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ADVANCED SERIES TRUSTSEMIANNUAL REPORT ‰ JUNE 30, 2015

Based on the variable contract you own or the portfolios you invested in,you may receive additional reports that provide financial information onthose investment choices. Please refer to your variable annuity or variablelife insurance contract prospectus to determine which portfolios areavailable to you.

The views expressed in this report and information about the Trust’sportfolio holdings are for the period covered by this report and are subjectto change thereafter.

The accompanying financial statements as of June 30, 2015, were notaudited and, accordingly, no auditor’s opinion is expressed on them.

Please note that this document may include prospectus supplements thatare separate from and not a part of this report. Please refer to your variableannuity or variable life insurance contract prospectus to determine whichsupplements are applicable to you.

For information regarding enrollment in the e-Delivery program, pleasesee the inside front cover of this report.

* Effective July 13, 2015, the AST PIMCO Limited Maturity Bond Portfoliohas been renamed the AST BlackRock Low Duration Bond Portfolio.

AST Advanced Strategies PortfolioAST Balanced Asset Allocation PortfolioAST BlackRock Global Strategies PortfolioAST BlackRock/Loomis Sayles Bond PortfolioAST Defensive Asset Allocation PortfolioAST FI Pyramis® Quantitative PortfolioAST Franklin Templeton Founding Funds

Plus PortfolioAST Legg Mason Diversified Growth PortfolioAST PIMCO Limited Maturity Bond Portfolio*AST Preservation Asset Allocation PortfolioAST Prudential Growth Allocation PortfolioAST RCM World Trends PortfolioAST Schroders Global Tactical PortfolioAST Schroders Multi-Asset World

Strategies PortfolioAST T. Rowe Price Asset Allocation PortfolioAST T. Rowe Price Growth

Opportunities Portfolio

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Advanced Series TrustTable of Contents

Semiannual Report June 30, 2015

� L E T T E R T O C O N T R A C T O W N E R S

� P R E S E N T A T I O N O F P O R T F O L I O H O L D I N G S

� F E E S A N D E X P E N S E S

� F I N A N C I A L R E P O R T S

Section A Schedule of Investments and Financial Statements

AST Advanced Strategies Portfolio . . . . . . . . . . . . . . . . . . . A1AST Balanced Asset Allocation Portfolio . . . . . . . . . . . . . . A60AST BlackRock Global Strategies Portfolio . . . . . . . . . . . . A64AST BlackRock/Loomis Sayles Bond Portfolio . . . . . . . . . A110AST Defensive Asset Allocation Portfolio . . . . . . . . . . . . . A160AST FI Pyramis® Quantitative Portfolio . . . . . . . . . . . . . . . A163AST Franklin Templeton Founding Funds Plus Portfolio . . A201AST Legg Mason Diversified Growth Portfolio . . . . . . . . . A203AST PIMCO Limited Maturity Bond Portfolio* . . . . . . . . . A214AST Preservation Asset Allocation Portfolio . . . . . . . . . . . A231AST Prudential Growth Allocation Portfolio . . . . . . . . . . . A235AST RCM World Trends Portfolio . . . . . . . . . . . . . . . . . . . A274AST Schroders Global Tactical Portfolio . . . . . . . . . . . . . . A296AST Schroders Multi-Asset World Strategies Portfolio . . . A321AST T. Rowe Price Asset Allocation Portfolio . . . . . . . . . . A353AST T. Rowe Price Growth Opportunities Portfolio . . . . . A399Glossary . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . A422

Section B Notes to Financial StatementsSection C Financial Highlights

� A P P R O V A L O F A D V I S O R Y A G R E E M E N T S

� P R O X Y V O T I N G R E S U L T S

* Effective July 13, 2015, the AST PIMCO Limited Maturity Bond Portfolio has been renamed the AST BlackRock Low DurationBond Portfolio.

This report may include financial information pertaining to certain portfolios that are not available through the variable lifeinsurance policy or variable annuity contract that you have chosen. Please refer to your variable life insurance or variable annuityprospectus to determine which portfolios are available to you.

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Advanced Series TrustLetter to Contract Owners

Semiannual Report June 30, 2015

� D E A R C O N T R A C T O W N E R

At Prudential, our primary objective is to help investors achieve and maintain long-term financial success. This Advanced SeriesTrust semiannual report outlines our efforts to achieve this goal. We hope you find it informative and useful.

Prudential has been building on a heritage of success for more than 135 years. The quality of our businesses and riskdiversification has enabled us to manage effectively through volatile markets over time. We believe the array of our productsprovides a highly attractive value proposition to clients like you who are focused on financial security.

Your financial professional is the best resource to help you make the most informed investment decisions. Together, you canbuild a diversified investment portfolio that aligns with your long-term financial goals. Please keep in mind that diversificationand asset allocation strategies do not assure a profit or protect against loss in declining markets.

Thank you for selecting Prudential as one of your financial partners. We value your trust and appreciate the opportunity to helpyou achieve financial security.

Sincerely,

Timothy S. CroninPresident,Advanced Series Trust July 31, 2015

[THIS PAGE INTENTIONALLY LEFT BLANK]

AST Advanced StrategiesFive Largest Holdings (% of Net Assets)

SPDR S&P 500 ETF Trust 2.8%iShares MSCI EAFE ETF 2.1%iShares Core U.S. AggregateBond ETF 2.0%Barclays Capital Group 1.5%U.S. Treasury Inflation IndexedBonds, TIPS0.125%, 07/15/22 1.2%

AST Balanced Asset AllocationFive Largest Holdings (% of Net Assets)

AST Prudential Core BondPortfolio 11.2%AST AQR Large-Cap Portfolio 9.5%AST QMA Large-Cap Portfolio 9.5%AST Western Asset Core PlusBond Portfolio 8.0%AST International GrowthPortfolio 4.6%

AST BlackRock Global StrategiesAllocation (% of Net Assets)Corporate Bonds 21.5%Common Stocks 20.9%U.S. Government AgencyObligations 9.6%Exchange Traded Funds 7.6%U.S. Treasury Obligations 4.5%

AST BlackRock / Loomis Sayles BondAllocation (% of Net Assets)Corporate Bonds 40.8%U.S. Government AgencyObligations 26.1%U.S. Treasury Obligations 22.2%Asset-Backed Securities 8.5%Commercial Mortgage-BackedSecurities 5.4%

AST Defensive Asset AllocationFive Largest Holdings (% of Net Assets)

AST Prudential Core BondPortfolio 29.7%AST Western Asset Core PlusBond Portfolio 21.5%AST Lord Abbett Core FixedIncome Portfolio 11.1%AST Neuberger Berman CoreBond Portfolio 5.9%AST Goldman Sachs StrategicIncome Portfolio 5.9%

AST FI Pyramis® QuantitativeFive Largest Holdings (% of Net Assets)

Apple, Inc. 1.0%Federal National MortgageAssoc.3.500%, TBA 0.7%Federal National MortgageAssoc.3.000%, TBA 0.7%U.S. Treasury Notes2.250%, 03/31/21 0.7%U.S. Treasury Notes1.125%, 06/15/18 0.5%

AST Franklin Templeton Founding Funds PlusFive Largest Holdings (% of Net Assets)

AST Franklin TempletonFounding Funds AllocationPortfolio 74.7%AST Templeton Global BondPortfolio 25.3%

AST Legg Mason Diversified GrowthFive Largest Holdings (% of Net Assets)

AST Western Asset Core PlusBond Portfolio 12.3%AST Western Asset EmergingMarkets Debt Portfolio 2.4%UnitedHealth Group, Inc. 0.8%Apple, Inc. 0.6%Intel Corp. 0.5%

AST PIMCO Limited Maturity BondAllocation (% of Net Assets)Corporate Obligations 43.9%U.S. Treasury Obligations 25.6%Residential Mortgage-BackedSecurities 19.4%U.S. Government AgencyObligations 11.6%Commercial Mortgage-BackedSecurities 3.1%

AST Preservation Asset AllocationFive Largest Holdings (% of Net Assets)

AST Prudential Core BondPortfolio 20.2%AST Western Asset Core PlusBond Portfolio 14.6%AST Lord Abbett Core FixedIncome Portfolio 7.5%AST AQR Large-Cap Portfolio 5.6%AST QMA Large-Cap Portfolio 5.6%

AST Prudential Growth AllocationFive Largest Holdings (% of Net Assets)

Apple, Inc. 1.4%Federal National MortgageAssoc.4.000%, TBA 0.9%Exxon Mobil Corp. 0.8%Johnson & Johnson 0.7%JPMorgan Chase & Co. 0.7%

AST RCM World TrendsFive Largest Holdings (% of Net Assets)Apple, Inc. 1.5%Comcast Corp. (Class A Stock) 0.7%Wells Fargo & Co. 0.7%Amgen, Inc. 0.6%Johnson & Johnson 0.6%

Advanced Series TrustPresentation of Portfolio Holdings - (Unaudited)

June 30, 2015

For a complete listing of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

AST Schroders Global TacticalFive Largest Holdings (% of Net Assets)iShares Core S&P 500 ETF 5.6%T. Rowe Price Value Fund (RetailShares) 4.9%SPDR S&P 500 ETF Trust 3.0%Aston Montag & CaldwellGrowth Fund (InstitutionalShares) 1.4%Federal National MortgageAssoc.4.500%, 12/01/43 0.8%

AST Schroders Multi-Asset World StrategiesFive Largest Holdings (% of Net Assets)

T. Rowe Price Value Fund (RetailShares) 4.5%Goldman Sachs Small Cap ValueFund (Institutional Shares) 1.7%iShares MSCI Emerging MarketsETF 0.9%iShares MSCI South KoreaCapped ETF 0.5%OneMain Financial IssuanceTrust, Series 2015-1AClass A,144A3.190%, 03/18/26 0.3%

AST T. Rowe Price Asset AllocationFive Largest Holdings (% of Net Assets)Apple, Inc. 1.2%Microsoft Corp. 0.8%U.S. Treasury Notes0.625%, 11/30/17 0.8%Federal National MortgageAssoc.3.500%, TBA 0.8%Exxon Mobil Corp. 0.7%

AST T. Rowe Price Growth OpportunitiesFive Largest Holdings (% of Net Assets)General Electric Co. 1.1%Pfizer, Inc. 1.0%Danaher Corp. 0.8%JPMorgan Chase & Co. 0.8%Visa, Inc. (Class A Stock) 0.8%

Advanced Series TrustPresentation of Portfolio Holdings - (Unaudited) (continued)

June 30, 2015

For a complete listing of holdings, please refer to the Schedule of Investments section of this report. Holdings reflect only long-term investments. Holdings/Issues/Industries/Sectors are subject to change.

Advanced Series TrustFees and Expenses — (Unaudited)

June 30, 2015

As a contract owner investing in Portfolios of the Trust through a variable annuity or variable life contract, you incur ongoing costs,including management fees, and other Portfolio expenses. This example is intended to help you understand your ongoing costs (indollars) of investing in the Trust and to compare these costs with the ongoing costs of investing in other investment options. Thisexample does not reflect fees and charges under your variable annuity or variable life contract. If contract charges were included, thecosts shown below would be higher. Please consult the prospectus for your contract for more information about contract feesand charges.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period January 1, 2015through June 30, 2015.

Actual ExpensesThe first line of the table below provides information about actual account values and actual expenses. You may use this information,together with the amount you invested, to estimate the Portfolio expenses that you paid over the period. Simply divide your accountvalue by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the firstline under the heading entitled “Expenses Paid During Period” to estimate the Portfolio expenses you paid on your account during thisperiod. As noted above, the table does not reflect variable contract fees and charges.

Hypothetical Example for Comparison PurposesThe second line of the table below provides information about hypothetical account values and hypothetical expenses based on thePortfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return.The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paidfor the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other investment options.To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the otherinvestment options.

Please note that the expenses shown in the table are meant to highlight your ongoing Portfolio costs only and do not reflect anycontract fees and charges, such as sales charges (loads), insurance charges or administrative charges. Therefore the second line of thetable is useful to compare ongoing investment option costs only, and will not help you determine the relative total costs of owningdifferent contracts. In addition, if these contract fees and charges were included, your costs would have been higher.

Advanced Series Trust Portfolios

BeginningAccount Value

January 1, 2015

EndingAccount ValueJune 30, 2015

Annualized ExpenseRatio based on theSix-Month period

Expenses PaidDuring the

Six-Month period*

AST AdvancedStrategies Portfolio

Actual $1,000.00 $1,019.40 0.94% $4.71Hypothetical $1,000.00 $1,020.13 0.94% $4.71

AST Balanced AssetAllocation Portfolio


AST BlackRock GlobalStrategies Portfolio


AST BlackRock/Loomis SaylesBond Portfolio

Actual $1,000.00 $ 994.50 0.71% $3.51Hypothetical $1,000.00 $1,021.27 0.71% $3.56

AST Defensive AssetAllocation Portfolio


AST FI Pyramis®Quantitative Portfolio


AST Franklin TempletonFounding Funds Plus Portfolio


AST Legg Mason DiversifiedGrowth Portfolio


AST PIMCO Limited MaturityBond Portfolio**


AST Preservation AssetAllocation Portfolio


AST Prudential GrowthAllocation Portfolio


Advanced Series TrustFees and Expenses — (Unaudited) (continued)

June 30, 2015

Advanced Series Trust Portfolios

BeginningAccount Value

January 1, 2015

EndingAccount ValueJune 30, 2015

Annualized ExpenseRatio based on theSix-Month period

Expenses PaidDuring the

Six-Month period*

AST RCM WorldTrends Portfolio


AST Schroders GlobalTactical Portfolio


AST Schroders Multi-AssetWorld Strategies Portfolio


AST T. Rowe Price AssetAllocation Portfolio


AST T. Rowe Price GrowthOpportunities Portfolio


* Portfolio expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table),multiplied by the average account value over the period, multiplied by the 181 days in the six-month period ended June 30, 2015,and divided by the 365 days in the Portfolio’s fiscal year ended December 31, 2015 (to reflect the six-month period). Expensespresented in the table include the expenses of any underlying portfolios in which the Portfolio may invest.

