N-CSR 1 filing977.htm PRIMARY DOCUMENT

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


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number   811-649  


Fidelity Puritan Trust
 (Exact name of registrant as specified in charter)


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


Marc Bryant, Secretary

245 Summer St.

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



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

 August 31

 

 

Date of reporting period:

August 31, 2015



Item 1.

Reports to Stockholders




Fidelity® Puritan® Fund



Annual Report

August 31, 2015




Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year.

The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred.

How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended August 31, 2015 Past 1 year Past 5 years Past 10 years 
Fidelity® Puritan® Fund 0.87% 11.63% 6.83% 



$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Puritan® Fund, a class of the fund, on August 31, 2005.

The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.


Period Ending Values

$19,354Fidelity® Puritan® Fund

$19,955S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  After rising for much of the year ending August 31, 2015, global deflationary pressure stirred by China’s flagging economy – and yuan devaluation – brought about a late-period swoon in U.S. equity markets. The S&P 500® Index returned 0.48% for the full year. Effects were indiscriminate across the market-capitalization spectrum, but within market-cap segments, growth-stock gains counterbalanced negatives for value-oriented counterparts. In this environment, the small-cap Russell 2000® Index returned 0.03% and the growth-oriented Nasdaq Composite Index® returned 5.49%. S&P 500® sector trends held fast: health care (+12%) benefited from earnings growth and mergers; consumer discretionary (+11%), from a seven-year low in unemployment. Energy (-30%) and materials (-13%) were hurt by tumbling commodities prices. Meanwhile, the Barclays® U.S. Aggregate Bond Index returned 1.56% for the 12 months. Among sectors in the Barclays® index, U.S. Treasury bonds (+2%) outpaced corporates (-1%) as credit spreads – yield premiums demanded by holders of riskier bonds – widened. Outside of the Barclays® index, high-yield bonds declined. At period end, investors remained focused on the potential global implications of China’s slowing economic growth, the U.S. Federal Reserve’s thinking on interest rates and continued volatility in the oil markets.

Comments from Lead Portfolio Manager Ramin Arani:  For the year, the fund’s share classes finished just shy of the 1.06% advance of the Fidelity Puritan Composite Index℠. The fund continued with its substantial overweighting in equities, below-neutral exposure to investment-grade bonds and a small out-of-index stake in high-yield bonds. This stance had a roughly neutral impact on results versus the Composite index. Turning to security selection, we benefited most from our picks among stocks and high-yield bonds, but our picks in investment-grade debt were a modest relative detractor. Among equities, Anadarko Petroleum hurt most, whereas avoiding weak-performing index name Exxon Mobil was the biggest relative contributor. In fixed income, overweighting investment-grade corporate bonds detracted, but security selection among corporates was a partial offset. Our yield-curve positioning was a notable bright spot overall. We benefited from our larger-than-benchmark stake in financials, which materially outperformed bonds in the industrials sector. Our approach to the industrials sector was beneficial. Underweighting this category boosted relative performance, as did security selection here. We lost ground due to our choices in the government-related sector, especially holdings in taxable municipal bonds backed by Illinois and Chicago. Lastly, our decision to underweight Treasuries in a risk-off environment detracted.

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

Investment Summary (Unaudited)

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

Top Five Stocks as of August 31, 2015

 % of fund's net assets % of fund's net assets 6 months ago 
Apple, Inc. 2.4 3.2 
Google, Inc. Class C 1.9 1.0 
Allergan PLC 1.7 2.0 
Visa, Inc. Class A 1.3 1.0 
JPMorgan Chase & Co. 1.3 1.1 
 8.6  



Top Five Bond Issuers as of August 31, 2015

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 4.1 4.8 
Fannie Mae 3.3 3.0 
Freddie Mac 1.5 1.0 
Ginnie Mae 1.1 1.0 
Citigroup, Inc. 0.9 0.8 
 10.9  



Top Five Market Sectors as of August 31, 2015

 % of fund's net assets % of fund's net assets 6 months ago 
Financials 20.0 17.7 
Information Technology 15.5 15.5 
Consumer Discretionary 13.4 12.0 
Health Care 12.3 13.6 
Energy 5.4 5.4 



Asset Allocation (% of fund's net assets)

As of August 31, 2015 * 
   Stocks 63.7% 
   Bonds 31.2% 
   Convertible Securities 0.9% 
   Other Investments 1.1% 
   Short-Term Investments and Net Other Assets (Liabilities) 3.1% 


 * Foreign investments - 14.3%



As of February 28, 2015 * 
   Stocks 65.8% 
   Bonds 28.7% 
   Convertible Securities 0.8% 
   Other Investments 0.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 3.9% 


 * Foreign investments - 12.6%



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

Percentages are adjusted for the effect of futures contracts and swaps, if applicable.

