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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4707

Fidelity Advisor Series II
(Exact name of registrant as specified in charter)

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

Scott C. Goebel, Secretary

245 Summer St.

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

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

Date of fiscal year end:	August 31
Date of reporting period:	May 31, 2015

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity Advisor®
Limited Term Bond Fund

May 31, 2015

1.804849.111

LTB-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 68.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 7.3%
Automobiles - 2.3%
American Honda Finance Corp.:
1.2% 7/14/17	$ 5,000,000		$ 5,009,650
2.125% 10/10/18	500,000		509,929
Daimler Finance North America LLC:
1.25% 1/11/16 (b)	1,220,000		1,223,841
1.3% 7/31/15 (b)	1,260,000		1,261,676
1.375% 8/1/17 (b)	2,000,000		2,000,532
1.45% 8/1/16 (b)	1,461,000		1,469,880
1.65% 5/18/18 (b)	3,000,000		3,002,142
2.25% 3/2/20 (b)	3,020,000		3,014,437
2.375% 8/1/18 (b)	1,000,000		1,020,985
General Motors Financial Co., Inc.:
2.4% 4/10/18	3,000,000		2,999,124
3% 9/25/17	3,000,000		3,063,804
3.15% 1/15/20	5,000,000		5,000,780
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (b)	1,000,000		1,001,998
2.4% 5/22/20 (b)	3,098,000		3,118,874
Volkswagen International Finance NV:
1.6% 11/20/17 (b)	620,000		623,334
2.125% 11/20/18 (b)	1,500,000		1,523,376
2.375% 3/22/17 (b)	600,000		612,531
			36,456,893
Diversified Consumer Services - 0.1%
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18	1,020,000		1,170,887
Hotels, Restaurants & Leisure - 0.3%
McDonald's Corp. 2.2% 5/26/20	5,000,000		4,990,420
Household Durables - 0.5%
D.R. Horton, Inc.:
3.75% 3/1/19	2,000,000		2,010,000
4% 2/15/20	3,000,000		3,015,000
Toll Brothers Finance Corp. 4% 12/31/18	2,000,000		2,050,000
			7,075,000
Media - 4.1%
21st Century Fox America, Inc. 6.9% 3/1/19	750,000		882,188
British Sky Broadcasting Group PLC 2.625% 9/16/19 (b)	3,000,000		3,030,030
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER DISCRETIONARY - continued
Media - continued
Comcast Corp.:
4.95% 6/15/16	$ 2,326,000		$ 2,428,460
5.7% 5/15/18	42,000		47,253
6.3% 11/15/17	6,000,000		6,728,460
COX Communications, Inc. 6.25% 6/1/18 (b)	4,000,000		4,514,660
DIRECTV Holdings LLC/DIRECTV Financing, Inc.:
2.4% 3/15/17	2,700,000		2,740,076
5.875% 10/1/19	5,034,000		5,743,069
Discovery Communications LLC 5.05% 6/1/20	322,000		357,598
NBCUniversal Enterprise, Inc. 1.974% 4/15/19 (b)	3,000,000		3,008,121
Thomson Reuters Corp.:
0.875% 5/23/16	278,000		277,889
1.65% 9/29/17	5,050,000		5,056,605
Time Warner Cable, Inc.:
5.85% 5/1/17	4,996,000		5,363,366
6.75% 7/1/18	1,141,000		1,280,155
8.25% 4/1/19	500,000		592,516
Time Warner, Inc.:
2.1% 6/1/19	2,000,000		1,995,368
5.875% 11/15/16	1,685,000		1,799,093
6.875% 6/15/18	5,095,000		5,850,033
Viacom, Inc.:
2.2% 4/1/19	6,000,000		5,977,872
3.5% 4/1/17	455,000		472,326
6.125% 10/5/17	679,000		747,389
Walt Disney Co. 1.85% 5/30/19	6,000,000		6,043,662
			64,936,189
TOTAL CONSUMER DISCRETIONARY			114,629,389
CONSUMER STAPLES - 4.1%
Beverages - 0.7%
Anheuser-Busch InBev Finance, Inc. 2.15% 2/1/19	1,500,000		1,516,598
Anheuser-Busch InBev Worldwide, Inc. 1.375% 7/15/17	5,000,000		5,036,825
Heineken NV 1.4% 10/1/17 (b)	321,000		321,716
PepsiCo, Inc. 7.9% 11/1/18	815,000		984,164
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Beverages - continued
SABMiller Holdings, Inc.:
2.2% 8/1/18 (b)	$ 2,310,000		$ 2,336,103
2.45% 1/15/17 (b)	1,280,000		1,304,246
			11,499,652
Food & Staples Retailing - 1.0%
CVS Health Corp.:
2.25% 12/5/18	3,376,000		3,439,746
2.25% 8/12/19	5,000,000		5,033,115
Kroger Co. 0.8044% 10/17/16 (d)	5,000,000		5,013,535
Walgreen Co. 1.8% 9/15/17	2,267,000		2,283,606
			15,770,002
Food Products - 1.8%
Cargill, Inc. 6% 11/27/17 (b)	106,000		117,702
ConAgra Foods, Inc. 1.9% 1/25/18	2,222,000		2,222,260
General Mills, Inc.:
1.4% 10/20/17	3,000,000		3,001,932
2.2% 10/21/19	2,000,000		2,009,916
Kraft Foods Group, Inc.:
2.25% 6/5/17	610,000		619,645
5.375% 2/10/20	5,000,000		5,624,495
The J.M. Smucker Co.:
1.75% 3/15/18 (b)	5,874,000		5,880,297
2.5% 3/15/20 (b)	1,964,000		1,978,926
Tyson Foods, Inc. 2.65% 8/15/19	7,000,000		7,131,355
William Wrigley Jr. Co. 2% 10/20/17 (b)	428,000		433,463
			29,019,991
Tobacco - 0.6%
Altria Group, Inc. 2.625% 1/14/20	5,000,000		5,034,910
Philip Morris International, Inc. 1.875% 1/15/19	2,641,000		2,646,889
Reynolds American, Inc.:
1.05% 10/30/15	707,000		706,689
6.75% 6/15/17	513,000		564,641
			8,953,129
TOTAL CONSUMER STAPLES			65,242,774
ENERGY - 6.0%
Energy Equipment & Services - 1.0%
DCP Midstream LLC 5.35% 3/15/20 (b)	6,738,000		6,865,139
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Energy Equipment & Services - continued
El Paso Pipeline Partners Operating Co. LLC 6.5% 4/1/20	$ 768,000		$ 884,595
Nabors Industries, Inc. 2.35% 9/15/16	257,000		257,879
National Oilwell Varco, Inc. 1.35% 12/1/17	620,000		617,019
Noble Holding International Ltd.:
2.5% 3/15/17	2,062,000		2,064,565
4% 3/16/18	102,000		104,758
Petrofac Ltd. 3.4% 10/10/18 (b)	1,000,000		995,921
Transocean, Inc. 3% 10/15/17	3,500,000		3,414,688
			15,204,564
Oil, Gas & Consumable Fuels - 5.0%
Anadarko Petroleum Corp.:
5.95% 9/15/16	45,000		47,688
6.375% 9/15/17	555,000		612,952
BG Energy Capital PLC 2.875% 10/15/16 (b)	620,000		635,034
BP Capital Markets PLC:
1.375% 5/10/18	5,000,000		4,988,515
2.248% 11/1/16	620,000		631,891
2.521% 1/15/20	1,688,000		1,720,153
Canadian Natural Resources Ltd. 1.75% 1/15/18	415,000		412,364
Cenovus Energy, Inc. 5.7% 10/15/19	297,000		333,578
Chevron Corp. 1.961% 3/3/20	4,000,000		4,008,900
Columbia Pipeline Group, Inc.:
2.45% 6/1/18 (b)	291,000		293,615
3.3% 6/1/20 (b)	1,047,000		1,057,149
ConocoPhillips Co.:
1.5% 5/15/18	3,000,000		3,004,737
2.2% 5/15/20	961,000		962,735
DCP Midstream Operating LP:
2.5% 12/1/17	292,000		283,979
2.7% 4/1/19	821,000		778,938
Devon Energy Corp.:
0.7206% 12/15/15 (d)	1,500,000		1,498,697
2.25% 12/15/18	3,484,000		3,517,547
Duke Energy Field Services 5.375% 10/15/15 (b)	212,000		213,855
El Paso Natural Gas Co. 5.95% 4/15/17	21,000		22,535
Enable Midstream Partners LP 2.4% 5/15/19 (b)	174,000		168,426
Enbridge, Inc. 0.7116% 6/2/17 (d)	2,613,000		2,582,148
Encana Corp. 6.5% 5/15/19	5,000,000		5,717,170
EnLink Midstream Partners LP 2.7% 4/1/19	785,000		783,249
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Enterprise Products Operating LP:
1.65% 5/7/18	$ 631,000		$ 631,625
2.55% 10/15/19	178,000		180,126
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (b)	20,000		20,963
Kinder Morgan Energy Partners LP 2.65% 2/1/19	1,737,000		1,735,713
Kinder Morgan, Inc.:
2% 12/1/17	393,000		393,836
3.05% 12/1/19	758,000		761,254
Marathon Petroleum Corp. 3.5% 3/1/16	875,000		891,535
Petro-Canada 6.05% 5/15/18	3,326,000		3,737,380
Petrobras Global Finance BV 3.25% 3/17/17	3,500,000		3,459,610
Petrobras International Finance Co. Ltd. 5.875% 3/1/18	3,000,000		3,085,560
Petroleos Mexicanos:
3.125% 1/23/19	77,000		78,363
3.5% 7/18/18	5,000,000		5,183,450
3.5% 7/23/20 (b)	1,355,000		1,373,821
Phillips 66 Co. 2.95% 5/1/17	1,260,000		1,298,087
Plains All American Pipeline LP/PAA Finance Corp.:
2.6% 12/15/19	3,000,000		3,005,556
3.95% 9/15/15	375,000		378,404
5.75% 1/15/20	962,000		1,090,273
Schlumberger Investment SA 1.25% 8/1/17 (b)	1,000,000		1,000,586
Shell International Finance BV 2.125% 5/11/20	2,287,000		2,296,525
Southwestern Energy Co.:
3.3% 1/23/18	2,476,000		2,545,405
4.05% 1/23/20	864,000		894,675
Spectra Energy Capital, LLC 5.65% 3/1/20	28,000		30,737
Spectra Energy Partners, LP 2.95% 9/25/18	90,000		92,545
Suncor Energy, Inc. 6.1% 6/1/18	944,000		1,057,850
Total Capital International SA 2.125% 1/10/19	2,000,000		2,035,136
TransCanada PipeLines Ltd.:
1.0659% 1/12/18 (d)	2,500,000		2,505,698
1.875% 1/12/18	3,000,000		3,031,038
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	394,000		411,708
Western Gas Partners LP:
2.6% 8/15/18	1,257,000		1,275,852
5.375% 6/1/21	600,000		664,858
			79,424,024
TOTAL ENERGY			94,628,588
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - 35.8%
Banks - 18.5%
ABN AMRO Bank NV 2.5% 10/30/18 (b)	$ 4,000,000		$ 4,077,304
Australia & New Zealand Banking Group Ltd.:
1.25% 1/10/17	1,000,000		1,003,450
1.45% 5/15/18	570,000		569,505
1.875% 10/6/17	620,000		628,663
2.25% 6/13/19	2,000,000		2,020,738
Banco Nacional de Desenvolvimento Economico e Social 4% 4/14/19 (b)	2,575,000		2,616,071
Bank of America Corp.:
1.7% 8/25/17	4,428,000		4,444,175
2% 1/11/18	6,200,000		6,242,408
2.25% 4/21/20	6,000,000		5,929,788
2.6% 1/15/19	7,495,000		7,611,450
2.65% 4/1/19	7,100,000		7,224,207
5.75% 12/1/17	1,150,000		1,261,287
Bank of America NA:
1.25% 2/14/17	2,420,000		2,422,330
1.65% 3/26/18	1,924,000		1,923,981
1.75% 6/5/18	2,000,000		1,998,260
5.3% 3/15/17	250,000		266,091
Bank of Nova Scotia 2.8% 7/21/21	2,000,000		2,040,020
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1.65% 2/26/18 (b)	590,000		589,944
2.3% 3/5/20 (b)	3,000,000		3,012,642
2.35% 9/8/19 (b)	3,050,000		3,069,612
2.7% 9/9/18 (b)	500,000		513,724
Barclays Bank PLC:
2.5% 2/20/19	1,300,000		1,323,798
5% 9/22/16	5,000,000		5,257,330
Barclays PLC:
2% 3/16/18	5,000,000		5,026,080
2.75% 11/8/19	2,831,000		2,861,207
BNP Paribas 2.375% 9/14/17	6,000,000		6,115,548
BNP Paribas SA 2.375% 5/21/20	3,000,000		2,994,197
BPCE SA:
1.625% 2/10/17	450,000		453,073
1.7% 4/25/16	2,000,000		2,012,240
2.5% 7/15/19	2,000,000		2,027,786
Capital One Bank NA:
1.3% 6/5/17	1,000,000		996,805
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Capital One Bank NA: - continued
2.25% 2/13/19	$ 1,000,000		$ 1,001,368
Capital One NA:
1.65% 2/5/18	3,000,000		2,986,725
2.4% 9/5/19	2,000,000		2,000,704
CIT Group, Inc. 3.875% 2/19/19	3,090,000		3,097,725
Citigroup, Inc.:
0.5336% 6/9/16 (d)	3,000,000		2,988,477
1.3% 11/15/16	767,000		768,514
1.55% 8/14/17	2,000,000		1,999,244
1.7% 4/27/18	1,500,000		1,491,981
1.75% 5/1/18	2,870,000		2,868,760
1.85% 11/24/17	3,000,000		3,019,419
2.4% 2/18/20	4,000,000		3,990,940
2.5% 9/26/18	1,500,000		1,526,325
2.5% 7/29/19	2,000,000		2,014,088
2.55% 4/8/19	3,000,000		3,040,614
6.125% 5/15/18	12,000		13,435
Citizens Bank NA 2.45% 12/4/19	3,000,000		3,025,029
Comerica, Inc. 2.125% 5/23/19	345,000		344,270
Commonwealth Bank of Australia:
2.25% 3/13/19	750,000		759,250
2.3% 9/6/19	2,000,000		2,016,100
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA 1.7% 3/19/18	3,000,000		3,021,258
Credit Suisse AG 6% 2/15/18	3,680,000		4,062,772
Credit Suisse New York Branch:
0.772% 5/26/17 (d)	2,000,000		1,996,616
1.75% 1/29/18	2,000,000		2,000,496
2.3% 5/28/19	5,750,000		5,782,591
3% 10/29/21	1,500,000		1,509,053
Discover Bank 2% 2/21/18	5,920,000		5,926,932
Fifth Third Bancorp:
2.3% 3/1/19	279,000		281,438
4.5% 6/1/18	3,024,000		3,251,462
5.45% 1/15/17	291,000		309,863
Fifth Third Bank 2.375% 4/25/19	1,000,000		1,013,295
First Niagara Financial Group, Inc. 6.75% 3/19/20	625,000		691,486
First Tennessee Bank NA, Memphis 2.95% 12/1/19	5,000,000		5,040,125
HBOS PLC 6.75% 5/21/18 (b)	509,000		567,693
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
HSBC Bank PLC 1.5% 5/15/18 (b)	$ 1,570,000		$ 1,564,587
HSBC U.S.A., Inc.:
1.625% 1/16/18	543,000		545,011
2.375% 11/13/19	3,000,000		3,013,122
2.625% 9/24/18	262,000		269,163
Huntington Bancshares, Inc. 7% 12/15/20	180,000		215,141
Huntington National Bank 2.2% 4/1/19	1,000,000		998,862
Ing Bank NV Mtn Be 144A 1.8% 3/16/18 (b)	3,000,000		3,019,524
Intesa Sanpaolo SpA 2.375% 1/13/17	7,750,000		7,816,410
JPMorgan Chase & Co.:
1.35% 2/15/17	2,500,000		2,507,448
1.625% 5/15/18	4,500,000		4,487,729
2% 8/15/17	4,500,000		4,556,079
2.2% 10/22/19	10,058,000		10,030,401
2.25% 1/23/20	3,000,000		2,984,127
2.35% 1/28/19	1,942,000		1,965,063
JPMorgan Chase Bank 6% 10/1/17	1,762,000		1,940,018
KeyBank NA:
1.65% 2/1/18	397,000		398,131
2.5% 12/15/19	3,783,000		3,839,749
KeyCorp. 2.3% 12/13/18	2,000,000		2,026,554
La Caisse Centrale 1.75% 1/29/18 (b)	4,000,000		4,003,060
Lloyds Bank PLC 1.75% 3/16/18	3,000,000		3,008,103
Manufacturers & Traders Trust Co.:
2.1% 2/6/20	3,000,000		2,981,984
2.3% 1/30/19	1,100,000		1,113,577
Marshall & Ilsley Bank 5% 1/17/17	778,000		818,643
Mizuho Bank Ltd.:
1.55% 10/17/17 (b)	1,940,000		1,938,619
2.45% 4/16/19 (b)	1,400,000		1,417,017
2.65% 9/25/19 (b)	2,000,000		2,036,722
MUFG Americas Holdings Corp. 2.25% 2/10/20	1,241,000		1,237,101
MUFG Union Bank NA 1.5% 9/26/16	335,000		337,321
Nordea Bank AB 2.375% 4/4/19 (b)	1,000,000		1,013,738
PNC Bank NA:
1.15% 11/1/16	2,564,000		2,568,984
1.5% 2/23/18	2,100,000		2,105,412
2.4% 10/18/19	3,000,000		3,037,296
Regions Bank 7.5% 5/15/18	250,000		288,339
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Regions Financial Corp.:
2% 5/15/18	$ 580,000		$ 579,996
5.75% 6/15/15	589,000		589,995
Royal Bank of Canada 1.5% 1/16/18	2,720,000		2,724,162
Royal Bank of Scotland Group PLC:
1.2131% 3/31/17 (d)	8,715,000		8,720,926
2.55% 9/18/15	2,052,000		2,061,542
Sumitomo Mitsui Banking Corp.:
1.8% 7/18/17	940,000		948,980
2.25% 7/11/19	3,500,000		3,516,163
2.45% 1/10/19	590,000		600,606
2.45% 1/16/20	3,000,000		3,033,948
SunTrust Banks, Inc.:
2.35% 11/1/18	924,000		937,045
2.5% 5/1/19	550,000		557,628
3.5% 1/20/17	1,378,000		1,425,097
Svenska Handelsbanken AB 1.625% 3/21/18	2,000,000		2,002,708
The Toronto Dominion Bank:
2.125% 7/2/19	5,000,000		5,044,760
2.25% 11/5/19	2,000,000		2,025,220
2.625% 9/10/18	1,200,000		1,243,482
U.S. Bancorp 1.95% 11/15/18	2,000,000		2,029,438
U.S. Bank NA 2.125% 10/28/19	2,186,000		2,208,041
Wachovia Bank NA 6% 11/15/17	570,000		631,875
Wells Fargo & Co.:
1.5% 1/16/18	1,300,000		1,306,331
2.15% 1/15/19	5,500,000		5,570,769
Westpac Banking Corp. 1.2% 5/19/17	1,100,000		1,103,786
			291,887,295
Capital Markets - 4.9%
Deutsche Bank AG London Branch:
1.4% 2/13/17	1,000,000		1,000,625
2.5% 2/13/19	2,250,000		2,282,936
Goldman Sachs Group, Inc.:
1.0706% 12/15/17 (d)	3,000,000		3,005,949
2.375% 1/22/18	5,850,000		5,937,662
2.625% 1/31/19	13,000,000		13,245,466
5.95% 1/18/18	1,693,000		1,871,388
6.15% 4/1/18	402,000		448,572
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Capital Markets - continued
Lazard Group LLC:
4.25% 11/14/20	$ 250,000		$ 265,325
6.85% 6/15/17	125,000		137,083
Legg Mason, Inc. 2.7% 7/15/19	2,000,000		2,034,306
Merrill Lynch & Co., Inc.:
6.4% 8/28/17	40,000		44,058
6.875% 4/25/18	726,000		826,791
Morgan Stanley:
1.875% 1/5/18	2,000,000		2,007,796
2.125% 4/25/18	580,000		584,551
2.375% 7/23/19	9,660,000		9,707,025
2.5% 1/24/19	1,750,000		1,771,578
2.65% 1/27/20	11,000,000		11,110,055
4.75% 3/22/17	2,000,000		2,120,034
4.875% 11/1/22	2,000,000		2,154,682
5.45% 1/9/17	1,200,000		1,275,977
5.5% 1/26/20	2,000,000		2,256,874
5.625% 9/23/19	112,000		126,634
5.95% 12/28/17	383,000		423,114
7.3% 5/13/19	603,000		714,535
The Bank of New York Mellon Corp. 2.4% 1/17/17	1,250,000		1,279,295
UBS AG Stamford Branch:
0.9694% 3/26/18 (d)	3,000,000		3,006,636
1.375% 6/1/17	1,175,000		1,171,381
1.375% 8/14/17	6,700,000		6,693,139
			77,503,467
Consumer Finance - 5.6%
Ally Financial, Inc. 3.25% 2/13/18	3,000,000		2,992,500
American Express Co. 1.55% 5/22/18	3,000,000		2,988,735
American Express Credit Corp.:
1.3% 7/29/16	520,000		522,730
2.125% 3/18/19	5,520,000		5,550,879
American Honda Finance Corp. 1.5% 9/11/17 (b)	620,000		625,377
Capital One Financial Corp.:
2.45% 4/24/19	5,450,000		5,499,333
3.15% 7/15/16	1,605,000		1,642,087
Caterpillar Financial Services Corp. 1% 11/25/16	3,155,000		3,166,929
Discover Financial Services 6.45% 6/12/17	3,381,000		3,698,459
Ford Motor Credit Co. LLC:
1.461% 3/27/17	2,000,000		1,999,766
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - continued
Ford Motor Credit Co. LLC: - continued
1.684% 9/8/17	$ 1,000,000		$ 998,262
1.7% 5/9/16	600,000		603,418
2.145% 1/9/18	2,500,000		2,524,968
2.597% 11/4/19	5,000,000		5,022,035
2.875% 10/1/18	2,500,000		2,560,290
3% 6/12/17	4,500,000		4,614,840
General Electric Capital Corp.:
1.5% 7/12/16	2,200,000		2,220,315
1.6% 11/20/17	1,860,000		1,878,358
1.625% 4/2/18	2,370,000		2,394,290
2.2% 1/9/20	9,000,000		9,096,498
2.3% 1/14/19	3,000,000		3,066,966
3.35% 10/17/16	610,000		631,589
6.375% 11/15/67 (d)	1,275,000		1,389,750
Hyundai Capital America:
1.45% 2/6/17 (b)	632,000		631,348
1.625% 10/2/15 (b)	246,000		246,572
2.125% 10/2/17 (b)	2,437,000		2,462,652
2.55% 2/6/19 (b)	4,759,000		4,836,686
2.875% 8/9/18 (b)	2,606,000		2,691,839
Hyundai Capital America Mtn Be 144A:
2% 3/19/18 (b)	1,891,000		1,902,267
2.6% 3/19/20 (b)	2,000,000		2,017,450
Synchrony Financial:
1.875% 8/15/17	173,000		173,618
2.7% 2/3/20	2,500,000		2,502,033
3% 8/15/19	3,000,000		3,053,490
Toyota Motor Credit Corp. 2% 10/24/18	2,500,000		2,537,008
			88,743,337
Diversified Financial Services - 1.0%
AIG Global Funding 1.65% 12/15/17 (b)	2,000,000		2,009,302
Berkshire Hathaway Finance Corp.:
0.5759% 1/12/18 (d)	5,000,000		5,015,360
1.6% 5/15/17	620,000		628,946
IntercontinentalExchange Group, Inc. 2.5% 10/15/18	347,000		356,961
Moody's Corp. 2.75% 7/15/19	8,000,000		8,125,256
			16,135,825
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Insurance - 3.4%
AFLAC, Inc. 2.4% 3/16/20	$ 3,000,000		$ 3,043,359
AIA Group Ltd. 2.25% 3/11/19 (b)	3,529,000		3,526,766
American International Group, Inc.:
2.3% 7/16/19	5,304,000		5,337,489
5.85% 1/16/18	1,910,000		2,115,302
Aon Corp.:
3.125% 5/27/16	2,000,000		2,043,378
3.5% 9/30/15	1,911,000		1,928,694
Assurant, Inc. 2.5% 3/15/18	2,000,000		2,032,348
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (b)(d)	259,000		261,590
Hartford Financial Services Group, Inc. 5.375% 3/15/17	18,000		19,284
Liberty Mutual Group, Inc. 5% 6/1/21 (b)	5,599,000		6,157,321
Marsh & McLennan Companies, Inc.:
2.35% 9/10/19	495,000		499,518
2.35% 3/6/20	5,000,000		5,013,005
2.55% 10/15/18	517,000		527,644
MassMutual Global Funding II 2.35% 4/9/19 (b)	1,000,000		1,017,335
MetLife, Inc.:
1.756% 12/15/17	269,000		272,104
1.903% 12/15/17	180,000		181,177
Metropolitan Life Global Funding I:
1.3% 4/10/17 (b)	1,500,000		1,503,497
1.5% 1/10/18 (b)	4,431,000		4,428,718
2% 4/14/20 (b)	3,000,000		2,976,435
Pacific LifeCorp 6% 2/10/20 (b)	1,579,000		1,797,093
Pricoa Global Funding I:
1.15% 11/25/16 (b)	2,000,000		2,004,342
1.6% 5/29/18 (b)	967,000		967,156
Principal Life Global Funding II 2.375% 9/11/19 (b)	2,200,000		2,227,194
Symetra Financial Corp. 6.125% 4/1/16 (b)	892,000		921,709
TIAA Asset Management Finance LLC 2.95% 11/1/19 (b)	280,000		285,218
Unum Group:
5.625% 9/15/20	1,019,000		1,156,025
7.125% 9/30/16	704,000		756,994
			53,000,695
Real Estate Investment Trusts - 1.0%
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22	189,000		201,251
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
Boston Properties, Inc. 5.875% 10/15/19	$ 446,000		$ 510,255
DDR Corp.:
4.75% 4/15/18	1,634,000		1,746,748
7.5% 4/1/17	389,000		429,078
Duke Realty LP:
5.95% 2/15/17	354,000		380,613
6.75% 3/15/20	35,000		41,213
8.25% 8/15/19	7,000		8,555
Equity One, Inc.:
6% 9/15/17	509,000		554,715
6.25% 1/15/17	74,000		79,336
ERP Operating LP:
2.375% 7/1/19	391,000		395,087
3.375% 6/1/25	3,000,000		3,021,618
5.75% 6/15/17	1,003,000		1,092,017
Federal Realty Investment Trust 5.9% 4/1/20	5,000		5,771
Government Properties Income Trust 3.75% 8/15/19	3,000,000		3,102,855
HCP, Inc. 3.75% 2/1/16	272,000		276,996
Health Care Property Investors, Inc. 6% 1/30/17	750,000		806,635
Health Care REIT, Inc.:
2.25% 3/15/18	250,000		253,242
4.7% 9/15/17	436,000		465,849
HRPT Properties Trust:
6.25% 6/15/17	186,000		198,025
6.65% 1/15/18	95,000		102,503
Select Income (REIT) 2.85% 2/1/18	597,000		605,260
Simon Property Group LP:
2.15% 9/15/17	1,000,000		1,021,011
2.2% 2/1/19	462,000		468,997
United Dominion Realty Trust, Inc. 4.25% 6/1/18	431,000		459,536
			16,227,166
Real Estate Management & Development - 1.4%
BioMed Realty LP:
2.625% 5/1/19	3,295,000		3,308,117
3.85% 4/15/16	1,379,000		1,407,894
4.25% 7/15/22	277,000		287,050
6.125% 4/15/20	6,000		6,846
Brandywine Operating Partnership LP:
4.95% 4/15/18	51,000		54,663
5.7% 5/1/17	369,000		395,175
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Management & Development - continued
Brandywine Operating Partnership LP: - continued
6% 4/1/16	$ 124,000		$ 128,807
Essex Portfolio LP 5.5% 3/15/17	2,046,000		2,193,105
Liberty Property LP:
4.75% 10/1/20	1,045,000		1,134,455
5.5% 12/15/16	2,260,000		2,392,768
6.625% 10/1/17	1,082,000		1,197,659
Mack-Cali Realty LP:
2.5% 12/15/17	439,000		440,850
4.5% 4/18/22	185,000		184,882
7.75% 8/15/19	1,064,000		1,233,222
Prime Property Funding, Inc.:
5.625% 1/15/17 (b)	453,000		474,975
5.7% 4/15/17 (b)	405,000		428,162
Reckson Operating Partnership LP 6% 3/31/16	152,000		158,027
Regency Centers LP 5.875% 6/15/17	244,000		265,184
Tanger Properties LP 6.125% 6/1/20	606,000		699,171
Ventas Realty LP:
1.25% 4/17/17	263,000		262,843
1.55% 9/26/16	346,000		348,104
Ventas Realty LP/Ventas Capital Corp.:
2% 2/15/18	393,000		396,708
4% 4/30/19	3,000,000		3,188,751
Washington Prime Group LP 3.85% 4/1/20 (b)	2,090,000		2,120,592
			22,708,010
TOTAL FINANCIALS			566,205,795
HEALTH CARE - 3.3%
Biotechnology - 0.7%
Amgen, Inc.:
0.6635% 5/22/17 (d)	3,000,000		3,003,768
1.25% 5/22/17	1,500,000		1,499,061
2.125% 5/1/20	1,618,000		1,596,688
2.2% 5/22/19	4,290,000		4,310,609
5.85% 6/1/17	446,000		485,712
Celgene Corp. 2.45% 10/15/15	56,000		56,346
			10,952,184
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co.:
1.8% 12/15/17	$ 1,486,000		$ 1,496,216
2.675% 12/15/19	329,000		333,985
Medtronic, Inc.:
1.5% 3/15/18 (b)	1,770,000		1,773,352
2.5% 3/15/20 (b)	2,200,000		2,230,193
Zimmer Holdings, Inc. 2% 4/1/18	2,702,000		2,722,006
			8,555,752
Health Care Providers & Services - 0.8%
Coventry Health Care, Inc. 5.95% 3/15/17	264,000		285,627
Express Scripts Holding Co.:
1.25% 6/2/17	1,500,000		1,497,282
2.25% 6/15/19	1,000,000		998,624
Express Scripts, Inc. 3.125% 5/15/16	555,000		565,967
McKesson Corp. 2.284% 3/15/19	686,000		690,288
Medco Health Solutions, Inc. 2.75% 9/15/15	1,108,000		1,114,490
UnitedHealth Group, Inc.:
1.4% 10/15/17	2,128,000		2,143,254
2.875% 12/15/21	2,000,000		2,030,330
WellPoint, Inc.:
1.875% 1/15/18	326,000		327,743
2.25% 8/15/19	2,950,000		2,953,390
			12,606,995
Life Sciences Tools & Services - 0.2%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	136,000		135,972
2.4% 2/1/19	3,086,000		3,107,463
			3,243,435
Pharmaceuticals - 1.1%
AbbVie, Inc.:
1.75% 11/6/17	1,062,000		1,065,714
1.8% 5/14/18	3,972,000		3,975,952
2.5% 5/14/20	2,349,000		2,347,264
Actavis Funding SCS:
2.35% 3/12/18	3,000,000		3,033,837
2.45% 6/15/19	352,000		352,660
3% 3/12/20	1,157,000		1,171,633
Bayer U.S. Finance LLC:
1.5% 10/6/17 (b)	1,863,000		1,875,763
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
Bayer U.S. Finance LLC: - continued
2.375% 10/8/19 (b)	$ 619,000		$ 627,040
Mylan, Inc. 1.35% 11/29/16	160,000		159,877
Perrigo Co. PLC 1.3% 11/8/16	200,000		199,852
Perrigo Finance PLC 3.5% 12/15/21	263,000		268,383
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	210,000		210,560
Zoetis, Inc. 1.875% 2/1/18	1,616,000		1,615,772
			16,904,307
TOTAL HEALTH CARE			52,262,673
INDUSTRIALS - 0.5%
Aerospace & Defense - 0.2%
L-3 Communications Corp. 1.5% 5/28/17	2,500,000		2,479,525
Airlines - 0.0%
Continental Airlines, Inc.:
6.648% 3/15/19	131,577		136,419
6.795% 2/2/20	5,668		5,994
6.9% 7/2/19	56,299		59,322
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	194,708		206,147
8.36% 1/20/19	141,749		153,444
			561,326
Electrical Equipment - 0.0%
ABB Finance (U.S.A.), Inc. 1.625% 5/8/17	238,000		240,392
Industrial Conglomerates - 0.1%
Covidien International Finance SA 6% 10/15/17	442,000		490,229
Roper Industries, Inc. 2.05% 10/1/18	840,000		840,930
			1,331,159
Machinery - 0.0%
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20	263,000		264,238
Trading Companies & Distributors - 0.2%
Air Lease Corp.:
2.125% 1/15/18	414,000		411,413
3.75% 2/1/22	1,228,000		1,237,338
Nonconvertible Bonds - continued
	Principal Amount		Value
INDUSTRIALS - continued
Trading Companies & Distributors - continued
Air Lease Corp.: - continued
3.875% 4/1/21	$ 500,000		$ 515,000
4.75% 3/1/20	605,000		645,838
			2,809,589
TOTAL INDUSTRIALS			7,686,229
INFORMATION TECHNOLOGY - 1.8%
Communications Equipment - 0.1%
Cisco Systems, Inc. 2.125% 3/1/19	1,500,000		1,527,627
Electronic Equipment & Components - 0.6%
Amphenol Corp. 1.55% 9/15/17	1,426,000		1,430,389
Tyco Electronics Group SA:
2.35% 8/1/19	3,000,000		3,017,346
2.375% 12/17/18	99,000		100,566
6.55% 10/1/17	4,476,000		4,988,636
			9,536,937
IT Services - 0.5%
MasterCard, Inc. 2% 4/1/19	289,000		291,652
The Western Union Co.:
2.875% 12/10/17	773,000		794,201
3.65% 8/22/18	3,111,000		3,240,691
Xerox Corp.:
2.75% 3/15/19	2,585,000		2,636,217
2.95% 3/15/17	1,057,000		1,086,267
			8,049,028
Software - 0.4%
Oracle Corp.:
2.25% 10/8/19	1,552,000		1,573,193
2.5% 5/15/22	5,000,000		4,924,725
			6,497,918
Technology Hardware, Storage & Peripherals - 0.2%
Apple, Inc.:
1% 5/3/18	1,730,000		1,714,693
2.85% 5/6/21	850,000		873,332
			2,588,025
TOTAL INFORMATION TECHNOLOGY			28,199,535
Nonconvertible Bonds - continued
	Principal Amount		Value
MATERIALS - 1.8%
Chemicals - 0.8%
Albemarle Corp. U.S. 3% 12/1/19	$ 1,321,000		$ 1,331,589
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (b)	5,340,000		5,359,657
Ecolab, Inc.:
1.45% 12/8/17	335,000		333,912
1.55% 1/12/18	2,500,000		2,503,213
Monsanto Co. 2.125% 7/15/19	3,000,000		3,002,229
Sherwin-Williams Co. 1.35% 12/15/17	620,000		619,965
			13,150,565
Metals & Mining - 1.0%
Anglo American Capital PLC:
1.2253% 4/15/16 (b)(d)	1,624,000		1,623,201
3.625% 5/14/20 (b)	1,513,000		1,523,841
4.125% 4/15/21 (b)	620,000		631,058
9.375% 4/8/19 (b)	630,000		779,241
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (b)	630,000		661,600
Freeport-McMoRan, Inc.:
2.3% 11/14/17	670,000		670,913
2.375% 3/15/18	4,000,000		3,983,356
Rio Tinto Finance (U.S.A.) PLC 1.625% 8/21/17	2,440,000		2,446,259
Teck Resources Ltd. 3% 3/1/19	3,000,000		2,973,060
Vale Overseas Ltd. 6.25% 1/23/17	403,000		429,449
			15,721,978
TOTAL MATERIALS			28,872,543
TELECOMMUNICATION SERVICES - 3.6%
Diversified Telecommunication Services - 2.8%
AT&T, Inc.:
1.4% 12/1/17	1,620,000		1,618,725
2.375% 11/27/18	5,000,000		5,069,515
2.45% 6/30/20	1,563,000		1,547,020
BellSouth Corp. 4.821% 4/26/16 (b)(d)	3,000,000		3,097,038
British Telecommunications PLC:
1.25% 2/14/17	1,000,000		1,000,796
1.625% 6/28/16	4,314,000		4,343,607
2.35% 2/14/19	4,296,000		4,356,827
CenturyLink, Inc. 6.15% 9/15/19	592,000		639,360
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Deutsche Telekom International Financial BV:
3.125% 4/11/16 (b)	$ 923,000		$ 941,550
5.75% 3/23/16	2,000,000		2,074,968
Verizon Communications, Inc.:
1.1% 11/1/17	620,000		615,864
1.35% 6/9/17	750,000		749,521
2% 11/1/16	1,279,000		1,296,742
2.5% 9/15/16	1,044,000		1,061,999
2.625% 2/21/20	2,913,000		2,935,413
3.65% 9/14/18	6,000,000		6,323,448
4.5% 9/15/20	3,000,000		3,270,168
6.1% 4/15/18	3,425,000		3,849,378
			44,791,939
Wireless Telecommunication Services - 0.8%
America Movil S.A.B. de CV 2.375% 9/8/16	2,646,000		2,685,716
Vodafone Group PLC:
1.5% 2/19/18	2,625,000		2,609,051
1.625% 3/20/17	5,400,000		5,413,586
5.45% 6/10/19	2,000,000		2,236,398
			12,944,751
TOTAL TELECOMMUNICATION SERVICES			57,736,690
UTILITIES - 4.1%
Electric Utilities - 2.2%
AmerenUE 6.4% 6/15/17	519,000		574,022
American Electric Power Co., Inc. 1.65% 12/15/17	827,000		828,740
Commonwealth Edison Co. 2.15% 1/15/19	188,000		190,948
Duke Energy Corp.:
0.6508% 4/3/17 (d)	894,000		895,426
1.625% 8/15/17	3,304,000		3,329,907
2.1% 6/15/18	395,000		402,331
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (b)	48,000		56,376
