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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811- 22441

John Hancock Hedged Equity & Income Fund
(Exact name of registrant as specified in charter)

601 Congress Street, Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)

Salvatore Schiavone

Treasurer

601 Congress Street

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

Registrant's telephone number, including area code:        617-663-4497

Date of fiscal year end: December 31
   
Date of reporting period: September 30, 2014

 

 

ITEM 1. SCHEDULE OF INVESTMENTS



John Hancock

Hedged Equity & Income Fund

Ticker: HEQ Quarterly portfolio holdings 9/30/14

Fund's investments

                                                           
        Shares     Value  
  Common Stocks 81.6%     $209,808,168  
  (Cost $196,344,957)  
  Consumer Discretionary 6.3%     16,120,215  
  Auto Components 0.9%  
  Aisan Industry Company, Ltd.     15,700     123,616  
  Delphi Automotive PLC     8,400     515,256  
  Exedy Corp.     7,200     182,380  
  Keihin Corp.     15,900     210,258  
  Sumitomo Riko Company, Ltd.     15,200     134,410  
  The Goodyear Tire & Rubber Company     13,400     302,639  
  Tokai Rika Company, Ltd.     13,800     291,980  
  Topre Corp.     4,200     59,749  
  Toyoda Gosei Company, Ltd.     16,100     314,298  
  Toyota Boshoku Corp.     23,300     244,367  
  Automobiles 0.5%  
  Honda Motor Company, Ltd.     15,700     538,664  
  Peugeot SA (I)     32,431     414,977  
  Renault SA     3,787     273,950  
  Diversified Consumer Services 0.1%  
  Allstar Co-Invest LLC (I)(R)     236,300     174,862  
  Hotels, Restaurants & Leisure 0.5%  
  Mandarin Oriental International, Ltd.     98,000     171,250  
  McDonald's Corp.     11,009     1,043,763  
  Household Durables 0.8%  
  D.R. Horton, Inc.     7,800     160,056  
  Funai Electric Company, Ltd.     18,700     191,888  
  Newell Rubbermaid, Inc.     26,800     922,188  
  PulteGroup, Inc.     47,400     837,084  
  Internet & Catalog Retail 0.0%  
  Home Retail Group PLC     36,647     98,700  
  Media 1.3%  
  Avex Group Holdings, Inc.     7,100     107,638  
  Clear Media, Ltd.     45,000     46,828  
  Gendai Agency, Inc.     5,200     32,077  
  Metropole Television SA     11,021     178,082  
  ProSiebenSat.1 Media AG     28,555     1,132,071  
  Proto Corp.     6,500     94,743  
  The Interpublic Group of Companies, Inc.     12,300     225,336  
  Tri-Stage, Inc.     2,500     29,055  
  WPP PLC     79,245     1,587,556  
  Multiline Retail 0.2%  
  Mothercare PLC (I)     23,297     101,124  
  New World Department Store China, Ltd.     214,000     74,423  
  Nordstrom, Inc.     4,200     287,154  