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

Investments August 31, 2015

Showing Percentage of Net Assets

Common Stocks - 63.7%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 10.9%   
Auto Components - 0.1%   
Chassix Holdings, Inc. 18,330 $423 
Delphi Automotive PLC 397,193 29,996 
  30,419 
Automobiles - 0.6%   
Brilliance China Automotive Holdings Ltd. 10,096,000 12,193 
Chongqing Changan Automobile Co. Ltd. (B Shares) 6,710,778 10,737 
Ford Motor Co. 3,107,500 43,101 
General Motors Co. 945,514 27,836 
General Motors Co.:   
warrants 7/10/16 (a) 8,394 165 
warrants 7/10/19 (a) 8,394 105 
Tesla Motors, Inc. (a) 231,000 57,533 
  151,670 
Diversified Consumer Services - 0.0%   
Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(b) 1,945 22 
Hotels, Restaurants & Leisure - 1.8%   
ARAMARK Holdings Corp. 150,000 4,701 
Domino's Pizza, Inc. 284,200 30,108 
Extended Stay America, Inc. unit 150,000 2,816 
Hilton Worldwide Holdings, Inc. 1,318,800 32,746 
Starbucks Corp. 3,435,600 187,962 
Station Holdco LLC(a)(b)(c) 1,194,419 4,384 
Station Holdco LLC (a)(b)(d) 9,088 33 
Station Holdco LLC:   
unit (a)(b)(d) 2,660 
warrants 6/15/18(a)(b)(c) 75,658 52 
Vail Resorts, Inc. 957,527 103,327 
Wyndham Worldwide Corp. 922,800 70,576 
  436,707 
Household Durables - 0.3%   
PulteGroup, Inc. 4,060,500 84,012 
Internet & Catalog Retail - 1.4%   
Amazon.com, Inc. (a) 408,400 209,464 
Expedia, Inc. 162,600 18,697 
Netflix, Inc. (a) 387,800 44,609 
Priceline Group, Inc. (a) 25,800 32,215 
Spotify Technology SA (a)(b) 15,262 34,350 
  339,335 
Media - 3.1%   
AMC Networks, Inc. Class A (a) 53,800 3,894 
Charter Communications, Inc. Class A (a)(e) 178,300 32,381 
Comcast Corp. Class A (special) (non-vtg.) 2,605,500 149,139 
Cumulus Media, Inc. Class A (a) 398,000 569 
Legend Pictures LLC (a)(b)(c) 49,141 109,495 
Lions Gate Entertainment Corp. (e) 1,870,900 68,643 
Live Nation Entertainment, Inc. (a) 1,624,600 39,998 
Publicis Groupe SA 36,972 2,635 
Starz Series A (a) 1,043,000 39,227 
The Walt Disney Co. 1,617,490 164,790 
Time Warner Cable, Inc. 350,900 65,274 
Time Warner, Inc. 836,400 59,468 
Tribune Media Co. Class A 13,773 550 
Tribune Publishing Co. 3,443 41 
Vertis Holdings, Inc. (a) 1,934 
Vice Holding, Inc. Series A(a)(b) 2,172 30,550 
Vivendi SA 390,024 9,648 
  776,302 
Specialty Retail - 1.7%   
Home Depot, Inc. 2,362,200 275,102 
L Brands, Inc. 674,000 56,549 
TJX Companies, Inc. 947,200 66,607 
Ulta Salon, Cosmetics & Fragrance, Inc. (a) 161,700 25,563 
  423,821 
Textiles, Apparel & Luxury Goods - 1.9%   
Brunello Cucinelli SpA (e) 1,407,200 25,597 
Burberry Group PLC 2,434,000 52,700 
Christian Dior SA 284,500 52,804 
Hermes International SCA 81,100 28,817 
lululemon athletica, Inc. (a) 525,900 33,663 
Luxottica Group SpA 81,800 5,540 
Michael Kors Holdings Ltd. (a) 129,061 5,609 
NIKE, Inc. Class B 1,403,100 156,796 
Ralph Lauren Corp. 111,600 12,409 
Ted Baker PLC 302,900 14,251 
Tory Burch LLC (a)(b)(c) 324,840 25,519 
Tory Burch LLC Class A unit (a)(b)(c) 702,741 50,000 
  463,705 
TOTAL CONSUMER DISCRETIONARY  2,705,993 
CONSUMER STAPLES - 4.6%   
Beverages - 1.4%   
Constellation Brands, Inc. Class A (sub. vtg.) 1,088,100 139,277 
Kweichow Moutai Co. Ltd. 546,469 16,744 
Molson Coors Brewing Co. Class B 403,700 27,488 
Monster Beverage Corp. (a) 706,500 97,822 
The Coca-Cola Co. 1,463,800 57,557 
  338,888 
Food & Staples Retailing - 1.3%   
Costco Wholesale Corp. 578,500 81,019 
CVS Health Corp. 2,037,800 208,671 
Walgreens Boots Alliance, Inc. 406,100 35,148 
  324,838 
Food Products - 0.9%   
Keurig Green Mountain, Inc. 573,900 32,483 
Mead Johnson Nutrition Co. Class A 449,400 35,206 
Mondelez International, Inc. 2,533,100 107,302 
The Kraft Heinz Co. 430,200 31,258 
WhiteWave Foods Co. (a) 274,600 12,670 
  218,919 
Personal Products - 0.5%   
Estee Lauder Companies, Inc. Class A 1,532,300 122,232 
L'Oreal SA 10,600 1,816 
  124,048 
Tobacco - 0.5%   
Reynolds American, Inc. 1,464,442 122,647 
TOTAL CONSUMER STAPLES  1,129,340 
ENERGY - 3.0%   
Energy Equipment & Services - 0.7%   
Aspen Aerogels, Inc. (a) 1,046,378 7,816 
Cameron International Corp. (a) 389,500 26,003 
Schlumberger Ltd. 1,870,600 144,728 
  178,547 
Oil, Gas & Consumable Fuels - 2.3%   
Anadarko Petroleum Corp. 14,400 1,031 
Apache Corp. 748,600 33,867 
Cabot Oil & Gas Corp. 1,397,900 33,088 
Chevron Corp. 1,438,700 116,520 
Cimarex Energy Co. 179,500 19,837 
Columbia Pipeline Group, Inc. 37,320 946 
EQT Corp. 217,900 16,957 
Golar LNG Ltd. 545,000 21,222 
Imperial Oil Ltd. 1,965,800 69,407 
Kinder Morgan, Inc. 2,707,000 87,734 
Memorial Resource Development Corp. (a) 1,702,000 33,036 
Noble Energy, Inc. 724,499 24,206 
Suncor Energy, Inc. 2,987,300 84,605 
The Williams Companies, Inc. 377,600 18,200 
  560,656 
TOTAL ENERGY  739,203 
FINANCIALS - 12.0%   
Banks - 6.0%   
Bank of America Corp. 12,866,300 210,235 
CIT Group, Inc. 549,100 23,853 
Citigroup, Inc. 5,010,140 267,942 
First Republic Bank 50,000 3,016 
Hangzhou Hikvision Digital Technology Co. Ltd. ELS (BNP Paribas Arbitrage Warrant Program) warrants 11/06/2015 (a)(f) 5,195,300 23,871 
JPMorgan Chase & Co. 4,926,223 315,771 
M&T Bank Corp. 457,400 54,083 
Prosperity Bancshares, Inc. 797,927 41,229 
Regions Financial Corp. 5,303,800 50,863 
SunTrust Banks, Inc. 2,158,500 87,139 
TCF Financial Corp. 258,400 4,010 
U.S. Bancorp 3,095,400 131,090 
Wells Fargo & Co. 5,195,940 277,099 
  1,490,201 
Capital Markets - 1.4%   
BlackRock, Inc. Class A 253,700 76,737 
E*TRADE Financial Corp. (a) 2,255,500 59,297 
Goldman Sachs Group, Inc. 170,600 32,175 
Invesco Ltd. 1,603,600 54,699 
Morgan Stanley 1,278,300 44,037 
Motors Liquidation Co. GUC Trust (a) 28,150 436 
The Blackstone Group LP 2,420,200 82,892 
  350,273 
Consumer Finance - 0.2%   
Capital One Financial Corp. 536,000 41,674 
Diversified Financial Services - 1.2%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 185,766 
McGraw Hill Financial, Inc. 625,900 60,706 
Moody's Corp. 482,800 49,395 
  295,867 
Insurance - 1.4%   
ACE Ltd. 1,376,500 140,623 
MetLife, Inc. 1,852,600 92,815 
The Chubb Corp. 477,400 57,675 
The Travelers Companies, Inc. 571,000 56,843 
  347,956 
Real Estate Investment Trusts - 1.7%   
American Tower Corp. 1,599,700 147,476 
AvalonBay Communities, Inc. 428,100 70,662 
Boston Properties, Inc. 283,400 32,132 
Public Storage 450,600 90,692 
Simon Property Group, Inc. 427,700 76,695 
  417,657 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 961,800 30,797 
Realogy Holdings Corp. (a) 48,000 1,934 
  32,731 
TOTAL FINANCIALS  2,976,359 
HEALTH CARE - 10.9%   
Biotechnology - 3.2%   
ACADIA Pharmaceuticals, Inc. (a)(e) 1,662,304 60,890 
Acceleron Pharma, Inc. (a) 130,400 3,779 
Alexion Pharmaceuticals, Inc. (a) 395,600 68,118 
Amgen, Inc. 1,805,200 273,993 
Asterias Biotherapeutics, Inc. (a)(e) 130,874 620 
Biogen, Inc. (a) 66,300 19,711 
BioMarin Pharmaceutical, Inc. (a) 173,900 22,475 
Celgene Corp. (a) 497,000 58,686 
Genmab A/S (a) 466,200 41,879 
Geron Corp. (a) 3,139,900 9,514 
Gilead Sciences, Inc. 946,700 99,470 
Grifols SA ADR 45,780 1,387 
Macrogenics, Inc. (a) 226,200 5,960 
Neurocrine Biosciences, Inc. (a) 579,100 26,859 
Puma Biotechnology, Inc. (a) 158,500 14,569 
Spark Therapeutics, Inc. 178,800 7,797 
Vertex Pharmaceuticals, Inc. (a) 654,300 83,436 
XOMA Corp. (a)(e) 1,530,200 1,271 
  800,414 
Health Care Equipment & Supplies - 2.4%   
Boston Scientific Corp. (a) 8,402,200 140,653 
Corindus Vascular Robotics, Inc. (e)(g) 1,315,800 4,605 
Corindus Vascular Robotics, Inc. (b)(g) 5,000,000 17,500 
Medtronic PLC 4,236,286 306,241 
St. Jude Medical, Inc. 951,400 67,369 
Zimmer Biomet Holdings, Inc. 564,000 58,408 
  594,776 
Health Care Providers & Services - 0.7%   
Cigna Corp. 195,400 27,510 
Legend Acquisition, Inc. 2,509 38 
Legend Acquisition, Inc.:   
Class A warrants (a) 17,259 
Class B warrants (a) 22,759 
McKesson Corp. 787,100 155,515 
  183,063 
Health Care Technology - 0.1%   
CareView Communications, Inc. (a)(e)(g) 10,425,300 3,440 
Cerner Corp. (a) 293,000 18,096 
  21,536 
Life Sciences Tools & Services - 0.1%   
Agilent Technologies, Inc. 829,655 30,125 
Illumina, Inc. (a) 1,862 368 
  30,493 
Pharmaceuticals - 4.4%   
AbbVie, Inc. 2,237,100 139,617 
Allergan PLC (a) 1,355,189 411,625 
Bristol-Myers Squibb Co. 1,879,700 111,786 
Endo Health Solutions, Inc. (a) 502,000 38,654 
Jazz Pharmaceuticals PLC (a) 114,600 19,347 
Johnson & Johnson 740,900 69,630 
Mallinckrodt PLC (a) 176,709 15,239 
Merck & Co., Inc. 667,300 35,934 
Pfizer, Inc. 89,200 2,874 
Prestige Brands Holdings, Inc. (a) 581,402 27,047 
Shire PLC sponsored ADR 269,100 62,431 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,721,700 110,895 
TherapeuticsMD, Inc. (a) 5,042,814 30,912 
  1,075,991 
TOTAL HEALTH CARE  2,706,273 
INDUSTRIALS - 4.2%   
Aerospace & Defense - 1.7%   
BAE Systems PLC 3,064,300 21,263 
Esterline Technologies Corp. (a) 178,400 14,577 
General Dynamics Corp. 821,100 116,621 
Honeywell International, Inc. 268,100 26,614 
Meggitt PLC 5,397,000 39,537 
Rockwell Collins, Inc. 979,900 80,205 
The Boeing Co. 543,900 71,077 
TransDigm Group, Inc. (a) 257,600 59,204 
  429,098 
Air Freight & Logistics - 0.4%   
FedEx Corp. 623,200 93,860 
Building Products - 0.1%   
Lennox International, Inc. 210,800 24,883 
Masonite International Corp. (a) 5,358 354 
Masonite International Corp. warrants 6/9/16 (a) 19,485 390 
  25,627 
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc. (a)(b) 5,819,318 349 
Electrical Equipment - 0.2%   
AMETEK, Inc. 369,500 19,886 
BWX Technologies, Inc. 1,066,100 28,273 
SolarCity Corp. (a)(e) 89,800 4,336 
  52,495 
Industrial Conglomerates - 1.5%   
Danaher Corp. 932,700 81,164 
General Electric Co. 11,188,100 277,689 
  358,853 
Machinery - 0.3%   
Deere & Co. 786,200 64,295 
Road & Rail - 0.0%   
J.B. Hunt Transport Services, Inc. 12,500 910 
Trading Companies & Distributors - 0.0%   
United Rentals, Inc. (a) 22,500 1,560 
TOTAL INDUSTRIALS  1,027,047 
INFORMATION TECHNOLOGY - 14.9%   
Communications Equipment - 0.9%   
Cisco Systems, Inc. 6,314,500 163,419 
QUALCOMM, Inc. 1,033,600 58,481 
  221,900 
Electronic Equipment & Components - 0.4%   
Amphenol Corp. Class A 1,071,600 56,109 
Arrow Electronics, Inc. (a) 88,800 4,966 
CDW Corp. 100,000 3,975 
E Ink Holdings, Inc. GDR (a)(f) 140,100 509 
Keysight Technologies, Inc. (a) 637,727 20,433 
  85,992 
Internet Software & Services - 3.8%   
58.com, Inc. ADR (a) 47,700 2,168 
Alibaba Group Holding Ltd. sponsored ADR 1,078,300 71,297 
Facebook, Inc. Class A (a) 3,269,560 292,397 
GoDaddy, Inc. (a) 87,500 2,195 
Gogo, Inc. (a)(e) 1,273,698 20,239 
Google, Inc. Class C 744,783 460,462 
LendingClub Corp. (e) 810,600 10,173 
Mail.Ru Group Ltd.:   
GDR (a)(f) 77,400 1,424 
GDR (Reg. S) (a) 5,300 98 
NAVER Corp. 44 18 
Pandora Media, Inc. (a) 23,894 429 
Tencent Holdings Ltd. 28,500 477 
Twitter, Inc. (a) 436,600 12,133 
Viggle, Inc. (f) 56,268 71 
Yahoo!, Inc. (a) 1,529,600 49,314 
Youku Tudou, Inc. ADR (a) 974,200 16,181 
  939,076 
IT Services - 3.2%   
Accenture PLC Class A 955,000 90,028 
Cognizant Technology Solutions Corp. Class A (a) 3,059,600 192,571 
Fidelity National Information Services, Inc. 697,000 48,135 
MasterCard, Inc. Class A 1,200,500 110,890 
VeriFone Systems, Inc. (a) 860,700 26,888 
Visa, Inc. Class A 4,503,100 321,071 
  789,583 
Semiconductors & Semiconductor Equipment - 1.1%   
Altera Corp. 655,700 31,834 
Analog Devices, Inc. 477,600 26,679 
Broadcom Corp. Class A 1,523,800 78,735 
Cree, Inc. (a)(e) 592,700 16,133 
Cypress Semiconductor Corp. 1,614 16 
Freescale Semiconductor, Inc. (a) 94,000 3,359 
Lam Research Corp. 3,366 245 
Maxim Integrated Products, Inc. 581,800 19,589 
NXP Semiconductors NV (a) 716,100 60,618 
Qorvo, Inc. (a) 403,000 22,371 
Skyworks Solutions, Inc. 149,300 13,041 
  272,620 
Software - 2.9%   
Activision Blizzard, Inc. 1,712,100 49,017 
Adobe Systems, Inc. (a) 1,647,900 129,476 
Autodesk, Inc. (a) 1,203,000 56,240 
Citrix Systems, Inc. (a) 215,400 14,671 
Electronic Arts, Inc. (a) 306,400 20,268 
Microsoft Corp. 740,200 32,214 
Mobileye NV (a)(e) 1,241,440 70,216 
Oracle Corp. 5,891,700 218,523 
Red Hat, Inc. (a) 798,000 57,624 
Salesforce.com, Inc. (a) 1,078,200 74,784 
  723,033 
Technology Hardware, Storage & Peripherals - 2.6%   
Apple, Inc. 5,310,000 598,743 
Hewlett-Packard Co. 1,721,300 48,300 
  647,043 
TOTAL INFORMATION TECHNOLOGY  3,679,247 
MATERIALS - 2.1%   
Chemicals - 2.0%   
Agrium, Inc. 208,700 21,671 
Ashland, Inc. 24 
CF Industries Holdings, Inc. 861,730 49,446 
E.I. du Pont de Nemours & Co. 1,358,975 69,987 
Ecolab, Inc. 432,400 47,192 
Ferro Corp. (a) 1,328,213 16,337 
Huntsman Corp. 1,559 26 
Intrepid Potash, Inc. (a)(e) 1,669,800 13,208 
LyondellBasell Industries NV Class A 956,298 81,649 
Monsanto Co. 757,500 73,970 
Potash Corp. of Saskatchewan, Inc. 551,000 14,349 
The Chemours Co. LLC 395,195 3,822 
The Dow Chemical Co. 2,093,900 91,629 
Trinseo SA (a) 60,100 1,751 
Wacker Chemie AG (e) 228,300 19,706 
Westlake Chemical Partners LP 40,900 799 
  505,545 
Construction Materials - 0.1%   
Eagle Materials, Inc. 199,200 16,301 
Metals & Mining - 0.0%   
AngloGold Ashanti Ltd. sponsored ADR (a) 57,230 465 
TOTAL MATERIALS  522,311 
TELECOMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.6%   
AT&T, Inc. 4,209,576 139,758 
Broadview Networks Holdings, Inc. (a) 123,987 186 
Iliad SA 73,023 16,495 
  156,439 
UTILITIES - 0.5%   
Electric Utilities - 0.3%   
Edison International 628,007 36,726 
NextEra Energy, Inc. 302,600 29,779 
PPL Corp. 410,800 12,731 
  79,236 
Independent Power and Renewable Electricity Producers - 0.1%   
Dynegy, Inc. (a) 1,371,900 35,326 
NRG Yield, Inc. Class C 120,600 1,937 
Talen Energy Corp. (a) 2,566 37 
  37,300 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 17,490 
TOTAL UTILITIES  134,026 
TOTAL COMMON STOCKS   
(Cost $12,573,564)  15,776,238 
Preferred Stocks - 0.9%   
Convertible Preferred Stocks - 0.9%   
CONSUMER DISCRETIONARY - 0.6%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(b) 1,082,251 7,229 
Roku, Inc. Series F, 8.00% (a)(b) 5,520,836 6,239 
  13,468 
Internet & Catalog Retail - 0.0%   
The Honest Co., Inc. Series D (b) 196,700 9,000 
Media - 0.4%   
Vice Holding, Inc.(a)(b) 6,701 94,251 
Specialty Retail - 0.1%   
Moda Operandi, Inc. Series E (b) 508,444 22,219 
TOTAL CONSUMER DISCRETIONARY  138,938 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 27,400 1,053 
FINANCIALS - 0.0%   
Real Estate Investment Trusts - 0.0%   
American Tower Corp. 5.50% 34,300 3,520 
HEALTH CARE - 0.0%   
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 6,800 6,983 
INFORMATION TECHNOLOGY - 0.3%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00% (a)(b) 1,611,548 63,882 
Software - 0.0%   
Deem, Inc. (a)(b) 2,497,881 6,519 
TOTAL INFORMATION TECHNOLOGY  70,401 
TOTAL CONVERTIBLE PREFERRED STOCKS  220,895 
Nonconvertible Preferred Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Textiles, Apparel & Luxury Goods - 0.0%   
C. Wonder LLC Class A-1 (a)(b)(c) 619,047 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
GMAC Capital Trust I Series 2, 8.125% 294,279 7,513 
Consumer Finance - 0.0%   
Ally Financial, Inc. 7.00% (f) 4,427 4,476 
TOTAL FINANCIALS  11,989 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc.:   
15.00% (a) 961,655 962 
Class C 19.50% (b) 242,900 243 
  1,205 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  13,194 
TOTAL PREFERRED STOCKS   
(Cost $147,371)  234,089 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 17.0%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 323 
3.5% 1/15/31 (f) 4,584 2,388 
Mood Media Corp. 10% 10/31/15 (f) 32 32 
  2,743 
Nonconvertible Bonds - 17.0%   
CONSUMER DISCRETIONARY - 1.7%   
Auto Components - 0.1%   
Dana Holding Corp. 5.375% 9/15/21 575 576 
Gates Global LLC / Gates Global Co. 6% 7/15/22 (f) 1,260 1,027 
Schaeffler Holding Finance BV:   
6.25% 11/15/19 pay-in-kind (f)(h) 1,405 1,479 
6.75% 11/15/22 pay-in-kind (f)(h) 650 692 
6.875% 8/15/18 pay-in-kind (f)(h) 1,565 1,615 
Tenneco, Inc. 6.875% 12/15/20 2,415 2,518 
ZF North America Capital, Inc.:   
4% 4/29/20 (f) 5,045 5,044 
4.5% 4/29/22 (f) 4,105 3,977 
  16,928 
Automobiles - 0.4%   
Ford Motor Co. 4.75% 1/15/43 10,000 9,476 
General Motors Co.:   
3.5% 10/2/18 4,530 4,594 
6.25% 10/2/43 763 817 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 6,449 6,372 
2.625% 7/10/17 1,445 1,457 
3% 9/25/17 3,320 3,336 
3.15% 1/15/20 12,000 11,849 
3.25% 5/15/18 3,070 3,087 
3.5% 7/10/19 17,868 18,006 
4% 1/15/25 6,368 6,023 
4.25% 5/15/23 3,285 3,228 
4.375% 9/25/21 11,267 11,368 
4.75% 8/15/17 4,020 4,168 
6.75% 6/1/18 6,765 7,445 
Volkswagen International Finance NV 2.375% 3/22/17 (f) 1,515 1,538 
  92,764 
Distributors - 0.0%   
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (f) 365 364 
American Tire Distributors, Inc. 10.25% 3/1/22 (f) 2,265 2,322 
LKQ Corp. 4.75% 5/15/23 265 254 
  2,940 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 554 560 
Laureate Education, Inc. 10% 9/1/19 (f)(h) 6,155 5,163 
Service Corp. International 5.375% 1/15/22 505 530 
  6,253 
Hotels, Restaurants & Leisure - 0.1%   
1011778 BC ULC/New Red Finance, Inc. 4.625% 1/15/22 (f) 1,175 1,181 
24 Hour Holdings III LLC 8% 6/1/22 (f) 510 405 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 3,601 
Choice Hotels International, Inc. 5.75% 7/1/22 390 419 
Chukchansi Economic Development Authority 9.75% 5/30/20 (f)(i) 2,861 1,674 
Eldorado Resorts, Inc. 7% 8/1/23 (f) 920 913 
FelCor Lodging LP 6% 6/1/25 (f) 620 630 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (f) 680 699 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 5.625% 10/15/21 4,484 4,675 
Isle of Capri Casinos, Inc. 5.875% 3/15/21 475 489 
Landry's Acquisition Co. 9.375% 5/1/20 (f) 875 935 
Landry's Holdings II, Inc. 10.25% 1/1/18 (f) 900 932 
MGM Mirage, Inc.:   
6% 3/15/23 1,630 1,654 
7.5% 6/1/16 2,855 2,955 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (f) 865 882 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 4,650 4,336 
Playa Resorts Holding BV 8% 8/15/20 (f) 90 91 
Scientific Games Corp.:   
7% 1/1/22 (f) 1,360 1,391 
10% 12/1/22 3,320 3,046 
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (f)(i) 534 
  30,908 
Household Durables - 0.1%   
Beazer Homes U.S.A., Inc. 7.25% 2/1/23 775 742 
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (f) 785 761 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (f) 620 618 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.75% 10/15/20 6,420 6,621 
8.25% 2/15/21 (h) 1,485 1,528 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (f) 1,395 1,398 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 474 
7% 8/15/22 1,835 1,895 
8.5% 11/15/20 1,310 1,415 
Woodside Homes Co. LLC/Woodside Homes Finance, Inc. 6.75% 12/15/21 (f) 1,350 1,249 
  16,701 
Internet & Catalog Retail - 0.1%   
Netflix, Inc. 5.5% 2/15/22 (f) 5,000 5,125 
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (f) 2,475 2,472 
  7,597 
Media - 0.9%   
21st Century Fox America, Inc. 7.75% 12/1/45 8,012 10,857 
Altice SA:   
5.375% 7/15/23 (f) 2,375 2,351 
7.625% 2/15/25 (f) 4,905 4,660 
7.75% 5/15/22 (f) 10,065 9,813 
7.75% 7/15/25 (f) 1,665 1,594 
7.75% 7/15/25 (f) 1,495 1,458 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,333 
AMC Networks, Inc. 7.75% 7/15/21 340 363 
Anna Merger Sub, Inc. 7.75% 10/1/22 (f) 1,810 1,793 
Cable One, Inc. 5.75% 6/15/22 (f) 895 904 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 277 
5.625% 2/15/24 295 302 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,576 
5.25% 3/15/21 3,375 3,409 
5.75% 9/1/23 945 964 
5.75% 1/15/24 4,235 4,320 
5.875% 5/1/27 (f) 3,385 3,317 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f) 325 319 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (f) 3,345 3,065 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (f) 7,702 7,661 
4.908% 7/23/25 (f) 5,177 5,141 
Cinemark U.S.A., Inc.:   
4.875% 6/1/23 1,275 1,243 
5.125% 12/15/22 355 355 
Clear Channel Communications, Inc. 5.5% 12/15/16 3,015 2,849 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 763 
7.625% 3/15/20 585 600 
Series B, 6.5% 11/15/22 2,040 2,107 
7.625% 3/15/20 4,105 4,249 
Columbus International, Inc. 7.375% 3/30/21(f) 7,655 8,057 
Discovery Communications LLC 5.05% 6/1/20 168 182 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,362 
5.875% 7/15/22 2,655 2,511 
6.75% 6/1/21 3,515 3,462 
Griffey Intermediate, Inc./Griffey Finance Sub LLC 7% 10/15/20 (f) 2,640 1,003 
Lamar Media Corp.:   
5.375% 1/15/24 630 643 
5.875% 2/1/22 525 549 
Lions Gate Entertainment Corp. 5.25% 8/1/18 (f) 2,415 2,487 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (h) 6,635 7,299 
MDC Partners, Inc. 6.75% 4/1/20 (f) 185 183 
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (f)(h) 5,870 5,929 
