N-CSR 1 Main.htm

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-649

Fidelity Puritan Trust
(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)

Scott C. Goebel, Secretary

245 Summer St.

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:	August 31

Date of reporting period:	August 31, 2014

Item 1. Reports to Stockholders

Fidelity®

Balanced

Fund

Annual Report

August 31, 2014

(Fidelity Cover Art)

Performance	(Click Here)	How the fund has done over time.
Management's Discussion of Fund Performance	(Click Here)	The Portfolio Manager's review of fund performance and strategy.
Shareholder Expense Example	(Click Here)	An example of shareholder expenses.
Investment Changes	(Click Here)	A summary of major shifts in the fund's investments over the past six months.
Investments	(Click Here)	A complete list of the fund's investments with their market values.
Financial Statements	(Click Here)	Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.
Notes	(Click Here)	Notes to the financial statements.
Report of Independent Registered Public Accounting Firm	(Click Here)
Trustees and Officers	(Click Here)
Distributions	(Click Here)
Board Approval of Investment Advisory Contracts and Management Fees	(Click Here)

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

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

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

Annual Report

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

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Performance: The Bottom Line

Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average Annual Total Returns

Periods ended August 31, 2014	Past 1 year	Past 5 years	Past 10 years
Fidelity® Balanced Fund	19.46%	12.86%	8.38%

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Balanced Fund, a class of the fund, on August 31, 2004. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period.

bal2373121

Annual Report

Management's Discussion of Fund Performance

Market Recap: U.S. stocks overcame a slowing economy early in 2014 to post a solid gain for the 12 months ending August 31, 2014, supported at home by low interest rates and globally by new stimulus efforts in Europe and China. The broad-market S&P 500® Index rose 25.25%, reaching an all-time high during the period. The tech-heavy Nasdaq Composite Index® gained 29.15%, while the small-cap Russell 2000® Index returned 17.68%. Information technology (+34%) was the top sector in the S&P 500®, driven by strong results among semiconductor and hardware/equipment stocks. Health care (+32%) rose broadly, driven by biotechnology and life sciences names. Conversely, traditionally defensive sectors - consumer staples, utilities and telecommunication services - lagged the advance. Volatility was generally tame, with markets supported by declining unemployment, near-record corporate profits, muted inflation and fairly low company debt levels. Meanwhile, U.S. taxable bonds notched gains for the 12-month period, driven by yield-advantaged-sectors. The Barclays® U.S. Aggregate Bond Index rose 5.66% on the strength of longer-maturity bonds, which benefited from a decline in long-term interest rates. Lower-quality corporate issues attracted some of the strongest buying interest, reflected by the 10.61% gain of The BofA Merrill Lynch^SM US High Yield Constrained Index.

Comments from Co-Portfolio Manager Robert Stansky, Head of FMR's Stock Selector Large Cap Group, which manages Fidelity® Balanced Fund: For the year, the fund's Retail Class shares gained 19.46%, outperforming the 17.14% advance of the Fidelity Balanced Hybrid Composite Index^SM. Overweighting stocks and underweighting investment-grade bonds notably boosted the fund's result versus the Composite index. Security selection in the investment-grade sleeve also helped, while a small non-index stake in high-yield bonds modestly detracted. Looking at fixed income, we had favorable overweightings in corporate bonds and taxable municipal bonds, and underweightings in mortgage-backed securities and U.S. Treasuries. Yield-curve positioning modestly helped. In terms of individual stocks, choices in health care added the most value by far, including a non-index stake in genetic analysis toolmaker Illumina. We liked Illumina's innovation and accelerating end markets, but we sold the fund's stake to help manage risk and lock in profits. In information technology, we had some hits and misses. NXP Semiconductors helped, as the Netherlands-based chipmaker reported consecutive quarters of strong financial results, and the non-index stock moved sharply higher. Conversely, it hurt the most to avoid chipmaker and outperforming index name Intel, a slower-growth legacy tech stock.

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

Annual Report

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2014 to August 31, 2014).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Annual Report

	Annualized Expense Ratio^B	Beginning Account Value March 1, 2014	Ending Account Value August 31, 2014	Expenses Paid During Period* March 1, 2014 to August 31, 2014
Balanced	.56%
Actual		$ 1,000.00	$ 1,057.50	$ 2.90
Hypothetical^A		$ 1,000.00	$ 1,022.38	$ 2.85
Class K	.46%
Actual		$ 1,000.00	$ 1,058.50	$ 2.39
Hypothetical^A		$ 1,000.00	$ 1,022.89	$ 2.35

^A 5% return per year before expenses

^B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.

In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .01%.

Annual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.

Top Five Stocks as of August 31, 2014
	% of fund's net assets	% of fund's net assets 6 months ago
Apple, Inc.	2.6	2.0
Chevron Corp.	1.6	0.6
Google, Inc. Class C	1.3	0.0
Procter & Gamble Co.	1.2	1.3
Capital One Financial Corp.	1.2	1.2
	7.9
Top Five Bond Issuers as of August 31, 2014
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	4.5	4.4
U.S. Treasury Obligations	3.2	5.4
Ginnie Mae	1.1	0.9
Freddie Mac	0.9	1.0
Verizon Communications, Inc.	0.7	0.8
	10.4
Top Five Market Sectors as of August 31, 2014
	% of fund's net assets	% of fund's net assets 6 months ago
Financials	17.4	16.5
Information Technology	13.2	13.3
Health Care	10.8	10.5
Consumer Discretionary	9.9	9.4
Energy	9.2	8.3

Asset Allocation (% of fund's net assets)
As of August 31, 2014*			As of February 28, 2014**
	Stocks and Equity Futures 72.0%			Stocks and Equity Futures 71.1%
	Bonds 26.6%			Bonds 27.5%
	Convertible Securities 0.0%			Convertible Securities 0.1%
	Other Investments 0.4%			Other Investments 0.3%
	Short-Term Investments and Net Other Assets (Liabilities) 1.0%			Short-Term Investments and Net Other Assets (Liabilities) 1.0%
* Foreign investments		9.7%	** Foreign investments		11.0%

bal2373138

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

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

Annual Report

Investments August 31, 2014

Showing Percentage of Net Assets

Common Stocks - 71.2%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 9.1%
Diversified Consumer Services - 0.3%
H&R Block, Inc.	2,745,577		$ 92,059
Hotels, Restaurants & Leisure - 3.1%
ARAMARK Holdings Corp.	323,036		8,367
Extended Stay America, Inc. unit	6,093,170		145,383
Hilton Worldwide Holdings, Inc.	2,656,100		67,252
Marriott International, Inc. Class A	907,267		62,964
McDonald's Corp.	1,347,474		126,285
Panera Bread Co. Class A (a)	790,600		118,543
Starbucks Corp.	1,944,800		151,325
Yum! Brands, Inc.	2,009,752		145,566
			825,685
Internet & Catalog Retail - 0.7%
Ctrip.com International Ltd. sponsored ADR (a)	537,000		34,459
Liberty Interactive Corp. Series A (a)	3,909,835		115,418
Qunar Cayman Islands Ltd. sponsored ADR (d)	1,022,699		30,701
			180,578
Media - 3.2%
CBS Outdoor Americas, Inc.	414,000		14,229
Comcast Corp. Class A	847,042		46,359
DIRECTV (a)	1,297,018		112,127
DreamWorks Animation SKG, Inc. Class A (a)	514,800		11,241
Legend Pictures LLC (a)(n)(o)	8,571		15,454
Liberty Media Corp.:
Class A (a)	561,300		27,633
Class C (a)	1,284,300		62,250
Manchester United PLC (a)	1,838,000		31,356
The Madison Square Garden Co. Class A (a)	1,794,085		119,953
Time Warner Cable, Inc.	156,100		23,092
Twenty-First Century Fox, Inc. Class A	6,810,241		241,219
Viacom, Inc. Class B (non-vtg.)	1,947,992		158,080
			862,993
Multiline Retail - 0.5%
Dollar General Corp. (a)	2,216,112		141,809
Specialty Retail - 0.5%
TJX Companies, Inc.	2,287,933		136,384
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Textiles, Apparel & Luxury Goods - 0.8%
lululemon athletica, Inc. (a)	889,252		$ 35,508
NIKE, Inc. Class B	2,205,000		173,203
			208,711
TOTAL CONSUMER DISCRETIONARY			2,448,219
CONSUMER STAPLES - 6.6%
Beverages - 1.4%
Anheuser-Busch InBev SA NV	202,344		22,572
Coca-Cola Icecek Sanayi A/S	298,728		7,048
Diageo PLC sponsored ADR	250,787		30,062
Embotelladora Andina SA sponsored ADR	332,973		6,496
Monster Beverage Corp. (a)	469,100		41,473
Pernod Ricard SA	303,550		35,793
Remy Cointreau SA	269,186		21,395
The Coca-Cola Co.	5,347,661		223,104
			387,943
Food & Staples Retailing - 1.5%
CVS Caremark Corp.	1,953,385		155,196
Kroger Co.	2,149,554		109,584
Sysco Corp.	954,112		36,094
Wal-Mart Stores, Inc.	909,567		68,672
Whole Foods Market, Inc.	1,005,800		39,367
			408,913
Food Products - 0.8%
Bunge Ltd.	435,098		36,831
ConAgra Foods, Inc.	513,481		16,534
Keurig Green Mountain, Inc.	303,400		40,449
Mead Johnson Nutrition Co. Class A	762,431		72,888
Nestle SA	345,647		26,811
The Hershey Co.	69,000		6,308
			199,821
Household Products - 1.2%
Procter & Gamble Co.	3,969,493		329,905
Personal Products - 0.1%
L'Oreal SA	105,800		17,516
Nu Skin Enterprises, Inc. Class A	162,175		7,252
			24,768
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 1.6%
Altria Group, Inc.	3,791,613		$ 163,343
British American Tobacco PLC sponsored ADR	1,817,610		215,241
Philip Morris International, Inc.	390,734		33,439
Souza Cruz SA	912,700		8,546
			420,569
TOTAL CONSUMER STAPLES			1,771,919
ENERGY - 7.6%
Energy Equipment & Services - 1.2%
C&J Energy Services, Inc. (a)	830,051		23,814
Dril-Quip, Inc. (a)	286,169		29,038
FMC Technologies, Inc. (a)	798,771		49,396
Halliburton Co.	2,144,911		145,017
Independence Contract Drilling (e)	1,226,834		14,109
Ocean Rig UDW, Inc. (United States)	725,596		13,445
Oceaneering International, Inc.	640,391		44,546
			319,365
Oil, Gas & Consumable Fuels - 6.4%
Anadarko Petroleum Corp.	1,436,131		161,838
BG Group PLC	1,846,464		36,807
Cabot Oil & Gas Corp.	1,881,450		63,104
Carrizo Oil & Gas, Inc. (a)	330,798		20,748
Chevron Corp.	3,232,605		418,461
Cimarex Energy Co.	429,002		62,274
EOG Resources, Inc.	918,416		100,916
Exxon Mobil Corp.	2,526,378		251,274
Gulfport Energy Corp. (a)	343,900		20,118
Kinder Morgan Holding Co. LLC (d)	2,006,800		80,794
Kinder Morgan Management LLC	428,800		41,902
Memorial Resource Development Corp.	945,471		27,863
Noble Energy, Inc.	1,418,730		102,347
ONEOK, Inc.	168,515		11,830
Peabody Energy Corp.	608,908		9,669
Phillips 66 Co.	1,272,517		110,734
Phillips 66 Partners LP	300,022		22,202
PrairieSky Royalty Ltd.	112,500		4,087
Suncor Energy, Inc.	667,500		27,399
Valero Energy Partners LP	823,031		43,876
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Whiting Petroleum Corp. (a)	961,277		$ 89,072
YPF SA Class D sponsored ADR	681,700		22,523
			1,729,838
TOTAL ENERGY			2,049,203
FINANCIALS - 11.4%
Banks - 4.4%
Bank of America Corp.	18,665,808		300,333
Citigroup, Inc.	3,382,212		174,691
Huntington Bancshares, Inc.	8,012,800		78,886
JPMorgan Chase & Co.	5,407,854		321,497
Societe Generale Series A	580,802		29,423
SunTrust Banks, Inc.	1,283,148		48,862
Synovus Financial Corp.	778,720		18,806
U.S. Bancorp	5,100,347		215,643
			1,188,141
Capital Markets - 1.6%
Ameriprise Financial, Inc.	665,862		83,739
BlackRock, Inc. Class A	433,776		143,376
Carlyle Group LP	286,400		9,526
E*TRADE Financial Corp. (a)	1,804,949		40,178
Invesco Ltd.	841,213		34,355
Northern Trust Corp.	427,519		29,648
Oaktree Capital Group LLC Class A	286,697		14,398
State Street Corp.	512,700		36,930
The Blackstone Group LP	755,407		25,329
			417,479
Consumer Finance - 1.7%
Capital One Financial Corp.	3,999,501		328,199
Discover Financial Services	671,810		41,901
Navient Corp.	2,313,334		41,501
SLM Corp.	4,624,534		40,973
Springleaf Holdings, Inc.	243,300		8,097
			460,671
Diversified Financial Services - 0.9%
Berkshire Hathaway, Inc.:
Class A (a)	129		26,559
Class B (a)	1,188,800		163,163
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
IntercontinentalExchange Group, Inc.	204,062		$ 38,568
KBC Ancora (a)	343,174		11,250
			239,540
Insurance - 1.6%
AFLAC, Inc.	229,800		14,073
Direct Line Insurance Group PLC	8,517,030		42,263
esure Group PLC	1,382,886		6,084
Fairfax Financial Holdings Ltd. (sub. vtg.)	101,000		46,539
Marsh & McLennan Companies, Inc.	1,923,477		102,137
MetLife, Inc.	2,192,647		120,025
Principal Financial Group, Inc.	303,600		16,482
The Travelers Companies, Inc.	768,540		72,788
Unum Group	609,200		22,096
			442,487
Real Estate Investment Trusts - 0.9%
Altisource Residential Corp. Class B	1,899,017		46,602
American Tower Corp.	209,731		20,679
Boston Properties, Inc.	524,397		63,672
Digital Realty Trust, Inc. (d)	613,500		40,031
Piedmont Office Realty Trust, Inc. Class A	1,099,538		21,430
Senior Housing Properties Trust (SBI)	545,407		12,724
Sun Communities, Inc.	584,915		31,369
			236,507
Real Estate Management & Development - 0.3%
CBRE Group, Inc. (a)	2,335,503		74,222
TOTAL FINANCIALS			3,059,047
HEALTH CARE - 10.2%
Biotechnology - 3.1%
Actelion Ltd.	250,276		30,724
Alexion Pharmaceuticals, Inc. (a)	691,204		117,014
Amgen, Inc.	1,367,358		190,582
Biogen Idec, Inc. (a)	440,985		151,275
Celgene Corp. (a)	326,500		31,024
Gilead Sciences, Inc. (a)	2,461,428		264,800
Puma Biotechnology, Inc. (a)	37,300		9,717
Vertex Pharmaceuticals, Inc. (a)	598,700		56,020
			851,156
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Health Care Equipment & Supplies - 1.4%
Boston Scientific Corp. (a)	7,892,502		$ 100,077
Covidien PLC	1,370,944		119,039
Edwards Lifesciences Corp. (a)	316,482		31,414
Medtronic, Inc.	698,900		44,625
Quidel Corp. (a)(d)	399,590		9,430
The Cooper Companies, Inc.	384,937		62,756
			367,341
Health Care Providers & Services - 1.5%
Brookdale Senior Living, Inc. (a)	722,803		25,262
Cigna Corp.	1,067,660		101,001
HCA Holdings, Inc. (a)	1,356,679		94,723
Henry Schein, Inc. (a)	333,004		39,857
McKesson Corp.	819,148		159,758
			420,601
Health Care Technology - 0.1%
Veeva Systems, Inc. Class A	720,734		21,600
Life Sciences Tools & Services - 0.8%
Agilent Technologies, Inc.	1,681,100		96,092
Thermo Fisher Scientific, Inc.	953,797		114,656
			210,748
Pharmaceuticals - 3.3%
AbbVie, Inc.	2,724,768		150,625
Actavis PLC (a)	693,243		157,352
Allergan, Inc.	410,500		67,191
Bristol-Myers Squibb Co.	2,558,841		129,605
Merck & Co., Inc.	1,519,296		91,325
Pfizer, Inc.	2,103,834		61,832
Roche Holding AG (participation certificate)	193,869		56,621
Salix Pharmaceuticals Ltd. (a)	258,384		41,111
Shire PLC	806,788		65,735
Teva Pharmaceutical Industries Ltd. sponsored ADR	1,177,400		61,837
			883,234
TOTAL HEALTH CARE			2,754,680
INDUSTRIALS - 6.6%
Aerospace & Defense - 1.4%
Honeywell International, Inc.	1,689,809		160,921
Meggitt PLC	7,670,800		60,057
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Aerospace & Defense - continued
TransDigm Group, Inc.	579,269		$ 108,897
United Technologies Corp.	395,393		42,695
			372,570
Air Freight & Logistics - 0.4%
FedEx Corp.	683,827		101,124
Commercial Services & Supplies - 0.2%
KAR Auction Services, Inc.	1,515,967		45,722
Electrical Equipment - 1.3%
Acuity Brands, Inc.	723,869		89,673
AMETEK, Inc.	3,339,448		176,790
Hubbell, Inc. Class B	811,092		98,061
			364,524
Industrial Conglomerates - 1.5%
Danaher Corp.	2,811,066		215,356
Roper Industries, Inc.	1,231,039		185,345
			400,701
Machinery - 0.2%
Deere & Co.	713,500		59,998
Professional Services - 0.5%
Verisk Analytics, Inc. (a)	2,242,905		143,972
WageWorks, Inc. (a)	120,932		4,990
			148,962
Road & Rail - 0.6%
J.B. Hunt Transport Services, Inc.	2,164,495		163,528
Trading Companies & Distributors - 0.5%
W.W. Grainger, Inc.	503,669		124,003
TOTAL INDUSTRIALS			1,781,132
INFORMATION TECHNOLOGY - 13.0%
Communications Equipment - 0.9%
Cisco Systems, Inc.	2,172,699		54,296
Juniper Networks, Inc.	892,755		20,703
QUALCOMM, Inc.	2,097,451		159,616
			234,615
Electronic Equipment & Components - 0.3%
TE Connectivity Ltd.	1,479,765		92,752
Internet Software & Services - 3.7%
58.com, Inc. ADR	327,589		13,644
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Internet Software & Services - continued
Benefitfocus, Inc.	270,404		$ 8,929
ChannelAdvisor Corp. (a)	809,306		13,111
Cvent, Inc.	1,753,646		44,052
Demandware, Inc. (a)	437,635		23,260
eBay, Inc. (a)	1,208,400		67,066
Endurance International Group Holdings, Inc. (d)	1,249,016		16,812
Facebook, Inc. Class A (a)	1,382,107		103,409
Five9, Inc. (d)	1,838,400		10,791
Google, Inc.:
Class A (a)	354,969		206,720
Class C (a)	589,769		337,112
Millennial Media, Inc.	173,845		331
NAVER Corp.	29,452		22,305
Opower, Inc. (d)	1,166,993		18,252
Wix.com Ltd. (a)(d)	392,937		6,468
Yahoo!, Inc. (a)	2,327,060		89,615
Zoopla Property Group PLC (d)	4,633,297		19,326
			1,001,203
IT Services - 0.8%
Cognizant Technology Solutions Corp. Class A (a)	78,922		3,609
Fidelity National Information Services, Inc.	1,504,071		85,356
Lionbridge Technologies, Inc. (a)	739,645		3,432
Quindell PLC (d)	3,077,687		8,686
Sapient Corp. (a)	451,061		6,545
Total System Services, Inc.	1,135,600		35,726
Visa, Inc. Class A	317,722		67,522
			210,876
Semiconductors & Semiconductor Equipment - 1.2%
Micron Technology, Inc. (a)	2,378,000		77,523
NVIDIA Corp.	2,004,517		38,988
NXP Semiconductors NV (a)	3,115,624		213,483
RF Micro Devices, Inc. (a)	948,000		11,822
			341,816
Software - 2.8%
Activision Blizzard, Inc.	499,000		11,746
Adobe Systems, Inc. (a)	1,149,557		82,653
Autodesk, Inc. (a)	804,100		43,132
CommVault Systems, Inc. (a)	485,009		26,743
Concur Technologies, Inc. (a)	57,457		5,768
Covisint Corp. (d)	369,400		1,777
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Software - continued
Fleetmatics Group PLC (a)	250,503		$ 8,222
Imperva, Inc. (a)	880,290		25,625
Intuit, Inc.	372,200		30,960
Microsoft Corp.	5,776,032		262,405
Oracle Corp.	2,609,625		108,378
Qlik Technologies, Inc. (a)	293,817		8,294
salesforce.com, Inc. (a)	2,082,396		123,049
Xero Ltd. (o)	468,513		8,888
			747,640
Technology Hardware, Storage & Peripherals - 3.3%
Apple, Inc.	6,797,614		696,754
Electronics for Imaging, Inc. (a)	554,205		24,407
Hewlett-Packard Co.	4,339,100		164,886
			886,047
TOTAL INFORMATION TECHNOLOGY			3,514,949
MATERIALS - 3.2%
Chemicals - 2.6%
Airgas, Inc.	1,788,970		197,467
Cabot Corp.	270,371		14,811
Eastman Chemical Co.	622,382		51,328
Ecolab, Inc.	698,700		80,225
FMC Corp.	760,773		50,318
LyondellBasell Industries NV Class A	766,922		87,698
Methanex Corp.	300,200		20,072
Monsanto Co.	807,646		93,404
Potash Corp. of Saskatchewan, Inc. (d)	1,044,785		36,697
Sigma Aldrich Corp.	457,510		47,581
W.R. Grace & Co. (a)	331,001		32,779
			712,380
Construction Materials - 0.2%
Eagle Materials, Inc.	94,700		9,651
Vulcan Materials Co.	536,143		33,981
			43,632
Containers & Packaging - 0.2%
Graphic Packaging Holding Co. (a)	2,269,877		29,032
Rock-Tenn Co. Class A	706,578		34,735
			63,767
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Metals & Mining - 0.2%
Carpenter Technology Corp.	44,400		$ 2,430
Freeport-McMoRan Copper & Gold, Inc.	367,400		13,362
Nucor Corp.	498,767		27,093
			42,885
TOTAL MATERIALS			862,664
TELECOMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 1.2%
CenturyLink, Inc.	422,800		17,331
inContact, Inc. (a)	1,324,987		12,137
Level 3 Communications, Inc. (a)	647,709		29,121
Verizon Communications, Inc.	5,553,301		276,665
			335,254
Wireless Telecommunication Services - 0.2%
T-Mobile U.S., Inc. (a)	1,366,600		41,107
Telephone & Data Systems, Inc.	189,300		4,986
			46,093
TOTAL TELECOMMUNICATION SERVICES			381,347
UTILITIES - 2.1%
Electric Utilities - 0.9%
American Electric Power Co., Inc.	372,132		19,983
Edison International	542,827		32,103
Exelon Corp.	1,380,800		46,146
NextEra Energy, Inc.	949,100		93,439
PPL Corp.	1,475,400		51,093
			242,764
Gas Utilities - 0.2%
National Fuel Gas Co.	618,189		47,254
Independent Power and Renewable Electricity Producers - 0.0%
Abengoa Yield PLC	101,300		4,063
NextEra Energy Partners LP	122,200		4,290
			8,353
Independent Power Producers & Energy Traders - 0.1%
NRG Energy, Inc.	1,242,072		38,231
Multi-Utilities - 0.9%
Dominion Resources, Inc.	1,199,800		84,250
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
NiSource, Inc.	1,076,482		$ 42,704
PG&E Corp.	578,429		26,885
Sempra Energy	706,531		74,871
			228,710
TOTAL UTILITIES			565,312
TOTAL COMMON STOCKS (Cost $14,380,948)		19,188,472
Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.0%
INFORMATION TECHNOLOGY - 0.0%
Software - 0.0%
MongoDB, Inc. Series F, 8.00% (o)	281,270		3,446
Nonconvertible Preferred Stocks - 0.1%
CONSUMER STAPLES - 0.1%
Beverages - 0.1%
Ambev SA sponsored ADR	1,207,025		8,799
TOTAL PREFERRED STOCKS (Cost $9,180)		12,245