Edison International 3.75% 9/15/17	431,000		454,352
Eversource Energy 1.45% 5/1/18	153,000		152,219
Exelon Corp. 4.9% 6/15/15	3,180,000		3,184,535
FirstEnergy Corp.:
2.75% 3/15/18	4,271,000		4,354,742
4.25% 3/15/23	600,000		616,826
FirstEnergy Solutions Corp. 6.05% 8/15/21	655,000		723,094
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Electric Utilities - continued
Hydro-Quebec 2% 6/30/16	$ 2,500,000		$ 2,537,450
LG&E and KU Energy LLC:
2.125% 11/15/15	479,000		481,364
3.75% 11/15/20	2,000		2,113
Nevada Power Co.:
6.5% 5/15/18	1,562,000		1,784,093
6.5% 8/1/18	273,000		314,340
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	2,904,000		2,915,601
PacifiCorp 5.5% 1/15/19	2,750,000		3,108,713
Pennsylvania Electric Co. 6.05% 9/1/17	115,000		125,961
Public Service Electric & Gas Co. 2.3% 9/15/18	2,000,000		2,055,258
TECO Finance, Inc.:
0.8712% 4/10/18 (d)	3,000,000		3,014,352
5.15% 3/15/20	252,000		282,951
Xcel Energy, Inc. 1.2% 6/1/17	3,153,000		3,156,582
			35,542,296
Gas Utilities - 0.1%
Texas Eastern Transmission LP 6% 9/15/17 (b)	1,096,000		1,201,536
Independent Power and Renewable Electricity Producers - 0.3%
Southern Power Co. 2.375% 6/1/20	1,087,000		1,090,221
TransAlta Corp. 1.9% 6/3/17	2,900,000		2,892,521
			3,982,742
Multi-Utilities - 1.5%
Ameren Illinois Co. 6.125% 11/15/17	62,000		69,107
Dominion Resources, Inc.:
1.4% 9/15/17	3,225,000		3,232,053
2.5% 12/1/19	5,300,000		5,357,431
2.5731% 9/30/66 (d)	651,000		598,912
7.5% 6/30/66 (d)	567,000		572,670
MidAmerican Energy Holdings, Co.:
1.1% 5/15/17	1,000,000		999,379
2% 11/15/18	544,000		549,853
NiSource Finance Corp.:
3.85% 2/15/23	700,000		733,829
5.45% 9/15/20	43,000		49,215
6.4% 3/15/18	888,000		1,003,812
NSTAR 4.5% 11/15/19	2,500,000		2,750,268
PG&E Corp. 2.4% 3/1/19	74,000		74,776
Puget Energy, Inc. 6.5% 12/15/20	991,000		1,178,808
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
Sempra Energy:
2.3% 4/1/17	$ 4,935,000		$ 5,029,007
2.4% 3/15/20	852,000		856,493
Wisconsin Energy Corp. 6.25% 5/15/67 (d)	454,000		437,543
			23,493,156
TOTAL UTILITIES			64,219,730
TOTAL NONCONVERTIBLE BONDS (Cost $1,069,404,520)		1,079,683,946
U.S. Government and Government Agency Obligations - 8.0%
U.S. Government Agency Obligations - 1.3%
Federal Home Loan Bank 0.625% 11/23/16	5,775,000		5,784,049
Freddie Mac:
0.5% 1/27/17	11,320,000		11,300,609
0.75% 1/12/18	736,000		733,283
1% 9/29/17	1,871,000		1,877,960
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			19,695,901
U.S. Treasury Obligations - 6.7%
U.S. Treasury Notes:
0.5% 7/31/17	16,000,000		15,944,992
0.875% 10/15/17	36,230,000		36,331,879
1% 5/15/18	43,867,000		43,956,068
1.375% 3/31/20 (c)	9,683,000		9,645,178
TOTAL U.S. TREASURY OBLIGATIONS			105,878,117
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $125,313,133)		125,574,018
U.S. Government Agency - Mortgage Securities - 1.0%
	Principal Amount		Value
Fannie Mae - 0.6%
2.23% 1/1/40 (d)	$ 191,515		$ 205,340
2.271% 3/1/40 (d)	106,256		113,491
2.274% 11/1/36 (d)	173,325		184,651
2.31% 12/1/39 (d)	50,404		53,977
2.361% 4/1/35 (d)	424,988		452,499
2.384% 7/1/35 (d)	88,848		94,866
2.391% 12/1/33 (d)	737,515		790,755
2.456% 3/1/40 (d)	152,356		162,473
2.542% 6/1/42 (d)	66,418		68,900
2.691% 2/1/42 (d)	633,646		659,822
2.765% 1/1/42 (d)	549,336		572,825
2.96% 11/1/40 (d)	37,117		39,030
2.982% 9/1/41 (d)	44,251		46,483
3.059% 10/1/41 (d)	22,056		22,919
3.237% 7/1/41 (d)	73,735		78,191
3.308% 10/1/41 (d)	35,359		37,263
3.5% 7/1/26 to 10/1/29	4,424,223		4,728,221
3.554% 7/1/41 (d)	75,048		79,692
4.5% 3/1/35	42,257		46,368
6% 5/1/16 to 4/1/17	31,780		32,511
6.5% 5/1/16 to 8/1/36	618,490		714,353
7% 9/1/18 to 6/1/33	346,052		407,691
7.5% 8/1/17 to 3/1/28	117,379		137,847
8.5% 5/1/21 to 9/1/25	9,344		10,934
9.5% 2/1/25	647		717
10.5% 8/1/20	6,188		6,893
TOTAL FANNIE MAE			9,748,712
Freddie Mac - 0.4%
2.527% 2/1/40 (d)	176,318		189,496
3.133% 4/1/40 (d)	109,837		116,833
3.231% 9/1/41 (d)	42,721		44,881
3.242% 4/1/41 (d)	46,976		49,583
3.296% 6/1/41 (d)	54,388		57,611
3.47% 5/1/41 (d)	50,617		53,430
3.5% 8/1/26	3,415,658		3,640,744
3.502% 4/1/40 (d)	102,509		109,903
3.622% 6/1/41 (d)	78,734		83,622
3.705% 5/1/41 (d)	61,267		65,116
4.5% 8/1/18	258,970		269,984
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
5% 3/1/19	$ 460,296		$ 482,620
8.5% 9/1/24 to 8/1/27	32,180		38,805
TOTAL FREDDIE MAC			5,202,628
Ginnie Mae - 0.0%
7% 7/15/28 to 11/15/28	91,771		107,782
7.5% 2/15/28 to 10/15/28	3,604		4,337
8% 6/15/24	73		85
8.5% 10/15/21	25,974		29,788
11% 7/20/19 to 8/20/19	1,485		1,666
TOTAL GINNIE MAE			143,658
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $14,841,350)		15,094,998
Asset-Backed Securities - 10.1%
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6513% 4/25/35 (d)	56,669		50,632
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8348% 3/25/34 (d)	37,155		35,660
Ally Auto Receivables Trust Series 2015-SN1 Class A3, 1.21% 12/20/17	670,000		671,034
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	292,000		294,713
Series 2012-5 Class A, 1.54% 9/15/19	11,057,000		11,107,420
Series 2014-3 Class A, 1.33% 3/15/19	2,425,000		2,431,790
Series 2014-4 Class A2, 1.43% 6/17/19	3,870,000		3,886,177
Series 2014-5 Class A2, 1.6% 10/15/19	3,000,000		3,016,170
Series 2015-3 Class A, 1.6% 5/15/20	3,130,000		3,133,913
American Express Credit Account Master Trust:
Series 2013-3 Class A, 0.98% 5/15/19	906,000		907,727
Series 2014-3 Class A, 1.49% 4/15/20	2,000,000		2,015,298
Series 2014-4 Class A, 1.43% 6/15/20	3,780,000		3,798,787
AmeriCredit Automobile Receivables T Series 2014-4 Class A3, 1.27% 7/8/19	505,000		506,108
AmeriCredit Automobile Receivables Trust:
Series 2013-5 Class A3, 0.9% 9/10/18	714,000		714,740
Series 2014-2 Class A3, 0.94% 2/8/19	1,300,000		1,297,071
Asset-Backed Securities - continued
	Principal Amount		Value
Americredit Automobile Receivables Trust Series 2015-2 Class A3, 1.27% 1/8/20	$ 3,000,000		$ 2,998,578
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.2238% 12/25/33 (d)	5,767		5,323
Series 2004-R2 Class M3, 1.0063% 4/25/34 (d)	10,238		7,275
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9613% 3/25/34 (d)	4,092		3,828
Series 2004-W11 Class M2, 1.2348% 11/25/34 (d)	63,962		62,474
Series 2004-W7 Class M1, 1.0063% 5/25/34 (d)	185,706		177,983
Series 2006-W4 Class A2C, 0.3448% 5/25/36 (d)	132,829		47,798
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 1.0098% 4/25/34 (d)	149,421		136,763
Series 2006-HE2 Class M1, 0.5513% 3/25/36 (d)	2,959		246
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20	3,769,000		3,770,146
Bear Stearns Asset Backed Securities I Trust Series 2005-HE2 Class M2, 1.3098% 2/25/35 (d)	413,777		359,384
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	1,800,000		1,804,329
Capital Auto Receivables Asset Trust:
Series 2014-2 Class A2, 0.91% 4/20/17	1,000,000		1,001,121
Series 2014-3 Class A2, 1.18% 12/20/17	1,176,000		1,178,126
Series 2015-1 Class A2, 1.42% 6/20/18	1,807,000		1,813,977
Series 2015-2 Class A2, 1.39% 9/20/18	1,603,000		1,603,240
Capital One Multi-Asset Execution Trust:
Series 2013-A3 Class A3, 0.96% 9/16/19	2,365,000		2,368,838
Series 2014-A5 Class A, 1.48% 7/15/20	2,200,000		2,214,918
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (d)	205,465		136,390
Chase Issuance Trust Series 2015-A2, Class A, 1.59% 2/18/20	3,000,000		3,022,917
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (b)	3,000,000		2,999,742
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (b)	4,238,000		4,246,027
Series 2014-VT1 Class A3, 1.5% 10/21/19 (b)	1,640,000		1,642,408
Citibank Credit Card Issuance Trust Series 2014-A6 Class A6, 2.15% 7/15/21	1,390,000		1,410,387
CNH Equipment Trust Series 2014-C Class A2, 0.63% 12/15/17	3,000,000		3,001,161
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4348% 3/25/32 (MGIC Investment Corp. Insured) (d)	9,741		8,498
Asset-Backed Securities - continued
	Principal Amount		Value
Countrywide Home Loans, Inc.: - continued
Series 2004-3 Class M4, 1.6398% 4/25/34 (d)	$ 8,314		$ 7,077
Series 2004-4 Class M2, 0.9798% 6/25/34 (d)	9,327		8,451
Dell Equipment Finance Trust Series 2015-1 Class A3, 1.3% 3/23/20 (b)	4,490,000		4,488,240
Discover Card Master Trust Series 2014-A5 Class A, 1.39% 4/15/20	1,780,000		1,787,907
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (b)	1,589,088		1,589,461
Series 2014-2 Class A2, 1.05% 3/20/20 (b)	3,800,000		3,804,476
Series 2015-1 Class A2, 1.3% 9/20/20 (b)	2,822,000		2,826,795
Fannie Mae Series 2004-T5 Class AB3, 1.0669% 5/28/35 (d)	4,436		4,105
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3563% 8/25/34 (d)	33,155		30,843
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18	3,678,000		3,678,640
Ford Credit Auto Owner Trust:
Series 2014-2 Class A, 2.31% 4/15/26 (b)	3,299,000		3,351,259
Series 2015-1 Class A, 2.12% 7/15/26 (b)	2,785,000		2,800,710
Ford Credit Floorplan Master Owner Trust:
Series 2012-2 Class A, 1.92% 1/15/19	4,310,000		4,374,417
Series 2012-5 Class A, 1.49% 9/15/19	8,055,000		8,088,114
Series 2014-1 Class A1, 1.2% 2/15/19	3,500,000		3,508,127
Series 2014-4 Class A1, 1.4% 8/15/19	9,000,000		9,025,182
Series 2015-1 Class A1, 1.42% 1/15/20	6,000,000		6,004,458
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.9163% 1/25/35 (d)	81,136		68,580
Class M4, 1.2013% 1/25/35 (d)	39,567		25,311
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (b)(d)	171,904		160,377
GE Business Loan Trust:
Series 2003-1 Class A, 0.6156% 4/15/31 (b)(d)	3,862		3,862
Series 2006-2A:
Class A, 0.3656% 11/15/34 (b)(d)	117,653		112,546
Class B, 0.4656% 11/15/34 (b)(d)	42,688		39,573
Class C, 0.5656% 11/15/34 (b)(d)	70,453		59,885
Class D, 0.9356% 11/15/34 (b)(d)	26,724		21,981
GM Financial Automobile Leasing Trust:
Series 2014-2A Class A3, 1.22% 1/22/18 (b)	1,950,000		1,951,217
Series 2015-1 Class A3, 1.53% 9/20/18	2,398,000		2,406,081
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (b)	2,732,000		2,734,953
Asset-Backed Securities - continued
	Principal Amount		Value
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b)	$ 49,761		$ 1,653
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.5048% 8/25/33 (d)	34,489		32,482
Series 2003-3 Class M1, 1.4748% 8/25/33 (d)	39,961		38,406
Series 2003-5 Class A2, 0.8848% 12/25/33 (d)	2,817		2,686
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (d)	141,116		89,943
Hyundai Auto Lease Securitization Trust:
Series 2014-B Class A3, 0.98% 11/15/17 (b)	1,200,000		1,202,152
Series 2015-A Class A3, 1.42% 9/17/18 (b)	2,402,000		2,409,679
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.4813% 7/25/36 (d)	23,414		10,565
Series 2007-CH1 Class AV4, 0.3113% 11/25/36 (d)	68,716		68,165
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5986% 12/27/29 (d)	14,238		14,188
Series 2006-A Class 2C, 1.4186% 3/27/42 (d)	392,000		196,000
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4848% 5/25/37 (d)	42,628		414
Mercedes-Benz Master Owner Trust Series 2012-AA Class A, 0.79% 11/15/17 (b)	1,750,000		1,752,174
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9348% 7/25/34 (d)	15,215		11,603
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.1598% 7/25/34 (d)	44,962		40,955
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (d)	35,123		33,157
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (d)	187,089		180,507
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (d)	4,895		4,549
Series 2004-NC8 Class M6, 2.0563% 9/25/34 (d)	58,722		51,980
Series 2005-NC1 Class M1, 0.8448% 1/25/35 (d)	36,692		34,371
Series 2005-NC2 Class B1, 1.9363% 3/25/35 (d)	27,794		608
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6948% 9/25/35 (d)	162,650		142,638
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	2,500,000		2,503,875
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (d)	60,741		57,171
Class M4, 2.3598% 9/25/34 (d)	77,891		36,508
Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (d)	126,217		112,754
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (d)	582		545
Asset-Backed Securities - continued
	Principal Amount		Value
Santander Drive Auto Receivables Trust:
Series 2013-4 Class B, 2.16% 1/15/20	$ 280,000		$ 282,528
Series 2013-5 Class A3, 0.82% 2/15/18	1,906,532		1,907,228
Series 2014-4 Class B, 1.82% 5/15/19	774,000		774,968
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9688% 3/25/35 (d)	96,187		88,206
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2206% 6/15/33 (d)	82,845		80,285
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9098% 9/25/34 (d)	5,023		4,416
Synchrony Credit Card Master Note Trust:
Series 2015-1 Class A, 2.37% 3/15/23	2,681,000		2,718,641
Series 2015-2 Class A, 1.6% 4/15/21	3,040,000		3,046,655
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (d)	2,472		2,149
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8308% 4/6/42 (b)(d)	316,998		171,179
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (b)	3,104,000		3,117,732
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (b)	2,226,000		2,233,691
Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (b)(d)	203,978		203,616
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20	1,759,000		1,756,087
World Omni Automobile Lease Securitization Trust Series 2014-A Class A3, 1.16% 9/15/17	1,160,000		1,164,480
TOTAL ASSET-BACKED SECURITIES (Cost $157,643,284)		159,433,334
Collateralized Mortgage Obligations - 2.2%
Private Sponsor - 0.4%
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.5861% 5/27/35 (b)(d)	691,620		711,942
Granite Master Issuer PLC floater:
Series 2005-4 Class C2, 1.284% 12/20/54 (d)	25,291		24,843
Series 2006-1A:
Class A5, 0.324% 12/20/54 (b)(d)	568,305		564,725
Class C2, 1.384% 12/20/54 (b)(d)	578,000		568,810
Series 2006-2 Class C1, 1.124% 12/20/54 (d)	463,000		453,833
Series 2006-3 Class C2, 1.184% 12/20/54 (d)	128,000		125,619
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2006-4:
Class B1, 0.364% 12/20/54 (d)	$ 521,000		$ 513,602
Class C1, 0.944% 12/20/54 (d)	319,000		310,961
Class M1, 0.524% 12/20/54 (d)	137,000		133,233
Series 2007-1:
Class 1C1, 0.784% 12/20/54 (d)	258,000		249,280
Class 1M1, 0.484% 12/20/54 (d)	172,000		166,668
Class 2C1, 1.044% 12/20/54 (d)	117,000		114,578
Class 2M1, 0.684% 12/20/54 (d)	222,000		217,271
Series 2007-2 Class 2C1, 1.0434% 12/17/54 (d)	308,000		301,594
Granite Mortgages Series 2003-2 Class 1A3, 0.7751% 7/20/43 (d)	88,776		88,683
Granite Mortgages PLC floater:
Series 2003-3 Class 1C, 2.7251% 1/20/44 (d)	36,767		36,783
Series 2004-1 Class 2A1, 0.5903% 3/20/44 (d)	469,088		467,593
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (d)	35,891		33,622
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (d)	75,463		68,823
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.531% 6/10/35 (b)(d)	52,293		47,616
Class B6, 3.031% 6/10/35 (b)(d)	86,995		80,317
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (d)	2,734		2,681
TOTAL PRIVATE SPONSOR			5,283,077
U.S. Government Agency - 1.8%
Fannie Mae:
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	447,716		476,119
planned amortization class:
Series 2002-9 Class PC, 6% 3/25/17	7,031		7,264
Series 2015-28 Class P, 2.5% 5/25/45	8,650,682		8,854,167
sequential payer Series 2011-99 Class DV, 5% 1/25/26	2,881,187		3,044,634
Series 2010-123 Class DL, 3.5% 11/25/25	107,347		110,470
Series 2010-143 Class B, 3.5% 12/25/25	197,803		204,994
Series 2014-57 Class A, 3% 9/25/44	2,553,175		2,640,703
Series 2015-28 Class JE, 3% 5/25/45	7,063,820		7,361,676
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Freddie Mac:
planned amortization class:
Series 2356 Class GD, 6% 9/15/16	$ 21,870		$ 22,455
Series 2363 Class PF, 6% 9/15/16	21,129		21,624
Series 3820 Class DA, 4% 11/15/35	339,934		361,015
Series 4176 Class BA, 3% 2/15/33	481,906		500,312
Series 3777 Class AC, 3.5% 12/15/25	602,615		638,710
Series 3949 Class MK, 4.5% 10/15/34	274,656		299,040
Series 4181 Class LA, 3% 3/15/37	702,589		730,260
Series 4472 Class WL, 3% 5/15/45	3,255,000		3,372,994
Ginnie Mae guaranteed REMIC pass-thru certificates floater sequential payer Series 2011-150 Class D, 3% 4/20/37	38,666		39,236
TOTAL U.S. GOVERNMENT AGENCY			28,685,673
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $31,240,747)		33,968,750
Commercial Mortgage Securities - 8.1%
7 WTC Depositor LLC Trust Series 2012-7WTC Class A, 4.0824% 3/13/31 (b)	539,093		554,811
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (d)(f)	56,303		854
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2:
Class A4, 5.9166% 5/10/45 (d)	4,968,000		5,083,372
Class AAB, 5.8986% 5/10/45 (d)	6,360		6,360
Series 2006-3 Class A4, 5.889% 7/10/44	1,614,739		1,669,068
Series 2006-6 Class A3, 5.369% 10/10/45	432,000		436,978
Series 2006-4 Class A1A, 5.617% 7/10/46 (d)	835,125		869,028
Series 2006-6 Class E, 5.619% 10/10/45 (b)	125,000		18,771
Series 2007-2 Class A4, 5.7822% 4/10/49 (d)	3,713,000		3,907,907
Series 2007-3:
Class A3, 5.7354% 6/10/49 (d)	256,836		256,699
Class A4, 5.7354% 6/10/49 (d)	721,000		764,313
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.38% 5/15/32 (b)(d)	2,015,000		2,011,079
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.4598% 12/25/33 (b)(d)	$ 3,999		$ 3,599
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (b)(d)	92,488		82,189
Class B1, 1.5848% 1/25/36 (b)(d)	3,843		2,289
Class M1, 0.6348% 1/25/36 (b)(d)	29,835		23,952
Class M2, 0.6548% 1/25/36 (b)(d)	8,951		6,992
Class M3, 0.6848% 1/25/36 (b)(d)	13,071		9,745
Class M4, 0.7948% 1/25/36 (b)(d)	7,229		5,263
Class M5, 0.8348% 1/25/36 (b)(d)	7,229		5,199
Class M6, 0.8848% 1/25/36 (b)(d)	7,678		5,028
Series 2006-3A Class M4, 0.6148% 10/25/36 (b)(d)	4,757		503
Series 2007-1 Class A2, 0.4548% 3/25/37 (b)(d)	63,918		53,769
Series 2007-2A:
Class A1, 0.4548% 7/25/37 (b)(d)	65,437		57,170
Class A2, 0.5048% 7/25/37 (b)(d)	61,178		51,755
Class M1, 0.5548% 7/25/37 (b)(d)	21,483		16,138
Class M2, 0.5948% 7/25/37 (b)(d)	11,606		7,463
Class M3, 0.6748% 7/25/37 (b)(d)	8,867		3,537
Series 2007-3:
Class A2, 0.4748% 7/25/37 (b)(d)	58,182		48,606
Class M1, 0.4948% 7/25/37 (b)(d)	12,907		9,798
Class M2, 0.5248% 7/25/37 (b)(d)	13,847		9,255
Class M3, 0.5548% 7/25/37 (b)(d)	21,362		8,628
Class M4, 0.6848% 7/25/37 (b)(d)	33,800		9,732
Class M5, 0.7848% 7/25/37 (b)(d)	16,225		2,719
Series 2007-4A Class M1, 1.1313% 9/25/37 (b)(d)	25,325		5,174
Series 2007-5A, Class IO, 4.186% 10/25/37 (b)(d)(f)	577,562		7,164
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2006-PW13 Class A1A, 5.533% 9/11/41	756,160		788,925
Series 2006-PW14 Class A1A, 5.189% 12/11/38	363,442		381,688
Series 2006-T22 Class A1A, 5.7581% 4/12/38 (d)	782,971		801,936
Series 2006-PW12 Class A1A, 5.8805% 9/11/38 (d)	667,148		689,509
Series 2007-PW18 Class X2, 0.4438% 6/11/50 (b)(d)(f)	9,943,581		22,105
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bear Stearns Commercial Mortgage Securities Trust: - continued
Series 2007-T28 Class X2, 0.3068% 9/11/42 (b)(d)(f)	$ 6,193,122		$ 4,614
C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (b)(d)	38,801		36,813
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	864,555		932,840
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.5745% 12/15/27 (b)(d)	5,000,000		5,009,400
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class A, 2.808% 4/10/28 (b)	5,000,000		5,123,524
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	1,482,000		1,549,908
Series 2015-GC29 Class A2, 2.67% 4/10/48	1,388,000		1,425,609
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-CD2 Class A4, 5.4787% 1/15/46 (d)	492,619		497,249
Series 2006-CD3 Class A5, 5.617% 10/15/48	260,352		270,561
Series 2007-CD4 Class A3, 5.293% 12/11/49	19,613		19,760
Series 2006-CD2 Class A1B, 5.4797% 1/15/46 (d)	1,257,879		1,279,589
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (d)	241,000		235,548
COMM Mortgage Trust:
floater Series 2014-KYO Class A, 1.08% 6/11/27 (b)(d)	1,500,000		1,498,100
Series 2013-LC6 Class ASB, 2.478% 1/10/46	1,180,000		1,196,075
Series 2014-CR15 Class A2, 2.928% 2/10/47	884,000		920,367
Series 2014-CR17 Class A2, 3.012% 5/10/47	790,000		823,287
Series 2014-CR20 Class A2, 2.801% 11/10/47	987,000		1,021,115
Series 2014-UBS3 Class A2, 2.844% 6/10/47	1,960,000		2,030,991
Series 2015-CR22 Class A2, 2.856% 3/10/48	953,000		986,101
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.0356% 4/15/17 (b)(d)	14,378		14,381
sequential payer:
Series 2006-C7 Class A1A, 5.9288% 6/10/46 (d)	1,027,460		1,062,078
Series 2006-C8:
Class A1A, 5.292% 12/10/46	1,163,187		1,228,199
Class A4, 5.306% 12/10/46	1,213,455		1,271,537
Series 2006-C7 Class A4, 5.9398% 6/10/46 (d)	1,135,626		1,168,515
Commercial Mortgage Securities - continued
	Principal Amount		Value
Credit Suisse Commercial Mortgage Trust sequential payer:
Series 2007-C2 Class A3, 5.542% 1/15/49 (d)	$ 432,000		$ 457,396
Series 2007-C3 Class A4, 5.8901% 6/15/39 (d)	73,506		78,326
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (b)(d)(f)	438		0
CSMC Series 2015-TOWN:
Class B, 2.0815% 3/15/17 (b)(d)	264,000		264,178
Class C, 2.4315% 3/15/17 (b)(d)	257,000		257,173
Class D, 3.3815% 3/15/17 (b)(d)	389,000		389,260
CSMC Trust floater Series 2014-ICE:
Class A, 0.976% 4/15/27 (b)(d)	810,000		807,449
Class B, 1.376% 4/15/27 (b)(d)	711,000		708,312
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.981% 12/5/31 (b)(d)	455,060		453,713
Class A2FL, 0.881% 12/5/31 (b)(d)	630,000		627,486
GAHR Commercial Mortgage Trust:
floater Series 2015-NRF Class AFL1, 1.4815% 12/15/16 (b)(d)	3,605,000		3,614,285
Series 2015-NRF:
Class BFX, 3.3822% 12/15/19 (b)	2,358,850		2,408,605
Class CFX, 3.3822% 12/15/19 (b)	1,059,000		1,063,543
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	1,903,000		1,990,593
Series 2006-C1 Class A1A, 5.4499% 3/10/44 (d)	478,834		486,431
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	996,541		1,051,638
GS Mortgage Securities Corp. II Series 2006-GG6:
Class A1A, 5.556% 4/10/38 (d)	422,872		428,549
Class A4, 5.553% 4/10/38 (d)	1,741,000		1,755,527
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (b)	150,000		152,527
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1815% 7/15/31 (b)(d)	487,000		487,210
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	435,234		456,254
Class A4, 5.56% 11/10/39	4,066,794		4,238,116
Series 2012-GC6 Class A1, 1.282% 1/10/45	48,630		48,743
Hilton U.S.A. Trust:
floater Series 2013-HLF Class AFL, 1.1735% 11/5/30 (b)(d)	478,936		479,347
Commercial Mortgage Securities - continued
	Principal Amount		Value
Hilton U.S.A. Trust: - continued
Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (b)	$ 110,000		$ 111,436
Class DFX, 4.4065% 11/5/30 (b)	1,039,000		1,055,712
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class E, 0.4656% 11/15/18 (b)(d)	16,712		16,541
Class F, 0.5156% 11/15/18 (b)(d)	44,014		42,787
Class G, 0.5456% 11/15/18 (b)(d)	38,259		36,911
Class H, 0.6856% 11/15/18 (b)(d)	29,463		28,288
Series 2014-BXH Class A, 1.0856% 4/15/27 (b)(d)	1,100,000		1,100,229
Series 2014-FL5 Class A, 1.1615% 7/15/31 (b)(d)	1,700,000		1,696,017
sequential payer:
Series 2006-CB16 Class A4, 5.552% 5/12/45	1,910,594		1,965,839
Series 2006-LDP8:
Class A1A, 5.397% 5/15/45	97,386		101,199
Class A4, 5.399% 5/15/45	2,396,182		2,479,511
Series 2007-LD11 Class A4, 5.9618% 6/15/49 (d)	29,781		31,636
Series 2007-LDPX Class A3, 5.42% 1/15/49	554,506		585,049
Series 2006-LDP7 Class A1A, 6.057% 4/15/45 (d)	978,968		1,019,645
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	1,904,710		1,926,957
Series 2006-C6 Class A4, 5.372% 9/15/39	233,000		243,146
Series 2006-C7:
Class A1A, 5.335% 11/15/38	2,232,894		2,346,576
Class A2, 5.3% 11/15/38	88,095		88,765
Series 2007-C1 Class A4, 5.424% 2/15/40	3,043,693		3,211,385
Series 2007-C2 Class A3, 5.43% 2/15/40	84,810		89,897
Series 2006-C6 Class A1A, 5.342% 9/15/39 (d)	1,117,188		1,166,007
Series 2007-C7 Class A3, 5.866% 9/15/45	1,246,989		1,361,423
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A1A, 5.4484% 11/12/37 (d)	223,934		226,406
Series 2005-LC1 Class F, 5.6028% 1/12/44 (b)(d)	188,000		185,540
Series 2006-C2 Class A1A, 5.739% 8/12/43 (d)	681,268		711,002
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (d)	35,073		35,434
Series 2007-5 Class A4, 5.378% 8/12/48	4,894,102		5,114,812
Series 2007-6 Class B, 5.635% 3/12/51 (d)	216,000		67,355
Series 2007-7 Class B, 5.9342% 6/12/50 (d)	7,779		364
Commercial Mortgage Securities - continued
	Principal Amount		Value
Morgan Stanley BAML Trust Series 2014-C14 Class A2, 2.916% 2/15/47	$ 817,000		$ 849,177
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.386% 7/15/19 (b)(d)	40,774		40,802
Series 2007-XLFA:
Class D, 0.3715% 10/15/20 (b)(d)	75,734		75,110
Class E, 0.4315% 10/15/20 (b)(d)	95,138		94,139
Class F, 0.4815% 10/15/20 (b)(d)	57,094		56,343
Class G, 0.5215% 10/15/20 (b)(d)	70,577		69,229
Class H, 0.6115% 10/15/20 (b)(d)	44,426		42,689
Class J, 0.7615% 10/15/20 (b)(d)	25,649		23,363
sequential payer Series 2007-IQ13 Class A1A, 5.312% 3/15/44	351,649		372,801
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (d)	1,080,719		1,113,348
Series 2006-IQ11 Class A1A, 5.8201% 10/15/42 (d)	825,131		845,080
Series 2007-IQ14 Class A4, 5.692% 4/15/49	1,195,000		1,270,498
Series 2007-T27 Class A1A, 5.8266% 6/11/42 (d)	945,520		1,014,872
Providence Place Group Ltd. Partnership sequential payer Series 2000-C1 Class A1, 7.75% 7/20/16 (b)	35,784		36,822
SCG Trust Series 2013-SRP1 Class A, 1.5815% 11/15/26 (b)(d)	2,027,000		2,027,833
UBS Commercial Mortgage Trust Series 2012-C1 Class A2, 2.18% 5/10/45	520,000		528,355
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A:
Class G, 0.5456% 9/15/21 (b)(d)	18,014		17,752
Class J, 0.7856% 9/15/21 (b)(d)	45,086		42,795
sequential payer:
Series 2006-C29:
Class A1A, 5.297% 11/15/48	1,664,884		1,753,848
Class A4, 5.308% 11/15/48	565,512		590,776
Series 2007-C30 Class A5, 5.342% 12/15/43	5,468,000		5,765,126
Series 2007-C32 Class A3, 5.9027% 6/15/49 (d)	367,000		390,514
Series 2007-C33:
Class A4, 6.1503% 2/15/51 (d)	3,229,229		3,406,552
Class A5, 6.1503% 2/15/51 (d)	143,000		155,264
Series 2006-C23 Class A1A, 5.422% 1/15/45	2,156,914		2,194,865
Series 2006-C24 Class A1A, 5.557% 3/15/45 (d)	671,167		686,252
Series 2006-C25 Class A1A, 5.7074% 5/15/43 (d)	762,792		786,691
Series 2006-C26 Class A1A, 6.009% 6/15/45 (d)	827,438		859,212
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust: - continued
Series 2006-C27:
Class A1A, 5.749% 7/15/45 (d)	$ 442,069		$ 459,689
Class A3, 5.765% 7/15/45 (d)	756,097		780,885
Series 2007-C31 Class C, 5.8609% 4/15/47 (d)	59,000		57,831
Series 2007-C31A Class A2, 5.421% 4/15/47	67,273		67,219
WF-RBS Commercial Mortgage Trust Series 2013-C11 Class ASB, 2.63% 3/15/45	1,310,000		1,340,182
WFCG Commercial Mortgage Trust floater Series 2015-BXRP Class A, 1.322% 11/15/29 (b)(d)	2,000,000		1,998,188
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $128,102,175)		127,869,863
Municipal Securities - 0.1%
Illinois Gen. Oblig.:
Series 2011, 5.877% 3/1/19	1,575,000		1,709,663
Series 2013, 2.69% 12/1/17	500,000		497,135
TOTAL MUNICIPAL SECURITIES (Cost $2,230,751)		2,206,798
Foreign Government and Government Agency Obligations - 0.3%
Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (b)	520,000		527,150
6.369% 6/16/18 (b)	962,000		1,037,998
Brazilian Federative Republic 6% 1/17/17	2,000,000		2,143,000
New Brunswick Province 2.75% 6/15/18	1,300,000		1,360,047
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $5,003,192)		5,068,195
Supranational Obligations - 0.0%
International Bank for Reconstruction & Development 1% 6/15/18 (Cost $425,292)	426,000		425,840
Bank Notes - 0.2%
	Principal Amount		Value
Fifth Third Bank:
1.45% 2/28/18	$ 580,000		$ 577,829
2.875% 10/1/21	2,000,000		2,004,386
Union Bank NA 2.125% 6/16/17	700,000		710,685
TOTAL BANK NOTES (Cost $3,269,199)		3,292,900