National CineMedia LLC:   
6% 4/15/22 2,600 2,659 
7.875% 7/15/21 1,380 1,439 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (f) 685 676 
Numericable Group SA:   
4.875% 5/15/19 (f) 4,535 4,563 
6% 5/15/22 (f) 13,815 13,815 
6.25% 5/15/24 (f) 660 660 
Outfront Media Capital LLC / Corp. 5.625% 2/15/24 (f) 375 386 
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (f) 2,775 2,935 
Regal Entertainment Group:   
5.75% 3/15/22 1,230 1,238 
5.75% 6/15/23 755 748 
Sirius XM Radio, Inc.:   
5.375% 4/15/25 (f) 1,490 1,471 
5.75% 8/1/21 (f) 2,580 2,670 
Starz LLC/Starz Finance Corp. 5% 9/15/19 5,000 5,013 
Thomson Reuters Corp.:   
1.3% 2/23/17 1,794 1,787 
3.85% 9/29/24 4,335 4,262 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 9,705 
4.5% 9/15/42 1,279 1,022 
5.5% 9/1/41 2,304 2,075 
5.85% 5/1/17 1,621 1,720 
6.55% 5/1/37 10,296 10,339 
6.75% 7/1/18 1,581 1,751 
7.3% 7/1/38 3,823 4,047 
8.25% 4/1/19 10,176 11,886 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,304 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (f) 1,340 1,377 
UPCB Finance VI Ltd. 6.875% 1/15/22 (f) 1,125 1,197 
Viacom, Inc.:   
2.5% 9/1/18 714 710 
3.5% 4/1/17 219 223 
Virgin Media Secured Finance PLC 5.25% 1/15/26 (f) 7,830 7,595 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) 1,060 1,049 
Ziggo Bond Finance BV 5.875% 1/15/25 (f) 1,120 1,081 
  223,713 
Multiline Retail - 0.0%   
Family Tree Escrow LLC:   
5.25% 3/1/20 (f) 425 445 
5.75% 3/1/23 (f) 2,115 2,215 
JC Penney Corp., Inc.:   
5.65% 6/1/20 1,357 1,242 
5.75% 2/15/18 400 398 
7.4% 4/1/37 440 349 
8.125% 10/1/19 2,160 2,192 
  6,841 
Specialty Retail - 0.0%   
PETCO Animal Supplies, Inc. 9.25% 12/1/18 (f) 3,260 3,374 
Sonic Automotive, Inc.:   
5% 5/15/23 195 191 
7% 7/15/22 885 949 
  4,514 
Textiles, Apparel & Luxury Goods - 0.0%   
Polymer Group, Inc. 6.875% 6/1/19 (f) 505 513 
TOTAL CONSUMER DISCRETIONARY  409,672 
CONSUMER STAPLES - 0.7%   
Beverages - 0.0%   
SABMiller Holdings, Inc. 2.45% 1/15/17 (f) 1,947 1,974 
Food & Staples Retailing - 0.2%   
C&S Group Enterprises LLC 5.375% 7/15/22 (f) 3,435 3,177 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,446 
3.875% 7/20/25 6,000 6,135 
ESAL GmbH 6.25% 2/5/23 (f) 3,005 2,922 
Kroger Co. 3.3% 1/15/21 6,000 6,087 
Minerva Luxmbourg SA 7.75% 1/31/23 (f) 4,000 3,910 
Rite Aid Corp.:   
6.75% 6/15/21 7,375 7,781 
6.875% 12/15/28 (f)(h) 3,505 3,908 
7.7% 2/15/27 3,220 3,767 
9.25% 3/15/20 1,330 1,432 
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (f) 2,000 1,990 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,161 3,163 
3.3% 11/18/21 3,750 3,711 
  51,429 
Food Products - 0.1%   
Cargill, Inc. 6% 11/27/17 (f) 417 455 
ConAgra Foods, Inc. 1.9% 1/25/18 2,064 2,049 
Darling International, Inc. 5.375% 1/15/22 745 736 
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (f) 1,377 1,442 
H.J. Heinz Co. 4.875% 2/15/25 (f) 814 879 
JBS Investments GmbH:   
7.25% 4/3/24 (f) 1,090 1,093 
7.75% 10/28/20 (f) 2,850 3,040 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (f) 6,075 5,893 
5.875% 7/15/24 (f) 1,370 1,365 
Post Holdings, Inc.:   
6% 12/15/22 (f) 675 651 
6.75% 12/1/21 (f) 1,900 1,914 
7.75% 3/15/24 (f) 6,115 6,314 
8% 7/15/25 (f) 555 573 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (f) 3,217 3,220 
2% 10/20/17 (f) 4,607 4,634 
  34,258 
Household Products - 0.0%   
Spectrum Brands Holdings, Inc.:   
5.75% 7/15/25 (f) 1,435 1,478 
6.375% 11/15/20 350 364 
6.625% 11/15/22 415 446 
  2,288 
Personal Products - 0.0%   
Prestige Brands, Inc.:   
5.375% 12/15/21 (f) 1,660 1,648 
8.125% 2/1/20 220 233 
Revlon Consumer Products Corp. 5.75% 2/15/21 1,105 1,094 
  2,975 
Tobacco - 0.4%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 4,943 
4% 1/31/24 3,123 3,172 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (f) 6,420 6,357 
4.25% 7/21/25 (f) 6,420 6,362 
Reynolds American, Inc.:   
2.3% 6/12/18 2,859 2,876 
3.25% 6/12/20 2,364 2,394 
3.25% 11/1/22 2,999 2,916 
4% 6/12/22 4,375 4,492 
4.45% 6/12/25 9,633 9,888 
4.75% 11/1/42 8,000 7,408 
4.85% 9/15/23 7,000 7,361 
5.7% 8/15/35 1,646 1,744 
5.85% 8/15/45 12,632 13,649 
6.75% 6/15/17 3,979 4,305 
7.25% 6/15/37 6,101 7,336 
  85,203 
TOTAL CONSUMER STAPLES  178,127 
ENERGY - 2.4%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (f) 5,634 5,109 
5.35% 3/15/20 (f) 5,174 5,028 
El Paso Pipeline Partners Operating Co. LLC:   
4.1% 11/15/15 5,488 5,516 
5% 10/1/21 2,280 2,331 
6.5% 4/1/20 2,264 2,513 
Forum Energy Technologies, Inc. 6.25% 10/1/21 655 590 
Gulfmark Offshore, Inc. 6.375% 3/15/22 1,485 950 
Noble Holding International Ltd.:   
3.05% 3/1/16 756 754 
4% 3/16/18 470 464 
5.95% 4/1/25 2,995 2,641 
6.95% 4/1/45 2,891 2,340 
Pacific Drilling V Ltd. 7.25% 12/1/17 (f) 2,355 1,813 
Summit Midstream Holdings LLC 7.5% 7/1/21 500 500 
Transocean, Inc.:   
5.55% 12/15/16 (h) 3,719 3,729 
6% 3/15/18 2,060 1,972 
6.875% 12/15/21 4,240 3,381 
Unit Corp. 6.625% 5/15/21 3,635 3,131 
  42,762 
Oil, Gas & Consumable Fuels - 2.2%   
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 1,680 1,583 
Alpha Natural Resources, Inc. 9.75% 4/15/18 (i) 1,099 30 
American Energy-Permian Basin LLC/ AEPB Finance Corp.:   
6.8037% 8/1/19 (f)(h) 1,345 713 
7.125% 11/1/20 (f) 2,165 1,093 
7.375% 11/1/21 (f) 1,565 790 
Anadarko Petroleum Corp. 6.375% 9/15/17 20,246 21,905 
Antero Resources Corp.:   
5.125% 12/1/22 7,435 6,730 
5.625% 6/1/23 (f) 1,270 1,156 
Blue Racer Mistream LLC / Blue Racer Finance Corp. 6.125% 11/15/22 (f) 5,000 4,900 
BP Capital Markets PLC:   
4.5% 10/1/20 1,106 1,204 
4.742% 3/11/21 4,210 4,608 
California Resources Corp.:   
5% 1/15/20 665 524 
5.5% 9/15/21 4,110 3,187 
6% 11/15/24 2,040 1,513 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,250 2,219 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 910 819 
Cenovus Energy, Inc. 5.7% 10/15/19 5,158 5,635 
Chesapeake Energy Corp.:   
4.875% 4/15/22 550 399 
5.375% 6/15/21 1,340 982 
6.125% 2/15/21 395 306 
6.875% 11/15/20 100 80 
Citgo Holding, Inc. 10.75% 2/15/20 (f) 2,315 2,286 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 (f) 1,213 1,210 
3.3% 6/1/20 (f) 5,938 5,924 
4.5% 6/1/25 (f) 1,813 1,728 
CONSOL Energy, Inc. 8% 4/1/23 (f) 5,000 3,775 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
6.125% 3/1/22 895 814 
6.25% 4/1/23 (f) 1,150 1,041 
CrownRock LP/CrownRock Finance, Inc. 7.75% 2/15/23 (f) 965 955 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 2,360 2,312 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,529 
2.7% 4/1/19 4,139 3,639 
3.875% 3/15/23 2,327 1,902 
4.95% 4/1/22 1,048 949 
5.6% 4/1/44 1,686 1,372 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 3,099 
Diamondback Energy, Inc. 7.625% 10/1/21 935 982 
Duke Energy Field Services:   
5.375% 10/15/15 (f) 1,647 1,649 
6.45% 11/3/36 (f) 3,753 3,268 
El Paso Natural Gas Co. 5.95% 4/15/17 1,260 1,337 
Empresa Nacional de Petroleo 4.375% 10/30/24 (f) 4,545 4,424 
Enable Midstream Partners LP:   
2.4% 5/15/19 (f) 1,656 1,557 
3.9% 5/15/24 (f) 1,746 1,533 
Enbridge Energy Partners LP 4.2% 9/15/21 6,629 6,688 
Energy XXI Gulf Coast, Inc. 11% 3/15/20 (f) 1,775 1,092 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
6.375% 6/15/23 1,660 1,411 
7.75% 9/1/22 2,190 2,015 
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 9,120 8,846 
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 520 489 
Gibson Energy, Inc. 6.75% 7/15/21 (f) 160 156 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 305 278 
7% 6/15/23 (f) 1,420 1,321 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) 677 701 
Halcon Resources Corp. 8.625% 2/1/20 (f) 565 496 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (f) 1,265 1,094 
5.75% 10/1/25 (f) 6,625 5,963 
7.625% 4/15/21 (f) 951 972 
Kodiak Oil & Gas Corp. 8.125% 12/1/19 1,325 1,272 
Laredo Petroleum, Inc.:   
5.625% 1/15/22 1,740 1,566 
6.25% 3/15/23 1,650 1,510 
LINN Energy LLC/LINN Energy Finance Corp. 6.5% 5/15/19 3,390 1,449 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,452 
Motiva Enterprises LLC 5.75% 1/15/20 (f) 3,614 3,966 
MPLX LP 4% 2/15/25 962 888 
Nakilat, Inc. 6.067% 12/31/33 (f) 1,839 2,101 
Nexen, Inc. 6.2% 7/30/19 1,865 2,078 
Noble Energy, Inc. 5.875% 6/1/24 700 723 
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 3,975 4,015 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 494 
Peabody Energy Corp.:   
6.25% 11/15/21 2,010 528 
10% 3/15/22 (f) 1,380 552 
Pemex Project Funding Master Trust 5.75% 3/1/18 21,220 22,785 
Petrobras Global Finance BV:   
1.9529% 5/20/16 (h) 5,357 5,250 
3% 1/15/19 22,701 19,775 
3.25% 3/17/17 22,344 21,408 
4.375% 5/20/23 3,648 2,866 
4.875% 3/17/20 20,511 17,949 
5.625% 5/20/43 11,155 7,716 
7.25% 3/17/44 28,868 23,239 
Petrobras International Finance Co. Ltd.:   
3.5% 2/6/17 15,000 14,487 
3.875% 1/27/16 5,238 5,235 
5.375% 1/27/21 10,725 9,454 
5.75% 1/20/20 16,310 14,836 
5.875% 3/1/18 2,803 2,750 
7.875% 3/15/19 5,564 5,607 
Petroleos Mexicanos:   
3.5% 7/18/18 7,105 7,240 
3.5% 7/23/20 (f) 7,125 7,056 
3.5% 1/30/23 4,530 4,214 
4.5% 1/23/26 (f) 6,398 6,078 
4.875% 1/24/22 2,315 2,350 
4.875% 1/18/24 5,974 5,956 
5.5% 1/21/21 12,842 13,773 
5.5% 6/27/44 22,702 19,643 
5.625% 1/23/46 (f) 6,203 5,521 
6% 3/5/20 4,075 4,440 
6.375% 1/23/45 13,324 12,988 
6.5% 6/2/41 7,783 7,783 
8% 5/3/19 3,283 3,776 
Phillips 66 Co.:   
2.95% 5/1/17 1,527 1,560 
4.3% 4/1/22 5,338 5,570 
Phillips 66 Partners LP 2.646% 2/15/20 527 513 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,880 1,995 
Range Resources Corp. 4.875% 5/15/25 (f) 3,400 3,060 
Rice Energy, Inc.:   
6.25% 5/1/22 30 27 
7.25% 5/1/23 (f) 665 618 
Rose Rock Midstream LP/ Rose Rock Finance Corp. 5.625% 7/15/22 635 578 
RSP Permian, Inc. 6.625% 10/1/22 (f) 525 515 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 2,585 2,511 
5.625% 3/1/25 (f) 6,075 5,874 
5.75% 5/15/24 8,830 8,631 
SemGroup Corp. 7.5% 6/15/21 2,610 2,584 
Shell International Finance BV 4.375% 5/11/45 6,392 6,298 
SM Energy Co. 5.625% 6/1/25 675 599 
Southeast Supply Header LLC 4.25% 6/15/24 (f) 4,893 4,703 
Southwestern Energy Co.:   
3.3% 1/23/18 2,491 2,483 
4.05% 1/23/20 4,519 4,474 
Spectra Energy Capital, LLC 5.65% 3/1/20 944 1,014 
Spectra Energy Partners, LP:   
2.95% 6/15/16 1,059 1,070 
4.6% 6/15/21 1,296 1,349 
Suncor Energy, Inc. 6.1% 6/1/18 7,771 8,593 
Sunoco LP / Sunoco Finance Corp.:   
5.5% 8/1/20 (f) 6,670 6,637 
6.375% 4/1/23 (f) 965 970 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5% 1/15/18 (f) 4,580 4,534 
6.375% 8/1/22 570 567 
Teekay Corp. 8.5% 1/15/20 120 124 
Teine Energy Ltd. 6.875% 9/30/22 (f) 5,104 4,415 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 3,593 
4.55% 6/24/24 19,902 17,616 
Western Gas Partners LP 5.375% 6/1/21 7,807 8,271 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 591 
Western Refining, Inc. 6.25% 4/1/21 550 545 
Whiting Petroleum Corp. 5.75% 3/15/21 565 506 
Williams Partners LP 4.3% 3/4/24 4,038 3,781 
WPX Energy, Inc.:   
7.5% 8/1/20 1,140 1,095 
8.25% 8/1/23 1,715 1,651 
  558,467 
TOTAL ENERGY  601,229 
FINANCIALS - 7.7%   
Banks - 3.2%   
Associated Banc-Corp. 5.125% 3/28/16 1,852 1,883 
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (f) 5,555 5,541 
4% 4/14/19 (f) 21,750 20,771 
5.5% 7/12/20 (f) 16,673 16,465 
5.75% 9/26/23 (f) 5,082 4,777 
6.369% 6/16/18 (f) 10,462 10,684 
6.5% 6/10/19 (f) 1,763 1,819 
Bank of America Corp.:   
1.35% 11/21/16 4,652 4,645 
1.95% 5/12/18 6,000 5,983 
2.6% 1/15/19 66,110 66,568 
2.65% 4/1/19 38,587 38,904 
3.875% 3/22/17 781 807 
3.95% 4/21/25 8,200 7,929 
4.2% 8/26/24 6,463 6,404 
4.25% 10/22/26 5,465 5,373 
5.75% 12/1/17 6,075 6,572 
6.5% 8/1/16 1,010 1,057 
Barclays PLC 2.75% 11/8/19 4,598 4,584 
BB&T Corp. 3.95% 3/22/22 1,495 1,564 
Capital One NA 2.95% 7/23/21 7,402 7,207 
CIT Group, Inc.:   
5% 8/15/22 4,195 4,263 
5% 8/1/23 2,755 2,789 
5.25% 3/15/18 3,215 3,340 
5.375% 5/15/20 2,805 2,931 
5.5% 2/15/19 (f) 5,285 5,556 
Citigroup, Inc.:   
1.3% 11/15/16 5,354 5,349 
1.7% 4/27/18 6,410 6,353 
1.75% 5/1/18 18,342 18,200 
1.85% 11/24/17 30,961 30,944 
2.4% 2/18/20 10,000 9,897 
2.5% 7/29/19 32,442 32,410 
2.55% 4/8/19 14,645 14,716 
4.05% 7/30/22 14,700 15,045 
4.3% 11/20/26 12,000 11,891 
4.45% 1/10/17 14,158 14,702 
6% 8/15/17 12,747 13,757 
Citizens Financial Group, Inc. 4.15% 9/28/22 (f) 5,782 5,831 
Credit Suisse AG 6% 2/15/18 12,547 13,654 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 (f) 6,421 6,383 
3.75% 3/26/25 (f) 6,420 6,211 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,324 
Discover Bank 7% 4/15/20 3,075 3,543 
Fifth Third Bancorp:   
3.5% 3/15/22 529 534 
4.5% 6/1/18 418 444 
5.45% 1/15/17 1,848 1,940 
HBOS PLC 6.75% 5/21/18 (f) 408 450 
HSBC Holdings PLC 4.25% 3/14/24 2,900 2,903 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 3,048 
Huntington National Bank:   
2% 6/30/18 13,000 12,941 
2.2% 4/1/19 2,700 2,690 
Intesa Sanpaolo SpA:   
2.375% 1/13/17 28,255 28,317 
3.125% 1/15/16 18,292 18,422 
5.017% 6/26/24 (f) 4,062 3,966 
JPMorgan Chase & Co.:   
3.875% 9/10/24 13,647 13,428 
4.125% 12/15/26 91,465 90,757 
KeyCorp. 5.1% 3/24/21 519 573 
Rabobank Nederland 4.375% 8/4/25 9,821 9,848 
Regions Bank 6.45% 6/26/37 10,147 11,884 
Regions Financial Corp. 2% 5/15/18 7,154 7,116 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 52,829 53,269 
6% 12/19/23 13,834 14,758 
6.1% 6/10/23 7,367 7,903 
6.125% 12/15/22 35,362 38,092 
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17 5,250 5,236 
SunTrust Banks, Inc.:   
2.35% 11/1/18 2,500 2,512 
3.5% 1/20/17 4,123 4,227 
Wells Fargo & Co.:   
4.1% 6/3/26 13,000 13,047 
4.48% 1/16/24 5,192 5,414 
  802,345 
Capital Markets - 1.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,219 6,892 
4.25% 2/15/24 2,095 2,175 
Deutsche Bank AG 4.5% 4/1/25 14,192 13,723 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 15,962 
2.375% 1/22/18 10,000 10,099 
2.55% 10/23/19 70,000 70,132 
2.6% 4/23/20 1,300 1,296 
2.625% 1/31/19 25,103 25,357 
5.95% 1/18/18 4,242 4,628 
6.15% 4/1/18 3,466 3,820 
6.25% 9/1/17 19,047 20,700 
Lazard Group LLC:   
4.25% 11/14/20 4,447 4,676 
6.85% 6/15/17 1,063 1,151 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 4,204 4,565 
Morgan Stanley:   
1.875% 1/5/18 13,596 13,596 
2.125% 4/25/18 16,388 16,446 
2.375% 7/23/19 17,224 17,210 
2.5% 1/24/19 97,536 98,400 
4% 7/23/25 8,077 8,234 
4.875% 11/1/22 7,232 7,651 
5.625% 9/23/19 453 504 
5.95% 12/28/17 250 272 
6.625% 4/1/18 1,494 1,665 
Peachtree Corners Funding Trust 3.976% 2/15/25 (f) 7,000 6,925 
UBS AG Stamford Branch:   
1.375% 6/1/17 4,854 4,831 
1.8% 3/26/18 9,485 9,452 
2.375% 8/14/19 10,750 10,748 
  381,110 
Consumer Finance - 1.1%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.75% 5/15/17 2,625 2,599 
3.75% 5/15/19 2,125 2,112 
4.5% 5/15/21 2,325 2,363 
5% 10/1/21 1,555 1,607 
Ally Financial, Inc.:   
3.5% 1/27/19 2,025 2,022 
4.625% 5/19/22 1,365 1,370 
4.75% 9/10/18 2,295 2,367 
6.25% 12/1/17 1,800 1,917 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,427 
Discover Financial Services:   
3.85% 11/21/22 1,983 1,933 
5.2% 4/27/22 2,146 2,264 
6.45% 6/12/17 10,512 11,369 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 32,000 31,854 
1.5% 1/17/17 16,012 15,935 
2.375% 3/12/19 17,400 17,182 
2.5% 1/15/16 14,000 14,067 
2.875% 10/1/18 8,500 8,566 
3% 6/12/17 5,430 5,523 
5% 5/15/18 8,500 9,049 
5.875% 8/2/21 10,438 11,714 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,540 
GMAC LLC:   
8% 12/31/18 19,035 21,129 
8% 11/1/31 18,726 22,171 
Hyundai Capital America:   
1.45% 2/6/17 (f) 5,366 5,354 
1.625% 10/2/15 (f) 1,867 1,867 
1.875% 8/9/16 (f) 1,338 1,344 
2.125% 10/2/17 (f) 2,063 2,069 
2.55% 2/6/19 (f) 5,366 5,348 
2.875% 8/9/18 (f) 2,511 2,562 
Navient Corp. 5.875% 10/25/24 2,130 1,800 
SLM Corp.:   
4.875% 6/17/19 5,315 4,970 
5.5% 1/15/19 2,150 2,053 
5.5% 1/25/23 4,320 3,640 
6.125% 3/25/24 4,645 3,948 
7.25% 1/25/22 5,140 4,844 
8% 3/25/20 5,930 6,004 
8.45% 6/15/18 2,980 3,159 
Synchrony Financial:   
1.875% 8/15/17 1,300 1,294 
3% 8/15/19 1,910 1,913 
3.75% 8/15/21 7,084 7,025 
4.25% 8/15/24 2,903 2,855 
  263,129 
Diversified Financial Services - 0.0%   
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,310 
5.875% 2/1/22 2,725 2,753 
6% 8/1/20 2,230 2,302 
MSCI, Inc. 5.75% 8/15/25 (f) 870 887 
  8,252 
Insurance - 0.6%   
AIA Group Ltd. 2.25% 3/11/19 (f) 1,203 1,197 
Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (f) 2,835 2,757 
American International Group, Inc.:   
3.75% 7/10/25 11,144 11,180 
4.875% 6/1/22 5,467 5,961 
5.6% 10/18/16 4,975 5,212 
5.85% 1/16/18 12,000 13,109 
Aon Corp.:   
3.125% 5/27/16 3,402 3,456 
5% 9/30/20 107 118 
Five Corners Funding Trust 4.419% 11/15/23 (f) 8,055 8,343 
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(h) 2,008 2,048 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 595 628 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (f) 1,675 1,671 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (f) 2,655 2,698 
5% 6/1/21 (f) 6,063 6,577 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,768 
Massachusetts Mutual Life Insurance Co.:   
4.5% 4/15/65 (f) 7,265 6,588 
5.375% 12/1/41 (f) 2,993 3,322 
Metropolitan Life Global Funding I 1.875% 6/22/18 (f) 6,476 6,473 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) 3,585 4,250 
Pacific Life Insurance Co. 9.25% 6/15/39 (f) 3,048 4,583 
Pacific LifeCorp:   
5.125% 1/30/43 (f) 6,960 7,135 
6% 2/10/20 (f) 8,215 9,243 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 791 
4.5% 11/16/21 1,461 1,594 
7.375% 6/15/19 1,880 2,206 
Symetra Financial Corp. 6.125% 4/1/16 (f) 6,715 6,883 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f) 6,853 7,015 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (f) 1,569 1,578 
4.125% 11/1/24 (f) 2,275 2,297 
Unum Group:   
5.625% 9/15/20 2,879 3,222 
5.75% 8/15/42 7,108 7,908 
7.125% 9/30/16 1,802 1,908 
  145,719 
Real Estate Investment Trusts - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,136 
4.6% 4/1/22 1,705 1,769 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,541 
American Tower Corp. 2.8% 6/1/20 6,000 5,927 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,548 
Camden Property Trust 2.95% 12/15/22 2,154 2,068 
CommonWealth REIT 5.875% 9/15/20 991 1,082 
Communications Sales & Leasing, Inc. 6% 4/15/23 (f) 605 569 
Corporate Office Properties LP:   
3.7% 6/15/21 3,614 3,558 
5% 7/1/25 3,069 2,995 
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 205 208 
DDR Corp.:   
3.625% 2/1/25 3,010 2,829 
4.625% 7/15/22 3,877 4,031 
4.75% 4/15/18 4,595 4,857 
7.5% 4/1/17 4,966 5,380 
9.625% 3/15/16 1,670 1,743 
Duke Realty LP:   
3.625% 4/15/23 2,844 2,790 
3.75% 12/1/24 2,012 1,959 
3.875% 10/15/22 4,799 4,839 
4.375% 6/15/22 3,202 3,313 
5.5% 3/1/16 2,930 2,988 
5.95% 2/15/17 291 309 
6.75% 3/15/20 1,161 1,345 
8.25% 8/15/19 1,838 2,220 
Equity One, Inc.:   
3.75% 11/15/22 7,300 7,271 
6% 9/15/17 666 719 
6.25% 1/15/17 530 561 
ERP Operating LP 5.75% 6/15/17 1,446 1,550 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,569 
HCP, Inc.:   
3.15% 8/1/22 8,000 7,689 
3.875% 8/15/24 11,000 10,601 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,344 
4.125% 4/1/19 11,300 11,908 
4.7% 9/15/17 744 785 
HRPT Properties Trust:   
6.25% 6/15/17 726 761 
6.65% 1/15/18 490 527 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,918 
Omega Healthcare Investors, Inc.:   
4.5% 1/15/25 1,769 1,738 
4.5% 4/1/27 (f) 21,587 20,738 
4.95% 4/1/24 1,785 1,837 
5.875% 3/15/24 3,200 3,368 
6.75% 10/15/22 1,885 1,956 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,218 
5% 12/15/23 980 1,033 
Weingarten Realty Investors 3.375% 10/15/22 1,098 1,075 
WP Carey, Inc. 4% 2/1/25 7,547 7,295 
  160,465 
Real Estate Management & Development - 0.6%   
BioMed Realty LP:   
2.625% 5/1/19 2,987 2,982 
3.85% 4/15/16 8,385 8,494 
4.25% 7/15/22 2,511 2,561 
6.125% 4/15/20 1,822 2,051 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 6,445 6,329 
4.1% 10/1/24 5,444 5,416 
4.55% 10/1/29 5,444 5,287 
4.95% 4/15/18 4,256 4,520 
5.7% 5/1/17 268 283 
6% 4/1/16 2,467 2,529 
CBRE Group, Inc.:   
5% 3/15/23 4,110 4,149 
5.25% 3/15/25 2,580 2,647 
Digital Realty Trust LP:   
3.95% 7/1/22 4,317 4,322 
5.25% 3/15/21 2,876 3,131 
Essex Portfolio LP 5.5% 3/15/17 3,414 3,601 
Howard Hughes Corp. 6.875% 10/1/21 (f) 1,690 1,762 
Kennedy-Wilson, Inc. 5.875% 4/1/24 795 774 
Liberty Property LP:   
3.375% 6/15/23 2,951 2,840 
4.125% 6/15/22 2,746 2,807 
4.75% 10/1/20 6,595 7,114 
5.5% 12/15/16 2,022 2,116 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,037 4,050 
3.15% 5/15/23 6,708 5,954 
4.5% 4/18/22 1,689 1,683 
5.8% 1/15/16 4,250 4,313 
7.75% 8/15/19 2,149 2,475 
Mid-America Apartments LP 4.3% 10/15/23 1,086 1,111 
Post Apartment Homes LP 3.375% 12/1/22 1,196 1,163 
Prime Property Funding, Inc. 5.7% 4/15/17 (f) 3,471 3,632 
