciation (depreciation) on: Investment securities	210,956
Delayed delivery commitments	(112)
Total change in net unrealized appreciation (depreciation)		210,844
Net gain (loss)		210,187
Net increase (decrease) in net assets resulting from operations		$478,810

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 29, 2016 (Unaudited)	Year ended August 31, 2015
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$268,623	$506,019
Net realized gain (loss)	(657)	37,087
Change in net unrealized appreciation (depreciation)	210,844	(268,774)
Net increase (decrease) in net assets resulting from operations	478,810	274,332
Distributions to shareholders from net investment income	(259,448)	(486,929)
Distributions to shareholders from net realized gain	(34,097)	(13,325)
Total distributions	(293,545)	(500,254)
Share transactions - net increase (decrease)	615,400	2,160,467
Total increase (decrease) in net assets	800,665	1,934,545
Net Assets
Beginning of period	20,538,686	18,604,141
End of period (including undistributed net investment income of $33,203 and undistributed net investment income of $24,028, respectively)	$21,339,351	$20,538,686

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Investor Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.04	$11.74	$11.67
Income from Investment Operations
Net investment income (loss)^A	.144	.287	.286	.254	.312	.351
Net realized and unrealized gain (loss)	.114	(.123)	.338	(.604)	.358	.137
Total from investment operations	.258	.164	.624	(.350)	.670	.488
Distributions from net investment income	(.139)	(.276)	(.274)	(.246)	(.305)	(.342)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	(.076)
Total distributions	(.158)	(.284)	(.274)	(.330)	(.370)	(.418)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.04	$11.74
Total Return^B,^C	2.25%	1.40%	5.55%	(2.97)%	5.82%	4.32%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.22%^F	.22%	.22%	.22%	.22%	.28%
Expenses net of fee waivers, if any	.20%^F	.22%	.22%	.22%	.22%	.27%
Expenses net of all reductions	.20%^F	.22%	.22%	.22%	.22%	.27%
Net investment income (loss)	2.50%^F	2.45%	2.48%	2.16%	2.63%	3.06%
Supplemental Data
Net assets, end of period (in millions)	$6,907	$6,497	$6,520	$5,338	$5,981	$7,287
Portfolio turnover rate^G	58%^F	75%	85%	118%	100%	106%

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Fidelity Advantage Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.44
Income from Investment Operations
Net investment income (loss)^B	.152	.301	.299	.267	.321	.115
Net realized and unrealized gain (loss)	.114	(.123)	.339	(.593)	.349	.301
Total from investment operations	.266	.178	.638	(.326)	.670	.416
Distributions from net investment income	(.147)	(.290)	(.288)	(.260)	(.315)	(.116)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	–
Total distributions	(.166)	(.298)	(.288)	(.344)	(.380)	(.116)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^C,^D	2.31%	1.52%	5.68%	(2.78)%	5.82%	3.66%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.17%^G	.17%	.17%	.17%	.17%	.17%^G
Expenses net of fee waivers, if any	.07%^G	.10%	.10%	.10%	.12%	.17%^G
Expenses net of all reductions	.07%^G	.10%	.10%	.10%	.12%	.17%^G
Net investment income (loss)	2.63%^G	2.57%	2.60%	2.27%	2.73%	3.15%^G
Supplemental Data
Net assets, end of period (in millions)	$6,879	$6,692	$5,778	$5,108	$4,265	$1,533
Portfolio turnover rate^H	58%^G	75%	85%	118%	100%	106%

^A For the period May 4, 2011 (commencement of sale of shares) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Institutional Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.44
Income from Investment Operations
Net investment income (loss)^B	.152	.305	.303	.272	.329	.118
Net realized and unrealized gain (loss)	.114	(.123)	.338	(.594)	.349	.302
Total from investment operations	.266	.182	.641	(.322)	.678	.420
Distributions from net investment income	(.147)	(.294)	(.291)	(.264)	(.323)	(.120)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	–
Total distributions	(.166)	(.302)	(.291)	(.348)	(.388)	(.120)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^C,^D	2.32%	1.55%	5.71%	(2.75)%	5.89%	3.69%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.07%^G	.07%	.07%	.07%	.07%	.07%^G
Expenses net of fee waivers, if any	.06%^G	.07%	.07%	.07%	.07%	.07%^G
Expenses net of all reductions	.06%^G	.07%	.07%	.07%	.07%	.07%^G
Net investment income (loss)	2.64%^G	2.60%	2.63%	2.31%	2.78%	3.25%^G
Supplemental Data
Net assets, end of period (in millions)	$3,323	$3,102	$3,158	$2,766	$3,121	$1,926
Portfolio turnover rate^H	58%^G	75%	85%	118%	100%	106%

^A For the period May 4, 2011 (commencement of sale of shares) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Fidelity Advantage Institutional Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.44
Income from Investment Operations
Net investment income (loss)^B	.153	.307	.305	.274	.331	.118
Net realized and unrealized gain (loss)	.114	(.123)	.339	(.594)	.349	.303
Total from investment operations	.267	.184	.644	(.320)	.680	.421
Distributions from net investment income	(.148)	(.296)	(.294)	(.266)	(.325)	(.121)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	–
Total distributions	(.167)	(.304)	(.294)	(.350)	(.390)	(.121)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^C,^D	2.32%	1.57%	5.73%	(2.73)%	5.91%	3.70%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.05%^G	.05%	.05%	.05%	.05%	.05%^G
Expenses net of fee waivers, if any	.05%^G	.05%	.05%	.05%	.05%	.05%^G
Expenses net of all reductions	.05%^G	.05%	.05%	.05%	.05%	.05%^G
Net investment income (loss)	2.65%^G	2.62%	2.65%	2.33%	2.80%	3.27%^G
Supplemental Data
Net assets, end of period (in millions)	$1,484	$1,560	$947	$867	$869	$682
Portfolio turnover rate^H	58%^G	75%	85%	118%	100%	106%

^A For the period May 4, 2011 (commencement of sale of shares) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Class F

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.67
Income from Investment Operations
Net investment income (loss)^A	.153	.307	.305	.273	.331	.365
Net realized and unrealized gain (loss)	.114	(.123)	.339	(.593)	.349	.139
Total from investment operations	.267	.184	.644	(.320)	.680	.504
Distributions from net investment income	(.148)	(.296)	(.294)	(.266)	(.325)	(.358)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	(.076)
Total distributions	(.167)	(.304)	(.294)	(.350)	(.390)	(.434)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^B,^C	2.32%	1.57%	5.73%	(2.73)%	5.91%	4.47%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.05%^F	.05%	.05%	.05%	.05%	.12%
Expenses net of fee waivers, if any	.05%^F	.05%	.05%	.05%	.05%	.12%
Expenses net of all reductions	.05%^F	.05%	.05%	.05%	.05%	.12%
Net investment income (loss)	2.65%^F	2.62%	2.65%	2.33%	2.80%	3.20%
Supplemental Data
Net assets, end of period (in millions)	$2,746	$2,687	$2,202	$1,988	$1,361	$634
Portfolio turnover rate^G	58%^F	75%	85%	118%	100%	106%

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016
(Amounts in thousands except percentages)

1. Organization.

Spartan U.S. Bond Index Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Investor Class, Fidelity Advantage Class, Institutional Class, Fidelity Advantage Institutional Class and Class F shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. The Fund offers conversion privileges between share classes to eligible shareholders. Class F shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as investment manager.

2. Investments in Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing 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 (NAV) 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to prior period premium and discount on debt securities, market discount, deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation	$814,695
Gross unrealized depreciation	(146,241)
Net unrealized appreciation (depreciation) on securities	$668,454
Tax cost	$21,220,763

Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $571,584 and $410,631, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is based on an annual rate of .05% of the Fund's average net assets. The management fee is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees.

In addition, under an expense contract, the investment adviser pays class-level expenses as necessary so that the total expenses do not exceed certain amounts of each class' average net assets on an annual basis with certain exceptions, as noted in the following table:

Investor Class	.22%
Fidelity Advantage Class	.17%
Institutional Class	.07%
Fidelity Advantage Institutional Class	.05%

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class. FIIOC receives transfer agent fees at an annual rate of .17%, .12%, .035% and .015% of average net assets for Investor Class, Fidelity Advantage Class, Institutional Class and Fidelity Advantage Institutional Class, respectively. FIIOC receives no fees for providing transfer agency services to Class F. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, Institutional Class pays a portion of the transfer agent fees at an annual rate of .02% of average net assets and Fidelity Advantage Institutional Class does not pay transfer agent fees.

For the period, the total transfer agent fees paid by each applicable class were as follows:

	Amount
Investor Class	$5,743
Fidelity Advantage Class	3,987
Institutional Class	317
	$10,047

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $14 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Security Lending.

8. Expense Reductions.

The investment adviser contractually agreed to reimburse certain classes of the Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement. This reimbursement will remain in place through October 31, 2016.

	Expense Limitations	Reimbursement
Investor Class	.20%	$711
Fidelity Advantage Class	.07%	3,335
Institutional Class	.06%	164
Fidelity Advantage Institutional Class	.05%	2
Class F	.05%	3

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2016	Year ended August 31, 2015
From net investment income
Investor Class	$81,179	$154,154
Fidelity Advantage Class	84,100	155,722
Institutional Class	40,325	82,742
Fidelity Advantage Institutional Class	19,066	31,519
Class F	34,778	62,792
Total	$259,448	$486,929
From net realized gain
Investor Class	$11,052	$4,492
Fidelity Advantage Class	11,030	4,158
Institutional Class	5,143	2,426
Fidelity Advantage Institutional Class	2,514	668
Class F	4,358	1,581
Total	$34,097	$13,325

10. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2016	Year ended August 31, 2015	Six months ended February 29, 2016	Year ended August 31, 2015
Investor Class
Shares sold	75,412	621,208	$875,753	$7,202,773
Reinvestment of distributions	7,903	13,464	91,720	157,953
Shares redeemed	(53,145)	(630,565)	(616,723)	(7,314,458)
Net increase (decrease)	30,170	4,107	$350,750	$46,268
Fidelity Advantage Class
Shares sold	122,999	731,960	$1,427,313	$8,499,939
Reinvestment of distributions	7,881	13,152	91,470	154,273
Shares redeemed	(119,924)	(660,828)	(1,391,425)	(7,666,150)
Net increase (decrease)	10,956	84,284	$127,358	$988,062
Institutional Class
Shares sold	45,328	119,500	$525,473	$1,400,628
Reinvestment of distributions	3,917	7,260	45,467	85,167
Shares redeemed	(32,701)	(128,639)	(379,020)	(1,503,380)
Net increase (decrease)	16,544	(1,879)	$191,920	$(17,585)
Fidelity Advantage Institutional Class
Shares sold	18,791	77,901	$218,111	$911,540
Reinvestment of distributions	1,859	2,744	21,580	32,187
Shares redeemed	(28,327)	(26,815)	(328,866)	(314,218)
Net increase (decrease)	(7,677)	53,830	$(89,175)	$629,509
Class F
Shares sold	33,476	69,196	$388,655	$810,742
Reinvestment of distributions	3,373	5,489	39,136	64,373
Shares redeemed	(33,842)	(30,763)	(393,244)	(360,902)
Net increase (decrease)	3,007	43,922	$34,547	$514,213

11. Other.

Mutual funds managed by the investment adviser or its affiliates were the owners of record, in the aggregate, of approximately 38% of the total outstanding shares of the Fund.

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

	Annualized Expense Ratio-^A	Beginning Account Value September 1, 2015	Ending Account Value February 29, 2016	Expenses Paid During Period-^B September 1, 2015 to February 29, 2016
Investor Class	.20%
Actual		$1,000.00	$1,022.50	$1.01
Hypothetical-^C		$1,000.00	$1,023.87	$1.01
Fidelity Advantage Class	.07%
Actual		$1,000.00	$1,023.10	$.35
Hypothetical-^C		$1,000.00	$1,024.52	$.35
Institutional Class	.06%
Actual		$1,000.00	$1,023.20	$.30
Hypothetical-^C		$1,000.00	$1,024.57	$.30
Fidelity Advantage Institutional Class	.05%
Actual		$1,000.00	$1,023.20	$.25
Hypothetical-^C		$1,000.00	$1,024.61	$.25
Class F	.05%
Actual		$1,000.00	$1,023.20	$.25
Hypothetical-^C		$1,000.00	$1,024.61	$.25

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

^B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

^C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Spartan U.S. Bond Index Fund

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers the fund's tracking error versus its benchmark index. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

The Independent Trustees recognize that shareholders evaluate performance on a net basis (after fees and expenses) over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and its benchmark index for the most recent one-, three-, and five-year periods.

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

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board. Because the vast majority of competitor funds' management fees do not cover non-management expenses, for a more meaningful comparison of management fees, the fund is compared on the basis of a hypothetical "net management fee," which is derived by subtracting payments made by FMR for "fund-level" non-management expenses (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. In this regard, the Board considered that net management fees can vary from year to year because of differences in "fund-level" non-management expenses. The Board noted that, although FMR does not pay transfer agent fees or other "class-level" expenses under the fund's management contract, such expenses may be paid by FMR pursuant to expense limitation arrangements in effect for the fund and, as a result, are also subtracted from the management fee for purposes of calculating the hypothetical "net management fee."

Spartan U.S. Bond Index Fund

The Board noted that the fund's hypothetical net management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

Furthermore, the Board considered that it had approved an amended and restated management contract for the fund (effective February 1, 2011) that lowered the fund's management fee from 0.22% to 0.05%. The Board considered that the chart reflects the fund's lower management fee for 2011 as if the lower fee were in effect for the entire year.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's hypothetical net management fee rate as well as the fund's gross management fee. The Board also considered other "fund-level" expenses, such as pricing and bookkeeping fees and custodial, legal, and audit fees. The Board also considered other "class-level" expenses, such as transfer agent fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board considered the total expense ratio of the fund, after the effect of the contractual expense cap arrangements discussed below. The Board noted that the total expense ratio of each of Fidelity Advantage Class, Fidelity Advantage Institutional Class, Institutional Class, and Class F ranked below its competitive median for 2014 and the total expense ratio of Investor Class ranked above its competitive median for 2014. The Board considered that, in general, various factors can affect total expense ratios. The Board considered that lower priced share classes, including Fidelity Advantage Class, represent a large part of the mapped group for the Investor Class.

The Board considered that current contractual arrangements for the fund oblige FMR to pay all "class-level" expenses of the following classes of the fund to the extent necessary to limit total expenses, with certain exceptions, as follows: Fidelity Advantage Class: 0.17%; Fidelity Advantage Institutional Class: 0.05%; Institutional Class: 0.07%; and Investor Class: 0.22%. These contractual arrangements may not be increased without the approval of the Board. The Board further considered that FMR contractually agreed to reimburse Fidelity Advantage Class, Fidelity Advantage Institutional Class, Institutional Class, Investor Class, and Class F of the fund to the extent that total expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of their respective average net assets, exceed 0.07%, 0.05%, 0.06%, 0.20%, and 0.05% through October 31, 2016.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that, although Investor Class was above the median of the universe presented for comparison, the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Fidelity Investments

UII-UDV-SANN-0416
1.925933.104

Spartan® U.S. Bond Index Fund
Class F

Semi-Annual Report

February 29, 2016

Contents

Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Shareholder Expense Example
Board Approval of Investment Advisory Contracts and Management Fees

You may also call 1-800-835-5092 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of February 29, 2016
	U.S. Government and U.S. Government Agency Obligations	68.9%
	AAA	5.5%
	AA	4.0%
	A	10.5%
	BBB	11.3%
	BB and Below	0.5%
	Not Rated	0.3%
	Short-Term Investments and Net Other Assets^*	(1.0)%

* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

As of August 31, 2015
	U.S. Government and U.S. Government Agency Obligations	68.7%
	AAA	5.1%
	AA	3.9%
	A	11.5%
	BBB	11.3%
	BB and Below	0.4%
	Not Rated	0.2%
	Short-Term Investments and Net Other Assets^*	(1.1)%

* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

Weighted Average Maturity as of February 29, 2016

		6 months ago
Years	7.3	7.3

Duration as of February 29, 2016

		6 months ago
Years	5.3	5.3

Asset Allocation (% of fund's net assets)

As of February 29, 2016^*
	Corporate Bonds	25.1%
	U.S. Government and U.S. Government Agency Obligations	68.9%
	Asset-Backed Securities	0.7%
	CMOs and Other Mortgage Related Securities	1.8%
	Municipal Bonds	0.8%
	Other Investments	3.7%
	Short-Term Investments and Net Other Assets (Liabilities)^**	(1.0)%

* Foreign investments - 8.4%

** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

As of August 31, 2015^*
	Corporate Bonds	25.1%
	U.S. Government and U.S. Government Agency Obligations	68.7%
	Asset-Backed Securities	0.7%
	CMOs and Other Mortgage Related Securities	2.0%
	Municipal Bonds	0.7%
	Other Investments	3.9%
	Short-Term Investments and Net Other Assets (Liabilities)^**	(1.1)%

* Foreign investments - 8.6%

** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 25.1%
	Principal Amount (000s)	Value (000s)
CONSUMER DISCRETIONARY - 2.1%
Automobiles - 0.3%
American Honda Finance Corp.:
2.125% 10/10/18	$6,550	$6,618
2.15% 3/13/20	8,550	8,628
2.25% 8/15/19	7,650	7,763
Ford Motor Co. 4.75% 1/15/43	7,650	7,025
General Motors Co.:
5.2% 4/1/45	4,270	3,690
6.6% 4/1/36	5,840	6,003
General Motors Financial Co., Inc.:
3.15% 1/15/20	6,630	6,479
4% 1/15/25	6,170	5,717
4.3% 7/13/25	7,600	7,202
		59,125
Diversified Consumer Services - 0.1%
George Washington University 4.3% 9/15/44	2,000	2,059
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19	1,623	1,645
Massachusetts Institute of Technology 3.959% 7/1/38	4,725	5,067
Northwestern University 4.643% 12/1/44	3,350	3,956
President and Fellows of Harvard College 3.619% 10/1/37	1,000	1,019
Rice University 3.774% 5/15/55	1,900	1,950
Trustees of Princeton Univ. 5.7% 3/1/39	1,000	1,342
University Notre Dame du Lac 3.438% 2/15/45	3,330	3,273
University of Southern California 5.25% 10/1/2111	2,000	2,415
		22,726
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
2.75% 12/9/20	2,300	2,367
3.7% 1/30/26	6,900	7,202
4.875% 12/9/45	2,600	2,732
5.35% 3/1/18	2,317	2,485
6.3% 3/1/38	7,045	8,457
Metropolitan Museum of Art 3.4% 7/1/45	3,000	2,856
Starbucks Corp. 3.85% 10/1/23	1,875	2,056
		28,155
Media - 1.1%
21st Century Fox America, Inc.:
3.7% 10/15/25	7,000	7,043
5.4% 10/1/43	3,875	3,885
5.65% 8/15/20	1,000	1,126
6.15% 3/1/37	3,955	4,199
6.9% 3/1/19	2,110	2,395
6.9% 8/15/39	2,000	2,251
7.75% 12/1/45	3,160	3,983
AOL Time Warner, Inc. 7.625% 4/15/31	3,250	3,946
CBS Corp. 4% 1/15/26	6,000	6,067
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.908% 7/23/25 (a)	7,980	8,168
6.484% 10/23/45 (a)	4,690	4,926
Comcast Corp.:
3.125% 7/15/22	3,000	3,124
3.375% 8/15/25	13,700	14,389
4.65% 7/15/42	4,000	4,242
4.75% 3/1/44	5,400	5,676
4.95% 6/15/16	1,862	1,884
5.7% 5/15/18	2,940	3,208
5.7% 7/1/19	8,500	9,549
6.4% 3/1/40	1,000	1,282
6.55% 7/1/39	3,000	3,877
6.95% 8/15/37	6,700	8,926
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
5.875% 10/1/19	2,905	3,250
6.35% 3/15/40	1,000	1,069
6.375% 3/1/41	2,100	2,264
Discovery Communications LLC:
3.25% 4/1/23	2,338	2,147
4.875% 4/1/43	4,900	3,924
5.05% 6/1/20	3,200	3,350
NBCUniversal, Inc. 6.4% 4/30/40	3,000	3,778
Thomson Reuters Corp.:
1.3% 2/23/17	2,350	2,342
1.65% 9/29/17	8,000	7,966
4.7% 10/15/19	4,000	4,309
Time Warner Cable, Inc.:
4.5% 9/15/42	11,000	8,989
5.85% 5/1/17	5,801	6,024
6.75% 7/1/18	1,162	1,266
7.3% 7/1/38	4,000	4,221
8.75% 2/14/19	2,368	2,741
Time Warner, Inc.:
2.1% 6/1/19	3,000	2,974
3.55% 6/1/24	3,000	2,953
3.6% 7/15/25	6,340	6,242
4% 1/15/22	1,000	1,035
4.65% 6/1/44	3,000	2,632
4.85% 7/15/45	3,000	2,798
6.5% 11/15/36	5,724	6,165
Viacom, Inc.:
4.25% 9/1/23	7,775	7,598
4.375% 3/15/43	2,635	1,797
5.625% 9/15/19	1,000	1,073
6.125% 10/5/17	5,420	5,690
Walt Disney Co.:
1.125% 2/15/17	2,760	2,769
1.85% 5/30/19	1,500	1,528
2.3% 2/12/21	4,740	4,858
2.55% 2/15/22	2,810	2,886
3.15% 9/17/25	9,470	10,030
4.125% 6/1/44	5,700	5,880
5.5% 3/15/19	2,000	2,240
		232,934
Multiline Retail - 0.2%
Kohl's Corp. 4.75% 12/15/23	7,800	7,822
Macy's Retail Holdings, Inc.:
2.875% 2/15/23	4,750	4,291
4.3% 2/15/43	4,750	3,397
Target Corp.:
3.875% 7/15/20	3,000	3,277
4% 7/1/42	7,000	7,128
5.875% 7/15/16	2,100	2,140
7% 1/15/38	1,038	1,453
		29,508
Specialty Retail - 0.3%
Advance Auto Parts, Inc. 4.5% 12/1/23	3,750	3,873
AutoZone, Inc.:
3.125% 7/15/23	3,825	3,813
3.25% 4/15/25	4,000	3,951
3.7% 4/15/22	5,500	5,695
Home Depot, Inc.:
2.25% 9/10/18	5,000	5,140
3.75% 2/15/24	6,725	7,350
4.2% 4/1/43	1,575	1,633
4.875% 2/15/44	2,875	3,229
5.4% 3/1/16	6,400	6,400
5.875% 12/16/36	4,700	5,866
Lowe's Companies, Inc.:
1.625% 4/15/17	10,300	10,393
4.625% 4/15/20	2,000	2,181
4.65% 4/15/42	6,500	7,019
5.8% 4/15/40	2,000	2,442
O'Reilly Automotive, Inc. 3.85% 6/15/23	2,825	2,916
		71,901

TOTAL CONSUMER DISCRETIONARY		444,349

CONSUMER STAPLES - 2.1%
Beverages - 0.7%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	4,073	5,007
Anheuser-Busch InBev Finance, Inc.:
1.25% 1/17/18	4,725	4,712
2.625% 1/17/23	2,825	2,792
2.65% 2/1/21	19,340	19,684
3.3% 2/1/23	10,250	10,537
3.65% 2/1/26	16,200	16,709
4.625% 2/1/44	5,750	5,972
4.9% 2/1/46	13,000	13,935
Anheuser-Busch InBev Worldwide, Inc.:
5.375% 1/15/20	1,500	1,670
8.2% 1/15/39	2,800	4,136
Diageo Capital PLC:
1.5% 5/11/17	1,700	1,704
5.75% 10/23/17	5,185	5,541
Dr. Pepper Snapple Group, Inc. 2% 1/15/20	2,850	2,833
PepsiCo, Inc.:
2.15% 10/14/20	12,000	12,147
3.6% 8/13/42	3,000	2,823
4.25% 10/22/44	6,000	6,206
4.45% 4/14/46	800	858
4.875% 11/1/40	2,300	2,562
7.9% 11/1/18	6,000	6,981
The Coca-Cola Co.:
2.875% 10/27/25	9,580	9,808
3.15% 11/15/20	3,700	3,941
		140,558
Food & Staples Retailing - 0.5%
CVS Health Corp.:
2.25% 8/12/19	3,750	3,794
2.8% 7/20/20	8,400	8,602
3.875% 7/20/25	4,660	4,985
5.125% 7/20/45	2,810	3,153
5.3% 12/5/43	4,391	4,981
5.75% 5/15/41	6,000	7,049
Kroger Co. 5.15% 8/1/43	2,725	3,004
Sysco Corp. 3.75% 10/1/25	5,700	5,906
Wal-Mart Stores, Inc.:
1.125% 4/11/18	7,900	7,913
2.8% 4/15/16	6,700	6,718
3.3% 4/22/24	19,000	20,204
5.625% 4/1/40	2,000	2,428
5.625% 4/15/41	4,600	5,642
6.5% 8/15/37	8,275	10,921
Walgreen Co. 3.1% 9/15/22	2,850	2,805
		98,105
Food Products - 0.4%
Campbell Soup Co. 2.5% 8/2/22	4,750	4,643
ConAgra Foods, Inc.:
1.9% 1/25/18	5,675	5,670
3.2% 1/25/23	8,805	8,737
General Mills, Inc.:
2.2% 10/21/19	7,000	7,071
5.65% 2/15/19	13,501	14,945
H.J. Heinz Co. 5% 7/15/35 (a)	3,500	3,649
Kellogg Co.:
3.125% 5/17/22	1,875	1,909
3.25% 5/21/18	2,800	2,889
4.45% 5/30/16	2,000	2,017
Kraft Foods Group, Inc.:
3.5% 6/6/22	11,650	12,023
5% 6/4/42	2,825	2,930
The J.M. Smucker Co. 2.5% 3/15/20	5,700	5,748
Tyson Foods, Inc. 3.95% 8/15/24	7,575	7,988
Unilever Capital Corp.:
2.2% 3/6/19	7,475	7,649
3.1% 7/30/25	2,900	3,060
		90,928
Household Products - 0.2%
Kimberly-Clark Corp.:
1.9% 5/22/19	8,325	8,412
2.4% 3/1/22	5,200	5,266
2.4% 6/1/23	8,000	8,026
Procter & Gamble Co.:
1.9% 11/1/19	4,000	4,094
2.3% 2/6/22	4,700	4,778
3.1% 8/15/23	10,000	10,608
		41,184
Personal Products - 0.0%
Colgate-Palmolive Co. 3.25% 3/15/24	10,000	10,742
Tobacco - 0.3%
Altria Group, Inc.:
2.85% 8/9/22	7,000	7,034
4.25% 8/9/42	9,780	9,329
Philip Morris International, Inc.:
3.875% 8/21/42	4,825	4,585
4.5% 3/26/20	2,000	2,205
4.875% 11/15/43	6,000	6,725
5.65% 5/16/18	6,789	7,409
6.375% 5/16/38	1,450	1,881
Reynolds American, Inc.:
4.45% 6/12/25	7,060	7,668
4.85% 9/15/23	1,800	2,012
5.85% 8/15/45	4,240	4,977
6.75% 6/15/17	2,899	3,112
7.25% 6/15/37	7,220	9,050
		65,987

TOTAL CONSUMER STAPLES		447,504

ENERGY - 2.7%
Energy Equipment & Services - 0.3%
Baker Hughes, Inc. 5.125% 9/15/40	2,000	1,756
Cameron International Corp. 3.7% 6/15/24	7,575	7,319
El Paso Pipeline Partners Operating Co. LLC 4.7% 11/1/42	3,800	2,772
Halliburton Co.:
2.7% 11/15/20	7,540	7,432
3.8% 11/15/25	10,380	9,826
5% 11/15/45	7,540	6,682
6.15% 9/15/19	2,000	2,179
7.45% 9/15/39	1,500	1,729
Nabors Industries, Inc. 2.35% 9/15/16	7,475	7,400
Noble Holding International Ltd.:
2.5% 3/15/17	4,650	4,448
3.05% 3/1/16	1,020	1,020
4.625% 3/1/21	1,340	724
5.25% 3/15/42	3,100	1,236
Weatherford International Ltd. 7% 3/15/38	5,580	3,446
		57,969
Oil, Gas & Consumable Fuels - 2.4%
Anadarko Petroleum Corp.:
3.45% 7/15/24	5,000	4,053
6.2% 3/15/40	2,000	1,592
6.45% 9/15/36	2,675	2,221
Apache Corp. 5.1% 9/1/40	3,000	2,200
Boardwalk Pipelines LP 4.95% 12/15/24	4,750	4,067
BP Capital Markets PLC:
2.241% 9/26/18	4,775	4,752
2.315% 2/13/20	1,800	1,763
2.5% 11/6/22	3,000	2,798
2.521% 1/15/20	6,000	5,891
3.062% 3/17/22	3,750	3,670
3.245% 5/6/22	7,750	7,643
4.5% 10/1/20	2,000	2,114
4.75% 3/10/19	1,000	1,053
Canadian Natural Resources Ltd.:
3.9% 2/1/25	1,875	1,455
5.7% 5/15/17	1,148	1,150
6.25% 3/15/38	6,850	5,047
Cenovus Energy, Inc.:
3% 8/15/22	1,700	1,242
3.8% 9/15/23	1,750	1,279
6.75% 11/15/39	2,000	1,460
Chevron Corp.:
1.104% 12/5/17	5,700	5,655
1.718% 6/24/18	7,525	7,513
1.961% 3/3/20	8,625	8,508
2.193% 11/15/19	11,400	11,456
Columbia Pipeline Group, Inc.:
3.3% 6/1/20 (a)	3,043	2,849
4.5% 6/1/25 (a)	3,325	3,023
ConocoPhillips Co.:
2.2% 5/15/20	5,830	5,390
3.35% 5/15/25	6,810	6,029
5.75% 2/1/19	2,902	3,030
6.5% 2/1/39	7,529	7,519
DCP Midstream Operating LP:
2.5% 12/1/17	5,700	5,203
3.875% 3/15/23	3,775	2,720
Devon Energy Corp.:
2.25% 12/15/18	5,750	5,011
3.25% 5/15/22	4,000	3,080
5.6% 7/15/41	2,875	1,962
Ecopetrol SA 5.375% 6/26/26	4,740	3,845
El Paso Natural Gas Co. 5.95% 4/15/17	926	937
Enbridge Energy Partners LP:
4.2% 9/15/21	8,700	7,698
5.875% 12/15/16	1,000	1,016
6.5% 4/15/18	1,000	1,010
Enbridge, Inc. 3.5% 6/10/24	2,825	2,447
Encana Corp.:
3.9% 11/15/21	4,900	3,479
6.5% 2/1/38	5,000	3,062
Energy Transfer Partners LP:
3.6% 2/1/23	8,550	7,094
4.15% 10/1/20	4,500	3,920
5.15% 3/15/45	2,000	1,455
Enterprise Products Operating LP:
3.7% 2/15/26	1,770	1,659
4.05% 2/15/22	9,325	9,315
4.85% 8/15/42	2,500	2,129
4.85% 3/15/44	5,000	4,291
5.7% 2/15/42	2,000	1,899
6.65% 4/15/18	2,000	2,125
7.55% 4/15/38	2,000	2,226
EOG Resources, Inc. 5.625% 6/1/19	1,000	1,055
Exxon Mobil Corp.:
3.1% 3/1/26	8,330	8,330
3.567% 3/6/45	6,650	6,185
Hess Corp.:
3.5% 7/15/24	3,800	2,991
5.6% 2/15/41	3,400	2,465
8.125% 2/15/19	6,000	6,236
Kinder Morgan Energy Partners LP:
2.65% 2/1/19	3,425	3,203
3.5% 9/1/23	2,000	1,682
3.95% 9/1/22	7,000	6,329
5% 3/1/43	1,000	766
5.625% 9/1/41	1,000	778
6.55% 9/15/40	3,000	2,547
Kinder Morgan, Inc. 5.3% 12/1/34	8,550	6,701
Magellan Midstream Partners LP 6.55% 7/15/19	4,592	5,016
Marathon Oil Corp. 3.85% 6/1/25	7,000	4,819
Marathon Petroleum Corp.:
3.5% 3/1/16	1,000	1,000
5.125% 3/1/21	1,000	1,001
6.5% 3/1/41	1,000	785
Nexen, Inc. 5.875% 3/10/35	3,710	4,025
Occidental Petroleum Corp.:
1.75% 2/15/17	2,000	1,994
2.7% 2/15/23	6,000	5,623
3.125% 2/15/22	2,000	1,992
ONEOK Partners LP:
3.2% 9/15/18	3,000	2,723
3.375% 10/1/22	5,000	3,951
Petro-Canada:
6.05% 5/15/18	3,650	3,734
6.8% 5/15/38	8,445	7,815
Petrobras Global Finance BV:
3% 1/15/19	2,850	2,259
7.25% 3/17/44	3,000	1,955
Petrobras International Finance Co. Ltd.:
6.75% 1/27/41	1,675	1,047
7.875% 3/15/19	6,000	5,415
Petroleos Mexicanos:
3.125% 1/23/19	1,425	1,386
3.5% 7/18/18	5,925	5,881
3.5% 7/23/20 (a)	11,525	10,862
3.5% 1/30/23	6,725	5,820
4.875% 1/24/22	18,010	17,281
5.5% 6/27/44	8,600	6,607
6.375% 1/23/45	3,000	2,602
Phillips 66 Co.:
4.875% 11/15/44	1,000	900
5.875% 5/1/42	9,500	9,093
Plains All American Pipeline LP/PAA Finance Corp.:
3.6% 11/1/24	7,200	5,536
4.9% 2/15/45	1,900	1,277
5.75% 1/15/20	1,000	964
6.125% 1/15/17	1,795	1,795
6.65% 1/15/37	2,795	2,238
Shell International Finance BV:
1.125% 8/21/17	1,375	1,366
2.125% 5/11/20	8,300	8,083
2.375% 8/21/22	3,000	2,898
3.25% 5/11/25	4,160	4,053
4.375% 5/11/45	7,120	6,605
6.375% 12/15/38	4,200	4,857
Southwestern Energy Co. 4.05% 1/23/20	5,000	3,225
Spectra Energy Capital, LLC 5.65% 3/1/20	2,000	1,997
Spectra Energy Partners, LP:
2.95% 9/25/18	2,877	2,832
4.75% 3/15/24	4,825	4,802
Statoil ASA:
1.2% 1/17/18	5,575	5,517
1.95% 11/8/18	7,300	7,234
2.25% 11/8/19	8,000	7,942
3.7% 3/1/24	3,650	3,657
5.1% 8/17/40	2,000	1,999
Suncor Energy, Inc.:
6.1% 6/1/18	11,244	11,537
6.85% 6/1/39	2,000	1,856
Talisman Energy, Inc.:
5.5% 5/15/42	4,100	2,674
5.85% 2/1/37	2,000	1,346
The Williams Companies, Inc.:
4.55% 6/24/24	5,675	4,256
5.75% 6/24/44	1,900	1,245
Total Capital Canada Ltd. 1.45% 1/15/18	2,625	2,597
Total Capital International SA:
1.55% 6/28/17	5,000	4,999
2.1% 6/19/19	4,275	4,224
2.7% 1/25/23	1,900	1,822
2.75% 6/19/21	6,000	6,000
2.875% 2/17/22	4,175	4,113
3.75% 4/10/24	2,000	2,035
TransCanada PipeLines Ltd.:
2.5% 8/1/22	5,000	4,633
6.1% 6/1/40	6,700	6,828
Transcontinental Gas Pipe Line Co. LLC 4.45% 8/1/42	7,750	5,674
Valero Energy Corp. 6.625% 6/15/37	5,420	5,394
Western Gas Partners LP:
2.6% 8/15/18	4,375	3,823
4% 7/1/22	3,000	2,374
Williams Partners LP:
3.35% 8/15/22	2,800	2,073
3.9% 1/15/25	3,525	2,626
XTO Energy, Inc. 5.65% 4/1/16	1,189	1,194
		521,059

