N-CSR 1 filing842.htm PRIMARY DOCUMENT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


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)


Marc Bryant, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

August 31

 

 

Date of reporting period:

August 31, 2017



Item 1.

Reports to Stockholders






Fidelity Advisor® Total Bond Fund -

Class A, Class M (formerly Class T), Class C, Class I and Class Z



Annual Report

August 31, 2017

Class A, Class M, Class C, Class I and Class Z are classes of Fidelity® Total Bond Fund



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-835-5095 (plan accounts) or 1-877-208-0098 (all other accounts) to request a free copy of the proxy voting guidelines.

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Class A (incl. 4.00% sales charge) (2.30)% 1.84% 4.39% 
Class M (incl. 4.00% sales charge) (2.31)% 1.82% 4.37% 
Class C (incl. contingent deferred sales charge) 0.00% 1.90% 4.05% 
Class I 2.02% 2.95% 5.09% 
Class Z 2.16% 3.02% 5.13% 

 Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively. 

 The initial offering of Class Z shares took place on December 22, 2014. Returns prior to December 22, 2014, are those of Class I. 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Total Bond Fund - Class A on August 31, 2007, and the current 4.00% sales charge was paid.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Aggregate Bond Index performed over the same period.


Period Ending Values
$15,361Fidelity Advisor® Total Bond Fund - Class A
$15,385Bloomberg Barclays U.S. Aggregate Bond Index

Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.

Management's Discussion of Fund Performance

Market Recap:  U.S. taxable investment-grade bonds rose slightly for the 12 months ending August 31, 2017, as yields increased markedly following the U.S. presidential election then moderated as the period progressed. The Bloomberg Barclays U.S. Aggregate Bond Index gained 0.49% for the year. Bond yields rose slightly early in the period, prior to the U.S. election, then surged in November and December, as many investors viewed then-President-elect Donald Trump’s economic agenda as stimulative and potentially inflationary. Yields also rode the Fed’s decision in December to raise policy interest rates. Longer-term bond yields declined slightly in the first half of 2017, even though the Fed raised rates in June 2017 for the third time in as many quarters, as it became clear that changes to tax, health care and fiscal policies would take time to develop and implement. Fairly cool inflation readings also held back yields late in the period. Within the Bloomberg Barclays index, investment-grade corporate bonds led all major market segments, up 2.13%, while U.S. Treasuries returned -0.95%. Securitized sectors advanced more modestly than corporates. Outside the index, riskier, non-core fixed-income segments led the broader market, while Treasury Inflation-Protected Securities (TIPS) rose 0.46%, according to Bloomberg Barclays.

Comments from Lead Portfolio Manager Ford O'Neil:  For the fiscal year, the fund’s share classes (excluding sales charges, if applicable) gained roughly 1% to 2%, outpacing, net of fees, the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. Versus the benchmark, an emphasis on bonds in credit-sensitive spread sectors provided the biggest boost, as they outpaced U.S. government bonds and agency mortgage-backed securities – more-conservative investments in which the fund was underweighted. Specifically, larger-than-benchmark exposure to high-yield bonds and, to a lesser extent, leveraged loans added value. The fund enjoyed good results from investing in sovereign-debt holdings from Mexico and Brazil. Holding 10- and 30-year TIPS (Treasury Inflation-Protected Securities) and certain taxable municipal bonds also contributed, as did a small overweighting in commercial mortgage-backed securities. A significant overweighting in investment-grade credit further helped, led by selections among financials. Conversely, detractors included underweightings in certain industrial segments, namely technology and basic industry.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Note to shareholders:  On September 30, 2017, Celso Munoz assumed Co-Manager responsibilities for the fund, joining Co-Managers Matthew Conti, Jeff Moore and Michael Foggin, and Lead Manager Ford O’Neil.

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of August 31, 2017 
   U.S. Government and U.S. Government Agency Obligations 54.2% 
   AAA 0.8% 
   AA 1.1% 
   A 5.3% 
   BBB 20.0% 
   BB and Below 15.0% 
   Not Rated 1.6% 
   Short-Term Investments and Net Other Assets 2.0% 


As of February 28, 2017 
   U.S. Government and U.S. Government Agency Obligations 49.3% 
   AAA 1.4% 
   AA 1.3% 
   A 5.4% 
   BBB 21.7% 
   BB and Below 17.8% 
   Not Rated 1.0% 
   Short-Term Investments and Net Other Assets 2.1% 


We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Securities rated BB or below were rated investment grade at the time of acquisition.

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Corporate Bonds 32.5% 
   U.S. Government and U.S. Government Agency Obligations 54.2% 
   Asset-Backed Securities 0.9% 
   CMOs and Other Mortgage Related Securities 2.4% 
   Municipal Bonds 1.4% 
   Other Investments 6.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.0% 


 * Foreign investments - 10.3%

 ** Futures and Swaps - 0.5%


As of February 28, 2017*,** 
   Corporate Bonds 35.5% 
   U.S. Government and U.S. Government Agency Obligations 49.3% 
   Asset-Backed Securities 0.7% 
   CMOs and Other Mortgage Related Securities 3.1% 
   Municipal Bonds 1.6% 
   Other Investments 7.7% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.1% 


