N-CSR 1 filing977.htm PRIMARY DOCUMENT


UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES


Investment Company Act file number   811-649  


Fidelity Puritan Trust

 (Exact name of registrant as specified in charter)


245 Summer St., Boston, Massachusetts  02210

 (Address of principal executive offices)       (Zip code)


Marc Bryant, Secretary

245 Summer St.

Boston, Massachusetts  02210

(Name and address of agent for service)



Registrant's telephone number, including area code:

617-563-7000



Date of fiscal year end:

 August 31

 

 

Date of reporting period:

August 31, 2016



Item 1.

Reports to Stockholders






Fidelity® Puritan® Fund



Annual Report

August 31, 2016



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2016 Past 1 year Past 5 years Past 10 years 
Fidelity® Puritan® Fund 7.36% 10.23% 6.62% 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Puritan® Fund, a class of the fund, on August 31, 2006.

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


Period Ending Values
$18,990Fidelity® Puritan® Fund
$20,628S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  U.S. equities advanced strongly for the year ending August 31, 2016, overcoming persistent concern about global economic growth, U.S. monetary policy and the U.K.’s late-June vote to leave the European Union (Brexit). The S&P 500® index rose 12.55%, with larger-cap, value-oriented stocks and defensive sectors shining brightest. Volatility peaked in early 2016, as continued oil-price weakness and U.S.-dollar strength pushed the S&P 500® to its worst January since 2009. Markets then rose beginning in February amid U.S. job gains, a broad rally in energy and materials markets, global economic stimulus and perceived softening of monetary policy by the U.S. Federal Reserve. The June 23 Brexit vote resulted in a sharp two-day decline for stocks, followed by a rebound as investor sentiment shifted and remained positive through August 31. For the year, dividend-rich telecommunication services, utilities and consumer staples led the way amid strong investor demand for yield. Conversely, a strong run for real estate stocks couldn’t help financials outpace the broader market. Meanwhile, the Barclays U.S. Aggregate Bond Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, in part as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities.

Comments from Lead Portfolio Manager Ramin Arani:  For the year, the fund’s share classes gained about 7%, trailing the 10.09% gain of the Fidelity Puritan Composite Index. Performance versus the Composite index was hampered most by security selection among equities, whereas asset allocation was a modest contributor. The largest individual detractor was pharmaceutical company Allergan. Shares of the Dublin-based company fell in early April after the firm called off a proposed merger amid new regulations meant to crack down on corporate inversions. Conversely, a non-benchmark stake in Vail Resorts was the biggest relative contributor. The company has done a nice job growing earnings and cash flow through increased visits to its portfolio of ski properties. Turning to fixed income, both sector positioning and security selection contributed to our relative results the past year. Specifically, the decision to overweight investment-grade credit was a significant contributor. Within this group, an overweighting in financials worked to our advantage, especially in the banking and real estate investment trust (REIT) categories. Conversely, out-of-benchmark exposure to Treasury Inflation-Protected Securities, or TIPS, was a modest detractor, as they performed poorly amid subdued inflation and slack demand for inflation protection.

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

Investment Summary (Unaudited)

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

Top Five Stocks as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Alphabet, Inc. Class C 2.9 2.9 
Apple, Inc. 2.1 1.9 
Microsoft Corp. 1.7 1.2 
Facebook, Inc. Class A 1.7 1.5 
Amazon.com, Inc. 1.4 1.1 
 9.8  

Top Five Bond Issuers as of August 31, 2016

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 4.1 3.3 
Fannie Mae 3.7 3.0 
Freddie Mac 1.5 1.7 
Ginnie Mae 1.2 1.2 
Citigroup, Inc. 0.7 0.8 
 11.2  

Top Five Market Sectors as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Information Technology 17.8 15.7 
Financials 17.0 17.7 
Consumer Discretionary 13.7 14.4 
Health Care 12.0 12.5 
Consumer Staples 7.3 6.4 

Asset Allocation (% of fund's net assets)

As of August 31, 2016* 
   Stocks 65.4% 
   Bonds 31.9% 
   Convertible Securities 0.6% 
   Other Investments 1.1% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.0% 


 * Foreign investments - 13.9%


As of February 29, 2016* 
   Stocks 63.0% 
   Bonds 32.0% 
   Convertible Securities 0.7% 
   Other Investments 1.4% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.9% 


