N-Q 1 filing977.htm PRIMARY DOCUMENT

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY


Investment Company Act file number   811-649


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:

May 31, 2016


Item 1.

Schedule of Investments



Quarterly Holdings Report
for

Fidelity® Puritan® Fund

May 31, 2016







PUR-QTLY-0716
1.800346.112





Investments May 31, 2016 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 65.8%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 11.0%   
Auto Components - 0.1%   
Chassix Holdings, Inc. 18,330 $659 
Delphi Automotive PLC 397,193 26,993 
  27,652 
Automobiles - 0.3%   
Chongqing Changan Automobile Co. Ltd. (B Shares) 6,710,778 9,370 
General Motors Co. 145,914 4,564 
General Motors Co.:   
warrants 7/10/16 (a) 8,394 178 
warrants 7/10/19 (a) 8,394 111 
Tesla Motors, Inc. (a) 319,400 71,300 
  85,523 
Diversified Consumer Services - 0.2%   
Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(b) 1,945 10 
ServiceMaster Global Holdings, Inc. (a) 1,138,000 43,517 
  43,527 
Hotels, Restaurants & Leisure - 2.1%   
ARAMARK Holdings Corp. 150,000 4,994 
Dave & Buster's Entertainment, Inc. (a) 544,200 21,240 
Domino's Pizza, Inc. 184,200 22,266 
Extended Stay America, Inc. unit 150,000 2,139 
Hilton Worldwide Holdings, Inc. 858,800 17,846 
McDonald's Corp. 1,280,600 156,310 
Red Rock Resorts, Inc. 278,655 5,114 
Starbucks Corp. 3,166,400 173,804 
Vail Resorts, Inc. 957,527 125,675 
  529,388 
Household Durables - 0.3%   
Newell Brands, Inc. 1,272,296 60,676 
Internet & Catalog Retail - 1.9%   
Amazon.com, Inc. (a) 484,400 350,119 
Expedia, Inc. 162,600 18,088 
Netflix, Inc. (a) 493,300 50,598 
Priceline Group, Inc. (a) 49,200 62,205 
  481,010 
Leisure Products - 0.2%   
Hasbro, Inc. 574,200 50,122 
Media - 3.1%   
Altice NV Class A (a) 523,244 9,018 
AMC Networks, Inc. Class A (a) 53,800 3,440 
Charter Communications, Inc. (a) 762,964 167,043 
Comcast Corp. Class A 2,185,000 138,311 
Cumulus Media, Inc. Class A (a) 398,000 127 
Lions Gate Entertainment Corp. (c) 2,246,800 50,104 
Live Nation Entertainment, Inc. (a) 1,624,600 39,234 
Publicis Groupe SA 36,972 2,676 
Starz Series A (a) 1,419,200 38,318 
The Walt Disney Co. 1,110,590 110,193 
Time Warner, Inc. 836,400 63,282 
Tribune Media Co. Class A 13,773 554 
Tribune Publishing Co. 3,443 40 
Vertis Holdings, Inc. (a) 1,934 0 
Vice Holding, Inc. 86,301 167,913 
Vivendi SA 390,024 7,726 
  797,979 
Specialty Retail - 1.6%   
Home Depot, Inc. 2,052,200 271,137 
L Brands, Inc. 324,000 22,210 
TJX Companies, Inc. 947,200 72,101 
Ulta Salon, Cosmetics & Fragrance, Inc. (a) 222,900 51,938 
  417,386 
Textiles, Apparel & Luxury Goods - 1.2%   
Brunello Cucinelli SpA 1,407,200 27,760 
Christian Dior SA 202,800 33,068 
Hermes International SCA 81,100 29,322 
lululemon athletica, Inc. (a) 509,500 33,133 
Luxottica Group SpA 81,800 4,432 
Michael Kors Holdings Ltd. (a) 129,061 5,513 
NIKE, Inc. Class B 1,886,600 104,178 
Ralph Lauren Corp. 51,500 4,858 
Ted Baker PLC 302,900 10,687 
Tory Burch LLC:   
Class A unit (a)(b)(d) 702,741 39,902 
Class B (a)(b)(d) 324,840 19,595 
  312,448 
TOTAL CONSUMER DISCRETIONARY  2,805,711 
CONSUMER STAPLES - 6.1%   
Beverages - 2.5%   
Anheuser-Busch InBev SA NV 120,700 15,256 
Anheuser-Busch InBev SA NV ADR 287,800 36,326 
Brown-Forman Corp. Class B (non-vtg.) 308,600 30,264 
Constellation Brands, Inc. Class A (sub. vtg.) 1,088,100 166,643 
Kweichow Moutai Co. Ltd. 546,469 21,955 
Molson Coors Brewing Co. Class B 1,430,500 141,877 
Monster Beverage Corp. 523,100 78,465 
The Coca-Cola Co. 3,568,600 159,160 
  649,946 
Food & Staples Retailing - 1.0%   
Costco Wholesale Corp. 578,500 86,063 
CVS Health Corp. 1,236,200 119,231 
Ovation Acquisition I LLC (b) 389,576 4 
Wal-Mart Stores, Inc. 567,500 40,168 
  245,466 
Food Products - 0.5%   
Bunge Ltd. 381,600 25,594 
Mead Johnson Nutrition Co. Class A 454,800 37,421 
Premium Brands Holdings Corp. 237,000 9,528 
The Kraft Heinz Co. 430,200 35,788 
TreeHouse Foods, Inc. (a) 194,400 18,410 
WhiteWave Foods Co. (a) 90,000 4,019 
  130,760 
Household Products - 0.3%   
Kimberly-Clark Corp. 255,800 32,497 
Spectrum Brands Holdings, Inc. 392,900 45,800 
  78,297 
Personal Products - 0.7%   
Coty, Inc. Class A (c) 1,042,000 27,446 
Estee Lauder Companies, Inc. Class A 1,498,400 137,523 
L'Oreal SA (a) 10,600 1,992 
  166,961 
Tobacco - 1.1%   
Altria Group, Inc. 1,575,100 100,239 
Reynolds American, Inc. 3,758,084 186,777 
  287,016 
TOTAL CONSUMER STAPLES  1,558,446 
ENERGY - 3.3%   
Energy Equipment & Services - 0.8%   
Aspen Aerogels, Inc. (a) 973,128 3,902 
Baker Hughes, Inc. 978,300 45,374 
Schlumberger Ltd. 2,149,482 164,005 
  213,281 
Oil, Gas & Consumable Fuels - 2.5%   
Anadarko Petroleum Corp. 14,400 747 
Apache Corp. 748,600 42,775 
Cabot Oil & Gas Corp. 1,397,900 33,508 
Chevron Corp. 2,275,400 229,815 
Cimarex Energy Co. 307,400 35,744 
Columbia Pipeline Group, Inc. 37,320 953 
ConocoPhillips Co. 597,100 26,147 
Devon Energy Corp. 1,449,700 52,320 
EQT Corp. 217,900 15,961 
Golar LNG Ltd. 545,000 9,483 
Imperial Oil Ltd. 1,965,800 62,646 
Kinder Morgan, Inc. 409,000 7,395 
Noble Energy, Inc. 724,499 25,901 
Southwestern Energy Co. (a) 2,403 33 
Suncor Energy, Inc. 2,987,300 82,510 
The Williams Companies, Inc. 377,600 8,368 
  634,306 
TOTAL ENERGY  847,587 
FINANCIALS - 10.1%   
Banks - 4.1%   
Bank of America Corp. 8,691,000 128,540 
Citigroup, Inc. 3,944,540 183,697 
First Republic Bank 50,000 3,621 
Hangzhou Hikvision Digital Technology Co. Ltd. ELS (BNP Paribas Arbitrage Warrant Program) warrants 10/21/16 (a)(e) 7,792,950 24,990 
JPMorgan Chase & Co. 1,691,623 110,412 
M&T Bank Corp. 753,200 90,007 
Regions Financial Corp. 10,547,100 103,678 
SunTrust Banks, Inc. 2,158,500 94,585 
TCF Financial Corp. 258,400 3,713 
U.S. Bancorp 3,563,900 152,606 
Wells Fargo & Co. 2,981,640 151,229 
  1,047,078 
Capital Markets - 0.5%   
E*TRADE Financial Corp. (a) 2,420,800 67,516 
Goldman Sachs Group, Inc. 330,500 52,708 
Invesco Ltd. 403,600 12,673 
Motors Liquidation Co. GUC Trust (a) 28,150 324 
PJT Partners, Inc. 60,505 1,571 
The Blackstone Group LP 126,500 3,313 
  138,105 
Consumer Finance - 0.3%   
Capital One Financial Corp. 1,019,500 74,668 
Diversified Financial Services - 1.7%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 194,774 
Broadcom Ltd. 677,830 104,630 
McGraw Hill Financial, Inc. 328,800 36,763 
Moody's Corp. 482,800 47,623 
Senseonics Holdings, Inc. (c) 3,508,771 13,404 
Warrior Met Coal LLC Class A (b) 414 33 
WME Entertainment Parent, LLC Class A unit (a)(b)(d) 14,605,560 30,000 
  427,227 
Insurance - 1.5%   
Chubb Ltd. 1,750,347 221,611 
MetLife, Inc. 1,852,600 84,386 
The Travelers Companies, Inc. 571,000 65,174 
  371,171 
Real Estate Investment Trusts - 1.9%   
American Tower Corp. 1,599,700 169,216 
Boston Properties, Inc. 404,200 50,780 
Public Storage 547,300 138,855 
Simon Property Group, Inc. 460,700 91,053 
Store Capital Corp. 1,263,200 32,249 
  482,153 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 961,800 28,710 
TOTAL FINANCIALS  2,569,112 
HEALTH CARE - 10.7%   
Biotechnology - 3.4%   
AbbVie, Inc. 646,900 40,709 
ACADIA Pharmaceuticals, Inc. (a)(c) 1,662,304 58,895 
Acceleron Pharma, Inc. (a) 130,400 4,461 
Alexion Pharmaceuticals, Inc. (a) 495,000 74,696 
Amgen, Inc. 1,992,000 314,636 
Asterias Biotherapeutics, Inc. (a)(c) 130,874 411 
Asterias Biotherapeutics, Inc. warrants 9/30/16 (a) 26,174 15 
Biogen, Inc. (a) 197,800 57,309 
Celgene Corp. (a) 497,000 52,443 
Genmab A/S (a) 226,200 40,877 
Geron Corp. (a)(c) 3,139,900 9,294 
Gilead Sciences, Inc. 657,200 57,216 
Grifols SA ADR 91,560 1,513 
Macrogenics, Inc. (a) 226,200 5,782 
Neurocrine Biosciences, Inc. (a) 579,100 28,752 
Puma Biotechnology, Inc. (a) 290,101 10,963 
Regeneron Pharmaceuticals, Inc. (a) 66,200 26,409 
Spark Therapeutics, Inc. (a) 178,800 10,004 
Vertex Pharmaceuticals, Inc. (a) 765,900 71,344 
XOMA Corp. (a)(c) 1,530,200 1,048 
  866,777 
Health Care Equipment & Supplies - 2.6%   
Boston Scientific Corp. (a) 8,636,500 196,135 
Corindus Vascular Robotics, Inc. (c)(f) 1,315,800 1,474 
Corindus Vascular Robotics, Inc. (a)(b)(f) 5,000,000 5,600 
Intuitive Surgical, Inc. (a) 43,700 27,737 
Medtronic PLC 4,236,286 340,936 
Nevro Corp. (a) 468,000 32,629 
Zimmer Biomet Holdings, Inc. 564,000 68,870 
  673,381 
Health Care Providers & Services - 0.8%   
Cigna Corp. 195,400 25,033 
HCA Holdings, Inc. (a) 91,500 7,139 
HealthSouth Corp. warrants 1/17/17 (a) 1,835 5 
Legend Acquisition, Inc. (a) 2,509 33 
Legend Acquisition, Inc.:   
Class A warrants (a) 17,259 0 
Class B warrants (a) 22,759 0 
McKesson Corp. 389,200 71,278 
UnitedHealth Group, Inc. 742,200 99,210 
  202,698 
Health Care Technology - 0.0%   
CareView Communications, Inc. (a)(c)(f) 10,425,300 2,085 
Life Sciences Tools & Services - 0.0%   
Illumina, Inc. (a) 1,862 270 
Pharmaceuticals - 3.9%   
Allergan PLC (a) 1,127,489 265,806 
Bristol-Myers Squibb Co. 2,100,200 150,584 
Catalent, Inc. (a) 976,100 27,448 
Eli Lilly & Co. 601,700 45,146 
Endo International PLC (a) 792,100 12,523 
GlaxoSmithKline PLC sponsored ADR 1,160,400 49,166 
Jazz Pharmaceuticals PLC (a) 114,600 17,369 
Johnson & Johnson 2,214,200 249,518 
Mallinckrodt PLC (a) 8,900 564 
Pfizer, Inc. 234,400 8,134 
Prestige Brands Holdings, Inc. (a) 482,690 26,085 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,329,200 68,946 
The Medicines Company (a) 618,500 23,262 
TherapeuticsMD, Inc. (a) 4,763,550 42,586 
  987,137 
TOTAL HEALTH CARE  2,732,348 
INDUSTRIALS - 5.9%   
Aerospace & Defense - 3.1%   
BAE Systems PLC 3,064,300 21,432 
BWX Technologies, Inc. 1,066,100 37,495 
General Dynamics Corp. 821,100 116,489 
Honeywell International, Inc. 1,004,400 114,331 
Huntington Ingalls Industries, Inc. 309,000 47,404 
Northrop Grumman Corp. 171,900 36,558 
Orbital ATK, Inc. 696,000 60,573 
Raytheon Co. 1,045,900 135,622 
Rockwell Collins, Inc. 979,900 86,623 
TransDigm Group, Inc. (a) 132,600 34,945 
United Technologies Corp. 1,032,700 103,869 
  795,341 
Air Freight & Logistics - 0.1%   
FedEx Corp. 179,200 29,563 
Building Products - 0.2%   
Lennox International, Inc. 333,400 45,792 
Masonite International Corp. (a) 5,358 374 
Masonite International Corp. warrants 6/9/16 (a) 19,485 387 
  46,553 
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc. (a)(b) 5,819,318 349 
Electrical Equipment - 0.1%   
AMETEK, Inc. 369,500 17,669 
Industrial Conglomerates - 1.8%   
Danaher Corp. 1,192,200 117,265 
General Electric Co. 11,188,100 338,216 
  455,481 
Machinery - 0.4%   
Caterpillar, Inc. 562,700 40,801 
Deere & Co. 786,200 64,696 
  105,497 
Road & Rail - 0.2%   
Norfolk Southern Corp. 642,000 53,967 
Trading Companies & Distributors - 0.0%   
United Rentals, Inc. (a) 22,500 1,568 
TOTAL INDUSTRIALS  1,505,988 
INFORMATION TECHNOLOGY - 16.1%   
Communications Equipment - 0.6%   
Cisco Systems, Inc. 5,604,800 162,819 
Electronic Equipment & Components - 0.4%   
Amphenol Corp. Class A 677,600 39,789 
Arrow Electronics, Inc. (a) 88,800 5,738 
CDW Corp. 100,000 4,256 
E Ink Holdings, Inc. GDR (a)(e) 140,100 690 
Keysight Technologies, Inc. (a) 637,727 19,534 
VeriFone Systems, Inc. (a) 860,700 22,722 
  92,729 
Internet Software & Services - 5.1%   
58.com, Inc. ADR (a) 47,700 2,578 
Alibaba Group Holding Ltd. sponsored ADR (a) 1,078,300 88,421 
Alphabet, Inc. Class C 980,183 721,121 
Draftday Fantasy Sports, Inc. (a)(c) 56,268 18 
eBay, Inc. (a) 862,100 21,087 
Facebook, Inc. Class A (a) 3,423,660 406,765 
GoDaddy, Inc. (a) 87,500 2,846 
Mail.Ru Group Ltd.:   
GDR (a)(e) 77,400 1,533 
GDR (Reg. S) (a) 5,300 105 
NAVER Corp. 44 27 
Pandora Media, Inc. (a)(c) 23,894 282 
Spotify Technology SA (a)(b) 15,262 25,749 
Tencent Holdings Ltd. 28,500 635 
Yahoo!, Inc. (a) 720,500 27,336 
  1,298,503 
IT Services - 3.7%   
Accenture PLC Class A 1,141,700 135,828 
Cognizant Technology Solutions Corp. Class A (a) 3,059,600 187,982 
Computer Sciences Corp. 561,000 27,601 
Global Payments, Inc. 403,800 31,371 
MasterCard, Inc. Class A 1,733,200 166,214 
PayPal Holdings, Inc. (a) 1,031,200 38,969 
Visa, Inc. Class A 4,503,100 355,475 
  943,440 
Semiconductors & Semiconductor Equipment - 1.0%   
Analog Devices, Inc. 477,600 27,940 
Cree, Inc. (a)(c) 268,405 6,463 
Cypress Semiconductor Corp. 1,614 17 
Lam Research Corp. 68,290 5,655 
Maxim Integrated Products, Inc. 1,727,800 65,587 
NXP Semiconductors NV (a) 744,397 70,338 
Qorvo, Inc. (a) 394,800 20,123 
Skyworks Solutions, Inc. 149,300 9,967 
Texas Instruments, Inc. 816,000 49,450 
  255,540 
Software - 3.5%   
Activision Blizzard, Inc. 1,712,100 67,217 
Adobe Systems, Inc. (a) 1,030,900 102,544 
Autodesk, Inc. (a) 1,149,600 66,987 
Citrix Systems, Inc. (a) 215,400 18,292 
Electronic Arts, Inc. (a) 306,400 23,516 
Microsoft Corp. 6,698,400 355,015 
Mobileye NV (a)(c) 991,840 37,660 
Oracle Corp. 2,053,000 82,531 
Red Hat, Inc. (a) 198,000 15,337 
Salesforce.com, Inc. (a) 1,427,600 119,504 
Workday, Inc. Class A (a) 174,300 13,219 
  901,822 
Technology Hardware, Storage & Peripherals - 1.8%   
Apple, Inc. 4,465,400 445,915 
Western Digital Corp. 51,248 2,385 
  448,300 
TOTAL INFORMATION TECHNOLOGY  4,103,153 
MATERIALS - 1.4%   
Chemicals - 1.3%   
Ashland, Inc. 24 3 
CF Industries Holdings, Inc. 275,230 7,613 
E.I. du Pont de Nemours & Co. 2,424,775 158,605 
Huntsman Corp. 1,325 20 
LyondellBasell Industries NV Class A 42,698 3,474 
Monsanto Co. 418,200 47,035 
Potash Corp. of Saskatchewan, Inc. 551,000 8,992 
Sherwin-Williams Co. 157,000 45,701 
The Chemours Co. LLC (c) 395,195 3,442 
The Dow Chemical Co. 1,047,700 53,810 
Trinseo SA (a) 35,700 1,681 
  330,376 
Construction Materials - 0.1%   
Eagle Materials, Inc. 199,200 15,601 
Metals & Mining - 0.0%   
AngloGold Ashanti Ltd. sponsored ADR (a) 57,230 769 
TOTAL MATERIALS  346,746 
TELECOMMUNICATION SERVICES - 0.7%   
Diversified Telecommunication Services - 0.7%   
AT&T, Inc. 4,209,576 164,805 
Broadview Networks Holdings, Inc. (a) 123,987 192 
Iliad SA 28,725 6,295 
  171,292 
UTILITIES - 0.5%   
Electric Utilities - 0.4%   
Edison International 705,307 50,521 
NextEra Energy, Inc. 302,600 36,348 
PPL Corp. 410,800 15,832 
  102,701 
Independent Power and Renewable Electricity Producers - 0.0%   
NRG Yield, Inc. Class C 120,600 1,864 
Talen Energy Corp. (a) 2,566 30 
  1,894 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 19,753 
TOTAL UTILITIES  124,348 
TOTAL COMMON STOCKS   
(Cost $13,074,173)  16,764,731 
Preferred Stocks - 0.6%   
Convertible Preferred Stocks - 0.6%   
CONSUMER DISCRETIONARY - 0.2%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(b) 1,082,251 4,297 
Roku, Inc. Series F, 8.00% (a)(b) 5,520,836 8,281 
  12,578 
Internet & Catalog Retail - 0.0%   
The Honest Co., Inc. Series D (b) 196,700 8,653 
Specialty Retail - 0.1%   
Moda Operandi, Inc. Series E (a)(b) 508,444 20,084 
TOTAL CONSUMER DISCRETIONARY  41,315 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 27,400 884 
HEALTH CARE - 0.1%   
Health Care Providers & Services - 0.1%   
Mulberry Health, Inc. Series A8 (b) 2,960,879 20,000 
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 12,300 10,389 
Teva Pharmaceutical Industries Ltd. 7% 5,570 4,739 
  15,128 
TOTAL HEALTH CARE  35,128 
INFORMATION TECHNOLOGY - 0.3%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00% (a)(b) 1,611,548 78,599 
Software - 0.0%   
Deem, Inc. (a)(b) 2,497,881 125 
TOTAL INFORMATION TECHNOLOGY  78,724 
TOTAL CONVERTIBLE PREFERRED STOCKS  156,051 
Nonconvertible Preferred Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Textiles, Apparel & Luxury Goods - 0.0%   
C. Wonder LLC Class A-1 (a)(b)(d) 619,047 0 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
GMAC Capital Trust I Series 2, 8.125% 294,279 7,370 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  7,370 
TOTAL PREFERRED STOCKS   
(Cost $137,198)  163,421 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 18.1%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 325 
3.5% 1/15/31 (e) 4,584 2,405 
  2,730 
Nonconvertible Bonds - 18.1%   
CONSUMER DISCRETIONARY - 1.8%   
Auto Components - 0.1%   
Gates Global LLC/Gates Global Co. 6% 7/15/22 (e) 1,260 1,105 
Schaeffler Holding Finance BV:   
6.25% 11/15/19 pay-in-kind (e)(g) 1,405 1,468 
6.75% 11/15/22 pay-in-kind (e)(g) 391 434 
6.875% 8/15/18 pay-in-kind (e)(g) 628 644 
Tenneco, Inc. 6.875% 12/15/20 2,415 2,502 
ZF North America Capital, Inc.:   
4% 4/29/20 (e) 5,045 5,215 
4.5% 4/29/22 (e) 4,105 4,128 
  15,496 
Automobiles - 0.3%   
Ford Motor Co. 4.75% 1/15/43 10,000 10,206 
General Motors Co.:   
3.5% 10/2/18 4,530 4,645 
5.2% 4/1/45 2,729 2,651 
6.25% 10/2/43 763 842 
6.6% 4/1/36 3,372 3,846 
6.75% 4/1/46 5,655 6,616 
General Motors Financial Co., Inc.:   
2.625% 7/10/17 1,445 1,456 
3.15% 1/15/20 12,000 12,122 
3.25% 5/15/18 3,070 3,128 
3.5% 7/10/19 17,868 18,340 
4% 1/15/25 6,368 6,334 
4.25% 5/15/23 3,285 3,355 
4.375% 9/25/21 11,267 11,806 
4.75% 8/15/17 2,505 2,587 
Volkswagen International Finance NV 2.375% 3/22/17 (e) 1,515 1,524 
  89,458 
Distributors - 0.0%   
American Tire Distributors, Inc. 10.25% 3/1/22 (e) 2,265 1,962 
LKQ Corp. 4.75% 5/15/23 265 260 
  2,222 
Diversified Consumer Services - 0.1%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 554 571 
Laureate Education, Inc. 10% 9/1/19 (e)(g) 13,090 12,043 
Service Corp. International 5.375% 1/15/22 505 527 
  13,141 
Hotels, Restaurants & Leisure - 0.2%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4.625% 1/15/22 (e) 1,175 1,200 
24 Hour Holdings III LLC 8% 6/1/22 (e) 510 388 
Aramark Services, Inc. 5.125% 1/15/24 1,625 1,686 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 3,924 
Chukchansi Economic Development Authority 9.75% 5/30/20 (e) 2,861 1,631 
FelCor Lodging LP 6% 6/1/25 620 640 
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26 735 766 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (e) 5,680 5,893 
Landry's Acquisition Co. 9.375% 5/1/20 (e) 875 919 
Landry's Holdings II, Inc. 10.25% 1/1/18 (e) 900 909 
McDonald's Corp.:   
3.7% 1/30/26 3,379 3,591 
4.7% 12/9/35 1,744 1,875 
4.875% 12/9/45 2,737 3,032 
MGM Mirage, Inc. 6% 3/15/23 1,630 1,703 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (e) 865 882 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 4,650 4,452 
Playa Resorts Holding BV 8% 8/15/20 (e) 90 91 
Scientific Games Corp.:   
7% 1/1/22 (e) 1,360 1,374 
10% 12/1/22 6,840 5,540 
Studio City Finance Ltd. 8.5% 12/1/20 (e) 1,000 1,000 
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (e)(h) 534 0 
Wynn Macau Ltd. 5.25% 10/15/21 (e) 605 587 
  42,083 
Household Durables - 0.1%   
Beazer Homes U.S.A., Inc. 7.25% 2/1/23 775 639 
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (e) 785 748 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (e) 620 629 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.75% 10/15/20 4,574 4,717 
8.25% 2/15/21 (g) 1,485 1,543 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (e) 1,395 1,405 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 464 
7% 8/15/22 2,585 2,566 
8.5% 11/15/20 1,310 1,362 
Woodside Homes Co. LLC/Woodside Homes Finance, Inc. 6.75% 12/15/21 (e) 1,350 1,256 
  15,329 
Internet & Catalog Retail - 0.0%   
Netflix, Inc. 5.5% 2/15/22 5,000 5,219 
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 2,475 2,543 
  7,762 
Media - 1.0%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 4,745 5,780 
7.75% 12/1/45 8,012 11,264 
Altice SA:   
7.625% 2/15/25 (e) 4,905 4,844 
7.75% 5/15/22 (e) 10,065 10,310 
Altice U.S. Finance SA:   
5.375% 7/15/23 (e) 2,375 2,417 
7.75% 7/15/25 (e) 3,160 3,279 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,327 
Anna Merger Sub, Inc. 7.75% 10/1/22 (e) 1,810 1,747 
AOL Time Warner, Inc. 2.95% 7/15/26 17,000 16,685 
Cable One, Inc. 5.75% 6/15/22 (e) 895 917 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 279 
5.625% 2/15/24 670 693 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,608 
5.25% 3/15/21 3,375 3,510 
5.5% 5/1/26 (e) 1,035 1,045 
5.75% 9/1/23 945 984 
5.75% 1/15/24 4,235 4,404 
5.75% 2/15/26 (e) 5,010 5,135 
5.875% 5/1/27 (e) 3,385 3,465 
Cengage Learning, Inc. 9.5% 6/15/24 (e)(i) 3,725 3,772 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e) 325 331 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (e) 3,345 3,194 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (e) 7,702 8,113 
4.908% 7/23/25 (e) 5,177 5,548 
6.484% 10/23/45 (e) 3,236 3,733 
Cinemark U.S.A., Inc.:   
4.875% 6/1/23 1,275 1,262 
5.125% 12/15/22 355 364 
