N-Q 1 Main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4085

Fidelity Income Fund
 (Exact name of registrant as specified in charter)

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

Scott C. Goebel, Secretary

245 Summer St.

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

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

Date of fiscal year end:

August 31

 

 

Date of reporting period:

May 31, 2015

Item 1. Schedule of Investments

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Government Income Fund

May 31, 2015 

1.800338.111

GOV-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 52.7%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 0.8%

Fannie Mae:

0.875% 2/8/18

$ 266

$ 266

1.625% 11/27/18

913

926

Small Business Administration guaranteed development participation certificates:

Series 2002-20J Class 1, 4.75% 10/1/22

1,359

1,434

Series 2002-20K Class 1, 5.08% 11/1/22

2,161

2,325

Series 2004-20H Class 1, 5.17% 8/1/24

841

912

Tennessee Valley Authority:

1.75% 10/15/18

23,006

23,414

5.25% 9/15/39

2,807

3,518

5.375% 4/1/56

3,438

4,345

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

37,140

U.S. Treasury Inflation-Protected Obligations - 1.9%

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/45

58,113

55,284

1.375% 2/15/44

23,693

26,251

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS

81,535

U.S. Treasury Obligations - 48.0%

U.S. Treasury Bonds:

2.5% 2/15/45

38,322

35,292

3% 11/15/44

22,500

22,980

3% 5/15/45

33,259

34,064

3.375% 5/15/44

6,265

6,860

3.625% 2/15/44 (d)

27,582

31,577

4.375% 2/15/38

51,154

64,998

5% 5/15/37 (c)

41,142

56,818

U.S. Treasury Notes:

0.25% 7/15/15

3

3

0.25% 4/15/16

61,378

61,378

0.25% 5/15/16

17,502

17,497

0.375% 1/15/16

8,453

8,464

0.375% 3/15/16

20,000

20,027

0.375% 10/31/16

110,000

109,888

0.5% 2/28/17

64,339

64,309

0.5% 3/31/17

15,000

14,982

0.5% 4/30/17 (a)

49,500

49,423

0.625% 8/15/16

24,206

24,276

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

0.625% 11/15/16

$ 4,315

$ 4,325

0.625% 12/15/16

1,129

1,131

0.625% 12/31/16

62,265

62,406

0.625% 2/15/17

12,000

12,017

0.75% 1/15/17

10,000

10,041

0.75% 6/30/17

3,736

3,745

0.75% 4/15/18

58,223

57,950

0.875% 9/15/16

10,000

10,059

0.875% 11/30/16

7,522

7,567

0.875% 1/31/17

704

708

0.875% 5/15/17

15,893

15,980

0.875% 8/15/17

715

718

0.875% 10/15/17

4,191

4,203

0.875% 1/31/18

4,683

4,686

0.875% 7/31/19

6,174

6,064

1% 9/30/16

51,719

52,119

1% 10/31/16

39,991

40,297

1% 5/31/18

58,578

58,651

1.25% 11/30/18

35,000

35,153

1.375% 11/30/15

470

473

1.375% 7/31/18

39,780

40,224

1.375% 9/30/18

17,526

17,697

1.375% 2/28/19

69,770

70,201

1.375% 3/31/20

144,474

143,910

1.375% 4/30/20

4,172

4,151

1.5% 12/31/18

10,768

10,899

1.5% 1/31/19

43,197

43,696

1.5% 1/31/22

59,399

58,072

1.625% 4/30/19

30,639

31,082

1.625% 6/30/19

51,223

51,883

1.625% 12/31/19

41,368

41,749

1.75% 7/31/15

4

4

1.75% 9/30/19

78,340

79,619

1.75% 10/31/20

18,000

18,131

1.75% 2/28/22

5,000

4,964

1.75% 3/31/22

19,942

19,802

1.875% 8/31/17

27,000

27,700

1.875% 9/30/17

67,400

69,164

1.875% 5/31/22

50,000

50,023

2% 5/31/21

10,000

10,154

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

2% 2/15/25

$ 3,846

$ 3,808

2.125% 6/30/21

22,000

22,480

2.125% 12/31/21

2,000

2,037

2.25% 3/31/21

17,358

17,890

2.25% 4/30/21

32,286

33,262

2.25% 11/15/24

38,100

38,544

2.375% 7/31/17

741

768

2.375% 6/30/18

26,608

27,731

2.375% 8/15/24

37,152

38,026

2.5% 6/30/17

10,000

10,383

2.75% 11/30/16

18,530

19,161

3.125% 1/31/17

39,773

41,491

3.5% 2/15/18

23,836

25,519

4.5% 5/15/17

24,685

26,548

4.75% 8/15/17

12,983

14,137

TOTAL U.S. TREASURY OBLIGATIONS

2,126,039

Other Government Related - 2.0%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5302% 12/7/20 (NCUA Guaranteed) (e)

4,847

4,852

Series 2011-R4 Class 1A, 0.5606% 3/6/20 (NCUA Guaranteed) (e)

3,831

3,838

National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed)

74,000

79,881

TOTAL OTHER GOVERNMENT RELATED

88,571

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,304,861)

2,333,285

U.S. Government Agency - Mortgage Securities - 4.1%

 

Fannie Mae - 0.9%

1.85% 10/1/33 (e)

188

196

1.885% 2/1/33 (e)

130

135

1.91% 12/1/34 (e)

198

207

1.91% 3/1/35 (e)

134

140

1.915% 11/1/33 (e)

280

294

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Fannie Mae - continued

1.93% 10/1/33 (e)

$ 68

$ 71

1.94% 7/1/35 (e)

68

72

2.05% 3/1/35 (e)

17

17

2.053% 6/1/36 (e)

190

203

2.105% 7/1/34 (e)

119

127

2.138% 3/1/36 (e)

711

751

2.19% 3/1/37 (e)

115

122

2.271% 3/1/40 (e)

2,312

2,469

2.274% 11/1/36 (e)

123

132

2.318% 7/1/35 (e)

265

282

2.372% 5/1/36 (e)

206

220

2.421% 10/1/33 (e)

137

147

2.458% 3/1/35 (e)

101

108

2.526% 2/1/36 (e)

200

215

2.542% 6/1/42 (e)

438

455

2.691% 2/1/42 (e)

2,559

2,665

2.765% 1/1/42 (e)

2,360

2,461

2.96% 11/1/40 (e)

251

263

2.982% 9/1/41 (e)

299

314

3% 6/1/45 (b)

20,700

20,965

3.059% 10/1/41 (e)

121

126

3.237% 7/1/41 (e)

479

508

3.308% 10/1/41 (e)

239

252

3.554% 7/1/41 (e)

488

518

4% 2/1/42

506

543

5.5% 1/1/29

2,413

2,727

6.5% 2/1/17 to 5/1/27

475

535

9.5% 10/1/20

14

15

11.5% 6/15/19 to 1/15/21

4

5

 

38,260

Freddie Mac - 0.5%

1.82% 3/1/35 (e)

474

492

2.121% 5/1/37 (e)

323

345

2.402% 10/1/42 (e)

2,785

2,938

2.49% 6/1/35 (e)

459

492

2.506% 2/1/36 (e)

29

31

2.545% 7/1/36 (e)

374

401

2.673% 7/1/35 (e)

1,235

1,324

2.723% 3/1/33 (e)

23

24

3% 11/1/42 to 2/1/43

4,591

4,666

3.08% 9/1/41 (e)

2,681

2,808

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

3.115% 10/1/35 (e)

$ 225

$ 241

3.231% 9/1/41 (e)

288

303

3.242% 4/1/41 (e)

310

327

3.296% 6/1/41 (e)

344

365

3.47% 5/1/41 (e)

334

353

3.622% 6/1/41 (e)

481

511

3.705% 5/1/41 (e)

414

440

4.5% 5/1/39 to 10/1/41

4,357

4,779

5.5% 7/1/29

47

53

6% 1/1/24

1,929

2,135

9.5% 6/1/18 to 8/1/21

28

30

 

23,058

Ginnie Mae - 2.7%

3.5% 6/1/45 (b)

100

105

4.3% 8/20/61 (j)

5,037

5,345

4.53% 10/20/62 (j)

5,349

5,859

4.55% 5/20/62 (j)

36,493

39,617

4.626% 3/20/62 (j)

8,129

8,810

4.649% 2/20/62 (j)

3,506

3,797

4.65% 3/20/62 (j)

7,279

7,899

4.682% 2/20/62 (j)

4,351

4,709

4.684% 1/20/62 (j)

25,602

27,683

5.47% 8/20/59 (j)

1,892

1,968

5.5% 11/15/35

2,774

3,179

5.612% 4/20/58 (j)

2,003

2,049

6% 6/15/36

6,118

7,075

 

118,095

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $174,951)

179,413

Collateralized Mortgage Obligations - 11.6%

 

U.S. Government Agency - 11.6%

Fannie Mae:

floater:

Series 2001-38 Class QF, 1.1648% 8/25/31 (e)

134

136

Series 2002-49 Class FB, 0.7834% 11/18/31 (e)

126

127

Series 2002-60 Class FV, 1.1848% 4/25/32 (e)

54

55

Series 2002-75 Class FA, 1.1848% 11/25/32 (e)

110

113

Series 2010-15 Class FJ, 1.1148% 6/25/36 (e)

8,853

9,011

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae: - continued

planned amortization class:

Series 2005-19 Class PA, 5.5% 7/25/34

$ 3,050

$ 3,317

Series 2005-27 Class NE, 5.5% 5/25/34

2,405

2,503

Series 2005-64 Class PX, 5.5% 6/25/35

2,975

3,274

Series 2005-68 Class CZ, 5.5% 8/25/35

5,834

6,589

Series 2006-45 Class OP, 6/25/36 (h)

1,274

1,134

Series 2010-118 Class PB, 4.5% 10/25/40

7,053

7,630

Series 2015-5 Class CP, 3% 6/25/43

42,730

44,477

sequential payer:

Series 2003-117 Class MD, 5% 12/25/23

1,468

1,630

Series 2004-91 Class Z, 5% 12/25/34

8,786

9,824

Series 2005-117 Class JN, 4.5% 1/25/36

645

709

Series 2005-14 Class ZB, 5% 3/25/35

2,642

2,950

Series 2006-72 Class CY, 6% 8/25/26

5,689

6,314

Series 2009-59 Class HB, 5% 8/25/39

3,567

3,987

Series 2009-85 Class IB, 4.5% 8/25/24 (g)

643

52

Series 2009-93 Class IC, 4.5% 9/25/24 (g)

978

78

Series 2010-139 Class NI, 4.5% 2/25/40 (g)

6,141

871

Series 2010-39 Class FG, 1.1048% 3/25/36 (e)

5,425

5,559

Series 2010-97 Class CI, 4.5% 8/25/25 (g)

2,079

156

Freddie Mac:

floater:

Series 2530 Class FE, 0.7815% 2/15/32 (e)

76

77

Series 2630 Class FL, 0.6815% 6/15/18 (e)

66

66

Series 2682 Class FB, 1.0815% 10/15/33 (e)

4,739

4,832

Series 2711 Class FC, 1.0815% 2/15/33 (e)

3,034

3,092

Series 3830 Class FD, 0.5415% 3/15/41 (e)

5,725

5,753

planned amortization class:

Series 1141 Class G, 9% 9/15/21

66

76

Series 2006-3245 Class ME, 5.5% 6/15/35

253

253

Series 2356 Class GD, 6% 9/15/16

21

22

Series 2376 Class JE, 5.5% 11/15/16

143

147

Series 2381 Class OG, 5.5% 11/15/16

70

72

Series 2672 Class MG, 5% 9/15/23

7,120

7,740

Series 2682 Class LD, 4.5% 10/15/33

777

857

Series 3415 Class PC, 5% 12/15/37

907

982

Series 3763 Class QA, 4% 4/15/34

2,667

2,776

planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34

4,634

4,781

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Freddie Mac: - continued

planned amotization class Series 2006-3 Class FB, 0.4848% 7/25/35 (e)

$ 10,514

$ 10,561

sequential payer:

Series 2004-2802 Class ZG, 5.5% 5/15/34

11,367

12,878

Series 2587 Class AD, 4.71% 3/15/33

5,596

6,036

Series 2773 Class HC, 4.5% 4/15/19

704

735

Series 2877 Class ZD, 5% 10/15/34

10,275

11,471

Series 3007 Class EW, 5.5% 7/15/25

8,543

9,461

Series 3745 Class KV, 4.5% 12/15/26

7,456

8,279

Series 3871 Class KB, 5.5% 6/15/41

13,870

15,884

Series 3843 Class PZ, 5% 4/15/41

2,287

2,730

Series 4181 Class LA, 3% 3/15/37

4,591

4,772

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2008-2 Class FD, 0.664% 1/20/38 (e)

393

396

Series 2008-73 Class FA, 1.044% 8/20/38 (e)

2,700

2,753

Series 2008-83 Class FB, 1.084% 9/20/38 (e)

2,697

2,751

Series 2009-108 Class CF, 0.7825% 11/16/39 (e)

1,802

1,820

Series 2011-H20 Class FA, 0.7276% 9/20/61 (e)(j)

11,133

11,179

Series 2011-H21 Class FA, 0.7776% 10/20/61 (e)(j)

7,509

7,551

Series 2012-H01 Class FA, 0.8776% 11/20/61 (e)(j)

6,327

6,390

Series 2012-H03 Class FA, 0.8776% 1/20/62 (e)(j)

3,914

3,953

Series 2012-H06 Class FA, 0.8076% 1/20/62 (e)(j)

6,041

6,083

Series 2012-H07 Class FA, 0.8076% 3/20/62 (e)(j)

3,550

3,581

Series 2013-H19:

Class FC, 0.7776% 8/20/63 (e)(j)

1,255

1,263

Class FD, 0.7776% 8/20/63 (e)(j)

3,386

3,406

Series 2014-H02 Class FB, 0.8276% 12/20/63 (e)(j)

40,900

41,190

Series 2014-H03 Class FA, 0.7776% 1/20/64 (e)(j)

17,526

17,637

Series 2015-H07 Class FA, 0.3% 3/20/65 (e)(j)

28,816

28,809

floater sequential payer Series 2011-150 Class D, 3% 4/20/37

329

334

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

sequential payer Series 2011-69 Class GX, 4.5% 5/16/40

$ 10,205

$ 11,338

Series 2010-H15 Class TP, 5.15% 8/20/60 (j)

19,310

20,938

Series 2010-H17 Class XP, 5.251% 7/20/60 (e)(j)

25,452

27,496

Series 2010-H18 Class PL, 5.01% 9/20/60 (e)(j)

18,720

20,264

Series 2012-64 Class KB, 5.0431% 5/20/41 (e)

1,559

1,774

Series 2013-124:

Class ES, 8.4213% 4/20/39 (e)(i)

6,373

7,370

Class ST, 8.5547% 8/20/39 (e)(i)

11,972

13,830

Series 2015-H13 Class FL, 0.3% 3/20/65 (e)(j)

48,030

48,030

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $509,207)

514,965

Commercial Mortgage Securities - 6.2%

 

Freddie Mac:

pass thru-certificates floater Series KF01 Class A, 0.5313% 4/25/19 (e)

1,718

1,709

pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20

3,740

4,140

sequential payer:

Series K006 Class A2, 4.251% 1/25/20

24,840

27,421

Series K009 Class A2, 3.808% 8/25/20

32,528

35,466

Series K034 Class A1, 2.669% 2/25/23

14,909

15,383

Series K717 Class A2, 2.991% 9/25/21

9,506

9,993

Series K032 Class A1, 3.016% 2/25/23

26,244

27,528

Series K039 Class A2, 3.303% 7/25/24

24,645

26,117

Series K042 Class A2, 2.67% 12/25/24

22,200

22,287

Series K501 Class A2, 1.655% 11/25/16

9,650

9,742

Series K716 Class A2, 3.13% 6/25/21

6,500

6,891

Freddie Mac Multi-family Strutured Pass-thru Certificates:

sequential payer Series K718 Class A2, 2.791% 1/25/22

27,400

28,431

Series K044 Class A2, 2.811% 1/25/25

58,600

59,607

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $272,646)

274,715

Foreign Government and Government Agency Obligations - 3.0%

 

Principal Amount (000s)

Value (000s)

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

$ 72,266

$ 88,785

5.5% 12/4/23

48

59

Jordanian Kingdom 2.503% 10/30/20

41,050

42,680

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $116,708)

131,524

Fixed-Income Funds - 23.6%

Shares

 

Fidelity Mortgage Backed Securities Central Fund (f)
(Cost $990,410)

9,518,034


1,044,699

Cash Equivalents - 1.4%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at:

0.11%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) # (k)

$ 44,756

44,756

0.12%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) #

16,975

16,975

TOTAL CASH EQUIVALENTS

(Cost $61,731)


61,731

TOTAL INVESTMENT PORTFOLIO - 102.6%

(Cost $4,430,514)

4,540,332

NET OTHER ASSETS (LIABILITIES) - (2.6)%

(114,769)

NET ASSETS - 100%

$ 4,425,563

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Purchased

Treasury Contracts

209 CBOT 10 Year U.S. Treasury Note Contracts (United States)

Sept. 2015

$ 26,687

$ 124

390 CBOT 2-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

85,355

54

165 CBOT 5-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

19,755

78

407 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)

Sept. 2015

65,234

457

TOTAL TREASURY CONTRACTS

$ 197,031

$ 713

 

The face value of futures purchased as a percentage of net assets is 4.4%

Swaps

Interest Rate Swaps

Clearinghouse/Counterparty(1)

Expiration Date

Notional Amount (000s)

Payment Received

Payment Paid

Value (000s)

Upfront Premium Received/
(Paid)(2) (000s)

Unrealized Appreciation/(Depreciation) (000s)

CME

Jun. 2017

$ 11,600

3-month LIBOR

1.25%

$ (61)

$ 0

$ (61)

CME

Jun. 2020

6,800

3-month LIBOR

2.25%

(75)

0

(75)

CME

Jun. 2025

22,400

2.75%

3-month LIBOR

248

0

248

CME

Jun. 2045

1,100

3.25%

3-month LIBOR

(4)

0

(4)

LCH

Jun. 2045

18,600

3-month LIBOR

3.25%

(477)

0

(477)

TOTAL INTEREST RATE SWAPS

$ (369)

$ 0

$ (369)

 

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

 

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

Legend

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

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

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,378,000.

(d) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $3,947,000.

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

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

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

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

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

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

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

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

Repurchase Agreement / Counterparty

Value
(Amounts in thousands)

$44,756,000 due 6/01/15 at 0.11%

Bank of America NA

$ 1,400

Commerz Markets LLC

10,424

Merrill Lynch, Pierce, Fenner & Smith, Inc.

30,188

RBS Securities, Inc.

2,744

 

$ 44,756

$16,975,000 due 6/01/15 at 0.12%

Commerz Markets LLC

$ 16,975

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 Mortgage Backed Securities Central Fund

$ 16,928

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

$ 909,967

$ 124,303

$ -

$ 1,044,699

23.1%

Other Information

The following is a summary of the inputs used, as of May 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 2,333,285

$ -

$ 2,333,285

$ -

U.S. Government Agency - Mortgage Securities

179,413

-

179,413

-

Collateralized Mortgage Obligations

514,965

-

514,965

-

Commercial Mortgage Securities

274,715

-

274,715

-

Foreign Government and Government Agency Obligations

131,524

-

131,524

-

Fixed-Income Funds

1,044,699

1,044,699

-

-

Cash Equivalents

61,731

-

61,731

-

Total Investments in Securities:

$ 4,540,332

$ 1,044,699

$ 3,495,633

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 713

$ 713

$ -

$ -

Swaps

248

-

248

-

Total Assets

$ 961

$ 713

$ 248

$ -

Liabilities

Swaps

$ (617)

$ -

$ (617)

$ -

Total Derivative Instruments:

$ 344

$ 713

$ (369)

$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $4,429,606,000. Net unrealized appreciation aggregated $110,726,000, of which $129,090,000 related to appreciated investment securities and $18,364,000 related to depreciated investment securities.

Investment Valuation

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency 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.

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.

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

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

Quarterly Report

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

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

Quarterly Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Intermediate Government
Income Fund

May 31, 2015 

1.800340.111

SLM-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 69.4%

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency Obligations - 1.1%

Federal Home Loan Bank 1% 6/21/17

$ 3,190

$ 3,211

Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24

162

176

Tennessee Valley Authority 1.75% 10/15/18

4,850

4,936

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

8,323

U.S. Treasury Inflation-Protected Obligations - 2.6%

U.S. Treasury Inflation-Indexed Notes 0.25% 1/15/25

20,000

19,844

U.S. Treasury Obligations - 61.2%

U.S. Treasury Bonds 8.75% 5/15/17

12,750

14,767

U.S. Treasury Notes:

0.25% 4/15/16

1,354

1,354

0.375% 10/31/16

4,000

3,996

0.5% 2/28/17

3,776

3,774

0.625% 12/31/16

18,905

18,948

0.75% 6/30/17

14,678

14,714

0.75% 4/15/18

8,635

8,595

0.875% 1/31/18

15,546

15,556

0.875% 7/31/19

22,596

22,192

1% 9/30/16

35,000

35,271

1% 10/31/16

4,099

4,130

1% 5/15/18

6,000

6,012

1% 5/31/18

15,739

15,759

1.25% 11/30/18

7,000

7,031

1.375% 7/31/18

8,863

8,962

1.375% 9/30/18

3,911

3,949

1.375% 2/28/19

12,639

12,717

1.375% 3/31/20

11,714

11,668

1.375% 4/30/20

972

967

1.5% 12/31/18

1,151

1,165

1.5% 1/31/19

10,148

10,265

1.5% 5/31/20

2,000

2,002

1.5% 1/31/22

30,862

30,172

1.625% 4/30/19

13,127

13,317

1.625% 6/30/19

15,724

15,927

1.625% 12/31/19

9,696

9,785

1.75% 9/30/19

9,904

10,066

1.75% 10/31/20

5,000

5,036

1.75% 2/28/22

4,000

3,971

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.75% 4/30/22

$ 3,240

$ 3,215

1.875% 10/31/17

1,923

1,974

1.875% 5/31/22

7,500

7,504

2% 5/31/21

8,000

8,123

2% 2/15/25

6,500

6,436

2.25% 3/31/21

40,560

41,803

2.25% 4/30/21

2,805

2,890

2.25% 11/15/24

3,706

3,749

2.375% 7/31/17

12,000

12,438

2.375% 6/30/18

6,062

6,318

2.375% 8/15/24

7,772

7,955

3% 2/28/17

16,424

17,125

3.125% 1/31/17

1,323

1,380

3.5% 2/15/18 (c)

4,299

4,603

4.5% 5/15/17 (b)

1,369

1,472

4.625% 2/15/17

12,625

13,503

4.75% 8/15/17

12,139

13,218

TOTAL U.S. TREASURY OBLIGATIONS

465,774

Other Government Related - 4.5%

National Credit Union Administration Guaranteed Notes:

Series 2010-A1 Class A, 0.5302% 12/7/20 (NCUA Guaranteed) (d)

1,143

1,144

Series 2011-R1 Class 1A, 0.6235% 1/8/20 (NCUA Guaranteed) (d)

2,416

2,428

Series 2011-R4 Class 1A, 0.5606% 3/6/20 (NCUA Guaranteed) (d)

828

829

National Credit Union Administration Guaranteed Notes Master Trust:

1.4% 6/12/15 (NCUA Guaranteed)

1,690

1,691

2.35% 6/12/17 (NCUA Guaranteed)

14,740

15,196

3.45% 6/12/21 (NCUA Guaranteed)

12,000

12,954

TOTAL OTHER GOVERNMENT RELATED

34,242

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $521,582)

528,183

U.S. Government Agency - Mortgage Securities - 5.2%

 

Principal Amount (000s)

Value (000s)

Fannie Mae - 1.2%

1.865% 10/1/35 (d)

$ 10

$ 11

1.885% 2/1/33 (d)

14

15

1.91% 12/1/34 (d)

19

20

1.91% 3/1/35 (d)

17

18

1.915% 11/1/33 (d)

30

31

1.93% 10/1/33 (d)

8

8

1.94% 7/1/35 (d)

8

8

2.045% 1/1/35 (d)

92

97

2.05% 3/1/35 (d)

2

2

2.053% 6/1/36 (d)

18

19

2.105% 7/1/34 (d)

14

15

2.142% 9/1/36 (d)

42

45

2.19% 3/1/37 (d)

11

11

2.232% 3/1/33 (d)

43

46

2.27% 6/1/47 (d)

61

66

2.271% 3/1/40 (d)

536

572

2.274% 11/1/36 (d)

124

132

2.284% 7/1/36 (d)

73

77

2.318% 7/1/35 (d)

20

22

2.35% 2/1/37 (d)

193

206

2.372% 5/1/36 (d)

20

22

2.421% 10/1/33 (d)

17

18

2.458% 3/1/35 (d)

12

13

2.512% 4/1/36 (d)

138

148

2.526% 2/1/36 (d)

19

20

2.691% 2/1/42 (d)

694

722

2.704% 8/1/35 (d)

284

304

2.765% 1/1/42 (d)

625

652

5% 1/1/22 to 4/1/22

36

38

5.5% 10/1/20 to 1/1/29

3,016

3,276

6% 6/1/16 to 3/1/34

505

580

6.5% 6/1/16 to 8/1/36

1,783

2,062

10.25% 10/1/18

1

1

11% 1/1/16

1

1

11.25% 1/1/16

0*

0*

11.5% 6/15/19

0*

0*

 

9,278

Freddie Mac - 0.6%

1.82% 3/1/35 (d)

46

48

1.825% 3/1/37 (d)

8

8

2.022% 2/1/37 (d)

22

24

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Freddie Mac - continued

2.04% 7/1/35 (d)

$ 509

$ 535

2.05% 6/1/37 (d)

12

13

2.055% 11/1/35 (d)

120

128

2.095% 8/1/37 (d)

32

34

2.1% 7/1/35 (d)

66

70

2.121% 5/1/37 (d)

31

34

2.182% 6/1/33 (d)

109

116

2.333% 4/1/37 (d)

39

42

2.346% 10/1/36 (d)

153

164

2.351% 10/1/35 (d)

58

62

2.364% 4/1/34 (d)

441

470

2.375% 5/1/37 (d)

30

32

2.385% 5/1/37 (d)

400

429

2.385% 5/1/37 (d)

198

213

2.402% 10/1/42 (d)

751

793

2.415% 6/1/37 (d)

115

124

2.506% 2/1/36 (d)

4

4

2.545% 7/1/36 (d)

37

39

2.595% 4/1/37 (d)

4

4

2.673% 7/1/35 (d)

125

134

2.723% 3/1/33 (d)

2

3

3.08% 9/1/41 (d)

755

791

3.115% 10/1/35 (d)

22

23

6% 1/1/24

409

453

6.5% 12/1/21

115

127

9.5% 7/1/16 to 8/1/21

25

27

10% 3/1/16 to 3/1/21

36

39

10.5% 1/1/21

1

1

11% 9/1/20

1

1

12.5% 5/1/19 to 6/1/19

2

2

 

4,987

Ginnie Mae - 3.4%

4.3% 8/20/61 (g)

1,052

1,117

4.53% 10/20/62 (g)

1,121

1,228

4.55% 5/20/62 (g)

7,883

8,558

4.626% 3/20/62 (g)

1,770

1,918

4.649% 2/20/62 (g)

738

799

4.65% 3/20/62 (g)

1,612

1,749

4.682% 2/20/62 (g)

909

984

4.684% 1/20/62 (g)

5,511

5,959

5.47% 8/20/59 (g)

399

415

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (000s)

Value (000s)

Ginnie Mae - continued

5.5% 11/15/35

$ 585

$ 670

5.612% 4/20/58 (g)

434

444

6% 6/15/36

1,271

1,469

8% 12/15/23

101

117

8.5% 2/15/17

1

1

10.5% 9/15/15 to 10/15/21

101

113

11% 5/20/16 to 1/20/21

11

12

 

25,553

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $38,637)

39,818

Collateralized Mortgage Obligations - 14.8%

 

U.S. Government Agency - 14.8%

Fannie Mae:

floater:

Series 1994-42 Class FK, 1.44% 4/25/24 (d)

673

680

Series 2001-38 Class QF, 1.1648% 8/25/31 (d)

125

127

Series 2002-60 Class FV, 1.1848% 4/25/32 (d)

27

28

Series 2002-74 Class FV, 0.6348% 11/25/32 (d)

1,393

1,403

Series 2002-75 Class FA, 1.1848% 11/25/32 (d)

55

56

Series 2008-76 Class EF, 0.6848% 9/25/23 (d)

268

269

Series 2010-15 Class FJ, 1.1148% 6/25/36 (d)

1,916

1,950

planned amortization class:

Series 1988-21 Class G, 9.5% 8/25/18

9

10

Series 2002-16 Class PG, 6% 4/25/17

53

55

Series 2002-9 Class PC, 6% 3/25/17

4

4

Series 2003-28 Class KG, 5.5% 4/25/23

312

342

Series 2005-19 Class PA, 5.5% 7/25/34

657

715

Series 2005-27 Class NE, 5.5% 5/25/34

507

528

Series 2005-52 Class PB, 6.5% 12/25/34

19

19

Series 2005-64 Class PX, 5.5% 6/25/35

642

706

Series 2005-68 Class CZ, 5.5% 8/25/35

1,190

1,344

sequential payer:

Series 2002-57 Class BD, 5.5% 9/25/17

18

19

Series 2003-117 Class MD, 5% 12/25/23

309

343

Series 2004-52 Class KZ, 5.5% 7/25/34

3,356

3,813

Series 2004-91 Class Z, 5% 12/25/34

1,944

2,173

Series 2009-59 Class HB, 5% 8/25/39

746

834

Series 2010-139 Class NI, 4.5% 2/25/40 (e)

1,417

201

Series 2010-39 Class FG, 1.1048% 3/25/36 (d)

1,169

1,198

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Fannie Mae: - continued

Series 2011-67 Class AI, 4% 7/25/26 (e)

$ 373

$ 41

Freddie Mac:

floater:

Series 2526 Class FC, 0.5815% 11/15/32 (d)

225

227

Series 2630 Class FL, 0.6815% 6/15/18 (d)

7

7

Series 2711 Class FC, 1.0815% 2/15/33 (d)

655

668

Series 3830 Class FD, 0.5415% 3/15/41 (d)

1,336

1,343

floater planned amortization class Series 2770 Class FH, 0.5815% 3/15/34 (d)

591

595

planned amortization class:

Series 2006-3245 Class ME, 5.5% 6/15/35

53

53

Series 2356 Class GD, 6% 9/15/16

15

15

Series 2376 Class JE, 5.5% 11/15/16

14

14

Series 2381 Class OG, 5.5% 11/15/16

7

7

Series 2425 Class JH, 6% 3/15/17

23

23

Series 2672 Class MG, 5% 9/15/23

1,630

1,772

Series 2802 Class OB, 6% 5/15/34

836

937

Series 3415 Class PC, 5% 12/15/37

255

276

Series 3763 Class QA, 4% 4/15/34

556

578

planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34

975

1,006

planned amotization class Series 2006-3 Class FB, 0.4848% 7/25/35 (d)

1,911

1,919

sequential payer:

Series 1929 Class EZ, 7.5% 2/17/27

690

783

Series 2004-2802 Class ZG, 5.5% 5/15/34

2,383

2,700

Series 2004-2862 Class NE, 5% 9/15/24

5,598

6,064

Series 2145 Class MZ, 6.5% 4/15/29

847

983

Series 2357 Class ZB, 6.5% 9/15/31

430

501

Series 2877 Class ZD, 5% 10/15/34

2,265

2,528

Series 2998 Class LY, 5.5% 7/15/25

241

266

Series 3007 Class EW, 5.5% 7/15/25

1,083

1,199

Series 3745 Class KV, 4.5% 12/15/26

1,275

1,416

Series 4181 Class LA, 3% 3/15/37

1,266

1,316

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2007-59 Class FC, 0.684% 7/20/37 (d)

328

331

Series 2008-2 Class FD, 0.664% 1/20/38 (d)

83

83

Series 2009-108 Class CF, 0.7825% 11/16/39 (d)

373

377

Series 2009-116 Class KF, 0.7125% 12/16/39 (d)

298

300

Series 2010-9 Class FA, 0.7025% 1/16/40 (d)

482

486

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

Series 2010-H17 Class FA, 0.5115% 7/20/60 (d)(g)

$ 2,882

$ 2,869

Series 2010-H18 Class AF, 0.4776% 9/20/60 (d)(g)

3,299

3,280

Series 2010-H19 Class FG, 0.4776% 8/20/60 (d)(g)

4,019

3,996

Series 2010-H27 Series FA, 0.5576% 12/20/60 (d)(g)

993

991

Series 2011-H05 Class FA, 0.6776% 12/20/60 (d)(g)

1,944

1,948

Series 2011-H07 Class FA, 0.6776% 2/20/61 (d)(g)

3,612

3,618

Series 2011-H12 Class FA, 0.6676% 2/20/61 (d)(g)

4,228

4,233

Series 2011-H13 Class FA, 0.6776% 4/20/61 (d)(g)

1,620

1,623

Series 2011-H14:

Class FB, 0.6776% 5/20/61 (d)(g)

1,842

1,846

Class FC, 0.6776% 5/20/61 (d)(g)

1,700

1,703

Series 2011-H17 Class FA, 0.7076% 6/20/61 (d)(g)

2,204

2,210

Series 2011-H21 Class FA, 0.7776% 10/20/61 (d)(g)

2,155

2,167

Series 2012-H01 Class FA, 0.8776% 11/20/61 (d)(g)

1,816

1,834

Series 2012-H03 Class FA, 0.8776% 1/20/62 (d)(g)

1,127

1,138

Series 2012-H06 Class FA, 0.8076% 1/20/62 (d)(g)

1,731

1,744

Series 2012-H07 Class FA, 0.8076% 3/20/62 (d)(g)

1,022

1,031

floater sequential payer Series 2011-150 Class D, 3% 4/20/37

71

72

planned amortization class:

Series 2011-136 Class WI, 4.5% 5/20/40 (e)

829

125

Series 2011-68 Class EC, 3.5% 4/20/41

1,469

1,553

Series 1999-18 Class Z, 6.25% 5/16/29

1,501

1,690

Series 2010-H15 Class TP, 5.15% 8/20/60 (g)

4,175

4,527

Series 2010-H17 Class XP, 5.251% 7/20/60 (d)(g)

5,387

5,820

Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(g)

3,941

4,266

Series 2012-64 Class KB, 5.0431% 5/20/41 (d)

335

381

Collateralized Mortgage Obligations - continued

 

Principal Amount (000s)

Value (000s)

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

Series 2013-124:

Class ES, 8.4213% 4/20/39 (d)(f)

$ 1,300

$ 1,504

Class ST, 8.5547% 8/20/39 (d)(f)

2,443

2,822

Series 2015-H13 Class FL, 0.3% 3/20/65 (a)(d)(g)

8,280

8,280

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $111,608)

112,902

Commercial Mortgage Securities - 7.2%

 

Freddie Mac:

pass thru-certificates floater Series KF01 Class A, 0.5313% 4/25/19 (d)

475

473

pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20

780

863

sequential payer:

Series K006 Class A2, 4.251% 1/25/20

5,360

5,917

Series K009 Class A2, 3.808% 8/25/20

6,820

7,436

Series K034 Class A1, 2.669% 2/25/23

3,174

3,275

Series K717 Class A2, 2.991% 9/25/21

1,630

1,714

Series K032 Class A1, 3.016% 2/25/23

5,587

5,860

Series K039 Class A2, 3.303% 7/25/24

5,032

5,333

Series K042 Class A2, 2.67% 12/25/24

4,200

4,216

Series K501 Class A2, 1.655% 11/25/16

2,080

2,100

Series K714 Class A2, 3.034% 10/25/20

6,000

6,332

Freddie Mac Multi-family Strutured Pass-thru Certificates:

sequential payer Series K718 Class A2, 2.791% 1/25/22

4,700

4,877

Series K044 Class A2, 2.811% 1/25/25

6,300

6,408

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $54,094)

54,804

Foreign Government and Government Agency Obligations - 3.7%

 

Israeli State (guaranteed by U.S. Government through Agency for International Development):

5.5% 9/18/23

4,551

5,591

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (000s)

Value (000s)

Israeli State (guaranteed by U.S. Government through Agency for International Development): - continued

5.5% 12/4/23

$ 10,710

$ 13,196

Jordanian Kingdom 2.503% 10/30/20

8,609

8,951

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $25,764)

27,738

Cash Equivalents - 0.3%

Maturity Amount (000s)

 

Investments in repurchase agreements in a joint trading account at 0.12%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) #
(Cost $1,887)

1,887


1,887

TOTAL INVESTMENT PORTFOLIO - 100.6%

(Cost $753,572)

765,332

NET OTHER ASSETS (LIABILITIES) - (0.6)%

(4,430)

NET ASSETS - 100%

$ 760,902

Futures Contracts

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized
Appreciation/
(Depreciation) (000s)

Purchased

Treasury Contracts

55 CBOT 10 Year U.S. Treasury Note Contracts (United States)

Sept. 2015

$ 7,023

$ 33

133 CBOT 2-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

29,108

18

124 CBOT 5-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

14,846

59

TOTAL TREASURY CONTRACTS

$ 50,977

$ 110

Futures Contracts - continued

Expiration Date

Underlying Face Amount at Value (000s)

Unrealized Appreciation/
(Depreciation) (000s)

Sold

Treasury Contracts

3 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)

Sept. 2015

$ 481

$ (12)

 

$ 51,458

$ 98

 

The face value of futures purchased as a percentage of net assets is 6.7%

 

The face value of futures sold as a percentage of net assets is 0.1%

Swaps

Interest Rate Swaps

Clearinghouse/
Counterparty(1)

Expiration Date

Notional Amount (000s)

Payment Received

Payment Paid

Value (000s)

Upfront Premium
Received/
(Paid)(2)
(000s)

Unrealized
Appreciation/
(Depreciation) (000s)

CME

Jun. 2017

$ 2,400

3-month LIBOR

1.25%

$ (13)

$ 0

$ (13)

CME

Jun. 2020

1,400

3-month LIBOR

2.25%

(15)

0

(15)

CME

Jun. 2025

6,700

3-month LIBOR

2.75%

(55)

0

(55)

TOTAL INTEREST RATE SWAPS

$ (83)

$ 0

$ (83)

 

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

 

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

Legend

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

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $312,000.

