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Fidelity Income Fund/MA – ‘N-Q’ for 11/30/17

On:  Friday, 1/26/18, at 10:42am ET   ·   Effective:  1/26/18   ·   For:  11/30/17   ·   Accession #:  1379491-18-353   ·   File #:  811-04085

Previous ‘N-Q’:  ‘N-Q’ on 12/28/17 for 10/31/17   ·   Next:  ‘N-Q’ on 6/28/18 for 4/30/18   ·   Latest:  ‘N-Q’ on 1/28/19 for 11/30/18

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 1/26/18  Fidelity Income Fund/MA           N-Q        11/30/17    2:1.2M                                   Publishing Data … Inc/FAFidelity Flex Core Bond Fund FLXCXFidelity Government Income Fund 5 Classes/ContractsFidelity Intermediate Government Income Fund FSTGXFidelity Total Bond Fund 6 Classes/ContractsFidelity Total Bond K6 Fund FTKFX

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a       HTML    998K 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit -- ex99                       HTML     13K 


N-Q   —   Quarterly Schedule of Portfolio Holdings of a Management Investment Company


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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY


Investment Company Act file number   811-4085


Fidelity Income Fund

 (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:

November 30, 2017


Item 1.

Schedule of Investments





Quarterly Holdings Report
for

Fidelity® Government Income Fund

November 30, 2017







GOV-QTLY-0118
1.809070.113





Investments November 30, 2017 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 47.9%   
 Principal Amount (000s) Value (000s) 
U.S. Government Agency Obligations - 0.2%   
Fannie Mae:   
0.875% 8/2/19 $131 $129 
1% 2/26/19 326 323 
1.125% 12/14/18 240 239 
Tennessee Valley Authority:   
5.25% 9/15/39 2,807 3,724 
5.375% 4/1/56 3,438 4,767 
  9,182 
U.S. Treasury Obligations - 45.8%   
U.S. Treasury Bonds:   
2.5% 2/15/46 28,232 26,354 
2.75% 8/15/47 33,542 32,928 
2.75% 11/15/47 8,000 7,859 
2.875% 8/15/45 112,441 113,284 
3% 11/15/44 29,032 29,982 
3% 11/15/45 40,000 41,267 
3% 2/15/47 27,506 28,376 
3% 5/15/47 15,900 16,403 
3.625% 2/15/44 45,031 51,789 
4.375% 5/15/40 3,000 3,819 
4.75% 2/15/37 62,168 82,173 
5% 5/15/37 (a)(b) 36,142 49,193 
U.S. Treasury Notes:   
1.125% 9/30/21 119,876 115,831 
1.375% 2/29/20 33,681 33,344 
1.375% 4/30/20 75,553 74,694 
1.375% 8/31/20 5,000 4,932 
1.375% 1/31/21 27,500 27,013 
1.375% 4/30/21 20,000 19,593 
1.375% 5/31/21 20,000 19,578 
1.5% 4/15/20 48,153 47,764 
1.5% 7/15/20 55,155 54,629 
1.5% 8/15/26 9,629 8,949 
1.625% 6/30/20 4,710 4,681 
1.625% 7/31/20 30,000 29,802 
1.625% 11/15/20 64,884 64,603 
1.625% 8/31/22 35,000 34,200 
1.75% 10/31/20 18,000 17,921 
1.75% 12/31/20 56,701 56,380 
1.75% 6/30/22 56,910 55,979 
1.875% 1/31/22 45,770 45,378 
1.875% 3/31/22 56,661 56,121 
1.875% 7/31/22 86,000 85,016 
1.875% 9/30/22 28,814 28,463 
1.875% 8/31/24 6,800 6,620 
2% 9/30/20 31,153 31,244 
2% 12/31/21 78,894 78,660 
2% 7/31/22 18,845 18,743 
2% 10/31/22 10,000 9,936 
2% 11/30/22 10,000 9,931 
2% 8/15/25 (a) 38,778 37,796 
2% 11/15/26 70,025 67,705 
2.125% 6/30/21 22,000 22,090 
2.125% 12/31/21 2,000 2,005 
2.125% 6/30/22 146 146 
2.125% 7/31/24 94,525 93,484 
2.125% 11/30/24 95,348 94,134 
2.125% 5/15/25 18,702 18,422 
2.25% 7/31/21 26,021 26,227 
2.25% 10/31/24 21,323 21,237 
2.25% 2/15/27 3,000 2,957 
2.25% 8/15/27 3,900 3,838 
2.25% 11/15/27 5,000 4,925 
2.375% 5/15/27 25,946 25,831 
  1,944,229 
Other Government Related - 1.9%   
National Credit Union Administration Guaranteed Notes Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.5917% 12/7/20 (NCUA Guaranteed) (c)(d) 2,452 2,454 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 74,000 76,846 
  79,300 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $2,043,479)  2,032,711 
U.S. Government Agency - Mortgage Securities - 3.1%   
Fannie Mae - 1.9%   
12 month U.S. LIBOR + 1.415% 2.915% 11/1/33 (c)(d) 78 81 
12 month U.S. LIBOR + 1.480% 3.312% 7/1/34 (c)(d) 89 93 
12 month U.S. LIBOR + 1.523% 3.218% 3/1/36 (c)(d) 344 360 
12 month U.S. LIBOR + 1.551% 2.494% 2/1/44 (c)(d) 330 343 
12 month U.S. LIBOR + 1.553% 2.593% 5/1/44 (c)(d) 1,013 1,052 
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (c)(d) 82 84 
12 month U.S. LIBOR + 1.558% 2.449% 2/1/44 (c)(d) 400 417 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (c)(d) 112 118 
12 month U.S. LIBOR + 1.570% 2.559% 5/1/44 (c)(d) 627 651 
12 month U.S. LIBOR + 1.574% 2.666% 4/1/44 (c)(d) 1,522 1,583 
12 month U.S. LIBOR + 1.580% 2.46% 4/1/44 (c)(d) 560 582 
12 month U.S. LIBOR + 1.580% 2.58% 1/1/44 (c)(d) 625 651 
12 month U.S. LIBOR + 1.725% 2.588% 6/1/42 (c)(d) 246 256 
12 month U.S. LIBOR + 1.728% 3.407% 11/1/36 (c)(d) 58 61 
12 month U.S. LIBOR + 1.741% 3.376% 3/1/40 (c)(d) 1,208 1,280 
12 month U.S. LIBOR + 1.745% 3.397% 7/1/35 (c)(d) 144 151 
12 month U.S. LIBOR + 1.800% 2.748% 1/1/42 (c)(d) 882 925 
12 month U.S. LIBOR + 1.800% 3.562% 7/1/41 (c)(d) 216 225 
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (c)(d) 69 72 
12 month U.S. LIBOR + 1.815% 2.941% 11/1/40 (c)(d) 72 76 
12 month U.S. LIBOR + 1.818% 2.688% 2/1/42 (c)(d) 1,266 1,327 
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (c)(d) 141 150 
12 month U.S. LIBOR + 1.818% 3.252% 7/1/41 (c)(d) 181 189 
12 month U.S. LIBOR + 1.830% 3.36% 10/1/41 (c)(d) 116 121 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (c)(d) 95 100 
6 month U.S. LIBOR + 1.475% 2.892% 10/1/33 (c)(d) 71 73 
6 month U.S. LIBOR + 1.510% 2.915% 2/1/33 (c)(d) 48 49 
6 month U.S. LIBOR + 1.535% 2.939% 12/1/34 (c)(d) 106 110 
6 month U.S. LIBOR + 1.535% 2.958% 3/1/35 (c)(d) 54 56 
6 month U.S. LIBOR + 1.556% 3.014% 10/1/33 (c)(d) 39 41 
6 month U.S. LIBOR + 1.565% 2.94% 7/1/35 (c)(d) 54 56 
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (c)(d) 46 48 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (c)(d) 50 53 
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.471% 10/1/33 (c)(d) 89 94 
4% 5/1/29 to 7/1/47 52,962 55,345 
4.5% 11/1/25 to 6/1/41 7,801 8,275 
6% 1/1/34 to 6/1/36 4,680 5,307 
6.5% 3/1/22 to 5/1/27 234 259 
9.5% 10/1/20 
11.5% 1/15/21 
  80,719 
Freddie Mac - 0.6%   
12 month U.S. LIBOR + 1.754% 3.111% 9/1/41 (c)(d) 1,196 1,237 
12 month U.S. LIBOR + 1.874% 3.619% 10/1/42 (c)(d) 743 777 
12 month U.S. LIBOR + 1.877% 3.214% 4/1/41 (c)(d) 125 132 
12 month U.S. LIBOR + 1.880% 3.045% 10/1/41 (c)(d) 1,872 1,938 
12 month U.S. LIBOR + 1.880% 3.219% 9/1/41 (c)(d) 145 154 
12 month U.S. LIBOR + 1.910% 3.273% 6/1/41 (c)(d) 149 155 
12 month U.S. LIBOR + 1.910% 3.411% 5/1/41 (c)(d) 137 146 
12 month U.S. LIBOR + 1.910% 3.604% 5/1/41 (c)(d) 180 188 
12 month U.S. LIBOR + 1.910% 3.673% 6/1/41 (c)(d) 167 174 
12 month U.S. LIBOR + 2.045% 3.811% 7/1/36 (c)(d) 243 258 
12 month U.S. LIBOR + 2.197% 3.772% 3/1/33 (c)(d) 
6 month U.S. LIBOR + 1.445% 2.945% 3/1/35 (c)(d) 191 196 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (c)(d) 111 115 
6 month U.S. LIBOR + 2.755% 4.144% 10/1/35 (c)(d) 129 137 
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (c)(d) 15 16 
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (c)(d) 556 591 
3% 2/1/31 9,798 9,994 
4% 5/1/47 to 7/1/47 4,587 4,795 
4.5% 5/1/39 to 10/1/41 2,457 2,647 
5.5% 7/1/29 17 19 
6% 1/1/24 870 927 
9.5% 11/1/19 to 8/1/21 
  24,606 
Ginnie Mae - 0.6%   
6% 6/15/36 3,733 4,351 
4.313% 8/20/61 (c)(e) 1,877 1,901 
4.643% 2/20/62 (c)(e) 2,030 2,080 
4.676% 2/20/62 (c)(e) 2,710 2,765 
4.69% 1/20/62 (c)(e) 15,813 16,127 
5.47% 8/20/59 (c)(e) 22 22 
  27,246 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $133,157)  132,571 
Asset-Backed Securities - 1.0%   
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.6321% 5/28/30 (c)(d) $4,127 $4,124 
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.3644% 4/25/22 (c)(d) 1,325 1,329 
Navient Student Loan Trust Series 2017-3A:   
Class A1, 1 month U.S. LIBOR + 0.300% 1.6275% 7/26/66 (c)(d)(f) 11,240 11,253 
Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (c)(d)(f) 14,550 14,663 
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 1.4674% 1/25/30 (c)(d) 10,001 9,993 
Small Business Administration guaranteed development participation certificates:   
Series 2002-20J Class 1, 4.75% 10/1/22 558 574 
Series 2002-20K Class 1, 5.08% 11/1/22 834 868 
Series 2004-20H Class 1, 5.17% 8/1/24 424 445 
TOTAL ASSET-BACKED SECURITIES   
(Cost $43,051)  43,249 
Collateralized Mortgage Obligations - 16.7%   
U.S. Government Agency - 16.7%   
Fannie Mae:   
floater: 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.3075% 8/25/31 (c)(d) 81 83 
Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 1.8827% 11/18/31 (c)(d) 76 77 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.3275% 4/25/32 (c)(d) 32 33 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.3275% 11/25/32 (c)(d) 66 68 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.2575% 6/25/36 (c)(d) 4,966 5,047 
planned amortization class:   
Series 2005-19 Class PA, 5.5% 7/25/34 1,114 1,152 
Series 2005-27 Class NE, 5.5% 5/25/34 132 133 
Series 2005-64 Class PX, 5.5% 6/25/35 1,368 1,462 
Series 2005-68 Class CZ, 5.5% 8/25/35 3,964 4,397 
Series 2006-45 Class OP 6/25/36 (g) 685 599 
Series 2010-118 Class PB, 4.5% 10/25/40 5,706 5,964 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 715 750 
Series 2004-91 Class Z, 5% 12/25/34 4,732 5,135 
Series 2005-117 Class JN, 4.5% 1/25/36 407 429 
Series 2005-14 Class ZB, 5% 3/25/35 1,452 1,576 
Series 2006-72 Class CY, 6% 8/25/26 2,962 3,176 
Series 2009-59 Class HB, 5% 8/25/39 2,158 2,341 
Series 201-75 Class AL, 3.5% 8/25/26 11,851 12,257 
Series 2010-97 Class CX, 4.5% 9/25/25 10,927 11,554 
Series 2011-80:   
Class HE, 3.5% 8/25/26 4,160 4,330 
Class KB, 3.5% 8/25/26 6,462 6,696 
Series 2009-85 Class IB, 4.5% 8/25/24 (h) 189 
Series 2009-93 Class IC, 4.5% 9/25/24 (h) 269 10 
Series 2010-139 Class NI, 4.5% 2/25/40 (h) 3,117 341 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.2475% 3/25/36 (c)(d) 3,062 3,132 
Series 2010-97 Class CI, 4.5% 8/25/25 (h) 730 40 
Series 2012-27 Class EZ, 4.25% 3/25/42 7,017 7,458 
Series 2016-26 Class CG, 3% 5/25/46 19,748 20,005 
Freddie Mac:   
floater:   
Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 1.8503% 2/15/32 (c)(d) 43 44 
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7503% 6/15/18 (c)(d) 
Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 2.1503% 10/15/33 (c)(d) 2,414 2,452 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1503% 2/15/33 (c)(d) 1,453 1,481 
planned amortization class:   
Series 1141 Class G, 9% 9/15/21 28 30 
Series 2682 Class LD, 4.5% 10/15/33 628 666 
Series 3415 Class PC, 5% 12/15/37 429 463 
Series 3763 Class QA, 4% 4/15/34 46 46 
Series 3840 Class VA, 4.5% 9/15/27 3,786 3,853 
Series 3857 Class ZP, 5% 5/15/41 3,029 3,533 
sequential payer:   
Series 2004-2802 Class ZG, 5.5% 5/15/34 6,955 7,706 
Series 2587 Class AD, 4.71% 3/15/33 2,537 2,666 
Series 2773 Class HC, 4.5% 4/15/19 84 85 
Series 2877 Class ZD, 5% 10/15/34 5,779 6,274 
Series 3007 Class EW, 5.5% 7/15/25 4,612 4,928 
Series 3745 Class KV, 4.5% 12/15/26 6,156 6,536 
Series 3806 Class L, 3.5% 2/15/26 8,900 9,277 
Series 3862 Class MB, 3.5% 5/15/26 6,893 7,141 
Series 3871 Class KB, 5.5% 6/15/41 13,870 15,871 
Series 3889 Class DZ, 4% 1/15/41 35,144 37,183 
Series 3843 Class PZ, 5% 4/15/41 2,591 2,983 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 6,480 6,733 
Series 4341 Class ML, 3.5% 11/15/31 9,311 9,624 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.7627% 1/20/38 (c)(d) 227 228 
Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 2.1427% 8/20/38 (c)(d) 1,708 1,737 
Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 2.1827% 9/20/38 (c)(d) 1,481 1,514 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.8635% 11/16/39 (c)(d) 975 983 
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 1.7833% 9/20/61 (c)(d)(e) 8,456 8,459 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 10/20/61 (c)(d)(e) 5,559 5,569 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 11/20/61 (c)(d)(e) 4,723 4,746 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 1/20/62 (c)(d)(e) 3,065 3,080 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 1/20/62 (c)(d)(e) 4,465 4,477 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 3/20/62 (c)(d)(e) 2,774 2,781 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8833% 5/20/61 (c)(d)(e) 2,975 2,980 
Series 2013-H19:   
Class FC, 1 month U.S. LIBOR + 0.600% 1.8333% 8/20/63 (c)(d)(e) 1,128 1,130 
Class FD, 1 month U.S. LIBOR + 0.600% 1.8333% 8/20/63 (c)(d)(e) 2,825 2,830 
Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 1.8833% 12/20/63 (c)(d)(e) 35,998 36,135 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 1/20/64 (c)(d)(e) 13,566 13,591 
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 1.5333% 3/20/65 (c)(d)(e) 9,390 9,388 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5133% 5/20/63 (c)(d)(e) 10,593 10,590 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4333% 4/20/63 (c)(d)(e) 11,418 11,406 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6306% 12/20/62 (c)(d)(e) 12,246 12,252 
planned amortization class Series 2010-31 Class BP, 5% 3/20/40 11,191 12,492 
sequential payer:   
Series 2011-69 Class GX, 4.5% 5/16/40 10,205 10,930 
Series 2013-H06 Class HA, 1.65% 1/20/63 (e) 4,587 4,555 
Series 2013-H26 Class HA, 3.5% 9/20/63 (e) 39,105 39,819 
Series 2014-H04 Class HA, 2.75% 2/20/64 (e) 9,203 9,273 
Series 2014-H12 Class KA, 2.75% 5/20/64 (e) 5,376 5,386 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7333% 9/20/62 (c)(d)(e) 19,360 19,404 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8833% 11/20/65 (c)(d)(e) 3,779 3,790 
Series 2004-22 Class M1, 5.5% 4/20/34 592 744 
Series 2010-169 Class Z, 4.5% 12/20/40 6,902 7,453 
Series 2010-H15 Class TP, 5.15% 8/20/60 (e) 11,594 11,931 
Series 2010-H17 Class XP, 5.295% 7/20/60 (c)(e) 12,163 12,549 
Series 2010-H18 Class PL, 5.01% 9/20/60 (c)(e) 10,958 11,235 
Series 2012-64 Class KI, 3.5% 11/20/36 (h) 1,051 76 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 6.9564% 4/20/39 (c)(i) 4,052 4,214 
Class ST, 8.800% - 1 month U.S. LIBOR 7.0898% 8/20/39 (c)(i) 10,308 10,886 
Series 2013-H07 Class JA, 1.75% 3/20/63 (e) 25,278 25,077 
Series 2015-H17 Class HA, 2.5% 5/20/65 (e) 13,208 13,246 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (e) 38,553 38,652 
Class JA, 2.5% 6/20/65 (e) 4,510 4,522 
Series 2015-H30 Class HA, 1.75% 9/20/62 (c)(e) 39,701 39,459 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (c)(d)(e) 24,324 24,472 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.66% 8/20/66 (c)(d)(e) 21,590 21,652 
Series 2090-118 Class XZ, 5% 12/20/39 14,269 15,977 
  709,503 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $715,416)  709,503 
Commercial Mortgage Securities - 6.6%   
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 46,890 46,390 
Freddie Mac:   
floater:   
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 1.46% 7/25/20 (c)(d) 10,600 10,600 
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 1.42% 10/25/19 (c)(d) 21,200 21,200 
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 3,740 3,919 
sequential payer:   
Series K009 Class A2, 3.808% 8/25/20 5,591 5,810 
Series K034 Class A1, 2.669% 2/25/23 11,376 11,448 
Series K708 Class A2, 2.13% 1/25/19 23,707 23,748 
Series K709 Class A2, 2.086% 3/25/19 17,210 17,232 
Series K710 Class A2, 1.883% 5/25/19 16,814 16,797 
Series K713 Class A2, 2.313% 3/25/20 5,437 5,461 
Series K717 Class A2, 2.991% 9/25/21 12,968 13,225 
Series K032 Class A1, 3.016% 2/25/23 19,205 19,587 
Series K504 Class A2, 2.566% 9/25/20 3,629 3,662 
Series K704 Class A2, 2.412% 8/25/18 4,806 4,813 
Series K706 Class A2, 2.323% 10/25/18 9,420 9,413 
Series K724 Class A1, 2.776% 3/25/23 15,967 16,214 
Series K726 Class A1, 2.596% 8/25/23 4,837 4,866 
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5561% 2/25/20 (c)(d) 43,722 43,819 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $279,355)  278,204 
Foreign Government and Government Agency Obligations - 3.4%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 72,266 84,445 
5.5% 12/4/23 48 56 
5.5% 4/26/24 6,065 7,168 
Jordanian Kingdom 3% 6/30/25 19,267 19,864 
Ukraine Government 1.471% 9/29/21 34,809 33,960 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $135,877)  145,493 
 Shares Value (000s) 
Fixed-Income Funds - 21.0%   
Fidelity Mortgage Backed Securities Central Fund (j)   
(Cost $864,237) 8,288,763 892,617 
Money Market Funds - 0.0%   
Fidelity Cash Central Fund, 1.13% (k)   
(Cost $1,614) 1,613,350 1,614 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.0%    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/5/20 13,400 $435 
Call Options - 0.0%    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/5/20 13,400 381 
TOTAL PURCHASED SWAPTIONS    
(Cost $1,012)   816 
TOTAL INVESTMENT IN SECURITIES - 99.7%    
(Cost $4,217,198)   4,236,778 
NET OTHER ASSETS (LIABILITIES) - 0.3%   11,839 
NET ASSETS - 100%   $4,248,617 

TBA Sale Commitments   
 Principal Amount (000s) Value (000s) 
Fannie Mae   
3.5% 12/1/47 $(98,100) $(100,558) 
(Proceeds $100,874)   

Futures Contracts      
 Number of contracts Expiration Date Notional Amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 745 March 2018 $92,415 $(513) $(513) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 991 March 2018 212,477 (116) (116) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 330 March 2018 38,393 (135) (135) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 238 March 2018 36,109 (196) (196) 
TOTAL FUTURES CONTRACTS     $(960) 

The notional amount of futures purchased as a percentage of Net Assets is 8.9%

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount (000s)(1) Value (000s) Upfront Premium Received/(Paid) (000s)(2) Unrealized Appreciation/(Depreciation) (000s) 
Interest Rate Swaps          
2.75% Semi - annual 3-month LIBOR (3) Quarterly CME Dec. 2047 $1,200 $(50) $0 $(50) 

 (1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate


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

Legend

 (a) 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 $2,026,000.

 (b) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $101,000.

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

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

 (e) 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.

 (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 $25,916,000 or 0.6% of net assets.

 (g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

 (h) 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.

 (i) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

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

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


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 $73 
Fidelity Mortgage Backed Securities Central Fund 5,709 
Total $5,782 

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 $939,005 $5,712 $43,000 $1,823 $(10,923) $892,617 12.8% 
Total $939,005 $5,712 $43,000 $1,823 $(10,923) $892,617  

Investment Valuation

The following is a summary of the inputs used, as of November 30, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government and Government Agency Obligations $2,032,711 $-- $2,032,711 $-- 
U.S. Government Agency - Mortgage Securities 132,571 -- 132,571 -- 
Asset-Backed Securities 89,639 -- 89,639 -- 
Collateralized Mortgage Obligations 709,503 -- 709,503 -- 
Commercial Mortgage Securities 231,814 -- 231,814 -- 
Foreign Government and Government Agency Obligations 145,493 -- 145,493 -- 
Fixed-Income Funds 892,617 892,617 -- -- 
Money Market Funds 1,614 1,614 -- -- 
Purchased Swaptions 816 -- 816 -- 
Total Investments in Securities: $4,236,778 $894,231 $3,342,547 $-- 
Derivative Instruments:     
Liabilities     
Futures Contracts $(960) $(960) $-- $-- 
Swaps (50) -- (50) -- 
Total Liabilities $(1,010) $(960) $(50) $-- 
Total Derivative Instruments: $(1,010) $(960) $(50) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(100,558) $-- $(100,558) $-- 
Total Other Financial Instruments: $(100,558) $-- $(100,558) $-- 

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the 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: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

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. Foreign government and government agency obligations 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.

Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

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

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

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





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

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


Quarterly Holdings Report
for

Fidelity® Intermediate Government Income Fund

November 30, 2017







SLM-QTLY-0118
1.809098.113





Investments November 30, 2017 (Unaudited)

Showing Percentage of Net Assets

U.S. Government and Government Agency Obligations - 62.4%   
 Principal Amount (000s) Value (000s) 
U.S. Treasury Obligations - 59.8%   
U.S. Treasury Bonds 3% 2/15/47 35 36 
U.S. Treasury Notes:   
1.125% 9/30/21 $22,860 $22,088 
1.375% 1/31/21 10,000 9,823 
1.5% 4/15/20 14,767 14,648 
1.5% 7/15/20 19,038 18,857 
1.5% 8/15/26 174 162 
1.625% 7/31/20 3,000 2,980 
1.625% 11/15/20 13,042 12,985 
1.625% 8/31/22 7,000 6,840 
1.75% 10/31/20 5,000 4,978 
1.75% 12/31/20 12,412 12,342 
1.75% 4/30/22 2,240 2,207 
1.75% 6/30/22 3,000 2,951 
1.875% 1/31/22 29,140 28,891 
1.875% 3/31/22 22,608 22,393 
1.875% 7/31/22 15,520 15,342 
1.875% 8/31/24 900 876 
2% 12/31/21 1,226 1,222 
2% 10/31/22 8,250 8,197 
2% 11/30/22 6,500 6,455 
2% 8/15/25 (a) 41,631 40,572 
2.125% 6/30/22 327 327 
2.125% 7/31/24 18,117 17,917 
2.125% 11/30/24 21,515 21,241 
2.125% 5/15/25 1,053 1,037 
2.25% 7/31/21 35,982 36,267 
2.25% 10/31/24 4,811 4,792 
2.25% 2/15/27 1,920 1,893 
2.25% 8/15/27 8,155 8,026 
2.375% 5/15/27 4,000 3,982 
  330,327 
Other Government Related - 2.6%   
National Credit Union Administration Guaranteed Notes:   
Series 2010-A1 Class A, 1 month U.S. LIBOR + 0.350% 1.5917% 12/7/20 (NCUA Guaranteed) (b)(c) 578 579 
Series 2011-R1 Class 1A, 1 month U.S. LIBOR + 0.450% 1.6921% 1/8/20 (NCUA Guaranteed) (b)(c) 1,294 1,298 
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) 12,000 12,462 
  14,339 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $348,195)  344,666 
U.S. Government Agency - Mortgage Securities - 3.4%   
Fannie Mae - 1.9%   
12 month U.S. LIBOR + 1.365% 3.115% 10/1/35 (b)(c) 
12 month U.S. LIBOR + 1.415% 2.915% 11/1/33 (b)(c) 
12 month U.S. LIBOR + 1.480% 3.312% 7/1/34 (b)(c) 10 11 
12 month U.S. LIBOR + 1.495% 3.081% 1/1/35 (b)(c) 39 40 
12 month U.S. LIBOR + 1.551% 2.494% 2/1/44 (b)(c) 54 56 
12 month U.S. LIBOR + 1.553% 2.593% 5/1/44 (b)(c) 164 171 
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (b)(c) 
12 month U.S. LIBOR + 1.558% 2.449% 2/1/44 (b)(c) 65 68 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (b)(c) 11 11 
12 month U.S. LIBOR + 1.570% 2.559% 5/1/44 (b)(c) 102 106 
12 month U.S. LIBOR + 1.574% 2.666% 4/1/44 (b)(c) 247 257 
12 month U.S. LIBOR + 1.580% 2.46% 4/1/44 (b)(c) 91 94 
12 month U.S. LIBOR + 1.580% 2.58% 1/1/44 (b)(c) 101 106 
12 month U.S. LIBOR + 1.617% 3.267% 3/1/33 (b)(c) 25 26 
12 month U.S. LIBOR + 1.643% 3.315% 9/1/36 (b)(c) 13 14 
12 month U.S. LIBOR + 1.645% 3.31% 6/1/47 (b)(c) 26 28 
12 month U.S. LIBOR + 1.728% 3.407% 11/1/36 (b)(c) 58 61 
12 month U.S. LIBOR + 1.741% 3.376% 3/1/40 (b)(c) 280 296 
12 month U.S. LIBOR + 1.745% 3.397% 7/1/35 (b)(c) 11 12 
12 month U.S. LIBOR + 1.760% 3.336% 2/1/37 (b)(c) 116 120 
12 month U.S. LIBOR + 1.800% 2.748% 1/1/42 (b)(c) 233 245 
12 month U.S. LIBOR + 1.818% 2.688% 2/1/42 (b)(c) 343 360 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (b)(c) 10 
12 month U.S. LIBOR + 1.885% 3.637% 4/1/36 (b)(c) 65 69 
12 month U.S. LIBOR + 2.176% 3.784% 8/1/35 (b)(c) 92 96 
6 month U.S. LIBOR + 1.510% 2.915% 2/1/33 (b)(c) 
6 month U.S. LIBOR + 1.535% 2.939% 12/1/34 (b)(c) 10 11 
6 month U.S. LIBOR + 1.535% 2.958% 3/1/35 (b)(c) 
6 month U.S. LIBOR + 1.556% 3.014% 10/1/33 (b)(c) 
6 month U.S. LIBOR + 1.565% 2.94% 7/1/35 (b)(c) 
U.S. TREASURY 1 YEAR INDEX + 1.965% 2.84% 2/1/36 (b)(c) 
U.S. TREASURY 1 YEAR INDEX + 2.146% 3.189% 7/1/36 (b)(c) 50 52 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (b)(c) 
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.471% 10/1/33 (b)(c) 11 12 
4% 5/1/29 3,591 3,757 
4.5% 11/1/25 to 6/1/41 1,600 1,703 
5% 1/1/22 to 4/1/22 16 17 
5.5% 10/1/20 to 8/1/25 596 623 
6% 1/1/34 to 6/1/36 928 1,051 
6.5% 2/1/22 to 8/1/36 946 1,078 
  10,622 
Freddie Mac - 0.4%   
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (b)(c) 
12 month U.S. LIBOR + 1.515% 3.099% 11/1/35 (b)(c) 40 42 
12 month U.S. LIBOR + 1.600% 3.35% 7/1/35 (b)(c) 43 45 
12 month U.S. LIBOR + 1.754% 3.111% 9/1/41 (b)(c) 337 348 
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (b)(c) 15 16 
12 month U.S. LIBOR + 1.874% 3.619% 10/1/42 (b)(c) 201 210 
12 month U.S. LIBOR + 1.880% 3.045% 10/1/41 (b)(c) 303 314 
12 month U.S. LIBOR + 2.045% 3.811% 7/1/36 (b)(c) 24 25 
12 month U.S. LIBOR + 2.197% 3.772% 3/1/33 (b)(c) 
6 month U.S. LIBOR + 1.445% 2.945% 3/1/35 (b)(c) 19 19 
6 month U.S. LIBOR + 1.647% 3.04% 2/1/37 (b)(c) 17 17 
6 month U.S. LIBOR + 1.665% 3.087% 7/1/35 (b)(c) 316 329 
6 month U.S. LIBOR + 1.675% 3.05% 6/1/37 (b)(c) 11 12 
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (b)(c) 22 23 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (b)(c) 11 11 
6 month U.S. LIBOR + 1.932% 3.275% 10/1/36 (b)(c) 77 79 
6 month U.S. LIBOR + 1.976% 3.39% 10/1/35 (b)(c) 50 52 
6 month U.S. LIBOR + 2.010% 3.385% 5/1/37 (b)(c) 74 78 
6 month U.S. LIBOR + 2.010% 3.433% 5/1/37 (b)(c) 144 149 
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (b)(c) 30 31 
6 month U.S. LIBOR + 2.755% 4.144% 10/1/35 (b)(c) 13 13 
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.904% 6/1/33 (b)(c) 69 72 
U.S. TREASURY 1 YEAR INDEX + 2.230% 2.988% 4/1/34 (b)(c) 216 227 
U.S. TREASURY 1 YEAR INDEX + 2.383% 3.075% 2/1/36 (b)(c) 
U.S. TREASURY 1 YEAR INDEX + 2.548% 3.548% 7/1/35 (b)(c) 56 60 
6% 1/1/24 185 197 
6.5% 12/1/21 48 51 
9.5% 5/1/20 to 6/1/21 
10% 11/1/18 to 3/1/21 
10.5% 1/1/21 
11% 9/1/20 
  2,440 
Ginnie Mae - 1.1%   
6% 6/15/36 775 904 
8% 12/15/23 53 58 
10.5% 11/15/18 to 10/15/21 18 18 
4.313% 8/20/61 (b)(d) 392 397 
4.643% 2/20/62 (b)(d) 427 438 
4.676% 2/20/62 (b)(d) 566 578 
4.69% 1/20/62 (b)(d) 3,404 3,471 
5.47% 8/20/59 (b)(d) 
11% 7/20/18 to 1/20/21 
  5,873 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $18,761)  18,935 
Asset-Backed Securities - 1.0%   
Goal Capital Funding Trust Series 2005-2 Class A3, 3 month U.S. LIBOR + 0.170% 1.6321% 5/28/30 (b)(c) $570 $569 
Illinois Student Assistance Commission Student Loan Rev. Series 2010-1 Class A2, 3 month U.S. LIBOR + 1.050% 2.3644% 4/25/22 (b)(c) 181 181 
Navient Student Loan Trust Series 2017-3A:   
Class A1, 1 month U.S. LIBOR + 0.300% 1.6275% 7/26/66 (b)(c)(e) 1,555 1,557 
Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (b)(c)(e) 2,013 2,029 
Nelnet Student Loan Trust 3 month U.S. LIBOR + 0.100% 1.4674% 1/25/30 (b)(c) 1,312 1,311 
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 82 86 
TOTAL ASSET-BACKED SECURITIES   
(Cost $5,711)  5,733 
Collateralized Mortgage Obligations - 21.4%   
U.S. Government Agency - 21.4%   
Fannie Mae:   
floater: 
Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 1.76% 4/25/24 (b)(c) 357 358 
Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 2.3075% 8/25/31 (b)(c) 76 78 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.3275% 4/25/32 (b)(c) 16 17 
Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 1.7775% 11/25/32 (b)(c) 853 857 
Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 2.3275% 11/25/32 (b)(c) 33 34 
Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 2.2575% 6/25/36 (b)(c) 1,075 1,092 
planned amortization class:   
Series 1988-21 Class G, 9.5% 8/25/18 
Series 2003-28 Class KG, 5.5% 4/25/23 149 157 
Series 2005-19 Class PA, 5.5% 7/25/34 240 248 
Series 2005-27 Class NE, 5.5% 5/25/34 28 28 
Series 2005-64 Class PX, 5.5% 6/25/35 295 315 
Series 2005-68 Class CZ, 5.5% 8/25/35 808 897 
sequential payer:   
Series 2003-117 Class MD, 5% 12/25/23 150 158 
Series 2004-52 Class KZ, 5.5% 7/25/34 1,827 2,018 
Series 2004-91 Class Z, 5% 12/25/34 1,047 1,136 
Series 2009-59 Class HB, 5% 8/25/39 451 490 
Series 201-75 Class AL, 3.5% 8/25/26 1,561 1,614 
Series 2010-97 Class CX, 4.5% 9/25/25 1,693 1,790 
Series 2011-80:   
Class HE, 3.5% 8/25/26 548 570 
Class KB, 3.5% 8/25/26 851 882 
Series 2010-139 Class NI, 4.5% 2/25/40 (f) 719 79 
Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 2.2475% 3/25/36 (b)(c) 660 675 
Series 2011-67 Class AI, 4% 7/25/26 (f) 188 18 
Series 2016-26 Class CG, 3% 5/25/46 2,523 2,556 
Freddie Mac:   
floater:   
Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 1.6503% 11/15/32 (b)(c) 139 140 
Series 2630 Class FL, 1 month U.S. LIBOR + 0.500% 1.7503% 6/15/18 (b)(c) 
Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 2.1503% 2/15/33 (b)(c) 314 320 
floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 1.6503% 3/15/34 (b)(c) 328 330 
planned amortization class:   
Series 2802 Class OB, 6% 5/15/34 378 409 
Series 3415 Class PC, 5% 12/15/37 121 130 
Series 3763 Class QA, 4% 4/15/34 10 10 
Series 3840 Class VA, 4.5% 9/15/27 634 645 
sequential payer:   
Series 1929 Class EZ, 7.5% 2/17/27 428 462 
Series 2004-2802 Class ZG, 5.5% 5/15/34 1,458 1,616 
Series 2004-2862 Class NE, 5% 9/15/24 2,699 2,830 
Series 2145 Class MZ, 6.5% 4/15/29 452 509 
Series 2357 Class ZB, 6.5% 9/15/31 255 291 
Series 2877 Class ZD, 5% 10/15/34 1,274 1,383 
Series 2998 Class LY, 5.5% 7/15/25 134 143 
Series 3007 Class EW, 5.5% 7/15/25 585 625 
Series 3745 Class KV, 4.5% 12/15/26 1,053 1,118 
Series 3806 Class L, 3.5% 2/15/26 1,400 1,459 
Series 3862 Class MB, 3.5% 5/15/26 908 941 
Freddie Mac Multi-family Structured pass-thru certificates sequential payer:   
Series 4335 Class AL, 4.25% 3/15/40 982 1,020 
Series 4341 Class ML, 3.5% 11/15/31 1,360 1,406 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 1.7827% 7/20/37 (b)(c) 192 193 
Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 1.7627% 1/20/38 (b)(c) 48 48 
Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 1.8635% 11/16/39 (b)(c) 202 204 
Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 1.7935% 12/16/39 (b)(c) 148 149 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.57% 7/20/60 (b)(c)(d) 2,299 2,284 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5333% 9/20/60 (b)(c)(d) 2,725 2,705 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5333% 8/20/60 (b)(c)(d) 3,061 3,039 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6133% 12/20/60 (b)(c)(d) 814 809 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 12/20/60 (b)(c)(d) 1,539 1,537 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 2/20/61 (b)(c)(d) 3,022 3,019 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7233% 2/20/61 (b)(c)(d) 3,424 3,420 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 4/20/61 (b)(c)(d) 1,176 1,175 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (b)(c)(d) 1,382 1,380 
Class FC, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (b)(c)(d) 1,261 1,260 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7633% 6/20/61 (b)(c)(d) 1,588 1,588 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 10/20/61 (b)(c)(d) 1,596 1,599 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 11/20/61 (b)(c)(d) 1,356 1,362 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 1/20/62 (b)(c)(d) 883 887 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 1/20/62 (b)(c)(d) 1,280 1,283 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 3/20/62 (b)(c)(d) 799 801 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8833% 5/20/61 (b)(c)(d) 438 439 
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 1.5133% 5/20/63 (b)(c)(d) 1,826 1,826 
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 1.4333% 4/20/63 (b)(c)(d) 1,956 1,954 
planned amortization class:   
Series 2010-31 Class BP, 5% 3/20/40 1,810 2,020 
Series 2011-136 Class WI, 4.5% 5/20/40 (f) 412 49 
Series 2011-68 Class EC, 3.5% 4/20/41 899 927 
sequential payer:   
Series 2013-H06 Class HA, 1.65% 1/20/63 (d) 742 737 
Series 2014-H12 Class KA, 2.75% 5/20/64 (d) 901 903 
Series 2016-H02 Class FM, 1 month U.S. LIBOR + 0.500% 1.7333% 9/20/62 (b)(c)(d) 2,939 2,946 
Series 2016-H04 Class FE, 1 month U.S. LIBOR + 0.650% 1.8833% 11/20/65 (b)(c)(d) 732 734 
Series 2010-169 Class Z, 4.5% 12/20/40 1,008 1,088 
Series 2010-H15 Class TP, 5.15% 8/20/60 (d) 2,507 2,580 
Series 2010-H17 Class XP, 5.295% 7/20/60 (b)(d) 2,574 2,656 
Series 2010-H18 Class PL, 5.01% 9/20/60 (b)(d) 2,307 2,365 
Series 2012-64 Class KI, 3.5% 11/20/36 (f) 226 16 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 6.9564% 4/20/39 (b)(g) 827 860 
Class ST, 8.800% - 1 month U.S. LIBOR 7.0898% 8/20/39 (b)(g) 2,103 2,221 
Series 2013-H04 Class BA, 1.65% 2/20/63 (d) 1,300 1,288 
Series 2013-H07 Class JA, 1.75% 3/20/63 (d) 3,512 3,484 
Series 2015-H17 Class HA, 2.5% 5/20/65 (d) 2,985 2,994 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (d) 8,341 8,363 
Class JA, 2.5% 6/20/65 (d) 764 766 
Series 2015-H30 Class HA, 1.75% 9/20/62 (b)(d) 6,638 6,598 
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 1.65% 5/20/66 (b)(c)(d) 3,718 3,741 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.66% 8/20/66 (b)(c)(d) 3,399 3,409 
Series 2090-118 Class XZ, 5% 12/20/39 2,261 2,531 
  118,092 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $118,752)  118,092 
Commercial Mortgage Securities - 7.1%   
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 6,499 6,429 
Freddie Mac:   
floater:   
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 1.46% 7/25/20 (b)(c) 1,400 1,400 
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 1.42% 10/25/19 (b)(c) 2,800 2,800 
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 780 817 
sequential payer:   
Series K034 Class A1, 2.669% 2/25/23 2,422 2,437 
Series K708 Class A2, 2.13% 1/25/19 3,109 3,115 
Series K709 Class A2, 2.086% 3/25/19 2,390 2,393 
Series K710 Class A2, 1.883% 5/25/19 2,438 2,436 
Series K713 Class A2, 2.313% 3/25/20 804 807 
Series K717 Class A2, 2.991% 9/25/21 670 683 
Series K032 Class A1, 3.016% 2/25/23 4,088 4,170 
Series K504 Class A2, 2.566% 9/25/20 367 370 
Series K704 Class A2, 2.412% 8/25/18 659 660 
Series K706 Class A2, 2.323% 10/25/18 1,287 1,286 
Series K724 Class A1, 2.776% 3/25/23 2,348 2,384 
Series K726 Class A1, 2.596% 8/25/23 660 664 
Freddie Mac Multi-family floater Series 2017-KT01 Class A, 1 month U.S. LIBOR + 0.320% 1.5561% 2/25/20 (b)(c) 6,130 6,144 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $39,141)  38,995 
Foreign Government and Government Agency Obligations - 4.3%   
Israeli State:   
(guaranteed by U.S. Government through Agency for International Development):   
5.5% 9/18/23 4,551 5,318 
5.5% 12/4/23 10,710 12,573 
5.5% 4/26/24 1,100 1,300 
Jordanian Kingdom 3% 6/30/25 3,329 3,432 
Ukraine Government 1.471% 9/29/21 1,400 1,366 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $22,660)  23,989 
 Shares Value (000s) 
Money Market Funds - 0.2%   
Fidelity Cash Central Fund, 1.13% (h)   
(Cost $1,300) 1,299,596 1,300 

Purchased Swaptions - 0.1%    
 Expiration Date Notional Amount (000s) Value (000s) 
Put Options - 0.1%    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.495% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/5/20 5,300 $172 
Option on an interest rate swap with JPMorgan Chase Bank NA to pay semi-annually a fixed rate of 2.5575% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/6/20 3,600 110 
TOTAL PUT OPTIONS   282 
Call Options - 0.0%    
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.495% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/5/20 5,300 151 
Option on an interest rate swap with JPMorgan Chase Bank NA to receive semi-annually a fixed rate of 2.5575% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2027 10/6/20 3,600 109 
TOTAL CALL OPTIONS   260 
TOTAL PURCHASED SWAPTIONS    
(Cost $590)   542 
TOTAL INVESTMENT IN SECURITIES - 99.9%    
(Cost $555,110)   552,252 
NET OTHER ASSETS (LIABILITIES) - 0.1%   517 
NET ASSETS - 100%   $552,769 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount (000s) Value (000s) Unrealized Appreciation/(Depreciation) (000s) 
Purchased      
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 196 March 2018 $42,024 $(34) $(34) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 51 March 2018 5,934 (21) (21) 
TOTAL FUTURES CONTRACTS     $(55) 

The notional amount of futures purchased as a percentage of Net Assets is 8.7%

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

Legend

 (a) 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 $129,000.