TOTAL ENERGY		579,028

FINANCIALS - 8.7%
Banks - 4.1%
Australia & New Zealand Banking Group Ltd.:
1.875% 10/6/17	4,750	4,779
3.7% 11/16/25	6,640	7,030
Bank of America Corp.:
2% 1/11/18	3,550	3,538
2.6% 1/15/19	3,775	3,793
2.65% 4/1/19	17,925	18,016
4% 4/1/24	9,000	9,300
4% 1/22/25	6,000	5,836
4.1% 7/24/23	7,000	7,289
4.2% 8/26/24	8,500	8,510
4.25% 10/22/26	4,000	3,962
4.45% 3/3/26	13,000	13,000
5% 5/13/21	4,000	4,369
5.7% 1/24/22	6,250	7,055
5.75% 12/1/17	5,855	6,209
5.875% 1/5/21	6,640	7,493
6.5% 8/1/16	15,000	15,326
Bank of Montreal:
1.4% 9/11/17	2,875	2,883
2.375% 1/25/19	3,700	3,747
Bank of Nova Scotia 4.375% 1/13/21	1,000	1,087
Banque Centrale de Tunisie 2.452% 7/24/21	8,500	8,820
Barclays PLC:
2.75% 11/8/19	10,000	9,820
3.25% 1/12/21	7,500	7,231
4.375% 1/12/26	5,000	4,825
5.25% 8/17/45	5,600	5,353
BB&T Corp.:
1.6% 8/15/17	5,700	5,705
2.05% 6/19/18	1,900	1,914
BNP Paribas SA:
2.375% 5/21/20	11,600	11,460
2.7% 8/20/18	4,900	4,972
BPCE SA:
2.25% 1/27/20	4,000	3,949
2.5% 7/15/19	12,100	12,178
4% 4/15/24	2,000	2,095
Branch Banking & Trust Co. 3.8% 10/30/26	3,000	3,143
Capital One Bank NA 3.375% 2/15/23	2,424	2,358
Capital One NA 2.4% 9/5/19	7,000	6,908
Citigroup, Inc.:
2.5% 9/26/18	750	755
2.5% 7/29/19	7,400	7,418
2.55% 4/8/19	3,700	3,711
3.375% 3/1/23	6,000	6,046
3.7% 1/12/26	11,130	11,359
3.953% 6/15/16	1,450	1,461
4.4% 6/10/25	4,000	3,988
5.3% 5/6/44	2,000	2,004
5.5% 9/13/25	5,000	5,357
5.875% 1/30/42	1,675	1,902
6.125% 8/25/36	3,650	3,952
8.125% 7/15/39	8,000	11,410
Comerica, Inc. 3.8% 7/22/26	3,650	3,539
Commonwealth Bank of Australia:
1.9% 9/18/17	4,750	4,782
2.3% 3/12/20	7,550	7,558
Corporacion Andina de Fomento:
1.5% 8/8/17	2,825	2,825
4.375% 6/15/22	14,100	15,384
Credit Suisse AG 6% 2/15/18	15,651	16,570
Credit Suisse Group Funding Guernsey Ltd.:
3.8% 9/15/22	12,530	12,280
4.875% 5/15/45	5,000	4,560
Credit Suisse New York Branch:
3% 10/29/21	3,000	3,003
3.625% 9/9/24	3,425	3,439
Discover Bank:
2% 2/21/18	7,375	7,286
4.2% 8/8/23	7,000	7,112
Export-Import Bank of Korea:
2.875% 1/21/25	7,600	7,711
4% 1/11/17	11,380	11,631
5% 4/11/22	6,170	7,076
Fifth Third Bancorp:
3.5% 3/15/22	1,650	1,704
4.5% 6/1/18	824	867
8.25% 3/1/38	2,079	2,928
HSBC Holdings PLC:
4.25% 8/18/25	5,600	5,427
4.875% 1/14/22	10,100	11,034
5.1% 4/5/21	2,800	3,082
6.5% 9/15/37	10,500	11,690
HSBC U.S.A., Inc.:
2.25% 6/23/19	6,625	6,590
2.625% 9/24/18	7,500	7,543
3.5% 6/23/24	7,000	7,075
Huntington Bancshares, Inc. 2.6% 8/2/18	4,675	4,713
Inter-American Development Bank:
1.75% 4/14/22	1,875	1,895
1.875% 6/16/20	5,270	5,366
1.875% 3/15/21	3,900	3,964
International Bank for Reconstruction & Development 1% 10/5/18	9,630	9,644
Japan Bank International Cooperation:
1.75% 5/29/19	15,100	15,142
2.125% 2/10/25	2,000	1,970
2.75% 1/21/26	3,170	3,266
JPMorgan Chase & Co.:
1.8% 1/25/18	16,250	16,217
2% 8/15/17	7,000	7,032
2.25% 1/23/20	8,875	8,855
2.35% 1/28/19	23,000	23,228
3.15% 7/5/16	1,500	1,512
3.25% 9/23/22	4,000	4,065
3.375% 5/1/23	1,900	1,875
3.875% 9/10/24	7,725	7,762
4.125% 12/15/26	5,875	5,960
4.35% 8/15/21	2,000	2,169
4.5% 1/24/22	13,000	14,087
4.625% 5/10/21	1,500	1,639
4.95% 6/1/45	2,550	2,579
5.5% 10/15/40	5,700	6,615
5.6% 7/15/41	1,500	1,759
6.3% 4/23/19	10,000	11,223
KeyCorp. 2.9% 9/15/20	5,800	5,808
Lloyds Bank PLC 3.5% 5/14/25	8,600	8,719
Mitsubishi UFJ Financial Group, Inc. 3.85% 3/1/26	6,580	6,654
MUFG Union Bank NA 2.625% 9/26/18	2,750	2,785
Nordic Investment Bank 0.5% 4/14/16	8,450	8,450
Oesterreichische Kontrollbank 2.375% 10/1/21	4,725	4,909
PNC Bank NA:
2.4% 10/18/19	4,750	4,816
2.6% 7/21/20	6,680	6,790
PNC Financial Services Group, Inc. 3.9% 4/29/24	5,650	5,837
PNC Funding Corp.:
2.7% 9/19/16	11,300	11,392
6.7% 6/10/19	2,500	2,867
Rabobank (Netherlands) NV:
3.95% 11/9/22	5,300	5,277
4.5% 1/11/21	1,000	1,094
5.25% 5/24/41	3,000	3,460
Rabobank Nederland 4.375% 8/4/25	6,000	6,034
Rabobank Nederland New York Branch 3.375% 5/21/25	3,750	3,780
Regions Financial Corp.:
2% 5/15/18	3,650	3,618
3.2% 2/8/21	14,100	14,032
Royal Bank of Canada:
2.15% 3/6/20	6,575	6,591
2.3% 7/20/16	5,500	5,532
4.65% 1/27/26	9,390	9,471
Societe Generale SA 2.625% 10/1/18	3,750	3,827
Sumitomo Mitsui Banking Corp.:
2.25% 7/11/19	5,725	5,729
2.45% 1/16/20	5,000	5,002
2.5% 7/19/18	4,351	4,413
3.4% 7/11/24	5,725	5,880
SunTrust Banks, Inc.:
2.35% 11/1/18	3,000	3,007
2.5% 5/1/19	2,000	2,010
Svenska Handelsbanken AB 2.5% 1/25/19	11,750	11,941
The Toronto-Dominion Bank:
2.375% 10/19/16	1,200	1,211
2.5% 7/14/16	1,200	1,208
2.5% 12/14/20	14,020	14,184
U.S. Bancorp 4.125% 5/24/21	3,000	3,271
Wachovia Corp. 5.75% 6/15/17	2,905	3,060
Wells Fargo & Co.:
2.1% 5/8/17	2,725	2,754
2.6% 7/22/20	7,640	7,727
3.3% 9/9/24	4,625	4,710
3.45% 2/13/23	3,675	3,725
3.55% 9/29/25	4,240	4,401
3.9% 5/1/45	4,760	4,623
4.1% 6/3/26	3,225	3,327
4.48% 1/16/24	3,816	4,056
4.9% 11/17/45	2,770	2,809
5.375% 11/2/43	1,850	2,002
5.606% 1/15/44	11,380	12,530
5.625% 12/11/17	5,972	6,384
Westpac Banking Corp.:
2% 8/14/17	5,000	5,039
2.3% 5/26/20	3,000	3,015
4.875% 11/19/19	3,700	4,034
Zions Bancorp. 4.5% 6/13/23	207	211
		882,555
Capital Markets - 1.2%
Affiliated Managers Group, Inc. 3.5% 8/1/25	4,750	4,670
BlackRock, Inc.:
3.5% 3/18/24	2,900	3,038
4.25% 5/24/21	6,500	7,126
Deutsche Bank AG 4.5% 4/1/25	3,000	2,543
Deutsche Bank AG London Branch 2.95% 8/20/20	9,800	9,493
Eaton Vance Corp. 3.625% 6/15/23	2,825	2,932
Franklin Resources, Inc.:
1.375% 9/15/17	1,900	1,899
2.85% 3/30/25	3,800	3,696
Goldman Sachs Group, Inc.:
2.375% 1/22/18	9,950	10,010
2.55% 10/23/19	11,000	11,020
2.625% 1/31/19	12,850	12,948
2.9% 7/19/18	2,800	2,839
3.5% 1/23/25	5,000	4,951
3.625% 1/22/23	9,000	9,156
3.85% 7/8/24	3,800	3,885
5.25% 7/27/21	4,500	4,992
5.625% 1/15/17	7,000	7,231
5.75% 1/24/22	4,300	4,886
5.95% 1/18/18	3,000	3,199
6% 6/15/20	1,650	1,852
6.15% 4/1/18	7,451	8,031
6.75% 10/1/37	14,860	16,988
Lazard Group LLC:
4.25% 11/14/20	2,650	2,719
6.85% 6/15/17	828	871
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	3,140	3,331
6.875% 4/25/18	6,991	7,636
7.75% 5/14/38	4,175	5,373
Morgan Stanley:
2.125% 4/25/18	8,000	7,998
2.375% 7/23/19	7,550	7,534
2.5% 1/24/19	6,000	6,031
2.65% 1/27/20	11,000	10,984
3.7% 10/23/24	6,000	6,079
3.75% 2/25/23	6,775	6,931
3.875% 4/29/24	9,000	9,249
3.95% 4/23/27	5,210	5,033
4.3% 1/27/45	2,000	1,907
5.45% 1/9/17	236	244
5.5% 7/28/21	3,400	3,814
5.625% 9/23/19	2,000	2,195
5.75% 1/25/21	5,000	5,620
5.95% 12/28/17	5,745	6,135
6.375% 7/24/42	2,900	3,601
6.625% 4/1/18	5,055	5,503
7.25% 4/1/32	1,000	1,311
7.3% 5/13/19	3,000	3,431
State Street Corp. 2.875% 3/7/16	3,340	3,341
The Bank of New York Mellon Corp.:
2.3% 7/28/16	1,000	1,006
2.6% 8/17/20	9,400	9,530
5.45% 5/15/19	2,000	2,199
		266,991
Consumer Finance - 1.0%
American Express Co.:
4.05% 12/3/42	6,975	6,720
7% 3/19/18	5,750	6,316
American Express Credit Corp. 2.375% 3/24/17	3,825	3,869
Capital One Financial Corp. 4.75% 7/15/21	4,000	4,307
Caterpillar Financial Services Corp.:
1.3% 3/1/18	3,650	3,637
2% 3/5/20	3,900	3,892
2.1% 6/9/19	1,600	1,613
2.25% 12/1/19	6,600	6,663
2.85% 6/1/22	4,000	4,050
Discover Financial Services:
5.2% 4/27/22	1,000	1,052
6.45% 6/12/17	2,263	2,373
Ford Motor Credit Co. LLC:
2.375% 3/12/19	2,425	2,385
2.875% 10/1/18	1,575	1,576
3% 6/12/17	3,000	3,025
3.219% 1/9/22	3,500	3,404
4.134% 8/4/25	7,000	6,976
4.25% 2/3/17	7,600	7,751
4.25% 9/20/22	1,800	1,834
4.375% 8/6/23	4,000	4,106
4.389% 1/8/26	3,290	3,357
5.875% 8/2/21	11,375	12,549
General Electric Capital Corp.:
2.95% 5/9/16	11,691	11,739
4.65% 10/17/21	2,005	2,270
5.875% 1/14/38	4,474	5,628
6.875% 1/10/39	1,146	1,608
John Deere Capital Corp.:
1.2% 10/10/17	1,550	1,547
1.3% 3/12/18	3,675	3,662
1.95% 12/13/18	4,825	4,879
1.95% 3/4/19	9,600	9,721
2.05% 3/10/20	7,675	7,679
2.25% 4/17/19	10,250	10,392
2.8% 1/27/23	5,000	5,052
Synchrony Financial:
2.7% 2/3/20	8,000	7,841
3% 8/15/19	5,675	5,684
Toyota Motor Credit Corp.:
2.05% 1/12/17	9,000	9,085
2.1% 1/17/19	6,000	6,087
2.125% 7/18/19	10,400	10,566
2.15% 3/12/20	6,750	6,837
2.75% 5/17/21	2,600	2,660
		204,392
Diversified Financial Services - 0.8%
Berkshire Hathaway Finance Corp. 5.75% 1/15/40	5,000	5,925
Berkshire Hathaway, Inc.:
1.55% 2/9/18	4,575	4,608
4.5% 2/11/43	2,000	2,016
Export Development Canada 1% 6/15/18	5,290	5,285
FMS Wertmanagement AoeR 1.125% 9/5/17	2,800	2,807
GE Capital International Funding Co.:
0.964% 4/15/16 (a)	26,000	26,005
2.342% 11/15/20 (a)	5,694	5,752
4.418% 11/15/35 (a)	20,239	21,089
Goldman Sachs Group, Inc. 4.75% 10/21/45	5,830	5,900
ING U.S., Inc. 5.7% 7/15/43	3,750	4,168
IntercontinentalExchange, Inc.:
2.5% 10/15/18	4,675	4,735
3.75% 12/1/25	5,750	5,921
4% 10/15/23	3,750	3,928
International Finance Corp. 2.25% 4/11/16	5,700	5,711
KfW:
1% 1/26/18	11,500	11,500
1.125% 8/6/18	5,700	5,703
1.5% 2/6/19	4,200	4,237
1.75% 10/15/19	15,575	15,808
1.875% 6/30/20	5,670	5,772
2% 5/2/25	3,825	3,832
2.5% 11/20/24	10,425	10,873
Ontario Province 2% 1/30/19	5,000	5,079
Svensk Exportkredit AB 1.75% 5/30/17	4,750	4,800
		171,454
Insurance - 0.8%
ACE INA Holdings, Inc.:
3.35% 5/3/26	4,220	4,321
4.35% 11/3/45	4,000	4,196
5.9% 6/15/19	3,000	3,364
American International Group, Inc.:
3.375% 8/15/20	5,775	5,862
3.75% 7/10/25	2,850	2,797
3.875% 1/15/35	2,700	2,283
4.5% 7/16/44	8,875	7,866
4.875% 6/1/22	9,000	9,603
5.85% 1/16/18	2,000	2,133
6.4% 12/15/20	2,900	3,310
Aon Corp. 3.125% 5/27/16	8,000	8,038
Aon PLC:
3.5% 6/14/24	2,000	2,020
4% 11/27/23	3,000	3,110
4.6% 6/14/44	1,600	1,513
4.75% 5/15/45	5,880	5,794
Hartford Financial Services Group, Inc. 5.125% 4/15/22	4,750	5,261
Marsh & McLennan Companies, Inc.:
2.3% 4/1/17	5,000	5,041
2.35% 9/10/19	3,850	3,878
2.35% 3/6/20	4,750	4,757
2.55% 10/15/18	5,800	5,933
3.5% 6/3/24	1,900	1,902
4.05% 10/15/23	6,775	7,089
MetLife, Inc.:
4.721% 12/15/44 (b)	5,000	4,995
5.875% 2/6/41	2,400	2,735
7.717% 2/15/19	9,000	10,427
Pricoa Global Funding I 8.875% 6/15/38 (b)	2,944	3,219
Prudential Financial, Inc.:
2.3% 8/15/18	4,900	4,913
5.1% 8/15/43	4,000	4,002
5.4% 6/13/35	447	470
5.5% 3/15/16	421	422
5.625% 5/12/41	2,000	2,101
5.7% 12/14/36	380	408
6.2% 11/15/40	2,400	2,703
7.375% 6/15/19	3,000	3,459
The Chubb Corp.:
5.75% 5/15/18	4,175	4,546
6.5% 5/15/38	3,510	4,613
The Travelers Companies, Inc.:
4.3% 8/25/45	1,460	1,520
6.25% 6/15/37	8,350	10,735
		161,339
Real Estate Investment Trusts - 0.5%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	3,788	3,769
3.9% 6/15/23	5,650	5,705
American Tower Corp. 3.4% 2/15/19	7,475	7,597
Boston Properties, Inc.:
3.125% 9/1/23	1,900	1,883
4.125% 5/15/21	2,100	2,221
DDR Corp.:
3.375% 5/15/23	2,825	2,742
4.625% 7/15/22	1,900	1,974
Duke Realty LP:
3.625% 4/15/23	2,750	2,745
3.75% 12/1/24	5,750	5,726
5.95% 2/15/17	630	654
6.5% 1/15/18	1,000	1,078
ERP Operating LP:
2.375% 7/1/19	5,750	5,777
3% 4/15/23	1,875	1,891
4.625% 12/15/21	5,700	6,300
Federal Realty Investment Trust 3% 8/1/22	4,750	4,827
HCP, Inc. 3.875% 8/15/24	7,575	7,115
Health Care REIT, Inc.:
2.25% 3/15/18	2,470	2,464
3.75% 3/15/23	8,660	8,584
HRPT Properties Trust:
6.25% 6/15/17	1,221	1,257
6.65% 1/15/18	612	644
Kimco Realty Corp. 6.875% 10/1/19	1,000	1,152
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	4,750	4,700
4.5% 4/1/27	9,500	8,974
Simon Property Group LP:
2.8% 1/30/17	4,700	4,747
4.125% 12/1/21	3,200	3,459
5.65% 2/1/20	4,300	4,814
Weingarten Realty Investors 3.5% 4/15/23	3,800	3,753
		106,552
Real Estate Management & Development - 0.3%
Brandywine Operating Partnership LP 3.95% 2/15/23	3,800	3,775
CBRE Group, Inc. 4.875% 3/1/26	5,700	5,748
Liberty Property LP:
3.375% 6/15/23	2,775	2,707
3.75% 4/1/25	4,750	4,736
4.4% 2/15/24	7,425	7,715
4.75% 10/1/20	1,000	1,078
5.5% 12/15/16	1,000	1,029
Mack-Cali Realty LP:
2.5% 12/15/17	3,825	3,789
3.15% 5/15/23	4,700	4,071
4.5% 4/18/22	4,210	4,099
Regency Centers LP 5.875% 6/15/17	781	821
Tanger Properties LP:
3.75% 12/1/24	6,500	6,614
6.125% 6/1/20	4,408	5,012
Ventas Realty LP:
3.5% 2/1/25	4,000	3,876
4.125% 1/15/26	1,450	1,470
4.375% 2/1/45	3,000	2,700
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	4,750	4,726
		63,966

TOTAL FINANCIALS		1,857,249

HEALTH CARE - 2.4%
Biotechnology - 0.5%
AbbVie, Inc.:
1.75% 11/6/17	5,700	5,697
2.5% 5/14/20	7,100	7,095
2.9% 11/6/22	5,700	5,658
3.6% 5/14/25	9,000	9,175
4.4% 11/6/42	4,775	4,576
4.7% 5/14/45	8,980	8,976
Amgen, Inc.:
2.2% 5/22/19	11,425	11,572
2.5% 11/15/16	2,000	2,019
3.125% 5/1/25	2,000	1,977
3.875% 11/15/21	9,600	10,259
5.15% 11/15/41	11,150	11,507
5.85% 6/1/17	2,928	3,085
Celgene Corp.:
3.875% 8/15/25	9,500	9,794
5% 8/15/45	3,300	3,378
Gilead Sciences, Inc.:
2.55% 9/1/20	4,740	4,818
3.65% 3/1/26	6,180	6,471
4.75% 3/1/46	4,750	5,010
		111,067
Health Care Equipment & Supplies - 0.2%
Baxter International, Inc.:
1.85% 6/15/18	8,000	7,992
4.5% 8/15/19	3,000	3,223
Becton, Dickinson & Co.:
2.675% 12/15/19	5,854	5,977
4.685% 12/15/44	10,180	10,509
Medtronic, Inc.:
2.5% 3/15/20	15,100	15,469
4.625% 3/15/45	10,425	11,109
		54,279
Health Care Providers & Services - 0.6%
Aetna, Inc.:
1.5% 11/15/17	1,958	1,954
4.125% 6/1/21	7,000	7,451
4.125% 11/15/42	4,411	4,099
Catholic Health Initiatives:
1.6% 11/1/17	2,750	2,748
4.35% 11/1/42	2,000	1,960
Childrens Hosp Medical Ctr 4.268% 5/15/44	3,320	3,428
Cigna Corp. 4% 2/15/22	4,600	4,855
Coventry Health Care, Inc. 5.95% 3/15/17	1,731	1,810
Express Scripts Holding Co.:
2.25% 6/15/19	3,800	3,775
6.125% 11/15/41	3,000	3,149
Express Scripts, Inc. 7.25% 6/15/19	2,000	2,291
Kaiser Foundation Hospitals 4.875% 4/1/42	1,800	2,007
McKesson Corp.:
1.4% 3/15/18	4,725	4,690
3.796% 3/15/24	5,000	5,141
4.883% 3/15/44	5,000	4,987
Memorial Sloan-Kettring Cancer Center 4.2% 7/1/55	3,000	3,030
New York & Presbyterian Hospital 4.024% 8/1/45	3,500	3,468
NYU Hospitals Center 4.784% 7/1/44	7,600	8,102
Partners Healthcare System, Inc. 4.117% 7/1/55	3,500	3,408
UnitedHealth Group, Inc.:
1.625% 3/15/19	4,878	4,881
2.3% 12/15/19	8,625	8,754
2.7% 7/15/20	6,000	6,165
2.875% 12/15/21	2,575	2,644
3.75% 7/15/25	3,500	3,724
4.375% 3/15/42	11,800	12,004
4.75% 7/15/45	1,670	1,827
WellPoint, Inc.:
1.875% 1/15/18	2,000	1,996
3.3% 1/15/23	2,000	1,969
4.625% 5/15/42	2,600	2,462
4.65% 1/15/43	2,000	1,873
5.8% 8/15/40	4,000	4,423
		125,075
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
2.4% 2/1/19	2,850	2,859
4.15% 2/1/24	4,379	4,572
5.3% 2/1/44	5,820	6,269
		13,700
Pharmaceuticals - 1.0%
Actavis Funding SCS:
3% 3/12/20	22,800	23,192
3.45% 3/15/22	18,025	18,418
4.55% 3/15/35	6,650	6,684
AstraZeneca PLC:
5.9% 9/15/17	4,505	4,807
6.45% 9/15/37	3,250	4,140
Bristol-Myers Squibb Co. 3.25% 8/1/42	2,800	2,541
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	8,585	9,377
6.375% 5/15/38	7,218	9,273
Johnson & Johnson:
1.65% 3/1/21	3,770	3,776
2.45% 3/1/26	5,590	5,598
4.5% 12/5/43	6,625	7,639
4.85% 5/15/41	4,260	5,068
Merck & Co., Inc.:
1.3% 5/18/18	7,000	7,028
1.85% 2/10/20	9,000	9,099
2.4% 9/15/22	2,000	2,009
3.6% 9/15/42	2,000	1,888
3.7% 2/10/45	3,400	3,246
3.875% 1/15/21	1,000	1,083
5% 6/30/19	5,970	6,646
Mylan, Inc. 1.35% 11/29/16	5,295	5,258
Novartis Capital Corp.:
2.4% 9/21/22	3,750	3,800
3% 11/20/25	10,470	10,797
3.7% 9/21/42	2,825	2,738
4% 11/20/45	5,240	5,381
Perrigo Co. PLC:
2.3% 11/8/18	4,609	4,535
4% 11/15/23	5,000	4,972
Perrigo Finance PLC 4.9% 12/15/44	3,089	2,969
Pfizer, Inc.:
6.2% 3/15/19	4,000	4,519
7.2% 3/15/39	5,400	7,523
Sanofi SA 1.25% 4/10/18	7,550	7,560
Watson Pharmaceuticals, Inc.:
1.875% 10/1/17	3,125	3,128
3.25% 10/1/22	3,000	3,013
Zoetis, Inc.:
1.875% 2/1/18	1,000	989
3.25% 2/1/23	5,000	4,807
4.7% 2/1/43	1,300	1,139
		204,640

TOTAL HEALTH CARE		508,761

INDUSTRIALS - 1.5%
Aerospace & Defense - 0.4%
Boeing Capital Corp. 2.125% 8/15/16	4,500	4,522
General Dynamics Corp. 2.25% 7/15/16	2,400	2,413
Honeywell International, Inc. 5.375% 3/1/41	1,400	1,689
Lockheed Martin Corp.:
2.125% 9/15/16	3,000	3,016
3.55% 1/15/26	7,600	7,992
4.7% 5/15/46	3,700	3,980
4.85% 9/15/41	2,700	2,889
Northrop Grumman Corp.:
1.75% 6/1/18	6,900	6,888
3.85% 4/15/45	1,875	1,804
4.75% 6/1/43	4,000	4,304
Precision Castparts Corp. 3.25% 6/15/25	5,700	5,836
Raytheon Co.:
3.125% 10/15/20	2,000	2,108
3.15% 12/15/24	8,900	9,280
4.875% 10/15/40	1,000	1,161
The Boeing Co.:
2.5% 3/1/25	4,600	4,539
6% 3/15/19	1,000	1,129
6.875% 3/15/39	3,300	4,633
United Technologies Corp.:
3.1% 6/1/22	2,875	2,986
4.5% 4/15/20	4,000	4,371
4.5% 6/1/42	7,380	7,615
5.7% 4/15/40	2,000	2,385
6.125% 2/1/19	4,000	4,483
		90,023
Air Freight & Logistics - 0.1%
FedEx Corp.:
2.3% 2/1/20	11,350	11,441
3.2% 2/1/25	3,820	3,780
United Parcel Service, Inc. 6.2% 1/15/38	2,500	3,325
		18,546
Airlines - 0.0%
American Airlines pass-thru trust equipment trust certificate 4.95% 7/15/24	3,151	3,324
Continental Airlines, Inc.:
4% 4/29/26	4,216	4,337
6.648% 3/15/19	750	762
6.9% 7/2/19	140	143
		8,566
Commercial Services & Supplies - 0.1%
Republic Services, Inc.:
3.2% 3/15/25	11,275	11,258
5.5% 9/15/19	4,000	4,405
Waste Management, Inc. 2.9% 9/15/22	6,675	6,679
		22,342
Electrical Equipment - 0.1%
Eaton Corp.:
1.5% 11/2/17	4,775	4,754
2.75% 11/2/22	5,725	5,622
4% 11/2/32	1,900	1,865
4.15% 11/2/42	1,900	1,815
General Electric Capital Corp. 6.15% 8/7/37	544	706
		14,762
Industrial Conglomerates - 0.3%
3M Co. 2% 6/26/22	4,000	3,971
Covidien International Finance SA:
2.95% 6/15/23	3,000	3,017
3.2% 6/15/22	2,150	2,228
6% 10/15/17	2,902	3,106
6.55% 10/15/37	4,250	5,475
Danaher Corp.:
2.4% 9/15/20	7,361	7,516
3.9% 6/23/21	2,900	3,147
4.375% 9/15/45	2,370	2,547
General Electric Co.:
3.375% 3/11/24	5,500	5,892
4.5% 3/11/44	8,500	9,128
5.25% 12/6/17	18,540	19,857
Roper Technologies, Inc. 2.05% 10/1/18	5,675	5,647
		71,531
Machinery - 0.1%
Caterpillar, Inc.:
2.6% 6/26/22	6,000	6,031
5.3% 9/15/35	7,000	7,667
Deere & Co. 5.375% 10/16/29	1,000	1,184
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	5,093	5,061
4.65% 11/1/44	6,000	5,899
		25,842
Road & Rail - 0.4%
Burlington Northern Santa Fe Corp. 4.7% 10/1/19	5,000	5,462
Burlington Northern Santa Fe LLC:
3% 3/15/23	2,800	2,854
3.05% 3/15/22	10,000	10,295
4.15% 4/1/45	1,700	1,658
4.375% 9/1/42	4,500	4,513
4.55% 9/1/44	3,000	3,094
4.9% 4/1/44	4,000	4,305
Canadian National Railway Co. 2.85% 12/15/21	5,000	5,127
CSX Corp.:
3.4% 8/1/24	4,625	4,694
3.95% 5/1/50	2,000	1,714
4.1% 3/15/44	6,775	6,249
7.375% 2/1/19	10,000	11,504
Norfolk Southern Corp.:
3% 4/1/22	7,500	7,499
3.25% 12/1/21	5,000	5,031
3.95% 10/1/42	1,900	1,698
Union Pacific Corp. 4.75% 9/15/41	2,800	3,026
		78,723
Trading Companies & Distributors - 0.0%
Air Lease Corp. 3.75% 2/1/22	3,820	3,549

TOTAL INDUSTRIALS		333,884

INFORMATION TECHNOLOGY - 1.5%
Communications Equipment - 0.1%
Cisco Systems, Inc.:
3.5% 6/15/25	4,270	4,499
4.45% 1/15/20	2,000	2,198
4.95% 2/15/19	3,479	3,830
5.9% 2/15/39	12,416	15,369
		25,896
Electronic Equipment & Components - 0.1%
Corning, Inc. 4.75% 3/15/42	5,000	4,771
Tyco Electronics Group SA:
2.35% 8/1/19	5,000	5,018
2.375% 12/17/18	3,000	3,013
3.45% 8/1/24	3,650	3,679
6.55% 10/1/17	2,338	2,510
7.125% 10/1/37	2,475	3,200
		22,191
Internet Software & Services - 0.1%
Apple, Inc. 2.25% 2/23/21	15,000	15,225
Google, Inc. 3.625% 5/19/21	3,780	4,106
		19,331
IT Services - 0.3%
IBM Corp.:
1.25% 2/6/17	11,250	11,296
1.95% 7/22/16	1,500	1,507
3.625% 2/12/24	10,000	10,507
7.625% 10/15/18	13,000	14,979
Visa, Inc.:
2.2% 12/14/20	5,700	5,805
3.15% 12/14/25	9,010	9,361
4.3% 12/14/45	6,640	7,120
Xerox Corp.:
2.75% 3/15/19	5,000	4,757
4.5% 5/15/21	4,000	3,846
5.625% 12/15/19	1,000	1,022
		70,200
Semiconductors & Semiconductor Equipment - 0.1%
Intel Corp.:
3.3% 10/1/21	15,000	15,887
4.9% 7/29/45	3,000	3,255
Texas Instruments, Inc. 1.75% 5/1/20	3,800	3,798
		22,940
Software - 0.5%
Microsoft Corp.:
2.7% 2/12/25	17,175	17,504
3.625% 12/15/23	26,150	28,517
4.2% 6/1/19	2,000	2,183
4.45% 11/3/45	7,570	8,117
5.3% 2/8/41	1,500	1,745
Oracle Corp.:
2.25% 10/8/19	4,725	4,841
2.5% 5/15/22	9,600	9,654
3.4% 7/8/24	4,725	4,945
4.3% 7/8/34	3,875	3,970
5.375% 7/15/40	12,500	14,320
5.75% 4/15/18	7,400	8,082
		103,878
Technology Hardware, Storage & Peripherals - 0.3%
Apple, Inc.:
2.1% 5/6/19	6,475	6,609
2.7% 5/13/22	6,650	6,755
3.2% 5/13/25	10,490	10,842
3.85% 5/4/43	13,000	12,159
Hewlett Packard Enterprise Co.:
3.6% 10/15/20 (a)	7,130	7,111
4.9% 10/15/25 (a)	9,750	9,250
HP, Inc.:
4.3% 6/1/21	2,780	2,806
6% 9/15/41	1,500	1,238
		56,770

TOTAL INFORMATION TECHNOLOGY		321,206

MATERIALS - 1.0%
Chemicals - 0.5%
Air Products & Chemicals, Inc. 4.375% 8/21/19	1,000	1,079
Albemarle Corp. U.S. 3% 12/1/19	2,850	2,791
E.I. du Pont de Nemours & Co.:
3.625% 1/15/21	5,000	5,261
4.15% 2/15/43	4,000	3,523
4.625% 1/15/20	3,000	3,265
Ecolab, Inc.:
1.45% 12/8/17	6,650	6,617
2.25% 1/12/20	3,775	3,786
5.5% 12/8/41	3,000	3,362
Lubrizol Corp. 8.875% 2/1/19	919	1,097
LYB International Finance BV:
4% 7/15/23	5,625	5,690
4.875% 3/15/44	5,850	5,333
LyondellBasell Industries NV 5% 4/15/19	3,000	3,165
Monsanto Co.:
2.125% 7/15/19	7,458	7,501
2.75% 7/15/21	6,357	6,367
2.85% 4/15/25	3,825	3,598
Potash Corp. of Saskatchewan, Inc.:
3.25% 12/1/17	3,800	3,875
4.875% 3/30/20	1,500	1,636
5.625% 12/1/40	1,800	1,873
Praxair, Inc.:
2.2% 8/15/22	2,000	1,966
2.45% 2/15/22	4,650	4,636
3.2% 1/30/26	3,840	4,016
3.55% 11/7/42	2,000	1,844
The Dow Chemical Co.:
3% 11/15/22	4,900	4,846
4.125% 11/15/21	7,700	8,135
4.375% 11/15/42	4,875	4,402
8.55% 5/15/19	2,358	2,772
9.4% 5/15/39	3,000	4,325
The Mosaic Co. 5.625% 11/15/43	3,750	3,491
		110,252
Containers & Packaging - 0.1%
Bemis Co., Inc. 6.8% 8/1/19	3,000	3,398
International Paper Co.:
3.65% 6/15/24	4,725	4,610
3.8% 1/15/26	2,880	2,794
4.75% 2/15/22	11,500	12,185
		22,987
Metals & Mining - 0.4%
Barrick Gold Corp. 5.25% 4/1/42	4,500	3,514
BHP Billiton Financial (U.S.A.) Ltd.:
2.05% 9/30/18	8,075	7,943
2.875% 2/24/22	9,300	8,965
5% 9/30/43	3,000	2,924
6.5% 4/1/19	2,500	2,745
Freeport-McMoRan, Inc. 3.55% 3/1/22	5,125	3,408
Newmont Mining Corp.:
5.125% 10/1/19	1,000	1,066
6.25% 10/1/39	1,600	1,423
Nucor Corp.:
4% 8/1/23	3,000	3,019
5.2% 8/1/43	4,000	3,725
Rio Tinto Finance (U.S.A.) Ltd.:
3.75% 9/20/21	3,200	3,181
3.75% 6/15/25	5,810	5,550
6.5% 7/15/18	1,398	1,500
7.125% 7/15/28	2,000	2,276
Rio Tinto Finance (U.S.A.) PLC:
2.25% 12/14/18	3,000	2,922
2.875% 8/21/22	6,000	5,551
Southern Copper Corp.:
3.875% 4/23/25	3,670	3,270
5.25% 11/8/42	5,775	4,316
Vale Overseas Ltd.:
4.375% 1/11/22	11,400	8,778
5.625% 9/15/19	6,210	5,587
6.25% 1/23/17	9,395	9,471
		91,134

TOTAL MATERIALS		224,373

TELECOMMUNICATION SERVICES - 1.2%
Diversified Telecommunication Services - 0.9%
AT&T, Inc.:
2.4% 8/15/16	12,800	12,876
2.45% 6/30/20	5,360	5,339
3.4% 5/15/25	9,270	9,091
4.35% 6/15/45	24,760	21,092
5.55% 8/15/41	7,300	7,172
5.8% 2/15/19	4,000	4,410
6.3% 1/15/38	838	907
BellSouth Capital Funding Corp. 7.875% 2/15/30	131	155
British Telecommunications PLC 9.625% 12/15/30 (b)	4,515	6,466
Deutsche Telekom International Financial BV 6.75% 8/20/18	3,595	4,008
Orange SA 5.375% 7/8/19	4,000	4,417
Telefonica Emisiones S.A.U.:
5.462% 2/16/21	2,700	2,960
5.877% 7/15/19	2,000	2,193
6.421% 6/20/16	1,151	1,167
7.045% 6/20/36	2,600	3,088
Verizon Communications, Inc.:
2% 11/1/16	9,600	9,654
4.272% 1/15/36	24,278	22,276
4.4% 11/1/34	3,775	3,547
4.5% 9/15/20	23,600	25,666
4.75% 11/1/41	1,000	955
5.012% 8/21/54	12,557	11,679
6.25% 4/1/37	3,121	3,496
6.35% 4/1/19	6,000	6,778
6.55% 9/15/43	12,516	15,177
6.9% 4/15/38	6,025	7,133
Verizon Global Funding Corp. 5.85% 9/15/35	3,190	3,477
		195,179
Wireless Telecommunication Services - 0.3%
America Movil S.A.B. de CV:
3.125% 7/16/22	5,275	5,284
6.125% 11/15/37	8,365	9,203
Rogers Communications, Inc.:
4.1% 10/1/23	4,825	5,114
5.45% 10/1/43	5,775	6,217
Vodafone Group PLC:
1.25% 9/26/17	4,000	3,984
1.5% 2/19/18	7,700	7,627
2.5% 9/26/22	3,000	2,853
2.95% 2/19/23	6,900	6,598
5.45% 6/10/19	6,000	6,576
		53,456

TOTAL TELECOMMUNICATION SERVICES		248,635

UTILITIES - 1.9%
Electric Utilities - 1.3%
Alabama Power Co.:
3.75% 3/1/45	1,000	961
4.15% 8/15/44	4,650	4,737
5.2% 6/1/41	3,850	4,453
AmerenUE:
3.9% 9/15/42	3,700	3,741
6.4% 6/15/17	2,959	3,138
American Electric Power Co., Inc.:
1.65% 12/15/17	4,000	3,973
2.95% 12/15/22	4,000	3,987
Appalachian Power Co. 4.45% 6/1/45	6,000	5,952
Baltimore Gas & Electric Co. 3.35% 7/1/23	2,850	2,962
Carolina Power & Light Co. 2.8% 5/15/22	4,350	4,453
CenterPoint Energy Houston Electric LLC 3.55% 8/1/42	1,900	1,745
Cleveland Electric Illuminating Co. 8.875% 11/15/18	2,000	2,347
Commonwealth Edison Co.:
3.1% 11/1/24	10,000	10,197
3.4% 9/1/21	1,000	1,054
3.7% 3/1/45	3,100	2,948
5.8% 3/15/18	9,945	10,770
Dayton Power & Light Co. 1.875% 9/15/16	3,750	3,755
Detroit Edison Co. 2.65% 6/15/22	8,000	8,158
Duke Energy Carolinas LLC:
3.75% 6/1/45	2,000	1,959
4% 9/30/42	3,750	3,798
5.25% 1/15/18	4,355	4,662
Duke Energy Corp.:
2.1% 6/15/18	4,650	4,660
3.75% 4/15/24	6,000	6,196
3.95% 10/15/23	2,443	2,537
Duke Energy Progress, Inc.:
4.15% 12/1/44	1,800	1,838
4.375% 3/30/44	2,000	2,109
Edison International 3.75% 9/15/17	3,000	3,090
Entergy Corp. 4% 7/15/22	6,640	6,973
Exelon Corp. 3.95% 6/15/25 (a)	7,830	7,927
Florida Power & Light Co.:
3.25% 6/1/24	4,725	4,961
4.05% 10/1/44	5,419	5,666
Hydro-Quebec:
1.375% 6/19/17	1,000	1,005
2% 6/30/16	7,310	7,343
Indiana Michigan Power Co. 3.2% 3/15/23	2,775	2,799
Nevada Power Co. 6.5% 8/1/18	1,555	1,721
Northern States Power Co.:
3.4% 8/15/42	2,000	1,865
4.125% 5/15/44	4,500	4,703
5.25% 3/1/18	10,500	11,274
Pacific Gas & Electric Co.:
2.45% 8/15/22	4,000	3,959
3.75% 8/15/42	5,900	5,562
5.4% 1/15/40	4,000	4,655
PacifiCorp:
3.6% 4/1/24	4,000	4,264
6% 1/15/39	6,193	7,784
Pennsylvania Electric Co. 6.05% 9/1/17	757	804
Potomac Electric Power Co. 6.5% 11/15/37	3,806	5,046
PPL Capital Funding, Inc.:
3.4% 6/1/23	2,675	2,727
4.2% 6/15/22	2,000	2,133
4.7% 6/1/43	1,800	1,831
PPL Electric Utilities Corp. 4.15% 10/1/45	3,500	3,615
Progress Energy, Inc.:
4.875% 12/1/19	1,700	1,847
6% 12/1/39	5,200	5,961
Public Service Co. of Colorado 2.9% 5/15/25	11,000	11,229
Public Service Electric & Gas Co.:
3.65% 9/1/42	2,825	2,737
4% 6/1/44	5,000	5,130
Puget Sound Energy, Inc. 4.3% 5/20/45	6,410	6,798
Tampa Electric Co. 6.15% 5/15/37	6,260	7,919
TECO Finance, Inc. 4% 3/15/16	2,875	2,878
Virginia Electric & Power Co.:
3.1% 5/15/25	4,000	4,098
3.45% 2/15/24	2,750	2,865
4.2% 5/15/45	2,400	2,465
4.45% 2/15/44	2,750	2,918
5% 6/30/19	5,000	5,490
6% 5/15/37	2,000	2,494
Wisconsin Electric Power Co. 4.25% 6/1/44	4,700	4,992
Wisconsin Power & Light Co. 5% 7/15/19	1,000	1,099
		279,717
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (a)	438	443
Multi-Utilities - 0.6%
Ameren Illinois Co. 6.125% 11/15/17	3,364	3,616
Berkshire Hathaway Energy Co.:
4.5% 2/1/45	3,000	3,046
5.15% 11/15/43	1,650	1,817
5.75% 4/1/18	3,750	4,038
6.5% 9/15/37	7,605	9,487
CenterPoint Energy, Inc. 5.95% 2/1/17	1,181	1,223
CMS Energy Corp. 4.875% 3/1/44	5,000	5,229
Consolidated Edison Co. of New York, Inc.:
4.45% 6/15/20	2,000	2,192
4.45% 3/15/44	8,000	8,477
5.5% 12/1/39	2,500	2,945
Consumers Energy Co. 2.85% 5/15/22	6,650	6,794
Delmarva Power & Light 4% 6/1/42	4,000	3,979
Dominion Resources, Inc.:
2.5% 12/1/19	6,700	6,751
2.9031% 9/30/66 (b)	1,000	672
4.9% 8/1/41	2,000	1,941
7.5% 6/30/66 (b)	1,000	838
NiSource Finance Corp.:
4.8% 2/15/44	5,500	5,698
5.45% 9/15/20	5,111	5,657
6.25% 12/15/40	2,453	2,911
6.4% 3/15/18	1,532	1,662
PG&E Corp. 2.4% 3/1/19	2,406	2,430
Puget Energy, Inc. 3.65% 5/15/25	8,070	8,136
San Diego Gas & Electric Co. 4.5% 8/15/40	1,000	1,091
Sempra Energy:
2.4% 3/15/20	12,406	12,175
2.875% 10/1/22	3,000	2,904
4.05% 12/1/23	5,000	5,228
6% 10/15/39	1,000	1,099
6.5% 6/1/16	3,000	3,035
Wisconsin Energy Corp. 6.25% 5/15/67 (b)	4,228	3,129
		118,200