Clear Channel Communications, Inc. 5.5% 12/15/16 4,965 4,717 
Clear Channel International BV 8.75% 12/15/20 (e) 2,420 2,493 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 736 
7.625% 3/15/20 585 538 
Series B, 6.5% 11/15/22 1,455 1,460 
7.625% 3/15/20 4,105 3,941 
Columbus International, Inc. 7.375% 3/30/21 (e) 7,655 8,024 
Discovery Communications LLC 5.05% 6/1/20 168 183 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,434 
5.875% 7/15/22 2,655 2,569 
6.75% 6/1/21 3,515 3,641 
Lamar Media Corp.:   
5.375% 1/15/24 630 660 
5.875% 2/1/22 525 549 
Lions Gate Entertainment Corp. 5.25% 8/1/18 2,415 2,469 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (e) 3,730 3,879 
MDC Partners, Inc. 6.5% 5/1/24 (e) 2,350 2,274 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (e)(g) 11,430 11,544 
National CineMedia LLC:   
6% 4/15/22 2,600 2,711 
7.875% 7/15/21 1,380 1,439 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (e) 685 700 
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (e) 2,775 2,858 
Regal Entertainment Group 5.75% 3/15/22 1,230 1,267 
Sirius XM Radio, Inc.:   
5.375% 4/15/25 (e) 1,490 1,496 
5.75% 8/1/21 (e) 2,580 2,699 
Starz LLC/Starz Finance Corp. 5% 9/15/19 5,000 5,088 
Thomson Reuters Corp.:   
1.3% 2/23/17 1,794 1,796 
3.85% 9/29/24 4,335 4,505 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 10,049 
4.5% 9/15/42 2,819 2,512 
5.5% 9/1/41 2,304 2,320 
5.85% 5/1/17 1,621 1,680 
6.55% 5/1/37 10,296 11,592 
6.75% 7/1/18 1,581 1,724 
7.3% 7/1/38 3,823 4,597 
8.25% 4/1/19 10,176 11,771 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,526 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (e) 1,340 1,382 
UPCB Finance VI Ltd. 6.875% 1/15/22 (e) 1,125 1,187 
Viacom, Inc.:   
2.5% 9/1/18 714 722 
3.5% 4/1/17 219 222 
Virgin Media Secured Finance PLC 5.25% 1/15/26 (e) 7,830 7,830 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (e) 1,060 1,092 
WideOpenWest Finance LLC/WideOpenWest Capital Corp.:   
10.25% 7/15/19 4,820 5,019 
13.375% 10/15/19 1,200 1,269 
Ziggo Bond Finance BV 5.875% 1/15/25 (e) 1,120 1,109 
  260,283 
Multiline Retail - 0.0%   
JC Penney Corp., Inc.:   
5.65% 6/1/20 1,357 1,255 
5.75% 2/15/18 400 406 
7.4% 4/1/37 440 339 
8.125% 10/1/19 2,160 2,209 
  4,209 
Specialty Retail - 0.0%   
L Brands, Inc. 6.875% 11/1/35 1,800 1,899 
Penske Automotive Group, Inc. 5.5% 5/15/26 7,000 6,948 
Sally Holdings LLC 5.625% 12/1/25 1,575 1,648 
Sonic Automotive, Inc.:   
5% 5/15/23 195 192 
7% 7/15/22 885 929 
  11,616 
TOTAL CONSUMER DISCRETIONARY  461,599 
Consumer Durables & Apparel - 0.0%   
Multi Inds Cons Drbles & Apprl - 0.0%   
Aramark Services, Inc. 5.125% 1/15/24 (e) 4,620 4,793 
CONSUMER STAPLES - 1.0%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 14,051 14,299 
3.3% 2/1/23 15,133 15,554 
4.7% 2/1/36 14,328 15,482 
4.9% 2/1/46 16,386 18,261 
SABMiller Holdings, Inc. 2.45% 1/15/17 (e) 1,947 1,962 
  65,558 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC 6.625% 6/15/24 (e) 2,555 2,616 
C&S Group Enterprises LLC 5.375% 7/15/22 (e) 3,435 3,280 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,559 
3.875% 7/20/25 5,311 5,708 
ESAL GmbH 6.25% 2/5/23 (e) 8,395 8,143 
Kroger Co. 3.3% 1/15/21 6,000 6,307 
Minerva Luxembourg SA 7.75% 1/31/23 (e) 6,275 6,338 
Performance Food Group, Inc. 5.5% 6/1/24 (e) 1,050 1,063 
Rite Aid Corp.:   
6.75% 6/15/21 1,995 2,100 
6.875% 12/15/28 (e)(g) 3,505 4,031 
7.7% 2/15/27 3,085 3,710 
9.25% 3/15/20 1,330 1,403 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (e) 2,955 2,608 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,161 3,229 
3.3% 11/18/21 3,750 3,875 
  57,970 
Food Products - 0.2%   
Cargill, Inc. 6% 11/27/17 (e) 417 445 
ConAgra Foods, Inc. 1.9% 1/25/18 2,064 2,077 
Darling International, Inc. 5.375% 1/15/22 745 771 
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (e) 2,877 2,985 
JBS Investments GmbH:   
7.25% 4/3/24 (e) 3,605 3,691 
7.75% 10/28/20 (e) 2,850 2,985 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (e) 6,075 5,802 
5.875% 7/15/24 (e) 1,370 1,346 
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 5.875% 1/15/24 (e) 880 924 
Post Holdings, Inc.:   
6.75% 12/1/21 (e) 1,485 1,567 
7.75% 3/15/24 (e) 6,115 6,642 
8% 7/15/25 (e) 555 616 
TreeHouse Foods, Inc. 6% 2/15/24 (e) 1,065 1,121 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (e) 3,217 3,223 
2% 10/20/17 (e) 4,607 4,647 
  38,842 
Household Products - 0.0%   
Edgewell Personal Care Co. 5.5% 6/15/25 (e) 5,285 5,206 
Spectrum Brands Holdings, Inc.:   
5.75% 7/15/25 1,435 1,500 
6.375% 11/15/20 350 367 
6.625% 11/15/22 415 442 
  7,515 
Personal Products - 0.0%   
Prestige Brands, Inc.:   
5.375% 12/15/21 (e) 1,660 1,681 
6.375% 3/1/24 (e) 1,100 1,158 
Revlon Consumer Products Corp. 5.75% 2/15/21 6,290 6,290 
  9,129 
Tobacco - 0.3%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 5,091 
4% 1/31/24 3,123 3,420 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (e) 6,420 6,706 
4.25% 7/21/25 (e) 6,420 6,855 
Reynolds American, Inc.:   
2.3% 6/12/18 2,235 2,268 
3.25% 6/12/20 1,273 1,326 
4% 6/12/22 4,375 4,701 
4.45% 6/12/25 3,173 3,481 
4.85% 9/15/23 7,000 7,859 
5.7% 8/15/35 1,646 1,934 
5.85% 8/15/45 12,632 15,419 
7.25% 6/15/37 6,101 8,081 
Vector Group Ltd. 7.75% 2/15/21 (e) 1,285 1,340 
  68,481 
TOTAL CONSUMER STAPLES  247,495 
ENERGY - 2.6%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (e) 5,634 5,197 
5.35% 3/15/20 (e) 5,174 4,981 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 5,755 5,946 
6.5% 4/1/20 2,937 3,189 
Forum Energy Technologies, Inc. 6.25% 10/1/21 895 837 
Gulfmark Offshore, Inc. 6.375% 3/15/22 1,485 698 
Halliburton Co.:   
3.8% 11/15/25 3,469 3,508 
4.85% 11/15/35 3,029 3,109 
5% 11/15/45 4,151 4,245 
Hornbeck Offshore Services, Inc.:   
5% 3/1/21 25 15 
5.875% 4/1/20 2,439 1,482 
Noble Holding International Ltd.:   
4% 3/16/18 (g) 470 456 
5.95% 4/1/25 2,995 2,194 
6.95% 4/1/45 2,891 1,908 
Pacific Drilling V Ltd. 7.25% 12/1/17 (e) 2,355 977 
Summit Midstream Holdings LLC 7.5% 7/1/21 500 460 
Transocean, Inc.:   
5.55% 12/15/16 (g) 3,719 3,747 
6% 3/15/18 2,060 1,998 
6.875% 12/15/21 4,240 3,127 
  48,074 
Oil, Gas & Consumable Fuels - 2.4%   
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 1,680 1,536 
Alpha Natural Resources, Inc. 9.75% 4/15/18 (h) 1,099 8 
American Energy-Permian Basin LLC/AEPB Finance Corp.:   
7.125% 11/1/20 (e) 745 384 
7.1329% 8/1/19 (e)(g) 840 433 
7.375% 11/1/21 (e) 305 157 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 8,482 8,790 
5.55% 3/15/26 4,888 5,210 
6.375% 9/15/17 2,738 2,881 
6.6% 3/15/46 6,640 7,381 
Antero Resources Corp.:   
5.125% 12/1/22 7,435 7,119 
5.625% 6/1/23 (Reg. S) 1,835 1,789 
Antero Resources Finance Corp.:   
5.375% 11/1/21 1,790 1,745 
6% 12/1/20 760 754 
Blue Racer Mistream LLC/Blue Racer Finance Corp. 6.125% 11/15/22 (e) 5,000 4,500 
BP Capital Markets PLC:   
4.5% 10/1/20 1,106 1,211 
4.742% 3/11/21 4,210 4,672 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,250 2,210 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 910 890 
Cenovus Energy, Inc. 5.7% 10/15/19 5,158 5,279 
Chesapeake Energy Corp. 8% 12/15/22 (e) 3,360 2,705 
Citgo Holding, Inc. 10.75% 2/15/20 (e) 2,315 2,315 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,213 1,211 
3.3% 6/1/20 5,938 5,956 
4.5% 6/1/25 1,813 1,874 
Concho Resources, Inc.:   
5.5% 10/1/22 1,090 1,090 
5.5% 4/1/23 750 750 
CONSOL Energy, Inc. 8% 4/1/23 5,000 4,300 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 (e) 1,150 1,075 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 6,640 5,777 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,617 
2.7% 4/1/19 4,139 3,876 
3.875% 3/15/23 2,327 2,065 
4.95% 4/1/22 1,048 1,003 
5.6% 4/1/44 1,686 1,387 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 3,122 
Diamondback Energy, Inc. 7.625% 10/1/21 935 992 
Duke Energy Field Services 6.45% 11/3/36 (e) 3,753 3,143 
El Paso Natural Gas Co. 5.95% 4/15/17 1,260 1,297 
Empresa Nacional de Petroleo 4.375% 10/30/24 (e) 4,545 4,668 
Enable Midstream Partners LP:   
2.4% 5/15/19 1,656 1,509 
3.9% 5/15/24 1,746 1,479 
Enbridge Energy Partners LP:   
4.2% 9/15/21 6,629 6,671 
4.375% 10/15/20 4,351 4,390 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
6.375% 6/15/23 1,660 847 
7.75% 9/1/22 2,190 1,150 
9.375% 5/1/20 9,120 5,860 
Gibson Energy, Inc. 6.75% 7/15/21 (e) 160 159 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 305 249 
7% 6/15/23 1,420 1,161 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (e) 677 677 
Halcon Resources Corp. 8.625% 2/1/20 (e) 565 533 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (e) 1,265 1,202 
5.75% 10/1/25 (e) 6,625 6,393 
7.625% 4/15/21 (e) 4,201 4,338 
Kinder Morgan Energy Partners LP:   
2.65% 2/1/19 599 593 
3.45% 2/15/23 7,202 6,760 
3.5% 3/1/21 2,994 2,934 
6.55% 9/15/40 674 656 
Kinder Morgan, Inc.:   
3.05% 12/1/19 1,752 1,746 
5% 2/15/21 (e) 3,749 3,874 
Laredo Petroleum, Inc.:   
5.625% 1/15/22 1,740 1,627 
6.25% 3/15/23 1,650 1,559 
LINN Energy LLC/LINN Energy Finance Corp.:   
6.5% 5/15/19 (h) 3,390 542 
6.5% 9/15/21 (h) 720 112 
7.75% 2/1/21 (h) 20 3 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,431 
Motiva Enterprises LLC 5.75% 1/15/20 (e) 3,614 3,900 
MPLX LP 4% 2/15/25 962 863 
Nakilat, Inc. 6.067% 12/31/33 (e) 1,839 2,069 
Nexen, Inc. 6.2% 7/30/19 1,865 2,068 
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 3,975 3,925 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 547 
Parsley Energy LLC/Parsley 6.25% 6/1/24 (e) 3,860 3,928 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 (e) 2,850 2,725 
Peabody Energy Corp.:   
6.25% 11/15/21 (h) 2,010 281 
10% 3/15/22 (e)(h) 1,380 197 
Pemex Project Funding Master Trust 5.75% 3/1/18 21,220 22,101 
Petrobras Global Finance BV:   
3% 1/15/19 22,701 20,862 
3.25% 3/17/17 22,344 22,322 
4.375% 5/20/23 3,648 2,796 
4.875% 3/17/20 20,511 18,526 
5.625% 5/20/43 11,155 7,418 
7.25% 3/17/44 28,868 21,967 
Petrobras International Finance Co. Ltd.:   
3.5% 2/6/17 15,000 14,978 
5.375% 1/27/21 10,725 9,492 
5.75% 1/20/20 16,310 15,303 
5.875% 3/1/18 2,803 2,831 
7.875% 3/15/19 5,564 5,641 
Petroleos Mexicanos:   
3.5% 7/18/18 7,105 7,126 
3.5% 7/23/20 7,125 6,974 
3.5% 1/30/23 4,530 4,122 
4.5% 1/23/26 6,398 6,004 
4.875% 1/24/22 2,315 2,314 
4.875% 1/18/24 5,974 5,862 
5.5% 1/21/21 12,842 13,340 
5.5% 6/27/44 22,702 18,961 
5.625% 1/23/46 6,203 5,265 
6% 3/5/20 4,075 4,325 
6.375% 1/23/45 13,324 12,475 
6.5% 6/2/41 7,783 7,355 
6.875% 8/4/26 (e) 12,000 13,039 
8% 5/3/19 3,283 3,642 
Phillips 66 Co.:   
2.95% 5/1/17 1,527 1,551 
4.3% 4/1/22 5,338 5,715 
Phillips 66 Partners LP 2.646% 2/15/20 527 520 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,880 1,932 
Plains Exploration & Production Co.:   
6.5% 11/15/20 395 379 
6.625% 5/1/21 395 374 
6.75% 2/1/22 530 497 
6.875% 2/15/23 2,625 2,441 
Range Resources Corp. 4.875% 5/15/25 1,040 983 
Rice Energy, Inc.:   
6.25% 5/1/22 4,290 4,226 
7.25% 5/1/23 1,030 1,040 
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 7/15/22 635 548 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 2,585 2,611 
5.625% 3/1/25 6,075 6,075 
5.75% 5/15/24 8,830 8,874 
SemGroup Corp. 7.5% 6/15/21 2,610 2,473 
Shell International Finance BV 4.375% 5/11/45 6,392 6,591 
SM Energy Co.:   
5% 1/15/24 1,155 988 
5.625% 6/1/25 1,500 1,290 
6.125% 11/15/22 3,170 2,901 
6.5% 11/15/21 320 299 
6.5% 1/1/23 80 73 
Southeast Supply Header LLC 4.25% 6/15/24 (e) 4,893 4,733 
Southwestern Energy Co.:   
3.3% 1/23/18 2,491 2,404 
4.05% 1/23/20 4,519 4,045 
4.95% 1/23/25 3,470 2,906 
Spectra Energy Capital, LLC 5.65% 3/1/20 944 1,000 
Spectra Energy Partners LP:   
2.95% 6/15/16 1,059 1,059 
4.6% 6/15/21 1,296 1,377 
Suncor Energy, Inc. 6.1% 6/1/18 7,771 8,322 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 (e) 6,670 6,620 
6.25% 4/15/21 (e) 2,710 2,710 
6.375% 4/1/23 (e) 965 955 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
6.375% 8/1/22 570 566 
6.75% 3/15/24 (e) 7,000 6,913 
Teekay Corp.:   
8.5% 1/15/20 (e) 1,730 1,397 
8.5% 1/15/20 120 97 
Teine Energy Ltd. 6.875% 9/30/22 (e) 5,104 4,925 
Tesoro Logistics LP/Tesoro Logistics Finance Corp.:   
5.5% 10/15/19 990 1,030 
5.875% 10/1/20 235 241 
6.125% 10/15/21 700 723 
6.25% 10/15/22 2,750 2,839 
6.375% 5/1/24 1,185 1,221 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 3,494 
4.55% 6/24/24 19,902 17,364 
Western Gas Partners LP 5.375% 6/1/21 7,807 7,860 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 569 
Western Refining, Inc. 6.25% 4/1/21 550 496 
Whiting Petroleum Corp. 5.75% 3/15/21 565 479 
Williams Partners LP:   
3.6% 3/15/22 3,787 3,333 
4% 11/15/21 2,349 2,173 
4.3% 3/4/24 4,038 3,593 
4.5% 11/15/23 2,564 2,329 
WPX Energy, Inc.:   
7.5% 8/1/20 1,140 1,117 
8.25% 8/1/23 1,715 1,676 
  617,118 
TOTAL ENERGY  665,192 
FINANCIALS - 7.5%   
Banks - 2.9%   
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (e) 5,555 5,546 
4% 4/14/19 (e) 21,750 21,288 
5.5% 7/12/20 (e) 16,673 16,694 
5.75% 9/26/23 (e) 5,082 5,015 
6.369% 6/16/18 (e) 10,462 10,797 
6.5% 6/10/19 (e) 1,763 1,820 
Bank of America Corp.:   
1.35% 11/21/16 4,652 4,659 
2.6% 1/15/19 66,110 67,144 
2.65% 4/1/19 28,149 28,656 
3.875% 8/1/25 4,168 4,349 
3.95% 4/21/25 9,148 9,134 
4% 1/22/25 2,059 2,063 
4.2% 8/26/24 9,221 9,416 
4.25% 10/22/26 5,465 5,546 
4.45% 3/3/26 7,374 7,611 
5.75% 12/1/17 6,075 6,426 
6.5% 8/1/16 1,010 1,019 
Barclays PLC:   
2.75% 11/8/19 4,598 4,592 
4.375% 1/12/26 8,817 8,983 
BB&T Corp. 3.95% 3/22/22 1,495 1,593 
Capital One NA 2.95% 7/23/21 7,402 7,523 
CIT Group, Inc.:   
5% 8/15/22 4,195 4,295 
5% 8/1/23 2,755 2,810 
5.25% 3/15/18 3,215 3,319 
5.375% 5/15/20 2,805 2,938 
5.5% 2/15/19 (e) 5,285 5,523 
Citigroup, Inc.:   
1.3% 11/15/16 5,354 5,359 
1.75% 5/1/18 18,342 18,345 
1.85% 11/24/17 30,961 31,043 
2.4% 2/18/20 10,000 10,058 
2.5% 7/29/19 32,442 32,868 
2.55% 4/8/19 14,645 14,862 
4.05% 7/30/22 14,700 15,323 
4.3% 11/20/26 12,000 12,144 
Citizens Bank NA 2.55% 5/13/21 2,268 2,264 
Citizens Financial Group, Inc. 4.15% 9/28/22 (e) 6,650 6,850 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 6,421 6,348 
3.75% 3/26/25 6,420 6,283 
3.8% 9/15/22 9,940 10,014 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,301 
Discover Bank 7% 4/15/20 3,075 3,472 
Fifth Third Bancorp:   
3.5% 3/15/22 529 550 
4.5% 6/1/18 418 438 
5.45% 1/15/17 1,848 1,894 
HBOS PLC 6.75% 5/21/18 (e) 408 439 
HSBC Holdings PLC 4.25% 3/14/24 2,900 2,941 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 2,964 
Huntington National Bank:   
2% 6/30/18 13,000 13,043 
2.2% 4/1/19 2,700 2,706 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (e) 4,062 3,849 
5.71% 1/15/26 (e) 9,946 9,778 
JPMorgan Chase & Co.:   
3.875% 9/10/24 13,647 13,928 
4.125% 12/15/26 82,524 85,438 
KeyCorp. 5.1% 3/24/21 519 576 
Rabobank Nederland 4.375% 8/4/25 9,821 10,221 
Regions Bank 6.45% 6/26/37 10,147 12,051 
Regions Financial Corp.:   
2% 5/15/18 7,154 7,152 
3.2% 2/8/21 4,117 4,161 
Royal Bank of Canada 4.65% 1/27/26 7,579 7,915 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 49,264 48,666 
6% 12/19/23 13,834 14,422 
6.1% 6/10/23 7,367 7,711 
6.125% 12/15/22 35,362 37,531 
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17 5,250 5,255 
SunTrust Banks, Inc.:   
2.35% 11/1/18 2,500 2,529 
3.5% 1/20/17 4,123 4,172 
Wells Fargo & Co.:   
4.1% 6/3/26 13,000 13,706 
4.48% 1/16/24 5,192 5,613 
  744,942 
Capital Markets - 1.6%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,219 7,027 
4.25% 2/15/24 2,760 2,852 
Argos Merger Sub, Inc. 7.125% 3/15/23 (e) 8,000 8,100 
Credit Suisse AG 6% 2/15/18 12,547 13,263 
Deutsche Bank AG 4.5% 4/1/25 14,192 13,166 
Deutsche Bank AG London Branch 2.85% 5/10/19 13,520 13,526 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 16,000 
2.375% 1/22/18 10,000 10,108 
2.55% 10/23/19 70,000 70,960 
2.6% 4/23/20 1,300 1,313 
2.625% 1/31/19 25,103 25,526 
3.75% 2/25/26 15,000 15,431 
5.95% 1/18/18 4,242 4,525 
6.15% 4/1/18 3,466 3,736 
6.25% 9/1/17 19,047 20,107 
Lazard Group LLC:   
4.25% 11/14/20 4,447 4,670 
6.85% 6/15/17 1,063 1,115 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 4,204 4,450 
Morgan Stanley:   
1.875% 1/5/18 13,596 13,643 
2.125% 4/25/18 16,388 16,516 
2.5% 1/24/19 97,536 99,048 
4.875% 11/1/22 7,232 7,846 
5.625% 9/23/19 453 502 
5.95% 12/28/17 250 266 
Peachtree Corners Funding Trust 3.976% 2/15/25 (e) 7,000 7,053 
UBS AG Stamford Branch:   
1.8% 3/26/18 9,485 9,524 
2.375% 8/14/19 10,750 10,902 
UBS Group Funding Ltd. 4.125% 9/24/25 (e) 7,279 7,465 
  408,640 
Consumer Finance - 1.2%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.75% 5/15/17 7,625 7,625 
3.75% 5/15/19 2,125 2,154 
3.95% 2/1/22 5,000 4,995 
4.5% 5/15/21 2,325 2,392 
5% 10/1/21 6,860 7,186 
Ally Financial, Inc.:   
3.5% 1/27/19 2,025 2,020 
3.75% 11/18/19 2,000 2,000 
4.25% 4/15/21 10,920 10,947 
4.625% 5/19/22 1,365 1,384 
4.75% 9/10/18 2,295 2,358 
5.75% 11/20/25 3,425 3,468 
6.25% 12/1/17 1,800 1,872 
8% 12/31/18 19,035 20,772 
8% 11/1/31 22,391 26,309 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,510 
Discover Financial Services:   
3.85% 11/21/22 1,983 2,009 
3.95% 11/6/24 15,000 15,230 
5.2% 4/27/22 2,146 2,320 
6.45% 6/12/17 10,512 10,971 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 32,000 32,060 
2.375% 3/12/19 17,400 17,520 
2.875% 10/1/18 8,500 8,673 
3% 6/12/17 5,430 5,506 
5% 5/15/18 8,500 8,991 
5.875% 8/2/21 10,438 11,869 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,295 
Hyundai Capital America:   
1.45% 2/6/17 (e) 5,366 5,365 
1.875% 8/9/16 (e) 1,338 1,340 
2.125% 10/2/17 (e) 2,063 2,073 
2.55% 2/6/19 (e) 5,366 5,434 
2.875% 8/9/18 (e) 2,511 2,556 
Navient Corp.:   
5% 10/26/20 1,140 1,066 
5.875% 10/25/24 7,190 6,147 
SLM Corp.:   
4.875% 6/17/19 5,955 5,821 
5.5% 1/15/19 2,150 2,150 
5.5% 1/25/23 4,610 3,965 
6.125% 3/25/24 9,585 8,444 
7.25% 1/25/22 5,140 4,947 
8% 3/25/20 5,930 6,093 
8.45% 6/15/18 9,890 10,656 
Synchrony Financial:   
1.875% 8/15/17 1,300 1,299 
3% 8/15/19 1,910 1,931 
3.75% 8/15/21 7,084 7,313 
4.25% 8/15/24 2,903 3,001 
  302,037 
Diversified Financial Services - 0.0%   
Herc Spinoff Escrow Issuer LLC/Herc Spinoff Escrow Issuer Corp.:   
7.5% 6/1/22 (e)(i) 1,250 1,256 
7.75% 6/1/24 (e)(i) 1,250 1,253 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,203 
5.875% 2/1/22 2,725 2,507 
6% 8/1/20 2,230 2,158 
MSCI, Inc. 5.75% 8/15/25 (e) 870 916 
RegionalCare Hospital Partners Holdings, Inc. 8.25% 5/1/23 (e) 1,645 1,693 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (e) 3,080 3,342 
  15,328 
Insurance - 0.6%   
ACE INA Holdings, Inc. 2.875% 11/3/22 4,232 4,348 
AIA Group Ltd. 2.25% 3/11/19 (e) 1,203 1,208 
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (e) 5,010 4,972 
American International Group, Inc.:   
3.3% 3/1/21 3,455 3,544 
3.75% 7/10/25 11,144 11,190 
4.875% 6/1/22 10,692 11,679 
5.85% 1/16/18 12,000 12,799 
Aon Corp. 5% 9/30/20 107 118 
Five Corners Funding Trust 4.419% 11/15/23 (e) 8,055 8,550 
Great-West Life & Annuity Insurance Co. 3.1641% 5/16/46 (e)(g) 2,008 1,772 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 595 613 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (e) 1,675 1,642 
HUB International Ltd. 9.25% 2/15/21 (e) 940 978 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (e) 2,655 2,779 
5% 6/1/21 (e) 6,063 6,620 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,792 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (e) 7,265 6,630 
Metropolitan Life Global Funding I 1.875% 6/22/18 (e) 6,476 6,525 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e) 3,585 4,424 
Pacific Life Insurance Co. 9.25% 6/15/39 (e) 3,048 4,352 
Pacific LifeCorp:   
5.125% 1/30/43 (e) 6,960 7,242 
6% 2/10/20 (e) 8,215 9,113 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 796 
4.5% 11/16/21 1,461 1,606 
7.375% 6/15/19 1,880 2,166 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (e) 6,853 7,434 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (e) 1,569 1,594 
4.125% 11/1/24 (e) 2,275 2,342 
Unum Group:   
3.875% 11/5/25 6,934 6,881 
5.625% 9/15/20 2,879 3,172 
5.75% 8/15/42 10,079 10,692 
7.125% 9/30/16 1,802 1,835 
  153,408 
Real Estate Investment Trusts - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,142 
4.6% 4/1/22 1,705 1,807 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,607 
American Tower Corp. 2.8% 6/1/20 6,000 6,059 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,593 
Camden Property Trust 2.95% 12/15/22 2,154 2,146 
CommonWealth REIT 5.875% 9/15/20 991 1,079 