 * Foreign investments - 11.4%

 ** Futures and Swaps - 0.0%


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

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

Investments August 31, 2017

Showing Percentage of Net Assets

Nonconvertible Bonds - 32.5%   
 Principal Amount(a) Value 
CONSUMER DISCRETIONARY - 3.3%   
Auto Components - 0.1%   
J.B. Poindexter & Co., Inc. 9% 4/1/22 (b) $3,045,000 $3,189,638 
Metalsa SA de CV 4.9% 4/24/23 (b) 4,955,000 4,992,163 
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) EUR2,100,000 2,437,446 
Tenedora Nemak SA de CV 5.5% 2/28/23 (b) 3,010,000 3,085,250 
Tenneco, Inc. 5% 7/15/26 2,271,000 2,293,710 
Tupy Overseas SA 6.625% 7/17/24 (b) 530,000 553,797 
  16,552,004 
Automobiles - 0.6%   
General Motors Co.:   
3.5% 10/2/18 9,215,000 9,366,402 
5.2% 4/1/45 3,030,000 2,997,741 
General Motors Financial Co., Inc.:   
3.15% 1/15/20 27,252,000 27,807,663 
3.2% 7/13/20 20,200,000 20,626,856 
3.25% 5/15/18 4,810,000 4,857,956 
3.5% 7/10/19 10,761,000 11,024,740 
4% 1/15/25 18,085,000 18,319,883 
4.2% 3/1/21 26,269,000 27,660,321 
4.25% 5/15/23 5,420,000 5,649,677 
4.375% 9/25/21 47,963,000 50,858,547 
Volkswagen International Finance NV:   
1.125% 10/2/23 (Reg. S) EUR2,600,000 3,110,355 
2.7%(Reg. S) (c)(d) EUR3,200,000 3,761,822 
  186,041,963 
Diversified Consumer Services - 0.1%   
Ingersoll-Rand Global Holding Co. Ltd.:   
2.875% 1/15/19 1,206,000 1,221,882 
4.25% 6/15/23 8,466,000 9,174,522 
Laureate Education, Inc. 8.25% 5/1/25 (b) 4,615,000 5,018,813 
  15,415,217 
Hotels, Restaurants & Leisure - 0.4%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (b) 5,035,000 5,097,938 
5% 10/15/25 (b) 3,080,000 3,160,850 
Aramark Services, Inc.:   
4.75% 6/1/26 7,225,000 7,570,355 
5.125% 1/15/24 2,520,000 2,677,500 
Carlson Travel, Inc. 9.5% 12/15/24 (b) 3,895,000 3,807,363 
ESH Hospitality, Inc. 5.25% 5/1/25 (b) 1,100,000 1,133,000 
FelCor Lodging LP 5.625% 3/1/23 135,000 140,063 
Hilton Escrow Issuer LLC 4.25% 9/1/24 7,280,000 7,437,102 
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. 6.125% 12/1/24 (b) 1,380,000 1,514,550 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 2,580,000 2,695,842 
4.875% 4/1/27 1,530,000 1,621,800 
KFC Holding Co./Pizza Hut Holding LLC:   
4.75% 6/1/27 (b) 1,580,000 1,621,475 
5% 6/1/24 (b) 4,515,000 4,719,530 
5.25% 6/1/26 (b) 1,790,000 1,886,213 
McDonald's Corp.:   
2.75% 12/9/20 3,638,000 3,726,454 
3.7% 1/30/26 9,591,000 10,096,450 
MCE Finance Ltd. 4.875% 6/6/25 (b) 3,410,000 3,423,582 
MGM Growth Properties Operating Partnership LP 4.5% 9/1/26 13,345,000 13,578,538 
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 540,000 556,200 
Scientific Games Corp.:   
6.625% 5/15/21 6,270,000 6,489,450 
7% 1/1/22 (b) 1,700,000 1,814,750 
Silversea Cruises 7.25% 2/1/25 (b) 1,395,000 1,503,113 
Studio City Co. Ltd.:   
5.875% 11/30/19 (b) 2,555,000 2,695,525 
7.25% 11/30/21 (b) 4,925,000 5,287,731 
Times Square Hotel Trust 8.528% 8/1/26 (b) 1,023,831 1,223,873 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) 4,730,000 4,777,300 
Wynn Macau Ltd. 5.25% 10/15/21 (b) 33,480,000 34,199,820 
Yum! Brands, Inc. 5.35% 11/1/43 1,720,000 1,612,483 
  136,068,850 
Household Durables - 0.2%   
CalAtlantic Group, Inc.:   
5% 6/15/27 3,810,000 3,819,525 
5.25% 6/1/26 4,285,000 4,413,550 
5.875% 11/15/24 1,775,000 1,925,875 
Lennar Corp. 4.125% 1/15/22 2,950,000 3,038,500 
M/I Homes, Inc.:   
5.625% 8/1/25 (b) 1,060,000 1,075,900 
6.75% 1/15/21 4,265,000 4,456,925 
PulteGroup, Inc. 5% 1/15/27 2,625,000 2,703,750 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
3 month U.S. LIBOR + 3.500% 4.8036% 7/15/21 (b)(d)(e) 3,930,000 4,003,688 
5.125% 7/15/23 (b) 5,170,000 5,388,122 
5.75% 10/15/20 2,935,000 2,989,708 
SEB SA 1.5% 5/31/24 (Reg. S) EUR1,900,000 2,306,391 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) 1,495,000 1,584,700 
Toll Brothers Finance Corp. 4.875% 3/15/27 1,348,000 1,385,070 
TRI Pointe Homes, Inc. 5.25% 6/1/27 2,800,000 2,835,000 
William Lyon Homes, Inc.:   
5.75% 4/15/19 4,175,000 4,227,188 
7% 8/15/22 4,250,000 4,409,375 
  50,563,267 
Internet & Direct Marketing Retail - 0.1%   
Netflix, Inc. 4.375% 11/15/26 (b) 3,830,000 3,734,250 
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (b) 5,975,000 6,340,849 
6.375% 5/15/25 8,115,000 8,721,109 
  18,796,208 
Media - 1.8%   
21st Century Fox America, Inc.:   
6.15% 3/1/37 4,759,000 6,055,783 
7.75% 12/1/45 3,932,000 5,978,630 
Altice SA 7.75% 5/15/22 (b) 38,580,000 40,943,025 
Altice U.S. Finance SA:   
5.375% 7/15/23 (b) 2,560,000 2,681,600 
5.5% 5/15/26 (b) 5,035,000 5,327,659 
AMC Networks, Inc.:   
4.75% 12/15/22 1,675,000 1,727,344 
4.75% 8/1/25 3,780,000 3,794,175 
Cablevision SA 6.5% 6/15/21 (b) 430,000 459,317 
Cablevision Systems Corp. 7.75% 4/15/18 2,110,000 2,173,300 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5% 2/1/28 (b) 3,845,000 3,909,904 
5.125% 2/15/23 1,130,000 1,168,138 
5.125% 5/1/23 (b) 11,215,000 11,732,348 
5.125% 5/1/27 (b) 9,395,000 9,676,850 
5.5% 5/1/26 (b) 9,005,000 9,398,969 
5.75% 2/15/26 (b) 3,370,000 3,562,730 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 20,419,000 21,609,130 
4.908% 7/23/25 20,419,000 21,874,901 
5.375% 5/1/47 (b) 27,358,000 27,927,908 
6.484% 10/23/45 8,199,000 9,429,731 
Clear Channel International BV 8.75% 12/15/20 (b) 530,000 553,850 
Columbus International, Inc. 7.375% 3/30/21 (b) 10,093,000 10,797,491 
Comcast Corp. 6.45% 3/15/37 2,196,000 2,898,568 
CSC Holdings LLC 6.75% 11/15/21 8,225,000 9,091,093 
CSC Holdings, Inc. 5.5% 4/15/27 (b) 4,045,000 4,221,969 
E.W. Scripps Co. 5.125% 5/15/25 (b) 520,000 526,500 
Globo Comunicacao e Participacoes SA:   
4.843% 6/8/25 (b) 1,820,000 1,878,968 
4.875% 4/11/22 (b) 565,000 589,126 
Grupo Televisa SA de CV 6.625% 3/18/25 440,000 531,255 
Lagardere S.C.A. 1.625% 6/21/24 (Reg. S) EUR3,100,000 3,686,443 
MDC Partners, Inc. 6.5% 5/1/24 (b) 5,960,000 5,937,650 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(d) 9,210,000 9,210,000 
Myriad International Holding BV 5.5% 7/21/25 (b) 1,490,000 1,634,530 
NBCUniversal, Inc. 5.15% 4/30/20 11,614,000 12,620,386 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(d) 4,708,372 4,643,632 
Sirius XM Radio, Inc.:   
3.875% 8/1/22 (b) 6,090,000 6,196,575 
5% 8/1/27 (b) 5,730,000 5,887,575 
SKY PLC 2.25% 11/17/25 (Reg. S) EUR2,650,000 3,382,190 
Time Warner Cable, Inc.:   
4% 9/1/21 20,277,000 21,127,845 
4.5% 9/15/42 54,497,000 50,321,608 
5.5% 9/1/41 12,973,000 13,288,656 
5.875% 11/15/40 16,544,000 17,745,985 
6.55% 5/1/37 38,302,000 44,275,774 
6.75% 7/1/18 13,763,000 14,296,316 
7.3% 7/1/38 38,728,000 47,742,661 
8.25% 4/1/19 24,391,000 26,646,013 
Time Warner, Inc.:   
3.6% 7/15/25 6,406,000 6,476,994 
6.2% 3/15/40 11,792,000 13,913,865 
TV Azteca SA de CV 7.625% 9/18/20 (Reg S.) 3,260,000 3,361,875 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (b) 2,920,000 3,080,600 
Virgin Media Secured Finance PLC:   
5.5% 1/15/25 (b) 2,500,000 2,609,375 
5.5% 8/15/26 (b) 4,335,000 4,584,263 
VTR Finance BV 6.875% 1/15/24 (b) 2,680,000 2,847,500 
Ziggo Bond Finance BV:   
5.875% 1/15/25 (b) 3,100,000 3,212,375 
6% 1/15/27 (b) 5,605,000 5,752,131 
Ziggo Secured Finance BV 5.5% 1/15/27 (b) 4,540,000 4,681,875 
  559,684,954 
Multiline Retail - 0.0%   
JC Penney Corp., Inc.:   
5.65% 6/1/20 4,860,000 4,809,213 
5.875% 7/1/23 (b) 980,000 983,675 
7.4% 4/1/37 12,160,000 9,241,600 
  15,034,488 
Specialty Retail - 0.0%   
L Brands, Inc. 6.75% 7/1/36 1,555,000 1,472,818 
PetSmart, Inc.:   
5.875% 6/1/25 (b) 3,670,000 3,275,475 
8.875% 6/1/25 (b) 1,000,000 832,500 
  5,580,793 
TOTAL CONSUMER DISCRETIONARY  1,003,737,744 
CONSUMER STAPLES - 1.8%   
Beverages - 0.7%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 38,614,000 39,340,365 
3.3% 2/1/23 41,589,000 43,142,597 
4.7% 2/1/36 42,171,000 46,751,361 
4.9% 2/1/46 45,032,000 51,311,422 
Anheuser-Busch InBev SA NV 1.75% 3/7/25 (Reg. S) GBP3,600,000 4,693,193 
Anheuser-Busch InBev Worldwide, Inc. 3.75% 1/15/22 10,217,000 10,863,912 
Central American Bottling Corp. 5.75% 1/31/27 (b) 450,000 476,316 
Constellation Brands, Inc.:   
3.875% 11/15/19 2,360,000 2,452,083 
4.25% 5/1/23 5,205,000 5,612,264 
6% 5/1/22 21,795,000 25,077,810 
Cott Holdings, Inc. 5.5% 4/1/25 (b) 2,025,000 2,116,125 
  231,837,448 
Food & Staples Retailing - 0.3%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
5.75% 3/15/25 4,430,000 3,992,538 
6.625% 6/15/24 2,215,000 2,114,218 
Albertsons, Inc.:   
6.625% 6/1/28 705,000 585,150 
7.45% 8/1/29 645,000 562,956 
7.75% 6/15/26 765,000 699,975 
8% 5/1/31 4,040,000 3,524,900 
8.7% 5/1/30 560,000 513,800 
C&S Group Enterprises LLC 5.375% 7/15/22 (b) 3,335,000 3,272,469 
CVS Health Corp.:   
2.8% 7/20/20 15,202,000 15,528,582 
3.5% 7/20/22 8,944,000 9,352,665 
4% 12/5/23 8,525,000 9,124,845 
ESAL GmbH 6.25% 2/5/23 (b) 6,210,000 6,039,225 
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (b) 895,000 912,900 
Minerva Luxembourg SA:   
6.5% 9/20/26 (b) 1,500,000 1,504,575 
7.75% 1/31/23 (Reg. S) 2,144,000 2,240,480 
Tesco PLC:   
5% 3/24/23 GBP1,100,000 1,587,979 
6.15% 11/15/37 (b) 7,300,000 7,656,751 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (b) 5,155,000 3,776,038 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 8,473,000 8,615,943 
3.3% 11/18/21 10,050,000 10,410,479 
  92,016,468 
Food Products - 0.1%   
CF Industries Holdings, Inc.:   
3.4% 12/1/21 (b) 1,915,000 1,950,021 
3.45% 6/1/23 3,115,000 3,029,338 
4.5% 12/1/26 (b) 1,380,000 1,436,144 
5.15% 3/15/34 280,000 263,900 
Gruma S.A.B. de CV:   
4.875% 12/1/24 (b) 625,000 677,344 
4.875% 12/1/24 (Reg. S) 800,000 867,000 
JBS Investments GmbH:   
7.25% 4/3/24 (b) 3,880,000 3,918,800 
7.75% 10/28/20 (b) 1,005,000 1,030,125 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 5.875% 7/15/24 (b) 3,075,000 3,113,438 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 2,145,000 2,212,031 
4.875% 11/1/26 (b) 1,555,000 1,613,546 
MHP SA 8.25% 4/2/20 (b) 275,000 294,250 
Post Holdings, Inc.:   
5% 8/15/26 (b) 1,675,000 1,675,000 
5.75% 3/1/27 (b) 2,690,000 2,784,150 
  24,865,087 
Household Products - 0.0%   
Edgewell Personal Care Co. 5.5% 6/15/25 (b) 630,000 661,500 
Tobacco - 0.7%   
Altria Group, Inc.:   
2.85% 8/9/22 9,573,000 9,798,359 
4% 1/31/24 6,408,000 6,883,707 
Bat Capital Corp. 2.125% 8/15/25 GBP3,050,000 3,964,657 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (b) 19,975,000 19,977,967 
2.05% 7/20/18 (b) 8,743,000 8,746,663 
2.95% 7/21/20 (b) 20,000,000 20,368,273 
3.75% 7/21/22 (b) 20,300,000 21,162,591 
4.25% 7/21/25 (b) 18,467,000 19,612,206 
8.125% 3/15/24 GBP1,850,000 3,267,764 
Reynolds American, Inc.:   
2.3% 6/12/18 7,358,000 7,386,108 
3.25% 6/12/20 3,274,000 3,373,442 
4% 6/12/22 11,386,000 12,077,113 
4.45% 6/12/25 14,753,000 15,944,246 
5.7% 8/15/35 4,237,000 4,961,320 
5.85% 8/15/45 35,690,000 43,135,368 
6.15% 9/15/43 4,511,000 5,594,325 
7.25% 6/15/37 5,056,000 6,948,109 
Vector Group Ltd. 6.125% 2/1/25 (b) 7,705,000 7,897,625 
  221,099,843 
TOTAL CONSUMER STAPLES  570,480,346 
ENERGY - 6.5%   
Energy Equipment & Services - 0.4%   
Borets Finance DAC 6.5% 4/7/22 (b) 1,345,000 1,429,278 
Calfrac Holdings LP 7.5% 12/1/20 (b) 3,560,000 3,186,200 
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 2,910,000 2,910,000 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 18,884,000 20,439,229 
6.5% 4/1/20 738,000 810,358 
Ensco PLC:   
4.5% 10/1/24 3,615,000 2,638,950 
5.2% 3/15/25 16,510,000 12,299,950 
5.75% 10/1/44 7,801,000 5,012,143 
8% 1/31/24 3,943,000 3,548,700 
Exterran Energy Solutions LP 8.125% 5/1/25 (b) 1,920,000 1,977,600 
Exterran Partners LP/EXLP Finance Corp.:   
6% 4/1/21 3,210,000 3,137,775 
6% 10/1/22 995,000 962,663 
Forum Energy Technologies, Inc. 6.25% 10/1/21 3,780,000 3,723,300 
FTS International, Inc.:   
3 month U.S. LIBOR + 7.500% 8.7456% 6/15/20 (b)(d)(e) 1,625,000 1,649,375 
6.25% 5/1/22 1,780,000 1,539,700 
Halliburton Co.:   
3.8% 11/15/25 9,790,000 10,114,021 
4.85% 11/15/35 8,550,000 9,269,756 
Nabors Industries, Inc. 5.5% 1/15/23 2,412,000 2,262,146 
Noble Holding International Ltd.:   
4.625% 3/1/21 3,493,000 2,977,783 
5.25% 3/15/42 1,890,000 1,067,850 
5.75% 3/16/18 1,187,000 1,195,665 
7.7% 4/1/25 (d) 10,335,000 7,699,575 
7.75% 1/15/24 5,390,000 4,163,667 
8.7% 4/1/45 (d) 7,307,000 5,223,774 
Precision Drilling Corp.:   
5.25% 11/15/24 1,290,000 1,125,525 
6.5% 12/15/21 1,240,000 1,202,800 
SESI LLC 7.75% 9/15/24 (b) 1,220,000 1,232,200 
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 2,555,000 2,856,746 
Summit Midstream Holdings LLC 5.75% 4/15/25 1,650,000 1,654,125 
  117,310,854 
Oil, Gas & Consumable Fuels - 6.1%   
Afren PLC:   
6.625% 12/9/20 (b)(f)(g) 770,910 154 
10.25% 4/8/19 (Reg. S) (f)(g) 2,024,860 405 
Anadarko Finance Co. 7.5% 5/1/31 29,585,000 37,165,181 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 6,730,000 7,153,839 
5.55% 3/15/26 13,807,000 15,412,180 
6.45% 9/15/36 4,370,000 5,106,981 
6.6% 3/15/46 22,460,000 27,171,034 
Antero Resources Corp.:   
5% 3/1/25 4,530,000 4,439,400 
5.125% 12/1/22 8,335,000 8,355,838 
5.625% 6/1/23 (Reg. S) 4,310,000 4,385,425 
Antero Resources Finance Corp. 5.375% 11/1/21 3,675,000 3,739,313 
California Resources Corp. 8% 12/15/22 (b) 5,050,000 2,783,813 
Canadian Natural Resources Ltd.:   
1.75% 1/15/18 6,049,000 6,046,343 
3.9% 2/1/25 24,997,000 25,636,005 
5.85% 2/1/35 10,897,000 12,163,046 
Cenovus Energy, Inc.:   
4.25% 4/15/27 (b) 31,079,000 29,999,975 
5.7% 10/15/19 5,453,000 5,731,648 
Cheniere Corpus Christi Holdings LLC:   
5.125% 6/30/27 (b) 3,595,000 3,720,825 
5.875% 3/31/25 5,295,000 5,692,125 
7% 6/30/24 4,155,000 4,726,313 
Chesapeake Energy Corp.:   
4.875% 4/15/22 3,735,000 3,305,475 
5.75% 3/15/23 3,405,000 3,009,169 
6.125% 2/15/21 3,895,000 3,709,988 
8% 12/15/22 (b) 7,770,000 8,032,238 
8% 1/15/25 (b) 4,665,000 4,495,894 
8% 6/15/27 (b) 3,700,000 3,515,000 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 3,149,000 3,160,069 
3.3% 6/1/20 15,490,000 15,934,220 
4.5% 6/1/25 4,707,000 5,055,439 
Concho Resources, Inc. 4.375% 1/15/25 7,200,000 7,488,000 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 4.9817% 6/15/22 (b)(d)(e) 12,775,000 12,775,056 
6.875% 6/15/25 (b) 4,700,000 4,888,000 
Continental Resources, Inc.:   
3.8% 6/1/24 4,150,000 3,859,500 
4.5% 4/15/23 8,290,000 8,165,650 
4.9% 6/1/44 1,255,000 1,061,228 
Covey Park Energy LLC 7.5% 5/15/25 (b) 3,920,000 3,934,700 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 5,745,000 5,816,813 
DCP Midstream LLC:   
4.75% 9/30/21 (b) 11,333,000 11,616,325 
5.85% 5/21/43 (b)(d) 6,758,000 6,268,045 
DCP Midstream Operating LP 3.875% 3/15/23 5,532,000 5,386,785 
Denbury Resources, Inc. 9% 5/15/21 (b) 4,000,000 3,580,000 
Dolphin Energy Ltd. 5.5% 12/15/21 (b) 550,000 605,374 
Duke Energy Field Services 6.45% 11/3/36 (b) 13,741,000 14,462,403 
EDC Finance Ltd. 4.875% 4/17/20 (b) 695,000 710,721 
El Paso Corp. 6.5% 9/15/20 16,140,000 17,992,806 
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) 9,045,000 9,505,919 
Enable Midstream Partners LP:   
2.4% 5/15/19 (d) 4,028,000 4,010,164 
3.9% 5/15/24 (d) 4,249,000 4,256,087 
Enbridge Energy Partners LP:   
4.2% 9/15/21 13,331,000 14,068,984 
4.375% 10/15/20 11,319,000 11,915,479 
Enbridge, Inc.:   
4.25% 12/1/26 7,730,000 8,141,495 
5.5% 12/1/46 8,922,000 10,233,636 
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (b) 8,190,000 8,456,175 
Enterprise Products Operating LP:   
2.55% 10/15/19 2,971,000 2,995,934 
3.75% 2/15/25 9,982,000 10,404,481 
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (b) 2,990,000 2,922,725 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (b) 2,770,000 2,783,850 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 1,875,000 1,980,469 
Gibson Energy, Inc. 6.75% 7/15/21 (b) 639,000 661,365 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 5,165,000 5,203,738 
7% 6/15/23 9,970,000 9,994,925 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (b) 3,855,000 3,642,975 
5.75% 10/1/25 (b) 2,135,000 2,060,275 
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 1,405,000 1,418,165 
Kinder Morgan Energy Partners LP:   
3.5% 3/1/21 11,339,000 11,645,106 
5.5% 3/1/44 42,953,000 44,935,482 
6.55% 9/15/40 1,889,000 2,196,656 
Kinder Morgan, Inc.:   
5% 2/15/21 (b) 10,606,000 11,379,054 
5.05% 2/15/46 4,854,000 4,834,589 
Kosmos Energy Ltd.:   
7.875% 8/1/21 (b) 1,300,000 1,342,250 
7.875% 8/1/21 (b) 1,045,000 1,078,963 
Marathon Petroleum Corp. 5.125% 3/1/21 10,178,000 11,041,265 
Nakilat, Inc. 6.067% 12/31/33 (b) 1,975,000 2,323,193 
Newfield Exploration Co. 5.375% 1/1/26 1,260,000 1,316,700 
NGL Energy Partners LP/NGL Energy Finance Corp. 6.125% 3/1/25 2,685,000 2,389,650 
NGPL PipeCo LLC:   
4.375% 8/15/22 (b) 505,000 518,888 
4.875% 8/15/27 (b) 505,000 520,150 
Nostrum Oil & Gas Finance BV:   
6.375% 2/14/19 (b) 3,555,000 3,561,968 
8% 7/25/22 (b) 3,890,000 3,966,509 
Pacific Exploration and Production Corp.:   
10% 11/2/21 pay-in-kind (d) 1,204,000 1,342,460 
10% 11/2/21 pay-in-kind (b)(d) 840,000 936,600 
Pan American Energy LLC 7.875% 5/7/21 (b) 2,858,000 3,089,498 
Parsley Energy LLC/Parsley:   
5.25% 8/15/25 (b) 1,420,000 1,420,000 
5.375% 1/15/25 (b) 3,335,000 3,351,675 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 1,310,000 1,313,275 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 4,365,000 4,474,562 
Pemex Project Funding Master Trust 6.625% 6/15/35 5,140,000 5,602,600 
Petro-Canada 6.05% 5/15/18 3,850,000 3,967,689 
Petrobras Energia SA 7.375% 7/21/23 (b) 560,000 605,360 
Petrobras Global Finance BV:   
4.375% 5/20/23 20,096,000 19,673,984 
4.75% 1/14/25 EUR450,000 561,965 
5.625% 5/20/43 18,504,000 16,228,008 
6.125% 1/17/22 9,120,000 9,667,200 
6.25% 3/17/24 21,380,000 22,659,593 
7.25% 3/17/44 45,050,000 46,401,500 
7.375% 1/17/27 41,110,000 45,436,416 
8.375% 5/23/21 58,745,000 66,704,948 
8.75% 5/23/26 53,840,000 64,446,480 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 44,755,000 46,285,621 
5.75% 1/20/20 1,650,000 1,734,975 
5.875% 3/7/22 EUR200,000 268,150 
6.875% 1/20/40 1,220,000 1,218,414 
Petroleos de Venezuela SA:   
5.375% 4/12/27 975,000 294,938 
5.5% 4/12/37 1,520,000 457,900 
6% 5/16/24 (b) 1,845,000 553,500 
6% 11/15/26 (b) 2,385,000 715,500 
8.5% 10/27/20 (b) 1,115,000 824,989 
9.75% 5/17/35 (b) 6,375,000 2,263,125 
12.75% 2/17/22 (b) 270,000 122,040 
Petroleos Mexicanos:   
3.5% 7/23/20 13,960,000 14,329,940 
3.5% 1/30/23 11,169,000 11,071,271 
3.75% 2/21/24 (Reg. S) EUR4,200,000 5,233,685 
4.5% 1/23/26 46,043,000 46,491,919 
4.625% 9/21/23 80,440,000 83,738,040 
4.875% 1/24/22 12,482,000 13,118,582 
4.875% 1/18/24 13,872,000 14,447,688 
5.125% 3/15/23 (Reg. S) EUR1,900,000 2,562,908 
5.5% 1/21/21 12,189,000 13,066,608 
5.5% 6/27/44 10,807,000 10,169,387 
5.625% 1/23/46 35,710,000 33,576,328 
6% 3/5/20 6,145,000 6,627,383 
6.375% 2/4/21 785,000 866,248 
6.375% 1/23/45 29,907,000 30,834,117 
6.5% 3/13/27 (b) 33,960,000 38,035,200 
6.5% 3/13/27 (b) 57,927,000 64,878,240 
6.5% 6/2/41 27,982,000 29,562,983 
6.625% (b)(c) 2,985,000 3,028,283 
6.75% 9/21/47 (b) 24,580,000 26,425,958 
6.75% 9/21/47 25,666,000 27,593,517 
6.875% 8/4/26 41,650,000 47,889,170 
8% 5/3/19 8,600,000 9,417,000 
Phillips 66 Co. 4.3% 4/1/22 12,618,000 13,569,886 
Phillips 66 Partners LP 2.646% 2/15/20 1,316,000 1,321,172 
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 5,217,000 5,277,238 
PT Pertamina Persero 6.5% 5/27/41 (b) 1,010,000 1,190,742 
Range Resources Corp.:   
4.875% 5/15/25 2,960,000 2,834,200 
5% 8/15/22 (b) 1,725,000 1,694,813 
5% 3/15/23 (b) 5,270,000 5,204,125 
Rice Energy, Inc.:   
6.25% 5/1/22 12,725,000 13,234,000 
7.25% 5/1/23 8,289,000 8,858,869 
Sabine Pass Liquefaction LLC 5.75% 5/15/24 1,440,000 1,601,475 
Sinopec Group Overseas Development (2015) Ltd. 1% 4/28/22 (Reg. S) EUR2,675,000 3,234,870 
Southwestern Energy Co.:   
5.8% 1/23/20 (d) 38,142,000 39,286,260 
6.7% 1/23/25 (d) 35,947,000 35,048,325 
Spectra Energy Partners LP 2.95% 9/25/18 1,960,000 1,979,847 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 1,445,000 1,487,339 
6.375% 4/1/23 6,650,000 7,007,438 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5.125% 2/1/25 (b) 1,210,000 1,243,275 
5.25% 5/1/23 685,000 700,413 
6.75% 3/15/24 4,420,000 4,784,650 
Teekay Corp. 8.5% 1/15/20 585,000 590,850 
Teine Energy Ltd. 6.875% 9/30/22 (b) 2,265,000 2,265,000 
The Williams Companies, Inc.:   
3.7% 1/15/23 3,730,000 3,702,025 
4.55% 6/24/24 38,986,000 39,863,185 
5.75% 6/24/44 19,187,000 19,906,513 
Transportadora de Gas del Sur SA 9.625% 5/14/20(b) 3,668,817 3,951,793 
Western Gas Partners LP:   
4.65% 7/1/26 4,876,000 5,070,710 
5.375% 6/1/21 24,990,000 26,992,595 
Whiting Petroleum Corp.:   
5% 3/15/19 2,595,000 2,569,050 
5.75% 3/15/21 1,350,000 1,269,000 
Williams Partners LP:   
3.6% 3/15/22 10,817,000 11,153,122 
3.9% 1/15/25 26,667,000 27,401,859 
4% 11/15/21 6,716,000 7,048,211 
4% 9/15/25 3,000,000 3,100,860 
4.125% 11/15/20 2,399,000 2,517,010 
4.3% 3/4/24 40,932,000 43,390,479 
4.5% 11/15/23 7,325,000 7,848,350 
WPX Energy, Inc.:   
5.25% 9/15/24 7,085,000 6,943,300 
6% 1/15/22 2,480,000 2,557,500 
7.5% 8/1/20 4,492,000 4,851,360 
YPF SA:   
8.5% 3/23/21 (b) 4,950,000 5,623,200 
8.5% 3/23/21 (Reg. S) 1,500,000 1,704,000 
8.75% 4/4/24 (b) 5,290,000 6,121,165 
8.875% 12/19/18 (Reg. S) 2,150,000 2,311,250 
  1,879,864,749 
TOTAL ENERGY  1,997,175,603 
FINANCIALS - 11.1%   
Banks - 4.9%   
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (d) 5,400,000 5,606,204 
Akbank T.A.S. 6.5% 3/9/18 (Reg. S) 3,100,000 3,158,652 
Akbank TAS/Ak Finansal Kiralama A/S 7.2% 3/16/27 (b)(d) 695,000 735,892 
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (d) EUR3,450,000 4,399,680 
Banco de Bogota SA 6.25% 5/12/26 (b) 690,000 746,925 
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 1,675,000 1,758,750 
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) (f) EUR1,300,000 466,210 
Banco Hipotecario SA 9.75% 11/30/20 (b) 5,205,000 5,915,430 
Banco Macro SA 6.75% 11/4/26 (b)(d) 1,645,000 1,714,962 
Banco Nacional de Desenvolvimento Economico e Social:   
4% 4/14/19 (b) 1,393,000 1,420,331 
5.75% 9/26/23 (b) 10,130,000 10,975,349 
6.369% 6/16/18 (b) 1,125,000 1,158,896 
Bank of America Corp.:   
1.776% 5/4/27 (Reg. S) (d) EUR4,350,000 5,306,158 
2% 1/11/18 50,000,000 50,071,653 
2.25% 4/21/20 66,694,000 67,009,835 
2.6% 1/15/19 8,068,000 8,148,196 
3.3% 1/11/23 901,000 926,702 
3.5% 4/19/26 20,559,000 20,938,038 
3.705% 4/24/28 (d) 32,549,000 33,299,731 
3.875% 8/1/25 22,129,000 23,264,291 
3.95% 4/21/25 17,156,000 17,716,614 
4.1% 7/24/23 11,481,000 12,276,987 
4.2% 8/26/24 40,532,000 42,685,909 
4.25% 10/22/26 14,724,000 15,445,373 
5.65% 5/1/18 8,780,000 9,000,368 
5.75% 12/1/17 21,955,000 22,169,553 
5.875% 1/5/21 6,530,000 7,286,038 
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 905,000 889,163 
Barclays Bank PLC 6.75% 1/16/23 (d) GBP1,250,000 1,647,878 
Barclays PLC:   
2.75% 11/8/19 12,249,000 12,396,515 
3.25% 1/12/21 21,116,000 21,579,792 
4.375% 1/12/26 25,086,000 26,376,524 
BBVA Bancomer SA:   
7.25% 4/22/20 (b) 975,000 1,064,700 
7.25% 4/22/20 (Reg. S) 3,300,000 3,603,600 
Biz Finance PLC 9.75% 1/22/25 (b) 300,000 316,656 
BTA Bank JSC 5.5% 12/21/22 (b) 915,000 894,705 
CBOM Finance PLC 7.5% 10/5/27 (b)(d) 1,260,000 1,184,712 
Citigroup, Inc.:   
1.8% 2/5/18 33,287,000 33,308,382 
1.85% 11/24/17 33,365,000 33,385,709 
2.4% 2/18/20 60,588,000 61,136,617 
2.65% 10/26/20 20,000,000 20,281,976 
4.05% 7/30/22 5,303,000 5,587,623 
4.4% 6/10/25 40,790,000 43,135,042 
4.45% 9/29/27 10,000,000 10,572,966 
5.125% 12/12/18 GBP1,875,000 2,550,034 
5.5% 9/13/25 20,027,000 22,652,694 
Citizens Bank NA 2.55% 5/13/21 6,564,000 6,621,119 
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) 15,987,000 16,839,639 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 19,455,000 19,727,850 
3.75% 3/26/25 19,450,000 19,935,627 
3.8% 9/15/22 30,700,000 32,093,704 
3.8% 6/9/23 36,648,000 38,212,719 
CYBG PLC 3.125% 6/22/25 (Reg. S) (d) GBP1,300,000 1,706,731 
Discover Bank:   
4.2% 8/8/23 17,852,000 19,072,579 
7% 4/15/20 2,030,000 2,249,241 
Export Credit Bank of Turkey 5.875% 4/24/19 (b) 280,000 290,822 
Fidelity Bank PLC 6.875% 5/9/18 (b) 340,000 329,868 
Fifth Third Bancorp:   
4.5% 6/1/18 798,000 814,399 
8.25% 3/1/38 4,667,000 7,165,058 
GTB Finance BV 6% 11/8/18 (b) 1,155,000 1,171,528 
HBOS PLC 6.75% 5/21/18 (b) 6,067,000 6,268,616 
HSBC Bank PLC 5% 3/20/23 (d) GBP967,000 1,275,536 
HSBC Holdings PLC:   
4.25% 3/14/24 6,192,000 6,518,484 
6.375% 10/18/22 (d) GBP8,550,000 11,117,277 
HSBC U.S.A., Inc. 1.625% 1/16/18 11,125,000 11,127,893 
Huntington Bancshares, Inc. 7% 12/15/20 2,851,000 3,270,242 
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) 28,396,000 30,010,585 
Itau Unibanco Holding SA:   
5.125% 5/13/23 (Reg. S) 1,650,000 1,719,300 
5.5% 8/6/22 (b) 1,155,000 1,217,370 
6.2% 12/21/21 (Reg. S) 980,000 1,062,075 
JPMorgan Chase & Co.:   
1.625% 5/15/18 12,580,000 12,585,708 
2.2% 10/22/19 7,268,000 7,337,018 
2.25% 1/23/20 40,000,000 40,330,974 
2.35% 1/28/19 6,857,000 6,923,736 
2.95% 10/1/26 18,480,000 18,196,780 
3.25% 9/23/22 18,423,000 19,074,973 
3.875% 9/10/24 35,791,000 37,471,260 
4.125% 12/15/26 32,416,000 34,147,600 
4.25% 10/15/20 6,995,000 7,451,024 
4.35% 8/15/21 20,267,000 21,840,835 
4.5% 1/24/22 22,046,000 23,965,362 
4.625% 5/10/21 6,879,000 7,459,518 
4.95% 3/25/20 22,079,000 23,706,565 
JSC BGEO Group 6% 7/26/23 (b) 2,110,000 2,168,025 
Kazkommertsbank Jsc Mtn Bank Ent 8.5% 5/11/18 (b) 1,975,000 2,028,286 
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (d) EUR200,000 256,732 
Rabobank Nederland 4.375% 8/4/25 25,937,000 27,534,944 
Regions Bank 6.45% 6/26/37 24,618,000 30,883,910 
Regions Financial Corp. 3.2% 2/8/21 11,916,000 12,234,189 
Royal Bank of Scotland Group PLC:   
4.8% 4/5/26 50,452,000 54,009,137 
5.125% 5/28/24 64,006,000 67,515,190 
6% 12/19/23 25,897,000 28,697,695 
6.1% 6/10/23 31,961,000 35,319,727 
6.125% 12/15/22 42,557,000 46,866,035 
SB Capital SA 5.5% 2/26/24 (b)(d) 1,360,000 1,391,729 
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) 1,745,000 1,886,886 
Turkiye Garanti Bankasi A/S 6.125% 5/24/27 (b)(d) 1,020,000 1,031,075 
Turkiye Halk Bankasi A/S:   
3.875% 2/5/20 (b) 2,000,000 1,968,000 
4.75% 6/4/19 (b) 980,000 990,225 
Turkiye Is Bankasi A/S:   
5.5% 4/21/19 (b) 415,000 426,027 
5.5% 4/21/22 (b) 1,425,000 1,457,456 
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (d) 2,925,000 2,992,199 
UniCredit Luxembourg 6% 10/31/17 (Reg. S) 2,300,000 2,311,403 
UniCredit SpA 6.375% 5/2/23 (Reg. S) (d) 1,350,000 1,382,956 
Zenith Bank PLC:   
6.25% 4/22/19 (b) 4,970,000 5,029,342 
7.375% 5/30/22 (b) 2,865,000 2,925,165 
  1,507,783,963 
Capital Markets - 3.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 21,008,000 21,488,726 
4.25% 2/15/24 14,661,000 15,574,458 
Argos Merger Sub, Inc. 7.125% 3/15/23 (b) 3,790,000 3,088,850 
Compass Group International BV 0.625% 7/3/24 (Reg. S) EUR3,200,000 3,788,953 
Credit Suisse AG 6% 2/15/18 18,058,000 18,390,618 
Credit Suisse Group AG 5.75% 9/18/25 (Reg. S) (d) EUR5,950,000 7,968,575 
Deutsche Bank AG 4.5% 4/1/25 80,571,000 81,354,413 
Deutsche Bank AG London Branch:   
1.875% 2/13/18 37,777,000 37,803,280 
2.85% 5/10/19 47,570,000 48,104,937 
Goldman Sachs Group, Inc.:   
1.25% 5/1/25 (Reg. S) EUR2,100,000 2,495,640 
1.748% 9/15/17 42,024,000 42,027,882 
2% 7/27/23 (Reg. S) EUR5,550,000 7,025,577 
2.55% 10/23/19 33,080,000 33,473,755 
2.625% 1/31/19 50,400,000 50,920,568 
2.9% 7/19/18 17,494,000 17,666,514 
3.691% 6/5/28 (d) 200,926,000 204,401,395 
3.75% 5/22/25 20,000,000 20,631,888 
5.25% 7/27/21 17,105,000 18,843,117 
5.95% 1/18/18 4,975,000 5,052,772 
IntercontinentalExchange, Inc. 2.75% 12/1/20 6,489,000 6,634,344 
Lazard Group LLC 4.25% 11/14/20 10,151,000 10,780,344 
Merrill Lynch & Co., Inc. 5.5% 11/22/21 GBP1,100,000 1,646,272 
Moody's Corp.:   
3.25% 1/15/28 (b) 11,520,000 11,613,234 
4.875% 2/15/24 10,818,000 12,065,424 
Morgan Stanley:   
1% 12/2/22 EUR2,350,000 2,849,908 
2.125% 4/25/18 12,586,000 12,622,281 
2.375% 3/31/21 (Reg. S) EUR3,000,000 3,846,223 
2.8% 6/16/20 30,000,000 30,544,358 
3.125% 7/27/26 108,849,000 107,434,542 
3.7% 10/23/24 37,479,000 39,041,580 
4.875% 11/1/22 26,240,000 28,577,182 
5% 11/24/25 3,189,000 3,510,037 
5.5% 1/26/20 88,000,000 94,995,896 
5.625% 9/23/19 12,714,000 13,626,611 
5.75% 1/25/21 19,879,000 22,085,772 
MSCI, Inc.:   
4.75% 8/1/26 (b) 4,145,000 4,300,438 
5.25% 11/15/24 (b) 4,420,000 4,707,300 
Thomson Reuters Corp. 3.85% 9/29/24 11,394,000 12,028,153 
UBS Group Funding Ltd. 4.125% 9/24/25 (b) 18,881,000 20,028,598 
  1,083,040,415 
Consumer Finance - 0.8%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 7,478,000 7,684,898 
Capital One Financial Corp. 2.45% 4/24/19 10,550,000 10,628,257 
Credito Real S.A.B. de CV 7.5% 3/13/19 (b) 1,465,000 1,516,275 
Discover Financial Services:   
3.85% 11/21/22 34,849,000 36,239,176 
3.95% 11/6/24 14,738,000 15,231,072 
5.2% 4/27/22 12,545,000 13,738,332 
Ford Motor Credit Co. LLC:   
1.724% 12/6/17 18,742,000 18,753,280 
2.24% 6/15/18 19,162,000 19,235,723 
2.597% 11/4/19 52,209,000 52,692,209 
2.875% 10/1/18 13,000,000 13,129,995 
Hyundai Capital America:   
2.125% 10/2/17 (b) 18,524,000 18,529,055 
2.875% 8/9/18 (b) 5,276,000 5,319,910 
SLM Corp.:   
5.5% 1/15/19 725,000 750,593 
5.5% 1/25/23 2,640,000 2,666,400 
Synchrony Financial:   
3% 8/15/19 4,907,000 4,978,115 
3.75% 8/15/21 7,409,000 7,658,000 
4.25% 8/15/24 7,458,000 7,808,971 
  236,560,261 
Diversified Financial Services - 0.6%   
1MDB Global Investments Ltd. 4.4% 3/9/23 1,000,000 931,400 
Annington Funding PLC 2.646% 7/12/25 (Reg. S) GBP2,100,000 2,791,783 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 25,518,000 25,481,570 
3.85% 2/1/25 14,325,000 14,349,404 
3.875% 8/15/22 21,027,000 21,741,109 
4.125% 6/15/26 8,647,000 8,773,449 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) 2,820,000 3,066,750 
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 1,350,000 1,221,345 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 12,570,000 12,695,700 
5.875% 2/1/22 25,766,000 26,499,043 
6% 8/1/20 2,810,000 2,894,300 
6.25% 2/1/22 1,105,000 1,139,531 
6.75% 2/1/24 2,000,000 2,105,600 
ILFC E-Capital Trust I 3 month U.S. LIBOR + 1.550% 4.34% 12/21/65 (b)(d)(e) 11,760,000 11,172,000 
ILFC E-Capital Trust II 3 month U.S. LIBOR + 1.800% 4.59% 12/21/65 (b)(d)(e) 6,710,000 6,366,113 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (b) 3,550,000 3,767,438 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (b) 1,375,000 1,417,969 
Pontis IV Ltd. 5.125% 3/31/27 (b) 580,000 582,900 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 1,395,000 1,465,164 
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (b) 2,080,000 2,056,600 
Sistema International Funding SA 6.95% 5/17/19 (b) 945,000 909,260 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) 6,270,000 7,139,963 
Sparc Em Spc 0% 12/5/22 (b) 205,000 185,628 
Tempo Acquisition LLC / Tempo 6.75% 6/1/25 (b) 1,815,000 1,855,838 
TMK Capital SA 6.75% 4/3/20 (Reg. S) 560,000 587,830 
Voya Financial, Inc. 3.125% 7/15/24 13,804,000 13,769,031 
  174,966,718 
Insurance - 1.3%   
AIA Group Ltd. 2.25% 3/11/19 (b) 2,566,000 2,568,803 
American International Group, Inc.:   
2.3% 7/16/19 6,461,000 6,509,579 
3.3% 3/1/21 9,614,000 9,950,041 
3.875% 1/15/35 19,041,000 18,727,021 
4.875% 6/1/22 18,193,000 20,111,087 
Aon Corp. 5% 9/30/20 3,854,000 4,174,229 
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (d) 3,050,000 3,221,898 
Assicurazioni Generali SpA 5.5% 10/27/47 (Reg. S) (d) EUR2,450,000 3,366,780 
AXA SA 3.941%(Reg. S) (c)(d) EUR1,270,000 1,668,904 
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (d) 2,250,000 2,433,224 
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.8522% 5/16/46 (b)(d)(e) 1,859,000 1,831,115 
Hartford Financial Services Group, Inc. 5.125% 4/15/22 14,787,000 16,517,376 
Liberty Mutual Group, Inc. 5% 6/1/21 (b) 12,644,000 13,808,599 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 7,090,000 7,746,395 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) 30,523,000 31,914,682 
MetLife, Inc.:   
1.903% 12/15/17 (d) 2,987,000 2,990,717 
3.048% 12/15/22 (d) 12,433,000 12,854,237 
4.75% 2/8/21 4,032,000 4,392,897 
Metropolitan Life Global Funding I 3% 1/10/23 (b) 7,896,000 8,109,649 
Pacific Life Insurance Co. 9.25% 6/15/39 (b) 7,041,000 11,617,370 
Pacific LifeCorp:   
5.125% 1/30/43 (b) 33,774,000 37,879,175 
6% 2/10/20 (b) 15,416,000 16,738,450 
Pricoa Global Funding I 5.375% 5/15/45 (d) 17,492,000 18,760,170 
Prudential Financial, Inc.:   
2.3% 8/15/18 1,622,000 1,633,108 
6.2% 11/15/40 4,318,000 5,671,825 
7.375% 6/15/19 3,230,000 3,541,607 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) 18,083,000 20,529,776 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (b) 4,172,000 4,242,454 
4.125% 11/1/24 (b) 6,048,000 6,434,440 
Unum Group:   
3.875% 11/5/25 21,587,000 22,432,704 
4% 3/15/24 20,000,000 21,124,776 
5.625% 9/15/20 8,386,000 9,195,242 
5.75% 8/15/42 25,545,000 30,841,229 
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) 2,370,000 2,414,438 
  385,953,997 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 5% 12/15/21 4,120,000 4,269,350 
Thrifts & Mortgage Finance - 0.0%   
Leeds Building Society 0.5% 7/3/24 (Reg. S) EUR4,800,000 5,692,509 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) 1,000,000 1,105,000 
  6,797,509 
TOTAL FINANCIALS  3,399,372,213 
HEALTH CARE - 1.5%   
Biotechnology - 0.2%   
AbbVie, Inc.:   
2.9% 11/6/22 24,855,000 25,215,951 
4.5% 5/14/35 23,238,000 24,858,427 
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (b) 3,815,000 3,817,861 
  53,892,239 
Health Care Equipment & Supplies - 0.1%   
Becton, Dickinson & Co. 2.675% 12/15/19 3,954,000 4,010,977 
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (b) 2,395,000 2,233,338 
Ortho-Clinical Diagnostics, Inc. 6.625% 5/15/22 (b) 1,415,000 1,386,700 
Teleflex, Inc. 4.875% 6/1/26 6,975,000 7,184,250 
  14,815,265 
Health Care Providers & Services - 0.5%   
Aetna, Inc. 2.75% 11/15/22 2,010,000 2,041,051 
Community Health Systems, Inc.:   
6.25% 3/31/23 4,705,000 4,740,288 
6.875% 2/1/22 14,070,000 11,660,513 
HCA Holdings, Inc.:   
3.75% 3/15/19 18,722,000 19,049,635 
4.25% 10/15/19 7,590,000 7,827,188 
4.5% 2/15/27 5,270,000 5,342,463 
4.75% 5/1/23 595,000 627,606 
5% 3/15/24 6,375,000 6,773,438 
5.25% 6/15/26 11,470,000 12,344,588 
5.875% 3/15/22 715,000 792,149 
5.875% 2/15/26 7,310,000 7,885,663 
6.5% 2/15/20 30,303,000 32,999,361 
HealthSouth Corp. 5.125% 3/15/23 4,745,000 4,851,763 
Kindred Healthcare, Inc. 8% 1/15/20 1,145,000 1,136,413 
Medco Health Solutions, Inc. 4.125% 9/15/20 7,486,000 7,898,554 
Sabra Health Care LP/Sabra Capital Corp.:   
5.375% 6/1/23 500,000 517,350 
5.5% 2/1/21 1,555,000 1,617,200 
Tenet Healthcare Corp.:   
4.375% 10/1/21 3,825,000 3,887,156 
4.625% 7/15/24 (b) 6,810,000 6,808,638 
6.75% 6/15/23 6,140,000 6,091,494 
7.5% 1/1/22 (b) 775,000 835,063 
THC Escrow Corp. III:   
5.125% 5/1/25 (b) 6,125,000 6,162,975 
7% 8/1/25 (b) 3,670,000 3,595,462 
Wellcare Health Plans, Inc. 5.25% 4/1/25 1,675,000 1,754,563 
WellPoint, Inc. 3.3% 1/15/23 6,442,000 6,671,587 
  163,912,161 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 10/15/26 (b) 2,715,000 2,843,963 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
2.4% 2/1/19 1,959,000 1,973,280 
4.15% 2/1/24 3,010,000 3,248,005 
  5,221,285 
Pharmaceuticals - 0.7%   
Actavis Funding SCS:   
3% 3/12/20 13,777,000 14,060,531 
3.45% 3/15/22 48,347,000 50,230,284 
Mylan N.V.:   
2.25% 11/22/24 (Reg. S) EUR1,650,000 2,025,026 
2.5% 6/7/19 16,423,000 16,476,508 
3.15% 6/15/21 21,235,000 21,536,960 
3.95% 6/15/26 11,126,000 11,334,591 
Perrigo Finance PLC:   
3.5% 12/15/21 1,541,000 1,597,392 
3.9% 12/15/24 5,449,000 5,618,253 
Teva Pharmaceutical Finance IV BV 2.875% 4/15/19 EUR1,050,000 1,293,622 
Teva Pharmaceutical Finance Netherlands III BV:   
1.25% 3/31/23 (Reg. S) EUR1,500,000 1,720,301 
2.2% 7/21/21 15,311,000 14,570,916 
2.8% 7/21/23 10,972,000 10,340,219 
3.15% 10/1/26 12,782,000 11,696,405 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (b) 4,690,000 4,631,375 
5.625% 12/1/21 (b) 8,980,000 8,239,150 
5.875% 5/15/23 (b) 9,480,000 8,081,700 
6.125% 4/15/25 (b) 9,290,000 7,838,438 
6.5% 3/15/22 (b) 2,500,000 2,621,875 
VPI Escrow Corp. 6.375% 10/15/20 (b) 1,865,000 1,846,910 
Zoetis, Inc.:   
1.875% 2/1/18 2,006,000 2,005,941 
3.25% 2/1/23 4,892,000 5,061,033 
3.45% 11/13/20 5,179,000 5,383,703 
  208,211,133 
TOTAL HEALTH CARE  448,896,046 
INDUSTRIALS - 0.9%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc.:   
3.8% 10/7/24 (b) 9,122,000 9,634,201 
6.375% 6/1/19 (b) 8,071,000 8,673,950 
DAE Funding LLC:   
4% 8/1/20 (b) 1,425,000 1,439,250 
4.5% 8/1/22 (b) 1,970,000 2,009,400 
5% 8/1/24 (b) 4,820,000 4,928,450 
TransDigm, Inc.:   
5.5% 10/15/20 3,580,000 3,634,774 
6% 7/15/22 420,000 434,700 
6.375% 6/15/26 2,060,000 2,119,225 
6.5% 5/15/25 4,460,000 4,593,800 
  37,467,750 
Air Freight & Logistics - 0.0%   
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) 3,045,000 3,259,673 
Airlines - 0.1%   
Air Canada 7.75% 4/15/21 (b) 1,470,000 1,681,827 
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 3/15/20 (b) 5,685,000 5,740,713 
Allegiant Travel Co. 5.5% 7/15/19 4,985,000 5,122,088 
American Airlines Group, Inc. 4.625% 3/1/20 (b) 1,650,000 1,695,375 
American Airlines, Inc. pass-thru trust certificates 5.625% 7/15/22 (b) 184,258 193,852 
Continental Airlines, Inc.:   
pass-thru trust certificates 9.798% 4/1/21 152,523 167,394 
6.648% 9/15/17 130,533 130,533 
6.9% 1/2/18 40,005 40,405 
U.S. Airways Group, Inc. 6.125% 6/1/18 895,000 920,731 
U.S. Airways pass-thru certificates:   
Series 2012-2C, 5.45% 6/3/18 1,690,000 1,717,463 
Series 2013-1 Class B, 5.375% 11/15/21 281,261 298,137 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 234,608 239,300 
8.36% 1/20/19 209,681 209,681 
United Air Lines, Inc. pass-thru trust certificates Class B, 7.336% 7/2/19 514,957 551,004 
United Continental Holdings, Inc. 6% 12/1/20 605,000 654,913 
  19,363,416 
Building Products - 0.1%   
Building Materials Corp. of America:   
5% 2/15/27 (b) 4,295,000 4,402,375 
5.125% 2/15/21 (b) 4,870,000 5,040,450 
5.375% 11/15/24 (b) 3,095,000 3,234,275 
6% 10/15/25 (b) 3,630,000 3,902,250 
HD Supply, Inc. 5.75% 4/15/24 (b) 2,440,000 2,616,900 
  19,196,250 
Commercial Services & Supplies - 0.2%   
ADS Waste Holdings, Inc. 5.625% 11/15/24 (b) 2,035,000 2,116,400 
APX Group, Inc.:   
6.375% 12/1/19 5,657,000 5,783,434 
7.625% 9/1/23 (b) 3,860,000 3,908,250 
7.875% 12/1/22 1,150,000 1,247,750 
8.75% 12/1/20 10,732,000 11,053,960 
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) 3,845,000 4,142,988 
CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 (b) 795,000 810,900 
Cenveo Corp. 6% 8/1/19 (b) 325,000 267,313 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) 3,420,000 3,591,000 
Prime Security One MS, Inc. 4.875% 7/15/32 (b) 2,490,000 2,306,363 
Securitas AB 1.125% 2/20/24 (Reg. S) EUR5,350,000 6,429,227 
  41,657,585 
Construction & Engineering - 0.0%   
Cementos Progreso Trust 7.125% 11/6/23 (b) 920,000 978,650 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b) 2,575,000 1,030,000 
7.125% 6/26/42 (b) 1,425,000 577,125 
  2,585,775 
Electrical Equipment - 0.0%   
Sensata Technologies BV 5% 10/1/25 (b) 4,285,000 4,488,538 
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) EUR2,740,000 3,516,028 
  8,004,566 
Industrial Conglomerates - 0.0%   
Alfa SA de CV 5.25% 3/25/24 (b) 450,000 489,375 
Machinery - 0.0%   
Xerium Technologies, Inc. 9.5% 8/15/21 2,500,000 2,587,500 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) 10,660,000 8,821,150 
Navios Maritime Holdings, Inc. 7.375% 1/15/22 (b) 1,520,000 1,235,000 
  10,056,150 
Road & Rail - 0.0%   
Alpha Trains Finance SA 2.064% 6/30/25 EUR4,000,000 4,810,008 
JSC Georgian Railway 7.75% 7/11/22 (b) 650,000 715,039 
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (b) 570,000 630,420 
  6,155,467 
Trading Companies & Distributors - 0.4%   
Air Lease Corp.:   
2.125% 1/15/18 7,271,000 7,281,123 
2.625% 9/4/18 16,438,000 16,573,498 
3.375% 6/1/21 10,493,000 10,824,213 
3.75% 2/1/22 26,396,000 27,743,562 
3.875% 4/1/21 14,814,000 15,512,301 
4.25% 9/15/24 12,030,000 12,755,487 
4.75% 3/1/20 11,796,000 12,530,579 
Ashtead Capital, Inc.:   
4.125% 8/15/25 (b) 1,490,000 1,527,742 
4.375% 8/15/27 (b) 1,575,000 1,606,500 
FLY Leasing Ltd. 6.375% 10/15/21 6,000,000 6,285,000 
Travis Perkins PLC:   
4.375% 9/15/21 (Reg. S) GBP203,000 276,246 
4.5% 9/7/23 (Reg. S) GBP1,950,000 2,628,988 
  115,545,239 
Transportation Infrastructure - 0.0%   
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) 1,960,000 2,067,330 
Brisa Concessao Rodoviaria SA 2.375% 5/10/27 EUR900,000 1,112,973 
Global Ports Finance PLC 6.872% 1/25/22 (b) 1,410,000 1,485,006 
Heathrow Funding Ltd. 6% 3/20/20 GBP3,800,000 5,502,991 
  10,168,300 
TOTAL INDUSTRIALS  276,537,046 
INFORMATION TECHNOLOGY - 0.4%   
Communications Equipment - 0.0%   
Banglalink Digital Communications Ltd.:   
8.625% 5/6/19 (b) 3,955,000 4,128,625 
8.625% 5/6/19 (Reg. S) 200,000 208,780 
CommScope Technologies Finance LLC 5% 3/15/27 (b) 2,305,000 2,297,048 
Proven Glory Capital Ltd. 3.25% 2/21/22 (Reg. S) 3,300,000 3,338,330 
  9,972,783 
Electronic Equipment & Components - 0.0%   
Belden, Inc. 5.25% 7/15/24 (b) 865,000 890,950 
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (b) 796,000 813,516 
4.42% 6/15/21 (b) 2,400,000 2,529,020 
Tyco Electronics Group SA:   
2.375% 12/17/18 2,244,000 2,256,965 
6.55% 10/1/17 1,383,000 1,387,744 
  7,878,195 
Internet Software & Services - 0.1%   
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 12.5% 7/1/22 (b) 5,095,000 5,859,250 
VeriSign, Inc.:   
4.75% 7/15/27 (b) 1,955,000 1,989,017 
5.25% 4/1/25 2,730,000 2,921,100 
  10,769,367 
IT Services - 0.0%   
Ceridian HCM Holding, Inc. 11% 3/15/21 (b) 440,000 465,850 
Gartner, Inc. 5.125% 4/1/25 (b) 1,335,000 1,406,756 
  1,872,606 
Semiconductors & Semiconductor Equipment - 0.2%   
Micron Technology, Inc.:   
5.25% 8/1/23 (b) 1,730,000 1,801,363 
5.25% 1/15/24 (b) 2,650,000 2,756,000 
5.5% 2/1/25 1,675,000 1,769,135 
5.625% 1/15/26 (b) 1,285,000 1,355,521 
NXP BV/NXP Funding LLC:   
3.875% 9/1/22 (b) 10,645,000 11,017,575 
4.125% 6/1/21 (b) 9,955,000 10,412,930 
4.625% 6/15/22 (b) 4,875,000 5,204,063 
4.625% 6/1/23 (b) 2,480,000 2,651,244 
Qorvo, Inc. 7% 12/1/25 5,885,000 6,664,763 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) 3,025,000 3,304,813 
Versum Materials, Inc. 5.5% 9/30/24 (b) 2,715,000 2,857,538 
  49,794,945 
Software - 0.1%   
CDK Global, Inc. 4.875% 6/1/27 (b) 1,820,000 1,847,300 
Greeneden U.S. Holdings II LLC 10% 11/30/24 (b) 3,810,000 4,333,875 
Nuance Communications, Inc. 5.375% 8/15/20 (b) 1,939,000 1,968,085 
Open Text Corp. 5.875% 6/1/26 (b) 11,080,000 12,007,950 
Symantec Corp. 5% 4/15/25 (b) 4,470,000 4,680,984 
  24,838,194 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (d) 4,836,000 5,135,114 
TOTAL INFORMATION TECHNOLOGY  110,261,204 
MATERIALS - 0.9%   
Chemicals - 0.2%   
Axalta Coating Systems 4.875% 8/15/24 (b) 1,287,000 1,315,958 
Braskem Finance Ltd.:   
5.375% 5/2/22 (b) 1,560,000 1,645,800 
5.75% 4/15/21 (b) 830,000 884,988 
6.45% 2/3/24 680,000 763,300 
Evolution Escrow Issuer LLC 7.5% 3/15/22 (b) 3,730,000 3,907,175 
Kraton Polymers LLC/Kraton Polymers Capital Corp. 7% 4/15/25 (b) 5,185,000 5,573,875 
NOVA Chemicals Corp.:   
4.875% 6/1/24 (b) 3,820,000 3,820,000 
5.25% 6/1/27 (b) 2,985,000 2,977,538 
Nufarm Australia Ltd. 6.375% 10/15/19 (b) 3,605,000 3,681,606 
OCP SA 5.625% 4/25/24 (b) 390,000 421,532 
Olin Corp. 5.125% 9/15/27 5,750,000 5,951,250 
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (b) 4,255,000 4,340,100 
The Chemours Co. LLC 5.375% 5/15/27 855,000 891,338 
The Dow Chemical Co.:   
4.125% 11/15/21 10,888,000 11,632,606 
4.25% 11/15/20 3,653,000 3,878,863 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) 4,650,000 4,754,625 
Valvoline, Inc. 4.375% 8/15/25 (b) 3,845,000 3,878,644 
  60,319,198 
Construction Materials - 0.1%   
CEMEX Finance LLC:   
4.625% 6/15/24 EUR200,000 257,756 
6% 4/1/24 (b) 5,665,000 5,998,102 
9.375% 10/12/22 (b) 985,000 1,037,205 
CEMEX S.A.B. de CV:   
4.375% 3/5/23 (Reg. S) EUR250,000 314,011 
4.75% 1/11/22 (Reg. S) EUR1,675,000 2,063,794 
5.7% 1/11/25 (b) 1,960,000 2,101,120 
7.75% 4/16/26 (b) 4,100,000 4,709,875 
Eagle Materials, Inc. 4.5% 8/1/26 4,180,000 4,357,650 
Summit Materials LLC/Summit Materials Finance Corp. 5.125% 6/1/25 (b) 870,000 887,400 
Union Andina de Cementos SAA 5.875% 10/30/21 (b) 635,000 663,702 
  22,390,615 
Containers & Packaging - 0.1%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
4.25% 9/15/22 (b) 3,145,000 3,223,625 
4.625% 5/15/23 (b) 6,305,000 6,478,388 
6% 2/15/25 (b) 9,765,000 10,399,725 
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 5,350,000 5,376,750 
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) 3,930,000 4,205,100 
Silgan Holdings, Inc. 4.75% 3/15/25 (b) 2,945,000 3,018,625 
  32,702,213 
Metals & Mining - 0.5%   
Anglo American Capital PLC 2.5% 9/18/18 EUR2,850,000 3,473,500 
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (b)(d) 7,018,000 7,693,833 
6.75% 10/19/75 (b)(d) 17,432,000 20,221,120 
Big River Steel LLC/BRS Finance Corp. 7.25% 9/1/25 (b) 1,585,000 1,660,288 
Cliffs Natural Resources, Inc. 5.75% 3/1/25 (b) 4,720,000 4,615,688 
Commercial Metals Co. 5.375% 7/15/27 5,020,000 5,233,350 
Compania Minera Ares SAC 7.75% 1/23/21 (b) 2,130,000 2,255,138 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (b) 8,277,000 8,382,035 
4.5% 8/1/47 (b) 6,545,000 6,719,097 
EVRAZ Group SA:   
5.375% 3/20/23 (b) 2,495,000 2,563,613 
6.5% 4/22/20 (b) 459,000 488,835 
8.25% 1/28/21 (Reg. S) 2,635,000 2,960,502 
Evraz, Inc. NA Canada 7.5% 11/15/19 (b) 38,000 38,570 
Ferrexpo Finance PLC:   
10.375% 4/7/19 (b) 200,000 212,250 
10.375% 4/7/19 (b) 1,167,000 1,238,479 
10.375% 4/7/19 (Reg. S) 275,000 291,844 
First Quantum Minerals Ltd.:   
7.25% 5/15/22 (b) 2,220,000 2,281,050 
7.25% 4/1/23 (b) 9,340,000 9,596,850 
7.5% 4/1/25 (b) 3,325,000 3,403,969 
FMG Resources (August 2006) Pty Ltd.:   
4.75% 5/15/22 (b) 1,360,000 1,404,200 
5.125% 5/15/24 (b) 3,895,000 4,041,063 
Freeport-McMoRan, Inc.:   
3.55% 3/1/22 10,100,000 9,935,875 
3.875% 3/15/23 3,080,000 3,049,200 
4.55% 11/14/24 9,320,000 9,296,700 
Gold Fields Orogen Holding BVI Ltd.:   
4.875% 10/7/20 (b) 2,055,000 2,120,246 
4.875% 10/7/20 (Reg. S) 200,000 206,350 
GTL Trade Finance, Inc. 5.893% 4/29/24 (b) 850,000 901,000 
Lundin Mining Corp.:   
7.5% 11/1/20 (b) 5,125,000 5,349,219 
7.875% 11/1/22 (b) 3,615,000 3,940,350 
Metalloinvest Finance Designated Activity Co. 4.85% 5/2/24 (b) 620,000 626,428 
Metinvest BV 9.3725% 12/31/21 pay-in-kind (d) 7,819,600 7,710,126 
Murray Energy Corp. 11.25% 4/15/21 (b) 1,725,000 1,000,500 
Polyus Finance PLC 5.25% 2/7/23 (b) 840,000 871,500 
Southern Copper Corp. 7.5% 7/27/35 1,210,000 1,564,048 
Steel Dynamics, Inc.:   
5.125% 10/1/21 2,205,000 2,262,771 
5.25% 4/15/23 3,040,000 3,146,400 
Stillwater Mining Co.:   
6.125% 6/27/22 (b) 3,225,000 3,263,700 
7.125% 6/27/25 (b) 1,200,000 1,228,200 
Vale Overseas Ltd.:   
4.375% 1/11/22 13,150,000 13,856,813 
5.875% 6/10/21 575,000 637,503 
6.875% 11/21/36 640,000 731,840 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 1,425,000 1,482,000 
8.25% 6/7/21 (b) 1,400,000 1,568,000 
VM Holding SA 5.375% 5/4/27 (b) 2,245,000 2,359,495 
  165,883,538 
Paper & Forest Products - 0.0%   
Sino-Forest Corp. 6.25% 10/21/17 (b)(f)(g) 1,365,000 0 
TOTAL MATERIALS  281,295,564 
REAL ESTATE - 2.7%   
Equity Real Estate Investment Trusts (REITs) - 1.5%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 2,884,000 2,916,206 
4.6% 4/1/22 4,896,000 5,264,744 
alstria office REIT-AG:   
2.125% 4/12/23 (Reg. S) EUR2,400,000 3,058,647 
2.25% 3/24/21 (Reg. S) EUR2,800,000 3,541,085 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 3,491,000 3,629,231 
AvalonBay Communities, Inc. 3.625% 10/1/20 5,005,000 5,218,282 
Boston Properties, Inc. 3.85% 2/1/23 5,829,000 6,205,358 
Camden Property Trust:   
2.95% 12/15/22 6,621,000 6,675,665 
4.25% 1/15/24 9,191,000 9,789,496 
CBL & Associates LP 4.6% 10/15/24 272,000 259,392 
CommonWealth REIT 5.875% 9/15/20 2,130,000 2,281,395 
Corporate Office Properties LP 5% 7/1/25 8,095,000 8,732,120 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 3,510,000 3,624,075 
DDR Corp.:   
3.625% 2/1/25 9,949,000 9,724,357 
3.9% 8/15/24 3,606,000 3,650,191 
4.25% 2/1/26 22,796,000 23,005,820 
4.625% 7/15/22 20,268,000 21,455,553 
4.7% 6/1/27 840,000 871,054 
7.875% 9/1/20 323,000 378,330 
Duke Realty LP:   
3.625% 4/15/23 6,287,000 6,536,677 
3.75% 12/1/24 5,408,000 5,657,494 
3.875% 10/15/22 17,388,000 18,384,613 
Equinix, Inc. 5.375% 5/15/27 1,680,000 1,808,100 
Equity One, Inc. 3.75% 11/15/22 18,100,000 18,812,798 
ERP Operating LP:   
2.375% 7/1/19 8,777,000 8,864,476 
4.75% 7/15/20 7,700,000 8,224,668 
Federal Realty Investment Trust 5.9% 4/1/20 2,504,000 2,740,523 
Health Care REIT, Inc.:   
2.25% 3/15/18 5,151,000 5,159,781 
4.7% 9/15/17 1,538,000 1,539,193 
iStar Financial, Inc. 6% 4/1/22 775,000 796,313 
Lexington Corporate Properties Trust 4.4% 6/15/24 4,608,000 4,680,409 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 4,930,000 5,114,875 
6.375% 3/1/24 2,250,000 2,444,063 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 42,087,000 43,964,439 
4.5% 1/15/25 10,686,000 10,986,121 
4.5% 4/1/27 50,980,000 51,755,233 
4.75% 1/15/28 29,482,000 30,015,898 
4.95% 4/1/24 17,495,000 18,560,072 
5.25% 1/15/26 29,233,000 31,370,937 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 3,376,000 3,302,259 
5% 12/15/23 2,030,000 2,130,408 
SBA Communications Corp. 4.875% 9/1/24 8,675,000 8,956,938 
Senior Housing Properties Trust 6.75% 4/15/20 250,000 270,668 
VEREIT Operating Partnership LP:   
4.125% 6/1/21 1,770,000 1,858,659 
4.875% 6/1/26 1,770,000 1,901,169 
Weingarten Realty Investors 3.375% 10/15/22 2,729,000 2,800,247 
WP Carey, Inc. 4% 2/1/25 34,017,000 34,772,088 
  453,690,120 
Real Estate Management & Development - 1.2%   
Akelius Residential Property AB 1.75% 2/7/25 (Reg. S) EUR2,750,000 3,314,374 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 26,418,000 27,023,820 
4.1% 10/1/24 15,881,000 16,139,972 
4.55% 10/1/29 17,155,000 17,673,669 
4.95% 4/15/18 12,690,000 12,901,443 
CBRE Group, Inc. 5% 3/15/23 465,000 483,600 
Deutsche Annington Finance BV 5% 10/2/23 (b) 5,800,000 6,267,755 
Digital Realty Trust LP:   
3.4% 10/1/20 17,707,000 18,327,238 
3.625% 10/1/22 9,206,000 9,634,126 
3.95% 7/1/22 11,840,000 12,563,459 
4.75% 10/1/25 30,612,000 33,379,459 
5.25% 3/15/21 5,708,000 6,231,442 
Essex Portfolio LP 3.875% 5/1/24 8,802,000 9,209,644 
Host Hotels & Resorts LP 4.75% 3/1/23 150,000 162,140 
Howard Hughes Corp. 5.375% 3/15/25 (b) 4,440,000 4,442,930 
Hunt Companies, Inc. 9.625% 3/1/21 (b) 870,000 913,500 
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) 5,000 5,744 
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) 770,000 866,358 
Liberty Property LP:   
3.375% 6/15/23 8,174,000 8,359,999 
4.125% 6/15/22 14,880,000 15,760,594 
4.4% 2/15/24 13,017,000 14,015,121 
4.75% 10/1/20 11,282,000 12,018,751 
Mack-Cali Realty LP:   
2.5% 12/15/17 9,223,000 9,233,134 
3.15% 5/15/23 14,735,000 14,062,076 
4.5% 4/18/22 17,365,000 17,874,063 
Mattamy Group Corp. 6.875% 12/15/23 (b) 850,000 864,875 
Post Apartment Homes LP 3.375% 12/1/22 2,570,000 2,645,222 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (b) 235,000 242,050 
SELP Finance SARL 1.25% 10/25/23 (Reg. S) EUR4,285,000 5,092,503 
Tanger Properties LP:   
3.125% 9/1/26 11,019,000 10,479,320 
3.75% 12/1/24 21,455,000 21,821,138 
3.875% 12/1/23 4,812,000 4,949,054 
Ventas Realty LP:   
3.125% 6/15/23 5,458,000 5,515,334 
3.5% 2/1/25 5,961,000 6,053,410 
3.75% 5/1/24 25,000,000 25,859,010 
4.125% 1/15/26 5,557,000 5,848,072 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 8,050,000 8,058,234 
4% 4/30/19 3,747,000 3,855,558 
4.25% 3/1/22 300,000 319,545 
  372,467,736 
TOTAL REAL ESTATE  826,157,856 
TELECOMMUNICATION SERVICES - 1.4%   
Diversified Telecommunication Services - 1.1%   
Altice Financing SA:   
6.5% 1/15/22 (b) 6,250,000 6,500,000 
6.625% 2/15/23 (b) 2,780,000 2,939,850 
7.5% 5/15/26 (b) 8,720,000 9,550,144 
Altice Finco SA 7.625% 2/15/25 (b) 3,995,000 4,219,719 
AT&T, Inc.:   
2.45% 6/30/20 11,294,000 11,390,494 
3% 6/30/22 29,259,000 29,589,264 
3.4% 5/15/25 39,520,000 39,256,777 
3.6% 2/17/23 27,844,000 28,690,753 
5.875% 10/1/19 5,944,000 6,401,578 
6.3% 1/15/38 16,665,000 19,565,288 
BellSouth Capital Funding Corp. 7.875% 2/15/30 40,000 53,434 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) 820,000 850,750 
GTH Finance BV:   
6.25% 4/26/20 (b) 1,240,000 1,315,404 
7.25% 4/26/23 (b) 4,795,000 5,425,159 
Sable International Finance Ltd. 6.875% 8/1/22 (b) 4,575,000 4,923,844 
SFR Group SA:   
6% 5/15/22 (b) 4,550,000 4,794,472 
6.25% 5/15/24 (b) 3,140,000 3,304,850 
7.375% 5/1/26 (b) 2,380,000 2,570,448 
Sprint Capital Corp. 6.875% 11/15/28 17,555,000 19,310,500 
TalkTalk Telecom Group PLC 5.375% 1/15/22 (Reg. S) GBP410,000 550,052 
TDC A/S 3.5% 2/26/3015 (Reg. S) (d) EUR1,550,000 1,898,247 
Telecom Italia Capital SA:   
6% 9/30/34 2,425,000 2,679,625 
6.375% 11/15/33 3,785,000 4,324,363 
Telecom Italia SpA 5.303% 5/30/24 (b) 1,065,000 1,152,863 
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) 1,650,000 1,710,605 
Verizon Communications, Inc.:   
2.625% 2/21/20 12,550,000 12,806,207 
4.5% 9/15/20 36,000,000 38,617,232 
5.012% 4/15/49 2,831,000 2,843,069 
5.012% 8/21/54 55,038,000 54,111,871 
5.5% 3/16/47 18,149,000 19,612,360 
Wind Acquisition Finance SA:   
4.75% 7/15/20 (b) 2,035,000 2,060,438 
7% 4/23/21 (Reg S.) EUR4,300,000 5,326,149 
  348,345,809 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 3.125% 7/16/22 9,218,000 9,549,931 
Comcel Trust 6.875% 2/6/24 (b) 725,000 771,567 
Digicel Group Ltd. 6.75% 3/1/23 (b) 560,000 536,900 
Inmarsat Finance PLC 4.875% 5/15/22 (b) 2,105,000 2,141,838 
Millicom International Cellular SA:   
6% 3/15/25 (b) 1,375,000 1,471,525 
6.625% 10/15/21 (b) 2,975,000 3,075,406 
Sprint Communications, Inc.:   
6% 11/15/22 4,840,000 5,148,550 
9% 11/15/18 (b) 2,225,000 2,403,000 
Sprint Corp.:   
7.25% 9/15/21 7,925,000 8,737,313 
7.625% 2/15/25 4,740,000 5,356,200 
7.875% 9/15/23 12,075,000 13,797,257 
T-Mobile U.S.A., Inc.:   
4% 4/15/22 5,110,000 5,263,300 
6% 3/1/23 4,060,000 4,278,225 
6.375% 3/1/25 4,860,000 5,233,613 
6.5% 1/15/24 6,085,000 6,495,738 
6.625% 4/1/23 12,185,000 12,839,944 
Telesat Canada/Telesat LLC 8.875% 11/15/24 (b) 3,705,000 4,149,600 
Vodafone Group PLC 7.875% 2/15/30 1,850,000 2,524,778 
  93,774,685 
TOTAL TELECOMMUNICATION SERVICES  442,120,494 
UTILITIES - 2.0%   
Electric Utilities - 1.1%   
American Electric Power Co., Inc.:   
1.65% 12/15/17 5,213,000 5,213,669 
2.95% 12/15/22 4,935,000 5,062,652 
DPL, Inc. 6.75% 10/1/19 2,490,000 2,608,275 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (b) 29,344,000 33,244,162 
6.4% 9/15/20 (b) 25,897,000 29,023,954 
Edison International 3.75% 9/15/17 6,674,000 6,677,375 
Eversource Energy:   
1.45% 5/1/18 3,325,000 3,322,894 
2.8% 5/1/23 15,104,000 15,304,009 
Exelon Corp. 2.85% 6/15/20 4,888,000 4,995,396 
FirstEnergy Corp.:   
4.25% 3/15/23 31,243,000 33,153,439 
7.375% 11/15/31 64,123,000 86,540,400 
FirstEnergy Solutions Corp. 6.05% 8/15/21 20,194,000 9,238,755 
InterGen NV 7% 6/30/23 (b) 2,690,000 2,636,200 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 27,495,000 27,769,950 
3.7% 9/1/24 (b) 10,462,000 10,551,811 
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) 600,000 767,406 
LG&E and KU Energy LLC 3.75% 11/15/20 1,450,000 1,516,678 
Monongahela Power Co. 4.1% 4/15/24 (b) 3,982,000 4,290,691 
Nevada Power Co. 6.5% 5/15/18 790,000 816,071 
NRG Yield Operating LLC 5% 9/15/26 3,945,000 4,033,763 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) 8,546,353 9,208,695 
NV Energy, Inc. 6.25% 11/15/20 3,500,000 3,936,357 
Pampa Holding SA 7.5% 1/24/27 (b) 1,390,000 1,487,300 
Pennsylvania Electric Co. 6.05% 9/1/17 764,000 764,000 
PG&E Corp. 2.4% 3/1/19 1,683,000 1,694,598 
PPL Capital Funding, Inc. 3.4% 6/1/23 7,184,000 7,456,000 
Progress Energy, Inc. 4.4% 1/15/21 12,059,000 12,844,520 
TECO Finance, Inc. 5.15% 3/15/20 3,761,000 4,017,570 
Western Power Distribution 3.875% 10/17/24 (Reg. S) GBP1,200,000 1,769,550 
Western Power Distribution Holdings Ltd. 5.25% 1/17/23 GBP3,300,000 5,076,809 
  335,022,949 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 3,646,000 3,854,358 
Independent Power and Renewable Electricity Producers - 0.4%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 67,644,000 73,562,850 
Dynegy, Inc.:   
7.625% 11/1/24 8,010,000 8,260,313 
8.125% 1/30/26 (b) 3,095,000 3,195,588 
Emera U.S. Finance LP:   
2.15% 6/15/19 5,136,000 5,143,575 
2.7% 6/15/21 5,055,000 5,107,023 
3.55% 6/15/26 8,087,000 8,239,621 
Listrindo Capital BV 4.95% 9/14/26 (b) 820,000 830,086 
NRG Energy, Inc.:   
6.25% 5/1/24 4,510,000 4,667,850 
6.625% 1/15/27 1,695,000 1,779,750 
TerraForm Power Operating LLC 6.375% 2/1/23 (b)(d) 4,980,000 5,154,300 
The AES Corp.:   
3 month U.S. LIBOR + 3.000% 4.2018% 6/1/19 (d)(e) 1,359,000 1,360,699 
4.875% 5/15/23 9,515,000 9,729,088 
5.125% 9/1/27 1,595,000 1,622,913 
6% 5/15/26 1,545,000 1,649,288 
Three Gorges Finance II (Cayman Islands) Ltd. 1.3% 6/21/24 (Reg. S) EUR2,500,000 3,014,425 
  133,317,369 
Multi-Utilities - 0.5%   
Berkshire Hathaway Energy Co. 2% 11/15/18 12,172,000 12,216,744 
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 3.5964% 9/30/66 (d)(e) 35,229,000 32,301,470 
3 month U.S. LIBOR + 2.825% 4.1214% 6/30/66 (d)(e) 10,345,000 10,021,719 
NiSource Finance Corp.:   
5.25% 2/15/43 12,739,000 14,980,306 
5.8% 2/1/42 6,336,000 7,687,378 
5.95% 6/15/41 11,832,000 14,938,850 
6.8% 1/15/19 1,039,000 1,105,190 
Puget Energy, Inc.:   
6% 9/1/21 15,565,000 17,575,319 
6.5% 12/15/20 5,125,000 5,757,386 
RWE AG 7% 10/12/72 (Reg. S) (d) 3,650,000 3,668,615 
Sempra Energy:   
2.875% 10/1/22 5,760,000 5,828,483 
6% 10/15/39 15,009,000 19,373,730 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.4275% 5/15/67 (d)(e) 3,860,000 3,734,550 
  149,189,740 
TOTAL UTILITIES  621,384,416 
TOTAL NONCONVERTIBLE BONDS   
(Cost $9,520,414,565)  9,977,418,532 
U.S. Government and Government Agency Obligations - 37.5%   
U.S. Treasury Inflation-Protected Obligations - 7.1%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $234,051,750 $226,638,246 
0.875% 2/15/47 20,295,200 20,331,186 
1% 2/15/46 146,160,058 150,581,810 
1.375% 2/15/44 139,241,779 155,878,562 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/24 170,488,616 169,946,977 
0.125% 7/15/26 196,310,832 192,961,701 
0.25% 1/15/25 77,565,000 77,405,465 
0.375% 7/15/25 409,759,034 413,467,011 
0.375% 1/15/27 402,034,228 401,818,834 
0.375% 7/15/27 150,207,000 150,576,985 
0.625% 1/15/26 206,182,000 211,043,541 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  2,170,650,318 
U.S. Treasury Obligations - 30.4%   
U.S. Treasury Bonds:   
2.5% 2/15/45 (h)(i) 2,045,000 1,957,209 
2.5% 2/15/46 (j) 1,762,000 1,681,196 
3% 5/15/45 145,382,000 153,502,948 
3% 11/15/45 207,323,000 218,741,961 
3% 2/15/47 658,626,000 695,004,799 
3% 5/15/47 103,797,000 109,582,872 
5% 5/15/37 (h) 775,000 1,083,971 
U.S. Treasury Notes:   
0.75% 2/15/19 (j) 12,650,000 12,551,172 
1.125% 6/30/21 1,125,000 1,105,884 
1.25% 3/31/21 1,180,775,000 1,168,598,258 
1.25% 10/31/21 453,470,000 446,561,666 
1.375% 4/30/21 484,800,000 481,599,564 
1.5% 5/15/20 408,760,000 409,797,866 
1.5% 8/15/26 221,635,000 210,916,869 
1.625% 7/31/20 (j) 4,593,000 4,619,194 
1.625% 2/15/26 (h)(j) 2,949,000 2,847,974 
1.625% 5/15/26 25,750,000 24,814,551 
1.75% 12/31/20 600,000,000 604,687,500 
1.75% 6/30/22 952,845,000 954,594,366 
1.875% 3/31/22 1,455,761,000 1,468,100,747 
1.875% 8/31/24 729,808,000 726,215,885 
2% 12/31/21 906,934,000 920,077,460 
2% 4/30/24 25,000,000 25,124,024 
2% 8/15/25 (h)(j) 5,305,000 5,292,774 
2% 11/15/26 17,577,000 17,417,022 
2.125% 7/31/24 649,329,000 656,963,687 
2.25% 11/15/25 (h)(j) 1,800,000 1,827,633 
TOTAL U.S. TREASURY OBLIGATIONS  9,325,269,052 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $11,443,155,377)  11,495,919,370 
U.S. Government Agency - Mortgage Securities - 15.7%   
Fannie Mae - 9.3%   
12 month U.S. LIBOR + 1.445% 3.195% 4/1/37 (d)(e) 58,538 61,224 
12 month U.S. LIBOR + 1.480% 3.14% 7/1/34 (d)(e) 27,057 28,283 
12 month U.S. LIBOR + 1.495% 2.963% 1/1/35 (d)(e) 119,957 124,647 
12 month U.S. LIBOR + 1.507% 3.2% 7/1/37 (d)(e) 16,464 17,235 
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (d)(e) 89,059 92,030 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (d)(e) 25,292 26,579 
12 month U.S. LIBOR + 1.594% 3.448% 5/1/36 (d)(e) 120,427 126,084 
12 month U.S. LIBOR + 1.617% 3.172% 3/1/33 (d)(e) 65,981 69,137 
12 month U.S. LIBOR + 1.641% 2.862% 9/1/36 (d)(e) 68,109 71,384 
12 month U.S. LIBOR + 1.643% 2.815% 9/1/36 (d)(e) 33,332 34,876 
12 month U.S. LIBOR + 1.645% 3.309% 6/1/47 (d)(e) 61,972 65,732 
12 month U.S. LIBOR + 1.718% 3.01% 5/1/35 (d)(e) 161,999 170,688 
12 month U.S. LIBOR + 1.725% 2.583% 6/1/42 (d)(e) 207,898 214,865 
12 month U.S. LIBOR + 1.728% 3.314% 11/1/36 (d)(e) 55,682 58,750 
12 month U.S. LIBOR + 1.741% 3.332% 3/1/40 (d)(e) 284,424 301,782 
12 month U.S. LIBOR + 1.745% 3.374% 7/1/35 (d)(e) 73,514 77,553 
12 month U.S. LIBOR + 1.750% 3.031% 8/1/41 (d)(e) 652,797 691,199 
12 month U.S. LIBOR + 1.788% 3.413% 2/1/36 (d)(e) 229,221 238,208 
12 month U.S. LIBOR + 1.800% 2.759% 1/1/42 (d)(e) 1,041,856 1,094,269 
12 month U.S. LIBOR + 1.800% 3.558% 7/1/41 (d)(e) 198,969 207,285 
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (d)(e) 64,272 68,146 
12 month U.S. LIBOR + 1.810% 3.435% 12/1/39 (d)(e) 132,367 137,855 
12 month U.S. LIBOR + 1.812% 3.471% 12/1/40 (d)(e) 7,157,940 7,474,741 
12 month U.S. LIBOR + 1.815% 2.944% 11/1/40 (d)(e) 79,405 83,133 
12 month U.S. LIBOR + 1.815% 3.109% 9/1/41 (d)(e) 215,818 224,947 
12 month U.S. LIBOR + 1.818% 2.695% 2/1/42 (d)(e) 1,133,758 1,189,958 
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (d)(e) 123,969 131,517 
12 month U.S. LIBOR + 1.818% 3.249% 7/1/41 (d)(e) 164,120 171,352 
12 month U.S. LIBOR + 1.820% 3.445% 12/1/35 (d)(e) 213,655 226,472 
12 month U.S. LIBOR + 1.830% 3.38% 10/1/41 (d)(e) 111,552 118,438 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (d)(e) 100,000 106,100 
12 month U.S. LIBOR + 1.900% 3.606% 7/1/37 (d)(e) 113,509 118,413 
6 month U.S. LIBOR + 1.375% 2.75% 10/1/34 (d)(e) 1,296 1,338 
6 month U.S. LIBOR + 1.475% 2.85% 10/1/33 (d)(e) 1,223 1,261 
6 month U.S. LIBOR + 1.505% 2.846% 1/1/35 (d)(e) 177,810 183,610 
6 month U.S. LIBOR + 1.505% 2.88% 1/1/35 (d)(e) 773 803 
6 month U.S. LIBOR + 1.510% 2.854% 2/1/33 (d)(e) 773 797 
6 month U.S. LIBOR + 1.535% 2.833% 3/1/35 (d)(e) 15,626 16,156 
6 month U.S. LIBOR + 1.535% 2.884% 12/1/34 (d)(e) 39,188 40,501 
6 month U.S. LIBOR + 1.556% 2.922% 10/1/33 (d)(e) 12,017 12,424 
6 month U.S. LIBOR + 1.565% 2.845% 7/1/35 (d)(e) 16,635 17,221 
6 month U.S. LIBOR + 1.740% 3.115% 12/1/34 (d)(e) 3,918 4,096 
6 month U.S. LIBOR + 1.960% 3.335% 9/1/35 (d)(e) 25,761 27,136 
U.S. TREASURY 1 YEAR INDEX + 1.945% 2.52% 10/1/33 (d)(e) 289,120 300,901 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (d)(e) 37,194 39,340 
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.899% 6/1/36 (d)(e) 207,468 219,067 
U.S. TREASURY 1 YEAR INDEX + 2.295% 2.798% 10/1/33 (d)(e) 75,874 80,103 
U.S. TREASURY 1 YEAR INDEX + 2.447% 3.167% 7/1/34 (d)(e) 177,919 188,901 
2.5% 9/1/32 (k) 13,500,000 13,688,591 
2.5% 12/1/42 to 8/1/43 12,769,435 12,578,664 
3% 11/1/23 to 8/1/47 800,001,453 816,284,920 
3% 9/1/32 (k) 74,000,000 76,402,573 
3% 9/1/32 (k) 65,950,000 68,091,212 
3% 9/1/32 (k) 119,200,000 123,070,090 
3% 9/1/32 (k) 31,950,000 32,987,327 
3% 9/1/32 (k) 31,650,000 32,677,587 
3.5% 3/1/25 to 10/1/56 537,374,966 559,778,167 
3.5% 9/1/47 (k) 113,050,000 117,128,109 
3.5% 9/1/47 (k) 107,850,000 111,740,527 
3.5% 9/1/47 (k) 35,300,000 36,573,395 
4% 9/1/24 to 10/1/46 345,647,010 367,338,353 
4% 9/1/47 (k) 14,400,000 15,213,983 
4.5% 6/1/33 to 8/1/56 122,768,410 133,089,361 
5% 3/1/18 to 8/1/56 214,023,690 235,302,454 
5.255% 8/1/41 2,319,440 2,573,710 
5.5% 12/1/17 to 3/1/41 24,273,241 26,939,744 
6% 7/1/19 to 1/1/42 17,006,196 19,428,979 
6.309% 2/1/39 4,119,120 4,480,466 
6.5% 10/1/17 to 8/1/39 27,643,987 32,058,735 
7% 9/1/21 to 7/1/37 1,228,024 1,418,053 
7.5% 6/1/25 to 2/1/32 541,939 631,303 
8% 7/1/29 to 3/1/37 13,668 16,511 
8.5% 12/1/19 to 6/1/22 279 307 
9.5% 6/1/18 to 9/1/21 4,398 4,550 
TOTAL FANNIE MAE  2,854,454,208 
Freddie Mac - 3.5%   
12 month U.S. LIBOR + 1.325% 2.79% 1/1/36 (d)(e) 51,763 53,562 
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (d)(e) 16,431 17,015 
12 month U.S. LIBOR + 1.375% 2.854% 3/1/36 (d)(e) 136,088 141,095 
12 month U.S. LIBOR + 1.500% 3.129% 3/1/36 (d)(e) 163,318 170,779 
12 month U.S. LIBOR + 1.515% 2.93% 11/1/35 (d)(e) 79,311 82,636 
12 month U.S. LIBOR + 1.750% 3.249% 7/1/41 (d)(e) 739,532 777,281 
12 month U.S. LIBOR + 1.750% 3.394% 12/1/40 (d)(e) 3,825,013 3,981,255 
12 month U.S. LIBOR + 1.754% 3.098% 9/1/41 (d)(e) 1,196,444 1,265,875 
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (d)(e) 36,081 38,196 
12 month U.S. LIBOR + 1.864% 3.614% 4/1/36 (d)(e) 81,087 84,273 
12 month U.S. LIBOR + 1.874% 3.432% 10/1/42 (d)(e) 1,120,147 1,174,625 
12 month U.S. LIBOR + 1.877% 3.215% 4/1/41 (d)(e) 109,482 113,732 
12 month U.S. LIBOR + 1.880% 3.222% 9/1/41 (d)(e) 128,428 136,287 
12 month U.S. LIBOR + 1.910% 3.282% 6/1/41 (d)(e) 146,070 152,513 
12 month U.S. LIBOR + 1.910% 3.421% 5/1/41 (d)(e) 121,731 129,245 
12 month U.S. LIBOR + 1.910% 3.625% 5/1/41 (d)(e) 166,467 174,291 
12 month U.S. LIBOR + 1.910% 3.647% 6/1/41 (d)(e) 157,945 165,333 
12 month U.S. LIBOR + 1.920% 3.67% 6/1/36 (d)(e) 20,585 21,855 
12 month U.S. LIBOR + 1.993% 5.165% 4/1/38 (d)(e) 118,329 125,633 
12 month U.S. LIBOR + 2.045% 3.81% 7/1/36 (d)(e) 62,928 66,812 
12 month U.S. LIBOR + 2.197% 3.537% 3/1/33 (d)(e) 1,850 1,959 
12 month U.S. LIBOR + 2.200% 3.7% 12/1/36 (d)(e) 111,536 116,719 
6 month U.S. LIBOR + 1.125% 2.5% 8/1/37 (d)(e) 33,931 34,551 
6 month U.S. LIBOR + 1.445% 2.82% 3/1/35 (d)(e) 44,988 46,303 
6 month U.S. LIBOR + 1.608% 2.955% 12/1/35 (d)(e) 81,195 84,038 
6 month U.S. LIBOR + 1.647% 3.025% 2/1/37 (d)(e) 147,020 153,168 
6 month U.S. LIBOR + 1.675% 3.05% 6/1/37 (d)(e) 28,135 29,360 
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (d)(e) 52,497 54,046 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (d)(e) 26,162 27,118 
6 month U.S. LIBOR + 1.932% 3.25% 10/1/36 (d)(e) 236,127 245,974 
6 month U.S. LIBOR + 1.976% 3.34% 10/1/35 (d)(e) 118,275 124,219 
6 month U.S. LIBOR + 2.010% 3.385% 6/1/37 (d)(e) 23,779 25,111 
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (d)(e) 116,681 121,039 
6 month U.S. LIBOR + 2.066% 3.428% 6/1/37 (d)(e) 39,420 41,686 
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (d)(e) 115,245 122,358 
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.889% 6/1/33 (d)(e) 168,915 176,130 
U.S. TREASURY 1 YEAR INDEX + 2.267% 3.214% 6/1/33 (d)(e) 421,157 442,218 
U.S. TREASURY 1 YEAR INDEX + 2.418% 3.104% 3/1/35 (d)(e) 769,741 817,254 
2.5% 7/1/31 6,484,780 6,583,984 
3% 3/1/32 to 2/1/47 225,921,785 229,155,466 
3.5% 1/1/32 to 9/1/46 (h)(i)(l) 394,567,566 412,025,754 
3.5% 8/1/47 37,576,350 38,974,427 
3.5% 9/1/47 (k) 8,600,000 8,912,583 
4% 7/1/31 to 6/1/47 281,141,176 298,817,945 
4.5% 6/1/25 to 1/1/45 21,419,366 23,213,948 
5% 6/1/20 to 7/1/41 22,161,115 24,398,372 
5.5% 10/1/17 to 3/1/41 8,109,725 8,986,308 
6% 9/1/17 to 12/1/37 2,411,948 2,736,461 
6.5% 5/1/18 to 9/1/39 3,257,038 3,739,623 
7% 6/1/21 to 9/1/36 1,105,531 1,284,032 
7.5% 1/1/27 to 4/1/32 21,775 25,536 
8% 7/1/24 to 1/1/37 33,931 40,397 
8.5% 9/1/19 to 1/1/28 28,764 33,240 
9% 10/1/20 22 24 
9.5% 5/1/21 to 7/1/21 137 145 
10% 2/1/20 to 11/1/20 53 56 
11% 7/1/19 to 9/1/20 16 17 
TOTAL FREDDIE MAC  1,070,463,862 
Ginnie Mae - 2.9%   
3% 5/20/42 to 8/20/47 320,590,314 327,742,426 
3% 9/1/47 (k) 20,000,000 20,413,590 
3.5% 11/15/40 to 6/20/46 (h) 276,278,729 289,534,921 
3.5% 9/1/47 (k) 11,300,000 11,783,020 
3.5% 9/1/47 (k) 11,780,000 12,283,537 
4% 5/20/33 to 4/20/47 134,266,559 143,313,620 
4.5% 6/20/33 to 8/15/41 55,115,448 59,834,673 
5% 12/15/32 to 9/15/41 23,732,729 26,364,364 
5.5% 7/15/33 to 9/15/39 1,944,703 2,193,397 
6% 10/15/30 to 11/15/39 571,325 655,138 
6.5% 3/20/31 to 11/15/37 330,092 383,194 
7% 10/15/22 to 3/15/33 1,122,401 1,321,613 
7.5% 8/15/21 to 9/15/31 484,218 555,499 
8% 11/15/21 to 11/15/29 155,947 177,484 
8.5% 10/15/21 to 1/15/31 30,834 36,414 
9% 8/15/19 to 1/15/23 950 1,013 
9.5% 12/15/20 to 2/15/25 364 393 
11% 9/20/19 353 374 
TOTAL GINNIE MAE  896,594,670 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $4,811,433,248)  4,821,512,740 
Asset-Backed Securities - 1.1%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 1.9394% 4/25/35 (d)(e) $664,344 $654,660 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.8844% 3/25/34 (d)(e) 207,834 207,435 
Airspeed Ltd. Series 2007-1A Class C1, 1 month U.S. LIBOR + 2.500% 3.7267% 6/15/32 (b)(d)(e)(g) 2,946,522 942,887 
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (b) 930,196 930,587 
American Homes 4 Rent:   
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) 147,000 167,296 
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) 428,000 492,330 
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) 599,438 661,805 
Series 2015-SFR2:   
Class E, 6.07% 10/17/45 (b) 981,000 1,117,653 
Class XS, 0% 10/17/45 (b)(d)(g)(m) 687,019 7 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.2844% 12/25/33 (d)(e) 34,111 32,910 
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (d)(e) 89,819 79,820 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.0144% 3/25/34 (d)(e) 47,932 45,248 
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.2844% 11/25/34 (d)(e) 461,974 460,017 
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 5/25/34 (d)(e) 1,209,950 1,160,988 
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.3944% 5/25/36 (d)(e) 1,087,400 422,147 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (d)(e) 1,383,062 1,297,258 
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6044% 3/25/36 (d)(e) 18,309 6,685 
Avis Budget Rental Car Funding (AESOP) LLC Series 2012-3A Class A, 2.1% 3/20/19 (b) 9,200,000 9,209,314 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (b) 44,452,031 46,058,350 
Class AA, 2.487% 12/16/41 (b) 10,285,063 10,347,041 
CAM Mortgage Trust Series 2017-1 Class A1, 3.22% 8/1/57 (b) 18,470,696 18,488,241 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3744% 12/25/36 (d)(e) 1,802,588 1,500,975 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 2.5844% 10/25/37 (b)(d)(e) 20,158,172 20,023,334 
CLUB Credit Trust Series 2017-NP1 Class A, 2.39% 4/17/23 (b) 6,200,569 6,203,718 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 6.4844% 3/25/32 (d)(e) 3,192 3,189 
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.6894% 4/25/34 (d)(e) 52,056 49,074 
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.0294% 6/25/34 (d)(e) 78,667 78,146 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,196,869 1,213,709 
Series 2005-3 Class MV4, 1 month U.S. LIBOR + 0.620% 1.8544% 8/25/35 (d)(e) 2,910,898 2,913,740 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5544% 8/25/33 (d)(e) 212,195 209,067 
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.5244% 8/25/33 (d)(e) 342,895 333,597 
Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700%1.9322% 12/25/33 (d)(e) 32,929 31,902 
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 173,987 178,967 
Exeter Automobile Receivables Trust Series 2017-2A Class A, 2.22% 6/15/21 (b) 15,750,314 15,783,058 
Fannie Mae:   
Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 1.9452% 5/28/35 (d)(e) 38,916 37,480 
Series 2017-T1 Class A, 2.898% 6/25/27 52,094,771 52,748,795 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.4094% 8/25/34 (d)(e) 217,152 211,059 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 3/25/34 (d)(e) 2,512 2,190 
Flagship Credit Auto Trust Series 2015-3 Class A, 2.38% 10/15/20 (b) 3,645,006 3,648,916 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1 month U.S. LIBOR + 0.735% 1.9694% 1/25/35 (d)(e) 948,695 927,869 
Class M4, 1 month U.S. LIBOR + 1.020% 2.2544% 1/25/35 (d)(e) 347,133 202,886 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.6972% 2/25/47 (b)(d)(e) 490,944 464,681 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 1.4089% 11/15/34 (b)(d)(e) 442,002 427,793 
Class B, 1 month U.S. LIBOR + 0.280% 1.5067% 11/15/34 (b)(d)(e) 159,664 149,361 
Class C, 1 month U.S. LIBOR + 0.380% 1.6067% 11/15/34 (b)(d)(e) 265,356 246,006 
Class D, 1 month U.S. LIBOR + 0.750% 1.9767% 11/15/34 (b)(d)(e) 100,764 91,871 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b) 75,390 6,325 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.4244% 1/25/37 (d)(e) 1,465,853 1,043,464 
Invitation Homes Trust:   
Series 2014-SFR3 Class E, 1 month U.S. LIBOR + 4.500% 5.7256% 12/17/31 (b)(d)(e) 40,436 40,436 
Series 2014-SRF2 Class F, 1 month U.S. LIBOR + 4.000% 5.2094% 9/17/31 (b)(d)(e) 335,000 335,612 
Series 2015-SFR2 Class E, 1 month U.S. LIBOR + 3.150% 4.376% 6/17/32 (b)(d)(e) 485,000 490,142 
Series 2015-SRF1 Class E, 1 month U.S. LIBOR + 4.300% 5.4256% 3/17/32 (b)(d)(e) 624,000 634,504 
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (d)(e) 3,243,000 2,239,276 
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 1 month U.S. LIBOR + 0.160% 1.3944% 11/25/36 (d)(e) 4,199,797 2,120,766 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5344% 5/25/37 (d)(e) 275,754 82,485 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 1.9844% 7/25/34 (d)(e) 88,697 83,505 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.2094% 7/25/34 (d)(e) 132,889 128,495 
Series 2006-FF1 Class M2, 1 month U.S. LIBOR + 0.290% 1.5244% 8/25/36 (d)(e) 13,300,000 13,223,312 
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3444% 4/25/37 (d)(e) 2,706 1,658 
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.7544% 6/25/35 (d)(e) 1,160,779 1,125,584 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 1.9144% 8/25/34 (d)(e) 57,368 51,034 
Series 2004-NC6 Class M3, 1 month U.S. LIBOR + 2.175% 3.4094% 7/25/34 (d)(e) 12,838 12,363 
Series 2004-NC8 Class M6, 1 month U.S. LIBOR + 1.875% 3.1094% 9/25/34 (d)(e) 14,735 14,526 
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.8944% 1/25/35 (d)(e) 122,347 117,943 
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 2.9894% 3/25/35 (d)(e) 124,884 4,080 
Nationstar HECM Loan Trust Series 2017-1A Class A, 1.9679% 5/25/27 (b)(g) 22,578,519 22,576,035 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.7444% 9/25/35 (d)(e) 1,426,957 1,398,621 
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (b) 143,487 143,497 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 1 month U.S. LIBOR + 1.875% 3.1072% 9/25/34 (d)(e) 479,652 474,894 
Class M4, 1 month U.S. LIBOR + 2.175% 3.4072% 9/25/34 (d)(e) 683,353 551,303 
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.4794% 1/25/36 (d)(e) 1,475,804 1,453,558 
Progress Residential Trust:   
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) 168,000 177,228 
Series 2017-SFR1 Class F, 6.511% 8/17/34 (b) 160,000 163,649 
Prosper Marketplace Issuance Trust Series 2017-1A Class A, 2.56% 6/15/23 (b) 13,027,119 13,067,163 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.0344% 4/25/33 (d)(e) 5,108 4,646 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.0294% 3/25/35 (d)(e) 482,983 473,774 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.1956% 6/15/33 (d)(e) 181,533 181,358 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 2.9594% 9/25/34 (d)(e) 32,987 30,496 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.0944% 9/25/34 (d)(e) 28,819 27,345 
Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 4.212% 5/17/32 (b) 25,377,589 26,255,306 
Towd Point Mortgage Trust Series 2017-1 Class A1, 2.75% 10/25/56 (b)(d) 31,358,793 31,736,055 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.7098% 4/6/42 (b)(d)(e)(g) 2,573,000 1,299,365 
Tricon American Homes Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) 1,092,000 1,097,052 
Tricon American Homes Trust Series 2016-SFR1:   
Class B, 2.989% 11/17/33 (b) 517,000 519,242 
Class F, 5.769% 11/17/33 (b) 456,000 474,674 
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (b) 1,188,166 1,188,474 
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 3 month U.S. LIBOR + 0.850% 2.0217% 11/21/40 (b)(d)(e) 305,000 266,113 
TOTAL ASSET-BACKED SECURITIES   
(Cost $314,269,482)  325,779,420 
Collateralized Mortgage Obligations - 2.3%   
Private Sponsor - 0.7%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 1.3561% 6/27/36 (b)(d)(e) 10,533,198 10,263,548 
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 3.3685% 12/26/35 (b)(d) 1,705,900 1,710,506 
BCAP LLC Trust sequential payer:   
Series 2012-RR5 Class 8A5, 1.4122% 7/26/36 (b)(d) 1,698,253 1,639,324 
Series 2013-RR4 Class 2A1, 3.6531% 5/26/47 (b)(d) 3,109,963 3,123,078 
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.7944% 1/25/35 (d)(e) 554,318 558,889 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) 7,826,661 7,816,487 
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 3.4927% 1/25/37 (b)(d) 2,789,921 2,846,278 
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.8991% 10/26/37 (b)(d) 32,962 32,883 
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) 8,442,173 8,666,735 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 1.4945% 5/27/37 (b)(d)(e) 8,183,109 7,840,237 
Series 2011-2R Class 2A1, 3.3199% 7/27/36 (b)(d) 984,648 983,171 
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 1.9161% 5/27/37 (b)(d)(e) 879,958 850,655 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.1125% 10/25/34 (d) 310,928 312,543 
Freddie Mac Seasoned Credit Risk Transfer Series sequential payer Series 2017-1 Class MA, 3% 1/25/56 17,976,374 18,289,511 
FREMF Mortgage Trust:   
Series 2010-K6 Class B, 5.367% 12/25/46 (b)(d) 910,000 973,050 
Series 2010-K7 Class B, 5.4999% 4/25/20 (b)(d) 1,000,000 1,077,880 
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.9833% 3/25/37 (d) 559,514 558,773 
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 1.4182% 6/21/36 (b)(d)(e) 5,924,776 5,859,011 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4234% 8/25/36 (d) 791,788 760,158 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.3861% 2/25/37 (d)(e) 1,690,220 1,645,352 
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1 month U.S. LIBOR + 1.170% 2.4006% 6/10/19 (b)(d)(e) 45,638,000 45,565,481 
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 3.2922% 3/26/37 (b)(d) 1,922,088 1,924,395 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.5244% 7/25/35 (d)(e) 466,181 460,261 
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 3.4027% 7/26/45 (b)(d) 9,048,050 9,181,056 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 1 month U.S. LIBOR + 2.350% 3.5744% 6/10/35 (b)(d)(e) 216,834 154,088 
Class B6, 1 month U.S. LIBOR + 2.850% 4.0744% 6/10/35 (b)(d)(e) 48,346 26,720 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (d)(e) 19,256 19,008 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.368% 4/25/33 (d) 53,601 53,234 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.8744% 9/25/43 (d)(e) 8,192,668 7,912,551 
Towd Point Mortgage Trust:   
Series 2015-5 Class A1B, 2.75% 5/25/55 (b) 4,713,967 4,763,647 
Series 2017-2 Class A1, 2.75% 4/25/57 (b)(d) 31,563,041 31,896,971 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2004-BB Class A2, 3.0826% 1/25/35 (d) 1,759,971 1,765,789 
Series 2005-AR10 Class 2A15, 3.1989% 6/25/35 (d) 9,509,506 9,598,370 
Series 2005-AR2:   
Class 1A2, 3.1522% 3/25/35 (d) 1,182,323 1,181,960 
Class 3A1, 3.1468% 3/25/35 (d) 15,268,708 15,495,649 
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4:   
Class 1A1, 3.5051% 6/27/36 (b)(d) 1,380,142 1,380,971 
Class 2A1, 3.3412% 6/27/36 (b)(d) 1,552,886 1,548,383 
TOTAL PRIVATE SPONSOR  208,736,603 
U.S. Government Agency - 1.6%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 2.0344% 2/25/32 (d)(e) 22,220 22,555 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 2.2283% 3/18/32 (d)(e) 39,054 39,841 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.2344% 4/25/32 (d)(e) 47,358 48,294 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.2344% 10/25/32 (d)(e) 63,001 64,225 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 1.9844% 1/25/32 (d)(e) 23,081 23,408 
Series 2002-94 Class FB, 1 month U.S. LIBOR + 0.400% 1.6344% 1/25/18 (d)(e) 2,737 2,738 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 6.8656% 12/25/33 (d)(m)(n) 754,122 182,834 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 5.4456% 11/25/36 (d)(m)(n) 563,555 105,270 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 26,909 28,635 
Series 1993-207 Class H, 6.5% 11/25/23 380,233 415,418 
Series 1996-28 Class PK, 6.5% 7/25/25 122,040 133,774 
Series 1999-17 Class PG, 6% 4/25/29 342,380 378,561 
Series 1999-32 Class PL, 6% 7/25/29 333,286 368,960 
Series 1999-33 Class PK, 6% 7/25/29 229,737 254,720 
Series 2001-52 Class YZ, 6.5% 10/25/31 28,603 33,087 
Series 2003-28 Class KG, 5.5% 4/25/23 218,911 233,241 
Series 2005-102 Class CO 11/25/35 (o) 187,480 169,148 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 14.3404% 8/25/35 (d)(n) 65,393 82,197 
Series 2005-81 Class PC, 5.5% 9/25/35 427,876 473,170 
Series 2006-12 Class BO 10/25/35 (o) 838,147 757,016 
Series 2006-37 Class OW 5/25/36 (o) 83,877 74,743 
Series 2006-45 Class OP 6/25/36 (o) 251,777 224,093 
Series 2006-62 Class KP 4/25/36 (o) 406,465 361,838 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 70,504 81,513 
Series 1999-25 Class Z, 6% 6/25/29 266,311 297,953 
Series 2001-20 Class Z, 6% 5/25/31 370,924 407,899 
Series 2001-31 Class ZC, 6.5% 7/25/31 201,511 229,207 
Series 2002-16 Class ZD, 6.5% 4/25/32 103,174 119,438 
Series 2002-74 Class SV, 1 month U.S. LIBOR + 7.550% 6.3156% 11/25/32 (d)(e)(m) 480,126 79,411 
Series 2012-67 Class AI, 4.5% 7/25/27 (m) 2,376,819 251,126 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 5.4056% 12/25/36 (d)(m)(n) 384,259 81,741 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 5.2056% 5/25/37 (d)(m)(n) 209,416 38,455 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 16.3081% 9/25/23 (d)(n) 16,316 20,569 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 6.8656% 3/25/33(d)(m)(n) 54,218 11,521 
Series 2003-35 Class TQ, 7.500% - 1 month U.S. LIBOR 6.2656% 5/25/18 (d)(m)(n) 5,164 82 
Series 2005-72 Class ZC, 5.5% 8/25/35 2,669,661 2,933,270 
Series 2005-79 Class ZC, 5.9% 9/25/35 1,658,772 1,908,641 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 33.2134% 6/25/37 (d)(n) 179,397 362,630 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 32.1934% 7/25/37 (d)(n) 269,263 537,974 
Class SB, 39.600% - 1 month U.S. LIBOR 32.1934% 7/25/37 (d)(n) 113,507 207,468 
Series 2007-75 Class JI, 1 month U.S. LIBOR + 6.545% 5.3106% 8/25/37 (d)(e)(m) 8,020,733 1,464,822 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 5.1156% 3/25/38 (d)(m)(n) 1,443,851 247,135 
Series 2009-16 Class SA, 6.250% - 1 month U.S. LIBOR 5.0156% 3/25/24 (d)(m)(n) 744 6 
Series 2009-76 Class MI, 5.5% 9/25/24 (m) 19,495 463 
Series 2009-85 Class IB, 4.5% 8/25/24 (m) 93,864 4,152 
Series 2009-93 Class IC, 4.5% 9/25/24 (m) 134,937 5,679 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 5.1256% 6/25/21 (d)(m)(n) 88,272 3,080 
Series 2010-12 Class AI, 5% 12/25/18 (m) 139,664 1,914 
Series 2010-135 Class LS, 6.050% - 1 month U.S. LIBOR 4.8156% 12/25/40 (d)(m)(n) 1,357,102 222,120 
Series 2010-139 Class NI, 4.5% 2/25/40 (m) 1,257,141 137,111 
Series 2010-150 Class ZC, 4.75% 1/25/41 5,540,749 6,190,589 
Series 2010-17 Class DI, 4.5% 6/25/21 (m) 67,429 2,063 
Series 2010-23:   
Class AI, 5% 12/25/18 (m) 39,936 479 
Class HI, 4.5% 10/25/18 (m) 51,667 815 
Series 2010-29 Class LI, 4.5% 6/25/19 (m) 132,196 1,888 
Series 2010-95 Class ZC, 5% 9/25/40 11,723,312 13,196,415 
Series 2010-97 Class CI, 4.5% 8/25/25 (m) 347,662 19,990 
Series 2011-110 Class SA, 6.610% - 1 month U.S. LIBOR 5.3756% 4/25/41 (d)(m)(n) 3,636,515 521,473 
Series 2011-112 Class SA, 6.550% - 1 month U.S. LIBOR 5.3156% 11/25/41 (d)(m)(n) 3,711,538 650,475 
Series 2011-123 Class SD, 6.600% - 1 month U.S. LIBOR 5.3656% 8/25/39 (d)(m)(n) 3,088,487 402,025 
Series 2011-39 Class ZA, 6% 11/25/32 953,996 1,081,809 
Series 2011-4 Class PZ, 5% 2/25/41 2,442,106 2,787,933 
Series 2011-67 Class AI, 4% 7/25/26 (m) 384,961 36,114 
Series 2011-83 Class DI, 6% 9/25/26 (m) 543,020 53,980 
Series 2012-100 Class WI, 3% 9/25/27 (m) 6,155,314 565,544 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 5.4156% 12/25/30 (d)(m)(n) 2,054,751 264,024 
Series 2012-47 Class SD, 6.450% - 1 month U.S. LIBOR 5.2156% 5/25/42 (d)(m)(n) 9,132,909 1,741,246 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 5.3156% 6/25/41 (d)(m)(n) 2,787,002 402,101 
Series 2013-133 Class IB, 3% 4/25/32 (m) 3,819,479 352,692 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 4.8156% 1/25/44 (d)(m)(n) 2,031,136 338,359 
Series 2013-51 Class GI, 3% 10/25/32 (m) 5,592,204 602,623 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.4856% 6/25/35 (d)(m)(n) 1,155,721 217,248 
Series 2015-42:   
Class IL, 6% 6/25/45 (m) 8,556,748 1,991,223 
Class LS, 6.200% - 1 month U.S. LIBOR 4.9656% 6/25/45 (d)(m)(n) 14,275,292 2,362,511 
Series 2015-70 Class JC, 3% 10/25/45 7,479,683 7,681,002 
Series 2016-78 Class CS, 6.100% - 1 month U.S. LIBOR 4.8656% 5/25/39 (d)(m)(n) 16,611,608 2,911,007 
Series 2017-30 Class AI, 5.5% 5/25/47 (m) 4,444,901 995,613 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339:   
Class 29, 5.5% 8/25/18 (m) 7,235 65 
Class 5, 5.5% 7/25/33 (m) 203,849 39,472 
Series 343 Class 16, 5.5% 5/25/34 (m) 173,359 31,190 
Series 348 Class 14, 6.5% 8/25/34 (d)(m) 126,293 29,436 
Series 351:   
Class 12, 5.5% 4/25/34 (d)(m) 80,866 13,637 
Class 13, 6% 3/25/34 (m) 111,829 22,168 
Series 359 Class 19, 6% 7/25/35 (d)(m) 73,617 13,950 
Series 384 Class 6, 5% 7/25/37 (m) 899,460 159,151 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 2.0267% 1/15/32 (d)(e) 17,410 17,669 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 2.1267% 3/15/32 (d)(e) 24,524 24,950 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 2.2267% 3/15/32 (d)(e) 26,785 27,294 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 2.1267% 6/15/31 (d)(e) 45,875 46,631 
Class FG, 1 month U.S. LIBOR + 0.900% 2.1267% 3/15/32 (d)(e) 14,560 14,806 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 1.4767% 5/15/37 (d)(e) 1,048,880 1,047,182 
planned amortization class:   
Series 2006-15 Class OP 3/25/36 (o) 737,545 656,298 
Series 2095 Class PE, 6% 11/15/28 381,346 423,063 
Series 2101 Class PD, 6% 11/15/28 37,067 39,818 
Series 2121 Class MG, 6% 2/15/29 159,207 176,620 
Series 2131 Class BG, 6% 3/15/29 1,085,826 1,206,653 
Series 2137 Class PG, 6% 3/15/29 175,578 193,359 
Series 2154 Class PT, 6% 5/15/29 277,544 308,743 
Series 2162 Class PH, 6% 6/15/29 64,290 70,328 
Series 2520 Class BE, 6% 11/15/32 347,594 375,331 
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 6.3733% 3/15/23 (d)(m)(n) 19,249 1,693 
Series 2693 Class MD, 5.5% 10/15/33 4,042,145 4,505,670 
Series 2802 Class OB, 6% 5/15/34 636,967 698,779 
Series 2937 Class KC, 4.5% 2/15/20 412,807 419,168 
Series 2962 Class BE, 4.5% 4/15/20 541,200 554,821 
Series 3002 Class NE, 5% 7/15/35 986,887 1,075,389 
Series 3110 Class OP 9/15/35 (o) 465,968 432,918 
Series 3119 Class PO 2/15/36 (o) 850,626 754,830 
Series 3121 Class KO 3/15/36 (o) 149,032 133,228 
Series 3123 Class LO 3/15/36 (o) 471,923 419,914 
Series 3145 Class GO 4/15/36 (o) 452,827 403,015 
Series 3189 Class PD, 6% 7/15/36 938,936 1,075,745 
Series 3225 Class EO 10/15/36 (o) 266,976 237,720 
Series 3258 Class PM, 5.5% 12/15/36 456,208 503,999 
Series 3415 Class PC, 5% 12/15/37 351,849 383,738 
Series 3786 Class HI, 4% 3/15/38 (m) 1,177,757 93,462 
Series 3806 Class UP, 4.5% 2/15/41 2,583,776 2,759,574 
Series 3832 Class PE, 5% 3/15/41 2,375,210 2,660,879 
sequential payer:   
Series 2135 Class JE, 6% 3/15/29 79,691 88,638 
Series 2274 Class ZM, 6.5% 1/15/31 88,769 101,328 
Series 2281 Class ZB, 6% 3/15/30 215,515 230,881 
Series 2303 Class ZV, 6% 4/15/31 90,106 100,414 
Series 2357 Class ZB, 6.5% 9/15/31 656,673 759,604 
Series 2502 Class ZC, 6% 9/15/32 181,595 197,150 
Series 2519 Class ZD, 5.5% 11/15/32 310,262 332,818 
Series 2546 Class MJ, 5.5% 3/15/23 135,979 143,091 
Series 2601 Class TB, 5.5% 4/15/23 64,915 69,389 
Series 2998 Class LY, 5.5% 7/15/25 198,186 213,647 
Series 3871 Class KB, 5.5% 6/15/41 4,329,000 5,037,143 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 5.3733% 2/15/36 (d)(m)(n) 308,589 62,733 
Series 2013-4281 Class AI, 4% 12/15/28 (m) 3,980,572 347,727 
Series 2017-4683 Class LM, 3% 5/15/47 9,849,332 10,116,538 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 38.8266% 8/15/24 (d)(n) 7,749 11,255 
Class SD, 86.400% - 1 month U.S. LIBOR 70.5033% 8/15/24 (d)(n) 11,400 21,714 
Series 2933 Class ZM, 5.75% 2/15/35 3,119,530 3,630,792 
Series 2935 Class ZK, 5.5% 2/15/35 3,835,105 4,328,543 
Series 2947 Class XZ, 6% 3/15/35 1,200,995 1,337,061 
Series 2996 Class ZD, 5.5% 6/15/35 2,510,286 2,881,644 
Series 3055 Class CS, 1 month U.S. LIBOR + 6.590% 5.3633% 10/15/35 (d)(e)(m) 450,202 88,870 
Series 3237 Class C, 5.5% 11/15/36 3,548,164 4,035,764 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 5.4333% 11/15/36 (d)(m)(n) 1,065,796 209,369 
Series 3284 Class CI, 1 month U.S. LIBOR + 6.120% 4.8933% 3/15/37 (d)(e)(m) 2,441,881 466,456 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 5.5233% 3/15/37 (d)(m)(n) 1,565,787 324,212 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 5.5333% 4/15/37 (d)(m)(n) 2,361,605 503,276 
Series 3336 Class LI, 1 month U.S. LIBOR + 6.580% 5.3533% 6/15/37 (d)(e)(m) 749,148 132,583 
Series 3772 Class BI, 4.5% 10/15/18 (m) 184,934 2,891 
Series 3949 Class MK, 4.5% 10/15/34 708,005 759,469 
Series 3955:   
Class GS, 5.950% - 1 month U.S. LIBOR 4.7233% 9/15/41 (d)(m)(n) 3,806,681 594,828 
Class YI, 3% 11/15/21 (m) 1,884,108 82,336 
Series 4055 Class BI, 3.5% 5/15/31 (m) 3,503,241 342,177 
Series 4149 Class IO, 3% 1/15/33 (m) 2,381,717 299,687 
Series 4314 Class AI, 5% 3/15/34 (m) 1,272,832 139,203 
Series 4427 Class LI, 3.5% 2/15/34 (m) 6,450,457 753,052 
Series 4471 Class PA 4% 12/15/40 8,819,644 9,240,298 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 214,237 230,391 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 2.1267% 2/15/24 (d)(e) 86,126 87,039 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 144,395 160,036 
Series 2056 Class Z, 6% 5/15/28 310,539 344,205 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 7,885,477 8,447,298 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 5.4622% 6/16/37 (d)(m)(n) 466,567 96,736 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 1.7828% 3/20/60 (d)(e)(p) 5,853,140 5,863,559 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.5628% 7/20/60 (d)(e)(p) 653,445 648,920 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5239% 9/20/60 (d)(e)(p) 809,140 802,929 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5239% 8/20/60 (d)(e)(p) 900,696 895,271 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6039% 12/20/60 (d)(e)(p) 1,615,213 1,606,540 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 12/20/60 (d)(e)(p) 2,525,306 2,526,128 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 2/20/61 (d)(e)(p) 5,057,664 5,058,981 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7139% 2/20/61 (d)(e)(p) 6,586,196 6,586,255 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 4/20/61 (d)(e)(p) 2,321,142 2,321,910 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 1.7239% 5/20/61 (d)(e)(p) 2,680,710 2,677,356 
Class FC, 1 month U.S. LIBOR + 0.500% 1.7239% 5/20/61 (d)(e)(p) 2,455,364 2,453,975 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7539% 6/20/61 (d)(e)(p) 3,170,874 3,174,515 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 10/20/61 (d)(e)(p) 6,270,977 6,291,458 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 11/20/61 (d)(e)(p) 3,080,731 3,097,863 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 1/20/62 (d)(e)(p) 1,999,012 2,010,158 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 1/20/62 (d)(e)(p) 2,925,148 2,934,977 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 3/20/62 (d)(e)(p) 1,881,977 1,889,364 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8739% 5/20/61 (d)(e)(p) 3,855,293 3,863,819 
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 1.7439% 10/20/62 (d)(e)(p) 1,552,994 1,554,574 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 1.7539% 7/20/60 (d)(e)(p) 5,355,350 5,367,590 
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 1.5839% 3/20/63 (d)(e)(p) 2,483,002 2,467,748 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 1/20/64 (d)(e)(p) 2,941,361 2,951,451 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.8239% 12/20/63 (d)(e)(p) 7,666,918 7,683,603 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 1.7239% 6/20/64 (d)(e)(p) 11,578,850 11,564,620 
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 1.7239% 9/20/64 (d)(e)(p) 36,499,774 36,453,558 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6239% 12/20/62 (d)(e)(p) 14,131,679 14,142,854 
planned amortization class:   
Series 1993-13 Class PD, 6% 5/20/29 388,444 438,486 
Series 1997-8 Class PE, 7.5% 5/16/27 169,675 197,371 
Series 2011-136 Class WI, 4.5% 5/20/40 (m) 867,348 99,787 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 1,509,309 1,653,124 
Series 2010-160 Class DY, 4% 12/20/40 17,965,153 19,249,580 
Series 2010-170 Class B, 4% 12/20/40 4,066,798 4,357,629 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 5.2722% 5/16/34 (d)(m)(n) 255,528 46,980 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 5.9722% 8/17/34 (d)(m)(n) 310,712 70,801 
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 32.8333% 6/16/37 (d)(n) 19,040 35,277 
Series 2010-116 Class QB, 4% 9/16/40 38,726,775 41,432,619 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 1.5628% 5/20/60 (d)(e)(p) 2,045,887 2,031,852 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 4.8694% 7/20/41 (d)(m)(n) 1,577,536 260,603 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 5.4722% 6/16/42 (d)(m)(n) 940,560 180,581 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 7.0259% 4/20/39 (d)(n) 3,011,341 3,170,317 
Class ST, 8.800% - 1 month U.S. LIBOR 7.1593% 8/20/39 (d)(n) 6,982,004 7,497,219 
Series 2013-149 Class MA, 2.5% 5/20/40 21,568,846 21,742,648 
Series 2015-H13 Class HA, 2.5% 8/20/64 (p) 26,328,119 26,531,204 
Series 2015-H17 Class HA, 2.5% 5/20/65 (p) 23,457,916 23,642,127 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (p) 4,953,922 4,987,817 
Class JA, 2.5% 6/20/65 (p) 22,724,360 22,893,786 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.57% 8/20/66 (d)(e)(p) 25,879,767 25,939,756 
TOTAL U.S. GOVERNMENT AGENCY  482,258,569 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $688,726,417)  690,995,172 
Commercial Mortgage Securities - 1.7%   
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) 180,000 202,103 
Asset Securitization Corp.:   
Series 1997-D4 Class B5, 7.525% 4/14/29 129,000 128,823 
Series 1997-D5 Class PS1, 1.6895% 2/14/43 (d)(m) 62,066 536 
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (b)(d) 692,000 708,615 
BAMLL Trust Series 2015-200P Class F, 3.7157% 4/14/33 (b)(d) 767,000 751,835 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2007-5 Class A1A, 5.361% 2/10/51 8,682,773 8,676,876 
Series 2004-1 Class F, 5.279% 11/10/39 (b)(d) 2,006 2,004 
Series 2008-1 Class D, 6.3087% 2/10/51 (b)(d)(g) 125,000 37,419 
BANK:   
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) 1,323,000 1,098,850 
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) 765,000 627,227 
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3:   
Class C, 4.352% 2/15/50 (d) 957,000 995,932 
Class D, 3.25% 2/15/50 (b) 667,000 548,708 
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 2.0018% 7/15/49 (d)(m) 46,077,521 5,273,135 
Barclays Commercial Mortgage Securities LLC Series 2015-STP:   
Class A, 3.3228% 9/10/28 (b) 4,373,964 4,511,414 
Class E, 4.2844% 9/10/28 (b)(d) 1,786,000 1,755,128 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.5094% 12/25/33 (b)(d)(e) 21,150 20,036 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 1.6244% 1/25/36 (b)(d)(e) 577,392 534,896 
Class B1, 1 month U.S. LIBOR + 1.400% 2.6344% 1/25/36 (b)(d)(e) 25,907 21,226 
Class M1, 1 month U.S. LIBOR + 0.450% 1.6844% 1/25/36 (b)(d)(e) 186,256 172,805 
Class M2, 1 month U.S. LIBOR + 0.470% 1.7044% 1/25/36 (b)(d)(e) 55,877 49,640 
Class M3, 1 month U.S. LIBOR + 0.500% 1.7344% 1/25/36 (b)(d)(e) 81,604 67,309 
Class M4, 1 month U.S. LIBOR + 0.610% 1.8444% 1/25/36 (b)(d)(e) 45,131 41,023 
Class M5, 1 month U.S. LIBOR + 0.650% 1.8844% 1/25/36 (b)(d)(e) 45,131 34,432 
Class M6, 1 month U.S. LIBOR + 0.700% 1.9344% 1/25/36 (b)(d)(e) 47,934 36,814 
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6644% 10/25/36 (b)(d)(e) 25,269 19,735 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 3/25/37 (b)(d)(e) 373,250 330,571 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 1.4861% 7/25/37 (b)(d)(e) 385,447 363,449 
Class A2, 1 month U.S. LIBOR + 0.320% 1.5361% 7/25/37 (b)(d)(e) 360,148 331,308 
Class M1, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (b)(d)(e) 126,464 100,907 
Class M2, 1 month U.S. LIBOR + 0.410% 1.6261% 7/25/37 (b)(d)(e) 69,105 55,257 
Class M3, 1 month U.S. LIBOR + 0.490% 1.7061% 7/25/37 (b)(d)(e) 54,471 45,321 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 1.5061% 7/25/37 (b)(d)(e) 348,605 324,896 
Class M1, 1 month U.S. LIBOR + 0.310% 1.5261% 7/25/37 (b)(d)(e) 75,714 67,905 
Class M2, 1 month U.S. LIBOR + 0.340% 1.5561% 7/25/37 (b)(d)(e) 81,151 72,320 
Class M3, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (b)(d)(e) 127,875 97,665 
Class M4, 1 month U.S. LIBOR + 0.500% 1.7161% 7/25/37 (b)(d)(e) 200,782 137,554 
Class M5, 1 month U.S. LIBOR + 0.600% 1.8161% 7/25/37 (b)(d)(e) 75,516 40,975 
Series 2007-4A Class M1, 1 month U.S. LIBOR + 0.950% 2.1844% 9/25/37 (b)(d)(e) 9,384 3,491 
Series 2006-3A, Class IO, 0% 10/25/36 (b)(d)(g)(m) 3,866,213 0 
BBCMS Mortgage Trust Series 2016-ETC:   
Class D, 3.6089% 8/14/36 (b)(d) 1,000,000 980,167 
Class E, 3.6089% 8/14/36 (b)(d) 1,000,000 906,385 
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T22 Class B, 5.7134% 4/12/38 (b)(d) 99,897 100,772 
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (b) 584,551 604,637 
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/10/35 (b)(d) 1,000,000 999,281 
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(d) 606,000 596,296 
CD Mortgage Trust Series 2017-CD3:   
Class C, 4.563% 2/10/50 1,360,000 1,459,082 
Class D, 3.25% 2/10/50 (b) 754,000 625,605 
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7535% 12/15/47 (b)(d) 750,000 841,387 
CG-CCRE Commercial Mortgage Trust:   
Series 2014-FL1:   
Class YTC2, 1 month U.S. LIBOR + 2.489% 3.7146% 6/15/31 (b)(d)(e) 435,090 404,437 
Class YTC3, 1 month U.S. LIBOR + 2.489% 3.7146% 6/15/31 (b)(d)(e) 156,667 143,886 
Series 2014-FL1, 1 month U.S. LIBOR + 2.489% 3.7146% 6/15/31 (b)(d)(e) 435,090 408,123 
CGBAM Commercial Mortgage Trust Series 2015-SMRT:   
Class E, 3.7859% 4/10/28 (b)(d) 162,000 163,303 
Class F, 3.7859% 4/10/28 (b)(d) 1,133,000 1,120,819 
CGDB Commercial Mortgage Trust:   
1 month U.S. LIBOR + 2.500% 3.726% 5/15/30 (b)(d)(e) 260,000 259,561 
Series 2017-BIO Class F, 1 month U.S. LIBOR + 3.250% 4.476% 5/15/30 (b)(d)(e) 134,000 133,761 
Chase Commercial Mortgage Securities Corp.:   
Series 1998-1 Class H, 6.34% 5/18/30 (b) 679,444 685,393 
Series 1998-2 Class J, 6.39% 11/18/30 (b) 487,111 487,545 
Citigroup Commercial Mortgage Trust:   
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(d) 1,205,000 1,187,293 
Series 2013-GC15 Class D, 5.0996% 9/10/46 (b)(d) 1,927,000 1,878,281 
Series 2015-GC33 Class XA, 0.968% 9/10/58 (d)(m) 92,482,159 5,470,421 
Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.100% 5.577% 7/15/27 (b)(d)(e) 693,000 697,278 
Series 2016-C3 Class D, 3% 11/15/49 (b) 1,451,000 1,081,795 
Series 2016-P6 Class XA, 0.8365% 12/10/49 (d)(m) 83,372,568 4,125,858 
Series 2016-SMPL Class E, 4.509% 9/10/31 (b) 756,000 771,735 
Claregold Trust Series 2007-2A:   
Class G, 5.01% 5/15/44 (b)(d) CAD9,530 7,601 
Class H, 5.01% 5/15/44 (b)(d) CAD20,000 15,921 
Class J, 5.01% 5/15/44 (b)(d) CAD20,000 15,862 
Class K, 5.01% 5/15/44 (b)(d) CAD10,000 7,917 
Class L, 5.01% 5/15/44 (b)(d) CAD36,000 28,397 
Class M, 5.01% 5/15/44 (b)(d) CAD165,000 129,454 
COMM Mortgage Trust:   
floater Series 2014-PAT Class E, 1 month U.S. LIBOR + 3.150% 4.1391% 8/13/27 (b)(d)(e) 735,000 738,181 
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) 1,410,000 1,054,483 
Series 2012-CR1:   
Class C, 5.3199% 5/15/45 (d) 850,000 904,668 
Class D, 5.3199% 5/15/45 (b)(d) 1,510,000 1,491,372 
Class G, 2.462% 5/15/45 (b) 231,000 138,224 
Series 2012-CR5 Class D, 4.3306% 12/10/45 (b)(d) 740,000 720,537 
Series 2012-LC4:   
Class C, 5.5892% 12/10/44 (d) 260,000 280,729 
Class D, 5.5892% 12/10/44 (b)(d) 1,437,000 1,409,229 
Series 2013-CCRE6 Class E, 4.1285% 3/10/46 (b)(d) 42,000 31,828 
Series 2013-CR10:   
Class C, 4.7885% 8/10/46 (b)(d) 270,000 279,407 
Class D, 4.7885% 8/10/46 (b)(d) 1,578,000 1,387,463 
Series 2013-CR12 Class D, 5.0822% 10/10/46 (b)(d) 1,680,000 1,430,905 
Series 2013-CR6 Class F, 4.1285% 3/10/46 (b)(d) 418,000 276,007 
Series 2013-CR9:   
Class C, 4.2549% 7/10/45 (b)(d) 525,000 527,898 
Class D, 4.2549% 7/10/45 (b)(d) 252,000 216,919 
Series 2013-LC6 Class D, 4.2828% 1/10/46 (b)(d) 1,405,000 1,297,886 
Series 2014-CR15 Class D, 4.7595% 2/10/47 (b)(d) 258,000 236,449 
Series 2014-CR17:   
Class D, 4.7987% 5/10/47 (b)(d) 799,000 706,553 
Class E, 4.7987% 5/10/47 (b)(d) 182,000 126,858 
Series 2014-CR19 Class XA, 1.2398% 8/10/47 (d)(m) 123,050,039 6,671,355 
Series 2014-CR20 Class XA, 1.1713% 11/10/47 (d)(m) 126,269,383 7,349,800 
Series 2014-LC17 Class XA, 1.143% 10/10/47 (d)(m) 109,134,194 4,253,778 
Series 2014-UBS2 Class D, 5.0147% 3/10/47 (b)(d) 844,000 730,529 
Series 2014-UBS4 Class XA, 1.2342% 8/10/47 (d)(m) 113,422,253 6,417,987 
Series 2014-UBS6 Class XA, 1.0295% 12/10/47 (d)(m) 153,099,636 7,598,243 
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d) 1,500,000 1,378,092 
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(d) 483,000 481,868 
Series 2015-DC1 Class XA, 1.1664% 2/10/48 (d)(m) 156,271,592 8,949,346 
Series 2016-CD1 Class D, 2.7717% 8/10/49 (b)(d) 1,006,000 771,057 
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) 772,000 637,126 
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 4.6147% 5/10/43 (b)(d) 1,290,000 1,291,474 
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (b) 704,911 713,450 
Commercial Mortgage Trust Series 2016-CD2:   
Class C, 3.031% 11/10/49 971,000 998,841 
Class D, 2.7812% 11/10/49 (d) 508,000 401,290 
Commercial Mortgage Trust pass-thru certificates:   
Series 2012-CR2:   
Class E, 4.8405% 8/15/45 (b)(d) 1,727,000 1,693,884 
Class F, 4.25% 8/15/45 (b) 1,418,000 1,156,983 
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) 496,000 311,810 
Core Industrial Trust:   
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(d) 625,000 615,707 
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(d) 493,000 479,451 
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(d) 1,566,000 1,500,407 
Cosmopolitan Hotel Trust floater Series 2016-CSMO Class C, 1 month U.S. LIBOR + 2.750% 3.877% 11/15/33 (b)(d)(e) 693,000 699,637 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 1998-C1:   
Class F, 6% 5/17/40 (b) 426,275 430,220 
Class H, 6% 5/17/40 (b) 90,315 71,561 
Series 1998-C2 Class G, 6.75% 11/15/30 (b) 129,511 130,694 
CSAIL Commercial Mortgage Trust Series 2017-C8 Class D, 4.47% 6/15/50 (b) 862,000 789,844 
CSMC Series 2015-TOWN:   
Class A, 1 month U.S. LIBOR + 1.250% 2.4756% 3/15/28 (b)(d)(e) 9,866,000 9,858,420 
Class B, 1 month U.S. LIBOR + 1.900% 3.1256% 3/15/28 (b)(d)(e) 3,043,000 3,042,738 
Class C, 1 month U.S. LIBOR + 2.250% 3.4756% 3/15/28 (b)(d)(e) 2,964,000 2,964,738 
Class D, 1 month U.S. LIBOR + 3.200% 4.4256% 3/15/28 (b)(d)(e) 4,485,000 4,484,999 
Class E, 1 month U.S. LIBOR + 4.150% 5.3756% 3/15/28 (b)(d)(e) 20,318,000 20,343,444 
CSMC Trust:   
floater Series 2015-DEAL:   
Class E, 1 month U.S. LIBOR + 4.000% 5.227% 4/15/29 (b)(d)(e) 1,109,000 1,113,861 
Class F, 1 month U.S. LIBOR + 4.750% 5.977% 4/15/29 (b)(d)(e) 989,000 992,096 
Series 2016-MFF Class F, 1 month U.S. LIBOR + 7.250% 8.4756% 11/15/33 (b)(d)(e) 968,000 976,568 
Series 2017-MOON Class E, 3.303% 7/10/34 (b)(d) 377,000 378,707 
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (b)(d) 1,449,000 1,333,470 
DBUBS Mortgage Trust:   
Series 2011-LC1A:   
Class E, 5.6848% 11/10/46 (b)(d) 1,810,000 1,919,685 
Class F, 5.6848% 11/10/46 (b)(d) 1,560,000 1,524,565 
Class G, 4.652% 11/10/46 (b) 1,948,000 1,731,550 
Class XB, 0.3005% 11/10/46 (b)(d)(m) 20,920,000 202,273 
Series 2011-LC3A Class D, 5.3457% 8/10/44 (b)(d) 812,000 845,619 
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4943% 9/10/49 (d) 600,000 586,192 
Freddie Mac:   
pass-thru certificates:   
Series K011 Class X3, 2.5769% 12/25/43 (d)(m) 1,640,000 129,187 
Series K012 Class X3, 2.2519% 1/25/41 (d)(m) 1,770,272 124,474 
Series K013 Class X3, 2.9089% 1/25/43 (d)(m) 820,000 73,786 
Series KAIV Class X2, 3.6147% 6/25/46 (d)(m) 420,000 50,778 
FREMF Mortgage Trust:   
Series 2010-K9 Class B, 5.2029% 9/25/45 (b)(d) 1,815,000 1,960,864 
Series 2011-K10 Class B, 4.625% 11/25/49 (b)(d) 500,000 533,126 
Series 2011-K11 Class B, 4.4236% 12/25/48 (b)(d) 750,000 794,877 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (b)(d) 18,910,000 19,358,487 
Class CFX, 3.3822% 12/15/34 (b)(d) 14,152,000 14,440,222 
Class DFX, 3.3822% 12/15/34 (b)(d) 27,804,000 28,185,076 
Class EFX, 3.3822% 12/15/34 (b)(d) 1,750,000 1,761,657 
Class FFX, 3.3822% 12/15/34 (b)(d) 1,915,000 1,911,888 
Class GFX, 3.3822% 12/15/34 (b)(d) 1,096,000 1,084,760 
GE Capital Commercial Mortgage Corp. Series 2007-C1 Class A1A, 5.483% 12/10/49 1,643,960 1,642,157 
GMAC Commercial Mortgage Securities, Inc.:   
Series 1997-C1 Class H, 6.6% 7/15/29 183,677 177,156 
Series 1997-C2 Class G, 6.75% 4/15/29 (d) 59,855 60,238 
Series 1999-C2I Class K, 6.481% 9/15/33 835,000 766,641 
GP Portfolio Trust Series 2014-GPP:   
Class D, 1 month U.S. LIBOR + 3.000% 4.1589% 2/15/27 (b)(d)(e) 291,000 291,777 
Class E, 1 month U.S. LIBOR + 4.100% 5.2589% 2/15/27 (b)(d)(e) 378,000 369,584 
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(d) 357,000 362,759 
GS Mortgage Securities Corp. II Series 2010-C1:   
Class D, 6.0552% 8/10/43 (b)(d) 617,000 639,164 
Class F, 4% 8/10/43 (b) 516,000 414,978 
Class X, 1.3949% 8/10/43 (b)(d)(m) 4,805,470 157,093 
GS Mortgage Securities Trust:   
Series 2010-C2:   
Class D, 5.1832% 12/10/43 (b)(d) 720,000 741,443 
Class XA, 0.1326% 12/10/43 (b)(d)(m) 3,208,430 13,199 
Series 2011-GC3 Class D, 5.6323% 3/10/44 (b)(d) 294,000 310,457 
Series 2011-GC5:   
Class C, 5.399% 8/10/44 (b)(d) 1,050,000 1,137,958 
Class D, 5.399% 8/10/44 (b)(d) 1,500,000 1,447,545 
Class E, 5.399% 8/10/44 (b)(d) 711,000 575,317 
Class F, 4.5% 8/10/44 (b) 1,020,000 718,893 
Series 2012-GC6:   
Class D, 5.6522% 1/10/45 (b)(d) 1,156,000 1,116,605 
Class E, 5% 1/10/45 (b)(d) 412,000 355,444 
Series 2012-GC6I Class F, 5% 1/10/45 (d) 390,000 258,886 
Series 2012-GCJ7:   
Class C, 5.7016% 5/10/45 (d) 630,000 671,007 
Class D, 5.7016% 5/10/45 (b)(d) 2,204,000 2,170,380 
Class E, 5% 5/10/45 (b) 1,311,000 1,067,436 
Class F, 5% 5/10/45 (b) 2,079,000 1,246,217 
Series 2012-GCJ9:   
Class D, 4.833% 11/10/45 (b)(d) 1,972,000 1,889,391 
Class E, 4.833% 11/10/45 (b)(d) 1,290,000 1,159,410 
Series 2013-GC10 Class D, 4.4098% 2/10/46 (b)(d) 920,000 896,157 
Series 2013-GC12:   
Class D, 4.4464% 6/10/46 (b)(d) 219,000 190,330 
Class XA, 1.5475% 6/10/46 (d)(m) 30,275,933 1,844,386 
Series 2013-GC13 Class D, 4.2029% 7/10/46 (b)(d) 1,858,000 1,740,561 
Series 2013-GC16:   
Class C, 5.3202% 11/10/46 (d) 662,844 729,013 
Class D, 5.3202% 11/10/46 (b)(d) 1,009,000 970,380 
Class F, 3.5% 11/10/46 (b) 999,000 708,254 
Series 2014-GC20 Class XA, 1.0078% 4/10/47 (d)(m) 183,738,667 9,454,898 
Series 2015-GC34 Class XA, 1.3631% 10/10/48 (d)(m) 29,269,603 2,412,345 
Series 2016-GS2 Class C, 4.5297% 5/10/49 (d) 699,000 751,425 
Series 2016-GS3 Class D, 2.728% 10/10/49 (b) 1,776,000 1,372,711 
Series 2016-GS4 Class C, 3.8041% 11/10/49 728,000 732,798 
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) 1,113,000 1,089,137 
Series 2016-RENT:   
Class E, 4.0667% 2/10/29 (b)(d) 495,000 504,062 
Class F, 4.0667% 2/10/29 (b)(d) 1,520,000 1,435,350 
Series 2017-GS6 Class D, 3.331% 5/10/50 (b) 1,113,000 908,676 
Hilton U.S.A. Trust:   
floater Series 2014-ORL Class E, 1 month U.S. LIBOR + 3.350% 4.4756% 7/15/29 (b)(d)(e) 617,000 621,780 
Series 2016-HHV Class F, 4.1935% 11/5/38 (b)(d) 1,134,000 902,003 
Series 2016-SFP Class F, 6.0801% 11/5/35 (b) 567,000 568,379 
Home Partners of America Credit Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.650% 3.8767% 7/17/34 (b)(d)(e) 229,000 232,701 
Class F, 1 month U.S. LIBOR + 3.539% 4.7657% 7/17/34 (b)(d)(e) 332,000 335,425 
IMT Trust Series 2017-APTS:   
Class EFL, 1 month U.S. LIBOR + 2.150% 3.15% 6/15/34 (b)(d)(e) 336,000 336,868 
Class FFL, 1 month U.S. LIBOR + 2.850% 3.85% 6/15/34 (b)(d)(e) 108,000 108,274 
JPMBB Commercial Mortgage Securities Trust:   
Series 2014-C19 Class XA, 1.1728% 4/15/47 (d)(m) 23,691,215 704,700 
Series 2014-C22 Class D, 4.5594% 9/15/47 (b)(d) 525,000 444,466 
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) 179,000 161,489 
Series 2014-C26 Class D, 3.9251% 1/15/48 (b)(d) 707,000 604,257 
Series 2015-C30 Class XA, 0.6938% 7/15/48 (d)(m) 83,775,475 2,832,968 
Series 2015-C32 Class C, 4.6678% 11/15/48 (d) 1,907,000 1,921,445 
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4619% 12/15/49 (b) 1,462,000 1,181,866 
JPMDB Commercial Mortgage Securities Trust Series 2016-C4:   
Class C, 3.0971% 12/15/49 946,000 896,782 
Class D, 3.0962% 12/15/49 (b)(d) 1,148,000 894,203 
JPMorgan Chase Commercial Mortgage Securities Corp.:   
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (b) 440,000 458,507 
Series 2003-C1 Class F, 5.4834% 1/12/37 (b)(d) 203,055 201,980 
Series 2009-IWST:   
Class C, 7.4453% 12/5/27 (b)(d) 380,000 423,994 
Class D, 7.4453% 12/5/27 (b)(d) 1,885,000 2,076,352 
Series 2010-CNTR Class D, 6.1838% 8/5/32 (b)(d) 695,000 749,464 
Series 2012-CBX:   
Class C, 5.2132% 6/15/45 (d) 250,000 265,504 
Class D, 5.2132% 6/16/45 (b)(d) 690,000 711,308 
Class E, 5.2132% 6/15/45 (b)(d) 1,043,000 1,059,620 
Class F, 4% 6/15/45 (b) 988,000 799,219 
Class G 4% 6/15/45 (b) 1,079,000 679,874 
JPMorgan Chase Commercial Mortgage Securities Trust:   
Series 2004-CBX Class D, 5.097% 1/12/37 (d) 170,000 174,979 
Series 2004-LN2 Class D, 5.3686% 7/15/41 (d) 420,000 4,776 
Series 2005-LDP2:   
Class E, 4.981% 7/15/42 (d) 462,000 465,115 
Class F, 5.01% 7/15/42 (d) 189,000 190,503 
Series 2011-C3:   
Class E, 5.6136% 2/15/46 (b)(d) 700,000 703,014 
Class H, 4.409% 2/15/46 (b)(d) 756,000 546,108 
Class J, 4.409% 2/15/46 (b)(d) 106,000 65,190 
Series 2011-C4:   
Class E, 5.5344% 7/15/46 (b)(d) 1,130,000 1,171,090 
Class F, 3.873% 7/15/46 (b) 105,000 88,732 
Class H, 3.873% 7/15/46 (b) 674,250 477,604 
Class NR, 3.873% 7/15/46 (b) 385,000 236,303 
Class TAC1, 7.99% 7/15/46 (b) 725,430 726,889 
Class TAC2, 7.99% 7/15/46 (b) 671,000 667,976 
Series 2011-C5:   
Class B. 5.4073% 8/15/46 (b)(d) 1,140,000 1,256,021 
Class C, 5.4073% 8/15/46 (b)(d) 650,648 711,153 
Series 2013-LC11:   
Class C, 3.9582% 4/15/46 (d) 1,163,000 1,172,625 
Class D, 4.2599% 4/15/46 (d) 1,800,000 1,667,514 
Class F, 3.25% 4/15/46 (b)(d)(g) 1,682,000 953,161 
Series 2014-DSTY:   
Class D, 3.8046% 6/10/27 (b)(d) 816,000 779,049 
Class E, 3.8046% 6/10/27 (b)(d) 1,169,000 1,103,875 
Series 2015-UES Class F, 3.621% 9/5/32 (b)(d) 1,155,000 1,140,910 
Series 2016-WP Class TA, 1 month U.S. LIBOR + 1.450% 2.6089% 10/15/33 (b)(d)(e) 15,063,000 15,124,706 
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(d) 1,218,000 1,200,817 
LB-UBS Commercial Mortgage Trust:   
Series 2004-C2 Class G, 4.595% 3/15/36 (b)(d) 14,775 14,744 
Series 2007-C7 Class A3, 5.866% 9/15/45 3,554,300 3,556,478 
Liberty Street Trust Series 2016-225L:   
Class D, 4.6485% 2/10/36 (b)(d) 588,000 641,760 
Class E, 4.6485% 2/10/36 (b)(d) 1,050,000 1,070,302 
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 1 month U.S. LIBOR + 1.800% 3.0256% 9/15/28 (b)(d)(e) 9,947,721 9,977,060 
LSTAR Commercial Mortgage Trust Series 2014-2:   
Class D, 4.9066% 1/20/41 (b)(d) 256,000 258,916 
Class E, 4.9066% 1/20/41 (b)(d) 400,000 373,478 
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (d) 78,610 78,309 
Merrill Lynch Mortgage Trust:   
Series 2006-C1 Class AJ, 5.5659% 5/12/39 (d) 508,018 511,170 
Series 2008-C1 Class A4, 5.69% 2/12/51 678,968 679,137 
Morgan Stanley BAML Trust:   
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (b) 750,000 736,471 
Series 2012-C5 Class E, 4.6895% 8/15/45 (b)(d) 150,000 145,477 
Series 2012-C6 Class D, 4.6094% 11/15/45 (b)(d) 1,357,000 1,369,130 
Series 2013-C12 Class D, 4.7643% 10/15/46 (b)(d) 1,000,000 957,186 
Series 2013-C13:   
Class D, 4.8901% 11/15/46 (b)(d) 1,019,000 977,703 
Class E, 4.8901% 11/15/46 (b)(d) 887,000 703,343 
Series 2013-C7:   
Class D, 4.2591% 2/15/46 (b)(d) 1,111,000 1,043,013 
Class E, 4.2591% 2/15/46 (b)(d) 340,000 262,188 
Series 2013-C8 Class D, 4.0614% 12/15/48 (b)(d) 400,000 366,570 
Series 2013-C9:   
Class C, 4.0394% 5/15/46 (d) 790,000 799,034 
Class D, 4.1274% 5/15/46 (b)(d) 1,747,000 1,627,908 
Series 2014-C17 Class XA, 1.2428% 8/15/47 (d)(m) 175,770,233 8,862,739 
Series 2015-C25 Class XA, 1.14% 10/15/48 (d)(m) 47,445,537 3,255,272 
Series 2016-C30:   
Class C, 4.1325% 9/15/49 (d) 417,000 423,720 
Class D, 3% 9/15/49 (b) 452,000 343,806 
Series 2016-C31:   
Class C, 4.3205% 11/15/49 (d) 946,000 962,490 
Class D, 3% 11/15/49 (b)(d) 703,000 513,750 
Series 2016-C32:   
Class C, 4.296% 12/15/49 651,000 671,584 
Class D, 3.396% 12/15/49 (b) 924,000 699,560 
Series 2017-C33 Class D, 3.25% 5/15/50 (b) 879,000 713,595 
Morgan Stanley Capital I Trust:   
sequential payer Series 2012-C4 Class E, 5.4207% 3/15/45 (b)(d) 1,483,000 1,321,500 
Series 1997-RR Class F, 7.51% 4/30/39 (b)(d) 24,218 24,109 
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) 147,337 143,653 
Series 1999-WF1:   
Class N, 5.91% 11/15/31 (b) 194,876 194,573 
Class O, 5.91% 11/15/31 (b) 160,561 139,810 
Series 2011-C1:   
Class D, 5.4143% 9/15/47 (b)(d) 1,760,000 1,887,527 
Class E, 5.4143% 9/15/47 (b)(d) 573,100 614,472 
Series 2011-C2:   
Class D, 5.483% 6/15/44 (b)(d) 1,272,000 1,328,820 
Class E, 5.483% 6/15/44 (b)(d) 600,000 574,046 
Class F, 5.483% 6/15/44 (b)(d) 550,000 469,005 
Class XB, 0.5345% 6/15/44 (b)(d)(m) 9,001,008 163,324 
Series 2011-C3:   
Class C, 5.155% 7/15/49 (b)(d) 1,000,000 1,076,928 
Class D, 5.155% 7/15/49 (b)(d) 1,130,000 1,172,553 
Class E, 5.155% 7/15/49 (b)(d) 505,000 505,866 
Class G, 5.155% 7/15/49 (b)(d) 957,000 835,872 
Series 2012-C4:   
Class D, 5.4207% 3/15/45 (b)(d) 330,000 343,969 
Class F, 3.07% 3/15/45 (b) 623,000 449,205 
Series 2014-150E:   
Class C, 4.295% 9/9/32 (b)(d) 656,000 703,564 
Class F, 4.295% 9/9/32 (b)(d) 651,000 657,251 
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(d) 1,436,000 1,430,211 
Series 2015-MS1:   
Class C, 4.0299% 5/15/48 (d) 734,000 734,914 
Class D, 4.0299% 5/15/48 (b)(d) 1,260,000 1,094,608 
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) 798,000 641,653 
Series 2016-BNK2:   
Class C, 3% 11/15/49 (b) 1,350,000 1,094,653 
Class D, 3.9111% 11/15/49 (d) 946,000 962,571 
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5741% 7/15/33 (b)(d) 102,509 106,457 
Motel 6 Trust:   
Series 2017-M6MZ, 1 month U.S. LIBOR + 6.927% 8.1565% 8/15/19 (b)(d)(e) 500,000 499,051 
Series 2017-MTL6, 1 month U.S. LIBOR + 4.250% 5.48% 8/15/34 (b)(d)(e) 2,961,000 2,953,694 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (b)(d) 23,867,000 24,111,928 
Class B, 4.181% 11/15/34 (b) 8,435,000 8,584,275 
Class C, 5.205% 11/15/34 (b) 5,900,000 6,088,566 
Class D, 6.55% 11/15/34 (b) 2,209,000 2,221,601 
Class E, 6.8087% 11/15/34 (b) 615,000 584,982 
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d) 278,000 270,160 
NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (b) 369,357 381,907 
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) 972,724 1,197,910 
Real Estate Asset Liquidity Trust:   
Series 2006-2:   
Class J, 4.456% 9/12/38 (b) CAD25,051 19,877 
Class K, 4.456% 9/12/38 (b) CAD18,000 14,190 
Class L, 4.456% 9/12/38 (b) CAD26,000 20,322 
Class M, 4.456% 9/12/38 (b) CAD104,391 79,099 
Series 2007-1 Class M, 4.57% 4/12/23 CAD109,733 86,077 
SCG Trust Series 2013-SRP1 Class D, 1 month U.S. LIBOR + 3.344% 4.5704% 11/15/26 (b)(d)(e) 1,698,000 1,624,011 
Starwood Retail Property Trust Series 2014-STAR Class D, 1 month U.S. LIBOR + 3.250% 4.4756% 11/15/27 (b)(d)(e) 1,683,000 1,669,040 
TIAA Seasoned Commercial Mortgage Trust:   
sequential payer Series 2007-C4 Class AJ, 5.4751% 8/15/39 (d) 23,315 23,530 
Series 2007-C4 Class F, 5.4751% 8/15/39 (d) 820,000 757,999 
UBS Commercial Mortgage Trust Series 2012-C1:   
Class D, 5.5456% 5/10/45 (b)(d) 1,197,000 1,219,328 
Class E, 5% 5/10/45 (b)(d) 537,000 459,391 
Class F, 5% 5/10/45 (b)(d) 682,700 464,415 
UBS-BAMLL Trust:   
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d) 310,000 308,915 
Series 2012-WRM Class E, 4.238% 6/10/30 (b)(d) 970,000 939,208 
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (b)(d) 1,299,000 1,278,912 
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) 180,000 195,950 
Wells Fargo Commercial Mortgage Trust:   
Series 2010-C1 Class XB, 0.5836% 11/15/43 (b)(d)(m) 20,614,217 358,135 
Series 2012-LC5:   
Class C, 4.693% 10/15/45 (d) 569,000 597,003 
Class D, 4.7706% 10/15/45 (b)(d) 1,621,000 1,582,855 
Class E, 4.7706% 10/15/45 (b)(d) 284,000 235,310 
Series 2013-LC12 Class C, 4.2949% 7/15/46 (d) 760,000 774,780 
Series 2015-C31 Class XA, 1.1023% 11/15/48 (d)(m) 38,245,325 2,554,313 
Series 2015-NXS4 Class E, 3.601% 12/15/48 (b)(d) 588,000 443,184 
Series 2016-BNK1:   
Class C, 3.071% 8/15/49 700,000 663,361 
Class D, 3% 8/15/49 (b) 447,000 366,761 
Series 2016-C34 Class XA, 2.1801% 6/15/49 (d)(m) 34,403,357 4,378,563 
Series 2016-C35 Class D, 3.142% 7/15/48 (b) 1,596,000 1,161,727 
Series 2016-LC25 Class C, 4.4365% 12/15/59 (d) 903,000 908,377 
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) 1,218,000 933,285 
Series 2017-C38 Class D, 3% 7/15/50 (b)(d) 1,364,000 1,099,260 
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) 556,000 466,266 
WF-RBS Commercial Mortgage Trust:   
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (b) 325,000 213,297 
Series 2011-C3:   
Class C, 5.335% 3/15/44 (b) 360,000 383,054 
Class D, 5.6401% 3/15/44 (b)(d) 800,000 747,035 
Class E, 5% 3/15/44 (b) 890,000 800,911 
Class F, 5% 3/15/44 (b) 693,000 482,507 
Series 2011-C4:   
Class D, 5.2472% 6/15/44 (b)(d) 408,000 405,075 
Class E, 5.2472% 6/15/44 (b)(d) 439,432 428,159 
Series 2011-C5:   
Class C, 5.6722% 11/15/44 (b)(d) 260,000 286,903 
Class D, 5.6722% 11/15/44 (b)(d) 600,000 628,023 
Class E, 5.6722% 11/15/44 (b)(d) 1,853,000 1,912,001 
Class F, 5.25% 11/15/44 (b)(d) 933,000 816,353 
Class G, 5.25% 11/15/44 (b)(d) 329,000 268,477 
Class XA, 1.7625% 11/15/44 (b)(d)(m) 4,030,409 233,906 
Series 2012-C10:   
Class E, 4.4564% 12/15/45 (b)(d) 1,190,000 903,064 
Class F, 4.4564% 12/15/45 (b)(d) 1,726,000 949,795 
Series 2012-C6 Class D, 5.5804% 4/15/45 (b)(d) 540,000 546,623 
Series 2012-C7:   
Class C, 4.8297% 6/15/45 (d) 1,270,000 1,310,390 
Class E, 4.8297% 6/15/45 (b)(d) 2,501,000 2,135,891 
Class F, 4.5% 6/15/45 (b) 357,000 266,376 
Class G, 4.5% 6/15/45 (b) 1,076,000 679,036 
Series 2012-C8:   
Class D, 4.8926% 8/15/45 (b)(d) 650,000 652,736 
Class E, 4.8926% 8/15/45 (b)(d) 335,000 328,241 
Series 2013-C11:   
Class D, 4.2069% 3/15/45 (b)(d) 870,000 798,989 
Class E, 4.2069% 3/15/45 (b)(d) 1,750,000 1,355,591 
Series 2013-C13 Class D, 4.1386% 5/15/45 (b)(d) 600,000 561,871 
Series 2013-C16 Class D, 4.9803% 9/15/46 (b)(d) 193,000 187,662 
Series 2013-UBS1 Class D, 4.6251% 3/15/46 (b)(d) 756,000 714,692 
Series 2014-C21 Class XA, 1.1412% 8/15/47 (d)(m) 105,878,755 5,772,743 
Series 2014-C24 Class XA, 0.9591% 11/15/47 (d)(m) 34,755,336 1,738,695 
WFCG Commercial Mortgage Trust floater Series 2015-BXRP:   
Class F, 1 month U.S. LIBOR + 3.721% 4.9459% 11/15/29 (b)(d)(e) 1,054,900 1,056,878 
Class G, 1 month U.S. LIBOR + 3.001% 4.2456% 11/15/29 (b)(d)(e) 456,347 448,999 
WP Glimcher Mall Trust Series 2015-WPG:   
Class PR1, 3.516% 6/5/35 (b)(d) 489,000 381,678 
Class PR2, 3.516% 6/5/35 (b)(d) 1,260,000 929,851 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $500,984,281)  506,587,713 
Municipal Securities - 1.4%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $2,650,000 $3,955,576 
7.3% 10/1/39 27,595,000 40,949,048 
7.5% 4/1/34 9,105,000 13,420,679 
7.55% 4/1/39 18,745,000 29,153,161 
7.6% 11/1/40 14,220,000 22,584,773 
7.625% 3/1/40 10,110,000 15,718,320 
Chicago Gen. Oblig. (Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 2,410,000 2,464,587 
Series 2010 C1, 7.781% 1/1/35 13,950,000 16,483,878 
Series 2012 B, 5.432% 1/1/42 3,285,000 3,250,639 
Series 2014 B, 6.314% 1/1/44 16,855,000 18,070,246 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,508,000 3,549,429 
4.95% 6/1/23 24,240,000 25,205,722 
5.1% 6/1/33 63,045,000 63,344,464 
Series 2010-1, 6.63% 2/1/35 11,945,000 13,181,785 
Series 2010-3:   
5.547% 4/1/19 330,000 341,441 
6.725% 4/1/35 17,810,000 19,600,261 
7.35% 7/1/35 8,165,000 9,414,082 
Series 2010-5, 6.2% 7/1/21 6,528,000 6,918,636 
Series 2011:   
5.665% 3/1/18 21,275,000 21,627,527 
5.877% 3/1/19 77,850,000 81,016,160 
Series 2013:   
2.69% 12/1/17 3,365,000 3,367,995 
3.14% 12/1/18 3,490,000 3,500,191 
TOTAL MUNICIPAL SECURITIES   
(Cost $395,133,512)  417,118,600 
Foreign Government and Government Agency Obligations - 0.8%   
Arab Republic 5.875% 6/11/25 (b) $535,000 $542,860 
Arab Republic of Egypt:   
5.875% 6/11/25 1,125,000 1,141,529 
6.125% 1/31/22 (b) 3,100,000 3,227,106 
7.5% 1/31/27 (b) 600,000 661,800 
8.5% 1/31/47 (b) 2,780,000 3,113,600 
Argentine Republic:   
5.625% 1/26/22 2,030,000 2,123,380 
6.875% 4/22/21 12,240,000 13,304,880 
7.125% 6/28/2117 (b) 1,355,000 1,336,708 
7.5% 4/22/26 425,000 475,150 
Barbados Government:   
7% 8/4/22 (b) 825,000 746,625 
7.25% 12/15/21 (b) 90,000 82,800 
Belarus Republic:   
6.875% 2/28/23 (b) 1,910,000 2,045,801 
7.625% 6/29/27 (b) 955,000 1,051,646 
8.95% 1/26/18 5,940,000 6,081,206 
Brazilian Federative Republic:   
4.25% 1/7/25 10,005,000 10,105,050 
5.625% 1/7/41 13,135,000 13,151,419 
7.125% 1/20/37 4,785,000 5,658,263 
8.25% 1/20/34 5,895,000 7,634,025 
Buenos Aires Province:   
6.5% 2/15/23 (b) 1,350,000 1,410,480 
9.95% 6/9/21 (b) 2,815,000 3,241,473 
10.875% 1/26/21 (b) 1,125,000 1,288,125 
10.875% 1/26/21 (Reg. S) 6,025,000 6,898,625 
Cameroon Republic 9.5% 11/19/25 (b) 300,000 353,862 
City of Buenos Aires 8.95% 2/19/21 (b) 810,000 901,125 
Colombian Republic:   
6.125% 1/18/41 5,000 5,931 
7.375% 9/18/37 1,320,000 1,749,000 
10.375% 1/28/33 1,875,000 2,864,063 
Costa Rican Republic 7% 4/4/44 (b) 1,150,000 1,208,938 
Croatia Republic:   
5.5% 4/4/23 (b) 660,000 733,080 
6% 1/26/24 (b) 600,000 684,072 
Democratic Socialist Republic of Sri Lanka:   
6.2% 5/11/27 (b) 355,000 373,275 
6.25% 10/4/20 (b) 330,000 353,074 
6.25% 7/27/21 (b) 360,000 387,558 
Dominican Republic:   
5.95% 1/25/27 (b) 1,505,000 1,632,925 
6.6% 1/28/24 (b) 520,000 585,000 
6.85% 1/27/45 (b) 745,000 838,125 
6.875% 1/29/26 (b) 1,220,000 1,403,000 
7.45% 4/30/44 (b) 1,265,000 1,514,838 
Ecuador Republic:   
8.75% 6/2/23 (b) 575,000 585,781 
9.65% 12/13/26 (b) 575,000 603,031 
10.5% 3/24/20 (b) 425,000 454,219 
El Salvador Republic:   
7.375% 12/1/19 (b) 565,000 583,363 
7.65% 6/15/35 (Reg. S) 50,000 49,875 
8.625% 2/28/29 (b) 280,000 306,950 
German Federal Republic:   
0% 8/15/26(Reg. S) EUR300,000 350,455 
2.5% 8/15/46 EUR815,000 1,298,982 
4% 1/4/37 EUR1,645,000 3,063,177 
Indonesian Republic:   
2.625% 6/14/23 EUR7,700,000 9,685,287 
7.75% 1/17/38 (b) 2,445,000 3,492,399 
8.5% 10/12/35 (Reg. S) 2,385,000 3,545,834 
Islamic Republic of Pakistan:   
6.75% 12/3/19 (b) 200,000 209,149 
7.25% 4/15/19 (b) 2,530,000 2,642,398 
8.25% 4/15/24 (b) 625,000 703,893 
Lebanese Republic:   
4% 12/31/17 1,239,250 1,236,400 
5% 10/12/17 2,045,000 2,045,000 
5.15% 6/12/18 2,720,000 2,734,993 
5.15% 11/12/18 1,260,000 1,268,127 
5.45% 11/28/19 1,370,000 1,374,768 
6% 5/20/19 1,785,000 1,808,444 
Mongolian People's Republic 8.75% 3/9/24 (b) 1,930,000 2,181,288 
Panamanian Republic 9.375% 4/1/29 365,000 552,063 
Peruvian Republic 4% 3/7/27 (g)(q) 1,360,000 1,347,708 
Province of Santa Fe 7% 3/23/23 (b) 2,780,000 2,926,562 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 3,480,000 3,718,380 
7.45% 9/1/24 (b) 1,920,000 2,062,656 
Republic of Angola 7% 8/17/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) 700,000 724,003 
Republic of Armenia:   
6% 9/30/20 (b) 2,381,000 2,524,670 
7.15% 3/26/25 (b) 995,000 1,108,729 
Republic of Iraq:   
5.8% 1/15/28 (Reg. S) 5,350,000 5,075,149 
6.75% 3/9/23 (b) 1,245,000 1,266,788 
Republic of Kenya 6.875% 6/24/24 (b) 885,000 928,321 
Republic of Nigeria 6.75% 1/28/21 (b) 240,000 257,400 
Republic of Serbia:   
6.75% 11/1/24 (b) 1,147,044 1,173,344 
7.25% 9/28/21 (b) 1,250,000 1,448,438 
Russian Federation:   
5.25% 6/23/47 (b) 1,600,000 1,664,973 
5.625% 4/4/42 (b) 850,000 960,568 
5.875% 9/16/43 (b) 755,000 879,575 
12.75% 6/24/28 (Reg. S) 5,610,000 9,899,518 
Rwanda Rep 6.625% 5/2/23 (b) 930,000 971,850 
State of Qatar 9.75% 6/15/30 (b) 390,000 624,000 
Sultanate of Oman 6.5% 3/8/47 (b) 770,000 804,650 
Turkish Republic:   
3.25% 3/23/23 245,000 234,898 
5.125% 3/25/22 1,590,000 1,675,214 
5.625% 3/30/21 1,600,000 1,710,618 
6% 3/25/27 975,000 1,067,625 
6.25% 9/26/22 3,130,000 3,453,786 
6.75% 5/30/40 550,000 633,820 
6.875% 3/17/36 1,795,000 2,086,580 
7% 6/5/20 3,840,000 4,225,344 
7.25% 3/5/38 1,150,000 1,393,800 
7.375% 2/5/25 1,495,000 1,765,595 
8% 2/14/34 760,000 971,797 
11.875% 1/15/30 1,455,000 2,357,246 
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) 895,000 934,137 
Ukraine Government:   
7.75% 9/1/21 (b) 8,899,000 9,277,741 
7.75% 9/1/22 (b) 7,759,000 8,080,999 
7.75% 9/1/23 (b) 719,000 746,408 
United Kingdom, Great Britain and Northern Ireland:   
1.5% 7/22/26(Reg. S) GBP200,000 271,034 
1.5% 7/22/47 GBP2,000,000 2,465,409 
2% 9/7/25(Reg. S) GBP1,285,000 1,816,365 
4.25% 3/7/36 GBP745,000 1,373,115 
4.5% 9/7/34 GBP2,135,000 3,986,550 
Uruguay Republic 7.875% 1/15/33 pay-in-kind 1,015,000 1,426,075 
Venezuelan Republic:   
9.25% 9/15/27 4,270,000 1,675,975 
11.95% 8/5/31 (Reg. S) 2,145,000 879,450 
12.75% 8/23/22 905,000 409,513 
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.813% 2.25% 3/13/28 (d)(e)(g) 195,000 173,856 
4% 3/12/28 (g)(q) 6,043,500 5,999,745 
4.8% 11/19/24 (b) 550,000 583,799 
6.75% 1/29/20 (b) 750,000 819,571 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $227,848,594)  244,549,640 
 Shares Value 
Common Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Tribune Media Co. Class A 21,200 849,484 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services Ltd. 154,425 1,775,888 
Oil, Gas & Consumable Fuels - 0.0%   
Pacific Exploration and Production Corp. 67,596 2,056,975 
Southwestern Energy Co. (r) 81,258 442,856 
Warrior Met Coal, Inc. Class A 31,922 827,594 
  3,327,425 
TOTAL ENERGY  5,103,313 
MATERIALS - 0.0%   
Chemicals - 0.0%   
LyondellBasell Industries NV Class A 31,400 2,844,526 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Consolidated Communications Holdings, Inc. 14,162 261,289 
Wireless Telecommunication Services - 0.0%   
CUI Acquisition Corp. Class E (g)(r) 1 34,600 
TOTAL TELECOMMUNICATION SERVICES  295,889 
TOTAL COMMON STOCKS   
(Cost $22,084,574)  9,093,212 
Preferred Stocks - 0.0%   
Convertible Preferred Stocks - 0.0%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 243,900 3,231,675 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Alexandria Real Estate Equities, Inc. Series D, 7.00% 9,000 331,110 
FelCor Lodging Trust, Inc. Series A, 1.95% 17,900 500,921 
  832,031 
TOTAL CONVERTIBLE PREFERRED STOCKS  4,063,706 
Nonconvertible Preferred Stocks - 0.0%   
FINANCIALS - 0.0%   
Mortgage Real Estate Investment Trusts - 0.0%   
Annaly Capital Management, Inc. Series C, 7.625% 27,600 708,492 
CYS Investments, Inc. Series B, 7.50% 17,000 425,000 
MFA Financial, Inc. Series B, 7.50% 22,500 569,250 
  1,702,742 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
American Homes 4 Rent Series D, 6.50% 24,500 661,500 
Boston Properties, Inc. 5.25% 17,500 456,750 
CBL & Associates Properties, Inc. Series D, 7.375% 7,720 188,908 
Cedar Realty Trust, Inc.:   
Series B, 7.25% 8,113 204,123 
Series C 6.50% 10,000 247,500 
DDR Corp. Series K, 6.25% 17,823 454,487 
Equity Lifestyle Properties, Inc. Series C, 6.75% 39,667 1,005,955 
Public Storage Series F 5.15% 37,000 937,580 
Retail Properties America, Inc. Series A, 7.00% 24,109 615,985 
Sabra Health Care REIT, Inc. Series A, 7.125% 18,495 475,691 
Sun Communities, Inc. Series A, 7.125% 34,701 885,570 
Taubman Centers, Inc. Series J, 6.50% 11,338 287,418 
  6,421,467 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  8,124,209 
TOTAL PREFERRED STOCKS   
(Cost $12,902,246)  12,187,915 
 Principal Amount(a) Value 
Bank Loan Obligations - 4.8%   
CONSUMER DISCRETIONARY - 1.4%   
Auto Components - 0.0%   
North American Lifting Holdings, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 11/27/20 (d)(e) 4,541,481 4,223,577 
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 10.2964% 11/27/21 (d)(e) 1,594,000 1,265,907 
  5,489,484 
Automobiles - 0.0%   
Caliber Holdings Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 2/1/24 (d)(e) 1,408,167 1,412,856 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.4839% 2/1/25 (d)(e) 385,000 392,700 
Chrysler Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.23% 12/31/18 (d)(e) 750,577 751,988 
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.7986% 4/18/23 (d)(e) 1,110,000 1,130,124 
  3,687,668 
Diversified Consumer Services - 0.2%   
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 11/7/23 (d)(e) 1,504,391 1,509,281 
Coinmach Service Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0139% 11/14/22 (d)(e) 7,289,232 7,305,632 
Creative Artists Agency LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7267% 2/15/24 (d)(e) 1,990,000 2,000,786 
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3% 7/3/20 (d)(e) 1,148,725 1,091,771 
KUEHG Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 8/13/22 (d)(e) 4,442,675 4,427,392 
Tranche B, term loan 3 month U.S. LIBOR + 8.250% 9.5139% 8/22/25 (d)(e) 1,000,000 995,000 
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7389% 4/26/24 (d)(e) 23,476,163 23,564,198 
Nord Anglia Education Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7018% 3/31/21 (d)(e) 6,790,296 6,790,296 
Seminole Tribe Florida Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.456% 7/6/24 (d)(e) 2,500,000 2,505,850 
The ServiceMaster Co. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 11/8/23 (d)(e) 2,985,000 2,987,239 
Wash Multifamily Acquisition, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4889% 5/14/22 (d)(e) 4,777,766 4,762,859 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2389% 5/14/23 (d)(e)(g) 360,000 356,400 
Weight Watchers International, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.250% 4.5288% 4/2/20 (d)(e) 5,696,274 5,563,038 
Zodiac Pool Solutions LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2964% 12/20/23 (d)(e) 1,990,013 2,008,679 
  65,868,421 
Hotels, Restaurants & Leisure - 0.5%   
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 5/30/21 (d)(e) 2,935,970 2,926,810 
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 7/1/23 (d)(e) 1,927,903 1,929,349 
American Casino & Entertainment Properties LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 7/7/22 (d)(e) 885,254 885,812 
AP Gaming I LLC term loan 3 month U.S. LIBOR + 5.500% 6.7339% 2/15/24 (d)(e) 1,205,000 1,220,063 
Aristocrat Technologies, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 3.5569% 10/20/21 (d)(e) 4,125,923 4,124,685 
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.6967% 9/15/23 (d)(e) 2,212,060 2,214,404 
Burger King Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5113% 2/17/24 (d)(e) 5,944,968 5,924,517 
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 10/11/20 (d)(e) 12,562,641 12,615,028 
Caesars Growth Properties Holdings LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 5/8/21 (d)(e) 15,460,150 15,495,554 
CCM Merger, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9889% 8/8/21 (d)(e) 2,722,891 2,728,010 
CEC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 2/14/21 (d)(e) 1,691,885 1,678,282 
Cedar Fair LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 4/13/24 (d)(e) 416,500 419,624 
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7344% 4/18/24 (d)(e) 3,145,000 3,149,718 
Cyan Blue Holdco 3 Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 7/25/24 (d)(e) 1,645,000 1,654,261 
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5044% 2/1/24 (d)(e) 7,795,000 7,840,445 
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5625% 4/17/24 (d)(e) 4,847,850 4,823,611 
Equinox Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2317% 9/8/24 (d)(e) 940,000 955,670 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 3/8/24 (d)(e) 2,244,375 2,246,238 
ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 8/30/23 (d)(e) 3,003,820 3,014,153 
Fitness International LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 7/1/20 (d)(e) 1,251,851 1,262,805 
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 11/30/23 (d)(e) 6,455,281 6,477,681 
Gateway Casinos & Entertainment Ltd. term loan 3 month U.S. LIBOR + 3.750% 5.0464% 2/22/23 (d)(e) 3,005,000 3,012,513 
Golden Entertainment, Inc. term loan:   
3 month U.S. LIBOR + 3.000% 8/11/24 (e)(s) 9,600,000 9,556,032 
3 month U.S. LIBOR + 7.000% 8/11/25 (e)(s) 2,700,000 2,700,000 
Golden Nugget, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 4.74% 11/21/19 (d)(e) 4,741,491 4,756,331 
3 month U.S. LIBOR + 3.500% 4.74% 11/21/19 (d)(e) 2,031,693 2,038,052 
Greektown Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 4/25/24 (d)(e) 1,110,000 1,107,569 
Hilton Worldwide Finance LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.2344% 10/25/23 (d)(e) 4,980,616 4,995,458 
Intrawest Resorts Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 7/31/24 (d)(e) 3,000,000 3,000,000 
La Quinta Intermediate Holdings LLC Tranche B LN, term loan 3 month U.S. LIBOR + 2.750% 4.0539% 4/14/21 (d)(e) 3,539,259 3,545,913 
Landry's Acquisition Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.9844% 10/4/23 (d)(e) 5,911,154 5,853,875 
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 6/10/22 (d)(e) 3,552,315 3,558,674 
MGM Mirage, Inc. Tranche A, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 4/25/21 (d)(e) 1,794,000 1,794,000 
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 10/14/23 (d)(e) 1,985,000 2,002,369 
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7964% 1/19/24 (d)(e) 753,113 755,402 
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.32% 4/27/24 (d)(e) 3,640,000 3,638,471 
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.4856% 7/28/21 (d)(e) 2,051,709 2,067,097 
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.56% 5/11/24 (d)(e) 294,263 295,734 
Scientific Games Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.5122% 8/14/24 (d)(e) 11,040,000 11,114,520 
SeaWorld Parks & Entertainment, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 3/31/24 (d)(e) 1,092,263 1,060,270 
SMG Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8367% 2/27/20 (d)(e) 1,534,022 1,533,071 
Station Casinos LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.74% 6/8/23 (d)(e) 5,175,863 5,167,995 
Tropicana Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 11/27/20 (d)(e) 1,481,519 1,488,927 
Yonkers Racing Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.49% 5/31/24 (d)(e) 2,000,000 2,000,000 
  160,628,993 
Internet & Direct Marketing Retail - 0.1%   
Bass Pro Group LLC:   
term loan 3 month U.S. LIBOR + 4.750% 6.0464% 6/9/18 (d)(e) 2,000,000 2,001,260 
Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4789% 6/5/20 (d)(e) 2,364,871 2,351,084 
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2964% 12/16/23 (d)(e) 15,464,576 14,623,767 
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 8/19/23 (d)(e) 2,462,500 2,470,823 
  21,446,934 
Leisure Products - 0.0%   
Hayward Industries, Inc. term loan 3 month U.S. LIBOR + 3.500% 4.4806% 8/4/24 (d)(e) 1,615,000 1,622,074 
SRAM LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7572% 3/15/24 (d)(e) 1,325,523 1,332,151 
  2,954,225 
Media - 0.4%   
Acosta, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4889% 9/26/21 (d)(e) 2,635,897 2,352,538 
Altice U.S. Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/28/25 (d)(e) 1,995,000 1,979,419 
AMC Entertainment Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4783% 12/15/23 (d)(e) 995,000 990,025 
AMC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4783% 12/15/22 (d)(e) 1,965,000 1,953,544 
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.57% 5/1/24 (d)(e) 1,020,000 1,022,550 
CBS Radio, Inc. term loan 3 month U.S. LIBOR + 3.500% 4.7361% 10/17/23 (d)(e) 3,602,642 3,622,168 
CDS U.S. Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.05% 7/8/22 (d)(e) 1,820,563 1,813,735 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.5464% 7/8/23 (d)(e) 465,000 464,419 
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4806% 6/7/23 (d)(e) 6,067,375 5,630,039 
Charter Communication Operating LLC:   
term loan:   
3 month U.S. LIBOR + 2.000% 3.24% 7/1/20 (d)(e) 1,462,904 1,466,561 
3 month U.S. LIBOR + 2.000% 3.24% 1/3/21 (d)(e) 4,369,714 4,379,415 
Tranche H, term loan 3 month U.S. LIBOR + 2.000% 3.24% 1/15/22 (d)(e) 987,500 990,097 
Tranche I, term loan 3 month U.S. LIBOR + 2.250% 3.49% 1/15/24 (d)(e) 6,255,813 6,283,588 
Clear Channel Communications, Inc. Tranche D, term loan 3 month U.S. LIBOR + 6.750% 7.9889% 1/30/19 (d)(e) 10,365,000 8,292,000 
Emerald Exposit Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 5/22/24 (d)(e) 1,440,000 1,450,800 
Entercom Radio, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7152% 11/1/23 (d)(e) 1,431,250 1,432,323 
Getty Images, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 10/18/19 (d)(e) 5,115,118 4,417,365 
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 5/29/21 (d)(e) 4,595,606 4,423,270 
ION Media Networks, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.26% 12/18/20 (d)(e) 5,588,474 5,595,460 
Karman Buyer Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 7/25/21 (d)(e) 1,458,338 1,401,098 
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.7964% 7/25/22 (d)(e) 1,620,000 1,475,723 
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8036% 1/7/22 (d)(e) 3,620,000 3,597,375 
Lions Gate Entertainment Corp. term loan 3 month U.S. LIBOR + 3.000% 4.2339% 12/8/23 (d)(e) 2,350,000 2,367,625 
McGraw-Hill Global Education Holdings, LLC term loan 3 month U.S. LIBOR + 4.000% 5.2339% 5/4/22 (d)(e) 6,816,150 6,686,234 
Montreign Operating Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.250% 9.4839% 1/19/23 (d)(e) 2,770,000 2,790,775 
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4783% 7/17/25 (d)(e) 2,644,896 2,626,170 
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 3.2289% 10/4/23 (d)(e) 5,063,559 5,062,952 
Proquest LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9889% 10/24/21 (d)(e) 3,917,591 3,953,515 
Raycom Media, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9856% 8/23/24 (d)(e) 2,060,000 2,070,300 
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 8/14/20 (d)(e) 8,627,193 8,639,788 
Unitymedia Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4867% 9/30/25 (d)(e) 4,130,000 4,109,350 
Virgin Media Bristol LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.9767% 1/31/25 (d)(e) 5,000,000 5,009,700 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4783% 8/19/23 (d)(e) 9,075,000 9,050,044 
Ziggo Secured Finance Partnership Tranche E, term loan 3 month U.S. LIBOR + 2.500% 3.7267% 4/15/25 (d)(e) 4,610,000 4,596,170 
  121,996,135 
Multiline Retail - 0.1%   
JC Penney Corp., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5678% 6/23/23 (d)(e) 11,732,859 11,547,127 
Specialty Retail - 0.1%   
ABB Optical Group LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.243% 6/15/23 (d)(e) 1,334,913 1,336,581 
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2423% 7/2/22 (d)(e) 5,150,094 3,429,963 
Davids Bridal, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3% 10/11/19 (d)(e) 1,860,847 1,452,633 
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.3187% 8/19/22 (d)(e) 4,686,512 4,688,715 
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3111% 1/26/23 (d)(e) 5,608,934 4,708,700 
PetSmart, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.24% 3/11/22 (d)(e) 14,155,206 12,430,111 
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 0% 11/16/17 (e)(f) 2,089,734 87,079 
  28,133,782 
Textiles, Apparel & Luxury Goods - 0.0%   
Hercules Achievement, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7317% 12/11/21 (d)(e) 4,554,353 4,577,124 
TOTAL CONSUMER DISCRETIONARY  426,329,893 
CONSUMER STAPLES - 0.3%   
Beverages - 0.0%   
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0572% 12/16/23 (d)(e) 1,990,000 1,997,463 
Food & Staples Retailing - 0.2%   
Albertson's LLC Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 3.9839% 8/25/21 (d)(e) 15,535,240 15,063,591 
3 month U.S. LIBOR + 3.000% 4.2933% 12/21/22 (d)(e) 6,619,403 6,419,431 
3 month U.S. LIBOR + 3.000% 4.3172% 6/22/23 (d)(e) 4,823,800 4,683,090 
BJ's Wholesale Club, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.500% 8.71% 2/3/25 (d)(e) 2,865,000 2,748,853 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9681% 2/3/24 (d)(e) 8,830,325 8,496,009 
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.74% 6/28/20 (d)(e) 1,072,224 1,002,530 
GOBP Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 10/21/21 (d)(e) 3,853,871 3,839,419 
Pizza Hut Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2283% 6/16/23 (d)(e) 6,239,363 6,265,006 
Shearer's Foods, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0464% 6/30/22 (d)(e) 2,913,000 2,752,785 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.938% 5.2339% 6/30/21 (d)(e) 3,332,336 3,330,936 
Smart & Final, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7721% 11/15/22 (d)(e) 4,033,000 3,864,945 
U.S. Foods, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.99% 6/27/23 (d)(e) 3,465,000 3,475,776 
  61,942,371 
Food Products - 0.1%   
Arctic Glacier Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 3/20/24 (d)(e) 807,975 811,005 
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 10/7/23 (d)(e) 4,335,357 4,363,797 
Hostess Brands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 8/3/22 (d)(e) 1,056,652 1,059,029 
JBS U.S.A. Lux SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8038% 10/30/22 (d)(e) 4,234,388 4,183,236 
Post Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.49% 5/24/24 (d)(e) 5,840,000 5,846,249 
  16,263,316 
Personal Products - 0.0%   
Prestige Brands, Inc. term loan 3 month U.S. LIBOR + 2.750% 3.9839% 1/26/24 (d)(e) 2,084,842 2,087,115 
TOTAL CONSUMER STAPLES  82,290,265 
ENERGY - 0.2%   
Energy Equipment & Services - 0.0%   
Cactus Wellhead LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.3169% 7/31/20 (d)(e) 3,371,806 3,262,222 
Expro Finservices SARL Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.96% 9/2/21 (d)(e) 6,065,149 3,899,891 
Forbes Energy Services LLC Tranche B, term loan 12% 4/13/21 (d) 1,493,878 1,505,082 
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.9889% 4/16/21 (d)(e) 2,335,000 2,092,744 
Pacific Drilling SA Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.75% 6/3/18 (d)(e) 1,340,501 447,727 
Seadrill Operating LP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 2/21/21 (d)(e) 3,071,204 1,974,201 
Summit Midstream Partners LP Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.2339% 5/16/22 (d)(e) 3,000,000 3,037,500 
  16,219,367 
Oil, Gas & Consumable Fuels - 0.2%   
Alon U.S.A. Partners LP term loan 3 month U.S. LIBOR + 8.000% 9.25% 11/26/18 (d)(e) 2,127,522 2,136,032 
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 5/18/23 (d)(e) 2,000,000 2,010,000 
Bcp Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5072% 6/22/24 (d)(e) 5,470,000 5,501,890 
California Resources Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.6033% 12/31/21 (d)(e) 4,480,000 4,741,318 
Chesapeake Energy Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.8144% 8/23/21 (d)(e) 5,900,000 6,263,853 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.9324% 5/16/21 (d)(e) 2,832,000 2,750,580 
Citgo Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 8.500% 9.7964% 5/12/18 (d)(e) 2,569,041 2,585,097 
Citgo Petroleum Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 7/29/21 (d)(e) 522,566 522,457 
Crestwood Holdings Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 9.2283% 6/19/19 (d)(e) 5,527,140 5,496,077 
Foresight Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 7.0464% 3/28/22 (d)(e) 1,995,000 1,866,981 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.2306% 3/1/24 (d)(e) 2,500,000 2,353,125 
Houston Fuel Oil Terminal Co. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8% 8/19/21 (d)(e) 7,208,121 7,136,040 
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 5.2283% 2/15/24 (d)(e) 2,857,838 2,897,133 
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 7.0464% 12/19/20 (d)(e) 6,172,692 5,720,048 
Panda Temple Power, LLC term loan 3 month U.S. LIBOR + 6.000% 7.2964% 4/3/19 (d)(e) 1,004,700 954,465 
Peabody Energy Corp. term loan 3 month U.S. LIBOR + 4.500% 5.7339% 3/31/22 (d)(e) 3,358,421 3,381,090 
  56,316,186 
TOTAL ENERGY  72,535,553 
FINANCIALS - 0.3%   
Capital Markets - 0.0%   
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.24% 4/27/24 (d)(e) 3,045,000 3,038,149 
HarbourVest Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8039% 2/4/21 (d)(e) 756,307 755,362 
IBC Capital U.S. LLC:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2281% 9/11/22 (d)(e) 2,505,000 2,379,750 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9781% 9/11/21 (d)(e) 1,949,135 1,928,026 
Jane Street Group LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7344% 8/25/22 (d)(e) 2,000,000 2,017,500 
  10,118,787 
Diversified Financial Services - 0.1%   
Avolon TLB Borrower 1 (U.S.) LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 3.9806% 3/20/22 (d)(e) 4,300,000 4,311,696 
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 10/6/23 (d)(e) 4,118,000 4,138,590 
Extell Boston 5.154% 8/31/21 (d) 1,137,495 1,142,841 
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 1.375% 7/14/22 (d)(e) 3,000,000 3,024,000 
Flying Fortress Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 10/30/22 (d)(e) 2,000,000 2,007,500 
Focus Financial Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5486% 7/3/24 (d)(e) 1,385,000 1,400,581 
Kingpin Intermediate Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.49% 7/3/24 (d)(e) 1,000,000 1,007,080 
Nab Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7992% 6/30/24 (d)(e) 1,755,000 1,761,581 
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 2/10/24 (d)(e) 2,743,125 2,736,267 
Peak 10 Holding Corp. term loan 3 month U.S. LIBOR + 3.500% 4.8106% 8/1/24 (d)(e) 1,000,000 996,250 
TransUnion LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2339% 4/9/23 (d)(e) 4,893,918 4,895,142 
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.49% 8/18/23 (d)(e) 2,973,769 2,981,203 
VF Holdings Corp. term loan 3 month U.S. LIBOR + 3.250% 4.5464% 6/30/23 (d)(e) 1,488,750 1,493,216 
  31,895,947 
Insurance - 0.2%   
Acrisure LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.2964% 11/22/23 (d)(e) 5,715,675 5,779,976 
Alliant Holdings Intermediate LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5639% 8/14/22 (d)(e) 3,934,884 3,931,775 
AmWINS Group, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.9839% 1/25/25 (d)(e) 275,000 280,500 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.1759% 1/25/24 (d)(e) 1,492,500 1,493,440 
Asurion LLC:   
term loan 3 month U.S. LIBOR + 6.000% 7.2389% 8/4/25 (d)(e) 3,935,000 4,015,353 
Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 11/3/23 (d)(e) 7,640,624 7,669,276 
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9806% 8/4/22 (d)(e) 4,692,706 4,702,983 
HUB International Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3115% 10/2/20 (d)(e) 4,800,547 4,814,853 
USI, Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5/16/24 (e)(s) 4,895,000 4,856,232 
Tranche, term loan 3 month U.S. LIBOR + 3.000% 4.3142% 5/16/24 (d)(e) 4,680,000 4,651,733 
  42,196,121 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5643% 11/4/21 (d)(e) 5,259,168 5,267,635 
MGM Growth Properties Operating Partner LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 4/25/23 (d)(e) 4,810,385 4,818,418 
  10,086,053 
Thrifts & Mortgage Finance - 0.0%   
Ocwen Loan Servicing LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2306% 12/5/20 (d)(e) 1,278,608 1,270,936 
TOTAL FINANCIALS  95,567,844 
HEALTH CARE - 0.4%   
Health Care Equipment & Supplies - 0.1%   
Alere, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.48% 6/18/22 (d)(e) 1,848,209 1,843,977 
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 6/22/24 (d)(e) 2,825,000 2,808,530 
CPI Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3% 3/21/24 (d)(e) 1,910,213 1,917,376 
Ortho-Clinical Diagnostics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 6/30/21 (d)(e) 8,960,017 8,976,682 
  15,546,565 
Health Care Providers & Services - 0.2%   
Community Health Systems, Inc.:   
Tranche G, term loan 3 month U.S. LIBOR + 2.750% 4.0669% 12/31/19 (d)(e) 1,474,840 1,470,475 
Tranche H, term loan 3 month U.S. LIBOR + 3.000% 4.3169% 1/27/21 (d)(e) 10,722,179 10,663,421 
Envision Healthcare Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3% 12/1/23 (d)(e) 11,474,844 11,552,299 
Equian LLC Tranche DD, term loan 3 month U.S. LIBOR + 3.750% 5.0156% 5/19/24 (d)(e)(t) 631,765 637,293 
Ghx Ultimate Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 6/30/24 (d)(e) 1,260,000 1,257,896 
HCA Holdings, Inc.:   
Tranche B 8LN, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 2/15/24 (d)(e) 2,985,019 2,997,824 
Tranche B 9LN, term loan 3 month U.S. LIBOR + 2.000% 3.2339% 3/18/23 (d)(e) 7,920,150 7,942,406 
Kindred Healthcare, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8125% 4/9/21 (d)(e) 3,502,491 3,490,442 
Milk Specialties Co. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2964% 8/16/23 (d)(e) 659,863 664,812 
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 6/7/23 (d)(e) 2,273,055 2,281,101 
Onex Schumacher Finance LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.2389% 7/31/22 (d)(e) 1,169,032 1,167,571 
Precyse Acquisition Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 10/20/22 (d)(e) 505,000 506,894 
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4861% 6/23/24 (d)(e) 1,000,000 993,750 
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.2964% 12/31/23 (d)(e) 3,000,000 2,925,000 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.5464% 12/31/22 (d)(e) 7,411,363 7,235,343 
Vizient, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 2/11/23 (d)(e) 3,519,412 3,554,606 
  59,341,133 
Health Care Technology - 0.0%   
Press Ganey Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.4839% 10/21/24 (d)(e) 1,000,000 1,018,750 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 10/21/23 (d)(e) 2,985,000 2,996,194 
Project Ruby Ultimate Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 2/9/24 (d)(e) 996,819 1,000,138 
  5,015,082 
Life Sciences Tools & Services - 0.0%   
Albany Molecular Research, Inc. term loan:   
3 month U.S. LIBOR + 3.250% 4.4889% 7/27/24 (d)(e) 1,105,000 1,105,000 
3 month U.S. LIBOR + 7.000% 8.2389% 7/27/25 (d)(e) 580,000 587,250 
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 8/11/24 (e)(s) 5,000,000 5,010,000 
  6,702,250 
Pharmaceuticals - 0.1%   
HLF Financing U.S. LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7339% 2/15/23 (d)(e) 2,486,844 2,497,736 
Innoviva, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8167% 8/18/22 (d)(e) 2,540,000 2,546,350 
RPI Finance Trust Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 3/27/23 (d)(e) 4,000,000 4,014,360 
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.99% 4/1/22 (d)(e) 15,327,281 15,582,787 
  24,641,233 
TOTAL HEALTH CARE  111,246,263 
INDUSTRIALS - 0.5%   
Aerospace & Defense - 0.1%   
DigitalGlobe, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9839% 1/15/24 (d)(e) 1,641,750 1,639,698 
Gemini HDPE LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3111% 8/7/21 (d)(e) 982,217 984,673 
TransDigm, Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2639% 8/22/24 (d)(e) 7,770,000 7,776,915 
Tranche D, term loan 3 month U.S. LIBOR + 3.000% 4.2928% 6/4/21 (d)(e) 4,955,713 4,961,362 
Tranche E, term loan 3 month U.S. LIBOR + 3.000% 4.258% 5/14/22 (d)(e) 983,262 984,265 
Tranche F, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 6/9/23 (d)(e) 13,158,886 13,173,887 
  29,520,800 
Airlines - 0.1%   
American Airlines, Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2306% 10/10/21 (d)(e) 6,241,462 6,241,462 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7267% 12/14/23 (d)(e) 4,445,000 4,454,735 
  10,696,197 
Building Products - 0.0%   
GYP Holdings III Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3111% 4/1/23 (d)(e) 3,805,343 3,814,856 
HD Supply, Inc. Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.500% 3.7389% 10/17/23 (d)(e) 992,500 993,989 
Jeld-Wen, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 7/1/22 (d)(e) 1,722,982 1,732,028 
  6,540,873 
Commercial Services & Supplies - 0.2%   
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5217% 6/21/24 (d)(e) 9,075,000 9,096,417 
Garda World Security Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3154% 5/26/24 (d)(e) 854,322 858,952 
GCA Services Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.0052% 3/1/23 (d)(e) 2,203,799 2,209,308 
Harland Clarke Holdings Corp.:   
Tranche B 5LN, term loan 3 month U.S. LIBOR + 6.000% 7.2964% 12/31/21 (d)(e) 2,983,255 2,995,934 
Tranche B 6LN, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 2/9/22 (d)(e) 1,366,171 1,370,160 
Hd Supply Waterworks Ltd. term loan 3 month U.S. LIBOR + 3.000% 4.455% 8/1/24 (d)(e) 3,055,000 3,058,819 
KAR Auction Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8125% 3/9/23 (d)(e) 1,121,765 1,125,971 
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 4/7/21 (d)(e) 14,409,122 14,418,200 
Merrill Communications LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.5611% 6/1/22 (d)(e) 1,825,904 1,835,033 
Metal Services LLC Tranche B, term loan 3 month U.S. LIBOR + 7.500% 8.7964% 6/30/19 (d)(e) 1,088,986 1,097,153 
Optiv Security, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5625% 2/1/24 (d)(e) 1,350,582 1,226,774 
Prime Security Services Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.9839% 5/2/22 (d)(e) 11,280,902 11,332,004 
SAI Global GP Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 12/8/23 (d)(e)(g) 2,487,500 2,512,375 
The Brickman Group, Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2342% 12/18/20 (d)(e) 2,687,755 2,695,496 
Thomson Reuters IP&S Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 10/3/23 (d)(e) 3,786,435 3,801,316 
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 1/15/21 (d)(e) 2,496,496 2,521,461 
  62,155,373 
Construction & Engineering - 0.0%   
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 5/21/22 (d)(e) 3,160,131 3,168,031 
Electrical Equipment - 0.0%   
Cortes NP Acquisition Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2389% 11/30/23 (d)(e) 3,225,981 3,244,788 
Machinery - 0.1%   
Doosan Bobcat Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0128% 5/18/24 (d)(e) 1,735,650 1,738,549 
Gardner Denver, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0122% 7/30/24 (d)(e) 1,030,000 1,028,589 
NN, Inc. term loan 3 month U.S. LIBOR + 3.750% 4.9839% 4/3/21 (d)(e) 1,485,000 1,492,425 
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 3/13/22 (d)(e) 3,784,855 3,799,049 
The Gates Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 3/31/24 (d)(e) 393,004 394,164 
  8,452,776 
Marine - 0.0%   
International Seaways Operatin Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.79% 6/22/22 (d)(e) 2,990,000 2,967,575 
Navios Maritime Partners LP Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.23% 9/14/20 (d)(e) 2,962,500 2,947,688 
  5,915,263 
Professional Services - 0.0%   
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 4/4/24 (d)(e) 3,366,563 3,381,981 
Science Applications International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8125% 5/4/22 (d)(e) 1,405,732 1,412,760 
  4,794,741 
Trading Companies & Distributors - 0.0%   
Fly Funding II SARL Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5614% 2/9/23 (d)(e) 2,097,368 2,098,249 
Transportation Infrastructure - 0.0%   
American Commercial Barge Line Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.750% 9.9889% 11/12/20 (d)(e) 1,155,345 915,611 
DAE Aviation Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.99% 7/7/22 (d)(e) 1,994,924 2,010,385 
Standardaero Aviation Holdings In term loan 3 month U.S. LIBOR + 3.750% 7/7/22 (e)(s) 1,290,000 1,293,225 
  4,219,221 
TOTAL INDUSTRIALS  140,806,312 
INFORMATION TECHNOLOGY - 0.8%   
Communications Equipment - 0.0%   
Polycom, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.4839% 9/27/23 (d)(e) 2,599,750 2,631,597 
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 2/1/24 (d)(e) 5,516,175 5,438,011 
Zayo Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.2306% 1/19/21 (d)(e) 1,960,088 1,958,872 
  10,028,480 
Electronic Equipment & Components - 0.0%   
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.2339% 1/31/24 (d)(e) 1,990,000 2,007,413 
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 2/15/24 (d)(e) 6,747,748 6,759,017 
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 4.0464% 2/1/22 (d)(e) 2,202,901 2,195,830 
Lux FinCo U.S. SPV:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.500% 9.7344% 10/16/23 (d)(e) 405,000 384,750 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.7344% 10/16/22 (d)(e) 1,913,099 1,889,185 
TTM Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4889% 5/31/21 (d)(e) 2,517,744 2,546,068 
  15,782,263 
Internet Software & Services - 0.2%   
Abacus Innovations Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.25% 8/16/23 (d)(e) 1,820,426 1,823,157 
Ancestry.Com Operations, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.49% 10/19/24 (d)(e) 725,000 733,156 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.48% 10/19/23 (d)(e) 4,950,000 4,971,681 
Blucora, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0372% 5/22/24 (d)(e) 1,440,000 1,454,400 
Datapipe, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.0464% 3/15/19 (d)(e) 6,207,974 6,223,494 
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3171% 2/9/23 (d)(e) 10,932,436 11,039,464 
Mh Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.82% 8/16/24 (d)(e) 2,000,000 1,988,340 
Rackspace Hosting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3104% 11/3/23 (d)(e) 10,705,075 10,713,960 
Travelclick, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 5/12/21 (d)(e) 927,717 932,356 
Uber Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2361% 7/13/23 (d)(e) 12,862,934 12,834,764 
Vfh Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0606% 12/30/21 (d)(e) 1,575,000 1,586,813 
  54,301,585 
IT Services - 0.2%   
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.500% 4.7017% 9/15/20 (d)(e) 7,588,745 7,576,071 
Cologix Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.4561% 3/20/24 (d)(e) 1,995,000 1,991,668 
Equian LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0664% 5/19/24 (d)(e) 2,053,235 2,071,201 
First Data Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4861% 7/10/22 (d)(e) 12,488,329 12,472,719 
Global Payments, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.2339% 4/22/23 (d)(e) 1,241,499 1,241,499 
Information Resources, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.4861% 1/18/25 (d)(e) 1,000,000 996,250 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4861% 1/18/24 (d)(e) 3,097,238 3,116,595 
Inmar, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.2556% 5/1/25 (d)(e) 290,000 291,088 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7556% 5/1/24 (d)(e) 1,025,000 1,025,646 
Neustar, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.3119% 8/8/25 (d)(e) 700,000 707,000 
Tranche B1 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5585% 1/8/20 (d)(e) 429,456 431,200 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0619% 8/8/24 (d)(e) 2,440,000 2,458,300 
RP Crown Parent, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 10/12/23 (d)(e) 4,397,900 4,427,762 
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2317% 5/1/24 (d)(e) 5,370,000 5,386,110 
WEX, Inc. term loan 3 month U.S. LIBOR + 2.750% 3.9839% 7/1/23 (d)(e) 3,210,642 3,231,929 
Xerox Business Services LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 12/7/23 (d)(e) 3,507,375 3,535,434 
  50,960,472 
Semiconductors & Semiconductor Equipment - 0.0%   
Bright Bidco BV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 6/30/24 (d)(e) 2,500,000 2,515,625 
Cavium, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.4844% 8/16/22 (d)(e) 1,569,984 1,571,946 
Microsemi Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.553% 1/15/23 (d)(e) 1,474,097 1,476,559 
  5,564,130 
Software - 0.4%   
Almonde, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.4589% 6/13/25 (d)(e) 1,705,000 1,733,508 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8169% 6/13/24 (d)(e) 7,915,000 7,948,639 
Applied Systems, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 1/23/21 (d)(e) 995,659 1,001,882 
Aptean, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.500% 10.8% 12/20/23 (d)(e) 685,000 683,719 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.55% 12/20/22 (d)(e) 1,925,175 1,938,420 
Compuware Corp.:   
term loan 3 month U.S. LIBOR + 8.250% 9.55% 12/15/22 (d)(e) 743,561 750,535 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 4.250% 5.55% 12/15/21 (d)(e) 5,229,381 5,281,675 
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.99% 6/1/22 (d)(e) 7,876,713 7,890,813 
Evo Payments International LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.24% 12/20/23 (d)(e) 2,493,750 2,521,805 
Greeneden U.S. Holdings II LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0067% 12/1/23 (d)(e) 6,517,504 6,551,265 
Hyland Software, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2339% 7/7/25 (d)(e) 290,000 294,713 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 7/1/22 (d)(e) 1,550,000 1,561,625 
Kronos, Inc.:   
term loan 3 month U.S. LIBOR + 8.250% 9.5606% 11/1/24 (d)(e) 5,095,000 5,260,588 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8113% 11/1/23 (d)(e) 14,542,016 14,653,263 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 5.49% 1/20/24 (d)(e) 6,510,421 6,420,903 
3 month U.S. LIBOR + 9.000% 10.24% 1/20/25 (d)(e) 2,445,000 2,415,660 
MA FinanceCo. LLC Tranche B 3LN, term loan:   
3 month U.S. LIBOR + 2.750% 3.9806% 6/21/24 (d)(e) 1,052,102 1,050,787 
3 month U.S. LIBOR + 2.750% 4.0302% 6/21/24 (d)(e) 7,012,898 7,004,132 
Quest Software U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.2572% 10/31/22 (d)(e) 2,974,824 3,016,352 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 4/9/21 (d)(e) 6,386,379 6,423,612 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2964% 4/9/22 (d)(e) 2,813,000 2,813,000 
SolarWinds Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 2/5/23 (d)(e) 2,970,075 2,980,797 
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5072% 3/3/23 (d)(e) 4,915,735 4,928,270 
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 4.5464% 9/30/22 (d)(e) 4,889,988 4,881,577 
SS&C Technologies, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/8/22 (d)(e) 1,721,784 1,727,931 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/8/22 (d)(e) 89,795 90,115 
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5031% 9/30/23 (d)(e) 3,786,107 3,805,833 
TIBCO Software, Inc. term loan 3 month U.S. LIBOR + 3.500% 4.74% 12/4/20 (d)(e) 777,115 778,638 
Veritas U.S., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 1/27/23 (d)(e) 6,640,227 6,687,240 
  113,097,297 
Technology Hardware, Storage & Peripherals - 0.0%   
Dell International LLC:   
Tranche A 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.24% 12/31/18 (d)(e) 55,200 55,212 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.74% 9/7/23 (d)(e) 1,756,175 1,762,690 
  1,817,902 
TOTAL INFORMATION TECHNOLOGY  251,552,129 
MATERIALS - 0.3%   
Chemicals - 0.1%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 5/20/21 (d)(e) 2,730,600 2,727,187 
Ashland LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2374% 5/17/24 (d)(e) 2,545,000 2,551,363 
ASP Chromaflo Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 11/18/23 (d)(e) 1,810,900 1,816,568 
Ineos Styrolution U.S. Holding LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0464% 3/30/24 (d)(e) 1,447,734 1,450,456 
Jade Germany GmbH Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 5/31/23 (d)(e) 3,000,000 3,003,750 
Kraton Polymers LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2278% 1/6/22 (d)(e) 1,617,371 1,627,479 
MacDermid, Inc.:   
Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 6/7/20 (d)(e) 2,609,271 2,625,579 
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 4% 6/7/23 (d)(e) 3,329,959 3,340,382 
Methanol Holdings (TRINIDAD) Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 6/30/22 (d)(e) 2,583,410 2,596,327 
Royal Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 6/19/22 (d)(e) 2,097,718 2,108,206 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.500% 8.7964% 6/19/23 (d)(e) 96,552 96,310 
The Chemours Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.74% 5/12/22 (d)(e) 2,375,061 2,380,262 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4856% 11/5/21 (d)(e) 1,137,600 1,138,078 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.735% 8/16/24 (d)(e) 2,000,000 2,008,760 
Tronox Pigments (Netherlands) B.V. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 3/19/20 (d)(e) 1,004,308 1,004,780 
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 6/1/24 (d)(e) 2,000,000 2,004,380 
Univar, Inc. term loan 3 month U.S. LIBOR + 2.750% 3.9839% 7/1/22 (d)(e) 1,213,465 1,214,605 
Venator Materials LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3119% 8/8/24 (d)(e) 1,260,000 1,265,519 
  34,959,991 
Construction Materials - 0.0%   
Unifrax I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 4/4/24 (d)(e) 1,000,000 1,003,330 
Containers & Packaging - 0.1%   
Anchor Glass Container Corp. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.750% 8.9806% 12/7/24 (d)(e) 1,180,000 1,195,729 
Berlin Packaging, LLC:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.99% 10/1/22 (d)(e) 1,129,000 1,132,760 
Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5166% 10/1/21 (d)(e) 5,353,211 5,368,093 
Berry Global, Inc. Tranche M, term loan 3 month U.S. LIBOR + 2.250% 3.4806% 10/1/22 (d)(e) 4,956,562 4,957,206 
Berry Plastics Corp. Tranche L, term loan 3 month U.S. LIBOR + 2.250% 3.4806% 1/6/21 (d)(e) 3,552,000 3,552,000 
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4806% 4/3/24 (d)(e) 1,000,000 1,000,310 
Caraustar Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 3/14/22 (d)(e) 3,501,225 3,462,712 
Charter Nex U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 5/16/24 (d)(e) 1,235,000 1,236,161 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 5/22/24 (d)(e) 2,290,000 2,301,450 
Flex Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2986% 12/29/23 (d)(e) 4,538,625 4,529,548 
Printpack Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.25% 7/26/23 (d)(e) 1,071,900 1,075,920 
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 2/5/23 (d)(e) 12,779,830 12,785,964 
  42,597,853 
Metals & Mining - 0.1%   
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.55% 8/25/23 (d)(e) 7,220,356 6,522,365 
JMC Steel Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7894% 6/14/21 (d)(e) 2,865,718 2,868,097 
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5464% 4/16/20 (d)(e) 11,745,501 10,717,770 
Walter Energy, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.800% 0% 4/1/18 (e)(f)(g) 2,107,367 0 
  20,108,232 
TOTAL MATERIALS  98,669,406 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Communications Sales & Leasing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 10/24/22 (d)(e) 3,643,536 3,519,037 
iStar Financial, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9806% 7/1/20 (d)(e) 1,161,476 1,168,736 
The GEO Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.49% 3/23/24 (d)(e) 1,471,313 1,471,930 
  6,159,703 
Real Estate Management & Development - 0.0%   
Americold Realty Operating Partnership LP Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 12/1/22 (d)(e) 2,475,718 2,503,570 
Capital Automotive LP:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.24% 3/24/25 (d)(e) 922,138 931,359 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.24% 3/24/24 (d)(e) 171,605 172,342 
RE/MAX LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0464% 12/15/23 (d)(e) 1,081,825 1,084,530 
Realogy Group LLC term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/20/22 (d)(e) 4,958,735 4,974,256 
Simply Storage Management LLC 8.2375% 9/6/21 (d)(g) 1,305,000 1,305,000 
  10,971,057 
TOTAL REAL ESTATE  17,130,760 
TELECOMMUNICATION SERVICES - 0.4%   
Diversified Telecommunication Services - 0.2%   
Altice Financing SA Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0539% 7/15/25 (d)(e) 3,142,125 3,137,066 
Cincinnati Bell, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 8/18/24 (e)(s) 2,000,000 2,000,620 
Consolidated Communications, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 4.24% 10/5/23 (d)(e) 2,000,000 1,962,500 
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.485% 2/22/24 (d)(e) 12,065,000 12,053,659 
LTS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 4/11/20 (d)(e) 8,256,774 8,265,031 
Sable International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 1/31/25 (d)(e) 6,880,000 6,838,445 
Securus Technologies Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.750% 9% 4/30/21 (d)(e) 5,224,000 5,237,060 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.75% 4/30/20 (d)(e) 2,774,325 2,781,261 
Securus Technologies, Inc.:   
Tranche B, term loan:   
3 month U.S. LIBOR + 4.500% 6/15/24 (e)(s) 9,580,000 9,653,862 
3 month U.S. LIBOR + 8.250% 6/15/25 (e)(s) 3,360,000 3,365,040 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4467% 4/30/20 (d)(e) 2,761,920 2,768,825 
SFR Group SA Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 4.0611% 7/31/25 (d)(e) 8,423,888 8,375,450 
  66,438,819 
Wireless Telecommunication Services - 0.2%   
Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.07% 5/25/24 (d)(e) 4,955,000 5,000,140 
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.0003% 6/30/19 (d)(e) 11,760,000 11,706,492 
Sprint Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.75% 2/3/24 (d)(e) 12,713,138 12,713,138 
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 4/23/19 (d)(e) 4,011,549 3,841,058 
Telesat LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.000% 4.3% 11/17/23 (d)(e) 7,578,169 7,629,625 
Xplornet Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.2964% 9/9/21 (d)(e) 2,144,510 2,165,955 
  43,056,408 
TOTAL TELECOMMUNICATION SERVICES  109,495,227 
UTILITIES - 0.2%   
Electric Utilities - 0.1%   
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.49% 5/3/20 (d)(e) 2,950,126 2,941,836 
Empire Generating Co. LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.57% 3/14/21 (d)(e) 884,825 825,100 
Tranche C, term loan 3 month U.S. LIBOR + 4.250% 5.57% 3/14/21 (d)(e) 87,227 81,339 
Exgen Texas Power LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0464% 9/18/21 (d)(e) 4,484,918 3,016,107 
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 11/13/21 (d)(e) 3,042,000 2,829,060 
InterGen NV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8% 6/13/20 (d)(e) 6,278,188 6,262,493 
Lightstone Holdco LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 1/30/24 (d)(e) 2,542,861 2,525,239 
Tranche C, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 1/30/24 (d)(e) 158,446 157,348 
Longview Power LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.24% 4/13/21 (d)(e) 1,960,000 1,103,892 
Tex Operations Co. LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9834% 8/4/23 (d)(e) 6,481,714 6,480,807 
Tranche C, term loan 3 month U.S. LIBOR + 2.750% 3.9817% 8/4/23 (d)(e) 1,485,714 1,485,506 
USIC Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.9232% 12/9/23 (d)(e) 1,492,500 1,496,858 
Vistra Operations Co. LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 3.9792% 12/14/23 (d)(e) 1,492,500 1,494,634 
  30,700,219 
Independent Power and Renewable Electricity Producers - 0.1%   
APLP Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 4/13/23 (d)(e) 2,518,834 2,544,023 
Calpine Corp. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 2.99% 11/30/17 (d)(e) 2,240,909 2,236,001 
Dynegy, Inc. Tranche C, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 2/7/24 (d)(e) 6,806,790 6,814,890 
Energy Future Holdings Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 6/30/18 (d)(e) 13,500,000 13,554,000 
MRP Generation Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 7.000% 8.2964% 10/18/22 (d)(e) 1,554,380 1,437,802 
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.49% 12/9/21 (d)(e) 2,718,089 2,459,871 
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 6/26/22 (d)(e) 2,709,512 2,756,928 
The AES Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3172% 5/24/22 (d)(e) 4,059,825 4,059,825 
  35,863,340 
TOTAL UTILITIES  66,563,559 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $1,474,618,320)  1,472,187,211 
Sovereign Loan Participations - 0.0%   
Indonesian Republic loan participation:   
Citibank 2.1875% 12/14/19 (d)(g) 502,384 497,360 
Goldman Sachs 2.1875% 12/14/19 (d)(g) 430,556 426,250 
Mizuho 2.1875% 12/14/19 (d)(g) 201,880 199,861 
TOTAL SOVEREIGN LOAN PARTICIPATIONS   
(Cost $1,082,814)  1,123,471 
Bank Notes - 0.5%   
Capital One NA:   
1.65% 2/5/18 $18,801,000 $18,796,029 
2.95% 7/23/21 18,827,000 19,138,973 
Discover Bank:   
(Delaware) 3.2% 8/9/21 25,781,000 26,456,905 
3.1% 6/4/20 22,584,000 23,138,986 
8.7% 11/18/19 2,958,000 3,336,110 
JPMorgan Chase Bank 6% 10/1/17 11,313,000 11,347,917 
KeyBank NA 6.95% 2/1/28 1,977,000 2,523,075 
RBS Citizens NA 2.5% 3/14/19 11,319,000 11,420,985 
Regions Bank 7.5% 5/15/18 24,647,000 25,599,497 
UBS AG Stamford Branch 1.8% 3/26/18 24,142,000 24,181,747 
Wachovia Bank NA 6% 11/15/17 2,243,000 2,262,498 
TOTAL BANK NOTES   
(Cost $165,139,689)  168,202,722 
Preferred Securities - 0.5%   
CONSUMER DISCRETIONARY - 0.0%   
Automobiles - 0.0%   
Volkswagen International Finance NV 2.5%(Reg. S) (c)(d) EUR$1,525,000 $1,811,445 
CONSUMER STAPLES - 0.0%   
Food Products - 0.0%   
Cosan Overseas Ltd. 8.25% (c) 3,587,000 3,644,582 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Total SA 2.625% (Reg. S) (c)(d) EUR2,150,000 2,590,690 
FINANCIALS - 0.5%   
Banks - 0.5%   
Alfa Bond Issuance PLC 8% (Reg. S) (c)(d) 1,860,000 1,963,796 
Banco Do Brasil SA 9% (b)(c)(d) 2,050,000 2,208,245 
Banco Mercantil del Norte SA 7.625% (b)(c)(d) 1,130,000 1,230,356 
Bank of America Corp.:   
6.1% (c)(d) 8,141,000 9,151,280 
6.25% (c)(d) 5,325,000 6,014,964 
6.5% (c)(d) 3,000,000 3,452,295 
Barclays Bank PLC:   
6% (c)(d) GBP1,330,000 1,789,687 
7.625% 11/21/22 30,445,000 35,623,365 
Barclays PLC:   
6.625% (c)(d) 13,935,000 14,410,715 
7.25% (Reg. S) (c)(d) GBP1,350,000 1,918,932 
8.25% (c)(d) 500,000 538,903 
CBOM Finance PLC 8.875% (b)(c)(d) 1,935,000 1,806,501 
Citigroup, Inc.:   
5.875% (c)(d) 4,305,000 4,607,315 
5.95% (c)(d) 5,290,000 5,806,429 
5.95% (c)(d) 2,285,000 2,418,384 
Credit Agricole SA:   
6.625% (b)(c)(d) 13,700,000 14,283,646 
7.875% (b)(c)(d) 4,250,000 4,834,288 
8.125% 9/19/33 (Reg. S) (d) 2,500,000 2,734,726 
Danske Bank A/S 6.125% (Reg. S) (c)(d) 1,600,000 1,759,810 
Erste Group Bank AG 6.5% (Reg. S) (c)(d) EUR2,200,000 2,919,618 
HSBC Holdings PLC 4.75% (Reg. S) (c)(d) EUR2,050,000 2,520,566 
Royal Bank of Scotland Group PLC:   
7.5% (c)(d) 9,170,000 9,792,090 
8.625% (c)(d) 3,665,000 4,113,104 
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (c) EUR2,050,000 2,932,837 
  138,831,852 
Capital Markets - 0.0%   
UBS AG 4.75% 2/12/26 (Reg. S) (d) EUR2,800,000 3,753,776 
Diversified Financial Services - 0.0%   
Magnesita Finance Ltd.:   
8.625% (b)(c) 985,000 1,003,329 
8.625% (Reg. S) (c) 200,000 203,721 
  1,207,050 
Insurance - 0.0%   
Assicurazioni Generali SpA 6.416% (c)(d) GBP1,150,000 1,674,487 
Aviva PLC 6.125% (c)(d) GBP2,200,000 3,372,383 
Credit Agricole Assurances SA 4.25% (Reg. S) (c)(d) EUR2,600,000 3,418,347 
  8,465,217 
TOTAL FINANCIALS  152,257,895 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd.:   
7.5% (b)(c) 6,875,000 2,963,811 
7.5% (Reg. S) (c) 100,000 43,110 
  3,006,921 
MATERIALS - 0.0%   
Metals & Mining - 0.0%   
CSN Islands XII Corp. 7% (Reg. S) (c) 2,410,000 1,658,830 
TOTAL PREFERRED SECURITIES   
(Cost $154,214,292)  164,970,363 
 Shares Value 
Money Market Funds - 3.1%   
Fidelity Cash Central Fund, 1.11% (u)   
(Cost $958,169,986) 958,058,657 958,250,269 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount(a) Value 
Put Options - 0.0%    
Option on a credit default swap with Credit Suisse Intl to buy protection on the 5-Year iTraxx Europe Crossover Series 27 Index expiring June 2022 exercise rate 2.500% 9/20/17 EUR 19,150,000 $48,474 
Option on a credit default swap with Credit Suisse Intl to buy protection on the 5-Year iTraxx Europe Crossover Series 27 Index expiring June 2022 exercise rate 2.625% 12/20/17 EUR 38,300,000 438,152 
TOTAL PUT OPTIONS   486,626 
TOTAL PURCHASED SWAPTIONS    
(Cost $552,575)   486,626 
TOTAL INVESTMENT IN SECURITIES - 101.9%    
(Cost $30,690,729,972)   31,266,382,976 
NET OTHER ASSETS (LIABILITIES) - (1.9)%   (579,568,269) 
NET ASSETS - 100%   $30,686,814,707 