Realogy Corp. 9% 1/15/20 (f) 1,170 1,240 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (f) 1,760 1,771 
Realogy Group LLC/Sunshine Group Florida Ltd. 3.375% 5/1/16 (f) 2,125 2,130 
Reckson Operating Partnership LP 6% 3/31/16 1,675 1,717 
Regency Centers LP 5.875% 6/15/17 1,447 1,553 
Tanger Properties LP:   
3.75% 12/1/24 3,781 3,694 
3.875% 12/1/23 2,341 2,324 
6.125% 6/1/20 7,035 7,998 
Ventas Realty LP:   
1.25% 4/17/17 2,655 2,635 
1.55% 9/26/16 921 923 
3.5% 2/1/25 1,837 1,738 
4.125% 1/15/26 2,088 2,067 
4.375% 2/1/45 1,098 988 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 3,611 3,621 
4% 4/30/19 1,771 1,852 
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 510 474 
  136,821 
TOTAL FINANCIALS  1,897,841 
HEALTH CARE - 1.3%   
Biotechnology - 0.0%   
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (f) 730 747 
Amgen, Inc. 1.25% 5/22/17 11,041 11,011 
  11,758 
Health Care Equipment & Supplies - 0.1%   
Alere, Inc. 6.375% 7/1/23 (f) 625 641 
Boston Scientific Corp. 3.375% 5/15/22 16,713 16,225 
Hologic, Inc. 5.25% 7/15/22 (f) 1,505 1,533 
  18,399 
Health Care Providers & Services - 0.7%   
Acadia Healthcare Co., Inc. 5.625% 2/15/23 680 693 
Community Health Systems, Inc.:   
5.125% 8/1/21 840 863 
6.875% 2/1/22 1,115 1,185 
DaVita HealthCare Partners, Inc.:   
5% 5/1/25 2,315 2,269 
5.125% 7/15/24 2,535 2,524 
5.75% 8/15/22 1,215 1,293 
Envision Healthcare Corp. 5.125% 7/1/22 (f) 1,040 1,054 
Express Scripts Holding Co.:   
3.9% 2/15/22 1,585 1,602 
4.75% 11/15/21 14,348 15,337 
HCA Holdings, Inc.:   
3.75% 3/15/19 9,592 9,640 
4.25% 10/15/19 3,850 3,927 
4.75% 5/1/23 3,020 3,061 
5% 3/15/24 1,755 1,797 
5.375% 2/1/25 9,835 9,983 
5.875% 3/15/22 10,110 10,995 
5.875% 5/1/23 2,555 2,702 
6.25% 2/15/21 1,415 1,535 
6.5% 2/15/20 20,898 23,092 
7.5% 2/15/22 3,250 3,728 
HealthSouth Corp.:   
5.125% 3/15/23 800 792 
5.75% 11/1/24 3,005 3,047 
5.75% 11/1/24 (f) 890 902 
Jaguar Holding Co. II / Pharmaceutical Product Development LLC 6.375% 8/1/23 (f) 6,365 6,308 
Kindred Escrow Corp. II:   
8% 1/15/20 (f) 1,180 1,293 
8.75% 1/15/23 (f) 1,180 1,322 
Legend Acquisition, Inc. 10.75% 8/15/20 (f)(i) 2,005 
McKesson Corp. 2.284% 3/15/19 5,400 5,408 
Medco Health Solutions, Inc.:   
2.75% 9/15/15 3,610 3,612 
4.125% 9/15/20 3,728 3,939 
Quintiles Transnational Corp. 4.875% 5/15/23 (f) 1,070 1,091 
Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21 625 653 
Tenet Healthcare Corp.:   
4.375% 10/1/21 2,040 2,040 
4.5% 4/1/21 1,030 1,035 
5% 3/1/19 11,690 11,669 
6% 10/1/20 1,145 1,225 
6.75% 6/15/23 7,355 7,576 
8.125% 4/1/22 4,590 5,083 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 2,324 2,377 
3.75% 7/15/25 6,406 6,557 
WellPoint, Inc. 1.875% 1/15/18 161 160 
  163,369 
Health Care Technology - 0.0%   
Emdeon, Inc. 6% 2/15/21 (f) 1,155 1,138 
IMS Health, Inc. 6% 11/1/20 (f) 715 735 
  1,873 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,499 1,491 
2.4% 2/1/19 945 943 
  2,434 
Pharmaceuticals - 0.5%   
AbbVie, Inc.:   
1.75% 11/6/17 5,738 5,733 
3.6% 5/14/25 6,397 6,290 
Actavis Funding SCS:   
1.3% 6/15/17 10,935 10,838 
2.45% 6/15/19 3,241 3,214 
3% 3/12/20 5,472 5,447 
3.45% 3/15/22 9,527 9,318 
3.8% 3/15/25 6,866 6,651 
Concordia Healthcare Corp. 7% 4/15/23 (f) 2,445 2,525 
Endo Finance LLC 5.375% 1/15/23 (f) 350 353 
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:   
6% 7/15/23 (f) 4,625 4,810 
6% 2/1/25 (f) 4,195 4,310 
Forest Laboratories, Inc. 4.375% 2/1/19 (f) 2,160 2,257 
JLL/Delta Dutch Newco BV 7.5% 2/1/22 (f) 8,675 9,044 
JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (f)(h) 3,315 3,398 
Mylan, Inc. 1.35% 11/29/16 1,757 1,741 
Perrigo Co. PLC:   
1.3% 11/8/16 1,437 1,428 
2.3% 11/8/18 1,537 1,533 
Perrigo Finance PLC:   
3.5% 12/15/21 1,350 1,317 
3.9% 12/15/24 2,011 1,948 
4.9% 12/15/44 883 838 
Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (f) 498 555 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (f) 4,735 4,818 
5.5% 3/1/23 (f) 1,750 1,774 
5.625% 12/1/21 (f) 810 826 
5.875% 5/15/23 (f) 8,150 8,313 
6.125% 4/15/25 (f) 10,225 10,532 
6.75% 8/15/18 (f) 3,620 3,787 
7.5% 7/15/21 (f) 1,575 1,691 
VPI Escrow Corp. 6.375% 10/15/20 (f) 1,445 1,506 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 1,940 1,933 
Zoetis, Inc. 1.875% 2/1/18 898 892 
  119,620 
TOTAL HEALTH CARE  317,453 
INDUSTRIALS - 0.6%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f) 3,650 4,139 
DigitalGlobe, Inc. 5.25% 2/1/21 (f) 425 408 
TransDigm, Inc.:   
6% 7/15/22 1,155 1,138 
6.5% 7/15/24 1,135 1,109 
6.5% 5/15/25 (f) 7,335 7,216 
  14,010 
Airlines - 0.0%   
Continental Airlines, Inc.:   
pass-thru trust certificates:   
8.388% 5/1/22 
9.798% 4/1/21 2,120 2,321 
6.125% 4/29/18 415 431 
6.648% 3/15/19 1,021 1,049 
6.9% 7/2/19 413 431 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 1,476 1,564 
8.36% 1/20/19 905 969 
  6,772 
Building Products - 0.1%   
Builders FirstSource, Inc. 10.75% 8/15/23 (f) 3,575 3,629 
HD Supply, Inc. 5.25% 12/15/21 (f) 1,985 2,040 
HMAN Finance Sub Corp. 6.375% 7/15/22 (f) 510 478 
Nortek, Inc. 8.5% 4/15/21 925 991 
Shea Homes Ltd. Partnershp/Corp.:   
5.875% 4/1/23 (f) 440 450 
6.125% 4/1/25 (f) 440 450 
USG Corp.:   
5.875% 11/1/21 (f) 255 265 
6.3% 11/15/16 170 175 
7.875% 3/30/20 (f) 905 962 
9.75% 1/15/18 (h) 975 1,097 
  10,537 
Commercial Services & Supplies - 0.1%   
ADT Corp. 6.25% 10/15/21 1,140 1,177 
APX Group, Inc.:   
6.375% 12/1/19 9,530 9,256 
8.75% 12/1/20 10,790 9,468 
Cenveo Corp. 6% 8/1/19 (f) 730 615 
Clean Harbors, Inc. 5.125% 6/1/21 740 747 
Covanta Holding Corp.:   
6.375% 10/1/22 875 899 
7.25% 12/1/20 775 809 
Garda World Security Corp.:   
7.25% 11/15/21 (f) 475 444 
7.25% 11/15/21 (f) 525 491 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (f) 215 221 
TMS International Corp. 7.625% 10/15/21 (f) 255 244 
  24,371 
Machinery - 0.0%   
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (f) 475 449 
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,481 1,468 
Schaeffler Finance BV:   
4.25% 5/15/21 (f) 1,760 1,712 
4.75% 5/15/21 (f) 3,160 3,107 
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (f) 950 703 
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 455 494 
  7,933 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (f) 630 602 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (f) 3,065 2,544 
8.125% 2/15/19 975 775 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (f) 700 646 
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 755 589 
  5,156 
Professional Services - 0.0%   
FTI Consulting, Inc. 6% 11/15/22 2,405 2,525 
Road & Rail - 0.0%   
Hertz Corp.:   
5.875% 10/15/20 1,120 1,132 
6.25% 10/15/22 800 814 
Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (f) 1,115 783 
  2,729 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.125% 1/15/18 2,759 2,731 
2.625% 9/4/18 6,100 6,084 
3.75% 2/1/22 6,505 6,501 
3.875% 4/1/21 5,301 5,354 
4.25% 9/15/24 4,566 4,515 
4.75% 3/1/20 4,617 4,888 
Aircastle Ltd. 5.5% 2/15/22 1,340 1,387 
Ashtead Capital, Inc. 5.625% 10/1/24 (f) 1,825 1,812 
International Lease Finance Corp.:   
3.875% 4/15/18 4,400 4,422 
5.75% 5/15/16 1,840 1,875 
5.875% 8/15/22 4,385 4,730 
6.25% 5/15/19 3,035 3,270 
7.125% 9/1/18 (f) 5,560 6,145 
8.25% 12/15/20 4,165 4,936 
8.625% 9/15/15 (h) 4,640 4,646 
8.625% 1/15/22 3,910 4,780 
NES Rentals Holdings, Inc. 7.875% 5/1/18 (f) 365 362 
United Rentals North America, Inc.:   
4.625% 7/15/23 1,220 1,200 
5.5% 7/15/25 975 941 
VWR Funding, Inc. 7.25% 9/15/17 2,695 2,775 
  73,354 
TOTAL INDUSTRIALS  147,387 
INFORMATION TECHNOLOGY - 0.2%   
Communications Equipment - 0.1%   
Alcatel-Lucent U.S.A., Inc.:   
4.625% 7/1/17 (f) 395 406 
6.75% 11/15/20 (f) 1,980 2,114 
Hughes Satellite Systems Corp. 6.5% 6/15/19 5,408 5,895 
Lucent Technologies, Inc.:   
6.45% 3/15/29 5,541 5,794 
6.5% 1/15/28 1,110 1,154 
  15,363 
Electronic Equipment & Components - 0.0%   
Anixter International, Inc. 5.625% 5/1/19 705 738 
Sanmina Corp. 4.375% 6/1/19 (f) 1,295 1,300 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,087 1,092 
6.55% 10/1/17 815 894 
  4,024 
Internet Software & Services - 0.0%   
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 885 905 
VeriSign, Inc. 4.625% 5/1/23 1,225 1,194 
  2,099 
IT Services - 0.1%   
Audatex North America, Inc.:   
6% 6/15/21 (f) 4,565 4,458 
6.125% 11/1/23 (f) 4,775 4,733 
CDW LLC/CDW Finance Corp. 6% 8/15/22 1,670 1,751 
First Data Corp.:   
5.375% 8/15/23 (f) 2,645 2,678 
11.25% 1/15/21 1,918 2,119 
11.75% 8/15/21 497 560 
Global Cash Access, Inc. 10% 1/15/22 (f) 565 534 
Xerox Corp. 2.95% 3/15/17 947 962 
  17,795 
Semiconductors & Semiconductor Equipment - 0.0%   
Entegris, Inc. 6% 4/1/22 (f) 365 370 
Micron Technology, Inc.:   
5.25% 1/15/24 (f) 1,180 1,094 
5.875% 2/15/22 880 867 
NXP BV/NXP Funding LLC 5.75% 2/15/21 (f) 1,595 1,665 
  3,996 
Software - 0.0%   
Activision Blizzard, Inc. 6.125% 9/15/23 (f) 1,255 1,349 
Blue Coat Systems, Inc. 8.375% 6/1/23 (f) 3,885 3,893 
BMC Software Finance, Inc. 8.125% 7/15/21 (f) 2,645 2,162 
Boxer Parent Co., Inc. 9% 10/15/19 pay-in-kind (f)(h) 1,720 1,273 
  8,677 
Technology Hardware, Storage & Peripherals - 0.0%   
Apple, Inc. 4.375% 5/13/45 6,392 6,318 
TOTAL INFORMATION TECHNOLOGY  58,272 
MATERIALS - 0.2%   
Chemicals - 0.0%   
Evolution Escrow Issuer LLC 7.5% 3/15/22 (f) 1,250 1,006 
LSB Industries, Inc. 7.75% 8/1/19 425 428 
PolyOne Corp. 5.25% 3/15/23 1,360 1,333 
SPCM SA 6% 1/15/22 (f) 555 561 
The Chemours Company LLC:   
6.625% 5/15/23 (f) 1,985 1,727 
7% 5/15/25 (f) 505 432 
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (f) 585 626 
W. R. Grace & Co.-Conn.:   
5.125% 10/1/21 (f) 885 896 
5.625% 10/1/24 (f) 355 366 
  7,375 
Construction Materials - 0.0%   
CEMEX Finance LLC 6% 4/1/24 (f) 1,600 1,520 
Prince Mineral Holding Corp. 11.5% 12/15/19 (f) 405 348 
  1,868 
Containers & Packaging - 0.1%   
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (f)(h) 877 909 
Ardagh Packaging Finance PLC 9.125% 10/15/20 (f) 685 719 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
6% 6/30/21 (f) 800 794 
6.25% 1/31/19 (f) 680 694 
6.75% 1/31/21 (f) 785 801 
7% 11/15/20 (f) 126 127 
9.125% 10/15/20 (f) 690 721 
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (f) 2,135 1,857 
Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21 2,040 2,124 
Owens-Illinois, Inc. 7.8% 5/15/18 350 387 
Sealed Air Corp. 6.5% 12/1/20 (f) 1,065 1,179 
  10,312 
Metals & Mining - 0.1%   
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (f) 255 250 
Cliffs Natural Resources, Inc. 8.25% 3/31/20 (f) 1,410 1,283 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (f) 7,189 7,234 
4.5% 8/13/23 (Reg. S) 8,600 8,691 
4.875% 11/4/44 (f) 1,735 1,538 
4.875% 11/4/44 (Reg. S) 4,000 3,545 
Edgen Murray Corp. 8.75% 11/1/20 (f) 737 792 
JMC Steel Group, Inc. 8.25% 3/15/18 (f) 5,635 4,466 
Murray Energy Corp. 11.25% 4/15/21 (f) 3,350 1,549 
New Gold, Inc.:   
6.25% 11/15/22 (f) 615 520 
7% 4/15/20 (f) 345 331 
Ryerson, Inc./Joseph T Ryerson & Son, Inc.:   
9% 10/15/17 3,375 3,080 
11.25% 10/15/18 755 702 
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (f) 595 574 
Walter Energy, Inc.:   
9.5% 10/15/19 (f)(i) 1,115 438 
12% 4/1/20 pay-in-kind (f)(h)(i) 912 18 
  35,011 
Paper & Forest Products - 0.0%   
Clearwater Paper Corp. 4.5% 2/1/23 1,250 1,188 
TOTAL MATERIALS  55,754 
TELECOMMUNICATION SERVICES - 1.1%   
Diversified Telecommunication Services - 0.8%   
Altice Financing SA:   
6.5% 1/15/22 (f) 2,300 2,306 
6.625% 2/15/23 (f) 2,620 2,607 
7.875% 12/15/19 (f) 550 575 
Altice Finco SA:   
8.125% 1/15/24 (f) 315 318 
9.875% 12/15/20 (f) 585 642 
AT&T, Inc. 2.45% 6/30/20 4,383 4,342 
BellSouth Capital Funding Corp. 7.875% 2/15/30 68 82 
Broadview Networks Holdings, Inc. 10.5% 11/15/17 1,908 1,784 
CenturyLink, Inc.:   
5.15% 6/15/17 440 451 
6% 4/1/17 3,101 3,233 
6.15% 9/15/19 3,331 3,489 
Eileme 2 AB 11.625% 1/31/20 (f) 1,725 1,887 
Embarq Corp.:   
7.082% 6/1/16 3,728 3,853 
7.995% 6/1/36 37,546 39,705 
FairPoint Communications, Inc. 8.75% 8/15/19 (f) 1,340 1,407 
GCI, Inc. 6.875% 4/15/25 1,350 1,387 
Intelsat Luxembourg SA:   
7.75% 6/1/21 4,960 3,716 
8.125% 6/1/23 1,090 801 
Level 3 Communications, Inc. 5.75% 12/1/22 1,295 1,292 
Level 3 Financing, Inc.:   
5.375% 8/15/22 2,110 2,117 
6.125% 1/15/21 1,405 1,472 
7% 6/1/20 1,460 1,537 
Lynx I Corp. 5.375% 4/15/21 (f) 693 710 
Lynx II Corp. 6.375% 4/15/23 (f) 435 452 
Sable International Finance Ltd. 6.875% 8/1/22 (f) 1,915 1,934 
Sprint Capital Corp.:   
6.875% 11/15/28 1,005 864 
6.9% 5/1/19 3,975 4,030 
8.75% 3/15/32 1,500 1,419 
Verizon Communications, Inc.:   
2.625% 2/21/20 8,000 8,003 
4.5% 9/15/20 38,502 41,412 
5.012% 8/21/54 19,396 17,693 
6.1% 4/15/18 1,909 2,102 
6.25% 4/1/37 3,729 4,179 
6.4% 9/15/33 5,323 6,069 
6.55% 9/15/43 13,650 16,117 
Virgin Media Finance PLC 6% 10/15/24 (f) 930 954 
Wind Acquisition Finance SA 4.75% 7/15/20 (f) 1,670 1,683 
  186,624 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 2.375% 9/8/16 307 310 
Clearwire Communications LLC/Clearwire Finance, Inc. 14.75% 12/1/16 (f) 3,050 3,477 
Digicel Group Ltd.:   
6% 4/15/21 (f) 2,805 2,569 
6.75% 3/1/23 (f) 1,215 1,115 
7.125% 4/1/22 (f) 2,000 1,743 
8.25% 9/30/20 (f) 5,870 5,430 
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 2,315 2,037 
6.625% 12/15/22 (Reg. S) 5,045 4,414 
7.5% 4/1/21 3,895 3,773 
SBA Communications Corp. 5.625% 10/1/19 1,870 1,954 
Sprint Communications, Inc.:   
6% 11/15/22 13,365 12,029 
9% 11/15/18 (f) 6,595 7,345 
Sprint Corp.:   
7.125% 6/15/24 870 804 
7.25% 9/15/21 2,575 2,504 
7.875% 9/15/23 2,575 2,475 
T-Mobile U.S.A., Inc.:   
5.25% 9/1/18 940 962 
6% 3/1/23 2,590 2,640 
6.25% 4/1/21 2,010 2,076 
6.464% 4/28/19 420 432 
6.542% 4/28/20 1,475 1,538 
6.625% 4/1/23 15,005 15,650 
6.633% 4/28/21 1,335 1,395 
6.731% 4/28/22 985 1,034 
6.836% 4/28/23 385 403 
  78,109 
TOTAL TELECOMMUNICATION SERVICES  264,733 
UTILITIES - 1.1%   
Electric Utilities - 0.8%   
AmerenUE 6.4% 6/15/17 4,026 4,377 
American Transmission Systems, Inc. 5% 9/1/44 (f) 2,007 2,051 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (f) 3,934 4,468 
6.4% 9/15/20 (f) 10,769 12,330 
Edison International 3.75% 9/15/17 3,355 3,494 
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:   
11% 10/1/21 (i) 3,339 3,556 
12.25% 3/1/22 (f)(i) 10,834 11,579 
Entergy Corp. 4% 7/15/22 6,500 6,548 
Eversource Energy 1.45% 5/1/18 1,511 1,491 
Exelon Corp.:   
1.55% 6/9/17 1,266 1,263 
3.95% 6/15/25 5,966 5,974 
FirstEnergy Corp.:   
2.75% 3/15/18 10,020 10,052 
4.25% 3/15/23 23,348 23,394 
7.375% 11/15/31 31,788 38,260 
FirstEnergy Solutions Corp. 6.05% 8/15/21 9,830 10,693 
InterGen NV 7% 6/30/23 (f) 2,735 2,386 
IPALCO Enterprises, Inc. 3.45% 7/15/20 (f) 10,457 10,274 
LG&E and KU Energy LLC:   
2.125% 11/15/15 3,785 3,795 
3.75% 11/15/20 745 781 
Mirant Americas Generation LLC 9.125% 5/1/31 460 386 
Nevada Power Co.:   
6.5% 5/15/18 5,100 5,704 
6.5% 8/1/18 1,191 1,343 
NSG Holdings II, LLC 7.75% 12/15/25 (f) 4,708 5,191 
NV Energy, Inc. 6.25% 11/15/20 1,666 1,930 
Pennsylvania Electric Co. 6.05% 9/1/17 450 488 
Pepco Holdings, Inc. 2.7% 10/1/15 3,805 3,810 
Progress Energy, Inc. 4.4% 1/15/21 336 358 
RJS Power Holdings LLC 5.125% 7/15/19 (f) 2,150 2,032 
TECO Finance, Inc.:   
4% 3/15/16 1,242 1,261 
5.15% 3/15/20 2,029 2,216 
West Penn Power Co. 5.95% 12/15/17 (f) 10,500 11,406 
  192,891 
Gas Utilities - 0.0%   
AmeriGas Finance LLC/AmeriGas Finance Corp. 7% 5/20/22 1,785 1,852 
Southern Natural Gas Co. 5.9% 4/1/17 (f) 260 274 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,753 1,793 
Texas Eastern Transmission LP 6% 9/15/17 (f) 948 1,024 
  4,943 
Independent Power and Renewable Electricity Producers - 0.1%   
Calpine Corp.:   
5.375% 1/15/23 1,475 1,423 
5.75% 1/15/25 635 615 
6% 1/15/22 (f) 1,115 1,186 
7.875% 1/15/23 (f) 2,470 2,643 
Dynegy, Inc.:   
6.75% 11/1/19 1,075 1,115 
7.375% 11/1/22 4,055 4,197 
7.625% 11/1/24 3,465 3,606 
GenOn Energy, Inc. 9.875% 10/15/20 1,743 1,647 
NRG Energy, Inc. 6.625% 3/15/23 2,550 2,505 
PPL Energy Supply LLC 6.5% 6/1/25 (f) 1,100 1,020 
TerraForm Power Operating LLC:   
5.875% 2/1/23 (f) 845 803 
6.125% 6/15/25 (f) 435 410 
The AES Corp. 5.5% 3/15/24 745 711 
TXU Corp.:   
5.55% 11/15/14 (i) 61 60 
6.5% 11/15/24 (i) 3,550 3,497 
6.55% 11/15/34 (i) 7,200 7,092 
  32,530 
Multi-Utilities - 0.2%   
Dominion Resources, Inc.:   
2.5818% 9/30/66 (h) 19,347 16,846 
7.5% 6/30/66 (h) 2,474 2,205 
NiSource Finance Corp.:   
5.45% 9/15/20 5,259 5,883 
6.4% 3/15/18 983 1,092 
6.8% 1/15/19 2,710 3,092 
PG&E Corp. 2.4% 3/1/19 791 793 
Puget Energy, Inc. 6% 9/1/21 691 790 
Sempra Energy 2.3% 4/1/17 5,903 5,976 
Wisconsin Energy Corp. 6.25% 5/15/67 (h) 3,876 3,358 
  40,035 
TOTAL UTILITIES  270,399 
TOTAL NONCONVERTIBLE BONDS  4,200,867 
TOTAL CORPORATE BONDS   
(Cost $4,216,418)  4,203,610 
U.S. Government and Government Agency Obligations - 4.3%   
U.S. Treasury Inflation-Protected Obligations - 0.8%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $85,443 $76,860 
1.375% 2/15/44 72,144 75,778 
U.S. Treasury Inflation-Indexed Notes 0.25% 1/15/25 44,190 42,607 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  195,245 
U.S. Treasury Obligations - 3.5%   
U.S. Treasury Bonds:   
2.875% 8/15/45 55,290 54,404 
3% 5/15/45 166,609 167,789 
U.S. Treasury Notes:   
0.5% 8/31/16 96,300 96,358 
0.625% 8/15/16 50,000 50,084 
1% 8/31/16 200,000 201,086 
1% 8/15/18 32,700 32,645 
1.5% 5/31/20 45,576 45,540 
1.625% 7/31/20 15,490 15,542 
2% 8/15/25 13,160 12,908 
2.125% 5/15/25 191,779 190,061 
TOTAL U.S. TREASURY OBLIGATIONS  866,417 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,075,097)  1,061,662 
U.S. Government Agency - Mortgage Securities - 1.1%   
Fannie Mae - 0.7%   
2.302% 6/1/36 (h) 125 134 
2.5% 1/1/28 to 4/1/43 12,820 12,998 
2.546% 7/1/37 (h) 210 225 
3% 5/1/27 to 8/1/45 14,000 14,081 
3% 9/1/45 (j) 12,900 12,955 
3% 9/1/45 (j) 8,800 8,838 
3% 9/1/45 (j) 2,600 2,611 
3% 10/1/45 (j) 1,500 1,503 
3.5% 11/1/25 to 8/1/45 14,772 15,376 
3.5% 9/1/45 (j) 2,200 2,280 
3.5% 9/1/45 (j) 6,000 6,217 
3.5% 9/1/45 (j) 3,800 3,938 
3.5% 9/1/45 (j) 16,000 16,580 
4% 11/1/40 to 7/1/45 15,861 16,915 
4% 9/1/45 (j) 7,500 7,965 
4% 9/1/45 (j) 7,200 7,647 
4% 9/1/45 (j) 1,000 1,062 
4.5% 11/1/19 to 4/1/45 20,727 22,551 
4.5% 9/1/45 (j) 7,900 8,558 
4.5% 9/1/45 (j) 5,000 5,416 
5% 4/1/41 to 10/1/41 3,287 3,634 
5.5% 9/1/23 to 4/1/39 3,323 3,722 
6% 7/1/35 to 8/1/37 2,655 3,039 
6.5% 7/1/32 to 8/1/36 457 532 
TOTAL FANNIE MAE  178,777 
Freddie Mac - 0.3%   
3% 3/1/45 to 7/1/45 13,973 14,010 
3.155% 10/1/35 (h) 119 126 
3.5% 8/1/42 to 6/1/45 13,658 14,153 
4% 6/1/24 to 8/1/44 13,914 14,847 
4.5% 3/1/41 to 4/1/41 7,080 7,686 
5% 3/1/19 to 7/1/41 2,946 3,214 
5.5% 1/1/38 to 6/1/41 8,637 9,628 
6% 7/1/37 to 8/1/37 235 268 
6.5% 3/1/36 1,750 2,034 
TOTAL FREDDIE MAC  65,966 
Ginnie Mae - 0.1%   
3% 6/20/45 1,194 1,211 
3.5% 7/20/42 to 8/20/45 13,796 14,386 
4% 8/15/39 to 7/20/45 8,790 9,375 
4.5% 4/20/41 2,511 2,721 
5% 2/15/39 to 5/15/39 757 841 
5.5% 6/15/35 to 9/15/39 2,449 2,783 
TOTAL GINNIE MAE  31,317 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $274,796)  276,060 
Asset-Backed Securities - 0.3%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.9044% 4/25/35 (h) $504 $453 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8494% 3/25/34 (h) 198 189 
AmeriCredit Automobile Receivables Trust Series 2013-4:   
Class C, 2.72% 9/9/19 1,240 1,262 
Class D, 3.31% 10/8/19 770 788 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.2494% 12/25/33 (h) 37 34 
Series 2004-R2 Class M3, 1.0244% 4/25/34 (h) 68 50 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 0.9794% 3/25/34 (h) 36 34 
Series 2004-W11 Class M2, 1.2494% 11/25/34 (h) 426 414 
Series 2004-W7 Class M1, 1.0244% 5/25/34 (h) 1,108 1,066 
Series 2006-W4 Class A2C, 0.3594% 5/25/36 (h) 880 314 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.0244% 4/25/34 (h) 1,313 1,205 
Series 2006-HE2 Class M1, 0.5694% 3/25/36 (h) 15 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3394% 12/25/36 (h) 1,368 902 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.6544% 4/25/34 (h) 53 48 
Series 2004-4 Class M2, 0.9944% 6/25/34 (h) 79 72 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,533 1,596 
Fannie Mae Series 2004-T5 Class AB3, 0.9538% 5/28/35 (h) 30 27 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3744% 8/25/34 (h) 221 207 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0244% 3/25/34 (h) 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 0.9344% 1/25/35 (h) 720 614 
Class M4, 1.2194% 1/25/35 (h) 264 170 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7091% 2/25/47 (f)(h) 951 889 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.3776% 11/15/34 (f)(h) 541 520 
Class B, 0.4776% 11/15/34 (f)(h) 196 182 
Class C, 0.5776% 11/15/34 (f)(h) 325 286 