Fixed-Income Funds - 1.0%
	Shares
Fidelity Specialized High Income Central Fund (e) (Cost $16,240,808)	156,089		16,543,896
Money Market Funds - 1.1%
Fidelity Cash Central Fund, 0.15% (a) (Cost $16,852,215)	16,852,215		16,852,215
TOTAL INVESTMENT PORTFOLIO - 100.4% (Cost $1,570,566,666)			1,586,014,753
NET OTHER ASSETS (LIABILITIES) - (0.4)%			(6,062,863)
NET ASSETS - 100%		$ 1,579,951,890

Swaps
Credit Default Swaps
Underlying Reference	Rating(1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/ (Paid)	Notional Amount (2)	Value (1)	Upfront Premium Received/ (Paid)	Unrealized Appreciation/ (Depreciation)
Sell Protection
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	$ 32,233	$ (7,289)	$ -	$ (7,289)

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

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

Legend

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

(b) Security 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 $238,471,503 or 15.1% of net assets.

(c) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $120,527.

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

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

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

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	$ 40,199
Fidelity Specialized High Income Central Fund	439,624
Total	$ 479,823

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

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Specialized High Income Central Fund	$ 11,259,497	$ 5,448,708	$ -	$ 16,543,896	2.1%

Other Information

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

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 1,079,683,946	$ -	$ 1,079,683,946	$ -
U.S. Government and Government Agency Obligations	125,574,018	-	125,574,018	-
U.S. Government Agency - Mortgage Securities	15,094,998	-	15,094,998	-
Asset-Backed Securities	159,433,334	-	159,262,155	171,179
Collateralized Mortgage Obligations	33,968,750	-	33,968,750	-
Commercial Mortgage Securities	127,869,863	-	127,846,500	23,363
Municipal Securities	2,206,798	-	2,206,798	-
Foreign Government and Government Agency Obligations	5,068,195	-	5,068,195	-
Supranational Obligations	425,840	-	425,840	-
Bank Notes	3,292,900	-	3,292,900	-
Fixed-Income Funds	16,543,896	16,543,896	-	-
Money Market Funds	16,852,215	16,852,215	-	-
Total Investments in Securities:	$ 1,586,014,753	$ 33,396,111	$ 1,552,424,100	$ 194,542
Derivative Instruments:
Liabilities
Swaps	$ (7,289)	$ -	$ (7,289)	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $1,574,537,225. Net unrealized appreciation aggregated $11,477,528, of which $16,096,028 related to appreciated investment securities and $4,618,500 related to depreciated investment securities.

Investment Valuation

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

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

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

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

Credit Risk.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity Advisor® Mortgage
Securities Fund