** Effective July 13, 2015, the AST PIMCO Limited Maturity Bond Portfolio has been renamed the AST BlackRock Low DurationBond Portfolio.

SharesValue(Note 2)

LONG-TERM INVESTMENTS — 95.5%AFFILIATED MUTUAL FUNDS — 2.8%AST Goldman Sachs Small-Cap ValuePortfolio* . . . . . . . . . . . . . . . . . . . . . 2,318,188 $ 42,793,744

AST Small-Cap Growth OpportunitiesPortfolio* . . . . . . . . . . . . . . . . . . . . . 4,134,078 65,566,471

AST Small-Cap Growth Portfolio*. . . . . . . . 1,873,677 66,421,838AST Small-Cap Value Portfolio*. . . . . . . . . 3,514,028 77,097,769

TOTAL AFFILIATED MUTUAL FUNDS(cost $176,442,767)(w) . . . . . . . . . . . . . . . . . . . . . . . 251,879,822

COMMON STOCKS — 49.8%Aerospace & Defense — 1.1%BAE Systems PLC (United Kingdom) . . . . . 1,231,800 8,727,773Boeing Co. (The). . . . . . . . . . . . . . . . . . 129,000 17,894,880Elbit Systems Ltd. (Israel) . . . . . . . . . . . . 47,100 3,696,716Honeywell International, Inc. . . . . . . . . . . . 153,100 15,611,607Raytheon Co. . . . . . . . . . . . . . . . . . . . . 114,100 10,917,088Thales SA (France) . . . . . . . . . . . . . . . . 120,700 7,292,831United Technologies Corp. . . . . . . . . . . . . 295,000 32,724,350

96,865,245

Air Freight & Logistics — 0.5%Expeditors International of Washington, Inc. . 525,863 24,244,914United Parcel Service, Inc. (Class B Stock) . 214,885 20,824,505

45,069,419

Airlines — 0.5%Air New Zealand Ltd. (New Zealand) . . . . . 1,087,433 1,878,816Deutsche Lufthansa AG (Germany)* . . . . . . 187,000 2,412,686easyJet PLC (United Kingdom) . . . . . . . . . 128,000 3,111,475Japan Airlines Co. Ltd. (Japan) . . . . . . . . . 88,900 3,098,114Ryanair Holdings PLC (Ireland), ADR . . . . . 191,696 13,677,510Southwest Airlines Co. . . . . . . . . . . . . . . 622,500 20,598,525

44,777,126

Auto Components — 0.7%Calsonic Kansei Corp. (Japan) . . . . . . . . . 465,000 3,306,551Cie Generale des Etablissements Michelin(France) . . . . . . . . . . . . . . . . . . . . . . 40,200 4,230,008

Continental AG (Germany) . . . . . . . . . . . . 65,679 15,551,332Johnson Controls, Inc. . . . . . . . . . . . . . . 254,300 12,595,479Keihin Corp. (Japan) . . . . . . . . . . . . . . . 201,400 2,885,748Toyo Tire & Rubber Co. Ltd. (Japan). . . . . . 153,400 3,241,654Toyoda Gosei Co. Ltd. (Japan) . . . . . . . . . 117,000 2,820,199Valeo SA (France) . . . . . . . . . . . . . . . . . 104,843 16,584,419Yokohama Rubber Co. Ltd. (The) (Japan) . . 210,000 4,213,784

65,429,174

Automobiles — 1.2%Bayerische Motoren Werke AG (Germany) . . 167,409 18,333,748Daihatsu Motor Co. Ltd. (Japan) . . . . . . . . 223,800 3,185,387Daimler AG (Germany) . . . . . . . . . . . . . . 127,300 11,596,496Fuji Heavy Industries Ltd. (Japan) . . . . . . . 420,200 15,451,084General Motors Co. . . . . . . . . . . . . . . . . 367,900 12,262,107Hero MotoCorp Ltd. (India). . . . . . . . . . . . 271,066 10,738,435Isuzu Motors Ltd. (Japan) . . . . . . . . . . . . 323,200 4,240,243Nissan Motor Co. Ltd. (Japan) . . . . . . . . . 662,000 6,915,884Renault SA (France). . . . . . . . . . . . . . . . 47,600 4,990,747Tata Motors Ltd. (India) . . . . . . . . . . . . . . 1,774,597 12,024,434Volkswagen AG (Germany) . . . . . . . . . . . 32,100 7,432,659

107,171,224

SharesValue(Note 2)

COMMON STOCKS (Continued)Banks — 3.3%Aozora Bank Ltd. (Japan) . . . . . . . . . . . . 1,439,000 $ 5,429,368Australia & New Zealand Banking GroupLtd. (Australia) . . . . . . . . . . . . . . . . . . 150,300 3,730,025

Banco Santander SA (Spain) . . . . . . . . . . 327,500 2,303,646Bank Hapoalim BM (Israel) . . . . . . . . . . . 625,200 3,364,799Bank of America Corp. . . . . . . . . . . . . . . 2,113,200 35,966,664Bank of Yokohama Ltd. (The) (Japan) . . . . . 481,000 2,945,632Bank Rakyat Indonesia Persero Tbk PT(Indonesia) . . . . . . . . . . . . . . . . . . . . 11,268,800 8,721,689

Barclays PLC (United Kingdom) . . . . . . . . 761,200 3,119,872Bendigo & Adelaide Bank Ltd. (Australia) . . . 413,300 3,908,036BNP Paribas SA (France) . . . . . . . . . . . . 89,000 5,400,774Credit Agricole SA (France) . . . . . . . . . . . 371,700 5,549,476DBS Group Holdings Ltd. (Singapore) . . . . . 455,000 6,981,362Deutsche Bank AG (Germany) . . . . . . . . . 116,700 3,508,792DnB ASA (Norway) . . . . . . . . . . . . . . . . 227,300 3,785,367HSBC Holdings PLC (United Kingdom) . . . . 772,800 6,919,927ING Groep NV (Netherlands), CVA. . . . . . . 325,100 5,398,419Intesa Sanpaolo SpA (Italy) . . . . . . . . . . . 5,428,667 19,714,163JPMorgan Chase & Co. . . . . . . . . . . . . . 784,000 53,123,840Keiyo Bank Ltd. (The) (Japan) . . . . . . . . . 327,000 1,718,039Mitsubishi UFJ Financial Group, Inc.(Japan) . . . . . . . . . . . . . . . . . . . . . . 1,049,200 7,548,434

Mizuho Financial Group, Inc. (Japan) . . . . . 2,654,300 5,743,195National Australia Bank Ltd. (Australia) . . . . 204,984 5,264,833Nishi-Nippon City Bank Ltd. (The) (Japan) . . 644,000 1,855,492Nordea Bank AB (Sweden) . . . . . . . . . . . 525,100 6,548,919Permanent TSB Group Holdings PLC(Ireland)* . . . . . . . . . . . . . . . . . . . . . 485 2,537

PNC Financial Services Group, Inc. (The) . . 136,800 13,084,920Resona Holdings, Inc. (Japan) . . . . . . . . . 1,341,600 7,317,259Societe Generale SA (France). . . . . . . . . . 78,300 3,674,141Sumitomo Mitsui Financial Group, Inc.(Japan) . . . . . . . . . . . . . . . . . . . . . . 377,300 16,797,096

Swedbank AB (Sweden) (Class A Stock) . . . 214,700 5,005,605U.S. Bancorp . . . . . . . . . . . . . . . . . . . . 499,200 21,665,280Wells Fargo & Co. . . . . . . . . . . . . . . . . . 402,700 22,647,848

298,745,449

Beverages — 1.1%Coca-Cola Co. (The) . . . . . . . . . . . . . . . 570,347 22,374,713Monster Beverage Corp.* . . . . . . . . . . . . 249,611 33,452,866PepsiCo, Inc. . . . . . . . . . . . . . . . . . . . . 201,300 18,789,342SABMiller PLC (United Kingdom), ADR . . . . 409,542 21,390,379

96,007,300

Biotechnology — 0.9%Actelion Ltd. (Switzerland)* . . . . . . . . . . . 121,060 17,729,415Alexion Pharmaceuticals, Inc.* . . . . . . . . . 63,800 11,533,126Amgen, Inc. . . . . . . . . . . . . . . . . . . . . . 226,193 34,725,149Baxalta, Inc.* . . . . . . . . . . . . . . . . . . . . 88,000 2,810,720Gilead Sciences, Inc. . . . . . . . . . . . . . . . 158,255 18,528,495

85,326,905

Building Products — 0.3%Daikin Industries Ltd. (Japan) . . . . . . . . . . 234,700 16,872,202Geberit AG (Switzerland) . . . . . . . . . . . . . 35,566 11,857,515

28,729,717

Capital Markets — 2.3%3i Group PLC (United Kingdom) . . . . . . . . 335,500 2,722,293

AST ADVANCED STRATEGIES PORTFOLIO

SCHEDULE OF INVESTMENTS June 30, 2015 (Unaudited)

SEE NOTES TO FINANCIAL STATEMENTS.

A1

SharesValue(Note 2)

COMMON STOCKS (Continued)Capital Markets (cont’d.)Ameriprise Financial, Inc.. . . . . . . . . . . . . 102,100 $ 12,755,353Bank of New York Mellon Corp. (The) . . . . . 378,000 15,864,660Charles Schwab Corp. (The) . . . . . . . . . . 1,435,546 46,870,577Credit Suisse Group AG (Switzerland)* . . . . 452,400 12,480,582GAM Holding AG (Switzerland)* . . . . . . . . 87,000 1,827,734Greenhill & Co., Inc. . . . . . . . . . . . . . . . . 102,067 4,218,429Intermediate Capital Group PLC (UnitedKingdom)* . . . . . . . . . . . . . . . . . . . . 534,200 4,614,785

Invesco Ltd. . . . . . . . . . . . . . . . . . . . . . 224,300 8,409,007Macquarie Group Ltd. (Australia) . . . . . . . . 251,149 15,735,869Man Strategic Holdings PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 1,118,400 2,756,467

Morgan Stanley. . . . . . . . . . . . . . . . . . . 878,700 34,084,773Partners Group Holding AG (Switzerland). . . 45,843 13,701,907SEI Investments Co.. . . . . . . . . . . . . . . . 533,537 26,159,319Tullett Prebon PLC (United Kingdom) . . . . . 161,500 930,968UBS AG (Switzerland)* . . . . . . . . . . . . . . 4,900 104,074

203,236,797

Chemicals — 0.9%Alent PLC (United Kingdom). . . . . . . . . . . 142,000 821,216Arkema SA (France). . . . . . . . . . . . . . . . 26,800 1,937,311Asahi Kasei Corp. (Japan) . . . . . . . . . . . . 416,000 3,412,274BASF SE (Germany) . . . . . . . . . . . . . . . 85,500 7,523,412Celanese Corp. (Class A Stock). . . . . . . . . 461,000 33,136,680E.I. du Pont de Nemours & Co. . . . . . . . . . 30,600 1,956,870Ecolab, Inc. . . . . . . . . . . . . . . . . . . . . . 206,021 23,294,794Huabao International Holdings Ltd. (HongKong) . . . . . . . . . . . . . . . . . . . . . . . 5,026,000 3,021,579

Toagosei Co. Ltd. (Japan) . . . . . . . . . . . . 137,500 1,145,799Yara International ASA (Norway) . . . . . . . . 121,000 6,305,084

82,555,019

Commercial Services & Supplies — 0.5%Downer EDI Ltd. (Australia) . . . . . . . . . . . 1,016,200 3,740,375Mineral Resources Ltd. (Australia) . . . . . . . 235,600 1,197,745Santa Fe Group A/S (Denmark)* . . . . . . . . 10,000 83,683Securitas AB (Sweden) (Class B Stock). . . . 219,700 2,901,561Stericycle, Inc.* . . . . . . . . . . . . . . . . . . . 199,989 26,780,527Toppan Forms Co. Ltd. (Japan) . . . . . . . . . 77,600 1,068,348Tyco International PLC . . . . . . . . . . . . . . 263,000 10,120,240

45,892,479

Communications Equipment — 1.1%Cisco Systems, Inc. . . . . . . . . . . . . . . . . 2,018,203 55,419,854Pace PLC (United Kingdom). . . . . . . . . . . 511,400 2,989,713QUALCOMM, Inc. . . . . . . . . . . . . . . . . . 640,220 40,096,979Telefonaktiebolaget LM Ericsson (Sweden)(Class B Stock) . . . . . . . . . . . . . . . . . 376,100 3,917,133