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

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

 (d) 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.

 (e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,586,000 or 0.6% of net assets.

 (f) 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.

 (g) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

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


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 $20 
Total $20 

Investment Valuation

The following is a summary of the inputs used, as of November 30, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
(Amounts in thousands)     
Investments in Securities:     
U.S. Government and Government Agency Obligations $344,666 $-- $344,666 $-- 
U.S. Government Agency - Mortgage Securities 18,935 -- 18,935 -- 
Asset-Backed Securities 5,733 -- 5,733 -- 
Collateralized Mortgage Obligations 118,092 -- 118,092 -- 
Commercial Mortgage Securities 38,995 -- 38,995 -- 
Foreign Government and Government Agency Obligations 23,989 -- 23,989 -- 
Money Market Funds 1,300 1,300 -- -- 
Purchased Swaptions 542 -- 542 -- 
Total Investments in Securities: $552,252 $1,300 $550,952 $-- 
Derivative Instruments:     
Liabilities     
Futures Contracts $(55) $(55) $-- $-- 
Total Liabilities $(55) $(55) $-- $-- 
Total Derivative Instruments: $(55) $(55) $-- $-- 

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the 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: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

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. Foreign government and government agency obligations 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.

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.

Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

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

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





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

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


Quarterly Holdings Report
for

Fidelity® Total Bond Fund

November 30, 2017







TBD-QTLY-0118
1.824865.113





Investments November 30, 2017 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 31.2%   
 Principal Amount(a) Value 
CONSUMER DISCRETIONARY - 3.1%   
Auto Components - 0.1%   
Delphi Jersey Holdings PLC 5% 10/1/25 (b) $2,215,000 $2,249,620 
J.B. Poindexter & Co., Inc. 9% 4/1/22 (b) 2,442,000 2,548,838 
Metalsa SA de CV 4.9% 4/24/23 (b) 4,850,000 4,862,125 
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) EUR2,100,000 2,467,931 
Tenedora Nemak SA de CV 5.5% 2/28/23 (b) 3,210,000 3,298,275 
Tupy Overseas SA 6.625% 7/17/24 (b) 530,000 563,178 
  15,989,967 
Automobiles - 0.6%   
General Motors Co. 3.5% 10/2/18 9,215,000 9,321,938 
General Motors Financial Co., Inc.:   
3.15% 1/15/20 27,252,000 27,585,515 
3.2% 7/13/20 20,200,000 20,493,799 
3.25% 5/15/18 4,810,000 4,839,763 
3.5% 7/10/19 10,761,000 10,942,048 
4% 1/15/25 18,085,000 18,425,252 
4.2% 3/1/21 26,269,000 27,382,128 
4.25% 5/15/23 5,420,000 5,657,104 
4.375% 9/25/21 47,963,000 50,513,419 
Volkswagen International Finance NV:   
1.125% 10/2/23 (Reg. S) EUR2,600,000 3,180,941 
2.7%(Reg. S) (c)(d) EUR1,800,000 2,207,795 
  180,549,702 
Distributors - 0.0%   
American Tire Distributors, Inc. 10.25% 3/1/22 (b) 1,740,000 1,779,150 
Diversified Consumer Services - 0.0%   
Ingersoll-Rand Global Holding Co. Ltd.:   
2.875% 1/15/19 1,206,000 1,212,535 
4.25% 6/15/23 8,466,000 9,029,178 
Laureate Education, Inc. 8.25% 5/1/25 (b) 4,615,000 4,883,224 
  15,124,937 
Hotels, Restaurants & Leisure - 0.4%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (b) 5,035,000 5,042,553 
5% 10/15/25 (b) 8,415,000 8,620,116 
Aramark Services, Inc.:   
4.75% 6/1/26 7,225,000 7,486,906 
5.125% 1/15/24 2,520,000 2,658,600 
Carlson Travel, Inc. 9.5% 12/15/24 (b) 3,895,000 3,544,450 
ESH Hospitality, Inc. 5.25% 5/1/25 (b) 1,100,000 1,119,250 
FelCor Lodging LP 5.625% 3/1/23 135,000 139,050 
Golden Nugget, Inc. 6.75% 10/15/24 (b) 4,660,000 4,759,025 
Hilton Escrow Issuer LLC 4.25% 9/1/24 7,280,000 7,389,200 
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. 6.125% 12/1/24 (b) 1,380,000 1,504,200 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 2,580,000 2,667,075 
4.875% 4/1/27 1,530,000 1,612,773 
KFC Holding Co./Pizza Hut Holding LLC:   
4.75% 6/1/27 (b) 1,580,000 1,616,972 
5% 6/1/24 (b) 4,515,000 4,729,463 
5.25% 6/1/26 (b) 1,790,000 1,892,925 
McDonald's Corp.:   
2.75% 12/9/20 3,638,000 3,681,645 
3.7% 1/30/26 9,591,000 9,968,968 
MCE Finance Ltd. 4.875% 6/6/25 (b) 9,515,000 9,584,311 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 13,345,000 13,445,088 
4.5% 1/15/28 (b) 3,775,000 3,751,406 
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 540,000 554,850 
Scientific Games Corp.:   
5% 10/15/25 (b) 585,000 591,581 
6.625% 5/15/21 6,270,000 6,458,100 
7% 1/1/22 (b) 1,700,000 1,793,500 
Silversea Cruises 7.25% 2/1/25 (b) 1,395,000 1,503,113 
Station Casinos LLC 5% 10/1/25 (b) 4,290,000 4,288,413 
Studio City Co. Ltd.:   
5.875% 11/30/19 (b) 2,555,000 2,654,006 
7.25% 11/30/21 (b) 4,925,000 5,220,500 
Times Square Hotel Trust 8.528% 8/1/26 (b) 1,004,701 1,176,722 
Viking Cruises Ltd. 5.875% 9/15/27 (b) 1,945,000 1,966,881 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) 4,730,000 4,821,620 
Wynn Macau Ltd.:   
4.875% 10/1/24 (b) 1,475,000 1,497,125 
5.5% 10/1/27 (b) 4,440,000 4,495,500 
Yum! Brands, Inc. 5.35% 11/1/43 3,280,000 3,157,000 
  135,392,887 
Household Durables - 0.2%   
Beazer Homes U.S.A., Inc. 5.875% 10/15/27 (b) 3,770,000 3,779,425 
CalAtlantic Group, Inc.:   
5% 6/15/27 3,810,000 3,943,350 
5.25% 6/1/26 4,285,000 4,499,250 
5.875% 11/15/24 1,775,000 1,972,469 
Lennar Corp.:   
4.125% 1/15/22 2,950,000 3,016,375 
4.75% 11/29/27 (b) 2,660,000 2,719,850 
M.D.C. Holdings, Inc. 6% 1/15/43 1,300,000 1,283,750 
M/I Homes, Inc.:   
5.625% 8/1/25 1,060,000 1,075,900 
6.75% 1/15/21 4,265,000 4,424,938 
PulteGroup, Inc. 5% 1/15/27 2,625,000 2,762,288 
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
3 month U.S. LIBOR + 3.500% 4.8592% 7/15/21 (b)(d)(e) 3,930,000 3,998,775 
5.125% 7/15/23 (b) 5,170,000 5,363,875 
5.75% 10/15/20 2,935,000 2,984,528 
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) 1,495,000 1,585,627 
Toll Brothers Finance Corp. 4.875% 3/15/27 683,000 706,905 
TRI Pointe Homes, Inc. 5.25% 6/1/27 2,800,000 2,859,220 
William Lyon Homes, Inc.:   
5.75% 4/15/19 4,175,000 4,206,313 
7% 8/15/22 4,250,000 4,388,125 
  55,570,963 
Internet & Direct Marketing Retail - 0.1%   
Netflix, Inc.:   
4.375% 11/15/26 5,750,000 5,642,188 
4.875% 4/15/28 (b) 4,690,000 4,637,238 
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (b) 5,975,000 6,154,250 
6.375% 5/15/25 8,115,000 8,612,044 
  25,045,720 
Media - 1.7%   
21st Century Fox America, Inc.:   
6.15% 3/1/37 4,759,000 5,838,769 
7.75% 12/1/45 3,932,000 5,794,290 
Altice SA:   
7.25% 5/15/22 (Reg. S) EUR700,000 806,100 
7.75% 5/15/22 (b) 28,085,000 26,750,963 
Altice U.S. Finance SA:   
5.375% 7/15/23 (b) 2,560,000 2,604,800 
5.5% 5/15/26 (b) 5,035,000 5,097,938 
AMC Entertainment Holdings, Inc. 5.875% 11/15/26 1,560,000 1,526,850 
AMC Networks, Inc.:   
4.75% 12/15/22 1,675,000 1,714,111 
4.75% 8/1/25 3,780,000 3,751,650 
Cablevision SA 6.5% 6/15/21 (b) 430,000 456,376 
Cablevision Systems Corp. 7.75% 4/15/18 2,110,000 2,146,925 
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.:   
5.625% 2/15/24 1,265,000 1,328,250 
5.875% 3/15/25 565,000 596,075 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4% 3/1/23 (b) 6,395,000 6,391,003 
5% 2/1/28 (b) 11,610,000 11,377,800 
5.125% 2/15/23 1,130,000 1,158,250 
5.125% 5/1/23 (b) 7,520,000 7,783,200 
5.125% 5/1/27 (b) 9,395,000 9,306,922 
5.5% 5/1/26 (b) 9,005,000 9,216,077 
5.75% 2/15/26 (b) 3,370,000 3,496,375 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 20,419,000 21,283,631 
4.908% 7/23/25 20,419,000 21,568,184 
5.375% 5/1/47 51,316,000 51,870,213 
6.484% 10/23/45 8,199,000 9,426,788 
Comcast Corp. 6.45% 3/15/37 2,196,000 2,917,119 
CSC Holdings LLC 6.75% 11/15/21 8,225,000 8,841,875 
CSC Holdings, Inc. 5.5% 4/15/27 (b) 4,045,000 4,100,619 
E.W. Scripps Co. 5.125% 5/15/25 (b) 1,685,000 1,680,788 
Globo Comunicacao e Participacoes SA:   
4.843% 6/8/25 (b) 1,820,000 1,865,500 
4.875% 4/11/22 (b) 565,000 590,425 
5.125% 3/31/27 (b) 580,000 590,875 
Gray Television, Inc. 5.875% 7/15/26 (b) 1,700,000 1,725,500 
Grupo Televisa SA de CV 6.625% 3/18/25 440,000 522,833 
Lagardere S.C.A. 1.625% 6/21/24 (Reg. S) EUR4,500,000 5,343,752 
MDC Partners, Inc. 6.5% 5/1/24 (b) 7,880,000 7,919,400 
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(d) 9,210,000 9,210,000 
Myriad International Holding BV 5.5% 7/21/25 (b) 1,040,000 1,129,544 
NBCUniversal, Inc. 5.15% 4/30/20 11,614,000 12,414,316 
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(d) 4,958,504 4,859,334 
Sirius XM Radio, Inc.:   
3.875% 8/1/22 (b) 6,090,000 6,136,893 
5% 8/1/27 (b) 5,730,000 5,794,463 
SKY PLC 2.25% 11/17/25 (Reg. S) EUR2,650,000 3,385,716 
Time Warner Cable, Inc.:   
4% 9/1/21 20,277,000 20,836,240 
4.5% 9/15/42 30,539,000 28,247,374 
5.5% 9/1/41 12,973,000 13,520,157 
5.875% 11/15/40 16,544,000 17,796,850 
6.55% 5/1/37 38,302,000 43,852,323 
6.75% 7/1/18 13,763,000 14,122,149 
7.3% 7/1/38 38,728,000 47,700,413 
8.25% 4/1/19 24,391,000 26,228,826 
Time Warner, Inc.:   
3.6% 7/15/25 6,406,000 6,428,010 
6.2% 3/15/40 11,792,000 13,987,833 
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) 3,089,000 3,266,618 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (b) 2,920,000 3,018,550 
Virgin Media Secured Finance PLC:   
5.5% 1/15/25 (b) 2,500,000 2,606,250 
5.5% 8/15/26 (b) 4,335,000 4,526,607 
VTR Finance BV 6.875% 1/15/24 (b) 2,630,000 2,781,225 
Ziggo Bond Finance BV:   
5.875% 1/15/25 (b) 3,100,000 3,100,000 
6% 1/15/27 (b) 5,605,000 5,518,123 
Ziggo Secured Finance BV 5.5% 1/15/27 (b) 4,540,000 4,581,087 
  552,439,127 
Multiline Retail - 0.0%   
JC Penney Corp., Inc.:   
5.65% 6/1/20 3,445,000 3,186,625 
5.875% 7/1/23 (b) 980,000 922,425 
7.4% 4/1/37 12,160,000 7,660,800 
  11,769,850 
Specialty Retail - 0.0%   
Jaguar Land Rover PLC 4.5% 10/1/27 (b) 3,915,000 3,878,297 
PetSmart, Inc. 5.875% 6/1/25 (b) 1,000,000 860,000 
  4,738,297 
TOTAL CONSUMER DISCRETIONARY  998,400,600 
CONSUMER STAPLES - 1.7%   
Beverages - 0.7%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 38,614,000 38,901,480 
3.3% 2/1/23 41,589,000 42,641,129 
4.7% 2/1/36 42,171,000 46,691,187 
4.9% 2/1/46 45,032,000 50,747,894 
Anheuser-Busch InBev SA NV 1.75% 3/7/25 (Reg. S) GBP3,600,000 4,767,338 
Anheuser-Busch InBev Worldwide, Inc. 3.75% 1/15/22 10,217,000 10,661,801 
Central American Bottling Corp. 5.75% 1/31/27 (b) 450,000 473,400 
Constellation Brands, Inc.:   
3.875% 11/15/19 2,360,000 2,428,266 
4.25% 5/1/23 5,205,000 5,522,633 
6% 5/1/22 21,795,000 24,547,625 
Cott Holdings, Inc. 5.5% 4/1/25 (b) 2,025,000 2,086,763 
  229,469,516 
Food & Staples Retailing - 0.2%   
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC:   
5.75% 3/15/25 4,430,000 3,941,371 
6.625% 6/15/24 2,215,000 2,093,175 
Albertsons, Inc.:   
6.625% 6/1/28 705,000 546,375 
7.45% 8/1/29 645,000 537,769 
7.75% 6/15/26 765,000 665,550 
8% 5/1/31 4,040,000 3,449,796 
8.7% 5/1/30 560,000 497,000 
C&S Group Enterprises LLC 5.375% 7/15/22 (b) 3,335,000 3,084,875 
CVS Health Corp.:   
2.8% 7/20/20 15,202,000 15,289,689 
3.5% 7/20/22 8,944,000 9,109,497 
4% 12/5/23 8,525,000 8,877,987 
ESAL GmbH 6.25% 2/5/23 (b) 645,000 620,813 
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (b) 845,000 840,775 
Minerva Luxembourg SA:   
6.5% 9/20/26 (b) 1,500,000 1,554,705 
7.75% 1/31/23 (Reg. S) 2,144,000 2,235,120 
Tesco PLC:   
5% 3/24/23 GBP1,100,000 1,667,595 
6.125% 2/24/22 GBP550,000 856,608 
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (b) 5,155,000 2,938,350 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 8,473,000 8,532,504 
3.3% 11/18/21 10,050,000 10,228,373 
  77,567,927 
Food Products - 0.1%   
CF Industries Holdings, Inc.:   
3.4% 12/1/21 (b) 1,915,000 1,938,634 
3.45% 6/1/23 3,115,000 3,068,742 
4.5% 12/1/26 (b) 1,380,000 1,441,480 
5.15% 3/15/34 280,000 282,100 
Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) 800,000 860,800 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 2,145,000 2,217,394 
4.875% 11/1/26 (b) 1,555,000 1,636,638 
Post Holdings, Inc.:   
5% 8/15/26 (b) 3,240,000 3,211,650 
5.625% 1/15/28 (b) 3,245,000 3,269,338 
5.75% 3/1/27 (b) 2,690,000 2,744,607 
  20,671,383 
Tobacco - 0.7%   
Altria Group, Inc.:   
2.85% 8/9/22 9,573,000 9,621,784 
4% 1/31/24 6,408,000 6,823,000 
Bat Capital Corp. 2.125% 8/15/25 GBP3,050,000 4,054,809 
Imperial Tobacco Finance PLC:   
2.05% 2/11/18 (b) 19,975,000 19,978,795 
2.05% 7/20/18 (b) 8,743,000 8,742,074 
2.95% 7/21/20 (b) 20,000,000 20,191,031 
3.75% 7/21/22 (b) 20,300,000 20,990,220 
4.25% 7/21/25 (b) 18,467,000 19,305,301 
8.125% 3/15/24 GBP1,850,000 3,335,787 
Reynolds American, Inc.:   
2.3% 6/12/18 7,358,000 7,372,818 
3.25% 6/12/20 3,274,000 3,333,301 
4% 6/12/22 11,386,000 11,879,332 
4.45% 6/12/25 14,753,000 15,747,065 
5.7% 8/15/35 4,237,000 4,984,564 
5.85% 8/15/45 35,690,000 43,463,121 
6.15% 9/15/43 4,511,000 5,693,781 
7.25% 6/15/37 5,056,000 6,975,053 
Vector Group Ltd. 6.125% 2/1/25 (b) 7,705,000 8,032,463 
  220,524,299 
TOTAL CONSUMER STAPLES  548,233,125 
ENERGY - 6.4%   
Energy Equipment & Services - 0.4%   
Borets Finance DAC 6.5% 4/7/22 (b) 1,345,000 1,434,550 
Calfrac Holdings LP 7.5% 12/1/20 (b) 3,560,000 3,506,600 
Diamond Offshore Drilling, Inc. 7.875% 8/15/25 2,910,000 3,033,675 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 18,884,000 20,171,474 
6.5% 4/1/20 738,000 799,874 
Ensco PLC:   
4.5% 10/1/24 5,165,000 4,190,106 
5.2% 3/15/25 16,510,000 13,538,200 
5.75% 10/1/44 7,801,000 5,148,660 
8% 1/31/24 3,943,000 3,864,140 
Exterran Energy Solutions LP 8.125% 5/1/25 (b) 1,920,000 2,044,800 
Exterran Partners LP/EXLP Finance Corp.:   
6% 4/1/21 3,210,000 3,193,950 
6% 10/1/22 995,000 992,513 
Forum Energy Technologies, Inc. 6.25% 10/1/21 3,780,000 3,761,100 
FTS International, Inc.:   
3 month U.S. LIBOR + 7.500% 8.82% 6/15/20 (b)(d)(e) 1,625,000 1,657,500 
6.25% 5/1/22 1,780,000 1,722,150 
Halliburton Co.:   
3.8% 11/15/25 9,790,000 10,085,058 
4.85% 11/15/35 8,550,000 9,336,247 
Jonah Energy LLC 7.25% 10/15/25 (b) 2,755,000 2,782,550 
Nabors Industries, Inc. 5.5% 1/15/23 9,992,000 9,667,260 
Noble Holding International Ltd.:   
4.625% 3/1/21 3,493,000 3,204,828 
5.25% 3/15/42 1,890,000 1,124,550 
5.75% 3/16/18 1,187,000 1,186,288 
7.7% 4/1/25 (d) 10,335,000 8,707,238 
7.75% 1/15/24 5,390,000 4,662,350 
8.7% 4/1/45 (d) 7,307,000 5,735,995 
Precision Drilling Corp.:   
5.25% 11/15/24 1,290,000 1,209,375 
6.5% 12/15/21 838,000 852,665 
7.125% 1/15/26 (b) 1,620,000 1,632,166 
7.75% 12/15/23 4,985,000 5,147,013 
SESI LLC 7.75% 9/15/24 (b) 1,220,000 1,256,600 
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 2,555,000 2,888,090 
Summit Midstream Holdings LLC 5.75% 4/15/25 3,385,000 3,393,463 
The Oil and Gas Holding Co. 7.5% 10/25/27 (b) 870,000 894,360 
  142,825,388 
Oil, Gas & Consumable Fuels - 6.0%   
Abu Dhabi Crude Oil Pipeline 4.6% 11/2/47 (b) 365,000 372,300 
Afren PLC:   
6.625% 12/9/20 (b)(f)(g) 770,910 278 
10.25% 4/8/19 (Reg. S) (f)(g) 2,024,860 364 
Anadarko Finance Co. 7.5% 5/1/31 29,585,000 37,787,694 
Anadarko Petroleum Corp.:   
4.85% 3/15/21 6,730,000 7,124,943 
5.55% 3/15/26 13,807,000 15,347,999 
6.45% 9/15/36 4,370,000 5,262,339 
6.6% 3/15/46 22,460,000 28,146,817 
Antero Resources Corp.:   
5% 3/1/25 7,605,000 7,738,088 
5.125% 12/1/22 8,335,000 8,543,375 
5.625% 6/1/23 (Reg. S) 4,310,000 4,493,175 
Antero Resources Finance Corp. 5.375% 11/1/21 3,675,000 3,766,875 
California Resources Corp. 8% 12/15/22 (b) 5,050,000 3,737,000 
Canadian Natural Resources Ltd.:   
1.75% 1/15/18 6,049,000 6,046,413 
3.9% 2/1/25 24,997,000 25,575,730 
5.85% 2/1/35 10,897,000 12,657,826 
Cenovus Energy, Inc. 4.25% 4/15/27 (b) 31,079,000 30,740,814 
Cheniere Corpus Christi Holdings LLC:   
5.125% 6/30/27 (b) 3,595,000 3,707,344 
5.875% 3/31/25 5,295,000 5,738,456 
7% 6/30/24 4,155,000 4,715,925 
Chesapeake Energy Corp.:   
4.875% 4/15/22 3,735,000 3,473,550 
5.75% 3/15/23 5,580,000 5,133,600 
6.125% 2/15/21 3,783,000 3,811,373 
8% 12/15/22 (b) 5,875,000 6,271,563 
8% 1/15/25 (b) 2,890,000 2,875,550 
8% 6/15/27 (b) 3,295,000 3,155,951 
Columbia Pipeline Group, Inc.:   
2.45% 6/1/18 3,149,000 3,154,284 
3.3% 6/1/20 15,490,000 15,740,624 
4.5% 6/1/25 4,707,000 5,003,030 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 5.07% 6/15/22 (b)(d)(e) 12,775,000 12,721,247 
6.875% 6/15/25 (b) 4,700,000 4,993,750 
Continental Resources, Inc.:   
3.8% 6/1/24 4,150,000 4,087,750 
4.5% 4/15/23 8,290,000 8,455,800 
4.9% 6/1/44 1,255,000 1,192,250 
Covey Park Energy LLC 7.5% 5/15/25 (b) 3,920,000 4,096,400 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 8,710,000 8,949,525 
DCP Midstream LLC:   
4.75% 9/30/21 (b) 11,333,000 11,644,658 
5.85% 5/21/43 (b)(d) 6,758,000 6,284,940 
DCP Midstream Operating LP 3.875% 3/15/23 5,532,000 5,518,170 
Denbury Resources, Inc. 9% 5/15/21 (b) 4,000,000 3,850,000 
Dolphin Energy Ltd. 5.5% 12/15/21 (b) 550,000 598,125 
Duke Energy Field Services 6.45% 11/3/36 (b) 13,741,000 14,702,870 
El Paso Corp. 6.5% 9/15/20 16,140,000 17,711,662 
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) 9,045,000 9,438,888 
Enable Midstream Partners LP:   
2.4% 5/15/19 (d) 4,028,000 4,005,509 
3.9% 5/15/24 (d) 4,249,000 4,263,486 
Enbridge Energy Partners LP:   
4.2% 9/15/21 13,331,000 13,911,833 
4.375% 10/15/20 11,319,000 11,807,586 
Enbridge, Inc.:   
4.25% 12/1/26 7,730,000 8,052,379 
5.5% 12/1/46 8,922,000 10,280,972 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (b) 860,000 870,750 
5.75% 1/30/28 (b) 865,000 874,731 
7% 8/15/21 (b) 8,190,000 8,476,650 
Energy Transfer Equity LP 4.25% 3/15/23 3,880,000 3,909,100 
Enterprise Products Operating LP:   
2.55% 10/15/19 2,971,000 2,981,491 
3.75% 2/15/25 9,982,000 10,259,102 
EP Energy LLC/Everest Acquisition Finance, Inc. 8% 11/29/24 (b) 6,325,000 6,325,000 
Extraction Oil & Gas, Inc. 7.375% 5/15/24 (b) 2,770,000 2,950,050 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 1,875,000 2,007,422 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 5,165,000 5,268,300 
7% 6/15/23 9,970,000 10,219,250 
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) 2,575,000 2,642,594 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (b) 3,855,000 3,864,638 
5.75% 10/1/25 (b) 2,135,000 2,199,691 
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 2,030,000 2,110,090 
KazMunaiGaz Finance Sub BV 4.875% 5/7/25 (b) 700,000 717,444 
Kinder Morgan Energy Partners LP:   
3.5% 3/1/21 11,339,000 11,584,656 
5.5% 3/1/44 42,953,000 45,176,983 
6.55% 9/15/40 1,889,000 2,193,451 
Kinder Morgan, Inc.:   
5% 2/15/21 (b) 10,606,000 11,296,590 
5.05% 2/15/46 4,854,000 4,893,584 
Kosmos Energy Ltd.:   
7.875% 8/1/21 (b) 1,775,000 1,814,938 
7.875% 8/1/21 (b) 1,500,000 1,533,750 
Marathon Petroleum Corp. 5.125% 3/1/21 10,178,000 10,943,188 
Nakilat, Inc. 6.067% 12/31/33 (b) 1,975,000 2,291,000 
Newfield Exploration Co. 5.375% 1/1/26 1,260,000 1,341,900 
NGL Energy Partners LP/NGL Energy Finance Corp. 6.125% 3/1/25 925,000 897,250 
NGPL PipeCo LLC:   
4.375% 8/15/22 (b) 505,000 517,625 
4.875% 8/15/27 (b) 505,000 524,276 
Nostrum Oil & Gas Finance BV:   
6.375% 2/14/19 (b) 5,475,000 5,488,600 
8% 7/25/22 (b) 4,340,000 4,521,846 
Pacific Exploration and Production Corp.:   
10% 11/2/21 pay-in-kind (d) 1,204,000 1,369,550 
10% 11/2/21 pay-in-kind (b)(d) 1,040,000 1,183,000 
Pan American Energy LLC 7.875% 5/7/21 (b) 2,858,000 3,078,981 
Parsley Energy LLC/Parsley:   
5.25% 8/15/25 (b) 715,000 718,575 
5.375% 1/15/25 (b) 1,170,000 1,184,625 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 655,000 687,750 
PBF Logistics LP/PBF Logistics Finance, Inc.:   
6.875% 5/15/23 4,365,000 4,517,775 
6.875% 5/15/23 (b) 3,080,000 3,187,800 
PDC Energy, Inc. 5.75% 5/15/26 (b) 3,995,000 4,134,825 
Pemex Project Funding Master Trust 6.625% 6/15/35 4,605,000 4,966,032 
Petro-Canada 6.05% 5/15/18 3,850,000 3,917,490 
Petrobras Energia SA 7.375% 7/21/23 (b) 1,555,000 1,696,007 
Petrobras Global Finance BV:   
4.375% 5/20/23 20,096,000 19,854,848 
4.75% 1/14/25 EUR450,000 591,156 
5.625% 5/20/43 18,504,000 16,584,210 
5.999% 1/27/28 (b) 59,620,000 59,977,720 
6.125% 1/17/22 12,075,000 12,859,875 
6.25% 3/17/24 21,380,000 22,734,423 
7.25% 3/17/44 45,050,000 47,020,938 
7.375% 1/17/27 41,110,000 45,303,220 
8.75% 5/23/26 55,990,000 66,838,063 
Petrobras International Finance Co. Ltd.:   
5.375% 1/27/21 44,755,000 46,545,200 
5.875% 3/7/22 EUR200,000 276,135 
6.875% 1/20/40 1,220,000 1,239,825 
Petroleos de Venezuela SA:   
5.375% 4/12/27 975,000 233,025 
5.5% 4/12/37 1,520,000 349,600 
6% 5/16/24 (b) 2,930,000 673,900 
6% 11/15/26 (b) 2,810,000 618,200 
8.5% 10/27/20 (b) 693,750 541,125 
9.75% 5/17/35 (b) 4,785,000 1,291,950 
12.75% 2/17/22 (b) 270,000 76,950 
Petroleos Mexicanos:   
2.5% 8/21/21 (Reg. S) EUR6,200,000 7,719,969 
3.5% 7/23/20 13,960,000 14,184,198 
3.5% 1/30/23 11,169,000 10,956,789 
4.5% 1/23/26 46,043,000 46,033,791 
4.625% 9/21/23 80,440,000 83,054,300 
4.875% 1/24/22 12,482,000 13,049,806 
4.875% 1/18/24 13,597,000 14,140,880 
5.5% 1/21/21 12,189,000 13,011,758 
5.5% 6/27/44 10,807,000 10,109,949 
5.625% 1/23/46 35,710,000 33,388,850 
6% 3/5/20 6,145,000 6,553,643 
6.375% 2/4/21 785,000 857,613 
6.375% 1/23/45 29,907,000 30,505,140 
6.5% 3/13/27 (b) 33,960,000 37,449,390 
6.5% 3/13/27 (b) 57,927,000 63,878,999 
6.5% 6/2/41 27,982,000 29,163,120 
6.625% (b)(c) 2,510,000 2,543,132 
6.75% 9/21/47 (b) 24,580,000 25,990,892 
6.75% 9/21/47 25,666,000 27,139,228 
6.875% 8/4/26 41,650,000 47,522,650 
8% 5/3/19 8,600,000 9,262,200 
Phillips 66 Co. 4.3% 4/1/22 12,618,000 13,402,564 
Phillips 66 Partners LP 2.646% 2/15/20 1,316,000 1,317,187 
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 5,217,000 5,248,672 
PT Pertamina Persero 6.5% 5/27/41 (b) 510,000 612,180 
Range Resources Corp.:   
4.875% 5/15/25 2,960,000 2,886,000 
5% 8/15/22 1,725,000 1,718,531 
5% 3/15/23 9,650,000 9,553,500 
Sabine Pass Liquefaction LLC 5.75% 5/15/24 1,440,000 1,597,384 
SemGroup Corp. 7.25% 3/15/26 (b) 1,885,000 1,927,413 
Sinopec Group Overseas Development 2.5% 9/13/22 (Reg. S) 6,750,000 6,605,726 
Sinopec Group Overseas Development (2015) Ltd. 1% 4/28/22 (Reg. S) EUR2,675,000 3,231,458 
Southwestern Energy Co.:   
4.1% 3/15/22 1,540,000 1,513,050 
6.7% 1/23/25 (d) 34,312,000 35,684,480 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 43,401,000 43,212,011 
Sunoco LP/Sunoco Finance Corp.:   
5.5% 8/1/20 1,445,000 1,485,460 
6.375% 4/1/23 6,650,000 7,024,063 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
5% 1/15/28 (b) 5,175,000 5,136,188 
5.125% 2/1/25 1,210,000 1,237,225 
5.25% 5/1/23 685,000 702,125 
6.75% 3/15/24 4,420,000 4,751,500 
The Williams Companies, Inc.:   
3.7% 1/15/23 3,730,000 3,730,000 
4.55% 6/24/24 41,276,000 42,772,255 
5.75% 6/24/44 19,187,000 20,218,301 
Transportadora de Gas del Sur SA 9.625% 5/14/20 (b) 3,316,317 3,566,533 
Tullow Oil PLC 6% 11/1/20 (b) 810,000 816,075 
Western Gas Partners LP:   
4.65% 7/1/26 4,876,000 5,060,567 
5.375% 6/1/21 44,065,000 46,873,192 
Whiting Petroleum Corp.:   
5% 3/15/19 2,595,000 2,614,463 
5.75% 3/15/21 1,350,000 1,356,750 
6.25% 4/1/23 1,780,000 1,780,000 
Williams Partners LP:   
3.6% 3/15/22 10,817,000 11,069,771 
3.9% 1/15/25 26,667,000 27,161,101 
4% 11/15/21 6,716,000 6,961,937 
4% 9/15/25 3,000,000 3,056,774 
4.125% 11/15/20 2,399,000 2,490,673 
4.3% 3/4/24 40,932,000 42,896,269 
4.5% 11/15/23 7,325,000 7,756,847 
WPX Energy, Inc.:   
5.25% 9/15/24 4,250,000 4,175,625 
6% 1/15/22 2,480,000 2,554,400 
7.5% 8/1/20 4,492,000 4,873,820 
YPF SA:   
8.5% 3/23/21 (b) 4,985,000 5,643,020 
8.5% 3/23/21 (Reg. S) 1,500,000 1,698,000 
8.75% 4/4/24 (b) 5,445,000 6,260,117 
8.875% 12/19/18 (Reg. S) 2,150,000 2,276,205 
Zhaikmunai International BV 7.125% 11/13/19 (b) 650,000 657,574 
  1,905,323,076 
TOTAL ENERGY  2,048,148,464 
FINANCIALS - 10.5%   
Banks - 4.7%   
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (d) 5,400,000 5,575,678 
Access Bank PLC 10.5% 10/19/21 (b) 795,000 894,773 
Akbank T.A.S. 6.5% 3/9/18 (Reg. S) 3,100,000 3,123,250 
Akbank TAS/Ak Finansal Kiralama A/S 7.2% 3/16/27 (b)(d) 695,000 722,348 
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (d) EUR3,450,000 4,460,331 
Banco de Bogota SA 6.25% 5/12/26 (b) 690,000 747,960 
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 1,675,000 1,765,475 
Banco Do Brasil SA 4.625% 1/15/25 (b) 2,490,000 2,452,650 
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) (f) EUR1,300,000 433,251 
Banco Hipotecario SA 9.75% 11/30/20 (b) 5,205,000 5,927,975 
Banco Macro SA 6.75% 11/4/26 (b)(d) 1,970,000 2,036,488 
Banco Nacional de Desenvolvimento Economico e Social:   
4% 4/14/19 (b) 500,000 508,000 
6.369% 6/16/18 (b) 1,125,000 1,145,689 
Bank of America Corp.:   
1.776% 5/4/27 (Reg. S) (d) EUR4,350,000 5,396,185 
2% 1/11/18 50,000,000 50,013,464 
2.25% 4/21/20 66,694,000 66,522,174 
2.6% 1/15/19 8,068,000 8,112,261 
3.3% 1/11/23 901,000 919,791 
3.5% 4/19/26 20,559,000 20,891,278 
3.705% 4/24/28 (d) 32,549,000 33,336,750 
3.875% 8/1/25 22,129,000 23,195,675 
3.95% 4/21/25 17,156,000 17,637,088 
4.1% 7/24/23 11,481,000 12,167,393 
4.2% 8/26/24 40,532,000 42,564,087 
4.25% 10/22/26 14,724,000 15,447,673 
5.65% 5/1/18 8,780,000 8,915,659 
5.75% 12/1/17 21,955,000 21,955,000 
5.875% 1/5/21 6,530,000 7,177,849 
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 905,000 897,078 
Barclays Bank PLC 6.75% 1/16/23 (d) GBP1,250,000 1,701,793 
Barclays PLC:   
2.75% 11/8/19 12,249,000 12,308,444 
3.25% 1/12/21 21,116,000 21,382,209 
4.375% 1/12/26 25,086,000 26,065,558 
BBVA Bancomer SA:   
7.25% 4/22/20 (b) 975,000 1,060,313 
7.25% 4/22/20 (Reg. S) 3,300,000 3,588,750 
BTA Bank JSC 5.5% 12/21/22 (b) 1,115,000 1,112,436 
CaixaBank SA:   
2.75% 7/14/28 (Reg. S) (d) EUR1,400,000 1,702,267 
5% 11/14/23 (Reg. S) (d) EUR2,700,000 3,349,774 
CBOM Finance PLC 7.5% 10/5/27 (b)(d) 3,950,000 3,643,875 
Citigroup, Inc.:   
1.8% 2/5/18 33,287,000 33,290,828 
2.4% 2/18/20 60,588,000 60,550,029 
2.65% 10/26/20 20,000,000 20,072,287 
2.75% 4/25/22 25,000,000 24,939,656 
4.05% 7/30/22 5,303,000 5,526,762 
4.4% 6/10/25 40,790,000 42,841,159 
4.45% 9/29/27 10,000,000 10,505,177 
5.125% 12/12/18 GBP1,875,000 2,635,882 
5.5% 9/13/25 20,027,000 22,531,332 
Citizens Bank NA 2.55% 5/13/21 6,564,000 6,543,150 
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) 15,987,000 16,551,042 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 19,455,000 19,556,363 
3.75% 3/26/25 19,450,000 19,863,673 
3.8% 9/15/22 30,700,000 31,700,905 
3.8% 6/9/23 36,648,000 37,869,971 
CYBG PLC 3.125% 6/22/25 (Reg. S) (d) GBP1,300,000 1,783,258 
Discover Bank:   
4.2% 8/8/23 17,852,000 18,805,190 
7% 4/15/20 2,030,000 2,223,544 
Fidelity Bank PLC 10.5% 10/16/22 (b) 800,000 808,160 
Fifth Third Bancorp:   
4.5% 6/1/18 798,000 807,781 
8.25% 3/1/38 4,667,000 7,023,531 
HBOS PLC 6.75% 5/21/18 (b) 6,067,000 6,197,063 
HSBC Bank PLC 5% 3/20/23 (d) GBP967,000 1,322,159 
HSBC Holdings PLC:   
2.256% 11/13/26 (Reg. S) (d) GBP3,250,000 4,358,590 
4.25% 3/14/24 6,192,000 6,439,535 
HSBC U.S.A., Inc. 1.625% 1/16/18 11,125,000 11,125,098 
Huntington Bancshares, Inc. 7% 12/15/20 2,851,000 3,203,882 
Intesa Sanpaolo SpA 5.71% 1/15/26 (b) 28,396,000 30,100,564 
Itau Unibanco Holding SA:   
5.125% 5/13/23 (Reg. S) 1,650,000 1,705,605 
5.5% 8/6/22 (b) 1,155,000 1,208,130 
6.2% 12/21/21 (Reg. S) 980,000 1,055,460 
JPMorgan Chase & Co.:   
1.625% 5/15/18 12,580,000 12,572,633 
2.2% 10/22/19 7,268,000 7,270,431 
2.25% 1/23/20 40,000,000 39,989,889 
2.35% 1/28/19 6,857,000 6,882,122 
2.95% 10/1/26 18,480,000 18,048,782 
3.25% 9/23/22 18,423,000 18,836,523 
3.875% 9/10/24 35,791,000 37,278,018 
4.125% 12/15/26 32,416,000 33,768,690 
4.25% 10/15/20 6,995,000 7,341,061 
4.35% 8/15/21 20,267,000 21,534,253 
4.5% 1/24/22 22,046,000 23,560,584 
4.625% 5/10/21 6,879,000 7,347,684 
4.95% 3/25/20 22,079,000 23,383,055 
JSC BGEO Group 6% 7/26/23 (b) 2,110,000 2,189,125 
Kazkommertsbank Jsc Mtn Bank Ent 8.5% 5/11/18 (b) 2,470,000 2,521,450 
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (d) EUR3,952,000 5,121,336 
Rabobank Nederland 4.375% 8/4/25 25,937,000 27,312,958 
Regions Bank 6.45% 6/26/37 24,618,000 30,774,790 
Regions Financial Corp. 3.2% 2/8/21 11,916,000 12,135,017 
Royal Bank of Scotland Group PLC:   
4.8% 4/5/26 50,452,000 53,884,388 
5.125% 5/28/24 64,006,000 67,975,471 
6% 12/19/23 36,682,000 40,575,332 
6.1% 6/10/23 31,961,000 35,271,964 
6.125% 12/15/22 42,557,000 46,916,042 
SB Capital SA 5.5% 2/26/24 (b)(d) 1,160,000 1,184,360 
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) 1,905,000 2,085,937 
Turkiye Garanti Bankasi A/S 6.125% 5/24/27 (b)(d) 1,020,000 1,007,882 
Turkiye Halk Bankasi A/S 3.875% 2/5/20 (b) 960,000 908,966 
Turkiye Is Bankasi A/S:   
5.5% 4/21/19 (b) 415,000 421,503 
5.5% 4/21/22 (b) 1,725,000 1,716,389 
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (d) 2,665,000 2,666,322 
UniCredit SpA 6.375% 5/2/23 (Reg. S) (d) 1,350,000 1,371,435 
Zenith Bank PLC:   
6.25% 4/22/19 (b) 4,520,000 4,630,740 
7.375% 5/30/22 (b) 3,095,000 3,207,410 
  1,495,697,000 
Capital Markets - 3.3%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 21,008,000 21,092,249 
4.25% 2/15/24 14,661,000 15,385,328 
Argos Merger Sub, Inc. 7.125% 3/15/23 (b) 2,080,000 1,518,400 
Compass Group International BV 0.625% 7/3/24 (Reg. S) EUR3,200,000 3,790,769 
Credit Suisse AG 6% 2/15/18 18,058,000 18,205,705 
Credit Suisse Group AG 5.75% 9/18/25 (Reg. S) (d) EUR5,950,000 8,038,339 
Deutsche Bank AG:   
4.25% 10/14/21 9,738,000 10,134,187 
4.5% 4/1/25 80,571,000 81,731,441 
Deutsche Bank AG London Branch 1.875% 2/13/18 37,777,000 37,779,441 
Deutsche Bank AG New York Branch 3.3% 11/16/22 37,857,000 37,776,019 
Goldman Sachs Group, Inc.:   
1.25% 5/1/25 (Reg. S) EUR2,100,000 2,524,243 
2% 7/27/23 (Reg. S) EUR5,550,000 7,039,828 
2.876% 10/31/22 (d) 100,974,000 100,815,400 
3.691% 6/5/28 (d) 200,926,000 202,722,516 
3.75% 5/22/25 20,000,000 20,500,256 
5.25% 7/27/21 17,105,000 18,599,442 
5.95% 1/18/18 4,975,000 5,000,323 
IntercontinentalExchange, Inc. 2.75% 12/1/20 6,489,000 6,572,928 
Lazard Group LLC 4.25% 11/14/20 10,151,000 10,631,181 
Merrill Lynch & Co., Inc. 5.5% 11/22/21 GBP1,100,000 1,688,387 
Moody's Corp.:   
3.25% 1/15/28 (b) 11,520,000 11,353,819 
4.875% 2/15/24 10,818,000 11,878,488 
Morgan Stanley:   
1% 12/2/22 EUR2,350,000 2,864,931 
2.125% 4/25/18 12,586,000 12,597,672 
2.375% 3/31/21 (Reg. S) EUR3,000,000 3,830,315 
2.8% 6/16/20 30,000,000 30,263,208 
3.125% 7/27/26 108,849,000 106,817,685 
3.7% 10/23/24 37,479,000 38,688,516 
4.875% 11/1/22 26,240,000 28,252,985 
5% 11/24/25 3,189,000 3,484,228 
5.5% 1/26/20 88,000,000 93,579,994 
5.625% 9/23/19 12,714,000 13,439,479 
5.75% 1/25/21 19,879,000 21,759,599 
MSCI, Inc.:   
4.75% 8/1/26 (b) 4,145,000 4,382,509 
5.25% 11/15/24 (b) 4,420,000 4,674,150 
Thomson Reuters Corp. 3.85% 9/29/24 11,394,000 11,802,658 
UBS Group Funding Ltd. 4.125% 9/24/25 (b) 18,881,000 19,798,651 
  1,031,015,269 
Consumer Finance - 0.8%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 7,478,000 7,610,114 
Capital One Financial Corp. 2.45% 4/24/19 10,550,000 10,577,991 
Credito Real S.A.B. de CV 7.5% 3/13/19 (b) 1,465,000 1,501,625 
Discover Financial Services:   
3.85% 11/21/22 34,849,000 35,893,869 
3.95% 11/6/24 14,738,000 15,097,560 
4.1% 2/9/27 24,223,000 24,623,966 
5.2% 4/27/22 12,545,000 13,564,618 
Ford Motor Credit Co. LLC:   
1.724% 12/6/17 18,742,000 18,742,000 
2.24% 6/15/18 19,162,000 19,190,017 
2.597% 11/4/19 52,209,000 52,394,409 
2.875% 10/1/18 13,000,000 13,087,069 
Hyundai Capital America 2.875% 8/9/18 (b) 5,276,000 5,293,165 
SLM Corp.:   
5.5% 1/15/19 725,000 742,763 
5.5% 1/25/23 2,640,000 2,643,300 
Synchrony Financial:   
3% 8/15/19 4,907,000 4,953,601 
3.75% 8/15/21 7,409,000 7,604,736 
4.25% 8/15/24 7,458,000 7,764,380 
  241,285,183 
Diversified Financial Services - 0.6%   
1MDB Global Investments Ltd. 4.4% 3/9/23 1,000,000 963,933 
Annington Funding PLC 2.646% 7/12/25 (Reg. S) GBP2,100,000 2,857,012 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 25,518,000 25,005,279 
3.85% 2/1/25 14,325,000 14,302,468 
3.875% 8/15/22 21,027,000 21,590,323 
4.125% 6/15/26 8,647,000 8,700,583 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) 2,820,000 3,066,750 
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 1,725,000 1,673,250 
CRC Escrow Issuer LLC/CRC Finance LLC 5.25% 10/15/25 (b) 5,880,000 5,887,350 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
4.875% 3/15/19 12,570,000 12,617,138 
5.875% 2/1/22 24,766,000 25,323,235 
6% 8/1/20 2,810,000 2,894,300 
6.25% 2/1/22 2,105,000 2,189,200 
6.75% 2/1/24 2,000,000 2,100,000 
ILFC E-Capital Trust I 3 month U.S. LIBOR + 1.550% 4.36% 12/21/65 (b)(d)(e) 11,760,000 11,289,600 
ILFC E-Capital Trust II 3 month U.S. LIBOR + 1.800% 4.61% 12/21/65 (b)(d)(e) 6,710,000 6,458,375 
Inception Merger Sub, Inc./Rackspace Hosting, Inc. 8.625% 11/15/24 (b) 610,000 654,225 
j2 Cloud Services LLC/j2 Global Communications, Inc. 6% 7/15/25 (b) 1,375,000 1,430,000 
James Hardie International Finance Ltd.:   
4.75% 1/15/25 (b)(h) 1,455,000 1,480,463 
5% 1/15/28 (b)(h) 1,470,000 1,495,725 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 1,695,000 1,815,535 
Radiate Holdco LLC/Radiate Financial Service Ltd. 6.625% 2/15/25 (b) 2,080,000 1,991,600 
Sistema International Funding SA 6.95% 5/17/19 (b) 2,285,000 2,225,659 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) 6,270,000 7,053,750 
Sparc Em Spc 0% 12/5/22 (b) 205,000 187,575 
Tempo Acquisition LLC:   
6.75% 6/1/25 (b) 3,205,000 3,225,031 
6.75% 6/1/25 (b) 1,815,000 1,826,344 
TMK Capital SA 6.75% 4/3/20 (Reg. S) 560,000 590,262 
Voya Financial, Inc. 3.125% 7/15/24 13,804,000 13,680,202 
  184,575,167 
Insurance - 1.1%   
Acrisure LLC 7% 11/15/25 (b) 2,970,000 2,929,163 
AIA Group Ltd. 2.25% 3/11/19 (b) 2,566,000 2,552,927 
American International Group, Inc.:   
2.3% 7/16/19 6,461,000 6,463,778 
3.3% 3/1/21 9,614,000 9,822,897 
3.875% 1/15/35 19,041,000 18,616,797 
4.875% 6/1/22 18,193,000 19,717,525 
Aon Corp. 5% 9/30/20 3,854,000 4,123,512 
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (d) 4,650,000 4,902,095 
Assicurazioni Generali SpA 5.5% 10/27/47 (Reg. S) (d) EUR600,000 860,194 
AXA SA 3.941%(Reg. S) (c)(d) EUR720,000 971,608 
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (d) 2,250,000 2,458,303 
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 3.957% 5/16/46 (b)(d)(e) 1,859,000 1,845,058 
Hartford Financial Services Group, Inc. 5.125% 4/15/22 14,787,000 16,188,982 
Liberty Mutual Group, Inc. 5% 6/1/21 (b) 12,644,000 13,572,482 
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 7,090,000 7,607,145 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) 30,523,000 31,708,664 
MetLife, Inc.:   
1.903% 12/15/17 (d) 2,987,000 2,986,916 
3.048% 12/15/22 (d) 12,433,000 12,622,859 
4.75% 2/8/21 4,032,000 4,323,632 
Metropolitan Life Global Funding I 3% 1/10/23 (b) 7,896,000 7,977,507 
Pacific LifeCorp 5.125% 1/30/43 (b) 33,774,000 37,576,151 
Pricoa Global Funding I 5.375% 5/15/45 (d) 17,492,000 18,803,900 
Prudential Financial, Inc.:   
2.3% 8/15/18 1,622,000 1,627,311 
6.2% 11/15/40 4,318,000 5,861,082 
7.375% 6/15/19 3,230,000 3,478,630 
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(d) 1,000,000 1,019,068 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) 18,083,000 20,378,694 
TIAA Asset Management Finance LLC:   
2.95% 11/1/19 (b) 4,172,000 4,215,554 
4.125% 11/1/24 (b) 6,048,000 6,365,859 
Unum Group:   
3.875% 11/5/25 21,587,000 22,054,314 
4% 3/15/24 20,000,000 20,767,222 
5.625% 9/15/20 8,386,000 9,062,028 
5.75% 8/15/42 25,545,000 30,747,831 
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) 5,555,000 5,624,438 
  359,834,126 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc.:   
4.75% 3/15/25 (b) 1,925,000 1,920,188 
5% 12/15/21 4,120,000 4,289,950 
  6,210,138 
Thrifts & Mortgage Finance - 0.0%   
Leeds Building Society 0.5% 7/3/24 (Reg. S) EUR4,800,000 5,708,327 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) 1,000,000 1,103,750 
  6,812,077 
TOTAL FINANCIALS  3,325,428,960 
HEALTH CARE - 1.5%   
Biotechnology - 0.2%   
AbbVie, Inc.:   
2.9% 11/6/22 24,855,000 24,849,333 
4.5% 5/14/35 23,238,000 24,847,041 
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (b) 3,815,000 3,738,700 
  53,435,074 
Health Care Equipment & Supplies - 0.0%   
Becton, Dickinson & Co. 2.675% 12/15/19 3,954,000 3,971,913 
Ortho-Clinical Diagnostics, Inc. 6.625% 5/15/22 (b) 1,415,000 1,400,850 