 * Foreign investments - 14.1%


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

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

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

Investments August 31, 2016

Showing Percentage of Net Assets

Common Stocks - 65.3%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 11.5%   
Auto Components - 0.0%   
Chassix Holdings, Inc.(a) 18,330 $641 
Delphi Automotive PLC 18,393 1,300 
  1,941 
Automobiles - 0.3%   
Chongqing Changan Automobile Co. Ltd. (B Shares) 6,502,778 9,891 
General Motors Co. 151,398 4,833 
General Motors Co. warrants 7/10/19 (a) 8,394 117 
Tesla Motors, Inc. (a) 319,400 67,716 
  82,557 
Diversified Consumer Services - 0.2%   
ServiceMaster Global Holdings, Inc. (a) 1,138,000 42,459 
Hotels, Restaurants & Leisure - 2.2%   
ARAMARK Holdings Corp. 71,700 2,720 
Dave & Buster's Entertainment, Inc. (a) 544,200 25,278 
Domino's Pizza, Inc. 184,200 27,551 
Extended Stay America, Inc. unit 150,000 2,123 
McDonald's Corp. 1,280,600 148,114 
Red Rock Resorts, Inc. 278,655 5,967 
Starbucks Corp. 3,166,400 178,047 
Vail Resorts, Inc. 1,152,527 182,595 
  572,395 
Household Durables - 0.3%   
Newell Brands, Inc. 1,642,696 87,194 
Internet & Catalog Retail - 2.0%   
Amazon.com, Inc. (a) 484,400 372,581 
Expedia, Inc. 162,600 17,743 
Netflix, Inc. (a) 493,300 48,072 
Priceline Group, Inc. (a) 49,200 69,703 
  508,099 
Leisure Products - 0.2%   
Hasbro, Inc. 574,200 46,935 
Media - 3.3%   
Altice NV Class A (a) 523,244 8,711 
AMC Networks, Inc. Class A (a) 53,800 2,923 
Charter Communications, Inc. Class A (a) 762,964 196,242 
Comcast Corp. Class A 2,335,000 152,382 
Cumulus Media, Inc. Class A (a) 398,000 159 
Lions Gate Entertainment Corp. (b) 2,246,800 47,093 
Live Nation Entertainment, Inc. (a) 1,624,600 43,409 
Publicis Groupe SA 36,972 2,745 
Starz Series A (a) 1,419,200 44,265 
The Walt Disney Co. 1,110,590 104,906 
Time Warner, Inc. 836,400 65,582 
Tribune Media Co. Class A 13,773 524 
Tribune Publishing Co. 3,443 58 
Vertis Holdings, Inc. (a) 1,934 0 
Vice Holding, Inc. 86,301 169,383 
Vivendi SA 390,024 7,554 
  845,936 
Specialty Retail - 1.6%   
Home Depot, Inc. 1,832,700 245,802 
L Brands, Inc. 862,500 65,731 
TJX Companies, Inc. 691,000 53,511 
Ulta Salon, Cosmetics & Fragrance, Inc. (a) 222,900 55,103 
  420,147 
Textiles, Apparel & Luxury Goods - 1.4%   
adidas AG 228,600 37,995 
Brunello Cucinelli SpA 1,407,200 28,066 
Christian Dior SA 202,800 35,063 
Hermes International SCA 81,100 34,249 
lululemon athletica, Inc. (a) 509,500 38,982 
Luxottica Group SpA 81,800 3,949 
Michael Kors Holdings Ltd. (a) 129,061 6,318 
NIKE, Inc. Class B 1,424,300 82,097 
Ralph Lauren Corp. 51,500 5,336 
Ted Baker PLC 302,900 10,354 
Tory Burch LLC:   
Class A(a)(c)(d) 702,741 42,045 
Class B (a)(c)(d) 324,840 20,720 
  345,174 
TOTAL CONSUMER DISCRETIONARY  2,952,837 
CONSUMER STAPLES - 6.3%   
Beverages - 2.7%   
Anheuser-Busch InBev SA NV 120,700 14,975 
Anheuser-Busch InBev SA NV ADR 287,800 35,696 
Brown-Forman Corp. Class B (non-vtg.) 617,200 29,965 
Coca-Cola European Partners PLC 991,600 38,127 
Constellation Brands, Inc. Class A (sub. vtg.) 1,088,100 178,503 
Kweichow Moutai Co. Ltd. 546,469 25,378 
Molson Coors Brewing Co. Class B 1,430,500 146,369 
Monster Beverage Corp. (a) 523,100 80,500 
The Coca-Cola Co. 3,568,600 154,984 
  704,497 
Food & Staples Retailing - 1.0%   
Costco Wholesale Corp. 578,500 93,769 
CVS Health Corp. 1,236,200 115,461 
Ovation Acquisition I LLC (d) 389,576 4 
Wal-Mart Stores, Inc. 567,500 40,542 
  249,776 
Food Products - 0.5%   
Bunge Ltd. 381,600 24,384 
Mead Johnson Nutrition Co. Class A 454,800 38,690 
Premium Brands Holdings Corp. 4,400 209 
The Kraft Heinz Co. 430,200 38,499 
TreeHouse Foods, Inc. (a) 194,400 18,416 
WhiteWave Foods Co. (a) 90,000 4,989 
  125,187 
Household Products - 0.3%   
Kimberly-Clark Corp. 255,800 32,758 
Spectrum Brands Holdings, Inc. (b) 392,900 52,727 
  85,485 
Personal Products - 0.7%   
Coty, Inc. Class A (b) 1,042,000 28,082 
Estee Lauder Companies, Inc. Class A 1,498,400 133,702 
L'Oreal SA 10,600 2,002 
  163,786 
Tobacco - 1.1%   
Altria Group, Inc. 1,575,100 104,098 
Reynolds American, Inc. 3,758,084 186,288 
  290,386 
TOTAL CONSUMER STAPLES  1,619,117 
ENERGY - 3.3%   
Energy Equipment & Services - 0.8%   
Aspen Aerogels, Inc. (a) 377,281 1,852 
Baker Hughes, Inc. 978,300 48,064 
Schlumberger Ltd. 2,149,482 169,809 
  219,725 
Oil, Gas & Consumable Fuels - 2.5%   
Apache Corp. 748,600 37,205 
Chevron Corp. 2,275,400 228,860 
Cimarex Energy Co. 307,400 40,632 
ConocoPhillips Co. 597,100 24,511 
Devon Energy Corp. 2,256,100 97,757 
EQT Corp. 217,900 15,580 
Golar LNG Ltd. 542,100 11,292 
Imperial Oil Ltd. 1,965,800 59,975 
Kinder Morgan, Inc. 409,000 8,937 
Noble Energy, Inc. 724,499 24,981 
Southwestern Energy Co. (a) 4,072 57 
Suncor Energy, Inc. 2,987,300 81,004 
The Williams Companies, Inc. 377,600 10,550 
Warrior Met Coal LLC Class A (d) 414 58 
  641,399 
TOTAL ENERGY  861,124 
FINANCIALS - 8.9%   
Banks - 3.3%   
Bank of America Corp. 11,654,700 188,107 
Citigroup, Inc. 3,425,640 163,540 
First Republic Bank 50,000 3,848 
Hangzhou Hikvision Digital Technology Co. Ltd. ELS (A Shares) (BNP Paribas Arbitrage Warrant Program) warrants 10/21/16(a)(e) 7,792,950 29,262 
JPMorgan Chase & Co. 1,364,423 92,099 
SunTrust Banks, Inc. 2,158,500 95,125 
TCF Financial Corp. 258,400 3,786 
U.S. Bancorp 3,923,800 173,236 
Wells Fargo & Co. 2,106,540 107,012 
  856,015 
Capital Markets - 0.2%   
E*TRADE Financial Corp. (a) 2,420,800 63,861 
Goldman Sachs Group, Inc. 20,400 3,457 
Motors Liquidation Co. GUC Trust (a) 28,150 282 
  67,600 
Consumer Finance - 0.3%   
Capital One Financial Corp. 1,019,500 72,996 
Diversified Financial Services - 1.9%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 208,564 
Broadcom Ltd. 677,830 119,583 
McGraw Hill Financial, Inc. 328,800 40,620 
Moody's Corp. 482,800 52,476 
Senseonics Holdings, Inc. (b) 3,508,771 14,035 
WME Entertainment Parent, LLC Class A unit (c)(d) 24,342,601 50,000 
  485,278 
Insurance - 1.3%   
Chubb Ltd. 1,750,347 222,172 
MetLife, Inc. 926,300 40,201 
The Travelers Companies, Inc. 571,000 67,783 
  330,156 
Real Estate Investment Trusts - 1.8%   
American Tower Corp. 1,599,700 181,374 
Boston Properties, Inc. 404,200 56,641 
Public Storage 400,800 89,755 
Simon Property Group, Inc. 460,700 99,267 
Store Capital Corp. 1,263,200 37,429 
  464,466 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 961,800 28,748 
TOTAL FINANCIALS  2,305,259 
HEALTH CARE - 10.6%   
Biotechnology - 3.1%   
ACADIA Pharmaceuticals, Inc. (a)(b) 1,662,304 53,410 
Acceleron Pharma, Inc. (a) 130,400 3,913 
Alexion Pharmaceuticals, Inc. (a) 891,100 112,154 
Amgen, Inc. 1,992,000 338,760 
Asterias Biotherapeutics, Inc. warrants 9/30/16 (a) 26,174 5 
Biogen, Inc. (a) 197,800 60,454 
Genmab A/S (a) 118,088 18,867 
Geron Corp. (a)(b) 3,139,900 8,446 
Macrogenics, Inc. (a) 226,200 6,743 
Neurocrine Biosciences, Inc. (a) 579,100 28,063 
Puma Biotechnology, Inc. (a) 290,101 17,159 
Regeneron Pharmaceuticals, Inc. (a) 66,200 25,987 
Spark Therapeutics, Inc. (a) 178,800 10,117 
Vertex Pharmaceuticals, Inc. (a) 1,083,600 102,411 
  786,489 
Health Care Equipment & Supplies - 3.4%   
Boston Scientific Corp. (a) 9,659,000 230,077 
Corindus Vascular Robotics, Inc. (a)(b)(f) 1,315,800 1,539 
Corindus Vascular Robotics, Inc. (a)(d)(f) 5,000,000 5,850 
Danaher Corp. 1,192,200 97,057 
DexCom, Inc. (a) 286,200 26,070 
Intuitive Surgical, Inc. (a) 43,700 29,997 
Medtronic PLC 4,236,286 368,684 
Nevro Corp. (a) 468,000 44,193 
Zimmer Biomet Holdings, Inc. 564,000 73,100 
  876,567 
Health Care Providers & Services - 0.7%   
Cigna Corp. 195,400 25,062 
HCA Holdings, Inc. (a) 91,500 6,913 
HealthSouth Corp. warrants 1/17/17 (a) 1,835 5 
Legend Acquisition, Inc.(a) 2,509 35 
Legend Acquisition, Inc.:   
Class A warrants (a) 17,259 0 
Class B warrants(a) 22,759 0 
UnitedHealth Group, Inc. 1,129,100 153,614 
  185,629 
Life Sciences Tools & Services - 0.0%   
Illumina, Inc. (a) 1,862 313 
Pharmaceuticals - 3.4%   
Allergan PLC (a) 1,127,489 264,441 
Bristol-Myers Squibb Co. 949,100 54,469 
Catalent, Inc. (a) 976,100 24,627 
Eli Lilly & Co. 601,700 46,782 
Endo International PLC (a) 792,100 16,396 
GlaxoSmithKline PLC sponsored ADR 1,160,400 50,431 
Jazz Pharmaceuticals PLC (a) 114,600 14,191 
Johnson & Johnson 2,214,200 264,243 
Pfizer, Inc. 234,400 8,157 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,329,200 66,978 
The Medicines Company (a) 618,500 24,227 
TherapeuticsMD, Inc. (a) 4,922,824 33,869 
  868,811 
TOTAL HEALTH CARE  2,717,809 
INDUSTRIALS - 4.9%   
Aerospace & Defense - 3.0%   
BAE Systems PLC 3,064,300 21,654 
BWX Technologies, Inc. 672,700 26,107 
General Dynamics Corp. 821,100 124,988 
Honeywell International, Inc. 1,004,400 117,224 
Huntington Ingalls Industries, Inc. 371,800 61,410 
Northrop Grumman Corp. 218,000 46,231 
Raytheon Co. 1,045,900 146,562 
Rockwell Collins, Inc. 979,900 82,008 
TransDigm Group, Inc. (a) 132,600 37,816 
United Technologies Corp. 1,032,700 109,910 
  773,910 
Air Freight & Logistics - 0.1%   
FedEx Corp. 179,200 29,555 
Building Products - 0.2%   
Lennox International, Inc. 333,400 53,701 
Masonite International Corp. (a) 10,749 717 
  54,418 
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc. (a)(d) 5,819,318 349 
Electrical Equipment - 0.2%   
AMETEK, Inc. 369,500 18,013 
Fortive Corp. 596,100 31,397 
  49,410 
Industrial Conglomerates - 0.7%   
General Electric Co. 5,927,800 185,184 
Machinery - 0.3%   
Caterpillar, Inc. 925,300 75,828 
Road & Rail - 0.4%   
CSX Corp. 1,057,900 29,917 
Norfolk Southern Corp. 748,700 70,303 
  100,220 
Trading Companies & Distributors - 0.0%   
United Rentals, Inc. (a) 22,500 1,852 
TOTAL INDUSTRIALS  1,270,726 
INFORMATION TECHNOLOGY - 17.0%   
Communications Equipment - 0.6%   
Cisco Systems, Inc. 4,790,300 150,607 
Electronic Equipment & Components - 0.3%   
Amphenol Corp. Class A 677,600 42,221 
Arrow Electronics, Inc. (a) 88,800 5,846 
CDW Corp. 100,000 4,465 
E Ink Holdings, Inc. GDR (e) 140,100 1,057 
Keysight Technologies, Inc. (a) 637,727 19,406 
  72,995 
Internet Software & Services - 5.2%   
Alibaba Group Holding Ltd. sponsored ADR (a) 1,078,300 104,800 
Alphabet, Inc. Class C (a) 980,183 751,818 
Facebook, Inc. Class A (a) 3,423,660 431,792 
Functionx, Inc. (a)(b) 56,268 16 
GoDaddy, Inc. (a) 87,500 2,833 
Mail.Ru Group Ltd. GDR (a)(e) 77,400 1,300 
Pandora Media, Inc. (a)(b) 23,894 335 
Spotify Technology SA (a)(d) 15,262 27,411 
Yahoo!, Inc. (a) 720,500 30,801 
  1,351,106 
IT Services - 3.6%   
Accenture PLC Class A 1,141,700 131,296 
Cognizant Technology Solutions Corp. Class A (a) 3,059,600 175,743 
Computer Sciences Corp. 561,000 26,389 
Global Payments, Inc. 403,800 30,669 
MasterCard, Inc. Class A 1,733,200 167,479 
PayPal Holdings, Inc. (a) 1,031,200 38,309 
Visa, Inc. Class A 4,503,100 364,301 
  934,186 
Semiconductors & Semiconductor Equipment - 1.1%   
Analog Devices, Inc. 477,600 29,879 
Cypress Semiconductor Corp. 1,614 19 
Lam Research Corp. 251,466 23,467 
Maxim Integrated Products, Inc. 1,727,800 70,356 
NXP Semiconductors NV (a) 744,397 65,522 
Qorvo, Inc. (a) 394,800 22,673 
Skyworks Solutions, Inc. 149,300 11,177 
Texas Instruments, Inc. 816,000 56,745 
  279,838 
Software - 4.1%   
Activision Blizzard, Inc. 2,204,100 91,184 
Adobe Systems, Inc. (a) 1,030,900 105,471 
Autodesk, Inc. (a) 1,149,600 77,483 
Citrix Systems, Inc. (a) 215,400 18,783 
Electronic Arts, Inc. (a) 548,500 44,555 
Microsoft Corp. 7,581,900 435,656 
Mobileye NV (a)(b) 991,840 48,491 
Oracle Corp. 2,053,000 84,625 
Red Hat, Inc. (a) 198,000 14,450 
Salesforce.com, Inc. (a) 1,427,600 113,380 
Workday, Inc. Class A (a) 174,300 14,779 
  1,048,857 
Technology Hardware, Storage & Peripherals - 2.1%   
Apple, Inc. 4,982,600 528,654 
Western Digital Corp. 51,248 2,392 
  531,046 
TOTAL INFORMATION TECHNOLOGY  4,368,635 
MATERIALS - 1.6%   
Chemicals - 1.5%   
CF Industries Holdings, Inc. 275,230 7,156 
E.I. du Pont de Nemours & Co. 2,424,775 168,764 
LyondellBasell Industries NV Class A 42,698 3,368 
Monsanto Co. 795,800 84,753 
Potash Corp. of Saskatchewan, Inc. 551,000 9,983 
Sherwin-Williams Co. 157,000 44,542 
The Chemours Co. LLC 395,195 5,213 
The Dow Chemical Co. 1,047,700 56,199 
  379,978 
Construction Materials - 0.1%   
Eagle Materials, Inc. 199,200 16,010 
Vulcan Materials Co. 200,500 22,831 
  38,841 
Metals & Mining - 0.0%   
AngloGold Ashanti Ltd. sponsored ADR (a) 57,230 921 
TOTAL MATERIALS  419,740 
TELECOMMUNICATION SERVICES - 0.7%   
Diversified Telecommunication Services - 0.7%   
AT&T, Inc. 4,209,576 172,087 
Broadview Networks Holdings, Inc. (a) 123,987 161 
Iliad SA 28,725 5,923 
  178,171 
UTILITIES - 0.5%   
Electric Utilities - 0.4%   
Edison International 705,307 51,290 
NextEra Energy, Inc. 302,600 36,596 
PPL Corp. 410,800 14,288 
  102,174 
Independent Power and Renewable Electricity Producers - 0.0%   
NRG Yield, Inc. Class C 120,600 2,031 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 19,294 
TOTAL UTILITIES  123,499 
TOTAL COMMON STOCKS   
(Cost $12,660,658)  16,816,917 
Preferred Stocks - 0.7%   
Convertible Preferred Stocks - 0.6%   
CONSUMER DISCRETIONARY - 0.2%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(d) 1,082,251 2,002 
Roku, Inc. Series F, 8.00% (a)(d) 5,520,836 9,882 
  11,884 
Internet & Catalog Retail - 0.0%   
The Honest Co., Inc. Series D (d) 196,700 7,305 
Specialty Retail - 0.1%   
Moda Operandi, Inc. Series E (a)(d) 508,444 20,577 
TOTAL CONSUMER DISCRETIONARY  39,766 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 27,400 882 
HEALTH CARE - 0.1%   
Health Care Providers & Services - 0.1%   
Mulberry Health, Inc. Series A8 (d) 2,960,879 21,451 
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 12,300 10,242 
Teva Pharmaceutical Industries Ltd. 7% 5,570 4,751 
  14,993 
TOTAL HEALTH CARE  36,444 
INFORMATION TECHNOLOGY - 0.3%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00% (a)(d) 1,611,548 78,599 
Software - 0.0%   
Deem, Inc. (a)(d) 2,497,881 250 
TOTAL INFORMATION TECHNOLOGY  78,849 
UTILITIES - 0.0%   
Independent Power and Renewable Electricity Producers - 0.0%   
Dynegy, Inc. 7.00% (a) 42,400 3,642 
TOTAL CONVERTIBLE PREFERRED STOCKS  159,583 
Nonconvertible Preferred Stocks - 0.1%   
CONSUMER DISCRETIONARY - 0.0%   
Textiles, Apparel & Luxury Goods - 0.0%   
C. Wonder LLC Class A-1 (a)(c)(d) 619,047 0 
FINANCIALS - 0.1%   
Capital Markets - 0.1%   
GMAC Capital Trust I Series 2, 8.125% 294,279 7,433 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  7,433 
TOTAL PREFERRED STOCKS   
(Cost $141,438)  167,016 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 18.3%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 326 
3.5% 1/15/31 (e) 4,584 2,409 
  2,735 
Nonconvertible Bonds - 18.3%   
CONSUMER DISCRETIONARY - 1.8%   
Auto Components - 0.0%   
Gates Global LLC/Gates Global Co. 6% 7/15/22 (e) 1,260 1,197 
Schaeffler Holding Finance BV:   
6.25% 11/15/19 pay-in-kind (e)(g) 1,405 1,458 
6.75% 11/15/22 pay-in-kind (e)(g) 391 434 
6.875% 8/15/18 pay-in-kind (e)(g) 628 644 
  3,733 
Automobiles - 0.4%   
Ford Motor Co. 4.75% 1/15/43 10,000 10,817 
General Motors Co.:   
3.5% 10/2/18 4,530 4,661 
5.2% 4/1/45 2,729 2,905 
6.25% 10/2/43 763 914 
6.6% 4/1/36 3,372 4,158 
6.75% 4/1/46 5,655 7,257 
General Motors Financial Co., Inc.:   
2.625% 7/10/17 1,445 1,459 
3.15% 1/15/20 12,000 12,252 
3.25% 5/15/18 3,070 3,129 
3.5% 7/10/19 17,868 18,414 
4% 1/15/25 6,368 6,483 
4.25% 5/15/23 3,285 3,439 
4.375% 9/25/21 11,267 12,017 
4.75% 8/15/17 2,505 2,581 
Volkswagen International Finance NV 2.375% 3/22/17 (e) 1,515 1,522 
  92,008 
Distributors - 0.0%   
American Tire Distributors, Inc. 10.25% 3/1/22 (e) 2,265 2,009 
LKQ Corp. 4.75% 5/15/23 265 268 
  2,277 
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 12,026 
Service Corp. International 5.375% 1/15/22 505 528 
  13,125 
Hotels, Restaurants & Leisure - 0.2%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4.625% 1/15/22 (e) 1,175 1,216 
24 Hour Holdings III LLC 8% 6/1/22 (e) 510 417 
Aramark Services, Inc.:   
5.125% 1/15/24 1,625 1,685 
5.125% 1/15/24 (e) 4,620 4,790 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 4,332 
Chukchansi Economic Development Authority 9.75% 5/30/20 (e)(h) 2,861 1,573 
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26 735 803 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (e) 5,680 5,936 
KFC Holding Co./Pizza Hut Holding LLC:   
5% 6/1/24 (e) 5,275 5,532 
5.25% 6/1/26 (e) 4,105 4,362 
Landry's Acquisition Co. 9.375% 5/1/20 (e) 875 921 
Landry's Holdings II, Inc. 10.25% 1/1/18 (e) 900 916 
McDonald's Corp.:   
3.7% 1/30/26 3,379 3,652 
4.7% 12/9/35 1,744 2,001 
4.875% 12/9/45 2,737 3,238 
MGM Mirage, Inc. 6% 3/15/23 1,630 1,770 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (e) 865 878 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 4,650 4,795 
Playa Resorts Holding BV 8% 8/15/20 (e) 90 92 
Scientific Games Corp. 10% 12/1/22 6,840 6,327 
Studio City Finance Ltd. 8.5% 12/1/20 (e) 1,000 1,014 
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/2015 (e)(h) 534 0 
Wynn Macau Ltd. 5.25% 10/15/21 (e) 605 613 
  56,863 
Household Durables - 0.1%   
Beazer Homes U.S.A., Inc. 7.25% 2/1/23 775 732 
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (e) 785 789 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (e) 620 637 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.125% 7/15/23 (e) 925 960 
5.75% 10/15/20 4,574 4,717 
7% 7/15/24 (e) 1,160 1,243 
8.25% 2/15/21 (g) 1,485 1,544 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (e) 1,395 1,458 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 478 
7% 8/15/22 2,585 2,669 
8.5% 11/15/20 1,310 1,379 
Woodside Homes Co. LLC/Woodside Homes Finance, Inc. 6.75% 12/15/21 (e) 1,350 1,259 
  17,865 
Internet & Catalog Retail - 0.0%   
Netflix, Inc. 5.5% 2/15/22 5,000 5,375 
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 2,475 2,574 
  7,949 
Media - 1.0%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 4,745 6,156 
7.75% 12/1/45 8,012 12,176 
Altice SA:   
7.625% 2/15/25 (e) 4,905 5,040 
7.75% 5/15/22 (e) 10,065 10,713 
Altice U.S. Finance SA:   
5.375% 7/15/23 (e) 2,375 2,485 
7.75% 7/15/25 (e) 3,160 3,452 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,404 
Anna Merger Sub, Inc. 7.75% 10/1/22 (e) 1,810 1,672 
AOL Time Warner, Inc. 2.95% 7/15/26 17,000 17,340 
Cable One, Inc. 5.75% 6/15/22 (e) 895 942 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 288 
5.625% 2/15/24 670 713 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,659 
5.25% 3/15/21 3,375 3,519 
5.5% 5/1/26 (e) 1,035 1,096 
5.75% 9/1/23 945 997 
5.75% 1/15/24 4,235 4,505 
5.75% 2/15/26 (e) 5,010 5,361 
5.875% 5/1/27 (e) 3,385 3,622 
Cengage Learning, Inc. 9.5% 6/15/24 (e) 3,725 3,809 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e) 325 336 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (e) 3,345 3,383 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (e) 7,702 8,350 
4.908% 7/23/25 (e) 5,177 5,708 
6.484% 10/23/45 (e) 1,299 1,596 
Cinemark U.S.A., Inc.:   
4.875% 6/1/23 1,275 1,307 
5.125% 12/15/22 355 367 
Clear Channel Communications, Inc. 5.5% 12/15/16 4,965 4,866 
Clear Channel International BV 8.75% 12/15/20 (e) 2,420 2,565 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 763 
7.625% 3/15/20 585 562 
Series B, 6.5% 11/15/22 1,455 1,524 
7.625% 3/15/20 4,105 4,136 
Columbus International, Inc. 7.375% 3/30/21 (e) 7,655 8,191 
Discovery Communications LLC 5.05% 6/1/20 168 185 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,575 
5.875% 7/15/22 2,655 2,708 
6.75% 6/1/21 3,515 3,776 
Gray Television, Inc. 5.875% 7/15/26 (e) 985 1,027 
Lamar Media Corp.:   
5.375% 1/15/24 630 671 
5.875% 2/1/22 525 551 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (e) 3,965 4,243 
MDC Partners, Inc. 6.5% 5/1/24 (e) 2,350 2,233 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (e)(g) 15,108 15,297 
National CineMedia LLC:   
6% 4/15/22 2,600 2,717 
7.875% 7/15/21 1,380 1,435 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (e)(g) 2,265 1,018 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (e) 685 704 
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (e) 2,775 2,959 
Regal Entertainment Group 5.75% 3/15/22 1,230 1,287 
Sirius XM Radio, Inc.:   
5.375% 4/15/25 (e) 1,490 1,561 
5.75% 8/1/21 (e) 2,580 2,696 
Starz LLC/Starz Finance Corp. 5% 9/15/19 5,000 5,075 
Thomson Reuters Corp.:   
1.3% 2/23/17 1,794 1,797 
3.85% 9/29/24 4,335 4,643 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 10,290 
4.5% 9/15/42 2,819 2,727 
5.5% 9/1/41 2,304 2,500 
5.85% 5/1/17 1,621 1,668 
6.55% 5/1/37 10,296 12,424 
6.75% 7/1/18 1,581 1,723 
7.3% 7/1/38 3,823 4,965 
8.25% 4/1/19 10,176 11,760 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,599 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (e) 1,340 1,410 
Viacom, Inc.:   
2.5% 9/1/18 714 722 
3.5% 4/1/17 219 222 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (e) 1,060 1,106 
WideOpenWest Finance LLC/WideOpenWest Capital Corp.:   
10.25% 7/15/19 4,820 5,073 
13.375% 10/15/19 1,009 1,077 
Ziggo Bond Finance BV 5.875% 1/15/25 (e) 1,120 1,126 
  260,153 
Multiline Retail - 0.0%   
JC Penney Corp., Inc.:   
5.65% 6/1/20 1,357 1,350 
5.75% 2/15/18 400 415 
7.4% 4/1/37 440 396 
8.125% 10/1/19 2,160 2,325 
  4,486 
Specialty Retail - 0.0%   
L Brands, Inc. 6.875% 11/1/35 1,800 1,967 
Sally Holdings LLC 5.625% 12/1/25 1,575 1,706 
Sonic Automotive, Inc.:   
5% 5/15/23 195 194 
7% 7/15/22 885 936 
  4,803 
TOTAL CONSUMER DISCRETIONARY  463,262 
CONSUMER STAPLES - 1.0%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 14,051 14,480 
3.3% 2/1/23 15,133 15,879 
4.7% 2/1/36 14,328 16,607 
4.9% 2/1/46 16,386 19,815 
SABMiller Holdings, Inc. 2.45% 1/15/17 (e) 1,947 1,956 
  68,737 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
5.75% 3/15/25 (e) 3,775 3,907 
6.625% 6/15/24 (e) 2,555 2,743 
C&S Group Enterprises LLC 5.375% 7/15/22 (e) 3,435 3,349 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,622 
3.875% 7/20/25 5,311 5,850 
ESAL GmbH 6.25% 2/5/23 (e) 8,595 8,681 
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (e) 775 801 
Minerva Luxembourg SA 7.75% 1/31/23 (e) 6,275 6,599 
Performance Food Group, Inc. 5.5% 6/1/24 (e) 1,050 1,089 
Rite Aid Corp.:   
6.75% 6/15/21 1,995 2,102 
6.875% 12/15/28 (e)(g) 3,505 4,294 
7.7% 2/15/27 3,085 3,918 
9.25% 3/15/20 1,330 1,403 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (e) 2,955 2,652 
U.S. Foods, Inc. 5.875% 6/15/24 (e) 2,005 2,100 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,161 3,262 
3.3% 11/18/21 3,750 3,961 
  60,333 
Food Products - 0.2%   
Cargill, Inc. 6% 11/27/17 (e) 417 441 
ConAgra Foods, Inc. 1.9% 1/25/18 2,064 2,078 
Darling International, Inc. 5.375% 1/15/22 745 782 
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (e) 2,877 2,972 
JBS Investments GmbH:   
7.25% 4/3/24 (e) 6,300 6,669 
7.75% 10/28/20 (e) 2,850 3,028 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (e) 6,075 6,166 
5.875% 7/15/24 (e) 1,370 1,415 
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 5.875% 1/15/24 (e) 880 948 
Post Holdings, Inc.:   
6.75% 12/1/21 (e) 1,485 1,595 
7.75% 3/15/24 (e) 6,115 6,795 
8% 7/15/25 (e) 555 634 
TreeHouse Foods, Inc. 6% 2/15/24 (e) 1,065 1,158 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (e) 3,217 3,219 
2% 10/20/17 (e) 4,607 4,647 
  42,547 
Household Products - 0.0%   
Edgewell Personal Care Co. 5.5% 6/15/25 (e) 5,285 5,510 
Spectrum Brands Holdings, Inc.:   
5.75% 7/15/25 1,435 1,555 
6.375% 11/15/20 350 364 
6.625% 11/15/22 415 444 
  7,873 
Personal Products - 0.0%   
Revlon Consumer Products Corp. 5.75% 2/15/21 5,085 5,199 
Tobacco - 0.3%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 5,140 
4% 1/31/24 3,123 3,505 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (e) 6,420 6,810 
4.25% 7/21/25 (e) 6,420 7,027 
Reynolds American, Inc.:   
2.3% 6/12/18 2,235 2,270 
3.25% 6/12/20 1,273 1,340 
4% 6/12/22 4,375 4,790 
4.45% 6/12/25 3,173 3,561 
4.85% 9/15/23 7,000 8,032 
5.7% 8/15/35 1,646 2,045 
5.85% 8/15/45 12,632 16,474 
7.25% 6/15/37 6,101 8,420 
Vector Group Ltd. 7.75% 2/15/21 1,285 1,359 
  70,773 
TOTAL CONSUMER STAPLES  255,462 
ENERGY - 2.6%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (e) 5,634 5,549 
5.35% 3/15/20 (e) 5,174 5,252 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 5,755 6,252 
6.5% 4/1/20 2,937 3,282 
Ensco PLC:   
4.5% 10/1/24 1,690 1,203 
5.2% 3/15/25 75 54 
Gulfmark Offshore, Inc. 6.375% 3/15/22 1,485 624 
Halliburton Co.:   
3.8% 11/15/25 3,469 3,585 
4.85% 11/15/35 3,029 3,235 
5% 11/15/45 4,151 4,569 
Hornbeck Offshore Services, Inc.:   
5% 3/1/21 25 14 
5.875% 4/1/20 2,439 1,488 
Noble Holding International Ltd.:   
3.95% 3/15/22 230 175 
4.625% 3/1/21 765 641 
5% 3/16/18 (g) 470 462 
6.95% 4/1/25 (g) 3,485 2,840 
Pacific Drilling V Ltd. 7.25% 12/1/17 (e) 2,355 918 
Pride International, Inc. 7.875% 8/15/40 2,554 1,890 
Summit Midstream Holdings LLC 7.5% 7/1/21 500 508 
Transocean, Inc. 5.55% 12/15/16 (g) 3,719 3,747 
Weatherford International Ltd.:   
4.5% 4/15/22 1,865 1,548 
7.75% 6/15/21 2,420 2,396 
8.25% 6/15/23 2,940 2,890 
  53,122 
Oil, Gas & Consumable Fuels - 2.4%   
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 1,680 1,704 
Alpha Natural Resources, Inc. 9.75% 4/15/18 (h) 1,099 5 
Anadarko Finance Co. 7.5% 5/1/31 1,622 1,966 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 8,942 9,513 
5.55% 3/15/26 4,888 5,407 
6.375% 9/15/17 2,738 2,864 
6.6% 3/15/46 6,640 7,904 
Antero Resources Corp.:   
5.125% 12/1/22 7,435 7,342 
5.625% 6/1/23 (Reg. S) 1,835 1,840 
Antero Resources Finance Corp.:   
5.375% 11/1/21 1,790 1,792 
6% 12/1/20 760 778 
Blue Racer Mistream LLC/Blue Racer Finance Corp. 6.125% 11/15/22 (e) 5,000 4,813 
BP Capital Markets PLC:   
4.5% 10/1/20 1,106 1,221 
4.742% 3/11/21 4,210 4,761 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,250 2,241 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 910 899 
Cenovus Energy, Inc. 5.7% 10/15/19 5,158 5,540 
Chesapeake Energy Corp.:   
3.9301% 4/15/19 (g) 2,150 1,946 
4.875% 4/15/22 5,325 4,074 
5.75% 3/15/23 1,800 1,380 
8% 12/15/22 (e) 6,740 6,420 
Citgo Holding, Inc. 10.75% 2/15/20 (e) 2,315 2,371 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,213 1,219 
3.3% 6/1/20 5,938 6,145 
4.5% 6/1/25 1,813 1,961 
Concho Resources, Inc.:   
5.5% 10/1/22 1,090 1,128 
5.5% 4/1/23 750 774 
CONSOL Energy, Inc. 8% 4/1/23 5,000 4,875 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 1,150 1,121 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 6,640 5,796 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,667 
2.7% 4/1/19 4,139 4,010 
3.875% 3/15/23 2,327 2,211 
4.95% 4/1/22 1,048 1,056 
5.6% 4/1/44 1,686 1,543 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 2,983 
Diamondback Energy, Inc. 7.625% 10/1/21 935 992 
Duke Energy Field Services 6.45% 11/3/36 (e) 3,753 3,631 
El Paso Natural Gas Co. 5.95% 4/15/17 1,260 1,292 
Empresa Nacional de Petroleo 4.375% 10/30/24 (e) 4,545 4,860 
Enable Midstream Partners LP:   
2.4% 5/15/19 1,656 1,618 
3.9% 5/15/24 1,746 1,643 
Enbridge Energy Partners LP:   
4.2% 9/15/21 6,629 6,841 
4.375% 10/15/20 4,351 4,534 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
6.375% 6/15/23 775 424 
7.75% 9/1/22 1,310 717 
9.375% 5/1/20 7,305 4,712 
Gibson Energy, Inc. 6.75% 7/15/21 (e) 160 162 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 305 275 
7% 6/15/23 1,420 1,292 
Halcon Resources Corp. 8.625% 2/1/20 (e) 565 537 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (e) 1,265 1,227 
5.75% 10/1/25 (e) 6,625 6,493 
7.625% 4/15/21 (e) 4,201 4,317 
Jupiter Resources, Inc. 8.5% 10/1/22 (e) 2,785 2,200 
Kinder Morgan Energy Partners LP:   
2.65% 2/1/19 599 606 
3.45% 2/15/23 7,202 7,130 
3.5% 3/1/21 2,994 3,093 
6.55% 9/15/40 674 732 
Kinder Morgan, Inc.:   
3.05% 12/1/19 1,752 1,799 
5% 2/15/21 (e) 3,749 4,059 
Laredo Petroleum, Inc. 5.625% 1/15/22 1,600 1,496 
LINN Energy LLC/LINN Energy Finance Corp.:   
6.5% 5/15/19 (h) 3,390 729 
6.5% 9/15/21 (h) 720 155 
7.75% 2/1/21 (h) 20 4 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,535 
Motiva Enterprises LLC 5.75% 1/15/20 (e) 3,614 3,976 
MPLX LP 4% 2/15/25 962 940 
Murphy Oil Corp. 6.875% 8/15/24 550 573 
Nakilat, Inc. 6.067% 12/31/33 (e) 1,839 2,221 
Nexen, Inc. 6.2% 7/30/19 1,865 2,085 
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 3,975 4,045 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 553 
Parsley Energy LLC/Parsley 6.25% 6/1/24 (e) 4,225 4,362 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 (e) 2,850 2,709 
Peabody Energy Corp.:   
6.25% 11/15/21 (h) 2,010 432 
10% 3/15/22 (e)(h) 1,380 442 
Pemex Project Funding Master Trust 5.75% 3/1/18 21,220 22,302 
Petrobras Global Finance BV:   
4.375% 5/20/23 3,648 3,181 
4.875% 3/17/20 20,511 20,101 
5.625% 5/20/43 11,155 8,603 
7.25% 3/17/44 28,868 26,559 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 10,725 10,336 
5.75% 1/20/20 16,310 16,495 
7.875% 3/15/19 1,593 1,700 
Petroleos Mexicanos:   
3.5% 7/18/18 7,105 7,266 
3.5% 7/23/20 7,125 7,214 
3.5% 1/30/23 4,530 4,402 
4.5% 1/23/26 6,398 6,408 
4.875% 1/24/22 2,315 2,411 
4.875% 1/18/24 5,974 6,198 
5.5% 1/21/21 12,842 13,857 
5.5% 6/27/44 22,702 21,567 
5.625% 1/23/46 6,203 5,993 
6% 3/5/20 4,075 4,459 
6.375% 1/23/45 13,324 14,032 
6.5% 6/2/41 7,783 8,251 
6.875% 8/4/26 (e) 12,000 13,950 
8% 5/3/19 3,283 3,715 
Phillips 66 Co.:   
2.95% 5/1/17 1,527 1,545 
4.3% 4/1/22 5,338 5,880 
Phillips 66 Partners LP 2.646% 2/15/20 527 530 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,880 1,911 
Plains Exploration & Production Co.:   
6.5% 11/15/20 395 396 
6.625% 5/1/21 395 390 
6.75% 2/1/22 3,225 3,225 
6.875% 2/15/23 6,818 6,631 
Range Resources Corp. 4.875% 5/15/25 1,040 1,004 
Rice Energy, Inc.:   
6.25% 5/1/22 4,290 4,397 
7.25% 5/1/23 1,030 1,076 
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 7/15/22 635 584 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 2,585 2,721 
5.625% 3/1/25 6,075 6,424 
5.75% 5/15/24 8,830 9,382 
5.875% 6/30/26 (e) 3,780 4,045 
SemGroup Corp. 7.5% 6/15/21 2,610 2,623 
Shell International Finance BV 4.375% 5/11/45 6,392 7,037 
SM Energy Co.:   
5% 1/15/24 1,585 1,448 
5.625% 6/1/25 1,670 1,561 
6.125% 11/15/22 3,170 3,083 
6.5% 11/15/21 490 485 
6.5% 1/1/23 80 78 
Southeast Supply Header LLC 4.25% 6/15/24 (e) 4,893 4,936 
Southwestern Energy Co.:   
5.8% 1/23/20 (g) 4,519 4,519 
6.7% 1/23/25 (g) 3,470 3,565 
Spectra Energy Capital, LLC 5.65% 3/1/20 944 1,020 
Spectra Energy Partners LP 4.6% 6/15/21 1,296 1,399 
Suncor Energy, Inc. 6.1% 6/1/18 7,771 8,346 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 (e) 6,670 6,771 
6.25% 4/15/21 (e) 2,710 2,791 
6.375% 4/1/23 (e) 965 994 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
6.375% 8/1/22 570 589 
6.75% 3/15/24 (e) 7,000 7,438 
Teekay Corp.:   
8.5% 1/15/20 120 102 
8.5% 1/15/20 (e) 1,730 1,445 
Teine Energy Ltd. 6.875% 9/30/22 (e) 5,104 5,117 
Tesoro Logistics LP/Tesoro Logistics Finance Corp.:   
5.5% 10/15/19 990 1,054 
5.875% 10/1/20 235 241 
6.125% 10/15/21 700 733 
6.25% 10/15/22 2,750 2,911 
6.375% 5/1/24 1,185 1,265 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 4,023 
4.55% 6/24/24 19,902 20,350 
Western Gas Partners LP:   
4.65% 7/1/26 1,642 1,703 
5.375% 6/1/21 10,596 11,508 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 600 
Western Refining, Inc. 6.25% 4/1/21 550 535 
Williams Partners LP:   
3.6% 3/15/22 5,146 5,137 
3.9% 1/15/25 1,767 1,757 
4% 11/15/21 2,349 2,416 
4.3% 3/4/24 4,038 4,134 
4.5% 11/15/23 2,564 2,660 
WPX Energy, Inc.:   
5.25% 9/15/24 170 157 
6% 1/15/22 1,685 1,639 
7.5% 8/1/20 1,140 1,171 
8.25% 8/1/23 1,715 1,784 
  617,979 
TOTAL ENERGY  671,101 
FINANCIALS - 7.6%   
Banks - 2.9%   
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (e) 5,555 5,541 
4% 4/14/19 (e) 21,750 22,037 
5.5% 7/12/20 (e) 16,673 17,689 
5.75% 9/26/23 (e) 5,082 5,425 
6.369% 6/16/18 (e) 10,462 10,946 
6.5% 6/10/19 (e) 1,763 1,897 
Bank of America Corp.:   
1.35% 11/21/16 4,652 4,654 
2.6% 1/15/19 66,110 67,570 
2.65% 4/1/19 28,149 28,806 
3.5% 4/19/26 6,316 6,592 
3.875% 8/1/25 4,168 4,464 
3.95% 4/21/25 9,148 9,521 
4% 1/22/25 2,059 2,144 
4.2% 8/26/24 9,221 9,781 
4.25% 10/22/26 5,465 5,796 
4.45% 3/3/26 1,058 1,138 
5.75% 12/1/17 6,075 6,387 
Barclays PLC:   
2.75% 11/8/19 4,598 4,635 
4.375% 1/12/26 8,817 9,205 
BB&T Corp. 3.95% 3/22/22 1,495 1,606 
Capital One NA 2.95% 7/23/21 7,402 7,644 
CIT Group, Inc.:   
5% 8/15/22 4,195 4,447 
5% 8/1/23 2,755 2,920 
5.25% 3/15/18 3,215 3,352 
5.375% 5/15/20 2,805 2,998 
5.5% 2/15/19 (e) 5,285 5,595 
Citigroup, Inc.:   
1.3% 11/15/16 5,354 5,355 
1.75% 5/1/18 18,342 18,366 
1.85% 11/24/17 30,961 31,094 
2.4% 2/18/20 10,000 10,131 
2.5% 7/29/19 32,442 33,099 
2.55% 4/8/19 14,645 14,938 
4.05% 7/30/22 14,700 15,635 
4.3% 11/20/26 12,000 12,602 
Citizens Bank NA 2.55% 5/13/21 2,268 2,308 
Citizens Financial Group, Inc. 4.15% 9/28/22 (e) 6,650 6,874 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 6,421 6,438 
3.75% 3/26/25 6,420 6,430 
3.8% 9/15/22 9,940 10,142 
3.8% 6/9/23 (e) 12,454 12,634 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,316 
Discover Bank 7% 4/15/20 3,075 3,490 
Fifth Third Bancorp:   
3.5% 3/15/22 529 558 
4.5% 6/1/18 418 438 
5.45% 1/15/17 1,848 1,876 
HBOS PLC 6.75% 5/21/18 (e) 408 436 
HSBC Holdings PLC 4.25% 3/14/24 2,900 3,019 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 2,983 
Huntington National Bank:   
2% 6/30/18 13,000 13,087 
2.2% 4/1/19 2,700 2,728 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (e) 4,062 3,832 
5.71% 1/15/26 (e) 9,946 9,743 
JPMorgan Chase & Co.:   
2.95% 10/1/26 10,977 11,045 
3.875% 9/10/24 12,321 13,005 
4.125% 12/15/26 67,488 72,326 
KeyCorp. 5.1% 3/24/21 519 586 
Rabobank Nederland 4.375% 8/4/25 9,821 10,392 
Regions Bank 6.45% 6/26/37 10,147 12,363 
Regions Financial Corp. 3.2% 2/8/21 4,117 4,268 
Royal Bank of Canada 4.65% 1/27/26 7,579 8,336 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 49,264 49,843 
6% 12/19/23 13,834 14,633 
6.1% 6/10/23 7,367 7,823 
6.125% 12/15/22 35,362 37,767 
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17 5,250 5,253 
SunTrust Banks, Inc.:   
2.35% 11/1/18 2,500 2,541 
3.5% 1/20/17 4,123 4,151 
Wells Fargo & Co.:   
4.1% 6/3/26 13,000 14,112 
4.48% 1/16/24 5,192 5,750 
  756,536 
Capital Markets - 1.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,219 7,205 
4.25% 2/15/24 2,760 2,908 
Argos Merger Sub, Inc. 7.125% 3/15/23 (e) 8,000 8,410 
Credit Suisse AG 6% 2/15/18 12,547 13,209 
Deutsche Bank AG 4.5% 4/1/25 14,192 13,401 
Deutsche Bank AG London Branch 2.85% 5/10/19 13,520 13,564 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 16,038 
2.375% 1/22/18 10,000 10,128 
2.55% 10/23/19 70,000 71,554 
2.6% 4/23/20 1,300 1,326 
2.625% 1/31/19 25,103 25,746 
3.75% 2/25/26 15,000 15,878 
5.95% 1/18/18 4,242 4,495 
6.15% 4/1/18 3,466 3,711 
Lazard Group LLC:   
4.25% 11/14/20 4,447 4,713 
6.85% 6/15/17 1,063 1,104 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 4,204 4,405 
Morgan Stanley:   
1.875% 1/5/18 13,596 13,664 
2.125% 4/25/18 16,388 16,552 
2.5% 1/24/19 97,536 99,091 
4.875% 11/1/22 7,232 8,016 
5.625% 9/23/19 453 504 
5.95% 12/28/17 250 265 
Peachtree Corners Funding Trust 3.976% 2/15/25 (e) 7,000 7,058 
UBS AG Stamford Branch:   
1.8% 3/26/18 9,485 9,538 
2.375% 8/14/19 10,750 10,969 
UBS Group Funding Ltd. 4.125% 9/24/25 (e) 7,279 7,663 
  391,115 
Consumer Finance - 1.2%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.75% 5/15/17 7,625 7,678 
3.75% 5/15/19 2,125 2,186 
3.95% 2/1/22 5,000 5,188 
4.5% 5/15/21 2,325 2,453 
5% 10/1/21 6,860 7,392 
Ally Financial, Inc.:   
3.5% 1/27/19 2,025 2,055 
3.75% 11/18/19 2,000 2,045 
4.25% 4/15/21 10,920 11,248 
4.625% 5/19/22 1,365 1,433 
4.75% 9/10/18 2,295 2,384 
5.75% 11/20/25 8,715 9,271 
6.25% 12/1/17 1,800 1,888 
8% 12/31/18 19,035 21,153 
8% 11/1/31 22,391 28,045 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,561 
Discover Financial Services:   
3.85% 11/21/22 1,983 2,050 
3.95% 11/6/24 15,000 15,432 
5.2% 4/27/22 2,146 2,352 
6.45% 6/12/17 10,512 10,886 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 32,000 32,013 
2.375% 3/12/19 17,400 17,632 
2.875% 10/1/18 8,500 8,709 
3% 6/12/17 5,430 5,496 
5% 5/15/18 8,500 8,958 
5.875% 8/2/21 10,438 11,982 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,693 
Hyundai Capital America:   
1.45% 2/6/17 (e) 5,366 5,368 
2.125% 10/2/17 (e) 2,063 2,077 
2.55% 2/6/19 (e) 5,366 5,472 
2.875% 8/9/18 (e) 2,511 2,564 
Navient Corp.:   
5% 10/26/20 1,140 1,146 
5.875% 10/25/24 7,190 6,777 
6.625% 7/26/21 4,230 4,351 
SLM Corp.:   
4.875% 6/17/19 5,955 6,015 
5.5% 1/15/19 2,150 2,209 
5.5% 1/25/23 4,610 4,380 
6.125% 3/25/24 9,585 9,202 
7.25% 1/25/22 5,140 5,339 
8% 3/25/20 5,930 6,434 
8.45% 6/15/18 5,660 6,169 
Synchrony Financial:   
1.875% 8/15/17 1,300 1,303 
3% 8/15/19 1,910 1,952 
3.75% 8/15/21 7,084 7,429 
4.25% 8/15/24 2,903 3,046 
  313,416 
Diversified Financial Services - 0.1%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 8,309 8,325 
3.875% 8/15/22 3,136 3,274 
4.125% 6/15/26 2,949 3,061 
Herc Rentals, Inc.:   
7.5% 6/1/22 (e) 1,250 1,300 
7.75% 6/1/24 (e) 1,250 1,306 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,269 
5.875% 2/1/22 2,725 2,544 
6% 8/1/20 2,230 2,144 
MSCI, Inc. 5.75% 8/15/25 (e) 870 943 
RegionalCare Hospital Partners Holdings, Inc. 8.25% 5/1/23 (e) 1,645 1,676 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (e) 3,080 3,411 
  30,253 
Insurance - 0.6%   
ACE INA Holdings, Inc. 2.875% 11/3/22 4,232 4,453 
AIA Group Ltd. 2.25% 3/11/19 (e) 1,203 1,218 
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (e) 5,010 5,178 
American International Group, Inc.:   
3.3% 3/1/21 3,455 3,625 
3.75% 7/10/25 11,144 11,755 
4.875% 6/1/22 10,692 11,970 
5.85% 1/16/18 12,000 12,691 
Aon Corp. 5% 9/30/20 107 118 
Five Corners Funding Trust 4.419% 11/15/23 (e) 8,055 8,695 
Great-West Life & Annuity Insurance Co. 3.3563% 5/16/46 (e)(g) 2,008 1,717 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 595 607 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (e) 1,675 1,713 
HUB International Ltd. 9.25% 2/15/21 (e) 940 992 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (e) 2,655 2,874 
5% 6/1/21 (e) 6,063 6,713 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,816 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (e) 7,265 7,375 
Metropolitan Life Global Funding I 1.875% 6/22/18 (e) 6,476 6,542 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e) 3,585 4,672 
Pacific Life Insurance Co. 9.25% 6/15/39 (e) 3,048 4,814 
Pacific LifeCorp:   
5.125% 1/30/43 (e) 6,960 7,707 
6% 2/10/20 (e) 9,150 10,158 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 795 
4.5% 11/16/21 1,461 1,635 
7.375% 6/15/19 1,880 2,163 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (e) 6,853 7,820 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (e) 1,569 1,611 
4.125% 11/1/24 (e) 2,275 2,394 
Unum Group:   
3.875% 11/5/25 6,934 6,995 
5.625% 9/15/20 2,879 3,222 
5.75% 8/15/42 10,079 11,536 
7.125% 9/30/16 1,802 1,809 
  159,383 
Real Estate Investment Trusts - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,161 
4.6% 4/1/22 2,000 2,165 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,664 
American Tower Corp. 2.8% 6/1/20 6,000 6,145 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,602 
Camden Property Trust 2.95% 12/15/22 2,154 2,171 
CommonWealth REIT 5.875% 9/15/20 991 1,096 
Corporate Office Properties LP:   
3.7% 6/15/21 3,614 3,728 
5% 7/1/25 3,069 3,308 
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 205 209 
DDR Corp.:   
3.625% 2/1/25 3,010 3,053 
4.25% 2/1/26 2,564 2,720 
4.625% 7/15/22 3,877 4,211 
4.75% 4/15/18 4,595 4,789 
7.5% 4/1/17 4,966 5,124 
Duke Realty LP:   
3.25% 6/30/26 1,061 1,089 
3.625% 4/15/23 2,844 3,001 
3.75% 12/1/24 2,012 2,141 
3.875% 10/15/22 4,799 5,109 
4.375% 6/15/22 3,202 3,486 
6.75% 3/15/20 1,161 1,335 
8.25% 8/15/19 1,838 2,157 
Equity One, Inc. 3.75% 11/15/22 7,300 7,477 
ERP Operating LP 5.75% 6/15/17 637 659 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,569 
HCP, Inc.:   
3.15% 8/1/22 8,000 8,065 
3.875% 8/15/24 11,000 11,255 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,438 
4% 6/1/25 4,568 4,887 
4.125% 4/1/19 11,300 11,905 
4.7% 9/15/17 744 768 
HRPT Properties Trust:   
6.25% 6/15/17 726 735 
6.65% 1/15/18 490 508 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,955 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 710 754 
6.375% 3/1/24 1,545 1,696 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 8,734 8,905 
4.5% 1/15/25 1,769 1,796 
4.5% 4/1/27 21,587 21,832 
4.95% 4/1/24 1,785 1,866 
5.25% 1/15/26 7,807 8,383 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,265 
5% 12/15/23 980 1,050 
Weingarten Realty Investors 3.375% 10/15/22 1,098 1,123 
WP Carey, Inc. 4% 2/1/25 7,547 7,536 
  180,891 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 6,445 6,595 
4.1% 10/1/24 5,444 5,602 
4.55% 10/1/29 5,444 5,686 
4.95% 4/15/18 4,256 4,448 
5.7% 5/1/17 268 275 
CBRE Group, Inc. 5.25% 3/15/25 2,580 2,784 
Digital Realty Trust LP:   
3.4% 10/1/20 6,817 7,104 
3.95% 7/1/22 4,317 4,566 
4.75% 10/1/25 4,899 5,341 
5.25% 3/15/21 2,876 3,242 
Essex Portfolio LP 5.5% 3/15/17 3,414 3,483 
Howard Hughes Corp. 6.875% 10/1/21 (e) 1,690 1,775 
Kennedy-Wilson, Inc. 5.875% 4/1/24 795 803 
Liberty Property LP:   
3.375% 6/15/23 2,951 3,006 
4.125% 6/15/22 2,746 2,893 
4.75% 10/1/20 6,595 7,143 
5.5% 12/15/16 2,022 2,046 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,037 4,054 
3.15% 5/15/23 6,708 6,245 
4.5% 4/18/22 1,689 1,726 
7.75% 8/15/19 2,149 2,414 
Mid-America Apartments LP:   
4% 11/15/25 1,682 1,802 
4.3% 10/15/23 1,086 1,177 
Post Apartment Homes LP 3.375% 12/1/22 1,196 1,226 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (e) 1,760 1,826 
Tanger Properties LP:   
3.125% 9/1/26 3,612 3,607 
3.75% 12/1/24 3,781 3,967 
3.875% 12/1/23 2,341 2,480 
6.125% 6/1/20 7,035 7,991 
Ventas Realty LP:   
1.25% 4/17/17 2,655 2,655 
3.125% 6/15/23 1,874 1,911 
3.5% 2/1/25 2,295 2,378 
4.125% 1/15/26 2,088 2,260 
4.375% 2/1/45 1,098 1,138 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 3,611 3,632 
4% 4/30/19 1,771 1,862 
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 510 469 
  121,612 
Thrifts & Mortgage Finance - 0.1%   
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (e) 10,685 11,633 
TOTAL FINANCIALS  1,964,839 
HEALTH CARE - 1.3%   
Biotechnology - 0.1%   
AbbVie, Inc.:   
1.75% 11/6/17 5,738 5,764 
3.6% 5/14/25 6,397 6,765 
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (e) 1,225 1,205 
Amgen, Inc. 1.25% 5/22/17 11,041 11,052 
  24,786 
Health Care Providers& Services - 0.8%   
Acadia Healthcare Co., Inc. 5.625% 2/15/23 680 692 
Community Health Systems, Inc.:   
5.125% 8/1/21 840 828 
6.875% 2/1/22 15,500 12,865 
DaVita HealthCare Partners, Inc.:   
5% 5/1/25 2,315 2,346 
5.125% 7/15/24 2,535 2,617 
5.75% 8/15/22 1,215 1,274 
Express Scripts Holding Co.:   
3.9% 2/15/22 1,585 1,708 
4.75% 11/15/21 14,348 16,134 
HCA Holdings, Inc.:   
3.75% 3/15/19 9,592 9,892 
4.25% 10/15/19 3,850 4,038 
4.5% 2/15/27 5,400 5,454 
4.75% 5/1/23 305 319 
5% 3/15/24 1,755 1,860 
5.375% 2/1/25 9,835 10,130 
5.875% 3/15/22 10,110 11,121 
5.875% 5/1/23 2,555 2,715 
5.875% 2/15/26 5,470 5,785 
6.25% 2/15/21 1,415 1,532 
6.5% 2/15/20 20,898 23,092 
7.5% 2/15/22 3,250 3,705 
HealthSouth Corp.:   
5.125% 3/15/23 800 810 
5.75% 11/1/24 5,295 5,491 
5.75% 9/15/25 6,165 6,450 
McKesson Corp. 2.284% 3/15/19 5,400 5,504 
Medco Health Solutions, Inc. 4.125% 9/15/20 3,728 4,017 
Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21 625 656 
Team Health, Inc. 7.25% 12/15/23 (e) 2,500 2,725 
Tenet Healthcare Corp.:   
4.375% 10/1/21 2,040 2,047 
4.5% 4/1/21 1,030 1,040 
5% 3/1/19 16,690 16,210 
6% 10/1/20 1,145 1,209 
6.75% 6/15/23 7,355 6,996 
8% 8/1/20 6,000 6,098 
8.125% 4/1/22 4,590 4,647 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 2,324 2,501 
3.75% 7/15/25 6,406 7,095 
Vizient, Inc. 10.375% 3/1/24 (e) 2,055 2,332 
WellPoint, Inc. 1.875% 1/15/18 161 162 
  194,097 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,499 1,500 
2.4% 2/1/19 945 963 
  2,463 
Pharmaceuticals - 0.4%   
Actavis Funding SCS:   
1.3% 6/15/17 10,935 10,906 
2.45% 6/15/19 3,241 3,299 
3% 3/12/20 5,472 5,656 
3.45% 3/15/22 9,527 9,970 
Endo Finance LLC 5.375% 1/15/23 (e) 350 317 
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:   
6% 7/15/23 (e) 4,625 4,197 
6.5% 2/1/25 (e)(g) 700 621 
Forest Laboratories, Inc. 4.375% 2/1/19 (e) 2,160 2,280 
Horizon Pharma PLC 6.625% 5/1/23 200 198 
JLL/Delta Dutch Newco BV 7.5% 2/1/22 (e) 3,675 3,905 
Mylan N.V.:   
2.5% 6/7/19 (e) 3,556 3,601 
3.15% 6/15/21 (e) 7,274 7,435 
Mylan, Inc. 1.35% 11/29/16 1,757 1,759 
Perrigo Co. PLC:   
1.3% 11/8/16 1,437 1,438 
2.3% 11/8/18 1,537 1,545 
Perrigo Finance PLC:   
3.5% 12/15/21 1,350 1,386 
3.9% 12/15/24 2,011 2,036 
4.9% 12/15/44 883 909 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 5,133 5,135 
2.8% 7/21/23 3,674 3,689 
3.15% 10/1/26 4,374 4,404 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (e) 6,565 6,188 
5.5% 3/1/23 (e) 3,325 2,901 
5.625% 12/1/21 (e) 810 731 
5.875% 5/15/23 (e) 8,575 7,546 
6.125% 4/15/25 (e) 12,070 10,607 
6.75% 8/15/18 (e) 3,620 3,630 
7.5% 7/15/21 (e) 4,615 4,536 
VPI Escrow Corp. 6.375% 10/15/20 (e) 2,425 2,316 
Zoetis, Inc. 1.875% 2/1/18 898 900 
  114,041 
TOTAL HEALTH CARE  335,387 
INDUSTRIALS - 0.7%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (e) 3,650 4,063 
DigitalGlobe, Inc. 5.25% 2/1/21 (e) 3,120 3,104 
TransDigm, Inc.:   
6% 7/15/22 1,155 1,201 
6.375% 6/15/26 (e) 1,890 1,928 
6.5% 5/15/25 7,335 7,592 
  17,888 
Airlines - 0.0%   
Continental Airlines, Inc.:   
pass-thru trust certificates:   
8.388% 5/1/22 1 1 
9.798% 4/1/21 1,768 1,958 
6.125% 4/29/18 415 436 
6.648% 3/15/19 560 572 
6.9% 7/2/19 177 182 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 941 969 
8.36% 1/20/19 715 746 
  4,864 
Building Products - 0.1%   
Builders FirstSource, Inc.:   
5.625% 9/1/24 (e) 1,630 1,659 
10.75% 8/15/23 (e) 5,000 5,675 
GCP Applied Technologies, Inc. 9.5% 2/1/23 (e) 1,800 2,061 
HD Supply, Inc.:   
5.25% 12/15/21 (e) 1,985 2,115 
5.75% 4/15/24 (e) 3,090 3,291 
HMAN Finance Sub Corp. 6.375% 7/15/22 (e) 510 474 
Nortek, Inc. 8.5% 4/15/21 925 969 
Shea Homes Ltd. Partnership/Corp.:   
5.875% 4/1/23 (e) 440 449 
6.125% 4/1/25 (e) 440 446 
USG Corp.:   
6.3% 11/15/16 170 171 
7.875% 3/30/20 (e) 905 945 
9.5% 1/15/18 (g) 975 1,068 
  19,323 
Commercial Services & Supplies - 0.2%   
ADT Corp. 6.25% 10/15/21 1,140 1,248 
APX Group, Inc.:   
6.375% 12/1/19 9,020 9,257 
7.875% 12/1/22 9,005 9,478 
7.875% 12/1/22 (e) 1,165 1,226 
8.75% 12/1/20 20,465 19,672 
Cenveo Corp. 6% 8/1/19 (e) 730 646 
Covanta Holding Corp.:   
5.875% 3/1/24 2,865 2,883 
6.375% 10/1/22 3,265 3,396 
7.25% 12/1/20 775 803 
Garda World Security Corp.:   
7.25% 11/15/21 (e) 525 479 
7.25% 11/15/21 (e) 3,430 3,130 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (e) 215 213 
TMS International Corp. 7.625% 10/15/21 (e) 255 219 
  52,650 
Machinery - 0.0%   
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (e) 475 411 
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,481 1,512 
Schaeffler Finance BV:   
4.25% 5/15/21 (e) 1,760 1,804 
4.75% 5/15/21 (e) 1,665 1,723 
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (e) 950 627 
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 212 225 
Xerium Technologies, Inc. 9.5% 8/15/21 (e) 2,595 2,660 
  8,962 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (e) 630 479 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (e) 3,065 1,609 
8.125% 2/15/19 975 551 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (e) 700 487 
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 (h) 755 151 
  3,277 
Professional Services - 0.0%   
FTI Consulting, Inc. 6% 11/15/22 2,405 2,531 
Road & Rail - 0.0%   
Hertz Corp.:   
5.875% 10/15/20 1,120 1,161 
6.25% 10/15/22 800 841 
Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (e) 1,245 915 
  2,917 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.125% 1/15/18 2,759 2,762 
2.625% 9/4/18 6,100 6,135 
3.375% 6/1/21 3,689 3,818 
3.75% 2/1/22 6,505 6,794 
3.875% 4/1/21 5,301 5,586 
4.25% 9/15/24 4,566 4,800 
4.75% 3/1/20 4,617 4,986 
Aircastle Ltd. 5.5% 2/15/22 1,340 1,456 
Ashtead Capital, Inc. 5.625% 10/1/24 (e) 1,825 1,919 
International Lease Finance Corp.:   
5.875% 8/15/22 4,385 4,950 
6.25% 5/15/19 3,035 3,303 
7.125% 9/1/18 (e) 5,560 6,117 
8.25% 12/15/20 4,165 4,982 
8.625% 1/15/22 3,910 4,858 
NES Rentals Holdings, Inc. 7.875% 5/1/18 (e) 365 356 
United Rentals North America, Inc.:   
4.625% 7/15/23 1,220 1,248 
5.5% 7/15/25 975 1,005 
  65,075 
TOTAL INDUSTRIALS  177,487 
INFORMATION TECHNOLOGY - 0.4%   
Communications Equipment - 0.1%   
Hughes Satellite Systems Corp.:   
5.25% 8/1/26 (e) 5,480 5,436 
6.5% 6/15/19 5,408 5,915 
Lucent Technologies, Inc.:   
6.45% 3/15/29 5,541 6,026 
6.5% 1/15/28 1,110 1,193 
  18,570 
Electronic Equipment & Components - 0.1%   
Anixter International, Inc. 5.625% 5/1/19 705 746 
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (e) 13,573 13,952 
5.875% 6/15/21 (e) 1,790 1,893 
7.125% 6/15/24 (e) 1,740 1,885 
Micron Technology, Inc. 7.5% 9/15/23 (e) 1,750 1,929 
Sanmina Corp. 4.375% 6/1/19 (e) 1,295 1,352 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,087 1,107 
6.55% 10/1/17 815 860 
  23,724 
Internet Software & Services - 0.0%   
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 885 940 
Rackspace Hosting, Inc. 6.5% 1/15/24 (e) 6,440 6,763 
VeriSign, Inc. 4.625% 5/1/23 1,225 1,253 
  8,956 
IT Services - 0.0%   
CDW LLC/CDW Finance Corp. 6% 8/15/22 1,670 1,793 
Everi Payments, Inc. 10% 1/15/22 565 533 
Xerox Corp. 2.95% 3/15/17 947 953 
  3,279 
Semiconductors & Semiconductor Equipment - 0.1%   
Entegris, Inc. 6% 4/1/22 (e) 365 380 
Micron Technology, Inc.:   
5.25% 1/15/24 (e) 2,494 2,387 
5.5% 2/1/25 1,695 1,642 
5.875% 2/15/22 880 889 
NXP BV/NXP Funding LLC 5.75% 2/15/21 (e) 1,595 1,663 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (e) 2,675 2,932 
  9,893 
Software - 0.0%   
Activision Blizzard, Inc. 6.125% 9/15/23 (e) 1,255 1,373 
BMC Software, Inc. 7.25% 6/1/18 1,125 1,094 
Open Text Corp. 5.875% 6/1/26 (e) 5,700 5,970 
Parametric Technology Corp. 6% 5/15/24 585 633 
  9,070 
Technology Hardware, Storage & Peripherals - 0.1%   
Apple, Inc. 4.375% 5/13/45 6,392 7,169 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (e) 6,577 6,872 
4.9% 10/15/25 (e) 6,577 7,014 
6.35% 10/15/45 (e) 6,577 6,788 
Western Digital Corp. 10.5% 4/1/24 (e) 2,750 3,108 
  30,951 
TOTAL INFORMATION TECHNOLOGY  104,443 
MATERIALS - 0.3%   
Chemicals - 0.1%   
Blue Cube Spinco, Inc.:   
9.75% 10/15/23 (e) 1,790 2,121 
10% 10/15/25 (e) 960 1,140 
Evolution Escrow Issuer LLC 7.5% 3/15/22 (e) 2,852 2,560 
LSB Industries, Inc. 7.75% 8/1/19 425 438 
Momentive Performance Materials, Inc. 3.88% 10/24/21 4,960 4,099 
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (h) 3,680 0 
Platform Specialty Products Corp.:   
6.5% 2/1/22 (e) 4,355 4,126 
10.375% 5/1/21 (e) 480 504 
Tronox Finance LLC 6.375% 8/15/20 2,105 1,905 
  16,893 
Construction Materials - 0.0%   
CEMEX Finance LLC 6% 4/1/24 (e) 1,600 1,688 
Prince Mineral Holding Corp. 11.5% 12/15/19 (e) 405 368 
  2,056 
Containers & Packaging - 0.1%   
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (e)(g) 954 977 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
6.25% 1/31/19 (e) 680 695 
6.75% 1/31/21 (e) 785 813 
7% 11/15/20 (e) 126 126 
7.25% 5/15/24 (e) 3,410 3,627 
Beverage Packaging Holdings II SA (Luxembourg) 5.625% 12/15/16 (e) 12,285 12,316 
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (e) 2,135 2,175 
Owens-Illinois, Inc. 7.8% 5/15/18 350 383 
Sealed Air Corp. 6.5% 12/1/20 (e) 1,065 1,219 
  22,331 
Metals & Mining - 0.1%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (e)(g) 2,727 2,979 
6.75% 10/19/75 (e)(g) 6,773 7,722 
Bluescope Steel Ltd./Bluescope Steel Finance:   
6.5% 5/15/21 (e) 585 623 
7.125% 5/1/18 (e) 93 95 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (e) 7,189 7,607 
4.5% 8/13/23 (Reg. S) 8,600 9,219 
4.875% 11/4/44 (e) 1,735 1,804 
4.875% 11/4/44 (Reg. S) 4,000 4,160 
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (e) 1,085 1,194 
New Gold, Inc.:   
6.25% 11/15/22 (e) 615 635 
7% 4/15/20 (e) 345 355 
Teck Resources Ltd.:   
8% 6/1/21 (e) 1,255 1,355 
8.5% 6/1/24 (e) 3,430 3,859 
Walter Energy, Inc. 9.5% 10/15/19 (e)(h) 800 0 
  41,607 
TOTAL MATERIALS  82,887 
TELECOMMUNICATION SERVICES - 1.3%   
Diversified Telecommunication Services - 0.8%   
Altice Financing SA:   
6.5% 1/15/22 (e) 2,300 2,421 
6.625% 2/15/23 (e) 2,620 2,728 
7.5% 5/15/26 (e) 3,625 3,815 
Altice Finco SA:   
7.625% 2/15/25 (e) 4,785 4,845 
8.125% 1/15/24 (e) 574 601 
AT&T, Inc.:   
2.45% 6/30/20 4,383 4,471 
3.6% 2/17/23 9,655 10,192 
4.8% 6/15/44 13,836 14,705 
BellSouth Capital Funding Corp. 7.875% 2/15/30 68 94 
Broadview Networks Holdings, Inc. 10.5% 11/15/17 1,908 1,726 
CenturyLink, Inc.:   
5.15% 6/15/17 440 451 
6% 4/1/17 3,101 3,182 
6.15% 9/15/19 3,331 3,614 
Embarq Corp. 7.995% 6/1/36 19,626 20,350 
FairPoint Communications, Inc. 8.75% 8/15/19 (e) 1,340 1,370 
Frontier Communications Corp.:   
8.875% 9/15/20 850 927 
10.5% 9/15/22 1,400 1,523 
GCI, Inc. 6.875% 4/15/25 1,350 1,391 
Intelsat Luxembourg SA:   
7.75% 6/1/21 4,960 1,463 
8.125% 6/1/23 1,090 323 
Level 3 Communications, Inc. 5.75% 12/1/22 1,295 1,353 
Level 3 Financing, Inc.:   
5.375% 8/15/22 2,110 2,205 
6.125% 1/15/21 1,405 1,458 
Sable International Finance Ltd. 6.875% 8/1/22 (e) 1,915 1,982 
SBA Communications Corp. 5.625% 10/1/19 1,870 1,924 
SFR Group SA:   
6% 5/15/22 (e) 13,815 14,119 
6.25% 5/15/24 (e) 660 665 
7.375% 5/1/26 (e) 6,280 6,484 
Sprint Capital Corp.:   
6.875% 11/15/28 7,345 6,611 
6.9% 5/1/19 8,975 9,065 
8.75% 3/15/32 2,620 2,600 
Verizon Communications, Inc.:   
2.625% 2/21/20 8,000 8,251 
4.5% 9/15/20 38,502 42,489 
5.012% 8/21/54 19,396 21,267 
6.25% 4/1/37 3,729 4,786 
Wind Acquisition Finance SA:   
4.75% 7/15/20 (e) 1,670 1,691 
7.375% 4/23/21 (e) 575 592 
  207,734 
Wireless Telecommunication Services - 0.5%   
America Movil S.A.B. de CV 2.375% 9/8/16 307 307 
Clearwire Communications LLC/Clearwire Finance, Inc. 14.75% 12/1/16 (e) 3,050 3,145 
Digicel Group Ltd. 6% 4/15/21 (e) 2,005 1,832 
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 2,315 1,580 
7.5% 4/1/21 3,895 2,931 
8% 2/15/24 (e) 7,660 7,689 
Neptune Finco Corp.:   
6.625% 10/15/25 (e) 1,460 1,586 
10.125% 1/15/23 (e) 7,200 8,222 
10.875% 10/15/25 (e) 4,485 5,259 
Sprint Communications, Inc.:   
6% 12/1/16 3,780 3,818 
6% 11/15/22 13,720 12,417 
8.375% 8/15/17 4,665 4,859 
9% 11/15/18 (e) 6,595 7,263 
Sprint Corp.:   
7.125% 6/15/24 5,215 4,863 
7.25% 9/15/21 2,830 2,798 
7.625% 2/15/25 775 736 
7.875% 9/15/23 6,615 6,430 
T-Mobile U.S.A., Inc.:   
5.25% 9/1/18 695 710 
6% 3/1/23 2,590 2,746 
6% 4/15/24 2,980 3,174 
6.25% 4/1/21 565 590 
6.464% 4/28/19 420 428 
6.5% 1/15/24 7,235 7,778 
6.5% 1/15/26 2,425 2,654 
6.542% 4/28/20 1,475 1,523 
6.625% 4/1/23 15,005 16,008 
6.633% 4/28/21 1,335 1,398 
6.731% 4/28/22 985 1,035 
6.836% 4/28/23 385 413 
  114,192 
TOTAL TELECOMMUNICATION SERVICES  321,926 
UTILITIES - 1.3%   
Electric Utilities - 0.7%   
AmerenUE 6.4% 6/15/17 4,026 4,189 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (e) 3,934 4,440 
6.4% 9/15/20 (e) 10,769 12,213 
Edison International 3.75% 9/15/17 3,355 3,444 
Entergy Corp. 4% 7/15/22 6,500 6,988 
Eversource Energy 1.45% 5/1/18 1,511 1,512 
Exelon Corp. 3.95% 6/15/25 5,966 6,517 
FirstEnergy Corp.:   
2.75% 3/15/18 10,020 10,120 
4.25% 3/15/23 23,348 24,692 
7.375% 11/15/31 31,788 41,475 
FirstEnergy Solutions Corp. 6.05% 8/15/21 9,830 8,544 
InterGen NV 7% 6/30/23 (e) 9,075 7,442 
IPALCO Enterprises, Inc. 3.45% 7/15/20 10,457 10,718 
LG&E and KU Energy LLC 3.75% 11/15/20 745 799 
Nevada Power Co.:   
6.5% 5/15/18 5,100 5,538 
6.5% 8/1/18 1,191 1,304 
NRG Yield Operating LLC 5% 9/15/26 (e) 6,125 6,110 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (e) 4,434 4,744 
NV Energy, Inc. 6.25% 11/15/20 1,666 1,959 
Pennsylvania Electric Co. 6.05% 9/1/17 450 468 
PG&E Corp. 2.4% 3/1/19 791 806 
Progress Energy, Inc. 4.4% 1/15/21 336 368 
RJS Power Holdings LLC 4.625% 7/15/19 (e) 2,150 2,021 
TECO Finance, Inc. 5.15% 3/15/20 2,029 2,233 
West Penn Power Co. 5.95% 12/15/17 (e) 10,500 11,018 
  179,662 
Gas Utilities - 0.0%   
AmeriGas Finance LLC/AmeriGas Finance Corp. 7% 5/20/22 1,785 1,901 
Southern Natural Gas Co. 5.9% 4/1/17 (e)(g) 260 267 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,753 1,877 
Texas Eastern Transmission LP 6% 9/15/17 (e) 948 988 
  5,033 
Independent Power and Renewable Electricity Producers - 0.4%   
Calpine Corp.:   
5.25% 6/1/26 (e) 6,000 6,090 
5.375% 1/15/23 1,475 1,476 
5.75% 1/15/25 635 633 
6% 1/15/22 (e) 1,115 1,169 
7.875% 1/15/23 (e) 2,038 2,150 
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 5,485 5,532 
Dynegy, Inc.:   
5.875% 6/1/23 635 576 
6.75% 11/1/19 1,075 1,102 
7.375% 11/1/22 7,010 6,922 
7.625% 11/1/24 8,735 8,560 
Emera U.S. Finance LP:   
2.15% 6/15/19 (e) 1,742 1,763 
2.7% 6/15/21 (e) 1,715 1,753 
3.55% 6/15/26 (e) 2,743 2,887 
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:   
11% 10/1/21 (h) 11,999 14,399 
12.25% 3/1/22 (e)(h) 15,373 18,735 
NRG Energy, Inc.:   
6.625% 3/15/23 6,445 6,574 
6.625% 1/15/27 (e) 4,390 4,398 
7.25% 5/15/26 (e) 790 820 
PPL Energy Supply LLC 6.5% 6/1/25 1,100 943 
TerraForm Power Operating LLC:   
5.875% 2/1/23 (e) 11,585 11,672 
6.125% 6/15/25 (e) 1,200 1,221 
TXU Corp.:   
5.55% 11/15/14 (h) 61 37 
6.5% 11/15/24 (h) 3,550 2,130 
6.55% 11/15/34 (h) 7,200 4,320 
  105,862 
Multi-Utilities - 0.2%   
Dominion Resources, Inc.:   
2.9311% 9/30/66 (g) 19,347 15,284 
3.4561% 6/30/66 (g) 2,474 2,177 
NiSource Finance Corp.:   
5.45% 9/15/20 5,259 5,918 
6.4% 3/15/18 983 1,052 
6.8% 1/15/19 2,710 3,025 
Puget Energy, Inc. 6% 9/1/21 691 798 
Sempra Energy 6% 10/15/39 5,386 7,004 
Wisconsin Energy Corp. 6.25% 5/15/67 (g) 3,876 3,314 
  38,572 
TOTAL UTILITIES  329,129 
TOTAL NONCONVERTIBLE BONDS  4,705,923 
TOTAL CORPORATE BONDS   
(Cost $4,542,523)  4,708,658 
U.S. Government and Government Agency Obligations - 4.1%   
U.S. Treasury Inflation-Protected Obligations - 1.0%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $86,303 $89,739 
1.375% 2/15/44 72,869 86,998 
U.S. Treasury Inflation-Indexed Notes 0.625% 1/15/26 76,082 79,309 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  256,046 
U.S. Treasury Obligations - 3.1%   
U.S. Treasury Bonds 3% 11/15/45 258,378 301,020 
U.S. Treasury Notes:   
1% 8/15/18 32,700 32,809 
1.625% 6/30/20 60,496 61,689 
1.625% 5/15/26 78,132 78,358 
2% 9/30/20 159,238 164,668 
2% 8/15/25 154,514 160,037 
TOTAL U.S. TREASURY OBLIGATIONS  798,581 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $998,710)  1,054,627 
U.S. Government Agency - Mortgage Securities - 0.7%   
Fannie Mae - 0.4%   
2.5% 1/1/28 to 4/1/43 9,043 9,334 
2.803% 6/1/36 (g) 105 110 
3% 5/1/27 to 8/1/45 16,992 17,733 
3.005% 7/1/37 (g) 189 201 
3.5% 11/1/25 to 5/1/46 28,123 29,918 
4% 11/1/31 to 4/1/46 18,163 19,587 
4% 9/1/46 (i) 2,600 2,785 
4.5% 11/1/19 to 8/1/44 6,361 6,956 
5% 6/1/39 to 10/1/41 3,803 4,232 
5.5% 4/1/39 131 151 
6% 7/1/35 to 8/1/37 2,137 2,454 
6.5% 7/1/32 to 8/1/36 372 433 
TOTAL FANNIE MAE  93,894 
Freddie Mac - 0.2%   
2.5% 7/1/31 369 382 
3% 2/1/31 to 7/1/45 15,811 16,509 
3.5% 6/1/32 to 5/1/46 16,728 17,734 
3.581% 10/1/35 (g) 101 108 
4% 6/1/24 to 6/1/45 12,346 13,279 
4.5% 3/1/41 to 4/1/41 5,816 6,385 
5% 3/1/19 to 7/1/41 2,237 2,472 
5.5% 1/1/38 to 6/1/41 6,316 7,160 
6% 7/1/37 to 8/1/37 182 209 
6.5% 3/1/36 1,462 1,703 
TOTAL FREDDIE MAC  65,941 
Ginnie Mae - 0.1%   
3% 12/20/42 to 1/20/43 783 824 
3.5% 11/20/41 to 6/20/46 14,316 15,267 
3.5% 9/1/46 (i) 1,990 2,111 
4% 8/15/39 to 7/20/45 6,694 7,199 
4.5% 4/20/41 1,861 2,040 
5% 2/15/39 to 5/15/39 594 670 
5.5% 6/15/35 to 9/15/39 1,989 2,291 
TOTAL GINNIE MAE  30,402 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $186,354)  190,237 
Asset-Backed Securities - 0.1%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1929% 4/25/35 (g) $504 $470 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.1744% 3/25/34 (g) 171 164 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.5379% 12/25/33 (g) 32 30 
Series 2004-R2 Class M3, 1.3129% 4/25/34 (g) 68 52 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2679% 3/25/34 (g) 36 33 
Series 2004-W11 Class M2, 1.5744% 11/25/34 (g) 426 412 
Series 2004-W7 Class M1, 1.3129% 5/25/34 (g) 1,011 930 
Series 2006-W4 Class A2C, 0.6844% 5/25/36 (g) 856 292 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.3494% 4/25/34 (g) 1,183 1,023 
Series 2006-HE2 Class M1, 0.8944% 3/25/36 (g) 12 2 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.71% 4/20/20 7,803 7,816 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.6644% 12/25/36 (g) 1,368 785 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.9794% 4/25/34 (g) 45 40 
Series 2004-4 Class M2, 1.3194% 6/25/34 (g) 69 64 
Series 2004-7 Class AF5, 5.868% 1/25/35 (g) 1,085 1,116 
Fannie Mae Series 2004-T5 Class AB3, 1.1662% 5/28/35 (g) 30 26 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6994% 8/25/34 (g) 217 205 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.3494% 3/25/34 (g) 7 6 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.2594% 1/25/35 (g) 720 618 
Class M4, 1.5444% 1/25/35 (g) 264 141 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.2054% 2/25/47 (e)(g) 772 641 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.6877% 11/15/34 (e)(g) 366 339 
Class B, 0.7877% 11/15/34 (e)(g) 132 118 
Class C, 0.8877% 11/15/34 (e)(g) 220 193 
Class D, 1.2577% 11/15/34 (e)(g) 84 72 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.8444% 8/25/33 (g) 172 160 
Series 2003-3 Class M1, 1.8144% 8/25/33 (g) 308 289 
Series 2003-5 Class A2, 1.2244% 12/25/33 (g) 25 23 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.7144% 1/25/37 (g) 1,137 796 
Invitation Homes Trust Series 2015-SFR3 Class E, 4.2321% 8/17/32 (e)(g) 1,947 1,954 
JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 0.7879% 7/25/36 (g) 1,988 921 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9601% 12/27/29 (g) 26 25 
Series 2006-A Class 2C, 1.7901% 3/27/42 (g) 2,016 995 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.8244% 5/25/37 (g) 206 5 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.2744% 7/25/34 (g) 70 58 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.4994% 7/25/34 (g) 126 119 
Series 2006-FM1 Class A2B, 0.5979% 4/25/37 (g) 28 24 
Series 2006-OPT1 Class A1A, 1.0444% 6/25/35 (g) 991 954 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.2044% 8/25/34 (g) 44 37 
Series 2005-NC1 Class M1, 1.1844% 1/25/35 (g) 155 139 
Series 2005-NC2 Class B1, 2.2794% 3/25/35 (g) 118 3 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.0344% 9/25/35 (g) 1,083 1,019 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3994% 9/25/34 (g) 405 370 
Class M4, 2.6994% 9/25/34 (g) 519 322 
Series 2005-WCH1 Class M4, 1.7694% 1/25/36 (g) 1,120 998 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.3244% 4/25/33 (g) 4 3 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2829% 3/25/35 (g) 486 451 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.6025% 6/15/33 (g) 328 310 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.2494% 9/25/34 (g) 29 25 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.3844% 9/25/34 (g) 22 19 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1901% 4/6/42 (e)(g) 1,469 647 
TOTAL ASSET-BACKED SECURITIES   
(Cost $21,945)  26,254 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.0844% 1/25/35 (g) 632 611 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.7843% 10/25/34 (g) 316 313 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.9609% 8/25/36 (g) 742 667 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6944% 2/25/37 (g) 457 422 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.8144% 7/25/35 (g) 549 531 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.8243% 6/10/35 (e)(g) 213 174 
Class B6, 3.3243% 6/10/35 (e)(g) 45 34 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.8046% 7/20/34 (g) 16 16 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.28% 4/25/33 (g) 37 36 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.7244% 9/25/36 (g) 687 676 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.1644% 9/25/43 (g) 1,602 1,541 
TOTAL PRIVATE SPONSOR  5,021 
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) 8,543 8,523 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $12,700)  13,544 
Commercial Mortgage Securities - 1.3%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4918% 2/14/43 (g)(k) 136 0 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2006-3 Class A4, 5.889% 7/10/44 (g) 115 114 
Series 2007-3 Class A4, 5.5433% 6/10/49 (g) 10,175 10,318 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 1,541 1,552 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.7994% 12/25/33 (e)(g) 20 18 
Series 2005-3A:   
Class A2, 0.9244% 11/25/35 (e)(g) 198 169 
Class M1, 0.9644% 11/25/35 (e)(g) 26 22 
Class M2, 1.0144% 11/25/35 (e)(g) 33 26 
Class M3, 1.0344% 11/25/35 (e)(g) 29 23 
Class M4, 1.1244% 11/25/35 (e)(g) 37 28 
Series 2005-4A:   
Class A2, 0.9144% 1/25/36 (e)(g) 511 439 
Class B1, 1.9244% 1/25/36 (e)(g) 22 17 
Class M1, 0.9744% 1/25/36 (e)(g) 165 136 
Class M2, 0.9944% 1/25/36 (e)(g) 49 40 
Class M3, 1.0244% 1/25/36 (e)(g) 72 58 
Class M4, 1.1344% 1/25/36 (e)(g) 40 32 
Class M5, 1.1744% 1/25/36 (e)(g) 40 31 
Class M6, 1.2244% 1/25/36 (e)(g) 42 32 
Series 2006-1:   
Class A2, 0.8844% 4/25/36 (e)(g) 80 68 
Class M1, 0.9044% 4/25/36 (e)(g) 29 24 
Class M2, 0.9244% 4/25/36 (e)(g) 30 25 
Class M3, 0.9444% 4/25/36 (e)(g) 26 21 
Class M4, 1.0444% 4/25/36 (e)(g) 15 12 
Class M5, 1.0844% 4/25/36 (e)(g) 14 11 
Class M6, 1.1644% 4/25/36 (e)(g) 29 22 
Series 2006-2A:   
Class M1, 0.8344% 7/25/36 (e)(g) 69 55 
Class M2, 0.8544% 7/25/36 (e)(g) 48 38 
Class M3, 0.8744% 7/25/36 (e)(g) 40 31 
Class M4, 0.9444% 7/25/36 (e)(g) 27 21 
Class M5, 0.9944% 7/25/36 (e)(g) 33 26 
Series 2006-3A Class M4, 0.9544% 10/25/36 (e)(g) 22 16 
Series 2006-4A:   
Class A2, 0.7944% 12/25/36 (e)(g) 1,517 1,265 
Class M1, 0.8144% 12/25/36 (e)(g) 101 70 
Class M2, 0.8344% 12/25/36 (e)(g) 67 41 
Class M3, 0.8644% 12/25/36 (e)(g) 68 36 
Series 2007-1 Class A2, 0.7944% 3/25/37 (e)(g) 303 256 
Series 2007-2A:   
Class A1, 0.7944% 7/25/37 (e)(g) 325 280 
Class A2, 0.8444% 7/25/37 (e)(g) 305 242 
Class M1, 0.8944% 7/25/37 (e)(g) 107 81 
Class M2, 0.9344% 7/25/37 (e)(g) 59 42 
Class M3, 1.0144% 7/25/37 (e)(g) 46 32 
Series 2007-3:   
Class A2, 0.8144% 7/25/37 (e)(g) 319 253 
Class M1, 0.8344% 7/25/37 (e)(g) 64 48 
Class M2, 0.8644% 7/25/37 (e)(g) 68 49 
Class M3, 0.8944% 7/25/37 (e)(g) 106 72 
Class M4, 1.0244% 7/25/37 (e)(g) 167 112 
Class M5, 1.1244% 7/25/37 (e)(g) 82 40 
Series 2007-4A Class M1, 1.4379% 9/25/37 (e)(g) 54 18 
Series 2004-1, Class IO, 1.25% 4/25/34 (e)(k) 698 27 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(g)(k) 13,541 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer:   
Series 2007-PW16 Class A4, 5.7197% 6/11/40 (g) 391 398 
Series 2007-PW18 Class A4, 5.7% 6/11/50 4,002 4,110 
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (e)(g) 34 28 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7579% 5/25/36 (e)(g) 43 42 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.6801% 12/15/27 (e)(g) 2,157 2,133 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (e)(g) 1,100 1,109 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7119% 12/10/49 (g) 3,035 3,096 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 4,745 4,764 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.3577% 4/15/17 (e)(g) 96 96 
Credit Suisse Commercial Mortgage Trust:   
sequential payer Series 2007-C3 Class A4, 5.6994% 6/15/39 (g) 285 289 
Series 2007-C5 Class A4, 5.695% 9/15/40 (g) 603 618 
CSMC Series 2015-TOWN:   
Class B, 2.4077% 3/15/17 (e)(g) 1,198 1,177 
Class C, 2.7577% 3/15/17 (e)(g) 1,167 1,143 
Class D, 3.7077% 3/15/17 (e)(g) 1,766 1,732 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/34 (e)(g) 6,410 6,626 
Class CFX, 3.4949% 12/15/34 (e)(g) 5,380 5,488 
Class DFX, 3.4949% 12/15/34 (e)(g) 4,559 4,588 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 10,052 10,161 
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 21,658 21,781 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 494 494 
Class A4, 5.56% 11/10/39 103 103 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (e) 1,180 1,183 
Class DFX, 4.4065% 11/5/30 (e) 11,029 11,065 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH:   
Class C, 2.1577% 4/15/27 (e)(g) 1,775 1,741 
Class D, 2.7577% 4/15/27 (e)(g) 3,781 3,682 
sequential payer:   
Series 2006-CB17 Class A4, 5.429% 12/12/43 100 100 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 9,314 9,335 
Series 2007-CB19 Class A4, 5.6986% 2/12/49 (g) 3,131 3,179 
Series 2007-LD11 Class A4, 5.7416% 6/15/49 (g) 30,062 30,543 
Series 2007-LDPX Class A3, 5.42% 1/15/49 10,905 11,014 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (g) 8 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9184% 7/15/44 (g) 636 654 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C1 Class A4, 5.424% 2/15/40 5,424 5,458 
Series 2007-C2 Class A3, 5.43% 2/15/40 979 989 
Series 2007-C6 Class A4, 5.858% 7/15/40 (g) 857 871 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,332 1,382 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.4984% 1/12/44 (e)(g) 205 205 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,347 1,388 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2007-5 Class A4, 5.378% 8/12/48 5,566 5,599 
Series 2007-6 Class A4, 5.485% 3/12/51 (g) 7,400 7,488 
Series 2007-7 Class A4, 5.7387% 6/12/50 (g) 2,814 2,868 
Series 2007-8 Class A3, 5.8755% 8/12/49 (g) 767 785 
Morgan Stanley Capital I Trust:   
floater Series 2006-XLF Class C, 1.708% 7/15/19 (e)(g) 272 271 
sequential payer Series 2007-IQ15 Class A4, 5.9056% 6/11/49 (g) 21,525 22,152 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 1,368 1,384 
Class AAB, 5.654% 4/15/49 158 158 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (e) 113 55 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 15,721 15,849 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 38,635 39,059 
Class A5, 5.5% 4/15/47 20,438 20,836 
Series 2007-C33:   
Class A4, 5.9484% 2/15/51 (g) 20,157 20,485 
Class A5, 5.9484% 2/15/51 (g) 10,259 10,551 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (g) 2,736 2,449 
Class D, 5.513% 12/15/43 (g) 1,459 1,248 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $329,000)  320,391 
Municipal Securities - 1.0%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,095 $1,701 
7.5% 4/1/34 7,195 11,106 
7.55% 4/1/39 27,365 44,591 
7.625% 3/1/40 2,445 3,947 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,170 1,183 
Series 2010 C1, 7.781% 1/1/35 6,325 7,279 
6.05% 1/1/29 400 415 
6.314% 1/1/44 12,335 12,551 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 32,000 32,612 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 2,482 2,535 
4.95% 6/1/23 1,700 1,794 
5.1% 6/1/33 55,420 54,033 
Series 2010-1, 6.63% 2/1/35 25,440 27,901 
Series 2010-3:   
5.547% 4/1/19 155 165 
6.725% 4/1/35 11,505 12,637 
7.35% 7/1/35 4,495 5,178 
Series 2010-5, 6.2% 7/1/21 1,915 2,078 
Series 2011:   
5.365% 3/1/17 185 189 
5.665% 3/1/18 8,840 9,289 
5.877% 3/1/19 19,390 21,036 
Series 2013, 4% 12/1/20 6,040 6,259 
TOTAL MUNICIPAL SECURITIES   
(Cost $247,391)  258,479 
Bank Loan Obligations - 0.5%   
CONSUMER DISCRETIONARY - 0.2%   
Auto Components - 0.0%   
Chassix, Inc. term loan 12% 7/29/19 $234 $234 
Diversified Consumer Services - 0.0%   
KC Mergersub, Inc. Tranche 1LN, term loan 6% 8/13/22 (g) 6,377 6,361 
Laureate Education, Inc. Tranche B, term loan 8.1571% 3/17/21 (g) 4,160 4,133 
Wash Multifamily Acquisition, Inc. Tranche B 1LN, term loan 4.25% 5/14/22 (g) 213 212 
  10,706 
Hotels, Restaurants & Leisure - 0.1%   
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (g) 9,880 9,654 
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (g) 6,188 5,949 
Fantasy Springs Resort Casino term loan 12% 8/6/12 (g)(h) 8,486 6,874 
  22,477 
Household Durables - 0.0%   
Serta Simmons Holdings, LLC Tranche B, term loan 4.25% 10/1/19 (g) 1,554 1,559 
Media - 0.1%   
Cengage Learning, Inc. Tranche B, term loan 5.25% 6/7/23 (g) 875 873 
Cumulus Media Holdings, Inc. Tranch B 1LN, term loan 4.25% 12/23/20 (g) 3,187 2,212 
Liberty Cablevision of Puerto Rico Tranche 2LN, term loan 7.75% 7/7/23 (g) 435 414 
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (g) 721 721 
WideOpenWest Finance LLC Tranche B, term loan 4.5% 8/19/23 (g) 9,160 9,114 
  13,334 
Specialty Retail - 0.0%   
Petco Holdings, Inc. Tranche B 1LN, term loan 5% 1/26/23 (g) 9,950 10,031 
TOTAL CONSUMER DISCRETIONARY  58,341 
CONSUMER STAPLES - 0.0%   
Food & Staples Retailing - 0.0%   
Albertson's LLC:   
Tranche B 5LN, term loan 4.75% 12/21/22 (g) 3,781 3,802 
Tranche B 6LN, term loan 4.75% 6/22/23 (g) 762 766 
  4,568 
Food Products - 0.0%   
AdvancePierre Foods, Inc. Tranche B 1LN, term loan 4.5% 6/2/23 (g) 299 301 
TOTAL CONSUMER STAPLES  4,869 
ENERGY - 0.1%   
Energy Equipment & Services - 0.0%   
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (g) 2,909 1,959 
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (g) 374 99 
  2,058 
Oil, Gas & Consumable Fuels - 0.1%   
American Energy-Marcellus LLC Tranche B 1LN, term loan 5.25% 8/4/20 (g) 1,675 816 
California Resources Corp. Tranche 1LN, term loan 12/31/21 (l) 1,805 1,891 
Chesapeake Energy Corp. Tranche 1LN, term loan 8.5% 8/16/21 (g) 2,530 2,609 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (g) 945 847 
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (g) 532 535 
  6,698 
TOTAL ENERGY  8,756 
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
UFC Holdings LLC Tranche B 1LN, term loan 5% 8/18/23 (g) 2,265 2,270 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche 2LN, term loan 9.25% 11/4/22 (g) 530 533 
TOTAL FINANCIALS  2,803 
HEALTH CARE - 0.0%   
Health Care Providers & Services - 0.0%   
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 9% 12/31/23 (g) 2,375 2,328 
Tranche B 1LN, term loan 5.25% 12/31/22 (g) 2,895 2,787 
  5,115 
Life Sciences Tools & Services - 0.0%   
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (g) 1,323 1,317 
TOTAL HEALTH CARE  6,432 
INFORMATION TECHNOLOGY - 0.1%   
Software - 0.1%   
Kronos, Inc.:   
Tranche 2LN, term loan 9.75% 4/30/20 (g) 8,378 8,548 
Tranche B 1LN, term loan 4.5% 10/30/19 (g) 1,147 1,151 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 4.5% 4/9/21 (g) 572 570 
Tranche 2LN, term loan 8% 4/9/22 (g) 6,908 6,758 
Sybil Software LLC. Tranche B, term loan 8/3/22 (l) 665 666 
  17,693 
MATERIALS - 0.0%   
Chemicals - 0.0%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (g) 1,401 1,332 
Containers & Packaging - 0.0%   
Anchor Glass Container Corp. Tranche B, term loan 4.75% 7/1/22 (g) 523 526 
TOTAL MATERIALS  1,858 
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) 6,645 6,303 
TOTAL TELECOMMUNICATION SERVICES  6,344 
UTILITIES - 0.1%   
Electric Utilities - 0.0%   
Texas Competitive Electric Holdings Co. LLC:   
term loan 5% 10/31/17 (g) 801 803 
Tranche B, term loan 5% 10/31/17 (g) 3,514 3,522 
  4,325 
Independent Power and Renewable Electricity Producers - 0.1%   
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 12/19/16 (g) 20,352 20,428 
TOTAL UTILITIES  24,753 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $133,603)  131,849 
Bank Notes - 0.2%   
Capital One NA 1.65% 2/5/18 6,500 6,509 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $9,037 $9,283 
3.1% 6/4/20 8,635 8,883 
8.7% 11/18/19 532 617 
Huntington National Bank 1.3% 11/20/16 3,560 3,561 
Marshall & Ilsley Bank 5% 1/17/17 7,888 7,984 
RBS Citizens NA 2.5% 3/14/19 4,029 4,090 
Regions Bank 7.5% 5/15/18 11,552 12,613 
Wachovia Bank NA 6% 11/15/17 7,010 7,389 
TOTAL BANK NOTES   
(Cost $59,743)  60,929 
Preferred Securities - 0.4%   
FINANCIALS - 0.4%   
Banks - 0.4%   
Bank of America Corp.:   
5.2% (g)(m) $3,820 $3,800 
6.1% (g)(m) 1,680 1,813 
Barclays Bank PLC 7.625% 11/21/22 10,805 12,363 
Citigroup, Inc.:   
5.35% (g)(m) 14,740 14,789 
5.95% (g)(m) 5,000 5,104 
5.95% (g)(m) 1,325 1,385 
Credit Agricole SA:   
6.625% (e)(g)(m) 11,470 11,278 
7.875% (e)(g)(m) 2,225 2,311 
JPMorgan Chase & Co.:   
5.15% (g)(m) 5,940 6,056 
6% (g)(m) 21,680 22,965 
Royal Bank of Scotland Group PLC:   
7.5% (g)(m) 2,245 2,156 
8% (g)(m) 10,980 10,776 
8.625% (g)(m) 2,380 2,437 
Standard Chartered PLC 7.5% (e)(g)(m) 3,195 3,201 
  100,434 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5.375% (g)(m) 4,850 4,984 
Diversified Financial Services - 0.0%   
Credit Agricole SA 8.125% (e)(g)(m) 4,240 4,616 
TOTAL PREFERRED SECURITIES   
(Cost $107,728)  110,034 
 Shares Value (000s) 
Fixed-Income Funds - 5.6%   
Fidelity Mortgage Backed Securities Central Fund (n)   
(Cost $1,373,561) 13,095,819 1,450,362 
Other - 0.0%   
Other - 0.0%   
Tribune Co. Claim (a)   
(Cost $11) 11,092 11 
Money Market Funds - 1.7%   
Fidelity Cash Central Fund, 0.42% (o) 376,328,788 376,329 
Fidelity Securities Lending Cash Central Fund 0.44% (o)(p) 72,260,067 72,260 
TOTAL MONEY MARKET FUNDS   
(Cost $448,589)  448,589 
TOTAL INVESTMENT PORTFOLIO - 100.0%   
(Cost $21,263,954)  25,757,897 
NET OTHER ASSETS (LIABILITIES) - 0.0%  5,227 
NET ASSETS - 100%  $25,763,124 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
2.5% 9/1/31   
(Proceeds $1,860) (1,800) $(1,859) 

Security Type Abbreviations

ELS – Equity-Linked Security

Legend

 (a) Non-income producing

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

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

 (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 $286,503,000 or 1.1% 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 $1,153,400,000 or 4.5% 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

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

 (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 
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 A 5/14/15 $50,000 
Tory Burch LLC Class B 12/31/12 $17,505 
Uber Technologies, Inc. Series D, 8.00% 6/6/14 $25,000 
Warrior Met Coal LLC Class A 9/19/13 - 3/19/14 $797 
WME Entertainment Parent, LLC Class A unit 4/13/16 - 8/16/16 $50,000 
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 $2,125 
Fidelity Mortgage Backed Securities Central Fund 31,930 
Fidelity Securities Lending Cash Central Fund 1,734 
Total $35,789 

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 $232,150 $-- $1,450,362 19.8% 
Total $1,199,354 $232,150 $-- $1,450,362  

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 $-- $783 $-- $-- 
Corindus Vascular Robotics, Inc. 4,605 -- -- -- 1,539 
Corindus Vascular Robotics, Inc. 17,500 -- -- -- 5,850 
Total $25,545 $-- $783 $-- $7,389 