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $239,000.

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

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

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

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

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty

Value
(000s)

$1,887,000 due 6/01/15 at 0.12%

Commerz Markets LLC

$ 1,887

Other Information

The following is a summary of the inputs used, as of May 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Investments in Securities:

U.S. Government and Government Agency Obligations

$ 528,183

$ -

$ 528,183

$ -

U.S. Government Agency - Mortgage Securities

39,818

-

39,818

-

Collateralized Mortgage Obligations

112,902

-

112,902

-

Commercial Mortgage Securities

54,804

-

54,804

-

Foreign Government and Government Agency Obligations

27,738

-

27,738

-

Cash Equivalents

1,887

-

1,887

-

Total Investments in Securities:

$ 765,332

$ -

$ 765,332

$ -

Valuation Inputs at Reporting Date:

Description
(Amounts in thousands)

Total

Level 1

Level 2

Level 3

Derivative Instruments:

Assets

Futures Contracts

$ 110

$ 110

$ -

$ -

Liabilities

Futures Contracts

$ (12)

$ (12)

$ -

$ -

Swaps

(83)

-

(83)

-

Total Liabilities

$ (95)

$ (12)

$ (83)

$ -

Total Derivative Instruments:

$ 15

$ 98

$ (83)

$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $753,334,000. Net unrealized appreciation aggregated $11,998,000, of which $13,655,000 related to appreciated investment securities and $1,657,000 related to depreciated investment securities.

Investment Valuation

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency 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.

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.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Quarterly Report

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

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

Quarterly Report

Investments May 31, 2015 (Unaudited)

Quarterly Holdings Report

for

Fidelity ® Total Bond Fund

May 31, 2015 

1.800361.111

TBD-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 42.9%

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - 4.1%

Auto Components - 0.0%

J.B. Poindexter & Co., Inc. 9% 4/1/22 (h)

$ 3,045,000

$ 3,288,600

Schaeffler Holding Finance BV 6.75% 11/15/22 pay-in-kind (h)(m)

1,160,000

1,268,750

 

4,557,350

Automobiles - 1.0%

Daimler Finance North America LLC 1.45% 8/1/16 (h)

7,526,000

7,571,743

General Motors Co.:

3.5% 10/2/18

9,215,000

9,471,177

6.25% 10/2/43

1,543,000

1,776,942

General Motors Financial Co., Inc.:

2.4% 4/10/18

40,000,000

39,988,320

2.625% 7/10/17

2,955,000

2,996,955

3% 9/25/17

6,726,000

6,869,049

3.15% 1/15/20

27,252,000

27,256,251

3.25% 5/15/18

4,810,000

4,924,334

3.5% 7/10/19

10,761,000

10,983,387

4% 1/15/25

18,085,000

17,930,500

4.25% 5/15/23

5,420,000

5,551,131

4.375% 9/25/21

25,963,000

27,041,088

4.75% 8/15/17

5,050,000

5,338,092

Volkswagen Group of America Finance LLC 2.45% 11/20/19 (h)

33,222,000

33,671,128

 

201,370,097

Diversified Consumer Services - 0.0%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19

1,206,000

1,233,256

4.25% 6/15/23

8,466,000

8,960,414

 

10,193,670

Hotels, Restaurants & Leisure - 0.4%

24 Hour Holdings III LLC 8% 6/1/22 (h)

5,650,000

4,548,250

Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 (h)

3,465,000

2,832,638

ESH Hospitality, Inc. 5.25% 5/1/25 (h)

1,100,000

1,108,250

FelCor Lodging LP 5.625% 3/1/23

135,000

141,075

Golden Nugget Escrow, Inc. 8.5% 12/1/21 (h)

6,525,000

6,851,250

MCE Finance Ltd. 5% 2/15/21 (h)

7,845,000

7,560,619

NCL Corp. Ltd. 5% 2/15/18

1,635,000

1,675,875

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc.:

8% 10/1/20

$ 3,530,000

$ 3,574,125

11% 10/1/21

1,770,000

1,659,375

Royal Caribbean Cruises Ltd. 7.5% 10/15/27

1,885,000

2,196,025

Scientific Games Corp.:

6.625% 5/15/21

8,635,000

6,605,775

7% 1/1/22 (h)

7,445,000

7,761,413

10% 12/1/22

10,060,000

9,733,050

Speedway Motorsports, Inc. 5.125% 2/1/23 (h)

3,315,000

3,348,150

Times Square Hotel Trust 8.528% 8/1/26 (h)

750,761

963,975

Whitbread PLC 3.375% 10/16/25 (Reg. S)

GBP

1,500,000

2,325,840

Wynn Macau Ltd. 5.25% 10/15/21 (h)

10,650,000

10,357,125

 

73,242,810

Household Durables - 0.2%

D.R. Horton, Inc. 4.375% 9/15/22

865,000

860,675

Lennar Corp.:

4.5% 6/15/19

1,860,000

1,906,500

4.5% 11/15/19

910,000

925,925

Meritage Homes Corp. 6% 6/1/25 (h)

1,905,000

1,921,669

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:

5.75% 10/15/20

2,935,000

3,056,069

8.25% 2/15/21

1,815,000

1,912,556

Standard Pacific Corp. 5.875% 11/15/24

4,810,000

5,002,400

Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (h)

1,495,000

1,515,556

William Lyon Homes, Inc.:

5.75% 4/15/19

5,935,000

6,009,188

7% 8/15/22

10,230,000

10,639,200

 

33,749,738

Internet & Catalog Retail - 0.0%

Netflix, Inc.:

5.5% 2/15/22 (h)

2,645,000

2,757,413

5.875% 2/15/25 (h)

2,645,000

2,764,025

Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 (h)

2,175,000

2,180,438

 

7,701,876

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Media - 2.3%

21st Century Fox America, Inc.:

6.15% 3/1/37

$ 4,759,000

$ 5,715,016

6.15% 2/15/41

11,572,000

13,885,752

7.75% 12/1/45

3,932,000

5,550,049

Altice SA:

7.625% 2/15/25 (h)

3,805,000

3,757,438

7.75% 5/15/22 (h)

13,575,000

13,710,750

AOL Time Warner, Inc. 7.625% 4/15/31

500,000

667,707

CCO Holdings LLC/CCO Holdings Capital Corp.:

5.125% 5/1/23 (h)

3,245,000

3,261,225

5.875% 5/1/27 (h)

1,615,000

1,627,113

Clear Channel Communications, Inc.:

5.5% 12/15/16

8,985,000

8,670,525

6.875% 6/15/18

270,000

247,050

9% 12/15/19

6,930,000

6,808,725

10% 1/15/18

4,260,000

3,674,250

Cogeco Cable, Inc. 4.875% 5/1/20 (h)

2,335,000

2,405,050

Columbus International, Inc. 7.375% 3/30/21 (h)

11,476,000

12,437,115

Comcast Corp.:

3.6% 3/1/24

24,000,000

24,785,736

4.6% 8/15/45

33,362,000

34,471,353

4.95% 6/15/16

2,344,000

2,447,253

6.45% 3/15/37

2,196,000

2,769,134

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19

5,944,000

6,781,248

Discovery Communications LLC:

3.25% 4/1/23

1,789,000

1,737,275

6.35% 6/1/40

6,392,000

7,268,733

Globo Comunicacao e Participacoes SA 4.875% 4/11/22 (h)

565,000

586,188

iHeartCommunications, Inc. 10.625% 3/15/23 (h)

2,695,000

2,688,263

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21

8,111,000

8,982,933

MDC Partners, Inc. 6.75% 4/1/20 (h)

1,885,000

1,870,863

MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (h)(m)

10,130,000

10,357,925

Myriad International Holding BV 6% 7/18/20 (h)

515,000

566,500

NBCUniversal, Inc. 5.15% 4/30/20

11,614,000

13,210,681

Nielsen Finance LLC/Nielsen Finance Co. 4.5% 10/1/20

850,000

863,813

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Numericable Group SA:

4.875% 5/15/19 (h)

$ 2,352,000

$ 2,366,112

6% 5/15/22 (h)

5,000,000

5,043,750

6.25% 5/15/24 (h)

1,490,000

1,510,488

RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (h)

1,460,000

1,554,900

The Nielsen Co. S.a.r.l. (Luxembourg) 5.5% 10/1/21 (h)

2,205,000

2,262,881

Thomson Reuters Corp.:

1.3% 2/23/17

3,690,000

3,691,096

3.85% 9/29/24

11,394,000

11,623,430

Time Warner Cable, Inc.:

4% 9/1/21

20,277,000

20,908,487

4.5% 9/15/42

29,398,000

25,383,409

5.5% 9/1/41

9,289,000

8,940,579

5.85% 5/1/17

3,419,000

3,670,406

5.875% 11/15/40

16,544,000

16,687,006

6.55% 5/1/37

38,302,000

41,197,516

6.75% 7/1/18

13,763,000

15,441,522

7.3% 7/1/38

23,728,000

27,557,889

8.25% 4/1/19

24,391,000

28,904,116

Time Warner, Inc.:

5.875% 11/15/16

368,000

392,918

6.2% 3/15/40

11,792,000

13,903,688

6.5% 11/15/36

9,243,000

11,138,619

TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)

2,050,000

2,117,650

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (h)

4,000,000

3,970,000

Viacom, Inc. 2.5% 9/1/18

1,478,000

1,500,377

VTR Finance BV 6.875% 1/15/24 (h)

1,430,000

1,488,988

Wave Holdco LLC/Wave Holdco Corp. 8.25% 7/15/19 pay-in-kind (h)(m)

215,000

218,225

WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (h)

3,025,000

3,191,375

WMG Acquisition Corp.:

6% 1/15/21 (h)

1,585,000

1,640,475

6.75% 4/15/22 (h)

2,265,000

2,202,713

 

460,314,278

Multiline Retail - 0.1%

Family Tree Escrow LLC 5.75% 3/1/23 (h)

2,240,000

2,363,200

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

JC Penney Corp., Inc.:

5.65% 6/1/20

$ 7,290,000

$ 6,579,225

5.75% 2/15/18

4,130,000

4,078,375

7.4% 4/1/37

8,835,000

7,200,525

8.125% 10/1/19

6,040,000

6,085,300

 

26,306,625

Specialty Retail - 0.1%

DPL, Inc. 7.75% 10/15/20 (h)

1,725,000

1,496,438

Hot Topic, Inc. 9.25% 6/15/21 (h)

4,395,000

4,757,588

Tenedora Nemak SA de CV 5.5% 2/28/23 (h)

1,940,000

2,046,118

The Men's Wearhouse, Inc. 7% 7/1/22 (h)

2,465,000

2,612,900

 

10,913,044

Textiles, Apparel & Luxury Goods - 0.0%

Polymer Group, Inc. 6.875% 6/1/19 (h)

1,600,000

1,492,000

TOTAL CONSUMER DISCRETIONARY

829,841,488

CONSUMER STAPLES - 1.4%

Beverages - 0.3%

Constellation Brands, Inc.:

3.875% 11/15/19

2,360,000

2,416,050

4.25% 5/1/23

5,205,000

5,257,050

6% 5/1/22

23,545,000

26,546,988

Heineken NV:

1.4% 10/1/17 (h)

7,323,000

7,339,330

2.75% 4/1/23 (h)

7,651,000

7,519,334

JB y Co. SA de CV 3.75% 5/13/25 (h)

565,000

565,000

SABMiller Holdings, Inc. 3.75% 1/15/22 (h)

10,217,000

10,662,318

The Coca-Cola Co. 1.625% 3/9/35

EUR

4,950,000

5,099,185

 

65,405,255

Food & Staples Retailing - 0.4%

CVS Health Corp.:

2.25% 12/5/18

8,524,000

8,684,950

4% 12/5/23

8,525,000

8,939,000

ESAL GmbH 6.25% 2/5/23 (h)

15,310,000

15,577,925

Minerva Luxmbourg SA:

7.75% 1/31/23 (h)

8,040,000

8,278,788

7.75% 1/31/23 (Reg. S)

1,030,000

1,060,591

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

SUPERVALU, Inc.:

6.75% 6/1/21

$ 3,045,000

$ 3,119,222

7.75% 11/15/22

1,300,000

1,394,250

Tesco PLC 5% 3/24/23

GBP

2,500,000

3,963,497

Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (h)(j)

2,155,000

2,155,000

Walgreens Boots Alliance, Inc.:

1.75% 11/17/17

3,756,000

3,781,969

2.7% 11/18/19

8,473,000

8,595,359

3.3% 11/18/21

10,050,000

10,155,153

3.8% 11/18/24

7,676,000

7,683,192

WM Morrison Supermarkets PLC 4.625% 12/8/23

GBP

750,000

1,200,871

 

84,589,767

Food Products - 0.2%

ConAgra Foods, Inc. 1.9% 1/25/18

4,611,000

4,611,539

FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (h)

2,100,000

2,210,250

Gruma S.A.B. de CV 4.875% 12/1/24 (h)

625,000

659,375

H.J. Heinz Co. 4.875% 2/15/25 (h)

3,320,000

3,577,300

JBS Investments GmbH:

7.25% 4/3/24 (h)

11,050,000

11,823,500

7.75% 10/28/20 (h)

6,470,000

7,160,349

JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:

5.75% 6/15/25 (h)(j)

1,155,000

1,166,550

5.875% 7/15/24 (h)

6,410,000

6,602,300

7.25% 6/1/21 (h)

2,730,000

2,884,245

8.25% 2/1/20 (h)

1,510,000

1,610,415

Sigma Alimentos SA de CV 6.875% 12/16/19 (h)

575,000

667,690

 

42,973,513

Tobacco - 0.5%

Altria Group, Inc.:

2.85% 8/9/22

9,573,000

9,378,572

4% 1/31/24

6,408,000

6,631,755

4.25% 8/9/42

9,573,000

8,793,088

4.75% 5/5/21

7,000,000

7,751,765

Reynolds American, Inc.:

3.25% 11/1/22

7,368,000

7,249,486

4.75% 11/1/42

31,385,000

29,425,383

6.15% 9/15/43

4,511,000

5,070,197

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

CONSUMER STAPLES - continued

Tobacco - continued

Reynolds American, Inc.: - continued

6.75% 6/15/17

$ 3,719,000

$ 4,093,373

7.25% 6/15/37

5,056,000

6,329,586

Vector Group Ltd. 7.75% 2/15/21

6,480,000

6,966,000

 

91,689,205

TOTAL CONSUMER STAPLES

284,657,740

ENERGY - 6.6%

Energy Equipment & Services - 0.5%

DCP Midstream LLC:

4.75% 9/30/21 (h)

11,333,000

10,998,903

5.35% 3/15/20 (h)

8,816,000

8,982,349

5.85% 5/21/43 (h)(m)

6,758,000

5,609,140

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

10,806,000

10,952,259

5% 10/1/21

7,366,000

7,915,754

6.5% 4/1/20

738,000

850,041

Ensco PLC:

5.2% 3/15/25

7,885,000

8,112,861

5.75% 10/1/44

7,801,000

7,482,142

Exterran Partners LP/EXLP Finance Corp.:

6% 4/1/21

3,210,000

3,137,775

6% 10/1/22

995,000

975,100

Forbes Energy Services Ltd. 9% 6/15/19

8,236,000

6,547,620

Forum Energy Technologies, Inc. 6.25% 10/1/21

3,005,000

2,989,975

Noble Holding International Ltd.:

4% 3/16/18

1,187,000

1,219,095

5.95% 4/1/25

7,570,000

7,650,310

6.95% 4/1/45

7,307,000

7,083,705

Offshore Group Investment Ltd. 7.125% 4/1/23

621,000

434,700

Pacific Drilling V Ltd. 7.25% 12/1/17 (h)

2,790,000

2,552,850

Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S)

920,000

1,267,901

Transocean, Inc.:

3% 10/15/17

1,000,000

975,625

5.05% 12/15/16

7,572,000

7,855,950

 

103,594,055

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 6.1%

Access Midstream Partners LP/ACMP Finance Corp.:

4.875% 5/15/23

$ 1,710,000

$ 1,746,338

4.875% 3/15/24

190,000

192,850

Afren PLC:

6.625% 12/9/20 (h)

1,810,000

778,300

10.25% 4/8/19 (Reg. S) (d)

2,075,000

892,250

Altice SA:

5.375% 7/15/23 (h)(j)

2,560,000

2,560,000

7.75% 7/15/25 (h)(j)

1,795,000

1,764,036

7.75% 7/15/25 (h)(j)

1,610,000

1,610,000

American Energy-Permian Basin LLC/ AEPB Finance Corp. 6.7798% 8/1/19 (h)(m)

4,328,000

2,937,630

Anadarko Petroleum Corp. 6.375% 9/15/17

19,790,000

21,856,432

Antero Resources Corp.:

5.125% 12/1/22

5,995,000

5,980,013

5.625% 6/1/23 (h)

1,360,000

1,396,720

Baytex Energy Corp.:

5.125% 6/1/21 (h)

1,065,000

1,035,713

5.625% 6/1/24 (h)

1,185,000

1,143,525

BP Capital Markets PLC:

1.674% 2/13/18

18,888,000

19,044,223

2.315% 2/13/20

37,777,000

38,018,282

3.535% 11/4/24

15,450,000

15,581,866

3.814% 2/10/24

11,032,000

11,462,778

4.5% 10/1/20

5,954,000

6,587,958

4.742% 3/11/21

8,800,000

9,914,133

California Resources Corp.:

5% 1/15/20

4,620,000

4,400,550

5.5% 9/15/21

2,845,000

2,695,638

6% 11/15/24

975,000

897,000

Canadian Natural Resources Ltd.:

1.75% 1/15/18

6,049,000

6,010,571

3.9% 2/1/25

24,997,000

25,216,799

Carrizo Oil & Gas, Inc. 6.25% 4/15/23

975,000

999,375

Cenovus Energy, Inc. 5.7% 10/15/19

16,926,000

19,010,572

Chesapeake Energy Corp.:

5.75% 3/15/23

900,000

888,750

6.125% 2/15/21

6,750,000

6,868,125

Citgo Holding, Inc. 10.75% 2/15/20 (h)

1,350,000

1,412,438

Citgo Petroleum Corp. 6.25% 8/15/22 (h)

3,145,000

3,113,550

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Columbia Pipeline Group, Inc.:

2.45% 6/1/18 (h)

$ 3,149,000

$ 3,177,294

3.3% 6/1/20 (h)

11,290,000

11,399,434

4.5% 6/1/25 (h)

4,707,000

4,767,155

5.8% 6/1/45 (h)

5,906,000

6,085,129

ConocoPhillips Co. 5.75% 2/1/19

2,930,000

3,339,227

CONSOL Energy, Inc.:

5.875% 4/15/22

4,935,000

4,601,888

8% 4/1/23 (h)

2,710,000

2,798,075

Consolidated Energy Finance SA 6.75% 10/15/19 (h)

6,425,000

6,617,750

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:

6.125% 3/1/22

680,000

709,750

6.25% 4/1/23 (h)

1,235,000

1,300,677

CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22

715,000

732,875

DCP Midstream Operating LP:

2.5% 12/1/17

5,924,000

5,761,280

2.7% 4/1/19

14,993,000

14,224,864

3.875% 3/15/23

5,532,000

5,279,475

Denbury Resources, Inc. 5.5% 5/1/22

5,050,000

4,819,594

DTEK Finance PLC 7.875% 4/4/18 (Reg. S)

200,000

88,386

Duke Energy Field Services:

5.375% 10/15/15 (h)

1,524,000

1,537,335

6.45% 11/3/36 (h)

13,741,000

13,461,261

EDC Finance Ltd. 4.875% 4/17/20 (h)

3,670,000

3,376,400

El Paso Corp. 6.5% 9/15/20

16,140,000

18,684,326

El Paso Natural Gas Co. 5.95% 4/15/17

1,166,000

1,251,230

Empresa Nacional de Petroleo 4.375% 10/30/24 (h)

9,045,000

9,291,304

Enable Midstream Partners LP:

2.4% 5/15/19 (h)

4,028,000

3,898,975

3.9% 5/15/24 (h)

4,249,000

4,048,337

Enbridge Energy Partners LP 4.2% 9/15/21

13,331,000

13,922,430

Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (h)

4,735,000

4,723,163

Energy Transfer Equity LP 5.5% 6/1/27

2,210,000

2,223,813

Enterprise Products Operating LP:

2.55% 10/15/19

2,971,000

3,006,480

3.75% 2/15/25

9,982,000

10,134,605

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

EP Energy LLC/Everest Acquisition Finance, Inc.:

6.375% 6/15/23 (h)

$ 4,845,000

$ 4,851,056

7.75% 9/1/22

6,075,000

6,378,750

Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20

13,400,000

14,555,750

Georgian Oil & Gas Corp.:

6.875% 5/16/17 (h)

950,000

968,221

6.875% 5/16/17 (Reg. S)

200,000

203,836

Gibson Energy, Inc. 6.75% 7/15/21 (h)

1,935,000

2,012,400

Gulfstream Natural Gas System LLC 6.95% 6/1/16 (h)

221,000

231,638

Halcon Resources Corp. 8.625% 2/1/20 (h)

3,625,000

3,679,375

Hilcorp Energy I LP/Hilcorp Finance Co.:

5% 12/1/24 (h)

1,305,000

1,269,113

5.75% 10/1/25 (h)(j)

2,135,000

2,133,666

Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20

750,000

750,000

Jupiter Resources, Inc. 8.5% 10/1/22 (h)

6,555,000

5,506,200

KazMunaiGaz Finance Sub BV:

6% 11/7/44 (h)

665,000

567,910

9.125% 7/2/18 (h)

510,000

577,065

KazMunaiGaz National Co. 5.75% 4/30/43 (h)

1,065,000

885,548

Kinder Morgan, Inc. 2% 12/1/17

5,467,000

5,478,634

Kosmos Energy Ltd. 7.875% 8/1/21 (h)

645,000

633,713

LINN Energy LLC/LINN Energy Finance Corp.:

6.25% 11/1/19

5,260,000

4,497,300

6.5% 5/15/19

2,030,000

1,750,875

Marathon Petroleum Corp. 5.125% 3/1/21

10,178,000

11,327,585

Motiva Enterprises LLC 5.75% 1/15/20 (h)

4,187,000

4,630,177

MPLX LP 4% 2/15/25

2,532,000

2,528,250

Nakilat, Inc. 6.067% 12/31/33 (h)

1,975,000

2,315,026

Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20

4,675,000

4,862,000

Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (h)

1,430,000

1,351,350

Pacific Rubiales Energy Corp. 7.25% 12/12/21 (h)

5,201,000

4,836,930

Pan American Energy LLC 7.875% 5/7/21 (h)

583,000

608,506

PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (h)

2,165,000

2,205,594

Peabody Energy Corp.:

6% 11/15/18

3,240,000

2,300,400

6.25% 11/15/21

3,595,000

1,770,538

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Peabody Energy Corp.: - continued

7.875% 11/1/26

$ 1,790,000

$ 868,150

10% 3/15/22 (h)

2,425,000

1,855,125

Pemex Project Funding Master Trust 6.625% 6/15/35

1,050,000

1,179,150

Petro-Canada 6.05% 5/15/18

3,850,000

4,326,191

Petrobras Global Finance BV:

1.896% 5/20/16 (m)

1,285,000

1,262,757

2.4153% 1/15/19 (m)

1,800,000

1,694,250

3% 1/15/19

1,893,000

1,769,860

3.25% 3/17/17

26,728,000

26,419,559

4.375% 5/20/23

20,096,000

17,935,680

4.875% 3/17/20

26,750,000

25,971,308

5.625% 5/20/43

18,504,000

15,234,528

6.25% 3/17/24

1,200,000

1,192,080

7.25% 3/17/44

640,000

630,464

Petrobras International Finance Co. Ltd.:

3.5% 2/6/17

5,000,000

4,979,000

3.875% 1/27/16

10,742,000

10,784,968

5.375% 1/27/21

44,755,000

43,658,503

5.75% 1/20/20

11,270,000

11,257,603

6.875% 1/20/40

2,325,000

2,185,500

7.875% 3/15/19

14,017,000

15,086,497

Petroleos de Venezuela SA:

5.375% 4/12/27

1,775,000

639,000

5.5% 4/12/37

655,000

232,525

8.5% 11/2/17 (h)

13,595,000

10,077,294

9.75% 5/17/35 (h)

3,430,000

1,474,900

12.75% 2/17/22 (h)

1,595,000

837,375

Petroleos Mexicanos:

3.125% 1/23/19

1,776,000

1,807,435

3.5% 7/18/18

14,963,000

15,511,992

3.5% 7/23/20 (h)

13,960,000

14,153,904

3.5% 1/30/23

11,489,000

11,101,246

4.5% 1/23/26 (h)

46,043,000

46,158,108

4.875% 1/24/22

14,642,000

15,392,403

4.875% 1/18/24

13,072,000

13,632,397

5.5% 1/21/21

12,069,000

13,204,814

5.5% 6/27/44 (h)

640,000

623,360

5.5% 6/27/44

22,304,000

21,724,096

5.625% 1/23/46 (h)

36,355,000

35,933,282

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Petroleos Mexicanos: - continued

6% 3/5/20

$ 6,145,000

$ 6,942,621

6.375% 1/23/45

14,382,000

15,601,594

6.5% 6/2/41

24,867,000

27,229,365

6.625% (h)(i)

5,520,000

5,554,500

8% 5/3/19

8,600,000

10,195,300

Petronas Capital Ltd.:

3.125% 3/18/22 (h)

680,000

692,224

3.5% 3/18/25 (h)

725,000

733,278

Phillips 66 Co.:

4.3% 4/1/22

12,618,000

13,564,060

4.875% 11/15/44

34,230,000

34,288,978

Phillips 66 Partners LP 2.646% 2/15/20

1,316,000

1,309,645

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

5,217,000

5,346,455

6.125% 1/15/17

6,185,000

6,636,214

PT Pertamina Persero:

4.875% 5/3/22 (h)

595,000

613,594

5.25% 5/23/21 (h)

815,000

861,863

6% 5/3/42 (h)

395,000

381,768

6.5% 5/27/41 (h)

1,900,000

1,961,750

Rice Energy, Inc.:

6.25% 5/1/22

8,365,000

8,579,311

7.25% 5/1/23 (h)

3,620,000

3,764,800

Rosetta Resources, Inc.:

5.625% 5/1/21

6,305,000

6,683,931

5.875% 6/1/24

535,000

577,131

Sabine Pass Liquefaction LLC:

5.625% 3/1/25 (h)

5,155,000

5,155,000

5.75% 5/15/24

2,230,000

2,266,238

SemGroup Corp. 7.5% 6/15/21

5,230,000

5,517,650

Shell International Finance BV:

3.25% 5/11/25

20,000,000

20,241,060

4.375% 5/11/45

20,000,000

20,357,000

Sibur Securities Ltd. 3.914% 1/31/18 (h)

1,870,000

1,737,810

Sinopec Group Overseas Development 2012 Ltd. 3.9% 5/17/22

2,750,000

2,870,574

SM Energy Co. 5.625% 6/1/25

725,000

731,344

Southwestern Energy Co.:

3.3% 1/23/18

6,403,000

6,582,482

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Southwestern Energy Co.: - continued

4.05% 1/23/20

$ 11,618,000

$ 12,030,485

Spectra Energy Capital, LLC 5.65% 3/1/20

308,000

338,109

Spectra Energy Partners, LP:

2.95% 6/15/16

4,717,000

4,800,000

2.95% 9/25/18

1,960,000

2,015,415

4.6% 6/15/21

2,694,000

2,910,037

Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (h)

1,035,000

1,076,400

Teine Energy Ltd. 6.875% 9/30/22 (h)

6,310,000

6,199,575

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

6.125% 10/15/21

505,000

530,250

6.25% 10/15/22 (h)

800,000

846,000

The Williams Companies, Inc.:

3.7% 1/15/23

10,780,000

10,501,391

4.55% 6/24/24

53,471,000

54,608,970

Total SA 2.625% (Reg. S) (i)(m)

EUR

2,150,000

2,346,450

Transportadora de Gas del Sur SA 9.625% 5/14/20 (h)

3,042,567

3,088,206

Western Gas Partners LP 5.375% 6/1/21

16,424,000

18,199,385

Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 (h)

2,105,000

2,194,463

Western Refining, Inc. 6.25% 4/1/21

4,085,000

4,166,700

Williams Partners LP:

4.125% 11/15/20

2,399,000

2,533,327

4.3% 3/4/24

8,588,000

8,785,747

YPF SA:

8.5% 7/28/25 (h)

1,285,000

1,318,282

8.75% 4/4/24 (h)

3,215,000

3,319,488

8.875% 12/19/18 (h)

2,725,000

2,929,375

Zhaikmunai International BV 7.125% 11/13/19 (h)

2,415,000

2,276,138

 

1,231,733,370

TOTAL ENERGY

1,335,327,425

FINANCIALS - 19.2%

Banks - 8.2%

Banco Daycoval SA 5.75% 3/19/19 (h)

150,000

155,700

Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S)

628,274

675,080

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Banks - continued

Banco Espirito Santo SA 4% 1/21/19 (Reg. S)

EUR

2,600,000

$ 2,873,370

Banco Nacional de Desenvolvimento Economico e Social:

4% 4/14/19 (h)

$ 12,355,000

12,552,062

5.5% 7/12/20 (h)

575,000

608,638

6.5% 6/10/19 (Reg. S)

1,000,000

1,092,500

Bank Nederlandse Gemeenten NV:

1.375% 9/27/17 (h)

8,770,000

8,853,885

1.375% 9/27/17 (Reg. S)

2,720,000

2,745,204

Bank of America Corp.:

2% 1/11/18

50,000,000

50,342,000

2.25% 4/21/20

100,000,000

98,829,800

2.6% 1/15/19

8,068,000

8,193,353

2.65% 4/1/19

6,430,000

6,542,486

3.3% 1/11/23

31,429,000

31,432,583

3.875% 3/22/17

25,777,000

26,905,027

3.95% 4/21/25

25,000,000

24,721,000

4.1% 7/24/23

11,481,000

12,024,706

4.2% 8/26/24

16,813,000

17,046,247

4.25% 10/22/26

14,724,000

14,785,605

5.65% 5/1/18

8,780,000

9,683,023

5.75% 12/1/17

21,955,000

24,079,607

5.875% 1/5/21

6,530,000

7,532,466

6.5% 8/1/16

9,000,000

9,537,678

Bank of America NA:

1.65% 3/26/18

22,324,000

22,323,777

1.75% 6/5/18

84,682,000

84,608,327

5.3% 3/15/17

3,467,000

3,690,150

Bank of Ireland:

4.25% 6/11/24 (Reg. S) (m)

EUR

3,800,000

4,277,298

10% 7/30/16

EUR

2,350,000

2,771,380

Banque Centrale de Tunisie 5.75% 1/30/25 (h)

1,265,000

1,304,531

Barclays Bank PLC:

2.5% 2/20/19

7,200,000

7,331,803

4.25% 1/12/22

GBP

4,000,000

6,960,040

6.75% 1/16/23 (m)