Teleflex, Inc.:   
4.625% 11/15/27 825,000 844,594 
4.875% 6/1/26 6,975,000 7,225,333 
  13,442,690 
Health Care Providers & Services - 0.5%   
Aetna, Inc. 2.75% 11/15/22 2,010,000 1,987,408 
Community Health Systems, Inc.:   
6.25% 3/31/23 4,705,000 4,399,175 
6.875% 2/1/22 14,070,000 8,477,175 
HCA Holdings, Inc.:   
3.75% 3/15/19 18,722,000 18,956,025 
4.25% 10/15/19 7,590,000 7,789,238 
4.5% 2/15/27 5,270,000 5,343,780 
4.75% 5/1/23 595,000 621,031 
5% 3/15/24 6,375,000 6,693,750 
5.25% 6/15/26 11,470,000 12,179,706 
5.875% 3/15/22 715,000 774,881 
5.875% 2/15/26 3,820,000 4,063,525 
6.5% 2/15/20 30,303,000 32,537,846 
HealthSouth Corp. 5.125% 3/15/23 4,745,000 4,855,084 
Kindred Healthcare, Inc.:   
8% 1/15/20 1,145,000 1,153,588 
8.75% 1/15/23 1,565,000 1,565,000 
Medco Health Solutions, Inc. 4.125% 9/15/20 7,486,000 7,785,742 
Polaris Intermediate Corp. 8.5% 12/1/22 pay-in-kind (b)(d) 3,790,000 3,943,116 
Sabra Health Care LP/Sabra Capital Corp.:   
5.375% 6/1/23 500,000 516,250 
5.5% 2/1/21 1,555,000 1,603,594 
Tenet Healthcare Corp.:   
4.375% 10/1/21 3,825,000 3,825,000 
4.625% 7/15/24 (b) 5,540,000 5,456,900 
7.5% 1/1/22 (b) 775,000 817,625 
THC Escrow Corp. III 5.125% 5/1/25 (b) 4,400,000 4,235,000 
Wellcare Health Plans, Inc. 5.25% 4/1/25 3,335,000 3,530,931 
WellPoint, Inc. 3.3% 1/15/23 6,442,000 6,537,918 
  149,649,288 
Life Sciences Tools & Services - 0.0%   
Thermo Fisher Scientific, Inc.:   
2.4% 2/1/19 1,959,000 1,963,744 
4.15% 2/1/24 3,010,000 3,183,095 
  5,146,839 
Pharmaceuticals - 0.8%   
Actavis Funding SCS:   
3% 3/12/20 13,777,000 13,902,953 
3.45% 3/15/22 48,347,000 49,151,710 
Catalent Pharma Solutions 4.875% 1/15/26 (b) 2,585,000 2,617,313 
Mylan N.V.:   
2.25% 11/22/24 (Reg. S) EUR1,650,000 2,054,040 
2.5% 6/7/19 16,423,000 16,410,471 
3.15% 6/15/21 21,235,000 21,352,378 
3.95% 6/15/26 11,126,000 11,092,204 
Perrigo Finance PLC:   
3.5% 12/15/21 1,541,000 1,566,808 
3.9% 12/15/24 5,449,000 5,547,900 
Teva Pharmaceutical Finance IV BV 2.875% 4/15/19 EUR1,050,000 1,270,384 
Teva Pharmaceutical Finance Netherlands III BV:   
0.375% 7/25/20 (Reg. S) EUR800,000 910,366 
1.25% 3/31/23 (Reg. S) EUR1,500,000 1,642,081 
2.2% 7/21/21 15,311,000 14,069,435 
2.8% 7/21/23 38,972,000 34,405,585 
3.15% 10/1/26 12,782,000 10,661,329 
Valeant Pharmaceuticals International, Inc.:   
5.375% 3/15/20 (b) 4,690,000 4,643,100 
5.5% 11/1/25 (b) 3,645,000 3,690,927 
5.625% 12/1/21 (b) 8,980,000 8,351,400 
5.875% 5/15/23 (b) 11,660,000 10,200,168 
6.125% 4/15/25 (b) 7,740,000 6,637,050 
6.5% 3/15/22 (b) 2,500,000 2,625,000 
7% 3/15/24 (b) 4,905,000 5,254,481 
VPI Escrow Corp. 6.375% 10/15/20 (b) 1,141,000 1,139,574 
Zoetis, Inc.:   
3.25% 2/1/23 4,892,000 4,973,364 
3.45% 11/13/20 5,179,000 5,314,948 
  239,484,969 
TOTAL HEALTH CARE  461,158,860 
INDUSTRIALS - 1.0%   
Aerospace & Defense - 0.2%   
BAE Systems Holdings, Inc.:   
3.8% 10/7/24 (b) 9,122,000 9,501,409 
6.375% 6/1/19 (b) 8,071,000 8,542,729 
Bombardier, Inc.:   
6.125% 1/15/23 (b) 4,680,000 4,606,056 
7.5% 12/1/24 (b) 1,980,000 1,996,632 
DAE Funding LLC:   
4% 8/1/20 (b) 1,425,000 1,431,056 
4.5% 8/1/22 (b) 1,470,000 1,462,650 
5% 8/1/24 (b) 7,625,000 7,625,000 
TransDigm, Inc.:   
5.5% 10/15/20 3,580,000 3,615,800 
6% 7/15/22 4,010,000 4,135,313 
6.375% 6/15/26 2,060,000 2,090,900 
6.5% 5/15/25 8,300,000 8,470,980 
  53,478,525 
Air Freight & Logistics - 0.0%   
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) 2,945,000 3,180,600 
Airlines - 0.1%   
Air Canada 7.75% 4/15/21 (b) 1,470,000 1,679,475 
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 3/15/20 (b) 5,685,000 5,834,231 
Allegiant Travel Co. 5.5% 7/15/19 4,985,000 5,140,781 
American Airlines Group, Inc. 4.625% 3/1/20 (b) 1,650,000 1,680,608 
American Airlines, Inc. pass-thru trust certificates 5.625% 7/15/22 (b) 184,258 193,931 
Azul Investments LLP 5.875% 10/26/24 (b) 900,000 895,500 
Continental Airlines, Inc.:   
pass-thru trust certificates 9.798% 4/1/21 141,103 154,861 
6.9% 1/2/18 40,005 40,053 
U.S. Airways Group, Inc. 6.125% 6/1/18 895,000 910,663 
U.S. Airways pass-thru certificates:   
Series 2012-2C, 5.45% 6/3/18 1,690,000 1,723,800 
Series 2013-1 Class B, 5.375% 11/15/21 273,209 288,809 
U.S. Airways pass-thru trust certificates:   
6.85% 1/30/18 234,608 236,954 
8.36% 1/20/19 209,681 209,943 
United Air Lines, Inc. pass-thru trust certificates Class B, 7.336% 7/2/19 514,957 548,430 
United Continental Holdings, Inc.:   
4.25% 10/1/22 7,680,000 7,699,200 
6% 12/1/20 605,000 651,888 
  27,889,127 
Building Products - 0.0%   
Building Materials Corp. of America 5% 2/15/27 (b) 4,295,000 4,466,800 
HD Supply, Inc. 5.75% 4/15/24 (b) 2,440,000 2,598,600 
  7,065,400 
Commercial Services & Supplies - 0.2%   
APX Group, Inc.:   
6.375% 12/1/19 5,657,000 5,734,784 
7.625% 9/1/23 3,860,000 4,081,950 
7.875% 12/1/22 1,150,000 1,230,500 
8.75% 12/1/20 10,732,000 10,956,835 
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) 3,845,000 4,076,854 
CD&R Waterworks Merger Sub LLC 6.125% 8/15/25 (b) 795,000 811,139 
Cenveo Corp. 6% 8/1/19 (b) 325,000 216,125 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) 3,420,000 3,556,800 
Multi-Color Corp. 4.875% 11/1/25 (b) 4,685,000 4,720,138 
Prime Security One MS, Inc. 4.875% 7/15/32 (b) 2,870,000 2,722,310 
Securitas AB 1.125% 2/20/24 (Reg. S) EUR5,350,000 6,433,694 
  44,541,129 
Construction & Engineering - 0.0%   
Cementos Progreso Trust 7.125% 11/6/23 (b) 920,000 984,400 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b) 2,575,000 894,813 
7.125% 6/26/42 (b) 1,425,000 491,625 
  2,370,838 
Electrical Equipment - 0.0%   
Sensata Technologies BV 5% 10/1/25 (b) 4,285,000 4,574,238 
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) EUR2,740,000 3,461,006 
  8,035,244 
Industrial Conglomerates - 0.0%   
Alfa SA de CV 5.25% 3/25/24 (b) 450,000 475,875 
Machinery - 0.0%   
Xerium Technologies, Inc. 9.5% 8/15/21 2,500,000 2,543,750 
Marine - 0.1%   
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) 12,785,000 10,835,288 
Navios Maritime Holdings, Inc.:   
7.375% 1/15/22 (b) 1,520,000 1,197,000 
11.25% 8/15/22 (b) 3,190,000 3,082,338 
  15,114,626 
Professional Services - 0.0%   
IHS Markit Ltd. 4% 3/1/26 (b) 890,000 896,675 
Road & Rail - 0.0%   
Alpha Trains Finance SA 2.064% 6/30/25 EUR4,000,000 4,890,785 
JSC Georgian Railway 7.75% 7/11/22 (b) 650,000 725,685 
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (b) 570,000 627,000 
  6,243,470 
Trading Companies & Distributors - 0.4%   
Air Lease Corp.:   
2.125% 1/15/18 7,271,000 7,273,782 
2.625% 9/4/18 16,438,000 16,492,604 
3% 9/15/23 3,204,000 3,184,511 
3.375% 6/1/21 10,493,000 10,733,167 
3.75% 2/1/22 26,396,000 27,365,198 
3.875% 4/1/21 11,610,000 12,072,238 
4.25% 9/15/24 12,030,000 12,646,954 
4.75% 3/1/20 11,796,000 12,382,902 
Ashtead Capital, Inc.:   
4.125% 8/15/25 (b) 1,490,000 1,501,175 
4.375% 8/15/27 (b) 1,575,000 1,605,508 
Avantor, Inc.:   
6% 10/1/24 (b) 2,925,000 2,926,828 
9% 10/1/25 (b) 5,300,000 5,207,250 
Brenntag Finance BV 1.125% 9/27/25 (Reg. S) EUR1,750,000 2,073,773 
FLY Leasing Ltd.:   
5.25% 10/15/24 1,590,000 1,593,975 
6.375% 10/15/21 6,000,000 6,262,500 
H&E Equipment Services, Inc. 5.625% 9/1/25 (b) 2,605,000 2,728,738 
Travis Perkins PLC:   
4.375% 9/15/21 (Reg. S) GBP203,000 288,244 
4.5% 9/7/23 (Reg. S) GBP1,950,000 2,744,645 
  129,083,992 
Transportation Infrastructure - 0.0%   
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) 1,960,000 2,113,037 
Global Ports Finance PLC 6.872% 1/25/22 (b) 1,410,000 1,519,444 
Heathrow Funding Ltd. 6% 3/20/20 GBP3,800,000 5,664,076 
  9,296,557 
TOTAL INDUSTRIALS  310,215,808 
INFORMATION TECHNOLOGY - 0.3%   
Communications Equipment - 0.0%   
Banglalink Digital Communications Ltd.:   
8.625% 5/6/19(b) 4,280,000 4,440,928 
8.625% 5/6/19 (Reg. S) 200,000 207,520 
Proven Glory Capital Ltd. 3.25% 2/21/22 (Reg. S) 3,300,000 3,300,195 
  7,948,643 
Electronic Equipment & Components - 0.0%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
3.48% 6/1/19 (b) 796,000 806,228 
4.42% 6/15/21 (b) 2,400,000 2,504,949 
Tyco Electronics Group SA 2.375% 12/17/18 2,244,000 2,251,177 
  5,562,354 
Internet Software & Services - 0.0%   
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc. 12.5% 7/1/22 (b) 5,620,000 6,378,700 
VeriSign, Inc.:   
4.75% 7/15/27 1,955,000 2,016,094 
5.25% 4/1/25 2,730,000 2,972,288 
  11,367,082 
IT Services - 0.0%   
Ceridian HCM Holding, Inc. 11% 3/15/21 (b) 440,000 463,100 
Gartner, Inc. 5.125% 4/1/25 (b) 1,335,000 1,395,075 
  1,858,175 
Semiconductors & Semiconductor Equipment - 0.2%   
Entegris, Inc. 4.625% 2/10/26 (b) 1,765,000 1,798,094 
Micron Technology, Inc.:   
5.25% 1/15/24 (b) 2,650,000 2,762,625 
5.5% 2/1/25 1,675,000 1,771,313 
5.625% 1/15/26 (b) 1,285,000 1,355,675 
NXP BV/NXP Funding LLC:   
3.875% 9/1/22 (b) 10,645,000 10,844,594 
4.125% 6/1/21 (b) 9,955,000 10,234,935 
4.625% 6/15/22 (b) 4,875,000 5,130,938 
4.625% 6/1/23(b) 2,480,000 2,619,897 
Qorvo, Inc. 7% 12/1/25 5,885,000 6,679,475 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) 3,025,000 3,289,688 
Versum Materials, Inc. 5.5% 9/30/24 (b) 2,715,000 2,905,050 
  49,392,284 
Software - 0.1%   
CDK Global, Inc. 4.875% 6/1/27 (b) 1,820,000 1,874,600 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) 120,000 124,800 
Greeneden U.S. Holdings II LLC 10% 11/30/24 (b) 2,445,000 2,738,400 
Nuance Communications, Inc. 5.375% 8/15/20 (b) 1,939,000 1,966,146 
Open Text Corp. 5.875% 6/1/26 (b) 11,080,000 12,021,800 
Symantec Corp. 5% 4/15/25 (b) 4,470,000 4,691,265 
  23,417,011 
Technology Hardware, Storage & Peripherals - 0.0%   
Hewlett Packard Enterprise Co. 6.35% 10/15/45 (d) 3,807,000 3,890,965 
TOTAL INFORMATION TECHNOLOGY  103,436,514 
MATERIALS - 0.9%   
Chemicals - 0.2%   
Braskem Finance Ltd.:   
5.375% 5/2/22 (b) 1,560,000 1,665,300 
5.75% 4/15/21 (b) 830,000 888,100 
6.45% 2/3/24 680,000 763,640 
Evolution Escrow Issuer LLC 7.5% 3/15/22 (b) 3,730,000 3,897,850 
Kraton Polymers LLC/Kraton Polymers Capital Corp. 7% 4/15/25 (b) 5,185,000 5,586,838 
NOVA Chemicals Corp.:   
4.875% 6/1/24 (b) 3,820,000 3,867,750 
5.25% 6/1/27 (b) 3,505,000 3,540,050 
Nufarm Australia Ltd. 6.375% 10/15/19 (b) 2,175,000 2,207,625 
OCP SA 5.625% 4/25/24 (b) 390,000 416,180 
Olin Corp. 5.125% 9/15/27 5,750,000 6,037,500 
Platform Specialty Products Corp. 5.875% 12/1/25 (b) 2,075,000 2,090,563 
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.5% 6/15/25 (b) 9,290,000 9,789,338 
The Dow Chemical Co.:   
4.125% 11/15/21 10,888,000 11,438,336 
4.25% 11/15/20 3,653,000 3,826,317 
TPC Group, Inc. 8.75% 12/15/20 (b) 9,265,000 9,195,513 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) 4,650,000 4,852,880 
Tronox Finance PLC 5.75% 10/1/25 (b) 925,000 962,000 
Valvoline, Inc. 4.375% 8/15/25 (b) 3,845,000 3,864,225 
  74,890,005 
Construction Materials - 0.1%   
CEMEX Finance LLC:   
4.625% 6/15/24 EUR200,000 258,189 
6% 4/1/24 (b) 5,665,000 5,998,102 
CEMEX S.A.B. de CV:   
4.375% 3/5/23 (Reg. S) EUR250,000 314,678 
4.75% 1/11/22 (Reg. S) EUR1,675,000 2,048,495 
5.7% 1/11/25 (b) 1,960,000 2,058,000 
7.75% 4/16/26 (b) 4,100,000 4,642,430 
Eagle Materials, Inc. 4.5% 8/1/26 4,180,000 4,362,875 
Union Andina de Cementos SAA 5.875% 10/30/21 (b) 635,000 665,163 
  20,347,932 
Containers & Packaging - 0.1%   
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.:   
4.25% 9/15/22 (b) 3,145,000 3,215,369 
4.625% 5/15/23 (b) 6,305,000 6,470,506 
6% 2/15/25 (b) 9,765,000 10,376,289 
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 5,350,000 5,376,750 
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) 3,930,000 4,175,625 
Silgan Holdings, Inc. 4.75% 3/15/25 (b) 2,945,000 3,018,625 
  32,633,164 
Metals & Mining - 0.5%   
Anglo American Capital PLC 2.5% 9/18/18 EUR2,850,000 3,459,209 
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (b)(d) 7,018,000 7,614,530 
6.75% 10/19/75 (b)(d) 17,432,000 20,439,020 
Big River Steel LLC/BRS Finance Corp. 7.25% 9/1/25 (b) 1,585,000 1,684,063 
Cliffs Natural Resources, Inc. 5.75% 3/1/25 (b) 4,720,000 4,587,840 
Commercial Metals Co. 5.375% 7/15/27 6,490,000 6,636,025 
Compania Minera Ares SAC 7.75% 1/23/21 (b) 2,130,000 2,220,525 
Constellium NV 5.875% 2/15/26 (b) 2,975,000 3,083,141 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (b) 8,277,000 8,255,894 
4.5% 8/1/47 (b) 6,545,000 6,832,456 
EVRAZ Group SA:   
5.375% 3/20/23 (b) 2,495,000 2,598,543 
8.25% 1/28/21 (Reg. S) 1,860,000 2,101,800 
Ferrexpo Finance PLC:   
10.375% 4/7/19 (b) 367,000 385,800 
10.375% 4/7/19 (b) 90,000 94,610 
10.375% 4/7/19 (Reg. S) 275,000 289,087 
First Quantum Minerals Ltd.:   
7.25% 5/15/22 (b) 2,220,000 2,303,250 
7.25% 4/1/23 (b) 8,820,000 9,327,150 
7.5% 4/1/25 (b) 3,325,000 3,536,969 
FMG Resources (August 2006) Pty Ltd.:   
4.75% 5/15/22 (b) 4,230,000 4,298,695 
5.125% 5/15/24 (b) 3,895,000 3,992,375 
Freeport-McMoRan, Inc.:   
3.55% 3/1/22 10,100,000 9,961,125 
3.875% 3/15/23 3,080,000 3,044,888 
4.55% 11/14/24 9,320,000 9,296,700 
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (b) 580,000 599,761 
GTL Trade Finance, Inc. 5.893% 4/29/24 (b) 850,000 923,313 
Metalloinvest Finance Designated Activity Co. 4.85% 5/2/24 (b) 620,000 634,944 
Metinvest BV 9.3725% 12/31/21 pay-in-kind (d) 4,740,018 5,002,141 
Polyus Finance PLC 5.25% 2/7/23 (b) 590,000 621,813 
Southern Copper Corp. 7.5% 7/27/35 1,210,000 1,636,412 
Steel Dynamics, Inc.:   
4.125% 9/15/25 (b) 4,225,000 4,235,563 
5.125% 10/1/21 2,205,000 2,262,881 
5.25% 4/15/23 3,040,000 3,132,112 
Stillwater Mining Co.:   
6.125% 6/27/22 (b) 2,875,000 2,941,125 
7.125% 6/27/25 (b) 1,700,000 1,765,450 
Vale Overseas Ltd.:   
4.375% 1/11/22 13,150,000 13,655,618 
5.875% 6/10/21 575,000 630,344 
6.875% 11/21/36 740,000 903,177 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 2,300,000 2,409,250 
8.25% 6/7/21 (b) 1,275,000 1,421,625 
VM Holding SA 5.375% 5/4/27 (b) 1,295,000 1,366,225 
  160,185,449 
Paper & Forest Products - 0.0%   
Sino-Forest Corp. 6.25% 10/21/17 (b)(f)(g) 1,365,000 
TOTAL MATERIALS  288,056,550 
REAL ESTATE - 2.6%   
Equity Real Estate Investment Trusts (REITs) - 1.4%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 2,884,000 2,898,885 
4.6% 4/1/22 4,896,000 5,202,744 
alstria office REIT-AG:   
1.5% 11/15/27 (Reg. S) EUR7,400,000 8,616,015 
2.125% 4/12/23 (Reg. S) EUR2,400,000 3,077,361 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 3,491,000 3,589,719 
AvalonBay Communities, Inc. 3.625% 10/1/20 5,005,000 5,167,180 
Boston Properties, Inc. 3.85% 2/1/23 5,829,000 6,097,090 
Camden Property Trust:   
2.95% 12/15/22 6,621,000 6,642,301 
4.25% 1/15/24 9,191,000 9,658,372 
CBL & Associates LP 4.6% 10/15/24 272,000 244,521 
CommonWealth REIT 5.875% 9/15/20 2,130,000 2,258,025 
Corporate Office Properties LP 5% 7/1/25 12,377,000 13,222,960 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 4,820,000 4,928,450 
DDR Corp.:   
3.625% 2/1/25 9,949,000 9,649,543 
3.9% 8/15/24 3,606,000 3,591,001 
4.25% 2/1/26 22,796,000 22,827,744 
4.625% 7/15/22 20,268,000 21,261,339 
4.7% 6/1/27 840,000 864,519 
Duke Realty LP:   
3.625% 4/15/23 6,287,000 6,447,630 
3.75% 12/1/24 5,408,000 5,565,044 
3.875% 10/15/22 17,388,000 18,109,268 
Equinix, Inc. 5.375% 5/15/27 1,680,000 1,817,592 
Equity One, Inc. 3.75% 11/15/22 18,100,000 18,564,810 
ERP Operating LP:   
2.375% 7/1/19 8,777,000 8,805,706 
4.75% 7/15/20 7,700,000 8,134,579 
Federal Realty Investment Trust 5.9% 4/1/20 2,504,000 2,698,489 
Health Care REIT, Inc. 2.25% 3/15/18 5,151,000 5,158,289 
iStar Financial, Inc. 6% 4/1/22 775,000 803,094 
Lexington Corporate Properties Trust 4.4% 6/15/24 4,608,000 4,646,022 
MPT Operating Partnership LP/MPT Finance Corp.:   
5% 10/15/27 2,235,000 2,329,988 
5.25% 8/1/26 4,930,000 5,194,988 
6.375% 3/1/24 2,250,000 2,430,000 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 42,087,000 42,790,122 
4.5% 1/15/25 10,686,000 10,640,849 
4.5% 4/1/27 50,980,000 49,866,654 
4.75% 1/15/28 29,482,000 29,135,944 
4.95% 4/1/24 17,495,000 18,268,761 
5.25% 1/15/26 29,233,000 30,478,324 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 3,376,000 3,329,263 
5% 12/15/23 2,030,000 2,123,485 
SBA Communications Corp. 4.875% 9/1/24 2,205,000 2,282,175 
Senior Housing Properties Trust 6.75% 4/15/20 250,000 266,746 
VEREIT Operating Partnership LP:   
4.125% 6/1/21 1,770,000 1,840,159 
4.875% 6/1/26 1,770,000 1,888,493 
VICI Properties 1 LLC/VICI FC, Inc. 3 month U.S. LIBOR + 3.500% 4.8467% 10/15/22 (d)(e) 5,255,000 5,274,706 
Weingarten Realty Investors 3.375% 10/15/22 2,729,000 2,762,439 
WP Carey, Inc. 4% 2/1/25 34,017,000 34,146,701 
  455,598,089 
Real Estate Management & Development - 1.2%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 29,103,000 29,755,931 
3.95% 11/15/27 18,049,000 17,857,185 
4.1% 10/1/24 15,881,000 16,180,174 
4.55% 10/1/29 17,155,000 17,512,050 
4.95% 4/15/18 12,690,000 12,797,084 
CBRE Group, Inc. 5% 3/15/23 465,000 477,861 
Deutsche Annington Finance BV 5% 10/2/23 (b) 5,800,000 6,158,966 
Digital Realty Trust LP:   
3.4% 10/1/20 17,707,000 18,117,161 
3.625% 10/1/22 9,206,000 9,515,200 
3.95% 7/1/22 11,840,000 12,387,706 
4.75% 10/1/25 30,612,000 33,345,223 
5.25% 3/15/21 5,708,000 6,148,167 
Essex Portfolio LP 3.875% 5/1/24 8,802,000 9,107,131 
Greystar Real Estate Partners 5.75% 12/1/25 (b) 720,000 741,600 
Host Hotels & Resorts LP 4.75% 3/1/23 150,000 159,664 
Howard Hughes Corp. 5.375% 3/15/25 (b) 4,440,000 4,562,100 
Hunt Companies, Inc. 9.625% 3/1/21 (b) 870,000 913,500 
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) 5,000 5,756 
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) 770,000 868,406 
Liberty Property LP:   
3.375% 6/15/23 8,174,000 8,267,820 
4.125% 6/15/22 14,880,000 15,687,802 
4.4% 2/15/24 13,017,000 13,878,937 
4.75% 10/1/20 11,282,000 11,890,635 
Mack-Cali Realty LP:   
3.15% 5/15/23 14,735,000 13,684,642 
4.5% 4/18/22 17,365,000 17,432,870 
Mattamy Group Corp.:   
6.5% 10/1/25 (b) 1,765,000 1,848,838 
6.875% 12/15/23 (b) 850,000 892,543 
Post Apartment Homes LP 3.375% 12/1/22 2,570,000 2,608,060 
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (b) 235,000 239,113 
SELP Finance SARL 1.25% 10/25/23 (Reg. S) EUR4,285,000 5,129,741 
Tanger Properties LP:   
3.125% 9/1/26 11,019,000 10,399,359 
3.75% 12/1/24 21,455,000 21,481,674 
3.875% 12/1/23 4,812,000 4,858,375 
TLG Immobilien AG 1.375% 11/27/24 (Reg. S) EUR800,000 955,464 
Ventas Realty LP:   
3.125% 6/15/23 5,458,000 5,443,435 
3.5% 2/1/25 5,961,000 6,001,781 
3.75% 5/1/24 25,000,000 25,665,359 
4.125% 1/15/26 5,557,000 5,775,011 
Ventas Realty LP/Ventas Capital Corp.:   
2% 2/15/18 8,050,000 8,054,025 
4% 4/30/19 3,747,000 3,824,338 
4.25% 3/1/22 300,000 314,936 
  380,945,623 
TOTAL REAL ESTATE  836,543,712 
TELECOMMUNICATION SERVICES - 1.2%   
Diversified Telecommunication Services - 0.9%   
Altice Financing SA:   
6.5% 1/15/22 (b) 6,250,000 6,453,125 
6.625% 2/15/23 (b) 2,780,000 2,849,500 
7.5% 5/15/26 (b) 3,905,000 4,080,725 
Altice Finco SA 7.625% 2/15/25 (b) 2,685,000 2,691,713 
AT&T, Inc.:   
2.45% 6/30/20 11,294,000 11,279,092 
3% 6/30/22 12,546,000 12,526,828 
3.4% 5/15/25 39,520,000 38,704,649 
3.6% 2/17/23 44,557,000 45,572,635 
5.875% 10/1/19 5,944,000 6,330,973 
6.3% 1/15/38 16,665,000 19,472,476 
Axtel S.A.B. de CV 6.375% 11/14/24 (b) 1,225,000 1,243,375 
BellSouth Capital Funding Corp. 7.875% 2/15/30 40,000 51,488 
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) 820,000 861,000 
Frontier Communications Corp. 10.5% 9/15/22 3,770,000 2,987,725 
GTH Finance BV:   
6.25% 4/26/20 (b) 765,000 809,948 
7.25% 4/26/23 (b) 4,335,000 4,920,901 
Sable International Finance Ltd. 6.875% 8/1/22 (b) 4,575,000 4,895,250 
SFR Group SA:   
6% 5/15/22 (b) 4,550,000 4,586,992 
6.25% 5/15/24 (b) 3,140,000 3,085,050 
7.375% 5/1/26 (b) 2,380,000 2,397,564 
Sprint Capital Corp. 6.875% 11/15/28 10,740,000 11,021,925 
TalkTalk Telecom Group PLC 5.375% 1/15/22 (Reg. S) GBP560,000 751,967 
TDC A/S 3.5% 2/26/3015 (Reg. S) (d) EUR1,550,000 1,927,160 
Telecom Italia Capital SA:   
6% 9/30/34 2,425,000 2,706,906 
6.375% 11/15/33 3,785,000 4,371,675 
Telecom Italia SpA 5.303% 5/30/24 (b) 1,065,000 1,135,876 
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) 1,650,000 1,689,765 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b)(h) 4,400,000 4,389,000 
Verizon Communications, Inc.:   
2.625% 2/21/20 12,550,000 12,635,742 
5.012% 4/15/49 2,831,000 2,931,958 
5.012% 8/21/54 55,038,000 55,504,244 
5.5% 3/16/47 18,149,000 20,287,561 
  295,154,788 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 3.125% 7/16/22 9,218,000 9,360,879 
Comcel Trust 6.875% 2/6/24 (b) 725,000 753,021 
Digicel Group Ltd. 6.75% 3/1/23 (b) 560,000 543,200 
Inmarsat Finance PLC 4.875% 5/15/22 (b) 2,105,000 2,139,206 
Millicom International Cellular SA 6% 3/15/25 (b) 1,375,000 1,430,000 
MTN (Mauritius) Investments Ltd. 6.5% 10/13/26 (b) 1,095,000 1,173,008 
Sprint Communications, Inc.:   
6% 11/15/22 7,235,000 7,307,350 
9% 11/15/18 (b) 2,225,000 2,350,156 
Sprint Corp.:   
7.25% 9/15/21 7,925,000 8,440,125 
7.625% 2/15/25 4,740,000 5,033,880 
7.875% 9/15/23 12,075,000 13,010,813 
T-Mobile U.S.A., Inc.:   
4% 4/15/22 5,110,000 5,250,525 
6% 3/1/23 4,060,000 4,259,651 
6.375% 3/1/25 4,860,000 5,216,967 
6.5% 1/15/24 6,085,000 6,457,706 
6.625% 4/1/23 12,185,000 12,748,556 
Vodafone Group PLC 7.875% 2/15/30 1,850,000 2,512,018 
  87,987,061 
TOTAL TELECOMMUNICATION SERVICES  383,141,849 
UTILITIES - 2.0%   
Electric Utilities - 1.0%   
American Electric Power Co., Inc.:   
1.65% 12/15/17 5,213,000 5,213,003 
2.95% 12/15/22 4,935,000 4,974,214 
DPL, Inc. 6.75% 10/1/19 2,490,000 2,608,275 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (b) 29,344,000 32,536,970 
6.4% 9/15/20 (b) 25,897,000 28,439,392 
Eversource Energy:   
1.45% 5/1/18 3,325,000 3,320,138 
2.8% 5/1/23 15,104,000 15,076,388 
Exelon Corp. 2.85% 6/15/20 4,888,000 4,934,033 
FirstEnergy Corp.:   
4.25% 3/15/23 31,243,000 32,759,173 
7.375% 11/15/31 64,123,000 85,462,279 
FirstEnergy Solutions Corp. 6.05% 8/15/21 20,194,000 9,693,120 
InterGen NV 7% 6/30/23 (b) 3,595,000 3,478,163 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 27,495,000 27,873,056 
3.7% 9/1/24 (b) 10,462,000 10,416,275 
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) 600,000 769,956 
LG&E and KU Energy LLC 3.75% 11/15/20 1,450,000 1,500,415 
Monongahela Power Co. 4.1% 4/15/24 (b) 3,982,000 4,220,683 
Nevada Power Co. 6.5% 5/15/18 790,000 806,554 
NRG Yield Operating LLC 5% 9/15/26 3,945,000 4,014,038 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) 8,546,353 9,358,256 
NV Energy, Inc. 6.25% 11/15/20 3,500,000 3,862,037 
Pampa Holding SA 7.5% 1/24/27 (b) 1,975,000 2,147,813 
PG&E Corp. 2.4% 3/1/19 1,683,000 1,685,062 
PPL Capital Funding, Inc. 3.4% 6/1/23 7,184,000 7,343,891 
Progress Energy, Inc. 4.4% 1/15/21 12,059,000 12,624,565 
TECO Finance, Inc. 5.15% 3/15/20 3,761,000 3,979,983 
Western Power Distribution 3.875% 10/17/24 (Reg. S) GBP1,200,000 1,801,496 
Western Power Distribution Holdings Ltd. 5.25% 1/17/23 GBP3,300,000 5,189,046 
  326,088,274 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 3,646,000 3,827,994 
Independent Power and Renewable Electricity Producers - 0.5%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 67,644,000 74,915,730 
Dynegy, Inc.:   
7.625% 11/1/24 5,590,000 6,086,113 
8.125% 1/30/26 (b) 3,095,000 3,443,188 
Emera U.S. Finance LP:   
2.15% 6/15/19 5,136,000 5,119,872 
2.7% 6/15/21 5,055,000 5,054,281 
3.55% 6/15/26 8,087,000 8,106,150 
Listrindo Capital BV 4.95% 9/14/26 (b) 820,000 830,660 
NextEra Energy Partners LP:   
4.25% 9/15/24 (b) 1,345,000 1,358,450 
4.5% 9/15/27 (b) 935,000 935,000 
NRG Energy, Inc.:   
5.75% 1/15/28 (b) 2,250,000 2,289,375 
6.25% 5/1/24 4,510,000 4,769,325 
6.625% 1/15/27 1,695,000 1,826,363 
TerraForm Power Operating LLC:   
4.25% 1/31/23 (b)(h) 1,040,000 1,042,600 
5% 1/31/28 (b)(h) 1,040,000 1,043,900 
6.375% 2/1/23 (b)(d) 4,980,000 5,248,920 
The AES Corp.:   
4.875% 5/15/23 9,515,000 9,714,054 
5.125% 9/1/27 1,595,000 1,646,838 
6% 5/15/26 1,545,000 1,676,325 
Three Gorges Finance II (Cayman Islands) Ltd. 1.3% 6/21/24 (Reg. S) EUR2,500,000 3,018,263 
  138,125,407 
Multi-Utilities - 0.5%   
Berkshire Hathaway Energy Co. 2% 11/15/18 12,172,000 12,178,761 
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 3.6328% 9/30/66 (d)(e) 35,229,000 33,115,260 
3 month U.S. LIBOR + 2.825% 4.16% 6/30/66 (d)(e) 10,345,000 10,241,550 
NiSource Finance Corp.:   
5.25% 2/15/43 12,739,000 14,843,416 
5.8% 2/1/42 6,336,000 7,693,479 
5.95% 6/15/41 11,832,000 14,845,389 
6.8% 1/15/19 1,039,000 1,090,833 
Puget Energy, Inc.:   
6% 9/1/21 15,565,000 17,320,651 
6.5% 12/15/20 5,125,000 5,679,967 
Sempra Energy:   
2.875% 10/1/22 5,760,000 5,770,247 
6% 10/15/39 15,009,000 19,291,408 
Wind Tre SpA:   
3.125% 1/20/25 (Reg. S) EUR1,177,000 1,379,630 
5% 1/20/26 (b) 6,960,000 6,666,984 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.5284% 5/15/67 (d)(e) 3,860,000 3,707,646 
  153,825,221 
Water Utilities - 0.0%   
Pennon Group PLC 2.875% (Reg. S) (c)(d) GBP1,450,000 1,971,381 
TOTAL UTILITIES  623,838,277 
TOTAL NONCONVERTIBLE BONDS   
(Cost $9,563,631,828)  9,926,602,719 
U.S. Government and Government Agency Obligations - 40.4%   
U.S. Treasury Inflation-Protected Obligations - 7.3%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $235,833,750 $228,061,167 
0.875% 2/15/47 170,979,106 170,857,227 
1% 2/15/46 147,271,305 151,462,006 
1.375% 2/15/44 140,301,619 156,580,241 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/24 171,785,931 168,829,032 
0.125% 7/15/26 197,803,449 191,289,862 
0.25% 1/15/25 78,155,250 76,918,757 
0.375% 7/15/25 412,877,034 410,283,725 
0.375% 1/15/27 405,090,934 397,748,402 
0.375% 7/15/27 151,350,000 148,859,313 
0.625% 1/15/26 207,750,000 209,212,989 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  2,310,102,721 
U.S. Treasury Obligations - 33.1%   
U.S. Treasury Bonds:   
2.5% 2/15/45 (i)(j)(k) 2,580,000 2,413,711 
2.5% 2/15/46 (i)(j) 1,762,000 1,644,786 
3% 5/15/45 145,382,000 150,055,805 
3% 11/15/45 207,323,000 213,890,928 
3% 2/15/47 658,626,000 679,465,335 
3% 5/15/47 103,797,000 107,081,201 
5% 5/15/37 (i) 440,000 598,881 
U.S. Treasury Notes:   
0.75% 2/15/19 (i)(j) 7,650,000 7,560,949 
1.125% 6/30/21 1,125,000 1,090,723 
1.25% 3/31/21 1,180,775,000 1,153,100,586 
1.25% 10/31/21 453,470,000 439,848,187 
1.375% 9/30/19 250,000,000 248,183,595 
1.375% 4/30/21 484,800,000 474,933,564 
1.5% 5/15/20 408,760,000 405,263,185 
1.5% 8/15/26 218,742,000 203,293,346 
1.625% 7/31/20 (j) 4,593,000 4,562,679 
1.625% 5/15/26 25,000,000 23,530,274 
1.75% 12/31/20 600,000,000 596,601,564 
1.75% 6/30/22 952,845,000 937,249,605 
1.875% 3/31/22 1,455,761,000 1,441,885,683 
1.875% 7/31/22 603,426,000 596,519,602 
1.875% 9/30/22 267,650,000 264,388,016 
2% 12/31/21 906,934,000 904,241,540 
2% 11/30/22 100,000,000 99,308,594 
2% 4/30/24 25,000,000 24,570,313 
2% 11/15/26 17,577,000 16,994,762 
2.125% 7/31/24 649,329,000 642,176,238 
2.125% 11/30/24 738,982,000 729,571,522 
2.25% 10/31/24 165,260,000 164,595,086 
TOTAL U.S. TREASURY OBLIGATIONS  10,534,620,260 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $12,979,885,003)  12,844,722,981 
U.S. Government Agency - Mortgage Securities - 14.8%   
Fannie Mae - 7.8%   
12 month U.S. LIBOR + 1.445% 3.195% 4/1/37 (d)(e) 57,945 60,541 
12 month U.S. LIBOR + 1.480% 3.312% 7/1/34 (d)(e) 26,774 27,934 
12 month U.S. LIBOR + 1.495% 3.081% 1/1/35 (d)(e) 92,530 95,233 
12 month U.S. LIBOR + 1.507% 3.2% 7/1/37 (d)(e) 16,326 17,063 
12 month U.S. LIBOR + 1.553% 3.322% 6/1/36 (d)(e) 72,715 75,036 
12 month U.S. LIBOR + 1.565% 3.315% 3/1/37 (d)(e) 25,077 26,327 
12 month U.S. LIBOR + 1.594% 3.448% 5/1/36 (d)(e) 119,347 124,925 
12 month U.S. LIBOR + 1.617% 3.267% 3/1/33 (d)(e) 62,881 65,790 
12 month U.S. LIBOR + 1.641% 3.368% 9/1/36 (d)(e) 48,110 49,712 
12 month U.S. LIBOR + 1.643% 3.315% 9/1/36 (d)(e) 32,788 34,377 
12 month U.S. LIBOR + 1.645% 3.31% 6/1/47 (d)(e) 61,688 65,318 
12 month U.S. LIBOR + 1.718% 3.45% 5/1/35 (d)(e) 153,954 161,771 
12 month U.S. LIBOR + 1.725% 2.588% 6/1/42 (d)(e) 200,646 209,158 
12 month U.S. LIBOR + 1.728% 3.407% 11/1/36 (d)(e) 51,380 54,131 
12 month U.S. LIBOR + 1.741% 3.376% 3/1/40 (d)(e) 266,208 282,045 
12 month U.S. LIBOR + 1.745% 3.397% 7/1/35 (d)(e) 68,516 71,775 
12 month U.S. LIBOR + 1.750% 3.031% 8/1/41 (d)(e) 587,522 621,390 
12 month U.S. LIBOR + 1.788% 3.413% 2/1/36 (d)(e) 199,695 207,455 
12 month U.S. LIBOR + 1.800% 2.748% 1/1/42 (d)(e) 951,263 998,096 
12 month U.S. LIBOR + 1.800% 3.562% 7/1/41 (d)(e) 178,412 185,604 
12 month U.S. LIBOR + 1.805% 3.029% 10/1/41 (d)(e) 55,782 58,572 
12 month U.S. LIBOR + 1.810% 3.435% 12/1/39 (d)(e) 131,162 139,298 
12 month U.S. LIBOR + 1.812% 3.464% 12/1/40 (d)(e) 6,327,679 6,637,634 
12 month U.S. LIBOR + 1.815% 2.941% 11/1/40 (d)(e) 60,352 63,248 
12 month U.S. LIBOR + 1.815% 3.565% 9/1/41 (d)(e) 194,600 202,493 
12 month U.S. LIBOR + 1.818% 2.688% 2/1/42 (d)(e) 1,062,147 1,113,443 
12 month U.S. LIBOR + 1.818% 3.023% 9/1/41 (d)(e) 117,639 124,654 
12 month U.S. LIBOR + 1.818% 3.252% 7/1/41 (d)(e) 149,628 155,955 
12 month U.S. LIBOR + 1.820% 3.445% 12/1/35 (d)(e) 205,460 217,457 
12 month U.S. LIBOR + 1.830% 3.36% 10/1/41 (d)(e) 97,509 101,310 
12 month U.S. LIBOR + 1.851% 3.573% 5/1/36 (d)(e) 99,065 104,955 
12 month U.S. LIBOR + 1.900% 3.718% 7/1/37 (d)(e) 66,604 69,397 
6 month U.S. LIBOR + 1.375% 2.875% 10/1/34 (d)(e) 1,282 1,322 
6 month U.S. LIBOR + 1.475% 2.892% 10/1/33 (d)(e) 1,208 1,245 
6 month U.S. LIBOR + 1.505% 2.88% 1/1/35 (d)(e) 175,153 180,798 
6 month U.S. LIBOR + 1.505% 2.88% 1/1/35 (d)(e) 765 793 
6 month U.S. LIBOR + 1.510% 2.915% 2/1/33 (d)(e) 763 787 
6 month U.S. LIBOR + 1.535% 2.939% 12/1/34 (d)(e) 31,040 32,062 
6 month U.S. LIBOR + 1.535% 2.958% 3/1/35 (d)(e) 15,437 15,953 
6 month U.S. LIBOR + 1.556% 3.014% 10/1/33 (d)(e) 11,835 12,260 
6 month U.S. LIBOR + 1.565% 2.94% 7/1/35 (d)(e) 16,463 17,038 
6 month U.S. LIBOR + 1.740% 3.115% 12/1/34 (d)(e) 3,666 3,829 
6 month U.S. LIBOR + 1.960% 3.46% 9/1/35 (d)(e) 25,522 26,859 
U.S. TREASURY 1 YEAR INDEX + 1.945% 2.866% 10/1/33 (d)(e) 284,138 295,935 
U.S. TREASURY 1 YEAR INDEX + 2.208% 3.083% 3/1/35 (d)(e) 36,793 38,880 
U.S. TREASURY 1 YEAR INDEX + 2.270% 3.181% 6/1/36 (d)(e) 204,943 216,887 
U.S. TREASURY 1 YEAR INDEX + 2.295% 3.471% 10/1/33 (d)(e) 71,176 75,243 
U.S. TREASURY 1 YEAR INDEX + 2.447% 3.452% 7/1/34 (d)(e) 155,365 163,880 
2.5% 12/1/32 (h) 129,700,000 129,396,009 
2.5% 12/1/42 to 8/1/43 12,380,923 12,003,483 
3% 11/1/23 to 2/1/47 707,663,146 714,355,086 
3% 12/1/32 (h) 53,050,000 54,032,253 
3% 12/1/47 (h) 20,600,000 20,537,907 
3.5% 3/1/25 to 10/1/56 507,716,476 523,628,261 
3.5% 12/1/47 (h) 66,400,000 68,063,486 
3.5% 12/1/47 (h) 66,400,000 68,063,486 
3.5% 12/1/47 (h) 5,400,000 5,535,284 
3.5% 12/1/47 (h) 6,000,000 6,150,315 
3.5% 12/1/47 (h) 35,550,000 36,440,616 
3.5% 12/1/47 (h) 35,550,000 36,440,616 
4% 9/1/24 to 10/1/46 328,574,946 345,678,004 
4% 12/1/47 (h) 14,400,000 15,043,967 
4.5% 6/1/33 to 8/1/56 116,235,556 124,891,873 
5% 3/1/18 to 8/1/56 202,108,743 220,109,766 
5.255% 8/1/41 2,182,206 2,365,803 
5.5% 1/1/18 to 3/1/41 22,955,423 25,489,802 
6% 7/1/19 to 1/1/42 15,798,682 17,808,345 
6.309% 2/1/39 3,706,679 4,044,253 
6.5% 1/1/18 to 8/1/39 26,030,126 29,430,467 
7% 9/1/21 to 7/1/37 1,165,261 1,333,127 
7.5% 6/1/25 to 2/1/32 517,377 597,364 
8% 7/1/29 to 3/1/37 13,574 16,253 
8.5% 12/1/19 to 6/1/22 257 280 
9.5% 6/1/18 to 9/1/21 2,938 3,030 
TOTAL FANNIE MAE  2,474,965,004 
Freddie Mac - 4.1%   
12 month U.S. LIBOR + 1.325% 2.938% 1/1/36 (d)(e) 51,267 53,002 
12 month U.S. LIBOR + 1.325% 2.95% 3/1/37 (d)(e) 16,288 16,859 
12 month U.S. LIBOR + 1.375% 2.996% 3/1/36 (d)(e) 134,827 140,091 
12 month U.S. LIBOR + 1.500% 3.129% 3/1/36 (d)(e) 137,341 141,322 
12 month U.S. LIBOR + 1.515% 3.099% 11/1/35 (d)(e) 78,485 81,940 
12 month U.S. LIBOR + 1.750% 3.249% 7/1/41 (d)(e) 733,631 775,950 
12 month U.S. LIBOR + 1.750% 3.411% 12/1/40 (d)(e) 3,429,693 3,560,911 
12 month U.S. LIBOR + 1.754% 3.111% 9/1/41 (d)(e) 1,006,739 1,041,191 
12 month U.S. LIBOR + 1.793% 3.32% 4/1/37 (d)(e) 35,763 37,836 
12 month U.S. LIBOR + 1.864% 3.614% 4/1/36 (d)(e) 80,390 85,014 
12 month U.S. LIBOR + 1.874% 3.619% 10/1/42 (d)(e) 1,022,547 1,068,427 
12 month U.S. LIBOR + 1.877% 3.214% 4/1/41 (d)(e) 102,485 107,871 
12 month U.S. LIBOR + 1.880% 3.219% 9/1/41 (d)(e) 121,179 128,389 
12 month U.S. LIBOR + 1.910% 3.273% 6/1/41 (d)(e) 123,763 129,102 
12 month U.S. LIBOR + 1.910% 3.411% 5/1/41 (d)(e) 112,394 119,366 
12 month U.S. LIBOR + 1.910% 3.604% 5/1/41 (d)(e) 150,118 156,845 
12 month U.S. LIBOR + 1.910% 3.673% 6/1/41 (d)(e) 137,105 143,277 
12 month U.S. LIBOR + 1.920% 3.67% 6/1/36 (d)(e) 20,402 21,621 
12 month U.S. LIBOR + 1.993% 5.14% 4/1/38 (d)(e) 109,549 115,812 
12 month U.S. LIBOR + 2.045% 3.811% 7/1/36 (d)(e) 56,697 60,214 
12 month U.S. LIBOR + 2.197% 3.772% 3/1/33 (d)(e) 1,806 1,910 
12 month U.S. LIBOR + 2.200% 3.7% 12/1/36 (d)(e) 110,537 117,394 
6 month U.S. LIBOR + 1.125% 2.549% 8/1/37 (d)(e) 33,641 34,240 
6 month U.S. LIBOR + 1.445% 2.945% 3/1/35 (d)(e) 44,546 45,807 
6 month U.S. LIBOR + 1.608% 2.955% 12/1/35 (d)(e) 68,601 70,971 
6 month U.S. LIBOR + 1.647% 3.04% 2/1/37 (d)(e) 136,188 141,809 
6 month U.S. LIBOR + 1.675% 3.05% 6/1/37 (d)(e) 27,973 29,160 
6 month U.S. LIBOR + 1.720% 3.095% 8/1/37 (d)(e) 52,038 54,369 
6 month U.S. LIBOR + 1.746% 2.967% 5/1/37 (d)(e) 25,919 26,931 
6 month U.S. LIBOR + 1.932% 3.275% 10/1/36 (d)(e) 194,420 200,553 
6 month U.S. LIBOR + 1.976% 3.39% 10/1/35 (d)(e) 117,006 122,778 
6 month U.S. LIBOR + 2.010% 3.385% 6/1/37 (d)(e) 23,568 24,873 
6 month U.S. LIBOR + 2.040% 3.415% 6/1/37 (d)(e) 71,780 74,437 
6 month U.S. LIBOR + 2.066% 3.454% 6/1/37 (d)(e) 39,061 41,276 
6 month U.S. LIBOR + 2.755% 4.144% 10/1/35 (d)(e) 114,080 121,157 
U.S. TREASURY 1 YEAR INDEX + 2.035% 2.904% 6/1/33 (d)(e) 163,216 169,931 
U.S. TREASURY 1 YEAR INDEX + 2.267% 3.215% 6/1/33 (d)(e) 394,599 415,979 
U.S. TREASURY 1 YEAR INDEX + 2.418% 3.243% 3/1/35 (d)(e) 718,818 757,411 
2.5% 7/1/31 6,204,658 6,207,810 
3% 2/1/32 to 12/1/47 471,534,624 471,778,686 
3% 9/1/47 723,945 722,300 
3.5% 1/1/32 to 9/1/46 (i)(k)(l) 400,563,064 413,711,072 
3.5% 8/1/47 37,117,984 38,079,782 
3.5% 12/1/47 (h) 8,600,000 8,815,452 
4% 7/1/31 to 6/1/47 271,133,216 285,317,223 
4.5% 6/1/25 to 1/1/45 20,426,338 21,921,156 
5% 6/1/20 to 7/1/41 21,150,682 23,158,338 
5.5% 2/1/18 to 3/1/41 7,682,138 8,506,315 
6% 2/1/19 to 12/1/37 2,273,447 2,555,401 
6.5% 5/1/18 to 9/1/39 3,053,343 3,468,697 
7% 6/1/21 to 9/1/36 1,065,495 1,225,976 
7.5% 1/1/27 to 4/1/32 21,202 24,666 
8% 7/1/24 to 1/1/37 33,242 39,221 
8.5% 9/1/19 to 1/1/28 27,579 31,604 
9% 10/1/20 17 18 
9.5% 5/1/21 to 7/1/21 102 108 
10% 2/1/20 to 11/1/20 46 48 
11% 7/1/19 to 9/1/20 13 13 
TOTAL FREDDIE MAC  1,295,999,912 
Ginnie Mae - 2.9%   
3.5% 11/15/40 to 7/20/46 (i) 265,084,604 275,269,031 
4% 5/20/33 to 4/20/47 127,569,605 134,754,720 
4.5% 6/20/33 to 8/15/41 52,127,862 56,040,091 
5% 12/15/32 to 9/15/41 22,430,439 24,703,274 
5.5% 7/15/33 to 9/15/39 1,822,634 2,047,330 
6% 10/15/30 to 11/15/39 554,057 630,068 
7% 10/15/22 to 3/15/33 1,065,466 1,238,840 
7.5% 8/15/21 to 9/15/31 465,871 531,272 
8% 11/15/21 to 11/15/29 148,252 167,488 
8.5% 10/15/21 to 1/15/31 28,420 33,223 
9% 9/15/19 to 1/15/23 746 794 
9.5% 12/15/20 to 2/15/25 295 317 
3% 5/20/42 to 5/20/47 326,098,227 329,065,232 
3% 12/1/47 (h) 99,700,000 100,450,292 
3.5% 12/1/47 (h) 80,000 82,706 
6.5% 3/20/31 to 11/15/37 319,006 366,522 
11% 9/20/19 283 297 
TOTAL GINNIE MAE  925,381,497 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $4,735,422,148)  4,696,346,413 
Asset-Backed Securities - 1.0%   
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 2.0336% 4/25/35 (d)(e) $664,344 $662,035 
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1 month U.S. LIBOR + 1.650% 2.9786% 3/25/34 (d)(e) 195,152 196,630 
Airspeed Ltd. Series 2007-1A Class C1, 1 month U.S. LIBOR + 2.500% 3.7503% 6/15/32 (b)(d)(e)(g) 2,782,943 1,653,502 
American Homes 4 Rent:   
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) 147,000 164,345 
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) 428,000 482,927 
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) 599,438 652,818 
Series 2015-SFR2:   
Class E, 6.07% 10/17/45 (b) 981,000 1,094,525 
Class XS, 0% 10/17/45 (b)(d)(g)(m) 685,269 
Ameriquest Mortgage Securities, Inc. pass-thru certificates:   
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.3786% 12/25/33 (d)(e) 33,323 32,547 
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.1536% 4/25/34 (d)(e) 89,819 83,324 
Argent Securities, Inc. pass-thru certificates:   
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.1086% 3/25/34 (d)(e) 47,932 45,802 
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.3786% 11/25/34 (d)(e) 433,369 436,252 
