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, 2017



Item 1.

Reports to Stockholders




Fidelity® Balanced Fund

Class K



Annual Report

August 31, 2017



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

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



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Class K 12.22% 10.24% 6.48% 

 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, 2007. 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
$18,731Fidelity® Balanced Fund - Class K
$20,825S&P 500® Index

Management's Discussion of Fund Performance

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

Comments from Co-Portfolio Manager Robert Stansky:  For the year, the fund’s share classes returned about 12%, topping the 9.74% return of the Fidelity Balanced Hybrid Composite Index℠. The fund’s performance relative to the Composite index benefited from both security selection and an asset allocation that overweighted stocks and underweighted bonds. The equity subportfolio topped its benchmark, the S&P 500® index. Versus that benchmark, stock selection in the information technology and financials sectors added the most value. Autodesk, a maker of design software and one of the subportfolio’s largest holdings, contributed meaningfully. An out-of-benchmark position in electric-vehicle maker Tesla further lifted our result, as did an overweighting in Bank of America. Conversely, picks in the industrials sector detracted. Within that group, we avoided strong-performing aircraft manufacturer Boeing, an index name, which hurt relative performance. An overweighting in retailer L Brands was the subportfolio’s biggest relative detractor, and we reduced this position by period end. The investment-grade bond subportfolio outpaced its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. Our decision to significantly overweight investment-grade credit contributed strongly to the fund’s outperformance, especially our positioning among financial institutions.

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, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Autodesk, Inc. 1.9 1.7 
Apple, Inc. 1.7 2.7 
Alphabet, Inc. Class C 1.6 1.7 
Amazon.com, Inc. 1.4 1.4 
Citigroup, Inc. 1.3 1.1 
 7.9  

Top Five Bond Issuers as of August 31, 2017

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 10.0 9.2 
Fannie Mae 3.6 3.3 
Freddie Mac 1.5 1.7 
Ginnie Mae 1.3 1.2 
Petroleos Mexicanos 0.8 0.1 
 17.2  

Top Five Market Sectors as of August 31, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Information Technology 14.8 13.4 
Financials 14.3 15.2 
Health Care 10.3 9.8 
Consumer Discretionary 10.1 10.1 
Industrials 6.7 6.6 

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Stocks and Equity Futures 66.1% 
   Bonds 31.1% 
   Other Investments 0.5% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.3% 


 * Foreign investments - 8.4%

 ** Futures and Swaps - 0.2%


As of February 28, 2017*,** 
   Stocks and Equity Futures 65.2% 
   Bonds 31.6% 
   Other Investments 0.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.6% 


 * Foreign investments - 9.7%

 ** Futures and Swaps - 0.1%


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 and/or institutional.fidelity.com, as applicable.

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

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

Investments August 31, 2017

Showing Percentage of Net Assets

Common Stocks - 65.7%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 8.9%   
Auto Components - 0.3%   
Delphi Automotive PLC 667,700 $64,366 
Hertz Global Holdings, Inc. (a) 1,757,298 38,204 
  102,570 
Automobiles - 0.8%   
Tesla, Inc. (a) 694,682 247,237 
Diversified Consumer Services - 0.4%   
ServiceMaster Global Holdings, Inc. (a) 2,458,634 115,851 
ZTO Express (Cayman), Inc. sponsored ADR (b) 153,100 2,090 
  117,941 
Hotels, Restaurants & Leisure - 1.1%   
Cedar Fair LP (depositary unit) 615,000 42,669 
Compass Group PLC 2,597,000 55,477 
Marriott International, Inc. Class A 622,062 64,433 
Starbucks Corp. 944,674 51,825 
U.S. Foods Holding Corp. (a) 2,035,100 55,863 
Wyndham Worldwide Corp. 863,749 86,099 
  356,366 
Internet & Direct Marketing Retail - 1.8%   
Amazon.com, Inc. (a) 443,200 434,602 
JD.com, Inc. sponsored ADR (a) 406,600 17,041 
Netflix, Inc. (a) 637,314 111,345 
  562,988 
Leisure Products - 0.1%   
Mattel, Inc. 1,542,500 25,019 
Media - 1.8%   
Charter Communications, Inc. Class A (a) 445,307 177,473 
Comcast Corp. Class A 3,795,992 154,155 
DISH Network Corp. Class A (a) 113,800 6,520 
MDC Partners, Inc. Class A (c) 3,115,850 31,782 
The Walt Disney Co. 2,094,300 211,943 
  581,873 
Multiline Retail - 0.3%   
Dollar Tree, Inc. (a) 1,143,800 91,092 
Specialty Retail - 1.8%   
Home Depot, Inc. 1,632,944 244,729 
L Brands, Inc. 965,782 34,981 
Lowe's Companies, Inc. 1,078,000 79,653 
O'Reilly Automotive, Inc. (a) 232,708 45,641 
Ross Stores, Inc. 612,772 35,817 
TJX Companies, Inc. 1,259,695 91,076 
Ulta Beauty, Inc. 114,372 25,277 
  557,174 
Textiles, Apparel & Luxury Goods - 0.5%   
NIKE, Inc. Class B 2,771,750 146,376 
TOTAL CONSUMER DISCRETIONARY  2,788,636 
CONSUMER STAPLES - 5.7%   
Beverages - 1.4%   
Anheuser-Busch InBev SA NV 451,400 53,460 
Coca-Cola European Partners PLC 56,931 2,448 
Constellation Brands, Inc. Class A (sub. vtg.) 416,827 83,407 
Molson Coors Brewing Co. Class B 102,300 9,181 
Monster Beverage Corp. (a) 1,267,881 70,773 
The Coca-Cola Co. 5,057,408 230,365 
  449,634 
Food & Staples Retailing - 1.1%   
CVS Health Corp. 2,245,585 173,674 
Kroger Co. 4,573,208 100,016 
Rite Aid Corp. (a) 4,704,160 11,384 
Walgreens Boots Alliance, Inc. 520,175 42,394 
  327,468 
Food Products - 0.4%   
Blue Buffalo Pet Products, Inc. (a) 481,483 12,403 
Bunge Ltd. 519,870 38,798 
Mondelez International, Inc. 730,800 29,714 
The Hain Celestial Group, Inc. (a) 208,493 8,386 
TreeHouse Foods, Inc. (a) 546,400 36,603 
  125,904 
Household Products - 0.5%   
Colgate-Palmolive Co. 1,917,667 137,382 
Kimberly-Clark Corp. 48,800 6,017 
Spectrum Brands Holdings, Inc. 42,800 4,706 
  148,105 
Personal Products - 0.5%   
Avon Products, Inc. (a) 8,036,932 20,012 
Coty, Inc. Class A 2,295,953 38,067 
Estee Lauder Companies, Inc. Class A 889,782 95,198 
Unilever NV (Certificaten Van Aandelen) (Bearer) 186,500 11,103 
  164,380 
Tobacco - 1.8%   
Altria Group, Inc. 805,213 51,051 
British American Tobacco PLC sponsored ADR 4,180,219 259,675 
Philip Morris International, Inc. 2,286,799 267,395 
  578,121 
TOTAL CONSUMER STAPLES  1,793,612 
ENERGY - 3.6%   
Energy Equipment & Services - 0.6%   
Baker Hughes, a GE Co. Class A 667,800 22,638 
Dril-Quip, Inc. (a) 205,369 7,712 
Hess Midstream Partners LP 439,600 9,258 
NCS Multistage Holdings, Inc. 793,900 15,687 
Oceaneering International, Inc. 455,491 10,271 
Schlumberger Ltd. 1,641,800 104,271 
  169,837 
Oil, Gas & Consumable Fuels - 3.0%   
Anadarko Petroleum Corp. 1,647,902 67,449 
Black Stone Minerals LP 816,100 14,061 
Boardwalk Pipeline Partners, LP 917,100 13,857 
Cabot Oil & Gas Corp. 1,374,050 35,107 
Callon Petroleum Co. (a) 1,971,000 20,420 
Centennial Resource Development, Inc.:   
Class A 651,800 11,270 
Class A (d) 639,500 11,057 
Chevron Corp. 789,505 84,967 
Cimarex Energy Co. 399,702 39,846 
ConocoPhillips Co. 2,436,900 106,395 
Devon Energy Corp. 1,823,900 57,270 
EOG Resources, Inc. 661,300 56,204 
Extraction Oil & Gas, Inc. 897,831 11,797 
Extraction Oil & Gas, Inc. (d) 648,767 8,525 
Exxon Mobil Corp. 1,649,643 125,917 
Newfield Exploration Co. (a) 1,621,200 42,362 
Parsley Energy, Inc. Class A (a) 1,567,630 39,269 
PDC Energy, Inc. (a) 509,200 20,027 
Phillips 66 Co. 767,517 64,326 
Pioneer Natural Resources Co. 377,100 48,891 
PrairieSky Royalty Ltd. 948,737 22,291 
Suncor Energy, Inc. 1,740,900 54,552 
  955,860 
TOTAL ENERGY  1,125,697 
FINANCIALS - 9.3%   
Banks - 4.1%   
Allied Irish Banks PLC 3,105,400 18,506 
Bank of America Corp. 12,855,308 307,113 
Citigroup, Inc. 6,128,012 416,889 
Huntington Bancshares, Inc. 14,370,112 180,920 
JPMorgan Chase & Co. 1,515,754 137,767 
PNC Financial Services Group, Inc. 1,245,500 156,198 
SunTrust Banks, Inc. 811,100 44,692 
Synovus Financial Corp. 386,824 16,293 
  1,278,378 
Capital Markets - 1.8%   
Affiliated Managers Group, Inc. 133,500 23,588 
BlackRock, Inc. Class A 256,876 107,634 
CBOE Holdings, Inc. 451,411 45,543 
E*TRADE Financial Corp. (a) 2,339,649 95,949 
Goldman Sachs Group, Inc. 232,300 51,975 
IntercontinentalExchange, Inc. 884,000 57,168 
Northern Trust Corp. 1,020,100 90,279 
State Street Corp. 1,084,500 100,305 
  572,441 
Consumer Finance - 1.4%   
Capital One Financial Corp. 3,787,463 301,520 
OneMain Holdings, Inc. (a) 1,565,200 42,840 
SLM Corp. (a) 3,376,934 34,343 
Synchrony Financial 2,151,900 66,257 
  444,960 
Diversified Financial Services - 0.5%   
Berkshire Hathaway, Inc.:   
Class A (a) 129 35,017 
Class B (a) 342,100 61,975 
KBC Ancora 398,674 21,687 
Kimbell Royalty Partners LP 442,900 6,949 
On Deck Capital, Inc. (a) 590,700 2,853 
The Simply Good Foods Co. 1,529,800 18,128 
  146,609 
Insurance - 1.5%   
Chubb Ltd. 773,637 109,408 
Hartford Financial Services Group, Inc. 844,000 45,635 
Marsh & McLennan Companies, Inc. 1,200,377 93,725 
MetLife, Inc. 1,698,200 79,527 
The Travelers Companies, Inc. 1,078,400 130,681 
Unum Group 578,100 27,853 
  486,829 
TOTAL FINANCIALS  2,929,217 
HEALTH CARE - 9.6%   
Biotechnology - 3.1%   
Alexion Pharmaceuticals, Inc. (a) 558,204 79,494 
Amgen, Inc. 1,733,358 308,139 
Biogen, Inc. (a) 487,885 154,445 
BioMarin Pharmaceutical, Inc. (a) 259,800 23,431 
Celgene Corp. (a) 267,700 37,192 
Gilead Sciences, Inc. 1,152,700 96,493 
Regeneron Pharmaceuticals, Inc. (a) 176,800 87,852 
Shire PLC sponsored ADR 274,100 40,948 
TESARO, Inc. (a) 283,400 36,598 
Vertex Pharmaceuticals, Inc. (a) 652,600 104,768 
  969,360 
Health Care Equipment & Supplies - 2.2%   
Abbott Laboratories 2,804,000 142,836 
Boston Scientific Corp. (a) 5,997,570 165,233 
Intuitive Surgical, Inc. (a) 140,000 140,654 
Medtronic PLC 1,949,924 157,203 
ResMed, Inc. 484,800 37,611 
Wright Medical Group NV (a) 1,262,200 37,361 
  680,898 
Health Care Providers & Services - 1.9%   
Aetna, Inc. 145,000 22,867 
Henry Schein, Inc. (a) 432,104 75,048 
Humana, Inc. 441,300 113,688 
UnitedHealth Group, Inc. 1,819,300 361,859 
Universal Health Services, Inc. Class B 256,812 27,769 
  601,231 
Health Care Technology - 0.2%   
Cerner Corp. (a) 1,006,000 68,187 
Life Sciences Tools & Services - 0.7%   
Agilent Technologies, Inc. 1,495,300 96,776 
Bio-Rad Laboratories, Inc. Class A (a) 13,546 2,951 
Thermo Fisher Scientific, Inc. 653,797 122,352 
  222,079 
Pharmaceuticals - 1.5%   
Allergan PLC 891,943 204,683 
Bristol-Myers Squibb Co. 2,115,641 127,954 
GlaxoSmithKline PLC sponsored ADR 751,100 30,217 
Jazz Pharmaceuticals PLC (a) 393,800 58,818 
Merck & Co., Inc. 929,100 59,332 
  481,004 
TOTAL HEALTH CARE  3,022,759 
INDUSTRIALS - 6.3%   
Aerospace & Defense - 1.1%   
Axon Enterprise, Inc. (a) 1,370,066 29,744 
Lockheed Martin Corp. 81,200 24,798 
Northrop Grumman Corp. 393,474 107,108 
Raytheon Co. 590,700 107,513 
The Boeing Co. 10,000 2,397 
United Technologies Corp. 629,722 75,390 
  346,950 
Air Freight & Logistics - 0.3%   
C.H. Robinson Worldwide, Inc. 446,767 31,555 
United Parcel Service, Inc. Class B 403,041 46,092 
  77,647 
Airlines - 0.5%   
American Airlines Group, Inc. 2,639,300 118,082 
Southwest Airlines Co. 579,246 30,202 
  148,284 
Building Products - 0.3%   
Allegion PLC 1,274,000 100,277 
Commercial Services & Supplies - 0.1%   
Waste Management, Inc. 249,400 19,231 
Construction & Engineering - 0.1%   
Fluor Corp. 1,162,097 44,822 
Electrical Equipment - 1.3%   
AMETEK, Inc. 1,829,905 115,741 
Fortive Corp. 1,837,865 119,406 
Sensata Technologies Holding BV (a) 2,347,570 104,842 
Sunrun, Inc. (a)(b)(c) 6,747,687 45,210 
Vivint Solar, Inc. (a)(b) 4,715,980 22,401 
  407,600 
Industrial Conglomerates - 0.8%   
3M Co. 102,600 20,963 
General Electric Co. 6,977,576 171,299 
Honeywell International, Inc. 432,600 59,816 
  252,078 
Machinery - 0.1%   
Caterpillar, Inc. 194,900 22,899 
WABCO Holdings, Inc. (a) 74,200 10,657 
  33,556 
Road & Rail - 1.2%   
Avis Budget Group, Inc. (a)(b) 1,665,770 60,351 
CSX Corp. 2,017,720 101,290 
Norfolk Southern Corp. 863,500 104,069 
Union Pacific Corp. 1,172,700 123,485 
  389,195 
Trading Companies & Distributors - 0.5%   
HD Supply Holdings, Inc. (a) 4,814,767 160,332 
TOTAL INDUSTRIALS  1,979,972 
INFORMATION TECHNOLOGY - 14.7%   
Electronic Equipment & Components - 0.8%   
Dell Technologies, Inc. 229,100 17,166 
Jabil, Inc. 6,446,675 202,103 
Samsung SDI Co. Ltd. 121,109 21,168 
  240,437 
Internet Software & Services - 3.9%   
2U, Inc. (a) 127,993 6,412 
58.com, Inc. ADR (a) 1,567,940 98,200 
Alibaba Group Holding Ltd. sponsored ADR (a) 91,200 15,663 
Alphabet, Inc.:   
Class A (a) 200 191 
Class C (a) 545,747 512,637 
Altaba, Inc. 246,151 15,773 
Box, Inc. Class A (a) 1,319,891 25,896 
Facebook, Inc. Class A (a) 2,252,969 387,443 
MercadoLibre, Inc. 81,300 21,014 
MINDBODY, Inc. (a) 2,113,435 49,983 
New Relic, Inc. (a) 722,633 34,614 
Okta, Inc. (b) 42,573 1,149 
Twilio, Inc. Class A (a) 454,500 13,308 
Yext, Inc. (b) 4,042,989 52,599 
  1,234,882 
IT Services - 0.8%   
Cognizant Technology Solutions Corp. Class A 1,485,863 105,155 
FleetCor Technologies, Inc. (a) 439,300 63,158 
PayPal Holdings, Inc. (a) 1,288,271 79,461 
  247,774 
Semiconductors & Semiconductor Equipment - 2.6%   
Analog Devices, Inc. 475,347 39,772 
Broadcom Ltd. 136,784 34,479 
Cavium, Inc. (a) 257,800 16,321 
Cree, Inc. (a) 22,709 553 
Integrated Device Technology, Inc. (a) 1,466,171 36,229 
Mellanox Technologies Ltd. (a) 134,100 6,296 
Micron Technology, Inc. (a) 2,017,126 64,488 
NVIDIA Corp. 226,442 38,368 
ON Semiconductor Corp. (a) 5,065,991 86,527 
Qorvo, Inc. (a) 2,419,330 177,143 
Qualcomm, Inc. 3,255,498 170,165 
Semtech Corp. (a) 866,800 32,592 
Silergy Corp. 717,000 16,012 
Siltronic AG (a) 749,684 73,191 
Skyworks Solutions, Inc. 173,200 18,248 
  810,384 
Software - 4.5%   
Activision Blizzard, Inc. 158,431 10,387 
Adobe Systems, Inc. (a) 241,816 37,520 
Autodesk, Inc. (a) 5,309,629 607,740 
Citrix Systems, Inc. (a) 988,780 77,332 
Electronic Arts, Inc. (a) 327,493 39,790 
HubSpot, Inc. (a) 586,145 42,994 
Microsoft Corp. 3,766,812 281,645 
Parametric Technology Corp. (a) 1,779,511 99,653 
Salesforce.com, Inc. (a) 1,551,220 148,126 
Zendesk, Inc. (a) 1,963,519 53,800 
  1,398,987 
Technology Hardware, Storage & Peripherals - 2.1%   
Apple, Inc. 3,356,618 550,485 
HP, Inc. 5,026,823 95,912 
Western Digital Corp. 307,800 27,170 
  673,567 
TOTAL INFORMATION TECHNOLOGY  4,606,031 
MATERIALS - 1.9%   
Chemicals - 1.3%   
E.I. du Pont de Nemours & Co. 2,119,200 177,864 
LyondellBasell Industries NV Class A 748,200 67,779 
Monsanto Co. 152,200 17,838 
Platform Specialty Products Corp. (a) 2,403,300 28,071 
Sherwin-Williams Co. 168,100 57,031 
The Scotts Miracle-Gro Co. Class A 327,900 31,344 
W.R. Grace & Co. 539,001 38,528 
  418,455 
Construction Materials - 0.1%   
Eagle Materials, Inc. 387,700 37,704 
Containers & Packaging - 0.4%   
Ball Corp. 1,264,100 50,551 
WestRock Co. 1,120,480 63,767 
  114,318 
Metals & Mining - 0.1%   
Steel Dynamics, Inc. 859,800 29,620 
TOTAL MATERIALS  600,097 
REAL ESTATE - 2.1%   
Equity Real Estate Investment Trusts (REITs) - 2.0%   
Altisource Residential Corp. Class B 2,432,917 29,463 
American Homes 4 Rent Class A 573,800 12,715 
American Tower Corp. 1,022,600 151,396 
Boston Properties, Inc. 365,297 44,055 
Colony NorthStar, Inc. 3,200,509 41,959 
CoreSite Realty Corp. 135,800 16,128 
Corporate Office Properties Trust (SBI) 578,000 19,282 
Corrections Corp. of America 233,900 6,269 
DDR Corp. 773,700 7,489 
Equinix, Inc. 112,900 52,883 
Extra Space Storage, Inc. 223,836 17,376 
Gaming & Leisure Properties 161,800 6,341 
Healthcare Trust of America, Inc. 679,300 21,106 
Omega Healthcare Investors, Inc. (b) 162,000 5,163 
Outfront Media, Inc. 965,362 21,238 
Prologis, Inc. 970,200 61,472 
SBA Communications Corp. Class A (a) 144,900 22,249 
Store Capital Corp. 2,270,600 57,628 
Sun Communities, Inc. 212,042 19,150 
VEREIT, Inc. 2,601,300 21,955 
  635,317 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 573,803 20,703 
TOTAL REAL ESTATE  656,020 
TELECOMMUNICATION SERVICES - 1.4%   
Diversified Telecommunication Services - 1.4%   
AT&T, Inc. 5,770,364 216,158 
Level 3 Communications, Inc. (a) 659,709 35,908 
Verizon Communications, Inc. 3,368,820 161,602 
Zayo Group Holdings, Inc. (a) 580,863 19,848 
  433,516 
Wireless Telecommunication Services - 0.0%   
T-Mobile U.S., Inc. (a) 247,801 16,035 
TOTAL TELECOMMUNICATION SERVICES  449,551 
UTILITIES - 2.2%   
Electric Utilities - 1.4%   
Edison International 245,133 19,655 
Exelon Corp. 2,407,700 91,180 
FirstEnergy Corp. 824,748 26,870 
Great Plains Energy, Inc. 464,961 14,270 
NextEra Energy, Inc. 1,129,800 170,046 
PG&E Corp. 1,366,529 96,176 
PPL Corp. 539,600 21,174 
  439,371 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Energy, Inc. 1,043,000 25,981 
NRG Yield, Inc. Class C 946,427 17,509 
  43,490 
Multi-Utilities - 0.7%   
CenterPoint Energy, Inc. 285,000 8,442 
Dominion Resources, Inc. 1,104,022 86,964 
SCANA Corp. 107,956 6,518 
Sempra Energy 999,559 117,878 
  219,802 
TOTAL UTILITIES  702,663 
TOTAL COMMON STOCKS   
(Cost $15,687,042)  20,654,255 
Convertible Preferred Stocks - 0.0%   
INFORMATION TECHNOLOGY - 0.0%   
Software - 0.0%   
MongoDB, Inc. Series F, 8.00% (a)(d)(e)   
(Cost $4,704) 281,270 5,174 
 Principal Amount (000s) Value (000s) 
Nonconvertible Bonds - 10.8%   
CONSUMER DISCRETIONARY - 0.8%   
Automobiles - 0.3%   
General Motors Co. 3.5% 10/2/18 5,595 5,687 
General Motors Financial Co., Inc.:   
3.15% 1/15/20 19,000 19,387 
3.25% 5/15/18 2,895 2,924 
3.5% 7/10/19 41,541 42,559 
4% 1/15/25 7,674 7,774 
4.2% 3/1/21 10,665 11,230 
4.25% 5/15/23 3,220 3,356 
  92,917 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 617 625 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp.:   
2.75% 12/9/20 1,722 1,764 
3.7% 1/30/26 4,539 4,778 
  6,542 
Media - 0.5%   
21st Century Fox America, Inc. 7.75% 12/1/45 9,421 14,325 
AOL Time Warner, Inc. 2.95% 7/15/26 23,000 21,792 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 10,261 10,859 
4.908% 7/23/25 6,898 7,390 
Time Warner Cable, Inc.:   
4% 9/1/21 10,989 11,450 
4.5% 9/15/42 3,752 3,465 
5.5% 9/1/41 3,051 3,125 
5.875% 11/15/40 7,066 7,579 
6.55% 5/1/37 40,485 46,799 
6.75% 7/1/18 1,974 2,050 
7.3% 7/1/38 7,024 8,659 
8.25% 4/1/19 11,974 13,081 
Time Warner, Inc. 2.1% 6/1/19 12,500 12,533 
  163,107 
TOTAL CONSUMER DISCRETIONARY  263,191 
CONSUMER STAPLES - 0.7%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 18,881 19,236 
3.3% 2/1/23 20,335 21,095 
4.7% 2/1/36 19,253 21,344 
4.9% 2/1/46 22,019 25,089 
  86,764 
Food & Staples Retailing - 0.1%   
CVS Health Corp.:   
3.5% 7/20/22 4,494 4,699 
3.875% 7/20/25 7,967 8,368 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,939 4,005 
3.3% 11/18/21 4,671 4,839 
  21,911 
Food Products - 0.0%   
William Wrigley Jr. Co. 2% 10/20/17 (f) 5,313 5,316 
Tobacco - 0.3%   
Altria Group, Inc.:   
2.625% 1/14/20 12,900 13,132 
4% 1/31/24 3,615 3,883 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (f) 8,553 8,916 
4.25% 7/21/25 (f) 8,553 9,083 
Reynolds American, Inc.:   
2.3% 6/12/18 3,810 3,825 
3.25% 6/12/20 1,695 1,746 
4% 6/12/22 5,830 6,184 
4.45% 6/12/25 4,227 4,568 
4.85% 9/15/23 8,000 8,844 
5.7% 8/15/35 2,194 2,569 
5.85% 8/15/45 16,830 20,341 
6.15% 9/15/43 14,000 17,362 
7.25% 6/15/37 7,569 10,402 
  110,855 
TOTAL CONSUMER STAPLES  224,846 
ENERGY - 1.8%   
Energy Equipment & Services - 0.1%   
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 2,791 3,021 
6.5% 4/1/20 3,517 3,862 
Halliburton Co.:   
3.8% 11/15/25 4,660 4,814 
4.85% 11/15/35 4,069 4,412 
Noble Holding International Ltd.:   
5.75% 3/16/18 617 622 
7.7% 4/1/25 (g) 3,936 2,932 
8.7% 4/1/45 (g) 3,799 2,716 
  22,379 
Oil, Gas & Consumable Fuels - 1.7%   
Amerada Hess Corp. 7.875% 10/1/29 4,487 5,408 
Anadarko Finance Co. 7.5% 5/1/31 13,089 16,443 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 12,068 12,828 
5.55% 3/15/26 6,563 7,326 
6.45% 9/15/36 1,840 2,150 
6.6% 3/15/46 8,910 10,779 
Canadian Natural Resources Ltd.:   
1.75% 1/15/18 2,851 2,850 
5.85% 2/1/35 4,725 5,274 
Cenovus Energy, Inc.:   
4.25% 4/15/27 (f) 9,753 9,414 
5.7% 10/15/19 2,158 2,268 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,617 1,623 
3.3% 6/1/20 7,911 8,138 
4.5% 6/1/25 2,416 2,595 
DCP Midstream LLC:   
4.75% 9/30/21 (f) 6,909 7,082 
5.35% 3/15/20 (f) 6,814 7,172 
DCP Midstream Operating LP:   
3.875% 3/15/23 2,761 2,689 
4.95% 4/1/22 1,267 1,308 
5.6% 4/1/44 2,216 2,061 
Duke Energy Field Services 6.45% 11/3/36 (f) 6,493 6,834 
Empresa Nacional de Petroleo 4.375% 10/30/24 (f) 5,615 5,901 
Enable Midstream Partners LP:   
2.4% 5/15/19 (g) 1,957 1,948 
3.9% 5/15/24 (g) 2,064 2,067 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,103 8,552 
4.375% 10/15/20 5,808 6,114 
Enbridge, Inc.:   
4.25% 12/1/26 3,252 3,425 
5.5% 12/1/46 3,753 4,305 
Kinder Morgan Energy Partners LP 6.55% 9/15/40 904 1,051 
Marathon Petroleum Corp. 5.125% 3/1/21 4,415 4,789 
Nakilat, Inc. 6.067% 12/31/33 (f) 2,490 2,929 
Nexen, Inc. 6.2% 7/30/19 2,252 2,406 
Petrobras Global Finance BV:   
4.375% 5/20/23 4,137 4,050 
5.625% 5/20/43 22,261 19,523 
7.25% 3/17/44 30,172 31,077 
Petrobras International Finance Co. Ltd. 5.375% 1/27/21 38,192 39,498 
Petroleos Mexicanos:   
3.5% 7/23/20 8,815 9,049 
3.5% 1/30/23 5,005 4,961 
4.5% 1/23/26 11,915 12,031 
4.625% 9/21/23 13,980 14,553 
4.875% 1/24/22 1,430 1,503 
4.875% 1/18/24 7,021 7,312 
5.375% 3/13/22 (f) 4,960 5,322 
5.5% 1/21/21 13,423 14,389 
5.5% 6/27/44 6,301 5,929 
5.625% 1/23/46 11,673 10,976 
6% 3/5/20 4,797 5,174 
6.375% 1/23/45 26,396 27,214 
6.5% 3/13/27 (f) 8,390 9,397 
6.5% 6/2/41 8,420 8,896 
6.75% 9/21/47 12,583 13,528 
6.75% 9/21/47 (f) 8,930 9,601 
6.875% 8/4/26 13,000 14,947 
8% 5/3/19 3,943 4,318 
Phillips 66 Co. 4.3% 4/1/22 6,383 6,865 
Phillips 66 Partners LP 2.646% 2/15/20 652 655 
Southeast Supply Header LLC 4.25% 6/15/24 (f) 5,790 6,015 
Southwestern Energy Co.:   
5.8% 1/23/20 (g) 5,591 5,759 
6.7% 1/23/25 (g) 4,632 4,516 
The Williams Companies, Inc.:   
3.7% 1/15/23 5,046 5,008 
4.55% 6/24/24 25,316 25,886 
Western Gas Partners LP:   
4.65% 7/1/26 2,228 2,317 
5.375% 6/1/21 14,415 15,570 
Williams Partners LP:   
3.6% 3/15/22 6,925 7,140 
3.9% 1/15/25 2,391 2,457 
4% 11/15/21 3,157 3,313 
4.3% 3/4/24 10,014 10,615 
4.5% 11/15/23 3,444 3,690 
  530,783 
TOTAL ENERGY  553,162 
FINANCIALS - 4.8%   
Banks - 2.6%   
Banco Nacional de Desenvolvimento Economico e Social:   
4% 4/14/19 (f) 1,325 1,351 
5.5% 7/12/20 (f) 21,376 22,541 
5.75% 9/26/23 (f) 5,809 6,294 
6.5% 6/10/19 (f) 2,097 2,231 
Bank of America Corp.:   
2.6% 1/15/19 57,427 57,998 
3.5% 4/19/26 9,902 10,085 
3.875% 8/1/25 9,873 10,380 
3.95% 4/21/25 6,998 7,227 
4.2% 8/26/24 11,449 12,057 
4.25% 10/22/26 6,748 7,079 
5.75% 12/1/17 19,000 19,186 
Barclays PLC:   
2% 3/16/18 16,700 16,717 
2.75% 11/8/19 5,728 5,797 
3.25% 1/12/21 8,790 8,983 
4.375% 1/12/26 11,847 12,456 
BB&T Corp. 3.95% 3/22/22 1,805 1,920 
Citigroup, Inc.:   
1.75% 5/1/18 21,658 21,672 
1.85% 11/24/17 13,884 13,893 
2.15% 7/30/18 17,815 17,878 
3.875% 3/26/25 17,000 17,417 
4.05% 7/30/22 17,500 18,439 
4.3% 11/20/26 14,000 14,663 
Citizens Bank NA 2.55% 5/13/21 3,064 3,091 
Citizens Financial Group, Inc. 4.15% 9/28/22 (f) 7,659 8,067 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 8,440 8,558 
3.75% 3/26/25 8,440 8,651 
3.8% 9/15/22 13,270 13,872 
3.8% 6/9/23 16,850 17,569 
Credit Suisse New York Branch 5.4% 1/14/20 1,450 1,558 
Discover Bank 7% 4/15/20 4,144 4,592 
Fifth Third Bancorp:   
2.875% 7/27/20 43,000 43,995 
3.5% 3/15/22 638 665 
4.5% 6/1/18 584 596 
HBOS PLC 6.75% 5/21/18 (f) 560 579 
HSBC Holdings PLC 4.25% 3/14/24 3,415 3,595 
Huntington Bancshares, Inc. 7% 12/15/20 3,353 3,846 
Huntington National Bank:   
1.7% 2/26/18 37,500 37,528 
2.2% 4/1/19 3,200 3,216 
2.4% 4/1/20 40,000 40,363 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (f) 5,410 5,537 
5.71% 1/15/26 (f) 13,365 14,125 
JPMorgan Chase & Co.:   
2.75% 6/23/20 10,395 10,611 
2.95% 10/1/26 34,906 34,371 
3.875% 9/10/24 24,177 25,312 
4.125% 12/15/26 61,229 64,500 
KeyCorp. 5.1% 3/24/21 628 689 
Rabobank Nederland 4.375% 8/4/25 13,516 14,349 
Regions Bank 6.45% 6/26/37 12,100 15,180 
Regions Financial Corp. 3.2% 2/8/21 5,563 5,712 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 65,325 68,907 
6% 12/19/23 12,648 14,016 
6.1% 6/10/23 9,334 10,315 
6.125% 12/15/22 39,429 43,421 
SunTrust Banks, Inc. 2.35% 11/1/18 3,000 3,019 
  836,669 
Capital Markets - 1.2%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 9,670 9,891 
4.25% 2/15/24 3,357 3,566 
Credit Suisse AG 6% 2/15/18 17,158 17,474 
Deutsche Bank AG 4.5% 4/1/25 27,715 27,984 
Deutsche Bank AG London Branch 2.85% 5/10/19 18,270 18,475 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 24,600 24,602 
2.55% 10/23/19 85,599 86,618 
2.6% 4/23/20 1,000 1,012 
2.625% 1/31/19 30,072 30,383 
2.9% 7/19/18 10,319 10,421 
5.95% 1/18/18 5,343 5,427 
6.15% 4/1/18 3,993 4,093 
IntercontinentalExchange, Inc. 2.75% 12/1/20 3,082 3,151 
Lazard Group LLC 4.25% 11/14/20 5,286 5,614 
Moody's Corp.:   
3.25% 1/15/28 (f) 4,208 4,242 
4.875% 2/15/24 3,952 4,408 
Morgan Stanley:   
2.125% 4/25/18 18,100 18,152 
2.5% 1/24/19 43,150 43,556 
2.65% 1/27/20 2,659 2,701 
3.125% 7/27/26 1,531 1,511 
3.7% 10/23/24 5,388 5,613 
4.875% 11/1/22 8,674 9,447 
5.625% 9/23/19 547 586 
5.95% 12/28/17 301 305 
Peachtree Corners Funding Trust 3.976% 2/15/25 (f) 10,000 10,281 
Thomson Reuters Corp. 3.85% 9/29/24 5,214 5,504 
UBS AG Stamford Branch 2.375% 8/14/19 12,750 12,880 
UBS Group Funding Ltd. 4.125% 9/24/25 (f) 9,717 10,308 
  378,205 
Consumer Finance - 0.4%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 3,172 3,260 
Capital One Financial Corp. 2.45% 4/24/19 5,260 5,299 
Discover Financial Services:   
3.85% 11/21/22 2,701 2,809 
3.95% 11/6/24 20,000 20,669 
5.2% 4/27/22 2,488 2,725 
Ford Motor Credit Co. LLC:   
2.145% 1/9/18 25,000 25,028 
2.875% 10/1/18 11,000 11,110 
5% 5/15/18 10,000 10,215 
5.875% 8/2/21 12,574 14,051 
Hyundai Capital America:   
2.125% 10/2/17 (f) 2,357 2,358 
2.55% 2/6/19 (f) 6,671 6,698 
2.875% 8/9/18 (f) 2,848 2,872 
Synchrony Financial:   
3% 8/15/19 2,283 2,316 
3.75% 8/15/21 8,466 8,751 
4.25% 8/15/24 3,469 3,632 
  121,793 
Diversified Financial Services - 0.1%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 11,325 11,309 
3.875% 8/15/22 10,251 10,599 
4.125% 6/15/26 3,990 4,048 
Voya Financial, Inc. 3.125% 7/15/24 4,991 4,978 
  30,934 
Insurance - 0.5%   
AIA Group Ltd. 2.25% 3/11/19 (f) 1,416 1,418 
American International Group, Inc.:   
3.3% 3/1/21 4,640 4,802 
3.75% 7/10/25 14,847 15,424 
4.875% 6/1/22 11,881 13,134 
Aon Corp. 5% 9/30/20 129 140 
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.8522% 5/16/46 (f)(g)(h) 2,508 2,470 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (f) 6,498 7,011 
5% 6/1/21 (f) 8,525 9,310 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 4,819 5,265 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (f) 9,547 9,982 
Metropolitan Life Global Funding I 1.875% 6/22/18 (f) 7,075 7,091 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) 4,915 6,505 
Pacific Life Insurance Co. 9.25% 6/15/39 (f) 3,967 6,545 
Pacific LifeCorp:   
5.125% 1/30/43 (f) 7,709 8,646 
6% 2/10/20 (f) 10,987 11,930 
Prudential Financial, Inc.:   
2.3% 8/15/18 888 894 
7.375% 6/15/19 2,520 2,763 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f) 8,243 9,358 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (f) 1,938 1,971 
4.125% 11/1/24 (f) 2,810 2,990 
Unum Group:   
3.875% 11/5/25 9,271 9,634 
5.625% 9/15/20 3,860 4,232 
5.75% 8/15/42 12,079 14,583 
  156,098 
TOTAL FINANCIALS  1,523,699 
HEALTH CARE - 0.5%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.2% 11/6/22 8,127 8,370 
Health Care Providers & Services - 0.2%   
HCA Holdings, Inc.:   
3.75% 3/15/19 11,874 12,082 
4.25% 10/15/19 20,200 20,831 
4.75% 5/1/23 375 396 
5.875% 3/15/22 450 499 
6.5% 2/15/20 12,966 14,120 
Medco Health Solutions, Inc. 4.125% 9/15/20 5,031 5,308 
WellPoint, Inc. 1.875% 1/15/18 195 195 
  53,431 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
2.4% 2/1/19 1,100 1,108 
3.3% 2/15/22 13,389 13,923 
  15,031 
Pharmaceuticals - 0.2%   
Actavis Funding SCS:   
2.45% 6/15/19 3,839 3,875 
3% 3/12/20 7,106 7,252 
3.45% 3/15/22 12,371 12,853 
Mylan N.V.:   
2.5% 6/7/19 4,811 4,827 
3.15% 6/15/21 9,840 9,980 
3.95% 6/15/26 4,843 4,934 
Perrigo Finance PLC:   
3.5% 12/15/21 739 766 
3.9% 12/15/24 2,611 2,692 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 6,966 6,629 
2.8% 7/21/23 4,987 4,700 
3.15% 10/1/26 5,937 5,433 
Zoetis, Inc. 1.875% 2/1/18 992 992 
  64,933 
TOTAL HEALTH CARE  141,765 
INDUSTRIALS - 0.2%   
Aerospace & Defense - 0.0%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f) 5,000 5,374 
Airlines - 0.0%   
Continental Airlines, Inc.:   
6.648% 9/15/17 176 176 
6.9% 1/2/18 54 55 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 316 323 
8.36% 1/20/19 283 283 
  837 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,829 1,853 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 3,319 3,324 
2.625% 9/4/18 8,396 8,465 
3.375% 6/1/21 4,953 5,109 
3.75% 2/1/22 7,839 8,239 
3.875% 4/1/21 6,320 6,618 
4.25% 9/15/24 5,492 5,823 
4.75% 3/1/20 5,518 5,862 
  43,440 
TOTAL INDUSTRIALS  51,504 
INFORMATION TECHNOLOGY - 0.0%   
Electronic Equipment & Components - 0.0%   
Tyco Electronics Group SA:   
2.375% 12/17/18 1,262 1,269 
6.55% 10/1/17 1,119 1,123 
  2,392 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (g) 1,397 1,483 
TOTAL INFORMATION TECHNOLOGY  3,875 
MATERIALS - 0.1%   
Metals & Mining - 0.1%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (f)(g) 3,645 3,996 
6.75% 10/19/75 (f)(g) 9,054 10,503 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (f) 2,954 2,991 
4.5% 8/13/23 (Reg. S) 10,600 11,529 
4.5% 8/1/47 (f) 3,000 3,080 
  32,099 
REAL ESTATE - 1.0%   
Equity Real Estate Investment Trusts (REITs) - 0.6%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,369 1,384 
4.6% 4/1/22 2,434 2,617 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,759 1,829 
American Tower Corp. 2.8% 6/1/20 8,000 8,149 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,800 2,919 
Camden Property Trust 2.95% 12/15/22 2,417 2,437 
CommonWealth REIT 5.875% 9/15/20 1,166 1,249 
Corporate Office Properties LP:   
3.7% 6/15/21 4,267 4,396 
5% 7/1/25 4,089 4,411 
DDR Corp.:   
3.625% 2/1/25 4,613 4,509 
3.9% 8/15/24 1,328 1,344 
4.25% 2/1/26 3,429 3,461 
4.625% 7/15/22 4,470 4,732 
Duke Realty LP:   
3.625% 4/15/23 3,152 3,277 
3.75% 12/1/24 2,549 2,667 
3.875% 10/15/22 5,452 5,764 
Equity One, Inc. 3.75% 11/15/22 8,200 8,523 
Federal Realty Investment Trust 5.9% 4/1/20 1,971 2,157 
HCP, Inc.:   
3.15% 8/1/22 7,000 7,148 
3.875% 8/15/24 13,000 13,556 
Health Care REIT, Inc.:   
2.25% 3/15/18 2,600 2,604 
4.125% 4/1/19 13,700 14,107 
4.7% 9/15/17 843 844 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,249 2,284 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 11,855 12,384 
4.5% 1/15/25 4,460 4,585 
4.5% 4/1/27 34,977 35,509 
4.75% 1/15/28 11,399 11,605 
4.95% 4/1/24 2,101 2,229 
5.25% 1/15/26 10,420 11,182 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,583 1,548 
5% 12/15/23 1,140 1,196 
Weingarten Realty Investors 3.375% 10/15/22 1,228 1,260 
WP Carey, Inc. 4% 2/1/25 9,404 9,613 
  197,479 
Real Estate Management & Development - 0.4%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 8,551 8,747 
4.1% 10/1/24 6,548 6,655 
4.55% 10/1/29 7,034 7,247 
4.95% 4/15/18 4,846 4,927 
Digital Realty Trust LP:   
3.4% 10/1/20 9,100 9,419 
3.95% 7/1/22 5,951 6,315 
4.75% 10/1/25 6,539 7,130 
5.25% 3/15/21 4,138 4,517 
Liberty Property LP:   
3.375% 6/15/23 3,313 3,388 
4.125% 6/15/22 3,219 3,409 
4.75% 10/1/20 8,747 9,318 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,556 4,561 
3.15% 5/15/23 7,438 7,098 
4.5% 4/18/22 2,016 2,075 
Post Apartment Homes LP 3.375% 12/1/22 1,364 1,404 
Tanger Properties LP:   
3.125% 9/1/26 4,924 4,683 
3.75% 12/1/24 4,790 4,872 
3.875% 12/1/23 2,716 2,793 
Ventas Realty LP:   
3.125% 6/15/23 2,534 2,561 
3.5% 2/1/25 2,833 2,877 
3.75% 5/1/24 7,900 8,171 
4.125% 1/15/26 2,782 2,928 
4.375% 2/1/45 1,322 1,335 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 4,056 4,060 
4% 4/30/19 1,999 2,057 
  122,547 
TOTAL REAL ESTATE  320,026 
TELECOMMUNICATION SERVICES - 0.3%   
Diversified Telecommunication Services - 0.3%   
AT&T, Inc.:   
2.45% 6/30/20 5,759 5,808 
3.6% 2/17/23 13,016 13,412 
BellSouth Capital Funding Corp. 7.875% 2/15/30 61 81 
Verizon Communications, Inc.:   
2.625% 2/21/20 5,764 5,882 
4.5% 9/15/20 45,631 48,948 
5.012% 4/15/49 5,561 5,585 
5.012% 8/21/54 23,143 22,754 
  102,470 
UTILITIES - 0.6%   
Electric Utilities - 0.5%   
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (f) 5,539 6,275 
6.4% 9/15/20 (f) 14,254 15,975 
Edison International 3.75% 9/15/17 4,499 4,501 
Eversource Energy 1.45% 5/1/18 1,676 1,675 
Exelon Corp. 3.95% 6/15/25 7,948 8,391 
FirstEnergy Corp.:   
4.25% 3/15/23 27,079 28,735 
7.375% 11/15/31 35,412 47,792 
FirstEnergy Solutions Corp. 6.05% 8/15/21 12,120 5,545 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 13,932 14,071 
3.7% 9/1/24 (f) 3,782 3,814 
LG&E and KU Energy LLC 3.75% 11/15/20 1,034 1,082 
Nevada Power Co. 6.5% 8/1/18 2,642 2,758 
NV Energy, Inc. 6.25% 11/15/20 1,957 2,201 
Pennsylvania Electric Co. 6.05% 9/1/17 618 618 
PG&E Corp. 2.4% 3/1/19 931 937 
Progress Energy, Inc. 4.4% 1/15/21 405 431 
TECO Finance, Inc. 5.15% 3/15/20 164 175 
West Penn Power Co. 5.95% 12/15/17 (f) 6,500 6,572 
  151,548 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,473 2,614 
Texas Eastern Transmission LP 6% 9/15/17 (f) 1,301 1,302 
  3,916 
Independent Power and Renewable Electricity Producers - 0.0%   
Emera U.S. Finance LP:   
2.15% 6/15/19 2,358 2,361 
2.7% 6/15/21 2,321 2,345 
3.55% 6/15/26 3,712 3,782 
  8,488 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 3.5964% 9/30/66 (g)(h) 20,448 18,749 
3 month U.S. LIBOR + 2.825% 4.1214% 6/30/66 (g)(h) 5,485 5,314 
NiSource Finance Corp. 6.8% 1/15/19 624 664 
Puget Energy, Inc. 6% 9/1/21 813 918 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.4275% 5/15/67 (g)(h) 4,882 4,723 
  30,368 
TOTAL UTILITIES  194,320 
TOTAL NONCONVERTIBLE BONDS   
(Cost $3,281,185)  3,410,957 
U.S. Government and Government Agency Obligations - 10.0%   
U.S. Treasury Inflation-Protected Obligations - 1.7%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $122,142 $118,273 
1% 2/15/46 25,545 26,318 
1.375% 2/15/44 102,469 114,712 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/26 73,067 71,821 
0.25% 1/15/25 65,181 65,047 
0.375% 1/15/27 30,341 30,324 
0.625% 1/15/26 103,091 105,522 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  532,017 
U.S. Treasury Obligations - 8.3%   
U.S. Treasury Bills, yield at date of purchase 0.99% to 1.03% 9/14/17 to 11/16/17 (i) 6,570 6,563 
U.S. Treasury Bonds:   
3% 5/15/45 (j) 30,750 32,468 
3% 11/15/45 85,886 90,616 
3% 2/15/47 148,375 156,570 
3% 5/15/47 68,210 72,012 
U.S. Treasury Notes:   
1.25% 3/31/21 287,028 284,068 
1.25% 10/31/21 441,071 434,352 
1.5% 8/15/26 20,991 19,976 
1.75% 6/30/22 95,692 95,868 
1.875% 3/31/22 207,272 209,029 
1.875% 8/31/24 377,750 375,891 
2% 12/31/21 442,692 449,108 
2.125% 7/31/24 336,093 340,045 
2.375% 5/15/27 31,530 32,215 
TOTAL U.S. TREASURY OBLIGATIONS  2,598,781 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $3,117,311)  3,130,798 
U.S. Government Agency - Mortgage Securities - 0.3%   
Fannie Mae - 0.2%   
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (g)(h) 82 84 
12 month U.S. LIBOR + 1.900% 3.606% 7/1/37 (g)(h) 172 179 
2.5% 11/1/42 to 4/1/43 1,041 1,026 
3% 12/1/30 to 9/1/46 15,877 16,145 
3.5% 9/1/29 to 3/1/44 8,011 8,402 
4% 11/1/31 1,408 1,501 
4.5% 12/1/23 to 6/1/41 783 841 
5% 7/1/33 to 11/1/44 8,043 8,851 
5.5% 9/1/24 to 9/1/41 10,054 11,073 
6% 6/1/35 to 8/1/37 2,988 3,410 
6.5% 7/1/32 to 8/1/36 604 699 
TOTAL FANNIE MAE  52,211 
Freddie Mac - 0.1%   
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (g)(h) 108 114 
3% 4/1/31 to 6/1/31 1,686 1,744 
3.5% 4/1/43 to 4/1/46 17,457 18,155 
4% 1/1/41 to 2/1/46 17,442 18,540 
4.5% 7/1/25 to 4/1/41 7,294 7,891 
5% 3/1/19 to 7/1/41 2,629 2,885 
5.5% 1/1/34 to 3/1/40 661 737 
6% 7/1/37 to 8/1/37 160 183 
6.5% 3/1/36 463 536 
TOTAL FREDDIE MAC  50,785 
Ginnie Mae - 0.0%   
3.5% 3/15/42 205 215 
4% 9/20/40 to 1/15/43 4,750 5,066 
4.5% 4/20/41 1,534 1,659 
5% 5/15/39 519 572 
5.5% 2/15/37 to 1/15/39 354 398 
TOTAL GINNIE MAE  7,910 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $109,763)  110,906 
Asset-Backed Securities - 0.2%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 1.9394% 4/25/35 (g)(h) $729 $719 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.8844% 3/25/34 (g)(h) 207 207 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.2844% 12/25/33 (g)(h) 37 36 
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (g)(h) 99 88 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.0144% 3/25/34 (g)(h) 53 50 
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.2844% 11/25/34 (g)(h) 507 505 
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 5/25/34 (g)(h) 1,255 1,204 
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.3944% 5/25/36 (g)(h) 1,193 463 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (g)(h) 1,518 1,424 
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6044% 3/25/36 (g)(h) 18 7 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (f) 17,655 18,293 
Class AA, 2.487% 12/16/41 (f) 4,294 4,320 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.73% 4/20/20 10,478 10,488 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3744% 12/25/36 (g)(h) 1,978 1,647 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.6894% 4/25/34 (g)(h) 57 54 
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.0294% 6/25/34 (g)(h) 86 86 
Series 2004-7 Class AF5, 5.868% 1/25/35 671 681 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5544% 8/25/33 (g)(h) 212 209 
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.5244% 8/25/33 (g)(h) 376 366 
Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700%1.9322% 12/25/33 (g)(h) 36 35 
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 1.9452% 5/28/35 (g)(h) 43 41 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.4094% 8/25/34 (g)(h) 238 232 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 3/25/34 (g)(h) 3 2 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1 month U.S. LIBOR + 0.735% 1.9694% 1/25/35 (g)(h) 1,041 1,018 
Class M4, 1 month U.S. LIBOR + 1.020% 2.2544% 1/25/35 (g)(h) 381 223 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.6972% 2/25/47 (f)(g)(h) 1,420 1,344 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 1.4089% 11/15/34 (f)(g)(h) 367 356 
Class B, 1 month U.S. LIBOR + 0.280% 1.5067% 11/15/34 (f)(g)(h) 133 124 
Class C, 1 month U.S. LIBOR + 0.380% 1.6067% 11/15/34 (f)(g)(h) 220 204 
Class D, 1 month U.S. LIBOR + 0.750% 1.9767% 11/15/34 (f)(g)(h) 84 76 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.4244% 1/25/37 (g)(h) 1,581 1,126 
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (g)(h) 2,909 2,009 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5344% 5/25/37 (g)(h) 303 91 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 1.9844% 7/25/34 (g)(h) 89 84 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.2094% 7/25/34 (g)(h) 135 130 
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3444% 4/25/37 (g)(h) 3 2 
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.7544% 6/25/35 (g)(h) 1,216 1,179 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 1.9144% 8/25/34 (g)(h) 63 56 
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.8944% 1/25/35 (g)(h) 134 129 
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 2.9894% 3/25/35 (g)(h) 137 4 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.7444% 9/25/35 (g)(h) 1,566 1,535 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 1 month U.S. LIBOR + 1.875% 3.1072% 9/25/34 (g)(h) 526 521 
Class M4, 1 month U.S. LIBOR + 2.175% 3.4072% 9/25/34 (g)(h) 750 605 
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.4794% 1/25/36 (g)(h) 1,620 1,595 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.0344% 4/25/33 (g)(h) 6 5 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.0294% 3/25/35 (g)(h) 530 520 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.1956% 6/15/33 (g)(h) 199 199 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 2.9594% 9/25/34 (g)(h) 36 33 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.0944% 9/25/34 (g)(h) 32 30 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.7098% 4/6/42 (e)(f)(g)(h) 2,116 1,069 
TOTAL ASSET-BACKED SECURITIES   
(Cost $46,166)  55,424 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.7944% 1/25/35 (g)(h) 608 613 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.1125% 10/25/34 (g) 281 283 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4234% 8/25/36 (g) 717 689 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.3861% 2/25/37 (g)(h) 414 403 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.5244% 7/25/35 (g)(h) 512 505 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 1 month U.S. LIBOR + 2.350% 3.5744% 6/10/35 (f)(g)(h) 227 161 
Class B6, 1 month U.S. LIBOR + 2.850% 4.0744% 6/10/35 (f)(g)(h) 48 27 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (g)(h) 21 21 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.368% 4/25/33 (g) 43 43 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 1 month U.S. LIBOR + 0.200% 1.4344% 9/25/36 (g)(h) 332 331 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.8744% 9/25/43 (g)(h) 1,425 1,376 
TOTAL PRIVATE SPONSOR  4,452 
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 (k) 9,438 9,408 
Series 2015-H21 Class JA, 2.5% 6/20/65 (k) 9,743 9,816 
TOTAL U.S. GOVERNMENT AGENCY  19,224 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $22,926)  23,676 
Commercial Mortgage Securities - 0.2%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6895% 2/14/43 (g)(l) 43 0 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI:   
Class B, 1 month U.S. LIBOR + 1.700% 2.8589% 5/15/32 (f)(g)(h) 7,236 7,256 
Class C, 1 month U.S. LIBOR + 2.050% 3.3089% 5/15/32 (f)(g)(h) 6,417 6,431 
Class D, 1 month U.S. LIBOR + 2.900% 4.1589% 5/15/32 (f)(g)(h) 3,365 3,367 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.5094% 12/25/33 (f)(g)(h) 23 22 
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.400% 1.6344% 11/25/35 (f)(g)(h) 240 222 
Class M1, 1 month U.S. LIBOR + 0.440% 1.6744% 11/25/35 (f)(g)(h) 31 28 
Class M2, 1 month U.S. LIBOR + 0.490% 1.7244% 11/25/35 (f)(g)(h) 40 33 
Class M3, 1 month U.S. LIBOR + 0.510% 1.7444% 11/25/35 (f)(g)(h) 36 29 
Class M4, 1 month U.S. LIBOR + 0.600% 1.8344% 11/25/35 (f)(g)(h) 45 35 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 1.6244% 1/25/36 (f)(g)(h) 634 587 
Class B1, 1 month U.S. LIBOR + 1.400% 2.6344% 1/25/36 (f)(g)(h) 28 23 
Class M1, 1 month U.S. LIBOR + 0.450% 1.6844% 1/25/36 (f)(g)(h) 204 190 
Class M2, 1 month U.S. LIBOR + 0.470% 1.7044% 1/25/36 (f)(g)(h) 61 54 
Class M3, 1 month U.S. LIBOR + 0.500% 1.7344% 1/25/36 (f)(g)(h) 90 74 
Class M4, 1 month U.S. LIBOR + 0.610% 1.8444% 1/25/36 (f)(g)(h) 50 45 
Class M5, 1 month U.S. LIBOR + 0.650% 1.8844% 1/25/36 (f)(g)(h) 50 38 
Class M6, 1 month U.S. LIBOR + 0.700% 1.9344% 1/25/36 (f)(g)(h) 53 40 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.360% 1.5944% 4/25/36 (f)(g)(h) 95 86 
Class M1, 1 month U.S. LIBOR + 0.380% 1.6144% 4/25/36 (f)(g)(h) 34 29 
Class M2, 1 month U.S. LIBOR + 0.400% 1.6344% 4/25/36 (f)(g)(h) 36 30 
Class M3, 1 month U.S. LIBOR + 0.420% 1.6544% 4/25/36 (f)(g)(h) 31 26 
Class M4, 1 month U.S. LIBOR + 0.520% 1.7544% 4/25/36 (f)(g)(h) 17 15 
Class M5, 1 month U.S. LIBOR + 0.560% 1.7944% 4/25/36 (f)(g)(h) 17 14 
Class M6, 1 month U.S. LIBOR + 0.640% 1.8744% 4/25/36 (f)(g)(h) 34 28 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.310% 1.5444% 7/25/36 (f)(g)(h) 80 71 
Class M2, 1 month U.S. LIBOR + 0.330% 1.5644% 7/25/36 (f)(g)(h) 57 50 
Class M3, 1 month U.S. LIBOR + 0.350% 1.5844% 7/25/36 (f)(g)(h) 47 41 
Class M4, 1 month U.S. LIBOR + 0.420% 1.6544% 7/25/36 (f)(g)(h) 32 28 
Class M5, 1 month U.S. LIBOR + 0.470% 1.7044% 7/25/36 (f)(g)(h) 39 34 
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6644% 10/25/36 (f)(g)(h) 28 22 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 12/25/36 (f)(g)(h) 1,834 1,690 
Class M1, 1 month U.S. LIBOR + 0.290% 1.5244% 12/25/36 (f)(g)(h) 122 94 
Class M2, 1 month U.S. LIBOR + 0.310% 1.5444% 12/25/36 (f)(g)(h) 81 62 
Class M3, 1 month U.S. LIBOR + 0.340% 1.5744% 12/25/36 (f)(g)(h) 82 46 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 3/25/37 (f)(g)(h) 372 329 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 1.4861% 7/25/37 (f)(g)(h) 385 363 
Class A2, 1 month U.S. LIBOR + 0.320% 1.5361% 7/25/37 (f)(g)(h) 361 333 
Class M1, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(g)(h) 126 101 
Class M2, 1 month U.S. LIBOR + 0.410% 1.6261% 7/25/37 (f)(g)(h) 69 56 
Class M3, 1 month U.S. LIBOR + 0.490% 1.7061% 7/25/37 (f)(g)(h) 55 45 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 1.5061% 7/25/37 (f)(g)(h) 383 357 
Class M1, 1 month U.S. LIBOR + 0.310% 1.5261% 7/25/37 (f)(g)(h) 76 68 
Class M2, 1 month U.S. LIBOR + 0.340% 1.5561% 7/25/37 (f)(g)(h) 81 72 
Class M3, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(g)(h) 128 98 
Class M4, 1 month U.S. LIBOR + 0.500% 1.7161% 7/25/37 (f)(g)(h) 201 138 
Class M5, 1 month U.S. LIBOR + 0.600% 1.8161% 7/25/37 (f)(g)(h) 76 41 
Series 2007-4A Class M1, 1 month U.S. LIBOR + 0.950% 2.1844% 9/25/37 (f)(g)(h) 9 4 
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(l) 793 27 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(f)(g)(l) 12,412 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW18 Class A4, 5.7% 6/11/50 2,105 2,108 
CSMC Series 2015-TOWN:   
Class B, 1 month U.S. LIBOR + 1.900% 3.1256% 3/15/28 (f)(g)(h) 1,574 1,574 
Class C, 1 month U.S. LIBOR + 2.250% 3.4756% 3/15/28 (f)(g)(h) 1,534 1,534 
Class D, 1 month U.S. LIBOR + 3.200% 4.4256% 3/15/28 (f)(g)(h) 2,321 2,321 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (f)(g) 7,930 8,118 
Class CFX, 3.3822% 12/15/34 (f)(g) 6,656 6,792 
Class DFX, 3.3822% 12/15/34 (f)(g) 5,641 5,718 
LB-UBS Commercial Mortgage Trust Series 2007-C7 Class A3, 5.866% 9/15/45 822 823 
Merrill Lynch Mortgage Trust Series 2008-C1 Class A4, 5.69% 2/12/51 469 469 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (f)(g) 10,024 10,127 
Class B, 4.181% 11/15/34 (f) 3,538 3,601 
Class C, 5.205% 11/15/34 (f) 2,482 2,561 
Wachovia Bank Commercial Mortgage Trust Series 2007-C30:   
Class C, 5.483% 12/15/43 (g) 3,942 3,916 
Class D, 5.513% 12/15/43 (g) 2,102 1,994 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $71,020)  74,528 
Municipal Securities - 0.7%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,255 $1,873 
7.5% 4/1/34 8,780 12,942 
7.55% 4/1/39 17,675 27,489 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,360 1,391 
Series 2010 C1, 7.781% 1/1/35 13,980 16,519 
Series 2012 B, 5.432% 1/1/42 6,845 6,773 
Series 2014 B, 6.314% 1/1/44 12,355 13,246 
6.05% 1/1/29 475 497 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 1,748 1,769 
4.95% 6/1/23 8,975 9,333 
5.1% 6/1/33 40,400 40,592 
Series 2010-1, 6.63% 2/1/35 17,960 19,820 
Series 2010-3:   
5.547% 4/1/19 185 191 
6.725% 4/1/35 10,580 11,644 
7.35% 7/1/35 5,140 5,926 
Series 2010-5, 6.2% 7/1/21 3,296 3,493 
Series 2011:   
5.665% 3/1/18 9,625 9,784 
5.877% 3/1/19 26,600 27,682 
Series 2013, 4% 12/1/20 7,040 7,148 
TOTAL MUNICIPAL SECURITIES   
(Cost $206,578)  218,112 
Foreign Government and Government Agency Obligations - 0.0%   
Brazilian Federative Republic 4.875% 1/22/21 $  
(Cost $3,119) 3,000 $3,197 
Bank Notes - 0.3%   
Capital One NA:   
1.65% 2/5/18 $8,000 $7,998 
2.95% 7/23/21 8,837 8,983 
Discover Bank:   
(Delaware) 3.2% 8/9/21 10,936 11,223 
3.1% 6/4/20 11,505 11,788 
8.7% 11/18/19 745 840 
RBS Citizens NA 2.5% 3/14/19 5,410 5,459 
Regions Bank 7.5% 5/15/18 13,814 14,348 
UBS AG Stamford Branch 1.8% 3/26/18 12,466 12,487 
Wachovia Bank NA 6% 11/15/17 8,083 8,153 
TOTAL BANK NOTES   
(Cost $80,202)  81,279 
 Shares Value (000s) 
Fixed-Income Funds - 8.5%   
Fidelity High Income Central Fund 2 (m) 6,372,306 $725,041 
Fidelity Mortgage Backed Securities Central Fund (m) 17,911,554 1,948,228 
TOTAL FIXED-INCOME FUNDS   
(Cost $2,561,118)  2,673,269 
Money Market Funds - 2.9%   
Fidelity Cash Central Fund, 1.11% (n) 875,513,489 875,689 
Fidelity Securities Lending Cash Central Fund 1.11% (n)(o) 36,793,408 36,797 
TOTAL MONEY MARKET FUNDS   
(Cost $912,380)  912,486 
TOTAL INVESTMENT IN SECURITIES - 99.7%   
(Cost $26,103,514)  31,354,061 
NET OTHER ASSETS (LIABILITIES) - 0.3%  96,724 
NET ASSETS - 100%  $31,450,785 