GBP

2,250,000

3,781,566

Barclays PLC 2.75% 11/8/19

12,249,000

12,379,697

BBVA Bancomer SA 6.75% 9/30/22 (h)

375,000

425,813

BBVA Colombia SA 4.875% 4/21/25 (h)

390,000

392,925

BBVA Paraguay SA 9.75% 2/11/16 (h)

1,145,000

1,192,364

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Banks - continued

Biz Finance PLC 8.75% 1/22/18 (State Export-Import Bank of Ukraine JSC for Biz Finance PLC)(Reg. S)

$ 305,000

$ 215,406

BPCE SA 5.7% 10/22/23 (h)

6,050,000

6,564,480

Capital One NA:

1.65% 2/5/18

18,801,000

18,717,806

2.95% 7/23/21

18,827,000

18,846,731

Citigroup, Inc.:

1.3% 11/15/16

17,175,000

17,208,903

1.7% 4/27/18

120,000,000

119,358,480

1.8% 2/5/18

33,287,000

33,321,219

1.85% 11/24/17

33,365,000

33,580,972

2.4% 2/18/20

60,588,000

60,450,768

2.5% 7/29/19

46,387,000

46,713,750

3.375% 3/1/23

5,193,000

5,276,883

4.05% 7/30/22

5,303,000

5,520,890

5.3% 5/6/44

28,968,000

31,177,882

5.5% 9/13/25

4,478,000

4,982,129

6.125% 5/15/18

3,779,000

4,230,840

Citizens Financial Group, Inc. 4.15% 9/28/22 (h)

13,462,000

13,918,402

Commonwealth Bank of Australia 2% 4/22/27 (Reg. S) (m)

EUR

2,700,000

2,918,251

Credit Suisse AG 6% 2/15/18

18,058,000

19,936,285

Credit Suisse Group Funding Guernsey Ltd.:

2.75% 3/26/20 (h)

19,455,000

19,440,798

3.75% 3/26/25 (h)

19,450,000

19,200,748

Development Bank of Philippines 8.375% (i)(m)

1,930,000

2,064,812

Discover Bank:

4.2% 8/8/23

7,852,000

8,055,171

7% 4/15/20

2,030,000

2,381,888

8.7% 11/18/19

2,958,000

3,617,767

Fifth Third Bancorp:

4.5% 6/1/18

798,000

858,025

8.25% 3/1/38

4,667,000

6,788,903

Finansbank A/S:

5.5% 5/11/16 (Reg. S)

1,300,000

1,324,310

6.25% 4/30/19 (h)

1,100,000

1,124,200

Georgia Bank Joint Stock Co.:

7.75% 7/5/17 (h)

2,000,000

2,086,000

7.75% 7/5/17 (Reg. S)

350,000

365,050

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Banks - continued

GTB Finance BV:

6% 11/8/18 (h)

$ 2,325,000

$ 2,238,278

7.5% 5/19/16 (h)

1,045,000

1,065,900

HBOS PLC 6.75% 5/21/18 (h)

6,067,000

6,766,592

HSBC Holdings PLC 4.25% 3/14/24

6,192,000

6,446,008

HSBC U.S.A., Inc. 1.625% 1/16/18

11,125,000

11,166,207

HSBK BV:

7.25% 5/3/17 (h)

2,285,000

2,359,263

7.25% 5/3/17 (Reg. S)

250,000

258,125

Huntington Bancshares, Inc. 7% 12/15/20

2,851,000

3,407,601

Industrial Senior Trust 5.5% 11/1/22 (h)

220,000

215,050

Itau Unibanco Holding SA:

2.85% 5/26/18 (h)

655,000

656,638

5.125% 5/13/23 (Reg. S)

1,100,000

1,106,600

6.2% 12/21/21 (Reg. S)

980,000

1,050,560

JPMorgan Chase & Co.:

1.625% 5/15/18

12,580,000

12,545,694

2% 8/15/17

11,000,000

11,137,082

2.2% 10/22/19

7,268,000

7,248,057

2.25% 1/23/20

40,000,000

39,788,360

2.35% 1/28/19

6,857,000

6,938,434

3.25% 9/23/22

18,423,000

18,604,338

3.875% 9/10/24

39,644,000

39,786,599

4.125% 12/15/26

50,896,000

51,253,850

4.25% 10/15/20

6,995,000

7,576,473

4.35% 8/15/21

20,267,000

21,981,811

4.5% 1/24/22

22,046,000

24,068,787

4.625% 5/10/21

6,879,000

7,570,649

4.95% 3/25/20

22,079,000

24,589,316

JPMorgan Chase Bank 6% 10/1/17

11,313,000

12,455,975

KeyBank NA:

5.45% 3/3/16

3,939,000

4,072,008

6.95% 2/1/28

1,977,000

2,592,940

Marshall & Ilsley Bank:

4.85% 6/16/15

4,520,000

4,526,974

5% 1/17/17

14,669,000

15,435,309

OJSC Russian Agricultural Bank:

6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h)

1,350,000

1,363,500

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Banks - continued

OJSC Russian Agricultural Bank: - continued

7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h)

$ 1,000,000

$ 1,044,480

Regions Bank:

6.45% 6/26/37

24,618,000

30,036,422

7.5% 5/15/18

24,647,000

28,426,716

Regions Financial Corp.:

2% 5/15/18

13,127,000

13,126,908

5.75% 6/15/15

2,005,000

2,008,386

Royal Bank of Scotland Group PLC:

5.125% 5/28/24

64,006,000

65,707,151

6% 12/19/23

25,897,000

28,057,431

6.1% 6/10/23

16,183,000

17,611,134

6.125% 12/15/22

24,107,000

26,540,891

RSHB Capital SA 5.298% 12/27/17 (h)

1,425,000

1,402,001

SB Capital SA 5.5% 2/26/24 (h)(m)

2,285,000

1,919,400

Turkiye Halk Bankasi A/S 4.75% 6/4/19 (h)

400,000

402,800

Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (h)(m)

645,000

641,582

Wachovia Bank NA 6% 11/15/17

2,243,000

2,486,482

Wachovia Corp. 5.75% 6/15/17

2,933,000

3,201,675

Wells Fargo & Co.:

1.25% 7/20/16

34,000,000

34,121,142

3.676% 6/15/16

4,301,000

4,426,615

4.48% 1/16/24

4,804,000

5,155,994

Yapi ve Kredi Bankasi A/S 5.125% 10/22/19 (Reg. S)

4,000,000

4,075,000

Zenith Bank PLC 6.25% 4/22/19 (h)

2,495,000

2,392,081

 

1,655,956,709

Capital Markets - 3.6%

Affiliated Managers Group, Inc.:

3.5% 8/1/25

19,025,000

18,755,454

4.25% 2/15/24

12,758,000

13,403,338

Argos Merger Sub, Inc. 7.125% 3/15/23 (h)

6,620,000

7,017,200

Blackstone Holdings Finance Co. LLC 2% 5/19/25 (Reg. S)

EUR

1,850,000

2,064,324

Deutsche Bank AG 4.5% 4/1/25

38,771,000

37,842,202

Deutsche Bank AG London Branch 1.875% 2/13/18

37,777,000

37,850,741

Goldman Sachs Group, Inc.:

1.748% 9/15/17

42,024,000

41,973,151

2.55% 10/23/19

33,080,000

33,277,091

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Capital Markets - continued

Goldman Sachs Group, Inc.: - continued

2.625% 1/31/19

$ 50,400,000

$ 51,351,653

2.9% 7/19/18

17,494,000

18,006,382

3.75% 5/22/25

40,000,000

40,299,720

5.25% 7/27/21

17,105,000

19,291,190

5.625% 1/15/17

3,200,000

3,406,691

5.95% 1/18/18

4,975,000

5,499,206

Lazard Group LLC:

4.25% 11/14/20

10,151,000

10,773,236

6.85% 6/15/17

1,263,000

1,385,085

Morgan Stanley:

1.875% 1/5/18

16,953,000

17,019,083

2.125% 4/25/18

12,586,000

12,684,750

2.375% 7/23/19

46,739,000

46,966,525

3.7% 10/23/24

24,714,000

25,129,838

4.35% 9/8/26

30,000,000

30,444,810

4.875% 11/1/22

26,240,000

28,269,428

5% 11/24/25

3,189,000

3,431,970

5.45% 1/9/17

13,970,000

14,854,497

5.5% 1/26/20

88,000,000

99,302,456

5.625% 9/23/19

12,714,000

14,375,237

5.75% 1/25/21

19,879,000

22,941,857

6.625% 4/1/18

16,118,000

18,233,085

MU Finance PLC 8.375% 2/1/17 (h)

806,170

825,317

TransUnion Holding Co., Inc. 8.125% 6/15/18 pay-in-kind (m)

7,915,000

8,112,875

UBS AG Stamford Branch:

1.375% 6/1/17

12,643,000

12,604,060

1.8% 3/26/18

24,142,000

24,154,916

 

721,547,368

Consumer Finance - 1.7%

Ally Financial, Inc.:

3.6% 5/21/18

4,265,000

4,286,325

4.125% 3/30/20

3,215,000

3,215,000

4.625% 5/19/22

1,470,000

1,470,000

Capital One Financial Corp. 2.45% 4/24/19

10,550,000

10,645,499

Credito Real S.A.B. de CV 7.5% 3/13/19 (h)

840,000

892,080

Discover Financial Services:

3.85% 11/21/22

25,882,000

26,382,532

3.95% 11/6/24

9,738,000

9,772,979

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Consumer Finance - continued

Discover Financial Services: - continued

5.2% 4/27/22

$ 12,545,000

$ 13,723,126

6.45% 6/12/17

10,366,000

11,339,316

Ford Motor Credit Co. LLC:

1.5% 1/17/17

7,229,000

7,236,215

1.7% 5/9/16

19,473,000

19,583,938

1.724% 12/6/17

18,742,000

18,701,611

2.597% 11/4/19

40,209,000

40,386,201

2.875% 10/1/18

13,000,000

13,313,508

General Electric Capital Corp.:

1% 12/11/15

10,247,000

10,277,167

4.625% 1/7/21

19,476,000

21,784,782

4.65% 10/17/21

5,377,000

6,039,973

5.625% 9/15/17

5,858,000

6,434,105

5.625% 5/1/18

25,000,000

27,956,675

Hyundai Capital America:

1.45% 2/6/17 (h)

14,591,000

14,575,942

1.625% 10/2/15 (h)

9,515,000

9,537,141

1.875% 8/9/16 (h)

2,974,000

3,001,022

2.125% 10/2/17 (h)

18,524,000

18,718,984

2.875% 8/9/18 (h)

5,276,000

5,449,786

Navient Corp.:

5% 10/26/20

915,000

912,713

5.875% 3/25/21

3,215,000

3,231,075

5.875% 10/25/24

7,685,000

7,339,175

SLM Corp.:

4.875% 6/17/19

2,160,000

2,170,800

5.5% 1/15/19

2,025,000

2,100,938

5.5% 1/25/23

5,000,000

4,875,000

6.125% 3/25/24

4,030,000

3,919,175

8% 3/25/20

950,000

1,071,125

Synchrony Financial:

1.875% 8/15/17

3,341,000

3,352,937

3% 8/15/19

4,907,000

4,994,492

3.75% 8/15/21

7,409,000

7,589,654

4.25% 8/15/24

7,458,000

7,632,018

 

353,913,009

Diversified Financial Services - 0.5%

AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.5% 5/15/21 (h)

2,800,000

2,912,000

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Diversified Financial Services - continued

Brixmor Operating Partnership LP 3.85% 2/1/25

$ 14,325,000

$ 14,201,160

Cimpor Financial Operations BV 5.75% 7/17/24 (h)

850,000

756,500

City of Buenos Aires 9.95% 3/1/17 (h)

793,000

820,755

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

4.875% 3/15/19

2,325,000

2,397,656

5.875% 2/1/22

18,611,000

19,518,286

6% 8/1/20

4,745,000

5,100,875

ILFC E-Capital Trust I 4.09% 12/21/65 (h)(m)

10,340,000

10,029,800

ILFC E-Capital Trust II 6.25% 12/21/65 (h)(m)

4,765,000

4,669,700

ING U.S., Inc. 5.5% 7/15/22

25,716,000

29,386,085

Malaysia Sovereign Sukuk Bhd 3.043% 4/22/25 (h)

940,000

935,293

Mozambique Ematum Finance 2020 6.305% 9/11/20 (Reg. S)

220,000

211,235

TMK Capital SA:

6.75% 4/3/20 (Reg. S)

885,000

778,800

7.75% 1/27/18

1,300,000

1,274,650

 

92,992,795

Insurance - 1.8%

AIA Group Ltd. 2.25% 3/11/19 (h)

2,566,000

2,564,376

Allianz SE 2.241% 7/7/45 (Reg. S) (m)

EUR

2,900,000

3,086,161

American International Group, Inc.:

2.3% 7/16/19

6,461,000

6,501,795

3.875% 1/15/35

19,041,000

17,930,186

4.875% 6/1/22

3,590,000

4,000,362

5.6% 10/18/16

10,702,000

11,337,570

Aon Corp.:

3.125% 5/27/16

11,274,000

11,518,522

3.5% 9/30/15

4,451,000

4,492,212

5% 9/30/20

3,854,000

4,294,655

Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (m)

4,900,000

5,180,927

Assicurazioni Generali SpA 7.75% 12/12/42 (m)

EUR

3,000,000

4,157,933

Aviva PLC 6.625% 6/3/41 (m)

GBP

4,150,000

7,151,924

CNO Financial Group, Inc. 4.5% 5/30/20

2,775,000

2,868,518

Five Corners Funding Trust 4.419% 11/15/23 (h)

12,460,000

13,106,699

Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(m)

1,859,000

1,877,590

Hartford Financial Services Group, Inc.:

5.125% 4/15/22

14,787,000

16,577,587

5.375% 3/15/17

194,000

207,844

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Insurance - continued

Liberty Mutual Group, Inc. 5% 6/1/21 (h)

$ 12,644,000

$ 13,904,834

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

7,090,000

7,900,678

Massachusetts Mutual Life Insurance Co.:

4.5% 4/15/65 (h)

30,523,000

28,259,659

5.375% 12/1/41 (h)

3,840,000

4,375,645

MetLife, Inc.:

1.903% 12/15/17

2,987,000

3,006,532

3.048% 12/15/22

12,433,000

12,499,927

4.368% 9/15/23

9,625,000

10,390,592

4.75% 2/8/21

4,032,000

4,534,331

6.75% 6/1/16

7,610,000

8,050,733

Metropolitan Life Global Funding I 3% 1/10/23 (h)

7,896,000

7,896,948

Muenchener Rueckversicherungs AG 6.25% 5/26/42 (Reg. S) (m)

EUR

2,000,000

2,802,286

Pacific Life Insurance Co. 9.25% 6/15/39 (h)

7,041,000

10,638,655

Pacific LifeCorp:

5.125% 1/30/43 (h)

19,436,000

20,867,559

6% 2/10/20 (h)

12,654,000

14,401,783

Prudential Financial, Inc.:

2.3% 8/15/18

1,622,000

1,650,129

4.5% 11/16/21

6,390,000

7,029,173

5.375% 5/15/45 (m)

17,492,000

17,612,258

6.2% 11/15/40

4,318,000

5,187,218

7.375% 6/15/19

3,230,000

3,870,231

Symetra Financial Corp. 6.125% 4/1/16 (h)

6,375,000

6,587,326

Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (h)

18,083,000

19,271,867

TIAA Asset Management Finance LLC:

2.95% 11/1/19 (h)

4,172,000

4,249,754

4.125% 11/1/24 (h)

6,048,000

6,253,977

Unum Group:

5.625% 9/15/20

8,386,000

9,513,665

5.75% 8/15/42

16,937,000

19,397,116

7.125% 9/30/16

587,000

631,187

 

367,638,924

Real Estate Investment Trusts - 1.7%

Alexandria Real Estate Equities, Inc.:

2.75% 1/15/20

2,884,000

2,880,124

4.6% 4/1/22

4,025,000

4,285,896

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

American Campus Communities Operating Partnership LP 3.75% 4/15/23

$ 3,491,000

$ 3,509,883

AvalonBay Communities, Inc.:

3.625% 10/1/20

5,005,000

5,279,084

4.2% 12/15/23

12,000,000

12,842,172

Boston Properties, Inc. 3.85% 2/1/23

14,583,000

15,264,843

Camden Property Trust:

2.95% 12/15/22

4,796,000

4,688,584

4.25% 1/15/24

9,191,000

9,715,990

CommonWealth REIT 5.875% 9/15/20

2,130,000

2,358,873

Communications Sales & Leasing, Inc. 8.25% 10/15/23 (h)

1,455,000

1,484,100

DDR Corp.:

3.625% 2/1/25

7,690,000

7,534,170

4.625% 7/15/22

8,808,000

9,431,580

4.75% 4/15/18

11,273,000

12,050,848

7.5% 4/1/17

5,574,000

6,148,284

7.875% 9/1/20

323,000

399,203

9.625% 3/15/16

3,691,000

3,935,104

Duke Realty LP:

3.625% 4/15/23

6,287,000

6,354,799

3.75% 12/1/24

5,408,000

5,489,363

3.875% 10/15/22

11,543,000

11,929,402

4.375% 6/15/22

7,323,000

7,765,046

5.95% 2/15/17

102,000

109,668

6.5% 1/15/18

3,795,000

4,258,677

6.75% 3/15/20

10,379,000

12,221,449

8.25% 8/15/19

75,000

91,661

Equity One, Inc.:

3.75% 11/15/22

18,100,000

18,142,589

6% 9/15/17

1,212,000

1,320,853

6.25% 1/15/17

1,027,000

1,101,057

ERP Operating LP:

2.375% 7/1/19

8,777,000

8,868,737

4.625% 12/15/21

17,159,000

18,929,860

4.75% 7/15/20

7,700,000

8,562,215

5.375% 8/1/16

2,768,000

2,909,982

5.75% 6/15/17

14,407,000

15,685,636

Federal Realty Investment Trust 5.9% 4/1/20

2,504,000

2,890,112

HCP, Inc. 3.75% 2/1/16

6,084,000

6,195,745

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Real Estate Investment Trusts - continued

Health Care REIT, Inc.:

2.25% 3/15/18

$ 5,151,000

$ 5,217,788

4.7% 9/15/17

1,538,000

1,643,293

Highwoods/Forsyth LP 5.85% 3/15/17

615,000

661,568

HRPT Properties Trust:

6.25% 6/15/17

1,232,000

1,311,648

6.65% 1/15/18

867,000

935,478

Lexington Corporate Properties Trust 4.4% 6/15/24

4,608,000

4,700,289

Omega Healthcare Investors, Inc.:

4.5% 1/15/25 (h)

4,655,000

4,651,555

4.5% 4/1/27 (h)

45,578,000

44,762,610

4.95% 4/1/24

3,875,000

4,039,835

5.875% 3/15/24

290,000

308,850

6.75% 10/15/22

345,000

361,819

Retail Opportunity Investments Partnership LP:

4% 12/15/24

3,376,000

3,396,195

5% 12/15/23

2,030,000

2,178,220

Senior Housing Properties Trust 6.75% 4/15/20

250,000

282,844

Simon Property Group LP 4.125% 12/1/21

7,287,000

7,969,092

The GEO Group, Inc. 5.875% 1/15/22

2,630,000

2,777,938

Weingarten Realty Investors 3.375% 10/15/22

2,729,000

2,689,028

WP Carey, Inc. 4% 2/1/25

21,616,000

21,026,705

 

343,550,344

Real Estate Management & Development - 1.7%

BioMed Realty LP:

2.625% 5/1/19

7,539,000

7,569,013

3.85% 4/15/16

16,284,000

16,625,199

4.25% 7/15/22

5,809,000

6,019,762

6.125% 4/15/20

3,429,000

3,912,242

Brandywine Operating Partnership LP:

3.95% 2/15/23

12,775,000

12,850,564

4.1% 10/1/24

15,881,000

15,973,380

4.55% 10/1/29

15,881,000

16,182,294

4.95% 4/15/18

12,690,000

13,601,548

5.7% 5/1/17

7,049,000

7,549,014

6% 4/1/16

2,699,000

2,803,621

CBRE Group, Inc. 5% 3/15/23

10,300,000

10,609,000

Citycon Oyj 3.75% 6/24/20 (Reg. S)

EUR

2,500,000

3,061,591

Citycon Treasury BV 2.5% 10/1/24 (Reg. S)

EUR

350,000

395,234

Deutsche Annington Finance BV 5% 10/2/23 (h)

3,750,000

4,055,749

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Digital Realty Trust LP 5.25% 3/15/21

$ 5,708,000

$ 6,327,152

Essex Portfolio LP:

3.875% 5/1/24

8,802,000

9,088,109

5.5% 3/15/17

3,597,000

3,855,621

Host Hotels & Resorts LP:

4.75% 3/1/23

150,000

159,757

5.875% 6/15/19

150,000

154,623

6% 11/1/20

105,000

110,344

Howard Hughes Corp. 6.875% 10/1/21 (h)

2,035,000

2,136,750

Hunt Companies, Inc. 9.625% 3/1/21 (h)

870,000

913,500

Inmobiliaria Colonial SA 1.863% 6/5/19 (Reg. S)

EUR

2,900,000

3,195,549

Inversiones y Representaciones SA:

8.5% 2/2/17 (Reg. S)

65,000

64,675

11.5% 7/20/20 (Reg. S)

5,000

5,705

Liberty Property LP:

3.375% 6/15/23

6,574,000

6,443,269

4.125% 6/15/22

6,280,000

6,508,441

4.4% 2/15/24

13,017,000

13,651,149

4.75% 10/1/20

11,282,000

12,247,773

5.5% 12/15/16

1,891,000

2,002,091

6.625% 10/1/17

4,835,000

5,351,832

Mack-Cali Realty LP:

2.5% 12/15/17

9,223,000

9,261,875

3.15% 5/15/23

14,735,000

13,213,051

4.5% 4/18/22

4,072,000

4,069,398

5.8% 1/15/16

10,000,000

10,247,180

7.75% 8/15/19

700,000

811,330

Mid-America Apartments LP:

4.3% 10/15/23

2,224,000

2,335,520

6.05% 9/1/16

2,000,000

2,112,178

Post Apartment Homes LP 3.375% 12/1/22

2,570,000

2,535,973

Prime Property Funding, Inc. 5.7% 4/15/17 (h)

4,546,000

4,805,981

Realogy Corp. 7.625% 1/15/20 (h)

981,000

1,048,444

Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (h)

235,000

238,525

Reckson Operating Partnership LP 6% 3/31/16

7,123,000

7,405,455

Regency Centers LP:

5.25% 8/1/15

6,456,000

6,502,599

5.875% 6/15/17

2,874,000

3,123,518

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP:

3.75% 12/1/24

$ 10,161,000

$ 10,246,017

3.875% 12/1/23

4,812,000

4,936,010

6.125% 6/1/20

14,318,000

16,519,364

Ventas Realty LP:

1.55% 9/26/16

7,655,000

7,701,550

3.5% 2/1/25

4,631,000

4,549,499

3.75% 5/1/24

20,000,000

20,195,000

Ventas Realty LP/Ventas Capital Corp.:

2% 2/15/18

8,050,000

8,125,944

4% 4/30/19

3,747,000

3,982,750

4.25% 3/1/22

300,000

317,747

Vesteda Finance BV 1.75% 7/22/19 (Reg. S)

EUR

3,000,000

3,349,266

Weyerhaeuser Real Estate Co.:

4.375% 6/15/19 (h)

570,000

561,450

5.875% 6/15/24 (h)

415,000

408,256

 

342,028,431

Thrifts & Mortgage Finance - 0.0%

Wrightwood Capital LLC 1.9% 4/20/20 (d)

834

12,095

TOTAL FINANCIALS

3,877,639,675

HEALTH CARE - 2.3%

Biotechnology - 0.2%

Amgen, Inc.:

1.25% 5/22/17

14,862,000

14,852,696

2.2% 5/22/19

14,136,000

14,203,909

 

29,056,605

Health Care Equipment & Supplies - 0.0%

Becton, Dickinson & Co. 2.675% 12/15/19

4,539,000

4,607,779

DJO Finco, Inc. 8.125% 6/15/21 (h)

2,720,000

2,801,600

Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (h)

655,000

658,766

 

8,068,145

Health Care Providers & Services - 0.9%

Aetna, Inc. 2.75% 11/15/22

2,010,000

1,990,183

Community Health Systems, Inc. 6.875% 2/1/22

7,110,000

7,589,996

DaVita HealthCare Partners, Inc. 5% 5/1/25

2,480,000

2,464,500

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Express Scripts Holding Co. 4.75% 11/15/21

$ 24,746,000

$ 27,366,181

HCA Holdings, Inc.:

3.75% 3/15/19

18,722,000

19,002,830

4.25% 10/15/19

7,590,000

7,877,661

4.75% 5/1/23

595,000

615,825

5.875% 3/15/22

715,000

799,013

6.5% 2/15/20

30,303,000

33,825,724

HealthSouth Corp.:

5.125% 3/15/23

860,000

881,500

5.75% 11/1/24

1,155,000

1,192,538

Kindred Escrow Corp. II:

8% 1/15/20 (h)

1,810,000

1,957,063

8.75% 1/15/23 (h)

6,820,000

7,570,200

Medco Health Solutions, Inc.:

2.75% 9/15/15

1,176,000

1,182,888

4.125% 9/15/20

7,486,000

8,049,576

Quintiles Transnational Corp. 4.875% 5/15/23 (h)

1,150,000

1,167,250

Sabra Health Care LP/Sabra Capital Corp.:

5.375% 6/1/23

500,000

525,000

5.5% 2/1/21

5,400,000

5,670,000

Tenet Healthcare Corp.:

5% 3/1/19 (h)

2,285,000

2,279,288

6% 10/1/20

860,000

920,200

8.125% 4/1/22

16,575,000

18,066,750

UnitedHealth Group, Inc.:

2.75% 2/15/23

2,398,000

2,394,979

2.875% 3/15/23

16,114,000

16,155,252

Wellcare Health Plans, Inc. 5.75% 11/15/20

1,860,000

1,956,488

WellPoint, Inc. 3.3% 1/15/23

6,442,000

6,451,354

 

177,952,239

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc.:

1.3% 2/1/17

3,107,000

3,106,363

2.4% 2/1/19

1,959,000

1,972,625

4.15% 2/1/24

3,010,000

3,154,170

 

8,233,158

Pharmaceuticals - 1.2%

AbbVie, Inc.:

1.75% 11/6/17

13,509,000

13,556,241

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

HEALTH CARE - continued

Pharmaceuticals - continued

AbbVie, Inc.: - continued

2.9% 11/6/22

$ 13,855,000

$ 13,619,895

3.6% 5/14/25

24,114,000

24,255,959

4.5% 5/14/35

23,238,000

23,301,347

4.7% 5/14/45

23,197,000

23,460,982

Actavis Funding SCS:

3% 3/12/20

13,777,000

13,951,238

3.45% 3/15/22

18,597,000

18,732,089

3.8% 3/15/25

17,286,000

17,371,082

4.75% 3/15/45

18,289,000

18,018,963

Bayer AG 2.375% 4/2/75 (Reg. S) (m)

EUR

2,450,000

2,658,429

Bayer U.S. Finance LLC:

2.375% 10/8/19 (h)

10,323,000

10,457,075

3% 10/8/21 (h)

7,536,000

7,684,218

3.375% 10/8/24 (h)

3,362,000

3,409,670

Concordia Healthcare Corp. 7% 4/15/23 (h)

715,000

719,469

Endo Finance LLC 5.375% 1/15/23 (h)

1,530,000

1,495,575

Endo Finance LLC/Endo Ltd./Endo Finco, Inc. 6% 2/1/25 (h)

3,680,000

3,726,000

Horizon Pharma Financing, Inc. 6.625% 5/1/23 (h)

3,245,000

3,338,294

Mylan, Inc. 1.35% 11/29/16

3,628,000

3,625,217

Perrigo Co. PLC:

1.3% 11/8/16

2,954,000

2,951,814

2.3% 11/8/18

3,161,000

3,177,611

Perrigo Finance PLC:

3.5% 12/15/21

3,657,000

3,731,844

3.9% 12/15/24

5,449,000

5,547,829

4.9% 12/15/44

2,390,000

2,405,234

Valeant Pharmaceuticals International, Inc.:

5.375% 3/15/20 (h)

4,015,000

4,185,638

5.875% 5/15/23 (h)

3,240,000

3,357,450

6.125% 4/15/25 (h)

3,460,000

3,598,400

Watson Pharmaceuticals, Inc. 1.875% 10/1/17

4,757,000

4,769,682

Zoetis, Inc.:

1.875% 2/1/18

2,006,000

2,005,717

3.25% 2/1/23

4,892,000

4,786,778

 

243,899,740

TOTAL HEALTH CARE

467,209,887

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

INDUSTRIALS - 1.5%

Aerospace & Defense - 0.2%

BAE Systems Holdings, Inc.:

3.8% 10/7/24 (h)

$ 9,122,000

$ 9,402,146

6.375% 6/1/19 (h)

8,071,000

9,295,750

DigitalGlobe, Inc. 5.25% 2/1/21 (h)

6,075,000

6,076,215

TransDigm, Inc.:

5.5% 10/15/20

4,530,000

4,530,000

6% 7/15/22

2,885,000

2,924,669

6.5% 5/15/25 (h)

2,710,000

2,770,975

 

34,999,755

Airlines - 0.2%

Air Canada 6.625% 5/15/18 (h)

1,465,000

1,541,913

Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 9/15/20 (h)

3,225,000

3,229,305

Allegiant Travel Co. 5.5% 7/15/19

6,225,000

6,388,406

American Airlines Group, Inc.:

4.625% 3/1/20 (h)

2,670,000

2,596,575

5.5% 10/1/19 (h)

8,970,000

9,059,700

American Airlines, Inc. pass-thru certificates equipment trust certificate 5.625% 1/15/21 (h)

214,707

223,832

Continental Airlines, Inc.:

pass-thru trust certificates 9.798% 4/1/21

243,535

273,368

6.125% 4/29/18

240,000

252,600

6.648% 3/15/19

945,121

979,901

6.9% 7/2/19

403,289

424,945

9.25% 5/10/17

1,325,326

1,441,292

Delta Air Lines, Inc. pass-thru trust certificates:

6.375% 7/2/17 (h)

1,515,000

1,556,360

6.75% 5/23/17

1,515,000

1,552,269

U.S. Airways Group, Inc. 6.125% 6/1/18

1,480,000

1,528,100

U.S. Airways pass-thru certificates:

Series 2012-2C, 5.45% 6/3/18

1,690,000

1,734,363

Series 2013-1 Class B, 5.375% 5/15/23

323,913

336,870

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

1,398,846

1,481,028

8.36% 1/20/19

1,017,897

1,101,874

United Air Lines, Inc. pass-thru trust certificates:

Class B, 7.336% 7/2/19

653,446

707,355

12% 1/15/16 (h)

202,793

213,947

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

INDUSTRIALS - continued

Airlines - continued

United Continental Holdings, Inc.:

6% 12/1/20

$ 2,600,000

$ 2,697,500

6.375% 6/1/18

140,000

146,300

 

39,467,803

Building Products - 0.1%

Building Materials Corp. of America 5.375% 11/15/24 (h)

3,095,000

3,120,131

HD Supply, Inc.:

5.25% 12/15/21 (h)

2,110,000

2,194,400

7.5% 7/15/20

8,600,000

9,298,750

11.5% 7/15/20

2,700,000

3,159,000

Shea Homes Ltd. Partnershp/Corp.:

5.875% 4/1/23 (h)

475,000

489,250

6.125% 4/1/25 (h)

475,000

489,250

USG Corp. 5.5% 3/1/25 (h)

2,990,000

3,094,650

 

21,845,431

Commercial Services & Supplies - 0.3%

ADS Waste Holdings, Inc. 8.25% 10/1/20

1,950,000

2,054,813

ADT Corp.:

3.5% 7/15/22

6,296,000

5,791,061

4.125% 4/15/19

3,395,000

3,454,413

4.125% 6/15/23

5,040,000

4,725,000

5.25% 3/15/20

2,035,000

2,152,013

6.25% 10/15/21

2,065,000

2,214,713

APX Group, Inc.:

6.375% 12/1/19

10,805,000

10,791,494

8.75% 12/1/20

12,955,000

11,724,275

Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (h)

6,560,000

6,297,600

Cenveo Corp. 6% 8/1/19 (h)

325,000

308,750

Garda World Security Corp.:

7.25% 11/15/21 (h)

8,485,000

8,315,300

7.25% 11/15/21 (h)

400,000

392,000

LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h)

3,500,000

3,622,500

R.R. Donnelley & Sons Co.:

6.5% 11/15/23

1,280,000

1,360,000

7% 2/15/22

660,000

721,050

 

63,924,982

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

INDUSTRIALS - continued

Construction & Engineering - 0.0%

Abengoa Greenfield SA 6.5% 10/1/19 (h)

$ 2,825,000

$ 2,655,500

Cementos Progreso Trust 7.125% 11/6/23 (h)

570,000

617,738

MasTec, Inc. 4.875% 3/15/23

170,000

158,525

Odebrecht Finance Ltd. 4.375% 4/25/25 (h)

650,000

579,150

 

4,010,913

Electrical Equipment - 0.1%

Sensata Technologies BV 5% 10/1/25 (h)

2,285,000

2,306,410

Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S)

EUR

5,200,000

5,604,327

 

7,910,737

Industrial Conglomerates - 0.1%

3M Co. 1.75% 5/15/30

EUR

1,950,000

2,114,854

Alfa SA de CV 5.25% 3/25/24 (h)

450,000

472,500

General Electric Co. 5.25% 12/6/17

17,730,000

19,465,643

 

22,052,997

Machinery - 0.0%

Blueline Rent Finance Corp./Volvo 7% 2/1/19 (h)

1,340,000

1,383,550

Schaeffler Finance BV 4.75% 5/15/21 (h)

1,540,000

1,574,650

Xerium Technologies, Inc. 8.875% 6/15/18

1,645,000

1,706,688

 

4,664,888

Marine - 0.1%

Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (h)

3,210,000

3,266,175

Navios Maritime Holdings, Inc.:

7.375% 1/15/22 (h)

6,910,000

6,305,375

8.125% 2/15/19

2,885,000

2,437,825

Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (h)

885,000

856,238

 

12,865,613

Professional Services - 0.0%

FTI Consulting, Inc. 6.75% 10/1/20

1,790,000

1,872,788

IHS, Inc. 5% 11/1/22 (h)

2,895,000

2,916,713

 

4,789,501

Road & Rail - 0.0%

Alpha Trains Finance SA 2.064% 6/30/25

EUR

4,000,000

4,238,392

Firstgroup PLC 5.25% 11/29/22

GBP

1,000,000

1,687,757

JSC Georgian Railway 7.75% 7/11/22 (h)