Corporate Office Properties LP:   
3.7% 6/15/21 3,614 3,588 
5% 7/1/25 3,069 3,154 
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 205 208 
DDR Corp.:   
3.625% 2/1/25 3,010 2,949 
4.25% 2/1/26 2,564 2,623 
4.625% 7/15/22 3,877 4,125 
4.75% 4/15/18 4,595 4,803 
7.5% 4/1/17 4,966 5,200 
Duke Realty LP:   
3.625% 4/15/23 2,844 2,902 
3.75% 12/1/24 2,012 2,049 
3.875% 10/15/22 4,799 4,972 
4.375% 6/15/22 3,202 3,406 
5.95% 2/15/17 291 300 
6.75% 3/15/20 1,161 1,329 
8.25% 8/15/19 1,838 2,170 
Equity One, Inc.:   
3.75% 11/15/22 7,300 7,286 
6% 9/15/17 666 697 
ERP Operating LP 5.75% 6/15/17 637 666 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,565 
HCP, Inc.:   
3.15% 8/1/22 8,000 7,805 
3.875% 8/15/24 11,000 10,887 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,403 
4% 6/1/25 4,568 4,673 
4.125% 4/1/19 11,300 11,860 
4.7% 9/15/17 744 770 
HRPT Properties Trust:   
6.25% 6/15/17 726 741 
6.65% 1/15/18 490 512 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,916 
MPT Operating Partnership LP/MPT Finance Corp. 6.375% 3/1/24 1,545 1,653 
Omega Healthcare Investors, Inc.:   
4.5% 1/15/25 1,769 1,720 
4.5% 4/1/27 21,587 20,632 
4.95% 4/1/24 1,785 1,814 
5.25% 1/15/26 7,807 8,013 
5.875% 3/15/24 3,200 3,350 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,190 
5% 12/15/23 980 1,006 
The GEO Group, Inc. 6% 4/15/26 730 737 
Weingarten Realty Investors 3.375% 10/15/22 1,098 1,100 
WP Carey, Inc. 4% 2/1/25 7,547 7,231 
  170,438 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 6,445 6,465 
4.1% 10/1/24 5,444 5,461 
4.55% 10/1/29 5,444 5,469 
4.95% 4/15/18 4,256 4,446 
5.7% 5/1/17 268 277 
CBRE Group, Inc.:   
5% 3/15/23 715 734 
5.25% 3/15/25 2,580 2,683 
Digital Realty Trust LP:   
3.4% 10/1/20 6,817 6,990 
3.95% 7/1/22 4,317 4,440 
4.75% 10/1/25 4,899 5,122 
5.25% 3/15/21 2,876 3,175 
Essex Portfolio LP 5.5% 3/15/17 3,414 3,514 
Howard Hughes Corp. 6.875% 10/1/21 (e) 1,690 1,715 
Kennedy-Wilson, Inc. 5.875% 4/1/24 795 777 
Liberty Property LP:   
3.375% 6/15/23 2,951 2,929 
4.125% 6/15/22 2,746 2,869 
4.75% 10/1/20 6,595 7,124 
5.5% 12/15/16 2,022 2,064 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,037 4,041 
3.15% 5/15/23 6,708 6,001 
4.5% 4/18/22 1,689 1,695 
7.75% 8/15/19 2,149 2,420 
Mid-America Apartments LP:   
4% 11/15/25 1,682 1,743 
4.3% 10/15/23 1,086 1,149 
Post Apartment Homes LP 3.375% 12/1/22 1,196 1,193 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (e) 1,760 1,813 
Regency Centers LP 5.875% 6/15/17 1,084 1,129 
Tanger Properties LP:   
3.75% 12/1/24 3,781 3,818 
3.875% 12/1/23 2,341 2,396 
6.125% 6/1/20 7,035 7,953 
Ventas Realty LP:   
1.25% 4/17/17 2,655 2,651 
1.55% 9/26/16 921 922 
3.125% 6/15/23 1,874 1,870 
3.5% 2/1/25 2,295 2,296 
4.125% 1/15/26 2,088 2,185 
4.375% 2/1/45 1,098 1,018 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 3,611 3,615 
4% 4/30/19 1,771 1,852 
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 510 474 
  118,488 
Thrifts & Mortgage Finance - 0.0%   
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (e) 7,755 8,085 
TOTAL FINANCIALS  1,921,366 
HEALTH CARE - 1.2%   
Biotechnology - 0.1%   
AbbVie, Inc.:   
1.75% 11/6/17 5,738 5,750 
3.6% 5/14/25 6,397 6,555 
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (e) 1,225 1,078 
Amgen, Inc. 1.25% 5/22/17 11,041 11,045 
  24,428 
Health Care Providers & Services - 0.7%   
Acadia Healthcare Co., Inc. 5.625% 2/15/23 680 691 
Centene Corp.:   
5.625% 2/15/21 (e) 1,985 2,064 
6.125% 2/15/24 (e) 1,290 1,359 
Community Health Systems, Inc.:   
5.125% 8/1/21 840 839 
6.875% 2/1/22 15,500 13,321 
DaVita HealthCare Partners, Inc.:   
5% 5/1/25 2,315 2,295 
5.125% 7/15/24 2,535 2,569 
5.75% 8/15/22 1,215 1,273 
Express Scripts Holding Co.:   
3.9% 2/15/22 1,585 1,660 
4.75% 11/15/21 14,348 15,811 
HCA Holdings, Inc.:   
3.75% 3/15/19 9,592 9,880 
4.25% 10/15/19 3,850 3,994 
4.75% 5/1/23 305 311 
5% 3/15/24 1,755 1,801 
5.375% 2/1/25 9,835 9,983 
5.875% 3/15/22 10,110 10,919 
5.875% 5/1/23 2,555 2,705 
5.875% 2/15/26 5,470 5,661 
6.25% 2/15/21 1,415 1,514 
6.5% 2/15/20 20,898 22,988 
7.5% 2/15/22 3,250 3,685 
HealthSouth Corp.:   
5.125% 3/15/23 800 780 
5.75% 11/1/24 5,295 5,368 
5.75% 9/15/25 6,165 6,227 
McKesson Corp. 2.284% 3/15/19 5,400 5,475 
Medco Health Solutions, Inc. 4.125% 9/15/20 3,728 3,984 
Molina Healthcare, Inc. 5.375% 11/15/22 (e) 595 594 
Quintiles Transnational Corp. 4.875% 5/15/23 (e) 840 851 
Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21 625 648 
Team Health, Inc. 7.25% 12/15/23 (e) 2,500 2,681 
Tenet Healthcare Corp.:   
4.375% 10/1/21 2,040 2,025 
4.5% 4/1/21 1,030 1,036 
5% 3/1/19 16,690 16,169 
6% 10/1/20 1,145 1,205 
6.75% 6/15/23 7,355 6,914 
8% 8/1/20 6,000 6,131 
8.125% 4/1/22 4,590 4,619 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 2,324 2,453 
3.75% 7/15/25 6,406 6,898 
Vizient, Inc. 10.375% 3/1/24 (e) 2,055 2,199 
WellPoint, Inc. 1.875% 1/15/18 161 162 
  191,742 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,499 1,499 
2.4% 2/1/19 945 956 
  2,455 
Pharmaceuticals - 0.4%   
Actavis Funding SCS:   
1.3% 6/15/17 10,935 10,901 
2.45% 6/15/19 3,241 3,266 
3% 3/12/20 5,472 5,544 
3.45% 3/15/22 9,527 9,673 
Endo Finance LLC 5.875% 1/15/23 (e) 350 302 
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:   
6% 7/15/23 (e) 4,625 4,049 
6% 2/1/25 (e) 700 607 
Forest Laboratories, Inc. 4.375% 2/1/19 (e) 2,160 2,269 
Horizon Pharma PLC 6.625% 5/1/23 200 185 
JLL/Delta Dutch Newco BV 7.5% 2/1/22 (e) 3,675 3,767 
JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (e)(g) 2,551 2,545 
Mylan N.V.:   
2.6% 6/9/19 (e) 3,556 3,552 
3.25% 6/9/21 (e) 7,274 7,266 
Mylan, Inc. 1.35% 11/29/16 1,757 1,755 
Perrigo Co. PLC:   
1.3% 11/8/16 1,437 1,433 
2.3% 11/8/18 1,537 1,530 
Perrigo Finance PLC:   
3.5% 12/15/21 1,350 1,365 
3.9% 12/15/24 2,011 1,976 
4.9% 12/15/44 883 815 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (e) 6,565 5,794 
5.5% 3/1/23 (e) 1,750 1,453 
5.625% 12/1/21 (e) 810 684 
5.875% 5/15/23 (e) 8,150 6,866 
6.125% 4/15/25 (e) 10,225 8,551 
6.75% 8/15/18 (e) 3,620 3,539 
7.5% 7/15/21 (e) 4,615 4,177 
VPI Escrow Corp. 6.375% 10/15/20 (e) 1,445 1,286 
Zoetis, Inc. 1.875% 2/1/18 898 897 
  96,047 
TOTAL HEALTH CARE  314,672 
INDUSTRIALS - 0.7%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (e) 3,650 4,085 
DigitalGlobe, Inc. 5.25% 2/1/21 (e) 3,120 2,863 
TransDigm, Inc.:   
6% 7/15/22 1,155 1,175 
6.375% 6/15/26 (e)(i) 1,890 1,892 
6.5% 5/15/25 7,335 7,445 
  17,460 
Airlines - 0.0%   
Continental Airlines, Inc.:   
pass-thru trust certificates:   
8.388% 5/1/22 1 1 
9.798% 4/1/21 1,859 2,035 
6.125% 4/29/18 415 436 
6.648% 3/15/19 560 574 
6.9% 7/2/19 191 195 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 1,178 1,214 
8.36% 1/20/19 750 792 
  5,247 
Building Products - 0.1%   
Builders FirstSource, Inc. 10.75% 8/15/23 (e) 5,000 5,438 
GCP Applied Technologies, Inc. 9.5% 2/1/23 (e) 1,800 1,998 
HD Supply, Inc.:   
5.25% 12/15/21 (e) 1,985 2,089 
5.75% 4/15/24 (e) 3,090 3,214 
HMAN Finance Sub Corp. 6.375% 7/15/22 (e) 510 460 
Nortek, Inc. 8.5% 4/15/21 925 965 
Shea Homes Ltd. Partnership/Corp.:   
5.875% 4/1/23 (e) 440 442 
6.125% 4/1/25 (e) 440 440 
USG Corp.:   
5.875% 11/1/21 (e) 255 268 
6.3% 11/15/16 170 173 
7.875% 3/30/20 (e) 905 941 
9.75% 1/15/18 (g) 975 1,090 
  17,518 
Commercial Services & Supplies - 0.2%   
ADT Corp. 6.25% 10/15/21 1,140 1,194 
APX Group, Inc.:   
6.375% 12/1/19 9,020 8,930 
7.875% 12/1/22 (e) 9,005 9,050 
8.75% 12/1/20 20,465 18,623 
Cenveo Corp. 6% 8/1/19 (e) 730 599 
Covanta Holding Corp.:   
5.875% 3/1/24 2,865 2,851 
6.375% 10/1/22 3,265 3,371 
7.25% 12/1/20 775 804 
Garda World Security Corp.:   
7.25% 11/15/21 (e) 3,295 2,677 
7.25% 11/15/21 (e) 525 427 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (e) 215 207 
TMS International Corp. 7.625% 10/15/21 (e) 255 179 
  48,912 
Machinery - 0.0%   
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (e) 475 401 
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,481 1,487 
Schaeffler Finance BV:   
4.25% 5/15/21 (e) 1,760 1,789 
4.75% 5/15/21 (e) 3,160 3,260 
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (e) 950 603 
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 455 483 
  8,023 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (e) 630 515 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (e) 3,065 1,293 
8.125% 2/15/19 975 363 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (e) 700 443 
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 (h) 755 136 
  2,750 
Professional Services - 0.0%   
FTI Consulting, Inc. 6% 11/15/22 2,405 2,537 
Road & Rail - 0.0%   
Hertz Corp.:   
5.875% 10/15/20 1,120 1,135 
6.25% 10/15/22 800 795 
Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (e) 1,245 853 
  2,783 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.125% 1/15/18 2,759 2,756 
2.625% 9/4/18 6,100 6,076 
3.375% 6/1/21 3,689 3,722 
3.75% 2/1/22 6,505 6,600 
3.875% 4/1/21 5,301 5,470 
4.25% 9/15/24 4,566 4,598 
4.75% 3/1/20 4,617 4,929 
Aircastle Ltd. 5.5% 2/15/22 1,340 1,414 
Ashtead Capital, Inc. 5.625% 10/1/24 (e) 1,825 1,843 
International Lease Finance Corp.:   
5.875% 8/15/22 4,385 4,785 
6.25% 5/15/19 3,035 3,278 
7.125% 9/1/18 (e) 5,560 6,074 
8.25% 12/15/20 4,165 4,899 
8.625% 1/15/22 3,910 4,741 
NES Rentals Holdings, Inc. 7.875% 5/1/18 (e) 365 354 
United Rentals North America, Inc.:   
4.625% 7/15/23 1,220 1,211 
5.5% 7/15/25 975 957 
  63,707 
TOTAL INDUSTRIALS  168,937 
INFORMATION TECHNOLOGY - 0.4%   
Communications Equipment - 0.1%   
Hughes Satellite Systems Corp. 6.5% 6/15/19 5,408 5,800 
Lucent Technologies, Inc.:   
6.45% 3/15/29 5,541 5,873 
6.5% 1/15/28 1,110 1,154 
  12,827 
Electronic Equipment & Components - 0.1%   
Anixter International, Inc. 5.625% 5/1/19 705 754 
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (e)(i) 13,573 13,753 
5.45% 6/15/23 (e)(i) 2,055 2,089 
6.02% 6/15/26 (e)(i) 1,070 1,080 
Micron Technology, Inc. 7.5% 9/15/23 (e) 1,750 1,838 
Sanmina Corp. 4.375% 6/1/19 (e) 1,295 1,321 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,087 1,094 
6.55% 10/1/17 815 868 
  22,797 
Internet Software & Services - 0.0%   
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 885 938 
Rackspace Hosting, Inc. 6.5% 1/15/24 (e) 6,780 6,780 
VeriSign, Inc. 4.625% 5/1/23 1,225 1,240 
  8,958 
IT Services - 0.0%   
CDW LLC/CDW Finance Corp. 6% 8/15/22 1,670 1,754 
Everi Payments, Inc. 10% 1/15/22 565 466 
Xerox Corp. 2.95% 3/15/17 947 953 
  3,173 
Semiconductors & Semiconductor Equipment - 0.0%   
Entegris, Inc. 6% 4/1/22 (e) 365 377 
Micron Technology, Inc.:   
5.25% 1/15/24 (e) 2,494 2,095 
5.5% 2/1/25 1,695 1,420 
5.875% 2/15/22 880 801 
NXP BV/NXP Funding LLC 5.75% 2/15/21 (e) 1,595 1,661 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (e) 2,675 2,809 
  9,163 
Software - 0.1%   
Activision Blizzard, Inc. 6.125% 9/15/23 (e) 1,255 1,366 
Blue Coat Systems, Inc. 8.375% 6/1/23 (e) 7,710 8,279 
BMC Software Finance, Inc. 8.125% 7/15/21 (e) 3,685 2,718 
BMC Software, Inc. 7.25% 6/1/18 1,875 1,734 
Boxer Parent Co., Inc. 9% 10/15/19 pay-in-kind (e)(g) 2,280 1,659 
Open Text Corp. 5.875% 6/1/26 (e) 5,700 5,700 
Parametric Technology Corp. 6% 5/15/24 585 609 
  22,065 
Technology Hardware, Storage & Peripherals - 0.1%   
Apple, Inc. 4.375% 5/13/45 6,392 6,733 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (e) 6,577 6,757 
4.9% 10/15/25 (e) 6,577 6,727 
6.35% 10/15/45 (e) 6,577 6,283 
Western Digital Corp. 10.5% 4/1/24 (e) 2,750 2,846 
  29,346 
TOTAL INFORMATION TECHNOLOGY  108,329 
MATERIALS - 0.4%   
Chemicals - 0.1%   
Blue Cube Spinco, Inc.:   
9.75% 10/15/23 (e) 1,790 2,067 
10% 10/15/25 (e) 960 1,121 
Evolution Escrow Issuer LLC 7.5% 3/15/22 (e) 2,852 2,125 
Kraton Polymers LLC/Kraton Polymers Capital Corp. 10.5% 4/15/23 (e) 255 270 
LSB Industries, Inc. 7.75% 8/1/19 425 434 
Momentive Performance Materials, Inc. 3.88% 10/24/21 3,515 2,812 
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (h) 2,375 0 
Platform Specialty Products Corp.:   
6.5% 2/1/22 (e) 3,125 2,775 
10.375% 5/1/21 (e) 480 490 
PolyOne Corp. 5.25% 3/15/23 1,360 1,384 
Tronox Finance LLC 6.375% 8/15/20 2,105 1,621 
  15,099 
Construction Materials - 0.0%   
CEMEX Finance LLC 6% 4/1/24 (e) 1,600 1,560 
Prince Mineral Holding Corp. 11.5% 12/15/19 (e) 405 352 
  1,912 
Containers & Packaging - 0.1%   
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (e)(g) 914 905 
Ardagh Packaging Finance PLC 9.125% 10/15/20 (e) 5,685 5,958 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
6.25% 1/31/19 (e) 680 689 
6.75% 1/31/21 (e) 785 791 
7% 11/15/20 (e) 126 123 
7.25% 5/15/24 (e) 3,410 3,478 
9.125% 10/15/20 (e) 690 723 
Beverage Packaging Holdings II SA (Luxembourg) 5.625% 12/15/16 (e) 12,285 12,270 
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (e) 2,135 1,911 
Owens-Illinois, Inc. 7.8% 5/15/18 350 382 
Sealed Air Corp. 6.5% 12/1/20 (e) 1,065 1,214 
  28,444 
Metals & Mining - 0.2%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (e)(g) 2,727 2,850 
6.75% 10/19/75 (e)(g) 6,773 7,044 
Bluescope Steel Ltd./Bluescope Steel Finance:   
6.5% 5/15/21 (e) 585 605 
7.125% 5/1/18 (e) 255 263 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (e) 7,189 7,481 
4.5% 8/13/23 (Reg. S) 8,600 8,863 
4.875% 11/4/44 (e) 1,735 1,645 
4.875% 11/4/44 (Reg. S) 4,000 3,793 
JMC Steel Group, Inc. 8.25% 3/15/18 (e) 5,635 5,748 
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (e) 1,085 1,115 
New Gold, Inc.:   
6.25% 11/15/22 (e) 615 583 
7% 4/15/20 (e) 345 346 
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (e) 595 567 
Teck Resources Ltd.:   
8% 6/1/21 (e)(i) 1,255 1,280 
8.5% 6/1/24 (e)(i) 1,255 1,286 
Walter Energy, Inc. 9.5% 10/15/19 (e)(h) 800 0 
  43,469 
TOTAL MATERIALS  88,924 
TELECOMMUNICATION SERVICES - 1.3%   
Diversified Telecommunication Services - 0.9%   
Altice Financing SA:   
6.5% 1/15/22 (e) 2,300 2,340 
6.625% 2/15/23 (e) 2,620 2,620 
7.5% 5/15/26 (e) 3,625 3,616 
Altice Finco SA:   
8.125% 1/15/24 (e) 315 312 
9.875% 12/15/20 (e) 585 633 
AT&T, Inc.:   
2.45% 6/30/20 4,383 4,404 
3.6% 2/17/23 9,655 9,905 
4.75% 5/15/46 5,474 5,428 
4.8% 6/15/44 13,836 13,845 
BellSouth Capital Funding Corp. 7.875% 2/15/30 68 85 
Broadview Networks Holdings, Inc. 10.5% 11/15/17 1,908 1,674 
CenturyLink, Inc.:   
5.15% 6/15/17 440 451 
6% 4/1/17 3,101 3,194 
6.15% 9/15/19 3,331 3,493 
Embarq Corp.:   
7.082% 6/1/16 3,728 3,728 
7.995% 6/1/36 37,546 37,508 
FairPoint Communications, Inc. 8.75% 8/15/19 (e) 1,340 1,290 
Frontier Communications Corp.:   
8.875% 9/15/20 (e) 850 903 
10.5% 9/15/22 (e) 1,400 1,458 
GCI, Inc. 6.875% 4/15/25 1,350 1,360 
Intelsat Luxembourg SA:   
7.75% 6/1/21 4,960 1,476 
8.125% 6/1/23 1,090 324 
Level 3 Communications, Inc. 5.75% 12/1/22 1,295 1,324 
Level 3 Financing, Inc.:   
5.375% 8/15/22 2,110 2,142 
6.125% 1/15/21 1,405 1,468 
Lynx I Corp. 5.375% 4/15/21 (e) 693 721 
Lynx II Corp. 6.375% 4/15/23 (e) 652 673 
Numericable Group SA:   
6% 5/15/22 (e) 13,815 13,753 
6.25% 5/15/24 (e) 660 642 
7.375% 5/1/26 (e) 6,280 6,335 
Sable International Finance Ltd. 6.875% 8/1/22 (e) 1,915 1,958 
SBA Communications Corp. 5.625% 10/1/19 1,870 1,935 
Sprint Capital Corp.:   
6.875% 11/15/28 3,795 2,832 
6.9% 5/1/19 8,975 8,369 
8.75% 3/15/32 1,500 1,215 
Verizon Communications, Inc.:   
2.625% 2/21/20 8,000 8,195 
4.5% 9/15/20 38,502 42,231 
5.012% 8/21/54 19,396 20,047 
6.25% 4/1/37 3,729 4,460 
Virgin Media Finance PLC 6% 10/15/24 (e) 4,040 4,101 
Wind Acquisition Finance SA:   
4.75% 7/15/20 (e) 1,670 1,637 
7.375% 4/23/21 (e) 575 544 
  224,629 
Wireless Telecommunication Services - 0.4%   
America Movil S.A.B. de CV 2.375% 9/8/16 307 308 
Clearwire Communications LLC/Clearwire Finance, Inc. 14.75% 12/1/16 (e) 3,050 3,225 
Digicel Group Ltd.:   
6% 4/15/21 (e) 2,805 2,485 
7.125% 4/1/22 (e) 1,600 1,234 
8.25% 9/30/20 (e) 4,020 3,487 
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 2,315 1,487 
7.5% 4/1/21 3,895 2,649 
8% 2/15/24 (e) 14,130 14,395 
Neptune Finco Corp.:   
6.625% 10/15/25 (e) 1,460 1,559 
10.125% 1/15/23 (e) 7,200 8,064 
10.875% 10/15/25 (e) 4,485 5,102 
Sprint Communications, Inc.:   
6% 12/1/16 3,780 3,823 
6% 11/15/22 13,365 10,024 
8.375% 8/15/17 4,665 4,799 
9% 11/15/18 (e) 6,595 7,015 
Sprint Corp.:   
7.125% 6/15/24 4,965 3,736 
7.25% 9/15/21 2,575 2,086 
7.875% 9/15/23 2,950 2,301 
T-Mobile U.S.A., Inc.:   
5.25% 9/1/18 695 711 
6% 3/1/23 2,590 2,700 
6% 4/15/24 2,980 3,105 
6.25% 4/1/21 565 592 
6.464% 4/28/19 420 427 
6.5% 1/15/24 7,235 7,678 
6.5% 1/15/26 2,425 2,564 
6.542% 4/28/20 1,475 1,524 
6.625% 4/1/23 15,005 15,905 
6.633% 4/28/21 1,335 1,403 
6.731% 4/28/22 985 1,033 
6.836% 4/28/23 385 408 
  115,829 
TOTAL TELECOMMUNICATION SERVICES  340,458 
UTILITIES - 1.2%   
Electric Utilities - 0.7%   
AmerenUE 6.4% 6/15/17 4,026 4,245 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (e) 3,934 4,433 
6.4% 9/15/20 (e) 10,769 12,248 
Edison International 3.75% 9/15/17 3,355 3,453 
Entergy Corp. 4% 7/15/22 6,500 6,876 
Eversource Energy 1.45% 5/1/18 1,511 1,504 
Exelon Corp. 3.95% 6/15/25 5,966 6,258 
FirstEnergy Corp.:   
2.75% 3/15/18 10,020 10,092 
4.25% 3/15/23 23,348 24,100 
7.375% 11/15/31 31,788 38,732 
FirstEnergy Solutions Corp. 6.05% 8/15/21 9,830 10,546 
InterGen NV 7% 6/30/23 (e) 9,075 6,421 
IPALCO Enterprises, Inc. 3.45% 7/15/20 10,457 10,562 
LG&E and KU Energy LLC 3.75% 11/15/20 745 787 
Nevada Power Co.:   
6.5% 5/15/18 5,100 5,597 
6.5% 8/1/18 1,191 1,317 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (e) 4,502 4,828 
NV Energy, Inc. 6.25% 11/15/20 1,666 1,951 
Pennsylvania Electric Co. 6.05% 9/1/17 450 473 
PG&E Corp. 2.4% 3/1/19 791 803 
Progress Energy, Inc. 4.4% 1/15/21 336 365 
RJS Power Holdings LLC 4.625% 7/15/19 (e) 2,150 1,978 
TECO Finance, Inc. 5.15% 3/15/20 2,029 2,221 
West Penn Power Co. 5.95% 12/15/17 (e) 10,500 11,113 
  170,903 
Gas Utilities - 0.0%   
AmeriGas Finance LLC/AmeriGas Finance Corp. 7% 5/20/22 1,785 1,881 
Southern Natural Gas Co. 5.9% 4/1/17 (e) 260 267 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,753 1,762 
Texas Eastern Transmission LP 6% 9/15/17 (e) 948 995 
  4,905 
Independent Power and Renewable Electricity Producers - 0.3%   
Calpine Corp.:   
5.25% 6/1/26 (e) 6,000 5,993 
5.375% 1/15/23 1,475 1,441 
5.75% 1/15/25 635 614 
6% 1/15/22 (e) 1,115 1,169 
7.875% 1/15/23 (e) 2,038 2,168 
Dynegy, Inc.:   
5.875% 6/1/23 635 560 
6.75% 11/1/19 1,075 1,078 
7.375% 11/1/22 7,010 6,765 
7.625% 11/1/24 8,735 8,386 
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:   
11% 10/1/21 (h) 11,999 13,469 
12.25% 3/1/22 (e)(h) 15,373 17,717 
NRG Energy, Inc.:   
6.625% 3/15/23 6,445 6,397 
7.25% 5/15/26 (e) 790 788 
PPL Energy Supply LLC 6.5% 6/1/25 1,100 965 
TerraForm Power Operating LLC:   
5.875% 2/1/23 (e) 6,005 5,314 
6.125% 6/15/25 (e) 435 375 
TXU Corp.:   
5.55% 11/15/14 (h) 61 34 
6.5% 11/15/24 (h) 3,550 1,953 
6.55% 11/15/34 (h) 7,200 3,960 
  79,146 
Multi-Utilities - 0.2%   
Dominion Resources, Inc.:   
2.9286% 9/30/66 (g) 19,347 14,319 
7.5% 6/30/66 (g) 2,474 2,066 
NiSource Finance Corp.:   
5.45% 9/15/20 5,259 5,907 
6.4% 3/15/18 983 1,060 
6.8% 1/15/19 2,710 3,043 
Puget Energy, Inc. 6% 9/1/21 691 785 
Sempra Energy 6% 10/15/39 5,386 6,464 
Wisconsin Energy Corp. 6.25% 5/15/67 (g) 3,876 3,188 
  36,832 
TOTAL UTILITIES  291,786 
TOTAL NONCONVERTIBLE BONDS  4,613,551 
TOTAL CORPORATE BONDS   
(Cost $4,598,519)  4,616,281 
U.S. Government and Government Agency Obligations - 4.3%   
U.S. Treasury Inflation-Protected Obligations - 0.9%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $85,262 $81,166 
1.375% 2/15/44 71,991 79,315 
U.S. Treasury Inflation-Indexed Notes 0.625% 1/15/26 75,164 77,655 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  238,136 
U.S. Treasury Obligations - 3.4%   
U.S. Treasury Bonds 3% 11/15/45 225,720 242,455 
U.S. Treasury Notes:   
1% 8/31/16 150,000 150,229 
1% 8/15/18 32,700 32,751 
1.25% 3/31/21 145,000 144,128 
1.625% 6/30/20 60,496 61,325 
2% 2/15/25 35,000 35,554 
2% 8/15/25 194,514 197,257 
TOTAL U.S. TREASURY OBLIGATIONS  863,699 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,083,884)  1,101,835 
U.S. Government Agency - Mortgage Securities - 0.8%   
Fannie Mae - 0.4%   
2.302% 6/1/36 (g) 115 120 
2.5% 1/1/28 to 4/1/43 7,598 7,778 
2.628% 7/1/37 (g) 204 216 
3% 5/1/27 to 2/1/46 14,937 15,358 
3.5% 11/1/25 to 5/1/46 33,097 34,926 
3.5% 6/1/46 (i) 100 105 
4% 11/1/31 to 2/1/46 21,901 23,547 
4.5% 11/1/19 to 4/1/45 11,675 12,720 
5% 6/1/39 to 10/1/41 4,031 4,486 