Futures Contracts      
 Number of contracts Expiration Date Notional amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Equity Index Contracts      
CME E-mini S&P 500 Index Contracts (United States) 953 Sept. 2017 $117,700 $1,589 $1,589 

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

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency 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% Monthly $161 $(120) $0 $(120) 

 (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 $24,756,000 or 0.1% of net assets.

 (e) Level 3 instrument

 (f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $426,767,000 or 1.4% of net assets.

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

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

 (i) 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 $4,223,000.

 (j) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $120,000.

 (k) 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.

 (l) 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.

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

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

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


Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
Centennial Resource Development, Inc. Class A 12/28/16 $9,298 
Extraction Oil & Gas, Inc. 12/12/16 $11,840 
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 $5,841 
Fidelity High Income Central Fund 2 46,989 
Fidelity Mortgage Backed Securities Central Fund 52,005 
Fidelity Securities Lending Cash Central Fund 3,961 
Total $108,796 

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

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity High Income Central Fund 2 $706,179 $-- $-- $-- $18,862 $725,041 81.9% 
Fidelity Mortgage Backed Securities Central Fund 2,185,003 141,509 342,158 12,514 (48,640) 1,948,228 29.1% 
Total $2,891,182 $141,509 $342,158 $12,514 $(29,778) $2,673,269  

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 Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
MDC Partners, Inc. Class A $37,297 $5,343 $3,853 $-- $(4,370) $(2,635) $31,782 
Sunrun, Inc. 32,153 8,319 -- -- -- 4,738 45,210 
Total $69,450 $13,662 $3,853 $-- $(4,370) $2,103 $76,992 

Investment Valuation

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

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,788,636 $2,788,636 $-- $-- 
Consumer Staples 1,793,612 1,729,049 64,563 -- 
Energy 1,125,697 1,125,697 -- -- 
Financials 2,929,217 2,929,217 -- -- 
Health Care 3,022,759 3,022,759 -- -- 
Industrials 1,979,972 1,979,972 -- -- 
Information Technology 4,611,205 4,606,031 -- 5,174 
Materials 600,097 600,097 -- -- 
Real Estate 656,020 656,020 -- -- 
Telecommunication Services 449,551 449,551 -- -- 
Utilities 702,663 702,663 -- -- 
Corporate Bonds 3,410,957 -- 3,410,957 -- 
U.S. Government and Government Agency Obligations 3,130,798 -- 3,130,798 -- 
U.S. Government Agency - Mortgage Securities 110,906 -- 110,906 -- 
Asset-Backed Securities 55,424 -- 54,355 1,069 
Collateralized Mortgage Obligations 23,676 -- 23,676 -- 
Commercial Mortgage Securities 74,528 -- 74,528 -- 
Municipal Securities 218,112 -- 218,112 -- 
Foreign Government and Government Agency Obligations 3,197 -- 3,197 -- 
Bank Notes 81,279 -- 81,279 -- 
Fixed-Income Funds 2,673,269 2,673,269 -- -- 
Money Market Funds 912,486 912,486 -- -- 
Total Investments in Securities: $31,354,061 $24,175,447 $7,172,371 $6,243 
Derivative Instruments:     
Assets     
Futures Contracts $1,589 $1,589 $-- $-- 
Total Assets $1,589 $1,589 $-- $-- 
Liabilities     
Swaps $(120) $-- $(120) $-- 
Total Liabilities $(120) $-- $(120) $-- 
Total Derivative Instruments: $1,469 $1,589 $(120) $-- 

Value of Derivative Instruments

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

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
(Amounts in thousands)   
Credit Risk   
Swaps(a) $0 $(120) 
Total Credit Risk 0 (120) 
Equity Risk   
Futures Contracts(b) 1,589 0 
Total Equity Risk 1,589 0 
Total Value of Derivatives $1,589 $(120) 

 (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 on futures contracts, 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 17.1% 
AAA,AA,A 2.6% 
BBB 7.4% 
BB 2.5% 
B 1.5% 
CCC,CC,C 0.3% 
Not Rated 0.0% 
Equities 65.7% 
Short-Term Investments and Net Other Assets 2.9% 

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.

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, 2017 
Assets   
Investment in securities, at value (including securities loaned of $36,031) — See accompanying schedule:
Unaffiliated issuers (cost $22,530,747) 		$27,691,314  
Fidelity Central Funds (cost $3,473,498) 3,585,755  
Other affiliated issuers (cost $99,269) 76,992  
Total Investment in Securities (cost $26,103,514)  $31,354,061 
Cash  176 
Foreign currency held at value (cost $3)  3 
Receivable for investments sold  685,814 
Receivable for fund shares sold  16,923 
Dividends receivable  33,423 
Interest receivable  50,817 
Distributions receivable from Fidelity Central Funds  4,852 
Receivable for daily variation margin on futures contracts  681 
Other receivables  1,703 
Total assets  32,148,453 
Liabilities   
Payable for investments purchased $627,870  
Payable for fund shares redeemed 18,183  
Bi-lateral OTC swaps, at value 120  
Accrued management fee 10,269  
Other affiliated payables 3,088  
Other payables and accrued expenses 1,343  
Collateral on securities loaned 36,795  
Total liabilities  697,668 
Net Assets  $31,450,785 
Net Assets consist of:   
Paid in capital  $24,769,240 
Undistributed net investment income  110,667 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  1,318,885 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  5,251,993 
Net Assets  $31,450,785 
Balanced:   
Net Asset Value, offering price and redemption price per share ($22,915,001 ÷ 944,223 shares)  $24.27 
Class K:   
Net Asset Value, offering price and redemption price per share ($8,535,784 ÷ 351,711 shares)  $24.27 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2017 
Investment Income   
Dividends  $332,080 
Interest   211,367 
Income from Fidelity Central Funds  108,796 
Total income  652,243 
Expenses   
Management fee $117,651  
Transfer agent fees 33,399  
Accounting and security lending fees 2,308  
Custodian fees and expenses 460  
Independent trustees' fees and expenses 120  
Appreciation in deferred trustee compensation account 1  
Registration fees 345  
Audit 213  
Legal 83  
Miscellaneous 249  
Total expenses before reductions 154,829  
Expense reductions (1,127) 153,702 
Net investment income (loss)  498,541 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,756,831  
Fidelity Central Funds 12,567  
Other affiliated issuers (4,370)  
Foreign currency transactions 58  
Futures contracts 3,550  
Swaps 4  
Capital gain distributions from Fidelity Central Funds 3,412  
Total net realized gain (loss)  1,772,052 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 1,179,677  
Fidelity Central Funds (29,672)  
Other Affiliated issuers 2,103  
Assets and liabilities in foreign currencies 32  
Futures contracts (793)  
Swaps 33  
Delayed delivery commitments (1)  
Total change in net unrealized appreciation (depreciation)  1,151,379 
Net gain (loss)  2,923,431 
Net increase (decrease) in net assets resulting from operations  $3,421,972 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $498,541 $481,453 
Net realized gain (loss) 1,772,052 348,156 
Change in net unrealized appreciation (depreciation) 1,151,379 1,256,046 
Net increase (decrease) in net assets resulting from operations 3,421,972 2,085,655 
Distributions to shareholders from net investment income (480,394) (474,574) 
Distributions to shareholders from net realized gain (412,684) (1,577,139) 
Total distributions (893,078) (2,051,713) 
Share transactions - net increase (decrease) 97,098 919,667 
Total increase (decrease) in net assets 2,625,992 953,609 
Net Assets   
Beginning of period 28,824,793 27,871,184 
End of period $31,450,785 $28,824,793 
Other Information   
Undistributed net investment income end of period $110,667 $100,926 

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


Financial Highlights — Fidelity Balanced Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $22.32 $22.33 $24.40 $21.85 $19.95 
Income from Investment Operations      
Net investment income (loss)A .38 .37 .37 .38 .36 
Net realized and unrealized gain (loss) 2.26 1.25 (.23) 3.68 1.88 
Total from investment operations 2.64 1.62 .14 4.06 2.24 
Distributions from net investment income (.37) (.36) (.35) (.38) (.34) 
Distributions from net realized gain (.32) (1.27) (1.86) (1.13) – 
Total distributions (.69) (1.63) (2.21) (1.51) (.34) 
Net asset value, end of period $24.27 $22.32 $22.33 $24.40 $21.85 
Total ReturnB 12.12% 7.73% .86% 19.46% 11.32% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .55% .55% .56% .56% .58% 
Expenses net of fee waivers, if any .54% .55% .55% .56% .58% 
Expenses net of all reductions .54% .55% .55% .56% .57% 
Net investment income (loss) 1.65% 1.71% 1.59% 1.65% 1.72% 
Supplemental Data      
Net assets, end of period (in millions) $22,915 $20,840 $20,176 $19,574 $16,342 
Portfolio turnover rateE 91% 64% 128% 176% 244%F 

 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 ranged from less than .005% to .01%.

 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, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $22.32 $22.33 $24.40 $21.85 $19.95 
Income from Investment Operations      
Net investment income (loss)A .40 .39 .39 .40 .39 
Net realized and unrealized gain (loss) 2.26 1.25 (.23) 3.69 1.87 
Total from investment operations 2.66 1.64 .16 4.09 2.26 
Distributions from net investment income (.39) (.38) (.37) (.40) (.36) 
Distributions from net realized gain (.32) (1.27) (1.86) (1.13) – 
Total distributions (.71) (1.65) (2.23) (1.54)B (.36) 
Net asset value, end of period $24.27 $22.32 $22.33 $24.40 $21.85 
Total ReturnC 12.22% 7.84% .95% 19.59% 11.45% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .46% .46% .46% .46% .47% 
Expenses net of fee waivers, if any .45% .46% .46% .46% .47% 
Expenses net of all reductions .45% .45% .46% .46% .46% 
Net investment income (loss) 1.74% 1.81% 1.68% 1.75% 1.83% 
Supplemental Data      
Net assets, end of period (in millions) $8,536 $7,984 $7,695 $7,372 $6,330 
Portfolio turnover rateF 91% 64% 128% 176% 244%G 

 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 ranged from less than .005% to .01%.

 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, 2017
(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. Foreign Securities
Restricted Securities
 		.01% 
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 Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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, 2017 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. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

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

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

Gross unrealized appreciation $5,639,595 
Gross unrealized depreciation (543,469) 
Net unrealized appreciation (depreciation) $5,096,126 
Tax Cost $26,257,815 

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

Undistributed ordinary income $350,604 
Undistributed long-term capital gain $1,236,085 
Net unrealized appreciation (depreciation) on securities and other investments $5,096,104 

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $495,855 $ 668,661 
Long-term Capital Gains 397,223 1,383,052 
Total $893,078 $ 2,051,713 

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

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and 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 $4 $33 
Equity Risk   
Futures Contracts 3,550 (793) 
Totals $3,554 $(760) 

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the 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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

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

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 $13,706,882 and $15,506,609, 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 $29,546 .14 
Class K 3,853 .05 
 $33,399  

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 $401 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 $3.

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 $96 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. At period end, there were no security loans outstanding with FCM. 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 $765. 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 $3,961 (including $12 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 $810 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 $60.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $257.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2017 		Year ended August 31, 2016 
From net investment income   
Balanced $342,105 $338,622 
Class K 138,289 135,952 
Total $480,394 $474,574 
From net realized gain   
Balanced $298,179 $1,142,626 
Class K 114,505 434,513 
Total $412,684 $1,577,139 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2017 		Year ended August 31, 2016 Year ended
August 31, 2017 		Year ended August 31, 2016 
Balanced     
Shares sold 141,368 131,640 $3,244,358 $2,809,513 
Reinvestment of distributions 27,313 66,735 609,544 1,414,735 
Shares redeemed (158,212) (168,273) (3,615,666) (3,575,866) 
Net increase (decrease) 10,469 30,102 $238,236 $648,382 
Class K     
Shares sold 59,017 58,496 $1,350,904 $1,246,436 
Reinvestment of distributions 11,324 26,918 252,794 570,465 
Shares redeemed (76,356) (72,307) (1,744,836) (1,545,616) 
Net increase (decrease) (6,015) 13,107 $(141,138) $271,285 

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) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity 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. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 190 funds. Mr. Chiel oversees 142 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 President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present), 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), as a member of the Independent Directors Council (IDC) Governing Council (2010-2015), and as a member of the Board of Directors for The Brookville Center for Children’s Services, Inc. (2009-2017). Mr. Dirks is a member of the Finance Committee (2016-present) and Board of Directors (2017-present) of the Asolo Repertory Theatre.

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a 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 (2014-2017) and a member (2010-2017) of the Board of Directors of Dave & Buster’s Entertainment, Inc. (restaurant and entertainment complexes), 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 Hillman Companies, Inc. (hardware wholesalers, 2010-2014), Earth Fare, Inc. (retail grocery, 2010-2014), and The Western Union Company (global money transfer, 2006-2011).

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 currently Vice Chair of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner and Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007). Mr. Lautenbach also had a 30-year career with IBM (technology company) during which time he served as Senior Vice President and a member of the Corporate Executive Committee (1968-1998).

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).

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 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 Artis-Naples in Naples, Florida. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

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).

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 (UK) 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).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

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

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 (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

The first line of the accompanying table 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, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Balanced .54%    
Actual  $1,000.00 $1,056.10 $2.80 
Hypothetical-C  $1,000.00 $1,022.48 $2.75 
Class K .45%    
Actual  $1,000.00 $1,056.60 $2.33 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year ranged from less than .005% to .01%.

 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 10/16/17 10/13/17 $0.097 $1.153 
Class K 10/16/17 10/13/17 $0.102 $1.153 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $1,377,595,084, or, if subsequently determined to be different, the net capital gain of such year.

A total of 6.03% 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 $160,358,197 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Balanced designates 13%, 52%, 82%, and 82%; Class K designates 13%, 50%, 78%, and 78% of the dividends distributed in October 2016, December 2016, April 2017 and July 2017, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

Balanced designates 16%, 60%, 88% and 88%; Class K designates 15%, 57%, 83%, and 83% of the dividends distributed in October 2016, December 2016, April 2017 and July 2017, 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 2018 of amounts for use in preparing 2017 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. FMR and the sub-advisers are referred to herein as the Investment Advisers. 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 review 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 2017 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.

Amendment to Group Fee Rate. The Board also approved an amendment to the management contract for the fund to add an additional breakpoint to the group fee schedule, effective October 1, 2017. The Board noted that the additional breakpoint would result in lower management fee rates as Fidelity's assets under management increase.

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 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 Fidelity's investment research process, 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) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain lower-priced share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for certain funds; (ix) introducing a new pricing structure for certain funds of funds that is expected to reduce overall expenses paid by shareholders; (x) rationalizing product lines and gaining increased efficiencies through proposals for fund mergers and share class consolidations; (xi) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xii) implementing enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

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, October 2015, and October 2016.

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 Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. 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 2016.

The Board noted that, in 2014, the Board and the boards of other Fidelity funds formed the ad hoc Committee on Group Fee 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 2016.

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 that an ad hoc joint committee created by it and the boards of other Fidelity funds periodically (most recently in 2013) reviews and compares 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 relationships 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 potential 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 a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically (most recently in 2013) analyzes 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, in particular the underperformance of certain funds, and Fidelity's long-term strategies for certain funds; (ii) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results, including the impact of market trends on actively managed funds; (iii) the use of performance fees and the calculation of performance adjustments, including the impact of underperformance and fund outflows on performance adjustments; (iv) metrics for evaluating index fund performance; (v) Fidelity's group fee structure, including the group fee breakpoint schedules; (vi) the terms of Fidelity's contractual and voluntary expense cap arrangements with the funds; (vii) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (viii) the expense structures for different funds and classes; (ix) Fidelity's arrangements with affiliated sub-advisers on behalf of the funds; (x) information regarding other accounts managed by Fidelity, including institutional accounts and collective investment trusts; (xi) recent changes to the fee structure for certain funds of funds; and (xii) the impact of the Department of Labor's new fiduciary rule on the funds' comparative expense information.

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

BAL-K-ANN-1017
1.863051.108

Fidelity® Balanced Fund



Annual Report

August 31, 2017



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

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. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Fidelity® Balanced Fund 12.12% 10.13% 6.36% 

$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, 2007.

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
$18,518Fidelity® Balanced Fund
$20,825S&P 500® Index

Management's Discussion of Fund Performance

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

Comments from Co-Portfolio Manager Robert Stansky:  For the year, the fund’s share classes returned about 12%, topping the 9.74% return of the Fidelity Balanced Hybrid Composite Index℠. The fund’s performance relative to the Composite index benefited from both security selection and an asset allocation that overweighted stocks and underweighted bonds. The equity subportfolio topped its benchmark, the S&P 500® index. Versus that benchmark, stock selection in the information technology and financials sectors added the most value. Autodesk, a maker of design software and one of the subportfolio’s largest holdings, contributed meaningfully. An out-of-benchmark position in electric-vehicle maker Tesla further lifted our result, as did an overweighting in Bank of America. Conversely, picks in the industrials sector detracted. Within that group, we avoided strong-performing aircraft manufacturer Boeing, an index name, which hurt relative performance. An overweighting in retailer L Brands was the subportfolio’s biggest relative detractor, and we reduced this position by period end. The investment-grade bond subportfolio outpaced its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. Our decision to significantly overweight investment-grade credit contributed strongly to the fund’s outperformance, especially our positioning among financial institutions.

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, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Autodesk, Inc. 1.9 1.7 
Apple, Inc. 1.7 2.7 
Alphabet, Inc. Class C 1.6 1.7 
Amazon.com, Inc. 1.4 1.4 
Citigroup, Inc. 1.3 1.1 
 7.9  

Top Five Bond Issuers as of August 31, 2017

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 10.0 9.2 
Fannie Mae 3.6 3.3 
Freddie Mac 1.5 1.7 
Ginnie Mae 1.3 1.2 
Petroleos Mexicanos 0.8 0.1 
 17.2  

Top Five Market Sectors as of August 31, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Information Technology 14.8 13.4 
Financials 14.3 15.2 
Health Care 10.3 9.8 
Consumer Discretionary 10.1 10.1 
Industrials 6.7 6.6 

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Stocks and Equity Futures 66.1% 
   Bonds 31.1% 
   Other Investments 0.5% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.3% 


 * Foreign investments - 8.4%

 ** Futures and Swaps - 0.2%


As of February 28, 2017*,** 
   Stocks and Equity Futures 65.2% 
   Bonds 31.6% 
   Other Investments 0.6% 
   Short-Term Investments and Net Other Assets (Liabilities) 2.6% 


 * Foreign investments - 9.7%

 ** Futures and Swaps - 0.1%


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 and/or institutional.fidelity.com, as applicable.