2SEE NOTES TO FINANCIAL STATEMENTS

                                                           
        Shares     Value  
  Consumer Discretionary (continued)        
  Specialty Retail 1.6%  
  Adastria Holdings Company, Ltd.     10,000     $194,983  
  Honeys Company, Ltd.     13,230     139,579  
  Nishimatsuya Chain Company, Ltd.     20,300     158,598  
  Pal Company, Ltd.     6,100     165,624  
  Ross Stores, Inc.     6,700     506,386  
  Shimamura Company, Ltd.     2,300     211,446  
  The Home Depot, Inc.     27,825     2,552,666  
  Xebio Company, Ltd.     10,800     163,863  
  Textiles, Apparel & Luxury Goods 0.4%  
  Daphne International Holdings, Ltd.     442,000     223,449  
  Hanesbrands, Inc.     3,000     322,320  
  Ralph Lauren Corp.     2,300     378,879  
  Consumer Staples 5.4%     13,799,100  
  Beverages 0.4%  
  Diageo PLC, ADR     8,969     1,035,023  
  Food & Staples Retailing 0.1%  
  Cawachi, Ltd.     8,200     140,437  
  Delhaize Group SA     2,572     178,746  
  Food Products 2.6%  
  Ebro Foods SA     23,835     451,456  
  Ingredion, Inc.     11,176     847,029  
  Kraft Foods Group, Inc.     44,951     2,535,236  
  Pinnacle Foods, Inc.     23,820     777,723  
  Suedzucker AG     7,897     123,402  
  Unilever NV     18,488     733,699  
  Unilever NV - NY Shares     28,202     1,119,055  
  Household Products 0.6%  
  Procter & Gamble Company     19,170     1,605,296  
  Personal Products 0.1%  
  Oriflame Cosmetics SA     7,220     124,300  
  Tobacco 1.6%  
  British American Tobacco PLC     58,607     3,302,538  
  Philip Morris International, Inc.     9,894     825,160  
  Energy 7.6%     19,621,658  
  Energy Equipment & Services 0.7%  
  Baker Hughes, Inc.     10,300     670,118  
  National Oilwell Varco, Inc.     8,300     631,630  
  Trican Well Service, Ltd.     39,300     459,690  

SEE NOTES TO FINANCIAL STATEMENTS3

                                                           
        Shares     Value  
  Energy (continued)        
  Oil, Gas & Consumable Fuels 6.9%  
  BP PLC     122,218     $894,066  
  Canadian Natural Resources, Ltd.     15,500     602,020  
  Chevron Corp. (C)     38,609     4,606,826  
  Denbury Resources, Inc.     18,100     272,043  
  Encana Corp.     11,400     242,057  
  Energy Resources of Australia, Ltd. (I)     36,883     40,249  
  Eni SpA     25,635     608,222  
  Exxon Mobil Corp. (C)     20,890     1,964,705  
  Gazprom OAO, ADR     41,616     290,480  
  HRT Participacoes em Petroleo SA (I)     2,930     13,107  
  Inpex Corp.     23,000     325,176  
  Japan Petroleum Exploration Company     6,600     253,366  
  Marathon Oil Corp.     20,840     783,376  
  Occidental Petroleum Corp.     10,273     987,749  
  Oil India, Ltd.     10,288     101,367  
  Painted Pony Petroleum, Ltd. (I)     14,100     158,003  
  PetroChina Company, Ltd., H Shares     1,028,000     1,317,539  
  Petroleo Brasileiro SA, ADR     17,176     243,727  
  Suncor Energy, Inc.     53,715     1,941,797  
  Talisman Energy, Inc.     21,200     183,426  
  Total SA     29,077     1,882,855  
  Valero Energy Corp.     3,200     148,064  
  Financials 20.3%     52,196,752  
  Banks 9.1%  
  Allahabad Bank     49,866     79,558  
  Banca Popolare dell'Emilia Romagna SC (I)     12,805     101,252  
  Banco Bilbao Vizcaya Argentaria SA     105,347     1,267,900  
  Banco Espirito Santo SA (I)     91,233     3,193  
  BankUnited, Inc.     9,806     298,985  
  Barclays PLC     198,133     728,769  
  BNP Paribas SA     6,871     456,016  
  Canara Bank     18,758     105,795  
  CIT Group, Inc.     3,300     151,668  
  Corporation Bank     13,727     70,149  
  Dah Sing Financial Holdings, Ltd.     17,600     106,980  
  HSBC Holdings PLC     299,048     3,038,712  
  ING Groep NV (I)     33,387     474,570  
  JPMorgan Chase & Company (C)     60,556     3,647,893  
  KB Financial Group, Inc.     6,555     238,968  
  M&T Bank Corp.     3,320     409,323  
  Mitsubishi UFJ Financial Group, Inc.     322,500     1,817,518  
  OTP Bank PLC     9,608     162,680  
  Piraeus Bank SA (I)     15,438     26,131  
  Shinhan Financial Group Company, Ltd.     3,655     168,264  
  Societe Generale SA     7,242     369,399  
  Standard Chartered PLC     25,476     469,901  
  Sumitomo Mitsui Financial Group, Inc.     11,600     472,636  
  Svenska Handelsbanken AB, Class A     16,619     778,293  