5.5% 4/1/33 to 4/1/39 1,425 1,613 
6% 7/1/35 to 8/1/37 2,243 2,588 
6.5% 7/1/32 to 8/1/36 390 455 
TOTAL FANNIE MAE  103,912 
Freddie Mac - 0.3%   
3% 3/1/45 to 7/1/45 13,401 13,771 
3.391% 10/1/35 (g) 112 119 
3.5% 6/1/32 to 5/1/46 17,270 18,162 
4% 6/1/24 to 6/1/45 12,949 13,864 
4.5% 3/1/41 to 4/1/41 6,119 6,685 
5% 3/1/19 to 7/1/41 2,449 2,691 
5.5% 1/1/38 to 6/1/41 6,810 7,694 
6% 7/1/37 to 8/1/37 195 222 
6.5% 3/1/36 1,510 1,769 
TOTAL FREDDIE MAC  64,977 
Ginnie Mae - 0.1%   
3% 12/20/42 to 1/20/43 1,133 1,175 
3.5% 11/20/41 to 5/20/46 13,766 14,581 
3.5% 6/1/46 (i) 3,390 3,578 
4% 8/15/39 to 7/20/45 7,380 7,908 
4.5% 4/20/41 2,028 2,207 
5% 2/15/39 to 5/15/39 642 719 
5.5% 6/15/35 to 9/15/39 2,107 2,413 
TOTAL GINNIE MAE  32,581 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $198,578)  201,470 
Asset-Backed Securities - 0.3%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1439% 4/25/35 (g) $504 $459 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.096% 3/25/34 (g) 180 173 
AmeriCredit Automobile Receivables Trust Series 2013-4:   
Class C, 2.72% 9/9/19 1,240 1,253 
Class D, 3.31% 10/8/19 770 781 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.4889% 12/25/33 (g) 33 31 
Series 2004-R2 Class M3, 1.2639% 4/25/34 (g) 68 51 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2189% 3/25/34 (g) 36 33 
Series 2004-W11 Class M2, 1.496% 11/25/34 (g) 426 412 
Series 2004-W7 Class M1, 1.2639% 5/25/34 (g) 1,052 965 
Series 2006-W4 Class A2C, 0.606% 5/25/36 (g) 862 288 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.2639% 4/25/34 (g) 1,238 1,071 
Series 2006-HE2 Class M1, 0.816% 3/25/36 (g) 12 2 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.71% 4/20/20 7,803 7,820 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5789% 12/25/36 (g) 1,368 761 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.8939% 4/25/34 (g) 46 40 
Series 2004-4 Class M2, 1.241% 6/25/34 (g) 72 67 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,275 1,307 
Fannie Mae Series 2004-T5 Class AB3, 1.235% 5/28/35 (g) 30 26 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6139% 8/25/34 (g) 221 209 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.271% 3/25/34 (g) 8 7 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.181% 1/25/35 (g) 720 625 
Class M4, 1.466% 1/25/35 (g) 264 143 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0423% 2/25/47 (e)(g) 924 825 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.614% 11/15/34 (e)(g) 395 373 
Class B, 0.7145% 11/15/34 (e)(g) 143 125 
Class C, 0.8145% 11/15/34 (e)(g) 237 204 
Class D, 1.1845% 11/15/34 (e)(g) 90 75 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.766% 8/25/33 (g) 178 166 
Series 2003-3 Class M1, 1.736% 8/25/33 (g) 326 305 
Series 2003-5 Class A2, 1.146% 12/25/33 (g) 25 23 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6289% 1/25/37 (g) 1,137 708 
Invitation Homes Trust Series 2015-SFR3 Class E, 4.186% 8/17/32 (e)(g) 1,947 1,917 
JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 0.7389% 7/25/36 (g) 2,029 927 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9601% 12/27/29 (g) 44 44 
Series 2006-A Class 2C, 1.7801% 3/27/42 (g) 2,016 953 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7389% 5/25/37 (g) 220 3 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.196% 7/25/34 (g) 74 62 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.421% 7/25/34 (g) 156 145 
Series 2006-FM1 Class A2B, 0.5489% 4/25/37 (g) 78 77 
Series 2006-OPT1 Class A1A, 0.966% 6/25/35 (g) 1,048 1,009 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.126% 8/25/34 (g) 44 38 
Series 2005-NC1 Class M1, 1.106% 1/25/35 (g) 171 154 
Series 2005-NC2 Class B1, 2.201% 3/25/35 (g) 125 3 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.956% 9/25/35 (g) 1,083 1,011 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3139% 9/25/34 (g) 405 372 
Class M4, 2.6139% 9/25/34 (g) 519 312 
Series 2005-WCH1 Class M4, 1.6839% 1/25/36 (g) 1,120 1,000 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.246% 4/25/33 (g) 4 3 
Santander Drive Auto Receivables Trust:   
Series 2014-2 Class C, 2.33% 11/15/19 5,443 5,483 
Series 2014-3:   
Class B, 1.45% 5/15/19 19,055 19,065 
Class C, 2.13% 8/17/20 19,051 19,126 
Series 2014-4 Class C, 2.6% 11/16/20 3,030 3,062 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2339% 3/25/35 (g) 523 486 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5839% 6/15/33 (g) 377 354 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.171% 9/25/34 (g) 29 25 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2989% 9/25/34 (g) 22 20 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1717% 4/6/42 (e)(g) 1,530 734 
TOTAL ASSET-BACKED SECURITIES   
(Cost $71,074)  75,713 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.006% 1/25/35 (g) 677 652 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.748% 10/25/34 (g) 338 330 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6579% 8/25/36 (g) 801 705 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6489% 5/25/47 (g) 242 223 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.616% 2/25/37 (g) 499 451 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7289% 7/25/35 (g) 609 586 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.7865% 6/10/35 (e)(g) 232 202 
Class B6, 3.2865% 6/10/35 (e)(g) 49 42 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (g) 16 16 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.0668% 4/25/33 (g) 44 44 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.6389% 9/25/36 (g) 866 834 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.086% 9/25/43 (g) 1,693 1,625 
TOTAL PRIVATE SPONSOR  5,710 
U.S. Government Agency - 0.1%   
Ginnie Mae guaranteed REMIC pass-thru certificates sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (j) 8,711 8,695 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $13,533)  14,405 
Commercial Mortgage Securities - 1.4%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6025% 2/14/43 (g)(k) 157 1 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-3 Class A4, 5.889% 7/10/44 (g) 2,250 2,247 
Series 2006-6 Class A3, 5.369% 10/10/45 63 63 
Series 2007-3 Class A4, 5.7164% 6/10/49 (g) 10,405 10,611 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 1,738 1,767 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.721% 12/25/33 (e)(g) 21 19 
Series 2005-3A:   
Class A2, 0.846% 11/25/35 (e)(g) 208 181 
Class M1, 0.886% 11/25/35 (e)(g) 27 23 
Class M2, 0.936% 11/25/35 (e)(g) 35 27 
Class M3, 0.956% 11/25/35 (e)(g) 31 24 
Class M4, 1.046% 11/25/35 (e)(g) 39 29 
Series 2005-4A:   
Class A2, 0.836% 1/25/36 (e)(g) 540 462 
Class B1, 1.846% 1/25/36 (e)(g) 23 18 
Class M1, 0.896% 1/25/36 (e)(g) 174 139 
Class M2, 0.916% 1/25/36 (e)(g) 52 40 
Class M3, 0.946% 1/25/36 (e)(g) 76 57 
Class M4, 1.056% 1/25/36 (e)(g) 42 31 
Class M5, 1.096% 1/25/36 (e)(g) 42 31 
Class M6, 1.146% 1/25/36 (e)(g) 45 33 
Series 2006-1:   
Class A2, 0.806% 4/25/36 (e)(g) 83 71 
Class M1, 0.826% 4/25/36 (e)(g) 30 24 
Class M2, 0.846% 4/25/36 (e)(g) 31 25 
Class M3, 0.866% 4/25/36 (e)(g) 27 21 
Class M4, 0.966% 4/25/36 (e)(g) 15 12 
Class M5, 1.006% 4/25/36 (e)(g) 15 10 
Class M6, 1.086% 4/25/36 (e)(g) 30 21 
Series 2006-2A:   
Class M1, 0.756% 7/25/36 (e)(g) 71 56 
Class M2, 0.776% 7/25/36 (e)(g) 50 39 
Class M3, 0.796% 7/25/36 (e)(g) 42 32 
Class M4, 0.866% 7/25/36 (e)(g) 28 22 
Class M5, 0.916% 7/25/36 (e)(g) 35 26 
Series 2006-3A Class M4, 0.876% 10/25/36 (e)(g) 22 3 
Series 2006-4A:   
Class A2, 0.716% 12/25/36 (e)(g) 1,595 1,314 
Class M1, 0.736% 12/25/36 (e)(g) 106 82 
Class M2, 0.756% 12/25/36 (e)(g) 70 50 
Class M3, 0.786% 12/25/36 (e)(g) 72 42 
Series 2007-1 Class A2, 0.716% 3/25/37 (e)(g) 314 268 
Series 2007-2A:   
Class A1, 0.716% 7/25/37 (e)(g) 333 282 
Class A2, 0.766% 7/25/37 (e)(g) 312 249 
Class M1, 0.816% 7/25/37 (e)(g) 110 84 
Class M2, 0.856% 7/25/37 (e)(g) 60 42 
Class M3, 0.936% 7/25/37 (e)(g) 46 29 
Series 2007-3:   
Class A2, 0.736% 7/25/37 (e)(g) 327 261 
Class M1, 0.756% 7/25/37 (e)(g) 65 49 
Class M2, 0.786% 7/25/37 (e)(g) 70 51 
Class M3, 0.816% 7/25/37 (e)(g) 109 56 
Class M4, 0.946% 7/25/37 (e)(g) 172 63 
Class M5, 1.046% 7/25/37 (e)(g) 83 11 
Series 2007-4A Class M1, 1.396% 9/25/37 (e)(g) 72 22 
Series 2004-1, Class IO, 1.25% 4/25/34 (e)(k) 729 28 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(g)(k) 13,665 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer:   
Series 2007-PW16 Class A4, 5.9113% 6/11/40 (g) 402 412 
Series 2007-PW18 Class A4, 5.7% 6/11/50 4,195 4,336 
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (e)(g) 83 66 
C-BASS Trust floater Series 2006-SC1 Class A, 0.716% 5/25/36 (e)(g) 80 78 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.433% 12/15/27 (e)(g) 2,276 2,212 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (e)(g) 1,100 1,088 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.8994% 12/10/49 (g) 3,035 3,135 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 5,875 5,948 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.2845% 4/15/17 (e)(g) 96 95 
Credit Suisse Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C4 Class A3, 5.467% 9/15/39 221 222 
Series 2007-C2 Class A2, 5.448% 1/15/49 (g) 18 18 
Series 2007-C3 Class A4, 5.8882% 6/15/39 (g) 319 324 
Series 2007-C5 Class A4, 5.695% 9/15/40 (g) 608 629 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.0075% 9/15/34 (e)(g)(k) 0 0 
CSMC Series 2015-TOWN:   
Class B, 2.3328% 3/15/17 (e)(g) 1,198 1,172 
Class C, 2.6828% 3/15/17 (e)(g) 1,167 1,135 
Class D, 3.6328% 3/15/17 (e)(g) 1,766 1,726 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/19 (e)(g) 6,410 6,531 
Class CFX, 3.4949% 12/15/19 (e)(g) 5,380 5,362 
Class DFX, 3.4949% 12/15/19 (e)(g) 4,559 4,458 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 10,052 10,258 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 24,067 24,389 
Series 2006-GG7 Class A4, 6.1291% 7/10/38 (g) 46 46 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 1,408 1,414 
Class A4, 5.56% 11/10/39 2,169 2,175 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (e) 1,180 1,186 
Class DFX, 4.4065% 11/5/30 (e) 11,029 11,088 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH:   
Class C, 2.0845% 4/15/27 (e)(g) 1,775 1,729 
Class D, 2.6845% 4/15/27 (e)(g) 3,781 3,669 
sequential payer:   
Series 2006-CB17 Class A4, 5.429% 12/12/43 1,646 1,658 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 960 960 
Class A4, 5.399% 5/15/45 84 84 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 13,411 13,552 
Series 2007-CB19 Class A4, 5.8886% 2/12/49 (g) 3,134 3,203 
Series 2007-LD11 Class A4, 5.929% 6/15/49 (g) 31,964 32,556 
Series 2007-LDPX Class A3, 5.42% 1/15/49 13,327 13,547 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (g) 49 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0959% 7/15/44 (g) 638 663 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 272 273 
Series 2007-C1 Class A4, 5.424% 2/15/40 12,198 12,364 
Series 2007-C2 Class A3, 5.43% 2/15/40 1,605 1,630 
Series 2007-C6 Class A4, 5.858% 7/15/40 (g) 880 897 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,355 1,420 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.6823% 1/12/44 (e)(g) 222 221 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,357 1,416 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2007-5 Class A4, 5.378% 8/12/48 6,346 6,435 
Series 2007-6 Class A4, 5.485% 3/12/51 (g) 7,400 7,548 
Series 2007-7 Class A4, 5.81% 6/12/50 (g) 2,868 2,959 
Series 2007-6 Class B, 5.635% 3/12/51 (g) 912 256 
Series 2007-8 Class A3, 6.0713% 8/12/49 (g) 781 806 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.634% 7/15/19 (e)(g) 272 271 
Series 2007-XLFA:   
Class D, 0.6228% 10/15/20 (e)(g) 113 113 
Class E, 0.6828% 10/15/20 (e)(g) 634 634 
Class F, 0.7328% 10/15/20 (e)(g) 380 380 
Class G, 0.7728% 10/15/20 (e)(g) 470 470 
Class H, 0.8628% 10/15/20 (e)(g) 296 295 
Class J, 1.0128% 10/15/20 (e)(g) 171 165 
sequential payer:   
Series 2007-HQ11 Class A31, 5.439% 2/12/44 50 50 
Series 2007-IQ15 Class A4, 6.1143% 6/11/49 (g) 22,498 23,342 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 1,368 1,396 
Class AAB, 5.654% 4/15/49 366 368 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (e) 115 34 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 15,721 15,967 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 47,617 48,366 
Class A5, 5.5% 4/15/47 20,438 20,893 
Series 2007-C33:   
Class A4, 6.1472% 2/15/51 (g) 22,086 22,534 
Class A5, 6.1472% 2/15/51 (g) 10,259 10,686 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (g) 4,037 4,042 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (g) 2,736 2,526 
Class D, 5.513% 12/15/43 (g) 1,459 1,322 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $380,032)  370,351 
Municipal Securities - 1.0%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,095 $1,631 
7.5% 4/1/34 7,195 10,783 
7.55% 4/1/39 27,365 42,257 
7.625% 3/1/40 2,445 3,753 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,170 1,174 
Series 2010 C1, 7.781% 1/1/35 6,325 6,807 
Series 2012 B, 5.432% 1/1/42 3,515 2,895 
6.05% 1/1/29 400 401 
6.314% 1/1/44 12,335 11,214 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 32,000 32,659 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,385 3,455 
4.95% 6/1/23 1,700 1,795 
5.1% 6/1/33 55,420 53,041 
Series 2010 5, 6.2% 7/1/21 1,915 2,077 
Series 2010-1, 6.63% 2/1/35 25,440 27,766 
Series 2010-3:   
5.547% 4/1/19 155 165 
6.725% 4/1/35 11,505 12,643 
7.35% 7/1/35 4,495 5,085 
Series 2011:   
5.365% 3/1/17 185 190 
5.665% 3/1/18 8,840 9,326 
5.877% 3/1/19 19,390 21,000 
Series 2013, 4% 12/1/20 6,040 6,213 
TOTAL MUNICIPAL SECURITIES   
(Cost $251,800)  256,330 
Bank Loan Obligations - 0.6%   
CONSUMER DISCRETIONARY - 0.3%   
Auto Components - 0.0%   
Chassix, Inc. term loan 12% 7/29/19 $234 $231 
Diversified Consumer Services - 0.1%   
KC Mergersub, Inc. Tranche 1LN, term loan 6% 8/13/22 (g) 6,393 6,351 
Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (g) 9,690 9,393 
Wash Multifamily Acquisition, Inc. Tranche B 1LN, term loan 4.25% 5/14/22 (g) 213 211 
  15,955 
Hotels, Restaurants & Leisure - 0.1%   
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (g) 9,905 9,469 
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (g) 6,204 5,801 
Fantasy Springs Resort Casino term loan 12% 8/6/12 (g)(h) 8,486 6,874 
Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (g) 1,505 1,506 
  23,650 
Household Durables - 0.0%   
Serta Simmons Holdings, LLC Tranche B, term loan 4.25% 10/1/19 (g) 1,554 1,556 
Media - 0.1%   
Cengage Learning, Inc. Tranche B, term loan 5/27/23 (l) 875 874 
Cumulus Media Holdings, Inc. Tranch B 1LN, term loan 4.25% 12/23/20 (g) 3,187 2,255 
Liberty Cablevision of Puerto Rico:   
Tranche 1LN, term loan 4.5% 1/7/22 (g) 110 108 
Tranche 2LN, term loan 7.75% 7/7/23 (g) 435 417 
McGraw-Hill Global Education Holdings, LLC term loan 5% 5/4/22 (g) 880 883 
Numericable LLC Tranche B 6LN, term loan 4.75% 2/10/23 (g) 6,155 6,162 
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (g) 723 722 
  11,421 
Multiline Retail - 0.0%   
JC Penney Corp., Inc. Tranche B, term loan 6% 5/22/18 (g) 4,977 4,977 
Specialty Retail - 0.0%   
Petco Holdings, Inc. Tranche B 1LN, term loan 5.75% 1/26/23 (g) 9,975 10,039 
TOTAL CONSUMER DISCRETIONARY  67,829 
CONSUMER STAPLES - 0.0%   
Food & Staples Retailing - 0.0%   
Albertson's LLC Tranche B 5LN, term loan 5.5% 12/21/22 (g) 3,526 3,528 
Food Products - 0.0%   
AdvancePierre Foods, Inc. Tranche B 1LN, term loan 5/26/23 (l) 355 356 
TOTAL CONSUMER STAPLES  3,884 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (g) 2,916 1,876 
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (g) 375 119 
  1,995 
Oil, Gas & Consumable Fuels - 0.0%   
American Energy-Marcellus LLC Tranche B 1LN, term loan 5.25% 8/4/20 (g) 1,675 639 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (g) 945 761 
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (g) 534 536 
  1,936 
TOTAL ENERGY  3,931 
FINANCIALS - 0.0%   
Capital Markets - 0.0%   
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (g) 182 180 
Consumer Finance - 0.0%   
Sears Roebuck Acceptance Corp. Tranche B, term loan 8.5% 7/20/20 (g) 3,000 2,987 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche 2LN, term loan 9.25% 11/4/22 (g) 530 530 
Realogy Corp. Credit-Linked Deposit 4.6873% 10/10/16 (g) 560 553 
  1,083 
TOTAL FINANCIALS  4,250 
HEALTH CARE - 0.1%   
Health Care Equipment & Supplies - 0.0%   
American Renal Holdings, Inc. Tranche B 1LN, term loan 4.75% 8/20/19 (g) 1,953 1,954 
Health Care Providers & Services - 0.1%   
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 9% 12/31/23 (g) 2,375 2,363 
Tranche B 1LN, term loan 5.25% 12/31/22 (g) 5,925 5,873 
  8,236 
Life Sciences Tools & Services - 0.0%   
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (g) 1,326 1,304 
Pharmaceuticals - 0.0%   
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (g) 413 406 
TOTAL HEALTH CARE  11,900 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
The Brickman Group, Ltd. Tranche B 1LN, term loan 4% 12/18/20 (g) 1,700 1,694 
INFORMATION TECHNOLOGY - 0.1%   
Software - 0.1%   
BMC Software Finance, Inc. Tranche B, term loan 5% 9/10/20 (g) 2,247 2,011 
Kronos, Inc.:   
Tranche 2LN, term loan 9.75% 4/30/20 (g) 8,378 8,545 
Tranche B 1LN, term loan 4.5% 10/30/19 (g) 1,147 1,148 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 4.5% 4/9/21 (g) 573 565 
Tranche 2LN, term loan 8% 4/9/22 (g) 6,908 6,303 
  18,572 
MATERIALS - 0.0%   
Chemicals - 0.0%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (g) 1,405 1,337 
Containers & Packaging - 0.0%   
Anchor Glass Container Corp. Tranche B, term loan 4.75% 7/1/22 (g) 524 526 
TOTAL MATERIALS  1,863 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
LTS Buyer LLC Tranche 2LN, term loan 8% 4/12/21 (g) 41 41 
Wireless Telecommunication Services - 0.0%   
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (g) 4,450 4,092 
TOTAL TELECOMMUNICATION SERVICES  4,133 
UTILITIES - 0.1%   
Gas Utilities - 0.0%   
EP Energy LLC Tranche B 3LN, term loan 3.5% 5/24/18 (g) 487 394 
Independent Power and Renewable Electricity Producers - 0.1%   
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 12/19/16 (g) 25,472 25,456 
TOTAL UTILITIES  25,850 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $146,885)  143,906 
Bank Notes - 0.3%   
Bank of America NA 5.3% 3/15/17 14,681 15,130 
Capital One NA 1.65% 2/5/18 6,500 6,485 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $8,178 $8,251 
3.1% 6/4/20 8,635 8,784 
8.7% 11/18/19 532 620 
Huntington National Bank 1.3% 11/20/16 3,560 3,563 
Marshall & Ilsley Bank 5% 1/17/17 7,888 8,050 
RBS Citizens NA 2.5% 3/14/19 4,029 4,058 
Regions Bank 7.5% 5/15/18 11,552 12,604 
Wachovia Bank NA 6% 11/15/17 7,010 7,465 
TOTAL BANK NOTES   
(Cost $73,849)  75,010 
Preferred Securities - 0.4%   
FINANCIALS - 0.4%   
Banks - 0.4%   
Bank of America Corp.:   
5.2% (g)(m) $6,665 $6,413 
6.1% (g)(m) 1,680 1,742 
Barclays Bank PLC 7.625% 11/21/22 10,805 11,814 
Citigroup, Inc.:   
5.35% (g)(m) 14,740 13,923 
5.95% (g)(m) 1,325 1,353 
5.95% (g)(m) 5,000 4,969 
Credit Agricole SA:   
6.625% (e)(g)(m) 10,000 9,526 
7.875% (e)(g)(m) 2,225 2,214 
JPMorgan Chase & Co.:   
5.15% (g)(m) 5,940 5,869 
6% (g)(m) 21,680 22,810 
Royal Bank of Scotland Group PLC:   
7.5% (g)(m) 2,245 2,176 
8% (g)(m) 10,980 10,952 
Wells Fargo & Co. 5.875% (g)(m) 1,095 1,201 
  94,962 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5.375% (g)(m) 4,850 4,745 
Diversified Financial Services - 0.0%   
Credit Agricole SA 8.125% (e)(g)(m) 2,665 2,805 
MUFG Capital Finance 1 Ltd. 6.346% (g)(m) 996 1,021 
  3,826 
TOTAL PREFERRED SECURITIES   
(Cost $104,034)  103,533 
 Shares Value (000s) 
Fixed-Income Funds - 5.6%   
Fidelity Mortgage Backed Securities Central Fund(n)   
(Cost $1,365,425) 13,022,420 1,433,638 
Other - 0.0%   
Other - 0.0%   
Tribune Co. Claim (a)   
(Cost $11) 11,092 11 
Money Market Funds - 1.7%   
Fidelity Cash Central Fund, 0.40% (o) 332,079,235 332,079 
Fidelity Securities Lending Cash Central Fund, 0.44% (o)(p) 92,120,756 92,121 
TOTAL MONEY MARKET FUNDS   
(Cost $424,200)  424,200 
TOTAL INVESTMENT PORTFOLIO - 101.0%   
(Cost $21,923,195)  25,744,835 
NET OTHER ASSETS (LIABILITIES) - (1.0)%  (255,347) 
NET ASSETS - 100%  $25,489,488 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3.5% 6/1/46 $(3,400) $(3,558) 
4.5% 6/1/46 (3,000) (3,267) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $6,831)  $(6,825) 