TOTAL UTILITIES		398,360

TOTAL NONCONVERTIBLE BONDS
(Cost $5,284,817)		5,363,349

U.S. Government and Government Agency Obligations - 39.8%
U.S. Government Agency Obligations - 2.5%
Fannie Mae:
1.125% 7/20/18	$102,559	$102,992
1.375% 2/26/21	4,601	4,589
1.5% 11/30/20	18,106	18,189
1.875% 9/18/18	15,050	15,395
2.625% 9/6/24	4,000	4,222
Federal Home Loan Bank:
0.625% 12/28/16	28,350	28,333
0.875% 5/24/17	15,825	15,843
1% 6/21/17	35,300	35,391
1.125% 9/14/18	54,675	54,905
1.375% 2/18/21	20,300	20,263
5% 11/17/17	33,300	35,632
5.5% 7/15/36	1,500	2,074
Freddie Mac:
0.875% 10/14/16	24,375	24,405
1% 6/29/17	2,660	2,667
1% 12/15/17	59,006	59,123
1.375% 5/1/20	14,000	14,104
2.375% 1/13/22	13,000	13,609
3.75% 3/27/19	2,300	2,487
6.25% 7/15/32	7,700	11,297
6.75% 3/15/31	26,000	39,142
Tennessee Valley Authority:
5.25% 9/15/39	20,000	25,590
5.375% 4/1/56	5,395	6,993

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS		537,245

U.S. Treasury Obligations - 37.3%
U.S. Treasury Bonds:
2.5% 2/15/45	106,220	103,536
2.875% 8/15/45	86,740	91,345
3% 11/15/44	8,970	9,693
3% 5/15/45	43,090	46,525
3% 11/15/45	32,860	35,513
3.125% 8/15/44	32,960	36,542
3.375% 5/15/44	72,390	84,218
3.5% 2/15/39	8,315	9,936
3.625% 8/15/43	26,640	32,513
3.625% 2/15/44	67,570	82,340
3.75% 11/15/43	44,780	55,896
3.875% 8/15/40	30,080	37,877
4.25% 5/15/39	26,000	34,556
4.25% 11/15/40	811	1,079
4.375% 2/15/38	8,200	11,125
4.375% 11/15/39	100	135
4.375% 5/15/40	8,000	10,822
4.375% 5/15/41	57,765	78,400
4.5% 2/15/36	37,400	51,472
4.5% 5/15/38	15,000	20,693
4.5% 8/15/39	39,000	53,642
4.625% 2/15/40	21,500	30,082
4.75% 2/15/37	9,420	13,380
4.75% 2/15/41	54,830	78,298
5% 5/15/37	11,000	16,154
5.375% 2/15/31	53,470	76,631
6.25% 5/15/30	86,360	131,750
8.75% 5/15/17	8,000	8,769
8.875% 8/15/17	5,000	5,591
8.875% 2/15/19	6,960	8,584
9% 11/15/18	4,000	4,873
9.125% 5/15/18	3,000	3,547
U.S. Treasury Notes:
0.5% 4/30/17	64,360	64,184
0.625% 5/31/17	106,140	105,974
0.625% 7/31/17	32,510	32,448
0.625% 8/31/17	67,720	67,567
0.75% 1/31/18	22,920	22,900
0.75% 4/15/18	126,660	126,472
0.75% 2/15/19	152,470	151,761
0.875% 12/31/16	3	3
0.875% 2/28/17	4	4
0.875% 4/15/17	84,530	84,665
0.875% 5/15/17	49,260	49,345
0.875% 6/15/17	112,340	112,529
0.875% 7/15/17	100,740	100,889
0.875% 8/15/17	82,420	82,536
0.875% 10/15/17	206,880	207,147
0.875% 11/15/17	33,950	33,991
0.875% 11/30/17	62,560	62,650
0.875% 1/15/18	8,670	8,680
0.875% 7/15/18	104,000	104,110
0.875% 10/15/18	89,640	89,686
1% 9/15/17	64,200	64,413
1% 12/15/17	112,860	113,261
1% 12/31/17	128,720	129,183
1% 2/15/18	96,230	96,598
1% 3/15/18	56,600	56,821
1% 9/15/18	32,730	32,851
1.125% 1/15/19	52,100	52,428
1.125% 4/30/20	177,430	177,208
1.125% 2/28/21	88,310	87,910
1.25% 10/31/18	45,190	45,640
1.25% 11/15/18	30,680	30,984
1.25% 11/30/18	47,480	47,959
1.25% 12/15/18	33,630	33,962
1.25% 1/31/19	14,670	14,818
1.25% 1/31/20	825	829
1.375% 6/30/18	31,800	32,206
1.375% 7/31/18	1,175	1,190
1.375% 9/30/18	95,690	96,983
1.375% 2/28/19	98,500	99,789
1.375% 1/31/20	20,920	21,123
1.375% 2/29/20	49,140	49,593
1.375% 3/31/20	6,630	6,689
1.375% 4/30/20	55,840	56,313
1.375% 8/31/20	78,960	79,598
1.375% 9/30/20	25,600	25,784
1.375% 10/31/20	5,720	5,760
1.375% 1/31/21	20,530	20,666
1.5% 8/31/18	238,925	242,854
1.5% 12/31/18	4,060	4,128
1.5% 1/31/19	37,180	37,805
1.5% 2/28/19	32,250	32,795
1.5% 3/31/19	12,800	13,016
1.5% 10/31/19	36,700	37,266
1.5% 11/30/19	51,090	51,866
1.5% 5/31/20	39,630	40,163
1.5% 1/31/22	4,370	4,391
1.5% 2/28/23	20,410	20,384
1.625% 4/30/19	4,980	5,083
1.625% 7/31/19	43,010	43,894
1.625% 8/31/19 (c)	100,350	102,404
1.625% 12/31/19	8,990	9,166
1.625% 6/30/20	50,460	51,384
1.625% 7/31/20	47,580	48,454
1.625% 11/30/20	94,780	96,605
1.625% 2/15/26 (d)	54,430	53,873
1.75% 10/31/18	10	10
1.75% 9/30/19	11,230	11,504
1.75% 10/31/20	9,960	10,193
1.75% 12/31/20	71,130	72,853
1.75% 3/31/22	117,000	119,111
1.75% 4/30/22	15,910	16,193
1.75% 9/30/22	28,790	29,257
1.75% 1/31/23	25,640	26,037
1.875% 9/30/17	11,325	11,517
1.875% 10/31/17	40,860	41,580
1.875% 6/30/20	24,290	25,002
1.875% 11/30/21	81,260	83,438
1.875% 5/31/22	19,875	20,375
1.875% 8/31/22	69,670	71,360
1.875% 10/31/22	27,400	28,059
2% 11/30/20	31,910	33,011
2% 2/28/21	26,380	27,309
2% 5/31/21	40,290	41,702
2% 8/31/21	108,300	111,976
2% 10/31/21	29,700	30,700
2% 7/31/22	48,060	49,598
2% 11/30/22	42,170	43,516
2% 2/15/25	3,635	3,720
2% 8/15/25	36,140	36,952
2.125% 8/31/20	49,753	51,724
2.125% 1/31/21	3,060	3,186
2.125% 6/30/21	7,260	7,559
2.125% 8/15/21	90,750	94,419
2.125% 9/30/21	43,640	45,413
2.125% 12/31/21	15,950	16,592
2.125% 6/30/22	40,770	42,393
2.125% 12/31/22	63,040	65,599
2.125% 5/15/25	58,355	60,313
2.25% 11/30/17	11,000	11,274
2.25% 4/30/21	42,310	44,323
2.25% 7/31/21	31,690	33,200
2.25% 11/15/24	85,930	89,807
2.25% 11/15/25	115,110	120,268
2.375% 8/15/24	78,790	83,197
2.5% 8/15/23	97,170	103,782
2.5% 5/15/24	95,500	101,819
2.625% 4/30/18	10,200	10,593
2.625% 8/15/20	141,000	149,631
2.625% 11/15/20	94,180	100,081
2.75% 12/31/17	3,000	3,105
2.75% 11/15/23	102,790	111,636
2.75% 2/15/24	135,610	147,227
3% 8/31/16	2	2
3.125% 5/15/21	50,876	55,507
3.375% 11/15/19	27,740	30,060
3.5% 2/15/18	4,000	4,209
3.5% 5/15/20	81,800	89,549
3.625% 2/15/20	59,600	65,325
3.625% 2/15/21	39,800	44,285
3.875% 5/15/18	8,000	8,540
4% 8/15/18	22,000	23,733
4.25% 11/15/17	16,000	16,931
4.5% 5/15/17	13,000	13,585
4.625% 2/15/17	14,000	14,519

TOTAL U.S. TREASURY OBLIGATIONS		7,957,507

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $8,112,859)		8,494,752

U.S. Government Agency - Mortgage Securities - 28.3%
Fannie Mae - 14.2%
2.283% 11/1/34 (b)	11,108	11,585
2.5% 3/1/27 to 8/1/43	220,816	226,645
2.5% 3/1/31 (e)	6,000	6,152
2.623% 11/1/34 (b)	808	851
3% 11/1/20 to 3/1/46	638,530	659,680
3% 3/1/31 (e)	3,000	3,128
3% 3/1/31 (e)	3,000	3,128
3% 3/1/31 (e)	8,000	8,343
3% 3/1/46 (e)	5,000	5,127
3% 3/1/46 (e)	13,000	13,330
3.09% 4/1/41 (b)	5,188	5,380
3.5% 7/1/20 to 12/1/45	783,965	824,557
3.5% 1/1/28	2,000	2,127
3.5% 3/1/31 (e)	500	528
3.5% 3/1/46 (e)	9,000	9,431
3.5% 3/1/46 (e)	39,000	40,867
4% 7/1/18 to 12/1/45	543,262	581,530
4% 3/1/46 (e)	6,000	6,402
4% 3/1/46 (e)	15,000	16,004
4.5% 1/1/19 to 3/1/45	235,308	255,981
4.5% 3/1/46 (e)	2,000	2,172
4.5% 3/1/46 (e)	4,000	4,344
5% 12/1/20 to 12/1/44	135,064	149,235
5% 3/1/46 (e)	2,000	2,214
5% 3/1/46 (e)	1,000	1,107
5.5% 8/1/17 to 9/1/41	88,776	100,239
6% 2/1/23 to 7/1/41	62,914	72,070
6.5% 3/1/22 to 6/1/40	23,220	27,167

TOTAL FANNIE MAE		3,039,324

Freddie Mac - 6.4%
1.969% 3/1/36 (b)	5,519	5,721
2.5% 5/1/23 to 7/1/30	114,548	117,810
2.505% 3/1/35 (b)	2,021	2,135
2.542% 12/1/35 (b)	4,476	4,704
2.653% 9/1/37 (b)	1,478	1,563
3% 3/1/27 to 2/1/46	348,370	359,130
3.5% 9/1/18 to 10/1/45	371,290	389,423
4% 3/1/26 to 4/1/45	202,355	216,449
4% 3/1/46 (e)	25,000	26,639
4.5% 6/1/25 to 12/1/44	119,789	130,369
5% 4/1/23 to 9/1/40	58,770	65,155
5.5% 5/1/23 to 6/1/41 (e)	38,115	42,970
5.5% 11/1/37	597	671
5.5% 1/1/38	388	436
6% 4/1/32 to 8/1/37	1,707	1,961
6.5% 8/1/36 to 12/1/37	585	681

TOTAL FREDDIE MAC		1,365,817

Ginnie Mae - 7.7%
2.5% 10/20/42 to 3/20/44	7,726	7,779
3% 4/15/42 to 12/20/45	315,860	327,892
3% 3/1/46 (e)	7,000	7,249
3.5% 10/15/40 to 2/20/46	338,168	357,588
3.5% 3/1/46 (e)	66,000	69,687
3.5% 3/1/46 (e)	70,900	74,860
3.5% 3/1/46 (e)	33,800	35,688
3.5% 3/1/46 (e)	40,500	42,762
3.5% 3/1/46 (e)	3,000	3,168
3.5% 3/1/46 (e)	24,000	25,341
4% 1/15/25 to 8/20/45	311,985	334,134
4% 3/1/46 (e)	9,000	9,612
4.5% 9/15/33 to 7/20/45	173,783	188,629
4.5% 3/1/46 (e)	2,000	2,150
5% 7/15/38 to 6/20/45	88,077	98,957
5.5% 10/20/32 to 3/20/45	30,556	34,468
5.5% 6/20/43	1,366	1,543
6% 5/20/34 to 12/15/40	15,878	18,403
6.5% 8/20/36 to 1/15/39	3,075	3,604

TOTAL GINNIE MAE		1,643,514

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $5,922,706)		6,048,655

Asset-Backed Securities - 0.7%
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	$9,500	$9,504
Capital One Multi-Asset Execution Trust Series 2015-A1 Class A, 1.39% 1/15/21	9,500	9,536
Chase Issuance Trust:
Series 2012-A4 Class A4, 1.58% 8/16/21	6,875	6,893
Series 2012-A7 Class A7, 2.16% 9/16/24	3,925	3,935
Series 2015-A4 Class A, 1.84% 4/15/22	4,750	4,802
Citibank Credit Card Issuance Trust:
Series 2013-A3 Class A3, 1.11% 7/23/18	2,800	2,802
Series 2013-A9 Class A9, 3.72% 9/8/25	4,675	5,173
Discover Card Master Trust Series 2015-A2 Class A, 1.9% 10/17/22	10,800	10,846
Ford Credit Auto Owner Trust:
Series 2013-C Class A3, 0.82% 12/15/17	1,232	1,232
Series 2014-C Class A3, 1.06% 5/15/19	9,475	9,473
Ford Credit Floorplan Master Owner Trust:
Series 2013-5 Class A1, 1.5% 9/15/18	4,675	4,683
Series 2015-2 Class A1, 1.98% 1/15/22	9,500	9,551
Honda Auto Receivables Owner Trust:
Series 2014-4 Class A3, 0.99% 9/17/18	9,475	9,473
Series 2015-1 Class A3, 1.05% 10/15/18	10,000	9,996
Hyundai Auto Receivables Trust:
Series 2013-C Class A3, 1.01% 2/15/18	1,780	1,779
Series 2015-A Class A3, 1.05% 4/15/19	9,500	9,491
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	9,500	9,502
Mercedes-Benz Auto Receivables Trust Series 2013-1 Class A3, 0.78% 8/15/17	411	411
Nissan Auto Receivables Owner Trust:
Series 2013-B Class A3, 0.84% 11/15/17	1,286	1,286
Series 2014-B Class A3, 1.11% 5/15/19	9,475	9,473
Volkswagen Auto Lease Trust Series 2015-A Class A3, 1.25% 12/20/17	9,500	9,438
TOTAL ASSET-BACKED SECURITIES
(Cost $138,056)		139,279

Commercial Mortgage Securities - 2.6%
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-3 Class A4, 5.889% 7/10/44 (b)	5,480	5,485
Series 2006-6 Class A3, 5.369% 10/10/45	436	436
Series 2007-3 Class A4, 5.7423% 6/10/49 (b)	2,125	2,182
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	2,433	2,486
Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW16 Class A4, 5.9112% 6/11/40 (b)	13,057	13,404
Citigroup Commercial Mortgage Trust:
sequential payer:
Series 2006-C5 Class A4, 5.431% 10/15/49	9,186	9,277
Series 2015-P1 Class A5, 3.717% 9/15/48	5,865	6,149
Series 2007-C6 Class A4, 5.8982% 12/10/49 (b)	9,950	10,243
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49	3,401	3,476
COMM Mortgage Trust Series 2015-CR22 Class A5, 3.309% 3/10/48	19,425	19,745
COMM Mortgage Trust pass-thru certificates sequential payer Series 2007-C9 Class A4, 5.9887% 12/10/49 (b)	2,564	2,663
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	4,754	4,775
Series 2007-C2 Class A3, 5.542% 1/15/49 (b)	2,536	2,586
Series 2007-C3 Class A4, 5.8888% 6/15/39 (b)	5,954	6,102
Series 2007-C5 Class A4, 5.695% 9/15/40 (b)	847	874
CSAIL Commercial Mortgage Trust sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48	12,565	13,136
Freddie Mac:
sequential payer:
Series K007 Class A2, 4.224% 3/25/20	19,000	20,845
Series K034 Class A2, 3.531% 7/25/23	9,000	9,832
Series K013 Class A2, 3.974% 1/25/21	11,575	12,785
Series K020 Class A2, 2.373% 5/25/22	10,400	10,628
Series K036 Class A2, 3.527% 10/25/23	8,975	9,800
Series K046 Class A2, 3.205% 3/25/25	33,300	35,251
Series K047 Class A2, 3.329% 5/25/25	3,860	4,135
Series K501 Class A2, 1.655% 11/25/16	15,130	15,156
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	19,501	19,808
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	3,108	3,174
Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b)	11,222	11,249
JPMBB Commercial Mortgage Securities Trust:
sequential payer Series 2014-C21 Class A5, 3.7748% 8/15/47	13,830	14,633
Series 2014-C23 Class A5, 3.9342% 9/15/47	9,550	10,198
Series 2014-C24 Class A5, 3.6385% 11/15/47	5,275	5,513
JPMBB Commercial Mortgage Secutities Trust sequential payer Series 2015-C29 Class A4, 3.6108% 5/15/48	9,000	9,350
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2012-LC9 Class A5, 2.84% 12/15/47	13,796	14,037
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-CB17 Class A4, 5.429% 12/12/43	22,050	22,333
Series 2006-LDP8 Class A4, 5.399% 5/15/45	444	446
Series 2006-LDP9 Class A3, 5.336% 5/15/47	489	496
Series 2007-CB19 Class A4, 5.8888% 2/12/49 (b)	27,714	28,493
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (b)	8,435	8,604
Series 2007-LDPX Class A3, 5.42% 1/15/49	10,580	10,788
Series 2006-LDP7 Class A4, 6.1056% 4/17/45 (b)	2,081	2,083
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9% 7/15/44 (b)	3,244	3,357
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	558	563
Series 2006-C7 Class A3, 5.347% 11/15/38	945	957
Series 2007-C1 Class A4, 5.424% 2/15/40	1,095	1,116
Series 2007-C2 Class A3, 5.43% 2/15/40	496	506
Series 2007-C6 Class A4, 5.858% 7/15/40 (b)	1,236	1,263
Series 2007-C7 Class A3, 5.866% 9/15/45	5,271	5,552
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.9178% 1/12/44 (a)(b)	333	333
Series 2007-C1 Class A4, 6.0317% 6/12/50 (b)	4,800	4,936
Series 2008-C1 Class A4, 5.69% 2/12/51	1,913	2,008
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2007-5 Class A4, 5.378% 8/12/48	5,993	6,105
Series 2007-6 Class A4, 5.485% 3/12/51 (b)	2,000	2,046
Series 2007-7 Class A4, 5.81% 6/12/50 (b)	4,013	4,150
Series 2007-6 Class B, 5.635% 3/12/51 (b)	1,268	356
Series 2007-8 Class A3, 6.0719% 8/12/49 (b)	1,093	1,134
Morgan Stanley BAML Trust Series 2015-C20 Class A4, 3.249% 2/15/48	14,725	14,923
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	5,113
Series 2007-IQ14 Class A4, 5.692% 4/15/49	1,902	1,947
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (a)	161	49
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	31,242	31,994
Series 2007-C31:
Class A4, 5.509% 4/15/47	15,483	15,780
Class A5, 5.5% 4/15/47	7,950	8,182
Series 2007-C32 Class A3, 5.8991% 6/15/49 (b)	8,092	8,267
Series 2007-C33:
Class A4, 6.1491% 2/15/51 (b)	23,808	24,590
Class A5, 6.1491% 2/15/51 (b)	839	882
Series 2006-C25 Class AM, 5.9501% 5/15/43 (b)	664	664
WF-RBS Commercial Mortgage Trust Series 2014-C25 Class A5, 3.631% 11/15/47	14,450	15,101
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $515,697)		544,599

Municipal Securities - 0.8%
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	9,720	14,808
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2010 S1, 7.043% 4/1/50	2,375	3,450
California Gen. Oblig. 7.55% 4/1/39	15,000	22,265
Chicago Gen. Oblig. 6.314% 1/1/44	1,900	1,719
Illinois Gen. Oblig.:
Series 2003, 5.1% 6/1/33	$8,900	$8,274
Series 2011:
4.961% 3/1/16	2,830	2,830
5.877% 3/1/19	9,700	10,485
Kansas St Dev. Fin. Auth. Rev. Series 2015 H, 4.927% 4/15/45	7,600	8,025
Los Angeles Cmnty. College District Series 2008 E, 6.75% 8/1/49	9,450	13,756
Los Angeles Dept. Arpt. Rev. Series 2009 C, 6.582% 5/15/39	4,985	6,654
New Jersey Tpk. Auth. Tpk. Rev. Series A, 7.414% 1/1/40	4,700	6,922
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42	9,025	12,184
New York City Transitional Fin. Auth. Rev. Series 2011 A, 5.508% 8/1/37	10,725	13,337
New York Metropolitan Trans. Auth. Rev. Series 2010 A, 6.668% 11/15/39	6,160	8,307
Port Auth. of New York & New Jersey:
Series 180, 4.96% 8/1/46	5,175	6,001
Series 2010 164, 5.647% 11/1/40	5,210	6,467
San Francisco Pub. Utils. Commission Wtr. Rev. Series 2010 E, 6% 11/1/40	6,320	8,056
South Carolina Pub. Svc. Auth. Rev. Series 2013 C, 5.784% 12/1/41	11,312	13,427
Univ. of California Revs.:
Series 2009 R, 5.77% 5/15/43	1,000	1,278
Series 2015 AP, 3.931% 5/15/45	3,740	3,784
TOTAL MUNICIPAL SECURITIES
(Cost $153,807)		172,029

Foreign Government and Government Agency Obligations - 2.2%
Canadian Government 1.125% 3/19/18	$6,640	$6,667
Chilean Republic 3.25% 9/14/21	9,000	9,540
Colombian Republic:
2.625% 3/15/23	7,575	6,753
4% 2/26/24	4,825	4,644
5% 6/15/45	2,000	1,675
5.625% 2/26/44	7,775	7,017
6.125% 1/18/41	4,750	4,524
7.375% 3/18/19	3,450	3,855
Export Development Canada:
1.25% 10/26/16	4,000	4,012
1.5% 10/3/18	1,700	1,720
Israeli State 4% 6/30/22	7,000	7,741
Italian Republic:
5.375% 6/12/17	2,375	2,487
6.875% 9/27/23	6,000	7,554
Jordanian Kingdom:
1.945% 6/23/19	23,650	24,300
3% 6/30/25	2,400	2,567
KfW:
0.5% 4/19/16	8,000	7,999
0.75% 3/17/17	8,000	7,994
1.5% 4/20/20	2,825	2,835
1.875% 4/1/19	16,930	17,245
2.125% 1/17/23	12,000	12,274
2.75% 10/1/20	4,175	4,413
4% 1/27/20	3,000	3,292
4.875% 6/17/19	25,000	27,860
Korean Republic 7.125% 4/16/19	6,650	7,731
Manitoba Province:
1.3% 4/3/17	3,420	3,431
2.1% 9/6/22	1,900	1,918
3.05% 5/14/24	1,500	1,590
New Brunswick Province 2.75% 6/15/18	4,350	4,501
Ontario Province:
1% 7/22/16	17,000	17,021
4% 10/7/19	15,000	16,259
Panamanian Republic:
3.75% 3/16/25	3,800	3,848
4% 9/22/24	4,800	4,968
4.3% 4/29/53	5,675	5,193
5.2% 1/30/20	1,800	1,973
Peruvian Republic:
4.125% 8/25/27	2,800	2,866
5.625% 11/18/50	7,150	7,651
6.55% 3/14/37	3,075	3,698
7.125% 3/30/19	1,900	2,174
Philippine Republic:
3.95% 1/20/40	5,100	5,469
4.2% 1/21/24	4,765	5,336
6.375% 10/23/34	10,375	14,300
6.5% 1/20/20	6,144	7,230
Polish Government:
4% 1/22/24	4,550	4,891
5% 3/23/22	14,500	16,314
Province of British Columbia 1.2% 4/25/17	7,600	7,626
Province of Quebec:
2.75% 8/25/21	20,000	20,863
2.875% 10/16/24	2,075	2,165
South African Republic:
5.875% 5/30/22	7,675	8,109
6.875% 5/27/19	6,750	7,322
Turkish Republic:
5.75% 3/22/24	3,000	3,185
6% 1/14/41	13,200	13,509
6.25% 9/26/22	13,225	14,428
6.75% 4/3/18	8,375	8,982
7.5% 11/7/19	2,625	2,949
United Mexican States:
3.5% 1/21/21	7,400	7,622
3.625% 3/15/22	3,000	3,066
4% 10/2/23	18,750	19,284
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	1,372
6.05% 1/11/40	4,800	5,340
Uruguay Republic:
4.125% 11/20/45	4,750	3,871
4.5% 8/14/24	3,625	3,797
5.1% 6/18/50	3,875	3,478
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $460,193)		466,169

Supranational Obligations - 1.4%
African Development Bank:
0.875% 5/15/17	1,000	1,000
0.875% 3/15/18	1,900	1,894
1.125% 3/15/17	1,300	1,303
1.625% 10/2/18	2,800	2,839
2.375% 9/23/21	2,900	3,016
Asian Development Bank:
1.125% 3/15/17	5,000	5,015
1.125% 6/5/18	7,290	7,303
1.5% 1/22/20	4,750	4,786
1.875% 4/12/19	12,000	12,243
1.875% 2/18/22	2,000	2,025
2.125% 11/24/21	4,825	4,968
Council of Europe Development Bank 1% 3/7/18	1,900	1,898
European Bank for Reconstruction and Development:
1% 6/15/18	4,750	4,739
1.75% 6/14/19	4,700	4,775
1.75% 11/26/19	2,875	2,922
2.5% 3/15/16	3,800	3,803
European Investment Bank:
0.875% 4/18/17	11,000	11,005
1.125% 8/15/18	6,590	6,577
1.25% 5/15/18	3,550	3,560
1.375% 6/15/20	2,725	2,710
1.625% 6/15/17	4,640	4,684
1.625% 12/18/18	30,900	31,298
1.75% 3/15/17	5,000	5,046
1.75% 6/17/19	8,625	8,743
1.875% 3/15/19	3,000	3,059
1.875% 2/10/25	3,000	2,966
2% 3/15/21	4,770	4,872
2.125% 10/15/21	2,840	2,898
2.25% 8/15/22	1,880	1,937
2.5% 4/15/21	4,650	4,856
2.5% 10/15/24	5,725	5,982
2.875% 9/15/20	9,000	9,543
3.25% 1/29/24	2,000	2,195
Inter-American Development Bank:
1.125% 3/15/17	17,100	17,137
1.75% 10/15/19	1,375	1,406
2.125% 1/15/25	1,830	1,863
3% 10/4/23	3,575	3,916
3.875% 9/17/19	5,000	5,469
4.375% 1/24/44	4,000	5,005
International Bank for Reconstruction & Development:
0.875% 4/17/17	8,050	8,065
1% 9/15/16	9,000	9,030
1% 6/15/18	5,600	5,593
1.625% 2/10/22	3,900	3,892
1.875% 10/7/19	3,825	3,929
2.25% 6/24/21	16,075	16,690
2.5% 11/25/24	5,700	5,999
2.5% 7/29/25	3,790	3,988
International Finance Corp.:
1.625% 7/16/20	2,870	2,910
1.75% 9/16/19	11,350	11,550
Nordic Investment Bank 1.125% 2/25/19	6,600	6,597
TOTAL SUPRANATIONAL OBLIGATIONS
(Cost $282,989)		289,499

Bank Notes - 0.1%
American Express Bank FSB 6% 9/13/17	615	655
Bank of America NA:
5.3% 3/15/17	$3,500	$3,619
6% 10/15/36	2,419	2,860
Branch Banking & Trust Co. 1.45% 10/3/16	2,000	2,006
JPMorgan Chase Bank 6% 10/1/17	7,075	7,505
KeyBank NA 2.5% 12/15/19	4,000	4,045
Regions Bank 7.5% 5/15/18	2,000	2,204
UBS AG Stamford Branch:
5.75% 4/25/18	830	897
5.875% 12/20/17	2,034	2,181
TOTAL BANK NOTES
(Cost $24,675)		25,972

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (Cost $1,176)(b)(f)	$1,725	$1,740
	Shares	Value (000s)

Money Market Funds - 1.5%
Fidelity Cash Central Fund, 0.40% (g)
(Cost $317,964)	317,964,399	317,964
	Maturity Amount (000s)	Value (000s)

Cash Equivalents - 0.1%
Investments in repurchase agreements in a joint trading account at 0.4%, dated 2/29/16 due 3/1/16 (Collateralized by U.S. Government Obligations) # (h)
(Cost $25,210)	25,210	25,210
TOTAL INVESTMENT PORTFOLIO - 102.6%
(Cost $21,240,149)		21,889,217
NET OTHER ASSETS (LIABILITIES) - (2.6)%		(549,866)
NET ASSETS - 100%		$21,339,351

Legend

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

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

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

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

(g) 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.

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

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	$208

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
(Amounts in thousands)
Investments in Securities:
Corporate Bonds	$5,363,349	$--	$5,363,349	$--
U.S. Government and Government Agency Obligations	8,494,752	--	8,494,752	--
U.S. Government Agency - Mortgage Securities	6,048,655	--	6,048,655	--
Asset-Backed Securities	139,279	--	139,279	--
Commercial Mortgage Securities	544,599	--	544,550	49
Municipal Securities	172,029	--	172,029	--
Foreign Government and Government Agency Obligations	466,169	--	466,169	--
Supranational Obligations	289,499	--	289,499	--
Bank Notes	25,972	--	25,972	--
Preferred Securities	1,740	--	1,740	--
Money Market Funds	317,964	317,964	--	--
Cash Equivalents	25,210	--	25,210	--
Total Investments in Securities:	$21,889,217	$317,964	$21,571,204	$49

Other Information

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$25,210,000 due 3/01/16 at 0.40%
Commerz Markets LLC	$25,210
	$25,210

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)		February 29, 2016 (Unaudited)
Assets
Investment in securities, at value (including repurchase agreements of $25,210) — See accompanying schedule: Unaffiliated issuers (cost $20,922,185)	$21,571,253
Fidelity Central Funds (cost $317,964)	317,964
Total Investments (cost $21,240,149)		$21,889,217
Receivable for investments sold		159,270
Receivable for fund shares sold		40,045
Interest receivable		108,424
Distributions receivable from Fidelity Central Funds		57
Receivable from investment adviser for expense reductions		793
Other receivables		113
Total assets		22,197,919
Liabilities
Payable for investments purchased
Regular delivery	$365,053
Delayed delivery	420,717
Payable for fund shares redeemed	44,228
Distributions payable	662
Accrued management fee	879
Other affiliated payables	1,703
Other payables and accrued expenses	116
Collateral on securities loaned, at value	25,210
Total liabilities		858,568
Net Assets		$21,339,351
Net Assets consist of:
Paid in capital		$20,705,712
Undistributed net investment income		33,203
Accumulated undistributed net realized gain (loss) on investments		(48,632)
Net unrealized appreciation (depreciation) on investments		649,068
Net Assets		$21,339,351
Investor Class:
Net Asset Value, offering price and redemption price per share ($6,907,368 ÷ 590,937 shares)		$11.69
Fidelity Advantage Class:
Net Asset Value, offering price and redemption price per share ($6,879,440 ÷ 588,593 shares)		$11.69
Institutional Class:
Net Asset Value, offering price and redemption price per share ($3,322,759 ÷ 284,285 shares)		$11.69
Fidelity Advantage Institutional Class:
Net Asset Value, offering price and redemption price per share ($1,484,038 ÷ 126,972 shares)		$11.69
Class F:
Net Asset Value, offering price and redemption price per share ($2,745,746 ÷ 234,926 shares)		$11.69

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

Amounts in thousands		Six months ended February 29, 2016 (Unaudited)
Investment Income
Dividends		$55
Interest		279,400
Income from Fidelity Central Funds		208
Total income		279,663
Expenses
Management fee	$5,155
Transfer agent fees	10,047
Independent trustees' compensation	43
Miscellaneous	15
Total expenses before reductions	15,260
Expense reductions	(4,220)	11,040
Net investment income (loss)		268,623
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(657)
Total net realized gain (loss)		(657)
Change in net unrealized appreciation (depreciation) on: Investment securities	210,956
Delayed delivery commitments	(112)
Total change in net unrealized appreciation (depreciation)		210,844
Net gain (loss)		210,187
Net increase (decrease) in net assets resulting from operations		$478,810

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 29, 2016 (Unaudited)	Year ended August 31, 2015
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$268,623	$506,019
Net realized gain (loss)	(657)	37,087
Change in net unrealized appreciation (depreciation)	210,844	(268,774)
Net increase (decrease) in net assets resulting from operations	478,810	274,332
Distributions to shareholders from net investment income	(259,448)	(486,929)
Distributions to shareholders from net realized gain	(34,097)	(13,325)
Total distributions	(293,545)	(500,254)
Share transactions - net increase (decrease)	615,400	2,160,467
Total increase (decrease) in net assets	800,665	1,934,545
Net Assets
Beginning of period	20,538,686	18,604,141
End of period (including undistributed net investment income of $33,203 and undistributed net investment income of $24,028, respectively)	$21,339,351	$20,538,686

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Investor Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.04	$11.74	$11.67
Income from Investment Operations
Net investment income (loss)^A	.144	.287	.286	.254	.312	.351
Net realized and unrealized gain (loss)	.114	(.123)	.338	(.604)	.358	.137
Total from investment operations	.258	.164	.624	(.350)	.670	.488
Distributions from net investment income	(.139)	(.276)	(.274)	(.246)	(.305)	(.342)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	(.076)
Total distributions	(.158)	(.284)	(.274)	(.330)	(.370)	(.418)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.04	$11.74
Total Return^B,^C	2.25%	1.40%	5.55%	(2.97)%	5.82%	4.32%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.22%^F	.22%	.22%	.22%	.22%	.28%
Expenses net of fee waivers, if any	.20%^F	.22%	.22%	.22%	.22%	.27%
Expenses net of all reductions	.20%^F	.22%	.22%	.22%	.22%	.27%
Net investment income (loss)	2.50%^F	2.45%	2.48%	2.16%	2.63%	3.06%
Supplemental Data
Net assets, end of period (in millions)	$6,907	$6,497	$6,520	$5,338	$5,981	$7,287
Portfolio turnover rate^G	58%^F	75%	85%	118%	100%	106%

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Fidelity Advantage Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.44
Income from Investment Operations
Net investment income (loss)^B	.152	.301	.299	.267	.321	.115
Net realized and unrealized gain (loss)	.114	(.123)	.339	(.593)	.349	.301
Total from investment operations	.266	.178	.638	(.326)	.670	.416
Distributions from net investment income	(.147)	(.290)	(.288)	(.260)	(.315)	(.116)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	–
Total distributions	(.166)	(.298)	(.288)	(.344)	(.380)	(.116)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^C,^D	2.31%	1.52%	5.68%	(2.78)%	5.82%	3.66%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.17%^G	.17%	.17%	.17%	.17%	.17%^G
Expenses net of fee waivers, if any	.07%^G	.10%	.10%	.10%	.12%	.17%^G
Expenses net of all reductions	.07%^G	.10%	.10%	.10%	.12%	.17%^G
Net investment income (loss)	2.63%^G	2.57%	2.60%	2.27%	2.73%	3.15%^G
Supplemental Data
Net assets, end of period (in millions)	$6,879	$6,692	$5,778	$5,108	$4,265	$1,533
Portfolio turnover rate^H	58%^G	75%	85%	118%	100%	106%

^A For the period May 4, 2011 (commencement of sale of shares) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Institutional Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.44
Income from Investment Operations
Net investment income (loss)^B	.152	.305	.303	.272	.329	.118
Net realized and unrealized gain (loss)	.114	(.123)	.338	(.594)	.349	.302
Total from investment operations	.266	.182	.641	(.322)	.678	.420
Distributions from net investment income	(.147)	(.294)	(.291)	(.264)	(.323)	(.120)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	–
Total distributions	(.166)	(.302)	(.291)	(.348)	(.388)	(.120)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^C,^D	2.32%	1.55%	5.71%	(2.75)%	5.89%	3.69%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.07%^G	.07%	.07%	.07%	.07%	.07%^G
Expenses net of fee waivers, if any	.06%^G	.07%	.07%	.07%	.07%	.07%^G
Expenses net of all reductions	.06%^G	.07%	.07%	.07%	.07%	.07%^G
Net investment income (loss)	2.64%^G	2.60%	2.63%	2.31%	2.78%	3.25%^G
Supplemental Data
Net assets, end of period (in millions)	$3,323	$3,102	$3,158	$2,766	$3,121	$1,926
Portfolio turnover rate^H	58%^G	75%	85%	118%	100%	106%

^A For the period May 4, 2011 (commencement of sale of shares) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Fidelity Advantage Institutional Class

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.44
Income from Investment Operations
Net investment income (loss)^B	.153	.307	.305	.274	.331	.118
Net realized and unrealized gain (loss)	.114	(.123)	.339	(.594)	.349	.303
Total from investment operations	.267	.184	.644	(.320)	.680	.421
Distributions from net investment income	(.148)	(.296)	(.294)	(.266)	(.325)	(.121)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	–
Total distributions	(.167)	(.304)	(.294)	(.350)	(.390)	(.121)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^C,^D	2.32%	1.57%	5.73%	(2.73)%	5.91%	3.70%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.05%^G	.05%	.05%	.05%	.05%	.05%^G
Expenses net of fee waivers, if any	.05%^G	.05%	.05%	.05%	.05%	.05%^G
Expenses net of all reductions	.05%^G	.05%	.05%	.05%	.05%	.05%^G
Net investment income (loss)	2.65%^G	2.62%	2.65%	2.33%	2.80%	3.27%^G
Supplemental Data
Net assets, end of period (in millions)	$1,484	$1,560	$947	$867	$869	$682
Portfolio turnover rate^H	58%^G	75%	85%	118%	100%	106%

^A For the period May 4, 2011 (commencement of sale of shares) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Spartan U.S. Bond Index Fund Class F

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.59	$11.71	$11.36	$12.03	$11.74	$11.67
Income from Investment Operations
Net investment income (loss)^A	.153	.307	.305	.273	.331	.365
Net realized and unrealized gain (loss)	.114	(.123)	.339	(.593)	.349	.139
Total from investment operations	.267	.184	.644	(.320)	.680	.504
Distributions from net investment income	(.148)	(.296)	(.294)	(.266)	(.325)	(.358)
Distributions from net realized gain	(.019)	(.008)	–	(.084)	(.065)	(.076)
Total distributions	(.167)	(.304)	(.294)	(.350)	(.390)	(.434)
Net asset value, end of period	$11.69	$11.59	$11.71	$11.36	$12.03	$11.74
Total Return^B,^C	2.32%	1.57%	5.73%	(2.73)%	5.91%	4.47%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.05%^F	.05%	.05%	.05%	.05%	.12%
Expenses net of fee waivers, if any	.05%^F	.05%	.05%	.05%	.05%	.12%
Expenses net of all reductions	.05%^F	.05%	.05%	.05%	.05%	.12%
Net investment income (loss)	2.65%^F	2.62%	2.65%	2.33%	2.80%	3.20%
Supplemental Data
Net assets, end of period (in millions)	$2,746	$2,687	$2,202	$1,988	$1,361	$634
Portfolio turnover rate^G	58%^F	75%	85%	118%	100%	106%

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016
(Amounts in thousands except percentages)

1. Organization.

2. Investments in Fidelity Central Funds.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to prior period premium and discount on debt securities, market discount, deferred trustees compensation and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation	$814,695
Gross unrealized depreciation	(146,241)
Net unrealized appreciation (depreciation) on securities	$668,454
Tax cost	$21,220,763

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $571,584 and $410,631, respectively.