TBA Sale Commitments   
 Principal Amount(a) Value 
Fannie Mae   
3% 9/1/47 $(6,400,000) $(6,473,368) 
3% 9/1/47 (17,000,000) (17,194,883) 
3.5% 9/1/47 (35,300,000) (36,573,395) 
3.5% 9/1/47 (35,300,000) (36,573,395) 
3.5% 9/1/47 (108,400,000) (112,310,367) 
TOTAL FANNIE MAE  (209,125,408) 
Ginnie Mae   
3.5% 9/1/47 (23,000,000) (23,983,137) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $232,422,180)  $(233,108,545) 

Futures Contracts      
 Number of contracts Expiration Date Notional amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Bond Index Contracts      
ASX 10 Year Treasury Bond Index Contracts (Australia) 29 Sept. 2017 $2,965,845 $(53,594) $(53,594) 
Eurex Euro-Bund Contracts (Germany) 7 Sept. 2017 1,375,636 26,334 26,334 
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) 16 Sept. 2017 3,206,406 20,949 20,949 
TSE 10 Year Japanese Government Bond Index Contracts (Japan) 3 Sept. 2017 4,123,891 16,643 16,643 
TOTAL BOND INDEX CONTRACTS     10,332 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 149 Dec. 2017 18,920,672 50,906 50,906 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 195 Dec. 2017 42,180,938 917 917 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 223 Dec. 2017 26,425,500 34,070 34,070 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 23 Dec. 2017 3,590,156 33,913 33,913 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 32 Dec. 2017 4,369,000 29,433 29,433 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 56 Dec. 2017 9,467,500 51,955 51,955 
TME 10 Year Canadian Note Contracts (Canada) 67 Dec. 2017 7,417,618 14,839 14,839 
TOTAL TREASURY CONTRACTS     216,033 
TOTAL PURCHASED     226,365 
Sold      
Bond Index Contracts      
Eurex Euro-Bobl Contracts (Germany) 330 Sept. 2017 52,303,849 (216,345) (216,345) 
ICE Long Gilt Contracts (United Kingdom) 39 Dec. 2017 6,419,854 21,125 21,125 
ICE Medium Gilt Contracts (United Kingdom) 100 Dec. 2017 14,901,684 (10,437) (10,437) 
TOTAL BOND INDEX CONTRACTS     (205,657) 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 1,026 Dec. 2017 130,285,969 (434,167) (434,167) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 463 Dec. 2017 100,152,688 (29,840) (29,840) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 58 Dec. 2017 9,053,438 (67,640) (67,640) 
TOTAL TREASURY CONTRACTS     (531,647) 
TOTAL SOLD     (737,304) 
TOTAL FUTURES CONTRACTS     $(510,939) 

The notional amount of futures purchased as a percentage of Net Assets is 0.4%

The notional amount of futures sold as a percentage of Net Assets is 1.0%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) 
EUR 322,000 USD 380,259 Goldman Sachs Bank USA 11/17/17 $4,578 
USD 111,062 AUD 140,000 Brown Brothers Harriman & Co. 11/17/17 (128) 
USD 554,859 EUR 468,000 Barclays Bank PLC 11/17/17 (4,470) 
USD 163,960,699 EUR 138,128,000 Brown Brothers Harriman & Co. 11/17/17 (1,122,497) 
USD 1,739,006 EUR 1,472,000 Goldman Sachs Bank USA 11/17/17 (20,250) 
USD 744,846 EUR 625,000 Goldman Sachs Bank USA 11/17/17 (2,120) 
USD 72,507,302 GBP 56,030,000 Brown Brothers Harriman & Co. 11/17/17 (121,893) 
USD 408,009 GBP 316,000 State Street Bank And Trust Co. 11/17/17 (1,608) 
USD 36,486 JPY 3,950,000 Goldman Sachs Bank USA 11/17/17 432 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $(1,267,956) 
     Unrealized Appreciation 5,010 
     Unrealized Depreciation (1,272,966) 

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty(2) Fixed Payment Received/(Paid) Payment Frequency Notional Amount(3) Value(1) Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps          
Buy Protection          
5-Year iTraxx Europe Series 25 Index  Jun. 2021 ICE (1%) Quarterly EUR 8,300,000 $(121,970) $0 $(121,970) 
Accor SA  Jun. 2022 Citibank, N.A. (1%) Quarterly EUR 4,200,000 (90,900) 89,448 (1,452) 
Assicurazioni Generali SpA  Dec. 2021 JPMorgan Chase Bank, N.A. (1%) Quarterly EUR 1,800,000 55,218 (132,242) (77,024) 
Carlsberg Breweries A/S  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,150,000 (149,507) 153,099 3,592 
Energias De Portugal SA  Jun. 2022 JPMorgan Chase Bank, N.A. (5%) Quarterly EUR 3,550,000 (905,381) 836,474 (68,907) 
Gas Natural Capital Markets SA  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,200,000 (107,365) 109,836 2,471 
Kering SA  Sep. 2018 Morgan Stanley Capital Group, Inc. (1%) Quarterly EUR 3,500,000 (48,013) 3,851 (44,162) 
Royal Bank Of Scotland Grp PLC (Ungtd)  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,600,000 (68,398) (120,495) (188,893) 
Santander Central Hispano Issuances Ltd  Dec. 2021 Citibank, N.A. (1%) Quarterly EUR 1,750,000 24,185 (126,437) (102,252) 
Standard Chartered PLC  Jun. 2021 Goldman Sachs Bank USA (1%) Quarterly EUR 1,550,000 (31,018) (122,820) (153,838) 
TOTAL BUY PROTECTION       (1,443,149) 690,714 (752,435) 
Sell Protection          
5-Year iTraxx Europe Senior Financials Series 25 Index NR Jun. 2021 ICE 1% Quarterly EUR 8,300,000 264,036 0 264,036 
Intesa Sanpaolo SpA Ba1 Jun. 2022 BNP Paribas SA 1% Quarterly EUR 1,850,000 (131,473) 184,686 53,213 
TOTAL SELL PROTECTION       132,563 184,686 317,249 
TOTAL CREDIT DEFAULT SWAPS       $(1,310,586) $875,400 $(435,186) 

 (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) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.

 (3) 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.

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


Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
3-month LIBOR(3) Quarterly 2.5% Semi - annual LCH Sep. 2027 $17,100,000 $(165,261) $0 $(165,261) 
3-month LIBOR(3) Quarterly 2.5% Semi - annual LCH Sep. 2047 3,100,000 (39,965) 0 (39,965) 
TOTAL INTEREST RATE SWAPS       $(205,226) $0 $(205,226) 

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

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

 (3) Represents floating rate.


Currency Abbreviations

AUD – Australian dollar

CAD – Canadian dollar

EUR – European Monetary Unit

GBP – British pound

JPY – Japanese yen

USD – U.S. dollar

Legend

 (a) Amount is stated in United States dollars unless otherwise noted.

 (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,666,116,467 or 8.7% of net assets.

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

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

 (e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

 (f) Non-income producing - Security is in default.

 (g) Level 3 instrument

 (h) 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 $2,460,675.

 (i) 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 $1,811,591.

 (j) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $2,644,604.

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

 (l) 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 $139,528.

 (m) 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.

 (n) 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.

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

 (p) 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.

 (q) 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.

 (r) Non-income producing

 (s) The coupon rate will be determined upon settlement of the loan after period end.

 (t) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $315,882 and $318,646, respectively.

 (u) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.


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 $8,039,538 
Total $8,039,538 

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Consumer Discretionary $849,484 $849,484 $-- $-- 
Energy 8,334,988 4,275,719 4,059,269 -- 
Financials 1,702,742 1,702,742 -- -- 
Materials 2,844,526 2,844,526 -- -- 
Real Estate 7,253,498 6,752,577 500,921 -- 
Telecommunication Services 295,889 261,289 -- 34,600 
Corporate Bonds 9,977,418,532 -- 9,976,075,513 1,343,019 
U.S. Government and Government Agency Obligations 11,495,919,370 -- 11,495,919,370 -- 
U.S. Government Agency - Mortgage Securities 4,821,512,740 -- 4,821,512,740 -- 
Asset-Backed Securities 325,779,420 -- 300,961,126 24,818,294 
Collateralized Mortgage Obligations 690,995,172 -- 690,995,172 -- 
Commercial Mortgage Securities 506,587,713 -- 505,597,133 990,580 
Municipal Securities 417,118,600 -- 417,118,600 -- 
Foreign Government and Government Agency Obligations 244,549,640 -- 237,028,331 7,521,309 
Bank Loan Obligations 1,472,187,211 -- 1,466,508,354 5,678,857 
Sovereign Loan Participations 1,123,471 -- -- 1,123,471 
Bank Notes 168,202,722 -- 168,202,722 -- 
Preferred Securities 164,970,363 -- 164,970,363 -- 
Money Market Funds 958,250,269 958,250,269 -- -- 
Purchased Swaptions 486,626 -- 486,626 -- 
Total Investments in Securities: $31,266,382,976 $974,936,606 $30,249,936,240 $41,510,130 
Derivative Instruments:     
Assets     
Forward Foreign Currency Contracts $5,010 $-- $5,010 $-- 
Futures Contracts 301,084 301,084 -- -- 
Swaps 343,439 -- 343,439 -- 
Total Assets $649,533 $301,084 $348,449 $-- 
Liabilities     
Forward Foreign Currency Contracts $(1,272,966) $-- $(1,272,966 ) $-- 
Futures Contracts (812,023) (812,023) -- -- 
Swaps (1,859,251) -- (1,859,251) -- 
Total Liabilities $(3,944,240) $(812,023) $(3,132,217) $-- 
Total Derivative Instruments: $(3,294,707) $(510,939) $(2,783,768) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(233,108,545) $-- $(233,108,545) $-- 
Total Other Financial Instruments: $(233,108,545) $-- $(233,108,545) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Purchased Swaptions(a) $486,626 $0 
Swaps(b) 343,439 (1,654,025) 
Total Credit Risk 830,065 (1,654,025) 
Foreign Exchange Risk   
Forward Foreign Currency Contracts(c) 5,010 (1,272,966) 
Total Foreign Exchange Risk 5,010 (1,272,966) 
Interest Rate Risk   
Futures Contracts(d) 301,084 (812,023) 
Swaps(b) 0 (205,226) 
Total Interest Rate Risk 301,084 (1,017,249) 
Total Value of Derivatives $1,136,159 $(3,944,240) 

 (a) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.

 (b) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).

 (c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

 (d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).


Other Information

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

United States of America 89.7% 
Mexico 2.2% 
United Kingdom 1.9% 
Netherlands 1.8% 
Others (Individually Less Than 1%) 4.4% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  August 31, 2017 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $29,732,559,986) 		$30,308,132,707  
Fidelity Central Funds (cost $958,169,986) 958,250,269  
Total Investment in Securities (cost $30,690,729,972)  $31,266,382,976 
Cash  2,961,260 
Foreign currency held at value (cost $744,842)  749,017 
Receivable for investments sold  756,683,712 
Receivable for TBA sale commitments  232,422,180 
Unrealized appreciation on forward foreign currency contracts  5,010 
Receivable for fund shares sold  34,259,345 
Dividends receivable  29,855 
Interest receivable  200,080,849 
Distributions receivable from Fidelity Central Funds  712,292 
Bi-lateral OTC swaps, at value  79,403 
Other receivables  174,280 
Total assets  32,494,540,179 
Liabilities   
Payable for investments purchased   
Regular delivery $858,334,102  
Delayed delivery 678,613,271  
TBA sale commitments, at value 233,108,545  
Unrealized depreciation on forward foreign currency contracts 1,272,966  
Payable for fund shares redeemed 19,852,546  
Distributions payable 2,981,531  
Bi-lateral OTC swaps, at value 1,532,055  
Accrued management fee 7,741,068  
Distribution and service plan fees payable 322,254  
Payable for daily variation margin on futures contracts 76,786  
Payable for daily variation margin on centrally cleared OTC swaps 52,183  
Other affiliated payables 3,669,020  
Other payables and accrued expenses 169,145  
Total liabilities  1,807,725,472 
Net Assets  $30,686,814,707 
Net Assets consist of:   
Paid in capital  $30,051,708,899 
Undistributed net investment income  75,408,591 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  (12,978,582) 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  572,675,799 
Net Assets  $30,686,814,707 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($521,556,531 ÷ 48,436,750 shares)  $10.77 
Maximum offering price per share (100/96.00 of $10.77)  $11.22 
Class M:   
Net Asset Value and redemption price per share ($287,111,214 ÷ 26,710,885 shares)  $10.75 
Maximum offering price per share (100/96.00 of $10.75)  $11.20 
Class C:   
Net Asset Value and offering price per share ($190,272,706 ÷ 17,664,771 shares)(a)  $10.77 
Total Bond:   
Net Asset Value, offering price and redemption price per share ($23,732,155,846 ÷ 2,204,851,985 shares)  $10.76 
Class I:   
Net Asset Value, offering price and redemption price per share ($4,481,724,927 ÷ 417,020,311 shares)  $10.75 
Class Z:   
Net Asset Value, offering price and redemption price per share ($1,473,993,483 ÷ 137,143,400 shares)  $10.75 

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


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


Statement of Operations

  Year ended August 31, 2017 
Investment Income   
Dividends  $13,698,805 
Interest  883,295,281 
Income from Fidelity Central Funds  8,039,538 
Total income  905,033,624 
Expenses   
Management fee $85,064,637  
Transfer agent fees 28,873,471  
Distribution and service plan fees 4,485,429  
Fund wide operations fee 11,243,438  
Independent trustees' fees and expenses 106,598  
Legal 328  
Miscellaneous 87,092  
Total expenses before reductions 129,860,993  
Expense reductions (130,904) 129,730,089 
Net investment income (loss)  775,303,535 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 36,962,512  
Fidelity Central Funds 238,489  
Forward foreign currency contracts (3,031,949)  
Foreign currency transactions (1,234,691)  
Futures contracts 1,594,426  
Swaps 1,651,830  
Total net realized gain (loss)  36,180,617 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (183,867,410)  
Fidelity Central Funds 80,283  
Forward foreign currency contracts (2,063,717)  
Assets and liabilities in foreign currencies 186,262  
Futures contracts (1,058,889)  
Swaps 339,492  
Delayed delivery commitments (661,826)  
Total change in net unrealized appreciation (depreciation)  (187,045,805) 
Net gain (loss)  (150,865,188) 
Net increase (decrease) in net assets resulting from operations  $624,438,347 

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


Statement of Changes in Net Assets

 Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $775,303,535 $735,703,076 
Net realized gain (loss) 36,180,617 29,226,743 
Change in net unrealized appreciation (depreciation) (187,045,805) 815,523,532 
Net increase (decrease) in net assets resulting from operations 624,438,347 1,580,453,351 
Distributions to shareholders from net investment income (739,976,289) (690,311,363) 
Distributions to shareholders from net realized gain (67,918,257) (113,897,060) 
Total distributions (807,894,546) (804,208,423) 
Share transactions - net increase (decrease) 5,166,571,919 4,657,836,676 
Total increase (decrease) in net assets 4,983,115,720 5,434,081,604 
Net Assets   
Beginning of period 25,703,698,987 20,269,617,383 
End of period $30,686,814,707 $25,703,698,987 
Other Information   
Undistributed net investment income end of period $75,408,591 $61,951,817 

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


Financial Highlights — Fidelity Total Bond Fund Class A

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.87 $10.53 $10.77 $10.48 $11.29 
Income from Investment Operations      
Net investment income (loss)A .272 .312 .287 .292 .263 
Net realized and unrealized gain (loss) (.086) .377 (.224) .382 (.468) 
Total from investment operations .186 .689 .063 .674 (.205) 
Distributions from net investment income (.258) (.290) (.270) (.275) (.250) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.286) (.349) (.303) (.384) (.605) 
Net asset value, end of period $10.77 $10.87 $10.53 $10.77 $10.48 
Total ReturnB,C 1.77% 6.71% .58% 6.56% (1.94)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .75% .75% .75% .76% .79% 
Expenses net of fee waivers, if any .75% .75% .75% .76% .79% 
Expenses net of all reductions .75% .75% .75% .76% .79% 
Net investment income (loss) 2.53% 2.95% 2.69% 2.76% 2.41% 
Supplemental Data      
Net assets, end of period (000 omitted) $521,557 $1,233,806 $852,243 $639,235 $517,259 
Portfolio turnover rateF 137% 134% 140%G 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class M

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.85 $10.51 $10.76 $10.46 $11.28 
Income from Investment Operations      
Net investment income (loss)A .267 .309 .285 .290 .265 
Net realized and unrealized gain (loss) (.083) .378 (.234) .392 (.477) 
Total from investment operations .184 .687 .051 .682 (.212) 
Distributions from net investment income (.256) (.288) (.268) (.273) (.253) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.284) (.347) (.301) (.382) (.608) 
Net asset value, end of period $10.75 $10.85 $10.51 $10.76 $10.46 
Total ReturnB,C 1.76% 6.71% .47% 6.65% (2.01)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .76% .77% .77% .78% .76% 
Expenses net of fee waivers, if any .76% .77% .77% .78% .76% 
Expenses net of all reductions .76% .77% .77% .78% .76% 
Net investment income (loss) 2.53% 2.94% 2.67% 2.74% 2.44% 
Supplemental Data      
Net assets, end of period (000 omitted) $287,111 $155,518 $101,673 $57,972 $52,848 
Portfolio turnover rateF 137% 134% 140%G 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class C

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.87 $10.53 $10.77 $10.48 $11.29 
Income from Investment Operations      
Net investment income (loss)A .188 .231 .205 .211 .185 
Net realized and unrealized gain (loss) (.084) .378 (.225) .382 (.469) 
Total from investment operations .104 .609 (.020) .593 (.284) 
Distributions from net investment income (.176) (.210) (.187) (.194) (.171) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.204) (.269) (.220) (.303) (.526) 
Net asset value, end of period $10.77 $10.87 $10.53 $10.77 $10.48 
Total ReturnB,C .99% 5.90% (.20)% 5.75% (2.65)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions 1.52% 1.52% 1.53% 1.53% 1.51% 
Expenses net of fee waivers, if any 1.52% 1.52% 1.53% 1.53% 1.51% 
Expenses net of all reductions 1.52% 1.52% 1.53% 1.53% 1.51% 
Net investment income (loss) 1.77% 2.19% 1.92% 1.99% 1.69% 
Supplemental Data      
Net assets, end of period (000 omitted) $190,273 $186,380 $139,264 $83,818 $79,711 
Portfolio turnover rateF 137% 134% 140%G 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.86 $10.53 $10.77 $10.47 $11.29 
Income from Investment Operations      
Net investment income (loss)A .302 .343 .320 .326 .300 
Net realized and unrealized gain (loss) (.085) .368 (.224) .392 (.478) 
Total from investment operations .217 .711 .096 .718 (.178) 
Distributions from net investment income (.289) (.322) (.303) (.309) (.287) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.317) (.381) (.336) (.418) (.642) 
Net asset value, end of period $10.76 $10.86 $10.53 $10.77 $10.47 
Total ReturnB 2.07% 6.94% .88% 7.00% (1.70)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45% .45% .45% .45% .45% 
Expenses net of all reductions .45% .45% .45% .45% .45% 
Net investment income (loss) 2.84% 3.25% 2.99% 3.07% 2.75% 
Supplemental Data      
Net assets, end of period (000 omitted) $23,732,156 $20,469,677 $17,359,294 $14,547,801 $11,526,014 
Portfolio turnover rateE 137% 134% 140%F 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class I

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.85 $10.51 $10.76 $10.46 $11.27 
Income from Investment Operations      
Net investment income (loss)A .295 .337 .313 .319 .295 
Net realized and unrealized gain (loss) (.083) .378 (.233) .393 (.469) 
Total from investment operations .212 .715 .080 .712 (.174) 
Distributions from net investment income (.284) (.316) (.297) (.303) (.281) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.312) (.375) (.330) (.412) (.636) 
Net asset value, end of period $10.75 $10.85 $10.51 $10.76 $10.46 
Total ReturnB 2.02% 6.99% .73% 6.95% (1.67)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .50% .50% .50% .51% .51% 
Expenses net of fee waivers, if any .50% .50% .50% .51% .51% 
Expenses net of all reductions .50% .50% .50% .51% .51% 
Net investment income (loss) 2.79% 3.20% 2.94% 3.02% 2.69% 
Supplemental Data      
Net assets, end of period (000 omitted) $4,481,725 $2,846,878 $1,266,870 $573,410 $244,911 
Portfolio turnover rateE 137% 134% 140%F 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class Z

Years ended August 31, 2017 2016 2015 A 
Selected Per–Share Data    
Net asset value, beginning of period $10.85 $10.51 $10.66 
Income from Investment Operations    
Net investment income (loss)B .310 .352 .234 
Net realized and unrealized gain (loss) (.083) .378 (.167) 
Total from investment operations .227 .730 .067 
Distributions from net investment income (.299) (.331) (.217) 
Distributions from net realized gain (.028) (.059) – 
Total distributions (.327) (.390) (.217) 
Net asset value, end of period $10.75 $10.85 $10.51 
Total ReturnC,D 2.16% 7.14% .59% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .36% .36% .36%G 
Expenses net of fee waivers, if any .36% .36% .36%G 
Expenses net of all reductions .36% .36% .36%G 
Net investment income (loss) 2.93% 3.34% 3.29%G 
Supplemental Data    
Net assets, end of period (000 omitted) $1,473,993 $811,440 $546,968 
Portfolio turnover rateH 137% 134% 140%I 

 A For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

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


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


Notes to Financial Statements

For the period ended August 31, 2017

1. Organization.

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

After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.

2. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, 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 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 service 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 vendor or 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 (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2017 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, defaulted bonds, certain conversion ratio adjustments, market discount, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $793,080,160 
Gross unrealized depreciation (188,993,869) 
Net unrealized appreciation (depreciation) $604,086,291 
Tax Cost $30,659,936,797 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income $32,121,732 
Undistributed long-term capital gain $68,811,082 
Net unrealized appreciation (depreciation) on securities and other investments $583,387,936 

The Fund intends to elect to defer to its next fiscal year $49,045,791 of capital losses recognized during the period November 1, 2016 to August 31, 2017.

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $773,871,373 $ 736,642,371 
Long-term Capital Gains 34,023,173 67,566,052 
Total $807,894,546 $ 804,208,423 

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

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

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

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

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

Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Derivative Instruments.

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

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

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

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Foreign Exchange Risk Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Purchased Options $(2,893,722) $304,630 
Swaps 815,808 (96,974) 
Total Credit Risk (2,077,914) 207,656 
Foreign Exchange Risk   
Forward Foreign Currency Contracts (3,031,949) (2,063,717) 
Interest Rate Risk   
Futures Contracts 1,594,426 (1,058,889) 
Swaps 836,022 436,466 
Total Interest Rate Risk 2,430,448 (622,423) 
Totals $(2,679,415) $(2,478,484) 

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

Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to potential credit events.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

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

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. 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) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

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

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

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

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

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

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

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $4,453,589,602 and $5,564,261,911, respectively.