Investment Valuation

The following is a summary of the inputs used, as of August 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. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,992,603 $2,664,583 $55,465 $272,555 
Consumer Staples 1,619,117 1,604,138 14,975 4 
Energy 862,006 861,948 -- 58 
Financials 2,312,692 2,233,430 29,262 50,000 
Health Care 2,754,253 2,728,016 4,751 21,486 
Industrials 1,270,726 1,248,723 21,654 349 
Information Technology 4,447,484 4,341,224 -- 106,260 
Materials 419,740 419,740 -- -- 
Telecommunication Services 178,171 178,171 -- -- 
Utilities 127,141 127,141 -- -- 
Corporate Bonds 4,708,658 -- 4,708,653 5 
U.S. Government and Government Agency Obligations 1,054,627 -- 1,054,627 -- 
U.S. Government Agency - Mortgage Securities 190,237 -- 190,237 -- 
Asset-Backed Securities 26,254 -- 22,462 3,792 
Collateralized Mortgage Obligations 13,544 -- 13,544 -- 
Commercial Mortgage Securities 320,391 -- 319,975 416 
Municipal Securities 258,479 -- 258,479 -- 
Bank Loan Obligations 131,849 -- 124,741 7,108 
Bank Notes 60,929 -- 60,929 -- 
Preferred Securities 110,034 -- 110,034 -- 
Fixed-Income Funds 1,450,362 1,450,362 -- -- 
Other 11 -- -- 11 
Money Market Funds 448,589 448,589 -- -- 
Total Investments in Securities: $25,757,897 $18,306,065 $6,989,788 $462,044 
Other Financial Instruments:     
TBA Sale Commitments $(1,859) $-- $(1,859) $-- 
Total Other Financial Instruments: $(1,859) $-- $(1,859) $-- 

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 (72,596) 
Cost of Purchases 65,098 
Proceeds of Sales (168,376) 
Amortization/Accretion -- 
Transfers into Level 3 -- 
Transfers out of Level 3 -- 
Ending Balance $272,555 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2016 $80,485 
Other Investments in Securities  
Beginning Balance $104,534 
Net Realized Gain (Loss) on Investment Securities 559 
Net Unrealized Gain (Loss) on Investment Securities 40,402 
Cost of Purchases 70,801 
Proceeds of Sales (31,528) 
Amortization/Accretion 260 
Transfers into Level 3 4,461 
Transfers out of Level 3 -- 
Ending Balance $189,489 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2016 $37,716 

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

Other Information

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

U.S. Government and U.S. Government Agency Obligations 11.1% 
AAA,AA,A 4.1% 
BBB 9.2% 
BB 4.5% 
B 2.2% 
CCC,CC,C 1.5% 
D 0.0% 
Not Rated 0.3% 
Equities 66.0% 
Short-Term Investments and Net Other Assets 1.1% 

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

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

United States of America 86.1% 
Ireland 3.1% 
Canada 1.8% 
United Kingdom 1.2% 
Netherlands 1.1% 
Others (Individually Less Than 1%) 6.7% 
 100.0% 

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

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

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2016 
Assets   
Investment in securities, at value (including securities loaned of $70,200) — See accompanying schedule:
Unaffiliated issuers (cost $19,424,304) 		$23,851,557  
Fidelity Central Funds (cost $1,822,150) 1,898,951  
Other affiliated issuers (cost $17,500) 7,389  
Total Investments (cost $21,263,954)  $25,757,897 
Cash  1,937 
Restricted cash  290 
Receivable for investments sold   
Regular delivery  260,837 
Delayed delivery  5 
Receivable for TBA sale commitments  1,860 
Receivable for fund shares sold  9,025 
Dividends receivable  25,200 
Interest receivable  71,580 
Distributions receivable from Fidelity Central Funds  232 
Prepaid expenses  84 
Other receivables  9,995 
Total assets  26,138,942 
Liabilities   
Payable for investments purchased   
Regular delivery $264,509  
Delayed delivery 4,892  
TBA sale commitments, at value 1,859  
Payable for fund shares redeemed 19,684  
Accrued management fee 8,591  
Other affiliated payables 2,759  
Other payables and accrued expenses 1,264  
Collateral on securities loaned, at value 72,260  
Total liabilities  375,818 
Net Assets  $25,763,124 
Net Assets consist of:   
Paid in capital  $21,081,780 
Undistributed net investment income  107,963 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  79,456 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  4,493,925 
Net Assets  $25,763,124 
Puritan:   
Net Asset Value, offering price and redemption price per share ($19,754,360 ÷ 937,464 shares)  $21.07 
Class K:   
Net Asset Value, offering price and redemption price per share ($6,008,764 ÷ 285,296 shares)  $21.06 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2016 
Investment Income   
Dividends  $257,812 
Interest  288,420 
Income from Fidelity Central Funds  35,789 
Total income  582,021 
Expenses   
Management fee $99,997  
Transfer agent fees 30,122  
Accounting and security lending fees 2,213  
Custodian fees and expenses 255  
Independent trustees' fees and expenses 112  
Registration fees 298  
Audit 345  
Legal 171  
Miscellaneous 245  
Total expenses before reductions 133,758  
Expense reductions (624) 133,134 
Net investment income (loss)  448,887 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 211,951  
Other affiliated issuers (14,975)  
Foreign currency transactions 226  
Total net realized gain (loss)  197,202 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		1,166,169  
Assets and liabilities in foreign currencies (12)  
Delayed delivery commitments 104  
Total change in net unrealized appreciation (depreciation)  1,166,261 
Net gain (loss)  1,363,463 
Net increase (decrease) in net assets resulting from operations  $1,812,350 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2016 Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $448,887 $545,818 
Net realized gain (loss) 197,202 1,580,148 
Change in net unrealized appreciation (depreciation) 1,166,261 (1,897,342) 
Net increase (decrease) in net assets resulting from operations 1,812,350 228,624 
Distributions to shareholders from net investment income (425,000) (532,058) 
Distributions to shareholders from net realized gain (1,256,829) (1,690,057) 
Total distributions (1,681,829) (2,222,115) 
Share transactions - net increase (decrease) 881,968 2,230,548 
Total increase (decrease) in net assets 1,012,489 237,057 
Net Assets   
Beginning of period 24,750,635 24,513,578 
End of period $25,763,124 $24,750,635 
Other Information   
Undistributed net investment income end of period $107,963 $94,680 

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


Financial Highlights — Fidelity Puritan Fund

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $21.02 $22.91 $20.98 $19.53 $17.72 
Income from Investment Operations      
Net investment income (loss)A .36 .47B .36 .36 .38 
Net realized and unrealized gain (loss) 1.10 (.33) 3.60 1.79 1.78 
Total from investment operations 1.46 .14 3.96 2.15 2.16 
Distributions from net investment income (.34) (.46) (.35) (.35) (.35) 
Distributions from net realized gain (1.07) (1.57) (1.68) (.35) – 
Total distributions (1.41) (2.03) (2.03) (.70) (.35) 
Net asset value, end of period $21.07 $21.02 $22.91 $20.98 $19.53 
Total ReturnC 7.36% .87% 20.17% 11.29% 12.35% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .56% .56% .56% .58% .59% 
Expenses net of fee waivers, if any .56% .56% .56% .58% .59% 
Expenses net of all reductions .55% .55% .56% .57% .59% 
Net investment income (loss) 1.77% 2.13%B 1.68% 1.79% 2.03% 
Supplemental Data      
Net assets, end of period (in millions) $19,754 $18,812 $18,351 $15,934 $15,472 
Portfolio turnover rateF 36% 106% 160% 229%G 141% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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

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


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


Financial Highlights — Fidelity Puritan Fund Class K

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $21.01 $22.90 $20.98 $19.52 $17.72 
Income from Investment Operations      
Net investment income (loss)A .38 .49B .39 .39 .40 
Net realized and unrealized gain (loss) 1.10 (.33) 3.58 1.79 1.77 
Total from investment operations 1.48 .16 3.97 2.18 2.17 
Distributions from net investment income (.36) (.48) (.37) (.37) (.37) 
Distributions from net realized gain (1.07) (1.57) (1.68) (.35) – 
Total distributions (1.43) (2.05) (2.05) (.72) (.37) 
Net asset value, end of period $21.06 $21.01 $22.90 $20.98 $19.52 
Total ReturnC 7.48% .96% 20.25% 11.48% 12.43% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .46% .46% .46% .47% .48% 
Expenses net of fee waivers, if any .46% .46% .46% .47% .48% 
Expenses net of all reductions .46% .46% .46% .46% .47% 
Net investment income (loss) 1.86% 2.23%B 1.78% 1.90% 2.15% 
Supplemental Data      
Net assets, end of period (in millions) $6,009 $5,939 $6,162 $5,230 $4,261 
Portfolio turnover rateF 36% 106% 160% 229%G 141% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2016
(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

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

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


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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

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

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

Asset Type Fair Value at 08/31/16 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 
Asset-Backed Securities $3,792 Discounted cash flow Spread
 		4.7% - 17.5% / 4.8% Decrease 
   Yield 3.5% - 8.8% / 5.8% Decrease 
Commercial Mortgage Securities $416 Discounted cash flow Spread 7.8% - 180.9% /35.7% Decrease 
   Yield 12.5% Decrease 
   Discount rate 20.0% Decrease 
  Expected distribution Recovery rate 0.0% Increase 
Equities 450,712 Broker quoted Mid price $14.00 Increase 
  Expected distribution Recovery rate 0.0% - 0.1% / 0.1% Increase 
  Last transaction price Transaction price $0.01 Increase 
  Market approach Transaction price $2.05 - $48.77 / $30.61 Increase 
  Market comparable Discount rate 1.0% - 90.0% / 10.1% Decrease 
   Price/Earnings multiple (P/E) 5.1 Increase 
   Enterprise value/EBITDA multiple 4.2 - 10.3 / 10.2 Increase 
   Enterprise value/Sales multiple (EV/S) 0.6 - 4.7 / 2.3 Increase 
   Weighted average cost of capital (WACC) 9.0% Decrease 
   Discount for lack of marketability 10.0% - 20.0% / 15.6% Decrease 
   Liquidity preference $3.00 - $66.95 / $63.60 Increase 
   Premium rate 4.0% - 17.1% / 9.6% Increase 
   Growth rate 3.5% Increase 
  Straight line Price of underlying $14.00 Increase 
   Strike price $40.00 - $47.50 / $44.27 Increase 
Bank Loan Obligations $6,874 Market comparable Enterprise value/EBITDA multiple 6.5 Increase 
   Discount for lack of marketability 15.0% Decrease 
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.


Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2016, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.

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

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

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

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

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2016, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

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

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

Gross unrealized appreciation $5,074,600 
Gross unrealized depreciation (686,034) 
Net unrealized appreciation (depreciation) on securities $4,388,566 
Tax Cost $21,369,331 

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

Undistributed ordinary income $116,156 
Undistributed long-term capital gain $177,786 
Net unrealized appreciation (depreciation) on securities and other investments $4,388,547 

The tax character of distributions paid was as follows:

 August 31, 2016 August 31, 2015 
Ordinary Income $431,190 $ 744,347 
Long-term Capital Gains 1,250,639 1,477,768 
Total $1,681,829 $ 2,222,115 

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

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

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

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

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

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

Consolidated Subsidiary. The Fund invests in certain investments through a wholly-owned subsidiary ("Subsidiary"), which may be subject to federal and state taxes upon disposition.

At period end, investments held through these Subsidiaries were $113,055 representing .44% of the Fund's net assets. The financial statements have been consolidated and include accounts of the Fund and each Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated.

Any cash held by the Subsidiaries is restricted as to its use and is presented as Restricted cash in the Statement of Assets and Liabilities.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $7,439,604 and $7,137,398, respectively.

5. Fees and Other Transactions with Affiliates.

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

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

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

 Amount % of
Class-Level Average
Net Assets 
Puritan $27,331 .14 
Class K 2,791 .05 
 $ 30,122  

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $99 for the period.

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

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $1.

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $51 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $11,072. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $56. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $1,734 (including $84 from securities loaned to FCM).

8. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $432 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $11.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $181.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2016 		Year ended
August 31, 2015 
From net investment income   
Puritan $319,357 $395,766 
Class K 105,643 136,292 
Total $425,000 $532,058 
From net realized gain   
Puritan $955,970 $1,265,858 
Class K 300,859 424,199 
Total $1,256,829 $1,690,057 

10. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2016 		Year ended
August 31, 2015 		Year ended
August 31, 2016 		Year ended
August 31, 2015 
Puritan     
Shares sold 134,463 139,702 $2,708,248 $3,047,523 
Reinvestment of distributions 60,339 75,801 1,211,956 1,580,519 
Shares redeemed (152,236) (121,760) (3,085,310) (2,663,052) 
Net increase (decrease) 42,566 93,743 $834,894 $1,964,990 
Class K     
Shares sold 40,423 49,092 $815,415 $1,071,609 
Reinvestment of distributions 20,247 26,893 406,502 560,491 
Shares redeemed (57,995) (62,479) (1,174,843) (1,366,542) 
Net increase (decrease) 2,675 13,506 $47,074 $265,558 

11. Other.

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

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Puritan Fund (a fund of Fidelity Puritan Trust) at August 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Puritan Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 20, 2016

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 170 funds. Mr. Chiel oversees 111 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

James C. Curvey (1935)

Year of Election or Appointment: 2007

Trustee

Chairman of the Board of Trustees

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

Charles S. Morrison (1960)

Year of Election or Appointment: 2014

Trustee

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

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

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

Independent Trustees:

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

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

Dennis J. Dirks (1948)

Year of Election or Appointment: 2005

Trustee

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

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as Chairman (2014-present) and a member (2010-present) of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes) and a Director of Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). He is a Trustee of the California Chapter of The Nature Conservancy (2015-present) and a Director of the Center for Advanced Study in the Behavioral Sciences at Stanford University (2015-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation (retail) and Chief Executive Officer and Chairman of the Board of Sears, Roebuck and Co. (retail, 2000-2005). Previously, Mr. Lacy served as Chairman (2008-2011) and a member (2006-2015) of the Board of Trustees of the National Parks Conservation Association and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2010-2014).

Ned C. Lautenbach (1944)

Year of Election or Appointment: 2000

Trustee

Chairman of the Independent Trustees

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

Joseph Mauriello (1944)

Year of Election or Appointment: 2008

Trustee

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

Robert W. Selander (1950)

Year of Election or Appointment: 2011

Trustee

Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present) and a non-executive Chairman of Health Equity, Inc. (health savings custodian, 2015-present). Previously, Mr. Selander served as a Member of the Advisory Board of certain Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (1944)

Year of Election or Appointment: 2005

Trustee

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

William S. Stavropoulos (1939)

Year of Election or Appointment: 2001

Trustee

Vice Chairman of the Independent Trustees

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

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

Jeffrey S. Christian (1961)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).

William C. Coffey (1969)

Year of Election or Appointment: 2009

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

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

Scott C. Goebel (1968)

Year of Election or Appointment: 2015

Vice President

Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

Brian B. Hogan (1964)

Year of Election or Appointment: 2009

Vice President

Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.  Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan. 

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

John F. Papandrea (1972)

Year of Election or Appointment: 2016

Anti-Money Laundering (AML) Officer

Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).

Melissa M. Reilly (1971)

Year of Election or Appointment: 2014

Vice President of certain Equity Funds

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Stacie M. Smith (1974)

Year of Election or Appointment: 2016

President and Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2016 to August 31, 2016).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2016 		Ending
Account Value
August 31, 2016 		Expenses Paid
During Period-B
March 1, 2016
to August 31, 2016 
Puritan .55%    
Actual  $1,000.00 $1,100.60 $2.90 
Hypothetical-C  $1,000.00 $1,022.37 $2.80 
Class K .46%    
Actual  $1,000.00 $1,101.20 $2.43 
Hypothetical-C  $1,000.00 $1,022.82 $2.34 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Puritan Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities and dividends derived from net investment income:

 Pay Date Record Date Dividends Capital Gains 
Class K 10/17/16 10/14/16 $0.107 $0.170 
Fidelity Puritan Fund 10/17/16 10/14/16 $ 0.101 $0.170  

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $190,201,884, or, if subsequently determined to be different, the net capital gain of such year.

A total of 2.82% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $155,697,817 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Puritan designates 18%, 44%, 82%, and 82% and Class K designates 17%, 41%, 77%, and 77% of the dividends distributed in October, December, April, and July, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

Puritan designates 21%, 51%, 90%, and 91% and Class K designates 20%, 48%, 85%, and 85% of the dividends distributed in October, December, April, and July, respectively during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Puritan Fund

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

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

At its July 2016 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

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

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

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

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

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

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) broadening eligibility requirements for certain lower-priced share classes of, and streamlining the fee structure for, certain existing equity index funds; (v) lowering expense caps for certain existing funds and classes to reduce expenses paid by shareholders; (vi) eliminating redemption fees for certain variable insurance product funds and classes; (vii) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (viii) launching a lower cost share class for use by the Freedom Index Fund product line; (ix) rationalizing product lines and gaining increased efficiencies through fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (xi) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (xii) accelerating the conversion of all remaining Class B shares to Class A shares, which have a lower expense structure; and (xiii) implementing changes to Fidelity's money market fund product line in response to recent regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in July 2015.

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

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

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

Fidelity Puritan Fund


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

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

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Broadridge funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Broadridge peer group used by the Board for performance comparisons because the Total Mapped Group combines several Broadridge investment objective categories while the Broadridge peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Puritan Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2015.

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

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

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

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

The Board noted that the total expense ratio of each class ranked below the competitive median for 2015.

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

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

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

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

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

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

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

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

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

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

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins; (vi) the realization of fall-out benefits in and attribution of fall-out benefits to certain Fidelity business units; (vii) the appropriateness of certain funds' benchmarks; (viii) the rationalization for certain share classes and expenses; (ix) sub-advisory fee rates for comparable investment mandates; (x) product strategy for certain underperforming funds; and (xi) Fidelity's resources and strategy for cybersecurity.

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





Fidelity Investments

Corporate Headquarters

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Boston, MA 02210

www.fidelity.com

PUR-ANN-1016
1.536193.120

Fidelity® Balanced Fund



Annual Report

August 31, 2016



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2016 Past 1 year Past 5 years Past 10 years 
Fidelity® Balanced Fund 7.73% 10.09% 6.53% 

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Balanced Fund, a class of the fund, on August 31, 2006.

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


Period Ending Values
$18,823Fidelity® Balanced Fund
$20,628S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  U.S. equities advanced strongly for the year ending August 31, 2016, overcoming persistent concern about global economic growth, U.S. monetary policy and the U.K.’s late-June vote to leave the European Union (Brexit). The S&P 500® index rose 12.55%, with larger-cap, value-oriented stocks and defensive sectors shining brightest. Volatility peaked in early 2016, as continued oil-price weakness and U.S.-dollar strength pushed the S&P 500® to its worst January since 2009. Markets then rose beginning in February amid U.S. job gains, a broad rally in energy and materials markets, global economic stimulus and perceived softening of monetary policy by the U.S. Federal Reserve. The June 23 Brexit vote resulted in a sharp two-day decline for stocks, followed by a rebound as investor sentiment shifted and remained positive through August 31. For the year, dividend-rich telecommunication services, utilities and consumer staples led the way amid strong investor demand for yield. Conversely, a strong run for real estate stocks couldn’t help financials outpace the broader market. Meanwhile, the Barclays® U.S. Aggregate Bond Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, in part as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities.

Comments from Co-Portfolio Manager Robert Stansky  For the year, the fund’s share classes gained about 8%, lagging the 10.09% return of the Fidelity Balanced Hybrid Composite Index. Weak security selection in the fund’s equity subportfolio accounted for virtually all of its underperformance versus the Composite index, while overweighting stocks and underweighting bonds added value, as did security selection in the investment-grade bond subportfolio. A sizable overweighting in the stock of AMETEK, a maker of electronic instruments and motors, was our biggest relative detractor and third-largest holding at period end. A substantial underweighting in strong-performing software giant Microsoft also detracted, as did an overweighting in consumer finance company Capital One Financial. Conversely, the equity subportfolio’s top relative contributor was design-software provider Autodesk. Timely ownership of Keurig Green Mountain, maker of single-serve coffee and other beverage products, also contributed. After surging higher in early December on news the company would be taken private, Keurig was sold from the fund. The investment-grade bond subportfolio handily topped its benchmark. Both sector positioning and security selection contributed to our relative results this period. Conversely, out-of-benchmark exposure to Treasury Inflation-Protected Securities, or TIPS, detracted modestly.

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

Investment Summary (Unaudited)

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

Top Five Stocks as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Apple, Inc. 2.1 1.4 
Alphabet, Inc. Class C 1.8 2.0 
AMETEK, Inc. 1.5 1.4 
Roper Technologies, Inc. 1.4 1.4 
Amazon.com, Inc. 1.4 1.1 
 8.2  

Top Five Bond Issuers as of August 31, 2016

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 5.9 6.1 
Fannie Mae 4.6 4.0 
Freddie Mac 2.1 2.0 
Ginnie Mae 1.7 1.6 
Illinois Gen. Oblig. 0.6 0.7 
 14.9  

Top Five Market Sectors as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Financials 18.3 18.5 
Information Technology 12.5 12.4 
Health Care 11.0 10.3 
Consumer Discretionary 9.7 10.3 
Consumer Staples 7.4 7.8 

Asset Allocation (% of fund's net assets)

As of August 31, 2016* 
   Stocks and Equity Futures 63.7% 
   Bonds 34.2% 
   Other Investments 0.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.5% 


 * Foreign investments - 10.7%


As of February 29, 2016* 
   Stocks and Equity Futures 63.0% 
   Bonds 35.7% 
   Other Investments 0.7% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.6% 


 * Foreign investments - 11.3%


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

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

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

Investments August 31, 2016

Showing Percentage of Net Assets

Common Stocks - 63.0%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 8.2%   
Automobiles - 0.4%   
Tesla Motors, Inc. (a) 579,985 $122,963 
Hotels, Restaurants & Leisure - 1.1%   
Hilton Worldwide Holdings, Inc. 4,765,700 113,757 
Las Vegas Sands Corp. 796,717 40,003 
Starbucks Corp. 2,990,974 168,182 
  321,942 
Internet & Catalog Retail - 1.4%   
Amazon.com, Inc. (a) 516,800 397,502 
TripAdvisor, Inc. (a) 158,700 9,681 
  407,183 
Leisure Products - 0.1%   
Mattel, Inc. 881,300 29,197 
Media - 1.6%   
Charter Communications, Inc. Class A (a) 557,707 143,448 
Interpublic Group of Companies, Inc. 1,349,200 31,220 
Manchester United PLC (b) 1,130,315 18,808 
MDC Partners, Inc. Class A (c) 3,022,452 37,297 
The Walt Disney Co. 2,283,500 215,699 
  446,472 
Multiline Retail - 0.1%   
Dollar Tree, Inc. (a) 331,300 27,399 
Specialty Retail - 2.5%   
Advance Auto Parts, Inc. 157,300 24,756 
AutoZone, Inc. (a) 119,472 88,624 
Home Depot, Inc. 1,762,544 236,392 
L Brands, Inc. 1,831,803 139,602 
Ross Stores, Inc. 2,322,536 144,555 
TJX Companies, Inc. 933,148 72,263 
  706,192 
Textiles, Apparel & Luxury Goods - 1.0%   
NIKE, Inc. Class B 3,025,650 174,398 
VF Corp. 1,886,500 117,057 
  291,455 
TOTAL CONSUMER DISCRETIONARY  2,352,803 
CONSUMER STAPLES - 6.4%   
Beverages - 1.4%   
Constellation Brands, Inc. Class A (sub. vtg.) 500,900 82,173 
Molson Coors Brewing Co. Class B 50,800 5,198 
Monster Beverage Corp. (a) 404,152 62,195 
The Coca-Cola Co. 5,745,408 249,523 
  399,089 
Food & Staples Retailing - 1.5%   
CVS Health Corp. 2,064,285 192,804 
Kroger Co. 3,680,608 117,743 
Rite Aid Corp. (a) 2,387,100 17,975 
Sprouts Farmers Market LLC (a) 556,190 12,531 
Wal-Mart Stores, Inc. 80,890 5,779 
Walgreens Boots Alliance, Inc. 775,100 62,558 
Whole Foods Market, Inc. 307,025 9,327 
  418,717 
Food Products - 0.4%   
Bunge Ltd. 205,886 13,156 
Mead Johnson Nutrition Co. Class A 694,249 59,060 
The Hain Celestial Group, Inc. (a) 373,700 13,733 
The Hershey Co. 181,973 18,177 
TreeHouse Foods, Inc. (a) 125,800 11,917 
  116,043 
Household Products - 0.9%   
Colgate-Palmolive Co. 2,440,000 181,390 
Procter & Gamble Co. 1,028,293 89,780 
  271,170 
Personal Products - 0.3%   
Estee Lauder Companies, Inc. Class A 796,032 71,030 
Nu Skin Enterprises, Inc. Class A 369,621 21,394 
  92,424 
Tobacco - 1.9%   
Altria Group, Inc. 3,744,913 247,501 
British American Tobacco PLC sponsored ADR 1,485,430 184,476 
Philip Morris International, Inc. 1,015,000 101,429 
  533,406 
TOTAL CONSUMER STAPLES  1,830,849 
ENERGY - 4.3%   
Energy Equipment & Services - 0.9%   
Baker Hughes, Inc. 1,744,700 85,717 
Dril-Quip, Inc. (a) 328,569 18,259 
Independence Contract Drilling, Inc. (a) 846,233 4,265 
Oceaneering International, Inc. 455,491 12,080 
Schlumberger Ltd. 1,756,400 138,756 
  259,077 
Oil, Gas & Consumable Fuels - 3.4%   
Anadarko Petroleum Corp. 1,592,202 85,135 
Apache Corp. 1,169,900 58,144 
Black Stone Minerals LP 848,300 13,742 
Cabot Oil & Gas Corp. 1,340,050 33,005 
Chevron Corp. 710,005 71,412 
Cimarex Energy Co. 364,002 48,114 
ConocoPhillips Co. 2,781,400 114,176 
Devon Energy Corp. 1,324,100 57,373 
Exxon Mobil Corp. 1,289,478 112,365 
Newfield Exploration Co. (a) 824,600 35,755 
Noble Energy, Inc. 1,335,130 46,035 
Parsley Energy, Inc. Class A (a) 821,430 27,805 
Phillips 66 Co. 897,617 70,418 
Pioneer Natural Resources Co. 310,800 55,649 
PrairieSky Royalty Ltd. 1,349,837 26,453 
SM Energy Co. 1,093,500 41,422 
Southwestern Energy Co. (a) 29,186 406 
Suncor Energy, Inc. (b) 3,543,200 96,078 
  993,487 
TOTAL ENERGY  1,252,564 
FINANCIALS - 10.7%   
Banks - 3.8%   
Bank of America Corp. 14,495,208 233,953 
Citigroup, Inc. 5,192,812 247,905 
Comerica, Inc. 904,200 42,760 
Huntington Bancshares, Inc. 9,234,212 92,434 
JPMorgan Chase & Co. 2,335,154 157,623 
M&T Bank Corp. 505,800 59,851 
Regions Financial Corp. 3,814,600 38,032 
Sumitomo Mitsui Financial Group, Inc. 204,300 7,147 
Synovus Financial Corp. 866,020 28,648 
U.S. Bancorp 3,487,147 153,958 
Zions Bancorporation 800,700 24,493 
  1,086,804 
Capital Markets - 1.3%   
BlackRock, Inc. Class A 337,576 125,852 
Charles Schwab Corp. 1,806,800 56,842 
E*TRADE Financial Corp. (a) 1,155,749 30,489 
Goldman Sachs Group, Inc. 491,800 83,340 
Northern Trust Corp. 670,319 47,318 
Oaktree Capital Group LLC Class A 286,697 12,606 
  356,447 
Consumer Finance - 1.5%   
Capital One Financial Corp. 4,306,801 308,367 
Discover Financial Services 555,700 33,342 
Navient Corp. 1,136,843 16,348 
OneMain Holdings, Inc. (a) 870,600 26,997 
SLM Corp. (a) 7,495,034 55,576 
  440,630 
Diversified Financial Services - 0.9%   
Berkshire Hathaway, Inc.:   
Class A (a) 129 29,123 
Class B (a) 480,000 72,235 
Broadcom Ltd. 580,400 102,394 
CME Group, Inc. 435,600 47,197 
KBC Ancora (a) 398,674 14,642 
On Deck Capital, Inc. (a)(b) 590,700 3,739 
  269,330 
Insurance - 1.2%   
American International Group, Inc. 774,600 46,344 
Chubb Ltd. 989,337 125,577 
Dai-ichi Mutual Life Insurance Co. 505,000 7,026 
Direct Line Insurance Group PLC 4,917,744 23,829 
Fairfax Financial Holdings Ltd. (sub. vtg.) 19,000 10,754 
Marsh & McLennan Companies, Inc. 1,483,777 100,348 
MetLife, Inc. 405,447 17,596 
Unum Group 593,900 21,149 
  352,623 
Real Estate Investment Trusts - 1.8%   
Altisource Residential Corp. Class B 2,273,217 24,937 
American Tower Corp. 1,305,700 148,040 
Boston Properties, Inc. 326,297 45,724 
Coresite Realty Corp. 90,800 7,084 
Duke Realty LP 767,000 21,568 
Equinix, Inc. 97,500 35,943 
Extra Space Storage, Inc. 587,121 47,293 
FelCor Lodging Trust, Inc. 1,307,200 9,294 
Omega Healthcare Investors, Inc. 229,600 8,312 
Outfront Media, Inc. 1,419,062 31,673 
Store Capital Corp. 3,114,500 92,283 
Sun Communities, Inc. 246,242 18,842 
VEREIT, Inc. 3,011,500 31,470 
  522,463 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 1,749,803 52,302 
Mitsubishi Estate Co. Ltd. 399,000 7,547 
  59,849 
TOTAL FINANCIALS  3,088,146 
HEALTH CARE - 9.9%   
Biotechnology - 2.6%   
Alexion Pharmaceuticals, Inc. (a) 624,104 78,550 
Amgen, Inc. 1,234,258 209,898 
Biogen, Inc. (a) 371,185 113,445 
Celgene Corp. (a) 760,800 81,208 
Gilead Sciences, Inc. 619,328 48,543 
Regeneron Pharmaceuticals, Inc. (a) 178,700 70,149 
Shire PLC sponsored ADR 439,100 82,191 
Vertex Pharmaceuticals, Inc. (a) 836,800 79,086 
  763,070 
Health Care Equipment & Supplies - 3.1%   
Abbott Laboratories 2,686,800 112,899 
Boston Scientific Corp. (a) 7,343,168 174,914 
Danaher Corp. 2,230,566 181,590 
Edwards Lifesciences Corp. (a) 660,564 76,071 
Intuitive Surgical, Inc. (a) 46,000 31,575 
Medtronic PLC 2,935,024 255,435 
The Cooper Companies, Inc. 107,437 19,975 
Wright Medical Group NV (a) 1,187,800 29,410 
  881,869 
Health Care Providers & Services - 1.8%   
Cigna Corp. 674,560 86,519 
Henry Schein, Inc. (a) 430,104 70,447 
Humana, Inc. 46,300 8,274 
McKesson Corp. 542,448 100,147 
UnitedHealth Group, Inc. 1,500,100 204,089 
Universal Health Services, Inc. Class B 371,100 44,729 
  514,205 
Health Care Technology - 0.1%   
Medidata Solutions, Inc. (a) 739,465 40,005 
Life Sciences Tools & Services - 0.6%   
Agilent Technologies, Inc. 1,244,100 58,448 
Thermo Fisher Scientific, Inc. 652,597 99,319 
  157,767 
Pharmaceuticals - 1.7%   
Allergan PLC (a) 856,443 200,870 
Bristol-Myers Squibb Co. 1,750,541 100,464 
GlaxoSmithKline PLC sponsored ADR 1,905,600 82,817 
Horizon Pharma PLC (a) 486,800 9,152 
Merck & Co., Inc. 456,500 28,664 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,467,000 73,922 
  495,889 
TOTAL HEALTH CARE  2,852,805 
INDUSTRIALS - 5.7%   
Aerospace & Defense - 1.0%   
Honeywell International, Inc. 471,300 55,005 
TransDigm Group, Inc. (a) 249,600 71,183 
United Technologies Corp. 1,590,500 169,277 
  295,465 
Electrical Equipment - 2.4%   
AMETEK, Inc. 8,799,061 428,954 
Fortive Corp. 3,983,533 209,813 
SolarCity Corp. (a) 862,593 17,821 
Sunrun, Inc. (a)(b)(c) 5,288,285 32,153 
  688,741 
Industrial Conglomerates - 1.4%   
Roper Technologies, Inc. 2,329,714 413,641 
Machinery - 0.3%   
Pentair PLC 1,341,132 85,900 
SPX Flow, Inc. (a) 156,800 4,611 
  90,511 
Professional Services - 0.6%   
Verisk Analytics, Inc. (a) 2,001,616 166,234 
TOTAL INDUSTRIALS  1,654,592 
INFORMATION TECHNOLOGY - 12.2%   
Communications Equipment - 0.0%   
F5 Networks, Inc. (a) 70,400 8,640 
Electronic Equipment & Components - 0.4%   
Jabil Circuit, Inc. 3,379,600 71,614 
Samsung SDI Co. Ltd. 243,061 25,157 
  96,771 
Internet Software & Services - 4.0%   
2U, Inc. (a) 1,128,747 39,890 
58.com, Inc. ADR (a) 1,055,567 48,028 
Alphabet, Inc.:   
Class A 33,400 26,381 
Class C (a) 686,624 526,675 
Box, Inc. Class A (a)(b) 702,500 9,652 
Cornerstone OnDemand, Inc. (a) 841,400 36,954 
Facebook, Inc. Class A (a) 2,511,807 316,789 
Just Dial Ltd. 1,005,448 7,448 
New Relic, Inc. (a) 1,976,287 72,530 
Shopify, Inc. Class A (a) 188,300 7,788 
SPS Commerce, Inc. (a) 44,700 2,918 
Yahoo!, Inc. (a) 1,423,700 60,863 
  1,155,916 
IT Services - 0.4%   
Alliance Data Systems Corp. (a) 34,600 7,078 
Blackhawk Network Holdings, Inc. (a) 634,527 21,733 
Global Payments, Inc. 172,500 13,101 
Travelport Worldwide Ltd. 5,134,362 70,495 
  112,407 
Semiconductors & Semiconductor Equipment - 1.9%   
Intersil Corp. Class A 412,760 8,148 
Lam Research Corp. 392,800 36,656 
Marvell Technology Group Ltd. 3,522,377 43,677 
Micron Technology, Inc. (a) 696,111 11,479 
NVIDIA Corp. 486,273 29,828 
NXP Semiconductors NV (a) 858,500 75,565 
Qorvo, Inc. (a) 4,007,817 230,169 
Qualcomm, Inc. 1,010,544 63,735 
Semtech Corp. (a) 562,100 14,952 
SolarEdge Technologies, Inc. (a)(b) 1,011,770 17,220 
  531,429 
Software - 2.9%   
Activision Blizzard, Inc. 1,823,950 75,457 
Adobe Systems, Inc. (a) 188,767 19,313 
Autodesk, Inc. (a) 5,704,170 384,461 
Electronic Arts, Inc. (a) 746,400 60,630 
HubSpot, Inc. (a) 506,845 28,252 
Microsoft Corp. 1,552,487 89,206 
Nintendo Co. Ltd. 90,400 19,957 
RealPage, Inc. (a) 287,762 7,407 
Salesforce.com, Inc. (a) 1,156,774 91,871 
ServiceNow, Inc. (a) 77,200 5,610 
Varonis Systems, Inc. (a) 639,605 18,900 
Zendesk, Inc. (a) 1,372,848 41,927 
  842,991 
Technology Hardware, Storage & Peripherals - 2.6%   
Apple, Inc. 5,659,214 600,435 
EMC Corp. 2,330,500 67,561 
HP, Inc. 6,259,283 89,946 
  757,942 
TOTAL INFORMATION TECHNOLOGY  3,506,096 
MATERIALS - 1.9%   
Chemicals - 1.4%   
CF Industries Holdings, Inc. 762,000 19,812 
E.I. du Pont de Nemours & Co. 2,030,300 141,309 
Eastman Chemical Co. 745,882 50,638 
Ecolab, Inc. 266,300 32,768 
Monsanto Co. 474,300 50,513 
PPG Industries, Inc. 561,600 59,462 
W.R. Grace & Co. 550,601 43,018 
  397,520 
Construction Materials - 0.1%   
Eagle Materials, Inc. 425,500 34,197 
Containers & Packaging - 0.4%   
Ball Corp. 54,000 4,276 
Graphic Packaging Holding Co. 2,831,768 40,608 
WestRock Co. 1,328,580 63,639 
  108,523 
TOTAL MATERIALS  540,240 
TELECOMMUNICATION SERVICES - 1.6%   
Diversified Telecommunication Services - 1.6%   
AT&T, Inc. 6,168,464 252,167 
Cogent Communications Group, Inc. 370,168 13,156 
Level 3 Communications, Inc. (a) 720,709 35,769 
SBA Communications Corp. Class A (a) 167,900 19,166 
Verizon Communications, Inc. 2,093,936 109,576 
Zayo Group Holdings, Inc. (a) 877,763 25,464 
  455,298 
Wireless Telecommunication Services - 0.0%   
T-Mobile U.S., Inc. (a) 254,700 11,803 
Telephone & Data Systems, Inc. 253,516 7,065 
  18,868 
TOTAL TELECOMMUNICATION SERVICES  474,166 
UTILITIES - 2.1%   
Electric Utilities - 1.4%   
Edison International 570,727 41,503 
Exelon Corp. 2,436,100 82,827 
FirstEnergy Corp. 622,048 20,360 
NextEra Energy, Inc. 1,078,900 130,482 
PG&E Corp. 1,303,829 80,759 
PPL Corp. 1,221,200 42,473 
  398,404 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Yield, Inc. Class C (b) 535,811 9,023 
Vivint Solar, Inc. (a)(b) 3,201,094 10,179 
  19,202 
Multi-Utilities - 0.6%   
CenterPoint Energy, Inc. 426,200 9,577 
Dominion Resources, Inc. 1,043,639 77,396 
Sempra Energy 949,959 99,394 
  186,367 
TOTAL UTILITIES  603,973 
TOTAL COMMON STOCKS   
(Cost $14,436,828)  18,156,234 
Convertible Preferred Stocks - 0.0%   
INFORMATION TECHNOLOGY - 0.0%   
Software - 0.0%   
MongoDB, Inc. Series F, 8.00% (a)(d)   
(Cost $4,704) 281,270 2,522 
 Principal Amount (000s) Value (000s) 
Nonconvertible Bonds - 14.3%   
CONSUMER DISCRETIONARY - 1.1%   
Automobiles - 0.4%   
General Motors Co.:   
3.5% 10/2/18 5,595 5,757 
5.2% 4/1/45 3,663 3,900 
6.25% 10/2/43 921 1,104 
6.6% 4/1/36 4,528 5,583 
6.75% 4/1/46 7,595 9,747 
General Motors Financial Co., Inc.:   
2.625% 7/10/17 1,780 1,797 
3.15% 1/15/20 19,000 19,399 
3.25% 5/15/18 2,895 2,950 
3.5% 7/10/19 41,541 42,811 
4% 1/15/25 7,674 7,812 
4.2% 3/1/21 10,665 11,254 
4.25% 5/15/23 3,220 3,371 
4.75% 8/15/17 3,095 3,188 
  118,673 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 617 636 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp.:   
2.75% 12/9/20 1,722 1,792 
3.7% 1/30/26 4,539 4,905 
4.7% 12/9/35 2,343 2,688 
4.875% 12/9/45 3,677 4,349 
  13,734 
Media - 0.7%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 6,333 8,216 
7.75% 12/1/45 9,421 14,317 
AOL Time Warner, Inc. 2.95% 7/15/26 23,000 23,460 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (e) 10,261 11,125 
4.908% 7/23/25 (e) 6,898 7,606 
6.484% 10/23/45 (e) 1,744 2,143 
Discovery Communications LLC 5.05% 6/1/20 204 224 
Thomson Reuters Corp.:   
1.3% 2/23/17 2,082 2,085 
3.85% 9/29/24 5,214 5,585 
Time Warner Cable, Inc.:   
4% 9/1/21 10,989 11,713 
4.5% 9/15/42 3,752 3,630 
5.5% 9/1/41 3,051 3,311 
5.85% 5/1/17 1,829 1,882 
5.875% 11/15/40 7,066 7,882 
6.55% 5/1/37 40,485 48,851 
6.75% 7/1/18 1,974 2,151 
7.3% 7/1/38 7,024 9,122 
8.25% 4/1/19 11,974 13,838 
Time Warner, Inc. 2.1% 6/1/19 12,500 12,683 
Viacom, Inc.:   
2.5% 9/1/18 809 818 
3.5% 4/1/17 264 267 
  190,909 
TOTAL CONSUMER DISCRETIONARY  323,952 
CONSUMER STAPLES - 0.9%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 18,881 19,457 
3.3% 2/1/23 20,335 21,338 
4.7% 2/1/36 19,253 22,316 
4.9% 2/1/46 22,019 26,627 
SABMiller Holdings, Inc. 2.45% 1/15/17 (e) 2,353 2,364 
  92,102 
Food & Staples Retailing - 0.1%   
CVS Health Corp.:   
3.5% 7/20/22 4,494 4,826 
3.875% 7/20/25 7,967 8,776 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,939 4,065 
3.3% 11/18/21 4,671 4,934 
  22,601 
Food Products - 0.1%   
Cargill, Inc. 6% 11/27/17 (e) 572 606 
ConAgra Foods, Inc. 1.9% 1/25/18 2,279 2,295 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (e) 3,710 3,713 
2% 10/20/17 (e) 5,313 5,359 
  11,973 
Tobacco - 0.4%   
Altria Group, Inc.:   
2.625% 1/14/20 12,900 13,394 
4% 1/31/24 3,615 4,057 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (e) 8,553 9,073 
4.25% 7/21/25 (e) 8,553 9,362 
Reynolds American, Inc.:   
2.3% 6/12/18 3,810 3,870 
3.25% 6/12/20 1,695 1,784 
4% 6/12/22 5,830 6,384 
4.45% 6/12/25 4,227 4,744 
4.85% 9/15/23 8,000 9,180 
5.7% 8/15/35 2,194 2,726 
5.85% 8/15/45 16,830 21,949 
6.15% 9/15/43 14,000 18,756 
7.25% 6/15/37 7,569 10,446 
  115,725 
TOTAL CONSUMER STAPLES  242,401 
ENERGY - 2.2%   
Energy Equipment & Services - 0.1%   
DCP Midstream LLC:   
4.75% 9/30/21 (e) 6,909 6,805 
5.35% 3/15/20 (e) 6,814 6,916 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 2,791 3,032 
6.5% 4/1/20 3,517 3,930 
Halliburton Co.:   
3.8% 11/15/25 4,660 4,816 
4.85% 11/15/35 4,069 4,346 
5% 11/15/45 5,575 6,137 
Noble Holding International Ltd.:   
5% 3/16/18 (f) 617 607 
6.95% 4/1/25 (f) 3,936 3,208 
7.95% 4/1/45 (f) 3,799 2,773 
Transocean, Inc. 5.55% 12/15/16 (f) 4,522 4,556 
  47,126 
Oil, Gas & Consumable Fuels - 2.1%   
Anadarko Finance Co. 7.5% 5/1/31 7,359 8,919 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 12,068 12,838 
5.55% 3/15/26 6,563 7,260 
6.375% 9/15/17 1,978 2,069 
6.6% 3/15/46 8,910 10,606 
BP Capital Markets PLC:   
4.5% 10/1/20 1,336 1,475 
4.742% 3/11/21 6,000 6,785 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,851 2,840 
Cenovus Energy, Inc. 5.7% 10/15/19 6,698 7,194 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,617 1,625 
3.3% 6/1/20 7,911 8,187 
4.5% 6/1/25 2,416 2,613 
DCP Midstream Operating LP:   
2.5% 12/1/17 3,027 3,016 
2.7% 4/1/19 5,369 5,201 
3.875% 3/15/23 2,761 2,623 
4.95% 4/1/22 1,267 1,277 
5.6% 4/1/44 2,216 2,028 
Duke Energy Field Services 6.45% 11/3/36 (e) 6,493 6,282 
El Paso Natural Gas Co. 5.95% 4/15/17 1,572 1,612 
Empresa Nacional de Petroleo 4.375% 10/30/24 (e) 5,615 6,004 
Enable Midstream Partners LP:   
2.4% 5/15/19 1,957 1,912 
3.9% 5/15/24 2,064 1,942 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,103 8,362 
4.375% 10/15/20 5,808 6,052 
Kinder Morgan Energy Partners LP:   
2.65% 2/1/19 804 814 
3.45% 2/15/23 9,672 9,576 
3.95% 9/1/22 6,675 6,909 
6.55% 9/15/40 904 982 
Kinder Morgan, Inc.:   
2% 12/1/17 2,620 2,623 
3.05% 12/1/19 2,353 2,416 
Marathon Petroleum Corp. 5.125% 3/1/21 4,415 4,918 
Motiva Enterprises LLC 5.75% 1/15/20 (e) 1,252 1,377 
MPLX LP 4% 2/15/25 1,190 1,162 
Nakilat, Inc. 6.067% 12/31/33 (e) 2,490 3,008 
Nexen, Inc. 6.2% 7/30/19 2,252 2,517 
Pemex Project Funding Master Trust 5.75% 3/1/18 25,063 26,341 
Petrobras Global Finance BV:   
4.375% 5/20/23 4,137 3,608 
4.875% 3/17/20 23,870 23,393 
5.625% 5/20/43 22,261 17,169 
7.25% 3/17/44 30,172 27,758 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 47,072 45,366 
5.75% 1/20/20 17,949 18,153 
7.875% 3/15/19 2,113 2,255 
Petroleos Mexicanos:   
3.5% 7/18/18 8,047 8,229 
3.5% 7/23/20 8,815 8,925 
3.5% 1/30/23 5,005 4,864 
4.5% 1/23/26 11,915 11,933 
4.875% 1/24/22 1,430 1,489 
4.875% 1/18/24 7,021 7,284 
5.5% 1/21/21 13,423 14,483 
5.5% 6/27/44 19,723 18,737 
5.625% 1/23/46 11,673 11,277 
6% 3/5/20 4,797 5,249 
6.375% 1/23/45 26,396 27,798 
6.5% 6/2/41 8,420 8,926 
6.875% 8/4/26 (e) 13,000 15,113 
8% 5/3/19 3,943 4,462 
Phillips 66 Co.:   
2.95% 5/1/17 1,844 1,865 
4.3% 4/1/22 6,383 7,031 
Phillips 66 Partners LP 2.646% 2/15/20 652 656 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,940 1,972 
Shell International Finance BV 4.375% 5/11/45 18,896 20,802 
Southeast Supply Header LLC 4.25% 6/15/24 (e) 5,790 5,841 
Southwestern Energy Co.:   
5.8% 1/23/20 (f) 5,591 5,591 
6.7% 1/23/25 (f) 4,632 4,759 
Spectra Energy Capital, LLC 5.65% 3/1/20 1,087 1,174 
Spectra Energy Partners LP 4.6% 6/15/21 1,816 1,960 
Suncor Energy, Inc. 6.1% 6/1/18 623 669 
The Williams Companies, Inc.:   
3.7% 1/15/23 5,046 4,895 
4.55% 6/24/24 25,316 25,886 
Western Gas Partners LP:   
4.65% 7/1/26 2,228 2,310 
5.375% 6/1/21 14,415 15,656 
Williams Partners LP:   
3.6% 3/15/22 6,925 6,913 
3.9% 1/15/25 2,391 2,378 
4% 11/15/21 3,157 3,247 
4.3% 3/4/24 10,014 10,252 
4.5% 11/15/23 3,444 3,573 
  595,266 
TOTAL ENERGY  642,392 
FINANCIALS - 7.3%   
Banks - 3.4%   
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (e) 6,350 6,334 
4% 4/14/19 (e) 18,318 18,560 
5.5% 7/12/20 (e) 21,376 22,679 
5.75% 9/26/23 (e) 5,809 6,201 
6.369% 6/16/18 (e) 12,537 13,117 
6.5% 6/10/19 (e) 2,097 2,257 
Bank of America Corp.:   
1.35% 11/21/16 5,398 5,401 
2.6% 1/15/19 57,427 58,696 
3.5% 4/19/26 8,482 8,853 
3.875% 8/1/25 5,598 5,996 
3.95% 4/21/25 11,273 11,733 
4% 1/22/25 2,766 2,880 
4.2% 8/26/24 11,449 12,144 
4.25% 10/22/26 6,748 7,157 
4.45% 3/3/26 1,420 1,528 
5.625% 10/14/16 22,550 22,659 
5.75% 12/1/17 19,000 19,977 
Barclays PLC:   
2% 3/16/18 16,700 16,712 
2.75% 11/8/19 5,728 5,774 
3.25% 1/12/21 8,790 8,958 
4.375% 1/12/26 11,847 12,368 
BB&T Corp. 3.95% 3/22/22 1,805 1,940 
Capital One NA 2.95% 7/23/21 8,837 9,126 
Citigroup, Inc.:   
1.75% 5/1/18 21,658 21,687 
1.8% 2/5/18 17,419 17,482 
1.85% 11/24/17 13,884 13,944 
2.15% 7/30/18 17,815 17,983 
3.875% 3/26/25 17,000 17,534 
4.05% 7/30/22 17,500 18,614 
4.3% 11/20/26 14,000 14,702 
Citizens Bank NA 2.55% 5/13/21 3,064 3,118 
Citizens Financial Group, Inc. 4.15% 9/28/22 (e) 7,659 7,917 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 8,440 8,463 
3.75% 3/26/25 8,440 8,454 
3.8% 9/15/22 13,270 13,540 
3.8% 6/9/23 (e) 16,850 17,094 
Credit Suisse New York Branch 5.4% 1/14/20 1,450 1,590 
Discover Bank 7% 4/15/20 4,144 4,703 
Fifth Third Bancorp:   
2.875% 7/27/20 43,000 44,530 
3.5% 3/15/22 638 673 
4.5% 6/1/18 584 611 
5.45% 1/15/17 4,032 4,093 
HBOS PLC 6.75% 5/21/18 (e) 560 599 
HSBC Holdings PLC 4.25% 3/14/24 3,415 3,555 
Huntington Bancshares, Inc. 7% 12/15/20 3,353 3,905 
Huntington National Bank:   
1.7% 2/26/18 37,500 37,603 
2.2% 4/1/19 3,200 3,233 
2.4% 4/1/20 40,000 40,486 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (e) 5,410 5,104 
5.71% 1/15/26 (e) 13,365 13,093 
JPMorgan Chase & Co.:   
2.75% 6/23/20 10,395 10,699 
2.95% 10/1/26 13,449 13,532 
3.875% 9/10/24 24,177 25,520 
4.125% 12/15/26 82,686 88,613 
KeyCorp. 5.1% 3/24/21 628 709 
Rabobank Nederland 4.375% 8/4/25 13,516 14,301 
Regions Bank 6.45% 6/26/37 12,100 14,743 
Regions Financial Corp. 3.2% 2/8/21 5,563 5,767 
Royal Bank of Canada 4.65% 1/27/26 10,184 11,201 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 65,325 66,093 
6% 12/19/23 12,648 13,378 
6.1% 6/10/23 9,334 9,911 
6.125% 12/15/22 39,429 42,111 
SunTrust Banks, Inc.:   
2.35% 11/1/18 3,000 3,049 
3.5% 1/20/17 4,862 4,895 
Wells Fargo & Co.:   
4.1% 6/3/26 15,000 16,283 
4.48% 1/16/24 6,481 7,178 
  973,343 
Capital Markets - 1.4%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 8,929 8,911 
4.25% 2/15/24 3,357 3,537 
Credit Suisse AG 6% 2/15/18 17,158 18,064 
Deutsche Bank AG 4.5% 4/1/25 27,715 26,169 
Deutsche Bank AG London Branch 2.85% 5/10/19 18,270 18,329 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 24,600 24,658 
2.55% 10/23/19 85,599 87,499 
2.6% 4/23/20 1,000 1,020 
2.625% 1/31/19 30,072 30,843 
2.9% 7/19/18 10,319 10,579 
5.95% 1/18/18 5,343 5,662 
6.15% 4/1/18 3,993 4,276 
Lazard Group LLC:   
4.25% 11/14/20 5,286 5,602 
6.85% 6/15/17 1,319 1,369 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 30,624 32,087 
Morgan Stanley:   
1.875% 1/5/18 7,156 7,192 
2.125% 4/25/18 18,100 18,281 
2.5% 1/24/19 43,150 43,838 
2.65% 1/27/20 2,659 2,727 
4.875% 11/1/22 8,674 9,614 
5.625% 9/23/19 547 608 
5.95% 12/28/17 301 318 
6.625% 4/1/18 1,804 1,944 
Peachtree Corners Funding Trust 3.976% 2/15/25 (e) 10,000 10,083 
UBS AG Stamford Branch:   
1.375% 6/1/17 6,466 6,468 
1.8% 3/26/18 12,466 12,536 
2.375% 8/14/19 12,750 13,010 
UBS Group Funding Ltd. 4.125% 9/24/25 (e) 9,717 10,230 
  415,454 
Consumer Finance - 0.5%   
Capital One Financial Corp. 2.45% 4/24/19 5,260 5,367 
Discover Financial Services:   
3.85% 11/21/22 2,701 2,792 
3.95% 11/6/24 20,000 20,576 
5.2% 4/27/22 2,488 2,727 
6.45% 6/12/17 13,316 13,789 
Ford Motor Credit Co. LLC:   
2.145% 1/9/18 25,000 25,149 
2.875% 10/1/18 11,000 11,270 
5% 5/15/18 10,000 10,538 
5.875% 8/2/21 12,574 14,434 
Hyundai Capital America:   
1.45% 2/6/17 (e) 6,312 6,314 
2.125% 10/2/17 (e) 2,357 2,373 
2.55% 2/6/19 (e) 6,671 6,802 
2.875% 8/9/18 (e) 2,848 2,908 
Synchrony Financial:   
1.875% 8/15/17 1,554 1,557 
3% 8/15/19 2,283 2,334 
3.75% 8/15/21 8,466 8,878 
4.25% 8/15/24 3,469 3,640 
  141,448 
Diversified Financial Services - 0.1%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 11,325 11,347 
3.875% 8/15/22 10,251 10,703 
4.125% 6/15/26 3,990 4,141 
IntercontinentalExchange, Inc.:   
2.75% 12/1/20 3,082 3,213 
3.75% 12/1/25 5,510 6,033 
  35,437 
Insurance - 0.6%   
ACE INA Holdings, Inc. 2.875% 11/3/22 5,658 5,954 
AIA Group Ltd. 2.25% 3/11/19 (e) 1,416 1,434 
American International Group, Inc.:   
3.3% 3/1/21 4,640 4,868 
3.75% 7/10/25 14,847 15,661 
4.875% 6/1/22 11,881 13,301 
5.6% 10/18/16 5,560 5,590 
Aon Corp. 5% 9/30/20 129 143 
Five Corners Funding Trust 4.419% 11/15/23 (e) 9,345 10,087 
Great-West Life & Annuity Insurance Co. 3.3563% 5/16/46 (e)(f) 2,508 2,144 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 685 699 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (e) 6,498 7,034 
5% 6/1/21 (e) 8,525 9,439 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 4,819 5,344 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (e) 9,547 9,691 
Metropolitan Life Global Funding I 1.875% 6/22/18 (e) 7,075 7,147 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e) 4,915 6,405 
Pacific Life Insurance Co. 9.25% 6/15/39 (e) 3,967 6,266 
Pacific LifeCorp:   
5.125% 1/30/43 (e) 7,709 8,537 
6% 2/10/20 (e) 10,987 12,198 
Prudential Financial, Inc.:   
2.3% 8/15/18 888 902 
4.5% 11/16/21 1,764 1,974 
7.375% 6/15/19 2,520 2,899 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (e) 8,243 9,406 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (e) 1,938 1,990 
4.125% 11/1/24 (e) 2,810 2,957 
Unum Group:   
3.875% 11/5/25 9,271 9,353 
5.625% 9/15/20 3,860 4,319 
5.75% 8/15/42 12,079 13,825 
7.125% 9/30/16 2,076 2,084 
  181,651 
Real Estate Investment Trusts - 0.8%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,369 1,384 
4.6% 4/1/22 2,434 2,634 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,759 1,845 
American Tower Corp. 2.8% 6/1/20 8,000 8,193 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,800 2,971 
Camden Property Trust 2.95% 12/15/22 2,417 2,436 
CommonWealth REIT 5.875% 9/15/20 1,166 1,290 
Corporate Office Properties LP:   
3.7% 6/15/21 4,267 4,401 
5% 7/1/25 4,089 4,408 
DDR Corp.:   
3.625% 2/1/25 3,723 3,776 
4.25% 2/1/26 3,429 3,637 
4.625% 7/15/22 4,470 4,855 
4.75% 4/15/18 6,131 6,390 
7.5% 4/1/17 8,836 9,117 
Duke Realty LP:   
3.25% 6/30/26 1,436 1,474 
3.625% 4/15/23 3,152 3,326 
3.75% 12/1/24 2,549 2,712 
3.875% 10/15/22 5,452 5,804 
4.375% 6/15/22 3,753 4,086 
6.75% 3/15/20 1,339 1,540 
8.25% 8/15/19 2,643 3,102 
Equity One, Inc. 3.75% 11/15/22 8,200 8,399 
Federal Realty Investment Trust 5.9% 4/1/20 1,971 2,242 
HCP, Inc.:   
3.15% 8/1/22 7,000 7,057 
3.875% 8/15/24 13,000 13,302 
Health Care REIT, Inc.:   
2.25% 3/15/18 2,600 2,623 
4% 6/1/25 6,098 6,524 
4.125% 4/1/19 13,700 14,434 
4.7% 9/15/17 843 871 
HRPT Properties Trust:   
6.25% 6/15/17 996 1,008 
6.65% 1/15/18 676 701 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,249 2,308 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 11,855 12,088 
4.5% 1/15/25 2,128 2,160 
4.5% 4/1/27 34,977 35,374 
4.95% 4/1/24 2,101 2,197 
5.25% 1/15/26 10,420 11,189 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,583 1,601 
5% 12/15/23 1,140 1,221 
Weingarten Realty Investors 3.375% 10/15/22 1,228 1,255 
WP Carey, Inc. 4% 2/1/25 9,404 9,390 
  215,325 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,304 7,474 
4.1% 10/1/24 6,548 6,738 
4.55% 10/1/29 6,548 6,840 
4.95% 4/15/18 4,846 5,065 
5.7% 5/1/17 309 318 
Digital Realty Trust LP:   
3.4% 10/1/20 9,100 9,484 
3.95% 7/1/22 5,752 6,084 
4.75% 10/1/25 6,539 7,129 
5.25% 3/15/21 4,138 4,664 
Essex Portfolio LP 5.5% 3/15/17 3,921 4,001 
Liberty Property LP:   
3.375% 6/15/23 3,313 3,374 
4.125% 6/15/22 3,219 3,391 
4.75% 10/1/20 8,747 9,474 
5.5% 12/15/16 2,529 2,559 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,556 4,575 
3.15% 5/15/23 7,438 6,924 
4.5% 4/18/22 2,016 2,061 
7.75% 8/15/19 2,476 2,781 
Mid-America Apartments LP:   
4% 11/15/25 2,248 2,408 
4.3% 10/15/23 1,248 1,353 
Post Apartment Homes LP 3.375% 12/1/22 1,364 1,398 
Tanger Properties LP:   
3.125% 9/1/26 4,924 4,918 
3.75% 12/1/24 4,790 5,026 
3.875% 12/1/23 2,716 2,877 
6.125% 6/1/20 9,597 10,901 
Ventas Realty LP:   
1.25% 4/17/17 3,126 3,126 
3.125% 6/15/23 2,534 2,583 
3.5% 2/1/25 2,833 2,935 
3.75% 5/1/24 7,900 8,285 
4.125% 1/15/26 2,782 3,011 
4.375% 2/1/45 1,322 1,371 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 4,056 4,080 
4% 4/30/19 1,999 2,102 
  149,310 
TOTAL FINANCIALS  2,111,968 
HEALTH CARE - 0.8%   
Biotechnology - 0.1%   
AbbVie, Inc.:   
1.75% 11/6/17 6,470 6,499 
3.2% 11/6/22 8,127 8,492 
3.6% 5/14/25 12,082 12,776 
  27,767 
Health Care Providers & Services - 0.3%   
Express Scripts Holding Co.:   
3.9% 2/15/22 1,915 2,063 
4.75% 11/15/21 17,355 19,515 
HCA Holdings, Inc.:   
3.75% 3/15/19 11,874 12,245 
4.25% 10/15/19 20,200 21,185 
4.75% 5/1/23 375 392 
5.875% 3/15/22 450 495 
6.5% 2/15/20 12,966 14,327 
McKesson Corp. 2.284% 3/15/19 6,400 6,524 
Medco Health Solutions, Inc. 4.125% 9/15/20 5,031 5,421 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 3,113 3,350 
3.75% 7/15/25 8,581 9,504 
WellPoint, Inc. 1.875% 1/15/18 195 196 
  95,217 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,745 1,746 
2.4% 2/1/19 1,100 1,121 
3.3% 2/15/22 13,389 14,054 
  16,921 
Pharmaceuticals - 0.3%   
Actavis Funding SCS:   
1.3% 6/15/17 12,949 12,914 
2.45% 6/15/19 3,839 3,907 
3% 3/12/20 7,106 7,345 
3.45% 3/15/22 12,371 12,947 
Mylan N.V.:   
2.5% 6/7/19 (e) 4,811 4,872 
3.15% 6/15/21 (e) 9,840 10,058 
Mylan, Inc. 1.35% 11/29/16 2,039 2,041 
Perrigo Co. PLC:   
1.3% 11/8/16 1,664 1,665 
2.3% 11/8/18 1,780 1,789 
Perrigo Finance PLC:   
3.5% 12/15/21 1,752 1,798 
3.9% 12/15/24 2,611 2,643 
4.9% 12/15/44 1,145 1,179 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 6,966 6,968 
2.8% 7/21/23 4,987 5,007 
3.15% 10/1/26 5,937 5,977 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 2,149 2,159 
Zoetis, Inc. 1.875% 2/1/18 992 994 
  84,263 
TOTAL HEALTH CARE  224,168 
INDUSTRIALS - 0.2%   
Aerospace & Defense - 0.0%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (e) 5,000 5,566 
Airlines - 0.1%   
Continental Airlines, Inc.:   
6.648% 3/15/19 699 714 
6.9% 7/2/19 221 227 
Southwest Airlines Co. 2.75% 11/6/19 14,700 15,152 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 1,174 1,210 
8.36% 1/20/19 892 931 
  18,234 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,829 1,868 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
2.125% 1/15/18 3,319 3,322 
2.625% 9/4/18 8,396 8,445 
3.375% 6/1/21 4,953 5,126 
3.75% 2/1/22 7,839 8,188 
3.875% 4/1/21 6,320 6,660 
4.25% 9/15/24 5,492 5,773 
4.75% 3/1/20 5,518 5,959 
  43,473 
TOTAL INDUSTRIALS  69,141 
INFORMATION TECHNOLOGY - 0.2%   
Electronic Equipment & Components - 0.0%   
Tyco Electronics Group SA:   
2.375% 12/17/18 1,262 1,285 
6.55% 10/1/17 1,119 1,180 
  2,465 
IT Services - 0.0%   
Xerox Corp. 2.95% 3/15/17 1,143 1,151 
Technology Hardware, Storage & Peripherals - 0.2%   
Apple, Inc. 4.375% 5/13/45 18,876 21,171 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (e) 8,781 9,175 
4.9% 10/15/25 (e) 8,781 9,364 
6.35% 10/15/45 (e) 8,781 9,062 
  48,772 
TOTAL INFORMATION TECHNOLOGY  52,388 
MATERIALS - 0.2%   
Metals & Mining - 0.2%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (e)(f) 3,645 3,982 
6.75% 10/19/75 (e)(f) 9,054 10,322 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (e) 8,722 9,229 
4.5% 8/13/23 (Reg. S) 10,600 11,363 
4.875% 11/4/44 (e) 2,152 2,238 
4.875% 11/4/44 (Reg. S) 5,050 5,251 
  42,385 
TELECOMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.6%   
AT&T, Inc.:   
2.45% 6/30/20 5,759 5,875 
3.6% 2/17/23 13,016 13,740 
4.8% 6/15/44 18,630 19,800 
BellSouth Capital Funding Corp. 7.875% 2/15/30 61 84 
CenturyLink, Inc.:   
5.15% 6/15/17 487 499 
6% 4/1/17 3,467 3,558 
6.15% 9/15/19 4,463 4,842 
Embarq Corp. 7.995% 6/1/36 28,166 29,205 
Verizon Communications, Inc.:   
2.625% 2/21/20 9,818 10,126 
4.5% 9/15/20 45,631 50,356 
5.012% 8/21/54 23,143 25,375 
6.1% 4/15/18 4,897 5,271 
6.25% 4/1/37 4,611 5,919 
  174,650 
Wireless Telecommunication Services - 0.0%   
America Movil S.A.B. de CV 2.375% 9/8/16 371 371 
TOTAL TELECOMMUNICATION SERVICES  175,021 
UTILITIES - 0.8%   
Electric Utilities - 0.7%   
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (e) 5,539 6,252 
6.4% 9/15/20 (e) 14,254 16,165 
Edison International 3.75% 9/15/17 4,499 4,618 
Entergy Corp. 4% 7/15/22 8,700 9,354 
Eversource Energy 1.45% 5/1/18 1,676 1,677 
Exelon Corp.:   
1.55% 6/9/17 1,687 1,690 
3.95% 6/15/25 7,948 8,682 
FirstEnergy Corp.:   
2.75% 3/15/18 11,918 12,037 
4.25% 3/15/23 27,079 28,637 
7.375% 11/15/31 43,919 57,302 
FirstEnergy Solutions Corp. 6.05% 8/15/21 12,120 10,534 
IPALCO Enterprises, Inc. 3.45% 7/15/20 13,932 14,280 
LG&E and KU Energy LLC 3.75% 11/15/20 1,034 1,109 
Nevada Power Co. 6.5% 8/1/18 2,642 2,893 
NV Energy, Inc. 6.25% 11/15/20 1,957 2,301 
Pennsylvania Electric Co. 6.05% 9/1/17 618 643 
PG&E Corp. 2.4% 3/1/19 931 949 
Progress Energy, Inc. 4.4% 1/15/21 405 444 
TECO Finance, Inc. 5.15% 3/15/20 164 180 
West Penn Power Co. 5.95% 12/15/17 (e) 6,500 6,821 
  186,568 
Gas Utilities - 0.0%   
Southern Natural Gas Co. 5.9% 4/1/17 (e)(f) 357 366 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,473 2,648 
Texas Eastern Transmission LP 6% 9/15/17 (e) 1,301 1,356 
  4,370 
Independent Power and Renewable Electricity Producers - 0.0%   
Emera U.S. Finance LP:   
2.15% 6/15/19 (e) 2,358 2,386 
2.7% 6/15/21 (e) 2,321 2,373 
3.55% 6/15/26 (e) 3,712 3,907 
  8,666 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
2.9311% 9/30/66 (f) 20,448 16,154 
3.4561% 6/30/66 (f) 5,485 4,827 
NiSource Finance Corp.:   
5.45% 9/15/20 6,455 7,264 
6.4% 3/15/18 1,206 1,290 
6.8% 1/15/19 4,065 4,538 
Puget Energy, Inc. 6% 9/1/21 813 938 
Wisconsin Energy Corp. 6.25% 5/15/67 (f) 4,882 4,174 
  39,185 
TOTAL UTILITIES  238,789 
TOTAL NONCONVERTIBLE BONDS   
(Cost $3,954,799)  4,122,605 
U.S. Government and Government Agency Obligations - 5.9%   
U.S. Treasury Inflation-Protected Obligations - 1.8%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $120,189 $124,975 
1% 2/15/46 25,137 28,013 
1.375% 2/15/44 100,831 120,381 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/26 71,899 71,997 
0.25% 1/15/25 64,139 64,694 
0.625% 1/15/26 101,442 105,746 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  515,806 
U.S. Treasury Obligations - 4.1%   
U.S. Treasury Bills, yield at date of purchase 0.29% to 0.31% 10/13/16 to 11/17/16 (g) 8,120 8,117 
U.S. Treasury Bonds:   
2.25% 8/15/46 57,522 57,724 
3% 5/15/45 73,170 85,166 
3% 11/15/45 85,886 100,061 
U.S. Treasury Notes:   
1.125% 8/31/21 240,947 240,100 
1.25% 3/31/21 (h) 365,279 366,278 
1.375% 4/30/21 94,330 95,082 
1.375% 8/31/23 218,580 217,444 
TOTAL U.S. TREASURY OBLIGATIONS  1,169,972 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,640,860)  1,685,778 
U.S. Government Agency - Mortgage Securities - 1.0%   
Fannie Mae - 0.5%   
2.5% 9/1/27 to 4/1/43 12,944 13,363 
2.803% 6/1/36 (f) 130 136 
3% 10/1/30 to 8/1/45 27,151 28,357 
3.005% 7/1/37 (f) 245 260 
3.5% 9/1/29 to 6/1/46 45,751 48,637 
3.5% 9/1/46 (i) 600 632 
4% 11/1/31 to 4/1/46 22,219 23,944 
4% 9/1/46 (i) 4,550 4,873 
4.5% 12/1/23 to 6/1/41 1,015 1,106 
5% 7/1/33 to 11/1/44 10,434 11,624 
5.5% 9/1/24 to 9/1/41 13,500 15,126 
6% 6/1/35 to 8/1/37 3,667 4,212 
6.5% 7/1/32 to 8/1/36 744 868 
TOTAL FANNIE MAE  153,138 
Freddie Mac - 0.3%   
2.5% 7/1/31 553 573 
3% 4/1/31 to 7/1/45 19,034 19,865 
3.5% 4/1/43 to 4/1/46 19,743 20,902 
3.581% 10/1/35 (f) 126 135 
4% 6/1/24 to 2/1/46 22,143 23,878 
4.5% 7/1/25 to 4/1/41 9,346 10,257 
5% 3/1/19 to 7/1/41 3,633 4,057 
5.5% 1/1/34 to 3/1/40 744 844 
6% 7/1/37 to 8/1/37 216 247 
6.5% 3/1/36 585 681 
TOTAL FREDDIE MAC  81,439 
Ginnie Mae - 0.2%   
3% 12/20/42 to 1/20/43 1,710 1,799 
3.5% 11/20/41 to 6/20/46 22,066 23,546 
3.5% 9/1/46 (i) 680 721 
4% 9/20/40 to 7/20/45 9,947 10,724 
4.5% 4/20/41 2,047 2,244 
5% 5/15/39 818 922 
5.5% 12/15/31 to 1/15/39 1,814 2,088 
TOTAL GINNIE MAE  42,044 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $271,131)  276,621 
Asset-Backed Securities - 0.1%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1929% 4/25/35 (f) $729 $680 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.1744% 3/25/34 (f) 247 237 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.5379% 12/25/33 (f) 46 43 
Series 2004-R2 Class M3, 1.3129% 4/25/34 (f) 99 75 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2679% 3/25/34 (f) 53 48 
Series 2004-W11 Class M2, 1.5744% 11/25/34 (f) 616 596 
Series 2004-W7 Class M1, 1.3129% 5/25/34 (f) 1,460 1,343 
Series 2006-W4 Class A2C, 0.6844% 5/25/36 (f) 1,238 423 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.3494% 4/25/34 (f) 1,710 1,480 
Series 2006-HE2 Class M1, 0.8944% 3/25/36 (f) 18 3 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.71% 4/20/20 10,478 10,495 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.6644% 12/25/36 (f) 1,978 1,135 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.9794% 4/25/34 (f) 65 58 
Series 2004-4 Class M2, 1.3194% 6/25/34 (f) 99 92 
Series 2004-7 Class AF5, 5.868% 1/25/35 (f) 1,248 1,285 
Fannie Mae Series 2004-T5 Class AB3, 1.1662% 5/28/35 (f) 43 37 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6994% 8/25/34 (f) 313 296 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.3494% 3/25/34 (f) 10 8 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.2594% 1/25/35 (f) 1,041 894 
Class M4, 1.5444% 1/25/35 (f) 381 204 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.2054% 2/25/47 (e)(f) 1,115 926 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.6877% 11/15/34 (e)(f) 528 489 
Class B, 0.7877% 11/15/34 (e)(f) 191 170 
Class C, 0.8877% 11/15/34 (e)(f) 317 278 
Class D, 1.2577% 11/15/34 (e)(f) 120 103 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.8444% 8/25/33 (f) 248 231 
Series 2003-3 Class M1, 1.8144% 8/25/33 (f) 446 418 
Series 2003-5 Class A2, 1.2244% 12/25/33 (f) 36 33 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.7144% 1/25/37 (f) 1,642 1,150 
Invitation Homes Trust Series 2015-SFR3 Class E, 4.2321% 8/17/32 (e)(f) 2,593 2,602 
JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 0.7879% 7/25/36 (f) 2,536 1,175 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9601% 12/27/29 (f) 37 37 
Series 2006-A Class 2C, 1.7901% 3/27/42 (f) 2,909 1,436 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.8244% 5/25/37 (f) 297 7 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.2744% 7/25/34 (f) 101 84 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.4994% 7/25/34 (f) 182 172 
Series 2006-FM1 Class A2B, 0.5979% 4/25/37 (f) 40 35 
Series 2006-OPT1 Class A1A, 1.0444% 6/25/35 (f) 1,431 1,378 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.2044% 8/25/34 (f) 63 54 
Series 2005-NC1 Class M1, 1.1844% 1/25/35 (f) 224 201 
Series 2005-NC2 Class B1, 2.2794% 3/25/35 (f) 171 4 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.0344% 9/25/35 (f) 1,566 1,474 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3994% 9/25/34 (f) 585 534 
Class M4, 2.6994% 9/25/34 (f) 750 466 
Series 2005-WCH1 Class M4, 1.7694% 1/25/36 (f) 1,620 1,442 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.3244% 4/25/33 (f) 6 5 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2829% 3/25/35 (f) 703 653 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.6025% 6/15/33 (f) 474 449 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.2494% 9/25/34 (f) 41 36 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.3844% 9/25/34 (f) 32 28 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1901% 4/6/42 (e)(f) 2,120 933 
TOTAL ASSET-BACKED SECURITIES   
(Cost $29,998)  36,435 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.0844% 1/25/35 (f) 914 883 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.7843% 10/25/34 (f) 385 382 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.9609% 8/25/36 (f) 911 820 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6944% 2/25/37 (f) 661 609 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.8144% 7/25/35 (f) 794 767 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.8243% 6/10/35 (e)(f) 307 252 
Class B6, 3.3243% 6/10/35 (e)(f) 65 49 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.8046% 7/20/34 (f) 23 23 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.28% 4/25/33 (f) 45 45 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.7244% 9/25/36 (f) 993 977 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.1644% 9/25/43 (f) 1,776 1,709 
TOTAL PRIVATE SPONSOR  6,516 
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) 11,471 11,445 
Series 2015-H21 Class JA, 2.5% 6/20/65 (j) 12,144 12,282 
TOTAL U.S. GOVERNMENT AGENCY  23,727 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $29,175)  30,243 
Commercial Mortgage Securities - 1.4%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4918% 2/14/43 (f)(k) 196 0 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2006-3 Class A4, 5.889% 7/10/44 (f) 309 308 
Series 2007-2 Class A4, 5.6241% 4/10/49 (f) 20,060 20,219 
Series 2007-3 Class A4, 5.5433% 6/10/49 (f) 1,929 1,956 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 3,640 3,667 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI:   
Class B, 2.1077% 5/15/32 (e)(f) 7,236 7,121 
Class C, 2.5577% 5/15/32 (e)(f) 6,417 6,351 
Class D, 3.4077% 5/15/32 (e)(f) 3,365 3,307 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.7994% 12/25/33 (e)(f) 29 27 
Series 2005-3A:   
Class A2, 0.9244% 11/25/35 (e)(f) 286 245 
Class M1, 0.9644% 11/25/35 (e)(f) 37 32 
Class M2, 1.0144% 11/25/35 (e)(f) 48 38 
Class M3, 1.0344% 11/25/35 (e)(f) 43 33 
Class M4, 1.1244% 11/25/35 (e)(f) 53 40 
Series 2005-4A:   
Class A2, 0.9144% 1/25/36 (e)(f) 739 635 
Class B1, 1.9244% 1/25/36 (e)(f) 32 25 
Class M1, 0.9744% 1/25/36 (e)(f) 238 197 
Class M2, 0.9944% 1/25/36 (e)(f) 71 58 
Class M3, 1.0244% 1/25/36 (e)(f) 104 85 
Class M4, 1.1344% 1/25/36 (e)(f) 58 46 
Class M5, 1.1744% 1/25/36 (e)(f) 58 44 
Class M6, 1.2244% 1/25/36 (e)(f) 61 46 
Series 2006-1:   
Class A2, 0.8844% 4/25/36 (e)(f) 116 99 
Class M1, 0.9044% 4/25/36 (e)(f) 41 34 
Class M2, 0.9244% 4/25/36 (e)(f) 44 36 
Class M3, 0.9444% 4/25/36 (e)(f) 38 30 
Class M4, 1.0444% 4/25/36 (e)(f) 21 17 
Class M5, 1.0844% 4/25/36 (e)(f) 21 16 
Class M6, 1.1644% 4/25/36 (e)(f) 41 32 
Series 2006-2A:   
Class M1, 0.8344% 7/25/36 (e)(f) 99 79 
Class M2, 0.8544% 7/25/36 (e)(f) 70 55 
Class M3, 0.8744% 7/25/36 (e)(f) 58 45 
Class M4, 0.9444% 7/25/36 (e)(f) 39 30 
Class M5, 0.9944% 7/25/36 (e)(f) 48 37 
Series 2006-3A Class M4, 0.9544% 10/25/36 (e)(f) 31 23 
Series 2006-4A:   
Class A2, 0.7944% 12/25/36 (e)(f) 2,192 1,828 
Class M1, 0.8144% 12/25/36 (e)(f) 146 101 
Class M2, 0.8344% 12/25/36 (e)(f) 97 59 
Class M3, 0.8644% 12/25/36 (e)(f) 98 52 
Series 2007-1 Class A2, 0.7944% 3/25/37 (e)(f) 438 370 
Series 2007-2A:   
Class A1, 0.7944% 7/25/37 (e)(f) 469 403 
Class A2, 0.8444% 7/25/37 (e)(f) 440 350 
Class M1, 0.8944% 7/25/37 (e)(f) 154 117 
Class M2, 0.9344% 7/25/37 (e)(f) 85 60 
Class M3, 1.0144% 7/25/37 (e)(f) 66 47 
Series 2007-3:   
Class A2, 0.8144% 7/25/37 (e)(f) 461 366 
Class M1, 0.8344% 7/25/37 (e)(f) 92 70 
Class M2, 0.8644% 7/25/37 (e)(f) 98 71 
Class M3, 0.8944% 7/25/37 (e)(f) 154 104 
Class M4, 1.0244% 7/25/37 (e)(f) 242 162 
Class M5, 1.1244% 7/25/37 (e)(f) 119 59 
Series 2007-4A Class M1, 1.4379% 9/25/37 (e)(f) 78 25 
Series 2004-1, Class IO, 1.25% 4/25/34 (e)(k) 978 37 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(f)(k) 14,031 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer:   
Series 2007-PW16 Class A4, 5.7197% 6/11/40 (f) 563 574 
Series 2007-PW18 Class A4, 5.7% 6/11/50 5,318 5,462 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7579% 5/25/36 (e)(f) 62 61 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.6801% 12/15/27 (e)(f) 2,799 2,768 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7119% 12/10/49 (f) 4,371 4,459 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:   
Series 2006-CD3 Class A5, 5.617% 10/15/48 226 226 
Series 2007-CD4 Class A4, 5.322% 12/11/49 7,171 7,200 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.3577% 4/15/17 (e)(f) 138 138 
Credit Suisse Commercial Mortgage Trust:   
sequential payer Series 2007-C3 Class A4, 5.6994% 6/15/39 (f) 410 415 
Series 2007-C5 Class A4, 5.695% 9/15/40 (f) 869 891 
CSMC Series 2015-TOWN:   
Class B, 2.4077% 3/15/17 (e)(f) 1,574 1,546 
Class C, 2.7577% 3/15/17 (e)(f) 1,534 1,502 
Class D, 3.7077% 3/15/17 (e)(f) 2,321 2,276 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/34 (e)(f) 7,930 8,198 
Class CFX, 3.4949% 12/15/34 (e)(f) 6,656 6,790 
Class DFX, 3.4949% 12/15/34 (e)(f) 5,641 5,677 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 21,243 21,472 
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 25,651 25,797 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 576 575 
Class A4, 5.56% 11/10/39 439 438 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (e) 1,380 1,384 
Class DFX, 4.4065% 11/5/30 (e) 12,899 12,941 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH:   
Class C, 2.1577% 4/15/27 (e)(f) 2,117 2,076 
Class D, 2.7577% 4/15/27 (e)(f) 4,512 4,394 
sequential payer:   
Series 2006-CB17 Class A4, 5.429% 12/12/43 407 407 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 6,973 6,988 
Series 2007-CB18 Class A4, 5.44% 6/12/47 3,373 3,398 
Series 2007-CB19 Class A4, 5.6986% 2/12/49 (f) 4,508 4,578 
Series 2007-LD11 Class A4, 5.7416% 6/15/49 (f) 32,808 33,333 
Series 2007-LDPX Class A3, 5.42% 1/15/49 13,583 13,720 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (f) 11 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9184% 7/15/44 (f) 2,827 2,906 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C1 Class A4, 5.424% 2/15/40 1,696 1,706 
Series 2007-C2 Class A3, 5.43% 2/15/40 1,446 1,460 
Series 2007-C6 Class A4, 5.858% 7/15/40 (f) 1,234 1,254 
Series 2007-C7 Class A3, 5.866% 9/15/45 2,850 2,957 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.4984% 1/12/44 (e)(f) 296 295 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,940 1,999 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2007-5 Class A4, 5.378% 8/12/48 6,257 6,294 
Series 2007-6 Class A4, 5.485% 3/12/51 (f) 10,897 11,027 
Series 2007-7 Class A4, 5.7387% 6/12/50 (f) 4,055 4,132 
Series 2007-8 Class A3, 5.8755% 8/12/49 (f) 1,104 1,131 
Morgan Stanley Capital I Trust:   
floater Series 2006-XLF Class C, 1.708% 7/15/19 (e)(f) 393 392 
sequential payer Series 2007-IQ15 Class A4, 5.9056% 6/11/49 (f) 21,271 21,891 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 10,971 11,102 
Class AAB, 5.654% 4/15/49 210 210 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (e) 162 78 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 37,013 37,315 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 38,092 38,510 
Class A5, 5.5% 4/15/47 5,339 5,443 
Series 2007-C32 Class A3, 5.7021% 6/15/49 (f) 4,600 4,704 
Series 2007-C33:   
Class A4, 5.9484% 2/15/51 (f) 24,729 25,131 
Class A5, 5.9484% 2/15/51 (f) 870 895 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (f) 3,942 3,528 
Class D, 5.513% 12/15/43 (f) 2,102 1,797 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $421,428)  415,135 
Municipal Securities - 1.2%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,255 $1,949 
7.3% 10/1/39 18,960 29,340 
7.5% 4/1/34 8,780 13,552 
7.55% 4/1/39 21,130 34,431 
7.625% 3/1/40 2,920 4,714 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,360 1,375 
Series 2010 C1, 7.781% 1/1/35 13,980 16,089 
Series 2012 B, 5.432% 1/1/42 6,845 6,323 
6.05% 1/1/29 475 492 
6.314% 1/1/44 14,335 14,586 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 38,500 39,236 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,205 3,273 
4.95% 6/1/23 8,975 9,470 
5.1% 6/1/33 85,900 83,751 
Series 2010-1, 6.63% 2/1/35 17,960 19,697 
Series 2010-3:   
5.547% 4/1/19 185 197 
6.725% 4/1/35 10,580 11,621 
7.35% 7/1/35 5,140 5,921 
Series 2010-5, 6.2% 7/1/21 4,120 4,470 
Series 2011:   
5.365% 3/1/17 215 219 
5.665% 3/1/18 9,625 10,114 
5.877% 3/1/19 26,600 28,859 
Series 2013, 4% 12/1/20 7,040 7,295 
TOTAL MUNICIPAL SECURITIES   
(Cost $328,655)  346,974 
Foreign Government and Government Agency Obligations - 0.0%   
Brazilian Federative Republic 4.875% 1/22/21
(Cost $3,151) 		$3,000 $3,188 
Bank Notes - 0.3%   
Capital One NA 1.65% 2/5/18 8,000 8,011 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $10,936 $11,234 
3.1% 6/4/20 11,505 11,836 
8.7% 11/18/19 745 864 
Huntington National Bank 1.3% 11/20/16 4,131 4,133 
Marshall & Ilsley Bank 5% 1/17/17 10,492 10,620 
RBS Citizens NA 2.5% 3/14/19 5,410 5,491 
Regions Bank 7.5% 5/15/18 13,814 15,083 
Wachovia Bank NA 6% 11/15/17 8,083 8,520 
TOTAL BANK NOTES   
(Cost $74,288)  75,792 
 Shares Value (000s) 
Fixed-Income Funds - 10.0%   
Fidelity High Income Central Fund 2 (l) 6,372,306 $706,179 
Fidelity Mortgage Backed Securities Central Fund (l) 19,729,146 2,185,003 
TOTAL FIXED-INCOME FUNDS   
(Cost $2,749,253)  2,891,182 
Money Market Funds - 2.6%   
Fidelity Cash Central Fund, 0.42% (m) 715,640,758 715,641 
Fidelity Securities Lending Cash Central Fund 0.44% (m)(n) 42,734,275 42,734 
TOTAL MONEY MARKET FUNDS   
(Cost $758,375)  758,375 
TOTAL INVESTMENT PORTFOLIO - 99.9%   
(Cost $24,702,645)  28,801,084 
NET OTHER ASSETS (LIABILITIES) - 0.1%  23,709 
NET ASSETS - 100%  $28,824,793 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
2.5% 9/1/31   
(Proceeds $2,583) $(2,500) $(2,582) 