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

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

Investments August 31, 2017

Showing Percentage of Net Assets

Common Stocks - 65.7%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 8.9%   
Auto Components - 0.3%   
Delphi Automotive PLC 667,700 $64,366 
Hertz Global Holdings, Inc. (a) 1,757,298 38,204 
  102,570 
Automobiles - 0.8%   
Tesla, Inc. (a) 694,682 247,237 
Diversified Consumer Services - 0.4%   
ServiceMaster Global Holdings, Inc. (a) 2,458,634 115,851 
ZTO Express (Cayman), Inc. sponsored ADR (b) 153,100 2,090 
  117,941 
Hotels, Restaurants & Leisure - 1.1%   
Cedar Fair LP (depositary unit) 615,000 42,669 
Compass Group PLC 2,597,000 55,477 
Marriott International, Inc. Class A 622,062 64,433 
Starbucks Corp. 944,674 51,825 
U.S. Foods Holding Corp. (a) 2,035,100 55,863 
Wyndham Worldwide Corp. 863,749 86,099 
  356,366 
Internet & Direct Marketing Retail - 1.8%   
Amazon.com, Inc. (a) 443,200 434,602 
JD.com, Inc. sponsored ADR (a) 406,600 17,041 
Netflix, Inc. (a) 637,314 111,345 
  562,988 
Leisure Products - 0.1%   
Mattel, Inc. 1,542,500 25,019 
Media - 1.8%   
Charter Communications, Inc. Class A (a) 445,307 177,473 
Comcast Corp. Class A 3,795,992 154,155 
DISH Network Corp. Class A (a) 113,800 6,520 
MDC Partners, Inc. Class A (c) 3,115,850 31,782 
The Walt Disney Co. 2,094,300 211,943 
  581,873 
Multiline Retail - 0.3%   
Dollar Tree, Inc. (a) 1,143,800 91,092 
Specialty Retail - 1.8%   
Home Depot, Inc. 1,632,944 244,729 
L Brands, Inc. 965,782 34,981 
Lowe's Companies, Inc. 1,078,000 79,653 
O'Reilly Automotive, Inc. (a) 232,708 45,641 
Ross Stores, Inc. 612,772 35,817 
TJX Companies, Inc. 1,259,695 91,076 
Ulta Beauty, Inc. 114,372 25,277 
  557,174 
Textiles, Apparel & Luxury Goods - 0.5%   
NIKE, Inc. Class B 2,771,750 146,376 
TOTAL CONSUMER DISCRETIONARY  2,788,636 
CONSUMER STAPLES - 5.7%   
Beverages - 1.4%   
Anheuser-Busch InBev SA NV 451,400 53,460 
Coca-Cola European Partners PLC 56,931 2,448 
Constellation Brands, Inc. Class A (sub. vtg.) 416,827 83,407 
Molson Coors Brewing Co. Class B 102,300 9,181 
Monster Beverage Corp. (a) 1,267,881 70,773 
The Coca-Cola Co. 5,057,408 230,365 
  449,634 
Food & Staples Retailing - 1.1%   
CVS Health Corp. 2,245,585 173,674 
Kroger Co. 4,573,208 100,016 
Rite Aid Corp. (a) 4,704,160 11,384 
Walgreens Boots Alliance, Inc. 520,175 42,394 
  327,468 
Food Products - 0.4%   
Blue Buffalo Pet Products, Inc. (a) 481,483 12,403 
Bunge Ltd. 519,870 38,798 
Mondelez International, Inc. 730,800 29,714 
The Hain Celestial Group, Inc. (a) 208,493 8,386 
TreeHouse Foods, Inc. (a) 546,400 36,603 
  125,904 
Household Products - 0.5%   
Colgate-Palmolive Co. 1,917,667 137,382 
Kimberly-Clark Corp. 48,800 6,017 
Spectrum Brands Holdings, Inc. 42,800 4,706 
  148,105 
Personal Products - 0.5%   
Avon Products, Inc. (a) 8,036,932 20,012 
Coty, Inc. Class A 2,295,953 38,067 
Estee Lauder Companies, Inc. Class A 889,782 95,198 
Unilever NV (Certificaten Van Aandelen) (Bearer) 186,500 11,103 
  164,380 
Tobacco - 1.8%   
Altria Group, Inc. 805,213 51,051 
British American Tobacco PLC sponsored ADR 4,180,219 259,675 
Philip Morris International, Inc. 2,286,799 267,395 
  578,121 
TOTAL CONSUMER STAPLES  1,793,612 
ENERGY - 3.6%   
Energy Equipment & Services - 0.6%   
Baker Hughes, a GE Co. Class A 667,800 22,638 
Dril-Quip, Inc. (a) 205,369 7,712 
Hess Midstream Partners LP 439,600 9,258 
NCS Multistage Holdings, Inc. 793,900 15,687 
Oceaneering International, Inc. 455,491 10,271 
Schlumberger Ltd. 1,641,800 104,271 
  169,837 
Oil, Gas & Consumable Fuels - 3.0%   
Anadarko Petroleum Corp. 1,647,902 67,449 
Black Stone Minerals LP 816,100 14,061 
Boardwalk Pipeline Partners, LP 917,100 13,857 
Cabot Oil & Gas Corp. 1,374,050 35,107 
Callon Petroleum Co. (a) 1,971,000 20,420 
Centennial Resource Development, Inc.:   
Class A 651,800 11,270 
Class A (d) 639,500 11,057 
Chevron Corp. 789,505 84,967 
Cimarex Energy Co. 399,702 39,846 
ConocoPhillips Co. 2,436,900 106,395 
Devon Energy Corp. 1,823,900 57,270 
EOG Resources, Inc. 661,300 56,204 
Extraction Oil & Gas, Inc. 897,831 11,797 
Extraction Oil & Gas, Inc. (d) 648,767 8,525 
Exxon Mobil Corp. 1,649,643 125,917 
Newfield Exploration Co. (a) 1,621,200 42,362 
Parsley Energy, Inc. Class A (a) 1,567,630 39,269 
PDC Energy, Inc. (a) 509,200 20,027 
Phillips 66 Co. 767,517 64,326 
Pioneer Natural Resources Co. 377,100 48,891 
PrairieSky Royalty Ltd. 948,737 22,291 
Suncor Energy, Inc. 1,740,900 54,552 
  955,860 
TOTAL ENERGY  1,125,697 
FINANCIALS - 9.3%   
Banks - 4.1%   
Allied Irish Banks PLC 3,105,400 18,506 
Bank of America Corp. 12,855,308 307,113 
Citigroup, Inc. 6,128,012 416,889 
Huntington Bancshares, Inc. 14,370,112 180,920 
JPMorgan Chase & Co. 1,515,754 137,767 
PNC Financial Services Group, Inc. 1,245,500 156,198 
SunTrust Banks, Inc. 811,100 44,692 
Synovus Financial Corp. 386,824 16,293 
  1,278,378 
Capital Markets - 1.8%   
Affiliated Managers Group, Inc. 133,500 23,588 
BlackRock, Inc. Class A 256,876 107,634 
CBOE Holdings, Inc. 451,411 45,543 
E*TRADE Financial Corp. (a) 2,339,649 95,949 
Goldman Sachs Group, Inc. 232,300 51,975 
IntercontinentalExchange, Inc. 884,000 57,168 
Northern Trust Corp. 1,020,100 90,279 
State Street Corp. 1,084,500 100,305 
  572,441 
Consumer Finance - 1.4%   
Capital One Financial Corp. 3,787,463 301,520 
OneMain Holdings, Inc. (a) 1,565,200 42,840 
SLM Corp. (a) 3,376,934 34,343 
Synchrony Financial 2,151,900 66,257 
  444,960 
Diversified Financial Services - 0.5%   
Berkshire Hathaway, Inc.:   
Class A (a) 129 35,017 
Class B (a) 342,100 61,975 
KBC Ancora 398,674 21,687 
Kimbell Royalty Partners LP 442,900 6,949 
On Deck Capital, Inc. (a) 590,700 2,853 
The Simply Good Foods Co. 1,529,800 18,128 
  146,609 
Insurance - 1.5%   
Chubb Ltd. 773,637 109,408 
Hartford Financial Services Group, Inc. 844,000 45,635 
Marsh & McLennan Companies, Inc. 1,200,377 93,725 
MetLife, Inc. 1,698,200 79,527 
The Travelers Companies, Inc. 1,078,400 130,681 
Unum Group 578,100 27,853 
  486,829 
TOTAL FINANCIALS  2,929,217 
HEALTH CARE - 9.6%   
Biotechnology - 3.1%   
Alexion Pharmaceuticals, Inc. (a) 558,204 79,494 
Amgen, Inc. 1,733,358 308,139 
Biogen, Inc. (a) 487,885 154,445 
BioMarin Pharmaceutical, Inc. (a) 259,800 23,431 
Celgene Corp. (a) 267,700 37,192 
Gilead Sciences, Inc. 1,152,700 96,493 
Regeneron Pharmaceuticals, Inc. (a) 176,800 87,852 
Shire PLC sponsored ADR 274,100 40,948 
TESARO, Inc. (a) 283,400 36,598 
Vertex Pharmaceuticals, Inc. (a) 652,600 104,768 
  969,360 
Health Care Equipment & Supplies - 2.2%   
Abbott Laboratories 2,804,000 142,836 
Boston Scientific Corp. (a) 5,997,570 165,233 
Intuitive Surgical, Inc. (a) 140,000 140,654 
Medtronic PLC 1,949,924 157,203 
ResMed, Inc. 484,800 37,611 
Wright Medical Group NV (a) 1,262,200 37,361 
  680,898 
Health Care Providers & Services - 1.9%   
Aetna, Inc. 145,000 22,867 
Henry Schein, Inc. (a) 432,104 75,048 
Humana, Inc. 441,300 113,688 
UnitedHealth Group, Inc. 1,819,300 361,859 
Universal Health Services, Inc. Class B 256,812 27,769 
  601,231 
Health Care Technology - 0.2%   
Cerner Corp. (a) 1,006,000 68,187 
Life Sciences Tools & Services - 0.7%   
Agilent Technologies, Inc. 1,495,300 96,776 
Bio-Rad Laboratories, Inc. Class A (a) 13,546 2,951 
Thermo Fisher Scientific, Inc. 653,797 122,352 
  222,079 
Pharmaceuticals - 1.5%   
Allergan PLC 891,943 204,683 
Bristol-Myers Squibb Co. 2,115,641 127,954 
GlaxoSmithKline PLC sponsored ADR 751,100 30,217 
Jazz Pharmaceuticals PLC (a) 393,800 58,818 
Merck & Co., Inc. 929,100 59,332 
  481,004 
TOTAL HEALTH CARE  3,022,759 
INDUSTRIALS - 6.3%   
Aerospace & Defense - 1.1%   
Axon Enterprise, Inc. (a) 1,370,066 29,744 
Lockheed Martin Corp. 81,200 24,798 
Northrop Grumman Corp. 393,474 107,108 
Raytheon Co. 590,700 107,513 
The Boeing Co. 10,000 2,397 
United Technologies Corp. 629,722 75,390 
  346,950 
Air Freight & Logistics - 0.3%   
C.H. Robinson Worldwide, Inc. 446,767 31,555 
United Parcel Service, Inc. Class B 403,041 46,092 
  77,647 
Airlines - 0.5%   
American Airlines Group, Inc. 2,639,300 118,082 
Southwest Airlines Co. 579,246 30,202 
  148,284 
Building Products - 0.3%   
Allegion PLC 1,274,000 100,277 
Commercial Services & Supplies - 0.1%   
Waste Management, Inc. 249,400 19,231 
Construction & Engineering - 0.1%   
Fluor Corp. 1,162,097 44,822 
Electrical Equipment - 1.3%   
AMETEK, Inc. 1,829,905 115,741 
Fortive Corp. 1,837,865 119,406 
Sensata Technologies Holding BV (a) 2,347,570 104,842 
Sunrun, Inc. (a)(b)(c) 6,747,687 45,210 
Vivint Solar, Inc. (a)(b) 4,715,980 22,401 
  407,600 
Industrial Conglomerates - 0.8%   
3M Co. 102,600 20,963 
General Electric Co. 6,977,576 171,299 
Honeywell International, Inc. 432,600 59,816 
  252,078 
Machinery - 0.1%   
Caterpillar, Inc. 194,900 22,899 
WABCO Holdings, Inc. (a) 74,200 10,657 
  33,556 
Road & Rail - 1.2%   
Avis Budget Group, Inc. (a)(b) 1,665,770 60,351 
CSX Corp. 2,017,720 101,290 
Norfolk Southern Corp. 863,500 104,069 
Union Pacific Corp. 1,172,700 123,485 
  389,195 
Trading Companies & Distributors - 0.5%   
HD Supply Holdings, Inc. (a) 4,814,767 160,332 
TOTAL INDUSTRIALS  1,979,972 
INFORMATION TECHNOLOGY - 14.7%   
Electronic Equipment & Components - 0.8%   
Dell Technologies, Inc. 229,100 17,166 
Jabil, Inc. 6,446,675 202,103 
Samsung SDI Co. Ltd. 121,109 21,168 
  240,437 
Internet Software & Services - 3.9%   
2U, Inc. (a) 127,993 6,412 
58.com, Inc. ADR (a) 1,567,940 98,200 
Alibaba Group Holding Ltd. sponsored ADR (a) 91,200 15,663 
Alphabet, Inc.:   
Class A (a) 200 191 
Class C (a) 545,747 512,637 
Altaba, Inc. 246,151 15,773 
Box, Inc. Class A (a) 1,319,891 25,896 
Facebook, Inc. Class A (a) 2,252,969 387,443 
MercadoLibre, Inc. 81,300 21,014 
MINDBODY, Inc. (a) 2,113,435 49,983 
New Relic, Inc. (a) 722,633 34,614 
Okta, Inc. (b) 42,573 1,149 
Twilio, Inc. Class A (a) 454,500 13,308 
Yext, Inc. (b) 4,042,989 52,599 
  1,234,882 
IT Services - 0.8%   
Cognizant Technology Solutions Corp. Class A 1,485,863 105,155 
FleetCor Technologies, Inc. (a) 439,300 63,158 
PayPal Holdings, Inc. (a) 1,288,271 79,461 
  247,774 
Semiconductors & Semiconductor Equipment - 2.6%   
Analog Devices, Inc. 475,347 39,772 
Broadcom Ltd. 136,784 34,479 
Cavium, Inc. (a) 257,800 16,321 
Cree, Inc. (a) 22,709 553 
Integrated Device Technology, Inc. (a) 1,466,171 36,229 
Mellanox Technologies Ltd. (a) 134,100 6,296 
Micron Technology, Inc. (a) 2,017,126 64,488 
NVIDIA Corp. 226,442 38,368 
ON Semiconductor Corp. (a) 5,065,991 86,527 
Qorvo, Inc. (a) 2,419,330 177,143 
Qualcomm, Inc. 3,255,498 170,165 
Semtech Corp. (a) 866,800 32,592 
Silergy Corp. 717,000 16,012 
Siltronic AG (a) 749,684 73,191 
Skyworks Solutions, Inc. 173,200 18,248 
  810,384 
Software - 4.5%   
Activision Blizzard, Inc. 158,431 10,387 
Adobe Systems, Inc. (a) 241,816 37,520 
Autodesk, Inc. (a) 5,309,629 607,740 
Citrix Systems, Inc. (a) 988,780 77,332 
Electronic Arts, Inc. (a) 327,493 39,790 
HubSpot, Inc. (a) 586,145 42,994 
Microsoft Corp. 3,766,812 281,645 
Parametric Technology Corp. (a) 1,779,511 99,653 
Salesforce.com, Inc. (a) 1,551,220 148,126 
Zendesk, Inc. (a) 1,963,519 53,800 
  1,398,987 
Technology Hardware, Storage & Peripherals - 2.1%   
Apple, Inc. 3,356,618 550,485 
HP, Inc. 5,026,823 95,912 
Western Digital Corp. 307,800 27,170 
  673,567 
TOTAL INFORMATION TECHNOLOGY  4,606,031 
MATERIALS - 1.9%   
Chemicals - 1.3%   
E.I. du Pont de Nemours & Co. 2,119,200 177,864 
LyondellBasell Industries NV Class A 748,200 67,779 
Monsanto Co. 152,200 17,838 
Platform Specialty Products Corp. (a) 2,403,300 28,071 
Sherwin-Williams Co. 168,100 57,031 
The Scotts Miracle-Gro Co. Class A 327,900 31,344 
W.R. Grace & Co. 539,001 38,528 
  418,455 
Construction Materials - 0.1%   
Eagle Materials, Inc. 387,700 37,704 
Containers & Packaging - 0.4%   
Ball Corp. 1,264,100 50,551 
WestRock Co. 1,120,480 63,767 
  114,318 
Metals & Mining - 0.1%   
Steel Dynamics, Inc. 859,800 29,620 
TOTAL MATERIALS  600,097 
REAL ESTATE - 2.1%   
Equity Real Estate Investment Trusts (REITs) - 2.0%   
Altisource Residential Corp. Class B 2,432,917 29,463 
American Homes 4 Rent Class A 573,800 12,715 
American Tower Corp. 1,022,600 151,396 
Boston Properties, Inc. 365,297 44,055 
Colony NorthStar, Inc. 3,200,509 41,959 
CoreSite Realty Corp. 135,800 16,128 
Corporate Office Properties Trust (SBI) 578,000 19,282 
Corrections Corp. of America 233,900 6,269 
DDR Corp. 773,700 7,489 
Equinix, Inc. 112,900 52,883 
Extra Space Storage, Inc. 223,836 17,376 
Gaming & Leisure Properties 161,800 6,341 
Healthcare Trust of America, Inc. 679,300 21,106 
Omega Healthcare Investors, Inc. (b) 162,000 5,163 
Outfront Media, Inc. 965,362 21,238 
Prologis, Inc. 970,200 61,472 
SBA Communications Corp. Class A (a) 144,900 22,249 
Store Capital Corp. 2,270,600 57,628 
Sun Communities, Inc. 212,042 19,150 
VEREIT, Inc. 2,601,300 21,955 
  635,317 
Real Estate Management & Development - 0.1%   
CBRE Group, Inc. (a) 573,803 20,703 
TOTAL REAL ESTATE  656,020 
TELECOMMUNICATION SERVICES - 1.4%   
Diversified Telecommunication Services - 1.4%   
AT&T, Inc. 5,770,364 216,158 
Level 3 Communications, Inc. (a) 659,709 35,908 
Verizon Communications, Inc. 3,368,820 161,602 
Zayo Group Holdings, Inc. (a) 580,863 19,848 
  433,516 
Wireless Telecommunication Services - 0.0%   
T-Mobile U.S., Inc. (a) 247,801 16,035 
TOTAL TELECOMMUNICATION SERVICES  449,551 
UTILITIES - 2.2%   
Electric Utilities - 1.4%   
Edison International 245,133 19,655 
Exelon Corp. 2,407,700 91,180 
FirstEnergy Corp. 824,748 26,870 
Great Plains Energy, Inc. 464,961 14,270 
NextEra Energy, Inc. 1,129,800 170,046 
PG&E Corp. 1,366,529 96,176 
PPL Corp. 539,600 21,174 
  439,371 
Independent Power and Renewable Electricity Producers - 0.1%   
NRG Energy, Inc. 1,043,000 25,981 
NRG Yield, Inc. Class C 946,427 17,509 
  43,490 
Multi-Utilities - 0.7%   
CenterPoint Energy, Inc. 285,000 8,442 
Dominion Resources, Inc. 1,104,022 86,964 
SCANA Corp. 107,956 6,518 
Sempra Energy 999,559 117,878 
  219,802 
TOTAL UTILITIES  702,663 
TOTAL COMMON STOCKS   
(Cost $15,687,042)  20,654,255 
Convertible Preferred Stocks - 0.0%   
INFORMATION TECHNOLOGY - 0.0%   
Software - 0.0%   
MongoDB, Inc. Series F, 8.00% (a)(d)(e)   
(Cost $4,704) 281,270 5,174 
 Principal Amount (000s) Value (000s) 
Nonconvertible Bonds - 10.8%   
CONSUMER DISCRETIONARY - 0.8%   
Automobiles - 0.3%   
General Motors Co. 3.5% 10/2/18 5,595 5,687 
General Motors Financial Co., Inc.:   
3.15% 1/15/20 19,000 19,387 
3.25% 5/15/18 2,895 2,924 
3.5% 7/10/19 41,541 42,559 
4% 1/15/25 7,674 7,774 
4.2% 3/1/21 10,665 11,230 
4.25% 5/15/23 3,220 3,356 
  92,917 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 617 625 
Hotels, Restaurants & Leisure - 0.0%   
McDonald's Corp.:   
2.75% 12/9/20 1,722 1,764 
3.7% 1/30/26 4,539 4,778 
  6,542 
Media - 0.5%   
21st Century Fox America, Inc. 7.75% 12/1/45 9,421 14,325 
AOL Time Warner, Inc. 2.95% 7/15/26 23,000 21,792 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 10,261 10,859 
4.908% 7/23/25 6,898 7,390 
Time Warner Cable, Inc.:   
4% 9/1/21 10,989 11,450 
4.5% 9/15/42 3,752 3,465 
5.5% 9/1/41 3,051 3,125 
5.875% 11/15/40 7,066 7,579 
6.55% 5/1/37 40,485 46,799 
6.75% 7/1/18 1,974 2,050 
7.3% 7/1/38 7,024 8,659 
8.25% 4/1/19 11,974 13,081 
Time Warner, Inc. 2.1% 6/1/19 12,500 12,533 
  163,107 
TOTAL CONSUMER DISCRETIONARY  263,191 
CONSUMER STAPLES - 0.7%   
Beverages - 0.3%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 18,881 19,236 
3.3% 2/1/23 20,335 21,095 
4.7% 2/1/36 19,253 21,344 
4.9% 2/1/46 22,019 25,089 
  86,764 
Food & Staples Retailing - 0.1%   
CVS Health Corp.:   
3.5% 7/20/22 4,494 4,699 
3.875% 7/20/25 7,967 8,368 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 3,939 4,005 
3.3% 11/18/21 4,671 4,839 
  21,911 
Food Products - 0.0%   
William Wrigley Jr. Co. 2% 10/20/17 (f) 5,313 5,316 
Tobacco - 0.3%   
Altria Group, Inc.:   
2.625% 1/14/20 12,900 13,132 
4% 1/31/24 3,615 3,883 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (f) 8,553 8,916 
4.25% 7/21/25 (f) 8,553 9,083 
Reynolds American, Inc.:   
2.3% 6/12/18 3,810 3,825 
3.25% 6/12/20 1,695 1,746 
4% 6/12/22 5,830 6,184 
4.45% 6/12/25 4,227 4,568 
4.85% 9/15/23 8,000 8,844 
5.7% 8/15/35 2,194 2,569 
5.85% 8/15/45 16,830 20,341 
6.15% 9/15/43 14,000 17,362 
7.25% 6/15/37 7,569 10,402 
  110,855 
TOTAL CONSUMER STAPLES  224,846 
ENERGY - 1.8%   
Energy Equipment & Services - 0.1%   
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 2,791 3,021 
6.5% 4/1/20 3,517 3,862 
Halliburton Co.:   
3.8% 11/15/25 4,660 4,814 
4.85% 11/15/35 4,069 4,412 
Noble Holding International Ltd.:   
5.75% 3/16/18 617 622 
7.7% 4/1/25 (g) 3,936 2,932 
8.7% 4/1/45 (g) 3,799 2,716 
  22,379 
Oil, Gas & Consumable Fuels - 1.7%   
Amerada Hess Corp. 7.875% 10/1/29 4,487 5,408 
Anadarko Finance Co. 7.5% 5/1/31 13,089 16,443 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 12,068 12,828 
5.55% 3/15/26 6,563 7,326 
6.45% 9/15/36 1,840 2,150 
6.6% 3/15/46 8,910 10,779 
Canadian Natural Resources Ltd.:   
1.75% 1/15/18 2,851 2,850 
5.85% 2/1/35 4,725 5,274 
Cenovus Energy, Inc.:   
4.25% 4/15/27 (f) 9,753 9,414 
5.7% 10/15/19 2,158 2,268 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,617 1,623 
3.3% 6/1/20 7,911 8,138 
4.5% 6/1/25 2,416 2,595 
DCP Midstream LLC:   
4.75% 9/30/21 (f) 6,909 7,082 
5.35% 3/15/20 (f) 6,814 7,172 
DCP Midstream Operating LP:   
3.875% 3/15/23 2,761 2,689 
4.95% 4/1/22 1,267 1,308 
5.6% 4/1/44 2,216 2,061 
Duke Energy Field Services 6.45% 11/3/36 (f) 6,493 6,834 
Empresa Nacional de Petroleo 4.375% 10/30/24 (f) 5,615 5,901 
Enable Midstream Partners LP:   
2.4% 5/15/19 (g) 1,957 1,948 
3.9% 5/15/24 (g) 2,064 2,067 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,103 8,552 
4.375% 10/15/20 5,808 6,114 
Enbridge, Inc.:   
4.25% 12/1/26 3,252 3,425 
5.5% 12/1/46 3,753 4,305 
Kinder Morgan Energy Partners LP 6.55% 9/15/40 904 1,051 
Marathon Petroleum Corp. 5.125% 3/1/21 4,415 4,789 
Nakilat, Inc. 6.067% 12/31/33 (f) 2,490 2,929 
Nexen, Inc. 6.2% 7/30/19 2,252 2,406 
Petrobras Global Finance BV:   
4.375% 5/20/23 4,137 4,050 
5.625% 5/20/43 22,261 19,523 
7.25% 3/17/44 30,172 31,077 
Petrobras International Finance Co. Ltd. 5.375% 1/27/21 38,192 39,498 
Petroleos Mexicanos:   
3.5% 7/23/20 8,815 9,049 
3.5% 1/30/23 5,005 4,961 
4.5% 1/23/26 11,915 12,031 
4.625% 9/21/23 13,980 14,553 
4.875% 1/24/22 1,430 1,503 
4.875% 1/18/24 7,021 7,312 
5.375% 3/13/22 (f) 4,960 5,322 
5.5% 1/21/21 13,423 14,389 
5.5% 6/27/44 6,301 5,929 
5.625% 1/23/46 11,673 10,976 
6% 3/5/20 4,797 5,174 
6.375% 1/23/45 26,396 27,214 
6.5% 3/13/27 (f) 8,390 9,397 
6.5% 6/2/41 8,420 8,896 
6.75% 9/21/47 12,583 13,528 
6.75% 9/21/47 (f) 8,930 9,601 
6.875% 8/4/26 13,000 14,947 
8% 5/3/19 3,943 4,318 
Phillips 66 Co. 4.3% 4/1/22 6,383 6,865 
Phillips 66 Partners LP 2.646% 2/15/20 652 655 
Southeast Supply Header LLC 4.25% 6/15/24 (f) 5,790 6,015 
Southwestern Energy Co.:   
5.8% 1/23/20 (g) 5,591 5,759 
6.7% 1/23/25 (g) 4,632 4,516 
The Williams Companies, Inc.:   
3.7% 1/15/23 5,046 5,008 
4.55% 6/24/24 25,316 25,886 
Western Gas Partners LP:   
4.65% 7/1/26 2,228 2,317 
5.375% 6/1/21 14,415 15,570 
Williams Partners LP:   
3.6% 3/15/22 6,925 7,140 
3.9% 1/15/25 2,391 2,457 
4% 11/15/21 3,157 3,313 
4.3% 3/4/24 10,014 10,615 
4.5% 11/15/23 3,444 3,690 
  530,783 
TOTAL ENERGY  553,162 
FINANCIALS - 4.8%   
Banks - 2.6%   
Banco Nacional de Desenvolvimento Economico e Social:   
4% 4/14/19 (f) 1,325 1,351 
5.5% 7/12/20 (f) 21,376 22,541 
5.75% 9/26/23 (f) 5,809 6,294 
6.5% 6/10/19 (f) 2,097 2,231 
Bank of America Corp.:   
2.6% 1/15/19 57,427 57,998 
3.5% 4/19/26 9,902 10,085 
3.875% 8/1/25 9,873 10,380 
3.95% 4/21/25 6,998 7,227 
4.2% 8/26/24 11,449 12,057 
4.25% 10/22/26 6,748 7,079 
5.75% 12/1/17 19,000 19,186 
Barclays PLC:   
2% 3/16/18 16,700 16,717 
2.75% 11/8/19 5,728 5,797 
3.25% 1/12/21 8,790 8,983 
4.375% 1/12/26 11,847 12,456 
BB&T Corp. 3.95% 3/22/22 1,805 1,920 
Citigroup, Inc.:   
1.75% 5/1/18 21,658 21,672 
1.85% 11/24/17 13,884 13,893 
2.15% 7/30/18 17,815 17,878 
3.875% 3/26/25 17,000 17,417 
4.05% 7/30/22 17,500 18,439 
4.3% 11/20/26 14,000 14,663 
Citizens Bank NA 2.55% 5/13/21 3,064 3,091 
Citizens Financial Group, Inc. 4.15% 9/28/22 (f) 7,659 8,067 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 8,440 8,558 
3.75% 3/26/25 8,440 8,651 
3.8% 9/15/22 13,270 13,872 
3.8% 6/9/23 16,850 17,569 
Credit Suisse New York Branch 5.4% 1/14/20 1,450 1,558 
Discover Bank 7% 4/15/20 4,144 4,592 
Fifth Third Bancorp:   
2.875% 7/27/20 43,000 43,995 
3.5% 3/15/22 638 665 
4.5% 6/1/18 584 596 
HBOS PLC 6.75% 5/21/18 (f) 560 579 
HSBC Holdings PLC 4.25% 3/14/24 3,415 3,595 
Huntington Bancshares, Inc. 7% 12/15/20 3,353 3,846 
Huntington National Bank:   
1.7% 2/26/18 37,500 37,528 
2.2% 4/1/19 3,200 3,216 
2.4% 4/1/20 40,000 40,363 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (f) 5,410 5,537 
5.71% 1/15/26 (f) 13,365 14,125 
JPMorgan Chase & Co.:   
2.75% 6/23/20 10,395 10,611 
2.95% 10/1/26 34,906 34,371 
3.875% 9/10/24 24,177 25,312 
4.125% 12/15/26 61,229 64,500 
KeyCorp. 5.1% 3/24/21 628 689 
Rabobank Nederland 4.375% 8/4/25 13,516 14,349 
Regions Bank 6.45% 6/26/37 12,100 15,180 
Regions Financial Corp. 3.2% 2/8/21 5,563 5,712 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 65,325 68,907 
6% 12/19/23 12,648 14,016 
6.1% 6/10/23 9,334 10,315 
6.125% 12/15/22 39,429 43,421 
SunTrust Banks, Inc. 2.35% 11/1/18 3,000 3,019 
  836,669 
Capital Markets - 1.2%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 9,670 9,891 
4.25% 2/15/24 3,357 3,566 
Credit Suisse AG 6% 2/15/18 17,158 17,474 
Deutsche Bank AG 4.5% 4/1/25 27,715 27,984 
Deutsche Bank AG London Branch 2.85% 5/10/19 18,270 18,475 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 24,600 24,602 
2.55% 10/23/19 85,599 86,618 
2.6% 4/23/20 1,000 1,012 
2.625% 1/31/19 30,072 30,383 
2.9% 7/19/18 10,319 10,421 
5.95% 1/18/18 5,343 5,427 
6.15% 4/1/18 3,993 4,093 
IntercontinentalExchange, Inc. 2.75% 12/1/20 3,082 3,151 
Lazard Group LLC 4.25% 11/14/20 5,286 5,614 
Moody's Corp.:   
3.25% 1/15/28 (f) 4,208 4,242 
4.875% 2/15/24 3,952 4,408 
Morgan Stanley:   
2.125% 4/25/18 18,100 18,152 
2.5% 1/24/19 43,150 43,556 
2.65% 1/27/20 2,659 2,701 
3.125% 7/27/26 1,531 1,511 
3.7% 10/23/24 5,388 5,613 
4.875% 11/1/22 8,674 9,447 
5.625% 9/23/19 547 586 
5.95% 12/28/17 301 305 
Peachtree Corners Funding Trust 3.976% 2/15/25 (f) 10,000 10,281 
Thomson Reuters Corp. 3.85% 9/29/24 5,214 5,504 
UBS AG Stamford Branch 2.375% 8/14/19 12,750 12,880 
UBS Group Funding Ltd. 4.125% 9/24/25 (f) 9,717 10,308 
  378,205 
Consumer Finance - 0.4%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 3,172 3,260 
Capital One Financial Corp. 2.45% 4/24/19 5,260 5,299 
Discover Financial Services:   
3.85% 11/21/22 2,701 2,809 
3.95% 11/6/24 20,000 20,669 
5.2% 4/27/22 2,488 2,725 
Ford Motor Credit Co. LLC:   
2.145% 1/9/18 25,000 25,028 
2.875% 10/1/18 11,000 11,110 
5% 5/15/18 10,000 10,215 
5.875% 8/2/21 12,574 14,051 
Hyundai Capital America:   
2.125% 10/2/17 (f) 2,357 2,358 
2.55% 2/6/19 (f) 6,671 6,698 
2.875% 8/9/18 (f) 2,848 2,872 
Synchrony Financial:   
3% 8/15/19 2,283 2,316 
3.75% 8/15/21 8,466 8,751 
4.25% 8/15/24 3,469 3,632 
  121,793 
Diversified Financial Services - 0.1%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 11,325 11,309 
3.875% 8/15/22 10,251 10,599 
4.125% 6/15/26 3,990 4,048 
Voya Financial, Inc. 3.125% 7/15/24 4,991 4,978 
  30,934 
Insurance - 0.5%   
AIA Group Ltd. 2.25% 3/11/19 (f) 1,416 1,418 
American International Group, Inc.:   
3.3% 3/1/21 4,640 4,802 
3.75% 7/10/25 14,847 15,424 
4.875% 6/1/22 11,881 13,134 
Aon Corp. 5% 9/30/20 129 140 
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.8522% 5/16/46 (f)(g)(h) 2,508 2,470 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (f) 6,498 7,011 
5% 6/1/21 (f) 8,525 9,310 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 4,819 5,265 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (f) 9,547 9,982 
Metropolitan Life Global Funding I 1.875% 6/22/18 (f) 7,075 7,091 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) 4,915 6,505 
Pacific Life Insurance Co. 9.25% 6/15/39 (f) 3,967 6,545 
Pacific LifeCorp:   
5.125% 1/30/43 (f) 7,709 8,646 
6% 2/10/20 (f) 10,987 11,930 
Prudential Financial, Inc.:   
2.3% 8/15/18 888 894 
7.375% 6/15/19 2,520 2,763 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f) 8,243 9,358 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (f) 1,938 1,971 
4.125% 11/1/24 (f) 2,810 2,990 
Unum Group:   
3.875% 11/5/25 9,271 9,634 
5.625% 9/15/20 3,860 4,232 
5.75% 8/15/42 12,079 14,583 
  156,098 
TOTAL FINANCIALS  1,523,699 
HEALTH CARE - 0.5%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.2% 11/6/22 8,127 8,370 
Health Care Providers & Services - 0.2%   
HCA Holdings, Inc.:   
3.75% 3/15/19 11,874 12,082 
4.25% 10/15/19 20,200 20,831 
4.75% 5/1/23 375 396 
5.875% 3/15/22 450 499 
6.5% 2/15/20 12,966 14,120 
Medco Health Solutions, Inc. 4.125% 9/15/20 5,031 5,308 
WellPoint, Inc. 1.875% 1/15/18 195 195 
  53,431 
Life Sciences Tools & Services - 0.1%   
Thermo Fisher Scientific, Inc.:   
2.4% 2/1/19 1,100 1,108 
3.3% 2/15/22 13,389 13,923 
  15,031 
Pharmaceuticals - 0.2%   
Actavis Funding SCS:   
2.45% 6/15/19 3,839 3,875 
3% 3/12/20 7,106 7,252 
3.45% 3/15/22 12,371 12,853 
Mylan N.V.:   
2.5% 6/7/19 4,811 4,827 
3.15% 6/15/21 9,840 9,980 
3.95% 6/15/26 4,843 4,934 
Perrigo Finance PLC:   
3.5% 12/15/21 739 766 
3.9% 12/15/24 2,611 2,692 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 6,966 6,629 
2.8% 7/21/23 4,987 4,700 
3.15% 10/1/26 5,937 5,433 
Zoetis, Inc. 1.875% 2/1/18 992 992 
  64,933 
TOTAL HEALTH CARE  141,765 
INDUSTRIALS - 0.2%   
Aerospace & Defense - 0.0%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f) 5,000 5,374 
Airlines - 0.0%   
Continental Airlines, Inc.:   
6.648% 9/15/17 176 176 
6.9% 1/2/18 54 55 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 316 323 
8.36% 1/20/19 283 283 
  837 
Machinery - 0.0%   
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,829 1,853 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 3,319 3,324 
2.625% 9/4/18 8,396 8,465 
3.375% 6/1/21 4,953 5,109 
3.75% 2/1/22 7,839 8,239 
3.875% 4/1/21 6,320 6,618 
4.25% 9/15/24 5,492 5,823 
4.75% 3/1/20 5,518 5,862 
  43,440 
TOTAL INDUSTRIALS  51,504 
INFORMATION TECHNOLOGY - 0.0%   
Electronic Equipment & Components - 0.0%   
Tyco Electronics Group SA:   
2.375% 12/17/18 1,262 1,269 
6.55% 10/1/17 1,119 1,123 
  2,392 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (g) 1,397 1,483 
TOTAL INFORMATION TECHNOLOGY  3,875 
MATERIALS - 0.1%   
Metals & Mining - 0.1%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (f)(g) 3,645 3,996 
6.75% 10/19/75 (f)(g) 9,054 10,503 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (f) 2,954 2,991 
4.5% 8/13/23 (Reg. S) 10,600 11,529 
4.5% 8/1/47 (f) 3,000 3,080 
  32,099 
REAL ESTATE - 1.0%   
Equity Real Estate Investment Trusts (REITs) - 0.6%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,369 1,384 
4.6% 4/1/22 2,434 2,617 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,759 1,829 
American Tower Corp. 2.8% 6/1/20 8,000 8,149 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,800 2,919 
Camden Property Trust 2.95% 12/15/22 2,417 2,437 
CommonWealth REIT 5.875% 9/15/20 1,166 1,249 
Corporate Office Properties LP:   
3.7% 6/15/21 4,267 4,396 
5% 7/1/25 4,089 4,411 
DDR Corp.:   
3.625% 2/1/25 4,613 4,509 
3.9% 8/15/24 1,328 1,344 
4.25% 2/1/26 3,429 3,461 
4.625% 7/15/22 4,470 4,732 
Duke Realty LP:   
3.625% 4/15/23 3,152 3,277 
3.75% 12/1/24 2,549 2,667 
3.875% 10/15/22 5,452 5,764 
Equity One, Inc. 3.75% 11/15/22 8,200 8,523 
Federal Realty Investment Trust 5.9% 4/1/20 1,971 2,157 
HCP, Inc.:   
3.15% 8/1/22 7,000 7,148 
3.875% 8/15/24 13,000 13,556 
Health Care REIT, Inc.:   
2.25% 3/15/18 2,600 2,604 
4.125% 4/1/19 13,700 14,107 
4.7% 9/15/17 843 844 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,249 2,284 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 11,855 12,384 
4.5% 1/15/25 4,460 4,585 
4.5% 4/1/27 34,977 35,509 
4.75% 1/15/28 11,399 11,605 
4.95% 4/1/24 2,101 2,229 
5.25% 1/15/26 10,420 11,182 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,583 1,548 
5% 12/15/23 1,140 1,196 
Weingarten Realty Investors 3.375% 10/15/22 1,228 1,260 
WP Carey, Inc. 4% 2/1/25 9,404 9,613 
  197,479 
Real Estate Management & Development - 0.4%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 8,551 8,747 
4.1% 10/1/24 6,548 6,655 
4.55% 10/1/29 7,034 7,247 
4.95% 4/15/18 4,846 4,927 
Digital Realty Trust LP:   
3.4% 10/1/20 9,100 9,419 
3.95% 7/1/22 5,951 6,315 
4.75% 10/1/25 6,539 7,130 
5.25% 3/15/21 4,138 4,517 
Liberty Property LP:   
3.375% 6/15/23 3,313 3,388 
4.125% 6/15/22 3,219 3,409 
4.75% 10/1/20 8,747 9,318 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,556 4,561 
3.15% 5/15/23 7,438 7,098 
4.5% 4/18/22 2,016 2,075 
Post Apartment Homes LP 3.375% 12/1/22 1,364 1,404 
Tanger Properties LP:   
3.125% 9/1/26 4,924 4,683 
3.75% 12/1/24 4,790 4,872 
3.875% 12/1/23 2,716 2,793 
Ventas Realty LP:   
3.125% 6/15/23 2,534 2,561 
3.5% 2/1/25 2,833 2,877 
3.75% 5/1/24 7,900 8,171 
4.125% 1/15/26 2,782 2,928 
4.375% 2/1/45 1,322 1,335 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 4,056 4,060 
4% 4/30/19 1,999 2,057 
  122,547 
TOTAL REAL ESTATE  320,026 
TELECOMMUNICATION SERVICES - 0.3%   
Diversified Telecommunication Services - 0.3%   
AT&T, Inc.:   
2.45% 6/30/20 5,759 5,808 
3.6% 2/17/23 13,016 13,412 
BellSouth Capital Funding Corp. 7.875% 2/15/30 61 81 
Verizon Communications, Inc.:   
2.625% 2/21/20 5,764 5,882 
4.5% 9/15/20 45,631 48,948 
5.012% 4/15/49 5,561 5,585 
5.012% 8/21/54 23,143 22,754 
  102,470 
UTILITIES - 0.6%   
Electric Utilities - 0.5%   
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (f) 5,539 6,275 
6.4% 9/15/20 (f) 14,254 15,975 
Edison International 3.75% 9/15/17 4,499 4,501 
Eversource Energy 1.45% 5/1/18 1,676 1,675 
Exelon Corp. 3.95% 6/15/25 7,948 8,391 
FirstEnergy Corp.:   
4.25% 3/15/23 27,079 28,735 
7.375% 11/15/31 35,412 47,792 
FirstEnergy Solutions Corp. 6.05% 8/15/21 12,120 5,545 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 13,932 14,071 
3.7% 9/1/24 (f) 3,782 3,814 
LG&E and KU Energy LLC 3.75% 11/15/20 1,034 1,082 
Nevada Power Co. 6.5% 8/1/18 2,642 2,758 
NV Energy, Inc. 6.25% 11/15/20 1,957 2,201 
Pennsylvania Electric Co. 6.05% 9/1/17 618 618 
PG&E Corp. 2.4% 3/1/19 931 937 
Progress Energy, Inc. 4.4% 1/15/21 405 431 
TECO Finance, Inc. 5.15% 3/15/20 164 175 
West Penn Power Co. 5.95% 12/15/17 (f) 6,500 6,572 
  151,548 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,473 2,614 
Texas Eastern Transmission LP 6% 9/15/17 (f) 1,301 1,302 
  3,916 
Independent Power and Renewable Electricity Producers - 0.0%   
Emera U.S. Finance LP:   
2.15% 6/15/19 2,358 2,361 
2.7% 6/15/21 2,321 2,345 
3.55% 6/15/26 3,712 3,782 
  8,488 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 3.5964% 9/30/66 (g)(h) 20,448 18,749 
3 month U.S. LIBOR + 2.825% 4.1214% 6/30/66 (g)(h) 5,485 5,314 
NiSource Finance Corp. 6.8% 1/15/19 624 664 
Puget Energy, Inc. 6% 9/1/21 813 918 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.4275% 5/15/67 (g)(h) 4,882 4,723 
  30,368 
TOTAL UTILITIES  194,320 
TOTAL NONCONVERTIBLE BONDS   
(Cost $3,281,185)  3,410,957 
U.S. Government and Government Agency Obligations - 10.0%   
U.S. Treasury Inflation-Protected Obligations - 1.7%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $122,142 $118,273 
1% 2/15/46 25,545 26,318 
1.375% 2/15/44 102,469 114,712 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/26 73,067 71,821 
0.25% 1/15/25 65,181 65,047 
0.375% 1/15/27 30,341 30,324 
0.625% 1/15/26 103,091 105,522 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  532,017 
U.S. Treasury Obligations - 8.3%   
U.S. Treasury Bills, yield at date of purchase 0.99% to 1.03% 9/14/17 to 11/16/17 (i) 6,570 6,563 
U.S. Treasury Bonds:   
3% 5/15/45 (j) 30,750 32,468 
3% 11/15/45 85,886 90,616 
3% 2/15/47 148,375 156,570 
3% 5/15/47 68,210 72,012 
U.S. Treasury Notes:   
1.25% 3/31/21 287,028 284,068 
1.25% 10/31/21 441,071 434,352 
1.5% 8/15/26 20,991 19,976 
1.75% 6/30/22 95,692 95,868 
1.875% 3/31/22 207,272 209,029 
1.875% 8/31/24 377,750 375,891 
2% 12/31/21 442,692 449,108 
2.125% 7/31/24 336,093 340,045 
2.375% 5/15/27 31,530 32,215 
TOTAL U.S. TREASURY OBLIGATIONS  2,598,781 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $3,117,311)  3,130,798 
U.S. Government Agency - Mortgage Securities - 0.3%   
Fannie Mae - 0.2%   
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (g)(h) 82 84 
12 month U.S. LIBOR + 1.900% 3.606% 7/1/37 (g)(h) 172 179 
2.5% 11/1/42 to 4/1/43 1,041 1,026 
3% 12/1/30 to 9/1/46 15,877 16,145 
3.5% 9/1/29 to 3/1/44 8,011 8,402 
4% 11/1/31 1,408 1,501 
4.5% 12/1/23 to 6/1/41 783 841 
5% 7/1/33 to 11/1/44 8,043 8,851 
5.5% 9/1/24 to 9/1/41 10,054 11,073 
6% 6/1/35 to 8/1/37 2,988 3,410 
6.5% 7/1/32 to 8/1/36 604 699 
TOTAL FANNIE MAE  52,211 
Freddie Mac - 0.1%   
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (g)(h) 108 114 
3% 4/1/31 to 6/1/31 1,686 1,744 
3.5% 4/1/43 to 4/1/46 17,457 18,155 
4% 1/1/41 to 2/1/46 17,442 18,540 
4.5% 7/1/25 to 4/1/41 7,294 7,891 
5% 3/1/19 to 7/1/41 2,629 2,885 
5.5% 1/1/34 to 3/1/40 661 737 
6% 7/1/37 to 8/1/37 160 183 
6.5% 3/1/36 463 536 
TOTAL FREDDIE MAC  50,785 
Ginnie Mae - 0.0%   
3.5% 3/15/42 205 215 
4% 9/20/40 to 1/15/43 4,750 5,066 
4.5% 4/20/41 1,534 1,659 
5% 5/15/39 519 572 
5.5% 2/15/37 to 1/15/39 354 398 
TOTAL GINNIE MAE  7,910 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $109,763)  110,906 
Asset-Backed Securities - 0.2%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 1.9394% 4/25/35 (g)(h) $729 $719 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.8844% 3/25/34 (g)(h) 207 207 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.2844% 12/25/33 (g)(h) 37 36 
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (g)(h) 99 88 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.0144% 3/25/34 (g)(h) 53 50 
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.2844% 11/25/34 (g)(h) 507 505 
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 5/25/34 (g)(h) 1,255 1,204 
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.3944% 5/25/36 (g)(h) 1,193 463 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (g)(h) 1,518 1,424 
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6044% 3/25/36 (g)(h) 18 7 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (f) 17,655 18,293 
Class AA, 2.487% 12/16/41 (f) 4,294 4,320 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.73% 4/20/20 10,478 10,488 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3744% 12/25/36 (g)(h) 1,978 1,647 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.6894% 4/25/34 (g)(h) 57 54 
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.0294% 6/25/34 (g)(h) 86 86 
Series 2004-7 Class AF5, 5.868% 1/25/35 671 681 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5544% 8/25/33 (g)(h) 212 209 
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.5244% 8/25/33 (g)(h) 376 366 
Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700%1.9322% 12/25/33 (g)(h) 36 35 
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 1.9452% 5/28/35 (g)(h) 43 41 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.4094% 8/25/34 (g)(h) 238 232 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 3/25/34 (g)(h) 3 2 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1 month U.S. LIBOR + 0.735% 1.9694% 1/25/35 (g)(h) 1,041 1,018 
Class M4, 1 month U.S. LIBOR + 1.020% 2.2544% 1/25/35 (g)(h) 381 223 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.6972% 2/25/47 (f)(g)(h) 1,420 1,344 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 1.4089% 11/15/34 (f)(g)(h) 367 356 
Class B, 1 month U.S. LIBOR + 0.280% 1.5067% 11/15/34 (f)(g)(h) 133 124 
Class C, 1 month U.S. LIBOR + 0.380% 1.6067% 11/15/34 (f)(g)(h) 220 204 
Class D, 1 month U.S. LIBOR + 0.750% 1.9767% 11/15/34 (f)(g)(h) 84 76 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.4244% 1/25/37 (g)(h) 1,581 1,126 
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (g)(h) 2,909 2,009 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5344% 5/25/37 (g)(h) 303 91 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 1.9844% 7/25/34 (g)(h) 89 84 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.2094% 7/25/34 (g)(h) 135 130 
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3444% 4/25/37 (g)(h) 3 2 
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.7544% 6/25/35 (g)(h) 1,216 1,179 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 1.9144% 8/25/34 (g)(h) 63 56 
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.8944% 1/25/35 (g)(h) 134 129 
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 2.9894% 3/25/35 (g)(h) 137 4 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.7444% 9/25/35 (g)(h) 1,566 1,535 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 1 month U.S. LIBOR + 1.875% 3.1072% 9/25/34 (g)(h) 526 521 
Class M4, 1 month U.S. LIBOR + 2.175% 3.4072% 9/25/34 (g)(h) 750 605 
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.4794% 1/25/36 (g)(h) 1,620 1,595 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.0344% 4/25/33 (g)(h) 6 5 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.0294% 3/25/35 (g)(h) 530 520 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.1956% 6/15/33 (g)(h) 199 199 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 2.9594% 9/25/34 (g)(h) 36 33 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.0944% 9/25/34 (g)(h) 32 30 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.7098% 4/6/42 (e)(f)(g)(h) 2,116 1,069 
TOTAL ASSET-BACKED SECURITIES   
(Cost $46,166)  55,424 
Collateralized Mortgage Obligations - 0.1%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.7944% 1/25/35 (g)(h) 608 613 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.1125% 10/25/34 (g) 281 283 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4234% 8/25/36 (g) 717 689 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.3861% 2/25/37 (g)(h) 414 403 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.5244% 7/25/35 (g)(h) 512 505 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 1 month U.S. LIBOR + 2.350% 3.5744% 6/10/35 (f)(g)(h) 227 161 
Class B6, 1 month U.S. LIBOR + 2.850% 4.0744% 6/10/35 (f)(g)(h) 48 27 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (g)(h) 21 21 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.368% 4/25/33 (g) 43 43 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 1 month U.S. LIBOR + 0.200% 1.4344% 9/25/36 (g)(h) 332 331 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.8744% 9/25/43 (g)(h) 1,425 1,376 
TOTAL PRIVATE SPONSOR  4,452 
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 (k) 9,438 9,408 
Series 2015-H21 Class JA, 2.5% 6/20/65 (k) 9,743 9,816 
TOTAL U.S. GOVERNMENT AGENCY  19,224 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $22,926)  23,676 
Commercial Mortgage Securities - 0.2%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6895% 2/14/43 (g)(l) 43 0 
Barclays Commercial Mortgage Securities LLC floater Series 2015-RRI:   
Class B, 1 month U.S. LIBOR + 1.700% 2.8589% 5/15/32 (f)(g)(h) 7,236 7,256 
Class C, 1 month U.S. LIBOR + 2.050% 3.3089% 5/15/32 (f)(g)(h) 6,417 6,431 
Class D, 1 month U.S. LIBOR + 2.900% 4.1589% 5/15/32 (f)(g)(h) 3,365 3,367 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.5094% 12/25/33 (f)(g)(h) 23 22 
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.400% 1.6344% 11/25/35 (f)(g)(h) 240 222 
Class M1, 1 month U.S. LIBOR + 0.440% 1.6744% 11/25/35 (f)(g)(h) 31 28 
Class M2, 1 month U.S. LIBOR + 0.490% 1.7244% 11/25/35 (f)(g)(h) 40 33 
Class M3, 1 month U.S. LIBOR + 0.510% 1.7444% 11/25/35 (f)(g)(h) 36 29 
Class M4, 1 month U.S. LIBOR + 0.600% 1.8344% 11/25/35 (f)(g)(h) 45 35 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 1.6244% 1/25/36 (f)(g)(h) 634 587 
Class B1, 1 month U.S. LIBOR + 1.400% 2.6344% 1/25/36 (f)(g)(h) 28 23 
Class M1, 1 month U.S. LIBOR + 0.450% 1.6844% 1/25/36 (f)(g)(h) 204 190 
Class M2, 1 month U.S. LIBOR + 0.470% 1.7044% 1/25/36 (f)(g)(h) 61 54 
Class M3, 1 month U.S. LIBOR + 0.500% 1.7344% 1/25/36 (f)(g)(h) 90 74 
Class M4, 1 month U.S. LIBOR + 0.610% 1.8444% 1/25/36 (f)(g)(h) 50 45 
Class M5, 1 month U.S. LIBOR + 0.650% 1.8844% 1/25/36 (f)(g)(h) 50 38 
Class M6, 1 month U.S. LIBOR + 0.700% 1.9344% 1/25/36 (f)(g)(h) 53 40 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.360% 1.5944% 4/25/36 (f)(g)(h) 95 86 
Class M1, 1 month U.S. LIBOR + 0.380% 1.6144% 4/25/36 (f)(g)(h) 34 29 
Class M2, 1 month U.S. LIBOR + 0.400% 1.6344% 4/25/36 (f)(g)(h) 36 30 
Class M3, 1 month U.S. LIBOR + 0.420% 1.6544% 4/25/36 (f)(g)(h) 31 26 
Class M4, 1 month U.S. LIBOR + 0.520% 1.7544% 4/25/36 (f)(g)(h) 17 15 
Class M5, 1 month U.S. LIBOR + 0.560% 1.7944% 4/25/36 (f)(g)(h) 17 14 
Class M6, 1 month U.S. LIBOR + 0.640% 1.8744% 4/25/36 (f)(g)(h) 34 28 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.310% 1.5444% 7/25/36 (f)(g)(h) 80 71 
Class M2, 1 month U.S. LIBOR + 0.330% 1.5644% 7/25/36 (f)(g)(h) 57 50 
Class M3, 1 month U.S. LIBOR + 0.350% 1.5844% 7/25/36 (f)(g)(h) 47 41 
Class M4, 1 month U.S. LIBOR + 0.420% 1.6544% 7/25/36 (f)(g)(h) 32 28 
Class M5, 1 month U.S. LIBOR + 0.470% 1.7044% 7/25/36 (f)(g)(h) 39 34 
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6644% 10/25/36 (f)(g)(h) 28 22 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 12/25/36 (f)(g)(h) 1,834 1,690 
Class M1, 1 month U.S. LIBOR + 0.290% 1.5244% 12/25/36 (f)(g)(h) 122 94 
Class M2, 1 month U.S. LIBOR + 0.310% 1.5444% 12/25/36 (f)(g)(h) 81 62 
Class M3, 1 month U.S. LIBOR + 0.340% 1.5744% 12/25/36 (f)(g)(h) 82 46 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 3/25/37 (f)(g)(h) 372 329 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 1.4861% 7/25/37 (f)(g)(h) 385 363 
Class A2, 1 month U.S. LIBOR + 0.320% 1.5361% 7/25/37 (f)(g)(h) 361 333 
Class M1, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(g)(h) 126 101 
Class M2, 1 month U.S. LIBOR + 0.410% 1.6261% 7/25/37 (f)(g)(h) 69 56 
Class M3, 1 month U.S. LIBOR + 0.490% 1.7061% 7/25/37 (f)(g)(h) 55 45 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 1.5061% 7/25/37 (f)(g)(h) 383 357 
Class M1, 1 month U.S. LIBOR + 0.310% 1.5261% 7/25/37 (f)(g)(h) 76 68 
Class M2, 1 month U.S. LIBOR + 0.340% 1.5561% 7/25/37 (f)(g)(h) 81 72 
Class M3, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(g)(h) 128 98 
Class M4, 1 month U.S. LIBOR + 0.500% 1.7161% 7/25/37 (f)(g)(h) 201 138 
Class M5, 1 month U.S. LIBOR + 0.600% 1.8161% 7/25/37 (f)(g)(h) 76 41 
Series 2007-4A Class M1, 1 month U.S. LIBOR + 0.950% 2.1844% 9/25/37 (f)(g)(h) 9 4 
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(l) 793 27 
Series 2006-3A, Class IO, 0% 10/25/36 (e)(f)(g)(l) 12,412 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW18 Class A4, 5.7% 6/11/50 2,105 2,108 
CSMC Series 2015-TOWN:   
Class B, 1 month U.S. LIBOR + 1.900% 3.1256% 3/15/28 (f)(g)(h) 1,574 1,574 
Class C, 1 month U.S. LIBOR + 2.250% 3.4756% 3/15/28 (f)(g)(h) 1,534 1,534 
Class D, 1 month U.S. LIBOR + 3.200% 4.4256% 3/15/28 (f)(g)(h) 2,321 2,321 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (f)(g) 7,930 8,118 
Class CFX, 3.3822% 12/15/34 (f)(g) 6,656 6,792 
Class DFX, 3.3822% 12/15/34 (f)(g) 5,641 5,718 
LB-UBS Commercial Mortgage Trust Series 2007-C7 Class A3, 5.866% 9/15/45 822 823 
Merrill Lynch Mortgage Trust Series 2008-C1 Class A4, 5.69% 2/12/51 469 469 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (f)(g) 10,024 10,127 
Class B, 4.181% 11/15/34 (f) 3,538 3,601 
Class C, 5.205% 11/15/34 (f) 2,482 2,561 
Wachovia Bank Commercial Mortgage Trust Series 2007-C30:   
Class C, 5.483% 12/15/43 (g) 3,942 3,916 
Class D, 5.513% 12/15/43 (g) 2,102 1,994 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $71,020)  74,528 
Municipal Securities - 0.7%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,255 $1,873 
7.5% 4/1/34 8,780 12,942 
7.55% 4/1/39 17,675 27,489 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,360 1,391 
Series 2010 C1, 7.781% 1/1/35 13,980 16,519 
Series 2012 B, 5.432% 1/1/42 6,845 6,773 
Series 2014 B, 6.314% 1/1/44 12,355 13,246 
6.05% 1/1/29 475 497 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 1,748 1,769 
4.95% 6/1/23 8,975 9,333 
5.1% 6/1/33 40,400 40,592 
Series 2010-1, 6.63% 2/1/35 17,960 19,820 
Series 2010-3:   
5.547% 4/1/19 185 191 
6.725% 4/1/35 10,580 11,644 
7.35% 7/1/35 5,140 5,926 
Series 2010-5, 6.2% 7/1/21 3,296 3,493 
Series 2011:   
5.665% 3/1/18 9,625 9,784 
5.877% 3/1/19 26,600 27,682 
Series 2013, 4% 12/1/20 7,040 7,148 
TOTAL MUNICIPAL SECURITIES   
(Cost $206,578)  218,112 
Foreign Government and Government Agency Obligations - 0.0%   
Brazilian Federative Republic 4.875% 1/22/21 $  
(Cost $3,119) 3,000 $3,197 
Bank Notes - 0.3%   
Capital One NA:   
1.65% 2/5/18 $8,000 $7,998 
2.95% 7/23/21 8,837 8,983 
Discover Bank:   
(Delaware) 3.2% 8/9/21 10,936 11,223 
3.1% 6/4/20 11,505 11,788 
8.7% 11/18/19 745 840 
RBS Citizens NA 2.5% 3/14/19 5,410 5,459 
Regions Bank 7.5% 5/15/18 13,814 14,348 
UBS AG Stamford Branch 1.8% 3/26/18 12,466 12,487 
Wachovia Bank NA 6% 11/15/17 8,083 8,153 
TOTAL BANK NOTES   
(Cost $80,202)  81,279 
 Shares Value (000s) 
Fixed-Income Funds - 8.5%   
Fidelity High Income Central Fund 2 (m) 6,372,306 $725,041 
Fidelity Mortgage Backed Securities Central Fund (m) 17,911,554 1,948,228 
TOTAL FIXED-INCOME FUNDS   
(Cost $2,561,118)  2,673,269 
Money Market Funds - 2.9%   
Fidelity Cash Central Fund, 1.11% (n) 875,513,489 875,689 
Fidelity Securities Lending Cash Central Fund 1.11% (n)(o) 36,793,408 36,797 
TOTAL MONEY MARKET FUNDS   
(Cost $912,380)  912,486 
TOTAL INVESTMENT IN SECURITIES - 99.7%   
(Cost $26,103,514)  31,354,061 
NET OTHER ASSETS (LIABILITIES) - 0.3%  96,724 
NET ASSETS - 100%  $31,450,785 

Futures Contracts      
 Number of contracts Expiration Date Notional amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Equity Index Contracts      
CME E-mini S&P 500 Index Contracts (United States) 953 Sept. 2017 $117,700 $1,589 $1,589 

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

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty Fixed Payment Received/(Paid) Payment Frequency 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% Monthly $161 $(120) $0 $(120) 

 (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 $24,756,000 or 0.1% of net assets.

 (e) Level 3 instrument

 (f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $426,767,000 or 1.4% of net assets.

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

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

 (i) 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 $4,223,000.

 (j) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $120,000.

 (k) 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.

 (l) 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.

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

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

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


Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost (000s) 
Centennial Resource Development, Inc. Class A 12/28/16 $9,298 
Extraction Oil & Gas, Inc. 12/12/16 $11,840 
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 $5,841 
Fidelity High Income Central Fund 2 46,989 
Fidelity Mortgage Backed Securities Central Fund 52,005 
Fidelity Securities Lending Cash Central Fund 3,961 
Total $108,796 

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

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity High Income Central Fund 2 $706,179 $-- $-- $-- $18,862 $725,041 81.9% 
Fidelity Mortgage Backed Securities Central Fund 2,185,003 141,509 342,158 12,514 (48,640) 1,948,228 29.1% 
Total $2,891,182 $141,509 $342,158 $12,514 $(29,778) $2,673,269  

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 Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
MDC Partners, Inc. Class A $37,297 $5,343 $3,853 $-- $(4,370) $(2,635) $31,782 
Sunrun, Inc. 32,153 8,319 -- -- -- 4,738 45,210 
Total $69,450 $13,662 $3,853 $-- $(4,370) $2,103 $76,992 

Investment Valuation

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

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,788,636 $2,788,636 $-- $-- 
Consumer Staples 1,793,612 1,729,049 64,563 -- 
Energy 1,125,697 1,125,697 -- -- 
Financials 2,929,217 2,929,217 -- -- 
Health Care 3,022,759 3,022,759 -- -- 
Industrials 1,979,972 1,979,972 -- -- 
Information Technology 4,611,205 4,606,031 -- 5,174 
Materials 600,097 600,097 -- -- 
Real Estate 656,020 656,020 -- -- 
Telecommunication Services 449,551 449,551 -- -- 
Utilities 702,663 702,663 -- -- 
Corporate Bonds 3,410,957 -- 3,410,957 -- 
U.S. Government and Government Agency Obligations 3,130,798 -- 3,130,798 -- 
U.S. Government Agency - Mortgage Securities 110,906 -- 110,906 -- 
Asset-Backed Securities 55,424 -- 54,355 1,069 
Collateralized Mortgage Obligations 23,676 -- 23,676 -- 
Commercial Mortgage Securities 74,528 -- 74,528 -- 
Municipal Securities 218,112 -- 218,112 -- 
Foreign Government and Government Agency Obligations 3,197 -- 3,197 -- 
Bank Notes 81,279 -- 81,279 -- 
Fixed-Income Funds 2,673,269 2,673,269 -- -- 
Money Market Funds 912,486 912,486 -- -- 
Total Investments in Securities: $31,354,061 $24,175,447 $7,172,371 $6,243 
Derivative Instruments:     
Assets     
Futures Contracts $1,589 $1,589 $-- $-- 
Total Assets $1,589 $1,589 $-- $-- 
Liabilities     
Swaps $(120) $-- $(120) $-- 
Total Liabilities $(120) $-- $(120) $-- 
Total Derivative Instruments: $1,469 $1,589 $(120) $-- 

Value of Derivative Instruments

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

Primary Risk Exposure / Derivative Type Value 
 Asset Liability 
(Amounts in thousands)   
Credit Risk   
Swaps(a) $0 $(120) 
Total Credit Risk 0 (120) 
Equity Risk   
Futures Contracts(b) 1,589 0 
Total Equity Risk 1,589 0 
Total Value of Derivatives $1,589 $(120) 

 (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 on futures contracts, 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 17.1% 
AAA,AA,A 2.6% 
BBB 7.4% 
BB 2.5% 
B 1.5% 
CCC,CC,C 0.3% 
Not Rated 0.0% 
Equities 65.7% 
Short-Term Investments and Net Other Assets 2.9% 

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.

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, 2017 
Assets   
Investment in securities, at value (including securities loaned of $36,031) — See accompanying schedule:
Unaffiliated issuers (cost $22,530,747) 		$27,691,314  
Fidelity Central Funds (cost $3,473,498) 3,585,755  
Other affiliated issuers (cost $99,269) 76,992  
Total Investment in Securities (cost $26,103,514)  $31,354,061 
Cash  176 
Foreign currency held at value (cost $3)  3 
Receivable for investments sold  685,814 
Receivable for fund shares sold  16,923 
Dividends receivable  33,423 
Interest receivable  50,817 
Distributions receivable from Fidelity Central Funds  4,852 
Receivable for daily variation margin on futures contracts  681 
Other receivables  1,703 
Total assets  32,148,453 
Liabilities   
Payable for investments purchased $627,870  
Payable for fund shares redeemed 18,183  
Bi-lateral OTC swaps, at value 120  
Accrued management fee 10,269  
Other affiliated payables 3,088  
Other payables and accrued expenses 1,343  
Collateral on securities loaned 36,795  
Total liabilities  697,668 
Net Assets  $31,450,785 
Net Assets consist of:   
Paid in capital  $24,769,240 
Undistributed net investment income  110,667 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  1,318,885 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  5,251,993 
Net Assets  $31,450,785 
Balanced:   
Net Asset Value, offering price and redemption price per share ($22,915,001 ÷ 944,223 shares)  $24.27 
Class K:   
Net Asset Value, offering price and redemption price per share ($8,535,784 ÷ 351,711 shares)  $24.27 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2017 
Investment Income   
Dividends  $332,080 
Interest   211,367 
Income from Fidelity Central Funds  108,796 
Total income  652,243 
Expenses   
Management fee $117,651  
Transfer agent fees 33,399  
Accounting and security lending fees 2,308  
Custodian fees and expenses 460  
Independent trustees' fees and expenses 120  
Appreciation in deferred trustee compensation account 1  
Registration fees 345  
Audit 213  
Legal 83  
Miscellaneous 249  
Total expenses before reductions 154,829  
Expense reductions (1,127) 153,702 
Net investment income (loss)  498,541 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 1,756,831  
Fidelity Central Funds 12,567  
Other affiliated issuers (4,370)  
Foreign currency transactions 58  
Futures contracts 3,550  
Swaps 4  
Capital gain distributions from Fidelity Central Funds 3,412  
Total net realized gain (loss)  1,772,052 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 1,179,677  
Fidelity Central Funds (29,672)  
Other Affiliated issuers 2,103  
Assets and liabilities in foreign currencies 32  
Futures contracts (793)  
Swaps 33  
Delayed delivery commitments (1)  
Total change in net unrealized appreciation (depreciation)  1,151,379 
Net gain (loss)  2,923,431 
Net increase (decrease) in net assets resulting from operations  $3,421,972 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $498,541 $481,453 
Net realized gain (loss) 1,772,052 348,156 
Change in net unrealized appreciation (depreciation) 1,151,379 1,256,046 
Net increase (decrease) in net assets resulting from operations 3,421,972 2,085,655 
Distributions to shareholders from net investment income (480,394) (474,574) 
Distributions to shareholders from net realized gain (412,684) (1,577,139) 
Total distributions (893,078) (2,051,713) 
Share transactions - net increase (decrease) 97,098 919,667 
Total increase (decrease) in net assets 2,625,992 953,609 
Net Assets   
Beginning of period 28,824,793 27,871,184 
End of period $31,450,785 $28,824,793 
Other Information   
Undistributed net investment income end of period $110,667 $100,926 

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


Financial Highlights — Fidelity Balanced Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $22.32 $22.33 $24.40 $21.85 $19.95 
Income from Investment Operations      
Net investment income (loss)A .38 .37 .37 .38 .36 
Net realized and unrealized gain (loss) 2.26 1.25 (.23) 3.68 1.88 
Total from investment operations 2.64 1.62 .14 4.06 2.24 
Distributions from net investment income (.37) (.36) (.35) (.38) (.34) 
Distributions from net realized gain (.32) (1.27) (1.86) (1.13) – 
Total distributions (.69) (1.63) (2.21) (1.51) (.34) 
Net asset value, end of period $24.27 $22.32 $22.33 $24.40 $21.85 
Total ReturnB 12.12% 7.73% .86% 19.46% 11.32% 
Ratios to Average Net AssetsC,D      
Expenses before reductions .55% .55% .56% .56% .58% 
Expenses net of fee waivers, if any .54% .55% .55% .56% .58% 
Expenses net of all reductions .54% .55% .55% .56% .57% 
Net investment income (loss) 1.65% 1.71% 1.59% 1.65% 1.72% 
Supplemental Data      
Net assets, end of period (in millions) $22,915 $20,840 $20,176 $19,574 $16,342 
Portfolio turnover rateE 91% 64% 128% 176% 244%F 

 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 ranged from less than .005% to .01%.