May 31, 2015

1.804866.111

AMOR-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

U.S. Government Agency - Mortgage Securities - 95.0%
	Principal Amount (000s)		Value (000s)
Fannie Mae - 52.0%
1.814% 9/1/36 (e)	$ 89		$ 92
2.045% 1/1/35 (e)	212		223
2.053% 6/1/36 (e)	43		46
2.058% 4/1/37 (e)	132		140
2.094% 5/1/36 (e)	224		237
2.138% 3/1/36 (e)	182		193
2.142% 9/1/36 (e)	96		102
2.215% 8/1/35 (e)	324		347
2.253% 4/1/36 (e)	151		162
2.271% 3/1/40 (e)	230		245
2.274% 11/1/36 (e)	45		48
2.286% 7/1/35 (e)	6		6
2.318% 7/1/35 (e)	51		54
2.372% 5/1/36 (e)	47		50
2.375% 10/1/36 (e)	172		184
2.421% 10/1/33 (e)	44		47
2.432% 6/1/36 (e)	514		551
2.458% 3/1/35 (e)	30		32
2.5% 2/1/30 to 9/1/43	30,600		31,025
2.53% 9/1/37 (e)	29		31
2.691% 2/1/42 (e)	762		794
2.765% 1/1/42 (e)	701		731
2.992% 8/1/41 (e)	500		521
3% 10/1/42 to 3/1/44	52,498		53,344
3% 6/1/45 (b)	14,800		14,990
3% 6/1/45 (b)	6,600		6,685
3% 6/1/45 (b)	5,900		5,976
3% 6/1/45 (b)	3,800		3,849
3% 6/1/45 (b)	9,202		9,320
3% 6/1/45 (b)	9,098		9,215
3.357% 9/1/41 (e)	154		165
3.461% 12/1/40 (e)	7,045		7,496
3.5% 6/1/30 (b)	1,300		1,379
3.5% 1/1/34 to 8/1/43	64,934		68,104
3.5% 6/1/45 (b)	2,800		2,924
3.5% 6/1/45 (b)	20,100		20,992
3.5% 6/1/45 (b)	9,500		9,922
3.5% 7/1/45 (b)	9,500		9,894
3.5% 7/1/45 (b)	20,100		20,933
3.5% 7/1/45 (b)	2,800		2,916
4% 11/1/26 to 4/1/45	74,413		79,926
4% 6/1/45 (b)	46,600		49,753
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
4% 6/1/45 (b)	$ 7,600		$ 8,114
4.5% 5/1/25 to 2/1/45 (d)	75,722		82,569
4.5% 6/1/45 (b)	13,300		14,460
4.5% 6/1/45 (b)	4,200		4,566
5% 5/1/20 to 10/1/41	2,576		2,887
5.5% 2/1/18 to 4/1/39	4,173		4,734
5.565% 8/1/46 (e)	44		47
6.5% 3/1/16 to 5/1/38	1,890		2,155
7% 12/1/15 to 5/1/30	1,089		1,259
7.5% 8/1/22 to 9/1/32	675		805
8% 12/1/29 to 3/1/37	15		18
8.5% 1/1/16 to 7/1/31	92		105
9% 10/1/30	202		252
9.5% 7/1/16 to 8/1/22	7		8
			535,623
Freddie Mac - 17.3%
1.82% 3/1/35 (e)	109		113
2.05% 6/1/37 (e)	30		32
2.055% 11/1/35 (e)	307		327
2.095% 8/1/37 (e)	77		82
2.105% 3/1/36 (e)	296		312
2.121% 5/1/37 (e)	75		80
2.333% 4/1/37 (e)	99		107
2.356% 5/1/34 (e)	8		9
2.385% 6/1/37 (e)	27		29
2.402% 10/1/42 (e)	834		879
2.415% 6/1/37 (e)	292		314
2.448% 6/1/37 (e)	534		569
2.461% 6/1/33 (e)	785		842
2.545% 7/1/36 (e)	86		93
2.595% 4/1/37 (e)	9		9
2.757% 12/1/36 (e)	398		427
2.78% 10/1/36 (e)	14		15
3% 11/1/42 to 6/1/43	15,402		15,641
3.08% 9/1/41 (e)	744		779
3.115% 10/1/35 (e)	51		55
3.422% 12/1/40 (e)	3,124		3,304
3.5% 4/1/42 to 8/1/43	40,913		42,808
3.5% 6/1/45 (b)	17,700		18,449
4% 2/1/41 to 8/1/44	30,292		32,551
4.5% 7/1/25 to 8/1/44 (d)	13,316		14,513
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
5% 7/1/33 to 7/1/41 (c)	$ 16,942		$ 19,029
5.5% 10/1/17 to 10/1/39	12,431		14,020
6% 5/1/16 to 6/1/39	2,895		3,276
6.5% 2/1/16 to 9/1/39	4,632		5,282
7% 6/1/21 to 9/1/36	1,564		1,827
7.5% 6/1/15 to 7/1/34	1,994		2,330
8% 11/1/16 to 1/1/37	19		23
8.5% 8/1/16 to 9/1/20	3		4
9% 9/1/16 to 5/1/21	15		16
10% 1/1/16 to 12/1/18	1		1
			178,147
Ginnie Mae - 25.7%
3% 6/15/42 to 5/15/45	23,238		23,825
3% 6/1/45 (b)	32,100		32,866
3.5% 3/15/42 to 5/20/45	45,940		48,259
3.5% 6/1/45 (b)	17,000		17,845
3.5% 6/1/45 (b)	20,000		20,994
3.5% 7/1/45 (b)	17,000		17,796
4% 7/20/33 to 10/15/42	28,524		30,701
4% 6/1/45 (b)	10,200		10,861
4% 6/1/45 (b)	1,400		1,491
4.5% 8/15/33 to 5/20/41	37,657		41,459
5% 9/20/33 to 6/15/41	11,559		13,086
5.5% 10/15/33 to 9/15/39	3,271		3,764
6.5% 10/15/34 to 7/15/36	189		220
7% 2/15/24 to 4/20/32	930		1,098
7.5% 12/15/21 to 12/15/29	345		406
8% 6/15/21 to 12/15/25	200		234
8.5% 1/15/17 to 10/15/28	168		199
9% 11/20/17	1		1
10.5% 10/20/17 to 2/20/18	3		3
			265,108
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $963,444)		978,878
Asset-Backed Securities - 5.5%
American Credit Acceptance Receivables Trust:
Series 2013-2 Class A, 1.32% 2/15/17 (a)	66		66
Series 2014-1 Class A, 1.14% 3/12/18 (a)	872		872
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Carnow Auto Receivables Trust Series 2014-1A Class A, 0.96% 1/17/17 (a)	$ 2,278		$ 2,276
CFC LLC:
Series 2013-1A Class A, 1.65% 7/17/17 (a)	11		11
Series 2013-2A Class A, 1.75% 11/15/17 (a)	2,319		2,322
Series 2014-1A Class A, 1.46% 12/17/18 (a)	2,919		2,915
Chase Funding Mortgage Loan Asset-Backed Certificates Series 2003-3 Class 1A5, 4.66% 3/25/33	4,271		4,371
CPS Auto Receivables Trust:
Series 2013-C Class A, 1.64% 4/16/18 (a)	1,539		1,541
Series 2013-D Class A, 1.54% 7/16/18 (a)	2,303		2,304
Exeter Automobile Receivables Trust: Series 2014-2A Class A, 1.06% 8/15/18 (a)	1,905		1,902
Series 2015-2A Class A, 1.54% 11/15/19 (a)	10,800		10,777
GSAMP Trust:
Series 2004-AR1 Class B4, 5.5% 6/25/34 (a)	75		2
Series 2004-AR2 Class B1, 3.0348% 8/25/34 (e)	9		0*
JPMorgan Mortgage Acquisition Trust:
Series 2007-CH1 Class AF3, 5.532% 11/25/36	1,756		1,788
Series 2007-CH4 Class A3, 0.2948% 2/25/32 (e)	2,763		2,744
Merrill Lynch Mortgage Investors Trust Series 2006-FF1 Class M2, 0.4748% 8/25/36 (e)	5,300		4,997
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (a)	8,653		8,699
Stanwich Mortgage Loan Trust Series 2013-NPL1 Class A, 2.9814% 2/16/43 (a)	1,245		1,244
Structured Asset Securities Corp. Series 2005-NC2 Class M3, 0.6148% 5/25/35 (e)	1,995		1,912
Truman Capital Mortgage Loan Trust Series 2014-NPL2 Class A1, 3.125% 6/25/54 (a)	487		485
Vericrest Opportunity Loan Trust:
Series 2014-NP11 Class A1, 3.875% 4/25/55 (a)	1,388		1,393
Series 2014-NPL7 Class A1, 3.125% 8/27/57 (a)	3,397		3,402
TOTAL ASSET-BACKED SECURITIES (Cost $56,615)		56,023
Collateralized Mortgage Obligations - 14.2%
Private Sponsor - 6.8%
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.311% 6/27/36 (a)(e)	9,260		8,879
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.4381% 4/26/36 (a)(e)	494		481
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
BCAP LLC Trust sequential payer Series 2010-RR11 Class 6A1, 2.5822% 3/27/36 (a)(e)	$ 4,013		$ 3,996
Citigroup Mortgage Loan Trust sequential payer:
Series 2012-A Class A, 2.5% 6/25/51 (a)	3,906		3,839
Series 2014-8 Class 2A1, 3.45% 6/27/37 (a)(e)	7,955		8,047
Credit Suisse Commercial Mortgage Trust:
floater Series 2010-15R Class 5A5, 0.5338% 11/26/35 (a)(e)	5,500		5,332
Series 2014-15R Class 7A3, 1.0097% 10/26/37 (a)(e)	3,447		3,370
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.5861% 5/27/35 (a)(e)	646		665
CSMC:
floater Series 2015-1R Class 6A1, 0.4613% 5/27/37 (a)(e)	5,125		4,755
Series 2014-3R Class 2A1, 0.8738% 5/27/37 (a)(e)	1,637		1,544
FDIC Trust Series 2013-N1 Class A, 4.5% 10/25/18 (a)	962		965
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.551% 10/25/34 (e)	402		403
Granite Master Issuer PLC floater Series 2007-1 Class 1B1, 0.324% 12/20/54 (e)	6,767		6,670
Granite Mortgages floater Series 2003-2 Class 1B, 1.2551% 7/20/43 (e)	3,201		3,204
JPMorgan Re-REMIC Trust floater Series 2009-5 Class 2A1, 1.7802% 1/26/37 (a)(e)	472		470
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (e)	295		277
MASTR Alternative Loan Trust Series 2004-6 Class 5A1, 5.4611% 7/25/19 (e)	1,700		1,739
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (e)	1,504		1,371
Morgan Stanley Re-REMIC Trust Series 2010-R6 Class 1A, 2.6101% 2/26/37 (a)(e)	4,214		4,267
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5122% 4/25/33 (e)	202		202
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 0.8248% 9/25/43 (e)	355		343
WaMu Mortgage pass-thru certificates sequential payer:
Series 2002-S8 Class 2A7, 5.25% 1/25/18	287		291
Series 2003-MS5 Class 1A1, 5% 3/25/18	317		324
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Wells Fargo Mortgage Backed Securities Trust:
Series 2003-I Class A1, 2.4955% 9/25/33 (e)	$ 1,100		$ 1,096
Series 2005-AR10 Class 2A15, 2.629% 6/25/35 (e)	6,250		6,352
Series 2005-AR2 Class 1A2, 2.6164% 3/25/35 (e)	262		242
Series 2006-AR10 Class 3A1, 2.6964% 7/25/36 (e)	1,198		1,186
TOTAL PRIVATE SPONSOR			70,310
U.S. Government Agency - 7.4%
Fannie Mae:
floater:
Series 2003-118 Class S, 7.9153% 12/25/33 (e)(g)(h)	394		93
Series 2007-57 Class FA, 0.4148% 6/25/37 (e)	1,696		1,696
planned amortization class:
Series 1994-23 Class PZ, 6% 2/25/24	2,371		2,627
Series 1999-17 Class PG, 6% 4/25/29	758		834
Series 1999-32 Class PL, 6% 7/25/29	654		721
Series 1999-33 Class PK, 6% 7/25/29	407		450
Series 2001-52 Class YZ, 6.5% 10/25/31	49		56
Series 2005-39 Class TE, 5% 5/25/35	1,103		1,223
Series 2005-73 Class SA, 17.0697% 8/25/35 (e)(h)	101		127
Series 2006-105 Class MD, 5.5% 6/25/35	587		599
Series 2011-35 Class PA, 4% 2/25/39	486		499
sequential payer:
Series 2001-20 Class Z, 6% 5/25/31	724		799
Series 2001-31 Class ZC, 6.5% 7/25/31	327		379
Series 2002-16 Class ZD, 6.5% 4/25/32	109		128
Series 2002-74 Class SV, 7.3653% 11/25/32 (e)(g)	259		48
Series 2002-79 Class Z, 5.5% 11/25/22	365		412
Series 2012-67 Class AI, 4.5% 7/25/27 (g)	995		134
Series 06-116 Class SG, 6.4553% 12/25/36 (e)(g)(h)	259		49
Series 07-40 Class SE, 6.2553% 5/25/37 (e)(g)(h)	161		26
Series 1993-165 Class SH, 19.2772% 9/25/23 (e)(h)	37		51
Series 2003-21 Class SK, 7.9153% 3/25/33 (e)(g)(h)	130		35
Series 2003-35 Class TQ, 7.3153% 5/25/18 (e)(g)(h)	61		4
Series 2007-57 Class SA, 39.5115% 6/25/37 (e)(h)	508		1,015
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Fannie Mae: - continued
Series 2007-66:
Class FB, 0.5848% 7/25/37 (e)	$ 889		$ 895
Class SB, 38.4915% 7/25/37 (e)(h)	164		310
Series 2008-12 Class SG, 6.1653% 3/25/38 (e)(g)(h)	887		162
Series 2009-114 Class AI, 5% 12/25/23 (g)	318		14
Series 2009-16 Class SA, 6.0653% 3/25/24 (e)(g)(h)	248		10
Series 2009-76 Class MI, 5.5% 9/25/24 (g)	202		10
Series 2009-85 Class IB, 4.5% 8/25/24 (g)	109		9
Series 2009-93 Class IC, 4.5% 9/25/24 (g)	165		13
Series 2010-12 Class AI, 5% 12/25/18 (g)	647		36
Series 2010-135 Class LS, 5.8653% 12/25/40 (e)(g)(h)	793		139
Series 2010-139 Class NI, 4.5% 2/25/40 (g)	1,031		146
Series 2010-23:
Class AI, 5% 12/25/18 (g)	273		14
Class HI, 4.5% 10/25/18 (g)	190		10
Series 2010-29 Class LI, 4.5% 6/25/19 (g)	586		28
Series 2010-97 Class CI, 4.5% 8/25/25 (g)	350		26
Series 2011-67 Class AI, 4% 7/25/26 (g)	274		30
Series 2011-83 Class DI, 6% 9/25/26 (g)	400		55
Series 2013-N1 Class A, 6.5353% 6/25/35 (e)(g)(h)	810		175
Fannie Mae Stripped Mortgage-Backed Securities:
Series 339 Class 29, 5.5% 8/25/18 (g)	175		10
Series 348 Class 14, 6.5% 8/25/34 (e)(g)	211		47
Series 351:
Class 12, 5.5% 4/25/34 (e)(g)	148		29
Class 13, 6% 3/25/34 (g)	196		40
Series 359 Class 19, 6% 7/25/35 (e)(g)	140		30
Series 384 Class 6, 5% 7/25/37 (g)	512		100
Freddie Mac:
planned amortization class:
Series 2095 Class PE, 6% 11/15/28	805		892
Series 2104 Class PG, 6% 12/15/28	240		264
Series 2121 Class MG, 6% 2/15/29	336		370
Series 2154 Class PT, 6% 5/15/29	545		602
Series 2162 Class PH, 6% 6/15/29	89		98
Series 2520 Class BE, 6% 11/15/32	418		462
Series 2585 Class KS, 7.4185% 3/15/23 (e)(g)(h)	43		7
Series 2693 Class MD, 5.5% 10/15/33	7,290		8,272
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Freddie Mac: - continued
planned amortization class:
Series 2802 Class OB, 6% 5/15/34	$ 2,081		$ 2,334
Series 3002 Class NE, 5% 7/15/35	680		753
Series 3189 Class PD, 6% 7/15/36	610		704
Series 3415 Class PC, 5% 12/15/37	219		237
Series 3786 Class HI, 4% 3/15/38 (g)	947		113
Series 3806 Class UP, 4.5% 2/15/41	1,519		1,652
Series 3832 Class PE, 5% 3/15/41	960		1,102
Series 70 Class C, 9% 9/15/20	9		9
sequential payer:
Series 2114 Class ZM, 6% 1/15/29	115		126
Series 2135 Class JE, 6% 3/15/29	407		449
Series 2274 Class ZM, 6.5% 1/15/31	182		211
Series 2281 Class ZB, 6% 3/15/30	156		171
Series 2357 Class ZB, 6.5% 9/15/31	364		424
Series 2502 Class ZC, 6% 9/15/32	421		469
Series 4302 Class DA, 3% 7/15/39	4,279		4,460
Series 06-3115 Class SM, 6.4185% 2/15/36 (e)(g)(h)	213		35
Series 1658 Class GZ, 7% 1/15/24	519		581
Series 2013-4281 Class AI, 4% 12/15/28 (g)	2,371		276
Series 2380 Class SY, 8.0185% 11/15/31 (e)(g)(h)	1,482		307
Series 2587 Class IM, 6.5% 3/15/33 (g)	220		53
Series 2844:
Class SC, 45.5936% 8/15/24 (e)(h)	17		29
Class SD, 84.0372% 8/15/24 (e)(h)	24		60
Series 2935 Class ZK, 5.5% 2/15/35	1,637		1,881
Series 2947 Class XZ, 6% 3/15/35	714		808
Series 3055 Class CS, 6.4085% 10/15/35 (e)(g)	288		55
Series 3244 Class SG, 6.4785% 11/15/36 (e)(g)(h)	548		103
Series 3274 Class SM, 6.2485% 2/15/37 (e)(g)	333		46
Series 3284 Class CI, 5.9385% 3/15/37 (e)(g)	1,221		218
Series 3287 Class SD, 6.5685% 3/15/37 (e)(g)(h)	795		184
Series 3297 Class BI, 6.5785% 4/15/37 (e)(g)(h)	1,148		230
Series 3336 Class LI, 6.3985% 6/15/37 (e)(g)	558		87
Series 3772 Class BI, 4.5% 10/15/18 (g)	391		20
Series 3949 Class MK, 4.5% 10/15/34	485		528
Series 3955 Class YI, 3% 11/15/21 (g)	1,823		110
Series 4181 Class LA, 3% 3/15/37	1,283		1,333
Series 4471 Class PA 4% 12/15/40	7,395		7,894
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28	$ 319		$ 368
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater:
Series 2007-37 Class TS, 6.5075% 6/16/37 (e)(g)(h)	266		43
Series 2010-H17 Class FA, 0.5115% 7/20/60 (e)(i)	312		311
Series 2010-H18 Class AF, 0.4776% 9/20/60 (e)(i)	371		369
Series 2010-H19 Class FG, 0.4776% 8/20/60 (e)(i)	450		447
Series 2011-H13 Class FA, 0.6776% 4/20/61 (e)(i)	184		184
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (g)	603		91
sequential payer:
Series 2002-24 Class SK, 7.7667% 4/16/32 (e)(g)(h)	1,294		271
Series 2002-42 Class ZA, 6% 6/20/32	479		551
Series 2004-24 Class ZM, 5% 4/20/34	994		1,116
Series 1999-40 Class SE, 8.7667% 11/16/29 (e)(g)(h)	409		25
Series 2000-8 Class SA, 8.2667% 1/16/30 (e)(g)(h)	353		23
Series 2001-3 Class S, 7.9167% 2/16/31 (e)(g)	294		61
Series 2001-36:
Class SB, 7.9167% 12/16/23 (e)(g)(h)	791		144
Class SP, 8.5667% 9/16/26 (e)(g)	563		92
Series 2001-38 Class SB, 7.3967% 8/16/31 (e)(g)(h)	480		93
Series 2001-41 Class SG, 8.5667% 9/16/31 (e)(g)	274		41
Series 2001-49:
Class SC, 7.4167% 12/16/25 (e)(g)(h)	1,048		178
Class SL, 7.4167% 5/16/30 (e)(g)(h)	1,301		247
Class SV, 8.0667% 12/16/28 (e)(g)(h)	599		49
Series 2001-50:
Class SD, 8.016% 11/20/31 (e)(g)(h)	697		170
Class ST, 7.5167% 8/16/27 (e)(g)(h)	284		58
Series 2002-5 Class SP, 7.2667% 1/16/32 (e)(g)(h)	486		83
Series 2004-32 Class GS, 6.3167% 5/16/34 (e)(g)(h)	438		95
Series 2004-73 Class AL, 7.0167% 8/17/34 (e)(g)(h)	166		36
Series 2011-52 Class HI, 7% 4/16/41 (g)	1,775		518
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Government Agency - continued
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued
Series 2012-76 Class GS, 6.5175% 6/16/42 (e)(g)(h)	$ 887		$ 188
Series 2012-97 Class JS, 6.0675% 8/16/42 (e)(g)(h)	3,093		545
Series 2013-124:
Class ES, 8.4213% 4/20/39 (e)(h)	1,482		1,714
Class ST, 8.5547% 8/20/39 (e)(h)	2,784		3,217
Series 2013-160 Class MS, 6.016% 9/20/32 (e)(g)(h)	2,554		485
Series 2015-H13 Class FL, 0.3% 3/20/65 (b)(e)(i)	11,200		11,200
TOTAL U.S. GOVERNMENT AGENCY			76,375
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $143,776)		146,685
Commercial Mortgage Securities - 13.3%
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (e)(g)	906		14
Banc of America Commercial Mortgage Trust:
Series 2006-4 Class A1A, 5.617% 7/10/46 (e)	2,164		2,251
Series 2007-2 Class A4, 5.7822% 4/10/49 (e)	1,293		1,361
Bayview Commercial Asset Trust floater Series 2007-3:
Class M1, 0.4948% 7/25/37 (a)(e)	43		33
Class M2, 0.5248% 7/25/37 (a)(e)	45		30
Class M3, 0.5548% 7/25/37 (a)(e)	74		30
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.5745% 12/15/27 (a)(e)	9,000		9,017
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:
Series 2006-CD2 Class A4, 5.4787% 1/15/46 (e)	2,076		2,095
Series 2006-CD3 Class A5, 5.617% 10/15/48	186		193
Series 2007-CD4 Class A4, 5.322% 12/11/49	5,110		5,347
COMM Mortgage Trust:
floater Series 2014-KYO Class A, 1.08% 6/11/27 (a)(e)	5,000		4,994
Series 2014-CR20 Class ASB, 3.305% 11/10/47	5,016		5,233
CSMC Series 2015-TOWN:
Class A, 1.4315% 3/15/17 (a)(e)	7,804		7,804
Class B, 2.0815% 3/15/17 (a)(e)	185		185
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
CSMC Series 2015-TOWN: - continued
Class C, 2.4315% 3/15/17 (a)(e)	$ 180		$ 180
Class D, 3.3815% 3/15/17 (a)(e)	273		273
CSMC Trust floater Series 2014-ICE Class A, 0.976% 4/15/27 (a)(e)	1,292		1,288
Freddie Mac:
sequential payer:
Series K033 Class A2, 3.06% 7/25/23	8,600		8,956
Series K034 Class A2, 3.531% 7/25/23	4,650		5,017
Series K042 Class A1, 2.267% 6/25/24	3,262		3,301
Series K716 Class A2, 3.13% 6/25/21	6,000		6,361
Freddie Mac Multi-family Strutured Pass-thru Certificates sequential payer Series K718 Class A2, 2.791% 1/25/22	6,400		6,641
GAHR Commercial Mortgage Trust:
floater Series 2015-NRF Class AFL1, 1.4815% 12/15/16 (a)(e)	12,750		12,783
Series 2015-NRF Class AFX, 3.2349% 12/15/19 (a)	7,000		7,245
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	544		569
GS Mortgage Securities Trust floater Series 2014-GSFL Class A, 1.1815% 7/15/31 (a)(e)	626		626
Hilton U.S.A. Trust floater Series 2013-HLF Class AFL, 1.1735% 11/5/30 (a)(e)	896		897
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.432% 11/15/29 (a)(e)	844		845
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2014-BXH Class A, 1.0856% 4/15/27 (a)(e)	5,000		5,001
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	1,358		1,419
Series 2006-LDP8 Class A1A, 5.397% 5/15/45	1,035		1,076
Series 2007-LD11 Class A4, 5.9618% 6/15/49 (e)	4,140		4,398
Series 2007-CB20 Class A1A, 5.746% 2/12/51	2,788		3,007
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-6 Class A4, 5.485% 3/12/51 (e)	175		186
Morgan Stanley Capital I Trust sequential payer Series 2007-IQ15 Class A4, 6.1037% 6/11/49 (e)	1,867		2,009
SCG Trust Series 2013-SRP1 Class A, 1.5815% 11/15/26 (a)(e)	2,783		2,784
Wachovia Bank Commercial Mortgage Trust:
sequential payer:
Series 2006-C29 Class A1A, 5.297% 11/15/48	7,316		7,706
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C31:
Class A4, 5.509% 4/15/47	$ 313		$ 328
Class A5, 5.5% 4/15/47	8,506		9,073
Series 2007-C32 Class A3, 5.9027% 6/15/49 (e)	1,150		1,224
Series 2007-C33 Class A4, 6.1503% 2/15/51 (e)	1,876		1,979
Series 2006-C23 Class A1A, 5.422% 1/15/45	914		930
Series 2006-C27 Class A1A, 5.749% 7/15/45 (e)	1,802		1,874
Series 2007-C31A Class A2, 5.421% 4/15/47	78		78
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $136,106)		136,641

Fixed-Income Funds - 0.2%
	Shares
Fidelity Mortgage Backed Securities Central Fund (f) (Cost $1,623)	14,775		1,622
Cash Equivalents - 5.3%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at 0.12%, dated 5/29/15 due 6/1/15 (Collateralized by U.S. Government Obligations) # (Cost $54,743)	$ 54,744		54,743
TOTAL INVESTMENT PORTFOLIO - 133.5% (Cost $1,356,307)			1,374,592
NET OTHER ASSETS (LIABILITIES) - (33.5)%			(344,642)
NET ASSETS - 100%		$ 1,029,950
TBA Sale Commitments
	Principal Amount (000s)		Value (000s)
Fannie Mae
2.5% 6/1/30	$ (1,900)		$ (1,941)
3% 6/1/45	(5,900)		(5,976)
3% 6/1/45	(5,900)		(5,976)
3.5% 6/1/45	(9,500)		(9,922)
3.5% 6/1/45	(20,100)		(20,992)
3.5% 6/1/45	(2,800)		(2,924)
4% 6/1/45	(6,000)		(6,406)
4.5% 6/1/45	(13,300)		(14,460)
TOTAL FANNIE MAE			(68,597)
Ginnie Mae
3% 6/1/45	(9,800)		(10,028)
3.5% 6/1/45	(17,000)		(17,843)
TOTAL GINNIE MAE			(27,871)
TOTAL TBA SALE COMMITMENTS (Proceeds $96,251)		$ (96,468)

Swaps
Interest Rate Swaps
Clearinghouse/ Counterparty(1)	Expiration Date	Notional Amount (000s)	Payment Received	Payment Paid	Value (000s)	Upfront Premium Received/ (Paid)(2) (000s)	Unrealized Appreciation/ (Depreciation) (000s)
CME	Jun. 2017	$ 34,900	3-month LIBOR	1.25%	$ (183)	$ 0	$ (183)
CME	Jun. 2018	11,700	3-month LIBOR	1.75%	(98)	0	(98)
CME	Jun. 2020	19,600	3-month LIBOR	2.25%	(217)	0	(217)
Swaps - continued
Interest Rate Swaps - continued
Clearinghouse/ Counterparty(1)	Expiration Date	Notional Amount (000s)	Payment Received	Payment Paid	Value (000s)	Upfront Premium Received/ (Paid)(2) (000s)	Unrealized Appreciation/ (Depreciation) (000s)
LCH	Jun. 2020	$ 14,300	3-month LIBOR	2.25%	$ (11)	$ 0	$ (11)
CME	Jun. 2025	9,000	3-month LIBOR	2.75%	(74)	0	(74)
CME	Jun. 2045	3,900	3-month LIBOR	3.25%	10	0	10
TOTAL INTEREST RATE SWAPS					$ (573)	$ 0	$ (573)

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

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

Legend

(a) Security 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 $140,836,000 or 13.7% of net assets.

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

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,636,000.

(d) 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 $380,000.