650,000

714,415

 

6,640,564

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

INDUSTRIALS - continued

Trading Companies & Distributors - 0.4%

Air Lease Corp.:

2.125% 1/15/18

$ 7,271,000

$ 7,225,556

3.75% 2/1/22

16,396,000

16,520,675

3.875% 4/1/21

14,814,000

15,258,420

4.25% 9/15/24

12,030,000

12,180,375

4.75% 3/1/20

11,796,000

12,592,230

Aircastle Ltd.:

5.125% 3/15/21

1,575,000

1,643,906

6.25% 12/1/19

830,000

914,038

Building Materials Holding Corp. 9% 9/15/18 (h)

2,690,000

2,905,200

FLY Leasing Ltd.:

6.375% 10/15/21

5,600,000

5,656,000

6.75% 12/15/20

2,795,000

2,885,838

International Lease Finance Corp. 4.625% 4/15/21

955,000

995,588

Travis Perkins PLC 4.375% 9/15/21 (Reg. S)

GBP

1,000,000

1,588,518

United Rentals North America, Inc.:

4.625% 7/15/23

1,310,000

1,310,000

5.5% 7/15/25

1,045,000

1,042,388

 

82,718,732

Transportation Infrastructure - 0.0%

Aeropuertos Argentina 2000 SA:

10.75% 12/1/20 (h)

1,637,370

1,758,863

10.75% 12/1/20 (Reg. S)

91,770

98,579

Heathrow Funding Ltd. 6% 3/20/20

GBP

2,400,000

4,210,641

 

6,068,083

TOTAL INDUSTRIALS

311,959,999

INFORMATION TECHNOLOGY - 0.6%

Communications Equipment - 0.2%

Alcatel-Lucent U.S.A., Inc.:

6.75% 11/15/20 (h)

5,575,000

5,909,500

8.875% 1/1/20 (h)

1,970,000

2,162,075

Banglalink Digital Communications Ltd. 8.625% 5/6/19 (h)

1,795,000

1,857,825

Brocade Communications Systems, Inc. 4.625% 1/15/23

1,430,000

1,394,250

CommScope, Inc. 4.375% 6/15/20 (h)(j)

1,315,000

1,326,506

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Lucent Technologies, Inc.:

6.45% 3/15/29

$ 12,245,000

$ 13,193,988

6.5% 1/15/28

4,782,000

5,164,560

 

31,008,704

Electronic Equipment & Components - 0.1%

Amphenol Corp. 3.125% 9/15/21

4,703,000

4,773,061

Tyco Electronics Group SA:

2.375% 12/17/18

2,244,000

2,279,487

6.55% 10/1/17

1,383,000

1,541,395

 

8,593,943

IT Services - 0.0%

Audatex North America, Inc. 6% 6/15/21 (h)

3,200,000

3,339,328

Global Cash Access, Inc. 10% 1/15/22 (h)

3,720,000

3,636,300

 

6,975,628

Semiconductors & Semiconductor Equipment - 0.1%

Infineon Technologies AG 1.5% 3/10/22 (Reg. S)

EUR

4,400,000

4,841,441

Micron Technology, Inc.:

5.25% 8/1/23 (h)

3,265,000

3,265,000

5.25% 1/15/24 (h)

2,165,000

2,143,350

5.625% 1/15/26 (h)

2,165,000

2,127,113

5.875% 2/15/22

2,310,000

2,425,500

STATS ChipPAC Ltd. 4.5% 3/20/18 (h)

600,000

600,900

Viasystems, Inc. 7.875% 5/1/19 (h)

1,825,000

1,934,500

 

17,337,804

Software - 0.0%

Blue Coat Systems, Inc. 8.375% 6/1/23 (h)

2,875,000

2,903,750

Nuance Communications, Inc. 5.375% 8/15/20 (h)

3,315,000

3,344,006

 

6,247,756

Technology Hardware, Storage & Peripherals - 0.2%

Apple, Inc.:

3.2% 5/13/25

20,000,000

20,173,300

4.375% 5/13/45

20,000,000

20,154,220

 

40,327,520

TOTAL INFORMATION TECHNOLOGY

110,491,355

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

MATERIALS - 1.4%

Chemicals - 0.2%

Evolution Escrow Issuer LLC 7.5% 3/15/22 (h)

$ 4,150,000

$ 4,129,250

LSB Industries, Inc. 7.75% 8/1/19

1,055,000

1,120,938

Nufarm Australia Ltd. 6.375% 10/15/19 (h)

3,175,000

3,254,375

OCP SA 5.625% 4/25/24 (h)

390,000

416,520

Platform Specialty Products Corp. 6.5% 2/1/22 (h)

2,210,000

2,320,500

Rain CII Carbon LLC/CII Carbon Corp.:

8% 12/1/18 (h)

1,755,000

1,719,900

8.25% 1/15/21 (h)

1,670,000

1,619,900

The Chemours Company LLC 6.625% 5/15/23 (h)

4,065,000

4,125,975

The Dow Chemical Co.:

4.125% 11/15/21

10,888,000

11,639,577

4.25% 11/15/20

5,898,000

6,379,867

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 6.75% 5/1/22 (h)

675,000

687,656

W.R. Grace & Co. - Conn 5.125% 10/1/21 (h)

2,375,000

2,452,188

 

39,866,646

Construction Materials - 0.0%

CEMEX Finance LLC:

6% 4/1/24 (h)

1,670,000

1,694,215

9.375% 10/12/22 (h)

710,000

805,850

CEMEX S.A.B. de CV:

6.125% 5/5/25 (h)

2,695,000

2,719,255

6.5% 12/10/19 (h)

4,195,000

4,478,582

Rearden G Holdings Eins GmbH 7.875% 3/30/20 (h)

790,000

772,225

 

10,470,127

Containers & Packaging - 0.2%

Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (h)(m)

14,343,753

14,730,437

Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:

3.2706% 12/15/19 (h)(m)

7,335,000

7,215,806

6.75% 1/31/21 (h)

595,000

612,850

7% 11/15/20 (h)

2,655,000

2,721,375

Beverage Packaging Holdings II SA (Luxembourg) 6% 6/15/17 (h)

2,190,000

2,211,900

Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23

2,345,000

2,315,688

Sappi Papier Holding GmbH 6.625% 4/15/21 (h)

6,885,000

7,246,463

 

37,054,519

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

MATERIALS - continued

Metals & Mining - 1.0%

Alcoa, Inc. 5.125% 10/1/24

$ 9,954,000

$ 10,625,895

Alrosa Finance SA 7.75% 11/3/20 (h)

700,000

731,500

Anglo American Capital PLC:

3.625% 5/14/20 (h)

29,122,000

29,330,659

4.875% 5/14/25 (h)

29,080,000

29,004,479

Compania Minera Ares SAC 7.75% 1/23/21 (h)

860,000

890,100

Corporacion Nacional del Cobre de Chile (Codelco):

3.875% 11/3/21 (h)

11,456,000

12,030,622

4.875% 11/4/44 (h)

6,383,000

6,441,245

CSN Resources SA 6.5% 7/21/20 (h)

500,000

436,250

EVRAZ Group SA:

6.5% 4/22/20 (h)

2,030,000

1,862,525

9.5% 4/24/18 (Reg. S)

2,850,000

2,949,750

Ferrexpo Finance PLC 10.375% 4/7/19 (h)

1,597,000

1,346,798

First Quantum Minerals Ltd.:

6.75% 2/15/20 (h)

5,075,000

4,960,813

7.25% 5/15/22 (h)

3,745,000

3,609,244

FMG Resources (August 2006) Pty Ltd.:

6.875% 4/1/22 (h)

1,400,000

1,072,750

8.25% 11/1/19 (h)

2,275,000

2,081,625

Freeport-McMoRan, Inc. 2.3% 11/14/17

9,771,000

9,784,308

Gold Fields Orogen Holding BVI Ltd.:

4.875% 10/7/20 (h)

1,505,000

1,356,381

4.875% 10/7/20 (Reg. S)

200,000

180,250

GTL Trade Finance, Inc. 5.893% 4/29/24 (h)

1,025,000

1,007,268

JMC Steel Group, Inc. 8.25% 3/15/18 (h)

6,700,000

6,063,500

Lundin Mining Corp.:

7.5% 11/1/20 (h)

3,780,000

4,087,125

7.875% 11/1/22 (h)

5,840,000

6,318,197

Metalloinvest Finance Ltd. 5.625% 4/17/20 (h)

560,000

510,160

Metinvest BV:

8.75% 2/14/18 (Reg. S)

400,000

230,000

10.25% 5/20/49 (Reg. S)

100,000

68,000

10.5% 11/28/17 (h)

3,050,000

1,875,750

Murray Energy Corp. 11.25% 4/15/21 (h)

9,760,000

9,418,400

New Gold, Inc. 6.25% 11/15/22 (h)

4,830,000

4,836,038

Nord Gold NV 6.375% 5/7/18 (h)

1,660,000

1,630,950

Polyus Gold International Ltd.:

5.625% 4/29/20 (h)

3,110,000

2,970,050

5.625% 4/29/20 (Reg. S)

200,000

191,000

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

MATERIALS - continued

Metals & Mining - continued

Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18

$ 12,175,000

$ 12,298,248

Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (h)

1,600,000

1,600,000

Southern Copper Corp.:

6.75% 4/16/40

530,000

561,116

7.5% 7/27/35

910,000

1,035,861

Steel Dynamics, Inc.:

5.125% 10/1/21

1,660,000

1,680,750

6.125% 8/15/19

2,683,000

2,864,103

Vale Overseas Ltd.:

4.375% 1/11/22

12,000,000

11,792,760

6.25% 1/11/16

5,000,000

5,141,150

6.25% 1/23/17

5,581,000

5,947,281

6.875% 11/21/36

640,000

629,370

Vedanta Resources PLC 6.75% 6/7/16 (h)

1,040,000

1,067,560

 

202,519,831

Paper & Forest Products - 0.0%

Mercer International, Inc. 7% 12/1/19

915,000

965,325

Sino-Forest Corp. 6.25% 10/21/17 (d)(h)

1,365,000

0

 

965,325

TOTAL MATERIALS

290,876,448

TELECOMMUNICATION SERVICES - 2.8%

Diversified Telecommunication Services - 2.3%

Altice Financing SA:

6.5% 1/15/22 (h)

1,865,000

1,911,625

6.625% 2/15/23 (h)

2,780,000

2,880,775

7.875% 12/15/19 (h)

272,000

288,660

Altice Finco SA:

7.625% 2/15/25 (h)

2,720,000

2,788,000

8.125% 1/15/24 (h)

1,000,000

1,050,000

9.875% 12/15/20 (h)

6,135,000

6,786,844

AT&T, Inc.:

2.45% 6/30/20

11,294,000

11,178,530

3% 6/30/22

29,259,000

28,764,143

3.4% 5/15/25

39,520,000

38,289,466

4.75% 5/15/46

31,335,000

29,688,001

4.8% 6/15/44

15,000,000

14,216,085

6.3% 1/15/38

16,665,000

18,919,675

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

BellSouth Capital Funding Corp. 7.875% 2/15/30

$ 40,000

$ 50,859

CenturyLink, Inc.:

5.15% 6/15/17

972,000

1,013,310

6% 4/1/17

2,432,000

2,584,000

6.15% 9/15/19

6,992,000

7,551,360

Embarq Corp.:

7.082% 6/1/16

8,346,000

8,794,990

7.995% 6/1/36

4,717,000

5,412,758

FairPoint Communications, Inc. 8.75% 8/15/19 (h)

2,175,000

2,300,063

GCI, Inc. 6.875% 4/15/25

3,010,000

3,089,013

Indosat Palapa Co. BV 7.375% 7/29/20 (h)

975,000

1,011,563

Intelsat Luxembourg SA 7.75% 6/1/21

2,700,000

2,436,750

Level 3 Financing, Inc.:

5.125% 5/1/23 (h)

3,245,000

3,253,113

5.375% 8/15/22

6,925,000

7,080,813

5.375% 5/1/25 (h)

1,080,000

1,074,600

Qtel International Finance Ltd. 5% 10/19/25 (h)

645,000

711,758

Sprint Capital Corp.:

6.875% 11/15/28

19,425,000

17,531,063

8.75% 3/15/32

3,305,000

3,371,100

TDC A/S 3.5% 2/26/3015 (Reg. S) (m)

EUR

1,550,000

1,679,655

Telefonica Celular del Paraguay SA 6.75% 12/13/22 (h)

590,000

625,105

Verizon Communications, Inc.:

1.35% 6/9/17

20,956,000

20,942,609

2.625% 2/21/20

21,379,000

21,543,490

4.5% 9/15/20

36,000,000

39,242,016

5.012% 8/21/54

55,038,000

52,049,271

6.25% 4/1/37

2,348,000

2,741,546

6.4% 9/15/33

10,915,000

12,879,700

6.55% 9/15/43

54,849,000

66,320,668

Wind Acquisition Finance SA:

4.75% 7/15/20 (h)

5,030,000

5,067,725

7.375% 4/23/21 (h)

6,110,000

6,369,675

 

453,490,377

Wireless Telecommunication Services - 0.5%

America Movil S.A.B. de CV:

2.375% 9/8/16

15,982,000

16,221,890

3.125% 7/16/22

9,218,000

9,258,098

Comcel Trust 6.875% 2/6/24 (h)

560,000

600,600

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

Digicel Group Ltd.:

6% 4/15/21 (h)

$ 9,220,000

$ 9,104,750

6.75% 3/1/23 (h)

2,795,000

2,774,038

7% 2/15/20 (h)

665,000

689,938

7.125% 4/1/22 (h)

1,885,000

1,833,163

8.25% 9/30/20 (h)

9,040,000

9,374,480

8.25% 9/30/20 (Reg. S)

625,000

648,125

Everything Everywhere Finance PLC 4.375% 3/28/19

GBP

850,000

1,401,808

Intelsat Jackson Holdings SA 5.5% 8/1/23

1,490,000

1,368,476

Millicom International Cellular SA:

4.75% 5/22/20 (h)

650,000

645,151

6% 3/15/25 (h)

1,125,000

1,132,065

MTS International Funding Ltd. 8.625% 6/22/20 (h)

2,680,000

2,951,345

Sprint Communications, Inc. 9% 11/15/18 (h)

3,890,000

4,458,913

Sprint Corp.:

7.625% 2/15/25

5,395,000

5,292,171

7.875% 9/15/23

9,220,000

9,375,818

T-Mobile U.S.A., Inc.:

6% 3/1/23

4,060,000

4,214,788

6.375% 3/1/25

9,470,000

9,884,313

6.464% 4/28/19

1,520,000

1,570,350

6.5% 1/15/24

1,510,000

1,593,050

6.625% 4/1/23

4,145,000

4,362,613

TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S)

480,000

482,400

Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications)

650,000

698,913

Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h)

4,060,000

4,156,425

 

104,093,681

TOTAL TELECOMMUNICATION SERVICES

557,584,058

UTILITIES - 3.0%

Electric Utilities - 1.6%

Aguila 3 SA 7.875% 1/31/18 (h)

5,845,000

5,874,225

AmerenUE 6.4% 6/15/17

2,491,000

2,755,083

American Electric Power Co., Inc.:

1.65% 12/15/17

5,213,000

5,223,968

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

UTILITIES - continued

Electric Utilities - continued

American Electric Power Co., Inc.: - continued

2.95% 12/15/22

$ 4,935,000

$ 4,896,078

American Transmission Systems, Inc. 5% 9/1/44 (h)

5,276,000

5,637,775

Ceske Energeticke Zavody A/S 4.25% 4/3/22 (Reg. S)

5,000,000

5,302,910

CLP Power Hong Kong Financing Ltd. 2.875% 4/26/23

3,000,000

2,935,563

Dayton Power & Light Co. 1.875% 9/15/16

3,740,000

3,775,747

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (h)

29,344,000

34,067,240

6.4% 9/15/20 (h)

25,897,000

30,415,768

Edison International 3.75% 9/15/17

6,674,000

7,035,611

Eversource Energy:

1.45% 5/1/18

3,325,000

3,308,029

2.8% 5/1/23

15,104,000

14,774,657

FirstEnergy Corp.:

2.75% 3/15/18

32,389,000

33,024,051

4.25% 3/15/23

31,243,000

32,119,147

7.375% 11/15/31

24,589,000

30,833,696

FirstEnergy Solutions Corp. 6.05% 8/15/21

20,194,000

22,293,368

Lamar Funding Ltd. 3.958% 5/7/25 (h)

565,000

566,413

LG&E and KU Energy LLC:

2.125% 11/15/15

7,369,000

7,405,366

3.75% 11/15/20

1,450,000

1,532,038

Monongahela Power Co. 4.1% 4/15/24 (h)

3,982,000

4,247,568

Nevada Power Co. 6.5% 5/15/18

790,000

902,326

NSG Holdings II, LLC 7.75% 12/15/25 (h)

9,722,160

10,645,765

NV Energy, Inc. 6.25% 11/15/20

3,500,000

4,106,704

Pennsylvania Electric Co. 6.05% 9/1/17

764,000

836,819

Pepco Holdings, Inc. 2.7% 10/1/15

7,047,000

7,075,505

PPL Capital Funding, Inc. 3.4% 6/1/23

7,184,000

7,258,448

Progress Energy, Inc. 4.4% 1/15/21

12,059,000

13,107,795

RJS Power Holdings LLC 5.125% 7/15/19 (h)

8,575,000

8,510,688

TECO Finance, Inc.:

4% 3/15/16

2,562,000

2,627,718

5.15% 3/15/20

3,761,000

4,222,937

 

317,319,006

Gas Utilities - 0.0%

Intergas Finance BV 6.375% 5/14/17 (Reg. S)

965,000

991,491

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

UTILITIES - continued

Gas Utilities - continued

Southern Natural Gas Co. 5.9% 4/1/17 (h)

$ 442,000

$ 473,050

Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21

3,646,000

3,800,878

 

5,265,419

Independent Power and Renewable Electricity Producers - 0.5%

Atlantic Power Corp. 9% 11/15/18

8,840,000

9,215,700

Calpine Corp.:

5.375% 1/15/23

1,820,000

1,829,100

5.75% 1/15/25

910,000

915,688

Dolphin Subsidiary II, Inc.:

6.5% 10/15/16

19,000,000

19,950,000

7.25% 10/15/21

15,590,000

16,973,613

Dynegy, Inc.:

6.75% 11/1/19 (h)

6,850,000

7,243,875

7.375% 11/1/22 (h)

8,135,000

8,684,113

7.625% 11/1/24 (h)

9,525,000

10,215,563

Listrindo Capital BV 6.95% 2/21/19 (Reg. S)

650,000

680,875

NRG Energy, Inc.:

6.25% 7/15/22

5,395,000

5,627,525

6.25% 5/1/24

7,240,000

7,402,900

PPL Energy Supply LLC 6.5% 6/1/25 (h)

1,180,000

1,204,083

TerraForm Power Operating LLC 5.875% 2/1/23 (h)

900,000

929,250

The AES Corp.:

4.875% 5/15/23

3,775,000

3,624,000

7.375% 7/1/21

1,515,000

1,695,853

 

96,192,138

Multi-Utilities - 0.9%

Dominion Resources, Inc.:

2.5731% 9/30/66 (m)

35,229,000

32,410,257

7.5% 6/30/66 (m)

10,345,000

10,448,450

MidAmerican Energy Holdings, Co.:

1.1% 5/15/17

15,809,000

15,799,183

2% 11/15/18

12,172,000

12,302,959

NiSource Finance Corp.:

5.25% 2/15/43

12,739,000

14,145,615

5.45% 9/15/20

11,473,000

13,131,296

5.8% 2/1/42

6,336,000

7,626,383

5.95% 6/15/41

11,832,000

14,382,104

6.4% 3/15/18

1,228,000

1,388,155

Nonconvertible Bonds - continued

 

Principal Amount (e)

Value

UTILITIES - continued

Multi-Utilities - continued

NiSource Finance Corp.: - continued

6.8% 1/15/19

$ 6,774,000

$ 7,876,672

PG&E Corp. 2.4% 3/1/19

1,683,000

1,700,641

Puget Energy, Inc.:

6% 9/1/21

15,565,000

18,178,846

6.5% 12/15/20

5,125,000

6,096,259

Sempra Energy:

2.3% 4/1/17

14,116,000

14,384,896

2.875% 10/1/22

5,760,000

5,713,580

SP PowerAssets Ltd. 2.7% 9/14/22 (Reg. S)

3,000,000

2,984,001

Wisconsin Energy Corp. 6.25% 5/15/67 (m)

3,860,000

3,720,075

 

182,289,372

Water Utilities - 0.0%

Yorkshire Water Services Finance Ltd. 6% 4/24/25 (m)

GBP

3,500,000

5,749,968

TOTAL UTILITIES

606,815,903

TOTAL NONCONVERTIBLE BONDS

(Cost $8,478,105,087)


8,672,403,978

U.S. Government and Government Agency Obligations - 25.6%

 

U.S. Treasury Inflation-Protected Obligations - 2.9%

U.S. Treasury Inflation-Indexed Bonds:

0.75% 2/15/45

200,542,000

190,780,499

1.375% 2/15/44

134,219,462

148,709,708

U.S. Treasury Inflation-Indexed Notes:

0.125% 7/15/24

165,263,000

162,512,688

0.25% 1/15/25

75,000,000

74,415,315

TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS

576,418,210

U.S. Treasury Obligations - 22.7%

U.S. Treasury Bonds:

2.5% 2/15/45

6,207,000

5,716,262

3% 5/15/45

551,477,000

564,833,221

4.375% 2/15/38

430,000

546,369

U.S. Treasury Notes:

0.375% 10/31/16

2,590,000

2,587,369

U.S. Government and Government Agency Obligations - continued

 

Principal Amount (e)

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

0.5% 1/31/17 (k)

$ 14,650,000

$ 14,646,572

0.5% 2/28/17

1,450,000

1,449,320

1% 5/15/18

906,229,000

908,069,434

1% 5/31/18

123,485,000

123,639,356

1.25% 10/31/18

786,376,000

790,123,868

1.375% 6/30/18

3,530,000

3,571,368

1.375% 7/31/18

252,602,000

255,424,070

1.375% 9/30/18

203,561,000

205,548,977

1.375% 4/30/20 (g)

380,244,000

378,342,780

1.5% 12/31/18

62,525,000

63,287,055

1.625% 6/30/19

216,610,000

219,402,320

1.625% 12/31/19

60,000,000

60,553,140

2% 2/15/25 (g)(t)

470,700,000

466,029,715

2.25% 3/31/21

206,915,000

213,251,772

2.25% 7/31/21

146,640,000

150,913,236

2.25% 11/15/24

50,000,000

50,582,050

2.375% 8/15/24

106,723,000

109,232,698

2.5% 5/15/24

3,700,000

3,829,789

TOTAL U.S. TREASURY OBLIGATIONS

4,591,580,741

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $5,142,425,834)


5,167,998,951

U.S. Government Agency - Mortgage Securities - 13.9%

 

Fannie Mae - 8.1%

1.75% 10/1/34 (m)

4,081

4,255

1.85% 10/1/33 (m)

3,209

3,339

1.88% 1/1/35 (m)

3,124

3,258

1.88% 1/1/35 (m)

320,485

336,364

1.885% 2/1/33 (m)

2,070

2,156

1.91% 12/1/34 (m)

58,070

60,617

1.91% 3/1/35 (m)

38,440

40,136

1.93% 10/1/33 (m)

20,511

21,411

1.94% 7/1/35 (m)

20,611

21,710

2.045% 1/1/35 (m)

218,070

229,533

2.05% 3/1/35 (m)

5,216

5,393

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (e)

Value

Fannie Mae - continued

2.053% 6/1/36 (m)

$ 168,523

$ 180,189

2.058% 4/1/37 (m)

121,429

128,869

2.06% 10/1/33 (m)

495,825

526,435

2.094% 5/1/36 (m)

181,719

192,331

2.105% 7/1/34 (m)

35,991

38,152

2.115% 12/1/34 (m)

13,854

14,595

2.14% 9/1/36 (m)

79,625

85,373

2.142% 9/1/36 (m)

102,819

110,242

2.19% 3/1/37 (m)

25,716

27,280

2.22% 5/1/35 (m)

276,434

293,807

2.232% 3/1/33 (m)

109,016

115,102

2.27% 6/1/47 (m)

144,913

155,374

2.271% 3/1/40 (m)

509,557

544,255

2.274% 11/1/36 (m)

109,457

116,610

2.31% 12/1/39 (m)

298,490

319,649

2.318% 7/1/35 (m)

125,862

133,798

2.335% 9/1/35 (m)

129,448

138,793

2.372% 5/1/36 (m)

215,307

230,021

2.376% 2/1/36 (m)

430,289

458,977

2.389% 7/1/37 (m)

192,047

205,911

2.421% 10/1/33 (m)

109,664

117,277

2.432% 6/1/36 (m)

430,810

461,239

2.445% 12/1/35 (m)

306,674

328,812

2.458% 3/1/35 (m)

74,588

79,972

2.5% 5/1/27 to 8/1/43 (t)

75,168,559

76,178,929

2.53% 9/1/37 (m)

31,520

33,795

2.542% 6/1/42 (m)

358,021

371,402

2.585% 7/1/34 (m)

242,015

259,485

2.691% 2/1/42 (m)

2,146,589

2,235,263

2.765% 1/1/42 (m)

2,546,672

2,655,567

2.96% 11/1/40 (m)

208,676

219,429

2.982% 9/1/41 (m)

248,783

261,334

2.992% 8/1/41 (m)

1,361,641

1,417,542

3% 4/1/42 to 9/1/43

136,168,171

138,360,051

3% 6/1/45 (j)

9,900,000

10,026,843

3% 6/1/45 (j)

164,350,000

166,455,718

3% 6/1/45 (j)

41,200,000

41,727,871

3% 6/1/45 (j)

82,500,000

83,557,023

3% 6/1/45 (j)

40,650,000

41,170,824

3% 6/1/45 (j)

18,950,000

19,192,795

3% 6/1/45 (j)

9,900,000

10,026,843

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (e)

Value

Fannie Mae - continued

3% 6/1/45 (j)

$ 4,600,000

$ 4,658,937

3% 6/1/45 (j)

10,800,000

10,938,374

3% 6/1/45 (j)

22,428,000

22,715,357

3% 6/1/45 (j)

22,172,000

22,456,077

3.059% 10/1/41 (m)

98,762

102,628

3.237% 7/1/41 (m)

396,202

420,144

3.308% 10/1/41 (m)

200,548

211,352

3.357% 9/1/41 (m)

390,119

418,281

3.461% 12/1/40 (m)

18,315,084

19,488,200

3.5% 6/1/30 (j)

3,500,000

3,711,814

3.5% 1/1/34 to 7/1/44

309,421,437

324,618,857

3.5% 6/1/45 (j)

2,900,000

3,028,687

3.5% 6/1/45 (j)

19,300,000

20,156,436

3.5% 6/1/45 (j)

23,000,000

24,020,623

3.5% 7/1/45 (j)

23,000,000

23,953,244

3.5% 7/1/45 (j)

19,300,000

20,099,896

3.5% 7/1/45 (j)

2,900,000

3,020,192

3.554% 7/1/41 (m)

403,256

428,211

4% 9/1/24 to 1/1/45 (t)

218,973,676

235,384,520

4% 6/1/45 (j)

18,100,000

19,324,577

4% 6/1/45 (j)

11,700,000

12,491,578

4.5% 2/1/33 to 2/1/45

141,188,851

154,149,374

4.5% 6/1/45 (j)

9,800,000

10,654,438

5% 3/1/18 to 1/1/40

13,671,135

15,324,507

5.204% 7/1/37 (m)

38,769

41,483

5.5% 12/1/17 to 3/1/41

46,656,771

52,624,532

5.565% 8/1/46 (m)

35,846

38,326

6% 2/1/17 to 1/1/42

22,761,549

26,079,868

6.5% 8/1/15 to 4/1/37

9,103,746

10,541,961

7% 12/1/15 to 7/1/37

1,857,401

2,162,975

7.5% 1/1/16 to 2/1/32

769,823

909,224

8% 12/1/17 to 3/1/37

14,449

17,453

8.5% 9/1/15 to 7/1/31

5,596

6,697

9.5% 4/1/16 to 9/1/21

21,352

23,398

TOTAL FANNIE MAE

1,644,104,170

Freddie Mac - 2.4%

1.5% 8/1/37 (m)

36,638

37,806

1.82% 3/1/35 (m)

110,404

114,771

1.825% 3/1/37 (m)

17,756

18,571

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (e)

Value

Freddie Mac - continued

1.852% 1/1/36 (m)

$ 94,724

$ 99,891

1.914% 3/1/36 (m)

194,426

203,702

1.981% 12/1/35 (m)

271,363

286,373

2.022% 2/1/37 (m)

184,637

193,877

2.05% 6/1/37 (m)

30,387

31,957

2.055% 11/1/35 (m)

234,019

248,984

2.095% 8/1/37 (m)

77,885

82,365

2.105% 3/1/36 (m)

224,681

236,670

2.121% 5/1/37 (m)

75,298

80,451

2.182% 6/1/33 (m)

258,470

273,333

2.333% 4/1/37 (m)

94,412

101,227

2.346% 10/1/36 (m)

387,759

414,603

2.351% 10/1/35 (m)

137,337

145,563

2.364% 4/1/36 (m)

243,829

260,711

2.375% 5/1/37 (m)

71,351

76,439

2.385% 6/1/37 (m)

32,094

34,411

2.402% 10/1/42 (m)

3,830,963

4,041,524

2.415% 6/1/37 (m)

278,800

298,926

2.42% 6/1/36 (m)

69,694

74,725

2.442% 6/1/33 (m)

819,258

878,399

2.448% 6/1/37 (m)

58,159

61,888

2.545% 7/1/36 (m)

87,285

93,586

2.548% 3/1/35 (m)

1,205,319

1,292,329

2.595% 4/1/37 (m)

8,560

9,178

2.723% 3/1/33 (m)

6,407

6,870

2.757% 12/1/36 (m)

318,622

341,622

3% 8/1/42 to 7/1/43

44,454,506

45,151,402

3.08% 9/1/41 (m)

2,257,618

2,364,841

3.115% 10/1/35 (m)

198,497

212,826

3.231% 9/1/41 (m)

240,179

252,327

3.242% 4/1/41 (m)

254,289

268,397

3.296% 6/1/41 (m)

286,834

303,828

3.299% 7/1/41 (m)

1,176,156

1,239,106

3.422% 12/1/40 (m)

8,771,966

9,278,898

3.47% 5/1/41 (m)

273,996

289,225

3.5% 4/1/42 to 8/1/43 (l)

153,506,380

160,563,935

3.5% 6/1/45 (j)

100,000

104,234

3.622% 6/1/41 (m)

395,206

419,744

3.705% 5/1/41 (m)

344,447

366,091

4% 6/1/33 to 8/1/44

98,117,797

105,587,474

4.5% 6/1/25 to 8/1/44 (t)

51,019,764

55,846,654

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (e)

Value

Freddie Mac - continued

5% 6/1/20 to 7/1/41

$ 41,680,955

$ 46,773,859

5.141% 4/1/38 (m)

330,873

354,035

5.5% 10/1/17 to 3/1/41

16,921,659

19,048,056

6% 7/1/16 to 12/1/37

4,327,100

4,933,808

6.5% 7/1/15 to 9/1/39

6,175,309

7,100,385

7% 6/1/21 to 9/1/36

1,749,699

2,046,085

7.5% 6/1/15 to 6/1/32

33,061

38,702

8% 7/1/16 to 1/1/37

54,450

66,018

8.5% 2/1/19 to 1/1/28

50,627

60,401

9% 5/1/17 to 10/1/20

210

223

9.5% 5/1/21 to 7/1/21

588

647

10% 11/15/18 to 8/1/21

231

254

11% 11/1/15 to 9/1/20

279

287

12.5% 6/1/19

2

2

TOTAL FREDDIE MAC

472,712,496

Ginnie Mae - 3.4%

3% 6/15/42 to 4/15/45

61,138,959

62,681,816

3% 6/1/45 (j)

75,200,000

76,993,738

3.5% 11/15/40 to 5/20/45

116,497,646

122,376,959

3.5% 6/1/45 (j)

37,500,000

39,364,088

3.5% 6/1/45 (j)

44,300,000

46,502,109

3.5% 7/1/45 (j)

37,500,000

39,255,690

4% 5/20/33 to 8/15/43

71,289,576

76,772,866

4% 6/1/45 (j)

15,600,000

16,610,343

4% 6/1/45 (j)

30,100,000

32,049,445

4.39% 6/20/63 (q)

3,551,353

3,896,768

4.5% 6/20/33 to 8/15/41

98,132,119

107,816,291

4.505% 2/20/63 (q)

3,300,731

3,622,103

5% 12/15/32 to 9/15/41

38,946,514

44,016,760

5.5% 4/15/29 to 9/15/39

6,611,064

7,597,579

6% 10/15/30 to 11/15/39

925,417

1,062,234

6.5% 3/20/31 to 10/15/38

487,372

568,394

7% 10/15/22 to 3/15/33

1,613,023

1,905,479

7.5% 1/15/17 to 9/15/31

747,965

879,409

8% 4/15/17 to 11/15/29

256,464

299,249

8.5% 10/15/21 to 1/15/31

42,573

51,262

9% 8/15/19 to 1/15/23

2,568

2,877

9.5% 12/15/20 to 2/15/25

1,051

1,190

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount (e)

Value

Ginnie Mae - continued

10.5% 3/20/16 to 1/20/18

$ 3,039

$ 3,252

11% 9/20/15 to 9/20/19

1,053

1,196

TOTAL GINNIE MAE

684,331,097

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $2,776,504,012)


2,801,147,763

Asset-Backed Securities - 0.8%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6513% 4/25/35 (m)

664,344

593,572

ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8348% 3/25/34 (m)

299,100

287,064

Airspeed Ltd. Series 2007-1A Class C1, 2.6856% 6/15/32 (h)(m)

3,507,326

1,578,297

Ally Master Owner Trust Series 2012-3 Class A2, 1.21% 6/15/17

12,650,000

12,653,403

American Homes 4 Rent:

Series 2014-SFR1 Class E, 2.75% 6/17/31 (h)(m)

551,000

543,151

Series 2014-SFR2 Class E, 6.231% 10/17/36 (h)

147,000

160,529

Series 2014-SFR3 Class E, 6.418% 12/17/36 (h)

428,000

473,583

Series 2015-SFR1 Class E, 5.639% 4/17/52 (h)

326,438

341,864

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.2238% 12/25/33 (m)

50,595

46,700

Series 2004-R2 Class M3, 1.0063% 4/25/34 (m)