Class D, 0.9476% 11/15/34 (f)(h) 124 102 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.5194% 8/25/33 (h) 190 180 
Series 2003-3 Class M1, 1.4894% 8/25/33 (h) 345 333 
Series 2003-5 Class A2, 0.8905% 12/25/33 (h) 25 23 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3894% 1/25/37 (h) 1,137 758 
Invitation Homes Trust Series 2015-SFR3 Class E, 3.933% 8/17/32 (f)(h) 2,913 2,887 
JPMorgan Mortgage Acquisition Trust:   
Series 2006-NC2 Class M2, 0.4905% 7/25/36 (h) 2,224 919 
Series 2007-CH1 Class AV4, 0.3205% 11/25/36 (h) 291 290 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.612% 12/27/29 (h) 106 105 
Series 2006-A Class 2C, 1.432% 3/27/42 (h) 2,016 997 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4994% 5/25/37 (h) 257 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9494% 7/25/34 (h) 82 69 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.1744% 7/25/34 (h) 240 219 
Series 2006-FM1 Class A2B, 0.3094% 4/25/37 (h) 183 182 
Series 2006-OPT1 Class A1A, 0.7194% 6/25/35 (h) 1,213 1,172 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 0.8794% 8/25/34 (h) 44 41 
Series 2005-NC1 Class M1, 0.8594% 1/25/35 (h) 220 207 
Series 2005-NC2 Class B1, 1.9544% 3/25/35 (h) 171 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7005% 9/25/35 (h) 1,083 963 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.0744% 9/25/34 (h) 405 383 
Class M4, 2.3744% 9/25/34 (h) 519 240 
Series 2005-WCH1 Class M4, 1.4444% 1/25/36 (h) 1,120 987 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9994% 4/25/33 (h) 
Santander Drive Auto Receivables Trust:   
Series 2014-2 Class C, 2.33% 11/15/19 5,443 5,470 
Series 2014-3:   
Class B, 1.45% 5/15/19 19,055 19,055 
Class C, 2.13% 8/17/20 19,051 19,144 
Series 2014-4 Class C, 2.6% 11/16/20 3,030 3,053 
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9944% 3/25/35 (h) 603 555 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2359% 6/15/33 (h) 520 504 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9244% 9/25/34 (h) 32 28 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0594% 9/25/34 (h) 22 20 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8435% 4/6/42 (f)(h) 1,530 872 
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0951% 10/25/44 (f)(h) 1,358 1,354 
TOTAL ASSET-BACKED SECURITIES   
(Cost $65,283)  72,452 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.1%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7594% 1/25/35 (h) 828 805 
Citigroup Mortgage Loan Trust sequential payer Series 2012-A Class A, 2.5% 6/25/51 (f) 2,264 2,227 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5683% 10/25/34 (h) 444 441 
Granite Master Issuer PLC floater:   
Series 2006-3 Class M2, 0.7628% 12/20/54 (h) 4,540 4,435 
Series 2006-4 Class M1, 0.5428% 12/20/54 (h) 829 808 
Series 2007-1:   
Class 1M1, 0.5028% 12/20/54 (h) 1,114 1,075 
Class 2M1, 0.7028% 12/20/54 (h) 1,431 1,402 
Series 2007-2 Class 2C1, 1.0576% 12/17/54 (h) 1,981 1,926 
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.737% 1/20/44 (h) 326 323 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5847% 8/25/36 (h) 956 808 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4094% 5/25/47 (h) 287 265 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3694% 2/25/37 (h) 584 526 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4894% 7/25/35 (h) 772 731 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.5385% 6/10/35 (f)(h) 293 266 
Class B6, 3.0385% 6/10/35 (f)(h) 62 57 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (h) 18 17 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5121% 4/25/33 (h) 131 129 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.3994% 9/25/36 (h) 1,178 1,119 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 0.8305% 9/25/43 (h) 1,896 1,830 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $12,405)  19,190 
Commercial Mortgage Securities - 1.8%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4464% 2/14/43 (h)(k) 219 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-3 Class A4, 5.889% 7/10/44 6,933 7,058 
Series 2006-6 Class A3, 5.369% 10/10/45 1,824 1,833 
Series 2006-6 Class E, 5.619% 10/10/45 (f) 527 59 
Series 2007-3 Class A4, 5.5746% 6/10/49 (h) 13,482 14,119 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 1,806 1,889 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.4744% 12/25/33 (f)(h) 25 23 
Series 2005-3A:   
Class A2, 0.5994% 11/25/35 (f)(h) 233 208 
Class M1, 0.6394% 11/25/35 (f)(h) 31 26 
Class M2, 0.6894% 11/25/35 (f)(h) 39 31 
Class M3, 0.7094% 11/25/35 (f)(h) 35 27 
Class M4, 0.7994% 11/25/35 (f)(h) 43 33 
Series 2005-4A:   
Class A2, 0.5894% 1/25/36 (f)(h) 598 532 
Class B1, 1.5994% 1/25/36 (f)(h) 25 16 
Class M1, 0.6494% 1/25/36 (f)(h) 193 156 
Class M2, 0.6694% 1/25/36 (f)(h) 58 45 
Class M3, 0.6994% 1/25/36 (f)(h) 85 64 
Class M4, 0.8094% 1/25/36 (f)(h) 47 35 
Class M5, 0.8494% 1/25/36 (f)(h) 47 34 
Class M6, 0.8994% 1/25/36 (f)(h) 50 36 
Series 2006-1:   
Class A2, 0.5594% 4/25/36 (f)(h) 95 83 
Class M1, 0.5794% 4/25/36 (f)(h) 34 27 
Class M2, 0.5994% 4/25/36 (f)(h) 36 29 
Class M3, 0.6194% 4/25/36 (f)(h) 31 24 
Class M4, 0.7194% 4/25/36 (f)(h) 17 14 
Class M5, 0.7594% 4/25/36 (f)(h) 17 12 
Class M6, 0.8394% 4/25/36 (f)(h) 34 24 
Series 2006-2A:   
Class M1, 0.5094% 7/25/36 (f)(h) 83 64 
Class M2, 0.5294% 7/25/36 (f)(h) 59 44 
Class M3, 0.5494% 7/25/36 (f)(h) 49 35 
Class M4, 0.6194% 7/25/36 (f)(h) 33 23 
Class M5, 0.6694% 7/25/36 (f)(h) 40 27 
Series 2006-3A Class M4, 0.6294% 10/25/36 (f)(h) 24 
Series 2006-4A:   
Class A2, 0.4694% 12/25/36 (f)(h) 1,786 1,514 
Class M1, 0.4894% 12/25/36 (f)(h) 119 91 
Class M2, 0.5094% 12/25/36 (f)(h) 79 51 
Class M3, 0.5394% 12/25/36 (f)(h) 80 45 
Series 2007-1 Class A2, 0.4694% 3/25/37 (f)(h) 364 305 
Series 2007-2A:   
Class A1, 0.4694% 7/25/37 (f)(h) 375 320 
Class A2, 0.5194% 7/25/37 (f)(h) 352 289 
Class M1, 0.5694% 7/25/37 (f)(h) 124 95 
Class M2, 0.6094% 7/25/37 (f)(h) 68 48 
Class M3, 0.6894% 7/25/37 (f)(h) 52 30 
Series 2007-3:   
Class A2, 0.4894% 7/25/37 (f)(h) 367 299 
Class M1, 0.5094% 7/25/37 (f)(h) 73 57 
Class M2, 0.5394% 7/25/37 (f)(h) 78 56 
Class M3, 0.5694% 7/25/37 (f)(h) 123 54 
Class M4, 0.6994% 7/25/37 (f)(h) 193 57 
Class M5, 0.7994% 7/25/37 (f)(h) 93 18 
Series 2007-4A Class M1, 1.1494% 9/25/37 (f)(h) 132 25 
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(k) 825 31 
Series 2006-3A, Class IO, 0% 10/25/36 (f)(h)(k) 15,830 
Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(h)(k) 2,327 
Bear Stearns Commercial Mortgage Securities Trust:   
sequential payer:   
Series 2007-PW16:   
Class A4, 5.7053% 6/11/40 (h) 534 565 
Class AAB, 5.7053% 6/11/40 (h) 1,551 1,554 
Series 2007-PW18 Class A4, 5.7% 6/11/50 4,380 4,625 
Series 2006-T22 Class A4, 5.5924% 4/12/38 (h) 80 81 
Series 2007-PW18 Class X2, 0.3003% 6/11/50 (f)(h)(k) 41,984 44 
Series 2007-T28 Class X2, 0.1359% 9/11/42 (f)(h)(k) 26,148 
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (f)(h) 107 78 
C-BASS Trust floater Series 2006-SC1 Class A, 0.4694% 5/25/36 (f)(h) 231 220 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.1976% 12/15/27 (f)(h) 2,276 2,272 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (f)(h) 1,100 1,115 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7108% 12/10/49 (h) 3,035 3,217 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:   
Class A3, 5.293% 12/11/49 83 83 
Class A4, 5.322% 12/11/49 7,683 7,945 
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (h) 1,019 990 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.0476% 4/15/17 (f)(h) 96 96 
Credit Suisse Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C4 Class A3, 5.467% 9/15/39 882 904 
Series 2007-C2 Class A2, 5.448% 1/15/49 (h) 18 18 
Series 2007-C3 Class A4, 5.6993% 6/15/39 (h) 322 338 
Series 2007-C5 Class A4, 5.695% 9/15/40 (h) 825 871 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0% 9/15/34 (f)(h)(k) 
CSMC Series 2015-TOWN:   
Class B, 2.0976% 3/15/17 (f)(h) 1,198 1,190 
Class C, 2.4476% 3/15/17 (f)(h) 1,167 1,159 
Class D, 3.3976% 3/15/17 (f)(h) 1,766 1,751 
Extended Stay America Trust floater Series 2013-ESFL:   
Class BFL, 1.294% 12/5/31 (f)(h) 883 880 
Class CFL, 1.694% 12/5/31 (f)(h) 643 640 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/19 (f)(h) 6,410 6,429 
Class CFX, 3.4949% 12/15/19 (f)(h) 5,380 5,301 
Class DFX, 3.3822% 12/15/19 (f)(h) 4,559 4,439 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 10,052 10,417 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 24,478 25,543 
Series 2006-GG7 Class A4, 5.8187% 7/10/38 (h) 7,227 7,334 
GS Mortgage Securities Corp. II Series 2006-GG6 Class A4, 5.553% 4/10/38 (h) 2,856 2,859 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 2,054 2,129 
Class A4, 5.56% 11/10/39 3,371 3,474 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (f) 1,180 1,177 
Class DFX, 4.4065% 11/5/30 (f) 11,029 11,054 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater:   
Series 2006-FL2A:   
Class E, 0.4776% 11/15/18 (f)(h) 95 93 
Class F, 0.5276% 11/15/18 (f)(h) 265 254 
Class G, 0.5576% 11/15/18 (f)(h) 230 220 
Class H, 0.6976% 11/15/18 (f)(h) 176 168 
Series 2014-BXH:   
Class C, 1.8476% 4/15/27 (f)(h) 1,775 1,772 
Class D, 2.4476% 4/15/27 (f)(h) 3,781 3,769 
sequential payer:   
Series 2006-CB17 Class A4, 5.429% 12/12/43 2,096 2,161 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 1,625 1,672 
Class A4, 5.399% 5/15/45 526 537 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 14,379 14,890 
Series 2007-CB19 Class A4, 5.695% 2/12/49 (h) 3,209 3,380 
Series 2007-LD11 Class A4, 5.7743% 6/15/49 (h) 31,964 33,655 
Series 2007-LDPX Class A3, 5.42% 1/15/49 13,822 14,416 
Series 2006-LDP7 Class A4, 5.9047% 4/15/45 (h) 1,127 1,146 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (h) 53 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0965% 7/15/44 (h) 731 773 
LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.125% 4/25/21 (h) 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 409 421 
Series 2006-C7 Class A2, 5.3% 11/15/38 286 287 
Series 2007-C1 Class A4, 5.424% 2/15/40 12,407 12,911 
Series 2007-C2 Class A3, 5.43% 2/15/40 1,612 1,686 
Series 2007-C6 Class A4, 5.858% 7/15/40 (h) 897 935 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,378 1,485 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.4161% 1/12/44 (f)(h) 793 783 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,409 1,500 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2006-4 Class ASB, 5.133% 12/12/49 (h) 53 53 
Series 2007-5:   
Class A4, 5.378% 8/12/48 6,808 7,079 
Class B, 5.479% 8/12/48 2,736 1,335 
Series 2007-6 Class A4, 5.485% 3/12/51 (h) 7,400 7,754 
Series 2007-7 Class A4, 5.7429% 6/12/50 (h) 2,984 3,159 
Series 2007-6 Class B, 5.635% 3/12/51 (h) 912 285 
Series 2007-8 Class A3, 5.8811% 8/12/49 (h) 787 838 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.398% 7/15/19 (f)(h) 272 272 
Series 2007-XLFA:   
Class D, 0.374% 10/15/20 (f)(h) 481 479 
Class E, 0.4355% 10/15/20 (f)(h) 634 630 
Class F, 0.4855% 10/15/20 (f)(h) 380 378 
Class G, 0.5255% 10/15/20 (f)(h) 470 466 
Class H, 0.6155% 10/15/20 (f)(h) 296 288 
Class J, 0.7655% 10/15/20 (f)(h) 171 158 
sequential payer:   
Series 2007-HQ11 Class A31, 5.439% 2/12/44 50 50 
Series 2007-IQ15 Class A4, 5.9077% 6/11/49 (h) 26,535 28,119 
Series 2006-IQ11 Class A4, 5.7068% 10/15/42 (h) 161 162 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 1,368 1,434 
Class AAB, 5.654% 4/15/49 843 855 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f) 119 38 
Wachovia Bank Commercial Mortgage Trust:   
floater Series 2006-WL7A Class J, 0.7976% 9/15/21 (f)(h) 300 285 
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 15,721 16,358 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 47,617 48,574 
Class A5, 5.5% 4/15/47 20,438 21,591 
Series 2007-C33:   
Class A4, 5.9507% 2/15/51 (h) 22,670 23,690 
Class A5, 5.9507% 2/15/51 (h) 10,259 11,016 
Series 2005-C22 Class B, 5.3736% 12/15/44 (h) 2,022 2,012 
Series 2006-C23 Class A5, 5.416% 1/15/45 (h) 5,005 5,039 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (h) 7,862 8,083 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (h) 2,736 2,736 
Class D, 5.513% 12/15/43 (h) 1,459 1,422 
Series 2007-C31 Class C, 5.6711% 4/15/47 (h) 251 244 
Series 2007-C31A Class A2, 5.421% 4/15/47 608 609 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $435,408)  435,230 
Municipal Securities - 1.3%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,095 $1,520 
7.3% 10/1/39 16,765 23,207 
7.5% 4/1/34 7,195 10,029 
7.55% 4/1/39 27,365 39,431 
7.6% 11/1/40 16,125 23,654 
7.625% 3/1/40 2,445 3,522 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,170 1,135 
Series 2010 C1, 7.781% 1/1/35 6,325 6,425 
Series 2012 B, 5.432% 1/1/42 3,515 2,832 
6.05% 1/1/29 400 381 
6.314% 1/1/44 12,335 10,735 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 32,000 32,758 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,385 3,479 
4.95% 6/1/23 1,430 1,454 
5.1% 6/1/33 70,725 65,624 
Series 2010 5, 6.2% 7/1/21 1,370 1,501 
Series 2010-1, 6.63% 2/1/35 25,440 26,184 
Series 2010-3:   
5.547% 4/1/19 155 167 
6.725% 4/1/35 11,505 11,909 
7.35% 7/1/35 4,495 4,819 
Series 2011:   
4.961% 3/1/16 495 503 
5.365% 3/1/17 185 191 
5.665% 3/1/18 8,840 9,454 
5.877% 3/1/19 19,390 21,180 
Series 2013:   
1.28% 12/1/15 4,270 4,273 
4% 12/1/20 6,040 6,138 
TOTAL MUNICIPAL SECURITIES   
(Cost $315,744)  312,505 
Foreign Government and Government Agency Obligations - 0.0%   
Italian Republic 5.375% 6/12/17
(Cost $4,239) 
$4,115 $4,392 
Bank Loan Obligations - 0.5%   
CONSUMER DISCRETIONARY - 0.2%   
Auto Components - 0.0%   
Chassix, Inc. term loan 12% 7/29/19 235 238 
Diversified Consumer Services - 0.1%   
KC Mergersub, Inc. Tranche 1LN, term loan 6% 8/13/22 (h) 3,330 3,263 
Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (h) 9,771 8,971 
Wash Multifamily Acquisition, Inc. Tranche B 1LN, term loan 4.25% 5/14/22 (h) 215 213 
  12,447 
Hotels, Restaurants & Leisure - 0.1%   
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (h) 2,171 2,069 
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (h) 441 382 
Fantasy Springs Resort Casino term loan 12% 8/6/12 (h)(i) 8,486 5,941 
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (h) 3,667 3,670 
Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (h) 1,564 1,560 
  13,622 
Household Durables - 0.0%   
Serta Simmons Holdings, LLC Tranche B, term loan 4.25% 10/1/19 (h) 1,554 1,554 
Media - 0.0%   
CDS U.S. Intermediate Holdings, Inc. Tranche B 1LN, term loan 5% 7/8/22 (h) 165 165 
Cumulus Media Holdings, Inc. Tranch B 1LN, term loan 4.25% 12/23/20 (h) 3,187 2,924 
Liberty Cablevision of Puerto Rico:   
Tranche 1LN, term loan 4.5% 1/7/22 (h) 110 107 
Tranche 2LN, term loan 7.75% 7/7/23 (h) 435 426 
McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (h) 3,585 3,576 
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20(h) 729 723 
  7,921 
TOTAL CONSUMER DISCRETIONARY  35,782 
CONSUMER STAPLES - 0.0%   
Personal Products - 0.0%   
Revlon Consumer Products Corp. term loan 4% 8/19/19 (h) 1,087 1,082 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (h) 2,938 2,263 
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (h) 378 273 
  2,536 
Oil, Gas & Consumable Fuels - 0.0%   
American Energy-Marcellus LLC Tranche B 1LN, term loan 5.25% 8/4/20 (h) 1,675 982 
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (h) 924 926 
Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (h) 3,810 1,438 
Sheridan Investment Partners I, LLC Tranche B 2LN, term loan 4.25% 10/1/19 (h) 5,011 3,959 
  7,305 
TOTAL ENERGY  9,841 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (h) 202 201 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche 2LN, term loan 9.25% 11/4/22 (h) 530 531 
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (h) 564 559 
  1,090 
Thrifts & Mortgage Finance - 0.0%   
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 2/15/18 (h) 1,507 1,497 
TOTAL FINANCIALS  2,788 
HEALTH CARE - 0.1%   
Health Care Equipment & Supplies - 0.0%   
American Renal Holdings, Inc.:   
Tranche 2LN, term loan 8.5% 2/20/20 (h) 2,195 2,178 
Tranche B 1LN, term loan 4.5% 8/20/19 (h) 1,969 1,951 
  4,129 
Health Care Providers & Services - 0.1%   
DaVita HealthCare Partners, Inc. Tranche B, term loan 3.5% 6/24/21 (h) 3,158 3,150 
Dialysis Newco, Inc.:   
Tranche 2LN, term loan 7.75% 10/22/21 (h) 665 671 
Tranche B 1LN, term loan 4.5% 4/23/21 (h) 7,002 6,973 
Rural/Metro Corp.:   
Tranche 2LN, term loan 14.5% 1/31/16 27 25 
Tranche B, term loan 19.5% 1/31/16 88 82 
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 8.5% 1/3/20 (h) 5,065 5,071 
Tranche B 2LN, term loan 4.25% 7/3/19 (h) 1,775 1,769 
  17,741 
Life Sciences Tools & Services - 0.0%   
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (h) 1,337 1,320 
Pharmaceuticals - 0.0%   
Pharmedium Healthcare Corp. Tranche B 1LN, term loan 4.25% 1/28/21 (h) 259 257 
TOTAL HEALTH CARE  23,447 
INDUSTRIALS - 0.0%   
Aerospace & Defense - 0.0%   
TransDigm, Inc. Tranche D, term loan 3.75% 6/4/21 (h) 1,307 1,292 
Building Products - 0.0%   
PriSo Acquisition Corp. Tranche B, term loan 4.5% 5/1/22 (h) 3,880 3,846 
Commercial Services & Supplies - 0.0%   
The Brickman Group, Ltd. Tranche B 1LN, term loan 4% 12/18/20 (h) 1,713 1,684 
Electrical Equipment - 0.0%   
Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (h) 206 204 
TOTAL INDUSTRIALS  7,026 
INFORMATION TECHNOLOGY - 0.1%   
IT Services - 0.0%   
First Data Corp. Tranche B, term loan 3.7004% 3/24/18 (h) 4,690 4,651 
Semiconductors & Semiconductor Equipment - 0.0%   
Freescale Semiconductor, Inc. Tranche B 4LN, term loan 4.25% 3/1/20 (h) 2,305 2,301 
Software - 0.1%   
Kronos, Inc.:   
Tranche 2LN, term loan 9.75% 4/30/20 (h) 2,250 2,286 
Tranche B 1LN, term loan 4.5% 10/30/19 (h) 1,167 1,167 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 4.5% 4/9/21 (h) 578 563 
Tranche 2LN, term loan 8% 4/9/22 (h) 2,620 2,539 
  6,555 
TOTAL INFORMATION TECHNOLOGY  13,507 
MATERIALS - 0.0%   
Chemicals - 0.0%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (h) 1,416 1,402 
Arizona Chem U.S., Inc. Tranche B 1LN, term loan 4.5% 6/12/21 (h) 140 140 
  1,542 
Containers & Packaging - 0.0%   
Anchor Glass Container Corp. Tranche B, term loan 4.5% 7/1/22 (h) 540 540 
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (h) 1,069 1,060 
  1,600 
Metals & Mining - 0.0%   
Murray Energy Corp. Tranche B 2LN, term loan 7.5% 4/16/20 (h) 160 120 
TOTAL MATERIALS  3,262 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
LTS Buyer LLC Tranche 2LN, term loan 8% 4/12/21 (h) 41 41 
UTILITIES - 0.1%   
Gas Utilities - 0.0%   
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (h) 487 461 
Independent Power and Renewable Electricity Producers - 0.1%   
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (h) 25,472 25,472 
TOTAL UTILITIES  25,933 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $129,201)  122,709 
Bank Notes - 0.3%   
Bank of America NA:   
1.65% 3/26/18 $8,527 $8,484 
5.3% 3/15/17 14,681 15,433 
Capital One NA 1.65% 2/5/18 6,500 6,417 
Discover Bank:   
(Delaware) 3.2% 8/9/21 8,178 8,039 
3.1% 6/4/20 8,635 8,617 
8.7% 11/18/19 532 636 
Huntington National Bank 1.3% 11/20/16 3,560 3,554 
Marshall & Ilsley Bank 5% 1/17/17 7,888 8,233 
Regions Bank 7.5% 5/15/18 11,552 13,102 
Wachovia Bank NA 6% 11/15/17 7,010 7,658 
TOTAL BANK NOTES   
(Cost $78,947)  80,173 
Preferred Securities - 0.3%   
FINANCIALS - 0.3%   
Banks - 0.3%   
Bank of America Corp.:   
5.2% (h)(l) $6,665 $6,381 
6.1% (h)(l) 1,680 1,687 
Barclays Bank PLC 7.625% 11/21/22 5,205 6,044 
Citigroup, Inc.:   
5.35% (h)(l) 14,740 14,023 
5.9% (h)(l) 920 906 
5.95% (h)(l) 1,325 1,306 
Credit Agricole SA 6.625% (f)(h)(l) 10,000 9,932 
JPMorgan Chase& Co.:   
5.15% (h)(l) 5,940 5,716 
6% (h)(l) 10,000 9,951 
Royal Bank of Scotland Group PLC:   
7.5% (h)(l) 2,245 2,261 
8% (h)(l) 5,980 6,136 
Wells Fargo & Co. 5.875% (h)(l) 1,095 1,135 
  65,478 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5.375% (h)(l) 4,850 4,843 
Diversified Financial Services - 0.0%   
MUFG Capital Finance 1 Ltd. 6.346% (h)(l) 996 1,035 
TOTAL PREFERRED SECURITIES   
(Cost $71,361)  71,356 
 Shares Value (000s) 
Fixed-Income Funds - 4.8%   
Fidelity Mortgage Backed Securities Central Fund (m)   
(Cost $1,141,412) 10,987,124 1,199,354 
Other - 0.0%   
Other - 0.0%   
Tribune Co. Claim (a)   
(Cost $11) 11,084 11 
Money Market Funds - 4.1%   
Fidelity Cash Central Fund, 0.15% (n) 916,958,187 916,958 
Fidelity Securities Lending Cash Central Fund, 0.19% (n)(o) 90,221,815 90,222 
TOTAL MONEY MARKET FUNDS   
(Cost $1,007,180)  1,007,180 
TOTAL INVESTMENT PORTFOLIO - 100.5%   
(Cost $21,548,437)  24,876,211 
NET OTHER ASSETS (LIABILITIES) - (0.5)%  (125,576) 
NET ASSETS - 100%  $24,750,635 



TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3% 9/1/45 $(8,800) $(8,838) 
3% 9/1/45 (2,600) (2,611) 
3% 9/1/45 (8,800) (8,838) 
3% 9/1/45 (2,600) (2,611) 
3% 9/1/45 (1,500) (1,506) 
3.5% 9/1/45 (2,200) (2,280) 
3.5% 9/1/45 (2,200) (2,280) 
4% 9/1/45 (3,300) (3,505) 
4% 9/1/45 (8,200) (8,709) 
4% 9/1/45 (1,000) (1,062) 
4.5% 9/1/45 (5,000) (5,416) 
4.5% 9/1/45 (5,000) (5,416) 
TOTAL FANNIE MAE  (53,072) 
Ginnie Mae   
3.5% 9/1/45 (4,100) (4,269) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $57,238)  $(57,341) 



Security Type Abbreviations

ELS – Equity-Linked Security

Legend

 (a) Non-income producing

 (b) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $481,838,000 or 1.9% of net assets.

 (c) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund.

 (d) Investment is owned by an entity that is treated as a U.S. Corporation for tax purposes in which the Fund holds a percentage ownership.

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

 (f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $957,278,000 or 3.9% of net assets.

 (g) Affiliated company

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

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

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

 (k) 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.

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

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

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

 (o) Investment made with cash collateral received from securities on loan.



Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
Blu Homes, Inc. Series A, 5.00% 6/10/13 $5,000 
C. Wonder LLC Class A-1 12/27/12 - 6/25/13 $19,500 
Corindus Vascular Robotics, Inc. 9/12/14 $12,500 
Deem, Inc. 9/19/13 $8,065 
Houghton Mifflin Harcourt Co. warrants 6/22/19 6/22/12 $4 
Legend Pictures LLC 9/23/10 - 3/30/12 $37,645 
Moda Operandi, Inc. Series E 12/18/14 $20,000 
Roku, Inc. Series F, 8.00% 5/7/13 $5,000 
Spotify Technology SA 11/14/12 $15,028 
Station Holdco LLC 6/17/11  $1,131 
Station Holdco LLC 4/1/13 $10 
Station Holdco LLC unit 4/1/13 $0 
Station Holdco LLC warrants 6/15/18 8/11/08 - 8/15/08 $6,416 
The Honest Co., Inc. Series D 8/3/15 $9,000 
Tory Burch LLC 12/31/12  $17,505 
Tory Burch LLC Class A unit 5/14/15 $50,000 
Uber Technologies, Inc. Series D, 8.00% 6/6/14 $25,000 
Vice Holding, Inc. Series A 7/18/14 $29,997 
Vice Holding, Inc.  8/3/12 $34,999 
WP Rocket Holdings, Inc. 6/24/11 - 2/2/15 $3,024 
WP Rocket Holdings, Inc. Class C 19.50% 2/2/15 $243 



Affiliated Central Funds

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

Fund Income earned 
 (Amounts in thousands) 
Fidelity Cash Central Fund $1,166 
Fidelity Mortgage Backed Securities Central Fund 21,708 
Fidelity Securities Lending Cash Central Fund 1,194 
Total $24,068 



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 $783,087 $465,623 $54,065 $1,199,354 23.5% 
Total $783,087 $465,623 $54,065 $1,199,354  



Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Dividend Income Value, end of period 
Aspen Aerogels, Inc. $22,703 $-- $9,387 $-- $-- 
CareView Communications, Inc. 5,890 -- -- -- 3,440 
Corindus Vascular Robotics, Inc. -- 5,000 -- -- 4,605 
Corindus Vascular Robotics, Inc. -- 12,500 -- -- 17,500 
Total $28,593 $17,500 $9,387 $-- $25,545 



Investment Valuation

The following is a summary of the inputs used, as of August 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 below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,844,931 $2,445,623 $5,562 $393,746 
Consumer Staples 1,129,340 1,129,340 -- -- 
Energy 740,256 740,256 -- -- 
Financials 2,991,868 2,963,521 4,476 23,871 
Health Care 2,713,256 2,713,218 -- 38 
Industrials 1,028,252 1,026,308 -- 1,944 
Information Technology 3,749,648 3,678,770 477 70,401 
Materials 522,311 522,311 -- -- 
Telecommunication Services 156,439 156,439 -- -- 
Utilities 134,026 134,026 -- -- 
Corporate Bonds 4,203,610 -- 4,203,610 -- 
U.S. Government and Government Agency Obligations 1,061,662 -- 1,061,662 -- 
U.S. Government Agency - Mortgage Securities 276,060 -- 276,060 -- 
Asset-Backed Securities 72,452 -- 71,580 872 
Collateralized Mortgage Obligations 19,190 -- 19,190 -- 
Commercial Mortgage Securities 435,230 -- 435,111 119 
Municipal Securities 312,505 -- 312,505 -- 
Foreign Government and Government Agency Obligations 4,392 -- 4,392 -- 
Bank Loan Obligations 122,709 -- 115,431 7,278 
Bank Notes 80,173 -- 80,173 -- 
Preferred Securities 71,356 -- 71,356 -- 
Fixed-Income Funds 1,199,354 1,199,354 -- -- 
Other 11 -- -- 11 
Money Market Funds 1,007,180 1,007,180 -- -- 
Total Investments in Securities: $24,876,211 $17,716,346 $6,661,585 $498,280 
Other Financial Instruments:     
TBA Sale Commitments $(57,341) $-- $(57,341) $-- 
Total Other Financial Instruments: $(57,341) $-- $(57,341) $-- 








The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value:

(Amounts in thousands)  
Investments in Securities:  
Equities - Consumer Discretionary  
Beginning Balance $309,698 
Net Realized Gain (Loss) on Investment Securities (428) 
Net Unrealized Gain (Loss) on Investment Securities 12,021 
Cost of Purchases 79,509 
Proceeds of Sales (7,051) 
Amortization/Accretion -- 
Transfers into Level 3 -- 
Transfers out of Level 3 (3) 
Ending Balance $393,746 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2015 $14,777 
Other Investments in Securities  
Beginning Balance $46,839 
Net Realized Gain (Loss) on Investment Securities 26 
Net Unrealized Gain (Loss) on Investment Securities 30,147 
Cost of Purchases 28,250 
Proceeds of Sales (576) 
Amortization/Accretion 93 
Transfers into Level 3 11,764 
Transfers out of Level 3 (12,009) 
Ending Balance $104,534 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2015 $30,147 



The information used in the above reconciliations represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliations are included in Net Gain (Loss) on the Fund's Statement of Operations.

Other Information

The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):

U.S. Government and U.S. Government Agency Obligations 10.7% 
AAA,AA,A 5.9% 
BBB 9.3% 
BB 3.6% 
1.9% 
CCC,CC,C 0.5% 
0.0% 
Not Rated 0.4% 
Equities 64.6% 
Short-Term Investments and Net Other Assets 3.1% 
 100.0% 



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

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

United States of America 85.7% 
Ireland 3.7% 
Canada 1.8% 
Netherlands 1.5% 
United Kingdom 1.2% 
Others (Individually Less Than 1%) 6.1% 
 100.0% 



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

Values shown as $0 may reflect amounts less than $500. Percentages shown as 0.0% may reflect amounts less than 0.05%.

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2015 
Assets   
Investment in securities, at value (including securities loaned of $87,136) — See accompanying schedule:
Unaffiliated issuers (cost $19,366,587) 
$22,644,132  
Fidelity Central Funds (cost $2,148,592) 2,206,534  
Other affiliated issuers (cost $33,258) 25,545  
Total Investments (cost $21,548,437)  $24,876,211 
Receivable for investments sold  19,540 
Receivable for TBA sale commitments  57,238 
Receivable for fund shares sold  16,620 
Dividends receivable  17,605 
Interest receivable  66,453 
Distributions receivable from Fidelity Central Funds  161 
Prepaid expenses  85 
Other receivables  1,252 
Total assets  25,055,165 
Liabilities   
Payable to custodian bank $9  
Payable for investments purchased   
Regular delivery 42,642  
Delayed delivery 85,365  
TBA sale commitments, at value 57,341  
Payable for fund shares redeemed 16,447  
Accrued management fee 8,423  
Other affiliated payables 2,759  
Other payables and accrued expenses 1,322  
Collateral on securities loaned, at value 90,222  
Total liabilities  304,530 
Net Assets  $24,750,635 
Net Assets consist of:   
Paid in capital  $20,192,455 
Undistributed net investment income  94,680 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  1,135,836 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  3,327,664 
Net Assets  $24,750,635 
Puritan:   
Net Asset Value, offering price and redemption price per share ($18,811,764 ÷ 894,898 shares)  $21.02 
Class K:   
Net Asset Value, offering price and redemption price per share ($5,938,871 ÷ 282,621 shares)  $21.01 



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


Statement of Operations

Amounts in thousands  Year ended August 31, 2015 
Investment Income   
Dividends  $257,177 
Special dividends  147,510 
Interest  250,912 
Income from Fidelity Central Funds  24,068 
Total income  679,667 
Expenses   
Management fee $100,947  
Transfer agent fees 30,354  
Accounting and security lending fees 2,215  
Custodian fees and expenses 316  
Independent trustees' compensation 105  
Appreciation in deferred trustee compensation account  
Registration fees 348  
Audit 319  
Legal 244  
Miscellaneous 205  
Total expenses before reductions 135,055  
Expense reductions (1,206) 133,849 
Net investment income (loss)  545,818 
Realized and Unrealized Gain (Loss)
Net realized gain (loss) on: 
  
Investment securities:   
Unaffiliated issuers 1,571,492  
Fidelity Central Funds 272  
Other affiliated issuers 266  
Foreign currency transactions 581  
Futures contracts 4,417  
Swaps 3,120  
Total net realized gain (loss)  1,580,148 
Change in net unrealized appreciation (depreciation) on:
Investment securities 
(1,897,517)  
Assets and liabilities in foreign currencies 43  
Futures contracts 163  
Delayed delivery commitments (31)  
Total change in net unrealized appreciation (depreciation)  (1,897,342) 
Net gain (loss)  (317,194) 
Net increase (decrease) in net assets resulting from operations  $228,624 



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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2015 Year ended August 31, 2014 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $545,818 $393,796 
Net realized gain (loss) 1,580,148 1,903,847 
Change in net unrealized appreciation (depreciation) (1,897,342) 1,894,152 
Net increase (decrease) in net assets resulting from operations 228,624 4,191,795 
Distributions to shareholders from net investment income (532,058) (374,472) 
Distributions to shareholders from net realized gain (1,690,057) (1,699,060) 
Total distributions (2,222,115) (2,073,532) 
Share transactions - net increase (decrease) 2,230,548 1,231,634 
Total increase (decrease) in net assets 237,057 3,349,897 
Net Assets   
Beginning of period 24,513,578 21,163,681 
End of period (including undistributed net investment income of $94,680 and undistributed net investment income of $89,501, respectively) $24,750,635 $24,513,578 



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


Financial Highlights — Fidelity Puritan Fund

Years ended August 31, 2015 2014 2013 2012 2011 
Selected Per–Share Data      
Net asset value, beginning of period $22.91 $20.98 $19.53 $17.72 $15.81 
Income from Investment Operations      
Net investment income (loss)A .47B .36 .36 .38 .35 
Net realized and unrealized gain (loss) (.33) 3.60 1.79 1.78 1.93 
Total from investment operations .14 3.96 2.15 2.16 2.28 
Distributions from net investment income (.46) (.35) (.35) (.35) (.36) 
Distributions from net realized gain (1.57) (1.68) (.35) – C 
Total distributions (2.03) (2.03) (.70) (.35) (.37)D 
Net asset value, end of period $21.02 $22.91 $20.98 $19.53 $17.72 
Total ReturnE .87% 20.17% 11.29% 12.35% 14.38% 
Ratios to Average Net AssetsF,G      
Expenses before reductions .56% .56% .58% .59% .60% 
Expenses net of fee waivers, if any .56% .56% .58% .59% .60% 
Expenses net of all reductions .55% .56% .57% .59% .59% 
Net investment income (loss) 2.13%B 1.68% 1.79% 2.03% 1.96% 
Supplemental Data      
Net assets, end of period (in millions) $18,812 $18,351 $15,934 $15,472 $15,420 
Portfolio turnover rateH 106% 160% 229%I 141% 154%I 



 A Calculated based on average shares outstanding during the period.

 B Investment income per share reflects a large, non-recurring dividend which amounted to $.13 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.55%.

 C Amount represents less than $.005 per share.

 D Total distributions of $.37 per share is comprised of distributions from net investment income of $.364 and distributions from net realized gain of $.003 per share.