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.1536% 5/25/34 (d)(e) 1,160,417 1,162,855 
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.4886% 5/25/36 (d)(e) 1,077,474 413,568 
Asset Backed Securities Corp. Home Equity Loan Trust:   
Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.1536% 4/25/34 (d)(e) 1,335,032 1,278,382 
Series 2006-HE2 Class M1, 1 month U.S. LIBOR + 0.370% 1.6079% 3/25/36 (d)(e) 18,317 7,499 
Avis Budget Rental Car Funding (AESOP) LLC Series 2012-3A Class A, 2.1% 3/20/19 (b) 6,133,333 6,136,767 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (b) 43,731,188 45,512,884 
Class AA, 2.487% 12/16/41 (b) 9,938,375 9,868,511 
CAM Mortgage Trust Series 2017-1 Class A1, 3.22% 8/1/57 (b) 14,859,382 14,850,950 
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.3779% 12/25/36 (d)(e) 1,802,588 1,519,595 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 2.6775% 10/25/37 (b)(d)(e) 19,159,993 19,254,886 
CLUB Credit Trust:   
Series 2017-NP1 Class A, 2.39% 4/17/23 (b) 3,668,155 3,669,383 
Series 2017-P1 Class A, 2.54% 9/15/23 (b) 4,762,330 4,763,720 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 6.5775% 3/25/32 (d)(e) 3,192 3,287 
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 2.7836% 4/25/34(d)(e) 51,103 48,333 
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.1236% 6/25/34 (d)(e) 77,051 77,206 
Series 2004-7 Class AF5, 5.868% 1/25/35 1,122,600 1,137,170 
Series 2005-3 Class MV4, 1 month U.S. LIBOR + 0.620% 2.1679% 8/25/35 (d)(e) 2,282,694 2,287,305 
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700% 1.9379% 12/25/33 (d)(e) 32,929 31,990 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (b) 17,368,000 17,505,207 
Class A2II, 4.03% 11/20/47 (b) 24,869,000 25,046,813 
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 157,163 161,292 
Exeter Automobile Receivables Trust Series 2017-2A Class A, 2.22% 6/15/21 (b) 12,629,685 12,628,184 
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 2.0334% 5/28/35 (d)(e) 38,916 37,503 
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 1 month U.S. LIBOR + 2.175% 3.5036% 8/25/34 (d)(e) 207,736 200,985 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.1536% 3/25/34 (d)(e) 2,512 2,230 
Flagship Credit Auto Trust Series 2015-3 Class A, 2.38% 10/15/20 (b) 2,917,278 2,924,894 
Fremont Home Loan Trust Series 2005-A:   
Class M3, 1 month U.S. LIBOR + 0.735% 1.9729% 1/25/35 (d)(e) 948,695 939,357 
Class M4, 1 month U.S. LIBOR + 1.020% 2.2579% 1/25/35 (d)(e) 347,133 278,282 
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 1.8421% 2/25/47 (b)(d)(e) 1,269,593 1,212,505 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 1.4261% 11/15/34 (b)(d)(e) 423,525 410,559 
Class B, 1 month U.S. LIBOR + 0.280% 1.5303% 11/15/34 (b)(d)(e) 152,990 143,582 
Class C, 1 month U.S. LIBOR + 0.380% 1.6303% 11/15/34 (b)(d)(e) 254,263 236,590 
Class D, 1 month U.S. LIBOR + 0.750% 2.0003% 11/15/34 (b)(d)(e) 96,552 88,426 
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b) 75,390 6,361 
Home Equity Asset Trust:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 1.320% 2.5579% 8/25/33 (d)(e) 203,577 205,880 
Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.6186% 8/25/33 (d)(e) 324,671 320,469 
Home Partners of America Credit Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.650% 3.8879% 7/17/34 (b)(d)(e) 229,000 233,284 
Class F, 1 month U.S. LIBOR + 3.539% 4.7769% 7/17/34 (b)(d)(e) 332,000 339,645 
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.5186% 1/25/37 (d)(e) 1,424,644 993,060 
Invitation Homes Trust:   
Series 2015-SFR2 Class E, 1 month U.S. LIBOR + 3.150% 4.3867% 6/17/32 (b)(d)(e) 485,000 489,798 
Series 2015-SRF1 Class E, 1 month U.S. LIBOR + 4.300% 5.4367% 3/17/32 (b)(d)(e) 624,000 631,464 
Series 2017-SFR2:   
Class E, 1 month U.S. LIBOR + 2.250% 3.5% 12/17/36 (b)(d)(e) 525,000 532,162 
Class F, 1 month U.S. LIBOR + 3.000% 4.25% 12/17/36 (b)(d)(e) 441,000 448,180 
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.4433% 3/27/42 (d)(e) 3,243,000 2,383,621 
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 1 month U.S. LIBOR + 0.160% 1.4886% 11/25/36 (d)(e) 4,161,008 2,083,636 
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.5379% 5/25/37 (d)(e) 279,555 59,100 
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.750% 2.0786% 7/25/34 (d)(e) 85,369 80,544 
Merrill Lynch Mortgage Investors Trust:   
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.3036% 7/25/34 (d)(e) 129,022 127,023 
Series 2006-FF1 Class M2, 1 month U.S. LIBOR + 0.290% 1.5279% 8/25/36 (d)(e) 13,300,000 13,289,577 
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.3479% 4/25/37 (d)(e) 2,692 1,659 
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 1.8486% 6/25/35 (d)(e) 1,084,434 1,052,033 
Morgan Stanley ABS Capital I Trust:   
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 2.0086% 8/25/34 (d)(e) 57,368 55,587 
Series 2004-NC6 Class M3, 1 month U.S. LIBOR + 2.175% 3.5036% 7/25/34 (d)(e) 12,147 11,965 
Series 2004-NC8 Class M6, 1 month U.S. LIBOR + 1.875% 3.2036% 9/25/34 (d)(e) 14,317 14,395 
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 1.9886% 1/25/35 (d)(e) 101,204 99,748 
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 3.0836% 3/25/35 (d)(e) 115,478 4,993 
Nationstar HECM Loan Trust:   
Series 2017-1A Class A, 1.9679% 5/25/27 (b) 18,299,986 18,283,516 
Series 2017-2A Class A1, 2.12% 9/25/27 (b) 28,369,738 28,340,347 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (b)(d)(e) 3,513,000 3,540,379 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 1.8386% 9/25/35 (d)(e) 1,426,957 1,415,526 
Park Place Securities, Inc.:   
Series 2004-WCW1:   
Class M3, 1 month U.S. LIBOR + 1.875% 3.2036% 9/25/34 (d)(e) 466,217 469,755 
Class M4, 1 month U.S. LIBOR + 2.175% 3.5036% 9/25/34 (d)(e) 683,353 546,142 
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.5736% 1/25/36 (d)(e) 1,475,804 1,479,117 
Progress Residential Trust:   
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) 168,000 177,646 
Series 2017-SFR1 Class F, 5.35% 8/17/34 (b) 160,000 164,064 
Series 2017-SFR2 Class F, 1 month U.S. LIBOR + 2.750% 4.836% 12/17/34 (b)(e) 134,000 133,598 
Prosper Marketplace Issuance Trust Series 2017-1A Class A, 2.56% 6/15/23 (b) 9,659,727 9,695,735 
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1 month U.S. LIBOR + 0.800% 2.1286% 4/25/33 (d)(e) 5,108 4,708 
Saxon Asset Securities Trust Series 2004-1 Class M1, 1 month U.S. LIBOR + 0.795% 2.1236% 3/25/35 (d)(e) 465,044 459,749 
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.27% 6/15/33 (d)(e) 119,542 119,468 
Starwood Waypoint Homes Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.600% 3.8367% 1/17/35 (b)(d)(e) 1,040,000 1,044,801 
Class F, 1 month U.S. LIBOR + 3.400% 4.635% 1/17/35 (b)(d)(e) 903,000 902,834 
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 3.0536% 9/25/34 (d)(e) 32,414 31,815 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.1886% 9/25/34 (d)(e) 28,819 27,562 
Thunderbolt Aircraft Lease Ltd. Series 2017-A Class A, 4.212% 5/17/32 (b) 24,916,178 25,571,466 
Towd Point Mortgage Trust Series 2017-1 Class A1, 2.75% 10/25/56 (b)(d) 29,653,458 29,713,619 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.8621% 4/6/42 (b)(d)(e)(g) 2,573,000 1,376,555 
Tricon American Homes Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) 1,092,000 1,099,258 
Tricon American Homes Trust Series 2016-SFR1:   
Class B, 2.989% 11/17/33 (b) 517,000 510,821 
Class F, 5.769% 11/17/33 (b) 456,000 466,681 
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 3 month U.S. LIBOR + 0.850% 2.1664% 11/21/40 (b)(d)(e) 305,000 283,498 
TOTAL ASSET-BACKED SECURITIES   
(Cost $316,880,505)  328,668,258 
Collateralized Mortgage Obligations - 2.1%   
Private Sponsor - 0.7%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 1.3772% 6/27/36 (b)(d)(e) 9,382,092 9,234,805 
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 3.6623% 12/26/35 (b)(d) 1,212,511 1,216,547 
BCAP LLC Trust sequential payer:   
Series 2012-RR5 Class 8A5, 1.4361% 7/26/36 (b)(d) 1,590,144 1,555,141 
Series 2013-RR4 Class 2A1, 3.6668% 5/26/47 (b)(d) 2,562,941 2,573,907 
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 1.8886% 1/25/35 (d)(e) 451,778 453,666 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) 7,273,139 7,292,996 
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 3.6858% 1/25/37 (b)(d) 2,408,922 2,445,339 
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) 7,205,528 7,306,687 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 1.5172% 5/27/37 (b)(d)(e) 7,693,019 7,368,109 
Series 2011-2R Class 2A1, 3.3391% 7/27/36 (b)(d) 116,907 116,753 
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 1.9372% 5/27/37 (b)(d)(e) 796,864 770,005 
CSMC Trust Series 2009-5R Class 2A2, 3.3295% 7/26/49 (b)(d) 1,419,023 1,420,998 
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.5992% 10/25/34 (d) 307,518 310,637 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (b)(d) 16,107,919 16,224,363 
Freddie Mac Seasoned Credit Risk Transfer Series sequential payer Series 2017-1 Class MA, 3% 1/25/56 17,647,104 17,353,313 
FREMF Mortgage Trust:   
Series 2010-K6 Class B, 5.3671% 12/25/46 (b)(d) 910,000 958,295 
Series 2010-K7 Class B, 5.6853% 4/25/20 (b)(d) 1,000,000 1,059,796 
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 3.0111% 3/25/37 (d) 548,186 547,575 
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 1.4449% 6/21/36 (b)(d)(e) 5,222,079 5,151,400 
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.4247% 8/25/36 (d) 743,484 718,143 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.4072% 2/25/37 (d)(e) 1,480,340 1,450,520 
Mortgage Repurchase Agreement Funding Trust floater Series 2016-5 Class A, 1 month U.S. LIBOR + 1.170% 2.405% 6/10/19 (b)(d)(e) 45,638,000 45,629,329 
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 3.4668% 3/26/37 (b)(d) 1,254,662 1,256,343 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.6186% 7/25/35 (d)(e) 411,626 406,970 
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 3.3192% 7/26/45 (b)(d) 8,462,179 8,552,582 
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:   
Class B5, 1 month U.S. LIBOR + 2.350% 3.585% 6/10/35 (b)(d)(e) 202,779 143,714 
Class B6, 1 month U.S. LIBOR + 2.850% 4.085% 6/10/35 (b)(d)(e) 45,212 25,621 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.3127% 7/20/34 (d)(e) 17,836 17,622 
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.493% 4/25/33 (d) 52,963 52,960 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 1.9686% 9/25/43 (d)(e) 7,495,192 7,242,571 
Towd Point Mortgage Trust:   
Series 2015-5 Class A1B, 2.75% 5/25/55 (b) 4,369,890 4,380,341 
Series 2017-2 Class A1, 2.75% 4/25/57 (b)(d) 29,676,098 29,745,771 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2004-BB Class A2, 3.167% 1/25/35 (d) 1,613,804 1,620,693 
Series 2005-AR10 Class 2A15, 3.3694% 6/25/35 (d) 8,769,923 8,892,651 
Series 2005-AR2:   
Class 1A2, 3.2174% 3/25/35 (d) 1,110,629 1,111,623 
Class 3A1, 3.1699% 3/25/35 (d) 14,778,089 15,013,845 
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4:   
Class 1A1, 3.408% 6/27/36 (b)(d) 969,997 973,260 
Class 2A1, 3.4212% 6/27/36 (b)(d) 1,296,441 1,299,993 
TOTAL PRIVATE SPONSOR  211,894,884 
U.S. Government Agency - 1.4%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 2.1275% 2/25/32 (d)(e) 21,071 21,407 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 2.2827% 3/18/32 (d)(e) 37,194 37,936 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 2.3275% 4/25/32 (d)(e) 45,500 46,448 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 2.3275% 10/25/32 (d)(e) 59,915 61,129 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 2.0775% 1/25/32 (d)(e) 21,711 22,042 
Series 2002-94 Class FB, 1 month U.S. LIBOR + 0.400% 1.7275% 1/25/18 (d)(e) 181 181 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 6.7725% 12/25/33 (d)(m)(n) 713,215 164,112 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 5.3525% 11/25/36 (d)(m)(n) 531,488 93,627 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 24,525 25,888 
Series 1993-207 Class H, 6.5% 11/25/23 351,824 380,610 
Series 1996-28 Class PK, 6.5% 7/25/25 114,141 123,839 
Series 1999-17 Class PG, 6% 4/25/29 330,303 360,801 
Series 1999-32 Class PL, 6% 7/25/29 314,004 343,422 
Series 1999-33 Class PK, 6% 7/25/29 223,789 245,076 
Series 2001-52 Class YZ, 6.5% 10/25/31 27,419 31,167 
Series 2003-28 Class KG, 5.5% 4/25/23 201,754 212,924 
Series 2005-102 Class CO 11/25/35 (o) 176,190 156,953 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 14.0985% 8/25/35 (d)(n) 60,290 73,305 
Series 2005-81 Class PC, 5.5% 9/25/35 425,059 460,025 
Series 2006-12 Class BO 10/25/35 (o) 790,110 705,077 
Series 2006-37 Class OW 5/25/36 (o) 74,487 64,986 
Series 2006-45 Class OP 6/25/36 (o) 239,360 209,331 
Series 2006-62 Class KP 4/25/36 (o) 388,639 339,604 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 68,655 78,474 
Series 1999-25 Class Z, 6% 6/25/29 245,201 272,301 
Series 2001-20 Class Z, 6% 5/25/31 351,658 381,117 
Series 2001-31 Class ZC, 6.5% 7/25/31 178,851 201,755 
Series 2002-16 Class ZD, 6.5% 4/25/32 96,145 109,339 
Series 2002-74 Class SV, 7.550%- 1 month U.S. LIBOR 6.2225% 11/25/32 (d)(m)(n) 457,988 69,676 
Series 2012-67 Class AI, 4.5% 7/25/27 (m) 2,183,295 228,765 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 5.3125% 12/25/36 (d)(m)(n) 343,828 69,042 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 5.1125% 5/25/37 (d)(m)(n) 199,544 34,647 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 16.0449% 9/25/23 (d)(n) 14,942 18,226 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 6.7725% 3/25/33 (d)(m)(n) 48,128 9,348 
Series 2003-35 Class TQ, 7.500% - 1 month U.S. LIBOR 6.1725% 5/25/18 (d)(m)(n) 2,399 25 
Series 2005-72 Class ZC, 5.5% 8/25/35 2,583,730 2,790,106 
Series 2005-79 Class ZC, 5.9% 9/25/35 1,626,707 1,844,717 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 32.655% 6/25/37 (d)(n) 169,977 328,523 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 31.635% 7/25/37 (d)(n) 256,576 490,800 
Class SB, 39.600% - 1 month U.S. LIBOR 31.635% 7/25/37 (d)(n) 107,001 184,949 
Series 2007-75 Class JI, 6.545%- 1 month U.S. LIBOR 5.2175% 8/25/37 (d)(m)(n) 7,657,620 1,307,353 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 5.0225% 3/25/38 (d)(m)(n) 1,363,144 217,722 
Series 2009-16 Class SA, 6.250% - 1 month U.S. LIBOR 4.9225% 3/25/24 (d)(m)(n) 164 
Series 2009-76 Class MI, 5.5% 9/25/24 (m) 11,196 293 
Series 2009-85 Class IB, 4.5% 8/25/24 (m) 79,799 3,168 
Series 2009-93 Class IC, 4.5% 9/25/24 (m) 114,103 4,302 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 5.0325% 6/25/21 (d)(m)(n) 68,621 1,954 
Series 2010-12 Class AI, 5% 12/25/18 (m) 82,222 728 
Series 2010-135 Class LS, 6.050% - 1 month U.S. LIBOR 4.7225% 12/25/40 (d)(m)(n) 1,282,696 194,853 
Series 2010-139 Class NI, 4.5% 2/25/40 (m) 1,169,285 127,733 
Series 2010-150 Class ZC, 4.75% 1/25/41 5,461,315 5,998,973 
Series 2010-17 Class DI, 4.5% 6/25/21 (m) 52,628 1,457 
Series 2010-23:   
Class AI, 5% 12/25/18 (m) 19,783 191 
Class HI, 4.5% 10/25/18 (m) 34,666 442 
Series 2010-29 Class LI, 4.5% 6/25/19 (m) 82,101 876 
Series 2010-95 Class ZC, 5% 9/25/40 11,337,312 12,525,453 
Series 2010-97 Class CI, 4.5% 8/25/25 (m) 309,912 16,917 
Series 2011-110 Class SA, 6.610% - 1 month U.S. LIBOR 5.2825% 4/25/41 (d)(m)(n) 3,370,397 469,037 
Series 2011-112 Class SA, 6.550% - 1 month U.S. LIBOR 5.2225% 11/25/41 (d)(m)(n) 3,490,540 576,173 
Series 2011-123 Class SD, 6.600% - 1 month U.S. LIBOR 5.2725% 8/25/39 (d)(m)(n) 2,882,359 357,543 
Series 2011-39 Class ZA, 6% 11/25/32 911,567 1,019,478 
Series 2011-4 Class PZ, 5% 2/25/41 2,348,647 2,644,440 
Series 2011-67 Class AI, 4% 7/25/26 (m) 363,024 34,080 
Series 2011-83 Class DI, 6% 9/25/26 (m) 492,561 46,492 
Series 2012-100 Class WI, 3% 9/25/27 (m) 5,716,493 535,580 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 5.3225% 12/25/30 (d)(m)(n) 1,906,451 235,482 
Series 2012-47 Class SD, 6.450% - 1 month U.S. LIBOR 5.1225% 5/25/42 (d)(m)(n) 8,618,558 1,601,312 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 5.2225% 6/25/41 (d)(m)(n) 2,577,047 347,727 
Series 2013-133 Class IB, 3% 4/25/32 (m) 3,609,889 326,768 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 4.7225% 1/25/44 (d)(m)(n) 1,913,298 303,000 
Series 2013-51 Class GI, 3% 10/25/32 (m) 5,350,319 529,492 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 5.3925% 6/25/35 (d)(m)(n) 1,091,486 193,825 
Series 2015-42:   
Class IL, 6% 6/25/45 (m) 8,096,532 1,903,377 
Class LS, 6.200% - 1 month U.S. LIBOR 4.8725% 6/25/45 (d)(m)(n) 13,507,511 2,068,022 
Series 2015-70 Class JC, 3% 10/25/45 7,016,804 7,097,241 
Series 2016-78 Class CS, 6.100% - 1 month U.S. LIBOR 4.7725% 5/25/39 (d)(m)(n) 15,749,630 2,563,177 
Series 2017-30 Class AI, 5.5% 5/25/47 4,222,301 959,898 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339:   
Class 29, 5.5% 8/25/18 (m) 2,074 14 
Class 5, 5.5% 7/25/33 (m) 193,577 38,450 
Series 343 Class 16, 5.5% 5/25/34 (m) 166,637 29,816 
Series 348 Class 14, 6.5% 8/25/34 (d)(m) 119,352 27,645 
Series 351:   
Class 12, 5.5% 4/25/34 (d)(m) 76,725 13,310 
Class 13, 6% 3/25/34 (m) 104,520 20,608 
Series 359 Class 19, 6% 7/25/35 (d)(m) 67,396 12,724 
Series 384 Class 6, 5% 7/25/37 (m) 842,196 155,273 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 2.0503% 1/15/32 (d)(e) 16,433 16,692 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 2.1503% 3/15/32 (d)(e) 22,954 23,378 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 2.2503% 3/15/32 (d)(e) 26,086 26,604 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 2.1503% 6/15/31 (d)(e) 43,993 44,754 
Class FG, 1 month U.S. LIBOR + 0.900% 2.1503% 3/15/32 (d)(e) 13,775 14,019 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 1.5003% 5/15/37 (d)(e) 989,882 988,633 
planned amortization class:   
Series 2006-15 Class OP 3/25/36 (o) 702,321 613,652 
Series 2095 Class PE, 6% 11/15/28 364,003 398,931 
Series 2101 Class PD, 6% 11/15/28 33,144 35,225 
Series 2121 Class MG, 6% 2/15/29 149,676 164,030 
Series 2131 Class BG, 6% 3/15/29 1,025,471 1,125,820 
Series 2137 Class PG, 6% 3/15/29 162,045 175,839 
Series 2154 Class PT, 6% 5/15/29 262,651 288,527 
Series 2162 Class PH, 6% 6/15/29 60,900 65,718 
Series 2520 Class BE, 6% 11/15/32 330,181 352,695 
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 6.3497% 3/15/23 (d)(m)(n) 16,806 1,285 
Series 2693 Class MD, 5.5% 10/15/33 3,891,749 4,303,238 
Series 2802 Class OB, 6% 5/15/34 581,066 628,444 
Series 2937 Class KC, 4.5% 2/15/20 315,133 318,713 
Series 2962 Class BE, 4.5% 4/15/20 456,922 465,908 
Series 3002 Class NE, 5% 7/15/35 925,321 994,876 
Series 3110 Class OP 9/15/35 (o) 442,692 406,098 
Series 3119 Class PO 2/15/36 (o) 809,757 705,479 
Series 3121 Class KO 3/15/36 (o) 142,857 125,487 
Series 3123 Class LO 3/15/36 (o) 455,773 398,436 
Series 3145 Class GO 4/15/36 (o) 427,895 374,126 
Series 3189 Class PD, 6% 7/15/36 857,553 966,897 
Series 3225 Class EO 10/15/36 (o) 255,847 223,839 
Series 3258 Class PM, 5.5% 12/15/36 425,241 462,560 
Series 3415 Class PC, 5% 12/15/37 329,924 355,526 
Series 3786 Class HI, 4% 3/15/38 (m) 1,091,476 85,668 
Series 3806 Class UP, 4.5% 2/15/41 2,517,488 2,652,296 
Series 3832 Class PE, 5% 3/15/41 2,375,210 2,605,425 
sequential payer:   
Series 2135 Class JE, 6% 3/15/29 74,309 81,617 
Series 2274 Class ZM, 6.5% 1/15/31 84,344 95,004 
Series 2281 Class ZB, 6% 3/15/30 202,535 214,828 
Series 2303 Class ZV, 6% 4/15/31 86,194 94,842 
Series 2357 Class ZB, 6.5% 9/15/31 620,524 707,878 
Series 2502 Class ZC, 6% 9/15/32 172,672 185,254 
Series 2519 Class ZD, 5.5% 11/15/32 284,352 301,698 
Series 2546 Class MJ, 5.5% 3/15/23 124,443 129,518 
Series 2601 Class TB, 5.5% 4/15/23 58,992 62,366 
Series 2998 Class LY, 5.5% 7/15/25 181,668 193,791 
Series 3871 Class KB, 5.5% 6/15/41 4,329,000 4,953,477 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 5.3497% 2/15/36 (d)(m)(n) 305,719 58,299 
Series 2013-4281 Class AI, 4% 12/15/28 (m) 3,700,576 320,491 
Series 2017-4683 Class LM, 3% 5/15/47 9,400,533 9,507,878 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 38.6732% 8/15/24 (d)(n) 7,039 9,771 
Class SD, 86.400% - 1 month U.S. LIBOR 70.1964% 8/15/24 (d)(n) 10,356 18,428 
Series 2933 Class ZM, 5.75% 2/15/35 3,119,530 3,571,290 
Series 2935 Class ZK, 5.5% 2/15/35 3,734,286 4,150,622 
Series 2947 Class XZ, 6% 3/15/35 1,143,482 1,253,409 
Series 2996 Class ZD, 5.5% 6/15/35 2,446,519 2,771,083 
Series 3055 Class CS, 6.590%- 1 month U.S. LIBOR 5.3397% 10/15/35 (d)(m)(n) 420,871 78,139 
Series 3237 Class C, 5.5% 11/15/36 3,412,970 3,814,723 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 5.4097% 11/15/36 (d)(m)(n) 1,027,544 189,373 
Series 3284 Class CI, 6.120%- 1 month U.S. LIBOR 4.8697% 3/15/37 (d)(m)(n) 2,363,353 398,674 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 5.4997% 3/15/37 (d)(m)(n) 1,486,960 289,916 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 5.5097% 4/15/37 (d)(m)(n) 2,267,334 455,085 
Series 3336 Class LI, 6.580%- 1 month U.S. LIBOR 5.3297% 6/15/37 (d)(m)(n) 712,533 117,159 
Series 3772 Class BI, 4.5% 10/15/18 (m) 123,684 1,410 
Series 3949 Class MK, 4.5% 10/15/34 662,866 701,835 
Series 3955:   
Class GS, 5.950% - 1 month U.S. LIBOR 4.6997% 9/15/41 (d)(m)(n) 3,603,633 529,692 
Class YI, 3% 11/15/21 (m) 1,709,036 72,245 
Series 4055 Class BI, 3.5% 5/15/31 (m) 3,326,797 338,548 
Series 4149 Class IO, 3% 1/15/33 (m) 2,299,155 290,221 
Series 4314 Class AI, 5% 3/15/34 (m) 1,184,959 128,151 
Series 4427 Class LI, 3.5% 2/15/34 (m) 6,105,415 744,686 
Series 4471 Class PA 4% 12/15/40 8,027,729 8,310,236 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 203,256 216,286 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 2.1503% 2/15/24 (d)(e) 80,036 80,900 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 129,567 142,094 
Series 2056 Class Z, 6% 5/15/28 295,756 323,931 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 7,653,914 8,054,165 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 5.4265% 6/16/37 (d)(m)(n) 445,786 87,178 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 1.79% 3/20/60 (d)(e)(p) 5,663,304 5,665,288 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 1.57% 7/20/60 (d)(e)(p) 648,928 644,681 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 1.5333% 9/20/60 (d)(e)(p) 787,476 781,862 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 1.5333% 8/20/60 (d)(e)(p) 883,070 876,750 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 1.6133% 12/20/60 (d)(e)(p) 1,580,877 1,573,003 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 12/20/60 (d)(e)(p) 2,464,409 2,461,940 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 2/20/61 (d)(e)(p) 4,899,763 4,895,101 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 1.7233% 2/20/61 (d)(e)(p) 6,423,600 6,415,831 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 1.7333% 4/20/61 (d)(e)(p) 2,194,358 2,192,165 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (d)(e)(p) 2,610,222 2,607,424 
Class FC, 1 month U.S. LIBOR + 0.500% 1.7333% 5/20/61 (d)(e)(p) 2,379,297 2,376,822 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 1.7633% 6/20/61 (d)(e)(p) 3,059,549 3,058,980 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 10/20/61 (d)(e)(p) 6,044,553 6,055,148 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 11/20/61 (d)(e)(p) 2,963,059 2,977,227 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 1.9333% 1/20/62 (d)(e)(p) 1,944,619 1,953,760 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 1/20/62 (d)(e)(p) 2,850,085 2,857,735 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 1.8633% 3/20/62 (d)(e)(p) 1,776,543 1,780,989 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 1.8833% 5/20/61 (d)(e)(p) 3,008,022 3,013,591 
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 1.7533% 10/20/62 (d)(e)(p) 1,523,499 1,522,795 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 1.7633% 7/20/60 (d)(e)(p) 4,882,978 4,892,314 
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 1.5933% 3/20/63 (d)(e)(p) 2,441,668 2,427,880 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 1.8333% 1/20/64 (d)(e)(p) 2,817,490 2,822,673 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 1.8333% 12/20/63 (d)(e)(p) 7,474,593 7,490,569 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 1.7333% 6/20/64 (d)(e)(p) 11,223,339 11,211,411 
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 1.7333% 9/20/64 (d)(e)(p) 35,465,938 35,427,464 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 1.6306% 12/20/62 (d)(e)(p) 12,142,148 12,149,044 
planned amortization class:   
Series 1993-13 Class PD, 6% 5/20/29 370,255 412,432 
Series 1997-8 Class PE, 7.5% 5/16/27 156,769 180,807 
Series 2010-158 Class MS, 10.000%- 1 month U.S. LIBOR 7.4347% 12/20/40 (d)(n) 5,680,000 6,359,726 
Series 2011-136 Class WI, 4.5% 5/20/40 (m) 783,850 93,114 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 1,426,321 1,550,861 
Series 2010-160 Class DY, 4% 12/20/40 16,972,887 17,884,340 
Series 2010-170 Class B, 4% 12/20/40 3,826,933 4,032,497 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 5.2365% 5/16/34 (d)(m)(n) 248,338 42,396 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 5.9365% 8/17/34 (d)(m)(n) 293,313 61,153 
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 32.619% 6/16/37 (d)(n) 17,897 31,632 
Series 2010-116 Class QB, 4% 9/16/40 36,540,539 38,445,814 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 1.57% 5/20/60 (d)(e)(p) 2,034,884 2,021,823 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 4.8173% 7/20/41 (d)(m)(n) 1,488,877 233,383 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 5.4365% 6/16/42 (d)(m)(n) 907,538 162,231 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 6.9564% 4/20/39 (d)(n) 2,634,053 2,739,160 
Class ST, 8.800% - 1 month U.S. LIBOR 7.0898% 8/20/39 (d)(n) 6,700,169 7,076,318 
Series 2013-149 Class MA, 2.5% 5/20/40 20,496,231 20,361,064 
Series 2015-H13 Class HA, 2.5% 8/20/64 (p) 24,399,128 24,467,180 
Series 2015-H17 Class HA, 2.5% 5/20/65 (p) 21,693,111 21,754,548 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (p) 4,596,976 4,608,807 
Class JA, 2.5% 6/20/65 (p) 21,177,819 21,235,946 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 1.66% 8/20/66 (d)(e)(p) 24,789,210 24,860,256 
TOTAL U.S. GOVERNMENT AGENCY  459,007,044 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $673,911,840)  670,901,928 
Commercial Mortgage Securities - 2.1%   
280 Park Avenue Mortgage Trust floater Series 2017-280P Class F, 1 month U.S. LIBOR + 3.150% 4.0773% 9/15/34 (b)(d)(e) 1,242,000 1,238,270 
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) 180,000 198,158 
Asset Securitization Corp.:   
Series 1997-D4 Class B5, 7.525% 4/14/29 129,000 128,842 
Series 1997-D5 Class PS1, 1.8303% 2/14/43 (d)(m) 50,260 458 
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (b)(d) 692,000 700,286 
BAMLL Trust Series 2015-200P Class F, 3.5958% 4/14/33 (b)(d) 767,000 737,945 
BANK:   
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) 1,323,000 1,092,396 
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) 765,000 608,460 
Series 2017-BNK8 Class D, 2.6% 11/15/50 (b) 965,000 734,796 
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3:   
Class C, 4.352% 2/15/50 (d) 957,000 974,360 
Class D, 3.25% 2/15/50 (b) 667,000 541,537 
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 1.9987% 7/15/49 (d)(m) 45,975,536 5,021,797 
Barclays Commercial Mortgage Securities LLC Series 2015-STP:   
Class A, 3.3228% 9/10/28 (b) 4,373,964 4,457,715 
Class E, 4.2844% 9/10/28 (b)(d) 1,786,000 1,732,504 
Bayview Commercial Asset Trust:   
floater:   
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.6036% 12/25/33 (b)(d)(e) 20,267 20,015 
Series 2005-4A:   
Class A2, 1 month U.S. LIBOR + 0.390% 1.7186% 1/25/36 (b)(d)(e) 554,439 519,286 
Class B1, 1 month U.S. LIBOR + 1.400% 2.7286% 1/25/36 (b)(d)(e) 24,880 19,355 
Class M1, 1 month U.S. LIBOR + 0.450% 1.7786% 1/25/36 (b)(d)(e) 178,851 166,359 
Class M2, 1 month U.S. LIBOR + 0.470% 1.7986% 1/25/36 (b)(d)(e) 53,655 49,489 
Class M3, 1 month U.S. LIBOR + 0.500% 1.8286% 1/25/36 (b)(d)(e) 78,360 71,631 
Class M4, 1 month U.S. LIBOR + 0.610% 1.9386% 1/25/36 (b)(d)(e) 43,337 38,763 
Class M5, 1 month U.S. LIBOR + 0.650% 1.9786% 1/25/36 (b)(d)(e) 43,337 32,927 
Class M6, 1 month U.S. LIBOR + 0.700% 2.0286% 1/25/36 (b)(d)(e) 46,029 35,209 
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 1.6679% 10/25/36 (b)(d)(e) 24,146 19,422 
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.5079% 3/25/37 (b)(d)(e) 355,229 330,261 
Series 2007-2A:   
Class A1, 1 month U.S. LIBOR + 0.270% 1.5072% 7/25/37 (b)(d)(e) 370,430 353,834 
Class A2, 1 month U.S. LIBOR + 0.320% 1.5572% 7/25/37 (b)(d)(e) 346,117 327,871 
Class M1, 1 month U.S. LIBOR + 0.370% 1.6072% 7/25/37 (b)(d)(e) 121,537 98,344 
Class M2, 1 month U.S. LIBOR + 0.410% 1.6472% 7/25/37 (b)(d)(e) 66,413 53,855 
Class M3, 1 month U.S. LIBOR + 0.490% 1.7272% 7/25/37 (b)(d)(e) 53,936 39,913 
Series 2007-3:   
Class A2, 1 month U.S. LIBOR + 0.290% 1.5279% 7/25/37 (b)(d)(e) 333,185 310,777 
Class M1, 1 month U.S. LIBOR + 0.310% 1.5472% 7/25/37 (b)(d)(e) 72,365 67,419 
Class M2, 1 month U.S. LIBOR + 0.340% 1.5772% 7/25/37 (b)(d)(e) 77,562 71,893 
Class M3, 1 month U.S. LIBOR + 0.370% 1.6072% 7/25/37 (b)(d)(e) 122,218 104,991 
Class M4, 1 month U.S. LIBOR + 0.500% 1.7372% 7/25/37 (b)(d)(e) 191,901 159,789 
Class M5, 1 month U.S. LIBOR + 0.600% 1.8372% 7/25/37 (b)(d)(e) 73,047 56,209 
Series 2006-3A, Class IO, 0% 10/25/36 (b)(d)(g)(m) 3,719,332 
BBCMS Mortgage Trust Series 2016-ETC:   
Class D, 3.6089% 8/14/36 (b)(d) 1,000,000 947,708 
Class E, 3.6089% 8/14/36 (b)(d) 1,000,000 889,733 
Bear Stearns Commercial Mortgage Securities Trust Series 2006-T22 Class B, 5.7206% 4/12/38 (b)(d) 48,439 48,629 
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (b) 565,580 568,708 
BWAY Mortgage Trust Series 2015-1740 Class E, 4.45% 1/10/35 (b)(d) 1,000,000 989,322 
BX Trust Series 2017-IMC Class F, 1 month U.S. LIBOR + 4.250% 5.489% 10/15/32 (b)(d)(e) 1,253,000 1,256,127 
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(d) 606,000 589,367 
CD Mortgage Trust Series 2017-CD3:   
Class C, 4.563% 2/10/50 1,360,000 1,416,362 
Class D, 3.25% 2/10/50 (b) 754,000 616,393 
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7536% 12/15/47 (b)(d) 750,000 825,063 
CG-CCRE Commercial Mortgage Trust:   
Series 2014-FL1:   
Class YTC2, 1 month U.S. LIBOR + 2.489% 3.7279% 6/15/31 (b)(d)(e) 435,090 408,904 
Class YTC3, 1 month U.S. LIBOR + 2.489% 3.7279% 6/15/31 (b)(d)(e) 156,667 145,756 
Series 2014-FL1, 1 month U.S. LIBOR + 2.489% 3.7279% 6/15/31 (b)(d)(e) 435,090 412,034 
CGBAM Commercial Mortgage Trust Series 2015-SMRT:   
Class E, 3.7859% 4/10/28 (b)(d) 162,000 162,015 
Class F, 3.7859% 4/10/28 (b)(d) 1,133,000 1,121,102 
CGDB Commercial Mortgage Trust:   
1 month U.S. LIBOR + 2.500% 3.727% 5/15/30 (b)(d)(e) 260,000 260,467 
Series 2017-BIO Class F, 1 month U.S. LIBOR + 3.250% 4.4844% 5/15/30 (b)(d)(e) 134,000 133,866 
Chase Commercial Mortgage Securities Corp.:   
Series 1998-1 Class H, 6.34% 5/18/30 (b) 68,907 70,608 
Series 1998-2 Class J, 6.39% 11/18/30 (b) 210,434 209,360 
Citigroup Commercial Mortgage Trust:   
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(d) 1,205,000 1,165,296 
Series 2013-GC15 Class D, 5.0992% 9/10/46 (b)(d) 1,927,000 1,849,023 
Series 2015-GC33 Class XA, 0.9643% 9/10/58 (d)(m) 92,283,297 5,384,260 
Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.100% 5.589% 7/15/27 (b)(d)(e) 693,000 697,435 
Series 2016-C3 Class D, 3% 11/15/49 (b) 1,451,000 1,091,150 
Series 2016-P6 Class XA, 0.8335% 12/10/49 (d)(m) 83,237,775 3,974,529 
Series 2016-SMPL Class E, 4.509% 9/10/31 (b) 756,000 765,914 
COMM Mortgage Trust:   
floater Series 2014-PAT Class E, 1 month U.S. LIBOR + 3.150% 4.385% 8/13/27 (b)(d)(e) 735,000 746,009 
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) 1,410,000 1,055,600 
Series 2012-CR1:   
Class C, 5.3198% 5/15/45 (d) 850,000 897,172 
Class D, 5.3198% 5/15/45 (b)(d) 1,510,000 1,474,995 
Class G, 2.462% 5/15/45 (b) 231,000 139,359 
Series 2012-CR5 Class D, 4.3259% 12/10/45 (b)(d) 740,000 709,774 
Series 2012-LC4:   
Class C, 5.5887% 12/10/44 (d) 260,000 275,968 
Class D, 5.5887% 12/10/44 (b)(d) 1,437,000 1,292,673 
Series 2013-CCRE6 Class E, 4.1266% 3/10/46 (b)(d) 42,000 33,470 
Series 2013-CR10:   
Class C, 4.7886% 8/10/46 (b)(d) 270,000 276,480 
Class D, 4.7886% 8/10/46 (b)(d) 1,578,000 1,379,975 
Series 2013-CR12 Class D, 5.0789% 10/10/46 (b)(d) 1,680,000 1,454,241 
Series 2013-CR6 Class F, 4.1266% 3/10/46 (b)(d) 418,000 280,198 
Series 2013-CR9:   
Class C, 4.2544% 7/10/45 (b)(d) 525,000 519,020 
Class D, 4.2544% 7/10/45 (b)(d) 252,000 215,910 
Series 2013-LC6 Class D, 4.2729% 1/10/46 (b)(d) 1,441,000 1,344,404 
Series 2014-CR15 Class D, 4.7586% 2/10/47 (b)(d) 258,000 237,429 
Series 2014-CR17:   
Class D, 4.7986% 5/10/47 (b)(d) 799,000 704,661 
Class E, 4.7986% 5/10/47 (b)(d) 182,000 126,201 
Series 2014-CR19 Class XA, 1.384% 8/10/47 (d)(m) 155,692,720 7,949,390 
Series 2014-CR20 Class XA, 1.1641% 11/10/47 (d)(m) 125,811,428 6,951,836 
Series 2014-LC17 Class XA, 0.9566% 10/10/47 (d)(m) 108,688,453 3,946,043 
Series 2014-UBS2 Class D, 5.0146% 3/10/47 (b)(d) 844,000 723,353 
Series 2014-UBS4 Class XA, 1.2261% 8/10/47 (d)(m) 112,979,824 6,037,201 
Series 2014-UBS6 Class XA, 1.0239% 12/10/47 (d)(m) 152,628,538 7,298,422 
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d) 1,500,000 1,351,177 
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(d) 483,000 470,015 
Series 2015-DC1 Class XA, 1.1629% 2/10/48 (d)(m) 155,959,782 8,629,551 
Series 2016-CD1 Class D, 2.7714% 8/10/49 (b)(d) 1,006,000 771,013 
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) 772,000 631,519 
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 4.6046% 5/10/43 (b)(d) 1,290,000 1,288,223 
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) 340,000 271,530 
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (b) 704,887 710,462 
Commercial Mortgage Trust Series 2016-CD2:   
Class C, 3.031% 11/10/49 971,000 969,463 
Class D, 2.7809% 11/10/49 (d) 508,000 397,308 
Commercial Mortgage Trust pass-thru certificates:   
Series 2012-CR2:   
Class E, 4.8405% 8/15/45 (b)(d) 1,727,000 1,674,878 
Class F, 4.25% 8/15/45 (b) 1,418,000 1,149,202 
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) 496,000 313,470 
Core Industrial Trust:   
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(d) 625,000 608,653 
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(d) 493,000 485,620 
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(d) 1,566,000 1,519,902 
Credit Suisse First Boston Mortgage Securities Corp.:   
Series 1998-C1:   
Class F, 6% 5/17/40 (b) 178,197 178,943 
Class H, 6% 5/17/40 (b) 90,315 72,462 
Series 1998-C2 Class G, 6.75% 11/15/30 (b) 87,967 88,452 
CSAIL Commercial Mortgage Trust:   
Series 2017-C8 Class D, 4.47% 6/15/50 (b) 862,000 779,683 
Series 2017-CX10 Class UESD, 4.2366% 11/15/27 (b)(d) 588,000 568,037 
Series 2017-CX9 Class D, 4.161% 9/15/50 (b) 479,000 418,084 
CSMC Series 2015-TOWN:   
Class A, 1 month U.S. LIBOR + 1.250% 2.4889% 3/15/28 (b)(d)(e) 9,866,000 9,865,989 
Class B, 1 month U.S. LIBOR + 1.900% 3.1389% 3/15/28 (b)(d)(e) 3,043,000 3,042,995 
Class C, 1 month U.S. LIBOR + 2.250% 3.4889% 3/15/28 (b)(d)(e) 2,964,000 2,964,003 
Class D, 1 month U.S. LIBOR + 3.200% 4.4389% 3/15/28 (b)(d)(e) 4,485,000 4,487,814 
Class E, 1 month U.S. LIBOR + 4.150% 5.3889% 3/15/28 (b)(d)(e) 20,318,000 20,356,206 
CSMC Trust:   
floater Series 2015-DEAL:   
Class E, 1 month U.S. LIBOR + 4.000% 5.25% 4/15/29 (b)(d)(e) 1,109,000 1,110,384 
Class F, 1 month U.S. LIBOR + 4.750% 6% 4/15/29 (b)(d)(e) 989,000 989,619 
Series 2016-MFF Class F, 1 month U.S. LIBOR + 7.250% 8.4889% 11/15/33 (b)(d)(e) 968,000 977,828 
Series 2017-MOON Class E, 3.1965% 7/10/34 (b)(d) 377,000 367,044 
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (b)(d) 1,449,000 1,311,668 
DBUBS Mortgage Trust:   
Series 2011-LC1A:   
Class E, 5.6849% 11/10/46 (b)(d) 1,810,000 1,894,941 
Class F, 5.6849% 11/10/46 (b)(d) 1,560,000 1,512,370 
Class G, 4.652% 11/10/46 (b) 1,948,000 1,723,255 
Class XB, 0.3005% 11/10/46 (b)(d)(m) 20,920,000 186,753 
Series 2011-LC3A Class D, 5.3403% 8/10/44 (b)(d) 812,000 844,834 
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.494% 9/10/49 (d) 600,000 580,156 
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 52,088,846 51,533,215 
Freddie Mac:   
floater:   
Series KP04 Class AG1, 1 month U.S. LIBOR + 0.220% 1.46% 7/25/20 (d)(e) 12,900,000 12,899,999 
Series KP04, Class AG2, 1 month U.S. LIBOR + 0.200% 1.42% 10/25/19 (d)(e) 26,000,000 25,999,997 
pass-thru certificates:   
Series K011 Class X3, 2.5769% 12/25/43 (d)(m) 1,640,000 118,937 