102,423,679

Construction & Engineering — 0.1%Acs Actividades de Construccion y ServiciosSA (Spain) . . . . . . . . . . . . . . . . . . . . 54,500 1,757,953

Ausdrill Ltd. (Australia)(a) . . . . . . . . . . . . 991,000 297,925Boart Longyear Ltd.* . . . . . . . . . . . . . . . 642,500 54,529Carillion PLC (United Kingdom) . . . . . . . . . 476,600 2,558,555CIMIC Group Ltd. (Australia) . . . . . . . . . . 1 17Kyowa Exeo Corp. (Japan) . . . . . . . . . . . 309,700 3,603,863

8,272,842

SharesValue(Note 2)

COMMON STOCKS (Continued)Construction Materials — 0.2%China Resources Cement Holdings Ltd.(Hong Kong) . . . . . . . . . . . . . . . . . . . 6,980,000 $ 3,890,448

Vulcan Materials Co. . . . . . . . . . . . . . . . 145,300 12,195,029

16,085,477

Consumer Finance — 0.2%American Express Co. . . . . . . . . . . . . . . 286,985 22,304,474

Containers & Packaging — 0.1%DS Smith PLC (United Kingdom) . . . . . . . . 312,700 1,896,259Rexam PLC (United Kingdom) . . . . . . . . . 709,300 6,151,753Smurfit Kappa Group PLC (Ireland) . . . . . . 128,000 3,527,932

11,575,944

DistributorsPacific Brands Ltd. (Australia)* . . . . . . . . . 2,607,900 642,499

Diversified Financial Services — 0.4%Challenger Ltd. (Australia) . . . . . . . . . . . . 706,100 3,660,142First Pacific Co. Ltd. (Hong Kong) . . . . . . . 392,000 330,731Fuyo General Lease Co. Ltd. (Japan) . . . . . 63,300 2,702,751IG Group Holdings PLC (United Kingdom) . . 812,917 9,528,472ORIX Corp. (Japan) . . . . . . . . . . . . . . . . 991,500 14,723,261Pargesa Holding SA (Switzerland) . . . . . . . 28,900 1,945,962

32,891,319

Diversified Telecommunication Services — 0.5%AT&T, Inc. . . . . . . . . . . . . . . . . . . . . . . 371,300 13,188,576BT Group PLC (United Kingdom) . . . . . . . . 576,400 4,081,661Nippon Telegraph & Telephone Corp.(Japan) . . . . . . . . . . . . . . . . . . . . . . 352,800 12,776,919

TDC A/S (Denmark) . . . . . . . . . . . . . . . . 679,200 4,978,773TeliaSonera AB (Sweden) . . . . . . . . . . . . 1,092,900 6,441,265

41,467,194

Electric Utilities — 0.7%EDP - Energias de Portugal SA (Portugal) . . 516,500 1,967,867Electricite de France SA (France) . . . . . . . 318,200 7,117,713Enel SpA (Italy). . . . . . . . . . . . . . . . . . . 1,307,800 5,927,349Entergy Corp. . . . . . . . . . . . . . . . . . . . . 130,700 9,214,350Exelon Corp. . . . . . . . . . . . . . . . . . . . . 476,700 14,977,914FirstEnergy Corp. . . . . . . . . . . . . . . . . . 483,400 15,734,670Iberdrola SA (Spain) . . . . . . . . . . . . . . . . 705,300 4,761,877

59,701,740

Electrical Equipment — 0.1%Alstom SA (France)*. . . . . . . . . . . . . . . . 85,100 2,417,208Emerson Electric Co. . . . . . . . . . . . . . . . 53,400 2,959,962Fujikura Ltd. (Japan) . . . . . . . . . . . . . . . 554,000 3,097,328

8,474,498

Electronic Equipment, Instruments & Components — 1.3%Amphenol Corp. (Class A Stock) . . . . . . . . 424,645 24,616,671Anritsu Corp. (Japan) . . . . . . . . . . . . . . . 357,900 2,412,680Enplas Corp. (Japan) . . . . . . . . . . . . . . . 62,000 2,520,870Hexagon AB (Sweden) (Class B Stock) . . . . 384,265 13,918,283Hoya Corp. (Japan) . . . . . . . . . . . . . . . . 313,500 12,555,592Keyence Corp. (Japan) . . . . . . . . . . . . . . 21,600 11,641,901Kingboard Chemical Holdings Ltd. (HongKong) . . . . . . . . . . . . . . . . . . . . . . . 966,600 1,669,566

Murata Manufacturing Co. Ltd. (Japan) . . . . 105,300 18,376,477National Instruments Corp.. . . . . . . . . . . . 366,556 10,798,740TE Connectivity Ltd. (Switzerland) . . . . . . . 187,300 12,043,390

AST ADVANCED STRATEGIES PORTFOLIO (CONTINUED)



A2

SharesValue(Note 2)

COMMON STOCKS (Continued)Electronic Equipment, Instruments & Components (cont’d.)Tongda Group Holdings Ltd. (Hong Kong) . . 12,390,000 $ 2,393,041

112,947,211

Energy Equipment & Services — 0.8%AMEC Foster Wheeler PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 130,100 1,670,888

Baker Hughes, Inc. . . . . . . . . . . . . . . . . 165,400 10,205,180FMC Technologies, Inc.* . . . . . . . . . . . . . 375,751 15,589,909Fred Olsen Energy ASA (Norway)*(a) . . . . . 54,244 377,725Petrofac Ltd. (United Kingdom) . . . . . . . . . 155,500 2,262,621ProSafe SE (Norway) . . . . . . . . . . . . . . . 380,000 1,316,560Schlumberger Ltd. . . . . . . . . . . . . . . . . . 460,808 39,717,041

71,139,924

Food & Staples Retailing — 1.0%Ain Pharmaciez, Inc. (Japan) . . . . . . . . . . 61,600 2,856,777Alimentation Couche-Tard, Inc. (Canada)(Class B Stock) . . . . . . . . . . . . . . . . . 423,392 18,111,957

Costco Wholesale Corp. . . . . . . . . . . . . . 167,281 22,592,972Delhaize Group (Belgium) . . . . . . . . . . . . 85,600 6,962,485J Sainsbury PLC (United Kingdom) . . . . . . 1,385,400 5,767,007Koninklijke Ahold NV (Netherlands) . . . . . . 438,700 8,235,581Matsumotokiyoshi Holdings Co. Ltd. (Japan) . 61,500 2,837,233Metcash Ltd. (Australia)(a) . . . . . . . . . . . . 1,085,700 923,786Wal-Mart Stores, Inc. . . . . . . . . . . . . . . . 66,200 4,695,566Whole Foods Market, Inc. . . . . . . . . . . . . 387,984 15,302,089WM Morrison Supermarkets PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 1,674,100 4,752,364

93,037,817

Food Products — 0.8%Dairy Crest Group PLC (United Kingdom) . . 112,800 944,854Danone SA (France), ADR . . . . . . . . . . . . 2,186,808 28,319,164Ebro Foods SA (Spain) . . . . . . . . . . . . . . 82,000 1,588,697Marine Harvest ASA (Norway). . . . . . . . . . 277,500 3,178,091Mead Johnson Nutrition Co. . . . . . . . . . . . 260,286 23,483,003Megmilk Snow Brand Co. Ltd. (Japan) . . . . 146,700 1,880,240Morinaga Milk Industry Co. Ltd. (Japan). . . . 661,000 2,423,735Nichirei Corp. (Japan) . . . . . . . . . . . . . . . 436,000 3,008,944Premier Foods PLC (United Kingdom)* . . . . 672,846 398,650Tate & Lyle PLC (United Kingdom) . . . . . . . 368,700 3,009,548Wilmar International Ltd. (Singapore) . . . . . 1,060,900 2,582,109

70,817,035

Gas UtilitiesGas Natural SDG SA (Spain) . . . . . . . . . . 82,600 1,875,623

Health Care Equipment & Supplies — 0.9%Intuitive Surgical, Inc.* . . . . . . . . . . . . . . 52,253 25,316,579Medtronic PLC . . . . . . . . . . . . . . . . . . . 274,368 20,330,669Varian Medical Systems, Inc.*(a) . . . . . . . . 238,408 20,104,947Zimmer Biomet Holdings, Inc. . . . . . . . . . . 107,838 11,779,145

77,531,340

Health Care Providers & Services — 0.7%Alfresa Holdings Corp. (Japan) . . . . . . . . . 115,100 1,791,088DaVita HealthCare Partners, Inc.* . . . . . . . 242,458 19,268,137Express Scripts Holding Co.*(a). . . . . . . . . 362,044 32,200,193Medipal Holdings Corp. (Japan). . . . . . . . . 192,100 3,128,849Primary Health Care Ltd. (Australia) . . . . . . 673,400 2,613,703

SharesValue(Note 2)

COMMON STOCKS (Continued)Health Care Providers & Services (cont’d.)Toho Holdings Co. Ltd. (Japan) . . . . . . . . . 156,200 $ 3,595,636

62,597,606

Hotels, Restaurants & Leisure — 1.3%Carnival Corp. . . . . . . . . . . . . . . . . . . . 520,400 25,702,556Compass Group PLC (United Kingdom). . . . 1,237,490 20,466,905InterContinental Hotels Group PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 280,855 11,323,090

Las Vegas Sands Corp. . . . . . . . . . . . . . 168,200 8,842,274Plenus Co. Ltd. (Japan) . . . . . . . . . . . . . 29,700 534,611Starbucks Corp. . . . . . . . . . . . . . . . . . . 607,518 32,572,078Yum! Brands, Inc. . . . . . . . . . . . . . . . . . 205,715 18,530,807

117,972,321

Household Durables — 0.2%Barratt Developments PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 462,422 4,460,184

Berkeley Group Holdings PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 70,400 3,699,420

Bovis Homes Group PLC (United Kingdom) . 140,500 2,457,354Skyworth Digital Holdings Ltd. (Hong Kong) . 4,468,000 3,977,643

14,594,601

Household Products — 0.6%Procter & Gamble Co. (The) . . . . . . . . . . . 522,754 40,900,273Reckitt Benckiser Group PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 178,112 15,359,272

56,259,545

Independent Power & Renewable Electricity Producers — 0.4%AES Corp. . . . . . . . . . . . . . . . . . . . . . . 1,769,400 23,462,244NRG Energy, Inc. . . . . . . . . . . . . . . . . . 419,500 9,598,160

33,060,404

Industrial Conglomerates — 1.0%3M Co. . . . . . . . . . . . . . . . . . . . . . . . . 80,800 12,467,440Bidvest Group Ltd. (South Africa) . . . . . . . . 369,705 9,354,732Danaher Corp. . . . . . . . . . . . . . . . . . . . 308,908 26,439,436General Electric Co. . . . . . . . . . . . . . . . . 1,397,600 37,134,232Koninklijke Philips NV (Netherlands) . . . . . . 129,400 3,302,615Rheinmetall AG (Germany) . . . . . . . . . . . 69,200 3,510,032

92,208,487

Insurance — 2.7%Aegon NV (Netherlands) . . . . . . . . . . . . . 398,200 2,938,003AIA Group Ltd. (Hong Kong). . . . . . . . . . . 2,535,600 16,579,422Allianz SE (Germany) . . . . . . . . . . . . . . . 54,000 8,421,376Allstate Corp. (The) . . . . . . . . . . . . . . . . 242,300 15,718,001Aviva PLC (United Kingdom) . . . . . . . . . . 469,700 3,637,984AXA SA (France) . . . . . . . . . . . . . . . . . . 228,600 5,795,444Baloise Holding AG (Switzerland). . . . . . . . 59,200 7,218,308Beazley PLC (United Kingdom) . . . . . . . . . 610,400 2,836,929CNP Assurances (France) . . . . . . . . . . . . 167,700 2,806,759Discovery Ltd. (South Africa) . . . . . . . . . . 1,393,214 14,469,304Hannover Rueck SE (Germany) . . . . . . . . 49,800 4,819,986Helvetia Holding AG (Switzerland) . . . . . . . 5,900 3,372,410Loews Corp. . . . . . . . . . . . . . . . . . . . . 136,800 5,268,168Marsh & McLennan Cos., Inc. . . . . . . . . . . 475,600 26,966,520MetLife, Inc. . . . . . . . . . . . . . . . . . . . . . 484,800 27,143,952Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Germany) . 25,200 4,467,828




A3

SharesValue(Note 2)

COMMON STOCKS (Continued)Insurance (cont’d.)Old Mutual PLC (United Kingdom) . . . . . . . 1,549,800 $ 4,905,634Prudential PLC (United Kingdom) . . . . . . . 607,015 14,628,700Sampo OYJ (Finland) (Class A Stock) . . . . . 289,991 13,666,430SCOR SE (France) . . . . . . . . . . . . . . . . 91,700 3,242,652St James’s Place PLC (United Kingdom) . . . 709,410 10,087,439Swiss Life Holding AG (Switzerland)* . . . . . 34,800 7,968,532Swiss Re AG (Switzerland) . . . . . . . . . . . 110,800 9,808,321XL Group PLC (Ireland). . . . . . . . . . . . . . 390,770 14,536,644Zurich Insurance Group AG (Switzerland)* . . 32,100 9,772,193