89,819

63,823

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9613% 3/25/34 (m)

47,932

44,834

Series 2004-W11 Class M2, 1.2348% 11/25/34 (m)

561,149

548,092

Series 2004-W7 Class M1, 1.0063% 5/25/34 (m)

1,542,998

1,478,833

Series 2006-W4 Class A2C, 0.3448% 5/25/36 (m)

1,165,334

419,342

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2004-HE2 Class M1, 1.0098% 4/25/34 (m)

1,747,495

1,599,458

Series 2006-HE2 Class M1, 0.5513% 3/25/36 (m)

23,489

1,955

Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17

11,540,000

11,586,195

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (m)

1,802,588

1,196,576

CFC LLC:

Series 2013-1A:

Class A, 1.65% 7/17/17 (h)

131,066

131,111

Asset-Backed Securities - continued

 

Principal Amount (e)

Value

CFC LLC: - continued

Series 2013-1A:

Class B, 2.75% 11/15/18 (h)

$ 6,690,000

$ 6,741,038

Series 2013-2A Class A, 1.75% 11/15/17 (h)

2,893,967

2,898,077

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.4348% 3/25/32 (MGIC Investment Corp. Insured) (m)

3,192

2,784

Series 2004-3 Class M4, 1.6398% 4/25/34 (m)

73,189

62,301

Series 2004-4 Class M2, 0.9798% 6/25/34 (m)

109,380

99,111

Series 2004-7 Class AF5, 5.868% 1/25/35

3,497,364

3,587,461

Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27

366,903

358,979

Fannie Mae Series 2004-T5 Class AB3, 1.0669% 5/28/35 (m)

38,916

36,018

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3563% 8/25/34 (m)

290,872

270,588

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0098% 3/25/34 (m)

13,098

12,421

Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17

24,110,000

24,111,881

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.9163% 1/25/35 (m)

948,695

801,881

Class M4, 1.2013% 1/25/35 (m)

347,133

222,058

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (h)(m)

1,484,017

1,384,507

GE Business Loan Trust:

Series 2003-1 Class A, 0.6156% 4/15/31 (h)(m)

33,878

33,878

Series 2006-2A:

Class A, 0.3656% 11/15/34 (h)(m)

992,591

949,507

Class B, 0.4656% 11/15/34 (h)(m)

358,554

332,388

Class C, 0.5656% 11/15/34 (h)(m)

595,902

506,516

Class D, 0.9356% 11/15/34 (h)(m)

226,283

186,123

GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h)

196,292

6,521

Home Equity Asset Trust:

Series 2003-2 Class M1, 1.5048% 8/25/33 (m)

276,940

260,817

Series 2003-3 Class M1, 1.4748% 8/25/33 (m)

466,218

448,073

Series 2003-5 Class A2, 0.8848% 12/25/33 (m)

32,929

31,403

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (m)

1,522,035

970,103

Invitation Homes Trust:

Series 2013-SFR1 Class F, 3.9% 12/17/30 (h)(m)

590,000

591,460

Series 2014-SFR1 Class F, 3.9334% 6/17/31 (h)(m)

557,000

560,327

Series 2014-SFR3 Class E, 4.683% 12/17/31 (h)(m)

206,000

212,122

Series 2014-SRF2 Class F, 4.1804% 9/17/31 (h)(m)

335,000

338,290

Asset-Backed Securities - continued

 

Principal Amount (e)

Value

Invitation Homes Trust: - continued

Series 2015-SFR2 Class E, 3.328% 6/17/32 (h)(m)

$ 485,000

$ 488,353

Series 2015-SRF1 Class E, 4.3804% 3/17/32 (h)(m)

624,000

642,187

JPMorgan Mortgage Acquisition Trust:

Series 2006-NC2 Class M2, 0.4813% 7/25/36 (m)

191,058

86,212

Series 2007-CH1:

Class AF3, 5.532% 11/25/36

13,954,953

14,215,398

Class AV4, 0.3113% 11/25/36 (m)

591,166

586,423

KeyCorp Student Loan Trust:

Series 1999-A Class A2, 0.5986% 12/27/29 (m)

166,899

166,315

Series 2006-A Class 2C, 1.4186% 3/27/42 (m)

3,243,000

1,621,500

Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3413% 11/25/36 (m)

4,724,049

2,218,093

Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6148% 5/25/46 (h)(m)

250,000

236,875

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4848% 5/25/37 (m)

373,989

3,634

Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9348% 7/25/34 (m)

121,124

92,372

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.1598% 7/25/34 (m)

366,206

333,568

Series 2006-FF1 Class M2, 0.4748% 8/25/36 (m)

13,300,000

12,539,103

Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (m)

378,386

357,213

Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (m)

1,773,521

1,711,128

Mesa West Capital CDO Ltd. Series 2007-1A Class H, 1.6548% 2/25/47 (h)(m)

250,000

213,125

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.8648% 8/25/34 (m)

57,368

53,308

Series 2004-NC6 Class M3, 2.3598% 7/25/34 (m)

16,882

14,475

Series 2004-NC8 Class M6, 2.0563% 9/25/34 (m)

19,239

17,030

Series 2005-NC1 Class M1, 0.8448% 1/25/35 (m)

321,900

301,538

Series 2005-NC2 Class B1, 1.9363% 3/25/35 (m)

243,844

5,331

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6948% 9/25/35 (m)

1,426,957

1,251,386

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 2.0598% 9/25/34 (m)

532,896

501,577

Class M4, 2.3598% 9/25/34 (m)

683,353

320,288

Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (m)

1,475,804

1,318,385

Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1348% 9/25/46 (h)(m)

250,000

63,125

Asset-Backed Securities - continued

 

Principal Amount (e)

Value

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (m)

$ 5,108

$ 4,783

Santander Drive Auto Receivables Trust Series 2014-4 Class C, 2.6% 11/16/20

7,985,000

8,093,684

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9688% 3/25/35 (m)

845,547

775,389

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2206% 6/15/33 (m)

726,754

704,297

Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (h)

12,585,729

12,652,741

Stanwich Mortgage Loan Trust Series 2013-NPL1 Class A, 2.9814% 2/16/43 (h)

1,937,374

1,936,173

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9098% 9/25/34 (m)

44,069

38,741

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (m)

28,819

25,054

Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8308% 4/6/42 (h)(m)

2,683,017

1,448,829

Truman Capital Mortgage Loan Trust Series 2014-NPL2 Class A1, 3.125% 6/25/54 (h)

852,817

849,678

Vericrest Opportunity Loan Trust:

Series 2014-NP11 Class A1, 3.875% 4/25/55 (h)

8,412,018

8,444,305

Series 2014-NPL7 Class A1, 3.125% 8/27/57 (h)

12,482,525

12,500,101

Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (h)(m)

1,789,540

1,786,358

Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:

Class A1, 0.601% 11/21/40 (h)(m)

234,026

229,931

Class D, 1.131% 11/21/40 (h)(m)

305,000

246,440

TOTAL ASSET-BACKED SECURITIES

(Cost $158,163,155)


168,859,461

Collateralized Mortgage Obligations - 2.4%

 

Private Sponsor - 0.8%

Banc of America Funding Corp.:

sequential payer Series 2010-R4 Class 6A1, 0.3209% 1/26/37 (h)(m)

45,209

45,033

Series 2015-R3 Class 10A1, 0.311% 6/27/36 (h)(m)

21,684,025

20,790,645

BCAP LLC Trust sequential payer Series 2013-RR3 Class 2A1, 2.294% 2/26/37 (h)(m)

6,796,526

6,756,570

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7448% 1/25/35 (m)

1,166,265

1,134,782

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

Private Sponsor - continued

Citigroup Mortgage Loan Trust sequential payer:

Series 2012-A Class A, 2.5% 6/25/51 (h)

$ 8,994,767

$ 8,839,616

Series 2014-8 Class 2A1, 3.45% 6/27/37 (h)(m)

14,112,431

14,275,224

Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.0097% 10/26/37 (h)(m)

956,662

935,372

Credit Suisse First Boston Mortgage Securities Corp. Series 2003-17 Class B4, 5.4496% 6/25/33 (m)

87,112

732

CSMC:

floater Series 2015-1R Class 6A1, 0.4613% 5/27/37 (h)(m)

14,161,713

13,137,267

Series 2014-3R Class 2A1, 0.8738% 5/27/37 (h)(m)

2,192,761

2,068,031

First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.551% 10/25/34 (m)

613,077

614,956

FREMF Mortgage Trust:

Series 2010-K6 Class B, 5.5325% 12/25/46 (h)(m)

910,000

1,013,237

Series 2010-K7 Class B, 5.6242% 4/25/20 (h)(m)

1,000,000

1,126,524

GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (h)

3,952

487

Granite Master Issuer PLC floater:

Series 2005-4 Class C2, 1.284% 12/20/54 (m)

205,017

201,388

Series 2006-1A Class C2, 1.384% 12/20/54 (h)(m)

6,523,000

6,419,284

Series 2006-2 Class C1, 1.124% 12/20/54 (m)

21,543,000

21,116,449

Series 2006-3 Class C2, 1.184% 12/20/54 (m)

1,124,000

1,103,094

Series 2006-4:

Class C1, 0.944% 12/20/54 (m)

2,767,000

2,697,272

Class M1, 0.524% 12/20/54 (m)

1,190,000

1,157,275

Series 2007-1:

Class 1C1, 0.784% 12/20/54 (m)

2,234,000

2,158,491

Class 1M1, 0.484% 12/20/54 (m)

1,493,000

1,446,717

Class 2C1, 1.044% 12/20/54 (m)

1,015,000

993,990

Class 2M1, 0.684% 12/20/54 (m)

1,917,000

1,876,168

Series 2007-2 Class 2C1, 1.0434% 12/17/54 (m)

2,654,000

2,598,797

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7251% 1/20/44 (m)

430,241

430,420

GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.007% 3/25/37 (m)

1,040,604

1,008,258

JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4683% 8/25/36 (m)

1,337,735

1,143,651

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (m)

1,374,486

1,287,580

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (m)

3,586,316

3,270,785

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

Private Sponsor - continued

Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (h)

$ 124,327

$ 128,029

Oak Hill Advisors Residential Loan Trust Series 2014-NPL2 Class A1, 3.475% 4/25/54 (h)

9,382,578

9,396,724

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4748% 7/25/35 (m)

1,143,850

1,078,892

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:

Class B5, 2.531% 6/10/35 (h)(m)

437,691

398,544

Class B6, 3.031% 6/10/35 (h)(m)

97,589

90,097

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (m)

23,987

23,524

Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5122% 4/25/33 (m)

201,882

201,699

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-BB Class A2, 2.619% 1/25/35 (m)

3,354,804

3,399,537

Series 2005-AR10 Class 2A15, 2.629% 6/25/35 (m)

16,769,279

17,042,585

Series 2005-AR2 Class 1A2, 2.6164% 3/25/35 (m)

2,018,049

1,865,044

TOTAL PRIVATE SPONSOR

153,272,770

U.S. Government Agency - 1.6%

Fannie Mae:

floater:

Series 2002-18 Class FD, 0.9848% 2/25/32 (m)

36,690

37,262

Series 2002-39 Class FD, 1.1834% 3/18/32 (m)

58,377

59,626

Series 2002-60 Class FV, 1.1848% 4/25/32 (m)

75,643

77,433

Series 2002-63 Class FN, 1.1848% 10/25/32 (m)

105,087

107,513

Series 2002-7 Class FC, 0.9348% 1/25/32 (m)

38,855

39,717

Series 2002-94 Class FB, 0.5848% 1/25/18 (m)

56,697

56,872

Series 2003-118 Class S, 7.9153% 12/25/33 (m)(n)(p)

1,238,253

291,133

Series 2006-104 Class GI, 6.4953% 11/25/36 (m)(n)(p)

890,811

205,297

Series 2006-33 Class CF, 0.4848% 5/25/36 (m)

771,667

773,361

Series 2007-57 Class FA, 0.4148% 6/25/37 (m)

954,198

954,354

Series 2008-76 Class EF, 0.6848% 9/25/23 (m)

528,073

529,859

planned amortization class:

Series 1992-168 Class KB, 7% 10/25/22

57,997

63,846

Series 1993-207 Class H, 6.5% 11/25/23

712,668

800,654

Series 1994-23 Class PZ, 6% 2/25/24

1,941,285

2,150,865

Series 1996-28 Class PK, 6.5% 7/25/25

231,644

260,319

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

U.S. Government Agency - continued

Fannie Mae: - continued

planned amortization class:

Series 1999-17 Class PG, 6% 4/25/29

$ 615,466

$ 677,428

Series 1999-32 Class PL, 6% 7/25/29

530,745

585,654

Series 1999-33 Class PK, 6% 7/25/29

330,334

365,291

Series 2001-52 Class YZ, 6.5% 10/25/31

40,843

46,341

Series 2002-9 Class PC, 6% 3/25/17

33,943

35,067

Series 2003-28 Class KG, 5.5% 4/25/23

422,593

463,417

Series 2004-21 Class QE, 4.5% 11/25/32

76,413

78,578

Series 2005-102 Class CO, 11/25/35 (o)

336,901

309,614

Series 2005-73 Class SA, 17.0697% 8/25/35 (m)(p)

155,553

196,270

Series 2005-81 Class PC, 5.5% 9/25/35

427,876

500,868

Series 2006-105 Class MD, 5.5% 6/25/35

475,449

485,980

Series 2006-12 Class BO, 10/25/35 (o)

1,425,671

1,394,669

Series 2006-37 Class OW, 5/25/36 (o)

176,926

158,496

Series 2006-45 Class OP, 6/25/36 (o)

445,257

396,109

Series 2006-62 Class KP, 4/25/36 (o)

613,819

544,739

Series 2011-117 Class PF, 0.5348% 7/25/39 (m)

2,917,642

2,932,238

sequential payer:

Series 1997-41 Class J, 7.5% 6/18/27

124,064

145,739

Series 1999-25 Class Z, 6% 6/25/29

478,709

543,316

Series 2001-20 Class Z, 6% 5/25/31

616,218

680,100

Series 2001-31 Class ZC, 6.5% 7/25/31

336,494

389,548

Series 2002-16 Class ZD, 6.5% 4/25/32

168,247

196,099

Series 2002-74 Class SV, 7.3653% 11/25/32 (m)(n)

747,757

138,130

Series 2002-79 Class Z, 5.5% 11/25/22

865,313

977,495

Series 2010-50 Class FA, 0.5348% 1/25/24 (m)

34,661

34,663

Series 2012-67 Class AI, 4.5% 7/25/27 (n)

4,483,754

603,359

Series 06-116 Class SG, 6.4553% 12/25/36 (m)(n)(p)

607,761

115,426

Series 07-40 Class SE, 6.2553% 5/25/37 (m)(n)(p)

376,732

60,234

Series 1993-165 Class SH, 19.2772% 9/25/23 (m)(p)

28,424

38,485

Series 2003-21 Class SK, 7.9153% 3/25/33 (m)(n)(p)

108,496

29,500

Series 2003-35 Class TQ, 7.3153% 5/25/18 (m)(n)(p)

57,158

3,963

Series 2005-72 Class ZC, 5.5% 8/25/35

3,581,309

4,050,336

Series 2007-57 Class SA, 39.5115% 6/25/37 (m)(p)

285,642

571,097

Series 2007-66:

Class FB, 0.5848% 7/25/37 (m)

1,137,109

1,145,109

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

U.S. Government Agency - continued

Fannie Mae: - continued

Series 2007-66:

Class SA, 38.4915% 7/25/37 (m)(p)

$ 432,304

$ 833,362

Class SB, 38.4915% 7/25/37 (m)(p)

189,518

359,204

Series 2008-12 Class SG, 6.1653% 3/25/38 (m)(n)(p)

2,608,624

476,091

Series 2009-114 Class AI, 5% 12/25/23 (n)

528,299

23,794

Series 2009-16 Class SA, 6.0653% 3/25/24 (m)(n)(p)

335,857

13,769

Series 2009-76 Class MI, 5.5% 9/25/24 (n)

259,352

13,462

Series 2009-85 Class IB, 4.5% 8/25/24 (n)

271,904

22,138

Series 2009-93 Class IC, 4.5% 9/25/24 (n)

414,312

32,827

Series 2010-112 Class SG, 6.1753% 6/25/21 (m)(n)(p)

374,300

28,473

Series 2010-12 Class AI, 5% 12/25/18 (n)

1,069,131

59,615

Series 2010-135 Class LS, 5.8653% 12/25/40 (m)(n)(p)

2,321,967

406,805

Series 2010-139 Class NI, 4.5% 2/25/40 (n)

2,303,449

326,830

Series 2010-17 Class DI, 4.5% 6/25/21 (n)

276,757

16,573

Series 2010-23:

Class AI, 5% 12/25/18 (n)

456,728

24,029

Class HI, 4.5% 10/25/18 (n)

306,635

15,691

Series 2010-29 Class LI, 4.5% 6/25/19 (n)

969,494

46,790

Series 2010-97 Class CI, 4.5% 8/25/25 (n)

883,323

66,200

Series 2011-39 Class ZA, 6% 11/25/32

1,562,610

1,758,907

Series 2011-67 Class AI, 4% 7/25/26 (n)

718,465

78,909

Series 2011-83 Class DI, 6% 9/25/26 (n)

1,170,706

161,397

Series 2013-N1 Class A, 6.5353% 6/25/35 (m)(n)(p)

1,821,583

393,759

Fannie Mae Stripped Mortgage-Backed Securities:

Series 339:

Class 29, 5.5% 8/25/18 (n)

166,994

9,162

Class 5, 5.5% 7/25/33 (n)

349,800

70,334

Series 343 Class 16, 5.5% 5/25/34 (n)

282,914

54,502

Series 348 Class 14, 6.5% 8/25/34 (m)(n)

198,418

44,076

Series 351:

Class 12, 5.5% 4/25/34 (m)(n)

138,870

27,046

Class 13, 6% 3/25/34 (n)

185,009

37,682

Series 359 Class 19, 6% 7/25/35 (m)(n)

131,401

27,787

Series 384 Class 6, 5% 7/25/37 (n)

1,691,304

330,848

Freddie Mac:

floater:

Series 2412 Class FK, 0.9815% 1/15/32 (m)

29,486

29,935

Series 2423 Class FA, 1.0815% 3/15/32 (m)

42,331

43,164

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

U.S. Government Agency - continued

Freddie Mac: - continued

floater:

Series 2424 Class FM, 1.1815% 3/15/32 (m)

$ 54,457

$ 55,733

Series 2432:

Class FE, 1.0815% 6/15/31 (m)

73,542

75,014

Class FG, 1.0815% 3/15/32 (m)

25,306

25,794

floater planned amortization class Series 3153 Class FX, 0.5315% 5/15/36 (m)

1,561,298

1,566,550

floater target amortization class Series 3366 Class FD, 0.4315% 5/15/37 (m)

1,778,133

1,777,061

planned amortization class:

Series 2006-15 Class OP, 3/25/36 (o)

1,157,473

1,087,535

Series 2095 Class PE, 6% 11/15/28

652,298

722,223

Series 2101 Class PD, 6% 11/15/28

62,173

68,501

Series 2121 Class MG, 6% 2/15/29

271,687

299,801

Series 2131 Class BG, 6% 3/15/29

1,801,603

1,993,495

Series 2137 Class PG, 6% 3/15/29

293,767

324,374

Series 2154 Class PT, 6% 5/15/29

442,011

487,547

Series 2162 Class PH, 6% 6/15/29

113,570

124,883

Series 2425 Class JH, 6% 3/15/17

53,774

55,695

Series 2520 Class BE, 6% 11/15/32

626,576

692,642

Series 2585 Class KS, 7.4185% 3/15/23 (m)(n)(p)

44,353

6,740

Series 2693 Class MD, 5.5% 10/15/33

7,089,125

8,043,526

Series 2802 Class OB, 6% 5/15/34

1,283,073

1,438,724

Series 2937 Class KC, 4.5% 2/15/20

1,707,295

1,793,068

Series 2962 Class BE, 4.5% 4/15/20

1,695,873

1,791,608

Series 3002 Class NE, 5% 7/15/35

1,763,898

1,952,124

Series 3110 Class OP, 9/15/35 (o)

827,073

796,324

Series 3119 Class PO, 2/15/36 (o)

1,266,917

1,110,967

Series 3121 Class KO, 3/15/36 (o)

264,299

235,267

Series 3123 Class LO, 3/15/36 (o)

759,888

674,726

Series 3145 Class GO, 4/15/36 (o)

722,042

665,356

Series 3189 Class PD, 6% 7/15/36

1,514,483

1,748,518

Series 3225 Class EO, 10/15/36 (o)

474,072

421,666

Series 3258 Class PM, 5.5% 12/15/36

743,256

839,991

Series 3415 Class PC, 5% 12/15/37

696,679

754,614

Series 3786 Class HI, 4% 3/15/38 (n)

2,039,060

242,413

Series 3806 Class UP, 4.5% 2/15/41

3,890,499

4,231,794

Series 3832 Class PE, 5% 3/15/41

2,375,210

2,727,450

sequential payer:

Series 2135 Class JE, 6% 3/15/29

125,263

138,159

Series 2274 Class ZM, 6.5% 1/15/31

138,620

160,348

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

U.S. Government Agency - continued

Freddie Mac: - continued

sequential payer:

Series 2281 Class ZB, 6% 3/15/30

$ 355,960

$ 391,012

Series 2303 Class ZV, 6% 4/15/31

147,752

163,652

Series 2357 Class ZB, 6.5% 9/15/31

1,047,268

1,220,621

Series 2502 Class ZC, 6% 9/15/32

320,552

356,460

Series 2519 Class ZD, 5.5% 11/15/32

579,973

634,216

Series 2546 Class MJ, 5.5% 3/15/23

271,441

291,830

Series 2601 Class TB, 5.5% 4/15/23

127,824

143,766

Series 2998 Class LY, 5.5% 7/15/25

327,301

361,515

Series 4302 Class DA, 3% 7/15/39

9,980,040

10,400,879

Series 06-3115 Class SM, 6.4185% 2/15/36 (m)(n)(p)

500,321

83,097

Series 2013-4281 Class AI, 4% 12/15/28 (n)

7,858,030

915,831

Series 2844:

Class SC, 45.5936% 8/15/24 (m)(p)

17,341

30,446

Class SD, 84.0372% 8/15/24 (m)(p)

25,512

62,271

Series 2935 Class ZK, 5.5% 2/15/35

4,784,257

5,497,653

Series 2947 Class XZ, 6% 3/15/35

1,765,830

1,999,203

Series 3055 Class CS, 6.4085% 10/15/35 (m)(n)

720,744

138,494

Series 3244 Class SG, 6.4785% 11/15/36 (m)(n)(p)

1,624,728

306,037

Series 3274 Class SM, 6.2485% 2/15/37 (m)(n)

832,595

116,240

Series 3284 Class CI, 5.9385% 3/15/37 (m)(n)

3,867,603

691,055

Series 3287 Class SD, 6.5685% 3/15/37 (m)(n)(p)

2,520,529

582,197

Series 3297 Class BI, 6.5785% 4/15/37 (m)(n)(p)

3,648,378

730,057

Series 3336 Class LI, 6.3985% 6/15/37 (m)(n)

1,396,983

217,082

Series 3772 Class BI, 4.5% 10/15/18 (n)

1,122,514

58,809

Series 3949 Class MK, 4.5% 10/15/34

1,261,998

1,374,039

Series 3955 Class YI, 3% 11/15/21 (n)

4,425,535

266,795

Series 4181 Class LA, 3% 3/15/37

3,576,885

3,717,761

Series 4471 Class PA 4% 12/15/40

17,699,740

18,894,472

target amortization class Series 2156 Class TC, 6.25% 5/15/29

375,133

413,437

Freddie Mac Manufactured Housing participation certificates guaranteed:

floater Series 1686 Class FA, 1.0815% 2/15/24 (m)

151,030

153,008

sequential payer:

Series 2043 Class ZH, 6% 4/15/28

287,238

317,026

Series 2056 Class Z, 6% 5/15/28

508,466

561,300

Ginnie Mae guaranteed REMIC pass-thru certificates:

floater:

Series 2007-37 Class TS, 6.5075% 6/16/37 (m)(n)(p)

700,672

114,521

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

floater:

Series 2010-H03 Class FA, 0.7315% 3/20/60 (m)(q)

$ 7,405,702

$ 7,425,335

Series 2010-H17 Class FA, 0.5115% 7/20/60 (m)(q)

813,621

809,966

Series 2010-H18 Class AF, 0.4776% 9/20/60 (m)(q)

953,642

947,949

Series 2010-H19 Class FG, 0.4776% 8/20/60 (m)(q)

1,159,613

1,152,791

Series 2010-H27 Series FA, 0.5576% 12/20/60 (m)(q)

1,929,730

1,926,313

Series 2011-H05 Class FA, 0.6776% 12/20/60 (m)(q)

3,113,986

3,119,909

Series 2011-H07 Class FA, 0.6776% 2/20/61 (m)(q)

5,856,211

5,866,319

Series 2011-H12 Class FA, 0.6676% 2/20/61 (m)(q)

7,931,843

7,943,035

Series 2011-H13 Class FA, 0.6776% 4/20/61 (m)(q)

3,023,378

3,029,035

Series 2011-H14:

Class FB, 0.6776% 5/20/61 (m)(q)

3,479,258

3,486,746

Class FC, 0.6776% 5/20/61 (m)(q)

3,206,408

3,212,831

Series 2011-H17 Class FA, 0.7076% 6/20/61 (m)(q)

4,245,617

4,257,581

Series 2011-H21 Class FA, 0.7776% 10/20/61 (m)(q)

8,163,918

8,209,774

Series 2012-H01 Class FA, 0.8776% 11/20/61 (m)(q)

3,969,596

4,008,625

Series 2012-H03 Class FA, 0.8776% 1/20/62 (m)(q)

2,483,044

2,507,388

Series 2012-H06 Class FA, 0.8076% 1/20/62 (m)(q)

3,855,853

3,882,644

Series 2012-H07 Class FA, 0.8076% 3/20/62 (m)(q)

2,273,911

2,293,724

Series 2012-H23 Class WA, 0.6976% 10/20/62 (m)(q)

2,011,245

2,017,371

Series 2012-H26, Class CA, 0.7076% 7/20/60 (m)(q)

8,718,265

8,759,084

Series 2013-H07 Class BA, 0.5376% 3/20/63 (m)(q)

3,132,914

3,113,468

Series 2014-H03 Class FA, 0.7776% 1/20/64 (m)(q)

3,639,950

3,663,005

Collateralized Mortgage Obligations - continued

 

Principal Amount (e)

Value

U.S. Government Agency - continued

Ginnie Mae guaranteed REMIC pass-thru certificates: - continued

floater:

Series 2014-H05 Class FB, 0.7776% 12/20/63 (m)(q)

$ 8,852,194

$ 8,912,468

Series 2014-H11 Class BA, 0.6776% 6/20/64 (m)(q)

14,658,534

14,690,695

Series 2014-H20 Class BF, 0.6776% 9/20/64 (m)(q)

46,560,568

46,567,086

planned amortization class:

Series 1993-13 Class PD, 6% 5/20/29

612,214

702,998

Series 1997-8 Class PE, 7.5% 5/16/27

253,395

300,702

Series 2011-136 Class WI, 4.5% 5/20/40 (n)

1,576,040

237,528

sequential payer Series 2004-24 Class ZM, 5% 4/20/34

2,496,250

2,804,143

Series 2004-32 Class GS, 6.3167% 5/16/34 (m)(n)(p)

365,783

79,631

Series 2004-73 Class AL, 7.0167% 8/17/34 (m)(n)(p)

437,488

95,411

Series 2007-35 Class SC, 39.105% 6/16/37 (m)(p)

30,908

59,365

Series 2010-H10 Class FA, 0.5115% 5/20/60 (m)(q)

2,539,968

2,527,928

Series 2012-76 Class GS, 6.5175% 6/16/42 (m)(n)(p)

1,512,454

320,808

Series 2012-97 Class JS, 6.0675% 8/16/42 (m)(n)(p)

4,809,649

848,134

Series 2013-124:

Class ES, 8.4213% 4/20/39 (m)(p)

4,142,567

4,790,870

Class ST, 8.5547% 8/20/39 (m)(p)

7,781,810

8,989,726

Series 2013-160 Class MS, 6.016% 9/20/32 (m)(n)(p)

6,429,733

1,220,662

Series 2015-H13 Class FL, 0.3% 3/20/65 (j)(m)(q)

27,180,000

27,180,000

TOTAL U.S. GOVERNMENT AGENCY

323,430,691

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $442,001,696)


476,703,461

Commercial Mortgage Securities - 6.6%

 

Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (h)

180,000

205,421

Asset Securitization Corp.:

Series 1997-D4 Class B5, 7.525% 4/14/29

129,000

128,469

Series 1997-D5 Class PS1, 1.5708% 2/14/43 (m)(n)

495,728

7,517

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Aventura Mall Trust Series 2013-AVM Class E, 3.8674% 12/5/32 (h)(m)

$ 1,500,000

$ 1,501,609

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2005-4 Class AJ, 5.038% 7/10/45 (m)

530,000

536,723

Series 2006-2:

Class A4, 5.9166% 5/10/45 (m)

21,565,600

22,066,418

Class AAB, 5.8986% 5/10/45 (m)

56,050

56,057

Series 2006-3 Class A4, 5.889% 7/10/44

51,779,041

53,521,199

Series 2006-4 Class AM, 5.675% 7/10/46

1,000,000

1,048,319

Series 2006-5 Class A2, 5.317% 9/10/47

480,364

480,392

Series 2006-6 Class A3, 5.369% 10/10/45

3,804,000

3,847,833

Series 2006-4 Class A1A, 5.617% 7/10/46 (m)

26,357,181

27,427,177

Series 2004-1 Class F, 5.279% 11/10/39 (h)

185,000

185,439

Series 2005-1 Class CJ, 5.4601% 11/10/42 (m)

178,193

178,041

Series 2005-5 Class D, 5.4275% 10/10/45 (m)

1,180,000

1,185,217

Series 2005-6 Class AJ, 5.331% 9/10/47 (m)

300,000

304,741

Series 2006-6 Class E, 5.619% 10/10/45 (h)

1,098,000

164,887

Series 2007-2 Class A4, 5.7822% 4/10/49 (m)

8,292,000

8,727,272

Series 2007-3:

Class A3, 5.7354% 6/10/49 (m)

2,259,587

2,258,378

Class A4, 5.7354% 6/10/49 (m)

22,466,000

23,815,622

Series 2008-1 Class D, 6.4732% 2/10/51 (h)(m)

125,000

107,246

Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49

6,777,200

7,169,004

Bayview Commercial Asset Trust:

floater:

Series 2003-2 Class M1, 1.4598% 12/25/33 (h)(m)

35,088

31,574

Series 2005-4A:

Class A2, 0.5748% 1/25/36 (h)(m)

811,412

721,060

Class B1, 1.5848% 1/25/36 (h)(m)

33,717

20,078

Class M1, 0.6348% 1/25/36 (h)(m)

261,746

210,133

Class M2, 0.6548% 1/25/36 (h)(m)

78,524

61,344

Class M3, 0.6848% 1/25/36 (h)(m)

114,678

85,497

Class M4, 0.7948% 1/25/36 (h)(m)

63,423

46,172

Class M5, 0.8348% 1/25/36 (h)(m)

63,423

45,609

Class M6, 0.8848% 1/25/36 (h)(m)

67,362

44,109

Series 2006-3A Class M4, 0.6148% 10/25/36 (h)(m)

41,735

4,410

Series 2007-1 Class A2, 0.4548% 3/25/37 (h)(m)

552,936

465,134

Series 2007-2A:

Class A1, 0.4548% 7/25/37 (h)(m)

566,736

495,138

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-2A:

Class A2, 0.5048% 7/25/37 (h)(m)

$ 529,538

$ 447,979

Class M1, 0.5548% 7/25/37 (h)(m)

185,944

139,680

Class M2, 0.5948% 7/25/37 (h)(m)

101,607

65,339

Class M3, 0.6748% 7/25/37 (h)(m)

78,026

31,127

Series 2007-3:

Class A2, 0.4748% 7/25/37 (h)(m)

510,441

426,427

Class M1, 0.4948% 7/25/37 (h)(m)

110,863

84,165

Class M2, 0.5248% 7/25/37 (h)(m)

118,825

79,415

Class M3, 0.5548% 7/25/37 (h)(m)

187,239

75,626

Class M4, 0.6848% 7/25/37 (h)(m)

293,993

84,646

Class M5, 0.7848% 7/25/37 (h)(m)

140,819

23,597

Series 2007-4A Class M1, 1.1313% 9/25/37 (h)(m)

216,166

44,167

Series 2006-3A, Class IO, 10/25/36 (h)(m)(n)

5,425,680

0

Series 2007-5A, Class IO, 4.186% 10/25/37 (h)(m)(n)

5,085,539

63,077

Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.5975% 3/11/39 (m)

450,000

458,452

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer:

Series 2006-PW14 Class AM, 5.243% 12/11/38

600,000

631,697

Series 2006-T22 Class AJ, 5.7581% 4/12/38 (m)

400,000

413,568

Series 2007-PW16 Class A4, 5.8965% 6/11/40 (m)

1,112,000

1,193,145

Series 1999-C1 Class I, 5.64% 2/14/31 (h)

114,534

113,608

Series 2006-T22:

Class A4, 5.7581% 4/12/38 (m)

206,498

210,683

Class B, 5.7581% 4/12/38 (h)(m)

200,000

209,976

Series 2007-PW18 Class X2, 0.4438% 6/11/50 (h)(m)(n)

87,557,706

194,641

Series 2007-T28 Class X2, 0.3068% 9/11/42 (h)(m)(n)

54,532,420

40,627

Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (h)

551,842

608,871

BLCP Hotel Trust:

floater Series 2014-CLRN Class F, 3.2196% 8/15/29 (h)(m)

496,000

472,257

Series 2014-CLMZ Class M, 5.9135% 8/15/29 (h)(m)

1,288,000

1,283,819

Boca Hotel Portfolio Trust Series 2013-BOCA Class E, 3.9356% 8/15/26 (h)(m)

700,000

699,999

BWAY Mortgage Trust Series 2015-1740 Class E, 4.028% 1/13/35 (h)

1,000,000

985,769

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (h)(m)

$ 340,406

$ 322,972

Carefree Portfolio Trust floater:

Series 2014-CARE:

Class E, 4.186% 11/15/19 (h)(m)

680,000

681,285

Class F, 2.7697% 11/15/19 (h)(m)

119,000

110,355

Series 2014-CMZA Class MZA, 6.1625% 11/15/19 (h)(m)