Futures Contracts    
 Expiration Date Underlying Face Amount at Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased    
Equity Index Contracts    
1,834 CME E-mini S&P 500 Index Contracts (United States) Sept. 2016 198,943 $2,382 

The face value of futures purchased as a percentage of Net Assets is 0.7%

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 $(153) $0 $(153) 

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

 (c) Affiliated company

 (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 $2,522,000 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 $542,053,000 or 1.9% 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 was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $8,117,000.

 (h) 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.

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

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

 (n) 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) 
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 $1,920 
Fidelity High Income Central Fund 2 43,768 
Fidelity Mortgage Backed Securities Central Fund 44,263 
Fidelity Securities Lending Cash Central Fund 1,632 
Total $91,583 

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 $-- $-- $706,179 82.8% 
Fidelity Mortgage Backed Securities Central Fund 1,563,842 745,239 150,041 2,185,003 29.9% 
Total $2,263,521 $745,239 $150,041 $2,891,182  

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 $-- $60,803 $879 $1,597 $37,297 
Opower, Inc. 25,294 976 29,750 -- -- 
Sunrun, Inc. -- 33,921 -- -- 32,153 
Total $25,294 $95,700 $30,629 $1,597 $69,450 

Investment Valuation

The following is a summary of the inputs used, as of August 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. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,352,803 $2,352,803 $-- $-- 
Consumer Staples 1,830,849 1,830,849 -- -- 
Energy 1,252,564 1,252,564 -- -- 
Financials 3,088,146 3,080,999 7,147 -- 
Health Care 2,852,805 2,852,805 -- -- 
Industrials 1,654,592 1,654,592 -- -- 
Information Technology 3,508,618 3,486,139 19,957 2,522 
Materials 540,240 540,240 -- -- 
Telecommunication Services 474,166 474,166 -- -- 
Utilities 603,973 603,973 -- -- 
Corporate Bonds 4,122,605 -- 4,122,605 -- 
U.S. Government and Government Agency Obligations 1,685,778 -- 1,685,778 -- 
U.S. Government Agency - Mortgage Securities 276,621 -- 276,621 -- 
Asset-Backed Securities 36,435 -- 31,113 5,322 
Collateralized Mortgage Obligations 30,243 -- 30,243 -- 
Commercial Mortgage Securities 415,135 -- 414,576 559 
Municipal Securities 346,974 -- 346,974 -- 
Foreign Government and Government Agency Obligations 3,188 -- 3,188 -- 
Bank Notes 75,792 -- 75,792 -- 
Fixed-Income Funds 2,891,182 2,891,182 -- -- 
Money Market Funds 758,375 758,375 -- -- 
Total Investments in Securities: $28,801,084 $21,778,687 $7,013,994 $8,403 
Derivative Instruments:     
Assets     
Futures Contracts $2,382 $2,382 $-- $-- 
Total Assets $2,382 $2,382 $-- $-- 
Liabilities     
Swaps $(153) $-- $(153) $-- 
Total Liabilities $(153) $-- $(153) $-- 
Total Derivative Instruments: $2,229 $2,382 $(153) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(2,582) $-- $(2,582) $-- 
Total Other Financial Instruments: $(2,582) $-- $(2,582) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(153) 
Total Credit Risk 0 (153) 
Equity Risk   
Futures Contracts(b) 2,382 0 
Total Equity Risk 2,382 0 
Total Value of Derivatives $2,382 $(153) 

 (a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

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


Other Information

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

U.S. Government and U.S. Government Agency Obligations 15.0% 
AAA,AA,A 4.1% 
BBB 9.6% 
BB 3.9% 
B 1.5% 
CCC,CC,C 0.5% 
D 0.0% 
Not Rated 0.0% 
Equities 63.0% 
Short-Term Investments and Net Other Assets 2.4% 

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

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

United States of America 89.3% 
Ireland 1.9% 
United Kingdom 1.6% 
Netherlands 1.1% 
Others (Individually Less Than 1%) 6.1% 
 100.0% 

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

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

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2016 
Assets   
Investment in securities, at value (including securities loaned of $40,814) — See accompanying schedule:
Unaffiliated issuers (cost $21,101,187) 		$25,082,077  
Fidelity Central Funds (cost $3,507,628) 3,649,557  
Other affiliated issuers (cost $93,830) 69,450  
Total Investments (cost $24,702,645)  $28,801,084 
Receivable for investments sold  61,280 
Receivable for TBA sale commitments  2,583 
Receivable for fund shares sold  20,621 
Dividends receivable  26,077 
Interest receivable  55,906 
Distributions receivable from Fidelity Central Funds  7,882 
Prepaid expenses  93 
Other receivables  2,768 
Total assets  28,978,294 
Liabilities   
Payable to custodian bank $2,788  
Payable for investments purchased   
Regular delivery 68,589  
Delayed delivery 6,222  
TBA sale commitments, at value 2,582  
Payable for fund shares redeemed 16,279  
Bi-lateral OTC swaps, at value 153  
Accrued management fee 9,570  
Payable for daily variation margin for derivative instruments 523  
Other affiliated payables 2,904  
Other payables and accrued expenses 1,157  
Collateral on securities loaned, at value 42,734  
Total liabilities  153,501 
Net Assets  $28,824,793 
Net Assets consist of:   
Paid in capital  $24,570,180 
Undistributed net investment income  100,926 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  53,073 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  4,100,614 
Net Assets  $28,824,793 
Balanced:   
Net Asset Value, offering price and redemption price per share ($20,840,389 ÷ 933,754 shares)  $22.32 
Class K:   
Net Asset Value, offering price and redemption price per share ($7,984,404 ÷ 357,726 shares)  $22.32 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2016 
Investment Income   
Dividends (including $1,597 earned from other affiliated issuers)  $282,309 
Interest  252,563 
Income from Fidelity Central Funds  91,583 
Total income  626,455 
Expenses   
Management fee $110,542  
Transfer agent fees 31,952  
Accounting and security lending fees 2,258  
Custodian fees and expenses 387  
Independent trustees' fees and expenses 123  
Registration fees 277  
Audit 216  
Legal 84  
Miscellaneous 213  
Total expenses before reductions 146,052  
Expense reductions (1,050) 145,002 
Net investment income (loss)  481,453 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 376,521  
Fidelity Central Funds (690)  
Other affiliated issuers (17,598)  
Foreign currency transactions (178)  
Futures contracts (9,948)  
Swaps 49  
Total net realized gain (loss)  348,156 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		1,246,230  
Assets and liabilities in foreign currencies 51  
Futures contracts 9,678  
Swaps (45)  
Delayed delivery commitments 132  
Total change in net unrealized appreciation (depreciation)  1,256,046 
Net gain (loss)  1,604,202 
Net increase (decrease) in net assets resulting from operations  $2,085,655 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2016 Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $481,453 $454,684 
Net realized gain (loss) 348,156 2,113,928 
Change in net unrealized appreciation (depreciation) 1,256,046 (2,351,977) 
Net increase (decrease) in net assets resulting from operations 2,085,655 216,635 
Distributions to shareholders from net investment income (474,574) (425,205) 
Distributions to shareholders from net realized gain (1,577,139) (2,093,189) 
Total distributions (2,051,713) (2,518,394) 
Share transactions - net increase (decrease) 919,667 3,226,641 
Total increase (decrease) in net assets 953,609 924,882 
Net Assets   
Beginning of period 27,871,184 26,946,302 
End of period $28,824,793 $27,871,184 
Other Information   
Undistributed net investment income end of period $100,926 $107,732 

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


Financial Highlights — Fidelity Balanced Fund

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $22.33 $24.40 $21.85 $19.95 $18.17 
Income from Investment Operations      
Net investment income (loss)A .37 .37 .38 .36 .37 
Net realized and unrealized gain (loss) 1.25 (.23) 3.68 1.88 1.76 
Total from investment operations 1.62 .14 4.06 2.24 2.13 
Distributions from net investment income (.36) (.35) (.38) (.34) (.35) 
Distributions from net realized gain (1.27) (1.86) (1.13) – – 
Total distributions (1.63) (2.21) (1.51) (.34) (.35) 
Net asset value, end of period $22.32 $22.33 $24.40 $21.85 $19.95 
Total ReturnB 7.73% .86% 19.46% 11.32% 11.89% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .55% .56% .56% .58% .60% 
Expenses net of fee waivers, if any .55% .55% .56% .58% .60% 
Expenses net of all reductions .55% .55% .56% .57% .59% 
Net investment income (loss) 1.71% 1.59% 1.65% 1.72% 1.98% 
Supplemental Data      
Net assets, end of period (in millions) $20,840 $20,176 $19,574 $16,342 $15,016 
Portfolio turnover rateE 64% 128% 176% 244%F 155% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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


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


Financial Highlights — Fidelity Balanced Fund Class K

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $22.33 $24.40 $21.85 $19.95 $18.17 
Income from Investment Operations      
Net investment income (loss)A .39 .39 .40 .39 .40 
Net realized and unrealized gain (loss) 1.25 (.23) 3.69 1.87 1.76 
Total from investment operations 1.64 .16 4.09 2.26 2.16 
Distributions from net investment income (.38) (.37) (.40) (.36) (.38) 
Distributions from net realized gain (1.27) (1.86) (1.13) – – 
Total distributions (1.65) (2.23) (1.54)B (.36) (.38) 
Net asset value, end of period $22.32 $22.33 $24.40 $21.85 $19.95 
Total ReturnC 7.84% .95% 19.59% 11.45% 12.03% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .46% .46% .46% .47% .48% 
Expenses net of fee waivers, if any .46% .46% .46% .47% .48% 
Expenses net of all reductions .45% .46% .46% .46% .47% 
Net investment income (loss) 1.81% 1.68% 1.75% 1.83% 2.10% 
Supplemental Data      
Net assets, end of period (in millions) $7,984 $7,695 $7,372 $6,330 $5,603 
Portfolio turnover rateF 64% 128% 176% 244%G 155% 

 A Calculated based on average shares outstanding during the period.

 B Total distributions of $1.54 per share is comprised of distributions from net investment income of $.401 and distributions from net realized gain of $1.134 per share.

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

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2016
(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity High Income Central Fund 2 FMR Co., Inc. (FMRC) Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities
 		Less than .005% 
Fidelity Mortgage Backed Securities Central Fund FIMM Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Futures
Swaps 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2016 is included at the end of the Fund's Schedule of Investments.

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

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

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

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

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2016, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

Book-tax differences are primarily due to futures contracts, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation $4,396,958 
Gross unrealized depreciation (485,160) 
Net unrealized appreciation (depreciation) on securities $3,911,798 
Tax Cost $24,889,286 

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

Undistributed ordinary income $87,617 
Undistributed long-term capital gain $256,442 
Net unrealized appreciation (depreciation) on securities and other investments $3,911,563 

The tax character of distributions paid was as follows:

 August 31, 2016 August 31, 2015 
Ordinary Income $668,661 $ 1,045,202 
Long-term Capital Gains 1,383,052 1,473,192 
Total $2,051,713 $ 2,518,394 

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

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

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

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

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

4. Derivative Instruments.

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

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

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

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Equity Risk Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps $49 $(45) 
Equity Risk   
Futures Contracts (9,948) 9,678 
Totals $(9,899) $9,633 

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

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

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

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

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $12,862,371 and $13,787,198, respectively.

6. Fees and Other Transactions with Affiliates.

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

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

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

 Amount % of
Class-Level Average
Net Assets 
Balanced $28,364 .14 
Class K 3,588 .05 
 $31,952  

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $229 for the period.

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

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $2.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $57 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $3,477. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $530. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $1,632 (including $408 from securities loaned to FCM).

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $827 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $22.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $201.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2016 		Year ended August 31, 2015 
From net investment income   
Balanced $338,622 $303,000 
Class K 135,952 122,205 
Total $474,574 $425,205 
From net realized gain   
Balanced $1,142,626 $1,516,480 
Class K 434,513 576,709 
Total $1,577,139 $2,093,189 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2016 		Year ended August 31, 2015 Year ended
August 31, 2016 		Year ended August 31, 2015 
Balanced     
Shares sold 131,640 182,518 $2,809,513 $4,227,779 
Reinvestment of distributions 66,735 78,512 1,414,735 1,742,367 
Shares redeemed (168,273) (159,620) (3,575,866) (3,698,442) 
Net increase (decrease) 30,102 101,410 $648,382 $2,271,704 
Class K     
Shares sold 58,496 82,743 $1,246,436 $1,923,309 
Reinvestment of distributions 26,918 31,486 570,465 698,914 
Shares redeemed (72,307) (71,743) (1,545,616) (1,667,286) 
Net increase (decrease) 13,107 42,486 $271,285 $954,937 

12. Other.

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

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Balanced Fund (a fund of Fidelity Puritan Trust) at August 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Balanced Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 20, 2016

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 170 funds. Mr. Chiel oversees 111 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

James C. Curvey (1935)

Year of Election or Appointment: 2007

Trustee

Chairman of the Board of Trustees

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

Charles S. Morrison (1960)

Year of Election or Appointment: 2014

Trustee

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

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

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

Independent Trustees:

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

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

Dennis J. Dirks (1948)

Year of Election or Appointment: 2005

Trustee

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

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as Chairman (2014-present) and a member (2010-present) of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes) and a Director of Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). He is a Trustee of the California Chapter of The Nature Conservancy (2015-present) and a Director of the Center for Advanced Study in the Behavioral Sciences at Stanford University (2015-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation (retail) and Chief Executive Officer and Chairman of the Board of Sears, Roebuck and Co. (retail, 2000-2005). Previously, Mr. Lacy served as Chairman (2008-2011) and a member (2006-2015) of the Board of Trustees of the National Parks Conservation Association and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2010-2014).

Ned C. Lautenbach (1944)

Year of Election or Appointment: 2000

Trustee

Chairman of the Independent Trustees

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

Joseph Mauriello (1944)

Year of Election or Appointment: 2008

Trustee

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

Robert W. Selander (1950)

Year of Election or Appointment: 2011

Trustee

Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present) and a non-executive Chairman of Health Equity, Inc. (health savings custodian, 2015-present). Previously, Mr. Selander served as a Member of the Advisory Board of certain Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (1944)

Year of Election or Appointment: 2005

Trustee

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

William S. Stavropoulos (1939)

Year of Election or Appointment: 2001

Trustee

Vice Chairman of the Independent Trustees

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

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

Jeffrey S. Christian (1961)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).

William C. Coffey (1969)

Year of Election or Appointment: 2009

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

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

Scott C. Goebel (1968)

Year of Election or Appointment: 2015

Vice President

Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

Brian B. Hogan (1964)

Year of Election or Appointment: 2009

Vice President

Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.  Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan. 

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

John F. Papandrea (1972)

Year of Election or Appointment: 2016

Anti-Money Laundering (AML) Officer

Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).

Melissa M. Reilly (1971)

Year of Election or Appointment: 2014

Vice President of certain Equity Funds

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Stacie M. Smith (1974)

Year of Election or Appointment: 2016

President and Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2016 to August 31, 2016).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2016 		Ending
Account Value
August 31, 2016 		Expenses Paid
During Period-B
March 1, 2016
to August 31, 2016 
Balanced .55%    
Actual  $1,000.00 $1,111.60 $2.92 
Hypothetical-C  $1,000.00 $1,022.37 $2.80 
Class K .46%    
Actual  $1,000.00 $1,112.10 $2.44 
Hypothetical-C  $1,000.00 $1,022.82 $2.34 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Balanced Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:

 Pay Date Record Date Dividends Capital Gains 
Fidelity Balanced Fund     
Balanced 10/17/16 10/14/16 $0.090 $0.201 
Class K 10/17/16 10/14/16 $0.096 $0.201 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $327,473,549, or, if subsequently determined to be different, the net capital gain of such year.

A total of 3.52% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $183,895,776 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Balanced designates 7%, 52%, 68%, and 68%; Class K designates 7%, 50%, 65%, and 65%; of the dividends distributed in October 2015, December 2015, April 2016 and July 2016, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

Balanced designates 8%, 55%, 81%, and 81%; Class K designates 8%, 53%, 76%, and 76%; of the dividends distributed in October 2015, December 2015, April 2016 and July 2016, respectively during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Balanced Fund

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

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

At its July 2016 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

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

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

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

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

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

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) broadening eligibility requirements for certain lower-priced share classes of, and streamlining the fee structure for, certain existing equity index funds; (v) lowering expense caps for certain existing funds and classes to reduce expenses paid by shareholders; (vi) eliminating redemption fees for certain variable insurance product funds and classes; (vii) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (viii) launching a lower cost share class for use by the Freedom Index Fund product line; (ix) rationalizing product lines and gaining increased efficiencies through fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (xi) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (xii) accelerating the conversion of all remaining Class B shares to Class A shares, which have a lower expense structure; and (xiii) implementing changes to Fidelity's money market fund product line in response to recent regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there were portfolio management changes for the fund in February 2015, July 2015, and October 2015.

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

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

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

Fidelity Balanced Fund


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

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

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Broadridge funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Broadridge peer group used by the Board for performance comparisons because the Total Mapped Group combines several Broadridge investment objective categories while the Broadridge peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Balanced Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2015.

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

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

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

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

The Board noted that the total expense ratio of each class ranked below the competitive median for 2015.

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

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

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

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

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

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

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

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

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

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

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins; (vi) the realization of fall-out benefits in and attribution of fall-out benefits to certain Fidelity business units; (vii) the appropriateness of certain funds' benchmarks; (viii) the rationalization for certain share classes and expenses; (ix) sub-advisory fee rates for comparable investment mandates; (x) product strategy for certain underperforming funds; and (xi) Fidelity's resources and strategy for cybersecurity.

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





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

BAL-ANN-1016
1.536127.120

Fidelity® Puritan® Fund

Class K



Annual Report

August 31, 2016



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2016 Past 1 year Past 5 years Past 10 years 
Class K 7.48% 10.34% 6.73% 

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

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Puritan® Fund - Class K on August 31, 2006. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period. See above for additional information regarding the performance of Class K.


Period Ending Values
$19,177Fidelity® Puritan® Fund - Class K
$20,628S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  U.S. equities advanced strongly for the year ending August 31, 2016, overcoming persistent concern about global economic growth, U.S. monetary policy and the U.K.’s late-June vote to leave the European Union (Brexit). The S&P 500® index rose 12.55%, with larger-cap, value-oriented stocks and defensive sectors shining brightest. Volatility peaked in early 2016, as continued oil-price weakness and U.S.-dollar strength pushed the S&P 500® to its worst January since 2009. Markets then rose beginning in February amid U.S. job gains, a broad rally in energy and materials markets, global economic stimulus and perceived softening of monetary policy by the U.S. Federal Reserve. The June 23 Brexit vote resulted in a sharp two-day decline for stocks, followed by a rebound as investor sentiment shifted and remained positive through August 31. For the year, dividend-rich telecommunication services, utilities and consumer staples led the way amid strong investor demand for yield. Conversely, a strong run for real estate stocks couldn’t help financials outpace the broader market. Meanwhile, the Barclays U.S. Aggregate Bond Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, in part as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities.

Comments from Lead Portfolio Manager Ramin Arani:  For the year, the fund’s share classes gained about 7%, trailing the 10.09% gain of the Fidelity Puritan Composite Index. Performance versus the Composite index was hampered most by security selection among equities, whereas asset allocation was a modest contributor. The largest individual detractor was pharmaceutical company Allergan. Shares of the Dublin-based company fell in early April after the firm called off a proposed merger amid new regulations meant to crack down on corporate inversions. Conversely, a non-benchmark stake in Vail Resorts was the biggest relative contributor. The company has done a nice job growing earnings and cash flow through increased visits to its portfolio of ski properties. Turning to fixed income, both sector positioning and security selection contributed to our relative results the past year. Specifically, the decision to overweight investment-grade credit was a significant contributor. Within this group, an overweighting in financials worked to our advantage, especially in the banking and real estate investment trust (REIT) categories. Conversely, out-of-benchmark exposure to Treasury Inflation-Protected Securities, or TIPS, was a modest detractor, as they performed poorly amid subdued inflation and slack demand for inflation protection.