6. Fees and Other Transactions with Affiliates.

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

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $2,187,833 $45,734 
Class M -% .25% 459,616 – 
Class C .75% .25% 1,837,980 439,039 
   $4,485,429 $484,773 

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

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

 Retained
by FDC 
Class A $82,367 
Class M 12,239 
Class C(a) 40,478 
 $135,084 

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


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

 Amount % of
Class-Level Average
Net Assets 
Class A $1,330,914 .15 
Class M 293,015 .16 
Class C 307,738 .17 
Total Bond 21,619,174 .10 
Class I 5,206,681 .15 
Class Z 115,949 .01 
 $28,873,471  

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

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

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $8,916.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $87,044 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $1,309,950.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $130,904.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2017 		Year ended
August 31, 2016 
From net investment income   
Class A $21,656,972 $31,727,561 
Class M 4,370,911 3,400,558 
Class B – 52,324 
Class C 3,033,896 3,143,821 
Total Bond 586,137,135 559,720,907 
Class I 93,037,515 70,886,754 
Class Z 31,739,860 21,379,438 
Total $739,976,289 $690,311,363 
From net realized gain   
Class A $3,152,995 $5,050,640 
Class M 416,240 600,521 
Class B – 17,887 
Class C 491,517 809,224 
Total Bond 54,284,285 97,033,225 
Class I 7,617,861 7,167,426 
Class Z 1,955,359 3,218,137 
Total $67,918,257 $113,897,060 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended August 31, 2017 Year ended August 31, 2016 Year ended August 31, 2017 Year ended August 31, 2016 
Class A     
Shares sold 35,580,281 79,582,385 $378,631,170 $836,125,573 
Reinvestment of distributions 2,271,068 3,397,092 24,175,284 35,693,646 
Shares redeemed (102,937,028) (50,390,515) (1,089,228,226) (531,503,136) 
Net increase (decrease) (65,085,679) 32,588,962 $(686,421,772) $340,316,083 
Class M     
Shares sold 17,161,400 7,797,143 $182,620,103 $81,948,331 
Reinvestment of distributions 442,288 371,455 4,706,740 3,901,602 
Shares redeemed (5,227,159) (3,506,111) (55,482,738) (36,795,670) 
Net increase (decrease) 12,376,529 4,662,487 $131,844,105 $49,054,263 
Class B     
Shares sold – 52,386 $– $545,030 
Reinvestment of distributions – 5,304 – 55,384 
Shares redeemed – (371,399) – (3,942,186) 
Net increase (decrease) – (313,709) $– $(3,341,772) 
Class C     
Shares sold 5,742,872 7,989,480 $61,343,735 $84,112,756 
Reinvestment of distributions 311,520 338,212 3,319,847 3,555,483 
Shares redeemed (5,532,987) (4,407,873) (58,835,524) (46,363,403) 
Net increase (decrease) 521,405 3,919,819 $5,828,058 $41,304,836 
Total Bond     
Shares sold 715,776,478 564,396,562 $7,613,246,265 $5,943,329,183 
Reinvestment of distributions 57,507,306 59,893,089 612,532,396 629,464,263 
Shares redeemed (452,613,004) (389,085,832) (4,806,739,429) (4,072,787,679) 
Net increase (decrease) 320,670,780 235,203,819 $3,419,039,232 $2,500,005,767 
Class I     
Shares sold 245,139,592 202,861,513 $2,596,745,220 $2,130,458,698 
Reinvestment of distributions 8,911,840 7,026,236 94,805,632 73,778,315 
Shares redeemed (99,475,433) (67,965,246) (1,055,508,510) (713,298,115) 
Net increase (decrease) 154,575,999 141,922,503 $1,636,042,342 $1,490,938,898 
Class Z     
Shares sold 155,922,153 31,568,440 $1,656,237,293 $331,880,727 
Reinvestment of distributions 2,946,230 2,342,277 31,368,596 24,597,125 
Shares redeemed (96,526,329) (11,141,442) (1,027,365,935) (116,919,251) 
Net increase (decrease) 62,342,054 22,769,275 $660,239,954 $239,558,601 

12. Other.

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

At the end of the period, Strategic Advisers Core Income Fund was the owner of record of approximately 20% of the total outstanding shares of the Fund.

13. Credit Risk.

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

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Income Fund and Shareholders of Fidelity Total Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Total Bond Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 246 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5095 (plan accounts) or 1-877-208-0098 (all other accounts).

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2017 to August 31, 2017).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Class A .74%    
Actual  $1,000.00 $1,025.70 $3.78 
Hypothetical-C  $1,000.00 $1,021.48 $3.77 
Class M .75%    
Actual  $1,000.00 $1,025.60 $3.83 
Hypothetical-C  $1,000.00 $1,021.42 $3.82 
Class C 1.50%    
Actual  $1,000.00 $1,021.70 $7.64 
Hypothetical-C  $1,000.00 $1,017.64 $7.63 
Total Bond .45%    
Actual  $1,000.00 $1,027.20 $2.30 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 
Class I .49%    
Actual  $1,000.00 $1,026.90 $2.50 
Hypothetical-C  $1,000.00 $1,022.74 $2.50 
Class Z .36%    
Actual  $1,000.00 $1,027.60 $1.84 
Hypothetical-C  $1,000.00 $1,023.39 $1.84 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:

 Pay Date Record Date Capital Gains 
Fidelity Total Bond Fund    
Class A 10/16/17 10/13/17 $0.025 
Class M 10/16/17 10/13/17 $0.025 
Class C 10/16/17 10/13/17 $0.025 
Total Bond Fund 10/16/17 10/13/17 $0.025 
Class I 10/16/17 10/13/17 $0.025 
Class Z 10/16/17 10/13/17 $0.025 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $96,299,631, or, if subsequently determined to be different, the net capital gain of such year.

A total of 14.21% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $425,514,865 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.





Fidelity Investments

ATB-ANN-1017
1.804575.114

Fidelity® Total Bond K6 Fund



Annual Report

August 31, 2017



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Investment Summary (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of August 31, 2017 
   U.S. Government and U.S. Government Agency Obligations 57.9% 
   AAA 0.1% 
   AA 0.2% 
   A 5.2% 
   BBB 13.7% 
   BB and Below 18.1% 
   Not Rated 0.5% 
   Short-Term Investments and Net Other Assets 4.3% 


We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Securities rated BB or below were rated investment grade at the time of acquisition.

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Corporate Bonds 30.6% 
   U.S. Government and U.S. Government Agency Obligations 57.9% 
   Asset-Backed Securities 0.3% 
   Municipal Bonds 1.0% 
   Other Investments 5.9% 
   Short-Term Investments and Net Other Assets (Liabilities) 4.3% 


 * Foreign investments - 7.7%

 ** Futures and Swaps - 0.3%


An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

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

Investments August 31, 2017

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.0%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 2.4%   
Automobiles - 0.9%   
General Motors Financial Co., Inc. 4.375% 9/25/21 $3,950,000 $4,188,463 
Media - 1.5%   
21st Century Fox America, Inc. 7.75% 12/1/45 370,000 562,587 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25 945,000 1,012,380 
Comcast Corp. 6.45% 3/15/37 365,000 481,775 
Time Warner Cable, Inc.:   
4% 9/1/21 1,480,000 1,542,102 
7.3% 7/1/38 2,420,000 2,983,300 
Time Warner, Inc. 6.2% 3/15/40 840,000 991,150 
  7,573,294 
TOTAL CONSUMER DISCRETIONARY  11,761,757 
CONSUMER STAPLES - 0.6%   
Beverages - 0.6%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 45,000 45,846 
4.7% 2/1/36 2,325,000 2,577,528 
  2,623,374 
Tobacco - 0.0%   
Reynolds American, Inc. 7.25% 6/15/37 75,000 103,067 
TOTAL CONSUMER STAPLES  2,726,441 
ENERGY - 5.4%   
Oil, Gas & Consumable Fuels - 5.4%   
Anadarko Finance Co. 7.5% 5/1/31 790,000 992,411 
Anadarko Petroleum Corp.:   
5.55% 3/15/26 515,000 574,873 
6.6% 3/15/46 630,000 762,144 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 525,000 538,421 
5.85% 2/1/35 525,000 585,996 
Cenovus Energy, Inc. 4.25% 4/15/27 (a) 534,000 515,460 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 26,851 
5.8% 6/1/45 10,000 12,167 
DCP Midstream LLC 5.85% 5/21/43 (a)(b) 570,000 528,675 
DCP Midstream Operating LP 3.875% 3/15/23 520,000 506,350 
Enbridge, Inc.:   
4.25% 12/1/26 525,000 552,948 
5.5% 12/1/46 525,000 602,181 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 20,846 
Kinder Morgan Energy Partners LP 6.55% 9/15/40 1,365,000 1,587,314 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 37,969 
Petrobras Global Finance BV:   
6.125% 1/17/22 2,730,000 2,893,800 
7.25% 3/17/44 1,300,000 1,339,000 
7.375% 1/17/27 1,460,000 1,613,650 
Petroleos Mexicanos:   
4.625% 9/21/23 6,000,000 6,246,000 
6.375% 1/23/45 2,300,000 2,371,300 
6.5% 3/13/27 (a) 20,000 22,400 
6.75% 9/21/47 100,000 107,510 
6.75% 9/21/47 (a) 20,000 21,502 
The Williams Companies, Inc.:   
3.7% 1/15/23 2,000,000 1,985,000 
4.55% 6/24/24 70,000 71,575 
5.75% 6/24/44 35,000 36,313 
Western Gas Partners LP 4.65% 7/1/26 35,000 36,398 
Williams Partners LP 4.3% 3/4/24 2,000,000 2,120,125 
  26,709,179 
FINANCIALS - 10.5%   
Banks - 5.0%   
Bank of America Corp.:   
3.5% 4/19/26 2,630,000 2,678,488 
3.705% 4/24/28 (b) 528,000 540,178 
5.65% 5/1/18 110,000 112,761 
5.875% 1/5/21 1,810,000 2,019,560 
Barclays PLC 4.375% 1/12/26 900,000 946,300 
Citigroup, Inc.:   
1.8% 2/5/18 100,000 100,064 
2.4% 2/18/20 1,585,000 1,599,352 
4.4% 6/10/25 1,970,000 2,083,257 
Credit Suisse Group Funding Guernsey Ltd.:   
3.75% 3/26/25 1,200,000 1,229,962 
3.8% 6/9/23 1,250,000 1,303,370 
Intesa Sanpaolo SpA 5.71% 1/15/26 (a) 500,000 528,430 
JPMorgan Chase & Co.:   
2.35% 1/28/19 35,000 35,341 
2.95% 10/1/26 3,085,000 3,037,720 
4.35% 8/15/21 2,425,000 2,613,313 
Rabobank Nederland 4.375% 8/4/25 500,000 530,804 
Regions Bank 6.45% 6/26/37 250,000 313,631 
Royal Bank of Scotland Group PLC 6.125% 12/15/22 4,745,000 5,225,447 
  24,897,978 
Capital Markets - 3.9%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 390,000 414,299 
Deutsche Bank AG 4.5% 4/1/25 1,500,000 1,514,585 
Deutsche Bank AG London Branch 4.1% 1/13/26 1,100,000 1,142,551 
Goldman Sachs Group, Inc.:   
2.625% 1/31/19 170,000 171,756 
2.625% 4/25/21 3,035,000 3,055,701 
3.691% 6/5/28 (b) 3,160,000 3,214,658 
3.75% 5/22/25 525,000 541,587 
Moody's Corp.:   
3.25% 1/15/28 (a) 10,000 10,081 
4.875% 2/15/24 9,000 10,038 
Morgan Stanley:   
3.125% 7/27/26 2,621,000 2,586,941 
5.625% 9/23/19 100,000 107,178 
5.75% 1/25/21 4,650,000 5,166,198 
UBS Group Funding AG 2.859% 8/15/23 (a)(b) 1,000,000 999,210 
UBS Group Funding Ltd. 4.125% 9/24/25 (a) 500,000 530,390 
  19,465,173 
Consumer Finance - 0.7%   
Capital One Financial Corp. 2.5% 5/12/20 625,000 630,654 
Discover Financial Services 3.95% 11/6/24 2,580,000 2,666,316 
  3,296,970 
Diversified Financial Services - 0.4%   
Brixmor Operating Partnership LP 3.25% 9/15/23 1,035,000 1,033,522 
Voya Financial, Inc. 3.125% 7/15/24 812,000 809,943 
  1,843,465 
Insurance - 0.5%   
Pacific LifeCorp 5.125% 1/30/43 (a) 950,000 1,065,471 
Pricoa Global Funding I 5.375% 5/15/45 (b) 1,045,000 1,120,763 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 85,112 
Unum Group 3.875% 11/5/25 50,000 51,959 
  2,323,305 
TOTAL FINANCIALS  51,826,891 
HEALTH CARE - 1.0%   
Biotechnology - 0.1%   
AbbVie, Inc. 4.5% 5/14/35 525,000 561,609 
Health Care Providers & Services - 0.2%   
HCA Holdings, Inc. 6.5% 2/15/20 950,000 1,034,531 
Pharmaceuticals - 0.7%   
Actavis Funding SCS 3.45% 3/15/22 40,000 41,558 
Mylan N.V.:   
3.15% 6/15/21 50,000 50,711 
3.95% 6/15/26 1,370,000 1,395,685 
Teva Pharmaceutical Finance Netherlands III BV:   
2.8% 7/21/23 1,055,000 994,252 
3.15% 10/1/26 785,000 718,329 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,593 
  3,216,128 
TOTAL HEALTH CARE  4,812,268 
INDUSTRIALS - 0.2%   
Aerospace & Defense - 0.2%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 1,040,000 1,098,396 
MATERIALS - 0.2%   
Metals & Mining - 0.2%   
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 500,000 506,345 
4.5% 8/1/47 (a) 500,000 513,300 
  1,019,645 
REAL ESTATE - 1.6%   
Equity Real Estate Investment Trusts (REITs) - 0.8%   
Corporate Office Properties LP 5.25% 2/15/24 146,000 158,654 
DDR Corp. 3.9% 8/15/24 61,000 61,748 
Duke Realty LP 3.625% 4/15/23 50,000 51,986 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 1,665,000 1,739,273 
4.75% 1/15/28 1,527,000 1,554,653 
WP Carey, Inc. 4% 2/1/25 489,000 499,855 
  4,066,169 
Real Estate Management & Development - 0.8%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 100,000 102,293 
4.1% 10/1/24 833,000 846,584 
Digital Realty Trust LP:   
4.75% 10/1/25 1,445,000 1,575,634 
5.25% 3/15/21 30,000 32,751 
Liberty Property LP 4.4% 2/15/24 40,000 43,067 
Ventas Realty LP 3.5% 2/1/25 1,265,000 1,284,611 
  3,884,940 
TOTAL REAL ESTATE  7,951,109 
TELECOMMUNICATION SERVICES - 1.3%   
Diversified Telecommunication Services - 1.3%   
AT&T, Inc.:   
3.6% 2/17/23 2,000,000 2,060,821 
6.3% 1/15/38 1,100,000 1,291,438 
Verizon Communications, Inc.:   
4.5% 9/15/20 950,000 1,019,066 
5.012% 8/21/54 1,585,000 1,558,329 
5.5% 3/16/47 461,000 498,171 
  6,427,825 
UTILITIES - 0.8%   
Electric Utilities - 0.6%   
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 47,752 
7.375% 11/15/31 1,985,000 2,678,956 
IPALCO Enterprises, Inc. 3.7% 9/1/24 (a) 172,000 173,477 
  2,900,185 
Independent Power and Renewable Electricity Producers - 0.2%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 950,000 1,033,125 
TOTAL UTILITIES  3,933,310 
TOTAL NONCONVERTIBLE BONDS   
(Cost $118,096,929)  118,266,821 
U.S. Government and Government Agency Obligations - 38.6%   
U.S. Treasury Inflation-Protected Obligations - 6.3%   
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47 8,101,438 8,115,803 
U.S. Treasury Inflation-Indexed Notes 0.375% 1/15/27 22,824,158 22,811,930 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  30,927,733 
U.S. Treasury Obligations - 32.3%   
U.S. Treasury Bonds 3% 2/15/47 18,886,000 19,929,157 
U.S. Treasury Notes:   
1.5% 5/15/20 $38,929,000 $39,027,843 
1.75% 6/30/22 227,000 227,417 
1.875% 3/31/22 77,961,000 78,621,841 
1.875% 8/31/24 10,552,000 10,500,063 
2% 4/30/24 1,427,000 1,434,079 
2.125% 7/31/24 9,389,000 9,499,394 
TOTAL U.S. TREASURY OBLIGATIONS  159,239,794 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $188,428,981)  190,167,527 
U.S. Government Agency - Mortgage Securities - 0.2%   
Fannie Mae - 0.2%   
3.5% 9/1/47 (c) 450,000 466,233 
3.5% 9/1/47 (c) 450,000 466,233 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $927,704)  932,466 
Asset-Backed Securities - 0.2%   
Prosper Marketplace Issuance Trust Series 2017-2A Class A, 2.42% 9/15/23(a)  $ 
(Cost $856,950) 857,000 858,503 
Commercial Mortgage Securities - 0.0%   
COMM Mortgage Trust Series 2014-LC17 Class XA, 1.143% 10/10/47(b)(d)   
(Cost $164,730) 4,196,096 163,553 
Municipal Securities - 1.0%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $90,000 $134,340 
7.5% 4/1/34 700,000 1,031,793 
Chicago Gen. Oblig. (Taxable Proj.) Series 2014 B, 6.314% 1/1/44 430,000 461,003 
Illinois Gen. Oblig.:   
Series 2003, 5.1% 6/1/33 2,525,000 2,536,994 
Series 2011, 5.877% 3/1/19 970,000 1,009,450 
TOTAL MUNICIPAL SECURITIES   
(Cost $5,127,750)  5,173,580 
Foreign Government and Government Agency Obligations - 0.0%   
Dominican Republic 5.95% 1/25/27(a) $ $ 
(Cost $106,278) 100,000 108,500 
 Shares Value 
Fixed-Income Funds - 31.1%   
Fidelity Floating Rate Central Fund (e) 239,634 24,715,867 
Fidelity Mortgage Backed Securities Central Fund (e) 819,148 89,098,772 
Fidelity Specialized High Income Central Fund (e) 378,240 39,575,278 
TOTAL FIXED-INCOME FUNDS   
(Cost $153,217,938)  153,389,917 
 Principal Amount Value 
Preferred Securities - 0.2%   
FINANCIALS - 0.2%   
Banks - 0.2%   
Barclays Bank PLC 7.625% 11/21/22
(Cost $763,711) 		650,000 760,520 
 Shares Value 
Money Market Funds - 4.5%   
Fidelity Cash Central Fund, 1.11% (f)   
(Cost $22,431,644) 22,427,158 22,431,644 
TOTAL INVESTMENT IN SECURITIES - 99.8%   
(Cost $490,122,615)  492,253,031 
NET OTHER ASSETS (LIABILITIES) - 0.2%  991,530 
NET ASSETS - 100%  $493,244,561 

Legend

 (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $7,565,252 or 1.5% of net assets.

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

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

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

 (e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

 (f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.


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 $32,879 
Fidelity Floating Rate Central Fund 119,619 
Fidelity Mortgage Backed Securities Central Fund 205,088 
Fidelity Specialized High Income Central Fund 193,722 
Total $551,308 

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 Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Floating Rate Central Fund $-- $24,869,619 $-- $-- $(153,752) $24,715,867 1.5% 
Fidelity Mortgage Backed Securities Central Fund -- 89,678,883 1,000,000 (369) 420,258 89,098,772 1.3% 
Fidelity Specialized High Income Central Fund -- 39,669,805 -- -- (94,527) 39,575,278 5.1% 
Total $-- $154,218,307 $1,000,000 $(369) $171,979 $153,389,917  

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Corporate Bonds $118,266,821 $-- $118,266,821 $-- 
U.S. Government and Government Agency Obligations 190,167,527 -- 190,167,527 -- 
U.S. Government Agency - Mortgage Securities 932,466 -- 932,466 -- 
Asset-Backed Securities 858,503 -- 858,503 -- 
Commercial Mortgage Securities 163,553 -- 163,553 -- 
Municipal Securities 5,173,580 -- 5,173,580 -- 
Foreign Government and Government Agency Obligations 108,500 -- 108,500 -- 
Fixed-Income Funds 153,389,917 153,389,917 -- -- 
Preferred Securities 760,520 -- 760,520 -- 
Money Market Funds 22,431,644 22,431,644 -- -- 
Total Investments in Securities: $492,253,031 $175,821,561 $316,431,470 $-- 

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


Financial Statements

Statement of Assets and Liabilities

  August 31, 2017 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $314,473,033) 		$316,431,470  
Fidelity Central Funds (cost $175,649,582) 175,821,561  
Total Investment in Securities (cost $490,122,615)  $492,253,031 
Cash  23,996 
Receivable for investments sold  10,669,476 
Receivable for fund shares sold  91,910 
Interest receivable  2,285,420 
Distributions receivable from Fidelity Central Funds  28,406 
Total assets  505,352,239 
Liabilities   
Payable for investments purchased   
Regular delivery $10,493,500  
Delayed delivery 927,703  
Payable for fund shares redeemed 562,923  
Accrued management fee 123,552  
Total liabilities  12,107,678 
Net Assets  $493,244,561 
Net Assets consist of:   
Paid in capital  $490,953,157 
Undistributed net investment income  53,179 
Accumulated undistributed net realized gain (loss) on investments  107,809 
Net unrealized appreciation (depreciation) on investments  2,130,416 
Net Assets, for 49,001,192 shares outstanding  $493,244,561 
Net Asset Value, offering price and redemption price per share ($493,244,561 ÷ 49,001,192 shares)  $10.07 

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


Statement of Operations

  For the period
May 25, 2017 (commencement of operations) to
August 31, 2017 
Investment Income   
Interest  $766,498 
Income from Fidelity Central Funds  551,308 
Total income  1,317,806 
Expenses   
Management fee $143,154  
Independent trustees' fees and expenses 28  
Total expenses  143,182 
Net investment income (loss)  1,174,624 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 107,977  
Fidelity Central Funds (369)  
Total net realized gain (loss)  107,608 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 1,958,437  
Fidelity Central Funds 171,979  
Total change in net unrealized appreciation (depreciation)  2,130,416 
Net gain (loss)  2,238,024 
Net increase (decrease) in net assets resulting from operations  $3,412,648 

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


Statement of Changes in Net Assets

 For the period
May 25, 2017 (commencement of operations) to
August 31, 2017 
Increase (Decrease) in Net Assets  
Operations  
Net investment income (loss) $1,174,624 
Net realized gain (loss) 107,608 
Change in net unrealized appreciation (depreciation) 2,130,416 
Net increase (decrease) in net assets resulting from operations 3,412,648 
Distributions to shareholders from net investment income (1,121,245) 
Share transactions  
Proceeds from sales of shares 513,311,762 
Reinvestment of distributions 1,121,245 
Cost of shares redeemed (23,479,849) 
Net increase (decrease) in net assets resulting from share transactions 490,953,158 
Total increase (decrease) in net assets 493,244,561 
Net Assets  
Beginning of period – 
End of period $493,244,561 
Other Information  
Undistributed net investment income end of period $53,179 
Shares  
Sold 51,231,377 
Issued in reinvestment of distributions 111,440 
Redeemed (2,341,625) 
Net increase (decrease) 49,001,192 

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


Financial Highlights — Fidelity Total Bond K6 Fund

Years ended August 31, 2017 A 
Selected Per–Share Data  
Net asset value, beginning of period $10.00 
Income from Investment Operations  
Net investment income (loss)B .061 
Net realized and unrealized gain (loss) .073 
Total from investment operations .134 
Distributions from net investment income (.064) 
Total distributions (.064) 
Net asset value, end of period $10.07 
Total ReturnC 1.35% 
Ratios to Average Net AssetsD,E  
Expenses before reductions .30%F 
Expenses net of fee waivers, if any .30%F 
Expenses net of all reductions .30%F 
Net investment income (loss) 2.45%F 
Supplemental Data  
Net assets, end of period (000 omitted) $493,245 
Portfolio turnover rateG 51%H 

 A For the period May 25, 2017 (commencement of operations) to August 31, 2017.

 B Calculated based on average shares outstanding during the period.

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005% to .05% .

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

 F Annualized

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

 H Amount not annualized.


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


Notes to Financial Statements

For the period ended August 31, 2017

1. Organization.

Fidelity Total Bond K6 Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares generally are available only to employer-sponsored retirement plans that are recordkept by Fidelity.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Floating Rate Central Fund FMR Co., Inc. (FMRC) Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. Loans & Direct Debt Instruments
Restricted Securities
 		.05% 
Fidelity Mortgage Backed Securities Central Fund FIMM Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Futures
Swaps 		Less than .005% 
Fidelity Specialized High Income Central Fund FMRC Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities
 		Less than .005% 

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


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

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2017 is included at the end of the Fund's Schedule of Investments.

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

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

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $2,805,019 
Gross unrealized depreciation (678,885) 
Net unrealized appreciation (depreciation) $2,126,134 
Tax Cost $490,126,897 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income $165,269 
Net unrealized appreciation (depreciation) on securities and other investments $2,126,134 

The tax character of distributions paid was as follows:

 August 31, 2017(a) 
Ordinary Income $1,121,245 

 (a) For the period May 25, 2017 (commencement of operations) to August 31, 2017.


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

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

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

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

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $279,258,978 and $1,075,296, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .30% of average net assets. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

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

6. Other.

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

At the end of the period, the investment adviser or its affiliates were owners of record of 99% of the total outstanding shares of the Fund.

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Income Fund and Shareholders of Fidelity Total Bond K6 Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Total Bond K6 Fund (the Fund), a fund of Fidelity Income Fund, including the schedule of investments, as of August 31, 2017, and the related statement of operations, the statement of changes in net assets and the financial highlights for the period from May 25, 2017 (commencement of operations) to August 31, 2017. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.

We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Total Bond K6 Fund as of August 31, 2017, and the results of its operations, the changes in its net assets and the financial highlights for the period from May 25, 2017 (commencement of operations) to August 31, 2017, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts
October 18, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 246 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5092.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

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

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (May 25, 2017 to August 31, 2017). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (March 1, 2017 to August 31, 2017).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

 Annualized Expense Ratio-A Beginning
Account Value 		Ending
Account Value
August 31, 2017 		Expenses Paid
During PeriodB 
Actual .30% $1,000.00 $1,013.50 .82C 
Hypothetical-D  $1,000.00 $1,023.69 1.53E 

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

 B The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year ranged from less than .005% to .05%.

 C Actual expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 99/365 (to reflect the period May 25, 2017 to August 31, 2017).

 D 5% return per year before expenses

 E Hypothetical expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).


Distributions (Unaudited)

The Board of Trustees of Fidelity Total Bond K6 Fund voted to pay on October 16, 2017, to shareholders of record at the opening of business on October 13, 2017, a distribution of $0.004 per share derived from capital gains realized from sales of portfolio securities.

A total of 25.64% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Total Bond K6 Fund

On January 18, 2017 the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

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

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

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

Investment Performance.  The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds, including funds with identical investment objectives as the fund.

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

Competitiveness of Management Fee and Total Expense Ratio.  The Board considered the fund's proposed management fee out of which FMR will pay all operating expenses, with certain limited exceptions, and the projected total expense ratio of the fund in reviewing the Advisory Contracts. The Board noted that the fund's proposed management fee rate is lower than the median fee rate of funds with similar Lipper investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of the fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.

Based on its review, the Board concluded that the fund's management fee and projected total expense ratio were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability.  The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

Economies of Scale.  The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

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





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

TBDK6-ANN-1017
1.9884015.100

Fidelity Advisor® Government Income Fund -

Class A, Class M (formerly Class T), Class C and Class I



Annual Report

August 31, 2017

Class A, Class M, Class C and Class I are classes of Fidelity® Government Income Fund



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Class A (incl. 4.00% sales charge) (4.70)% 0.27% 3.13% 
Class M (incl. 4.00% sales charge) (4.70)% 0.28% 3.14% 
Class C (incl. contingent deferred sales charge) (2.46)% 0.34% 2.77% 
Class I (0.46)% 1.36% 3.82% 

 Class C shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively. 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Government Income Fund - Class A on August 31, 2007, and the current 4.00% sales charge was paid.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Government Bond Index performed over the same period.


Period Ending Values
$13,607Fidelity Advisor® Government Income Fund - Class A
$14,462Bloomberg Barclays U.S. Government Bond Index

Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.

Management's Discussion of Fund Performance

Market Recap:  U.S. taxable investment-grade bonds rose slightly for the 12 months ending August 31, 2017, as yields increased markedly following the U.S. presidential election then moderated as the period progressed. The Bloomberg Barclays U.S. Aggregate Bond Index gained 0.49% for the year. Bond yields rose slightly early in the period, prior to the U.S. election, then surged in November and December, as many investors viewed then-President-elect Donald Trump’s economic agenda as stimulative and potentially inflationary. Yields also rode the Fed’s decision in December to raise policy interest rates. Longer-term bond yields declined slightly in the first half of 2017, even though the Fed raised rates in June 2017 for the third time in as many quarters, as it became clear that changes to tax, health care and fiscal policies would take time to develop and implement. Fairly cool inflation readings also held back yields late in the period. Within the Bloomberg Barclays index, investment-grade corporate bonds led all major market segments, up 2.13%, while U.S. Treasuries returned -0.95%. Securitized sectors advanced more modestly than corporates. Outside the index, riskier, non-core fixed-income segments led the broader market, while Treasury Inflation-Protected Securities (TIPS) rose 0.46%, according to Bloomberg Barclays.

Comments from Lead Portfolio Manager William Irving and Co-Portfolio Manager Franco Castagliuolo:  For the fiscal year, the fund’s shares classes (excluding sales charges, if applicable) returned about -1%, about in line, net of fees, with the -0.84% return of the benchmark Bloomberg Barclays 75% U.S. Government/25% U.S. MBS Blended Index. We continued to execute our strategy of attempting to exploit market inefficiencies to enhance longer-term results. Versus the benchmark, owning reverse-mortgage securities – which were not in the benchmark – aided performance. Our non-benchmark holdings in commercial mortgage-backed securities issued by Freddie Mac also contributed, as did positioning within the government-agency debenture sector. This period, we ventured beyond the government issuers that make up the bulk of this sector – Fannie Mae, Freddie Mac and the Federal Home Loan Banks – into a few higher-yielding niche segments. Specifically, we had more exposure to securities issued by the U.S. Agency for International Development. Security selection worked particularly well in the agency mortgage-backed securities sector. Our larger-than-benchmark stake in securities made up of loans with low remaining balances was beneficial. In contrast, holding Treasury Inflation-Protected Securities, or TIPS, slightly detracted from the fund’s results versus the benchmark. They performed poorly as inflation remained subdued.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Investment Summary (Unaudited)

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

Coupon Distribution as of August 31, 2017

 % of fund's investments % of fund's investments 6 months ago 
Zero coupon bonds 0.0 0.0 
0.01 - 0.99% 1.7 1.9 
1 - 1.99% 33.9 31.8 
2 - 2.99% 20.1 22.1 
3 - 3.99% 21.7 22.4 
4 - 4.99% 12.2 12.8 
5 - 5.99% 8.0 8.3 
6 - 6.99% 0.5 0.6 
7 - 7.99% 0.5 0.5 
8% and above 0.0 0.0 

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Mortgage Securities 21.3% 
   CMOs and Other Mortgage Related Securities 23.5% 
   U.S. Treasury Obligations 45.5% 
   U.S. Government Agency Obligations*** 2.0% 
   Foreign Government & Government Agency Obligations 3.9% 
   Asset-Backed Securities 2.2% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.6% 


 * Foreign investments – 3.9%

 ** Futures and Swaps – 7.8%

 *** Includes NCUA Guaranteed Notes


As of February 28, 2017*,** 
   Mortgage Securities 24.8% 
   CMOs and Other Mortgage Related Securities 24.1% 
   U.S. Treasury Obligations 44.8% 
   U.S. Government Agency Obligations*** 2.7% 
   Foreign Government & Government Agency Obligations 4.3% 
 Short-Term Investments and Net Other Assets (Liabilities)† (0.7)% 


 * Foreign investments – 4.3%

 ** Futures and Swaps – 5.7%

 *** Includes NCUA Guaranteed Notes

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


An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.

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

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

Investments August 31, 2017

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 47.5%   
 Principal Amount (000s) Value (000s) 
U.S. Government Agency Obligations - 0.2%   
Fannie Mae:   
0.875% 8/2/19 $131 $130 
1% 2/26/19 326 324 
1.125% 12/14/18 240 239 
Tennessee Valley Authority:   
5.25% 9/15/39 2,807 3,759 
5.375% 4/1/56 3,438 4,773 
  9,225 
U.S. Treasury Inflation-Protected Obligations - 0.6%   
U.S. Treasury Inflation-Indexed Bonds 1% 2/15/46 23,700 24,417 
U.S. Treasury Obligations - 44.9%   
U.S. Treasury Bonds:   
2.5% 2/15/46 28,232 26,937 
2.75% 8/15/47 6,000 6,027 
2.875% 8/15/45 112,441 115,819 
3% 11/15/44 29,032 30,684 
3% 11/15/45 40,000 42,203 
3% 2/15/47 27,506 29,025 
3% 5/15/47 15,900 16,786 
3.625% 2/15/44 45,031 53,047 
4.375% 5/15/40 3,000 3,915 
4.75% 2/15/37 62,168 84,505 
5% 5/15/37 (a)(b)(c) 36,142 50,551 
U.S. Treasury Notes:   
0.875% 9/15/19 56,901 56,381 
1.125% 9/30/21 119,876 117,549 
1.375% 7/31/19 120,000 120,113 
1.375% 2/29/20 33,681 33,680 
1.375% 4/30/20 75,553 75,512 
1.375% 8/31/20 5,000 4,990 
1.375% 1/31/21 27,500 27,369 
1.375% 4/30/21 20,000 19,868 
1.375% 5/31/21 20,000 19,854 
1.5% 4/15/20 4,775 4,788 
1.5% 5/15/20 34,416 34,503 
1.5% 7/15/20 22,703 22,752 
1.5% 8/15/26 9,629 9,163 
1.625% 6/30/20 4,710 4,736 
1.625% 7/31/20 30,000 30,171 
1.625% 8/31/22 35,000 34,861 
1.75% 10/31/20 18,000 18,150 
1.75% 12/31/20 59,701 60,167 
1.75% 6/30/22 56,910 57,014 
1.875% 1/31/22 45,770 46,181 
1.875% 3/31/22 56,661 57,141 
1.875% 7/31/22 86,000 86,642 
1.875% 8/31/24 112,983 112,427 
2% 9/30/20 31,153 31,657 
2% 10/31/21 19,497 19,785 
2% 12/31/21 60,103 60,974 
2% 7/31/22 18,845 19,091 
2% 8/15/25 38,778 38,689 
2% 11/15/26 70,025 69,388 
2.125% 6/30/21 22,000 22,442 
2.125% 12/31/21 2,000 2,039 
2.125% 6/30/22 146 149 
2.125% 7/31/24 100,525 101,707 
2.125% 5/15/25 18,702 18,853 
2.25% 7/31/21 26,021 26,661 
2.25% 2/15/27 3,000 3,034 
2.375% 5/15/27 29,946 30,596 
  1,958,576 
Other Government Related - 1.8%   
National Credit Union Administration Guaranteed Notes:   
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.5789% 12/7/20 (NCUA Guaranteed) (d)(e) 2,576 2,578 
Series 2011-R4 Class 1A, 1 month U.S. LIBOR + 0.380% 1.6072% 3/6/20 (NCUA Guaranteed) (d)(e) 196 196 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 74,000 78,204 
  80,978 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $2,049,786)  2,073,196 
U.S. Government Agency - Mortgage Securities - 3.6%   
Fannie Mae - 2.3%   
12 month U.S. LIBOR + 1.415% 2.915% 11/1/33 (d)(e) 79 82 
12 month U.S. LIBOR + 1.480% 3.14% 7/1/34 (d)(e) 90 94 
12 month U.S. LIBOR + 1.523% 3.219% 3/1/36 (d)(e) 348 364 
12 month U.S. LIBOR + 1.551% 2.506% 2/1/44 (d)(e) 347 361 
12 month U.S. LIBOR + 1.553% 2.596% 5/1/44 (d)(e) 1,105 1,135 
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (d)(e) 100 104 
12 month U.S. LIBOR + 1.558% 2.458% 2/1/44 (d)(e) 436 455 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (d)(e) 113 119 
12 month U.S. LIBOR + 1.570% 2.567% 5/1/44 (d)(e) 633 650 
12 month U.S. LIBOR + 1.574% 2.646% 4/1/44 (d)(e) 1,574 1,641 
12 month U.S. LIBOR + 1.580% 2.451% 4/1/44 (d)(e) 653 679 
12 month U.S. LIBOR + 1.580% 2.575% 1/1/44 (d)(e) 710 741 
12 month U.S. LIBOR + 1.725% 2.583% 6/1/42 (d)(e) 255 263 
12 month U.S. LIBOR + 1.728% 3.314% 11/1/36 (d)(e) 63 66 
12 month U.S. LIBOR + 1.741% 3.332% 3/1/40 (d)(e) 1,290 1,369 
12 month U.S. LIBOR + 1.745% 3.374% 7/1/35 (d)(e) 155 163 
12 month U.S. LIBOR + 1.800% 2.759% 1/1/42 (d)(e) 966 1,014 
12 month U.S. LIBOR + 1.800% 3.558% 7/1/41 (d)(e) 241 251 
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (d)(e) 79 84 
12 month U.S. LIBOR + 1.815% 2.944% 11/1/40 (d)(e) 95 100 
12 month U.S. LIBOR + 1.818% 2.695% 2/1/42 (d)(e) 1,352 1,419 
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (d)(e) 149 158 
12 month U.S. LIBOR + 1.818% 3.249% 7/1/41 (d)(e) 199 207 
12 month U.S. LIBOR + 1.830% 3.38% 10/1/41 (d)(e) 133 141 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (d)(e) 96 101 
6 month U.S. LIBOR + 1.475% 2.85% 10/1/33 (d)(e) 72 74 
6 month U.S. LIBOR + 1.510% 2.854% 2/1/33 (d)(e) 48 50 
6 month U.S. LIBOR + 1.535% 2.833% 3/1/35 (d)(e) 55 56 
6 month U.S. LIBOR + 1.535% 2.884% 12/1/34 (d)(e) 134 138 
6 month U.S. LIBOR + 1.556% 2.922% 10/1/33 (d)(e) 40 41 
6 month U.S. LIBOR + 1.565% 2.845% 7/1/35 (d)(e) 55 57 
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (d)(e) 47 49 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (d)(e) 50 53 
U.S. TREASURY 1 YEAR INDEX + 2.295% 2.798% 10/1/33 (d)(e) 95 100 
4% 5/1/29 to 7/1/47 56,854 60,241 
4% 9/1/47 (f) 5,250 5,547 
4.5% 11/1/25 to 6/1/41 8,281 8,875 
5% 7/1/35 to 6/1/39 7,844 8,634 
6% 1/1/34 to 6/1/36 4,881 5,572 
6.5% 3/1/22 to 5/1/27 250 281 
9.5% 10/1/20 4 4 
11.5% 1/15/21 1 1 
  101,534 
Freddie Mac - 0.6%   
12 month U.S. LIBOR + 1.754% 3.098% 9/1/41 (d)(e) 1,421 1,503 
12 month U.S. LIBOR + 1.874% 3.432% 10/1/42 (d)(e) 814 854 
12 month U.S. LIBOR + 1.877% 3.215% 4/1/41 (d)(e) 133 139 
12 month U.S. LIBOR + 1.880% 3.03% 10/1/41 (d)(e) 1,987 2,059 
12 month U.S. LIBOR + 1.880% 3.222% 9/1/41 (d)(e) 154 164 
12 month U.S. LIBOR + 1.910% 3.282% 6/1/41 (d)(e) 175 183 
12 month U.S. LIBOR + 1.910% 3.421% 5/1/41 (d)(e) 148 158 
12 month U.S. LIBOR + 1.910% 3.625% 5/1/41 (d)(e) 200 209 
12 month U.S. LIBOR + 1.910% 3.647% 6/1/41 (d)(e) 192 201 
12 month U.S. LIBOR + 2.045% 3.81% 7/1/36 (d)(e) 270 287 
12 month U.S. LIBOR + 2.197% 3.537% 3/1/33 (d)(e) 7 7 
6 month U.S. LIBOR + 1.445% 2.82% 3/1/35 (d)(e) 193 199 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (d)(e) 112 116 
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (d)(e) 131 139 
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (d)(e) 15 15 
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (d)(e) 582 609 
3% 2/1/31 10,198 10,549 
4% 5/1/47 to 7/1/47 4,716 4,992 
4.5% 5/1/39 to 10/1/41 2,649 2,888 
5.5% 7/1/29 17 19 
6% 1/1/24 945 1,018 
9.5% 6/1/18 to 8/1/21 3 3 
  26,311 
Ginnie Mae - 0.7%   
4.3% 8/20/61 (g) 2,305 2,340 
4.649% 2/20/62 (g) 2,209 2,280 
4.682% 2/20/62 (g) 3,078 3,153 
4.684% 1/20/62 (g) 17,385 17,825 
5.47% 8/20/59 (g) 42 43 
6% 6/15/36 3,886 4,542 
  30,183 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $157,346)  158,028 
Asset-Backed Securities - 1.9%   
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 $46,895 $47,484 
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.4872% 5/28/30 (d)(e) 4,749 4,746 
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.2062% 4/25/22 (d)(e) 1,732 1,740 
Navient Student Loan Trust Series 2017-3A:   
Class A1, 1 month U.S. LIBOR + 0.300% 1.5344% 7/26/66 (d)(e)(h) 12,854 12,855 
Class A2, 1 month U.S. LIBOR + 0.600% 1.8344% 7/26/66 (d)(e)(h) 14,550 14,617 
Small Business Administration guaranteed development participation certificates:   
Series 2002-20J Class 1, 4.75% 10/1/22 649 674 
Series 2002-20K Class 1, 5.08% 11/1/22 959 1,008 
Series 2004-20H Class 1, 5.17% 8/1/24 424 448 
TOTAL ASSET-BACKED SECURITIES   
(Cost $82,813)  83,572 
Collateralized Mortgage Obligations - 17.2%   
U.S. Government Agency - 17.2%   
Fannie Mae:   
floater: $ $ 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.2144% 8/25/31 (d)(e) 84 86 
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 1.8283% 11/18/31 (d)(e) 80 81 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.2344% 4/25/32 (d)(e) 34 34 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.2344% 11/25/32 (d)(e) 69 70 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.1644% 6/25/36 (d)(e) 5,219 5,303 
planned amortization class:   
Series 2005-19 Class PA, 5.5% 7/25/34 1,263 1,317 
Series 2005-27 Class NE, 5.5% 5/25/34 311 313 
Series 2005-64 Class PX, 5.5% 6/25/35 1,488 1,608 
Series 2005-68 Class CZ, 5.5% 8/25/35 4,105 4,625 
Series 2006-45 Class OP 6/25/36 (i) 721 641 
Series 2010-118 Class PB, 4.5% 10/25/40 6,041 6,429 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 772 820 
Series 2004-91 Class Z, 5% 12/25/34 4,999 5,506 
Series 2005-117 Class JN, 4.5% 1/25/36 412 438 
Series 2005-14 Class ZB, 5% 3/25/35 1,536 1,689 
Series 2006-72 Class CY, 6% 8/25/26 3,103 3,361 
Series 2009-59 Class HB, 5% 8/25/39 2,263 2,499 
Series 201-75 Class AL, 3.5% 8/25/26 11,851 12,473 
Series 2010-97 Class CX, 4.5% 9/25/25 10,927 11,755 
Series 2011-80:   
Class HE, 3.5% 8/25/26 4,160 4,419 
Class KB, 3.5% 8/25/26 6,462 6,817 
Series 2009-85 Class IB, 4.5% 8/25/24 (j) 222 10 
Series 2009-93 Class IC, 4.5% 9/25/24 (j) 319 13 
Series 2010-139 Class NI, 4.5% 2/25/40 (j) 3,352 366 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.1544% 3/25/36 (d)(e) 3,244 3,319 
Series 2010-97 Class CI, 4.5% 8/25/25 (j) 818 47 
Series 2012-27 Class EZ, 4.25% 3/25/42 7,199 7,801 
Series 2016-26 Class CG, 3% 5/25/46 20,879 21,458 
Freddie Mac:   
floater:   
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 1.8267% 2/15/32 (d)(e) 45 46 
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7267% 6/15/18 (d)(e) 9 9 
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 2.1267% 10/15/33 (d)(e) 2,770 2,813 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1267% 2/15/33 (d)(e) 1,547 1,575 
planned amortization class:   
Series 1141 Class G, 9% 9/15/21 30 33 
Series 2682 Class LD, 4.5% 10/15/33 661 711 
Series 3415 Class PC, 5% 12/15/37 458 499 
Series 3763 Class QA, 4% 4/15/34 323 324 
Series 3840 Class VA, 4.5% 9/15/27 3,863 3,977 
Series 3857 Class ZP, 5% 5/15/41 2,991 3,586 
sequential payer:   
Series 2004-2802 Class ZG, 5.5% 5/15/34 7,242 8,128 
Series 2587 Class AD, 4.71% 3/15/33 2,663 2,826 
Series 2773 Class HC, 4.5% 4/15/19 124 125 
Series 2877 Class ZD, 5% 10/15/34 6,101 6,701 
Series 3007 Class EW, 5.5% 7/15/25 4,904 5,298 
Series 3745 Class KV, 4.5% 12/15/26 6,293 6,784 
Series 3806 Class L, 3.5% 2/15/26 8,900 9,478 
Series 3862 Class MB, 3.5% 5/15/26 6,893 7,264 
Series 3871 Class KB, 5.5% 6/15/41 13,870 16,139 
Series 3889 Class DZ, 4% 1/15/41 34,795 37,740 
Series 3843 Class PZ, 5% 4/15/41 2,559 3,015 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 7,217 7,583 
Series 4341 Class ML, 3.5% 11/15/31 9,808 10,286 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.7106% 1/20/38 (d)(e) 236 237 
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.0906% 8/20/38 (d)(e) 1,768 1,795 
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.1306% 9/20/38 (d)(e) 1,559 1,594 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.8278% 11/16/39 (d)(e) 996 1,004 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 1.7739% 9/20/61 (d)(e)(g) 8,720 8,738 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 10/20/61 (d)(e)(g) 5,768 5,786 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 11/20/61 (d)(e)(g) 4,911 4,938 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 1/20/62 (d)(e)(g) 3,151 3,169 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 1/20/62 (d)(e)(g) 4,583 4,598 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 3/20/62 (d)(e)(g) 2,938 2,950 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8739% 5/20/61 (d)(e)(g) 3,813 3,821 
Series 2013-H19:   
Class FC, 1 month U.S. LIBOR + 0.600% 1.8239% 8/20/63 (d)(e)(g) 1,141 1,144 
Class FD, 1 month U.S. LIBOR + 0.600% 1.8239% 8/20/63 (d)(e)(g) 2,878 2,887 
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 1.8739% 12/20/63 (d)(e)(g) 36,459 36,604 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 1/20/64 (d)(e)(g) 14,163 14,211 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.3% 3/20/65 (d)(e)(g) 13,084 13,084 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5039% 5/20/63 (d)(e)(g) 13,022 13,019 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4239% 4/20/63 (d)(e)(g) 12,918 12,906 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6239% 12/20/62 (d)(e)(g) 14,252 14,263 
planned amortization class Series 2010-31 Class BP, 5% 3/20/40 11,191 12,793 
sequential payer:   
Series 2011-69 Class GX, 4.5% 5/16/40 10,205 11,123 
Series 2013-H06 Class HA, 1.65% 1/20/63 (g) 4,927 4,911 
Series 2013-H26 Class HA, 3.5% 9/20/63 (g) 41,163 42,205 
Series 2014-H12 Class KA, 2.75% 5/20/64 (g) 5,642 5,714 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7239% 9/20/62 (d)(e)(g) 20,809 20,865 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8739% 11/20/65 (d)(e)(g) 4,304 4,319 
Series 2004-22 Class M1, 5.5% 4/20/34 584 757 
Series 2010-116 Class QB, 4% 9/16/40 6,076 6,501 
Series 2010-169 Class Z, 4.5% 12/20/40 6,825 7,465 
Series 2010-H15 Class TP, 5.15% 8/20/60 (g) 12,899 13,356 
Series 2010-H17 Class XP, 5.2967% 7/20/60 (d)(g) 14,591 15,078 
Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(g) 12,151 12,533 
Series 2012-64 Class KI, 3.5% 11/20/36 (j) 1,159 80 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 7.0259% 4/20/39 (d)(k) 4,633 4,877 
Class ST, 8.800% - 1 month U.S. LIBOR 7.1593% 8/20/39 (d)(k) 10,741 11,534 
Series 2013-H07 Class JA, 1.75% 3/20/63 (g) 26,125 26,053 
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) 14,283 14,395 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (g) 41,546 41,831 
Class JA, 2.5% 6/20/65 (g) 4,839 4,875 
Series 2015-H30 Class HA, 1.75% 9/20/62 (d)(g) 41,942 41,857 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (d)(e)(g) 25,196 25,362 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.57% 8/20/66 (d)(e)(g) 22,540 22,592 
Series 2090-118 Class XZ, 5% 12/20/39 14,092 16,208 
  752,270 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $752,295)  752,270 
Commercial Mortgage Securities - 4.1%   
Freddie Mac:   
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 3,740 3,985 
sequential payer:   
Series K009 Class A2, 3.808% 8/25/20 5,591 5,889 
Series K034 Class A1, 2.669% 2/25/23 11,850 12,075 
Series K709 Class A2, 2.086% 3/25/19 17,210 17,310 
Series K710 Class A2, 1.883% 5/25/19 16,814 16,875 
Series K713 Class A2, 2.313% 3/25/20 5,437 5,505 
Series K717 Class A2, 2.991% 9/25/21 12,968 13,490 
Series K032 Class A1, 3.016% 2/25/23 20,015 20,599 
Series K504 Class A2, 2.566% 9/25/20 3,629 3,699 
Series K704 Class A2, 2.412% 8/25/18 4,832 4,852 
Series K706 Class A2, 2.323% 10/25/18 9,474 9,532 
Series K724 Class A1, 2.776% 3/25/23 16,089 16,580 
Series K726 Class A1, 2.596% 7/25/49 4,875 4,981 
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5522% 2/25/20 (d)(e) 43,722 43,819 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $178,607)  179,191 
Foreign Government and Government Agency Obligations - 3.9%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 72,266 86,445 
5.5% 12/4/23 48 58 
5.5% 4/26/24 6,065 7,325 
Jordanian Kingdom:   
2.503% 10/30/20 19,881 20,443 
3% 6/30/25 19,267 20,269 
Ukraine Government 1.471% 9/29/21 34,809 34,374 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $155,889)  168,914 
 Shares Value (000s) 
Fixed-Income Funds - 21.5%   
Fidelity Mortgage Backed Securities Central Fund (l)   
(Cost $899,702) 8,632,953 939,005 
Money Market Funds - 0.2%   
Fidelity Cash Central Fund, 1.11% (m)   
(Cost $6,876) 6,874,372 6,876 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 1.960% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2024 11/30/17 15,000 $120 
Call Options - 0.0%    
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 1.960% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2024 11/30/17 15,000 120 
TOTAL PURCHASED SWAPTIONS    
(Cost $240)   240 
TOTAL INVESTMENT IN SECURITIES - 99.9%    
(Cost $4,283,554)   4,361,292 
NET OTHER ASSETS (LIABILITIES) - 0.1%   3,992 
NET ASSETS - 100%   $4,365,284 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3.5% 9/1/47   
(Proceeds $100,767) $(98,100) $(101,639) 

Futures Contracts      
 Number of contracts Expiration Date Notional amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 625 Dec. 2017 $79,365 $214 $214 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 755 Dec. 2017 163,316 (1) (1) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 350 Dec. 2017 41,475 (9) (9) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 238 Dec. 2017 37,150 350 350 
TOTAL FUTURES CONTRACTS     $554 

The notional amount of futures purchased as a percentage of Net Assets is 7.4%

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount (000s)(1) Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps          
2.5% Semi - annual 3-month LIBOR(3) Quarterly CME Sep. 2047 $1,200 $16 $0 $16 

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

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

 (3) Represents floating rate.


Legend

 (a) 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 $1,905,000.

 (b) 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 $104,000.

 (c) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $809,000.

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

 (e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

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

 (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.

 (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 $27,472,000 or 0.6% of net assets.

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

 (j) 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.

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

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

 (m) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.


Affiliated Central Funds

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

Fund Income earned 
 (Amounts in thousands) 
Fidelity Cash Central Fund $254 
Fidelity Mortgage Backed Securities Central Fund 29,169 
Total $29,423 

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 Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,224,994 $31,257 $293,900 $1,393 $(24,739) $939,005 14.0% 
Total $1,224,994 $31,257 $293,900 $1,393 $(24,739) $939,005  

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government and Government Agency Obligations $2,073,196 $-- $2,073,196 $-- 
U.S. Government Agency - Mortgage Securities 158,028 -- 158,028 -- 
Asset-Backed Securities 83,572 -- 83,572 -- 
Collateralized Mortgage Obligations 752,270 -- 752,270 -- 
Commercial Mortgage Securities 179,191 -- 179,191 -- 
Foreign Government and Government Agency Obligations 168,914 -- 168,914 -- 
Fixed-Income Funds 939,005 939,005 -- -- 
Money Market Funds 6,876 6,876 -- -- 
Purchased Swaptions 240 -- 240 -- 
Total Investments in Securities: $4,361,292 $945,881 $3,415,411 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $564 $564 $-- $-- 
Swaps 16 -- 16 -- 
Total Assets $580 $564 $16 $-- 
Liabilities     
Futures Contracts $(10) $(10) $-- $-- 
Total Liabilities $(10) $(10) $-- $-- 
Total Derivative Instruments: $570 $554 $16 $-- 
Other Financial Instruments:     
TBA Sale Commitments $(101,639) $-- $(101,639) $-- 
Total Other Financial Instruments: $(101,639) $-- $(101,639) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
(Amounts in thousands)   
Interest Rate Risk   
Futures Contracts(a) $564 $(10) 
Purchased Swaptions(b) 240 0 
Swaps(c) 16 0 
Total Interest Rate Risk 820 (10) 
Total Value of Derivatives $820 $(10) 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).

 (b) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.

 (c) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).


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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2017 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,376,976) 		$3,415,411  
Fidelity Central Funds (cost $906,578) 945,881  
Total Investment in Securities (cost $4,283,554)  $4,361,292 
Cash  19,434 
Receivable for investments sold  151,697 
Receivable for TBA sale commitments  100,767 
Receivable for fund shares sold  2,242 
Interest receivable  12,509 
Distributions receivable from Fidelity Central Funds  21 
Receivable for daily variation margin on futures contracts  214 
Receivable for daily variation margin on centrally cleared OTC swaps  6 
Other receivables  61 
Total assets  4,648,243 
Liabilities   
Payable for investments purchased   
Regular delivery $150,321  
Delayed delivery 5,527  
TBA sale commitments, at value 101,639  
Payable for fund shares redeemed 3,966  
Distributions payable 246  
Accrued management fee 1,120  
Distribution and service plan fees payable 129  
Other affiliated payables 559  
Other payables and accrued expenses 60  
Collateral on securities loaned 19,392  
Total liabilities  282,959 
Net Assets  $4,365,284 
Net Assets consist of:   
Paid in capital  $4,358,602 
Distributions in excess of net investment income  (7,544) 
Accumulated undistributed net realized gain (loss) on investments  (63,210) 
Net unrealized appreciation (depreciation) on investments  77,436 
Net Assets  $4,365,284 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($174,194 ÷ 16,810 shares)  $10.36 
Maximum offering price per share (100/96.00 of $10.36)  $10.79 
Class M:   
Net Asset Value and redemption price per share ($156,513 ÷ 15,106 shares)  $10.36 
Maximum offering price per share (100/96.00 of $10.36)  $10.79 
Class C:   
Net Asset Value and offering price per share ($71,524 ÷ 6,904 shares)(a)  $10.36 
Government Income:   
Net Asset Value, offering price and redemption price per share ($3,467,149 ÷ 335,131 shares)  $10.35 
Class I:   
Net Asset Value, offering price and redemption price per share ($495,904 ÷ 47,860 shares)  $10.36 

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


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


Statement of Operations

Amounts in thousands  Year ended August 31, 2017 
Investment Income   
Interest  $70,135 
Income from Fidelity Central Funds  29,423 
Total income  99,558 
Expenses   
Management fee $13,933  
Transfer agent fees 5,032  
Distribution and service plan fees 1,772  
Fund wide operations fee 1,837  
Independent trustees' fees and expenses 18  
Miscellaneous 16  
Total expenses before reductions 22,608  
Expense reductions (11) 22,597 
Net investment income (loss)  76,961 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (1,059)  
Fidelity Central Funds 1,395  
Futures contracts 661  
Swaps (1,365)  
Capital gain distributions from Fidelity Central Funds 2,091  
Total net realized gain (loss)  1,723 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (89,641)  
Fidelity Central Funds (24,739)  
Futures contracts 566  
Swaps (449)  
Delayed delivery commitments (904)  
Total change in net unrealized appreciation (depreciation)  (115,167) 
Net gain (loss)  (113,444) 
Net increase (decrease) in net assets resulting from operations  $(36,483) 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $76,961 $71,092 
Net realized gain (loss) 1,723 16,993 
Change in net unrealized appreciation (depreciation) (115,167) 104,347 
Net increase (decrease) in net assets resulting from operations (36,483) 192,432 
Distributions to shareholders from net investment income (74,479) (77,548) 
Distributions to shareholders from net realized gain (34,956) (39,904) 
Total distributions (109,435) (117,452) 
Share transactions - net increase (decrease) (430,132) 502,872 
Total increase (decrease) in net assets (576,050) 577,852 
Net Assets   
Beginning of period 4,941,334 4,363,482 
End of period $4,365,284 $4,941,334 
Other Information   
Distributions in excess of net investment income end of period $(7,544) $(8,402) 

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


Financial Highlights — Fidelity Government Income Fund Class A

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.97 
Income from Investment Operations      
Net investment income (loss)A .149 .135 .126 .138 .105 
Net realized and unrealized gain (loss) (.230) .270 .048 .278 (.454) 
Total from investment operations (.081) .405 .174 .416 (.349) 
Distributions from net investment income (.143) (.150) (.116) (.139) (.099) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.219) (.245) (.144) (.146) (.421) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB,C (.73)% 3.92% 1.67% 4.10% (3.29)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .77% .76% .77% .77% .77% 
Expenses net of fee waivers, if any .77% .76% .77% .77% .77% 
Expenses net of all reductions .77% .76% .77% .77% .77% 
Net investment income (loss) 1.44% 1.28% 1.20% 1.34% .99% 
Supplemental Data      
Net assets, end of period (in millions) $174 $261 $222 $246 $291 
Portfolio turnover rateF 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

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

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

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


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


Financial Highlights — Fidelity Government Income Fund Class M

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.97 
Income from Investment Operations      
Net investment income (loss)A .149 .135 .127 .140 .107 
Net realized and unrealized gain (loss) (.229) .270 .048 .277 (.454) 
Total from investment operations (.080) .405 .175 .417 (.347) 
Distributions from net investment income (.144) (.150) (.117) (.140) (.101) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.220) (.245) (.145) (.147) (.423) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB,C (.73)% 3.92% 1.68% 4.12% (3.27)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .76% .76% .76% .76% .75% 
Expenses net of fee waivers, if any .76% .76% .76% .76% .75% 
Expenses net of all reductions .76% .76% .76% .76% .75% 
Net investment income (loss) 1.44% 1.28% 1.20% 1.36% 1.01% 
Supplemental Data      
Net assets, end of period (in millions) $157 $197 $181 $196 $228 
Portfolio turnover rateF 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

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

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

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


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


Financial Highlights — Fidelity Government Income Fund Class C

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.96 
Income from Investment Operations      
Net investment income (loss)A .069 .053 .044 .059 .025 
Net realized and unrealized gain (loss) (.229) .270 .048 .278 (.443) 
Total from investment operations (.160) .323 .092 .337 (.418) 
Distributions from net investment income (.064) (.068) (.034) (.060) (.020) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.140) (.163) (.062) (.067) (.342) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB,C (1.49)% 3.12% .88% 3.32% (3.93)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions 1.54% 1.54% 1.55% 1.54% 1.52% 
Expenses net of fee waivers, if any 1.54% 1.54% 1.55% 1.54% 1.52% 
Expenses net of all reductions 1.54% 1.54% 1.55% 1.54% 1.52% 
Net investment income (loss) .67% .50% .42% .57% .24% 
Supplemental Data      
Net assets, end of period (in millions) $72 $94 $54 $58 $73 
Portfolio turnover rateF 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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


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


Financial Highlights — Fidelity Government Income Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.65 $10.48 $10.45 $10.18 $10.95 
Income from Investment Operations      
Net investment income (loss)A .181 .167 .159 .171 .138 
Net realized and unrealized gain (loss) (.229) .281 .048 .278 (.453) 
Total from investment operations (.048) .448 .207 .449 (.315) 
Distributions from net investment income (.176) (.183) (.149) (.172) (.133) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.252) (.278) (.177) (.179) (.455) 
Net asset value, end of period $10.35 $10.65 $10.48 $10.45 $10.18 
Total ReturnB (.42)% 4.35% 1.99% 4.45% (2.99)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45% .45% .45% .45% .45% 
Expenses net of all reductions .45% .45% .45% .45% .45% 
Net investment income (loss) 1.76% 1.59% 1.51% 1.66% 1.31% 
Supplemental Data      
Net assets, end of period (in millions) $3,467 $3,896 $3,489 $3,157 $3,412 
Portfolio turnover rateE 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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


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


Financial Highlights — Fidelity Government Income Fund Class I

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.97 
Income from Investment Operations      
Net investment income (loss)A .177 .162 .154 .166 .133 
Net realized and unrealized gain (loss) (.230) .271 .048 .277 (.454) 
Total from investment operations (.053) .433 .202 .443 (.321) 
Distributions from net investment income (.171) (.178) (.144) (.166) (.127) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.247) (.273) (.172) (.173) (.449) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB (.46)% 4.19% 1.94% 4.38% (3.03)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .49% .50% .50% .51% .51% 
Expenses net of fee waivers, if any .49% .50% .50% .51% .51% 
Expenses net of all reductions .49% .50% .50% .51% .51% 
Net investment income (loss) 1.71% 1.54% 1.46% 1.61% 1.26% 
Supplemental Data      
Net assets, end of period (in millions) $496 $494 $412 $298 $296 
Portfolio turnover rateE 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2017
(Amounts in thousands except percentages)

1. Organization.

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

After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Mortgage Backed Securities Central Fund FIMM Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Futures
Swap Agreements
 		Less than .005% 

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


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

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2017, is included at the end of the Fund's Schedule of Investments.

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

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to the short-term gain distributions from the Fidelity Central Funds, futures contracts, swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $48,233 
Gross unrealized depreciation (25,833) 
Net unrealized appreciation (depreciation) $22,400 
Tax Cost $4,338,034 

The tax-based components of distributable earnings as of period end were as follows:

Net unrealized appreciation (depreciation) on securities and other investments $22,400 

The Fund intends to elect to defer to its next fiscal year $14,932 of capital losses recognized during the period November 1, 2016 to August 31, 2017.

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $ 89,228 $ 96,027 
Long-term Capital Gains 20,207 21,425 
Total $ 109,435 $ 117,452 

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

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

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

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

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

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Derivative Instruments.

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

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

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

Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Interest Rate Risk   
Futures Contracts $661 $566 
Purchased Swaptions – – 
Swaps (1,365) (449) 
Totals $(704) $117 

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. 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) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

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

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $133,943 and $349,643, respectively.

6. Fees and Other Transactions with Affiliates.

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

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

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $543 $9 
Class M -% .25% 424 1 
Class C .75% .25% 805 143 
   $1,772 $153 

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

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

 Retained
by FDC 
Class A $24 
Class M 3 
Class C(a) 12 
 $39 

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


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

 Amount % of
Class-Level Average
Net Assets 
Class A $360 .17 
Class M 274 .16 
Class C 150 .19 
Government Income 3,561 .10 
Class I 687 .14 
 $5,032  

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

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

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $15 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $165.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses $11.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended August 31, 2017 Year ended August 31, 2016 
From net investment income   
Class A $3,003 $3,406 
Class M 2,353 2,723 
Class B – 26 
Class C 492 480 
Government Income 60,593 63,334 
Class I 8,038 7,579 
Total $74,479 $77,548 
From net realized gain   
Class A $1,831 $2,025 
Class M 1,339 1,660 
Class B – 49 
Class C 658 503 
Government Income 27,600 31,846 
Class I 3,528 3,821 
Total $34,956 $39,904 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended August 31, 2017 Year ended August 31, 2016 Year ended August 31, 2017 Year ended August 31, 2016 
Class A     
Shares sold 4,084 12,026 $42,226 $126,485 
Reinvestment of distributions 450 498 4,652 5,224 
Shares redeemed (12,230) (9,122) (125,628) (95,982) 
Net increase (decrease) (7,696) 3,402 $(78,750) $35,727 
Class M     
Shares sold 3,752 6,849 $38,695 $71,986 
Reinvestment of distributions 338 404 3,499 4,234 
Shares redeemed (7,416) (6,031) (76,589) (63,433) 
Net increase (decrease) (3,326) 1,222 $(34,395) $12,787 
Class B     
Shares sold – 17 $– $174 
Reinvestment of distributions – 6 – 62 
Shares redeemed – (584) – (6,152) 
Net increase (decrease) – (561) $– $(5,916) 
Class C     
Shares sold 1,245 5,790 $12,880 $60,776 
Reinvestment of distributions 102 81 1,056 844 
Shares redeemed (3,261) (2,223) (33,484) (23,431) 
Net increase (decrease) (1,914) 3,648 $(19,548) $38,189 
Government Income     
Shares sold 78,457 91,465 $805,428 $961,380 
Reinvestment of distributions 8,206 8,754 84,659 91,724 
Shares redeemed (117,437) (67,217) (1,203,566) (705,341) 
Net increase (decrease) (30,774) 33,002 $(313,479) $347,763 
Class I     
Shares sold 13,696 14,937 $140,776 $157,175 
Reinvestment of distributions 1,085 1,055 11,211 11,077 
Shares redeemed (13,214) (8,950) (135,947) (93,930) 
Net increase (decrease) 1,567 7,042 $16,040 $74,322 

12. Other.

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

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Income Fund and Shareholders of Fidelity Government Income Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Government Income Fund (a fund of Fidelity Income Fund) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Government Income Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 246 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2017 to August 31, 2017).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Class A .76%    
Actual  $1,000.00 $1,020.10 $3.87 
Hypothetical-C  $1,000.00 $1,021.37 $3.87 
Class M .76%    
Actual  $1,000.00 $1,021.10 $3.87 
Hypothetical-C  $1,000.00 $1,021.37 $3.87 
Class C 1.52%    
Actual  $1,000.00 $1,017.10 $7.73 
Hypothetical-C  $1,000.00 $1,017.54 $7.73 
Government Income .45%    
Actual  $1,000.00 $1,022.70 $2.29 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 
Class I .49%    
Actual  $1,000.00 $1,021.40 $2.50 
Hypothetical-C  $1,000.00 $1,022.74 $2.50 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Distributions (Unaudited)

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $9,453,771, or, if subsequently determined to be different, the net capital gain of such year.

A total of 34.99% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $50,080,464 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.





Fidelity Investments

AGVT-ANN-1017
1.834242.111

Fidelity® Government Income Fund



Annual Report

August 31, 2017



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions


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

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NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

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Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Fidelity® Government Income Fund (0.42)% 1.44% 3.89% 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Government Income Fund, a class of the fund, on August 31, 2007.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Government Bond Index performed over the same period.


Period Ending Values
$14,644Fidelity® Government Income Fund
$14,462Bloomberg Barclays U.S. Government Bond Index

Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.

Management's Discussion of Fund Performance

Market Recap:  U.S. taxable investment-grade bonds rose slightly for the 12 months ending August 31, 2017, as yields increased markedly following the U.S. presidential election then moderated as the period progressed. The Bloomberg Barclays U.S. Aggregate Bond Index gained 0.49% for the year. Bond yields rose slightly early in the period, prior to the U.S. election, then surged in November and December, as many investors viewed then-President-elect Donald Trump’s economic agenda as stimulative and potentially inflationary. Yields also rode the Fed’s decision in December to raise policy interest rates. Longer-term bond yields declined slightly in the first half of 2017, even though the Fed raised rates in June 2017 for the third time in as many quarters, as it became clear that changes to tax, health care and fiscal policies would take time to develop and implement. Fairly cool inflation readings also held back yields late in the period. Within the Bloomberg Barclays index, investment-grade corporate bonds led all major market segments, up 2.13%, while U.S. Treasuries returned -0.95%. Securitized sectors advanced more modestly than corporates. Outside the index, riskier, non-core fixed-income segments led the broader market, while Treasury Inflation-Protected Securities (TIPS) rose 0.46%, according to Bloomberg Barclays.

Comments from Lead Portfolio Manager William Irving and Co-Portfolio Manager Franco Castagliuolo:  For the fiscal year, the fund’s shares classes (excluding sales charges, if applicable) returned about -1%, about in line, net of fees, with the -0.84% return of the benchmark Bloomberg Barclays 75% U.S. Government/25% U.S. MBS Blended Index. We continued to execute our strategy of attempting to exploit market inefficiencies to enhance longer-term results. Versus the benchmark, owning reverse-mortgage securities – which were not in the benchmark – aided performance. Our non-benchmark holdings in commercial mortgage-backed securities issued by Freddie Mac also contributed, as did positioning within the government-agency debenture sector. This period, we ventured beyond the government issuers that make up the bulk of this sector – Fannie Mae, Freddie Mac and the Federal Home Loan Banks – into a few higher-yielding niche segments. Specifically, we had more exposure to securities issued by the U.S. Agency for International Development. Security selection worked particularly well in the agency mortgage-backed securities sector. Our larger-than-benchmark stake in securities made up of loans with low remaining balances was beneficial. In contrast, holding Treasury Inflation-Protected Securities, or TIPS, slightly detracted from the fund’s results versus the benchmark. They performed poorly as inflation remained subdued.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Investment Summary (Unaudited)

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

Coupon Distribution as of August 31, 2017

 % of fund's investments % of fund’s investments 6 months ago 
Zero coupon bonds 0.0 0.0 
0.01 - 0.99% 1.7 1.9 
1 - 1.99% 33.9 31.8 
2 - 2.99% 20.1 22.1 
3 - 3.99% 21.7 22.4 
4 - 4.99% 12.2 12.8 
5 - 5.99% 8.0 8.3 
6 - 6.99% 0.5 0.6 
7 - 7.99% 0.5 0.5 
8% and above 0.0 0.0 

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Mortgage Securities 21.3% 
   CMOs and Other Mortgage Related Securities 23.5% 
   U.S. Treasury Obligations 45.5% 
   U.S. Government Agency Obligations*** 2.0% 
   Foreign Government & Government Agency Obligations 3.9% 
   Asset-Backed Securities 2.2% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.6% 


 * Foreign investments – 3.9%

 ** Futures and Swaps – 7.8%

 *** Includes NCUA Guaranteed Notes


As of February 28, 2017*,** 
   Mortgage Securities 24.8% 
   CMOs and Other Mortgage Related Securities 24.1% 
   U.S. Treasury Obligations 44.8% 
   U.S. Government Agency Obligations*** 2.7% 
   Foreign Government & Government Agency Obligations 4.3% 
 Short-Term Investments and Net Other Assets (Liabilities)† (0.7)% 


 * Foreign investments – 4.3%

 ** Futures and Swaps – 5.7%

 *** Includes NCUA Guaranteed Notes

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


An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.

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

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

Investments August 31, 2017

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 47.5%   
 Principal Amount (000s) Value (000s) 
U.S. Government Agency Obligations - 0.2%   
Fannie Mae:   
0.875% 8/2/19 $131 $130 
1% 2/26/19 326 324 
1.125% 12/14/18 240 239 
Tennessee Valley Authority:   
5.25% 9/15/39 2,807 3,759 
5.375% 4/1/56 3,438 4,773 
  9,225 
U.S. Treasury Inflation-Protected Obligations - 0.6%   
U.S. Treasury Inflation-Indexed Bonds 1% 2/15/46 23,700 24,417 
U.S. Treasury Obligations - 44.9%   
U.S. Treasury Bonds:   
2.5% 2/15/46 28,232 26,937 
2.75% 8/15/47 6,000 6,027 
2.875% 8/15/45 112,441 115,819 
3% 11/15/44 29,032 30,684 
3% 11/15/45 40,000 42,203 
3% 2/15/47 27,506 29,025 
3% 5/15/47 15,900 16,786 
3.625% 2/15/44 45,031 53,047 
4.375% 5/15/40 3,000 3,915 
4.75% 2/15/37 62,168 84,505 
5% 5/15/37 (a)(b)(c) 36,142 50,551 
U.S. Treasury Notes:   
0.875% 9/15/19 56,901 56,381 
1.125% 9/30/21 119,876 117,549 
1.375% 7/31/19 120,000 120,113 
1.375% 2/29/20 33,681 33,680 
1.375% 4/30/20 75,553 75,512 
1.375% 8/31/20 5,000 4,990 
1.375% 1/31/21 27,500 27,369 
1.375% 4/30/21 20,000 19,868 
1.375% 5/31/21 20,000 19,854 
1.5% 4/15/20 4,775 4,788 
1.5% 5/15/20 34,416 34,503 
1.5% 7/15/20 22,703 22,752 
1.5% 8/15/26 9,629 9,163 
1.625% 6/30/20 4,710 4,736 
1.625% 7/31/20 30,000 30,171 
1.625% 8/31/22 35,000 34,861 
1.75% 10/31/20 18,000 18,150 
1.75% 12/31/20 59,701 60,167 
1.75% 6/30/22 56,910 57,014 
1.875% 1/31/22 45,770 46,181 
1.875% 3/31/22 56,661 57,141 
1.875% 7/31/22 86,000 86,642 
1.875% 8/31/24 112,983 112,427 
2% 9/30/20 31,153 31,657 
2% 10/31/21 19,497 19,785 
2% 12/31/21 60,103 60,974 
2% 7/31/22 18,845 19,091 
2% 8/15/25 38,778 38,689 
2% 11/15/26 70,025 69,388 
2.125% 6/30/21 22,000 22,442 
2.125% 12/31/21 2,000 2,039 
2.125% 6/30/22 146 149 
2.125% 7/31/24 100,525 101,707 
2.125% 5/15/25 18,702 18,853 
2.25% 7/31/21 26,021 26,661 
2.25% 2/15/27 3,000 3,034 
2.375% 5/15/27 29,946 30,596 
  1,958,576 
Other Government Related - 1.8%   
National Credit Union Administration Guaranteed Notes:   
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.5789% 12/7/20 (NCUA Guaranteed) (d)(e) 2,576 2,578 
Series 2011-R4 Class 1A, 1 month U.S. LIBOR + 0.380% 1.6072% 3/6/20 (NCUA Guaranteed) (d)(e) 196 196 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 74,000 78,204 
  80,978 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $2,049,786)  2,073,196 
U.S. Government Agency - Mortgage Securities - 3.6%   
Fannie Mae - 2.3%   
12 month U.S. LIBOR + 1.415% 2.915% 11/1/33 (d)(e) 79 82 
12 month U.S. LIBOR + 1.480% 3.14% 7/1/34 (d)(e) 90 94 
12 month U.S. LIBOR + 1.523% 3.219% 3/1/36 (d)(e) 348 364 
12 month U.S. LIBOR + 1.551% 2.506% 2/1/44 (d)(e) 347 361 
12 month U.S. LIBOR + 1.553% 2.596% 5/1/44 (d)(e) 1,105 1,135 
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (d)(e) 100 104 
12 month U.S. LIBOR + 1.558% 2.458% 2/1/44 (d)(e) 436 455 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (d)(e) 113 119 
12 month U.S. LIBOR + 1.570% 2.567% 5/1/44 (d)(e) 633 650 
12 month U.S. LIBOR + 1.574% 2.646% 4/1/44 (d)(e) 1,574 1,641 
12 month U.S. LIBOR + 1.580% 2.451% 4/1/44 (d)(e) 653 679 
12 month U.S. LIBOR + 1.580% 2.575% 1/1/44 (d)(e) 710 741 
12 month U.S. LIBOR + 1.725% 2.583% 6/1/42 (d)(e) 255 263 
12 month U.S. LIBOR + 1.728% 3.314% 11/1/36 (d)(e) 63 66 
12 month U.S. LIBOR + 1.741% 3.332% 3/1/40 (d)(e) 1,290 1,369 
12 month U.S. LIBOR + 1.745% 3.374% 7/1/35 (d)(e) 155 163 
12 month U.S. LIBOR + 1.800% 2.759% 1/1/42 (d)(e) 966 1,014 
12 month U.S. LIBOR + 1.800% 3.558% 7/1/41 (d)(e) 241 251 
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (d)(e) 79 84 
12 month U.S. LIBOR + 1.815% 2.944% 11/1/40 (d)(e) 95 100 
12 month U.S. LIBOR + 1.818% 2.695% 2/1/42 (d)(e) 1,352 1,419 
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (d)(e) 149 158 
12 month U.S. LIBOR + 1.818% 3.249% 7/1/41 (d)(e) 199 207 
12 month U.S. LIBOR + 1.830% 3.38% 10/1/41 (d)(e) 133 141 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (d)(e) 96 101 
6 month U.S. LIBOR + 1.475% 2.85% 10/1/33 (d)(e) 72 74 
6 month U.S. LIBOR + 1.510% 2.854% 2/1/33 (d)(e) 48 50 
6 month U.S. LIBOR + 1.535% 2.833% 3/1/35 (d)(e) 55 56 
6 month U.S. LIBOR + 1.535% 2.884% 12/1/34 (d)(e) 134 138 
6 month U.S. LIBOR + 1.556% 2.922% 10/1/33 (d)(e) 40 41 
6 month U.S. LIBOR + 1.565% 2.845% 7/1/35 (d)(e) 55 57 
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (d)(e) 47 49 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (d)(e) 50 53 
U.S. TREASURY 1 YEAR INDEX + 2.295% 2.798% 10/1/33 (d)(e) 95 100 
4% 5/1/29 to 7/1/47 56,854 60,241 
4% 9/1/47 (f) 5,250 5,547 
4.5% 11/1/25 to 6/1/41 8,281 8,875 
5% 7/1/35 to 6/1/39 7,844 8,634 
6% 1/1/34 to 6/1/36 4,881 5,572 
6.5% 3/1/22 to 5/1/27 250 281 
9.5% 10/1/20 4 4 
11.5% 1/15/21 1 1 
  101,534 
Freddie Mac - 0.6%   
12 month U.S. LIBOR + 1.754% 3.098% 9/1/41 (d)(e) 1,421 1,503 
12 month U.S. LIBOR + 1.874% 3.432% 10/1/42 (d)(e) 814 854 
12 month U.S. LIBOR + 1.877% 3.215% 4/1/41 (d)(e) 133 139 
12 month U.S. LIBOR + 1.880% 3.03% 10/1/41 (d)(e) 1,987 2,059 
12 month U.S. LIBOR + 1.880% 3.222% 9/1/41 (d)(e) 154 164 
12 month U.S. LIBOR + 1.910% 3.282% 6/1/41 (d)(e) 175 183 
12 month U.S. LIBOR + 1.910% 3.421% 5/1/41 (d)(e) 148 158 
12 month U.S. LIBOR + 1.910% 3.625% 5/1/41 (d)(e) 200 209 
12 month U.S. LIBOR + 1.910% 3.647% 6/1/41 (d)(e) 192 201 
12 month U.S. LIBOR + 2.045% 3.81% 7/1/36 (d)(e) 270 287 
12 month U.S. LIBOR + 2.197% 3.537% 3/1/33 (d)(e) 7 7 
6 month U.S. LIBOR + 1.445% 2.82% 3/1/35 (d)(e) 193 199 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (d)(e) 112 116 
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (d)(e) 131 139 
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (d)(e) 15 15 
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (d)(e) 582 609 
3% 2/1/31 10,198 10,549 
4% 5/1/47 to 7/1/47 4,716 4,992 
4.5% 5/1/39 to 10/1/41 2,649 2,888 
5.5% 7/1/29 17 19 
6% 1/1/24 945 1,018 
9.5% 6/1/18 to 8/1/21 3 3 
  26,311 
Ginnie Mae - 0.7%   
4.3% 8/20/61 (g) 2,305 2,340 
4.649% 2/20/62 (g) 2,209 2,280 
4.682% 2/20/62 (g) 3,078 3,153 
4.684% 1/20/62 (g) 17,385 17,825 
5.47% 8/20/59 (g) 42 43 
6% 6/15/36 3,886 4,542 
  30,183 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $157,346)  158,028 
Asset-Backed Securities - 1.9%   
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 $46,895 $47,484 
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.4872% 5/28/30 (d)(e) 4,749 4,746 
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.2062% 4/25/22 (d)(e) 1,732 1,740 
Navient Student Loan Trust Series 2017-3A:   
Class A1, 1 month U.S. LIBOR + 0.300% 1.5344% 7/26/66 (d)(e)(h) 12,854 12,855 
Class A2, 1 month U.S. LIBOR + 0.600% 1.8344% 7/26/66 (d)(e)(h) 14,550 14,617 
Small Business Administration guaranteed development participation certificates:   
Series 2002-20J Class 1, 4.75% 10/1/22 649 674 
Series 2002-20K Class 1, 5.08% 11/1/22 959 1,008 
Series 2004-20H Class 1, 5.17% 8/1/24 424 448 
TOTAL ASSET-BACKED SECURITIES   
(Cost $82,813)  83,572 
Collateralized Mortgage Obligations - 17.2%   
U.S. Government Agency - 17.2%   
Fannie Mae:   
floater: $ $ 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.2144% 8/25/31 (d)(e) 84 86 
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 1.8283% 11/18/31 (d)(e) 80 81 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.2344% 4/25/32 (d)(e) 34 34 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.2344% 11/25/32 (d)(e) 69 70 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.1644% 6/25/36 (d)(e) 5,219 5,303 
planned amortization class:   
Series 2005-19 Class PA, 5.5% 7/25/34 1,263 1,317 
Series 2005-27 Class NE, 5.5% 5/25/34 311 313 
Series 2005-64 Class PX, 5.5% 6/25/35 1,488 1,608 
Series 2005-68 Class CZ, 5.5% 8/25/35 4,105 4,625 
Series 2006-45 Class OP 6/25/36 (i) 721 641 
Series 2010-118 Class PB, 4.5% 10/25/40 6,041 6,429 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 772 820 
Series 2004-91 Class Z, 5% 12/25/34 4,999 5,506 
Series 2005-117 Class JN, 4.5% 1/25/36 412 438 
Series 2005-14 Class ZB, 5% 3/25/35 1,536 1,689 
Series 2006-72 Class CY, 6% 8/25/26 3,103 3,361 
Series 2009-59 Class HB, 5% 8/25/39 2,263 2,499 
Series 201-75 Class AL, 3.5% 8/25/26 11,851 12,473 
Series 2010-97 Class CX, 4.5% 9/25/25 10,927 11,755 
Series 2011-80:   
Class HE, 3.5% 8/25/26 4,160 4,419 
Class KB, 3.5% 8/25/26 6,462 6,817 
Series 2009-85 Class IB, 4.5% 8/25/24 (j) 222 10 
Series 2009-93 Class IC, 4.5% 9/25/24 (j) 319 13 
Series 2010-139 Class NI, 4.5% 2/25/40 (j) 3,352 366 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.1544% 3/25/36 (d)(e) 3,244 3,319 
Series 2010-97 Class CI, 4.5% 8/25/25 (j) 818 47 
Series 2012-27 Class EZ, 4.25% 3/25/42 7,199 7,801 
Series 2016-26 Class CG, 3% 5/25/46 20,879 21,458 
Freddie Mac:   
floater:   
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 1.8267% 2/15/32 (d)(e) 45 46 
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7267% 6/15/18 (d)(e) 9 9 
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 2.1267% 10/15/33 (d)(e) 2,770 2,813 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1267% 2/15/33 (d)(e) 1,547 1,575 
planned amortization class:   
Series 1141 Class G, 9% 9/15/21 30 33 
Series 2682 Class LD, 4.5% 10/15/33 661 711 
Series 3415 Class PC, 5% 12/15/37 458 499 
Series 3763 Class QA, 4% 4/15/34 323 324 
Series 3840 Class VA, 4.5% 9/15/27 3,863 3,977 
Series 3857 Class ZP, 5% 5/15/41 2,991 3,586 
sequential payer:   
Series 2004-2802 Class ZG, 5.5% 5/15/34 7,242 8,128 
Series 2587 Class AD, 4.71% 3/15/33 2,663 2,826 
Series 2773 Class HC, 4.5% 4/15/19 124 125 
Series 2877 Class ZD, 5% 10/15/34 6,101 6,701 
Series 3007 Class EW, 5.5% 7/15/25 4,904 5,298 
Series 3745 Class KV, 4.5% 12/15/26 6,293 6,784 
Series 3806 Class L, 3.5% 2/15/26 8,900 9,478 
Series 3862 Class MB, 3.5% 5/15/26 6,893 7,264 
Series 3871 Class KB, 5.5% 6/15/41 13,870 16,139 
Series 3889 Class DZ, 4% 1/15/41 34,795 37,740 
Series 3843 Class PZ, 5% 4/15/41 2,559 3,015 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 7,217 7,583 
Series 4341 Class ML, 3.5% 11/15/31 9,808 10,286 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.7106% 1/20/38 (d)(e) 236 237 
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.0906% 8/20/38 (d)(e) 1,768 1,795 
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.1306% 9/20/38 (d)(e) 1,559 1,594 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.8278% 11/16/39 (d)(e) 996 1,004 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 1.7739% 9/20/61 (d)(e)(g) 8,720 8,738 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 10/20/61 (d)(e)(g) 5,768 5,786 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 11/20/61 (d)(e)(g) 4,911 4,938 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 1/20/62 (d)(e)(g) 3,151 3,169 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 1/20/62 (d)(e)(g) 4,583 4,598 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 3/20/62 (d)(e)(g) 2,938 2,950 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8739% 5/20/61 (d)(e)(g) 3,813 3,821 
Series 2013-H19:   
Class FC, 1 month U.S. LIBOR + 0.600% 1.8239% 8/20/63 (d)(e)(g) 1,141 1,144 
Class FD, 1 month U.S. LIBOR + 0.600% 1.8239% 8/20/63 (d)(e)(g) 2,878 2,887 
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 1.8739% 12/20/63 (d)(e)(g) 36,459 36,604 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 1/20/64 (d)(e)(g) 14,163 14,211 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.3% 3/20/65 (d)(e)(g) 13,084 13,084 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5039% 5/20/63 (d)(e)(g) 13,022 13,019 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4239% 4/20/63 (d)(e)(g) 12,918 12,906 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6239% 12/20/62 (d)(e)(g) 14,252 14,263 
planned amortization class Series 2010-31 Class BP, 5% 3/20/40 11,191 12,793 
sequential payer:   
Series 2011-69 Class GX, 4.5% 5/16/40 10,205 11,123 
Series 2013-H06 Class HA, 1.65% 1/20/63 (g) 4,927 4,911 
Series 2013-H26 Class HA, 3.5% 9/20/63 (g) 41,163 42,205 
Series 2014-H12 Class KA, 2.75% 5/20/64 (g) 5,642 5,714 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7239% 9/20/62 (d)(e)(g) 20,809 20,865 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8739% 11/20/65 (d)(e)(g) 4,304 4,319 
Series 2004-22 Class M1, 5.5% 4/20/34 584 757 
Series 2010-116 Class QB, 4% 9/16/40 6,076 6,501 
Series 2010-169 Class Z, 4.5% 12/20/40 6,825 7,465 
Series 2010-H15 Class TP, 5.15% 8/20/60 (g) 12,899 13,356 
Series 2010-H17 Class XP, 5.2967% 7/20/60 (d)(g) 14,591 15,078 
Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(g) 12,151 12,533 
Series 2012-64 Class KI, 3.5% 11/20/36 (j) 1,159 80 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 7.0259% 4/20/39 (d)(k) 4,633 4,877 
Class ST, 8.800% - 1 month U.S. LIBOR 7.1593% 8/20/39 (d)(k) 10,741 11,534 
Series 2013-H07 Class JA, 1.75% 3/20/63 (g) 26,125 26,053 
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) 14,283 14,395 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (g) 41,546 41,831 
Class JA, 2.5% 6/20/65 (g) 4,839 4,875 
Series 2015-H30 Class HA, 1.75% 9/20/62 (d)(g) 41,942 41,857 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (d)(e)(g) 25,196 25,362 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.57% 8/20/66 (d)(e)(g) 22,540 22,592 
Series 2090-118 Class XZ, 5% 12/20/39 14,092 16,208 
  752,270 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $752,295)  752,270 
Commercial Mortgage Securities - 4.1%   
Freddie Mac:   
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 3,740 3,985 
sequential payer:   
Series K009 Class A2, 3.808% 8/25/20 5,591 5,889 
Series K034 Class A1, 2.669% 2/25/23 11,850 12,075 
Series K709 Class A2, 2.086% 3/25/19 17,210 17,310 
Series K710 Class A2, 1.883% 5/25/19 16,814 16,875 
Series K713 Class A2, 2.313% 3/25/20 5,437 5,505 
Series K717 Class A2, 2.991% 9/25/21 12,968 13,490 
Series K032 Class A1, 3.016% 2/25/23 20,015 20,599 
Series K504 Class A2, 2.566% 9/25/20 3,629 3,699 
Series K704 Class A2, 2.412% 8/25/18 4,832 4,852 
Series K706 Class A2, 2.323% 10/25/18 9,474 9,532 
Series K724 Class A1, 2.776% 3/25/23 16,089 16,580 
Series K726 Class A1, 2.596% 7/25/49 4,875 4,981 
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5522% 2/25/20 (d)(e) 43,722 43,819 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $178,607)  179,191 
Foreign Government and Government Agency Obligations - 3.9%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 72,266 86,445 
5.5% 12/4/23 48 58 
5.5% 4/26/24 6,065 7,325 
Jordanian Kingdom:   
2.503% 10/30/20 19,881 20,443 
3% 6/30/25 19,267 20,269 
Ukraine Government 1.471% 9/29/21 34,809 34,374 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $155,889)  168,914 
 Shares Value (000s) 
Fixed-Income Funds - 21.5%   
Fidelity Mortgage Backed Securities Central Fund (l)   
(Cost $899,702) 8,632,953 939,005 
Money Market Funds - 0.2%   
Fidelity Cash Central Fund, 1.11% (m)   
(Cost $6,876) 6,874,372 6,876 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 1.960% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2024 11/30/17 15,000 $120 
Call Options - 0.0%    
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 1.960% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2024 11/30/17 15,000 120 
TOTAL PURCHASED SWAPTIONS    
(Cost $240)   240 
TOTAL INVESTMENT IN SECURITIES - 99.9%    
(Cost $4,283,554)   4,361,292 
NET OTHER ASSETS (LIABILITIES) - 0.1%   3,992 
NET ASSETS - 100%   $4,365,284 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3.5% 9/1/47   
(Proceeds $100,767) $(98,100) $(101,639) 

Futures Contracts      
 Number of contracts Expiration Date Notional amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 625 Dec. 2017 $79,365 $214 $214 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 755 Dec. 2017 163,316 (1) (1) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 350 Dec. 2017 41,475 (9) (9) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 238 Dec. 2017 37,150 350 350 
TOTAL FUTURES CONTRACTS     $554 

The notional amount of futures purchased as a percentage of Net Assets is 7.4%

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount (000s)(1) Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps          
2.5% Semi - annual 3-month LIBOR(3) Quarterly CME Sep. 2047 $1,200 $16 $0 $16 

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

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

 (3) Represents floating rate.