Security Type Abbreviations

ELS – Equity-Linked Security

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

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 $261,281,000 or 1.0% of net assets.

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

 (d) Investment is owned by a wholly-owned subsidiary (Subsidiary) that is treated as a corporation for U.S. tax purposes.

 (e) 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 $1,105,892,000 or 4.3% of net assets.

 (f) Affiliated company

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

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

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

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

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

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

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

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

 (p) 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 
Moda Operandi, Inc. Series E 12/18/14 $20,000 
Mulberry Health, Inc. Series A8 1/20/16 $20,000 
Ovation Acquisition I LLC 12/23/15 $4 
Roku, Inc. Series F, 8.00% 5/7/13 $5,000 
Spotify Technology SA 11/14/12 $15,028 
The Honest Co., Inc. Series D 8/3/15 $9,000 
Tory Burch LLC Class B 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 
Warrior Metropolitan Coal LLC Class A 9/19/13 - 3/19/14 $797 
WME Entertainment Parent, LLC Class A unit 4/13/16 $30,000 
WP Rocket Holdings, Inc. 6/24/11 - 2/2/15 $3,024 

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 $1,863 
Fidelity Mortgage Backed Securities Central Fund 23,794 
Fidelity Securities Lending Cash Central Fund 1,344 
Total $27,001 

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

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,199,354 $224,014 $-- $1,433,638 21.4% 
Total $1,199,354 $224,014 $-- $1,433,638  

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 
CareView Communications, Inc. $3,440 $-- $-- $-- $2,085 
Corindus Vascular Robotics, Inc. 4,605 -- -- -- 1,474 
Corindus Vascular Robotics, Inc. 17,500 -- -- -- 5,600 
Total $25,545 $-- $-- $-- $9,159 

Investment Valuation

The following is a summary of the inputs used, as of May 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,847,026 $2,564,792 $12,850 $269,384 
Consumer Staples 1,558,446 1,543,186 15,256 4 
Energy 848,471 848,471 -- -- 
Financials 2,576,482 2,521,459 24,990 30,033 
Health Care 2,767,476 2,742,704 4,739 20,033 
Industrials 1,505,988 1,484,207 21,432 349 
Information Technology 4,181,877 4,076,769 635 104,473 
Materials 346,746 346,746 -- -- 
Telecommunication Services 171,292 171,292 -- -- 
Utilities 124,348 124,348 -- -- 
Corporate Bonds 4,616,281 -- 4,616,281 -- 
U.S. Government and Government Agency Obligations 1,101,835 -- 1,101,835 -- 
U.S. Government Agency - Mortgage Securities 201,470 -- 201,470 -- 
Asset-Backed Securities 75,713 -- 72,581 3,132 
Collateralized Mortgage Obligations 14,405 -- 14,405 -- 
Commercial Mortgage Securities 370,351 -- 370,052 299 
Municipal Securities 256,330 -- 256,330 -- 
Bank Loan Obligations 143,906 -- 136,248 7,658 
Bank Notes 75,010 -- 75,010 -- 
Preferred Securities 103,533 -- 103,533 -- 
Fixed-Income Funds 1,433,638 1,433,638 -- -- 
Other 11 -- -- 11 
Money Market Funds 424,200 424,200 -- -- 
Total Investments in Securities: $25,744,835 $18,281,812 $7,027,647 $435,376 
Other Financial Instruments:     
TBA Sale Commitments $(6,825) $-- $(6,825) $-- 
Total Other Financial Instruments: $(6,825) $-- $(6,825) $-- 

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 $393,746 
Net Realized Gain (Loss) on Investment Securities 54,683 
Net Unrealized Gain (Loss) on Investment Securities (41,417) 
Cost of Purchases 65,098 
Proceeds of Sales (168,376) 
Amortization/Accretion -- 
Transfers into Level 3 -- 
Transfers out of Level 3 (34,350) 
Ending Balance $269,384 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2016 $137,118 
Other Investments in Securities  
Beginning Balance $104,534 
Net Realized Gain (Loss) on Investment Securities 432 
Net Unrealized Gain (Loss) on Investment Securities 3,189 
Cost of Purchases 50,801 
Proceeds of Sales (30,567) 
Amortization/Accretion 176 
Transfers into Level 3 37,817 
Transfers out of Level 3 (390) 
Ending Balance $165,992 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2016 $123 

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.

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

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, 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 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 05/31/16 Valuation Technique (s) Unobservable Input Amount or Range / Weighted Average Impact to Valuation from an Increase in Input(a) 
Corporate Bonds $- Expected distribution Recovery rate 0.0% Increase 
Equities 424,276 Broker quoted Mid price $13.00 Increase 
  Expected distribution Recovery rate 0.0% - 0.1% / 0.1% Increase 
  Last transaction price Transaction price $0.01 - $1,516.29 / $279.01 Increase 
  Market comparable EV/Sales multiple 1.0 - 4.3 / 2.4 Increase 
   Discount rate 1.0% - 20.0% / 6.5% Decrease 
   Growth rate 3.5% Increase 
   Discount for lack of marketability 10.0% - 20.0% / 14.7% Decrease 
   P/E multiple 0.6 Increase 
   EV/EBITDA multiple 4.1 - 8.6 / 8.6 Increase 
   Recovery rate 0.1% Increase 
   Liquidation preference $74.33 Increase 
   Premium rate 22.0% Increase 
   Weighted average cost of capital 9.0% Decrease 
  Straight line Price of underlying $13.00 Increase 
   Strike price $40.00 - $47.50 / $44.27 Increase 
Bank Loan Obligations $6,874 Market comparable Discount for lack of marketability 15.0% Decrease 
   EV/EBITDA multiple 6.5 Increase 
Asset-Backed Securities 3,132 Discounted cash flow Spread 4.7% - 16.4% / 4.7% Decrease 
   Yield 8.8% - 9.0% / 8.9% Decrease 
  Market observation Evaluated bid $62.29 Increase 
Commercial Mortgage Securities 299 Discounted cash flow Discount rate 20.0% Decrease 
   Yield 7.0% - 11.8% / 9.0% Decrease 
  Expected distribution Recovery rate 0.0% - 30.0% / 30.0% Increase 
  Market observation Evaluated bid $12.40 Increase 
Other $11 Expected distribution Recovery rate 1.0% Increase 

 (a) 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.


Other Information

Income Tax Information

At May 31, 2016, the cost of investment securities for income tax purposes was $21,943,206,000. Net unrealized appreciation aggregated $3,801,629,000, of which $4,704,018,000 related to appreciated investment securities and $902,389,000 related to depreciated investment securities.