 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, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $22.32 $22.33 $24.40 $21.85 $19.95 
Income from Investment Operations      
Net investment income (loss)A .40 .39 .39 .40 .39 
Net realized and unrealized gain (loss) 2.26 1.25 (.23) 3.69 1.87 
Total from investment operations 2.66 1.64 .16 4.09 2.26 
Distributions from net investment income (.39) (.38) (.37) (.40) (.36) 
Distributions from net realized gain (.32) (1.27) (1.86) (1.13) – 
Total distributions (.71) (1.65) (2.23) (1.54)B (.36) 
Net asset value, end of period $24.27 $22.32 $22.33 $24.40 $21.85 
Total ReturnC 12.22% 7.84% .95% 19.59% 11.45% 
Ratios to Average Net AssetsD,E      
Expenses before reductions .46% .46% .46% .46% .47% 
Expenses net of fee waivers, if any .45% .46% .46% .46% .47% 
Expenses net of all reductions .45% .45% .46% .46% .46% 
Net investment income (loss) 1.74% 1.81% 1.68% 1.75% 1.83% 
Supplemental Data      
Net assets, end of period (in millions) $8,536 $7,984 $7,695 $7,372 $6,330 
Portfolio turnover rateF 91% 64% 128% 176% 244%G 

 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 ranged from less than .005% to .01%.

 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, 2017
(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. Foreign Securities
Restricted Securities
 		.01% 
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 Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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, 2017 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. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. 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, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

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

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

Gross unrealized appreciation $5,639,595 
Gross unrealized depreciation (543,469) 
Net unrealized appreciation (depreciation) $5,096,126 
Tax Cost $26,257,815 

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

Undistributed ordinary income $350,604 
Undistributed long-term capital gain $1,236,085 
Net unrealized appreciation (depreciation) on securities and other investments $5,096,104 

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $495,855 $ 668,661 
Long-term Capital Gains 397,223 1,383,052 
Total $893,078 $ 2,051,713 

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

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

4. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and 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 $4 $33 
Equity Risk   
Futures Contracts 3,550 (793) 
Totals $3,554 $(760) 

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

Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the 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 on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.

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

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 $13,706,882 and $15,506,609, 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 $29,546 .14 
Class K 3,853 .05 
 $33,399  

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 $401 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 $3.

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 $96 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. At period end, there were no security loans outstanding with FCM. 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 $765. 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 $3,961 (including $12 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 $810 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 $60.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $257.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2017 		Year ended August 31, 2016 
From net investment income   
Balanced $342,105 $338,622 
Class K 138,289 135,952 
Total $480,394 $474,574 
From net realized gain   
Balanced $298,179 $1,142,626 
Class K 114,505 434,513 
Total $412,684 $1,577,139 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2017 		Year ended August 31, 2016 Year ended
August 31, 2017 		Year ended August 31, 2016 
Balanced     
Shares sold 141,368 131,640 $3,244,358 $2,809,513 
Reinvestment of distributions 27,313 66,735 609,544 1,414,735 
Shares redeemed (158,212) (168,273) (3,615,666) (3,575,866) 
Net increase (decrease) 10,469 30,102 $238,236 $648,382 
Class K     
Shares sold 59,017 58,496 $1,350,904 $1,246,436 
Reinvestment of distributions 11,324 26,918 252,794 570,465 
Shares redeemed (76,356) (72,307) (1,744,836) (1,545,616) 
Net increase (decrease) (6,015) 13,107 $(141,138) $271,285 

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) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity 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. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 190 funds. Mr. Chiel oversees 142 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 President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present), 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), as a member of the Independent Directors Council (IDC) Governing Council (2010-2015), and as a member of the Board of Directors for The Brookville Center for Children’s Services, Inc. (2009-2017). Mr. Dirks is a member of the Finance Committee (2016-present) and Board of Directors (2017-present) of the Asolo Repertory Theatre.

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a 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 (2014-2017) and a member (2010-2017) of the Board of Directors of Dave & Buster’s Entertainment, Inc. (restaurant and entertainment complexes), 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 Hillman Companies, Inc. (hardware wholesalers, 2010-2014), Earth Fare, Inc. (retail grocery, 2010-2014), and The Western Union Company (global money transfer, 2006-2011).

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 currently Vice Chair of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner and Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007). Mr. Lautenbach also had a 30-year career with IBM (technology company) during which time he served as Senior Vice President and a member of the Corporate Executive Committee (1968-1998).

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).

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 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 Artis-Naples in Naples, Florida. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

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).

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 (UK) 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).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

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

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 (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

The first line of the accompanying table 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, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Balanced .54%    
Actual  $1,000.00 $1,056.10 $2.80 
Hypothetical-C  $1,000.00 $1,022.48 $2.75 
Class K .45%    
Actual  $1,000.00 $1,056.60 $2.33 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 

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

 B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year ranged from less than .005% to .01%.

 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 10/16/17 10/13/17 $0.097 $1.153 
Class K 10/16/17 10/13/17 $0.102 $1.153 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $1,377,595,084, or, if subsequently determined to be different, the net capital gain of such year.

A total of 6.03% 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 $160,358,197 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Balanced designates 13%, 52%, 82%, and 82%; Class K designates 13%, 50%, 78%, and 78% of the dividends distributed in October 2016, December 2016, April 2017 and July 2017, respectively during the fiscal year as qualifying for the dividends–received deduction for corporate shareholders.

Balanced designates 16%, 60%, 88% and 88%; Class K designates 15%, 57%, 83%, and 83% of the dividends distributed in October 2016, December 2016, April 2017 and July 2017, 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 2018 of amounts for use in preparing 2017 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. FMR and the sub-advisers are referred to herein as the Investment Advisers. 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 review 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 2017 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.

Amendment to Group Fee Rate. The Board also approved an amendment to the management contract for the fund to add an additional breakpoint to the group fee schedule, effective October 1, 2017. The Board noted that the additional breakpoint would result in lower management fee rates as Fidelity's assets under management increase.

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 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 Fidelity's investment research process, 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) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain lower-priced share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for certain funds; (ix) introducing a new pricing structure for certain funds of funds that is expected to reduce overall expenses paid by shareholders; (x) rationalizing product lines and gaining increased efficiencies through proposals for fund mergers and share class consolidations; (xi) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xii) implementing enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

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, October 2015, and October 2016.

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 Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. 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 2016.

The Board noted that, in 2014, the Board and the boards of other Fidelity funds formed the ad hoc Committee on Group Fee 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 2016.

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 that an ad hoc joint committee created by it and the boards of other Fidelity funds periodically (most recently in 2013) reviews and compares 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 relationships 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 potential 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 a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically (most recently in 2013) analyzes 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, in particular the underperformance of certain funds, and Fidelity's long-term strategies for certain funds; (ii) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results, including the impact of market trends on actively managed funds; (iii) the use of performance fees and the calculation of performance adjustments, including the impact of underperformance and fund outflows on performance adjustments; (iv) metrics for evaluating index fund performance; (v) Fidelity's group fee structure, including the group fee breakpoint schedules; (vi) the terms of Fidelity's contractual and voluntary expense cap arrangements with the funds; (vii) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (viii) the expense structures for different funds and classes; (ix) Fidelity's arrangements with affiliated sub-advisers on behalf of the funds; (x) information regarding other accounts managed by Fidelity, including institutional accounts and collective investment trusts; (xi) recent changes to the fee structure for certain funds of funds; and (xii) the impact of the Department of Labor's new fiduciary rule on the funds' comparative expense information.

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-1017
1.536127.121

Fidelity® Puritan® Fund

Class K



Annual Report

August 31, 2017



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts and Management Fees


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

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

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

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

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



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Class K 12.76% 10.40% 6.78% 

 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, 2007.

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


Period Ending Values
$19,277Fidelity® Puritan® Fund - Class K
$20,825S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  The U.S. equity bellwether S&P 500® index gained 16.23% for the year ending August 31, 2017. Equity markets rose sharply following the November election and continued to rally through the end of February on optimism for President Trump’s pro-business agenda. Stocks leveled off in March amid fading optimism and stalled efforts by Congress to repeal and replace the Affordable Care Act. Upward momentum soon returned and continued until the index cooled off in August, when geopolitical tension escalated and uncertainty grew regarding the future of health care, tax reform and the debt ceiling. Sector-wise, information technology (+31%) and financials (+26%) performed best, the latter supported by a surge in banks. Conversely, energy (-6%) was hurt by low oil prices. Consumer staples (+4%), telecom (-4%) and real estate (+3%) all struggled amid a resurgence in investor risk appetite, in turn bolstering U.S. corporate high-yield bonds to a gain of 8.78%, as measured by The BofA Merrill Lynch℠ US High Yield Constrained Index. Investment-grade debt rose only 0.49%, according to the Bloomberg Barclays U.S. Aggregate Bond Index, as yields increased markedly following the U.S. presidential election before moderating. Within the Bloomberg Barclays index, high-grade corporate bonds led all major market segments, up 2.13%, and U.S. Treasuries returned -5%.

Comments from Lead Portfolio Manager Ramin Arani:  For the fiscal year, the fund’s share classes gained about 13%, topping the 9.74% advance of the Fidelity Puritan Composite Index℠ – a 60/40 blend of the S&P 500® and the Bloomberg Barclays U.S. Aggregate Bond Index. Versus the Composite, we benefited roughly equally from security selection and asset allocation. With equities gaining 16% and investment-grade bonds finishing slightly above breakeven, relative results benefited from my decision to overweight stocks and underweight fixed income. A non-index stake in high-yield debt provided a much smaller boost. It helped to avoid energy firm Exxon Mobil, an index stock that struggled this period and was our top individual contributor versus the Composite. A sizable stake in consumer-electronics maker Apple also helped. Conversely, notable detractors included Anadarko Petroleum, which I bought in September 2016, and Medtronic, a Dublin-based maker of medical devices. The fund’s investment-grade bond investments outperformed the subportfolio’s benchmark, meaningfully boosting the fund’s performance versus the Composite. Early on, the subportfolio benefited from overweightings in corporate bonds and TIPS (Treasury Inflation-Protected Securities). Among the best-performing bonds in the subportfolio were some emerging-markets quasi-sovereign issues, including petroleum enterprises Petroleos Mexicanos (Mexico) and Petrobras (Brazil).

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, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Apple, Inc. 3.8 3.2 
Alphabet, Inc. Class C 3.2 2.9 
Microsoft Corp. 2.3 2.0 
Facebook, Inc. Class A 2.1 1.7 
Visa, Inc. Class A 1.5 1.3 
 12.9  

Top Five Bond Issuers as of August 31, 2017

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 5.8 5.7 
Fannie Mae 3.0 2.9 
Freddie Mac 1.4 1.6 
Ginnie Mae 1.1 1.1 
Bank of America Corp. 0.4 0.4 
 11.7  

Top Five Market Sectors as of August 31, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Information Technology 20.0 19.0 
Financials 16.9 17.6 
Consumer Discretionary 12.6 12.0 
Health Care 10.8 9.9 
Industrials 6.9 5.9 

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Stocks 69.3% 
   Bonds 28.1% 
   Convertible Securities 0.9% 
   Other Investments 0.9% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.8% 


 * Foreign investments - 12.3%

 ** Futures and Swaps - 0.1%


As of February 28, 2017*,** 
   Stocks 68.8% 
   Bonds 29.6% 
   Convertible Securities 0.8% 
   Other Investments 1.0% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (0.2)% 