5. Fees and Other Transactions with Affiliates.

Investor Class	.22%
Fidelity Advantage Class	.17%
Institutional Class	.07%
Fidelity Advantage Institutional Class	.05%

For the period, the total transfer agent fees paid by each applicable class were as follows:

	Amount
Investor Class	$5,743
Fidelity Advantage Class	3,987
Institutional Class	317
	$10,047

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $14 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Security Lending.

8. Expense Reductions.

	Expense Limitations	Reimbursement
Investor Class	.20%	$711
Fidelity Advantage Class	.07%	3,335
Institutional Class	.06%	164
Fidelity Advantage Institutional Class	.05%	2
Class F	.05%	3

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2016	Year ended August 31, 2015
From net investment income
Investor Class	$81,179	$154,154
Fidelity Advantage Class	84,100	155,722
Institutional Class	40,325	82,742
Fidelity Advantage Institutional Class	19,066	31,519
Class F	34,778	62,792
Total	$259,448	$486,929
From net realized gain
Investor Class	$11,052	$4,492
Fidelity Advantage Class	11,030	4,158
Institutional Class	5,143	2,426
Fidelity Advantage Institutional Class	2,514	668
Class F	4,358	1,581
Total	$34,097	$13,325

10. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2016	Year ended August 31, 2015	Six months ended February 29, 2016	Year ended August 31, 2015
Investor Class
Shares sold	75,412	621,208	$875,753	$7,202,773
Reinvestment of distributions	7,903	13,464	91,720	157,953
Shares redeemed	(53,145)	(630,565)	(616,723)	(7,314,458)
Net increase (decrease)	30,170	4,107	$350,750	$46,268
Fidelity Advantage Class
Shares sold	122,999	731,960	$1,427,313	$8,499,939
Reinvestment of distributions	7,881	13,152	91,470	154,273
Shares redeemed	(119,924)	(660,828)	(1,391,425)	(7,666,150)
Net increase (decrease)	10,956	84,284	$127,358	$988,062
Institutional Class
Shares sold	45,328	119,500	$525,473	$1,400,628
Reinvestment of distributions	3,917	7,260	45,467	85,167
Shares redeemed	(32,701)	(128,639)	(379,020)	(1,503,380)
Net increase (decrease)	16,544	(1,879)	$191,920	$(17,585)
Fidelity Advantage Institutional Class
Shares sold	18,791	77,901	$218,111	$911,540
Reinvestment of distributions	1,859	2,744	21,580	32,187
Shares redeemed	(28,327)	(26,815)	(328,866)	(314,218)
Net increase (decrease)	(7,677)	53,830	$(89,175)	$629,509
Class F
Shares sold	33,476	69,196	$388,655	$810,742
Reinvestment of distributions	3,373	5,489	39,136	64,373
Shares redeemed	(33,842)	(30,763)	(393,244)	(360,902)
Net increase (decrease)	3,007	43,922	$34,547	$514,213

11. Other.

Mutual funds managed by the investment adviser or its affiliates were the owners of record, in the aggregate, of approximately 38% of the total outstanding shares of the Fund.

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio-^A	Beginning Account Value September 1, 2015	Ending Account Value February 29, 2016	Expenses Paid During Period-^B September 1, 2015 to February 29, 2016
Investor Class	.20%
Actual		$1,000.00	$1,022.50	$1.01
Hypothetical-^C		$1,000.00	$1,023.87	$1.01
Fidelity Advantage Class	.07%
Actual		$1,000.00	$1,023.10	$.35
Hypothetical-^C		$1,000.00	$1,024.52	$.35
Institutional Class	.06%
Actual		$1,000.00	$1,023.20	$.30
Hypothetical-^C		$1,000.00	$1,024.57	$.30
Fidelity Advantage Institutional Class	.05%
Actual		$1,000.00	$1,023.20	$.25
Hypothetical-^C		$1,000.00	$1,024.61	$.25
Class F	.05%
Actual		$1,000.00	$1,023.20	$.25
Hypothetical-^C		$1,000.00	$1,024.61	$.25

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

^B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

^C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Spartan U.S. Bond Index Fund

The Board took into account discussions with representatives of the Investment Advisers about fund investment performance that occur at Board meetings throughout the year. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers the fund's tracking error versus its benchmark index. In its evaluation of fund investment performance at meetings throughout the year, the Board gave particular attention to information indicating underperformance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for such underperformance.

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

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board. Because the vast majority of competitor funds' management fees do not cover non-management expenses, for a more meaningful comparison of management fees, the fund is compared on the basis of a hypothetical "net management fee," which is derived by subtracting payments made by FMR for "fund-level" non-management expenses (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. In this regard, the Board considered that net management fees can vary from year to year because of differences in "fund-level" non-management expenses. The Board noted that, although FMR does not pay transfer agent fees or other "class-level" expenses under the fund's management contract, such expenses may be paid by FMR pursuant to expense limitation arrangements in effect for the fund and, as a result, are also subtracted from the management fee for purposes of calculating the hypothetical "net management fee."

Spartan U.S. Bond Index Fund

The Board noted that the fund's hypothetical net management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

UBI-F-SANN-0416
1.899041.106

Fidelity Advisor® Investment Grade Bond Fund -
Class I

Semi-Annual Report

February 29, 2016

Class I is a class of Fidelity® Investment Grade Bond Fund

Contents

Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Shareholder Expense Example
Board Approval of Investment Advisory Contracts and Management Fees

You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Quality Diversification (% of fund's net assets)

As of February 29, 2016
	U.S. Government and U.S. Government Agency Obligations	48.7%
	AAA	1.7%
	AA	1.3%
	A	7.3%
	BBB	25.4%
	BB and Below	12.3%
	Not Rated	1.0%
	Short-Term Investments and Net Other Assets	2.3%

As of August 31, 2015
	U.S. Government and U.S. Government Agency Obligations	41.7%
	AAA	1.4%
	AA	1.8%
	A	9.9%
	BBB	24.4%
	BB and Below	13.4%
	Not Rated	1.1%
	Short-Term Investments and Net Other Assets	6.3%

Weighted Average Maturity as of February 29, 2016

		6 months ago
Years	8.0	7.7

Duration as of February 29, 2016

		6 months ago
Years	5.3	5.4

Asset Allocation (% of fund's net assets)

As of February 29, 2016^,^*
	Corporate Bonds	38.8%
	U.S. Government and U.S. Government Agency Obligations	48.7%
	Asset-Backed Securities	0.8%
	CMOs and Other Mortgage Related Securities	5.6%
	Municipal Bonds	1.9%
	Other Investments	1.9%
	Short-Term Investments and Net Other Assets (Liabilities)	2.3%

* Foreign investments - 7.2%

** Futures and Swaps - (1.1)%

As of August 31, 2015^,^*
	Corporate Bonds	40.8%
	U.S. Government and U.S. Government Agency Obligations	41.7%
	Asset-Backed Securities	0.9%
	CMOs and Other Mortgage Related Securities	6.5%
	Municipal Bonds	1.8%
	Other Investments	2.0%
	Short-Term Investments and Net Other Assets (Liabilities)	6.3%

* Foreign investments - 8.7%

** Futures and Swaps - (1.1)%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 34.6%
	Principal Amount (000s)	Value (000s)
CONSUMER DISCRETIONARY - 3.0%
Automobiles - 0.6%
General Motors Co.:
3.5% 10/2/18	$5,025	$5,040
6.6% 4/1/36	3,722	3,826
6.75% 4/1/46	6,249	6,534
General Motors Financial Co., Inc.:
2.625% 7/10/17	1,605	1,598
3% 9/25/17	3,673	3,676
3.25% 5/15/18	2,630	2,623
3.5% 7/10/19	5,942	5,941
4.25% 5/15/23	2,950	2,877
4.375% 9/25/21	11,530	11,597
4.75% 8/15/17	2,790	2,859
		46,571
Diversified Consumer Services - 0.1%
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23	4,447	4,716
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp.:
2.75% 12/9/20	1,394	1,434
3.7% 1/30/26	3,675	3,836
4.7% 12/9/35	1,897	1,964
4.875% 12/9/45	2,978	3,129
		10,363
Household Durables - 0.2%
D.R. Horton, Inc. 4% 2/15/20	15,500	15,771
Media - 1.9%
21st Century Fox America, Inc. 7.75% 12/1/45	4,525	5,703
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
4.464% 7/23/22 (a)	7,996	8,122
4.908% 7/23/25 (a)	10,079	10,316
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19	6,291	7,037
Discovery Communications LLC 3.25% 4/1/23	954	876
Time Warner Cable, Inc.:
4% 9/1/21	27,833	28,381
5.5% 9/1/41	3,321	2,957
5.875% 11/15/40	7,141	6,644
6.55% 5/1/37	8,170	8,231
6.75% 7/1/18	5,587	6,088
7.3% 7/1/38	8,218	8,673
8.25% 4/1/19	10,913	12,477
Time Warner, Inc.:
4.9% 6/15/42	15,000	13,161
6.2% 3/15/40	5,000	5,306
Viacom, Inc. 4.25% 9/1/23	13,340	13,037
		137,009
Multiline Retail - 0.1%
Family Tree Escrow LLC 5.25% 3/1/20 (a)	5,575	5,854

TOTAL CONSUMER DISCRETIONARY		220,284

CONSUMER STAPLES - 2.2%
Beverages - 1.5%
Anheuser-Busch InBev Finance, Inc.:
2.65% 2/1/21	15,320	15,593
3.3% 2/1/23	16,500	16,962
3.65% 2/1/26	17,900	18,462
4.7% 2/1/36	15,622	16,381
4.9% 2/1/46	17,867	19,152
Constellation Brands, Inc.:
3.75% 5/1/21	13,390	13,691
3.875% 11/15/19	351	364
4.75% 11/15/24	8,249	8,641
SABMiller Holdings, Inc. 3.75% 1/15/22 (a)	3,930	4,128
		113,374
Food & Staples Retailing - 0.1%
Walgreens Boots Alliance, Inc. 3.3% 11/18/21	4,181	4,209
Food Products - 0.1%
ConAgra Foods, Inc. 1.9% 1/25/18	2,478	2,476
Tobacco - 0.5%
Altria Group, Inc.:
4.75% 5/5/21	6,000	6,642
9.25% 8/6/19	1,776	2,175
Reynolds American, Inc.:
2.3% 6/12/18	2,942	2,973
4% 6/12/22	2,039	2,201
5.7% 8/15/35	1,694	1,913
6.15% 9/15/43	2,440	2,892
6.75% 6/15/17	7,156	7,682
7.25% 6/15/37	9,654	12,101
		38,579

TOTAL CONSUMER STAPLES		158,638

ENERGY - 4.7%
Energy Equipment & Services - 0.3%
DCP Midstream LLC:
4.75% 9/30/21 (a)	4,849	3,291
5.35% 3/15/20 (a)	4,973	3,745
5.85% 5/21/43 (a)(b)	9,697	5,139
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21	3,162	2,949
Halliburton Co.:
3.8% 11/15/25	3,737	3,537
4.85% 11/15/35	3,264	2,853
5% 11/15/45	4,471	3,962
		25,476
Oil, Gas & Consumable Fuels - 4.4%
Anadarko Petroleum Corp. 6.375% 9/15/17	1,571	1,596
Chesapeake Energy Corp.:
5.75% 3/15/23	9,470	1,989
6.125% 2/15/21	60,015	12,603
6.625% 8/15/20	23,170	5,213
8% 12/15/22 (a)	11,962	4,665
Columbia Pipeline Group, Inc.:
2.45% 6/1/18 (a)	1,237	1,187
3.3% 6/1/20 (a)	6,073	5,687
4.5% 6/1/25 (a)	1,849	1,681
5.8% 6/1/45 (a)	2,321	1,964
DCP Midstream Operating LP:
2.5% 12/1/17	3,219	2,938
2.7% 4/1/19	1,510	1,238
3.875% 3/15/23	6,765	4,874
5.6% 4/1/44	5,868	3,586
El Paso Corp. 6.5% 9/15/20	16,220	16,385
Empresa Nacional de Petroleo 4.375% 10/30/24 (a)	2,813	2,723
Enable Midstream Partners LP:
2.4% 5/15/19	1,789	1,378
3.9% 5/15/24	1,887	1,205
Enbridge Energy Partners LP 4.2% 9/15/21	5,694	5,038
Kinder Morgan, Inc.:
3.05% 12/1/19	57,058	52,673
4.3% 6/1/25	12,912	11,678
Marathon Petroleum Corp. 5.125% 3/1/21	3,437	3,441
MPLX LP 4% 2/15/25	949	720
Nakilat, Inc. 6.067% 12/31/33(a)	2,634	2,871
Petrobras Global Finance BV:
5.625% 5/20/43	6,485	3,767
7.25% 3/17/44	69,211	45,091
Petrobras International Finance Co. Ltd. 6.75% 1/27/41	2,000	1,250
Petroleos Mexicanos:
4.875% 1/18/24	4,376	4,058
5.5% 2/4/19 (a)	10,105	10,449
6.375% 2/4/21 (a)	11,660	12,123
6.375% 1/23/45	13,790	11,962
6.5% 6/2/41	34,664	30,289
Phillips 66 Co. 4.3% 4/1/22	4,638	4,730
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22	777	640
Southwestern Energy Co.:
3.3% 1/23/18	2,442	1,758
4.05% 1/23/20	4,431	2,858
4.95% 1/23/25	27,840	16,008
Spectra Energy Capital, LLC 3.3% 3/15/23	6,000	4,987
Spectra Energy Partners, LP:
2.95% 9/25/18	1,066	1,050
4.6% 6/15/21	1,124	1,149
The Williams Companies, Inc.:
3.7% 1/15/23	1,754	1,298
4.55% 6/24/24	19,170	14,378
Western Gas Partners LP 5.375% 6/1/21	6,966	5,951
Williams Partners LP:
4.125% 11/15/20	1,029	845
4.3% 3/4/24	4,326	3,382
		325,356

TOTAL ENERGY		350,832

FINANCIALS - 17.2%
Banks - 9.3%
Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (a)	6,150	6,135
4% 4/14/19 (a)	6,280	5,778
5.75% 9/26/23 (a)	4,053	3,536
Bank of America Corp.:
3.3% 1/11/23	14,964	14,956
3.875% 8/1/25	873	896
3.95% 4/21/25	25,937	25,113
4% 1/22/25	52,710	51,269
4.1% 7/24/23	3,096	3,224
4.2% 8/26/24	3,046	3,050
4.25% 10/22/26	6,065	6,008
4.45% 3/3/26	8,196	8,196
5.65% 5/1/18	3,745	3,998
5.875% 1/5/21	2,580	2,912
Barclays PLC:
2.75% 11/8/19	5,118	5,026
4.375% 1/12/26	9,700	9,361
Capital One NA 2.95% 7/23/21	8,151	8,085
CIT Group, Inc.:
3.875% 2/19/19	5,000	4,975
5.5% 2/15/19 (a)	5,000	5,175
Citigroup, Inc.:
1.85% 11/24/17	12,208	12,169
2.05% 12/7/18	71,510	71,082
4.05% 7/30/22	2,865	2,920
4.4% 6/10/25	6,752	6,732
4.45% 9/29/27	6,820	6,711
4.5% 1/14/22	6,932	7,441
5.3% 5/6/44	11,751	11,776
5.5% 9/13/25	2,420	2,593
Citizens Bank NA 2.3% 12/3/18	5,551	5,558
Citizens Financial Group, Inc.:
4.15% 9/28/22 (a)	5,760	5,898
4.3% 12/3/25	13,920	14,296
Credit Suisse AG 6% 2/15/18	8,864	9,384
Credit Suisse Group Funding Guernsey Ltd.:
3.75% 3/26/25	21,098	19,931
3.8% 9/15/22	10,350	10,144
Credit Suisse New York Branch 1.7% 4/27/18	65,523	64,832
Discover Bank:
4.2% 8/8/23	4,147	4,213
7% 4/15/20	6,703	7,558
Fifth Third Bancorp:
4.5% 6/1/18	2,054	2,162
8.25% 3/1/38	2,385	3,359
HBOS PLC 6.75% 5/21/18 (a)	3,056	3,286
HSBC Holdings PLC:
4.25% 3/14/24	3,112	3,063
5.25% 3/14/44	2,255	2,154
Huntington Bancshares, Inc. 7% 12/15/20	1,597	1,895
ING Bank NV 5.8% 9/25/23 (a)	2,826	3,028
JPMorgan Chase & Co.:
2.2% 10/22/19	2,700	2,698
2.35% 1/28/19	2,547	2,572
3.875% 9/10/24	15,129	15,202
4.125% 12/15/26	18,426	18,694
4.25% 10/15/20	2,763	2,954
4.35% 8/15/21	18,417	19,969
4.625% 5/10/21	2,717	2,969
4.95% 3/25/20	11,055	12,041
PNC Bank NA 2.45% 11/5/20	9,934	10,011
Rabobank Nederland 4.375% 8/4/25	10,398	10,457
Regions Bank 6.45% 6/26/37	9,230	11,063
Regions Financial Corp. 2% 5/15/18	6,934	6,873
Royal Bank of Canada 4.65% 1/27/26	15,136	15,267
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	27,664	26,497
6% 12/19/23	25,238	25,496
6.1% 6/10/23	8,465	8,571
6.125% 12/15/22	28,328	29,735
Societe Generale 4.25% 4/14/25 (a)	17,200	15,857
Wells Fargo & Co. 4.48% 1/16/24	4,327	4,599
		691,403
Capital Markets - 3.0%
Affiliated Managers Group, Inc. 4.25% 2/15/24	2,258	2,327
Deutsche Bank AG 4.5% 4/1/25	12,526	10,617
Deutsche Bank AG London Branch 4.1% 1/13/26	18,090	17,623
Goldman Sachs Group, Inc.:
1.748% 9/15/17	17,322	17,309
2.625% 1/31/19	13,825	13,930
2.9% 7/19/18	9,276	9,406
5.25% 7/27/21	5,652	6,270
5.75% 1/24/22	7,392	8,399
5.95% 1/18/18	4,817	5,136
6.75% 10/1/37	24,283	27,760
Lazard Group LLC:
4.25% 11/14/20	4,700	4,823
6.85% 6/15/17	607	638
Morgan Stanley:
2.375% 7/23/19	12,012	11,986
3.7% 10/23/24	10,321	10,457
3.75% 2/25/23	8,227	8,417
3.875% 4/29/24	9,504	9,767
4.875% 11/1/22	19,366	20,418
5% 11/24/25	12,124	12,760
5.75% 1/25/21	10,138	11,395
6.625% 4/1/18	7,981	8,689
		218,127
Consumer Finance - 0.6%
Discover Financial Services:
3.85% 11/21/22	4,866	4,804
3.95% 11/6/24	4,069	3,984
5.2% 4/27/22	4,096	4,307
Ford Motor Credit Co. LLC 2.943% 1/8/19	17,950	17,989
Hyundai Capital America 2.125% 10/2/17 (a)	1,850	1,851
Synchrony Financial:
1.875% 8/15/17	1,427	1,411
3% 8/15/19	2,095	2,098
3.75% 8/15/21	3,164	3,182
4.25% 8/15/24	3,185	3,188
		42,814
Diversified Financial Services - 0.2%
IntercontinentalExchange, Inc.:
2.75% 12/1/20	2,475	2,516
3.75% 12/1/25	4,425	4,557
MSCI, Inc. 5.25% 11/15/24 (a)	10,000	10,575
		17,648
Insurance - 1.0%
AIA Group Ltd. 2.25% 3/11/19 (a)	1,290	1,291
American International Group, Inc.:
3.3% 3/1/21	3,813	3,855
4.875% 6/1/22	5,750	6,135
Aon Corp. 5% 9/30/20	2,135	2,355
Five Corners Funding Trust 4.419% 11/15/23 (a)	5,900	6,107
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (a)(b)	10,398	10,190
Hartford Financial Services Group, Inc. 5.125% 4/15/22	5,844	6,473
Liberty Mutual Group, Inc. 5% 6/1/21 (a)	5,273	5,688
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	2,941	3,232
Pacific Life Insurance Co. 9.25% 6/15/39 (a)	4,853	6,763
Pacific LifeCorp:
5.125% 1/30/43 (a)	5,696	5,667
6% 2/10/20 (a)	422	472
Pricoa Global Funding I 5.375% 5/15/45 (b)	6,834	6,441
Prudential Financial, Inc. 4.5% 11/16/21	2,796	3,038
TIAA Asset Management Finance LLC:
2.95% 11/1/19 (a)	1,736	1,745
4.125% 11/1/24 (a)	2,517	2,585
Unum Group 5.625% 9/15/20	4,155	4,550
		76,587
Real Estate Investment Trusts - 1.7%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	1,267	1,261
4.6% 4/1/22	1,475	1,572
American Campus Communities Operating Partnership LP 3.75% 4/15/23	1,860	1,861
AvalonBay Communities, Inc. 3.625% 10/1/20	2,721	2,843
Camden Property Trust:
2.95% 12/15/22	2,605	2,559
4.25% 1/15/24	4,889	5,220
Corporate Office Properties LP 5% 7/1/25	3,165	3,192
DDR Corp.:
3.625% 2/1/25	2,957	2,813
4.25% 2/1/26	2,697	2,677
4.625% 7/15/22	9,008	9,360
4.75% 4/15/18	4,483	4,663
7.5% 4/1/17	2,623	2,768
Duke Realty LP:
3.625% 4/15/23	3,352	3,345
3.875% 10/15/22	9,433	9,712
4.375% 6/15/22	2,822	2,973
5.95% 2/15/17	141	146
Equity One, Inc.:
3.75% 11/15/22	12,000	11,999
6% 9/15/17	3,423	3,610
ERP Operating LP 4.625% 12/15/21	7,320	8,091
Federal Realty Investment Trust 5.9% 4/1/20	1,389	1,593
Highwoods/Forsyth LP 3.2% 6/15/21	3,528	3,505
HRPT Properties Trust 6.65% 1/15/18	2,600	2,738
Lexington Corporate Properties Trust 4.4% 6/15/24	2,058	2,081
Omega Healthcare Investors, Inc.:
4.5% 1/15/25	1,964	1,943
4.5% 4/1/27	1,555	1,469
4.95% 4/1/24	1,915	1,958
5.25% 1/15/26	8,152	8,255
Retail Opportunity Investments Partnership LP:
4% 12/15/24	1,392	1,348
5% 12/15/23	1,073	1,112
Weingarten Realty Investors 3.375% 10/15/22	990	987
WP Carey, Inc.:
4% 2/1/25	7,432	7,025
4.6% 4/1/24	11,566	11,710
		126,389
Real Estate Management & Development - 1.4%
Brandywine Operating Partnership LP:
3.95% 2/15/23	14,620	14,525
4.1% 10/1/24	6,040	5,957
4.95% 4/15/18	4,806	5,022
5.7% 5/1/17	2,243	2,330
CBRE Group, Inc. 4.875% 3/1/26	17,030	17,173
Digital Realty Trust LP 3.95% 7/1/22	4,449	4,477
Essex Portfolio LP 3.875% 5/1/24	4,176	4,305
Liberty Property LP:
3.375% 6/15/23	3,567	3,479
4.125% 6/15/22	2,421	2,499
6.625% 10/1/17	3,709	3,947
Mack-Cali Realty LP:
2.5% 12/15/17	4,581	4,538
3.15% 5/15/23	7,757	6,719
4.5% 4/18/22	1,473	1,434
Mid-America Apartments LP:
4% 11/15/25	1,797	1,835
4.3% 10/15/23	1,200	1,269
6.05% 9/1/16	4,436	4,524
Post Apartment Homes LP 3.375% 12/1/22	1,090	1,089
Tanger Properties LP:
3.75% 12/1/24	4,213	4,287
3.875% 12/1/23	2,574	2,640
6.125% 6/1/20	4,725	5,373
Ventas Realty LP 4.125% 1/15/26	2,168	2,198
Ventas Realty LP/Ventas Capital Corp. 4% 4/30/19	2,018	2,108
		101,728

TOTAL FINANCIALS		1,274,696

HEALTH CARE - 0.5%
Biotechnology - 0.1%
AbbVie, Inc. 4.7% 5/14/45	6,560	6,557
Health Care Providers & Services - 0.3%
Express Scripts Holding Co. 4.75% 11/15/21	6,337	6,786
HCA Holdings, Inc.:
3.75% 3/15/19	4,831	4,921
4.75% 5/1/23	300	305
5.875% 3/15/22	355	381
6.5% 2/15/20	4,514	5,000
WellPoint, Inc. 3.3% 1/15/23	9,384	9,237
		26,630
Pharmaceuticals - 0.1%
Perrigo Finance PLC 3.5% 12/15/21	1,504	1,491
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	1,741	1,742
Zoetis, Inc. 3.25% 2/1/23	2,627	2,526
		5,759

TOTAL HEALTH CARE		38,946

INDUSTRIALS - 0.4%
Airlines - 0.1%
Continental Airlines, Inc.:
6.545% 8/2/20	731	775
6.795% 2/2/20	40	41
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,252	1,282
8.36% 1/20/19	3,612	3,728
		5,826
Building Products - 0.0%
Masco Corp. 4.45% 4/1/25	2,260	2,244
Trading Companies & Distributors - 0.3%
Air Lease Corp.:
2.125% 1/15/18	3,060	2,987
3.75% 2/1/22	6,348	5,898
3.875% 4/1/21	5,850	5,660
4.25% 9/15/24	5,062	4,695
		19,240
Transportation Infrastructure - 0.0%
BNSF Funding Trust I 6.613% 12/15/55 (b)	2,984	3,238

TOTAL INDUSTRIALS		30,548

INFORMATION TECHNOLOGY - 0.4%
Software - 0.1%
Autodesk, Inc. 3.125% 6/15/20	10,043	10,085
Technology Hardware, Storage & Peripherals - 0.3%
Hewlett Packard Enterprise Co.:
3.6% 10/15/20 (a)	6,891	6,872
4.4% 10/15/22 (a)	6,890	6,733
4.9% 10/15/25 (a)	6,891	6,537
		20,142

TOTAL INFORMATION TECHNOLOGY		30,227

MATERIALS - 1.2%
Chemicals - 0.1%
The Dow Chemical Co. 4.125% 11/15/21	4,654	4,917
Metals & Mining - 1.1%
Alcoa, Inc.:
5.125% 10/1/24	20,085	18,152
5.4% 4/15/21	9,855	9,722
Anglo American Capital PLC:
3.625% 5/14/20 (a)	6,478	5,150
4.125% 4/15/21 (a)	6,319	4,850
4.875% 5/14/25 (a)	18,378	13,967
Barrick Gold Corp. 4.1% 5/1/23	19,486	18,194
BHP Billiton Financial (U.S.A.) Ltd.:
6.25% 10/19/75 (a)(b)	2,868	2,832
6.75% 10/19/75 (a)(b)	7,123	6,918
		79,785

TOTAL MATERIALS		84,702

TELECOMMUNICATION SERVICES - 3.2%
Diversified Telecommunication Services - 3.2%
AT&T, Inc. 5.55% 8/15/41	27,220	26,744
BellSouth Capital Funding Corp. 7.875% 2/15/30	222	263
CenturyLink, Inc.:
5.15% 6/15/17	528	541
6% 4/1/17	1,320	1,362
6.15% 9/15/19	3,260	3,350
Embarq Corp. 7.995% 6/1/36	11,427	10,856
Verizon Communications, Inc.:
3.45% 3/15/21	15,886	16,513
4.5% 9/15/20	60,362	65,645
5.012% 8/21/54	47,470	44,150
6.1% 4/15/18	6,019	6,540
6.55% 9/15/43	50,542	61,288
		237,252
UTILITIES - 1.8%
Electric Utilities - 1.1%
American Transmission Systems, Inc. 5% 9/1/44 (a)	429	430
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (a)	8,443	9,459
6.4% 9/15/20 (a)	11,231	12,822
Entergy Corp. 4% 7/15/22	6,700	7,036
FirstEnergy Corp.:
4.25% 3/15/23	9,775	10,204
7.375% 11/15/31	13,700	17,027
FirstEnergy Solutions Corp. 6.05% 8/15/21	9,083	9,648
IPALCO Enterprises, Inc. 3.45% 7/15/20	10,770	10,730
Pennsylvania Electric Co. 6.05% 9/1/17	4,923	5,231
		82,587
Gas Utilities - 0.1%
Southern Natural Gas Co. 5.9% 4/1/17 (a)	2,894	2,927
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	1,522	1,425
		4,352
Multi-Utilities - 0.6%
Dominion Resources, Inc.:
2.9031% 9/30/66 (b)	12,726	8,553
7.5% 6/30/66 (b)	3,654	3,060
NiSource Finance Corp.:
5.45% 9/15/20	1,461	1,617
5.95% 6/15/41	4,935	5,770
Puget Energy, Inc.:
5.625% 7/15/22	7,175	8,056
6% 9/1/21	6,916	7,877
6.5% 12/15/20	2,216	2,586
Sempra Energy 6% 10/15/39	4,097	4,504
Wisconsin Energy Corp. 6.25% 5/15/67 (b)	4,001	2,961
		44,984

TOTAL UTILITIES		131,923

TOTAL NONCONVERTIBLE BONDS
(Cost $2,712,697)		2,558,048

U.S. Government and Government Agency Obligations - 25.4%
U.S. Treasury Inflation-Protected Obligations - 5.4%
U.S. Treasury Inflation-Indexed Bonds 0.75% 2/15/45	128,537	119,672
U.S. Treasury Inflation-Indexed Notes 0.375% 7/15/25	282,040	283,265

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS		402,937

U.S. Treasury Obligations - 20.0%
U.S. Treasury Bonds:
2.5% 2/15/45	$70,150	$68,377
3% 5/15/45	192,959	208,343
3% 11/15/45	34,600	37,394
U.S. Treasury Notes:
0.5% 4/30/17	385,450	384,396
0.875% 11/30/17	631,950	632,860
2% 8/15/25 (c)	144,457	147,702

TOTAL U.S. TREASURY OBLIGATIONS		1,479,072

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $1,839,511)		1,882,009

U.S. Government Agency - Mortgage Securities - 0.5%
Fannie Mae - 0.2%
2.302% 6/1/36 (b)	117	123
2.5% 4/1/27 to 3/1/43	1,393	1,427
2.503% 2/1/35 (b)	1,637	1,726
2.628% 7/1/37 (b)	184	195
3% 10/1/42 to 1/1/43	2,630	2,703
3.5% 11/1/25 to 9/1/42	6,114	6,447
4% 8/1/32 to 12/1/45	5,032	5,406
5.5% 4/1/39	742	847
6% 3/1/22	40	43

TOTAL FANNIE MAE		18,917

Freddie Mac - 0.2%
3% 11/1/42 to 7/1/45	1,172	1,203
3.25% 10/1/35 (b)	111	118
3.5% 3/1/45 to 6/1/45	2,469	2,596
4% 6/1/33	1,431	1,542
4.5% 7/1/25 to 3/1/44	2,540	2,758
5% 1/1/41 to 7/1/41	2,487	2,757
5.5% 11/1/33 to 8/1/38	235	266
6% 7/1/37 to 8/1/37	629	722
6.5% 9/1/39	660	767

TOTAL FREDDIE MAC		12,729

Ginnie Mae - 0.1%
3% 12/20/42 to 3/20/45	1,777	1,844
3.5% 12/20/41 to 4/20/45	2,701	2,857
4% 11/20/40 to 11/20/41	1,341	1,440
4.5% 5/20/41	806	875
5% 4/15/40	1,247	1,409

TOTAL GINNIE MAE		8,425

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $39,370)		40,071

Asset-Backed Securities - 0.8%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1266% 4/25/35 (b)	$421	$376
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.0765% 3/25/34 (b)	122	116
Airspeed Ltd. Series 2007-1A Class C1, 2.927% 6/15/32 (a)(b)	4,712	2,026
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.4858% 12/25/33 (b)	29	27
Series 2004-R2 Class M3, 1.2608% 4/25/34 (b)	57	41
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 1.2158% 3/25/34 (b)	30	27
Series 2004-W7 Class M1, 1.2608% 5/25/34 (b)	781	714
Series 2006-W4 Class A2C, 0.5958% 5/25/36 (b)	724	257
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5758% 12/25/36 (b)	1,140	776
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.6858% 3/25/32 (b)	16	15
Series 2004-3 Class M4, 1.8908% 4/25/34 (b)	40	35
Series 2004-4 Class M2, 1.2308% 6/25/34 (b)	62	56
Fannie Mae Series 2004-T5 Class AB3, 1.1189% 5/28/35 (b)	25	21
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6015% 8/25/34 (b)	231	218
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.2515% 3/25/34 (b)	6	5
Fremont Home Loan Trust Series 2005-A Class M4, 1.4465% 1/25/35 (b)	220	118
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0091% 2/25/47 (a)(b)	930	823
GE Business Loan Trust Series 2006-2A:
Class A, 0.6093% 11/15/34 (a)(b)	394	373
Class B, 0.7105% 11/15/34 (a)(b)	143	126
Class C, 0.8105% 11/15/34 (a)(b)	236	205
Class D, 1.1805% 11/15/34 (a)(b)	113	94
Grain Spectrum Funding II LLC Series 2014-1 3.29% 10/10/34 (a)	5,126	5,115
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (a)	142	4
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.7558% 8/25/33 (b)	119	110
Series 2003-3 Class M1, 1.7258% 8/25/33 (b)	277	258
Series 2003-5 Class A2, 1.1358% 12/25/33 (b)	21	19
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6165% 1/25/37 (b)	913	586
Invitation Homes Trust Series 2015-SFR3 Class E, 4.1755% 8/17/32 (a)(b)	3,002	2,796
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.5658% 11/25/36 (b)	30	30
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.9331% 12/27/29 (b)	52	52
Series 2006-A Class 2C, 1.7531% 3/27/42 (b)	1,605	823
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7265% 5/25/37 (b)	198	6
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.1858% 7/25/34 (b)	51	42
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.4015% 7/25/34 (b)	127	119
Series 2006-FM1 Class A2B, 0.5458% 4/25/37 (b)	75	74
Series 2006-OPT1 Class A1A, 0.9465% 6/25/35 (b)	841	805
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 1.1158% 8/25/34 (b)	36	32
Series 2004-NC6 Class M3, 2.6108% 7/25/34 (b)	343	302
Series 2004-NC8 Class M6, 2.3108% 9/25/34 (b)	380	350
Series 2005-NC1 Class M1, 1.0958% 1/25/35 (b)	155	138
Series 2005-NC2 Class B1, 2.1908% 3/25/35 (b)	106	2
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (a)	8,220	8,220
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.9365% 9/25/35 (b)	903	822
Park Place Securities, Inc. Series 2004-WCW1:
Class M3, 2.3015% 9/25/34 (b)	337	307
Class M4, 2.6015% 9/25/34 (b)	433	292
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2265% 4/25/33 (b)	3	3
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.462% 6/15/33 (b)	357	348
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.1608% 9/25/34 (b)	33	27
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2865% 9/25/34 (b)	18	15
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1717% 4/6/42 (a)(b)	1,761	863
Truman Capital Mortgage Loan Trust Series 2014-NPL3 Class A1, 3.125% 4/25/53 (a)	1,057	1,056
Vericrest Opportunity Loan Transferee Series 2014-NPL9 Class A1, 3.375% 11/25/54 (a)	4,465	4,427
Vericrest Opportunity Loan Trust:
Series 2014-NP10 Class A1, 3.375% 10/25/54 (a)	4,305	4,267
Series 2014-NP11 Class A1, 3.875% 4/25/55 (a)	5,297	5,268
Series 2014-NPL7 Class A1, 3.375% 8/27/57 (a)	16,274	16,028
TOTAL ASSET-BACKED SECURITIES
(Cost $59,766)		60,055