Series K012 Class X3, 2.252% 1/25/41 (d)(m) 1,770,272 114,840 
Series K013 Class X3, 2.9089% 1/25/43 (d)(m) 820,000 68,226 
sequential payer Series K069 Class A1, 2.892% 6/25/27 13,700,000 13,868,617 
Series 2017-K727 Class A2, 2.946% 7/25/24 24,206,000 24,617,487 
Series 2017-K728 Class A2, 3.121% 8/25/24 (d) 9,000,000 9,216,320 
Series K068 Class A1, 2.952% 2/25/27 6,586,037 6,691,078 
Series KAIV Class X2, 3.6147% 6/25/46 (d)(m) 420,000 47,122 
FREMF Mortgage Trust:   
Series 2010-K9 Class B, 5.2059% 9/25/45 (b)(d) 1,815,000 1,932,408 
Series 2011-K10 Class B, 4.6216% 11/25/49 (b)(d) 500,000 521,757 
Series 2011-K11 Class B, 4.4237% 12/25/48 (b)(d) 750,000 782,868 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (b)(d) 18,910,000 19,141,950 
Class CFX, 3.3822% 12/15/34 (b)(d) 14,152,000 14,269,825 
Class DFX, 3.3822% 12/15/34 (b)(d) 27,804,000 27,970,012 
Class EFX, 3.3822% 12/15/34 (b)(d) 1,750,000 1,741,717 
Class FFX, 3.3822% 12/15/34 (b)(d) 1,915,000 1,891,570 
Class GFX, 3.3822% 12/15/34 (b)(d) 2,314,000 2,274,207 
GE Capital Commercial Mortgage Corp. Series 2007-C1 Class A1A, 5.483% 12/10/49 1,170,686 1,169,421 
GMAC Commercial Mortgage Securities, Inc.:   
Series 1997-C1 Class H, 6.6% 7/15/29 168,954 162,282 
Series 1997-C2 Class G, 6.75% 4/15/29 (d) 38,467 38,594 
Series 1999-C2I Class K, 6.481% 9/15/33 835,000 762,364 
GP Portfolio Trust Series 2014-GPP:   
Class D, 1 month U.S. LIBOR + 3.000% 4.2389% 2/15/27 (b)(d)(e) 291,000 291,090 
Class E, 1 month U.S. LIBOR + 4.100% 5.3389% 2/15/27 (b)(d)(e) 378,000 370,949 
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(d) 357,000 356,689 
GS Mortgage Securities Corp. II Series 2010-C1:   
Class D, 6.0509% 8/10/43 (b)(d) 617,000 632,666 
Class F, 4% 8/10/43 (b) 327,000 229,337 
Class X, 1.3828% 8/10/43 (b)(d)(m) 4,773,922 140,641 
GS Mortgage Securities Trust:   
Series 2010-C2:   
Class D, 5.1829% 12/10/43 (b)(d) 720,000 732,036 
Class XA, 0.1254% 12/10/43 (b)(d)(m) 3,189,732 11,771 
Series 2011-GC3 Class D, 5.6322% 3/10/44 (b)(d) 294,000 306,418 
Series 2011-GC5:   
Class C, 5.3987% 8/10/44 (b)(d) 1,050,000 1,118,830 
Class D, 5.3987% 8/10/44 (b)(d) 1,500,000 1,435,824 
Class E, 5.3987% 8/10/44 (b)(d) 711,000 575,234 
Class F, 4.5% 8/10/44 (b) 1,020,000 725,180 
Series 2012-GC6:   
Class D, 5.6522% 1/10/45 (b)(d) 1,156,000 1,106,598 
Class E, 5% 1/10/45 (b)(d) 412,000 353,086 
Series 2012-GC6I Class F, 5% 1/10/45 (d) 390,000 260,504 
Series 2012-GCJ7:   
Class C, 5.7015% 5/10/45 (d) 630,000 662,256 
Class D, 5.7015% 5/10/45 (b)(d) 2,204,000 2,146,895 
Class E, 5% 5/10/45 (b) 1,311,000 1,063,895 
Class F, 5% 5/10/45 (b) 2,079,000 1,134,844 
Series 2012-GCJ9:   
Class D, 4.9062% 11/10/45 (b)(d) 1,972,000 1,912,275 
Class E, 4.9062% 11/10/45 (b)(d) 1,290,000 1,145,575 
Series 2013-GC10 Class D, 4.4124% 2/10/46 (b)(d) 920,000 875,222 
Series 2013-GC12:   
Class D, 4.4465% 6/10/46 (b)(d) 219,000 188,236 
Class XA, 1.5413% 6/10/46 (d)(m) 29,807,232 1,724,000 
Series 2013-GC13 Class D, 4.2029% 7/10/46 (b)(d) 1,858,000 1,715,937 
Series 2013-GC16:   
Class C, 5.5047% 11/10/46 (d) 662,844 680,441 
Class D, 5.3271% 11/10/46 (b)(d) 1,009,000 961,825 
Class F, 3.5% 11/10/46 (b) 999,000 708,705 
Series 2014-GC20 Class XA, 1.0071% 4/10/47 (d)(m) 181,118,887 8,936,207 
Series 2015-GC34 Class XA, 1.3599% 10/10/48 (d)(m) 29,212,217 2,303,474 
Series 2016-GS2 Class C, 4.5295% 5/10/49 (d) 699,000 735,791 
Series 2016-GS3 Class D, 2.728% 10/10/49 (b) 1,776,000 1,382,570 
Series 2016-GS4 Class C, 3.8041% 11/10/49 728,000 718,042 
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) 1,113,000 1,090,406 
Series 2016-RENT:   
Class E, 4.0667% 2/10/29 (b)(d) 495,000 490,884 
Class F, 4.0667% 2/10/29 (b)(d) 1,520,000 1,423,143 
Series 2017-GS6 Class D, 3.331% 5/10/50 (b) 1,113,000 897,352 
Hilton U.S.A. Trust:   
floater Series 2014-ORL Class E, 1 month U.S. LIBOR + 3.350% 4.4889% 7/15/29 (b)(d)(e) 617,000 621,221 
Series 2016-HHV Class F, 4.1935% 11/5/38 (b)(d) 1,134,000 886,308 
Series 2016-SFP Class F, 6.0801% 11/5/35 (b) 567,000 577,375 
IMT Trust Series 2017-APTS:   
Class EFL, 1 month U.S. LIBOR + 2.150% 3.4003% 6/15/34 (b)(d)(e) 564,000 563,301 
Class FFL, 1 month U.S. LIBOR + 2.850% 4.1003% 6/15/34 (b)(d)(e) 226,000 225,813 
JPMBB Commercial Mortgage Securities Trust:   
Series 2014-C19 Class XA, 1.1631% 4/15/47 (d)(m) 23,445,399 651,123 
Series 2014-C22 Class D, 4.5591% 9/15/47 (b)(d) 525,000 443,766 
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) 179,000 157,351 
Series 2014-C26 Class D, 3.9244% 1/15/48 (b)(d) 707,000 590,804 
Series 2015-C30 Class XA, 0.6887% 7/15/48 (d)(m) 83,551,993 2,681,417 
Series 2015-C32 Class C, 4.6677% 11/15/48 (d) 1,907,000 1,913,282 
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4619% 12/15/49 (b) 1,462,000 1,180,072 
JPMDB Commercial Mortgage Securities Trust:   
Series 2016-C4:   
Class C, 3.0971% 12/15/49 946,000 888,692 
Class D, 3.0958% 12/15/49 (b)(d) 1,148,000 888,443 
Series 2017-C7:   
Class C, 4.325% 10/15/50 (d) 545,000 550,774 
Class D, 3% 10/15/50 (b) 569,000 455,679 
JPMorgan Chase Commercial Mortgage Securities Corp.:   
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (b) 321,176 329,874 
Series 2003-C1 Class F, 5.483% 1/12/37 (b)(d) 193,075 191,007 
Series 2009-IWST:   
Class C, 7.4453% 12/5/27 (b)(d) 380,000 416,135 
Class D, 7.4453% 12/5/27 (b)(d) 1,885,000 2,040,632 
Series 2010-CNTR Class D, 6.1838% 8/5/32 (b)(d) 695,000 737,993 
Series 2012-CBX:   
Class C, 5.2124% 6/15/45 (d) 250,000 260,831 
Class D, 5.2124% 6/16/45 (b)(d) 690,000 694,555 
Class E, 5.2124% 6/15/45 (b)(d) 1,043,000 1,035,427 
Class F, 4% 6/15/45 (b) 988,000 794,740 
Class G 4% 6/15/45(b) 1,079,000 595,131 
JPMorgan Chase Commercial Mortgage Securities Trust:   
Series 2004-CBX Class D, 5.097% 1/12/37 (d) 170,000 173,117 
Series 2004-LN2 Class D, 5.3682% 7/15/41 (d) 420,000 4,775 
Series 2005-LDP2:   
Class E, 4.981% 7/15/42 (d) 88,083 90,146 
Class F, 5.01% 7/15/42 (d) 189,000 189,203 
Series 2011-C3:   
Class E, 5.6146% 2/15/46 (b)(d) 700,000 696,335 
Class H, 4.409% 2/15/46 (b)(d) 756,000 550,570 
Class J, 4.409% 2/15/46 (b)(d) 106,000 66,403 
Series 2011-C4:   
Class E, 5.5344% 7/15/46 (b)(d) 1,130,000 1,154,606 
Class F, 3.873% 7/15/46 (b) 105,000 97,112 
Class H, 3.873% 7/15/46 (b) 674,250 480,977 
Class NR, 3.873% 7/15/46 (b) 385,000 240,036 
Class TAC1, 7.99% 7/15/46 (b) 720,712 720,180 
Class TAC2, 7.99% 7/15/46 (b) 671,000 667,651 
Series 2011-C5:   
Class B. 5.4077% 8/15/46 (b)(d) 1,140,000 1,228,500 
Class C, 5.4077% 8/15/46 (b)(d) 650,648 693,923 
Series 2013-LC11:   
Class C, 3.9582% 4/15/46 (d) 1,163,000 1,170,628 
Class D, 4.2029% 4/15/46 (d) 1,800,000 1,670,158 
Class F, 3.25% 4/15/46 (b)(d)(g) 1,682,000 963,407 
Series 2014-DSTY:   
Class D, 3.8046% 6/10/27 (b)(d) 816,000 788,808 
Class E, 3.8046% 6/10/27 (b)(d) 1,169,000 1,106,899 
Series 2015-UES Class F, 3.621% 9/5/32 (b)(d) 1,155,000 1,132,907 
Series 2016-WP Class TA, 1 month U.S. LIBOR + 1.450% 2.677% 10/15/33 (b)(d)(e) 15,063,000 15,105,298 
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(d) 1,218,000 1,185,707 
LB-UBS Commercial Mortgage Trust Series 2004-C2 Class G, 4.595% 3/15/36 (b)(d) 7,719 7,705 
Liberty Street Trust Series 2016-225L:   
Class D, 4.6485% 2/10/36 (b)(d) 588,000 623,855 
Class E, 4.6485% 2/10/36 (b)(d) 1,050,000 1,046,028 
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 1 month U.S. LIBOR + 1.800% 3.0389% 9/15/28 (b)(d)(e) 9,658,154 9,685,318 
LSTAR Commercial Mortgage Trust Series 2014-2:   
Class D, 4.8757% 1/20/41 (b)(d) 256,000 256,253 
Class E, 4.8757% 1/20/41 (b)(d) 400,000 371,338 
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (d) 69,513 69,196 
Merrill Lynch Mortgage Trust:   
Series 2006-C1 Class AJ, 5.5659% 5/12/39 (d) 296,137 298,079 
Series 2008-C1 Class A4, 5.69% 2/12/51 113,766 113,705 
Morgan Stanley BAML Trust:   
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (b) 750,000 722,373 
Series 2012-C5 Class E, 4.6878% 8/15/45 (b)(d) 269,000 267,314 
Series 2012-C6 Class D, 4.5955% 11/15/45 (b)(d) 1,357,000 1,347,274 
Series 2013-C12 Class D, 4.764% 10/15/46 (b)(d) 1,210,000 1,156,292 
Series 2013-C13:   
Class D, 4.8897% 11/15/46 (b)(d) 1,019,000 959,853 
Class E, 4.8897% 11/15/46 (b)(d) 887,000 701,009 
Series 2013-C7:   
Class D, 4.2588% 2/15/46 (b)(d) 1,111,000 1,014,156 
Class E, 4.2588% 2/15/46 (b)(d) 340,000 262,108 
Series 2013-C8 Class D, 4.0613% 12/15/48 (b)(d) 400,000 364,092 
Series 2013-C9:   
Class C, 4.0475% 5/15/46 (d) 790,000 785,513 
Class D, 4.1355% 5/15/46 (b)(d) 1,747,000 1,605,256 
Series 2014-C17 Class XA, 1.2368% 8/15/47 (d)(m) 175,190,845 8,424,910 
Series 2015-C25 Class XA, 1.137% 10/15/48 (d)(m) 47,363,623 3,103,227 
Series 2016-C30:   
Class C, 4.1319% 9/15/49 (d) 417,000 415,131 
Class D, 3% 9/15/49 (b) 452,000 336,389 
Series 2016-C31:   
Class C, 4.3199% 11/15/49 (d) 946,000 943,072 
Class D, 3% 11/15/49 (b)(d) 703,000 506,791 
Series 2016-C32:   
Class C, 4.296% 12/15/49 651,000 660,629 
Class D, 3.396% 12/15/49 (b) 924,000 689,470 
Series 2017-C33 Class D, 3.25% 5/15/50 (b) 879,000 715,225 
Morgan Stanley Capital I Trust:   
sequential payer Series 2012-C4 Class E, 5.4206% 3/15/45 (b)(d) 1,483,000 1,314,083 
Series 1997-RR Class F, 7.51% 4/30/39 (b)(d) 22,714 22,646 
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) 92,024 89,199 
Series 1999-WF1:   
Class N, 5.91% 11/15/31 (b) 151,823 151,481 
Class O, 5.91% 11/15/31 (b) 160,561 151,443 
Series 2011-C1:   
Class D, 5.4142% 9/15/47 (b)(d) 1,760,000 1,858,744 
Class E, 5.4142% 9/15/47 (b)(d) 573,100 604,918 
Series 2011-C2:   
Class D, 5.4831% 6/15/44 (b)(d) 1,272,000 1,309,201 
Class E, 5.4831% 6/15/44 (b)(d) 600,000 568,678 
Class F, 5.4831% 6/15/44 (b)(d) 550,000 451,161 
Class XB, 0.5345% 6/15/44 (b)(d)(m) 9,001,008 152,211 
Series 2011-C3:   
Class C, 5.1549% 7/15/49 (b)(d) 1,000,000 1,059,130 
Class D, 5.1549% 7/15/49 (b)(d) 1,130,000 1,161,904 
Class E, 5.1549% 7/15/49 (b)(d) 532,000 517,433 
Class F, 5.1549% 7/15/49 (b)(d) 181,000 167,630 
Class G, 5.1549% 7/15/49 (b)(d) 957,000 764,056 
Series 2012-C4:   
Class D, 5.4206% 3/15/45 (b)(d) 330,000 338,394 
Class F, 3.07% 3/15/45 (b) 623,000 450,717 
Series 2014-150E:   
Class C, 4.295% 9/9/32 (b)(d) 656,000 686,891 
Class F, 4.295% 9/9/32 (b)(d) 651,000 643,394 
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(d) 1,436,000 1,423,564 
Series 2015-MS1:   
Class C, 4.03% 5/15/48 (d) 734,000 721,014 
Class D, 4.1643% 5/15/48 (b)(d) 1,260,000 1,077,889 
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) 798,000 632,316 
Series 2016-BNK2:   
Class C, 3% 11/15/49 (b) 1,350,000 1,080,771 
Class D, 3.9106% 11/15/49 (d) 946,000 935,070 
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 3.7% 11/15/34 (b)(d)(e) 1,100,000 1,100,000 
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5788% 7/15/33 (b)(d) 96,051 98,729 
Motel 6 Trust floater:   
Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.927% 8.1649% 8/15/19 (b)(d)(e) 498,108 505,570 
Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 5.4889% 8/15/34 (b)(d)(e) 2,949,804 2,962,686 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (b)(d) 23,867,000 23,769,914 
Class B, 4.181% 11/15/34 (b) 8,435,000 8,455,348 
Class C, 5.205% 11/15/34 (b) 5,900,000 5,990,430 
Class D, 6.55% 11/15/34 (b) 2,222,000 2,249,120 
Class E, 6.8087% 11/15/34 (b) 615,000 583,931 
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d) 278,000 265,506 
NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (b) 296,661 305,159 
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) 972,724 1,190,225 
Real Estate Asset Liquidity Trust:   
Series 2006-2:   
Class J, 4.456% 9/12/38 (b) CAD23,014 17,726 
Class K, 4.456% 9/12/38 (b) CAD18,000 13,814 
Class L, 4.456% 9/12/38 (b) CAD26,000 19,851 
Class M, 4.456% 9/12/38 (b) CAD104,391 78,248 
Series 2007-1 Class M, 4.57% 4/12/23 CAD100,590 76,965 
SCG Trust Series 2013-SRP1:   
Class A, 1 month U.S. LIBOR + 1.400% 2.8889% 11/15/26 (b)(d)(e) 19,989,000 19,938,314 
Class D, 1 month U.S. LIBOR + 3.344% 4.594% 11/15/26 (b)(d)(e) 1,698,000 1,561,625 
Starwood Retail Property Trust Series 2014-STAR Class D, 1 month U.S. LIBOR + 3.250% 4.4889% 11/15/27 (b)(d)(e) 1,683,000 1,635,365 
TIAA Seasoned Commercial Mortgage Trust:   
sequential payer Series 2007-C4 Class AJ, 5.4756% 8/15/39 (d) 22,318 22,501 
Series 2007-C4 Class F, 5.4756% 8/15/39 (d) 820,000 757,322 
UBS Commercial Mortgage Trust Series 2012-C1:   
Class D, 5.5455% 5/10/45 (b)(d) 1,197,000 1,200,929 
Class E, 5% 5/10/45 (b)(d) 537,000 456,045 
Class F, 5% 5/10/45 (b)(d) 682,700 465,386 
UBS-BAMLL Trust:   
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d) 310,000 304,325 
Series 2012-WRM Class E, 4.238% 6/10/30 (b)(d) 970,000 926,586 
VNO Mortgage Trust Series 2012-6AVE Class D, 3.4484% 11/15/30 (b)(d) 1,299,000 1,285,607 
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) 180,000 195,756 
Wells Fargo Commercial Mortgage Trust:   
Series 2010-C1 Class XB, 0.5836% 11/15/43 (b)(d)(m) 20,614,217 329,310 
Series 2012-LC5:   
Class C, 4.693% 10/15/45 (d) 569,000 582,542 
Class D, 4.7649% 10/15/45 (b)(d) 1,776,000 1,611,048 
Class E, 4.7649% 10/15/45 (b)(d) 284,000 228,116 
Series 2013-LC12 Class C, 4.2943% 7/15/46 (d) 760,000 761,304 
Series 2015-C31 Class XA, 1.0979% 11/15/48 (d)(m) 38,142,082 2,439,461 
Series 2015-NXS4 Class E, 3.6007% 12/15/48 (b)(d) 588,000 434,226 
Series 2016-BNK1:   
Class C, 3.071% 8/15/49 700,000 647,634 
Class D, 3% 8/15/49 (b) 447,000 358,115 
Series 2016-C34 Class XA, 2.177% 6/15/49 (d)(m) 34,328,848 4,177,330 
Series 2016-C35 Class D, 3.142% 7/15/48 (b) 1,596,000 1,146,771 
Series 2016-LC25 Class C, 4.4363% 12/15/59 (d) 903,000 890,277 
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) 1,218,000 919,685 
Series 2017-C38 Class D, 3% 7/15/50 (b)(d) 1,364,000 1,077,038 
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) 556,000 457,480 
WF-RBS Commercial Mortgage Trust:   
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (b) 325,000 216,001 
Series 2011-C3:   
Class C, 5.335% 3/15/44 (b) 360,000 377,102 
Class D, 5.6402% 3/15/44 (b)(d) 800,000 699,755 
Class E, 5% 3/15/44 (b) 890,000 723,378 
Class F, 5% 3/15/44 (b) 693,000 458,517 
Series 2011-C4:   
Class D, 5.247% 6/15/44 (b)(d) 408,000 400,345 
Class E, 5.247% 6/15/44 (b)(d) 439,432 386,539 
Series 2011-C5:   
Class C, 5.6712% 11/15/44 (b)(d) 260,000 281,693 
Class D, 5.6712% 11/15/44 (b)(d) 600,000 618,280 
Class E, 5.6712% 11/15/44 (b)(d) 1,853,000 1,883,761 
Class F, 5.25% 11/15/44 (b)(d) 933,000 810,890 
Class G, 5.25% 11/15/44 (b)(d) 329,000 268,385 
Class XA, 1.7587% 11/15/44 (b)(d)(m) 3,970,080 213,126 
Series 2012-C10:   
Class E, 4.448% 12/15/45 (b)(d) 1,190,000 898,650 
Class F, 4.448% 12/15/45 (b)(d) 1,726,000 953,337 
Series 2012-C6 Class D, 5.5801% 4/15/45 (b)(d) 540,000 532,476 
Series 2012-C7:   
Class C, 4.8259% 6/15/45 (d) 1,270,000 1,289,370 
Class E, 4.8259% 6/15/45 (b)(d) 2,501,000 2,126,331 
Class F, 4.5% 6/15/45 (b) 357,000 265,946 
Class G, 4.5% 6/15/45 (b) 1,076,000 680,240 
Series 2012-C8:   
Class D, 4.8938% 8/15/45 (b)(d) 650,000 642,786 
Class E, 4.8938% 8/15/45 (b)(d) 335,000 323,623 
Series 2013-C11:   
Class D, 4.2082% 3/15/45 (b)(d) 870,000 794,410 
Class E, 4.2082% 3/15/45 (b)(d) 1,750,000 1,356,369 
Series 2013-C13 Class D, 4.1386% 5/15/45(b)(d) 600,000 553,861 
Series 2013-C16 Class D, 4.9797% 9/15/46 (b)(d) 193,000 183,211 
Series 2013-UBS1 Class D, 4.6243% 3/15/46 (b)(d) 756,000 702,431 
Series 2014-C21 Class XA, 1.1336% 8/15/47 (d)(m) 105,490,012 5,518,151 
Series 2014-C24 Class XA, 0.9548% 11/15/47 (d)(m) 34,683,122 1,618,755 
WFCG Commercial Mortgage Trust floater Series 2015-BXRP:   
Class F, 1 month U.S. LIBOR + 3.721% 4.9592% 11/15/29 (b)(d)(e) 1,054,900 1,056,763 
Class G, 1 month U.S. LIBOR + 3.001% 4.2589% 11/15/29 (b)(d)(e) 456,347 449,891 
Worldwide Plaza Trust Series 2017-WWP Class F, 3.5955% 11/10/36 (b)(d) 830,000 732,376 
WP Glimcher Mall Trust Series 2015-WPG:   
Class PR1, 3.516% 6/5/35 (b)(d) 489,000 376,502 
Class PR2, 3.516% 6/5/35 (b)(d) 1,260,000 917,494 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $655,610,865)  656,265,854 
Municipal Securities - 1.3%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $2,650,000 $3,928,228 
7.3% 10/1/39 27,595,000 40,862,400 
7.5% 4/1/34 9,105,000 13,347,202 
7.55% 4/1/39 18,745,000 29,009,387 
7.6% 11/1/40 14,220,000 22,470,728 
7.625% 3/1/40 10,110,000 15,630,970 
Chicago Gen. Oblig. (Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 2,410,000 2,452,079 
Series 2010 C1, 7.781% 1/1/35 13,950,000 16,648,209 
Series 2012 B, 5.432% 1/1/42 3,285,000 3,199,820 
Series 2014 B, 6.314% 1/1/44 4,955,000 5,307,548 
Illinois Gen. Oblig.:   
Series 2003:   
4.35% 6/1/18 3,508,000 3,538,239 
4.95% 6/1/23 24,240,000 25,256,141 
5.1% 6/1/33 63,045,000 62,654,121 
Series 2010-1, 6.63% 2/1/35 11,945,000 13,241,749 
Series 2010-3:   
5.547% 4/1/19 330,000 339,808 
6.725% 4/1/35 17,810,000 19,693,942 
7.35% 7/1/35 8,165,000 9,460,704 
Series 2010-5, 6.2% 7/1/21 6,528,000 6,850,940 
Series 2011:   
5.665% 3/1/18 21,275,000 21,455,199 
5.877% 3/1/19 77,850,000 80,549,060 
Series 2013:   
2.69% 12/1/17 3,365,000 3,365,000 
3.14% 12/1/18 3,490,000 3,496,073 
TOTAL MUNICIPAL SECURITIES   
(Cost $382,359,357)  402,757,547 
Foreign Government and Government Agency Obligations - 0.8%   
Arab Republic of Egypt:   
5.875% 6/11/25 $1,125,000 $1,146,465 
5.875% 6/11/25 (b) 535,000 545,208 
6.125% 1/31/22 (b) 3,575,000 3,726,744 
7.5% 1/31/27 (b) 600,000 664,524 
8.5% 1/31/47 (b) 3,000,000 3,430,020 
Argentine Republic:   
5.625% 1/26/22 4,320,000 4,533,840 
6.875% 4/22/21 11,710,000 12,711,205 
7.125% 6/28/2117 (b) 1,355,000 1,388,198 
7.5% 4/22/26 2,600,000 2,939,300 
Bahamian Republic 6% 11/21/28 (b) 785,000 797,953 
Bahrain Kingdom 6.75% 9/20/29 (b) 765,000 748,716 
Barbados Government:   
7% 8/4/22 (b) 825,000 740,438 
7.25% 12/15/21 (b) 90,000 83,025 
Belarus Republic:   
6.875% 2/28/23 (b) 1,910,000 2,013,446 
7.625% 6/29/27 (b) 955,000 1,043,185 
8.95% 1/26/18 5,940,000 5,972,314 
Brazilian Federative Republic:   
4.25% 1/7/25 10,005,000 10,125,060 
5.625% 1/7/41 13,135,000 13,384,565 
7.125% 1/20/37 4,625,000 5,547,688 
8.25% 1/20/34 4,795,000 6,293,438 
Buenos Aires Province:   
6.5% 2/15/23 (b) 1,350,000 1,434,942 
9.95% 6/9/21 (b) 4,065,000 4,709,424 
10.875% 1/26/21 (b) 1,125,000 1,285,684 
10.875% 1/26/21 (Reg. S) 5,315,000 6,074,141 
Cameroon Republic 9.5% 11/19/25 (b) 1,010,000 1,207,112 
City of Buenos Aires 8.95% 2/19/21 (b) 525,000 581,438 
Colombian Republic:   
6.125% 1/18/41 5,000 5,963 
7.375% 9/18/37 1,320,000 1,763,520 
10.375% 1/28/33 1,875,000 2,934,375 
Costa Rican Republic 7% 4/4/44 (b) 675,000 700,643 
Croatia Republic:   
5.5% 4/4/23 (b) 660,000 727,564 
6% 1/26/24 (b) 600,000 683,250 
Democratic Socialist Republic of Sri Lanka:   
6.2% 5/11/27 (b) 355,000 373,689 
6.25% 10/4/20 (b) 330,000 348,675 
6.25% 7/27/21 (b) 360,000 382,897 
Dominican Republic:   
5.95% 1/25/27 (b) 1,355,000 1,470,175 
6.6% 1/28/24 (b) 520,000 585,000 
6.85% 1/27/45 (b) 745,000 836,263 
6.875% 1/29/26 (b) 1,220,000 1,393,618 
7.45% 4/30/44 (b) 1,265,000 1,508,513 
Ecuador Republic:   
8.75% 6/2/23 (b) 275,000 298,375 
8.875% 10/23/27 (b) 1,645,000 1,742,055 
9.65% 12/13/26 (b) 1,000,000 1,122,500 
El Salvador Republic:   
7.375% 12/1/19 (b) 565,000 593,250 
7.65% 6/15/35 (Reg. S) 50,000 52,500 
German Federal Republic:   
0% 8/15/26(Reg. S) EUR300,000 350,476 
2.5% 8/15/46 EUR950,000 1,507,558 
4% 1/4/37 EUR1,720,000 3,164,084 
Indonesian Republic:   
2.625% 6/14/23 EUR7,700,000 9,838,547 
7.75% 1/17/38 (b) 1,975,000 2,801,281 
8.5% 10/12/35 (Reg. S) 2,285,000 3,399,767 
Islamic Republic of Pakistan:   
6.75% 12/3/19 (b) 200,000 206,843 
7.25% 4/15/19 (b) 2,940,000 3,038,267 
8.25% 4/15/24 (b) 300,000 328,402 
Jordanian Kingdom 7.375% 10/10/47 (b) 990,000 1,019,680 
Lebanese Republic:   
4% 12/31/17 1,239,250 1,233,896 
5.15% 6/12/18 3,830,000 3,798,326 
5.15% 11/12/18 2,755,000 2,719,593 
5.45% 11/28/19 2,170,000 2,106,250 
6% 5/20/19 2,735,000 2,705,243 
Mongolian People's Republic 8.75% 3/9/24 (b) 1,930,000 2,206,980 
Panamanian Republic 9.375% 4/1/29 365,000 553,888 
Peruvian Republic 4% 3/7/27 (g)(q) 1,360,000 1,341,709 
Province of Santa Fe 7% 3/23/23 (b) 2,780,000 3,003,707 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 4,155,000 4,477,802 
7.45% 9/1/24 (b) 1,920,000 2,098,310 
Republic of Angola 7% 8/17/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) 612,500 629,344 
Republic of Armenia:   
6% 9/30/20 (b) 2,106,000 2,221,830 
7.15% 3/26/25 (b) 995,000 1,120,728 
Republic of Iraq:   
5.8% 1/15/28 (Reg. S) 5,350,000 5,106,468 
6.752% 3/9/23 (b) 1,420,000 1,434,217 
Republic of Nigeria:   
6.5% 11/28/27 (b) 770,000 785,862 
6.75% 1/28/21 (b) 240,000 255,000 
7.625% 11/28/47 (b) 1,085,000 1,117,550 
Republic of Serbia:   
6.75% 11/1/24 (b) 1,070,575 1,090,434 
7.25% 9/28/21 (b) 735,000 842,310 
Russian Federation:   
5.25% 6/23/47 (b) 2,400,000 2,474,400 
5.625% 4/4/42 (b) 850,000 943,347 
5.875% 9/16/43 (b) 755,000 868,184 
12.75% 6/24/28 (Reg. S) 5,445,000 9,461,548 
Rwanda Republic 6.625% 5/2/23 (b) 985,000 1,019,475 
Saudi Arabia Kingdom of 3.625% 3/4/28 (b) 790,000 784,075 
South African Republic 5.875% 9/16/25 575,000 620,368 
State of Qatar 9.75% 6/15/30 (b) 565,000 879,711 
Turkish Republic:   
5.125% 3/25/22 1,590,000 1,639,624 
5.625% 3/30/21 1,770,000 1,854,695 
6% 3/25/27 975,000 1,023,081 
6.25% 9/26/22 6,900,000 7,439,456 
6.75% 5/30/40 550,000 592,554 
6.875% 3/17/36 1,795,000 1,958,345 
7% 6/5/20 1,140,000 1,227,210 
7.25% 3/5/38 1,150,000 1,306,975 
7.375% 2/5/25 1,495,000 1,702,730 
8% 2/14/34 760,000 917,449 
11.875% 1/15/30 1,455,000 2,249,837 
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) 895,000 907,956 
Ukraine Government:   
7.75% 9/1/19 (b) 1,185,000 1,244,724 
7.75% 9/1/20 (b) 2,965,000 3,148,830 
7.75% 9/1/21 (b) 13,049,000 13,897,342 
7.75% 9/1/22 (b) 10,079,000 10,717,202 
7.75% 9/1/23 (b) 519,000 551,447 
United Kingdom, Great Britain and Northern Ireland:   
1.5% 7/22/26(Reg. S) GBP200,000 276,494 
1.5% 7/22/47 GBP1,350,000 1,669,822 
2% 9/7/25(Reg. S) GBP1,285,000 1,849,361 
4.25% 3/7/36 GBP1,495,000 2,797,213 
4.5% 9/7/34 GBP2,135,000 4,044,056 
Uruguay Republic 7.875% 1/15/33 pay-in-kind 825,000 1,177,688 
Venezuelan Republic:   
9.25% 9/15/27 4,270,000 1,003,450 
11.95% 8/5/31 (Reg. S) 2,420,000 520,300 
12.75% 8/23/22 550,000 132,000 
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.813% 2.25% 3/13/28 (d)(e)(g) 195,000 172,464 
4% 3/12/28 (g)(q) 6,029,167 5,992,871 
4.8% 11/19/24 (b) 550,000 585,537 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $251,302,031)  266,807,071 
 Shares Value 
Common Stocks - 0.0%   
CONSUMER DISCRETIONARY - 0.0%   
Media - 0.0%   
Tribune Media Co. Class A 21,200 873,440 
ENERGY - 0.0%   
Energy Equipment & Services - 0.0%   
Forbes Energy Services Ltd. 154,425 1,775,888 
Oil, Gas & Consumable Fuels - 0.0%   
Pacific Exploration and Production Corp. 67,596 1,938,575 
Southwestern Energy Co. (r) 104,928 667,342 
Warrior Metropolitan Coal, Inc. 31,922 709,307 
  3,315,224 
TOTAL ENERGY  5,091,112 
MATERIALS - 0.0%   
Chemicals - 0.0%   
LyondellBasell Industries NV Class A 31,400 3,287,580 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Consolidated Communications Holdings, Inc. 14,162 200,251 
Wireless Telecommunication Services - 0.0%   
CUI Acquisition Corp. Class E (g)(r) 34,600 
TOTAL TELECOMMUNICATION SERVICES  234,851 
TOTAL COMMON STOCKS   
(Cost $22,288,579)  9,486,983 
Preferred Stocks - 0.0%   
Convertible Preferred Stocks - 0.0%   
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Southwestern Energy Co. Series B 6.25% 243,900 3,536,550 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Alexandria Real Estate Equities, Inc. Series D, 7.00% 9,000 331,875 
RLJ Lodging Trust 1.95% 17,900 491,892 
  823,767 
TOTAL CONVERTIBLE PREFERRED STOCKS  4,360,317 
Nonconvertible Preferred Stocks - 0.0%   
FINANCIALS - 0.0%   
Mortgage Real Estate Investment Trusts - 0.0%   
Annaly Capital Management, Inc. Series C, 7.625% 27,600 697,728 
CYS Investments, Inc. Series B, 7.50% 17,000 422,110 
MFA Financial, Inc. Series B, 7.50% 22,500 569,925 
  1,689,763 
Thrifts & Mortgage Finance - 0.0%   
Nationwide Building Society 10.25% (r) 9,106 1,933,448 
TOTAL FINANCIALS  3,623,211 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
American Homes 4 Rent Series D, 6.50% 24,500 668,850 
Boston Properties, Inc. 5.25% 17,500 449,577 
Cedar Realty Trust, Inc.:   
Series B, 7.25% 4,339 109,364 
Series C 6.50% 10,000 252,500 
DDR Corp. Series K, 6.25% 17,823 450,565 
National Storage Affiliates Trust Series A 6.00% (r) 11,900 304,640 
PS Business Parks, Inc. Series W 5.20% 100 2,535 
Public Storage Series F 5.15% 37,000 937,210 
Retail Properties America, Inc. Series A, 7.00% 24,109 611,163 
Rexford Industrial Realty, Inc. Series B 5.875% (r) 28,300 706,651 
Sabra Health Care REIT, Inc. Series A, 7.125% 18,495 466,999 
Taubman Centers, Inc. Series J, 6.50% 11,338 286,851 
  5,246,905 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  8,870,116 
TOTAL PREFERRED STOCKS   
(Cost $13,668,595)  13,230,433 
 Principal Amount(a) Value 
Bank Loan Obligations - 4.7%   
CONSUMER DISCRETIONARY - 1.4%   
Auto Components - 0.0%   
North American Lifting Holdings, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8328% 11/27/20 (d)(e) 4,529,729 4,239,056 
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 10.3328% 11/27/21 (d)(e) 1,594,000 1,349,592 
  5,588,648 
Automobiles - 0.0%   
Caliber Holdings Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 2/1/24 (d)(e) 1,404,939 1,415,476 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5998% 2/1/25 (d)(e) 385,000 392,700 
Chrysler Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.29% 12/31/18 (d)(e) 750,577 752,453 
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.7423% 4/18/23 (d)(e) 1,940,750 1,981,991 
  4,542,620 
Diversified Consumer Services - 0.2%   
Avatar Purchaser, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.016% 9/7/24 (d)(e) 1,000,000 1,003,750 
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 11/7/23 (d)(e) 1,500,621 1,503,997 
Coinmach Service Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1473% 11/14/22 (d)(e) 7,271,009 7,325,541 
Creative Artists Agency LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7503% 2/15/24 (d)(e) 937,638 945,843 
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.34% 7/3/20 (d)(e) 1,148,725 1,128,622 
KUEHG Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 8/13/22 (d)(e) 4,431,484 4,453,642 
Tranche B, term loan 3 month U.S. LIBOR + 8.250% 9.5828% 8/22/25 (d)(e) 1,000,000 1,005,000 
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 4/26/24 (d)(e) 23,417,325 23,570,943 
Seminole Tribe Florida Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2421% 7/6/24 (d)(e) 2,500,000 2,510,725 
The ServiceMaster Co. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 11/8/23 (d)(e) 2,977,500 2,982,145 
Wash Multifamily Acquisition, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 5/14/22 (d)(e) 4,765,578 4,783,448 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3498% 5/14/23 (d)(e)(g) 360,000 356,400 
Weight Watchers International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.23% 11/20/24 (d)(e) 8,000,000 7,867,520 
Zodiac Pool Solutions LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3328% 12/20/23 (d)(e) 1,320,025 1,323,325 
  60,760,901 
Hotels, Restaurants & Leisure - 0.6%   
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.085% 5/30/21 (d)(e) 2,928,404 2,925,973 
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 7/1/23 (d)(e) 1,922,903 1,932,517 
AP Gaming I LLC term loan 3 month U.S. LIBOR + 5.500% 6.8498% 2/15/24 (d)(e) 1,201,988 1,208,995 
Aristocrat Technologies, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.3626% 10/20/21 (d)(e) 4,125,923 4,143,211 
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.7011% 9/15/23 (d)(e) 2,179,744 2,188,943 
Burger King Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5931% 2/17/24 (d)(e) 8,422,864 8,417,642 
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 10/11/20 (d)(e) 12,530,096 12,522,327 
Caesars Growth Properties Holdings LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.2423% 5/8/21 (d)(e) 15,421,403 15,418,165 
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 9/28/24 (e)(s) 28,000,000 28,140,000 
CCM Merger, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 8/8/21 (d)(e) 2,680,505 2,689,887 
CEC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 2/14/21 (d)(e) 3,687,513 3,545,765 
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 4/18/24 (d)(e) 3,137,138 3,150,094 
Cyan Blue Holdco 3 Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 8/25/24 (d)(e) 1,640,888 1,649,781 
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 2/1/24 (d)(e) 7,795,000 7,833,975 
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.554% 4/17/24 (d)(e) 3,290,555 3,286,442 
Equinox Holdings, Inc. Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3498% 9/8/24 (d)(e) 940,000 967,617 
Equinox Holdings, Inc. Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 4.569% 3/8/24 (d)(e) 2,238,750 2,252,742 
ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7423% 8/30/23 (d)(e) 2,996,272 3,000,437 
Fitness International LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7423% 7/1/20 (d)(e) 1,086,193 1,101,129 
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 11/30/23 (d)(e) 6,439,061 6,468,552 
Gateway Casinos & Entertainment Ltd. term loan 3 month U.S. LIBOR + 3.750% 5.0828% 2/22/23 (d)(e) 2,997,488 3,028,392 
Golden Entertainment, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.000% 4.29% 10/20/24 (d)(e) 10,600,000 10,604,452 
3 month U.S. LIBOR + 7.000% 8.29% 10/20/25 (d)(e) 2,700,000 2,716,875 
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.598% 10/4/23 (d)(e) 14,843,643 14,950,814 
Greektown Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 4/25/24 (d)(e) 1,107,225 1,108,609 
Hilton Worldwide Finance LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.3275% 10/25/23 (d)(e) 4,968,134 4,991,533 
Intrawest Resorts Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 7/31/24 (d)(e) 3,415,000 3,438,495 
La Quinta Intermediate Holdings LLC Tranche B LN, term loan 3 month U.S. LIBOR + 2.750% 4.1092% 4/14/21 (d)(e) 3,530,230 3,542,586 
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2285% 6/10/22 (d)(e) 3,543,390 3,545,622 
MGM Mirage, Inc. Tranche A, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 4/25/21 (d)(e) 1,771,000 1,771,744 
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 10/14/23 (d)(e) 1,415,000 1,426,943 
NVA Holdings, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 8/14/21 (d)(e) 440,000 442,750 
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8607% 1/19/24 (d)(e) 751,225 754,515 
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3699% 4/27/24 (d)(e) 5,719,800 5,739,819 
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.5998% 7/28/21 (d)(e) 2,046,435 2,051,551 
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.67% 5/11/24 (d)(e) 293,525 295,360 
Scientific Games Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.657% 8/14/24 (d)(e) 11,040,000 11,135,054 
SeaWorld Parks & Entertainment, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 3/31/24 (d)(e) 1,089,525 1,074,348 
SMG Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 2/27/20 (d)(e) 1,530,048 1,531,011 
Station Casinos LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.82% 6/8/23 (d)(e) 5,175,863 5,185,283 
Tropicana Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 11/27/20 (d)(e) 836,321 838,411 
Wynn America LLC Tranche A 1LN, term loan 3 month U.S. LIBOR + 1.750% 3.1% 12/31/21 (d)(e) 1,725,000 1,722,844 
Yonkers Racing Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.6% 5/31/24 (d)(e) 1,963,600 1,967,292 
  196,708,497 
Internet & Direct Marketing Retail - 0.1%   
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.3498% 9/25/24 (d)(e) 15,464,576 15,107,035 
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 8/19/23 (d)(e) 2,462,500 2,476,512 
Red Ventures LLC:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.3347% 11/8/25 (d)(e) 1,368,000 1,363,732 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3347% 11/8/24 (d)(e) 8,135,000 8,091,803 
  27,039,082 
Leisure Products - 0.0%   
Hayward Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 8/4/24 (d)(e) 1,415,000 1,418,538 
Media - 0.4%   
Acosta, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 9/26/21 (d)(e) 1,750,897 1,523,771 
Altice U.S. Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/28/25 (d)(e) 1,990,013 1,974,252 
AMC Entertainment Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5003% 12/15/23 (d)(e) 1,740,616 1,738,440 
AMC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5003% 12/15/22 (d)(e) 5,012,214 5,024,744 
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.57% 5/1/24 (d)(e) 1,017,450 1,018,722 
CBS Radio, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 3/2/24 (e)(s) 6,120,000 6,158,250 
CDS U.S. Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 7/8/22 (d)(e) 1,816,011 1,813,741 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.5828% 7/8/23 (d)(e) 465,000 461,898 
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.4949% 6/7/23 (d)(e) 6,067,375 5,770,741 
Charter Communication Operating LLC:   
term loan:   
3 month U.S. LIBOR + 2.000% 3.35% 7/1/20 (d)(e) 1,459,094 1,464,157 
3 month U.S. LIBOR + 2.000% 3.35% 1/3/21 (d)(e) 4,358,335 4,370,887 
Tranche H, term loan 3 month U.S. LIBOR + 2.000% 3.35% 1/15/22 (d)(e) 985,000 988,083 
Tranche I, term loan 3 month U.S. LIBOR + 2.250% 3.5% 1/15/24 (d)(e) 6,239,975 6,266,495 
Clear Channel Communications, Inc. Tranche D, term loan 3 month U.S. LIBOR + 6.750% 8.0828% 1/30/19 (d)(e) 8,600,000 6,478,638 
Emerald Exposit Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 5/22/24 (d)(e) 1,436,400 1,441,183 
Getty Images, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 10/18/19 (d)(e) 4,401,728 3,824,001 
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 5/29/21 (d)(e) 4,583,882 4,251,551 
ION Media Networks, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.43% 12/18/20 (d)(e) 1,938,474 1,940,897 
Lions Gate Entertainment Corp. term loan 3 month U.S. LIBOR + 3.000% 4.3498% 12/8/23 (d)(e) 1,850,000 1,850,000 
MCC Iowa LLC Tranche M, term loan 3 month U.S. LIBOR + 2.000% 3.21% 1/15/25 (d)(e) 830,000 831,453 
McGraw-Hill Global Education Holdings, LLC term loan 3 month U.S. LIBOR + 4.000% 5.3498% 5/4/22 (d)(e) 6,798,938 6,802,609 
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5135% 7/17/25 (d)(e) 2,638,267 2,621,778 
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 3.2439% 10/4/23 (d)(e) 5,050,869 5,069,810 
Numericable LLC Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.000% 4.3491% 1/1/26 (d)(e) 3,425,000 3,339,375 
Proquest LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9923% 10/24/21 (d)(e) 3,907,355 3,948,069 
Raycom Media, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0775% 8/23/24 (d)(e) 2,060,000 2,072,875 
Springer Science+Business Media Deutschland GmbH Tranche B 13LN, term loan 3 month U.S. LIBOR + 3.500% 4.9788% 8/15/22 (d)(e) 8,677,856 8,706,493 
Unitymedia Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5003% 9/30/25 (d)(e) 4,130,000 4,128,265 
Virgin Media Bristol LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7503% 1/31/26(d)(e) 5,000,000 4,996,900 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5327% 8/19/23 (d)(e) 9,075,000 8,986,156 
Ziggo Secured Finance Partnership Tranche E, term loan 3 month U.S. LIBOR + 2.500% 3.7503% 4/15/25 (d)(e) 4,610,000 4,582,340 
  114,446,574 
Multiline Retail - 0.0%   
JC Penney Corp., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.7288% 6/23/23 (d)(e) 10,649,154 9,701,380 
Specialty Retail - 0.1%   
ABB Optical Group LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.3196% 6/15/23 (d)(e) 1,331,550 1,328,221 
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3143% 7/2/22 (d)(e) 5,136,085 4,116,007 
Burlington Coat Factory Warehouse Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.77% 11/7/24 (d)(e) 3,000,000 2,999,250 
Davids Bridal, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.34% 10/11/19 (d)(e) 1,860,847 1,547,611 
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.4329% 8/19/22 (d)(e) 4,674,707 4,678,027 
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3801% 1/26/23 (d)(e) 4,766,805 3,747,900 
PetSmart, Inc. term loan 3 month U.S. LIBOR + 3.000% 4.34% 3/11/22 (d)(e) 10,473,351 9,017,555 
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 0% 11/16/17 (e)(f) 2,013,658 20,137 
  27,454,708 
Textiles, Apparel & Luxury Goods - 0.0%   