 * Foreign investments - 14.2%

 ** Futures and Swaps - 0.1%

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


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

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

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

Investments August 31, 2017

Showing Percentage of Net Assets

Common Stocks - 69.3%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 10.5%   
Auto Components - 0.0%   
Chassix Holdings, Inc. (a)(b) 18,330 $594 
Delphi Automotive PLC 18,393 1,773 
  2,367 
Automobiles - 0.3%   
General Motors Co. 78,098 2,854 
General Motors Co. warrants 7/10/19 (a) 8,394 153 
Tesla, Inc. (a) 202,600 72,105 
  75,112 
Hotels, Restaurants & Leisure - 2.2%   
Extended Stay America, Inc. unit 150,000 2,939 
Marriott International, Inc. Class A 701,400 72,651 
McDonald's Corp. 1,136,500 181,806 
Penn National Gaming, Inc. (a) 161,400 3,581 
Red Rock Resorts, Inc. 278,655 6,298 
U.S. Foods Holding Corp. (a) 192,900 5,295 
Vail Resorts, Inc. 1,058,927 241,382 
Wyndham Worldwide Corp. 271,300 27,043 
Wynn Resorts Ltd. 211,700 29,424 
  570,419 
Household Durables - 0.6%   
Newell Brands, Inc. 1,642,696 79,309 
Toll Brothers, Inc. 1,561,400 60,832 
TRI Pointe Homes, Inc. (a) 1,495,900 19,058 
  159,199 
Internet & Direct Marketing Retail - 2.1%   
Amazon.com, Inc. (a) 352,100 345,269 
Netflix, Inc. (a) 335,800 58,668 
Priceline Group, Inc. (a) 76,600 141,869 
  545,806 
Leisure Products - 0.1%   
Hasbro, Inc. 287,000 28,198 
Media - 3.0%   
Altice NV Class A (a) 523,244 12,065 
AMC Networks, Inc. Class A (a) 53,800 3,270 
Charter Communications, Inc. Class A (a) 284,164 113,251 
Comcast Corp. Class A 4,536,300 184,219 
Lions Gate Entertainment Corp.:   
Class A (c) 748,900 22,265 
Class B 2,086,185 58,559 
Live Nation Entertainment, Inc. (a) 1,263,600 50,493 
Time Warner, Inc. 573,600 57,991 
Tribune Media Co. Class A 13,773 552 
tronc, Inc. (a) 3,443 50 
Vertis Holdings, Inc. (a)(b) 1,934 0 
Vice Holding, Inc. (a)(b)(d) 86,301 197,217 
Vivendi SA 1,129,624 25,920 
WME Entertainment Parent, LLC Class A (a)(b)(d)(e) 24,723,425 61,809 
  787,661 
Specialty Retail - 1.1%   
Home Depot, Inc. 1,464,900 219,545 
L Brands, Inc. 300,800 10,895 
TJX Companies, Inc. 420,700 30,417 
Ulta Beauty, Inc. 164,400 36,334 
  297,191 
Textiles, Apparel & Luxury Goods - 1.1%   
Brunello Cucinelli SpA 1,407,200 42,215 
Christian Dior SA 202,800 62,613 
Hermes International SCA 81,100 42,895 
lululemon athletica, Inc. (a) 508,200 29,247 
Luxottica Group SpA 81,800 4,708 
NIKE, Inc. Class B 1,203,900 63,578 
Ralph Lauren Corp. 51,500 4,526 
Tory Burch LLC:   
Class A (e) 702,741 31,110 
Class B (a)(b)(d)(e) 324,840 15,264 
  296,156 
TOTAL CONSUMER DISCRETIONARY  2,762,109 
CONSUMER STAPLES - 3.6%   
Beverages - 1.7%   
Anheuser-Busch InBev SA NV 120,700 14,295 
Coca-Cola European Partners PLC 963,200 41,418 
Constellation Brands, Inc. Class A (sub. vtg.) 238,300 47,684 
Kweichow Moutai Co. Ltd. (A Shares) 273,469 20,382 
Molson Coors Brewing Co. Class B 234,900 21,082 
Monster Beverage Corp. (a) 1,569,300 87,598 
PepsiCo, Inc. 994,000 115,036 
The Coca-Cola Co. 2,443,200 111,288 
  458,783 
Food & Staples Retailing - 0.2%   
Costco Wholesale Corp. 329,500 51,646 
Ovation Acquisition I LLC (a)(b)(d) 389,576 0 
  51,646 
Food Products - 0.3%   
Bunge Ltd. 264,000 19,702 
Mondelez International, Inc. 583,700 23,733 
The Kraft Heinz Co. 320,600 25,888 
  69,323 
Household Products - 0.4%   
Procter & Gamble Co. 802,100 74,010 
Spectrum Brands Holdings, Inc. 392,900 43,203 
  117,213 
Personal Products - 0.8%   
Estee Lauder Companies, Inc. Class A 952,900 101,951 
L'Oreal SA  10,600 2,238 
Unilever NV (Certificaten Van Aandelen) (Bearer) 1,784,600 106,245 
  210,434 
Tobacco - 0.2%   
British American Tobacco PLC (United Kingdom) 747,500 46,633 
TOTAL CONSUMER STAPLES  954,032 
ENERGY - 4.0%   
Energy Equipment & Services - 0.8%   
Baker Hughes, a GE Co. Class A 66,045 2,239 
Halliburton Co. 1,911,800 74,503 
Schlumberger Ltd. 2,178,582 138,362 
  215,104 
Oil, Gas & Consumable Fuels - 3.2%   
Alpha Natural Resources Holdings, Inc. 1,903 9 
Anadarko Petroleum Corp. 2,548,300 104,302 
ANR, Inc. 1,903 35 
ANR, Inc. rights 3/31/23 (b) 1,131,145 9 
Apache Corp. 1,286,300 49,960 
Cabot Oil & Gas Corp. 1,064,000 27,185 
Chevron Corp. 2,275,400 244,879 
Cimarex Energy Co. 160,000 15,950 
ConocoPhillips Co. 1,806,600 78,876 
Contura Energy, Inc. 135 8 
Contura Energy, Inc. warrants 7/26/23 220 6 
EOG Resources, Inc. 520,000 44,195 
Extraction Oil & Gas, Inc. 755,865 9,932 
Golar LNG Ltd. 542,100 11,753 
Imperial Oil Ltd. 1,628,000 48,055 
LINN Energy, Inc. 54,178 1,817 
Noble Energy, Inc. 1,611,800 38,312 
Pioneer Natural Resources Co. 151,100 19,590 
RSP Permian, Inc. (a) 748,900 23,500 
Southwestern Energy Co. (a) 52,016 283 
Suncor Energy, Inc. 3,946,500 123,665 
The Williams Companies, Inc. 33,200 987 
Warrior Met Coal, Inc. Class A 5,773 150 
  843,458 
TOTAL ENERGY  1,058,562 
FINANCIALS - 11.1%   
Banks - 6.5%   
Bank of America Corp. 15,027,200 359,000 
Citigroup, Inc. 4,168,140 283,559 
First Republic Bank 50,000 4,853 
Hangzhou Hikvision Digital Technology Co. Ltd. ELS (BNP Paribas Warrant Program) warrants 9/29/17 (f) 8,871,375 43,281 
Huntington Bancshares, Inc. 4,112,900 51,781 
JPMorgan Chase & Co. 3,165,523 287,714 
PNC Financial Services Group, Inc. 842,500 105,658 
SunTrust Banks, Inc. 2,171,100 119,628 
TCF Financial Corp. 258,400 4,013 
U.S. Bancorp 2,726,700 139,743 
Wells Fargo & Co. 6,072,540 310,125 
  1,709,355 
Capital Markets - 1.4%   
Brighthouse Financial, Inc. 8,354 477 
CBOE Holdings, Inc. 401,900 40,548 
Charles Schwab Corp. 1,021,200 40,746 
Goldman Sachs Group, Inc. 706,900 158,162 
Motors Liquidation Co. GUC Trust (a) 28,150 242 
Northern Trust Corp. 597,200 52,852 
S&P Global, Inc. 328,800 50,744 
TD Ameritrade Holding Corp. 839,300 36,358 
  380,129 
Consumer Finance - 0.8%   
Capital One Financial Corp. 2,179,600 173,518 
Synchrony Financial 1,370,300 42,192 
  215,710 
Diversified Financial Services - 1.0%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 251,070 
Insurance - 1.4%   
Chubb Ltd. 1,642,247 232,247 
Hartford Financial Services Group, Inc. 942,100 50,939 
MetLife, Inc. 1,825,500 85,488 
  368,674 
TOTAL FINANCIALS  2,924,938 
HEALTH CARE - 9.8%   
Biotechnology - 3.2%   
ACADIA Pharmaceuticals, Inc. (a) 860,504 30,643 
Acceleron Pharma, Inc. (a) 130,400 5,054 
Alexion Pharmaceuticals, Inc. (a) 626,200 89,177 
Amgen, Inc. 2,216,700 394,063 
Asterias Biotherapeutics, Inc. warrants 9/29/17 (a) 26,174 6 
Biogen, Inc. (a) 221,900 70,245 
Celgene Corp. (a) 225,600 31,343 
Geron Corp. (a)(c) 3,139,900 6,814 
Gilead Sciences, Inc. 397,700 33,291 
Neurocrine Biosciences, Inc. (a) 579,100 32,777 
Spark Therapeutics, Inc. (a) 178,800 14,721 
Vertex Pharmaceuticals, Inc. (a) 839,100 134,709 
  842,843 
Health Care Equipment & Supplies - 2.6%   
Becton, Dickinson & Co. 608,700 121,399 
Boston Scientific Corp. (a) 8,711,900 240,013 
Corindus Vascular Robotics, Inc. (a)(c) 1,315,800 2,513 
Corindus Vascular Robotics, Inc. (a)(d) 5,000,000 9,550 
Danaher Corp. 1,192,200 99,453 
Intuitive Surgical, Inc. (a) 73,600 73,944 
Medtronic PLC 1,494,686 120,502 
  667,374 
Health Care Providers & Services - 2.0%   
Aetna, Inc. 673,700 106,242 
HCA Holdings, Inc. (a) 73,100 5,750 
HealthSouth Corp. 15 1 
Humana, Inc. 550,400 141,794 
Legend Acquisition, Inc. (a)(b) 2,509 60 
Legend Acquisition, Inc.:   
Class A warrants (a)(b) 17,259 0 
Class B warrants (a)(b) 22,759 0 
UnitedHealth Group, Inc. 1,408,400 280,131 
  533,978 
Pharmaceuticals - 2.0%   
Allergan PLC 1,127,489 258,736 
Bristol-Myers Squibb Co. 1,304,600 78,902 
GlaxoSmithKline PLC sponsored ADR 1,160,400 46,683 
Jazz Pharmaceuticals PLC (a) 114,600 17,117 
Johnson & Johnson 272,400 36,058 
The Medicines Company (a) 618,500 22,693 
TherapeuticsMD, Inc. (a) 5,109,226 30,655 
Theravance Biopharma, Inc. (a) 961,200 31,402 
  522,246 
TOTAL HEALTH CARE  2,566,441 
INDUSTRIALS - 6.3%   
Aerospace & Defense - 2.0%   
General Dynamics Corp. 273,100 54,989 
Huntington Ingalls Industries, Inc. 371,800 79,550 
Northrop Grumman Corp. 610,600 166,211 
Raytheon Co. 614,200 111,791 
Rockwell Collins, Inc. 427,300 55,998 
United Technologies Corp. 516,400 61,823 
  530,362 
Air Freight & Logistics - 0.1%   
FedEx Corp. 147,500 31,621 
Building Products - 0.4%   
Lennox International, Inc. 138,300 22,920 
Masco Corp. 1,879,000 69,091 
Masonite International Corp. (a) 10,749 680 
  92,691 
Commercial Services & Supplies - 0.0%   
TulCo LLC (b)(d)(e) 27,200 9,520 
WP Rocket Holdings, Inc. (a)(b)(d) 5,819,318 58 
  9,578 
Construction & Engineering - 0.0%   
Keane Group, Inc. 250,000 3,238 
Electrical Equipment - 0.2%   
AMETEK, Inc. 369,500 23,371 
Fortive Corp. 596,100 38,729 
  62,100 
Industrial Conglomerates - 0.3%   
Honeywell International, Inc. 502,200 69,439 
Machinery - 2.4%   
AGCO Corp. 710,900 48,661 
Allison Transmission Holdings, Inc. 2,449,700 85,078 
Caterpillar, Inc. 1,843,300 216,569 
Cummins, Inc. 411,100 65,521 
Deere & Co. 720,300 83,504 
Ingersoll-Rand PLC 520,500 44,445 
WABCO Holdings, Inc. (a) 534,500 76,765 
  620,543 
Road & Rail - 0.8%   
CSX Corp. 1,057,900 53,107 
Norfolk Southern Corp. 1,223,100 147,408 
  200,515 
Trading Companies & Distributors - 0.1%   
United Rentals, Inc. (a) 321,900 38,004 
TOTAL INDUSTRIALS  1,658,091 
INFORMATION TECHNOLOGY - 19.2%   
Communications Equipment - 0.2%   
Cisco Systems, Inc. 1,197,000 38,555 
Electronic Equipment & Components - 0.3%   
Amphenol Corp. Class A 677,600 54,845 
CDW Corp. 73,100 4,636 
E Ink Holdings, Inc. GDR (f) 140,100 2,022 
Keysight Technologies, Inc. (a) 637,727 26,058 
  87,561 
Internet Software & Services - 5.7%   
Alibaba Group Holding Ltd. sponsored ADR (a) 400,400 68,765 
Alphabet, Inc. Class C (a) 896,383 841,999 
Facebook, Inc. Class A (a) 3,187,060 548,079 
Mail.Ru Group Ltd. GDR (a)(f) 77,400 2,298 
Pandora Media, Inc. (a) 23,894 202 
Spotify Technology SA (a)(b)(d)(g) 12,209 41,196 
  1,502,539 
IT Services - 3.5%   
Cognizant Technology Solutions Corp. Class A 1,175,800 83,211 
Global Payments, Inc. 724,600 69,192 
MasterCard, Inc. Class A 1,497,800 199,657 
PayPal Holdings, Inc. (a) 2,419,600 149,241 
Visa, Inc. Class A 3,962,400 410,188 
  911,489 
Semiconductors & Semiconductor Equipment - 1.0%   
Analog Devices, Inc. 477,600 39,961 
Broadcom Ltd. 437,230 110,213 
Cypress Semiconductor Corp. 1,614 22 
KLA-Tencor Corp. 646,600 60,580 
Qorvo, Inc. (a) 199,900 14,637 
Texas Instruments, Inc. 600,600 49,742 
  275,155 
Software - 4.7%   
Activision Blizzard, Inc. 2,390,100 156,695 
Adobe Systems, Inc. (a) 1,087,600 168,752 
Atom Tickets LLC (b)(d)(e) 2,580,511 15,000 
Citrix Systems, Inc. (a) 215,400 16,846 
Deem, Inc. (a)(b)(d) 124,895 24 
Electronic Arts, Inc. (a) 856,800 104,101 
Microsoft Corp. 8,000,100 598,167 
Oracle Corp. 1,718,600 86,497 
Salesforce.com, Inc. (a) 1,039,400 99,252 
  1,245,334 
Technology Hardware, Storage & Peripherals - 3.8%   
Apple, Inc. 6,032,500 989,330 
TOTAL INFORMATION TECHNOLOGY  5,049,963 
MATERIALS - 2.7%   
Chemicals - 2.3%   
AdvanSix, Inc. 40,176 1,283 
CF Industries Holdings, Inc. 425,700 12,341 
E.I. du Pont de Nemours & Co. 3,077,475 258,292 
FMC Corp. 280,300 24,167 
LyondellBasell Industries NV Class A 1,850,998 167,682 
Monsanto Co. 795,800 93,268 
Potash Corp. of Saskatchewan, Inc. 551,000 9,588 
Sherwin-Williams Co. 69,100 23,444 
The Chemours Co. LLC 395,195 19,392 
The Scotts Miracle-Gro Co. Class A 61,400 5,869 
  615,326 
Construction Materials - 0.1%   
Eagle Materials, Inc. 199,200 19,372 
Metals & Mining - 0.3%   
AngloGold Ashanti Ltd. sponsored ADR 57,230 580 
Freeport-McMoRan, Inc. (a) 3,628,900 53,635 
Newmont Mining Corp. 372,700 14,289 
Randgold Resources Ltd. sponsored ADR 150,700 15,445 
  83,949 
TOTAL MATERIALS  718,647 
REAL ESTATE - 1.0%   
Equity Real Estate Investment Trusts (REITs) - 1.0%   
American Tower Corp. 1,771,900 262,330 
Gaming & Leisure Properties 126,400 4,954 
Omega Healthcare Investors, Inc. 181,000 5,768 
  273,052 
TELECOMMUNICATION SERVICES - 0.3%   
Diversified Telecommunication Services - 0.0%   
Iliad SA 28,725 7,419 
Wireless Telecommunication Services - 0.3%   
T-Mobile U.S., Inc. (a) 1,088,800 70,456 
TOTAL TELECOMMUNICATION SERVICES  77,875 
UTILITIES - 0.8%   
Electric Utilities - 0.7%   
Edison International 1,127,707 90,420 
NextEra Energy, Inc. 302,600 45,544 
PPL Corp. 410,800 16,120 
Xcel Energy, Inc. 746,300 36,942 
  189,026 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 21,746 
TOTAL UTILITIES  210,772 
TOTAL COMMON STOCKS   
(Cost $12,312,474)  18,254,482 
Convertible Preferred Stocks - 0.9%   
CONSUMER DISCRETIONARY - 0.4%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(b)(d) 1,082,251 11 
Roku, Inc. Series F, 8.00% (a)(b)(d) 5,520,836 10,324 
  10,335 
Internet & Direct Marketing Retail - 0.0%   
The Honest Co., Inc. Series D (a)(b)(d) 196,700 6,296 
Leisure Products - 0.0%   
Peloton Interactive, Inc. Series E (b)(d) 461,642 10,000 
Specialty Retail - 0.2%   
Moda Operandi, Inc. Series E (a)(b)(d) 508,444 38,306 
Textiles, Apparel & Luxury Goods - 0.1%   
Rent the Runway, Inc. Series E (b)(d) 1,378,930 32,046 
TOTAL CONSUMER DISCRETIONARY  96,983 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 169,100 2,241 
HEALTH CARE - 0.1%   
Health Care Providers & Services - 0.1%   
Get Heal, Inc. Series B (b)(d) 8,512,822 1,777 
Mulberry Health, Inc. Series A8 (a)(b)(d) 2,960,879 18,822 
  20,599 
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 9,300 7,585 
Teva Pharmaceutical Industries Ltd. 7% 5,570 1,767 
  9,352 
TOTAL HEALTH CARE  29,951 
INDUSTRIALS - 0.0%   
Aerospace & Defense - 0.0%   
Space Exploration Technologies Corp. Series H (b)(d) 51,921 7,009 
INFORMATION TECHNOLOGY - 0.4%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00% (a)(b)(d) 1,611,548 78,599 
Software - 0.1%   
Jello Labs, Inc. Series C (b)(d) 1,050,307 17,000 
TOTAL INFORMATION TECHNOLOGY  95,599 
UTILITIES - 0.0%   
Independent Power and Renewable Electricity Producers - 0.0%   
Dynegy, Inc. 7.00% 42,400 2,838 
TOTAL CONVERTIBLE PREFERRED STOCKS   
(Cost $173,462)  234,621 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 15.3%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 346 
3.5% 1/15/31 (f) 4,584 2,557 
  2,903 
Nonconvertible Bonds - 15.3%   
CONSUMER DISCRETIONARY - 1.6%   
Automobiles - 0.2%   
General Motors Co. 3.5% 10/2/18 4,530 4,604 
General Motors Financial Co., Inc.:   
3.15% 1/15/20 12,000 12,245 
3.25% 5/15/18 3,070 3,101 
3.5% 7/10/19 17,868 18,306 
4% 1/15/25 6,368 6,451 
4.25% 5/15/23 3,285 3,424 
4.375% 9/25/21 11,267 11,947 
Tesla, Inc. 5.3% 8/15/25 (f) 5,215 5,143 
  65,221 
Distributors - 0.0%   
American Tire Distributors, Inc. 10.25% 3/1/22 (f) 3,085 3,185 
Diversified Consumer Services - 0.0%   
Ascend Learning LLC 6.875% 8/1/25 (f) 580 603 
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 554 561 
Laureate Education, Inc. 8.25% 5/1/25 (f) 4,910 5,340 
Service Corp. International 5.375% 1/15/22 505 519 
  7,023 
Hotels, Restaurants & Leisure - 0.3%   
Aramark Services, Inc. 5.125% 1/15/24 4,620 4,909 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 4,628 
Chukchansi Economic Development Authority 9.75% 5/30/20 (f)(h) 2,861 1,573 
Eldorado Resorts, Inc. 6% 4/1/25 455 483 
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26 735 797 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (f) 5,680 5,936 
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. 6.125% 12/1/24 (f) 1,080 1,185 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 1,940 2,027 
4.875% 4/1/27 1,165 1,235 
Jacobs Entertainment, Inc. 7.875% 2/1/24 (f) 435 469 
KFC Holding Co./Pizza Hut Holding LLC:   
4.75% 6/1/27 (f) 1,325 1,360 
5% 6/1/24 (f) 5,275 5,514 
Landry's Acquisition Co. 6.75% 10/15/24 (f) 1,640 1,661 
McDonald's Corp. 3.7% 1/30/26 3,379 3,557 
MGM Mirage, Inc. 6% 3/15/23 1,630 1,801 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (f) 865 866 
NCL Corp. Ltd. 4.75% 12/15/21 (f) 5,000 5,181 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 (i) 4,650 4,941 
Penn National Gaming, Inc. 5.625% 1/15/27 (f) 355 368 
Playa Resorts Holding BV 8% 8/15/20 (f) 90 94 
Scientific Games Corp.:   
6.25% 9/1/20 580 583 
6.625% 5/15/21 5,350 5,537 
7% 1/1/22 (f) 1,275 1,361 
10% 12/1/22 6,840 7,610 
Silversea Cruises 7.25% 2/1/25 (f) 745 803 
Studio City Co. Ltd.:   
5.875% 11/30/19 (f) 1,180 1,245 
7.25% 11/30/21 (f) 3,070 3,296 
Studio City Finance Ltd. 8.5% 12/1/20 (f) 1,000 1,034 
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (f) 1,280 1,254 
Wynn Macau Ltd. 5.25% 10/15/21 (f) 605 618 
  71,926 
Household Durables - 0.1%   
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (f) 785 818 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (f) 620 637 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.125% 7/15/23 (f) 925 964 
5.75% 10/15/20 4,574 4,659 
7% 7/15/24 (f) 1,160 1,243 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (f) 1,395 1,479 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 476 
5.875% 1/31/25 1,115 1,146 
7% 8/15/22 2,585 2,682 
  14,104 
Internet & Direct Marketing Retail - 0.1%   
Netflix, Inc.:   
4.375% 11/15/26 (f) 3,415 3,330 
5.5% 2/15/22 5,000 5,375 
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (f) 3,785 4,017 
6% 4/1/23 2,475 2,620 
  15,342 
Media - 0.9%   
21st Century Fox America, Inc. 7.75% 12/1/45 8,012 12,182 
Altice SA:   
7.625% 2/15/25 (f) 4,905 5,308 
7.75% 5/15/22 (f) 10,065 10,681 
Altice U.S. Finance SA:   
5.375% 7/15/23 (f) 2,375 2,488 
7.75% 7/15/25 (f) 3,160 3,488 
AMC Entertainment Holdings, Inc. 6.125% 5/15/27 1,250 1,170 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,228 
AOL Time Warner, Inc. 2.95% 7/15/26 17,000 16,107 
Cable One, Inc. 5.75% 6/15/22 (f) 895 938 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 284 
5.625% 2/15/24 670 696 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,633 
5.125% 5/1/27 (f) 10,095 10,398 
5.25% 3/15/21 3,375 3,468 
5.5% 5/1/26 (f) 1,035 1,080 
5.75% 9/1/23 945 983 
5.75% 1/15/24 4,235 4,443 
5.75% 2/15/26 (f) 5,010 5,297 
5.875% 5/1/27 (f) 3,385 3,597 
Cengage Learning, Inc. 9.5% 6/15/24 (f) 3,725 3,194 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f) 227 232 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (f) 3,345 3,404 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 7,702 8,151 
4.908% 7/23/25 5,177 5,546 
5.375% 5/1/47 (f) 6,638 6,776 
6.484% 10/23/45 1,983 2,281 
Cinemark U.S.A., Inc. 4.875% 6/1/23 1,275 1,272 
Clear Channel International BV 8.75% 12/15/20 (f) 430 449 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 772 
7.625% 3/15/20 585 576 
7.625% 3/15/20 3,205 3,193 
Columbus International, Inc. 7.375% 3/30/21 (f) 1,807 1,933 
CSC Holdings, Inc. 5.5% 4/15/27 (f) 8,830 9,216 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,763 
5.875% 7/15/22 2,655 2,871 
6.75% 6/1/21 3,515 3,880 
E.W. Scripps Co. 5.125% 5/15/25 (f) 445 451 
Lamar Media Corp.:   
5.375% 1/15/24 630 661 
5.875% 2/1/22 525 539 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (f) 5,226 5,004 
MDC Partners, Inc. 6.5% 5/1/24 (f) 5,200 5,181 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (f)(i) 15,108 15,108 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (f)(i) 5,963 5,881 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (f) 685 709 
Regal Entertainment Group 5.75% 3/15/22 1,230 1,276 
Sirius XM Radio, Inc.:   
5% 8/1/27 (f) 2,770 2,846 
5.375% 4/15/25 (f) 1,490 1,575 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 10,059 
4.5% 9/15/42 2,819 2,603 
5.5% 9/1/41 2,304 2,360 
6.55% 5/1/37 10,296 11,902 
6.75% 7/1/18 1,581 1,642 
7.3% 7/1/38 3,823 4,713 
8.25% 4/1/19 10,176 11,117 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,474 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (f) 1,206 1,248 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) 1,060 1,088 
Ziggo Bond Finance BV:   
5.875% 1/15/25 (f) 1,120 1,161 
6% 1/15/27 (f) 4,760 4,885 
  245,461 
Specialty Retail - 0.0%   
Lithia Motors, Inc. 5.25% 8/1/25 (f) 1,065 1,089 
Sonic Automotive, Inc. 5% 5/15/23 195 190 
  1,279 
TOTAL CONSUMER DISCRETIONARY  423,541 
CONSUMER STAPLES - 0.7%   
Beverages - 0.2%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 14,051 14,315 
3.3% 2/1/23 15,133 15,698 
4.7% 2/1/36 14,328 15,884 
4.9% 2/1/46 9,290 10,585 
  56,482 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
5.75% 3/15/25 2,275 2,050 
6.625% 6/15/24 1,260 1,203 
Albertsons, Inc.:   
6.625% 6/1/28 2,130 1,768 
7.45% 8/1/29 195 170 
BI-LO LLC/BI-LO Finance Corp.:   
9.25% 2/15/19 (f) 2,335 2,014 
9.375% 9/15/18 pay-in-kind (f)(i) 2,440 787 
C&S Group Enterprises LLC 5.375% 7/15/22 (f) 1,445 1,418 
Cumberland Farms, Inc. 6.75% 5/1/25 (f) 670 719 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,527 
3.875% 7/20/25 5,311 5,578 
ESAL GmbH 6.25% 2/5/23 (f) 3,315 3,224 
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (f) 775 791 
Minerva Luxembourg SA 6.5% 9/20/26 (f) 2,115 2,121 
Performance Food Group, Inc. 5.5% 6/1/24 (f) 1,050 1,082 
Rite Aid Corp.:   
6.875% 12/15/28 (f)(i) 3,505 3,207 
7.7% 2/15/27 3,085 2,962 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22(f) 2,955 2,165 
U.S. Foods, Inc. 5.875% 6/15/24 (f) 1,835 1,911 
  36,697 
Food Products - 0.1%   
CF Industries Holdings, Inc.:   
4.95% 6/1/43 2,360 2,047 
5.15% 3/15/34 1,080 1,018 
5.375% 3/15/44 1,005 917 
Darling International, Inc. 5.375% 1/15/22 745 771 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (f) 6,370 6,386 
5.875% 7/15/24 (f) 1,500 1,519 
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 5.875% 1/15/24 880 941 
Post Holdings, Inc.:   
5.5% 3/1/25 (f) 2,160 2,246 
5.75% 3/1/27 (f) 4,110 4,254 
William Wrigley Jr. Co. 2% 10/20/17 (f) 4,607 4,610 
  24,709 
Tobacco - 0.2%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 5,039 
4% 1/31/24 3,123 3,355 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (f) 6,420 6,693 
4.25% 7/21/25 (f) 6,420 6,818 
Reynolds American, Inc.:   
2.3% 6/12/18 2,235 2,244 
3.25% 6/12/20 1,273 1,312 
4% 6/12/22 4,375 4,641 
4.45% 6/12/25 3,173 3,429 
4.85% 9/15/23 7,000 7,738 
5.7% 8/15/35 1,646 1,927 
5.85% 8/15/45 5,525 6,678 
7.25% 6/15/37 6,101 8,384 
Vector Group Ltd. 6.125% 2/1/25 (f) 4,285 4,392 
  62,650 
TOTAL CONSUMER STAPLES  180,538 
ENERGY - 2.3%   
Energy Equipment & Services - 0.2%   
Calfrac Holdings LP 7.5% 12/1/20 (f) 3,930 3,517 
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 2,365 2,365 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 5,755 6,229 
6.5% 4/1/20 2,937 3,225 
Ensco PLC:   
4.5% 10/1/24 3,510 2,562 
5.2% 3/15/25 660 492 
Exterran Partners LP/EXLP Finance Corp.:   
6% 4/1/21 440 430 
6% 10/1/22 1,405 1,359 
FTS International, Inc. 6.25% 5/1/22 4,410 3,815 
Gulfmark Offshore, Inc. 6.375% 3/15/22 (h) 1,435 287 
Halliburton Co.:   
3.8% 11/15/25 3,469 3,584 
4.85% 11/15/35 3,029 3,284 
Noble Holding International Ltd.:   
4.625% 3/1/21 301 257 
5.75% 3/16/18 470 473 
6.05% 3/1/41 80 48 
6.2% 8/1/40 2,270 1,368 
7.7% 4/1/25 (i) 2,995 2,231 
7.75% 1/15/24 6,280 4,851 
NuStar Logistics LP 5.625% 4/28/27 855 906 
Pacific Drilling V Ltd. 7.25% 12/1/17 (f) 2,355 1,060 
Pride International, Inc. 7.875% 8/15/40 2,554 2,005 
SESI LLC 7.75% 9/15/24 (f) 985 995 
Summit Midstream Holdings LLC 5.75% 4/15/25 1,290 1,293 
Trinidad Drilling Ltd. 6.625% 2/15/25 (f) 730 675 
Weatherford International Ltd. 9.875% 2/15/24 (f) 3,070 3,139 
  50,450 
Oil, Gas & Consumable Fuels - 2.1%   
Alpha Natural Resources, Inc. 9.75% 4/15/18 (b) 1,099 0 
Amerada Hess Corp. 7.875% 10/1/29 2,989 3,602 
Anadarko Finance Co. 7.5% 5/1/31 5,758 7,233 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 8,942 9,505 
5.55% 3/15/26 4,888 5,456 
6.6% 3/15/46 6,640 8,033 
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.375% 9/15/24 785 801 
Antero Resources Corp.:   
5.125% 12/1/22 3,810 3,820 
5.625% 6/1/23 (Reg. S) 1,835 1,867 
Antero Resources Finance Corp. 5.375% 11/1/21 1,790 1,821 
Blue Racer Mistream LLC/Blue Racer Finance Corp. 6.125% 11/15/22 (f) 5,000 5,138 
California Resources Corp. 8% 12/15/22 (f) 4,825 2,660 
Callon Petroleum Co. 6.125% 10/1/24 730 741 
Canadian Natural Resources Ltd.:   
1.75% 1/15/18 2,250 2,249 
5.85% 2/1/35 3,450 3,851 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 280 272 
Cenovus Energy, Inc.:   
4.25% 4/15/27 (f) 6,485 6,260 
5.7% 10/15/19 1,662 1,747 
Cheniere Corpus Christi Holdings LLC:   
5.125% 6/30/27 (f) 1,785 1,847 
5.875% 3/31/25 2,210 2,376 
Chesapeake Energy Corp.:   
3 month U.S. LIBOR + 3.250% 4.5536% 4/15/19 (i)(j) 2,150 2,123 
4.875% 4/15/22 5,325 4,713 
5.75% 3/15/23 1,800 1,591 
8% 12/15/22 (f) 4,097 4,235 
8% 1/15/25 (f) 8,860 8,539 
8% 6/15/27 (f) 5,300 5,035 
Citgo Holding, Inc. 10.75% 2/15/20 (f) 2,315 2,471 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,213 1,217 
3.3% 6/1/20 5,938 6,108 
4.5% 6/1/25 1,813 1,947 
CONSOL Energy, Inc. 8% 4/1/23 5,000 5,275 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 4.9817% 6/15/22 (f)(i)(j) 1,840 1,840 
6.875% 6/15/25 (f) 4,640 4,826 
Covey Park Energy LLC 7.5% 5/15/25 (f) 1,810 1,817 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 1,150 1,187 
DCP Midstream LLC:   
4.75% 9/30/21 (f) 5,634 5,775 
5.35% 3/15/20 (f) 5,174 5,446 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,674 
2.7% 4/1/19 4,139 4,113 
3.875% 3/15/23 2,327 2,266 
4.95% 4/1/22 1,048 1,082 
5.6% 4/1/44 1,686 1,568 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 2,035 
Duke Energy Field Services 6.45% 11/3/36 (f) 3,753 3,950 
Empresa Nacional de Petroleo 4.375% 10/30/24 (f) 4,545 4,777 
Enable Midstream Partners LP:   
2.4% 5/15/19 (i) 1,656 1,649 
3.9% 5/15/24 (i) 1,746 1,749 
Enbridge Energy Partners LP:   
4.2% 9/15/21 6,629 6,996 
4.375% 10/15/20 4,351 4,580 
Enbridge, Inc.:   
4.25% 12/1/26 2,391 2,518 
5.5% 12/1/46 2,759 3,165 
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (f) 990 968 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (f) 1,000 1,005 
Gibson Energy, Inc. 6.75% 7/15/21 (f) 53 55 
Hilcorp Energy I LP/Hilcorp Finance Co. 5.75% 10/1/25 (f) 6,625 6,393 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 7,202 7,300 
3.5% 3/1/21 2,994 3,075 
6.55% 9/15/40 674 784 
Kinder Morgan, Inc. 5% 2/15/21 (f) 3,749 4,022 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,442 
Murphy Oil Corp. 6.875% 8/15/24 550 581 
Nakilat, Inc. 6.067% 12/31/33 (f) 1,839 2,163 
Nexen, Inc. 6.2% 7/30/19 1,865 1,993 
NGPL PipeCo LLC:   
4.375% 8/15/22 (f) 415 426 
4.875% 8/15/27 (f) 415 427 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 579 
Parsley Energy LLC/Parsley:   
5.375% 1/15/25 (f) 2,595 2,608 
6.25% 6/1/24 (f) 4,225 4,405 
PBF Holding Co. LLC/PBF Finance Corp.:   
7% 11/15/23 2,850 2,857 
7.25% 6/15/25 (f) 1,820 1,802 
Peabody Securities Finance Corp.:   
6% 3/31/22 (f) 545 559 
6.375% 3/31/25 (f) 680 694 
Petrobras Global Finance BV:   
4.375% 5/20/23 3,648 3,571 
5.625% 5/20/43 11,155 9,783 
7.25% 3/17/44 28,868 29,734 
Petrobras International Finance Co. Ltd. 5.375% 1/27/21 10,725 11,092 
Petroleos Mexicanos:   
3.5% 7/23/20 7,125 7,314 
3.5% 1/30/23 4,530 4,490 
4.5% 1/23/26 6,398 6,460 
4.625% 9/21/23 10,200 10,618 
4.875% 1/24/22 2,315 2,433 
4.875% 1/18/24 5,974 6,222 
5.375% 3/13/22 (f) 3,625 3,890 
5.5% 1/21/21 12,842 13,767 
5.5% 6/27/44 7,252 6,824 
5.625% 1/23/46 6,203 5,832 
6% 3/5/20 4,075 4,395 
6.375% 1/23/45 13,324 13,737 
6.5% 3/13/27 (f) 5,590 6,261 
6.5% 6/2/41 7,783 8,223 
6.75% 9/21/47 14,484 15,572 
6.75% 9/21/47 (f) 5,940 6,386 
6.875% 8/4/26 12,000 13,798 
8% 5/3/19 3,283 3,595 
Phillips 66 Co. 4.3% 4/1/22 5,338 5,741 
Phillips 66 Partners LP 2.646% 2/15/20 527 529 
Range Resources Corp. 4.875% 5/15/25 1,040 996 
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 7/15/22 635 624 
Sabine Pass Liquefaction LLC 5.875% 6/30/26 3,780 4,222 
Shell International Finance BV 4.375% 5/11/45 6,392 6,841 
SM Energy Co.:   
5% 1/15/24 1,585 1,411 
5.625% 6/1/25 1,670 1,511 
6.125% 11/15/22 4,030 3,808 
6.5% 11/15/21 745 720 
6.5% 1/1/23 80 77 
6.75% 9/15/26 805 759 
Southeast Supply Header LLC 4.25% 6/15/24 (f) 4,893 5,083 
Southwestern Energy Co.:   
5.8% 1/23/20 (i) 4,519 4,655 
6.7% 1/23/25 (i) 3,470 3,383 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 6,670 6,865 
6.25% 4/15/21 2,710 2,818 
6.375% 4/1/23 965 1,017 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5.375% 2/1/27 (f) 1,025 1,061 
6.75% 3/15/24 7,000 7,578 
Teekay Corp. 8.5% 1/15/20 5,705 5,762 
Teine Energy Ltd. 6.875% 9/30/22 (f) 2,994 2,994 
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 6.375% 5/1/24 1,185 1,289 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 4,116 
4.55% 6/24/24 19,902 20,350 
Ultra Resources, Inc.:   
6.875% 4/15/22 (f) 1,485 1,461 
7.125% 4/15/25 (f) 1,115 1,087 
Western Gas Partners LP:   
4.65% 7/1/26 1,642 1,708 
5.375% 6/1/21 10,596 11,445 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 629 
Williams Partners LP:   
3.6% 3/15/22 5,146 5,306 
3.9% 1/15/25 1,767 1,816 
4% 11/15/21 2,349 2,465 
4.3% 3/4/24 4,038 4,281 
4.5% 11/15/23 2,564 2,747 
WPX Energy, Inc.:   
5.25% 9/15/24 2,910 2,852 
6% 1/15/22 2,565 2,645 
7.5% 8/1/20 764 825 
8.25% 8/1/23 1,715 1,882 
  552,040 
TOTAL ENERGY  602,490 
FINANCIALS - 5.5%   
Banks - 2.5%   
Banco Nacional de Desenvolvimento Economico e Social:   
4% 4/14/19 (f) 21,750 22,177 
5.5% 7/12/20 (f) 16,673 17,582 
5.75% 9/26/23 (f) 5,082 5,506 
6.369% 6/16/18 (f) 10,462 10,777 
6.5% 6/10/19 (f) 1,763 1,876 
Bank of America Corp.:   
2.6% 1/15/19 66,110 66,767 
2.65% 4/1/19 28,149 28,484 
3.5% 4/19/26 7,374 7,510 
3.705% 4/24/28 (i) 7,919 8,102 
3.875% 8/1/25 7,638 8,030 
3.95% 4/21/25 5,678 5,864 
4.2% 8/26/24 9,221 9,711 
4.25% 10/22/26 5,465 5,733 
5.75% 12/1/17 6,075 6,134 
Barclays PLC:   
2.75% 11/8/19 4,598 4,653 
4.375% 1/12/26 8,817 9,271 
BB&T Corp. 3.95% 3/22/22 1,495 1,591 
CIT Group, Inc. 5.5% 2/15/19 (f) 1,766 1,848 
Citigroup, Inc.:   
1.75% 5/1/18 18,342 18,354 
1.85% 11/24/17 30,961 30,980 
2.4% 2/18/20 10,000 10,091 
2.5% 7/29/19 32,442 32,785 
2.55% 4/8/19 14,645 14,797 
4.05% 7/30/22 14,700 15,489 
4.3% 11/20/26 12,000 12,568 
5.5% 9/13/25 3,703 4,188 
Citizens Bank NA 2.55% 5/13/21 2,268 2,288 
Citizens Financial Group, Inc. 4.15% 9/28/22 (f) 6,650 7,005 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 6,421 6,511 
3.75% 3/26/25 6,420 6,580 
3.8% 9/15/22 9,940 10,391 
3.8% 6/9/23 12,454 12,986 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,290 
Discover Bank 7% 4/15/20 3,075 3,407 
Fifth Third Bancorp:   
3.5% 3/15/22 529 551 
4.5% 6/1/18 418 427 
HBOS PLC 6.75% 5/21/18 (f) 408 422 
HSBC Holdings PLC 4.25% 3/14/24 2,900 3,053 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 2,938 
Huntington National Bank:   
2% 6/30/18 13,000 13,043 
2.2% 4/1/19 2,700 2,714 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (f) 4,062 4,157 
5.71% 1/15/26 (f) 9,946 10,512 
JPMorgan Chase & Co.:   
2.95% 10/1/26 8,946 8,809 
3.875% 9/10/24 12,321 12,899 
4.125% 12/15/26 49,975 52,645 
KeyCorp. 5.1% 3/24/21 519 570 
Rabobank Nederland 4.375% 8/4/25 9,821 10,426 
Regions Bank 6.45% 6/26/37 10,147 12,730 
Regions Financial Corp. 3.2% 2/8/21 4,117 4,227 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 46,599 49,154 
6% 12/19/23 11,834 13,114 
6.1% 6/10/23 7,367 8,141 
6.125% 12/15/22 35,362 38,943 
SunTrust Banks, Inc. 2.35% 11/1/18 2,500 2,516 
Synchrony Bank 3% 6/15/22 5,296 5,304 
  668,621 
Capital Markets - 1.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,721 7,898 
4.25% 2/15/24 2,760 2,932 
Credit Suisse AG 6% 2/15/18 12,547 12,778 
Deutsche Bank AG 4.5% 4/1/25 14,192 14,330 
Deutsche Bank AG London Branch 2.85% 5/10/19 13,520 13,672 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 16,001 
2.375% 1/22/18 10,000 10,029 
2.55% 10/23/19 70,000 70,833 
2.6% 4/23/20 1,300 1,316 
2.625% 1/31/19 25,103 25,362 
3.691% 6/5/28 (i) 19,000 19,329 
3.75% 2/25/26 15,000 15,480 
5.95% 1/18/18 4,242 4,308 
6.15% 4/1/18 3,466 3,553 
Lazard Group LLC 4.25% 11/14/20 4,447 4,723 
Moody's Corp.:   
3.25% 1/15/28 (f) 2,803 2,826 
4.875% 2/15/24 2,632 2,935 
Morgan Stanley:   
2.125% 4/25/18 16,388 16,435 
2.5% 1/24/19 97,536 98,454 
3.7% 10/23/24 10,237 10,664 
4.875% 11/1/22 7,232 7,876 
5.625% 9/23/19 453 486 
5.95% 12/28/17 250 253 
MSCI, Inc. 5.75% 8/15/25 (f) 870 946 
Peachtree Corners Funding Trust 3.976% 2/15/25(f) 7,000 7,197 
Thomson Reuters Corp. 3.85% 9/29/24 4,335 4,576 
UBS AG Stamford Branch 2.375% 8/14/19 10,750 10,860 
UBS Group Funding Ltd. 4.125% 9/24/25 (f) 7,279 7,721 
  393,773 
Consumer Finance - 0.7%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 2,254 2,316 
Ally Financial, Inc.:   
5.75% 11/20/25 8,715 9,410 
6.25% 12/1/17 1,800 1,818 
8% 12/31/18 11,545 12,353 
8% 11/1/31 15,256 19,642 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,503 
Discover Financial Services:   
3.85% 11/21/22 1,983 2,062 
3.95% 11/6/24 15,000 15,502 
5.2% 4/27/22 2,146 2,350 
Ford Motor Credit Co. LLC:   
2.375% 3/12/19 17,400 17,491 
2.875% 10/1/18 8,500 8,585 
5% 5/15/18 8,500 8,682 
5.875% 8/2/21 10,438 11,664 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,877 
Hyundai Capital America:   
2.125% 10/2/17 (f) 2,063 2,064 
2.55% 2/6/19 (f) 5,366 5,388 
2.875% 8/9/18 (f) 2,511 2,532 
Navient Corp. 5.875% 10/25/24 7,190 7,265 
SLM Corp.:   
4.875% 6/17/19 5,955 6,156 
5.5% 1/15/19 2,150 2,226 
5.5% 1/25/23 3,410 3,444 
6.125% 3/25/24 4,710 4,804 
8% 3/25/20 5,930 6,545 
Synchrony Financial:   
3% 8/15/19 1,910 1,938 
3.75% 8/15/21 7,084 7,322 
4.25% 8/15/24 2,903 3,040 
  176,979 
Diversified Financial Services - 0.2%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 8,309 8,297 
3.875% 8/15/22 3,136 3,243 
4.125% 6/15/26 2,949 2,992 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (f) 3,340 3,632 
Eagle Holding Co. II LLC 7.625% 5/15/22 pay-in-kind (f)(i) 810 837 
Exela International LLC/Exela Financial, Inc. 10% 7/15/23 (f) 1,820 1,784 
Grinding Media, Inc./MC Grinding Media Canada, Inc. 7.375% 12/15/23 (f) 1,110 1,193 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,303 
5.875% 2/1/22 2,725 2,803 
6% 8/1/20 2,230 2,297 
6.25% 2/1/22 860 887 
6.75% 2/1/24 1,565 1,648 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (f) 5,380 5,710 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (f) 1,150 1,186 
Orchestra Borrower LLC/Orchestra Co.-Issuer, Inc. 6.75% 6/15/22 (f) 1,080 1,121 
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (f) 1,625 1,607 
Solera LLC/Solera Finance, Inc.:   
10.5% 3/1/24 (f) 3,080 3,507 
10.5% 3/1/24 (f) 2,085 2,374 
Tempo Acquisition LLC / Tempo 6.75% 6/1/25 (f) 1,550 1,585 
Voya Financial, Inc. 3.125% 7/15/24 3,320 3,312 
  52,318 
Insurance - 0.5%   
AIA Group Ltd. 2.25% 3/11/19 (f) 1,203 1,204 
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (f) 3,180 3,339 
American International Group, Inc.:   
3.3% 3/1/21 3,455 3,576 
3.75% 7/10/25 11,144 11,577 
4.875% 6/1/22 10,692 11,819 
5.85% 1/16/18 12,000 12,177 
Aon Corp. 5% 9/30/20 107 116 
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.8522% 5/16/46 (f)(i)(j) 2,008 1,978 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (f) 1,675 1,741 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (f) 2,655 2,864 
5% 6/1/21 (f) 6,063 6,621 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,760 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (f) 7,265 7,596 
Metropolitan Life Global Funding I 1.875% 6/22/18 (f) 6,476 6,491 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) 3,585 4,745 
Pacific Life Insurance Co. 9.25% 6/15/39 (f) 3,048 5,029 
Pacific LifeCorp:   
5.125% 1/30/43 (f) 6,960 7,806 
6% 2/10/20 (f) 9,150 9,935 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 788 
4.5% 11/16/21 1,461 1,594 
7.375% 6/15/19 1,880 2,061 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f) 6,853 7,780 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (f) 1,569 1,595 
4.125% 11/1/24 (f) 2,275 2,420 
Unum Group:   
3.875% 11/5/25 6,934 7,206 
5.625% 9/15/20 2,879 3,157 
5.75% 8/15/42 10,079 12,169 
USIS Merger Sub, Inc. 6.875% 5/1/25 (f) 2,030 2,068 
  143,212 
Thrifts & Mortgage Finance - 0.1%   
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (f) 16,530 18,266 
TOTAL FINANCIALS  1,453,169 
HEALTH CARE - 0.9%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.6% 5/14/25 6,397 6,612 
Health Care Providers & Services - 0.5%   
Community Health Systems, Inc.:   
6.25% 3/31/23 3,945 3,975 
6.875% 2/1/22 7,985 6,618 
DaVita HealthCare Partners, Inc.:   
5% 5/1/25 2,315 2,347 
5.75% 8/15/22 1,215 1,253 
HCA Holdings, Inc.:   
3.75% 3/15/19 9,592 9,760 
4.25% 10/15/19 3,850 3,970 
4.75% 5/1/23 305 322 
5.375% 2/1/25 6,835 7,211 
5.875% 3/15/22 365 404 
5.875% 5/1/23 2,555 2,795 
5.875% 2/15/26 5,470 5,901 
6.25% 2/15/21 1,415 1,528 
6.5% 2/15/20 13,898 15,135 
7.5% 2/15/22 3,250 3,746 
HealthSouth Corp.:   
5.75% 11/1/24 5,295 5,454 
5.75% 9/15/25 6,165 6,412 
Medco Health Solutions, Inc. 4.125% 9/15/20 3,728 3,933 
Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21 625 650 
Tenet Healthcare Corp.:   
4.625% 7/15/24 (f) 4,375 4,374 
6.75% 6/15/23 16,410 16,280 
7.5% 1/1/22 (f) 1,030 1,110 
8% 8/1/20 2,001 2,030 
8.125% 4/1/22 7,250 7,613 
THC Escrow Corp. III:   
5.125% 5/1/25 (f) 5,585 5,620 
7% 8/1/25 (f) 3,085 3,022 
Vizient, Inc. 10.375% 3/1/24 (f) 2,055 2,363 
Wellcare Health Plans, Inc. 5.25% 4/1/25 1,405 1,472 
WellPoint, Inc. 1.875% 1/15/18 161 161 
  125,459 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 10/15/26 (f) 2,120 2,221 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc. 2.4% 2/1/19 945 952 
Pharmaceuticals - 0.4%   
Actavis Funding SCS:   
2.45% 6/15/19 3,241 3,271 
3% 3/12/20 5,472 5,585 
3.45% 3/15/22 9,527 9,898 
Forest Laboratories, Inc. 4.375% 2/1/19 (f) 572 589 
Mylan N.V.:   
2.5% 6/7/19 5,474 5,492 
3.15% 6/15/21 7,274 7,377 
3.95% 6/15/26 3,535 3,601 
Perrigo Finance PLC:   
3.5% 12/15/21 569 590 
3.9% 12/15/24 2,011 2,073 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 5,133 4,885 
2.8% 7/21/23 3,674 3,462 
3.15% 10/1/26 4,374 4,003 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (f) 11,665 11,519 
5.5% 3/1/23 (f) 3,325 2,793 
5.875% 5/15/23 (f) 12,280 10,469 
6.125% 4/15/25 (f) 7,825 6,602 
7% 3/15/24 (f) 4,430 4,701 
7.5% 7/15/21 (f) 4,035 3,959 
Zoetis, Inc. 1.875% 2/1/18 898 898 
  91,767 
TOTAL HEALTH CARE  227,011 
INDUSTRIALS - 0.6%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f) 3,650 3,923 
DAE Funding LLC:   
4.5% 8/1/22 (f) 1,210 1,234 
5% 8/1/24 (f) 1,665 1,702 
  6,859 
Airlines - 0.0%   
Continental Airlines, Inc.:   
pass-thru trust certificates:   
8.388% 11/1/20 0 0 
9.798% 4/1/21 1,379 1,514 
6.125% 4/29/18 415 424 
6.648% 9/15/17 141 141 
6.9% 1/2/18 43 44 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 253 259 
8.36% 1/20/19 227 227 
  2,609 
Building Products - 0.1%   
Builders FirstSource, Inc.:   
5.625% 9/1/24 (f) 3,265 3,412 
10.75% 8/15/23 (f) 5,000 5,713 
GCP Applied Technologies, Inc. 9.5% 2/1/23 (f) 1,800 2,025 
HD Supply, Inc. 5.75% 4/15/24 (f) 3,090 3,314 
HMAN Finance Sub Corp. 6.375% 7/15/22 (f) 510 488 
Shea Homes Ltd. Partnership/Corp.:   
5.875% 4/1/23 (f) 1,195 1,223 
6.125% 4/1/25 (f) 835 860 
USG Corp. 4.875% 6/1/27 (f) 465 477 
  17,512 
Commercial Services & Supplies - 0.2%   
APX Group, Inc.:   
7.625% 9/1/23 (f) 4,035 4,085 
7.875% 12/1/22 14,305 15,521 
8.75% 12/1/20 23,130 23,824 
CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 (f) 655 668 
Cenveo Corp. 6% 8/1/19 (f) 730 600 
Covanta Holding Corp.:   
5.875% 3/1/24 2,865 2,869 
6.375% 10/1/22 3,265 3,355 
Harland Clarke Holdings Corp. 8.375% 8/15/22 (f) 1,215 1,299 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (f) 1,180 1,239 
Prime Security One MS, Inc. 4.875% 7/15/32 (f) 3,050 2,825 
Ritchie Brothers Auctioneers, Inc. 5.375% 1/15/25 (f) 545 567 
Tervita Escrow Corp. 7.625% 12/1/21 (f) 945 950 
  57,802 
Construction & Engineering - 0.0%   
Blueline Rental Finance Corp./Blueline Rental LLC 9.25% 3/15/24 (f) 1,205 1,316 
Machinery - 0.0%   
Herc Rentals, Inc.:   
7.5% 6/1/22 (f) 1,125 1,232 
7.75% 6/1/24 (f) 1,124 1,231 
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,481 1,501 
  3,964 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (f) 2,090 1,729 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (f) 3,065 2,490 
8.125% 2/15/19 975 914 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (f) 700 683 
  5,816 
Professional Services - 0.0%   
FTI Consulting, Inc. 6% 11/15/22 2,405 2,489 
Road & Rail - 0.0%   
Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (f) 1,245 1,015 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 2,759 2,763 
2.125% 1/15/20 10,000 10,008 
2.625% 9/4/18 6,100 6,150 
3.375% 6/1/21 3,689 3,805 
3.75% 2/1/22 6,505 6,837 
3.875% 4/1/21 5,301 5,551 
4.25% 9/15/24 4,566 4,841 
4.75% 3/1/20 4,617 4,905 
Ashtead Capital, Inc.:   
4.125% 8/15/25 (f) 1,205 1,236 
4.375% 8/15/27 (f) 1,270 1,295 
5.625% 10/1/24 (f) 1,825 1,955 
International Lease Finance Corp. 7.125% 9/1/18 (f) 5,560 5,838 
United Rentals North America, Inc.:   
4.625% 7/15/23 1,220 1,274 
5.5% 5/15/27 1,310 1,389 
  57,847 
TOTAL INDUSTRIALS  157,229 
INFORMATION TECHNOLOGY - 0.3%   
Communications Equipment - 0.0%   
Brocade Communications Systems, Inc. 4.625% 1/15/23 140 143 
Hughes Satellite Systems Corp. 6.5% 6/15/19 5,408 5,793 
  5,936 
Electronic Equipment & Components - 0.1%   
Anixter International, Inc. 5.625% 5/1/19 705 739 
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (f) 13,573 13,872 
5.875% 6/15/21 (f) 1,790 1,877 
7.125% 6/15/24 (f) 1,740 1,927 
Sanmina Corp. 4.375% 6/1/19 (f) 1,295 1,331 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,087 1,093 
6.55% 10/1/17 815 818 
  21,657 
Internet Software & Services - 0.1%   
Balboa Merger Sub, Inc. 11.375% 12/1/21 (f) 9,335 10,222 
CyrusOne LP/CyrusOne Finance Corp.:   
5% 3/15/24 (f) 485 507 
5.375% 3/15/27 (f) 415 439 
  11,168 
IT Services - 0.0%   
Ceridian HCM Holding, Inc. 11% 3/15/21 (f) 3,625 3,838 
Semiconductors & Semiconductor Equipment - 0.0%   
Entegris, Inc. 6% 4/1/22 (f) 365 381 
Micron Technology, Inc.:   
5.25% 1/15/24 (f) 2,494 2,594 
5.5% 2/1/25 1,695 1,790 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (f) 2,675 2,922 
  7,687 
Software - 0.1%   
Activision Blizzard, Inc. 6.125% 9/15/23 (f) 1,255 1,349 
Greeneden U.S. Holdings II LLC 10% 11/30/24 (f) 4,995 5,682 
Open Text Corp. 5.875% 6/1/26 (f) 5,700 6,177 
Parametric Technology Corp. 6% 5/15/24 585 626 
Veritas U.S., Inc./Veritas Bermuda Ltd. 10.5% 2/1/24 (f) 11,045 11,846 
  25,680 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (i) 1,047 1,112 
Western Digital Corp. 10.5% 4/1/24 2,750 3,266 
  4,378 
TOTAL INFORMATION TECHNOLOGY  80,344 
MATERIALS - 0.3%   
Chemicals - 0.1%   
Evolution Escrow Issuer LLC 7.5% 3/15/22 (f) 4,388 4,596 
Momentive Performance Materials, Inc. 3.88% 10/24/21 4,960 4,972 
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (b)(h) 3,680 0 
NOVA Chemicals Corp.:   
4.875% 6/1/24 (f) 1,835 1,835 
5.25% 6/1/27 (f) 1,860 1,855 
Platform Specialty Products Corp. 6.5% 2/1/22 (f) 4,355 4,518 
The Chemours Co. LLC:   
5.375% 5/15/27 715 745 
6.625% 5/15/23 1,260 1,337 
7% 5/15/25 825 910 
Tronox Finance LLC 6.375% 8/15/20 2,645 2,688 
  23,456 
Construction Materials - 0.0%   
BMC East LLC 5.5% 10/1/24 (f) 1,380 1,439 
Containers & Packaging - 0.0%   
ARD Finance SA 7.125% 9/15/23 pay-in-kind 1,615 1,712 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
6% 2/15/25 (f) 3,030 3,227 
7.25% 5/15/24 (f) 3,410 3,762 
Flex Acquisition Co., Inc. 6.875% 1/15/25 (f) 810 842 
Sealed Air Corp. 6.5% 12/1/20 (f) 1,065 1,188 
  10,731 
Metals & Mining - 0.2%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (f)(i) 2,727 2,990 
6.75% 10/19/75 (f)(i) 6,773 7,857 
Big River Steel LLC/BRS Finance Corp. 7.25% 9/1/25 (f) 1,270 1,330 
Bluescope Steel Ltd./Bluescope Steel Finance 6.5% 5/15/21 (f) 585 616 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (f) 1,966 1,991 
4.5% 8/13/23 (Reg. S) 8,600 9,353 
4.5% 8/1/47 (f) 1,995 2,048 
First Quantum Minerals Ltd.:   
7% 2/15/21 (f) 2,255 2,321 
7.25% 5/15/22 (f) 1,015 1,043 
7.25% 4/1/23 (f) 1,705 1,752 
7.5% 4/1/25 (f) 5,835 5,974 
FMG Resources (August 2006) Pty Ltd. 4.75% 5/15/22 (f) 1,140 1,177 
Freeport-McMoRan, Inc.:   
6.5% 11/15/20 395 404 
6.625% 5/1/21 395 405 
6.75% 2/1/22 3,225 3,378 
6.875% 2/15/23 6,818 7,389 
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (f) 1,085 1,227 
Murray Energy Corp. 11.25% 4/15/21 (f) 5,040 2,923 
New Gold, Inc. 6.25% 11/15/22 (f) 615 638 
Novelis Corp. 5.875% 9/30/26 (f) 2,150 2,241 
Walter Energy, Inc. 9.5% 10/15/19 (b)(f)(h) 800 0 
  57,057 
TOTAL MATERIALS  92,683 
REAL ESTATE - 1.1%   
Equity Real Estate Investment Trusts (REITs) - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,161 
4.6% 4/1/22 2,000 2,151 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,650 
American Tower Corp. 2.8% 6/1/20 6,000 6,112 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,556 
Camden Property Trust 2.95% 12/15/22 2,154 2,172 
CommonWealth REIT 5.875% 9/15/20 991 1,061 
Corporate Office Properties LP:   
3.6% 5/15/23 5,166 5,201 
3.7% 6/15/21 3,614 3,723 
5% 7/1/25 3,069 3,311 
5.25% 2/15/24 3,576 3,886 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 2,585 2,669 
DDR Corp.:   
3.625% 2/1/25 3,618 3,536 
3.9% 8/15/24 875 886 
4.25% 2/1/26 2,564 2,588 
4.625% 7/15/22 3,877 4,104 
Duke Realty LP:   
3.25% 6/30/26 1,061 1,065 
3.625% 4/15/23 2,844 2,957 
3.75% 12/1/24 2,012 2,105 
3.875% 10/15/22 4,799 5,074 
4.375% 6/15/22 3,202 3,439 
Equinix, Inc. 5.375% 5/15/27 1,410 1,518 
Equity One, Inc. 3.75% 11/15/22 7,300 7,587 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,509 
HCP, Inc.:   
3.15% 8/1/22 8,000 8,169 
3.875% 8/15/24 11,000 11,471 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,348 
4% 6/1/25 4,568 4,818 
4.125% 4/1/19 11,300 11,635 
4.7% 9/15/17 744 745 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,935 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 710 737 
6.375% 3/1/24 1,545 1,678 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 8,734 9,124 
4.5% 1/15/25 3,358 3,452 
4.5% 4/1/27 21,587 21,915 
4.75% 1/15/28 7,767 7,908 
4.95% 4/1/24 1,785 1,894 
5.25% 1/15/26 7,807 8,378 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,223 
5% 12/15/23 980 1,028 
WP Carey, Inc. 4% 2/1/25 7,547 7,715 
  188,194 
Real Estate Management & Development - 0.4%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,297 7,464 
4.1% 10/1/24 5,444 5,533 
4.55% 10/1/29 5,773 5,948 
4.95% 4/15/18 4,256 4,327 
Digital Realty Trust LP:   
3.4% 10/1/20 6,817 7,056 
3.95% 7/1/22 4,464 4,737 
4.75% 10/1/25 4,899 5,342 
5.25% 3/15/21 2,876 3,140 
Howard Hughes Corp. 5.375% 3/15/25 (f) 3,040 3,042 
Kennedy-Wilson, Inc. 5.875% 4/1/24 795 817 
Liberty Property LP:   
3.25% 10/1/26 2,723 2,695 
3.375% 6/15/23 2,951 3,018 
4.125% 6/15/22 2,746 2,909 
4.75% 10/1/20 6,595 7,026 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,037 4,041 
3.15% 5/15/23 6,708 6,402 
4.5% 4/18/22 1,689 1,739 
Mattamy Group Corp. 6.875% 12/15/23 (f) 660 672 
Mid-America Apartments LP 4% 11/15/25 1,682 1,768 
Post Apartment Homes LP 3.375% 12/1/22 1,196 1,231 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (f) 1,760 1,813 
Tanger Properties LP:   
3.125% 9/1/26 3,612 3,435 
3.75% 12/1/24 3,781 3,846 
3.875% 12/1/23 2,341 2,408 
3.875% 7/15/27 9,215 9,261 
Ventas Realty LP:   
3.125% 6/15/23 1,874 1,894 
3.5% 2/1/25 2,295 2,331 
4.125% 1/15/26 2,088 2,197 
4.375% 2/1/45 1,098 1,108 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 3,611 3,615 
4% 4/30/19 1,771 1,822 
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 510 497 
  113,134 
TOTAL REAL ESTATE  301,328 
TELECOMMUNICATION SERVICES - 0.9%   
Diversified Telecommunication Services - 0.5%   
Altice Financing SA:   
6.5% 1/15/22 (f) 2,300 2,392 
6.625% 2/15/23 (f) 2,620 2,771 
7.5% 5/15/26 (f) 3,625 3,970 
Altice Finco SA:   
7.625% 2/15/25 (f) 4,785 5,054 
8.125% 1/15/24 (f) 574 620 
AT&T, Inc.:   
2.45% 6/30/20 4,383 4,420 
3.6% 2/17/23 9,655 9,949 
BellSouth Capital Funding Corp. 7.875% 2/15/30 68 91 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (f) 1,715 1,779 
CenturyLink, Inc. 6.15% 9/15/19 3,331 3,514 
GCI, Inc. 6.875% 4/15/25 1,350 1,445 
Level 3 Communications, Inc. 5.75% 12/1/22 1,295 1,331 
Level 3 Financing, Inc.:   
5.375% 8/15/22 2,110 2,171 
6.125% 1/15/21 1,405 1,439 
Sable International Finance Ltd. 6.875% 8/1/22 (f) 1,160 1,248 
SFR Group SA:   
6% 5/15/22 (f) 2,675 2,819 
6.25% 5/15/24 (f) 660 695 
7.375% 5/1/26 (f) 5,945 6,421 
Sprint Capital Corp.:   
6.9% 5/1/19 3,975 4,254 
8.75% 3/15/32 6,395 7,930 
Verizon Communications, Inc.:   
2.625% 2/21/20 4,697 4,793 
4.5% 9/15/20 38,502 41,301 
5.012% 4/15/49 4,497 4,516 
5.012% 8/21/54 19,396 19,070 
  133,993 
Wireless Telecommunication Services - 0.4%   
Intelsat Jackson Holdings SA:   
8% 2/15/24 (f) 5,660 6,093 
9.75% 7/15/25 (f) 2,160 2,198 
Neptune Finco Corp.:   
6.625% 10/15/25 (f) 1,460 1,599 
10.125% 1/15/23 (f) 7,200 8,341 
10.875% 10/15/25 (f) 3,767 4,633 
Sprint Communications, Inc.:   
6% 11/15/22 13,720 14,595 
9% 11/15/18 (f) 6,595 7,123 
Sprint Corp.:   
7.125% 6/15/24 3,105 3,416 
7.25% 9/15/21 2,830 3,120 
7.625% 2/15/25 775 876 
7.875% 9/15/23 6,615 7,558 
T-Mobile U.S.A., Inc.:   
6% 3/1/23 2,590 2,729 
6% 4/15/24 2,980 3,170 
6.5% 1/15/24 7,235 7,723 
6.5% 1/15/26 2,425 2,686 
6.625% 4/1/23 15,005 15,812 
6.836% 4/28/23 385 407 
  92,079 
TOTAL TELECOMMUNICATION SERVICES  226,072 
UTILITIES - 1.1%   
Electric Utilities - 0.5%   
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (f) 3,934 4,457 
6.4% 9/15/20 (f) 10,769 12,069 
Edison International 3.75% 9/15/17 3,355 3,357 
Eversource Energy 1.45% 5/1/18 1,511 1,510 
Exelon Corp. 3.95% 6/15/25 5,966 6,298 
FirstEnergy Corp.:   
4.25% 3/15/23 23,348 24,776 
7.375% 11/15/31 16,161 21,811 
FirstEnergy Solutions Corp. 6.05% 8/15/21 9,830 4,497 
InterGen NV 7% 6/30/23 (f) 9,950 9,751 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 10,457 10,562 
3.7% 9/1/24 (f) 2,490 2,511 
LG&E and KU Energy LLC 3.75% 11/15/20 745 779 
Nevada Power Co.:   
6.5% 5/15/18 5,100 5,268 
6.5% 8/1/18 1,191 1,243 
NRG Yield Operating LLC 5% 9/15/26 3,065 3,134 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (f) 4,238 4,566 
NV Energy, Inc. 6.25% 11/15/20 1,666 1,874 
Pennsylvania Electric Co. 6.05% 9/1/17 450 450 
PG&E Corp. 2.4% 3/1/19 791 796 
Progress Energy, Inc. 4.4% 1/15/21 336 358 
RJS Power Holdings LLC 4.625% 7/15/19 (f)(i) 380 373 
TECO Finance, Inc. 5.15% 3/15/20 2,029 2,167 
West Penn Power Co. 5.95% 12/15/17 (f) 10,500 10,616 
  133,223 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,753 1,853 
Texas Eastern Transmission LP 6% 9/15/17 (f) 948 949 
  2,802 
Independent Power and Renewable Electricity Producers - 0.5%   
Calpine Corp.:   
5.25% 6/1/26 (f) 6,000 5,880 
5.375% 1/15/23 1,475 1,403 
5.75% 1/15/25 635 582 
6% 1/15/22 (f) 1,115 1,150 
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 5,485 5,965 
Dynegy, Inc.:   
5.875% 6/1/23 2,460 2,442 
7.375% 11/1/22 5,230 5,413 
7.625% 11/1/24 8,985 9,266 
8% 1/15/25 (f) 1,435 1,476 
8.125% 1/30/26 (f) 4,175 4,311 
Emera U.S. Finance LP:   
2.15% 6/15/19 1,742 1,745 
2.7% 6/15/21 1,715 1,733 
3.55% 6/15/26 2,743 2,795 
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:   
11% 10/1/21 (h) 11,999 17,129 
12.25% 3/1/22 (f)(h)(i) 15,373 23,520 
NRG Energy, Inc.:   
6.625% 3/15/23 5,775 5,977 
6.625% 1/15/27 4,390 4,610 
Pattern Energy Group, Inc. 5.875% 2/1/24 (f) 855 896 
PPL Energy Supply LLC 6.5% 6/1/25 850 621 
TerraForm Power Operating LLC:   
6.375% 2/1/23 (f)(i) 11,585 11,990 
6.625% 6/15/25 (f)(i) 1,200 1,272 
The AES Corp. 5.125% 9/1/27 1,280 1,302 
  111,478 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 3.5964% 9/30/66 (i)(j) 19,347 17,739 
3 month U.S. LIBOR + 2.825% 4.1214% 6/30/66 (i)(j) 2,474 2,397 
NiSource Finance Corp. 6.8% 1/15/19 416 443 
Puget Energy, Inc. 6% 9/1/21 691 780 
Sempra Energy 6% 10/15/39 5,386 6,952 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.4275% 5/15/67 (i)(j) 3,876 3,750 
  32,061 
TOTAL UTILITIES  279,564 
TOTAL NONCONVERTIBLE BONDS  4,023,969 
TOTAL CORPORATE BONDS   
(Cost $3,864,153)  4,026,872 
U.S. Government and Government Agency Obligations - 5.8%   
U.S. Treasury Inflation-Protected Obligations - 0.9%   
U.S. Treasury Inflation-Indexed Bonds:   
1% 2/15/46 $81,558 $84,026 
1.375% 2/15/44 74,053 82,901 
U.S. Treasury Inflation-Indexed Notes 0.625% 1/15/26 77,318 79,141 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  246,068 
U.S. Treasury Obligations - 4.9%   
U.S. Treasury Bonds:   
3% 11/15/45 272,391 287,394 
3% 2/15/47 2,445 2,580 
U.S. Treasury Notes:   
1.25% 10/31/21 353,961 348,569 
1.625% 5/15/26 68,148 65,672 
1.75% 6/30/22 169,099 169,409 
1.875% 8/31/24 25,888 25,761 
2% 9/30/20 159,238 161,813 
2% 5/31/24 19,064 19,153 
2% 8/15/25 154,514 154,158 
2.125% 7/31/24 23,033 23,304 
2.25% 1/31/24 17,805 18,189 
TOTAL U.S. TREASURY OBLIGATIONS  1,276,002 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,511,905)  1,522,070 
U.S. Government Agency - Mortgage Securities - 0.3%   
Fannie Mae - 0.1%   
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (i)(j) 66 68 
12 month U.S. LIBOR + 1.900% 3.606% 7/1/37 (i)(j) 133 139 
2.5% 1/1/43 to 4/1/43 819 807 
3% 7/1/31 to 9/1/46 9,518 9,657 
3.5% 10/1/28 to 1/1/47 5,641 5,920 
4% 11/1/31 to 2/1/47 2,792 2,974 
4.5% 11/1/19 to 8/1/44 5,094 5,491 
5% 6/1/39 to 10/1/41 2,929 3,222 
5.5% 4/1/39 104 117 
6% 7/1/35 to 8/1/37 1,704 1,942 
6.5% 7/1/32 to 8/1/36 302 349 
TOTAL FANNIE MAE  30,686 
Freddie Mac - 0.2%   
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (i)(j) 86 92 
3% 2/1/31 to 6/1/31 2,336 2,416 
3.5% 6/1/32 to 5/1/46 14,591 15,212 
4% 9/1/40 to 2/1/46 9,514 10,106 
4.5% 3/1/41 to 4/1/41 4,553 4,927 
5% 3/1/19 to 7/1/41 1,603 1,753 
5.5% 1/1/38 to 6/1/41 4,673 5,200 
6% 7/1/37 to 8/1/37 135 155 
6.5% 3/1/36 1,157 1,339 
TOTAL FREDDIE MAC  41,200 
Ginnie Mae - 0.0%   
4% 8/15/39 to 5/15/43 3,215 3,438 
4.5% 4/20/41 1,394 1,508 
5% 2/15/39 to 5/15/39 385 425 
5.5% 12/15/38 to 9/15/39 543 613 
TOTAL GINNIE MAE  5,984 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $77,052)  77,870 
Asset-Backed Securities - 0.2%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 1.9394% 4/25/35 (i)(j) $504 $497 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.8844% 3/25/34 (i)(j) 144 143 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.2844% 12/25/33 (i)(j) 26 25 
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (i)(j) 68 61 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.0144% 3/25/34 (i)(j) 36 34 
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.2844% 11/25/34 (i)(j) 351 349 
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 5/25/34 (i)(j) 869 834 
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.3944% 5/25/36 (i)(j) 825 320 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (i)(j) 1,050 985 
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6044% 3/25/36 (i)(j) 13 5 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (f) 12,985 13,454 
Class AA, 2.487% 12/16/41 (f) 3,159 3,178 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.73% 4/20/20 7,803 7,810 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3744% 12/25/36 (i)(j) 1,368 1,139 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.6894% 4/25/34 (i)(j) 40 37 
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.0294% 6/25/34 (i)(j) 60 59 
Series 2004-7 Class AF5, 5.868% 1/25/35 583 591 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5544% 8/25/33 (i)(j) 147 145 
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.5244% 8/25/33 (i)(j) 260 253 
Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700%1.9322% 12/25/33 (i)(j) 25 24 
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 1.9452% 5/28/35 (i)(j) 30 28 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.4094% 8/25/34 (i)(j) 165 160 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 3/25/34 (i)(j) 2 2 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1 month U.S. LIBOR + 0.735% 1.9694% 1/25/35 (i)(j) 720 704 
Class M4, 1 month U.S. LIBOR + 1.020% 2.2544% 1/25/35 (i)(j) 264 154 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.6972% 2/25/47 (f)(i)(j) 983 930 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 1.4089% 11/15/34 (f)(i)(j) 255 247 
Class B, 1 month U.S. LIBOR + 0.280% 1.5067% 11/15/34 (f)(i)(j) 92 86 
Class C, 1 month U.S. LIBOR + 0.380% 1.6067% 11/15/34 (f)(i)(j) 153 142 
Class D, 1 month U.S. LIBOR + 0.750% 1.9767% 11/15/34 (f)(i)(j) 58 53 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.4244% 1/25/37 (i)(j) 1,095 779 
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (i)(j) 2,016 1,392 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5344% 5/25/37 (i)(j) 209 63 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 1.9844% 7/25/34 (i)(j) 61 58 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.2094% 7/25/34 (i)(j) 93 90 
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3444% 4/25/37 (i)(j) 2 1 
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.7544% 6/25/35 (i)(j) 842 816 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 1.9144% 8/25/34 (i)(j) 44 39 
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.8944% 1/25/35 (i)(j) 93 90 
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 2.9894% 3/25/35 (i)(j) 95 3 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.7444% 9/25/35 (i)(j) 1,083 1,062 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 1 month U.S. LIBOR + 1.875% 3.1072% 9/25/34 (i)(j) 364 360 
Class M4, 1 month U.S. LIBOR + 2.175% 3.4072% 9/25/34 (i)(j) 519 418 
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.4794% 1/25/36 (i)(j) 1,120 1,103 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.0344% 4/25/33 (i)(j) 4 4 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.0294% 3/25/35 (i)(j) 366 359 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.1956% 6/15/33 (i)(j) 138 138 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 2.9594% 9/25/34 (i)(j) 25 23 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.0944% 9/25/34 (i)(j) 22 21 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.7098% 4/6/42 (b)(f)(i)(j) 1,467 741 
TOTAL ASSET-BACKED SECURITIES   
(Cost $33,586)  40,009 
Collateralized Mortgage Obligations - 0.0%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.7944% 1/25/35 (i)(j) 420 424 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.1125% 10/25/34 (i) 231 232 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4234% 8/25/36 (i) 584 560 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.3861% 2/25/37 (i)(j) 286 279 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.5244% 7/25/35 (i)(j) 354 349 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 1 month U.S. LIBOR + 2.350% 3.5744% 6/10/35 (f)(i)(j) 157 112 
Class B6, 1 month U.S. LIBOR + 2.850% 4.0744% 6/10/35 (f)(i)(j) 34 19 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (i)(j) 15 14 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.368% 4/25/33 (i) 35 35 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 1 month U.S. LIBOR + 0.200% 1.4344% 9/25/36 (i)(j) 230 229 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.8744% 9/25/43 (i)(j) 1,285 1,241 
TOTAL PRIVATE SPONSOR  3,494 
U.S. Government Agency - 0.0%   
Ginnie Mae guaranteed REMIC pass-thru certificates sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (k) 7,029 7,006 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $9,915)  10,500 
Commercial Mortgage Securities - 0.2%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6895% 2/14/43 (i)(l) 30 0 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.5094% 12/25/33 (f)(i)(j) 16 15 
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.400% 1.6344% 11/25/35 (f)(i)(j) 166 154 
Class M1, 1 month U.S. LIBOR + 0.440% 1.6744% 11/25/35 (f)(i)(j) 22 19 
Class M2, 1 month U.S. LIBOR + 0.490% 1.7244% 11/25/35 (f)(i)(j) 28 23 
Class M3, 1 month U.S. LIBOR + 0.510% 1.7444% 11/25/35 (f)(i)(j) 25 20 
Class M4, 1 month U.S. LIBOR + 0.600% 1.8344% 11/25/35 (f)(i)(j) 31 24 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 1.6244% 1/25/36 (f)(i)(j) 438 406 
Class B1, 1 month U.S. LIBOR + 1.400% 2.6344% 1/25/36 (f)(i)(j) 20 16 
Class M1, 1 month U.S. LIBOR + 0.450% 1.6844% 1/25/36 (f)(i)(j) 141 131 
Class M2, 1 month U.S. LIBOR + 0.470% 1.7044% 1/25/36 (f)(i)(j) 42 38 
Class M3, 1 month U.S. LIBOR + 0.500% 1.7344% 1/25/36 (f)(i)(j) 62 51 
Class M4, 1 month U.S. LIBOR + 0.610% 1.8444% 1/25/36 (f)(i)(j) 34 31 
Class M5, 1 month U.S. LIBOR + 0.650% 1.8844% 1/25/36 (f)(i)(j) 34 26 
Class M6, 1 month U.S. LIBOR + 0.700% 1.9344% 1/25/36 (f)(i)(j) 36 28 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.360% 1.5944% 4/25/36 (f)(i)(j) 65 60 
Class M1, 1 month U.S. LIBOR + 0.380% 1.6144% 4/25/36 (f)(i)(j) 23 20 
Class M2, 1 month U.S. LIBOR + 0.400% 1.6344% 4/25/36 (f)(i)(j) 25 21 
Class M3, 1 month U.S. LIBOR + 0.420% 1.6544% 4/25/36 (f)(i)(j) 21 18 
Class M4, 1 month U.S. LIBOR + 0.520% 1.7544% 4/25/36 (f)(i)(j) 12 10 
Class M5, 1 month U.S. LIBOR + 0.560% 1.7944% 4/25/36 (f)(i)(j) 12 10 
Class M6, 1 month U.S. LIBOR + 0.640% 1.8744% 4/25/36 (f)(i)(j) 23 19 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.310% 1.5444% 7/25/36 (f)(i)(j) 56 49 
Class M2, 1 month U.S. LIBOR + 0.330% 1.5644% 7/25/36 (f)(i)(j) 39 35 
Class M3, 1 month U.S. LIBOR + 0.350% 1.5844% 7/25/36 (f)(i)(j) 32 29 
Class M4, 1 month U.S. LIBOR + 0.420% 1.6544% 7/25/36 (f)(i)(j) 22 19 
Class M5, 1 month U.S. LIBOR + 0.470% 1.7044% 7/25/36 (f)(i)(j) 27 24 
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6644% 10/25/36 (f)(i)(j) 19 15 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 12/25/36 (f)(i)(j) 1,270 1,169 
Class M1, 1 month U.S. LIBOR + 0.290% 1.5244% 12/25/36 (f)(i)(j) 84 65 
Class M2, 1 month U.S. LIBOR + 0.310% 1.5444% 12/25/36 (f)(i)(j) 56 43 
Class M3, 1 month U.S. LIBOR + 0.340% 1.5744% 12/25/36 (f)(i)(j) 57 32 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 3/25/37 (f)(i)(j) 257 228 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 1.4861% 7/25/37 (f)(i)(j) 267 252 
Class A2, 1 month U.S. LIBOR + 0.320% 1.5361% 7/25/37 (f)(i)(j) 250 230 
Class M1, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(i)(j) 88 70 
Class M2, 1 month U.S. LIBOR + 0.410% 1.6261% 7/25/37 (f)(i)(j) 48 38 
Class M3, 1 month U.S. LIBOR + 0.490% 1.7061% 7/25/37 (f)(i)(j) 38 31 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 1.5061% 7/25/37 (f)(i)(j) 265 247 
Class M1, 1 month U.S. LIBOR + 0.310% 1.5261% 7/25/37 (f)(i)(j) 53 47 
Class M2, 1 month U.S. LIBOR + 0.340% 1.5561% 7/25/37 (f)(i)(j) 56 50 
Class M3, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(i)(j) 88 67 
Class M4, 1 month U.S. LIBOR + 0.500% 1.7161% 7/25/37 (f)(i)(j) 139 95 
Class M5, 1 month U.S. LIBOR + 0.600% 1.8161% 7/25/37 (f)(i)(j) 53 29 
Series 2007-4A Class M1, 1 month U.S. LIBOR + 0.950% 2.1844% 9/25/37 (f)(i)(j) 7 2 
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(l) 550 19 
Series 2006-3A, Class IO, 0% 10/25/36 (b)(f)(i)(l) 11,979 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW18 Class A4, 5.7% 6/11/50 1,584 1,586 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (f)(i) 1,100 1,120 
CSMC Series 2015-TOWN:   
Class B, 1 month U.S. LIBOR + 1.900% 3.1256% 3/15/28 (f)(i)(j) 1,198 1,198 
Class C, 1 month U.S. LIBOR + 2.250% 3.4756% 3/15/28 (f)(i)(j) 1,167 1,167 
Class D, 1 month U.S. LIBOR + 3.200% 4.4256% 3/15/28 (f)(i)(j) 1,766 1,766 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (f)(i) 6,410 6,562 
Class CFX, 3.3822% 12/15/34 (f)(i) 5,380 5,490 
Class DFX, 3.3822% 12/15/34 (f)(i) 4,559 4,621 
LB-UBS Commercial Mortgage Trust Series 2007-C7 Class A3, 5.866% 9/15/45 384 384 
Merrill Lynch Mortgage Trust Series 2008-C1 Class A4, 5.69% 2/12/51 326 326 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (f)(i) 7,357 7,432 
Class B, 4.181% 11/15/34 (f) 2,596 2,642 
Class C, 5.205% 11/15/34 (f) 1,821 1,879 
Wachovia Bank Commercial Mortgage Trust Series 2007-C30:   
Class C, 5.483% 12/15/43 (i) 2,736 2,718 
Class D, 5.513% 12/15/43 (i) 1,459 1,384 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $42,090)  44,300 
Municipal Securities - 0.5%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,095 $1,634 
7.5% 4/1/34 7,195 10,605 
7.55% 4/1/39 10,865 16,898 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,170 1,197 
Series 2010 C1, 7.781% 1/1/35 6,325 7,474 
Series 2014 B, 6.314% 1/1/44 10,630 11,396 
6.05% 1/1/29 400 418 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 1,354 1,370 
4.95% 6/1/23 1,700 1,768 
5.1% 6/1/33 7,730 7,767 
Series 2010-1, 6.63% 2/1/35 25,440 28,074 
Series 2010-3:   
5.547% 4/1/19 155 160 
6.725% 4/1/35 11,505 12,661 
7.35% 7/1/35 4,495 5,183 
Series 2010-5, 6.2% 7/1/21 1,532 1,624 
Series 2011:   
5.665% 3/1/18 8,840 8,986 
5.877% 3/1/19 19,390 20,179 
Series 2013, 4% 12/1/20 6,040 6,132 
TOTAL MUNICIPAL SECURITIES   
(Cost $136,498)  143,526 
Bank Loan Obligations - 0.3%   
CONSUMER DISCRETIONARY - 0.1%   
Auto Components - 0.0%   
Chassix, Inc. term loan 12% 7/29/19 (b) $91 $91 
Diversified Consumer Services - 0.0%   
KUEHG Corp. Tranche B, term loan 3 month U.S. LIBOR + 8.250% 9.5139% 8/22/25 (i)(j) 2,230 2,219 
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7389% 4/26/24 (i)(j) 1,803 1,810 
  4,029 
Internet & Direct Marketing Retail - 0.0%   
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2964% 12/16/23 (i)(j) 3,735 3,532 
Media - 0.1%   
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4806% 6/7/23 (i)(j) 854 793 
Liberty Cablevision of Puerto Rico Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0536% 7/7/23 (i)(j) 227 226 
Univision Communications, Inc. Tranche C 5LN, term loan 3 month U.S. LIBOR + 2.750% 3.9839% 3/15/24 (i)(j) 713 707 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4783% 8/19/23 (i)(j) 5,570 5,555 
  7,281 
TOTAL CONSUMER DISCRETIONARY  14,933 
ENERGY - 0.1%   
Energy Equipment & Services - 0.0%   
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.9889% 4/16/21 (i)(j) 510 457 
Pacific Drilling SA Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.75% 6/3/18 (i)(j) 370 124 
Seadrill Operating LP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 2/21/21 (i)(j) 2,811 1,807 
  2,388 
Oil, Gas & Consumable Fuels - 0.1%   
American Energy-Marcellus LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.3387% 8/4/20 (h)(i)(j) 1,582 1,049 
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 5/18/23 (i)(j) 6,120 6,151 
Bcp Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5072% 6/22/24 (i)(j) 1,295 1,303 
California Resources Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.6033% 12/31/21 (i)(j) 6,180 6,540 
Chesapeake Energy Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.8144% 8/23/21 (i)(j) 5,945 6,312 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.9324% 5/16/21 (i)(j) 7,642 7,423 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.2306% 3/1/24 (i)(j) 1,610 1,515 
  30,293 
TOTAL ENERGY  32,681 
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
Cabazon Finance Authority term loan 11% 3/7/24 (b) 2,535 2,391 
Insurance - 0.0%   
Alliant Holdings Intermediate LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5639% 8/14/22 (i)(j) 65 65 
Asurion LLC term loan 3 month U.S. LIBOR + 6.000% 7.2389% 8/4/25 (i)(j) 460 469 
USI, Inc. Tranche, term loan 3 month U.S. LIBOR + 3.000% 4.3142% 5/16/24 (i)(j) 460 457 
  991 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.5611% 11/4/22 (i)(j) 45 45 
TOTAL FINANCIALS  3,427 
HEALTH CARE - 0.0%   
Health Care Providers & Services - 0.0%   
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.2964% 12/31/23 (i)(j) 2,375 2,316 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.5464% 12/31/22 (i)(j) 2,866 2,798 
  5,114 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5217% 6/21/24 (i)(j) 5,475 5,488 
Thomson Reuters IP&S Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 10/3/23 (i)(j) 536 538 
  6,026 
INFORMATION TECHNOLOGY - 0.1%   
Software - 0.1%   
Compuware Corp. term loan 3 month U.S. LIBOR + 8.250% 9.55% 12/15/22 (i)(j) 1,234 1,246 
Kronos, Inc. term loan 3 month U.S. LIBOR + 8.250% 9.5606% 11/1/24 (i)(j) 3,520 3,634 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 4/9/21 (i)(j) 567 571 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2964% 4/9/22 (i)(j) 6,908 6,908 
  12,359 
MATERIALS - 0.0%   
Chemicals - 0.0%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 5/20/21 (i)(j) 1,386 1,384 
Containers & Packaging - 0.0%   
Anchor Glass Container Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0106% 12/7/23 (i)(j) 1,871 1,874 
Caraustar Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 3/14/22 (i)(j) 254 252 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 5/22/24 (i)(j) 270 271 
  2,397 
Metals & Mining - 0.0%   
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5464% 4/16/20 (i)(j) 1,157 1,056 
TOTAL MATERIALS  4,837 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Sable International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 1/31/25 (i)(j) 4,675 4,647 
Wireless Telecommunication Services - 0.0%   
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.0003% 6/30/19 (i)(j) 6,645 6,615 
TOTAL TELECOMMUNICATION SERVICES  11,262 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $90,409)  90,639 
Bank Notes - 0.3%   
Capital One NA:   
1.65% 2/5/18 $6,500 $6,498 
2.95% 7/23/21 7,402 7,525 
Discover Bank:   
(Delaware) 3.2% 8/9/21 9,037 9,274 
3.1% 6/4/20 8,635 8,847 
8.7% 11/18/19 532 600 
RBS Citizens NA 2.5% 3/14/19 4,029 4,065 
Regions Bank 7.5% 5/15/18 11,552 11,998 
UBS AG Stamford Branch 1.8% 3/26/18 9,485 9,501 
Wachovia Bank NA 6% 11/15/17 7,010 7,071 
TOTAL BANK NOTES   
(Cost $64,526)  65,379 
Preferred Securities - 0.3%   
FINANCIALS - 0.3%   
Banks - 0.3%   
Bank of America Corp. 6.1% (i)(m) $1,680 $1,888 
Barclays Bank PLC 7.625% 11/21/22 7,765 9,085 
Citigroup, Inc.:   
5.35% (i)(m) 8,020 8,458 
5.95% (i)(m) 5,000 5,292 
5.95% (i)(m) 1,325 1,435 
Credit Agricole SA:   
6.625% (f)(i)(m) 12,820 13,366 
7.875% (f)(i)(m) 2,225 2,531 
8.125% (f)(i)(m) 5,740 6,891 
JPMorgan Chase & Co. 6% (i)(m) 11,680 12,703 
Royal Bank of Scotland Group PLC:   
7.5% (i)(m) 2,245 2,397 
8.625% (i)(m) 2,380 2,671 
Standard Chartered PLC 7.5% (f)(i)(m) 3,195 3,559 
  70,276 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5.375% (i)(m) 4,850 5,125 
TOTAL PREFERRED SECURITIES   
(Cost $ 69,645)  75,401 
 Shares Value (000s) 
Fixed-Income Funds - 5.3%   
Fidelity Mortgage Backed Securities Central Fund (n)   
(Cost $1,347,440) 12,865,839 1,399,390 
Other - 0.0%   
Other - 0.0%   
Tribune Co. Claim (a)(b)   
(Cost $11) 11,092 11 
Money Market Funds - 1.1%   
Fidelity Cash Central Fund, 1.11% (o) 261,844,955 261,897 
Fidelity Securities Lending Cash Central Fund 1.11% (o)(p) 17,315,652 17,317 
TOTAL MONEY MARKET FUNDS   
(Cost $279,213)  279,214 
TOTAL INVESTMENT IN SECURITIES - 99.8%   
(Cost $20,012,379)  26,264,284 
NET OTHER ASSETS (LIABILITIES) - 0.2%  64,880 
NET ASSETS - 100%  $26,329,164 

Security Type Abbreviations

ELS – Equity-Linked Security

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

Legend

 (a) Non-income producing

 (b) Level 3 instrument

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

 (d) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $569,828,000 or 2.2% of net assets.