Collateralized Mortgage Obligations - 0.3%
Private Sponsor - 0.3%
CSMC Series 2014-3R:
Class 2A1, 1.1216% 5/27/37 (a)(b)	8,034	7,580
Class AA1, 0.7754% 5/27/37 (a)(b)	5,753	5,298
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.6557% 10/25/34 (b)	236	227
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5961% 8/25/36 (b)	595	511
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6365% 5/25/47 (b)	214	197
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6058% 2/25/37 (b)	419	371
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (a)	6,253	6,250
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7165% 7/25/35 (b)	545	515
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.7735% 6/10/35 (a)(b)	183	163
Class B6, 3.2735% 6/10/35 (a)(b)	243	219
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (b)	14	14
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.7237% 4/25/33 (b)	63	61
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $21,198)		21,406

Commercial Mortgage Securities - 5.3%
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5885% 2/14/43 (b)(d)	266	2
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-3 Class A4, 5.889% 7/10/44 (b)	3,835	3,838
Series 2006-6 Class A3, 5.369% 10/10/45	377	377
Series 2007-2 Class A4, 5.79% 4/10/49 (b)	4,000	4,057
Series 2007-3 Class A4, 5.7423% 6/10/49 (b)	1,836	1,885
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.7108% 12/25/33 (a)(b)	23	20
Series 2005-3A:
Class A2, 0.8358% 11/25/35 (a)(b)	185	159
Class M1, 0.8758% 11/25/35 (a)(b)	50	42
Class M2, 0.9258% 11/25/35 (a)(b)	37	30
Class M3, 0.9458% 11/25/35 (a)(b)	33	25
Class M4, 1.0358% 11/25/35 (a)(b)	42	31
Series 2005-4A:
Class A2, 0.8258% 1/25/36 (a)(b)	466	398
Class B1, 1.8358% 1/25/36 (a)(b)	25	17
Class M1, 0.8858% 1/25/36 (a)(b)	150	119
Class M2, 0.9058% 1/25/36 (a)(b)	57	44
Class M3, 0.9358% 1/25/36 (a)(b)	82	61
Class M4, 1.0458% 1/25/36 (a)(b)	46	33
Class M5, 1.0858% 1/25/36 (a)(b)	46	33
Class M6, 1.1358% 1/25/36 (a)(b)	49	35
Series 2006-1:
Class A2, 0.7958% 4/25/36 (a)(b)	91	77
Class M1, 0.8158% 4/25/36 (a)(b)	55	44
Class M2, 0.8358% 4/25/36 (a)(b)	58	46
Class M3, 0.8558% 4/25/36 (a)(b)	50	39
Class M4, 0.9558% 4/25/36 (a)(b)	29	22
Class M5, 0.9958% 4/25/36 (a)(b)	28	19
Class M6, 1.0758% 4/25/36 (a)(b)	55	38
Series 2006-2A:
Class M1, 0.7458% 7/25/36 (a)(b)	79	61
Class M2, 0.7658% 7/25/36 (a)(b)	55	43
Class M3, 0.7858% 7/25/36 (a)(b)	46	35
Class M4, 0.8558% 7/25/36 (a)(b)	53	41
Class M5, 0.9058% 7/25/36 (a)(b)	38	28
Series 2006-3A Class M4, 0.8658% 10/25/36 (a)(b)	24	3
Series 2006-4A:
Class A2, 0.7058% 12/25/36 (a)(b)	1,386	1,178
Class M1, 0.7258% 12/25/36 (a)(b)	111	84
Class M2, 0.7458% 12/25/36 (a)(b)	74	51
Class M3, 0.7758% 12/25/36 (a)(b)	75	45
Series 2007-1 Class A2, 0.7058% 3/25/37 (a)(b)	284	240
Series 2007-2A:
Class A1, 0.7058% 7/25/37 (a)(b)	828	695
Class A2, 0.7558% 7/25/37 (a)(b)	775	614
Class M1, 0.8058% 7/25/37 (a)(b)	264	200
Class M2, 0.8458% 7/25/37 (a)(b)	172	121
Class M3, 0.9258% 7/25/37 (a)(b)	133	84
Series 2007-3:
Class A2, 0.7258% 7/25/37 (a)(b)	286	228
Class M1, 0.7458% 7/25/37 (a)(b)	152	114
Class M2, 0.7758% 7/25/37 (a)(b)	162	116
Class M3, 0.8058% 7/25/37 (a)(b)	261	128
Class M4, 0.9358% 7/25/37 (a)(b)	411	198
Class M5, 1.0358% 7/25/37 (a)(b)	194	41
Series 2007-4A Class M1, 1.3716% 9/25/37 (a)(b)	105	26
C-BASS Trust floater Series 2006-SC1 Class A, 0.7058% 5/25/36 (a)(b)	115	110
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.4255% 12/15/27 (a)(b)	2,535	2,376
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A5, 5.617% 10/15/48	1,951	1,963
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.2805% 4/15/17 (a)(b)	100	99
Credit Suisse Commercial Mortgage Trust:
sequential payer Series 2007-C3 Class A4, 5.8888% 6/15/39 (b)	9,617	9,855
Series 2007-C5 Class A4, 5.695% 9/15/40 (b)	731	754
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.0141% 9/15/34 (a)(b)(d)	1	0
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	13,416	13,627
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	17,140	17,505
Series 2006-GG7 Class A4, 6.0483% 7/10/38 (b)	895	897
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A1A, 5.547% 11/10/39	2,232	2,256
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (a)	1,300	1,296
Class DFX, 4.4065% 11/5/30 (a)	11,967	11,930
JPMorgan Chase Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-CB17 Class A4, 5.429% 12/12/43	3,665	3,712
Series 2007-CB18 Class A4, 5.44% 6/12/47	11,989	12,232
Series 2007-LD11 Class A4, 5.9599% 6/15/49 (b)	97,451	99,394
Series 2007-CB19:
Class B, 5.8888% 2/12/49 (b)	93	22
Class C, 5.8888% 2/12/49 (b)	245	16
Class D, 5.8888% 2/12/49 (b)	176	0
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (b)	60	0
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9% 7/15/44 (b)	3,666	3,794
LB-UBS Commercial Mortgage Trust sequential payer Series 2006-C7 Class A2, 5.3% 11/15/38	135	136
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.9178% 1/12/44 (a)(b)	288	288
Series 2007-C1 Class A4, 6.0317% 6/12/50 (b)	4,145	4,262
Series 2008-C1 Class A4, 5.69% 2/12/51	1,652	1,735
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4 Class A3, 5.172% 12/12/49 (b)	2,436	2,464
Series 2007-6 Class A4, 5.485% 3/12/51(b)	26,699	27,310
Series 2007-7 Class A4, 5.81% 6/12/50 (b)	4,641	4,799
Series 2007-6 Class B, 5.635% 3/12/51 (b)	1,095	307
Series 2007-8 Class A3, 6.0719% 8/12/49 (b)	943	979
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.631% 7/15/19 (a)(b)	227	224
Series 2007-XLFA:
Class D, 0.6155% 10/15/20 (a)(b)	176	176
Class E, 0.6755% 10/15/20 (a)(b)	528	528
Class F, 0.7255% 10/15/20 (a)(b)	397	397
Class G, 0.7655% 10/15/20 (a)(b)	491	491
Class H, 0.8555% 10/15/20 (a)(b)	309	309
Class J, 1.0055% 10/15/20 (a)(b)	179	173
sequential payer Series 2007-IQ15 Class A4, 6.1142% 6/11/49 (b)	19,548	20,249
Series 2007-IQ14 Class A4, 5.692% 4/15/49	19,062	19,513
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (a)	175	53
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	30,892	31,636
Series 2007-C31 Class A4, 5.509% 4/15/47	32,250	32,868
Series 2007-C32 Class A3, 5.8991% 6/15/49 (b)	16,199	16,549
Series 2007-C33 Class A4, 6.1491% 2/15/51 (b)	29,756	30,733
Series 2007-C32:
Class D, 5.8991% 6/15/49 (b)	823	562
Class E, 5.8991% 6/15/49 (b)	1,297	650
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $419,085)		395,094

Municipal Securities - 1.9%
Chicago Gen. Oblig.:
(Taxable Proj.):	$	$
Series 2010 C1, 7.781% 1/1/35	1,510	1,638
Series 2012 B, 5.432% 1/1/42	5,580	4,614
6.314% 1/1/44	29,170	26,396
Illinois Gen. Oblig.:
Series 2003:
4.35% 6/1/18	3,515	3,603
4.95% 6/1/23	10,235	10,658
5.1% 6/1/33	40,020	37,207
Series 2010 5, 6.2% 7/1/21	3,205	3,491
Series 2010-1, 6.63% 2/1/35	4,420	4,788
Series 2010-3:
6.725% 4/1/35	5,880	6,442
7.35% 7/1/35	3,010	3,310
Series 2011:
5.365% 3/1/17	195	202
5.665% 3/1/18	7,610	8,035
5.877% 3/1/19	18,645	20,154
Series 2013:
1.84% 12/1/16	4,160	4,183
3.6% 12/1/19	3,585	3,621
TOTAL MUNICIPAL SECURITIES
(Cost $145,006)		138,342

Foreign Government and Government Agency Obligations - 0.1%
United Mexican States 3.5% 1/21/21 (Cost $6,958)	$6,991	$7,201

Bank Notes - 0.7%
Discover Bank:
(Delaware) 3.2% 8/9/21	$8,981	$8,921
3.1% 6/4/20	8,842	8,794
8.7% 11/18/19	1,409	1,615
KeyBank NA 6.95% 2/1/28	1,344	1,740
Marshall & Ilsley Bank 5% 1/17/17	6,983	7,167
Regions Bank 7.5% 5/15/18	18,321	20,194
TOTAL BANK NOTES
(Cost $47,144)		48,431
	Shares	Value (000s)

Fixed-Income Funds - 27.5%
Fidelity Mortgage Backed Securities Central Fund (e)	14,889,461	$1,639,032
Fidelity Specialized High Income Central Fund (e)	4,192,663	397,800
TOTAL FIXED-INCOME FUNDS
(Cost $2,024,960)		2,036,832
	Principal Amount (000s)	Value (000s)

Preferred Securities - 0.2%
FINANCIALS - 0.2%
Banks - 0.2%
Barclays Bank PLC 7.625% 11/21/22 (Cost $11,925)	10,602	10,946
	Shares	Value (000s)

Money Market Funds - 2.5%
Fidelity Cash Central Fund, 0.40% (f)
(Cost $185,683)	185,682,900	185,683
TOTAL INVESTMENT PORTFOLIO - 99.8%
(Cost $7,513,303)		7,384,118
NET OTHER ASSETS (LIABILITIES) - 0.2%		17,362
NET ASSETS - 100%		$7,401,480

TBA Sale Commitments
	Principal Amount (000s)	Value (000s)
Fannie Mae
3.5% 3/1/46	$(500)	$(524)
4% 3/1/46	(1,600)	(1,707)
TOTAL TBA SALE COMMITMENTS
(Proceeds $2,233)		$(2,231)

Swaps

Underlying Reference	Rating(1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/(Paid)	Notional Amount (000s)(2)	Value (000s)(1)	Upfront Premium Received/(Paid) (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Credit Default Swaps
Buy Protection
Deutsche Bank AG		Dec. 2018	Credit Suisse International	(1%)	USD 6,500	$175	$(188)	$(13)
Deutsche Bank AG		Mar. 2019	JPMorgan Chase Bank, N.A.	(1%)	USD 4,085	121	(144)	(23)
National Australia Bank Ltd		Dec. 2018	Credit Suisse International	(1%)	USD 6,500	(15)	(312)	(327)
National Australia Bank Ltd		Dec. 2018	Credit Suisse International	(1%)	USD 6,500	(15)	(268)	(283)
Societe Generale		Dec. 2017	Credit Suisse International	(3%)	USD 3,825	(183)	21	(162)
Societe Generale		Dec. 2017	Credit Suisse International	(3%)	USD 3,823	(183)	57	(126)
UFJ Finance Aruba AEC		Mar. 2018	Credit Suisse International	(1%)	USD 5,500	(32)	(50)	(82)
UFJ Finance Aruba AEC		Mar. 2018	Credit Suisse International	(1%)	USD 3,823	(23)	(79)	(102)
TOTAL BUY PROTECTION						(155)	(963)	(1,118)
Sell Protection
Countrywide Home Loans Inc Series 2003-BC1 Class B1	Caa2	Apr. 2032	Merrill Lynch International	4.29%	USD 50	(5)	0	(5)
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	USD 131	(10)	0	(10)
TOTAL SELL PROTECTION						(15)	0	(15)

TOTAL CREDIT DEFAULT SWAPS						$(170)	$(963)	$(1,133)

(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.

For the period, the average monthly notional amount for swaps in the aggregate was $40,850,000.

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

Legend

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

(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 $2,107,000.

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

(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.

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

Affiliated Central Funds

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	$282
Fidelity Mortgage Backed Securities Central Fund	18,347
Fidelity Specialized High Income Central Fund	11,533
Total	$30,162

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	$435,665	$--	$1,639,032	28.3%
Fidelity Specialized High Income Central Fund	413,534	11,533	--	397,800	50.1%
Total	$1,604,022	$447,198	$--	$2,036,832

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
(Amounts in thousands)
Investments in Securities:
Corporate Bonds	$2,558,048	$--	$2,558,048	$--
U.S. Government and Government Agency Obligations	1,882,009	--	1,882,009	--
U.S. Government Agency - Mortgage Securities	40,071	--	40,071	--
Asset-Backed Securities	60,055	--	55,804	4,251
Collateralized Mortgage Obligations	21,406	--	21,406	--
Commercial Mortgage Securities	395,094	--	395,038	56
Municipal Securities	138,342	--	138,342	--
Foreign Government and Government Agency Obligations	7,201	--	7,201	--
Bank Notes	48,431	--	48,431	--
Fixed-Income Funds	2,036,832	2,036,832	--	--
Preferred Securities	10,946	--	10,946	--
Money Market Funds	185,683	185,683	--	--
Total Investments in Securities:	$7,384,118	$2,222,515	$5,157,296	$4,307
Derivative Instruments:
Assets
Swaps	$296	$--	$296	$--
Total Assets	$296	$--	$296	$--
Liabilities
Swaps	$(466)	$--	$(466)	$--
Total Liabilities	$(466)	$--	$(466)	$--
Total Derivative Instruments:	$(170)	$--	$(170)	$--
Other Financial Instruments:
TBA Sale Commitments	$(2,231)	$--	$(2,231)	$--
Total Other Financial Instruments:	$(2,231)	$--	$(2,231)	$--

Value of Derivative Instruments

Primary Risk Exposure / Derivative Type	Value (000s)
	Asset	Liability
Credit Risk
Swaps(a)	$296	$(466)
Total Credit Risk	296	(466)
Total Value of Derivatives	$296	$(466)

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

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)		February 29, 2016 (Unaudited)
Assets
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $5,302,660)	$5,161,603
Fidelity Central Funds (cost $2,210,643)	2,222,515
Total Investments (cost $7,513,303)		$7,384,118
Cash		404
Receivable for investments sold		1,042
Receivable for TBA sale commitments		2,233
Receivable for fund shares sold		10,158
Interest receivable		42,152
Distributions receivable from Fidelity Central Funds		5,415
Bi-lateral OTC swaps, at value		296
Other receivables		123
Total assets		7,445,941
Liabilities
Payable for investments purchased	$32,557
TBA sale commitments, at value	2,231
Payable for fund shares redeemed	5,001
Distributions payable	1,273
Bi-lateral OTC swaps, at value	466
Accrued management fee	1,892
Distribution and service plan fees payable	44
Other affiliated payables	873
Other payables and accrued expenses	124
Total liabilities		44,461
Net Assets		$7,401,480
Net Assets consist of:
Paid in capital		$7,683,956
Undistributed net investment income		2,911
Accumulated undistributed net realized gain (loss) on investments		(155,071)
Net unrealized appreciation (depreciation) on investments		(130,316)
Net Assets		$7,401,480
Calculation of Maximum Offering Price
Class A:
Net Asset Value and redemption price per share ($75,327 ÷ 9,870.1 shares)		$7.63
Maximum offering price per share (100/96.00 of $7.63)		$7.95
Class T:
Net Asset Value and redemption price per share ($19,505 ÷ 2,554.5 shares)		$7.64
Maximum offering price per share (100/96.00 of $7.64)		$7.96
Class B:
Net Asset Value and offering price per share ($1,342 ÷ 175.6 shares)^(a)		$7.64
Class C:
Net Asset Value and offering price per share ($28,423 ÷ 3,719.5 shares)^(a)		$7.64
Investment Grade Bond:
Net Asset Value, offering price and redemption price per share ($6,771,901 ÷ 886,676.1 shares)		$7.64
Class I:
Net Asset Value, offering price and redemption price per share ($504,982 ÷ 66,047.6 shares)		$7.65

(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

Amounts in thousands		Six months ended February 29, 2016 (Unaudited)
Investment Income
Dividends		$404
Interest		88,599
Income from Fidelity Central Funds		30,162
Total income		119,165
Expenses
Management fee	$11,030
Transfer agent fees	3,726
Distribution and service plan fees	263
Fund wide operations fee	1,368
Independent trustees' compensation	15
Miscellaneous	5
Total expenses before reductions	16,407
Expense reductions	(1)	16,406
Net investment income (loss)		102,759
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(2,748)
Swaps	(447)
Total net realized gain (loss)		(3,195)
Change in net unrealized appreciation (depreciation) on: Investment securities	(101,267)
Swaps	984
Delayed delivery commitments	3
Total change in net unrealized appreciation (depreciation)		(100,280)
Net gain (loss)		(103,475)
Net increase (decrease) in net assets resulting from operations		$(716)

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 29, 2016 (Unaudited)	Year ended August 31, 2015
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$102,759	$183,601
Net realized gain (loss)	(3,195)	36,769
Change in net unrealized appreciation (depreciation)	(100,280)	(212,553)
Net increase (decrease) in net assets resulting from operations	(716)	7,817
Distributions to shareholders from net investment income	(101,578)	(172,192)
Share transactions - net increase (decrease)	678,140	918,360
Total increase (decrease) in net assets	575,846	753,985
Net Assets
Beginning of period	6,825,634	6,071,649
End of period (including undistributed net investment income of $2,911 and undistributed net investment income of $1,730, respectively)	$7,401,480	$6,825,634

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Investment Grade Bond Fund Class A

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$7.74	$7.93	$7.64	$7.98	$7.66	$7.47
Income from Investment Operations
Net investment income (loss)^A	.099	.203	.197	.152	.207	.220
Net realized and unrealized gain (loss)	(.111)	(.204)	.270	(.350)	.315	.183
Total from investment operations	(.012)	(.001)	.467	(.198)	.522	.403
Distributions from net investment income	(.098)	(.189)	(.177)	(.142)	(.202)	(.213)
Net asset value, end of period	$7.63	$7.74	$7.93	$7.64	$7.98	$7.66
Total Return^B,^C,^D	(.15)%	(.04)%	6.17%	(2.52)%	6.91%	5.49%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.78%^G	.77%	.78%	.77%	.78%	.78%
Expenses net of fee waivers, if any	.78%^G	.77%	.78%	.77%	.78%	.78%
Expenses net of all reductions	.78%^G	.77%	.78%	.77%	.78%	.78%
Net investment income (loss)	2.60%^G	2.57%	2.52%	1.91%	2.66%	2.94%
Supplemental Data
Net assets, end of period (in millions)	$75	$78	$70	$82	$110	$101
Portfolio turnover rate^H	72%^G	182%	218%	307%	276%	275%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the sales charges.

^E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Investment Grade Bond Fund Class T

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$7.75	$7.94	$7.64	$7.98	$7.66	$7.47
Income from Investment Operations
Net investment income (loss)^A	.098	.201	.196	.150	.205	.218
Net realized and unrealized gain (loss)	(.112)	(.205)	.280	(.349)	.314	.182
Total from investment operations	(.014)	(.004)	.476	(.199)	.519	.400
Distributions from net investment income	(.096)	(.186)	(.176)	(.141)	(.199)	(.210)
Net asset value, end of period	$7.64	$7.75	$7.94	$7.64	$7.98	$7.66
Total Return^B,^C,^D	(.17)%	(.07)%	6.29%	(2.54)%	6.88%	5.46%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.82%^G	.80%	.79%	.79%	.81%	.81%
Expenses net of fee waivers, if any	.82%^G	.80%	.79%	.79%	.81%	.81%
Expenses net of all reductions	.82%^G	.80%	.79%	.79%	.81%	.81%
Net investment income (loss)	2.56%^G	2.54%	2.51%	1.90%	2.63%	2.91%
Supplemental Data
Net assets, end of period (in millions)	$20	$21	$27	$41	$39	$38
Portfolio turnover rate^H	72%^G	182%	218%	307%	276%	275%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the sales charges.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Investment Grade Bond Fund Class B

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$7.75	$7.94	$7.65	$7.99	$7.67	$7.48
Income from Investment Operations
Net investment income (loss)^A	.071	.146	.140	.094	.151	.165
Net realized and unrealized gain (loss)	(.111)	(.205)	.270	(.350)	.314	.182
Total from investment operations	(.040)	(.059)	.410	(.256)	.465	.347
Distributions from net investment income	(.070)	(.131)	(.120)	(.084)	(.145)	(.157)
Net asset value, end of period	$7.64	$7.75	$7.94	$7.65	$7.99	$7.67
Total Return^B,^C,^D	(.51)%	(.76)%	5.40%	(3.22)%	6.14%	4.71%
Ratios to Average Net Assets^E,^F
Expenses before reductions	1.51%^G	1.50%	1.50%	1.50%	1.50%	1.51%
Expenses net of fee waivers, if any	1.51%^G	1.50%	1.50%	1.50%	1.50%	1.51%
Expenses net of all reductions	1.51%^G	1.50%	1.50%	1.50%	1.50%	1.51%
Net investment income (loss)	1.87%^G	1.84%	1.80%	1.18%	1.94%	2.21%
Supplemental Data
Net assets, end of period (in millions)	$1	$2	$3	$4	$7	$8
Portfolio turnover rate^H	72%^G	182%	218%	307%	276%	275%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the contingent deferred sales charge.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Investment Grade Bond Fund Class C

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$7.75	$7.94	$7.65	$7.99	$7.67	$7.48
Income from Investment Operations
Net investment income (loss)^A	.070	.143	.139	.092	.149	.164
Net realized and unrealized gain (loss)	(.111)	(.204)	.270	(.349)	.315	.182
Total from investment operations	(.041)	(.061)	.409	(.257)	.464	.346
Distributions from net investment income	(.069)	(.129)	(.119)	(.083)	(.144)	(.156)
Net asset value, end of period	$7.64	$7.75	$7.94	$7.65	$7.99	$7.67
Total Return^B,^C,^D	(.53)%	(.79)%	5.38%	(3.24)%	6.11%	4.70%
Ratios to Average Net Assets^E,^F
Expenses before reductions	1.54%^G	1.52%	1.51%	1.52%	1.52%	1.53%
Expenses net of fee waivers, if any	1.54%^G	1.52%	1.51%	1.52%	1.52%	1.53%
Expenses net of all reductions	1.54%^G	1.52%	1.51%	1.52%	1.52%	1.53%
Net investment income (loss)	1.84%^G	1.81%	1.78%	1.16%	1.92%	2.19%
Supplemental Data
Net assets, end of period (in millions)	$28	$28	$36	$29	$44	$31
Portfolio turnover rate^H	72%^G	182%	218%	307%	276%	275%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the contingent deferred sales charge.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Investment Grade Bond Fund

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$7.75	$7.94	$7.65	$7.98	$7.67	$7.47
Income from Investment Operations
Net investment income (loss)^A	.111	.228	.222	.177	.233	.245
Net realized and unrealized gain (loss)	(.111)	(.204)	.270	(.339)	.304	.192
Total from investment operations	–	.024	.492	(.162)	.537	.437
Distributions from net investment income	(.110)	(.214)	(.202)	(.168)	(.227)	(.237)
Net asset value, end of period	$7.64	$7.75	$7.94	$7.65	$7.98	$7.67
Total Return^B,^C	.01%	.28%	6.51%	(2.08)%	7.12%	5.97%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of fee waivers, if any	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of all reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Net investment income (loss)	2.92%^F	2.89%	2.85%	2.23%	2.99%	3.27%
Supplemental Data
Net assets, end of period (in millions)	$6,772	$6,207	$5,520	$5,395	$4,876	$4,670
Portfolio turnover rate^G	72%^F	182%	218%	307%	276%	275%^H

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^H Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Investment Grade Bond Fund Class I

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$7.76	$7.95	$7.65	$7.99	$7.67	$7.48
Income from Investment Operations
Net investment income (loss)^A	.110	.224	.218	.171	.229	.240
Net realized and unrealized gain (loss)	(.112)	(.204)	.280	(.348)	.315	.184
Total from investment operations	(.002)	.020	.498	(.177)	.544	.424
Distributions from net investment income	(.108)	(.210)	(.198)	(.163)	(.224)	(.234)
Net asset value, end of period	$7.65	$7.76	$7.95	$7.65	$7.99	$7.67
Total Return^B,^C	(.02)%	.23%	6.58%	(2.26)%	7.20%	5.79%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.50%^F	.50%	.51%	.52%	.50%	.48%
Expenses net of fee waivers, if any	.50%^F	.50%	.51%	.52%	.50%	.48%
Expenses net of all reductions	.50%^F	.50%	.51%	.52%	.50%	.48%
Net investment income (loss)	2.87%^F	2.84%	2.79%	2.17%	2.94%	3.24%
Supplemental Data
Net assets, end of period (in millions)	$505	$490	$417	$416	$100	$91
Portfolio turnover rate^G	72%^F	182%	218%	307%	276%	275%^H

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^H Portfolio turnover rate excludes securities received or delivered in-kind.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016
(Amounts in thousands except percentages)

1. Organization.

Fidelity Investment Grade Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, Investment Grade Bond and Class I shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a maximum holding period of seven years from the initial date of purchase.

During the period, the Board of Trustees approved the conversion of all existing Class B shares into Class A shares, effective on or about July 1, 2016, regardless of the length of times shares have been held.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense Ratio^(a)
Fidelity Mortgage Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Repurchase Agreements Swaps	Less than .005%
Fidelity Specialized High Income Central Fund	FMR Co., Inc. (FMRC)	Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.	Loans & Direct Debt Instruments Restricted Securities	Less than .005%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing 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 (NAV) each business day and are categorized as Level 1 in the hierarchy.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.

Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation	$173,270
Gross unrealized depreciation	(297,398)
Net unrealized appreciation (depreciation) on securities	$(124,128)
Tax cost	$7,508,246

Fiscal year of expiration
2018	$(67,932)
No expiration
Short-term	(27,696)
Total capital loss carryforward	$(95,628)

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

4. Derivative Instruments.

The Fund's use of derivatives increased or decreased its exposure to the following risk:

Credit Risk

Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)	Change in Net Unrealized Appreciation (Depreciation)
Credit Risk
Swaps^(a)	$(447)	$984

(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps."

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $965,751 and $312,495, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.

In addition, under the expense contract, the investment adviser pays class-level expenses for Investment Grade Bond, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	-%	.25%	$94	$1
Class T	-%	.25%	25	–^(a)
Class B	.65%	.25%	7	5
Class C	.75%	.25%	137	14
			$263	$ 20

(a) In the amount of less than five hundred dollars.

Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$3
Class T	1
Class B^(a)	–^(b)
Class C^(a)	1
	$5

(a) When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

(b) In the amount of less than five hundred dollars.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Investment Grade Bond. FIIOC receives an asset-based fee of .10% of Investment Grade Bond's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net Assets^(a)
Class A	$65	.17
Class T	22	.22
Class B	2	.25
Class C	25	.18
Investment Grade Bond	3,242	.10
Class I	370	.15
	$3,726

(a) Annualized

Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent Trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% of the Fund's average net assets less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent Trustees. For the period, the FWOE fee was equivalent to an annualized rate of .04% of average net assets.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $5 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $12.

9. Expense Reductions.

During the period the investment adviser reimbursed and/or waived a portion of class-level operating expenses as follows:

	Amount
Class A	$1

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2016	Year ended August 31, 2015
From net investment income
Class A	$964	$1,892
Class T	253	567
Class B	15	36
Class C	246	518
Investment Grade Bond	93,220	157,505
Class I	6,880	11,674
Total	$101,578	$172,192

11. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2016	Year ended August 31, 2015	Six months ended February 29, 2016	Year ended August 31, 2015
Class A
Shares sold	1,729	3,788	$13,247	$29,943
Reinvestment of distributions	120	227	917	1,793
Shares redeemed	(2,075)	(2,751)	(15,932)	(21,720)
Net increase (decrease)	(226)	1,264	$(1,768)	$10,016
Class T
Shares sold	242	480	$1,859	$3,799
Reinvestment of distributions	32	69	243	544
Shares redeemed	(466)	(1,167)	(3,580)	(9,201)
Net increase (decrease)	(192)	(618)	$(1,478)	$(4,858)
Class B
Shares sold	20	13	$141	$100
Reinvestment of distributions	1	3	11	28
Shares redeemed	(78)	(109)	(595)	(863)
Net increase (decrease)	(57)	(93)	$(443)	$(735)
Class C
Shares sold	840	1,046	$6,418	$8,293
Reinvestment of distributions	27	55	206	436
Shares redeemed	(770)	(1,973)	(5,912)	(15,576)
Net increase (decrease)	97	(872)	$712	$(6,847)
Investment Grade Bond
Shares sold	162,944	224,972	$1,249,680	$1,777,537
Reinvestment of distributions	11,183	18,120	85,714	143,231
Shares redeemed	(88,503)	(137,307)	(676,480)	(1,084,234)
Net increase (decrease)	85,624	105,785	$658,914	$836,534
Class I
Shares sold	7,320	22,871	$56,038	$181,045
Reinvestment of distributions	784	1,292	6,013	10,222
Shares redeemed	(5,198)	(13,483)	(39,848)	(107,017)
Net increase (decrease)	2,906	10,680	$22,203	$84,250

12. Other.

13. Credit Risk.

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio-^A	Beginning Account Value September 1, 2015	Ending Account Value February 29, 2016	Expenses Paid During Period-^B September 1, 2015 to February 29, 2016
Class A	.78%
Actual		$1,000.00	$998.50	$3.88
Hypothetical-^C		$1,000.00	$1,020.98	$3.92
Class T	.82%
Actual		$1,000.00	$998.30	$4.07
Hypothetical-^C		$1,000.00	$1,020.79	$4.12
Class B	1.51%
Actual		$1,000.00	$994.90	$7.49
Hypothetical-^C		$1,000.00	$1,017.35	$7.57
Class C	1.54%
Actual		$1,000.00	$994.70	$7.64
Hypothetical-^C		$1,000.00	$1,017.21	$7.72
Investment Grade Bond	.45%
Actual		$1,000.00	$1,000.10	$2.24
Hypothetical-^C		$1,000.00	$1,022.63	$2.26
Class I	.50%
Actual		$1,000.00	$999.80	$2.49
Hypothetical-^C		$1,000.00	$1,022.38	$2.51

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

^B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

^C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Investment Grade Bond Fund

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

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Investment Grade Bond Fund

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's management fee rate as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board considered that the current contractual arrangements for the fund have the effect of setting the total "fund-level" (but not "class-level") expenses (including, among certain other "fund-level" expenses, the management fee) for each class at 0.35%. The Board also considered that current contractual arrangements oblige FMR to pay all "class-level" expenses of the retail class of the fund to the extent necessary to limit total expenses, with certain exceptions, to 0.45%. These contractual arrangements may not be increased without the approval of the Board and the shareholders of the fund or class, as applicable.

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board noted, however, that because the current contractual arrangements set the total "fund-level" expenses for each class at 0.35%, increases or decreases in the management fee due to changes in the group fee rate will not impact the total expense ratio.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Fidelity Investments

AIGBI-SANN-0416
1.779359.113

Fidelity® Conservative Income Bond Fund
Fidelity® Conservative Income Bond Fund and
Institutional Class

Semi-Annual Report

February 29, 2016

Contents

Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Shareholder Expense Example
Board Approval of Investment Advisory Contracts and Management Fees

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Investment Summary (Unaudited)

Effective Maturity Diversification

Days	% of fund's investments 2/29/16	% of fund's investments 8/31/15
0 - 30	30.3	29.2
31 - 90	25.0	18.3
91 - 180	6.9	8.9
181 - 397	6.9	11.2
> 397	30.9	32.4

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and permissible maturity shortening features other than interest rates.

Weighted Average Maturity as of February 29, 2016

		6 months ago
Years	0.7	0.7

This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM.

Duration as of February 29, 2016

		6 months ago
Years	0.3	0.2

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with short durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a short average duration.

Asset Allocation (% of fund's net assets)

As of February 29, 2016^*
	Corporate Bonds	75.3%
	U.S. Treasury Obligations	3.7%
	Municipal Securities	5.2%
	Certificates of Deposit	1.5%
	Cash and Cash Equivalents	14.5%
	Net Other Assets (Liabilities)^**	(0.2)%

* Foreign investments - 35.4%

** Net Other Assets (Liabilities) are not included in the pie chart

As of August 31, 2015^*
	Corporate Bonds	74.6%
	Municipal Securities	12.0%
	Bank Notes	1.5%
	Certificates of Deposit	3.3%
	Cash and Cash Equivalents	8.8%
	Net Other Assets (Liabilities)^**	(0.2)%

* Foreign investments - 38.1%

** Net Other Assets (Liabilities) are not included in the pie chart

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 75.3%
	Principal Amount	Value
CONSUMER DISCRETIONARY - 3.7%
Automobiles - 3.4%
American Honda Finance Corp. 1.4432% 2/22/19 (a)	$20,694,000	$20,720,323
Daimler Finance North America LLC:
0.8362% 3/2/18 (a)(b)	20,000,000	19,729,700
1.2956% 8/1/16 (a)(b)	14,870,000	14,868,067
1.3286% 8/3/17 (a)(b)	12,500,000	12,461,550
Volkswagen Group of America Finance LLC:
0.8382% 5/23/16 (a)(b)	11,590,000	11,545,761
0.9882% 5/23/17 (a)(b)	6,435,000	6,297,278
Volkswagen International Finance NV 2.875% 4/1/16 (b)	49,550,000	49,585,081
		135,207,760
Media - 0.3%
NBCUniversal Enterprise, Inc. 1.307% 4/15/18 (a)(b)	12,667,000	12,629,442

TOTAL CONSUMER DISCRETIONARY		147,837,202

CONSUMER STAPLES - 1.7%
Beverages - 1.5%
Anheuser-Busch InBev Finance, Inc. 0.4179% 1/27/17 (a)	20,325,000	20,271,159
PepsiCo, Inc. 1.2015% 2/22/19 (a)	40,000,000	40,080,240
		60,351,399
Tobacco - 0.2%
Philip Morris International, Inc. 1.25% 8/11/17	6,387,000	6,401,690