Corporate Bonds - 10.1%
	Principal Amount (000s)
Convertible Bonds - 0.0%
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
Cobalt International Energy, Inc. 2.625% 12/1/19	$ 1,740		1,529
Nonconvertible Bonds - 10.1%
CONSUMER DISCRETIONARY - 0.3%
Automobiles - 0.0%
Volkswagen International Finance NV 2.375% 3/22/17 (f)	1,830		1,885
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Diversified Consumer Services - 0.0%
Ingersoll-Rand Global Holding Co. Ltd.:
2.875% 1/15/19	$ 617		$ 633
4.25% 6/15/23	4,350		4,639
			5,272
Media - 0.3%
COX Communications, Inc. 3.25% 12/15/22 (f)	2,422		2,380
Discovery Communications LLC 5.05% 6/1/20	204		228
NBCUniversal, Inc. 5.15% 4/30/20	7,276		8,329
News America Holdings, Inc. 7.75% 12/1/45	9,421		14,056
Thomson Reuters Corp. 1.3% 2/23/17	2,082		2,084
Time Warner Cable, Inc.:
4% 9/1/21	10,989		11,794
5.85% 5/1/17	1,829		2,042
6.75% 7/1/18	1,974		2,320
8.25% 4/1/19	11,974		15,064
Time Warner, Inc.:
2.1% 6/1/19	13,219		13,111
5.875% 11/15/16	4,882		5,386
Viacom, Inc.:
1.25% 2/27/15	456		458
2.5% 9/1/18	809		823
3.5% 4/1/17	264		279
			78,354
TOTAL CONSUMER DISCRETIONARY			85,511
CONSUMER STAPLES - 0.3%
Beverages - 0.0%
SABMiller Holdings, Inc.:
1.85% 1/15/15 (f)	2,353		2,364
2.45% 1/15/17 (f)	2,353		2,424
			4,788
Food & Staples Retailing - 0.0%
CVS Caremark Corp. 2.25% 12/5/18	4,798		4,847
Kroger Co. 3.3% 1/15/21	6,190		6,363
			11,210
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Food Products - 0.1%
Cargill, Inc. 6% 11/27/17 (f)	$ 572		$ 648
ConAgra Foods, Inc.:
1.9% 1/25/18	2,279		2,279
3.2% 1/25/23	1,917		1,889
Tyson Foods, Inc. 3.95% 8/15/24	9,560		9,767
William Wrigley Jr. Co.:
1.4% 10/21/16 (f)	3,710		3,735
2% 10/20/17 (f)	5,313		5,383
			23,701
Tobacco - 0.2%
Altria Group, Inc.:
2.85% 8/9/22	4,604		4,504
4% 1/31/24	3,615		3,761
9.7% 11/10/18	6,258		8,120
Reynolds American, Inc.:
3.25% 11/1/22	3,376		3,305
4.85% 9/15/23	8,000		8,629
6.75% 6/15/17	4,975		5,657
7.25% 6/15/37	7,569		9,655
			43,631
TOTAL CONSUMER STAPLES			83,330
ENERGY - 1.4%
Energy Equipment & Services - 0.1%
DCP Midstream LLC:
4.75% 9/30/21 (f)	6,909		7,386
5.35% 3/15/20 (f)	6,814		7,531
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	7,675		7,956
5% 10/1/21	2,791		3,048
6.5% 4/1/20	2,608		3,034
Noble Holding International Ltd. 3.05% 3/1/16	914		942
Transocean, Inc. 5.05% 12/15/16	4,522		4,878
			34,775
Oil, Gas & Consumable Fuels - 1.3%
Anadarko Petroleum Corp. 6.375% 9/15/17	15,653		17,846
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
DCP Midstream Operating LP:
2.5% 12/1/17	$ 3,027		$ 3,102
2.7% 4/1/19	616		624
3.875% 3/15/23	1,823		1,865
4.95% 4/1/22	1,267		1,399
Duke Energy Field Services:
5.375% 10/15/15 (f)	2,055		2,137
6.45% 11/3/36 (f)	6,493		7,724
El Paso Natural Gas Co. 5.95% 4/15/17	1,572		1,745
Enable Midstream Partners LP:
2.4% 5/15/19 (f)	1,957		1,951
3.9% 5/15/24 (f)	2,064		2,085
Enbridge Energy Partners LP 4.2% 9/15/21	8,103		8,671
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f)	780		849
Marathon Petroleum Corp. 5.125% 3/1/21	4,415		5,000
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f)	7,948		7,956
Motiva Enterprises LLC 5.75% 1/15/20 (f)	1,252		1,418
Nakilat, Inc. 6.067% 12/31/33 (f)	2,490		2,801
Nexen, Inc.:
5.2% 3/10/15	1,528		1,564
6.2% 7/30/19	2,252		2,627
Pemex Project Funding Master Trust 5.75% 3/1/18	25,063		28,121
Petrobras Global Finance BV:
3% 1/15/19	29,822		29,386
3.25% 3/17/17	12,657		12,946
4.375% 5/20/23	4,137		4,082
4.875% 3/17/20	12,657		13,146
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	7,288		7,492
5.375% 1/27/21	12,572		13,255
5.75% 1/20/20	17,949		19,348
7.875% 3/15/19	7,382		8,600
Petroleos Mexicanos:
3.5% 7/18/18	8,047		8,409
3.5% 1/30/23	5,005		4,960
4.875% 1/24/22	1,430		1,554
4.875% 1/18/24	2,251		2,449
4.875% 1/18/24 (f)	4,770		5,190
5.5% 1/21/21	7,423		8,351
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petroleos Mexicanos: - continued
5.5% 6/27/44	$ 19,723		$ 21,395
6% 3/5/20	3,327		3,818
6.375% 1/23/45 (f)	7,506		9,082
6.5% 6/2/41	8,420		10,272
Phillips 66 Co.:
1.95% 3/5/15	1,844		1,857
2.95% 5/1/17	1,844		1,926
4.3% 4/1/22	6,383		6,918
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17	1,940		2,162
Southeast Supply Header LLC 4.25% 6/15/24 (f)	5,790		5,977
Spectra Energy Capital, LLC 5.65% 3/1/20	1,087		1,225
Spectra Energy Partners, LP:
2.95% 6/15/16	1,472		1,524
4.6% 6/15/21	1,816		1,993
Suncor Energy, Inc. 6.1% 6/1/18	623		718
The Williams Companies, Inc.:
3.7% 1/15/23	1,899		1,822
4.55% 6/24/24	17,216		17,340
Western Gas Partners LP 5.375% 6/1/21	10,614		12,064
Williams Partners LP 4.3% 3/4/24	4,754		4,973
			343,719
TOTAL ENERGY			378,494
FINANCIALS - 5.8%
Banks - 2.6%
Associated Banc Corp. 5.125% 3/28/16	2,238		2,366
Banco Nacional de Desenvolvimento Economico e Social:
4% 4/14/19 (f)	16,318		16,726
5.5% 7/12/20 (f)	20,348		22,205
6.5% 6/10/19 (f)	2,097		2,362
Bank of America Corp.:
1.35% 11/21/16	5,398		5,415
2.6% 1/15/19	43,489		43,913
2.65% 4/1/19	14,468		14,615
3.875% 3/22/17	944		1,002
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Banks - continued
Bank of America Corp.: - continued
4.2% 8/26/24	$ 7,745		$ 7,863
6.5% 8/1/16	1,220		1,341
Bank of America NA 5.3% 3/15/17	16,651		18,158
Barclays Bank PLC 2.5% 2/20/19	4,000		4,065
BB&T Corp. 3.95% 3/22/22	1,805		1,922
Capital One NA 2.95% 7/23/21	8,837		8,851
Citigroup, Inc.:
1.3% 11/15/16	663		665
1.75% 5/1/18	21,658		21,556
2.5% 7/29/19	22,812		22,903
2.55% 4/8/19	24,266		24,504
4.05% 7/30/22	17,500		18,039
4.45% 1/10/17	15,842		16,984
5.3% 5/6/44	12,873		13,817
6% 8/15/17	15,053		16,922
6.125% 11/21/17	17,419		19,758
Comerica, Inc. 4.8% 5/1/15	1,223		1,258
Credit Suisse AG 6% 2/15/18	17,158		19,376
Credit Suisse New York Branch 5.4% 1/14/20	1,450		1,633
Discover Bank:
7% 4/15/20	4,144		4,965
8.7% 11/18/19	745		938
Fifth Third Bancorp:
3.5% 3/15/22	638		662
4.5% 6/1/18	584		635
5.45% 1/15/17	4,032		4,403
HBOS PLC 6.75% 5/21/18 (f)	560		642
HSBC Holdings PLC 4.25% 3/14/24	3,415		3,546
Huntington Bancshares, Inc. 7% 12/15/20	3,353		4,038
Huntington National Bank:
1.3% 11/20/16	4,131		4,148
2.2% 4/1/19	3,200		3,202
Intesa Sanpaolo SpA:
2.375% 1/13/17	18,700		18,945
3.125% 1/15/16	20,275		20,800
JPMorgan Chase & Co.:
2% 8/15/17	27,274		27,718
2.35% 1/28/19	49,249		49,726
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Banks - continued
JPMorgan Chase & Co.: - continued
3.15% 7/5/16	$ 1,641		$ 1,706
JPMorgan Chase Bank 6% 10/1/17	2,460		2,778
KeyBank NA 5.45% 3/3/16	3,278		3,500
KeyCorp. 5.1% 3/24/21	628		714
Marshall & Ilsley Bank:
4.85% 6/16/15	5,313		5,480
5% 1/17/17	10,492		11,217
Regions Bank:
6.45% 6/26/37	12,100		14,426
7.5% 5/15/18	13,814		16,300
Regions Financial Corp.:
2% 5/15/18	7,953		7,918
5.75% 6/15/15	1,528		1,587
7.75% 11/10/14	7,190		7,280
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	35,482		36,193
6% 12/19/23	12,648		13,751
6.1% 6/10/23	8,213		8,967
6.125% 12/15/22	39,429		43,121
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17	6,500		6,513
SunTrust Banks, Inc.:
2.35% 11/1/18	3,112		3,146
3.5% 1/20/17	4,862		5,119
Wachovia Bank NA 6% 11/15/17	8,083		9,191
Wells Fargo & Co.:
4.1% 6/3/26	15,000		15,375
4.48% 1/16/24	6,481		6,950
			693,819
Capital Markets - 0.8%
Affiliated Managers Group, Inc. 4.25% 2/15/24	2,464		2,575
Bear Stearns Companies, Inc. 5.3% 10/30/15	1,060		1,116
Goldman Sachs Group, Inc.:
1.748% 9/15/17	24,600		24,596
2.625% 1/31/19	23,560		23,846
2.9% 7/19/18	10,319		10,612
5.95% 1/18/18	5,343		6,029
6.15% 4/1/18	3,993		4,550
6.25% 9/1/17	23,534		26,623
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Lazard Group LLC:
4.25% 11/14/20	$ 3,149		$ 3,319
6.85% 6/15/17	6,480		7,348
Merrill Lynch & Co., Inc. 6.4% 8/28/17	5,074		5,764
Morgan Stanley:
2.125% 4/25/18	18,100		18,209
2.375% 7/23/19	13,004		12,976
2.5% 1/24/19	43,150		43,646
4% 7/24/15	1,373		1,416
4.875% 11/1/22	3,413		3,687
5.625% 9/23/19	547		625
5.95% 12/28/17	301		340
6.625% 4/1/18	1,804		2,089
State Street Corp. 3.1% 5/15/23	7,500		7,408
UBS AG Stamford Branch 2.375% 8/14/19	13,000		13,043
			219,817
Consumer Finance - 0.7%
Capital One Financial Corp. 2.45% 4/24/19	5,260		5,290
Discover Financial Services:
3.85% 11/21/22	2,701		2,766
5.2% 4/27/22	2,488		2,765
6.45% 6/12/17	13,316		14,997
Ford Motor Credit Co. LLC:
1.5% 1/17/17	19,067		19,107
2.375% 3/12/19	19,600		19,618
2.5% 1/15/16	16,000		16,348
2.875% 10/1/18	11,000		11,325
3% 6/12/17	6,246		6,477
4.375% 8/6/23	15,332		16,385
5% 5/15/18	10,000		11,040
5.875% 8/2/21	12,574		14,778
General Electric Capital Corp. 4.625% 1/7/21	849		950
Hyundai Capital America:
1.45% 2/6/17 (f)	6,312		6,317
1.625% 10/2/15 (f)	2,131		2,147
1.875% 8/9/16 (f)	1,605		1,627
2.125% 10/2/17 (f)	2,357		2,389
2.55% 2/6/19 (f)	6,671		6,759
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Hyundai Capital America: - continued
2.875% 8/9/18 (f)	$ 2,848		$ 2,938
Synchrony Financial:
1.875% 8/15/17	1,554		1,566
3% 8/15/19	2,283		2,316
3.75% 8/15/21	8,466		8,640
4.25% 8/15/24	3,469		3,551
			180,096
Diversified Financial Services - 0.1%
BP Capital Markets PLC:
4.5% 10/1/20	1,336		1,474
4.742% 3/11/21	6,000		6,726
Five Corners Funding Trust 4.419% 11/15/23 (f)	9,345		9,975
RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (f)	6,485		6,585
TECO Finance, Inc.:
4% 3/15/16	1,828		1,916
5.15% 3/15/20	164		185
			26,861
Insurance - 0.6%
AIA Group Ltd. 2.25% 3/11/19 (f)	1,416		1,416
American International Group, Inc.:
2.375% 8/24/15	16,000		16,317
4.875% 6/1/22	4,860		5,455
5.6% 10/18/16	5,560		6,077
Aon Corp.:
3.125% 5/27/16	4,743		4,915
3.5% 9/30/15	4,875		5,026
5% 9/30/20	129		145
Axis Capital Holdings Ltd. 5.75% 12/1/14	452		458
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(k)	2,508		2,596
Hartford Financial Services Group, Inc.:
4% 10/15/17	1,308		1,406
5.125% 4/15/22	1,066		1,218
5.375% 3/15/17	685		752
Liberty Mutual Group, Inc.:
4.25% 6/15/23 (f)	6,498		6,762
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
Liberty Mutual Group, Inc.: - continued
5% 6/1/21 (f)	$ 8,525		$ 9,425
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	5,569		6,208
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f)	3,576		4,125
MetLife, Inc. 6.75% 6/1/16	5,158		5,689
Metropolitan Life Global Funding I 1.875% 6/22/18 (f)	7,500		7,506
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f)	4,915		6,240
Pacific Life Insurance Co. 9.25% 6/15/39 (f)	3,967		6,251
Pacific LifeCorp:
5.125% 1/30/43 (f)	7,709		8,217
6% 2/10/20 (f)	9,721		11,161
Prudential Financial, Inc.:
2.3% 8/15/18	888		902
4.5% 11/16/21	1,764		1,939
7.375% 6/15/19	2,520		3,099
Symetra Financial Corp. 6.125% 4/1/16 (f)	8,408		8,967
Unum Group:
5.625% 9/15/20	3,860		4,421
5.75% 8/15/42	8,065		9,656
7.125% 9/30/16	2,076		2,331
			148,680
Real Estate Investment Trusts - 0.5%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	1,369		1,372
4.6% 4/1/22	2,035		2,167
American Campus Communities Operating Partnership LP 3.75% 4/15/23	1,759		1,764
AvalonBay Communities, Inc. 3.625% 10/1/20	2,800		2,951
Boston Properties, Inc. 3.85% 2/1/23	8,081		8,413
Camden Property Trust 2.95% 12/15/22	2,417		2,357
CommonWealth REIT 5.875% 9/15/20	1,166		1,268
DDR Corp.:
4.75% 4/15/18	6,131		6,644
7.5% 4/1/17	8,836		10,106
9.625% 3/15/16	1,851		2,093
Developers Diversified Realty Corp. 4.625% 7/15/22	4,470		4,792
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP:
3.625% 4/15/23	$ 3,152		$ 3,141
3.875% 10/15/22	5,452		5,594
4.375% 6/15/22	3,753		3,970
5.5% 3/1/16	3,075		3,272
5.95% 2/15/17	3,767		4,155
6.75% 3/15/20	1,339		1,594
8.25% 8/15/19	2,643		3,315
Equity One, Inc.:
3.75% 11/15/22	8,200		8,238
5.375% 10/15/15	948		994
6% 9/15/17	876		974
6.25% 1/15/17	663		731
Federal Realty Investment Trust:
5.9% 4/1/20	1,971		2,293
6.2% 1/15/17	501		559
HCP, Inc.:
3.15% 8/1/22	7,000		6,845
3.875% 8/15/24	13,000		13,118
4.25% 11/15/23	5,582		5,800
Health Care REIT, Inc.:
2.25% 3/15/18	2,600		2,634
4.125% 4/1/19	13,700		14,769
4.7% 9/15/17	843		919
HRPT Properties Trust:
5.75% 11/1/15	1,731		1,777
6.25% 6/15/17	996		1,066
6.65% 1/15/18	676		750
Lexington Corporate Properties Trust 4.4% 6/15/24	2,249		2,289
Omega Healthcare Investors, Inc. 4.95% 4/1/24 (f)	2,101		2,170
Retail Opportunity Investments Partnership LP 5% 12/15/23	1,140		1,227
Weingarten Realty Investors 3.375% 10/15/22	1,228		1,236
			137,357
Real Estate Management & Development - 0.5%
BioMed Realty LP:
2.625% 5/1/19	2,206		2,207
3.85% 4/15/16	8,775		9,174
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - continued
BioMed Realty LP: - continued
4.25% 7/15/22	$ 2,970		$ 3,089
6.125% 4/15/20	2,611		3,019
Brandywine Operating Partnership LP:
3.95% 2/15/23	7,304		7,405
4.95% 4/15/18	4,846		5,250
5.7% 5/1/17	309		338
6% 4/1/16	2,770		2,965
7.5% 5/15/15	776		811
Corporate Office Properties LP 3.7% 6/15/21	4,267		4,276
Digital Realty Trust LP:
4.5% 7/15/15	3,650		3,732
5.25% 3/15/21	4,138		4,521
ERP Operating LP 5.75% 6/15/17	2,042		2,286
Essex Portfolio LP 5.5% 3/15/17	3,921		4,316
Liberty Property LP:
3.375% 6/15/23	3,313		3,254
4.125% 6/15/22	3,219		3,377
4.75% 10/1/20	8,747		9,475
5.125% 3/2/15	1,672		1,708
5.5% 12/15/16	2,529		2,753
Mack-Cali Realty LP:
2.5% 12/15/17	4,556		4,603
3.15% 5/15/23	7,438		6,756
4.5% 4/18/22	2,016		2,048
5.8% 1/15/16	5,020		5,315
7.75% 8/15/19	2,476		2,972
Mid-America Apartments LP 4.3% 10/15/23	1,248		1,317
Post Apartment Homes LP 3.375% 12/1/22	1,364		1,342
Prime Property Funding, Inc. 5.7% 4/15/17 (f)	4,226		4,544
Reckson Operating Partnership LP 6% 3/31/16	1,949		2,084
Regency Centers LP:
5.25% 8/1/15	3,893		4,052
5.875% 6/15/17	1,771		1,971
Tanger Properties LP:
3.875% 12/1/23	2,716		2,785
6.125% 6/1/20	9,597		11,182
Ventas Realty LP:
1.25% 4/17/17	3,126		3,122
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP: - continued
1.55% 9/26/16	$ 1,068		$ 1,079
3.75% 5/1/24	7,900		7,910
Ventas Realty LP/Ventas Capital Corp.:
2% 2/15/18	4,056		4,084
4% 4/30/19	1,999		2,143
			143,265
TOTAL FINANCIALS			1,549,895
HEALTH CARE - 0.4%
Biotechnology - 0.2%
Amgen, Inc.:
1.25% 5/22/17	13,051		13,048
2.2% 5/22/19	32,376		32,342
			45,390
Health Care Providers & Services - 0.1%
Coventry Health Care, Inc. 5.95% 3/15/17	1,413		1,573
Express Scripts Holding Co.:
3.9% 2/15/22	1,915		2,024
4.75% 11/15/21	17,355		19,304
McKesson Corp. 2.284% 3/15/19	6,400		6,403
Medco Health Solutions, Inc.:
2.75% 9/15/15	4,158		4,250
4.125% 9/15/20	5,031		5,392
WellPoint, Inc. 1.875% 1/15/18	195		196
			39,142
Life Sciences Tools & Services - 0.0%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	1,745		1,746
2.4% 2/1/19	1,100		1,111
			2,857
Pharmaceuticals - 0.1%
AbbVie, Inc. 1.75% 11/6/17	6,470		6,503
Actavis Funding SCS:
1.3% 6/15/17 (f)	12,949		12,917
2.45% 6/15/19 (f)	3,839		3,826
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Pharmaceuticals - continued
Mylan, Inc. 1.35% 11/29/16	$ 2,039		$ 2,041
Perrigo Co. PLC:
1.3% 11/8/16 (f)	1,664		1,662
2.3% 11/8/18 (f)	1,780		1,777
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	2,149		2,158
Zoetis, Inc. 1.875% 2/1/18	992		992
			31,876
TOTAL HEALTH CARE			119,265
INDUSTRIALS - 0.1%
Aerospace & Defense - 0.0%
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f)	5,000		5,855
Airlines - 0.0%
Continental Airlines, Inc.:
6.648% 3/15/19	2,117		2,255
6.9% 7/2/19	814		871
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,887		2,040
8.36% 1/20/19	1,419		1,575
			6,741
Trading Companies & Distributors - 0.1%
Air Lease Corp.:
3.875% 4/1/21	6,320		6,383
4.75% 3/1/20	5,518		5,877
			12,260
TOTAL INDUSTRIALS			24,856
INFORMATION TECHNOLOGY - 0.0%
Electronic Equipment & Components - 0.0%
Tyco Electronics Group SA:
1.6% 2/3/15	188		189
2.375% 12/17/18	1,262		1,273
6.55% 10/1/17	1,119		1,282
			2,744
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
IT Services - 0.0%
Xerox Corp.:
2.95% 3/15/17	$ 1,143		$ 1,189
4.25% 2/15/15	1,302		1,324
			2,513
TOTAL INFORMATION TECHNOLOGY			5,257
MATERIALS - 0.1%
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	3,083		3,384
Metals & Mining - 0.1%
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (f)	8,722		9,131
4.25% 7/17/42 (f)	1,402		1,323
5.625% 10/18/43 (f)	2,722		3,143
			13,597
TOTAL MATERIALS			16,981
TELECOMMUNICATION SERVICES - 0.9%
Diversified Telecommunication Services - 0.9%
BellSouth Capital Funding Corp. 7.875% 2/15/30	61		83
CenturyLink, Inc.:
5.15% 6/15/17	487		520
6% 4/1/17	3,467		3,753
6.15% 9/15/19	4,463		4,876
Embarq Corp.:
7.082% 6/1/16	4,190		4,609
7.995% 6/1/36	36,001		40,497
Verizon Communications, Inc.:
2.5% 9/15/16	97,018		100,024
4.5% 9/15/20	45,631		50,138
5.012% 8/21/54 (f)	23,143		24,173
6.25% 4/1/37	4,611		5,701
6.4% 9/15/33	6,073		7,671
6.55% 9/15/43	8,436		10,875
			252,920
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - 0.0%
America Movil S.A.B. de CV:
2.375% 9/8/16	$ 371		$ 380
3.625% 3/30/15	3,102		3,152
			3,532
TOTAL TELECOMMUNICATION SERVICES			256,452
UTILITIES - 0.8%
Electric Utilities - 0.6%
AmerenUE 6.4% 6/15/17	1,518		1,713
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (f)	5,539		6,513
6.4% 9/15/20 (f)	11,856		14,030
Edison International 3.75% 9/15/17	4,499		4,785
FirstEnergy Corp.:
2.75% 3/15/18	8,307		8,401
4.25% 3/15/23	22,159		22,343
7.375% 11/15/31	40,870		49,669
FirstEnergy Solutions Corp. 6.05% 8/15/21	12,120		13,472
LG&E and KU Energy LLC:
2.125% 11/15/15	5,251		5,320
3.75% 11/15/20	1,034		1,088
Nevada Power Co. 6.5% 8/1/18	2,642		3,106
Northeast Utilities 1.45% 5/1/18	1,676		1,660
NV Energy, Inc. 6.25% 11/15/20	1,957		2,327
Pennsylvania Electric Co. 6.05% 9/1/17	618		695
Pepco Holdings, Inc. 2.7% 10/1/15	5,263		5,362
Progress Energy, Inc. 4.4% 1/15/21	405		448
West Penn Power Co. 5.95% 12/15/17 (f)	6,500		7,301
			148,233
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (f)	357		396
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	2,473		2,648
Texas Eastern Transmission LP 6% 9/15/17 (f)	1,301		1,456
			4,500
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Multi-Utilities - 0.2%
Dominion Resources, Inc.:
2.5341% 9/30/66 (k)	$ 17,454		$ 16,125
7.5% 6/30/66 (k)	5,485		5,935
MidAmerican Energy Holdings, Co. 2% 11/15/18	6,853		6,860
National Grid PLC 6.3% 8/1/16	973		1,070
NiSource Finance Corp.:
4.45% 12/1/21	2,934		3,183
5.25% 9/15/17	1,414		1,568
5.45% 9/15/20	6,455		7,348
6.4% 3/15/18	3,029		3,490
6.8% 1/15/19	4,065		4,820
PG&E Corp. 2.4% 3/1/19	931		940
Puget Energy, Inc. 6% 9/1/21	813		955
Wisconsin Energy Corp. 6.25% 5/15/67 (k)	4,882		5,071
			57,365
TOTAL UTILITIES			210,098
TOTAL NONCONVERTIBLE BONDS			2,730,139
TOTAL CORPORATE BONDS (Cost $2,614,480)		2,731,668
U.S. Treasury Obligations - 3.2%