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

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

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

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

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$54,743,000 due 6/01/15 at 0.12%
Commerz Markets LLC	$ 54,743

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity Mortgage Backed Securities Central Fund	$ 28

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Mortgage Backed Securities Central Fund	$ 1,575	$ 28	$ 0	$ 1,622	0.0%

Other Information

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

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
U.S. Government Agency - Mortgage Securities	$ 978,878	$ -	$ 978,878	$ -
Asset-Backed Securities	56,023	-	56,023	-
Collateralized Mortgage Obligations	146,685	-	146,685	-
Commercial Mortgage Securities	136,641	-	136,641	-
Fixed-Income Funds	1,622	1,622	-	-
Cash Equivalents	54,743	-	54,743	-
Total Investments in Securities:	$ 1,374,592	$ 1,622	$ 1,372,970	$ -
Derivative Instruments:
Assets
Swaps	$ 10	$ -	$ 10	$ -
Liabilities
Swaps	$ (583)	$ -	$ (583)	$ -
Total Derivative Instruments:	$ (573)	$ -	$ (573)	$ -
Other Financial Instruments:
TBA Sale Commitments	$ (96,468)	$ -	$ (96,468)	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $1,356,326,000. Net unrealized appreciation aggregated $18,266,000, of which $22,493,000 related to appreciated investment securities and $4,227,000 related to depreciated investment securities.

Investment Valuation

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. 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. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

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

Credit Risk.