1,537,000

1,545,588

Carefree Portfolio Trust 2014-Car floater Series 2014-CMZB Class MZB, 7.8949% 11/15/29 (h)

1,000,000

1,006,507

CDGJ Commercial Mortgage Trust Series 2014-BXCH:

Class A, 1.5745% 12/15/27 (h)(m)

19,500,000

19,536,660

Class DPA, 3.1745% 12/15/27 (h)(m)

6,164,000

6,176,698

CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7535% 12/15/47 (h)(m)

750,000

871,982

CG-CCRE Commercial Mortgage Trust:

Series 2014-FL1:

Class YTC2, 2.6746% 6/15/31 (h)(m)

511,000

490,273

Class YTC3, 2.6746% 6/15/31 (h)(m)

184,000

173,704

Series 2014-FL1, 2.6746% 6/15/31 (h)(m)

511,000

497,223

CGBAM Commercial Mortgage Trust Series 2015-SMRT Class F, 3.912% 4/10/28 (h)(m)

902,000

874,708

Chase Commercial Mortgage Securities Corp.:

Series 1998-1 Class H, 6.34% 5/18/30 (h)

800,000

850,401

Series 1998-2 Class J, 6.39% 11/18/30 (h)

487,111

401,993

Citigroup Commercial Mortgage Trust Series 2013-GC15 Class D, 5.2757% 9/10/46 (h)(m)

1,010,000

1,023,016

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer:

Series 2006-CD3 Class A5, 5.617% 10/15/48

8,402,721

8,732,226

Series 2007-CD4:

Class A3, 5.293% 12/11/49

172,969

174,263

Class A4, 5.322% 12/11/49

31,258,000

32,705,495

Series 2005-CD1 Class AJ, 5.3959% 7/15/44 (m)

500,000

505,263

Claregold Trust Series 2007-2A:

Class F, 5.01% 5/15/44 (h)(m)

CAD

138,000

109,709

Class G, 5.01% 5/15/44 (h)(m)

CAD

30,000

23,366

Class H, 5.01% 5/15/44 (h)(m)

CAD

20,000

15,175

Class J, 5.01% 5/15/44 (h)(m)

CAD

20,000

14,518

Class K, 5.01% 5/15/44 (h)(m)

CAD

10,000

7,102

Class L, 5.01% 5/15/44 (h)(m)

CAD

36,000

24,477

Class M, 5.01% 5/15/44 (h)(m)

CAD

165,000

105,189

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (m)

$ 2,125,000

$ 2,076,930

COMM Mortgage Trust:

floater Series 2014-PAT Class E, 3.33% 8/13/27 (h)(m)

735,000

735,232

sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (h)

1,410,000

1,144,474

Series 2012-CR5 Class D, 4.48% 12/10/45 (h)(m)

740,000

757,973

Series 2013-CR10:

Class C, 4.9531% 8/10/46 (h)(m)

270,000

289,780

Class D, 4.9531% 8/10/46 (h)(m)

790,000

783,299

Series 2013-CR12 Class D, 5.2544% 10/10/46 (h)(m)

1,176,000

1,186,981

Series 2013-CR9:

Class C, 4.4005% 7/10/45 (h)(m)

525,000

545,570

Class D, 4.4005% 7/10/45 (h)(m)

756,000

719,956

Series 2013-LC6 Class D, 4.43% 1/10/46 (h)(m)

1,109,000

1,063,544

Series 2014-CR15 Class D, 4.9188% 2/10/47 (h)(m)

258,000

256,476

Series 2014-CR17 Class D, 4.9595% 5/10/47 (h)(m)

567,000

552,483

Series 2014-UBS2 Class D, 5.1827% 3/10/47 (h)(m)

844,000

827,918

Series 2015-3BP Class F, 3.3463% 2/10/35 (h)(m)

1,000,000

895,605

Series 2015-CR23 Class CME, 3.807% 5/10/48 (h)

483,000

441,133

COMM Mortgage Trust pass-thru certificates:

floater Series 2005-F10A Class J, 1.0356% 4/15/17 (h)(m)

126,140

126,167

sequential payer Series 2006-C7 Class A1A, 5.9288% 6/10/46 (m)

2,960,762

3,060,519

Series 2005-LP5 Class F, 5.3994% 5/10/43 (h)(m)

1,290,000

1,312,121

Commercial Mortgage Acceptance Corp. Series 1998-C2 Class J, 5.44% 9/15/30 (h)

1,534,948

1,479,221

Commercial Mortgage Asset Trust Series 1999-C2:

Class G, 6% 11/17/32

302,000

330,588

Class H, 6% 11/17/32

599,021

636,637

Commercial Mortgage Trust pass-thru certificates:

Series 2005 C6 Class B, 5.3816% 6/10/44 (m)

905,000

907,367

Series 2005-C6 Class AJ, 5.209% 6/10/44 (m)

1,260,000

1,267,590

Series 2012-CR1:

Class C, 5.538% 5/15/45 (m)

850,000

949,298

Class D, 5.538% 5/15/45 (h)(m)

1,510,000

1,582,787

Series 2012-CR2:

Class E, 5.0192% 8/15/45 (h)(m)

1,727,000

1,769,065

Class F, 4.25% 8/15/45 (h)

1,418,000

1,248,935

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Commercial Mortgage Trust pass-thru certificates: - continued

Series 2012-LC4:

Class C, 5.8207% 12/10/44 (m)

$ 260,000

$ 294,228

Class D, 5.8207% 12/10/44 (h)(m)

870,000

937,992

Series 2014-CR2 Class G, 4.25% 8/15/45 (h)

403,000

310,547

Core Industrial Trust:

Series 2015-CALW Class G, 3.85% 2/10/34 (h)(m)

544,000

513,604

Series 2015-WEST Class F, 4.226% 2/10/37 (h)

731,000

671,793

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2007-C2 Class A2, 5.448% 1/15/49 (m)

27,691

27,741

Series 2007-C3 Class A4, 5.8901% 6/15/39 (m)

16,794,693

17,895,955

Series 2007-C5 Class A4, 5.695% 9/15/40 (m)

1,722,000

1,838,263

Credit Suisse First Boston Mortgage Securities Corp.:

Series 1998-C1:

Class F, 6% 5/17/40 (h)

1,305,824

1,399,358

Class H, 6% 5/17/40 (h)

90,316

75,900

Series 1998-C2:

Class F, 6.75% 11/15/30 (h)

672,765

691,402

Class G, 6.75% 11/15/30 (h)

180,000

193,441

Series 2001-CKN5 Class AX, 9/15/34 (h)(m)(n)

4,247

0

Series 2002-CKP1 Class KZ, 6.294% 12/15/35 (h)(m)

143,516

144,436

CSMC Series 2015-TOWN:

Class B, 2.0815% 3/15/17 (h)(m)

3,043,000

3,045,051

Class C, 2.4315% 3/15/17 (h)(m)

2,964,000

2,965,992

Class D, 3.3815% 3/15/17 (h)(m)

4,485,000

4,488,000

Class E, 4.3315% 3/15/17 (h)(m)

20,318,000

20,357,011

CSMC Trust floater Series 2015-DEAL:

Class E, 4.181% 4/15/29 (h)(m)

474,000

474,012

Class F, 4.936% 4/15/29 (h)(m)

1,453,000

1,453,001

DBCCRE Mortgage Trust Series 2014-ARCP Class E, 5.099% 1/10/34 (h)(m)

500,000

479,327

DBUBS Mortgage Trust Series 2011-LC1A:

Class D, 5.7305% 11/10/46 (h)(m)

500,000

555,872

Class E, 5.7305% 11/10/46 (h)(m)

870,000

946,657

Class F, 5.7305% 11/10/46 (h)(m)

1,560,000

1,530,794

Class G, 4.652% 11/10/46 (h)

1,654,000

1,464,194

Class XB, 0.3198% 11/10/46 (h)(m)(n)

20,920,000

319,804

Extended Stay America Trust Series 2013-ESH7 Class C7, 3.9017% 12/5/31 (h)

1,000,000

1,027,106

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (h)(m)

$ 265,016

$ 265,872

Freddie Mac:

pass thru-certificates floater Series KF01 Class A, 0.5313% 4/25/19 (m)

1,301,917

1,295,516

pass-thru certificates:

Series K011 Class X3, 2.6623% 12/25/43 (m)(n)

1,640,000

210,911

Series K012 Class X3, 2.365% 1/25/41 (m)(n)

1,800,000

205,654

Series K013 Class X3, 2.9023% 1/25/43 (m)(n)

820,000

116,050

sequential payer:

Series K033 Class A2, 3.06% 7/25/23

23,417,768

24,387,350

Series K034 Class A2, 3.531% 7/25/23

17,648,185

19,042,692

Series K042 Class A1, 2.267% 6/25/24

8,699,593

8,802,624

Series K716 Class A2, 3.13% 6/25/21

3,482,713

3,692,452

Series KAIV Class X2, 3.6147% 6/25/46 (m)(n)

420,000

77,629

Freddie Mac Multi-family Strutured Pass-thru Certificates sequential payer Series K718 Class A2, 2.791% 1/25/22

15,400,000

15,979,208

FREMF Mortgage Trust:

Series 2010-K9 Class B, 5.3608% 9/25/45 (h)(m)

1,290,000

1,443,796

Series 2011-K10 Class B, 4.7757% 11/25/49 (h)(m)

240,000

262,104

Series 2011-K11 Class B, 4.5702% 12/25/48 (h)(m)

750,000

810,899

GAHR Commercial Mortgage Trust Series 2015-NRF:

Class BFX, 3.3822% 12/15/19 (h)

18,910,000

19,308,863

Class CFX, 3.3822% 12/15/19 (h)

14,152,000

14,212,705

Class DFX, 3.3822% 12/15/19 (h)

11,994,000

11,931,317

Class EFX, 3.3822% 12/15/19 (h)

1,500,000

1,430,735

Class FFX, 3.3822% 12/15/19 (h)

383,000

360,107

GCCFC Commercial Mortgage Trust Series 2005-GG3 Class B, 4.894% 8/10/42 (m)

87,045

87,268

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

42,220,000

44,163,344

GMAC Commercial Mortgage Securities, Inc.:

Series 1997-C1 Class H, 6.6% 7/15/29

411,904

370,985

Series 1997-C2 Class G, 6.75% 4/15/29 (m)

232,826

247,837

Series 1999-C2I Class K, 6.481% 9/15/33

835,000

679,087

Series 1999-C3 Class K, 6.974% 8/15/36 (h)

3,742

3,690

GP Portfolio Trust Series 2014-GPP:

Class D, 2.926% 2/15/27 (h)(m)

291,000

290,178

Class E, 4.026% 2/15/27 (h)(m)

142,000

141,463

Greenwich Capital Commercial Funding Corp.:

sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39

16,612,056

17,530,520

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Greenwich Capital Commercial Funding Corp.: - continued

Series 2006-GG7 Class A4, 6.0136% 7/10/38 (m)

$ 46,338,899

$ 47,740,836

GS Mortgage Securities Corp. II:

Series 2006-GG6 Class A4, 5.553% 4/10/38 (m)

9,252,000

9,329,199

Series 2010-C1:

Class D, 6.1797% 8/10/43 (h)(m)

1,255,000

1,378,315

Class E, 4% 8/10/43 (h)

1,240,000

1,140,676

Class F, 4% 8/10/43 (h)

894,000

768,900

Class X, 1.6265% 8/10/43 (h)(m)(n)

5,329,390

317,259

GS Mortgage Securities Trust:

floater Series 2014-GSFL Class A, 1.1815% 7/15/31 (h)(m)

750,000

750,323

sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39

11,280,382

11,755,591

Series 2010-C2:

Class D, 5.396% 12/10/43 (h)(m)

720,000

761,306

Class XA, 0.8237% 12/10/43 (h)(m)(n)

5,334,646

34,926

Series 2011-GC5:

Class C, 5.4751% 8/10/44 (h)(m)

1,050,000

1,170,647

Class D, 5.4751% 8/10/44 (h)(m)

480,000

509,246

Class E, 5.4751% 8/10/44 (h)(m)

210,000

212,435

Class F, 4.5% 8/10/44 (h)

1,020,000

839,863

Series 2012-GC6:

Class D, 5.8244% 1/10/45 (h)(m)

861,000

921,265

Class E, 5% 1/10/45 (h)(m)

412,000

388,514

Series 2012-GC6I Class F, 5% 1/10/45 (m)

390,000

319,771

Series 2012-GCJ7:

Class C, 5.9068% 5/10/45 (m)

630,000

713,472

Class D, 5.9068% 5/10/45 (h)(m)

1,054,000

1,119,994

Class E, 5% 5/10/45 (h)

1,311,000

1,225,992

Class F, 5% 5/10/45 (h)

2,079,000

1,695,277

Series 2012-GCJ9:

Class D, 5.0156% 11/10/45 (h)(m)

1,170,000

1,182,861

Class E, 5.0156% 11/10/45 (h)(m)

1,290,000

1,189,861

Series 2013-GC10 Class D, 4.5612% 2/10/46 (h)(m)

740,000

727,348

Series 2013-GC12 Class D, 4.6167% 6/10/46 (h)(m)

219,000

213,820

Series 2013-GC13 Class D, 4.2058% 7/10/46 (h)(m)

1,543,000

1,465,720

Series 2013-GC16:

Class C, 5.4926% 11/10/46 (m)

662,844

731,273

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

GS Mortgage Securities Trust: - continued

Series 2013-GC16:

Class D, 5.4926% 11/10/46 (h)(m)

$ 967,000

$ 992,777

Class F, 3.5% 11/10/46 (h)

999,000

786,225

Hilton U.S.A. Trust:

floater Series 2014-ORL Class E, 3.4315% 7/15/29 (h)(m)

617,000

611,005

Series 2013-HLT:

Class CFX, 3.7141% 11/5/30 (h)

2,450,000

2,481,988

Class DFX, 4.4065% 11/5/30 (h)

23,706,000

24,087,313

Class EFX, 5.6086% 11/5/30 (h)(m)

2,000,000

2,041,563

Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class F, 3.6715% 11/15/29 (h)(m)

406,000

394,202

JPMBB Commercial Mortgage Securities Trust Series 2014-C22 Class D, 4.7134% 9/15/47 (h)(m)

525,000

488,811

JPMorgan Chase Commercial Mortgage Securities Corp.:

floater Series 2011-CCHP Class E, 5.15% 7/15/28 (h)(m)

500,000

500,687

sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (h)

440,000

476,795

Series 2003-C1:

Class D, 5.192% 1/12/37

20,302

20,305

Class F, 5.8332% 1/12/37 (h)(m)

250,000

251,222

Series 2009-IWST:

Class C, 7.6935% 12/5/27 (h)(m)

380,000

459,380

Class D, 7.6935% 12/5/27 (h)(m)

1,885,000

2,254,564

Series 2010-CNTM Class MZ, 8.5% 8/5/20 (h)

670,000

698,122

Series 2010-CNTR Class D, 6.3899% 8/5/32 (h)(m)

695,000

813,317

Series 2012-CBX:

Class C, 5.4139% 6/15/45 (m)

250,000

275,025

Class D, 5.4139% 6/16/45 (h)(m)

690,000

743,221

Class E, 5.4139% 6/15/45 (h)(m)

620,000

646,746

Class F, 4% 6/15/45 (h)

820,000

696,583

Class G 4% 6/15/45 (h)

1,079,000

835,146

JPMorgan Chase Commercial Mortgage Securities Trust:

floater:

Series 2006-FL2A:

Class E, 0.4656% 11/15/18 (h)(m)

144,344

142,868

Class F, 0.5156% 11/15/18 (h)(m)

380,931

370,313

Class G, 0.5456% 11/15/18 (h)(m)

330,997

319,332

Class H, 0.6856% 11/15/18 (h)(m)

254,476

244,326

Class J, 0.8356% 11/15/18 (h)(m)

257,928

246,347

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

floater:

Series 2014-BXH:

Class A, 1.0856% 4/15/27 (h)(m)

$ 3,000,000

$ 3,000,624

Class C, 1.8356% 4/15/27 (h)(m)

4,460,000

4,456,561

Class D, 2.4356% 4/15/27 (h)(m)

9,517,000

9,494,949

Series 2014-FBLU Class E, 3.6815% 12/15/28 (h)(m)

1,058,000

1,059,358

Series 2014-INN:

Class E, 3.786% 6/15/29 (h)(m)

683,000

682,404

Class F, 4.186% 6/15/29 (h)(m)

1,006,000

996,237

sequential payer:

Series 2006-CB16:

Class A1A, 5.546% 5/12/45

15,117,656

15,801,428

Class A4, 5.552% 5/12/45

5,665,501

5,829,319

Series 2006-CB17 Class A4, 5.429% 12/12/43

7,203,918

7,530,990

Series 2006-LDP8 Class A1A, 5.397% 5/15/45

6,011,246

6,246,610

Series 2006-LDP9 Class A3, 5.336% 5/15/47

9,206,917

9,583,857

Series 2007-CB18 Class A4, 5.44% 6/12/47

2,396,732

2,531,045

Series 2007-CB19 Class A4, 5.8851% 2/12/49 (m)

12,470,000

13,316,046

Series 2007-LD11 Class A4, 5.9618% 6/15/49 (m)

29,428,107

31,261,390

Series 2007-LDPX Class A3, 5.42% 1/15/49

24,021,142

25,344,226

Series 2004-CBX Class D, 5.097% 1/12/37 (m)

170,000

171,042

Series 2004-LN2 Class D, 5.3374% 7/15/41 (m)

420,000

359,300

Series 2005-LDP2 Class C, 4.911% 7/15/42 (m)

660,000

661,766

Series 2005-LDP5 Class AJ, 5.5342% 12/15/44 (m)

360,000

366,693

Series 2006-LDP7 Class A4, 6.057% 4/15/45 (m)

14,279,467

14,672,652

Series 2007-LDP10 Class CS, 5.466% 1/15/49 (m)

110,336

1,662

Series 2011-C3 Class J, 4.409% 2/15/46 (h)(m)

106,000

89,489

Series 2011-C4:

Class E, 5.5962% 7/15/46 (h)(m)

1,130,000

1,230,684

Class F, 3.873% 7/15/46 (h)

105,000

98,916

Class H, 3.873% 7/15/46 (h)

672,000

556,766

Class NR, 3.873% 7/15/46 (h)

385,000

250,465

Class TAC2, 7.99% 7/15/46 (h)

671,000

714,824

Series 2011-C5:

Class B. 5.5003% 8/15/46 (h)(m)

1,140,000

1,298,662

Class C, 5.5003% 8/15/46 (h)(m)

1,102,648

1,228,936

Series 2013-LC11:

Class C, 3.9582% 4/15/46 (m)

1,115,000

1,126,272

Class D, 4.381% 4/15/46 (m)

1,430,000

1,380,691

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

Series 2013-LC11:

Class F, 3.25% 4/15/46 (h)(m)

$ 920,000

$ 674,062

Series 2014-DSTY:

Class D, 3.9314% 6/10/27 (h)(m)

500,000

487,114

Class E, 3.9314% 6/10/27 (h)(m)

1,156,000

1,080,465

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1102% 7/15/44 (m)

21,525,676

23,101,355

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2005-C3 Class AJ, 4.843% 7/15/40

313,871

313,970

Series 2005-C7:

Class AJ, 5.323% 11/15/40 (m)

1,500,000

1,515,218

Class AM, 5.263% 11/15/40 (m)

137,000

137,790

Series 2006-C6:

Class A4, 5.372% 9/15/39

857,000

894,318

Class AM, 5.413% 9/15/39

1,500,000

1,573,791

Series 2006-C7:

Class A2, 5.3% 11/15/38

774,345

780,234

Class AM, 5.378% 11/15/38

160,000

167,719

Series 2007-C1 Class A4, 5.424% 2/15/40

16,342,141

17,242,512

Series 2007-C2 Class A3, 5.43% 2/15/40

3,235,021

3,429,048

Series 2004-C2 Class G, 4.595% 3/15/36 (h)(m)

187,908

188,161

Series 2005-C1 Class E, 4.924% 2/15/40

531,502

532,232

Series 2005-C7 Class C, 5.35% 11/15/40 (m)

1,016,000

1,026,689

Series 2006-C1 Class AM, 5.217% 2/15/31 (m)

6,847,000

6,986,501

Series 2006-C4:

Class AJ, 6.0481% 6/15/38 (m)

1,060,000

1,097,765

Class AM, 6.0481% 6/15/38 (m)

500,000

522,979

Series 2007-C6 Class A4, 5.858% 7/15/40 (m)

2,185,471

2,286,079

Series 2007-C7 Class A3, 5.866% 9/15/45

12,778,268

13,950,904

LSTAR Commercial Mortgage Trust:

Series 2011-1 Class D, 5.4428% 6/25/43 (h)(m)

310,000

312,417

Series 2014-2:

Class D, 5.1933% 1/20/41 (h)(m)

256,000

246,373

Class E, 5.1933% 1/20/41 (h)(m)

400,000

333,306

Mach One Trust LLC Series 2004-1A Class H, 6.1351% 5/28/40 (h)(m)

238,803

241,359

Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.3907% 10/12/39 (h)(m)

CAD

320,000

259,473

Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (m)

191,797

191,903

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Merrill Lynch Mortgage Trust:

Series 05-LC1 Class AJ, 5.5488% 1/12/44 (m)

$ 220,000

$ 224,333

Series 2005-LC1 Class F, 5.6028% 1/12/44 (h)(m)

1,655,000

1,633,348

Series 2006-C1:

Class AJ, 5.8655% 5/12/39 (m)

530,000

535,613

Class AM, 5.8655% 5/12/39 (m)

100,000

103,752

Series 2007-C1 Class A4, 6.0289% 6/12/50 (m)

9,429,517

10,024,529

Series 2008-C1 Class A4, 5.69% 2/12/51

2,957,278

3,202,333

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2006-4:

Class A3, 5.172% 12/12/49 (m)

787,418

821,462

Class ASB, 5.133% 12/12/49 (m)

308,488

311,669

Series 2007-5 Class A4, 5.378% 8/12/48

17,942,275

18,751,418

Series 2007-6 Class A4, 5.485% 3/12/51 (m)

14,650,000

15,530,480

Series 2007-7 Class A4, 5.81% 6/12/50 (m)

6,536,358

6,993,949

Series 2007-6 Class B, 5.635% 3/12/51 (m)

1,902,000

593,097

Series 2007-7 Class B, 5.9342% 6/12/50 (m)

67,965

3,178

Series 2007-8 Class A3, 6.0766% 8/12/49 (m)

1,640,000

1,772,000

Morgan Stanley BAML Trust:

Series 2012-C6 Class D, 4.8164% 11/15/45 (h)(m)

1,357,000

1,416,285

Series 2013-C12 Class D, 4.9265% 10/15/46 (h)(m)

1,000,000

990,940

Series 2013-C13:

Class D, 5.0582% 11/15/46 (h)(m)

1,019,000

1,029,230

Class E, 5.0582% 11/15/46 (h)(m)

887,000

829,632

Series 2013-C7:

Class D, 4.4406% 2/15/46 (h)(m)

810,000

795,082

Class E, 4.4406% 2/15/46 (h)(m)

340,000

297,073

Series 2013-C8 Class D, 4.3094% 12/15/48 (h)(m)

400,000

389,604

Series 2013-C9:

Class C, 4.2089% 5/15/46 (m)

620,000

635,098

Class D, 4.2969% 5/15/46 (h)(m)

1,740,000

1,672,947

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF:

Class C, 1.386% 7/15/19 (h)(m)

357,716

357,966

Class J, 0.6115% 7/15/19 (h)(m)

335,939

334,077

Series 2007-XLFA:

Class D, 0.3715% 10/15/20 (h)(m)

664,433

658,957

Class E, 0.4315% 10/15/20 (h)(m)

834,661

825,896

Class F, 0.4815% 10/15/20 (h)(m)

500,899

494,307

Class G, 0.5215% 10/15/20 (h)(m)

619,188

607,360

Class H, 0.6115% 10/15/20 (h)(m)

389,758

374,517

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class J, 0.7615% 10/15/20 (h)(m)

$ 225,021

$ 204,971

floater:

Series 2007-XLFA:

sequential payer:

Series 2006-HQ10 Class AM, 5.36% 11/12/41

620,000

651,040

Series 2007-HQ11 Class A31, 5.439% 2/12/44

164,901

164,790

Series 2012-C4 Class E, 5.709% 3/15/45 (h)(m)

1,210,000

1,277,023

Series 1997-RR Class F, 7.4359% 4/30/39 (h)(m)

66,229

66,394

Series 1998-CF1 Class G, 7.35% 7/15/32 (h)

208,035

204,062

Series 1999-WF1:

Class N, 5.91% 11/15/31 (h)

210,000

211,296

Class O, 5.91% 11/15/31 (h)

166,077

125,939

Series 2004-IQ7 Class E, 5.2446% 6/15/38 (h)(m)

120,000

122,654

Series 2005-HQ6 Class AJ, 5.073% 8/13/42 (m)

109,514

109,444

Series 2006-IQ11 Class A4, 5.8301% 10/15/42 (m)

432,662

436,381

Series 2006-IQ12 Class AMFX, 5.37% 12/15/43

719,000

758,201

Series 2007-HQ12 Class A2, 5.8611% 4/12/49 (m)

2,124,121

2,121,073

Series 2007-IQ14:

Class A4, 5.6859% 4/15/49

89,155,000

94,787,635

Class B, 5.9059% 4/15/49 (m)

469,000

31,785

Series 2011-C1:

Class C, 5.4181% 9/15/47 (h)(m)

970,000

1,082,113

Class D, 5.4181% 9/15/47 (h)(m)

1,760,000

1,922,281

Class E, 5.4181% 9/15/47 (h)(m)

573,100

608,962

Series 2011-C2:

Class D, 5.4802% 6/15/44 (h)(m)

580,000

631,584

Class E, 5.4802% 6/15/44 (h)(m)

600,000

641,795

Class F, 5.4802% 6/15/44 (h)(m)

550,000

532,655

Class XB, 0.5333% 6/15/44 (h)(m)(n)

9,001,008

242,550

Series 2011-C3:

Class C, 5.3555% 7/15/49 (h)(m)

1,000,000

1,109,366

Class D, 5.3555% 7/15/49 (h)(m)

1,130,000

1,226,091

Class E, 5.3555% 7/15/49 (h)(m)

400,000

424,942

Class G, 5.3555% 7/15/49 (h)(m)

924,000

844,907

Series 2012-C4:

Class D, 5.709% 3/15/45 (h)(m)

330,000

361,230

Class F, 3.07% 3/15/45 (h)

623,000

528,986

Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.7615% 7/15/33 (h)(m)

150,000

170,602

Motel 6 Trust Series 2015-MTL6:

Class E, 5.2785% 2/5/30 (h)

1,571,000

1,573,143

Class F, 5% 2/5/30 (h)

499,000

486,155

NationsLink Funding Corp. Series 1999-LTL1:

Class C, 7.399% 1/22/26 (h)

273,000

289,065

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

NationsLink Funding Corp. Series 1999-LTL1: - continued

Class D, 6.45% 1/22/26 (h)

$ 740,731

$ 803,578

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (h)

967,650

1,258,913

Real Estate Asset Liquidity Trust:

Series 2006-2:

Class F, 4.456% 9/12/38 (h)

CAD

107,000

87,276

Class G, 4.456% 9/12/38 (h)

CAD

54,000

43,470

Class H, 4.456% 9/12/38 (h)

CAD

36,000

28,109

Class J, 4.456% 9/12/38 (h)

CAD

36,000

27,242

Class K, 4.456% 9/12/38 (h)

CAD

18,000

13,174

Class L, 4.456% 9/12/38 (h)

CAD

26,000

17,850

Class M, 4.456% 9/12/38 (h)

CAD

104,391

65,720

Series 2007-1:

Class F, 4.57% 4/12/23

CAD

126,000

103,046

Class G, 4.57% 4/12/23

CAD

42,000

34,049

Class H, 4.57% 4/12/23

CAD

42,000

33,752

Class J, 4.57% 4/12/23

CAD

42,000

33,459

Class K, 4.57% 4/12/23

CAD

21,000

16,585

Class L, 4.57% 4/12/23

CAD

63,000

49,323

Class M, 4.57% 4/12/23

CAD

155,242

105,097

Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (h)

250,949

81,647

SCG Trust Series 2013-SRP1 Class D, 3.5252% 11/15/26 (h)(m)

1,330,000

1,328,985

Starwood Retail Property Trust Series 2014-STAR Class D, 3.4315% 11/15/27 (h)(m)

794,000

798,184

TIAA Seasoned Commercial Mortgage Trust:

sequential payer Series 2007-C4 Class AJ, 5.5322% 8/15/39 (m)

145,100

146,143

Series 2007-C4 Class F, 5.5322% 8/15/39 (m)

820,000

806,299

TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (h)

270,000

278,114

UBS Commercial Mortgage Trust Series 2012-C1 Class D, 5.7272% 5/10/45 (h)(m)

693,000

721,364

UBS-BAMLL Trust:

Series 12-WRM Class D, 4.3793% 6/10/30 (h)(m)

310,000

306,609

Series 2012-WRM Class E, 4.3793% 6/10/30 (h)(m)

970,000

931,361

VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (h)(m)

1,299,000

1,295,685

Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (h)

180,000

209,983

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class G, 0.5456% 9/15/21 (h)(m)

$ 158,042

$ 155,739

Class J, 0.7856% 9/15/21 (h)(m)

395,545

375,441

sequential payer:

Series 2006-C29 Class A1A, 5.297% 11/15/48

8,625,250

9,086,140

Series 2007-C30 Class A5, 5.342% 12/15/43

24,454,000

25,782,808

Series 2007-C31 Class A4, 5.509% 4/15/47

52,563,000

55,147,575

Series 2007-C32 Class A3, 5.9027% 6/15/49 (m)

40,608,000

43,209,807

Series 2007-C33:

Class A4, 6.1503% 2/15/51 (m)

32,692,490

34,487,700

Class A5, 6.1503% 2/15/51 (m)

19,259,000

20,910,710

Series 2004-C11:

Class D, 5.314% 1/15/41 (m)

360,000

369,547

Class E, 5.364% 1/15/41 (m)

327,000

336,725

Series 2005-C22 Class B, 5.5288% 12/15/44 (m)

4,218,000

4,196,623

Series 2006-C23 Class A5, 5.416% 1/15/45 (m)

7,870,000

8,017,035

Series 2006-C27 Class A1A, 5.749% 7/15/45 (m)

21,754,065

22,621,161

Series 2007-C31 Class C, 5.8609% 4/15/47 (m)

522,000

511,654

Wells Fargo Commercial Mortgage Trust:

Series 2010-C1 Class XB, 0.6681% 11/15/43 (h)(m)(n)

20,614,217

583,836

Series 2012-LC5:

Class C, 4.693% 10/15/45 (m)

569,000

607,212

Class D, 4.9367% 10/15/45 (h)(m)

1,621,000

1,661,990

Series 2013-LC12 Class C, 4.3013% 7/15/46 (m)

600,000

621,486

WF-RBS Commercial Mortgage Trust:

sequential payer Series 2011-C4I Class G, 5% 6/15/44 (h)

325,000

269,162

Series 2011-C3:

Class C, 5.335% 3/15/44 (h)

360,000

398,772

Class D, 5.7222% 3/15/44 (h)(m)

800,000

870,086

Class E, 5% 3/15/44 (h)

890,000

880,125

Series 2011-C4:

Class D, 5.4128% 6/15/44 (h)(m)

408,000

441,996

Class E, 5.4128% 6/15/44 (h)(m)

439,432

467,481

Series 2011-C5:

Class C, 5.8225% 11/15/44 (h)(m)

260,000

296,775

Class D, 5.8225% 11/15/44 (h)(m)

600,000

667,159

Class E, 5.8225% 11/15/44 (h)(m)

1,410,000

1,558,976

Class F, 5.25% 11/15/44 (h)(m)

933,000

874,737

Class G, 5.25% 11/15/44 (h)(m)

329,000

288,458

Class XA, 2.1401% 11/15/44 (h)(m)(n)

4,947,366

409,202

Commercial Mortgage Securities - continued

 

Principal Amount (e)

Value

WF-RBS Commercial Mortgage Trust: - continued

Series 2012-C10:

Class D, 4.606% 12/15/45 (h)(m)

$ 380,000

$ 375,151

Class E, 4.606% 12/15/45 (h)(m)

1,190,000

1,071,023

Class F, 4.606% 12/15/45 (h)(m)

1,726,000

1,357,975

Series 2012-C6 Class D, 5.7468% 4/15/45 (h)(m)

540,000

581,827

Series 2012-C7:

Class C, 4.9999% 6/15/45 (m)

1,270,000

1,373,031

Class E, 4.9999% 6/15/45 (h)(m)

2,501,000

2,567,149

Class F, 4.5% 6/15/45 (h)

357,000

328,115

Class G, 4.5% 6/15/45 (h)

700,000

549,338

Series 2012-C8 Class D, 5.0382% 8/15/45 (h)(m)

650,000

692,787

Series 2013-C11:

Class D, 4.3205% 3/15/45 (h)(m)

870,000

852,367

Class E, 4.3205% 3/15/45 (h)(m)

1,750,000

1,500,273

Series 2013-C13 Class D, 4.1386% 5/15/45 (h)(m)

600,000

576,818

WFCG Commercial Mortgage Trust floater Series 2015-BXRP:

Class F, 3.921% 11/15/29 (h)(m)

784,000

783,274

Class G, 3.2008% 11/15/29 (h)(m)

205,000

191,713

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $1,303,573,195)


1,337,707,427

Municipal Securities - 1.5%

 

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

3,300,000

3,306,534

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

2,650,000

3,871,889

7.3% 10/1/39

18,415,000

26,558,113

7.5% 4/1/34

9,105,000

13,153,447

7.6% 11/1/40

12,540,000

19,211,405

7.625% 3/1/40

5,410,000

8,157,198

Chicago Gen. Oblig.:

(Taxable Proj.):

Series 2008 B, 5.63% 1/1/22

2,410,000

2,441,884

Series 2010 C1, 7.781% 1/1/35

13,950,000

14,623,227

Series 2012 B, 5.432% 1/1/42

3,285,000

2,768,072

6.314% 1/1/44

19,560,000

17,645,858

Municipal Securities - continued

 

Principal Amount (e)

Value

Illinois Gen. Oblig.:

Series 2003:

4.35% 6/1/18

$ 8,770,000

$ 9,036,608

4.95% 6/1/23

15,345,000

15,781,872

5.1% 6/1/33

63,045,000

59,411,717

Series 2010-1, 6.63% 2/1/35

11,945,000

12,446,332

Series 2010-3:

5.547% 4/1/19

330,000

352,193

6.725% 4/1/35

17,810,000

18,735,408

7.35% 7/1/35

8,165,000

8,952,024

Series 2011:

4.961% 3/1/16

1,035,000

1,066,433

5.365% 3/1/17

395,000

413,589

5.665% 3/1/18

13,360,000

14,350,911

5.877% 3/1/19

44,605,000

48,418,728

Series 2013:

2.69% 12/1/17

3,365,000

3,345,719

3.14% 12/1/18

3,490,000

3,463,162

TOTAL MUNICIPAL SECURITIES

(Cost $305,572,940)


307,512,323

Foreign Government and Government Agency Obligations - 1.4%

 

Arab Republic of Egypt 6.875% 4/30/40 (h)

600,000

613,500

Argentine Republic:

7% 10/3/15

7,460,000

7,333,387

7% 4/17/17

12,175,000

11,837,144

Azerbaijan Republic 4.75% 3/18/24 (h)

760,000

783,560

Banco Nacional de Desenvolvimento Economico e Social:

3.375% 9/26/16 (h)

10,570,000

10,715,338

5.75% 9/26/23 (h)

10,860,000

11,381,280

6.369% 6/16/18 (h)

13,435,000

14,496,365

Belarus Republic:

8.75% 8/3/15 (Reg. S)

7,150,000

7,042,750

8.95% 1/26/18

4,100,000

3,909,350

Brazilian Federative Republic:

4.25% 1/7/25

10,005,000

9,844,920

5.625% 1/7/41

13,285,000

13,484,275

7.125% 1/20/37

2,800,000

3,353,000

8.25% 1/20/34

2,795,000

3,661,450

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (e)

Value

Buenos Aires Province:

9.375% 9/14/18 (h)

$ 255,000

$ 251,175

10.875% 1/26/21 (Reg. S)

3,020,000

3,065,300

City of Buenos Aires 8.95% 2/19/21 (h)

1,860,000

1,929,750

Colombian Republic:

5% 6/15/45

400,000

394,500

5.625% 2/26/44

550,000

592,625

6.125% 1/18/41

860,000

982,550

7.375% 9/18/37

1,070,000

1,384,313

10.375% 1/28/33

2,100,000

3,265,500

Congo Republic 3.5% 6/30/29 (f)

4,081,580

3,665,912

Costa Rican Republic:

4.25% 1/26/23 (h)

2,050,000

1,911,625

5.625% 4/30/43 (h)

490,000

416,500

7% 4/4/44 (h)

1,450,000

1,435,500

Croatia Republic:

5.5% 4/4/23 (h)

410,000

431,885

6% 1/26/24 (h)

1,400,000

1,515,500

6.25% 4/27/17 (h)

675,000

715,084

6.375% 3/24/21 (h)

760,000

835,202

6.625% 7/14/20 (h)

895,000

991,213

6.75% 11/5/19 (h)

1,050,000

1,161,563

Democratic Socialist Republic of Sri Lanka:

6% 1/14/19 (h)

1,150,000

1,177,313

6.25% 10/4/20 (h)

1,355,000

1,383,862

6.25% 7/27/21 (h)

360,000

365,850

Dominican Republic:

1.25% 8/30/24 (m)

2,200,000

2,134,000

5.5% 1/27/25 (h)

710,000

720,650

5.875% 4/18/24 (h)

270,000

282,825

5.875% 4/18/24

585,000

612,788

6.85% 1/27/45 (h)

1,395,000

1,443,825

7.45% 4/30/44 (h)

2,240,000

2,480,800

7.5% 5/6/21 (h)

1,880,000

2,105,600

El Salvador Republic:

7.625% 2/1/41 (h)

675,000

686,813

7.65% 6/15/35 (Reg. S)

565,000

586,894

8.25% 4/10/32 (Reg. S)

575,000

645,438

Georgia Republic 6.875% 4/12/21 (h)

720,000

794,700

German Federal Republic 2.5% 8/15/46

EUR

1,090,000

1,631,448

Guatemalan Republic 5.75% 6/6/22 (h)

555,000

601,481

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (e)

Value

Hungarian Republic:

5.375% 3/25/24

$ 594,000

$ 658,271

5.75% 11/22/23

910,000

1,034,102

6.375% 3/29/21

1,265,000

1,461,075

7.625% 3/29/41

1,630,000

2,290,150

Indonesian Republic:

2.875% 7/8/21

EUR

2,400,000

2,718,293

3.375% 4/15/23 (h)

555,000

534,881

4.875% 5/5/21 (h)

710,000

767,688

5.25% 1/17/42 (h)

715,000

720,363

5.375% 10/17/23

400,000

438,500

5.875% 3/13/20 (h)

385,000

434,088

5.875% 3/13/20 (Reg. S)

2,450,000

2,762,375

6.625% 2/17/37 (h)

950,000

1,099,625

6.75% 1/15/44 (h)

490,000

594,125

7.75% 1/17/38 (h)

2,270,000

2,988,001

8.5% 10/12/35 (Reg. S)

1,860,000

2,583,168

Islamic Republic of Pakistan:

7.125% 3/31/16 (h)

2,560,000

2,636,800

7.125% 3/31/16 (Reg. S)

100,000

103,000

7.25% 4/15/19 (h)

3,010,000

3,150,010

8.25% 4/15/24 (h)

1,000,000

1,080,000

Ivory Coast 5.75% 12/31/32

3,150,000

3,008,250

Lebanese Republic:

4% 12/31/17

2,983,500

2,972,312

5.45% 11/28/19

575,000

581,038

Moroccan Kingdom:

4.25% 12/11/22 (h)

1,800,000

1,867,788

5.5% 12/11/42 (h)

360,000

383,108

Panamanian Republic:

6.7% 1/26/36

460,000

585,350

8.875% 9/30/27

335,000

484,075

9.375% 4/1/29

415,000

627,688

Peruvian Republic:

4% 3/7/27 (f)

1,360,000

1,353,200

8.75% 11/21/33

655,000

1,025,075

Philippine Republic:

7.75% 1/14/31

665,000

992,513

9.5% 2/2/30

895,000

1,496,888

10.625% 3/16/25

680,000

1,103,300

Plurinational State of Bolivia:

5.95% 8/22/23 (h)

885,000

940,313

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (e)

Value

Plurinational State of Bolivia: - continued

5.95% 8/22/23

$ 55,000

$ 58,438

Polish Government 3% 3/17/23

575,000

574,506

Provincia de Cordoba 12.375% 8/17/17 (h)

1,990,000

2,038,755

Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S)

500,000

510,350

Republic of Armenia:

6% 9/30/20 (h)

1,756,000

1,748,976

7.15% 3/26/25 (h)

720,000

740,714

Republic of Iceland 5.875% 5/11/22 (h)

860,000

997,536

Republic of Iraq 5.8% 1/15/28 (Reg. S)

4,000,000

3,304,480

Republic of Nigeria 5.125% 7/12/18 (h)

425,000

430,313

Republic of Paraguay 4.625% 1/25/23 (h)

225,000

230,625

Republic of Serbia:

5.25% 11/21/17 (h)

765,000

793,764

5.875% 12/3/18 (h)

2,180,000

2,310,800

6.75% 11/1/24 (h)

2,196,479

2,234,918

7.25% 9/28/21 (h)

1,450,000

1,667,080

Romanian Republic:

4.375% 8/22/23 (h)

796,000

841,141

6.125% 1/22/44 (h)

1,222,000

1,487,418

Russian Federation:

4.875% 9/16/23 (h)

1,135,000

1,123,650

5% 4/29/20 (h)

625,000

642,188

5.625% 4/4/42 (h)

400,000

385,664

5.875% 9/16/43 (h)

1,700,000

1,687,590

7.5% 3/31/30 (Reg. S)

1,285,625

1,505,467

12.75% 6/24/28 (Reg. S)

4,805,000

7,603,913

South African Republic:

5.875% 9/16/25

2,235,000

2,536,233

6.25% 3/8/41

500,000

590,000

State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S)

1,175,000

1,128,323

Turkish Republic:

4.875% 4/16/43

640,000

610,003

5.125% 3/25/22

315,000

334,058

5.625% 3/30/21

815,000

889,369

6.25% 9/26/22

680,000

767,361

6.75% 4/3/18

1,075,000

1,190,025

6.75% 5/30/40

975,000

1,172,438

6.875% 3/17/36

1,795,000

2,164,465

7% 3/11/19

685,000

775,763

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (e)

Value

Turkish Republic: - continued

7.25% 3/5/38

$ 1,150,000

$ 1,451,875

7.375% 2/5/25

1,170,000

1,430,325

7.5% 11/7/19

1,215,000

1,415,232

8% 2/14/34

570,000

762,375

11.875% 1/15/30

630,000

1,089,900

Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h)

915,000

407,175

Ukraine Government:

7.8% 11/28/22 (h)

1,870,000

874,225

7.95% 2/23/21 (h)

400,000

189,400

9.25% 7/24/17 (h)

1,945,000

926,793

United Kingdom, Great Britain and Northern Ireland:

1.25% 7/22/18

GBP

465,000

718,436

1.75% 1/22/17

GBP

1,380,000

2,152,435

3.25% 1/22/44

GBP

1,680,000

2,945,001

4.5% 9/7/34

GBP

1,835,000

3,721,835

United Mexican States:

4.6% 1/23/46

695,000

683,706

4.75% 3/8/44

13,662,000

13,767,881

6.05% 1/11/40

1,206,000

1,435,140

6.75% 9/27/34

800,000

1,050,000

7.5% 4/8/33

360,000

505,800

8.3% 8/15/31

420,000

636,300

United Republic of Tanzania 6.3971% 3/9/20 (m)

655,000

671,375

Uruguay Republic 7.875% 1/15/33 pay-in-kind

1,460,000

2,036,700

Venezuelan Republic:

5.75% 2/26/16 (Reg S.)

8,630,000

7,244,885

9% 5/7/23 (Reg. S)

1,045,000

425,838

9.25% 9/15/27

1,250,000

555,625

9.25% 5/7/28 (Reg. S)

480,000

192,240

9.375% 1/13/34

365,000

146,548

11.75% 10/21/26 (Reg. S)

1,115,000

512,900

11.95% 8/5/31 (Reg. S)

3,855,000

1,761,735

12.75% 8/23/22

2,000,000

980,000

Vietnamese Socialist Republic:

1.2139% 3/12/16 (m)

256,522

254,598

Foreign Government and Government Agency Obligations - continued

 

Principal Amount (e)

Value

Vietnamese Socialist Republic: - continued

4% 3/12/28 (f)

$ 5,357,917

$ 5,331,127

4.8% 11/19/24 (h)

1,000,000

1,018,750

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $281,401,950)


288,904,195

Supranational Obligations - 0.0%

 

European Investment Bank 1.75% 9/15/45(Reg. S)
(Cost $83,155)

EUR

65,000


78,453

Common Stocks - 0.0%

Shares

 

CONSUMER DISCRETIONARY - 0.0%

Media - 0.0%

Tribune Media Co. Class A

21,200

1,123,600

MATERIALS - 0.0%

Chemicals - 0.0%

LyondellBasell Industries NV Class A

31,400

3,174,540

TELECOMMUNICATION SERVICES - 0.0%

Diversified Telecommunication Services - 0.0%

FairPoint Communications, Inc. (a)

19,400

391,492

Wireless Telecommunication Services - 0.0%

CUI Acquisition Corp. Class E,

1

134,408

TOTAL TELECOMMUNICATION SERVICES

525,900

TOTAL COMMON STOCKS

(Cost $5,728,585)


4,824,040

Preferred Stocks - 0.1%

Shares

Value

Convertible Preferred Stocks - 0.0%

FINANCIALS - 0.0%

Real Estate Investment Trusts - 0.0%

Alexandria Real Estate Equities, Inc. Series D, 7.00%

9,000

$ 262,406

FelCor Lodging Trust, Inc. Series A, 1.95%

18,000

463,500

 

725,906

Nonconvertible Preferred Stocks - 0.1%

FINANCIALS - 0.1%

Banks - 0.0%

Royal Bank of Scotland Group PLC Series S, 6.60%

3,113

78,074

Real Estate Investment Trusts - 0.1%

Alexandria Real Estate Equities, Inc. Series E, 6.45%

15,000

388,500

Annaly Capital Management, Inc.:

Series C, 7.625%

27,600

686,412

Series D, 7.50%

5,942

147,065

Boston Properties, Inc. 5.25%

17,500

429,100

CBL & Associates Properties, Inc.:

Series D, 7.375%

7,720

196,860

Series E, 6.625%

25,000

623,750

Cedar Shopping Centers, Inc. Series B, 7.25%

10,000

252,800

Corporate Office Properties Trust Series L, 7.375%

12,221

323,245

CYS Investments, Inc. Series B, 7.50%

21,700

514,507

DDR Corp. Series K, 6.25%

17,823

450,565

Digital Realty Trust, Inc. Series E, 7.00%

10,000

258,200

Equity Lifestyle Properties, Inc. Series C, 6.75%

18,367

487,093

Essex Property Trust, Inc. Series H, 7.125%

9,354

246,384

First Potomac Realty Trust 7.75%

15,000

381,900

Hersha Hospitality Trust Series B, 8.00%

13,844

363,543

Hospitality Properties Trust Series D, 7.125%

10,000

262,600

LaSalle Hotel Properties Series H, 7.50%

10,000

258,000

PS Business Parks, Inc.:

Series R, 6.875%

10,000

257,000

Series S, 6.45%

21,000

544,320

Public Storage:

Series P, 6.50%

12,000

308,160

Series R, 6.35%

10,500

271,950

Series S, 5.90%

20,000

511,200

Realty Income Corp. Series F, 6.625%

12,000

315,000

Regency Centers Corp. Series 6, 6.625%

5,510

142,268

Retail Properties America, Inc. 7.00%

24,109

617,190

Sabra Health Care REIT, Inc. Series A, 7.125%

18,495

477,171

Preferred Stocks - continued

Shares

Value

Nonconvertible Preferred Stocks - continued

FINANCIALS - continued

Real Estate Investment Trusts - continued

Stag Industrial, Inc. Series A, 9.00%

20,000

$ 546,000

Sun Communities, Inc. Series A, 7.125%

29,801

789,727

Taubman Centers, Inc. Series J, 6.50%

11,338

296,489

 

11,346,999

TOTAL FINANCIALS

11,425,073

TOTAL PREFERRED STOCKS

(Cost $11,711,852)


12,150,979

Bank Loan Obligations - 5.4%

 

Principal Amount (e)

 

CONSUMER DISCRETIONARY - 1.8%

Auto Components - 0.0%

Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (m)

$ 1,494,236

1,489,567

North American Lifting Holdings, Inc.:

Tranche 1LN, term loan 5.5% 11/27/20 (m)

4,647,248

4,496,213

Tranche 2LN, term loan 10% 11/27/21 (m)

1,594,000

1,474,450

Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (m)

1,044,199

1,044,199

 

8,504,429

Automobiles - 0.0%

Chrysler Group LLC term loan 3.25% 12/31/18 (m)

1,862,297

1,862,297

Distributors - 0.0%

American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (m)

1,287,732

1,284,512

Diversified Consumer Services - 0.2%

Bright Horizons Family Solutions Tranche B 2LN, term loan 4.5038% 1/30/20 (m)

1,501,238

1,510,620

Bright Horizons Family Solutions, Inc. Tranche B, term loan 4% 1/30/20 (m)

1,090,212

1,088,849

Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (m)

5,296,725

5,283,483

Creative Artists Agency LLC Tranche B, term loan 5.5% 12/17/21 (m)

3,942,120

3,976,811

Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (m)

15,890,952

15,136,132

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - continued

Nord Anglia Education Tranche B, term loan 4.5% 3/31/21 (m)

$ 4,980,882

$ 4,987,108

The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (m)

2,841,602

2,852,258

Wash Multifamily Acquisition, Inc.:

Tranche B 1LN, term loan 4.25% 5/14/22 (m)

1,635,000

1,639,088

Tranche B 2LN, term loan 8% 5/14/23 (m)

360,000

364,500

William Morris Endeavor Entertainment, LLC. Tranche B 1LN, term loan 5.25% 5/6/21 (m)

747,118

743,382

 

37,582,231

Hotels, Restaurants & Leisure - 0.7%

24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (m)

3,533,175

3,391,848

Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (m)

11,135,285

11,207,664

Belmond Interfin Ltd. Tranche B, term loan 4% 3/21/21 (m)

2,279,244

2,273,546

Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (m)

2,866,216

2,867,420

Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (m)

7,046,162

6,781,931

Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (m)

17,159,638

15,443,675

CCM Merger, Inc. Tranche B, term loan 4.5% 8/8/21 (m)

2,533,072

2,545,738

CityCenter Holdings LLC Tranche B, term loan 4.25% 10/16/20 (m)

1,573,000

1,578,977

ClubCorp Club Operations, Inc. Tranche B, term loan 4.5% 7/24/20 (m)

3,764,000

3,773,410

Equinox Holdings, Inc.:

Tranche 2LN, term loan 9.75% 8/1/20 (m)

903,000

916,545

Tranche B 1LN, term loan 5% 2/1/20 (m)

4,629,339

4,652,486

ESH Hospitality, Inc. Tranche B, term loan 5% 6/24/19 (m)

1,285,062

1,309,157

Fantasy Springs Resort Casino term loan 12% 8/6/12 (d)(m)

1,874,000

1,480,460

Four Seasons Holdings, Inc.:

Tranche 2LN, term loan 6.25% 12/27/20 (m)

3,037,000

3,048,389

Tranche B 1LN, term loan 3.5% 6/27/20 (m)

5,144,942

5,144,942

Golden Nugget, Inc. Tranche B, term loan:

5.5% 11/21/19 (m)

5,260,727

5,313,335

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Golden Nugget, Inc. Tranche B, term loan: - continued

5.5% 11/21/19 (m)

$ 2,254,174

$ 2,276,716

Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (m)

7,504,762

7,523,524

La Quinta Intermediate Holdings LLC Tranche B LN, Tranche B, term loan 4% 4/14/21 (m)

5,811,032

5,825,559

Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (m)

3,709,263

3,720,539

Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (m)

567,813

567,813

MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (m)

1,928,069

1,928,069

Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 11/19/19 (m)

4,343,005

4,328,760

NCL Corp. Ltd. Tranche B, term loan 4% 11/19/21 (m)

558,600

564,186

Planet Fitness Holdings, LLC. Tranche B, term loan 4.75% 3/31/21 (m)

2,578,637

2,578,637

Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (m)

2,403,899

2,406,904

Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (m)

3,407,183

3,445,514

Ryman Hospitality Properties, Inc. Tranche B, term loan 3.75% 1/15/21 (m)

14,888

14,962

Scientific Games Corp.:

Tranche B 2LN, term loan 6% 10/1/21 (m)

14,093,678

14,147,233

Tranche B, term loan 6% 10/18/20 (m)

512,702

513,984

SMG Tranche B 1LN, term loan 4.5% 2/27/20 (m)

1,625,884

1,619,787

Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (m)

3,053,274

3,060,908

TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (m)

1,975,000

1,979,938

Town Sports International LLC Tranche B, term loan 4.5% 11/15/20 (m)

2,136,591

1,806,488

Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (m)

1,516,152

1,509,519

 

131,548,563

Household Durables - 0.0%

At Home Holding III, Inc. Tranche B 1LN, term loan 5/19/22 (r)

1,120,000

1,114,400

Wilsonart LLC Tranche B, term loan 4% 10/31/19 (m)

2,124,567

2,116,599

 

3,230,999

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Internet & Catalog Retail - 0.0%

Bass Pro Group LLC Tranche B, term loan 3.75% 11/20/19 (m)

$ 2,780,334

$ 2,780,334

Leisure Products - 0.0%

SRAM LLC. Tranche B, term loan 4.0307% 4/10/20 (m)

2,929,491

2,918,505

Media - 0.4%

Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (m)

3,000,000

3,007,500

Cengage Learning Acquisitions, Inc. Tranche 1LN, term loan 8.25% 3/31/20 (m)

4,211,365

4,211,365

Charter Communications Operating LLC:

Tranche E, term loan 3% 7/1/20 (m)

1,497,190

1,484,090

Tranche F, term loan 3% 1/3/21 (m)

6,785,014

6,759,570

Clear Channel Communications, Inc. Tranche D, term loan 6.9354% 1/30/19 (m)

14,695,000

13,831,669

CSC Holdings LLC Tranche B, term loan 2.6854% 4/17/20 (m)

1,308,953

1,302,408

Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (m)

6,488,406

5,304,272

Houghton Mifflin Harcourt Publishing Co. Tranche B, term loan 5/11/21 (r)

3,000,000

2,992,500

Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4.25% 5/22/18 (m)

1,332,520

1,330,854

ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (m)

1,501,238

1,506,867

Karman Buyer Corp.:

Tranche 1LN, term loan 4.25% 7/25/21 (m)

3,690,474

3,686,045

Tranche 2LN, term loan 7.5% 7/25/22 (m)

1,880,000

1,896,544

Liberty Cablevision of Puerto Rico:

Tranche 1LN, term loan 4.5% 1/7/22 (m)

491,000

491,614

Tranche A 1LN, term loan 1/7/22 (r)

1,129,000

1,133,939

McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 4.75% 3/22/19 (m)

1,957,045

1,971,723

McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (m)

1,858,295

1,866,435

Numericable LLC:

Tranche B 1LN, term loan 4.5% 5/8/20 (m)

5,823,951

5,853,071

Tranche B 2LN, term loan 4.5% 5/8/20 (m)

5,038,572

5,063,764

Proquest LLC Tranche B, term loan 5.25% 10/24/21 (m)

3,003,473

3,014,736

Regal Cinemas Corp. Tranche B, term loan 3.75% 4/1/22 (m)

1,000,000

1,005,000

Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (m)

10,912,366

10,926,007

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (m)

$ 2,584,211

$ 2,580,981

UPC Broadband Holding BV Tranche AH, term loan 3.25% 6/30/21 (m)

1,355,000

1,349,079

Virgin Media Investment Holdings Ltd. Tranche B, term loan 6/30/23 (r)

1,013,348

1,010,815

WideOpenWest Finance LLC Tranche B, term loan 4.5% 4/1/19 (m)

1,000,000

999,030

WMG Acquisition Corp. term loan 3.75% 7/1/20 (m)

1,484,233

1,467,535

Ziggo B.V.:

Tranche B 1LN, term loan 3.5% 1/15/22 (m)

1,391,000

1,387,523

Tranche B 2LN, term loan 3.5% 1/15/22 (m)

897,000

894,758

Tranche B 3LN, term loan 3.5% 1/15/22 (m)

1,475,000

1,471,313

 

89,801,007

Multiline Retail - 0.2%

Dollar Tree, Inc. Tranche B, term loan 4.25% 3/9/22 (m)

7,528,000

7,593,870

JC Penney Corp., Inc. Tranche B, term loan:

5% 6/20/19 (m)

3,301,185

3,288,970

6% 5/22/18 (m)

15,630,561

15,611,023

Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (m)

6,148,395

6,102,282

 

32,596,145

Specialty Retail - 0.2%

Academy Ltd. Tranche B, term loan 4.5% 8/3/18 (m)

3,726,445

3,735,761

Davids Bridal, Inc. Tranche B, term loan 5% 10/11/19 (m)

1,882,000

1,811,425

General Nutrition Centers, Inc. Tranche B, term loan 3.25% 3/4/19 (m)

1,877,411

1,853,944

J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (m)

4,033,814

3,670,770

Party City Holdings, Inc. Tranche B LN, term loan 4% 7/27/19 (m)

4,413,826

4,427,619

PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (m)

1,348,479

1,351,850

PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (m)

11,243,000

11,274,368

Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (m)

3,137,000

2,737,033

Staples, Inc. Tranche B, term loan 4/24/21 (r)

3,000,000

3,007,500

 

33,870,270

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

CONSUMER DISCRETIONARY - continued

Textiles, Apparel & Luxury Goods - 0.1%

Calceus Acquisition, Inc. Tranche B 1LN, term loan 5% 2/1/20 (m)

$ 1,478,476

$ 1,441,514

Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (m)

3,754,590

3,787,443

Polymer Group, Inc. Tranche B, term loan 5.25% 12/19/19 (m)

4,035,846

4,050,980

 

9,279,937

TOTAL CONSUMER DISCRETIONARY

355,259,229

CONSUMER STAPLES - 0.4%

Beverages - 0.0%

Blue Ribbon LLC:

Tranche 2LN, term loan 9.25% 11/13/22 (m)

1,332,000

1,341,990

Tranche B 1LN, term loan 5.75% 11/13/21 (m)

6,357,861

6,421,439

 

7,763,429

Food & Staples Retailing - 0.3%

Albertson's LLC:

Tranche B 2LN, term loan 5.375% 3/21/19 (m)

3,764,000

3,787,525

Tranche B 3LN, term loan 5% 8/25/19 (m)

1,723,000

1,729,375

Tranche B 4LN, term loan 5.5% 8/25/21 (m)

16,078,000

16,178,488

BJ's Wholesale Club, Inc.:

Tranche 2LN, term loan 8.5% 3/31/20 (m)

653,000

660,346

Tranche B 1LN, term loan 4.5% 9/26/19 (m)

5,978,864

5,993,811

CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (m)

1,482,238

1,460,004

GOBP Holdings, Inc.:

Tranche 2LN, term loan 9.25% 10/21/22 (m)

1,129,000

1,129,000

Tranche B 1LN, term loan 4.75% 10/21/21 (m)

3,437,415

3,443,396

Performance Food Group, Inc. Tranche 2LN, term loan 6.25% 11/14/19 (m)

6,712,919

6,759,909

Shearer's Foods, Inc.:

Tranche 2LN, term loan 7.75% 6/30/22 (m)

2,913,000

2,883,870

Tranche B 1LN, term loan 4.5% 6/30/21 (m)

3,409,434

3,413,695

Smart & Final, Inc. Tranche B, term loan 4.75% 11/15/19 (m)

2,378,000

2,379,974

SUPERVALU, Inc. Tranche B, term loan 4.5% 3/21/19 (m)

1,127,082

1,131,309

 

50,950,702

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

CONSUMER STAPLES - continued

Food Products - 0.1%

AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (m)

$ 1,481,000

$ 1,492,108

Ferrara Candy Co., Inc. Tranche B, term loan 7.5% 6/18/18 (m)

2,124,550

2,127,206

H.J. Heinz Co. Tranche B 2LN, term loan 3.25% 6/7/20 (m)

8,919,000

8,930,149

Post Holdings, Inc.:

Tranche B, term loan 3.75% 6/2/21 (m)

1,440,000

1,436,400

Tranche B, term loan 3.75% 6/2/21 (m)

586,523

585,056

 

14,570,919

Household Products - 0.0%

Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (m)

2,429,444

2,374,782

Personal Products - 0.0%

Prestige Brands, Inc. Tranche B 3LN, term loan 3.5% 9/3/21 (m)

290,556

291,282

Revlon Consumer Products Corp. term loan 4% 8/19/19 (m)

2,659,451

2,659,451

 

2,950,733

TOTAL CONSUMER STAPLES

78,610,565

ENERGY - 0.5%

Energy Equipment & Services - 0.1%

Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (m)

8,960,935

7,437,576

Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (m)

4,116,631

3,715,259

Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (m)

6,574,797

5,777,603

Floatel International Ltd. Tranche B, term loan 6% 6/27/20 (m)

2,334,106

1,878,955

Offshore Group Investment Ltd. Tranche B, term loan 5% 10/25/17 (m)

1,555,682

1,283,437

Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (m)

2,117,612

1,821,146

Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (m)

1,117,172

917,477

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

ENERGY - continued

Energy Equipment & Services - continued

Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (m)

$ 417,737

$ 382,230

Vantage Drilling Co. Tranche B, term loan 5.75% 3/28/19 (m)

4,687,043

3,304,366

 

26,518,049

Oil, Gas & Consumable Fuels - 0.4%

Alfred Fueling Systems, Inc.:

Tranche 2LN, term loan 8.5% 6/20/22 (m)

376,000

368,480

Tranche B 1LN, term loan 4.75% 6/20/21 (m)

1,867,296

1,871,965

Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (m)

1,472,235

1,466,714

Alpha Natural Resources, Inc. Tranche B, term loan 3.5% 5/22/20 (m)

309,211

208,718

Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (m)

4,612,000

4,404,460

Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (m)

2,459,669

2,495,027

Citgo Petroleum Corp. Tranche B, term loan 4.5% 7/29/21 (m)

534,657

536,327

Crestwood Holdings Partners LLC Tranche B, term loan 7% 6/19/19 (m)

3,040,322

3,017,520

Energy Transfer Equity LP Tranche C, term loan 4% 12/2/19 (m)

1,937,824

1,942,668

Fieldwood Energy, LLC:

Tranche 2LN, term loan 8.375% 9/30/20 (m)

8,634,000

7,036,710

Tranche B 1LN, term loan 3.875% 9/30/18 (m)

1,838,337

1,778,591

Foresight Energy LLC Tranche B, term loan 5% 8/23/20 (m)

1,105,000

1,093,950

Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (m)

5,871,248

5,724,467

Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (m)

9,096,000

9,084,630

Overseas Shipholding Group, Inc. Tranche B, term loan 5.25% 8/5/19 (m)

522,683

523,990

Panda Sherman Power, LLC term loan 9% 9/14/18 (m)

3,776,514

3,738,749

Panda Temple Power, LLC term loan 7.25% 4/3/19 (m)

1,020,000

979,200

Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (m)

8,665,756

7,701,690

Penn Products Terminals LLC Tranche B, term loan 4.75% 4/13/22 (m)

1,295,000

1,304,713

Sheridan Investment Partners I term loan 4.25% 12/16/20 (m)

3,004,343

2,748,974

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Sheridan Investment Partners I, LLC:

Tranche B 2LN, term loan 4.25% 10/1/19 (m)

$ 3,477,061

$ 3,216,282

Tranche B, term loan 4.25% 10/1/18 (m)

727,481

672,920

Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (m)

155,414

142,204

Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (m)

1,721,663

1,715,207

Targa Resources Corp. term loan 5.75% 2/27/22 (m)

2,224,149

2,243,721

TPF II Power, LLC Tranche B, term loan 5.5% 10/2/21 (m)

2,321,183

2,356,000

Western Refining, Inc. Tranche B, term loan 4.25% 11/12/20 (m)

839,874

841,973

 

69,215,850

TOTAL ENERGY

95,733,899

FINANCIALS - 0.2%

Capital Markets - 0.0%

Aruba Investments, Inc. Tranche B, term loan 5.25% 2/2/22 (m)

1,882,000

1,891,410

HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (m)

933,748

929,079

IBC Capital U.S. LLC:

Tranche 2LN, term loan 8% 11/15/22 (m)

2,505,000

2,505,000

Tranche B 1LN, term loan 4.75% 11/15/21 (m)

1,994,000

1,996,493

 

7,321,982

Consumer Finance - 0.0%

Flying Fortress Holdings LLC Tranche B, term loan 3.5% 4/30/20 (m)

2,000,000

2,002,600

Diversified Financial Services - 0.1%

Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (m)

1,618,000

1,621,034

Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (m)

901,707

874,656

TransUnion LLC:

Tranche B 2LN, term loan 4/9/21 (r)

8,025,000

7,994,906

Tranche B, term loan 4% 4/9/21 (m)

4,280,685

4,272,659

 

14,763,255

Real Estate Management & Development - 0.1%

CityCenter 8.74% 7/10/15 (m)

331,828

331,828

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Real Estate Management & Development - continued

DTZ U.S. Borrower LLC:

Tranche 2LN, term loan 9.25% 11/4/22 (m)

$ 1,882,000

$ 1,882,000

Tranche B 1LN, term loan 5.5% 11/4/21 (m)

3,754,590

3,792,136

Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (m)

16,957

16,788

Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (m)

8,740,774

8,740,774

 

14,763,526

Thrifts & Mortgage Finance - 0.0%

Ocwen Loan Servicing, LLC Tranche B, term loan 5% 2/15/18 (m)

4,291,891

4,259,702

TOTAL FINANCIALS

43,111,065

HEALTH CARE - 0.4%

Health Care Equipment & Supplies - 0.0%

DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (m)

1,150,000

1,151,794

Health Care Providers & Services - 0.2%

AmSurg Corp. Tranche B, term loan 3.75% 7/16/21 (m)

2,432,696

2,441,819

Community Health Systems, Inc.:

Tranche F, term loan 3.5333% 12/31/18 (m)

1,000,000

1,001,250

Tranche G, term loan 3.75% 12/31/19 (m)

1,980,760

1,980,760

Tranche H, term loan 4% 1/27/21 (m)

7,019,240

7,036,788

Concentra, Inc. Tranche B 1LN, term loan 5/8/22 (r)

1,000,000

1,001,250

Dialysis Newco, Inc.:

Tranche 2LN, term loan 7.75% 10/22/21 (m)

1,882,000

1,891,410

Tranche B 1LN, term loan 4.5% 4/23/21 (m)

4,115,633

4,125,922

Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (m)

1,892,083

1,896,813

Genesis HealthCare Corp. Tranche B, term loan 10% 12/4/17 (m)

2,152,000

2,178,900

HCA Holdings, Inc.:

Tranche B 4LN, term loan 3.0254% 5/1/18 (m)

2,627,332

2,630,747

Tranche B 5LN, term loan 2.9354% 3/31/17 (m)

4,342,977

4,342,977

HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (m)

5,564,509

5,355,840

Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (m)

2,573,518

2,579,951

Millennium Labs, LLC Tranche B, term loan 5.25% 4/16/21 (m)

903,724

614,532

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

MPH Acquisition Holdings LLC Tranche B, term loan 3.75% 3/31/21 (m)

$ 3,908,571

$ 3,903,686

Quintiles Transnational Corp. Tranche B, term loan 3.25% 5/12/22 (m)

590,000

592,213

Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (m)

228,428

228,999

U.S. Renal Care, Inc.:

Tranche 2LN, term loan 8.5% 1/3/20 (m)

540,000

546,075

Tranche B 2LN, term loan 4.25% 7/3/19 (m)

1,642,830

1,642,830

 

45,992,762

Life Sciences Tools & Services - 0.0%

Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (m)

7,118,070

7,082,480

Pharmaceuticals - 0.2%

Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (m)

1,470,000

1,473,675

Concordia Healthcare Corp. Tranche B, term loan 4.75% 4/21/22 (m)

730,000

735,475

Endo Luxembourg Finance I Comp Tranche B, term loan 3.25% 2/28/21 (m)

1,785,308

1,787,540

Genoa, a Qol Healthcare Co. LLC:

Tranche 1LN, term loan 5.75% 4/30/22 (m)

1,510,000

1,511,888

Tranche 2LN, term loan 10% 4/30/23 (m)

1,000,000

1,000,000

Grifols, S.A. Tranche B, term loan 3.1854% 2/27/21 (m)

1,490,237

1,493,962

Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (m)

1,815,000

1,824,075

Pharmedium Healthcare Corp.:

Tranche 2LN, term loan 7.75% 1/28/22 (m)