U.S. Treasury Bills, yield at date of purchase 0.02% to 0.03% 10/23/14 to 11/13/14 (i)	8,770		8,770
U.S. Treasury Bonds:
3.125% 8/15/44	107,581		108,573
3.375% 5/15/44 (i)(j)	170,942		180,985
U.S. Treasury Notes:
0.25% 9/30/15	274,803		275,125
0.875% 7/15/17	295,900		295,553
TOTAL U.S. TREASURY OBLIGATIONS (Cost $855,474)		869,006
U.S. Government Agency - Mortgage Securities - 3.7%
	Principal Amount (000s)		Value (000s)
Fannie Mae - 3.2%
2.053% 6/1/36 (k)	$ 155		$ 167
2.458% 7/1/37 (k)	333		357
2.5% 11/1/42 to 4/1/43	1,309		1,258
3% 9/1/29 (h)	6,600		6,841
3% 10/1/42 to 10/1/43	37,379		37,269
3% 9/1/44 (h)	15,200		15,128
3% 9/1/44 (h)	72,900		72,553
3.5% 1/1/34 to 1/1/44	267,795		275,390
3.5% 9/1/44 (h)	1,500		1,544
3.5% 9/1/44 (h)	600		618
3.5% 9/1/44 (h)	54,300		55,893
4% 2/1/35 to 11/1/42	27,623		29,374
4% 9/1/44 (h)	12,300		13,031
4% 9/1/44 (h)	53,600		56,785
4% 9/1/44 (h)	17,000		18,010
4% 9/1/44 (h)	17,100		18,116
4% 9/1/44 (h)	3,700		3,920
4% 10/1/44 (h)	5,000		5,280
4% 10/1/44 (h)	10,800		11,404
4% 10/1/44 (h)	16,000		16,894
4% 10/1/44 (h)	17,000		17,950
4% 10/1/44 (h)	17,100		18,056
4.5% 12/1/23 to 8/1/44 (h)	29,366		31,761
4.5% 9/1/44 (h)	33,100		35,740
4.5% 10/1/44 (h)	26,600		28,651
5% 10/1/41	4,305		4,754
5% 9/1/44 (h)	10,900		12,020
5% 9/1/44 (h)	16,100		17,755
5.5% 9/1/24 to 8/1/37	7,144		7,893
5.5% 9/1/44 (h)	30,200		33,589
5.5% 10/1/44 (h)	15,300		16,991
6% 6/1/35 to 8/1/37	5,694		6,451
6.5% 7/1/32 to 8/1/36	1,139		1,314
TOTAL FANNIE MAE			872,757
Freddie Mac - 0.1%
3.068% 10/1/35 (k)	198		213
3.5% 6/1/42 to 10/1/43	16,992		17,427
4% 6/1/24 to 11/1/43	4,941		5,253
4.5% 7/1/25 to 12/1/40	705		758
5% 3/1/19	1,494		1,583
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
5.5% 1/1/34 to 3/1/40	$ 1,296		$ 1,445
6% 7/1/37 to 8/1/37	385		433
6.5% 3/1/36	838		969
TOTAL FREDDIE MAC			28,081
Ginnie Mae - 0.4%
3.5% 9/1/44 (h)	14,400		14,973
3.5% 9/1/44 (h)	15,500		16,117
4% 9/20/40 to 2/20/41	4,425		4,725
4% 9/1/44 (h)	3,000		3,196
4% 9/1/44 (h)	14,900		15,872
4.5% 9/1/44 (h)	16,600		18,046
4.5% 9/1/44 (h)	8,500		9,239
5% 5/15/39	1,391		1,533
5.5% 12/15/31 to 1/15/39	2,818		3,157
6% 2/15/34	6,477		7,413
TOTAL GINNIE MAE			94,271
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $985,518)		995,109
Asset-Backed Securities - 0.3%

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.625% 4/25/35 (k)	729		634
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.805% 3/25/34 (k)	328		326
AmeriCredit Auto Receivables Trust Series 2013-4:
Class C, 2.72% 9/9/19	1,410		1,440
Class D, 3.31% 10/8/19	880		897
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.205% 12/25/33 (k)	63		58
Series 2004-R2 Class M3, 0.98% 4/25/34 (k)	99		63
Series 2005-R2 Class M1, 0.605% 4/25/35 (k)	584		582
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.935% 3/25/34 (k)	53		50
Series 2004-W11 Class M2, 1.205% 11/25/34 (k)	616		592
Series 2004-W7 Class M1, 0.98% 5/25/34 (k)	1,600		1,550
Series 2006-W4 Class A2C, 0.315% 5/25/36 (k)	1,314		460
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 0.98% 4/25/34 (k)	$ 2,070		$ 1,901
Series 2006-HE2 Class M1, 0.525% 3/25/36 (k)	29		3
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.295% 12/25/36 (k)	1,978		1,341
CFC LLC Series 2013-1A Class A, 1.65% 7/17/17 (f)	574		576
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.61% 4/25/34 (k)	87		62
Series 2004-4 Class M2, 0.95% 6/25/34 (k)	231		219
Series 2004-7 Class AF5, 5.868% 1/25/35	2,173		2,229
Fannie Mae Series 2004-T5 Class AB3, 0.9829% 5/28/35 (k)	43		40
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.327% 8/25/34 (k)	319		283
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.98% 3/25/34 (k)	16		15
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.89% 1/25/35 (k)	1,041		861
Class M4, 1.175% 1/25/35 (k)	381		214
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(k)	2,028		1,732
GE Business Loan Trust:
Series 2003-1 Class A, 0.585% 4/15/31 (f)(k)	57		55
Series 2006-2A:
Class A, 0.335% 11/15/34 (f)(k)	1,030		979
Class B, 0.435% 11/15/34 (f)(k)	372		342
Class C, 0.535% 11/15/34 (f)(k)	618		539
Class D, 0.905% 11/15/34 (f)(k)	235		202
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.475% 8/25/33 (k)	297		282
Series 2003-3 Class M1, 1.445% 8/25/33 (k)	558		540
Series 2003-5 Class A2, 0.855% 12/25/33 (k)	36		34
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.345% 1/25/37 (k)	1,642		1,021
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.452% 7/25/36 (k)	3,185		548
Series 2007-CH1 Class AV4, 0.285% 11/25/36 (k)	1,078		1,067
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5639% 12/27/29 (k)	277		276
Series 2006-A Class 2C, 1.3839% 3/27/42 (k)	2,909		485
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.455% 5/25/37 (k)	508		5
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.905% 7/25/34 (k)	$ 131		$ 104
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.13% 7/25/34 (k)	505		462
Series 2006-FM1 Class A2B, 0.265% 4/25/37 (k)	775		698
Series 2006-OPT1 Class A1A, 0.675% 6/25/35 (k)	2,130		2,034
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.835% 8/25/34 (k)	63		58
Series 2005-NC1 Class M1, 0.815% 1/25/35 (k)	438		416
Series 2005-NC2 Class B1, 1.91% 3/25/35 (k)	268		9
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.665% 9/25/35 (k)	1,566		1,452
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.03% 9/25/34 (k)	585		524
Class M4, 2.33% 9/25/34 (k)	750		460
Series 2005-WCH1 Class M4, 0.985% 1/25/36 (k)	1,620		1,423
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.955% 4/25/33 (k)	6		5
Santander Drive Auto Receivables Trust:
Series 2014-2 Class C, 2.33% 11/15/19	6,409		6,440
Series 2014-3:
Class B, 1.45% 5/15/19	22,594		22,537
Class C, 2.13% 8/17/20	22,594		22,520
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.95% 3/25/35 (k)	1,037		948
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1806% 6/15/33 (k)	1,000		964
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.88% 9/25/34 (k)	53		43
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.015% 9/25/34 (k)	32		28
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.7921% 4/6/42 (f)(k)	2,206		993
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0341% 10/25/44 (f)(k)	1,964		1,983
TOTAL ASSET-BACKED SECURITIES (Cost $76,194)		86,604
Collateralized Mortgage Obligations - 0.2%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 0.2%
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.715% 1/25/35 (k)	$ 1,467		$ 1,461
Citigroup Mortgage Loan Trust sequential payer Series 2012-A Class A, 2.5% 6/25/51 (f)	3,521		3,417
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5706% 10/25/34 (k)	690		690
Granite Master Issuer PLC:
floater:
Series 2006-1A:
Class A1, 0.2255% 12/20/54 (f)(k)	4,788		4,745
Class A5, 0.2955% 12/20/54 (f)(k)	3,856		3,825
Series 2006-2 Class A4, 0.2355% 12/20/54 (k)	1,429		1,402
Series 2006-3:
Class A3, 0.2355% 12/20/54 (k)	688		682
Class A7, 0.3555% 12/20/54 (k)	748		742
Class M2, 0.7155% 12/20/54 (k)	5,460		5,347
Series 2006-4:
Class A4, 0.2555% 12/20/54 (k)	2,193		2,174
Class B1, 0.3355% 12/20/54 (k)	4,556		4,418
Class M1, 0.4955% 12/20/54 (k)	1,198		1,159
Series 2007-1:
Class 1B1, 0.2955% 12/20/54 (k)	5,806		5,627
Class 1M1, 0.4555% 12/20/54 (k)	1,611		1,563
Class 2A1, 0.2955% 12/20/54 (k)	1,721		1,707
Class 2M1, 0.6555% 12/20/54 (k)	2,067		2,018
Series 2007-2:
Class 1B1, 0.315% 12/17/54 (k)	767		744
Class 2C1, 1.015% 12/17/54 (k)	2,864		2,780
Class 3A1, 0.335% 12/17/54 (k)	307		304
sequential payer Series 2006-3 Class B2, 0.4955% 12/20/54 (k)	5,461		5,336
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6836% 1/20/44 (k)	472		499
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4718% 8/25/36 (k)	1,350		1,155
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.365% 5/25/47 (k)	559		465
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.325% 2/25/37 (k)	1,019		924
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.445% 7/25/35 (k)	1,463		1,396
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.507% 6/10/35 (f)(k)	$ 553		$ 507
Class B6, 3.007% 6/10/35 (f)(k)	118		109
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2054% 7/20/34 (k)	29		28
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5124% 4/25/33 (k)	168		169
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.355% 9/25/36 (k)	2,197		1,975
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 0.795% 9/25/43 (k)	2,609		2,563
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $44,942)		59,931
Commercial Mortgage Securities - 1.9%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4206% 2/14/43 (k)(m)	421		9
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7129% 5/10/45 (k)	368		373
Series 2006-3 Class A4, 5.889% 7/10/44	9,288		9,929
Series 2006-5 Class A2, 5.317% 9/10/47	2,088		2,095
Series 2006-6 Class A3, 5.369% 10/10/45	2,628		2,678
Series 2005-3 Class A3B, 5.09% 7/10/43 (k)	4,082		4,153
Series 2006-6 Class E, 5.619% 10/10/45 (f)	759		96
Series 2007-3:
Class A3, 5.5647% 6/10/49 (k)	1,577		1,575
Class A4, 5.5647% 6/10/49 (k)	2,739		2,986
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	4,718		5,059
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.43% 12/25/33 (f)(k)	44		39
Series 2005-3A:
Class A2, 0.555% 11/25/35 (f)(k)	395		350
Class M1, 0.595% 11/25/35 (f)(k)	52		38
Class M2, 0.645% 11/25/35 (f)(k)	66		48
Class M3, 0.665% 11/25/35 (f)(k)	59		42
Class M4, 0.755% 11/25/35 (f)(k)	73		50
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-4A:
Class A2, 0.545% 1/25/36 (f)(k)	$ 1,010		$ 886
Class B1, 1.555% 1/25/36 (f)(k)	47		8
Class M1, 0.605% 1/25/36 (f)(k)	326		192
Class M2, 0.625% 1/25/36 (f)(k)	98		55
Class M3, 0.655% 1/25/36 (f)(k)	143		77
Class M4, 0.765% 1/25/36 (f)(k)	79		41
Class M5, 0.805% 1/25/36 (f)(k)	79		31
Class M6, 0.855% 1/25/36 (f)(k)	84		26
Series 2006-1:
Class A2, 0.515% 4/25/36 (f)(k)	160		140
Class M1, 0.535% 4/25/36 (f)(k)	57		40
Class M2, 0.555% 4/25/36 (f)(k)	60		41
Class M3, 0.575% 4/25/36 (f)(k)	52		38
Class M4, 0.675% 4/25/36 (f)(k)	29		21
Class M5, 0.715% 4/25/36 (f)(k)	29		18
Class M6, 0.795% 4/25/36 (f)(k)	57		39
Series 2006-2A:
Class M1, 0.465% 7/25/36 (f)(k)	144		112
Class M2, 0.485% 7/25/36 (f)(k)	102		76
Class M3, 0.505% 7/25/36 (f)(k)	85		59
Class M4, 0.575% 7/25/36 (f)(k)	57		38
Class M5, 0.625% 7/25/36 (f)(k)	70		32
Series 2006-3A Class M4, 0.585% 10/25/36 (f)(k)	66		10
Series 2006-4A:
Class A2, 0.425% 12/25/36 (f)(k)	3,013		2,481
Class M1, 0.445% 12/25/36 (f)(k)	201		137
Class M2, 0.465% 12/25/36 (f)(k)	134		58
Class M3, 0.495% 12/25/36 (f)(k)	135		57
Series 2007-1 Class A2, 0.425% 3/25/37 (f)(k)	629		459
Series 2007-2A:
Class A1, 0.425% 7/25/37 (f)(k)	648		562
Class A2, 0.475% 7/25/37 (f)(k)	607		442
Class M1, 0.525% 7/25/37 (f)(k)	212		64
Class M2, 0.565% 7/25/37 (f)(k)	117		15
Class M3, 0.645% 7/25/37 (f)(k)	118		8
Class M4, 0.805% 7/25/37 (f)(k)	4		0 *
Series 2007-3:
Class A2, 0.445% 7/25/37 (f)(k)	625		454
Class M1, 0.465% 7/25/37 (f)(k)	125		80
Class M2, 0.495% 7/25/37 (f)(k)	133		76
Class M3, 0.525% 7/25/37 (f)(k)	209		78
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-3:
Class M4, 0.655% 7/25/37 (f)(k)	$ 328		$ 71
Class M5, 0.755% 7/25/37 (f)(k)	164		27
Series 2007-4A:
Class M1, 1.102% 9/25/37 (f)(k)	253		52
Class M2, 1.202% 9/25/37 (f)(k)	207		18
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(m)	1,491		61
Series 2006-3A, Class IO, 0% 10/25/36 (f)(k)(m)	19,644		0
Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(k)(m)	4,053		168
Bear Stearns Commercial Mortgage Securities Trust:
floater Series 2007-BBA8:
Class H, 0.705% 3/15/22 (f)(k)	197		197
Class J, 0.855% 3/15/22 (f)(k)	653		641
sequential payer:
Series 2007-PW16:
Class A4, 5.7071% 6/11/40 (k)	769		844
Class AAB, 5.8973% 6/11/40 (k)	3,634		3,735
Series 2007-PW18 Class A4, 5.7% 6/11/50	5,820		6,444
Series 2006-T22 Class A4, 5.5723% 4/12/38 (k)	158		166
Series 2007-PW18 Class X2, 0.2917% 6/11/50 (f)(k)(m)	66,684		318
Series 2007-T28 Class X2, 0.1374% 9/11/42 (f)(k)(m)	40,940		82
C-BASS Trust floater Series 2006-SC1 Class A, 0.425% 5/25/36 (f)(k)	509		495
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4379% 5/15/35 (f)(k)(m)	2,765		16
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7096% 12/10/49 (k)	4,371		4,818
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:
Class A3, 5.293% 12/11/49	854		867
Class A4, 5.322% 12/11/49	19,611		21,144
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (k)	1,468		1,419
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.005% 4/15/17 (f)(k)	138		139
sequential payer Series 2007-C9 Class A4, 5.7961% 12/10/49 (k)	2,907		3,220
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	1,382		1,476
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C2 Class A2, 5.448% 1/15/49 (k)	$ 25		$ 25
Series 2007-C3 Class A4, 5.7022% 6/15/39 (k)	498		536
Series 2007-C5 Class A4, 5.695% 9/15/40 (k)	1,189		1,302
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.505% 4/15/22 (f)(k)	4,688		4,595
Credit Suisse First Boston Mortgage Securities Corp.:
Series 2001-CK6 Class AX, 1.463% 8/15/36 (k)(m)	55		0 *
Series 2001-CKN5 Class AX, 0% 9/15/34 (f)(k)(m)	5		0 *
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1 Class F, 0.475% 2/15/22 (f)(k)	60		60
Series 2007-C1 Class B, 5.487% 2/15/40 (f)(k)	2,009		251
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.956% 12/5/31 (f)(k)	1,416		1,416
Class A2FL, 0.856% 12/5/31 (f)(k)	1,520		1,520
Class BFL, 1.256% 12/5/31 (f)(k)	5,610		5,614
Class CFL, 1.656% 12/5/31 (f)(k)	3,980		3,984
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	16,649		17,952
Series 2001-1 Class X1, 1.6605% 5/15/33 (f)(k)(m)	117		0 *
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	33,895		36,673
Series 2006-GG7 Class A4, 5.8189% 7/10/38 (k)	4,417		4,705
Series 2007-GG11 Class A1, 0.2924% 12/10/49 (f)(k)(m)	18,573		0 *
GS Mortgage Securities Trust sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	2,591		2,787
Class A4, 5.56% 11/10/39 (k)	4,713		5,059
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (f)	1,380		1,406
Class DFX, 4.4065% 11/5/30 (f)	12,899		13,206
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class E, 0.435% 11/15/18 (f)(k)	164		163
Class F, 0.485% 11/15/18 (f)(k)	383		372
Class G, 0.515% 11/15/18 (f)(k)	332		314
Class H, 0.655% 11/15/18 (f)(k)	255		239
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
floater:
Series 2014-BXH:
Class C, 1.806% 4/15/27 (f)(k)	$ 2,117		$ 2,117
Class D, 2.406% 4/15/27 (f)(k)	4,512		4,512
sequential payer:
Series 2006-CB17:
Class A3, 5.45% 12/12/43	63		63
Class A4, 5.429% 12/12/43	8,980		9,589
Series 2006-LDP8:
Class A1A, 5.397% 5/15/45	11,427		12,271
Class A4, 5.399% 5/15/45	810		864
Series 2006-LDP9 Class A3, 5.336% 5/15/47	11,113		11,952
Series 2007-CB18 Class A4, 5.44% 6/12/47	688		744
Series 2007-CB19 Class A4, 5.7029% 2/12/49 (k)	4,648		5,084
Series 2007-LD11:
Class A2, 5.79% 6/15/49 (k)	130		130
Class A4, 5.805% 6/15/49 (k)	34,884		37,932
Series 2007-LDPX Class A3, 5.42% 1/15/49	17,495		18,937
Series 2006-LDP7 Class A4, 5.8657% 4/15/45 (k)	1,740		1,855
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (k)	108		13
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8927% 7/15/44 (k)	1,054		1,158
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	591		634
Series 2006-C7 Class A2, 5.3% 11/15/38	678		698
Series 2007-C1 Class A4, 5.424% 2/15/40	4,021		4,356
Series 2007-C2 Class A3, 5.43% 2/15/40	2,394		2,607
Series 2007-C6 Class A4, 5.858% 7/15/40 (k)	1,546		1,645
Series 2007-C7:
Class A3, 5.866% 9/15/45	2,975		3,309
Class XCP, 0.2789% 9/15/45 (k)(m)	74,046		53
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.4208% 1/12/44 (f)(k)	1,143		1,088
Series 2007-C1 Class A4, 5.8385% 6/12/50 (k)	4,974		5,500
Series 2008-C1 Class A4, 5.69% 2/12/51	2,735		3,029
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.276% 12/12/49 (k)	65		65
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (k)	438		450
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-5:
Class A4, 5.378% 8/12/48	$ 8,179		$ 8,759
Class B, 5.479% 8/12/48	3,942		1,883
Series 2007-6 Class A4, 5.485% 3/12/51 (k)	10,897		11,837
Series 2007-7 Class A4, 5.7432% 6/12/50 (k)	4,599		5,027
Series 2006-4 Class XP, 0.6181% 12/12/49 (k)(m)	17,362		30
Series 2007-6 Class B, 5.635% 3/12/51 (k)	1,314		406
Series 2007-7 Class B, 5.7432% 6/12/50 (k)	114		5
Series 2007-8 Class A3, 5.8831% 8/12/49 (k)	1,133		1,247
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.355% 7/15/19 (f)(k)	393		353
Series 2007-XLFA:
Class C, 0.315% 10/15/20 (f)(k)	754		751
Class D, 0.345% 10/15/20 (f)(k)	732		727
Class E, 0.405% 10/15/20 (f)(k)	916		906
Class F, 0.455% 10/15/20 (f)(k)	550		541
Class G, 0.495% 10/15/20 (f)(k)	680		662
Class H, 0.585% 10/15/20 (f)(k)	428		395
Class J, 0.735% 10/15/20 (f)(k)	247		203
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (k)	137		137
Series 2006-IQ11 Class A4, 5.6554% 10/15/42 (k)	330		346
Series 2006-T23 Class A3, 5.8054% 8/12/41 (k)	578		578
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (k)	10,971		11,986
Class AAB, 5.654% 4/15/49	1,892		1,949
Class B, 5.722% 4/15/49 (k)	323		69
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f)	185		66
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class G, 0.515% 9/15/21 (f)(k)	977		957
Class J, 0.755% 9/15/21 (f)(k)	434		417
Series 2007-WHL8:
Class F, 0.635% 6/15/20 (f)(k)	4,581		4,401
Class LXR1, 0.855% 6/15/20 (f)(k)	162		158
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	19,766		21,372
Series 2007-C31 Class A4, 5.509% 4/15/47	46,948		50,411
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C33:
Class A4, 5.9414% 2/15/51 (k)	$ 25,300		$ 27,439
Class A5, 5.9414% 2/15/51 (k)	870		960
Series 2005-C19 Class B, 4.892% 5/15/44	1,314		1,339
Series 2005-C22:
Class B, 5.3703% 12/15/44 (k)	2,914		2,908
Class F, 5.3703% 12/15/44 (f)(k)	2,191		600
Series 2006-C23 Class A5, 5.416% 1/15/45 (k)	7,210		7,587
Series 2006-C27 Class A1A, 5.749% 7/15/45 (k)	12,088		13,026
Series 2007-C30:
Class C, 5.483% 12/15/43 (k)	3,942		3,760
Class D, 5.513% 12/15/43 (k)	2,102		1,885
Series 2007-C31 Class C, 5.6724% 4/15/47 (k)	361		348
Series 2007-C31A Class A2, 5.421% 4/15/47	947		947
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $468,756)		503,101
Municipal Securities - 1.3%