Legend

 (a) 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 $1,905,000.

 (b) 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 $104,000.

 (c) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $809,000.

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

 (e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

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

 (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.

 (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 $27,472,000 or 0.6% of net assets.

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

 (j) 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.

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

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

 (m) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.


Affiliated Central Funds

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

Fund Income earned 
 (Amounts in thousands) 
Fidelity Cash Central Fund $254 
Fidelity Mortgage Backed Securities Central Fund 29,169 
Total $29,423 

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 Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,224,994 $31,257 $293,900 $1,393 $(24,739) $939,005 14.0% 
Total $1,224,994 $31,257 $293,900 $1,393 $(24,739) $939,005  

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government and Government Agency Obligations $2,073,196 $-- $2,073,196 $-- 
U.S. Government Agency - Mortgage Securities 158,028 -- 158,028 -- 
Asset-Backed Securities 83,572 -- 83,572 -- 
Collateralized Mortgage Obligations 752,270 -- 752,270 -- 
Commercial Mortgage Securities 179,191 -- 179,191 -- 
Foreign Government and Government Agency Obligations 168,914 -- 168,914 -- 
Fixed-Income Funds 939,005 939,005 -- -- 
Money Market Funds 6,876 6,876 -- -- 
Purchased Swaptions 240 -- 240 -- 
Total Investments in Securities: $4,361,292 $945,881 $3,415,411 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $564 $564 $-- $-- 
Swaps 16 -- 16 -- 
Total Assets $580 $564 $16 $-- 
Liabilities     
Futures Contracts $(10) $(10) $-- $-- 
Total Liabilities $(10) $(10) $-- $-- 
Total Derivative Instruments: $570 $554 $16 $-- 
Other Financial Instruments:     
TBA Sale Commitments $(101,639) $-- $(101,639) $-- 
Total Other Financial Instruments: $(101,639) $-- $(101,639) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
(Amounts in thousands)   
Interest Rate Risk   
Futures Contracts(a) $564 $(10) 
Purchased Swaptions(b) 240 0 
Swaps(c) 16 0 
Total Interest Rate Risk 820 (10) 
Total Value of Derivatives $820 $(10) 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).

 (b) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.

 (c) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).


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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2017 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $3,376,976) 		$3,415,411  
Fidelity Central Funds (cost $906,578) 945,881  
Total Investment in Securities (cost $4,283,554)  $4,361,292 
Cash  19,434 
Receivable for investments sold  151,697 
Receivable for TBA sale commitments  100,767 
Receivable for fund shares sold  2,242 
Interest receivable  12,509 
Distributions receivable from Fidelity Central Funds  21 
Receivable for daily variation margin on futures contracts  214 
Receivable for daily variation margin on centrally cleared OTC swaps  6 
Other receivables  61 
Total assets  4,648,243 
Liabilities   
Payable for investments purchased   
Regular delivery $150,321  
Delayed delivery 5,527  
TBA sale commitments, at value 101,639  
Payable for fund shares redeemed 3,966  
Distributions payable 246  
Accrued management fee 1,120  
Distribution and service plan fees payable 129  
Other affiliated payables 559  
Other payables and accrued expenses 60  
Collateral on securities loaned 19,392  
Total liabilities  282,959 
Net Assets  $4,365,284 
Net Assets consist of:   
Paid in capital  $4,358,602 
Distributions in excess of net investment income  (7,544) 
Accumulated undistributed net realized gain (loss) on investments  (63,210) 
Net unrealized appreciation (depreciation) on investments  77,436 
Net Assets  $4,365,284 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($174,194 ÷ 16,810 shares)  $10.36 
Maximum offering price per share (100/96.00 of $10.36)  $10.79 
Class M:   
Net Asset Value and redemption price per share ($156,513 ÷ 15,106 shares)  $10.36 
Maximum offering price per share (100/96.00 of $10.36)  $10.79 
Class C:   
Net Asset Value and offering price per share ($71,524 ÷ 6,904 shares)(a)  $10.36 
Government Income:   
Net Asset Value, offering price and redemption price per share ($3,467,149 ÷ 335,131 shares)  $10.35 
Class I:   
Net Asset Value, offering price and redemption price per share ($495,904 ÷ 47,860 shares)  $10.36 

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


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


Statement of Operations

Amounts in thousands  Year ended August 31, 2017 
Investment Income   
Interest  $70,135 
Income from Fidelity Central Funds  29,423 
Total income  99,558 
Expenses   
Management fee $13,933  
Transfer agent fees 5,032  
Distribution and service plan fees 1,772  
Fund wide operations fee 1,837  
Independent trustees' fees and expenses 18  
Miscellaneous 16  
Total expenses before reductions 22,608  
Expense reductions (11) 22,597 
Net investment income (loss)  76,961 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (1,059)  
Fidelity Central Funds 1,395  
Futures contracts 661  
Swaps (1,365)  
Capital gain distributions from Fidelity Central Funds 2,091  
Total net realized gain (loss)  1,723 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (89,641)  
Fidelity Central Funds (24,739)  
Futures contracts 566  
Swaps (449)  
Delayed delivery commitments (904)  
Total change in net unrealized appreciation (depreciation)  (115,167) 
Net gain (loss)  (113,444) 
Net increase (decrease) in net assets resulting from operations  $(36,483) 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $76,961 $71,092 
Net realized gain (loss) 1,723 16,993 
Change in net unrealized appreciation (depreciation) (115,167) 104,347 
Net increase (decrease) in net assets resulting from operations (36,483) 192,432 
Distributions to shareholders from net investment income (74,479) (77,548) 
Distributions to shareholders from net realized gain (34,956) (39,904) 
Total distributions (109,435) (117,452) 
Share transactions - net increase (decrease) (430,132) 502,872 
Total increase (decrease) in net assets (576,050) 577,852 
Net Assets   
Beginning of period 4,941,334 4,363,482 
End of period $4,365,284 $4,941,334 
Other Information   
Distributions in excess of net investment income end of period $(7,544) $(8,402) 

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


Financial Highlights — Fidelity Government Income Fund Class A

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.97 
Income from Investment Operations      
Net investment income (loss)A .149 .135 .126 .138 .105 
Net realized and unrealized gain (loss) (.230) .270 .048 .278 (.454) 
Total from investment operations (.081) .405 .174 .416 (.349) 
Distributions from net investment income (.143) (.150) (.116) (.139) (.099) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.219) (.245) (.144) (.146) (.421) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB,C (.73)% 3.92% 1.67% 4.10% (3.29)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .77% .76% .77% .77% .77% 
Expenses net of fee waivers, if any .77% .76% .77% .77% .77% 
Expenses net of all reductions .77% .76% .77% .77% .77% 
Net investment income (loss) 1.44% 1.28% 1.20% 1.34% .99% 
Supplemental Data      
Net assets, end of period (in millions) $174 $261 $222 $246 $291 
Portfolio turnover rateF 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

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

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

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


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


Financial Highlights — Fidelity Government Income Fund Class M

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.97 
Income from Investment Operations      
Net investment income (loss)A .149 .135 .127 .140 .107 
Net realized and unrealized gain (loss) (.229) .270 .048 .277 (.454) 
Total from investment operations (.080) .405 .175 .417 (.347) 
Distributions from net investment income (.144) (.150) (.117) (.140) (.101) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.220) (.245) (.145) (.147) (.423) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB,C (.73)% 3.92% 1.68% 4.12% (3.27)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .76% .76% .76% .76% .75% 
Expenses net of fee waivers, if any .76% .76% .76% .76% .75% 
Expenses net of all reductions .76% .76% .76% .76% .75% 
Net investment income (loss) 1.44% 1.28% 1.20% 1.36% 1.01% 
Supplemental Data      
Net assets, end of period (in millions) $157 $197 $181 $196 $228 
Portfolio turnover rateF 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

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

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

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


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


Financial Highlights — Fidelity Government Income Fund Class C

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.96 
Income from Investment Operations      
Net investment income (loss)A .069 .053 .044 .059 .025 
Net realized and unrealized gain (loss) (.229) .270 .048 .278 (.443) 
Total from investment operations (.160) .323 .092 .337 (.418) 
Distributions from net investment income (.064) (.068) (.034) (.060) (.020) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.140) (.163) (.062) (.067) (.342) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB,C (1.49)% 3.12% .88% 3.32% (3.93)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions 1.54% 1.54% 1.55% 1.54% 1.52% 
Expenses net of fee waivers, if any 1.54% 1.54% 1.55% 1.54% 1.52% 
Expenses net of all reductions 1.54% 1.54% 1.55% 1.54% 1.52% 
Net investment income (loss) .67% .50% .42% .57% .24% 
Supplemental Data      
Net assets, end of period (in millions) $72 $94 $54 $58 $73 
Portfolio turnover rateF 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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


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


Financial Highlights — Fidelity Government Income Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.65 $10.48 $10.45 $10.18 $10.95 
Income from Investment Operations      
Net investment income (loss)A .181 .167 .159 .171 .138 
Net realized and unrealized gain (loss) (.229) .281 .048 .278 (.453) 
Total from investment operations (.048) .448 .207 .449 (.315) 
Distributions from net investment income (.176) (.183) (.149) (.172) (.133) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.252) (.278) (.177) (.179) (.455) 
Net asset value, end of period $10.35 $10.65 $10.48 $10.45 $10.18 
Total ReturnB (.42)% 4.35% 1.99% 4.45% (2.99)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45% .45% .45% .45% .45% 
Expenses net of all reductions .45% .45% .45% .45% .45% 
Net investment income (loss) 1.76% 1.59% 1.51% 1.66% 1.31% 
Supplemental Data      
Net assets, end of period (in millions) $3,467 $3,896 $3,489 $3,157 $3,412 
Portfolio turnover rateE 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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


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


Financial Highlights — Fidelity Government Income Fund Class I

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.66 $10.50 $10.47 $10.20 $10.97 
Income from Investment Operations      
Net investment income (loss)A .177 .162 .154 .166 .133 
Net realized and unrealized gain (loss) (.230) .271 .048 .277 (.454) 
Total from investment operations (.053) .433 .202 .443 (.321) 
Distributions from net investment income (.171) (.178) (.144) (.166) (.127) 
Distributions from net realized gain (.076) (.095) (.028) (.007) (.322) 
Total distributions (.247) (.273) (.172) (.173) (.449) 
Net asset value, end of period $10.36 $10.66 $10.50 $10.47 $10.20 
Total ReturnB (.46)% 4.19% 1.94% 4.38% (3.03)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .49% .50% .50% .51% .51% 
Expenses net of fee waivers, if any .49% .50% .50% .51% .51% 
Expenses net of all reductions .49% .50% .50% .51% .51% 
Net investment income (loss) 1.71% 1.54% 1.46% 1.61% 1.26% 
Supplemental Data      
Net assets, end of period (in millions) $496 $494 $412 $298 $296 
Portfolio turnover rateE 157% 93% 83% 131% 192% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2017
(Amounts in thousands except percentages)

1. Organization.

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

After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Mortgage Backed Securities Central Fund FIMM Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Futures
Swap Agreements
 		Less than .005% 

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


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

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2017, is included at the end of the Fund's Schedule of Investments.

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

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to the short-term gain distributions from the Fidelity Central Funds, futures contracts, swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $48,233 
Gross unrealized depreciation (25,833) 
Net unrealized appreciation (depreciation) $22,400 
Tax Cost $4,338,034 

The tax-based components of distributable earnings as of period end were as follows:

Net unrealized appreciation (depreciation) on securities and other investments $22,400 

The Fund intends to elect to defer to its next fiscal year $14,932 of capital losses recognized during the period November 1, 2016 to August 31, 2017.

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $ 89,228 $ 96,027 
Long-term Capital Gains 20,207 21,425 
Total $ 109,435 $ 117,452 

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

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

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

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

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

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Derivative Instruments.

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

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

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

Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Interest Rate Risk   
Futures Contracts $661 $566 
Purchased Swaptions – – 
Swaps (1,365) (449) 
Totals $(704) $117 

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. 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) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

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

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $133,943 and $349,643, respectively.

6. Fees and Other Transactions with Affiliates.

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

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

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $543 $9 
Class M -% .25% 424 1 
Class C .75% .25% 805 143 
   $1,772 $153 

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

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

 Retained
by FDC 
Class A $24 
Class M 3 
Class C(a) 12 
 $39 

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


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

 Amount % of
Class-Level Average
Net Assets 
Class A $360 .17 
Class M 274 .16 
Class C 150 .19 
Government Income 3,561 .10 
Class I 687 .14 
 $5,032  

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

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

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $15 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $165.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses $11.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended August 31, 2017 Year ended August 31, 2016 
From net investment income   
Class A $3,003 $3,406 
Class M 2,353 2,723 
Class B – 26 
Class C 492 480 
Government Income 60,593 63,334 
Class I 8,038 7,579 
Total $74,479 $77,548 
From net realized gain   
Class A $1,831 $2,025 
Class M 1,339 1,660 
Class B – 49 
Class C 658 503 
Government Income 27,600 31,846 
Class I 3,528 3,821 
Total $34,956 $39,904 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended August 31, 2017 Year ended August 31, 2016 Year ended August 31, 2017 Year ended August 31, 2016 
Class A     
Shares sold 4,084 12,026 $42,226 $126,485 
Reinvestment of distributions 450 498 4,652 5,224 
Shares redeemed (12,230) (9,122) (125,628) (95,982) 
Net increase (decrease) (7,696) 3,402 $(78,750) $35,727 
Class M     
Shares sold 3,752 6,849 $38,695 $71,986 
Reinvestment of distributions 338 404 3,499 4,234 
Shares redeemed (7,416) (6,031) (76,589) (63,433) 
Net increase (decrease) (3,326) 1,222 $(34,395) $12,787 
Class B     
Shares sold – 17 $– $174 
Reinvestment of distributions – 6 – 62 
Shares redeemed – (584) – (6,152) 
Net increase (decrease) – (561) $– $(5,916) 
Class C     
Shares sold 1,245 5,790 $12,880 $60,776 
Reinvestment of distributions 102 81 1,056 844 
Shares redeemed (3,261) (2,223) (33,484) (23,431) 
Net increase (decrease) (1,914) 3,648 $(19,548) $38,189 
Government Income     
Shares sold 78,457 91,465 $805,428 $961,380 
Reinvestment of distributions 8,206 8,754 84,659 91,724 
Shares redeemed (117,437) (67,217) (1,203,566) (705,341) 
Net increase (decrease) (30,774) 33,002 $(313,479) $347,763 
Class I     
Shares sold 13,696 14,937 $140,776 $157,175 
Reinvestment of distributions 1,085 1,055 11,211 11,077 
Shares redeemed (13,214) (8,950) (135,947) (93,930) 
Net increase (decrease) 1,567 7,042 $16,040 $74,322 

12. Other.

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

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Income Fund and Shareholders of Fidelity Government Income Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Government Income Fund (a fund of Fidelity Income Fund) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Government Income Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 246 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2017 to August 31, 2017).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Class A .76%    
Actual  $1,000.00 $1,020.10 $3.87 
Hypothetical-C  $1,000.00 $1,021.37 $3.87 
Class M .76%    
Actual  $1,000.00 $1,021.10 $3.87 
Hypothetical-C  $1,000.00 $1,021.37 $3.87 
Class C 1.52%    
Actual  $1,000.00 $1,017.10 $7.73 
Hypothetical-C  $1,000.00 $1,017.54 $7.73 
Government Income .45%    
Actual  $1,000.00 $1,022.70 $2.29 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 
Class I .49%    
Actual  $1,000.00 $1,021.40 $2.50 
Hypothetical-C  $1,000.00 $1,022.74 $2.50 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Distributions (Unaudited)

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $9,453,771, or, if subsequently determined to be different, the net capital gain of such year.

A total of 34.99% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $50,080,464 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

GOV-ANN-1017
1.537760.121

Fidelity® Intermediate Government Income Fund



Annual Report

August 31, 2017



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Fidelity® Intermediate Government Income Fund 0.08% 1.04% 3.20% 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Intermediate Government Income Fund on August 31, 2007.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Intermediate Government Bond Index performed over the same period.


Period Ending Values
$13,699Fidelity® Intermediate Government Income Fund
$13,721Bloomberg Barclays U.S. Intermediate Government Bond Index

Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.

Management's Discussion of Fund Performance

Market Recap:  U.S. taxable investment-grade bonds rose slightly for the 12 months ending August 31, 2017, as yields increased markedly following the U.S. presidential election then moderated as the period progressed. The Bloomberg Barclays U.S. Aggregate Bond Index gained 0.49% for the year. Bond yields posted slight gains early in the period, prior to the U.S. election, then rallied strongly in November and December, as many investors viewed then-President-elect Donald Trump’s economic agenda as stimulative and potentially inflationary. Yields also rode the Fed’s decision in December to raise policy interest rates. Longer-term bond yields declined slightly in the first half of 2017, even though the Fed raised rates in June 2017 for the third time in as many quarters, as it became clear that changes to tax, health care and fiscal policies would take time to develop and implement. Fairly cool inflation readings also held back yields late in the period. Within the Bloomberg Barclays index, investment-grade corporate bonds led all major market segments, up 2.13%, while U.S. Treasuries returned -0.95%. Securitized sectors advanced more modestly than corporates. Outside the index, riskier, non-core fixed-income segments led the broader market, while Treasury Inflation-Protected Securities (TIPS) rose 0.46%, according to Bloomberg Barclays.

Comments from Lead Portfolio Manager Franco Castagliuolo and Co-Portfolio Manager William Irving:  For the fiscal year, the fund returned 0.08%, net of fees, about in line with the 0.09% return of the benchmark Bloomberg Barclays U.S. Intermediate Government Bond Index. We continued to execute our strategy of attempting to exploit market inefficiencies to enhance longer-term results. Our decision to invest in government agency mortgage-backed securities (MBS) – which are not in the benchmark – and underweight U.S. Treasury securities, boosted the fund’s relative performance. Other mortgage-related decisions, particularly security selection, were helpful as well. For example, our larger-than-benchmark stake in securities made up of loans with low remaining balances added value. Owning reverse-mortgage securities was a plus, while our non-benchmark holdings in commercial mortgage-backed securities issued by Freddie Mac contributed. Positioning within other areas of the government bond market also aided relative performance. We ventured beyond the government issuers that make of the bulk of this sector – Fannie Mae, Freddie Mac and the Federal Home Loan Banks – into a few higher-yielding niche segments. Specifically, we had more exposure to securities issued by the U.S. Agency for International Development. In contrast, exposure to Treasury Inflation-Protected Securities, or TIPS, detracted from the fund’s return versus the index.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Investment Summary (Unaudited)

Coupon Distribution as of August 31, 2017

 % of fund's investments % of fund's investments 6 months ago 
0.01 - 0.99% 1.5 6.2 
1 - 1.99% 51.4 40.1 
2 - 2.99% 25.5 32.5 
3 - 3.99% 5.9 5.3 
4 - 4.99% 3.1 3.7 
5 - 5.99% 8.3 8.4 
6 - 6.99% 0.8 0.7 
7 - 7.99% 0.7 0.7 
8% and above 0.0 0.0 

Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Mortgage Securities 3.8% 
   CMOs and Other Mortgage Related Securities 26.3% 
   U.S. Treasury Obligations 58.7% 
   U.S. Government Agency Obligations*** 2.6% 
   Foreign Government & Government Agency Obligations 5.0% 
   Asset-Backed Securities 2.0% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.6% 


 * Foreign investments – 5.0%

 ** Futures and Swaps – 9.2%

 *** Includes NCUA Guaranteed Notes


As of February 28, 2017*,** 
   Mortgage Securities 4.9% 
   CMOs and Other Mortgage Related Securities 26.0% 
   U.S. Treasury Obligations 60.1% 
   U.S. Government Agency Obligations*** 3.3% 
   Foreign Government & Government Agency Obligations 5.4% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.3% 


 * Foreign investments – 5.4%

 ** Futures and Swaps – 7.9%

 *** Includes NCUA Guaranteed Notes


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

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

Investments August 31, 2017

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 61.3%   
 Principal Amount (000s) Value (000s) 
U.S. Treasury Inflation-Protected Obligations - 1.5%   
U.S. Treasury Inflation-Indexed Notes 0.375% 1/15/27 8,742 8,738 
U.S. Treasury Obligations - 57.2%   
U.S. Treasury Bonds 3% 2/15/47 35 37 
U.S. Treasury Notes:   
1.125% 9/30/21 $22,860 $22,416 
1.375% 7/31/19 22,838 22,859 
1.375% 2/29/20 (a) 1,733 1,733 
1.375% 1/31/21 10,000 9,952 
1.5% 4/15/20 14,767 14,808 
1.5% 5/15/20 15,141 15,179 
1.5% 7/15/20 4,762 4,772 
1.5% 8/15/20 9,500 9,518 
1.5% 8/15/26 174 166 
1.625% 7/31/20 3,000 3,017 
1.625% 8/31/22 7,000 6,972 
1.75% 10/31/20 5,000 5,042 
1.75% 12/31/20 12,412 12,509 
1.75% 4/30/22 2,240 2,246 
1.75% 6/30/22 3,000 3,006 
1.875% 1/31/22 29,140 29,402 
1.875% 3/31/22 22,608 22,800 
1.875% 7/31/22 15,520 15,636 
1.875% 8/31/24 20,361 20,261 
2% 10/31/21 1,272 1,291 
2% 8/15/25 41,631 41,536 
2.125% 6/30/22 327 333 
2.125% 7/31/24 18,117 18,330 
2.125% 5/15/25 1,053 1,062 
2.25% 7/31/21 35,982 36,867 
2.25% 2/15/27 1,920 1,942 
2.25% 8/15/27 1,500 1,517 
2.375% 5/15/27 4,000 4,087 
  329,296 
Other Government Related - 2.6%   
National Credit Union Administration Guaranteed Notes:   
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.5789% 12/7/20 (NCUA Guaranteed) (b)(c) 607 608 
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 1.6733% 1/8/20 (NCUA Guaranteed) (b)(c) 1,457 1,459 
Series 2011-R4 Class 1A, 1 month U.S. LIBOR + 0.380% 1.6072% 3/6/20 (NCUA Guaranteed) (b)(c) 42 42 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 12,000 12,682 
  14,791 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $350,980)  352,825 
U.S. Government Agency - Mortgage Securities - 6.2%   
Fannie Mae - 4.6%   
12 month U.S. LIBOR + 1.365% 2.75% 10/1/35 (b)(c) 9 9 
12 month U.S. LIBOR + 1.415% 2.915% 11/1/33 (b)(c) 8 9 
12 month U.S. LIBOR + 1.480% 3.14% 7/1/34 (b)(c) 10 11 
12 month U.S. LIBOR + 1.495% 2.963% 1/1/35 (b)(c) 51 53 
12 month U.S. LIBOR + 1.551% 2.506% 2/1/44 (b)(c) 56 59 
12 month U.S. LIBOR + 1.553% 2.596% 5/1/44 (b)(c) 180 184 
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (b)(c) 9 10 
12 month U.S. LIBOR + 1.558% 2.458% 2/1/44 (b)(c) 71 74 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (b)(c) 11 11 
12 month U.S. LIBOR + 1.570% 2.567% 5/1/44 (b)(c) 103 106 
12 month U.S. LIBOR + 1.574% 2.646% 4/1/44 (b)(c) 256 267 
12 month U.S. LIBOR + 1.580% 2.451% 4/1/44 (b)(c) 106 110 
12 month U.S. LIBOR + 1.580% 2.575% 1/1/44 (b)(c) 115 120 
12 month U.S. LIBOR + 1.617% 3.172% 3/1/33 (b)(c) 26 27 
12 month U.S. LIBOR + 1.643% 2.815% 9/1/36 (b)(c) 14 14 
12 month U.S. LIBOR + 1.645% 3.309% 6/1/47 (b)(c) 26 28 
12 month U.S. LIBOR + 1.728% 3.314% 11/1/36 (b)(c) 63 67 
12 month U.S. LIBOR + 1.741% 3.332% 3/1/40 (b)(c) 299 317 
12 month U.S. LIBOR + 1.745% 3.374% 7/1/35 (b)(c) 12 13 
12 month U.S. LIBOR + 1.760% 3.336% 2/1/37 (b)(c) 138 146 
12 month U.S. LIBOR + 1.800% 2.759% 1/1/42 (b)(c) 256 269 
12 month U.S. LIBOR + 1.818% 2.695% 2/1/42 (b)(c) 366 384 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (b)(c) 9 10 
12 month U.S. LIBOR + 1.885% 3.633% 4/1/36 (b)(c) 73 78 
12 month U.S. LIBOR + 2.176% 3.624% 8/1/35 (b)(c) 105 111 
6 month U.S. LIBOR + 1.510% 2.854% 2/1/33 (b)(c) 5 5 
6 month U.S. LIBOR + 1.535% 2.833% 3/1/35 (b)(c) 7 7 
6 month U.S. LIBOR + 1.535% 2.884% 12/1/34 (b)(c) 13 14 
6 month U.S. LIBOR + 1.556% 2.922% 10/1/33 (b)(c) 5 5 
6 month U.S. LIBOR + 1.565% 2.845% 7/1/35 (b)(c) 6 7 
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (b)(c) 4 5 
U.S. TREASURY 1 YEAR INDEX + 2.146% 2.78% 7/1/36 (b)(c) 51 53 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (b)(c) 6 6 
U.S. TREASURY 1 YEAR INDEX + 2.295% 2.798% 10/1/33 (b)(c) 12 13 
4% 5/1/29 3,862 4,098 
4% 9/1/47 (d) 5,872 6,204 
4% 9/1/47 (d) 599 633 
4% 9/1/47 (d) 6,471 6,837 
4.5% 11/1/25 to 6/1/41 1,676 1,801 
5% 1/1/22 to 6/1/39 1,526 1,679 
5.5% 10/1/20 to 8/1/25 704 741 
6% 1/1/34 to 6/1/36 972 1,108 
6.5% 2/1/22 to 8/1/36 1,003 1,162 
  26,865 
Freddie Mac - 0.5%   
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (b)(c) 7 7 
12 month U.S. LIBOR + 1.515% 2.93% 11/1/35 (b)(c) 41 42 
12 month U.S. LIBOR + 1.600% 3.35% 7/1/35 (b)(c) 44 46 
12 month U.S. LIBOR + 1.754% 3.098% 9/1/41 (b)(c) 400 423 
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (b)(c) 15 16 
12 month U.S. LIBOR + 1.874% 3.432% 10/1/42 (b)(c) 220 230 
12 month U.S. LIBOR + 1.880% 3.03% 10/1/41 (b)(c) 322 333 
12 month U.S. LIBOR + 2.045% 3.81% 7/1/36 (b)(c) 26 28 
12 month U.S. LIBOR + 2.197% 3.537% 3/1/33 (b)(c) 1 1 
6 month U.S. LIBOR + 1.445% 2.82% 3/1/35 (b)(c) 19 19 
6 month U.S. LIBOR + 1.647% 3.025% 2/1/37 (b)(c) 18 19 
6 month U.S. LIBOR + 1.665% 3.04% 7/1/35 (b)(c) 320 331 
6 month U.S. LIBOR + 1.675% 3.05% 6/1/37 (b)(c) 12 12 
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (b)(c) 22 22 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (b)(c) 11 11 
6 month U.S. LIBOR + 1.932% 3.25% 10/1/36 (b)(c) 93 97 
6 month U.S. LIBOR + 1.976% 3.34% 10/1/35 (b)(c) 50 53 
6 month U.S. LIBOR + 2.010% 3.385% 5/1/37 (b)(c) 188 195 
6 month U.S. LIBOR + 2.010% 3.385% 5/1/37 (b)(c) 74 79 
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (b)(c) 48 50 
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (b)(c) 13 13 
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.889% 6/1/33 (b)(c) 71 74 
U.S. TREASURY 1 YEAR INDEX + 2.230% 2.996% 4/1/34 (b)(c) 236 247 
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (b)(c) 2 2 
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (b)(c) 59 62 
6% 1/1/24 200 216 
6.5% 12/1/21 52 55 
9.5% 5/1/20 to 6/1/21 6 6 
10% 11/1/18 to 3/1/21 6 6 
10.5% 1/1/21 0 0 
11% 9/1/20 0 1 
  2,696 
Ginnie Mae - 1.1%   
4.3% 8/20/61 (e) 482 489 
4.649% 2/20/62 (e) 465 480 
4.682% 2/20/62 (e) 643 659 
4.684% 1/20/62 (e) 3,742 3,837 
5.47% 8/20/59 (e) 9 9 
6% 6/15/36 807 943 
8% 12/15/23 56 62 
10.5% 12/15/17 to 10/15/21 22 23 
11% 7/20/18 to 1/20/21 4 5 
  6,507 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $35,725)  36,068 
Asset-Backed Securities - 2.0%   
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 $6,499 $6,581 
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.4872% 5/28/30 (b)(c) 656 655 
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.2062% 4/25/22 (b)(c) 236 237 
Navient Student Loan Trust Series 2017-3A:   
Class A1, 1 month U.S. LIBOR + 0.300% 1.5344% 7/26/66 (b)(c)(f) 1,778 1,778 
Class A2, 1 month U.S. LIBOR + 0.600% 1.8344% 7/26/66 (b)(c)(f) 2,013 2,022 
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 82 86 
TOTAL ASSET-BACKED SECURITIES   
(Cost $11,264)  11,359 
Collateralized Mortgage Obligations - 21.8%   
U.S. Government Agency - 21.8%   
Fannie Mae:   
floater: $ $ 
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 1.66% 4/25/24 (b)(c) 383 385 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.2144% 8/25/31 (b)(c) 79 80 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.2344% 4/25/32 (b)(c) 17 17 
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 1.6844% 11/25/32 (b)(c) 895 899 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.2344% 11/25/32 (b)(c) 35 35 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.1644% 6/25/36 (b)(c) 1,129 1,148 
planned amortization class:   
Series 1988-21 Class G, 9.5% 8/25/18 0 0 
Series 2003-28 Class KG, 5.5% 4/25/23 161 172 
Series 2005-19 Class PA, 5.5% 7/25/34 272 284 
Series 2005-27 Class NE, 5.5% 5/25/34 65 66 
Series 2005-64 Class PX, 5.5% 6/25/35 321 347 
Series 2005-68 Class CZ, 5.5% 8/25/35 837 943 
sequential payer:   
Series 2002-57 Class BD, 5.5% 9/25/17 0 0 
Series 2003-117 Class MD, 5% 12/25/23 163 172 
Series 2004-52 Class KZ, 5.5% 7/25/34 1,921 2,144 
Series 2004-91 Class Z, 5% 12/25/34 1,106 1,218 
Series 2009-59 Class HB, 5% 8/25/39 473 523 
Series 201-75 Class AL, 3.5% 8/25/26 1,561 1,643 
Series 2010-97 Class CX, 4.5% 9/25/25 1,693 1,821 
Series 2011-80:   
Class HE, 3.5% 8/25/26 548 582 
Class KB, 3.5% 8/25/26 851 898 
Series 2010-139 Class NI, 4.5% 2/25/40 (g) 773 84 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.1544% 3/25/36 (b)(c) 699 715 
Series 2011-67 Class AI, 4% 7/25/26 (g) 200 19 
Series 2016-26 Class CG, 3% 5/25/46 2,667 2,741 
Freddie Mac:   
floater:   
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 1.6267% 11/15/32 (b)(c) 149 150 
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7267% 6/15/18 (b)(c) 1 1 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1267% 2/15/33 (b)(c) 334 340 
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 1.6267% 3/15/34 (b)(c) 348 349 
planned amortization class:   
Series 2802 Class OB, 6% 5/15/34 415 455 
Series 3415 Class PC, 5% 12/15/37 129 140 
Series 3763 Class QA, 4% 4/15/34 67 68 
Series 3840 Class VA, 4.5% 9/15/27 647 666 
sequential payer:   
Series 1929 Class EZ, 7.5% 2/17/27 450 492 
Series 2004-2802 Class ZG, 5.5% 5/15/34 1,518 1,704 
Series 2004-2862 Class NE, 5% 9/15/24 2,900 3,067 
Series 2145 Class MZ, 6.5% 4/15/29 468 533 
Series 2357 Class ZB, 6.5% 9/15/31 270 312 
Series 2877 Class ZD, 5% 10/15/34 1,345 1,477 
Series 2998 Class LY, 5.5% 7/15/25 146 157 
Series 3007 Class EW, 5.5% 7/15/25 622 672 
Series 3745 Class KV, 4.5% 12/15/26 1,076 1,160 
Series 3806 Class L, 3.5% 2/15/26 1,400 1,491 
Series 3862 Class MB, 3.5% 5/15/26 908 957 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 1,093 1,149 
Series 4341 Class ML, 3.5% 11/15/31 1,432 1,502 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 1.7306% 7/20/37 (b)(c) 204 205 
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.7106% 1/20/38 (b)(c) 50 50 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.8278% 11/16/39 (b)(c) 206 208 
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 1.7578% 12/16/39 (b)(c) 157 158 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.5628% 7/20/60 (b)(c)(e) 2,315 2,299 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5239% 9/20/60 (b)(c)(e) 2,800 2,778 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5239% 8/20/60 (b)(c)(e) 3,122 3,103 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6039% 12/20/60 (b)(c)(e) 831 827 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 12/20/60 (b)(c)(e) 1,577 1,577 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 2/20/61 (b)(c)(e) 3,120 3,120 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7139% 2/20/61 (b)(c)(e) 3,510 3,510 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 4/20/61 (b)(c)(e) 1,244 1,244 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 1.7239% 5/20/61 (b)(c)(e) 1,419 1,417 
Class FC, 1 month U.S. LIBOR + 0.500% 1.7239% 5/20/61 (b)(c)(e) 1,301 1,301 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7539% 6/20/61 (b)(c)(e) 1,646 1,648 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 10/20/61 (b)(c)(e) 1,656 1,661 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 11/20/61 (b)(c)(e) 1,409 1,417 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 1/20/62 (b)(c)(e) 908 913 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 1/20/62 (b)(c)(e) 1,314 1,318 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 3/20/62 (b)(c)(e) 846 849 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8739% 5/20/61 (b)(c)(e) 561 562 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5039% 5/20/63 (b)(c)(e) 2,245 2,244 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4239% 4/20/63 (b)(c)(e) 2,213 2,211 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 1,810 2,069 
Series 2011-136 Class WI, 4.5% 5/20/40 (g) 456 53 
Series 2011-68 Class EC, 3.5% 4/20/41 946 988 
sequential payer:   
Series 2013-H06 Class HA, 1.65% 1/20/63 (e) 797 795 
Series 2014-H12 Class KA, 2.75% 5/20/64 (e) 946 958 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7239% 9/20/62 (b)(c)(e) 3,159 3,168 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8739% 11/20/65 (b)(c)(e) 833 836 
Series 2010-169 Class Z, 4.5% 12/20/40 996 1,090 
Series 2010-H15 Class TP, 5.15% 8/20/60 (e) 2,789 2,888 
Series 2010-H17 Class XP, 5.2967% 7/20/60 (b)(e) 3,088 3,191 
Series 2010-H18 Class PL, 5.01% 9/20/60 (b)(e) 2,558 2,638 
Series 2012-64 Class KI, 3.5% 11/20/36 (g) 249 17 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 7.0259% 4/20/39 (b)(h) 945 995 
Class ST, 8.800% - 1 month U.S. LIBOR 7.1593% 8/20/39 (b)(h) 2,192 2,354 
Series 2013-H04 Class BA, 1.65% 2/20/63 (e) 1,335 1,329 
Series 2013-H07 Class JA, 1.75% 3/20/63 (e) 3,630 3,620 
Series 2015-H17 Class HA, 2.5% 5/20/65 (e) 3,228 3,253 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (e) 8,989 9,050 
Class JA, 2.5% 6/20/65 (e) 819 825 
Series 2015-H30 Class HA, 1.75% 9/20/62 (b)(e) 7,013 6,999 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (b)(c)(e) 3,851 3,877 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.57% 8/20/66 (b)(c)(e) 3,549 3,557 
Series 2090-118 Class XZ, 5% 12/20/39 2,233 2,568 
  125,516 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $125,479)  125,516 
Commercial Mortgage Securities - 4.5%   
Freddie Mac:   
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 780 831 
sequential payer:   
Series K034 Class A1, 2.669% 2/25/23 2,523 2,571 
Series K709 Class A2, 2.086% 3/25/19 2,390 2,404 
Series K710 Class A2, 1.883% 5/25/19 2,438 2,447 
Series K713 Class A2, 2.313% 3/25/20 804 814 
Series K717 Class A2, 2.991% 9/25/21 670 697 
Series K032 Class A1, 3.016% 2/25/23 4,261 4,385 
Series K504 Class A2, 2.566% 9/25/20 367 374 
Series K704 Class A2, 2.412% 8/25/18 663 666 
Series K706 Class A2, 2.323% 10/25/18 1,295 1,303 
Series K724 Class A1, 2.776% 3/25/23 2,366 2,438 
Series K726 Class A1, 2.596% 7/25/49 666 680 
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5522% 2/25/20 (b)(c) 6,130 6,144 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $25,653)  25,754 
Foreign Government and Government Agency Obligations - 5.0%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 4,551 5,444 
5.5% 12/4/23 10,710 12,880 
5.5% 4/26/24 1,100 1,328 
Jordanian Kingdom:   
2.503% 10/30/20 4,169 4,287 
3% 6/30/25 3,329 3,502 
Ukraine Government 1.471% 9/29/21 1,400 1,383 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $26,887)  28,824 
 Shares Value (000s) 
Money Market Funds - 0.4%   
Fidelity Cash Central Fund, 1.11% (i)   
(Cost $2,262) 2,261,840 2,262 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 1.960% and receive quarterly a floating rate based on 3-month LIBOR, expiring December 2024 11/30/17 6,700 $54 
Call Options - 0.0%    
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 1.960% and pay quarterly a floating rate based on 3-month LIBOR, expiring December 2024 11/30/17 6,700 54 
TOTAL PURCHASED SWAPTIONS    
(Cost $108)   108 
TOTAL INVESTMENT IN SECURITIES - 101.2%    
(Cost $578,358)   582,716 
NET OTHER ASSETS (LIABILITIES) - (1.2)%   (6,969) 
NET ASSETS - 100%   $575,747 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
4% 9/1/47 $(6,471) $(6,837) 
4% 9/1/47 (6,471) (6,836) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $13,641)  $(13,673) 

Futures Contracts      
 Number of contracts Expiration Date Notional amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 214 Dec. 2017 $46,291 $0 $0 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 54 Dec. 2017 6,399 8 8 
TOTAL FUTURES CONTRACTS     $8 

The notional amount of futures purchased as a percentage of Net Assets is 9.2%

Legend

 (a) 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 $146,000.

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

 (c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

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

 (e) 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.

 (f) 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 $3,800,000 or 0.7% of net assets.

 (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) 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.

 (i) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.


Affiliated Central Funds

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

Fund Income earned 
 (Amounts in thousands) 
Fidelity Cash Central Fund $37 
Total $37 

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government and Government Agency Obligations $352,825 $-- $352,825 $-- 
U.S. Government Agency - Mortgage Securities 36,068 -- 36,068 -- 
Asset-Backed Securities 11,359 -- 11,359 -- 
Collateralized Mortgage Obligations 125,516 -- 125,516 -- 
Commercial Mortgage Securities 25,754 -- 25,754 -- 
Foreign Government and Government Agency Obligations 28,824 -- 28,824 -- 
Money Market Funds 2,262 2,262 -- -- 
Purchased Swaptions 108 -- 108 -- 
Total Investments in Securities: $582,716 $2,262 $580,454 $-- 
Derivative Instruments:     
Assets     
Futures Contracts $8 $8 $-- $-- 
Total Assets $8 $8 $-- $-- 
Liabilities     
Futures Contracts $0 $0 $-- $-- 
Total Liabilities $0 $0 $-- $-- 
Total Derivative Instruments: $8 $8 $-- $-- 
Other Financial Instruments:     
TBA Sale Commitments $(13,673) $-- $(13,673) $-- 
Total Other Financial Instruments: $(13,673) $-- $(13,673) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value (000s) 
 Asset Liability 
Interest Rate Risk   
Futures Contracts(a) $8 $0 
Purchased Swaptions(b) 108 0 
Total Interest Rate Risk 116 0 
Total Value of Derivatives $116 $0 

 (a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).

 (b) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.


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

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amount)  August 31, 2017 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $576,096) 		$580,454  
Fidelity Central Funds (cost $2,262) 2,262  
Total Investment in Securities (cost $578,358)  $582,716 
Receivable for investments sold  42,364 
Receivable for TBA sale commitments  13,641 
Receivable for fund shares sold  263 
Interest receivable  1,781 
Distributions receivable from Fidelity Central Funds  3 
Receivable for daily variation margin on futures contracts  7 
Total assets  640,775 
Liabilities   
Payable for investments purchased   
Regular delivery $36,845  
Delayed delivery 13,646  
TBA sale commitments, at value 13,673  
Payable for fund shares redeemed 591  
Distributions payable 55  
Accrued management fee 148  
Other affiliated payables 70  
Total liabilities  65,028 
Net Assets  $575,747 
Net Assets consist of:   
Paid in capital  $575,296 
Distributions in excess of net investment income  (257) 
Accumulated undistributed net realized gain (loss) on investments  (3,626) 
Net unrealized appreciation (depreciation) on investments  4,334 
Net Assets, for 54,477 shares outstanding  $575,747 
Net Asset Value, offering price and redemption price per share ($575,747 ÷ 54,477 shares)  $10.57 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2017 
Investment Income   
Interest  $11,437 
Income from Fidelity Central Funds  37 
Total income  11,474 
Expenses   
Management fee $1,955  
Transfer agent fees 633  
Fund wide operations fee 258  
Independent trustees' fees and expenses 3  
Miscellaneous 3  
Total expenses before reductions 2,852  
Expense reductions (1) 2,851 
Net investment income (loss)  8,623 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers (3,059)  
Fidelity Central Funds (1)  
Futures contracts (18)  
Total net realized gain (loss)  (3,078) 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (7,229)  
Futures contracts 33  
Delayed delivery commitments (32)  
Total change in net unrealized appreciation (depreciation)  (7,228) 
Net gain (loss)  (10,306) 
Net increase (decrease) in net assets resulting from operations  $(1,683) 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $8,623 $8,847 
Net realized gain (loss) (3,078) 6,218 
Change in net unrealized appreciation (depreciation) (7,228) 3,497 
Net increase (decrease) in net assets resulting from operations (1,683) 18,562 
Distributions to shareholders from net investment income (8,262) (9,192) 
Distributions to shareholders from net realized gain (5,795) (4,324) 
Total distributions (14,057) (13,516) 
Share transactions   
Proceeds from sales of shares 41,033 154,812 
Reinvestment of distributions 13,123 12,650 
Cost of shares redeemed (183,806) (191,359) 
Net increase (decrease) in net assets resulting from share transactions (129,650) (23,897) 
Total increase (decrease) in net assets (145,390) (18,851) 
Net Assets   
Beginning of period 721,137 739,988 
End of period $575,747 $721,137 
Other Information   
Distributions in excess of net investment income end of period $(257) $(316) 
Shares   
Sold 3,886 14,435 
Issued in reinvestment of distributions 1,240 1,181 
Redeemed (17,480) (17,853) 
Net increase (decrease) (12,354) (2,237) 

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


Financial Highlights — Fidelity Intermediate Government Income Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.79 $10.71 $10.68 $10.58 $11.09 
Income from Investment Operations      
Net investment income (loss)A .144 .130 .144 .133 .116 
Net realized and unrealized gain (loss) (.138) .148 .016 .153 (.294) 
Total from investment operations .006 .278 .160 .286 (.178) 
Distributions from net investment income (.138) (.135) (.130) (.130) (.116) 
Distributions from net realized gain (.088) (.063) – (.056) (.216) 
Total distributions (.226) (.198) (.130) (.186) (.332) 
Net asset value, end of period $10.57 $10.79 $10.71 $10.68 $10.58 
Total ReturnB .08% 2.62% 1.50% 2.72% (1.66)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45% .45% .45% .45% .45% 
Expenses net of all reductions .45% .45% .45% .45% .45% 
Net investment income (loss) 1.36% 1.21% 1.34% 1.25% 1.07% 
Supplemental Data      
Net assets, end of period (in millions) $576 $721 $740 $823 $916 
Portfolio turnover rateE 149% 117% 71% 153% 179% 

 A Calculated based on average shares outstanding during the period.

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

 C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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


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


Notes to Financial Statements

For the period ended August 31, 2017
(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. 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. 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using vendor or 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 (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2017 is included at the end of the Fund's Schedule of Investments.

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to futures contracts, market discount, deferred trustees compensation and losses deferred due to wash sales, futures contracts and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $5,421 
Gross unrealized depreciation (1,451) 
Net unrealized appreciation (depreciation) $3,970 
Tax Cost $578,715 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income $97 
Net unrealized appreciation (depreciation) on securities and other investments $3,970 

The Fund intends to elect to defer to its next fiscal year $3,614 of capital losses recognized during the period November 1, 2016 to August 31, 2017.

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $9,242 $ 10,433 
Long-term Capital Gains 4,815 3,083 
Total $14,057 $ 13,516 

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

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

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

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

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

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Derivative Instruments.

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

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

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

Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Interest Rate Risk   
Futures Contracts $(18) $33 
Purchased Options – – 
Totals $(18) $33 

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $11,311 and $9,789, respectively.

6. Fees and Other Transactions with Affiliates.

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

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

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

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

7. Committed Line of Credit.

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

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $7.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1.

10. Other.

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

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Income Fund and Shareholders of Fidelity Intermediate Government Income Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Intermediate Government Income Fund (a fund of Fidelity Income Fund) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Intermediate Government Income Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 17, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 246 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2017 to August 31, 2017).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Actual .45% $1,000.00 $1,016.60 $2.29 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 

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

 B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 C 5% return per year before expenses


Distributions (Unaudited)

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $204,997, or, if subsequently determined to be different, the net capital gain of such year.

A total of 48.31% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $5,262,209 of distributions paid during the period September 1, 2016 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

SLM-ANN-1017
1.844593.112



Fidelity Flex℠ Funds

Fidelity Flex℠ Core Bond Fund



Annual Report

August 31, 2017



Fidelity Investments


Contents

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Investment Summary (Unaudited)

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

Quality Diversification (% of fund's net assets)

As of August 31, 2017 
   U.S. Government and U.S. Government Agency Obligations 55.6% 
   AA 0.5% 
   A 5.1% 
   BBB 17.6% 
   BB and Below 15.8% 
   Not Rated 0.2% 
   Short-Term Investments and Net Other Assets 5.2% 


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

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Corporate Bonds 32.2% 
   U.S. Government and U.S. Government Agency Obligations 55.6% 
   CMOs and Other Mortgage Related Securities 0.5% 
   Municipal Bonds 1.2% 
   Other Investments 5.3% 
   Short-Term Investments and Net Other Assets (Liabilities) 5.2% 


 * Foreign investments - 7.6%

 ** Futures and Swaps - 0.3%


An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

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

Investments August 31, 2017

Showing Percentage of Net Assets

Nonconvertible Bonds - 26.3%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 2.2%   
Automobiles - 0.8%   
General Motors Financial Co., Inc. 4.375% 9/25/21 $200,000 $212,074 
Media - 1.4%   
21st Century Fox America, Inc. 7.75% 12/1/45 20,000 30,410 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.908% 7/23/25 45,000 48,209 
5.375% 5/1/47 (a) 30,000 30,625 
Comcast Corp. 6.45% 3/15/37 15,000 19,799 
Time Warner Cable, Inc.:   
4% 9/1/21 80,000 83,357 
7.3% 7/1/38 120,000 147,932 
Time Warner, Inc. 6.2% 3/15/40 40,000 47,198 
  407,530 
TOTAL CONSUMER DISCRETIONARY  619,604 
CONSUMER STAPLES - 1.0%   
Beverages - 0.6%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 45,000 45,846 
4.7% 2/1/36 125,000 138,577 
  184,423 
Tobacco - 0.4%   
Reynolds American, Inc. 7.25% 6/15/37 75,000 103,067 
TOTAL CONSUMER STAPLES  287,490 
ENERGY - 5.3%   
Oil, Gas & Consumable Fuels - 5.3%   
Anadarko Finance Co. 7.5% 5/1/31 40,000 50,249 
Anadarko Petroleum Corp.:   
5.55% 3/15/26 40,000 44,650 
6.6% 3/15/46 30,000 36,293 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 25,000 25,639 
5.85% 2/1/35 25,000 27,905 
Cenovus Energy, Inc. 4.25% 4/15/27 (a) 24,000 23,167 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 26,851 
5.8% 6/1/45 10,000 12,167 
DCP Midstream LLC 5.85% 5/21/43 (a)(b) 20,000 18,550 
DCP Midstream Operating LP 3.875% 3/15/23 20,000 19,475 
Enbridge, Inc.:   
4.25% 12/1/26 25,000 26,331 
5.5% 12/1/46 25,000 28,675 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 20,846 
Kinder Morgan Energy Partners LP 6.55% 9/15/40 65,000 75,586 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 37,969 
Petrobras Global Finance BV:   
5.625% 5/20/43 50,000 43,850 
6.125% 1/17/22 145,000 153,700 
7.25% 3/17/44 50,000 51,500 
7.375% 1/17/27 60,000 66,314 
Petroleos Mexicanos:   
4.625% 9/21/23 330,000 343,530 
6.5% 3/13/27 (a) 20,000 22,400 
6.75% 9/21/47 100,000 107,510 
6.75% 9/21/47 (a) 20,000 21,502 
The Williams Companies, Inc.:   
4.55% 6/24/24 70,000 71,575 
5.75% 6/24/44 35,000 36,313 
Western Gas Partners LP 4.65% 7/1/26 35,000 36,398 
Williams Partners LP 4.3% 3/4/24 100,000 106,006 
  1,534,951 
FINANCIALS - 11.5%   
Banks - 5.9%   
Bank of America Corp.:   
3.5% 4/19/26 160,000 162,950 
3.705% 4/24/28 (b) 29,000 29,669 
5.65% 5/1/18 110,000 112,761 
5.875% 1/5/21 60,000 66,947 
Barclays PLC 4.375% 1/12/26 200,000 210,289 
Citigroup, Inc.:   
1.8% 2/5/18 100,000 100,064 
2.4% 2/18/20 85,000 85,770 
2.876% 7/24/23 (b) 43,000 43,249 
4.4% 6/10/25 70,000 74,024 
Credit Suisse Group Funding Guernsey Ltd. 3.8% 6/9/23 250,000 260,674 
JPMorgan Chase & Co.:   
2.35% 1/28/19 35,000 35,341 
2.95% 10/1/26 135,000 132,931 
4.35% 8/15/21 125,000 134,707 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 165,000 174,046 
6.125% 12/15/22 80,000 88,100 
  1,711,522 
Capital Markets - 3.6%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 22,000 23,371 
Deutsche Bank AG London Branch 4.1% 1/13/26 100,000 103,868 
Goldman Sachs Group, Inc.:   
2.625% 1/31/19 170,000 171,756 
2.625% 4/25/21 35,000 35,239 
3.691% 6/5/28 (b) 170,000 172,940 
3.75% 5/22/25 50,000 51,580 
Moody's Corp.:   
3.25% 1/15/28 (a) 10,000 10,081 
4.875% 2/15/24 9,000 10,038 
Morgan Stanley:   
3.125% 7/27/26 171,000 168,778 
5.625% 9/23/19 100,000 107,178 
5.75% 1/25/21 150,000 166,652 
  1,021,481 
Consumer Finance - 0.9%   
Capital One Financial Corp. 2.5% 5/12/20 125,000 126,131 
Discover Financial Services:   
3.95% 11/6/24 80,000 82,676 
4.1% 2/9/27 50,000 51,219 
  260,026 
Diversified Financial Services - 0.3%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 35,000 34,950 
3.85% 2/1/25 40,000 40,068 
Voya Financial, Inc. 3.125% 7/15/24 12,000 11,970 
  86,988 
Insurance - 0.8%   
Pacific LifeCorp 5.125% 1/30/43 (a) 50,000 56,077 
Pricoa Global Funding I 5.375% 5/15/45 (b) 45,000 48,263 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 85,112 
Unum Group 3.875% 11/5/25 50,000 51,959 
  241,411 
TOTAL FINANCIALS  3,321,428 
HEALTH CARE - 1.1%   
Biotechnology - 0.1%   
AbbVie, Inc. 4.5% 5/14/35 25,000 26,743 
Health Care Providers & Services - 0.2%   
HCA Holdings, Inc. 6.5% 2/15/20 50,000 54,449 
Pharmaceuticals - 0.8%   
Actavis Funding SCS 3.45% 3/15/22 40,000 41,558 
Mylan N.V.:   
3.15% 6/15/21 50,000 50,711 
3.95% 6/15/26 20,000 20,375 
Teva Pharmaceutical Finance Netherlands III BV:   
2.8% 7/21/23 55,000 51,833 
3.15% 10/1/26 65,000 59,479 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,593 
  239,549 
TOTAL HEALTH CARE  320,741 
INDUSTRIALS - 0.2%   
Aerospace & Defense - 0.2%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 40,000 42,246 
REAL ESTATE - 3.0%   
Equity Real Estate Investment Trusts (REITs) - 1.8%   
Corporate Office Properties LP 5.25% 2/15/24 157,000 170,608 
DDR Corp.:   
3.9% 8/15/24 4,000 4,049 
4.625% 7/15/22 65,000 68,809 
Duke Realty LP 3.625% 4/15/23 50,000 51,986 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 165,000 172,360 
4.5% 1/15/25 6,000 6,169 
4.75% 1/15/28 27,000 27,489 
WP Carey, Inc. 4% 2/1/25 28,000 28,622 
  530,092 
Real Estate Management & Development - 1.2%   
Brandywine Operating Partnership LP 3.95% 2/15/23 100,000 102,293 
Digital Realty Trust LP:   
4.75% 10/1/25 45,000 49,068 
5.25% 3/15/21 30,000 32,751 
Liberty Property LP 4.4% 2/15/24 40,000 43,067 
Mack-Cali Realty LP 3.15% 5/15/23 50,000 47,717 
Ventas Realty LP 3.5% 2/1/25 65,000 66,008 
  340,904 
TOTAL REAL ESTATE  870,996 
TELECOMMUNICATION SERVICES - 1.2%   
Diversified Telecommunication Services - 1.2%   
AT&T, Inc.:   
3.6% 2/17/23 100,000 103,041 
6.3% 1/15/38 50,000 58,702 
Verizon Communications, Inc.:   
4.5% 9/15/20 50,000 53,635 
5.012% 4/15/49 30,000 30,128 
5.012% 8/21/54 85,000 83,570 
5.5% 3/16/47 11,000 11,887 
  340,963 
UTILITIES - 0.8%   
Electric Utilities - 0.6%   
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 47,752 
7.375% 11/15/31 85,000 114,716 
IPALCO Enterprises, Inc. 3.7% 9/1/24 (a) 10,000 10,086 
  172,554 
Independent Power and Renewable Electricity Producers - 0.2%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 50,000 54,375 
TOTAL UTILITIES  226,929 
TOTAL NONCONVERTIBLE BONDS   
(Cost $7,391,242)  7,565,348 
U.S. Government and Government Agency Obligations - 38.0%   
U.S. Treasury Inflation-Protected Obligations - 6.4%   
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47 507,380 508,280 
U.S. Treasury Inflation-Indexed Notes 0.375% 1/15/27 1,343,630 1,342,910 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  1,851,190 
U.S. Treasury Obligations - 31.6%   
U.S. Treasury Bonds:   
3% 2/15/47 $947,000 $999,307 
3% 5/15/47 100,000 105,574 
U.S. Treasury Notes:   
1.125% 2/28/19 1,211,000 1,208,067 
1.875% 3/31/22 6,166,000 6,218,260 
2.25% 2/15/27 561,000 567,311 
TOTAL U.S. TREASURY OBLIGATIONS  9,098,519 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $10,826,986)  10,949,709 
Commercial Mortgage Securities - 0.5%   
GAHR Commercial Mortgage Trust Series 2015-NRF Class DFX, 3.3822% 12/15/34 (a)(b) $125,000 $126,713 
MSCG Trust Series 2016-SNR Class C, 5.205% 11/15/34 (a) 25,000 25,799 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $152,221)  152,512 
Municipal Securities - 1.2%   
California Gen. Oblig. Series 2009, 7.35% 11/1/39 90,000 134,340 
Illinois Gen. Oblig.:   
Series 2003, 5.1% 6/1/33 $125,000 $125,594 
Series 2010-3, 5.547% 4/1/19 70,000 72,427 
TOTAL MUNICIPAL SECURITIES   
(Cost $313,226)  332,361 
Foreign Government and Government Agency Obligations - 0.4%   
Dominican Republic 5.95% 1/25/27(a) $ $ 
(Cost $106,278) 100,000 $108,500 
 Shares Value 
Fixed-Income Funds - 27.9%   
Fidelity Floating Rate Central Fund (c) 12,065 1,244,345 
Fidelity Mortgage Backed Securities Central Fund (c) 43,811 4,765,339 
Fidelity Specialized High Income Central Fund (c) 19,448 2,034,874 
TOTAL FIXED-INCOME FUNDS   
(Cost $7,963,472)  8,044,558 
Money Market Funds - 4.7%   
Fidelity Cash Central Fund, 1.11% (d)   
(Cost $1,355,873) 1,355,602 1,355,873 
TOTAL INVESTMENT IN SECURITIES - 99.0%   
(Cost $28,109,298)  28,508,861 
NET OTHER ASSETS (LIABILITIES) - 1.0%  293,828 
NET ASSETS - 100%  $28,802,689 

Legend

 (a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $580,858 or 2.0% of net assets.

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

 (c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

 (d) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.


Affiliated Central Funds

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

Fund Income earned 
Fidelity Cash Central Fund $7,792 
Fidelity Floating Rate Central Fund 29,880 
Fidelity Mortgage Backed Securities Central Fund 58,089 
Fidelity Specialized High Income Central Fund 50,658 
Total $146,419 

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 Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Floating Rate Central Fund $-- $1,255,278 $-- $-- $(10,933) $1,244,345 0.1% 
Fidelity Mortgage Backed Securities Central Fund -- 4,699,463 -- -- 65,876 4,765,339 0.1% 
Fidelity Specialized High Income Central Fund -- 2,008,731 -- -- 26,143 2,034,874 0.3% 
Total $-- $7,963,472 $-- $-- $81,086 $8,044,558  

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Corporate Bonds $7,565,348 $-- $7,565,348 $-- 
U.S. Government and Government Agency Obligations 10,949,709 -- 10,949,709 -- 
Commercial Mortgage Securities 152,512 -- 152,512 -- 
Municipal Securities 332,361 -- 332,361 -- 
Foreign Government and Government Agency Obligations 108,500 -- 108,500 -- 
Fixed-Income Funds 8,044,558 8,044,558 -- -- 
Money Market Funds 1,355,873 1,355,873 -- -- 
Total Investments in Securities: $28,508,861 $9,400,431 $19,108,430 $-- 

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


Financial Statements

Statement of Assets and Liabilities

  August 31, 2017 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $18,789,953) 		$19,108,430  
Fidelity Central Funds (cost $9,319,345) 9,400,431  
Total Investment in Securities (cost $28,109,298)  $28,508,861 
Cash  152,139 
Receivable for fund shares sold  497 
Interest receivable  139,952 
Distributions receivable from Fidelity Central Funds  1,240 
Total assets  28,802,689 
Net Assets  $28,802,689 
Net Assets consist of:   
Paid in capital  $28,238,993 
Undistributed net investment income  28,153 
Accumulated undistributed net realized gain (loss) on investments  135,980 
Net unrealized appreciation (depreciation) on investments  399,563 
Net Assets, for 2,819,266 shares outstanding  $28,802,689 
Net Asset Value, offering price and redemption price per share ($28,802,689 ÷ 2,819,266 shares)  $10.22 

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


Statement of Operations

  For the period
March 7, 2017 (commencement of operations) to
August 31, 2017 
Investment Income   
Interest  $228,290 
Income from Fidelity Central Funds  146,419 
Total income  374,709 
Expenses   
Independent trustees' fees and expenses $38  
Miscellaneous 25  
Total expenses before reductions 63  
Expense reductions (1) 62 
Net investment income (loss)  374,647 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 134,165  
Total net realized gain (loss)  134,165 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 318,477  
Fidelity Central Funds 81,086  
Total change in net unrealized appreciation (depreciation)  399,563 
Net gain (loss)  533,728 
Net increase (decrease) in net assets resulting from operations  $908,375 

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


Statement of Changes in Net Assets

 For the period
March 7, 2017 (commencement of operations) to
August 31, 2017 
Increase (Decrease) in Net Assets  
Operations  
Net investment income (loss) $374,647 
Net realized gain (loss) 134,165 
Change in net unrealized appreciation (depreciation) 399,563 
Net increase (decrease) in net assets resulting from operations 908,375 
Distributions to shareholders from net investment income (344,679) 
Share transactions  
Proceeds from sales of shares 27,990,779 
Reinvestment of distributions 344,679 
Cost of shares redeemed (96,465) 
Net increase (decrease) in net assets resulting from share transactions 28,238,993 
Total increase (decrease) in net assets 28,802,689 
Net Assets  
Beginning of period – 
End of period $28,802,689 
Other Information  
Undistributed net investment income end of period $28,153 
Shares  
Sold 2,794,789 
Issued in reinvestment of distributions 33,972 
Redeemed (9,495) 
Net increase (decrease) 2,819,266 

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


Financial Highlights — Fidelity Flex Core Bond Fund

Years ended August 31, 2017 A 
Selected Per–Share Data  
Net asset value, beginning of period $10.00 
Income from Investment Operations  
Net investment income (loss)B .145 
Net realized and unrealized gain (loss) .209 
Total from investment operations .354 
Distributions from net investment income (.134) 
Total distributions (.134) 
Net asset value, end of period $10.22 
Total ReturnC,D 3.55% 
Ratios to Average Net AssetsE,F  
Expenses before reductions - %G,H 
Expenses net of fee waivers, if any - %G,H 
Expenses net of all reductions - %G,H 
Net investment income (loss) 2.94%G 
Supplemental Data  
Net assets, end of period (000 omitted) $28,803 
Portfolio turnover rateI 60%J 

 A For the period March 7, 2017 (commencement of operations) to August 31, 2017.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005% to .05% .

 F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

 G Annualized

 H Amount represents less than .005%.

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

 J Amount not annualized.


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


Notes to Financial Statements

For the period ended August 31, 2017

1. Organization.

Fidelity Flex Core Bond Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between affiliated funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund is available only to certain fee-based accounts offered by Fidelity.

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity Floating Rate Central Fund FMR Co., Inc. (FMRC) Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. Loans & Direct Debt Instruments
Restricted Securities
 		.05% 
Fidelity Mortgage Backed Securities Central Fund FIMM Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Futures
Swaps 		Less than .005% 
Fidelity Specialized High Income Central Fund FMRC Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities
 		Less than .005% 

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


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

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Commercial mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2017 is included at the end of the Fund's Schedule of Investments.

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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

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

Book-tax differences are primarily due to market discount.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $421,411 
Gross unrealized depreciation (17,985) 
Net unrealized appreciation (depreciation) $403,426 
Tax Cost $28,105,435 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income $160,270 
Net unrealized appreciation (depreciation) on securities and other investments $403,426 

The tax character of distributions paid was as follows:

 August 31, 2017(a) 
Ordinary Income $344,679 

 (a) For the period March 7, 2017 (commencement of operations) to August 31, 2017.


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

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $15,900,278 and $58,138, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

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

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $25 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1.

8. Other.

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

At the end of the period, the investment advisor or its affiliates were the owners of record of 90% of the total outstanding shares of the Fund.

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Income Fund and Shareholders of Fidelity Flex Core Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Flex Core Bond Fund (a fund of Fidelity Income Fund) as of August 31, 2017, and the results of its operations, the changes in its net assets, and the financial highlights for the period March 7, 2017 (commencement of operations) through August 31, 2017, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Flex Core Bond Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 18, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 246 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5092.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

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

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 7, 2017 to August 31, 2017). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (March 1, 2017 to August 31, 2017).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

 Annualized Expense Ratio-A Beginning
Account Value 		Ending
Account Value 		Expenses Paid
During PeriodB 
Actual - %C $1,000.00 $1,035.50 $-D 
Hypothetical-E  $1,000.00 $1,025.21 $-F 

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

 B The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year ranged from less than .005% to .05%.

 C Amount represents less than .005%.

 D Actual expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 178/365 (to reflect the period March 7, 2017 to August 31, 2017).

 E 5% return per year before expenses

 F Hypothetical expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).


Distributions (Unaudited)

The Board of Trustees of Fidelity Flex Core Bond Fund voted to pay on October 16, 2017, to shareholders of record at the opening of business on October 13, 2017, a distribution of $0.046 per share derived from capital gains realized from sales of portfolio securities.

A total of 24.90% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Flex Core Bond Fund

On January 18, 2017, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Management & Research Company (FMR) and the sub-advisory agreements with affiliates of FMR (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

Nature, Extent, and Quality of Services Provided.  The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

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

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

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

Investment Performance.  The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in fundamental, research-driven security selection, which the Board is familiar with through its supervision of other Fidelity funds.

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

Competitiveness of Management Fee and Total Expense Ratio.  The Board noted that the fund is available exclusively to retirement plans offered through certain Fidelity fee-based programs. The Board considered that while the fund does not pay a management fee, FMR is indirectly compensated for its services out of the program fee. The Board noted that FMR pays all operating expenses, with certain limited exceptions, on behalf of the fund. Based on its review, the Board concluded that the fund's fee structure was reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.

Costs of the Services and Profitability.  The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

Economies of Scale.  The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted, however, that because the fund pays no advisory fees and FMR bears most expenses of the fund, economies of scale cannot be realized by the fund.

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





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

ZCD-ANN-1017
1.9881607.100

Fidelity® Total Bond Fund



Annual Report

August 31, 2017



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions


To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Fidelity® Total Bond Fund 2.07% 2.98% 5.15% 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Total Bond Fund, a class of the fund, on August 31, 2007.

The chart shows how the value of your investment would have changed, and also shows how the Bloomberg Barclays U.S. Aggregate Bond Index performed over the same period.


Period Ending Values
$16,527Fidelity® Total Bond Fund
$15,385Bloomberg Barclays U.S. Aggregate Bond Index

Effective August 24, 2016, all Barclays benchmark indices were co-branded as the Bloomberg Barclays Indices for a period of five years.

Management's Discussion of Fund Performance

Market Recap:  U.S. taxable investment-grade bonds rose slightly for the 12 months ending August 31, 2017, as yields increased markedly following the U.S. presidential election then moderated as the period progressed. The Bloomberg Barclays U.S. Aggregate Bond Index gained 0.49% for the year. Bond yields rose slightly early in the period, prior to the U.S. election, then surged in November and December, as many investors viewed then-President-elect Donald Trump’s economic agenda as stimulative and potentially inflationary. Yields also rode the Fed’s decision in December to raise policy interest rates. Longer-term bond yields declined slightly in the first half of 2017, even though the Fed raised rates in June 2017 for the third time in as many quarters, as it became clear that changes to tax, health care and fiscal policies would take time to develop and implement. Fairly cool inflation readings also held back yields late in the period. Within the Bloomberg Barclays index, investment-grade corporate bonds led all major market segments, up 2.13%, while U.S. Treasuries returned -0.95%. Securitized sectors advanced more modestly than corporates. Outside the index, riskier, non-core fixed-income segments led the broader market, while Treasury Inflation-Protected Securities (TIPS) rose 0.46%, according to Bloomberg Barclays.

Comments from Lead Portfolio Manager Ford O'Neil:  For the fiscal year, the fund’s share classes (excluding sales charges, if applicable) gained roughly 1% to 2%, outpacing, net of fees, the benchmark Bloomberg Barclays U.S. Aggregate Bond Index. Versus the benchmark, an emphasis on bonds in credit-sensitive spread sectors provided the biggest boost, as they outpaced U.S. government bonds and agency mortgage-backed securities – more-conservative investments in which the fund was underweighted. Specifically, larger-than-benchmark exposure to high-yield bonds and, to a lesser extent, leveraged loans added value. The fund enjoyed good results from investing in sovereign-debt holdings from Mexico and Brazil. Holding 10- and 30-year TIPS (Treasury Inflation-Protected Securities) and certain taxable municipal bonds also contributed, as did a small overweighting in commercial mortgage-backed securities. A significant overweighting in investment-grade credit further helped, led by selections among financials. Conversely, detractors included underweightings in certain industrial segments, namely technology and basic industry.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Note to shareholders:  On September 30, 2017, Celso Munoz assumed Co-Manager responsibilities for the fund, joining Co-Managers Matthew Conti, Jeff Moore and Michael Foggin, and Lead Manager Ford O’Neil.

Investment Summary (Unaudited)

Quality Diversification (% of fund's net assets)

As of August 31, 2017 
   U.S. Government and U.S. Government Agency Obligations 54.2% 
   AAA 0.8% 
   AA 1.1% 
   A 5.3% 
   BBB 20.0% 
   BB and Below 15.0% 
   Not Rated 1.6% 
   Short-Term Investments and Net Other Assets 2.0% 


As of February 28, 2017 
   U.S. Government and U.S. Government Agency Obligations 49.3% 
   AAA 1.4% 
   AA 1.3% 
   A 5.4% 
   BBB 21.7% 
   BB and Below 17.8% 
   Not Rated 1.0% 
   Short-Term Investments and Net Other Assets 2.1% 


We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Securities rated BB or below were rated investment grade at the time of acquisition.