Hercules Achievement, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7427% 12/11/21 (d)(e) 4,542,675 4,572,974 
TOTAL CONSUMER DISCRETIONARY  452,233,922 
CONSUMER STAPLES - 0.3%   
Beverages - 0.0%   
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.042% 12/16/23 (d)(e) 1,985,000 1,993,694 
Food & Staples Retailing - 0.2%   
Agro Merchants Intermediate Ho Tranche B, term loan 3 month U.S. LIBOR + 3.750% 11/16/24 (e)(s) 2,235,000 2,248,969 
Albertson's LLC Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 4.0998% 8/25/21 (d)(e) 15,496,402 15,041,273 
3 month U.S. LIBOR + 3.000% 4.3297% 12/21/22 (d)(e) 3,979,430 3,865,658 
3 month U.S. LIBOR + 3.000% 4.4623% 6/22/23 (d)(e) 6,836,741 6,640,184 
BJ's Wholesale Club, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.500% 8.7421% 2/3/25 (d)(e) 2,000,000 1,945,840 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.9921% 2/3/24 (d)(e) 7,897,769 7,766,745 
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.85% 6/28/20 (d)(e) 1,072,224 927,474 
GOBP Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 10/21/21 (d)(e) 3,844,212 3,832,218 
Pizza Hut Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2827% 6/16/23 (d)(e) 6,223,725 6,267,291 
Shearer's Foods, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0828% 6/30/22 (d)(e) 2,913,000 2,745,503 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.938% 5.2703% 6/30/21 (d)(e) 3,323,769 3,302,996 
Smart & Final, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 11/15/22 (d)(e) 4,033,000 3,947,299 
U.S. Foods, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.1% 6/27/23 (d)(e) 3,456,250 3,473,531 
  62,004,981 
Food Products - 0.1%   
Arctic Glacier Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5998% 3/20/24 (d)(e) 805,950 814,010 
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.7421% 10/7/23 (d)(e) 4,524,464 4,569,709 
Hostess Brands LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 8/3/22 (d)(e) 1,054,010 1,055,064 
JBS USA Lux SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.7635% 10/30/22 (d)(e) 2,472,444 2,419,286 
Post Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 5/24/24 (d)(e) 6,279,263 6,299,858 
  15,157,927 
Personal Products - 0.0%   
Prestige Brands, Inc. term loan 3 month U.S. LIBOR + 2.750% 4.0998% 1/26/24 (d)(e) 2,012,786 2,022,527 
TOTAL CONSUMER STAPLES  81,179,129 
ENERGY - 0.2%   
Energy Equipment & Services - 0.0%   
Cactus Wellhead LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.3498% 7/31/20 (d)(e) 2,799,591 2,766,919 
Expro Finservices SARL Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0661% 9/2/21 (d)(e) 6,049,557 3,322,235 
Forbes Energy Services LLC Tranche B, term loan 12% 4/13/21 (d)(g) 1,520,311 1,531,714 
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0998% 4/16/21 (d)(e) 2,335,000 2,276,625 
Pacific Drilling SA Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.875% 6/3/18 (d)(e) 1,337,010 467,954 
Seadrill Operating LP Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 2/21/21 (d)(e) 3,063,248 2,356,158 
  12,721,605 
Oil, Gas & Consumable Fuels - 0.2%   
Alon U.S.A. Partners LP term loan 3 month U.S. LIBOR + 8.000% 9.3498% 11/26/18 (d)(e) 2,121,953 2,133,899 
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 5/18/23 (d)(e) 1,995,000 2,012,456 
Bcp Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.7288% 6/22/24 (d)(e) 3,925,163 3,952,168 
California Resources Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 11.6577% 12/31/21 (d)(e) 6,470,000 6,987,600 
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.016% 11/17/22 (d)(e) 7,270,000 7,146,483 
Chesapeake Energy Corp. Tranche 1LN, term loan 3 month U.S. LIBOR + 7.500% 8.954% 8/23/21 (d)(e) 7,870,000 8,371,713 
Chief Exploration & Development, LLC. Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.9586% 5/16/21 (d)(e) 2,832,000 2,773,604 
Citgo Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 8.500% 9.835% 5/12/18 (d)(e) 3,727,453 3,733,678 
Citgo Petroleum Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.835% 7/29/21 (d)(e) 2,322,680 2,285,517 
Crestwood Holdings Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 9.4357% 6/19/19 (d)(e) 3,930,718 3,929,067 
Foresight Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 7.0828% 3/28/22 (d)(e) 1,990,000 1,833,288 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.2449% 3/1/24 (d)(e) 3,500,000 3,438,750 
Houston Fuel Oil Terminal Co. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.83% 8/19/21 (d)(e) 7,189,591 7,234,526 
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 5.2827% 2/15/24 (d)(e) 2,850,676 2,811,479 
Medallion Midland Acquisition Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5621% 10/31/24 (d)(e) 2,410,000 2,413,013 
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 7.0828% 12/19/20 (d)(e) 5,718,252 5,518,113 
  66,575,354 
TOTAL ENERGY  79,296,959 
FINANCIALS - 0.3%   
Capital Markets - 0.1%   
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.35% 4/27/24 (d)(e) 3,037,388 3,041,184 
Duff & Phelps Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.6067% 10/5/24 (d)(e) 1,180,000 1,180,366 
HarbourVest Partners LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8586% 2/4/21 (d)(e) 688,600 688,311 
IBC Capital U.S. LLC:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3172% 9/9/22 (d)(e) 2,505,000 2,436,113 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0672% 9/10/21 (d)(e) 1,654,892 1,652,310 
Jane Street Group LLC Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8793% 8/25/22 (d)(e) 2,000,000 2,015,000 
Recess Holdings, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.750% 9/29/24(e)(t) 205,357 206,127 
3 month U.S. LIBOR + 3.750% 5.2539% 9/29/24 (d)(e) 1,519,643 1,525,342 
  12,744,753 
Diversified Financial Services - 0.1%   
Bcp Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3801% 10/31/24 (d)(e) 3,415,000 3,445,940 
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 10/6/23 (d)(e) 4,118,000 4,147,608 
Extell Boston 5.154% 8/31/21 (d) 1,076,575 1,080,343 
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 2.75% 7/14/22(d)(e) 3,000,000 3,031,500 
Flying Fortress Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 10/30/22 (d)(e) 2,000,000 2,015,000 
Focus Financial Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5735% 7/3/24 (d)(e) 1,385,000 1,395,388 
Kingpin Intermediate Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.57% 7/3/24 (d)(e) 997,500 1,004,981 
Nab Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5135% 6/30/24 (d)(e) 1,750,613 1,761,554 
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.8328% 2/10/24 (d)(e) 2,736,250 2,599,438 
Peak 10 Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8161% 8/1/24 (d)(e) 1,000,000 1,001,560 
The Edelman Financial Center L Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6526% 11/9/24 (d)(e) 2,500,000 2,528,125 
TransUnion LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3498% 4/9/23 (d)(e) 4,893,918 4,911,047 
UFC Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.58% 8/18/23 (d)(e) 2,966,278 2,980,635 
VF Holdings Corp. term loan 3 month U.S. LIBOR + 3.250% 4.4923% 6/30/23 (d)(e) 1,485,000 1,492,885 
  33,396,004 
Insurance - 0.1%   
Acrisure LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6473% 11/22/23 (d)(e) 5,971,350 6,021,748 
Alliant Holdings Intermediate LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5775% 8/14/22 (d)(e) 3,924,863 3,939,817 
AmWINS Group, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8.0998% 1/25/25 (d)(e) 275,000 278,713 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.0699% 1/25/24 (d)(e) 1,488,750 1,492,472 
Asurion LLC:   
Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 11/3/23 (d)(e) 7,621,474 7,648,835 
Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 4.0998% 8/4/22 (d)(e) 4,680,974 4,700,494 
3 month U.S. LIBOR + 6.000% 7.3498% 8/4/25 (d)(e) 3,935,000 4,034,359 
HUB International Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.4127% 10/2/20 (d)(e) 4,788,142 4,807,295 
USI, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.000% 5/16/24 (e)(s) 4,895,000 4,870,525 
3 month U.S. LIBOR + 3.000% 4.3498% 5/16/24 (d)(e) 4,680,000 4,667,317 
  42,461,575 
Real Estate Management & Development - 0.0%   
DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.6935% 11/4/21 (d)(e) 5,245,752 5,153,951 
MGM Growth Properties Operating Partner LP Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 4/25/23 (d)(e) 4,798,207 4,817,064 
  9,971,015 
Thrifts & Mortgage Finance - 0.0%   
Ocwen Loan Servicing LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.2449% 12/5/20 (d)(e) 1,262,215 1,263,010 
TOTAL FINANCIALS  99,836,357 
HEALTH CARE - 0.3%   
Health Care Equipment & Supplies - 0.0%   
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 6/22/24 (d)(e) 2,817,938 2,775,668 
CPI Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 3/21/24 (d)(e) 1,905,427 1,914,954 
Ortho-Clinical Diagnostics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 6/30/21 (d)(e) 8,936,924 8,953,725 
  13,644,347 
Health Care Providers & Services - 0.2%   
Community Health Systems, Inc.:   
Tranche G, term loan 3 month U.S. LIBOR + 2.750% 4.2288% 12/31/19 (d)(e) 1,254,624 1,219,444 
Tranche H, term loan 3 month U.S. LIBOR + 3.000% 4.4788% 1/27/21 (d)(e) 9,149,915 8,754,730 
Envision Healthcare Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.35% 12/1/23 (d)(e) 5,461,237 5,471,505 
Ghx Ultimate Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5828% 6/30/24 (d)(e) 1,256,850 1,260,520 
HCA Holdings, Inc.:   
Tranche B 8LN, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 2/15/24 (d)(e) 2,977,538 2,994,093 
Tranche B 9LN, term loan 3 month U.S. LIBOR + 2.000% 3.3498% 3/18/23 (d)(e) 7,900,300 7,924,001 
Kindred Healthcare, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.875% 4/9/21 (d)(e) 1,558,472 1,561,402 
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 6/7/23 (d)(e) 2,273,055 2,274,123 
Onex Schumacher Finance LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 7/31/22 (d)(e) 1,166,057 1,141,279 
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 6/23/24 (d)(e) 997,500 996,253 
U.S. Renal Care, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.3328% 12/31/23 (d)(e) 3,000,000 2,955,000 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.5828% 12/31/22 (d)(e) 7,392,552 7,194,801 
Vizient, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 2/11/23 (d)(e) 3,440,980 3,449,583 
Wink Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 10/31/24 (e)(s) 2,500,000 2,512,500 
  49,709,234 
Health Care Technology - 0.0%   
Press Ganey Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.500% 7.8498% 10/21/24 (d)(e) 673,321 680,054 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 10/21/23 (d)(e) 3,877,500 3,900,106 
  4,580,160 
Life Sciences Tools & Services - 0.0%   
Albany Molecular Research, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.250% 4.5828% 8/30/24 (d)(e) 1,105,000 1,108,227 
3 month U.S. LIBOR + 7.000% 8.3328% 8/30/25 (d)(e) 580,000 587,250 
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 8/11/24 (d)(e) 5,000,000 5,027,100 
  6,722,577 
Pharmaceuticals - 0.1%   
HLF Financing U.S. LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.8498% 2/15/23 (d)(e) 2,439,324 2,431,201 
Innoviva, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.9357% 8/18/22 (d)(e) 2,540,000 2,546,350 
Lannett Co., Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0998% 11/25/20 (d)(e) 255,000 254,363 
Tranche B, term loan 3 month U.S. LIBOR + 5.375% 6.6173% 11/25/22 (d)(e) 4,215,000 4,215,000 
RPI Finance Trust Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 3/27/23 (d)(e) 3,967,879 3,984,425 
Valeant Pharmaceuticals International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.75% 4/1/22 (d)(e) 10,097,156 10,230,944 
  23,662,283 
TOTAL HEALTH CARE  98,318,601 
INDUSTRIALS - 0.5%   
Aerospace & Defense - 0.1%   
TransDigm, Inc.:   
term loan 3 month U.S. LIBOR + 2.750% 4.0998% 5/14/22 (d)(e) 980,870 982,950 
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 6/9/23 (d)(e) 19,295,656 19,297,586 
Tranche G, term loan 3 month U.S. LIBOR + 3.000% 4.346% 8/22/24 (d)(e) 7,750,575 7,784,988 
  28,065,524 
Air Freight & Logistics - 0.0%   
Hanjin International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8539% 10/18/20 (d)(e) 1,625,000 1,625,000 
Transplace Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.4921% 10/5/24 (d)(e) 3,000,000 3,026,250 
  4,651,250 
Airlines - 0.1%   
American Airlines, Inc.:   
term loan 3 month U.S. LIBOR + 2.000% 3.2503% 12/14/23 (d)(e) 4,445,000 4,438,910 
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.2461% 10/10/21 (d)(e) 6,177,773 6,175,858 
  10,614,768 
Building Products - 0.0%   
GYP Holdings III Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3801% 4/1/23 (d)(e) 3,795,806 3,816,379 
HD Supply, Inc. Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.500% 3.8328% 10/17/23 (d)(e) 992,500 999,120 
Jeld-Wen, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 7/1/22 (d)(e) 1,718,653 1,729,395 
  6,544,894 
Commercial Services & Supplies - 0.2%   
ABG Intermediate Holdings 2 LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 9/29/24 (d)(e) 975,000 982,927 
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6149% 6/21/24 (d)(e) 9,052,313 9,089,699 
Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 6.0717% 11/3/23 (d)(e) 4,900,000 4,913,769 
Hd Supply Waterworks Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.455% 8/1/24 (d)(e) 3,055,000 3,072,200 
KAR Auction Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.875% 3/9/23 (d)(e) 1,117,740 1,123,799 
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 4/7/21 (d)(e) 14,371,889 14,403,364 
Merrill Communications LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.6301% 6/1/22 (d)(e) 1,739,487 1,752,533 
Metal Services LLC Tranche B, term loan 3 month U.S. LIBOR + 7.500% 8.8328% 6/30/19 (d)(e) 1,086,203 1,086,203 
Multi-Color Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 9/20/24 (d)(e) 1,280,000 1,287,462 
Optiv Security, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.625% 2/1/24 (d)(e) 1,347,089 1,282,684 
Prime Security Services Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 5/2/22 (d)(e) 11,252,700 11,330,118 
SAI Global GP Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8328% 12/8/23 (d)(e)(g) 2,481,250 2,475,047 
The Brickman Group, Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.3363% 12/18/20 (d)(e) 2,680,685 2,690,737 
Thomson Reuters IP&S term loan 1 month U.S. LIBOR + 3.250% 4.5998% 10/3/23 (d)(e) 3,776,945 3,787,181 
TMK Hawk Parent Corp. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 9/26/24 (e)(s) 55,556 55,889 
3 month U.S. LIBOR + 3.500% 4.8799% 9/26/24 (d)(e) 1,244,444 1,251,911 
West Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 10/10/24 (d)(e) 1,763,767 1,760,910 
Wrangler Buyer Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 9/28/24 (d)(e) 1,425,000 1,433,393 
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 1/15/21 (d)(e) 2,212,417 2,227,639 
  66,007,465 
Construction & Engineering - 0.1%   
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.33% 9/27/24 (d)(e) 3,515,000 3,547,514 
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8328% 5/21/22 (d)(e) 3,157,470 3,181,151 
  6,728,665 
Electrical Equipment - 0.0%   
Cortes NP Acquisition Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 11/30/23 (d)(e) 2,507,499 2,517,956 
Machinery - 0.0%   
Doosan Bobcat Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.7827% 5/18/24 (d)(e) 1,601,932 1,608,740 
Gardner Denver, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0828% 7/30/24 (d)(e) 1,030,000 1,033,224 
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 3/13/22 (d)(e) 3,595,806 3,612,095 
The Gates Corp. term loan 3 month U.S. LIBOR + 3.000% 4.3883% 3/31/24 (d)(e) 392,019 393,979 
  6,648,038 
Marine - 0.0%   
International Seaways Operating Corp. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.85% 6/22/22 (d)(e) 2,911,688 2,911,688 
Navios Maritime Partners LP Tranche B, term loan 3 month U.S. LIBOR + 5.000% 6.32% 9/14/20 (d)(e) 2,925,001 2,910,376 
  5,822,064 
Professional Services - 0.0%   
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0828% 4/4/24 (d)(e) 3,358,125 3,371,658 
Science Applications International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.9375% 5/4/22 (d)(e) 1,405,732 1,414,518 
  4,786,176 
Trading Companies & Distributors - 0.0%   
Beacon Roofing Supply, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 1/2/25 (e)(s) 1,000,000 1,001,880 
Fly Funding II SARL Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.41% 2/9/23 (d)(e) 2,070,479 2,071,121 
  3,073,001 
Transportation Infrastructure - 0.0%   
American Commercial Barge Line Tranche B 1LN, term loan 3 month U.S. LIBOR + 8.750% 10.0998% 11/12/20 (d)(e) 1,139,941 689,664 
DAE Aviation Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1% 7/7/22 (d)(e) 3,279,848 3,298,707 
  3,988,371 
TOTAL INDUSTRIALS  149,448,172 
INFORMATION TECHNOLOGY - 0.8%   
Communications Equipment - 0.0%   
Polycom, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.250% 6.5552% 9/27/23 (d)(e) 706,883 712,715 
Radiate Holdco LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 2/1/24 (e)(s) 2,000,000 1,983,760 
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2423% 2/1/24 (d)(e) 6,474,906 6,422,330 
Zayo Group LLC term loan 3 month U.S. LIBOR + 2.000% 3.3129% 1/19/21 (d)(e) 1,955,175 1,957,267 
  11,076,072 
Electronic Equipment & Components - 0.1%   
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.3498% 1/31/24 (d)(e) 1,985,000 2,014,775 
Exc Holdings Iii Corp. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 5.1605% 11/16/24 (d)(e) 1,210,000 1,217,563 
3 month U.S. LIBOR + 7.500% 11/16/25 (e)(s) 750,000 752,190 
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 2/15/24 (d)(e) 9,385,861 9,410,639 
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 4.0828% 2/1/22 (d)(e) 2,197,380 2,194,172 
Lux FinCo U.S. SPV Tranche B 3LN, term loan 3 month U.S. LIBOR + 3.500% 4.8322% 10/16/22 (d)(e) 1,908,243 1,903,472 
TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 9/28/24 (d)(e) 2,000,000 2,006,260 
  19,499,071 
Internet Software & Services - 0.2%   
Abacus Innovations Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.375% 8/16/23 (d)(e) 1,815,852 1,830,379 
Ancestry.Com Operations, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5% 10/19/23 (d)(e) 4,950,000 4,973,216 
Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 11/14/24 (e)(s) 2,500,000 2,500,000 
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.4583% 2/9/23 (d)(e) 6,618,757 6,658,734 
Mcafee LLC Tranche B, term loan:   
3 month U.S. LIBOR + 4.500% 5.8328% 9/29/24 (d)(e) 5,605,000 5,628,653 
3 month U.S. LIBOR + 8.500% 9.8328% 9/29/25 (d)(e) 1,000,000 1,010,310 
MH Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.07% 9/15/24 (d)(e) 2,000,000 1,989,380 
Rackspace Hosting, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3847% 11/3/23 (d)(e) 14,273,312 14,250,332 
Travelclick, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 5/12/21 (d)(e) 925,392 930,019 
Uber Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 5.3275% 7/13/23 (d)(e) 12,830,534 12,926,763 
Vfh Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1348% 12/30/21 (d)(e) 1,425,000 1,430,344 
  54,128,130 
IT Services - 0.2%   
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.500% 4.8129% 9/15/20 (d)(e) 7,301,067 7,299,242 
Cologix Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.4561% 3/20/24 (d)(e) 1,990,000 1,987,513 
First Data Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.5629% 7/10/22 (d)(e) 13,988,329 13,987,490 
Global Payments, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.000% 3.3498% 4/22/23 (d)(e) 1,238,388 1,245,607 
Information Resources, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.250% 9.6174% 1/18/25 (d)(e) 1,000,000 1,003,750 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.6174% 1/18/24 (d)(e) 3,089,475 3,107,487 
Inmar, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.4171% 5/1/25 (d)(e) 290,000 290,000 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.9171% 5/1/24 (d)(e) 852,438 853,503 
Mitchell International, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.250% 11/20/24 (e)(s) 1,758,209 1,758,209 
3 month U.S. LIBOR + 3.250% 11/20/24 (e)(s) 141,791 141,791 
3 month U.S. LIBOR + 7.250% 11/20/25 (e)(s) 750,000 755,310 
Neustar, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 8.000% 9.397% 8/8/25 (d)(e) 700,000 706,342 
Tranche B1 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.647% 1/8/20 (d)(e) 411,599 416,057 
Tranche B2 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.147% 8/8/24 (d)(e) 2,440,000 2,461,960 
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 5/1/24 (d)(e) 5,356,575 5,344,844 
Vantiv LLC Tranche B, term loan:   
3 month U.S. LIBOR + 2.000% 8/7/24 (e)(s) 821,793 824,193 
3 month U.S. LIBOR + 2.000% 3.2503% 8/7/24 (d)(e) 2,928,207 2,941,267 
WEX, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 7/1/23 (d)(e) 3,202,535 3,222,038 
Xerox Business Services LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 12/7/23 (d)(e) 3,498,563 3,518,259 
  51,864,862 
Semiconductors & Semiconductor Equipment - 0.0%   
Bright Bidco BV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8357% 6/30/24 (d)(e) 2,493,750 2,516,343 
Cavium, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.5968% 8/16/22 (d)(e) 1,566,059 1,566,059 
Microsemi Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3828% 1/15/23 (d)(e) 1,386,841 1,390,114 
  5,472,516 
Software - 0.3%   
Almonde, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.7288% 6/13/25 (d)(e) 2,025,000 2,023,988 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.9788% 6/13/24 (d)(e) 7,895,213 7,884,791 
Aptean, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.500% 10.84% 12/20/23 (d)(e) 685,000 689,569 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 5.59% 12/20/22 (d)(e) 1,920,350 1,933,159 
Compuware Corp.:   
term loan 3 month U.S. LIBOR + 8.250% 9.6161% 12/15/22 (d)(e) 743,561 744,490 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 4.250% 5.63% 12/15/21 (d)(e) 5,216,108 5,263,940 
Digicert Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.1301% 10/31/24 (d)(e) 4,580,000 4,635,830 
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.1% 6/1/22 (d)(e) 7,876,713 7,914,443 
Evo Payments International LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 6.35% 12/20/23 (d)(e) 2,487,500 2,518,594 
Hyland Software, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 7/1/22 (d)(e) 1,356,591 1,368,462 
Ion Trading Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.1328% 11/14/24 (d)(e) 3,000,000 3,002,490 
Kronos, Inc.:   
term loan 3 month U.S. LIBOR + 8.250% 9.6268% 11/1/24 (d)(e) 5,095,000 5,246,780 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.9024% 11/1/23 (d)(e) 14,505,570 14,571,280 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 5.6% 1/20/24 (d)(e) 7,358,571 7,115,738 
3 month U.S. LIBOR + 9.000% 10.35% 1/20/25 (d)(e) 2,445,000 2,351,797 
MA FinanceCo. LLC Tranche B 3LN, term loan:   
3 month U.S. LIBOR + 2.750% 4.0629% 6/21/24 (d)(e) 7,012,898 7,023,838 
3 month U.S. LIBOR + 2.750% 4.0629% 6/21/24 (d)(e) 1,052,102 1,053,743 
Quest Software U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.919% 10/31/22 (d)(e) 4,087,236 4,131,501 
Renaissance Learning, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.0828% 4/9/21 (d)(e) 6,386,379 6,418,311 
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 8.3328% 4/9/22 (d)(e) 2,813,000 2,823,549 
SolarWinds Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 2/5/23 (d)(e) 2,962,613 2,973,308 
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 3/3/23 (d)(e) 4,903,290 4,925,257 
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 4.5828% 9/30/22 (d)(e) 4,889,935 4,886,903 
SS&C Technologies, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/8/22 (d)(e) 1,625,937 1,635,806 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/8/22 (d)(e) 70,557 70,986 
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0611% 9/30/23 (d)(e) 3,738,182 3,759,975 
TIBCO Software, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.85% 12/4/20 (d)(e) 775,158 776,514 
  107,745,042 
Technology Hardware, Storage & Peripherals - 0.0%   
Dell International LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.35% 9/7/23 (d)(e) 1,608,200 1,608,570 
TOTAL INFORMATION TECHNOLOGY  251,394,263 
MATERIALS - 0.3%   
Chemicals - 0.1%   
American Rock Salt Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 5.2285% 5/20/21 (d)(e) 2,723,507 2,720,103 
Ashland LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3007% 5/17/24 (d)(e) 1,995,000 2,001,643 
ASP Chromaflo Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.3498% 11/18/23 (d)(e) 1,806,350 1,813,124 
Ineos Styrolution U.S. Holding LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3154% 3/29/24 (d)(e) 1,240,854 1,242,406 
Jade Germany GmbH Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.8328% 5/31/23 (d)(e) 2,992,500 2,992,500 
Kraton Polymers LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 1/6/22 (d)(e) 1,555,164 1,569,830 
MacDermid, Inc.:   
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 4% 6/7/23 (d)(e) 3,321,614 3,338,222 
Tranche B 7LN, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 6/7/20 (d)(e) 2,602,699 2,618,966 
Methanol Holdings (TRINIDAD) Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 6/30/22 (d)(e) 2,576,819 2,576,819 
Oxea Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.875% 10/12/24 (d)(e) 2,145,000 2,148,582 
The Chemours Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.85% 5/12/22 (d)(e) 2,369,108 2,388,369 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 9/6/24 (d)(e) 2,000,000 2,014,380 
Tronox Blocked Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3231% 9/22/24 (d)(e) 1,900,116 1,915,165 
Tronox Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3231% 9/22/24 (d)(e) 4,384,884 4,419,612 
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.3328% 6/1/24 (d)(e) 1,965,000 1,970,659 
Univar, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 3.8376% 7/1/24 (d)(e) 1,400,000 1,403,500 
Venator Materials LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3801% 8/8/24 (d)(e) 1,260,000 1,267,875 
  38,401,755 
Containers & Packaging - 0.1%   
Berlin Packaging, LLC:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 8% 10/1/22 (d)(e) 1,129,000 1,137,468 
Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.549% 10/1/21 (d)(e) 5,339,535 5,374,402 
Berry Global, Inc.:   
term loan 3 month U.S. LIBOR + 2.000% 3.4058% 1/6/21 (d)(e) 3,552,000 3,554,842 
Tranche M, term loan 3 month U.S. LIBOR + 2.250% 3.5591% 10/1/22 (d)(e) 4,956,562 4,972,076 
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 4.5984% 4/3/24 (d)(e) 997,500 1,001,420 
Caraustar Industries, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 6.8328% 3/14/22 (d)(e) 3,492,450 3,485,919 
Charter Nex U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 5/16/24 (d)(e) 1,231,913 1,236,914 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 5/22/24 (d)(e) 2,290,000 2,300,878 
Flex Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 4.335% 12/29/23 (d)(e) 4,527,250 4,549,886 
Plastipak Packaging, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.02% 10/14/24 (d)(e) 820,000 823,895 
Printpack Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.375% 7/26/23 (d)(e) 1,069,200 1,073,209 
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0998% 2/5/23 (d)(e) 13,027,016 13,084,986 
  42,595,895 
Metals & Mining - 0.1%   
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 6.59% 8/25/23 (d)(e) 7,202,610 6,698,427 
JMC Steel Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0731% 6/14/21 (d)(e) 2,858,518 2,873,525 
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 8.5828% 4/16/20 (d)(e) 8,064,842 7,147,466 
Walter Energy, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.800% 0% 4/1/18 (e)(f)(g) 2,107,367 
  16,719,418 
TOTAL MATERIALS  97,717,068 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
iStar Financial, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.2647% 10/1/21 (d)(e) 980,332 986,459 
The GEO Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.57% 3/23/24 (d)(e) 1,467,625 1,469,460 
Uniti Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3498% 10/24/22 (d)(e) 2,114,382 2,033,782 
VICI Properties 1 LLC/VICI FC, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 10/15/22 (e)(s) 1,940,000 1,939,302 
  6,429,003 
Real Estate Management & Development - 0.1%   
Americold Realty Operating Partnership LP Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.0998% 12/1/22 (d)(e) 2,469,466 2,491,074 
Capital Automotive LP:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.35% 3/24/25 (d)(e) 922,111 945,164 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 3.8498% 3/24/24 (d)(e) 171,168 171,510 
Realogy Group LLC term loan 3 month U.S. LIBOR + 2.250% 3.5998% 7/20/22 (d)(e) 4,946,276 4,964,825 
Simply Storage Management LLC 8.2375% 9/6/21 (d)(g) 1,305,000 1,305,000 
  9,877,573 
TOTAL REAL ESTATE  16,306,576 
TELECOMMUNICATION SERVICES - 0.3%   
Diversified Telecommunication Services - 0.2%   
Altice Financing SA Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 1/31/26 (e)(s) 5,500,000 5,335,000 
3 month U.S. LIBOR + 2.750% 4.1092% 7/15/25 (d)(e) 3,134,250 3,059,028 
Cincinnati Bell, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 4.9933% 4/15/24 (d)(e) 2,000,000 2,024,280 
Consolidated Communications, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 4.35% 10/5/23 (d)(e) 1,997,539 1,962,162 
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.6959% 2/22/24 (d)(e) 13,355,000 13,338,306 
Sable International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 4.8498% 1/31/25 (d)(e) 6,400,000 6,406,016 
Securus Technologies, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 4.500% 5.8498% 11/1/24 (d)(e) 9,580,000 9,660,855 
3 month U.S. LIBOR + 8.250% 9.5998% 11/1/25 (d)(e) 3,360,000 3,383,117 
SFR Group SA Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 4.1301% 7/31/25 (d)(e) 8,202,775 7,987,452 
  53,156,216 
Wireless Telecommunication Services - 0.1%   
Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.08% 5/25/24 (d)(e) 4,080,000 4,081,020 
Intelsat Jackson Holdings SA Tranche B, term loan 3 month U.S. LIBOR + 3.750% 5.2123% 11/27/23 (d)(e) 12,645,000 12,444,071 
Sprint Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.875% 2/3/24 (d)(e) 8,296,275 8,294,201 
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3328% 4/23/19 (d)(e) 4,011,549 3,949,370 
Telesat LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.000% 4.32% 11/17/23 (d)(e) 5,985,141 6,010,099 
Xplornet Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0828% 9/9/21 (d)(e) 2,139,149 2,159,214 
  36,937,975 
TOTAL TELECOMMUNICATION SERVICES  90,094,191 
UTILITIES - 0.2%   
Electric Utilities - 0.1%   
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3.6% 5/3/20 (d)(e) 1,852,443 1,850,702 
Empire Generating Co. LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.63% 3/14/21 (d)(e) 884,825 765,374 
Tranche C, term loan 3 month U.S. LIBOR + 4.250% 5.63% 3/14/21 (d)(e) 87,227 75,451 
Exgen Renewables Iv LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.4676% 11/16/24 (d)(e) 4,445,000 4,478,338 
Exgen Texas Power LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 6.0828% 9/18/21 (d)(e) 4,473,483 2,765,194 
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 6.8328% 11/13/21 (d)(e) 3,042,000 2,935,530 
InterGen NV Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.84% 6/13/20 (d)(e) 6,261,839 6,256,642 
Lightstone Holdco LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 1/30/24 (d)(e) 2,542,861 2,549,218 
Tranche C, term loan 3 month U.S. LIBOR + 4.500% 5.8498% 1/30/24 (d)(e) 158,446 158,842 
Longview Power LLC Tranche B, term loan 3 month U.S. LIBOR + 6.000% 7.39% 4/13/21 (d)(e) 1,955,000 1,282,969 
Tex Operations Co. LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.0965% 8/4/23 (d)(e) 6,465,429 6,491,484 
Tranche C, term loan 3 month U.S. LIBOR + 2.750% 4.0839% 8/4/23 (d)(e) 1,485,714 1,491,702 
USIC Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.0039% 12/9/23 (d)(e) 1,488,750 1,498,993 
Vistra Operations Co. LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 4.0326% 12/14/23 (d)(e) 1,488,750 1,497,310 
  34,097,749 
Independent Power and Renewable Electricity Producers - 0.1%   
Dynegy, Inc. Tranche C, term loan 3 month U.S. LIBOR + 3.250% 4.5998% 2/7/24 (d)(e) 6,806,790 6,843,955 
Energy Future Holdings Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.3474% 6/30/18 (d)(e) 13,500,000 13,541,040 
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.6% 12/9/21 (d)(e) 2,696,298 2,426,668 
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 5.5828% 6/26/22 (d)(e) 2,466,745 2,472,912 
TerraForm Power Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 4.147% 11/8/22 (d)(e) 810,000 817,088 
The AES Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 3.454% 5/24/22 (d)(e) 4,049,650 4,062,325 
  30,163,988 
TOTAL UTILITIES  64,261,737 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $1,484,290,336)  1,480,086,975 
Bank Notes - 0.5%   
Capital One NA:   
1.65% 2/5/18 $18,801,000 $18,792,916 
2.95% 7/23/21 18,827,000 18,949,994 
Discover Bank:   
(Delaware) 3.2% 8/9/21 25,781,000 26,192,830 
3.1% 6/4/20 22,584,000 22,880,693 
8.7% 11/18/19 2,958,000 3,274,590 
KeyBank NA 6.95% 2/1/28 1,977,000 2,474,949 
RBS Citizens NA 2.5% 3/14/19 11,319,000 11,355,867 
Regions Bank 7.5% 5/15/18 24,647,000 25,241,969 
UBS AG Stamford Branch 1.8% 3/26/18 24,142,000 24,151,400 
TOTAL BANK NOTES   
(Cost $151,365,404)  153,315,208 
Preferred Securities - 0.6%   
CONSUMER DISCRETIONARY - 0.0%   
Automobiles - 0.0%   
Volkswagen International Finance NV 2.5%(Reg. S) (c)(d) EUR$1,525,000 $1,894,878 
CONSUMER STAPLES - 0.0%   
Food Products - 0.0%   
Cosan Overseas Ltd. 8.25% (c) 4,152,000 4,291,212 
Danone SA 1.75% (Reg. S) (c)(d) EUR1,500,000 1,786,507 
  6,077,719 
ENERGY - 0.1%   
Oil, Gas & Consumable Fuels - 0.1%   
Andeavor Logistics LP 6.875% (c)(d) 4,985,000 5,046,316 
Total SA 2.625% (Reg. S)(c)(d) EUR2,150,000 2,718,960 
  7,765,276 
FINANCIALS - 0.5%   
Banks - 0.4%   
Alfa Bond Issuance PLC 8% (Reg. S) (c)(d) 1,860,000 1,998,044 
Banco Do Brasil SA 9% (b)(c)(d) 2,050,000 2,302,805 
Banco Mercantil del Norte SA 7.625% (b)(c)(d) 1,530,000 1,685,453 
Bank of America Corp.:   
6.1% (c)(d) 8,141,000 9,129,221 
6.25% (c)(d) 5,325,000 5,977,423 
6.5% (c)(d) 3,000,000 3,433,693 
Bank of Nova Scotia 4.65% (c)(d) 1,700,000 1,706,609 
Barclays Bank PLC 7.625% 11/21/22 30,445,000 34,734,894 
Barclays PLC:   
6.625% (c)(d) 13,935,000 14,530,922 
7.875% (Reg. S) (c)(d) GBP1,500,000 2,277,110 
8.25% (c)(d) 500,000 535,756 
BNP Paribas SA 6.75% (Reg. S) (c)(d) 1,500,000 1,647,441 
Citigroup, Inc.:   
5.875% (c)(d) 4,305,000 4,554,901 
5.95% (c)(d) 5,290,000 5,713,887 
5.95% (c)(d) 2,285,000 2,436,591 
Credit Agricole SA:   
6.625% (b)(c)(d) 13,700,000 14,429,804 
7.875% (b)(c)(d) 4,250,000 4,883,071 
8.125% 9/19/33 (Reg. S) (d) 2,500,000 2,647,212 
Erste Group Bank AG 6.5% (Reg. S) (c)(d) EUR600,000 837,962 
HSBC Holdings PLC 5.25% (c)(d) EUR2,000,000 2,659,451 
Royal Bank of Scotland Group PLC:   
7.5% (c)(d) 9,170,000 9,835,052 
8.625% (c)(d) 3,665,000 4,186,130 
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (c) EUR2,050,000 3,066,925 
  135,210,357 
Capital Markets - 0.0%   
Goldman Sachs Group, Inc. 5% (c)(d) 7,500,000 7,474,836 
UBS AG 4.75% 2/12/26 (Reg. S) (d) EUR2,800,000 3,860,933 
  11,335,769 
Diversified Financial Services - 0.0%   
Magnesita Finance Ltd.:   
8.625% (b)(c) 985,000 1,005,054 
8.625% (Reg. S) (c) 200,000 204,072 
  1,209,126 
Insurance - 0.1%   
Assicurazioni Generali SpA 6.416% (c)(d) GBP2,900,000 4,543,713 
Aviva PLC 6.125% (c)(d) GBP2,200,000 3,438,210 
Credit Agricole Assurances SA 4.25% (Reg. S) (c)(d) EUR2,600,000 3,578,168 
  11,560,091 
TOTAL FINANCIALS  159,315,343 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd.:   
7.5% (b)(c) 7,325,000 2,681,460 
7.5% (Reg. S) (c) 100,000 36,607 
  2,718,067 
MATERIALS - 0.0%   
Metals & Mining - 0.0%   
CSN Islands XII Corp. 7% (Reg. S) (c) 1,600,000 1,251,242 
TELECOMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Telefonica Europe BV 6.5% (Reg. S) (c)(d) EUR5,500,000 6,933,422 
TOTAL PREFERRED SECURITIES   
(Cost $175,834,306)  185,955,947 
 Shares Value 
Money Market Funds - 1.8%   
Fidelity Cash Central Fund, 1.13% (u)   
(Cost $569,979,950) 569,946,243 570,060,232 