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

 (f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,118,700,000 or 4.2% of net assets.

 (g) A portion of the security sold on a delayed delivery basis.

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

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

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

 (k) 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.

 (l) 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.

 (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) 
Atom Tickets LLC 8/15/17 $15,000 
Blu Homes, Inc. Series A, 5.00% 6/10/13 $5,000 
Corindus Vascular Robotics, Inc. 9/12/14 $12,500 
Deem, Inc. 9/19/13 $8,065 
Get Heal, Inc. Series B 11/7/16 $2,597 
Jello Labs, Inc. Series C 12/22/16 $17,000 
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 
Peloton Interactive, Inc. Series E 3/31/17 $10,000 
Rent the Runway, Inc. Series E 12/22/16 $30,000 
Roku, Inc. Series F, 8.00% 5/7/13 $5,000 
Space Exploration Technologies Corp. Series H 8/4/17 $7,009 
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 
TulCo LLC 8/24/17 $9,520 
Uber Technologies, Inc. Series D, 8.00% 6/6/14 $25,000 
Vice Holding, Inc. 8/3/12 - 7/18/14 $61,641 
WME Entertainment Parent, LLC Class A 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 $2,176 
Fidelity Mortgage Backed Securities Central Fund 37,486 
Fidelity Securities Lending Cash Central Fund 450 
Total $40,112 

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

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,450,362 $47,537 $72,200 $(1,459) $(24,850) $1,399,390 20.9% 
Total $1,450,362 $47,537 $72,200 $(1,459) $(24,850) $1,399,390  

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 Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Corindus Vascular Robotics, Inc. $1,539 $-- $-- $-- $-- $974 $-- 
Corindus Vascular Robotics, Inc. 5,850 -- -- -- -- 3,700 -- 
Total $7,389 $-- $-- $-- $-- $4,674 $-- 

Investment Valuation

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

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,859,092 $2,456,115 $-- $402,977 
Consumer Staples 954,032 786,859 167,173 -- 
Energy 1,060,803 1,058,403 2,391 9 
Financials 2,924,938 2,881,657 43,281 -- 
Health Care 2,596,392 2,566,381 9,352 20,659 
Industrials 1,665,100 1,648,513 -- 16,587 
Information Technology 5,145,562 4,993,743 -- 151,819 
Materials 718,647 718,647 -- -- 
Real Estate 273,052 273,052 -- -- 
Telecommunication Services 77,875 77,875 -- -- 
Utilities 213,610 210,772 2,838 -- 
Corporate Bonds 4,026,872 -- 4,026,872 -- 
U.S. Government and Government Agency Obligations 1,522,070 -- 1,522,070 -- 
U.S. Government Agency - Mortgage Securities 77,870 -- 77,870 -- 
Asset-Backed Securities 40,009 -- 39,268 741 
Collateralized Mortgage Obligations 10,500 -- 10,500 -- 
Commercial Mortgage Securities 44,300 -- 44,300 -- 
Municipal Securities 143,526 -- 143,526 -- 
Bank Loan Obligations 90,639 -- 88,157 2,482 
Bank Notes 65,379 -- 65,379 -- 
Preferred Securities 75,401 -- 75,401 -- 
Fixed-Income Funds 1,399,390 1,399,390 -- -- 
Other 11 -- -- 11 
Money Market Funds 279,214 279,214 -- -- 
Total Investments in Securities: $26,264,284 $19,350,621 $6,318,378 $595,285 

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 $272,555 
Net Realized Gain (Loss) on Investment Securities (19,619) 
Net Unrealized Gain (Loss) on Investment Securities 111,198 
Cost of Purchases 40,000 
Proceeds of Sales (1,157) 
Amortization/Accretion -- 
Transfers into Level 3 -- 
Transfers out of Level 3 -- 
Ending Balance $402,977 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2017 $91,577 
Other Investments in Securities  
Beginning Balance $189,489 
Net Realized Gain (Loss) on Investment Securities 6,528 
Net Unrealized Gain (Loss) on Investment Securities (32,298) 
Cost of Purchases 53,517 
Proceeds of Sales (22,387) 
Amortization/Accretion 16 
Transfers into Level 3 -- 
Transfers out of Level 3 (2,557) 
Ending Balance $192,308 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2017 $(36,081) 

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

Other Information

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

U.S. Government and U.S. Government Agency Obligations 11.8% 
AAA,AA,A 2.4% 
BBB 7.8% 
BB 2.9% 
B 2.1% 
CCC,CC,C 1.6% 
Not Rated 0.3% 
Equities 70.2% 
Short-Term Investments and Net Other Assets 0.9% 

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 87.7% 
Canada 2.1% 
Ireland 1.8% 
Netherlands 1.7% 
United Kingdom 1.2% 
Others (Individually Less Than 1%) 5.5% 
 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

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2017 
Assets   
Investment in securities, at value (including securities loaned of $17,059) — See accompanying schedule:
Unaffiliated issuers (cost $18,385,726) 		$24,585,680  
Fidelity Central Funds (cost $1,626,653) 1,678,604  
Total Investment in Securities (cost $20,012,379)  $26,264,284 
Cash  30 
Restricted cash  176 
Receivable for investments sold   
Regular delivery  107,791 
Delayed delivery  10,533 
Receivable for fund shares sold  10,855 
Dividends receivable  31,344 
Interest receivable  60,935 
Distributions receivable from Fidelity Central Funds  351 
Other receivables  2,868 
Total assets  26,489,167 
Liabilities   
Payable for investments purchased $94,411  
Payable for fund shares redeemed 35,494  
Accrued management fee 8,588  
Other affiliated payables 2,712  
Other payables and accrued expenses 1,479  
Collateral on securities loaned 17,319  
Total liabilities  160,003 
Net Assets  $26,329,164 
Net Assets consist of:   
Paid in capital  $19,542,347 
Undistributed net investment income  61,927 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  472,973 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  6,251,917 
Net Assets  $26,329,164 
Puritan:   
Net Asset Value, offering price and redemption price per share ($20,131,536 ÷ 879,101 shares)  $22.90 
Class K:   
Net Asset Value, offering price and redemption price per share ($6,197,628 ÷ 270,797 shares)  $22.89 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2017 
Investment Income   
Dividends  $293,954 
Interest   247,607 
Income from Fidelity Central Funds  40,112 
Total income  581,673 
Expenses   
Management fee $101,380  
Transfer agent fees 30,041  
Accounting and security lending fees 2,208  
Custodian fees and expenses 282  
Independent trustees' fees and expenses 105  
Appreciation in deferred trustee compensation account 2  
Registration fees 186  
Audit 325  
Legal 123  
Interest 1  
Miscellaneous 253  
Total expenses before reductions 134,906  
Expense reductions (709) 134,197 
Net investment income (loss)  447,476 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 854,991  
Fidelity Central Funds (1,301)  
Foreign currency transactions 372  
Futures contracts (4,603)  
Capital gain distributions from Fidelity Central Funds 2,475  
Total net realized gain (loss)  851,934 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 1,778,138  
Fidelity Central Funds (24,850)  
Other Affiliated issuers 4,674  
Assets and liabilities in foreign currencies 31  
Delayed delivery commitments (1)  
Total change in net unrealized appreciation (depreciation)  1,757,992 
Net gain (loss)  2,609,926 
Net increase (decrease) in net assets resulting from operations  $3,057,402 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $447,476 $448,887 
Net realized gain (loss) 851,934 197,202 
Change in net unrealized appreciation (depreciation) 1,757,992 1,166,261 
Net increase (decrease) in net assets resulting from operations 3,057,402 1,812,350 
Distributions to shareholders from net investment income (470,001) (425,000) 
Distributions to shareholders from net realized gain (437,826) (1,256,829) 
Total distributions (907,827) (1,681,829) 
Share transactions - net increase (decrease) (1,583,535) 881,968 
Total increase (decrease) in net assets 566,040 1,012,489 
Net Assets   
Beginning of period 25,763,124 24,750,635 
End of period $26,329,164 $25,763,124 
Other Information   
Undistributed net investment income end of period $61,927 $107,963 

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


Financial Highlights — Fidelity Puritan Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $21.07 $21.02 $22.91 $20.98 $19.53 
Income from Investment Operations      
Net investment income (loss)A .37 .36 .47B .36 .36 
Net realized and unrealized gain (loss) 2.21 1.10 (.33) 3.60 1.79 
Total from investment operations 2.58 1.46 .14 3.96 2.15 
Distributions from net investment income (.39)C (.34) (.46) (.35) (.35) 
Distributions from net realized gain (.36)C (1.07) (1.57) (1.68) (.35) 
Total distributions (.75) (1.41) (2.03) (2.03) (.70) 
Net asset value, end of period $22.90 $21.07 $21.02 $22.91 $20.98 
Total ReturnD 12.64% 7.36% .87% 20.17% 11.29% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .55% .56% .56% .56% .58% 
Expenses net of fee waivers, if any .55% .56% .56% .56% .58% 
Expenses net of all reductions .55% .55% .55% .56% .57% 
Net investment income (loss) 1.73% 1.77% 2.13%B 1.68% 1.79% 
Supplemental Data      
Net assets, end of period (in millions) $20,132 $19,754 $18,812 $18,351 $15,934 
Portfolio turnover rateG 45% 36% 106% 160% 229%H 

 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 The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.

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

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

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

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

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


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


Financial Highlights — Fidelity Puritan Fund Class K

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $21.06 $21.01 $22.90 $20.98 $19.52 
Income from Investment Operations      
Net investment income (loss)A .39 .38 .49B .39 .39 
Net realized and unrealized gain (loss) 2.21 1.10 (.33) 3.58 1.79 
Total from investment operations 2.60 1.48 .16 3.97 2.18 
Distributions from net investment income (.41)C (.36) (.48) (.37) (.37) 
Distributions from net realized gain (.36)C (1.07) (1.57) (1.68) (.35) 
Total distributions (.77) (1.43) (2.05) (2.05) (.72) 
Net asset value, end of period $22.89 $21.06 $21.01 $22.90 $20.98 
Total ReturnD 12.76% 7.48% .96% 20.25% 11.48% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .46% .46% .46% .46% .47% 
Expenses net of fee waivers, if any .46% .46% .46% .46% .47% 
Expenses net of all reductions .45% .46% .46% .46% .46% 
Net investment income (loss) 1.82% 1.86% 2.23%B 1.78% 1.90% 
Supplemental Data      
Net assets, end of period (in millions) $6,198 $6,009 $5,939 $6,162 $5,230 
Portfolio turnover rateG 45% 36% 106% 160% 229%H 

 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 The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.

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

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2017
(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 Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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 Valuation Technique(s) Unobservable Input Amount or Range/Weighted Average Impact to Valuation from an Increase in Input(a) 
Corporate Bonds $- Recovery value Recovery value 0.0% Increase 
Commercial Mortgage Securities $- Expected distribution Recovery rate 0.0% Increase 
Asset-Backed Securities $741 Discount cash flow Yield 7.5% Decrease 
Equities $592,051 Recovery value Recovery value 0.0% Increase 
  Market approach Parity price $1.03 Increase 
   Transaction price $2.50 - $3,350 / $1,366.27 Increase 
  Market comparable Enterprise value/EBITDA multiple (EV/EBITDA) 4.0 - 6.9 / 6.9 Increase 
   Enterprise value/Sales multiple (EV/S) 0.7 - 4.8 / 3.2 Increase 
   Discount rate 8.0% - 75.0% / 37.9% Decrease 
   Discount for lack of marketability 10.0% - 20.0% / 15.1% Decrease 
   Liquidity preference $0.00 - $70.93 / $57.34 Increase 
   Premium rate 45.5% - 104.0% / 77.4% Increase 
  Broker quoted Mid price $23.75 Increase 
   Strike price $40.00 - $47.50 / $44.27 Increase 
Bank Loan Oblig-
ations 		$2,391 Market comparable Enterprise value/EBITDA multiple (EV/EBITDA) 6.5 Increase 
   Discount for lack of marketability 15.0% Decrease 
Other $11 Recovery value Recovery value 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, 2017, 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. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. 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, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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. These differences resulted in distribution reclassifications. 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, short-term gain distributions from Underlying Funds, future transactions and losses deferred due to wash sales.

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

Gross unrealized appreciation $6,700,829 
Gross unrealized depreciation (516,096) 
Net unrealized appreciation (depreciation) $6,184,733 
Tax Cost $20,079,551 

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

Undistributed ordinary income $45,459 
Undistributed long-term capital gain $557,966 
Net unrealized appreciation (depreciation) on securities and other investments $6,184,745 

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $495,332 $ 431,190 
Long-term Capital Gains 412,495 1,250,639 
Total $907,827 $ 1,681,829 

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 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.

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.

As of period end, the Fund held an investment of $132,879 in these Subsidiaries, representing .50% 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.

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

4. Derivative Instruments.

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

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

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

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

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. 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.

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

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

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

During the period the Fund recognized net realized gain (loss) of $(4,603) related to its investment in futures contracts. This amount is included in the Statement of Operations.

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 $8,031,241 and $10,333,854, respectively.

6. Fees and Other Transactions with Affiliates.

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

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Puritan, 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 
Puritan $27,213 .14 
Class K 2,828 .05 
 $30,041  

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 $168 for the period.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:

Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Borrower $18,964 1.06% $1 

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 $220.

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 $83 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 $655. 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 $353. 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 $450 (including $11 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 $460 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 $23.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $226.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2017 		Year ended August 31, 2016 
From net investment income   
Puritan $354,958 $319,357 
Class K 115,043 105,643 
Total $470,001 $425,000 
From net realized gain   
Puritan $334,859 $955,970 
Class K 102,967 300,859 
Total $437,826 $1,256,829 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2017 		Year ended August 31, 2016 Year ended
August 31, 2017 		Year ended August 31, 2016 
Puritan     
Shares sold 78,110 134,463 $1,679,995 $2,708,248 
Reinvestment of distributions 31,195 60,339 653,242 1,211,956 
Shares redeemed (167,668) (152,236) (3,600,951) (3,085,310) 
Net increase (decrease) (58,363) 42,566 $(1,267,714) $834,894 
Class K     
Shares sold 35,138 40,423 $754,339 $815,415 
Reinvestment of distributions 10,413 20,247 218,011 406,502 
Shares redeemed (60,050) (57,995) (1,288,171) (1,174,843) 
Net increase (decrease) (14,499) 2,675 $(315,821) $47,074 

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 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) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity 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. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 190 funds. Mr. Chiel oversees 142 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 President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present), 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), as a member of the Independent Directors Council (IDC) Governing Council (2010-2015), and as a member of the Board of Directors for The Brookville Center for Children’s Services, Inc. (2009-2017). Mr. Dirks is a member of the Finance Committee (2016-present) and Board of Directors (2017-present) of the Asolo Repertory Theatre.

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a 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 (2014-2017) and a member (2010-2017) of the Board of Directors of Dave & Buster’s Entertainment, Inc. (restaurant and entertainment complexes), 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 Hillman Companies, Inc. (hardware wholesalers, 2010-2014), Earth Fare, Inc. (retail grocery, 2010-2014), and The Western Union Company (global money transfer, 2006-2011).

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 currently Vice Chair of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner and Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007). Mr. Lautenbach also had a 30-year career with IBM (technology company) during which time he served as Senior Vice President and a member of the Corporate Executive Committee (1968-1998).

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).

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 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 Artis-Naples in Naples, Florida. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

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).

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 (UK) 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).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

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

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 (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

The first line of the accompanying table 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, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Puritan .54%    
Actual  $1,000.00 $1,064.70 $2.81 
Hypothetical-C  $1,000.00 $1,022.48 $2.75 
Class K .45%    
Actual  $1,000.00 $1,065.20 $2.34 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 

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

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

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Puritan Fund voted to pay 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 10/16/17 10/13/17 $0.059 $0.489 
Fidelity Puritan Fund 10/16/17 10/13/17 $0.054 $0.489 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $825,038,457 or, if subsequently determined to be different, the net capital gain of such year.

A total of 3.96% 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 $127,275,994 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders

A percentage of the dividends distributed during the fiscal year for the following fund qualify for the dividends–received deduction for corporate shareholders:

 Class K Puritan 
Fidelity Puritan Fund   
October 2016 18% 19% 
December 9, 2016 59% 62% 
December 27, 2016 62% 62% 
April 2017 81% 86% 
July 2017 82% 86% 

A percentage of the dividends distributed during the fiscal year for the following fund may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

 Class K Puritan 
Fidelity Puritan Fund   
October 2016 21% 22% 
December 9, 2016 67% 71% 
December 27, 2016 70% 70% 
April 2017 94% 100% 
July 2017 95% 100% 

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

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity 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. FMR and the sub-advisers are referred to herein as the Investment Advisers. 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 review 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 2017 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.

Amendment to Group Fee Rate. The Board also approved an amendment to the management contract for the fund to add an additional breakpoint to the group fee schedule, effective October 1, 2017. The Board noted that the additional breakpoint would result in lower management fee rates as Fidelity's assets under management increase.

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 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 Fidelity's investment research process, 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) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain lower-priced share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for certain funds; (ix) introducing a new pricing structure for certain funds of funds that is expected to reduce overall expenses paid by shareholders; (x) rationalizing product lines and gaining increased efficiencies through proposals for fund mergers and share class consolidations; (xi) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xii) implementing enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

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 Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. 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 2016.

The Board noted that, in 2014, the Board and the boards of other Fidelity funds formed the ad hoc Committee on Group Fee 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 2016.

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 that an ad hoc joint committee created by it and the boards of other Fidelity funds periodically (most recently in 2013) reviews and compares 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 relationships 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 potential 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 a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically (most recently in 2013) analyzes 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, in particular the underperformance of certain funds, and Fidelity's long-term strategies for certain funds; (ii) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results, including the impact of market trends on actively managed funds; (iii) the use of performance fees and the calculation of performance adjustments, including the impact of underperformance and fund outflows on performance adjustments; (iv) metrics for evaluating index fund performance; (v) Fidelity's group fee structure, including the group fee breakpoint schedules; (vi) the terms of Fidelity's contractual and voluntary expense cap arrangements with the funds; (vii) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (viii) the expense structures for different funds and classes; (ix) Fidelity's arrangements with affiliated sub-advisers on behalf of the funds; (x) information regarding other accounts managed by Fidelity, including institutional accounts and collective investment trusts; (xi) recent changes to the fee structure for certain funds of funds; and (xii) the impact of the Department of Labor's new fiduciary rule on the funds' comparative expense information.

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-1017
1.863165.108

Fidelity® Puritan® Fund



Annual Report

August 31, 2017



Fidelity Investments


Contents

Performance

Management's Discussion of Fund Performance

Investment Summary

Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

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. © 2017 FMR LLC. All rights reserved.



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

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

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

NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE

Neither the Fund nor Fidelity Distributors Corporation is a bank.



Performance: The Bottom Line

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

Average Annual Total Returns

For the periods ended August 31, 2017 Past 1 year Past 5 years Past 10 years 
Fidelity® Puritan® Fund 12.64% 10.28% 6.67% 

$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, 2007.

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


Period Ending Values
$19,068Fidelity® Puritan® Fund
$20,825S&P 500® Index

Management's Discussion of Fund Performance

Market Recap:  The U.S. equity bellwether S&P 500® index gained 16.23% for the year ending August 31, 2017. Equity markets rose sharply following the November election and continued to rally through the end of February on optimism for President Trump’s pro-business agenda. Stocks leveled off in March amid fading optimism and stalled efforts by Congress to repeal and replace the Affordable Care Act. Upward momentum soon returned and continued until the index cooled off in August, when geopolitical tension escalated and uncertainty grew regarding the future of health care, tax reform and the debt ceiling. Sector-wise, information technology (+31%) and financials (+26%) performed best, the latter supported by a surge in banks. Conversely, energy (-6%) was hurt by low oil prices. Consumer staples (+4%), telecom (-4%) and real estate (+3%) all struggled amid a resurgence in investor risk appetite, in turn bolstering U.S. corporate high-yield bonds to a gain of 8.78%, as measured by The BofA Merrill Lynch℠ US High Yield Constrained Index. Investment-grade debt rose only 0.49%, according to the Bloomberg Barclays U.S. Aggregate Bond Index, as yields increased markedly following the U.S. presidential election before moderating. Within the Bloomberg Barclays index, high-grade corporate bonds led all major market segments, up 2.13%, and U.S. Treasuries returned -5%.

Comments from Lead Portfolio Manager Ramin Arani:  For the fiscal year, the fund’s share classes gained about 13%, topping the 9.74% advance of the Fidelity Puritan Composite Index℠ – a 60/40 blend of the S&P 500® and the Bloomberg Barclays U.S. Aggregate Bond Index. Versus the Composite, we benefited roughly equally from security selection and asset allocation. With equities gaining 16% and investment-grade bonds finishing slightly above breakeven, relative results benefited from my decision to overweight stocks and underweight fixed income. A non-index stake in high-yield debt provided a much smaller boost. It helped to avoid energy firm Exxon Mobil, an index stock that struggled this period and was our top individual contributor versus the Composite. A sizable stake in consumer-electronics maker Apple also helped. Conversely, notable detractors included Anadarko Petroleum, which I bought in September 2016, and Medtronic, a Dublin-based maker of medical devices. The fund’s investment-grade bond investments outperformed the subportfolio’s benchmark, meaningfully boosting the fund’s performance versus the Composite. Early on, the subportfolio benefited from overweightings in corporate bonds and TIPS (Treasury Inflation-Protected Securities). Among the best-performing bonds in the subportfolio were some emerging-markets quasi-sovereign issues, including petroleum enterprises Petroleos Mexicanos (Mexico) and Petrobras (Brazil).

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, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Apple, Inc. 3.8 3.2 
Alphabet, Inc. Class C 3.2 2.9 
Microsoft Corp. 2.3 2.0 
Facebook, Inc. Class A 2.1 1.7 
Visa, Inc. Class A 1.5 1.3 
 12.9  

Top Five Bond Issuers as of August 31, 2017

(with maturities greater than one year) % of fund's net assets % of fund's net assets 6 months ago 
U.S. Treasury Obligations 5.8 5.7 
Fannie Mae 3.0 2.9 
Freddie Mac 1.4 1.6 
Ginnie Mae 1.1 1.1 
Bank of America Corp. 0.4 0.4 
 11.7  

Top Five Market Sectors as of August 31, 2017

 % of fund's net assets % of fund's net assets 6 months ago 
Information Technology 20.0 19.0 
Financials 16.9 17.6 
Consumer Discretionary 12.6 12.0 
Health Care 10.8 9.9 
Industrials 6.9 5.9 

Asset Allocation (% of fund's net assets)

As of August 31, 2017*,** 
   Stocks 69.3% 
   Bonds 28.1% 
   Convertible Securities 0.9% 
   Other Investments 0.9% 
   Short-Term Investments and Net Other Assets (Liabilities) 0.8% 


 * Foreign investments - 12.3%

 ** Futures and Swaps - 0.1%


As of February 28, 2017*,** 
   Stocks 68.8% 
   Bonds 29.6% 
   Convertible Securities 0.8% 
   Other Investments 1.0% 
 Short-Term Investments and Net Other Assets (Liabilities)*** (0.2)% 