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Corporate Bonds 32.5% 
   U.S. Government and U.S. Government Agency Obligations 54.2% 
   Asset-Backed Securities 0.9% 
   CMOs and Other Mortgage Related Securities 2.4% 
   Municipal Bonds 1.4% 
   Other Investments 6.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.0% 


 * Foreign investments - 10.3%

 ** Futures and Swaps - 0.5%


As of February 28, 2017*,** 
   Corporate Bonds 35.5% 
   U.S. Government and U.S. Government Agency Obligations 49.3% 
   Asset-Backed Securities 0.7% 
   CMOs and Other Mortgage Related Securities 3.1% 
   Municipal Bonds 1.6% 
   Other Investments 7.7% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.1% 


 * Foreign investments - 11.4%

 ** Futures and Swaps - 0.0%


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

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

Investments August 31, 2017

Showing Percentage of Net Assets

Nonconvertible Bonds - 32.5%   
 Principal Amount(a) Value 
CONSUMER DISCRETIONARY - 3.3%   
Auto Components - 0.1%   
J.B. Poindexter & Co., Inc. 9% 4/1/22 (b) $3,045,000 $3,189,638 
Metalsa SA de CV 4.9% 4/24/23 (b) 4,955,000 4,992,163 
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) EUR2,100,000 2,437,446 
Tenedora Nemak SA de CV 5.5% 2/28/23 (b) 3,010,000 3,085,250 
Tenneco, Inc. 5% 7/15/26 2,271,000 2,293,710 
Tupy Overseas SA 6.625% 7/17/24 (b) 530,000 553,797 
  16,552,004 
Automobiles - 0.6%   
General Motors Co.:   
3.5% 10/2/18 9,215,000 9,366,402 
5.2% 4/1/45 3,030,000 2,997,741 
General Motors Financial Co., Inc.:   
3.15% 1/15/20 27,252,000 27,807,663 
3.2% 7/13/20 20,200,000 20,626,856 
3.25% 5/15/18 4,810,000 4,857,956 
3.5% 7/10/19 10,761,000 11,024,740 
4% 1/15/25 18,085,000 18,319,883 
4.2% 3/1/21 26,269,000 27,660,321 
4.25% 5/15/23 5,420,000 5,649,677 
4.375% 9/25/21 47,963,000 50,858,547 
Volkswagen International Finance NV:   
1.125% 10/2/23 (Reg. S) EUR2,600,000 3,110,355 
2.7%(Reg. S) (c)(d) EUR3,200,000 3,761,822 
  186,041,963 
Diversified Consumer Services - 0.1%   
Ingersoll-Rand Global Holding Co. Ltd.:   
2.875% 1/15/19 1,206,000 1,221,882 
4.25% 6/15/23 8,466,000 9,174,522 
Laureate Education, Inc. 8.25% 5/1/25 (b) 4,615,000 5,018,813 
  15,415,217 
Hotels, Restaurants & Leisure - 0.4%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (b) 5,035,000 5,097,938 
5% 10/15/25 (b) 3,080,000 3,160,850 
Aramark Services, Inc.:   
4.75% 6/1/26 7,225,000 7,570,355 
5.125% 1/15/24 2,520,000 2,677,500 
Carlson Travel, Inc. 9.5% 12/15/24 (b) 3,895,000 3,807,363 
ESH Hospitality, Inc. 5.25% 5/1/25 (b) 1,100,000 1,133,000 
FelCor Lodging LP 5.625% 3/1/23 135,000 140,063 
Hilton Escrow Issuer LLC 4.25% 9/1/24 7,280,000 7,437,102 
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. 6.125% 12/1/24 (b) 1,380,000 1,514,550 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 2,580,000 2,695,842 
4.875% 4/1/27 1,530,000 1,621,800 
KFC Holding Co./Pizza Hut Holding LLC:   
4.75% 6/1/27 (b) 1,580,000 1,621,475 
5% 6/1/24 (b) 4,515,000 4,719,530 
5.25% 6/1/26 (b) 1,790,000 1,886,213 
McDonald's Corp.:   
2.75% 12/9/20 3,638,000 3,726,454 
3.7% 1/30/26 9,591,000 10,096,450 
MCE Finance Ltd. 4.875% 6/6/25 (b) 3,410,000 3,423,582 
MGM Growth Properties Operating Partnership LP 4.5% 9/1/26 13,345,000 13,578,538 
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 540,000 556,200 
Scientific Games Corp.:   
6.625% 5/15/21 6,270,000 6,489,450 
7% 1/1/22 (b) 1,700,000 1,814,750 
Silversea Cruises 7.25% 2/1/25 (b) 1,395,000 1,503,113 
Studio City Co. Ltd.:   
5.875% 11/30/19 (b) 2,555,000 2,695,525 
7.25% 11/30/21 (b) 4,925,000 5,287,731 
Times Square Hotel Trust 8.528% 8/1/26 (b) 1,023,831 1,223,873 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) 4,730,000 4,777,300 
Wynn Macau Ltd. 5.25% 10/15/21 (b) 33,480,000 34,199,820 
Yum! Brands, Inc. 5.35% 11/1/43 1,720,000 1,612,483 
  136,068,850 
Household Durables - 0.2%   
CalAtlantic Group, Inc.:   
5% 6/15/27 3,810,000 3,819,525 
5.25% 6/1/26 4,285,000 4,413,550 
5.875% 11/15/24 1,775,000 1,925,875 
Lennar Corp. 4.125% 1/15/22 2,950,000 3,038,500 
M/I Homes, Inc.:   
5.625% 8/1/25 (b) 1,060,000 1,075,900 
6.75% 1/15/21 4,265,000 4,456,925 
PulteGroup, Inc. 5% 1/15/27 2,625,000 2,703,750 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
3 month U.S. LIBOR + 3.500% 4.8036% 7/15/21 (b)(d)(e) 3,930,000 4,003,688 
5.125% 7/15/23 (b) 5,170,000 5,388,122 
5.75% 10/15/20 2,935,000 2,989,708 
SEB SA 1.5% 5/31/24 (Reg. S) EUR1,900,000 2,306,391 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) 1,495,000 1,584,700 
Toll Brothers Finance Corp. 4.875% 3/15/27 1,348,000 1,385,070 
TRI Pointe Homes, Inc. 5.25% 6/1/27 2,800,000 2,835,000 
William Lyon Homes, Inc.:   
5.75% 4/15/19 4,175,000 4,227,188 
7% 8/15/22 4,250,000 4,409,375 
  50,563,267 
Internet & Direct Marketing Retail - 0.1%   
Netflix, Inc. 4.375% 11/15/26 (b) 3,830,000 3,734,250 
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (b) 5,975,000 6,340,849 
6.375% 5/15/25 8,115,000 8,721,109 
  18,796,208 
Media - 1.8%   
21st Century Fox America, Inc.:   
6.15% 3/1/37 4,759,000 6,055,783 
7.75% 12/1/45 3,932,000 5,978,630 
Altice SA 7.75% 5/15/22 (b) 38,580,000 40,943,025 
Altice U.S. Finance SA:   
5.375% 7/15/23 (b) 2,560,000 2,681,600 
5.5% 5/15/26 (b) 5,035,000 5,327,659 
AMC Networks, Inc.:   
4.75% 12/15/22 1,675,000 1,727,344 
4.75% 8/1/25 3,780,000 3,794,175 
Cablevision SA 6.5% 6/15/21 (b) 430,000 459,317 
Cablevision Systems Corp. 7.75% 4/15/18 2,110,000 2,173,300 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5% 2/1/28 (b) 3,845,000 3,909,904 
5.125% 2/15/23 1,130,000 1,168,138 
5.125% 5/1/23 (b) 11,215,000 11,732,348 
5.125% 5/1/27 (b) 9,395,000 9,676,850 
5.5% 5/1/26 (b) 9,005,000 9,398,969 
5.75% 2/15/26 (b) 3,370,000 3,562,730 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 20,419,000 21,609,130 
4.908% 7/23/25 20,419,000 21,874,901 
5.375% 5/1/47 (b) 27,358,000 27,927,908 
6.484% 10/23/45 8,199,000 9,429,731 
Clear Channel International BV 8.75% 12/15/20 (b) 530,000 553,850 
Columbus International, Inc. 7.375% 3/30/21 (b) 10,093,000 10,797,491 
Comcast Corp. 6.45% 3/15/37 2,196,000 2,898,568 
CSC Holdings LLC 6.75% 11/15/21 8,225,000 9,091,093 
CSC Holdings, Inc. 5.5% 4/15/27 (b) 4,045,000 4,221,969 
E.W. Scripps Co. 5.125% 5/15/25 (b) 520,000 526,500 
Globo Comunicacao e Participacoes SA:   
4.843% 6/8/25 (b) 1,820,000 1,878,968 
4.875% 4/11/22 (b) 565,000 589,126 
Grupo Televisa SA de CV 6.625% 3/18/25 440,000 531,255 
Lagardere S.C.A. 1.625% 6/21/24 (Reg. S) EUR3,100,000 3,686,443 
MDC Partners, Inc. 6.5% 5/1/24 (b) 5,960,000 5,937,650 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(d) 9,210,000 9,210,000 
Myriad International Holding BV 5.5% 7/21/25 (b) 1,490,000 1,634,530 
NBCUniversal, Inc. 5.15% 4/30/20 11,614,000 12,620,386 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(d) 4,708,372 4,643,632 
Sirius XM Radio, Inc.:   
3.875% 8/1/22 (b) 6,090,000 6,196,575 
5% 8/1/27 (b) 5,730,000 5,887,575 
SKY PLC 2.25% 11/17/25 (Reg. S) EUR2,650,000 3,382,190 
Time Warner Cable, Inc.:   
4% 9/1/21 20,277,000 21,127,845 
4.5% 9/15/42 54,497,000 50,321,608 
5.5% 9/1/41 12,973,000 13,288,656 
5.875% 11/15/40 16,544,000 17,745,985 
6.55% 5/1/37 38,302,000 44,275,774 
6.75% 7/1/18 13,763,000 14,296,316 
7.3% 7/1/38 38,728,000 47,742,661 
8.25% 4/1/19 24,391,000 26,646,013 
Time Warner, Inc.:   
3.6% 7/15/25 6,406,000 6,476,994 
6.2% 3/15/40 11,792,000 13,913,865 
TV Azteca SA de CV 7.625% 9/18/20 (Reg S.) 3,260,000 3,361,875 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (b) 2,920,000 3,080,600 
Virgin Media Secured Finance PLC:   
5.5% 1/15/25 (b) 2,500,000 2,609,375 
5.5% 8/15/26 (b) 4,335,000 4,584,263 
VTR Finance BV 6.875% 1/15/24 (b) 2,680,000 2,847,500 
Ziggo Bond Finance BV:   
5.875% 1/15/25 (b) 3,100,000 3,212,375 
6% 1/15/27 (b) 5,605,000 5,752,131 
Ziggo Secured Finance BV 5.5% 1/15/27 (b) 4,540,000 4,681,875 
  559,684,954 
Multiline Retail - 0.0%   
JC Penney Corp., Inc.:   
5.65% 6/1/20 4,860,000 4,809,213 
5.875% 7/1/23 (b) 980,000 983,675 
7.4% 4/1/37 12,160,000 9,241,600 
  15,034,488 
Specialty Retail - 0.0%   
L Brands, Inc. 6.75% 7/1/36 1,555,000 1,472,818 
PetSmart, Inc.:   
5.875% 6/1/25 (b) 3,670,000 3,275,475 
8.875% 6/1/25 (b) 1,000,000 832,500 
  5,580,793 
TOTAL CONSUMER DISCRETIONARY  1,003,737,744 
CONSUMER STAPLES - 1.8%   
Beverages - 0.7%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 38,614,000 39,340,365 
3.3% 2/1/23 41,589,000 43,142,597 
4.7% 2/1/36 42,171,000 46,751,361 
4.9% 2/1/46 45,032,000 51,311,422 
Anheuser-Busch InBev SA NV 1.75% 3/7/25 (Reg. S) GBP3,600,000 4,693,193 
Anheuser-Busch InBev Worldwide, Inc. 3.75% 1/15/22 10,217,000 10,863,912 
Central American Bottling Corp. 5.75% 1/31/27 (b) 450,000 476,316 
Constellation Brands, Inc.:   
3.875% 11/15/19 2,360,000 2,452,083 
4.25% 5/1/23 5,205,000 5,612,264 
6% 5/1/22 21,795,000 25,077,810 
Cott Holdings, Inc. 5.5% 4/1/25 (b) 2,025,000 2,116,125 
  231,837,448 
Food & Staples Retailing - 0.3%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
5.75% 3/15/25 4,430,000 3,992,538 
6.625% 6/15/24 2,215,000 2,114,218 
Albertsons, Inc.:   
6.625% 6/1/28 705,000 585,150 
7.45% 8/1/29 645,000 562,956 
7.75% 6/15/26 765,000 699,975 
8% 5/1/31 4,040,000 3,524,900 
8.7% 5/1/30 560,000 513,800 
C&S Group Enterprises LLC 5.375% 7/15/22 (b) 3,335,000 3,272,469 
CVS Health Corp.:   
2.8% 7/20/20 15,202,000 15,528,582 
3.5% 7/20/22 8,944,000 9,352,665 
4% 12/5/23 8,525,000 9,124,845 
ESAL GmbH 6.25% 2/5/23 (b) 6,210,000 6,039,225 
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (b) 895,000 912,900 
Minerva Luxembourg SA:   
6.5% 9/20/26 (b) 1,500,000 1,504,575 
7.75% 1/31/23 (Reg. S) 2,144,000 2,240,480 
Tesco PLC:   
5% 3/24/23 GBP1,100,000 1,587,979 
6.15% 11/15/37 (b) 7,300,000 7,656,751 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (b) 5,155,000 3,776,038 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 8,473,000 8,615,943 
3.3% 11/18/21 10,050,000 10,410,479 
  92,016,468 
Food Products - 0.1%   
CF Industries Holdings, Inc.:   
3.4% 12/1/21 (b) 1,915,000 1,950,021 
3.45% 6/1/23 3,115,000 3,029,338 
4.5% 12/1/26 (b) 1,380,000 1,436,144 
5.15% 3/15/34 280,000 263,900 
Gruma S.A.B. de CV:   
4.875% 12/1/24 (b) 625,000 677,344 
4.875% 12/1/24 (Reg. S) 800,000 867,000 
JBS Investments GmbH:   
7.25% 4/3/24 (b) 3,880,000 3,918,800 
7.75% 10/28/20 (b) 1,005,000 1,030,125 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 5.875% 7/15/24 (b) 3,075,000 3,113,438 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 2,145,000 2,212,031 
4.875% 11/1/26 (b) 1,555,000 1,613,546 
MHP SA 8.25% 4/2/20 (b) 275,000 294,250 
Post Holdings, Inc.:   
5% 8/15/26 (b) 1,675,000 1,675,000 
5.75% 3/1/27 (b) 2,690,000 2,784,150 
  24,865,087 
Household Products - 0.0%   
Edgewell Personal Care Co. 5.5% 6/15/25 (b) 630,000 661,500 
Tobacco - 0.7%   
Altria Group, Inc.:   
2.85% 8/9/22 9,573,000 9,798,359 
4% 1/31/24 6,408,000 6,883,707 
Bat Capital Corp. 2.125% 8/15/25 GBP3,050,000 3,964,657 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (b) 19,975,000 19,977,967 
2.05% 7/20/18 (b) 8,743,000 8,746,663 
2.95% 7/21/20 (b) 20,000,000 20,368,273 
3.75% 7/21/22 (b) 20,300,000 21,162,591 
4.25% 7/21/25 (b) 18,467,000 19,612,206 
8.125% 3/15/24 GBP1,850,000 3,267,764 
Reynolds American, Inc.:   
2.3% 6/12/18 7,358,000 7,386,108 
3.25% 6/12/20 3,274,000 3,373,442 
4% 6/12/22 11,386,000 12,077,113 
4.45% 6/12/25 14,753,000 15,944,246 
5.7% 8/15/35 4,237,000 4,961,320 
5.85% 8/15/45 35,690,000 43,135,368 
6.15% 9/15/43 4,511,000 5,594,325 
7.25% 6/15/37 5,056,000 6,948,109 
Vector Group Ltd. 6.125% 2/1/25 (b) 7,705,000 7,897,625 
  221,099,843 
TOTAL CONSUMER STAPLES  570,480,346 
ENERGY - 6.5%   
Energy Equipment & Services - 0.4%   
Borets Finance DAC 6.5% 4/7/22 (b) 1,345,000 1,429,278 
Calfrac Holdings LP 7.5% 12/1/20 (b) 3,560,000 3,186,200 
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 2,910,000 2,910,000 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 18,884,000 20,439,229 
6.5% 4/1/20 738,000 810,358 
Ensco PLC:   
4.5% 10/1/24 3,615,000 2,638,950 
5.2% 3/15/25 16,510,000 12,299,950 
5.75% 10/1/44 7,801,000 5,012,143 
8% 1/31/24 3,943,000 3,548,700 
Exterran Energy Solutions LP 8.125% 5/1/25 (b) 1,920,000 1,977,600 
Exterran Partners LP/EXLP Finance Corp.:   
6% 4/1/21 3,210,000 3,137,775 
6% 10/1/22 995,000 962,663 
Forum Energy Technologies, Inc. 6.25% 10/1/21 3,780,000 3,723,300 
FTS International, Inc.:   
3 month U.S. LIBOR + 7.500% 8.7456% 6/15/20 (b)(d)(e) 1,625,000 1,649,375 
6.25% 5/1/22 1,780,000 1,539,700 
Halliburton Co.:   
3.8% 11/15/25 9,790,000 10,114,021 
4.85% 11/15/35 8,550,000 9,269,756 
Nabors Industries, Inc. 5.5% 1/15/23 2,412,000 2,262,146 
Noble Holding International Ltd.:   
4.625% 3/1/21 3,493,000 2,977,783 
5.25% 3/15/42 1,890,000 1,067,850 
5.75% 3/16/18 1,187,000 1,195,665 
7.7% 4/1/25 (d) 10,335,000 7,699,575 
7.75% 1/15/24 5,390,000 4,163,667 
8.7% 4/1/45 (d) 7,307,000 5,223,774 
Precision Drilling Corp.:   
5.25% 11/15/24 1,290,000 1,125,525 
6.5% 12/15/21 1,240,000 1,202,800 
SESI LLC 7.75% 9/15/24 (b) 1,220,000 1,232,200 
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 2,555,000 2,856,746 
Summit Midstream Holdings LLC 5.75% 4/15/25 1,650,000 1,654,125 
  117,310,854 
Oil, Gas & Consumable Fuels - 6.1%   
Afren PLC:   
6.625% 12/9/20 (b)(f)(g) 770,910 154 
10.25% 4/8/19 (Reg. S) (f)(g) 2,024,860 405 
Anadarko Finance Co. 7.5% 5/1/31 29,585,000 37,165,181 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 6,730,000 7,153,839 
5.55% 3/15/26 13,807,000 15,412,180 
6.45% 9/15/36 4,370,000 5,106,981 
6.6% 3/15/46 22,460,000 27,171,034 
Antero Resources Corp.:   
5% 3/1/25 4,530,000 4,439,400 
5.125% 12/1/22 8,335,000 8,355,838 
5.625% 6/1/23 (Reg. S) 4,310,000 4,385,425 
Antero Resources Finance Corp. 5.375% 11/1/21 3,675,000 3,739,313 
California Resources Corp. 8% 12/15/22 (b) 5,050,000 2,783,813 
Canadian Natural Resources Ltd.:   
1.75% 1/15/18 6,049,000 6,046,343 
3.9% 2/1/25 24,997,000 25,636,005 
5.85% 2/1/35 10,897,000 12,163,046 
Cenovus Energy, Inc.:   
4.25% 4/15/27 (b) 31,079,000 29,999,975 
5.7% 10/15/19 5,453,000 5,731,648 
Cheniere Corpus Christi Holdings LLC:   
5.125% 6/30/27 (b) 3,595,000 3,720,825 
5.875% 3/31/25 5,295,000 5,692,125 
7% 6/30/24 4,155,000 4,726,313 
Chesapeake Energy Corp.:   
4.875% 4/15/22 3,735,000 3,305,475 
5.75% 3/15/23 3,405,000 3,009,169 
6.125% 2/15/21 3,895,000 3,709,988 
8% 12/15/22 (b) 7,770,000 8,032,238 
8% 1/15/25 (b) 4,665,000 4,495,894 
8% 6/15/27 (b) 3,700,000 3,515,000 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 3,149,000 3,160,069 
3.3% 6/1/20 15,490,000 15,934,220 
4.5% 6/1/25 4,707,000 5,055,439 
Concho Resources, Inc. 4.375% 1/15/25 7,200,000 7,488,000 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 4.9817% 6/15/22 (b)(d)(e) 12,775,000 12,775,056 
6.875% 6/15/25 (b) 4,700,000 4,888,000 
Continental Resources, Inc.:   
3.8% 6/1/24 4,150,000 3,859,500 
4.5% 4/15/23 8,290,000 8,165,650 
4.9% 6/1/44 1,255,000 1,061,228 
Covey Park Energy LLC 7.5% 5/15/25 (b) 3,920,000 3,934,700 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 5,745,000 5,816,813 
DCP Midstream LLC:   
4.75% 9/30/21 (b) 11,333,000 11,616,325 
5.85% 5/21/43 (b)(d) 6,758,000 6,268,045 
DCP Midstream Operating LP 3.875% 3/15/23 5,532,000 5,386,785 
Denbury Resources, Inc. 9% 5/15/21 (b) 4,000,000 3,580,000 
Dolphin Energy Ltd. 5.5% 12/15/21 (b) 550,000 605,374 
Duke Energy Field Services 6.45% 11/3/36 (b) 13,741,000 14,462,403 
EDC Finance Ltd. 4.875% 4/17/20 (b) 695,000 710,721 
El Paso Corp. 6.5% 9/15/20 16,140,000 17,992,806 
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) 9,045,000 9,505,919 
Enable Midstream Partners LP:   
2.4% 5/15/19 (d) 4,028,000 4,010,164 
3.9% 5/15/24 (d) 4,249,000 4,256,087 
Enbridge Energy Partners LP:   
4.2% 9/15/21 13,331,000 14,068,984 
4.375% 10/15/20 11,319,000 11,915,479 
Enbridge, Inc.:   
4.25% 12/1/26 7,730,000 8,141,495 
5.5% 12/1/46 8,922,000 10,233,636 
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (b) 8,190,000 8,456,175 
Enterprise Products Operating LP:   
2.55% 10/15/19 2,971,000 2,995,934 
3.75% 2/15/25 9,982,000 10,404,481 
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (b) 2,990,000 2,922,725 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (b) 2,770,000 2,783,850 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 1,875,000 1,980,469 
Gibson Energy, Inc. 6.75% 7/15/21 (b) 639,000 661,365 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 5,165,000 5,203,738 
7% 6/15/23 9,970,000 9,994,925 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (b) 3,855,000 3,642,975 
5.75% 10/1/25 (b) 2,135,000 2,060,275 
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 1,405,000 1,418,165 
Kinder Morgan Energy Partners LP:   
3.5% 3/1/21 11,339,000 11,645,106 
5.5% 3/1/44 42,953,000 44,935,482 
6.55% 9/15/40 1,889,000 2,196,656 
Kinder Morgan, Inc.:   
5% 2/15/21 (b) 10,606,000 11,379,054 
5.05% 2/15/46 4,854,000 4,834,589 
Kosmos Energy Ltd.:   
7.875% 8/1/21 (b) 1,300,000 1,342,250 
7.875% 8/1/21 (b) 1,045,000 1,078,963 
Marathon Petroleum Corp. 5.125% 3/1/21 10,178,000 11,041,265 
Nakilat, Inc. 6.067% 12/31/33 (b) 1,975,000 2,323,193 
Newfield Exploration Co. 5.375% 1/1/26 1,260,000 1,316,700 
NGL Energy Partners LP/NGL Energy Finance Corp. 6.125% 3/1/25 2,685,000 2,389,650 
NGPL PipeCo LLC:   
4.375% 8/15/22 (b) 505,000 518,888 
4.875% 8/15/27 (b) 505,000 520,150 
Nostrum Oil & Gas Finance BV:   
6.375% 2/14/19 (b) 3,555,000 3,561,968 
8% 7/25/22 (b) 3,890,000 3,966,509 
Pacific Exploration and Production Corp.:   
10% 11/2/21 pay-in-kind (d) 1,204,000 1,342,460 
10% 11/2/21 pay-in-kind (b)(d) 840,000 936,600 
Pan American Energy LLC 7.875% 5/7/21 (b) 2,858,000 3,089,498 
Parsley Energy LLC/Parsley:   
5.25% 8/15/25 (b) 1,420,000 1,420,000 
5.375% 1/15/25 (b) 3,335,000 3,351,675 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 1,310,000 1,313,275 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 4,365,000 4,474,562 
Pemex Project Funding Master Trust 6.625% 6/15/35 5,140,000 5,602,600 
Petro-Canada 6.05% 5/15/18 3,850,000 3,967,689 
Petrobras Energia SA 7.375% 7/21/23 (b) 560,000 605,360 
Petrobras Global Finance BV:   
4.375% 5/20/23 20,096,000 19,673,984 
4.75% 1/14/25 EUR450,000 561,965 
5.625% 5/20/43 18,504,000 16,228,008 
6.125% 1/17/22 9,120,000 9,667,200 
6.25% 3/17/24 21,380,000 22,659,593 
7.25% 3/17/44 45,050,000 46,401,500 
7.375% 1/17/27 41,110,000 45,436,416 
8.375% 5/23/21 58,745,000 66,704,948 
8.75% 5/23/26 53,840,000 64,446,480 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 44,755,000 46,285,621 
5.75% 1/20/20 1,650,000 1,734,975 
5.875% 3/7/22 EUR200,000 268,150 
6.875% 1/20/40 1,220,000 1,218,414 
Petroleos de Venezuela SA:   
5.375% 4/12/27 975,000 294,938 
5.5% 4/12/37 1,520,000 457,900 
6% 5/16/24 (b) 1,845,000 553,500 
6% 11/15/26 (b) 2,385,000 715,500 
8.5% 10/27/20 (b) 1,115,000 824,989 
9.75% 5/17/35 (b) 6,375,000 2,263,125 
12.75% 2/17/22 (b) 270,000 122,040 
Petroleos Mexicanos:   
3.5% 7/23/20 13,960,000 14,329,940 
3.5% 1/30/23 11,169,000 11,071,271 
3.75% 2/21/24 (Reg. S) EUR4,200,000 5,233,685 
4.5% 1/23/26 46,043,000 46,491,919 
4.625% 9/21/23 80,440,000 83,738,040 
4.875% 1/24/22 12,482,000 13,118,582 
4.875% 1/18/24 13,872,000 14,447,688 
5.125% 3/15/23 (Reg. S) EUR1,900,000 2,562,908 
5.5% 1/21/21 12,189,000 13,066,608 
5.5% 6/27/44 10,807,000 10,169,387 
5.625% 1/23/46 35,710,000 33,576,328 
6% 3/5/20 6,145,000 6,627,383 
6.375% 2/4/21 785,000 866,248 
6.375% 1/23/45 29,907,000 30,834,117 
6.5% 3/13/27 (b) 33,960,000 38,035,200 
6.5% 3/13/27 (b) 57,927,000 64,878,240 
6.5% 6/2/41 27,982,000 29,562,983 
6.625% (b)(c) 2,985,000 3,028,283 
6.75% 9/21/47 (b) 24,580,000 26,425,958 
6.75% 9/21/47 25,666,000 27,593,517 
6.875% 8/4/26 41,650,000 47,889,170 
8% 5/3/19 8,600,000 9,417,000 
Phillips 66 Co. 4.3% 4/1/22 12,618,000 13,569,886 
Phillips 66 Partners LP 2.646% 2/15/20 1,316,000 1,321,172 
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 5,217,000 5,277,238 
PT Pertamina Persero 6.5% 5/27/41 (b) 1,010,000 1,190,742 
Range Resources Corp.:   
4.875% 5/15/25 2,960,000 2,834,200 
5% 8/15/22 (b) 1,725,000 1,694,813 
5% 3/15/23 (b) 5,270,000 5,204,125 
Rice Energy, Inc.:   
6.25% 5/1/22 12,725,000 13,234,000 
7.25% 5/1/23 8,289,000 8,858,869 
Sabine Pass Liquefaction LLC 5.75% 5/15/24 1,440,000 1,601,475 
Sinopec Group Overseas Development (2015) Ltd. 1% 4/28/22 (Reg. S) EUR2,675,000 3,234,870 
Southwestern Energy Co.:   
5.8% 1/23/20 (d) 38,142,000 39,286,260 
6.7% 1/23/25 (d) 35,947,000 35,048,325 
Spectra Energy Partners LP 2.95% 9/25/18 1,960,000 1,979,847 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 1,445,000 1,487,339 
6.375% 4/1/23 6,650,000 7,007,438 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5.125% 2/1/25 (b) 1,210,000 1,243,275 
5.25% 5/1/23 685,000 700,413 
6.75% 3/15/24 4,420,000 4,784,650 
Teekay Corp. 8.5% 1/15/20 585,000 590,850 
Teine Energy Ltd. 6.875% 9/30/22 (b) 2,265,000 2,265,000 
The Williams Companies, Inc.:   
3.7% 1/15/23 3,730,000 3,702,025 
4.55% 6/24/24 38,986,000 39,863,185 
5.75% 6/24/44 19,187,000 19,906,513 
Transportadora de Gas del Sur SA 9.625% 5/14/20(b) 3,668,817 3,951,793 
Western Gas Partners LP:   
4.65% 7/1/26 4,876,000 5,070,710 
5.375% 6/1/21 24,990,000 26,992,595 
Whiting Petroleum Corp.:   
5% 3/15/19 2,595,000 2,569,050 
5.75% 3/15/21 1,350,000 1,269,000 
Williams Partners LP:   
3.6% 3/15/22 10,817,000 11,153,122 
3.9% 1/15/25 26,667,000 27,401,859 
4% 11/15/21 6,716,000 7,048,211 
4% 9/15/25 3,000,000 3,100,860 
4.125% 11/15/20 2,399,000 2,517,010 
4.3% 3/4/24 40,932,000 43,390,479 
4.5% 11/15/23 7,325,000 7,848,350 
WPX Energy, Inc.:   
5.25% 9/15/24 7,085,000 6,943,300 
6% 1/15/22 2,480,000 2,557,500 
7.5% 8/1/20 4,492,000 4,851,360 
YPF SA:   
8.5% 3/23/21 (b) 4,950,000 5,623,200 
8.5% 3/23/21 (Reg. S) 1,500,000 1,704,000 
8.75% 4/4/24 (b) 5,290,000 6,121,165 
8.875% 12/19/18 (Reg. S) 2,150,000 2,311,250 
  1,879,864,749 
TOTAL ENERGY  1,997,175,603 
FINANCIALS - 11.1%   
Banks - 4.9%   
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (d) 5,400,000 5,606,204 
Akbank T.A.S. 6.5% 3/9/18 (Reg. S) 3,100,000 3,158,652 
Akbank TAS/Ak Finansal Kiralama A/S 7.2% 3/16/27 (b)(d) 695,000 735,892 
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (d) EUR3,450,000 4,399,680 
Banco de Bogota SA 6.25% 5/12/26 (b) 690,000 746,925 
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 1,675,000 1,758,750 
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) (f) EUR1,300,000 466,210 
Banco Hipotecario SA 9.75% 11/30/20 (b) 5,205,000 5,915,430 
Banco Macro SA 6.75% 11/4/26 (b)(d) 1,645,000 1,714,962 
Banco Nacional de Desenvolvimento Economico e Social:   
4% 4/14/19 (b) 1,393,000 1,420,331 
5.75% 9/26/23 (b) 10,130,000 10,975,349 
6.369% 6/16/18 (b) 1,125,000 1,158,896 
Bank of America Corp.:   
1.776% 5/4/27 (Reg. S) (d) EUR4,350,000 5,306,158 
2% 1/11/18 50,000,000 50,071,653 
2.25% 4/21/20 66,694,000 67,009,835 
2.6% 1/15/19 8,068,000 8,148,196 
3.3% 1/11/23 901,000 926,702 
3.5% 4/19/26 20,559,000 20,938,038 
3.705% 4/24/28 (d) 32,549,000 33,299,731 
3.875% 8/1/25 22,129,000 23,264,291 
3.95% 4/21/25 17,156,000 17,716,614 
4.1% 7/24/23 11,481,000 12,276,987 
4.2% 8/26/24 40,532,000 42,685,909 
4.25% 10/22/26 14,724,000 15,445,373 
5.65% 5/1/18 8,780,000 9,000,368 
5.75% 12/1/17 21,955,000 22,169,553 
5.875% 1/5/21 6,530,000 7,286,038 
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 905,000 889,163 
Barclays Bank PLC 6.75% 1/16/23 (d) GBP1,250,000 1,647,878 
Barclays PLC:   
2.75% 11/8/19 12,249,000 12,396,515 
3.25% 1/12/21 21,116,000 21,579,792 
4.375% 1/12/26 25,086,000 26,376,524 
BBVA Bancomer SA:   
7.25% 4/22/20 (b) 975,000 1,064,700 
7.25% 4/22/20 (Reg. S) 3,300,000 3,603,600 
Biz Finance PLC 9.75% 1/22/25 (b) 300,000 316,656 
BTA Bank JSC 5.5% 12/21/22 (b) 915,000 894,705 
CBOM Finance PLC 7.5% 10/5/27 (b)(d) 1,260,000 1,184,712 
Citigroup, Inc.:   
1.8% 2/5/18 33,287,000 33,308,382 
1.85% 11/24/17 33,365,000 33,385,709 
2.4% 2/18/20 60,588,000 61,136,617 
2.65% 10/26/20 20,000,000 20,281,976 
4.05% 7/30/22 5,303,000 5,587,623 
4.4% 6/10/25 40,790,000 43,135,042 
4.45% 9/29/27 10,000,000 10,572,966 
5.125% 12/12/18 GBP1,875,000 2,550,034 
5.5% 9/13/25 20,027,000 22,652,694 
Citizens Bank NA 2.55% 5/13/21 6,564,000 6,621,119 
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) 15,987,000 16,839,639 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 19,455,000 19,727,850 
3.75% 3/26/25 19,450,000 19,935,627 
3.8% 9/15/22 30,700,000 32,093,704 
3.8% 6/9/23 36,648,000 38,212,719 
CYBG PLC 3.125% 6/22/25 (Reg. S) (d) GBP1,300,000 1,706,731 
Discover Bank:   
4.2% 8/8/23 17,852,000 19,072,579 
7% 4/15/20 2,030,000 2,249,241 
Export Credit Bank of Turkey 5.875% 4/24/19 (b) 280,000 290,822 
Fidelity Bank PLC 6.875% 5/9/18 (b) 340,000 329,868 
Fifth Third Bancorp:   
4.5% 6/1/18 798,000 814,399 
8.25% 3/1/38 4,667,000 7,165,058 
GTB Finance BV 6% 11/8/18 (b) 1,155,000 1,171,528 
HBOS PLC 6.75% 5/21/18 (b) 6,067,000 6,268,616 
HSBC Bank PLC 5% 3/20/23 (d) GBP967,000 1,275,536 
HSBC Holdings PLC:   
4.25% 3/14/24 6,192,000 6,518,484 
6.375% 10/18/22 (d) GBP8,550,000 11,117,277 
HSBC U.S.A., Inc. 1.625% 1/16/18 11,125,000 11,127,893 
Huntington Bancshares, Inc. 7% 12/15/20 2,851,000 3,270,242 
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) 28,396,000 30,010,585 
Itau Unibanco Holding SA:   
5.125% 5/13/23 (Reg. S) 1,650,000 1,719,300 
5.5% 8/6/22 (b) 1,155,000 1,217,370 
6.2% 12/21/21 (Reg. S) 980,000 1,062,075 
JPMorgan Chase & Co.:   
1.625% 5/15/18 12,580,000 12,585,708 
2.2% 10/22/19 7,268,000 7,337,018 
2.25% 1/23/20 40,000,000 40,330,974 
2.35% 1/28/19 6,857,000 6,923,736 
2.95% 10/1/26 18,480,000 18,196,780 
3.25% 9/23/22 18,423,000 19,074,973 
3.875% 9/10/24 35,791,000 37,471,260 
4.125% 12/15/26 32,416,000 34,147,600 
4.25% 10/15/20 6,995,000 7,451,024 
4.35% 8/15/21 20,267,000 21,840,835 
4.5% 1/24/22 22,046,000 23,965,362 
4.625% 5/10/21 6,879,000 7,459,518 
4.95% 3/25/20 22,079,000 23,706,565 
JSC BGEO Group 6% 7/26/23 (b) 2,110,000 2,168,025 
Kazkommertsbank Jsc Mtn Bank Ent 8.5% 5/11/18 (b) 1,975,000 2,028,286 
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (d) EUR200,000 256,732 
Rabobank Nederland 4.375% 8/4/25 25,937,000 27,534,944 
Regions Bank 6.45% 6/26/37 24,618,000 30,883,910 
Regions Financial Corp. 3.2% 2/8/21 11,916,000 12,234,189 
Royal Bank of Scotland Group PLC:   
4.8% 4/5/26 50,452,000 54,009,137 
5.125% 5/28/24 64,006,000 67,515,190 
6% 12/19/23 25,897,000 28,697,695 
6.1% 6/10/23 31,961,000 35,319,727 
6.125% 12/15/22 42,557,000 46,866,035 
SB Capital SA 5.5% 2/26/24 (b)(d) 1,360,000 1,391,729 
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) 1,745,000 1,886,886 
Turkiye Garanti Bankasi A/S 6.125% 5/24/27 (b)(d) 1,020,000 1,031,075 
Turkiye Halk Bankasi A/S:   
3.875% 2/5/20 (b) 2,000,000 1,968,000 
4.75% 6/4/19 (b) 980,000 990,225 
Turkiye Is Bankasi A/S:   
5.5% 4/21/19 (b) 415,000 426,027 
5.5% 4/21/22 (b) 1,425,000 1,457,456 
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (d) 2,925,000 2,992,199 
UniCredit Luxembourg 6% 10/31/17 (Reg. S) 2,300,000 2,311,403 
UniCredit SpA 6.375% 5/2/23 (Reg. S) (d) 1,350,000 1,382,956 
Zenith Bank PLC:   
6.25% 4/22/19 (b) 4,970,000 5,029,342 
7.375% 5/30/22 (b) 2,865,000 2,925,165 
  1,507,783,963 
Capital Markets - 3.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 21,008,000 21,488,726 
4.25% 2/15/24 14,661,000 15,574,458 
Argos Merger Sub, Inc. 7.125% 3/15/23 (b) 3,790,000 3,088,850 
Compass Group International BV 0.625% 7/3/24 (Reg. S) EUR3,200,000 3,788,953 
Credit Suisse AG 6% 2/15/18 18,058,000 18,390,618 
Credit Suisse Group AG 5.75% 9/18/25 (Reg. S) (d) EUR5,950,000 7,968,575 
Deutsche Bank AG 4.5% 4/1/25 80,571,000 81,354,413 
Deutsche Bank AG London Branch:   
1.875% 2/13/18 37,777,000 37,803,280 
2.85% 5/10/19 47,570,000 48,104,937 
Goldman Sachs Group, Inc.:   
1.25% 5/1/25 (Reg. S) EUR2,100,000 2,495,640 
1.748% 9/15/17 42,024,000 42,027,882 
2% 7/27/23 (Reg. S) EUR5,550,000 7,025,577 
2.55% 10/23/19 33,080,000 33,473,755 
2.625% 1/31/19 50,400,000 50,920,568 
2.9% 7/19/18 17,494,000 17,666,514 
3.691% 6/5/28 (d) 200,926,000 204,401,395 
3.75% 5/22/25 20,000,000 20,631,888 
5.25% 7/27/21 17,105,000 18,843,117 
5.95% 1/18/18 4,975,000 5,052,772 
IntercontinentalExchange, Inc. 2.75% 12/1/20 6,489,000 6,634,344 
Lazard Group LLC 4.25% 11/14/20 10,151,000 10,780,344 
Merrill Lynch & Co., Inc. 5.5% 11/22/21 GBP1,100,000 1,646,272 
Moody's Corp.:   
3.25% 1/15/28 (b) 11,520,000 11,613,234 
4.875% 2/15/24 10,818,000 12,065,424 
Morgan Stanley:   
1% 12/2/22 EUR2,350,000 2,849,908 
2.125% 4/25/18 12,586,000 12,622,281 
2.375% 3/31/21 (Reg. S) EUR3,000,000 3,846,223 
2.8% 6/16/20 30,000,000 30,544,358 
3.125% 7/27/26 108,849,000 107,434,542 
3.7% 10/23/24 37,479,000 39,041,580 
4.875% 11/1/22 26,240,000 28,577,182 
5% 11/24/25 3,189,000 3,510,037 
5.5% 1/26/20 88,000,000 94,995,896 
5.625% 9/23/19 12,714,000 13,626,611 
5.75% 1/25/21 19,879,000 22,085,772 
MSCI, Inc.:   
4.75% 8/1/26 (b) 4,145,000 4,300,438 
5.25% 11/15/24 (b) 4,420,000 4,707,300 
Thomson Reuters Corp. 3.85% 9/29/24 11,394,000 12,028,153 
UBS Group Funding Ltd. 4.125% 9/24/25 (b) 18,881,000 20,028,598 
  1,083,040,415 
Consumer Finance - 0.8%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 7,478,000 7,684,898 
Capital One Financial Corp. 2.45% 4/24/19 10,550,000 10,628,257 
Credito Real S.A.B. de CV 7.5% 3/13/19 (b) 1,465,000 1,516,275 
Discover Financial Services:   
3.85% 11/21/22 34,849,000 36,239,176 
3.95% 11/6/24 14,738,000 15,231,072 
5.2% 4/27/22 12,545,000 13,738,332 
Ford Motor Credit Co. LLC:   
1.724% 12/6/17 18,742,000 18,753,280 
2.24% 6/15/18 19,162,000 19,235,723 
2.597% 11/4/19 52,209,000 52,692,209 
2.875% 10/1/18 13,000,000 13,129,995 
Hyundai Capital America:   
2.125% 10/2/17 (b) 18,524,000 18,529,055 
2.875% 8/9/18 (b) 5,276,000 5,319,910 
SLM Corp.:   
5.5% 1/15/19 725,000 750,593 
5.5% 1/25/23 2,640,000 2,666,400 
Synchrony Financial:   
3% 8/15/19 4,907,000 4,978,115 
3.75% 8/15/21 7,409,000 7,658,000 
4.25% 8/15/24 7,458,000 7,808,971 
  236,560,261 
Diversified Financial Services - 0.6%   
1MDB Global Investments Ltd. 4.4% 3/9/23 1,000,000 931,400 
Annington Funding PLC 2.646% 7/12/25 (Reg. S) GBP2,100,000 2,791,783 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 25,518,000 25,481,570 
3.85% 2/1/25 14,325,000 14,349,404 
3.875% 8/15/22 21,027,000 21,741,109 
4.125% 6/15/26 8,647,000 8,773,449 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) 2,820,000 3,066,750 
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 1,350,000 1,221,345 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 12,570,000 12,695,700 
5.875% 2/1/22 25,766,000 26,499,043 
6% 8/1/20 2,810,000 2,894,300 
6.25% 2/1/22 1,105,000 1,139,531 
6.75% 2/1/24 2,000,000 2,105,600 
ILFC E-Capital Trust I 3 month U.S. LIBOR + 1.550% 4.34% 12/21/65 (b)(d)(e) 11,760,000 11,172,000 
ILFC E-Capital Trust II 3 month U.S. LIBOR + 1.800% 4.59% 12/21/65 (b)(d)(e) 6,710,000 6,366,113 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (b) 3,550,000 3,767,438 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (b) 1,375,000 1,417,969 
Pontis IV Ltd. 5.125% 3/31/27 (b) 580,000 582,900 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 1,395,000 1,465,164 
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (b) 2,080,000 2,056,600 
Sistema International Funding SA 6.95% 5/17/19 (b) 945,000 909,260 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) 6,270,000 7,139,963 
Sparc Em Spc 0% 12/5/22 (b) 205,000 185,628 
Tempo Acquisition LLC / Tempo 6.75% 6/1/25 (b) 1,815,000 1,855,838 
TMK Capital SA 6.75% 4/3/20 (Reg. S) 560,000 587,830 
Voya Financial, Inc. 3.125% 7/15/24 13,804,000 13,769,031 
  174,966,718 
Insurance - 1.3%   
AIA Group Ltd. 2.25% 3/11/19 (b) 2,566,000 2,568,803 
American International Group, Inc.:   
2.3% 7/16/19 6,461,000 6,509,579 
3.3% 3/1/21 9,614,000 9,950,041 
3.875% 1/15/35 19,041,000 18,727,021 
4.875% 6/1/22 18,193,000 20,111,087 
Aon Corp. 5% 9/30/20 3,854,000 4,174,229 
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (d) 3,050,000 3,221,898 
Assicurazioni Generali SpA 5.5% 10/27/47 (Reg. S) (d) EUR2,450,000 3,366,780 
AXA SA 3.941%(Reg. S) (c)(d) EUR1,270,000 1,668,904 
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (d) 2,250,000 2,433,224 
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.8522% 5/16/46 (b)(d)(e) 1,859,000 1,831,115 
Hartford Financial Services Group, Inc. 5.125% 4/15/22 14,787,000 16,517,376 
Liberty Mutual Group, Inc. 5% 6/1/21 (b) 12,644,000 13,808,599 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 7,090,000 7,746,395 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) 30,523,000 31,914,682 
MetLife, Inc.:   
1.903% 12/15/17 (d) 2,987,000 2,990,717 
3.048% 12/15/22 (d) 12,433,000 12,854,237 
4.75% 2/8/21 4,032,000 4,392,897 
Metropolitan Life Global Funding I 3% 1/10/23 (b) 7,896,000 8,109,649 
Pacific Life Insurance Co. 9.25% 6/15/39 (b) 7,041,000 11,617,370 
Pacific LifeCorp:   
5.125% 1/30/43 (b) 33,774,000 37,879,175 
6% 2/10/20 (b) 15,416,000 16,738,450 
Pricoa Global Funding I 5.375% 5/15/45 (d) 17,492,000 18,760,170 
Prudential Financial, Inc.:   
2.3% 8/15/18 1,622,000 1,633,108 
6.2% 11/15/40 4,318,000 5,671,825 
7.375% 6/15/19 3,230,000 3,541,607 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) 18,083,000 20,529,776 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (b) 4,172,000 4,242,454 
4.125% 11/1/24 (b) 6,048,000 6,434,440 
Unum Group:   
3.875% 11/5/25 21,587,000 22,432,704 
4% 3/15/24 20,000,000 21,124,776 
5.625% 9/15/20 8,386,000 9,195,242 
5.75% 8/15/42 25,545,000 30,841,229 
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) 2,370,000 2,414,438 
  385,953,997 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 5% 12/15/21 4,120,000 4,269,350 
Thrifts & Mortgage Finance - 0.0%   
Leeds Building Society 0.5% 7/3/24 (Reg. S) EUR4,800,000 5,692,509 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) 1,000,000 1,105,000 
  6,797,509 
TOTAL FINANCIALS  3,399,372,213 
HEALTH CARE - 1.5%   
Biotechnology - 0.2%   
AbbVie, Inc.:   
2.9% 11/6/22 24,855,000 25,215,951 
4.5% 5/14/35 23,238,000 24,858,427 
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (b) 3,815,000 3,817,861 
  53,892,239 
Health Care Equipment & Supplies - 0.1%   
Becton, Dickinson & Co. 2.675% 12/15/19 3,954,000 4,010,977 
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (b) 2,395,000 2,233,338 
Ortho-Clinical Diagnostics, Inc. 6.625% 5/15/22 (b) 1,415,000 1,386,700 
Teleflex, Inc. 4.875% 6/1/26 6,975,000 7,184,250 
  14,815,265 
Health Care Providers & Services - 0.5%   
Aetna, Inc. 2.75% 11/15/22 2,010,000 2,041,051 
Community Health Systems, Inc.:   
6.25% 3/31/23 4,705,000 4,740,288 
6.875% 2/1/22 14,070,000 11,660,513 
HCA Holdings, Inc.:   
3.75% 3/15/19 18,722,000 19,049,635 
4.25% 10/15/19 7,590,000 7,827,188 
4.5% 2/15/27 5,270,000 5,342,463 
4.75% 5/1/23 595,000 627,606 
5% 3/15/24 6,375,000 6,773,438 
5.25% 6/15/26 11,470,000 12,344,588 
5.875% 3/15/22 715,000 792,149 
5.875% 2/15/26 7,310,000 7,885,663 
6.5% 2/15/20 30,303,000 32,999,361 
HealthSouth Corp. 5.125% 3/15/23 4,745,000 4,851,763 
Kindred Healthcare, Inc. 8% 1/15/20 1,145,000 1,136,413 
Medco Health Solutions, Inc. 4.125% 9/15/20 7,486,000 7,898,554 
Sabra Health Care LP/Sabra Capital Corp.:   
5.375% 6/1/23 500,000 517,350 
5.5% 2/1/21 1,555,000 1,617,200 
Tenet Healthcare Corp.:   
4.375% 10/1/21 3,825,000 3,887,156 
4.625% 7/15/24 (b) 6,810,000 6,808,638 
6.75% 6/15/23 6,140,000 6,091,494 
7.5% 1/1/22 (b) 775,000 835,063 
THC Escrow Corp. III:   
5.125% 5/1/25 (b) 6,125,000 6,162,975 
7% 8/1/25 (b) 3,670,000 3,595,462 
Wellcare Health Plans, Inc. 5.25% 4/1/25 1,675,000 1,754,563 
WellPoint, Inc. 3.3% 1/15/23 6,442,000 6,671,587 
  163,912,161 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 10/15/26 (b) 2,715,000 2,843,963 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
2.4% 2/1/19 1,959,000 1,973,280 
4.15% 2/1/24 3,010,000 3,248,005 
  5,221,285 
Pharmaceuticals - 0.7%   
Actavis Funding SCS:   
3% 3/12/20 13,777,000 14,060,531 
3.45% 3/15/22 48,347,000 50,230,284 
Mylan N.V.:   
2.25% 11/22/24 (Reg. S) EUR1,650,000 2,025,026 
2.5% 6/7/19 16,423,000 16,476,508 
3.15% 6/15/21 21,235,000 21,536,960 
3.95% 6/15/26 11,126,000 11,334,591 
Perrigo Finance PLC:   
3.5% 12/15/21 1,541,000 1,597,392 
3.9% 12/15/24 5,449,000 5,618,253 
Teva Pharmaceutical Finance IV BV 2.875% 4/15/19 EUR1,050,000 1,293,622 
Teva Pharmaceutical Finance Netherlands III BV:   
1.25% 3/31/23 (Reg. S) EUR1,500,000 1,720,301 
2.2% 7/21/21 15,311,000 14,570,916 
2.8% 7/21/23 10,972,000 10,340,219 
3.15% 10/1/26 12,782,000 11,696,405 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (b) 4,690,000 4,631,375 
5.625% 12/1/21 (b) 8,980,000 8,239,150 
5.875% 5/15/23 (b) 9,480,000 8,081,700 
6.125% 4/15/25 (b) 9,290,000 7,838,438 
6.5% 3/15/22 (b) 2,500,000 2,621,875 
VPI Escrow Corp. 6.375% 10/15/20 (b) 1,865,000 1,846,910 
Zoetis, Inc.:   
1.875% 2/1/18 2,006,000 2,005,941 
3.25% 2/1/23 4,892,000 5,061,033 
3.45% 11/13/20 5,179,000 5,383,703 
  208,211,133 
TOTAL HEALTH CARE  448,896,046 
INDUSTRIALS - 0.9%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc.:   
3.8% 10/7/24 (b) 9,122,000 9,634,201 
6.375% 6/1/19 (b) 8,071,000 8,673,950 
DAE Funding LLC:   
4% 8/1/20 (b) 1,425,000 1,439,250 
4.5% 8/1/22 (b) 1,970,000 2,009,400 
5% 8/1/24 (b) 4,820,000 4,928,450 
TransDigm, Inc.:   
5.5% 10/15/20 3,580,000 3,634,774 
6% 7/15/22 420,000 434,700 
6.375% 6/15/26 2,060,000 2,119,225 
6.5% 5/15/25 4,460,000 4,593,800 
  37,467,750 
Air Freight & Logistics - 0.0%   
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) 3,045,000 3,259,673 
Airlines - 0.1%   
Air Canada 7.75% 4/15/21 (b) 1,470,000 1,681,827 
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 3/15/20 (b) 5,685,000 5,740,713 
Allegiant Travel Co. 5.5% 7/15/19 4,985,000 5,122,088 
American Airlines Group, Inc. 4.625% 3/1/20 (b) 1,650,000 1,695,375 
American Airlines, Inc. pass-thru trust certificates 5.625% 7/15/22 (b) 184,258 193,852 
Continental Airlines, Inc.:   
pass-thru trust certificates 9.798% 4/1/21 152,523 167,394 
6.648% 9/15/17 130,533 130,533 
6.9% 1/2/18 40,005 40,405 
U.S. Airways Group, Inc. 6.125% 6/1/18 895,000 920,731 
U.S. Airways pass-thru certificates:   
Series 2012-2C, 5.45% 6/3/18 1,690,000 1,717,463 
Series 2013-1 Class B, 5.375% 11/15/21 281,261 298,137 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 234,608 239,300 
8.36% 1/20/19 209,681 209,681 
United Air Lines, Inc. pass-thru trust certificates Class B, 7.336% 7/2/19 514,957 551,004 
United Continental Holdings, Inc. 6% 12/1/20 605,000 654,913 
  19,363,416 
Building Products - 0.1%   
Building Materials Corp. of America:   
5% 2/15/27 (b) 4,295,000 4,402,375 
5.125% 2/15/21 (b) 4,870,000 5,040,450 
5.375% 11/15/24 (b) 3,095,000 3,234,275 
6% 10/15/25 (b) 3,630,000 3,902,250 
HD Supply, Inc. 5.75% 4/15/24 (b) 2,440,000 2,616,900 
  19,196,250 
Commercial Services & Supplies - 0.2%   
ADS Waste Holdings, Inc. 5.625% 11/15/24 (b) 2,035,000 2,116,400 
APX Group, Inc.:   
6.375% 12/1/19 5,657,000 5,783,434 
7.625% 9/1/23 (b) 3,860,000 3,908,250 
7.875% 12/1/22 1,150,000 1,247,750 
8.75% 12/1/20 10,732,000 11,053,960 
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) 3,845,000 4,142,988 
CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 (b) 795,000 810,900 
Cenveo Corp. 6% 8/1/19 (b) 325,000 267,313 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) 3,420,000 3,591,000 
Prime Security One MS, Inc. 4.875% 7/15/32 (b) 2,490,000 2,306,363 
Securitas AB 1.125% 2/20/24 (Reg. S) EUR5,350,000 6,429,227 
  41,657,585 
Construction & Engineering - 0.0%   
Cementos Progreso Trust 7.125% 11/6/23 (b) 920,000 978,650 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b) 2,575,000 1,030,000 
7.125% 6/26/42 (b) 1,425,000 577,125 
  2,585,775 
Electrical Equipment - 0.0%   
Sensata Technologies BV 5% 10/1/25 (b) 4,285,000 4,488,538 
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) EUR2,740,000 3,516,028 
  8,004,566 
Industrial Conglomerates - 0.0%   
Alfa SA de CV 5.25% 3/25/24 (b) 450,000 489,375 
Machinery - 0.0%   
Xerium Technologies, Inc. 9.5% 8/15/21 2,500,000 2,587,500 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) 10,660,000 8,821,150 
Navios Maritime Holdings, Inc. 7.375% 1/15/22 (b) 1,520,000 1,235,000 
  10,056,150 
Road & Rail - 0.0%   
Alpha Trains Finance SA 2.064% 6/30/25 EUR4,000,000 4,810,008 
JSC Georgian Railway 7.75% 7/11/22 (b) 650,000 715,039 
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (b) 570,000 630,420 
  6,155,467 
Trading Companies & Distributors - 0.4%   
Air Lease Corp.:   
2.125% 1/15/18 7,271,000 7,281,123 
2.625% 9/4/18 16,438,000 16,573,498 
3.375% 6/1/21 10,493,000 10,824,213 
3.75% 2/1/22 26,396,000 27,743,562 
3.875% 4/1/21 14,814,000 15,512,301 
4.25% 9/15/24 12,030,000 12,755,487 
4.75% 3/1/20 11,796,000 12,530,579 
Ashtead Capital, Inc.:   
4.125% 8/15/25 (b) 1,490,000 1,527,742 
4.375% 8/15/27 (b) 1,575,000 1,606,500 
FLY Leasing Ltd. 6.375% 10/15/21 6,000,000 6,285,000 
Travis Perkins PLC:   
4.375% 9/15/21 (Reg. S) GBP203,000 276,246 
4.5% 9/7/23 (Reg. S) GBP1,950,000 2,628,988 
  115,545,239 
Transportation Infrastructure - 0.0%   
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) 1,960,000 2,067,330 
Brisa Concessao Rodoviaria SA 2.375% 5/10/27 EUR900,000 1,112,973 
Global Ports Finance PLC 6.872% 1/25/22 (b) 1,410,000 1,485,006 
Heathrow Funding Ltd. 6% 3/20/20 GBP3,800,000 5,502,991 
  10,168,300 
TOTAL INDUSTRIALS  276,537,046 
INFORMATION TECHNOLOGY - 0.4%   
Communications Equipment - 0.0%   
Banglalink Digital Communications Ltd.:   
8.625% 5/6/19 (b) 3,955,000 4,128,625 
8.625% 5/6/19 (Reg. S) 200,000 208,780 
CommScope Technologies Finance LLC 5% 3/15/27 (b) 2,305,000 2,297,048 
Proven Glory Capital Ltd. 3.25% 2/21/22 (Reg. S) 3,300,000 3,338,330 
  9,972,783 
Electronic Equipment & Components - 0.0%   
Belden, Inc. 5.25% 7/15/24 (b) 865,000 890,950 
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (b) 796,000 813,516 
4.42% 6/15/21 (b) 2,400,000 2,529,020 
Tyco Electronics Group SA:   
2.375% 12/17/18 2,244,000 2,256,965 
6.55% 10/1/17 1,383,000 1,387,744 
  7,878,195 
Internet Software & Services - 0.1%   
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 12.5% 7/1/22 (b) 5,095,000 5,859,250 
VeriSign, Inc.:   
4.75% 7/15/27 (b) 1,955,000 1,989,017 
5.25% 4/1/25 2,730,000 2,921,100 
  10,769,367 
IT Services - 0.0%   
Ceridian HCM Holding, Inc. 11% 3/15/21 (b) 440,000 465,850 
Gartner, Inc. 5.125% 4/1/25 (b) 1,335,000 1,406,756 
  1,872,606 
Semiconductors & Semiconductor Equipment - 0.2%   
Micron Technology, Inc.:   
5.25% 8/1/23 (b) 1,730,000 1,801,363 
5.25% 1/15/24 (b) 2,650,000 2,756,000 
5.5% 2/1/25 1,675,000 1,769,135 
5.625% 1/15/26 (b) 1,285,000 1,355,521 
NXP BV/NXP Funding LLC:   
3.875% 9/1/22 (b) 10,645,000 11,017,575 
4.125% 6/1/21 (b) 9,955,000 10,412,930 
4.625% 6/15/22 (b) 4,875,000 5,204,063 
4.625% 6/1/23 (b) 2,480,000 2,651,244 
Qorvo, Inc. 7% 12/1/25 5,885,000 6,664,763 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) 3,025,000 3,304,813 
Versum Materials, Inc. 5.5% 9/30/24 (b) 2,715,000 2,857,538 
  49,794,945 
Software - 0.1%   
CDK Global, Inc. 4.875% 6/1/27 (b) 1,820,000 1,847,300 
Greeneden U.S. Holdings II LLC 10% 11/30/24 (b) 3,810,000 4,333,875 
Nuance Communications, Inc. 5.375% 8/15/20 (b) 1,939,000 1,968,085 
Open Text Corp. 5.875% 6/1/26 (b) 11,080,000 12,007,950 
Symantec Corp. 5% 4/15/25 (b) 4,470,000 4,680,984 
  24,838,194 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (d) 4,836,000 5,135,114 
TOTAL INFORMATION TECHNOLOGY  110,261,204 
MATERIALS - 0.9%   
Chemicals - 0.2%   
Axalta Coating Systems 4.875% 8/15/24 (b) 1,287,000 1,315,958 
Braskem Finance Ltd.:   
5.375% 5/2/22 (b) 1,560,000 1,645,800 
5.75% 4/15/21 (b) 830,000 884,988 
6.45% 2/3/24 680,000 763,300 
Evolution Escrow Issuer LLC 7.5% 3/15/22 (b) 3,730,000 3,907,175 
Kraton Polymers LLC/Kraton Polymers Capital Corp. 7% 4/15/25 (b) 5,185,000 5,573,875 
NOVA Chemicals Corp.:   
4.875% 6/1/24 (b) 3,820,000 3,820,000 
5.25% 6/1/27 (b) 2,985,000 2,977,538 
Nufarm Australia Ltd. 6.375% 10/15/19 (b) 3,605,000 3,681,606 
OCP SA 5.625% 4/25/24 (b) 390,000 421,532 
Olin Corp. 5.125% 9/15/27 5,750,000 5,951,250 
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (b) 4,255,000 4,340,100 
The Chemours Co. LLC 5.375% 5/15/27 855,000 891,338 
The Dow Chemical Co.:   
4.125% 11/15/21 10,888,000 11,632,606 
4.25% 11/15/20 3,653,000 3,878,863 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) 4,650,000 4,754,625 
Valvoline, Inc. 4.375% 8/15/25 (b) 3,845,000 3,878,644 
  60,319,198 
Construction Materials - 0.1%   
CEMEX Finance LLC:   
4.625% 6/15/24 EUR200,000 257,756 
6% 4/1/24 (b) 5,665,000 5,998,102 
9.375% 10/12/22 (b) 985,000 1,037,205 
CEMEX S.A.B. de CV:   
4.375% 3/5/23 (Reg. S) EUR250,000 314,011 
4.75% 1/11/22 (Reg. S) EUR1,675,000 2,063,794 
5.7% 1/11/25 (b) 1,960,000 2,101,120 
7.75% 4/16/26 (b) 4,100,000 4,709,875 
Eagle Materials, Inc. 4.5% 8/1/26 4,180,000 4,357,650 
Summit Materials LLC/Summit Materials Finance Corp. 5.125% 6/1/25 (b) 870,000 887,400 
Union Andina de Cementos SAA 5.875% 10/30/21 (b) 635,000 663,702 
  22,390,615 
Containers & Packaging - 0.1%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
4.25% 9/15/22 (b) 3,145,000 3,223,625 
4.625% 5/15/23 (b) 6,305,000 6,478,388 
6% 2/15/25 (b) 9,765,000 10,399,725 
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 5,350,000 5,376,750 
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) 3,930,000 4,205,100 
Silgan Holdings, Inc. 4.75% 3/15/25 (b) 2,945,000 3,018,625 
  32,702,213 
Metals & Mining - 0.5%   
Anglo American Capital PLC 2.5% 9/18/18 EUR2,850,000 3,473,500 
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (b)(d) 7,018,000 7,693,833 
6.75% 10/19/75 (b)(d) 17,432,000 20,221,120 
Big River Steel LLC/BRS Finance Corp. 7.25% 9/1/25 (b) 1,585,000 1,660,288 
Cliffs Natural Resources, Inc. 5.75% 3/1/25 (b) 4,720,000 4,615,688 
Commercial Metals Co. 5.375% 7/15/27 5,020,000 5,233,350 
Compania Minera Ares SAC 7.75% 1/23/21 (b) 2,130,000 2,255,138 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (b) 8,277,000 8,382,035 
4.5% 8/1/47 (b) 6,545,000 6,719,097 
EVRAZ Group SA:   
5.375% 3/20/23 (b) 2,495,000 2,563,613 
6.5% 4/22/20 (b) 459,000 488,835 
8.25% 1/28/21 (Reg. S) 2,635,000 2,960,502 
Evraz, Inc. NA Canada 7.5% 11/15/19 (b) 38,000 38,570 
Ferrexpo Finance PLC:   
10.375% 4/7/19 (b) 200,000 212,250 
10.375% 4/7/19 (b) 1,167,000 1,238,479 
10.375% 4/7/19 (Reg. S) 275,000 291,844 
First Quantum Minerals Ltd.:   
7.25% 5/15/22 (b) 2,220,000 2,281,050 
7.25% 4/1/23 (b) 9,340,000 9,596,850 
7.5% 4/1/25 (b) 3,325,000 3,403,969 
FMG Resources (August 2006) Pty Ltd.:   
4.75% 5/15/22 (b) 1,360,000 1,404,200 
5.125% 5/15/24 (b) 3,895,000 4,041,063 
Freeport-McMoRan, Inc.:   
3.55% 3/1/22 10,100,000 9,935,875 
3.875% 3/15/23 3,080,000 3,049,200 
4.55% 11/14/24 9,320,000 9,296,700 
Gold Fields Orogen Holding BVI Ltd.:   
4.875% 10/7/20 (b) 2,055,000 2,120,246 
4.875% 10/7/20 (Reg. S) 200,000 206,350 
GTL Trade Finance, Inc. 5.893% 4/29/24 (b) 850,000 901,000 
Lundin Mining Corp.:   
7.5% 11/1/20 (b) 5,125,000 5,349,219 
7.875% 11/1/22 (b) 3,615,000 3,940,350 
Metalloinvest Finance Designated Activity Co. 4.85% 5/2/24 (b) 620,000 626,428 
Metinvest BV 9.3725% 12/31/21 pay-in-kind (d) 7,819,600 7,710,126 
Murray Energy Corp. 11.25% 4/15/21 (b) 1,725,000 1,000,500 
Polyus Finance PLC 5.25% 2/7/23 (b) 840,000 871,500 
Southern Copper Corp. 7.5% 7/27/35 1,210,000 1,564,048 
Steel Dynamics, Inc.:   
5.125% 10/1/21 2,205,000 2,262,771 
5.25% 4/15/23 3,040,000 3,146,400 
Stillwater Mining Co.:   
6.125% 6/27/22 (b) 3,225,000 3,263,700 
7.125% 6/27/25 (b) 1,200,000 1,228,200 
Vale Overseas Ltd.:   
4.375% 1/11/22 13,150,000 13,856,813 
5.875% 6/10/21 575,000 637,503 
6.875% 11/21/36 640,000 731,840 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 1,425,000 1,482,000 
8.25% 6/7/21 (b) 1,400,000 1,568,000 
VM Holding SA 5.375% 5/4/27 (b) 2,245,000 2,359,495 
  165,883,538 
Paper & Forest Products - 0.0%   
Sino-Forest Corp. 6.25% 10/21/17 (b)(f)(g) 1,365,000 0 
TOTAL MATERIALS  281,295,564 
REAL ESTATE - 2.7%   
Equity Real Estate Investment Trusts (REITs) - 1.5%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 2,884,000 2,916,206 
4.6% 4/1/22 4,896,000 5,264,744 
alstria office REIT-AG:   
2.125% 4/12/23 (Reg. S) EUR2,400,000 3,058,647 
2.25% 3/24/21 (Reg. S) EUR2,800,000 3,541,085 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 3,491,000 3,629,231 
AvalonBay Communities, Inc. 3.625% 10/1/20 5,005,000 5,218,282 
Boston Properties, Inc. 3.85% 2/1/23 5,829,000 6,205,358 
Camden Property Trust:   
2.95% 12/15/22 6,621,000 6,675,665 
4.25% 1/15/24 9,191,000 9,789,496 
CBL & Associates LP 4.6% 10/15/24 272,000 259,392 
CommonWealth REIT 5.875% 9/15/20 2,130,000 2,281,395 
Corporate Office Properties LP 5% 7/1/25 8,095,000 8,732,120 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 3,510,000 3,624,075 
DDR Corp.:   
3.625% 2/1/25 9,949,000 9,724,357 
3.9% 8/15/24 3,606,000 3,650,191 
4.25% 2/1/26 22,796,000 23,005,820 
4.625% 7/15/22 20,268,000 21,455,553 
4.7% 6/1/27 840,000 871,054 
7.875% 9/1/20 323,000 378,330 
Duke Realty LP:   
3.625% 4/15/23 6,287,000 6,536,677 
3.75% 12/1/24 5,408,000 5,657,494 
3.875% 10/15/22 17,388,000 18,384,613 
Equinix, Inc. 5.375% 5/15/27 1,680,000 1,808,100 
Equity One, Inc. 3.75% 11/15/22 18,100,000 18,812,798 
ERP Operating LP:   
2.375% 7/1/19 8,777,000 8,864,476 
4.75% 7/15/20 7,700,000 8,224,668 
Federal Realty Investment Trust 5.9% 4/1/20 2,504,000 2,740,523 
Health Care REIT, Inc.:   
2.25% 3/15/18 5,151,000 5,159,781 
4.7% 9/15/17 1,538,000 1,539,193 
iStar Financial, Inc. 6% 4/1/22 775,000 796,313 
Lexington Corporate Properties Trust 4.4% 6/15/24 4,608,000 4,680,409 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 4,930,000 5,114,875 
6.375% 3/1/24 2,250,000 2,444,063 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 42,087,000 43,964,439 
4.5% 1/15/25 10,686,000 10,986,121 
4.5% 4/1/27 50,980,000 51,755,233 
4.75% 1/15/28 29,482,000 30,015,898 
4.95% 4/1/24 17,495,000 18,560,072 
5.25% 1/15/26 29,233,000 31,370,937 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 3,376,000 3,302,259 
5% 12/15/23 2,030,000 2,130,408 
SBA Communications Corp. 4.875% 9/1/24 8,675,000 8,956,938 
Senior Housing Properties Trust 6.75% 4/15/20 250,000 270,668 
VEREIT Operating Partnership LP:   
4.125% 6/1/21 1,770,000 1,858,659 
4.875% 6/1/26 1,770,000 1,901,169 
Weingarten Realty Investors 3.375% 10/15/22 2,729,000 2,800,247 
WP Carey, Inc. 4% 2/1/25 34,017,000 34,772,088 
  453,690,120 
Real Estate Management & Development - 1.2%   
Akelius Residential Property AB 1.75% 2/7/25 (Reg. S) EUR2,750,000 3,314,374 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 26,418,000 27,023,820 
4.1% 10/1/24 15,881,000 16,139,972 
4.55% 10/1/29 17,155,000 17,673,669 
4.95% 4/15/18 12,690,000 12,901,443 
CBRE Group, Inc. 5% 3/15/23 465,000 483,600 
Deutsche Annington Finance BV 5% 10/2/23 (b) 5,800,000 6,267,755 
Digital Realty Trust LP:   
3.4% 10/1/20 17,707,000 18,327,238 
3.625% 10/1/22 9,206,000 9,634,126 
3.95% 7/1/22 11,840,000 12,563,459 
4.75% 10/1/25 30,612,000 33,379,459 
5.25% 3/15/21 5,708,000 6,231,442 
Essex Portfolio LP 3.875% 5/1/24 8,802,000 9,209,644 
Host Hotels & Resorts LP 4.75% 3/1/23 150,000 162,140 
Howard Hughes Corp. 5.375% 3/15/25 (b) 4,440,000 4,442,930 
Hunt Companies, Inc. 9.625% 3/1/21 (b) 870,000 913,500 
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) 5,000 5,744 
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) 770,000 866,358 
Liberty Property LP:   
3.375% 6/15/23 8,174,000 8,359,999 
4.125% 6/15/22 14,880,000 15,760,594 
4.4% 2/15/24 13,017,000 14,015,121 
4.75% 10/1/20 11,282,000 12,018,751 
Mack-Cali Realty LP:   
2.5% 12/15/17 9,223,000 9,233,134 
3.15% 5/15/23 14,735,000 14,062,076 
4.5% 4/18/22 17,365,000 17,874,063 
Mattamy Group Corp. 6.875% 12/15/23 (b) 850,000 864,875 
Post Apartment Homes LP 3.375% 12/1/22 2,570,000 2,645,222 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (b) 235,000 242,050 
SELP Finance SARL 1.25% 10/25/23 (Reg. S) EUR4,285,000 5,092,503 
Tanger Properties LP:   
3.125% 9/1/26 11,019,000 10,479,320 
3.75% 12/1/24 21,455,000 21,821,138 
3.875% 12/1/23 4,812,000 4,949,054 
Ventas Realty LP:   
3.125% 6/15/23 5,458,000 5,515,334 
3.5% 2/1/25 5,961,000 6,053,410 
3.75% 5/1/24 25,000,000 25,859,010 
4.125% 1/15/26 5,557,000 5,848,072 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 8,050,000 8,058,234 
4% 4/30/19 3,747,000 3,855,558 
4.25% 3/1/22 300,000 319,545 
  372,467,736 
TOTAL REAL ESTATE  826,157,856 
TELECOMMUNICATION SERVICES - 1.4%   
Diversified Telecommunication Services - 1.1%   
Altice Financing SA:   
6.5% 1/15/22 (b) 6,250,000 6,500,000 
6.625% 2/15/23 (b) 2,780,000 2,939,850 
7.5% 5/15/26 (b) 8,720,000 9,550,144 
Altice Finco SA 7.625% 2/15/25 (b) 3,995,000 4,219,719 
AT&T, Inc.:   
2.45% 6/30/20 11,294,000 11,390,494 
3% 6/30/22 29,259,000 29,589,264 
3.4% 5/15/25 39,520,000 39,256,777 
3.6% 2/17/23 27,844,000 28,690,753 
5.875% 10/1/19 5,944,000 6,401,578 
6.3% 1/15/38 16,665,000 19,565,288 
BellSouth Capital Funding Corp. 7.875% 2/15/30 40,000 53,434 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) 820,000 850,750 
GTH Finance BV:   
6.25% 4/26/20 (b) 1,240,000 1,315,404 
7.25% 4/26/23 (b) 4,795,000 5,425,159 
Sable International Finance Ltd. 6.875% 8/1/22 (b) 4,575,000 4,923,844 
SFR Group SA:   
6% 5/15/22 (b) 4,550,000 4,794,472 
6.25% 5/15/24 (b) 3,140,000 3,304,850 
7.375% 5/1/26 (b) 2,380,000 2,570,448 
Sprint Capital Corp. 6.875% 11/15/28 17,555,000 19,310,500 
TalkTalk Telecom Group PLC 5.375% 1/15/22 (Reg. S) GBP410,000 550,052 
TDC A/S 3.5% 2/26/3015 (Reg. S) (d) EUR1,550,000 1,898,247 
Telecom Italia Capital SA:   
6% 9/30/34 2,425,000 2,679,625 
6.375% 11/15/33 3,785,000 4,324,363 
Telecom Italia SpA 5.303% 5/30/24 (b) 1,065,000 1,152,863 
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) 1,650,000 1,710,605 
Verizon Communications, Inc.:   
2.625% 2/21/20 12,550,000 12,806,207 
4.5% 9/15/20 36,000,000 38,617,232 
5.012% 4/15/49 2,831,000 2,843,069 
5.012% 8/21/54 55,038,000 54,111,871 
5.5% 3/16/47 18,149,000 19,612,360 
Wind Acquisition Finance SA:   
4.75% 7/15/20 (b) 2,035,000 2,060,438 
7% 4/23/21 (Reg S.) EUR4,300,000 5,326,149 
  348,345,809 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 3.125% 7/16/22 9,218,000 9,549,931 
Comcel Trust 6.875% 2/6/24 (b) 725,000 771,567 
Digicel Group Ltd. 6.75% 3/1/23 (b) 560,000 536,900 
Inmarsat Finance PLC 4.875% 5/15/22 (b) 2,105,000 2,141,838 
Millicom International Cellular SA:   
6% 3/15/25 (b) 1,375,000 1,471,525 
6.625% 10/15/21 (b) 2,975,000 3,075,406 
Sprint Communications, Inc.:   
6% 11/15/22 4,840,000 5,148,550 
9% 11/15/18 (b) 2,225,000 2,403,000 
Sprint Corp.:   
7.25% 9/15/21 7,925,000 8,737,313 
7.625% 2/15/25 4,740,000 5,356,200 
7.875% 9/15/23 12,075,000 13,797,257 
T-Mobile U.S.A., Inc.:   
4% 4/15/22 5,110,000 5,263,300 
6% 3/1/23 4,060,000 4,278,225 
6.375% 3/1/25 4,860,000 5,233,613 
6.5% 1/15/24 6,085,000 6,495,738 
6.625% 4/1/23 12,185,000 12,839,944 
Telesat Canada/Telesat LLC 8.875% 11/15/24 (b) 3,705,000 4,149,600 
Vodafone Group PLC 7.875% 2/15/30 1,850,000 2,524,778 
  93,774,685 
TOTAL TELECOMMUNICATION SERVICES  442,120,494 
UTILITIES - 2.0%   
Electric Utilities - 1.1%   
American Electric Power Co., Inc.:   
1.65% 12/15/17 5,213,000 5,213,669 
2.95% 12/15/22 4,935,000 5,062,652 
DPL, Inc. 6.75% 10/1/19 2,490,000 2,608,275 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (b) 29,344,000 33,244,162 
6.4% 9/15/20 (b) 25,897,000 29,023,954 
Edison International 3.75% 9/15/17 6,674,000 6,677,375 
Eversource Energy:   
1.45% 5/1/18 3,325,000 3,322,894 
2.8% 5/1/23 15,104,000 15,304,009 
Exelon Corp. 2.85% 6/15/20 4,888,000 4,995,396 
FirstEnergy Corp.:   
4.25% 3/15/23 31,243,000 33,153,439 
7.375% 11/15/31 64,123,000 86,540,400 
FirstEnergy Solutions Corp. 6.05% 8/15/21 20,194,000 9,238,755 
InterGen NV 7% 6/30/23 (b) 2,690,000 2,636,200 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 27,495,000 27,769,950 
3.7% 9/1/24 (b) 10,462,000 10,551,811 
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) 600,000 767,406 
LG&E and KU Energy LLC 3.75% 11/15/20 1,450,000 1,516,678 
Monongahela Power Co. 4.1% 4/15/24 (b) 3,982,000 4,290,691 
Nevada Power Co. 6.5% 5/15/18 790,000 816,071 
NRG Yield Operating LLC 5% 9/15/26 3,945,000 4,033,763 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) 8,546,353 9,208,695 
NV Energy, Inc. 6.25% 11/15/20 3,500,000 3,936,357 
Pampa Holding SA 7.5% 1/24/27 (b) 1,390,000 1,487,300 
Pennsylvania Electric Co. 6.05% 9/1/17 764,000 764,000 
PG&E Corp. 2.4% 3/1/19 1,683,000 1,694,598 
PPL Capital Funding, Inc. 3.4% 6/1/23 7,184,000 7,456,000 
Progress Energy, Inc. 4.4% 1/15/21 12,059,000 12,844,520 
TECO Finance, Inc. 5.15% 3/15/20 3,761,000 4,017,570 
Western Power Distribution 3.875% 10/17/24 (Reg. S) GBP1,200,000 1,769,550 
Western Power Distribution Holdings Ltd. 5.25% 1/17/23 GBP3,300,000 5,076,809 
  335,022,949 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 3,646,000 3,854,358 
Independent Power and Renewable Electricity Producers - 0.4%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 67,644,000 73,562,850 
Dynegy, Inc.:   
7.625% 11/1/24 8,010,000 8,260,313 
8.125% 1/30/26 (b) 3,095,000 3,195,588 
Emera U.S. Finance LP:   
2.15% 6/15/19 5,136,000 5,143,575 
2.7% 6/15/21 5,055,000 5,107,023 
3.55% 6/15/26 8,087,000 8,239,621 
Listrindo Capital BV 4.95% 9/14/26 (b) 820,000 830,086 
NRG Energy, Inc.:   
6.25% 5/1/24 4,510,000 4,667,850 
6.625% 1/15/27 1,695,000 1,779,750 
TerraForm Power Operating LLC 6.375% 2/1/23 (b)(d) 4,980,000 5,154,300 
The AES Corp.:   
3 month U.S. LIBOR + 3.000% 4.2018% 6/1/19 (d)(e) 1,359,000 1,360,699 
4.875% 5/15/23 9,515,000 9,729,088 
5.125% 9/1/27 1,595,000 1,622,913 
6% 5/15/26 1,545,000 1,649,288 
Three Gorges Finance II (Cayman Islands) Ltd. 1.3% 6/21/24 (Reg. S) EUR2,500,000 3,014,425 
  133,317,369 
Multi-Utilities - 0.5%   
Berkshire Hathaway Energy Co. 2% 11/15/18 12,172,000 12,216,744 
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 3.5964% 9/30/66 (d)(e) 35,229,000 32,301,470 
3 month U.S. LIBOR + 2.825% 4.1214% 6/30/66 (d)(e) 10,345,000 10,021,719 
NiSource Finance Corp.:   
5.25% 2/15/43 12,739,000 14,980,306 
5.8% 2/1/42 6,336,000 7,687,378 
5.95% 6/15/41 11,832,000 14,938,850 
6.8% 1/15/19 1,039,000 1,105,190 
Puget Energy, Inc.:   
6% 9/1/21 15,565,000 17,575,319 
6.5% 12/15/20 5,125,000 5,757,386 
RWE AG 7% 10/12/72 (Reg. S) (d) 3,650,000 3,668,615 
Sempra Energy:   
2.875% 10/1/22 5,760,000 5,828,483 
6% 10/15/39 15,009,000 19,373,730 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.4275% 5/15/67 (d)(e) 3,860,000 3,734,550 
  149,189,740 
TOTAL UTILITIES  621,384,416 
TOTAL NONCONVERTIBLE BONDS   
(Cost $9,520,414,565)  9,977,418,532 
U.S. Government and Government Agency Obligations - 37.5%   
U.S. Treasury Inflation-Protected Obligations - 7.1%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $234,051,750 $226,638,246 
0.875% 2/15/47 20,295,200 20,331,186 
1% 2/15/46 146,160,058 150,581,810 
1.375% 2/15/44 139,241,779 155,878,562 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/24 170,488,616 169,946,977 
0.125% 7/15/26 196,310,832 192,961,701 
0.25% 1/15/25 77,565,000 77,405,465 
0.375% 7/15/25 409,759,034 413,467,011 
0.375% 1/15/27 402,034,228 401,818,834 
0.375% 7/15/27 150,207,000 150,576,985 
0.625% 1/15/26 206,182,000 211,043,541 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  2,170,650,318 
U.S. Treasury Obligations - 30.4%   
U.S. Treasury Bonds:   
2.5% 2/15/45 (h)(i) 2,045,000 1,957,209 
2.5% 2/15/46 (j) 1,762,000 1,681,196 
3% 5/15/45 145,382,000 153,502,948 
3% 11/15/45 207,323,000 218,741,961 
3% 2/15/47 658,626,000 695,004,799 
3% 5/15/47 103,797,000 109,582,872 
5% 5/15/37 (h) 775,000 1,083,971 
U.S. Treasury Notes:   
0.75% 2/15/19 (j) 12,650,000 12,551,172 
1.125% 6/30/21 1,125,000 1,105,884 
1.25% 3/31/21 1,180,775,000 1,168,598,258 
1.25% 10/31/21 453,470,000 446,561,666 
1.375% 4/30/21 484,800,000 481,599,564 
1.5% 5/15/20 408,760,000 409,797,866 
1.5% 8/15/26 221,635,000 210,916,869 
1.625% 7/31/20 (j) 4,593,000 4,619,194 
1.625% 2/15/26 (h)(j) 2,949,000 2,847,974 
1.625% 5/15/26 25,750,000 24,814,551 
1.75% 12/31/20 600,000,000 604,687,500 
1.75% 6/30/22 952,845,000 954,594,366 
1.875% 3/31/22 1,455,761,000 1,468,100,747 
1.875% 8/31/24 729,808,000 726,215,885 
2% 12/31/21 906,934,000 920,077,460 
2% 4/30/24 25,000,000 25,124,024 
2% 8/15/25 (h)(j) 5,305,000 5,292,774 
2% 11/15/26 17,577,000 17,417,022 
2.125% 7/31/24 649,329,000 656,963,687 
2.25% 11/15/25 (h)(j) 1,800,000 1,827,633 
TOTAL U.S. TREASURY OBLIGATIONS  9,325,269,052 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $11,443,155,377)  11,495,919,370 
U.S. Government Agency - Mortgage Securities - 15.7%   
Fannie Mae - 9.3%   
12 month U.S. LIBOR + 1.445% 3.195% 4/1/37 (d)(e) 58,538 61,224 
12 month U.S. LIBOR + 1.480% 3.14% 7/1/34 (d)(e) 27,057 28,283 
12 month U.S. LIBOR + 1.495% 2.963% 1/1/35 (d)(e) 119,957 124,647 
12 month U.S. LIBOR + 1.507% 3.2% 7/1/37 (d)(e) 16,464 17,235 
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (d)(e) 89,059 92,030 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (d)(e) 25,292 26,579 
12 month U.S. LIBOR + 1.594% 3.448% 5/1/36 (d)(e) 120,427 126,084 
12 month U.S. LIBOR + 1.617% 3.172% 3/1/33 (d)(e) 65,981 69,137 
12 month U.S. LIBOR + 1.641% 2.862% 9/1/36 (d)(e) 68,109 71,384 
12 month U.S. LIBOR + 1.643% 2.815% 9/1/36 (d)(e) 33,332 34,876 
12 month U.S. LIBOR + 1.645% 3.309% 6/1/47 (d)(e) 61,972 65,732 
12 month U.S. LIBOR + 1.718% 3.01% 5/1/35 (d)(e) 161,999 170,688 
12 month U.S. LIBOR + 1.725% 2.583% 6/1/42 (d)(e) 207,898 214,865 
12 month U.S. LIBOR + 1.728% 3.314% 11/1/36 (d)(e) 55,682 58,750 
12 month U.S. LIBOR + 1.741% 3.332% 3/1/40 (d)(e) 284,424 301,782 
12 month U.S. LIBOR + 1.745% 3.374% 7/1/35 (d)(e) 73,514 77,553 
12 month U.S. LIBOR + 1.750% 3.031% 8/1/41 (d)(e) 652,797 691,199 
12 month U.S. LIBOR + 1.788% 3.413% 2/1/36 (d)(e) 229,221 238,208 
12 month U.S. LIBOR + 1.800% 2.759% 1/1/42 (d)(e) 1,041,856 1,094,269 
12 month U.S. LIBOR + 1.800% 3.558% 7/1/41 (d)(e) 198,969 207,285 
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (d)(e) 64,272 68,146 
12 month U.S. LIBOR + 1.810% 3.435% 12/1/39 (d)(e) 132,367 137,855 
12 month U.S. LIBOR + 1.812% 3.471% 12/1/40 (d)(e) 7,157,940 7,474,741 
12 month U.S. LIBOR + 1.815% 2.944% 11/1/40 (d)(e) 79,405 83,133 
12 month U.S. LIBOR + 1.815% 3.109% 9/1/41 (d)(e) 215,818 224,947 
12 month U.S. LIBOR + 1.818% 2.695% 2/1/42 (d)(e) 1,133,758 1,189,958 
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (d)(e) 123,969 131,517 
12 month U.S. LIBOR + 1.818% 3.249% 7/1/41 (d)(e) 164,120 171,352 
12 month U.S. LIBOR + 1.820% 3.445% 12/1/35 (d)(e) 213,655 226,472 
12 month U.S. LIBOR + 1.830% 3.38% 10/1/41 (d)(e) 111,552 118,438 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (d)(e) 100,000 106,100 
12 month U.S. LIBOR + 1.900% 3.606% 7/1/37 (d)(e) 113,509 118,413 
6 month U.S. LIBOR + 1.375% 2.75% 10/1/34 (d)(e) 1,296 1,338 
6 month U.S. LIBOR + 1.475% 2.85% 10/1/33 (d)(e) 1,223 1,261 
6 month U.S. LIBOR + 1.505% 2.846% 1/1/35 (d)(e) 177,810 183,610 
6 month U.S. LIBOR + 1.505% 2.88% 1/1/35 (d)(e) 773 803 
6 month U.S. LIBOR + 1.510% 2.854% 2/1/33 (d)(e) 773 797 
6 month U.S. LIBOR + 1.535% 2.833% 3/1/35 (d)(e) 15,626 16,156 
6 month U.S. LIBOR + 1.535% 2.884% 12/1/34 (d)(e) 39,188 40,501 
6 month U.S. LIBOR + 1.556% 2.922% 10/1/33 (d)(e) 12,017 12,424 
6 month U.S. LIBOR + 1.565% 2.845% 7/1/35 (d)(e) 16,635 17,221 
6 month U.S. LIBOR + 1.740% 3.115% 12/1/34 (d)(e) 3,918 4,096 
6 month U.S. LIBOR + 1.960% 3.335% 9/1/35 (d)(e) 25,761 27,136 
U.S. TREASURY 1 YEAR INDEX + 1.945% 2.52% 10/1/33 (d)(e) 289,120 300,901 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (d)(e) 37,194 39,340 
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.899% 6/1/36 (d)(e) 207,468 219,067 
U.S. TREASURY 1 YEAR INDEX + 2.295% 2.798% 10/1/33 (d)(e) 75,874 80,103 
U.S. TREASURY 1 YEAR INDEX + 2.447% 3.167% 7/1/34 (d)(e) 177,919 188,901 
2.5% 9/1/32 (k) 13,500,000 13,688,591 
2.5% 12/1/42 to 8/1/43 12,769,435 12,578,664 
3% 11/1/23 to 8/1/47 800,001,453 816,284,920 
3% 9/1/32 (k) 74,000,000 76,402,573 
3% 9/1/32 (k) 65,950,000 68,091,212 
3% 9/1/32 (k) 119,200,000 123,070,090 
3% 9/1/32 (k) 31,950,000 32,987,327 
3% 9/1/32 (k) 31,650,000 32,677,587 
3.5% 3/1/25 to 10/1/56 537,374,966 559,778,167 
3.5% 9/1/47 (k) 113,050,000 117,128,109 
3.5% 9/1/47 (k) 107,850,000 111,740,527 
3.5% 9/1/47 (k) 35,300,000 36,573,395 
4% 9/1/24 to 10/1/46 345,647,010 367,338,353 
4% 9/1/47 (k) 14,400,000 15,213,983 
4.5% 6/1/33 to 8/1/56 122,768,410 133,089,361 
5% 3/1/18 to 8/1/56 214,023,690 235,302,454 
5.255% 8/1/41 2,319,440 2,573,710 
5.5% 12/1/17 to 3/1/41 24,273,241 26,939,744 
6% 7/1/19 to 1/1/42 17,006,196 19,428,979 
6.309% 2/1/39 4,119,120 4,480,466 
6.5% 10/1/17 to 8/1/39 27,643,987 32,058,735 
7% 9/1/21 to 7/1/37 1,228,024 1,418,053 
7.5% 6/1/25 to 2/1/32 541,939 631,303 
8% 7/1/29 to 3/1/37 13,668 16,511 
8.5% 12/1/19 to 6/1/22 279 307 
9.5% 6/1/18 to 9/1/21 4,398 4,550 
TOTAL FANNIE MAE  2,854,454,208 
Freddie Mac - 3.5%   
12 month U.S. LIBOR + 1.325% 2.79% 1/1/36 (d)(e) 51,763 53,562 
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (d)(e) 16,431 17,015 
12 month U.S. LIBOR + 1.375% 2.854% 3/1/36 (d)(e) 136,088 141,095 
12 month U.S. LIBOR + 1.500% 3.129% 3/1/36 (d)(e) 163,318 170,779 
12 month U.S. LIBOR + 1.515% 2.93% 11/1/35 (d)(e) 79,311 82,636 
12 month U.S. LIBOR + 1.750% 3.249% 7/1/41 (d)(e) 739,532 777,281 
12 month U.S. LIBOR + 1.750% 3.394% 12/1/40 (d)(e) 3,825,013 3,981,255 
12 month U.S. LIBOR + 1.754% 3.098% 9/1/41 (d)(e) 1,196,444 1,265,875 
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (d)(e) 36,081 38,196 
12 month U.S. LIBOR + 1.864% 3.614% 4/1/36 (d)(e) 81,087 84,273 
12 month U.S. LIBOR + 1.874% 3.432% 10/1/42 (d)(e) 1,120,147 1,174,625 
12 month U.S. LIBOR + 1.877% 3.215% 4/1/41 (d)(e) 109,482 113,732 
12 month U.S. LIBOR + 1.880% 3.222% 9/1/41 (d)(e) 128,428 136,287 
12 month U.S. LIBOR + 1.910% 3.282% 6/1/41 (d)(e) 146,070 152,513 
12 month U.S. LIBOR + 1.910% 3.421% 5/1/41 (d)(e) 121,731 129,245 
12 month U.S. LIBOR + 1.910% 3.625% 5/1/41 (d)(e) 166,467 174,291 
12 month U.S. LIBOR + 1.910% 3.647% 6/1/41 (d)(e) 157,945 165,333 
12 month U.S. LIBOR + 1.920% 3.67% 6/1/36 (d)(e) 20,585 21,855 
12 month U.S. LIBOR + 1.993% 5.165% 4/1/38 (d)(e) 118,329 125,633 
12 month U.S. LIBOR + 2.045% 3.81% 7/1/36 (d)(e) 62,928 66,812 
12 month U.S. LIBOR + 2.197% 3.537% 3/1/33 (d)(e) 1,850 1,959 
12 month U.S. LIBOR + 2.200% 3.7% 12/1/36 (d)(e) 111,536 116,719 
6 month U.S. LIBOR + 1.125% 2.5% 8/1/37 (d)(e) 33,931 34,551 
6 month U.S. LIBOR + 1.445% 2.82% 3/1/35 (d)(e) 44,988 46,303 
6 month U.S. LIBOR + 1.608% 2.955% 12/1/35 (d)(e) 81,195 84,038 
6 month U.S. LIBOR + 1.647% 3.025% 2/1/37 (d)(e) 147,020 153,168 
6 month U.S. LIBOR + 1.675% 3.05% 6/1/37 (d)(e) 28,135 29,360 
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (d)(e) 52,497 54,046 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (d)(e) 26,162 27,118 
6 month U.S. LIBOR + 1.932% 3.25% 10/1/36 (d)(e) 236,127 245,974 
6 month U.S. LIBOR + 1.976% 3.34% 10/1/35 (d)(e) 118,275 124,219 
6 month U.S. LIBOR + 2.010% 3.385% 6/1/37 (d)(e) 23,779 25,111 
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (d)(e) 116,681 121,039 
6 month U.S. LIBOR + 2.066% 3.428% 6/1/37 (d)(e) 39,420 41,686 
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (d)(e) 115,245 122,358 
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.889% 6/1/33 (d)(e) 168,915 176,130 
U.S. TREASURY 1 YEAR INDEX + 2.267% 3.214% 6/1/33 (d)(e) 421,157 442,218 
U.S. TREASURY 1 YEAR INDEX + 2.418% 3.104% 3/1/35 (d)(e) 769,741 817,254 
2.5% 7/1/31 6,484,780 6,583,984 
3% 3/1/32 to 2/1/47 225,921,785 229,155,466 
3.5% 1/1/32 to 9/1/46 (h)(i)(l) 394,567,566 412,025,754 
3.5% 8/1/47 37,576,350 38,974,427 
3.5% 9/1/47 (k) 8,600,000 8,912,583 
4% 7/1/31 to 6/1/47 281,141,176 298,817,945 
4.5% 6/1/25 to 1/1/45 21,419,366 23,213,948 
5% 6/1/20 to 7/1/41 22,161,115 24,398,372 
5.5% 10/1/17 to 3/1/41 8,109,725 8,986,308 
6% 9/1/17 to 12/1/37 2,411,948 2,736,461 
6.5% 5/1/18 to 9/1/39 3,257,038 3,739,623 
7% 6/1/21 to 9/1/36 1,105,531 1,284,032 
7.5% 1/1/27 to 4/1/32 21,775 25,536 
8% 7/1/24 to 1/1/37 33,931 40,397 
8.5% 9/1/19 to 1/1/28 28,764 33,240 
9% 10/1/20 22 24 
9.5% 5/1/21 to 7/1/21 137 145 
10% 2/1/20 to 11/1/20 53 56 
11% 7/1/19 to 9/1/20 16 17 
TOTAL FREDDIE MAC  1,070,463,862 
Ginnie Mae - 2.9%   
3% 5/20/42 to 8/20/47 320,590,314 327,742,426 
3% 9/1/47 (k) 20,000,000 20,413,590 
3.5% 11/15/40 to 6/20/46 (h) 276,278,729 289,534,921 
3.5% 9/1/47 (k) 11,300,000 11,783,020 
3.5% 9/1/47 (k) 11,780,000 12,283,537 
4% 5/20/33 to 4/20/47 134,266,559 143,313,620 
4.5% 6/20/33 to 8/15/41 55,115,448 59,834,673 
5% 12/15/32 to 9/15/41 23,732,729 26,364,364 
5.5% 7/15/33 to 9/15/39 1,944,703 2,193,397 
6% 10/15/30 to 11/15/39 571,325 655,138 
6.5% 3/20/31 to 11/15/37 330,092 383,194 
7% 10/15/22 to 3/15/33 1,122,401 1,321,613 
7.5% 8/15/21 to 9/15/31 484,218 555,499 
8% 11/15/21 to 11/15/29 155,947 177,484 
8.5% 10/15/21 to 1/15/31 30,834 36,414 
9% 8/15/19 to 1/15/23 950 1,013 
9.5% 12/15/20 to 2/15/25 364 393 
11% 9/20/19 353 374 
TOTAL GINNIE MAE  896,594,670 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $4,811,433,248)  4,821,512,740 
Asset-Backed Securities - 1.1%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 1.9394% 4/25/35 (d)(e) $664,344 $654,660 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.8844% 3/25/34 (d)(e) 207,834 207,435 
Airspeed Ltd. Series 2007-1A Class C1, 1 month U.S. LIBOR + 2.500% 3.7267% 6/15/32 (b)(d)(e)(g) 2,946,522 942,887 
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (b) 930,196 930,587 
American Homes 4 Rent:   
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) 147,000 167,296 
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) 428,000 492,330 
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) 599,438 661,805 
Series 2015-SFR2:   
Class E, 6.07% 10/17/45 (b) 981,000 1,117,653 
Class XS, 0% 10/17/45 (b)(d)(g)(m) 687,019 7 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.2844% 12/25/33 (d)(e) 34,111 32,910 
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (d)(e) 89,819 79,820 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.0144% 3/25/34 (d)(e) 47,932 45,248 
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.2844% 11/25/34 (d)(e) 461,974 460,017 
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 5/25/34 (d)(e) 1,209,950 1,160,988 
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.3944% 5/25/36 (d)(e) 1,087,400 422,147 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (d)(e) 1,383,062 1,297,258 
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6044% 3/25/36 (d)(e) 18,309 6,685 
Avis Budget Rental Car Funding (AESOP) LLC Series 2012-3A Class A, 2.1% 3/20/19 (b) 9,200,000 9,209,314 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (b) 44,452,031 46,058,350 
Class AA, 2.487% 12/16/41 (b) 10,285,063 10,347,041 
CAM Mortgage Trust Series 2017-1 Class A1, 3.22% 8/1/57 (b) 18,470,696 18,488,241 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3744% 12/25/36 (d)(e) 1,802,588 1,500,975 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 2.5844% 10/25/37 (b)(d)(e) 20,158,172 20,023,334 
CLUB Credit Trust Series 2017-NP1 Class A, 2.39% 4/17/23 (b) 6,200,569 6,203,718 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 6.4844% 3/25/32 (d)(e) 3,192 3,189 
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.6894% 4/25/34 (d)(e) 52,056 49,074 
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.0294% 6/25/34 (d)(e) 78,667 78,146 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,196,869 1,213,709 
Series 2005-3 Class MV4, 1 month U.S. LIBOR + 0.620% 1.8544% 8/25/35 (d)(e) 2,910,898 2,913,740 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5544% 8/25/33 (d)(e) 212,195 209,067 
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.5244% 8/25/33 (d)(e) 342,895 333,597 
Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700%1.9322% 12/25/33 (d)(e) 32,929 31,902 
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 173,987 178,967 
Exeter Automobile Receivables Trust Series 2017-2A Class A, 2.22% 6/15/21 (b) 15,750,314 15,783,058 
Fannie Mae:   
Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 1.9452% 5/28/35 (d)(e) 38,916 37,480 
Series 2017-T1 Class A, 2.898% 6/25/27 52,094,771 52,748,795 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.4094% 8/25/34 (d)(e) 217,152 211,059 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 3/25/34 (d)(e) 2,512 2,190 
Flagship Credit Auto Trust Series 2015-3 Class A, 2.38% 10/15/20 (b) 3,645,006 3,648,916 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1 month U.S. LIBOR + 0.735% 1.9694% 1/25/35 (d)(e) 948,695 927,869 
Class M4, 1 month U.S. LIBOR + 1.020% 2.2544% 1/25/35 (d)(e) 347,133 202,886 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.6972% 2/25/47 (b)(d)(e) 490,944 464,681 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 1.4089% 11/15/34 (b)(d)(e) 442,002 427,793 
Class B, 1 month U.S. LIBOR + 0.280% 1.5067% 11/15/34 (b)(d)(e) 159,664 149,361 
Class C, 1 month U.S. LIBOR + 0.380% 1.6067% 11/15/34 (b)(d)(e) 265,356 246,006 
Class D, 1 month U.S. LIBOR + 0.750% 1.9767% 11/15/34 (b)(d)(e) 100,764 91,871 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b) 75,390 6,325 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.4244% 1/25/37 (d)(e) 1,465,853 1,043,464 
Invitation Homes Trust:   
Series 2014-SFR3 Class E, 1 month U.S. LIBOR + 4.500% 5.7256% 12/17/31 (b)(d)(e) 40,436 40,436 
Series 2014-SRF2 Class F, 1 month U.S. LIBOR + 4.000% 5.2094% 9/17/31 (b)(d)(e) 335,000 335,612 
Series 2015-SFR2 Class E, 1 month U.S. LIBOR + 3.150% 4.376% 6/17/32 (b)(d)(e) 485,000 490,142 
Series 2015-SRF1 Class E, 1 month U.S. LIBOR + 4.300% 5.4256% 3/17/32 (b)(d)(e) 624,000 634,504 
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (d)(e) 3,243,000 2,239,276 
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 1 month U.S. LIBOR + 0.160% 1.3944% 11/25/36 (d)(e) 4,199,797 2,120,766 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5344% 5/25/37 (d)(e) 275,754 82,485 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 1.9844% 7/25/34 (d)(e) 88,697 83,505 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.2094% 7/25/34 (d)(e) 132,889 128,495 
Series 2006-FF1 Class M2, 1 month U.S. LIBOR + 0.290% 1.5244% 8/25/36 (d)(e) 13,300,000 13,223,312 
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3444% 4/25/37 (d)(e) 2,706 1,658 
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.7544% 6/25/35 (d)(e) 1,160,779 1,125,584 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 1.9144% 8/25/34 (d)(e) 57,368 51,034 
Series 2004-NC6 Class M3, 1 month U.S. LIBOR + 2.175% 3.4094% 7/25/34 (d)(e) 12,838 12,363 
Series 2004-NC8 Class M6, 1 month U.S. LIBOR + 1.875% 3.1094% 9/25/34 (d)(e) 14,735 14,526 
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.8944% 1/25/35 (d)(e) 122,347 117,943 
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 2.9894% 3/25/35 (d)(e) 124,884 4,080 
Nationstar HECM Loan Trust Series 2017-1A Class A, 1.9679% 5/25/27 (b)(g) 22,578,519 22,576,035 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.7444% 9/25/35 (d)(e) 1,426,957 1,398,621 
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (b) 143,487 143,497 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 1 month U.S. LIBOR + 1.875% 3.1072% 9/25/34 (d)(e) 479,652 474,894 
Class M4, 1 month U.S. LIBOR + 2.175% 3.4072% 9/25/34 (d)(e) 683,353 551,303 
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.4794% 1/25/36 (d)(e) 1,475,804 1,453,558 
Progress Residential Trust:   
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) 168,000 177,228 
Series 2017-SFR1 Class F, 6.511% 8/17/34 (b) 160,000 163,649 
Prosper Marketplace Issuance Trust Series 2017-1A Class A, 2.56% 6/15/23 (b) 13,027,119 13,067,163 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.0344% 4/25/33 (d)(e) 5,108 4,646 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.0294% 3/25/35 (d)(e) 482,983 473,774 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.1956% 6/15/33 (d)(e) 181,533 181,358 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 2.9594% 9/25/34 (d)(e) 32,987 30,496 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.0944% 9/25/34 (d)(e) 28,819 27,345 
Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 4.212% 5/17/32 (b) 25,377,589 26,255,306 
Towd Point Mortgage Trust Series 2017-1 Class A1, 2.75% 10/25/56 (b)(d) 31,358,793 31,736,055 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.7098% 4/6/42 (b)(d)(e)(g) 2,573,000 1,299,365 
Tricon American Homes Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) 1,092,000 1,097,052 
Tricon American Homes Trust Series 2016-SFR1:   
Class B, 2.989% 11/17/33 (b) 517,000 519,242 
Class F, 5.769% 11/17/33 (b) 456,000 474,674 
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (b) 1,188,166 1,188,474 
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 3 month U.S. LIBOR + 0.850% 2.0217% 11/21/40 (b)(d)(e) 305,000 266,113 
TOTAL ASSET-BACKED SECURITIES   
(Cost $314,269,482)  325,779,420 
Collateralized Mortgage Obligations - 2.3%   
Private Sponsor - 0.7%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 1.3561% 6/27/36 (b)(d)(e) 10,533,198 10,263,548 
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 3.3685% 12/26/35 (b)(d) 1,705,900 1,710,506 
BCAP LLC Trust sequential payer:   
Series 2012-RR5 Class 8A5, 1.4122% 7/26/36 (b)(d) 1,698,253 1,639,324 
Series 2013-RR4 Class 2A1, 3.6531% 5/26/47 (b)(d) 3,109,963 3,123,078 
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.7944% 1/25/35 (d)(e) 554,318 558,889 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) 7,826,661 7,816,487 
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 3.4927% 1/25/37 (b)(d) 2,789,921 2,846,278 
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.8991% 10/26/37 (b)(d) 32,962 32,883 
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) 8,442,173 8,666,735 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 1.4945% 5/27/37 (b)(d)(e) 8,183,109 7,840,237 
Series 2011-2R Class 2A1, 3.3199% 7/27/36 (b)(d) 984,648 983,171 
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 1.9161% 5/27/37 (b)(d)(e) 879,958 850,655 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.1125% 10/25/34 (d) 310,928 312,543 
Freddie Mac Seasoned Credit Risk Transfer Series sequential payer Series 2017-1 Class MA, 3% 1/25/56 17,976,374 18,289,511 
FREMF Mortgage Trust:   
Series 2010-K6 Class B, 5.367% 12/25/46 (b)(d) 910,000 973,050 
Series 2010-K7 Class B, 5.4999% 4/25/20 (b)(d) 1,000,000 1,077,880 
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.9833% 3/25/37 (d) 559,514 558,773 
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 1.4182% 6/21/36 (b)(d)(e) 5,924,776 5,859,011 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4234% 8/25/36 (d) 791,788 760,158 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.3861% 2/25/37 (d)(e) 1,690,220 1,645,352 
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1 month U.S. LIBOR + 1.170% 2.4006% 6/10/19 (b)(d)(e) 45,638,000 45,565,481 
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 3.2922% 3/26/37 (b)(d) 1,922,088 1,924,395 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.5244% 7/25/35 (d)(e) 466,181 460,261 
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 3.4027% 7/26/45 (b)(d) 9,048,050 9,181,056 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 1 month U.S. LIBOR + 2.350% 3.5744% 6/10/35 (b)(d)(e) 216,834 154,088 
Class B6, 1 month U.S. LIBOR + 2.850% 4.0744% 6/10/35 (b)(d)(e) 48,346 26,720 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (d)(e) 19,256 19,008 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.368% 4/25/33 (d) 53,601 53,234 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.8744% 9/25/43 (d)(e) 8,192,668 7,912,551 
Towd Point Mortgage Trust:   
Series 2015-5 Class A1B, 2.75% 5/25/55 (b) 4,713,967 4,763,647 
Series 2017-2 Class A1, 2.75% 4/25/57 (b)(d) 31,563,041 31,896,971 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2004-BB Class A2, 3.0826% 1/25/35 (d) 1,759,971 1,765,789 
Series 2005-AR10 Class 2A15, 3.1989% 6/25/35 (d) 9,509,506 9,598,370 
Series 2005-AR2:   
Class 1A2, 3.1522% 3/25/35 (d) 1,182,323 1,181,960 
Class 3A1, 3.1468% 3/25/35 (d) 15,268,708 15,495,649 
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4:   
Class 1A1, 3.5051% 6/27/36 (b)(d) 1,380,142 1,380,971 
Class 2A1, 3.3412% 6/27/36 (b)(d) 1,552,886 1,548,383 
TOTAL PRIVATE SPONSOR  208,736,603 
U.S. Government Agency - 1.6%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 2.0344% 2/25/32 (d)(e) 22,220 22,555 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 2.2283% 3/18/32 (d)(e) 39,054 39,841 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.2344% 4/25/32 (d)(e) 47,358 48,294 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.2344% 10/25/32 (d)(e) 63,001 64,225 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 1.9844% 1/25/32 (d)(e) 23,081 23,408 
Series 2002-94 Class FB, 1 month U.S. LIBOR + 0.400% 1.6344% 1/25/18 (d)(e) 2,737 2,738 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 6.8656% 12/25/33 (d)(m)(n) 754,122 182,834 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 5.4456% 11/25/36 (d)(m)(n) 563,555 105,270 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 26,909 28,635 
Series 1993-207 Class H, 6.5% 11/25/23 380,233 415,418 
Series 1996-28 Class PK, 6.5% 7/25/25 122,040 133,774 
Series 1999-17 Class PG, 6% 4/25/29 342,380 378,561 
Series 1999-32 Class PL, 6% 7/25/29 333,286 368,960 
Series 1999-33 Class PK, 6% 7/25/29 229,737 254,720 
Series 2001-52 Class YZ, 6.5% 10/25/31 28,603 33,087 
Series 2003-28 Class KG, 5.5% 4/25/23 218,911 233,241 
Series 2005-102 Class CO 11/25/35 (o) 187,480 169,148 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 14.3404% 8/25/35 (d)(n) 65,393 82,197 
Series 2005-81 Class PC, 5.5% 9/25/35 427,876 473,170 
Series 2006-12 Class BO 10/25/35 (o) 838,147 757,016 
Series 2006-37 Class OW 5/25/36 (o) 83,877 74,743 
Series 2006-45 Class OP 6/25/36 (o) 251,777 224,093 
Series 2006-62 Class KP 4/25/36 (o) 406,465 361,838 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 70,504 81,513 
Series 1999-25 Class Z, 6% 6/25/29 266,311 297,953 
Series 2001-20 Class Z, 6% 5/25/31 370,924 407,899 
Series 2001-31 Class ZC, 6.5% 7/25/31 201,511 229,207 
Series 2002-16 Class ZD, 6.5% 4/25/32 103,174 119,438 
Series 2002-74 Class SV, 1 month U.S. LIBOR + 7.550% 6.3156% 11/25/32 (d)(e)(m) 480,126 79,411 
Series 2012-67 Class AI, 4.5% 7/25/27 (m) 2,376,819 251,126 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 5.4056% 12/25/36 (d)(m)(n) 384,259 81,741 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 5.2056% 5/25/37 (d)(m)(n) 209,416 38,455 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 16.3081% 9/25/23 (d)(n) 16,316 20,569 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 6.8656% 3/25/33(d)(m)(n) 54,218 11,521 
Series 2003-35 Class TQ, 7.500% - 1 month U.S. LIBOR 6.2656% 5/25/18 (d)(m)(n) 5,164 82 
Series 2005-72 Class ZC, 5.5% 8/25/35 2,669,661 2,933,270 
Series 2005-79 Class ZC, 5.9% 9/25/35 1,658,772 1,908,641 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 33.2134% 6/25/37 (d)(n) 179,397 362,630 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 32.1934% 7/25/37 (d)(n) 269,263 537,974 
Class SB, 39.600% - 1 month U.S. LIBOR 32.1934% 7/25/37 (d)(n) 113,507 207,468 
Series 2007-75 Class JI, 1 month U.S. LIBOR + 6.545% 5.3106% 8/25/37 (d)(e)(m) 8,020,733 1,464,822 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 5.1156% 3/25/38 (d)(m)(n) 1,443,851 247,135 
Series 2009-16 Class SA, 6.250% - 1 month U.S. LIBOR 5.0156% 3/25/24 (d)(m)(n) 744 6 
Series 2009-76 Class MI, 5.5% 9/25/24 (m) 19,495 463 
Series 2009-85 Class IB, 4.5% 8/25/24 (m) 93,864 4,152 
Series 2009-93 Class IC, 4.5% 9/25/24 (m) 134,937 5,679 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 5.1256% 6/25/21 (d)(m)(n) 88,272 3,080 
Series 2010-12 Class AI, 5% 12/25/18 (m) 139,664 1,914 
Series 2010-135 Class LS, 6.050% - 1 month U.S. LIBOR 4.8156% 12/25/40 (d)(m)(n) 1,357,102 222,120 
Series 2010-139 Class NI, 4.5% 2/25/40 (m) 1,257,141 137,111 
Series 2010-150 Class ZC, 4.75% 1/25/41 5,540,749 6,190,589 
Series 2010-17 Class DI, 4.5% 6/25/21 (m) 67,429 2,063 
Series 2010-23:   
Class AI, 5% 12/25/18 (m) 39,936 479 
Class HI, 4.5% 10/25/18 (m) 51,667 815 
Series 2010-29 Class LI, 4.5% 6/25/19 (m) 132,196 1,888 
Series 2010-95 Class ZC, 5% 9/25/40 11,723,312 13,196,415 
Series 2010-97 Class CI, 4.5% 8/25/25 (m) 347,662 19,990 
Series 2011-110 Class SA, 6.610% - 1 month U.S. LIBOR 5.3756% 4/25/41 (d)(m)(n) 3,636,515 521,473 
Series 2011-112 Class SA, 6.550% - 1 month U.S. LIBOR 5.3156% 11/25/41 (d)(m)(n) 3,711,538 650,475 
Series 2011-123 Class SD, 6.600% - 1 month U.S. LIBOR 5.3656% 8/25/39 (d)(m)(n) 3,088,487 402,025 
Series 2011-39 Class ZA, 6% 11/25/32 953,996 1,081,809 
Series 2011-4 Class PZ, 5% 2/25/41 2,442,106 2,787,933 
Series 2011-67 Class AI, 4% 7/25/26 (m) 384,961 36,114 
Series 2011-83 Class DI, 6% 9/25/26 (m) 543,020 53,980 
Series 2012-100 Class WI, 3% 9/25/27 (m) 6,155,314 565,544 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 5.4156% 12/25/30 (d)(m)(n) 2,054,751 264,024 
Series 2012-47 Class SD, 6.450% - 1 month U.S. LIBOR 5.2156% 5/25/42 (d)(m)(n) 9,132,909 1,741,246 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 5.3156% 6/25/41 (d)(m)(n) 2,787,002 402,101 
Series 2013-133 Class IB, 3% 4/25/32 (m) 3,819,479 352,692 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 4.8156% 1/25/44 (d)(m)(n) 2,031,136 338,359 
Series 2013-51 Class GI, 3% 10/25/32 (m) 5,592,204 602,623 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.4856% 6/25/35 (d)(m)(n) 1,155,721 217,248 
Series 2015-42:   
Class IL, 6% 6/25/45 (m) 8,556,748 1,991,223 
Class LS, 6.200% - 1 month U.S. LIBOR 4.9656% 6/25/45 (d)(m)(n) 14,275,292 2,362,511 
Series 2015-70 Class JC, 3% 10/25/45 7,479,683 7,681,002 
Series 2016-78 Class CS, 6.100% - 1 month U.S. LIBOR 4.8656% 5/25/39 (d)(m)(n) 16,611,608 2,911,007 
Series 2017-30 Class AI, 5.5% 5/25/47 (m) 4,444,901 995,613 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339:   
Class 29, 5.5% 8/25/18 (m) 7,235 65 
Class 5, 5.5% 7/25/33 (m) 203,849 39,472 
Series 343 Class 16, 5.5% 5/25/34 (m) 173,359 31,190 
Series 348 Class 14, 6.5% 8/25/34 (d)(m) 126,293 29,436 
Series 351:   
Class 12, 5.5% 4/25/34 (d)(m) 80,866 13,637 
Class 13, 6% 3/25/34 (m) 111,829 22,168 
Series 359 Class 19, 6% 7/25/35 (d)(m) 73,617 13,950 
Series 384 Class 6, 5% 7/25/37 (m) 899,460 159,151 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 2.0267% 1/15/32 (d)(e) 17,410 17,669 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 2.1267% 3/15/32 (d)(e) 24,524 24,950 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 2.2267% 3/15/32 (d)(e) 26,785 27,294 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 2.1267% 6/15/31 (d)(e) 45,875 46,631 
Class FG, 1 month U.S. LIBOR + 0.900% 2.1267% 3/15/32 (d)(e) 14,560 14,806 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 1.4767% 5/15/37 (d)(e) 1,048,880 1,047,182 
planned amortization class:   
Series 2006-15 Class OP 3/25/36 (o) 737,545 656,298 
Series 2095 Class PE, 6% 11/15/28 381,346 423,063 
Series 2101 Class PD, 6% 11/15/28 37,067 39,818 
Series 2121 Class MG, 6% 2/15/29 159,207 176,620 
Series 2131 Class BG, 6% 3/15/29 1,085,826 1,206,653 
Series 2137 Class PG, 6% 3/15/29 175,578 193,359 
Series 2154 Class PT, 6% 5/15/29 277,544 308,743 
Series 2162 Class PH, 6% 6/15/29 64,290 70,328 
Series 2520 Class BE, 6% 11/15/32 347,594 375,331 
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 6.3733% 3/15/23 (d)(m)(n) 19,249 1,693 
Series 2693 Class MD, 5.5% 10/15/33 4,042,145 4,505,670 
Series 2802 Class OB, 6% 5/15/34 636,967 698,779 
Series 2937 Class KC, 4.5% 2/15/20 412,807 419,168 
Series 2962 Class BE, 4.5% 4/15/20 541,200 554,821 
Series 3002 Class NE, 5% 7/15/35 986,887 1,075,389 
Series 3110 Class OP 9/15/35 (o) 465,968 432,918 
Series 3119 Class PO 2/15/36 (o) 850,626 754,830 
Series 3121 Class KO 3/15/36 (o) 149,032 133,228 
Series 3123 Class LO 3/15/36 (o) 471,923 419,914 
Series 3145 Class GO 4/15/36 (o) 452,827 403,015 
Series 3189 Class PD, 6% 7/15/36 938,936 1,075,745 
Series 3225 Class EO 10/15/36 (o) 266,976 237,720 
Series 3258 Class PM, 5.5% 12/15/36 456,208 503,999 
Series 3415 Class PC, 5% 12/15/37 351,849 383,738 
Series 3786 Class HI, 4% 3/15/38 (m) 1,177,757 93,462 
Series 3806 Class UP, 4.5% 2/15/41 2,583,776 2,759,574 
Series 3832 Class PE, 5% 3/15/41 2,375,210 2,660,879 
sequential payer:   
Series 2135 Class JE, 6% 3/15/29 79,691 88,638 
Series 2274 Class ZM, 6.5% 1/15/31 88,769 101,328 
Series 2281 Class ZB, 6% 3/15/30 215,515 230,881 
Series 2303 Class ZV, 6% 4/15/31 90,106 100,414 
Series 2357 Class ZB, 6.5% 9/15/31 656,673 759,604 
Series 2502 Class ZC, 6% 9/15/32 181,595 197,150 
Series 2519 Class ZD, 5.5% 11/15/32 310,262 332,818 
Series 2546 Class MJ, 5.5% 3/15/23 135,979 143,091 
Series 2601 Class TB, 5.5% 4/15/23 64,915 69,389 
Series 2998 Class LY, 5.5% 7/15/25 198,186 213,647 
Series 3871 Class KB, 5.5% 6/15/41 4,329,000 5,037,143 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 5.3733% 2/15/36 (d)(m)(n) 308,589 62,733 
Series 2013-4281 Class AI, 4% 12/15/28 (m) 3,980,572 347,727 
Series 2017-4683 Class LM, 3% 5/15/47 9,849,332 10,116,538 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 38.8266% 8/15/24 (d)(n) 7,749 11,255 
Class SD, 86.400% - 1 month U.S. LIBOR 70.5033% 8/15/24 (d)(n) 11,400 21,714 
Series 2933 Class ZM, 5.75% 2/15/35 3,119,530 3,630,792 
Series 2935 Class ZK, 5.5% 2/15/35 3,835,105 4,328,543 
Series 2947 Class XZ, 6% 3/15/35 1,200,995 1,337,061 