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (k)	2,300		2,341
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	1,255		1,840
7.3% 10/1/39	18,960		27,416
7.5% 4/1/34	8,780		12,833
7.55% 4/1/39	16,130		24,466
7.6% 11/1/40	24,550		37,674
7.625% 3/1/40	2,920		4,429
Chicago Gen. Oblig.:
(Taxable Proj.):
Series 2008 B, 5.63% 1/1/22	1,360		1,472
Series 2010 C1, 7.781% 1/1/35	7,055		8,583
Series 2012 B, 5.432% 1/1/42	1,845		1,742
6.05% 1/1/29	475		497
6.314% 1/1/44	12,665		13,420
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 (o)	38,500		39,584
Illinois Gen. Oblig.:
Series 2003:
4.35% 6/1/18	695		730
Municipal Securities - continued
	Principal Amount (000s)		Value (000s)
Illinois Gen. Oblig.: - continued
Series 2003:
5.1% 6/1/33	$ 87,365		$ 86,749
Series 2010, 4.421% 1/1/15	5,980		6,046
Series 2010-1, 6.63% 2/1/35	17,960		19,999
Series 2010-3:
5.547% 4/1/19	185		203
6.725% 4/1/35	8,580		9,643
7.35% 7/1/35	5,140		6,013
Series 2011:
4.961% 3/1/16	580		612
5.365% 3/1/17	215		233
5.665% 3/1/18	8,220		9,108
5.877% 3/1/19	18,220		20,379
Series 2013:
1.28% 12/1/15	4,975		4,983
4% 12/1/20	7,040		7,197
TOTAL MUNICIPAL SECURITIES (Cost $329,775)		348,192
Foreign Government and Government Agency Obligations - 0.4%

Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (f)	6,350		6,528
5.75% 9/26/23 (f)	5,809		6,317
6.369% 6/16/18 (f)	12,537		13,975
Brazilian Federative Republic:
4.25% 1/7/25	12,300		12,792
5.625% 1/7/41	6,113		6,877
Italian Republic:
3.125% 1/26/15	10,287		10,391
4.5% 1/21/15	7,717		7,835
4.75% 1/25/16	7,716		8,124
5.375% 6/12/17	4,630		5,107
United Mexican States:
3.5% 1/21/21	6,500		6,760
4% 10/2/23	14,090		14,935
4.75% 3/8/44	6,152		6,453
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $101,892)		106,094
Bank Notes - 0.1%
	Principal Amount (000s)		Value (000s)
Discover Bank (Delaware) 3.2% 8/9/21	$ 9,774		$ 9,806
Fifth Third Bank 4.75% 2/1/15	951		967
TOTAL BANK NOTES (Cost $10,705)		10,773
Preferred Securities - 0.0%

FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (g)(k) (Cost $1,362)	1,204		1,309

Fixed-Income Funds - 6.1%
	Shares
Fidelity High Income Central Fund 2 (l)	6,093,687		721,797
Fidelity Mortgage Backed Securities Central Fund (l)	8,586,627		931,563
TOTAL FIXED-INCOME FUNDS (Cost $1,496,732)		1,653,360
Money Market Funds - 3.5%

Fidelity Cash Central Fund, 0.11% (b)	844,994,639		844,995
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c)	103,404,572		103,405
TOTAL MONEY MARKET FUNDS (Cost $948,400)		948,400
TOTAL INVESTMENT PORTFOLIO - 102.1% (Cost $22,324,358)		27,514,264
NET OTHER ASSETS (LIABILITIES) - (2.1)%		(567,962)
NET ASSETS - 100%		$ 26,946,302
TBA Sale Commitments
	Principal Amount (000s)		Value (000s)
Fannie Mae
4% 9/1/44	$ (5,000)		$ (5,297)
4% 9/1/44	(10,800)		(11,442)
4% 9/1/44	(16,000)		(16,951)
4% 9/1/44	(17,000)		(18,010)
4% 9/1/44	(17,100)		(18,116)
4% 9/1/44	(17,000)		(18,010)
4% 9/1/44	(17,100)		(18,116)
4% 9/1/44	(3,700)		(3,920)
4.5% 9/1/44	(26,600)		(28,721)
5% 9/1/44	(4,300)		(4,742)
5.5% 9/1/44	(15,300)		(17,017)
TOTAL TBA SALE COMMITMENTS (Proceeds $160,254)		$ (160,342)

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Equity Index Contracts
1,810 CME E-mini S&P 500 Index Contracts (United States)	Sept. 2014	$ 181,127	$ 7,076
Sold
Treasury Contracts
631 CBOT 5 Year U.S. Treasury Note Contracts	Dec. 2014	$ 74,985	$ (139)
		$ 256,112	$ 6,937

The face value of futures purchased as a percentage of net assets is 0.7%

The face value of futures sold as a percentage of net assets is 0.3%

Swaps
Credit Default Swaps
Underlying Reference	Rating(1)	Expiration Date	Clearinghouse/Counterparty	Fixed Payment Received/(Paid)	Notional Amount (2) (000s)	Value (1) (000s)	Upfront Premium Received/(Paid) (000s)	Unrealized Appreciation/(Depreciation)(000s)
Sell Protection
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9	C	Dec. 2034	Bank of America	4.25%	$ 120	$ (117)	$ 0	$ (117)

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

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

Legend

(a) Non-income producing

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

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

(e) Affiliated company

(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 $443,178,000 or 1.6% of net assets.

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

(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 $9,410,000.

(j) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $1,119,000.

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

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

(m) 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) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund.

(o) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $67,372,000 or 0.3% of net assets.

Additional information on each restricted holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18	10/24/13	$ 38,500
Legend Pictures LLC	9/23/10	$ 6,428
MongoDB, Inc. Series F, 8.00%	10/2/13	$ 4,704
Xero Ltd.	10/14/13	$ 7,124

* Amount represents less than $1,000.

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	$ 696
Fidelity High Income Central Fund 2	41,648
Fidelity Mortgage Backed Securities Central Fund	25,762
Fidelity Securities Lending Cash Central Fund	876
Total	$ 68,982

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity High Income Central Fund 2	$ 656,337	$ 41,648	$ -	$ 721,797	82.8%
Fidelity Mortgage Backed Securities Central Fund	1,402,181	25,762	530,217	931,563	8.7%
Total	$ 2,058,518	$ 67,410	$ 530,217	$ 1,653,360

Other Affiliated Issuers

An affiliated company is a company in which the Fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Affiliate (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Dividend Income	Value, end of period
Independence Contract Drilling	$ -	$ 15,015	$ 1,518	$ -	$ 14,109

Other Information

The following is a summary of the inputs used, as of August 31, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Investments in Securities:
Equities:
Consumer Discretionary	$ 2,448,219	$ 2,432,765	$ -	$ 15,454
Consumer Staples	1,780,718	1,731,335	49,383	-
Energy	2,049,203	2,012,396	36,807	-
Financials	3,059,047	3,059,047	-	-
Health Care	2,754,680	2,632,324	122,356	-
Industrials	1,781,132	1,781,132	-	-
Information Technology	3,518,395	3,505,730	9,219	3,446
Materials	862,664	862,664	-	-
Telecommunication Services	381,347	381,347	-	-
Utilities	565,312	565,312	-	-
Corporate Bonds	2,731,668	-	2,731,668	-
U.S. Government and Government Agency Obligations	869,006	-	869,006	-
U.S. Government Agency - Mortgage Securities	995,109	-	995,109	-
Asset-Backed Securities	86,604	-	85,602	1,002
Collateralized Mortgage Obligations	59,931	-	59,315	616
Commercial Mortgage Securities	503,101	-	502,479	622
Municipal Securities	348,192	-	348,192	-
Foreign Government and Government Agency Obligations	106,094	-	106,094	-
Bank Notes	10,773	-	10,773	-
Preferred Securities	1,309	-	1,309	-
Fixed-Income Funds	1,653,360	1,653,360	-	-
Money Market Funds	948,400	948,400	-	-
Total Investments in Securities:	$ 27,514,264	$ 21,565,812	$ 5,927,312	$ 21,140
Valuation Inputs at Reporting Date:
Description (Amounts in thousands)	Total	Level 1	Level 2	Level 3
Derivative Instruments:
Assets
Futures Contracts	$ 7,076	$ 7,076	$ -	$ -
Liabilities
Futures Contracts	$ (139)	$ (139)	$ -	$ -
Swaps	(117)	-	(117)	-
Total Liabilities	$ (256)	$ (139)	$ (117)	$ -
Total Derivative Instruments:	$ 6,820	$ 6,937	$ (117)	$ -
Other Financial Instruments:
TBA Sale Commitments	$ (160,342)	$ -	$ (160,342)	$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure / Derivative Type (Amounts in thousands)	Value
	Asset	Liability
Credit Risk
Swaps (b)	$ -	$ (117)
Equity Risk
Futures Contracts (a)	7,076	-
Interest Rate Risk
Futures Contracts (a)	-	(139)
Total Value of Derivatives	$ 7,076	$ (256)

(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities.

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

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (Unaudited):

U.S. Government and U.S. Government Agency Obligations	10.0%
AAA,AA,A	4.3%
BBB	9.2%
BB	1.2%
B	1.5%
CCC,CC,C	0.4%
D	0.0%*
Not Rated	0.1%
Equities	71.3%
Short-Term Investments and Net Other Assets	2.0%
	100.0%

* Amount represents less than 0.1%

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

The information in the above tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.

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

Annual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)	August 31, 2014
Assets
Investment in securities, at value (including securities loaned of $101,039) - See accompanying schedule: Unaffiliated issuers (cost $19,865,731)	$ 24,898,395
Fidelity Central Funds (cost $2,445,132)	2,601,760
Other affiliated issuers (cost $13,495)	14,109
Total Investments (cost $22,324,358)		$ 27,514,264
Cash		1,058
Foreign currency held at value (cost $220)		220
Receivable for investments sold, regular delivery		161,539
Receivable for TBA sale commitments		160,254
Receivable for fund shares sold		18,374
Dividends receivable		30,305
Interest receivable		42,744
Distributions receivable from Fidelity Central Funds		198
Receivable for daily variation margin for derivative instruments		406
Receivable from investment adviser for expense reductions		6
Other receivables		1,264
Total assets		27,930,632

Liabilities
Payable for investments purchased Regular delivery	$ 136,813
Delayed delivery	553,896
TBA sale commitments, at value	160,342
Payable for fund shares redeemed	16,933
Bi-lateral OTC swaps, at value	117
Accrued management fee	8,814
Other affiliated payables	2,812
Other payables and accrued expenses	1,198
Collateral on securities loaned, at value	103,405
Total liabilities		984,330

Net Assets		$ 26,946,302
Net Assets consist of:
Paid in capital		$ 20,289,722
Undistributed net investment income		91,293
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions		1,368,742
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		5,196,545
Net Assets		$ 26,946,302

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

Annual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)	August 31, 2014

Balanced: Net Asset Value, offering price and redemption price per share ($19,574,425 ÷ 802,242 shares)		$ 24.40

Class K: Net Asset Value, offering price and redemption price per share ($7,371,877 ÷ 302,133 shares)		$ 24.40

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

Annual Report

Statement of Operations

Amounts in thousands	Year ended August 31, 2014

Investment Income
Dividends		$ 299,899
Interest		183,690
Income from Fidelity Central Funds		68,982
Total income		552,571

Expenses
Management fee	$ 100,330
Transfer agent fees	29,885
Accounting and security lending fees	2,191
Custodian fees and expenses	426
Independent trustees' compensation	104
Appreciation in deferred trustee compensation account	1
Registration fees	317
Audit	162
Legal	109
Miscellaneous	192
Total expenses before reductions	133,717
Expense reductions	(672)	133,045
Net investment income (loss)		419,526
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	1,941,516
Fidelity Central Funds	1,986
Other affiliated issuers	(2)
Foreign currency transactions	(139)
Futures contracts	34,067
Swaps	(8,292)
Total net realized gain (loss)		1,969,136
Change in net unrealized appreciation (depreciation) on: Investment securities	1,984,504
Assets and liabilities in foreign currencies	(64)
Futures contracts	5,168
Swaps	9,889
Delayed delivery commitments	(2,238)
Total change in net unrealized appreciation (depreciation)		1,997,259
Net gain (loss)		3,966,395
Net increase (decrease) in net assets resulting from operations		$ 4,385,921

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

Annual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands	Year ended August 31, 2014	Year ended August 31, 2013
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 419,526	$ 379,768
Net realized gain (loss)	1,969,136	1,617,924
Change in net unrealized appreciation (depreciation)	1,997,259	309,252
Net increase (decrease) in net assets resulting from operations	4,385,921	2,306,944
Distributions to shareholders from net investment income	(412,435)	(352,712)
Distributions to shareholders from net realized gain	(1,179,420)	-
Total distributions	(1,591,855)	(352,712)
Share transactions - net increase (decrease)	1,479,644	99,632
Total increase (decrease) in net assets	4,273,710	2,053,864

Net Assets
Beginning of period	22,672,592	20,618,728
End of period (including undistributed net investment income of $91,293 and undistributed net investment income of $97,655, respectively)	$ 26,946,302	$ 22,672,592

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

Annual Report

Financial Highlights - Balanced

Years ended August 31,	2014	2013	2012	2011	2010
Selected Per-Share Data
Net asset value, beginning of period	$ 21.85	$ 19.95	$ 18.17	$ 16.27	$ 15.40
Income from Investment Operations
Net investment income (loss)^B	.38	.36	.37	.35	.36
Net realized and unrealized gain (loss)	3.68	1.88	1.76	1.91	.88
Total from investment operations	4.06	2.24	2.13	2.26	1.24
Distributions from net investment income	(.38)	(.34)	(.35)	(.35)	(.36)
Distributions from net realized gain	(1.13)	-	-	(.01)	(.01)
Total distributions	(1.51)	(.34)	(.35)	(.36)	(.37)
Net asset value, end of period	$ 24.40	$ 21.85	$ 19.95	$ 18.17	$ 16.27
Total Return^A	19.46%	11.32%	11.89%	13.88%	8.06%
Ratios to Average Net Assets^{C, E}
Expenses before reductions	.56%	.58%	.60%	.61%	.62%
Expenses net of fee waivers, if any	.56%	.58%	.60%	.61%	.62%
Expenses net of all reductions	.56%	.57%	.59%	.60%	.61%
Net investment income (loss)	1.65%	1.72%	1.98%	1.92%	2.18%
Supplemental Data
Net assets, end of period (in millions)	$ 19,574	$ 16,342	$ 15,016	$ 15,602	$ 16,764
Portfolio turnover rate^D	176%	244%^F	155%	193%^F	122%

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

^B Calculated based on average shares outstanding during the period.

^C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .01%.

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

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

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

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

Annual Report

Financial Highlights - Class K

Years ended August 31,	2014	2013	2012	2011	2010
Selected Per-Share Data
Net asset value, beginning of period	$ 21.85	$ 19.95	$ 18.17	$ 16.27	$ 15.40
Income from Investment Operations
Net investment income (loss)^B	.40	.39	.40	.38	.38
Net realized and unrealized gain (loss)	3.69	1.87	1.76	1.90	.88
Total from investment operations	4.09	2.26	2.16	2.28	1.26
Distributions from net investment income	(.40)	(.36)	(.38)	(.38)	(.38)
Distributions from net realized gain	(1.13)	-	-	(.01)	(.01)
Total distributions	(1.54)^G	(.36)	(.38)	(.38)^F	(.39)
Net asset value, end of period	$ 24.40	$ 21.85	$ 19.95	$ 18.17	$ 16.27
Total Return^A	19.59%	11.45%	12.03%	14.04%	8.23%
Ratios to Average Net Assets^{C, E}
Expenses before reductions	.46%	.47%	.48%	.48%	.48%
Expenses net of fee waivers, if any	.46%	.47%	.48%	.48%	.48%
Expenses net of all reductions	.46%	.46%	.47%	.47%	.47%
Net investment income (loss)	1.75%	1.83%	2.10%	2.05%	2.32%
Supplemental Data
Net assets, end of period (in millions)	$ 7,372	$ 6,330	$ 5,603	$ 4,102	$ 2,692
Portfolio turnover rate^D	176%	244%^H	155%	193%^H	122%

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

^B Calculated based on average shares outstanding during the period.

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

^F Total distributions of $.38 per share is comprised of distributions from net investment income of $.376 and distributions from net realized gain of $.008 per share.

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

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

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

Annual Report

Notes to Financial Statements

For the period ended August 31, 2014

(Amounts in thousands except percentages)

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.

Annual Report

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund

Investment
Manager

Investment
Objective

Investment
Practices

Expense
Ratio*

Fidelity High Income Central Fund 2

FMR Co., Inc. (FMRC)

Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.

Loans & Direct Debt Instruments

Repurchase Agreements

Restricted Securities

less than 0.01%

Fidelity Mortgage Backed Securities Central Fund

FIMM

Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.

Delayed Delivery & When Issued Securities

Repurchase Agreements

Swaps

less than 0.01%

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

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

3. Significant Accounting Policies.

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

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (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 Fidelity Management & Research Company (FMR) Fair Value Committee (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 is responsible for approving and reporting to the Board all fair value determinations.

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

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

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

Annual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2014, is included at the end of the Fund's Schedule of Investments.

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Notes to Financial Statements - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

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

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

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent

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3. Significant Accounting Policies - continued

Class Allocations and Expenses - continued

of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2014, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

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Notes to Financial Statements - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

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

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

Gross unrealized appreciation	$ 5,219,190
Gross unrealized depreciation	(199,524)
Net unrealized appreciation (depreciation) on securities	$ 5,019,666

Tax Cost	$ 22,494,598

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

Undistributed ordinary income	$ 589,943
Undistributed long-term capital gain	$ 1,048,100
Net unrealized appreciation (depreciation) on securities and other investments	$ 5,019,368

The tax character of distributions paid was as follows:

	August 31, 2014	August 31, 2013
Ordinary Income	$ 496,048	$ 352,712
Long-term Capital Gains	1,095,807	-
Total	$ 1,591,855	$ 352,712

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3. Significant Accounting Policies - continued

Delayed Delivery Transactions and When-Issued Securities - continued

a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

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

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

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Notes to Financial Statements - continued

(Amounts in thousands except percentages)

3. Significant Accounting Policies - continued

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

4. Derivative Instruments.

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

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

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

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

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4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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

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

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Notes to Financial Statements - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

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

Primary Risk Exposure / Derivative Type	Net Realized Gain (Loss)	Change in Net Unrealized Appreciation (Depreciation)
Credit Risk
Swaps	$ (8,292)	$ 9,889
Equity Risk
Futures Contracts	33,030	5,307
Interest Rate Risk
Futures Contracts	1,037	(139)
Totals (a)	$ 25,775	$ 15,057

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

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

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

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

Annual Report

4. Derivative Instruments - continued

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

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

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

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

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

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

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Notes to Financial Statements - continued

(Amounts in thousands except percentages)

4. Derivative Instruments - continued

Credit Default Swaps - continued

represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

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

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

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

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $15,280,351 and $14,825,305, respectively.

6. Fees and Other Transactions with Affiliates.

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6. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .40% of the Fund's average net assets.

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

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

	Amount	% of Average Net Assets
Balanced	$ 26,694	.15
Class K	3,191	.05
	$ 29,885

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $216 for the period.

Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $3.

Annual Report

Notes to Financial Statements - continued

(Amounts in thousands except percentages)

7. Committed Line of Credit.

The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $42 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. The value of securities loaned to FCM at period end was $7,336. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $678. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $876 (including $41 from securities loaned to FCM).

9. Expense Reductions.

In addition, the investment adviser reimbursed a portion of the Fund's operating expenses during the period in the amount of $121.

Annual Report

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

Years ended August 31,	2014	2013
From net investment income
Balanced	$ 293,979	$ 249,039
Class K	118,456	103,673
Total	$ 412,435	$ 352,712
From net realized gain
Balanced	$ 854,324	$ -
Class K	325,096	-
Total	$ 1,179,420	$ -

11. Share Transactions.

Transactions for each class of shares were as follows:

	Shares		Dollars
Years ended August 31,	2014	2013	2014	2013
Balanced
Shares sold	131,812	125,541	$ 3,033,218	$ 2,652,879
Reinvestment of distributions	49,953	11,563	1,102,403	238,686
Shares redeemed	(127,309)	(141,860)	(2,927,201)	(2,965,223)
Net increase (decrease)	54,456	(4,756)	$ 1,208,420	$ (73,658)
Class K
Shares sold	59,821	69,664	$ 1,378,995	$ 1,451,163
Reinvestment of distributions	20,098	5,019	443,552	103,673
Shares redeemed	(67,456)	(65,784)	(1,551,323)	(1,381,546)
Net increase (decrease)	12,463	8,899	$ 271,224	$ 173,290

12. Other.

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

Annual Report

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Balanced Fund (a fund of Fidelity Puritan Trust) at August 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Balanced Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at August 31, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

PricewaterhouseCoopers LLP

Boston, Massachusetts

October 21, 2014

Annual Report

Trustees and Officers

The Trustees, Member of the Advisory Board, and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 173 funds. Mr. Curvey oversees 406 funds.

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

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

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

Annual Report

Trustees and Officers - continued

Board Structure and Oversight Function. James C. Curvey is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Ned C. Lautenbach serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.

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

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

Annual Report

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

Interested Trustees*:

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

Name, Year of Birth; Principal Occupations and Other Relevant Experience⁺
James C. Curvey (1935)
Year of Election or Appointment: 2007 Trustee Chairman of the Board of Trustees
	Mr. Curvey also serves as Trustee of other Fidelity funds. Mr. Curvey is a Director of Fidelity Research & Analysis Co. (2009-present), and Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey served as a Director of Fidelity Investments Money Management, Inc. (2009-2014), a Director of FMR (2007-2014), a Director of FMR Co., Inc. (2007-2014) and was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp.
Charles S. Morrison (1960)
Year of Election or Appointment: 2014 Trustee
	Mr. Morrison also serves as Trustee of other funds. He serves as President, Asset Management (2014-present) and is an employee of Fidelity Investments. Previously, Mr. Morrison served as Vice President of Fidelity's Fixed Income and Asset Allocation Funds (2012-2014), President, Fixed Income (2011-2014), Vice President of Fidelity's Money Market Funds (2005-2009), President, Money Market Group Leader of FMR (2009), and Senior Vice President, Money Market Group of FMR (2004-2009). Mr. Morrison also served as Vice President of Fidelity's Bond Funds (2002-2005), certain Balanced Funds (2002-2005), and certain Asset Allocation Funds (2002-2007), and as Senior Vice President (2002-2005) of Fidelity's Bond Division.

* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.

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

Annual Report

Independent Trustees:

Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Name, Year of Birth; Principal Occupations and Other Relevant Experience⁺
Dennis J. Dirks (1948)
Year of Election or Appointment: 2005 Trustee
	Mr. Dirks also serves as Trustee of other Fidelity funds. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) and President and Board member of the National Securities Clearing Corporation (NSCC). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation, Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation, as a Trustee and a member of the Finance Committee of Manhattan College (2005-2008), and as a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-2008). Mr. Dirks is a member of the Independent Directors Council (IDC) Governing Council (2010-present) and Board of Directors for The Brookville Center for Children's Services, Inc. (2009-present).
Alan J. Lacy (1953)
Year of Election or Appointment: 2008 Trustee
	Mr. Lacy also serves as Trustee of other Fidelity funds. Mr. Lacy serves as Senior Adviser (2007-present) of Oak Hill Capital Partners, L.P. (private equity). Mr. Lacy also served as Chief Executive Officer (2000-2005) and Vice Chairman (2005-2006) of Sears Holdings Corporation and Sears, Roebuck and Co. (retail). In addition, Mr. Lacy serves as a member of the Board of Directors of Dave & Buster's Entertainment, Inc. (restaurant and entertainment complexes, 2010-present), Earth Fare, Inc. (retail grocery, 2012-present), The Hillman Companies, Inc. (hardware wholesalers, 2010-present), and Bristol-Myers Squibb Company (global pharmaceuticals, 2008-present). Mr. Lacy is a member of the Board of Trustees of The National Parks Conservation Association (2006-present). Previously, Mr. Lacy served as Chairman of the Board of Trustees of the National Parks Conservation Association (2008-2011) and as a member of the Board of Directors for the Western Union Company (global money transfer, 2006-2011).
Ned C. Lautenbach (1944)
Year of Election or Appointment: 2000 Trustee Chairman of the Independent Trustees
	Mr. Lautenbach also serves as Trustee of other Fidelity funds. Mr. Lautenbach currently serves as the Lead Director of the Eaton Corporation Board of Directors (diversified industrial, 1997-present). Mr. Lautenbach is Chairman of the Board of Directors of the Philharmonic Center for the Arts in Naples, Florida (2012-present) and a member of the Council on Foreign Relations (1994-present). Previously, Mr. Lautenbach was a Partner/Advisory Partner at Clayton, Dubilier & Rice, LLC (private equity investment, 1998-2010), as well as a Director of Sony Corporation (2006-2007).
Joseph Mauriello (1944)
Year of Election or Appointment: 2008 Trustee
	Mr. Mauriello also serves as Trustee of other Fidelity funds. Prior to his retirement in January 2006, Mr. Mauriello served in numerous senior management positions including Deputy Chairman and Chief Operating Officer (2004-2005), and Vice Chairman of Financial Services (2002-2004) of KPMG LLP US (professional services, 1965-2005). Mr. Mauriello currently serves as a member of the Board of Directors of XL Group plc. (global insurance and re-insurance, 2006-present). Previously, Mr. Mauriello served as a Director of the Hamilton Funds of the Bank of New York (2006-2007) and of Arcadia Resources Inc. (health care services and products, 2007-2012).
Robert W. Selander (1950)
Year of Election or Appointment: 2011 Trustee
	Mr. Selander also serves as Trustee of other Fidelity funds. Previously, Mr. Selander served as a Member of the Advisory Board of other Fidelity funds (2011), and Executive Vice Chairman (2010), Chief Executive Officer (2009-2010), and President and Chief Executive Officer (1997-2009) of Mastercard, Inc.
Cornelia M. Small (1944)
Year of Election or Appointment: 2005 Trustee
	Ms. Small also serves as Trustee of other Fidelity funds. Ms. Small is a member of the Board of Directors (2009-present) and Chair of the Investment Committee (2010-present) of the Teagle Foundation. Ms. Small also serves on the Investment Committee of the Berkshire Taconic Community Foundation (2008-present). Previously, Ms. Small served as Chairperson (2002-2008) and a member of the Investment Committee and Chairperson (2008-2012) and a member of the Board of Trustees of Smith College. In addition, Ms. Small served as Chief Investment Officer, Director of Global Equity Investments, and a member of the Board of Directors of Scudder, Stevens & Clark and Scudder Kemper Investments.
William S. Stavropoulos (1939)
Year of Election or Appointment: 2001 Trustee Vice Chairman of the Independent Trustees
	Mr. Stavropoulos also serves as Trustee of other Fidelity funds. Mr. Stavropoulos serves as President and Founder of the Michigan Baseball Foundation, the Great Lakes Loons (2007-present). Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company, where he previously served in numerous senior management positions, including President, CEO (1995-2000; 2002-2004), Chairman of the Executive Committee (2000-2006), and as a member of the Board of Directors (1990-2006). Currently, Mr. Stavropoulos is Chairman of the Board of Directors of Univar Inc. (global distributor of commodity and specialty chemicals), a Director of Teradata Corporation (data warehousing and technology solutions), and Maersk Inc. (industrial conglomerate), and a member of the Advisory Board for Metalmark Capital LLC (private equity investment, 2005-present). Mr. Stavropoulos is an operating advisor to Clayton, Dubilier & Rice, LLC (private equity investment). In addition, Mr. Stavropoulos is a member of the University of Notre Dame Advisory Council for the College of Science, a Trustee of the Rollin L. Gerstacker Foundation, and a Director of the Naples Philharmonic Center for the Arts. Previously, Mr. Stavropoulos served as a Director of Chemical Financial Corporation (bank holding company, 1993-2012) and Tyco International, Ltd. (multinational manufacturing and services, 2007-2012).
David M. Thomas (1949)
Year of Election or Appointment: 2008 Trustee
	Mr. Thomas also serves as Trustee of other Fidelity funds. Mr. Thomas serves as Non-Executive Chairman of the Board of Directors of Fortune Brands Home and Security (home and security products, 2011-present), and as a member of the Board of Directors of Interpublic Group of Companies, Inc. (marketing communication, 2004-present). Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions), and a Director of Fortune Brands, Inc. (consumer products, 2000-2011).

Advisory Board Member and Officers:

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

Name, Year of Birth; Principal Occupation
Peter S. Lynch (1944)
Year of Election or Appointment: 2003 Member of the Advisory Board
	Mr. Lynch also serves as Member of the Advisory Board of other Fidelity funds. Mr. Lynch is Vice Chairman and a Director of FMR and FMR Co., Inc. In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served on the Special Olympics International Board of Directors (1997-2006).
Elizabeth Paige Baumann (1968)
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer
	Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012).
William C. Coffey (1969)
Year of Election or Appointment: 2009 Assistant Secretary
	Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Vice President and Associate General Counsel of FMR LLC (2005-2009).
Jonathan Davis (1968)
Year of Election or Appointment: 2010 Assistant Treasurer
	Mr. Davis also serves as Assistant Treasurer of other funds. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010).
Adrien E. Deberghes (1967)
Year of Election or Appointment: 2008 Deputy Treasurer
	Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005).
Stephanie J. Dorsey (1969)
Year of Election or Appointment: 2010 Assistant Treasurer
	Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank.
Howard J. Galligan III (1966)
Year of Election or Appointment: 2014 Chief Financial Officer
	Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011).
Scott C. Goebel (1968)
Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO)
	Mr. Goebel serves as Secretary and CLO of other funds. Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (2013-present), Fidelity Investments Money Management, Inc. (FIMM) (2010-present) and Fidelity Research and Analysis Company (FRAC) (2010-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present) and Fidelity Management & Research (U.K.) Inc. (2008-present). Previously, Mr. Goebel served as Secretary and CLO of other Fidelity funds (2008-2013), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). Mr. Goebel has been employed by FMR LLC or an affiliate since 2001.
Brian B. Hogan (1964)
Year of Election or Appointment: 2009 Vice President
	Mr. Hogan also serves as Trustee or Vice President of other funds. Mr. Hogan serves as President of FMR's Equity Division (2009-present). Previously, Mr. Hogan served as Senior Vice President, Equity Research of FMR (2006-2009) and as a portfolio manager.
Chris Maher (1972)
Year of Election or Appointment: 2013 Assistant Treasurer
	Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of FMR's Program Management Group (2010-2013), and Vice President of Valuation Oversight (2008-2010).
Melissa M. Reilly (1971)
Year of Election or Appointment: 2014 Vice President of certain Equity Funds
	Ms. Reilly also serves as Vice President of other funds. Ms. Reilly is an employee of Fidelity Investments (2004-present).
Kenneth B. Robins (1969)
Year of Election or Appointment: 2008 President and Treasurer
	Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles.
Stephen Sadoski (1971)
Year of Election or Appointment: 2012 Deputy Treasurer
	Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009).
Stacie M. Smith (1974)
Year of Election or Appointment: 2013 Deputy Treasurer
	Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009).
Renee Stagnone (1975)
Year of Election or Appointment: 2013 Deputy Treasurer
	Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments.
Linda J. Wondrack (1964)
Year of Election or Appointment: 2014 Chief Compliance Officer
	Ms. Wondrack also serves as Chief Compliance Officer of other funds. Ms. Wondrack is Executive Vice President and head of the Ethics Office and Asset Management Compliance for Fidelity Investments (2012-present). Ms. Wondrack also serves as Chief Compliance Officer of Fidelity SelectCo, LLC (2014-present); Chief Compliance Officer of Impresa Management LLC (2013-present); and Chief Compliance Officer of FMR Co., Inc., Fidelity Investments Money Management, Inc., Fidelity Management & Research (Japan) Inc., Fidelity Management & Research (U.K.) Inc., Fidelity Management & Research (Hong Kong), Fidelity Management & Research Company, Pyramis Global Advisors, LLC, and Strategic Advisers, Inc., Ballyrock Investment Advisors LLC, and Northern Neck Investors LLC (2012-present). Previously, Ms. Wondrack served as Senior Vice President and Chief Compliance Officer for Columbia Management Investment Advisers, LLC (2005-2012); Chief Compliance Officer for certain funds within the Columbia Family of Funds (2007-2012); and Senior Vice President of Compliance Risk Management at Bank of America (2005-2010).
Joseph F. Zambello (1957)
Year of Election or Appointment: 2011 Deputy Treasurer
	Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments. Previously, Mr. Zambello served as Vice President of FMR's Program Management Group (2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009).

Annual Report

Distributions (Unaudited)

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

	Pay Date	Record Date	Dividends	Capital Gains
Balanced	10/13/14	10/10/14	$0.093	$1.420

The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2014, $1,266,885,376 or, if subsequently determined to be different, the net capital gain of such year.

A total of 2.53% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $136,007,095 of distributions paid during the period January 1, 2014 to August 31, 2014 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

Balanced designates 11%, 35%, 78% and 78% of the dividends distributed in October, December, April and July, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Balanced designates 16%, 40%, 98% and 99% of the dividends distributed in October, December, April and July, respectively during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2015 of amounts for use in preparing 2014 income tax returns.

Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity Balanced Fund

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

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

At its July 2014 meeting, the Board, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expense ratio relative to peer funds; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale exist and would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders. In connection with separate internal corporate reorganizations involving Fidelity Management & Research (U.K.) Inc. (FMR U.K.) and Fidelity Management & Research (Japan) Inc. (FMR Japan), the Board approved certain non-material amendments to the fund's sub-advisory agreements with FMR U.K. and FMR Japan to reflect that, after these reorganizations, FMR Investment Management (UK) Limited and Fidelity Management & Research (Japan) Limited will carry on the business of FMR U.K. and FMR Japan, respectively. The Board noted that no changes to the portfolio managers or to the foreign research or investment advisory services provided to the fund were expected in connection with either reorganization and that the same personnel and resources would continue to be available to the fund at the new entities.

Annual Report

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

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

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

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

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

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

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) continuing to dedicate additional resources to investment research and to the support of the senior management team that oversees asset management; (ii) persisting in efforts to enhance Fidelity's global research capabilities; (iii) launching new funds and making other enhancements to meet client needs for income-oriented solutions; (iv) reducing fund expenses for certain index funds; (v) continuing to launch dedicated lower cost underlying funds to meet portfolio construction needs related to expanding underlying fund options for Fidelity funds of funds, specifically for the Freedom Fund product lines; (vi) rationalizing product lines and gaining increased efficiencies through fund mergers; (vii) launching sector-based exchange-traded funds and establishing a new Fidelity adviser to manage sector-based funds and products; (viii) continuing to develop and implement technology to improve security and increase efficiency; (ix) modifying the eligibility criteria for certain share classes to increase their marketability to a portion of the defined contribution plan market; (x) waiving redemption fees for certain qualified fund-of-fund and wrap programs and certain retirement plan transactions; and (xi) launching new Institutional Class shares of certain money market funds to attract and retain assets and to fill a gap in the money market fund lineup.

Annual Report

Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that there were portfolio management changes for a sleeve of the fund in April 2013 and June 2013.

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

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

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

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

Fidelity Balanced Fund

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

Competitiveness of Management Fee and Total Expense Ratio. The Board considered the fund's management fee and total expense ratio compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board's management fee and total expense ratio comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.

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

Annual Report

Fidelity Balanced Fund

bal2373142

The Board noted that the fund's management fee rate ranked below the median of its Total Mapped Group and below the median of its ASPG for 2013.

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

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

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

The Board noted that the total expense ratio of each class ranked below its competitive median for 2013.

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

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

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

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

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

Annual Report

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

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

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

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

Annual Report

Board Approval of Investment Advisory Contracts and
Management Fees - continued

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

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including: (i) fund performance trends and Fidelity's long-term strategies for certain funds; (ii) Fidelity's strategic marketing and product lineup goals; (iii) the methodology with respect to competitive fund data and peer group classifications; (iv) the arrangements with, and performance of, certain sub-advisers on behalf of the Fidelity funds, as well as certain proposed participating affiliate arrangements; (v) the realization of fall-out benefits in certain Fidelity business units; (vi) Fidelity's group fee structures, including the rationale for the individual fee rates of certain categories of funds and the definition of group assets; (vii) trends regarding industry use of performance fee structures and the performance adjustment methodologies applicable to the Fidelity funds; (viii) additional competitive analysis regarding the total expenses for certain classes; (ix) fund profitability methodology, including Fidelity's cost allocation methodology, and the impact of certain factors on fund profitability results; and (x) the process by which Fidelity determines sub-advisory fees for funds it advises.

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

Annual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

Fidelity Management & Research
(U.K.) Inc.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

Citibank, N.A.

New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) bal2373144
1-800-544-5555

Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com

BAL-UANN-1014
1.789243.111

Fidelity®

Balanced

Fund -
Class K

Annual Report

August 31, 2014

(Fidelity Cover Art)

Performance	(Click Here)	How the fund has done over time.
Management's Discussion of Fund Performance	(Click Here)	The Portfolio Manager's review of fund performance and strategy.
Shareholder Expense Example	(Click Here)	An example of shareholder expenses.
Investment Changes	(Click Here)	A summary of major shifts in the fund's investments over the past six months.
Investments	(Click Here)	A complete list of the fund's investments with their market values.
Financial Statements	(Click Here)	Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.
Notes	(Click Here)	Notes to the financial statements.
Report of Independent Registered Public Accounting Firm	(Click Here)
Trustees and Officers	(Click Here)
Distributions	(Click Here)
Board Approval of Investment Advisory Contracts and Management Fees	(Click Here)

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-835-5092 to request a free copy of the proxy voting guidelines.

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

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

Annual Report

NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Annual Report

Performance: The Bottom Line

Average Annual Total Returns

Periods ended August 31, 2014	Past 1 year	Past 5 years	Past 10 years
Class K ^A	19.59%	13.00%	8.48%

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

$10,000 Over 10 Years

Let's say hypothetically that $10,000 was invested in Fidelity® Balanced Fund - Class K on August 31, 2004. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period. See footnote A above for additional information regarding the performance of Class K.

bfk2794594

Annual Report

Management's Discussion of Fund Performance

Comments from Co-Portfolio Manager Robert Stansky, Head of FMR's Stock Selector Large Cap Group, which manages Fidelity® Balanced Fund: For the year, the fund's Class K shares gained 19.59%, outperforming the 17.14% advance of the Fidelity Balanced Hybrid Composite Index^SM. Overweighting stocks and underweighting investment-grade bonds notably boosted the fund's result versus the Composite index. Security selection in the investment-grade sleeve also helped, while a small non-index stake in high-yield bonds modestly detracted. Looking at fixed income, we had favorable overweightings in corporate bonds and taxable municipal bonds, and underweightings in mortgage-backed securities and U.S. Treasuries. Yield-curve positioning modestly helped. In terms of individual stocks, choices in health care added the most value by far, including a non-index stake in genetic analysis toolmaker Illumina. We liked Illumina's innovation and accelerating end markets, but we sold the fund's stake to help manage risk and lock in profits. In information technology, we had some hits and misses. NXP Semiconductors helped, as the Netherlands-based chipmaker reported consecutive quarters of strong financial results, and the non-index stock moved sharply higher. Conversely, it hurt the most to avoid chipmaker and outperforming index name Intel, a slower-growth legacy tech stock.

Annual Report

Shareholder Expense Example

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2014 to August 31, 2014).

Actual Expenses

Hypothetical Example for Comparison Purposes

Annual Report

	Annualized Expense Ratio^B	Beginning Account Value March 1, 2014	Ending Account Value August 31, 2014	Expenses Paid During Period* March 1, 2014 to August 31, 2014
Balanced	.56%
Actual		$ 1,000.00	$ 1,057.50	$ 2.90
Hypothetical^A		$ 1,000.00	$ 1,022.38	$ 2.85
Class K	.46%
Actual		$ 1,000.00	$ 1,058.50	$ 2.39
Hypothetical^A		$ 1,000.00	$ 1,022.89	$ 2.35

^A 5% return per year before expenses

^B Annualized expense ratio reflects expenses net of applicable fee waivers.

Annual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.

Top Five Stocks as of August 31, 2014
	% of fund's net assets	% of fund's net assets 6 months ago
Apple, Inc.	2.6	2.0
Chevron Corp.	1.6	0.6
Google, Inc. Class C	1.3	0.0
Procter & Gamble Co.	1.2	1.3
Capital One Financial Corp.	1.2	1.2
	7.9
Top Five Bond Issuers as of August 31, 2014
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	4.5	4.4
U.S. Treasury Obligations	3.2	5.4
Ginnie Mae	1.1	0.9
Freddie Mac	0.9	1.0
Verizon Communications, Inc.	0.7	0.8
	10.4
Top Five Market Sectors as of August 31, 2014
	% of fund's net assets	% of fund's net assets 6 months ago
Financials	17.4	16.5
Information Technology	13.2	13.3
Health Care	10.8	10.5
Consumer Discretionary	9.9	9.4
Energy	9.2	8.3

Asset Allocation (% of fund's net assets)
As of August 31, 2014*			As of February 28, 2014**
	Stocks and Equity Futures 72.0%			Stocks and Equity Futures 71.1%
	Bonds 26.6%			Bonds 27.5%
	Convertible Securities 0.0%			Convertible Securities 0.1%
	Other Investments 0.4%			Other Investments 0.3%
	Short-Term Investments and Net Other Assets (Liabilities) 1.0%			Short-Term Investments and Net Other Assets (Liabilities) 1.0%
* Foreign investments		9.7%	** Foreign investments		11.0%