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

Investment Summary (Unaudited)

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

Top Five Stocks as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Alphabet, Inc. Class C 2.9 2.9 
Apple, Inc. 2.1 1.9 
Microsoft Corp. 1.7 1.2 
Facebook, Inc. Class A 1.7 1.5 
Amazon.com, Inc. 1.4 1.1 
 9.8  

Top Five Bond Issuers as of August 31, 2016

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 4.1 3.3 
Fannie Mae 3.7 3.0 
Freddie Mac 1.5 1.7 
Ginnie Mae 1.2 1.2 
Citigroup, Inc. 0.7 0.8 
 11.2  

Top Five Market Sectors as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Information Technology 17.8 15.7 
Financials 17.0 17.7 
Consumer Discretionary 13.7 14.4 
Health Care 12.0 12.5 
Consumer Staples 7.3 6.4 

Asset Allocation (% of fund's net assets)

As of August 31, 2016* 
   Stocks 65.4% 
   Bonds 31.9% 
   Convertible Securities 0.6% 
   Other Investments 1.1% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.0% 


 * Foreign investments - 13.9%


As of February 29, 2016* 
   Stocks 63.0% 
   Bonds 32.0% 
   Convertible Securities 0.7% 
   Other Investments 1.4% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.9% 


 * Foreign investments - 14.1%


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

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

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

Investments August 31, 2016

Showing Percentage of Net Assets

Common Stocks - 65.3%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 11.5%   
Auto Components - 0.0%   
Chassix Holdings, Inc.(a) 18,330 $641 
Delphi Automotive PLC 18,393 1,300 
  1,941 
Automobiles - 0.3%   
Chongqing Changan Automobile Co. Ltd. (B Shares) 6,502,778 9,891 
General Motors Co. 151,398 4,833 
General Motors Co. warrants 7/10/19 (a) 8,394 117 
Tesla Motors, Inc. (a) 319,400 67,716 
  82,557 
Diversified Consumer Services - 0.2%   
ServiceMaster Global Holdings, Inc. (a) 1,138,000 42,459 
Hotels, Restaurants & Leisure - 2.2%   
ARAMARK Holdings Corp. 71,700 2,720 
Dave & Buster's Entertainment, Inc. (a) 544,200 25,278 
Domino's Pizza, Inc. 184,200 27,551 
Extended Stay America, Inc. unit 150,000 2,123 
McDonald's Corp. 1,280,600 148,114 
Red Rock Resorts, Inc. 278,655 5,967 
Starbucks Corp. 3,166,400 178,047 
Vail Resorts, Inc. 1,152,527 182,595 
  572,395 
Household Durables - 0.3%   
Newell Brands, Inc. 1,642,696 87,194 
Internet & Catalog Retail - 2.0%   
Amazon.com, Inc. (a) 484,400 372,581 
Expedia, Inc. 162,600 17,743 
Netflix, Inc. (a) 493,300 48,072 
Priceline Group, Inc. (a) 49,200 69,703 
  508,099 
Leisure Products - 0.2%   
Hasbro, Inc. 574,200 46,935 
Media - 3.3%   
Altice NV Class A (a) 523,244 8,711 
AMC Networks, Inc. Class A (a) 53,800 2,923 
Charter Communications, Inc. Class A (a) 762,964 196,242 
Comcast Corp. Class A 2,335,000 152,382 
Cumulus Media, Inc. Class A (a) 398,000 159 
Lions Gate Entertainment Corp. (b) 2,246,800 47,093 
Live Nation Entertainment, Inc. (a) 1,624,600 43,409 
Publicis Groupe SA 36,972 2,745 
Starz Series A (a) 1,419,200 44,265 
The Walt Disney Co. 1,110,590 104,906 
Time Warner, Inc. 836,400 65,582 
Tribune Media Co. Class A 13,773 524 
Tribune Publishing Co. 3,443 58 
Vertis Holdings, Inc. (a) 1,934 0 
Vice Holding, Inc. 86,301 169,383 
Vivendi SA 390,024 7,554 
  845,936 
Specialty Retail - 1.6%   
Home Depot, Inc. 1,832,700 245,802 
L Brands, Inc. 862,500 65,731 
TJX Companies, Inc. 691,000 53,511 
Ulta Salon, Cosmetics & Fragrance, Inc. (a) 222,900 55,103 
  420,147 
Textiles, Apparel & Luxury Goods - 1.4%   
adidas AG 228,600 37,995 
Brunello Cucinelli SpA 1,407,200 28,066 
Christian Dior SA 202,800 35,063 
Hermes International SCA 81,100 34,249 
lululemon athletica, Inc. (a) 509,500 38,982 
Luxottica Group SpA 81,800 3,949 
Michael Kors Holdings Ltd. (a) 129,061 6,318 
NIKE, Inc. Class B 1,424,300 82,097 
Ralph Lauren Corp. 51,500 5,336 
Ted Baker PLC 302,900 10,354 
Tory Burch LLC:   
Class A(a)(c)(d) 702,741 42,045 
Class B (a)(c)(d) 324,840 20,720 
  345,174 
TOTAL CONSUMER DISCRETIONARY  2,952,837 
CONSUMER STAPLES - 6.3%   
Beverages - 2.7%   
Anheuser-Busch InBev SA NV 120,700 14,975 
Anheuser-Busch InBev SA NV ADR 287,800 35,696 
Brown-Forman Corp. Class B (non-vtg.) 617,200 29,965 
Coca-Cola European Partners PLC 991,600 38,127 
Constellation Brands, Inc. Class A (sub. vtg.) 1,088,100 178,503 
Kweichow Moutai Co. Ltd. 546,469 25,378 
Molson Coors Brewing Co. Class B 1,430,500 146,369 
Monster Beverage Corp. (a) 523,100 80,500 
The Coca-Cola Co. 3,568,600 154,984 
  704,497 
Food & Staples Retailing - 1.0%   
Costco Wholesale Corp. 578,500 93,769 
CVS Health Corp. 1,236,200 115,461 
Ovation Acquisition I LLC (d) 389,576 4 
Wal-Mart Stores, Inc. 567,500 40,542 
  249,776 
Food Products - 0.5%   
Bunge Ltd. 381,600 24,384 
Mead Johnson Nutrition Co. Class A 454,800 38,690 
Premium Brands Holdings Corp. 4,400 209 
The Kraft Heinz Co. 430,200 38,499 
TreeHouse Foods, Inc. (a) 194,400 18,416 
WhiteWave Foods Co. (a) 90,000 4,989 
  125,187 
Household Products - 0.3%   
Kimberly-Clark Corp. 255,800 32,758 
Spectrum Brands Holdings, Inc. (b) 392,900 52,727 
  85,485 
Personal Products - 0.7%   
Coty, Inc. Class A (b) 1,042,000 28,082 
Estee Lauder Companies, Inc. Class A 1,498,400 133,702 
L'Oreal SA 10,600 2,002 
  163,786 
Tobacco - 1.1%   
Altria Group, Inc. 1,575,100 104,098 
Reynolds American, Inc. 3,758,084 186,288 
  290,386 
TOTAL CONSUMER STAPLES  1,619,117 
ENERGY - 3.3%   
Energy Equipment & Services - 0.8%   
Aspen Aerogels, Inc. (a) 377,281 1,852 
Baker Hughes, Inc. 978,300 48,064 
Schlumberger Ltd. 2,149,482 169,809 
  219,725 
Oil, Gas & Consumable Fuels - 2.5%   
Apache Corp. 748,600 37,205 
Chevron Corp. 2,275,400 228,860 
Cimarex Energy Co. 307,400 40,632 
ConocoPhillips Co. 597,100 24,511 
Devon Energy Corp. 2,256,100 97,757 
EQT Corp. 217,900 15,580 
Golar LNG Ltd. 542,100 11,292 
Imperial Oil Ltd. 1,965,800 59,975 
Kinder Morgan, Inc. 409,000 8,937 
Noble Energy, Inc. 724,499 24,981 
Southwestern Energy Co. (a) 4,072 57 
Suncor Energy, Inc. 2,987,300 81,004 
The Williams Companies, Inc. 377,600 10,550 
Warrior Met Coal LLC Class A (d) 414 58 
  641,399 
TOTAL ENERGY  861,124 
FINANCIALS - 8.9%   
Banks - 3.3%   
Bank of America Corp. 11,654,700 188,107 
Citigroup, Inc. 3,425,640 163,540 
First Republic Bank 50,000 3,848 
Hangzhou Hikvision Digital Technology Co. Ltd. ELS (A Shares) (BNP Paribas Arbitrage Warrant Program) warrants 10/21/16 (a)(e) 7,792,950 29,262 
JPMorgan Chase & Co. 1,364,423 92,099 
SunTrust Banks, Inc. 2,158,500 95,125 
TCF Financial Corp. 258,400 3,786 
U.S. Bancorp 3,923,800 173,236 
Wells Fargo & Co. 2,106,540 107,012 
  856,015 
Capital Markets - 0.2%   
E*TRADE Financial Corp. (a) 2,420,800 63,861 
Goldman Sachs Group, Inc. 20,400 3,457 
Motors Liquidation Co. GUC Trust (a) 28,150 282 
  67,600 
Consumer Finance - 0.3%   
Capital One Financial Corp. 1,019,500 72,996 
Diversified Financial Services - 1.9%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 208,564 
Broadcom Ltd. 677,830 119,583 
McGraw Hill Financial, Inc. 328,800 40,620 
Moody's Corp. 482,800 52,476 
Senseonics Holdings, Inc. (b) 3,508,771 14,035 
WME Entertainment Parent, LLC Class A unit (c)(d) 24,342,601 50,000 
  485,278 
Insurance - 1.3%   
Chubb Ltd. 1,750,347 222,172 
MetLife, Inc. 926,300 40,201 
The Travelers Companies, Inc. 571,000 67,783 
  330,156 
Real Estate Investment Trusts - 1.8%   
American Tower Corp. 1,599,700 181,374 
Boston Properties, Inc. 404,200 56,641 
Public Storage 400,800 89,755 
Simon Property Group, Inc. 460,700 99,267 
Store Capital Corp. 1,263,200 37,429 
  464,466 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 961,800 28,748 
TOTAL FINANCIALS  2,305,259 
HEALTH CARE - 10.6%   
Biotechnology - 3.1%   
ACADIA Pharmaceuticals, Inc. (a)(b) 1,662,304 53,410 
Acceleron Pharma, Inc. (a) 130,400 3,913 
Alexion Pharmaceuticals, Inc. (a) 891,100 112,154 
Amgen, Inc. 1,992,000 338,760 
Asterias Biotherapeutics, Inc. warrants 9/30/16 (a) 26,174 5 
Biogen, Inc. (a) 197,800 60,454 
Genmab A/S (a) 118,088 18,867 
Geron Corp. (a)(b) 3,139,900 8,446 
Macrogenics, Inc. (a) 226,200 6,743 
Neurocrine Biosciences, Inc. (a) 579,100 28,063 
Puma Biotechnology, Inc. (a) 290,101 17,159 
Regeneron Pharmaceuticals, Inc. (a) 66,200 25,987 
Spark Therapeutics, Inc. (a) 178,800 10,117 
Vertex Pharmaceuticals, Inc. (a) 1,083,600 102,411 
  786,489 
Health Care Equipment & Supplies - 3.4%   
Boston Scientific Corp. (a) 9,659,000 230,077 
Corindus Vascular Robotics, Inc. (a)(b)(f) 1,315,800 1,539 
Corindus Vascular Robotics, Inc. (a)(d)(f) 5,000,000 5,850 
Danaher Corp. 1,192,200 97,057 
DexCom, Inc. (a) 286,200 26,070 
Intuitive Surgical, Inc. (a) 43,700 29,997 
Medtronic PLC 4,236,286 368,684 
Nevro Corp. (a) 468,000 44,193 
Zimmer Biomet Holdings, Inc. 564,000 73,100 
  876,567 
Health Care Providers & Services - 0.7%   
Cigna Corp. 195,400 25,062 
HCA Holdings, Inc. (a) 91,500 6,913 
HealthSouth Corp. warrants 1/17/17 (a) 1,835 5 
Legend Acquisition, Inc.(a) 2,509 35 
Legend Acquisition, Inc.:   
Class A warrants (a) 17,259 0 
Class B warrants (a) 22,759 0 
UnitedHealth Group, Inc. 1,129,100 153,614 
  185,629 
Life Sciences Tools & Services - 0.0%   
Illumina, Inc. (a) 1,862 313 
Pharmaceuticals - 3.4%   
Allergan PLC (a) 1,127,489 264,441 
Bristol-Myers Squibb Co. 949,100 54,469 
Catalent, Inc. (a) 976,100 24,627 
Eli Lilly & Co. 601,700 46,782 
Endo International PLC (a) 792,100 16,396 
GlaxoSmithKline PLC sponsored ADR 1,160,400 50,431 
Jazz Pharmaceuticals PLC (a) 114,600 14,191 
Johnson & Johnson 2,214,200 264,243 
Pfizer, Inc. 234,400 8,157 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,329,200 66,978 
The Medicines Company (a) 618,500 24,227 
TherapeuticsMD, Inc. (a) 4,922,824 33,869 
  868,811 
TOTAL HEALTH CARE  2,717,809 
INDUSTRIALS - 4.9%   
Aerospace & Defense - 3.0%   
BAE Systems PLC 3,064,300 21,654 
BWX Technologies, Inc. 672,700 26,107 
General Dynamics Corp. 821,100 124,988 
Honeywell International, Inc. 1,004,400 117,224 
Huntington Ingalls Industries, Inc. 371,800 61,410 
Northrop Grumman Corp. 218,000 46,231 
Raytheon Co. 1,045,900 146,562 
Rockwell Collins, Inc. 979,900 82,008 
TransDigm Group, Inc. (a) 132,600 37,816 
United Technologies Corp. 1,032,700 109,910 
  773,910 
Air Freight & Logistics - 0.1%   
FedEx Corp. 179,200 29,555 
Building Products - 0.2%   
Lennox International, Inc. 333,400 53,701 
Masonite International Corp. (a) 10,749 717 
  54,418 
Commercial Services & Supplies - 0.0%   
WP Rocket Holdings, Inc. (a)(d) 5,819,318 349 
Electrical Equipment - 0.2%   
AMETEK, Inc. 369,500 18,013 
Fortive Corp. 596,100 31,397 
  49,410 
Industrial Conglomerates - 0.7%   
General Electric Co. 5,927,800 185,184 
Machinery - 0.3%   
Caterpillar, Inc. 925,300 75,828 
Road & Rail - 0.4%   
CSX Corp. 1,057,900 29,917 
Norfolk Southern Corp. 748,700 70,303 
  100,220 
Trading Companies & Distributors - 0.0%   
United Rentals, Inc. (a) 22,500 1,852 
TOTAL INDUSTRIALS  1,270,726 
INFORMATION TECHNOLOGY - 17.0%   
Communications Equipment - 0.6%   
Cisco Systems, Inc. 4,790,300 150,607 
Electronic Equipment & Components - 0.3%   
Amphenol Corp. Class A 677,600 42,221 
Arrow Electronics, Inc. (a) 88,800 5,846 
CDW Corp. 100,000 4,465 
E Ink Holdings, Inc. GDR (e) 140,100 1,057 
Keysight Technologies, Inc. (a) 637,727 19,406 
  72,995 
Internet Software & Services - 5.2%   
Alibaba Group Holding Ltd. sponsored ADR (a) 1,078,300 104,800 
Alphabet, Inc. Class C (a) 980,183 751,818 
Facebook, Inc. Class A (a) 3,423,660 431,792 
Functionx, Inc. (a)(b) 56,268 16 
GoDaddy, Inc. (a) 87,500 2,833 
Mail.Ru Group Ltd. GDR (a)(e) 77,400 1,300 
Pandora Media, Inc. (a)(b) 23,894 335 
Spotify Technology SA (a)(d) 15,262 27,411 
Yahoo!, Inc. (a) 720,500 30,801 
  1,351,106 
IT Services - 3.6%   
Accenture PLC Class A 1,141,700 131,296 
Cognizant Technology Solutions Corp. Class A (a) 3,059,600 175,743 
Computer Sciences Corp. 561,000 26,389 
Global Payments, Inc. 403,800 30,669 
MasterCard, Inc. Class A 1,733,200 167,479 
PayPal Holdings, Inc. (a) 1,031,200 38,309 
Visa, Inc. Class A 4,503,100 364,301 
  934,186 
Semiconductors & Semiconductor Equipment - 1.1%   
Analog Devices, Inc. 477,600 29,879 
Cypress Semiconductor Corp. 1,614 19 
Lam Research Corp. 251,466 23,467 
Maxim Integrated Products, Inc. 1,727,800 70,356 
NXP Semiconductors NV (a) 744,397 65,522 
Qorvo, Inc. (a) 394,800 22,673 
Skyworks Solutions, Inc. 149,300 11,177 
Texas Instruments, Inc. 816,000 56,745 
  279,838 
Software - 4.1%   
Activision Blizzard, Inc. 2,204,100 91,184 
Adobe Systems, Inc. (a) 1,030,900 105,471 
Autodesk, Inc. (a) 1,149,600 77,483 
Citrix Systems, Inc. (a) 215,400 18,783 
Electronic Arts, Inc. (a) 548,500 44,555 
Microsoft Corp. 7,581,900 435,656 
Mobileye NV (a)(b) 991,840 48,491 
Oracle Corp. 2,053,000 84,625 
Red Hat, Inc. (a) 198,000 14,450 
Salesforce.com, Inc. (a) 1,427,600 113,380 
Workday, Inc. Class A (a) 174,300 14,779 
  1,048,857 
Technology Hardware, Storage & Peripherals - 2.1%   
Apple, Inc. 4,982,600 528,654 
Western Digital Corp. 51,248 2,392 
  531,046 
TOTAL INFORMATION TECHNOLOGY  4,368,635 
MATERIALS - 1.6%   
Chemicals - 1.5%   
CF Industries Holdings, Inc. 275,230 7,156 
E.I. du Pont de Nemours & Co. 2,424,775 168,764 
LyondellBasell Industries NV Class A 42,698 3,368 
Monsanto Co. 795,800 84,753 
Potash Corp. of Saskatchewan, Inc. 551,000 9,983 
Sherwin-Williams Co. 157,000 44,542 
The Chemours Co. LLC 395,195 5,213 
The Dow Chemical Co. 1,047,700 56,199 
  379,978 
Construction Materials - 0.1%   
Eagle Materials, Inc. 199,200 16,010 
Vulcan Materials Co. 200,500 22,831 
  38,841 
Metals & Mining - 0.0%   
AngloGold Ashanti Ltd. sponsored ADR (a) 57,230 921 
TOTAL MATERIALS  419,740 
TELECOMMUNICATION SERVICES - 0.7%   
Diversified Telecommunication Services - 0.7%   
AT&T, Inc. 4,209,576 172,087 
Broadview Networks Holdings, Inc. (a) 123,987 161 
Iliad SA 28,725 5,923 
  178,171 
UTILITIES - 0.5%   
Electric Utilities - 0.4%   
Edison International 705,307 51,290 
NextEra Energy, Inc. 302,600 36,596 
PPL Corp. 410,800 14,288 
  102,174 
Independent Power and Renewable Electricity Producers - 0.0%   
NRG Yield, Inc. Class C 120,600 2,031 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 19,294 
TOTAL UTILITIES  123,499 
TOTAL COMMON STOCKS   
(Cost $12,660,658)  16,816,917 
Preferred Stocks - 0.7%   
Convertible Preferred Stocks - 0.6%   
CONSUMER DISCRETIONARY - 0.2%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(d) 1,082,251 2,002 
Roku, Inc. Series F, 8.00% (a)(d) 5,520,836 9,882 
  11,884 
Internet & Catalog Retail - 0.0%   
The Honest Co., Inc. Series D (d) 196,700 7,305 
Specialty Retail - 0.1%   
Moda Operandi, Inc. Series E (a)(d) 508,444 20,577 
TOTAL CONSUMER DISCRETIONARY  39,766 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 27,400 882 
HEALTH CARE - 0.1%   
Health Care Providers & Services - 0.1%   
Mulberry Health, Inc. Series A8 (d) 2,960,879 21,451 
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 12,300 10,242 
Teva Pharmaceutical Industries Ltd. 7% 5,570 4,751 
  14,993 
TOTAL HEALTH CARE  36,444 
INFORMATION TECHNOLOGY - 0.3%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00% (a)(d) 1,611,548 78,599 
Software - 0.0%   
Deem, Inc. (a)(d) 2,497,881 250 
TOTAL INFORMATION TECHNOLOGY  78,849 
UTILITIES - 0.0%   
Independent Power and Renewable Electricity Producers - 0.0%   
Dynegy, Inc. 7.00% (a) 42,400 3,642 
TOTAL CONVERTIBLE PREFERRED STOCKS  159,583 
Nonconvertible Preferred Stocks - 0.1%   
CONSUMER DISCRETIONARY - 0.0%   
Textiles, Apparel & Luxury Goods - 0.0%   
C. Wonder LLC Class A-1 (a)(c)(d) 619,047 0 
FINANCIALS - 0.1%   
Capital Markets - 0.1%   
GMAC Capital Trust I Series 2, 8.125% 294,279 7,433 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  7,433 
TOTAL PREFERRED STOCKS   
(Cost $141,438)  167,016 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 18.3%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 326 
3.5% 1/15/31 (e) 4,584 2,409 
  2,735 
Nonconvertible Bonds - 18.3%   
CONSUMER DISCRETIONARY - 1.8%   
Auto Components - 0.0%   
Gates Global LLC/Gates Global Co. 6% 7/15/22 (e) 1,260 1,197 
Schaeffler Holding Finance BV:   
6.25% 11/15/19 pay-in-kind (e)(g) 1,405 1,458 
6.75% 11/15/22 pay-in-kind (e)(g) 391 434 
6.875% 8/15/18 pay-in-kind (e)(g) 628 644 
  3,733 
Automobiles - 0.4%   
Ford Motor Co. 4.75% 1/15/43 10,000 10,817 
General Motors Co.:   
3.5% 10/2/18 4,530 4,661 
5.2% 4/1/45 2,729 2,905 
6.25% 10/2/43 763 914 
6.6% 4/1/36 3,372 4,158 
6.75% 4/1/46 5,655 7,257 
General Motors Financial Co., Inc.:   
2.625% 7/10/17 1,445 1,459 
3.15% 1/15/20 12,000 12,252 
3.25% 5/15/18 3,070 3,129 
3.5% 7/10/19 17,868 18,414 
4% 1/15/25 6,368 6,483 
4.25% 5/15/23 3,285 3,439 
4.375% 9/25/21 11,267 12,017 
4.75% 8/15/17 2,505 2,581 
Volkswagen International Finance NV 2.375% 3/22/17 (e) 1,515 1,522 
  92,008 
Distributors - 0.0%   
American Tire Distributors, Inc. 10.25% 3/1/22 (e) 2,265 2,009 
LKQ Corp. 4.75% 5/15/23 265 268 
  2,277 
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 12,026 
Service Corp. International 5.375% 1/15/22 505 528 
  13,125 
Hotels, Restaurants & Leisure - 0.2%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc. 4.625% 1/15/22 (e) 1,175 1,216 
24 Hour Holdings III LLC 8% 6/1/22 (e) 510 417 
Aramark Services, Inc.:   
5.125% 1/15/24 1,625 1,685 
5.125% 1/15/24 (e) 4,620 4,790 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 4,332 
Chukchansi Economic Development Authority 9.75% 5/30/20 (e)(h) 2,861 1,573 
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26 735 803 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (e) 5,680 5,936 
KFC Holding Co./Pizza Hut Holding LLC:   
5% 6/1/24 (e) 5,275 5,532 
5.25% 6/1/26 (e) 4,105 4,362 
Landry's Acquisition Co. 9.375% 5/1/20 (e) 875 921 
Landry's Holdings II, Inc. 10.25% 1/1/18 (e) 900 916 
McDonald's Corp.:   
3.7% 1/30/26 3,379 3,652 
4.7% 12/9/35 1,744 2,001 
4.875% 12/9/45 2,737 3,238 
MGM Mirage, Inc. 6% 3/15/23 1,630 1,770 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (e) 865 878 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 4,650 4,795 
Playa Resorts Holding BV 8% 8/15/20 (e) 90 92 
Scientific Games Corp. 10% 12/1/22 6,840 6,327 
Studio City Finance Ltd. 8.5% 12/1/20 (e) 1,000 1,014 
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/2015 (e)(h) 534 0 
Wynn Macau Ltd. 5.25% 10/15/21 (e) 605 613 
  56,863 
Household Durables - 0.1%   
Beazer Homes U.S.A., Inc. 7.25% 2/1/23 775 732 
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (e) 785 789 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (e) 620 637 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.125% 7/15/23 (e) 925 960 
5.75% 10/15/20 4,574 4,717 
7% 7/15/24 (e) 1,160 1,243 
8.25% 2/15/21 (g) 1,485 1,544 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (e) 1,395 1,458 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 478 
7% 8/15/22 2,585 2,669 
8.5% 11/15/20 1,310 1,379 
Woodside Homes Co. LLC/Woodside Homes Finance, Inc. 6.75% 12/15/21 (e) 1,350 1,259 
  17,865 
Internet & Catalog Retail - 0.0%   
Netflix, Inc. 5.5% 2/15/22 5,000 5,375 
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 2,475 2,574 
  7,949 
Media - 1.0%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 4,745 6,156 
7.75% 12/1/45 8,012 12,176 
Altice SA:   
7.625% 2/15/25 (e) 4,905 5,040 
7.75% 5/15/22 (e) 10,065 10,713 
Altice U.S. Finance SA:   
5.375% 7/15/23 (e) 2,375 2,485 
7.75% 7/15/25 (e) 3,160 3,452 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,404 
Anna Merger Sub, Inc. 7.75% 10/1/22 (e) 1,810 1,672 
AOL Time Warner, Inc. 2.95% 7/15/26 17,000 17,340 
Cable One, Inc. 5.75% 6/15/22 (e) 895 942 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 288 
5.625% 2/15/24 670 713 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,659 
5.25% 3/15/21 3,375 3,519 
5.5% 5/1/26 (e) 1,035 1,096 
5.75% 9/1/23 945 997 
5.75% 1/15/24 4,235 4,505 
5.75% 2/15/26 (e) 5,010 5,361 
5.875% 5/1/27 (e) 3,385 3,622 
Cengage Learning, Inc. 9.5% 6/15/24 (e) 3,725 3,809 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e) 325 336 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (e) 3,345 3,383 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (e) 7,702 8,350 
4.908% 7/23/25 (e) 5,177 5,708 
6.484% 10/23/45 (e) 1,299 1,596 
Cinemark U.S.A., Inc.:   
4.875% 6/1/23 1,275 1,307 
5.125% 12/15/22 355 367 
Clear Channel Communications, Inc. 5.5% 12/15/16 4,965 4,866 
Clear Channel International BV 8.75% 12/15/20 (e) 2,420 2,565 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 763 
7.625% 3/15/20 585 562 
Series B, 6.5% 11/15/22 1,455 1,524 
7.625% 3/15/20 4,105 4,136 
Columbus International, Inc. 7.375% 3/30/21 (e) 7,655 8,191 
Discovery Communications LLC 5.05% 6/1/20 168 185 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,575 
5.875% 7/15/22 2,655 2,708 
6.75% 6/1/21 3,515 3,776 
Gray Television, Inc. 5.875% 7/15/26 (e) 985 1,027 
Lamar Media Corp.:   
5.375% 1/15/24 630 671 
5.875% 2/1/22 525 551 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (e) 3,965 4,243 
MDC Partners, Inc. 6.5% 5/1/24 (e) 2,350 2,233 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (e)(g) 15,108 15,297 
National CineMedia LLC:   
6% 4/15/22 2,600 2,717 
7.875% 7/15/21 1,380 1,435 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (e)(g) 2,265 1,018 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (e) 685 704 
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (e) 2,775 2,959 
Regal Entertainment Group 5.75% 3/15/22 1,230 1,287 
Sirius XM Radio, Inc.:   
5.375% 4/15/25 (e) 1,490 1,561 
5.75% 8/1/21 (e) 2,580 2,696 
Starz LLC/Starz Finance Corp. 5% 9/15/19 5,000 5,075 
Thomson Reuters Corp.:   
1.3% 2/23/17 1,794 1,797 
3.85% 9/29/24 4,335 4,643 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 10,290 
4.5% 9/15/42 2,819 2,727 
5.5% 9/1/41 2,304 2,500 
5.85% 5/1/17 1,621 1,668 
6.55% 5/1/37 10,296 12,424 
6.75% 7/1/18 1,581 1,723 
7.3% 7/1/38 3,823 4,965 
8.25% 4/1/19 10,176 11,760 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,599 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (e) 1,340 1,410 
Viacom, Inc.:   
2.5% 9/1/18 714 722 
3.5% 4/1/17 219 222 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (e) 1,060 1,106 
WideOpenWest Finance LLC/WideOpenWest Capital Corp.:   
10.25% 7/15/19 4,820 5,073 
13.375% 10/15/19 1,009 1,077 
Ziggo Bond Finance BV 5.875% 1/15/25 (e) 1,120 1,126 
  260,153 
Multiline Retail - 0.0%   
JC Penney Corp., Inc.:   
5.65% 6/1/20 1,357 1,350 
5.75% 2/15/18 400 415 
7.4% 4/1/37 440 396 
8.125% 10/1/19 2,160 2,325 
  4,486 
Specialty Retail - 0.0%   
L Brands, Inc. 6.875% 11/1/35 1,800 1,967 
Sally Holdings LLC 5.625% 12/1/25 1,575 1,706 
Sonic Automotive, Inc.:   
5% 5/15/23 195 194 
7% 7/15/22 885 936 
  4,803 
TOTAL CONSUMER DISCRETIONARY  463,262 
CONSUMER STAPLES - 1.0%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 14,051 14,480 
3.3% 2/1/23 15,133 15,879 
4.7% 2/1/36 14,328 16,607 
4.9% 2/1/46 16,386 19,815 
SABMiller Holdings, Inc. 2.45% 1/15/17 (e) 1,947 1,956 
  68,737 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
5.75% 3/15/25 (e) 3,775 3,907 
6.625% 6/15/24 (e) 2,555 2,743 
C&S Group Enterprises LLC 5.375% 7/15/22 (e) 3,435 3,349 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,622 
3.875% 7/20/25 5,311 5,850 
ESAL GmbH 6.25% 2/5/23 (e) 8,595 8,681 
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (e) 775 801 
Minerva Luxembourg SA 7.75% 1/31/23 (e) 6,275 6,599 
Performance Food Group, Inc. 5.5% 6/1/24 (e) 1,050 1,089 
Rite Aid Corp.:   
6.75% 6/15/21 1,995 2,102 
6.875% 12/15/28 (e)(g) 3,505 4,294 
7.7% 2/15/27 3,085 3,918 
9.25% 3/15/20 1,330 1,403 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (e) 2,955 2,652 
U.S. Foods, Inc. 5.875% 6/15/24 (e) 2,005 2,100 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,161 3,262 
3.3% 11/18/21 3,750 3,961 
  60,333 
Food Products - 0.2%   
Cargill, Inc. 6% 11/27/17 (e) 417 441 
ConAgra Foods, Inc. 1.9% 1/25/18 2,064 2,078 
Darling International, Inc. 5.375% 1/15/22 745 782 
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (e) 2,877 2,972 
JBS Investments GmbH:   
7.25% 4/3/24 (e) 6,300 6,669 
7.75% 10/28/20 (e) 2,850 3,028 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (e) 6,075 6,166 
5.875% 7/15/24 (e) 1,370 1,415 
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 5.875% 1/15/24 (e) 880 948 
Post Holdings, Inc.:   
6.75% 12/1/21 (e) 1,485 1,595 
7.75% 3/15/24 (e) 6,115 6,795 
8% 7/15/25 (e) 555 634 
TreeHouse Foods, Inc. 6% 2/15/24 (e) 1,065 1,158 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (e) 3,217 3,219 
2% 10/20/17 (e) 4,607 4,647 
  42,547 
Household Products - 0.0%   
Edgewell Personal Care Co. 5.5% 6/15/25 (e) 5,285 5,510 
Spectrum Brands Holdings, Inc.:   
5.75% 7/15/25 1,435 1,555 
6.375% 11/15/20 350 364 
6.625% 11/15/22 415 444 
  7,873 
Personal Products - 0.0%   
Revlon Consumer Products Corp. 5.75% 2/15/21 5,085 5,199 
Tobacco - 0.3%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 5,140 
4% 1/31/24 3,123 3,505 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (e) 6,420 6,810 
4.25% 7/21/25 (e) 6,420 7,027 
Reynolds American, Inc.:   
2.3% 6/12/18 2,235 2,270 
3.25% 6/12/20 1,273 1,340 
4% 6/12/22 4,375 4,790 
4.45% 6/12/25 3,173 3,561 
4.85% 9/15/23 7,000 8,032 
5.7% 8/15/35 1,646 2,045 
5.85% 8/15/45 12,632 16,474 
7.25% 6/15/37 6,101 8,420 
Vector Group Ltd. 7.75% 2/15/21 1,285 1,359 
  70,773 
TOTAL CONSUMER STAPLES  255,462 
ENERGY - 2.6%   
Energy Equipment & Services - 0.2%   
DCP Midstream LLC:   
4.75% 9/30/21 (e) 5,634 5,549 
5.35% 3/15/20 (e) 5,174 5,252 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 5,755 6,252 
6.5% 4/1/20 2,937 3,282 
Ensco PLC:   
4.5% 10/1/24 1,690 1,203 
5.2% 3/15/25 75 54 
Gulfmark Offshore, Inc. 6.375% 3/15/22 1,485 624 
Halliburton Co.:   
3.8% 11/15/25 3,469 3,585 
4.85% 11/15/35 3,029 3,235 
5% 11/15/45 4,151 4,569 
Hornbeck Offshore Services, Inc.:   
5% 3/1/21 25 14 
5.875% 4/1/20 2,439 1,488 
Noble Holding International Ltd.:   
3.95% 3/15/22 230 175 
4.625% 3/1/21 765 641 
5% 3/16/18 (g) 470 462 
6.95% 4/1/25 (g) 3,485 2,840 
Pacific Drilling V Ltd. 7.25% 12/1/17 (e) 2,355 918 
Pride International, Inc. 7.875% 8/15/40 2,554 1,890 
Summit Midstream Holdings LLC 7.5% 7/1/21 500 508 
Transocean, Inc. 5.55% 12/15/16 (g) 3,719 3,747 
Weatherford International Ltd.:   
4.5% 4/15/22 1,865 1,548 
7.75% 6/15/21 2,420 2,396 
8.25% 6/15/23 2,940 2,890 
  53,122 
Oil, Gas & Consumable Fuels - 2.4%   
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 1,680 1,704 
Alpha Natural Resources, Inc. 9.75% 4/15/18 (h) 1,099 5 
Anadarko Finance Co. 7.5% 5/1/31 1,622 1,966 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 8,942 9,513 
5.55% 3/15/26 4,888 5,407 
6.375% 9/15/17 2,738 2,864 
6.6% 3/15/46 6,640 7,904 
Antero Resources Corp.:   
5.125% 12/1/22 7,435 7,342 
5.625% 6/1/23 (Reg. S) 1,835 1,840 
Antero Resources Finance Corp.:   
5.375% 11/1/21 1,790 1,792 
6% 12/1/20 760 778 
Blue Racer Mistream LLC/Blue Racer Finance Corp. 6.125% 11/15/22 (e) 5,000 4,813 
BP Capital Markets PLC:   
4.5% 10/1/20 1,106 1,221 
4.742% 3/11/21 4,210 4,761 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,250 2,241 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 910 899 
Cenovus Energy, Inc. 5.7% 10/15/19 5,158 5,540 
Chesapeake Energy Corp.:   
3.9301% 4/15/19 (g) 2,150 1,946 
4.875% 4/15/22 5,325 4,074 
5.75% 3/15/23 1,800 1,380 
8% 12/15/22 (e) 6,740 6,420 
Citgo Holding, Inc. 10.75% 2/15/20 (e) 2,315 2,371 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,213 1,219 
3.3% 6/1/20 5,938 6,145 
4.5% 6/1/25 1,813 1,961 
Concho Resources, Inc.:   
5.5% 10/1/22 1,090 1,128 
5.5% 4/1/23 750 774 
CONSOL Energy, Inc. 8% 4/1/23 5,000 4,875 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 1,150 1,121 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 6,640 5,796 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,667 
2.7% 4/1/19 4,139 4,010 
3.875% 3/15/23 2,327 2,211 
4.95% 4/1/22 1,048 1,056 
5.6% 4/1/44 1,686 1,543 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 2,983 
Diamondback Energy, Inc. 7.625% 10/1/21 935 992 
Duke Energy Field Services 6.45% 11/3/36 (e) 3,753 3,631 
El Paso Natural Gas Co. 5.95% 4/15/17 1,260 1,292 
Empresa Nacional de Petroleo 4.375% 10/30/24 (e) 4,545 4,860 
Enable Midstream Partners LP:   
2.4% 5/15/19 1,656 1,618 
3.9% 5/15/24 1,746 1,643 
Enbridge Energy Partners LP:   
4.2% 9/15/21 6,629 6,841 
4.375% 10/15/20 4,351 4,534 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
6.375% 6/15/23 775 424 
7.75% 9/1/22 1,310 717 
9.375% 5/1/20 7,305 4,712 
Gibson Energy, Inc. 6.75% 7/15/21 (e) 160 162 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 305 275 
7% 6/15/23 1,420 1,292 
Halcon Resources Corp. 8.625% 2/1/20 (e) 565 537 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (e) 1,265 1,227 
5.75% 10/1/25 (e) 6,625 6,493 
7.625% 4/15/21 (e) 4,201 4,317 
Jupiter Resources, Inc. 8.5% 10/1/22 (e) 2,785 2,200 
Kinder Morgan Energy Partners LP:   
2.65% 2/1/19 599 606 
3.45% 2/15/23 7,202 7,130 
3.5% 3/1/21 2,994 3,093 
6.55% 9/15/40 674 732 
Kinder Morgan, Inc.:   
3.05% 12/1/19 1,752 1,799 
5% 2/15/21 (e) 3,749 4,059 
Laredo Petroleum, Inc. 5.625% 1/15/22 1,600 1,496 
LINN Energy LLC/LINN Energy Finance Corp.:   
6.5% 5/15/19 (h) 3,390 729 
6.5% 9/15/21 (h) 720 155 
7.75% 2/1/21 (h) 20 4 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,535 
Motiva Enterprises LLC 5.75% 1/15/20 (e) 3,614 3,976 
MPLX LP 4% 2/15/25 962 940 
Murphy Oil Corp. 6.875% 8/15/24 550 573 
Nakilat, Inc. 6.067% 12/31/33 (e) 1,839 2,221 
Nexen, Inc. 6.2% 7/30/19 1,865 2,085 
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 3,975 4,045 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 553 
Parsley Energy LLC/Parsley 6.25% 6/1/24 (e) 4,225 4,362 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 (e) 2,850 2,709 
Peabody Energy Corp.:   
6.25% 11/15/21 (h) 2,010 432 
10% 3/15/22 (e)(h) 1,380 442 
Pemex Project Funding Master Trust 5.75% 3/1/18 21,220 22,302 
Petrobras Global Finance BV:   
4.375% 5/20/23 3,648 3,181 
4.875% 3/17/20 20,511 20,101 
5.625% 5/20/43 11,155 8,603 
7.25% 3/17/44 28,868 26,559 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 10,725 10,336 
5.75% 1/20/20 16,310 16,495 
7.875% 3/15/19 1,593 1,700 
Petroleos Mexicanos:   
3.5% 7/18/18 7,105 7,266 
3.5% 7/23/20 7,125 7,214 
3.5% 1/30/23 4,530 4,402 
4.5% 1/23/26 6,398 6,408 
4.875% 1/24/22 2,315 2,411 
4.875% 1/18/24 5,974 6,198 
5.5% 1/21/21 12,842 13,857 
5.5% 6/27/44 22,702 21,567 
5.625% 1/23/46 6,203 5,993 
6% 3/5/20 4,075 4,459 
6.375% 1/23/45 13,324 14,032 
6.5% 6/2/41 7,783 8,251 
6.875% 8/4/26 (e) 12,000 13,950 
8% 5/3/19 3,283 3,715 
Phillips 66 Co.:   
2.95% 5/1/17 1,527 1,545 
4.3% 4/1/22 5,338 5,880 
Phillips 66 Partners LP 2.646% 2/15/20 527 530 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,880 1,911 
Plains Exploration & Production Co.:   
6.5% 11/15/20 395 396 
6.625% 5/1/21 395 390 
6.75% 2/1/22 3,225 3,225 
6.875% 2/15/23 6,818 6,631 
Range Resources Corp. 4.875% 5/15/25 1,040 1,004 
Rice Energy, Inc.:   
6.25% 5/1/22 4,290 4,397 
7.25% 5/1/23 1,030 1,076 
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 7/15/22 635 584 
Sabine Pass Liquefaction LLC:   
5.625% 4/15/23 2,585 2,721 
5.625% 3/1/25 6,075 6,424 
5.75% 5/15/24 8,830 9,382 
5.875% 6/30/26 (e) 3,780 4,045 
SemGroup Corp. 7.5% 6/15/21 2,610 2,623 
Shell International Finance BV 4.375% 5/11/45 6,392 7,037 
SM Energy Co.:   
5% 1/15/24 1,585 1,448 
5.625% 6/1/25 1,670 1,561 
6.125% 11/15/22 3,170 3,083 
6.5% 11/15/21 490 485 
6.5% 1/1/23 80 78 
Southeast Supply Header LLC 4.25% 6/15/24 (e) 4,893 4,936 
Southwestern Energy Co.:   
5.8% 1/23/20 (g) 4,519 4,519 
6.7% 1/23/25 (g) 3,470 3,565 
Spectra Energy Capital, LLC 5.65% 3/1/20 944 1,020 
Spectra Energy Partners LP 4.6% 6/15/21 1,296 1,399 
Suncor Energy, Inc. 6.1% 6/1/18 7,771 8,346 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 (e) 6,670 6,771 
6.25% 4/15/21 (e) 2,710 2,791 
6.375% 4/1/23 (e) 965 994 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
6.375% 8/1/22 570 589 
6.75% 3/15/24 (e) 7,000 7,438 
Teekay Corp.:   
8.5% 1/15/20 120 102 
8.5% 1/15/20 (e) 1,730 1,445 
Teine Energy Ltd. 6.875% 9/30/22 (e) 5,104 5,117 
Tesoro Logistics LP/Tesoro Logistics Finance Corp.:   
5.5% 10/15/19 990 1,054 
5.875% 10/1/20 235 241 
6.125% 10/15/21 700 733 
6.25% 10/15/22 2,750 2,911 
6.375% 5/1/24 1,185 1,265 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 4,023 
4.55% 6/24/24 19,902 20,350 
Western Gas Partners LP:   
4.65% 7/1/26 1,642 1,703 
5.375% 6/1/21 10,596 11,508 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 600 
Western Refining, Inc. 6.25% 4/1/21 550 535 
Williams Partners LP:   
3.6% 3/15/22 5,146 5,137 
3.9% 1/15/25 1,767 1,757 
4% 11/15/21 2,349 2,416 
4.3% 3/4/24 4,038 4,134 
4.5% 11/15/23 2,564 2,660 
WPX Energy, Inc.:   
5.25% 9/15/24 170 157 
6% 1/15/22 1,685 1,639 
7.5% 8/1/20 1,140 1,171 
8.25% 8/1/23 1,715 1,784 
  617,979 
TOTAL ENERGY  671,101 
FINANCIALS - 7.6%   
Banks - 2.9%   
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (e) 5,555 5,541 
4% 4/14/19 (e) 21,750 22,037 
5.5% 7/12/20 (e) 16,673 17,689 
5.75% 9/26/23 (e) 5,082 5,425 
6.369% 6/16/18 (e) 10,462 10,946 
6.5% 6/10/19 (e) 1,763 1,897 
Bank of America Corp.:   
1.35% 11/21/16 4,652 4,654 
2.6% 1/15/19 66,110 67,570 
2.65% 4/1/19 28,149 28,806 
3.5% 4/19/26 6,316 6,592 
3.875% 8/1/25 4,168 4,464 
3.95% 4/21/25 9,148 9,521 
4% 1/22/25 2,059 2,144 
4.2% 8/26/24 9,221 9,781 
4.25% 10/22/26 5,465 5,796 
4.45% 3/3/26 1,058 1,138 
5.75% 12/1/17 6,075 6,387 
Barclays PLC:   
2.75% 11/8/19 4,598 4,635 
4.375% 1/12/26 8,817 9,205 
BB&T Corp. 3.95% 3/22/22 1,495 1,606 
Capital One NA 2.95% 7/23/21 7,402 7,644 
CIT Group, Inc.:   
5% 8/15/22 4,195 4,447 
5% 8/1/23 2,755 2,920 
5.25% 3/15/18 3,215 3,352 
5.375% 5/15/20 2,805 2,998 
5.5% 2/15/19 (e) 5,285 5,595 
Citigroup, Inc.:   
1.3% 11/15/16 5,354 5,355 
1.75% 5/1/18 18,342 18,366 
1.85% 11/24/17 30,961 31,094 
2.4% 2/18/20 10,000 10,131 
2.5% 7/29/19 32,442 33,099 
2.55% 4/8/19 14,645 14,938 
4.05% 7/30/22 14,700 15,635 
4.3% 11/20/26 12,000 12,602 
Citizens Bank NA 2.55% 5/13/21 2,268 2,308 
Citizens Financial Group, Inc. 4.15% 9/28/22 (e) 6,650 6,874 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 6,421 6,438 
3.75% 3/26/25 6,420 6,430 
3.8% 9/15/22 9,940 10,142 
3.8% 6/9/23 (e) 12,454 12,634 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,316 
Discover Bank 7% 4/15/20 3,075 3,490 
Fifth Third Bancorp:   
3.5% 3/15/22 529 558 
4.5% 6/1/18 418 438 
5.45% 1/15/17 1,848 1,876 
HBOS PLC 6.75% 5/21/18 (e) 408 436 
HSBC Holdings PLC 4.25% 3/14/24 2,900 3,019 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 2,983 
Huntington National Bank:   
2% 6/30/18 13,000 13,087 
2.2% 4/1/19 2,700 2,728 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (e) 4,062 3,832 
5.71% 1/15/26 (e) 9,946 9,743 
JPMorgan Chase & Co.:   
2.95% 10/1/26 10,977 11,045 
3.875% 9/10/24 12,321 13,005 
4.125% 12/15/26 67,488 72,326 
KeyCorp. 5.1% 3/24/21 519 586 
Rabobank Nederland 4.375% 8/4/25 9,821 10,392 
Regions Bank 6.45% 6/26/37 10,147 12,363 
Regions Financial Corp. 3.2% 2/8/21 4,117 4,268 
Royal Bank of Canada 4.65% 1/27/26 7,579 8,336 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 49,264 49,843 
6% 12/19/23 13,834 14,633 
6.1% 6/10/23 7,367 7,823 
6.125% 12/15/22 35,362 37,767 
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17 5,250 5,253 
SunTrust Banks, Inc.:   
2.35% 11/1/18 2,500 2,541 
3.5% 1/20/17 4,123 4,151 
Wells Fargo & Co.:   
4.1% 6/3/26 13,000 14,112 
4.48% 1/16/24 5,192 5,750 
  756,536 
Capital Markets - 1.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,219 7,205 
4.25% 2/15/24 2,760 2,908 
Argos Merger Sub, Inc. 7.125% 3/15/23 (e) 8,000 8,410 
Credit Suisse AG 6% 2/15/18 12,547 13,209 
Deutsche Bank AG 4.5% 4/1/25 14,192 13,401 
Deutsche Bank AG London Branch 2.85% 5/10/19 13,520 13,564 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 16,038 
2.375% 1/22/18 10,000 10,128 
2.55% 10/23/19 70,000 71,554 
2.6% 4/23/20 1,300 1,326 
2.625% 1/31/19 25,103 25,746 
3.75% 2/25/26 15,000 15,878 
5.95% 1/18/18 4,242 4,495 
6.15% 4/1/18 3,466 3,711 
Lazard Group LLC:   
4.25% 11/14/20 4,447 4,713 
6.85% 6/15/17 1,063 1,104 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 4,204 4,405 
Morgan Stanley:   
1.875% 1/5/18 13,596 13,664 
2.125% 4/25/18 16,388 16,552 
2.5% 1/24/19 97,536 99,091 
4.875% 11/1/22 7,232 8,016 
5.625% 9/23/19 453 504 
5.95% 12/28/17 250 265 
Peachtree Corners Funding Trust 3.976% 2/15/25 (e) 7,000 7,058 
UBS AG Stamford Branch:   
1.8% 3/26/18 9,485 9,538 
2.375% 8/14/19 10,750 10,969 
UBS Group Funding Ltd. 4.125% 9/24/25 (e) 7,279 7,663 
  391,115 
Consumer Finance - 1.2%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
2.75% 5/15/17 7,625 7,678 
3.75% 5/15/19 2,125 2,186 
3.95% 2/1/22 5,000 5,188 
4.5% 5/15/21 2,325 2,453 
5% 10/1/21 6,860 7,392 
Ally Financial, Inc.:   
3.5% 1/27/19 2,025 2,055 
3.75% 11/18/19 2,000 2,045 
4.25% 4/15/21 10,920 11,248 
4.625% 5/19/22 1,365 1,433 
4.75% 9/10/18 2,295 2,384 
5.75% 11/20/25 8,715 9,271 
6.25% 12/1/17 1,800 1,888 
8% 12/31/18 19,035 21,153 
8% 11/1/31 22,391 28,045 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,561 
Discover Financial Services:   
3.85% 11/21/22 1,983 2,050 
3.95% 11/6/24 15,000 15,432 
5.2% 4/27/22 2,146 2,352 
6.45% 6/12/17 10,512 10,886 
Ford Motor Credit Co. LLC:   
1.461% 3/27/17 32,000 32,013 
2.375% 3/12/19 17,400 17,632 
2.875% 10/1/18 8,500 8,709 
3% 6/12/17 5,430 5,496 
5% 5/15/18 8,500 8,958 
5.875% 8/2/21 10,438 11,982 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,693 
Hyundai Capital America:   
1.45% 2/6/17 (e) 5,366 5,368 
2.125% 10/2/17 (e) 2,063 2,077 
2.55% 2/6/19 (e) 5,366 5,472 
2.875% 8/9/18 (e) 2,511 2,564 
Navient Corp.:   
5% 10/26/20 1,140 1,146 
5.875% 10/25/24 7,190 6,777 
6.625% 7/26/21 4,230 4,351 
SLM Corp.:   
4.875% 6/17/19 5,955 6,015 
5.5% 1/15/19 2,150 2,209 
5.5% 1/25/23 4,610 4,380 
6.125% 3/25/24 9,585 9,202 
7.25% 1/25/22 5,140 5,339 
8% 3/25/20 5,930 6,434 
8.45% 6/15/18 5,660 6,169 
Synchrony Financial:   
1.875% 8/15/17 1,300 1,303 
3% 8/15/19 1,910 1,952 
3.75% 8/15/21 7,084 7,429 
4.25% 8/15/24 2,903 3,046 
  313,416 
Diversified Financial Services - 0.1%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 8,309 8,325 
3.875% 8/15/22 3,136 3,274 
4.125% 6/15/26 2,949 3,061 
Herc Rentals, Inc.:   
7.5% 6/1/22 (e) 1,250 1,300 
7.75% 6/1/24 (e) 1,250 1,306 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,269 
5.875% 2/1/22 2,725 2,544 
6% 8/1/20 2,230 2,144 
MSCI, Inc. 5.75% 8/15/25 (e) 870 943 
RegionalCare Hospital Partners Holdings, Inc. 8.25% 5/1/23 (e) 1,645 1,676 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (e) 3,080 3,411 
  30,253 
Insurance - 0.6%   
ACE INA Holdings, Inc. 2.875% 11/3/22 4,232 4,453 
AIA Group Ltd. 2.25% 3/11/19 (e) 1,203 1,218 
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (e) 5,010 5,178 
American International Group, Inc.:   
3.3% 3/1/21 3,455 3,625 
3.75% 7/10/25 11,144 11,755 
4.875% 6/1/22 10,692 11,970 
5.85% 1/16/18 12,000 12,691 
Aon Corp. 5% 9/30/20 107 118 
Five Corners Funding Trust 4.419% 11/15/23 (e) 8,055 8,695 
Great-West Life & Annuity Insurance Co. 3.3563% 5/16/46 (e)(g) 2,008 1,717 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 595 607 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (e) 1,675 1,713 
HUB International Ltd. 9.25% 2/15/21 (e) 940 992 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (e) 2,655 2,874 
5% 6/1/21 (e) 6,063 6,713 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,816 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (e) 7,265 7,375 
Metropolitan Life Global Funding I 1.875% 6/22/18 (e) 6,476 6,542 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e) 3,585 4,672 
Pacific Life Insurance Co. 9.25% 6/15/39 (e) 3,048 4,814 
Pacific LifeCorp:   
5.125% 1/30/43 (e) 6,960 7,707 
6% 2/10/20 (e) 9,150 10,158 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 795 
4.5% 11/16/21 1,461 1,635 
7.375% 6/15/19 1,880 2,163 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (e) 6,853 7,820 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (e) 1,569 1,611 
4.125% 11/1/24 (e) 2,275 2,394 
Unum Group:   
3.875% 11/5/25 6,934 6,995 
5.625% 9/15/20 2,879 3,222 
5.75% 8/15/42 10,079 11,536 
7.125% 9/30/16 1,802 1,809 
  159,383 
Real Estate Investment Trusts - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,161 
4.6% 4/1/22 2,000 2,165 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,664 
American Tower Corp. 2.8% 6/1/20 6,000 6,145 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,602 
Camden Property Trust 2.95% 12/15/22 2,154 2,171 
CommonWealth REIT 5.875% 9/15/20 991 1,096 
Corporate Office Properties LP:   
3.7% 6/15/21 3,614 3,728 
5% 7/1/25 3,069 3,308 
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 205 209 
DDR Corp.:   
3.625% 2/1/25 3,010 3,053 
4.25% 2/1/26 2,564 2,720 
4.625% 7/15/22 3,877 4,211 
4.75% 4/15/18 4,595 4,789 
7.5% 4/1/17 4,966 5,124 
Duke Realty LP:   
3.25% 6/30/26 1,061 1,089 
3.625% 4/15/23 2,844 3,001 
3.75% 12/1/24 2,012 2,141 
3.875% 10/15/22 4,799 5,109 
4.375% 6/15/22 3,202 3,486 
6.75% 3/15/20 1,161 1,335 
8.25% 8/15/19 1,838 2,157 
Equity One, Inc. 3.75% 11/15/22 7,300 7,477 
ERP Operating LP 5.75% 6/15/17 637 659 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,569 
HCP, Inc.:   
3.15% 8/1/22 8,000 8,065 
3.875% 8/15/24 11,000 11,255 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,438 
4% 6/1/25 4,568 4,887 
4.125% 4/1/19 11,300 11,905 
4.7% 9/15/17 744 768 
HRPT Properties Trust:   
6.25% 6/15/17 726 735 
6.65% 1/15/18 490 508 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,955 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 710 754 
6.375% 3/1/24 1,545 1,696 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 8,734 8,905 
4.5% 1/15/25 1,769 1,796 
4.5% 4/1/27 21,587 21,832 
4.95% 4/1/24 1,785 1,866 
5.25% 1/15/26 7,807 8,383 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,265 
5% 12/15/23 980 1,050 
Weingarten Realty Investors 3.375% 10/15/22 1,098 1,123 
WP Carey, Inc. 4% 2/1/25 7,547 7,536 
  180,891 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 6,445 6,595 
4.1% 10/1/24 5,444 5,602 
4.55% 10/1/29 5,444 5,686 
4.95% 4/15/18 4,256 4,448 
5.7% 5/1/17 268 275 
CBRE Group, Inc. 5.25% 3/15/25 2,580 2,784 
Digital Realty Trust LP:   
3.4% 10/1/20 6,817 7,104 
3.95% 7/1/22 4,317 4,566 
4.75% 10/1/25 4,899 5,341 
5.25% 3/15/21 2,876 3,242 
Essex Portfolio LP 5.5% 3/15/17 3,414 3,483 
Howard Hughes Corp. 6.875% 10/1/21 (e) 1,690 1,775 
Kennedy-Wilson, Inc. 5.875% 4/1/24 795 803 
Liberty Property LP:   
3.375% 6/15/23 2,951 3,006 
4.125% 6/15/22 2,746 2,893 
4.75% 10/1/20 6,595 7,143 
5.5% 12/15/16 2,022 2,046 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,037 4,054 
3.15% 5/15/23 6,708 6,245 
4.5% 4/18/22 1,689 1,726 
7.75% 8/15/19 2,149 2,414 
Mid-America Apartments LP:   
4% 11/15/25 1,682 1,802 
4.3% 10/15/23 1,086 1,177 
Post Apartment Homes LP 3.375% 12/1/22 1,196 1,226 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (e) 1,760 1,826 
Tanger Properties LP:   
3.125% 9/1/26 3,612 3,607 
3.75% 12/1/24 3,781 3,967 
3.875% 12/1/23 2,341 2,480 
6.125% 6/1/20 7,035 7,991 
Ventas Realty LP:   
1.25% 4/17/17 2,655 2,655 
3.125% 6/15/23 1,874 1,911 
3.5% 2/1/25 2,295 2,378 
4.125% 1/15/26 2,088 2,260 
4.375% 2/1/45 1,098 1,138 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 3,611 3,632 
4% 4/30/19 1,771 1,862 
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 510 469 
  121,612 
Thrifts & Mortgage Finance - 0.1%   
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (e) 10,685 11,633 
TOTAL FINANCIALS  1,964,839 
HEALTH CARE - 1.3%   
Biotechnology - 0.1%   
AbbVie, Inc.:   
1.75% 11/6/17 5,738 5,764 
3.6% 5/14/25 6,397 6,765 
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (e) 1,225 1,205 
Amgen, Inc. 1.25% 5/22/17 11,041 11,052 
  24,786 
Health Care Providers& Services - 0.8%   
Acadia Healthcare Co., Inc. 5.625% 2/15/23 680 692 
Community Health Systems, Inc.:   
5.125% 8/1/21 840 828 
6.875% 2/1/22 15,500 12,865 
DaVita HealthCare Partners, Inc.:   
5% 5/1/25 2,315 2,346 
5.125% 7/15/24 2,535 2,617 
5.75% 8/15/22 1,215 1,274 
Express Scripts Holding Co.:   
3.9% 2/15/22 1,585 1,708 
4.75% 11/15/21 14,348 16,134 
HCA Holdings, Inc.:   
3.75% 3/15/19 9,592 9,892 
4.25% 10/15/19 3,850 4,038 
4.5% 2/15/27 5,400 5,454 
4.75% 5/1/23 305 319 
5% 3/15/24 1,755 1,860 
5.375% 2/1/25 9,835 10,130 
5.875% 3/15/22 10,110 11,121 
5.875% 5/1/23 2,555 2,715 
5.875% 2/15/26 5,470 5,785 
6.25% 2/15/21 1,415 1,532 
6.5% 2/15/20 20,898 23,092 
7.5% 2/15/22 3,250 3,705 
HealthSouth Corp.:   
5.125% 3/15/23 800 810 
5.75% 11/1/24 5,295 5,491 
5.75% 9/15/25 6,165 6,450 
McKesson Corp. 2.284% 3/15/19 5,400 5,504 
Medco Health Solutions, Inc. 4.125% 9/15/20 3,728 4,017 
Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21 625 656 
Team Health, Inc. 7.25% 12/15/23 (e) 2,500 2,725 
Tenet Healthcare Corp.:   
4.375% 10/1/21 2,040 2,047 
4.5% 4/1/21 1,030 1,040 
5% 3/1/19 16,690 16,210 
6% 10/1/20 1,145 1,209 
6.75% 6/15/23 7,355 6,996 
8% 8/1/20 6,000 6,098 
8.125% 4/1/22 4,590 4,647 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 2,324 2,501 
3.75% 7/15/25 6,406 7,095 
Vizient, Inc. 10.375% 3/1/24 (e) 2,055 2,332 
WellPoint, Inc. 1.875% 1/15/18 161 162 
  194,097 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,499 1,500 
2.4% 2/1/19 945 963 
  2,463 
Pharmaceuticals - 0.4%   
Actavis Funding SCS:   
1.3% 6/15/17 10,935 10,906 
2.45% 6/15/19 3,241 3,299 
3% 3/12/20 5,472 5,656 
3.45% 3/15/22 9,527 9,970 
Endo Finance LLC 5.375% 1/15/23 (e) 350 317 
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.:   
6% 7/15/23 (e) 4,625 4,197 
6.5% 2/1/25 (e)(g) 700 621 
Forest Laboratories, Inc. 4.375% 2/1/19 (e) 2,160 2,280 
Horizon Pharma PLC 6.625% 5/1/23 200 198 
JLL/Delta Dutch Newco BV 7.5% 2/1/22 (e) 3,675 3,905 
Mylan N.V.:   
2.5% 6/7/19 (e) 3,556 3,601 
3.15% 6/15/21 (e) 7,274 7,435 
Mylan, Inc. 1.35% 11/29/16 1,757 1,759 
Perrigo Co. PLC:   
1.3% 11/8/16 1,437 1,438 
2.3% 11/8/18 1,537 1,545 
Perrigo Finance PLC:   
3.5% 12/15/21 1,350 1,386 
3.9% 12/15/24 2,011 2,036 
4.9% 12/15/44 883 909 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 5,133 5,135 
2.8% 7/21/23 3,674 3,689 
3.15% 10/1/26 4,374 4,404 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (e) 6,565 6,188 
5.5% 3/1/23 (e) 3,325 2,901 
5.625% 12/1/21 (e) 810 731 
5.875% 5/15/23 (e) 8,575 7,546 
6.125% 4/15/25 (e) 12,070 10,607 
6.75% 8/15/18 (e) 3,620 3,630 
7.5% 7/15/21 (e) 4,615 4,536 
VPI Escrow Corp. 6.375% 10/15/20 (e) 2,425 2,316 
Zoetis, Inc. 1.875% 2/1/18 898 900 
  114,041 
TOTAL HEALTH CARE  335,387 
INDUSTRIALS - 0.7%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (e) 3,650 4,063 
DigitalGlobe, Inc. 5.25% 2/1/21 (e) 3,120 3,104 
TransDigm, Inc.:   
6% 7/15/22 1,155 1,201 
6.375% 6/15/26 (e) 1,890 1,928 
6.5% 5/15/25 7,335 7,592 
  17,888 
Airlines - 0.0%   
Continental Airlines, Inc.:   
pass-thru trust certificates:   
8.388% 5/1/22 1 1 
9.798% 4/1/21 1,768 1,958 
6.125% 4/29/18 415 436 
6.648% 3/15/19 560 572 
6.9% 7/2/19 177 182 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 941 969 
8.36% 1/20/19 715 746 
  4,864 
Building Products - 0.1%   
Builders FirstSource, Inc.:   
5.625% 9/1/24 (e) 1,630 1,659 
10.75% 8/15/23 (e) 5,000 5,675 
GCP Applied Technologies, Inc. 9.5% 2/1/23 (e) 1,800 2,061 
HD Supply, Inc.:   
5.25% 12/15/21 (e) 1,985 2,115 
5.75% 4/15/24 (e) 3,090 3,291 
HMAN Finance Sub Corp. 6.375% 7/15/22 (e) 510 474 
Nortek, Inc. 8.5% 4/15/21 925 969 
Shea Homes Ltd. Partnership/Corp.:   
5.875% 4/1/23 (e) 440 449 
6.125% 4/1/25 (e) 440 446 
USG Corp.:   
6.3% 11/15/16 170 171 
7.875% 3/30/20 (e) 905 945 
9.5% 1/15/18 (g) 975 1,068 
  19,323 
Commercial Services & Supplies - 0.2%   
ADT Corp. 6.25% 10/15/21 1,140 1,248 
APX Group, Inc.:   
6.375% 12/1/19 9,020 9,257 
7.875% 12/1/22 9,005 9,478 
7.875% 12/1/22 (e) 1,165 1,226 
8.75% 12/1/20 20,465 19,672 
Cenveo Corp. 6% 8/1/19 (e) 730 646 
Covanta Holding Corp.:   
5.875% 3/1/24 2,865 2,883 
6.375% 10/1/22 3,265 3,396 
7.25% 12/1/20 775 803 
Garda World Security Corp.:   
7.25% 11/15/21 (e) 525 479 
7.25% 11/15/21 (e) 3,430 3,130 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (e) 215 213 
TMS International Corp. 7.625% 10/15/21 (e) 255 219 
  52,650 
Machinery - 0.0%   
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (e) 475 411 
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,481 1,512 
Schaeffler Finance BV:   
4.25% 5/15/21 (e) 1,760 1,804 
4.75% 5/15/21 (e) 1,665 1,723 
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (e) 950 627 
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 212 225 
Xerium Technologies, Inc. 9.5% 8/15/21 (e) 2,595 2,660 
  8,962 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (e) 630 479 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (e) 3,065 1,609 
8.125% 2/15/19 975 551 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (e) 700 487 
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 (h) 755 151 
  3,277 
Professional Services - 0.0%   
FTI Consulting, Inc. 6% 11/15/22 2,405 2,531 
Road & Rail - 0.0%   
Hertz Corp.:   
5.875% 10/15/20 1,120 1,161 
6.25% 10/15/22 800 841 
Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (e) 1,245 915 
  2,917 
Trading Companies & Distributors - 0.3%   
Air Lease Corp.:   
2.125% 1/15/18 2,759 2,762 
2.625% 9/4/18 6,100 6,135 
3.375% 6/1/21 3,689 3,818 
3.75% 2/1/22 6,505 6,794 
3.875% 4/1/21 5,301 5,586 
4.25% 9/15/24 4,566 4,800 
4.75% 3/1/20 4,617 4,986 
Aircastle Ltd. 5.5% 2/15/22 1,340 1,456 
Ashtead Capital, Inc. 5.625% 10/1/24 (e) 1,825 1,919 
International Lease Finance Corp.:   
5.875% 8/15/22 4,385 4,950 
6.25% 5/15/19 3,035 3,303 
7.125% 9/1/18 (e) 5,560 6,117 
8.25% 12/15/20 4,165 4,982 
8.625% 1/15/22 3,910 4,858 
NES Rentals Holdings, Inc. 7.875% 5/1/18 (e) 365 356 
United Rentals North America, Inc.:   
4.625% 7/15/23 1,220 1,248 
5.5% 7/15/25 975 1,005 
  65,075 
TOTAL INDUSTRIALS  177,487 
INFORMATION TECHNOLOGY - 0.4%   
Communications Equipment - 0.1%   
Hughes Satellite Systems Corp.:   
5.25% 8/1/26 (e) 5,480 5,436 
6.5% 6/15/19 5,408 5,915 
Lucent Technologies, Inc.:   
6.45% 3/15/29 5,541 6,026 
6.5% 1/15/28 1,110 1,193 
  18,570 
Electronic Equipment & Components - 0.1%   
Anixter International, Inc. 5.625% 5/1/19 705 746 
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (e) 13,573 13,952 
5.875% 6/15/21 (e) 1,790 1,893 
7.125% 6/15/24 (e) 1,740 1,885 
Micron Technology, Inc. 7.5% 9/15/23 (e) 1,750 1,929 
Sanmina Corp. 4.375% 6/1/19 (e) 1,295 1,352 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,087 1,107 
6.55% 10/1/17 815 860 
  23,724 
Internet Software & Services - 0.0%   
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 885 940 
Rackspace Hosting, Inc. 6.5% 1/15/24 (e) 6,440 6,763 
VeriSign, Inc. 4.625% 5/1/23 1,225 1,253 
  8,956 
IT Services - 0.0%   
CDW LLC/CDW Finance Corp. 6% 8/15/22 1,670 1,793 
Everi Payments, Inc. 10% 1/15/22 565 533 
Xerox Corp. 2.95% 3/15/17 947 953 
  3,279 
Semiconductors & Semiconductor Equipment - 0.1%   
Entegris, Inc. 6% 4/1/22 (e) 365 380 
Micron Technology, Inc.:   
5.25% 1/15/24 (e) 2,494 2,387 
5.5% 2/1/25 1,695 1,642 
5.875% 2/15/22 880 889 
NXP BV/NXP Funding LLC 5.75% 2/15/21 (e) 1,595 1,663 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (e) 2,675 2,932 
  9,893 
Software - 0.0%   
Activision Blizzard, Inc. 6.125% 9/15/23 (e) 1,255 1,373 
BMC Software, Inc. 7.25% 6/1/18 1,125 1,094 
Open Text Corp. 5.875% 6/1/26 (e) 5,700 5,970 
Parametric Technology Corp. 6% 5/15/24 585 633 
  9,070 
Technology Hardware, Storage & Peripherals - 0.1%   
Apple, Inc. 4.375% 5/13/45 6,392 7,169 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (e) 6,577 6,872 
4.9% 10/15/25 (e) 6,577 7,014 
6.35% 10/15/45 (e) 6,577 6,788 
Western Digital Corp. 10.5% 4/1/24 (e) 2,750 3,108 
  30,951 
TOTAL INFORMATION TECHNOLOGY  104,443 
MATERIALS - 0.3%   
Chemicals - 0.1%   
Blue Cube Spinco, Inc.:   
9.75% 10/15/23 (e) 1,790 2,121 
10% 10/15/25 (e) 960 1,140 
Evolution Escrow Issuer LLC 7.5% 3/15/22 (e) 2,852 2,560 
LSB Industries, Inc. 7.75% 8/1/19 425 438 
Momentive Performance Materials, Inc. 3.88% 10/24/21 4,960 4,099 
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (h) 3,680 0 
Platform Specialty Products Corp.:   
6.5% 2/1/22 (e) 4,355 4,126 
10.375% 5/1/21 (e) 480 504 
Tronox Finance LLC 6.375% 8/15/20 2,105 1,905 
  16,893 
Construction Materials - 0.0%   
CEMEX Finance LLC 6% 4/1/24 (e) 1,600 1,688 
Prince Mineral Holding Corp. 11.5% 12/15/19 (e) 405 368 
  2,056 
Containers & Packaging - 0.1%   
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (e)(g) 954 977 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
6.25% 1/31/19 (e) 680 695 
6.75% 1/31/21 (e) 785 813 
7% 11/15/20 (e) 126 126 
7.25% 5/15/24 (e) 3,410 3,627 
Beverage Packaging Holdings II SA (Luxembourg) 5.625% 12/15/16 (e) 12,285 12,316 
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (e) 2,135 2,175 
Owens-Illinois, Inc. 7.8% 5/15/18 350 383 
Sealed Air Corp. 6.5% 12/1/20 (e) 1,065 1,219 
  22,331 
Metals & Mining - 0.1%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (e)(g) 2,727 2,979 
6.75% 10/19/75 (e)(g) 6,773 7,722 
Bluescope Steel Ltd./Bluescope Steel Finance:   
6.5% 5/15/21 (e) 585 623 
7.125% 5/1/18 (e) 93 95 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (e) 7,189 7,607 
4.5% 8/13/23 (Reg. S) 8,600 9,219 
4.875% 11/4/44 (e) 1,735 1,804 
4.875% 11/4/44 (Reg. S) 4,000 4,160 
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (e) 1,085 1,194 
New Gold, Inc.:   
6.25% 11/15/22 (e) 615 635 
7% 4/15/20 (e) 345 355 
Teck Resources Ltd.:   
8% 6/1/21 (e) 1,255 1,355 
8.5% 6/1/24 (e) 3,430 3,859 
Walter Energy, Inc. 9.5% 10/15/19 (e)(h) 800 0 
  41,607 
TOTAL MATERIALS  82,887 
TELECOMMUNICATION SERVICES - 1.3%   
Diversified Telecommunication Services - 0.8%   
Altice Financing SA:   
6.5% 1/15/22 (e) 2,300 2,421 
6.625% 2/15/23 (e) 2,620 2,728 
7.5% 5/15/26 (e) 3,625 3,815 
Altice Finco SA:   
7.625% 2/15/25 (e) 4,785 4,845 
8.125% 1/15/24 (e) 574 601 
AT&T, Inc.:   
2.45% 6/30/20 4,383 4,471 
3.6% 2/17/23 9,655 10,192 
4.8% 6/15/44 13,836 14,705 
BellSouth Capital Funding Corp. 7.875% 2/15/30 68 94 
Broadview Networks Holdings, Inc. 10.5% 11/15/17 1,908 1,726 
CenturyLink, Inc.:   
5.15% 6/15/17 440 451 
6% 4/1/17 3,101 3,182 
6.15% 9/15/19 3,331 3,614 
Embarq Corp. 7.995% 6/1/36 19,626 20,350 
FairPoint Communications, Inc. 8.75% 8/15/19 (e) 1,340 1,370 
Frontier Communications Corp.:   
8.875% 9/15/20 850 927 
10.5% 9/15/22 1,400 1,523 
GCI, Inc. 6.875% 4/15/25 1,350 1,391 
Intelsat Luxembourg SA:   
7.75% 6/1/21 4,960 1,463 
8.125% 6/1/23 1,090 323 
Level 3 Communications, Inc. 5.75% 12/1/22 1,295 1,353 
Level 3 Financing, Inc.:   
5.375% 8/15/22 2,110 2,205 
6.125% 1/15/21 1,405 1,458 
Sable International Finance Ltd. 6.875% 8/1/22 (e) 1,915 1,982 
SBA Communications Corp. 5.625% 10/1/19 1,870 1,924 
SFR Group SA:   
6% 5/15/22 (e) 13,815 14,119 
6.25% 5/15/24 (e) 660 665 
7.375% 5/1/26 (e) 6,280 6,484 
Sprint Capital Corp.:   
6.875% 11/15/28 7,345 6,611 
6.9% 5/1/19 8,975 9,065 
8.75% 3/15/32 2,620 2,600 
Verizon Communications, Inc.:   
2.625% 2/21/20 8,000 8,251 
4.5% 9/15/20 38,502 42,489 
5.012% 8/21/54 19,396 21,267 
6.25% 4/1/37 3,729 4,786 
Wind Acquisition Finance SA:   
4.75% 7/15/20 (e) 1,670 1,691 
7.375% 4/23/21 (e) 575 592 
  207,734 
Wireless Telecommunication Services - 0.5%   
America Movil S.A.B. de CV 2.375% 9/8/16 307 307 
Clearwire Communications LLC/Clearwire Finance, Inc. 14.75% 12/1/16 (e) 3,050 3,145 
Digicel Group Ltd. 6% 4/15/21 (e) 2,005 1,832 
Intelsat Jackson Holdings SA:   
5.5% 8/1/23 2,315 1,580 
7.5% 4/1/21 3,895 2,931 
8% 2/15/24 (e) 7,660 7,689 
Neptune Finco Corp.:   
6.625% 10/15/25 (e) 1,460 1,586 
10.125% 1/15/23 (e) 7,200 8,222 
10.875% 10/15/25 (e) 4,485 5,259 
Sprint Communications, Inc.:   
6% 12/1/16 3,780 3,818 
6% 11/15/22 13,720 12,417 
8.375% 8/15/17 4,665 4,859 
9% 11/15/18 (e) 6,595 7,263 
Sprint Corp.:   
7.125% 6/15/24 5,215 4,863 
7.25% 9/15/21 2,830 2,798 
7.625% 2/15/25 775 736 
7.875% 9/15/23 6,615 6,430 
T-Mobile U.S.A., Inc.:   
5.25% 9/1/18 695 710 
6% 3/1/23 2,590 2,746 
6% 4/15/24 2,980 3,174 
6.25% 4/1/21 565 590 
6.464% 4/28/19 420 428 
6.5% 1/15/24 7,235 7,778 
6.5% 1/15/26 2,425 2,654 
6.542% 4/28/20 1,475 1,523 
6.625% 4/1/23 15,005 16,008 
6.633% 4/28/21 1,335 1,398 
6.731% 4/28/22 985 1,035 
6.836% 4/28/23 385 413 
  114,192 
TOTAL TELECOMMUNICATION SERVICES  321,926 
UTILITIES - 1.3%   
Electric Utilities - 0.7%   
AmerenUE 6.4% 6/15/17 4,026 4,189 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (e) 3,934 4,440 
6.4% 9/15/20 (e) 10,769 12,213 
Edison International 3.75% 9/15/17 3,355 3,444 
Entergy Corp. 4% 7/15/22 6,500 6,988 
Eversource Energy 1.45% 5/1/18 1,511 1,512 
Exelon Corp. 3.95% 6/15/25 5,966 6,517 
FirstEnergy Corp.:   
2.75% 3/15/18 10,020 10,120 
4.25% 3/15/23 23,348 24,692 
7.375% 11/15/31 31,788 41,475 
FirstEnergy Solutions Corp. 6.05% 8/15/21 9,830 8,544 
InterGen NV 7% 6/30/23 (e) 9,075 7,442 
IPALCO Enterprises, Inc. 3.45% 7/15/20 10,457 10,718 
LG&E and KU Energy LLC 3.75% 11/15/20 745 799 
Nevada Power Co.:   
6.5% 5/15/18 5,100 5,538 
6.5% 8/1/18 1,191 1,304 
NRG Yield Operating LLC 5% 9/15/26 (e) 6,125 6,110 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (e) 4,434 4,744 
NV Energy, Inc. 6.25% 11/15/20 1,666 1,959 
Pennsylvania Electric Co. 6.05% 9/1/17 450 468 
PG&E Corp. 2.4% 3/1/19 791 806 
Progress Energy, Inc. 4.4% 1/15/21 336 368 
RJS Power Holdings LLC 4.625% 7/15/19 (e) 2,150 2,021 
TECO Finance, Inc. 5.15% 3/15/20 2,029 2,233 
West Penn Power Co. 5.95% 12/15/17 (e) 10,500 11,018 
  179,662 
Gas Utilities - 0.0%   
AmeriGas Finance LLC/AmeriGas Finance Corp. 7% 5/20/22 1,785 1,901 
Southern Natural Gas Co. 5.9% 4/1/17 (e)(g) 260 267 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,753 1,877 
Texas Eastern Transmission LP 6% 9/15/17 (e) 948 988 
  5,033 
Independent Power and Renewable Electricity Producers - 0.4%   
Calpine Corp.:   
5.25% 6/1/26 (e) 6,000 6,090 
5.375% 1/15/23 1,475 1,476 
5.75% 1/15/25 635 633 
6% 1/15/22 (e) 1,115 1,169 
7.875% 1/15/23 (e) 2,038 2,150 
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 5,485 5,532 
Dynegy, Inc.:   
5.875% 6/1/23 635 576 
6.75% 11/1/19 1,075 1,102 
7.375% 11/1/22 7,010 6,922 
7.625% 11/1/24 8,735 8,560 
Emera U.S. Finance LP:   
2.15% 6/15/19 (e) 1,742 1,763 
2.7% 6/15/21 (e) 1,715 1,753 
3.55% 6/15/26 (e) 2,743 2,887 
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:   
11% 10/1/21 (h) 11,999 14,399 
12.25% 3/1/22 (e)(h) 15,373 18,735 
NRG Energy, Inc.:   
6.625% 3/15/23 6,445 6,574 
6.625% 1/15/27 (e) 4,390 4,398 
7.25% 5/15/26 (e) 790 820 
PPL Energy Supply LLC 6.5% 6/1/25 1,100 943 
TerraForm Power Operating LLC:   
5.875% 2/1/23 (e) 11,585 11,672 
6.125% 6/15/25 (e) 1,200 1,221 
TXU Corp.:   
5.55% 11/15/14 (h) 61 37 
6.5% 11/15/24 (h) 3,550 2,130 
6.55% 11/15/34 (h) 7,200 4,320 
  105,862 
Multi-Utilities - 0.2%   
Dominion Resources, Inc.:   
2.9311% 9/30/66 (g) 19,347 15,284 
3.4561% 6/30/66 (g) 2,474 2,177 
NiSource Finance Corp.:   
5.45% 9/15/20 5,259 5,918 
6.4% 3/15/18 983 1,052 
6.8% 1/15/19 2,710 3,025 
Puget Energy, Inc. 6% 9/1/21 691 798 
Sempra Energy 6% 10/15/39 5,386 7,004 
Wisconsin Energy Corp. 6.25% 5/15/67 (g) 3,876 3,314 
  38,572 
TOTAL UTILITIES  329,129 
TOTAL NONCONVERTIBLE BONDS  4,705,923 
TOTAL CORPORATE BONDS   
(Cost $4,542,523)  4,708,658 
U.S. Government and Government Agency Obligations - 4.1%   
U.S. Treasury Inflation-Protected Obligations - 1.0%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $86,303 $89,739 
1.375% 2/15/44 72,869 86,998 
U.S. Treasury Inflation-Indexed Notes 0.625% 1/15/26 76,082 79,309 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  256,046 
U.S. Treasury Obligations - 3.1%   
U.S. Treasury Bonds 3% 11/15/45 258,378 301,020 
U.S. Treasury Notes:   
1% 8/15/18 32,700 32,809 
1.625% 6/30/20 60,496 61,689 
1.625% 5/15/26 78,132 78,358 
2% 9/30/20 159,238 164,668 
2% 8/15/25 154,514 160,037 
TOTAL U.S. TREASURY OBLIGATIONS  798,581 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $998,710)  1,054,627 
U.S. Government Agency - Mortgage Securities - 0.7%   
Fannie Mae - 0.4%   
2.5% 1/1/28 to 4/1/43 9,043 9,334 
2.803% 6/1/36 (g) 105 110 
3% 5/1/27 to 8/1/45 16,992 17,733 
3.005% 7/1/37 (g) 189 201 
3.5% 11/1/25 to 5/1/46 28,123 29,918 
4% 11/1/31 to 4/1/46 18,163 19,587 
4% 9/1/46 (i) 2,600 2,785 
4.5% 11/1/19 to 8/1/44 6,361 6,956 
5% 6/1/39 to 10/1/41 3,803 4,232 
5.5% 4/1/39 131 151 
6% 7/1/35 to 8/1/37 2,137 2,454 
6.5% 7/1/32 to 8/1/36 372 433 
TOTAL FANNIE MAE  93,894 
Freddie Mac - 0.2%   
2.5% 7/1/31 369 382 
3% 2/1/31 to 7/1/45 15,811 16,509 
3.5% 6/1/32 to 5/1/46 16,728 17,734 
3.581% 10/1/35 (g) 101 108 
4% 6/1/24 to 6/1/45 12,346 13,279 
4.5% 3/1/41 to 4/1/41 5,816 6,385 
5% 3/1/19 to 7/1/41 2,237 2,472 
5.5% 1/1/38 to 6/1/41 6,316 7,160 
6% 7/1/37 to 8/1/37 182 209 
6.5% 3/1/36 1,462 1,703 
TOTAL FREDDIE MAC  65,941 
Ginnie Mae - 0.1%   
3% 12/20/42 to 1/20/43 783 824 
3.5% 11/20/41 to 6/20/46 14,316 15,267 
3.5% 9/1/46 (i) 1,990 2,111 
4% 8/15/39 to 7/20/45 6,694 7,199 
4.5% 4/20/41 1,861 2,040 
5% 2/15/39 to 5/15/39 594 670 
5.5% 6/15/35 to 9/15/39 1,989 2,291 
TOTAL GINNIE MAE  30,402 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $186,354)  190,237 
Asset-Backed Securities - 0.1%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1929% 4/25/35 (g) $504 $470 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.1744% 3/25/34 (g) 171 164 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.5379% 12/25/33 (g) 32 30 
Series 2004-R2 Class M3, 1.3129% 4/25/34 (g) 68 52 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2679% 3/25/34 (g) 36 33 
Series 2004-W11 Class M2, 1.5744% 11/25/34 (g) 426 412 
Series 2004-W7 Class M1, 1.3129% 5/25/34 (g) 1,011 930 
Series 2006-W4 Class A2C, 0.6844% 5/25/36 (g) 856 292 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.3494% 4/25/34 (g) 1,183 1,023 
Series 2006-HE2 Class M1, 0.8944% 3/25/36 (g) 12 2 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.71% 4/20/20 7,803 7,816 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.6644% 12/25/36 (g) 1,368 785 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.9794% 4/25/34 (g) 45 40 
Series 2004-4 Class M2, 1.3194% 6/25/34 (g) 69 64 
Series 2004-7 Class AF5, 5.868% 1/25/35 (g) 1,085 1,116 
Fannie Mae Series 2004-T5 Class AB3, 1.1662% 5/28/35 (g) 30 26 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6994% 8/25/34 (g) 217 205 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.3494% 3/25/34 (g) 7 6 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.2594% 1/25/35 (g) 720 618 
Class M4, 1.5444% 1/25/35 (g) 264 141 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.2054% 2/25/47 (e)(g) 772 641 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.6877% 11/15/34 (e)(g) 366 339 
Class B, 0.7877% 11/15/34 (e)(g) 132 118 
Class C, 0.8877% 11/15/34 (e)(g) 220 193 
Class D, 1.2577% 11/15/34 (e)(g) 84 72 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.8444% 8/25/33 (g) 172 160 
Series 2003-3 Class M1, 1.8144% 8/25/33 (g) 308 289 
Series 2003-5 Class A2, 1.2244% 12/25/33 (g) 25 23 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.7144% 1/25/37 (g) 1,137 796 
Invitation Homes Trust Series 2015-SFR3 Class E, 4.2321% 8/17/32 (e)(g) 1,947 1,954 
JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 0.7879% 7/25/36 (g) 1,988 921 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9601% 12/27/29 (g) 26 25 
Series 2006-A Class 2C, 1.7901% 3/27/42 (g) 2,016 995 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.8244% 5/25/37 (g) 206 5 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.2744% 7/25/34 (g) 70 58 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.4994% 7/25/34 (g) 126 119 
Series 2006-FM1 Class A2B, 0.5979% 4/25/37 (g) 28 24 
Series 2006-OPT1 Class A1A, 1.0444% 6/25/35 (g) 991 954 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.2044% 8/25/34 (g) 44 37 
Series 2005-NC1 Class M1, 1.1844% 1/25/35 (g) 155 139 
Series 2005-NC2 Class B1, 2.2794% 3/25/35 (g) 118 3 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.0344% 9/25/35 (g) 1,083 1,019 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3994% 9/25/34 (g) 405 370 
Class M4, 2.6994% 9/25/34 (g) 519 322 
Series 2005-WCH1 Class M4, 1.7694% 1/25/36 (g) 1,120 998 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.3244% 4/25/33 (g) 4 3 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2829% 3/25/35 (g) 486 451 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.6025% 6/15/33 (g) 328 310 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.2494% 9/25/34 (g) 29 25 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.3844% 9/25/34 (g) 22 19 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1901% 4/6/42 (e)(g) 1,469 647 
TOTAL ASSET-BACKED SECURITIES   
(Cost $21,945)  26,254 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.0844% 1/25/35 (g) 632 611 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.7843% 10/25/34 (g) 316 313 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.9609% 8/25/36 (g) 742 667 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6944% 2/25/37 (g) 457 422 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.8144% 7/25/35 (g) 549 531 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.8243% 6/10/35 (e)(g) 213 174 
Class B6, 3.3243% 6/10/35 (e)(g) 45 34 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.8046% 7/20/34 (g) 16 16 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.28% 4/25/33 (g) 37 36 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.7244% 9/25/36 (g) 687 676 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.1644% 9/25/43 (g) 1,602 1,541 
TOTAL PRIVATE SPONSOR  5,021 
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) 8,543 8,523 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $12,700)  13,544 
Commercial Mortgage Securities - 1.3%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4918% 2/14/43 (g)(k) 136 0 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2006-3 Class A4, 5.889% 7/10/44 (g) 115 114 
Series 2007-3 Class A4, 5.5433% 6/10/49 (g) 10,175 10,318 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 1,541 1,552 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.7994% 12/25/33 (e)(g) 20 18 
Series 2005-3A:   
Class A2, 0.9244% 11/25/35 (e)(g) 198 169 
Class M1, 0.9644% 11/25/35 (e)(g) 26 22 
Class M2, 1.0144% 11/25/35 (e)(g) 33 26 
Class M3, 1.0344% 11/25/35 (e)(g) 29 23 
Class M4, 1.1244% 11/25/35 (e)(g) 37 28 
Series 2005-4A:   
Class A2, 0.9144% 1/25/36 (e)(g) 511 439 
Class B1, 1.9244% 1/25/36 (e)(g) 22 17 
Class M1, 0.9744% 1/25/36 (e)(g) 165 136 
Class M2, 0.9944% 1/25/36 (e)(g) 49 40 
Class M3, 1.0244% 1/25/36 (e)(g) 72 58 
Class M4, 1.1344% 1/25/36 (e)(g) 40 32 
Class M5, 1.1744% 1/25/36 (e)(g) 40 31 
Class M6, 1.2244% 1/25/36 (e)(g) 42 32 
Series 2006-1:   
Class A2, 0.8844% 4/25/36 (e)(g) 80 68 
Class M1, 0.9044% 4/25/36 (e)(g) 29 24 
Class M2, 0.9244% 4/25/36 (e)(g) 30 25 
Class M3, 0.9444% 4/25/36 (e)(g) 26 21 
Class M4, 1.0444% 4/25/36 (e)(g) 15 12 
Class M5, 1.0844% 4/25/36 (e)(g) 14 11 
Class M6, 1.1644% 4/25/36 (e)(g) 29 22 
Series 2006-2A:   
Class M1, 0.8344% 7/25/36 (e)(g) 69 55 
Class M2, 0.8544% 7/25/36 (e)(g) 48 38 
Class M3, 0.8744% 7/25/36 (e)(g) 40 31 
Class M4, 0.9444% 7/25/36 (e)(g) 27 21 
Class M5, 0.9944% 7/25/36 (e)(g) 33 26 
Series 2006-3A Class M4, 0.9544% 10/25/36 (e)(g) 22 16 
Series 2006-4A:   
Class A2, 0.7944% 12/25/36 (e)(g) 1,517 1,265 
Class M1, 0.8144% 12/25/36 (e)(g) 101 70 
Class M2, 0.8344% 12/25/36 (e)(g) 67 41 
Class M3, 0.8644% 12/25/36 (e)(g) 68 36 
Series 2007-1 Class A2, 0.7944% 3/25/37 (e)(g) 303 256 
Series 2007-2A:   
Class A1, 0.7944% 7/25/37 (e)(g) 325 280 
Class A2, 0.8444% 7/25/37 (e)(g) 305 242 
Class M1, 0.8944% 7/25/37 (e)(g) 107 81 
Class M2, 0.9344% 7/25/37 (e)(g) 59 42 
Class M3, 1.0144% 7/25/37 (e)(g) 46 32 
Series 2007-3:   
Class A2, 0.8144% 7/25/37 (e)(g) 319 253 
Class M1, 0.8344% 7/25/37 (e)(g) 64 48 
Class M2, 0.8644% 7/25/37 (e)(g) 68 49 
Class M3, 0.8944% 7/25/37 (e)(g) 106 72 
Class M4, 1.0244% 7/25/37 (e)(g) 167 112 
Class M5, 1.1244% 7/25/37 (e)(g) 82 40 
Series 2007-4A Class M1, 1.4379% 9/25/37 (e)(g) 54 18 
Series 2004-1, Class IO, 1.25% 4/25/34 (e)(k) 698 27 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(g)(k) 13,541 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer:   
Series 2007-PW16 Class A4, 5.7197% 6/11/40 (g) 391 398 
Series 2007-PW18 Class A4, 5.7% 6/11/50 4,002 4,110 
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0% 8/1/24 (e)(g) 34 28 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7579% 5/25/36 (e)(g) 43 42 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.6801% 12/15/27 (e)(g) 2,157 2,133 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (e)(g) 1,100 1,109 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7119% 12/10/49 (g) 3,035 3,096 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 4,745 4,764 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.3577% 4/15/17 (e)(g) 96 96 
Credit Suisse Commercial Mortgage Trust:   
sequential payer Series 2007-C3 Class A4, 5.6994% 6/15/39 (g) 285 289 
Series 2007-C5 Class A4, 5.695% 9/15/40 (g) 603 618 
CSMC Series 2015-TOWN:   
Class B, 2.4077% 3/15/17 (e)(g) 1,198 1,177 
Class C, 2.7577% 3/15/17 (e)(g) 1,167 1,143 
Class D, 3.7077% 3/15/17 (e)(g) 1,766 1,732 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/34 (e)(g) 6,410 6,626 
Class CFX, 3.4949% 12/15/34 (e)(g) 5,380 5,488 
Class DFX, 3.4949% 12/15/34 (e)(g) 4,559 4,588 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 10,052 10,161 
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 21,658 21,781 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 494 494 
Class A4, 5.56% 11/10/39 103 103 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (e) 1,180 1,183 
Class DFX, 4.4065% 11/5/30 (e) 11,029 11,065 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH:   
Class C, 2.1577% 4/15/27 (e)(g) 1,775 1,741 
Class D, 2.7577% 4/15/27 (e)(g) 3,781 3,682 
sequential payer:   
Series 2006-CB17 Class A4, 5.429% 12/12/43 100 100 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 9,314 9,335 
Series 2007-CB19 Class A4, 5.6986% 2/12/49 (g) 3,131 3,179 
Series 2007-LD11 Class A4, 5.7416% 6/15/49 (g) 30,062 30,543 
Series 2007-LDPX Class A3, 5.42% 1/15/49 10,905 11,014 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (g) 8 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9184% 7/15/44 (g) 636 654 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C1 Class A4, 5.424% 2/15/40 5,424 5,458 
Series 2007-C2 Class A3, 5.43% 2/15/40 979 989 
Series 2007-C6 Class A4, 5.858% 7/15/40 (g) 857 871 
Series 2007-C7 Class A3, 5.866% 9/15/45 1,332 1,382 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.4984% 1/12/44 (e)(g) 205 205 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,347 1,388 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2007-5 Class A4, 5.378% 8/12/48 5,566 5,599 
Series 2007-6 Class A4, 5.485% 3/12/51 (g) 7,400 7,488 
Series 2007-7 Class A4, 5.7387% 6/12/50 (g) 2,814 2,868 
Series 2007-8 Class A3, 5.8755% 8/12/49 (g) 767 785 
Morgan Stanley Capital I Trust:   
floater Series 2006-XLF Class C, 1.708% 7/15/19 (e)(g) 272 271 
sequential payer Series 2007-IQ15 Class A4, 5.9056% 6/11/49 (g) 21,525 22,152 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 1,368 1,384 
Class AAB, 5.654% 4/15/49 158 158 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (e) 113 55 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 15,721 15,849 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 38,635 39,059 
Class A5, 5.5% 4/15/47 20,438 20,836 
Series 2007-C33:   
Class A4, 5.9484% 2/15/51 (g) 20,157 20,485 
Class A5, 5.9484% 2/15/51 (g) 10,259 10,551 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (g) 2,736 2,449 
Class D, 5.513% 12/15/43 (g) 1,459 1,248 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $329,000)  320,391 
Municipal Securities - 1.0%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,095 $1,701 
7.5% 4/1/34 7,195 11,106 
7.55% 4/1/39 27,365 44,591 
7.625% 3/1/40 2,445 3,947 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,170 1,183 
Series 2010 C1, 7.781% 1/1/35 6,325 7,279 
6.05% 1/1/29 400 415 
6.314% 1/1/44 12,335 12,551 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 32,000 32,612 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 2,482 2,535 
4.95% 6/1/23 1,700 1,794 
5.1% 6/1/33 55,420 54,033 
Series 2010-1, 6.63% 2/1/35 25,440 27,901 
Series 2010-3:   
5.547% 4/1/19 155 165 
6.725% 4/1/35 11,505 12,637 
7.35% 7/1/35 4,495 5,178 
Series 2010-5, 6.2% 7/1/21 1,915 2,078 
Series 2011:   
5.365% 3/1/17 185 189 
5.665% 3/1/18 8,840 9,289 
5.877% 3/1/19 19,390 21,036 
Series 2013, 4% 12/1/20 6,040 6,259 
TOTAL MUNICIPAL SECURITIES   
(Cost $247,391)  258,479 
Bank Loan Obligations - 0.5%   
CONSUMER DISCRETIONARY - 0.2%   
Auto Components - 0.0%   
Chassix, Inc. term loan 12% 7/29/19 $234 $234 
Diversified Consumer Services - 0.0%   
KC Mergersub, Inc. Tranche 1LN, term loan 6% 8/13/22 (g) 6,377 6,361 
Laureate Education, Inc. Tranche B, term loan 8.1571% 3/17/21 (g) 4,160 4,133 
Wash Multifamily Acquisition, Inc. Tranche B 1LN, term loan 4.25% 5/14/22 (g) 213 212 
  10,706 
Hotels, Restaurants & Leisure - 0.1%   
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (g) 9,880 9,654 
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (g) 6,188 5,949 
Fantasy Springs Resort Casino term loan 12% 8/6/12 (g)(h) 8,486 6,874 
  22,477 
Household Durables - 0.0%   
Serta Simmons Holdings, LLC Tranche B, term loan 4.25% 10/1/19 (g) 1,554 1,559 
Media - 0.1%   
Cengage Learning, Inc. Tranche B, term loan 5.25% 6/7/23 (g) 875 873 
Cumulus Media Holdings, Inc. Tranch B 1LN, term loan 4.25% 12/23/20 (g) 3,187 2,212 
Liberty Cablevision of Puerto Rico Tranche 2LN, term loan 7.75% 7/7/23 (g) 435 414 
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (g) 721 721 
WideOpenWest Finance LLC Tranche B, term loan 4.5% 8/19/23 (g) 9,160 9,114 
  13,334 
Specialty Retail - 0.0%   
Petco Holdings, Inc. Tranche B 1LN, term loan 5% 1/26/23 (g) 9,950 10,031 
TOTAL CONSUMER DISCRETIONARY  58,341 
CONSUMER STAPLES - 0.0%   
Food & Staples Retailing - 0.0%   
Albertson's LLC:   
Tranche B 5LN, term loan 4.75% 12/21/22 (g) 3,781 3,802 
Tranche B 6LN, term loan 4.75% 6/22/23 (g) 762 766 
  4,568 
Food Products - 0.0%   
AdvancePierre Foods, Inc. Tranche B 1LN, term loan 4.5% 6/2/23 (g) 299 301 
TOTAL CONSUMER STAPLES  4,869 
ENERGY - 0.1%   
Energy Equipment & Services - 0.0%   
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (g) 2,909 1,959 
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (g) 374 99 
  2,058 
Oil, Gas & Consumable Fuels - 0.1%   
American Energy-Marcellus LLC Tranche B 1LN, term loan 5.25% 8/4/20 (g) 1,675 816 
California Resources Corp. Tranche 1LN, term loan 12/31/21 (l) 1,805 1,891 
Chesapeake Energy Corp. Tranche 1LN, term loan 8.5% 8/16/21 (g) 2,530 2,609 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (g) 945 847 
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (g) 532 535 
  6,698 
TOTAL ENERGY  8,756 
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
UFC Holdings LLC Tranche B 1LN, term loan 5% 8/18/23 (g) 2,265 2,270 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche 2LN, term loan 9.25% 11/4/22 (g) 530 533 
TOTAL FINANCIALS  2,803 
HEALTH CARE - 0.0%   
Health Care Providers & Services - 0.0%   
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 9% 12/31/23 (g) 2,375 2,328 
Tranche B 1LN, term loan 5.25% 12/31/22 (g) 2,895 2,787 
  5,115 
Life Sciences Tools & Services - 0.0%   
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (g) 1,323 1,317 
TOTAL HEALTH CARE  6,432 
INFORMATION TECHNOLOGY - 0.1%   
Software - 0.1%   
Kronos, Inc.:   
Tranche 2LN, term loan 9.75% 4/30/20 (g) 8,378 8,548 
Tranche B 1LN, term loan 4.5% 10/30/19 (g) 1,147 1,151 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 4.5% 4/9/21 (g) 572 570 
Tranche 2LN, term loan 8% 4/9/22 (g) 6,908 6,758 
Sybil Software LLC. Tranche B, term loan 8/3/22 (l) 665 666 
  17,693 
MATERIALS - 0.0%   
Chemicals - 0.0%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (g) 1,401 1,332 
Containers & Packaging - 0.0%   
Anchor Glass Container Corp. Tranche B, term loan 4.75% 7/1/22 (g) 523 526 
TOTAL MATERIALS  1,858 
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) 6,645 6,303 
TOTAL TELECOMMUNICATION SERVICES  6,344 
UTILITIES - 0.1%   
Electric Utilities - 0.0%   
Texas Competitive Electric Holdings Co. LLC:   
term loan 5% 10/31/17 (g) 801 803 
Tranche B, term loan 5% 10/31/17 (g) 3,514 3,522 
  4,325 
Independent Power and Renewable Electricity Producers - 0.1%   
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 12/19/16 (g) 20,352 20,428 
TOTAL UTILITIES  24,753 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $133,603)  131,849 
Bank Notes - 0.2%   
Capital One NA 1.65% 2/5/18 6,500 6,509 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $9,037 $9,283 
3.1% 6/4/20 8,635 8,883 
8.7% 11/18/19 532 617 
Huntington National Bank 1.3% 11/20/16 3,560 3,561 
Marshall & Ilsley Bank 5% 1/17/17 7,888 7,984 
RBS Citizens NA 2.5% 3/14/19 4,029 4,090 
Regions Bank 7.5% 5/15/18 11,552 12,613 
Wachovia Bank NA 6% 11/15/17 7,010 7,389 
TOTAL BANK NOTES   
(Cost $59,743)  60,929 
Preferred Securities - 0.4%   
FINANCIALS - 0.4%   
Banks - 0.4%   
Bank of America Corp.:   
5.2% (g)(m) $3,820 $3,800 
6.1% (g)(m) 1,680 1,813 
Barclays Bank PLC 7.625% 11/21/22 10,805 12,363 
Citigroup, Inc.:   
5.35% (g)(m) 14,740 14,789 
5.95% (g)(m) 5,000 5,104 
5.95% (g)(m) 1,325 1,385 
Credit Agricole SA:   
6.625% (e)(g)(m) 11,470 11,278 
7.875% (e)(g)(m) 2,225 2,311 
JPMorgan Chase & Co.:   
5.15% (g)(m) 5,940 6,056 
6% (g)(m) 21,680 22,965 
Royal Bank of Scotland Group PLC:   
7.5% (g)(m) 2,245 2,156 
8% (g)(m) 10,980 10,776 
8.625% (g)(m) 2,380 2,437 
Standard Chartered PLC 7.5% (e)(g)(m) 3,195 3,201 
  100,434 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5.375% (g)(m) 4,850 4,984 
Diversified Financial Services - 0.0%   
Credit Agricole SA 8.125% (e)(g)(m) 4,240 4,616 
TOTAL PREFERRED SECURITIES   
(Cost $107,728)  110,034 
 Shares Value (000s) 
Fixed-Income Funds - 5.6%   
Fidelity Mortgage Backed Securities Central Fund (n)   
(Cost $1,373,561) 13,095,819 1,450,362 
Other - 0.0%   
Other - 0.0%   
Tribune Co. Claim (a)   
(Cost $11) 11,092 11 
Money Market Funds - 1.7%   
Fidelity Cash Central Fund, 0.42% (o) 376,328,788 376,329 
Fidelity Securities Lending Cash Central Fund 0.44% (o)(p) 72,260,067 72,260 
TOTAL MONEY MARKET FUNDS   
(Cost $448,589)  448,589 
TOTAL INVESTMENT PORTFOLIO - 100.0%   
(Cost $21,263,954)  25,757,897 
NET OTHER ASSETS (LIABILITIES) - 0.0%  5,227 
NET ASSETS - 100%  $25,763,124 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
2.5% 9/1/31   
(Proceeds $1,860) (1,800) $(1,859) 