241,076,939

Internet & Catalog Retail — 1.2%Amazon.com, Inc.*. . . . . . . . . . . . . . . . . 182,095 79,045,618Home Retail Group PLC (United Kingdom) . . 784,800 2,083,954TripAdvisor, Inc.* . . . . . . . . . . . . . . . . . . 273,557 23,837,757

104,967,329

Internet Software & Services — 2.1%Alibaba Group Holding Ltd. (China),ADR*(a) . . . . . . . . . . . . . . . . . . . . . . 290,046 23,862,084

Baidu, Inc. (China), ADR* . . . . . . . . . . . . 48,356 9,626,712Facebook, Inc. (Class A Stock)*. . . . . . . . . 806,498 69,169,301Google, Inc. (Class A Stock)* . . . . . . . . . . 53,226 28,744,169Google, Inc. (Class C Stock)* . . . . . . . . . . 53,628 27,913,911NetEase, Inc. (China), ADR . . . . . . . . . . . 77,612 11,243,262Tencent Holdings Ltd. (China) . . . . . . . . . . 729,400 14,585,471

185,144,910

IT Services — 1.8%Alten SA (France)(g). . . . . . . . . . . . . . . . 63,800 2,969,724Amadeus IT Holding SA (Spain) (Class AStock) . . . . . . . . . . . . . . . . . . . . . . . 266,242 10,628,459

Automatic Data Processing, Inc. . . . . . . . . 83,653 6,711,480Cap Gemini SA (France) . . . . . . . . . . . . . 216,137 19,174,966Cognizant Technology Solutions Corp.(Class A Stock)* . . . . . . . . . . . . . . . . . 351,010 21,443,201

Genpact Ltd.* . . . . . . . . . . . . . . . . . . . . 756,602 16,138,321Tieto OYJ (Finland) . . . . . . . . . . . . . . . . 95,600 2,232,070Visa, Inc. (Class A Stock) . . . . . . . . . . . . 991,424 66,574,122Western Union Co. (The)(a) . . . . . . . . . . . 701,400 14,259,462

160,131,805

Leisure Products — 0.1%Heiwa Corp. (Japan) . . . . . . . . . . . . . . . 143,400 2,854,540Mattel, Inc.(a) . . . . . . . . . . . . . . . . . . . . 304,300 7,817,467

10,672,007

Life Sciences Tools & Services — 0.3%Thermo Fisher Scientific, Inc. . . . . . . . . . . 180,600 23,434,656

Machinery — 0.9%Atlas Copco AB (Sweden) (Class A Stock) . . 380,958 10,658,563Bradken Ltd. (Australia). . . . . . . . . . . . . . 529,200 585,266Bucher Industries AG (Switzerland) . . . . . . 13,500 3,358,514Colfax Corp.*(a) . . . . . . . . . . . . . . . . . . 300,522 13,869,090Danieli & C Officine Meccaniche SpA (Italy) . 67,900 1,380,111FANUC Corp. (Japan). . . . . . . . . . . . . . . 64,700 13,238,630Georg Fischer AG (Switzerland) . . . . . . . . 6,900 4,743,476Hong Leong Asia Ltd. (Singapore)(g) . . . . . 377,000 345,692Illinois Tool Works, Inc. . . . . . . . . . . . . . . 130,600 11,987,774Rational AG (Germany) . . . . . . . . . . . . . . 13,227 4,858,119

SharesValue(Note 2)

COMMON STOCKS (Continued)Machinery (cont’d.)Singamas Container Holdings Ltd. (HongKong)(g). . . . . . . . . . . . . . . . . . . . . . 6,354,000 $ 1,152,005

SMC Corp. (Japan) . . . . . . . . . . . . . . . . 32,800 9,870,147Vesuvius PLC (United Kingdom) . . . . . . . . 152,000 1,013,071

77,060,458

MarineAP Moeller-Maersk A/S (Denmark) (Class BStock) . . . . . . . . . . . . . . . . . . . . . . . 2,000 3,616,084

Media — 1.2%Comcast Corp. (Class A Stock) . . . . . . . . . 211,000 12,689,540JCDecaux SA (France) . . . . . . . . . . . . . . 210,302 8,794,494News Corp. (Class A Stock)* . . . . . . . . . . 326,200 4,759,258RELX PLC (United Kingdom) . . . . . . . . . . 926,722 15,059,771SKY Perfect JSAT Holdings, Inc. (Japan) . . . 467,400 2,508,327Time Warner Cable, Inc. . . . . . . . . . . . . . 89,600 15,964,032Time Warner, Inc. . . . . . . . . . . . . . . . . . 275,900 24,116,419Trinity Mirror PLC (United Kingdom) . . . . . . 126,600 298,378Viacom, Inc. (Class B Stock) . . . . . . . . . . 112,200 7,252,608WPP PLC (United Kingdom). . . . . . . . . . . 574,256 12,889,775

104,332,602

Metals & Mining — 0.3%Anglo American PLC (United Kingdom) . . . . 243,600 3,519,130Arrium Ltd. (Australia) . . . . . . . . . . . . . . . 4,552,400 475,071Aurubis AG (Germany) . . . . . . . . . . . . . . 24,400 1,433,445Boliden AB (Sweden) . . . . . . . . . . . . . . . 239,000 4,357,137Fortescue Metals Group Ltd. (Australia)(a) . . 894,400 1,317,233Mount Gibson Iron Ltd. (Australia) . . . . . . . 1,000,000 154,786Rio Tinto Ltd. (United Kingdom). . . . . . . . . 79,900 3,305,209Shougang Fushan Resources Group Ltd.(China) . . . . . . . . . . . . . . . . . . . . . . 6,284,000 1,465,578

Sumitomo Metal Mining Co. Ltd. (Japan) . . . 238,000 3,619,735Voestalpine AG (Austria) . . . . . . . . . . . . . 90,700 3,780,147

23,427,471

Multiline Retail — 0.2%Debenhams PLC (United Kingdom) . . . . . . 1,464,900 2,053,479Kohl’s Corp. . . . . . . . . . . . . . . . . . . . . . 260,200 16,291,122Myer Holdings Ltd. (Australia)(a) . . . . . . . . 1,428,500 1,345,136

19,689,737

Multi-Utilities — 0.5%AGL Energy Ltd. (Australia) . . . . . . . . . . . 326,800 3,914,712Centrica PLC (United Kingdom). . . . . . . . . 1,406,600 5,836,625E.ON SE (Germany). . . . . . . . . . . . . . . . 196,300 2,617,561PG&E Corp.. . . . . . . . . . . . . . . . . . . . . 596,100 29,268,510

41,637,408

Oil, Gas & Consumable Fuels — 2.2%Apache Corp. . . . . . . . . . . . . . . . . . . . . 390,300 22,492,989BP PLC (United Kingdom) . . . . . . . . . . . . 1,661,200 11,024,783Canadian Natural Resources Ltd. (Canada) . 555,200 15,079,232CONSOL Energy, Inc. . . . . . . . . . . . . . . . 154,000 3,347,960Eni SpA (Italy) . . . . . . . . . . . . . . . . . . . 230,000 4,085,181EQT Corp. . . . . . . . . . . . . . . . . . . . . . . 114,400 9,305,296Exxon Mobil Corp. . . . . . . . . . . . . . . . . . 215,900 17,962,880Hess Corp. . . . . . . . . . . . . . . . . . . . . . 230,500 15,415,840JX Holdings, Inc. (Japan). . . . . . . . . . . . . 601,000 2,591,122Occidental Petroleum Corp. . . . . . . . . . . . 241,200 18,758,124OMV AG (Austria) . . . . . . . . . . . . . . . . . 117,100 3,223,738




A4

SharesValue(Note 2)

COMMON STOCKS (Continued)Oil, Gas & Consumable Fuels (cont’d.)Repsol SA (Spain) . . . . . . . . . . . . . . . . . 266,500 $ 4,697,242Royal Dutch Shell PLC (Netherlands)(Class A Stock) . . . . . . . . . . . . . . . . . 327,061 9,301,594

Royal Dutch Shell PLC (Netherlands)(Class A Stock), ADR(a) . . . . . . . . . . . . 244,500 13,938,945

Royal Dutch Shell PLC (Netherlands)(Class B Stock) . . . . . . . . . . . . . . . . . 495,400 14,104,208

Statoil ASA (Norway) . . . . . . . . . . . . . . . 192,100 3,435,326Suncor Energy, Inc. (Canada) . . . . . . . . . . 351,200 9,672,762Total SA (France) . . . . . . . . . . . . . . . . . 411,110 20,165,382

198,602,604

Paper & Forest Products — 0.2%International Paper Co. . . . . . . . . . . . . . . 229,900 10,940,941Mondi PLC (South Africa) . . . . . . . . . . . . 193,700 4,170,194UPM-Kymmene OYJ (Finland) . . . . . . . . . 226,000 3,999,284

19,110,419

Personal Products — 0.5%Avon Products, Inc.(a) . . . . . . . . . . . . . . 463,100 2,899,006Estee Lauder Cos., Inc. (The) (Class AStock) . . . . . . . . . . . . . . . . . . . . . . . 303,072 26,264,219

Kao Corp. (Japan) . . . . . . . . . . . . . . . . . 282,200 13,124,272Oriflame Cosmetics SA (Sweden), SDR*(g) . 55,500 847,948

43,135,445

Pharmaceuticals — 3.4%AbbVie, Inc. . . . . . . . . . . . . . . . . . . . . . 195,100 13,108,769Aspen Pharmacare Holdings Ltd. (SouthAfrica) . . . . . . . . . . . . . . . . . . . . . . . 203,796 6,026,748

Astellas Pharma, Inc. (Japan) . . . . . . . . . . 888,200 12,653,159AstraZeneca PLC (United Kingdom) . . . . . . 279,790 17,707,868Bristol-Myers Squibb Co. . . . . . . . . . . . . . 326,745 21,741,612GlaxoSmithKline PLC (United Kingdom) . . . 263,300 5,474,485Johnson & Johnson . . . . . . . . . . . . . . . . 262,500 25,583,250KYORIN Holdings, Inc. (Japan) . . . . . . . . . 95,200 1,940,965Merck & Co., Inc. . . . . . . . . . . . . . . . . . 689,247 39,238,832Merck KGaA (Germany) . . . . . . . . . . . . . 24,500 2,442,416Nichi-iko Pharmaceutical Co. Ltd. (Japan) . . 117,400 3,184,932Novartis AG (Switzerland), ADR. . . . . . . . . 245,517 24,144,142Novo Nordisk A/S (Denmark), ADR . . . . . . 533,407 29,209,367Novo Nordisk A/S (Denmark) (Class BStock) . . . . . . . . . . . . . . . . . . . . . . . 292,162 16,032,355

Pfizer, Inc. . . . . . . . . . . . . . . . . . . . . . . 1,174,700 39,387,691Sanofi (France) . . . . . . . . . . . . . . . . . . . 126,000 12,465,198Stada Arzneimittel AG (Germany) . . . . . . . 64,700 2,182,470Teva Pharmaceutical Industries Ltd. (Israel) . 151,100 8,941,792Teva Pharmaceutical Industries Ltd. (Israel),ADR . . . . . . . . . . . . . . . . . . . . . . . . 323,558 19,122,278

Tsumura & Co. (Japan) . . . . . . . . . . . . . . 106,800 2,297,555

302,885,884

Professional ServicesSkilled Group Ltd. (Australia) . . . . . . . . . . 1,278,700 1,669,725

Real Estate Investment Trusts (REITs) — 0.1%Weyerhaeuser Co. . . . . . . . . . . . . . . . . . 352,200 11,094,300

Real Estate Management & Development — 0.5%Brookfield Asset Management, Inc. (Canada)(Class A Stock) . . . . . . . . . . . . . . . . . 552,045 19,282,932

SharesValue(Note 2)

COMMON STOCKS (Continued)Real Estate Management & Development (cont’d.)Cheung Kong Property Holdings Ltd. (HongKong)* . . . . . . . . . . . . . . . . . . . . . . . 194,000 $ 1,609,252

China Overseas Land & Investment Ltd.(China) . . . . . . . . . . . . . . . . . . . . . . 2,674,000 9,412,796

CK Hutchison Holdings Ltd. (Hong Kong). . . 194,000 2,852,184Lend Lease Group (Australia) . . . . . . . . . . 454,800 5,258,522Wheelock & Co. Ltd. (Hong Kong) . . . . . . . 495,000 2,525,820

40,941,506

Road & Rail — 0.5%Canadian Pacific Railway Ltd. (Canada) . . . 106,600 17,080,518FirstGroup PLC (United Kingdom)*. . . . . . . 308,200 578,150Go-Ahead Group PLC (United Kingdom) . . . 96,600 3,998,197National Express Group PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 791,500 3,824,550

Sankyu, Inc. (Japan) . . . . . . . . . . . . . . . 618,000 3,374,834Seino Holdings Co. Ltd. (Japan) . . . . . . . . 150,000 1,679,269Union Pacific Corp. . . . . . . . . . . . . . . . . 122,300 11,663,751