TOTAL CONSUMER STAPLES		66,753,089

ENERGY - 2.3%
Oil, Gas & Consumable Fuels - 2.3%
BP Capital Markets PLC:
0.971% 2/10/17 (a)	6,853,000	6,798,868
3.2% 3/11/16	11,200,000	11,205,264
Enbridge, Inc. 0.8662% 6/2/17 (a)	12,465,000	11,912,663
Exxon Mobil Corp. 1.3088% 3/1/18 (a)	20,000,000	20,000,000
Shell International Finance BV 0.941% 5/10/17 (a)	10,000,000	9,939,870
TransCanada PipeLines Ltd.:
1.2831% 6/30/16 (a)	14,084,000	14,055,128
1.625% 11/9/17	20,000,000	19,647,580
		93,559,373
FINANCIALS - 61.0%
Banks - 52.2%
ABN AMRO Bank NV 1.4211% 10/28/16 (a)(b)	77,659,000	77,777,042
ABN AMRO Bank NV Amsterdam BRH 0.862% 6/6/16 (a)(b)	49,100,000	49,100,540
ANZ Banking Group Ltd. 1.3682% 11/16/18 (a)(b)	20,000,000	19,904,996
Bank of America Corp.:
0.8836% 10/14/16 (a)	25,180,000	25,108,967
1.2391% 8/25/17 (a)	18,000,000	17,873,118
1.4055% 3/22/16 (a)	51,140,000	51,152,529
3.75% 7/12/16	35,000,000	35,337,050
Bank of America NA:
0.902% 6/5/17 (a)	20,000,000	19,932,500
1.0402% 5/8/17 (a)	5,000,000	4,986,990
Bank of Montreal 1.2169% 4/9/18 (a)	4,000,000	3,992,784
Bank of Nova Scotia 1.452% 1/15/19 (a)	19,500,000	19,455,969
Bank of Tokyo-Mitsubishi UFJ Ltd.:
0.772% 9/8/17 (a)(b)	10,370,000	10,316,781
0.8965% 3/10/17 (a)(b)	41,655,000	41,551,446
1.002% 3/5/18 (a)(b)	14,900,000	14,782,320
1.087% 9/9/16 (a)(b)	7,550,000	7,556,508
1.522% 9/14/18 (a)(b)	9,610,000	9,640,070
Banque Federative du Credit Mutuel SA:
1.4711% 10/28/16 (a)(b)	87,275,000	87,431,135
1.4738% 1/20/17 (a)(b)	62,375,000	62,543,413
Barclays Bank PLC:
1.1982% 2/17/17 (a)	1,370,000	1,366,509
5% 9/22/16	54,000,000	55,122,444
BB&T Corp. 1.372% 6/15/18 (a)	5,075,000	5,069,834
BNP Paribas SA 1.092% 12/12/16 (a)	35,000,000	35,023,100
BPCE SA:
1.1882% 11/18/16 (a)	12,900,000	12,899,626
1.471% 2/10/17 (a)	27,875,000	27,933,733
1.7% 4/25/16	16,710,000	16,730,386
1.8686% 4/25/16 (a)	132,245,000	132,443,896
Branch Banking & Trust Co. 0.8442% 12/1/16 (a)	10,000,000	9,985,510
Capital One NA:
1.0355% 3/22/16 (a)	10,000,000	9,998,330
1.3006% 2/5/18 (a)	16,125,000	16,050,309
1.7682% 8/17/18 (a)	30,000,000	30,211,470
Citigroup, Inc.:
1.2982% 11/15/16 (a)	18,000,000	17,979,264
1.3% 4/1/16	3,000,000	3,001,041
1.3113% 4/27/18 (a)	10,000,000	9,892,500
1.4022% 4/1/16 (a)	50,549,000	50,566,439
1.4981% 7/30/18 (a)	25,000,000	24,764,450
1.5786% 7/25/16 (a)	40,000,000	40,054,000
Commonwealth Bank of Australia:
1.0695% 9/20/16 (a)(b)	17,000,000	17,023,562
1.4026% 11/2/18 (a)(b)	22,500,000	22,417,133
Credit Agricole SA:
1.4622% 10/3/16 (a)(b)	22,920,000	22,964,488
1.625% 4/15/16 (b)	5,250,000	5,255,035
1.782% 4/15/16 (a)(b)	55,580,000	55,607,401
Credit Suisse New York Branch 1.1246% 5/26/17 (a)	72,585,000	72,188,976
Fifth Third Bank:
1.1282% 11/18/16 (a)	24,825,000	24,844,041
1.15% 11/18/16	22,555,000	22,562,646
1.5282% 8/20/18 (a)	30,000,000	29,937,000
HSBC U.S.A., Inc. 0.8722% 3/3/17 (a)	39,637,000	39,588,960
Huntington National Bank 1.0436% 4/24/17 (a)	20,000,000	19,885,880
ING Bank NV:
1.0678% 3/16/18 (a)(b)	26,550,000	26,387,036
1.402% 3/7/16 (a)(b)	41,934,000	41,936,768
4% 3/15/16 (b)	3,000,000	3,003,465
Intesa Sanpaolo SpA 2.375% 1/13/17	3,000,000	3,009,522
JP Morgan Chase Bank NA 0.902% 6/14/17 (a)	30,000,000	29,911,560
JPMorgan Chase & Co.:
1.35% 2/15/17	10,000,000	10,002,870
3.15% 7/5/16	40,020,000	40,329,795
3.45% 3/1/16	42,000,000	42,000,000
KeyBank NA:
0.9342% 6/1/18 (a)	18,000,000	17,877,024
1.1191% 11/25/16 (a)	24,307,000	24,289,061
Lloyds Bank PLC:
1.1682% 5/14/18 (a)	30,000,000	29,656,830
1.6213% 1/22/19 (a)	20,000,000	20,055,920
Manufacturers & Traders Trust Co. 0.752% 3/7/16 (a)	24,780,000	24,779,257
Mizuho Bank Ltd. 1.2431% 3/26/18 (a)(b)	25,000,000	24,897,775
MUFG Americas Holdings Corp. 1.1897% 2/9/18 (a)	7,000,000	6,952,400
MUFG Union Bank NA:
1.3531% 9/26/16 (a)	29,615,000	29,649,265
1.5% 9/26/16	5,809,000	5,821,025
Nordea Bank AB 1.3658% 9/17/18 (a)(b)	18,000,000	17,957,610
PNC Bank NA 0.8342% 6/1/18 (a)	10,000,000	9,942,590
Royal Bank of Scotland Group PLC 1.5431% 3/31/17 (a)	12,255,000	12,215,992
Royal Bank of Scotland PLC 4.375% 3/16/16	22,500,000	22,528,800
Sumitomo Mitsui Banking Corp.:
0.9411% 7/11/17 (a)	15,000,000	14,933,205
1.1996% 1/16/18 (a)	23,500,000	23,311,789
1.35% 7/11/17 (Reg. S)	26,617,000	26,485,512
1.3586% 7/23/18 (a)	21,000,000	20,847,603
Sumitomo Mitsui Trust Bank Ltd. 1.3058% 9/16/16 (a)(b)	8,750,000	8,748,224
Swedbank AB 2.125% 9/29/17 (b)	21,250,000	21,286,146
U.S. Bank NA:
1.0682% 8/23/17 (a)	20,000,000	19,993,500
1.45% 1/29/18	18,500,000	18,520,239
Union Bank NA 1.0206% 5/5/17 (a)	5,000,000	4,973,835
Wells Fargo & Co.:
0.722% 9/8/17 (a)	3,271,000	3,249,245
1.25% 7/20/16	33,555,000	33,618,956
Wells Fargo Bank NA 1.65% 1/22/18	18,800,000	18,874,918
Westpac Banking Corp.:
1.3581% 7/30/18 (a)	9,260,000	9,226,951
1.3582% 11/23/18 (a)	15,000,000	14,911,410
		2,071,998,219
Capital Markets - 5.7%
Deutsche Bank AG London Branch:
1.1056% 5/30/17 (a)	25,000,000	24,694,400
1.2282% 2/13/17 (a)	41,195,000	40,955,039
JPMorgan Chase & Co. 1.1382% 2/15/17 (a)	2,459,000	2,456,285
Morgan Stanley:
1.0696% 10/18/16 (a)	13,607,000	13,585,596
1.3527% 1/5/18 (a)	22,630,000	22,548,057
3.8% 4/29/16	3,750,000	3,767,524
UBS AG Stamford Branch:
0.9742% 6/1/17 (a)	30,000,000	29,937,180
1.1031% 9/26/16 (a)	25,000,000	25,008,200
1.3031% 3/26/18 (a)	65,450,000	65,288,600
		228,240,881
Consumer Finance - 2.2%
American Express Credit Corp. 1.1281% 7/29/16 (a)	20,000,000	20,006,720
Caterpillar Financial Services Corp. 1.5% 2/23/18	13,922,000	13,921,193
John Deere Capital Corp. 1.1901% 1/8/19 (a)	21,500,000	21,529,735
Toyota Motor Credit Corp. 1.4394% 2/19/19 (a)	30,000,000	29,981,670
		85,439,318
Diversified Financial Services - 0.4%
GE Capital International Funding Co. 0.964% 4/15/16 (b)	15,187,000	15,189,718
Insurance - 0.5%
Metropolitan Life Global Funding I 1.152% 7/15/16 (a)(b)	5,000,000	5,007,335
Principal Life Global Funding II 0.913% 12/1/17 (a)(b)	5,000,000	4,998,180
Prudential Financial, Inc. 1.3982% 8/15/18 (a)	11,357,000	11,313,071
		21,318,586

TOTAL FINANCIALS		2,422,186,722

HEALTH CARE - 2.0%
Health Care Providers & Services - 1.0%
UnitedHealth Group, Inc. 1.0696% 1/17/17 (a)	39,500,000	39,536,854
Pharmaceuticals - 1.0%
Actavis Funding SCS:
1.2892% 9/1/16 (a)	25,000,000	25,027,775
1.582% 3/12/18 (a)	14,444,000	14,485,743
		39,513,518

TOTAL HEALTH CARE		79,050,372

INFORMATION TECHNOLOGY - 1.6%
Communications Equipment - 1.0%
Cisco Systems, Inc. 1.4% 2/28/18	40,000,000	40,140,920
IT Services - 0.4%
The Western Union Co. 5.93% 10/1/16	13,200,000	13,512,932
Technology Hardware, Storage & Peripherals - 0.2%
Hewlett Packard Enterprise Co. 2.3527% 10/5/17 (a)(b)	9,000,000	9,015,363

TOTAL INFORMATION TECHNOLOGY		62,669,215

MATERIALS - 0.4%
Metals & Mining - 0.4%
Anglo American Capital PLC 1.572% 4/15/16 (a)(b)	6,263,000	6,172,412
Rio Tinto Finance (U.S.A.) PLC 1.3658% 6/17/16 (a)	10,800,000	10,769,717
		16,942,129
TELECOMMUNICATION SERVICES - 1.9%
Diversified Telecommunication Services - 1.9%
BellSouth Corp. 4.821% 4/26/16 (a)(b)	35,000,000	35,208,180
Verizon Communications, Inc. 2.042% 9/15/16 (a)	40,000,000	40,212,040
		75,420,220
UTILITIES - 0.7%
Electric Utilities - 0.7%
Commonwealth Edison Co. 5.95% 8/15/16	5,000,000	5,105,675
Duke Energy Corp.:
0.9922% 4/3/17 (a)	4,200,000	4,169,285
2.15% 11/15/16	18,285,000	18,413,562
		27,688,522
TOTAL NONCONVERTIBLE BONDS
(Cost $2,996,834,023)		2,992,106,844

U.S. Treasury Obligations - 3.7%
U.S. Treasury Notes 0.875% 2/28/17
(Cost $145,372,606)	145,000,000	145,232,288

Municipal Securities - 5.2%
Berkeley County Indl. Dev. Rev. (Nucor Corp. Proj.) Series 1995, 0.45% 3/7/16, VRDN (a)(c)	200,000	200,000
Decatur Indl. Dev. Board Exempt Facilities Rev. (Nucor Steel Decatur LLC Proj.) Series 2003 A, 0.45% 3/7/16, VRDN (a)(c)	23,160,000	23,160,000
District of Columbia Hsg. Fin. Agcy. Multi-family Hsg. Rev. (WDC I LP Dev. Proj.) Series 2000, 0.2% 3/7/16, LOC SunTrust Banks, Inc., VRDN (a)(c)	250,000	250,000
Hertford County Indl. Facilities Poll. Cont. Fing. Auth. (Nucor Corp. Proj.) Series 2000 A, 0.47% 3/7/16, VRDN (a)(c)	8,500,000	8,500,000
Illinois Gen. Oblig. Series 2011, 4.961% 3/1/16	23,000,000	23,000,000
Indiana Dev. Fin. Auth. Envir. Rev. (PSI Energy Proj.) Series 2003 B, 0.35% 3/7/16, VRDN (a)(c)	9,950,000	9,950,000
Memphis-Shelby County Indl. Dev. Board Facilities Rev. Series 2007, 0.45% 3/7/16, VRDN (a)(c)	3,000,000	3,000,000
New Jersey Econ. Dev. Auth. Rev. Series 2015 YY, 3.375% 6/15/17	27,000,000	27,142,560
Saint James Parish Gen. Oblig. (Nucor Steel Louisiana LLC Proj.):
Series 2010 A1, 0.43% 3/7/16, VRDN (a)	$11,550,000	$11,550,000
Series 2010 B1, 0.39% 3/7/16, VRDN (a)	97,100,000	97,100,000
Stanton County Indl. Dev. Rev. Series 1998, 0.45% 3/7/16, VRDN (a)(c)	1,200,000	1,200,000
TOTAL MUNICIPAL SECURITIES
(Cost $204,910,000)		205,052,560

Certificates of Deposit - 1.5%
Credit Agricole CIB yankee 0.78% 6/3/16	30,000,000	30,015,750
Credit Suisse AG yankee 0.802% 6/6/16 (a)	30,000,000	29,997,780
TOTAL CERTIFICATES OF DEPOSIT
(Cost $60,000,000)		60,013,530
	Shares	Value

Money Market Funds - 6.8%
Fidelity Cash Central Fund, 0.40% (d)
(Cost $271,657,295)	271,657,295	271,657,295
	Maturity Amount	Value

Cash Equivalents - 7.7%
Repurchase Agreements:
With:
Credit Suisse Securities (U.S.A.) LLC at 1.25%, dated 12/15/15 due 6/13/16 (Collateralized by U.S. Government Obligations valued at $87,781,205, 0.3%- 2.6%, 4/16/46 - 9/16/57)	85,534,201	85,064,600
Mizuho Securities U.S.A., Inc. at:
1.55%, dated 10/9/15 due 4/6/16 (Collateralized by Corporate Obligations valued at $65,201,760, 0.69%- 1.41%, 10/25/35 - 5/25/46)	60,465,000	60,012,600
1.63%, dated 9/8/15 due 3/8/16 (Collateralized by Mortgage Loan Obligations valued at $70,756,238, 0.52%- 6.16%, 3/25/34 - 2/25/47)	65,535,636	65,004,550
1.88%, dated 2/19/16 due 8/17/16 (Collateralized by U.S. Treasury Obligations valued at $21,612,408, 0.68% - 4.12%, 4/17/22 - 12/25-45)	20,188,000	20,000,000
Morgan Stanley & Co., Inc. at:
1.08%, dated 3/5/15 due 3/4/16 (Collateralized by Equity Securities valued at $25,748,654(a)(e)	25,273,750	25,000,000
1.13%, dated 3/5/15 due 3/4/16 (Collateralized by U.S. Treasury Obligations valued at $25,779,071, 0%- 8.75%, 3/31/16 - 2/15/38)(a)(e)	25,286,424	25,000,000
1.25%, dated 12/15/15 due 6/13/16 (Collateralized by Mortgage Loan Obligations valued at $26,320,183, 0%- 3.43%, 11/15/26 - 8/14/31)	25,157,118	25,004,750
TOTAL CASH EQUIVALENTS
(Cost $305,000,000)		305,086,500
TOTAL INVESTMENT PORTFOLIO - 100.2%
(Cost $3,983,773,924)		3,979,149,017
NET OTHER ASSETS (LIABILITIES) - (0.2)%		(7,744,001)
NET ASSETS - 100%		$3,971,405,016

Security Type Abbreviations

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

Legend

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

(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 $850,796,961 or 21.4% of net assets.

(d) 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.

(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	$216,045

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$2,992,106,844	$--	$2,992,106,844	$--
U.S. Government and Government Agency Obligations	145,232,288	--	145,232,288	--
Municipal Securities	205,052,560	--	205,052,560	--
Certificates of Deposit	60,013,530	--	60,013,530	--
Money Market Funds	271,657,295	271,657,295	--	--
Cash Equivalents	305,086,500	--	305,086,500	--
Total Investments in Securities:	$3,979,149,017	$271,657,295	$3,707,491,722	$--

Other Information

Distribution of the direct investments by country of issue, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America	64.6%
France	11.5%
Netherlands	6.5%
Japan	5.1%
United Kingdom	4.4%
Australia	2.1%
Canada	1.7%
Germany	1.6%
Luxembourg	1.0%
Sweden	1.0%
Others (Individually Less Than 1%)	0.5%
	100.0%

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

		February 29, 2016 (Unaudited)
Assets
Investment in securities, at value (including repurchase agreements of $305,086,500) — See accompanying schedule: Unaffiliated issuers (cost $3,712,116,629)	$3,707,491,722
Fidelity Central Funds (cost $271,657,295)	271,657,295
Total Investments (cost $3,983,773,924)		$3,979,149,017
Receivable for fund shares sold		6,914,550
Interest receivable		12,888,983
Distributions receivable from Fidelity Central Funds		84,513
Receivable from investment adviser for expense reductions		319,294
Total assets		3,999,356,357
Liabilities
Payable to custodian bank	$425
Payable for investments purchased	20,000,000
Payable for fund shares redeemed	6,391,851
Distributions payable	387,620
Accrued management fee	964,560
Other affiliated payables	206,885
Total liabilities		27,951,341
Net Assets		$3,971,405,016
Net Assets consist of:
Paid in capital		$3,976,192,568
Distributions in excess of net investment income		(186,400)
Accumulated undistributed net realized gain (loss) on investments		23,755
Net unrealized appreciation (depreciation) on investments		(4,624,907)
Net Assets		$3,971,405,016
Conservative Income Bond:
Net Asset Value, offering price and redemption price per share ($1,121,644,577 ÷ 112,049,975 shares)		$10.01
Institutional Class:
Net Asset Value, offering price and redemption price per share ($2,849,760,439 ÷ 284,684,487 shares)		$10.01

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

		Six months ended February 29, 2016 (Unaudited)
Investment Income
Interest		$18,498,581
Income from Fidelity Central Funds		216,045
Total income		18,714,626
Expenses
Management fee	$5,642,150
Transfer agent fees	1,209,438
Independent trustees' compensation	7,820
Miscellaneous	2,495
Total expenses before reductions	6,861,903
Expense reductions	(1,337,126)	5,524,777
Net investment income (loss)		13,189,849
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	76,987
Total net realized gain (loss)		76,987
Change in net unrealized appreciation (depreciation) on investment securities		(4,007,048)
Net gain (loss)		(3,930,061)
Net increase (decrease) in net assets resulting from operations		$9,259,788

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

	Six months ended February 29, 2016 (Unaudited)	Year ended August 31, 2015
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$13,189,849	$15,751,659
Net realized gain (loss)	76,987	467,639
Change in net unrealized appreciation (depreciation)	(4,007,048)	(8,360,200)
Net increase (decrease) in net assets resulting from operations	9,259,788	7,859,098
Distributions to shareholders from net investment income	(13,378,098)	(15,751,294)
Distributions to shareholders from net realized gain	(373,498)	(772,195)
Total distributions	(13,751,596)	(16,523,489)
Share transactions - net increase (decrease)	240,338,340	(172,095,107)
Total increase (decrease) in net assets	235,846,532	(180,759,498)
Net Assets
Beginning of period	3,735,558,484	3,916,317,982
End of period (including distributions in excess of net investment income of $186,400 and undistributed net investment income of $1,849, respectively)	$3,971,405,016	$3,735,558,484

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Conservative Income Bond Fund

	Six months ended February 29,2016	Years ended August 31,
	(Unaudited)	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$10.02	$10.04	$10.04	$10.03	$9.99	$10.00
Income from Investment Operations
Net investment income (loss)^B	.032	.034	.031	.057	.072	.017
Net realized and unrealized gain (loss)	(.004)	(.018)	.004	.015	.037	(.011)
Total from investment operations	.028	.016	.035	.072	.109	.006
Distributions from net investment income	(.037)	(.034)	(.032)	(.058)	(.069)	(.016)
Distributions from net realized gain	(.001)	(.002)	(.003)	(.004)	–	–
Total distributions	(.038)	(.036)	(.035)	(.062)	(.069)	(.016)
Net asset value, end of period	$10.01	$10.02	$10.04	$10.04	$10.03	$9.99
Total Return^C,^D	.23%	.16%	.35%	.72%	1.09%	.06%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.40%^G	.40%	.40%	.40%	.40%	.40%^G
Expenses net of fee waivers, if any	.37%^G	.40%	.40%	.40%	.40%	.40%^G
Expenses net of all reductions	.37%^G	.40%	.40%	.40%	.40%	.40%^G
Net investment income (loss)	.63%^G	.34%	.31%	.57%	.72%	.35%^G
Supplemental Data
Net assets, end of period (000 omitted)	$1,121,645	$1,047,633	$1,495,214	$1,412,589	$824,998	$313,082
Portfolio turnover rate^H	50%^G	44%	66%	47%	31%	18%^I

^A For the period March 3, 2011 (commencement of operations) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I Amount not annualized.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Conservative Income Bond Fund Institutional Class

	Six months ended February 29,2016	Years ended August 31,
	(Unaudited)	2015	2014	2013	2012	2011 ^A
Selected Per–Share Data
Net asset value, beginning of period	$10.02	$10.04	$10.04	$10.03	$9.99	$10.00
Income from Investment Operations
Net investment income (loss)^B	.037	.044	.041	.067	.082	.022
Net realized and unrealized gain (loss)	(.014)	(.018)	.004	.015	.037	(.011)
Total from investment operations	.023	.026	.045	.082	.119	.011
Distributions from net investment income	(.032)	(.044)	(.042)	(.068)	(.079)	(.021)
Distributions from net realized gain	(.001)	(.002)	(.003)	(.004)	–	–
Total distributions	(.033)	(.046)	(.045)	(.072)	(.079)	(.021)
Net asset value, end of period	$10.01	$10.02	$10.04	$10.04	$10.03	$9.99
Total Return^C,^D	.28%	.26%	.45%	.82%	1.20%	.11%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.35%^G	.35%	.35%	.35%	.35%	.35%^G
Expenses net of fee waivers, if any	.27%^G	.30%	.30%	.30%	.30%	.30%^G
Expenses net of all reductions	.27%^G	.30%	.30%	.30%	.30%	.30%^G
Net investment income (loss)	.73%^G	.44%	.41%	.67%	.82%	.44%^G
Supplemental Data
Net assets, end of period (000 omitted)	$2,849,760	$2,687,926	$2,421,104	$1,595,181	$951,430	$211,344
Portfolio turnover rate^H	50%^G	44%	66%	47%	31%	18%^I

^A For the period March 3, 2011 (commencement of operations) to August 31, 2011.

^B Calculated based on average shares outstanding during the period.

^C Total returns for periods of less than one year are not annualized.

^D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I Amount not annualized.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

Fidelity Conservative Income Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Conservative Income Bond Class shares and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Investments in Fidelity Central Funds.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, municipal securities, certificates of deposit and other Short-Term securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation	$1,788,082
Gross unrealized depreciation	(6,430,739)
Net unrealized appreciation (depreciation) on securities	$(4,642,657)
Tax cost	$3,983,791,674

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $701,004,545 and $675,945,517, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .30% of the Fund's average net assets. Under the management contract, the investment adviser pays all other fund-level expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees.

For the period, transfer agent fees for each class were as follows:

	Amount
Conservative Income Bond	$538,160
Institutional Class	671,278
	$ 1,209,438

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $2,495 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

The investment adviser contractually agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through October 31, 2016. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

	Expense Limitations	Reimbursement
Conservative Income Bond	0.35%^(a)	$191,380
Institutional Class	0.30%/0.25%^(a)	1,145,723
		$ 1,337,103

(a) Expense limitation effective November 1, 2015

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $23.

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2016	Year ended August 31, 2015
From net investment income
Conservative Income Bond	$3,444,998	$4,195,559
Institutional Class	9,933,100	11,555,735
Total	$13,378,098	$15,751,294
From net realized gain
Conservative Income Bond	$106,296	$292,640
Institutional Class	267,202	479,555
Total	$373,498	$772,195

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2016	Year ended August 31, 2015	Six months ended February 29, 2016	Year ended August 31, 2015
Conservative Income Bond
Shares sold	38,317,868	51,705,165	$383,838,917	$518,728,890
Reinvestment of distributions	308,236	380,085	3,087,339	3,813,002
Shares redeemed	(31,107,042)	(96,409,304)	(311,637,182)	(967,145,211)
Net increase (decrease)	7,519,062	(44,324,054)	$75,289,074	$(444,603,319)
Institutional Class
Shares sold	86,608,867	165,313,466	$867,538,131	$1,658,252,122
Reinvestment of distributions	860,075	982,178	8,614,382	9,852,331
Shares redeemed	(70,980,116)	(139,129,761)	(711,103,247)	(1,395,596,241)
Net increase (decrease)	16,488,826	27,165,883	$165,049,266	$272,508,212

10. Other.

At the end of the period, Strategic Adviser Short Duration Fund was the owner of record of approximately 11% of the total outstanding shares of the Fund.

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio-^A	Beginning Account Value September 1, 2015	Ending Account Value February 29, 2016	Expenses Paid During Period-^B September 1, 2015 to February 29, 2016
Conservative Income Bond	.37%
Actual		$1,000.00	$1,002.30	$1.84
Hypothetical-^C		$1,000.00	$1,023.02	$1.86
Institutional Class	.27%
Actual		$1,000.00	$1,002.80	$1.34
Hypothetical-^C		$1,000.00	$1,023.52	$1.36

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

^B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

^C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Conservative Income Bond Fund

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

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board. Because the vast majority of competitor funds' management fees do not cover non-management expenses, for a more meaningful comparison of management fees, the fund is compared on the basis of a hypothetical "net management fee," which is derived by subtracting payments made by FMR for "fund-level" non-management expenses (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. In this regard, the Board considered that net management fees can vary from year to year because of differences in "fund-level" non-management expenses. The Board noted, however, that FMR does not pay transfer agent fees or other "class-level" expenses under the fund's management contract.

Fidelity Conservative Income Bond Fund

The Board noted that the fund's hypothetical net management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

The Board further considered that FMR contractually agreed to reimburse Institutional Class of the fund to the extent that total expenses (excluding interest, certain taxes, certain securities lending costs, brokerage commissions, extraordinary expenses, and acquired fund fees and expenses, if any), as a percentage of average net assets, exceed 0.30% through October 30, 2015.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

FCV-SANN-0416
1.924092.104

Fidelity Advisor® Corporate Bond Fund -
Class A, Class T and Class C

Semi-Annual Report

February 29, 2016

Class A, Class T and Class C are classes of Fidelity® Corporate Bond Fund

Contents

Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Shareholder Expense Example
Board Approval of Investment Advisory Contracts and Management Fees

You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Quality Diversification (% of fund's net assets)

As of February 29, 2016
	U.S. Government and U.S. Government Agency Obligations	1.4%
	AAA	2.2%
	AA	3.1%
	A	18.4%
	BBB	52.9%
	BB and Below	17.2%
	Not Rated	0.6%
	Short-Term Investments and Net Other Assets	4.2%

As of August 31, 2015
	AAA	0.3%
	AA	2.2%
	A	16.5%
	BBB	57.0%
	BB and Below	17.5%
	Short-Term Investments and Net Other Assets	6.5%

Weighted Average Maturity as of February 29, 2016

		6 months ago
Years	10.8	10.9

Duration as of February 29, 2016

		6 months ago
Years	6.8	6.9

Asset Allocation (% of fund's net assets)

As of February 29, 2016 ^*
	Corporate Bonds	87.5%
	U.S. Government and U.S. Government Agency Obligations	1.4%
	Municipal Bonds	2.0%
	Other Investments	4.9%
	Short-Term Investments and Net Other Assets (Liabilities)	4.2%

* Foreign investments - 16.7%

As of August 31, 2015^*
	Corporate Bonds	87.1%
	Municipal Bonds	1.9%
	Other Investments	4.5%
	Short-Term Investments and Net Other Assets (Liabilities)	6.5%

* Foreign investments - 19.2%

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 84.4%
	Principal Amount	Value
CONSUMER DISCRETIONARY - 8.2%
Automobiles - 1.6%
Ford Motor Co. 4.75% 1/15/43	$3,184,000	$2,923,832
General Motors Co.:
5% 4/1/35	2,537,000	2,213,279
5.2% 4/1/45	4,206,000	3,634,228
General Motors Financial Co., Inc. 3.1% 1/15/19	4,827,000	4,775,771
Volkswagen International Finance NV 2.375% 3/22/17 (a)	2,050,000	2,049,080
		15,596,190
Diversified Consumer Services - 0.0%
Ingersoll-Rand Global Holding Co. Ltd. 5.75% 6/15/43	396,000	449,072
Hotels, Restaurants & Leisure - 1.3%
McDonald's Corp.:
2.1% 12/7/18	7,930,000	8,032,408
2.75% 12/9/20	200,000	205,810
3.7% 1/30/26	527,000	550,076
4.7% 12/9/35	272,000	281,553
4.875% 12/9/45	4,027,000	4,231,535
		13,301,382
Household Durables - 1.5%
D.R. Horton, Inc.:
3.75% 3/1/19	4,500,000	4,578,750
4% 2/15/20	5,000,000	5,087,500
Toll Brothers Finance Corp. 4.375% 4/15/23	5,750,000	5,548,750
		15,215,000
Internet & Catalog Retail - 0.6%
Amazon.com, Inc. 4.8% 12/5/34	5,101,000	5,512,482
Media - 3.0%
21st Century Fox America, Inc.:
6.15% 2/15/41	4,800,000	5,175,168
6.9% 8/15/39	300,000	337,577
7.75% 12/1/45	111,000	139,909
Comcast Corp.:
4.65% 7/15/42	2,200,000	2,333,353
6.4% 3/1/40	1,150,000	1,474,567
Discovery Communications LLC 4.875% 4/1/43	5,108,000	4,090,108
NBCUniversal, Inc. 5.15% 4/30/20	3,625,000	4,080,543
Time Warner Cable, Inc.:
5.5% 9/1/41	623,000	554,658
5.875% 11/15/40	1,648,000	1,533,377
6.55% 5/1/37	1,329,000	1,338,847
6.75% 7/1/18	700,000	762,787
7.3% 7/1/38	1,188,000	1,253,705
8.25% 4/1/19	1,856,000	2,122,065
Time Warner, Inc.:
2.1% 6/1/19	3,000,000	2,973,819
6.2% 3/15/40	1,700,000	1,803,906
Viacom, Inc. 3.5% 4/1/17	34,000	34,337
		30,008,726
Specialty Retail - 0.2%
AutoZone, Inc. 3.7% 4/15/22	253,000	261,993
Home Depot, Inc. 5.95% 4/1/41	941,000	1,200,737
Lowe's Companies, Inc. 5.125% 11/15/41	650,000	742,030
		2,204,760

TOTAL CONSUMER DISCRETIONARY		82,287,612

CONSUMER STAPLES - 4.5%
Beverages - 3.0%
Anheuser-Busch InBev Finance, Inc.:
1.9% 2/1/19	4,584,000	4,627,447
2.65% 2/1/21	2,215,000	2,254,407
3.3% 2/1/23	2,385,000	2,451,737
3.65% 2/1/26	3,500,000	3,609,869
4.7% 2/1/36	2,258,000	2,367,718
4.9% 2/1/46	2,583,000	2,768,725
Constellation Brands, Inc.:
3.75% 5/1/21	2,000,000	2,045,000
4.25% 5/1/23	3,315,000	3,435,169
Heineken NV 4% 10/1/42 (a)	96,000	90,982
PepsiCo, Inc. 4.25% 10/22/44	6,629,000	6,856,567
		30,507,621
Food Products - 0.2%
The J.M. Smucker Co. 2.5% 3/15/20	1,642,000	1,655,780
Tobacco - 1.3%
Imperial Tobacco Finance PLC:
3.75% 7/21/22 (a)	4,575,000	4,696,137
4.25% 7/21/25 (a)	1,134,000	1,180,476
Philip Morris International, Inc. 4.375% 11/15/41	2,100,000	2,167,320
Reynolds American, Inc.:
2.3% 6/12/18	528,000	533,644
3.25% 6/12/20	235,000	244,395
4% 6/12/22	366,000	395,135
4.45% 6/12/25	1,778,000	1,931,050
5.7% 8/15/35	304,000	343,241
5.85% 8/15/45	1,267,000	1,487,326
6.75% 6/15/17	384,000	412,216
		13,390,940

TOTAL CONSUMER STAPLES		45,554,341

ENERGY - 11.4%
Energy Equipment & Services - 2.0%
DCP Midstream LLC:
4.75% 9/30/21 (a)	158,000	107,223
5.35% 3/15/20 (a)	10,096,000	7,602,874
5.85% 5/21/43 (a)(b)	7,500,000	3,975,000
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000	664,096
Ensco PLC:
5.2% 3/15/25	1,787,000	911,370
5.75% 10/1/44	561,000	264,231
Halliburton Co. 3.375% 11/15/22	5,850,000	5,765,292
Noble Holding International Ltd. 3.05% 3/1/16	450,000	450,000
		19,740,086
Oil, Gas & Consumable Fuels - 9.4%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000	395,255
6.375% 9/15/17	3,626,000	3,684,125
Apache Corp. 4.75% 4/15/43	3,233,000	2,472,608
Boardwalk Pipelines LP 4.95% 12/15/24	4,120,000	3,527,198
Canadian Natural Resources Ltd. 3.9% 2/1/25	4,325,000	3,355,880
Cenovus Energy, Inc.:
3.8% 9/15/23	5,000,000	3,655,570
5.7% 10/15/19	1,189,000	1,049,249
Chevron Corp. 1.344% 11/9/17	7,500,000	7,482,840
DCP Midstream Operating LP:
2.5% 12/1/17	370,000	337,713
2.7% 4/1/19	64,000	52,490
3.875% 3/15/23	222,000	159,959
4.95% 4/1/22	1,925,000	1,456,694
5.6% 4/1/44	340,000	207,764
Devon Energy Corp. 2.25% 12/15/18	910,000	792,997
El Paso Natural Gas Co. 5.95% 4/15/17	492,000	497,783
Enbridge Energy Partners LP 4.2% 9/15/21	140,000	123,882
EnLink Midstream Partners LP 2.7% 4/1/19	1,021,000	796,920
Enterprise Products Operating LP:
2.55% 10/15/19	163,000	157,748
3.75% 2/15/25	547,000	518,774
4.85% 3/15/44	2,023,000	1,736,302
4.95% 10/15/54	2,437,000	1,945,377
Exxon Mobil Corp.:
3.1% 3/1/26	5,024,000	5,024,000
4.114% 3/1/46	5,034,000	5,034,000
Kinder Morgan Energy Partners LP:
3.5% 3/1/21	240,000	216,448
3.95% 9/1/22	518,000	468,322
4.25% 9/1/24	181,000	156,747
5.5% 3/1/44	1,641,000	1,339,176
Kinder Morgan, Inc. 3.05% 12/1/19	3,907,000	3,606,747
Marathon Petroleum Corp. 2.7% 12/14/18	247,000	239,222
ONEOK Partners LP 2% 10/1/17	2,822,000	2,648,128
Petro-Canada 6.05% 5/15/18	4,470,000	4,573,101
Petroleos Mexicanos:
3.5% 7/18/18	959,000	951,808
5.5% 2/4/19 (a)	1,440,000	1,488,960
5.5% 1/21/21	545,000	550,341
6% 3/5/20	116,000	119,306
6.375% 2/4/21 (a)	3,870,000	4,023,833
6.375% 1/23/45	937,000	812,801
6.875% 8/4/26 (a)	2,930,000	3,034,015
Phillips 66 Co.:
2.95% 5/1/17	2,767,000	2,801,748
4.3% 4/1/22	300,000	305,975
4.65% 11/15/34	3,750,000	3,424,838
Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24	5,000,000	3,844,575
Southeast Supply Header LLC 4.25% 6/15/24 (a)	667,000	626,008
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000	55,926
Spectra Energy Partners, LP:
2.95% 6/15/16	452,000	452,525
4.6% 6/15/21	414,000	423,136
Talisman Energy, Inc. 3.75% 2/1/21	3,635,000	2,583,638
The Williams Companies, Inc. 5.75% 6/24/44	4,911,000	3,216,705
TransCanada PipeLines Ltd. 3.125% 1/15/19	933,000	938,942
Western Gas Partners LP:
2.6% 8/15/18	858,000	749,798
5.375% 6/1/21	1,273,000	1,087,445
Williams Partners LP:
3.35% 8/15/22	2,500,000	1,850,625
4% 9/15/25	5,000,000	3,805,405
4.3% 3/4/24	491,000	383,808
		95,245,180

