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 |
 |
Contents
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 |
| $18,731 | Fidelity® Balanced Fund - Class K |
| $20,825 | S&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.
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| 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.
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BAL-K-ANN-1017
1.863051.108
Fidelity® Balanced Fund
Annual Report August 31, 2017 |
|
Contents
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 |
| $18,518 | Fidelity® Balanced Fund |
| $20,825 | S&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.
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Fidelity® Puritan® Fund Class K
Annual Report August 31, 2017 |
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Contents
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 |
| $19,277 | Fidelity® Puritan® Fund - Class K |
| $20,825 | S&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.
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PUR-K-ANN-1017
1.863165.108
Fidelity® Puritan® Fund
Annual Report August 31, 2017 |
|
Contents
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 |
| $19,068 | Fidelity® Puritan® Fund |
| $20,825 | S&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.
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 |
| | | | |
| 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
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(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
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By: | /s/Stacie M. Smith |
| Stacie M. Smith |
| President and Treasurer |
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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.
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By: | /s/ Stacie M. Smith |
| Stacie M. Smith |
| President and Treasurer |
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Date: | October 26, 2017 |
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By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
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Date: | October 26, 2017 |