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

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

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

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

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



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


Financial Highlights — Fidelity Puritan Fund Class K

  August 31,    
Years ended August 31, 2015 2014 2013 2012 2011 
Selected Per–Share Data      
Net asset value, beginning of period $22.90 $20.98 $19.52 $17.72 $15.80 
Income from Investment Operations      
Net investment income (loss)A .49B .39 .39 .40 .38 
Net realized and unrealized gain (loss) (.33) 3.58 1.79 1.77 1.93 
Total from investment operations .16 3.97 2.18 2.17 2.31 
Distributions from net investment income (.48) (.37) (.37) (.37) (.39) 
Distributions from net realized gain (1.57) (1.68) (.35) – C 
Total distributions (2.05) (2.05) (.72) (.37) (.39) 
Net asset value, end of period $21.01 $22.90 $20.98 $19.52 $17.72 
Total ReturnD .96% 20.25% 11.48% 12.43% 14.59% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .46% .46% .47% .48% .48% 
Expenses net of fee waivers, if any .46% .46% .47% .48% .48% 
Expenses net of all reductions .46% .46% .46% .47% .47% 
Net investment income (loss) 2.23%B 1.78% 1.90% 2.15% 2.09% 
Supplemental Data      
Net assets, end of period (in millions) $5,939 $6,162 $5,230 $4,261 $3,211 
Portfolio turnover rateG 106% 160% 229%H 141% 154%H 



 A Calculated based on average shares outstanding during the period.

 B Investment income per share reflects a large, non-recurring dividend which amounted to $.13 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been 1.65%.

 C Amount represents less than $.005 per share.

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

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

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

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

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



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


Notes to Financial Statements

For the period ended August 31, 2015
(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

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



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



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

3. Significant Accounting Policies.

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

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

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

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

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy. Equity securities, including restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach and the income approach and are categorized as Level 3 in the hierarchy. The market approach generally consists of using comparable market transactions while the income approach generally consists of using the net present value of estimated future cash flows, adjusted as appropriate for liquidity, credit, market and/or other risk factors.

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

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

The following provides information on Level 3 securities held by the Fund that were valued at period end based on unobservable inputs. These amounts exclude valuations provided by a broker.

Asset Type Fair Value at 08/31/15 Valuation Technique (s) Unobservable Input Amount or Range / Weighted Average Impact to Valuation from an Increase in Input* 
Asset-Backed Securities $872 Discounted cash flow Yield 9.0%  Decrease 
  Expected distribution Recovery rate 1.0% Increase 
Bank Loan Obligations $6,048 Bid price Bid $93.50 Increase 
  Last transaction price Transaction price $70.00 Increase 
Commercial Mortgage Securities $119 Discounted cash flow Discount rate 20.0% Decrease 
   Yield 10.0% Decrease 
  Expected distribution Recovery rate 0.0% Increase 
  Pricing matrix Quoted price $31.00 Increase 
Corporate Bonds $0 Expected distribution Recovery rate 0.0% Increase 
Equities $490,000 Adjusted transaction Price Proxy movement 0.1% Increase 
  Broker quoted Mid price $15.00 Increase 
  Discounted cash flow Discount rate 8.0% - 15.0% / 11.7% Decrease 
   Weighted average cost of capital 9.0% Decrease 
   Growth rate 3.5% Increase 
  Expected distribution Recovery rate 0.0% - 1.0% / 1.0% Increase 
  Last transaction price Transaction price $20.00 - $2,005.68 / $321.51 Increase 
  Market comparable EV/EBITDA multiple 8.6 - 17.5 / 15.3 Increase 
   Discount rate 20.0% Decrease 
   EV/Sales multiple 1.2 - 3.7 / 2.7 Increase 
   Discount for lack of marketability 10.0% - 20.0% / 15.6% Decrease 
   Premium rate 3.0% Increase 
   P/E multiple 14.3 Increase 
  Parity Parity price $23.08 Increase 
  Straight line Price of underlying $15.00 Increase 
   Strike price $40.00 - $47.50 / $44.27 Increase 
Other $11 Expected distribution Recovery rate 1.0% Increase 



* Represents the expected directional change in the fair value of the Level 3 investments that would result from an increase in the corresponding input. A decrease to the unobservable input would have the opposite effect. Significant changes in these inputs could result in significantly higher or lower fair value measurements.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2015, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.

Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

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

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

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

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, market discount, contingent interest, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds) deferred trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation $4,328,973 
Gross unrealized depreciation (1,083,796) 
Net unrealized appreciation (depreciation) on securities $3,245,177 
Tax Cost $21,631,034 



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

Undistributed ordinary income $75,866 
Undistributed long-term capital gain $1,238,366 
Net unrealized appreciation (depreciation) on securities and other investments $3,245,068 



The tax character of distributions paid was as follows:

 August 31, 2015 August 31, 2014 
Ordinary Income $744,347 $ 502,578 
Long-term Capital Gains 1,477,768 1,570,954 
Total $2,222,115 $ 2,073,532 



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

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

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

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

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

Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.

4. Derivative Instruments.

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

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

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

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



The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Interest Rate Risk   
Futures Contracts $4,417 $163 
Swaps 3,120 
Totals(a) $ 7,537 $163 



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



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

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

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end.

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $12,993,034 and $12,388,055, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .25% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .40% of the Fund's average net assets.

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Puritan. FIIOC receives an asset-based fee of Class K's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.

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

 Amount % of
Class-Level Average
Net Assets 
Puritan $27,404 .14 
Class K 2,950 .05 
 $ 30,354  



Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $107 for the period.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $36 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $154. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $710. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from the Fidelity Central Funds amounted to $1,194 (including $94 from securities loaned to FCM).

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $683 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $15.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $102 and a portion of class-level operating expenses as follows:

 Amount 
Puritan $406 



10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended August 31, 2015 2014 
From net investment income   
Puritan $395,766 $277,059 
Class K 136,292 97,413 
Total $532,058 $374,472 
From net realized gain   
Puritan $1,265,858 $1,279,703 
Class K 424,199 419,357 
Total $1,690,057 $1,699,060 



11. Share Transactions.

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

 Shares Shares Dollars Dollars 
Years ended August 31, 2015 2014 2015 2014 
Puritan     
Shares sold 139,702 83,240 $3,047,523 $1,795,083 
Reinvestment of distributions 75,801 71,802 1,580,519 1,481,284 
Shares redeemed (121,760) (113,337) (2,663,052) (2,452,014) 
Net increase (decrease) 93,743 41,705 $1,964,990 $824,353 
Class K     
Shares sold 49,092 47,633 $1,071,609 $1,032,662 
Reinvestment of distributions 26,893 25,049 560,491 516,770 
Shares redeemed (62,479) (52,889) (1,366,542) (1,142,151) 
Net increase (decrease) 13,506 19,793 $265,558 $407,281 



12. Other.

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

13. Litigation

The Fund, and other entities managed by Fidelity or its affiliates, were named as defendants in a lawsuit brought by creditors of a subsidiary of Energy Future Holdings Corp. ("EFH"), which is currently in bankruptcy and was formerly known as TXU. The lawsuit, which is captioned as In Re: ENERGY FUTURE HOLDINGS CORP. et al. U.S. Bankruptcy Court, D. Del. Case No. 14-10979 (CSS); AVENUE CAPITAL MANAGEMENT II, LP, et al. v. FIDELITY INVESTMENTS, et al. Adversary No. 14-50797 (CSS), was filed in the United States Bankruptcy Court for the District of Delaware on October 6, 2014. The plaintiffs sought to enforce an alleged agreement under which the Fund and other defendants would sell certain EFH notes to the plaintiffs at a specified price. Plaintiffs sought a declaration that an alleged right to call the securities was properly exercised and an order that the Fund and other defendants transfer the notes to the plaintiffs at the specified price. The Fund and the other defendants disputed the plaintiffs' claims and filed a motion to dismiss contending, among other things, that the right to call the notes never came into existence and was part of a proposed settlement agreement that was never completed or approved by the bankruptcy court. On January 20, 2015, the court granted the defendants' motion and dismissed the complaint with prejudice. The plaintiffs filed a notice of appeal on February 3, 2015. If the lawsuit were to be decided in a manner adverse to the Fund, the Fund could experience a loss up to $6,633 as of period end. The Fund will also incur legal costs in defending the case.

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Puritan Trust and Shareholders of Fidelity® Puritan® Fund:

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity® Puritan® Fund (a fund of Fidelity Puritan Trust) at August 31, 2015, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity® Puritan® Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits.We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2015 by correspondence with the custodian, agent banks and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 23, 2015

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Each of the Trustees oversees 170 funds. 

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

The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.

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

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

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

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

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

Interested Trustees*:

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

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

James C. Curvey (1935)

Year of Election or Appointment: 2007

Trustee

Chairman of the Board of Trustees

Mr. Curvey also serves as Trustee of other Fidelity® funds. Mr. Curvey is a Director of Fidelity Research & Analysis Co. (investment adviser firm, 2009-present), and Vice Chairman (2007-present) and Director of FMR LLC (diversified financial services company). In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the board of Artis-Naples, Naples, Florida, and as a Trustee for Brewster Academy, Wolfeboro, New Hampshire. Previously, Mr. Curvey served as a Director of Fidelity Investments Money Management, Inc. (investment adviser firm, 2009-2014) and a Director of FMR (investment adviser firm, 2007-2014).

Charles S. Morrison (1960)

Year of Election or Appointment: 2014

Trustee

Mr. Morrison also serves as Trustee of other funds. He serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present), and President, Asset Management (2014-present) and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (investment adviser firm, 2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

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

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

Independent Trustees:

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

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

Dennis J. Dirks (1948)

Year of Election or Appointment: 2005

Trustee

Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008), and as a member of the Independent Directors Council (IDC) Governing Council (2010-2015). Mr. Dirks is a member of the Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes, 2010-present) and Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2012-2014).

Ned C. Lautenbach (1944)

Year of Election or Appointment: 2000

Trustee

Chairman of the Independent Trustees

Mr. Lautenbach also serves as Trustee of other Fidelity® funds. Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is Chairman of the Board of Directors of Artis-Naples in Naples, Florida (2012-present), a member of the Council on Foreign Relations (1994-present), and a member of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).

Joseph Mauriello (1944)

Year of Election or Appointment: 2008

Trustee

Mr. Mauriello also serves as Trustee of other Fidelity® funds. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present) and the Independent Directors Council (IDC) Governing Council (2015-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007) and of Arcadia Resources Inc. (health care services and products, 2007-2012).

Robert W. Selander (1950)

Year of Election or Appointment: 2011

Trustee

Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present). Previously, Mr. Selander served as a Member of the Advisory Board of other Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (1944)

Year of Election or Appointment: 2005

Trustee

Ms. Small also serves as Trustee of other Fidelity® funds. Ms. Small is a member of the Board of Directors (2009-present) and Chair of the Investment Committee (2010-present) of the Teagle Foundation. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson (2002-2008) and a member of the Investment Committee and Chairperson (2008-2012) and a member of the Board of Trustees of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.

William S. Stavropoulos (1939)

Year of Election or Appointment: 2001

Trustee

Vice Chairman of the Independent Trustees

Mr. Stavropoulos also serves as Trustee of other Fidelity® funds. Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of the Board of Directors of Univar Inc. (global distributor of commodity and specialty chemicals), a Director of Teradata Corporation (data warehousing and technology solutions), and Maersk Inc. (industrial conglomerate), and a member of the Advisory Board for Metalmark Capital LLC (private equity investment, 2005-present). Mr. Stavropoulos is an operating advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science, a Trustee of the Rollin L. Gerstacker Foundation, and a Director of the Naples Philharmonic Center for the Arts. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

Mr. Thomas also serves as Trustee of other Fidelity® funds. Mr. Thomas serves as Non-Executive Chairman of the Board of Directors of Fortune Brands Home and Security (home and security products, 2011-present), as a member of the Board of Directors (2004-present) and Presiding Director (2013-present) of Interpublic Group of Companies, Inc. (marketing communication), and as a member of the Board of Trustees of the University of Florida (2013-present). Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions), and a Director of Fortune Brands, Inc. (consumer products, 2000-2011).

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

Mr. Lynch also serves as Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of FMR (investment adviser firm) and FMR Co., Inc. (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2012

Anti-Money Laundering (AML) Officer

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006).

William C. Coffey (1969)

Year of Election or Appointment: 2009

Assistant Secretary

Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2008

Deputy Treasurer

Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

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

Scott C. Goebel (1968)

Year of Election or Appointment: 2015

Vice President

Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity® funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

Brian B. Hogan (1964)

Year of Election or Appointment: 2009

Vice President

Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

Melissa M. Reilly (1971)

Year of Election or Appointment: 2014

Vice President of certain Equity Funds

Ms. Reilly also serves as Vice President of other funds. Ms. Reilly is an employee of Fidelity Investments (2004-present).

Kenneth B. Robins (1969)

Year of Election or Appointment: 2008

President and Treasurer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles.

Stephen Sadoski (1971)

Year of Election or Appointment: 2012

Deputy Treasurer

Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009).

Stacie M. Smith (1974)

Year of Election or Appointment: 2013

Deputy Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2013

Deputy Treasurer

Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present).

Linda J. Wondrack (1964)

Year of Election or Appointment: 2014

Chief Compliance Officer

Ms. Wondrack also serves as Chief Compliance Officer of other funds. Ms. Wondrack is Executive Vice President and head of the Ethics Office and Asset Management Compliance for Fidelity Investments (2012-present). Ms. Wondrack also serves as Chief Compliance Officer of Fidelity SelectCo, LLC (investment adviser firm, 2014-present); Chief Compliance Officer of Impresa Management LLC (2013-present); and Chief Compliance Officer of FMR Co., Inc. (investment adviser firm), Fidelity Investments Money Management, Inc. (investment adviser firm), Fidelity Management & Research (Japan) Limited (investment adviser firm), FMR Investment Management (U.K.) Limited (investment adviser firm), Fidelity Management & Research (Hong Kong) (investment adviser firm), Fidelity Management & Research Company (investment adviser firm), Pyramis Global Advisors, LLC (investment adviser firm), and Strategic Advisers, Inc. (investment adviser firm), Ballyrock Investment Advisors LLC, and Northern Neck Investors LLC (2012-present). Previously, Ms. Wondrack served as Senior Vice President and Chief Compliance Officer for Columbia Management Investment Advisers, LLC (2005-2012); Chief Compliance Officer for certain funds within the Columbia Family of Funds (2007-2012); and Senior Vice President of Compliance Risk Management at Bank of America (2005-2010).

Joseph F. Zambello (1957)

Year of Election or Appointment: 2011

Deputy Treasurer

Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2015 to August 31, 2015).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2015 
Ending
Account Value
August 31, 2015 
Expenses Paid
During Period-B
March 1, 2015
to August 31, 2015 
Puritan .55%    
Actual  $1,000.00 $962.30 $2.72 
Hypothetical-C  $1,000.00 $1,022.43 $2.80 
Class K .46%    
Actual  $1,000.00 $962.70 $2.28 
Hypothetical-C  $1,000.00 $1,022.89 $2.35 



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

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

 C 5% return per year before expenses



Distributions (Unaudited)

The Board of Trustees of Fidelity Puritan Fund voted to pay on October 12, 2015, to shareholders of record at the opening of business on October 9, 2015, a distribution of $1.064 per share derived from capital gains realized from sales of portfolio securities and a dividend of $0.097 per share from net investment income.

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015 $1,551,101,396, or, if subsequently determined to be different, the net capital gain of such year.

A total of 1.81% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The Fund designates $135,383,192 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Puritan designates 6%, 53%, 86% and 85% of the dividends distributed in October, December, April and July, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Puritan designates 7%, 62 %, 92% and 91 % of the dividends distributed in October, December, April and July, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Puritan Fund

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

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

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

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

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

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

Shareholder and Administrative Services.  The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by FMR, the sub-advisers (together with FMR, the Investment Advisers), and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.

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

In 2014, the Board formed an ad hoc Committee on Transfer Agency Fees to review the variety of transfer agency fee structures throughout the industry and Fidelity's competitive positioning with respect to industry participants.

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

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

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

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of both the highest performing and lowest performing fund share classes, where applicable, compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative calendar year total return information for the fund and an appropriate benchmark index and peer group for the most recent one-, three-, and five-year periods, as shown below. Returns are shown compared to the 25th percentile (top of box, 75% beaten) and 75th percentile (bottom of box, 25% beaten) of the peer universe.

Fidelity Puritan Fund


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

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

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure without taking into account performance adjustments, if any. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Puritan Fund


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

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

The Board also noted that, in 2013, the ad hoc Committee on Management Fees was formed to conduct an in-depth review of the management fee rates of Fidelity's active equity mutual funds. The Committee focused on the following areas: (i) standard fee structures; (ii) research consumption and trading evolution; (iii) management fee competitiveness/profitability by category; and (iv) factors that drive institutional pricing.

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

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

The Board noted that the total expense ratio of each class ranked below its competitive median for 2014.

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

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

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

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

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

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

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

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

The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total group assets increase, and for higher group fee rates as total group assets decrease (with "group assets" defined to include fund assets under FMR's management plus sector fund assets previously under FMR's management and currently managed by Fidelity SelectCo, LLC). FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as group assets increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.

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

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins, with particular focus on certain funds with negative margins; (vi) the realization of fall-out benefits in certain Fidelity business units; (vii) economies of scale and the way in which they are shared with fund shareholders;(viii) Fidelity's group fee structures, including the group fee schedule of breakpoints;(ix) the impact of cost containment measures on the funds; and (x) the transfer agent fee structure.

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





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

PUR-ANN-1015
1.536193.119


Fidelity® Puritan® Fund

Class K



Annual Report

August 31, 2015




Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year.

The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

During periods of reimbursement by Fidelity, a fund’s total return will be greater than it would be had the reimbursement not occurred.

How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

For the periods ended August 31, 2015 Past 1 year Past 5 years Past 10 years 
Class K 0.96% 11.76% 6.92% 



 The initial offering of Class K shares took place on May 9, 2008. Returns prior to May 9, 2008 are those of Fidelity® Puritan® Fund, the original class of the fund. 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Puritan® Fund - Class K on August 31, 2005.

The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.

See above for additional information regarding the performance of Class K.


Period Ending Values

$19,524Fidelity® Puritan® Fund - Class K

$19,955S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  After rising for much of the year ending August 31, 2015, global deflationary pressure stirred by China’s flagging economy – and yuan devaluation – brought about a late-period swoon in U.S. equity markets. The S&P 500® Index returned 0.48% for the full year. Effects were indiscriminate across the market-capitalization spectrum, but within market-cap segments, growth-stock gains counterbalanced negatives for value-oriented counterparts. In this environment, the small-cap Russell 2000® Index returned 0.03% and the growth-oriented Nasdaq Composite Index® returned 5.49%. S&P 500® sector trends held fast: health care (+12%) benefited from earnings growth and mergers; consumer discretionary (+11%), from a seven-year low in unemployment. Energy (-30%) and materials (-13%) were hurt by tumbling commodities prices. Meanwhile, the Barclays® U.S. Aggregate Bond Index returned 1.56% for the 12 months. Among sectors in the Barclays® index, U.S. Treasury bonds (+2%) outpaced corporates (-1%) as credit spreads – yield premiums demanded by holders of riskier bonds – widened. Outside of the Barclays® index, high-yield bonds declined. At period end, investors remained focused on the potential global implications of China’s slowing economic growth, the U.S. Federal Reserve’s thinking on interest rates and continued volatility in the oil markets.

Comments from Lead Portfolio Manager Ramin Arani:  For the year, the fund’s share classes finished just shy of the 1.06% advance of the Fidelity Puritan Composite Index℠. The fund continued with its substantial overweighting in equities, below-neutral exposure to investment-grade bonds and a small out-of-index stake in high-yield bonds. This stance had a roughly neutral impact on results versus the Composite index. Turning to security selection, we benefited most from our picks among stocks and high-yield bonds, but our picks in investment-grade debt were a modest relative detractor. Among equities, Anadarko Petroleum hurt most, whereas avoiding weak-performing index name Exxon Mobil was the biggest relative contributor. In fixed income, overweighting investment-grade corporate bonds detracted, but security selection among corporates was a partial offset. Our yield-curve positioning was a notable bright spot overall. We benefited from our larger-than-benchmark stake in financials, which materially outperformed bonds in the industrials sector. Our approach to the industrials sector was beneficial. Underweighting this category boosted relative performance, as did security selection here. We lost ground due to our choices in the government-related sector, especially holdings in taxable municipal bonds backed by Illinois and Chicago. Lastly, our decision to underweight Treasuries in a risk-off environment detracted.

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

Investment Summary (Unaudited)

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

Top Five Stocks as of August 31, 2015

 % of fund's net assets % of fund's net assets 6 months ago 
Apple, Inc. 2.4 3.2 
Google, Inc. Class C 1.9 1.0 
Allergan PLC 1.7 2.0 
Visa, Inc. Class A 1.3 1.0 
JPMorgan Chase & Co. 1.3 1.1 
 8.6  



Top Five Bond Issuers as of August 31, 2015

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 4.1 4.8 
Fannie Mae 3.3 3.0 
Freddie Mac 1.5 1.0 
Ginnie Mae 1.1 1.0 
Citigroup, Inc. 0.9 0.8 
 10.9  



Top Five Market Sectors as of August 31, 2015

 % of fund's net assets % of fund's net assets 6 months ago 
Financials 20.0 17.7 
Information Technology 15.5 15.5 
Consumer Discretionary 13.4 12.0 
Health Care 12.3 13.6 
Energy 5.4 5.4 



Asset Allocation (% of fund's net assets)

As of August 31, 2015 * 
   Stocks 63.7% 
   Bonds 31.2% 
   Convertible Securities 0.9% 
   Other Investments 1.1% 
   Short-Term Investments and Net Other Assets (Liabilities) 3.1% 


 * Foreign investments - 14.3%



As of February 28, 2015* 
   Stocks 65.8% 
   Bonds 28.7% 
   Convertible Securities 0.8% 
   Other Investments 0.8% 
   Short-Term Investments and Net Other Assets (Liabilities) 3.9% 


 * Foreign investments - 12.6%



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

Percentages are adjusted for the effect of futures contracts and swaps, if applicable.