4SEE NOTES TO FINANCIAL STATEMENTS

                                                           
        Shares     Value  
  Financials (continued)        
  Banks 9.1%  
  The Eighteenth Bank, Ltd.     44,000     $121,888  
  The Higashi-Nippon Bank, Ltd.     30,000     76,007  
  The Oita Bank, Ltd.     23,000     86,678  
  The PNC Financial Services Group, Inc. (C)     46,591     3,987,258  
  The Tochigi Bank, Ltd.     25,000     98,000  
  The Yamanashi Chuo Bank, Ltd.     19,000     83,376  
  UniCredit SpA     43,352     340,568  
  Wells Fargo & Company (C)     50,848     2,637,486  
  Zions Bancorporation     16,000     464,960  
  Capital Markets 2.2%  
  Ameriprise Financial, Inc.     2,200     271,436  
  Ares Capital Corp.     26,400     426,624  
  BlackRock, Inc. (C)     7,690     2,524,781  
  Henderson Group PLC     307,621     1,004,391  
  Julius Baer Group, Ltd. (I)     5,047     225,536  
  LPL Financial Holdings, Inc.     8,900     409,845  
  Northern Trust Corp.     4,400     299,332  
  UBS AG (I)     25,600     445,000  
  Uranium Participation Corp. (I)     34,500     155,257  
  Consumer Finance 0.1%  
  Manappuram Finance, Ltd.     299,764     143,008  
  Diversified Financial Services 0.5%  
  Bolsas y Mercados Espanoles SA     20,213     769,008  
  Intercontinental Exchange Group, Inc. (C)     1,700     331,585  
  MSCI, Inc. (I)     3,500     164,570  
  Insurance 6.2%  
  ACE, Ltd.     15,423     1,617,410  
  Ageas     10,496     347,986  
  Argo Group International Holdings, Ltd.     6,700     337,077  
  Assicurazioni Generali SpA     59,967     1,257,333  
  Catlin Group, Ltd.     15,487     130,587  
  CNO Financial Group, Inc.     9,900     167,904  
  Delta Lloyd NV     71,175     1,714,986  
  Marsh & McLennan Companies, Inc.     60,576     3,170,548  
  MetLife, Inc.     46,765     2,512,216  
  Muenchener Rueckversicherungs AG     3,689     727,720  
  Principal Financial Group, Inc.     5,500     288,585  
  Reinsurance Group of America, Inc.     4,100     328,533  
  Storebrand ASA (I)     44,120     245,595  
  T&D Holdings, Inc.     35,500     456,170  
  The Dai-ichi Life Insurance Company, Ltd.     19,300     286,695  
  Tongyang Life Insurance     11,283     122,386  
  Unum Group     7,100     244,098  
  Zurich Insurance Group AG (I)     7,017     2,088,278  