2,625,000

2,618,438

Tranche B 1LN, term loan 4.25% 1/28/21 (m)

8,566,580

8,545,164

PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (m)

3,950,016

3,954,954

Valeant Pharmaceuticals International:

Tranche BD 2LN, term loan 3.5% 2/13/19 (m)

1,882,000

1,879,648

Tranche E, term loan 3.5% 8/5/20 (m)

1,882,000

1,881,699

 

28,706,518

TOTAL HEALTH CARE

82,933,554

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

INDUSTRIALS - 0.5%

Aerospace & Defense - 0.1%

BE Aerospace, Inc. Tranche B, term loan 4% 12/16/21 (m)

$ 1,309,590

$ 1,324,323

DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (m)

510,697

511,336

Doncasters PLC Tranche B 2LN, term loan 9.5% 10/9/20 (m)

443,000

439,678

Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (m)

2,022,909

2,033,024

TransDigm, Inc.:

Tranche C, term loan 3.75% 2/28/20 (m)

3,676,264

3,671,669

Tranche D, term loan 3.75% 6/4/21 (m)

6,088,613

6,081,003

 

14,061,033

Airlines - 0.0%

American Airlines, Inc. Tranche B, term loan 3.75% 10/10/21 (m)

1,985,000

1,989,963

U.S. Airways, Inc. Tranche B 1LN, term loan 3.5% 5/23/19 (m)

1,567,010

1,565,051

 

3,555,014

Building Products - 0.1%

GYP Holdings III Corp.:

Tranche 1LN, term loan 4.75% 4/1/21 (m)

7,031,438

6,820,495

Tranche 2LN, term loan 7.75% 4/1/22 (m)

1,260,000

1,193,850

Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (m)

874,791

874,791

 

8,889,136

Commercial Services & Supplies - 0.1%

ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (m)

3,671,529

3,657,761

ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (m)

1,497,219

1,497,219

Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (m)

4,497,563

4,503,184

Garda World Security Corp.:

term loan 4% 11/8/20 (m)

1,989,767

1,984,793

Tranche DD, term loan 4% 11/8/20 (m)

509,010

507,738

Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (m)

7,279,807

7,161,510

Merrill Communications LLC Tranche B, term loan 5/29/22 (r)

2,145,000

2,134,275

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Metal Services LLC Tranche B, term loan 6% 6/30/17 (m)

$ 1,114,179

$ 1,118,357

Redtop Acquisitions Ltd. Tranche 2LN, term loan 8.25% 6/3/21 (m)

614,444

616,749

The Brickman Group, Ltd.:

Tranche 2LN, term loan 7.5% 12/18/21 (m)

560,000

562,800

Tranche B 1LN, term loan 4% 12/18/20 (m)

4,432,806

4,427,265

WTG Holdings III Corp. Tranche B 1LN, term loan 4.75% 1/15/21 (m)

556,591

553,808

 

28,725,459

Construction & Engineering - 0.1%

Drumm Investors LLC Tranche B, term loan 6.75% 5/4/18 (m)

9,286,480

9,367,737

Ls Deco LLC Tranche B, term loan 5.5% 5/21/22 (m)

3,250,000

3,274,375

 

12,642,112

Electrical Equipment - 0.0%

Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (m)

1,427,226

1,432,578

Machinery - 0.1%

Doosan Infracore, Inc. Tranche B, term loan 4.5% 5/28/21 (m)

2,667,716

2,674,385

Generac Power Systems, Inc. Tranche B, term loan 3.25% 5/31/20 (m)

1,216,082

1,213,041

Husky Injection Molding Systems Ltd. Tranche 2LN, term loan 7.25% 6/30/22 (m)

709,285

703,966

Mueller Water Products, Inc. Tranche B, term loan 4% 11/25/21 (m)

1,524,180

1,531,801

Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 3.25% 3/13/22 (m)

2,981,000

2,992,179

Rexnord LLC Tranche B, term loan 4% 8/21/20 (m)

3,458,534

3,458,534

The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21 (m)

1,123,178

1,118,966

 

13,692,872

Marine - 0.0%

American Commercial Lines, Inc. Tranche B, term loan 7.5% 9/22/19 (m)

2,211,359

2,211,359

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

INDUSTRIALS - continued

Marine - continued

Harvey Gulf International Tranche B, term loan 5.5% 6/18/20 (m)

$ 1,100,208

$ 921,424

Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (m)

2,036,582

2,041,673

 

5,174,456

Professional Services - 0.0%

AlixPartners LLP Tranche 2LN, term loan 9% 7/10/21 (m)

1,317,000

1,326,878

Research Now Group, Inc.:

Tranche 2LN, term loan 9.75% 3/18/22 (m)

285,000

284,288

Tranche B 1LN, term loan 5.5% 3/18/21 (m)

875,000

879,375

Science Applications International Corp. Tranche B, term loan 3.75% 5/4/22 (m)

2,000,000

2,010,000

 

4,500,541

Road & Rail - 0.0%

Coyote Logistics LLC Tranche B 1LN, term loan 6.25% 3/26/22 (m)

2,500,000

2,528,125

Hertz Corp. Tranche B 2LN, term loan 3.5% 3/11/18 (m)

1,126,127

1,121,904

YRC Worldwide, Inc. Tranche B, term loan 8.25% 2/13/19 (m)

2,229,356

2,201,489

 

5,851,518

Trading Companies & Distributors - 0.0%

Fly Funding II Sarl Tranche B, term loan 3.5% 8/9/19 (m)

2,375,893

2,381,833

Interline Brands, Inc. Tranche B, term loan 4% 3/17/21 (m)

1,206,952

1,202,426

 

3,584,259

TOTAL INDUSTRIALS

102,108,978

INFORMATION TECHNOLOGY - 0.5%

Communications Equipment - 0.0%

Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (m)

1,757,361

1,761,754

Mitel U.S. Holdings, Inc. Tranche B, term loan 5% 4/29/22 (m)

1,785,000

1,798,388

Riverbed Technology, Inc. Tranche B, term loan 6% 4/24/22 (m)

1,000,000

1,011,250

 

4,571,392

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - 0.1%

Carros U.S., LLC Tranche B, term loan 4.5% 9/30/21 (m)

$ 662,336

$ 664,820

Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (m)

4,968,305

4,943,464

TTM Technologies, Inc. Tranche B 1LN, term loan 5/7/21 (r)

3,580,000

3,548,675

 

9,156,959

Internet Software & Services - 0.0%

Datapipe, Inc. Tranche B 1LN, term loan 5.25% 3/15/19 (m)

4,095,224

4,095,224

TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (m)

948,671

951,043

TELX, Inc. Tranche B 1LN, term loan 4.5% 4/9/20 (m)

750,111

750,733

 

5,797,000

IT Services - 0.1%

Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (m)

1,486,275

1,486,275

Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (m)

1,872,225

1,867,545

First Data Corp. term loan 3.6848% 3/24/17 (m)

7,113,000

7,104,109

G.I. Peak Merger Sub Corp.:

Tranche 2LN, term loan 8.25% 6/17/22 (m)

515,000

499,550

Tranche B 1LN, term loan 5% 6/17/21 (m)

1,167,060

1,167,060

Presidio, Inc. Tranche B, term loan 5.25% 2/2/22 (m)

1,442,292

1,442,292

Vantiv LLC Tranche B, term loan 3.75% 6/13/21 (m)

877,418

879,612

WP Mustang Holdings, LLC.:

Tranche 2LN, term loan 8.5% 5/29/22 (m)

752,000

746,360

Tranche B 1LN, term loan 5.5% 5/29/21 (m)

882,776

883,880

 

16,076,683

Semiconductors & Semiconductor Equipment - 0.0%

Avago Technologies, Inc. Tranche B, term loan 3.75% 5/6/21 (m)

1,598,898

1,602,895

Freescale Semiconductor, Inc. Tranche B 4LN, term loan 4.25% 3/1/20 (m)

2,679,785

2,686,485

NXP BV Tranche D, term loan 3.25% 1/11/20 (m)

1,872,248

1,867,567

 

6,156,947

Software - 0.2%

Activision Blizzard, Inc. Tranche B, term loan 3.25% 10/11/20 (m)

1,109,000

1,115,987

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Applied Systems, Inc.:

Tranche B 1LN, term loan 4.2653% 1/23/21 (m)

$ 456,843

$ 456,843

Tranche B 2LN, term loan 7.5% 1/23/22 (m)

116,000

116,580

Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (m)

2,135,000

2,137,669

BMC Software Finance, Inc. Tranche B, term loan:

5% 9/10/20 (m)

673,295

653,097

5% 9/10/20 (m)

9,714,510

9,532,363

Epicor Software Corp. Tranche B, term loan 5/21/22 (r)

3,000,000

3,002,820

Kronos, Inc.:

Tranche 2LN, term loan 9.75% 4/30/20 (m)

12,974,594

13,428,705

Tranche B 1LN, term loan 4.5% 10/30/19 (m)

3,680,000

3,693,800

Renaissance Learning, Inc.:

Tranche 1LN, term loan 4.5% 4/9/21 (m)

3,735,567

3,688,872

Tranche 2LN, term loan 8% 4/9/22 (m)

1,693,000

1,659,140

Shaw Data Centre LP Tranche B, term loan 4.5% 3/30/22 (m)

1,875,000

1,879,688

Transfirst, Inc.:

Tranche 2LN, term loan 9% 11/12/22 (m)

771,000

771,000

Tranche B 1LN, term loan 5.5% 11/12/21 (m)

696,255

697,996

 

42,834,560

Technology Hardware, Storage & Peripherals - 0.1%

Dell International LLC Tranche B, term loan 4.5% 4/29/20 (m)

16,306,760

16,306,760

Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (m)

2,575,480

2,581,919

 

18,888,679

TOTAL INFORMATION TECHNOLOGY

103,482,220

MATERIALS - 0.5%

Chemicals - 0.1%

A. Schulman, Inc. Tranche B, term loan 5/11/22 (r)

1,775,000

1,779,438

American Rock Salt Co. LLC:

Tranche 2LN, term loan 8% 5/20/22 (m)

182,000

185,413

Tranche B 1LN, term loan 4.75% 5/20/21 (m)

1,120,178

1,122,979

Arizona Chem U.S., Inc.:

Tranche 2LN, term loan 7.5% 6/12/22 (m)

781,000

778,071

Tranche B 1LN, term loan 4.5% 6/12/21 (m)

637,513

637,513

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

MATERIALS - continued

Chemicals - continued

Chromaflo Technologies Corp.:

Tranche 2LN, term loan 8.25% 6/2/20 (m)

$ 751,971

$ 733,172

Tranche B 1LN, term loan 4.5% 12/2/19 (m)

1,486,237

1,480,664

Eco Services Operations LLC Tranche B, term loan 4.75% 12/1/21 (m)

2,216,445

2,213,674

Hilex Poly Co. LLC:

Tranche 2LN, term loan 9.75% 6/5/22 (m)

1,129,000

1,136,056

Tranche B 1LN, term loan 6% 12/5/21 (m)

4,118,678

4,170,161

MacDermid, Inc. Tranche B 2LN, term loan 4.75% 6/7/20 (m)

1,116,003

1,121,583

Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (m)

4,114,688

4,160,978

The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (m)

2,410,000

2,410,000

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (m)

1,620,000

1,624,050

U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (m)

1,516,961

1,516,961

 

25,070,713

Construction Materials - 0.0%

Headwaters, Inc. Tranche B, term loan 4.5% 3/24/22 (m)

1,440,000

1,449,000

Containers & Packaging - 0.2%

Anchor Glass Container Corp. Tranche B, term loan 4.2897% 6/30/21 (m)

539,000

540,348

Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (m)

4,766,962

4,766,962

Berlin Packaging, LLC:

Tranche 2LN, term loan 7.75% 10/1/22 (m)

1,129,000

1,140,290

Tranche B 1LN, term loan 4.5% 10/1/21 (m)

5,623,870

5,623,870

Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (m)

3,552,000

3,555,552

BWAY Holding Co. Tranche B, term loan 5.5% 8/14/20 (m)

2,180,987

2,191,892

Charter NEX U.S. Holdings, Inc.:

Tranche 2LN, term loan 9.25% 2/5/23 (m)

752,000

759,520

Tranche B 1LN, term loan 5.25% 2/5/22 (m)

1,882,000

1,891,410

Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (m)

2,525,524

2,506,583

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

MATERIALS - continued

Containers & Packaging - continued

Klockner Pentaplast of America Tranche B 1LN, term loan 5% 4/28/20 (m)

$ 1,535,000

$ 1,539,145

Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.5% 12/1/18 (m)

9,135,595

9,169,854

Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (m)

2,881,278

2,881,278

Tricorbraun, Inc. Tranche B, term loan 4% 5/3/18 (m)

732,664

729,001

 

37,295,705

Metals & Mining - 0.2%

Ameriforge Group, Inc.:

Tranche B 1LN, term loan 5% 12/19/19 (m)

2,621,380

2,231,450

Tranche B 2LN, term loan 8.75% 12/19/20 (m)

1,296,000

1,092,956

Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (m)

1,619,232

1,615,184

Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (m)

3,605,940

3,299,435

Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (m)

18,915,597

17,165,904

JMC Steel Group, Inc. term loan 4.75% 4/1/17 (m)

1,704,441

1,692,732

MRC Global, Inc. Tranche B, term loan 5.5757% 11/9/19 (m)

785,008

782,103

Murray Energy Corp.:

Tranche B 1LN, term loan 7% 4/16/17 (m)

780,000

789,263

Tranche B 2LN, term loan 7.5% 4/16/20 (m)

5,495,000

5,340,453

Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (m)

752,000

710,640

Walter Energy, Inc. Tranche B, term loan 7.25% 4/1/18 (m)

4,707,000

2,494,710

 

37,214,830

TOTAL MATERIALS

101,030,248

TELECOMMUNICATION SERVICES - 0.3%

Diversified Telecommunication Services - 0.2%

Altice Financing SA:

Tranche B 2LN, term loan 5.25% 1/30/22 (m)

2,634,000

2,650,463

Tranche B, term loan 5.5% 6/24/19 (m)

13,026,023

13,188,848

FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (m)

6,824,590

6,875,775

Fibertech Networks, LLC Tranche B 1LN, term loan 4% 12/18/19 (m)

3,626,300

3,619,519

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/8/20 (m)

$ 3,000,000

$ 2,981,250

Level 3 Financing, Inc.:

Tranche B 2LN, term loan 3.5% 5/31/22 (m)

3,764,000

3,750,073

Tranche B 3LN, term loan 4% 8/1/19 (m)

2,742,000

2,742,000

Tranche B 4LN, term loan 4% 1/15/20 (m)

3,011,000

3,011,000

LTS Buyer LLC:

Tranche 2LN, term loan 8% 4/12/21 (m)

163,000

163,000

Tranche B 1LN, term loan 4% 4/11/20 (m)

2,535,548

2,535,548

Securus Technologies Holdings, Inc.:

Tranche 2LN, term loan 9% 4/30/21 (m)

3,724,000

3,575,040

Tranche B 1LN, term loan 4.75% 4/30/20 (m)

2,831,814

2,785,797

Tranche B2 1LN, term loan 4/30/20 (r)

1,000,000

1,001,250

Virgin Media Finance PLC Tranche B, term loan 3.5% 6/7/20 (m)

1,013,348

1,015,248

 

49,894,811

Wireless Telecommunication Services - 0.1%

Crown Castle Operating Co. Tranche B 2LN, term loan 3% 1/31/21 (m)

1,505,189

1,501,712

Digicel International Finance Ltd.:

Tranche D 1LN, term loan 3.8125% 3/31/17 (m)

1,382,317

1,299,378

Tranche D-2, term loan 3.7754% 3/31/19 (m)

5,012,683

4,711,922

Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (m)

4,150,000

4,139,625

Syniverse Holdings, Inc. Tranche B, term loan 4% 4/23/19 (m)

1,882,000

1,792,605

 

13,445,242

TOTAL TELECOMMUNICATION SERVICES

63,340,053

UTILITIES - 0.3%

Electric Utilities - 0.2%

Alinta Energy Finance Pty. Ltd. Tranche B, term loan:

2.3744% 8/13/18 (m)(s)

161,896

163,515

6.375% 8/13/19 (m)

2,450,764

2,475,272

Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (m)

3,019,270

2,985,303

Empire Generating Co. LLC:

Tranche B, term loan 5.25% 3/14/21 (m)

3,589,368

3,575,908

Tranche C, term loan 5.25% 3/14/21 (m)

263,000

262,014

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

UTILITIES - continued

Electric Utilities - continued

Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (m)

$ 7,059,458

$ 7,077,107

Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (m)

7,397,171

7,415,664

Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (m)

3,042,000

3,076,223

InterGen NV Tranche B, term loan 5.5% 6/13/20 (m)

4,407,345

4,242,070

La Frontera Generation, LLC Tranche B, term loan 4.5% 9/30/20 (m)

1,090,153

1,091,571

Longview Power LLC Tranche B, term loan 7% 4/13/21 (m)

2,000,000

2,017,500

Southeast Powergen LLC Tranche B, term loan 4.5% 12/2/21 (m)

555,608

561,858

Star West Generation LLC Tranche B, term loan 4.25% 3/13/20 (m)

2,006,000

2,011,015

TXU Energy LLC Tranche B, term loan:

4.6684% 10/10/17 (d)(m)

1,088,000

662,320

4.6684% 10/10/14 (d)(m)

452,000

274,025

USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (m)

591,495

589,277

 

38,480,642

Gas Utilities - 0.0%

EP Energy LLC term loan 4.5% 4/30/19 (m)

282,000

281,473

Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (m)

4,907,000

4,882,465

Southcross Holdings Borrower LP Tranche B, term loan 6% 8/4/21 (m)

2,649,327

2,576,470

Veresen Midstream LP Tranche B, term loan 5.25% 3/31/22 (m)

2,575,000

2,600,750

 

10,341,158

Independent Power and Renewable Electricity Producers - 0.1%

Calpine Corp.:

Tranche B 3LN, term loan 4% 10/9/19 (m)

2,522,532

2,528,838

Tranche B 4LN, term loan 4% 10/31/20 (m)

3,736,540

3,741,211

Tranche B 5LN, term loan 5/22/22 (r)

1,500,000

1,496,085

Dynegy, Inc. Tranche B 2LN, term loan 4% 4/23/20 (m)

695,231

697,838

Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (m)

2,653,000

2,671,239

ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (m)

466,891

473,311

Bank Loan Obligations - continued

 

Principal Amount (e)

Value

UTILITIES - continued

Independent Power and Renewable Electricity Producers - continued

Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (m)

$ 2,814,000

$ 2,736,615

Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (m)

2,909,708

2,949,716

 

17,294,853

TOTAL UTILITIES

66,116,653

TOTAL BANK LOAN OBLIGATIONS

(Cost $1,086,862,146)


1,091,726,464

Sovereign Loan Participations - 0.0%

 

Indonesian Republic loan participation:

Citibank 1.1875% 12/14/19 (m)

941,969

923,130

Goldman Sachs 1.1875% 12/14/19 (m)

807,292

791,146

Mizuho 1.1875% 12/14/19 (m)

378,525

370,954

TOTAL SOVEREIGN LOAN PARTICIPATIONS

(Cost $1,944,258)


2,085,230

Bank Notes - 0.1%

 

Discover Bank (Delaware) 3.2% 8/9/21
(Cost $23,189,249)

23,245,000


23,178,426

Preferred Securities - 0.6%

 

CONSUMER DISCRETIONARY - 0.0%

Automobiles - 0.0%

Volkswagen International Finance NV 2.5% (Reg. S) (i)(m)

EUR

2,150,000

2,361,482

Media - 0.0%

Globo Comunicacao e Participacoes SA 6.25% (f)(h)(i)

3,130,000

3,164,560

TOTAL CONSUMER DISCRETIONARY

5,526,042

Preferred Securities - continued

 

Principal Amount (e)

Value

CONSUMER STAPLES - 0.0%

Food Products - 0.0%

Cosan Overseas Ltd. 8.25% (i)

$ 1,225,000

$ 1,238,540

FINANCIALS - 0.5%

Banks - 0.4%

BAC Capital Trust XIV 4% (i)(m)

1,245,000

1,009,073

Banco Do Brasil SA 9% (h)(i)(m)

825,000

791,626

Bank of America Corp.:

6.1% (i)(m)

3,225,000

3,293,847

6.25% (i)(m)

1,660,000

1,715,935

Barclays Bank PLC 7.625% 11/21/22

20,775,000

24,198,288

Barclays PLC:

6.625% (i)(m)

2,745,000

2,761,237

8.25% (i)(m)

5,470,000

5,943,469

Citigroup, Inc.:

5.875% (i)(m)

4,305,000

4,414,406

6.3% (i)(m)

7,100,000

7,147,288

Credit Agricole SA:

6.625% (h)(i)(m)

11,970,000

12,150,770

6.625% 12/31/49 (Reg. S) (m)

2,850,000

2,893,040

JPMorgan Chase & Co.:

5.3% (i)(m)

3,245,000

3,271,971

6% (i)(m)

1,955,000

2,032,984

6.75% (i)(m)

10,085,000

11,218,309

KBC Groep NV 5.625% (Reg. S) (i)(m)

EUR

2,850,000

3,167,824

Wells Fargo & Co. 5.875% (i)(m)

2,000,000

2,144,310

 

88,154,377

Capital Markets - 0.1%

Deutsche Bank AG 7.5% (i)(m)

5,600,000

5,720,822

Goldman Sachs Group, Inc. 5.375% (i)(m)

3,250,000

3,260,423

UBS Group AG:

7% (Reg. S) (i)(m)

2,850,000

3,030,438

7.125% (Reg. S) (i)(m)

2,900,000

3,095,492

 

15,107,175

Preferred Securities - continued

 

Principal Amount (e)

Value

FINANCIALS - continued

Diversified Financial Services - 0.0%

Magnesita Finance Ltd.:

8.625% (h)(i)

$ 650,000

$ 554,779

8.625% (Reg. S) (i)

200,000

170,701

 

725,480

TOTAL FINANCIALS

103,987,032

INDUSTRIALS - 0.0%

Construction & Engineering - 0.0%

Odebrecht Finance Ltd.:

7.5% (h)(i)

3,955,000

3,722,053

7.5% (Reg. S) (i)

100,000

94,110

 

3,816,163

MATERIALS - 0.0%

Metals & Mining - 0.0%

CSN Islands XII Corp. 7% (Reg. S) (i)

2,000,000

1,476,637

UTILITIES - 0.1%

Electric Utilities - 0.0%

EDF SA 5.625% (Reg. S) (i)(m)

2,700,000

2,877,177

Multi-Utilities - 0.1%

RWE AG 4.625% (i)(m)

EUR

4,600,000

5,242,704

TOTAL UTILITIES

8,119,881

TOTAL PREFERRED SECURITIES

(Cost $122,867,841)


124,164,295

Money Market Funds - 2.1%

Shares

 

Fidelity Cash Central Fund, 0.15% (b)
(Cost $430,626,799)

430,626,799


430,626,799

Cash Equivalents - 2.8%

Maturity
Amount (e)

Value

Investments in repurchase agreements in a joint trading account at 0.11%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) # (c)
(Cost $554,951,000)

$ 554,955,911

$ 554,951,000

Purchased Swaptions - 0.0%

Expiration
Date

Notional
Amount (e)

 

Put Options - 0.0%

Option on a credit default swap with Citibank N.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 23 Index expiring June 2020 exercise rate 3.00%
(Cost $72,573)

6/17/15

EUR

12,400,000


74,870

TOTAL INVESTMENT PORTFOLIO - 106.2%

(Cost $21,125,785,327)

21,465,098,115

NET OTHER ASSETS (LIABILITIES) - (6.2)%

(1,252,644,562)

NET ASSETS - 100%

$ 20,212,453,553

TBA Sale Commitments

 

Principal Amount (e)

 

Fannie Mae

2.5% 6/1/30

$ (12,300,000)

(12,567,141)

3% 6/1/45

(14,500,000)

(14,685,780)

3% 6/1/45

(41,200,000)

(41,727,871)

3% 6/1/45

(82,500,000)

(83,557,023)

3% 6/1/45

(40,650,000)

(41,170,824)

3% 6/1/45

(41,200,000)

(41,727,871)

3% 6/1/45

(82,500,000)

(83,557,023)

3% 6/1/45

(40,650,000)

(41,170,824)

3% 6/1/45

(9,900,000)

(10,026,843)

3% 6/1/45

(4,600,000)

(4,658,937)

3.5% 6/1/45

(23,000,000)

(24,020,623)

3.5% 6/1/45

(19,300,000)

(20,156,436)

3.5% 6/1/45

(2,900,000)

(3,028,687)

4.5% 6/1/45

(4,300,000)

(4,674,906)

TOTAL FANNIE MAE

(426,730,789)

TBA Sale Commitments - continued

 

Principal Amount (e)

Value

Ginnie Mae

3% 6/1/45

$ (23,000,000)

$ (23,534,242)

3.5% 6/1/45

(37,500,000)

(39,364,088)

TOTAL GINNIE MAE

(62,898,330)

TOTAL TBA SALE COMMITMENTS

(Proceeds $487,704,248)

$ (489,629,119)

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Bond Index Contracts

21 ASX 10 Year Treasury Bond Index Contracts (Australia)

June 2015

$ 2,063,113

$ (30,902)

91 Eurex Euro-Bobl Contracts (Germany)

June 2015

12,877,952

(39,858)

64 TME 10 Year Canadian Note Contracts (Canada)

Sept. 2015

7,251,206

88,871

2 TSE 10 Year Japanese Government Bond Index Contracts (Japan)

June 2015

2,378,923

12,438

TOTAL BOND INDEX CONTRACTS

$ 24,571,194

$ 30,549

Treasury Contracts

47 CBOT 10 Year U.S. Treasury Note Contracts (United States)

Sept. 2015

6,001,313

24,485

14 CBOT 2-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

3,064,031

3,910

13 CBOT 5-Year U.S. Treasury Note Contracts (United States)

Sept. 2015

1,556,445

8,309

16 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)

Sept. 2015

2,490,000

44,484

50 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)

Sept. 2015

8,014,063

205,783

TOTAL TREASURY CONTRACTS

$ 21,125,852

$ 286,971

TOTAL PURCHASED

$ 45,697,046

$ 317,520

Futures Contracts - continued

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Sold

Bond Index Contracts

27 Eurex Euro-Buxl 30 Year Bond Contracts (Germany)

June 2015

$ 4,804,557

$ 236,446

6 ICE Long Gilt Contracts (United Kingdom)

Sept. 2015

1,080,273

(8,451)

125 ICE Medium Gilt Contracts (United Kingdom)

Sept. 2015

21,193,177

(69,964)

TOTAL BOND INDEX CONTRACTS

$ 27,078,007

$ 158,031

 

$ 72,775,053

$ 475,551

 

The face value of futures purchased as a percentage of net assets is 0.2%

 

The face value of futures sold as a percentage of net assets is 0.1%

Foreign Currency Contracts

Settlement Date

Currency

Counterparty

Type

Quantity

Contract Amount (e)

Unrealized Appreciation/
(Depreciation)

6/1/15

CAD

Credit Suisse Intl.

Sell

105,000

$ 84,004

$ (429)

8/20/15

AUD

Morgan Stanley Cap. Group

Sell

160,000

127,490

5,696

8/20/15

CAD

Credit Suisse Intl.

Buy

105,000

83,904

424

8/20/15

CAD

Credit Suisse Intl.

Sell

261,000

216,385

6,769

8/20/15

EUR

Citibank, N.A.

Buy

129,000

140,830

1,011

8/20/15

EUR

JPMorgan Chase Bank, N.A.

Buy

568,000

623,623

920

8/20/15

EUR

Morgan Stanley Cap. Group

Sell

1,573,000

1,785,099

55,510

8/20/15

EUR

Morgan Stanley Cap. Group

Sell

70,104,000

79,556,648

2,473,900

8/20/15

GBP

Credit Suisse Intl.

Sell

1,622,000

2,497,620

20,013

8/20/15

GBP

Morgan Stanley Cap. Group

Sell

31,534,000

49,539,832

1,371,599

8/20/15

JPY

Morgan Stanley Cap. Group

Sell

17,300,000

144,581

5,052

$ 3,940,465

Quarterly Report

Swaps

Credit Default Swaps

Underlying Reference

Rating (1)

Expiration Date

Clearinghouse/
Counterparty

Fixed Payment Received/(Paid)

Notional
Amount(2)

Value (1)

Upfront Premium Received/(Paid)

Unrealized Appreciation/
(Depreciation)

Buy Protection

Carlsberg Breweries A/S

 

Jun. 2020

JPMorgan Chase Bank, N.A.

(1%)

EUR

2,600,000

$ (30,965)

$ 32,398

$ 1,433

Kering SA

 

Sep. 2018

Morgan Stanley Capital Group, Inc.

(1%)

EUR

3,500,000

(83,034)

8,810

(74,224)

Metro AG

 

Dec. 2019

Credit Suisse International

(1%)

EUR

3,850,000

(37,426)

(29,723)

(67,149)

Metro AG

 

Dec. 2019

JPMorgan Chase Bank, N.A.

(1%)

EUR

600,000

(5,833)

(1,798)

(7,631)

Valeo SA

 

Sep. 2018

Credit Suisse International

(1%)

EUR

3,500,000

(87,491)

(57,492)

(144,983)

TOTAL BUY PROTECTION

(244,749)

(47,805)

(292,554)

Sell Protection

Commerzbank AG

Ba2

Sep. 2019

Credit Suisse International

5%

EUR

1,850,000

356,766

(388,251)

(31,485)

TOTAL CREDIT DEFAULT SWAPS

$ 112,017

$ (436,056)

$ (324,039)

 

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

 

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

Swaps

Interest Rate Swaps

Clearinghouse/
Counterparty(1)

Expiration Date

Notional
Amount

Payment
Received

Payment
Paid

Value

Upfront Premium Received/(Paid)(2)

Unrealized Appreciation/
(Depreciation)

CME

Jun. 2020

$ 25,100,000

3-month LIBOR

2.25%

$ (277,251)

$ 0

$ (277,251)

CME

Jun. 2025

20,400,000

3-month LIBOR

2.75%

(167,386)

0

(167,386)

CME

Jun. 2045

8,400,000

3-month LIBOR

3.25%

20,606

0

20,606

LCH

Jun. 2020

34,900,000

3-month LIBOR

2.25%

(26,769)

0

(26,769)

TOTAL INTEREST RATE SWAPS

$ (450,800)

$ 0

$ (450,800)

 

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

 

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

Quarterly Report

Currency Abbreviations

CAD

-

Canadian dollar

EUR

-

European Monetary Unit

GBP

-

British pound

AUD

-

Australian dollar

JPY

-

Japanese yen

Legend

(a) Non-income producing

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

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

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

(e) Amount is stated in United States dollars unless otherwise noted.

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

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

(h) 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 $2,184,892,678 or 10.8% of net assets.

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

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

(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,055,753.

(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,859,335.

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

(n) 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.

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

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

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

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

(s) Position or a portion of the position represents an unfunded loan commitment. At period end, the total Principal Amount (e) and market value of unfunded commitments totaled $161,896 and $121,703, respectively.

(t) 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 $858,082.

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

Repurchase Agreement / Counterparty

Value

$554,951,000 due 6/01/15 at 0.11%

Bank of America NA

$ 17,362,189

Commerz Markets LLC

129,248,198

Merrill Lynch, Pierce, Fenner & Smith, Inc.

374,312,229

RBS Securities, Inc.

34,028,384

 

$ 554,951,000

Affiliated Central Funds

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

Fund

Income earned

Fidelity Cash Central Fund

$ 545,165

Fidelity Floating Rate Central Fund

17,540,122

Fidelity Mortgage Backed Securities Central Fund

4,263,089

Total

$ 22,348,376

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 Floating Rate Central Fund

$ 440,816,855

$ 589,842,295

$ 1,013,143,899

$ -

0.0%

Fidelity Mortgage Backed Securities Central Fund

2,130,357,633

-

2,121,313,209

-

0.0%

Total

$ 2,571,174,488

$ 589,842,295

$ 3,134,457,108

$ -

Other Information

The following is a summary of the inputs used, as of May 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 1,123,600

$ 1,123,600

$ -

$ -

Financials

12,150,979

11,888,573

262,406

-

Materials

3,174,540

3,174,540

-

-

Telecommuni-
cation Services

525,900

391,492

-

134,408

Corporate Bonds

8,672,403,978

-

8,672,391,883

12,095

U.S. Government and Government Agency Obligations

5,167,998,951

-

5,167,998,951

-

U.S. Government Agency - Mortgage Securities

2,801,147,763

-

2,801,147,763

-

Asset-Backed Securities

168,859,461

-

166,421,136

2,438,325

Collateralized Mortgage Obligations

476,703,461

-

476,702,242

1,219

Commercial Mortgage Securities

1,337,707,427

-

1,336,137,253

1,570,174

Municipal Securities

307,512,323

-

307,512,323

-

Foreign Government and Government Agency Obligations

288,904,195

-

287,296,397

1,607,798

Supranational Obligations

78,453

-

78,453

-

Bank Loan Obligations

1,091,726,464

-

1,079,228,207

12,498,257

Sovereign Loan Participations

2,085,230

-

-

2,085,230

Bank Notes

23,178,426

-

23,178,426

-

Preferred Securities

124,164,295

-

124,164,295

-

Money Market Funds

430,626,799

430,626,799

-

-

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Cash Equivalents

$ 554,951,000

$ -

$ 554,951,000

$ -

Purchased Swaptions

74,870

-

74,870

-

Total Investments in Securities:

$ 21,465,098,115

$ 447,205,004

$ 20,997,545,605

$ 20,347,506

Other Derivative Instruments:

Assets

Foreign Currency Contracts

$ 3,940,894

$ -

$ 3,940,894

$ -

Futures Contracts

624,726

624,726

-

-

Swaps

377,372

-

377,372

-

Total Assets

$ 4,942,992

$ 624,726

$ 4,318,266

$ -

Liabilities

Foreign Currency Contracts

$ (429)

$ -

$ (429)

$ -

Futures Contracts

(149,175)

(149,175)

-

-

Swaps

(716,155)

-

(716,155)

-

Total Liabilities:

$ (865,759)

$ (149,175)

$ (716,584)

$ -

Total Other
Derivative Instruments:

$ 4,077,233

$ 475,551

$ 3,601,682

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (489,629,119)

$ -

$ (489,629,119)

$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $21,161,448,276. Net unrealized appreciation aggregated $303,649,839, of which $473,022,708 related to appreciated investment securities and $169,372,869 related to depreciated investment securities.

Investment Valuation

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations 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. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

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

Credit Risk.

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

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Income Fund's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Income Fund

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

July 30, 2015

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

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

July 30, 2015

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

July 30, 2015