Series 2996 Class ZD, 5.5% 6/15/35 2,510,286 2,881,644 
Series 3055 Class CS, 1 month U.S. LIBOR + 6.590% 5.3633% 10/15/35 (d)(e)(m) 450,202 88,870 
Series 3237 Class C, 5.5% 11/15/36 3,548,164 4,035,764 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 5.4333% 11/15/36 (d)(m)(n) 1,065,796 209,369 
Series 3284 Class CI, 1 month U.S. LIBOR + 6.120% 4.8933% 3/15/37 (d)(e)(m) 2,441,881 466,456 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 5.5233% 3/15/37 (d)(m)(n) 1,565,787 324,212 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 5.5333% 4/15/37 (d)(m)(n) 2,361,605 503,276 
Series 3336 Class LI, 1 month U.S. LIBOR + 6.580% 5.3533% 6/15/37 (d)(e)(m) 749,148 132,583 
Series 3772 Class BI, 4.5% 10/15/18 (m) 184,934 2,891 
Series 3949 Class MK, 4.5% 10/15/34 708,005 759,469 
Series 3955:   
Class GS, 5.950% - 1 month U.S. LIBOR 4.7233% 9/15/41 (d)(m)(n) 3,806,681 594,828 
Class YI, 3% 11/15/21 (m) 1,884,108 82,336 
Series 4055 Class BI, 3.5% 5/15/31 (m) 3,503,241 342,177 
Series 4149 Class IO, 3% 1/15/33 (m) 2,381,717 299,687 
Series 4314 Class AI, 5% 3/15/34 (m) 1,272,832 139,203 
Series 4427 Class LI, 3.5% 2/15/34 (m) 6,450,457 753,052 
Series 4471 Class PA 4% 12/15/40 8,819,644 9,240,298 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 214,237 230,391 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 2.1267% 2/15/24 (d)(e) 86,126 87,039 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 144,395 160,036 
Series 2056 Class Z, 6% 5/15/28 310,539 344,205 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 7,885,477 8,447,298 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 5.4622% 6/16/37 (d)(m)(n) 466,567 96,736 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 1.7828% 3/20/60 (d)(e)(p) 5,853,140 5,863,559 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.5628% 7/20/60 (d)(e)(p) 653,445 648,920 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5239% 9/20/60 (d)(e)(p) 809,140 802,929 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5239% 8/20/60 (d)(e)(p) 900,696 895,271 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6039% 12/20/60 (d)(e)(p) 1,615,213 1,606,540 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 12/20/60 (d)(e)(p) 2,525,306 2,526,128 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 2/20/61 (d)(e)(p) 5,057,664 5,058,981 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7139% 2/20/61 (d)(e)(p) 6,586,196 6,586,255 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7239% 4/20/61 (d)(e)(p) 2,321,142 2,321,910 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 1.7239% 5/20/61 (d)(e)(p) 2,680,710 2,677,356 
Class FC, 1 month U.S. LIBOR + 0.500% 1.7239% 5/20/61 (d)(e)(p) 2,455,364 2,453,975 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7539% 6/20/61 (d)(e)(p) 3,170,874 3,174,515 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 10/20/61 (d)(e)(p) 6,270,977 6,291,458 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 11/20/61 (d)(e)(p) 3,080,731 3,097,863 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9239% 1/20/62 (d)(e)(p) 1,999,012 2,010,158 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 1/20/62 (d)(e)(p) 2,925,148 2,934,977 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8539% 3/20/62 (d)(e)(p) 1,881,977 1,889,364 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8739% 5/20/61 (d)(e)(p) 3,855,293 3,863,819 
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 1.7439% 10/20/62 (d)(e)(p) 1,552,994 1,554,574 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 1.7539% 7/20/60 (d)(e)(p) 5,355,350 5,367,590 
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 1.5839% 3/20/63 (d)(e)(p) 2,483,002 2,467,748 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8239% 1/20/64 (d)(e)(p) 2,941,361 2,951,451 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.8239% 12/20/63 (d)(e)(p) 7,666,918 7,683,603 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 1.7239% 6/20/64 (d)(e)(p) 11,578,850 11,564,620 
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 1.7239% 9/20/64 (d)(e)(p) 36,499,774 36,453,558 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6239% 12/20/62 (d)(e)(p) 14,131,679 14,142,854 
planned amortization class:   
Series 1993-13 Class PD, 6% 5/20/29 388,444 438,486 
Series 1997-8 Class PE, 7.5% 5/16/27 169,675 197,371 
Series 2011-136 Class WI, 4.5% 5/20/40 (m) 867,348 99,787 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 1,509,309 1,653,124 
Series 2010-160 Class DY, 4% 12/20/40 17,965,153 19,249,580 
Series 2010-170 Class B, 4% 12/20/40 4,066,798 4,357,629 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 5.2722% 5/16/34 (d)(m)(n) 255,528 46,980 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 5.9722% 8/17/34 (d)(m)(n) 310,712 70,801 
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 32.8333% 6/16/37 (d)(n) 19,040 35,277 
Series 2010-116 Class QB, 4% 9/16/40 38,726,775 41,432,619 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 1.5628% 5/20/60 (d)(e)(p) 2,045,887 2,031,852 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 4.8694% 7/20/41 (d)(m)(n) 1,577,536 260,603 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 5.4722% 6/16/42 (d)(m)(n) 940,560 180,581 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 7.0259% 4/20/39 (d)(n) 3,011,341 3,170,317 
Class ST, 8.800% - 1 month U.S. LIBOR 7.1593% 8/20/39 (d)(n) 6,982,004 7,497,219 
Series 2013-149 Class MA, 2.5% 5/20/40 21,568,846 21,742,648 
Series 2015-H13 Class HA, 2.5% 8/20/64 (p) 26,328,119 26,531,204 
Series 2015-H17 Class HA, 2.5% 5/20/65 (p) 23,457,916 23,642,127 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (p) 4,953,922 4,987,817 
Class JA, 2.5% 6/20/65 (p) 22,724,360 22,893,786 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.57% 8/20/66 (d)(e)(p) 25,879,767 25,939,756 
TOTAL U.S. GOVERNMENT AGENCY  482,258,569 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $688,726,417)  690,995,172 
Commercial Mortgage Securities - 1.7%   
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) 180,000 202,103 
Asset Securitization Corp.:   
Series 1997-D4 Class B5, 7.525% 4/14/29 129,000 128,823 
Series 1997-D5 Class PS1, 1.6895% 2/14/43 (d)(m) 62,066 536 
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (b)(d) 692,000 708,615 
BAMLL Trust Series 2015-200P Class F, 3.7157% 4/14/33 (b)(d) 767,000 751,835 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2007-5 Class A1A, 5.361% 2/10/51 8,682,773 8,676,876 
Series 2004-1 Class F, 5.279% 11/10/39 (b)(d) 2,006 2,004 
Series 2008-1 Class D, 6.3087% 2/10/51 (b)(d)(g) 125,000 37,419 
BANK:   
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) 1,323,000 1,098,850 
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) 765,000 627,227 
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3:   
Class C, 4.352% 2/15/50 (d) 957,000 995,932 
Class D, 3.25% 2/15/50 (b) 667,000 548,708 
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 2.0018% 7/15/49 (d)(m) 46,077,521 5,273,135 
Barclays Commercial Mortgage Securities LLC Series 2015-STP:   
Class A, 3.3228% 9/10/28 (b) 4,373,964 4,511,414 
Class E, 4.2844% 9/10/28 (b)(d) 1,786,000 1,755,128 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.5094% 12/25/33 (b)(d)(e) 21,150 20,036 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 1.6244% 1/25/36 (b)(d)(e) 577,392 534,896 
Class B1, 1 month U.S. LIBOR + 1.400% 2.6344% 1/25/36 (b)(d)(e) 25,907 21,226 
Class M1, 1 month U.S. LIBOR + 0.450% 1.6844% 1/25/36 (b)(d)(e) 186,256 172,805 
Class M2, 1 month U.S. LIBOR + 0.470% 1.7044% 1/25/36 (b)(d)(e) 55,877 49,640 
Class M3, 1 month U.S. LIBOR + 0.500% 1.7344% 1/25/36 (b)(d)(e) 81,604 67,309 
Class M4, 1 month U.S. LIBOR + 0.610% 1.8444% 1/25/36 (b)(d)(e) 45,131 41,023 
Class M5, 1 month U.S. LIBOR + 0.650% 1.8844% 1/25/36 (b)(d)(e) 45,131 34,432 
Class M6, 1 month U.S. LIBOR + 0.700% 1.9344% 1/25/36 (b)(d)(e) 47,934 36,814 
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6644% 10/25/36 (b)(d)(e) 25,269 19,735 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 3/25/37 (b)(d)(e) 373,250 330,571 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 1.4861% 7/25/37 (b)(d)(e) 385,447 363,449 
Class A2, 1 month U.S. LIBOR + 0.320% 1.5361% 7/25/37 (b)(d)(e) 360,148 331,308 
Class M1, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (b)(d)(e) 126,464 100,907 
Class M2, 1 month U.S. LIBOR + 0.410% 1.6261% 7/25/37 (b)(d)(e) 69,105 55,257 
Class M3, 1 month U.S. LIBOR + 0.490% 1.7061% 7/25/37 (b)(d)(e) 54,471 45,321 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 1.5061% 7/25/37 (b)(d)(e) 348,605 324,896 
Class M1, 1 month U.S. LIBOR + 0.310% 1.5261% 7/25/37 (b)(d)(e) 75,714 67,905 
Class M2, 1 month U.S. LIBOR + 0.340% 1.5561% 7/25/37 (b)(d)(e) 81,151 72,320 
Class M3, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (b)(d)(e) 127,875 97,665 
Class M4, 1 month U.S. LIBOR + 0.500% 1.7161% 7/25/37 (b)(d)(e) 200,782 137,554 
Class M5, 1 month U.S. LIBOR + 0.600% 1.8161% 7/25/37 (b)(d)(e) 75,516 40,975 
Series 2007-4A Class M1, 1 month U.S. LIBOR + 0.950% 2.1844% 9/25/37 (b)(d)(e) 9,384 3,491 
Series 2006-3A, Class IO, 0% 10/25/36 (b)(d)(g)(m) 3,866,213 0 
BBCMS Mortgage Trust Series 2016-ETC:   
Class D, 3.6089% 8/14/36 (b)(d) 1,000,000 980,167 
Class E, 3.6089% 8/14/36 (b)(d) 1,000,000 906,385 
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T22 Class B, 5.7134% 4/12/38 (b)(d) 99,897 100,772 
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (b) 584,551 604,637 
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/10/35 (b)(d) 1,000,000 999,281 
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(d) 606,000 596,296 
CD Mortgage Trust Series 2017-CD3:   
Class C, 4.563% 2/10/50 1,360,000 1,459,082 
Class D, 3.25% 2/10/50 (b) 754,000 625,605 
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7535% 12/15/47 (b)(d) 750,000 841,387 
CG-CCRE Commercial Mortgage Trust:   
Series 2014-FL1:   
Class YTC2, 1 month U.S. LIBOR + 2.489% 3.7146% 6/15/31 (b)(d)(e) 435,090 404,437 
Class YTC3, 1 month U.S. LIBOR + 2.489% 3.7146% 6/15/31 (b)(d)(e) 156,667 143,886 
Series 2014-FL1, 1 month U.S. LIBOR + 2.489% 3.7146% 6/15/31 (b)(d)(e) 435,090 408,123 
CGBAM Commercial Mortgage Trust Series 2015-SMRT:   
Class E, 3.7859% 4/10/28 (b)(d) 162,000 163,303 
Class F, 3.7859% 4/10/28 (b)(d) 1,133,000 1,120,819 
CGDB Commercial Mortgage Trust:   
1 month U.S. LIBOR + 2.500% 3.726% 5/15/30 (b)(d)(e) 260,000 259,561 
Series 2017-BIO Class F, 1 month U.S. LIBOR + 3.250% 4.476% 5/15/30 (b)(d)(e) 134,000 133,761 
Chase Commercial Mortgage Securities Corp.:   
Series 1998-1 Class H, 6.34% 5/18/30 (b) 679,444 685,393 
Series 1998-2 Class J, 6.39% 11/18/30 (b) 487,111 487,545 
Citigroup Commercial Mortgage Trust:   
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(d) 1,205,000 1,187,293 
Series 2013-GC15 Class D, 5.0996% 9/10/46 (b)(d) 1,927,000 1,878,281 
Series 2015-GC33 Class XA, 0.968% 9/10/58 (d)(m) 92,482,159 5,470,421 
Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.100% 5.577% 7/15/27 (b)(d)(e) 693,000 697,278 
Series 2016-C3 Class D, 3% 11/15/49 (b) 1,451,000 1,081,795 
Series 2016-P6 Class XA, 0.8365% 12/10/49 (d)(m) 83,372,568 4,125,858 
Series 2016-SMPL Class E, 4.509% 9/10/31 (b) 756,000 771,735 
Claregold Trust Series 2007-2A:   
Class G, 5.01% 5/15/44 (b)(d) CAD9,530 7,601 
Class H, 5.01% 5/15/44 (b)(d) CAD20,000 15,921 
Class J, 5.01% 5/15/44 (b)(d) CAD20,000 15,862 
Class K, 5.01% 5/15/44 (b)(d) CAD10,000 7,917 
Class L, 5.01% 5/15/44 (b)(d) CAD36,000 28,397 
Class M, 5.01% 5/15/44 (b)(d) CAD165,000 129,454 
COMM Mortgage Trust:   
floater Series 2014-PAT Class E, 1 month U.S. LIBOR + 3.150% 4.1391% 8/13/27 (b)(d)(e) 735,000 738,181 
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) 1,410,000 1,054,483 
Series 2012-CR1:   
Class C, 5.3199% 5/15/45 (d) 850,000 904,668 
Class D, 5.3199% 5/15/45 (b)(d) 1,510,000 1,491,372 
Class G, 2.462% 5/15/45 (b) 231,000 138,224 
Series 2012-CR5 Class D, 4.3306% 12/10/45 (b)(d) 740,000 720,537 
Series 2012-LC4:   
Class C, 5.5892% 12/10/44 (d) 260,000 280,729 
Class D, 5.5892% 12/10/44 (b)(d) 1,437,000 1,409,229 
Series 2013-CCRE6 Class E, 4.1285% 3/10/46 (b)(d) 42,000 31,828 
Series 2013-CR10:   
Class C, 4.7885% 8/10/46 (b)(d) 270,000 279,407 
Class D, 4.7885% 8/10/46 (b)(d) 1,578,000 1,387,463 
Series 2013-CR12 Class D, 5.0822% 10/10/46 (b)(d) 1,680,000 1,430,905 
Series 2013-CR6 Class F, 4.1285% 3/10/46 (b)(d) 418,000 276,007 
Series 2013-CR9:   
Class C, 4.2549% 7/10/45 (b)(d) 525,000 527,898 
Class D, 4.2549% 7/10/45 (b)(d) 252,000 216,919 
Series 2013-LC6 Class D, 4.2828% 1/10/46 (b)(d) 1,405,000 1,297,886 
Series 2014-CR15 Class D, 4.7595% 2/10/47 (b)(d) 258,000 236,449 
Series 2014-CR17:   
Class D, 4.7987% 5/10/47 (b)(d) 799,000 706,553 
Class E, 4.7987% 5/10/47 (b)(d) 182,000 126,858 
Series 2014-CR19 Class XA, 1.2398% 8/10/47 (d)(m) 123,050,039 6,671,355 
Series 2014-CR20 Class XA, 1.1713% 11/10/47 (d)(m) 126,269,383 7,349,800 
Series 2014-LC17 Class XA, 1.143% 10/10/47 (d)(m) 109,134,194 4,253,778 
Series 2014-UBS2 Class D, 5.0147% 3/10/47 (b)(d) 844,000 730,529 
Series 2014-UBS4 Class XA, 1.2342% 8/10/47 (d)(m) 113,422,253 6,417,987 
Series 2014-UBS6 Class XA, 1.0295% 12/10/47 (d)(m) 153,099,636 7,598,243 
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d) 1,500,000 1,378,092 
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(d) 483,000 481,868 
Series 2015-DC1 Class XA, 1.1664% 2/10/48 (d)(m) 156,271,592 8,949,346 
Series 2016-CD1 Class D, 2.7717% 8/10/49 (b)(d) 1,006,000 771,057 
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) 772,000 637,126 
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 4.6147% 5/10/43 (b)(d) 1,290,000 1,291,474 
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (b) 704,911 713,450 
Commercial Mortgage Trust Series 2016-CD2:   
Class C, 3.031% 11/10/49 971,000 998,841 
Class D, 2.7812% 11/10/49 (d) 508,000 401,290 
Commercial Mortgage Trust pass-thru certificates:   
Series 2012-CR2:   
Class E, 4.8405% 8/15/45 (b)(d) 1,727,000 1,693,884 
Class F, 4.25% 8/15/45 (b) 1,418,000 1,156,983 
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) 496,000 311,810 
Core Industrial Trust:   
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(d) 625,000 615,707 
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(d) 493,000 479,451 
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(d) 1,566,000 1,500,407 
Cosmopolitan Hotel Trust floater Series 2016-CSMO Class C, 1 month U.S. LIBOR + 2.750% 3.877% 11/15/33 (b)(d)(e) 693,000 699,637 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 1998-C1:   
Class F, 6% 5/17/40 (b) 426,275 430,220 
Class H, 6% 5/17/40 (b) 90,315 71,561 
Series 1998-C2 Class G, 6.75% 11/15/30 (b) 129,511 130,694 
CSAIL Commercial Mortgage Trust Series 2017-C8 Class D, 4.47% 6/15/50 (b) 862,000 789,844 
CSMC Series 2015-TOWN:   
Class A, 1 month U.S. LIBOR + 1.250% 2.4756% 3/15/28 (b)(d)(e) 9,866,000 9,858,420 
Class B, 1 month U.S. LIBOR + 1.900% 3.1256% 3/15/28 (b)(d)(e) 3,043,000 3,042,738 
Class C, 1 month U.S. LIBOR + 2.250% 3.4756% 3/15/28 (b)(d)(e) 2,964,000 2,964,738 
Class D, 1 month U.S. LIBOR + 3.200% 4.4256% 3/15/28 (b)(d)(e) 4,485,000 4,484,999 
Class E, 1 month U.S. LIBOR + 4.150% 5.3756% 3/15/28 (b)(d)(e) 20,318,000 20,343,444 
CSMC Trust:   
floater Series 2015-DEAL:   
Class E, 1 month U.S. LIBOR + 4.000% 5.227% 4/15/29 (b)(d)(e) 1,109,000 1,113,861 
Class F, 1 month U.S. LIBOR + 4.750% 5.977% 4/15/29 (b)(d)(e) 989,000 992,096 
Series 2016-MFF Class F, 1 month U.S. LIBOR + 7.250% 8.4756% 11/15/33 (b)(d)(e) 968,000 976,568 
Series 2017-MOON Class E, 3.303% 7/10/34 (b)(d) 377,000 378,707 
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (b)(d) 1,449,000 1,333,470 
DBUBS Mortgage Trust:   
Series 2011-LC1A:   
Class E, 5.6848% 11/10/46 (b)(d) 1,810,000 1,919,685 
Class F, 5.6848% 11/10/46 (b)(d) 1,560,000 1,524,565 
Class G, 4.652% 11/10/46 (b) 1,948,000 1,731,550 
Class XB, 0.3005% 11/10/46 (b)(d)(m) 20,920,000 202,273 
Series 2011-LC3A Class D, 5.3457% 8/10/44 (b)(d) 812,000 845,619 
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4943% 9/10/49 (d) 600,000 586,192 
Freddie Mac:   
pass-thru certificates:   
Series K011 Class X3, 2.5769% 12/25/43 (d)(m) 1,640,000 129,187 
Series K012 Class X3, 2.2519% 1/25/41 (d)(m) 1,770,272 124,474 
Series K013 Class X3, 2.9089% 1/25/43 (d)(m) 820,000 73,786 
Series KAIV Class X2, 3.6147% 6/25/46 (d)(m) 420,000 50,778 
FREMF Mortgage Trust:   
Series 2010-K9 Class B, 5.2029% 9/25/45 (b)(d) 1,815,000 1,960,864 
Series 2011-K10 Class B, 4.625% 11/25/49 (b)(d) 500,000 533,126 
Series 2011-K11 Class B, 4.4236% 12/25/48 (b)(d) 750,000 794,877 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (b)(d) 18,910,000 19,358,487 
Class CFX, 3.3822% 12/15/34 (b)(d) 14,152,000 14,440,222 
Class DFX, 3.3822% 12/15/34 (b)(d) 27,804,000 28,185,076 
Class EFX, 3.3822% 12/15/34 (b)(d) 1,750,000 1,761,657 
Class FFX, 3.3822% 12/15/34 (b)(d) 1,915,000 1,911,888 
Class GFX, 3.3822% 12/15/34 (b)(d) 1,096,000 1,084,760 
GE Capital Commercial Mortgage Corp. Series 2007-C1 Class A1A, 5.483% 12/10/49 1,643,960 1,642,157 
GMAC Commercial Mortgage Securities, Inc.:   
Series 1997-C1 Class H, 6.6% 7/15/29 183,677 177,156 
Series 1997-C2 Class G, 6.75% 4/15/29 (d) 59,855 60,238 
Series 1999-C2I Class K, 6.481% 9/15/33 835,000 766,641 
GP Portfolio Trust Series 2014-GPP:   
Class D, 1 month U.S. LIBOR + 3.000% 4.1589% 2/15/27 (b)(d)(e) 291,000 291,777 
Class E, 1 month U.S. LIBOR + 4.100% 5.2589% 2/15/27 (b)(d)(e) 378,000 369,584 
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(d) 357,000 362,759 
GS Mortgage Securities Corp. II Series 2010-C1:   
Class D, 6.0552% 8/10/43 (b)(d) 617,000 639,164 
Class F, 4% 8/10/43 (b) 516,000 414,978 
Class X, 1.3949% 8/10/43 (b)(d)(m) 4,805,470 157,093 
GS Mortgage Securities Trust:   
Series 2010-C2:   
Class D, 5.1832% 12/10/43 (b)(d) 720,000 741,443 
Class XA, 0.1326% 12/10/43 (b)(d)(m) 3,208,430 13,199 
Series 2011-GC3 Class D, 5.6323% 3/10/44 (b)(d) 294,000 310,457 
Series 2011-GC5:   
Class C, 5.399% 8/10/44 (b)(d) 1,050,000 1,137,958 
Class D, 5.399% 8/10/44 (b)(d) 1,500,000 1,447,545 
Class E, 5.399% 8/10/44 (b)(d) 711,000 575,317 
Class F, 4.5% 8/10/44 (b) 1,020,000 718,893 
Series 2012-GC6:   
Class D, 5.6522% 1/10/45 (b)(d) 1,156,000 1,116,605 
Class E, 5% 1/10/45 (b)(d) 412,000 355,444 
Series 2012-GC6I Class F, 5% 1/10/45 (d) 390,000 258,886 
Series 2012-GCJ7:   
Class C, 5.7016% 5/10/45 (d) 630,000 671,007 
Class D, 5.7016% 5/10/45 (b)(d) 2,204,000 2,170,380 
Class E, 5% 5/10/45 (b) 1,311,000 1,067,436 
Class F, 5% 5/10/45 (b) 2,079,000 1,246,217 
Series 2012-GCJ9:   
Class D, 4.833% 11/10/45 (b)(d) 1,972,000 1,889,391 
Class E, 4.833% 11/10/45 (b)(d) 1,290,000 1,159,410 
Series 2013-GC10 Class D, 4.4098% 2/10/46 (b)(d) 920,000 896,157 
Series 2013-GC12:   
Class D, 4.4464% 6/10/46 (b)(d) 219,000 190,330 
Class XA, 1.5475% 6/10/46 (d)(m) 30,275,933 1,844,386 
Series 2013-GC13 Class D, 4.2029% 7/10/46 (b)(d) 1,858,000 1,740,561 
Series 2013-GC16:   
Class C, 5.3202% 11/10/46 (d) 662,844 729,013 
Class D, 5.3202% 11/10/46 (b)(d) 1,009,000 970,380 
Class F, 3.5% 11/10/46 (b) 999,000 708,254 
Series 2014-GC20 Class XA, 1.0078% 4/10/47 (d)(m) 183,738,667 9,454,898 
Series 2015-GC34 Class XA, 1.3631% 10/10/48 (d)(m) 29,269,603 2,412,345 
Series 2016-GS2 Class C, 4.5297% 5/10/49 (d) 699,000 751,425 
Series 2016-GS3 Class D, 2.728% 10/10/49 (b) 1,776,000 1,372,711 
Series 2016-GS4 Class C, 3.8041% 11/10/49 728,000 732,798 
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) 1,113,000 1,089,137 
Series 2016-RENT:   
Class E, 4.0667% 2/10/29 (b)(d) 495,000 504,062 
Class F, 4.0667% 2/10/29 (b)(d) 1,520,000 1,435,350 
Series 2017-GS6 Class D, 3.331% 5/10/50 (b) 1,113,000 908,676 
Hilton U.S.A. Trust:   
floater Series 2014-ORL Class E, 1 month U.S. LIBOR + 3.350% 4.4756% 7/15/29 (b)(d)(e) 617,000 621,780 
Series 2016-HHV Class F, 4.1935% 11/5/38 (b)(d) 1,134,000 902,003 
Series 2016-SFP Class F, 6.0801% 11/5/35 (b) 567,000 568,379 
Home Partners of America Credit Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.650% 3.8767% 7/17/34 (b)(d)(e) 229,000 232,701 
Class F, 1 month U.S. LIBOR + 3.539% 4.7657% 7/17/34 (b)(d)(e) 332,000 335,425 
IMT Trust Series 2017-APTS:   
Class EFL, 1 month U.S. LIBOR + 2.150% 3.15% 6/15/34 (b)(d)(e) 336,000 336,868 
Class FFL, 1 month U.S. LIBOR + 2.850% 3.85% 6/15/34 (b)(d)(e) 108,000 108,274 
JPMBB Commercial Mortgage Securities Trust:   
Series 2014-C19 Class XA, 1.1728% 4/15/47 (d)(m) 23,691,215 704,700 
Series 2014-C22 Class D, 4.5594% 9/15/47 (b)(d) 525,000 444,466 
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) 179,000 161,489 
Series 2014-C26 Class D, 3.9251% 1/15/48 (b)(d) 707,000 604,257 
Series 2015-C30 Class XA, 0.6938% 7/15/48 (d)(m) 83,775,475 2,832,968 
Series 2015-C32 Class C, 4.6678% 11/15/48 (d) 1,907,000 1,921,445 
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4619% 12/15/49 (b) 1,462,000 1,181,866 
JPMDB Commercial Mortgage Securities Trust Series 2016-C4:   
Class C, 3.0971% 12/15/49 946,000 896,782 
Class D, 3.0962% 12/15/49 (b)(d) 1,148,000 894,203 
JPMorgan Chase Commercial Mortgage Securities Corp.:   
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (b) 440,000 458,507 
Series 2003-C1 Class F, 5.4834% 1/12/37 (b)(d) 203,055 201,980 
Series 2009-IWST:   
Class C, 7.4453% 12/5/27 (b)(d) 380,000 423,994 
Class D, 7.4453% 12/5/27 (b)(d) 1,885,000 2,076,352 
Series 2010-CNTR Class D, 6.1838% 8/5/32 (b)(d) 695,000 749,464 
Series 2012-CBX:   
Class C, 5.2132% 6/15/45 (d) 250,000 265,504 
Class D, 5.2132% 6/16/45 (b)(d) 690,000 711,308 
Class E, 5.2132% 6/15/45 (b)(d) 1,043,000 1,059,620 
Class F, 4% 6/15/45 (b) 988,000 799,219 
Class G 4% 6/15/45 (b) 1,079,000 679,874 
JPMorgan Chase Commercial Mortgage Securities Trust:   
Series 2004-CBX Class D, 5.097% 1/12/37 (d) 170,000 174,979 
Series 2004-LN2 Class D, 5.3686% 7/15/41 (d) 420,000 4,776 
Series 2005-LDP2:   
Class E, 4.981% 7/15/42 (d) 462,000 465,115 
Class F, 5.01% 7/15/42 (d) 189,000 190,503 
Series 2011-C3:   
Class E, 5.6136% 2/15/46 (b)(d) 700,000 703,014 
Class H, 4.409% 2/15/46 (b)(d) 756,000 546,108 
Class J, 4.409% 2/15/46 (b)(d) 106,000 65,190 
Series 2011-C4:   
Class E, 5.5344% 7/15/46 (b)(d) 1,130,000 1,171,090 
Class F, 3.873% 7/15/46 (b) 105,000 88,732 
Class H, 3.873% 7/15/46 (b) 674,250 477,604 
Class NR, 3.873% 7/15/46 (b) 385,000 236,303 
Class TAC1, 7.99% 7/15/46 (b) 725,430 726,889 
Class TAC2, 7.99% 7/15/46 (b) 671,000 667,976 
Series 2011-C5:   
Class B. 5.4073% 8/15/46 (b)(d) 1,140,000 1,256,021 
Class C, 5.4073% 8/15/46 (b)(d) 650,648 711,153 
Series 2013-LC11:   
Class C, 3.9582% 4/15/46 (d) 1,163,000 1,172,625 
Class D, 4.2599% 4/15/46 (d) 1,800,000 1,667,514 
Class F, 3.25% 4/15/46 (b)(d)(g) 1,682,000 953,161 
Series 2014-DSTY:   
Class D, 3.8046% 6/10/27 (b)(d) 816,000 779,049 
Class E, 3.8046% 6/10/27 (b)(d) 1,169,000 1,103,875 
Series 2015-UES Class F, 3.621% 9/5/32 (b)(d) 1,155,000 1,140,910 
Series 2016-WP Class TA, 1 month U.S. LIBOR + 1.450% 2.6089% 10/15/33 (b)(d)(e) 15,063,000 15,124,706 
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(d) 1,218,000 1,200,817 
LB-UBS Commercial Mortgage Trust:   
Series 2004-C2 Class G, 4.595% 3/15/36 (b)(d) 14,775 14,744 
Series 2007-C7 Class A3, 5.866% 9/15/45 3,554,300 3,556,478 
Liberty Street Trust Series 2016-225L:   
Class D, 4.6485% 2/10/36 (b)(d) 588,000 641,760 
Class E, 4.6485% 2/10/36 (b)(d) 1,050,000 1,070,302 
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 1 month U.S. LIBOR + 1.800% 3.0256% 9/15/28 (b)(d)(e) 9,947,721 9,977,060 
LSTAR Commercial Mortgage Trust Series 2014-2:   
Class D, 4.9066% 1/20/41 (b)(d) 256,000 258,916 
Class E, 4.9066% 1/20/41 (b)(d) 400,000 373,478 
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (d) 78,610 78,309 
Merrill Lynch Mortgage Trust:   
Series 2006-C1 Class AJ, 5.5659% 5/12/39 (d) 508,018 511,170 
Series 2008-C1 Class A4, 5.69% 2/12/51 678,968 679,137 
Morgan Stanley BAML Trust:   
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (b) 750,000 736,471 
Series 2012-C5 Class E, 4.6895% 8/15/45 (b)(d) 150,000 145,477 
Series 2012-C6 Class D, 4.6094% 11/15/45 (b)(d) 1,357,000 1,369,130 
Series 2013-C12 Class D, 4.7643% 10/15/46 (b)(d) 1,000,000 957,186 
Series 2013-C13:   
Class D, 4.8901% 11/15/46 (b)(d) 1,019,000 977,703 
Class E, 4.8901% 11/15/46 (b)(d) 887,000 703,343 
Series 2013-C7:   
Class D, 4.2591% 2/15/46 (b)(d) 1,111,000 1,043,013 
Class E, 4.2591% 2/15/46 (b)(d) 340,000 262,188 
Series 2013-C8 Class D, 4.0614% 12/15/48 (b)(d) 400,000 366,570 
Series 2013-C9:   
Class C, 4.0394% 5/15/46 (d) 790,000 799,034 
Class D, 4.1274% 5/15/46 (b)(d) 1,747,000 1,627,908 
Series 2014-C17 Class XA, 1.2428% 8/15/47 (d)(m) 175,770,233 8,862,739 
Series 2015-C25 Class XA, 1.14% 10/15/48 (d)(m) 47,445,537 3,255,272 
Series 2016-C30:   
Class C, 4.1325% 9/15/49 (d) 417,000 423,720 
Class D, 3% 9/15/49 (b) 452,000 343,806 
Series 2016-C31:   
Class C, 4.3205% 11/15/49 (d) 946,000 962,490 
Class D, 3% 11/15/49 (b)(d) 703,000 513,750 
Series 2016-C32:   
Class C, 4.296% 12/15/49 651,000 671,584 
Class D, 3.396% 12/15/49 (b) 924,000 699,560 
Series 2017-C33 Class D, 3.25% 5/15/50 (b) 879,000 713,595 
Morgan Stanley Capital I Trust:   
sequential payer Series 2012-C4 Class E, 5.4207% 3/15/45 (b)(d) 1,483,000 1,321,500 
Series 1997-RR Class F, 7.51% 4/30/39 (b)(d) 24,218 24,109 
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) 147,337 143,653 
Series 1999-WF1:   
Class N, 5.91% 11/15/31 (b) 194,876 194,573 
Class O, 5.91% 11/15/31 (b) 160,561 139,810 
Series 2011-C1:   
Class D, 5.4143% 9/15/47 (b)(d) 1,760,000 1,887,527 
Class E, 5.4143% 9/15/47 (b)(d) 573,100 614,472 
Series 2011-C2:   
Class D, 5.483% 6/15/44 (b)(d) 1,272,000 1,328,820 
Class E, 5.483% 6/15/44 (b)(d) 600,000 574,046 
Class F, 5.483% 6/15/44 (b)(d) 550,000 469,005 
Class XB, 0.5345% 6/15/44 (b)(d)(m) 9,001,008 163,324 
Series 2011-C3:   
Class C, 5.155% 7/15/49 (b)(d) 1,000,000 1,076,928 
Class D, 5.155% 7/15/49 (b)(d) 1,130,000 1,172,553 
Class E, 5.155% 7/15/49 (b)(d) 505,000 505,866 
Class G, 5.155% 7/15/49 (b)(d) 957,000 835,872 
Series 2012-C4:   
Class D, 5.4207% 3/15/45 (b)(d) 330,000 343,969 
Class F, 3.07% 3/15/45 (b) 623,000 449,205 
Series 2014-150E:   
Class C, 4.295% 9/9/32 (b)(d) 656,000 703,564 
Class F, 4.295% 9/9/32 (b)(d) 651,000 657,251 
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(d) 1,436,000 1,430,211 
Series 2015-MS1:   
Class C, 4.0299% 5/15/48 (d) 734,000 734,914 
Class D, 4.0299% 5/15/48 (b)(d) 1,260,000 1,094,608 
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) 798,000 641,653 
Series 2016-BNK2:   
Class C, 3% 11/15/49 (b) 1,350,000 1,094,653 
Class D, 3.9111% 11/15/49 (d) 946,000 962,571 
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5741% 7/15/33 (b)(d) 102,509 106,457 
Motel 6 Trust:   
Series 2017-M6MZ, 1 month U.S. LIBOR + 6.927% 8.1565% 8/15/19 (b)(d)(e) 500,000 499,051 
Series 2017-MTL6, 1 month U.S. LIBOR + 4.250% 5.48% 8/15/34 (b)(d)(e) 2,961,000 2,953,694 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (b)(d) 23,867,000 24,111,928 
Class B, 4.181% 11/15/34 (b) 8,435,000 8,584,275 
Class C, 5.205% 11/15/34 (b) 5,900,000 6,088,566 
Class D, 6.55% 11/15/34 (b) 2,209,000 2,221,601 
Class E, 6.8087% 11/15/34 (b) 615,000 584,982 
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d) 278,000 270,160 
NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (b) 369,357 381,907 
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) 972,724 1,197,910 
Real Estate Asset Liquidity Trust:   
Series 2006-2:   
Class J, 4.456% 9/12/38 (b) CAD25,051 19,877 
Class K, 4.456% 9/12/38 (b) CAD18,000 14,190 
Class L, 4.456% 9/12/38 (b) CAD26,000 20,322 
Class M, 4.456% 9/12/38 (b) CAD104,391 79,099 
Series 2007-1 Class M, 4.57% 4/12/23 CAD109,733 86,077 
SCG Trust Series 2013-SRP1 Class D, 1 month U.S. LIBOR + 3.344% 4.5704% 11/15/26 (b)(d)(e) 1,698,000 1,624,011 
Starwood Retail Property Trust Series 2014-STAR Class D, 1 month U.S. LIBOR + 3.250% 4.4756% 11/15/27 (b)(d)(e) 1,683,000 1,669,040 
TIAA Seasoned Commercial Mortgage Trust:   
sequential payer Series 2007-C4 Class AJ, 5.4751% 8/15/39 (d) 23,315 23,530 
Series 2007-C4 Class F, 5.4751% 8/15/39 (d) 820,000 757,999 
UBS Commercial Mortgage Trust Series 2012-C1:   
Class D, 5.5456% 5/10/45 (b)(d) 1,197,000 1,219,328 
Class E, 5% 5/10/45 (b)(d) 537,000 459,391 
Class F, 5% 5/10/45 (b)(d) 682,700 464,415 
UBS-BAMLL Trust:   
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d) 310,000 308,915 
Series 2012-WRM Class E, 4.238% 6/10/30 (b)(d) 970,000 939,208 
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (b)(d) 1,299,000 1,278,912 
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) 180,000 195,950 
Wells Fargo Commercial Mortgage Trust:   
Series 2010-C1 Class XB, 0.5836% 11/15/43 (b)(d)(m) 20,614,217 358,135 
Series 2012-LC5:   
Class C, 4.693% 10/15/45 (d) 569,000 597,003 
Class D, 4.7706% 10/15/45 (b)(d) 1,621,000 1,582,855 
Class E, 4.7706% 10/15/45 (b)(d) 284,000 235,310 
Series 2013-LC12 Class C, 4.2949% 7/15/46 (d) 760,000 774,780 
Series 2015-C31 Class XA, 1.1023% 11/15/48 (d)(m) 38,245,325 2,554,313 
Series 2015-NXS4 Class E, 3.601% 12/15/48 (b)(d) 588,000 443,184 
Series 2016-BNK1:   
Class C, 3.071% 8/15/49 700,000 663,361 
Class D, 3% 8/15/49 (b) 447,000 366,761 
Series 2016-C34 Class XA, 2.1801% 6/15/49 (d)(m) 34,403,357 4,378,563 
Series 2016-C35 Class D, 3.142% 7/15/48 (b) 1,596,000 1,161,727 
Series 2016-LC25 Class C, 4.4365% 12/15/59 (d) 903,000 908,377 
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) 1,218,000 933,285 
Series 2017-C38 Class D, 3% 7/15/50 (b)(d) 1,364,000 1,099,260 
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) 556,000 466,266 
WF-RBS Commercial Mortgage Trust:   
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (b) 325,000 213,297 
Series 2011-C3:   
Class C, 5.335% 3/15/44 (b) 360,000 383,054 
Class D, 5.6401% 3/15/44 (b)(d) 800,000 747,035 
Class E, 5% 3/15/44 (b) 890,000 800,911 
Class F, 5% 3/15/44 (b) 693,000 482,507 
Series 2011-C4:   
Class D, 5.2472% 6/15/44 (b)(d) 408,000 405,075 
Class E, 5.2472% 6/15/44 (b)(d) 439,432 428,159 
Series 2011-C5:   
Class C, 5.6722% 11/15/44 (b)(d) 260,000 286,903 
Class D, 5.6722% 11/15/44 (b)(d) 600,000 628,023 
Class E, 5.6722% 11/15/44 (b)(d) 1,853,000 1,912,001 
Class F, 5.25% 11/15/44 (b)(d) 933,000 816,353 
Class G, 5.25% 11/15/44 (b)(d) 329,000 268,477 
Class XA, 1.7625% 11/15/44 (b)(d)(m) 4,030,409 233,906 
Series 2012-C10:   
Class E, 4.4564% 12/15/45 (b)(d) 1,190,000 903,064 
Class F, 4.4564% 12/15/45 (b)(d) 1,726,000 949,795 
Series 2012-C6 Class D, 5.5804% 4/15/45 (b)(d) 540,000 546,623 
Series 2012-C7:   
Class C, 4.8297% 6/15/45 (d) 1,270,000 1,310,390 
Class E, 4.8297% 6/15/45 (b)(d) 2,501,000 2,135,891 
Class F, 4.5% 6/15/45 (b) 357,000 266,376 
Class G, 4.5% 6/15/45 (b) 1,076,000 679,036 
Series 2012-C8:   
Class D, 4.8926% 8/15/45 (b)(d) 650,000 652,736 
Class E, 4.8926% 8/15/45 (b)(d) 335,000 328,241 
Series 2013-C11:   
Class D, 4.2069% 3/15/45 (b)(d) 870,000 798,989 
Class E, 4.2069% 3/15/45 (b)(d) 1,750,000 1,355,591 
Series 2013-C13 Class D, 4.1386% 5/15/45 (b)(d) 600,000 561,871 
Series 2013-C16 Class D, 4.9803% 9/15/46 (b)(d) 193,000 187,662 
Series 2013-UBS1 Class D, 4.6251% 3/15/46 (b)(d) 756,000 714,692 
Series 2014-C21 Class XA, 1.1412% 8/15/47 (d)(m) 105,878,755 5,772,743 
Series 2014-C24 Class XA, 0.9591% 11/15/47 (d)(m) 34,755,336 1,738,695 
WFCG Commercial Mortgage Trust floater Series 2015-BXRP:   
Class F, 1 month U.S. LIBOR + 3.721% 4.9459% 11/15/29 (b)(d)(e) 1,054,900 1,056,878 
Class G, 1 month U.S. LIBOR + 3.001% 4.2456% 11/15/29 (b)(d)(e) 456,347 448,999 
WP Glimcher Mall Trust Series 2015-WPG:   
Class PR1, 3.516% 6/5/35 (b)(d) 489,000 381,678 
Class PR2, 3.516% 6/5/35 (b)(d) 1,260,000 929,851 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $500,984,281)  506,587,713 
Municipal Securities - 1.4%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $2,650,000 $3,955,576 
7.3% 10/1/39 27,595,000 40,949,048 
7.5% 4/1/34 9,105,000 13,420,679 
7.55% 4/1/39 18,745,000 29,153,161 
7.6% 11/1/40 14,220,000 22,584,773 
7.625% 3/1/40 10,110,000 15,718,320 
Chicago Gen. Oblig. (Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 2,410,000 2,464,587 
Series 2010 C1, 7.781% 1/1/35 13,950,000 16,483,878 
Series 2012 B, 5.432% 1/1/42 3,285,000 3,250,639 
Series 2014 B, 6.314% 1/1/44 16,855,000 18,070,246 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,508,000 3,549,429 
4.95% 6/1/23 24,240,000 25,205,722 
5.1% 6/1/33 63,045,000 63,344,464 
Series 2010-1, 6.63% 2/1/35 11,945,000 13,181,785 
Series 2010-3:   
5.547% 4/1/19 330,000 341,441 
6.725% 4/1/35 17,810,000 19,600,261 
7.35% 7/1/35 8,165,000 9,414,082 
Series 2010-5, 6.2% 7/1/21 6,528,000 6,918,636 
Series 2011:   
5.665% 3/1/18 21,275,000 21,627,527 
5.877% 3/1/19 77,850,000 81,016,160 
Series 2013:   
2.69% 12/1/17 3,365,000 3,367,995 
3.14% 12/1/18 3,490,000 3,500,191 
TOTAL MUNICIPAL SECURITIES   
(Cost $395,133,512)  417,118,600 
Foreign Government and Government Agency Obligations - 0.8%   
Arab Republic 5.875% 6/11/25 (b) $535,000 $542,860 
Arab Republic of Egypt:   
5.875% 6/11/25 1,125,000 1,141,529 
6.125% 1/31/22 (b) 3,100,000 3,227,106 
7.5% 1/31/27 (b) 600,000 661,800 
8.5% 1/31/47 (b) 2,780,000 3,113,600 
Argentine Republic:   
5.625% 1/26/22 2,030,000 2,123,380 
6.875% 4/22/21 12,240,000 13,304,880 
7.125% 6/28/2117 (b) 1,355,000 1,336,708 
7.5% 4/22/26 425,000 475,150 
Barbados Government:   
7% 8/4/22 (b) 825,000 746,625 
7.25% 12/15/21 (b) 90,000 82,800 
Belarus Republic:   
6.875% 2/28/23 (b) 1,910,000 2,045,801 
7.625% 6/29/27 (b) 955,000 1,051,646 
8.95% 1/26/18 5,940,000 6,081,206 
Brazilian Federative Republic:   
4.25% 1/7/25 10,005,000 10,105,050 
5.625% 1/7/41 13,135,000 13,151,419 
7.125% 1/20/37 4,785,000 5,658,263 
8.25% 1/20/34 5,895,000 7,634,025 
Buenos Aires Province:   
6.5% 2/15/23 (b) 1,350,000 1,410,480 
9.95% 6/9/21 (b) 2,815,000 3,241,473 
10.875% 1/26/21 (b) 1,125,000 1,288,125 
10.875% 1/26/21 (Reg. S) 6,025,000 6,898,625 
Cameroon Republic 9.5% 11/19/25 (b) 300,000 353,862 
City of Buenos Aires 8.95% 2/19/21 (b) 810,000 901,125 
Colombian Republic:   
6.125% 1/18/41 5,000 5,931 
7.375% 9/18/37 1,320,000 1,749,000 
10.375% 1/28/33 1,875,000 2,864,063 
Costa Rican Republic 7% 4/4/44 (b) 1,150,000 1,208,938 
Croatia Republic:   
5.5% 4/4/23 (b) 660,000 733,080 
6% 1/26/24 (b) 600,000 684,072 
Democratic Socialist Republic of Sri Lanka:   
6.2% 5/11/27 (b) 355,000 373,275 
6.25% 10/4/20 (b) 330,000 353,074 
6.25% 7/27/21 (b) 360,000 387,558 
Dominican Republic:   
5.95% 1/25/27 (b) 1,505,000 1,632,925 
6.6% 1/28/24 (b) 520,000 585,000 
6.85% 1/27/45 (b) 745,000 838,125 
6.875% 1/29/26 (b) 1,220,000 1,403,000 
7.45% 4/30/44 (b) 1,265,000 1,514,838 
Ecuador Republic:   
8.75% 6/2/23 (b) 575,000 585,781 
9.65% 12/13/26 (b) 575,000 603,031 
10.5% 3/24/20 (b) 425,000 454,219 
El Salvador Republic:   
7.375% 12/1/19 (b) 565,000 583,363 
7.65% 6/15/35 (Reg. S) 50,000 49,875 
8.625% 2/28/29 (b) 280,000 306,950 
German Federal Republic:   
0% 8/15/26(Reg. S) EUR300,000 350,455 
2.5% 8/15/46 EUR815,000 1,298,982 
4% 1/4/37 EUR1,645,000 3,063,177 
Indonesian Republic:   
2.625% 6/14/23 EUR7,700,000 9,685,287 
7.75% 1/17/38 (b) 2,445,000 3,492,399 
8.5% 10/12/35 (Reg. S) 2,385,000 3,545,834 
Islamic Republic of Pakistan:   
6.75% 12/3/19 (b) 200,000 209,149 
7.25% 4/15/19 (b) 2,530,000 2,642,398 
8.25% 4/15/24 (b) 625,000 703,893 
Lebanese Republic:   
4% 12/31/17 1,239,250 1,236,400 
5% 10/12/17 2,045,000 2,045,000 
5.15% 6/12/18 2,720,000 2,734,993 
5.15% 11/12/18 1,260,000 1,268,127 
5.45% 11/28/19 1,370,000 1,374,768 
6% 5/20/19 1,785,000 1,808,444 
Mongolian People's Republic 8.75% 3/9/24 (b) 1,930,000 2,181,288 
Panamanian Republic 9.375% 4/1/29 365,000 552,063 
Peruvian Republic 4% 3/7/27 (g)(q) 1,360,000 1,347,708 
Province of Santa Fe 7% 3/23/23 (b) 2,780,000 2,926,562 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 3,480,000 3,718,380 
7.45% 9/1/24 (b) 1,920,000 2,062,656 
Republic of Angola 7% 8/17/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) 700,000 724,003 
Republic of Armenia:   
6% 9/30/20 (b) 2,381,000 2,524,670 
7.15% 3/26/25 (b) 995,000 1,108,729 
Republic of Iraq:   
5.8% 1/15/28 (Reg. S) 5,350,000 5,075,149 
6.75% 3/9/23 (b) 1,245,000 1,266,788 
Republic of Kenya 6.875% 6/24/24 (b) 885,000 928,321 
Republic of Nigeria 6.75% 1/28/21 (b) 240,000 257,400 
Republic of Serbia:   
6.75% 11/1/24 (b) 1,147,044 1,173,344 
7.25% 9/28/21 (b) 1,250,000 1,448,438 
Russian Federation:   
5.25% 6/23/47 (b) 1,600,000 1,664,973 
5.625% 4/4/42 (b) 850,000 960,568 
5.875% 9/16/43 (b) 755,000 879,575 
12.75% 6/24/28 (Reg. S) 5,610,000 9,899,518 
Rwanda Rep 6.625% 5/2/23 (b) 930,000 971,850 
State of Qatar 9.75% 6/15/30 (b) 390,000 624,000 
Sultanate of Oman 6.5% 3/8/47 (b) 770,000 804,650 
Turkish Republic:   
3.25% 3/23/23 245,000 234,898 
5.125% 3/25/22 1,590,000 1,675,214 
5.625% 3/30/21 1,600,000 1,710,618 
6% 3/25/27 975,000 1,067,625 
6.25% 9/26/22 3,130,000 3,453,786 
6.75% 5/30/40 550,000 633,820 
6.875% 3/17/36 1,795,000 2,086,580 
7% 6/5/20 3,840,000 4,225,344 
7.25% 3/5/38 1,150,000 1,393,800 
7.375% 2/5/25 1,495,000 1,765,595 
8% 2/14/34 760,000 971,797 
11.875% 1/15/30 1,455,000 2,357,246 
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) 895,000 934,137 
Ukraine Government:   
7.75% 9/1/21 (b) 8,899,000 9,277,741 
7.75% 9/1/22 (b) 7,759,000 8,080,999 
7.75% 9/1/23 (b) 719,000 746,408 
United Kingdom, Great Britain and Northern Ireland:   
1.5% 7/22/26(Reg. S) GBP200,000 271,034 
1.5% 7/22/47 GBP2,000,000 2,465,409 
2% 9/7/25(Reg. S) GBP1,285,000 1,816,365 
4.25% 3/7/36 GBP745,000 1,373,115 
4.5% 9/7/34 GBP2,135,000 3,986,550 
Uruguay Republic 7.875% 1/15/33 pay-in-kind 1,015,000 1,426,075 
Venezuelan Republic:   
9.25% 9/15/27 4,270,000 1,675,975 
11.95% 8/5/31 (Reg. S) 2,145,000 879,450 
12.75% 8/23/22 905,000 409,513 
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.813% 2.25% 3/13/28 (d)(e)(g) 195,000 173,856 
4% 3/12/28 (g)(q) 6,043,500 5,999,745 
4.8% 11/19/24 (b) 550,000 583,799 
6.75% 1/29/20 (b) 750,000 819,571 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $227,848,594)  244,549,640 
 Shares Value 
Common Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Tribune Media Co. Class A 21,200 849,484 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services Ltd. 154,425 1,775,888 
Oil, Gas & Consumable Fuels - 0.0%   
Pacific Exploration and Production Corp. 67,596 2,056,975 
Southwestern Energy Co. (r) 81,258 442,856 
Warrior Met Coal, Inc. Class A 31,922 827,594 
  3,327,425 
TOTAL ENERGY  5,103,313 
MATERIALS - 0.0%   
Chemicals - 0.0%   
LyondellBasell Industries NV Class A 31,400 2,844,526 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Consolidated Communications Holdings, Inc. 14,162 261,289 
Wireless Telecommunication Services - 0.0%   
CUI Acquisition Corp. Class E (g)(r) 1 34,600 
TOTAL TELECOMMUNICATION SERVICES  295,889 
TOTAL COMMON STOCKS   
(Cost $22,084,574)  9,093,212 
Preferred Stocks - 0.0%   
Convertible Preferred Stocks - 0.0%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 243,900 3,231,675 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Alexandria Real Estate Equities, Inc. Series D, 7.00% 9,000 331,110 
FelCor Lodging Trust, Inc. Series A, 1.95% 17,900 500,921 
  832,031 
TOTAL CONVERTIBLE PREFERRED STOCKS  4,063,706 
Nonconvertible Preferred Stocks - 0.0%   
FINANCIALS - 0.0%   
Mortgage Real Estate Investment Trusts - 0.0%   
Annaly Capital Management, Inc. Series C, 7.625% 27,600 708,492 
CYS Investments, Inc. Series B, 7.50% 17,000 425,000 
MFA Financial, Inc. Series B, 7.50% 22,500 569,250 
  1,702,742 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
American Homes 4 Rent Series D, 6.50% 24,500 661,500 
Boston Properties, Inc. 5.25% 17,500 456,750 
CBL & Associates Properties, Inc. Series D, 7.375% 7,720 188,908 
Cedar Realty Trust, Inc.:   
Series B, 7.25% 8,113 204,123 
Series C 6.50% 10,000 247,500 
DDR Corp. Series K, 6.25% 17,823 454,487 
Equity Lifestyle Properties, Inc. Series C, 6.75% 39,667 1,005,955 
Public Storage Series F 5.15% 37,000 937,580 
Retail Properties America, Inc. Series A, 7.00% 24,109 615,985 
Sabra Health Care REIT, Inc. Series A, 7.125% 18,495 475,691 
Sun Communities, Inc. Series A, 7.125% 34,701 885,570 
Taubman Centers, Inc. Series J, 6.50% 11,338 287,418 
  6,421,467 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  8,124,209 
TOTAL PREFERRED STOCKS   
(Cost $12,902,246)  12,187,915 
 Principal Amount(a) Value 
Bank Loan Obligations - 4.8%   
CONSUMER DISCRETIONARY - 1.4%   
Auto Components - 0.0%   
North American Lifting Holdings, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 11/27/20 (d)(e) 4,541,481 4,223,577 
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 10.2964% 11/27/21 (d)(e) 1,594,000 1,265,907 
  5,489,484 
Automobiles - 0.0%   
Caliber Holdings Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 2/1/24 (d)(e) 1,408,167 1,412,856 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.4839% 2/1/25 (d)(e) 385,000 392,700 
Chrysler Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.23% 12/31/18 (d)(e) 750,577 751,988 
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.7986% 4/18/23 (d)(e) 1,110,000 1,130,124 
  3,687,668 
Diversified Consumer Services - 0.2%   
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 11/7/23 (d)(e) 1,504,391 1,509,281 
Coinmach Service Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0139% 11/14/22 (d)(e) 7,289,232 7,305,632 
Creative Artists Agency LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7267% 2/15/24 (d)(e) 1,990,000 2,000,786 
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3% 7/3/20 (d)(e) 1,148,725 1,091,771 
KUEHG Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 8/13/22 (d)(e) 4,442,675 4,427,392 
Tranche B, term loan 3 month U.S. LIBOR + 8.250% 9.5139% 8/22/25 (d)(e) 1,000,000 995,000 
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7389% 4/26/24 (d)(e) 23,476,163 23,564,198 
Nord Anglia Education Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7018% 3/31/21 (d)(e) 6,790,296 6,790,296 
Seminole Tribe Florida Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.456% 7/6/24 (d)(e) 2,500,000 2,505,850 
The ServiceMaster Co. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 11/8/23 (d)(e) 2,985,000 2,987,239 
Wash Multifamily Acquisition, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4889% 5/14/22 (d)(e) 4,777,766 4,762,859 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2389% 5/14/23 (d)(e)(g) 360,000 356,400 
Weight Watchers International, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.250% 4.5288% 4/2/20 (d)(e) 5,696,274 5,563,038 
Zodiac Pool Solutions LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2964% 12/20/23 (d)(e) 1,990,013 2,008,679 
  65,868,421 
Hotels, Restaurants & Leisure - 0.5%   
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 5/30/21 (d)(e) 2,935,970 2,926,810 
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 7/1/23 (d)(e) 1,927,903 1,929,349 
American Casino & Entertainment Properties LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 7/7/22 (d)(e) 885,254 885,812 
AP Gaming I LLC term loan 3 month U.S. LIBOR + 5.500% 6.7339% 2/15/24 (d)(e) 1,205,000 1,220,063 
Aristocrat Technologies, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 3.5569% 10/20/21 (d)(e) 4,125,923 4,124,685 
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.6967% 9/15/23 (d)(e) 2,212,060 2,214,404 
Burger King Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5113% 2/17/24 (d)(e) 5,944,968 5,924,517 
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 10/11/20 (d)(e) 12,562,641 12,615,028 
Caesars Growth Properties Holdings LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 5/8/21 (d)(e) 15,460,150 15,495,554 
CCM Merger, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9889% 8/8/21 (d)(e) 2,722,891 2,728,010 
CEC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 2/14/21 (d)(e) 1,691,885 1,678,282 
Cedar Fair LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 4/13/24 (d)(e) 416,500 419,624 
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7344% 4/18/24 (d)(e) 3,145,000 3,149,718 
Cyan Blue Holdco 3 Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 7/25/24 (d)(e) 1,645,000 1,654,261 
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5044% 2/1/24 (d)(e) 7,795,000 7,840,445 
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5625% 4/17/24 (d)(e) 4,847,850 4,823,611 
Equinox Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2317% 9/8/24 (d)(e) 940,000 955,670 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 3/8/24 (d)(e) 2,244,375 2,246,238 
ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 8/30/23 (d)(e) 3,003,820 3,014,153 
Fitness International LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 7/1/20 (d)(e) 1,251,851 1,262,805 
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 11/30/23 (d)(e) 6,455,281 6,477,681 
Gateway Casinos & Entertainment Ltd. term loan 3 month U.S. LIBOR + 3.750% 5.0464% 2/22/23 (d)(e) 3,005,000 3,012,513 
Golden Entertainment, Inc. term loan:   
3 month U.S. LIBOR + 3.000% 8/11/24 (e)(s) 9,600,000 9,556,032 
3 month U.S. LIBOR + 7.000% 8/11/25 (e)(s) 2,700,000 2,700,000 
Golden Nugget, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 4.74% 11/21/19 (d)(e) 4,741,491 4,756,331 
3 month U.S. LIBOR + 3.500% 4.74% 11/21/19 (d)(e) 2,031,693 2,038,052 
Greektown Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 4/25/24 (d)(e) 1,110,000 1,107,569 
Hilton Worldwide Finance LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.2344% 10/25/23 (d)(e) 4,980,616 4,995,458 
Intrawest Resorts Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 7/31/24 (d)(e) 3,000,000 3,000,000 
La Quinta Intermediate Holdings LLC Tranche B LN, term loan 3 month U.S. LIBOR + 2.750% 4.0539% 4/14/21 (d)(e) 3,539,259 3,545,913 
Landry's Acquisition Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.9844% 10/4/23 (d)(e) 5,911,154 5,853,875 
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 6/10/22 (d)(e) 3,552,315 3,558,674 
MGM Mirage, Inc. Tranche A, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 4/25/21 (d)(e) 1,794,000 1,794,000 
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 10/14/23 (d)(e) 1,985,000 2,002,369 
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7964% 1/19/24 (d)(e) 753,113 755,402 
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.32% 4/27/24 (d)(e) 3,640,000 3,638,471 
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.4856% 7/28/21 (d)(e) 2,051,709 2,067,097 
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.56% 5/11/24 (d)(e) 294,263 295,734 
Scientific Games Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.5122% 8/14/24 (d)(e) 11,040,000 11,114,520 
SeaWorld Parks & Entertainment, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 3/31/24 (d)(e) 1,092,263 1,060,270 
SMG Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8367% 2/27/20 (d)(e) 1,534,022 1,533,071 
Station Casinos LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.74% 6/8/23 (d)(e) 5,175,863 5,167,995 
Tropicana Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 11/27/20 (d)(e) 1,481,519 1,488,927 
Yonkers Racing Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.49% 5/31/24 (d)(e) 2,000,000 2,000,000 
  160,628,993 
Internet & Direct Marketing Retail - 0.1%   
Bass Pro Group LLC:   
term loan 3 month U.S. LIBOR + 4.750% 6.0464% 6/9/18 (d)(e) 2,000,000 2,001,260 
Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4789% 6/5/20 (d)(e) 2,364,871 2,351,084 
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2964% 12/16/23 (d)(e) 15,464,576 14,623,767 
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 8/19/23 (d)(e) 2,462,500 2,470,823 
  21,446,934 
Leisure Products - 0.0%   
Hayward Industries, Inc. term loan 3 month U.S. LIBOR + 3.500% 4.4806% 8/4/24 (d)(e) 1,615,000 1,622,074 
SRAM LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7572% 3/15/24 (d)(e) 1,325,523 1,332,151 
  2,954,225 
Media - 0.4%   
Acosta, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4889% 9/26/21 (d)(e) 2,635,897 2,352,538 
Altice U.S. Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/28/25 (d)(e) 1,995,000 1,979,419 
AMC Entertainment Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4783% 12/15/23 (d)(e) 995,000 990,025 
AMC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4783% 12/15/22 (d)(e) 1,965,000 1,953,544 
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.57% 5/1/24 (d)(e) 1,020,000 1,022,550 
CBS Radio, Inc. term loan 3 month U.S. LIBOR + 3.500% 4.7361% 10/17/23 (d)(e) 3,602,642 3,622,168 
CDS U.S. Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.05% 7/8/22 (d)(e) 1,820,563 1,813,735 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.5464% 7/8/23 (d)(e) 465,000 464,419 
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4806% 6/7/23 (d)(e) 6,067,375 5,630,039 
Charter Communication Operating LLC:   
term loan:   
3 month U.S. LIBOR + 2.000% 3.24% 7/1/20 (d)(e) 1,462,904 1,466,561 
3 month U.S. LIBOR + 2.000% 3.24% 1/3/21 (d)(e) 4,369,714 4,379,415 
Tranche H, term loan 3 month U.S. LIBOR + 2.000% 3.24% 1/15/22 (d)(e) 987,500 990,097 
Tranche I, term loan 3 month U.S. LIBOR + 2.250% 3.49% 1/15/24 (d)(e) 6,255,813 6,283,588 
Clear Channel Communications, Inc. Tranche D, term loan 3 month U.S. LIBOR + 6.750% 7.9889% 1/30/19 (d)(e) 10,365,000 8,292,000 
Emerald Exposit Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 5/22/24 (d)(e) 1,440,000 1,450,800 
Entercom Radio, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7152% 11/1/23 (d)(e) 1,431,250 1,432,323 
Getty Images, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 10/18/19 (d)(e) 5,115,118 4,417,365 
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 5/29/21 (d)(e) 4,595,606 4,423,270 
ION Media Networks, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.26% 12/18/20 (d)(e) 5,588,474 5,595,460 
Karman Buyer Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 7/25/21 (d)(e) 1,458,338 1,401,098 
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.7964% 7/25/22 (d)(e) 1,620,000 1,475,723 
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8036% 1/7/22 (d)(e) 3,620,000 3,597,375 
Lions Gate Entertainment Corp. term loan 3 month U.S. LIBOR + 3.000% 4.2339% 12/8/23 (d)(e) 2,350,000 2,367,625 
McGraw-Hill Global Education Holdings, LLC term loan 3 month U.S. LIBOR + 4.000% 5.2339% 5/4/22 (d)(e) 6,816,150 6,686,234 
Montreign Operating Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.250% 9.4839% 1/19/23 (d)(e) 2,770,000 2,790,775 
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4783% 7/17/25 (d)(e) 2,644,896 2,626,170 
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 3.2289% 10/4/23 (d)(e) 5,063,559 5,062,952 
Proquest LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9889% 10/24/21 (d)(e) 3,917,591 3,953,515 
Raycom Media, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9856% 8/23/24 (d)(e) 2,060,000 2,070,300 
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 8/14/20 (d)(e) 8,627,193 8,639,788 
Unitymedia Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4867% 9/30/25 (d)(e) 4,130,000 4,109,350 
Virgin Media Bristol LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.9767% 1/31/25 (d)(e) 5,000,000 5,009,700 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4783% 8/19/23 (d)(e) 9,075,000 9,050,044 
Ziggo Secured Finance Partnership Tranche E, term loan 3 month U.S. LIBOR + 2.500% 3.7267% 4/15/25 (d)(e) 4,610,000 4,596,170 
  121,996,135 
Multiline Retail - 0.1%   
JC Penney Corp., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5678% 6/23/23 (d)(e) 11,732,859 11,547,127 
Specialty Retail - 0.1%   
ABB Optical Group LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.243% 6/15/23 (d)(e) 1,334,913 1,336,581 
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2423% 7/2/22 (d)(e) 5,150,094 3,429,963 
Davids Bridal, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3% 10/11/19 (d)(e) 1,860,847 1,452,633 
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.3187% 8/19/22 (d)(e) 4,686,512 4,688,715 
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3111% 1/26/23 (d)(e) 5,608,934 4,708,700 
PetSmart, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.24% 3/11/22 (d)(e) 14,155,206 12,430,111 
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 0% 11/16/17 (e)(f) 2,089,734 87,079 
  28,133,782 
Textiles, Apparel & Luxury Goods - 0.0%   
Hercules Achievement, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7317% 12/11/21 (d)(e) 4,554,353 4,577,124 
TOTAL CONSUMER DISCRETIONARY  426,329,893 
CONSUMER STAPLES - 0.3%   
Beverages - 0.0%   
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0572% 12/16/23 (d)(e) 1,990,000 1,997,463 
Food & Staples Retailing - 0.2%   
Albertson's LLC Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 3.9839% 8/25/21 (d)(e) 15,535,240 15,063,591 
3 month U.S. LIBOR + 3.000% 4.2933% 12/21/22 (d)(e) 6,619,403 6,419,431 
3 month U.S. LIBOR + 3.000% 4.3172% 6/22/23 (d)(e) 4,823,800 4,683,090 
BJ's Wholesale Club, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.500% 8.71% 2/3/25 (d)(e) 2,865,000 2,748,853 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9681% 2/3/24 (d)(e) 8,830,325 8,496,009 
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.74% 6/28/20 (d)(e) 1,072,224 1,002,530 
GOBP Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 10/21/21 (d)(e) 3,853,871 3,839,419 
Pizza Hut Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2283% 6/16/23 (d)(e) 6,239,363 6,265,006 
Shearer's Foods, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0464% 6/30/22 (d)(e) 2,913,000 2,752,785 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.938% 5.2339% 6/30/21 (d)(e) 3,332,336 3,330,936 
Smart & Final, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7721% 11/15/22 (d)(e) 4,033,000 3,864,945 
U.S. Foods, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.99% 6/27/23 (d)(e) 3,465,000 3,475,776 
  61,942,371 
Food Products - 0.1%   
Arctic Glacier Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 3/20/24 (d)(e) 807,975 811,005 
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 10/7/23 (d)(e) 4,335,357 4,363,797 
Hostess Brands LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 8/3/22 (d)(e) 1,056,652 1,059,029 
JBS U.S.A. Lux SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8038% 10/30/22 (d)(e) 4,234,388 4,183,236 
Post Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.49% 5/24/24 (d)(e) 5,840,000 5,846,249 
  16,263,316 
Personal Products - 0.0%   
Prestige Brands, Inc. term loan 3 month U.S. LIBOR + 2.750% 3.9839% 1/26/24 (d)(e) 2,084,842 2,087,115 
TOTAL CONSUMER STAPLES  82,290,265 
ENERGY - 0.2%   
Energy Equipment & Services - 0.0%   
Cactus Wellhead LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.3169% 7/31/20 (d)(e) 3,371,806 3,262,222 
Expro Finservices SARL Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.96% 9/2/21 (d)(e) 6,065,149 3,899,891 
Forbes Energy Services LLC Tranche B, term loan 12% 4/13/21 (d) 1,493,878 1,505,082 
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.9889% 4/16/21 (d)(e) 2,335,000 2,092,744 
Pacific Drilling SA Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.75% 6/3/18 (d)(e) 1,340,501 447,727 
Seadrill Operating LP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 2/21/21 (d)(e) 3,071,204 1,974,201 
Summit Midstream Partners LP Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.2339% 5/16/22 (d)(e) 3,000,000 3,037,500 
  16,219,367 
Oil, Gas & Consumable Fuels - 0.2%   
Alon U.S.A. Partners LP term loan 3 month U.S. LIBOR + 8.000% 9.25% 11/26/18 (d)(e) 2,127,522 2,136,032 
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 5/18/23 (d)(e) 2,000,000 2,010,000 
Bcp Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5072% 6/22/24 (d)(e) 5,470,000 5,501,890 
California Resources Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.6033% 12/31/21 (d)(e) 4,480,000 4,741,318 
Chesapeake Energy Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.8144% 8/23/21 (d)(e) 5,900,000 6,263,853 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.9324% 5/16/21 (d)(e) 2,832,000 2,750,580 
Citgo Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 8.500% 9.7964% 5/12/18 (d)(e) 2,569,041 2,585,097 
Citgo Petroleum Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 7/29/21 (d)(e) 522,566 522,457 
Crestwood Holdings Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 9.2283% 6/19/19 (d)(e) 5,527,140 5,496,077 
Foresight Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 7.0464% 3/28/22 (d)(e) 1,995,000 1,866,981 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.2306% 3/1/24 (d)(e) 2,500,000 2,353,125 
Houston Fuel Oil Terminal Co. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8% 8/19/21 (d)(e) 7,208,121 7,136,040 
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 5.2283% 2/15/24 (d)(e) 2,857,838 2,897,133 
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 7.0464% 12/19/20 (d)(e) 6,172,692 5,720,048 
Panda Temple Power, LLC term loan 3 month U.S. LIBOR + 6.000% 7.2964% 4/3/19 (d)(e) 1,004,700 954,465 
Peabody Energy Corp. term loan 3 month U.S. LIBOR + 4.500% 5.7339% 3/31/22 (d)(e) 3,358,421 3,381,090 
  56,316,186 
TOTAL ENERGY  72,535,553 
FINANCIALS - 0.3%   
Capital Markets - 0.0%   
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.24% 4/27/24 (d)(e) 3,045,000 3,038,149 
HarbourVest Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8039% 2/4/21 (d)(e) 756,307 755,362 
IBC Capital U.S. LLC:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2281% 9/11/22 (d)(e) 2,505,000 2,379,750 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9781% 9/11/21 (d)(e) 1,949,135 1,928,026 
Jane Street Group LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7344% 8/25/22 (d)(e) 2,000,000 2,017,500 
  10,118,787 
Diversified Financial Services - 0.1%   
Avolon TLB Borrower 1 (U.S.) LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 3.9806% 3/20/22 (d)(e) 4,300,000 4,311,696 
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 10/6/23 (d)(e) 4,118,000 4,138,590 
Extell Boston 5.154% 8/31/21 (d) 1,137,495 1,142,841 
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 1.375% 7/14/22 (d)(e) 3,000,000 3,024,000 
Flying Fortress Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 10/30/22 (d)(e) 2,000,000 2,007,500 
Focus Financial Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5486% 7/3/24 (d)(e) 1,385,000 1,400,581 
Kingpin Intermediate Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.49% 7/3/24 (d)(e) 1,000,000 1,007,080 
Nab Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7992% 6/30/24 (d)(e) 1,755,000 1,761,581 
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 2/10/24 (d)(e) 2,743,125 2,736,267 
Peak 10 Holding Corp. term loan 3 month U.S. LIBOR + 3.500% 4.8106% 8/1/24 (d)(e) 1,000,000 996,250 
TransUnion LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2339% 4/9/23 (d)(e) 4,893,918 4,895,142 
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.49% 8/18/23 (d)(e) 2,973,769 2,981,203 
VF Holdings Corp. term loan 3 month U.S. LIBOR + 3.250% 4.5464% 6/30/23 (d)(e) 1,488,750 1,493,216 
  31,895,947 
Insurance - 0.2%   
Acrisure LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.2964% 11/22/23 (d)(e) 5,715,675 5,779,976 
Alliant Holdings Intermediate LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5639% 8/14/22 (d)(e) 3,934,884 3,931,775 
AmWINS Group, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.9839% 1/25/25 (d)(e) 275,000 280,500 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.1759% 1/25/24 (d)(e) 1,492,500 1,493,440 
Asurion LLC:   
term loan 3 month U.S. LIBOR + 6.000% 7.2389% 8/4/25 (d)(e) 3,935,000 4,015,353 
Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 11/3/23 (d)(e) 7,640,624 7,669,276 
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9806% 8/4/22 (d)(e) 4,692,706 4,702,983 
HUB International Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3115% 10/2/20 (d)(e) 4,800,547 4,814,853 
USI, Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5/16/24 (e)(s) 4,895,000 4,856,232 
Tranche, term loan 3 month U.S. LIBOR + 3.000% 4.3142% 5/16/24 (d)(e) 4,680,000 4,651,733 
  42,196,121 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5643% 11/4/21 (d)(e) 5,259,168 5,267,635 
MGM Growth Properties Operating Partner LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 4/25/23 (d)(e) 4,810,385 4,818,418 
  10,086,053 
Thrifts & Mortgage Finance - 0.0%   
Ocwen Loan Servicing LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2306% 12/5/20 (d)(e) 1,278,608 1,270,936 
TOTAL FINANCIALS  95,567,844 
HEALTH CARE - 0.4%   
Health Care Equipment & Supplies - 0.1%   
Alere, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.48% 6/18/22 (d)(e) 1,848,209 1,843,977 
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 6/22/24 (d)(e) 2,825,000 2,808,530 
CPI Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3% 3/21/24 (d)(e) 1,910,213 1,917,376 
Ortho-Clinical Diagnostics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 6/30/21 (d)(e) 8,960,017 8,976,682 
  15,546,565 
Health Care Providers & Services - 0.2%   
Community Health Systems, Inc.:   
Tranche G, term loan 3 month U.S. LIBOR + 2.750% 4.0669% 12/31/19 (d)(e) 1,474,840 1,470,475 
Tranche H, term loan 3 month U.S. LIBOR + 3.000% 4.3169% 1/27/21 (d)(e) 10,722,179 10,663,421 
Envision Healthcare Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3% 12/1/23 (d)(e) 11,474,844 11,552,299 
Equian LLC Tranche DD, term loan 3 month U.S. LIBOR + 3.750% 5.0156% 5/19/24 (d)(e)(t) 631,765 637,293 
Ghx Ultimate Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 6/30/24 (d)(e) 1,260,000 1,257,896 
HCA Holdings, Inc.:   
Tranche B 8LN, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 2/15/24 (d)(e) 2,985,019 2,997,824 
Tranche B 9LN, term loan 3 month U.S. LIBOR + 2.000% 3.2339% 3/18/23 (d)(e) 7,920,150 7,942,406 
Kindred Healthcare, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8125% 4/9/21 (d)(e) 3,502,491 3,490,442 
Milk Specialties Co. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2964% 8/16/23 (d)(e) 659,863 664,812 
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 6/7/23 (d)(e) 2,273,055 2,281,101 
Onex Schumacher Finance LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.2389% 7/31/22 (d)(e) 1,169,032 1,167,571 
Precyse Acquisition Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 10/20/22 (d)(e) 505,000 506,894 
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4861% 6/23/24 (d)(e) 1,000,000 993,750 
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.2964% 12/31/23 (d)(e) 3,000,000 2,925,000 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.5464% 12/31/22 (d)(e) 7,411,363 7,235,343 
Vizient, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 2/11/23 (d)(e) 3,519,412 3,554,606 
  59,341,133 
Health Care Technology - 0.0%   
Press Ganey Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.4839% 10/21/24 (d)(e) 1,000,000 1,018,750 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 10/21/23 (d)(e) 2,985,000 2,996,194 
Project Ruby Ultimate Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 2/9/24 (d)(e) 996,819 1,000,138 
  5,015,082 
Life Sciences Tools & Services - 0.0%   
Albany Molecular Research, Inc. term loan:   
3 month U.S. LIBOR + 3.250% 4.4889% 7/27/24 (d)(e) 1,105,000 1,105,000 
3 month U.S. LIBOR + 7.000% 8.2389% 7/27/25 (d)(e) 580,000 587,250 
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 8/11/24 (e)(s) 5,000,000 5,010,000 
  6,702,250 
Pharmaceuticals - 0.1%   
HLF Financing U.S. LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7339% 2/15/23 (d)(e) 2,486,844 2,497,736 
Innoviva, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8167% 8/18/22 (d)(e) 2,540,000 2,546,350 
RPI Finance Trust Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 3/27/23 (d)(e) 4,000,000 4,014,360 
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.99% 4/1/22 (d)(e) 15,327,281 15,582,787 
  24,641,233 
TOTAL HEALTH CARE  111,246,263 
INDUSTRIALS - 0.5%   
Aerospace & Defense - 0.1%   
DigitalGlobe, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9839% 1/15/24 (d)(e) 1,641,750 1,639,698 
Gemini HDPE LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3111% 8/7/21 (d)(e) 982,217 984,673 
TransDigm, Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2639% 8/22/24 (d)(e) 7,770,000 7,776,915 
Tranche D, term loan 3 month U.S. LIBOR + 3.000% 4.2928% 6/4/21 (d)(e) 4,955,713 4,961,362 
Tranche E, term loan 3 month U.S. LIBOR + 3.000% 4.258% 5/14/22 (d)(e) 983,262 984,265 
Tranche F, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 6/9/23 (d)(e) 13,158,886 13,173,887 
  29,520,800 
Airlines - 0.1%   
American Airlines, Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2306% 10/10/21 (d)(e) 6,241,462 6,241,462 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7267% 12/14/23 (d)(e) 4,445,000 4,454,735 
  10,696,197 
Building Products - 0.0%   
GYP Holdings III Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3111% 4/1/23 (d)(e) 3,805,343 3,814,856 
HD Supply, Inc. Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.500% 3.7389% 10/17/23 (d)(e) 992,500 993,989 
Jeld-Wen, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 7/1/22 (d)(e) 1,722,982 1,732,028 
  6,540,873 
Commercial Services & Supplies - 0.2%   
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5217% 6/21/24 (d)(e) 9,075,000 9,096,417 
Garda World Security Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3154% 5/26/24 (d)(e) 854,322 858,952 
GCA Services Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.0052% 3/1/23 (d)(e) 2,203,799 2,209,308 
Harland Clarke Holdings Corp.:   
Tranche B 5LN, term loan 3 month U.S. LIBOR + 6.000% 7.2964% 12/31/21 (d)(e) 2,983,255 2,995,934 
Tranche B 6LN, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 2/9/22 (d)(e) 1,366,171 1,370,160 
Hd Supply Waterworks Ltd. term loan 3 month U.S. LIBOR + 3.000% 4.455% 8/1/24 (d)(e) 3,055,000 3,058,819 
KAR Auction Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8125% 3/9/23 (d)(e) 1,121,765 1,125,971 
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 4/7/21 (d)(e) 14,409,122 14,418,200 
Merrill Communications LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.5611% 6/1/22 (d)(e) 1,825,904 1,835,033 
Metal Services LLC Tranche B, term loan 3 month U.S. LIBOR + 7.500% 8.7964% 6/30/19 (d)(e) 1,088,986 1,097,153 
Optiv Security, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5625% 2/1/24 (d)(e) 1,350,582 1,226,774 
Prime Security Services Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3.9839% 5/2/22 (d)(e) 11,280,902 11,332,004 
SAI Global GP Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 12/8/23 (d)(e)(g) 2,487,500 2,512,375 
The Brickman Group, Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2342% 12/18/20 (d)(e) 2,687,755 2,695,496 
Thomson Reuters IP&S Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 10/3/23 (d)(e) 3,786,435 3,801,316 
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 1/15/21 (d)(e) 2,496,496 2,521,461 
  62,155,373 
Construction & Engineering - 0.0%   
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 5/21/22 (d)(e) 3,160,131 3,168,031 
Electrical Equipment - 0.0%   
Cortes NP Acquisition Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2389% 11/30/23 (d)(e) 3,225,981 3,244,788 
Machinery - 0.1%   
Doosan Bobcat Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0128% 5/18/24 (d)(e) 1,735,650 1,738,549 
Gardner Denver, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0122% 7/30/24 (d)(e) 1,030,000 1,028,589 
NN, Inc. term loan 3 month U.S. LIBOR + 3.750% 4.9839% 4/3/21 (d)(e) 1,485,000 1,492,425 
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 3/13/22 (d)(e) 3,784,855 3,799,049 
The Gates Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 3/31/24 (d)(e) 393,004 394,164 
  8,452,776 
Marine - 0.0%   
International Seaways Operatin Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.79% 6/22/22 (d)(e) 2,990,000 2,967,575 
Navios Maritime Partners LP Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.23% 9/14/20 (d)(e) 2,962,500 2,947,688 
  5,915,263 
Professional Services - 0.0%   
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 4/4/24 (d)(e) 3,366,563 3,381,981 
Science Applications International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8125% 5/4/22 (d)(e) 1,405,732 1,412,760 
  4,794,741 
Trading Companies & Distributors - 0.0%   
Fly Funding II SARL Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5614% 2/9/23 (d)(e) 2,097,368 2,098,249 
Transportation Infrastructure - 0.0%   
American Commercial Barge Line Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.750% 9.9889% 11/12/20 (d)(e) 1,155,345 915,611 
DAE Aviation Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.99% 7/7/22 (d)(e) 1,994,924 2,010,385 
Standardaero Aviation Holdings In term loan 3 month U.S. LIBOR + 3.750% 7/7/22 (e)(s) 1,290,000 1,293,225 
  4,219,221 
TOTAL INDUSTRIALS  140,806,312 
INFORMATION TECHNOLOGY - 0.8%   
Communications Equipment - 0.0%   
Polycom, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.4839% 9/27/23 (d)(e) 2,599,750 2,631,597 
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 2/1/24 (d)(e) 5,516,175 5,438,011 
Zayo Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.2306% 1/19/21 (d)(e) 1,960,088 1,958,872 
  10,028,480 
Electronic Equipment & Components - 0.0%   
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.2339% 1/31/24 (d)(e) 1,990,000 2,007,413 
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7339% 2/15/24 (d)(e) 6,747,748 6,759,017 
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 4.0464% 2/1/22 (d)(e) 2,202,901 2,195,830 
Lux FinCo U.S. SPV:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.500% 9.7344% 10/16/23 (d)(e) 405,000 384,750 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.7344% 10/16/22 (d)(e) 1,913,099 1,889,185 
TTM Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4889% 5/31/21 (d)(e) 2,517,744 2,546,068 
  15,782,263 
Internet Software & Services - 0.2%   
Abacus Innovations Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.25% 8/16/23 (d)(e) 1,820,426 1,823,157 
Ancestry.Com Operations, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.49% 10/19/24 (d)(e) 725,000 733,156 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.48% 10/19/23 (d)(e) 4,950,000 4,971,681 
Blucora, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0372% 5/22/24 (d)(e) 1,440,000 1,454,400 
Datapipe, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 6.0464% 3/15/19 (d)(e) 6,207,974 6,223,494 
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3171% 2/9/23 (d)(e) 10,932,436 11,039,464 
Mh Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.82% 8/16/24 (d)(e) 2,000,000 1,988,340 
Rackspace Hosting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3104% 11/3/23 (d)(e) 10,705,075 10,713,960 
Travelclick, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 5/12/21 (d)(e) 927,717 932,356 
Uber Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2361% 7/13/23 (d)(e) 12,862,934 12,834,764 
Vfh Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0606% 12/30/21 (d)(e) 1,575,000 1,586,813 
  54,301,585 
IT Services - 0.2%   
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.500% 4.7017% 9/15/20 (d)(e) 7,588,745 7,576,071 
Cologix Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.4561% 3/20/24 (d)(e) 1,995,000 1,991,668 
Equian LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0664% 5/19/24 (d)(e) 2,053,235 2,071,201 
First Data Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.4861% 7/10/22 (d)(e) 12,488,329 12,472,719 
Global Payments, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.2339% 4/22/23 (d)(e) 1,241,499 1,241,499 
Information Resources, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.4861% 1/18/25 (d)(e) 1,000,000 996,250 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4861% 1/18/24 (d)(e) 3,097,238 3,116,595 
Inmar, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.2556% 5/1/25 (d)(e) 290,000 291,088 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7556% 5/1/24 (d)(e) 1,025,000 1,025,646 
Neustar, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.3119% 8/8/25 (d)(e) 700,000 707,000 
Tranche B1 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5585% 1/8/20 (d)(e) 429,456 431,200 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0619% 8/8/24 (d)(e) 2,440,000 2,458,300 
RP Crown Parent, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 10/12/23 (d)(e) 4,397,900 4,427,762 
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2317% 5/1/24 (d)(e) 5,370,000 5,386,110 
WEX, Inc. term loan 3 month U.S. LIBOR + 2.750% 3.9839% 7/1/23 (d)(e) 3,210,642 3,231,929 
Xerox Business Services LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 12/7/23 (d)(e) 3,507,375 3,535,434 
  50,960,472 
Semiconductors & Semiconductor Equipment - 0.0%   
Bright Bidco BV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 6/30/24 (d)(e) 2,500,000 2,515,625 
Cavium, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.4844% 8/16/22 (d)(e) 1,569,984 1,571,946 
Microsemi Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.553% 1/15/23 (d)(e) 1,474,097 1,476,559 
  5,564,130 
Software - 0.4%   
Almonde, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.4589% 6/13/25 (d)(e) 1,705,000 1,733,508 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8169% 6/13/24 (d)(e) 7,915,000 7,948,639 
Applied Systems, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 1/23/21 (d)(e) 995,659 1,001,882 
Aptean, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.500% 10.8% 12/20/23 (d)(e) 685,000 683,719 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.55% 12/20/22 (d)(e) 1,925,175 1,938,420 
Compuware Corp.:   
term loan 3 month U.S. LIBOR + 8.250% 9.55% 12/15/22 (d)(e) 743,561 750,535 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 4.250% 5.55% 12/15/21 (d)(e) 5,229,381 5,281,675 
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.99% 6/1/22 (d)(e) 7,876,713 7,890,813 
Evo Payments International LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.24% 12/20/23 (d)(e) 2,493,750 2,521,805 
Greeneden U.S. Holdings II LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0067% 12/1/23 (d)(e) 6,517,504 6,551,265 
Hyland Software, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2339% 7/7/25 (d)(e) 290,000 294,713 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 7/1/22 (d)(e) 1,550,000 1,561,625 
Kronos, Inc.:   
term loan 3 month U.S. LIBOR + 8.250% 9.5606% 11/1/24 (d)(e) 5,095,000 5,260,588 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8113% 11/1/23 (d)(e) 14,542,016 14,653,263 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 5.49% 1/20/24 (d)(e) 6,510,421 6,420,903 
3 month U.S. LIBOR + 9.000% 10.24% 1/20/25 (d)(e) 2,445,000 2,415,660 
MA FinanceCo. LLC Tranche B 3LN, term loan:   
3 month U.S. LIBOR + 2.750% 3.9806% 6/21/24 (d)(e) 1,052,102 1,050,787 
3 month U.S. LIBOR + 2.750% 4.0302% 6/21/24 (d)(e) 7,012,898 7,004,132 
Quest Software U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.2572% 10/31/22 (d)(e) 2,974,824 3,016,352 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 4/9/21 (d)(e) 6,386,379 6,423,612 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2964% 4/9/22 (d)(e) 2,813,000 2,813,000 
SolarWinds Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 2/5/23 (d)(e) 2,970,075 2,980,797 
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5072% 3/3/23 (d)(e) 4,915,735 4,928,270 
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 4.5464% 9/30/22 (d)(e) 4,889,988 4,881,577 
SS&C Technologies, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/8/22 (d)(e) 1,721,784 1,727,931 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/8/22 (d)(e) 89,795 90,115 
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5031% 9/30/23 (d)(e) 3,786,107 3,805,833 
TIBCO Software, Inc. term loan 3 month U.S. LIBOR + 3.500% 4.74% 12/4/20 (d)(e) 777,115 778,638 
Veritas U.S., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 1/27/23 (d)(e) 6,640,227 6,687,240 
  113,097,297 
Technology Hardware, Storage & Peripherals - 0.0%   
Dell International LLC:   
Tranche A 1LN, term loan 3 month U.S. LIBOR + 2.000% 3.24% 12/31/18 (d)(e) 55,200 55,212 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.74% 9/7/23 (d)(e) 1,756,175 1,762,690 
  1,817,902 
TOTAL INFORMATION TECHNOLOGY  251,552,129 
MATERIALS - 0.3%   
Chemicals - 0.1%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 5/20/21 (d)(e) 2,730,600 2,727,187 
Ashland LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2374% 5/17/24 (d)(e) 2,545,000 2,551,363 
ASP Chromaflo Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.2339% 11/18/23 (d)(e) 1,810,900 1,816,568 
Ineos Styrolution U.S. Holding LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0464% 3/30/24 (d)(e) 1,447,734 1,450,456 
Jade Germany GmbH Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 5/31/23 (d)(e) 3,000,000 3,003,750 
Kraton Polymers LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2278% 1/6/22 (d)(e) 1,617,371 1,627,479 
MacDermid, Inc.:   
Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 6/7/20 (d)(e) 2,609,271 2,625,579 
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 4% 6/7/23 (d)(e) 3,329,959 3,340,382 
Methanol Holdings (TRINIDAD) Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 6/30/22 (d)(e) 2,583,410 2,596,327 
Royal Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 6/19/22 (d)(e) 2,097,718 2,108,206 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.500% 8.7964% 6/19/23 (d)(e) 96,552 96,310 
The Chemours Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.74% 5/12/22 (d)(e) 2,375,061 2,380,262 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4856% 11/5/21 (d)(e) 1,137,600 1,138,078 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.735% 8/16/24 (d)(e) 2,000,000 2,008,760 
Tronox Pigments (Netherlands) B.V. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7964% 3/19/20 (d)(e) 1,004,308 1,004,780 
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2964% 6/1/24 (d)(e) 2,000,000 2,004,380 
Univar, Inc. term loan 3 month U.S. LIBOR + 2.750% 3.9839% 7/1/22 (d)(e) 1,213,465 1,214,605 
Venator Materials LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3119% 8/8/24 (d)(e) 1,260,000 1,265,519 
  34,959,991 
Construction Materials - 0.0%   
Unifrax I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 4/4/24 (d)(e) 1,000,000 1,003,330 
Containers & Packaging - 0.1%   
Anchor Glass Container Corp. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.750% 8.9806% 12/7/24 (d)(e) 1,180,000 1,195,729 
Berlin Packaging, LLC:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 7.99% 10/1/22 (d)(e) 1,129,000 1,132,760 
Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5166% 10/1/21 (d)(e) 5,353,211 5,368,093 
Berry Global, Inc. Tranche M, term loan 3 month U.S. LIBOR + 2.250% 3.4806% 10/1/22 (d)(e) 4,956,562 4,957,206 
Berry Plastics Corp. Tranche L, term loan 3 month U.S. LIBOR + 2.250% 3.4806% 1/6/21 (d)(e) 3,552,000 3,552,000 
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4806% 4/3/24 (d)(e) 1,000,000 1,000,310 
Caraustar Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 3/14/22 (d)(e) 3,501,225 3,462,712 
Charter Nex U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 5/16/24 (d)(e) 1,235,000 1,236,161 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 5/22/24 (d)(e) 2,290,000 2,301,450 
Flex Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2986% 12/29/23 (d)(e) 4,538,625 4,529,548 
Printpack Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.25% 7/26/23 (d)(e) 1,071,900 1,075,920 
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2389% 2/5/23 (d)(e) 12,779,830 12,785,964 
  42,597,853 
Metals & Mining - 0.1%   
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.55% 8/25/23 (d)(e) 7,220,356 6,522,365 
JMC Steel Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7894% 6/14/21 (d)(e) 2,865,718 2,868,097 
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5464% 4/16/20 (d)(e) 11,745,501 10,717,770 
Walter Energy, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.800% 0% 4/1/18 (e)(f)(g) 2,107,367 0 
  20,108,232 
TOTAL MATERIALS  98,669,406 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Communications Sales & Leasing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 10/24/22 (d)(e) 3,643,536 3,519,037 
iStar Financial, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9806% 7/1/20 (d)(e) 1,161,476 1,168,736 
The GEO Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.49% 3/23/24 (d)(e) 1,471,313 1,471,930 
  6,159,703 
Real Estate Management & Development - 0.0%   
Americold Realty Operating Partnership LP Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 12/1/22 (d)(e) 2,475,718 2,503,570 
Capital Automotive LP:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.24% 3/24/25 (d)(e) 922,138 931,359 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.24% 3/24/24 (d)(e) 171,605 172,342 
RE/MAX LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0464% 12/15/23 (d)(e) 1,081,825 1,084,530 
Realogy Group LLC term loan 3 month U.S. LIBOR + 2.250% 3.4839% 7/20/22 (d)(e) 4,958,735 4,974,256 
Simply Storage Management LLC 8.2375% 9/6/21 (d)(g) 1,305,000 1,305,000 
  10,971,057 
TOTAL REAL ESTATE  17,130,760 
TELECOMMUNICATION SERVICES - 0.4%   
Diversified Telecommunication Services - 0.2%   
Altice Financing SA Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0539% 7/15/25 (d)(e) 3,142,125 3,137,066 
Cincinnati Bell, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 8/18/24 (e)(s) 2,000,000 2,000,620 
Consolidated Communications, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 4.24% 10/5/23 (d)(e) 2,000,000 1,962,500 
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.485% 2/22/24 (d)(e) 12,065,000 12,053,659 
LTS Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5464% 4/11/20 (d)(e) 8,256,774 8,265,031 
Sable International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 1/31/25 (d)(e) 6,880,000 6,838,445 
Securus Technologies Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.750% 9% 4/30/21 (d)(e) 5,224,000 5,237,060 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.75% 4/30/20 (d)(e) 2,774,325 2,781,261 
Securus Technologies, Inc.:   
Tranche B, term loan:   
3 month U.S. LIBOR + 4.500% 6/15/24 (e)(s) 9,580,000 9,653,862 
3 month U.S. LIBOR + 8.250% 6/15/25 (e)(s) 3,360,000 3,365,040 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4467% 4/30/20 (d)(e) 2,761,920 2,768,825 
SFR Group SA Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 4.0611% 7/31/25 (d)(e) 8,423,888 8,375,450 
  66,438,819 
Wireless Telecommunication Services - 0.2%   
Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.07% 5/25/24 (d)(e) 4,955,000 5,000,140 
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.0003% 6/30/19 (d)(e) 11,760,000 11,706,492 
Sprint Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.75% 2/3/24 (d)(e) 12,713,138 12,713,138 
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 4/23/19 (d)(e) 4,011,549 3,841,058 
Telesat LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.000% 4.3% 11/17/23 (d)(e) 7,578,169 7,629,625 
Xplornet Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.2964% 9/9/21 (d)(e) 2,144,510 2,165,955 
  43,056,408 
TOTAL TELECOMMUNICATION SERVICES  109,495,227 
UTILITIES - 0.2%   
Electric Utilities - 0.1%   
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.49% 5/3/20 (d)(e) 2,950,126 2,941,836 
Empire Generating Co. LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.57% 3/14/21 (d)(e) 884,825 825,100 
Tranche C, term loan 3 month U.S. LIBOR + 4.250% 5.57% 3/14/21 (d)(e) 87,227 81,339 
Exgen Texas Power LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0464% 9/18/21 (d)(e) 4,484,918 3,016,107 
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 11/13/21 (d)(e) 3,042,000 2,829,060 
InterGen NV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8% 6/13/20 (d)(e) 6,278,188 6,262,493 
Lightstone Holdco LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 1/30/24 (d)(e) 2,542,861 2,525,239 
Tranche C, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 1/30/24 (d)(e) 158,446 157,348 
Longview Power LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.24% 4/13/21 (d)(e) 1,960,000 1,103,892 
Tex Operations Co. LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.9834% 8/4/23 (d)(e) 6,481,714 6,480,807 
Tranche C, term loan 3 month U.S. LIBOR + 2.750% 3.9817% 8/4/23 (d)(e) 1,485,714 1,485,506 
USIC Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.9232% 12/9/23 (d)(e) 1,492,500 1,496,858 
Vistra Operations Co. LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 3.9792% 12/14/23 (d)(e) 1,492,500 1,494,634 
  30,700,219 
Independent Power and Renewable Electricity Producers - 0.1%   
APLP Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4839% 4/13/23 (d)(e) 2,518,834 2,544,023 
Calpine Corp. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 2.99% 11/30/17 (d)(e) 2,240,909 2,236,001 
Dynegy, Inc. Tranche C, term loan 3 month U.S. LIBOR + 3.250% 4.4839% 2/7/24 (d)(e) 6,806,790 6,814,890 
Energy Future Holdings Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2339% 6/30/18 (d)(e) 13,500,000 13,554,000 
MRP Generation Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 7.000% 8.2964% 10/18/22 (d)(e) 1,554,380 1,437,802 
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.49% 12/9/21 (d)(e) 2,718,089 2,459,871 
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.7964% 6/26/22 (d)(e) 2,709,512 2,756,928 
The AES Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3172% 5/24/22 (d)(e) 4,059,825 4,059,825 
  35,863,340 
TOTAL UTILITIES  66,563,559 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $1,474,618,320)  1,472,187,211 
Sovereign Loan Participations - 0.0%   
Indonesian Republic loan participation:   
Citibank 2.1875% 12/14/19 (d)(g) 502,384 497,360 
Goldman Sachs 2.1875% 12/14/19 (d)(g) 430,556 426,250 
Mizuho 2.1875% 12/14/19 (d)(g) 201,880 199,861 
TOTAL SOVEREIGN LOAN PARTICIPATIONS   
(Cost $1,082,814)  1,123,471 
Bank Notes - 0.5%   
Capital One NA:   
1.65% 2/5/18 $18,801,000 $18,796,029 
2.95% 7/23/21 18,827,000 19,138,973 
Discover Bank:   
(Delaware) 3.2% 8/9/21 25,781,000 26,456,905 
3.1% 6/4/20 22,584,000 23,138,986 
8.7% 11/18/19 2,958,000 3,336,110 
JPMorgan Chase Bank 6% 10/1/17 11,313,000 11,347,917 
KeyBank NA 6.95% 2/1/28 1,977,000 2,523,075 
RBS Citizens NA 2.5% 3/14/19 11,319,000 11,420,985 
Regions Bank 7.5% 5/15/18 24,647,000 25,599,497 
UBS AG Stamford Branch 1.8% 3/26/18 24,142,000 24,181,747 
Wachovia Bank NA 6% 11/15/17 2,243,000 2,262,498 
TOTAL BANK NOTES   
(Cost $165,139,689)  168,202,722 
Preferred Securities - 0.5%   
CONSUMER DISCRETIONARY - 0.0%   
Automobiles - 0.0%   
Volkswagen International Finance NV 2.5%(Reg. S) (c)(d) EUR$1,525,000 $1,811,445 
CONSUMER STAPLES - 0.0%   
Food Products - 0.0%   
Cosan Overseas Ltd. 8.25% (c) 3,587,000 3,644,582 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Total SA 2.625% (Reg. S) (c)(d) EUR2,150,000 2,590,690 
FINANCIALS - 0.5%   
Banks - 0.5%   
Alfa Bond Issuance PLC 8% (Reg. S) (c)(d) 1,860,000 1,963,796 
Banco Do Brasil SA 9% (b)(c)(d) 2,050,000 2,208,245 
Banco Mercantil del Norte SA 7.625% (b)(c)(d) 1,130,000 1,230,356 
Bank of America Corp.:   
6.1% (c)(d) 8,141,000 9,151,280 
6.25% (c)(d) 5,325,000 6,014,964 
6.5% (c)(d) 3,000,000 3,452,295 
Barclays Bank PLC:   
6% (c)(d) GBP1,330,000 1,789,687 
7.625% 11/21/22 30,445,000 35,623,365 
Barclays PLC:   
6.625% (c)(d) 13,935,000 14,410,715 
7.25% (Reg. S) (c)(d) GBP1,350,000 1,918,932 
8.25% (c)(d) 500,000 538,903 
CBOM Finance PLC 8.875% (b)(c)(d) 1,935,000 1,806,501 
Citigroup, Inc.:   
5.875% (c)(d) 4,305,000 4,607,315 
5.95% (c)(d) 5,290,000 5,806,429 
5.95% (c)(d) 2,285,000 2,418,384 
Credit Agricole SA:   
6.625% (b)(c)(d) 13,700,000 14,283,646 
7.875% (b)(c)(d) 4,250,000 4,834,288 
8.125% 9/19/33 (Reg. S) (d) 2,500,000 2,734,726 
Danske Bank A/S 6.125% (Reg. S) (c)(d) 1,600,000 1,759,810 
Erste Group Bank AG 6.5% (Reg. S) (c)(d) EUR2,200,000 2,919,618 
HSBC Holdings PLC 4.75% (Reg. S) (c)(d) EUR2,050,000 2,520,566 
Royal Bank of Scotland Group PLC:   
7.5% (c)(d) 9,170,000 9,792,090 
8.625% (c)(d) 3,665,000 4,113,104 
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (c) EUR2,050,000 2,932,837 
  138,831,852 
Capital Markets - 0.0%   
UBS AG 4.75% 2/12/26 (Reg. S) (d) EUR2,800,000 3,753,776 
Diversified Financial Services - 0.0%   
Magnesita Finance Ltd.:   
8.625% (b)(c) 985,000 1,003,329 
8.625% (Reg. S) (c) 200,000 203,721 
  1,207,050 
Insurance - 0.0%   
Assicurazioni Generali SpA 6.416% (c)(d) GBP1,150,000 1,674,487 
Aviva PLC 6.125% (c)(d) GBP2,200,000 3,372,383 
Credit Agricole Assurances SA 4.25% (Reg. S) (c)(d) EUR2,600,000 3,418,347 
  8,465,217 
TOTAL FINANCIALS  152,257,895 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd.:   
7.5% (b)(c) 6,875,000 2,963,811 
7.5% (Reg. S) (c) 100,000 43,110 
  3,006,921 
MATERIALS - 0.0%   
Metals & Mining - 0.0%   
CSN Islands XII Corp. 7% (Reg. S) (c) 2,410,000 1,658,830 
TOTAL PREFERRED SECURITIES   
(Cost $154,214,292)  164,970,363 
 Shares Value 
Money Market Funds - 3.1%   
Fidelity Cash Central Fund, 1.11% (u)   
(Cost $958,169,986) 958,058,657 958,250,269 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount(a) Value 
Put Options - 0.0%    
Option on a credit default swap with Credit Suisse Intl to buy protection on the 5-Year iTraxx Europe Crossover Series 27 Index expiring June 2022 exercise rate 2.500% 9/20/17 EUR 19,150,000 $48,474 
Option on a credit default swap with Credit Suisse Intl to buy protection on the 5-Year iTraxx Europe Crossover Series 27 Index expiring June 2022 exercise rate 2.625% 12/20/17 EUR 38,300,000 438,152 
TOTAL PUT OPTIONS   486,626 
TOTAL PURCHASED SWAPTIONS    
(Cost $552,575)   486,626 
TOTAL INVESTMENT IN SECURITIES - 101.9%    
(Cost $30,690,729,972)   31,266,382,976 
NET OTHER ASSETS (LIABILITIES) - (1.9)%   (579,568,269) 
NET ASSETS - 100%   $30,686,814,707 