SEE NOTES TO FINANCIAL STATEMENTS5

                                                           
        Shares     Value  
  Financials (continued)        
  Real Estate Investment Trusts 1.1%  
  Blackstone Mortgage Trust, Inc., Class A     27,600     $747,960  
  Equity Lifestyle Properties, Inc.     4,900     207,564  
  ICADE     8,342     704,403  
  Two Harbors Investment Corp.     31,900     308,473  
  Weyerhaeuser Company     28,100     895,266  
  Real Estate Management & Development 1.1%  
  Castellum AB     56,502     858,016  
  Deutsche Annington Immobilien SE     41,110     1,192,295  
  Deutsche Wohnen AG     34,159     727,521  
  Health Care 9.9%     25,499,946  
  Biotechnology 0.0%  
  Sinovac Biotech, Ltd. (I)     25,257     121,486  
  Health Care Equipment & Supplies 0.3%  
  Covidien PLC     4,800     415,248  
  Zimmer Holdings, Inc.     3,200     321,760  
  Health Care Providers & Services 0.5%  
  Aetna, Inc.     10,500     850,500  
  AmerisourceBergen Corp.     5,900     456,070  
  Health Care Technology 0.0%  
  AGFA-Gevaert NV (I)     40,124     105,651  
  Life Sciences Tools & Services 0.1%  
  CMIC Holdings Company, Ltd.     7,300     131,269  
  Pharmaceuticals 9.0%  
  Almirall SA (I)     53,575     784,924  
  AstraZeneca PLC     28,623     2,051,205  
  Bristol-Myers Squibb Company     47,351     2,423,424  
  Daiichi Sankyo Company, Ltd.     60,200     945,984  
  Eisai Company, Ltd.     28,500     1,152,773  
  H. Lundbeck A/S     8,632     192,373  
  Johnson & Johnson     29,460     3,140,141  
  Merck & Company, Inc. (C)     91,922     5,449,136  
  Ono Pharmaceutical Company, Ltd.     6,600     586,065  
  Roche Holding AG     18,831     5,560,849  
  Shionogi & Company, Ltd.     12,800     293,767  
  Takeda Pharmaceutical Company, Ltd.     11,900     517,321  
  Industrials 7.7%     19,802,485  
  Aerospace & Defense 1.0%  
  Curtiss-Wright Corp.     4,100     270,272  
  Thales SA     6,559     349,084  
  United Technologies Corp.     18,430     1,946,208  
  Air Freight & Logistics 0.7%  
  Deutsche Post AG     22,476     716,424  
  PostNL NV (I)     75,771     326,499  
  United Parcel Service, Inc., Class B     8,930     877,730  

6SEE NOTES TO FINANCIAL STATEMENTS

                                                           
        Shares     Value  
  Industrials (continued)     $19,802,485  
  Airlines 0.4%  
  Aer Lingus Group PLC     45,900     82,084  
  American Airlines Group, Inc.     11,900     422,212  
  Deutsche Lufthansa AG     12,689     199,244  
  Qantas Airways, Ltd. (I)     219,850     267,061  
  Building Products 0.4%  
  Cie de Saint-Gobain     8,031     366,948  
  Fortune Brands Home & Security, Inc.     9,100     374,101  
  Owens Corning     8,300     263,525  
  Commercial Services & Supplies 0.1%  
  Aeon Delight Company, Ltd.     5,300     128,863  
  Moshi Moshi Hotline, Inc.     6,900     65,439  
  Construction & Engineering 0.1%  
  Raubex Group, Ltd.     67,275     132,447  
  Electrical Equipment 1.8%  
  Eaton Corp. PLC     28,037     1,776,701  
  Futaba Corp.     5,300     79,636  
  OSRAM Licht AG (I)     3,418     126,814  
  Saft Groupe SA     4,474     152,542  
  Schneider Electric SE     29,758     2,283,106  
  Ushio, Inc.     19,700     208,234  
  Zumtobel Group AG     5,341     99,872  
  Industrial Conglomerates 1.3%  
  3M Company     8,091     1,146,333  
  General Electric Company     32,770     839,567  
  Koninklijke Philips NV     12,686     403,412  
  Rheinmetall AG     5,421     259,354  
  Siemens AG     6,579     782,849  
  Machinery 0.6%  
  Dover Corp.     4,300     345,419  
  Fuji Machine Manufacturing Company, Ltd.     17,000     163,474  
  Hisaka Works, Ltd.     10,600     99,840  
  Koenig & Bauer AG (I)     2,650     37,105  
  Pentair PLC     6,800     445,332  
  Star Micronics Company, Ltd.     8,400     123,483  
  The Japan Steel Works, Ltd.     49,000     196,870  
  Toshiba Machine Company, Ltd.     40,000     182,438  
  Professional Services 0.3%  
  Adecco SA (I)     4,651     314,412  
  en-japan, Inc.     7,200     139,859  
  Hays PLC     97,108     182,209  
  USG People NV     7,845     93,044  
  Trading Companies & Distributors 0.4%  
  Kuroda Electric Company, Ltd.     3,200     46,928  
  Mitsubishi Corp.     18,200     372,740  
  Rexel SA     24,929     465,543  
  SIG PLC     55,002     147,988  
  Yamazen Corp.     6,100     47,806  