 * Foreign investments - 14.2%

 ** Futures and Swaps - 0.1%

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


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

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

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

Investments August 31, 2017

Showing Percentage of Net Assets

Common Stocks - 69.3%   
 Shares Value (000s) 
CONSUMER DISCRETIONARY - 10.5%   
Auto Components - 0.0%   
Chassix Holdings, Inc. (a)(b) 18,330 $594 
Delphi Automotive PLC 18,393 1,773 
  2,367 
Automobiles - 0.3%   
General Motors Co. 78,098 2,854 
General Motors Co. warrants 7/10/19 (a) 8,394 153 
Tesla, Inc. (a) 202,600 72,105 
  75,112 
Hotels, Restaurants & Leisure - 2.2%   
Extended Stay America, Inc. unit 150,000 2,939 
Marriott International, Inc. Class A 701,400 72,651 
McDonald's Corp. 1,136,500 181,806 
Penn National Gaming, Inc. (a) 161,400 3,581 
Red Rock Resorts, Inc. 278,655 6,298 
U.S. Foods Holding Corp. (a) 192,900 5,295 
Vail Resorts, Inc. 1,058,927 241,382 
Wyndham Worldwide Corp. 271,300 27,043 
Wynn Resorts Ltd. 211,700 29,424 
  570,419 
Household Durables - 0.6%   
Newell Brands, Inc. 1,642,696 79,309 
Toll Brothers, Inc. 1,561,400 60,832 
TRI Pointe Homes, Inc. (a) 1,495,900 19,058 
  159,199 
Internet & Direct Marketing Retail - 2.1%   
Amazon.com, Inc. (a) 352,100 345,269 
Netflix, Inc. (a) 335,800 58,668 
Priceline Group, Inc. (a) 76,600 141,869 
  545,806 
Leisure Products - 0.1%   
Hasbro, Inc. 287,000 28,198 
Media - 3.0%   
Altice NV Class A (a) 523,244 12,065 
AMC Networks, Inc. Class A (a) 53,800 3,270 
Charter Communications, Inc. Class A (a) 284,164 113,251 
Comcast Corp. Class A 4,536,300 184,219 
Lions Gate Entertainment Corp.:   
Class A (c) 748,900 22,265 
Class B 2,086,185 58,559 
Live Nation Entertainment, Inc. (a) 1,263,600 50,493 
Time Warner, Inc. 573,600 57,991 
Tribune Media Co. Class A 13,773 552 
tronc, Inc. (a) 3,443 50 
Vertis Holdings, Inc. (a)(b) 1,934 0 
Vice Holding, Inc. (a)(b)(d) 86,301 197,217 
Vivendi SA 1,129,624 25,920 
WME Entertainment Parent, LLC Class A (a)(b)(d)(e) 24,723,425 61,809 
  787,661 
Specialty Retail - 1.1%   
Home Depot, Inc. 1,464,900 219,545 
L Brands, Inc. 300,800 10,895 
TJX Companies, Inc. 420,700 30,417 
Ulta Beauty, Inc. 164,400 36,334 
  297,191 
Textiles, Apparel & Luxury Goods - 1.1%   
Brunello Cucinelli SpA 1,407,200 42,215 
Christian Dior SA 202,800 62,613 
Hermes International SCA 81,100 42,895 
lululemon athletica, Inc. (a) 508,200 29,247 
Luxottica Group SpA 81,800 4,708 
NIKE, Inc. Class B 1,203,900 63,578 
Ralph Lauren Corp. 51,500 4,526 
Tory Burch LLC:   
Class A (e) 702,741 31,110 
Class B (a)(b)(d)(e) 324,840 15,264 
  296,156 
TOTAL CONSUMER DISCRETIONARY  2,762,109 
CONSUMER STAPLES - 3.6%   
Beverages - 1.7%   
Anheuser-Busch InBev SA NV 120,700 14,295 
Coca-Cola European Partners PLC 963,200 41,418 
Constellation Brands, Inc. Class A (sub. vtg.) 238,300 47,684 
Kweichow Moutai Co. Ltd. (A Shares) 273,469 20,382 
Molson Coors Brewing Co. Class B 234,900 21,082 
Monster Beverage Corp. (a) 1,569,300 87,598 
PepsiCo, Inc. 994,000 115,036 
The Coca-Cola Co. 2,443,200 111,288 
  458,783 
Food & Staples Retailing - 0.2%   
Costco Wholesale Corp. 329,500 51,646 
Ovation Acquisition I LLC (a)(b)(d) 389,576 0 
  51,646 
Food Products - 0.3%   
Bunge Ltd. 264,000 19,702 
Mondelez International, Inc. 583,700 23,733 
The Kraft Heinz Co. 320,600 25,888 
  69,323 
Household Products - 0.4%   
Procter & Gamble Co. 802,100 74,010 
Spectrum Brands Holdings, Inc. 392,900 43,203 
  117,213 
Personal Products - 0.8%   
Estee Lauder Companies, Inc. Class A 952,900 101,951 
L'Oreal SA  10,600 2,238 
Unilever NV (Certificaten Van Aandelen) (Bearer) 1,784,600 106,245 
  210,434 
Tobacco - 0.2%   
British American Tobacco PLC (United Kingdom) 747,500 46,633 
TOTAL CONSUMER STAPLES  954,032 
ENERGY - 4.0%   
Energy Equipment & Services - 0.8%   
Baker Hughes, a GE Co. Class A 66,045 2,239 
Halliburton Co. 1,911,800 74,503 
Schlumberger Ltd. 2,178,582 138,362 
  215,104 
Oil, Gas & Consumable Fuels - 3.2%   
Alpha Natural Resources Holdings, Inc. 1,903 9 
Anadarko Petroleum Corp. 2,548,300 104,302 
ANR, Inc. 1,903 35 
ANR, Inc. rights 3/31/23 (b) 1,131,145 9 
Apache Corp. 1,286,300 49,960 
Cabot Oil & Gas Corp. 1,064,000 27,185 
Chevron Corp. 2,275,400 244,879 
Cimarex Energy Co. 160,000 15,950 
ConocoPhillips Co. 1,806,600 78,876 
Contura Energy, Inc. 135 8 
Contura Energy, Inc. warrants 7/26/23 220 6 
EOG Resources, Inc. 520,000 44,195 
Extraction Oil & Gas, Inc. 755,865 9,932 
Golar LNG Ltd. 542,100 11,753 
Imperial Oil Ltd. 1,628,000 48,055 
LINN Energy, Inc. 54,178 1,817 
Noble Energy, Inc. 1,611,800 38,312 
Pioneer Natural Resources Co. 151,100 19,590 
RSP Permian, Inc. (a) 748,900 23,500 
Southwestern Energy Co. (a) 52,016 283 
Suncor Energy, Inc. 3,946,500 123,665 
The Williams Companies, Inc. 33,200 987 
Warrior Met Coal, Inc. Class A 5,773 150 
  843,458 
TOTAL ENERGY  1,058,562 
FINANCIALS - 11.1%   
Banks - 6.5%   
Bank of America Corp. 15,027,200 359,000 
Citigroup, Inc. 4,168,140 283,559 
First Republic Bank 50,000 4,853 
Hangzhou Hikvision Digital Technology Co. Ltd. ELS (BNP Paribas Warrant Program) warrants 9/29/17 (f) 8,871,375 43,281 
Huntington Bancshares, Inc. 4,112,900 51,781 
JPMorgan Chase & Co. 3,165,523 287,714 
PNC Financial Services Group, Inc. 842,500 105,658 
SunTrust Banks, Inc. 2,171,100 119,628 
TCF Financial Corp. 258,400 4,013 
U.S. Bancorp 2,726,700 139,743 
Wells Fargo & Co. 6,072,540 310,125 
  1,709,355 
Capital Markets - 1.4%   
Brighthouse Financial, Inc. 8,354 477 
CBOE Holdings, Inc. 401,900 40,548 
Charles Schwab Corp. 1,021,200 40,746 
Goldman Sachs Group, Inc. 706,900 158,162 
Motors Liquidation Co. GUC Trust (a) 28,150 242 
Northern Trust Corp. 597,200 52,852 
S&P Global, Inc. 328,800 50,744 
TD Ameritrade Holding Corp. 839,300 36,358 
  380,129 
Consumer Finance - 0.8%   
Capital One Financial Corp. 2,179,600 173,518 
Synchrony Financial 1,370,300 42,192 
  215,710 
Diversified Financial Services - 1.0%   
Berkshire Hathaway, Inc. Class B (a) 1,385,900 251,070 
Insurance - 1.4%   
Chubb Ltd. 1,642,247 232,247 
Hartford Financial Services Group, Inc. 942,100 50,939 
MetLife, Inc. 1,825,500 85,488 
  368,674 
TOTAL FINANCIALS  2,924,938 
HEALTH CARE - 9.8%   
Biotechnology - 3.2%   
ACADIA Pharmaceuticals, Inc. (a) 860,504 30,643 
Acceleron Pharma, Inc. (a) 130,400 5,054 
Alexion Pharmaceuticals, Inc. (a) 626,200 89,177 
Amgen, Inc. 2,216,700 394,063 
Asterias Biotherapeutics, Inc. warrants 9/29/17 (a) 26,174 6 
Biogen, Inc. (a) 221,900 70,245 
Celgene Corp. (a) 225,600 31,343 
Geron Corp. (a)(c) 3,139,900 6,814 
Gilead Sciences, Inc. 397,700 33,291 
Neurocrine Biosciences, Inc. (a) 579,100 32,777 
Spark Therapeutics, Inc. (a) 178,800 14,721 
Vertex Pharmaceuticals, Inc. (a) 839,100 134,709 
  842,843 
Health Care Equipment & Supplies - 2.6%   
Becton, Dickinson & Co. 608,700 121,399 
Boston Scientific Corp. (a) 8,711,900 240,013 
Corindus Vascular Robotics, Inc. (a)(c) 1,315,800 2,513 
Corindus Vascular Robotics, Inc. (a)(d) 5,000,000 9,550 
Danaher Corp. 1,192,200 99,453 
Intuitive Surgical, Inc. (a) 73,600 73,944 
Medtronic PLC 1,494,686 120,502 
  667,374 
Health Care Providers & Services - 2.0%   
Aetna, Inc. 673,700 106,242 
HCA Holdings, Inc. (a) 73,100 5,750 
HealthSouth Corp. 15 1 
Humana, Inc. 550,400 141,794 
Legend Acquisition, Inc. (a)(b) 2,509 60 
Legend Acquisition, Inc.:   
Class A warrants (a)(b) 17,259 0 
Class B warrants (a)(b) 22,759 0 
UnitedHealth Group, Inc. 1,408,400 280,131 
  533,978 
Pharmaceuticals - 2.0%   
Allergan PLC 1,127,489 258,736 
Bristol-Myers Squibb Co. 1,304,600 78,902 
GlaxoSmithKline PLC sponsored ADR 1,160,400 46,683 
Jazz Pharmaceuticals PLC (a) 114,600 17,117 
Johnson & Johnson 272,400 36,058 
The Medicines Company (a) 618,500 22,693 
TherapeuticsMD, Inc. (a) 5,109,226 30,655 
Theravance Biopharma, Inc. (a) 961,200 31,402 
  522,246 
TOTAL HEALTH CARE  2,566,441 
INDUSTRIALS - 6.3%   
Aerospace & Defense - 2.0%   
General Dynamics Corp. 273,100 54,989 
Huntington Ingalls Industries, Inc. 371,800 79,550 
Northrop Grumman Corp. 610,600 166,211 
Raytheon Co. 614,200 111,791 
Rockwell Collins, Inc. 427,300 55,998 
United Technologies Corp. 516,400 61,823 
  530,362 
Air Freight & Logistics - 0.1%   
FedEx Corp. 147,500 31,621 
Building Products - 0.4%   
Lennox International, Inc. 138,300 22,920 
Masco Corp. 1,879,000 69,091 
Masonite International Corp. (a) 10,749 680 
  92,691 
Commercial Services & Supplies - 0.0%   
TulCo LLC (b)(d)(e) 27,200 9,520 
WP Rocket Holdings, Inc. (a)(b)(d) 5,819,318 58 
  9,578 
Construction & Engineering - 0.0%   
Keane Group, Inc. 250,000 3,238 
Electrical Equipment - 0.2%   
AMETEK, Inc. 369,500 23,371 
Fortive Corp. 596,100 38,729 
  62,100 
Industrial Conglomerates - 0.3%   
Honeywell International, Inc. 502,200 69,439 
Machinery - 2.4%   
AGCO Corp. 710,900 48,661 
Allison Transmission Holdings, Inc. 2,449,700 85,078 
Caterpillar, Inc. 1,843,300 216,569 
Cummins, Inc. 411,100 65,521 
Deere & Co. 720,300 83,504 
Ingersoll-Rand PLC 520,500 44,445 
WABCO Holdings, Inc. (a) 534,500 76,765 
  620,543 
Road & Rail - 0.8%   
CSX Corp. 1,057,900 53,107 
Norfolk Southern Corp. 1,223,100 147,408 
  200,515 
Trading Companies & Distributors - 0.1%   
United Rentals, Inc. (a) 321,900 38,004 
TOTAL INDUSTRIALS  1,658,091 
INFORMATION TECHNOLOGY - 19.2%   
Communications Equipment - 0.2%   
Cisco Systems, Inc. 1,197,000 38,555 
Electronic Equipment & Components - 0.3%   
Amphenol Corp. Class A 677,600 54,845 
CDW Corp. 73,100 4,636 
E Ink Holdings, Inc. GDR (f) 140,100 2,022 
Keysight Technologies, Inc. (a) 637,727 26,058 
  87,561 
Internet Software & Services - 5.7%   
Alibaba Group Holding Ltd. sponsored ADR (a) 400,400 68,765 
Alphabet, Inc. Class C (a) 896,383 841,999 
Facebook, Inc. Class A (a) 3,187,060 548,079 
Mail.Ru Group Ltd. GDR (a)(f) 77,400 2,298 
Pandora Media, Inc. (a) 23,894 202 
Spotify Technology SA (a)(b)(d)(g) 12,209 41,196 
  1,502,539 
IT Services - 3.5%   
Cognizant Technology Solutions Corp. Class A 1,175,800 83,211 
Global Payments, Inc. 724,600 69,192 
MasterCard, Inc. Class A 1,497,800 199,657 
PayPal Holdings, Inc. (a) 2,419,600 149,241 
Visa, Inc. Class A 3,962,400 410,188 
  911,489 
Semiconductors & Semiconductor Equipment - 1.0%   
Analog Devices, Inc. 477,600 39,961 
Broadcom Ltd. 437,230 110,213 
Cypress Semiconductor Corp. 1,614 22 
KLA-Tencor Corp. 646,600 60,580 
Qorvo, Inc. (a) 199,900 14,637 
Texas Instruments, Inc. 600,600 49,742 
  275,155 
Software - 4.7%   
Activision Blizzard, Inc. 2,390,100 156,695 
Adobe Systems, Inc. (a) 1,087,600 168,752 
Atom Tickets LLC (b)(d)(e) 2,580,511 15,000 
Citrix Systems, Inc. (a) 215,400 16,846 
Deem, Inc. (a)(b)(d) 124,895 24 
Electronic Arts, Inc. (a) 856,800 104,101 
Microsoft Corp. 8,000,100 598,167 
Oracle Corp. 1,718,600 86,497 
Salesforce.com, Inc. (a) 1,039,400 99,252 
  1,245,334 
Technology Hardware, Storage & Peripherals - 3.8%   
Apple, Inc. 6,032,500 989,330 
TOTAL INFORMATION TECHNOLOGY  5,049,963 
MATERIALS - 2.7%   
Chemicals - 2.3%   
AdvanSix, Inc. 40,176 1,283 
CF Industries Holdings, Inc. 425,700 12,341 
E.I. du Pont de Nemours & Co. 3,077,475 258,292 
FMC Corp. 280,300 24,167 
LyondellBasell Industries NV Class A 1,850,998 167,682 
Monsanto Co. 795,800 93,268 
Potash Corp. of Saskatchewan, Inc. 551,000 9,588 
Sherwin-Williams Co. 69,100 23,444 
The Chemours Co. LLC 395,195 19,392 
The Scotts Miracle-Gro Co. Class A 61,400 5,869 
  615,326 
Construction Materials - 0.1%   
Eagle Materials, Inc. 199,200 19,372 
Metals & Mining - 0.3%   
AngloGold Ashanti Ltd. sponsored ADR 57,230 580 
Freeport-McMoRan, Inc. (a) 3,628,900 53,635 
Newmont Mining Corp. 372,700 14,289 
Randgold Resources Ltd. sponsored ADR 150,700 15,445 
  83,949 
TOTAL MATERIALS  718,647 
REAL ESTATE - 1.0%   
Equity Real Estate Investment Trusts (REITs) - 1.0%   
American Tower Corp. 1,771,900 262,330 
Gaming & Leisure Properties 126,400 4,954 
Omega Healthcare Investors, Inc. 181,000 5,768 
  273,052 
TELECOMMUNICATION SERVICES - 0.3%   
Diversified Telecommunication Services - 0.0%   
Iliad SA 28,725 7,419 
Wireless Telecommunication Services - 0.3%   
T-Mobile U.S., Inc. (a) 1,088,800 70,456 
TOTAL TELECOMMUNICATION SERVICES  77,875 
UTILITIES - 0.8%   
Electric Utilities - 0.7%   
Edison International 1,127,707 90,420 
NextEra Energy, Inc. 302,600 45,544 
PPL Corp. 410,800 16,120 
Xcel Energy, Inc. 746,300 36,942 
  189,026 
Multi-Utilities - 0.1%   
Sempra Energy 184,400 21,746 
TOTAL UTILITIES  210,772 
TOTAL COMMON STOCKS   
(Cost $12,312,474)  18,254,482 
Convertible Preferred Stocks - 0.9%   
CONSUMER DISCRETIONARY - 0.4%   
Household Durables - 0.1%   
Blu Homes, Inc. Series A, 5.00% (a)(b)(d) 1,082,251 11 
Roku, Inc. Series F, 8.00% (a)(b)(d) 5,520,836 10,324 
  10,335 
Internet & Direct Marketing Retail - 0.0%   
The Honest Co., Inc. Series D (a)(b)(d) 196,700 6,296 
Leisure Products - 0.0%   
Peloton Interactive, Inc. Series E (b)(d) 461,642 10,000 
Specialty Retail - 0.2%   
Moda Operandi, Inc. Series E (a)(b)(d) 508,444 38,306 
Textiles, Apparel & Luxury Goods - 0.1%   
Rent the Runway, Inc. Series E (b)(d) 1,378,930 32,046 
TOTAL CONSUMER DISCRETIONARY  96,983 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 169,100 2,241 
HEALTH CARE - 0.1%   
Health Care Providers & Services - 0.1%   
Get Heal, Inc. Series B (b)(d) 8,512,822 1,777 
Mulberry Health, Inc. Series A8 (a)(b)(d) 2,960,879 18,822 
  20,599 
Pharmaceuticals - 0.0%   
Allergan PLC 5.50% 9,300 7,585 
Teva Pharmaceutical Industries Ltd. 7% 5,570 1,767 
  9,352 
TOTAL HEALTH CARE  29,951 
INDUSTRIALS - 0.0%   
Aerospace & Defense - 0.0%   
Space Exploration Technologies Corp. Series H (b)(d) 51,921 7,009 
INFORMATION TECHNOLOGY - 0.4%   
Internet Software & Services - 0.3%   
Uber Technologies, Inc. Series D, 8.00% (a)(b)(d) 1,611,548 78,599 
Software - 0.1%   
Jello Labs, Inc. Series C (b)(d) 1,050,307 17,000 
TOTAL INFORMATION TECHNOLOGY  95,599 
UTILITIES - 0.0%   
Independent Power and Renewable Electricity Producers - 0.0%   
Dynegy, Inc. 7.00% 42,400 2,838 
TOTAL CONVERTIBLE PREFERRED STOCKS   
(Cost $173,462)  234,621 
 Principal Amount (000s) Value (000s) 
Corporate Bonds - 15.3%   
Convertible Bonds - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Liberty Media Corp.:   
3.5% 1/15/31 620 346 
3.5% 1/15/31 (f) 4,584 2,557 
  2,903 
Nonconvertible Bonds - 15.3%   
CONSUMER DISCRETIONARY - 1.6%   
Automobiles - 0.2%   
General Motors Co. 3.5% 10/2/18 4,530 4,604 
General Motors Financial Co., Inc.:   
3.15% 1/15/20 12,000 12,245 
3.25% 5/15/18 3,070 3,101 
3.5% 7/10/19 17,868 18,306 
4% 1/15/25 6,368 6,451 
4.25% 5/15/23 3,285 3,424 
4.375% 9/25/21 11,267 11,947 
Tesla, Inc. 5.3% 8/15/25 (f) 5,215 5,143 
  65,221 
Distributors - 0.0%   
American Tire Distributors, Inc. 10.25% 3/1/22 (f) 3,085 3,185 
Diversified Consumer Services - 0.0%   
Ascend Learning LLC 6.875% 8/1/25 (f) 580 603 
Ingersoll-Rand Global Holding Co. Ltd. 2.875% 1/15/19 554 561 
Laureate Education, Inc. 8.25% 5/1/25 (f) 4,910 5,340 
Service Corp. International 5.375% 1/15/22 505 519 
  7,023 
Hotels, Restaurants & Leisure - 0.3%   
Aramark Services, Inc. 5.125% 1/15/24 4,620 4,909 
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 4,300 4,628 
Chukchansi Economic Development Authority 9.75% 5/30/20 (f)(h) 2,861 1,573 
Eldorado Resorts, Inc. 6% 4/1/25 455 483 
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26 735 797 
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (f) 5,680 5,936 
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. 6.125% 12/1/24 (f) 1,080 1,185 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 1,940 2,027 
4.875% 4/1/27 1,165 1,235 
Jacobs Entertainment, Inc. 7.875% 2/1/24 (f) 435 469 
KFC Holding Co./Pizza Hut Holding LLC:   
4.75% 6/1/27 (f) 1,325 1,360 
5% 6/1/24 (f) 5,275 5,514 
Landry's Acquisition Co. 6.75% 10/15/24 (f) 1,640 1,661 
McDonald's Corp. 3.7% 1/30/26 3,379 3,557 
MGM Mirage, Inc. 6% 3/15/23 1,630 1,801 
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 5% 8/1/18 (f) 865 866 
NCL Corp. Ltd. 4.75% 12/15/21 (f) 5,000 5,181 
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 11% 10/1/21 (i) 4,650 4,941 
Penn National Gaming, Inc. 5.625% 1/15/27 (f) 355 368 
Playa Resorts Holding BV 8% 8/15/20 (f) 90 94 
Scientific Games Corp.:   
6.25% 9/1/20 580 583 
6.625% 5/15/21 5,350 5,537 
7% 1/1/22 (f) 1,275 1,361 
10% 12/1/22 6,840 7,610 
Silversea Cruises 7.25% 2/1/25 (f) 745 803 
Studio City Co. Ltd.:   
5.875% 11/30/19 (f) 1,180 1,245 
7.25% 11/30/21 (f) 3,070 3,296 
Studio City Finance Ltd. 8.5% 12/1/20 (f) 1,000 1,034 
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (f) 1,280 1,254 
Wynn Macau Ltd. 5.25% 10/15/21 (f) 605 618 
  71,926 
Household Durables - 0.1%   
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (f) 785 818 
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (f) 620 637 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
5.125% 7/15/23 (f) 925 964 
5.75% 10/15/20 4,574 4,659 
7% 7/15/24 (f) 1,160 1,243 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (f) 1,395 1,479 
William Lyon Homes, Inc.:   
5.75% 4/15/19 470 476 
5.875% 1/31/25 1,115 1,146 
7% 8/15/22 2,585 2,682 
  14,104 
Internet & Direct Marketing Retail - 0.1%   
Netflix, Inc.:   
4.375% 11/15/26 (f) 3,415 3,330 
5.5% 2/15/22 5,000 5,375 
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (f) 3,785 4,017 
6% 4/1/23 2,475 2,620 
  15,342 
Media - 0.9%   
21st Century Fox America, Inc. 7.75% 12/1/45 8,012 12,182 
Altice SA:   
7.625% 2/15/25 (f) 4,905 5,308 
7.75% 5/15/22 (f) 10,065 10,681 
Altice U.S. Finance SA:   
5.375% 7/15/23 (f) 2,375 2,488 
7.75% 7/15/25 (f) 3,160 3,488 
AMC Entertainment Holdings, Inc. 6.125% 5/15/27 1,250 1,170 
AMC Entertainment, Inc. 5.75% 6/15/25 2,345 2,228 
AOL Time Warner, Inc. 2.95% 7/15/26 17,000 16,107 
Cable One, Inc. 5.75% 6/15/22 (f) 895 938 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.25% 2/15/22 275 284 
5.625% 2/15/24 670 696 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
5.125% 2/15/23 1,580 1,633 
5.125% 5/1/27 (f) 10,095 10,398 
5.25% 3/15/21 3,375 3,468 
5.5% 5/1/26 (f) 1,035 1,080 
5.75% 9/1/23 945 983 
5.75% 1/15/24 4,235 4,443 
5.75% 2/15/26 (f) 5,010 5,297 
5.875% 5/1/27 (f) 3,385 3,597 
Cengage Learning, Inc. 9.5% 6/15/24 (f) 3,725 3,194 
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (f) 227 232 
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (f) 3,345 3,404 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 7,702 8,151 
4.908% 7/23/25 5,177 5,546 
5.375% 5/1/47 (f) 6,638 6,776 
6.484% 10/23/45 1,983 2,281 
Cinemark U.S.A., Inc. 4.875% 6/1/23 1,275 1,272 
Clear Channel International BV 8.75% 12/15/20 (f) 430 449 
Clear Channel Worldwide Holdings, Inc.:   
Series A:   
6.5% 11/15/22 755 772 
7.625% 3/15/20 585 576 
7.625% 3/15/20 3,205 3,193 
Columbus International, Inc. 7.375% 3/30/21 (f) 1,807 1,933 
CSC Holdings, Inc. 5.5% 4/15/27 (f) 8,830 9,216 
DISH DBS Corp.:   
5% 3/15/23 2,675 2,763 
5.875% 7/15/22 2,655 2,871 
6.75% 6/1/21 3,515 3,880 
E.W. Scripps Co. 5.125% 5/15/25 (f) 445 451 
Lamar Media Corp.:   
5.375% 1/15/24 630 661 
5.875% 2/1/22 525 539 
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (f) 5,226 5,004 
MDC Partners, Inc. 6.5% 5/1/24 (f) 5,200 5,181 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (f)(i) 15,108 15,108 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (f)(i) 5,963 5,881 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (f) 685 709 
Regal Entertainment Group 5.75% 3/15/22 1,230 1,276 
Sirius XM Radio, Inc.:   
5% 8/1/27 (f) 2,770 2,846 
5.375% 4/15/25 (f) 1,490 1,575 
Time Warner Cable, Inc.:   
4% 9/1/21 9,654 10,059 
4.5% 9/15/42 2,819 2,603 
5.5% 9/1/41 2,304 2,360 
6.55% 5/1/37 10,296 11,902 
6.75% 7/1/18 1,581 1,642 
7.3% 7/1/38 3,823 4,713 
8.25% 4/1/19 10,176 11,117 
Time Warner, Inc. 2.1% 6/1/19 10,446 10,474 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (f) 1,206 1,248 
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (f) 1,060 1,088 
Ziggo Bond Finance BV:   
5.875% 1/15/25 (f) 1,120 1,161 
6% 1/15/27 (f) 4,760 4,885 
  245,461 
Specialty Retail - 0.0%   
Lithia Motors, Inc. 5.25% 8/1/25 (f) 1,065 1,089 
Sonic Automotive, Inc. 5% 5/15/23 195 190 
  1,279 
TOTAL CONSUMER DISCRETIONARY  423,541 
CONSUMER STAPLES - 0.7%   
Beverages - 0.2%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 14,051 14,315 
3.3% 2/1/23 15,133 15,698 
4.7% 2/1/36 14,328 15,884 
4.9% 2/1/46 9,290 10,585 
  56,482 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
5.75% 3/15/25 2,275 2,050 
6.625% 6/15/24 1,260 1,203 
Albertsons, Inc.:   
6.625% 6/1/28 2,130 1,768 
7.45% 8/1/29 195 170 
BI-LO LLC/BI-LO Finance Corp.:   
9.25% 2/15/19 (f) 2,335 2,014 
9.375% 9/15/18 pay-in-kind (f)(i) 2,440 787 
C&S Group Enterprises LLC 5.375% 7/15/22 (f) 1,445 1,418 
Cumberland Farms, Inc. 6.75% 5/1/25 (f) 670 719 
CVS Health Corp.:   
3.5% 7/20/22 3,373 3,527 
3.875% 7/20/25 5,311 5,578 
ESAL GmbH 6.25% 2/5/23 (f) 3,315 3,224 
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (f) 775 791 
Minerva Luxembourg SA 6.5% 9/20/26 (f) 2,115 2,121 
Performance Food Group, Inc. 5.5% 6/1/24 (f) 1,050 1,082 
Rite Aid Corp.:   
6.875% 12/15/28 (f)(i) 3,505 3,207 
7.7% 2/15/27 3,085 2,962 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22(f) 2,955 2,165 
U.S. Foods, Inc. 5.875% 6/15/24 (f) 1,835 1,911 
  36,697 
Food Products - 0.1%   
CF Industries Holdings, Inc.:   
4.95% 6/1/43 2,360 2,047 
5.15% 3/15/34 1,080 1,018 
5.375% 3/15/44 1,005 917 
Darling International, Inc. 5.375% 1/15/22 745 771 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (f) 6,370 6,386 
5.875% 7/15/24 (f) 1,500 1,519 
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 5.875% 1/15/24 880 941 
Post Holdings, Inc.:   
5.5% 3/1/25 (f) 2,160 2,246 
5.75% 3/1/27 (f) 4,110 4,254 
William Wrigley Jr. Co. 2% 10/20/17 (f) 4,607 4,610 
  24,709 
Tobacco - 0.2%   
Altria Group, Inc.:   
2.625% 1/14/20 4,950 5,039 
4% 1/31/24 3,123 3,355 
Imperial Tobacco Finance PLC:   
3.75% 7/21/22 (f) 6,420 6,693 
4.25% 7/21/25 (f) 6,420 6,818 
Reynolds American, Inc.:   
2.3% 6/12/18 2,235 2,244 
3.25% 6/12/20 1,273 1,312 
4% 6/12/22 4,375 4,641 
4.45% 6/12/25 3,173 3,429 
4.85% 9/15/23 7,000 7,738 
5.7% 8/15/35 1,646 1,927 
5.85% 8/15/45 5,525 6,678 
7.25% 6/15/37 6,101 8,384 
Vector Group Ltd. 6.125% 2/1/25 (f) 4,285 4,392 
  62,650 
TOTAL CONSUMER STAPLES  180,538 
ENERGY - 2.3%   
Energy Equipment & Services - 0.2%   
Calfrac Holdings LP 7.5% 12/1/20 (f) 3,930 3,517 
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 2,365 2,365 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 5,755 6,229 
6.5% 4/1/20 2,937 3,225 
Ensco PLC:   
4.5% 10/1/24 3,510 2,562 
5.2% 3/15/25 660 492 
Exterran Partners LP/EXLP Finance Corp.:   
6% 4/1/21 440 430 
6% 10/1/22 1,405 1,359 
FTS International, Inc. 6.25% 5/1/22 4,410 3,815 
Gulfmark Offshore, Inc. 6.375% 3/15/22 (h) 1,435 287 
Halliburton Co.:   
3.8% 11/15/25 3,469 3,584 
4.85% 11/15/35 3,029 3,284 
Noble Holding International Ltd.:   
4.625% 3/1/21 301 257 
5.75% 3/16/18 470 473 
6.05% 3/1/41 80 48 
6.2% 8/1/40 2,270 1,368 
7.7% 4/1/25 (i) 2,995 2,231 
7.75% 1/15/24 6,280 4,851 
NuStar Logistics LP 5.625% 4/28/27 855 906 
Pacific Drilling V Ltd. 7.25% 12/1/17 (f) 2,355 1,060 
Pride International, Inc. 7.875% 8/15/40 2,554 2,005 
SESI LLC 7.75% 9/15/24 (f) 985 995 
Summit Midstream Holdings LLC 5.75% 4/15/25 1,290 1,293 
Trinidad Drilling Ltd. 6.625% 2/15/25 (f) 730 675 
Weatherford International Ltd. 9.875% 2/15/24 (f) 3,070 3,139 
  50,450 
Oil, Gas & Consumable Fuels - 2.1%   
Alpha Natural Resources, Inc. 9.75% 4/15/18 (b) 1,099 0 
Amerada Hess Corp. 7.875% 10/1/29 2,989 3,602 
Anadarko Finance Co. 7.5% 5/1/31 5,758 7,233 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 8,942 9,505 
5.55% 3/15/26 4,888 5,456 
6.6% 3/15/46 6,640 8,033 
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.375% 9/15/24 785 801 
Antero Resources Corp.:   
5.125% 12/1/22 3,810 3,820 
5.625% 6/1/23 (Reg. S) 1,835 1,867 
Antero Resources Finance Corp. 5.375% 11/1/21 1,790 1,821 
Blue Racer Mistream LLC/Blue Racer Finance Corp. 6.125% 11/15/22 (f) 5,000 5,138 
California Resources Corp. 8% 12/15/22 (f) 4,825 2,660 
Callon Petroleum Co. 6.125% 10/1/24 730 741 
Canadian Natural Resources Ltd.:   
1.75% 1/15/18 2,250 2,249 
5.85% 2/1/35 3,450 3,851 
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 280 272 
Cenovus Energy, Inc.:   
4.25% 4/15/27 (f) 6,485 6,260 
5.7% 10/15/19 1,662 1,747 
Cheniere Corpus Christi Holdings LLC:   
5.125% 6/30/27 (f) 1,785 1,847 
5.875% 3/31/25 2,210 2,376 
Chesapeake Energy Corp.:   
3 month U.S. LIBOR + 3.250% 4.5536% 4/15/19 (i)(j) 2,150 2,123 
4.875% 4/15/22 5,325 4,713 
5.75% 3/15/23 1,800 1,591 
8% 12/15/22 (f) 4,097 4,235 
8% 1/15/25 (f) 8,860 8,539 
8% 6/15/27 (f) 5,300 5,035 
Citgo Holding, Inc. 10.75% 2/15/20 (f) 2,315 2,471 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 1,213 1,217 
3.3% 6/1/20 5,938 6,108 
4.5% 6/1/25 1,813 1,947 
CONSOL Energy, Inc. 8% 4/1/23 5,000 5,275 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 4.9817% 6/15/22 (f)(i)(j) 1,840 1,840 
6.875% 6/15/25 (f) 4,640 4,826 
Covey Park Energy LLC 7.5% 5/15/25 (f) 1,810 1,817 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 1,150 1,187 
DCP Midstream LLC:   
4.75% 9/30/21 (f) 5,634 5,775 
5.35% 3/15/20 (f) 5,174 5,446 
DCP Midstream Operating LP:   
2.5% 12/1/17 2,677 2,674 
2.7% 4/1/19 4,139 4,113 
3.875% 3/15/23 2,327 2,266 
4.95% 4/1/22 1,048 1,082 
5.6% 4/1/44 1,686 1,568 
Denbury Resources, Inc. 4.625% 7/15/23 4,625 2,035 
Duke Energy Field Services 6.45% 11/3/36 (f) 3,753 3,950 
Empresa Nacional de Petroleo 4.375% 10/30/24 (f) 4,545 4,777 
Enable Midstream Partners LP:   
2.4% 5/15/19 (i) 1,656 1,649 
3.9% 5/15/24 (i) 1,746 1,749 
Enbridge Energy Partners LP:   
4.2% 9/15/21 6,629 6,996 
4.375% 10/15/20 4,351 4,580 
Enbridge, Inc.:   
4.25% 12/1/26 2,391 2,518 
5.5% 12/1/46 2,759 3,165 
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (f) 990 968 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (f) 1,000 1,005 
Gibson Energy, Inc. 6.75% 7/15/21 (f) 53 55 
Hilcorp Energy I LP/Hilcorp Finance Co. 5.75% 10/1/25 (f) 6,625 6,393 
Kinder Morgan Energy Partners LP:   
3.45% 2/15/23 7,202 7,300 
3.5% 3/1/21 2,994 3,075 
6.55% 9/15/40 674 784 
Kinder Morgan, Inc. 5% 2/15/21 (f) 3,749 4,022 
Marathon Petroleum Corp. 5.125% 3/1/21 3,173 3,442 
Murphy Oil Corp. 6.875% 8/15/24 550 581 
Nakilat, Inc. 6.067% 12/31/33 (f) 1,839 2,163 
Nexen, Inc. 6.2% 7/30/19 1,865 1,993 
NGPL PipeCo LLC:   
4.375% 8/15/22 (f) 415 426 
4.875% 8/15/27 (f) 415 427 
Oasis Petroleum, Inc. 6.875% 3/15/22 595 579 
Parsley Energy LLC/Parsley:   
5.375% 1/15/25 (f) 2,595 2,608 
6.25% 6/1/24 (f) 4,225 4,405 
PBF Holding Co. LLC/PBF Finance Corp.:   
7% 11/15/23 2,850 2,857 
7.25% 6/15/25 (f) 1,820 1,802 
Peabody Securities Finance Corp.:   
6% 3/31/22 (f) 545 559 
6.375% 3/31/25 (f) 680 694 
Petrobras Global Finance BV:   
4.375% 5/20/23 3,648 3,571 
5.625% 5/20/43 11,155 9,783 
7.25% 3/17/44 28,868 29,734 
Petrobras International Finance Co. Ltd. 5.375% 1/27/21 10,725 11,092 
Petroleos Mexicanos:   
3.5% 7/23/20 7,125 7,314 
3.5% 1/30/23 4,530 4,490 
4.5% 1/23/26 6,398 6,460 
4.625% 9/21/23 10,200 10,618 
4.875% 1/24/22 2,315 2,433 
4.875% 1/18/24 5,974 6,222 
5.375% 3/13/22 (f) 3,625 3,890 
5.5% 1/21/21 12,842 13,767 
5.5% 6/27/44 7,252 6,824 
5.625% 1/23/46 6,203 5,832 
6% 3/5/20 4,075 4,395 
6.375% 1/23/45 13,324 13,737 
6.5% 3/13/27 (f) 5,590 6,261 
6.5% 6/2/41 7,783 8,223 
6.75% 9/21/47 14,484 15,572 
6.75% 9/21/47 (f) 5,940 6,386 
6.875% 8/4/26 12,000 13,798 
8% 5/3/19 3,283 3,595 
Phillips 66 Co. 4.3% 4/1/22 5,338 5,741 
Phillips 66 Partners LP 2.646% 2/15/20 527 529 
Range Resources Corp. 4.875% 5/15/25 1,040 996 
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625% 7/15/22 635 624 
Sabine Pass Liquefaction LLC 5.875% 6/30/26 3,780 4,222 
Shell International Finance BV 4.375% 5/11/45 6,392 6,841 
SM Energy Co.:   
5% 1/15/24 1,585 1,411 
5.625% 6/1/25 1,670 1,511 
6.125% 11/15/22 4,030 3,808 
6.5% 11/15/21 745 720 
6.5% 1/1/23 80 77 
6.75% 9/15/26 805 759 
Southeast Supply Header LLC 4.25% 6/15/24 (f) 4,893 5,083 
Southwestern Energy Co.:   
5.8% 1/23/20 (i) 4,519 4,655 
6.7% 1/23/25 (i) 3,470 3,383 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 6,670 6,865 
6.25% 4/15/21 2,710 2,818 
6.375% 4/1/23 965 1,017 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5.375% 2/1/27 (f) 1,025 1,061 
6.75% 3/15/24 7,000 7,578 
Teekay Corp. 8.5% 1/15/20 5,705 5,762 
Teine Energy Ltd. 6.875% 9/30/22 (f) 2,994 2,994 
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 6.375% 5/1/24 1,185 1,289 
The Williams Companies, Inc.:   
3.7% 1/15/23 4,147 4,116 
4.55% 6/24/24 19,902 20,350 
Ultra Resources, Inc.:   
6.875% 4/15/22 (f) 1,485 1,461 
7.125% 4/15/25 (f) 1,115 1,087 
Western Gas Partners LP:   
4.65% 7/1/26 1,642 1,708 
5.375% 6/1/21 10,596 11,445 
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 585 629 
Williams Partners LP:   
3.6% 3/15/22 5,146 5,306 
3.9% 1/15/25 1,767 1,816 
4% 11/15/21 2,349 2,465 
4.3% 3/4/24 4,038 4,281 
4.5% 11/15/23 2,564 2,747 
WPX Energy, Inc.:   
5.25% 9/15/24 2,910 2,852 
6% 1/15/22 2,565 2,645 
7.5% 8/1/20 764 825 
8.25% 8/1/23 1,715 1,882 
  552,040 
TOTAL ENERGY  602,490 
FINANCIALS - 5.5%   
Banks - 2.5%   
Banco Nacional de Desenvolvimento Economico e Social:   
4% 4/14/19 (f) 21,750 22,177 
5.5% 7/12/20 (f) 16,673 17,582 
5.75% 9/26/23 (f) 5,082 5,506 
6.369% 6/16/18 (f) 10,462 10,777 
6.5% 6/10/19 (f) 1,763 1,876 
Bank of America Corp.:   
2.6% 1/15/19 66,110 66,767 
2.65% 4/1/19 28,149 28,484 
3.5% 4/19/26 7,374 7,510 
3.705% 4/24/28 (i) 7,919 8,102 
3.875% 8/1/25 7,638 8,030 
3.95% 4/21/25 5,678 5,864 
4.2% 8/26/24 9,221 9,711 
4.25% 10/22/26 5,465 5,733 
5.75% 12/1/17 6,075 6,134 
Barclays PLC:   
2.75% 11/8/19 4,598 4,653 
4.375% 1/12/26 8,817 9,271 
BB&T Corp. 3.95% 3/22/22 1,495 1,591 
CIT Group, Inc. 5.5% 2/15/19 (f) 1,766 1,848 
Citigroup, Inc.:   
1.75% 5/1/18 18,342 18,354 
1.85% 11/24/17 30,961 30,980 
2.4% 2/18/20 10,000 10,091 
2.5% 7/29/19 32,442 32,785 
2.55% 4/8/19 14,645 14,797 
4.05% 7/30/22 14,700 15,489 
4.3% 11/20/26 12,000 12,568 
5.5% 9/13/25 3,703 4,188 
Citizens Bank NA 2.55% 5/13/21 2,268 2,288 
Citizens Financial Group, Inc. 4.15% 9/28/22 (f) 6,650 7,005 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 6,421 6,511 
3.75% 3/26/25 6,420 6,580 
3.8% 9/15/22 9,940 10,391 
3.8% 6/9/23 12,454 12,986 
Credit Suisse New York Branch 5.4% 1/14/20 1,200 1,290 
Discover Bank 7% 4/15/20 3,075 3,407 
Fifth Third Bancorp:   
3.5% 3/15/22 529 551 
4.5% 6/1/18 418 427 
HBOS PLC 6.75% 5/21/18 (f) 408 422 
HSBC Holdings PLC 4.25% 3/14/24 2,900 3,053 
Huntington Bancshares, Inc. 7% 12/15/20 2,561 2,938 
Huntington National Bank:   
2% 6/30/18 13,000 13,043 
2.2% 4/1/19 2,700 2,714 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (f) 4,062 4,157 
5.71% 1/15/26 (f) 9,946 10,512 
JPMorgan Chase & Co.:   
2.95% 10/1/26 8,946 8,809 
3.875% 9/10/24 12,321 12,899 
4.125% 12/15/26 49,975 52,645 
KeyCorp. 5.1% 3/24/21 519 570 
Rabobank Nederland 4.375% 8/4/25 9,821 10,426 
Regions Bank 6.45% 6/26/37 10,147 12,730 
Regions Financial Corp. 3.2% 2/8/21 4,117 4,227 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 46,599 49,154 
6% 12/19/23 11,834 13,114 
6.1% 6/10/23 7,367 8,141 
6.125% 12/15/22 35,362 38,943 
SunTrust Banks, Inc. 2.35% 11/1/18 2,500 2,516 
Synchrony Bank 3% 6/15/22 5,296 5,304 
  668,621 
Capital Markets - 1.5%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 7,721 7,898 
4.25% 2/15/24 2,760 2,932 
Credit Suisse AG 6% 2/15/18 12,547 12,778 
Deutsche Bank AG 4.5% 4/1/25 14,192 14,330 
Deutsche Bank AG London Branch 2.85% 5/10/19 13,520 13,672 
Goldman Sachs Group, Inc.:   
1.748% 9/15/17 16,000 16,001 
2.375% 1/22/18 10,000 10,029 
2.55% 10/23/19 70,000 70,833 
2.6% 4/23/20 1,300 1,316 
2.625% 1/31/19 25,103 25,362 
3.691% 6/5/28 (i) 19,000 19,329 
3.75% 2/25/26 15,000 15,480 
5.95% 1/18/18 4,242 4,308 
6.15% 4/1/18 3,466 3,553 
Lazard Group LLC 4.25% 11/14/20 4,447 4,723 
Moody's Corp.:   
3.25% 1/15/28 (f) 2,803 2,826 
4.875% 2/15/24 2,632 2,935 
Morgan Stanley:   
2.125% 4/25/18 16,388 16,435 
2.5% 1/24/19 97,536 98,454 
3.7% 10/23/24 10,237 10,664 
4.875% 11/1/22 7,232 7,876 
5.625% 9/23/19 453 486 
5.95% 12/28/17 250 253 
MSCI, Inc. 5.75% 8/15/25 (f) 870 946 
Peachtree Corners Funding Trust 3.976% 2/15/25(f) 7,000 7,197 
Thomson Reuters Corp. 3.85% 9/29/24 4,335 4,576 
UBS AG Stamford Branch 2.375% 8/14/19 10,750 10,860 
UBS Group Funding Ltd. 4.125% 9/24/25 (f) 7,279 7,721 
  393,773 
Consumer Finance - 0.7%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 2,254 2,316 
Ally Financial, Inc.:   
5.75% 11/20/25 8,715 9,410 
6.25% 12/1/17 1,800 1,818 
8% 12/31/18 11,545 12,353 
8% 11/1/31 15,256 19,642 
Capital One Financial Corp. 2.45% 4/24/19 4,470 4,503 
Discover Financial Services:   
3.85% 11/21/22 1,983 2,062 
3.95% 11/6/24 15,000 15,502 
5.2% 4/27/22 2,146 2,350 
Ford Motor Credit Co. LLC:   
2.375% 3/12/19 17,400 17,491 
2.875% 10/1/18 8,500 8,585 
5% 5/15/18 8,500 8,682 
5.875% 8/2/21 10,438 11,664 
General Motors Acceptance Corp. 8% 11/1/31 6,130 7,877 
Hyundai Capital America:   
2.125% 10/2/17 (f) 2,063 2,064 
2.55% 2/6/19 (f) 5,366 5,388 
2.875% 8/9/18 (f) 2,511 2,532 
Navient Corp. 5.875% 10/25/24 7,190 7,265 
SLM Corp.:   
4.875% 6/17/19 5,955 6,156 
5.5% 1/15/19 2,150 2,226 
5.5% 1/25/23 3,410 3,444 
6.125% 3/25/24 4,710 4,804 
8% 3/25/20 5,930 6,545 
Synchrony Financial:   
3% 8/15/19 1,910 1,938 
3.75% 8/15/21 7,084 7,322 
4.25% 8/15/24 2,903 3,040 
  176,979 
Diversified Financial Services - 0.2%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 8,309 8,297 
3.875% 8/15/22 3,136 3,243 
4.125% 6/15/26 2,949 2,992 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (f) 3,340 3,632 
Eagle Holding Co. II LLC 7.625% 5/15/22 pay-in-kind (f)(i) 810 837 
Exela International LLC/Exela Financial, Inc. 10% 7/15/23 (f) 1,820 1,784 
Grinding Media, Inc./MC Grinding Media Canada, Inc. 7.375% 12/15/23 (f) 1,110 1,193 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 2,280 2,303 
5.875% 2/1/22 2,725 2,803 
6% 8/1/20 2,230 2,297 
6.25% 2/1/22 860 887 
6.75% 2/1/24 1,565 1,648 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (f) 5,380 5,710 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (f) 1,150 1,186 
Orchestra Borrower LLC/Orchestra Co.-Issuer, Inc. 6.75% 6/15/22 (f) 1,080 1,121 
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (f) 1,625 1,607 
Solera LLC/Solera Finance, Inc.:   
10.5% 3/1/24 (f) 3,080 3,507 
10.5% 3/1/24 (f) 2,085 2,374 
Tempo Acquisition LLC / Tempo 6.75% 6/1/25 (f) 1,550 1,585 
Voya Financial, Inc. 3.125% 7/15/24 3,320 3,312 
  52,318 
Insurance - 0.5%   
AIA Group Ltd. 2.25% 3/11/19 (f) 1,203 1,204 
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (f) 3,180 3,339 
American International Group, Inc.:   
3.3% 3/1/21 3,455 3,576 
3.75% 7/10/25 11,144 11,577 
4.875% 6/1/22 10,692 11,819 
5.85% 1/16/18 12,000 12,177 
Aon Corp. 5% 9/30/20 107 116 
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.8522% 5/16/46 (f)(i)(j) 2,008 1,978 
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (f) 1,675 1,741 
Liberty Mutual Group, Inc.:   
4.25% 6/15/23 (f) 2,655 2,864 
5% 6/1/21 (f) 6,063 6,621 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 3,441 3,760 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (f) 7,265 7,596 
Metropolitan Life Global Funding I 1.875% 6/22/18 (f) 6,476 6,491 
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f) 3,585 4,745 
Pacific Life Insurance Co. 9.25% 6/15/39 (f) 3,048 5,029 
Pacific LifeCorp:   
5.125% 1/30/43 (f) 6,960 7,806 
6% 2/10/20 (f) 9,150 9,935 
Prudential Financial, Inc.:   
2.3% 8/15/18 783 788 
4.5% 11/16/21 1,461 1,594 
7.375% 6/15/19 1,880 2,061 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (f) 6,853 7,780 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (f) 1,569 1,595 
4.125% 11/1/24 (f) 2,275 2,420 
Unum Group:   
3.875% 11/5/25 6,934 7,206 
5.625% 9/15/20 2,879 3,157 
5.75% 8/15/42 10,079 12,169 
USIS Merger Sub, Inc. 6.875% 5/1/25 (f) 2,030 2,068 
  143,212 
Thrifts & Mortgage Finance - 0.1%   
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (f) 16,530 18,266 
TOTAL FINANCIALS  1,453,169 
HEALTH CARE - 0.9%   
Biotechnology - 0.0%   
AbbVie, Inc. 3.6% 5/14/25 6,397 6,612 
Health Care Providers & Services - 0.5%   
Community Health Systems, Inc.:   
6.25% 3/31/23 3,945 3,975 
6.875% 2/1/22 7,985 6,618 
DaVita HealthCare Partners, Inc.:   
5% 5/1/25 2,315 2,347 
5.75% 8/15/22 1,215 1,253 
HCA Holdings, Inc.:   
3.75% 3/15/19 9,592 9,760 
4.25% 10/15/19 3,850 3,970 
4.75% 5/1/23 305 322 
5.375% 2/1/25 6,835 7,211 
5.875% 3/15/22 365 404 
5.875% 5/1/23 2,555 2,795 
5.875% 2/15/26 5,470 5,901 
6.25% 2/15/21 1,415 1,528 
6.5% 2/15/20 13,898 15,135 
7.5% 2/15/22 3,250 3,746 
HealthSouth Corp.:   
5.75% 11/1/24 5,295 5,454 
5.75% 9/15/25 6,165 6,412 
Medco Health Solutions, Inc. 4.125% 9/15/20 3,728 3,933 
Sabra Health Care LP/Sabra Capital Corp. 5.5% 2/1/21 625 650 
Tenet Healthcare Corp.:   
4.625% 7/15/24 (f) 4,375 4,374 
6.75% 6/15/23 16,410 16,280 
7.5% 1/1/22 (f) 1,030 1,110 
8% 8/1/20 2,001 2,030 
8.125% 4/1/22 7,250 7,613 
THC Escrow Corp. III:   
5.125% 5/1/25 (f) 5,585 5,620 
7% 8/1/25 (f) 3,085 3,022 
Vizient, Inc. 10.375% 3/1/24 (f) 2,055 2,363 
Wellcare Health Plans, Inc. 5.25% 4/1/25 1,405 1,472 
WellPoint, Inc. 1.875% 1/15/18 161 161 
  125,459 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 10/15/26 (f) 2,120 2,221 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc. 2.4% 2/1/19 945 952 
Pharmaceuticals - 0.4%   
Actavis Funding SCS:   
2.45% 6/15/19 3,241 3,271 
3% 3/12/20 5,472 5,585 
3.45% 3/15/22 9,527 9,898 
Forest Laboratories, Inc. 4.375% 2/1/19 (f) 572 589 
Mylan N.V.:   
2.5% 6/7/19 5,474 5,492 
3.15% 6/15/21 7,274 7,377 
3.95% 6/15/26 3,535 3,601 
Perrigo Finance PLC:   
3.5% 12/15/21 569 590 
3.9% 12/15/24 2,011 2,073 
Teva Pharmaceutical Finance Netherlands III BV:   
2.2% 7/21/21 5,133 4,885 
2.8% 7/21/23 3,674 3,462 
3.15% 10/1/26 4,374 4,003 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (f) 11,665 11,519 
5.5% 3/1/23 (f) 3,325 2,793 
5.875% 5/15/23 (f) 12,280 10,469 
6.125% 4/15/25 (f) 7,825 6,602 
7% 3/15/24 (f) 4,430 4,701 
7.5% 7/15/21 (f) 4,035 3,959 
Zoetis, Inc. 1.875% 2/1/18 898 898 
  91,767 
TOTAL HEALTH CARE  227,011 
INDUSTRIALS - 0.6%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f) 3,650 3,923 
DAE Funding LLC:   
4.5% 8/1/22 (f) 1,210 1,234 
5% 8/1/24 (f) 1,665 1,702 
  6,859 
Airlines - 0.0%   
Continental Airlines, Inc.:   
pass-thru trust certificates:   
8.388% 11/1/20 0 0 
9.798% 4/1/21 1,379 1,514 
6.125% 4/29/18 415 424 
6.648% 9/15/17 141 141 
6.9% 1/2/18 43 44 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 253 259 
8.36% 1/20/19 227 227 
  2,609 
Building Products - 0.1%   
Builders FirstSource, Inc.:   
5.625% 9/1/24 (f) 3,265 3,412 
10.75% 8/15/23 (f) 5,000 5,713 
GCP Applied Technologies, Inc. 9.5% 2/1/23 (f) 1,800 2,025 
HD Supply, Inc. 5.75% 4/15/24 (f) 3,090 3,314 
HMAN Finance Sub Corp. 6.375% 7/15/22 (f) 510 488 
Shea Homes Ltd. Partnership/Corp.:   
5.875% 4/1/23 (f) 1,195 1,223 
6.125% 4/1/25 (f) 835 860 
USG Corp. 4.875% 6/1/27 (f) 465 477 
  17,512 
Commercial Services & Supplies - 0.2%   
APX Group, Inc.:   
7.625% 9/1/23 (f) 4,035 4,085 
7.875% 12/1/22 14,305 15,521 
8.75% 12/1/20 23,130 23,824 
CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 (f) 655 668 
Cenveo Corp. 6% 8/1/19 (f) 730 600 
Covanta Holding Corp.:   
5.875% 3/1/24 2,865 2,869 
6.375% 10/1/22 3,265 3,355 
Harland Clarke Holdings Corp. 8.375% 8/15/22 (f) 1,215 1,299 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (f) 1,180 1,239 
Prime Security One MS, Inc. 4.875% 7/15/32 (f) 3,050 2,825 
Ritchie Brothers Auctioneers, Inc. 5.375% 1/15/25 (f) 545 567 
Tervita Escrow Corp. 7.625% 12/1/21 (f) 945 950 
  57,802 
Construction & Engineering - 0.0%   
Blueline Rental Finance Corp./Blueline Rental LLC 9.25% 3/15/24 (f) 1,205 1,316 
Machinery - 0.0%   
Herc Rentals, Inc.:   
7.5% 6/1/22 (f) 1,125 1,232 
7.75% 6/1/24 (f) 1,124 1,231 
Ingersoll-Rand Luxembourg Finance SA 2.625% 5/1/20 1,481 1,501 
  3,964 
Marine - 0.0%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (f) 2,090 1,729 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (f) 3,065 2,490 
8.125% 2/15/19 975 914 
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (f) 700 683 
  5,816 
Professional Services - 0.0%   
FTI Consulting, Inc. 6% 11/15/22 2,405 2,489 
Road & Rail - 0.0%   
Jurassic Holdings III, Inc. 6.875% 2/15/21 (Reg. S) (f) 1,245 1,015 
Trading Companies & Distributors - 0.2%   
Air Lease Corp.:   
2.125% 1/15/18 2,759 2,763 
2.125% 1/15/20 10,000 10,008 
2.625% 9/4/18 6,100 6,150 
3.375% 6/1/21 3,689 3,805 
3.75% 2/1/22 6,505 6,837 
3.875% 4/1/21 5,301 5,551 
4.25% 9/15/24 4,566 4,841 
4.75% 3/1/20 4,617 4,905 
Ashtead Capital, Inc.:   
4.125% 8/15/25 (f) 1,205 1,236 
4.375% 8/15/27 (f) 1,270 1,295 
5.625% 10/1/24 (f) 1,825 1,955 
International Lease Finance Corp. 7.125% 9/1/18 (f) 5,560 5,838 
United Rentals North America, Inc.:   
4.625% 7/15/23 1,220 1,274 
5.5% 5/15/27 1,310 1,389 
  57,847 
TOTAL INDUSTRIALS  157,229 
INFORMATION TECHNOLOGY - 0.3%   
Communications Equipment - 0.0%   
Brocade Communications Systems, Inc. 4.625% 1/15/23 140 143 
Hughes Satellite Systems Corp. 6.5% 6/15/19 5,408 5,793 
  5,936 
Electronic Equipment & Components - 0.1%   
Anixter International, Inc. 5.625% 5/1/19 705 739 
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (f) 13,573 13,872 
5.875% 6/15/21 (f) 1,790 1,877 
7.125% 6/15/24 (f) 1,740 1,927 
Sanmina Corp. 4.375% 6/1/19 (f) 1,295 1,331 
Tyco Electronics Group SA:   
2.375% 12/17/18 1,087 1,093 
6.55% 10/1/17 815 818 
  21,657 
Internet Software & Services - 0.1%   
Balboa Merger Sub, Inc. 11.375% 12/1/21 (f) 9,335 10,222 
CyrusOne LP/CyrusOne Finance Corp.:   
5% 3/15/24 (f) 485 507 
5.375% 3/15/27 (f) 415 439 
  11,168 
IT Services - 0.0%   
Ceridian HCM Holding, Inc. 11% 3/15/21 (f) 3,625 3,838 
Semiconductors & Semiconductor Equipment - 0.0%   
Entegris, Inc. 6% 4/1/22 (f) 365 381 
Micron Technology, Inc.:   
5.25% 1/15/24 (f) 2,494 2,594 
5.5% 2/1/25 1,695 1,790 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (f) 2,675 2,922 
  7,687 
Software - 0.1%   
Activision Blizzard, Inc. 6.125% 9/15/23 (f) 1,255 1,349 
Greeneden U.S. Holdings II LLC 10% 11/30/24 (f) 4,995 5,682 
Open Text Corp. 5.875% 6/1/26 (f) 5,700 6,177 
Parametric Technology Corp. 6% 5/15/24 585 626 
Veritas U.S., Inc./Veritas Bermuda Ltd. 10.5% 2/1/24 (f) 11,045 11,846 
  25,680 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (i) 1,047 1,112 
Western Digital Corp. 10.5% 4/1/24 2,750 3,266 
  4,378 
TOTAL INFORMATION TECHNOLOGY  80,344 
MATERIALS - 0.3%   
Chemicals - 0.1%   
Evolution Escrow Issuer LLC 7.5% 3/15/22 (f) 4,388 4,596 
Momentive Performance Materials, Inc. 3.88% 10/24/21 4,960 4,972 
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (b)(h) 3,680 0 
NOVA Chemicals Corp.:   
4.875% 6/1/24 (f) 1,835 1,835 
5.25% 6/1/27 (f) 1,860 1,855 
Platform Specialty Products Corp. 6.5% 2/1/22 (f) 4,355 4,518 
The Chemours Co. LLC:   
5.375% 5/15/27 715 745 
6.625% 5/15/23 1,260 1,337 
7% 5/15/25 825 910 
Tronox Finance LLC 6.375% 8/15/20 2,645 2,688 
  23,456 
Construction Materials - 0.0%   
BMC East LLC 5.5% 10/1/24 (f) 1,380 1,439 
Containers & Packaging - 0.0%   
ARD Finance SA 7.125% 9/15/23 pay-in-kind 1,615 1,712 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
6% 2/15/25 (f) 3,030 3,227 
7.25% 5/15/24 (f) 3,410 3,762 
Flex Acquisition Co., Inc. 6.875% 1/15/25 (f) 810 842 
Sealed Air Corp. 6.5% 12/1/20 (f) 1,065 1,188 
  10,731 
Metals & Mining - 0.2%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (f)(i) 2,727 2,990 
6.75% 10/19/75 (f)(i) 6,773 7,857 
Big River Steel LLC/BRS Finance Corp. 7.25% 9/1/25 (f) 1,270 1,330 
Bluescope Steel Ltd./Bluescope Steel Finance 6.5% 5/15/21 (f) 585 616 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (f) 1,966 1,991 
4.5% 8/13/23 (Reg. S) 8,600 9,353 
4.5% 8/1/47 (f) 1,995 2,048 
First Quantum Minerals Ltd.:   
7% 2/15/21 (f) 2,255 2,321 
7.25% 5/15/22 (f) 1,015 1,043 
7.25% 4/1/23 (f) 1,705 1,752 
7.5% 4/1/25 (f) 5,835 5,974 
FMG Resources (August 2006) Pty Ltd. 4.75% 5/15/22 (f) 1,140 1,177 
Freeport-McMoRan, Inc.:   
6.5% 11/15/20 395 404 
6.625% 5/1/21 395 405 
6.75% 2/1/22 3,225 3,378 
6.875% 2/15/23 6,818 7,389 
Joseph T Ryerson & Son, Inc. 11% 5/15/22 (f) 1,085 1,227 
Murray Energy Corp. 11.25% 4/15/21 (f) 5,040 2,923 
New Gold, Inc. 6.25% 11/15/22 (f) 615 638 
Novelis Corp. 5.875% 9/30/26 (f) 2,150 2,241 
Walter Energy, Inc. 9.5% 10/15/19 (b)(f)(h) 800 0 
  57,057 
TOTAL MATERIALS  92,683 
REAL ESTATE - 1.1%   
Equity Real Estate Investment Trusts (REITs) - 0.7%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,148 1,161 
4.6% 4/1/22 2,000 2,151 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 1,587 1,650 
American Tower Corp. 2.8% 6/1/20 6,000 6,112 
AvalonBay Communities, Inc. 3.625% 10/1/20 2,452 2,556 
Camden Property Trust 2.95% 12/15/22 2,154 2,172 
CommonWealth REIT 5.875% 9/15/20 991 1,061 
Corporate Office Properties LP:   
3.6% 5/15/23 5,166 5,201 
3.7% 6/15/21 3,614 3,723 
5% 7/1/25 3,069 3,311 
5.25% 2/15/24 3,576 3,886 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 2,585 2,669 
DDR Corp.:   
3.625% 2/1/25 3,618 3,536 
3.9% 8/15/24 875 886 
4.25% 2/1/26 2,564 2,588 
4.625% 7/15/22 3,877 4,104 
Duke Realty LP:   
3.25% 6/30/26 1,061 1,065 
3.625% 4/15/23 2,844 2,957 
3.75% 12/1/24 2,012 2,105 
3.875% 10/15/22 4,799 5,074 
4.375% 6/15/22 3,202 3,439 
Equinix, Inc. 5.375% 5/15/27 1,410 1,518 
Equity One, Inc. 3.75% 11/15/22 7,300 7,587 
Federal Realty Investment Trust 5.9% 4/1/20 1,379 1,509 
HCP, Inc.:   
3.15% 8/1/22 8,000 8,169 
3.875% 8/15/24 11,000 11,471 
Health Care REIT, Inc.:   
2.25% 3/15/18 12,327 12,348 
4% 6/1/25 4,568 4,818 
4.125% 4/1/19 11,300 11,635 
4.7% 9/15/17 744 745 
Lexington Corporate Properties Trust 4.4% 6/15/24 1,905 1,935 
MPT Operating Partnership LP/MPT Finance Corp.:   
5.25% 8/1/26 710 737 
6.375% 3/1/24 1,545 1,678 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 8,734 9,124 
4.5% 1/15/25 3,358 3,452 
4.5% 4/1/27 21,587 21,915 
4.75% 1/15/28 7,767 7,908 
4.95% 4/1/24 1,785 1,894 
5.25% 1/15/26 7,807 8,378 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 1,250 1,223 
5% 12/15/23 980 1,028 
WP Carey, Inc. 4% 2/1/25 7,547 7,715 
  188,194 
Real Estate Management & Development - 0.4%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 7,297 7,464 
4.1% 10/1/24 5,444 5,533 
4.55% 10/1/29 5,773 5,948 
4.95% 4/15/18 4,256 4,327 
Digital Realty Trust LP:   
3.4% 10/1/20 6,817 7,056 
3.95% 7/1/22 4,464 4,737 
4.75% 10/1/25 4,899 5,342 
5.25% 3/15/21 2,876 3,140 
Howard Hughes Corp. 5.375% 3/15/25 (f) 3,040 3,042 
Kennedy-Wilson, Inc. 5.875% 4/1/24 795 817 
Liberty Property LP:   
3.25% 10/1/26 2,723 2,695 
3.375% 6/15/23 2,951 3,018 
4.125% 6/15/22 2,746 2,909 
4.75% 10/1/20 6,595 7,026 
Mack-Cali Realty LP:   
2.5% 12/15/17 4,037 4,041 
3.15% 5/15/23 6,708 6,402 
4.5% 4/18/22 1,689 1,739 
Mattamy Group Corp. 6.875% 12/15/23 (f) 660 672 
Mid-America Apartments LP 4% 11/15/25 1,682 1,768 
Post Apartment Homes LP 3.375% 12/1/22 1,196 1,231 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (f) 1,760 1,813 
Tanger Properties LP:   
3.125% 9/1/26 3,612 3,435 
3.75% 12/1/24 3,781 3,846 
3.875% 12/1/23 2,341 2,408 
3.875% 7/15/27 9,215 9,261 
Ventas Realty LP:   
3.125% 6/15/23 1,874 1,894 
3.5% 2/1/25 2,295 2,331 
4.125% 1/15/26 2,088 2,197 
4.375% 2/1/45 1,098 1,108 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 3,611 3,615 
4% 4/30/19 1,771 1,822 
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 510 497 
  113,134 
TOTAL REAL ESTATE  301,328 
TELECOMMUNICATION SERVICES - 0.9%   
Diversified Telecommunication Services - 0.5%   
Altice Financing SA:   
6.5% 1/15/22 (f) 2,300 2,392 
6.625% 2/15/23 (f) 2,620 2,771 
7.5% 5/15/26 (f) 3,625 3,970 
Altice Finco SA:   
7.625% 2/15/25 (f) 4,785 5,054 
8.125% 1/15/24 (f) 574 620 
AT&T, Inc.:   
2.45% 6/30/20 4,383 4,420 
3.6% 2/17/23 9,655 9,949 
BellSouth Capital Funding Corp. 7.875% 2/15/30 68 91 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (f) 1,715 1,779 
CenturyLink, Inc. 6.15% 9/15/19 3,331 3,514 
GCI, Inc. 6.875% 4/15/25 1,350 1,445 
Level 3 Communications, Inc. 5.75% 12/1/22 1,295 1,331 
Level 3 Financing, Inc.:   
5.375% 8/15/22 2,110 2,171 
6.125% 1/15/21 1,405 1,439 
Sable International Finance Ltd. 6.875% 8/1/22 (f) 1,160 1,248 
SFR Group SA:   
6% 5/15/22 (f) 2,675 2,819 
6.25% 5/15/24 (f) 660 695 
7.375% 5/1/26 (f) 5,945 6,421 
Sprint Capital Corp.:   
6.9% 5/1/19 3,975 4,254 
8.75% 3/15/32 6,395 7,930 
Verizon Communications, Inc.:   
2.625% 2/21/20 4,697 4,793 
4.5% 9/15/20 38,502 41,301 
5.012% 4/15/49 4,497 4,516 
5.012% 8/21/54 19,396 19,070 
  133,993 
Wireless Telecommunication Services - 0.4%   
Intelsat Jackson Holdings SA:   
8% 2/15/24 (f) 5,660 6,093 
9.75% 7/15/25 (f) 2,160 2,198 
Neptune Finco Corp.:   
6.625% 10/15/25 (f) 1,460 1,599 
10.125% 1/15/23 (f) 7,200 8,341 
10.875% 10/15/25 (f) 3,767 4,633 
Sprint Communications, Inc.:   
6% 11/15/22 13,720 14,595 
9% 11/15/18 (f) 6,595 7,123 
Sprint Corp.:   
7.125% 6/15/24 3,105 3,416 
7.25% 9/15/21 2,830 3,120 
7.625% 2/15/25 775 876 
7.875% 9/15/23 6,615 7,558 
T-Mobile U.S.A., Inc.:   
6% 3/1/23 2,590 2,729 
6% 4/15/24 2,980 3,170 
6.5% 1/15/24 7,235 7,723 
6.5% 1/15/26 2,425 2,686 
6.625% 4/1/23 15,005 15,812 
6.836% 4/28/23 385 407 
  92,079 
TOTAL TELECOMMUNICATION SERVICES  226,072 
UTILITIES - 1.1%   
Electric Utilities - 0.5%   
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (f) 3,934 4,457 
6.4% 9/15/20 (f) 10,769 12,069 
Edison International 3.75% 9/15/17 3,355 3,357 
Eversource Energy 1.45% 5/1/18 1,511 1,510 
Exelon Corp. 3.95% 6/15/25 5,966 6,298 
FirstEnergy Corp.:   
4.25% 3/15/23 23,348 24,776 
7.375% 11/15/31 16,161 21,811 
FirstEnergy Solutions Corp. 6.05% 8/15/21 9,830 4,497 
InterGen NV 7% 6/30/23 (f) 9,950 9,751 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 10,457 10,562 
3.7% 9/1/24 (f) 2,490 2,511 
LG&E and KU Energy LLC 3.75% 11/15/20 745 779 
Nevada Power Co.:   
6.5% 5/15/18 5,100 5,268 
6.5% 8/1/18 1,191 1,243 
NRG Yield Operating LLC 5% 9/15/26 3,065 3,134 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (f) 4,238 4,566 
NV Energy, Inc. 6.25% 11/15/20 1,666 1,874 
Pennsylvania Electric Co. 6.05% 9/1/17 450 450 
PG&E Corp. 2.4% 3/1/19 791 796 
Progress Energy, Inc. 4.4% 1/15/21 336 358 
RJS Power Holdings LLC 4.625% 7/15/19 (f)(i) 380 373 
TECO Finance, Inc. 5.15% 3/15/20 2,029 2,167 
West Penn Power Co. 5.95% 12/15/17 (f) 10,500 10,616 
  133,223 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 1,753 1,853 
Texas Eastern Transmission LP 6% 9/15/17 (f) 948 949 
  2,802 
Independent Power and Renewable Electricity Producers - 0.5%   
Calpine Corp.:   
5.25% 6/1/26 (f) 6,000 5,880 
5.375% 1/15/23 1,475 1,403 
5.75% 1/15/25 635 582 
6% 1/15/22 (f) 1,115 1,150 
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 5,485 5,965 
Dynegy, Inc.:   
5.875% 6/1/23 2,460 2,442 
7.375% 11/1/22 5,230 5,413 
7.625% 11/1/24 8,985 9,266 
8% 1/15/25 (f) 1,435 1,476 
8.125% 1/30/26 (f) 4,175 4,311 
Emera U.S. Finance LP:   
2.15% 6/15/19 1,742 1,745 
2.7% 6/15/21 1,715 1,733 
3.55% 6/15/26 2,743 2,795 
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.:   
11% 10/1/21 (h) 11,999 17,129 
12.25% 3/1/22 (f)(h)(i) 15,373 23,520 
NRG Energy, Inc.:   
6.625% 3/15/23 5,775 5,977 
6.625% 1/15/27 4,390 4,610 
Pattern Energy Group, Inc. 5.875% 2/1/24 (f) 855 896 
PPL Energy Supply LLC 6.5% 6/1/25 850 621 
TerraForm Power Operating LLC:   
6.375% 2/1/23 (f)(i) 11,585 11,990 
6.625% 6/15/25 (f)(i) 1,200 1,272 
The AES Corp. 5.125% 9/1/27 1,280 1,302 
  111,478 
Multi-Utilities - 0.1%   
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 3.5964% 9/30/66 (i)(j) 19,347 17,739 
3 month U.S. LIBOR + 2.825% 4.1214% 6/30/66 (i)(j) 2,474 2,397 
NiSource Finance Corp. 6.8% 1/15/19 416 443 
Puget Energy, Inc. 6% 9/1/21 691 780 
Sempra Energy 6% 10/15/39 5,386 6,952 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.4275% 5/15/67 (i)(j) 3,876 3,750 
  32,061 
TOTAL UTILITIES  279,564 
TOTAL NONCONVERTIBLE BONDS  4,023,969 
TOTAL CORPORATE BONDS   
(Cost $3,864,153)  4,026,872 
U.S. Government and Government Agency Obligations - 5.8%   
U.S. Treasury Inflation-Protected Obligations - 0.9%   
U.S. Treasury Inflation-Indexed Bonds:   
1% 2/15/46 $81,558 $84,026 
1.375% 2/15/44 74,053 82,901 
U.S. Treasury Inflation-Indexed Notes 0.625% 1/15/26 77,318 79,141 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  246,068 
U.S. Treasury Obligations - 4.9%   
U.S. Treasury Bonds:   
3% 11/15/45 272,391 287,394 
3% 2/15/47 2,445 2,580 
U.S. Treasury Notes:   
1.25% 10/31/21 353,961 348,569 
1.625% 5/15/26 68,148 65,672 
1.75% 6/30/22 169,099 169,409 
1.875% 8/31/24 25,888 25,761 
2% 9/30/20 159,238 161,813 
2% 5/31/24 19,064 19,153 
2% 8/15/25 154,514 154,158 
2.125% 7/31/24 23,033 23,304 
2.25% 1/31/24 17,805 18,189 
TOTAL U.S. TREASURY OBLIGATIONS  1,276,002 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $1,511,905)  1,522,070 
U.S. Government Agency - Mortgage Securities - 0.3%   
Fannie Mae - 0.1%   
12 month U.S. LIBOR + 1.553% 3.338% 6/1/36 (i)(j) 66 68 
12 month U.S. LIBOR + 1.900% 3.606% 7/1/37 (i)(j) 133 139 
2.5% 1/1/43 to 4/1/43 819 807 
3% 7/1/31 to 9/1/46 9,518 9,657 
3.5% 10/1/28 to 1/1/47 5,641 5,920 
4% 11/1/31 to 2/1/47 2,792 2,974 
4.5% 11/1/19 to 8/1/44 5,094 5,491 
5% 6/1/39 to 10/1/41 2,929 3,222 
5.5% 4/1/39 104 117 
6% 7/1/35 to 8/1/37 1,704 1,942 
6.5% 7/1/32 to 8/1/36 302 349 
TOTAL FANNIE MAE  30,686 
Freddie Mac - 0.2%   
6 month U.S. LIBOR + 2.755% 4.096% 10/1/35 (i)(j) 86 92 
3% 2/1/31 to 6/1/31 2,336 2,416 
3.5% 6/1/32 to 5/1/46 14,591 15,212 
4% 9/1/40 to 2/1/46 9,514 10,106 
4.5% 3/1/41 to 4/1/41 4,553 4,927 
5% 3/1/19 to 7/1/41 1,603 1,753 
5.5% 1/1/38 to 6/1/41 4,673 5,200 
6% 7/1/37 to 8/1/37 135 155 
6.5% 3/1/36 1,157 1,339 
TOTAL FREDDIE MAC  41,200 
Ginnie Mae - 0.0%   
4% 8/15/39 to 5/15/43 3,215 3,438 
4.5% 4/20/41 1,394 1,508 
5% 2/15/39 to 5/15/39 385 425 
5.5% 12/15/38 to 9/15/39 543 613 
TOTAL GINNIE MAE  5,984 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $77,052)  77,870 
Asset-Backed Securities - 0.2%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 1.9394% 4/25/35 (i)(j) $504 $497 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.8844% 3/25/34 (i)(j) 144 143 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.2844% 12/25/33 (i)(j) 26 25 
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (i)(j) 68 61 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.0144% 3/25/34 (i)(j) 36 34 
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.2844% 11/25/34 (i)(j) 351 349 
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 5/25/34 (i)(j) 869 834 
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.3944% 5/25/36 (i)(j) 825 320 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.0594% 4/25/34 (i)(j) 1,050 985 
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6044% 3/25/36 (i)(j) 13 5 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (f) 12,985 13,454 
Class AA, 2.487% 12/16/41 (f) 3,159 3,178 
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.73% 4/20/20 7,803 7,810 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3744% 12/25/36 (i)(j) 1,368 1,139 
Countrywide Home Loans, Inc.:   
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.6894% 4/25/34 (i)(j) 40 37 
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.0294% 6/25/34 (i)(j) 60 59 
Series 2004-7 Class AF5, 5.868% 1/25/35 583 591 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5544% 8/25/33 (i)(j) 147 145 
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.5244% 8/25/33 (i)(j) 260 253 
Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700%1.9322% 12/25/33 (i)(j) 25 24 
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 1.9452% 5/28/35 (i)(j) 30 28 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.4094% 8/25/34 (i)(j) 165 160 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.0594% 3/25/34 (i)(j) 2 2 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1 month U.S. LIBOR + 0.735% 1.9694% 1/25/35 (i)(j) 720 704 
Class M4, 1 month U.S. LIBOR + 1.020% 2.2544% 1/25/35 (i)(j) 264 154 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.6972% 2/25/47 (f)(i)(j) 983 930 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 1.4089% 11/15/34 (f)(i)(j) 255 247 
Class B, 1 month U.S. LIBOR + 0.280% 1.5067% 11/15/34 (f)(i)(j) 92 86 
Class C, 1 month U.S. LIBOR + 0.380% 1.6067% 11/15/34 (f)(i)(j) 153 142 
Class D, 1 month U.S. LIBOR + 0.750% 1.9767% 11/15/34 (f)(i)(j) 58 53 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.4244% 1/25/37 (i)(j) 1,095 779 
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (i)(j) 2,016 1,392 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5344% 5/25/37 (i)(j) 209 63 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 1.9844% 7/25/34 (i)(j) 61 58 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.2094% 7/25/34 (i)(j) 93 90 
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3444% 4/25/37 (i)(j) 2 1 
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.7544% 6/25/35 (i)(j) 842 816 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 1.9144% 8/25/34 (i)(j) 44 39 
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.8944% 1/25/35 (i)(j) 93 90 
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 2.9894% 3/25/35 (i)(j) 95 3 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.7444% 9/25/35 (i)(j) 1,083 1,062 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 1 month U.S. LIBOR + 1.875% 3.1072% 9/25/34 (i)(j) 364 360 
Class M4, 1 month U.S. LIBOR + 2.175% 3.4072% 9/25/34 (i)(j) 519 418 
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.4794% 1/25/36 (i)(j) 1,120 1,103 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.0344% 4/25/33 (i)(j) 4 4 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.0294% 3/25/35 (i)(j) 366 359 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.1956% 6/15/33 (i)(j) 138 138 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 2.9594% 9/25/34 (i)(j) 25 23 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.0944% 9/25/34 (i)(j) 22 21 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.7098% 4/6/42 (b)(f)(i)(j) 1,467 741 
TOTAL ASSET-BACKED SECURITIES   
(Cost $33,586)  40,009 
Collateralized Mortgage Obligations - 0.0%   
Private Sponsor - 0.0%   
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.7944% 1/25/35 (i)(j) 420 424 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.1125% 10/25/34 (i) 231 232 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4234% 8/25/36 (i) 584 560 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.3861% 2/25/37 (i)(j) 286 279 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.5244% 7/25/35 (i)(j) 354 349 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 1 month U.S. LIBOR + 2.350% 3.5744% 6/10/35 (f)(i)(j) 157 112 
Class B6, 1 month U.S. LIBOR + 2.850% 4.0744% 6/10/35 (f)(i)(j) 34 19 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (i)(j) 15 14 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.368% 4/25/33 (i) 35 35 
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 1 month U.S. LIBOR + 0.200% 1.4344% 9/25/36 (i)(j) 230 229 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.8744% 9/25/43 (i)(j) 1,285 1,241 
TOTAL PRIVATE SPONSOR  3,494 
U.S. Government Agency - 0.0%   
Ginnie Mae guaranteed REMIC pass-thru certificates sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (k) 7,029 7,006 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $9,915)  10,500 
Commercial Mortgage Securities - 0.2%   
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.6895% 2/14/43 (i)(l) 30 0 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.5094% 12/25/33 (f)(i)(j) 16 15 
Series 2005-3A:   
Class A2, 1 month U.S. LIBOR + 0.400% 1.6344% 11/25/35 (f)(i)(j) 166 154 
Class M1, 1 month U.S. LIBOR + 0.440% 1.6744% 11/25/35 (f)(i)(j) 22 19 
Class M2, 1 month U.S. LIBOR + 0.490% 1.7244% 11/25/35 (f)(i)(j) 28 23 
Class M3, 1 month U.S. LIBOR + 0.510% 1.7444% 11/25/35 (f)(i)(j) 25 20 
Class M4, 1 month U.S. LIBOR + 0.600% 1.8344% 11/25/35 (f)(i)(j) 31 24 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 1.6244% 1/25/36 (f)(i)(j) 438 406 
Class B1, 1 month U.S. LIBOR + 1.400% 2.6344% 1/25/36 (f)(i)(j) 20 16 
Class M1, 1 month U.S. LIBOR + 0.450% 1.6844% 1/25/36 (f)(i)(j) 141 131 
Class M2, 1 month U.S. LIBOR + 0.470% 1.7044% 1/25/36 (f)(i)(j) 42 38 
Class M3, 1 month U.S. LIBOR + 0.500% 1.7344% 1/25/36 (f)(i)(j) 62 51 
Class M4, 1 month U.S. LIBOR + 0.610% 1.8444% 1/25/36 (f)(i)(j) 34 31 
Class M5, 1 month U.S. LIBOR + 0.650% 1.8844% 1/25/36 (f)(i)(j) 34 26 
Class M6, 1 month U.S. LIBOR + 0.700% 1.9344% 1/25/36 (f)(i)(j) 36 28 
Series 2006-1:   
Class A2, 1 month U.S. LIBOR + 0.360% 1.5944% 4/25/36 (f)(i)(j) 65 60 
Class M1, 1 month U.S. LIBOR + 0.380% 1.6144% 4/25/36 (f)(i)(j) 23 20 
Class M2, 1 month U.S. LIBOR + 0.400% 1.6344% 4/25/36 (f)(i)(j) 25 21 
Class M3, 1 month U.S. LIBOR + 0.420% 1.6544% 4/25/36 (f)(i)(j) 21 18 
Class M4, 1 month U.S. LIBOR + 0.520% 1.7544% 4/25/36 (f)(i)(j) 12 10 
Class M5, 1 month U.S. LIBOR + 0.560% 1.7944% 4/25/36 (f)(i)(j) 12 10 
Class M6, 1 month U.S. LIBOR + 0.640% 1.8744% 4/25/36 (f)(i)(j) 23 19 
Series 2006-2A:   
Class M1, 1 month U.S. LIBOR + 0.310% 1.5444% 7/25/36 (f)(i)(j) 56 49 
Class M2, 1 month U.S. LIBOR + 0.330% 1.5644% 7/25/36 (f)(i)(j) 39 35 
Class M3, 1 month U.S. LIBOR + 0.350% 1.5844% 7/25/36 (f)(i)(j) 32 29 
Class M4, 1 month U.S. LIBOR + 0.420% 1.6544% 7/25/36 (f)(i)(j) 22 19 
Class M5, 1 month U.S. LIBOR + 0.470% 1.7044% 7/25/36 (f)(i)(j) 27 24 
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6644% 10/25/36 (f)(i)(j) 19 15 
Series 2006-4A:   
Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 12/25/36 (f)(i)(j) 1,270 1,169 
Class M1, 1 month U.S. LIBOR + 0.290% 1.5244% 12/25/36 (f)(i)(j) 84 65 
Class M2, 1 month U.S. LIBOR + 0.310% 1.5444% 12/25/36 (f)(i)(j) 56 43 
Class M3, 1 month U.S. LIBOR + 0.340% 1.5744% 12/25/36 (f)(i)(j) 57 32 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5044% 3/25/37 (f)(i)(j) 257 228 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 1.4861% 7/25/37 (f)(i)(j) 267 252 
Class A2, 1 month U.S. LIBOR + 0.320% 1.5361% 7/25/37 (f)(i)(j) 250 230 
Class M1, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(i)(j) 88 70 
Class M2, 1 month U.S. LIBOR + 0.410% 1.6261% 7/25/37 (f)(i)(j) 48 38 
Class M3, 1 month U.S. LIBOR + 0.490% 1.7061% 7/25/37 (f)(i)(j) 38 31 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 1.5061% 7/25/37 (f)(i)(j) 265 247 
Class M1, 1 month U.S. LIBOR + 0.310% 1.5261% 7/25/37 (f)(i)(j) 53 47 
Class M2, 1 month U.S. LIBOR + 0.340% 1.5561% 7/25/37 (f)(i)(j) 56 50 
Class M3, 1 month U.S. LIBOR + 0.370% 1.5861% 7/25/37 (f)(i)(j) 88 67 
Class M4, 1 month U.S. LIBOR + 0.500% 1.7161% 7/25/37 (f)(i)(j) 139 95 
Class M5, 1 month U.S. LIBOR + 0.600% 1.8161% 7/25/37 (f)(i)(j) 53 29 
Series 2007-4A Class M1, 1 month U.S. LIBOR + 0.950% 2.1844% 9/25/37 (f)(i)(j) 7 2 
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(l) 550 19 
Series 2006-3A, Class IO, 0% 10/25/36 (b)(f)(i)(l) 11,979 0 
Bear Stearns Commercial Mortgage Securities Trust sequential payer Series 2007-PW18 Class A4, 5.7% 6/11/50 1,584 1,586 
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (f)(i) 1,100 1,120 
CSMC Series 2015-TOWN:   
Class B, 1 month U.S. LIBOR + 1.900% 3.1256% 3/15/28 (f)(i)(j) 1,198 1,198 
Class C, 1 month U.S. LIBOR + 2.250% 3.4756% 3/15/28 (f)(i)(j) 1,167 1,167 
Class D, 1 month U.S. LIBOR + 3.200% 4.4256% 3/15/28 (f)(i)(j) 1,766 1,766 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (f)(i) 6,410 6,562 
Class CFX, 3.3822% 12/15/34 (f)(i) 5,380 5,490 
Class DFX, 3.3822% 12/15/34 (f)(i) 4,559 4,621 
LB-UBS Commercial Mortgage Trust Series 2007-C7 Class A3, 5.866% 9/15/45 384 384 
Merrill Lynch Mortgage Trust Series 2008-C1 Class A4, 5.69% 2/12/51 326 326 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (f)(i) 7,357 7,432 
Class B, 4.181% 11/15/34 (f) 2,596 2,642 
Class C, 5.205% 11/15/34 (f) 1,821 1,879 
Wachovia Bank Commercial Mortgage Trust Series 2007-C30:   
Class C, 5.483% 12/15/43 (i) 2,736 2,718 
Class D, 5.513% 12/15/43 (i) 1,459 1,384 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $42,090)  44,300 
Municipal Securities - 0.5%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $1,095 $1,634 
7.5% 4/1/34 7,195 10,605 
7.55% 4/1/39 10,865 16,898 
Chicago Gen. Oblig.:   
(Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,170 1,197 
Series 2010 C1, 7.781% 1/1/35 6,325 7,474 
Series 2014 B, 6.314% 1/1/44 10,630 11,396 
6.05% 1/1/29 400 418 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 1,354 1,370 
4.95% 6/1/23 1,700 1,768 
5.1% 6/1/33 7,730 7,767 
Series 2010-1, 6.63% 2/1/35 25,440 28,074 
Series 2010-3:   
5.547% 4/1/19 155 160 
6.725% 4/1/35 11,505 12,661 
7.35% 7/1/35 4,495 5,183 
Series 2010-5, 6.2% 7/1/21 1,532 1,624 
Series 2011:   
5.665% 3/1/18 8,840 8,986 
5.877% 3/1/19 19,390 20,179 
Series 2013, 4% 12/1/20 6,040 6,132 
TOTAL MUNICIPAL SECURITIES   
(Cost $136,498)  143,526 
Bank Loan Obligations - 0.3%   
CONSUMER DISCRETIONARY - 0.1%   
Auto Components - 0.0%   
Chassix, Inc. term loan 12% 7/29/19 (b) $91 $91 
Diversified Consumer Services - 0.0%   
KUEHG Corp. Tranche B, term loan 3 month U.S. LIBOR + 8.250% 9.5139% 8/22/25 (i)(j) 2,230 2,219 
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7389% 4/26/24 (i)(j) 1,803 1,810 
  4,029 
Internet & Direct Marketing Retail - 0.0%   
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2964% 12/16/23 (i)(j) 3,735 3,532 
Media - 0.1%   
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4806% 6/7/23 (i)(j) 854 793 
Liberty Cablevision of Puerto Rico Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0536% 7/7/23 (i)(j) 227 226 
Univision Communications, Inc. Tranche C 5LN, term loan 3 month U.S. LIBOR + 2.750% 3.9839% 3/15/24 (i)(j) 713 707 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.4783% 8/19/23 (i)(j) 5,570 5,555 
  7,281 
TOTAL CONSUMER DISCRETIONARY  14,933 
ENERGY - 0.1%   
Energy Equipment & Services - 0.0%   
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 5.9889% 4/16/21 (i)(j) 510 457 
Pacific Drilling SA Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.75% 6/3/18 (i)(j) 370 124 
Seadrill Operating LP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2964% 2/21/21 (i)(j) 2,811 1,807 
  2,388 
Oil, Gas & Consumable Fuels - 0.1%   
American Energy-Marcellus LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.3387% 8/4/20 (h)(i)(j) 1,582 1,049 
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.7339% 5/18/23 (i)(j) 6,120 6,151 
Bcp Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5072% 6/22/24 (i)(j) 1,295 1,303 
California Resources Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.6033% 12/31/21 (i)(j) 6,180 6,540 
Chesapeake Energy Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.8144% 8/23/21 (i)(j) 5,945 6,312 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.9324% 5/16/21 (i)(j) 7,642 7,423 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.2306% 3/1/24 (i)(j) 1,610 1,515 
  30,293 
TOTAL ENERGY  32,681 
FINANCIALS - 0.0%   
Diversified Financial Services - 0.0%   
Cabazon Finance Authority term loan 11% 3/7/24 (b) 2,535 2,391 
Insurance - 0.0%   
Alliant Holdings Intermediate LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5639% 8/14/22 (i)(j) 65 65 
Asurion LLC term loan 3 month U.S. LIBOR + 6.000% 7.2389% 8/4/25 (i)(j) 460 469 
USI, Inc. Tranche, term loan 3 month U.S. LIBOR + 3.000% 4.3142% 5/16/24 (i)(j) 460 457 
  991 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.5611% 11/4/22 (i)(j) 45 45 
TOTAL FINANCIALS  3,427 
HEALTH CARE - 0.0%   
Health Care Providers & Services - 0.0%   
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.2964% 12/31/23 (i)(j) 2,375 2,316 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.5464% 12/31/22 (i)(j) 2,866 2,798 
  5,114 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5217% 6/21/24 (i)(j) 5,475 5,488 
Thomson Reuters IP&S Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 10/3/23 (i)(j) 536 538 
  6,026 
INFORMATION TECHNOLOGY - 0.1%   
Software - 0.1%   
Compuware Corp. term loan 3 month U.S. LIBOR + 8.250% 9.55% 12/15/22 (i)(j) 1,234 1,246 
Kronos, Inc. term loan 3 month U.S. LIBOR + 8.250% 9.5606% 11/1/24 (i)(j) 3,520 3,634 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0464% 4/9/21 (i)(j) 567 571 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.2964% 4/9/22 (i)(j) 6,908 6,908 
  12,359 
MATERIALS - 0.0%   
Chemicals - 0.0%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9839% 5/20/21 (i)(j) 1,386 1,384 
Containers & Packaging - 0.0%   
Anchor Glass Container Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0106% 12/7/23 (i)(j) 1,871 1,874 
Caraustar Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.7964% 3/14/22 (i)(j) 254 252 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.7389% 5/22/24 (i)(j) 270 271 
  2,397 
Metals & Mining - 0.0%   
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5464% 4/16/20 (i)(j) 1,157 1,056 
TOTAL MATERIALS  4,837 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Sable International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7339% 1/31/25 (i)(j) 4,675 4,647 
Wireless Telecommunication Services - 0.0%   
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.0003% 6/30/19 (i)(j) 6,645 6,615 
TOTAL TELECOMMUNICATION SERVICES  11,262 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $90,409)  90,639 
Bank Notes - 0.3%   
Capital One NA:   
1.65% 2/5/18 $6,500 $6,498 
2.95% 7/23/21 7,402 7,525 
Discover Bank:   
(Delaware) 3.2% 8/9/21 9,037 9,274 
3.1% 6/4/20 8,635 8,847 
8.7% 11/18/19 532 600 
RBS Citizens NA 2.5% 3/14/19 4,029 4,065 
Regions Bank 7.5% 5/15/18 11,552 11,998 
UBS AG Stamford Branch 1.8% 3/26/18 9,485 9,501 
Wachovia Bank NA 6% 11/15/17 7,010 7,071 
TOTAL BANK NOTES   
(Cost $64,526)  65,379 
Preferred Securities - 0.3%   
FINANCIALS - 0.3%   
Banks - 0.3%   
Bank of America Corp. 6.1% (i)(m) $1,680 $1,888 
Barclays Bank PLC 7.625% 11/21/22 7,765 9,085 
Citigroup, Inc.:   
5.35% (i)(m) 8,020 8,458 
5.95% (i)(m) 5,000 5,292 
5.95% (i)(m) 1,325 1,435 
Credit Agricole SA:   
6.625% (f)(i)(m) 12,820 13,366 
7.875% (f)(i)(m) 2,225 2,531 
8.125% (f)(i)(m) 5,740 6,891 
JPMorgan Chase & Co. 6% (i)(m) 11,680 12,703 
Royal Bank of Scotland Group PLC:   
7.5% (i)(m) 2,245 2,397 
8.625% (i)(m) 2,380 2,671 
Standard Chartered PLC 7.5% (f)(i)(m) 3,195 3,559 
  70,276 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5.375% (i)(m) 4,850 5,125 
TOTAL PREFERRED SECURITIES   
(Cost $ 69,645)  75,401 
 Shares Value (000s) 
Fixed-Income Funds - 5.3%   
Fidelity Mortgage Backed Securities Central Fund (n)   
(Cost $1,347,440) 12,865,839 1,399,390 
Other - 0.0%   
Other - 0.0%   
Tribune Co. Claim (a)(b)   
(Cost $11) 11,092 11 
Money Market Funds - 1.1%   
Fidelity Cash Central Fund, 1.11% (o) 261,844,955 261,897 
Fidelity Securities Lending Cash Central Fund 1.11% (o)(p) 17,315,652 17,317 
TOTAL MONEY MARKET FUNDS   
(Cost $279,213)  279,214 
TOTAL INVESTMENT IN SECURITIES - 99.8%   
(Cost $20,012,379)  26,264,284 
NET OTHER ASSETS (LIABILITIES) - 0.2%  64,880 
NET ASSETS - 100%  $26,329,164 