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





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

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

Quarterly Holdings Report
for

Fidelity® Balanced Fund

May 31, 2016







BAL-QTLY-0716
1.800332.112





Investments May 31, 2016 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 63.2%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 8.4%   
Automobiles - 0.4%   
Tesla Motors, Inc. (a) 503,400 $112,374 
Diversified Consumer Services - 0.2%   
2U, Inc. (a) 1,176,247 32,747 
H&R Block, Inc. 1,415,934 30,244 
  62,991 
Hotels, Restaurants & Leisure - 1.1%   
Hilton Worldwide Holdings, Inc. 5,107,700 106,138 
Las Vegas Sands Corp. 814,517 37,663 
Starbucks Corp. 2,788,374 153,054 
  296,855 
Internet & Catalog Retail - 1.3%   
Amazon.com, Inc. (a) 510,300 368,840 
Leisure Products - 0.1%   
Mattel, Inc. 808,600 25,778 
Media - 1.8%   
Charter Communications, Inc. (a) 716,307 156,828 
Comcast Corp. Class A 236,600 14,977 
Interpublic Group of Companies, Inc. 492,900 11,780 
ITV PLC 5,546,400 17,210 
Manchester United PLC 1,130,315 19,294 
MDC Partners, Inc. Class A(b)(c) 2,656,828 47,663 
The Walt Disney Co. 2,258,700 224,108 
  491,860 
Multiline Retail - 0.2%   
B&M European Value Retail S.A. 15,461,831 69,646 
Specialty Retail - 2.3%   
AutoZone, Inc. (a) 140,172 106,839 
Home Depot, Inc. 1,630,344 215,401 
L Brands, Inc. 1,799,403 123,349 
Ross Stores, Inc. 2,322,536 124,023 
TJX Companies, Inc. 946,248 72,028 
  641,640 
Textiles, Apparel & Luxury Goods - 1.0%   
NIKE, Inc. Class B 3,025,650 167,076 
VF Corp. 1,886,500 117,567 
  284,643 
TOTAL CONSUMER DISCRETIONARY  2,354,627 
CONSUMER STAPLES - 6.3%   
Beverages - 1.4%   
Constellation Brands, Inc. Class A (sub. vtg.) 500,900 76,713 
Monster Beverage Corp. 408,900 61,335 
The Coca-Cola Co. 5,728,208 255,478 
  393,526 
Food & Staples Retailing - 1.5%   
CVS Health Corp. 2,018,185 194,654 
Kroger Co. 3,278,908 117,254 
Sprouts Farmers Market LLC (a) 574,190 14,217 
Wal-Mart Stores, Inc. 255,490 18,084 
Walgreens Boots Alliance, Inc. 641,600 49,660 
Whole Foods Market, Inc. 897,076 29,020 
  422,889 
Food Products - 0.4%   
Mead Johnson Nutrition Co. Class A 761,049 62,619 
The Hershey Co. 351,450 32,632 
TreeHouse Foods, Inc. (a) 175,700 16,639 
  111,890 
Household Products - 0.9%   
Colgate-Palmolive Co. 2,440,000 171,800 
Procter & Gamble Co. 1,028,293 83,333 
  255,133 
Personal Products - 0.3%   
Estee Lauder Companies, Inc. Class A 715,432 65,662 
Nu Skin Enterprises, Inc. Class A 454,521 17,931 
  83,593 
Tobacco - 1.8%   
Altria Group, Inc. 3,768,413 239,822 
British American Tobacco PLC sponsored ADR 1,459,426 177,539 
Philip Morris International, Inc. 915,000 90,292 
  507,653 
TOTAL CONSUMER STAPLES  1,774,684 
ENERGY - 4.6%   
Energy Equipment & Services - 1.0%   
Baker Hughes, Inc. 2,009,500 93,201 
Dril-Quip, Inc. (a) 331,969 20,260 
Independence Contract Drilling, Inc. (a) 1,335,233 5,341 
Oceaneering International, Inc. 455,491 15,059 
Schlumberger Ltd. 1,833,500 139,896 
  273,757 
Oil, Gas & Consumable Fuels - 3.6%   
Anadarko Petroleum Corp. 1,662,202 86,202 
Apache Corp. 1,255,500 71,739 
Black Stone Minerals LP 1,103,100 16,955 
Cabot Oil & Gas Corp. 1,801,250 43,176 
Chevron Corp. 867,705 87,638 
Cimarex Energy Co. 380,102 44,198 
ConocoPhillips Co. 2,025,500 88,697 
Devon Energy Corp. 1,649,100 59,516 
Exxon Mobil Corp. 1,139,078 101,401 
Kinder Morgan, Inc. 261,600 4,730 
Newfield Exploration Co. (a) 947,700 38,638 
Noble Energy, Inc. 1,777,530 63,547 
Parsley Energy, Inc. Class A (a) 861,930 22,471 
Phillips 66 Co. 937,017 75,299 
Pioneer Natural Resources Co. 324,500 52,024 
PrairieSky Royalty Ltd. 1,368,737 26,491 
SM Energy Co. 1,095,200 34,521 
Southwestern Energy Co. (a) 29,186 399 
Suncor Energy, Inc. 3,235,800 89,374 
  1,007,016 
TOTAL ENERGY  1,280,773 
FINANCIALS - 10.3%   
Banks - 3.9%   
Bank of America Corp. 13,823,308 204,447 
Citigroup, Inc. 4,446,712 207,083 
Comerica, Inc. 1,364,500 64,268 
FirstMerit Corp. 362,100 8,212 
Huntington Bancshares, Inc. 8,696,500 90,878 
JPMorgan Chase & Co. 2,403,954 156,906 
M&T Bank Corp. 926,100 110,669 
Regions Financial Corp. 3,884,000 38,180 
Synovus Financial Corp. 881,820 28,368 
U.S. Bancorp 3,521,547 150,793 
Zions Bancorporation 815,300 22,845 
  1,082,649 
Capital Markets - 0.9%   
Bank of New York Mellon Corp. 858,400 36,104 
BlackRock, Inc. Class A 190,376 69,268 
E*TRADE Financial Corp. (a) 1,176,749 32,820 
Goldman Sachs Group, Inc. 496,600 79,198 
Northern Trust Corp. 489,619 36,281 
Oaktree Capital Group LLC Class A 286,697 13,136 
  266,807 
Consumer Finance - 1.6%   
Capital One Financial Corp. 4,121,301 301,844 
Discover Financial Services 565,800 32,143 
Navient Corp. 1,879,843 25,773 
OneMain Holdings, Inc. (a) 886,400 27,709 
SLM Corp. (a) 6,181,334 42,466 
Synchrony Financial (a) 334,000 10,421 
  440,356 
Diversified Financial Services - 0.8%   
Bats Global Markets, Inc. 76,400 2,124 
Berkshire Hathaway, Inc.:   
Class A (a) 129 27,309 
Class B (a) 562,700 79,082 
Broadcom Ltd. 287,300 44,348 
CME Group, Inc. 630,800 61,749 
KBC Ancora 398,674 15,486 
On Deck Capital, Inc. (a)(c) 590,700 3,054 
  233,152 
Insurance - 1.1%   
Chubb Ltd. 951,337 120,449 
Direct Line Insurance Group PLC 5,007,244 27,218 
Fairfax Financial Holdings Ltd. (sub. vtg.) 19,000 9,764 
Marsh & McLennan Companies, Inc. 1,628,877 107,620 
MetLife, Inc. 516,947 23,547 
Unum Group 601,800 22,218 
  310,816 
Real Estate Investment Trusts - 1.8%   
Altisource Residential Corp. Class B 2,176,817 21,812 
American Tower Corp. 1,077,000 113,925 
Boston Properties, Inc. 329,497 41,395 
Coresite Realty Corp. 90,800 6,887 
Crown Castle International Corp. 99,345 9,022 
Duke Realty LP 1,564,000 37,020 
Equinix, Inc. 140,800 50,970 
Extra Space Storage, Inc. 485,800 45,165 
FelCor Lodging Trust, Inc. 1,307,200 8,641 
Outfront Media, Inc. 1,444,862 32,134 
Store Capital Corp. 3,145,300 80,300 
Sun Communities, Inc. 250,742 17,509 
VEREIT, Inc. 3,066,300 29,406 
  494,186 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 1,993,603 59,509 
TOTAL FINANCIALS  2,887,475 
HEALTH CARE - 9.4%   
Biotechnology - 2.8%   
Alexion Pharmaceuticals, Inc. (a) 423,804 63,952 
Amgen, Inc. 1,165,558 184,100 
Biogen, Inc. (a) 409,985 118,785 
BioMarin Pharmaceutical, Inc. (a) 236,298 21,184 
Celgene Corp. (a) 1,160,600 122,467 
Gilead Sciences, Inc. 1,710,028 148,875 
Regeneron Pharmaceuticals, Inc. (a) 152,000 60,637 
Vertex Pharmaceuticals, Inc. (a) 681,500 63,482 
  783,482 
Health Care Equipment & Supplies - 2.3%   
Abbott Laboratories 2,567,900 101,766 
Boston Scientific Corp. (a) 7,592,802 172,433 
Edwards Lifesciences Corp. (a) 645,364 63,568 
Medtronic PLC 2,931,124 235,897 
The Cooper Companies, Inc. 250,537 40,790 
Wright Medical Group NV (a) 1,187,800 22,972 
  637,426 
Health Care Providers & Services - 1.7%   
Cigna Corp. 771,760 98,870 
Henry Schein, Inc. (a) 434,004 75,400 
McKesson Corp. 491,348 89,985 
UnitedHealth Group, Inc. 1,488,100 198,914 
Universal Health Services, Inc. Class B 251,100 33,863 
  497,032 
Health Care Technology - 0.1%   
Medidata Solutions, Inc. (a) 610,121 28,029 
Life Sciences Tools & Services - 0.6%   
Agilent Technologies, Inc. 1,282,300 58,845 
Thermo Fisher Scientific, Inc. 682,497 103,583 
  162,428 
Pharmaceuticals - 1.9%   
Allergan PLC (a) 631,243 148,816 
Bristol-Myers Squibb Co. 2,974,541 213,275 
GlaxoSmithKline PLC sponsored ADR 890,200 37,718 
Horizon Pharma PLC (a) 939,900 16,194 
Pfizer, Inc. 696,300 24,162 
Shire PLC sponsored ADR (c) 331,000 61,619 
Teva Pharmaceutical Industries Ltd. sponsored ADR 826,900 42,891 
  544,675 
TOTAL HEALTH CARE  2,653,072 
INDUSTRIALS - 5.7%   
Aerospace & Defense - 0.6%   
United Technologies Corp. 1,621,000 163,040 
Electrical Equipment - 1.7%   
AMETEK, Inc. 8,877,161 424,506 
SolarCity Corp. (a) 1,040,600 23,299 
Sunrun, Inc. (a)(c) 4,160,686 26,379 
  474,184 
Industrial Conglomerates - 2.9%   
Danaher Corp. 4,413,166 434,079 
Roper Technologies, Inc. 2,208,414 377,815 
  811,894 
Machinery - 0.0%   
SPX Flow, Inc. (a) 114,700 3,438 
Professional Services - 0.5%   
Verisk Analytics, Inc. (a) 1,923,716 152,724 
WageWorks, Inc. (a) 90,940 5,097 
  157,821 
TOTAL INDUSTRIALS  1,610,377 
INFORMATION TECHNOLOGY - 12.3%   
Electronic Equipment & Components - 0.1%   
Samsung SDI Co. Ltd. 243,061 22,969 
Internet Software & Services - 4.1%   
58.com, Inc. ADR (a) 516,418 27,912 
Alphabet, Inc.:   
Class A 33,400 25,012 
Class C 761,324 560,112 
Box, Inc. Class A (a)(c) 702,500 8,823 
Cornerstone OnDemand, Inc. (a) 853,400 34,145 
Facebook, Inc. Class A (a) 2,718,807 323,021 
Just Dial Ltd. 1,357,105 13,723 
New Relic, Inc. (a) 1,946,975 58,721 
Tencent Holdings Ltd. 507,200 11,302 
Yahoo!, Inc. (a) 2,536,200 96,223 
  1,158,994 
IT Services - 0.7%   
Alliance Data Systems Corp. (a) 72,700 16,153 
Blackhawk Network Holdings, Inc. (a) 1,244,727 42,844 
Cognizant Technology Solutions Corp. Class A (a) 57,852 3,554 
Global Payments, Inc. 335,800 26,088 
PayPal Holdings, Inc. (a) 973,000 36,770 
Travelport Worldwide Ltd. 5,980,862 79,187 
  204,596 
Semiconductors & Semiconductor Equipment - 2.2%   
Intersil Corp. Class A 1,505,360 20,352 
Lam Research Corp. 306,400 25,373 
Marvell Technology Group Ltd. 6,767,177 69,228 
Maxim Integrated Products, Inc. 76,400 2,900 
Micron Technology, Inc. (a) 780,111 9,923 
NVIDIA Corp. 862,773 40,309 
NXP Semiconductors NV (a) 1,188,300 112,282 
Qorvo, Inc. (a) 4,336,717 221,042 
Qualcomm, Inc. 1,087,844 59,744 
Semtech Corp. (a) 1,413,100 33,264 
SolarEdge Technologies, Inc. (a) 680,800 14,875 
  609,292 
Software - 3.0%   
Activision Blizzard, Inc. 1,173,550 46,074 
Adobe Systems, Inc. (a) 579,667 57,659 
Autodesk, Inc. (a) 5,137,870 299,384 
Electronic Arts, Inc. (a) 926,500 71,109 
HubSpot, Inc. (a) 481,345 22,989 
Microsoft Corp. 2,287,187 121,221 
Mobileye NV (a)(c) 268,100 10,180 
Salesforce.com, Inc. (a) 2,047,574 171,402 
Varonis Systems, Inc. (a) 639,605 15,555 
Zendesk, Inc. (a) 1,292,453 31,652 
  847,225 
Technology Hardware, Storage & Peripherals - 2.2%   
Apple, Inc. 4,570,614 456,422 
EMC Corp. 2,682,800 74,984 
HP, Inc. 6,562,883 87,811 
Western Digital Corp. 44,374 2,065 
  621,282 
TOTAL INFORMATION TECHNOLOGY  3,464,358 
MATERIALS - 2.5%   
Chemicals - 2.0%   
CF Industries Holdings, Inc. 762,000 21,077 
E.I. du Pont de Nemours & Co. 2,052,800 134,274 
Eastman Chemical Co. 754,482 55,349 
Ecolab, Inc. 1,722,540 201,951 
Ingevity Corp. (a) 229,180 6,678 
Monsanto Co. 288,300 32,425 
PPG Industries, Inc. 573,700 61,776 
W.R. Grace & Co. 558,601 43,370 
  556,900 
Construction Materials - 0.1%   
Eagle Materials, Inc. 464,400 36,372 
Containers & Packaging - 0.4%   
Ball Corp. 54,000 3,904 
Graphic Packaging Holding Co. 2,842,568 38,090 
WestRock Co. 1,375,080 54,467 
  96,461 
TOTAL MATERIALS  689,733 
TELECOMMUNICATION SERVICES - 1.5%   
Diversified Telecommunication Services - 1.4%   
AT&T, Inc. 6,168,464 241,495 
Cogent Communications Group, Inc. 399,968 15,927 
Level 3 Communications, Inc. (a) 798,009 43,053 
Verizon Communications, Inc. 1,818,836 92,579 
Zayo Group Holdings, Inc. (a) 554,800 15,412 
  408,466 
Wireless Telecommunication Services - 0.1%   
T-Mobile U.S., Inc. (a) 228,000 9,749 
Telephone & Data Systems, Inc. 255,216 7,348 
  17,097 
TOTAL TELECOMMUNICATION SERVICES  425,563 
UTILITIES - 2.2%   
Electric Utilities - 1.5%   
Edison International 635,727 45,537 
Exelon Corp. 2,511,200 86,059 
FirstEnergy Corp. 507,348 16,646 
NextEra Energy, Inc. 1,036,700 124,528 
PG&E Corp. 1,139,029 68,433 
PPL Corp. 1,581,200 60,939 
  402,142 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Energy, Inc. 604,746 9,906 
NRG Yield, Inc. Class C (c) 533,625 8,250 
Vivint Solar, Inc. (a)(c) 2,996,551 10,758 
  28,914 
Multi-Utilities - 0.6%   
CenterPoint Energy, Inc. 426,200 9,602 
Dominion Resources, Inc. 1,043,639 75,403 
Sempra Energy 844,259 90,437 
  175,442 
TOTAL UTILITIES  606,498 
TOTAL COMMON STOCKS   
(Cost $14,542,460)  17,747,160 
Convertible Preferred Stocks - 0.0%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 121,377 3,914 
INFORMATION TECHNOLOGY - 0.0%   
Software - 0.0%   
MongoDB, Inc. Series F, 8.00% (a)(d) 281,270 2,284 
TOTAL CONVERTIBLE PREFERRED STOCKS   
(Cost $10,773)  6,198 
 Principal Amount (000s) Value (000s) 
Nonconvertible Bonds - 14.7%   
CONSUMER DISCRETIONARY - 1.1%   
Automobiles - 0.4%   
General Motors Co.:   
3.5% 10/2/18 5,595 5,738 
5.2% 4/1/45 3,663 3,558 
6.25% 10/2/43 921 1,016 
6.6% 4/1/36 4,528 5,164 
6.75% 4/1/46 7,595 8,885 
General Motors Financial Co., Inc.:   
2.625% 7/10/17 1,780 1,793 
3.15% 1/15/20 19,000 19,194 
3.25% 5/15/18 2,895 2,950 
3.5% 7/10/19 41,541 42,638 
4% 1/15/25 7,674 7,633 
4.2% 3/1/21 10,665 11,142 
4.25% 5/15/23 3,220 3,289 
4.75% 8/15/17 3,095 3,196 
Volkswagen International Finance NV 2.375% 3/22/17 (e) 1,830 1,841 
  118,037 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 617 635 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp.:   
2.75% 12/9/20 1,722 1,768 
3.7% 1/30/26 4,539 4,824 
4.7% 12/9/35 2,343 2,518 
4.875% 12/9/45 3,677 4,073 
  13,183 
Media - 0.7%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 6,333 7,715 
7.75% 12/1/45 9,421 13,244 
AOL Time Warner, Inc. 2.95% 7/15/26 23,000 22,573 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (e) 10,261 10,808 
4.908% 7/23/25 (e) 6,898 7,392 
6.484% 10/23/45 (e) 4,347 5,014 
Discovery Communications LLC 5.05% 6/1/20 204 222 
Thomson Reuters Corp.:   
1.3% 2/23/17 2,082 2,084 
3.85% 9/29/24 5,214 5,418 
Time Warner Cable, Inc.:   
4% 9/1/21 10,989 11,438 
4.5% 9/15/42 3,752 3,343 
5.5% 9/1/41 3,051 3,073 
5.85% 5/1/17 1,829 1,896 
5.875% 11/15/40 7,066 7,374 
6.55% 5/1/37 40,485 45,583 
6.75% 7/1/18 1,974 2,152 
7.3% 7/1/38 7,024 8,446 
8.25% 4/1/19 11,974 13,851 
Time Warner, Inc. 2.1% 6/1/19 12,500 12,596 
Viacom, Inc.:   
2.5% 9/1/18 809 818 
3.5% 4/1/17 264 268 
  185,308 
TOTAL CONSUMER DISCRETIONARY  317,163 
CONSUMER STAPLES - 0.9%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 18,881 19,214 
3.3% 2/1/23 20,335 20,901 
4.7% 2/1/36 19,253 20,803 
4.9% 2/1/46 22,019 24,539 
SABMiller Holdings, Inc. 2.45% 1/15/17 (e) 2,353 2,371 
  87,828 
Food & Staples Retailing - 0.1%   
CVS Health Corp.:   
3.5% 7/20/22 4,494 4,742 
3.875% 7/20/25 7,967 8,563 
Kroger Co. 3.3% 1/15/21 6,190 6,507 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,939 4,024 
3.3% 11/18/21 4,671 4,827 
  28,663 
Food Products - 0.1%   
Cargill, Inc. 6% 11/27/17 (e) 572 611 
ConAgra Foods, Inc. 1.9% 1/25/18 2,279 2,293 
William Wrigley Jr. Co.:   
1.4% 10/21/16(e) 3,710 3,716 
2% 10/20/17 (e) 5,313 5,360 
  11,980 
Tobacco - 0.4%   
Altria Group, Inc.:   
2.625% 1/14/20 12,900 13,266 
4% 1/31/24 3,615 3,959 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (e) 8,553 8,934 
4.25% 7/21/25 (e) 8,553 9,132 
Reynolds American, Inc.:   
2.3% 6/12/18 3,810 3,866 
3.25% 6/12/20 1,695 1,766 
4% 6/12/22 5,830 6,265 
4.45% 6/12/25 4,227 4,638 
4.85% 9/15/23 8,000 8,981 
5.7% 8/15/35 2,194 2,578 
5.85% 8/15/45 16,830 20,543 
6.15% 9/15/43 14,000 17,239 
7.25% 6/15/37 7,569 10,026 
  111,193 
TOTAL CONSUMER STAPLES  239,664 
ENERGY - 2.3%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (e) 6,909 6,374 
5.35% 3/15/20 (e) 6,814 6,559 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 2,791 2,883 
6.5% 4/1/20 3,517 3,819 
Halliburton Co.:   
3.8% 11/15/25 4,660 4,713 
4.85% 11/15/35 4,069 4,177 
5% 11/15/45 5,575 5,702 
Noble Holding International Ltd.:   
4% 3/16/18 (f) 617 598 
5.95% 4/1/25 3,936 2,883 
6.95% 4/1/45 3,799 2,507 
Transocean, Inc. 5.55% 12/15/16 (f) 4,522 4,556 
  44,771 
Oil, Gas & Consumable Fuels - 2.1%   
Anadarko Finance Co. 7.5% 5/1/31 5,158 5,835 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 11,445 11,860 
5.55% 3/15/26 6,563 6,996 
6.375% 9/15/17 1,978 2,081 
6.6% 3/15/46 8,910 9,904 
BP Capital Markets PLC:   
4.5% 10/1/20 1,336 1,463 
4.742% 3/11/21 6,000 6,659 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,851 2,801 
Cenovus Energy, Inc. 5.7% 10/15/19 6,698 6,855 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,617 1,614 
3.3% 6/1/20 7,911 7,935 
4.5% 6/1/25 2,416 2,497 
DCP Midstream Operating LP:   
2.5% 12/1/17 3,027 2,959 
2.7% 4/1/19 5,369 5,028 
3.875% 3/15/23 2,761 2,450 
4.95% 4/1/22 1,267 1,213 
5.6% 4/1/44 2,216 1,823 
Duke Energy Field Services 6.45% 11/3/36 (e) 6,493 5,438 
El Paso Natural Gas Co. 5.95% 4/15/17 1,572 1,618 
Empresa Nacional de Petroleo 4.375% 10/30/24 (e) 5,615 5,767 
Enable Midstream Partners LP:   
2.4% 5/15/19 1,957 1,783 
3.9% 5/15/24 2,064 1,749 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,103 8,154 
4.375% 10/15/20 5,808 5,860 
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (e) 780 780 
Kinder Morgan Energy Partners LP:   
2.65% 2/1/19 804 796 
3.45% 2/15/23 9,672 9,079 
3.95% 9/1/22 6,675 6,539 
6.55% 9/15/40 904 880 
Kinder Morgan, Inc.:   
2% 12/1/17 2,620 2,590 
3.05% 12/1/19 2,353 2,345 
Marathon Petroleum Corp. 5.125% 3/1/21 4,415 4,774 
Motiva Enterprises LLC 5.75% 1/15/20 (e) 1,252 1,351 
MPLX LP 4% 2/15/25 1,190 1,068 
Nakilat, Inc. 6.067% 12/31/33 (e) 2,490 2,802 
Nexen, Inc. 6.2% 7/30/19 2,252 2,498 
Pemex Project Funding Master Trust 5.75% 3/1/18 25,063 26,103 
Petrobras Global Finance BV:   
3% 1/15/19 18,609 17,102 
3.25% 3/17/17 21,613 21,591 
4.375% 5/20/23 4,137 3,171 
4.875% 3/17/20 23,870 21,559 
5.625% 5/20/43 22,261 14,804 
7.25% 3/17/44 30,172 22,959 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 47,072 41,659 
5.75% 1/20/20 17,949 16,841 
5.875% 3/1/18 3,468 3,503 
7.875% 3/15/19 7,382 7,484 
Petroleos Mexicanos:   
3.5% 7/18/18 8,047 8,071 
3.5% 7/23/20 8,815 8,628 
3.5% 1/30/23 5,005 4,555 
4.5% 1/23/26 11,915 11,181 
4.875% 1/24/22 1,430 1,429 
4.875% 1/18/24 7,021 6,889 
5.5% 1/21/21 13,423 13,943 
5.5% 6/27/44 19,723 16,473 
5.625% 1/23/46 11,673 9,907 
6% 3/5/20 4,797 5,091 
6.375% 1/23/45 26,396 24,715 
6.5% 6/2/41 8,420 7,957 
6.875% 8/4/26 (e) 13,000 14,126 
8% 5/3/19 3,943 4,374 
Phillips 66 Co.:   
2.95% 5/1/17 1,844 1,873 
4.3% 4/1/22 6,383 6,834 
Phillips 66 Partners LP 2.646% 2/15/20 652 643 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,940 1,993 
Shell International Finance BV 4.375% 5/11/45 18,896 19,483 
Southeast Supply Header LLC 4.25% 6/15/24 (e) 5,790 5,601 
Southwestern Energy Co.:   
3.3% 1/23/18 3,081 2,973 
4.05% 1/23/20 5,591 5,004 
4.95% 1/23/25 4,632 3,879 
Spectra Energy Capital, LLC 5.65% 3/1/20 1,087 1,152 
Spectra Energy Partners LP:   
2.95% 6/15/16 1,472 1,473 
4.6% 6/15/21 1,816 1,929 
Suncor Energy, Inc. 6.1% 6/1/18 623 667 
The Williams Companies, Inc.:   
3.7% 1/15/23 5,046 4,251 
4.55% 6/24/24 25,316 22,088 
Western Gas Partners LP 5.375% 6/1/21 10,614 10,685 
Williams Partners LP:   
3.6% 3/15/22 5,086 4,476 
4% 11/15/21 3,157 2,921 
4.3% 3/4/24 10,014 8,910 
4.5% 11/15/23 3,444 3,128 
  589,922 
TOTAL ENERGY  634,693 
FINANCIALS - 7.6%   
Banks - 3.6%   
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (e) 6,350 6,339 
4% 4/14/19 (e) 18,318 17,929 
5.5% 7/12/20 (e) 21,376 21,403 
5.75% 9/26/23 (e) 5,809 5,733 
6.369% 6/16/18 (e) 12,537 12,938 
6.5% 6/10/19 (e) 2,097 2,165 
Bank of America Corp.:   
1.35% 11/21/16 5,398 5,406 
2.6% 1/15/19 57,427 58,325 
3.875% 8/1/25 5,598 5,842 
3.95% 4/21/25 11,273 11,256 
4% 1/22/25 2,766 2,771 
4.2% 8/26/24 11,449 11,691 
4.25% 10/22/26 6,748 6,848 
4.45% 3/3/26 9,902 10,220 
5.625% 10/14/16 22,550 22,933 
5.75% 12/1/17 19,000 20,099 
6.5% 8/1/16 1,220 1,231 
Bank of Tokyo-Mitsubishi UFJ Ltd.:   
1.7% 3/5/18 (e) 20,793 20,781 
2.3% 3/5/20 (e) 10,090 10,141 
Barclays PLC:   
2% 3/16/18 16,700 16,673 
2.75% 11/8/19 5,728 5,720 
3.25% 1/12/21 8,790 8,862 
4.375% 1/12/26 11,847 12,071 
BB&T Corp. 3.95% 3/22/22 1,805 1,924 
Capital One NA 2.95% 7/23/21 8,837 8,982 
Citigroup, Inc.:   
1.55% 8/14/17 26,000 26,025 
1.75% 5/1/18 21,658 21,662 
1.8% 2/5/18 17,419 17,438 
1.85% 11/24/17 13,884 13,921 
2.15% 7/30/18 17,815 17,947 
3.875% 3/26/25 17,000 16,985 
4.05% 7/30/22 17,500 18,242 
4.3% 11/20/26 14,000 14,168 
Citizens Bank NA 2.55% 5/13/21 3,064 3,058 
Citizens Financial Group, Inc. 4.15% 9/28/22 (e) 7,659 7,889 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 8,440 8,344 
3.75% 3/26/25 8,440 8,260 
3.8% 9/15/22 13,270 13,368 
Credit Suisse New York Branch 5.4% 1/14/20 1,450 1,572 
Discover Bank 7% 4/15/20 4,144 4,679 
Fifth Third Bancorp:   
2.875% 7/27/20 43,000 43,718 
3.5% 3/15/22 638 663 
4.5% 6/1/18 584 612 
5.45% 1/15/17 4,032 4,132 
HBOS PLC 6.75% 5/21/18 (e) 560 602 
HSBC Holdings PLC 4.25% 3/14/24 3,415 3,463 
Huntington Bancshares, Inc. 7% 12/15/20 3,353 3,881 
Huntington National Bank:   
1.7% 2/26/18 37,500 37,509 
2.2% 4/1/19 3,200 3,208 
2.4% 4/1/20 40,000 39,952 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (e) 5,410 5,127 
5.71% 1/15/26 (e) 13,365 13,139 
JPMorgan Chase & Co.:   
2.75% 6/23/20 10,395 10,588 
3.875% 9/10/24 26,780 27,331 
4.125% 12/15/26 102,076 105,681 
KeyCorp. 5.1% 3/24/21 628 698 
Rabobank Nederland 4.375% 8/4/25 13,516 14,066 
Regions Bank 6.45% 6/26/37 12,100 14,371 
Regions Financial Corp.:   
2% 5/15/18 7,953 7,951 
3.2% 2/8/21 5,563 5,622 
Royal Bank of Canada 4.65% 1/27/26 10,184 10,636 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 65,325 64,532 
6% 12/19/23 12,648 13,185 
6.1% 6/10/23 9,334 9,769 
6.125% 12/15/22 39,429 41,847 
SunTrust Banks, Inc.:   
2.35% 11/1/18 3,000 3,035 
3.5% 1/20/17 4,862 4,920 
Wells Fargo & Co.:   
4.1% 6/3/26 15,000 15,815 
4.48% 1/16/24 6,481 7,007 
  1,014,901 
Capital Markets - 1.6%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 8,929 8,692 
4.25% 2/15/24 3,357 3,469 
Credit Suisse AG 6% 2/15/18 17,158 18,137 
Deutsche Bank AG 4.5% 4/1/25 27,715 25,712 
Deutsche Bank AG London Branch 2.85% 5/10/19 18,270 18,278 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 24,600 24,600 
2.55% 10/23/19 85,599 86,773 
2.6% 4/23/20 1,000 1,010 
2.625% 1/31/19 30,072 30,579 
2.9% 7/19/18 10,319 10,544 
5.95% 1/18/18 5,343 5,699 
6.15% 4/1/18 3,993 4,304 
6.25% 9/1/17 23,534 24,844 
Lazard Group LLC:   
4.25% 11/14/20 5,286 5,551 
6.85% 6/15/17 1,319 1,383 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 30,624 32,418 
Morgan Stanley:   
1.875% 1/5/18 7,156 7,181 
2.125% 4/25/18 18,100 18,242 
2.5% 1/24/19 43,150 43,819 
2.65% 1/27/20 2,659 2,699 
4.875% 11/1/22 8,674 9,410 
5.625% 9/23/19 547 606 
5.95% 12/28/17 301 320 
6.625% 4/1/18 1,804 1,960 
Peachtree Corners Funding Trust 3.976% 2/15/25 (e) 10,000 10,075 
UBS AG Stamford Branch:   
1.375% 6/1/17 6,466 6,465 
1.8% 3/26/18 12,466 12,517 
2.375% 8/14/19 12,750 12,931 
UBS Group Funding Ltd. 4.125% 9/24/25 (e) 9,717 9,965 
  438,183 
Consumer Finance - 0.5%   
Capital One Financial Corp. 2.45% 4/24/19 5,260 5,307 
Discover Financial Services:   
3.85% 11/21/22 2,701 2,736 
3.95% 11/6/24 20,000 20,306 
5.2% 4/27/22 2,488 2,689 
6.45% 6/12/17 13,316 13,898 
Ford Motor Credit Co. LLC:   
2.145% 1/9/18 25,000 25,133 
2.875% 10/1/18 11,000 11,224 
5% 5/15/18 10,000 10,578 
5.875% 8/2/21 12,574 14,298 
Hyundai Capital America:   
1.45% 2/6/17 (e) 6,312 6,310 
1.875% 8/9/16 (e) 1,605 1,607 
2.125% 10/2/17 (e) 2,357 2,369 
2.55% 2/6/19 (e) 6,671 6,756 
2.875% 8/9/18 (e) 2,848 2,899 
Synchrony Financial:   
1.875% 8/15/17 1,554 1,553 
3% 8/15/19 2,283 2,308 
3.75% 8/15/21 8,466 8,740 
4.25% 8/15/24 3,469 3,586 
  142,297 
Diversified Financial Services - 0.1%   
Brixmor Operating Partnership LP 3.875% 8/15/22 5,986 5,995 
IntercontinentalExchange, Inc.:   
2.75% 12/1/20 3,082 3,169 
3.75% 12/1/25 5,510 5,709 
  14,873 
Insurance - 0.6%   
ACE INA Holdings, Inc. 2.875% 11/3/22 5,658 5,813 
AIA Group Ltd. 2.25% 3/11/19 (e) 1,416 1,422 
American International Group, Inc.:   
3.3% 3/1/21 4,640 4,759 
3.75% 7/10/25 14,847 14,909 
4.875% 6/1/22 11,881 12,978 
5.6% 10/18/16 5,560 5,651 
Aon Corp. 5% 9/30/20 129 143 
Five Corners Funding Trust 4.419% 11/15/23 (e) 9,345 9,919 
Great-West Life & Annuity Insurance Co. 3.1641% 5/16/46 (e)(f) 2,508 2,213 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 685 706 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (e) 6,498 6,803 
5% 6/1/21 (e) 8,525 9,308 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 4,819 5,310 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (e) 9,547 8,712 
Metropolitan Life Global Funding I 1.875% 6/22/18 (e) 7,075 7,128 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e) 4,915 6,066 
Pacific Life Insurance Co. 9.25% 6/15/39 (e) 3,967 5,664 
Pacific LifeCorp:   
5.125% 1/30/43 (e) 7,709 8,022 
6% 2/10/20 (e) 9,721 10,784 
Prudential Financial, Inc.:   
2.3% 8/15/18 888 902 
4.5% 11/16/21 1,764 1,940 
7.375% 6/15/19 2,520 2,903 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (e) 8,243 8,941 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (e) 1,938 1,969 
4.125% 11/1/24 (e) 2,810 2,892 
Unum Group:   
3.875% 11/5/25 9,271 9,200 
5.625% 9/15/20 3,860 4,253 
5.75% 8/15/42 12,079 12,814 
7.125% 9/30/16 2,076 2,114 
  174,238 
Real Estate Investment Trusts - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,369 1,362 
4.6% 4/1/22 2,035 2,157 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,759 1,782 
American Tower Corp. 2.8% 6/1/20 8,000 8,078 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,800 2,961 
Camden Property Trust 2.95% 12/15/22 2,417 2,408 
CommonWealth REIT 5.875% 9/15/20 1,166 1,270 