SEE NOTES TO FINANCIAL STATEMENTS7

                                                           
        Shares     Value  
  Industrials (continued)     $19,802,485  
  Transportation Infrastructure 0.6%  
  Hamburger Hafen und Logistik AG     6,344     150,745  
  Jiangsu Expressway Company, Ltd., H Shares     1,238,000     1,300,689  
  Information Technology 11.2%     28,856,239  
  Communications Equipment 0.6%  
  Cisco Systems, Inc. (C)     59,104     1,487,648  
  Electronic Equipment, Instruments & Components 0.6%  
  Avnet, Inc.     17,700     734,550  
  Dai-ichi Seiko Company, Ltd.     6,000     113,928  
  Hosiden Corp.     30,900     167,397  
  Kingboard Laminates Holdings, Ltd.     368,500     154,080  
  Mitsumi Electric Company, Ltd.     16,100     116,588  
  Nichicon Corp.     28,900     207,713  
  Internet Software & Services 0.2%  
  Dena Company, Ltd.     14,100     179,259  
  Dropbox, Inc. (I)(R)     8,162     133,938  
  Gree, Inc.     20,000     136,370  
  IT Services 0.9%  
  Alten SA     4,039     173,126  
  Booz Allen Hamilton Holding Corp.     12,800     299,520  
  Cap Gemini SA     6,650     476,895  
  Devoteam SA     2,222     45,584  
  Fujitsu, Ltd.     75,000     461,592  
  GFI Informatique SA     4,237     30,483  
  Groupe Steria SCA     12,151     269,446  
  Itochu Techno-Solutions Corp.     5,800     243,784  
  NET One Systems Company, Ltd.     23,400     135,176  
  Sopra Group SA     1,049     95,087  
  Zuken, Inc.     6,700     67,586  
  Semiconductors & Semiconductor Equipment 5.2%  
  Analog Devices, Inc.     20,930     1,035,826  
  Avago Technologies, Ltd.     4,000     348,000  
  Intel Corp.     103,426     3,601,293  
  Kontron AG (I)     16,185     101,151  
  Lam Research Corp.     10,500     784,350  
  Marvell Technology Group, Ltd.     22,700     305,996  
  Maxim Integrated Products, Inc. (C)     140,716     4,255,252  
  Micronas Semiconductor Holding AG (I)     17,689     132,837  
  Mimasu Semiconductor Industry Company, Ltd.     15,100     135,440  
  Miraial Company, Ltd.     7,800     128,365  
  Rohm Company, Ltd.     4,700     295,935  
  SCREEN Holdings Company, Ltd.     59,000     301,343  
  Shinkawa, Ltd.     16,800     83,039  
  Shinko Electric Industries Company, Ltd.     37,200     271,073  
  Skyworks Solutions, Inc.     6,600     383,130  
  Taiwan Semiconductor Manufacturing Company, Ltd., ADR     49,780     1,004,560  
  Tokyo Seimitsu Company, Ltd.     13,200     221,995  