42,199,269

Semiconductors & Semiconductor Equipment — 0.9%Altera Corp. . . . . . . . . . . . . . . . . . . . . . 47,302 2,421,862Analog Devices, Inc.. . . . . . . . . . . . . . . . 56,564 3,630,560ARM Holdings PLC (United Kingdom) . . . . . 350,565 5,736,570ARM Holdings PLC (United Kingdom), ADR . 368,703 18,165,997NXP Semiconductors NV (Netherlands)* . . . 331,606 32,563,709Texas Instruments, Inc. . . . . . . . . . . . . . . 290,500 14,963,655

77,482,353

Software — 2.0%ANSYS, Inc.* . . . . . . . . . . . . . . . . . . . . 157,715 14,389,917Autodesk, Inc.* . . . . . . . . . . . . . . . . . . . 347,618 17,406,971Check Point Software Technologies Ltd.(Israel)*(a) . . . . . . . . . . . . . . . . . . . . 159,276 12,670,406

FactSet Research Systems, Inc. . . . . . . . . 104,602 16,998,871Microsoft Corp. . . . . . . . . . . . . . . . . . . . 1,098,438 48,496,038NetSuite, Inc.*(a) . . . . . . . . . . . . . . . . . . 108,675 9,970,931Oracle Corp. . . . . . . . . . . . . . . . . . . . . 873,096 35,185,769salesforce.com, Inc.* . . . . . . . . . . . . . . . 348,999 24,300,800

179,419,703

Specialty Retail — 0.6%Aoyama Trading Co. Ltd. (Japan) . . . . . . . 103,300 4,173,249Darty PLC (United Kingdom)(g) . . . . . . . . . 587,300 655,053Lowe’s Cos., Inc.. . . . . . . . . . . . . . . . . . 564,119 37,779,050Nitori Holdings Co. Ltd. (Japan). . . . . . . . . 115,600 9,424,699Shimachu Co. Ltd. (Japan). . . . . . . . . . . . 92,800 2,675,484WH Smith PLC (United Kingdom) . . . . . . . 83,700 2,007,264

56,714,799

Technology Hardware, Storage & Peripherals — 0.7%Apple, Inc. . . . . . . . . . . . . . . . . . . . . . . 211,955 26,584,456Eizo Corp. (Japan). . . . . . . . . . . . . . . . . 62,400 1,434,565Lenovo Group Ltd. (China). . . . . . . . . . . . 8,544,000 11,812,632Ricoh Co. Ltd. (Japan) . . . . . . . . . . . . . . 368,800 3,820,386Samsung Electronics Co. Ltd. (SouthKorea) . . . . . . . . . . . . . . . . . . . . . . . 12,806 14,529,511

Wincor Nixdorf AG (Germany). . . . . . . . . . 50,700 1,992,751

60,174,301




A5

SharesValue(Note 2)

COMMON STOCKS (Continued)Textiles, Apparel & Luxury Goods — 0.1%Hermes International (France). . . . . . . . . . 17,259 $ 6,444,172Yue Yuen Industrial Holdings Ltd. (HongKong) . . . . . . . . . . . . . . . . . . . . . . . 758,000 2,535,440

8,979,612

Thrifts & Mortgage Finance — 0.1%Housing Development Finance Corp. Ltd.(India) . . . . . . . . . . . . . . . . . . . . . . . 493,327 10,034,745

Paragon Group of Cos. PLC (UnitedKingdom) . . . . . . . . . . . . . . . . . . . . . 428,500 2,786,320

12,821,065

Tobacco — 0.2%Philip Morris International, Inc. . . . . . . . . . 222,300 17,821,791

Trading Companies & Distributors — 0.6%Fastenal Co.(a) . . . . . . . . . . . . . . . . . . . 452,745 19,096,784Marubeni Corp. (Japan) . . . . . . . . . . . . . 744,000 4,269,558Mitsubishi Corp. (Japan) . . . . . . . . . . . . . 169,900 3,735,083Mitsui & Co. Ltd. (Japan) . . . . . . . . . . . . . 435,900 5,922,193Seven Group Holdings Ltd. (Australia). . . . . 380,000 1,914,871Sumitomo Corp. (Japan) . . . . . . . . . . . . . 338,100 3,935,288Wolseley PLC (United Kingdom) . . . . . . . . 178,523 11,385,119

50,258,896

Wireless Telecommunication Services — 0.2%Freenet AG (Germany) . . . . . . . . . . . . . . 135,600 4,567,524KDDI Corp. (Japan) . . . . . . . . . . . . . . . . 163,800 3,952,814NTT DoCoMo, Inc. (Japan) . . . . . . . . . . . 326,300 6,264,491T-Mobile US, Inc.* . . . . . . . . . . . . . . . . . 178,900 6,935,953

21,720,782

TOTAL COMMON STOCKS(cost $3,750,195,805) . . . . . . . . . . . . . . . . . . . . . . . . 4,447,911,294

EXCHANGE TRADED FUNDS — 9.7%iShares Core U.S. Aggregate Bond ETF . . . 1,628,874 177,188,914iShares iBoxx Investment Grade CorporateBond Fund(a) . . . . . . . . . . . . . . . . . . 151,700 17,554,724

iShares Intermediate Credit Bond ETF . . . . 180,174 19,613,742iShares JPMorgan USD Emerging MarketsBond Fund(a) . . . . . . . . . . . . . . . . . . 367,450 40,390,104

iShares MSCI EAFE ETF . . . . . . . . . . . . 2,917,141 185,209,282iShares Russell 1000 Growth Index Fund. . . 442,947 43,856,182iShares Russell 1000 Value Index Fund. . . . 397,400 40,991,810iShares Russell 2000 Index Fund . . . . . . . 241,093 30,102,872iShares TIPS Bond ETF(a). . . . . . . . . . . . 284,623 31,892,007SPDR S&P 500 ETF Trust(a) . . . . . . . . . . 1,228,396 252,865,317Vanguard REIT ETF . . . . . . . . . . . . . . . . 370,968 27,707,600

TOTAL EXCHANGE TRADED FUNDS(cost $747,158,301) . . . . . . . . . . . . . . . . . . . . . . . . . 867,372,554

PREFERRED STOCKConsumer FinanceNavient Corp., 1.800%(c)(cost $20,250) . . . . . . . . . . . . . . . . . . 1,800 43,830

InterestRate

MaturityDate

PrincipalAmount(000)#

Value(Note 2)

ASSET-BACKED SECURITIES — 3.0%Collateralized Loan Obligations — 1.9%Aquilae CLO II PLC (Ireland),Series 2006-1X, Class A0.401%(c) 01/17/23 EUR 94 $ 104,753

ARES XXVI CLO Ltd. (Cayman Islands),Series 2013-1A, Class A, 144A1.375%(c) 04/15/25 1,500 1,482,554

Arrowpoint CLO Ltd. (Cayman Islands),Series 2015-4A, Class A, 144A1.822%(c) 04/18/27 6,500 6,465,191Series 2015-4A, Class B, 144A2.697%(c) 04/18/27 2,500 2,498,438

Atlas Sr. Loan Fund IV Ltd. (Cayman Islands),Series 2013-2A, Class A1L, 144A1.774%(c) 02/17/26 500 499,037

Atrium VII (Cayman Islands),Series 7AR, Class AR, 144A1.376%(c) 11/16/22 2,328 2,330,637

Atrium X (Cayman Islands),Series 2013-10A, Class A, 144A1.396%(c) 07/16/25 4,000 3,955,253

Avery Point VI CLO Ltd. (Cayman Islands),Series 2015-6A, Class A, 144A1.726%(c) 08/05/27 5,000 4,997,500

Avoca CLO III PLC (Ireland),Series III-X, Class A0.348%(c) 09/15/21 EUR 193 214,406

Babson CLO Ltd. (Cayman Islands),Series 2013-IA, Class A, 144A1.375%(c) 04/20/25 5,500 5,455,835

Battalion CLO V Ltd. (Cayman Islands),Series 2014-5A, Class A1, 144A1.774%(c) 04/17/26 500 499,016

Battalion CLO VIII Ltd. (Cayman Islands),Series 2015-8A, Class A1, 144A1.791%(c) 04/18/27 4,000 4,000,591

Benefit Street Partners CLO VII Ltd. (Cayman Islands),Series 2015-VIIA, Class A1A, 144A1.811%(c) 07/18/27 4,500 4,488,750

Brookside Mill CLO Ltd. (Cayman Islands),Series 2013-1A, Class B1, 144A2.024%(c) 04/17/25 1,750 1,718,574

Catamaran CLO Ltd. (Cayman Islands),Series 2015-1A, Class A, 144A1.550%(c) 04/22/27 8,250 8,203,589

CIFC Funding Ltd. (Cayman Islands),Series 2012-1AR, Class A1R, 144A1.425%(c) 08/14/24 6,400 6,415,002

Dryden XVI-Leveraged Loan CDO,Series 2006-16A, Class A1, 144A0.515%(c) 10/20/20 561 558,612

Dryden XXII Sr. Loan Fund (Cayman Islands),Series 2011-22A, Class A1R, 144A1.445%(c) 01/15/22 4,357 4,342,242

Duane Street CLO III Ltd.,Series 2006-3A, Class A1, 144A0.526%(c) 01/11/21 209 208,310

Flatiron CLO Ltd. (Cayman Islands),Series 2013-1A, Class A1, 144A1.674%(c) 01/17/26 2,500 2,492,683




A6

InterestRate

MaturityDate


Value(Note 2)

ASSET-BACKED SECURITIES (Continued)Collateralized Loan Obligations (cont’d.)Franklin CLO Ltd.,Series 5A, Class A2, 144A0.546%(c) 06/15/18 452 $ 450,145

Fraser Sullivan Clo Vii Ltd. (Cayman Islands),Series 2012-7A, Class A2R, 144A2.775%(c) 04/20/23 4,000 4,000,000

Highbridge Loan Management Ltd. (Cayman Islands),Series 2015-6A, Class A, 144A1.271%(c) 05/05/27 8,250 8,224,214

Hillmark Funding Ltd. (Cayman Islands),Series 2006-1A, Class A1, 144A0.531%(c) 05/21/21 1,053 1,041,736

Jackson Mill CLO Ltd. (Cayman Islands),Series 2015-1A, Class A, 144A1.814%(c) 04/15/27 800 800,302

Jefferson Mill CLO Ltd. (Cayman Islands),Series 2015-1A, Class A1, 144A1.782%(c) 07/20/27 4,750 4,722,925

Jubilee CDO VI BV (Netherlands),Series VI-X, Class A1B0.396%(c) 09/20/22 EUR 800 881,804

Limerock CLO II Ltd. (Cayman Islands),Series 2014-2A, Class A, 144A1.775%(c) 04/18/26 1,350 1,347,304

Madison Park Funding IX Ltd. (Cayman Islands),Series 2012-9AR, Class B1R, 144A2.150%(c) 08/15/22 1,750 1,736,682

Magi Funding PLC (Ireland),Series l-A, Class A, 144A0.331%(c) 04/11/21 EUR 41 45,264

Magnetite VI Ltd. (Cayman Islands),Series 2012-6A, Class BR, 144A2.136%(c) 09/15/23 5,000 5,008,850

Magnetite VIII Ltd. (Cayman Islands),Series 2014-8A, Class A, 144A1.755%(c) 04/15/26 6,250 6,232,639

Mercator CLO II PLC (Ireland),Series II-X, Class A10.226%(c) 02/18/24 EUR 358 395,853

Neuberger Berman CLO XII Ltd. (Cayman Islands),Series 2012-12AR, Class A2R, 144A1.427%(c) 07/25/23 2,700 2,706,369Series 2012-12AR, Class BR, 144A2.377%(c) 07/25/23 750 751,400

Neuberger Berman CLO XVI Ltd. (Cayman Islands),Series 2014-16A, Class A1, 144A1.745%(c) 04/15/26 3,200 3,189,946

NZCG Funding Ltd. (Cayman Islands),Series 2015-2A, Class A2, 144A2.621%(c) 04/27/27 2,250 2,239,951

Palmer Square CLO Ltd. (Cayman Islands),Series 2015-2A, Class A1A, 144A1.786%(c) 07/20/27 4,750 4,740,975

Penta CLO 1 SA (Luxembourg),Series 2007-1X, Class A10.268%(c) 06/04/24 EUR 542 597,640

Race Point VIII CLO Ltd. (Cayman Islands),Series 2013-8A, Class A, 144A1.526%(c) 02/20/25 500 496,706

InterestRate

MaturityDate


Value(Note 2)

ASSET-BACKED SECURITIES (Continued)Collateralized Loan Obligations (cont’d.)Regatta III Funding Ltd. (Cayman Islands),Series 2014-1A, Class A1A, 144A1.795%(c) 04/15/26 7,750 $ 7,753,081

Regatta V Funding Ltd. (Cayman Islands),Series 2014-1A, Class A1A, 144A1.837%(c) 10/25/26 500 499,896

Shackleton 2014-VI CLO (Cayman Islands),Series 2014-6A, Class A1, 144A1.754%(c) 07/17/26 7,250 7,249,699

Shackleton I CLO Ltd. (Cayman Islands),Series 2012-1A, Class A1, 144A1.810%(c) 08/14/23 3,750 3,756,060

Shackleton II CLO Ltd. (Cayman Islands),Series 2012-2A, Class A1, 144A1.685%(c) 10/20/23 2,000 1,996,102