TOTAL ENERGY		114,985,266

FINANCIALS - 39.0%
Banks - 13.9%
ABN AMRO Bank NV 2.45% 6/4/20 (a)	5,000,000	4,986,515
Bank of America Corp.:
2.65% 4/1/19	1,524,000	1,531,772
3.95% 4/21/25	4,128,000	3,996,800
4% 1/22/25	3,277,000	3,187,413
4.2% 8/26/24	10,942,000	10,954,704
5.75% 12/1/17	3,000,000	3,181,635
Bank of Nova Scotia 4.5% 12/16/25	7,405,000	7,267,452
Barclays PLC 3.65% 3/16/25	4,116,000	3,781,999
BNP Paribas SA 4.25% 10/15/24	6,500,000	6,281,451
BPCE SA 5.15% 7/21/24 (a)	6,475,000	6,365,547
Citigroup, Inc.:
2.05% 12/7/18	5,000,000	4,970,085
2.5% 7/29/19	4,000,000	4,009,648
4.05% 7/30/22	316,000	322,034
4.4% 6/10/25	1,221,000	1,217,442
5.5% 9/13/25	1,317,000	1,410,942
8.125% 7/15/39	1,924,000	2,744,147
Citizens Bank NA 2.3% 12/3/18	799,000	800,010
Citizens Financial Group, Inc. 4.15% 9/28/22 (a)	517,000	529,414
Credit Agricole SA 4.375% 3/17/25 (a)	3,636,000	3,461,734
Credit Suisse AG 6% 2/15/18	122,000	129,161
Credit Suisse New York Branch 3% 10/29/21	1,550,000	1,551,652
Discover Bank:
2% 2/21/18	3,900,000	3,852,978
7% 4/15/20	2,391,000	2,695,910
Fifth Third Bancorp:
4.3% 1/16/24	4,001,000	4,118,241
5.45% 1/15/17	1,232,000	1,272,346
8.25% 3/1/38	3,848,000	5,418,858
Huntington Bancshares, Inc. 7% 12/15/20	1,087,000	1,289,810
Intesa Sanpaolo SpA:
5.017% 6/26/24 (a)	7,245,000	6,658,068
5.71% 1/15/26 (a)	1,569,000	1,494,975
JPMorgan Chase & Co. 3.875% 2/1/24	5,000,000	5,262,335
Rabobank Nederland 4.625% 12/1/23	4,531,000	4,621,905
Regions Bank 6.45% 6/26/37	2,611,000	3,129,599
Regions Financial Corp. 2% 5/15/18	558,000	553,052
Royal Bank of Canada 4.65% 1/27/26	1,181,000	1,191,243
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	3,640,000	3,486,508
6% 12/19/23	5,228,000	5,281,420
6.1% 6/10/23	1,000,000	1,012,500
6.125% 12/15/22	5,972,000	6,268,665
SunTrust Banks, Inc. 2.5% 5/1/19	5,184,000	5,209,184
Wells Fargo & Co. 4.65% 11/4/44	4,700,000	4,598,231
		140,097,385
Capital Markets - 6.1%
Blackstone Holdings Finance Co. LLC 4.45% 7/15/45 (a)	8,385,000	7,691,527
Deutsche Bank AG 4.5% 4/1/25	5,594,000	4,741,665
Goldman Sachs Group, Inc.:
3.75% 5/22/25	6,000,000	6,076,794
3.75% 2/25/26	5,000,000	5,043,795
4.25% 10/21/25	4,750,000	4,726,739
5.25% 7/27/21	1,227,000	1,361,080
5.95% 1/18/18	178,000	189,799
6.15% 4/1/18	204,000	219,880
Janus Capital Group, Inc. 4.875% 8/1/25	2,848,000	2,994,108
Lazard Group LLC 6.85% 6/15/17	31,000	32,593
Merrill Lynch & Co., Inc. 6.11% 1/29/37	2,269,000	2,470,122
Morgan Stanley:
3.875% 1/27/26	5,020,000	5,158,502
4.3% 1/27/45	948,000	903,992
4.875% 11/1/22	9,466,000	9,980,222
5.5% 7/28/21	1,222,000	1,370,692
5.625% 9/23/19	329,000	361,074
5.75% 1/25/21	557,000	626,065
6.625% 4/1/18	153,000	166,572
Peachtree Corners Funding Trust 3.976% 2/15/25 (a)	7,500,000	7,408,530
		61,523,751
Consumer Finance - 4.1%
Ally Financial, Inc.:
4.125% 2/13/22	5,560,000	5,407,100
4.75% 9/10/18	4,500,000	4,584,375
Caterpillar Financial Services Corp. 1.8% 11/13/18	7,500,000	7,600,628
Discover Financial Services:
3.85% 11/21/22	2,538,000	2,505,547
5.2% 4/27/22	2,355,000	2,476,447
Ford Motor Credit Co. LLC:
1.5% 1/17/17	599,000	596,440
2.597% 11/4/19	4,950,000	4,876,889
General Electric Capital Corp. 5.875% 1/14/38	150,000	188,693
Hyundai Capital America:
2.125% 10/2/17 (a)	197,000	197,159
2.55% 2/6/19 (a)	3,163,000	3,172,739
2.875% 8/9/18 (a)	4,930,000	4,967,049
Synchrony Financial 2.6% 1/15/19	5,000,000	4,958,650
		41,531,716
Diversified Financial Services - 3.0%
Berkshire Hathaway Finance Corp. 4.4% 5/15/42	107,000	106,537
CME Group, Inc. 5.3% 9/15/43	3,050,000	3,568,253
ING U.S., Inc.:
5.5% 7/15/22	2,028,000	2,249,782
5.7% 7/15/43	2,607,000	2,897,913
McGraw Hill Financial, Inc.:
3.3% 8/14/20	4,913,000	5,035,476
4% 6/15/25	6,038,000	6,126,511
Moody's Corp.:
2.75% 7/15/19	6,920,000	7,052,878
5.25% 7/15/44	3,386,000	3,654,401
		30,691,751
Insurance - 6.6%
ACE INA Holdings, Inc.:
2.3% 11/3/20	672,000	675,967
2.875% 11/3/22	641,000	652,464
3.35% 5/3/26	516,000	528,294
4.35% 11/3/45	525,000	550,677
American International Group, Inc.:
4.375% 1/15/55	2,685,000	2,181,334
4.5% 7/16/44	5,833,000	5,169,835
Aon Corp. 6.25% 9/30/40	253,000	280,982
Aon PLC:
3.5% 6/14/24	2,830,000	2,857,941
4.75% 5/15/45	6,000,000	5,911,980
Assurant, Inc. 2.5% 3/15/18	3,842,000	3,843,779
Five Corners Funding Trust 4.419% 11/15/23 (a)	4,111,000	4,255,037
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (a)(b)	66,000	64,680
Hartford Financial Services Group, Inc.:
4.3% 4/15/43	1,211,000	1,110,149
8.125% 6/15/38 (b)	4,915,000	5,258,559
Liberty Mutual Group, Inc. 4.95% 5/1/22 (a)	5,250,000	5,675,523
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	1,643,000	1,805,345
Massachusetts Mutual Life Insurance Co.:
4.5% 4/15/65 (a)	2,264,000	2,090,476
5.375% 12/1/41 (a)	148,000	162,473
New York Life Global Funding 1.55% 11/2/18 (a)	7,890,000	7,859,671
Pacific LifeCorp:
5.125% 1/30/43 (a)	1,285,000	1,278,452
6% 2/10/20 (a)	902,000	1,009,237
Pricoa Global Funding I 5.625% 6/15/43 (b)	5,000,000	4,940,000
Prudential Financial, Inc. 5.625% 5/12/41	1,170,000	1,228,948
Symetra Financial Corp. 6.125% 4/1/16 (a)	615,000	617,371
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a)	287,000	288,446
Unum Group:
5.625% 9/15/20	1,846,000	2,021,305
5.75% 8/15/42	3,748,000	3,926,161
7.125% 9/30/16	106,000	109,201
		66,354,287
Real Estate Investment Trusts - 2.3%
AvalonBay Communities, Inc. 4.2% 12/15/23	4,553,000	4,893,596
Camden Property Trust 4.25% 1/15/24	758,000	809,250
CommonWealth REIT 5.875% 9/15/20	1,260,000	1,372,222
Corporate Office Properties LP:
3.6% 5/15/23	2,201,000	2,049,534
3.7% 6/15/21	476,000	470,607
DDR Corp.:
4.625% 7/15/22	391,000	406,270
4.75% 4/15/18	1,764,000	1,834,779
7.5% 4/1/17	4,000,000	4,221,748
9.625% 3/15/16	214,000	214,596
Duke Realty LP:
3.875% 10/15/22	403,000	414,909
4.375% 6/15/22	206,000	217,028
6.75% 3/15/20	1,295,000	1,484,602
Equity One, Inc. 3.75% 11/15/22	3,000,000	2,999,643
Health Care REIT, Inc.:
2.25% 3/15/18	324,000	323,149
4.7% 9/15/17	548,000	570,716
Lexington Corporate Properties Trust 4.4% 6/15/24	250,000	252,788
Retail Opportunity Investments Partnership LP 5% 12/15/23	167,000	173,114
		22,708,551
Real Estate Management & Development - 3.0%
BioMed Realty LP 3.85% 4/15/16	914,000	914,857
Brandywine Operating Partnership LP:
3.95% 2/15/23	2,017,000	2,003,906
4.1% 10/1/24	3,000,000	2,958,972
4.55% 10/1/29	2,014,000	2,010,171
4.95% 4/15/18	290,000	303,020
Essex Portfolio LP 5.5% 3/15/17	3,479,000	3,609,323
Liberty Property LP:
3.375% 6/15/23	1,087,000	1,060,217
4.125% 6/15/22	1,832,000	1,890,967
4.4% 2/15/24	1,039,000	1,079,647
4.75% 10/1/20	752,000	811,000
5.5% 12/15/16	2,436,000	2,505,872
6.625% 10/1/17	1,960,000	2,085,905
Mack-Cali Realty LP:
2.5% 12/15/17	488,000	483,462
3.15% 5/15/23	922,000	798,681
4.5% 4/18/22	94,000	91,519
7.75% 8/15/19	126,000	138,328
Mid-America Apartments LP 4.3% 10/15/23	180,000	190,352
Post Apartment Homes LP 3.375% 12/1/22	4,905,000	4,899,472
Prime Property Funding, Inc. 5.7% 4/15/17 (a)	276,000	284,555
Reckson Operating Partnership LP 6% 3/31/16	286,000	286,941
Tanger Properties LP:
3.875% 12/1/23	398,000	408,259
6.125% 6/1/20	661,000	751,626
Ventas Realty LP 4.125% 1/15/26	345,000	349,842
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	508,000	505,400
		30,422,294

TOTAL FINANCIALS		393,329,735

HEALTH CARE - 5.6%
Biotechnology - 1.4%
AbbVie, Inc.:
1.75% 11/6/17	999,000	998,434
2.5% 5/14/20	1,885,000	1,883,745
3.2% 11/6/22	1,183,000	1,193,241
3.6% 5/14/25	1,758,000	1,792,132
4.4% 11/6/42	627,000	600,931
4.5% 5/14/35	1,694,000	1,683,318
Amgen, Inc. 2.2% 5/22/19	5,630,000	5,702,413
		13,854,214
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 4.685% 12/15/44	288,000	297,298
Medtronic, Inc. 3.15% 3/15/22	4,650,000	4,848,955
		5,146,253
Health Care Providers & Services - 1.4%
Express Scripts Holding Co. 4.75% 11/15/21	3,000,000	3,212,478
UnitedHealth Group, Inc.:
3.35% 7/15/22	378,000	395,215
3.75% 7/15/25	2,607,000	2,774,161
3.95% 10/15/42	132,000	127,742
4.25% 3/15/43	2,500,000	2,500,000
4.625% 7/15/35	745,000	799,937
4.625% 11/15/41	965,000	1,022,354
4.75% 7/15/45	1,829,000	2,000,588
WellPoint, Inc.:
1.875% 1/15/18	288,000	287,401
2.375% 2/15/17	810,000	816,069
		13,935,945
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
2.15% 12/14/18	509,000	509,227
4.15% 2/1/24	248,000	258,948
5.3% 2/1/44	103,000	110,947
		879,122
Pharmaceuticals - 2.2%
Actavis Funding SCS 4.55% 3/15/35	5,473,000	5,500,912
Johnson & Johnson 4.5% 12/5/43	3,200,000	3,689,568
Roche Holdings, Inc. 3% 11/10/25 (a)	5,000,000	5,158,365
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	7,416,000	7,422,370
Zoetis, Inc.:
1.875% 2/1/18	123,000	121,675
3.45% 11/13/20	286,000	291,340
		22,184,230

TOTAL HEALTH CARE		55,999,764

INDUSTRIALS - 3.1%
Aerospace & Defense - 1.4%
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a)	3,251,000	3,286,637
L-3 Communications Corp. 3.95% 5/28/24	1,026,000	964,694
The Boeing Co. 1.65% 10/30/20	10,000,000	9,879,550
		14,130,881
Airlines - 0.1%
Aviation Capital Group Corp. 4.625% 1/31/18 (a)	549,000	557,279
Continental Airlines, Inc. 6.648% 3/15/19	33,749	34,296
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	39,094	40,028
8.36% 1/20/19	24,855	25,648
		657,251
Industrial Conglomerates - 0.8%
General Electric Co. 4.125% 10/9/42	434,000	438,805
Roper Technologies, Inc. 2.05% 10/1/18	7,475,000	7,437,984
		7,876,789
Machinery - 0.1%
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	270,000	268,284
4.65% 11/1/44	559,000	549,604
		817,888
Road & Rail - 0.3%
Burlington Northern Santa Fe LLC:
4.15% 4/1/45	1,008,000	983,073
4.4% 3/15/42	2,500,000	2,519,450
		3,502,523
Trading Companies & Distributors - 0.4%
Air Lease Corp.:
2.125% 1/15/18	408,000	398,310
3.75% 2/1/22	1,086,000	1,009,068
3.875% 4/1/21	3,305,000	3,197,588
		4,604,966

TOTAL INDUSTRIALS		31,590,298

INFORMATION TECHNOLOGY - 2.1%
Electronic Equipment & Components - 0.6%
Amphenol Corp. 3.125% 9/15/21	264,000	265,838
Tyco Electronics Group SA:
2.375% 12/17/18	185,000	185,821
6.55% 10/1/17	4,758,000	5,108,612
		5,560,271
IT Services - 0.1%
The Western Union Co. 2.875% 12/10/17	926,000	942,031
Software - 0.8%
Oracle Corp.:
3.25% 5/15/30	4,148,000	4,130,869
4.375% 5/15/55	4,148,000	3,986,838
5.375% 7/15/40	240,000	274,942
		8,392,649
Technology Hardware, Storage & Peripherals - 0.6%
Hewlett Packard Enterprise Co.:
4.4% 10/15/22 (a)	3,420,000	3,341,935
6.2% 10/15/35 (a)	3,426,000	2,969,277
		6,311,212

TOTAL INFORMATION TECHNOLOGY		21,206,163

MATERIALS - 1.6%
Chemicals - 0.7%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a)	5,220,000	5,129,349
Ecolab, Inc. 1.45% 12/8/17	434,000	431,829
Monsanto Co. 4.7% 7/15/64	1,925,000	1,541,736
		7,102,914
Metals & Mining - 0.9%
Alcoa, Inc.:
5.125% 10/1/24	543,000	490,736
5.4% 4/15/21	4,548,000	4,486,602
Anglo American Capital PLC 4.125% 4/15/21 (a)	2,394,000	1,837,395
BHP Billiton Financial (U.S.A.) Ltd.:
6.25% 10/19/75 (a)(b)	407,000	401,913
6.75% 10/19/75 (a)(b)	1,010,000	980,963
Corporacion Nacional del Cobre de Chile (Codelco):
4.875% 11/4/44 (a)	200,000	172,851
5.625% 10/18/43 (a)	425,000	404,634
		8,775,094

TOTAL MATERIALS		15,878,008

TELECOMMUNICATION SERVICES - 3.5%
Diversified Telecommunication Services - 2.4%
AT&T, Inc.:
4.5% 5/15/35	4,270,000	3,920,432
4.75% 5/15/46	2,316,000	2,106,810
5.55% 8/15/41	2,700,000	2,652,772
British Telecommunications PLC 2.35% 2/14/19	4,623,000	4,666,761
Verizon Communications, Inc.:
2.45% 11/1/22	634,000	612,804
3.5% 11/1/21	1,420,000	1,483,284
4.6% 4/1/21	460,000	501,806
5.012% 8/21/54	6,001,000	5,581,272
6.4% 9/15/33	1,509,000	1,758,693
6.55% 9/15/43	999,000	1,211,401
		24,496,035
Wireless Telecommunication Services - 1.1%
America Movil S.A.B. de CV 2.375% 9/8/16	1,450,000	1,456,296
Rogers Communications, Inc. 4.1% 10/1/23	4,398,000	4,661,330
Vodafone Group PLC 5.625% 2/27/17	5,000,000	5,207,990
		11,325,616

TOTAL TELECOMMUNICATION SERVICES		35,821,651

UTILITIES - 5.4%
Electric Utilities - 2.5%
Cleveland Electric Illuminating Co. 5.7% 4/1/17	223,000	230,266
DPL, Inc. 6.75% 10/1/19	3,400,000	3,408,500
Duke Energy Industries, Inc. 4.9% 7/15/43	3,000,000	3,348,411
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (a)	500,000	560,154
6.4% 9/15/20 (a)	1,310,000	1,495,626
FirstEnergy Corp.:
2.75% 3/15/18	699,000	706,122
4.25% 3/15/23	1,919,000	2,003,244
7.375% 11/15/31	6,732,000	8,366,691
Indiana Michigan Power Co. 4.2% 3/15/46	1,274,000	1,269,630
IPALCO Enterprises, Inc. 3.45% 7/15/20	1,894,000	1,886,898
Nevada Power Co. 6.65% 4/1/36	500,000	649,928
Tampa Electric Co. 6.55% 5/15/36	500,000	654,643
TECO Finance, Inc. 5.15% 3/15/20	114,000	124,087
Xcel Energy, Inc. 4.8% 9/15/41	554,000	584,149
		25,288,349
Gas Utilities - 0.7%
Boston Gas Co. 4.487% 2/15/42 (a)	2,000,000	1,996,464
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (a)	5,023,000	4,646,370
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	18,000	16,851
		6,659,685
Independent Power and Renewable Electricity Producers - 0.3%
TransAlta Corp. 1.9% 6/3/17	3,700,000	3,472,483
Multi-Utilities - 1.9%
Dominion Resources, Inc.:
2.9031% 9/30/66 (b)	7,158,000	4,810,541
7.5% 6/30/66 (b)	145,000	121,438
NiSource Finance Corp.:
5.25% 2/15/43	234,000	256,805
5.95% 6/15/41	1,493,000	1,745,533
6.4% 3/15/18	24,000	26,029
Puget Energy, Inc.:
3.65% 5/15/25	2,935,000	2,958,950
5.625% 7/15/22	4,240,000	4,760,647
6.5% 12/15/20	613,000	715,221
Sempra Energy:
2.3% 4/1/17	3,024,000	3,043,686
2.875% 10/1/22	224,000	216,841
Wisconsin Energy Corp. 6.25% 5/15/67 (b)	117,000	86,580
		18,742,271

TOTAL UTILITIES		54,162,788

TOTAL NONCONVERTIBLE BONDS
(Cost $872,309,685)		850,815,626

U.S. Treasury Obligations - 1.4%
U.S. Treasury Bonds 3% 11/15/45	4,670,000	5,047,065
U.S. Treasury Notes 2.25% 11/15/25	8,500,000	8,880,843
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $13,219,404)		13,927,908

Municipal Securities - 2.0%
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	280,000	426,555
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	$40,000	$57,365
7.3% 10/1/39	2,015,000	2,868,614
7.5% 4/1/34	1,165,000	1,671,670
7.55% 4/1/39	1,815,000	2,694,041
7.6% 11/1/40	6,715,000	10,134,077
7.625% 3/1/40	345,000	513,312
Chicago Gen. Oblig.:
(Taxable Proj.) Series 2012 B, 5.432% 1/1/42	160,000	132,290
6.314% 1/1/44	2,280,000	2,063,172
TOTAL MUNICIPAL SECURITIES
(Cost $19,422,802)		20,561,096

Bank Notes - 3.1%
Bank of America NA 2.05% 12/7/18	5,000,000	5,004,555
Capital One Bank NA 2.3% 6/5/19	5,000,000	4,969,595
JPMorgan Chase Bank 6% 10/1/17	10,850,000	11,509,836
Marshall & Ilsley Bank 5% 1/17/17	1,027,000	1,054,008
Regions Bank 7.5% 5/15/18	7,499,000	8,265,690
TOTAL BANK NOTES
(Cost $30,515,810)		30,803,684
	Shares	Value

Fixed-Income Funds - 4.0%
Fidelity Specialized High Income Central Fund (c)
(Cost $44,219,524)	423,267	40,159,579
	Principal Amount	Value

Preferred Securities - 1.0%
FINANCIALS - 1.0%
Banks - 1.0%
Barclays Bank PLC 7.625% 11/21/22	10,010,000	10,334,397
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346%(b)(d)	102,000	102,895
TOTAL PREFERRED SECURITIES
(Cost $11,719,408)		10,437,292
	Shares	Value

Money Market Funds - 2.9%
Fidelity Cash Central Fund, 0.40% (e)
(Cost $29,622,464)	29,622,464	29,622,464
TOTAL INVESTMENT PORTFOLIO - 98.8%
(Cost $1,021,029,097)		996,327,649
NET OTHER ASSETS (LIABILITIES) - 1.2%		12,135,247
NET ASSETS - 100%		$1,008,462,896

Legend

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

(c) 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.

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

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

Affiliated Central Funds

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	$83,226
Fidelity Specialized High Income Central Fund	1,164,269
Total	$1,247,495

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	$1,164,327	$--	$40,159,579	5.1%
Total	$41,748,012	$1,164,327	$--	$40,159,579

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$850,815,626	$--	$850,815,626	$--
U.S. Government and Government Agency Obligations	13,927,908	--	13,927,908	--
Municipal Securities	20,561,096	--	20,561,096	--
Bank Notes	30,803,684	--	30,803,684	--
Fixed-Income Funds	40,159,579	40,159,579	--	--
Preferred Securities	10,437,292	--	10,437,292	--
Money Market Funds	29,622,464	29,622,464	--	--
Total Investments in Securities:	$996,327,649	$69,782,043	$926,545,606	$--

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America	83.3%
United Kingdom	5.8%
Canada	3.3%
France	1.6%
Luxembourg	1.3%
Mexico	1.2%
Netherlands	1.2%
Others (Individually Less Than 1%)	2.3%
	100.0%

The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

		February 29, 2016 (Unaudited)
Assets
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $947,187,109)	$926,545,606
Fidelity Central Funds (cost $73,841,988)	69,782,043
Total Investments (cost $1,021,029,097)		$996,327,649
Receivable for investments sold		16,088,605
Receivable for fund shares sold		1,313,507
Interest receivable		10,509,183
Distributions receivable from Fidelity Central Funds		11,222
Total assets		1,024,250,166
Liabilities
Payable for investments purchased	$11,543,641
Payable for fund shares redeemed	3,682,978
Distributions payable	146,382
Accrued management fee	296,309
Distribution and service plan fees payable	22,391
Other affiliated payables	95,569
Total liabilities		15,787,270
Net Assets		$1,008,462,896
Net Assets consist of:
Paid in capital		$1,043,487,261
Undistributed net investment income		217,422
Accumulated undistributed net realized gain (loss) on investments		(10,540,339)
Net unrealized appreciation (depreciation) on investments		(24,701,448)
Net Assets		$1,008,462,896
Calculation of Maximum Offering Price
Class A:
Net Asset Value and redemption price per share ($32,055,064 ÷ 2,943,568 shares)		$10.89
Maximum offering price per share (100/96.00 of $10.89)		$11.34
Class T:
Net Asset Value and redemption price per share ($8,115,376 ÷ 745,233 shares)		$10.89
Maximum offering price per share (100/96.00 of $10.89)		$11.34
Class C:
Net Asset Value and offering price per share ($16,720,737 ÷ 1,535,610 shares)^(a)		$10.89
Corporate Bond:
Net Asset Value, offering price and redemption price per share ($836,467,233 ÷ 76,812,467 shares)		$10.89
Class I:
Net Asset Value, offering price and redemption price per share ($115,104,486 ÷ 10,569,753 shares)		$10.89

(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

		Six months ended February 29, 2016 (Unaudited)
Investment Income
Dividends		$384,868
Interest		17,717,074
Income from Fidelity Central Funds		1,247,495
Total income		19,349,437
Expenses
Management fee	$1,767,679
Transfer agent fees	562,687
Distribution and service plan fees	148,439
Independent trustees' compensation	2,101
Miscellaneous	672
Total expenses before reductions	2,481,578
Expense reductions	(63)	2,481,515
Net investment income (loss)		16,867,922
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(10,570,572)
Total net realized gain (loss)		(10,570,572)
Change in net unrealized appreciation (depreciation) on investment securities		(10,184,436)
Net gain (loss)		(20,755,008)
Net increase (decrease) in net assets resulting from operations		$(3,887,086)

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

	Six months ended February 29, 2016 (Unaudited)	Year ended August 31, 2015
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$16,867,922	$32,982,717
Net realized gain (loss)	(10,570,572)	2,801,939
Change in net unrealized appreciation (depreciation)	(10,184,436)	(44,998,470)
Net increase (decrease) in net assets resulting from operations	(3,887,086)	(9,213,814)
Distributions to shareholders from net investment income	(16,933,422)	(32,369,363)
Distributions to shareholders from net realized gain	–	(636,659)
Total distributions	(16,933,422)	(33,006,022)
Share transactions - net increase (decrease)	52,074,019	209,771,781
Total increase (decrease) in net assets	31,253,511	167,551,945
Net Assets
Beginning of period	977,209,385	809,657,440
End of period (including undistributed net investment income of $217,422 and undistributed net investment income of $282,922, respectively)	$1,008,462,896	$977,209,385

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class A

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.70	$10.45
Income from Investment Operations
Net investment income (loss)^A	.167	.319	.305	.277	.287	.356
Net realized and unrealized gain (loss)	(.219)	(.420)	.720	(.536)	.857	.366
Total from investment operations	(.052)	(.101)	1.025	(.259)	1.144	.722
Distributions from net investment income	(.168)	(.312)	(.305)	(.273)	(.294)	(.370)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.168)	(.319)	(.305)	(.351)	(.424)	(.472)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.70
Total Return^B,^C,^D	(.47)%	(.92)%	9.60%	(2.36)%	10.98%	7.16%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.80%^G	.79%	.79%	.76%	.76%	.75%
Expenses net of fee waivers, if any	.80%^G	.79%	.79%	.76%	.76%	.75%
Expenses net of all reductions	.80%^G	.79%	.79%	.76%	.76%	.75%
Net investment income (loss)	3.05%^G	2.79%	2.73%	2.43%	2.62%	3.43%
Supplemental Data
Net assets, end of period (000 omitted)	$32,055	$29,835	$27,677	$21,833	$40,842	$12,935
Portfolio turnover rate^H	33%^G	50%	61%	58%	103%	242%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the sales charges.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class T

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.69	$10.44
Income from Investment Operations
Net investment income (loss)^A	.163	.311	.298	.272	.284	.357
Net realized and unrealized gain (loss)	(.219)	(.420)	.720	(.537)	.868	.363
Total from investment operations	(.056)	(.109)	1.018	(.265)	1.152	.720
Distributions from net investment income	(.164)	(.304)	(.298)	(.267)	(.292)	(.368)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.164)	(.311)	(.298)	(.345)	(.422)	(.470)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.69
Total Return^B,^C,^D	(.51)%	(.99)%	9.53%	(2.42)%	11.06%	7.14%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.87%^G	.86%	.85%	.80%	.79%	.75%
Expenses net of fee waivers, if any	.87%^G	.86%	.85%	.80%	.79%	.75%
Expenses net of all reductions	.87%^G	.86%	.85%	.80%	.79%	.75%
Net investment income (loss)	2.98%^G	2.72%	2.67%	2.39%	2.59%	3.42%
Supplemental Data
Net assets, end of period (000 omitted)	$8,115	$7,812	$6,651	$6,502	$12,078	$5,153
Portfolio turnover rate^H	33%^G	50%	61%	58%	103%	242%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the sales charges.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class C

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.80	$11.42	$10.69	$10.44
Income from Investment Operations
Net investment income (loss)^A	.126	.231	.219	.189	.204	.280
Net realized and unrealized gain (loss)	(.219)	(.419)	.730	(.544)	.868	.361
Total from investment operations	(.093)	(.188)	.949	(.355)	1.072	.641
Distributions from net investment income	(.127)	(.225)	(.219)	(.187)	(.212)	(.289)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.127)	(.232)	(.219)	(.265)	(.342)	(.391)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.80	$11.42	$10.69
Total Return^B,^C,^D	(.85)%	(1.67)%	8.86%	(3.20)%	10.25%	6.34%
Ratios to Average Net Assets^E,^F
Expenses before reductions	1.55%^G	1.55%	1.56%	1.53%	1.51%	1.47%
Expenses net of fee waivers, if any	1.55%^G	1.55%	1.56%	1.53%	1.51%	1.47%
Expenses net of all reductions	1.55%^G	1.55%	1.56%	1.53%	1.51%	1.47%
Net investment income (loss)	2.30%^G	2.03%	1.96%	1.66%	1.86%	2.71%
Supplemental Data
Net assets, end of period (000 omitted)	$16,721	$20,372	$11,713	$13,705	$24,613	$11,111
Portfolio turnover rate^H	33%^G	50%	61%	58%	103%	242%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the contingent deferred sales charge.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.70	$10.45
Income from Investment Operations
Net investment income (loss)^A	.187	.358	.342	.309	.321	.388
Net realized and unrealized gain (loss)	(.220)	(.420)	.721	(.532)	.858	.367
Total from investment operations	(.033)	(.062)	1.063	(.223)	1.179	.755
Distributions from net investment income	(.187)	(.351)	(.343)	(.309)	(.329)	(.403)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.187)	(.358)	(.343)	(.387)	(.459)	(.505)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.70
Total Return^B,^C	(.30)%	(.58)%	9.96%	(2.06)%	11.32%	7.50%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of fee waivers, if any	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of all reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Net investment income (loss)	3.40%^F	3.13%	3.07%	2.74%	2.93%	3.72%
Supplemental Data
Net assets, end of period (000 omitted)	$836,467	$800,365	$697,733	$771,621	$471,540	$110,113
Portfolio turnover rate^G	33%^F	50%	61%	58%	103%	242%^H

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class I

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.70	$10.45
Income from Investment Operations
Net investment income (loss)^A	.184	.350	.336	.301	.316	.389
Net realized and unrealized gain (loss)	(.220)	(.418)	.720	(.530)	.858	.366
Total from investment operations	(.036)	(.068)	1.056	(.229)	1.174	.755
Distributions from net investment income	(.184)	(.345)	(.336)	(.303)	(.324)	(.403)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.184)	(.352)	(.336)	(.381)	(.454)	(.505)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.70
Total Return^B,^C	(.33)%	(.63)%	9.90%	(2.11)%	11.27%	7.51%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.50%^F	.50%	.51%	.52%	.49%	.43%
Expenses net of fee waivers, if any	.50%^F	.50%	.51%	.51%	.49%	.43%
Expenses net of all reductions	.50%^F	.50%	.51%	.51%	.49%	.43%
Net investment income (loss)	3.35%^F	3.07%	3.01%	2.68%	2.88%	3.75%
Supplemental Data
Net assets, end of period (000 omitted)	$115,104	$118,825	$65,882	$49,866	$5,996	$1,906
Portfolio turnover rate^G	33%^F	50%	61%	58%	103%	242%^H

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

Fidelity Corporate Bond Fund (the Fund) is a fund of Fidelity Salem Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, Corporate Bond and Class I shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense Ratio^(a)
Fidelity Specialized High Income Central Fund	FMR Co., Inc. (FMRC)	Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.	Loans & Direct Debt Instruments Restricted Securities	Less than .005%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing 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. 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 (NAV) each business day and are categorized as Level 1 in the hierarchy

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of February 29, 2016, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Book-tax differences are primarily due to market discount, partnerships (including allocations from Fidelity Central Funds), capital loss carryforwards and losses deferred due to wash sales.

The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:

Gross unrealized appreciation	$18,280,621
Gross unrealized depreciation	(42,441,657)
Net unrealized appreciation (depreciation) on securities	$(24,161,036)
Tax cost	$1,020,488,685

No expiration
Short-term	$(142,079)

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $183,486,425 and $124,296,217, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .35% of the Fund's average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as transfer agent and distribution and service plan fees and interest expense, including commitment fees.

	Distribution Fee	Service Fee	Total Fees	Retained by FDC
Class A	-%	.25%	$39,278	$712
Class T	-%	.25%	10,066	–
Class C	.75%	.25%	99,095	37,754
			$148,439	$38,466

Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.

For the period, sales charge amounts retained by FDC were as follows:

	Retained by FDC
Class A	$4,264
Class T	812
Class C^(a)	7,541
	$12,617

(a) When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Corporate Bond. FIIOC receives an asset-based fee of .10% of Corporate Bond's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:

	Amount	% of Class-Level Average Net Assets^(a)
Class A	$30,181	.19
Class T	10,853	.27
Class C	19,325	.20
Corporate Bond	412,686	.10
Class I	89,642	.15
	$562,687

(a) Annualized

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $672 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

8. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 29, 2016	Year ended August 31, 2015
From net investment income
Class A	$478,918	$813,671
Class T	119,762	210,742
Class C	227,987	348,748
Corporate Bond	14,132,674	28,038,926
Class I	1,974,081	2,957,276
Total	$16,933,422	$32,369,363
From net realized gain
Class A	$–	$18,619
Class T	–	4,862
Class C	–	9,110
Corporate Bond	–	560,454
Class I	–	43,614
Total	$–	$636,659

9. Share Transactions.

Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:

	Shares	Shares	Dollars	Dollars
	Six months ended February 29, 2016	Year ended August 31, 2015	Six months ended February 29, 2016	Year ended August 31, 2015
Class A
Shares sold	740,976	1,588,722	$8,165,728	$18,202,646
Reinvestment of distributions	41,691	68,942	459,363	788,156
Shares redeemed	(524,901)	(1,371,598)	(5,771,230)	(15,714,537)
Net increase (decrease)	257,766	286,066	$2,853,861	$3,276,265
Class T
Shares sold	112,675	417,162	$1,242,797	$4,774,665
Reinvestment of distributions	10,655	18,340	117,403	209,687
Shares redeemed	(81,306)	(309,008)	(893,864)	(3,517,632)
Net increase (decrease)	42,024	126,494	$466,336	$1,466,720
Class C
Shares sold	460,509	1,358,833	$5,068,212	$15,615,558
Reinvestment of distributions	20,410	30,744	225,003	350,856
Shares redeemed	(779,439)	(571,153)	(8,534,338)	(6,502,091)
Net increase (decrease)	(298,520)	818,424	$(3,241,123)	$9,464,323
Corporate Bond
Shares sold	15,124,070	48,939,032	$167,250,051	$561,678,125
Reinvestment of distributions	1,202,110	2,357,302	13,243,476	26,966,661
Shares redeemed	(11,564,249)	(39,742,648)	(127,157,165)	(450,652,855)
Net increase (decrease)	4,761,931	11,553,686	$53,336,362	$137,991,931
Class I
Shares sold	839,534	6,825,368	$9,231,468	$78,597,874
Reinvestment of distributions	175,567	259,436	1,934,792	2,961,561
Shares redeemed	(1,141,978)	(2,100,347)	(12,507,677)	(23,986,893)
Net increase (decrease)	(126,877)	4,984,457	$(1,341,417)	$57,572,542

10. Other.

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2015 to February 29, 2016).

Actual Expenses

Hypothetical Example for Comparison Purposes

	Annualized Expense Ratio-^A	Beginning Account Value September 1, 2015	Ending Account Value February 29, 2016	Expenses Paid During Period-^B September 1, 2015 to February 29, 2016
Class A	.80%
Actual		$1,000.00	$995.30	$3.97
Hypothetical-^C		$1,000.00	$1,020.89	$4.02
Class T	.87%
Actual		$1,000.00	$994.90	$4.32
Hypothetical-^C		$1,000.00	$1,020.54	$4.37
Class C	1.55%
Actual		$1,000.00	$991.50	$7.67
Hypothetical-^C		$1,000.00	$1,017.16	$7.77
Corporate Bond	.45%
Actual		$1,000.00	$997.00	$2.23
Hypothetical-^C		$1,000.00	$1,022.63	$2.26
Class I	.50%
Actual		$1,000.00	$996.70	$2.48
Hypothetical-^C		$1,000.00	$1,022.38	$2.51

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

^C 5% return per year before expenses

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Corporate Bond Fund

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

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board. Because the vast majority of competitor funds' management fees do not cover non-management expenses, for a more meaningful comparison of management fees, the fund is compared on the basis of a hypothetical "net management fee," which is derived by subtracting payments made by FMR for "fund-level" non-management expenses (including pricing and bookkeeping fees and fees paid to non-affiliated custodians) from the fund's management fee. In this regard, the Board considered that net management fees can vary from year to year because of differences in "fund-level" non-management expenses, and that "fund-level" non-management expenses may exceed the fund's management fee and result in a negative net management fee. The Board noted, however, that FMR does not pay transfer agent fees or other "class-level" expenses (including 12b-1 fees, if applicable) under the fund's management contract.

Fidelity Corporate Bond Fund

The Board noted that the fund's hypothetical net management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2014. The Board noted that a hypothetical net management fee is truly a hypothetical number derived for purposes of providing a more meaningful competitive comparison and a negative net management fee is not intended to suggest that Fidelity pays the fund to manage the fund's assets.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of each class's total expense ratio, the Board considered the fund's hypothetical net management fee rate as well as the fund's gross management fee. The Board also considered other "fund-level" expenses, such as pricing and bookkeeping fees and custodial, legal, and audit fees. The Board also considered other "class-level" expenses, such as transfer agent fees and fund-paid 12b-1 fees. The Board also noted that Fidelity may agree to waive fees and expenses from time to time, and the extent to which, if any, it has done so for the fund. As part of its review, the Board also considered the current and historical total expense ratios of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Fidelity Investments

ACBD-SANN-0416
1.907028.105

Fidelity® Corporate Bond Fund

Semi-Annual Report

February 29, 2016

Contents

Investment Summary
Investments
Financial Statements
Notes to Financial Statements
Shareholder Expense Example
Board Approval of Investment Advisory Contracts and Management Fees

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.