8SEE NOTES TO FINANCIAL STATEMENTS

                                                           
        Shares     Value  
  Information Technology (continued)        
  Software 2.7%  
  Activision Blizzard, Inc.     31,800     $661,122  
  Alpha Systems, Inc.     1,900     27,721  
  DTS Corp.     1,000     20,948  
  Microsoft Corp. (C)     108,501     5,030,106  
  Nintendo Company, Ltd.     2,000     217,857  
  NSD Company, Ltd.     6,500     102,320  
  Symantec Corp.     39,343     924,954  
  Technology Hardware, Storage & Peripherals 1.0%  
  Apple, Inc. (C)     4,100     413,075  
  Canon, Inc.     14,000     455,503  
  Compal Electronics, Inc.     101,000     75,559  
  Japan Digital Laboratory Company, Ltd.     6,200     114,774  
  Melco Holdings, Inc.     7,300     139,340  
  SanDisk Corp.     9,900     969,705  
  Western Digital Corp.     6,000     583,920  
  Materials 6.6%     17,036,066  
  Chemicals 3.3%  
  Akzo Nobel NV     11,932     816,402  
  Cabot Corp.     6,900     350,313  
  E.I. du Pont de Nemours & Company     22,500     1,614,600  
  Fujimi, Inc.     11,600     164,131  
  Hitachi Chemical Company, Ltd.     18,500     328,599  
  JSR Corp.     15,700     273,994  
  Methanex Corp.     16,200     1,081,398  
  Methanex Corp.     10,000     668,000  
  Mitsui Chemicals, Inc.     101,000     281,108  
  Nitto Denko Corp.     6,200     339,488  
  PTT Global Chemical PCL     491,800     925,206  
  Sumitomo Bakelite Company, Ltd.     62,000     243,164  
  The Dow Chemical Company     27,649     1,449,914  
  Construction Materials 0.3%  
  Buzzi Unicem SpA     18,538     252,027  
  CRH PLC     11,893     270,239  
  Holcim, Ltd. (I)     2,032     147,831  
  Lafarge SA     3,323     239,144  
  Containers & Packaging 0.1%  
  AMVIG Holdings, Ltd.     272,000     124,317  
  Ball Corp.     3,600     227,772  

SEE NOTES TO FINANCIAL STATEMENTS9

                                                           
        Shares     Value  
  Materials (continued)        
  Metals & Mining 1.5%  
  Aichi Steel Corp.     23,000     $84,483  
  Anglo American PLC     18,120     404,108  
  Barrick Gold Corp.     15,900     233,826  
  BHP Billiton PLC     26,216     725,150  
  Centerra Gold, Inc.     34,600     155,089  
  Chubu Steel Plate Company, Ltd.     10,500     58,788  
  Eldorado Gold Corp.     33,523     225,945  
  G-Resources Group, Ltd. (I)     4,794,000     122,099  
  Impala Platinum Holdings, Ltd. (I)     34,869     268,276  
  Kinross Gold Corp. (I)     86,087     284,087  
  Lonmin PLC (I)     68,967     206,791  
  Maruichi Steel Tube, Ltd.     3,500     85,948  
  Neturen Company, Ltd.     6,300     46,661  
  Northern Dynasty Minerals, Ltd. (I)     16,000     9,143  
  Reliance Steel & Aluminum Company     1,300     88,920  
  Resolute Mining, Ltd. (I)     262,027     101,423  
  Salzgitter AG     6,820     233,987  
  Tokyo Steel Manufacturing Company, Ltd.     22,700     119,809  
  Yamato Kogyo Company, Ltd.     7,400     247,004  
  Yodogawa Steel Works, Ltd.     12,000     49,123  
  Paper & Forest Products 1.4%  
  International Paper Company     65,070     3,106,442  
  Norbord, Inc.     18,600     381,317  
  Telecommunication Services 3.6%     9,249,424  
  Diversified Telecommunication Services 3.1%  
  KT Corp.     9,788     318,896  
  Magyar Telekom Telecommunications PLC (I)     109,264     160,529  
  Nippon Telegraph & Telephone Corp.     42,900     2,660,413  
  Orange SA     22,209     331,416  
  Telefonica SA     27,832     429,843  
  Telenor ASA     67,748     1,486,898  
  Verizon Communications, Inc.     11,075     554,427  
  Verizon Communications, Inc.     41,770     2,088,082  
  Wireless Telecommunication Services 0.5%  
  NTT DOCOMO, Inc.     48,200     807,264  
  Vodafone Group PLC     124,925     411,656  
  Utilities 3.0%     7,626,283  
  Electric Utilities 1.0%  
  Edison International     14,970     837,122  
  NRG Yield, Inc., Class A     6,800     319,940  
  The Southern Company     10,700     467,055  
  Xcel Energy, Inc.     33,260     1,011,104  
  Gas Utilities 0.8%  
  UGI Corp.     57,271     1,952,368  
  Independent Power and Renewable Electricity Producers 0.3%  
  NTPC, Ltd.     56,373     126,585  
  Pattern Energy Group, Inc.     22,800     704,976  