Symphony CLO III Ltd. (Cayman Islands),Series 2007-3A, Class A1A, 144A0.514%(c) 05/15/19 359 357,115

THL Credit Wind River CLO Ltd. (Cayman Islands),Series 2015-1A, Class A, 144A1.781%(c) 07/20/27 4,500 4,490,550

Treman Park CLO LLC (Cayman Islands),Series 2015-1A, Class A, 144A1.761%(c) 04/20/27 5,500 5,490,722

Tryon Park CLO Ltd. (Cayman Islands),Series 2013-1A, Class A1, 144A1.395%(c) 07/15/25 2,750 2,717,479

Vibrant CLO Ltd. (Cayman Islands),Series 2015-3A, Class A1, 144A1.885%(c) 04/20/26 13,250 13,259,729

Voya CLO Ltd. (Cayman Islands),Series 2012-2AR, Class AR, 144A1.575%(c) 10/15/22 4,000 3,981,240Series 2012-3AR, Class BR, 144A2.215%(c) 10/15/22 3,250 3,249,899Series 2013-2A, Class A1, 144A1.427%(c) 04/25/25 500 493,341

Wood Street CLO BV (Netherlands),Series 10A, Class A1, 144A0.339% 03/29/21 EUR 51 56,002Series I, Class A0.305%(c) 11/22/21 EUR 310 342,917

166,235,510

Non-Residential Mortgage-Backed Securities — 0.2%Hertz,Series 2015-1A, Class A2.730% 03/25/21(g) 5,000 4,975,000

Motor PLC (United Kingdom),Series 2014-1X, Class A10.665%(c) 08/25/21 926 925,312

North Carolina State Education Assistance Authority,Series 2011-2, Class A10.727%(c) 10/26/20 30 29,604

OneMain Financial Issuance Trust,Series 2014-2A, Class A, 144A2.470% 09/18/24 3,500 3,518,585




A7

InterestRate

MaturityDate


Value(Note 2)

ASSET-BACKED SECURITIES (Continued)Non-Residential Mortgage-Backed Securities (cont’d.)SLM Student Loan Trust,Series 2007-3, Class A30.317%(c) 04/25/19 600 $ 594,005

Springleaf Funding Trust,Series 2015-AA, Class A, 144A3.160% 11/15/24 4,075 4,123,342

14,165,848

Residential Mortgage-Backed Securities — 0.9%Ameriquest Mortgage Securities Trust,Series 2006-R1, Class M10.577%(c) 03/25/36 2,900 2,470,098

Asset-Backed Funding Certificates Trust,Series 2004-OPT5, Class A10.881%(c) 06/25/34 17 16,1300.887% 06/25/34 63 59,144

Asset-Backed Pass-Through Certificates,Series 2005-R4, Class M20.637%(c) 07/25/35 7,400 6,595,968

Asset-Backed Securities Corp. Home Equity Loan Trust,Series 2004-HE3, Class M10.997%(c) 06/25/34 2,243 2,097,502

Bear Stearns Asset-Backed Securities I Trust,Series 2004-HE10, Class M11.162%(c) 12/25/34 3,380 3,177,000Series 2005-HE5, Class M21.222%(c) 06/25/35 7,733 7,514,568Series 2007-AQ1, Class A10.291%(c) 11/25/36 347 341,836Series 2007-HE3, Class 1A20.387%(c) 04/25/37 1,426 1,367,726

Bear Stearns Asset-Backed Securities Trust,Series 2005-1, Class M22.281%(c) 03/25/35 2,000 1,855,568

Countrywide Asset-Backed Certificates,Series 2004-ECC1, Class M21.231%(c) 09/25/34 1,583 1,491,319Series 2005-14, Class 3A30.537%(c) 04/25/36 3,803 3,738,447Series 2006-4, Class 2A20.361%(c) 07/25/36 387 379,567

Credit-Based Asset Servicing and Securitization LLC,Series 2006-CB9, Class A10.241%(c) 11/25/36 26 14,729Series 2007-CB6, Class A1, 144A0.301%(c) 07/25/37 60 39,837

CSAB Mortgage-Backed Trust,Series 2006-4, Class A6A5.684%(c) 12/25/36 56 35,327

First NLC Trust,Series 2007-1, Class A1, 144A0.251%(c) 08/25/37 125 71,1990.257% 08/25/37 75 42,719

GSAMP Trust,Series 2003-FM1, Class M11.417%(c) 03/20/33 4,157 4,002,669

Home Equity Mortgage Loan Asset-Backed Trust,Series 2007-B, Class 2A20.347%(c) 07/25/37 1,187 739,167

InterestRate

MaturityDate


Value(Note 2)

ASSET-BACKED SECURITIES (Continued)Residential Mortgage-Backed Securities (cont’d.)JPMorgan Mortgage Acquisition Corp.,Series 2006-WMC3, Class A30.291%(c) 08/25/36 126 $ 70,079Series 2007-HE1, Class AV10.247%(c) 03/25/47 28 27,540

MASTR Asset-Backed Securities Trust,Series 2005-WF1, Class M20.617%(c) 06/25/35 1,100 1,037,116

Merrill Lynch Mortgage Investors Trust,Series 2006-FF1, Class M50.571%(c) 08/25/36 4,200 3,596,023Series 2006-RM4, Class A2A0.267%(c) 09/25/37 4 1,488Series 2007-HE2, Class A2A0.307%(c) 02/25/37 14 6,367

Morgan Stanley ABS Capital I, Inc. Trust,Series 2004-HE4, Class M11.087%(c) 05/25/34 2,223 2,110,352Series 2006-WMC2, Class A2FP0.237%(c) 07/25/36 80 47,626Series 2007-HE6, Class A10.241%(c) 05/25/37 43 29,597

Morgan Stanley IXIS Real Estate Capital Trust,Series 2006-2, Class A10.237%(c) 11/25/36 1 627

Option One Mortgage Loan Trust,Series 2004-3, Class M21.036%(c) 11/25/34 1,850 1,718,281

Option One Mortgage Loan Trust Asset-Backed Certificates,Series 2005-4, Class M10.627%(c) 11/25/35 1,200 1,131,602

Park Place Securities, Inc. Asset-Backed Pass-Through Certificates,Series 2004-WHQ2, Class M31.220%(c) 02/25/35 5,400 5,247,239Series 2005-WCW2, Class M10.687%(c) 07/25/35 3,000 2,966,433Series 2005-WHQ4, Class M10.657%(c) 09/25/35 1,700 1,575,223

RAMP Trust,Series 2005-EFC4, Class M30.667%(c) 09/25/35 6,600 5,890,454

RASC Trust,Series 2002-KS4, Class AIIB0.687%(c) 07/25/32 17 14,772Series 2005-AHL1, Class M10.637%(c) 09/25/35 691 664,399Series 2005-KS10, Class M20.627%(c) 11/25/35 2,000 1,736,492

Securitized Asset-Backed Receivables LLC Trust,Series 2007-BR5, Class A2A0.317%(c) 05/25/37 288 202,430Series 2007-HE1, Class A2A0.241%(c) 12/25/36 36 13,1770.247% 12/25/36 36 13,177Series 2007-NC1, Class A2A0.237%(c) 12/25/36 2 1,235

Soundview Home Loan Trust,Series 2006-NLC1, Class A1, 144A0.247%(c) 11/25/36 29 11,265




A8

InterestRate

MaturityDate


Value(Note 2)

ASSET-BACKED SECURITIES (Continued)Residential Mortgage-Backed Securities (cont’d.)Series 2006-OPT2, Class A30.365%(c) 05/25/36 1,958 $ 1,846,622

Structured Asset Investment Loan Trust,Series 2005-4, Class M30.907%(c) 05/25/35 2,500 2,304,953

VOLT XXXI LLC,Series 2015-NPL2, Class A1, 144A3.375%(c) 02/25/55 4,256 4,244,947

VOLT XXXIII LLC,Series 2015-NPL5, Class A1, 144A3.500%(c) 03/25/55 1,928 1,928,814

VOLT XXXIV LLC,Series 2015-NPL7, Class A1, 144A3.250% 02/25/55 3,766 3,750,368

Wachovia Mortgage Loan Trust,Series 2005-WMC1, Class M10.847%(c) 10/25/35 6,300 5,896,384

Washington Mutual Asset-Backed Certificates,Series 2006-HE5, Class 2A10.241%(c) 10/25/36 89 46,239

84,181,841

TOTAL ASSET-BACKED SECURITIES(cost $262,797,744) . . . . . . . . . . . . . . . . . . . . . . . . . 264,583,199

BANK LOANS(c) — 0.1%Automobiles — 0.1%Chrysler Group LLC,Term Loan B3.500% 05/24/17 3,979 3,970,747

Health Care Providers & ServicesMPH Acquisition Holdings LLC,Term Loan B3.750% 03/31/21 1,168 1,161,301

PharmaceuticalsValeant Pharmaceuticals Intl, Inc.,Term Loan4.000% 04/01/22 998 996,593

TOTAL BANK LOANS(cost $6,140,249) . . . . . . . . . . . . . . . . . . . . . . . . . . 6,128,641

COMMERCIAL MORTGAGE-BACKEDSECURITIES — 0.8%Banc of America Re-REMIC Trust,Series 2009-UB1, Class A4A, 144A5.593%(c) 06/24/50 229 236,503Series 2010-UB5, Class A4A, 144A5.673%(c) 02/17/51 1,680 1,739,845

Citigroup Commercial Mortgage Trust,Series 2015-GC27, Class XB, IO0.360%(c) 02/10/48 76,865 1,862,746

Citigroup/Deutsche Bank Commercial Mortgage Trust,Series 2006-CD3, Class A55.617% 10/15/48 72 74,992

Commercial Mortgage Pass-Through Certificates,Series 2010-C1, Class A1, 144A3.156% 07/10/46 62 61,576Series 2013-LC13, Class XA, IO

InterestRate

MaturityDate


Value(Note 2)

COMMERCIAL MORTGAGE-BACKEDSECURITIES (Continued)1.589%(c) 08/10/46 43,916 $ 2,962,813Series 2015-3BP, Class A, 144A3.178% 02/10/35 4,900 4,809,360Series 2015-DC1, Class XA, IO1.337%(c) 02/10/48 61,523 4,767,354

Credit Suisse Commercial Mortgage Trust,Series 2006-C1, Class AJ5.639%(c) 02/15/39 2,865 2,908,018

Credit Suisse Mortgage Capital Certificates,Series 2009-RR1, Class A3A, 144A5.383% 02/15/40 74 75,899Series 2010-RR4, Class 2A, 144A5.467%(c) 09/18/39 740 758,025Series 2010-UD1, Class A, 144A5.928%(c) 12/16/49 633 671,155

DBUBS Mortgage Trust,Series 2011-LC2A, Class A2, 144A3.386% 07/10/44 2,182 2,221,891

GS Mortgage Securities Corp. II,Series 2012-GCJ9, Class XA, IO2.507%(c) 11/10/45 3,377 368,903

Hercules Eclipse PLC (United Kingdom),Series 2006-4, Class A0.811%(c) 10/25/18 GBP 233 359,698

JPMBB Commercial Mortgage Securities Trust,Series 2015-C28, Class A43.227% 10/15/48 10,000 9,864,320

JPMorgan Chase Commercial Mortgage Securities Trust,Series 2006-CB15, Class A1A5.811%(c) 06/12/43 2,107 2,173,650Series 2006-LDP9, Class A35.336% 05/15/47 105 110,088Series 2010-C2, Class A3, 144A4.070% 11/15/43 1,300 1,395,826

Merrill Lynch Mortgage Trust,Series 2005-LC1, Class AJ5.548%(c) 01/12/44 9,335 9,476,183

Morgan Stanley Bank of America Merrill Lynch Trust,Series 2015-C23, Class A33.451% 07/15/50 10,000 10,090,290

Morgan Stanley Capital I Trust,Series 2007-IQ15, Class A46.014%(c) 06/11/49 38 40,459

RBSCF Trust,Series 2010-RR4, Class CMLA, 144A6.239%(c) 12/16/49 177 184,209

Vornado DP LLC,Series 2010-VNO, Class A2FX, 144A4.004% 09/13/28 700 751,554

Wachovia Bank Commercial Mortgage Trust,Series 2006-C28, Class AM5.603%(c) 10/15/48 3,260 3,417,305Series 2006-C29, Class A45.308% 11/15/48 3,176 3,301,102




A9

InterestRate

MaturityDate


Value(Note 2)

COMMERCIAL MORTGAGE-BACKEDSECURITIES (Continued)Washington Mutual Commercial Mortgage Securities Trust,Series 2007-SL3, Class A1A, 144A5.515%(c) 03/23/45 2,149 $ 2,186,834

TOTAL COMMERCIAL MORTGAGE-BACKEDSECURITIES(cost $67,767,907). . . . . . . . . . . . . . . . . . . . . . . . . . 66,870,598

CORPORATE BONDS — 10.5%Aerospace & DefenseLockheed Martin Corp.,Sr. Unsec’d. Notes2.900% 03/01/25 800 768,478

Airlines — 0.3%American Airlines 2013-2 Class A Pass-Through Trust,Pass-Through Certificates4.950% 01/15/23 2,253 2,393,775