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

Quarterly Report

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

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

Quarterly Report

Quarterly Holdings Report

for

Fidelity Advisor® Short
Fixed-Income Fund

May 31, 2015

1.804867.111

SFI-QTLY-0715

Investments May 31, 2015 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 45.3%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 3.1%
Automobiles - 2.0%
American Honda Finance Corp.:
0.95% 5/5/17	$ 1,580,000		$ 1,580,531
1.125% 10/7/16	1,248,000		1,254,209
Daimler Finance North America LLC:
1.25% 1/11/16 (b)	1,815,000		1,820,714
1.375% 8/1/17 (b)	1,642,000		1,642,437
1.45% 8/1/16 (b)	1,429,000		1,437,685
1.65% 3/2/18 (b)	821,000		823,081
1.65% 5/18/18 (b)	1,600,000		1,601,142
General Motors Financial Co., Inc. 2.4% 4/10/18	1,827,000		1,826,467
Volkswagen Group of America Finance LLC:
1.25% 5/23/17 (b)	1,642,000		1,645,281
1.65% 5/22/18 (b)	1,000,000		1,002,597
Volkswagen International Finance NV 1.6% 11/20/17 (b)	1,090,000		1,095,861
			15,730,005
Media - 1.1%
COX Communications, Inc. 6.25% 6/1/18 (b)	411,000		463,881
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 2.4% 3/15/17	1,642,000		1,666,372
Thomson Reuters Corp. 0.875% 5/23/16	440,000		439,824
Time Warner Cable, Inc. 5.85% 5/1/17	2,675,000		2,871,698
Time Warner, Inc. 6.875% 6/15/18	1,300,000		1,492,648
Viacom, Inc. 2.2% 4/1/19	821,000		817,972
Walt Disney Co. 1.1% 12/1/17	802,000		802,547
			8,554,942
TOTAL CONSUMER DISCRETIONARY			24,284,947
CONSUMER STAPLES - 1.4%
Beverages - 0.4%
Heineken NV 1.4% 10/1/17 (b)	457,000		458,019
SABMiller Holdings, Inc. 2.45% 1/15/17 (b)	2,184,000		2,225,369
			2,683,388
Nonconvertible Bonds - continued
	Principal Amount		Value
CONSUMER STAPLES - continued
Food & Staples Retailing - 0.1%
Walgreen Co. 1.8% 9/15/17	$ 557,000		$ 561,080
Walgreens Boots Alliance, Inc. 1.75% 11/17/17	212,000		213,466
			774,546
Food Products - 0.6%
General Mills, Inc.:
0.875% 1/29/16	798,000		798,902
1.4% 10/20/17	2,053,000		2,054,322
The J.M. Smucker Co. 1.75% 3/15/18 (b)	533,000		533,571
Tyson Foods, Inc. 2.65% 8/15/19	821,000		836,406
William Wrigley Jr. Co. 1.4% 10/21/16 (b)	560,000		561,897
			4,785,098
Tobacco - 0.3%
Reynolds American, Inc.:
1.05% 10/30/15	1,018,000		1,017,552
6.75% 6/15/17	1,350,000		1,485,898
			2,503,450
TOTAL CONSUMER STAPLES			10,746,482
ENERGY - 3.5%
Energy Equipment & Services - 0.2%
Nabors Industries, Inc. 2.35% 9/15/16	473,000		474,619
Noble Holding International Ltd. 4% 3/16/18	60,000		61,622
Petrofac Ltd. 3.4% 10/10/18 (b)	1,478,000		1,471,971
			2,008,212
Oil, Gas & Consumable Fuels - 3.3%
BG Energy Capital PLC 2.875% 10/15/16 (b)	1,109,000		1,135,891
BP Capital Markets PLC:
1.375% 5/10/18	895,000		892,944
2.248% 11/1/16	1,084,000		1,104,790
Canadian Natural Resources Ltd. 1.75% 1/15/18	340,000		337,840
Columbia Pipeline Group, Inc. 2.45% 6/1/18 (b)	148,000		149,330
ConocoPhillips Co. 1.5% 5/15/18	1,500,000		1,502,369
Enbridge, Inc.:
0.7116% 6/2/17 (c)	1,459,000		1,441,774
0.9242% 10/1/16 (c)	2,053,000		2,055,926
Enterprise Products Operating LP 2.55% 10/15/19	162,000		163,935
Marathon Petroleum Corp. 3.5% 3/1/16	1,399,000		1,425,437
Petro-Canada 6.05% 5/15/18	821,000		922,546
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petrobras Global Finance BV:
2% 5/20/16	$ 1,642,000		$ 1,619,176
3.25% 3/17/17	1,232,000		1,217,783
Petrobras International Finance Co. Ltd. 3.875% 1/27/16	945,000		948,780
Petroleos Mexicanos 3.125% 1/23/19	143,000		145,531
Phillips 66 Co. 2.95% 5/1/17	534,000		550,142
Schlumberger Investment SA 1.25% 8/1/17 (b)	1,232,000		1,232,722
Shell International Finance BV 2.125% 5/11/20	1,184,000		1,188,931
Southwestern Energy Co. 3.3% 1/23/18	321,000		329,998
Spectra Energy Partners, LP 2.95% 6/15/16	257,000		261,522
Total Capital International SA 1% 1/10/17	2,463,000		2,471,719
TransCanada PipeLines Ltd.:
0.9531% 6/30/16 (c)	3,284,000		3,291,343
1.875% 1/12/18	1,642,000		1,658,988
			26,049,417
TOTAL ENERGY			28,057,629
FINANCIALS - 26.2%
Banks - 17.0%
ABN AMRO Bank NV 1.079% 10/28/16 (b)(c)	3,740,000		3,763,038
Australia & New Zealand Banking Group Ltd. 1.25% 1/10/17	1,339,000		1,343,620
Bank of America Corp.:
1.25% 1/11/16	3,449,000		3,457,029
2% 1/11/18	2,340,000		2,356,006
Bank of America NA:
1.25% 2/14/17	2,529,000		2,531,435
1.75% 6/5/18	1,500,000		1,498,695
5.3% 3/15/17	250,000		266,091
Bank of Montreal 1.4% 4/10/18	800,000		800,440
Bank of Nova Scotia 1.375% 12/18/17	878,000		877,840
Bank of Tokyo-Mitsubishi UFJ Ltd.:
1% 2/26/16 (b)	1,807,000		1,808,708
1.45% 9/8/17 (b)	1,150,000		1,147,132
1.55% 9/9/16 (b)	945,000		950,082
1.7% 3/5/18 (b)	1,642,000		1,644,626
Barclays Bank PLC:
2.5% 2/20/19	1,454,000		1,480,617
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
Barclays Bank PLC: - continued
5% 9/22/16	$ 1,642,000		$ 1,726,507
Barclays PLC 2% 3/16/18	1,000,000		1,005,216
BNP Paribas 2.375% 9/14/17	1,700,000		1,732,739
BPCE SA 1.625% 2/10/17	1,080,000		1,087,375
Branch Banking & Trust Co. 1.45% 10/3/16	2,463,000		2,481,507
Capital One Bank NA:
1.15% 11/21/16	779,000		780,258
1.2% 2/13/17	1,625,000		1,619,238
1.3% 6/5/17	1,232,000		1,228,064
Capital One NA:
1.5% 9/5/17	1,000,000		995,976
1.65% 2/5/18	1,232,000		1,226,548
Citigroup, Inc.:
1.237% 7/25/16 (c)	1,642,000		1,648,857
1.3% 11/15/16	1,445,000		1,447,852
1.55% 8/14/17	4,105,000		4,103,448
1.7% 4/27/18	780,000		775,830
1.85% 11/24/17	821,000		826,314
2.5% 9/26/18	1,200,000		1,221,060
2.5% 7/29/19	805,000		810,670
Citizens Bank NA:
1.6% 12/4/17	1,642,000		1,646,975
2.45% 12/4/19	1,240,000		1,250,345
Commonwealth Bank of Australia 1.125% 3/13/17	1,766,000		1,771,047
Credit Suisse New York Branch:
0.772% 5/26/17 (c)	1,642,000		1,639,222
1.375% 5/26/17	4,105,000		4,107,619
1.75% 1/29/18	1,642,000		1,642,407
Discover Bank 2% 2/21/18	2,053,000		2,055,404
Fifth Third Bancorp 4.5% 6/1/18	1,027,000		1,104,250
Fifth Third Bank 0.9% 2/26/16	1,807,000		1,808,278
HSBC Bank PLC 1.5% 5/15/18 (b)	1,090,000		1,086,242
HSBC U.S.A., Inc.:
1.5% 11/13/17	821,000		820,365
1.625% 1/16/18	791,000		793,930
1.7% 3/5/18	994,000		996,123
Ing Bank NV Mtn Be 144A 1.8% 3/16/18 (b)	1,000,000		1,006,508
Intesa Sanpaolo SpA 2.375% 1/13/17	2,053,000		2,070,592
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
JPMorgan Chase & Co.:
1.35% 2/15/17	$ 6,568,000		$ 6,587,566
2% 8/15/17	1,642,000		1,662,463
KeyBank NA:
1.65% 2/1/18	735,000		737,093
2.5% 12/15/19	777,000		788,656
La Caisse Centrale 1.75% 1/29/18 (b)	1,232,000		1,232,942
Lloyds Bank PLC 1.75% 3/16/18	1,232,000		1,235,328
Manufacturers & Traders Trust Co.:
1.4% 7/25/17	1,642,000		1,645,419
2.3% 1/30/19	1,080,000		1,093,330
Marshall & Ilsley Bank 5% 1/17/17	71,000		74,709
Mitsubishi UFJ Trust & Banking Corp. 1.6% 10/16/17 (b)	1,232,000		1,232,500
Mizuho Bank Ltd.:
0.7168% 9/25/17 (b)(c)	1,642,000		1,638,943
1.55% 10/17/17 (b)	2,693,000		2,691,083
MUFG Americas Holdings Corp. 1.625% 2/9/18	238,000		237,966
MUFG Union Bank NA 1.5% 9/26/16	753,000		758,218
Nordea Bank AB 0.875% 5/13/16 (b)	1,347,000		1,349,302
PNC Bank NA:
1.15% 11/1/16	1,281,000		1,283,490
1.5% 2/23/18	1,100,000		1,102,835
Regions Bank 7.5% 5/15/18	250,000		288,339
Regions Financial Corp.:
2% 5/15/18	904,000		903,994
5.75% 6/15/15	945,000		946,596
Royal Bank of Canada:
1.2% 1/23/17	1,036,000		1,040,836
1.5% 1/16/18	1,815,000		1,817,777
2.2% 7/27/18	821,000		837,335
Royal Bank of Scotland Group PLC:
1.2131% 3/31/17 (c)	1,807,000		1,808,229
2.55% 9/18/15	6,411,000		6,440,811
Sumitomo Mitsui Banking Corp.:
1.3% 1/10/17	2,053,000		2,056,008
1.45% 7/19/16	2,053,000		2,063,277
1.75% 1/16/18	1,642,000		1,648,701
1.8% 7/18/17	1,618,000		1,633,457
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Banks - continued
SunTrust Banks, Inc.:
3.5% 1/20/17	$ 1,190,000		$ 1,230,672
5% 9/1/15	870,000		878,934
U.S. Bank NA 1.1% 1/30/17	1,782,000		1,788,613
Wachovia Corp. 0.6182% 10/28/15 (c)	1,642,000		1,642,379
Wells Fargo Bank NA 0.486% 5/16/16 (c)	3,695,000		3,689,554
Westpac Banking Corp.:
1.2% 5/19/17	2,217,000		2,224,631
1.5% 12/1/17	1,642,000		1,648,868
2% 8/14/17	1,848,000		1,879,861
			134,262,840
Capital Markets - 2.9%
Deutsche Bank AG London Branch 1.4% 2/13/17	4,105,000		4,107,566
Goldman Sachs Group, Inc.:
0.9535% 5/22/17 (c)	1,000,000		1,000,168
1.748% 9/15/17	2,874,000		2,870,522
2.375% 1/22/18	1,807,000		1,834,078
2.55% 10/23/19	830,000		834,945
2.625% 1/31/19	1,232,000		1,255,263
JPMorgan Chase & Co.:
0.902% 2/26/16 (c)	821,000		822,869
1.7% 3/1/18	821,000		822,912
Lazard Group LLC 6.85% 6/15/17	28,000		30,707
Morgan Stanley:
1.75% 2/25/16	1,697,000		1,709,117
1.875% 1/5/18	821,000		824,200
2.375% 7/23/19	700,000		703,408
5.45% 1/9/17	2,792,000		2,968,773
UBS AG Stamford Branch:
1.375% 6/1/17	590,000		588,183
1.375% 8/14/17	1,618,000		1,616,343
1.8% 3/26/18	1,174,000		1,174,628
			23,163,682
Consumer Finance - 3.5%
American Express Credit Corp.:
1.125% 6/5/17	2,053,000		2,048,451
1.3% 7/29/16	920,000		924,830
2.8% 9/19/16	797,000		816,416
Capital One Financial Corp. 0.9198% 11/6/15 (c)	821,000		822,224
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Consumer Finance - continued
Discover Financial Services 6.45% 6/12/17	$ 2,587,000		$ 2,829,906
Ford Motor Credit Co. LLC:
1.461% 3/27/17	1,000,000		999,883
1.684% 9/8/17	1,642,000		1,639,146
1.7% 5/9/16	1,100,000		1,106,267
2.145% 1/9/18	1,642,000		1,658,399
3% 6/12/17	2,422,000		2,483,809
General Electric Capital Corp. 1.5% 7/12/16	8,210,000		8,285,811
Hyundai Capital America:
1.45% 2/6/17 (b)	1,151,000		1,149,812
1.875% 8/9/16 (b)	243,000		245,208
2.125% 10/2/17 (b)	1,196,000		1,208,589
2.875% 8/9/18 (b)	583,000		602,203
Hyundai Capital America Mtn Be 144A 2% 3/19/18 (b)	821,000		825,892
Synchrony Financial 1.875% 8/15/17	193,000		193,690
			27,840,536
Diversified Financial Services - 0.4%
AIG Global Funding 1.65% 12/15/17 (b)	1,232,000		1,237,730
Berkshire Hathaway Finance Corp. 1.6% 5/15/17	1,092,000		1,107,756
Berkshire Hathaway, Inc. 1.55% 2/9/18	912,000		921,847
			3,267,333
Insurance - 1.7%
American International Group, Inc.:
2.3% 7/16/19	1,983,000		1,995,521
5.85% 1/16/18	979,000		1,084,231
Aon Corp. 3.125% 5/27/16	1,027,000		1,049,275
Assurant, Inc. 2.5% 3/15/18	920,000		934,880
Marsh & McLennan Companies, Inc. 2.55% 10/15/18	963,000		982,826
MetLife, Inc.:
1.756% 12/15/17	382,000		386,408
1.903% 12/15/17	166,000		167,085
Metropolitan Life Global Funding I:
1.3% 4/10/17 (b)	3,284,000		3,291,655
1.5% 1/10/18 (b)	2,101,000		2,099,918
Pricoa Global Funding I 1.15% 11/25/16 (b)	904,000		905,963
Prudential Financial, Inc. 2.3% 8/15/18	300,000		305,203
TIAA Asset Management Finance LLC 2.95% 11/1/19 (b)	238,000		242,436
			13,445,401
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - 0.3%
DDR Corp. 9.625% 3/15/16	$ 271,000		$ 288,923
ERP Operating LP 2.375% 7/1/19	528,000		533,519
Health Care REIT, Inc. 2.25% 3/15/18	280,000		283,630
Select Income (REIT) 2.85% 2/1/18	395,000		400,465
Simon Property Group LP 2.15% 9/15/17	411,000		419,636
			1,926,173
Real Estate Management & Development - 0.4%
Mack-Cali Realty LP 2.5% 12/15/17	633,000		635,668
Ventas Realty LP:
1.25% 4/17/17	405,000		404,758
1.55% 9/26/16	236,000		237,435
Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18	572,000		577,396
Washington Prime Group LP 3.85% 4/1/20 (b)	1,191,000		1,208,433
			3,063,690
TOTAL FINANCIALS			206,969,655
HEALTH CARE - 3.2%
Biotechnology - 0.4%
Amgen, Inc.:
0.6635% 5/22/17 (c)	1,642,000		1,644,062
1.25% 5/22/17	1,634,000		1,632,977
			3,277,039
Health Care Equipment & Supplies - 0.5%
Becton, Dickinson & Co. 1.8% 12/15/17	1,129,000		1,136,762
Medtronic, Inc. 1.5% 3/15/18 (b)	1,358,000		1,360,572
Zimmer Holdings, Inc. 2% 4/1/18	1,563,000		1,574,572
			4,071,906
Health Care Providers & Services - 0.3%
Express Scripts Holding Co. 1.25% 6/2/17	2,045,000		2,041,294
WellPoint, Inc. 1.875% 1/15/18	532,000		534,844
			2,576,138
Life Sciences Tools & Services - 0.1%
Thermo Fisher Scientific, Inc. 1.3% 2/1/17	253,000		252,948
Pharmaceuticals - 1.9%
AbbVie, Inc.:
1.2% 11/6/15	1,807,000		1,810,498
1.75% 11/6/17	1,532,000		1,537,357
Nonconvertible Bonds - continued
	Principal Amount		Value
HEALTH CARE - continued
Pharmaceuticals - continued
AbbVie, Inc.: - continued
1.8% 5/14/18	$ 2,061,000		$ 2,063,051
2.5% 5/14/20	1,100,000		1,099,187
Actavis Funding SCS:
1.3477% 3/12/18 (c)	2,053,000		2,074,883
2.35% 3/12/18	1,642,000		1,660,520
3% 3/12/20	687,000		695,688
Bayer U.S. Finance LLC:
1.5% 10/6/17 (b)	1,710,000		1,721,715
2.375% 10/8/19 (b)	692,000		700,988
Mylan, Inc. 1.35% 11/29/16	299,000		298,771
Perrigo Co. PLC 1.3% 11/8/16	302,000		301,777
Zoetis, Inc.:
1.15% 2/1/16	803,000		803,751
1.875% 2/1/18	143,000		142,980
			14,911,166
TOTAL HEALTH CARE			25,089,197
INDUSTRIALS - 0.2%
Aerospace & Defense - 0.1%
L-3 Communications Corp. 1.5% 5/28/17	813,000		806,342
Electrical Equipment - 0.1%
ABB Finance (U.S.A.), Inc. 1.625% 5/8/17	420,000		424,222
Trading Companies & Distributors - 0.0%
Air Lease Corp. 2.125% 1/15/18	405,000		402,469
TOTAL INDUSTRIALS			1,633,033
INFORMATION TECHNOLOGY - 1.1%
Communications Equipment - 0.3%
Cisco Systems, Inc. 1.1% 3/3/17	2,217,000		2,228,444
Electronic Equipment & Components - 0.6%
Amphenol Corp. 1.55% 9/15/17	1,394,000		1,398,291
Tyco Electronics Group SA:
2.375% 12/17/18	185,000		187,926
6.55% 10/1/17	2,775,000		3,092,821
			4,679,038
Nonconvertible Bonds - continued
	Principal Amount		Value
INFORMATION TECHNOLOGY - continued
IT Services - 0.2%
The Western Union Co.:
2.875% 12/10/17	$ 915,000		$ 940,096
3.65% 8/22/18	522,000		543,761
			1,483,857
TOTAL INFORMATION TECHNOLOGY			8,391,339
MATERIALS - 0.8%
Chemicals - 0.5%
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP 1.7% 5/1/18 (b)	1,970,000		1,977,252
Ecolab, Inc.:
1.45% 12/8/17	488,000		486,415
1.55% 1/12/18	1,642,000		1,644,110
			4,107,777
Metals & Mining - 0.3%
Anglo American Capital PLC 1.2253% 4/15/16 (b)(c)	966,000		965,525
Freeport-McMoRan, Inc. 2.3% 11/14/17	549,000		549,748
Rio Tinto Finance (U.S.A.) PLC 1.1107% 6/17/16 (c)	821,000		823,286
			2,338,559
TOTAL MATERIALS			6,446,336
TELECOMMUNICATION SERVICES - 3.1%
Diversified Telecommunication Services - 2.6%
AT&T, Inc.:
1.4% 12/1/17	904,000		903,289
2.45% 6/30/20	823,000		814,586
2.95% 5/15/16	986,000		1,003,088
BellSouth Corp. 4.821% 4/26/16 (b)(c)	1,500,000		1,548,519
British Telecommunications PLC:
1.25% 2/14/17	2,298,000		2,299,829
1.625% 6/28/16	1,515,000		1,525,397
2.35% 2/14/19	1,774,000		1,799,118
CenturyLink, Inc. 5.15% 6/15/17	904,000		942,420
Deutsche Telekom International Financial BV:
3.125% 4/11/16 (b)	993,000		1,012,957
5.75% 3/23/16	1,642,000		1,703,549
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Verizon Communications, Inc.:
1.35% 6/9/17	$ 1,279,000		$ 1,278,183
2% 11/1/16	2,239,000		2,270,059
2.5% 9/15/16	3,081,000		3,134,116
			20,235,110
Wireless Telecommunication Services - 0.5%
America Movil S.A.B. de CV:
1.2677% 9/12/16 (c)	986,000		988,856
2.375% 9/8/16	1,258,000		1,276,883
Vodafone Group PLC:
1.5% 2/19/18	821,000		816,012
1.625% 3/20/17	1,184,000		1,186,979
			4,268,730
TOTAL TELECOMMUNICATION SERVICES			24,503,840
UTILITIES - 2.7%
Electric Utilities - 1.9%
American Electric Power Co., Inc. 1.65% 12/15/17	1,260,000		1,262,651
Duke Energy Corp.:
0.6508% 4/3/17 (c)	1,469,000		1,471,343
1.625% 8/15/17	495,000		498,881
Eversource Energy 1.45% 5/1/18	239,000		237,780
FirstEnergy Corp. 2.75% 3/15/18	2,445,000		2,492,939
LG&E and KU Energy LLC 2.125% 11/15/15	1,917,000		1,926,460
NextEra Energy Capital Holdings, Inc. 1.586% 6/1/17	1,500,000		1,505,993
Pacific Gas & Electric Co. 5.625% 11/30/17	1,457,000		1,600,542
Public Service Electric & Gas Co. 2.3% 9/15/18	1,000,000		1,027,629
TECO Finance, Inc. 0.8712% 4/10/18 (c)	1,500,000		1,507,176
Xcel Energy, Inc. 0.75% 5/9/16	1,807,000		1,802,569
			15,333,963
Independent Power and Renewable Electricity Producers - 0.2%
Southern Power Co. 1.5% 6/1/18	1,173,000		1,170,941
Multi-Utilities - 0.6%
Dominion Resources, Inc.:
1.4% 9/15/17	697,000		698,524
1.95% 8/15/16	697,000		704,772
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
Dominion Resources, Inc.: - continued
2.5731% 9/30/66 (c)	$ 1,097,000		$ 1,009,227
MidAmerican Energy Holdings, Co. 1.1% 5/15/17	2,150,000		2,148,665
			4,561,188
TOTAL UTILITIES			21,066,092
TOTAL NONCONVERTIBLE BONDS (Cost $355,872,183)		357,188,550
U.S. Government and Government Agency Obligations - 22.4%
U.S. Government Agency Obligations - 1.8%
Fannie Mae:
0.875% 2/8/18	1,247,000		1,245,951
1.625% 11/27/18	564,000		572,229
1.875% 9/18/18	305,000		312,470
Freddie Mac:
0.5% 1/27/17	7,668,000		7,654,865
0.75% 1/12/18	1,192,000		1,187,599
1% 9/29/17	3,029,000		3,040,268
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			14,013,382
U.S. Treasury Obligations - 20.6%
U.S. Treasury Notes:
0.5% 7/31/17	62,803,600		62,587,681
0.875% 10/15/17	32,187,500		32,278,011
1% 5/15/18	63,153,000		63,281,261
1.375% 2/28/19	3,945,600		3,969,952
TOTAL U.S. TREASURY OBLIGATIONS			162,116,905
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $175,460,930)		176,130,287
U.S. Government Agency - Mortgage Securities - 3.3%
	Principal Amount		Value
Fannie Mae - 2.0%
2.152% 11/1/34 (c)	$ 159,058		$ 169,587
2.211% 10/1/35 (c)	335,488		358,277
2.23% 1/1/40 (c)	302,807		324,666
2.245% 2/1/35 (c)	300,227		318,068
2.271% 3/1/40 (c)	170,947		182,587
2.274% 11/1/36 (c)	362,003		385,659
2.31% 12/1/39 (c)	73,564		78,779
2.346% 5/1/35 (c)	262,513		279,863
2.361% 4/1/35 (c)	89,371		95,157
2.384% 7/1/35 (c)	934,519		997,813
2.391% 12/1/33 (c)	151,213		162,128
2.428% 12/1/34 (c)	142,289		152,456
2.456% 3/1/40 (c)	242,340		258,431
2.537% 10/1/41 (c)	414,505		444,428
2.542% 6/1/42 (c)	119,958		124,442
2.691% 2/1/42 (c)	676,605		704,555
2.693% 9/1/41 (c)	556,105		596,249
2.738% 8/1/41 (c)	588,653		631,147
2.765% 1/1/42 (c)	610,020		636,104
2.96% 11/1/40 (c)	76,179		80,105
2.979% 8/1/41 (c)	112,438		120,555
2.982% 9/1/41 (c)	90,821		95,403
3.059% 10/1/41 (c)	44,112		45,839
3.237% 7/1/41 (c)	136,201		144,431
3.308% 10/1/41 (c)	72,570		76,480
3.5% 1/1/26 to 9/1/29	4,338,863		4,633,733
3.554% 7/1/41 (c)	141,706		150,475
4.5% 6/1/19 to 7/1/20	213,768		223,462
5.5% 11/1/17 to 11/1/34	3,028,640		3,381,523
6.5% 1/1/16 to 6/1/16	1,764		1,802
7% 1/1/16 to 11/1/18	8,017		8,307
TOTAL FANNIE MAE			15,862,511
Freddie Mac - 1.2%
2.164% 11/1/35 (c)	211,743		224,570
2.35% 8/1/36 (c)	109,799		117,001
2.402% 10/1/42 (c)	731,206		771,395
2.973% 8/1/41 (c)	304,848		326,855
3% 8/1/21	811,789		848,098
3.13% 9/1/41 (c)	194,617		208,666
3.133% 4/1/40 (c)	176,051		187,264
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
3.231% 9/1/41 (c)	$ 87,680		$ 92,115
3.242% 4/1/41 (c)	84,845		89,552
3.296% 6/1/41 (c)	96,743		102,475
3.47% 5/1/41 (c)	99,731		105,274
3.5% 8/1/26	2,258,879		2,407,735
3.502% 4/1/40 (c)	163,637		175,440
3.622% 6/1/41 (c)	136,457		144,929
3.705% 5/1/41 (c)	119,457		126,963
4% 6/1/24 to 4/1/26	2,734,193		2,925,263
4.5% 8/1/18 to 11/1/18	653,995		681,973
8.5% 5/1/26 to 7/1/28	33,224		39,658
TOTAL FREDDIE MAC			9,575,226
Ginnie Mae - 0.1%
5.5% 6/15/35	274,908		315,538
7% 1/15/25 to 6/15/32	161,614		190,473
TOTAL GINNIE MAE			506,011
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $25,357,169)		25,943,748
Asset-Backed Securities - 16.3%
Accredited Mortgage Loan Trust:
Series 2003-3 Class A1, 5.21% 1/25/34 (AMBAC Insured)	221,980		216,150
Series 2005-1 Class M1, 0.6513% 4/25/35 (c)	69,143		61,777
Ally Auto Receivables Trust:
Series 2013-SN1 Class A3, 0.72% 5/20/16	171,394		171,413
Series 2014-SN1 Class A3, 0.75% 2/21/17	1,087,000		1,087,042
Series 2015-SN1 Class A3, 1.21% 12/20/17	457,000		457,706
Ally Master Owner Trust:
Series 2012-4 Class A, 1.72% 7/15/19	544,000		549,054
Series 2012-5 Class A, 1.54% 9/15/19	2,291,000		2,301,447
Series 2014-3 Class A, 1.33% 3/15/19	3,918,000		3,928,970
Series 2014-4 Class A2, 1.43% 6/17/19	1,971,000		1,979,239
Series 2014-5 Class A2, 1.6% 10/15/19	2,053,000		2,064,066
Series 2015-3 Class A, 1.6% 5/15/20	1,570,000		1,571,963
American Express Credit Account Master Trust:
Series 2013-3 Class A, 0.98% 5/15/19	1,704,000		1,707,248
Asset-Backed Securities - continued
	Principal Amount		Value
American Express Credit Account Master Trust: - continued
Series 2014-2 Class A, 1.26% 1/15/20	$ 1,610,000		$ 1,617,625
Series 2014-3 Class A, 1.49% 4/15/20	2,462,886		2,481,725
Series 2014-4 Class A, 1.43% 6/15/20	2,053,000		2,063,203
AmeriCredit Automobile Receivables T Series 2014-4 Class A3, 1.27% 7/8/19	414,000		414,909
AmeriCredit Automobile Receivables Trust:
Series 2013-1 Class A3, 0.61% 10/10/17	739,009		738,920
Series 2013-5 Class A3, 0.9% 9/10/18	1,342,000		1,343,392
Series 2014-1 Class A3, 0.9% 2/8/19	849,000		848,655
Series 2014-2 Class A3, 0.94% 2/8/19	1,626,000		1,622,337
Americredit Automobile Receivables Trust Series 2015-2 Class A3, 1.27% 1/8/20	1,500,000		1,499,289
Ameriquest Mortgage Securities, Inc. pass-thru certificates Series 2004-R2 Class M3, 1.0063% 4/25/34 (c)	11,399		8,100
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.9613% 3/25/34 (c)	67,779		63,398
Series 2006-W4 Class A2C, 0.3448% 5/25/36 (c)	147,892		53,218
Bank of America Credit Card Master Trust Series 2015-A2 Class A, 1.36% 9/15/20	1,985,000		1,985,603