TBA Sale Commitments   
 Principal Amount(a) Value 
Fannie Mae   
3% 9/1/47 $(6,400,000) $(6,473,368) 
3% 9/1/47 (17,000,000) (17,194,883) 
3.5% 9/1/47 (35,300,000) (36,573,395) 
3.5% 9/1/47 (35,300,000) (36,573,395) 
3.5% 9/1/47 (108,400,000) (112,310,367) 
TOTAL FANNIE MAE  (209,125,408) 
Ginnie Mae   
3.5% 9/1/47 (23,000,000) (23,983,137) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $232,422,180)  $(233,108,545) 

Futures Contracts      
 Number of contracts Expiration Date Notional amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Bond Index Contracts      
ASX 10 Year Treasury Bond Index Contracts (Australia) 29 Sept. 2017 $2,965,845 $(53,594) $(53,594) 
Eurex Euro-Bund Contracts (Germany) 7 Sept. 2017 1,375,636 26,334 26,334 
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) 16 Sept. 2017 3,206,406 20,949 20,949 
TSE 10 Year Japanese Government Bond Index Contracts (Japan) 3 Sept. 2017 4,123,891 16,643 16,643 
TOTAL BOND INDEX CONTRACTS     10,332 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 149 Dec. 2017 18,920,672 50,906 50,906 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 195 Dec. 2017 42,180,938 917 917 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 223 Dec. 2017 26,425,500 34,070 34,070 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 23 Dec. 2017 3,590,156 33,913 33,913 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 32 Dec. 2017 4,369,000 29,433 29,433 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 56 Dec. 2017 9,467,500 51,955 51,955 
TME 10 Year Canadian Note Contracts (Canada) 67 Dec. 2017 7,417,618 14,839 14,839 
TOTAL TREASURY CONTRACTS     216,033 
TOTAL PURCHASED     226,365 
Sold      
Bond Index Contracts      
Eurex Euro-Bobl Contracts (Germany) 330 Sept. 2017 52,303,849 (216,345) (216,345) 
ICE Long Gilt Contracts (United Kingdom) 39 Dec. 2017 6,419,854 21,125 21,125 
ICE Medium Gilt Contracts (United Kingdom) 100 Dec. 2017 14,901,684 (10,437) (10,437) 
TOTAL BOND INDEX CONTRACTS     (205,657) 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 1,026 Dec. 2017 130,285,969 (434,167) (434,167) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 463 Dec. 2017 100,152,688 (29,840) (29,840) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 58 Dec. 2017 9,053,438 (67,640) (67,640) 
TOTAL TREASURY CONTRACTS     (531,647) 
TOTAL SOLD     (737,304) 
TOTAL FUTURES CONTRACTS     $(510,939) 

The notional amount of futures purchased as a percentage of Net Assets is 0.4%

The notional amount of futures sold as a percentage of Net Assets is 1.0%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) 
EUR 322,000 USD 380,259 Goldman Sachs Bank USA 11/17/17 $4,578 
USD 111,062 AUD 140,000 Brown Brothers Harriman & Co. 11/17/17 (128) 
USD 554,859 EUR 468,000 Barclays Bank PLC 11/17/17 (4,470) 
USD 163,960,699 EUR 138,128,000 Brown Brothers Harriman & Co. 11/17/17 (1,122,497) 
USD 1,739,006 EUR 1,472,000 Goldman Sachs Bank USA 11/17/17 (20,250) 
USD 744,846 EUR 625,000 Goldman Sachs Bank USA 11/17/17 (2,120) 
USD 72,507,302 GBP 56,030,000 Brown Brothers Harriman & Co. 11/17/17 (121,893) 
USD 408,009 GBP 316,000 State Street Bank And Trust Co. 11/17/17 (1,608) 
USD 36,486 JPY 3,950,000 Goldman Sachs Bank USA 11/17/17 432 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $(1,267,956) 
     Unrealized Appreciation 5,010 
     Unrealized Depreciation (1,272,966) 

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty(2) Fixed Payment Received/(Paid) Payment Frequency Notional Amount(3) Value(1) Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps          
Buy Protection          
5-Year iTraxx Europe Series 25 Index  Jun. 2021 ICE (1%) Quarterly EUR 8,300,000 $(121,970) $0 $(121,970) 
Accor SA  Jun. 2022 Citibank, N.A. (1%) Quarterly EUR 4,200,000 (90,900) 89,448 (1,452) 
Assicurazioni Generali SpA  Dec. 2021 JPMorgan Chase Bank, N.A. (1%) Quarterly EUR 1,800,000 55,218 (132,242) (77,024) 
Carlsberg Breweries A/S  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,150,000 (149,507) 153,099 3,592 
Energias De Portugal SA  Jun. 2022 JPMorgan Chase Bank, N.A. (5%) Quarterly EUR 3,550,000 (905,381) 836,474 (68,907) 
Gas Natural Capital Markets SA  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,200,000 (107,365) 109,836 2,471 
Kering SA  Sep. 2018 Morgan Stanley Capital Group, Inc. (1%) Quarterly EUR 3,500,000 (48,013) 3,851 (44,162) 
Royal Bank Of Scotland Grp PLC (Ungtd)  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,600,000 (68,398) (120,495) (188,893) 
Santander Central Hispano Issuances Ltd  Dec. 2021 Citibank, N.A. (1%) Quarterly EUR 1,750,000 24,185 (126,437) (102,252) 
Standard Chartered PLC  Jun. 2021 Goldman Sachs Bank USA (1%) Quarterly EUR 1,550,000 (31,018) (122,820) (153,838) 
TOTAL BUY PROTECTION       (1,443,149) 690,714 (752,435) 
Sell Protection          
5-Year iTraxx Europe Senior Financials Series 25 Index NR Jun. 2021 ICE 1% Quarterly EUR 8,300,000 264,036 0 264,036 
Intesa Sanpaolo SpA Ba1 Jun. 2022 BNP Paribas SA 1% Quarterly EUR 1,850,000 (131,473) 184,686 53,213 
TOTAL SELL PROTECTION       132,563 184,686 317,249 
TOTAL CREDIT DEFAULT SWAPS       $(1,310,586) $875,400 $(435,186) 

 (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) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.

 (3) 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.

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


Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
3-month LIBOR(3) Quarterly 2.5% Semi - annual LCH Sep. 2027 $17,100,000 $(165,261) $0 $(165,261) 
3-month LIBOR(3) Quarterly 2.5% Semi - annual LCH Sep. 2047 3,100,000 (39,965) 0 (39,965) 
TOTAL INTEREST RATE SWAPS       $(205,226) $0 $(205,226) 

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

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

 (3) Represents floating rate.


Currency Abbreviations

AUD – Australian dollar

CAD – Canadian dollar

EUR – European Monetary Unit

GBP – British pound

JPY – Japanese yen

USD – U.S. dollar

Legend

 (a) Amount is stated in United States dollars unless otherwise noted.

 (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,666,116,467 or 8.7% of net assets.

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

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

 (e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

 (f) Non-income producing - Security is in default.

 (g) Level 3 instrument

 (h) 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 $2,460,675.

 (i) 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 $1,811,591.

 (j) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $2,644,604.

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

 (l) 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 $139,528.

 (m) 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.

 (n) 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.

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

 (p) 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.

 (q) 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.

 (r) Non-income producing

 (s) The coupon rate will be determined upon settlement of the loan after period end.

 (t) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $315,882 and $318,646, respectively.

 (u) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.


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 $8,039,538 
Total $8,039,538 

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2017, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Consumer Discretionary $849,484 $849,484 $-- $-- 
Energy 8,334,988 4,275,719 4,059,269 -- 
Financials 1,702,742 1,702,742 -- -- 
Materials 2,844,526 2,844,526 -- -- 
Real Estate 7,253,498 6,752,577 500,921 -- 
Telecommunication Services 295,889 261,289 -- 34,600 
Corporate Bonds 9,977,418,532 -- 9,976,075,513 1,343,019 
U.S. Government and Government Agency Obligations 11,495,919,370 -- 11,495,919,370 -- 
U.S. Government Agency - Mortgage Securities 4,821,512,740 -- 4,821,512,740 -- 
Asset-Backed Securities 325,779,420 -- 300,961,126 24,818,294 
Collateralized Mortgage Obligations 690,995,172 -- 690,995,172 -- 
Commercial Mortgage Securities 506,587,713 -- 505,597,133 990,580 
Municipal Securities 417,118,600 -- 417,118,600 -- 
Foreign Government and Government Agency Obligations 244,549,640 -- 237,028,331 7,521,309 
Bank Loan Obligations 1,472,187,211 -- 1,466,508,354 5,678,857 
Sovereign Loan Participations 1,123,471 -- -- 1,123,471 
Bank Notes 168,202,722 -- 168,202,722 -- 
Preferred Securities 164,970,363 -- 164,970,363 -- 
Money Market Funds 958,250,269 958,250,269 -- -- 
Purchased Swaptions 486,626 -- 486,626 -- 
Total Investments in Securities: $31,266,382,976 $974,936,606 $30,249,936,240 $41,510,130 
Derivative Instruments:     
Assets     
Forward Foreign Currency Contracts $5,010 $-- $5,010 $-- 
Futures Contracts 301,084 301,084 -- -- 
Swaps 343,439 -- 343,439 -- 
Total Assets $649,533 $301,084 $348,449 $-- 
Liabilities     
Forward Foreign Currency Contracts $(1,272,966) $-- $(1,272,966) $-- 
Futures Contracts (812,023) (812,023) -- -- 
Swaps (1,859,251) -- (1,859,251) -- 
Total Liabilities $(3,944,240) $(812,023) $(3,132,217) $-- 
Total Derivative Instruments: $(3,294,707) $(510,939) $(2,783,768) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(233,108,545) $-- $(233,108,545) $-- 
Total Other Financial Instruments: $(233,108,545) $-- $(233,108,545) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2017. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Purchased Swaptions(a) $486,626 $0 
Swaps(b) 343,439 (1,654,025) 
Total Credit Risk 830,065 (1,654,025) 
Foreign Exchange Risk   
Forward Foreign Currency Contracts(c) 5,010 (1,272,966) 
Total Foreign Exchange Risk 5,010 (1,272,966) 
Interest Rate Risk   
Futures Contracts(d) 301,084 (812,023) 
Swaps(b) 0 (205,226) 
Total Interest Rate Risk 301,084 (1,017,249) 
Total Value of Derivatives $1,136,159 $(3,944,240) 

 (a) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.

 (b) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).

 (c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

 (d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).


Other Information

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

United States of America 89.7% 
Mexico 2.2% 
United Kingdom 1.9% 
Netherlands 1.8% 
Others (Individually Less Than 1%) 4.4% 
 100.0% 

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


Financial Statements

Statement of Assets and Liabilities

  August 31, 2017 
Assets   
Investment in securities, at value — See accompanying schedule:
Unaffiliated issuers (cost $29,732,559,986) 		$30,308,132,707  
Fidelity Central Funds (cost $958,169,986) 958,250,269  
Total Investment in Securities (cost $30,690,729,972)  $31,266,382,976 
Cash  2,961,260 
Foreign currency held at value (cost $744,842)  749,017 
Receivable for investments sold  756,683,712 
Receivable for TBA sale commitments  232,422,180 
Unrealized appreciation on forward foreign currency contracts  5,010 
Receivable for fund shares sold  34,259,345 
Dividends receivable  29,855 
Interest receivable  200,080,849 
Distributions receivable from Fidelity Central Funds  712,292 
Bi-lateral OTC swaps, at value  79,403 
Other receivables  174,280 
Total assets  32,494,540,179 
Liabilities   
Payable for investments purchased   
Regular delivery $858,334,102  
Delayed delivery 678,613,271  
TBA sale commitments, at value 233,108,545  
Unrealized depreciation on forward foreign currency contracts 1,272,966  
Payable for fund shares redeemed 19,852,546  
Distributions payable 2,981,531  
Bi-lateral OTC swaps, at value 1,532,055  
Accrued management fee 7,741,068  
Distribution and service plan fees payable 322,254  
Payable for daily variation margin on futures contracts 76,786  
Payable for daily variation margin on centrally cleared OTC swaps 52,183  
Other affiliated payables 3,669,020  
Other payables and accrued expenses 169,145  
Total liabilities  1,807,725,472 
Net Assets  $30,686,814,707 
Net Assets consist of:   
Paid in capital  $30,051,708,899 
Undistributed net investment income  75,408,591 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  (12,978,582) 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  572,675,799 
Net Assets  $30,686,814,707 
Calculation of Maximum Offering Price   
Class A:   
Net Asset Value and redemption price per share ($521,556,531 ÷ 48,436,750 shares)  $10.77 
Maximum offering price per share (100/96.00 of $10.77)  $11.22 
Class M:   
Net Asset Value and redemption price per share ($287,111,214 ÷ 26,710,885 shares)  $10.75 
Maximum offering price per share (100/96.00 of $10.75)  $11.20 
Class C:   
Net Asset Value and offering price per share ($190,272,706 ÷ 17,664,771 shares)(a)  $10.77 
Total Bond:   
Net Asset Value, offering price and redemption price per share ($23,732,155,846 ÷ 2,204,851,985 shares)  $10.76 
Class I:   
Net Asset Value, offering price and redemption price per share ($4,481,724,927 ÷ 417,020,311 shares)  $10.75 
Class Z:   
Net Asset Value, offering price and redemption price per share ($1,473,993,483 ÷ 137,143,400 shares)  $10.75 

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


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


Statement of Operations

  Year ended August 31, 2017 
Investment Income   
Dividends  $13,698,805 
Interest  883,295,281 
Income from Fidelity Central Funds  8,039,538 
Total income  905,033,624 
Expenses   
Management fee $85,064,637  
Transfer agent fees 28,873,471  
Distribution and service plan fees 4,485,429  
Fund wide operations fee 11,243,438  
Independent trustees' fees and expenses 106,598  
Legal 328  
Miscellaneous 87,092  
Total expenses before reductions 129,860,993  
Expense reductions (130,904) 129,730,089 
Net investment income (loss)  775,303,535 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 36,962,512  
Fidelity Central Funds 238,489  
Forward foreign currency contracts (3,031,949)  
Foreign currency transactions (1,234,691)  
Futures contracts 1,594,426  
Swaps 1,651,830  
Total net realized gain (loss)  36,180,617 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers (183,867,410)  
Fidelity Central Funds 80,283  
Forward foreign currency contracts (2,063,717)  
Assets and liabilities in foreign currencies 186,262  
Futures contracts (1,058,889)  
Swaps 339,492  
Delayed delivery commitments (661,826)  
Total change in net unrealized appreciation (depreciation)  (187,045,805) 
Net gain (loss)  (150,865,188) 
Net increase (decrease) in net assets resulting from operations  $624,438,347 

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


Statement of Changes in Net Assets

 Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $775,303,535 $735,703,076 
Net realized gain (loss) 36,180,617 29,226,743 
Change in net unrealized appreciation (depreciation) (187,045,805) 815,523,532 
Net increase (decrease) in net assets resulting from operations 624,438,347 1,580,453,351 
Distributions to shareholders from net investment income (739,976,289) (690,311,363) 
Distributions to shareholders from net realized gain (67,918,257) (113,897,060) 
Total distributions (807,894,546) (804,208,423) 
Share transactions - net increase (decrease) 5,166,571,919 4,657,836,676 
Total increase (decrease) in net assets 4,983,115,720 5,434,081,604 
Net Assets   
Beginning of period 25,703,698,987 20,269,617,383 
End of period $30,686,814,707 $25,703,698,987 
Other Information   
Undistributed net investment income end of period $75,408,591 $61,951,817 

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


Financial Highlights — Fidelity Total Bond Fund Class A

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.87 $10.53 $10.77 $10.48 $11.29 
Income from Investment Operations      
Net investment income (loss)A .272 .312 .287 .292 .263 
Net realized and unrealized gain (loss) (.086) .377 (.224) .382 (.468) 
Total from investment operations .186 .689 .063 .674 (.205) 
Distributions from net investment income (.258) (.290) (.270) (.275) (.250) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.286) (.349) (.303) (.384) (.605) 
Net asset value, end of period $10.77 $10.87 $10.53 $10.77 $10.48 
Total ReturnB,C 1.77% 6.71% .58% 6.56% (1.94)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .75% .75% .75% .76% .79% 
Expenses net of fee waivers, if any .75% .75% .75% .76% .79% 
Expenses net of all reductions .75% .75% .75% .76% .79% 
Net investment income (loss) 2.53% 2.95% 2.69% 2.76% 2.41% 
Supplemental Data      
Net assets, end of period (000 omitted) $521,557 $1,233,806 $852,243 $639,235 $517,259 
Portfolio turnover rateF 137% 134% 140%G 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class M

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.85 $10.51 $10.76 $10.46 $11.28 
Income from Investment Operations      
Net investment income (loss)A .267 .309 .285 .290 .265 
Net realized and unrealized gain (loss) (.083) .378 (.234) .392 (.477) 
Total from investment operations .184 .687 .051 .682 (.212) 
Distributions from net investment income (.256) (.288) (.268) (.273) (.253) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.284) (.347) (.301) (.382) (.608) 
Net asset value, end of period $10.75 $10.85 $10.51 $10.76 $10.46 
Total ReturnB,C 1.76% 6.71% .47% 6.65% (2.01)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .76% .77% .77% .78% .76% 
Expenses net of fee waivers, if any .76% .77% .77% .78% .76% 
Expenses net of all reductions .76% .77% .77% .78% .76% 
Net investment income (loss) 2.53% 2.94% 2.67% 2.74% 2.44% 
Supplemental Data      
Net assets, end of period (000 omitted) $287,111 $155,518 $101,673 $57,972 $52,848 
Portfolio turnover rateF 137% 134% 140%G 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Total returns do not include the effect of the sales charges.

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class C

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.87 $10.53 $10.77 $10.48 $11.29 
Income from Investment Operations      
Net investment income (loss)A .188 .231 .205 .211 .185 
Net realized and unrealized gain (loss) (.084) .378 (.225) .382 (.469) 
Total from investment operations .104 .609 (.020) .593 (.284) 
Distributions from net investment income (.176) (.210) (.187) (.194) (.171) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.204) (.269) (.220) (.303) (.526) 
Net asset value, end of period $10.77 $10.87 $10.53 $10.77 $10.48 
Total ReturnB,C .99% 5.90% (.20)% 5.75% (2.65)% 
Ratios to Average Net AssetsD,E      
Expenses before reductions 1.52% 1.52% 1.53% 1.53% 1.51% 
Expenses net of fee waivers, if any 1.52% 1.52% 1.53% 1.53% 1.51% 
Expenses net of all reductions 1.52% 1.52% 1.53% 1.53% 1.51% 
Net investment income (loss) 1.77% 2.19% 1.92% 1.99% 1.69% 
Supplemental Data      
Net assets, end of period (000 omitted) $190,273 $186,380 $139,264 $83,818 $79,711 
Portfolio turnover rateF 137% 134% 140%G 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

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

 D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.86 $10.53 $10.77 $10.47 $11.29 
Income from Investment Operations      
Net investment income (loss)A .302 .343 .320 .326 .300 
Net realized and unrealized gain (loss) (.085) .368 (.224) .392 (.478) 
Total from investment operations .217 .711 .096 .718 (.178) 
Distributions from net investment income (.289) (.322) (.303) (.309) (.287) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.317) (.381) (.336) (.418) (.642) 
Net asset value, end of period $10.76 $10.86 $10.53 $10.77 $10.47 
Total ReturnB 2.07% 6.94% .88% 7.00% (1.70)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .45% .45% .45% .45% .45% 
Expenses net of fee waivers, if any .45% .45% .45% .45% .45% 
Expenses net of all reductions .45% .45% .45% .45% .45% 
Net investment income (loss) 2.84% 3.25% 2.99% 3.07% 2.75% 
Supplemental Data      
Net assets, end of period (000 omitted) $23,732,156 $20,469,677 $17,359,294 $14,547,801 $11,526,014 
Portfolio turnover rateE 137% 134% 140%F 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class I

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $10.85 $10.51 $10.76 $10.46 $11.27 
Income from Investment Operations      
Net investment income (loss)A .295 .337 .313 .319 .295 
Net realized and unrealized gain (loss) (.083) .378 (.233) .393 (.469) 
Total from investment operations .212 .715 .080 .712 (.174) 
Distributions from net investment income (.284) (.316) (.297) (.303) (.281) 
Distributions from net realized gain (.028) (.059) (.033) (.109) (.355) 
Total distributions (.312) (.375) (.330) (.412) (.636) 
Net asset value, end of period $10.75 $10.85 $10.51 $10.76 $10.46 
Total ReturnB 2.02% 6.99% .73% 6.95% (1.67)% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .50% .50% .50% .51% .51% 
Expenses net of fee waivers, if any .50% .50% .50% .51% .51% 
Expenses net of all reductions .50% .50% .50% .51% .51% 
Net investment income (loss) 2.79% 3.20% 2.94% 3.02% 2.69% 
Supplemental Data      
Net assets, end of period (000 omitted) $4,481,725 $2,846,878 $1,266,870 $573,410 $244,911 
Portfolio turnover rateE 137% 134% 140%F 108% 201% 

 A Calculated based on average shares outstanding during the period.

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

 C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

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

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

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


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


Financial Highlights — Fidelity Total Bond Fund Class Z

Years ended August 31, 2017 2016 2015 A 
Selected Per–Share Data    
Net asset value, beginning of period $10.85 $10.51 $10.66 
Income from Investment Operations    
Net investment income (loss)B .310 .352 .234 
Net realized and unrealized gain (loss) (.083) .378 (.167) 
Total from investment operations .227 .730 .067 
Distributions from net investment income (.299) (.331) (.217) 
Distributions from net realized gain (.028) (.059) – 
Total distributions (.327) (.390) (.217) 
Net asset value, end of period $10.75 $10.85 $10.51 
Total ReturnC,D 2.16% 7.14% .59% 
Ratios to Average Net AssetsE,F    
Expenses before reductions .36% .36% .36%G 
Expenses net of fee waivers, if any .36% .36% .36%G 
Expenses net of all reductions .36% .36% .36%G 
Net investment income (loss) 2.93% 3.34% 3.29%G 
Supplemental Data    
Net assets, end of period (000 omitted) $1,473,993 $811,440 $546,968 
Portfolio turnover rateH 137% 134% 140%I 

 A For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.

 B Calculated based on average shares outstanding during the period.

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

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

 E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

 F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.

 G Annualized

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

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


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


Notes to Financial Statements

For the period ended August 31, 2017

1. Organization.

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

After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All prior fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.

2. Investments in Fidelity Central Funds.

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

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

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

3. Significant Accounting Policies.

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, 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 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 service 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 vendor or 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 (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2017 is included at the end of the Fund's Schedule of Investments.

Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

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

Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, defaulted bonds, certain conversion ratio adjustments, market discount, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

Gross unrealized appreciation $793,080,160 
Gross unrealized depreciation (188,993,869) 
Net unrealized appreciation (depreciation) $604,086,291 
Tax Cost $30,659,936,797 

The tax-based components of distributable earnings as of period end were as follows:

Undistributed ordinary income $32,121,732 
Undistributed long-term capital gain $68,811,082 
Net unrealized appreciation (depreciation) on securities and other investments $583,387,936 

The Fund intends to elect to defer to its next fiscal year $49,045,791 of capital losses recognized during the period November 1, 2016 to August 31, 2017.

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $773,871,373 $ 736,642,371 
Long-term Capital Gains 34,023,173 67,566,052 
Total $807,894,546 $ 804,208,423 

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

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

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

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

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

Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.

New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.

4. Derivative Instruments.

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

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

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

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Foreign Exchange Risk Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
Interest Rate Risk Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. 

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Purchased Options $(2,893,722) $304,630 
Swaps 815,808 (96,974) 
Total Credit Risk (2,077,914) 207,656 
Foreign Exchange Risk   
Forward Foreign Currency Contracts (3,031,949) (2,063,717) 
Interest Rate Risk   
Futures Contracts 1,594,426 (1,058,889) 
Swaps 836,022 436,466 
Total Interest Rate Risk 2,430,448 (622,423) 
Totals $(2,679,415) $(2,478,484) 

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

Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period.

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to potential credit events.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

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

Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Statement of Assets and Liabilities. 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) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

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

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

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

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

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

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

Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $4,453,589,602 and $5,564,261,911, respectively.

6. Fees and Other Transactions with Affiliates.

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

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

 Distribution
Fee 		Service
Fee 		Total Fees Retained
by FDC 
Class A -% .25% $2,187,833 $45,734 
Class M -% .25% 459,616 – 
Class C .75% .25% 1,837,980 439,039 
   $4,485,429 $484,773 

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

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

 Retained
by FDC 
Class A $82,367 
Class M 12,239 
Class C(a) 40,478 
 $135,084 

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


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

 Amount % of
Class-Level Average
Net Assets 
Class A $1,330,914 .15 
Class M 293,015 .16 
Class C 307,738 .17 
Total Bond 21,619,174 .10 
Class I 5,206,681 .15 
Class Z 115,949 .01 
 $28,873,471  

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

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

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $8,916.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $87,044 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $1,309,950.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $130,904.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2017 		Year ended
August 31, 2016 
From net investment income   
Class A $21,656,972 $31,727,561 
Class M 4,370,911 3,400,558 
Class B – 52,324 
Class C 3,033,896 3,143,821 
Total Bond 586,137,135 559,720,907 
Class I 93,037,515 70,886,754 
Class Z 31,739,860 21,379,438 
Total $739,976,289 $690,311,363 
From net realized gain   
Class A $3,152,995 $5,050,640 
Class M 416,240 600,521 
Class B – 17,887 
Class C 491,517 809,224 
Total Bond 54,284,285 97,033,225 
Class I 7,617,861 7,167,426 
Class Z 1,955,359 3,218,137 
Total $67,918,257 $113,897,060 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended August 31, 2017 Year ended August 31, 2016 Year ended August 31, 2017 Year ended August 31, 2016 
Class A     
Shares sold 35,580,281 79,582,385 $378,631,170 $836,125,573 
Reinvestment of distributions 2,271,068 3,397,092 24,175,284 35,693,646 
Shares redeemed (102,937,028) (50,390,515) (1,089,228,226) (531,503,136) 
Net increase (decrease) (65,085,679) 32,588,962 $(686,421,772) $340,316,083 
Class M     
Shares sold 17,161,400 7,797,143 $182,620,103 $81,948,331 
Reinvestment of distributions 442,288 371,455 4,706,740 3,901,602 
Shares redeemed (5,227,159) (3,506,111) (55,482,738) (36,795,670) 
Net increase (decrease) 12,376,529 4,662,487 $131,844,105 $49,054,263 
Class B     
Shares sold – 52,386 $– $545,030 
Reinvestment of distributions – 5,304 – 55,384 
Shares redeemed – (371,399) – (3,942,186) 
Net increase (decrease) – (313,709) $– $(3,341,772) 
Class C     
Shares sold 5,742,872 7,989,480 $61,343,735 $84,112,756 
Reinvestment of distributions 311,520 338,212 3,319,847 3,555,483 
Shares redeemed (5,532,987) (4,407,873) (58,835,524) (46,363,403) 
Net increase (decrease) 521,405 3,919,819 $5,828,058 $41,304,836 
Total Bond     
Shares sold 715,776,478 564,396,562 $7,613,246,265 $5,943,329,183 
Reinvestment of distributions 57,507,306 59,893,089 612,532,396 629,464,263 
Shares redeemed (452,613,004) (389,085,832) (4,806,739,429) (4,072,787,679) 
Net increase (decrease) 320,670,780 235,203,819 $3,419,039,232 $2,500,005,767 
Class I     
Shares sold 245,139,592 202,861,513 $2,596,745,220 $2,130,458,698 
Reinvestment of distributions 8,911,840 7,026,236 94,805,632 73,778,315 
Shares redeemed (99,475,433) (67,965,246) (1,055,508,510) (713,298,115) 
Net increase (decrease) 154,575,999 141,922,503 $1,636,042,342 $1,490,938,898 
Class Z     
Shares sold 155,922,153 31,568,440 $1,656,237,293 $331,880,727 
Reinvestment of distributions 2,946,230 2,342,277 31,368,596 24,597,125 
Shares redeemed (96,526,329) (11,141,442) (1,027,365,935) (116,919,251) 
Net increase (decrease) 62,342,054 22,769,275 $660,239,954 $239,558,601 

12. Other.

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

At the end of the period, Strategic Advisers Core Income Fund was the owner of record of approximately 20% of the total outstanding shares of the Fund.

13. Credit Risk.

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

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Income Fund and Shareholders of Fidelity Total Bond Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Total Bond Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 246 funds. 

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust.  Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee.  Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs.  The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees.  Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years. 

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

Board Structure and Oversight Function. Abigail P. Johnson is an interested person and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

Fidelity® funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity® funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks.  The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above.  Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees.  While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees.  In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board.  Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds.  The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees." 

Interested Trustees*:

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Abigail P. Johnson (1961)

Year of Election or Appointment: 2009

Trustee

Chairman of the Board of Trustees

Ms. Johnson also serves as Trustee of other Fidelity® funds. Ms. Johnson serves as Chairman (2016-present), Chief Executive Officer (2014-present), and Director (2007-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present) and Chairman and Director of FMR (investment adviser firm, 2011-present). Previously, Ms. Johnson served as Vice Chairman (2007-2016) and President (2013-2016) of FMR LLC, President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity® funds (2001-2005), and managed a number of Fidelity® funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related.

Jennifer Toolin McAuliffe (1959)

Year of Election or Appointment: 2016

Trustee

Ms. McAuliffe also serves as Trustee of other Fidelity® funds. Ms. McAuliffe previously served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.

 * Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR. 

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Independent Trustees:

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience+

Elizabeth S. Acton (1951)

Year of Election or Appointment: 2013

Trustee

Ms. Acton also serves as Trustee of other Fidelity® funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).

John Engler (1948)

Year of Election or Appointment: 2014

Trustee

Mr. Engler also serves as Trustee of other Fidelity® funds. He serves on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), president of the Business Roundtable (2011-2017), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association.

Albert R. Gamper, Jr. (1942)

Year of Election or Appointment: 2006

Trustee

Mr. Gamper also serves as Trustee of other Fidelity® funds. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity® funds and as Chairman of the Board of Governors, Rutgers University (2004-2007).

Robert F. Gartland (1951)

Year of Election or Appointment: 2010

Trustee

Mr. Gartland also serves as Trustee of other Fidelity® funds. Mr. Gartland is Chairman and an investor in Gartland & Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007).

Arthur E. Johnson (1947)

Year of Election or Appointment: 2008

Trustee

Vice Chairman of the Independent Trustees

Mr. Johnson also serves as Trustee of other Fidelity® funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008), AGL Resources, Inc. (holding company, 2002-2016), and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson.

Michael E. Kenneally (1954)

Year of Election or Appointment: 2009

Trustee

Mr. Kenneally also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991.

Marie L. Knowles (1946)

Year of Election or Appointment: 2001

Trustee

Chairman of the Independent Trustees

Ms. Knowles also serves as Trustee of other Fidelity® funds. Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company (pipeline and tanker operations). Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity® funds (2012-2015).

Mark A. Murray (1954)

Year of Election or Appointment: 2016

Trustee

Mr. Murray also serves as Trustee of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as a Member of the Advisory Board of certain Fidelity® funds (2016) and as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.

 + The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund. 

Advisory Board Members and Officers:

Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.  Officers appear below in alphabetical order. 

Name, Year of Birth; Principal Occupation

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer (2012-present) and Senior Vice President (2014-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as AML Officer of the funds (2012-2016), and Vice President (2007-2014) and Deputy Anti-Money Laundering Officer (2007-2012) of FMR LLC.

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (UK) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2010

Assistant Treasurer

Mr. Deberghes also serves as an officer of other funds. He serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). Previously, Mr. Deberghes served in other fund officer roles.

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2013

President and Treasurer

Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present). 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

John B. McGinty, Jr. (1962)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

Mr. Mello also serves as Assistant Treasurer of other funds. Mr. Mello is an employee of Fidelity Investments (1995-present).

Jamie Pagliocco (1964)

Year of Election or Appointment: 2017

Vice President

Mr. Pagliocco also serves as Vice President of other funds. Mr. Pagliocco serves as Chief Investment Officer of FMR's Bond Group (2017-present) and is an employee of Fidelity Investments (2001-present).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2015

Assistant Secretary

Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present).

Nancy D. Prior (1967)

Year of Election or Appointment: 2014

Vice President

Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of FMR Investment Management (UK) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Spector also serves as an officer of other funds. Mr. Spector is an employee of Fidelity Investments (2016-present). Prior to joining Fidelity Investments, Mr. Spector served as Director at the Siegfried Group (accounting firm, 2013-2016), and prior to Siegfried Group as audit senior manager at Deloitte & Touche (accounting firm, 2005-2013).

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Christine J. Thompson (1958)

Year of Election or Appointment: 2015

Vice President of Fidelity's Bond Funds

Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2017 to August 31, 2017).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Class A .74%    
Actual  $1,000.00 $1,025.70 $3.78 
Hypothetical-C  $1,000.00 $1,021.48 $3.77 
Class M .75%    
Actual  $1,000.00 $1,025.60 $3.83 
Hypothetical-C  $1,000.00 $1,021.42 $3.82 
Class C 1.50%    
Actual  $1,000.00 $1,021.70 $7.64 
Hypothetical-C  $1,000.00 $1,017.64 $7.63 
Total Bond .45%    
Actual  $1,000.00 $1,027.20 $2.30 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 
Class I .49%    
Actual  $1,000.00 $1,026.90 $2.50 
Hypothetical-C  $1,000.00 $1,022.74 $2.50 
Class Z .36%    
Actual  $1,000.00 $1,027.60 $1.84 
Hypothetical-C  $1,000.00 $1,023.39 $1.84 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:

 Pay Date Record Date Capital Gains 
Fidelity Total Bond Fund    
Class A 10/16/17 10/13/17 $0.025 
Class M 10/16/17 10/13/17 $0.025 
Class C 10/16/17 10/13/17 $0.025 
Total Bond Fund 10/16/17 10/13/17 $0.025 
Class I 10/16/17 10/13/17 $0.025 
Class Z 10/16/17 10/13/17 $0.025 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $96,299,631, or, if subsequently determined to be different, the net capital gain of such year.

A total of 14.21% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $425,514,865 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund will notify shareholders in January 2018 of amounts for use in preparing 2017 income tax returns.





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

TBD-ANN-1017
1.789692.115


Item 2.

Code of Ethics


As of the end of the period, August 31, 2017, Fidelity Income Fund (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer.  A copy of the code of ethics is filed as an exhibit to this Form N-CSR.


Item 3.

Audit Committee Financial Expert


The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Ms. Acton is independent for purposes of Item 3 of Form N-CSR.  


Item 4.  

Principal Accountant Fees and Services


Fees and Services


The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Flex Core Bond Fund, Fidelity Government Income Fund, Fidelity Intermediate Government Income Fund and Fidelity Total Bond Fund (the “Funds”):


Services Billed by PwC


August 31, 2017 FeesA,B

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Flex Core Bond Fund

$70,000

$2,900

$3,500

$1,500

Fidelity Government Income Fund

 $79,000

$7,500

 $5,100

 $3,700

Fidelity Intermediate Government Income Fund

 $78,000

$7,400

 $3,500

 $3,600

Fidelity Total Bond Fund

 $186,000

$17,300

 $8,300

 $8,400



August 31, 2016 FeesA,B,C

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Government Income Fund

 $80,000

$7,500

 $5,100

 $3,700

Fidelity Intermediate Government Income Fund

 $78,000

$6,400

 $3,500

 $3,200

Fidelity Total Bond Fund

 $185,000

$19,400

 $10,600

 $9,200

Fidelity Flex Core Bond Fund

$-

$-

$-

$-


A Amounts may reflect rounding.

B Fidelity Flex Core Bond Fund commenced operations on March 7, 2017

C Certain amounts have been reclassified to align with current period presentation.


The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Total Bond K6 Fund (the “Fund”):


Services Billed by Deloitte Entities


August 31, 2017 FeesA,B

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees

Fidelity Total Bond K6 Fund

 $67,000

$-

 $6,100

$500


August 31, 2016 FeesA,B

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Total Bond K6 Fund

 $-

$-

 $-

 $-


A Amounts may reflect rounding.

B Fidelity Total Bond K6 Fund commenced operations on May 25, 2017.


The following table presents fees billed by PwC and Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Fund Service Providers”):


Services Billed by PwC



 

August 31, 2017A,B

August 31, 2016A,B,C

 

Audit-Related Fees

 $9,815,000

 $5,530,000

 

Tax Fees

 $105,000

 $10,000

 

All Other Fees

$-

$-

 


A Amounts may reflect rounding.

B May include amounts billed prior to the Fidelity Flex Core Bond Fund’s commencement of operations.

C Certain amounts have been reclassified to align with current period presentation.


Services Billed by Deloitte Entities


 

August 31, 2017A,B

August 31, 2016 A,B

 

Audit-Related Fees

$-

 $35,000

 

Tax Fees

$25,000

 $-

 

All Other Fees

$-

$-

 


A Amounts may reflect rounding.

B May include amounts billed prior to the Fidelity Total Bond K6 Fund’s commencement of operations.


“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.


“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.


“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.  


Assurance services must be performed by an independent public accountant.


* * *


The aggregate non-audit fees billed by PwC and Deloitte Entities for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:


Billed By

August 31, 2017A,B,C

August 31, 2016A,B,C,D

 

PwC

$13,040,00

$6,595,000

 

Deloitte Entities

$370,000

$65,000

 

 

 

 

 

A Amounts may reflect rounding.

B May include amounts billed prior to the Fidelity Flex Core Bond Fund’s commencement of operations.



C May include amounts billed prior to the Fidelity Total Bond K6 Fund’s commencement of operations.

D Certain amounts have been reclassified to align with current period presentation.


The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC and Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of PwC and Deloitte Entities in their  audits of the Funds, taking into account representations from PwC and Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding their independence from the Funds and their related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.


Audit Committee Pre-Approval Policies and Procedures

 

The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.


The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.


All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.


Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.


Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)


There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds’ last two fiscal years



relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.



Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable


Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.


Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.


Item 11.

Controls and Procedures


(a)(i)  The President and Treasurer and the Chief Financial Officer have concluded that the trust’s 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.





Item 12.

Exhibits


(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

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.

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




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:

October 26, 2017



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:

October 26, 2017



By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

October 26, 2017