bfk2794611

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

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

Annual Report

Investments August 31, 2014

Showing Percentage of Net Assets

Common Stocks - 71.2%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 9.1%
Diversified Consumer Services - 0.3%
H&R Block, Inc.	2,745,577		$ 92,059
Hotels, Restaurants & Leisure - 3.1%
ARAMARK Holdings Corp.	323,036		8,367
Extended Stay America, Inc. unit	6,093,170		145,383
Hilton Worldwide Holdings, Inc.	2,656,100		67,252
Marriott International, Inc. Class A	907,267		62,964
McDonald's Corp.	1,347,474		126,285
Panera Bread Co. Class A (a)	790,600		118,543
Starbucks Corp.	1,944,800		151,325
Yum! Brands, Inc.	2,009,752		145,566
			825,685
Internet & Catalog Retail - 0.7%
Ctrip.com International Ltd. sponsored ADR (a)	537,000		34,459
Liberty Interactive Corp. Series A (a)	3,909,835		115,418
Qunar Cayman Islands Ltd. sponsored ADR (d)	1,022,699		30,701
			180,578
Media - 3.2%
CBS Outdoor Americas, Inc.	414,000		14,229
Comcast Corp. Class A	847,042		46,359
DIRECTV (a)	1,297,018		112,127
DreamWorks Animation SKG, Inc. Class A (a)	514,800		11,241
Legend Pictures LLC (a)(n)(o)	8,571		15,454
Liberty Media Corp.:
Class A (a)	561,300		27,633
Class C (a)	1,284,300		62,250
Manchester United PLC (a)	1,838,000		31,356
The Madison Square Garden Co. Class A (a)	1,794,085		119,953
Time Warner Cable, Inc.	156,100		23,092
Twenty-First Century Fox, Inc. Class A	6,810,241		241,219
Viacom, Inc. Class B (non-vtg.)	1,947,992		158,080
			862,993
Multiline Retail - 0.5%
Dollar General Corp. (a)	2,216,112		141,809
Specialty Retail - 0.5%
TJX Companies, Inc.	2,287,933		136,384
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Textiles, Apparel & Luxury Goods - 0.8%
lululemon athletica, Inc. (a)	889,252		$ 35,508
NIKE, Inc. Class B	2,205,000		173,203
			208,711
TOTAL CONSUMER DISCRETIONARY			2,448,219
CONSUMER STAPLES - 6.6%
Beverages - 1.4%
Anheuser-Busch InBev SA NV	202,344		22,572
Coca-Cola Icecek Sanayi A/S	298,728		7,048
Diageo PLC sponsored ADR	250,787		30,062
Embotelladora Andina SA sponsored ADR	332,973		6,496
Monster Beverage Corp. (a)	469,100		41,473
Pernod Ricard SA	303,550		35,793
Remy Cointreau SA	269,186		21,395
The Coca-Cola Co.	5,347,661		223,104
			387,943
Food & Staples Retailing - 1.5%
CVS Caremark Corp.	1,953,385		155,196
Kroger Co.	2,149,554		109,584
Sysco Corp.	954,112		36,094
Wal-Mart Stores, Inc.	909,567		68,672
Whole Foods Market, Inc.	1,005,800		39,367
			408,913
Food Products - 0.8%
Bunge Ltd.	435,098		36,831
ConAgra Foods, Inc.	513,481		16,534
Keurig Green Mountain, Inc.	303,400		40,449
Mead Johnson Nutrition Co. Class A	762,431		72,888
Nestle SA	345,647		26,811
The Hershey Co.	69,000		6,308
			199,821
Household Products - 1.2%
Procter & Gamble Co.	3,969,493		329,905
Personal Products - 0.1%
L'Oreal SA	105,800		17,516
Nu Skin Enterprises, Inc. Class A	162,175		7,252
			24,768
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 1.6%
Altria Group, Inc.	3,791,613		$ 163,343
British American Tobacco PLC sponsored ADR	1,817,610		215,241
Philip Morris International, Inc.	390,734		33,439
Souza Cruz SA	912,700		8,546
			420,569
TOTAL CONSUMER STAPLES			1,771,919
ENERGY - 7.6%
Energy Equipment & Services - 1.2%
C&J Energy Services, Inc. (a)	830,051		23,814
Dril-Quip, Inc. (a)	286,169		29,038
FMC Technologies, Inc. (a)	798,771		49,396
Halliburton Co.	2,144,911		145,017
Independence Contract Drilling (e)	1,226,834		14,109
Ocean Rig UDW, Inc. (United States)	725,596		13,445
Oceaneering International, Inc.	640,391		44,546
			319,365
Oil, Gas & Consumable Fuels - 6.4%
Anadarko Petroleum Corp.	1,436,131		161,838
BG Group PLC	1,846,464		36,807
Cabot Oil & Gas Corp.	1,881,450		63,104
Carrizo Oil & Gas, Inc. (a)	330,798		20,748
Chevron Corp.	3,232,605		418,461
Cimarex Energy Co.	429,002		62,274
EOG Resources, Inc.	918,416		100,916
Exxon Mobil Corp.	2,526,378		251,274
Gulfport Energy Corp. (a)	343,900		20,118
Kinder Morgan Holding Co. LLC (d)	2,006,800		80,794
Kinder Morgan Management LLC	428,800		41,902
Memorial Resource Development Corp.	945,471		27,863
Noble Energy, Inc.	1,418,730		102,347
ONEOK, Inc.	168,515		11,830
Peabody Energy Corp.	608,908		9,669
Phillips 66 Co.	1,272,517		110,734
Phillips 66 Partners LP	300,022		22,202
PrairieSky Royalty Ltd.	112,500		4,087
Suncor Energy, Inc.	667,500		27,399
Valero Energy Partners LP	823,031		43,876
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Whiting Petroleum Corp. (a)	961,277		$ 89,072
YPF SA Class D sponsored ADR	681,700		22,523
			1,729,838
TOTAL ENERGY			2,049,203
FINANCIALS - 11.4%
Banks - 4.4%
Bank of America Corp.	18,665,808		300,333
Citigroup, Inc.	3,382,212		174,691
Huntington Bancshares, Inc.	8,012,800		78,886
JPMorgan Chase & Co.	5,407,854		321,497
Societe Generale Series A	580,802		29,423
SunTrust Banks, Inc.	1,283,148		48,862
Synovus Financial Corp.	778,720		18,806
U.S. Bancorp	5,100,347		215,643
			1,188,141
Capital Markets - 1.6%
Ameriprise Financial, Inc.	665,862		83,739
BlackRock, Inc. Class A	433,776		143,376
Carlyle Group LP	286,400		9,526
E*TRADE Financial Corp. (a)	1,804,949		40,178
Invesco Ltd.	841,213		34,355
Northern Trust Corp.	427,519		29,648
Oaktree Capital Group LLC Class A	286,697		14,398
State Street Corp.	512,700		36,930
The Blackstone Group LP	755,407		25,329
			417,479
Consumer Finance - 1.7%
Capital One Financial Corp.	3,999,501		328,199
Discover Financial Services	671,810		41,901
Navient Corp.	2,313,334		41,501
SLM Corp.	4,624,534		40,973
Springleaf Holdings, Inc.	243,300		8,097
			460,671
Diversified Financial Services - 0.9%
Berkshire Hathaway, Inc.:
Class A (a)	129		26,559
Class B (a)	1,188,800		163,163
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Diversified Financial Services - continued
IntercontinentalExchange Group, Inc.	204,062		$ 38,568
KBC Ancora (a)	343,174		11,250
			239,540
Insurance - 1.6%
AFLAC, Inc.	229,800		14,073
Direct Line Insurance Group PLC	8,517,030		42,263
esure Group PLC	1,382,886		6,084
Fairfax Financial Holdings Ltd. (sub. vtg.)	101,000		46,539
Marsh & McLennan Companies, Inc.	1,923,477		102,137
MetLife, Inc.	2,192,647		120,025
Principal Financial Group, Inc.	303,600		16,482
The Travelers Companies, Inc.	768,540		72,788
Unum Group	609,200		22,096
			442,487
Real Estate Investment Trusts - 0.9%
Altisource Residential Corp. Class B	1,899,017		46,602
American Tower Corp.	209,731		20,679
Boston Properties, Inc.	524,397		63,672
Digital Realty Trust, Inc. (d)	613,500		40,031
Piedmont Office Realty Trust, Inc. Class A	1,099,538		21,430
Senior Housing Properties Trust (SBI)	545,407		12,724
Sun Communities, Inc.	584,915		31,369
			236,507
Real Estate Management & Development - 0.3%
CBRE Group, Inc. (a)	2,335,503		74,222
TOTAL FINANCIALS			3,059,047
HEALTH CARE - 10.2%
Biotechnology - 3.1%
Actelion Ltd.	250,276		30,724
Alexion Pharmaceuticals, Inc. (a)	691,204		117,014
Amgen, Inc.	1,367,358		190,582
Biogen Idec, Inc. (a)	440,985		151,275
Celgene Corp. (a)	326,500		31,024
Gilead Sciences, Inc. (a)	2,461,428		264,800
Puma Biotechnology, Inc. (a)	37,300		9,717
Vertex Pharmaceuticals, Inc. (a)	598,700		56,020
			851,156
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Health Care Equipment & Supplies - 1.4%
Boston Scientific Corp. (a)	7,892,502		$ 100,077
Covidien PLC	1,370,944		119,039
Edwards Lifesciences Corp. (a)	316,482		31,414
Medtronic, Inc.	698,900		44,625
Quidel Corp. (a)(d)	399,590		9,430
The Cooper Companies, Inc.	384,937		62,756
			367,341
Health Care Providers & Services - 1.5%
Brookdale Senior Living, Inc. (a)	722,803		25,262
Cigna Corp.	1,067,660		101,001
HCA Holdings, Inc. (a)	1,356,679		94,723
Henry Schein, Inc. (a)	333,004		39,857
McKesson Corp.	819,148		159,758
			420,601
Health Care Technology - 0.1%
Veeva Systems, Inc. Class A	720,734		21,600
Life Sciences Tools & Services - 0.8%
Agilent Technologies, Inc.	1,681,100		96,092
Thermo Fisher Scientific, Inc.	953,797		114,656
			210,748
Pharmaceuticals - 3.3%
AbbVie, Inc.	2,724,768		150,625
Actavis PLC (a)	693,243		157,352
Allergan, Inc.	410,500		67,191
Bristol-Myers Squibb Co.	2,558,841		129,605
Merck & Co., Inc.	1,519,296		91,325
Pfizer, Inc.	2,103,834		61,832
Roche Holding AG (participation certificate)	193,869		56,621
Salix Pharmaceuticals Ltd. (a)	258,384		41,111
Shire PLC	806,788		65,735
Teva Pharmaceutical Industries Ltd. sponsored ADR	1,177,400		61,837
			883,234
TOTAL HEALTH CARE			2,754,680
INDUSTRIALS - 6.6%
Aerospace & Defense - 1.4%
Honeywell International, Inc.	1,689,809		160,921
Meggitt PLC	7,670,800		60,057
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Aerospace & Defense - continued
TransDigm Group, Inc.	579,269		$ 108,897
United Technologies Corp.	395,393		42,695
			372,570
Air Freight & Logistics - 0.4%
FedEx Corp.	683,827		101,124
Commercial Services & Supplies - 0.2%
KAR Auction Services, Inc.	1,515,967		45,722
Electrical Equipment - 1.3%
Acuity Brands, Inc.	723,869		89,673
AMETEK, Inc.	3,339,448		176,790
Hubbell, Inc. Class B	811,092		98,061
			364,524
Industrial Conglomerates - 1.5%
Danaher Corp.	2,811,066		215,356
Roper Industries, Inc.	1,231,039		185,345
			400,701
Machinery - 0.2%
Deere & Co.	713,500		59,998
Professional Services - 0.5%
Verisk Analytics, Inc. (a)	2,242,905		143,972
WageWorks, Inc. (a)	120,932		4,990
			148,962
Road & Rail - 0.6%
J.B. Hunt Transport Services, Inc.	2,164,495		163,528
Trading Companies & Distributors - 0.5%
W.W. Grainger, Inc.	503,669		124,003
TOTAL INDUSTRIALS			1,781,132
INFORMATION TECHNOLOGY - 13.0%
Communications Equipment - 0.9%
Cisco Systems, Inc.	2,172,699		54,296
Juniper Networks, Inc.	892,755		20,703
QUALCOMM, Inc.	2,097,451		159,616
			234,615
Electronic Equipment & Components - 0.3%
TE Connectivity Ltd.	1,479,765		92,752
Internet Software & Services - 3.7%
58.com, Inc. ADR	327,589		13,644
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Internet Software & Services - continued
Benefitfocus, Inc.	270,404		$ 8,929
ChannelAdvisor Corp. (a)	809,306		13,111
Cvent, Inc.	1,753,646		44,052
Demandware, Inc. (a)	437,635		23,260
eBay, Inc. (a)	1,208,400		67,066
Endurance International Group Holdings, Inc. (d)	1,249,016		16,812
Facebook, Inc. Class A (a)	1,382,107		103,409
Five9, Inc. (d)	1,838,400		10,791
Google, Inc.:
Class A (a)	354,969		206,720
Class C (a)	589,769		337,112
Millennial Media, Inc.	173,845		331
NAVER Corp.	29,452		22,305
Opower, Inc. (d)	1,166,993		18,252
Wix.com Ltd. (a)(d)	392,937		6,468
Yahoo!, Inc. (a)	2,327,060		89,615
Zoopla Property Group PLC (d)	4,633,297		19,326
			1,001,203
IT Services - 0.8%
Cognizant Technology Solutions Corp. Class A (a)	78,922		3,609
Fidelity National Information Services, Inc.	1,504,071		85,356
Lionbridge Technologies, Inc. (a)	739,645		3,432
Quindell PLC (d)	3,077,687		8,686
Sapient Corp. (a)	451,061		6,545
Total System Services, Inc.	1,135,600		35,726
Visa, Inc. Class A	317,722		67,522
			210,876
Semiconductors & Semiconductor Equipment - 1.2%
Micron Technology, Inc. (a)	2,378,000		77,523
NVIDIA Corp.	2,004,517		38,988
NXP Semiconductors NV (a)	3,115,624		213,483
RF Micro Devices, Inc. (a)	948,000		11,822
			341,816
Software - 2.8%
Activision Blizzard, Inc.	499,000		11,746
Adobe Systems, Inc. (a)	1,149,557		82,653
Autodesk, Inc. (a)	804,100		43,132
CommVault Systems, Inc. (a)	485,009		26,743
Concur Technologies, Inc. (a)	57,457		5,768
Covisint Corp. (d)	369,400		1,777
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Software - continued
Fleetmatics Group PLC (a)	250,503		$ 8,222
Imperva, Inc. (a)	880,290		25,625
Intuit, Inc.	372,200		30,960
Microsoft Corp.	5,776,032		262,405
Oracle Corp.	2,609,625		108,378
Qlik Technologies, Inc. (a)	293,817		8,294
salesforce.com, Inc. (a)	2,082,396		123,049
Xero Ltd. (o)	468,513		8,888
			747,640
Technology Hardware, Storage & Peripherals - 3.3%
Apple, Inc.	6,797,614		696,754
Electronics for Imaging, Inc. (a)	554,205		24,407
Hewlett-Packard Co.	4,339,100		164,886
			886,047
TOTAL INFORMATION TECHNOLOGY			3,514,949
MATERIALS - 3.2%
Chemicals - 2.6%
Airgas, Inc.	1,788,970		197,467
Cabot Corp.	270,371		14,811
Eastman Chemical Co.	622,382		51,328
Ecolab, Inc.	698,700		80,225
FMC Corp.	760,773		50,318
LyondellBasell Industries NV Class A	766,922		87,698
Methanex Corp.	300,200		20,072
Monsanto Co.	807,646		93,404
Potash Corp. of Saskatchewan, Inc. (d)	1,044,785		36,697
Sigma Aldrich Corp.	457,510		47,581
W.R. Grace & Co. (a)	331,001		32,779
			712,380
Construction Materials - 0.2%
Eagle Materials, Inc.	94,700		9,651
Vulcan Materials Co.	536,143		33,981
			43,632
Containers & Packaging - 0.2%
Graphic Packaging Holding Co. (a)	2,269,877		29,032
Rock-Tenn Co. Class A	706,578		34,735
			63,767
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Metals & Mining - 0.2%
Carpenter Technology Corp.	44,400		$ 2,430
Freeport-McMoRan Copper & Gold, Inc.	367,400		13,362
Nucor Corp.	498,767		27,093
			42,885
TOTAL MATERIALS			862,664
TELECOMMUNICATION SERVICES - 1.4%
Diversified Telecommunication Services - 1.2%
CenturyLink, Inc.	422,800		17,331
inContact, Inc. (a)	1,324,987		12,137
Level 3 Communications, Inc. (a)	647,709		29,121
Verizon Communications, Inc.	5,553,301		276,665
			335,254
Wireless Telecommunication Services - 0.2%
T-Mobile U.S., Inc. (a)	1,366,600		41,107
Telephone & Data Systems, Inc.	189,300		4,986
			46,093
TOTAL TELECOMMUNICATION SERVICES			381,347
UTILITIES - 2.1%
Electric Utilities - 0.9%
American Electric Power Co., Inc.	372,132		19,983
Edison International	542,827		32,103
Exelon Corp.	1,380,800		46,146
NextEra Energy, Inc.	949,100		93,439
PPL Corp.	1,475,400		51,093
			242,764
Gas Utilities - 0.2%
National Fuel Gas Co.	618,189		47,254
Independent Power and Renewable Electricity Producers - 0.0%
Abengoa Yield PLC	101,300		4,063
NextEra Energy Partners LP	122,200		4,290
			8,353
Independent Power Producers & Energy Traders - 0.1%
NRG Energy, Inc.	1,242,072		38,231
Multi-Utilities - 0.9%
Dominion Resources, Inc.	1,199,800		84,250
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
NiSource, Inc.	1,076,482		$ 42,704
PG&E Corp.	578,429		26,885
Sempra Energy	706,531		74,871
			228,710
TOTAL UTILITIES			565,312
TOTAL COMMON STOCKS (Cost $14,380,948)		19,188,472
Preferred Stocks - 0.1%

Convertible Preferred Stocks - 0.0%
INFORMATION TECHNOLOGY - 0.0%
Software - 0.0%
MongoDB, Inc. Series F, 8.00% (o)	281,270		3,446
Nonconvertible Preferred Stocks - 0.1%
CONSUMER STAPLES - 0.1%
Beverages - 0.1%
Ambev SA sponsored ADR	1,207,025		8,799
TOTAL PREFERRED STOCKS (Cost $9,180)		12,245