BMV Vehicle Lease Trust Series 2014-1 Class A3, 0.73% 2/21/17	1,232,000		1,232,594
BMW Vehicle Lease Trust Series 2015-1 Class A3, 1.24% 12/20/17	1,232,000		1,234,963
Capital Auto Receivables Asset Trust:
Series 2014-2 Class A2, 0.91% 4/20/17	1,232,000		1,233,381
Series 2014-3 Class A2, 1.18% 12/20/17	1,204,000		1,206,177
Series 2015-1 Class A2, 1.42% 6/20/18	1,209,000		1,213,668
Series 2015-2 Class A2, 1.39% 9/20/18	822,000		822,123
Capital One Multi-Asset Execution Trust:
Series 2013-A3 Class A3, 0.96% 9/16/19	821,000		822,332
Series 2014-A5 Class A, 1.48% 7/15/20	1,979,000		1,992,420
Series 2015-A1 Class A, 1.39% 1/15/21	1,940,000		1,940,613
Carmax Auto Owner Trust:
Series 2013-3 Class A3, 0.97% 4/16/18	885,273		887,230
Series 2014-4 Class A3, 1.25% 11/15/19	1,242,000		1,244,663
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3213% 12/25/36 (c)	228,766		151,857
CFC LLC Series 2014-1A Class A, 1.46% 12/17/18 (b)	399,423		398,876
Chase Issuance Trust:
Series 2013-A8 Class A8, 1.01% 10/15/18	986,000		988,959
Series 2014-A1 Class A, 1.15% 1/15/19	1,232,000		1,236,992
Asset-Backed Securities - continued
	Principal Amount		Value
Chase Issuance Trust: - continued
Series 2014-A7 Class A, 1.38% 11/15/19	$ 2,064,000		$ 2,071,779
Series 2015-A2, Class A, 1.59% 2/18/20	1,232,000		1,241,411
Chrysler Capital Auto Receivables Trust Series 2015-AA Class A3, 1.22% 7/15/19 (b)	1,500,000		1,499,871
CIT Equipment Collateral:
Series 2013-VT1 Class A3, 1.13% 7/20/20 (b)	2,052,405		2,056,292
Series 2014-VT1 Class A3, 1.5% 10/21/19 (b)	1,239,653		1,241,473
Citibank Credit Card Issuance Trust:
Series 2013-A6 Class A6, 1.32% 9/7/18	2,734,000		2,753,532
Series 2014-A2 Class A2, 1.02% 2/22/19	1,774,000		1,775,923
Series 2014-A4 Class A4, 1.23% 4/24/19	1,642,000		1,646,471
Series 2014-A8 Class A8, 1.73% 4/9/20	1,585,000		1,601,539
Countrywide Home Loans, Inc.:
Series 2003-BC1 Class B1, 5.4348% 3/25/32 (MGIC Investment Corp. Insured) (c)	7,098		6,192
Series 2004-2 Class 3A4, 0.6848% 7/25/34 (c)	51,255		44,842
Series 2004-3 Class M4, 1.6398% 4/25/34 (c)	9,196		7,828
Series 2004-4 Class M2, 0.9798% 6/25/34 (c)	11,407		10,336
Dell Equipment Finance Trust:
Series 2014-1 Class A3, 0.94% 6/22/20 (b)	821,000		821,769
Series 2015-1 Class A3, 1.3% 3/23/20 (b)	800,000		799,686
Discover Card Master Trust:
Series 2013-A5 Class A5, 1.04% 4/15/19	1,844,000		1,849,080
Series 2014-A3 Class A3, 1.22% 10/15/19	1,642,000		1,645,814
Series 2014-A5 Class A, 1.39% 4/15/20	1,651,000		1,658,334
Enterprise Fleet Financing LLC:
Series 2014-1 Class A2, 0.87% 9/20/19 (b)	1,304,641		1,304,948
Series 2014-2 Class A2, 1.05% 3/20/20 (b)	2,463,000		2,465,901
Series 2015-1 Class A2, 1.3% 9/20/20 (b)	1,642,000		1,644,790
Fannie Mae Series 2004-T5:
Class AB1, 0.7411% 5/28/35 (c)	131,071		121,825
Class AB3, 1.0669% 5/28/35 (c)	55,367		51,244
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3563% 8/25/34 (c)	36,914		34,340
Ford Credit Auto Lease Trust Series 2015-A Class A3, 1.13% 6/15/18	1,500,000		1,500,261
Ford Credit Floorplan Master Owner Trust:
Series 2012-5 Class A, 1.49% 9/15/19	4,516,000		4,534,565
Series 2014-1 Class A1, 1.2% 2/15/19	1,954,000		1,958,537
Series 2014-4 Class A1, 1.4% 8/15/19	1,614,000		1,618,516
Asset-Backed Securities - continued
	Principal Amount		Value
Fremont Home Loan Trust:
Series 2004-D:
Class M4, 1.6063% 11/25/34 (c)	$ 85,621		$ 31,930
Class M5, 1.6813% 11/25/34 (c)	31,654		509
Series 2005-A:
Class M3, 0.9163% 1/25/35 (c)	120,398		101,766
Class M4, 1.2013% 1/25/35 (c)	44,055		28,182
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.662% 2/25/47 (b)(c)	152,917		142,664
GE Business Loan Trust Series 2003-1 Class A, 0.6156% 4/15/31 (b)(c)	4,299		4,299
GE Equipment Transportation LLC:
Series 2012-2 Class A3, 0.62% 7/25/16	127,741		127,745
Series 2014-1 Class A3, 0.97% 4/23/18	1,204,352		1,204,749
Series 2015-1 Class A3, 1.28% 2/25/19	1,000,000		1,001,667
GM Financial Automobile Leasing Trust:
Series 2014-1A Class A3, 1.01% 5/22/17 (b)	1,240,000		1,241,474
Series 2014-2A Class A3, 1.22% 1/22/18 (b)	1,600,000		1,600,998
Series 2015-1 Class A3, 1.53% 9/20/18	1,367,000		1,371,607
GMF Floorplan Owner Revolving Trust Series 2015-1 Class A1, 1.65% 5/15/20 (b)	1,400,000		1,401,513
Home Equity Asset Trust:
Series 2003-3 Class M1, 1.4748% 8/25/33 (c)	48,574		46,684
Series 2003-5 Class A2, 0.8848% 12/25/33 (c)	36,254		34,574
Series 2004-1 Class M2, 1.8848% 6/25/34 (c)	45,524		41,284
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3713% 1/25/37 (c)	128,988		82,213
Hyundai Auto Lease Securitization Trust:
Series 2014-B Class A3, 0.98% 11/15/17 (b)	1,642,000		1,644,944
Series 2015-A Class A3, 1.42% 9/17/18 (b)	1,232,000		1,235,939
Hyundai Floorplan Master Owner Trust Series 2013-1A Class A, 0.5356% 5/15/18 (b)(c)	1,380,000		1,380,280
John Deere Owner Trust Series 2013-A Class A3, 0.6% 3/15/17	656,653		656,897
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.3113% 11/25/36 (c)	61,353		60,861
KeyCorp Student Loan Trust Series 1999-A Class A2, 0.5986% 12/27/29 (c)	17,385		17,324
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4848% 5/25/37 (c)	47,463		461
Mercedes-Benz Auto Lease Trust Series 2015-A Class A3, 1.1% 8/15/17	1,631,000		1,636,904
Mercedes-Benz Master Owner Trust:
Series 2012-AA Class A, 0.79% 11/15/17 (b)	3,908,000		3,912,854
Asset-Backed Securities - continued
	Principal Amount		Value
Mercedes-Benz Master Owner Trust: - continued
Series 2015-AA Class A, 0.5002% 4/15/19 (b)(c)	$ 1,968,000		$ 1,967,999
Merrill Lynch Mortgage Investors Trust:
Series 2006-FM1 Class A2B, 0.2913% 4/25/37 (c)	32,104		30,308
Series 2006-OPT1 Class A1A, 0.7048% 6/25/35 (c)	90,248		87,073
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.8648% 8/25/34 (c)	113,943		105,879
Series 2004-NC8 Class M6, 2.0563% 9/25/34 (c)	42,669		37,770
Series 2005-NC1 Class M1, 0.8448% 1/25/35 (c)	40,852		38,268
Series 2005-NC2 Class B1, 1.9363% 3/25/35 (c)	30,946		677
Nissan Auto Lease Trust Series 2014-A Class A3, 0.8% 2/15/17	885,000		885,608
Nissan Master Owner Trust Receivables Series 2015-A Class A2, 1.44% 1/15/20	1,642,000		1,644,545
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 1.0066% 10/30/45 (c)	374,960		373,479
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.0598% 9/25/34 (c)	654,824		616,339
Class M4, 2.3598% 9/25/34 (c)	892,159		418,156
Series 2005-WCH1 Class M4, 1.4298% 1/25/36 (c)	153,762		137,361
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9848% 4/25/33 (c)	648		607
Santander Drive Auto Receivables Trust:
Series 2013-4 Class A3, 1.11% 12/15/17	468,520		469,034
Series 2014-4 Class B, 1.82% 5/15/19	754,000		754,943
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9688% 3/25/35 (c)	106,924		98,052
SLM Private Credit Student Loan Trust:
Series 2004-A:
Class B, 0.8506% 6/15/33 (c)	190,819		186,238
Class C, 1.2206% 6/15/33 (c)	554,207		537,082
Series 2004-B:
Class A2, 0.4706% 6/15/21 (c)	450,093		447,803
Class C, 1.1406% 9/15/33 (c)	718,026		690,144
SLM Student Loan Trust:
Series 2012-7 Class A2, 0.4648% 9/25/19 (c)	1,596,549		1,595,018
Series 2013-1 Class A2, 0.4348% 9/25/19 (c)	1,244,255		1,242,337
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9098% 9/25/34 (c)	5,593		4,917
Synchrony Credit Card Master Note Trust Series 2015-2 Class A, 1.6% 4/15/21	1,580,000		1,583,459
Asset-Backed Securities - continued
	Principal Amount		Value
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0448% 9/25/34 (c)	$ 71,344		$ 62,024
Volkswagen Auto Lease Trust:
Series 2014-A Class A3, 0.8% 4/20/17	1,330,000		1,330,676
Series 2015-A Class A3, 1.25% 12/20/17	821,000		822,682
Volkswagen Auto Loan Enhanced Trust:
Series 2013-2 Class A3, 0.7% 4/20/18	1,843,000		1,841,808
Series 2014-1 Class A3, 0.91% 10/22/18	1,087,000		1,088,424
Volkswagen Credit Auto Master Trust Series 2014-1A Class A2, 1.4% 7/22/19 (b)	1,020,000		1,024,512
Volvo Financial Equipment LLC Series 2015-1A Class A3, 1.51% 6/17/19 (b)	1,289,000		1,293,454
Whinstone Capital Management Ltd. Series 1A Class B3, 2.077% 10/25/44 (b)(c)	1,141,740		1,139,710
World Omni Auto Receivables Trust Series 2014-B Class A3, 1.14% 1/15/20	1,509,000		1,506,501
TOTAL ASSET-BACKED SECURITIES (Cost $128,478,612)		128,483,605
Collateralized Mortgage Obligations - 3.0%
Private Sponsor - 1.2%
BCAP LLC II Trust Series 2012-RR10 Class 5A5, 0.4381% 4/26/36 (b)(c)	516,115		501,861
Credit Suisse Mortgage Trust Series 2012-2R Class 1A1, 2.5861% 5/27/35 (b)(c)	637,766		656,505
Granite Master Issuer PLC floater:
Series 2006-1A:
Class A5, 0.324% 12/20/54 (b)(c)	1,092,433		1,085,551
Class C2, 1.384% 12/20/54 (b)(c)	626,000		616,047
Series 2006-2:
Class A4, 0.264% 12/20/54 (c)	214,640		213,223
Class C1, 1.124% 12/20/54 (c)	2,672,000		2,619,094
Series 2006-3 Class C2, 1.184% 12/20/54 (c)	142,000		139,359
Series 2006-4:
Class B1, 0.364% 12/20/54 (c)	381,000		375,590
Class C1, 0.944% 12/20/54 (c)	233,000		227,128
Class M1, 0.524% 12/20/54 (c)	100,000		97,250
Series 2007-1:
Class 1C1, 0.784% 12/20/54 (c)	235,000		227,057
Class 1M1, 0.484% 12/20/54 (c)	153,000		148,257
Class 2C1, 1.044% 12/20/54 (c)	107,000		104,785
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2007-1:
Class 2M1, 0.684% 12/20/54 (c)	$ 196,000		$ 191,825
Series 2007-2:
Class 2C1, 1.0434% 12/17/54 (c)	272,000		266,342
Class 3A1, 0.3634% 12/17/54 (c)	81,637		81,196
Granite Mortgages Series 2003-2 Class 1A3, 0.7751% 7/20/43 (c)	313,635		313,306
Granite Mortgages PLC floater:
Series 2003-3:
Class 1A3, 0.6751% 1/20/44 (c)	54,950		54,863
Class 1C, 2.7251% 1/20/44 (c)	44,508		44,526
Series 2004-1 Class 2A1, 0.5903% 3/20/44 (c)	927,679		924,723
Series 2004-3 Class 2A1, 0.5503% 9/20/44 (c)	547,581		545,999
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3948% 5/25/47 (c)	53,436		50,058
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3548% 2/25/37 (c)	69,253		63,160
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.531% 6/10/35 (b)(c)	27,139		24,712
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2236% 7/20/34 (c)	3,044		2,985
TOTAL PRIVATE SPONSOR			9,575,402
U.S. Government Agency - 1.8%
Fannie Mae:
floater:
Series 2008-76 Class EF, 0.6848% 9/25/23 (c)	67,880		68,109
Series 2013-9 Class FA, 0.5348% 3/25/42 (c)	1,555,051		1,560,111
floater planned amortization class Series 2005-90 Class FC, 0.4348% 10/25/35 (c)	393,373		394,135
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27	633,600		673,794
planned amortization class Series 2012-94 Class E, 3% 6/25/22	420,957		434,776
sequential payer:
Series 2001-40 Class Z, 6% 8/25/31	146,074		166,150
Series 2009-31 Class A, 4% 2/25/24	89,155		92,082
Series 2010-135 Class DE, 2.25% 4/25/24	395,490		403,004
Series 2011-16 Class FB, 0.3348% 3/25/31 (c)	925,260		926,433
Series 2010-123 Class DL, 3.5% 11/25/25	151,076		155,472
Series 2010-143 Class B, 3.5% 12/25/25	280,351		290,542
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Fannie Mae: - continued
Series 2011-23 Class AB, 2.75% 6/25/20	$ 223,956		$ 228,838
target amortization Series 2008-29 Class BG 4.7% 12/25/35	134,277		139,588
Freddie Mac:
floater Series 2711 Class FC, 1.0815% 2/15/33 (c)	627,338		639,416
floater planned amortization class Series 3117 Class JF, 0.4815% 2/15/36 (c)	388,175		389,554
floater sequential payer Series 3943 Class EF 0.4315% 2/15/26 (c)	687,837		689,271
pass-thru certificates Series 2011-3938 Class BE, 2% 10/15/21	848,026		863,253
planned amortization class:
Series 3081 Class CP 5.5% 10/15/34	90,502		90,804
Series 3792 Class DF, 0.5815% 11/15/40 (c)	1,011,979		1,014,750
Series 3820 Class DA, 4% 11/15/35	487,194		517,408
Series 3949 Class MK, 4.5% 10/15/34	391,278		426,016
Series 4221-CLS Class GA, 1.4% 7/15/23	1,766,535		1,766,019
Ginnie Mae guaranteed REMIC pass-thru certificates:
floater Series 2012-113 Class FJ, 0.434% 1/20/42 (c)	553,881		554,068
floater planned amortization class Series 2005-47 Class FX, 0.334% 5/20/34 (c)	943,890		943,193
floater sequential payer:
Series 2010-120 Class FB 0.484% 9/20/35 (c)	258,750		258,992
Series 2011-150 Class D, 3% 4/20/37	67,517		68,513
TOTAL U.S. GOVERNMENT AGENCY			13,754,291
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $21,160,347)		23,329,693
Commercial Mortgage Securities - 9.2%
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5708% 2/14/43 (c)(d)	195,262		2,961
Banc of America Commercial Mortgage Trust:
sequential payer Series 2006-4 Class A4, 5.634% 7/10/46	832,800		858,229
Series 2006-4 Class A1A, 5.617% 7/10/46 (c)	1,462,865		1,522,252
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI Class A, 1.38% 5/15/32 (b)(c)	1,028,000		1,025,999
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.4598% 12/25/33 (b)(c)	$ 4,453		$ 4,007
Series 2005-4A:
Class A2, 0.5748% 1/25/36 (b)(c)	422,341		375,313
Class B1, 1.5848% 1/25/36 (b)(c)	16,645		9,912
Class M1, 0.6348% 1/25/36 (b)(c)	132,834		106,641
Class M2, 0.6548% 1/25/36 (b)(c)	61,399		47,966
Class M3, 0.6848% 1/25/36 (b)(c)	65,988		49,196
Class M4, 0.7948% 1/25/36 (b)(c)	33,766		24,581
Class M5, 0.8348% 1/25/36 (b)(c)	33,766		24,282
Class M6, 0.8848% 1/25/36 (b)(c)	34,266		22,437
Series 2006-3A Class M4, 0.6148% 10/25/36 (b)(c)	5,297		560
Series 2007-1 Class A2, 0.4548% 3/25/37 (b)(c)	212,234		178,533
Series 2007-2A:
Class A1, 0.4548% 7/25/37 (b)(c)	47,166		41,208
Class A2, 0.5048% 7/25/37 (b)(c)	44,176		37,372
Class M1, 0.5548% 7/25/37 (b)(c)	15,745		11,827
Class M2, 0.5948% 7/25/37 (b)(c)	8,835		5,682
Class M3, 0.6748% 7/25/37 (b)(c)	6,777		2,704
Series 2007-3:
Class A2, 0.4748% 7/25/37 (b)(c)	64,780		54,117
Class M1, 0.4948% 7/25/37 (b)(c)	48,940		37,155
Class M2, 0.5248% 7/25/37 (b)(c)	51,454		34,388
Class M3, 0.5548% 7/25/37 (b)(c)	83,288		33,640
Class M4, 0.6848% 7/25/37 (b)(c)	131,706		37,921
Class M5, 0.7848% 7/25/37 (b)(c)	60,629		10,160
Series 2007-4A:
Class A2, 0.7313% 9/25/37 (b)(c)	539,580		231,771
Class M1, 1.1313% 9/25/37 (b)(c)	96,164		19,648
Series 2006-2A Class IO, 0% 7/25/36 (b)(c)(d)	4,257,415		0
Bear Stearns Commercial Mortgage Securities Trust:
sequential payer:
Series 2005-PWR8 Class A4, 4.674% 6/11/41	73,049		72,972
Series 2006-PW13 Class A1A, 5.533% 9/11/41	1,391,198		1,451,480
Series 2006-PW14 Class A1A, 5.189% 12/11/38	517,606		543,592
Series 2006-T22 Class A1A, 5.7581% 4/12/38 (c)	1,320,984		1,352,981
Series 2006-PW12 Class A1A, 5.8805% 9/11/38 (c)	1,063,564		1,099,211
C-BASS Trust floater Series 2006-SC1 Class A, 0.4513% 5/25/36 (b)(c)	43,201		40,988
Commercial Mortgage Securities - continued
	Principal Amount		Value
CD Commercial Mortgage Trust Series 2007-CD5 Class A1A, 5.8% 11/15/44	$ 891,940		$ 962,388
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class A, 1.5745% 12/15/27 (b)(c)	1,641,924		1,645,011
Citigroup Commercial Mortgage Trust:
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	473,695		495,401
Series 2013-GC11 Class A1, 0.754% 4/10/46	422,844		421,118
Citigroup/Deutsche Bank Commercial Mortgage Trust:
sequential payer Series 2006-CD2 Class A4, 5.4787% 1/15/46 (c)	276,874		279,476
Series 2005-CD1 Class A4, 5.3959% 7/15/44 (c)	346,605		347,714
Series 2006-CD2 Class A1B, 5.4797% 1/15/46 (c)	2,245,279		2,284,030
COMM Mortgage Trust:
floater Series 2014-KYO Class A, 1.08% 6/11/27 (b)(c)	2,052,405		2,049,805
Series 2013-CR9 Class A1, 1.344% 7/10/45	280,165		280,746
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.0356% 4/15/17 (b)(c)	16,009		16,012
sequential payer:
Series 2006-C7 Class A1A, 5.9288% 6/10/46 (c)	1,864,893		1,927,727
Series 2006-C8 Class A1A, 5.292% 12/10/46	1,295,626		1,368,040
Commercial Mortgage Trust pass-thru certificates sequential payer Series 2012-CR2 Class A1, 0.824% 8/15/45	183,686		183,831
CSMC Series 2015-TOWN:
Class B, 2.0815% 3/15/17 (b)(c)	180,000		180,121
Class C, 2.4315% 3/15/17 (b)(c)	176,000		176,118
Class D, 3.3815% 3/15/17 (b)(c)	266,000		266,178
CSMC Trust floater Series 2014-ICE:
Class A, 0.976% 4/15/27 (b)(c)	1,128,000		1,124,447
Class B, 1.376% 4/15/27 (b)(c)	990,000		986,257
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.981% 12/5/31 (b)(c)	693,019		690,968
Class A2FL, 0.881% 12/5/31 (b)(c)	953,000		949,197
Freddie Mac:
pass-thru certificates Series K708 Class A1, 1.67% 10/25/18	583,336		587,940
Series K707 Class A1, 1.615% 9/25/18	1,021,249		1,030,350
GAHR Commercial Mortgage Trust floater Series 2015-NRF Class AFL1, 1.4815% 12/15/16 (b)(c)	1,967,924		1,972,993
Commercial Mortgage Securities - continued
	Principal Amount		Value
GE Capital Commercial Mortgage Corp.:
sequential payer:
Series 2006-C1 Class A4, 5.4499% 3/10/44 (c)	$ 1,381,008		$ 1,399,587
Series 2007-C1 Class A4, 5.543% 12/10/49	436,752		456,855
Series 2006-C1 Class A1A, 5.4499% 3/10/44 (c)	807,749		820,564
GMAC Commercial Mortgage Securities, Inc. Series 2004-C2 Class A4, 5.301% 8/10/38	6,682		6,689
GS Mortgage Securities Corp. II Series 2006-GG6:
Class A1A, 5.556% 4/10/38 (c)	772,715		783,089
Class A4, 5.553% 4/10/38 (c)	1,249,504		1,259,930
GS Mortgage Securities Corp. Trust Series 2013-C, 2.974% 1/10/30 (b)	290,000		294,886
GS Mortgage Securities Trust:
floater Series 2014-GSFL Class A, 1.1815% 7/15/31 (b)(c)	543,477		543,711
sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	787,563		825,597
Class A4, 5.56% 11/10/39	1,162,604		1,211,581
Series 2011-GC5 Class A1, 1.468% 8/10/44	65,581		65,630
Series 2012-GC6 Class A1, 1.282% 1/10/45	83,319		83,512
Series 2013-GC12 Class A1, 0.742% 6/10/46 (c)	439,133		437,040
Hilton U.S.A. Trust:
floater Series 2013-HLF Class AFL, 1.1735% 11/5/30 (b)(c)	884,948		885,708
Series 2013-HLT Class DFX, 4.4065% 11/5/30 (b)	270,000		274,343
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class A, 1.432% 11/15/29 (b)(c)	737,000		737,832
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class E, 0.4656% 11/15/18 (b)(c)	12,053		11,930
Class F, 0.5156% 11/15/18 (b)(c)	31,865		30,976
Class G, 0.5456% 11/15/18 (b)(c)	27,694		26,718
Class H, 0.6856% 11/15/18 (b)(c)	21,250		20,402
Series 2014-BXH Class A, 1.0856% 4/15/27 (b)(c)	1,232,000		1,232,256
Series 2014-FL5 Class A, 1.1615% 7/15/31 (b)(c)	1,396,000		1,392,729
sequential payer:
Series 2006-CB16 Class A1A, 5.546% 5/12/45	1,518,828		1,587,524
Series 2006-LDP8 Class A4, 5.399% 5/15/45	1,455,323		1,505,933
Series 2006-LDP7 Class A1A, 6.057% 4/15/45 (c)	1,708,828		1,779,832
Series 2013-C13 Class A1, 1.3029% 1/15/46	1,534,160		1,537,158
Commercial Mortgage Securities - continued
	Principal Amount		Value
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C1 Class A4, 5.156% 2/15/31	$ 1,049,460		$ 1,061,717
Series 2006-C6 Class A4, 5.372% 9/15/39	353,835		369,243
Series 2007-C1 Class A4, 5.424% 2/15/40	1,622,620		1,712,019
Series 2007-C7 Class A3, 5.866% 9/15/45	696,825		760,771
Merrill Lynch Mortgage Trust:
Series 2005-CKI1 Class A1A, 5.4484% 11/12/37 (c)	397,098		401,482
Series 2006-C2 Class A1A, 5.739% 8/12/43 (c)	1,254,636		1,309,393
Merrill Lynch-CFC Commercial Mortgage Trust sequential payer Series 2007-5 Class A4, 5.378% 8/12/48	976,607		1,020,649
Morgan Stanley BAML Trust Series 2012-C5 Class A1, 0.916% 8/15/45	372,588		372,964
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.386% 7/15/19 (b)(c)	45,397		45,429
Series 2007-XLFA:
Class D, 0.3715% 10/15/20 (b)(c)	84,323		83,628
Class E, 0.4315% 10/15/20 (b)(c)	105,926		104,814
Class F, 0.4815% 10/15/20 (b)(c)	63,569		62,732
Class G, 0.5215% 10/15/20 (b)(c)	78,581		77,080
Class H, 0.6115% 10/15/20 (b)(c)	49,464		47,530
Class J, 0.7615% 10/15/20 (b)(c)	28,557		26,013
sequential payer:
Series 2007-IQ13 Class A1A, 5.312% 3/15/44	471,139		499,478
Series 2007-IQ14 Class A2, 5.61% 4/15/49	299,016		302,093
Series 2012-C4 Class A1, 1.085% 3/15/45	337,094		337,931
Series 2006-HQ9 Class A4, 5.731% 7/12/44 (c)	1,005,971		1,036,344
Series 2007-T27 Class A1A, 5.8266% 6/11/42 (c)	1,552,473		1,666,344
SCG Trust Series 2013-SRP1 Class A, 1.5815% 11/15/26 (b)(c)	965,000		965,397
UBS Commercial Mortgage Trust Series 2012-C1 Class A1, 1.032% 5/10/45	104,100		104,225
UBS-Barclays Commercial Mortgage Trust sequential payer Series 2013-C6 Class A1, 0.805% 4/10/46	372,193		370,896
Wachovia Bank Commercial Mortgage Trust:
floater Series 2006-WL7A:
Class G, 0.5456% 9/15/21 (b)(c)	20,057		19,765
Class J, 0.7856% 9/15/21 (b)(c)	50,198		47,647
sequential payer:
Series 2006-C29:
Class A1A, 5.297% 11/15/48	2,129,076		2,242,844
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2006-C29:
Class A4, 5.308% 11/15/48	$ 383,038		$ 400,150
Series 2007-C31 Class A4, 5.509% 4/15/47	250,394		262,706
Series 2006-C23:
Class A1A, 5.422% 1/15/45	2,210,348		2,249,239
Class A5, 5.416% 1/15/45 (c)	1,880,003		1,915,127
Series 2006-C24 Class A1A, 5.557% 3/15/45 (c)	1,191,148		1,217,919
Series 2006-C26 Class A1A, 6.009% 6/15/45 (c)	1,389,227		1,442,573
Series 2006-C27 Class A3, 5.765% 7/15/45 (c)	933,292		963,889
Series 2007-C31A Class A2, 5.421% 4/15/47	63,991		63,940
WF-RBS Commercial Mortgage Trust Series 2013-C13 Class A1, 0.778% 5/15/45	259,379		258,355
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $75,766,720)		72,631,892
Foreign Government and Government Agency Obligations - 0.1%
Banco Nacional de Desenvolvimento Economico e Social 3.375% 9/26/16 (b) (Cost $956,022)	957,000		970,159
Supranational Obligations - 0.2%
International Bank for Reconstruction & Development 1% 6/15/18	689,000		688,741
KeyBank NA 1.7% 6/1/18	1,183,000		1,182,996
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,869,576)		1,871,737