Investment Summary (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

Quality Diversification (% of fund's net assets)

As of February 29, 2016
	U.S. Government and U.S. Government Agency Obligations	1.4%
	AAA	2.2%
	AA	3.1%
	A	18.4%
	BBB	52.9%
	BB and Below	17.2%
	Not Rated	0.6%
	Short-Term Investments and Net Other Assets	4.2%

As of August 31, 2015
	AAA	0.3%
	AA	2.2%
	A	16.5%
	BBB	57.0%
	BB and Below	17.5%
	Short-Term Investments and Net Other Assets	6.5%

Weighted Average Maturity as of February 29, 2016

		6 months ago
Years	10.8	10.9

Duration as of February 29, 2016

		6 months ago
Years	6.8	6.9

Asset Allocation (% of fund's net assets)

As of February 29, 2016^*
	Corporate Bonds	87.5%
	U.S. Government and U.S. Government Agency Obligations	1.4%
	Municipal Bonds	2.0%
	Other Investments	4.9%
	Short-Term Investments and Net Other Assets (Liabilities)	4.2%

* Foreign investments - 16.7%

As of August 31, 2015^*
	Corporate Bonds	87.1%
	Municipal Bonds	1.9%
	Other Investments	4.5%
	Short-Term Investments and Net Other Assets (Liabilities)	6.5%

* Foreign investments - 19.2%

Investments February 29, 2016 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 84.4%
	Principal Amount	Value
CONSUMER DISCRETIONARY - 8.2%
Automobiles - 1.6%
Ford Motor Co. 4.75% 1/15/43	$3,184,000	$2,923,832
General Motors Co.:
5% 4/1/35	2,537,000	2,213,279
5.2% 4/1/45	4,206,000	3,634,228
General Motors Financial Co., Inc. 3.1% 1/15/19	4,827,000	4,775,771
Volkswagen International Finance NV 2.375% 3/22/17 (a)	2,050,000	2,049,080
		15,596,190
Diversified Consumer Services - 0.0%
Ingersoll-Rand Global Holding Co. Ltd. 5.75% 6/15/43	396,000	449,072
Hotels, Restaurants & Leisure - 1.3%
McDonald's Corp.:
2.1% 12/7/18	7,930,000	8,032,408
2.75% 12/9/20	200,000	205,810
3.7% 1/30/26	527,000	550,076
4.7% 12/9/35	272,000	281,553
4.875% 12/9/45	4,027,000	4,231,535
		13,301,382
Household Durables - 1.5%
D.R. Horton, Inc.:
3.75% 3/1/19	4,500,000	4,578,750
4% 2/15/20	5,000,000	5,087,500
Toll Brothers Finance Corp. 4.375% 4/15/23	5,750,000	5,548,750
		15,215,000
Internet & Catalog Retail - 0.6%
Amazon.com, Inc. 4.8% 12/5/34	5,101,000	5,512,482
Media - 3.0%
21st Century Fox America, Inc.:
6.15% 2/15/41	4,800,000	5,175,168
6.9% 8/15/39	300,000	337,577
7.75% 12/1/45	111,000	139,909
Comcast Corp.:
4.65% 7/15/42	2,200,000	2,333,353
6.4% 3/1/40	1,150,000	1,474,567
Discovery Communications LLC 4.875% 4/1/43	5,108,000	4,090,108
NBCUniversal, Inc. 5.15% 4/30/20	3,625,000	4,080,543
Time Warner Cable, Inc.:
5.5% 9/1/41	623,000	554,658
5.875% 11/15/40	1,648,000	1,533,377
6.55% 5/1/37	1,329,000	1,338,847
6.75% 7/1/18	700,000	762,787
7.3% 7/1/38	1,188,000	1,253,705
8.25% 4/1/19	1,856,000	2,122,065
Time Warner, Inc.:
2.1% 6/1/19	3,000,000	2,973,819
6.2% 3/15/40	1,700,000	1,803,906
Viacom, Inc. 3.5% 4/1/17	34,000	34,337
		30,008,726
Specialty Retail - 0.2%
AutoZone, Inc. 3.7% 4/15/22	253,000	261,993
Home Depot, Inc. 5.95% 4/1/41	941,000	1,200,737
Lowe's Companies, Inc. 5.125% 11/15/41	650,000	742,030
		2,204,760

TOTAL CONSUMER DISCRETIONARY		82,287,612

CONSUMER STAPLES - 4.5%
Beverages - 3.0%
Anheuser-Busch InBev Finance, Inc.:
1.9% 2/1/19	4,584,000	4,627,447
2.65% 2/1/21	2,215,000	2,254,407
3.3% 2/1/23	2,385,000	2,451,737
3.65% 2/1/26	3,500,000	3,609,869
4.7% 2/1/36	2,258,000	2,367,718
4.9% 2/1/46	2,583,000	2,768,725
Constellation Brands, Inc.:
3.75% 5/1/21	2,000,000	2,045,000
4.25% 5/1/23	3,315,000	3,435,169
Heineken NV 4% 10/1/42 (a)	96,000	90,982
PepsiCo, Inc. 4.25% 10/22/44	6,629,000	6,856,567
		30,507,621
Food Products - 0.2%
The J.M. Smucker Co. 2.5% 3/15/20	1,642,000	1,655,780
Tobacco - 1.3%
Imperial Tobacco Finance PLC:
3.75% 7/21/22 (a)	4,575,000	4,696,137
4.25% 7/21/25 (a)	1,134,000	1,180,476
Philip Morris International, Inc. 4.375% 11/15/41	2,100,000	2,167,320
Reynolds American, Inc.:
2.3% 6/12/18	528,000	533,644
3.25% 6/12/20	235,000	244,395
4% 6/12/22	366,000	395,135
4.45% 6/12/25	1,778,000	1,931,050
5.7% 8/15/35	304,000	343,241
5.85% 8/15/45	1,267,000	1,487,326
6.75% 6/15/17	384,000	412,216
		13,390,940

TOTAL CONSUMER STAPLES		45,554,341

ENERGY - 11.4%
Energy Equipment & Services - 2.0%
DCP Midstream LLC:
4.75% 9/30/21 (a)	158,000	107,223
5.35% 3/15/20 (a)	10,096,000	7,602,874
5.85% 5/21/43 (a)(b)	7,500,000	3,975,000
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	658,000	664,096
Ensco PLC:
5.2% 3/15/25	1,787,000	911,370
5.75% 10/1/44	561,000	264,231
Halliburton Co. 3.375% 11/15/22	5,850,000	5,765,292
Noble Holding International Ltd. 3.05% 3/1/16	450,000	450,000
		19,740,086
Oil, Gas & Consumable Fuels - 9.4%
Anadarko Petroleum Corp.:
5.95% 9/15/16	393,000	395,255
6.375% 9/15/17	3,626,000	3,684,125
Apache Corp. 4.75% 4/15/43	3,233,000	2,472,608
Boardwalk Pipelines LP 4.95% 12/15/24	4,120,000	3,527,198
Canadian Natural Resources Ltd. 3.9% 2/1/25	4,325,000	3,355,880
Cenovus Energy, Inc.:
3.8% 9/15/23	5,000,000	3,655,570
5.7% 10/15/19	1,189,000	1,049,249
Chevron Corp. 1.344% 11/9/17	7,500,000	7,482,840
DCP Midstream Operating LP:
2.5% 12/1/17	370,000	337,713
2.7% 4/1/19	64,000	52,490
3.875% 3/15/23	222,000	159,959
4.95% 4/1/22	1,925,000	1,456,694
5.6% 4/1/44	340,000	207,764
Devon Energy Corp. 2.25% 12/15/18	910,000	792,997
El Paso Natural Gas Co. 5.95% 4/15/17	492,000	497,783
Enbridge Energy Partners LP 4.2% 9/15/21	140,000	123,882
EnLink Midstream Partners LP 2.7% 4/1/19	1,021,000	796,920
Enterprise Products Operating LP:
2.55% 10/15/19	163,000	157,748
3.75% 2/15/25	547,000	518,774
4.85% 3/15/44	2,023,000	1,736,302
4.95% 10/15/54	2,437,000	1,945,377
Exxon Mobil Corp.:
3.1% 3/1/26	5,024,000	5,024,000
4.114% 3/1/46	5,034,000	5,034,000
Kinder Morgan Energy Partners LP:
3.5% 3/1/21	240,000	216,448
3.95% 9/1/22	518,000	468,322
4.25% 9/1/24	181,000	156,747
5.5% 3/1/44	1,641,000	1,339,176
Kinder Morgan, Inc. 3.05% 12/1/19	3,907,000	3,606,747
Marathon Petroleum Corp. 2.7% 12/14/18	247,000	239,222
ONEOK Partners LP 2% 10/1/17	2,822,000	2,648,128
Petro-Canada 6.05% 5/15/18	4,470,000	4,573,101
Petroleos Mexicanos:
3.5% 7/18/18	959,000	951,808
5.5% 2/4/19 (a)	1,440,000	1,488,960
5.5% 1/21/21	545,000	550,341
6% 3/5/20	116,000	119,306
6.375% 2/4/21 (a)	3,870,000	4,023,833
6.375% 1/23/45	937,000	812,801
6.875% 8/4/26 (a)	2,930,000	3,034,015
Phillips 66 Co.:
2.95% 5/1/17	2,767,000	2,801,748
4.3% 4/1/22	300,000	305,975
4.65% 11/15/34	3,750,000	3,424,838
Plains All American Pipeline LP/PAA Finance Corp. 3.6% 11/1/24	5,000,000	3,844,575
Southeast Supply Header LLC 4.25% 6/15/24 (a)	667,000	626,008
Spectra Energy Capital, LLC 5.65% 3/1/20	56,000	55,926
Spectra Energy Partners, LP:
2.95% 6/15/16	452,000	452,525
4.6% 6/15/21	414,000	423,136
Talisman Energy, Inc. 3.75% 2/1/21	3,635,000	2,583,638
The Williams Companies, Inc. 5.75% 6/24/44	4,911,000	3,216,705
TransCanada PipeLines Ltd. 3.125% 1/15/19	933,000	938,942
Western Gas Partners LP:
2.6% 8/15/18	858,000	749,798
5.375% 6/1/21	1,273,000	1,087,445
Williams Partners LP:
3.35% 8/15/22	2,500,000	1,850,625
4% 9/15/25	5,000,000	3,805,405
4.3% 3/4/24	491,000	383,808
		95,245,180

TOTAL ENERGY		114,985,266

FINANCIALS - 39.0%
Banks - 13.9%
ABN AMRO Bank NV 2.45% 6/4/20 (a)	5,000,000	4,986,515
Bank of America Corp.:
2.65% 4/1/19	1,524,000	1,531,772
3.95% 4/21/25	4,128,000	3,996,800
4% 1/22/25	3,277,000	3,187,413
4.2% 8/26/24	10,942,000	10,954,704
5.75% 12/1/17	3,000,000	3,181,635
Bank of Nova Scotia 4.5% 12/16/25	7,405,000	7,267,452
Barclays PLC 3.65% 3/16/25	4,116,000	3,781,999
BNP Paribas SA 4.25% 10/15/24	6,500,000	6,281,451
BPCE SA 5.15% 7/21/24 (a)	6,475,000	6,365,547
Citigroup, Inc.:
2.05% 12/7/18	5,000,000	4,970,085
2.5% 7/29/19	4,000,000	4,009,648
4.05% 7/30/22	316,000	322,034
4.4% 6/10/25	1,221,000	1,217,442
5.5% 9/13/25	1,317,000	1,410,942
8.125% 7/15/39	1,924,000	2,744,147
Citizens Bank NA 2.3% 12/3/18	799,000	800,010
Citizens Financial Group, Inc. 4.15% 9/28/22 (a)	517,000	529,414
Credit Agricole SA 4.375% 3/17/25 (a)	3,636,000	3,461,734
Credit Suisse AG 6% 2/15/18	122,000	129,161
Credit Suisse New York Branch 3% 10/29/21	1,550,000	1,551,652
Discover Bank:
2% 2/21/18	3,900,000	3,852,978
7% 4/15/20	2,391,000	2,695,910
Fifth Third Bancorp:
4.3% 1/16/24	4,001,000	4,118,241
5.45% 1/15/17	1,232,000	1,272,346
8.25% 3/1/38	3,848,000	5,418,858
Huntington Bancshares, Inc. 7% 12/15/20	1,087,000	1,289,810
Intesa Sanpaolo SpA:
5.017% 6/26/24 (a)	7,245,000	6,658,068
5.71% 1/15/26 (a)	1,569,000	1,494,975
JPMorgan Chase & Co. 3.875% 2/1/24	5,000,000	5,262,335
Rabobank Nederland 4.625% 12/1/23	4,531,000	4,621,905
Regions Bank 6.45% 6/26/37	2,611,000	3,129,599
Regions Financial Corp. 2% 5/15/18	558,000	553,052
Royal Bank of Canada 4.65% 1/27/26	1,181,000	1,191,243
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	3,640,000	3,486,508
6% 12/19/23	5,228,000	5,281,420
6.1% 6/10/23	1,000,000	1,012,500
6.125% 12/15/22	5,972,000	6,268,665
SunTrust Banks, Inc. 2.5% 5/1/19	5,184,000	5,209,184
Wells Fargo & Co. 4.65% 11/4/44	4,700,000	4,598,231
		140,097,385
Capital Markets - 6.1%
Blackstone Holdings Finance Co. LLC 4.45% 7/15/45 (a)	8,385,000	7,691,527
Deutsche Bank AG 4.5% 4/1/25	5,594,000	4,741,665
Goldman Sachs Group, Inc.:
3.75% 5/22/25	6,000,000	6,076,794
3.75% 2/25/26	5,000,000	5,043,795
4.25% 10/21/25	4,750,000	4,726,739
5.25% 7/27/21	1,227,000	1,361,080
5.95% 1/18/18	178,000	189,799
6.15% 4/1/18	204,000	219,880
Janus Capital Group, Inc. 4.875% 8/1/25	2,848,000	2,994,108
Lazard Group LLC 6.85% 6/15/17	31,000	32,593
Merrill Lynch & Co., Inc. 6.11% 1/29/37	2,269,000	2,470,122
Morgan Stanley:
3.875% 1/27/26	5,020,000	5,158,502
4.3% 1/27/45	948,000	903,992
4.875% 11/1/22	9,466,000	9,980,222
5.5% 7/28/21	1,222,000	1,370,692
5.625% 9/23/19	329,000	361,074
5.75% 1/25/21	557,000	626,065
6.625% 4/1/18	153,000	166,572
Peachtree Corners Funding Trust 3.976% 2/15/25 (a)	7,500,000	7,408,530
		61,523,751
Consumer Finance - 4.1%
Ally Financial, Inc.:
4.125% 2/13/22	5,560,000	5,407,100
4.75% 9/10/18	4,500,000	4,584,375
Caterpillar Financial Services Corp. 1.8% 11/13/18	7,500,000	7,600,628
Discover Financial Services:
3.85% 11/21/22	2,538,000	2,505,547
5.2% 4/27/22	2,355,000	2,476,447
Ford Motor Credit Co. LLC:
1.5% 1/17/17	599,000	596,440
2.597% 11/4/19	4,950,000	4,876,889
General Electric Capital Corp. 5.875% 1/14/38	150,000	188,693
Hyundai Capital America:
2.125% 10/2/17 (a)	197,000	197,159
2.55% 2/6/19 (a)	3,163,000	3,172,739
2.875% 8/9/18 (a)	4,930,000	4,967,049
Synchrony Financial 2.6% 1/15/19	5,000,000	4,958,650
		41,531,716
Diversified Financial Services - 3.0%
Berkshire Hathaway Finance Corp. 4.4% 5/15/42	107,000	106,537
CME Group, Inc. 5.3% 9/15/43	3,050,000	3,568,253
ING U.S., Inc.:
5.5% 7/15/22	2,028,000	2,249,782
5.7% 7/15/43	2,607,000	2,897,913
McGraw Hill Financial, Inc.:
3.3% 8/14/20	4,913,000	5,035,476
4% 6/15/25	6,038,000	6,126,511
Moody's Corp.:
2.75% 7/15/19	6,920,000	7,052,878
5.25% 7/15/44	3,386,000	3,654,401
		30,691,751
Insurance - 6.6%
ACE INA Holdings, Inc.:
2.3% 11/3/20	672,000	675,967
2.875% 11/3/22	641,000	652,464
3.35% 5/3/26	516,000	528,294
4.35% 11/3/45	525,000	550,677
American International Group, Inc.:
4.375% 1/15/55	2,685,000	2,181,334
4.5% 7/16/44	5,833,000	5,169,835
Aon Corp. 6.25% 9/30/40	253,000	280,982
Aon PLC:
3.5% 6/14/24	2,830,000	2,857,941
4.75% 5/15/45	6,000,000	5,911,980
Assurant, Inc. 2.5% 3/15/18	3,842,000	3,843,779
Five Corners Funding Trust 4.419% 11/15/23 (a)	4,111,000	4,255,037
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (a)(b)	66,000	64,680
Hartford Financial Services Group, Inc.:
4.3% 4/15/43	1,211,000	1,110,149
8.125% 6/15/38 (b)	4,915,000	5,258,559
Liberty Mutual Group, Inc. 4.95% 5/1/22 (a)	5,250,000	5,675,523
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	1,643,000	1,805,345
Massachusetts Mutual Life Insurance Co.:
4.5% 4/15/65 (a)	2,264,000	2,090,476
5.375% 12/1/41 (a)	148,000	162,473
New York Life Global Funding 1.55% 11/2/18 (a)	7,890,000	7,859,671
Pacific LifeCorp:
5.125% 1/30/43 (a)	1,285,000	1,278,452
6% 2/10/20 (a)	902,000	1,009,237
Pricoa Global Funding I 5.625% 6/15/43 (b)	5,000,000	4,940,000
Prudential Financial, Inc. 5.625% 5/12/41	1,170,000	1,228,948
Symetra Financial Corp. 6.125% 4/1/16 (a)	615,000	617,371
TIAA Asset Management Finance LLC 2.95% 11/1/19 (a)	287,000	288,446
Unum Group:
5.625% 9/15/20	1,846,000	2,021,305
5.75% 8/15/42	3,748,000	3,926,161
7.125% 9/30/16	106,000	109,201
		66,354,287
Real Estate Investment Trusts - 2.3%
AvalonBay Communities, Inc. 4.2% 12/15/23	4,553,000	4,893,596
Camden Property Trust 4.25% 1/15/24	758,000	809,250
CommonWealth REIT 5.875% 9/15/20	1,260,000	1,372,222
Corporate Office Properties LP:
3.6% 5/15/23	2,201,000	2,049,534
3.7% 6/15/21	476,000	470,607
DDR Corp.:
4.625% 7/15/22	391,000	406,270
4.75% 4/15/18	1,764,000	1,834,779
7.5% 4/1/17	4,000,000	4,221,748
9.625% 3/15/16	214,000	214,596
Duke Realty LP:
3.875% 10/15/22	403,000	414,909
4.375% 6/15/22	206,000	217,028
6.75% 3/15/20	1,295,000	1,484,602
Equity One, Inc. 3.75% 11/15/22	3,000,000	2,999,643
Health Care REIT, Inc.:
2.25% 3/15/18	324,000	323,149
4.7% 9/15/17	548,000	570,716
Lexington Corporate Properties Trust 4.4% 6/15/24	250,000	252,788
Retail Opportunity Investments Partnership LP 5% 12/15/23	167,000	173,114
		22,708,551
Real Estate Management & Development - 3.0%
BioMed Realty LP 3.85% 4/15/16	914,000	914,857
Brandywine Operating Partnership LP:
3.95% 2/15/23	2,017,000	2,003,906
4.1% 10/1/24	3,000,000	2,958,972
4.55% 10/1/29	2,014,000	2,010,171
4.95% 4/15/18	290,000	303,020
Essex Portfolio LP 5.5% 3/15/17	3,479,000	3,609,323
Liberty Property LP:
3.375% 6/15/23	1,087,000	1,060,217
4.125% 6/15/22	1,832,000	1,890,967
4.4% 2/15/24	1,039,000	1,079,647
4.75% 10/1/20	752,000	811,000
5.5% 12/15/16	2,436,000	2,505,872
6.625% 10/1/17	1,960,000	2,085,905
Mack-Cali Realty LP:
2.5% 12/15/17	488,000	483,462
3.15% 5/15/23	922,000	798,681
4.5% 4/18/22	94,000	91,519
7.75% 8/15/19	126,000	138,328
Mid-America Apartments LP 4.3% 10/15/23	180,000	190,352
Post Apartment Homes LP 3.375% 12/1/22	4,905,000	4,899,472
Prime Property Funding, Inc. 5.7% 4/15/17 (a)	276,000	284,555
Reckson Operating Partnership LP 6% 3/31/16	286,000	286,941
Tanger Properties LP:
3.875% 12/1/23	398,000	408,259
6.125% 6/1/20	661,000	751,626
Ventas Realty LP 4.125% 1/15/26	345,000	349,842
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	508,000	505,400
		30,422,294

TOTAL FINANCIALS		393,329,735

HEALTH CARE - 5.6%
Biotechnology - 1.4%
AbbVie, Inc.:
1.75% 11/6/17	999,000	998,434
2.5% 5/14/20	1,885,000	1,883,745
3.2% 11/6/22	1,183,000	1,193,241
3.6% 5/14/25	1,758,000	1,792,132
4.4% 11/6/42	627,000	600,931
4.5% 5/14/35	1,694,000	1,683,318
Amgen, Inc. 2.2% 5/22/19	5,630,000	5,702,413
		13,854,214
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 4.685% 12/15/44	288,000	297,298
Medtronic, Inc. 3.15% 3/15/22	4,650,000	4,848,955
		5,146,253
Health Care Providers & Services - 1.4%
Express Scripts Holding Co. 4.75% 11/15/21	3,000,000	3,212,478
UnitedHealth Group, Inc.:
3.35% 7/15/22	378,000	395,215
3.75% 7/15/25	2,607,000	2,774,161
3.95% 10/15/42	132,000	127,742
4.25% 3/15/43	2,500,000	2,500,000
4.625% 7/15/35	745,000	799,937
4.625% 11/15/41	965,000	1,022,354
4.75% 7/15/45	1,829,000	2,000,588
WellPoint, Inc.:
1.875% 1/15/18	288,000	287,401
2.375% 2/15/17	810,000	816,069
		13,935,945
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc.:
2.15% 12/14/18	509,000	509,227
4.15% 2/1/24	248,000	258,948
5.3% 2/1/44	103,000	110,947
		879,122
Pharmaceuticals - 2.2%
Actavis Funding SCS 4.55% 3/15/35	5,473,000	5,500,912
Johnson & Johnson 4.5% 12/5/43	3,200,000	3,689,568
Roche Holdings, Inc. 3% 11/10/25 (a)	5,000,000	5,158,365
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	7,416,000	7,422,370
Zoetis, Inc.:
1.875% 2/1/18	123,000	121,675
3.45% 11/13/20	286,000	291,340
		22,184,230

TOTAL HEALTH CARE		55,999,764

INDUSTRIALS - 3.1%
Aerospace & Defense - 1.4%
BAE Systems Holdings, Inc. 2.85% 12/15/20 (a)	3,251,000	3,286,637
L-3 Communications Corp. 3.95% 5/28/24	1,026,000	964,694
The Boeing Co. 1.65% 10/30/20	10,000,000	9,879,550
		14,130,881
Airlines - 0.1%
Aviation Capital Group Corp. 4.625% 1/31/18 (a)	549,000	557,279
Continental Airlines, Inc. 6.648% 3/15/19	33,749	34,296
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	39,094	40,028
8.36% 1/20/19	24,855	25,648
		657,251
Industrial Conglomerates - 0.8%
General Electric Co. 4.125% 10/9/42	434,000	438,805
Roper Technologies, Inc. 2.05% 10/1/18	7,475,000	7,437,984
		7,876,789
Machinery - 0.1%
Ingersoll-Rand Luxembourg Finance SA:
2.625% 5/1/20	270,000	268,284
4.65% 11/1/44	559,000	549,604
		817,888
Road & Rail - 0.3%
Burlington Northern Santa Fe LLC:
4.15% 4/1/45	1,008,000	983,073
4.4% 3/15/42	2,500,000	2,519,450
		3,502,523
Trading Companies & Distributors - 0.4%
Air Lease Corp.:
2.125% 1/15/18	408,000	398,310
3.75% 2/1/22	1,086,000	1,009,068
3.875% 4/1/21	3,305,000	3,197,588
		4,604,966

TOTAL INDUSTRIALS		31,590,298

INFORMATION TECHNOLOGY - 2.1%
Electronic Equipment & Components - 0.6%
Amphenol Corp. 3.125% 9/15/21	264,000	265,838
Tyco Electronics Group SA:
2.375% 12/17/18	185,000	185,821
6.55% 10/1/17	4,758,000	5,108,612
		5,560,271
IT Services - 0.1%
The Western Union Co. 2.875% 12/10/17	926,000	942,031
Software - 0.8%
Oracle Corp.:
3.25% 5/15/30	4,148,000	4,130,869
4.375% 5/15/55	4,148,000	3,986,838
5.375% 7/15/40	240,000	274,942
		8,392,649
Technology Hardware, Storage & Peripherals - 0.6%
Hewlett Packard Enterprise Co.:
4.4% 10/15/22 (a)	3,420,000	3,341,935
6.2% 10/15/35 (a)	3,426,000	2,969,277
		6,311,212

TOTAL INFORMATION TECHNOLOGY		21,206,163

MATERIALS - 1.6%
Chemicals - 0.7%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (a)	5,220,000	5,129,349
Ecolab, Inc. 1.45% 12/8/17	434,000	431,829
Monsanto Co. 4.7% 7/15/64	1,925,000	1,541,736
		7,102,914
Metals & Mining - 0.9%
Alcoa, Inc.:
5.125% 10/1/24	543,000	490,736
5.4% 4/15/21	4,548,000	4,486,602
Anglo American Capital PLC 4.125% 4/15/21 (a)	2,394,000	1,837,395
BHP Billiton Financial (U.S.A.) Ltd.:
6.25% 10/19/75 (a)(b)	407,000	401,913
6.75% 10/19/75 (a)(b)	1,010,000	980,963
Corporacion Nacional del Cobre de Chile (Codelco):
4.875% 11/4/44 (a)	200,000	172,851
5.625% 10/18/43 (a)	425,000	404,634
		8,775,094

TOTAL MATERIALS		15,878,008

TELECOMMUNICATION SERVICES - 3.5%
Diversified Telecommunication Services - 2.4%
AT&T, Inc.:
4.5% 5/15/35	4,270,000	3,920,432
4.75% 5/15/46	2,316,000	2,106,810
5.55% 8/15/41	2,700,000	2,652,772
British Telecommunications PLC 2.35% 2/14/19	4,623,000	4,666,761
Verizon Communications, Inc.:
2.45% 11/1/22	634,000	612,804
3.5% 11/1/21	1,420,000	1,483,284
4.6% 4/1/21	460,000	501,806
5.012% 8/21/54	6,001,000	5,581,272
6.4% 9/15/33	1,509,000	1,758,693
6.55% 9/15/43	999,000	1,211,401
		24,496,035
Wireless Telecommunication Services - 1.1%
America Movil S.A.B. de CV 2.375% 9/8/16	1,450,000	1,456,296
Rogers Communications, Inc. 4.1% 10/1/23	4,398,000	4,661,330
Vodafone Group PLC 5.625% 2/27/17	5,000,000	5,207,990
		11,325,616

TOTAL TELECOMMUNICATION SERVICES		35,821,651

UTILITIES - 5.4%
Electric Utilities - 2.5%
Cleveland Electric Illuminating Co. 5.7% 4/1/17	223,000	230,266
DPL, Inc. 6.75% 10/1/19	3,400,000	3,408,500
Duke Energy Industries, Inc. 4.9% 7/15/43	3,000,000	3,348,411
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (a)	500,000	560,154
6.4% 9/15/20 (a)	1,310,000	1,495,626
FirstEnergy Corp.:
2.75% 3/15/18	699,000	706,122
4.25% 3/15/23	1,919,000	2,003,244
7.375% 11/15/31	6,732,000	8,366,691
Indiana Michigan Power Co. 4.2% 3/15/46	1,274,000	1,269,630
IPALCO Enterprises, Inc. 3.45% 7/15/20	1,894,000	1,886,898
Nevada Power Co. 6.65% 4/1/36	500,000	649,928
Tampa Electric Co. 6.55% 5/15/36	500,000	654,643
TECO Finance, Inc. 5.15% 3/15/20	114,000	124,087
Xcel Energy, Inc. 4.8% 9/15/41	554,000	584,149
		25,288,349
Gas Utilities - 0.7%
Boston Gas Co. 4.487% 2/15/42 (a)	2,000,000	1,996,464
Florida Gas Transmission Co. LLC 4.35% 7/15/25 (a)	5,023,000	4,646,370
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	18,000	16,851
		6,659,685
Independent Power and Renewable Electricity Producers - 0.3%
TransAlta Corp. 1.9% 6/3/17	3,700,000	3,472,483
Multi-Utilities - 1.9%
Dominion Resources, Inc.:
2.9031% 9/30/66 (b)	7,158,000	4,810,541
7.5% 6/30/66 (b)	145,000	121,438
NiSource Finance Corp.:
5.25% 2/15/43	234,000	256,805
5.95% 6/15/41	1,493,000	1,745,533
6.4% 3/15/18	24,000	26,029
Puget Energy, Inc.:
3.65% 5/15/25	2,935,000	2,958,950
5.625% 7/15/22	4,240,000	4,760,647
6.5% 12/15/20	613,000	715,221
Sempra Energy:
2.3% 4/1/17	3,024,000	3,043,686
2.875% 10/1/22	224,000	216,841
Wisconsin Energy Corp. 6.25% 5/15/67 (b)	117,000	86,580
		18,742,271

TOTAL UTILITIES		54,162,788

TOTAL NONCONVERTIBLE BONDS
(Cost $872,309,685)		850,815,626

U.S. Treasury Obligations - 1.4%
U.S. Treasury Bonds 3% 11/15/45	4,670,000	5,047,065
U.S. Treasury Notes 2.25% 11/15/25	8,500,000	8,880,843
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $13,219,404)		13,927,908

Municipal Securities - 2.0%
American Muni. Pwr., Inc. Rev. (Combined Hydroelectric Proj.) Series 2010 B, 8.084% 2/15/50	280,000	426,555
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	$40,000	$57,365
7.3% 10/1/39	2,015,000	2,868,614
7.5% 4/1/34	1,165,000	1,671,670
7.55% 4/1/39	1,815,000	2,694,041
7.6% 11/1/40	6,715,000	10,134,077
7.625% 3/1/40	345,000	513,312
Chicago Gen. Oblig.:
(Taxable Proj.) Series 2012 B, 5.432% 1/1/42	160,000	132,290
6.314% 1/1/44	2,280,000	2,063,172
TOTAL MUNICIPAL SECURITIES
(Cost $19,422,802)		20,561,096

Bank Notes - 3.1%
Bank of America NA 2.05% 12/7/18	5,000,000	5,004,555
Capital One Bank NA 2.3% 6/5/19	5,000,000	4,969,595
JPMorgan Chase Bank 6% 10/1/17	10,850,000	11,509,836
Marshall & Ilsley Bank 5% 1/17/17	1,027,000	1,054,008
Regions Bank 7.5% 5/15/18	7,499,000	8,265,690
TOTAL BANK NOTES
(Cost $30,515,810)		30,803,684
	Shares	Value

Fixed-Income Funds - 4.0%
Fidelity Specialized High Income Central Fund (c)
(Cost $44,219,524)	423,267	40,159,579
	Principal Amount	Value

Preferred Securities - 1.0%
FINANCIALS - 1.0%
Banks - 1.0%
Barclays Bank PLC 7.625% 11/21/22	10,010,000	10,334,397
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346%(b)(d)	102,000	102,895
TOTAL PREFERRED SECURITIES
(Cost $11,719,408)		10,437,292
	Shares	Value

Money Market Funds - 2.9%
Fidelity Cash Central Fund, 0.40% (e)
(Cost $29,622,464)	29,622,464	29,622,464
TOTAL INVESTMENT PORTFOLIO - 98.8%
(Cost $1,021,029,097)		996,327,649
NET OTHER ASSETS (LIABILITIES) - 1.2%		12,135,247
NET ASSETS - 100%		$1,008,462,896

Legend

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

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

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	$83,226
Fidelity Specialized High Income Central Fund	1,164,269
Total	$1,247,495

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	$1,164,327	$--	$40,159,579	5.1%
Total	$41,748,012	$1,164,327	$--	$40,159,579

Investment Valuation

	Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$850,815,626	$--	$850,815,626	$--
U.S. Government and Government Agency Obligations	13,927,908	--	13,927,908	--
Municipal Securities	20,561,096	--	20,561,096	--
Bank Notes	30,803,684	--	30,803,684	--
Fixed-Income Funds	40,159,579	40,159,579	--	--
Preferred Securities	10,437,292	--	10,437,292	--
Money Market Funds	29,622,464	29,622,464	--	--
Total Investments in Securities:	$996,327,649	$69,782,043	$926,545,606	$--

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

United States of America	83.3%
United Kingdom	5.8%
Canada	3.3%
France	1.6%
Luxembourg	1.3%
Mexico	1.2%
Netherlands	1.2%
Others (Individually Less Than 1%)	2.3%
	100.0%

The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

		February 29, 2016 (Unaudited)
Assets
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $947,187,109)	$926,545,606
Fidelity Central Funds (cost $73,841,988)	69,782,043
Total Investments (cost $1,021,029,097)		$996,327,649
Receivable for investments sold		16,088,605
Receivable for fund shares sold		1,313,507
Interest receivable		10,509,183
Distributions receivable from Fidelity Central Funds		11,222
Total assets		1,024,250,166
Liabilities
Payable for investments purchased	$11,543,641
Payable for fund shares redeemed	3,682,978
Distributions payable	146,382
Accrued management fee	296,309
Distribution and service plan fees payable	22,391
Other affiliated payables	95,569
Total liabilities		15,787,270
Net Assets		$1,008,462,896
Net Assets consist of:
Paid in capital		$1,043,487,261
Undistributed net investment income		217,422
Accumulated undistributed net realized gain (loss) on investments		(10,540,339)
Net unrealized appreciation (depreciation) on investments		(24,701,448)
Net Assets		$1,008,462,896
Calculation of Maximum Offering Price
Class A:
Net Asset Value and redemption price per share ($32,055,064 ÷ 2,943,568 shares)		$10.89
Maximum offering price per share (100/96.00 of $10.89)		$11.34
Class T:
Net Asset Value and redemption price per share ($8,115,376 ÷ 745,233 shares)		$10.89
Maximum offering price per share (100/96.00 of $10.89)		$11.34
Class C:
Net Asset Value and offering price per share ($16,720,737 ÷ 1,535,610 shares)^(a)		$10.89
Corporate Bond:
Net Asset Value, offering price and redemption price per share ($836,467,233 ÷ 76,812,467 shares)		$10.89
Class I:
Net Asset Value, offering price and redemption price per share ($115,104,486 ÷ 10,569,753 shares)		$10.89

(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.

See accompanying notes which are an integral part of the financial statements.

Statement of Operations

		Six months ended February 29, 2016 (Unaudited)
Investment Income
Dividends		$384,868
Interest		17,717,074
Income from Fidelity Central Funds		1,247,495
Total income		19,349,437
Expenses
Management fee	$1,767,679
Transfer agent fees	562,687
Distribution and service plan fees	148,439
Independent trustees' compensation	2,101
Miscellaneous	672
Total expenses before reductions	2,481,578
Expense reductions	(63)	2,481,515
Net investment income (loss)		16,867,922
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(10,570,572)
Total net realized gain (loss)		(10,570,572)
Change in net unrealized appreciation (depreciation) on investment securities		(10,184,436)
Net gain (loss)		(20,755,008)
Net increase (decrease) in net assets resulting from operations		$(3,887,086)

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

	Six months ended February 29, 2016 (Unaudited)	Year ended August 31, 2015
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$16,867,922	$32,982,717
Net realized gain (loss)	(10,570,572)	2,801,939
Change in net unrealized appreciation (depreciation)	(10,184,436)	(44,998,470)
Net increase (decrease) in net assets resulting from operations	(3,887,086)	(9,213,814)
Distributions to shareholders from net investment income	(16,933,422)	(32,369,363)
Distributions to shareholders from net realized gain	–	(636,659)
Total distributions	(16,933,422)	(33,006,022)
Share transactions - net increase (decrease)	52,074,019	209,771,781
Total increase (decrease) in net assets	31,253,511	167,551,945
Net Assets
Beginning of period	977,209,385	809,657,440
End of period (including undistributed net investment income of $217,422 and undistributed net investment income of $282,922, respectively)	$1,008,462,896	$977,209,385

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class A

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.70	$10.45
Income from Investment Operations
Net investment income (loss)^A	.167	.319	.305	.277	.287	.356
Net realized and unrealized gain (loss)	(.219)	(.420)	.720	(.536)	.857	.366
Total from investment operations	(.052)	(.101)	1.025	(.259)	1.144	.722
Distributions from net investment income	(.168)	(.312)	(.305)	(.273)	(.294)	(.370)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.168)	(.319)	(.305)	(.351)	(.424)	(.472)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.70
Total Return^B,^C,^D	(.47)%	(.92)%	9.60%	(2.36)%	10.98%	7.16%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.80%^G	.79%	.79%	.76%	.76%	.75%
Expenses net of fee waivers, if any	.80%^G	.79%	.79%	.76%	.76%	.75%
Expenses net of all reductions	.80%^G	.79%	.79%	.76%	.76%	.75%
Net investment income (loss)	3.05%^G	2.79%	2.73%	2.43%	2.62%	3.43%
Supplemental Data
Net assets, end of period (000 omitted)	$32,055	$29,835	$27,677	$21,833	$40,842	$12,935
Portfolio turnover rate^H	33%^G	50%	61%	58%	103%	242%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the sales charges.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class T

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.69	$10.44
Income from Investment Operations
Net investment income (loss)^A	.163	.311	.298	.272	.284	.357
Net realized and unrealized gain (loss)	(.219)	(.420)	.720	(.537)	.868	.363
Total from investment operations	(.056)	(.109)	1.018	(.265)	1.152	.720
Distributions from net investment income	(.164)	(.304)	(.298)	(.267)	(.292)	(.368)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.164)	(.311)	(.298)	(.345)	(.422)	(.470)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.69
Total Return^B,^C,^D	(.51)%	(.99)%	9.53%	(2.42)%	11.06%	7.14%
Ratios to Average Net Assets^E,^F
Expenses before reductions	.87%^G	.86%	.85%	.80%	.79%	.75%
Expenses net of fee waivers, if any	.87%^G	.86%	.85%	.80%	.79%	.75%
Expenses net of all reductions	.87%^G	.86%	.85%	.80%	.79%	.75%
Net investment income (loss)	2.98%^G	2.72%	2.67%	2.39%	2.59%	3.42%
Supplemental Data
Net assets, end of period (000 omitted)	$8,115	$7,812	$6,651	$6,502	$12,078	$5,153
Portfolio turnover rate^H	33%^G	50%	61%	58%	103%	242%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the sales charges.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class C

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.80	$11.42	$10.69	$10.44
Income from Investment Operations
Net investment income (loss)^A	.126	.231	.219	.189	.204	.280
Net realized and unrealized gain (loss)	(.219)	(.419)	.730	(.544)	.868	.361
Total from investment operations	(.093)	(.188)	.949	(.355)	1.072	.641
Distributions from net investment income	(.127)	(.225)	(.219)	(.187)	(.212)	(.289)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.127)	(.232)	(.219)	(.265)	(.342)	(.391)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.80	$11.42	$10.69
Total Return^B,^C,^D	(.85)%	(1.67)%	8.86%	(3.20)%	10.25%	6.34%
Ratios to Average Net Assets^E,^F
Expenses before reductions	1.55%^G	1.55%	1.56%	1.53%	1.51%	1.47%
Expenses net of fee waivers, if any	1.55%^G	1.55%	1.56%	1.53%	1.51%	1.47%
Expenses net of all reductions	1.55%^G	1.55%	1.56%	1.53%	1.51%	1.47%
Net investment income (loss)	2.30%^G	2.03%	1.96%	1.66%	1.86%	2.71%
Supplemental Data
Net assets, end of period (000 omitted)	$16,721	$20,372	$11,713	$13,705	$24,613	$11,111
Portfolio turnover rate^H	33%^G	50%	61%	58%	103%	242%^I

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^D Total returns do not include the effect of the contingent deferred sales charge.

^G Annualized

^H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.70	$10.45
Income from Investment Operations
Net investment income (loss)^A	.187	.358	.342	.309	.321	.388
Net realized and unrealized gain (loss)	(.220)	(.420)	.721	(.532)	.858	.367
Total from investment operations	(.033)	(.062)	1.063	(.223)	1.179	.755
Distributions from net investment income	(.187)	(.351)	(.343)	(.309)	(.329)	(.403)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.187)	(.358)	(.343)	(.387)	(.459)	(.505)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.70
Total Return^B,^C	(.30)%	(.58)%	9.96%	(2.06)%	11.32%	7.50%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of fee waivers, if any	.45%^F	.45%	.45%	.45%	.45%	.45%
Expenses net of all reductions	.45%^F	.45%	.45%	.45%	.45%	.45%
Net investment income (loss)	3.40%^F	3.13%	3.07%	2.74%	2.93%	3.72%
Supplemental Data
Net assets, end of period (000 omitted)	$836,467	$800,365	$697,733	$771,621	$471,540	$110,113
Portfolio turnover rate^G	33%^F	50%	61%	58%	103%	242%^H

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Financial Highlights — Fidelity Corporate Bond Fund Class I

	Six months ended February 29, (Unaudited)	Years ended August 31,
	2016	2015	2014	2013	2012	2011
Selected Per–Share Data
Net asset value, beginning of period	$11.11	$11.53	$10.81	$11.42	$10.70	$10.45
Income from Investment Operations
Net investment income (loss)^A	.184	.350	.336	.301	.316	.389
Net realized and unrealized gain (loss)	(.220)	(.418)	.720	(.530)	.858	.366
Total from investment operations	(.036)	(.068)	1.056	(.229)	1.174	.755
Distributions from net investment income	(.184)	(.345)	(.336)	(.303)	(.324)	(.403)
Distributions from net realized gain	–	(.007)	–	(.078)	(.130)	(.102)
Total distributions	(.184)	(.352)	(.336)	(.381)	(.454)	(.505)
Net asset value, end of period	$10.89	$11.11	$11.53	$10.81	$11.42	$10.70
Total Return^B,^C	(.33)%	(.63)%	9.90%	(2.11)%	11.27%	7.51%
Ratios to Average Net Assets^D,^E
Expenses before reductions	.50%^F	.50%	.51%	.52%	.49%	.43%
Expenses net of fee waivers, if any	.50%^F	.50%	.51%	.51%	.49%	.43%
Expenses net of all reductions	.50%^F	.50%	.51%	.51%	.49%	.43%
Net investment income (loss)	3.35%^F	3.07%	3.01%	2.68%	2.88%	3.75%
Supplemental Data
Net assets, end of period (000 omitted)	$115,104	$118,825	$65,882	$49,866	$5,996	$1,906
Portfolio turnover rate^G	33%^F	50%	61%	58%	103%	242%^H

^A Calculated based on average shares outstanding during the period.

^B Total returns for periods of less than one year are not annualized.

^C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

^F Annualized

^G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.

See accompanying notes which are an integral part of the financial statements.

Notes to Financial Statements (Unaudited)

For the period ended February 29, 2016

1. Organization.

2. Investments in Fidelity Central Funds.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense Ratio^(a)
Fidelity Specialized High Income Central Fund	FMR Co., Inc. (FMRC)	Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities.	Loans & Direct Debt Instruments Restricted Securities	Less than .005%

(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.

An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – 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)