American Airlines 2015-1 Class A Pass-Through Trust,Pass-Through Certificates3.375% 05/01/27 1,215 1,199,813

Continental Airlines 2009-2 Class A Pass-Through Trust,Pass-Through Certificates7.250% 05/10/21 299 346,255

Continental Airlines 2012-3 Class C Pass-Through Certificates,Pass-Through Certificates6.125% 04/29/18 1,500 1,563,750

Delta Air Lines 2012-1 Class A Pass-Through Trust,Pass-Through Certificates4.750% 05/07/20 3,160 3,381,734

Latam Airlines 2015-1 Pass-Through Trust A (Chile),Pass-Through Certificates, 144A4.200% 08/15/29 2,000 1,977,500

Latam Airlines 2015-1 Pass-Through Trust B (Chile),Pass-Through Certificates, 144A4.500% 08/15/25(g) 8,000 8,020,000

Turkish Airlines 2015-1 Class A Pass Through Trust (Turkey),Pass-Through Certificates, 144A4.200% 09/15/28 5,300 5,273,500

UAL 2009-1 Pass-Through Trust,Pass-Through Certificates10.400% 05/01/18 150 163,938

24,320,265

Auto Components — 0.1%American Axle & Manufacturing, Inc.,Gtd. Notes6.625% 10/15/22 2,315 2,430,750

BorgWarner, Inc.,Sr. Unsec’d. Notes3.375% 03/15/25 410 403,436

Dana Holding Corp.,Sr. Unsec’d. Notes6.750% 02/15/21 620 649,450

Lear Corp.,Gtd. Notes5.250% 01/15/25 2,500 2,456,250

5,939,886

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)AutomobilesJaguar Land Rover Automotive PLC (United Kingdom),Gtd. Notes, 144A4.125% 12/15/18 1,500 $ 1,518,7504.250% 11/15/19 250 253,750

1,772,500

Banks — 2.9%Abbey National Treasury Services PLC (United Kingdom),Gtd. Notes2.375% 03/16/20 2,500 2,491,5104.000% 04/27/16 1,900 1,944,196

Australia & New Zealand Banking Group Ltd. (Australia),Covered Bonds, 144A1.000% 10/06/15 400 400,686

Banca Carige SpA (Italy),Covered Bonds, MTN3.875% 10/24/18 EUR 700 855,684

Banca Monte dei Paschi di Siena SpA (Italy),Covered Bonds, MTN4.875% 09/15/16 EUR 200 234,118Sr. Unsec’d. Notes, MTN3.625% 04/01/19 EUR 4,400 4,948,320

Banco do Brasil SA (Brazil),Sr. Unsec’d. Notes, RegS6.000% 01/22/20 7,000 7,472,500

Banco Popolare SC (Italy),Sr. Unsec’d. Notes, MTN3.500% 03/14/19 EUR 5,436 6,225,662

Banco Popular Espanol SA (Spain),Jr. Sub. Notes8.250%(c) 04/29/49 EUR 1,400 1,545,185

Banco Santander Brasil SA (Brazil),Sr. Unsec’d. Notes, 144A4.250% 01/14/16 700 708,6594.625% 02/13/17 800 821,840

Banco Santander Chile (Chile),Sr. Unsec’d. Notes, 144A1.875%(c) 01/19/16 2,000 2,000,000

BanColombia SA (Colombia),Sr. Unsec’d. Notes5.950% 06/03/21 1,200 1,315,800

Bank of America Corp.,Sr. Unsec’d. Notes0.537%(c) 10/14/16 500 498,1535.750% 12/01/17 6,600 7,189,901Sr. Unsec’d. Notes, MTN1.101%(c) 03/22/16 3,600 3,607,9744.125% 01/22/24 1,100 1,127,3566.875% 04/25/18 1,400 1,581,553Sub. Notes, MTN0.706%(c) 05/23/17 EUR 600 664,0794.000% 01/22/25 4,750 4,627,897

Bankia SA (Spain),Covered Bonds3.500% 12/14/15 EUR 1,800 2,034,477Sr. Unsec’d. Notes0.198%(c) 01/25/16 EUR 300 333,1273.500% 01/17/19 EUR 700 812,617Sub. Notes, MTN




A10

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Banks (cont’d.)4.000%(c) 05/22/24 EUR 4,400 $ 4,763,241

Barclays Bank PLC (United Kingdom),Sr. Unsec’d. Notes, MTN2.010% 12/21/20(g) MXN 2,500 152,696Sub. Notes7.625% 11/21/22 4,600 5,238,4807.750%(c) 04/10/23 360 390,150Sub. Notes, 144A10.179% 06/12/21 2,320 3,073,766

BB&T Corp.,Sr. Unsec’d. Notes, MTN1.146%(c) 06/15/18 2,700 2,717,196

BBVA Bancomer SA (Mexico),Sr. Unsec’d. Notes, 144A4.500% 03/10/16 800 816,800Sr. Unsec’d. Notes, RegS4.500% 03/10/16 6,000 6,126,000

BNP Paribas Home Loan SFH (France),Covered Bonds, 144A2.200% 11/02/15 5,500 5,529,920

BNP Paribas SA (France),Gtd. Notes0.586%(c) 11/07/15 5,300 5,303,037

BPCE SA (France),Gtd. Notes0.846%(c) 11/18/16 3,000 3,004,269Gtd. Notes, MTN2.500% 07/15/19 200 201,612

BPE Financiaciones SA (Spain),Gtd. Notes2.875% 05/19/16 EUR 1,500 1,694,242Gtd. Notes, MTN2.500% 02/01/17 EUR 600 678,142

Caixa Economica Federal (Brazil),Sr. Unsec’d. Notes, 144A4.250% 05/13/19 2,400 2,375,280

CIT Group, Inc.,Sr. Unsec’d. Notes5.000% 05/15/17 3,200 3,299,8405.250% 03/15/18 6,416 6,632,540Sr. Unsec’d. Notes, 144A5.500% 02/15/19 2,700 2,814,7506.625% 04/01/18 1,000 1,061,250

Citigroup, Inc.,Jr. Sub. Notes8.400%(c) 04/29/49 2,200 2,499,750Sr. Unsec’d. Notes3.750% 06/16/24 3,600 3,621,3306.000% 08/15/17 2,000 2,175,3766.125% 11/21/17 500 549,986Sr. Unsec’d. Notes, MTN0.798%(c) 05/01/17 7,500 7,475,265Sub. Notes4.300% 11/20/26 3,500 3,422,377Sub. Notes, MTN0.686%(c) 05/31/17 EUR 800 885,193

Commonwealth Bank of Australia (Australia),Covered Bonds, RegS2.250% 03/16/17(g) 3,900 3,983,807

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Banks (cont’d.)Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands),Sr. Unsec’d. Notes, MTN4.000% 09/10/15 GBP 1,000 $ 1,580,689

Corpbanca SA (Chile),Sr. Unsec’d. Notes3.125% 01/15/18 2,700 2,707,781Sr. Unsec’d. Notes, 144A3.875% 09/22/19 4,600 4,667,082

Credit Agricole SA (France),Jr. Sub. Notes7.500%(c) 04/29/49 GBP 700 1,083,370

Credit Suisse of New York (Switzerland),Sr. Unsec’d. Notes1.750% 01/29/18 2,250 2,241,252

DBS Group Holdings Ltd. (Singapore),Sr. Unsec’d. Notes, 144A2.246% 07/16/19 1,100 1,100,259

Depfa ACS Bank (Ireland),Covered Bonds, MTN3.875% 11/14/16 EUR 5,100 5,967,059Covered Bonds, RegS5.125% 03/16/37 5,500 6,494,389

Deutsche Bank AG (Germany),Sr. Unsec’d. Notes1.875% 02/13/18 1,175 1,171,405

Dexia Credit Local SA (France),Gov’t. Liquid Gtd. Notes, 144A1.875% 01/29/20 7,400 7,311,4072.250% 01/30/19 1,300 1,322,835

Discover Bank,Sr. Unsec’d. Notes4.200% 08/08/23 2,000 2,024,388

Eksportfinans ASA (Norway),Sr. Unsec’d. Notes2.375% 05/25/16 1,800 1,800,000

Eurofima (Supranational Bank),Sr. Unsec’d. Notes, MTN5.250% 04/07/16 2,500 2,589,208

FMS Wertmanagement Aoer (Germany),Gov’t. Gtd. Notes, MTN0.750% 12/15/17 GBP 1,500 2,337,814

HBOS Capital Funding LP (United Kingdom),Gtd. Notes9.540%(c) 03/29/49 GBP 200 327,749

HSH N Finance Guernsey Ltd. (Germany),Gtd. Notes, MTN0.436%(c) 12/21/15 EUR 2,600 2,903,502

ICICI Bank Ltd. (India),Notes, RegS5.750% 11/16/20 INR 2,000 2,213,372

ING Bank NV (Netherlands),Covered Bonds, 144A2.500% 01/14/16 1,700 1,716,796

Intesa Sanpaolo SpA (Italy),Sub. Notes, 144A5.017% 06/26/24 2,100 2,040,242

Itau Unibanco Holding SA (Brazil),Sub. Notes, 144A5.500% 08/06/22 3,600 3,621,600




A11

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Banks (cont’d.)JPMorgan Chase & Co.,Jr. Sub. Notes5.300%(c) 12/29/49 2,750 $ 2,729,650Sr. Unsec’d. Notes3.125% 01/23/25 7,065 6,745,3513.200% 01/25/23 2,265 2,221,473Sub. Notes3.875% 09/10/24 1,250 1,229,883

JPMorgan Chase Bank NA,Sub. Notes, BKNT6.000% 10/01/17 900 981,318

KeyBank NA,Sr. Unsec’d. Notes, BKNT2.250% 03/16/20 2,580 2,558,106

Korea Development Bank (The) (South Korea),Sr. Unsec’d. Notes3.250% 09/20/16 1,000 1,024,540

Landwirtschaftliche Rentenbank (Germany),Gov’t. Gtd. Notes, MTN5.375% 04/23/24 NZD 2,600 1,913,0707.000% 05/10/17 NZD 300 216,434

LBG Capital No. 2 PLC (United Kingdom),Gtd. Notes15.000% 12/21/19 GBP 680 1,517,189

Lloyds Bank PLC (United Kingdom),Covered Bonds, MTN4.875% 03/30/27 GBP 1,500 2,806,313Gtd. Notes1.750% 05/14/18 1,500 1,498,4943.500% 05/14/25 300 294,551

Manufacturers & Traders Trust Co.,Sr. Unsec’d. Notes2.900% 02/06/25 2,300 2,173,762

MUFG Americas Holdings Corp.,Sr. Unsec’d. Notes2.250% 02/10/20 2,800 2,766,568

National Bank of Greece SA (Greece),Covered Bonds3.875% 10/07/16 EUR 900 795,718

National City Corp.,Sub. Notes6.875% 05/15/19 3,930 4,557,723

Norddeutsche Landesbank Girozentrale (Germany),Pfandbrief, 144A0.875% 10/16/15 7,000 7,007,700

Nykredit Realkredit A/S (Denmark),Covered Bonds2.000% 10/01/15 DKK 19,500 2,929,123

PNC Bank NA,Sr. Unsec’d. Notes2.950% 02/23/25 2,425 2,335,675

Santander Bank NA,Sr. Unsec’d. Notes2.000% 01/12/18 1,575 1,574,770

Stadshypotek AB (Sweden),Covered Bonds, 144A1.875% 10/02/19 1,900 1,900,549Covered Bonds, MTN4.250% 10/10/17 AUD 3,800 3,016,111

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Banks (cont’d.)Sumitomo Mitsui Banking Corp. (Japan),Gtd. Notes2.450% 01/16/20 2,025 $ 2,029,603

Turkiye Garanti Bankasi A/S (Turkey),Sr. Unsec’d. Notes, 144A2.775%(c) 04/20/16 200 199,790

Wells Fargo & Co.,Jr. Sub. Notes7.980%(c) 03/29/49 5,500 5,960,625Sr. Unsec’d. Notes, MTN3.000% 02/19/25 2,400 2,298,574

Westpac Banking Corp. (Australia),Covered Bonds, 144A1.850% 11/26/18 2,200 2,210,380

258,642,831

BiotechnologyAmgen, Inc.,Sr. Unsec’d. Notes4.400% 05/01/45 720 663,4715.375% 05/15/43 1,180 1,252,185

Celgene Corp.,Sr. Unsec’d. Notes3.250% 08/15/22 950 939,481

2,855,137

Building Products — 0.1%Building Materials Corp. of America,Sr. Unsec’d. Notes, 144A(f)(original cost $2,296,500;purchased 01/30/15-02/11/15)

5.375% 11/15/24(g) 2,200 2,160,0706.750% 05/01/21(g) 567 591,097

CEMEX Espana SA (Mexico),Sr. Sec’d. Notes, 144A9.875% 04/30/19 2,400 2,626,080

US Concrete, Inc.,Sr. Sec’d. Notes8.500% 12/01/18 1,300 1,371,500

USG Corp.,Gtd. Notes, 144A7.875% 03/30/20 2,100 2,247,000

8,995,747

Capital Markets — 0.3%Bank of New York Mellon Corp. (The),Sr. Unsec’d. Notes3.000% 02/24/25 1,825 1,768,124