Purchased Swaptions - 0.0%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option with an exercise rate of 2.625% on a credit default swap with BNP Paribas to buy protection on the 5-Year iTraxx Europe Crossover Series 28 Index expiring December 2022, paying 5% quarterly 1/17/18 EUR 31,700,000 $104,501 
TOTAL PURCHASED SWAPTIONS    
(Cost $198,685)   104,501 
TOTAL INVESTMENT IN SECURITIES - 101.3%    
(Cost $31,976,629,432)   32,205,313,050 
NET OTHER ASSETS (LIABILITIES) - (1.3)%   (420,497,172) 
NET ASSETS - 100%   $31,784,815,878 

TBA Sale Commitments   
 Principal Amount Value 
Fannie Mae   
3% 12/1/47 $(1,400,000) $(1,395,780) 
3% 12/1/47 (16,600,000) (16,549,964) 
3% 12/1/47 (8,400,000) (8,374,681) 
3.5% 12/1/47 (22,500,000) (23,063,681) 
TOTAL FANNIE MAE  (49,384,106) 
Freddie Mac   
3% 12/1/47 (160,000,000) (159,530,224) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $209,506,438)  $(208,914,330) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Bond Index Contracts      
ASX 10 Year Treasury Bond Index Contracts (Australia) 29 Dec. 2017 $2,865,752 $23,633 $23,633 
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) 16 March 2018 3,153,686 (3,442) (3,442) 
TSE 10 Year Japanese Government Bond Index Contracts (Japan) Dec. 2017 4,023,191 (11,889) (11,889) 
TOTAL BOND INDEX CONTRACTS     8,302 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 201 March 2018 24,933,422 (138,372) (138,372) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 128 March 2018 27,444,000 (22,219) (22,219) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 156 March 2018 18,149,625 (61,615) (61,615) 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 21 March 2018 3,186,094 (17,261) (17,261) 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 49 March 2018 6,525,422 (32,259) (32,259) 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 73 March 2018 12,035,875 (92,470) (92,470) 
TME 10 Year Canadian Note Contracts (Canada) 73 March 2018 7,734,837 (3,944) (3,944) 
TOTAL TREASURY CONTRACTS     (368,140) 
TOTAL PURCHASED     (359,838) 
Sold      
Bond Index Contracts      
Eurex Euro-Bobl Contracts (Germany) 259 March 2018 40,732,343 5,934 5,934 
Eurex Euro-Bund Contracts (Germany) 59 March 2018 11,405,202 2,756 2,756 
ICE Long Gilt Contracts (United Kingdom) 48 March 2018 8,023,519 15,000 15,000 
ICE Medium Gilt Contracts (United Kingdom) 27 March 2018 4,113,392 13,682 13,682 
TOTAL BOND INDEX CONTRACTS     37,372 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 1,150 March 2018 142,653,906 770,242 770,242 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 424 March 2018 90,908,250 65,423 65,423 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 58 March 2018 8,799,688 47,000 47,000 
TOTAL TREASURY CONTRACTS     882,665 
TOTAL SOLD     920,037 
TOTAL FUTURES CONTRACTS     $560,199 

The notional amount of futures purchased as a percentage of Net Assets is 0.3%

The notional amount of futures sold as a percentage of Net Assets is 1.0%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) 
EUR 2,509,000 USD 2,968,699 Canadian Imperial Bank of Commerce 12/1/17 $17,638 
EUR 3,336,000 USD 3,954,594 Credit Suisse Intl. 12/1/17 16,080 
EUR 1,621,000 USD 1,944,597 Canadian Imperial Bank of Commerce 2/23/18 (4,976) 
EUR 547,000 USD 650,176 Citibank, N.A. 2/23/18 4,342 
EUR 5,825,000 USD 6,898,082 Citibank, N.A. 2/23/18 71,872 
EUR 179,000 USD 212,218 Goldman Sachs Bank USA 2/23/18 1,966 
EUR 239,000 USD 285,458 JPMorgan Chase Bank, N.A. 2/23/18 520 
GBP 2,088,000 USD 2,749,623 Citibank, N.A. 2/23/18 82,458 
JPY 3,100,000 USD 27,705 JPMorgan Chase Bank, N.A. 2/23/18 (35) 
USD 105,100 AUD 137,000 State Street Bank and Trust Co. 2/23/18 1,518 
USD 108,959 CAD 138,000 Citibank, N.A. 2/23/18 1,871 
USD 3,104,919 EUR 2,610,000 Canadian Imperial Bank of Commerce 2/23/18 (18,099) 
USD 144,086 EUR 122,000 Citibank, N.A. 2/23/18 (1,895) 
USD 3,967,469 EUR 3,329,000 Credit Suisse Intl. 2/23/18 (15,874) 
USD 171,923,711 EUR 146,414,000 Goldman Sachs Bank USA 2/23/18 (3,269,205) 
USD 7,110,633 EUR 6,057,000 JPMorgan Chase Bank, N.A. 2/23/18 (136,922) 
USD 886,913 EUR 750,000 State Street Bank and Trust Co. 2/23/18 (10,506) 
USD 618,100 EUR 521,000 State Street Bank and Trust Co. 2/23/18 (5,307) 
USD 979,052 GBP 728,000 Citibank, N.A. 2/23/18 (8,379) 
USD 73,310,830 GBP 55,242,000 Goldman Sachs Bank USA 2/23/18 (1,617,237) 
USD 586,649 GBP 438,000 JPMorgan Chase Bank, N.A. 2/23/18 (7,437) 
USD 559,554 GBP 418,000 Royal Bank Of Canada 2/23/18 (7,404) 
USD 52,819 JPY 5,950,000 State Street Bank and Trust Co. 2/23/18 (288) 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $(4,905,299) 
     Unrealized Appreciation 198,265 
     Unrealized Depreciation (5,103,564) 

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty(2) Fixed Payment Received/(Paid) Payment Frequency Notional Amount(3) Value(1) Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps          
Buy Protection          
5-Year iTraxx Europe Series 25 Index  Jun. 2021 ICE (1%) Quarterly EUR 8,300,000 $(152,634) $0 $(152,634) 
Accor SA  Jun. 2022 Citibank, N.A. (1%) Quarterly EUR 4,200,000 (110,709) 84,795 (25,914) 
Assicurazioni Generali SpA  Dec. 2021 JPMorgan Chase Bank, N.A. (1%) Quarterly EUR 1,800,000 1,670 (123,805) (122,135) 
Carlsberg Breweries A/S  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,150,000 (160,421) 145,137 (15,284) 
Energias De Portugal SA  Jun. 2022 JPMorgan Chase Bank, N.A. (5%) Quarterly EUR 3,550,000 (912,164) 838,381 (73,783) 
Gas Natural Capital Markets SA  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,200,000 (116,413) 110,151 (6,262) 
Kering SA  Sep. 2018 Morgan Stanley Capital Group, Inc. (1%) Quarterly EUR 3,500,000 (40,622) 3,265 (37,357) 
Royal Bank Of Scotland Grp PLC (Ungtd)  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,600,000 (100,915) (113,942) (214,857) 
Santander Issuances SA Unipersonal  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,350,000 11,316 (101,488) (90,172) 
Standard Chartered PLC  Jun. 2021 Goldman Sachs Bank USA (1%) Quarterly EUR 1,550,000 (38,330) (114,381) (152,711) 
TOTAL BUY PROTECTION       (1,619,222) 728,113 (891,109) 
Sell Protection          
5-Year iTraxx Europe Senior Financials Series 25 Index NR Jun. 2021 ICE 1% Quarterly EUR 8,300,000 303,193 303,193 
Intesa Sanpaolo SpA Ba1 Jun. 2022 BNP Paribas SA 1% Quarterly EUR 1,850,000 (61,418) 173,945 112,527 
TOTAL SELL PROTECTION       241,775 173,945 415,720 
TOTAL CREDIT DEFAULT SWAPS       $(1,377,447) $902,058 $(475,389) 

 (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) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.