Corporate Office Properties LP:   
3.7% 6/15/21 4,267 4,236 
5% 7/1/25 4,089 4,203 
DDR Corp.:   
3.625% 2/1/25 3,723 3,647 
4.25% 2/1/26 3,429 3,508 
4.625% 7/15/22 4,470 4,756 
4.75% 4/15/18 6,131 6,408 
7.5% 4/1/17 8,836 9,252 
Duke Realty LP:   
3.625% 4/15/23 3,152 3,216 
3.75% 12/1/24 2,549 2,596 
3.875% 10/15/22 5,452 5,648 
4.375% 6/15/22 3,753 3,993 
5.95% 2/15/17 346 356 
6.75% 3/15/20 1,339 1,532 
8.25% 8/15/19 2,643 3,120 
Equity One, Inc.:   
3.75% 11/15/22 8,200 8,185 
6% 9/15/17 876 917 
Federal Realty Investment Trust 5.9% 4/1/20 1,971 2,236 
HCP, Inc.:   
3.15% 8/1/22 7,000 6,829 
3.875% 8/15/24 13,000 12,866 
Health Care REIT, Inc.:   
2.25% 3/15/18 2,600 2,616 
4% 6/1/25 6,098 6,239 
4.125% 4/1/19 13,700 14,379 
4.7% 9/15/17 843 872 
HRPT Properties Trust:   
6.25% 6/15/17 996 1,016 
6.65% 1/15/18 676 707 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,249 2,262 
Omega Healthcare Investors, Inc.:   
4.5% 1/15/25 2,128 2,068 
4.5% 4/1/27 34,977 33,430 
4.95% 4/1/24 2,101 2,135 
5.25% 1/15/26 10,420 10,695 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,583 1,506 
5% 12/15/23 1,140 1,170 
Weingarten Realty Investors 3.375% 10/15/22 1,228 1,230 
WP Carey, Inc. 4% 2/1/25 9,404 9,010 
  196,857 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,304 7,326 
4.1% 10/1/24 6,548 6,569 
4.55% 10/1/29 6,548 6,578 
4.95% 4/15/18 4,846 5,062 
5.7% 5/1/17 309 320 
Digital Realty Trust LP:   
3.4% 10/1/20 9,100 9,331 
3.95% 7/1/22 5,752 5,916 
4.75% 10/1/25 6,539 6,836 
5.25% 3/15/21 4,138 4,568 
Essex Portfolio LP 5.5% 3/15/17 3,921 4,036 
Liberty Property LP:   
3.375% 6/15/23 3,313 3,289 
4.125% 6/15/22 3,219 3,363 
4.75% 10/1/20 8,747 9,449 
5.5% 12/15/16 2,529 2,582 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,556 4,561 
3.15% 5/15/23 7,438 6,654 
4.5% 4/18/22 2,016 2,023 
7.75% 8/15/19 2,476 2,788 
Mid-America Apartments LP:   
4% 11/15/25 2,248 2,330 
4.3% 10/15/23 1,248 1,320 
Post Apartment Homes LP 3.375% 12/1/22 1,364 1,360 
Regency Centers LP 5.875% 6/15/17 1,329 1,384 
Tanger Properties LP:   
3.75% 12/1/24 4,790 4,836 
3.875% 12/1/23 2,716 2,780 
6.125% 6/1/20 9,597 10,849 
Ventas Realty LP:   
1.25% 4/17/17 3,126 3,122 
1.55% 9/26/16 1,068 1,069 
3.125% 6/15/23 2,534 2,528 
3.5% 2/1/25 2,833 2,834 
3.75% 5/1/24 7,900 8,068 
4.125% 1/15/26 2,782 2,911 
4.375% 2/1/45 1,322 1,226 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 4,056 4,061 
4% 4/30/19 1,999 2,091 
  144,020 
TOTAL FINANCIALS  2,125,369 
HEALTH CARE - 0.7%   
Biotechnology - 0.1%   
AbbVie, Inc.:   
1.75% 11/6/17 6,470 6,484 
3.2% 11/6/22 8,127 8,265 
3.6% 5/14/25 12,082 12,380 
  27,129 
Health Care Providers & Services - 0.3%   
Express Scripts Holding Co.:   
3.9% 2/15/22 1,915 2,005 
4.75% 11/15/21 17,355 19,124 
HCA Holdings, Inc.:   
3.75% 3/15/19 11,874 12,230 
4.25% 10/15/19 20,200 20,958 
4.75% 5/1/23 375 383 
5.875% 3/15/22 450 486 
6.5% 2/15/20 12,966 14,263 
McKesson Corp. 2.284% 3/15/19 6,400 6,489 
Medco Health Solutions, Inc. 4.125% 9/15/20 5,031 5,376 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 3,113 3,286 
3.75% 7/15/25 8,581 9,240 
WellPoint, Inc. 1.875% 1/15/18 195 196 
  94,036 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,745 1,745 
2.4% 2/1/19 1,100 1,112 
3.3% 2/15/22 13,389 13,720 
  16,577 
Pharmaceuticals - 0.2%   
Actavis Funding SCS:   
1.3% 6/15/17 12,949 12,909 
2.45% 6/15/19 3,839 3,868 
3% 3/12/20 7,106 7,199 
3.45% 3/15/22 12,371 12,561 
Mylan N.V.:   
2.6% 6/9/19 (e) 4,811 4,806 
3.25% 6/9/21 (e) 9,840 9,829 
Mylan, Inc. 1.35% 11/29/16 2,039 2,037 
Perrigo Co. PLC:   
1.3% 11/8/16 1,664 1,660 
2.3% 11/8/18 1,780 1,772 
Perrigo Finance PLC:   
3.5% 12/15/21 1,752 1,772 
3.9% 12/15/24 2,611 2,566 
4.9% 12/15/44 1,145 1,057 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 2,149 2,152 
Zoetis, Inc. 1.875% 2/1/18 992 991 
  65,179 
TOTAL HEALTH CARE  202,921 
INDUSTRIALS - 0.3%   
Aerospace & Defense - 0.0%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (e) 5,000 5,595 
Airlines - 0.1%   
Continental Airlines, Inc.:   
6.648% 3/15/19 699 717 
6.9% 7/2/19 238 243 
Southwest Airlines Co. 2.75% 11/6/19 14,700 15,053 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 1,471 1,515 
8.36% 1/20/19 936 988 
  18,516 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,829 1,836 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 3,319 3,315 
2.625% 9/4/18 8,396 8,363 
3.375% 6/1/21 4,953 4,997 
3.75% 2/1/22 7,839 7,953 
3.875% 4/1/21 6,320 6,522 
4.25% 9/15/24 5,492 5,530 
4.75% 3/1/20 5,518 5,890 
  42,570 
TOTAL INDUSTRIALS  68,517 
INFORMATION TECHNOLOGY - 0.2%   
Electronic Equipment & Components - 0.0%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
6.02% 6/15/26 (e)(g) 3,670 3,703 
8.35% 7/15/46 (e)(g) 3,667 3,728 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,262 1,270 
6.55% 10/1/17 1,119 1,192 
  9,893 
IT Services - 0.0%   
Xerox Corp. 2.95% 3/15/17 1,143 1,150 
Technology Hardware, Storage & Peripherals - 0.2%   
Apple, Inc. 4.375% 5/13/45 18,876 19,884 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (e) 8,781 9,021 
4.9% 10/15/25 (e) 8,781 8,981 
6.35% 10/15/45 (e) 8,781 8,389 
  46,275 
TOTAL INFORMATION TECHNOLOGY  57,318 
MATERIALS - 0.1%   
Metals & Mining - 0.1%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (e)(f) 3,645 3,809 
6.75% 10/19/75 (e)(f) 9,054 9,416 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (e) 8,722 9,076 
4.5% 8/13/23 (Reg. S) 10,600 10,924 
4.875% 11/4/44 (e) 2,152 2,041 
4.875% 11/4/44 (Reg. S) 5,050 4,789 
  40,055 
TELECOMMUNICATION SERVICES - 0.7%   
Diversified Telecommunication Services - 0.7%   
AT&T, Inc.:   
2.45% 6/30/20 5,759 5,787 
3.6% 2/17/23 13,016 13,353 
4.75% 5/15/46 7,350 7,288 
4.8% 6/15/44 18,630 18,643 
BellSouth Capital Funding Corp. 7.875% 2/15/30 61 76 
CenturyLink, Inc.:   
5.15% 6/15/17 487 499 
6% 4/1/17 3,467 3,571 
6.15% 9/15/19 4,463 4,681 
Embarq Corp. 7.995% 6/1/36 53,896 53,842 
Verizon Communications, Inc.:   
2.625% 2/21/20 9,818 10,058 
4.5% 9/15/20 45,631 50,051 
5.012% 8/21/54 23,143 23,919 
6.1% 4/15/18 4,897 5,313 
6.25% 4/1/37 4,611 5,515 
  202,596 
Wireless Telecommunication Services - 0.0%   
America Movil S.A.B. de CV 2.375% 9/8/16 371 372 
TOTAL TELECOMMUNICATION SERVICES  202,968 
UTILITIES - 0.8%   
Electric Utilities - 0.7%   
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (e) 5,539 6,242 
6.4% 9/15/20 (e) 14,254 16,212 
Edison International 3.75% 9/15/17 4,499 4,630 
Entergy Corp. 4% 7/15/22 8,700 9,204 
Eversource Energy 1.45% 5/1/18 1,676 1,668 
Exelon Corp.:   
1.55% 6/9/17 1,687 1,687 
3.95% 6/15/25 7,948 8,337 
FirstEnergy Corp.:   
2.75% 3/15/18 11,918 12,004 
4.25% 3/15/23 27,079 27,951 
7.375% 11/15/31 43,919 53,513 
FirstEnergy Solutions Corp. 6.05% 8/15/21 12,120 13,003 
IPALCO Enterprises, Inc. 3.45% 7/15/20 13,932 14,071 
LG&E and KU Energy LLC 3.75% 11/15/20 1,034 1,093 
Nevada Power Co. 6.5% 8/1/18 2,642 2,922 
NV Energy, Inc. 6.25% 11/15/20 1,957 2,292 
Pennsylvania Electric Co. 6.05% 9/1/17 618 650 
PG&E Corp. 2.4% 3/1/19 931 945 
Progress Energy, Inc. 4.4% 1/15/21 405 440 
TECO Finance, Inc. 5.15% 3/15/20 164 180 
West Penn Power Co. 5.95% 12/15/17 (e) 6,500 6,880 
  183,924 
Gas Utilities - 0.0%   
Southern Natural Gas Co. 5.9% 4/1/17 (e) 357 367 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,473 2,485 
Texas Eastern Transmission LP 6% 9/15/17 (e) 1,301 1,365 
  4,217 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
2.9286% 9/30/66 (f) 20,448 15,134 
7.5% 6/30/66 (f) 5,485 4,580 
NiSource Finance Corp.:   
5.45% 9/15/20 6,455 7,250 
6.4% 3/15/18 1,206 1,301 
6.8% 1/15/19 4,065 4,564 
Puget Energy, Inc. 6% 9/1/21 813 924 
Wisconsin Energy Corp. 6.25% 5/15/67 (f) 4,882 4,015 
  37,768 
TOTAL UTILITIES  225,909 
TOTAL NONCONVERTIBLE BONDS   
(Cost $4,073,826)  4,114,577 
U.S. Government and Government Agency Obligations - 5.5%   
U.S. Treasury Inflation-Protected Obligations - 1.4%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $118,740 $113,035 
1.375% 2/15/44 99,615 109,750 
U.S. Treasury Inflation-Indexed Notes:   
0.25% 1/15/25 63,366 63,202 
0.625% 1/15/26 100,219 103,541 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  389,528 
U.S. Treasury Obligations - 4.1%   
U.S. Treasury Bills, yield at date of purchase 0.2% to 0.3% 6/9/16 to 8/4/16 (h) 6,880 6,878 
U.S. Treasury Bonds:   
3% 5/15/45 168,235 180,721 
3% 11/15/45 85,886 92,254 
U.S. Treasury Notes:   
1.25% 3/31/21 516,300 513,194 
1.375% 4/30/21 94,330 94,304 
1.5% 2/28/23 175,511 173,900 
1.75% 12/31/20 (i) 96,932 98,621 
TOTAL U.S. TREASURY OBLIGATIONS  1,159,872 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,538,689)  1,549,400 
U.S. Government Agency - Mortgage Securities - 1.0%   
Fannie Mae - 0.6%   
2.302% 6/1/36 (f) 142 148 
2.5% 9/1/27 to 4/1/43 11,059 11,327 
2.628% 7/1/37 (f) 264 280 
3% 1/1/43 to 8/1/45 21,355 21,960 
3.5% 9/1/29 to 4/1/46 47,950 50,616 
3.5% 6/1/46 (g) 100 105 
4% 11/1/31 to 2/1/46 27,471 29,529 
4.5% 12/1/23 to 4/1/45 14,704 16,031 
5% 7/1/33 to 11/1/44 11,083 12,354 
5.5% 9/1/24 to 9/1/41 14,499 16,204 
6% 6/1/35 to 8/1/37 3,841 4,425 
6.5% 7/1/32 to 8/1/36 781 911 
TOTAL FANNIE MAE  163,890 
Freddie Mac - 0.3%   
3% 3/1/45 to 7/1/45 17,478 17,962 
3.391% 10/1/35 (f) 139 148 
3.5% 4/1/43 to 4/1/46 20,219 21,203 
4% 6/1/24 to 2/1/46 22,927 24,584 
4.5% 7/1/25 to 4/1/41 9,793 10,695 
5% 3/1/19 to 7/1/41 3,910 4,334 
5.5% 1/1/34 to 3/1/40 767 868 
6% 7/1/37 to 8/1/37 231 263 
6.5% 3/1/36 604 708 
TOTAL FREDDIE MAC  80,765 
Ginnie Mae - 0.1%   
3% 12/20/42 to 1/20/43 2,132 2,210 
3% 6/1/46 (g) 680 703 
3% 6/1/46 (g) 200 207 
3% 6/1/46 (g) 100 103 
3% 6/1/46 (g) 200 207 
3% 6/1/46 (g) 100 103 
3% 6/1/46 (g) 200 207 
3.5% 11/20/41 to 5/20/46 19,488 20,642 
3.5% 6/1/46 (g) 4,480 4,728 
4% 9/20/40 to 7/20/45 10,747 11,551 
4.5% 4/20/41 2,230 2,427 
5% 5/15/39 880 986 
5.5% 12/15/31 to 1/15/39 1,954 2,231 
TOTAL GINNIE MAE  46,305 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $286,894)  290,960 
Asset-Backed Securities - 0.4%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1439% 4/25/35 (f) $729 $663 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.096% 3/25/34 (f) 259 250 
AmeriCredit Automobile Receivables Trust Series 2013-4:   
Class C, 2.72% 9/9/19 1,410 1,425 
Class D, 3.31% 10/8/19 880 893 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.4889% 12/25/33 (f) 48 45 
Series 2004-R2 Class M3, 1.2639% 4/25/34 (f) 99 73 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2189% 3/25/34 (f) 53 47 
Series 2004-W11 Class M2, 1.496% 11/25/34 (f) 616 596 
Series 2004-W7 Class M1, 1.2639% 5/25/34 (f) 1,519 1,393 
Series 2006-W4 Class A2C, 0.606% 5/25/36 (f) 1,246 416 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.2639% 4/25/34 (f) 1,790 1,549 
Series 2006-HE2 Class M1, 0.816% 3/25/36 (f) 18 3 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.71% 4/20/20 10,478 10,500 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.5789% 12/25/36 (f) 1,978 1,100 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.8939% 4/25/34 (f) 67 58 
Series 2004-4 Class M2, 1.241% 6/25/34 (f) 105 97 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,468 1,504 
Fannie Mae Series 2004-T5 Class AB3, 1.235% 5/28/35 (f) 43 37 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6139% 8/25/34 (f) 319 303 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.271% 3/25/34 (f) 11 9 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.181% 1/25/35 (f) 1,041 904 
Class M4, 1.466% 1/25/35 (f) 381 206 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0423% 2/25/47 (e)(f) 1,335 1,192 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.614% 11/15/34 (e)(f) 569 538 
Class B, 0.7145% 11/15/34 (e)(f) 205 180 
Class C, 0.8145% 11/15/34 (e)(f) 342 295 
Class D, 1.1845% 11/15/34 (e)(f) 130 109 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.766% 8/25/33 (f) 258 239 
Series 2003-3 Class M1, 1.736% 8/25/33 (f) 471 442 
Series 2003-5 Class A2, 1.146% 12/25/33 (f) 36 34 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6289% 1/25/37 (f) 1,642 1,023 
Invitation Homes Trust Series 2015-SFR3 Class E, 4.186% 8/17/32 (e)(f) 2,593 2,553 
JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 0.7389% 7/25/36 (f) 2,588 1,182 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9601% 12/27/29 (f) 64 63 
Series 2006-A Class 2C, 1.7801% 3/27/42 (f) 2,909 1,375 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.7389% 5/25/37 (f) 318 4 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.196% 7/25/34 (f) 107 89 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.421% 7/25/34 (f) 225 209 
Series 2006-FM1 Class A2B, 0.5489% 4/25/37 (f) 112 112 
Series 2006-OPT1 Class A1A, 0.966% 6/25/35 (f) 1,513 1,457 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.126% 8/25/34 (f) 63 55 
Series 2005-NC1 Class M1, 1.106% 1/25/35 (f) 247 223 
Series 2005-NC2 Class B1, 2.201% 3/25/35 (f) 181 4 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.956% 9/25/35 (f) 1,566 1,462 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3139% 9/25/34 (f) 585 538 
Class M4, 2.6139% 9/25/34 (f) 750 451 
Series 2005-WCH1 Class M4, 1.6839% 1/25/36 (f) 1,620 1,446 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.246% 4/25/33 (f) 6 5 
Santander Drive Auto Receivables Trust:   
Series 2014-1 Class C, 2.36% 4/15/20 9,000 9,054 
Series 2014-2 Class C, 2.33% 11/15/19 6,409 6,456 
Series 2014-3:   
Class B, 1.45% 5/15/19 22,594 22,606 
Class C, 2.13% 8/17/20 22,594 22,683 
Series 2014-4 Class C, 2.6% 11/16/20 3,645 3,684 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2339% 3/25/35 (f) 756 703 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5839% 6/15/33 (f) 546 511 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.171% 9/25/34 (f) 43 36 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.2989% 9/25/34 (f) 32 29 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1717% 4/6/42 (e)(f) 2,206 1,059 
TOTAL ASSET-BACKED SECURITIES   
(Cost $97,318)  104,172 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.006% 1/25/35 (f) 978 942 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.748% 10/25/34 (f) 412 403 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6579% 8/25/36 (f) 984 866 
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.6489% 5/25/47 (f) 350 323 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.616% 2/25/37 (f) 721 652 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7289% 7/25/35 (f) 881 847 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.7865% 6/10/35 (e)(f) 334 292 
Class B6, 3.2865% 6/10/35 (e)(f) 71 60 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.675% 7/20/34 (f) 24 23 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.0668% 4/25/33 (f) 54 54 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.6389% 9/25/36 (f) 1,252 1,206 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.086% 9/25/43 (f) 1,877 1,802 
TOTAL PRIVATE SPONSOR  7,470 
U.S. Government Agency - 0.1%   
Ginnie Mae guaranteed REMIC pass-thru certificates:   
sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (j) 11,696 11,676 
Series 2015-H21 Class JA, 2.5% 6/20/65 (j) 12,675 12,855 
TOTAL U.S. GOVERNMENT AGENCY  24,531 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $30,881)  32,001 
Commercial Mortgage Securities - 1.8%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6025% 2/14/43 (f)(k) 226 1 
Banc of America Commercial Mortgage Trust:   
sequential payer:   
Series 2006-3 Class A4, 5.889% 7/10/44 (f) 6,056 6,048 
Series 2006-6 Class A3, 5.369% 10/10/45 90 90 
Series 2007-2 Class A4, 5.7898% 4/10/49 (f) 24,579 24,769 
Series 2007-3 Class A4, 5.7164% 6/10/49 (f) 1,973 2,012 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 4,105 4,174 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI:   
Class B, 2.0328% 5/15/32 (e)(f) 7,236 7,088 
Class C, 2.4828% 5/15/32 (e)(f) 6,417 6,312 
Class D, 3.3328% 5/15/32 (e)(f) 3,365 3,224 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.721% 12/25/33 (e)(f) 30 28 
Series 2005-3A:   
Class A2, 0.846% 11/25/35 (e)(f) 300 261 
Class M1, 0.886% 11/25/35 (e)(f) 39 33 
Class M2, 0.936% 11/25/35 (e)(f) 50 40 
Class M3, 0.956% 11/25/35 (e)(f) 45 34 
Class M4, 1.046% 11/25/35 (e)(f) 56 42 
Series 2005-4A:   
Class A2, 0.836% 1/25/36 (e)(f) 781 667 
Class B1, 1.846% 1/25/36 (e)(f) 34 25 
Class M1, 0.896% 1/25/36 (e)(f) 252 201 
Class M2, 0.916% 1/25/36 (e)(f) 76 58 
Class M3, 0.946% 1/25/36 (e)(f) 110 82 
Class M4, 1.056% 1/25/36 (e)(f) 61 44 
Class M5, 1.096% 1/25/36 (e)(f) 61 44 
Class M6, 1.146% 1/25/36 (e)(f) 65 47 
Series 2006-1:   
Class A2, 0.806% 4/25/36 (e)(f) 120 103 
Class M1, 0.826% 4/25/36 (e)(f) 43 34 
Class M2, 0.846% 4/25/36 (e)(f) 46 36 
Class M3, 0.866% 4/25/36 (e)(f) 39 31 
Class M4, 0.966% 4/25/36 (e)(f) 22 17 
Class M5, 1.006% 4/25/36 (e)(f) 22 15 
Class M6, 1.086% 4/25/36 (e)(f) 43 30 
Series 2006-2A:   
Class M1, 0.756% 7/25/36 (e)(f) 103 81 
Class M2, 0.776% 7/25/36 (e)(f) 73 57 
Class M3, 0.796% 7/25/36 (e)(f) 60 47 
Class M4, 0.866% 7/25/36 (e)(f) 41 32 
Class M5, 0.916% 7/25/36 (e)(f) 50 37 
Series 2006-3A Class M4, 0.876% 10/25/36 (e)(f) 32 4 
Series 2006-4A:   
Class A2, 0.716% 12/25/36 (e)(f) 2,305 1,898 
Class M1, 0.736% 12/25/36 (e)(f) 154 119 
Class M2, 0.756% 12/25/36 (e)(f) 102 72 
Class M3, 0.786% 12/25/36 (e)(f) 103 60 
Series 2007-1 Class A2, 0.716% 3/25/37 (e)(f) 454 386 
Series 2007-2A:   
Class A1, 0.716% 7/25/37 (e)(f) 481 406 
Class A2, 0.766% 7/25/37 (e)(f) 451 359 
Class M1, 0.816% 7/25/37 (e)(f) 158 120 
Class M2, 0.856% 7/25/37 (e)(f) 87 61 
Class M3, 0.936% 7/25/37 (e)(f) 67 42 
Series 2007-3:   
Class A2, 0.736% 7/25/37 (e)(f) 472 377 
Class M1, 0.756% 7/25/37 (e)(f) 94 71 
Class M2, 0.786% 7/25/37 (e)(f) 100 73 
Class M3, 0.816% 7/25/37 (e)(f) 158 81 
Class M4, 0.946% 7/25/37 (e)(f) 248 91 
Class M5, 1.046% 7/25/37 (e)(f) 121 16 
Series 2007-4A Class M1, 1.396% 9/25/37 (e)(f) 104 31 
Series 2004-1, Class IO, 1.25% 4/25/34 (e)(k) 1,050 40 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(f)(k) 14,381 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer:   
Series 2007-PW16 Class A4, 5.9113% 6/11/40 (f) 579 594 
Series 2007-PW18 Class A4, 5.7% 6/11/50 5,575 5,762 
C-BASS Trust floater Series 2006-SC1 Class A, 0.716% 5/25/36 (e)(f) 116 113 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.433% 12/15/27 (e)(f) 2,953 2,870 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.8994% 12/10/49 (f) 4,371 4,515 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:   
Series 2006-CD3 Class A5, 5.617% 10/15/48 784 787 
Series 2007-CD4 Class A4, 5.322% 12/11/49 8,878 8,989 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.2845% 4/15/17 (e)(f) 138 138 
Credit Suisse Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C4 Class A3, 5.467% 9/15/39 319 319 
Series 2007-C2 Class A2, 5.448% 1/15/49 (f) 25 25 
Series 2007-C3 Class A4, 5.8882% 6/15/39 (f) 457 466 
Series 2007-C5 Class A4, 5.695% 9/15/40 (f) 877 907 
Credit Suisse First Boston Mortgage Securities Corp. Series 2001-CKN5 Class AX, 0.0075% 9/15/34 (e)(f)(k) 0 0 
CSMC Series 2015-TOWN:   
Class B, 2.3328% 3/15/17 (e)(f) 1,574 1,539 
Class C, 2.6828% 3/15/17 (e)(f) 1,534 1,492 
Class D, 3.6328% 3/15/17 (e)(f) 2,321 2,269 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/19 (e)(f) 7,930 8,080 
Class CFX, 3.4949% 12/15/19 (e)(f) 6,656 6,634 
Class DFX, 3.4949% 12/15/19 (e)(f) 5,641 5,516 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 21,243 21,678 
Greenwich Capital Commercial Funding Corp.:   
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 28,505 28,887 
Series 2006-GG7 Class A4, 6.1291% 7/10/38 (f) 67 67 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 1,641 1,647 
Class A4, 5.56% 11/10/39 9,219 9,241 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (e) 1,380 1,387 
Class DFX, 4.4065% 11/5/30 (e) 12,899 12,968 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH:   
Class C, 2.0845% 4/15/27 (e)(f) 2,117 2,063 
Class D, 2.6845% 4/15/27 (e)(f) 4,512 4,378 
sequential payer:   
Series 2006-CB16 Class A4, 5.552% 5/12/45 1,242 1,242 
Series 2006-CB17 Class A4, 5.429% 12/12/43 6,719 6,770 
Series 2006-LDP8:   
Class A1A, 5.397% 5/15/45 1,461 1,461 
Class A4, 5.399% 5/15/45 122 122 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 10,039 10,145 
Series 2007-CB18 Class A4, 5.44% 6/12/47 3,811 3,867 
Series 2007-CB19 Class A4, 5.8886% 2/12/49 (f) 4,512 4,612 
Series 2007-LD11 Class A4, 5.929% 6/15/49 (f) 34,884 35,529 
Series 2007-LDPX Class A3, 5.42% 1/15/49 16,600 16,874 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (f) 71 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0959% 7/15/44 (f) 2,835 2,948 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2006-C6 Class A4, 5.372% 9/15/39 392 393 
Series 2007-C1 Class A4, 5.424% 2/15/40 3,813 3,865 
Series 2007-C2 Class A3, 5.43% 2/15/40 2,369 2,407 
Series 2007-C6 Class A4, 5.858% 7/15/40 (f) 1,267 1,292 
Series 2007-C7 Class A3, 5.866% 9/15/45 2,900 3,040 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.6823% 1/12/44 (e)(f) 320 319 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,956 2,040 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2007-5 Class A4, 5.378% 8/12/48 7,134 7,233 
Series 2007-6 Class A4, 5.485% 3/12/51 (f) 10,897 11,115 
Series 2007-7 Class A4, 5.81% 6/12/50 (f) 4,133 4,264 
Series 2007-6 Class B, 5.635% 3/12/51 (f) 1,314 369 
Series 2007-8 Class A3, 6.0713% 8/12/49 (f) 1,124 1,161 
Morgan Stanley Capital I Trust:   
floater:   
Series 2006-XLF Class C, 1.634% 7/15/19 (e)(f) 393 392 
Series 2007-XLFA:   
Class D, 0.6228% 10/15/20 (e)(f) 164 164 
Class E, 0.6828% 10/15/20 (e)(f) 916 916 
Class F, 0.7328% 10/15/20 (e)(f) 550 550 
Class G, 0.7728% 10/15/20 (e)(f) 680 680 
Class H, 0.8628% 10/15/20 (e)(f) 428 426 
Class J, 1.0128% 10/15/20 (e)(f) 247 239 
sequential payer:   
Series 2007-HQ11 Class A31, 5.439% 2/12/44 72 72 
Series 2007-IQ15 Class A4, 6.1143% 6/11/49 (f) 22,233 23,067 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 10,971 11,198 
Class AAB, 5.654% 4/15/49 486 489 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (e) 165 49 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 37,013 37,593 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 46,948 47,686 
Class A5, 5.5% 4/15/47 5,339 5,458 
Series 2007-C32 Class A3, 5.8892% 6/15/49 (f) 4,600 4,720 
Series 2007-C33:   
Class A4, 6.1472% 2/15/51 (f) 27,096 27,645 
Class A5, 6.1472% 2/15/51 (f) 870 906 
Series 2006-C27 Class A1A, 5.749% 7/15/45 (f) 6,147 6,153 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (f) 3,942 3,640 
Class D, 5.513% 12/15/43 (f) 2,102 1,905 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $496,553)  488,498 
Municipal Securities - 1.2%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,255 $1,869 
7.3% 10/1/39 18,960 28,004 
7.5% 4/1/34 8,780 13,158 
7.55% 4/1/39 21,130 32,629 
7.625% 3/1/40 2,920 4,482 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,360 1,365 
Series 2010 C1, 7.781% 1/1/35 13,980 15,046 
Series 2012 B, 5.432% 1/1/42 6,845 5,637 
6.05% 1/1/29 475 476 
6.314% 1/1/44 14,335 13,033 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 38,500 39,293 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 4,370 4,461 
4.95% 6/1/23 8,975 9,476 
5.1% 6/1/33 85,900 82,213 
Series 2010 5, 6.2% 7/1/21 4,120 4,469 
Series 2010-1, 6.63% 2/1/35 17,960 19,602 
Series 2010-3:   
5.547% 4/1/19 185 197 
6.725% 4/1/35 10,580 11,627 
7.35% 7/1/35 5,140 5,814 
Series 2011:   
5.365% 3/1/17 215 221 
5.665% 3/1/18 9,625 10,154 
5.877% 3/1/19 26,600 28,808 
Series 2013, 4% 12/1/20 7,040 7,241 
TOTAL MUNICIPAL SECURITIES   
(Cost $330,211)  339,275 
Foreign Government and Government Agency Obligations - 0.0%   
Brazilian Federative Republic 4.875% 1/22/21
(Cost $3,159) 		3,000 $3,030 
Bank Notes - 0.3%   
Bank of America NA 5.3% 3/15/17 16,651 17,161 
Capital One NA 1.65% 2/5/18 8,000 7,982 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $9,774 $9,862 
3.1% 6/4/20 11,505 11,704 
8.7% 11/18/19 745 869 
Huntington National Bank 1.3% 11/20/16 4,131 4,135 
Marshall & Ilsley Bank 5% 1/17/17 10,492 10,707 
RBS Citizens NA 2.5% 3/14/19 5,410 5,449 
Regions Bank 7.5% 5/15/18 13,814 15,072 
Wachovia Bank NA 6% 11/15/17 8,083 8,608 
TOTAL BANK NOTES   
(Cost $90,103)  91,549 
Preferred Securities - 0.0%   
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
MUFG Capital Finance 1 Ltd. 6.346% (f)(l)   
(Cost $1,362) 1,204 $1,234 
 Shares Value (000s) 
Fixed-Income Funds - 9.5%   
Fidelity High Income Central Fund 2 (m) 6,372,306 679,734 
Fidelity Mortgage Backed Securities Central Fund (m) 18,099,597 1,992,585 
TOTAL FIXED-INCOME FUNDS   
(Cost $2,569,041)  2,672,319 
Money Market Funds - 2.5%   
Fidelity Cash Central Fund, 0.40% (n) 614,737,607 614,738 
Fidelity Securities Lending Cash Central Fund, 0.44% (n)(o) 75,998,350 75,998 
TOTAL MONEY MARKET FUNDS   
(Cost $690,736)  690,736 
TOTAL INVESTMENT PORTFOLIO - 100.2%   
(Cost $24,762,006)  28,131,109 
NET OTHER ASSETS (LIABILITIES) - (0.2)%  (53,677) 
NET ASSETS - 100%  $28,077,432 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
4% 6/1/46 $(500) $(534) 
4.5% 6/1/46 (5,400) (5,880) 
TOTAL FANNIE MAE  (6,414) 
Ginnie Mae   
3% 6/1/46 (500) (518) 
3% 6/1/46 (200) (207) 
3% 6/1/46 (100) (103) 
3% 6/1/46 (200) (207) 
3% 6/1/46 (100) (103) 
TOTAL GINNIE MAE  (1,138) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $7,552)  $(7,552) 