Credit Suisse Group AG (Switzerland),Sr. Unsec’d. Notes1.700% 04/27/18 1,470 1,459,756

Goldman Sachs Group, Inc. (The),Jr. Sub. Notes5.375%(c) 12/29/49 1,850 1,827,615Sr. Unsec’d. Notes3.500% 01/23/25 8,995 8,723,297

Morgan Stanley,Jr. Sub. Notes5.550%(c) 12/29/49 1,535 1,523,871Sr. Unsec’d. Notes




A12

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Capital Markets (cont’d.)3.800% 04/29/16 800 $ 817,6124.300% 01/27/45 3,070 2,868,599Sr. Unsec’d. Notes, MTN0.428%(c) 01/16/17 EUR 100 111,6466.625% 04/01/18 1,800 2,019,701Sub. Notes, MTN4.350% 09/08/26 1,450 1,420,826

State Street Corp.,Jr. Sub. Notes5.250%(c) 12/29/49 1,280 1,281,600

UBS AG (Switzerland),Sr. Unsec’d. Notes, BKNT5.875% 12/20/17 100 110,012

23,932,659

Chemicals — 0.3%Agrium, Inc. (Canada),Sr. Unsec’d. Notes4.125% 03/15/35 175 156,4815.250% 01/15/45 1,220 1,232,093

Ashland, Inc.,Sr. Unsec’d. Notes3.875% 04/15/18 4,000 4,110,000

CF Industries, Inc.,Gtd. Notes5.375% 03/15/44 1,230 1,223,054

Dow Chemical Co. (The),Sr. Unsec’d. Notes4.125% 11/15/21 1,480 1,552,3694.625% 10/01/44 1,050 980,085

Eastman Chemical Co.,Sr. Unsec’d. Notes2.700% 01/15/20 2,750 2,741,076

Ecolab, Inc.,Sr. Unsec’d. Notes2.250% 01/12/20 740 732,561

LyondellBasell Industries NV,Sr. Unsec’d. Notes4.625% 02/26/55 600 528,3865.750% 04/15/24 2,270 2,585,925

Monsanto Co.,Sr. Unsec’d. Notes3.950% 04/15/45 525 435,568

PolyOne Corp.,Sr. Unsec’d. Notes7.375% 09/15/20 3,200 3,344,000

Rockwood Specialties Group, Inc.,Gtd. Notes4.625% 10/15/20 1,400 1,457,750

RPM International, Inc.,Sr. Unsec’d. Notes6.500% 02/15/18 2,745 3,034,032

Scotts Miracle-Gro Co. (The),Gtd. Notes6.625% 12/15/20 1,240 1,295,800

25,409,180

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Commercial Services & SuppliesCovanta Holding Corp.,Sr. Unsec’d. Notes5.875% 03/01/24 2,500 $ 2,493,750

Communications EquipmentCommScope Holding Co., Inc.,Sr. Unsec’d. Notes, PIK, 144A6.625% 06/01/20 2,825 2,930,937

Construction & EngineeringCSC Holdings LLC,Sr. Unsec’d. Notes8.625% 02/15/19 1,352 1,532,830

Consumer Finance — 0.7%Ally Financial, Inc.,Gtd. Notes2.750% 01/30/17 2,600 2,588,3003.500% 07/18/16 11,500 11,672,5005.500% 02/15/17 2,400 2,502,000Sr. Unsec’d. Notes3.600% 05/21/18 7,000 7,008,750

American Express Co.,Jr. Sub. Notes4.900%(c) 12/29/49 1,180 1,143,184

Capital One Financial Corp.,Sr. Unsec’d. Notes3.200% 02/05/25 4,905 4,639,581

Ford Motor Credit Co. LLC,Sr. Unsec’d. Notes3.219% 01/09/22 5,050 4,993,3695.625% 09/15/15 1,000 1,009,079

General Motors Financial Co., Inc.,Gtd. Notes3.000% 09/25/17 3,700 3,772,1983.150% 01/15/20 4,610 4,631,6023.450% 04/10/22 3,125 3,062,0343.500% 07/10/19 2,500 2,552,920

Harley-Davidson Financial Services, Inc.,Gtd. Notes, 144A2.150% 02/26/20 1,440 1,428,232

HSBC Finance Corp.,Sr. Unsec’d. Notes0.713%(c) 06/01/16 1,700 1,697,237

Navient Corp.,Sr. Unsec’d. Notes, MTN6.000% 01/25/17 400 416,0008.450% 06/15/18 750 833,475

Synchrony Financial,Sr. Unsec’d. Notes2.700% 02/03/20 5,050 4,988,466

58,938,927

Diversified Consumer ServicesService Corp. International,Sr. Unsec’d. Notes7.625% 10/01/18 1,000 1,140,000

Diversified Financial Services — 0.2%Doric Nimrod Air Alpha 2013-1 Class A Pass-Through Trust (United Kingdom),Pass-Through Certificates, 144A5.250% 05/30/25 868 920,198




A13

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Diversified Financial Services (cont’d.)Doric Nimrod Air Finance Alpha Ltd. 2012-1, Class A, Pass-Through Trust(United Kingdom),Pass-Through Certificates, 144A5.125% 11/30/24 168 $ 177,795

Eileme 2 AB (Poland),Sr. Sec’d. Notes, 144A11.625% 01/31/20 2,000 2,219,800

General Electric Capital Corp.,Gtd. Notes, MTN2.200% 01/09/20(h) 4,060 4,058,847

Leaseplan Corp. NV (Netherlands),Sr. Unsec’d. Notes, 144A2.500% 05/16/18(g) 2,100 2,103,087

Lehman Brothers Holdings, Inc.,Sr. Unsec’d. Notes, MTN(i)2.851% 12/23/24(g) 200 21,2502.907% 11/16/24(g) 400 42,5005.625% 01/24/13(g) 1,700 193,375

Onemain Financial Holdings, Inc.,Gtd. Notes, 144A6.750% 12/15/19 400 417,0007.250% 12/15/21 2,500 2,590,625

Rio Oil Finance Trust (Brazil),Sr. Sec’d. Notes, 144A6.250% 07/06/24 1,700 1,670,250

14,414,727

Diversified Telecommunication Services — 0.5%Altice SA (Luxembourg),Gtd. Notes, 144A7.750% 05/15/22 4,400 4,257,000

AT&T, Inc.,Sr. Unsec’d. Notes3.400% 05/15/25 5,510 5,254,9314.500% 05/15/35 425 390,6974.750% 05/15/46 570 518,685

BellSouth Corp.,Gtd. Notes, 144A4.182% 04/26/21 1,600 1,645,853

CCO Holdings LLC/CCO Holdings Capital Corp.,Gtd. Notes, 144A5.125% 05/01/23 2,425 2,358,3135.375% 05/01/25 1,500 1,460,625

Deutsche Telekom International Finance BV (Germany),Gtd. Notes5.750% 03/23/16 900 930,345

Intelsat Jackson Holdings SA (Luxembourg),Gtd. Notes7.250% 10/15/20 1,800 1,779,750

Ooredoo International Finance Ltd. (Qatar),Gtd. Notes, RegS4.750% 02/16/21 4,000 4,333,512

Telecom Italia Capital SA (Italy),Gtd. Notes5.250% 10/01/15 5,000 5,041,750

Telesat Canada/Telesat LLC (Canada),Gtd. Notes, 144A6.000% 05/15/17 1,400 1,422,750

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Diversified Telecommunication Services (cont’d.)Telstra Corp. Ltd. (Australia),Sr. Unsec’d. Notes, 144A3.125% 04/07/25 1,150 $ 1,123,294

UPCB Finance V Ltd. (Netherlands),Sr. Sec’d. Notes, 144A7.250% 11/15/21 900 972,000

Verizon Communications, Inc.,Sr. Unsec’d. Notes2.500% 09/15/16 4,652 4,727,4833.000% 11/01/21 100 98,6554.862% 08/21/46 3,040 2,845,1855.012% 08/21/54 2,375 2,179,269

Virgin Media Secured Finance PLC (United Kingdom),Sr. Sec’d. Notes, 144A6.000% 04/15/21 GBP 1,980 3,235,497

44,575,594

Electric Utilities — 0.2%Abu Dhabi National Energy Co. (United Arab Emirates),Sr. Unsec’d. Notes, 144A2.500% 01/12/18 3,000 3,015,762

Commonwealth Edison Co.,First Mortgage3.700% 03/01/45 475 426,488

Duke Energy Carolinas LLC,First Ref. Mortgage3.750% 06/01/45 1,400 1,276,716

Electricite de France SA (France),Sr. Unsec’d. Notes, 144A0.735%(c) 01/20/17 1,300 1,301,2871.150% 01/20/17 400 400,641

Entergy Corp.,Sr. Unsec’d. Notes5.125% 09/15/20 950 1,033,844

Entergy Gulf States Louisiana LLC,First Mortgage3.950% 10/01/20 1,700 1,810,854

Eversource Energy,Sr. Unsec’d. Notes3.150% 01/15/25 780 753,649

Exelon Generation Co. LLC,Sr. Unsec’d. Notes2.950% 01/15/20 795 797,751

Korea Hydro & Nuclear Power Co. Ltd. (South Korea),Sr. Unsec’d. Notes, 144A3.000% 09/19/22 500 497,191

NV Energy, Inc.,Sr. Unsec’d. Notes6.250% 11/15/20 250 289,573

Oncor Electric Delivery Co. LLC,Sr. Sec’d. Notes, 144A2.950% 04/01/25 500 479,398

PECO Energy Co.,First Ref. Mortgage4.800% 10/15/43 910 970,491

PPL Electric Utilities Corp.,First Mortgage3.000% 09/15/21 4,490 4,547,036




A14

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Electric Utilities (cont’d.)Red Oak Power LLC,Sr. Sec’d. Notes8.540% 11/30/19 844 $ 899,323

Southern California Edison Co.,First Mortgage2.400% 02/01/22 735 714,8743.600% 02/01/45 1,190 1,060,743

20,275,621

Electrical EquipmentRockwell Automation, Inc.,Sr. Unsec’d. Notes2.050% 03/01/20 2,300 2,283,5992.875% 03/01/25 950 921,313

3,204,912

Electronic Equipment, Instruments & ComponentsCDW LLC/CDW Finance Corp.,Gtd. Notes5.000% 09/01/23 1,400 1,375,500

Food & Staples Retailing — 0.1%CVS Health Corp.,Sr. Unsec’d. Notes2.750% 12/01/22 1,740 1,677,4055.300% 12/05/43 500 544,843

Kroger Co. (The),Sr. Unsec’d. Notes3.300% 01/15/21 1,690 1,724,961

3,947,209

Food Products — 0.1%B&G Foods, Inc.,Gtd. Notes4.625% 06/01/21 2,000 1,970,000

General Mills, Inc.,Sr. Unsec’d. Notes0.579%(c) 01/29/16 200 199,991

JBS USA LLC/JBS USA Finance, Inc. (Brazil),Gtd. Notes, 144A(f)(original cost $1,109,188; purchased01/8/15-01/20/15)

8.250% 02/01/20(g) 1,050 1,113,000Sr. Unsec’d. Notes, 144A(f)(original cost $2,050,000;purchased 05/20/15)

5.750% 06/15/25(g) 2,050 2,026,323JM Smucker Co (The),Gtd. Notes, 144A3.000% 03/15/22 1,055 1,035,0643.500% 03/15/25 425 416,368

Kraft Heinz Foods Co.,Gtd. Notes, 144A5.000% 07/15/35 700 708,414

Tyson Foods, Inc.,Gtd. Notes5.150% 08/15/44 1,160 1,192,821

WM Wrigley Jr Co.,Sr. Unsec’d. Notes, 144A2.900% 10/21/19 2,229 2,269,621

10,931,602

InterestRate

MaturityDate


Value(Note 2)

CORPORATE BONDS (Continued)Health Care Equipment & Supplies — 0.1%Becton Dickinson And Co.,Sr. Unsec’d. Notes4.685% 12/15/44 1,400 $ 1,354,699

Medtronic, Inc.,Gtd. Notes, 144A3.500% 03/15/25 1,090 1,086,2804.625% 03/15/45 2,360 2,389,144

Zimmer Biomet Holdings, Inc.,Sr. Unsec’d. Notes2.700% 04/01/20 1,300 1,293,569

6,123,692

Health Care Providers & Services — 0.4%Aetna, Inc.,Sr. Unsec’d. Notes3.500% 11/15/24 1,000 980,2756.750% 12/15/37 1,410 1,774,231

Anthem, Inc.,Sr. Unsec’d. Notes7.000% 02/15/19 2,600 2,969,421

Centene Corp.,Sr. Unsec’d. Notes4.750% 05/15/22 1,000 1,030,000

CHS/Community Health Systems, Inc.,Gtd. Notes6.875% 02/01/22 1,700 1,793,5008.000% 11/15/19 1,700 1,791,375

Cigna Corp.,Sr. Unsec’d. Notes3.250% 04/15/25 2,400 2,302,128

Fresenius Medical Care US Finance II, Inc. (Germany),Gtd. Notes, 144A4.125% 10/15/20 2,900 2,936,250

HCA Holdings, Inc.,Sr. Unsec’d. Notes6.250% 02/15/21 5,000 5,387,500

HealthSouth Corp.,Gtd. Notes5

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