Security Type Abbreviations

ELS – Equity-Linked Security

Legend

 (a) Non-income producing

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

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

 (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 $286,503,000 or 1.1% 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 $1,153,400,000 or 4.5% 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

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

 (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 
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 A 5/14/15 $50,000 
Tory Burch LLC Class B 12/31/12 $17,505 
Uber Technologies, Inc. Series D, 8.00% 6/6/14 $25,000 
Warrior Met Coal LLC Class A 9/19/13 - 3/19/14 $797 
WME Entertainment Parent, LLC Class A unit 4/13/16 - 8/16/16 $50,000 
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 $2,125 
Fidelity Mortgage Backed Securities Central Fund 31,930 
Fidelity Securities Lending Cash Central Fund 1,734 
Total $35,789 

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 $232,150 $-- $1,450,362 19.8% 
Total $1,199,354 $232,150 $-- $1,450,362  

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 $-- $783 $-- $-- 
Corindus Vascular Robotics, Inc. 4,605 -- -- -- 1,539 
Corindus Vascular Robotics, Inc. 17,500 -- -- -- 5,850 
Total $25,545 $-- $783 $-- $7,389 

Investment Valuation

The following is a summary of the inputs used, as of August 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. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,992,603 $2,664,583 $55,465 $272,555 
Consumer Staples 1,619,117 1,604,138 14,975 4 
Energy 862,006 861,948 -- 58 
Financials 2,312,692 2,233,430 29,262 50,000 
Health Care 2,754,253 2,728,016 4,751 21,486 
Industrials 1,270,726 1,248,723 21,654 349 
Information Technology 4,447,484 4,341,224 -- 106,260 
Materials 419,740 419,740 -- -- 
Telecommunication Services 178,171 178,171 -- -- 
Utilities 127,141 127,141 -- -- 
Corporate Bonds 4,708,658 -- 4,708,653 5 
U.S. Government and Government Agency Obligations 1,054,627 -- 1,054,627 -- 
U.S. Government Agency - Mortgage Securities 190,237 -- 190,237 -- 
Asset-Backed Securities 26,254 -- 22,462 3,792 
Collateralized Mortgage Obligations 13,544 -- 13,544 -- 
Commercial Mortgage Securities 320,391 -- 319,975 416 
Municipal Securities 258,479 -- 258,479 -- 
Bank Loan Obligations 131,849 -- 124,741 7,108 
Bank Notes 60,929 -- 60,929 -- 
Preferred Securities 110,034 -- 110,034 -- 
Fixed-Income Funds 1,450,362 1,450,362 -- -- 
Other 11 -- -- 11 
Money Market Funds 448,589 448,589 -- -- 
Total Investments in Securities: $25,757,897 $18,306,065 $6,989,788 $462,044 
Other Financial Instruments:     
TBA Sale Commitments $(1,859) $-- $(1,859) $-- 
Total Other Financial Instruments: $(1,859) $-- $(1,859) $-- 

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 (72,596) 
Cost of Purchases 65,098 
Proceeds of Sales (168,376) 
Amortization/Accretion -- 
Transfers into Level 3 -- 
Transfers out of Level 3 -- 
Ending Balance $272,555 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2016 $80,485 
Other Investments in Securities  
Beginning Balance $104,534 
Net Realized Gain (Loss) on Investment Securities 559 
Net Unrealized Gain (Loss) on Investment Securities 40,402 
Cost of Purchases 70,801 
Proceeds of Sales (31,528) 
Amortization/Accretion 260 
Transfers into Level 3 4,461 
Transfers out of Level 3 -- 
Ending Balance $189,489 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2016 $37,716 

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

Other Information

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

U.S. Government and U.S. Government Agency Obligations 11.1% 
AAA,AA,A 4.1% 
BBB 9.2% 
BB 4.5% 
B 2.2% 
CCC,CC,C 1.5% 
D 0.0% 
Not Rated 0.3% 
Equities 66.0% 
Short-Term Investments and Net Other Assets 1.1% 

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

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

United States of America 86.1% 
Ireland 3.1% 
Canada 1.8% 
United Kingdom 1.2% 
Netherlands 1.1% 
Others (Individually Less Than 1%) 6.7% 
 100.0% 

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

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

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2016 
Assets   
Investment in securities, at value (including securities loaned of $70,200) — See accompanying schedule:
Unaffiliated issuers (cost $19,424,304) 		$23,851,557  
Fidelity Central Funds (cost $1,822,150) 1,898,951  
Other affiliated issuers (cost $17,500) 7,389  
Total Investments (cost $21,263,954)  $25,757,897 
Cash  1,937 
Restricted cash  290 
Receivable for investments sold   
Regular delivery  260,837 
Delayed delivery  5 
Receivable for TBA sale commitments  1,860 
Receivable for fund shares sold  9,025 
Dividends receivable  25,200 
Interest receivable  71,580 
Distributions receivable from Fidelity Central Funds  232 
Prepaid expenses  84 
Other receivables  9,995 
Total assets  26,138,942 
Liabilities   
Payable for investments purchased   
Regular delivery $264,509  
Delayed delivery 4,892  
TBA sale commitments, at value 1,859  
Payable for fund shares redeemed 19,684  
Accrued management fee 8,591  
Other affiliated payables 2,759  
Other payables and accrued expenses 1,264  
Collateral on securities loaned, at value 72,260  
Total liabilities  375,818 
Net Assets  $25,763,124 
Net Assets consist of:   
Paid in capital  $21,081,780 
Undistributed net investment income  107,963 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  79,456 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  4,493,925 
Net Assets  $25,763,124 
Puritan:   
Net Asset Value, offering price and redemption price per share ($19,754,360 ÷ 937,464 shares)  $21.07 
Class K:   
Net Asset Value, offering price and redemption price per share ($6,008,764 ÷ 285,296 shares)  $21.06 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2016 
Investment Income   
Dividends  $257,812 
Interest  288,420 
Income from Fidelity Central Funds  35,789 
Total income  582,021 
Expenses   
Management fee $99,997  
Transfer agent fees 30,122  
Accounting and security lending fees 2,213  
Custodian fees and expenses 255  
Independent trustees' fees and expenses 112  
Registration fees 298  
Audit 345  
Legal 171  
Miscellaneous 245  
Total expenses before reductions 133,758  
Expense reductions (624) 133,134 
Net investment income (loss)  448,887 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 211,951  
Other affiliated issuers (14,975)  
Foreign currency transactions 226  
Total net realized gain (loss)  197,202 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		1,166,169  
Assets and liabilities in foreign currencies (12)  
Delayed delivery commitments 104  
Total change in net unrealized appreciation (depreciation)  1,166,261 
Net gain (loss)  1,363,463 
Net increase (decrease) in net assets resulting from operations  $1,812,350 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2016 Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $448,887 $545,818 
Net realized gain (loss) 197,202 1,580,148 
Change in net unrealized appreciation (depreciation) 1,166,261 (1,897,342) 
Net increase (decrease) in net assets resulting from operations 1,812,350 228,624 
Distributions to shareholders from net investment income (425,000) (532,058) 
Distributions to shareholders from net realized gain (1,256,829) (1,690,057) 
Total distributions (1,681,829) (2,222,115) 
Share transactions - net increase (decrease) 881,968 2,230,548 
Total increase (decrease) in net assets 1,012,489 237,057 
Net Assets   
Beginning of period 24,750,635 24,513,578 
End of period $25,763,124 $24,750,635 
Other Information   
Undistributed net investment income end of period $107,963 $94,680 

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


Financial Highlights — Fidelity Puritan Fund

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $21.02 $22.91 $20.98 $19.53 $17.72 
Income from Investment Operations      
Net investment income (loss)A .36 .47B .36 .36 .38 
Net realized and unrealized gain (loss) 1.10 (.33) 3.60 1.79 1.78 
Total from investment operations 1.46 .14 3.96 2.15 2.16 
Distributions from net investment income (.34) (.46) (.35) (.35) (.35) 
Distributions from net realized gain (1.07) (1.57) (1.68) (.35) – 
Total distributions (1.41) (2.03) (2.03) (.70) (.35) 
Net asset value, end of period $21.07 $21.02 $22.91 $20.98 $19.53 
Total ReturnC 7.36% .87% 20.17% 11.29% 12.35% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .56% .56% .56% .58% .59% 
Expenses net of fee waivers, if any .56% .56% .56% .58% .59% 
Expenses net of all reductions .55% .55% .56% .57% .59% 
Net investment income (loss) 1.77% 2.13%B 1.68% 1.79% 2.03% 
Supplemental Data      
Net assets, end of period (in millions) $19,754 $18,812 $18,351 $15,934 $15,472 
Portfolio turnover rateF 36% 106% 160% 229%G 141% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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

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


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


Financial Highlights — Fidelity Puritan Fund Class K

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $21.01 $22.90 $20.98 $19.52 $17.72 
Income from Investment Operations      
Net investment income (loss)A .38 .49B .39 .39 .40 
Net realized and unrealized gain (loss) 1.10 (.33) 3.58 1.79 1.77 
Total from investment operations 1.48 .16 3.97 2.18 2.17 
Distributions from net investment income (.36) (.48) (.37) (.37) (.37) 
Distributions from net realized gain (1.07) (1.57) (1.68) (.35) – 
Total distributions (1.43) (2.05) (2.05) (.72) (.37) 
Net asset value, end of period $21.06 $21.01 $22.90 $20.98 $19.52 
Total ReturnC 7.48% .96% 20.25% 11.48% 12.43% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .46% .46% .46% .47% .48% 
Expenses net of fee waivers, if any .46% .46% .46% .47% .48% 
Expenses net of all reductions .46% .46% .46% .46% .47% 
Net investment income (loss) 1.86% 2.23%B 1.78% 1.90% 2.15% 
Supplemental Data      
Net assets, end of period (in millions) $6,009 $5,939 $6,162 $5,230 $4,261 
Portfolio turnover rateF 36% 106% 160% 229%G 141% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2016
(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

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

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


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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

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

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

Asset Type Fair Value at 08/31/16 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 
Asset-Backed Securities $3,792 Discounted cash flow Spread
 		4.7% - 17.5% / 4.8% Decrease 
   Yield 3.5% - 8.8% / 5.8% Decrease 
Commercial Mortgage Securities $416 Discounted cash flow Spread 7.8% - 180.9% /35.7% Decrease 
   Yield 12.5% Decrease 
   Discount rate 20.0% Decrease 
  Expected distribution Recovery rate 0.0% Increase 
Equities 450,712 Broker quoted Mid price $14.00 Increase 
  Expected distribution Recovery rate 0.0% - 0.1% / 0.1% Increase 
  Last transaction price Transaction price $0.01 Increase 
  Market approach Transaction price $2.05 - $48.77 / $30.61 Increase 
  Market comparable Discount rate 1.0% - 90.0% / 10.1% Decrease 
   Price/Earnings multiple (P/E) 5.1 Increase 
   Enterprise value/EBITDA multiple 4.2 - 10.3 / 10.2 Increase 
   Enterprise value/Sales multiple (EV/S) 0.6 - 4.7 / 2.3 Increase 
   Weighted average cost of capital (WACC) 9.0% Decrease 
   Discount for lack of marketability 10.0% - 20.0% / 15.6% Decrease 
   Liquidity preference $3.00 - $66.95 / $63.60 Increase 
   Premium rate 4.0% - 17.1% / 9.6% Increase 
   Growth rate 3.5% Increase 
  Straight line Price of underlying $14.00 Increase 
   Strike price $40.00 - $47.50 / $44.27 Increase 
Bank Loan Obligations $6,874 Market comparable Enterprise value/EBITDA multiple 6.5 Increase 
   Discount for lack of marketability 15.0% Decrease 
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.


Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2016, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.

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

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

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

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

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2016, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

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

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

Gross unrealized appreciation $5,074,600 
Gross unrealized depreciation (686,034) 
Net unrealized appreciation (depreciation) on securities $4,388,566 
Tax Cost $21,369,331 

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

Undistributed ordinary income $116,156 
Undistributed long-term capital gain $177,786 
Net unrealized appreciation (depreciation) on securities and other investments $4,388,547 

The tax character of distributions paid was as follows:

 August 31, 2016 August 31, 2015 
Ordinary Income $431,190 $ 744,347 
Long-term Capital Gains 1,250,639 1,477,768 
Total $1,681,829 $ 2,222,115 

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

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

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

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

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

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

Consolidated Subsidiary. The Fund invests in certain investments through a wholly-owned subsidiary ("Subsidiary"), which may be subject to federal and state taxes upon disposition.

At period end, investments held through these Subsidiaries were $113,055 representing .44% of the Fund's net assets. The financial statements have been consolidated and include accounts of the Fund and each Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated.

Any cash held by the Subsidiaries is restricted as to its use and is presented as Restricted cash in the Statement of Assets and Liabilities.

4. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $7,439,604 and $7,137,398, respectively.

5. Fees and Other Transactions with Affiliates.

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

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

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

 Amount % of
Class-Level Average
Net Assets 
Puritan $27,331 .14 
Class K 2,791 .05 
 $ 30,122  

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $99 for the period.

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

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $1.

6. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $51 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

7. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $11,072. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $56. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $1,734 (including $84 from securities loaned to FCM).

8. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $432 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $11.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $181.

9. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2016 		Year ended
August 31, 2015 
From net investment income   
Puritan $319,357 $395,766 
Class K 105,643 136,292 
Total $425,000 $532,058 
From net realized gain   
Puritan $955,970 $1,265,858 
Class K 300,859 424,199 
Total $1,256,829 $1,690,057 

10. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2016 		Year ended
August 31, 2015 		Year ended
August 31, 2016 		Year ended
August 31, 2015 
Puritan     
Shares sold 134,463 139,702 $2,708,248 $3,047,523 
Reinvestment of distributions 60,339 75,801 1,211,956 1,580,519 
Shares redeemed (152,236) (121,760) (3,085,310) (2,663,052) 
Net increase (decrease) 42,566 93,743 $834,894 $1,964,990 
Class K     
Shares sold 40,423 49,092 $815,415 $1,071,609 
Reinvestment of distributions 20,247 26,893 406,502 560,491 
Shares redeemed (57,995) (62,479) (1,174,843) (1,366,542) 
Net increase (decrease) 2,675 13,506 $47,074 $265,558 

11. Other.

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

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Puritan Fund (a fund of Fidelity Puritan Trust) at August 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Puritan Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 20, 2016

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 170 funds. Mr. Chiel oversees 111 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

James C. Curvey (1935)

Year of Election or Appointment: 2007

Trustee

Chairman of the Board of Trustees

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

Charles S. Morrison (1960)

Year of Election or Appointment: 2014

Trustee

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

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

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

Independent Trustees:

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

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

Dennis J. Dirks (1948)

Year of Election or Appointment: 2005

Trustee

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

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as Chairman (2014-present) and a member (2010-present) of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes) and a Director of Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). He is a Trustee of the California Chapter of The Nature Conservancy (2015-present) and a Director of the Center for Advanced Study in the Behavioral Sciences at Stanford University (2015-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation (retail) and Chief Executive Officer and Chairman of the Board of Sears, Roebuck and Co. (retail, 2000-2005). Previously, Mr. Lacy served as Chairman (2008-2011) and a member (2006-2015) of the Board of Trustees of the National Parks Conservation Association and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2010-2014).

Ned C. Lautenbach (1944)

Year of Election or Appointment: 2000

Trustee

Chairman of the Independent Trustees

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

Joseph Mauriello (1944)

Year of Election or Appointment: 2008

Trustee

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

Robert W. Selander (1950)

Year of Election or Appointment: 2011

Trustee

Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present) and a non-executive Chairman of Health Equity, Inc. (health savings custodian, 2015-present). Previously, Mr. Selander served as a Member of the Advisory Board of certain Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (1944)

Year of Election or Appointment: 2005

Trustee

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

William S. Stavropoulos (1939)

Year of Election or Appointment: 2001

Trustee

Vice Chairman of the Independent Trustees

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

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

Jeffrey S. Christian (1961)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).

William C. Coffey (1969)

Year of Election or Appointment: 2009

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

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

Scott C. Goebel (1968)

Year of Election or Appointment: 2015

Vice President

Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

Brian B. Hogan (1964)

Year of Election or Appointment: 2009

Vice President

Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.  Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan. 

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

John F. Papandrea (1972)

Year of Election or Appointment: 2016

Anti-Money Laundering (AML) Officer

Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).

Melissa M. Reilly (1971)

Year of Election or Appointment: 2014

Vice President of certain Equity Funds

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Stacie M. Smith (1974)

Year of Election or Appointment: 2016

President and Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2016 to August 31, 2016).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2016 		Ending
Account Value
August 31, 2016 		Expenses Paid
During Period-B
March 1, 2016
to August 31, 2016 
Puritan .55%    
Actual  $1,000.00 $1,100.60 $2.90 
Hypothetical-C  $1,000.00 $1,022.37 $2.80 
Class K .46%    
Actual  $1,000.00 $1,101.20 $2.43 
Hypothetical-C  $1,000.00 $1,022.82 $2.34 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Puritan Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities and dividends derived from net investment income:

 Pay Date Record Date Dividends Capital Gains 
Class K 10/17/16 10/14/16 $0.107 $0.170 
Fidelity Puritan Fund 10/17/16 10/14/16 $0.101 $ 0.170 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $190,201,884, or, if subsequently determined to be different, the net capital gain of such year.

A total of 2.82% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $155,697,817 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Puritan designates 18%, 44%, 82%, and 82% and Class K designates 17%, 41%, 77%, and 77% of the dividends distributed in October, December, April, and July, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

Puritan designates 21%, 51%, 90%, and 91% and Class K designates 20%, 48%, 85%, and 85% of the dividends distributed in October, December, April, and July, respectively during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Puritan Fund

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

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

At its July 2016 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

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

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

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

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

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

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) broadening eligibility requirements for certain lower-priced share classes of, and streamlining the fee structure for, certain existing equity index funds; (v) lowering expense caps for certain existing funds and classes to reduce expenses paid by shareholders; (vi) eliminating redemption fees for certain variable insurance product funds and classes; (vii) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (viii) launching a lower cost share class for use by the Freedom Index Fund product line; (ix) rationalizing product lines and gaining increased efficiencies through fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (xi) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (xii) accelerating the conversion of all remaining Class B shares to Class A shares, which have a lower expense structure; and (xiii) implementing changes to Fidelity's money market fund product line in response to recent regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there was a portfolio management change for the fund in July 2015.

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

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

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

Fidelity Puritan Fund


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

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

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Broadridge funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Broadridge peer group used by the Board for performance comparisons because the Total Mapped Group combines several Broadridge investment objective categories while the Broadridge peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Puritan Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2015.

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

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

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

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

The Board noted that the total expense ratio of each class ranked below the competitive median for 2015.

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

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

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

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

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

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

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

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

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

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

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins; (vi) the realization of fall-out benefits in and attribution of fall-out benefits to certain Fidelity business units; (vii) the appropriateness of certain funds' benchmarks; (viii) the rationalization for certain share classes and expenses; (ix) sub-advisory fee rates for comparable investment mandates; (x) product strategy for certain underperforming funds; and (xi) Fidelity's resources and strategy for cybersecurity.

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





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

PUR-K-ANN-1016
1.863165.107

Fidelity® Balanced Fund

Class K



Annual Report

August 31, 2016



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2016 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2016 Past 1 year Past 5 years Past 10 years 
Class K 7.84% 10.20% 6.64% 

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

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Balanced Fund - Class K on August 31, 2006. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period. See above for additional information regarding the performance of Class K.


Period Ending Values
$19,022Fidelity® Balanced Fund - Class K
$20,628S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  U.S. equities advanced strongly for the year ending August 31, 2016, overcoming persistent concern about global economic growth, U.S. monetary policy and the U.K.’s late-June vote to leave the European Union (Brexit). The S&P 500® index rose 12.55%, with larger-cap, value-oriented stocks and defensive sectors shining brightest. Volatility peaked in early 2016, as continued oil-price weakness and U.S.-dollar strength pushed the S&P 500® to its worst January since 2009. Markets then rose beginning in February amid U.S. job gains, a broad rally in energy and materials markets, global economic stimulus and perceived softening of monetary policy by the U.S. Federal Reserve. The June 23 Brexit vote resulted in a sharp two-day decline for stocks, followed by a rebound as investor sentiment shifted and remained positive through August 31. For the year, dividend-rich telecommunication services, utilities and consumer staples led the way amid strong investor demand for yield. Conversely, a strong run for real estate stocks couldn’t help financials outpace the broader market. Meanwhile, the Barclays® U.S. Aggregate Bond Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, in part as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities.

Comments from Co-Portfolio Manager Robert Stansky  For the year, the fund’s share classes gained about 8%, lagging the 10.09% return of the Fidelity Balanced Hybrid Composite Index. Weak security selection in the fund’s equity subportfolio accounted for virtually all of its underperformance versus the Composite index, while overweighting stocks and underweighting bonds added value, as did security selection in the investment-grade bond subportfolio. A sizable overweighting in the stock of AMETEK, a maker of electronic instruments and motors, was our biggest relative detractor and third-largest holding at period end. A substantial underweighting in strong-performing software giant Microsoft also detracted, as did an overweighting in consumer finance company Capital One Financial. Conversely, the equity subportfolio’s top relative contributor was design-software provider Autodesk. Timely ownership of Keurig Green Mountain, maker of single-serve coffee and other beverage products, also contributed. After surging higher in early December on news the company would be taken private, Keurig was sold from the fund. The investment-grade bond subportfolio handily topped its benchmark. Both sector positioning and security selection contributed to our relative results this period. Conversely, out-of-benchmark exposure to Treasury Inflation-Protected Securities, or TIPS, detracted modestly.

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

Investment Summary (Unaudited)

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

Top Five Stocks as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Apple, Inc. 2.1 1.4 
Alphabet, Inc. Class C 1.8 2.0 
AMETEK, Inc. 1.5 1.4 
Roper Technologies, Inc. 1.4 1.4 
Amazon.com, Inc. 1.4 1.1 
 8.2  

Top Five Bond Issuers as of August 31, 2016

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 5.9 6.1 
Fannie Mae 4.6 4.0 
Freddie Mac 2.1 2.0 
Ginnie Mae 1.7 1.6 
Illinois Gen. Oblig. 0.6 0.7 
 14.9  

Top Five Market Sectors as of August 31, 2016

 % of fund's net assets % of fund's net assets 6 months ago 
Financials 18.3 18.5 
Information Technology 12.5 12.4 
Health Care 11.0 10.3 
Consumer Discretionary 9.7 10.3 
Consumer Staples 7.4 7.8 

Asset Allocation (% of fund's net assets)

As of August 31, 2016* 
   Stocks and Equity Futures 63.7% 
   Bonds 34.2% 
   Other Investments 0.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 1.5% 


 * Foreign investments - 10.7%


As of February 29, 2016* 
   Stocks and Equity Futures 63.0% 
   Bonds 35.7% 
   Other Investments 0.7% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.6% 


 * Foreign investments - 11.3%


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

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

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

Investments August 31, 2016

Showing Percentage of Net Assets

Common Stocks - 63.0%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 8.2%   
Automobiles - 0.4%   
Tesla Motors, Inc. (a) 579,985 $122,963 
Hotels, Restaurants & Leisure - 1.1%   
Hilton Worldwide Holdings, Inc. 4,765,700 113,757 
Las Vegas Sands Corp. 796,717 40,003 
Starbucks Corp. 2,990,974 168,182 
  321,942 
Internet & Catalog Retail - 1.4%   
Amazon.com, Inc. (a) 516,800 397,502 
TripAdvisor, Inc. (a) 158,700 9,681 
  407,183 
Leisure Products - 0.1%   
Mattel, Inc. 881,300 29,197 
Media - 1.6%   
Charter Communications, Inc. Class A (a) 557,707 143,448 
Interpublic Group of Companies, Inc. 1,349,200 31,220 
Manchester United PLC (b) 1,130,315 18,808 
MDC Partners, Inc. Class A (c) 3,022,452 37,297 
The Walt Disney Co. 2,283,500 215,699 
  446,472 
Multiline Retail - 0.1%   
Dollar Tree, Inc. (a) 331,300 27,399 
Specialty Retail - 2.5%   
Advance Auto Parts, Inc. 157,300 24,756 
AutoZone, Inc. (a) 119,472 88,624 
Home Depot, Inc. 1,762,544 236,392 
L Brands, Inc. 1,831,803 139,602 
Ross Stores, Inc. 2,322,536 144,555 
TJX Companies, Inc. 933,148 72,263 
  706,192 
Textiles, Apparel & Luxury Goods - 1.0%   
NIKE, Inc. Class B 3,025,650 174,398 
VF Corp. 1,886,500 117,057 
  291,455 
TOTAL CONSUMER DISCRETIONARY  2,352,803 
CONSUMER STAPLES - 6.4%   
Beverages - 1.4%   
Constellation Brands, Inc. Class A (sub. vtg.) 500,900 82,173 
Molson Coors Brewing Co. Class B 50,800 5,198 
Monster Beverage Corp. (a) 404,152 62,195 
The Coca-Cola Co. 5,745,408 249,523 
  399,089 
Food & Staples Retailing - 1.5%   
CVS Health Corp. 2,064,285 192,804 
Kroger Co. 3,680,608 117,743 
Rite Aid Corp. (a) 2,387,100 17,975 
Sprouts Farmers Market LLC (a) 556,190 12,531 
Wal-Mart Stores, Inc. 80,890 5,779 
Walgreens Boots Alliance, Inc. 775,100 62,558 
Whole Foods Market, Inc. 307,025 9,327 
  418,717 
Food Products - 0.4%   
Bunge Ltd. 205,886 13,156 
Mead Johnson Nutrition Co. Class A 694,249 59,060 
The Hain Celestial Group, Inc. (a) 373,700 13,733 
The Hershey Co. 181,973 18,177 
TreeHouse Foods, Inc. (a) 125,800 11,917 
  116,043 
Household Products - 0.9%   
Colgate-Palmolive Co. 2,440,000 181,390 
Procter & Gamble Co. 1,028,293 89,780 
  271,170 
Personal Products - 0.3%   
Estee Lauder Companies, Inc. Class A 796,032 71,030 
Nu Skin Enterprises, Inc. Class A 369,621 21,394 
  92,424 
Tobacco - 1.9%   
Altria Group, Inc. 3,744,913 247,501 
British American Tobacco PLC sponsored ADR 1,485,430 184,476 
Philip Morris International, Inc. 1,015,000 101,429 
  533,406 
TOTAL CONSUMER STAPLES  1,830,849 
ENERGY - 4.3%   
Energy Equipment & Services - 0.9%   
Baker Hughes, Inc. 1,744,700 85,717 
Dril-Quip, Inc. (a) 328,569 18,259 
Independence Contract Drilling, Inc. (a) 846,233 4,265 
Oceaneering International, Inc. 455,491 12,080 
Schlumberger Ltd. 1,756,400 138,756 
  259,077 
Oil, Gas & Consumable Fuels - 3.4%   
Anadarko Petroleum Corp. 1,592,202 85,135 
Apache Corp. 1,169,900 58,144 
Black Stone Minerals LP 848,300 13,742 
Cabot Oil & Gas Corp. 1,340,050 33,005 
Chevron Corp. 710,005 71,412 
Cimarex Energy Co. 364,002 48,114 
ConocoPhillips Co. 2,781,400 114,176 
Devon Energy Corp. 1,324,100 57,373 
Exxon Mobil Corp. 1,289,478 112,365 
Newfield Exploration Co. (a) 824,600 35,755 
Noble Energy, Inc. 1,335,130 46,035 
Parsley Energy, Inc. Class A (a) 821,430 27,805 
Phillips 66 Co. 897,617 70,418 
Pioneer Natural Resources Co. 310,800 55,649 
PrairieSky Royalty Ltd. 1,349,837 26,453 
SM Energy Co. 1,093,500 41,422 
Southwestern Energy Co. (a) 29,186 406 
Suncor Energy, Inc. (b) 3,543,200 96,078 
  993,487 
TOTAL ENERGY  1,252,564 
FINANCIALS - 10.7%   
Banks - 3.8%   
Bank of America Corp. 14,495,208 233,953 
Citigroup, Inc. 5,192,812 247,905 
Comerica, Inc. 904,200 42,760 
Huntington Bancshares, Inc. 9,234,212 92,434 
JPMorgan Chase & Co. 2,335,154 157,623 
M&T Bank Corp. 505,800 59,851 
Regions Financial Corp. 3,814,600 38,032 
Sumitomo Mitsui Financial Group, Inc. 204,300 7,147 
Synovus Financial Corp. 866,020 28,648 
U.S. Bancorp 3,487,147 153,958 
Zions Bancorporation 800,700 24,493 
  1,086,804 
Capital Markets - 1.3%   
BlackRock, Inc. Class A 337,576 125,852 
Charles Schwab Corp. 1,806,800 56,842 
E*TRADE Financial Corp. (a) 1,155,749 30,489 
Goldman Sachs Group, Inc. 491,800 83,340 
Northern Trust Corp. 670,319 47,318 
Oaktree Capital Group LLC Class A 286,697 12,606 
  356,447 
Consumer Finance - 1.5%   
Capital One Financial Corp. 4,306,801 308,367 
Discover Financial Services 555,700 33,342 
Navient Corp. 1,136,843 16,348 
OneMain Holdings, Inc. (a) 870,600 26,997 
SLM Corp. (a) 7,495,034 55,576 
  440,630 
Diversified Financial Services - 0.9%   
Berkshire Hathaway, Inc.:   
Class A (a) 129 29,123 
Class B (a) 480,000 72,235 
Broadcom Ltd. 580,400 102,394 
CME Group, Inc. 435,600 47,197 
KBC Ancora (a) 398,674 14,642 
On Deck Capital, Inc. (a)(b) 590,700 3,739 
  269,330 
Insurance - 1.2%   
American International Group, Inc. 774,600 46,344 
Chubb Ltd. 989,337 125,577 
Dai-ichi Mutual Life Insurance Co. 505,000 7,026 
Direct Line Insurance Group PLC 4,917,744 23,829 
Fairfax Financial Holdings Ltd. (sub. vtg.) 19,000 10,754 
Marsh & McLennan Companies, Inc. 1,483,777 100,348 
MetLife, Inc. 405,447 17,596 
Unum Group 593,900 21,149 
  352,623 
Real Estate Investment Trusts - 1.8%   
Altisource Residential Corp. Class B 2,273,217 24,937 
American Tower Corp. 1,305,700 148,040 
Boston Properties, Inc. 326,297 45,724 
Coresite Realty Corp. 90,800 7,084 
Duke Realty LP 767,000 21,568 
Equinix, Inc. 97,500 35,943 
Extra Space Storage, Inc. 587,121 47,293 
FelCor Lodging Trust, Inc. 1,307,200 9,294 
Omega Healthcare Investors, Inc. 229,600 8,312 
Outfront Media, Inc. 1,419,062 31,673 
Store Capital Corp. 3,114,500 92,283 
Sun Communities, Inc. 246,242 18,842 
VEREIT, Inc. 3,011,500 31,470 
  522,463 
Real Estate Management & Development - 0.2%   
CBRE Group, Inc. (a) 1,749,803 52,302 
Mitsubishi Estate Co. Ltd. 399,000 7,547 
  59,849 
TOTAL FINANCIALS  3,088,146 
HEALTH CARE - 9.9%   
Biotechnology - 2.6%   
Alexion Pharmaceuticals, Inc. (a) 624,104 78,550 
Amgen, Inc. 1,234,258 209,898 
Biogen, Inc. (a) 371,185 113,445 
Celgene Corp. (a) 760,800 81,208 
Gilead Sciences, Inc. 619,328 48,543 
Regeneron Pharmaceuticals, Inc. (a) 178,700 70,149 
Shire PLC sponsored ADR 439,100 82,191 
Vertex Pharmaceuticals, Inc. (a) 836,800 79,086 
  763,070 
Health Care Equipment & Supplies - 3.1%   
Abbott Laboratories 2,686,800 112,899 
Boston Scientific Corp. (a) 7,343,168 174,914 
Danaher Corp. 2,230,566 181,590 
Edwards Lifesciences Corp. (a) 660,564 76,071 
Intuitive Surgical, Inc. (a) 46,000 31,575 
Medtronic PLC 2,935,024 255,435 
The Cooper Companies, Inc. 107,437 19,975 
Wright Medical Group NV (a) 1,187,800 29,410 
  881,869 
Health Care Providers & Services - 1.8%   
Cigna Corp. 674,560 86,519 
Henry Schein, Inc. (a) 430,104 70,447 
Humana, Inc. 46,300 8,274 
McKesson Corp. 542,448 100,147 
UnitedHealth Group, Inc. 1,500,100 204,089 
Universal Health Services, Inc. Class B 371,100 44,729 
  514,205 
Health Care Technology - 0.1%   
Medidata Solutions, Inc. (a) 739,465 40,005 
Life Sciences Tools & Services - 0.6%   
Agilent Technologies, Inc. 1,244,100 58,448 
Thermo Fisher Scientific, Inc. 652,597 99,319 
  157,767 
Pharmaceuticals - 1.7%   
Allergan PLC (a) 856,443 200,870 
Bristol-Myers Squibb Co. 1,750,541 100,464 
GlaxoSmithKline PLC sponsored ADR 1,905,600 82,817 
Horizon Pharma PLC (a) 486,800 9,152 
Merck & Co., Inc. 456,500 28,664 
Teva Pharmaceutical Industries Ltd. sponsored ADR 1,467,000 73,922 
  495,889 
TOTAL HEALTH CARE  2,852,805 
INDUSTRIALS - 5.7%   
Aerospace & Defense - 1.0%   
Honeywell International, Inc. 471,300 55,005 
TransDigm Group, Inc. (a) 249,600 71,183 
United Technologies Corp. 1,590,500 169,277 
  295,465 
Electrical Equipment - 2.4%   
AMETEK, Inc. 8,799,061 428,954 
Fortive Corp. 3,983,533 209,813 
SolarCity Corp. (a) 862,593 17,821 
Sunrun, Inc. (a)(b)(c) 5,288,285 32,153 
  688,741 
Industrial Conglomerates - 1.4%   
Roper Technologies, Inc. 2,329,714 413,641 
Machinery - 0.3%   
Pentair PLC 1,341,132 85,900 
SPX Flow, Inc. (a) 156,800 4,611 
  90,511 
Professional Services - 0.6%   
Verisk Analytics, Inc. (a) 2,001,616 166,234 
TOTAL INDUSTRIALS  1,654,592 
INFORMATION TECHNOLOGY - 12.2%   
Communications Equipment - 0.0%   
F5 Networks, Inc. (a) 70,400 8,640 
Electronic Equipment & Components - 0.4%   
Jabil Circuit, Inc. 3,379,600 71,614 
Samsung SDI Co. Ltd. 243,061 25,157 
  96,771 
Internet Software & Services - 4.0%   
2U, Inc. (a) 1,128,747 39,890 
58.com, Inc. ADR (a) 1,055,567 48,028 
Alphabet, Inc.:   
Class A 33,400 26,381 
Class C (a) 686,624 526,675 
Box, Inc. Class A (a)(b) 702,500 9,652 
Cornerstone OnDemand, Inc. (a) 841,400 36,954 
Facebook, Inc. Class A (a) 2,511,807 316,789 
Just Dial Ltd. 1,005,448 7,448 
New Relic, Inc. (a) 1,976,287 72,530 
Shopify, Inc. Class A (a) 188,300 7,788 
SPS Commerce, Inc. (a) 44,700 2,918 
Yahoo!, Inc. (a) 1,423,700 60,863 
  1,155,916 
IT Services - 0.4%   
Alliance Data Systems Corp. (a) 34,600 7,078 
Blackhawk Network Holdings, Inc. (a) 634,527 21,733 
Global Payments, Inc. 172,500 13,101 
Travelport Worldwide Ltd. 5,134,362 70,495 
  112,407 
Semiconductors & Semiconductor Equipment - 1.9%   
Intersil Corp. Class A 412,760 8,148 
Lam Research Corp. 392,800 36,656 
Marvell Technology Group Ltd. 3,522,377 43,677 
Micron Technology, Inc. (a) 696,111 11,479 
NVIDIA Corp. 486,273 29,828 
NXP Semiconductors NV (a) 858,500 75,565 
Qorvo, Inc. (a) 4,007,817 230,169 
Qualcomm, Inc. 1,010,544 63,735 
Semtech Corp. (a) 562,100 14,952 
SolarEdge Technologies, Inc. (a)(b) 1,011,770 17,220 
  531,429 
Software - 2.9%   
Activision Blizzard, Inc. 1,823,950 75,457 
Adobe Systems, Inc. (a) 188,767 19,313 
Autodesk, Inc. (a) 5,704,170 384,461 
Electronic Arts, Inc. (a) 746,400 60,630 
HubSpot, Inc. (a) 506,845 28,252 
Microsoft Corp. 1,552,487 89,206 
Nintendo Co. Ltd. 90,400 19,957 
RealPage, Inc. (a) 287,762 7,407 
Salesforce.com, Inc. (a) 1,156,774 91,871 
ServiceNow, Inc. (a) 77,200 5,610 
Varonis Systems, Inc. (a) 639,605 18,900 
Zendesk, Inc. (a) 1,372,848 41,927 
  842,991 
Technology Hardware, Storage & Peripherals - 2.6%   
Apple, Inc. 5,659,214 600,435 
EMC Corp. 2,330,500 67,561 
HP, Inc. 6,259,283 89,946 
  757,942 
TOTAL INFORMATION TECHNOLOGY  3,506,096 
MATERIALS - 1.9%   
Chemicals - 1.4%   
CF Industries Holdings, Inc. 762,000 19,812 
E.I. du Pont de Nemours & Co. 2,030,300 141,309 
Eastman Chemical Co. 745,882 50,638 
Ecolab, Inc. 266,300 32,768 
Monsanto Co. 474,300 50,513 
PPG Industries, Inc. 561,600 59,462 
W.R. Grace & Co. 550,601 43,018 
  397,520 
Construction Materials - 0.1%   
Eagle Materials, Inc. 425,500 34,197 
Containers & Packaging - 0.4%   
Ball Corp. 54,000 4,276 
Graphic Packaging Holding Co. 2,831,768 40,608 
WestRock Co. 1,328,580 63,639 
  108,523 
TOTAL MATERIALS  540,240 
TELECOMMUNICATION SERVICES - 1.6%   
Diversified Telecommunication Services - 1.6%   
AT&T, Inc. 6,168,464 252,167 
Cogent Communications Group, Inc. 370,168 13,156 
Level 3 Communications, Inc. (a) 720,709 35,769 
SBA Communications Corp. Class A (a) 167,900 19,166 
Verizon Communications, Inc. 2,093,936 109,576 
Zayo Group Holdings, Inc. (a) 877,763 25,464 
  455,298 
Wireless Telecommunication Services - 0.0%   
T-Mobile U.S., Inc. (a) 254,700 11,803 
Telephone & Data Systems, Inc. 253,516 7,065 
  18,868 
TOTAL TELECOMMUNICATION SERVICES  474,166 
UTILITIES - 2.1%   
Electric Utilities - 1.4%   
Edison International 570,727 41,503 
Exelon Corp. 2,436,100 82,827 
FirstEnergy Corp. 622,048 20,360 
NextEra Energy, Inc. 1,078,900 130,482 
PG&E Corp. 1,303,829 80,759 
PPL Corp. 1,221,200 42,473 
  398,404 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Yield, Inc. Class C (b) 535,811 9,023 
Vivint Solar, Inc. (a)(b) 3,201,094 10,179 
  19,202 
Multi-Utilities - 0.6%   
CenterPoint Energy, Inc. 426,200 9,577 
Dominion Resources, Inc. 1,043,639 77,396 
Sempra Energy 949,959 99,394 
  186,367 
TOTAL UTILITIES  603,973 
TOTAL COMMON STOCKS   
(Cost $14,436,828)  18,156,234 
Convertible Preferred Stocks - 0.0%   
INFORMATION TECHNOLOGY - 0.0%   
Software - 0.0%   
MongoDB, Inc. Series F, 8.00% (a)(d)   
(Cost $4,704) 281,270 2,522 
 Principal Amount (000s) Value (000s) 
Nonconvertible Bonds - 14.3%   
CONSUMER DISCRETIONARY - 1.1%   
Automobiles - 0.4%   
General Motors Co.:   
3.5% 10/2/18 5,595 5,757 
5.2% 4/1/45 3,663 3,900 
6.25% 10/2/43 921 1,104 
6.6% 4/1/36 4,528 5,583 
6.75% 4/1/46 7,595 9,747 
General Motors Financial Co., Inc.:   
2.625% 7/10/17 1,780 1,797 
3.15% 1/15/20 19,000 19,399 
3.25% 5/15/18 2,895 2,950 
3.5% 7/10/19 41,541 42,811 
4% 1/15/25 7,674 7,812 
4.2% 3/1/21 10,665 11,254 
4.25% 5/15/23 3,220 3,371 
4.75% 8/15/17 3,095 3,188 
  118,673 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 617 636 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp.:   
2.75% 12/9/20 1,722 1,792 
3.7% 1/30/26 4,539 4,905 
4.7% 12/9/35 2,343 2,688 
4.875% 12/9/45 3,677 4,349 
  13,734 
Media - 0.7%   
21st Century Fox America, Inc.:   
6.15% 2/15/41 6,333 8,216 
7.75% 12/1/45 9,421 14,317 
AOL Time Warner, Inc. 2.95% 7/15/26 23,000 23,460 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 (e) 10,261 11,125 
4.908% 7/23/25 (e) 6,898 7,606 
6.484% 10/23/45 (e) 1,744 2,143 
Discovery Communications LLC 5.05% 6/1/20 204 224 
Thomson Reuters Corp.:   
1.3% 2/23/17 2,082 2,085 
3.85% 9/29/24 5,214 5,585 
Time Warner Cable, Inc.:   
4% 9/1/21 10,989 11,713 
4.5% 9/15/42 3,752 3,630 
5.5% 9/1/41 3,051 3,311 
5.85% 5/1/17 1,829 1,882 
5.875% 11/15/40 7,066 7,882 
6.55% 5/1/37 40,485 48,851 
6.75% 7/1/18 1,974 2,151 
7.3% 7/1/38 7,024 9,122 
8.25% 4/1/19 11,974 13,838 
Time Warner, Inc. 2.1% 6/1/19 12,500 12,683 
Viacom, Inc.:   
2.5% 9/1/18 809 818 
3.5% 4/1/17 264 267 
  190,909 
TOTAL CONSUMER DISCRETIONARY  323,952 
CONSUMER STAPLES - 0.9%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 18,881 19,457 
3.3% 2/1/23 20,335 21,338 
4.7% 2/1/36 19,253 22,316 
4.9% 2/1/46 22,019 26,627 
SABMiller Holdings, Inc. 2.45% 1/15/17 (e) 2,353 2,364 
  92,102 
Food & Staples Retailing - 0.1%   
CVS Health Corp.:   
3.5% 7/20/22 4,494 4,826 
3.875% 7/20/25 7,967 8,776 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,939 4,065 
3.3% 11/18/21 4,671 4,934 
  22,601 
Food Products - 0.1%   
Cargill, Inc. 6% 11/27/17 (e) 572 606 
ConAgra Foods, Inc. 1.9% 1/25/18 2,279 2,295 
William Wrigley Jr. Co.:   
1.4% 10/21/16 (e) 3,710 3,713 
2% 10/20/17 (e) 5,313 5,359 
  11,973 
Tobacco - 0.4%   
Altria Group, Inc.:   
2.625% 1/14/20 12,900 13,394 
4% 1/31/24 3,615 4,057 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (e) 8,553 9,073 
4.25% 7/21/25 (e) 8,553 9,362 
Reynolds American, Inc.:   
2.3% 6/12/18 3,810 3,870 
3.25% 6/12/20 1,695 1,784 
4% 6/12/22 5,830 6,384 
4.45% 6/12/25 4,227 4,744 
4.85% 9/15/23 8,000 9,180 
5.7% 8/15/35 2,194 2,726 
5.85% 8/15/45 16,830 21,949 
6.15% 9/15/43 14,000 18,756 
7.25% 6/15/37 7,569 10,446 
  115,725 
TOTAL CONSUMER STAPLES  242,401 
ENERGY - 2.2%   
Energy Equipment & Services - 0.1%   
DCP Midstream LLC:   
4.75% 9/30/21 (e) 6,909 6,805 
5.35% 3/15/20 (e) 6,814 6,916 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 2,791 3,032 
6.5% 4/1/20 3,517 3,930 
Halliburton Co.:   
3.8% 11/15/25 4,660 4,816 
4.85% 11/15/35 4,069 4,346 
5% 11/15/45 5,575 6,137 
Noble Holding International Ltd.:   
5% 3/16/18 (f) 617 607 
6.95% 4/1/25 (f) 3,936 3,208 
7.95% 4/1/45 (f) 3,799 2,773 
Transocean, Inc. 5.55% 12/15/16 (f) 4,522 4,556 
  47,126 
Oil, Gas & Consumable Fuels - 2.1%   
Anadarko Finance Co. 7.5% 5/1/31 7,359 8,919 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 12,068 12,838 
5.55% 3/15/26 6,563 7,260 
6.375% 9/15/17 1,978 2,069 
6.6% 3/15/46 8,910 10,606 
BP Capital Markets PLC:   
4.5% 10/1/20 1,336 1,475 
4.742% 3/11/21 6,000 6,785 
Canadian Natural Resources Ltd. 1.75% 1/15/18 2,851 2,840 
Cenovus Energy, Inc. 5.7% 10/15/19 6,698 7,194 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,617 1,625 
3.3% 6/1/20 7,911 8,187 
4.5% 6/1/25 2,416 2,613 
DCP Midstream Operating LP:   
2.5% 12/1/17 3,027 3,016 
2.7% 4/1/19 5,369 5,201 
3.875% 3/15/23 2,761 2,623 
4.95% 4/1/22 1,267 1,277 
5.6% 4/1/44 2,216 2,028 
Duke Energy Field Services 6.45% 11/3/36 (e) 6,493 6,282 
El Paso Natural Gas Co. 5.95% 4/15/17 1,572 1,612 
Empresa Nacional de Petroleo 4.375% 10/30/24 (e) 5,615 6,004 
Enable Midstream Partners LP:   
2.4% 5/15/19 1,957 1,912 
3.9% 5/15/24 2,064 1,942 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,103 8,362 
4.375% 10/15/20 5,808 6,052 
Kinder Morgan Energy Partners LP:   
2.65% 2/1/19 804 814 
3.45% 2/15/23 9,672 9,576 
3.95% 9/1/22 6,675 6,909 
6.55% 9/15/40 904 982 
Kinder Morgan, Inc.:   
2% 12/1/17 2,620 2,623 
3.05% 12/1/19 2,353 2,416 
Marathon Petroleum Corp. 5.125% 3/1/21 4,415 4,918 
Motiva Enterprises LLC 5.75% 1/15/20 (e) 1,252 1,377 
MPLX LP 4% 2/15/25 1,190 1,162 
Nakilat, Inc. 6.067% 12/31/33 (e) 2,490 3,008 
Nexen, Inc. 6.2% 7/30/19 2,252 2,517 
Pemex Project Funding Master Trust 5.75% 3/1/18 25,063 26,341 
Petrobras Global Finance BV:   
4.375% 5/20/23 4,137 3,608 
4.875% 3/17/20 23,870 23,393 
5.625% 5/20/43 22,261 17,169 
7.25% 3/17/44 30,172 27,758 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 47,072 45,366 
5.75% 1/20/20 17,949 18,153 
7.875% 3/15/19 2,113 2,255 
Petroleos Mexicanos:   
3.5% 7/18/18 8,047 8,229 
3.5% 7/23/20 8,815 8,925 
3.5% 1/30/23 5,005 4,864 
4.5% 1/23/26 11,915 11,933 
4.875% 1/24/22 1,430 1,489 
4.875% 1/18/24 7,021 7,284 
5.5% 1/21/21 13,423 14,483 
5.5% 6/27/44 19,723 18,737 
5.625% 1/23/46 11,673 11,277 
6% 3/5/20 4,797 5,249 
6.375% 1/23/45 26,396 27,798 
6.5% 6/2/41 8,420 8,926 
6.875% 8/4/26 (e) 13,000 15,113 
8% 5/3/19 3,943 4,462 
Phillips 66 Co.:   
2.95% 5/1/17 1,844 1,865 
4.3% 4/1/22 6,383 7,031 
Phillips 66 Partners LP 2.646% 2/15/20 652 656 
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17 1,940 1,972 
Shell International Finance BV 4.375% 5/11/45 18,896 20,802 
Southeast Supply Header LLC 4.25% 6/15/24 (e) 5,790 5,841 
Southwestern Energy Co.:   
5.8% 1/23/20 (f) 5,591 5,591 
6.7% 1/23/25 (f) 4,632 4,759 
Spectra Energy Capital, LLC 5.65% 3/1/20 1,087 1,174 
Spectra Energy Partners LP 4.6% 6/15/21 1,816 1,960 
Suncor Energy, Inc. 6.1% 6/1/18 623 669 
The Williams Companies, Inc.:   
3.7% 1/15/23 5,046 4,895 
4.55% 6/24/24 25,316 25,886 
Western Gas Partners LP:   
4.65% 7/1/26 2,228 2,310 
5.375% 6/1/21 14,415 15,656 
Williams Partners LP:   
3.6% 3/15/22 6,925 6,913 
3.9% 1/15/25 2,391 2,378 
4% 11/15/21 3,157 3,247 
4.3% 3/4/24 10,014 10,252 
4.5% 11/15/23 3,444 3,573 
  595,266 
TOTAL ENERGY  642,392 
FINANCIALS - 7.3%   
Banks - 3.4%   
Banco Nacional de Desenvolvimento Economico e Social:   
3.375% 9/26/16 (e) 6,350 6,334 
4% 4/14/19 (e) 18,318 18,560 
5.5% 7/12/20 (e) 21,376 22,679 
5.75% 9/26/23 (e) 5,809 6,201 
6.369% 6/16/18 (e) 12,537 13,117 
6.5% 6/10/19 (e) 2,097 2,257 
Bank of America Corp.:   
1.35% 11/21/16 5,398 5,401 
2.6% 1/15/19 57,427 58,696 
3.5% 4/19/26 8,482 8,853 
3.875% 8/1/25 5,598 5,996 
3.95% 4/21/25 11,273 11,733 
4% 1/22/25 2,766 2,880 
4.2% 8/26/24 11,449 12,144 
4.25% 10/22/26 6,748 7,157 
4.45% 3/3/26 1,420 1,528 
5.625% 10/14/16 22,550 22,659 
5.75% 12/1/17 19,000 19,977 
Barclays PLC:   
2% 3/16/18 16,700 16,712 
2.75% 11/8/19 5,728 5,774 
3.25% 1/12/21 8,790 8,958 
4.375% 1/12/26 11,847 12,368 
BB&T Corp. 3.95% 3/22/22 1,805 1,940 
Capital One NA 2.95% 7/23/21 8,837 9,126 
Citigroup, Inc.:   
1.75% 5/1/18 21,658 21,687 
1.8% 2/5/18 17,419 17,482 
1.85% 11/24/17 13,884 13,944 
2.15% 7/30/18 17,815 17,983 
3.875% 3/26/25 17,000 17,534 
4.05% 7/30/22 17,500 18,614 
4.3% 11/20/26 14,000 14,702 
Citizens Bank NA 2.55% 5/13/21 3,064 3,118 
Citizens Financial Group, Inc. 4.15% 9/28/22 (e) 7,659 7,917 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 8,440 8,463 
3.75% 3/26/25 8,440 8,454 
3.8% 9/15/22 13,270 13,540 
3.8% 6/9/23 (e) 16,850 17,094 
Credit Suisse New York Branch 5.4% 1/14/20 1,450 1,590 
Discover Bank 7% 4/15/20 4,144 4,703 
Fifth Third Bancorp:   
2.875% 7/27/20 43,000 44,530 
3.5% 3/15/22 638 673 
4.5% 6/1/18 584 611 
5.45% 1/15/17 4,032 4,093 
HBOS PLC 6.75% 5/21/18 (e) 560 599 
HSBC Holdings PLC 4.25% 3/14/24 3,415 3,555 
Huntington Bancshares, Inc. 7% 12/15/20 3,353 3,905 
Huntington National Bank:   
1.7% 2/26/18 37,500 37,603 
2.2% 4/1/19 3,200 3,233 
2.4% 4/1/20 40,000 40,486 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (e) 5,410 5,104 
5.71% 1/15/26 (e) 13,365 13,093 
JPMorgan Chase & Co.:   
2.75% 6/23/20 10,395 10,699 
2.95% 10/1/26 13,449 13,532 
3.875% 9/10/24 24,177 25,520 
4.125% 12/15/26 82,686 88,613 
KeyCorp. 5.1% 3/24/21 628 709 
Rabobank Nederland 4.375% 8/4/25 13,516 14,301 
Regions Bank 6.45% 6/26/37 12,100 14,743 
Regions Financial Corp. 3.2% 2/8/21 5,563 5,767 
Royal Bank of Canada 4.65% 1/27/26 10,184 11,201 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 65,325 66,093 
6% 12/19/23 12,648 13,378 
6.1% 6/10/23 9,334 9,911 
6.125% 12/15/22 39,429 42,111 
SunTrust Banks, Inc.:   
2.35% 11/1/18 3,000 3,049 
3.5% 1/20/17 4,862 4,895 
Wells Fargo & Co.:   
4.1% 6/3/26 15,000 16,283 
4.48% 1/16/24 6,481 7,178 
  973,343 
Capital Markets - 1.4%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 8,929 8,911 
4.25% 2/15/24 3,357 3,537 
Credit Suisse AG 6% 2/15/18 17,158 18,064 
Deutsche Bank AG 4.5% 4/1/25 27,715 26,169 
Deutsche Bank AG London Branch 2.85% 5/10/19 18,270 18,329 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 24,600 24,658 
2.55% 10/23/19 85,599 87,499 
2.6% 4/23/20 1,000 1,020 
2.625% 1/31/19 30,072 30,843 
2.9% 7/19/18 10,319 10,579 
5.95% 1/18/18 5,343 5,662 
6.15% 4/1/18 3,993 4,276 
Lazard Group LLC:   
4.25% 11/14/20 5,286 5,602 
6.85% 6/15/17 1,319 1,369 
Merrill Lynch & Co., Inc. 6.4% 8/28/17 30,624 32,087 
Morgan Stanley:   
1.875% 1/5/18 7,156 7,192 
2.125% 4/25/18 18,100 18,281 
2.5% 1/24/19 43,150 43,838 
2.65% 1/27/20 2,659 2,727 
4.875% 11/1/22 8,674 9,614 
5.625% 9/23/19 547 608 
5.95% 12/28/17 301 318 
6.625% 4/1/18 1,804 1,944 
Peachtree Corners Funding Trust 3.976% 2/15/25 (e) 10,000 10,083 
UBS AG Stamford Branch:   
1.375% 6/1/17 6,466 6,468 
1.8% 3/26/18 12,466 12,536 
2.375% 8/14/19 12,750 13,010 
UBS Group Funding Ltd. 4.125% 9/24/25 (e) 9,717 10,230 
  415,454 
Consumer Finance - 0.5%   
Capital One Financial Corp. 2.45% 4/24/19 5,260 5,367 
Discover Financial Services:   
3.85% 11/21/22 2,701 2,792 
3.95% 11/6/24 20,000 20,576 
5.2% 4/27/22 2,488 2,727 
6.45% 6/12/17 13,316 13,789 
Ford Motor Credit Co. LLC:   
2.145% 1/9/18 25,000 25,149 
2.875% 10/1/18 11,000 11,270 
5% 5/15/18 10,000 10,538 
5.875% 8/2/21 12,574 14,434 
Hyundai Capital America:   
1.45% 2/6/17 (e) 6,312 6,314 
2.125% 10/2/17 (e) 2,357 2,373 
2.55% 2/6/19 (e) 6,671 6,802 
2.875% 8/9/18 (e) 2,848 2,908 
Synchrony Financial:   
1.875% 8/15/17 1,554 1,557 
3% 8/15/19 2,283 2,334 
3.75% 8/15/21 8,466 8,878 
4.25% 8/15/24 3,469 3,640 
  141,448 
Diversified Financial Services - 0.1%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 11,325 11,347 
3.875% 8/15/22 10,251 10,703 
4.125% 6/15/26 3,990 4,141 
IntercontinentalExchange, Inc.:   
2.75% 12/1/20 3,082 3,213 
3.75% 12/1/25 5,510 6,033 
  35,437 
Insurance - 0.6%   
ACE INA Holdings, Inc. 2.875% 11/3/22 5,658 5,954 
AIA Group Ltd. 2.25% 3/11/19 (e) 1,416 1,434 
American International Group, Inc.:   
3.3% 3/1/21 4,640 4,868 
3.75% 7/10/25 14,847 15,661 
4.875% 6/1/22 11,881 13,301 
5.6% 10/18/16 5,560 5,590 
Aon Corp. 5% 9/30/20 129 143 
Five Corners Funding Trust 4.419% 11/15/23 (e) 9,345 10,087 
Great-West Life & Annuity Insurance Co. 3.3563% 5/16/46 (e)(f) 2,508 2,144 
Hartford Financial Services Group, Inc. 5.375% 3/15/17 685 699 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (e) 6,498 7,034 
5% 6/1/21 (e) 8,525 9,439 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 4,819 5,344 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (e) 9,547 9,691 
Metropolitan Life Global Funding I 1.875% 6/22/18 (e) 7,075 7,147 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (e) 4,915 6,405 
Pacific Life Insurance Co. 9.25% 6/15/39 (e) 3,967 6,266 
Pacific LifeCorp:   
5.125% 1/30/43 (e) 7,709 8,537 
6% 2/10/20 (e) 10,987 12,198 
Prudential Financial, Inc.:   
2.3% 8/15/18 888 902 
4.5% 11/16/21 1,764 1,974 
7.375% 6/15/19 2,520 2,899 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (e) 8,243 9,406 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (e) 1,938 1,990 
4.125% 11/1/24 (e) 2,810 2,957 
Unum Group:   
3.875% 11/5/25 9,271 9,353 
5.625% 9/15/20 3,860 4,319 
5.75% 8/15/42 12,079 13,825 
7.125% 9/30/16 2,076 2,084 
  181,651 
Real Estate Investment Trusts - 0.8%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,369 1,384 
4.6% 4/1/22 2,434 2,634 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,759 1,845 
American Tower Corp. 2.8% 6/1/20 8,000 8,193 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,800 2,971 
Camden Property Trust 2.95% 12/15/22 2,417 2,436 
CommonWealth REIT 5.875% 9/15/20 1,166 1,290 
Corporate Office Properties LP:   
3.7% 6/15/21 4,267 4,401 
5% 7/1/25 4,089 4,408 
DDR Corp.:   
3.625% 2/1/25 3,723 3,776 
4.25% 2/1/26 3,429 3,637 
4.625% 7/15/22 4,470 4,855 
4.75% 4/15/18 6,131 6,390 
7.5% 4/1/17 8,836 9,117 
Duke Realty LP:   
3.25% 6/30/26 1,436 1,474 
3.625% 4/15/23 3,152 3,326 
3.75% 12/1/24 2,549 2,712 
3.875% 10/15/22 5,452 5,804 
4.375% 6/15/22 3,753 4,086 
6.75% 3/15/20 1,339 1,540 
8.25% 8/15/19 2,643 3,102 
Equity One, Inc. 3.75% 11/15/22 8,200 8,399 
Federal Realty Investment Trust 5.9% 4/1/20 1,971 2,242 
HCP, Inc.:   
3.15% 8/1/22 7,000 7,057 
3.875% 8/15/24 13,000 13,302 
Health Care REIT, Inc.:   
2.25% 3/15/18 2,600 2,623 
4% 6/1/25 6,098 6,524 
4.125% 4/1/19 13,700 14,434 
4.7% 9/15/17 843 871 
HRPT Properties Trust:   
6.25% 6/15/17 996 1,008 
6.65% 1/15/18 676 701 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,249 2,308 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 11,855 12,088 
4.5% 1/15/25 2,128 2,160 
4.5% 4/1/27 34,977 35,374 
4.95% 4/1/24 2,101 2,197 
5.25% 1/15/26 10,420 11,189 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,583 1,601 
5% 12/15/23 1,140 1,221 
Weingarten Realty Investors 3.375% 10/15/22 1,228 1,255 
WP Carey, Inc. 4% 2/1/25 9,404 9,390 
  215,325 
Real Estate Management & Development - 0.5%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,304 7,474 
4.1% 10/1/24 6,548 6,738 
4.55% 10/1/29 6,548 6,840 
4.95% 4/15/18 4,846 5,065 
5.7% 5/1/17 309 318 
Digital Realty Trust LP:   
3.4% 10/1/20 9,100 9,484 
3.95% 7/1/22 5,752 6,084 
4.75% 10/1/25 6,539 7,129 
5.25% 3/15/21 4,138 4,664 
Essex Portfolio LP 5.5% 3/15/17 3,921 4,001 
Liberty Property LP:   
3.375% 6/15/23 3,313 3,374 
4.125% 6/15/22 3,219 3,391 
4.75% 10/1/20 8,747 9,474 
5.5% 12/15/16 2,529 2,559 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,556 4,575 
3.15% 5/15/23 7,438 6,924 
4.5% 4/18/22 2,016 2,061 
7.75% 8/15/19 2,476 2,781 
Mid-America Apartments LP:   
4% 11/15/25 2,248 2,408 
4.3% 10/15/23 1,248 1,353 
Post Apartment Homes LP 3.375% 12/1/22 1,364 1,398 
Tanger Properties LP:   
3.125% 9/1/26 4,924 4,918 
3.75% 12/1/24 4,790 5,026 
3.875% 12/1/23 2,716 2,877 
6.125% 6/1/20 9,597 10,901 
Ventas Realty LP:   
1.25% 4/17/17 3,126 3,126 
3.125% 6/15/23 2,534 2,583 
3.5% 2/1/25 2,833 2,935 
3.75% 5/1/24 7,900 8,285 
4.125% 1/15/26 2,782 3,011 
4.375% 2/1/45 1,322 1,371 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 4,056 4,080 
4% 4/30/19 1,999 2,102 
  149,310 
TOTAL FINANCIALS  2,111,968 
HEALTH CARE - 0.8%   
Biotechnology - 0.1%   
AbbVie, Inc.:   
1.75% 11/6/17 6,470 6,499 
3.2% 11/6/22 8,127 8,492 
3.6% 5/14/25 12,082 12,776 
  27,767 
Health Care Providers & Services - 0.3%   
Express Scripts Holding Co.:   
3.9% 2/15/22 1,915 2,063 
4.75% 11/15/21 17,355 19,515 
HCA Holdings, Inc.:   
3.75% 3/15/19 11,874 12,245 
4.25% 10/15/19 20,200 21,185 
4.75% 5/1/23 375 392 
5.875% 3/15/22 450 495 
6.5% 2/15/20 12,966 14,327 
McKesson Corp. 2.284% 3/15/19 6,400 6,524 
Medco Health Solutions, Inc. 4.125% 9/15/20 5,031 5,421 
UnitedHealth Group, Inc.:   
3.35% 7/15/22 3,113 3,350 
3.75% 7/15/25 8,581 9,504 
WellPoint, Inc. 1.875% 1/15/18 195 196 
  95,217 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
1.3% 2/1/17 1,745 1,746 
2.4% 2/1/19 1,100 1,121 
3.3% 2/15/22 13,389 14,054 
  16,921 
Pharmaceuticals - 0.3%   
Actavis Funding SCS:   
1.3% 6/15/17 12,949 12,914 
2.45% 6/15/19 3,839 3,907 
3% 3/12/20 7,106 7,345 
3.45% 3/15/22 12,371 12,947 
Mylan N.V.:   
2.5% 6/7/19 (e) 4,811 4,872 
3.15% 6/15/21 (e) 9,840 10,058 
Mylan, Inc. 1.35% 11/29/16 2,039 2,041 
Perrigo Co. PLC:   
1.3% 11/8/16 1,664 1,665 
2.3% 11/8/18 1,780 1,789 
Perrigo Finance PLC:   
3.5% 12/15/21 1,752 1,798 
3.9% 12/15/24 2,611 2,643 
4.9% 12/15/44 1,145 1,179 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 6,966 6,968 
2.8% 7/21/23 4,987 5,007 
3.15% 10/1/26 5,937 5,977 
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 2,149 2,159 
Zoetis, Inc. 1.875% 2/1/18 992 994 
  84,263 
TOTAL HEALTH CARE  224,168 
INDUSTRIALS - 0.2%   
Aerospace & Defense - 0.0%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (e) 5,000 5,566 
Airlines - 0.1%   
Continental Airlines, Inc.:   
6.648% 3/15/19 699 714 
6.9% 7/2/19 221 227 
Southwest Airlines Co. 2.75% 11/6/19 14,700 15,152 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 1,174 1,210 
8.36% 1/20/19 892 931 
  18,234 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,829 1,868 
Trading Companies & Distributors - 0.1%   
Air Lease Corp.:   
2.125% 1/15/18 3,319 3,322 
2.625% 9/4/18 8,396 8,445 
3.375% 6/1/21 4,953 5,126 
3.75% 2/1/22 7,839 8,188 
3.875% 4/1/21 6,320 6,660 
4.25% 9/15/24 5,492 5,773 
4.75% 3/1/20 5,518 5,959 
  43,473 
TOTAL INDUSTRIALS  69,141 
INFORMATION TECHNOLOGY - 0.2%   
Electronic Equipment & Components - 0.0%   
Tyco Electronics Group SA:   
2.375% 12/17/18 1,262 1,285 
6.55% 10/1/17 1,119 1,180 
  2,465 
IT Services - 0.0%   
Xerox Corp. 2.95% 3/15/17 1,143 1,151 
Technology Hardware, Storage & Peripherals - 0.2%   
Apple, Inc. 4.375% 5/13/45 18,876 21,171 
Hewlett Packard Enterprise Co.:   
3.6% 10/15/20 (e) 8,781 9,175 
4.9% 10/15/25 (e) 8,781 9,364 
6.35% 10/15/45 (e) 8,781 9,062 
  48,772 
TOTAL INFORMATION TECHNOLOGY  52,388 
MATERIALS - 0.2%   
Metals & Mining - 0.2%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (e)(f) 3,645 3,982 
6.75% 10/19/75 (e)(f) 9,054 10,322 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.875% 11/3/21 (e) 8,722 9,229 
4.5% 8/13/23 (Reg. S) 10,600 11,363 
4.875% 11/4/44 (e) 2,152 2,238 
4.875% 11/4/44 (Reg. S) 5,050 5,251 
  42,385 
TELECOMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.6%   
AT&T, Inc.:   
2.45% 6/30/20 5,759 5,875 
3.6% 2/17/23 13,016 13,740 
4.8% 6/15/44 18,630 19,800 
BellSouth Capital Funding Corp. 7.875% 2/15/30 61 84 
CenturyLink, Inc.:   
5.15% 6/15/17 487 499 
6% 4/1/17 3,467 3,558 
6.15% 9/15/19 4,463 4,842 
Embarq Corp. 7.995% 6/1/36 28,166 29,205 
Verizon Communications, Inc.:   
2.625% 2/21/20 9,818 10,126 
4.5% 9/15/20 45,631 50,356 
5.012% 8/21/54 23,143 25,375 
6.1% 4/15/18 4,897 5,271 
6.25% 4/1/37 4,611 5,919 
  174,650 
Wireless Telecommunication Services - 0.0%   
America Movil S.A.B. de CV 2.375% 9/8/16 371 371 
TOTAL TELECOMMUNICATION SERVICES  175,021 
UTILITIES - 0.8%   
Electric Utilities - 0.7%   
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (e) 5,539 6,252 
6.4% 9/15/20 (e) 14,254 16,165 
Edison International 3.75% 9/15/17 4,499 4,618 
Entergy Corp. 4% 7/15/22 8,700 9,354 
Eversource Energy 1.45% 5/1/18 1,676 1,677 
Exelon Corp.:   
1.55% 6/9/17 1,687 1,690 
3.95% 6/15/25 7,948 8,682 
FirstEnergy Corp.:   
2.75% 3/15/18 11,918 12,037 
4.25% 3/15/23 27,079 28,637 
7.375% 11/15/31 43,919 57,302 
FirstEnergy Solutions Corp. 6.05% 8/15/21 12,120 10,534 
IPALCO Enterprises, Inc. 3.45% 7/15/20 13,932 14,280 
LG&E and KU Energy LLC 3.75% 11/15/20 1,034 1,109 
Nevada Power Co. 6.5% 8/1/18 2,642 2,893 
NV Energy, Inc. 6.25% 11/15/20 1,957 2,301 
Pennsylvania Electric Co. 6.05% 9/1/17 618 643 
PG&E Corp. 2.4% 3/1/19 931 949 
Progress Energy, Inc. 4.4% 1/15/21 405 444 
TECO Finance, Inc. 5.15% 3/15/20 164 180 
West Penn Power Co. 5.95% 12/15/17 (e) 6,500 6,821 
  186,568 
Gas Utilities - 0.0%   
Southern Natural Gas Co. 5.9% 4/1/17 (e)(f) 357 366 
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,473 2,648 
Texas Eastern Transmission LP 6% 9/15/17 (e) 1,301 1,356 
  4,370 
Independent Power and Renewable Electricity Producers - 0.0%   
Emera U.S. Finance LP:   
2.15% 6/15/19 (e) 2,358 2,386 
2.7% 6/15/21 (e) 2,321 2,373 
3.55% 6/15/26 (e) 3,712 3,907 
  8,666 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
2.9311% 9/30/66 (f) 20,448 16,154 
3.4561% 6/30/66 (f) 5,485 4,827 
NiSource Finance Corp.:   
5.45% 9/15/20 6,455 7,264 
6.4% 3/15/18 1,206 1,290 
6.8% 1/15/19 4,065 4,538 
Puget Energy, Inc. 6% 9/1/21 813 938 
Wisconsin Energy Corp. 6.25% 5/15/67 (f) 4,882 4,174 
  39,185 
TOTAL UTILITIES  238,789 
TOTAL NONCONVERTIBLE BONDS   
(Cost $3,954,799)  4,122,605 
U.S. Government and Government Agency Obligations - 5.9%   
U.S. Treasury Inflation-Protected Obligations - 1.8%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $120,189 $124,975 
1% 2/15/46 25,137 28,013 
1.375% 2/15/44 100,831 120,381 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/26 71,899 71,997 
0.25% 1/15/25 64,139 64,694 
0.625% 1/15/26 101,442 105,746 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  515,806 
U.S. Treasury Obligations - 4.1%   
U.S. Treasury Bills, yield at date of purchase 0.29% to 0.31% 10/13/16 to 11/17/16 (g) 8,120 8,117 
U.S. Treasury Bonds:   
2.25% 8/15/46 57,522 57,724 
3% 5/15/45 73,170 85,166 
3% 11/15/45 85,886 100,061 
U.S. Treasury Notes:   
1.125% 8/31/21 240,947 240,100 
1.25% 3/31/21 (h) 365,279 366,278 
1.375% 4/30/21 94,330 95,082 
1.375% 8/31/23 218,580 217,444 
TOTAL U.S. TREASURY OBLIGATIONS  1,169,972 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,640,860)  1,685,778 
U.S. Government Agency - Mortgage Securities - 1.0%   
Fannie Mae - 0.5%   
2.5% 9/1/27 to 4/1/43 12,944 13,363 
2.803% 6/1/36 (f) 130 136 
3% 10/1/30 to 8/1/45 27,151 28,357 
3.005% 7/1/37 (f) 245 260 
3.5% 9/1/29 to 6/1/46 45,751 48,637 
3.5% 9/1/46 (i) 600 632 
4% 11/1/31 to 4/1/46 22,219 23,944 
4% 9/1/46 (i) 4,550 4,873 
4.5% 12/1/23 to 6/1/41 1,015 1,106 
5% 7/1/33 to 11/1/44 10,434 11,624 
5.5% 9/1/24 to 9/1/41 13,500 15,126 
6% 6/1/35 to 8/1/37 3,667 4,212 
6.5% 7/1/32 to 8/1/36 744 868 
TOTAL FANNIE MAE  153,138 
Freddie Mac - 0.3%   
2.5% 7/1/31 553 573 
3% 4/1/31 to 7/1/45 19,034 19,865 
3.5% 4/1/43 to 4/1/46 19,743 20,902 
3.581% 10/1/35 (f) 126 135 
4% 6/1/24 to 2/1/46 22,143 23,878 
4.5% 7/1/25 to 4/1/41 9,346 10,257 
5% 3/1/19 to 7/1/41 3,633 4,057 
5.5% 1/1/34 to 3/1/40 744 844 
6% 7/1/37 to 8/1/37 216 247 
6.5% 3/1/36 585 681 
TOTAL FREDDIE MAC  81,439 
Ginnie Mae - 0.2%   
3% 12/20/42 to 1/20/43 1,710 1,799 
3.5% 11/20/41 to 6/20/46 22,066 23,546 
3.5% 9/1/46 (i) 680 721 
4% 9/20/40 to 7/20/45 9,947 10,724 
4.5% 4/20/41 2,047 2,244 
5% 5/15/39 818 922 
5.5% 12/15/31 to 1/15/39 1,814 2,088 
TOTAL GINNIE MAE  42,044 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $271,131)  276,621 
Asset-Backed Securities - 0.1%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1929% 4/25/35 (f) $729 $680 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.1744% 3/25/34 (f) 247 237 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1.5379% 12/25/33 (f) 46 43 
Series 2004-R2 Class M3, 1.3129% 4/25/34 (f) 99 75 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1.2679% 3/25/34 (f) 53 48 
Series 2004-W11 Class M2, 1.5744% 11/25/34 (f) 616 596 
Series 2004-W7 Class M1, 1.3129% 5/25/34 (f) 1,460 1,343 
Series 2006-W4 Class A2C, 0.6844% 5/25/36 (f) 1,238 423 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1.3494% 4/25/34 (f) 1,710 1,480 
Series 2006-HE2 Class M1, 0.8944% 3/25/36 (f) 18 3 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.71% 4/20/20 10,478 10,495 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.6644% 12/25/36 (f) 1,978 1,135 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1.9794% 4/25/34 (f) 65 58 
Series 2004-4 Class M2, 1.3194% 6/25/34 (f) 99 92 
Series 2004-7 Class AF5, 5.868% 1/25/35 (f) 1,248 1,285 
Fannie Mae Series 2004-T5 Class AB3, 1.1662% 5/28/35 (f) 43 37 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6994% 8/25/34 (f) 313 296 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.3494% 3/25/34 (f) 10 8 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1.2594% 1/25/35 (f) 1,041 894 
Class M4, 1.5444% 1/25/35 (f) 381 204 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.2054% 2/25/47 (e)(f) 1,115 926 
GE Business Loan Trust Series 2006-2A:   
Class A, 0.6877% 11/15/34 (e)(f) 528 489 
Class B, 0.7877% 11/15/34 (e)(f) 191 170 
Class C, 0.8877% 11/15/34 (e)(f) 317 278 
Class D, 1.2577% 11/15/34 (e)(f) 120 103 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1.8444% 8/25/33 (f) 248 231 
Series 2003-3 Class M1, 1.8144% 8/25/33 (f) 446 418 
Series 2003-5 Class A2, 1.2244% 12/25/33 (f) 36 33 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.7144% 1/25/37 (f) 1,642 1,150 
Invitation Homes Trust Series 2015-SFR3 Class E, 4.2321% 8/17/32 (e)(f) 2,593 2,602 
JPMorgan Mortgage Acquisition Trust Series 2006-NC2 Class M2, 0.7879% 7/25/36 (f) 2,536 1,175 
KeyCorp Student Loan Trust:   
Series 1999-A Class A2, 0.9601% 12/27/29 (f) 37 37 
Series 2006-A Class 2C, 1.7901% 3/27/42 (f) 2,909 1,436 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.8244% 5/25/37 (f) 297 7 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.2744% 7/25/34 (f) 101 84 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1.4994% 7/25/34 (f) 182 172 
Series 2006-FM1 Class A2B, 0.5979% 4/25/37 (f) 40 35 
Series 2006-OPT1 Class A1A, 1.0444% 6/25/35 (f) 1,431 1,378 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1.2044% 8/25/34 (f) 63 54 
Series 2005-NC1 Class M1, 1.1844% 1/25/35 (f) 224 201 
Series 2005-NC2 Class B1, 2.2794% 3/25/35 (f) 171 4 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.0344% 9/25/35 (f) 1,566 1,474 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 2.3994% 9/25/34 (f) 585 534 
Class M4, 2.6994% 9/25/34 (f) 750 466 
Series 2005-WCH1 Class M4, 1.7694% 1/25/36 (f) 1,620 1,442 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.3244% 4/25/33 (f) 6 5 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2829% 3/25/35 (f) 703 653 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.6025% 6/15/33 (f) 474 449 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.2494% 9/25/34 (f) 41 36 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.3844% 9/25/34 (f) 32 28 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1901% 4/6/42 (e)(f) 2,120 933 
TOTAL ASSET-BACKED SECURITIES   
(Cost $29,998)  36,435 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.0844% 1/25/35 (f) 914 883 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.7843% 10/25/34 (f) 385 382 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.9609% 8/25/36 (f) 911 820 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6944% 2/25/37 (f) 661 609 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.8144% 7/25/35 (f) 794 767 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 2.8243% 6/10/35 (e)(f) 307 252 
Class B6, 3.3243% 6/10/35 (e)(f) 65 49 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.8046% 7/20/34 (f) 23 23 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.28% 4/25/33 (f) 45 45 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.7244% 9/25/36 (f) 993 977 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.1644% 9/25/43 (f) 1,776 1,709 
TOTAL PRIVATE SPONSOR  6,516 
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) 11,471 11,445 
Series 2015-H21 Class JA, 2.5% 6/20/65 (j) 12,144 12,282 
TOTAL U.S. GOVERNMENT AGENCY  23,727 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $29,175)  30,243 
Commercial Mortgage Securities - 1.4%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4918% 2/14/43 (f)(k) 196 0 
Banc of America Commercial Mortgage Trust:   
sequential payer Series 2006-3 Class A4, 5.889% 7/10/44 (f) 309 308 
Series 2007-2 Class A4, 5.6241% 4/10/49 (f) 20,060 20,219 
Series 2007-3 Class A4, 5.5433% 6/10/49 (f) 1,929 1,956 
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 3,640 3,667 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI:   
Class B, 2.1077% 5/15/32 (e)(f) 7,236 7,121 
Class C, 2.5577% 5/15/32 (e)(f) 6,417 6,351 
Class D, 3.4077% 5/15/32 (e)(f) 3,365 3,307 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1.7994% 12/25/33 (e)(f) 29 27 
Series 2005-3A:   
Class A2, 0.9244% 11/25/35 (e)(f) 286 245 
Class M1, 0.9644% 11/25/35 (e)(f) 37 32 
Class M2, 1.0144% 11/25/35 (e)(f) 48 38 
Class M3, 1.0344% 11/25/35 (e)(f) 43 33 
Class M4, 1.1244% 11/25/35 (e)(f) 53 40 
Series 2005-4A:   
Class A2, 0.9144% 1/25/36 (e)(f) 739 635 
Class B1, 1.9244% 1/25/36 (e)(f) 32 25 
Class M1, 0.9744% 1/25/36 (e)(f) 238 197 
Class M2, 0.9944% 1/25/36 (e)(f) 71 58 
Class M3, 1.0244% 1/25/36 (e)(f) 104 85 
Class M4, 1.1344% 1/25/36 (e)(f) 58 46 
Class M5, 1.1744% 1/25/36 (e)(f) 58 44 
Class M6, 1.2244% 1/25/36 (e)(f) 61 46 
Series 2006-1:   
Class A2, 0.8844% 4/25/36 (e)(f) 116 99 
Class M1, 0.9044% 4/25/36 (e)(f) 41 34 
Class M2, 0.9244% 4/25/36 (e)(f) 44 36 
Class M3, 0.9444% 4/25/36 (e)(f) 38 30 
Class M4, 1.0444% 4/25/36 (e)(f) 21 17 
Class M5, 1.0844% 4/25/36 (e)(f) 21 16 
Class M6, 1.1644% 4/25/36 (e)(f) 41 32 
Series 2006-2A:   
Class M1, 0.8344% 7/25/36 (e)(f) 99 79 
Class M2, 0.8544% 7/25/36 (e)(f) 70 55 
Class M3, 0.8744% 7/25/36 (e)(f) 58 45 
Class M4, 0.9444% 7/25/36 (e)(f) 39 30 
Class M5, 0.9944% 7/25/36 (e)(f) 48 37 
Series 2006-3A Class M4, 0.9544% 10/25/36 (e)(f) 31 23 
Series 2006-4A:   
Class A2, 0.7944% 12/25/36 (e)(f) 2,192 1,828 
Class M1, 0.8144% 12/25/36 (e)(f) 146 101 
Class M2, 0.8344% 12/25/36 (e)(f) 97 59 
Class M3, 0.8644% 12/25/36 (e)(f) 98 52 
Series 2007-1 Class A2, 0.7944% 3/25/37 (e)(f) 438 370 
Series 2007-2A:   
Class A1, 0.7944% 7/25/37 (e)(f) 469 403 
Class A2, 0.8444% 7/25/37 (e)(f) 440 350 
Class M1, 0.8944% 7/25/37 (e)(f) 154 117 
Class M2, 0.9344% 7/25/37 (e)(f) 85 60 
Class M3, 1.0144% 7/25/37 (e)(f) 66 47 
Series 2007-3:   
Class A2, 0.8144% 7/25/37 (e)(f) 461 366 
Class M1, 0.8344% 7/25/37 (e)(f) 92 70 
Class M2, 0.8644% 7/25/37 (e)(f) 98 71 
Class M3, 0.8944% 7/25/37 (e)(f) 154 104 
Class M4, 1.0244% 7/25/37 (e)(f) 242 162 
Class M5, 1.1244% 7/25/37 (e)(f) 119 59 
Series 2007-4A Class M1, 1.4379% 9/25/37 (e)(f) 78 25 
Series 2004-1, Class IO, 1.25% 4/25/34 (e)(k) 978 37 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(f)(k) 14,031 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer:   
Series 2007-PW16 Class A4, 5.7197% 6/11/40 (f) 563 574 
Series 2007-PW18 Class A4, 5.7% 6/11/50 5,318 5,462 
C-BASS Trust floater Series 2006-SC1 Class A, 0.7579% 5/25/36 (e)(f) 62 61 
CDGJ Commercial Mortgage Trust Series 2014-BXCH Class DPA, 3.6801% 12/15/27 (e)(f) 2,799 2,768 
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7119% 12/10/49 (f) 4,371 4,459 
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer:   
Series 2006-CD3 Class A5, 5.617% 10/15/48 226 226 
Series 2007-CD4 Class A4, 5.322% 12/11/49 7,171 7,200 
COMM Mortgage Trust pass-thru certificates floater Series 2005-F10A Class J, 1.3577% 4/15/17 (e)(f) 138 138 
Credit Suisse Commercial Mortgage Trust:   
sequential payer Series 2007-C3 Class A4, 5.6994% 6/15/39 (f) 410 415 
Series 2007-C5 Class A4, 5.695% 9/15/40 (f) 869 891 
CSMC Series 2015-TOWN:   
Class B, 2.4077% 3/15/17 (e)(f) 1,574 1,546 
Class C, 2.7577% 3/15/17 (e)(f) 1,534 1,502 
Class D, 3.7077% 3/15/17 (e)(f) 2,321 2,276 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.4949% 12/15/34 (e)(f) 7,930 8,198 
Class CFX, 3.4949% 12/15/34 (e)(f) 6,656 6,790 
Class DFX, 3.4949% 12/15/34 (e)(f) 5,641 5,677 
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 21,243 21,472 
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 25,651 25,797 
GS Mortgage Securities Trust sequential payer Series 2006-GG8:   
Class A1A, 5.547% 11/10/39 576 575 
Class A4, 5.56% 11/10/39 439 438 
Hilton U.S.A. Trust Series 2013-HLT:   
Class CFX, 3.7141% 11/5/30 (e) 1,380 1,384 
Class DFX, 4.4065% 11/5/30 (e) 12,899 12,941 
JPMorgan Chase Commercial Mortgage Securities Trust:   
floater Series 2014-BXH:   
Class C, 2.1577% 4/15/27 (e)(f) 2,117 2,076 
Class D, 2.7577% 4/15/27 (e)(f) 4,512 4,394 
sequential payer:   
Series 2006-CB17 Class A4, 5.429% 12/12/43 407 407 
Series 2006-LDP9 Class A3, 5.336% 5/15/47 6,973 6,988 
Series 2007-CB18 Class A4, 5.44% 6/12/47 3,373 3,398 
Series 2007-CB19 Class A4, 5.6986% 2/12/49 (f) 4,508 4,578 
Series 2007-LD11 Class A4, 5.7416% 6/15/49 (f) 32,808 33,333 
Series 2007-LDPX Class A3, 5.42% 1/15/49 13,583 13,720 
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (f) 11 0 
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9184% 7/15/44 (f) 2,827 2,906 
LB-UBS Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C1 Class A4, 5.424% 2/15/40 1,696 1,706 
Series 2007-C2 Class A3, 5.43% 2/15/40 1,446 1,460 
Series 2007-C6 Class A4, 5.858% 7/15/40 (f) 1,234 1,254 
Series 2007-C7 Class A3, 5.866% 9/15/45 2,850 2,957 
Merrill Lynch Mortgage Trust:   
Series 2005-LC1 Class F, 5.4984% 1/12/44 (e)(f) 296 295 
Series 2008-C1 Class A4, 5.69% 2/12/51 1,940 1,999 
Merrill Lynch-CFC Commercial Mortgage Trust:   
sequential payer:   
Series 2007-5 Class A4, 5.378% 8/12/48 6,257 6,294 
Series 2007-6 Class A4, 5.485% 3/12/51 (f) 10,897 11,027 
Series 2007-7 Class A4, 5.7387% 6/12/50 (f) 4,055 4,132 
Series 2007-8 Class A3, 5.8755% 8/12/49 (f) 1,104 1,131 
Morgan Stanley Capital I Trust:   
floater Series 2006-XLF Class C, 1.708% 7/15/19 (e)(f) 393 392 
sequential payer Series 2007-IQ15 Class A4, 5.9056% 6/11/49 (f) 21,271 21,891 
Series 2007-IQ14:   
Class A4, 5.692% 4/15/49 10,971 11,102 
Class AAB, 5.654% 4/15/49 210 210 
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (e) 162 78 
Wachovia Bank Commercial Mortgage Trust:   
sequential payer:   
Series 2007-C30 Class A5, 5.342% 12/15/43 37,013 37,315 
Series 2007-C31:   
Class A4, 5.509% 4/15/47 38,092 38,510 
Class A5, 5.5% 4/15/47 5,339 5,443 
Series 2007-C32 Class A3, 5.7021% 6/15/49 (f) 4,600 4,704 
Series 2007-C33:   
Class A4, 5.9484% 2/15/51 (f) 24,729 25,131 
Class A5, 5.9484% 2/15/51 (f) 870 895 
Series 2007-C30:   
Class C, 5.483% 12/15/43 (f) 3,942 3,528 
Class D, 5.513% 12/15/43 (f) 2,102 1,797 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $421,428)  415,135 
Municipal Securities - 1.2%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,255 $1,949 
7.3% 10/1/39 18,960 29,340 
7.5% 4/1/34 8,780 13,552 
7.55% 4/1/39 21,130 34,431 
7.625% 3/1/40 2,920 4,714 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,360 1,375 
Series 2010 C1, 7.781% 1/1/35 13,980 16,089 
Series 2012 B, 5.432% 1/1/42 6,845 6,323 
6.05% 1/1/29 475 492 
6.314% 1/1/44 14,335 14,586 
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 38,500 39,236 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,205 3,273 
4.95% 6/1/23 8,975 9,470 
5.1% 6/1/33 85,900 83,751 
Series 2010-1, 6.63% 2/1/35 17,960 19,697 
Series 2010-3:   
5.547% 4/1/19 185 197 
6.725% 4/1/35 10,580 11,621 
7.35% 7/1/35 5,140 5,921 
Series 2010-5, 6.2% 7/1/21 4,120 4,470 
Series 2011:   
5.365% 3/1/17 215 219 
5.665% 3/1/18 9,625 10,114 
5.877% 3/1/19 26,600 28,859 
Series 2013, 4% 12/1/20 7,040 7,295 
TOTAL MUNICIPAL SECURITIES   
(Cost $328,655)  346,974 
Foreign Government and Government Agency Obligations - 0.0%   
Brazilian Federative Republic 4.875% 1/22/21
(Cost $3,151) 		$3,000 $3,188 
Bank Notes - 0.3%   
Capital One NA 1.65% 2/5/18 8,000 8,011 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $10,936 $11,234 
3.1% 6/4/20 11,505 11,836 
8.7% 11/18/19 745 864 
Huntington National Bank 1.3% 11/20/16 4,131 4,133 
Marshall & Ilsley Bank 5% 1/17/17 10,492 10,620 
RBS Citizens NA 2.5% 3/14/19 5,410 5,491 
Regions Bank 7.5% 5/15/18 13,814 15,083 
Wachovia Bank NA 6% 11/15/17 8,083 8,520 
TOTAL BANK NOTES   
(Cost $74,288)  75,792 
 Shares Value (000s) 
Fixed-Income Funds - 10.0%   
Fidelity High Income Central Fund 2 (l) 6,372,306 $706,179 
Fidelity Mortgage Backed Securities Central Fund (l) 19,729,146 2,185,003 
TOTAL FIXED-INCOME FUNDS   
(Cost $2,749,253)  2,891,182 
Money Market Funds - 2.6%   
Fidelity Cash Central Fund, 0.42% (m) 715,640,758 715,641 
Fidelity Securities Lending Cash Central Fund 0.44% (m)(n) 42,734,275 42,734 
TOTAL MONEY MARKET FUNDS   
(Cost $758,375)  758,375 
TOTAL INVESTMENT PORTFOLIO - 99.9%   
(Cost $24,702,645)  28,801,084 
NET OTHER ASSETS (LIABILITIES) - 0.1%  23,709 
NET ASSETS - 100%  $28,824,793 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
2.5% 9/1/31   
(Proceeds $2,583) $(2,500) $(2,582) 