 (3) 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.

 (4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).


Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
3-month LIBOR(3) Quarterly 2.5% Semi - annual LCH Dec. 2027 $17,200,000 $334,293 $0 $334,293 
3-month LIBOR(3) Quarterly 2.75% Semi - annual LCH Dec. 2047 3,000,000 103,407 103,407 
TOTAL INTEREST RATE SWAPS       $437,700 $0 $437,700 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate.


Currency Abbreviations

AUD – Australian dollar

CAD – Canadian dollar

EUR – European Monetary Unit

GBP – British pound

JPY – Japanese yen

USD – U.S. dollar

Legend

 (a) Amount is stated in United States dollars unless otherwise noted.

 (b) 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 $2,777,529,450 or 8.7% of net assets.

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

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

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

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

 (g) Level 3 security

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

 (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 $2,909,690.

 (j) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $4,910,285.

 (k) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,695,965.

 (l) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $407,392.

 (m) 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.

 (n) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (o) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

 (p) 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.

 (q) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

 (r) Non-income producing

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

 (t) Position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $205,357 and $206,127, respectively.

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


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 
Fidelity Cash Central Fund $2,705,130 
Total $2,705,130 

Investment Valuation

The following is a summary of the inputs used, as of November 30, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Equities:     
Consumer Discretionary $873,440 $873,440 $-- $-- 
Energy 8,627,662 5,091,112 3,536,550 -- 
Financials 3,623,211 1,689,763 1,933,448 -- 
Materials 3,287,580 3,287,580 -- -- 
Real Estate 6,070,672 5,246,905 823,767 -- 
Telecommunication Services 234,851 200,251 -- 34,600 
Corporate Bonds 9,926,602,719 -- 9,926,602,077 642 
U.S. Government and Government Agency Obligations 12,844,722,981 -- 12,844,722,981 -- 
U.S. Government Agency - Mortgage Securities 4,696,346,413 -- 4,696,346,413 -- 
Asset-Backed Securities 328,668,258 -- 325,638,194 3,030,064 
Collateralized Mortgage Obligations 670,901,928 -- 670,901,928 -- 
Commercial Mortgage Securities 656,265,854 -- 655,302,447 963,407 
Municipal Securities 402,757,547 -- 402,757,547 -- 
Foreign Government and Government Agency Obligations 266,807,071 -- 259,300,027 7,507,044 
Bank Loan Obligations 1,480,086,975 -- 1,474,418,814 5,668,161 
Bank Notes 153,315,208 -- 153,315,208 -- 
Preferred Securities 185,955,947 -- 185,955,947 -- 
Money Market Funds 570,060,232 570,060,232 -- -- 
Purchased Swaptions 104,501 -- 104,501 -- 
Total Investments in Securities: $32,205,313,050 $586,449,283 $31,601,659,849 $17,203,918 
Derivative Instruments:     
Assets     
Forward Foreign Currency Contracts $198,265 $-- $198,265 $-- 
Futures Contracts 943,670 943,670 -- -- 
Swaps 753,879 -- 753,879 -- 
Total Assets $1,895,814 $943,670 $952,144 $-- 
Liabilities     
Forward Foreign Currency Contracts $(5,103,564) $-  $(5,103,564) $-- 
Futures Contracts (383,471) (383,471) -- -- 
Swaps (1,693,626) -- (1,693,626) -- 
Total Liabilities $(7,180,661) $(383,471) $(6,797,190) $-- 
Total Derivative Instruments: $(5,284,847) $560,199 $(5,845,046) $-- 
Other Financial Instruments:     
TBA Sale Commitments $(208,914,330) $-- $(208,914,330) $-- 
Total Other Financial Instruments: $(208,914,330) $-- $(208,914,330) $-- 

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the 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: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

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

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. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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.

The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.

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.

Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

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

Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





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

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


Quarterly Holdings Report
for

Fidelity Flex℠ Funds

Fidelity Flex℠ Core Bond Fund

November 30, 2017







ZCD-QTLY-0118
1.9881605.100





Investments November 30, 2017 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.4%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 1.9%   
Automobiles - 0.6%   
General Motors Financial Co., Inc. 4.375% 9/25/21 $200,000 $210,635 
Media - 1.3%   
21st Century Fox America, Inc. 7.75% 12/1/45 20,000 29,472 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.908% 7/23/25 45,000 47,533 
5.375% 5/1/47 30,000 30,324 
Comcast Corp. 6.45% 3/15/37 15,000 19,926 
Time Warner Cable, Inc.:   
4% 9/1/21 80,000 82,206 
7.3% 7/1/38 120,000 147,801 
Time Warner, Inc. 6.2% 3/15/40 40,000 47,449 
  404,711 
TOTAL CONSUMER DISCRETIONARY  615,346 
CONSUMER STAPLES - 0.9%   
Beverages - 0.6%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 45,000 45,335 
4.7% 2/1/36 125,000 138,398 
  183,733 
Tobacco - 0.3%   
Reynolds American, Inc. 7.25% 6/15/37 75,000 103,467 
TOTAL CONSUMER STAPLES  287,200 
ENERGY - 5.5%   
Oil, Gas & Consumable Fuels - 5.5%   
Alberta Energy Co. Ltd.:   
7.375% 11/1/31 28,000 35,751 
8.125% 9/15/30 26,000 34,781 
Anadarko Finance Co. 7.5% 5/1/31 40,000 51,090 
Anadarko Petroleum Corp.:   
5.55% 3/15/26 40,000 44,464 
6.6% 3/15/46 30,000 37,596 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 25,000 25,579 
5.85% 2/1/35 25,000 29,040 
Cenovus Energy, Inc. 4.25% 4/15/27 (a) 24,000 23,739 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 26,572 
5.8% 6/1/45 10,000 12,252 
DCP Midstream LLC 5.85% 5/21/43 (a)(b) 20,000 18,600 
DCP Midstream Operating LP 3.875% 3/15/23 20,000 19,950 
Enbridge, Inc.:   
4.25% 12/1/26 25,000 26,043 
5.5% 12/1/46 25,000 28,808 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 20,555 
Kinder Morgan Energy Partners LP 6.55% 9/15/40 65,000 75,476 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 37,631 
Petrobras Global Finance BV:   
5.625% 5/20/43 50,000 44,813 
6.125% 1/17/22 145,000 154,425 
7.25% 3/17/44 50,000 52,188 
7.375% 1/17/27 90,000 99,180 
Petroleos Mexicanos:   
4.625% 9/21/23 330,000 340,725 
6.5% 3/13/27 (a) 20,000 22,055 
6.75% 9/21/47 130,000 137,462 
6.75% 9/21/47 (a) 20,000 21,148 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 44,000 43,808 
The Williams Companies, Inc.:   
4.55% 6/24/24 70,000 72,538 
5.75% 6/24/44 35,000 36,881 
Western Gas Partners LP:   
4.65% 7/1/26 35,000 36,325 
5.375% 6/1/21 48,000 51,059 
Williams Partners LP 4.3% 3/4/24 100,000 104,799 
  1,765,333 
FINANCIALS - 10.6%   
Banks - 5.5%   
Bank of America Corp.:   
3.5% 4/19/26 160,000 162,586 
3.705% 4/24/28 (b) 29,000 29,702 
5.65% 5/1/18 110,000 111,700 
5.875% 1/5/21 60,000 65,953 
Barclays PLC 4.375% 1/12/26 200,000 207,810 
Citigroup, Inc.:   
1.8% 2/5/18 100,000 100,012 
2.4% 2/18/20 85,000 84,947 
2.876% 7/24/23 (b) 43,000 42,740 
4.4% 6/10/25 70,000 73,520 
Credit Suisse Group Funding Guernsey Ltd. 3.8% 6/9/23 250,000 258,336 
JPMorgan Chase & Co.:   
2.35% 1/28/19 35,000 35,128 
2.95% 10/1/26 135,000 131,850 
4.35% 8/15/21 125,000 132,816 
Royal Bank of Scotland Group PLC:   
5.125% 5/28/24 165,000 175,233 
6% 12/19/23 65,000 71,899 
6.125% 12/15/22 80,000 88,194 
  1,772,426 
Capital Markets - 3.2%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 22,000 23,087 
Deutsche Bank AG London Branch 4.1% 1/13/26 100,000 101,727 
Goldman Sachs Group, Inc.:   
2.625% 4/25/21 35,000 34,979 
2.876% 10/31/22 (b) 170,000 169,733 
3.691% 6/5/28 (b) 170,000 171,520 
3.75% 5/22/25 50,000 51,251 
Moody's Corp.:   
3.25% 1/15/28 (a) 10,000 9,856 
4.875% 2/15/24 9,000 9,882 
Morgan Stanley:   
3.125% 7/27/26 171,000 167,809 
5.625% 9/23/19 100,000 105,706 
5.75% 1/25/21 150,000 164,190 
  1,009,740 
Consumer Finance - 0.9%   
Capital One Financial Corp. 2.5% 5/12/20 125,000 124,976 
Discover Financial Services:   
3.95% 11/6/24 80,000 81,952 
4.1% 2/9/27 76,000 77,258 
  284,186 
Diversified Financial Services - 0.3%   
Brixmor Operating Partnership LP:   
3.25% 9/15/23 35,000 34,297 
3.85% 2/1/25 40,000 39,937 
Voya Financial, Inc. 3.125% 7/15/24 12,000 11,892 
  86,126 
Insurance - 0.7%   
Pacific LifeCorp 5.125% 1/30/43 (a) 50,000 55,629 
Pricoa Global Funding I 5.375% 5/15/45 (b) 45,000 48,375 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 84,204 
Unum Group 3.875% 11/5/25 50,000 51,082 
  239,290 
TOTAL FINANCIALS  3,391,768 
HEALTH CARE - 1.0%   
Biotechnology - 0.1%   
AbbVie, Inc. 4.5% 5/14/35 25,000 26,731 
Health Care Providers & Services - 0.2%   
HCA Holdings, Inc. 6.5% 2/15/20 50,000 53,688 
Pharmaceuticals - 0.7%   
Actavis Funding SCS 3.45% 3/15/22 40,000 40,666 
Mylan N.V.:   
3.15% 6/15/21 50,000 50,276 
3.95% 6/15/26 20,000 19,939 
Teva Pharmaceutical Finance Netherlands III BV:   
2.8% 7/21/23 55,000 48,556 
3.15% 10/1/26 65,000 54,216 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,394 
  229,047 
TOTAL HEALTH CARE  309,466 
INDUSTRIALS - 0.1%   
Aerospace & Defense - 0.1%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 40,000 41,664 
REAL ESTATE - 2.8%   
Equity Real Estate Investment Trusts (REITs) - 1.7%   
Corporate Office Properties LP 5.25% 2/15/24 157,000 169,366 
DDR Corp.:   
3.9% 8/15/24 4,000 3,983 
4.625% 7/15/22 65,000 68,186 
Duke Realty LP 3.625% 4/15/23 50,000 51,277 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 165,000 167,757 
4.5% 1/15/25 6,000 5,975 
4.75% 1/15/28 59,000 58,307 
WP Carey, Inc. 4% 2/1/25 28,000 28,107 
  552,958 
Real Estate Management & Development - 1.1%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 103,000 105,311 
3.95% 11/15/27 19,000 18,798 
Digital Realty Trust LP:   
4.75% 10/1/25 45,000 49,018 
5.25% 3/15/21 30,000 32,313 
Liberty Property LP 4.4% 2/15/24 40,000 42,649 
Mack-Cali Realty LP 3.15% 5/15/23 50,000 46,436 
Ventas Realty LP 3.5% 2/1/25 65,000 65,445 
  359,970 
TOTAL REAL ESTATE  912,928 
TELECOMMUNICATION SERVICES - 0.9%   
Diversified Telecommunication Services - 0.9%   
AT&T, Inc.:   
3.6% 2/17/23 100,000 102,279 
6.3% 1/15/38 50,000 58,423 
Verizon Communications, Inc.:   
5.012% 4/15/49 30,000 31,070 
5.012% 8/21/54 85,000 85,720 
5.5% 3/16/47 11,000 12,296 
  289,788 
UTILITIES - 0.7%   
Electric Utilities - 0.5%   
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 47,184 
7.375% 11/15/31 85,000 113,287 
IPALCO Enterprises, Inc. 3.7% 9/1/24 (a) 10,000 9,956 
  170,427 
Independent Power and Renewable Electricity Producers - 0.2%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 50,000 55,375 
TOTAL UTILITIES  225,802 
TOTAL NONCONVERTIBLE BONDS   
(Cost $7,713,224)  7,839,295 
U.S. Government and Government Agency Obligations - 41.0%   
U.S. Treasury Inflation-Protected Obligations - 6.8%   
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47 685,062 684,573 
U.S. Treasury Inflation-Indexed Notes:   
0.375% 1/15/27 $1,353,845 $1,329,306 
0.375% 7/15/27 171,530 168,707 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  2,182,586 
U.S. Treasury Obligations - 34.2%   
U.S. Treasury Bonds:   
3% 2/15/47 947,000 976,964 
3% 5/15/47 247,000 254,815 
U.S. Treasury Notes:   
1.125% 2/28/19 1,211,000 1,201,918 
1.75% 6/30/22 332,000 326,566 
1.875% 3/31/22 7,066,000 6,998,649 
2.125% 11/30/24 651,000 642,710 
2.25% 10/31/24 146,000 145,413 
2.25% 2/15/27 415,000 409,067 
TOTAL U.S. TREASURY OBLIGATIONS  10,956,102 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $13,223,872)  13,138,688 
U.S. Government Agency - Mortgage Securities - 0.2%   
Fannie Mae - 0.2%   
3% 12/1/47 (c)   
(Cost $50,141) 50,000 49,849 
Asset-Backed Securities - 0.6%   
CAM Mortgage Trust Series 2016-2 Class A2, 5% 6/15/57 (a) $100,000 $100,055 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 50,000 50,395 
Class A2II, 4.03% 11/20/47 (a) 50,000 50,358 
TOTAL ASSET-BACKED SECURITIES   
(Cost $200,172)  200,808 
Collateralized Mortgage Obligations - 0.4%   
Private Sponsor - 0.4%   
CSMC Trust Series 2009-5R Class 2A2, 3.3295% 7/26/49 (a)(b) 14,872 14,893 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) 33,565 33,808 
Towd Point Mortgage Trust Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) 89,335 89,544 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $139,222)  138,245  
Commercial Mortgage Securities - 0.5%   
GAHR Commercial Mortgage Trust Series 2015-NRF Class DFX, 3.3822% 12/15/34 (a)(b) 125,000 125,746 
MSCG Trust Series 2016-SNR Class C, 5.205% 11/15/34 (a) 25,000 25,383 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $152,198)  151,129 
Municipal Securities - 1.0%   
California Gen. Oblig. Series 2009, 7.35% 11/1/39 90,000 133,412 
Illinois Gen. Oblig.:   
Series 2003, 5.1% 6/1/33 $125,000 $124,225 
Series 2010-3, 5.547% 4/1/19 70,000 72,080 
TOTAL MUNICIPAL SECURITIES   
(Cost $312,694)  329,717 
Foreign Government and Government Agency Obligations - 0.3%   
Dominican Republic 5.95% 1/25/27 (a)  
(Cost $106,148) $100,000 $108,500 
 Shares Value 
Fixed-Income Funds - 29.1%   
Fidelity Floating Rate Central Fund (d) 15,851 1,636,487 
Fidelity Mortgage Backed Securities Central Fund (d) 47,241 5,087,401 
Fidelity Specialized High Income Central Fund (d) 25,282 2,612,176 
TOTAL FIXED-INCOME FUNDS   
(Cost $9,334,108)  9,336,064 
Money Market Funds - 1.8%   
Fidelity Cash Central Fund, 1.13% (e)   
(Cost $584,960) 584,843 584,960 
TOTAL INVESTMENT IN SECURITIES - 99.3%   
(Cost $31,816,739)  31,877,255 
NET OTHER ASSETS (LIABILITIES) - 0.7%  211,480 
NET ASSETS - 100%  $32,088,735 

Legend

 (a) 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 $885,533 or 2.8% of net assets.

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

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

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

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


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 
Fidelity Cash Central Fund $3,554 
Fidelity Floating Rate Central Fund 16,848 
Fidelity Mortgage Backed Securities Central Fund 31,154 
Fidelity Specialized High Income Central Fund 28,278 
Total $79,834 

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 Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Floating Rate Central Fund $1,244,345 $391,848 $-- $-- $294 $1,636,487 0.1% 
Fidelity Mortgage Backed Securities Central Fund 4,765,339 481,251 109,739 645 (50,095) 5,087,401 0.1% 
Fidelity Specialized High Income Central Fund 2,034,874 606,631 -- -- (29,329) 2,612,176 0.4% 
Total $8,044,558 $1,479,730 $109,739 $645 $(79,130) $9,336,064  

Investment Valuation

The following is a summary of the inputs used, as of November 30, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Corporate Bonds $7,839,295 $-- $7,839,295 $-- 
U.S. Government and Government Agency Obligations 13,138,688 -- 13,138,688 -- 
U.S. Government Agency - Mortgage Securities 49,849 -- 49,849 -- 
Asset-Backed Securities 200,808 -- 200,808 -- 
Collateralized Mortgage Obligations 138,245 -- 138,245 -- 
Commercial Mortgage Securities 151,129 -- 151,129 -- 
Municipal Securities 329,717 -- 329,717 -- 
Foreign Government and Government Agency Obligations 108,500 -- 108,500 -- 
Fixed-Income Funds 9,336,064 9,336,064 -- -- 
Money Market Funds 584,960 584,960 -- -- 
Total Investments in Securities: $31,877,255 $9,921,024 $21,956,231 $-- 

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the 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: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

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, 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. Collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

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

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

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





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

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


Quarterly Holdings Report
for

Fidelity® Total Bond K6 Fund

November 30, 2017







TBDK6-QTLY-0118
1.9884013.100





Investments November 30, 2017 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 22.7%   
 Principal Amount Value 
CONSUMER DISCRETIONARY - 2.2%   
Automobiles - 0.8%   
General Motors Financial Co., Inc. 4.375% 9/25/21 $3,950,000 $4,160,040 
Media - 1.4%   
21st Century Fox America, Inc. 7.75% 12/1/45 370,000 545,241 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 4.908% 7/23/25 945,000 998,185 
Comcast Corp. 6.45% 3/15/37 365,000 484,858 
Time Warner Cable, Inc.:   
4% 9/1/21 1,480,000 1,520,818 
7.3% 7/1/38 2,420,000 2,980,660 
Time Warner, Inc. 6.2% 3/15/40 840,000 996,420 
  7,526,182 
TOTAL CONSUMER DISCRETIONARY  11,686,222 
CONSUMER STAPLES - 0.5%   
Beverages - 0.5%   
Anheuser-Busch InBev Finance, Inc.:   
2.65% 2/1/21 45,000 45,335 
4.7% 2/1/36 2,325,000 2,574,210 
  2,619,545 
Tobacco - 0.0%   
Reynolds American, Inc. 7.25% 6/15/37 75,000 103,467 
TOTAL CONSUMER STAPLES  2,723,012 
ENERGY - 5.8%   
Oil, Gas & Consumable Fuels - 5.8%   
Alberta Energy Co. Ltd.:   
7.375% 11/1/31 435,000 555,411 
8.125% 9/15/30 398,000 532,417 
Anadarko Finance Co. 7.5% 5/1/31 790,000 1,009,034 
Anadarko Petroleum Corp.:   
5.55% 3/15/26 515,000 572,479 
6.6% 3/15/46 630,000 789,514 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 525,000 537,155 
5.85% 2/1/35 525,000 609,834 
Cenovus Energy, Inc. 4.25% 4/15/27 (a) 534,000 528,189 
Columbia Pipeline Group, Inc.:   
4.5% 6/1/25 25,000 26,572 
5.8% 6/1/45 10,000 12,252 
DCP Midstream LLC 5.85% 5/21/43 (a)(b) 570,000 530,100 
DCP Midstream Operating LP 3.875% 3/15/23 520,000 518,700 
Enbridge, Inc.:   
4.25% 12/1/26 525,000 546,895 
5.5% 12/1/46 525,000 604,966 
Enterprise Products Operating LP 3.75% 2/15/25 20,000 20,555 
Kinder Morgan Energy Partners LP 6.55% 9/15/40 1,365,000 1,584,998 
Marathon Petroleum Corp. 5.125% 3/1/21 35,000 37,631 
Petrobras Global Finance BV:   
6.125% 1/17/22 2,730,000 2,907,450 
7.25% 3/17/44 1,300,000 1,356,875 
7.375% 1/17/27 2,130,000 2,347,260 
Petroleos Mexicanos:   
4.625% 9/21/23 6,000,000 6,195,000 
6.375% 1/23/45 2,300,000 2,346,000 
6.5% 3/13/27 (a) 20,000 22,055 
6.75% 9/21/47 835,000 882,929 
6.75% 9/21/47 (a) 20,000 21,148 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 692,000 688,987 
The Williams Companies, Inc.:   
3.7% 1/15/23 2,000,000 2,000,000 
4.55% 6/24/24 70,000 72,538 
5.75% 6/24/44 35,000 36,881 
Western Gas Partners LP:   
4.65% 7/1/26 35,000 36,325 
5.375% 6/1/21 1,563,000 1,662,607 
Williams Partners LP 4.3% 3/4/24 2,000,000 2,095,977 
  31,688,734 
FINANCIALS - 9.5%   
Banks - 4.6%   
Bank of America Corp.:   
3.5% 4/19/26 2,630,000 2,672,507 
3.705% 4/24/28 (b) 528,000 540,779 
5.65% 5/1/18 110,000 111,700 
5.875% 1/5/21 1,810,000 1,989,572 
Barclays PLC 4.375% 1/12/26 900,000 935,143 
Citigroup, Inc.:   
1.8% 2/5/18 100,000 100,012 
2.4% 2/18/20 1,585,000 1,584,007 
4.4% 6/10/25 1,970,000 2,069,063 
Credit Suisse Group Funding Guernsey Ltd.:   
3.75% 3/26/25 1,200,000 1,225,522 
3.8% 6/9/23 1,250,000 1,291,679 
Intesa Sanpaolo SpA 5.71% 1/15/26 (a) 500,000 530,014 
JPMorgan Chase & Co.:   
2.35% 1/28/19 35,000 35,128 
2.95% 10/1/26 3,085,000 3,013,014 
4.35% 8/15/21 2,425,000 2,576,630 
Rabobank Nederland 4.375% 8/4/25 500,000 526,525 
Regions Bank 6.45% 6/26/37 250,000 312,523 
Royal Bank of Scotland Group PLC 6.125% 12/15/22 4,745,000 5,231,022 
  24,744,840 
Capital Markets - 3.5%   
Affiliated Managers Group, Inc. 4.25% 2/15/24 390,000 409,268 
Deutsche Bank AG 4.5% 4/1/25 1,500,000 1,521,604 
Deutsche Bank AG London Branch 4.1% 1/13/26 1,100,000 1,119,000 
Goldman Sachs Group, Inc.:   
2.625% 4/25/21 3,035,000 3,033,155 
2.876% 10/31/22 (b) 170,000 169,733 
3.691% 6/5/28 (b) 3,160,000 3,188,254 
3.75% 5/22/25 525,000 538,132 
Moody's Corp.:   
3.25% 1/15/28 (a) 10,000 9,856 
4.875% 2/15/24 9,000 9,882 
Morgan Stanley:   
3.125% 7/27/26 2,621,000 2,572,088 
5.625% 9/23/19 100,000 105,706 
5.75% 1/25/21 4,650,000 5,089,901 
UBS Group Funding AG 2.859% 8/15/23 (a)(b) 1,000,000 989,921 
UBS Group Funding Ltd. 4.125% 9/24/25 (a) 500,000 524,301 
  19,280,801 
Consumer Finance - 0.7%   
Capital One Financial Corp. 2.5% 5/12/20 625,000 624,879 
Discover Financial Services:   
3.95% 11/6/24 2,580,000 2,642,944 
4.1% 2/9/27 366,000 372,058 
  3,639,881 
Diversified Financial Services - 0.3%   
Brixmor Operating Partnership LP 3.25% 9/15/23 1,035,000 1,014,204 
Voya Financial, Inc. 3.125% 7/15/24 812,000 804,718 
  1,818,922 
Insurance - 0.4%   
Pacific LifeCorp 5.125% 1/30/43 (a) 950,000 1,056,947 
Pricoa Global Funding I 5.375% 5/15/45 (b) 1,045,000 1,123,375 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (a) 80,000 84,204 
Unum Group 3.875% 11/5/25 50,000 51,082 
  2,315,608 
TOTAL FINANCIALS  51,800,052 
HEALTH CARE - 0.9%   
Biotechnology - 0.1%   
AbbVie, Inc. 4.5% 5/14/35 525,000 561,352 
Health Care Providers & Services - 0.2%   
HCA Holdings, Inc. 6.5% 2/15/20 950,000 1,020,063 
Pharmaceuticals - 0.6%   
Actavis Funding SCS 3.45% 3/15/22 40,000 40,666 
Mylan N.V.:   
3.15% 6/15/21 50,000 50,276 
3.95% 6/15/26 1,370,000 1,365,839 
Teva Pharmaceutical Finance Netherlands III BV:   
2.8% 7/21/23 1,055,000 931,384 
3.15% 10/1/26 785,000 654,760 
Zoetis, Inc. 3.45% 11/13/20 15,000 15,394 
  3,058,319 
TOTAL HEALTH CARE  4,639,734 
INDUSTRIALS - 0.2%   
Aerospace& Defense - 0.2%   
BAE Systems Holdings, Inc. 3.8% 10/7/24 (a) 1,040,000 1,083,256 
MATERIALS - 0.2%   
Metals & Mining - 0.2%   
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (a) 500,000 498,725 
4.5% 8/1/47 (a) 500,000 521,960 
  1,020,685 
REAL ESTATE - 1.7%   
Equity Real Estate Investment Trusts (REITs) - 0.8%   
Corporate Office Properties LP 5.25% 2/15/24 146,000 157,500 
DDR Corp. 3.9% 8/15/24 61,000 60,746 
Duke Realty LP 3.625% 4/15/23 50,000 51,277 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 1,665,000 1,692,816 
4.75% 1/15/28 2,049,000 2,024,949 
WP Carey, Inc. 4% 2/1/25 489,000 490,864 
  4,478,152 
Real Estate Management & Development - 0.9%   
Brandywine Operating Partnership LP:   
3.95% 2/15/23 560,000 572,564 
3.95% 11/15/27 311,000 307,695 
4.1% 10/1/24 833,000 848,692 
Digital Realty Trust LP:   
4.75% 10/1/25 1,445,000 1,574,018 
5.25% 3/15/21 30,000 32,313 
Liberty Property LP 4.4% 2/15/24 40,000 42,649 
Ventas Realty LP 3.5% 2/1/25 1,265,000 1,273,654 
  4,651,585 
TOTAL REAL ESTATE  9,129,737 
TELECOMMUNICATION SERVICES - 1.0%   
Diversified Telecommunication Services - 1.0%   
AT&T, Inc.:   
3.6% 2/17/23 2,000,000 2,045,588 
6.3% 1/15/38 1,100,000 1,285,312 
Verizon Communications, Inc.:   
5.012% 8/21/54 1,585,000 1,598,427 
5.5% 3/16/47 461,000 515,321 
  5,444,648 
UTILITIES - 0.7%   
Electric Utilities - 0.5%   
FirstEnergy Corp.:   
4.25% 3/15/23 45,000 47,184 
7.375% 11/15/31 1,985,000 2,645,582 
IPALCO Enterprises, Inc. 3.7% 9/1/24 (a) 172,000 171,248 
  2,864,014 
Independent Power and Renewable Electricity Producers - 0.2%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 950,000 1,052,125 
TOTAL UTILITIES  3,916,139 
TOTAL NONCONVERTIBLE BONDS   
(Cost $123,540,889)  123,132,219 
U.S. Government and Government Agency Obligations - 41.4%   
U.S. Treasury Inflation-Protected Obligations - 6.8%   
U.S. Treasury Inflation-Indexed Bonds 0.875% 2/15/47 11,215,174 11,207,180 
U.S. Treasury Inflation-Indexed Notes 0.375% 1/15/27 26,011,914 25,540,432 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  36,747,612 
U.S. Treasury Obligations - 34.6%   
U.S. Treasury Bonds 3% 2/15/47 18,886,000 19,483,565 
U.S. Treasury Notes:   
1.5% 5/15/20 $38,929,000 $38,595,974 
1.75% 6/30/22 227,000 223,285 
1.875% 3/31/22 77,961,000 77,217,936 
1.875% 7/31/22 16,694,000 16,502,932 
2% 4/30/24 1,427,000 1,402,473 
2.125% 7/31/24 9,389,000 9,285,574 
2.125% 11/30/24 20,939,000 20,672,355 
2.25% 10/31/24 4,682,000 4,663,162 
TOTAL U.S. TREASURY OBLIGATIONS  188,047,256 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $226,294,762)  224,794,868 
U.S. Government Agency - Mortgage Securities - 0.8%   
Fannie Mae - 0.8%   
3% 12/1/32 (c) 500,000 509,258 
3% 12/1/47 (c) 900,000 897,287 
3.5% 12/1/47 (c) 1,025,000 1,050,679 
3.5% 12/1/47 (c) 1,025,000 1,050,679 
4% 12/1/47 (c) 800,000 835,776 
4.5% 12/1/47 (c) 100,000 106,368 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $4,469,866)  4,450,047 
Asset-Backed Securities - 0.7%   
CAM Mortgage Trust Series 2016-2 Class A2, 5% 6/15/57 (a) $1,000,000 $1,000,554 
CLUB Credit Trust Series 2017-P1 Class A, 2.54% 9/15/23 (a) 280,137 280,219 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (a) 278,000 280,196 
Class A2II, 4.03% 11/20/47 (a) 399,000 401,853 
Nationstar HECM Loan Trust Series 2017-2A Class A1, 2.12% 9/25/27 (a) 450,691 450,224 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 1.9275% 7/26/66 (a)(b)(d) 100,000 100,779 
Prosper Marketplace Issuance Trust:   
Series 2017-2A Class A, 2.42% 9/15/23 (a) 685,209 686,475 
Series 2017-3A Class A, 2.54% 11/15/23 (a) 500,000 499,122 
TOTAL ASSET-BACKED SECURITIES   
(Cost $3,695,761)  3,699,422 
Collateralized Mortgage Obligations - 0.3%   
Private Sponsor - 0.3%   
CSMC Trust Series 2009-5R Class 2A2, 3.3295% 7/26/49 (a)(b) 278,678 279,066 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (a)(b) 416,208 419,217 
Towd Point Mortgage Trust:   
Series 2016-3 Class A1, 2.25% 4/25/56 (a) 694,278 688,855 
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) 402,006 402,950 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $1,801,197)  1,790,088 
Commercial Mortgage Securities - 0.2%   
BX Trust Series 2017-IMC Class A, 1 month U.S. LIBOR + 1.050% 2.3003% 10/15/32 (a)(b)(d) 500,000 500,774 
COMM Mortgage Trust:   
Series 2014-CR19 Class XA, 1.384% 8/10/47 (b)(e) 5,074,551 259,097 
Series 2014-LC17 Class XA, 0.9566% 10/10/47 (b)(e) 4,178,958 151,721 
SCG Trust Series 2013-SRP1 Class A, 1 month U.S. LIBOR + 1.400% 2.8889% 11/15/26 (a)(b)(d) 334,000 333,153 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $1,257,347)  1,244,745 
Municipal Securities - 0.9%   
California Gen. Oblig.:   
Series 2009, 7.35% 11/1/39 $90,000 $133,412 
7.5% 4/1/34 700,000 1,026,144 
Chicago Gen. Oblig. (Taxable Proj.) Series 2014 B, 6.314% 1/1/44 125,000 133,894 
Illinois Gen. Oblig.:   
Series 2003, 5.1% 6/1/33 2,525,000 2,509,345 
Series 2011, 5.877% 3/1/19 970,000 1,003,630 
TOTAL MUNICIPAL SECURITIES   
(Cost $4,803,167)  4,806,425 
Foreign Government and Government Agency Obligations - 0.3%   
Dominican Republic 5.95% 1/25/27(a) 
(Cost $1,577,074) 1,450,000 1,573,250 
 Shares Value 
Fixed-Income Funds - 28.2%   
Fidelity Floating Rate Central Fund (f) 263,861 27,240,994 
Fidelity Mortgage Backed Securities Central Fund (f) 768,009 82,706,836 
Fidelity Specialized High Income Central Fund (f) 420,234 43,418,527 
TOTAL FIXED-INCOME FUNDS   
(Cost $154,539,949)  153,366,357 
 Principal Amount Value 
Preferred Securities - 0.1%   
FINANCIALS - 0.1%   
Banks - 0.1%   
Barclays Bank PLC 7.625% 11/21/22
(Cost $763,711) 
650,000 741,589 
 Shares Value 
Money Market Funds - 4.7%   
Fidelity Cash Central Fund, 1.13% (g)   
(Cost $25,268,495) 25,263,442 25,268,495 
TOTAL INVESTMENT IN SECURITIES - 100.3%   
(Cost $548,012,218)  544,867,505 
NET OTHER ASSETS (LIABILITIES) - (0.3)%  (1,473,875) 
NET ASSETS - 100%  $543,393,630 

Legend

 (a) 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 $14,468,611 or 2.7% of net assets.

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

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

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

 (e) 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.

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

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


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 
Fidelity Cash Central Fund $68,906 
Fidelity Floating Rate Central Fund 306,303 
Fidelity Mortgage Backed Securities Central Fund 515,855 
Fidelity Specialized High Income Central Fund 508,154 
Total $1,399,218 

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 Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Floating Rate Central Fund $24,715,867 $2,505,743 $-- $-- $19,384 $27,240,994 1.5% 
Fidelity Mortgage Backed Securities Central Fund 89,098,772 7,315,456 12,893,401 35,525 (849,516) 82,706,836 1.2% 
Fidelity Specialized High Income Central Fund 39,575,278 4,358,691 -- -- (515,442) 43,418,527 6.4% 
Total $153,389,917 $14,179,890 $12,893,401 $35,525 $(1,345,574) $153,366,357  

Investment Valuation

The following is a summary of the inputs used, as of November 30, 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. Additional information on valuation inputs, and their aggregation into the levels used below, is provided later in this section.

 Valuation Inputs at Reporting Date: 
Description Total Level 1 Level 2 Level 3 
Investments in Securities:     
Corporate Bonds $123,132,219 $-- $123,132,219 $-- 
U.S. Government and Government Agency Obligations 224,794,868 -- 224,794,868 -- 
U.S. Government Agency - Mortgage Securities 4,450,047 -- 4,450,047 -- 
Asset-Backed Securities 3,699,422 -- 3,699,422 -- 
Collateralized Mortgage Obligations 1,790,088 -- 1,790,088 -- 
Commercial Mortgage Securities 1,244,745 -- 1,244,745 -- 
Municipal Securities 4,806,425 -- 4,806,425 -- 
Foreign Government and Government Agency Obligations 1,573,250 -- 1,573,250 -- 
Fixed-Income Funds 153,366,357 153,366,357 -- -- 
Preferred Securities 741,589 -- 741,589 -- 
Money Market Funds 25,268,495 25,268,495 -- -- 
Total Investments in Securities: $544,867,505 $178,634,852 $366,232,653 $-- 

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the 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: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

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, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

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

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

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent annual shareholder report.





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

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




Item 2.

Controls and Procedures


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


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


Item 3.

Exhibits


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




SIGNATURES


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


Fidelity Income Fund



By:

/s/Stephanie J. Dorsey


Stephanie J. Dorsey


President and Treasurer



Date:

January 26, 2018


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



By:

/s/Stephanie J. Dorsey


Stephanie J. Dorsey


President and Treasurer



Date:

January 26, 2018



By:

/s/Howard J. Galligan III


Howard J. Galligan III


Chief Financial Officer



Date:

January 26, 2018

 






Dates Referenced Herein   and   Documents Incorporated by Reference

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