Security Type Abbreviations

ELS – Equity-Linked Security

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

Legend

 (a) Non-income producing

 (b) Level 3 instrument

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

 (d) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $569,828,000 or 2.2% of net assets.

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

 (f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,118,700,000 or 4.2% of net assets.

 (g) A portion of the security sold on a delayed delivery basis.

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

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

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

 (k) 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.

 (l) 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.

 (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) 
Atom Tickets LLC 8/15/17 $15,000 
Blu Homes, Inc. Series A, 5.00% 6/10/13 $5,000 
Corindus Vascular Robotics, Inc. 9/12/14 $12,500 
Deem, Inc. 9/19/13 $8,065 
Get Heal, Inc. Series B 11/7/16 $2,597 
Jello Labs, Inc. Series C 12/22/16 $17,000 
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 
Peloton Interactive, Inc. Series E  3/31/17 $10,000 
Rent the Runway, Inc. Series E 12/22/16 $30,000 
Roku, Inc. Series F, 8.00% 5/7/13 $5,000 
Space Exploration Technologies Corp. Series H 8/4/17 $7,009 
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 
TulCo LLC 8/24/17 $9,520 
Uber Technologies, Inc. Series D, 8.00% 6/6/14 $25,000 
Vice Holding, Inc. 8/3/12 - 7/18/14 $61,641 
WME Entertainment Parent, LLC Class A 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 $2,176 
Fidelity Mortgage Backed Securities Central Fund 37,486 
Fidelity Securities Lending Cash Central Fund 450 
Total $40,112 

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

Fund (Amounts in thousands) Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Mortgage Backed Securities Central Fund $1,450,362 $47,537 $72,200 $(1,459) $(24,850) $1,399,390 20.9% 
Total $1,450,362 $47,537 $72,200 $(1,459) $(24,850) $1,399,390  

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 Realized Gain (loss) Change in Unrealized appreciation (depreciation) Value, end of period 
Corindus Vascular Robotics, Inc. $1,539 $-- $-- $-- $-- $974 $-- 
Corindus Vascular Robotics, Inc. 5,850 -- -- -- -- 3,700 -- 
Total $7,389 $-- $-- $-- $-- $4,674 $-- 

Investment Valuation

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

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
Equities:     
Consumer Discretionary $2,859,092 $2,456,115 $-- $402,977 
Consumer Staples 954,032 786,859 167,173 -- 
Energy 1,060,803 1,058,403 2,391 9 
Financials 2,924,938 2,881,657 43,281 -- 
Health Care 2,596,392 2,566,381 9,352 20,659 
Industrials 1,665,100 1,648,513 -- 16,587 
Information Technology 5,145,562 4,993,743 -- 151,819 
Materials 718,647 718,647 -- -- 
Real Estate 273,052 273,052 -- -- 
Telecommunication Services 77,875 77,875 -- -- 
Utilities 213,610 210,772 2,838 -- 
Corporate Bonds 4,026,872 -- 4,026,872 -- 
U.S. Government and Government Agency Obligations 1,522,070 -- 1,522,070 -- 
U.S. Government Agency - Mortgage Securities 77,870 -- 77,870 -- 
Asset-Backed Securities 40,009 -- 39,268 741 
Collateralized Mortgage Obligations 10,500 -- 10,500 -- 
Commercial Mortgage Securities 44,300 -- 44,300 -- 
Municipal Securities 143,526 -- 143,526 -- 
Bank Loan Obligations 90,639 -- 88,157 2,482 
Bank Notes 65,379 -- 65,379 -- 
Preferred Securities 75,401 -- 75,401 -- 
Fixed-Income Funds 1,399,390 1,399,390 -- -- 
Other 11 -- -- 11 
Money Market Funds 279,214 279,214 -- -- 
Total Investments in Securities: $26,264,284 $19,350,621 $6,318,378 $595,285 

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 $272,555 
Net Realized Gain (Loss) on Investment Securities (19,619) 
Net Unrealized Gain (Loss) on Investment Securities 111,198 
Cost of Purchases 40,000 
Proceeds of Sales (1,157) 
Amortization/Accretion -- 
Transfers into Level 3 -- 
Transfers out of Level 3 -- 
Ending Balance $402,977 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2017 $91,577 
Other Investments in Securities  
Beginning Balance $189,489 
Net Realized Gain (Loss) on Investment Securities 6,528 
Net Unrealized Gain (Loss) on Investment Securities (32,298) 
Cost of Purchases 53,517 
Proceeds of Sales (22,387) 
Amortization/Accretion 16 
Transfers into Level 3 -- 
Transfers out of Level 3 (2,557) 
Ending Balance $192,308 
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at August 31, 2017 $(36,081) 

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

Other Information

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

U.S. Government and U.S. Government Agency Obligations 11.8% 
AAA,AA,A 2.4% 
BBB 7.8% 
BB 2.9% 
B 2.1% 
CCC,CC,C 1.6% 
Not Rated 0.3% 
Equities 70.2% 
Short-Term Investments and Net Other Assets 0.9% 

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 87.7% 
Canada 2.1% 
Ireland 1.8% 
Netherlands 1.7% 
United Kingdom 1.2% 
Others (Individually Less Than 1%) 5.5% 
 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

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


Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)  August 31, 2017 
Assets   
Investment in securities, at value (including securities loaned of $17,059) — See accompanying schedule:
Unaffiliated issuers (cost $18,385,726) 		$24,585,680  
Fidelity Central Funds (cost $1,626,653) 1,678,604  
Total Investment in Securities (cost $20,012,379)  $26,264,284 
Cash  30 
Restricted cash  176 
Receivable for investments sold   
Regular delivery  107,791 
Delayed delivery  10,533 
Receivable for fund shares sold  10,855 
Dividends receivable  31,344 
Interest receivable  60,935 
Distributions receivable from Fidelity Central Funds  351 
Other receivables  2,868 
Total assets  26,489,167 
Liabilities   
Payable for investments purchased $94,411  
Payable for fund shares redeemed 35,494  
Accrued management fee 8,588  
Other affiliated payables 2,712  
Other payables and accrued expenses 1,479  
Collateral on securities loaned 17,319  
Total liabilities  160,003 
Net Assets  $26,329,164 
Net Assets consist of:   
Paid in capital  $19,542,347 
Undistributed net investment income  61,927 
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions  472,973 
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies  6,251,917 
Net Assets  $26,329,164 
Puritan:   
Net Asset Value, offering price and redemption price per share ($20,131,536 ÷ 879,101 shares)  $22.90 
Class K:   
Net Asset Value, offering price and redemption price per share ($6,197,628 ÷ 270,797 shares)  $22.89 

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


Statement of Operations

Amounts in thousands  Year ended August 31, 2017 
Investment Income   
Dividends  $293,954 
Interest   247,607 
Income from Fidelity Central Funds  40,112 
Total income  581,673 
Expenses   
Management fee $101,380  
Transfer agent fees 30,041  
Accounting and security lending fees 2,208  
Custodian fees and expenses 282  
Independent trustees' fees and expenses 105  
Appreciation in deferred trustee compensation account 2  
Registration fees 186  
Audit 325  
Legal 123  
Interest 1  
Miscellaneous 253  
Total expenses before reductions 134,906  
Expense reductions (709) 134,197 
Net investment income (loss)  447,476 
Realized and Unrealized Gain (Loss)   
Net realized gain (loss) on:   
Investment securities:   
Unaffiliated issuers 854,991  
Fidelity Central Funds (1,301)  
Foreign currency transactions 372  
Futures contracts (4,603)  
Capital gain distributions from Fidelity Central Funds 2,475  
Total net realized gain (loss)  851,934 
Change in net unrealized appreciation (depreciation) on:   
Investment securities:   
Unaffiliated issuers 1,778,138  
Fidelity Central Funds (24,850)  
Other Affiliated issuers 4,674  
Assets and liabilities in foreign currencies 31  
Delayed delivery commitments (1)  
Total change in net unrealized appreciation (depreciation)  1,757,992 
Net gain (loss)  2,609,926 
Net increase (decrease) in net assets resulting from operations  $3,057,402 

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


Statement of Changes in Net Assets

Amounts in thousands Year ended August 31, 2017 Year ended August 31, 2016 
Increase (Decrease) in Net Assets   
Operations   
Net investment income (loss) $447,476 $448,887 
Net realized gain (loss) 851,934 197,202 
Change in net unrealized appreciation (depreciation) 1,757,992 1,166,261 
Net increase (decrease) in net assets resulting from operations 3,057,402 1,812,350 
Distributions to shareholders from net investment income (470,001) (425,000) 
Distributions to shareholders from net realized gain (437,826) (1,256,829) 
Total distributions (907,827) (1,681,829) 
Share transactions - net increase (decrease) (1,583,535) 881,968 
Total increase (decrease) in net assets 566,040 1,012,489 
Net Assets   
Beginning of period 25,763,124 24,750,635 
End of period $26,329,164 $25,763,124 
Other Information   
Undistributed net investment income end of period $61,927 $107,963 

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


Financial Highlights — Fidelity Puritan Fund

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $21.07 $21.02 $22.91 $20.98 $19.53 
Income from Investment Operations      
Net investment income (loss)A .37 .36 .47B .36 .36 
Net realized and unrealized gain (loss) 2.21 1.10 (.33) 3.60 1.79 
Total from investment operations 2.58 1.46 .14 3.96 2.15 
Distributions from net investment income (.39)C (.34) (.46) (.35) (.35) 
Distributions from net realized gain (.36)C (1.07) (1.57) (1.68) (.35) 
Total distributions (.75) (1.41) (2.03) (2.03) (.70) 
Net asset value, end of period $22.90 $21.07 $21.02 $22.91 $20.98 
Total ReturnD 12.64% 7.36% .87% 20.17% 11.29% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .55% .56% .56% .56% .58% 
Expenses net of fee waivers, if any .55% .56% .56% .56% .58% 
Expenses net of all reductions .55% .55% .55% .56% .57% 
Net investment income (loss) 1.73% 1.77% 2.13%B 1.68% 1.79% 
Supplemental Data      
Net assets, end of period (in millions) $20,132 $19,754 $18,812 $18,351 $15,934 
Portfolio turnover rateG 45% 36% 106% 160% 229%H 

 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 The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.

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

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

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

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

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


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


Financial Highlights — Fidelity Puritan Fund Class K

Years ended August 31, 2017 2016 2015 2014 2013 
Selected Per–Share Data      
Net asset value, beginning of period $21.06 $21.01 $22.90 $20.98 $19.52 
Income from Investment Operations      
Net investment income (loss)A .39 .38 .49B .39 .39 
Net realized and unrealized gain (loss) 2.21 1.10 (.33) 3.58 1.79 
Total from investment operations 2.60 1.48 .16 3.97 2.18 
Distributions from net investment income (.41)C (.36) (.48) (.37) (.37) 
Distributions from net realized gain (.36)C (1.07) (1.57) (1.68) (.35) 
Total distributions (.77) (1.43) (2.05) (2.05) (.72) 
Net asset value, end of period $22.89 $21.06 $21.01 $22.90 $20.98 
Total ReturnD 12.76% 7.48% .96% 20.25% 11.48% 
Ratios to Average Net AssetsE,F      
Expenses before reductions .46% .46% .46% .46% .47% 
Expenses net of fee waivers, if any .46% .46% .46% .46% .47% 
Expenses net of all reductions .45% .46% .46% .46% .46% 
Net investment income (loss) 1.82% 1.86% 2.23%B 1.78% 1.90% 
Supplemental Data      
Net assets, end of period (in millions) $6,198 $6,009 $5,939 $6,162 $5,230 
Portfolio turnover rateG 45% 36% 106% 160% 229%H 

 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 The amounts shown reflect certain reclassifications related to book to tax differences that were made in the year shown.

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

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

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

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

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


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


Notes to Financial Statements

For the period ended August 31, 2017
(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 Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

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

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

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

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

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 Valuation Technique(s) Unobservable Input Amount or Range/Weighted Average Impact to Valuation from an Increase in Input(a) 
Corporate Bonds $- Recovery value Recovery value 0.0% Increase 
Commercial Mortgage Securities $- Expected distribution Recovery rate 0.0% Increase 
Asset-Backed Securities $741 Discount cash flow Yield 7.5% Decrease 
Equities $592,051 Recovery value Recovery value 0.0% Increase 
  Market approach Parity price $1.03 Increase 
   Transaction price $2.50 - $3,350 / $1,366.27 Increase 
  Market comparable Enterprise value/EBITDA multiple (EV/EBITDA) 4.0 - 6.9 / 6.9 Increase 
   Enterprise value/Sales multiple (EV/S) 0.7 - 4.8 / 3.2 Increase 
   Discount rate 8.0% - 75.0% / 37.9% Decrease 
   Discount for lack of marketability 10.0% - 20.0% / 15.1% Decrease 
   Liquidity preference $0.00 - $70.93 / $57.34 Increase 
   Premium rate 45.5% - 104.0% / 77.4% Increase 
  Broker quoted Mid price $23.75 Increase 
   Strike price $40.00 - $47.50 / $44.27 Increase 
Bank Loan Oblig-
ations 		$2,391 Market comparable Enterprise value/EBITDA multiple (EV/EBITDA) 6.5 Increase 
   Discount for lack of marketability 15.0% Decrease 
Other $11 Recovery value Recovery value 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, 2017, 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. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Paid in Kind (PIK) income is recorded at the fair market value of the securities received. 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, 2017, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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. These differences resulted in distribution reclassifications. 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, short-term gain distributions from Underlying Funds, future transactions and losses deferred due to wash sales.

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

Gross unrealized appreciation $6,700,829 
Gross unrealized depreciation (516,096) 
Net unrealized appreciation (depreciation) $6,184,733 
Tax Cost $20,079,551 

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

Undistributed ordinary income $45,459 
Undistributed long-term capital gain $557,966 
Net unrealized appreciation (depreciation) on securities and other investments $6,184,745 

The tax character of distributions paid was as follows:

 August 31, 2017 August 31, 2016 
Ordinary Income $495,332 $ 431,190 
Long-term Capital Gains 412,495 1,250,639 
Total $907,827 $ 1,681,829 

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 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.

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.

As of period end, the Fund held an investment of $132,879 in these Subsidiaries, representing .50% 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.

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

4. Derivative Instruments.

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

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

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

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

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. 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.

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

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

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

During the period the Fund recognized net realized gain (loss) of $(4,603) related to its investment in futures contracts. This amount is included in the Statement of Operations.

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 $8,031,241 and $10,333,854, respectively.

6. Fees and Other Transactions with Affiliates.

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

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Puritan, 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 
Puritan $27,213 .14 
Class K 2,828 .05 
 $30,041  

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 $168 for the period.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:

Borrower or Lender Average Loan Balance Weighted Average Interest Rate Interest Expense 
Borrower $18,964 1.06% $1 

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 $220.

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 $83 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 $655. 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 $353. 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 $450 (including $11 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 $460 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 $23.

In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $226.

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

 Year ended
August 31, 2017 		Year ended August 31, 2016 
From net investment income   
Puritan $354,958 $319,357 
Class K 115,043 105,643 
Total $470,001 $425,000 
From net realized gain   
Puritan $334,859 $955,970 
Class K 102,967 300,859 
Total $437,826 $1,256,829 

11. Share Transactions.

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

 Shares Shares Dollars Dollars 
 Year ended
August 31, 2017 		Year ended August 31, 2016 Year ended
August 31, 2017 		Year ended August 31, 2016 
Puritan     
Shares sold 78,110 134,463 $1,679,995 $2,708,248 
Reinvestment of distributions 31,195 60,339 653,242 1,211,956 
Shares redeemed (167,668) (152,236) (3,600,951) (3,085,310) 
Net increase (decrease) (58,363) 42,566 $(1,267,714) $834,894 
Class K     
Shares sold 35,138 40,423 $754,339 $815,415 
Reinvestment of distributions 10,413 20,247 218,011 406,502 
Shares redeemed (60,050) (57,995) (1,288,171) (1,174,843) 
Net increase (decrease) (14,499) 2,675 $(315,821) $47,074 

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 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) as of August 31, 2017, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Fidelity 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. Our procedures included confirmation of securities owned as of August 31, 2017 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts
October 19, 2017

Trustees and Officers

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance.  Except for Jonathan Chiel, each of the Trustees oversees 190 funds. Mr. Chiel oversees 142 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 President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present), 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), as a member of the Independent Directors Council (IDC) Governing Council (2010-2015), and as a member of the Board of Directors for The Brookville Center for Children’s Services, Inc. (2009-2017). Mr. Dirks is a member of the Finance Committee (2016-present) and Board of Directors (2017-present) of the Asolo Repertory Theatre.

Alan J. Lacy (1953)

Year of Election or Appointment: 2008

Trustee

Mr. Lacy also serves as Trustee of other Fidelity® funds. Mr. Lacy serves as a 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 (2014-2017) and a member (2010-2017) of the Board of Directors of Dave & Buster’s Entertainment, Inc. (restaurant and entertainment complexes), 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 Hillman Companies, Inc. (hardware wholesalers, 2010-2014), Earth Fare, Inc. (retail grocery, 2010-2014), and The Western Union Company (global money transfer, 2006-2011).

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 currently Vice Chair of the Board of Governors, State University System of Florida (2013-present). Previously, Mr. Lautenbach was a Partner and Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007). Mr. Lautenbach also had a 30-year career with IBM (technology company) during which time he served as Senior Vice President and a member of the Corporate Executive Committee (1968-1998).

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).

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 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 Artis-Naples in Naples, Florida. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).

David M. Thomas (1949)

Year of Election or Appointment: 2008

Trustee

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

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

Advisory Board Members and Officers:

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

Name, Year of Birth; Principal Occupation

Peter S. Lynch (1944)

Year of Election or Appointment: 2003

Member of the Advisory Board

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

Elizabeth Paige Baumann (1968)

Year of Election or Appointment: 2017

Anti-Money Laundering (AML) Officer

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

Marc R. Bryant (1966)

Year of Election or Appointment: 2015

Secretary and Chief Legal Officer (CLO)

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

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).

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 (UK) 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).

Rieco E. Mello (1969)

Year of Election or Appointment: 2017

Assistant Treasurer

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

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 (accounting firm, 1996-2009). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).

Marc L. Spector (1972)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Renee Stagnone (1975)

Year of Election or Appointment: 2016

Assistant Treasurer

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

Shareholder Expense Example

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

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

Actual Expenses

The first line of the accompanying table 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, 2017 		Ending
Account Value
August 31, 2017 		Expenses Paid
During Period-B
March 1, 2017
to August 31, 2017 
Puritan .54%    
Actual  $1,000.00 $1,064.70 $2.81 
Hypothetical-C  $1,000.00 $1,022.48 $2.75 
Class K .45%    
Actual  $1,000.00 $1,065.20 $2.34 
Hypothetical-C  $1,000.00 $1,022.94 $2.29 

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

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

 C 5% return per year before expenses


Distributions (Unaudited)

The Board of Trustees of Fidelity Puritan Fund voted to pay 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 10/16/17 10/13/17 $0.059 $0.489 
Fidelity Puritan Fund 10/16/17 10/13/17 $0.054 $0.489 

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2017, $825,038,457 or, if subsequently determined to be different, the net capital gain of such year.

A total of 3.96% 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 $127,275,994 of distributions paid during the period January 1, 2017 to August 31, 2017 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders

A percentage of the dividends distributed during the fiscal year for the following fund qualify for the dividends–received deduction for corporate shareholders:

 Class K Puritan 
Fidelity Puritan Fund   
October 2016 18% 19% 
December 9, 2016 59% 62% 
December 27, 2016 62% 62% 
April 2017 81% 86% 
July 2017 82% 86% 

A percentage of the dividends distributed during the fiscal year for the following fund may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

 Class K Puritan 
Fidelity Puritan Fund   
October 2016 21% 22% 
December 9, 2016 67% 71% 
December 27, 2016 70% 70% 
April 2017 94% 100% 
July 2017 95% 100% 

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

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity 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. FMR and the sub-advisers are referred to herein as the Investment Advisers. 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 review 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 2017 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.

Amendment to Group Fee Rate. The Board also approved an amendment to the management contract for the fund to add an additional breakpoint to the group fee schedule, effective October 1, 2017. The Board noted that the additional breakpoint would result in lower management fee rates as Fidelity's assets under management increase.

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 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 Fidelity's investment research process, 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) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain lower-priced share classes; (vi) reducing management fees and total expenses for certain growth equity funds and index funds; (vii) lowering expense caps for certain existing funds and classes to reduce expenses borne by shareholders; (viii) eliminating short-term redemption fees for certain funds; (ix) introducing a new pricing structure for certain funds of funds that is expected to reduce overall expenses paid by shareholders; (x) rationalizing product lines and gaining increased efficiencies through proposals for fund mergers and share class consolidations; (xi) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (xii) implementing enhancements to further strengthen Fidelity's product line to increase investors' probability of success in achieving their investment goals, including retirement income goals.

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 Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee.  The Board considered two proprietary management fee comparisons for the 12-month periods shown in basis points (BP) in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group is broader than the Lipper peer group used by the Board for performance comparisons because the Total Mapped Group combines several Lipper investment objective categories while the Lipper peer group does not. The Total Mapped Group comparison focuses on a fund's standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than the fund. The fund's actual TMG %s and the number of funds in the Total Mapped Group are in the chart below. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. 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 2016.

The Board noted that, in 2014, the Board and the boards of other Fidelity funds formed the ad hoc Committee on Group Fee 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 2016.

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 that an ad hoc joint committee created by it and the boards of other Fidelity funds periodically (most recently in 2013) reviews and compares 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 relationships 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 potential 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 a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically (most recently in 2013) analyzes 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, in particular the underperformance of certain funds, and Fidelity's long-term strategies for certain funds; (ii) Fidelity's fund profitability methodology, profitability trends for certain funds, and the impact of certain factors on fund profitability results, including the impact of market trends on actively managed funds; (iii) the use of performance fees and the calculation of performance adjustments, including the impact of underperformance and fund outflows on performance adjustments; (iv) metrics for evaluating index fund performance; (v) Fidelity's group fee structure, including the group fee breakpoint schedules; (vi) the terms of Fidelity's contractual and voluntary expense cap arrangements with the funds; (vii) the methodology with respect to evaluating competitive fund data and peer group classifications and fee comparisons; (viii) the expense structures for different funds and classes; (ix) Fidelity's arrangements with affiliated sub-advisers on behalf of the funds; (x) information regarding other accounts managed by Fidelity, including institutional accounts and collective investment trusts; (xi) recent changes to the fee structure for certain funds of funds; and (xii) the impact of the Department of Labor's new fiduciary rule on the funds' comparative expense information.

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





Fidelity Investments

Corporate Headquarters

245 Summer St.

Boston, MA 02210

www.fidelity.com

PUR-ANN-1017
1.536193.121

Item 2.

Code of Ethics


As of the end of the period, August 31, 2017, 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, 2017 FeesA

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Balanced Fund

 $154,000

$14,400

 $10,200

 $6,800

Fidelity Puritan Fund

 $229,000

$21,000

 $46,000

 $9,900



August 31, 2016 FeesA,B

 

Audit Fees

Audit-Related Fees

Tax Fees

All Other Fees


Fidelity Balanced Fund

 $158,000

$19,200

 $17,200

 $8,900

Fidelity Puritan Fund

 $228,000

$23,100

 $58,200

 $10,800


A Amounts may reflect rounding.

B Certain amounts have been reclassified to align with current period presentation.


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, 2017A

August 31, 2016A,B

Audit-Related Fees

 $9,815,000

 $5,530,000

Tax Fees

 $105,000

 $10,000

All Other Fees

$-

$-


A Amounts may reflect rounding.

B Certain amounts have been reclassified to align with current period presentation.


“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, 2017A

August 31, 2016A,B

PwC

$13,075,000

$6,660,000


A Amounts may reflect rounding.

B Certain amounts have been reclassified to align with current period presentation.


The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by PwC 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, 2017



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



By:

/s/ Stacie M. Smith

 

Stacie M. Smith

 

President and Treasurer

 

 

Date:

October 26, 2017



By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

October 26, 2017