Futures Contracts    
 Expiration Date Underlying Face Amount at Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased    
Equity Index Contracts    
1,834 CME E-mini S&P 500 Index Contracts (United States) Sept. 2016 198,943 $2,382 

The face value of futures purchased as a percentage of Net Assets is 0.7%

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 $(153) $0 $(153) 

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

 (c) Affiliated company

 (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 $2,522,000 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 $542,053,000 or 1.9% 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 was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $8,117,000.

 (h) 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.

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

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

 (n) 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) 
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 $1,920 
Fidelity High Income Central Fund 2 43,768 
Fidelity Mortgage Backed Securities Central Fund 44,263 
Fidelity Securities Lending Cash Central Fund 1,632 
Total $91,583 

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 $-- $-- $706,179 82.8% 
Fidelity Mortgage Backed Securities Central Fund 1,563,842 745,239 150,041 2,185,003 29.9% 
Total $2,263,521 $745,239 $150,041 $2,891,182  

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 $-- $60,803 $879 $1,597 $37,297 
Opower, Inc. 25,294 976 29,750 -- -- 
Sunrun, Inc. -- 33,921 -- -- 32,153 
Total $25,294 $95,700 $30,629 $1,597 $69,450 

Investment Valuation

The following is a summary of the inputs used, as of August 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. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,352,803 $2,352,803 $-- $-- 
Consumer Staples 1,830,849 1,830,849 -- -- 
Energy 1,252,564 1,252,564 -- -- 
Financials 3,088,146 3,080,999 7,147 -- 
Health Care 2,852,805 2,852,805 -- -- 
Industrials 1,654,592 1,654,592 -- -- 
Information Technology 3,508,618 3,486,139 19,957 2,522 
Materials 540,240 540,240 -- -- 
Telecommunication Services 474,166 474,166 -- -- 
Utilities 603,973 603,973 -- -- 
Corporate Bonds 4,122,605 -- 4,122,605 -- 
U.S. Government and Government Agency Obligations 1,685,778 -- 1,685,778 -- 
U.S. Government Agency - Mortgage Securities 276,621 -- 276,621 -- 
Asset-Backed Securities 36,435 -- 31,113 5,322 
Collateralized Mortgage Obligations 30,243 -- 30,243 -- 
Commercial Mortgage Securities 415,135 -- 414,576 559 
Municipal Securities 346,974 -- 346,974 -- 
Foreign Government and Government Agency Obligations 3,188 -- 3,188 -- 
Bank Notes 75,792 -- 75,792 -- 
Fixed-Income Funds 2,891,182 2,891,182 -- -- 
Money Market Funds 758,375 758,375 -- -- 
Total Investments in Securities: $28,801,084 $21,778,687 $7,013,994 $8,403 
Derivative Instruments:     
Assets     
Futures Contracts $2,382 $2,382 $-- $-- 
Total Assets $2,382 $2,382 $-- $-- 
Liabilities     
Swaps $(153) $-- $(153) $-- 
Total Liabilities $(153) $-- $(153) $-- 
Total Derivative Instruments: $2,229 $2,382 $(153) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(2,582) $-- $(2,582) $-- 
Total Other Financial Instruments: $(2,582) $-- $(2,582) $-- 

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
Credit Risk   
Swaps(a) $0 $(153) 
Total Credit Risk 0 (153) 
Equity Risk   
Futures Contracts(b) 2,382 0 
Total Equity Risk 2,382 0 
Total Value of Derivatives $2,382 $(153) 

 (a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.

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


Other Information

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

U.S. Government and U.S. Government Agency Obligations 15.0% 
AAA,AA,A 4.1% 
BBB 9.6% 
BB 3.9% 
B 1.5% 
CCC,CC,C 0.5% 
D 0.0% 
Not Rated 0.0% 
Equities 63.0% 
Short-Term Investments and Net Other Assets 2.4% 

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

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

United States of America 89.3% 
Ireland 1.9% 
United Kingdom 1.6% 
Netherlands 1.1% 
Others (Individually Less Than 1%) 6.1% 
 100.0% 

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

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

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2016 
Assets   
Investment in securities, at value (including securities loaned of $40,814) — See accompanying schedule:
Unaffiliated issuers (cost $21,101,187) 		$25,082,077  
Fidelity Central Funds (cost $3,507,628) 3,649,557  
Other affiliated issuers (cost $93,830) 69,450  
Total Investments (cost $24,702,645)  $28,801,084 
Receivable for investments sold  61,280 
Receivable for TBA sale commitments  2,583 
Receivable for fund shares sold  20,621 
Dividends receivable  26,077 
Interest receivable  55,906 
Distributions receivable from Fidelity Central Funds  7,882 
Prepaid expenses  93 
Other receivables  2,768 
Total assets  28,978,294 
Liabilities   
Payable to custodian bank $2,788  
Payable for investments purchased   
Regular delivery 68,589  
Delayed delivery 6,222  
TBA sale commitments, at value 2,582  
Payable for fund shares redeemed 16,279  
Bi-lateral OTC swaps, at value 153  
Accrued management fee 9,570  
Payable for daily variation margin for derivative instruments 523  
Other affiliated payables 2,904  
Other payables and accrued expenses 1,157  
Collateral on securities loaned, at value 42,734  
Total liabilities  153,501 
Net Assets  $28,824,793 
Net Assets consist of:   
Paid in capital  $24,570,180 
Undistributed net investment income  100,926 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  53,073 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  4,100,614 
Net Assets  $28,824,793 
Balanced:   
Net Asset Value, offering price and redemption price per share ($20,840,389 ÷ 933,754 shares)  $22.32 
Class K:   
Net Asset Value, offering price and redemption price per share ($7,984,404 ÷ 357,726 shares)  $22.32 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2016 
Investment Income   
Dividends (including $1,597 earned from other affiliated issuers)  $282,309 
Interest  252,563 
Income from Fidelity Central Funds  91,583 
Total income  626,455 
Expenses   
Management fee $110,542  
Transfer agent fees 31,952  
Accounting and security lending fees 2,258  
Custodian fees and expenses 387  
Independent trustees' fees and expenses 123  
Registration fees 277  
Audit 216  
Legal 84  
Miscellaneous 213  
Total expenses before reductions 146,052  
Expense reductions (1,050) 145,002 
Net investment income (loss)  481,453 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 376,521  
Fidelity Central Funds (690)  
Other affiliated issuers (17,598)  
Foreign currency transactions (178)  
Futures contracts (9,948)  
Swaps 49  
Total net realized gain (loss)  348,156 
Change in net unrealized appreciation (depreciation) on:
Investment securities 		1,246,230  
Assets and liabilities in foreign currencies 51  
Futures contracts 9,678  
Swaps (45)  
Delayed delivery commitments 132  
Total change in net unrealized appreciation (depreciation)  1,256,046 
Net gain (loss)  1,604,202 
Net increase (decrease) in net assets resulting from operations  $2,085,655 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2016 Year ended August 31, 2015 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $481,453 $454,684 
Net realized gain (loss) 348,156 2,113,928 
Change in net unrealized appreciation (depreciation) 1,256,046 (2,351,977) 
Net increase (decrease) in net assets resulting from operations 2,085,655 216,635 
Distributions to shareholders from net investment income (474,574) (425,205) 
Distributions to shareholders from net realized gain (1,577,139) (2,093,189) 
Total distributions (2,051,713) (2,518,394) 
Share transactions - net increase (decrease) 919,667 3,226,641 
Total increase (decrease) in net assets 953,609 924,882 
Net Assets   
Beginning of period 27,871,184 26,946,302 
End of period $28,824,793 $27,871,184 
Other Information   
Undistributed net investment income end of period $100,926 $107,732 

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


Financial Highlights — Fidelity Balanced Fund

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $22.33 $24.40 $21.85 $19.95 $18.17 
Income from Investment Operations      
Net investment income (loss)A .37 .37 .38 .36 .37 
Net realized and unrealized gain (loss) 1.25 (.23) 3.68 1.88 1.76 
Total from investment operations 1.62 .14 4.06 2.24 2.13 
Distributions from net investment income (.36) (.35) (.38) (.34) (.35) 
Distributions from net realized gain (1.27) (1.86) (1.13) – – 
Total distributions (1.63) (2.21) (1.51) (.34) (.35) 
Net asset value, end of period $22.32 $22.33 $24.40 $21.85 $19.95 
Total ReturnB 7.73% .86% 19.46% 11.32% 11.89% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .55% .56% .56% .58% .60% 
Expenses net of fee waivers, if any .55% .55% .56% .58% .60% 
Expenses net of all reductions .55% .55% .56% .57% .59% 
Net investment income (loss) 1.71% 1.59% 1.65% 1.72% 1.98% 
Supplemental Data      
Net assets, end of period (in millions) $20,840 $20,176 $19,574 $16,342 $15,016 
Portfolio turnover rateE 64% 128% 176% 244%F 155% 

 A Calculated based on average shares outstanding during the period.

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

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

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

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

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


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


Financial Highlights — Fidelity Balanced Fund Class K

Years ended August 31, 2016 2015 2014 2013 2012 
Selected Per–Share Data      
Net asset value, beginning of period $22.33 $24.40 $21.85 $19.95 $18.17 
Income from Investment Operations      
Net investment income (loss)A .39 .39 .40 .39 .40 
Net realized and unrealized gain (loss) 1.25 (.23) 3.69 1.87 1.76 
Total from investment operations 1.64 .16 4.09 2.26 2.16 
Distributions from net investment income (.38) (.37) (.40) (.36) (.38) 
Distributions from net realized gain (1.27) (1.86) (1.13) – – 
Total distributions (1.65) (2.23) (1.54)B (.36) (.38) 
Net asset value, end of period $22.32 $22.33 $24.40 $21.85 $19.95 
Total ReturnC 7.84% .95% 19.59% 11.45% 12.03% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .46% .46% .46% .47% .48% 
Expenses net of fee waivers, if any .46% .46% .46% .47% .48% 
Expenses net of all reductions .45% .46% .46% .46% .47% 
Net investment income (loss) 1.81% 1.68% 1.75% 1.83% 2.10% 
Supplemental Data      
Net assets, end of period (in millions) $7,984 $7,695 $7,372 $6,330 $5,603 
Portfolio turnover rateF 64% 128% 176% 244%G 155% 

 A Calculated based on average shares outstanding during the period.

 B Total distributions of $1.54 per share is comprised of distributions from net investment income of $.401 and distributions from net realized gain of $1.134 per share.

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

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2016
(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

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

Fidelity Central Fund Investment Manager Investment Objective Investment Practices Expense Ratio(a) 
Fidelity High Income Central Fund 2 FMR Co., Inc. (FMRC) Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. Loans & Direct Debt Instruments
Restricted Securities
 		Less than .005% 
Fidelity Mortgage Backed Securities Central Fund FIMM Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. Delayed Delivery & When Issued Securities
Futures
Swaps 		Less than .005% 

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


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

3. Significant Accounting Policies.

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

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

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2016 is included at the end of the Fund's Schedule of Investments.

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

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

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

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

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

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2016, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

Book-tax differences are primarily due to futures contracts, swap agreements, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Gross unrealized appreciation $4,396,958 
Gross unrealized depreciation (485,160) 
Net unrealized appreciation (depreciation) on securities $3,911,798 
Tax Cost $24,889,286 

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

Undistributed ordinary income $87,617 
Undistributed long-term capital gain $256,442 
Net unrealized appreciation (depreciation) on securities and other investments $3,911,563 

The tax character of distributions paid was as follows:

 August 31, 2016 August 31, 2015 
Ordinary Income $668,661 $ 1,045,202 
Long-term Capital Gains 1,383,052 1,473,192 
Total $2,051,713 $ 2,518,394 

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

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

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

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

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

4. Derivative Instruments.

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

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

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

Credit Risk Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Equity Risk Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 

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

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

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

Primary Risk Exposure / Derivative Type Net Realized Gain (Loss) Change in Net Unrealized Appreciation (Depreciation) 
Credit Risk   
Swaps $49 $(45) 
Equity Risk   
Futures Contracts (9,948) 9,678 
Totals $(9,899) $9,633 

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

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

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

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

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

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

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

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

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

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

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $12,862,371 and $13,787,198, respectively.

6. Fees and Other Transactions with Affiliates.

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

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

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

 Amount % of
Class-Level Average
Net Assets 
Balanced $28,364 .14 
Class K 3,588 .05 
 $31,952  

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $229 for the period.

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

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $2.

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $57 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $3,477. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $530. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $1,632 (including $408 from securities loaned to FCM).

9. Expense Reductions.

Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $827 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $22.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $201.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2016 		Year ended August 31, 2015 
From net investment income   
Balanced $338,622 $303,000 
Class K 135,952 122,205 
Total $474,574 $425,205 
From net realized gain   
Balanced $1,142,626 $1,516,480 
Class K 434,513 576,709 
Total $1,577,139 $2,093,189 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2016 		Year ended August 31, 2015 Year ended
August 31, 2016 		Year ended August 31, 2015 
Balanced     
Shares sold 131,640 182,518 $2,809,513 $4,227,779 
Reinvestment of distributions 66,735 78,512 1,414,735 1,742,367 
Shares redeemed (168,273) (159,620) (3,575,866) (3,698,442) 
Net increase (decrease) 30,102 101,410 $648,382 $2,271,704 
Class K     
Shares sold 58,496 82,743 $1,246,436 $1,923,309 
Reinvestment of distributions 26,918 31,486 570,465 698,914 
Shares redeemed (72,307) (71,743) (1,545,616) (1,667,286) 
Net increase (decrease) 13,107 42,486 $271,285 $954,937 

12. Other.

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

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Balanced Fund (a fund of Fidelity Puritan Trust) at August 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity Balanced Fund’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 20, 2016

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 170 funds. Mr. Chiel oversees 111 funds. 

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

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

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

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

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

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

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

Interested Trustees*:

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

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

Jonathan Chiel (1957)

Year of Election or Appointment: 2016

Trustee

Mr. Chiel also serves as Trustee of other Fidelity funds. Mr. Chiel is Executive Vice President and General Counsel for FMR LLC (diversified financial services company, 2012-present). Previously, Mr. Chiel served as general counsel (2004-2012) and senior vice president and deputy general counsel (2000-2004) for John Hancock Financial Services; a partner with Choate, Hall & Stewart (1996-2000) (law firm); and an Assistant United States Attorney for the United States Attorney’s Office of the District of Massachusetts (1986-95), including Chief of the Criminal Division (1993-1995). Mr. Chiel is a director on the boards of the Boston Bar Foundation and the Maimonides School.

James C. Curvey (1935)

Year of Election or Appointment: 2007

Trustee

Chairman of the Board of Trustees

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

Charles S. Morrison (1960)

Year of Election or Appointment: 2014

Trustee

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

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

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

Independent Trustees:

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

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

Dennis J. Dirks (1948)

Year of Election or Appointment: 2005

Trustee

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

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as Chairman (2014-present) and a member (2010-present) of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes) and a Director of Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). He is a Trustee of the California Chapter of The Nature Conservancy (2015-present) and a Director of the Center for Advanced Study in the Behavioral Sciences at Stanford University (2015-present). In addition, Mr. Lacy served as Senior Adviser (2007-2014) of Oak Hill Capital Partners, L.P. (private equity) and also served as Chief Executive Officer (2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation (retail) and Chief Executive Officer and Chairman of the Board of Sears, Roebuck and Co. (retail, 2000-2005). Previously, Mr. Lacy served as Chairman (2008-2011) and a member (2006-2015) of the Board of Trustees of the National Parks Conservation Association and as a member of the Board of Directors for The Western Union Company (global money transfer, 2006-2011), The Hillman Companies, Inc. (hardware wholesalers, 2010-2014), and Earth Fare, Inc. (retail grocery, 2010-2014).

Ned C. Lautenbach (1944)

Year of Election or Appointment: 2000

Trustee

Chairman of the Independent Trustees

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

Joseph Mauriello (1944)

Year of Election or Appointment: 2008

Trustee

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

Robert W. Selander (1950)

Year of Election or Appointment: 2011

Trustee

Mr. Selander also serves as Trustee of other Fidelity® funds. Mr. Selander serves as a Director of The Western Union Company (global money transfer, 2014-present) and a non-executive Chairman of Health Equity, Inc. (health savings custodian, 2015-present). Previously, Mr. Selander served as a Member of the Advisory Board of certain Fidelity® funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.

Cornelia M. Small (1944)

Year of Election or Appointment: 2005

Trustee

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

William S. Stavropoulos (1939)

Year of Election or Appointment: 2001

Trustee

Vice Chairman of the Independent Trustees

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

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

Jeffrey S. Christian (1961)

Year of Election or Appointment: 2016

Assistant Treasurer

Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).

William C. Coffey (1969)

Year of Election or Appointment: 2009

Assistant Secretary

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

Jonathan Davis (1968)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Adrien E. Deberghes (1967)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Stephanie J. Dorsey (1969)

Year of Election or Appointment: 2010

Assistant Treasurer

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

Howard J. Galligan III (1966)

Year of Election or Appointment: 2014

Chief Financial Officer

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

Scott C. Goebel (1968)

Year of Election or Appointment: 2015

Vice President

Mr. Goebel serves as Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); Secretary and CLO of certain Fidelity® funds (2008-2015); Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007).

Brian B. Hogan (1964)

Year of Election or Appointment: 2009

Vice President

Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as a Director of FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present) and Fidelity SelectCo, LLC (investment adviser firm, 2014-present) and President of the Equity Division of FMR (investment adviser firm, 2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.  Mr. Brian B. Hogan is not related to Mr. Colm A. Hogan. 

Colm A. Hogan (1973)

Year of Election or Appointment: 2016

Deputy Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).  Mr. Colm A. Hogan is not related to Mr. Brian B. Hogan. 

Chris Maher (1972)

Year of Election or Appointment: 2013

Assistant Treasurer

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

John F. Papandrea (1972)

Year of Election or Appointment: 2016

Anti-Money Laundering (AML) Officer

Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).

Melissa M. Reilly (1971)

Year of Election or Appointment: 2014

Vice President of certain Equity Funds

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

Kenneth B. Robins (1969)

Year of Election or Appointment: 2016

Chief Compliance Officer

Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Compliance Officer of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2016-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Executive Vice President of Fidelity Investments Money Management, Inc. (investment adviser firm, 2013-2016) and served in other fund officer roles.

Stacie M. Smith (1974)

Year of Election or Appointment: 2016

President and Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2016 to August 31, 2016).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

 Annualized Expense Ratio-A Beginning
Account Value
March 1, 2016 		Ending
Account Value
August 31, 2016 		Expenses Paid
During Period-B
March 1, 2016
to August 31, 2016 
Balanced .55%    
Actual  $1,000.00 $1,111.60 $2.92 
Hypothetical-C  $1,000.00 $1,022.37 $2.80 
Class K .46%    
Actual  $1,000.00 $1,112.10 $2.44 
Hypothetical-C  $1,000.00 $1,022.82 $2.34 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Balanced Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities, and dividends derived from net investment income:

 Pay Date Record Date Dividends Capital Gains 
Fidelity Balanced Fund     
Balanced 10/17/16 10/14/16 $0.090 $0.201 
Class K 10/17/16 10/14/16 $0.096 $0.201 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $327,473,549, or, if subsequently determined to be different, the net capital gain of such year.

A total of 3.52% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $183,895,776 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Balanced designates 7%, 52%, 68%, and 68%; Class K designates 7%, 50%, 65%, and 65%; of the dividends distributed in October 2015, December 2015, April 2016 and July 2016, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

Balanced designates 8%, 55%, 81%, and 81%; Class K designates 8%, 53%, 76%, and 76%; of the dividends distributed in October 2015, December 2015, April 2016 and July 2016, respectively during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Balanced Fund

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

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

At its July 2016 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and would be realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

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

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

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

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

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

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

Investment in a Large Fund Family.  The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) continuing efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs; (iv) broadening eligibility requirements for certain lower-priced share classes of, and streamlining the fee structure for, certain existing equity index funds; (v) lowering expense caps for certain existing funds and classes to reduce expenses paid by shareholders; (vi) eliminating redemption fees for certain variable insurance product funds and classes; (vii) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (viii) launching a lower cost share class for use by the Freedom Index Fund product line; (ix) rationalizing product lines and gaining increased efficiencies through fund mergers and share class consolidations; (x) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; (xi) implementing investment enhancements to further strengthen Fidelity's target date product line to increase investors' probability of success in achieving their goals; (xii) accelerating the conversion of all remaining Class B shares to Class A shares, which have a lower expense structure; and (xiii) implementing changes to Fidelity's money market fund product line in response to recent regulatory reforms.

Investment Performance.  The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there were portfolio management changes for the fund in February 2015, July 2015, and October 2015.

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

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

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

Fidelity Balanced Fund


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

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

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Broadridge funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Broadridge peer group used by the Board for performance comparisons because the Total Mapped Group combines several Broadridge investment objective categories while the Broadridge peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund's management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee rate ranked, is also included in the chart and considered by the Board.

Fidelity Balanced Fund


The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2015.

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

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

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

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

The Board noted that the total expense ratio of each class ranked below the competitive median for 2015.

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

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

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

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

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

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

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

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

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

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

Additional Information Requested by the Board.  In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) the various share classes employed by Fidelity and the attributes of each class, together with similar information on the distribution and servicing payments made by Fidelity or the funds to third-party participants in the distribution channels; (iii) fund profitability, and fund performance in relation to fund profitability; (iv) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (v) annual fund profitability margins; (vi) the realization of fall-out benefits in and attribution of fall-out benefits to certain Fidelity business units; (vii) the appropriateness of certain funds' benchmarks; (viii) the rationalization for certain share classes and expenses; (ix) sub-advisory fee rates for comparable investment mandates; (x) product strategy for certain underperforming funds; and (xi) Fidelity's resources and strategy for cybersecurity.

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





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

BAL-K-ANN-1016
1.863051.107


Item 2.

Code of Ethics


As of the end of the period, August 31, 2016, Fidelity Puritan Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer.  A copy of the code of ethics is filed as an exhibit to this Form N-CSR.


Item 3.

Audit Committee Financial Expert


The Board of Trustees of the trust has determined that Joseph Mauriello is an audit committee financial expert, as defined in Item 3 of Form N-CSR.   Mr. Mauriello is independent for purposes of Item 3 of Form N-CSR.  




Item 4.  

Principal Accountant Fees and Services


Fees and Services


The following table presents fees billed by PricewaterhouseCoopers LLP (“PwC”) in each of the last two fiscal years for services rendered to Fidelity Balanced Fund and Fidelity Puritan Fund (the “Funds”):


Services Billed by PwC


August 31, 2016 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Balanced Fund

 $178,000

$-

 $17,200

 $8,900

Fidelity Puritan Fund

 $251,000

$-

 $58,200

 $10,800



August 31, 2015 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Balanced Fund

 $118,000

$-

 $16,400

 $11,700

Fidelity Puritan Fund

 $229,000

$-

 $53,700

 $10,700


A Amounts may reflect rounding.


The following table presents fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are rendered on behalf of Fidelity Management & Research Company (“FMR”) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Funds (“Fund Service Providers”):


Services Billed by PwC



 

August 31, 2016A

August 31, 2015A

Audit-Related Fees

 $5,760,000

 $4,730,000

Tax Fees

 $10,000

 $-

All Other Fees

$-

$-


A Amounts may reflect rounding.





“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.


“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.


“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.  


Assurance services must be performed by an independent public accountant.


* * *


The aggregate non-audit fees billed by PwC for services rendered to the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Funds are as follows:


Billed By

August 31, 2016 A

August 31, 2015 A

PwC

$6,620,000

$6,145,000


A Amounts may reflect rounding.


The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the Funds, taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Funds and their related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.


Audit Committee Pre-Approval Policies and Procedures

 

The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.


The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit



service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.


All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.


Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.


Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)


There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds’ last two fiscal years relating to services provided to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.




Item 5.

Audit Committee of Listed Registrants


Not applicable.


Item 6.  

Investments


(a)

Not applicable.


(b)

Not applicable



Item 7.

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies


Not applicable.


Item 8.

Portfolio Managers of Closed-End Management Investment Companies


Not applicable.




Item 9.  

Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers


Not applicable.


Item 10.

Submission of Matters to a Vote of Security Holders


There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.


Item 11.

Controls and Procedures


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


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


Item 12.

Exhibits


(a)

(1)

Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.

(a)

(2)

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

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.




SIGNATURES


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


Fidelity Puritan Trust


By:

/s/Stacie M. Smith

 

Stacie M. Smith

 

President and Treasurer

 

 

Date:

October 26, 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:

October 26, 2016



By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

October 26, 2016