Corporate Bonds - 10.1%
	Principal Amount (000s)
Convertible Bonds - 0.0%
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
Cobalt International Energy, Inc. 2.625% 12/1/19	$ 1,740		1,529
Nonconvertible Bonds - 10.1%
CONSUMER DISCRETIONARY - 0.3%
Automobiles - 0.0%
Volkswagen International Finance NV 2.375% 3/22/17 (f)	1,830		1,885
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Diversified Consumer Services - 0.0%
Ingersoll-Rand Global Holding Co. Ltd.:
2.875% 1/15/19	$ 617		$ 633
4.25% 6/15/23	4,350		4,639
			5,272
Media - 0.3%
COX Communications, Inc. 3.25% 12/15/22 (f)	2,422		2,380
Discovery Communications LLC 5.05% 6/1/20	204		228
NBCUniversal, Inc. 5.15% 4/30/20	7,276		8,329
News America Holdings, Inc. 7.75% 12/1/45	9,421		14,056
Thomson Reuters Corp. 1.3% 2/23/17	2,082		2,084
Time Warner Cable, Inc.:
4% 9/1/21	10,989		11,794
5.85% 5/1/17	1,829		2,042
6.75% 7/1/18	1,974		2,320
8.25% 4/1/19	11,974		15,064
Time Warner, Inc.:
2.1% 6/1/19	13,219		13,111
5.875% 11/15/16	4,882		5,386
Viacom, Inc.:
1.25% 2/27/15	456		458
2.5% 9/1/18	809		823
3.5% 4/1/17	264		279
			78,354
TOTAL CONSUMER DISCRETIONARY			85,511
CONSUMER STAPLES - 0.3%
Beverages - 0.0%
SABMiller Holdings, Inc.:
1.85% 1/15/15 (f)	2,353		2,364
2.45% 1/15/17 (f)	2,353		2,424
			4,788
Food & Staples Retailing - 0.0%
CVS Caremark Corp. 2.25% 12/5/18	4,798		4,847
Kroger Co. 3.3% 1/15/21	6,190		6,363
			11,210
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Food Products - 0.1%
Cargill, Inc. 6% 11/27/17 (f)	$ 572		$ 648
ConAgra Foods, Inc.:
1.9% 1/25/18	2,279		2,279
3.2% 1/25/23	1,917		1,889
Tyson Foods, Inc. 3.95% 8/15/24	9,560		9,767
William Wrigley Jr. Co.:
1.4% 10/21/16 (f)	3,710		3,735
2% 10/20/17 (f)	5,313		5,383
			23,701
Tobacco - 0.2%
Altria Group, Inc.:
2.85% 8/9/22	4,604		4,504
4% 1/31/24	3,615		3,761
9.7% 11/10/18	6,258		8,120
Reynolds American, Inc.:
3.25% 11/1/22	3,376		3,305
4.85% 9/15/23	8,000		8,629
6.75% 6/15/17	4,975		5,657
7.25% 6/15/37	7,569		9,655
			43,631
TOTAL CONSUMER STAPLES			83,330
ENERGY - 1.4%
Energy Equipment & Services - 0.1%
DCP Midstream LLC:
4.75% 9/30/21 (f)	6,909		7,386
5.35% 3/15/20 (f)	6,814		7,531
El Paso Pipeline Partners Operating Co. LLC:
4.1% 11/15/15	7,675		7,956
5% 10/1/21	2,791		3,048
6.5% 4/1/20	2,608		3,034
Noble Holding International Ltd. 3.05% 3/1/16	914		942
Transocean, Inc. 5.05% 12/15/16	4,522		4,878
			34,775
Oil, Gas & Consumable Fuels - 1.3%
Anadarko Petroleum Corp. 6.375% 9/15/17	15,653		17,846
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
DCP Midstream Operating LP:
2.5% 12/1/17	$ 3,027		$ 3,102
2.7% 4/1/19	616		624
3.875% 3/15/23	1,823		1,865
4.95% 4/1/22	1,267		1,399
Duke Energy Field Services:
5.375% 10/15/15 (f)	2,055		2,137
6.45% 11/3/36 (f)	6,493		7,724
El Paso Natural Gas Co. 5.95% 4/15/17	1,572		1,745
Enable Midstream Partners LP:
2.4% 5/15/19 (f)	1,957		1,951
3.9% 5/15/24 (f)	2,064		2,085
Enbridge Energy Partners LP 4.2% 9/15/21	8,103		8,671
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f)	780		849
Marathon Petroleum Corp. 5.125% 3/1/21	4,415		5,000
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f)	7,948		7,956
Motiva Enterprises LLC 5.75% 1/15/20 (f)	1,252		1,418
Nakilat, Inc. 6.067% 12/31/33 (f)	2,490		2,801
Nexen, Inc.:
5.2% 3/10/15	1,528		1,564
6.2% 7/30/19	2,252		2,627
Pemex Project Funding Master Trust 5.75% 3/1/18	25,063		28,121
Petrobras Global Finance BV:
3% 1/15/19	29,822		29,386
3.25% 3/17/17	12,657		12,946
4.375% 5/20/23	4,137		4,082
4.875% 3/17/20	12,657		13,146
Petrobras International Finance Co. Ltd.:
3.875% 1/27/16	7,288		7,492
5.375% 1/27/21	12,572		13,255
5.75% 1/20/20	17,949		19,348
7.875% 3/15/19	7,382		8,600
Petroleos Mexicanos:
3.5% 7/18/18	8,047		8,409
3.5% 1/30/23	5,005		4,960
4.875% 1/24/22	1,430		1,554
4.875% 1/18/24	2,251		2,449
4.875% 1/18/24 (f)	4,770		5,190
5.5% 1/21/21	7,423		8,351
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Petroleos Mexicanos: - continued
5.5% 6/27/44	$ 19,723		$ 21,395
6% 3/5/20	3,327		3,818
6.375% 1/23/45 (f)	7,506		9,082
6.5% 6/2/41	8,420		10,272
Phillips 66 Co.:
1.95% 3/5/15	1,844		1,857
2.95% 5/1/17	1,844		1,926
4.3% 4/1/22	6,383		6,918
Plains All American Pipeline LP/PAA Finance Corp. 6.125% 1/15/17	1,940		2,162
Southeast Supply Header LLC 4.25% 6/15/24 (f)	5,790		5,977
Spectra Energy Capital, LLC 5.65% 3/1/20	1,087		1,225
Spectra Energy Partners, LP:
2.95% 6/15/16	1,472		1,524
4.6% 6/15/21	1,816		1,993
Suncor Energy, Inc. 6.1% 6/1/18	623		718
The Williams Companies, Inc.:
3.7% 1/15/23	1,899		1,822
4.55% 6/24/24	17,216		17,340
Western Gas Partners LP 5.375% 6/1/21	10,614		12,064
Williams Partners LP 4.3% 3/4/24	4,754		4,973
			343,719
TOTAL ENERGY			378,494
FINANCIALS - 5.8%
Banks - 2.6%
Associated Banc Corp. 5.125% 3/28/16	2,238		2,366
Banco Nacional de Desenvolvimento Economico e Social:
4% 4/14/19 (f)	16,318		16,726
5.5% 7/12/20 (f)	20,348		22,205
6.5% 6/10/19 (f)	2,097		2,362
Bank of America Corp.:
1.35% 11/21/16	5,398		5,415
2.6% 1/15/19	43,489		43,913
2.65% 4/1/19	14,468		14,615
3.875% 3/22/17	944		1,002
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Banks - continued
Bank of America Corp.: - continued
4.2% 8/26/24	$ 7,745		$ 7,863
6.5% 8/1/16	1,220		1,341
Bank of America NA 5.3% 3/15/17	16,651		18,158
Barclays Bank PLC 2.5% 2/20/19	4,000		4,065
BB&T Corp. 3.95% 3/22/22	1,805		1,922
Capital One NA 2.95% 7/23/21	8,837		8,851
Citigroup, Inc.:
1.3% 11/15/16	663		665
1.75% 5/1/18	21,658		21,556
2.5% 7/29/19	22,812		22,903
2.55% 4/8/19	24,266		24,504
4.05% 7/30/22	17,500		18,039
4.45% 1/10/17	15,842		16,984
5.3% 5/6/44	12,873		13,817
6% 8/15/17	15,053		16,922
6.125% 11/21/17	17,419		19,758
Comerica, Inc. 4.8% 5/1/15	1,223		1,258
Credit Suisse AG 6% 2/15/18	17,158		19,376
Credit Suisse New York Branch 5.4% 1/14/20	1,450		1,633
Discover Bank:
7% 4/15/20	4,144		4,965
8.7% 11/18/19	745		938
Fifth Third Bancorp:
3.5% 3/15/22	638		662
4.5% 6/1/18	584		635
5.45% 1/15/17	4,032		4,403
HBOS PLC 6.75% 5/21/18 (f)	560		642
HSBC Holdings PLC 4.25% 3/14/24	3,415		3,546
Huntington Bancshares, Inc. 7% 12/15/20	3,353		4,038
Huntington National Bank:
1.3% 11/20/16	4,131		4,148
2.2% 4/1/19	3,200		3,202
Intesa Sanpaolo SpA:
2.375% 1/13/17	18,700		18,945
3.125% 1/15/16	20,275		20,800
JPMorgan Chase & Co.:
2% 8/15/17	27,274		27,718
2.35% 1/28/19	49,249		49,726
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Banks - continued
JPMorgan Chase & Co.: - continued
3.15% 7/5/16	$ 1,641		$ 1,706
JPMorgan Chase Bank 6% 10/1/17	2,460		2,778
KeyBank NA 5.45% 3/3/16	3,278		3,500
KeyCorp. 5.1% 3/24/21	628		714
Marshall & Ilsley Bank:
4.85% 6/16/15	5,313		5,480
5% 1/17/17	10,492		11,217
Regions Bank:
6.45% 6/26/37	12,100		14,426
7.5% 5/15/18	13,814		16,300
Regions Financial Corp.:
2% 5/15/18	7,953		7,918
5.75% 6/15/15	1,528		1,587
7.75% 11/10/14	7,190		7,280
Royal Bank of Scotland Group PLC:
5.125% 5/28/24	35,482		36,193
6% 12/19/23	12,648		13,751
6.1% 6/10/23	8,213		8,967
6.125% 12/15/22	39,429		43,121
Sumitomo Mitsui Banking Corp. 1.3% 1/10/17	6,500		6,513
SunTrust Banks, Inc.:
2.35% 11/1/18	3,112		3,146
3.5% 1/20/17	4,862		5,119
Wachovia Bank NA 6% 11/15/17	8,083		9,191
Wells Fargo & Co.:
4.1% 6/3/26	15,000		15,375
4.48% 1/16/24	6,481		6,950
			693,819
Capital Markets - 0.8%
Affiliated Managers Group, Inc. 4.25% 2/15/24	2,464		2,575
Bear Stearns Companies, Inc. 5.3% 10/30/15	1,060		1,116
Goldman Sachs Group, Inc.:
1.748% 9/15/17	24,600		24,596
2.625% 1/31/19	23,560		23,846
2.9% 7/19/18	10,319		10,612
5.95% 1/18/18	5,343		6,029
6.15% 4/1/18	3,993		4,550
6.25% 9/1/17	23,534		26,623
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Lazard Group LLC:
4.25% 11/14/20	$ 3,149		$ 3,319
6.85% 6/15/17	6,480		7,348
Merrill Lynch & Co., Inc. 6.4% 8/28/17	5,074		5,764
Morgan Stanley:
2.125% 4/25/18	18,100		18,209
2.375% 7/23/19	13,004		12,976
2.5% 1/24/19	43,150		43,646
4% 7/24/15	1,373		1,416
4.875% 11/1/22	3,413		3,687
5.625% 9/23/19	547		625
5.95% 12/28/17	301		340
6.625% 4/1/18	1,804		2,089
State Street Corp. 3.1% 5/15/23	7,500		7,408
UBS AG Stamford Branch 2.375% 8/14/19	13,000		13,043
			219,817
Consumer Finance - 0.7%
Capital One Financial Corp. 2.45% 4/24/19	5,260		5,290
Discover Financial Services:
3.85% 11/21/22	2,701		2,766
5.2% 4/27/22	2,488		2,765
6.45% 6/12/17	13,316		14,997
Ford Motor Credit Co. LLC:
1.5% 1/17/17	19,067		19,107
2.375% 3/12/19	19,600		19,618
2.5% 1/15/16	16,000		16,348
2.875% 10/1/18	11,000		11,325
3% 6/12/17	6,246		6,477
4.375% 8/6/23	15,332		16,385
5% 5/15/18	10,000		11,040
5.875% 8/2/21	12,574		14,778
General Electric Capital Corp. 4.625% 1/7/21	849		950
Hyundai Capital America:
1.45% 2/6/17 (f)	6,312		6,317
1.625% 10/2/15 (f)	2,131		2,147
1.875% 8/9/16 (f)	1,605		1,627
2.125% 10/2/17 (f)	2,357		2,389
2.55% 2/6/19 (f)	6,671		6,759
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Hyundai Capital America: - continued
2.875% 8/9/18 (f)	$ 2,848		$ 2,938
Synchrony Financial:
1.875% 8/15/17	1,554		1,566
3% 8/15/19	2,283		2,316
3.75% 8/15/21	8,466		8,640
4.25% 8/15/24	3,469		3,551
			180,096
Diversified Financial Services - 0.1%
BP Capital Markets PLC:
4.5% 10/1/20	1,336		1,474
4.742% 3/11/21	6,000		6,726
Five Corners Funding Trust 4.419% 11/15/23 (f)	9,345		9,975
RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (f)	6,485		6,585
TECO Finance, Inc.:
4% 3/15/16	1,828		1,916
5.15% 3/15/20	164		185
			26,861
Insurance - 0.6%
AIA Group Ltd. 2.25% 3/11/19 (f)	1,416		1,416
American International Group, Inc.:
2.375% 8/24/15	16,000		16,317
4.875% 6/1/22	4,860		5,455
5.6% 10/18/16	5,560		6,077
Aon Corp.:
3.125% 5/27/16	4,743		4,915
3.5% 9/30/15	4,875		5,026
5% 9/30/20	129		145
Axis Capital Holdings Ltd. 5.75% 12/1/14	452		458
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(k)	2,508		2,596
Hartford Financial Services Group, Inc.:
4% 10/15/17	1,308		1,406
5.125% 4/15/22	1,066		1,218
5.375% 3/15/17	685		752
Liberty Mutual Group, Inc.:
4.25% 6/15/23 (f)	6,498		6,762
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
Liberty Mutual Group, Inc.: - continued
5% 6/1/21 (f)	$ 8,525		$ 9,425
Marsh & McLennan Companies, Inc. 4.8% 7/15/21	5,569		6,208
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f)	3,576		4,125
MetLife, Inc. 6.75% 6/1/16	5,158		5,689
Metropolitan Life Global Funding I 1.875% 6/22/18 (f)	7,500		7,506
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (f)	4,915		6,240
Pacific Life Insurance Co. 9.25% 6/15/39 (f)	3,967		6,251
Pacific LifeCorp:
5.125% 1/30/43 (f)	7,709		8,217
6% 2/10/20 (f)	9,721		11,161
Prudential Financial, Inc.:
2.3% 8/15/18	888		902
4.5% 11/16/21	1,764		1,939
7.375% 6/15/19	2,520		3,099
Symetra Financial Corp. 6.125% 4/1/16 (f)	8,408		8,967
Unum Group:
5.625% 9/15/20	3,860		4,421
5.75% 8/15/42	8,065		9,656
7.125% 9/30/16	2,076		2,331
			148,680
Real Estate Investment Trusts - 0.5%
Alexandria Real Estate Equities, Inc.:
2.75% 1/15/20	1,369		1,372
4.6% 4/1/22	2,035		2,167
American Campus Communities Operating Partnership LP 3.75% 4/15/23	1,759		1,764
AvalonBay Communities, Inc. 3.625% 10/1/20	2,800		2,951
Boston Properties, Inc. 3.85% 2/1/23	8,081		8,413
Camden Property Trust 2.95% 12/15/22	2,417		2,357
CommonWealth REIT 5.875% 9/15/20	1,166		1,268
DDR Corp.:
4.75% 4/15/18	6,131		6,644
7.5% 4/1/17	8,836		10,106
9.625% 3/15/16	1,851		2,093
Developers Diversified Realty Corp. 4.625% 7/15/22	4,470		4,792
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP:
3.625% 4/15/23	$ 3,152		$ 3,141
3.875% 10/15/22	5,452		5,594
4.375% 6/15/22	3,753		3,970
5.5% 3/1/16	3,075		3,272
5.95% 2/15/17	3,767		4,155
6.75% 3/15/20	1,339		1,594
8.25% 8/15/19	2,643		3,315
Equity One, Inc.:
3.75% 11/15/22	8,200		8,238
5.375% 10/15/15	948		994
6% 9/15/17	876		974
6.25% 1/15/17	663		731
Federal Realty Investment Trust:
5.9% 4/1/20	1,971		2,293
6.2% 1/15/17	501		559
HCP, Inc.:
3.15% 8/1/22	7,000		6,845
3.875% 8/15/24	13,000		13,118
4.25% 11/15/23	5,582		5,800
Health Care REIT, Inc.:
2.25% 3/15/18	2,600		2,634
4.125% 4/1/19	13,700		14,769
4.7% 9/15/17	843		919
HRPT Properties Trust:
5.75% 11/1/15	1,731		1,777
6.25% 6/15/17	996		1,066
6.65% 1/15/18	676		750
Lexington Corporate Properties Trust 4.4% 6/15/24	2,249		2,289
Omega Healthcare Investors, Inc. 4.95% 4/1/24 (f)	2,101		2,170
Retail Opportunity Investments Partnership LP 5% 12/15/23	1,140		1,227
Weingarten Realty Investors 3.375% 10/15/22	1,228		1,236
			137,357
Real Estate Management & Development - 0.5%
BioMed Realty LP:
2.625% 5/1/19	2,206		2,207
3.85% 4/15/16	8,775		9,174
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - continued
BioMed Realty LP: - continued
4.25% 7/15/22	$ 2,970		$ 3,089
6.125% 4/15/20	2,611		3,019
Brandywine Operating Partnership LP:
3.95% 2/15/23	7,304		7,405
4.95% 4/15/18	4,846		5,250
5.7% 5/1/17	309		338
6% 4/1/16	2,770		2,965
7.5% 5/15/15	776		811
Corporate Office Properties LP 3.7% 6/15/21	4,267		4,276
Digital Realty Trust LP:
4.5% 7/15/15	3,650		3,732
5.25% 3/15/21	4,138		4,521
ERP Operating LP 5.75% 6/15/17	2,042		2,286
Essex Portfolio LP 5.5% 3/15/17	3,921		4,316
Liberty Property LP:
3.375% 6/15/23	3,313		3,254
4.125% 6/15/22	3,219		3,377
4.75% 10/1/20	8,747		9,475
5.125% 3/2/15	1,672		1,708
5.5% 12/15/16	2,529		2,753
Mack-Cali Realty LP:
2.5% 12/15/17	4,556		4,603
3.15% 5/15/23	7,438		6,756
4.5% 4/18/22	2,016		2,048
5.8% 1/15/16	5,020		5,315
7.75% 8/15/19	2,476		2,972
Mid-America Apartments LP 4.3% 10/15/23	1,248		1,317
Post Apartment Homes LP 3.375% 12/1/22	1,364		1,342
Prime Property Funding, Inc. 5.7% 4/15/17 (f)	4,226		4,544
Reckson Operating Partnership LP 6% 3/31/16	1,949		2,084
Regency Centers LP:
5.25% 8/1/15	3,893		4,052
5.875% 6/15/17	1,771		1,971
Tanger Properties LP:
3.875% 12/1/23	2,716		2,785
6.125% 6/1/20	9,597		11,182
Ventas Realty LP:
1.25% 4/17/17	3,126		3,122
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - continued
Ventas Realty LP: - continued
1.55% 9/26/16	$ 1,068		$ 1,079
3.75% 5/1/24	7,900		7,910
Ventas Realty LP/Ventas Capital Corp.:
2% 2/15/18	4,056		4,084
4% 4/30/19	1,999		2,143
			143,265
TOTAL FINANCIALS			1,549,895
HEALTH CARE - 0.4%
Biotechnology - 0.2%
Amgen, Inc.:
1.25% 5/22/17	13,051		13,048
2.2% 5/22/19	32,376		32,342
			45,390
Health Care Providers & Services - 0.1%
Coventry Health Care, Inc. 5.95% 3/15/17	1,413		1,573
Express Scripts Holding Co.:
3.9% 2/15/22	1,915		2,024
4.75% 11/15/21	17,355		19,304
McKesson Corp. 2.284% 3/15/19	6,400		6,403
Medco Health Solutions, Inc.:
2.75% 9/15/15	4,158		4,250
4.125% 9/15/20	5,031		5,392
WellPoint, Inc. 1.875% 1/15/18	195		196
			39,142
Life Sciences Tools & Services - 0.0%
Thermo Fisher Scientific, Inc.:
1.3% 2/1/17	1,745		1,746
2.4% 2/1/19	1,100		1,111
			2,857
Pharmaceuticals - 0.1%
AbbVie, Inc. 1.75% 11/6/17	6,470		6,503
Actavis Funding SCS:
1.3% 6/15/17 (f)	12,949		12,917
2.45% 6/15/19 (f)	3,839		3,826
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Pharmaceuticals - continued
Mylan, Inc. 1.35% 11/29/16	$ 2,039		$ 2,041
Perrigo Co. PLC:
1.3% 11/8/16 (f)	1,664		1,662
2.3% 11/8/18 (f)	1,780		1,777
Watson Pharmaceuticals, Inc. 1.875% 10/1/17	2,149		2,158
Zoetis, Inc. 1.875% 2/1/18	992		992
			31,876
TOTAL HEALTH CARE			119,265
INDUSTRIALS - 0.1%
Aerospace & Defense - 0.0%
BAE Systems Holdings, Inc. 6.375% 6/1/19 (f)	5,000		5,855
Airlines - 0.0%
Continental Airlines, Inc.:
6.648% 3/15/19	2,117		2,255
6.9% 7/2/19	814		871
U.S. Airways pass-thru trust certificates:
6.85% 1/30/18	1,887		2,040
8.36% 1/20/19	1,419		1,575
			6,741
Trading Companies & Distributors - 0.1%
Air Lease Corp.:
3.875% 4/1/21	6,320		6,383
4.75% 3/1/20	5,518		5,877
			12,260
TOTAL INDUSTRIALS			24,856
INFORMATION TECHNOLOGY - 0.0%
Electronic Equipment & Components - 0.0%
Tyco Electronics Group SA:
1.6% 2/3/15	188		189
2.375% 12/17/18	1,262		1,273
6.55% 10/1/17	1,119		1,282
			2,744
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
IT Services - 0.0%
Xerox Corp.:
2.95% 3/15/17	$ 1,143		$ 1,189
4.25% 2/15/15	1,302		1,324
			2,513
TOTAL INFORMATION TECHNOLOGY			5,257
MATERIALS - 0.1%
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	3,083		3,384
Metals & Mining - 0.1%
Corporacion Nacional del Cobre de Chile (Codelco):
3.875% 11/3/21 (f)	8,722		9,131
4.25% 7/17/42 (f)	1,402		1,323
5.625% 10/18/43 (f)	2,722		3,143
			13,597
TOTAL MATERIALS			16,981
TELECOMMUNICATION SERVICES - 0.9%
Diversified Telecommunication Services - 0.9%
BellSouth Capital Funding Corp. 7.875% 2/15/30	61		83
CenturyLink, Inc.:
5.15% 6/15/17	487		520
6% 4/1/17	3,467		3,753
6.15% 9/15/19	4,463		4,876
Embarq Corp.:
7.082% 6/1/16	4,190		4,609
7.995% 6/1/36	36,001		40,497
Verizon Communications, Inc.:
2.5% 9/15/16	97,018		100,024
4.5% 9/15/20	45,631		50,138
5.012% 8/21/54 (f)	23,143		24,173
6.25% 4/1/37	4,611		5,701
6.4% 9/15/33	6,073		7,671
6.55% 9/15/43	8,436		10,875
			252,920
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Wireless Telecommunication Services - 0.0%
America Movil S.A.B. de CV:
2.375% 9/8/16	$ 371		$ 380
3.625% 3/30/15	3,102		3,152
			3,532
TOTAL TELECOMMUNICATION SERVICES			256,452
UTILITIES - 0.8%
Electric Utilities - 0.6%
AmerenUE 6.4% 6/15/17	1,518		1,713
Duquesne Light Holdings, Inc.:
5.9% 12/1/21 (f)	5,539		6,513
6.4% 9/15/20 (f)	11,856		14,030
Edison International 3.75% 9/15/17	4,499		4,785
FirstEnergy Corp.:
2.75% 3/15/18	8,307		8,401
4.25% 3/15/23	22,159		22,343
7.375% 11/15/31	40,870		49,669
FirstEnergy Solutions Corp. 6.05% 8/15/21	12,120		13,472
LG&E and KU Energy LLC:
2.125% 11/15/15	5,251		5,320
3.75% 11/15/20	1,034		1,088
Nevada Power Co. 6.5% 8/1/18	2,642		3,106
Northeast Utilities 1.45% 5/1/18	1,676		1,660
NV Energy, Inc. 6.25% 11/15/20	1,957		2,327
Pennsylvania Electric Co. 6.05% 9/1/17	618		695
Pepco Holdings, Inc. 2.7% 10/1/15	5,263		5,362
Progress Energy, Inc. 4.4% 1/15/21	405		448
West Penn Power Co. 5.95% 12/15/17 (f)	6,500		7,301
			148,233
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (f)	357		396
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21	2,473		2,648
Texas Eastern Transmission LP 6% 9/15/17 (f)	1,301		1,456
			4,500
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Multi-Utilities - 0.2%
Dominion Resources, Inc.:
2.5341% 9/30/66 (k)	$ 17,454		$ 16,125
7.5% 6/30/66 (k)	5,485		5,935
MidAmerican Energy Holdings, Co. 2% 11/15/18	6,853		6,860
National Grid PLC 6.3% 8/1/16	973		1,070
NiSource Finance Corp.:
4.45% 12/1/21	2,934		3,183
5.25% 9/15/17	1,414		1,568
5.45% 9/15/20	6,455		7,348
6.4% 3/15/18	3,029		3,490
6.8% 1/15/19	4,065		4,820
PG&E Corp. 2.4% 3/1/19	931		940
Puget Energy, Inc. 6% 9/1/21	813		955
Wisconsin Energy Corp. 6.25% 5/15/67 (k)	4,882		5,071
			57,365
TOTAL UTILITIES			210,098
TOTAL NONCONVERTIBLE BONDS			2,730,139
TOTAL CORPORATE BONDS (Cost $2,614,480)		2,731,668
U.S. Treasury Obligations - 3.2%

U.S. Treasury Bills, yield at date of purchase 0.02% to 0.03% 10/23/14 to 11/13/14 (i)	8,770		8,770
U.S. Treasury Bonds:
3.125% 8/15/44	107,581		108,573
3.375% 5/15/44 (i)(j)	170,942		180,985
U.S. Treasury Notes:
0.25% 9/30/15	274,803		275,125
0.875% 7/15/17	295,900		295,553
TOTAL U.S. TREASURY OBLIGATIONS (Cost $855,474)		869,006
U.S. Government Agency - Mortgage Securities - 3.7%
	Principal Amount (000s)		Value (000s)
Fannie Mae - 3.2%
2.053% 6/1/36 (k)	$ 155		$ 167
2.458% 7/1/37 (k)	333		357
2.5% 11/1/42 to 4/1/43	1,309		1,258
3% 9/1/29 (h)	6,600		6,841
3% 10/1/42 to 10/1/43	37,379		37,269
3% 9/1/44 (h)	15,200		15,128
3% 9/1/44 (h)	72,900		72,553
3.5% 1/1/34 to 1/1/44	267,795		275,390
3.5% 9/1/44 (h)	1,500		1,544
3.5% 9/1/44 (h)	600		618
3.5% 9/1/44 (h)	54,300		55,893
4% 2/1/35 to 11/1/42	27,623		29,374
4% 9/1/44 (h)	12,300		13,031
4% 9/1/44 (h)	53,600		56,785
4% 9/1/44 (h)	17,000		18,010
4% 9/1/44 (h)	17,100		18,116
4% 9/1/44 (h)	3,700		3,920
4% 10/1/44 (h)	5,000		5,280
4% 10/1/44 (h)	10,800		11,404
4% 10/1/44 (h)	16,000		16,894
4% 10/1/44 (h)	17,000		17,950
4% 10/1/44 (h)	17,100		18,056
4.5% 12/1/23 to 8/1/44 (h)	29,366		31,761
4.5% 9/1/44 (h)	33,100		35,740
4.5% 10/1/44 (h)	26,600		28,651
5% 10/1/41	4,305		4,754
5% 9/1/44 (h)	10,900		12,020
5% 9/1/44 (h)	16,100		17,755
5.5% 9/1/24 to 8/1/37	7,144		7,893
5.5% 9/1/44 (h)	30,200		33,589
5.5% 10/1/44 (h)	15,300		16,991
6% 6/1/35 to 8/1/37	5,694		6,451
6.5% 7/1/32 to 8/1/36	1,139		1,314
TOTAL FANNIE MAE			872,757
Freddie Mac - 0.1%
3.068% 10/1/35 (k)	198		213
3.5% 6/1/42 to 10/1/43	16,992		17,427
4% 6/1/24 to 11/1/43	4,941		5,253
4.5% 7/1/25 to 12/1/40	705		758
5% 3/1/19	1,494		1,583
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Freddie Mac - continued
5.5% 1/1/34 to 3/1/40	$ 1,296		$ 1,445
6% 7/1/37 to 8/1/37	385		433
6.5% 3/1/36	838		969
TOTAL FREDDIE MAC			28,081
Ginnie Mae - 0.4%
3.5% 9/1/44 (h)	14,400		14,973
3.5% 9/1/44 (h)	15,500		16,117
4% 9/20/40 to 2/20/41	4,425		4,725
4% 9/1/44 (h)	3,000		3,196
4% 9/1/44 (h)	14,900		15,872
4.5% 9/1/44 (h)	16,600		18,046
4.5% 9/1/44 (h)	8,500		9,239
5% 5/15/39	1,391		1,533
5.5% 12/15/31 to 1/15/39	2,818		3,157
6% 2/15/34	6,477		7,413
TOTAL GINNIE MAE			94,271
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $985,518)		995,109
Asset-Backed Securities - 0.3%