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

Investments August 31, 2015

Showing Percentage of Net Assets

Common Stocks - 63.7%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 10.9%   
Auto Components - 0.1%   
Chassix Holdings, Inc. 18,330 $423 
Delphi Automotive PLC 397,193 29,996 
  30,419 
Automobiles - 0.6%   
Brilliance China Automotive Holdings Ltd. 10,096,000 12,193 
Chongqing Changan Automobile Co. Ltd. (B Shares) 6,710,778 10,737 
Ford Motor Co. 3,107,500 43,101 
General Motors Co. 945,514 27,836 
General Motors Co.:   
warrants 7/10/16 (a) 8,394 165 
warrants 7/10/19 (a) 8,394 105 
Tesla Motors, Inc. (a) 231,000 57,533 
  151,670 
Diversified Consumer Services - 0.0%   
Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(b) 1,945 22 
Hotels, Restaurants & Leisure - 1.8%   
ARAMARK Holdings Corp. 150,000 4,701 
Domino's Pizza, Inc. 284,200 30,108 
Extended Stay America, Inc. unit 150,000 2,816 
Hilton Worldwide Holdings, Inc. 1,318,800 32,746 
Starbucks Corp. 3,435,600 187,962 
Station Holdco LLC(a)(b)(c) 1,194,419 4,384 
Station Holdco LLC (a)(b)(d) 9,088 33 
Station Holdco LLC:   
unit (a)(b)(d) 2,660 
warrants 6/15/18(a)(b)(c) 75,658 52 
Vail Resorts, Inc. 957,527 103,327 
Wyndham Worldwide Corp. 922,800 70,576 
  436,707 
Household Durables - 0.3%   
PulteGroup, Inc. 4,060,500 84,012 
Internet & Catalog Retail - 1.4%   
Amazon.com, Inc. (a) 408,400 209,464 
Expedia, Inc. 162,600 18,697 
Netflix, Inc. (a) 387,800 44,609 
Priceline Group, Inc. (a) 25,800 32,215 
Spotify Technology SA (a)(b) 15,262 34,350 
  339,335 
Media - 3.1%   
AMC Networks, Inc. Class A (a) 53,800 3,894 
Charter Communications, Inc. Class A (a)(e) 178,300 32,381 
Comcast Corp. Class A (special) (non-vtg.) 2,605,500 149,139 
Cumulus Media, Inc. Class A (a) 398,000 569 
Legend Pictures LLC (a)(b)(c) 49,141 109,495 
Lions Gate Entertainment Corp. (e) 1,870,900 68,643 
Live Nation Entertainment, Inc. (a) 1,624,600 39,998 
Publicis Groupe SA 36,972 2,635 
Starz Series A (a) 1,043,000 39,227 
The Walt Disney Co. 1,617,490 164,790 
Time Warner Cable, Inc. 350,900 65,274 
Time Warner, Inc. 836,400 59,468 
Tribune Media Co. Class A 13,773 550 
Tribune Publishing Co. 3,443 41 
Vertis Holdings, Inc. (a) 1,934 
Vice Holding, Inc. Series A(a)(b) 2,172 30,550 
Vivendi SA 390,024 9,648 
  776,302 
Specialty Retail - 1.7%   
Home Depot, Inc. 2,362,200 275,102 
L Brands, Inc. 674,000 56,549 
TJX Companies, Inc. 947,200 66,607 
Ulta Salon, Cosmetics & Fragrance, Inc. (a) 161,700 25,563 
  423,821 
Textiles, Apparel & Luxury Goods - 1.9%   
Brunello Cucinelli SpA (e) 1,407,200 25,597 
Burberry Group PLC 2,434,000 52,700 
Christian Dior SA 284,500 52,804 
Hermes International SCA 81,100 28,817 
lululemon athletica, Inc. (a) 525,900 33,663 
Luxottica Group SpA 81,800 5,540 
Michael Kors Holdings Ltd. (a) 129,061 5,609 
NIKE, Inc. Class B 1,403,100 156,796 
Ralph Lauren Corp. 111,600 12,409 
Ted Baker PLC 302,900 14,251 
Tory Burch LLC (a)(b)(c) 324,840 25,519 
Tory Burch LLC Class A unit (a)(b)(c) 702,741 50,000 
  463,705 
TOTAL CONSUMER DISCRETIONARY  2,705,993 
CONSUMER STAPLES - 4.6%   
Beverages - 1.4%   
Constellation Brands, Inc. Class A (sub. vtg.) 1,088,100 139,277 
Kweichow Moutai Co. Ltd. 546,469 16,744 
Molson Coors Brewing Co. Class B 403,700 27,488 
Monster Beverage Corp. (a) 706,500 97,822 
The Coca-Cola Co. 1,463,800 57,557 
  338,888 
Food & Staples Retailing - 1.3%   
Costco Wholesale Corp. 578,500 81,019 
CVS Health Corp. 2,037,800 208,671 
Walgreens Boots Alliance, Inc. 406,100 35,148 
  324,838 
Food Products - 0.9%   
Keurig Green Mountain, Inc. 573,900 32,483 
Mead Johnson Nutrition Co. Class A 449,400 35,206 
Mondelez International, Inc. 2,533,100 107,302 
The Kraft Heinz Co. 430,200 31,258 
WhiteWave Foods Co. (a) 274,600 12,670 
  218,919 
Personal Products - 0.5%   
Estee Lauder Companies, Inc. Class A 1,532,300 122,232 
L'Oreal SA 10,600 1,816 
  124,048 
Tobacco - 0.5%   
Reynolds American, Inc. 1,464,442 122,647 
TOTAL CONSUMER STAPLES  1,129,340 
ENERGY - 3.0%   
Energy Equipment & Services - 0.7%   
Aspen Aerogels, Inc. (a) 1,046,378 7,816 
Cameron International Corp. (a) 389,500 26,003 
Schlumberger Ltd. 1,870,600 144,728 
  178,547 
Oil, Gas & Consumable Fuels - 2.3%   
Anadarko Petroleum Corp. 14,400 1,031 
Apache Corp. 748,600 33,867 
Cabot Oil & Gas Corp. 1,397,900 33,088 
Chevron Corp. 1,438,700 116,520 
Cimarex Energy Co. 179,500 19,837 
Columbia Pipeline Group, Inc. 37,320 946 
EQT Corp. 217,900 16,957 
Golar LNG Ltd. 545,000 21,222 
Imperial Oil Ltd. 1,965,800 69,407 
Kinder Morgan, Inc. 2,707,000 87,734 
Memorial Resource Development Corp. (a) 1,702,000 33,036 
Noble Energy, Inc. 724,499 24,206 
Suncor Energy, Inc. 2,987,300 84,605 
The Williams Companies, Inc. 377,600 18,200 
  560,656 
TOTAL ENERGY  739,203 
FINANCIALS - 12.0%   
Banks - 6.0%   
Bank of America Corp. 12,866,300 210,235 
CIT Group, Inc. 549,100 23,853 
Citigroup, Inc. 5,010,140 267,942 
First Republic Bank 50,000 3,016 
Hangzhou Hikvision Digital Technology Co. Ltd. ELS (BNP Paribas Arbitrage Warrant Program) warrants 11/06/2015 (a)(f) 5,195,300 23,871 
JPMorgan Chase& Co. 4,926,223 315,771 
M&T Bank Corp. 457,400 54,083 
Prosperity Bancshares, Inc. 797,927 41,229 
Regions Financial Corp. 5,303,800 50,863 
SunTrust Banks, Inc. 2,158,500 87,139 
TCF Financial Corp. 258,400 4,010 
U.S. Bancorp 3,095,400 131,090 
Wells Fargo & Co. 5,195,940 277,099 
  1,490,201 
Capital Markets - 1.4%   
BlackRock, Inc. Class A 253,700 76,737 
E*TRADE Financial Corp. (a) 2,255,500 59,297 
Goldman Sachs Group, Inc. 170,600 32,175 
Invesco Ltd. 1,603,600 54,699 
Morgan Stanley 1,278,300 44,037 
Motors Liquidation Co. GUC Trust (a) 28,150 436 
The Blackstone Group LP 2,420,200 82,892 
  350,273 
Consumer Finance - 0.2%   
Capital One Financial Corp. 536,000 41,674 
Diversified Financial Services - 1.2%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 185,766 
McGraw Hill Financial, Inc. 625,900 60,706 
Moody's Corp. 482,800 49,395 
  295,867 
Insurance - 1.4%   
ACE Ltd. 1,376,500 140,623 
MetLife, Inc. 1,852,600 92,815 
The Chubb Corp. 477,400 57,675 
The Travelers Companies, Inc. 571,000 56,843 
  347,956 
Real Estate Investment Trusts - 1.7%   
American Tower Corp. 1,599,700 147,476 
AvalonBay Communities, Inc. 428,100 70,662 
Boston Properties, Inc. 283,400 32,132 
Public Storage 450,600 90,692 
Simon Property Group, Inc. 427,700 76,695 
  417,657 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 961,800 30,797 
Realogy Holdings Corp. (a) 48,000 1,934 
  32,731 
TOTAL FINANCIALS  2,976,359 
HEALTH CARE - 10.9%   
Biotechnology - 3.2%   
ACADIA Pharmaceuticals, Inc. (a)(e) 1,662,304 60,890 
Acceleron Pharma, Inc. (a) 130,400 3,779 
Alexion Pharmaceuticals, Inc. (a) 395,600 68,118 
Amgen, Inc. 1,805,200 273,993 
Asterias Biotherapeutics, Inc. (a)(e) 130,874 620 
Biogen, Inc. (a) 66,300 19,711 
BioMarin Pharmaceutical, Inc. (a) 173,900 22,475 
Celgene Corp. (a) 497,000 58,686 
Genmab A/S (a) 466,200 41,879 
Geron Corp. (a) 3,139,900 9,514 
Gilead Sciences, Inc. 946,700 99,470 
Grifols SA ADR 45,780 1,387 
Macrogenics, Inc. (a) 226,200 5,960 
Neurocrine Biosciences, Inc. (a) 579,100 26,859 
Puma Biotechnology, Inc. (a) 158,500 14,569 
Spark Therapeutics, Inc. 178,800 7,797 
Vertex Pharmaceuticals, Inc. (a) 654,300 83,436 
XOMA Corp. (a)(e) 1,530,200 1,271 
  800,414 
Health Care Equipment & Supplies - 2.4%   
Boston Scientific Corp. (a) 8,402,200 140,653 
Corindus Vascular Robotics, Inc. (e)(g) 1,315,800 4,605 
Corindus Vascular Robotics, Inc. (b)(g) 5,000,000 17,500 
Medtronic PLC 4,236,286 306,241 
St. Jude Medical, Inc. 951,400 67,369 
Zimmer Biomet Holdings, Inc. 564,000 58,408 
  594,776 
Health Care Providers & Services - 0.7%   
Cigna Corp. 195,400 27,510 
Legend Acquisition, Inc. 2,509 38 
Legend Acquisition, Inc.:   
Class A warrants (a) 17,259 
Class B warrants (a) 22,759 
McKesson Corp. 787,100 155,515 
  183,063 
Health Care Technology - 0.1%   
CareView Communications, Inc. (a)(e)(g) 10,425,300 3,440 
Cerner Corp. (a) 293,000 18,096 
  21,536 
Life Sciences Tools & Services - 0.1%   
Agilent Technologies, Inc. 829,655 30,125 
Illumina, Inc. (a) 1,862 368 
  30,493 
Pharmaceuticals - 4.4%   
AbbVie, Inc. 2,237,100 139,617 
Allergan PLC (a) 1,355,189 411,625 
Bristol-Myers Squibb Co. 1,879,700 111,786 
Endo Health Solutions, Inc. (a) 502,000 38,654 
Jazz Pharmaceuticals PLC (a) 114,600 19,347 
Johnson & Johnson 740,900 69,630 
Mallinckrodt PLC (a) 176,709 15,239 
Merck & Co., Inc. 667,300 35,934 
Pfizer, Inc. 89,200 2,874 
Prestige Brands Holdings, Inc. (a) 581,402 27,047 
Shire PLC sponsored ADR 269,100 62,431 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,721,700 110,895 
TherapeuticsMD, Inc. (a) 5,042,814 30,912 
  1,075,991 
TOTAL HEALTH CARE  2,706,273 
INDUSTRIALS - 4.2%   
Aerospace & Defense - 1.7%   
BAE Systems PLC 3,064,300 21,263 
Esterline Technologies Corp. (a) 178,400 14,577 
General Dynamics Corp. 821,100 116,621 
Honeywell International, Inc. 268,100 26,614 
Meggitt PLC 5,397,000 39,537 
Rockwell Collins, Inc. 979,900 80,205 
The Boeing Co. 543,900 71,077 
TransDigm Group, Inc. (a) 257,600 59,204 
  429,098 
Air Freight & Logistics - 0.4%   
FedEx Corp. 623,200 93,860 
Building Products - 0.1%   
Lennox International, Inc. 210,800 24,883 
Masonite International Corp. (a) 5,358 354 
Masonite International Corp. warrants 6/9/16 (a) 19,485 390 
  25,627 
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc. (a)(b) 5,819,318 349 
Electrical Equipment - 0.2%   
AMETEK, Inc. 369,500 19,886 
BWX Technologies, Inc. 1,066,100 28,273 
SolarCity Corp. (a)(e) 89,800 4,336 
  52,495 
Industrial Conglomerates - 1.5%   
Danaher Corp. 932,700 81,164 
General Electric Co. 11,188,100 277,689 
  358,853 
Machinery - 0.3%   
Deere & Co. 786,200 64,295 
Road & Rail - 0.0%   
J.B. Hunt Transport Services, Inc. 12,500 910 
Trading Companies & Distributors - 0.0%   
United Rentals, Inc. (a) 22,500 1,560 
TOTAL INDUSTRIALS  1,027,047 
INFORMATION TECHNOLOGY - 14.9%   
Communications Equipment - 0.9%   
Cisco Systems, Inc. 6,314,500 163,419 
QUALCOMM, Inc. 1,033,600 58,481 
  221,900 
Electronic Equipment & Components - 0.4%   
Amphenol Corp. Class A 1,071,600 56,109 
Arrow Electronics, Inc. (a) 88,800 4,966 
CDW Corp. 100,000 3,975 
E Ink Holdings, Inc. GDR (a)(f) 140,100 509 
Keysight Technologies, Inc. (a) 637,727 20,433 
  85,992 
Internet Software & Services - 3.8%   
58.com, Inc. ADR (a) 47,700 2,168 
Alibaba Group Holding Ltd. sponsored ADR 1,078,300 71,297 
Facebook, Inc. Class A (a) 3,269,560 292,397 
GoDaddy, Inc. (a) 87,500 2,195 
Gogo, Inc. (a)(e) 1,273,698 20,239 
Google, Inc. Class C 744,783 460,462 
LendingClub Corp. (e) 810,600 10,173 
Mail.Ru Group Ltd.:   
GDR (a)(f) 77,400 1,424 
GDR (Reg. S) (a) 5,300 98 
NAVER Corp. 44 18 
Pandora Media, Inc. (a) 23,894 429 
Tencent Holdings Ltd. 28,500 477 
Twitter, Inc. (a) 436,600 12,133 
Viggle, Inc. (f) 56,268 71 
Yahoo!, Inc. (a) 1,529,600 49,314 
Youku Tudou, Inc. ADR (a) 974,200 16,181 
  939,076 
IT Services - 3.2%   
Accenture PLC Class A 955,000 90,028 
Cognizant Technology Solutions Corp. Class A (a) 3,059,600 192,571 
Fidelity National Information Services, Inc. 697,000 48,135 
MasterCard, Inc. Class A 1,200,500 110,890 
VeriFone Systems, Inc. (a) 860,700 26,888 
Visa, Inc. Class A 4,503,100 321,071 
  789,583 
Semiconductors & Semiconductor Equipment - 1.1%   
Altera Corp. 655,700 31,834 
Analog Devices, Inc. 477,600 26,679 
Broadcom Corp. Class A 1,523,800 78,735 
Cree, Inc. (a)(e) 592,700 16,133 
Cypress Semiconductor Corp. 1,614 16 
Freescale Semiconductor, Inc. (a) 94,000 3,359 
Lam Research Corp. 3,366 245 
Maxim Integrated Products, Inc. 581,800 19,589 
NXP Semiconductors NV (a) 716,100 60,618 
Qorvo, Inc. (a) 403,000 22,371 
Skyworks Solutions, Inc. 149,300 13,041 
  272,620 
Software - 2.9%   
Activision Blizzard, Inc. 1,712,100 49,017 
Adobe Systems, Inc. (a) 1,647,900 129,476 
Autodesk, Inc. (a) 1,203,000 56,240 
Citrix Systems, Inc. (a) 215,400 14,671 
Electronic Arts, Inc. (a) 306,400 20,268 
Microsoft Corp. 740,200 32,214 
Mobileye NV (a)(e) 1,241,440 70,216 
Oracle Corp. 5,891,700 218,523 
Red Hat, Inc. (a) 798,000 57,624 
Salesforce.com, Inc. (a) 1,078,200 74,784 
  723,033 
Technology Hardware, Storage & Peripherals - 2.6%   
Apple, Inc. 5,310,000 598,743 
Hewlett-Packard Co. 1,721,300 48,300 
  647,043 
TOTAL INFORMATION TECHNOLOGY  3,679,247 
MATERIALS - 2.1%   
Chemicals - 2.0%   
Agrium, Inc. 208,700 21,671 
Ashland, Inc. 24 
CF Industries Holdings, Inc. 861,730 49,446 
E.I. du Pont de Nemours & Co. 1,358,975 69,987 
Ecolab, Inc. 432,400 47,192 
Ferro Corp. (a) 1,328,213 16,337 
Huntsman Corp. 1,559 26 
Intrepid Potash, Inc. (a)(e) 1,669,800 13,208 
LyondellBasell Industries NV Class A 956,298 81,649 
Monsanto Co. 757,500 73,970 
Potash Corp. of Saskatchewan, Inc. 551,000 14,349 
The Chemours Co. LLC 395,195 3,822 
The Dow Chemical Co. 2,093,900 91,629 
Trinseo SA (a) 60,100 1,751 
Wacker Chemie AG (e) 228,300 19,706 
Westlake Chemical Partners LP 40,900 799 
  505,545 
Construction Materials - 0.1%   
Eagle Materials, Inc. 199,200 16,301 
Metals & Mining - 0.0%   
AngloGold Ashanti Ltd. sponsored ADR (a) 57,230 465 
TOTAL MATERIALS  522,311 
TELECOMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.6%   
AT&T, Inc. 4,209,576 139,758 
Broadview Networks Holdings, Inc. (a) 123,987 186 
Iliad SA 73,023 16,495 
  156,439 
UTILITIES - 0.5%   
Electric Utilities - 0.3%   
Edison International 628,007 36,726 
NextEra Energy, Inc. 302,600 29,779 
PPL Corp. 410,800 12,731 
  79,236 
Independent Power and Renewable Electricity Producers - 0.1%   
Dynegy, Inc. (a) 1,371,900 35,326 
NRG Yield, Inc. Class C 120,600 1,937 
Talen Energy Corp. (a) 2,566 37 
  37,300 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 17,490 
TOTAL UTILITIES  134,026 
TOTAL COMMON STOCKS   
(Cost $12,573,564)  15,776,238 
Preferred Stocks - 0.9%   
Convertible Preferred Stocks - 0.9%   
CONSUMER DISCRETIONARY - 0.6%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(b) 1,082,251 7,229 
Roku, Inc. Series F, 8.00% (a)(b) 5,520,836 6,239 
  13,468 
Internet & Catalog Retail - 0.0%   
The Honest Co., Inc. Series D (b) 196,700 9,000 
Media - 0.4%   
Vice Holding, Inc.(a)(b) 6,701 94,251 
Specialty Retail - 0.1%   
Moda Operandi, Inc. Series E (b) 508,444 22,219 
TOTAL CONSUMER DISCRETIONARY  138,938 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 27,400 1,053 
FINANCIALS - 0.0%   
Real Estate Investment Trusts - 0.0%   
American Tower Corp. 5.50% 34,300 3,520 
HEALTH CARE - 0.0%   
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 6,800 6,983 
INFORMATION TECHNOLOGY - 0.3%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00% (a)(b) 1,611,548 63,882 
Software - 0.0%   
Deem, Inc. (a)(b) 2,497,881 6,519 
TOTAL INFORMATION TECHNOLOGY  70,401 
TOTAL CONVERTIBLE PREFERRED STOCKS  220,895 
Nonconvertible Preferred Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Textiles, Apparel & Luxury Goods - 0.0%   
C. Wonder LLC Class A-1 (a)(b)(c) 619,047 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
GMAC Capital Trust I Series 2, 8.125% 294,279 7,513 
Consumer Finance - 0.0%   
Ally Financial, Inc. 7.00% (f) 4,427 4,476 
TOTAL FINANCIALS  11,989 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc.:   
15.00% (a) 961,655 962 
Class C 19.50% (b) 242,900 243 
  1,205 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  13,194 
TOTAL PREFERRED STOCKS   
(Cost $147,371)  234,089 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 17.0%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 323 
3.5% 1/15/31 (f) 4,584 2,388 
Mood Media Corp. 10% 10/31/15 (f) 32 32 
  2,743 
Nonconvertible Bonds - 17.0%   
CONSUMER DISCRETIONARY - 1.7%   
Auto Components - 0.1%   
Dana Holding Corp. 5.375% 9/15/21 575 576 
Gates Global LLC / Gates Global Co. 6% 7/15/22 (f) 1,260 1,027 
Schaeffler Holding Finance BV:   
6.25% 11/15/19 pay-in-kind (f)(h) 1,405 1,479 
6.75% 11/15/22 pay-in-kind (f)(h) 650 692 
6.875% 8/15/18 pay-in-kind (f)(h) 1,565 1,615 
Tenneco, Inc. 6.875% 12/15/20 2,415 2,518 
ZF North America Capital, Inc.:   
4% 4/29/20 (f) 5,045 5,044 
4.5% 4/29/22 (f) 4,105 3,977 
  16,928 
Automobiles - 0.4%   
Ford Motor Co. 4.75% 1/15/43 10,000 9,476 
General Motors Co.:   
3.5% 10/2/18 4,530 4,594 
6.25% 10/2/43 763 817 
General Motors Financial Co., Inc.:   
2.4% 4/10/18 6,449 6,372 
2.625% 7/10/17 1,445 1,457 
3% 9/25/17 3,320 3,336 
3.15% 1/15/20 12,000 11,849 
3.25% 5/15/18 3,070 3,087 
3.5% 7/10/19 17,868 18,006 
4% 1/15/25 6,368 6,023 
4.25% 5/15/23 3,285 3,228 
4.375% 9/25/21 11,267 11,368 
4.75% 8/15/17 4,020 4,168 
6.75% 6/1/18 6,765 7,445 
Volkswagen International Finance NV 2.375% 3/22/17(f) 1,515 1,538 
  92,764 
Distributors - 0.0%   
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (f) 365 364 
American Tire Distributors, Inc. 10.25% 3/1/22 (f) 2,265 2,322 
LKQ Corp. 4.75% 5/15/23 265 254 
  2,940 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 554 560 
Laureate Education, Inc. 10% 9/1/19 (f)(h) 6,155 5,163 
Service Corp. International 5.375% 1/15/22 505 530 
  6,253 
Hotels, Restaurants & Leisure - 0.1%   
1011778 BC ULC/New Red Finance, Inc. 4.625% 1/15/22 (f) 1,175 1,181 
24 Hour Holdings III LLC 8% 6/1/22 (f) 510 405 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 3,601 
Choice Hotels International, Inc. 5.75% 7/1/22 390 419 
Chukchansi Economic Development Authority 9.75% 5/30/20 (f)(i) 2,861 1,674 
Eldorado Resorts, Inc. 7% 8/1/23 (f) 920 913 
FelCor Lodging LP 6% 6/1/25 (f) 620 630 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (f) 680 699 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 5.625% 10/15/21 4,484 4,675 
Isle of Capri Casinos, Inc. 5.875% 3/15/21 475 489 
Landry's Acquisition Co. 9.375% 5/1/20 (f) 875 935 
Landry's Holdings II, Inc. 10.25% 1/1/18 (f) 900 932 
MGM Mirage, Inc.:   
6% 3/15/23 1,630 1,654 
7.5% 6/1/16 2,855 2,955 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (f) 865 882 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 4,650 4,336 
Playa Resorts Holding BV 8% 8/15/20 (f) 90 91 
Scientific Games Corp.:   
7% 1/1/22 (f) 1,360 1,391 
10% 12/1/22 3,320 3,046 
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (f)(i) 534 
  30,908 
Household Durables - 0.1%   
Beazer Homes U.S.A., Inc. 7.25% 2/1/23 775 742 
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (f) 785 761 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (f) 620 618 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.75% 10/15/20 6,420 6,621 
8.25% 2/15/21 (h) 1,485 1,528 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (f) 1,395 1,398 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 474 
7% 8/15/22 1,835 1,895 
8.5% 11/15/20 1,310 1,415 
Woodside Homes Co. LLC/Woodside Homes Finance, Inc. 6.75% 12/15/21 (f) 1,350 1,249 
  16,701 
Internet & Catalog Retail - 0.1%   
Netflix, Inc. 5.5% 2/15/22 (f) 5,000 5,125 
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (f) 2,475 2,472 
  7,597 
Media - 0.9%   
21st Century Fox America, Inc. 7.75% 12/1/45 8,012 10,857 
Altice SA:   
5.375% 7/15/23 (f) 2,375 2,351 
7.625% 2/15/25 (f) 4,905 4,660 
7.75% 5/15/22 (f) 10,065 9,813 
7.75% 7/15/25 (f) 1,665 1,594 
7.75% 7/15/25 (f) 1,495 1,458 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,333 
AMC Networks, Inc. 7.75% 7/15/21 340 363 
Anna Merger Sub, Inc. 7.75% 10/1/22 (f) 1,810 1,793 
Cable One, Inc. 5.75% 6/15/22 (f) 895 904 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 277 
5.625% 2/15/24 295 302 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,576 
5.25% 3/15/21 3,375 3,409 
5.75% 9/1/23 945 964 
5.75% 1/15/24 4,235 4,320 
5.875% 5/1/27 (f) 3,385 3,317 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f) 325 319 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (f) 3,345 3,065 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (f) 7,702 7,661 
4.908% 7/23/25 (f) 5,177 5,141 
Cinemark U.S.A., Inc.:   
4.875% 6/1/23 1,275 1,243 
5.125% 12/15/22 355 355 
Clear Channel Communications, Inc. 5.5% 12/15/16 3,015 2,849 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 763 
7.625% 3/15/20 585 600 
Series B, 6.5% 11/15/22 2,040 2,107 
7.625% 3/15/20 4,105 4,249 
Columbus International, Inc. 7.375% 3/30/21(f) 7,655 8,057 
Discovery Communications LLC 5.05% 6/1/20 168 182 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,362 
5.875% 7/15/22 2,655 2,511 
6.75% 6/1/21 3,515 3,462 
Griffey Intermediate, Inc./Griffey Finance Sub LLC 7% 10/15/20 (f) 2,640 1,003 
Lamar Media Corp.:   
5.375% 1/15/24 630 643 
5.875% 2/1/22 525 549 
Lions Gate Entertainment Corp. 5.25% 8/1/18 (f) 2,415 2,487 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (h) 6,635 7,299 
MDC Partners, Inc. 6.75% 4/1/20 (f) 185 183 
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (f)(h) 5,870 5,929 
National CineMedia LLC:   
6% 4/15/22 2,600 2,659 
7.875% 7/15/21 1,380 1,439 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (f) 685 676 
Numericable Group SA:   
4.875% 5/15/19 (f) 4,535 4,563 
6% 5/15/22 (f) 13,815 13,815 
6.25% 5/15/24 (f) 660 660 
Outfront Media Capital LLC / Corp. 5.625% 2/15/24 (f) 375 386 
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (f) 2,775 2,935 
Regal Entertainment Group:   
5.75% 3/15/22 1,230 1,238 
5.75% 6/15/23 755 748 
Sirius XM Radio, Inc.:   
5.375% 4/15/25 (f) 1,490 1,471 
5.75% 8/1/21 (f) 2,580 2,670 
Starz LLC/Starz Finance Corp. 5% 9/15/19 5,000 5,013 
Thomson Reuters Corp.:   
1.3% 2/23/17 1,794 1,787 
3.85% 9/29/24 4,335 4,262 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 9,705 
4.5% 9/15/42 1,279 1,022 
5.5% 9/1/41 2,304 2,075 
5.85% 5/1/17 1,621 1,720 
6.55% 5/1/37 10,296 10,339 
6.75% 7/1/18 1,581 1,751 
7.3% 7/1/38 3,823 4,047 
8.25% 4/1/19 10,176 11,886 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,304 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (f) 1,340 1,377 
UPCB Finance VI Ltd. 6.875% 1/15/22 (f) 1,125 1,197 
Viacom, Inc.:   
2.5% 9/1/18 714 710 
3.5% 4/1/17 219 223 
Virgin Media Secured Finance PLC 5.25% 1/15/26 (f) 7,830 7,595 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) 1,060 1,049 
Ziggo Bond Finance BV 5.875% 1/15/25 (f) 1,120 1,081 
  223,713 
Multiline Retail - 0.0%   
Family Tree Escrow LLC:   
5.25% 3/1/20 (f) 425 445 
5.75% 3/1/23 (f) 2,115 2,215 
JC Penney Corp., Inc.:   
5.65% 6/1/20 1,357 1,242 
5.75% 2/15/18 400 398 
7.4% 4/1/37 440 349 
8.125% 10/1/19 2,160 2,192 
  6,841 
Specialty Retail - 0.0%   
PETCO Animal Supplies, Inc. 9.25% 12/1/18 (f) 3,260 3,374 
Sonic Automotive, Inc.:   
5% 5/15/23 195 191 
7% 7/15/22 885 949 
  4,514 
Textiles, Apparel & Luxury Goods - 0.0%   
Polymer Group, Inc. 6.875% 6/1/19 (f) 505 513 
TOTAL CONSUMER DISCRETIONARY  409,672 
CONSUMER STAPLES - 0.7%   
Beverages - 0.0%   
SABMiller Holdings, Inc. 2.45% 1/15/17 (f) 1,947 1,974 
Food & Staples Retailing - 0.2%   
C&S Group Enterprises LLC 5.375% 7/15/22 (f) 3,435 3,177 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,446 
3.875% 7/20/25 6,000 6,135 
ESAL GmbH 6.25% 2/5/23 (f) 3,005 2,922 
Kroger Co. 3.3% 1/15/21 6,000 6,087 
Minerva Luxmbourg SA 7.75% 1/31/23 (f) 4,000 3,910 
Rite Aid Corp.:   
6.75% 6/15/21 7,375 7,781 
6.875% 12/15/28 (f)(h) 3,505 3,908 
7.7% 2/15/27 3,220 3,767 
9.25% 3/15/20 1,330 1,432 
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (f) 2,000 1,990 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,161 3,163 
3.3% 11/18/21 3,750 3,711 
  51,429 
Food Products - 0.1%   
Cargill, Inc. 6% 11/27/17 (f) 417 455 
ConAgra Foods, Inc. 1.9% 1/25/18 2,064 2,049 
Darling International, Inc. 5.375% 1/15/22 745 736 
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (f) 1,377 1,442 
H.J. Heinz Co. 4.875% 2/15/25 (f) 814 879 
JBS Investments GmbH:   
7.25% 4/3/24 (f) 1,090 1,093 
7.75% 10/28/20 (f) 2,850 3,040 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (f) 6,075 5,893 
5.875% 7/15/24 (f) 1,370 1,365 
Post Holdings, Inc.:   
6% 12/15/22 (f) 675 651 
6.75% 12/1/21 (f) 1,900 1,914 
7.75% 3/15/24 (f) 6,115 6,314 
8% 7/15/25 (f) 555 573 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (f) 3,217 3,220 
2% 10/20/17 (f) 4,607 4,634 
  34,258 
Household Products - 0.0%   
Spectrum Brands Holdings, Inc.:   
5.75% 7/15/25 (f) 1,435 1,478 
6.375% 11/15/20 350 364 
6.625% 11/15/22 415 446 
  2,288 
Personal Products - 0.0%   
Prestige Brands, Inc.:   
5.375% 12/15/21 (f) 1,660 1,648 
8.125% 2/1/20 220 233 
Revlon Consumer Products Corp. 5.75% 2/15/21 1,105 1,094 
  2,975 
Tobacco - 0.4%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 4,943 
4% 1/31/24 3,123 3,172 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (f) 6,420 6,357 
4.25% 7/21/25 (f) 6,420 6,362 
Reynolds American, Inc.:   
2.3% 6/12/18 2,859 2,876 
3.25% 6/12/20 2,364 2,394 
3.25% 11/1/22 2,999 2,916 
4% 6/12/22 4,375 4,492 
4.45% 6/12/25 9,633 9,888 
4.75% 11/1/42 8,000 7,408 
4.85% 9/15/23 7,000 7,361 
5.7% 8/15/35 1,646 1,744 
5.85% 8/15/45 12,632 13,649 
6.75% 6/15/17 3,979 4,305 
7.25% 6/15/37 6,101 7,336 
  85,203 
TOTAL CONSUMER STAPLES  178,127 
ENERGY - 2.4%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (f) 5,634 5,109 
5.35% 3/15/20 (f) 5,174 5,028 
El Paso Pipeline Partners Operating Co. LLC:   
4.1% 11/15/15 5,488 5,516 
5% 10/1/21 2,280 2,331 
6.5% 4/1/20 2,264 2,513 
Forum Energy Technologies, Inc. 6.25% 10/1/21 655 590 
Gulfmark Offshore, Inc. 6.375% 3/15/22 1,485 950 
Noble Holding International Ltd.:   
3.05% 3/1/16 756 754 
4% 3/16/18 470 464 
5.95% 4/1/25 2,995 2,641 
6.95% 4/1/45 2,891 2,340 
Pacific Drilling V Ltd. 7.25% 12/1/17 (f) 2,355 1,813 
Summit Midstream Holdings LLC 7.5% 7/1/21 500 500 
Transocean, Inc.:   
5.55% 12/15/16 (h) 3,719 3,729 
6% 3/15/18 2,060 1,972 
6.875% 12/15/21 4,240 3,381 
Unit Corp. 6.625% 5/15/21 3,635 3,131 
  42,762 
Oil, Gas & Consumable Fuels - 2.2%   
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 1,680 1,583 
Alpha Natural Resources, Inc. 9.75% 4/15/18 (i) 1,099 30 
American Energy-Permian Basin LLC/ AEPB Finance Corp.:   
6.8037% 8/1/19 (f)(h) 1,345 713 
7.125% 11/1/20 (f) 2,165 1,093 
7.375% 11/1/21 (f) 1,565 790 
Anadarko Petroleum Corp. 6.375% 9/15/17 20,246 21,905 
Antero Resources Corp.:   
5.125% 12/1/22 7,435 6,730 
5.625% 6/1/23 (f) 1,270 1,156 
Blue Racer Mistream LLC / Blue Racer Finance Corp. 6.125% 11/15/22 (f) 5,000 4,900 
BP Capital Markets PLC:   
4.5% 10/1/20 1,106 1,204 
4.742% 3/11/21 4,210 4,608 
California Resources Corp.:   
5% 1/15/20 665 524 
5.5% 9/15/21 4,110 3,187 
6% 11/15/24 2,040 1,513 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,250 2,219 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 910 819 
Cenovus Energy, Inc. 5.7% 10/15/19 5,158 5,635 
Chesapeake Energy Corp.:   
4.875% 4/15/22 550 399 
5.375% 6/15/21 1,340 982 
6.125% 2/15/21 395 306 
6.875% 11/15/20 100 80 
Citgo Holding, Inc. 10.75% 2/15/20 (f) 2,315 2,286 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 (f) 1,213 1,210 
3.3% 6/1/20 (f) 5,938 5,924 
4.5% 6/1/25 (f) 1,813 1,728 
CONSOL Energy, Inc. 8% 4/1/23 (f) 5,000 3,775 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
6.125% 3/1/22 895 814 
6.25% 4/1/23 (f) 1,150 1,041 
CrownRock LP/CrownRock Finance, Inc. 7.75% 2/15/23 (f) 965 955 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 2,360 2,312 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,529 
2.7% 4/1/19 4,139 3,639 
3.875% 3/15/23 2,327 1,902 
4.95% 4/1/22 1,048 949 
5.6% 4/1/44 1,686 1,372 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 3,099 
Diamondback Energy, Inc. 7.625% 10/1/21 935 982 
Duke Energy Field Services:   
5.375% 10/15/15 (f) 1,647 1,649 
6.45% 11/3/36 (f) 3,753 3,268 
El Paso Natural Gas Co. 5.95% 4/15/17 1,260 1,337 
Empresa Nacional de Petroleo 4.375% 10/30/24 (f) 4,545 4,424 
Enable Midstream Partners LP:   
2.4% 5/15/19 (f) 1,656 1,557 
3.9% 5/15/24 (f) 1,746 1,533 
Enbridge Energy Partners LP 4.2% 9/15/21 6,629 6,688 
Energy XXI Gulf Coast, Inc. 11% 3/15/20 (f) 1,775 1,092 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
6.375% 6/15/23 1,660 1,411 
7.75% 9/1/22 2,190 2,015 
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 9,120 8,846 
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 520 489 
Gibson Energy, Inc. 6.75% 7/15/21 (f) 160 156 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 305 278 
7% 6/15/23 (f) 1,420 1,321 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) 677 701 
Halcon Resources Corp. 8.625% 2/1/20 (f) 565 496 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (f) 1,265 1,094 
5.75% 10/1/25 (f) 6,625 5,963 
7.625% 4/15/21 (f) 951 972 
Kodiak Oil & Gas Corp. 8.125% 12/1/19 1,325 1,272 
Laredo Petroleum, Inc.:   
5.625% 1/15/22 1,740 1,566 
6.25% 3/15/23 1,650 1,510 
LINN Energy LLC/LINN Energy Finance Corp. 6.5% 5/15/19 3,390 1,449 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,452 
Motiva Enterprises LLC 5.75% 1/15/20 (f) 3,614 3,966 
MPLX LP 4% 2/15/25 962 888 
Nakilat, Inc. 6.067% 12/31/33 (f) 1,839 2,101 
Nexen, Inc. 6.2% 7/30/19 1,865 2,078 
Noble Energy, Inc. 5.875% 6/1/24 700 723 
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 3,975 4,015 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 494 
Peabody Energy Corp.:   
6.25% 11/15/21 2,010 528 
10% 3/15/22 (f) 1,380 552 
Pemex Project Funding Master Trust 5.75% 3/1/18 21,220 22,785 
Petrobras Global Finance BV:   
1.9529% 5/20/16 (h) 5,357 5,250 
3% 1/15/19 22,701 19,775 
3.25% 3/17/17 22,344 21,408 
4.375% 5/20/23 3,648 2,866 
4.875% 3/17/20 20,511 17,949 
5.625% 5/20/43 11,155 7,716 
7.25% 3/17/44 28,868 23,239 
Petrobras International Finance Co. Ltd.:   
3.5% 2/6/17 15,000 14,487 
3.875% 1/27/16 5,238 5,235 
5.375% 1/27/21 10,725 9,454 
5.75% 1/20/20 16,310 14,836 
5.875% 3/1/18 2,803 2,750 
7.875% 3/15/19 5,564 5,607 
Petroleos Mexicanos:   
3.5% 7/18/18 7,105 7,240 
3.5% 7/23/20 (f) 7,125 7,056 
3.5% 1/30/23 4,530 4,214 
4.5% 1/23/26 (f) 6,398 6,078 
4.875% 1/24/22 2,315 2,350 
4.875% 1/18/24 5,974 5,956 
5.5% 1/21/21 12,842 13,773 
5.5% 6/27/44 22,702 19,643 
5.625% 1/23/46 (f) 6,203 5,521 
6% 3/5/20 4,075 4,440 
6.375% 1/23/45 13,324 12,988 
6.5% 6/2/41 7,783 7,783 
8% 5/3/19 3,283 3,776 
Phillips 66 Co.:   
2.95% 5/1/17 1,527 1,560 
4.3% 4/1/22 5,338 5,570 
Phillips 66 Partners LP 2.646% 2/15/20 527 513 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,880 1,995 
Range Resources Corp. 4.875% 5/15/25 (f) 3,400 3,060 
Rice Energy, Inc.:   
6.25% 5/1/22 30 27 
7.25% 5/1/23 (f) 665 618 
Rose Rock Midstream LP/ Rose Rock Finance Corp. 5.625% 7/15/22 635 578 
RSP Permian, Inc. 6.625% 10/1/22 (f) 525 515 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 2,585 2,511 
5.625% 3/1/25 (f) 6,075 5,874 
5.75% 5/15/24 8,830 8,631 
SemGroup Corp. 7.5% 6/15/21 2,610 2,584 
Shell International Finance BV 4.375% 5/11/45 6,392 6,298 
SM Energy Co. 5.625% 6/1/25 675 599 
Southeast Supply Header LLC 4.25% 6/15/24 (f) 4,893 4,703 
Southwestern Energy Co.:   
3.3% 1/23/18 2,491 2,483 
4.05% 1/23/20 4,519 4,474 
Spectra Energy Capital, LLC 5.65% 3/1/20 944 1,014 
Spectra Energy Partners, LP:   
2.95% 6/15/16 1,059 1,070 
4.6% 6/15/21 1,296 1,349 
Suncor Energy, Inc. 6.1% 6/1/18 7,771 8,593 
Sunoco LP / Sunoco Finance Corp.:   
5.5% 8/1/20 (f) 6,670 6,637 
6.375% 4/1/23 (f) 965 970 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5% 1/15/18 (f) 4,580 4,534 
6.375% 8/1/22 570 567 
Teekay Corp. 8.5% 1/15/20 120 124 
Teine Energy Ltd. 6.875% 9/30/22 (f) 5,104 4,415 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 3,593 
4.55% 6/24/24 19,902 17,616 
Western Gas Partners LP 5.375% 6/1/21 7,807 8,271 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 591 
Western Refining, Inc. 6.25% 4/1/21 550 545 
Whiting Petroleum Corp. 5.75% 3/15/21 565 506 
Williams Partners LP 4.3% 3/4/24 4,038 3,781 
WPX Energy, Inc.:   
7.5% 8/1/20 1,140 1,095 
8.25% 8/1/23 1,715 1,651 
  558,467 
TOTAL ENERGY  601,229 
FINANCIALS - 7.7%   
Banks - 3.2%   
Associated Banc-Corp. 5.125% 3/28/16 1,852 1,883 
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (f) 5,555 5,541 
4% 4/14/19 (f) 21,750 20,771 
5.5% 7/12/20 (f) 16,673 16,465 
5.75% 9/26/23 (f) 5,082 4,777 
6.369% 6/16/18 (f) 10,462 10,684 
6.5% 6/10/19 (f) 1,763 1,819 
Bank of America Corp.:   
1.35% 11/21/16 4,652 4,645 
1.95% 5/12/18 6,000 5,983 
2.6% 1/15/19 66,110 66,568 
2.65% 4/1/19 38,587 38,904 
3.875% 3/22/17 781 807 
3.95% 4/21/25 8,200 7,929 
4.2% 8/26/24 6,463 6,404 
4.25% 10/22/26 5,465 5,373 
5.75% 12/1/17 6,075 6,572 
6.5% 8/1/16 1,010 1,057 
Barclays PLC 2.75% 11/8/19 4,598 4,584 
BB&T Corp. 3.95% 3/22/22 1,495 1,564 
Capital One NA 2.95% 7/23/21 7,402 7,207 
CIT Group, Inc.:   
5% 8/15/22 4,195 4,263 
5% 8/1/23 2,755 2,789 
5.25% 3/15/18 3,215 3,340 
5.375% 5/15/20 2,805 2,931 
5.5% 2/15/19 (f) 5,285 5,556 
Citigroup, Inc.:   
1.3% 11/15/16 5,354 5,349 
1.7% 4/27/18 6,410 6,353 
1.75% 5/1/18 18,342 18,200 
1.85% 11/24/17 30,961 30,944 
2.4% 2/18/20 10,000 9,897 
2.5% 7/29/19 32,442 32,410 
2.55% 4/8/19 14,645 14,716 
4.05% 7/30/22 14,700 15,045 
4.3% 11/20/26 12,000 11,891 
4.45% 1/10/17 14,158 14,702 
6% 8/15/17 12,747 13,757 
Citizens Financial Group, Inc. 4.15% 9/28/22 (f) 5,782 5,831 
Credit Suisse AG 6% 2/15/18 12,547 13,654 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 (f) 6,421 6,383 
3.75% 3/26/25 (f) 6,420 6,211 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,324 
Discover Bank 7% 4/15/20 3,075 3,543 
Fifth Third Bancorp:   
3.5% 3/15/22 529 534 
4.5% 6/1/18 418 444 
5.45% 1/15/17 1,848 1,940 
HBOS PLC 6.75% 5/21/18 (f) 408 450 
HSBC Holdings PLC 4.25% 3/14/24 2,900 2,903 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 3,048 
Huntington National Bank:   
2% 6/30/18 13,000 12,941 
2.2% 4/1/19 2,700 2,690 
Intesa Sanpaolo SpA:   
2.375% 1/13/17 28,255 28,317 
3.125% 1/15/16 18,292 18,422 
5.017% 6/26/24 (f) 4,062 3,966 
JPMorgan Chase & Co.:   
3.875% 9/10/24 13,647 13,428 
4.125% 12/15/26 91,465 90,757 
KeyCorp. 5.1% 3/24/21 519 573 
Rabobank Nederland 4.375% 8/4/25 9,821 9,848 
Regions Bank 6.45% 6/26/37 10,147 11,884 
Regions Financial Corp. 2% 5/15/18 7,154 7,116 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 52,829 53,269 
6% 12/19/23 13,834 14,758 
6.1% 6/10/23 7,367 7,903 
6.125% 12/15/22 35,362 38,092 
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17 5,250 5,236 
SunTrust Banks, Inc.:   
2.35% 11/1/18 2,500 2,512 
3.5% 1/20/17 4,123 4,227 
Wells Fargo & Co.:   
4.1% 6/3/26 13,000 13,047 
4.48% 1/16/24 5,192 5,414 
  802,345 
Capital Markets - 1.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,219 6,892 
4.25% 2/15/24 2,095 2,175 
Deutsche Bank AG 4.5% 4/1/25 14,192 13,723 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 15,962 
2.375% 1/22/18 10,000 10,099 
2.55% 10/23/19 70,000 70,132 
2.6% 4/23/20 1,300 1,296 
2.625% 1/31/19 25,103 25,357 
5.95% 1/18/18 4,242 4,628 
6.15% 4/1/18 3,466 3,820 
6.25% 9/1/17 19,047 20,700 
Lazard Group LLC:   
4.25% 11/14/20 4,447 4,676 
6.85% 6/15/17 1,063 1,151 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 4,204 4,565 
Morgan Stanley:   
1.875% 1/5/18 13,596 13,596 
2.125% 4/25/18 16,388 16,446 
2.375% 7/23/19 17,224 17,210 
2.5% 1/24/19 97,536 98,400 
4% 7/23/25 8,077 8,234 
4.875% 11/1/22 7,232 7,651 
5.625% 9/23/19 453 504 
5.95% 12/28/17 250 272 
6.625% 4/1/18 1,494 1,665 
Peachtree Corners Funding Trust 3.976% 2/15/25 (f) 7,000 6,925 
UBS AG Stamford Branch:   
1.375% 6/1/17 4,854 4,831 
1.8% 3/26/18 9,485 9,452 
2.375% 8/14/19 10,750 10,748 
  381,110 
Consumer Finance - 1.1%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.75% 5/15/17 2,625 2,599 
3.75% 5/15/19 2,125 2,112 
4.5% 5/15/21 2,325 2,363 
5% 10/1/21 1,555 1,607 
Ally Financial, Inc.:   
3.5% 1/27/19 2,025 2,022 
4.625% 5/19/22 1,365 1,370 
4.75% 9/10/18 2,295 2,367 
6.25% 12/1/17 1,800 1,917 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,427 
Discover Financial Services:   
3.85% 11/21/22 1,983 1,933 
5.2% 4/27/22 2,146 2,264 
6.45% 6/12/17 10,512 11,369 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 32,000 31,854 
1.5% 1/17/17 16,012 15,935 
2.375% 3/12/19 17,400 17,182 
2.5% 1/15/16 14,000 14,067 
2.875% 10/1/18 8,500 8,566 
3% 6/12/17 5,430 5,523 
5% 5/15/18 8,500 9,049 
5.875% 8/2/21 10,438 11,714 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,540 
GMAC LLC:   
8% 12/31/18 19,035 21,129 
8% 11/1/31 18,726 22,171 
Hyundai Capital America:   
1.45% 2/6/17 (f) 5,366 5,354 
1.625% 10/2/15 (f) 1,867 1,867 
1.875% 8/9/16 (f) 1,338 1,344 
2.125% 10/2/17 (f) 2,063 2,069 
2.55% 2/6/19 (f) 5,366 5,348 
2.875% 8/9/18 (f) 2,511 2,562 
Navient Corp. 5.875% 10/25/24 2,130 1,800 
SLM Corp.:   
4.875% 6/17/19 5,315 4,970 
5.5% 1/15/19 2,150 2,053 
5.5% 1/25/23 4,320 3,640 
6.125% 3/25/24 4,645 3,948 
7.25% 1/25/22 5,140 4,844 
8% 3/25/20 5,930 6,004 
8.45% 6/15/18 2,980 3,159 
Synchrony Financial:   
1.875% 8/15/17 1,300 1,294 
3% 8/15/19 1,910 1,913 
3.75% 8/15/21 7,084 7,025 
4.25% 8/15/24 2,903 2,855 
  263,129 
Diversified Financial Services - 0.0%   
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,310 
5.875% 2/1/22 2,725 2,753 
6% 8/1/20 2,230 2,302 
MSCI, Inc. 5.75% 8/15/25 (f) 870 887 
  8,252 
Insurance - 0.6%   
AIA Group Ltd. 2.25% 3/11/19 (f) 1,203 1,197 
Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (f) 2,835 2,757 
American International Group, Inc.:   
3.75% 7/10/25 11,144 11,180 
4.875% 6/1/22 5,467 5,961 
5.6% 10/18/16 4,975 5,212 
5.85% 1/16/18 12,000 13,109 
Aon Corp.:   
3.125% 5/27/16 3,402 3,456 
5% 9/30/20 107 118 
Five Corners Funding Trust 4.419% 11/15/23 (f) 8,055 8,343 
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(h) 2,008 2,048 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 595 628 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (f) 1,675 1,671 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (f) 2,655 2,698 
5% 6/1/21 (f) 6,063 6,577 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,768 
Massachusetts Mutual Life Insurance Co.:   
4.5% 4/15/65 (f) 7,265 6,588 
5.375% 12/1/41 (f) 2,993 3,322 
Metropolitan Life Global Funding I 1.875% 6/22/18 (f) 6,476 6,473 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) 3,585 4,250 
Pacific Life Insurance Co. 9.25% 6/15/39 (f) 3,048 4,583 
Pacific LifeCorp:   
5.125% 1/30/43 (f) 6,960 7,135 
6% 2/10/20 (f) 8,215 9,243 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 791 
4.5% 11/16/21 1,461 1,594 
7.375% 6/15/19 1,880 2,206 
Symetra Financial Corp. 6.125% 4/1/16 (f) 6,715 6,883 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f) 6,853 7,015 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (f) 1,569 1,578 
4.125% 11/1/24 (f) 2,275 2,297 
Unum Group:   
5.625% 9/15/20 2,879 3,222 
5.75% 8/15/42 7,108 7,908 
7.125% 9/30/16 1,802 1,908 
  145,719 
Real Estate Investment Trusts - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,136 
4.6% 4/1/22 1,705 1,769 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,541 
American Tower Corp. 2.8% 6/1/20 6,000 5,927 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,548 
Camden Property Trust 2.95% 12/15/22 2,154 2,068 
CommonWealth REIT 5.875% 9/15/20 991 1,082 
Communications Sales & Leasing, Inc. 6% 4/15/23 (f) 605 569 
Corporate Office Properties LP:   
3.7% 6/15/21 3,614 3,558 
5% 7/1/25 3,069 2,995 
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 205 208 
DDR Corp.:   
3.625% 2/1/25 3,010 2,829 
4.625% 7/15/22 3,877 4,031 
4.75% 4/15/18 4,595 4,857 
7.5% 4/1/17 4,966 5,380 
9.625% 3/15/16 1,670 1,743 
Duke Realty LP:   
3.625% 4/15/23 2,844 2,790 
3.75% 12/1/24 2,012 1,959 
3.875% 10/15/22 4,799 4,839 
4.375% 6/15/22 3,202 3,313 
5.5% 3/1/16 2,930 2,988 
5.95% 2/15/17 291 309 
6.75% 3/15/20 1,161 1,345 
8.25% 8/15/19 1,838 2,220 
Equity One, Inc.:   
3.75% 11/15/22 7,300 7,271 
6% 9/15/17 666 719 
6.25% 1/15/17 530 561 
ERP Operating LP 5.75% 6/15/17 1,446 1,550 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,569 
HCP, Inc.:   
3.15% 8/1/22 8,000 7,689 
3.875% 8/15/24 11,000 10,601 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,344 
4.125% 4/1/19 11,300 11,908 
4.7% 9/15/17 744 785 
HRPT Properties Trust:   
6.25% 6/15/17 726 761 
6.65% 1/15/18 490 527 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,918 
Omega Healthcare Investors, Inc.:   
4.5% 1/15/25 1,769 1,738 
4.5% 4/1/27 (f) 21,587 20,738 
4.95% 4/1/24 1,785 1,837 
5.875% 3/15/24 3,200 3,368 
6.75% 10/15/22 1,885 1,956 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,218 
5% 12/15/23 980 1,033 
Weingarten Realty Investors 3.375% 10/15/22 1,098 1,075 
WP Carey, Inc. 4% 2/1/25 7,547 7,295 
  160,465 
Real Estate Management & Development - 0.6%   
BioMed Realty LP:   
2.625% 5/1/19 2,987 2,982 
3.85% 4/15/16 8,385 8,494 
4.25% 7/15/22 2,511 2,561 
6.125% 4/15/20 1,822 2,051 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 6,445 6,329