Money Market Funds - 0.3%
	Shares		Value
Fidelity Cash Central Fund, 0.15% (a) (Cost $2,401,721)	2,401,721		$ 2,401,721
TOTAL INVESTMENT PORTFOLIO - 100.1% (Cost $787,323,280)			788,951,392
NET OTHER ASSETS (LIABILITIES) - (0.1)%			(751,765)
NET ASSETS - 100%		$ 788,199,627

Swaps
Credit Default Swaps
Underlying Reference	Rating (1)	Expiration Date	Clearinghouse/ Counterparty	Fixed Payment Received/ (Paid)	Notional Amount (2)	Value (1)	Upfront Premium Received/ (Paid)	Unrealized Appreciation/ (Depreciation)
Sell Protection
Morgan Stanley ABS Capital I Inc Series 2004-NC8 Class B3	C	Oct. 2034	Merrill Lynch International	4.60%	$ 32,233	$ (7,289)	$ -	$ (7,289)

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

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

Legend

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

(b) Security 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 $114,693,644 or 14.6% of net assets.

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

(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.

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	$ 7,280

Other Information

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

Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities:
Corporate Bonds	$ 357,188,550	$ -	$ 357,188,550	$ -
U.S. Government and Government Agency Obligations	176,130,287	-	176,130,287	-
U.S. Government Agency - Mortgage Securities	25,943,748	-	25,943,748	-
Asset-Backed Securities	128,483,605	-	128,451,166	32,439
Collateralized Mortgage Obligations	23,329,693	-	23,329,693	-
Commercial Mortgage Securities	72,631,892	-	72,605,879	26,013
Foreign Government and Government Agency Obligations	970,159	-	970,159	-
Supranational Obligations	1,871,737	-	1,871,737	-
Money Market Funds	2,401,721	2,401,721	-	-
Total Investments in Securities:	$ 788,951,392	$ 2,401,721	$ 786,491,219	$ 58,452
Derivative Instruments:
Liabilities
Swaps	$ (7,289)	$ -	$ (7,289)	$ -

Income Tax Information

At May 31, 2015, the cost of investment securities for income tax purposes was $786,639,458. Net unrealized appreciation aggregated $2,311,934, of which $6,810,815 related to appreciated investment securities and $4,498,881 related to depreciated investment securities.

Investment Valuation

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

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

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

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

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

Credit Risk.

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

Quarterly Report

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

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

Quarterly Report

Item 2. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the Trust's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Advisor Series II

By:	/s/Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer
Date:	July 30, 2015

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

By:	/s/Stephanie J. Dorsey
	Stephanie J. Dorsey
	President and Treasurer
Date:	July 30, 2015

By:	/s/Howard J. Galligan III
	Howard J. Galligan III
	Chief Financial Officer
Date:	July 30, 2015