10SEE NOTES TO FINANCIAL STATEMENTS

                                                           
        Shares     Value  
  Utilities (continued)        
  Multi-Utilities 0.9%  
  E.ON SE     15,249     $278,472  
  GDF Suez     20,843     522,752  
  National Grid PLC     56,801     816,508  
  PG&E Corp.     6,600     297,264  
  RWE AG     7,506     292,137  
  Preferred Securities 0.5%     $1,229,036  
  (Cost $168,846)  
  Consumer Discretionary 0.5%     1,229,036  
  Auto Components 0.5%  
  Mobileye (I)     24,190     1,229,036  
        Rate (%)     Maturitydate     Par value^     Value  
  Corporate Bonds 13.8%     $35,370,155  
  (Cost $36,346,368)  
  Consumer Discretionary 2.7%     6,864,991  
  Automobiles 0.2%  
  Chrysler Group LLC     8.250     06-15-21           230,000     250,700  
  General Motors Company     4.875     10-02-23           160,000     169,200  
  General Motors Company     6.250     10-02-43           20,000     $23,400  
  Diversified Consumer Services 0.2%  
  Service Corp. International     7.625     10-01-18           125,000     141,250  
  The ServiceMaster Company     7.000     08-15-20           321,000     333,840  
  Hotels, Restaurants & Leisure 0.2%  
  CEC Entertainment, Inc. (S)     8.000     02-15-22           130,000     121,550  
  NH Hotel Group SA (S)     6.875     11-15-19     EUR     235,000     318,247  
  PC Nextco Holdings LLC     8.750     08-15-19           150,000     150,750  
  Household Durables 0.3%  
  K Hovnanian Enterprises, Inc. (S)     7.000     01-15-19           25,000     24,500  
  K Hovnanian Enterprises, Inc. (S)     9.125     11-15-20           125,000     135,313  
  KB Home     7.000     12-15-21           375,000     390,938  
  Lennar Corp.     4.750     11-15-22           125,000     120,938  
  Leisure Products 0.1%  
  Carlson Wagonlit BV     7.500     06-15-19     EUR     200,000     269,030  

SEE NOTES TO FINANCIAL STATEMENTS11

                                                           
        Rate (%)     Maturitydate     Par value^     Value  
  Consumer Discretionary (continued)        
  Media 1.4%  
  AMC Entertainment, Inc.     9.750     12-01-20           185,000     $203,731  
  CCO Holdings LLC     5.125     02-15-23           5,000     4,800  
  CCO Holdings LLC     5.250     09-30-22           5,000     4,894  
  CCO Holdings LLC     5.750     09-01-23           35,000     34,825  
  CCO Holdings LLC     7.375     06-01-20           255,000     269,663  
  Cequel Communications Holdings I LLC (S)     5.125     12-15-21           210,000     201,075  
  DISH DBS Corp.     6.750     06-01-21           170,000     182,750  
  DISH DBS Corp.     7.875     09-01-19           440,000     497,200  
  Gannett Company, Inc. (S)     4.875     09-15-21           100,000     96,750  
  Gannett Company, Inc. (S)     5.125     10-15-19           380,000     383,800  
  Gannett Company, Inc. (S)     5.500     09-15-24           20,000     19,700  
  Getty Images, Inc. (S)