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.625% 4/25/35 (k)	729		634
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.805% 3/25/34 (k)	328		326
AmeriCredit Auto Receivables Trust Series 2013-4:
Class C, 2.72% 9/9/19	1,410		1,440
Class D, 3.31% 10/8/19	880		897
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.205% 12/25/33 (k)	63		58
Series 2004-R2 Class M3, 0.98% 4/25/34 (k)	99		63
Series 2005-R2 Class M1, 0.605% 4/25/35 (k)	584		582
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.935% 3/25/34 (k)	53		50
Series 2004-W11 Class M2, 1.205% 11/25/34 (k)	616		592
Series 2004-W7 Class M1, 0.98% 5/25/34 (k)	1,600		1,550
Series 2006-W4 Class A2C, 0.315% 5/25/36 (k)	1,314		460
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2004-HE2 Class M1, 0.98% 4/25/34 (k)	$ 2,070		$ 1,901
Series 2006-HE2 Class M1, 0.525% 3/25/36 (k)	29		3
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.295% 12/25/36 (k)	1,978		1,341
CFC LLC Series 2013-1A Class A, 1.65% 7/17/17 (f)	574		576
Countrywide Home Loans, Inc.:
Series 2004-3 Class M4, 1.61% 4/25/34 (k)	87		62
Series 2004-4 Class M2, 0.95% 6/25/34 (k)	231		219
Series 2004-7 Class AF5, 5.868% 1/25/35	2,173		2,229
Fannie Mae Series 2004-T5 Class AB3, 0.9829% 5/28/35 (k)	43		40
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.327% 8/25/34 (k)	319		283
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.98% 3/25/34 (k)	16		15
Fremont Home Loan Trust Series 2005-A:
Class M3, 0.89% 1/25/35 (k)	1,041		861
Class M4, 1.175% 1/25/35 (k)	381		214
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(k)	2,028		1,732
GE Business Loan Trust:
Series 2003-1 Class A, 0.585% 4/15/31 (f)(k)	57		55
Series 2006-2A:
Class A, 0.335% 11/15/34 (f)(k)	1,030		979
Class B, 0.435% 11/15/34 (f)(k)	372		342
Class C, 0.535% 11/15/34 (f)(k)	618		539
Class D, 0.905% 11/15/34 (f)(k)	235		202
Home Equity Asset Trust:
Series 2003-2 Class M1, 1.475% 8/25/33 (k)	297		282
Series 2003-3 Class M1, 1.445% 8/25/33 (k)	558		540
Series 2003-5 Class A2, 0.855% 12/25/33 (k)	36		34
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.345% 1/25/37 (k)	1,642		1,021
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.452% 7/25/36 (k)	3,185		548
Series 2007-CH1 Class AV4, 0.285% 11/25/36 (k)	1,078		1,067
KeyCorp Student Loan Trust:
Series 1999-A Class A2, 0.5639% 12/27/29 (k)	277		276
Series 2006-A Class 2C, 1.3839% 3/27/42 (k)	2,909		485
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.455% 5/25/37 (k)	508		5
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.905% 7/25/34 (k)	$ 131		$ 104
Merrill Lynch Mortgage Investors Trust:
Series 2003-OPT1 Class M1, 1.13% 7/25/34 (k)	505		462
Series 2006-FM1 Class A2B, 0.265% 4/25/37 (k)	775		698
Series 2006-OPT1 Class A1A, 0.675% 6/25/35 (k)	2,130		2,034
Morgan Stanley ABS Capital I Trust:
Series 2004-HE6 Class A2, 0.835% 8/25/34 (k)	63		58
Series 2005-NC1 Class M1, 0.815% 1/25/35 (k)	438		416
Series 2005-NC2 Class B1, 1.91% 3/25/35 (k)	268		9
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.665% 9/25/35 (k)	1,566		1,452
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M3, 2.03% 9/25/34 (k)	585		524
Class M4, 2.33% 9/25/34 (k)	750		460
Series 2005-WCH1 Class M4, 0.985% 1/25/36 (k)	1,620		1,423
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.955% 4/25/33 (k)	6		5
Santander Drive Auto Receivables Trust:
Series 2014-2 Class C, 2.33% 11/15/19	6,409		6,440
Series 2014-3:
Class B, 1.45% 5/15/19	22,594		22,537
Class C, 2.13% 8/17/20	22,594		22,520
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.95% 3/25/35 (k)	1,037		948
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1806% 6/15/33 (k)	1,000		964
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.88% 9/25/34 (k)	53		43
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.015% 9/25/34 (k)	32		28
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.7921% 4/6/42 (f)(k)	2,206		993
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0341% 10/25/44 (f)(k)	1,964		1,983
TOTAL ASSET-BACKED SECURITIES (Cost $76,194)		86,604
Collateralized Mortgage Obligations - 0.2%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 0.2%
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.715% 1/25/35 (k)	$ 1,467		$ 1,461
Citigroup Mortgage Loan Trust sequential payer Series 2012-A Class A, 2.5% 6/25/51 (f)	3,521		3,417
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5706% 10/25/34 (k)	690		690
Granite Master Issuer PLC:
floater:
Series 2006-1A:
Class A1, 0.2255% 12/20/54 (f)(k)	4,788		4,745
Class A5, 0.2955% 12/20/54 (f)(k)	3,856		3,825
Series 2006-2 Class A4, 0.2355% 12/20/54 (k)	1,429		1,402
Series 2006-3:
Class A3, 0.2355% 12/20/54 (k)	688		682
Class A7, 0.3555% 12/20/54 (k)	748		742
Class M2, 0.7155% 12/20/54 (k)	5,460		5,347
Series 2006-4:
Class A4, 0.2555% 12/20/54 (k)	2,193		2,174
Class B1, 0.3355% 12/20/54 (k)	4,556		4,418
Class M1, 0.4955% 12/20/54 (k)	1,198		1,159
Series 2007-1:
Class 1B1, 0.2955% 12/20/54 (k)	5,806		5,627
Class 1M1, 0.4555% 12/20/54 (k)	1,611		1,563
Class 2A1, 0.2955% 12/20/54 (k)	1,721		1,707
Class 2M1, 0.6555% 12/20/54 (k)	2,067		2,018
Series 2007-2:
Class 1B1, 0.315% 12/17/54 (k)	767		744
Class 2C1, 1.015% 12/17/54 (k)	2,864		2,780
Class 3A1, 0.335% 12/17/54 (k)	307		304
sequential payer Series 2006-3 Class B2, 0.4955% 12/20/54 (k)	5,461		5,336
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6836% 1/20/44 (k)	472		499
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.4718% 8/25/36 (k)	1,350		1,155
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.365% 5/25/47 (k)	559		465
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.325% 2/25/37 (k)	1,019		924
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.445% 7/25/35 (k)	1,463		1,396
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
Class B5, 2.507% 6/10/35 (f)(k)	$ 553		$ 507
Class B6, 3.007% 6/10/35 (f)(k)	118		109
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2054% 7/20/34 (k)	29		28
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5124% 4/25/33 (k)	168		169
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.355% 9/25/36 (k)	2,197		1,975
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 0.795% 9/25/43 (k)	2,609		2,563
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $44,942)		59,931
Commercial Mortgage Securities - 1.9%

Asset Securitization Corp. Series 1997-D5 Class PS1, 1.4206% 2/14/43 (k)(m)	421		9
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7129% 5/10/45 (k)	368		373
Series 2006-3 Class A4, 5.889% 7/10/44	9,288		9,929
Series 2006-5 Class A2, 5.317% 9/10/47	2,088		2,095
Series 2006-6 Class A3, 5.369% 10/10/45	2,628		2,678
Series 2005-3 Class A3B, 5.09% 7/10/43 (k)	4,082		4,153
Series 2006-6 Class E, 5.619% 10/10/45 (f)	759		96
Series 2007-3:
Class A3, 5.5647% 6/10/49 (k)	1,577		1,575
Class A4, 5.5647% 6/10/49 (k)	2,739		2,986
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49	4,718		5,059
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class M1, 1.43% 12/25/33 (f)(k)	44		39
Series 2005-3A:
Class A2, 0.555% 11/25/35 (f)(k)	395		350
Class M1, 0.595% 11/25/35 (f)(k)	52		38
Class M2, 0.645% 11/25/35 (f)(k)	66		48
Class M3, 0.665% 11/25/35 (f)(k)	59		42
Class M4, 0.755% 11/25/35 (f)(k)	73		50
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2005-4A:
Class A2, 0.545% 1/25/36 (f)(k)	$ 1,010		$ 886
Class B1, 1.555% 1/25/36 (f)(k)	47		8
Class M1, 0.605% 1/25/36 (f)(k)	326		192
Class M2, 0.625% 1/25/36 (f)(k)	98		55
Class M3, 0.655% 1/25/36 (f)(k)	143		77
Class M4, 0.765% 1/25/36 (f)(k)	79		41
Class M5, 0.805% 1/25/36 (f)(k)	79		31
Class M6, 0.855% 1/25/36 (f)(k)	84		26
Series 2006-1:
Class A2, 0.515% 4/25/36 (f)(k)	160		140
Class M1, 0.535% 4/25/36 (f)(k)	57		40
Class M2, 0.555% 4/25/36 (f)(k)	60		41
Class M3, 0.575% 4/25/36 (f)(k)	52		38
Class M4, 0.675% 4/25/36 (f)(k)	29		21
Class M5, 0.715% 4/25/36 (f)(k)	29		18
Class M6, 0.795% 4/25/36 (f)(k)	57		39
Series 2006-2A:
Class M1, 0.465% 7/25/36 (f)(k)	144		112
Class M2, 0.485% 7/25/36 (f)(k)	102		76
Class M3, 0.505% 7/25/36 (f)(k)	85		59
Class M4, 0.575% 7/25/36 (f)(k)	57		38
Class M5, 0.625% 7/25/36 (f)(k)	70		32
Series 2006-3A Class M4, 0.585% 10/25/36 (f)(k)	66		10
Series 2006-4A:
Class A2, 0.425% 12/25/36 (f)(k)	3,013		2,481
Class M1, 0.445% 12/25/36 (f)(k)	201		137
Class M2, 0.465% 12/25/36 (f)(k)	134		58
Class M3, 0.495% 12/25/36 (f)(k)	135		57
Series 2007-1 Class A2, 0.425% 3/25/37 (f)(k)	629		459
Series 2007-2A:
Class A1, 0.425% 7/25/37 (f)(k)	648		562
Class A2, 0.475% 7/25/37 (f)(k)	607		442
Class M1, 0.525% 7/25/37 (f)(k)	212		64
Class M2, 0.565% 7/25/37 (f)(k)	117		15
Class M3, 0.645% 7/25/37 (f)(k)	118		8
Class M4, 0.805% 7/25/37 (f)(k)	4		0 *
Series 2007-3:
Class A2, 0.445% 7/25/37 (f)(k)	625		454
Class M1, 0.465% 7/25/37 (f)(k)	125		80
Class M2, 0.495% 7/25/37 (f)(k)	133		76
Class M3, 0.525% 7/25/37 (f)(k)	209		78
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust: - continued
floater:
Series 2007-3:
Class M4, 0.655% 7/25/37 (f)(k)	$ 328		$ 71
Class M5, 0.755% 7/25/37 (f)(k)	164		27
Series 2007-4A:
Class M1, 1.102% 9/25/37 (f)(k)	253		52
Class M2, 1.202% 9/25/37 (f)(k)	207		18
Series 2004-1, Class IO, 1.25% 4/25/34 (f)(m)	1,491		61
Series 2006-3A, Class IO, 0% 10/25/36 (f)(k)(m)	19,644		0
Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(k)(m)	4,053		168
Bear Stearns Commercial Mortgage Securities Trust:
floater Series 2007-BBA8:
Class H, 0.705% 3/15/22 (f)(k)	197		197
Class J, 0.855% 3/15/22 (f)(k)	653		641
sequential payer:
Series 2007-PW16:
Class A4, 5.7071% 6/11/40 (k)	769		844
Class AAB, 5.8973% 6/11/40 (k)	3,634		3,735
Series 2007-PW18 Class A4, 5.7% 6/11/50	5,820		6,444
Series 2006-T22 Class A4, 5.5723% 4/12/38 (k)	158		166
Series 2007-PW18 Class X2, 0.2917% 6/11/50 (f)(k)(m)	66,684		318
Series 2007-T28 Class X2, 0.1374% 9/11/42 (f)(k)(m)	40,940		82
C-BASS Trust floater Series 2006-SC1 Class A, 0.425% 5/25/36 (f)(k)	509		495
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4379% 5/15/35 (f)(k)(m)	2,765		16
Citigroup Commercial Mortgage Trust Series 2007-C6 Class A4, 5.7096% 12/10/49 (k)	4,371		4,818
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4:
Class A3, 5.293% 12/11/49	854		867
Class A4, 5.322% 12/11/49	19,611		21,144
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (k)	1,468		1,419
COMM Mortgage Trust pass-thru certificates:
floater Series 2005-F10A Class J, 1.005% 4/15/17 (f)(k)	138		139
sequential payer Series 2007-C9 Class A4, 5.7961% 12/10/49 (k)	2,907		3,220
Credit Suisse Commercial Mortgage Trust:
sequential payer:
Series 2006-C4 Class A3, 5.467% 9/15/39	1,382		1,476
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Credit Suisse Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C2 Class A2, 5.448% 1/15/49 (k)	$ 25		$ 25
Series 2007-C3 Class A4, 5.7022% 6/15/39 (k)	498		536
Series 2007-C5 Class A4, 5.695% 9/15/40 (k)	1,189		1,302
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.505% 4/15/22 (f)(k)	4,688		4,595
Credit Suisse First Boston Mortgage Securities Corp.:
Series 2001-CK6 Class AX, 1.463% 8/15/36 (k)(m)	55		0 *
Series 2001-CKN5 Class AX, 0% 9/15/34 (f)(k)(m)	5		0 *
Credit Suisse Mortgage Capital Certificates:
floater Series 2007-TFL1 Class F, 0.475% 2/15/22 (f)(k)	60		60
Series 2007-C1 Class B, 5.487% 2/15/40 (f)(k)	2,009		251
Extended Stay America Trust floater Series 2013-ESFL:
Class A1FL, 0.956% 12/5/31 (f)(k)	1,416		1,416
Class A2FL, 0.856% 12/5/31 (f)(k)	1,520		1,520
Class BFL, 1.256% 12/5/31 (f)(k)	5,610		5,614
Class CFL, 1.656% 12/5/31 (f)(k)	3,980		3,984
GE Capital Commercial Mortgage Corp.:
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49	16,649		17,952
Series 2001-1 Class X1, 1.6605% 5/15/33 (f)(k)(m)	117		0 *
Greenwich Capital Commercial Funding Corp.:
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39	33,895		36,673
Series 2006-GG7 Class A4, 5.8189% 7/10/38 (k)	4,417		4,705
Series 2007-GG11 Class A1, 0.2924% 12/10/49 (f)(k)(m)	18,573		0 *
GS Mortgage Securities Trust sequential payer Series 2006-GG8:
Class A1A, 5.547% 11/10/39	2,591		2,787
Class A4, 5.56% 11/10/39 (k)	4,713		5,059
Hilton U.S.A. Trust Series 2013-HLT:
Class CFX, 3.7141% 11/5/30 (f)	1,380		1,406
Class DFX, 4.4065% 11/5/30 (f)	12,899		13,206
JPMorgan Chase Commercial Mortgage Securities Trust:
floater:
Series 2006-FL2A:
Class E, 0.435% 11/15/18 (f)(k)	164		163
Class F, 0.485% 11/15/18 (f)(k)	383		372
Class G, 0.515% 11/15/18 (f)(k)	332		314
Class H, 0.655% 11/15/18 (f)(k)	255		239
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
floater:
Series 2014-BXH:
Class C, 1.806% 4/15/27 (f)(k)	$ 2,117		$ 2,117
Class D, 2.406% 4/15/27 (f)(k)	4,512		4,512
sequential payer:
Series 2006-CB17:
Class A3, 5.45% 12/12/43	63		63
Class A4, 5.429% 12/12/43	8,980		9,589
Series 2006-LDP8:
Class A1A, 5.397% 5/15/45	11,427		12,271
Class A4, 5.399% 5/15/45	810		864
Series 2006-LDP9 Class A3, 5.336% 5/15/47	11,113		11,952
Series 2007-CB18 Class A4, 5.44% 6/12/47	688		744
Series 2007-CB19 Class A4, 5.7029% 2/12/49 (k)	4,648		5,084
Series 2007-LD11:
Class A2, 5.79% 6/15/49 (k)	130		130
Class A4, 5.805% 6/15/49 (k)	34,884		37,932
Series 2007-LDPX Class A3, 5.42% 1/15/49	17,495		18,937
Series 2006-LDP7 Class A4, 5.8657% 4/15/45 (k)	1,740		1,855
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (k)	108		13
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8927% 7/15/44 (k)	1,054		1,158
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2006-C6 Class A4, 5.372% 9/15/39	591		634
Series 2006-C7 Class A2, 5.3% 11/15/38	678		698
Series 2007-C1 Class A4, 5.424% 2/15/40	4,021		4,356
Series 2007-C2 Class A3, 5.43% 2/15/40	2,394		2,607
Series 2007-C6 Class A4, 5.858% 7/15/40 (k)	1,546		1,645
Series 2007-C7:
Class A3, 5.866% 9/15/45	2,975		3,309
Class XCP, 0.2789% 9/15/45 (k)(m)	74,046		53
Merrill Lynch Mortgage Trust:
Series 2005-LC1 Class F, 5.4208% 1/12/44 (f)(k)	1,143		1,088
Series 2007-C1 Class A4, 5.8385% 6/12/50 (k)	4,974		5,500
Series 2008-C1 Class A4, 5.69% 2/12/51	2,735		3,029
Merrill Lynch-CFC Commercial Mortgage Trust:
floater Series 2006-4 Class A2FL, 0.276% 12/12/49 (k)	65		65
sequential payer:
Series 2006-4 Class ASB, 5.133% 12/12/49 (k)	438		450
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Merrill Lynch-CFC Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-5:
Class A4, 5.378% 8/12/48	$ 8,179		$ 8,759
Class B, 5.479% 8/12/48	3,942		1,883
Series 2007-6 Class A4, 5.485% 3/12/51 (k)	10,897		11,837
Series 2007-7 Class A4, 5.7432% 6/12/50 (k)	4,599		5,027
Series 2006-4 Class XP, 0.6181% 12/12/49 (k)(m)	17,362		30
Series 2007-6 Class B, 5.635% 3/12/51 (k)	1,314		406
Series 2007-7 Class B, 5.7432% 6/12/50 (k)	114		5
Series 2007-8 Class A3, 5.8831% 8/12/49 (k)	1,133		1,247
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.355% 7/15/19 (f)(k)	393		353
Series 2007-XLFA:
Class C, 0.315% 10/15/20 (f)(k)	754		751
Class D, 0.345% 10/15/20 (f)(k)	732		727
Class E, 0.405% 10/15/20 (f)(k)	916		906
Class F, 0.455% 10/15/20 (f)(k)	550		541
Class G, 0.495% 10/15/20 (f)(k)	680		662
Class H, 0.585% 10/15/20 (f)(k)	428		395
Class J, 0.735% 10/15/20 (f)(k)	247		203
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (k)	137		137
Series 2006-IQ11 Class A4, 5.6554% 10/15/42 (k)	330		346
Series 2006-T23 Class A3, 5.8054% 8/12/41 (k)	578		578
Series 2007-IQ14:
Class A4, 5.692% 4/15/49 (k)	10,971		11,986
Class AAB, 5.654% 4/15/49	1,892		1,949
Class B, 5.722% 4/15/49 (k)	323		69
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (f)	185		66
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2006-WL7A:
Class G, 0.515% 9/15/21 (f)(k)	977		957
Class J, 0.755% 9/15/21 (f)(k)	434		417
Series 2007-WHL8:
Class F, 0.635% 6/15/20 (f)(k)	4,581		4,401
Class LXR1, 0.855% 6/15/20 (f)(k)	162		158
sequential payer:
Series 2007-C30 Class A5, 5.342% 12/15/43	19,766		21,372
Series 2007-C31 Class A4, 5.509% 4/15/47	46,948		50,411
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
sequential payer:
Series 2007-C33:
Class A4, 5.9414% 2/15/51 (k)	$ 25,300		$ 27,439
Class A5, 5.9414% 2/15/51 (k)	870		960
Series 2005-C19 Class B, 4.892% 5/15/44	1,314		1,339
Series 2005-C22:
Class B, 5.3703% 12/15/44 (k)	2,914		2,908
Class F, 5.3703% 12/15/44 (f)(k)	2,191		600
Series 2006-C23 Class A5, 5.416% 1/15/45 (k)	7,210		7,587
Series 2006-C27 Class A1A, 5.749% 7/15/45 (k)	12,088		13,026
Series 2007-C30:
Class C, 5.483% 12/15/43 (k)	3,942		3,760
Class D, 5.513% 12/15/43 (k)	2,102		1,885
Series 2007-C31 Class C, 5.6724% 4/15/47 (k)	361		348
Series 2007-C31A Class A2, 5.421% 4/15/47	947		947
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $468,756)		503,101
Municipal Securities - 1.3%

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (k)	2,300		2,341
California Gen. Oblig.:
Series 2009, 7.35% 11/1/39	1,255		1,840
7.3% 10/1/39	18,960		27,416
7.5% 4/1/34	8,780		12,833
7.55% 4/1/39	16,130		24,466
7.6% 11/1/40	24,550		37,674
7.625% 3/1/40	2,920		4,429
Chicago Gen. Oblig.:
(Taxable Proj.):
Series 2008 B, 5.63% 1/1/22	1,360		1,472
Series 2010 C1, 7.781% 1/1/35	7,055		8,583
Series 2012 B, 5.432% 1/1/42	1,845		1,742
6.05% 1/1/29	475		497
6.314% 1/1/44	12,665		13,420
Illinois Fin. Auth. Rev. Series 2013 A, 4.545% 10/1/18 (o)	38,500		39,584
Illinois Gen. Oblig.:
Series 2003:
4.35% 6/1/18	695		730
Municipal Securities - continued
	Principal Amount (000s)		Value (000s)
Illinois Gen. Oblig.: - continued
Series 2003:
5.1% 6/1/33	$ 87,365		$ 86,749
Series 2010, 4.421% 1/1/15	5,980		6,046
Series 2010-1, 6.63% 2/1/35	17,960		19,999
Series 2010-3:
5.547% 4/1/19	185		203
6.725% 4/1/35	8,580		9,643
7.35% 7/1/35	5,140		6,013
Series 2011:
4.961% 3/1/16	580		612
5.365% 3/1/17	215		233
5.665% 3/1/18	8,220		9,108
5.877% 3/1/19	18,220		20,379
Series 2013:
1.28% 12/1/15	4,975		4,983
4% 12/1/20	7,040		7,197
TOTAL MUNICIPAL SECURITIES (Cost $329,775)		348,192
Foreign Government and Government Agency Obligations - 0.4%

Banco Nacional de Desenvolvimento Economico e Social:
3.375% 9/26/16 (f)	6,350		6,528
5.75% 9/26/23 (f)	5,809		6,317
6.369% 6/16/18 (f)	12,537		13,975
Brazilian Federative Republic:
4.25% 1/7/25	12,300		12,792
5.625% 1/7/41	6,113		6,877
Italian Republic:
3.125% 1/26/15	10,287		10,391
4.5% 1/21/15	7,717		7,835
4.75% 1/25/16	7,716		8,124
5.375% 6/12/17	4,630		5,107
United Mexican States:
3.5% 1/21/21	6,500		6,760
4% 10/2/23	14,090		14,935
4.75% 3/8/44	6,152		6,453
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $101,892)		106,094
Bank Notes - 0.1%
	Principal Amount (000s)		Value (000s)
Discover Bank (Delaware) 3.2% 8/9/21	$ 9,774		$ 9,806
Fifth Third Bank 4.75% 2/1/15	951		967
TOTAL BANK NOTES (Cost $10,705)		10,773
Preferred Securities - 0.0%

FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
MUFG Capital Finance 1 Ltd. 6.346% (g)(k) (Cost $1,362)	1,204		1,309

Fixed-Income Funds - 6.1%
	Shares
Fidelity High Income Central Fund 2 (l)	6,093,687		721,797
Fidelity Mortgage Backed Securities Central Fund (l)	8,586,627		931,563
TOTAL FIXED-INCOME FUNDS (Cost $1,496,732)		1,653,360
Money Market Funds - 3.5%

Fidelity Cash Central Fund, 0.11% (b)	844,994,639		844,995
Fidelity Securities Lending Cash Central Fund, 0.11% (b)(c)	103,404,572		103,405
TOTAL MONEY MARKET FUNDS (Cost $948,400)		948,400
TOTAL INVESTMENT PORTFOLIO - 102.1% (Cost $22,324,358)		27,514,264
NET OTHER ASSETS (LIABILITIES) - (2.1)%		(567,962)
NET ASSETS - 100%		$ 26,946,302
TBA Sale Commitments
	Principal Amount (000s)		Value (000s)
Fannie Mae
4% 9/1/44	$ (5,000)		$ (5,297)
4% 9/1/44	(10,800)		(11,442)
4% 9/1/44	(16,000)		(16,951)
4% 9/1/44	(17,000)		(18,010)
4% 9/1/44	(17,100)		(18,116)
4% 9/1/44	(17,000)		(18,010)
4% 9/1/44	(17,100)		(18,116)
4% 9/1/44	(3,700)		(3,920)
4.5% 9/1/44	(26,600)		(28,721)
5% 9/1/44	(4,300)		(4,742)
5.5% 9/1/44	(15,300)		(17,017)
TOTAL TBA SALE COMMITMENTS (Proceeds $160,254)		$ (160,342)

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Equity Index Contracts
1,810 CME E-mini S&P 500 Index Contracts (United States)	Sept. 2014	$ 181,127	$ 7,076
Sold
Treasury Contracts
631 CBOT 5 Year U.S. Treasury Note Contracts	Dec. 2014	$ 74,985	$ (139)
		$ 256,112	$ 6,937

The face value of futures purchased as a percentage of net assets is 0.7%

The face value of futures sold as a percentage of net assets is 0.3%

Swaps
Credit Default Swaps
Underlying Reference	Rating(1)	Expiration Date	Clearinghouse/Counterparty	Fixed Payment Received/(Paid)	Notional Amount (2) (000s)	Value (1) (000s)	Upfront Premium Received/(Paid) (000s)	Unrealized Appreciation/(Depreciation)(000s)
Sell Protection
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9	C	Dec. 2034	Bank of America	4.25%	$ 120	$ (117)	$ 0	$ (117)