Futures Contracts    
 Expiration Date Underlying Face Amount at Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased    
Equity Index Contracts    
1,171 CME E-mini S&P 500 Index Contracts (United States) June 2016 122,656 $3,737 

The face value of futures purchased as a percentage of Net Assets is 0.4%

Swaps

Underlying Reference Rating(1) Expiration Date Clearinghouse/Counterparty Fixed Payment Received/(Paid) Notional Amount (000s)(2) Value (000s)(1) Upfront Premium Received/(Paid) (000s) Unrealized Appreciation/(Depreciation) (000s) 
Credit Default Swaps         
Sell Protection         
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 C Dec. 2034 Bank of America 4.25% USD 161 $(151) $0 $(151) 

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

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


Legend

 (a) Non-income producing

 (b) Affiliated company

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

 (d) 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 $2,284,000 or 0.0% of net assets.

 (e) 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 $549,964,000 or 2.0% of net assets.

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

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

 (h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $5,186,000.

 (i) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $121,000.

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

 (k) 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 institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements 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 are available on the SEC's website or upon request.

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


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

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
MongoDB, Inc. Series F, 8.00% 10/2/13 $4,704 

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 $1,243 
Fidelity High Income Central Fund 2 32,694 
Fidelity Mortgage Backed Securities Central Fund 32,144 
Fidelity Securities Lending Cash Central Fund 1,804 
Total $67,885 

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 High Income Central Fund 2 $699,679 $-- $-- $679,734 83.1% 
Fidelity Mortgage Backed Securities Central Fund 1,563,842 565,027 150,041 1,992,585 29.7% 
Total $2,263,521 $565,027 $150,041 $2,672,319  

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 
MDC Partners, Inc. Class A $-- $56,084 $879 $1,094 $47,663 
Opower, Inc. 25,294 976 29,750 -- -- 
Total $25,294 $57,060 $30,629 $1,094 $47,663 

Investment Valuation

The following is a summary of the inputs used, as of May 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,354,627 $2,337,417 $17,210 $-- 
Consumer Staples 1,774,684 1,774,684 -- -- 
Energy 1,284,687 1,284,687 -- -- 
Financials 2,887,475 2,887,475 -- -- 
Health Care 2,653,072 2,653,072 -- -- 
Industrials 1,610,377 1,610,377 -- -- 
Information Technology 3,466,642 3,453,056 11,302 2,284 
Materials 689,733 689,733 -- -- 
Telecommunication Services 425,563 425,563 -- -- 
Utilities 606,498 606,498 -- -- 
Corporate Bonds 4,114,577 -- 4,114,577 -- 
U.S. Government and Government Agency Obligations 1,549,400 -- 1,549,400 -- 
U.S. Government Agency - Mortgage Securities 290,960 -- 290,960 -- 
Asset-Backed Securities 104,172 -- 99,805 4,367 
Collateralized Mortgage Obligations 32,001 -- 32,001 -- 
Commercial Mortgage Securities 488,498 -- 488,163 335 
Municipal Securities 339,275 -- 339,275 -- 
Foreign Government and Government Agency Obligations 3,030 -- 3,030 -- 
Bank Notes 91,549 -- 91,549 -- 
Preferred Securities 1,234 -- 1,234 -- 
Fixed-Income Funds 2,672,319 2,672,319 -- -- 
Money Market Funds 690,736 690,736 -- -- 
Total Investments in Securities: $28,131,109 $21,085,617 $7,038,506 $6,986 
Derivative Instruments:     
Assets     
Futures Contracts $3,737 $3,737 $-- $-- 
Total Assets $3,737 $3,737 $-- $-- 
Liabilities     
Swaps $(151) $-- $(151) $-- 
Total Liabilities $(151) $-- $(151) $-- 
Total Derivative Instruments: $3,586 $3,737 $(151) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(7,552) $-- $(7,552) $-- 
Total Other Financial Instruments: $(7,552) $-- $(7,552) $-- 

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

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.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

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

Other Information

Income Tax Information

At May 31, 2016, the cost of investment securities for income tax purposes was $24,792,620,000. Net unrealized appreciation aggregated $3,338,489,000, of which $4,034,636,000 related to appreciated investment securities and $696,147,000 related to depreciated investment securities.

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





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

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

Item 2.

Controls and Procedures


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


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




Item 3.

Exhibits


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




SIGNATURES


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


Fidelity Puritan Trust



By:

/s/Stacie M. Smith


Stacie M. Smith


President and Treasurer



Date:

July 28, 2016


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



By:

/s/Stacie M. Smith


Stacie M. Smith


President and Treasurer



Date:

July 28, 2016



By:

/s/Howard J. Galligan III


Howard J. Galligan III


Chief Financial Officer



Date:

July 28, 2016