UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
|
|
Date of reporting period: | December 31, 2010 |
Item 1. Reports to Stockholders
Fidelity® VIP
Investment Grade Central Fund
Annual Report
December 31, 2010
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
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Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
VIGC-ANN-0211
1.831202.104
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. Performance numbers are net of all underlying fund operating expenses, but do not include any insurance charges imposed by your insurance company's separate account. If performance information included the effect of these additional charges, the total returns would have been lower. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended December 31, 2010 | Past 1 | Life of |
Fidelity® VIP Investment Grade Central Fund | 8.12% | 7.02% |
A From June 23, 2006
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® VIP Investment Grade Central Fund on June 23, 2006, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Barclays Capital® U.S. Aggregate Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: While market improvements around the world hit a speed bump in the first half of the 12-month period ending December 31, 2010, world economies re-accelerated in August, supported by a broadening recovery and low inflation in the U.S. Domestic stock markets recorded solid gains for the year, lifted by a strong second-half rally fueled by economic optimism, encouraging earnings reports and a wave of corporate mergers. The large-cap S&P 500® Index rose 15.06%, the blue-chip-laden Dow Jones Industrial AverageSM added 14.06% and the technology-heavy Nasdaq Composite® Index climbed 18.02%. Meanwhile, international stocks, as represented by the MSCI® ACWI® (All Country World Index) ex USA Index, gained 11.29%, boosted in part by a depreciating U.S. dollar. In the fixed-income arena, U.S. taxable investment-grade bonds generated positive results during 2010, as the Barclays Capital® U.S. Aggregate Bond Index gained 6.54%. With ultra-low interest rates bolstering nearly all fixed-income securities for most of the year, sectors in the index with higher yields and more credit risk generally fared best, while most high-quality bonds generated more-moderate returns. Meanwhile, high-yield bonds, as represented by The BofA Merrill LynchSM US High Yield Constrained Index, returned 15.07%, a result of improved economic data and strengthening investor demand. Overseas, foreign bond markets showed mixed results, with a sizable disparity between the 3.97% return of the Citigroup® Non-U.S. Group of 7 Index - which measures the performance of sovereign debt of the major global economies outside the U.S. - and the 12.04% advance of the JPMorgan Emerging Markets Bond Index Global (EMBI Global), which benefited from the rising overall credit quality of emerging-markets debt issuers.
Comments from Ford O'Neil, Portfolio Manager of Fidelity® VIP Investment Grade Central Fund: For the year, the fund returned 8.12%, outpacing the Barclays Capital® U.S. Aggregate Bond Index. Sector selection was a key factor behind the fund's outperformance. Specifically, significant overweightings in higher-yielding, riskier segments of the investment-grade bond market - most notably corporate bonds and commercial mortgage-backed securities (CMBS) - bolstered relative performance, as these sectors significantly outpaced the index. A corresponding underweighting in lagging U.S. government bonds also helped, as did an out-of-index stake in Treasury Inflation-Protected Securities (TIPS). Advantageous security selection further boosted results, particularly among corporates and government-agency-backed mortgage securities. Within the corporate sector, an overweighting in bonds issued by financial companies - led by real estate investment trusts (REITS) - helped lift the fund's performance, as the area was a standout during the year. Among mortgages, a focus on securities with some measure of protection against prepayment - including those backed by older loans, low-balance loans, 15-year mortgages and hybrid adjustable-rate mortgages - proved beneficial. Detracting from results was exposure to European corporate bonds, which faltered in response to the continent's debt woes.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2010 to December 31, 2010).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized | Beginning | Ending | Expenses Paid |
Actual | .0027% | $ 1,000.00 | $ 1,021.50 | $ .01 |
Hypothetical (5% return per year before expenses) |
| $ 1,000.00 | $ 1,025.19 | $ .01 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annual Report
Investment Changes (Unaudited)
Quality Diversification (% of fund's net assets) | |||||||
As of December 31, 2010 | As of June 30, 2010 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 8.2% |
| ![]() | AAA 7.7% |
| ||
![]() | AA 2.3% |
| ![]() | AA 3.3% |
| ||
![]() | A 7.9% |
| ![]() | A 8.2% |
| ||
![]() | BBB 13.5% |
| ![]() | BBB 12.8% |
| ||
![]() | BB and Below 3.2% |
| ![]() | BB and Below 2.3% |
| ||
![]() | Not Rated 0.1% |
| ![]() | Not Rated 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent changes. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of December 31, 2010 | ||
|
| 6 months ago |
Years | 6.2 | 6.2 |
This is a weighted average of all the maturities of the securities held in a fund. WAM can be used as a measure of sensitivity to interest rate changes and markets changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of December 31, 2010 | ||
|
| 6 months ago |
Years | 4.7 | 3.9 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of December 31, 2010 * | As of June 30, 2010 ** | ||||||
![]() | Corporate Bonds 23.9% |
| ![]() | Corporate Bonds 23.5% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and |
| ![]() | CMOs and |
| ||
![]() | Municipal Bonds 0.3% |
| ![]() | Municipal Bonds 0.3% |
| ||
![]() | Other Investments 0.2% |
| ![]() | Other Investments 0.0% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 3.2% |
| **Foreign investments | 4.3% |
| ||
* Futures and Swaps | 2.4% |
| **Futures and Swaps | 2.3% |
|
*** Short-Term Investments and Net Other Assets are not included in the pie chart. |
† Includes FDIC Guaranteed Corporate Securities |
Annual Report
Investments December 31, 2010
Showing Percentage of Net Assets
Nonconvertible Bonds - 23.9% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 2.0% | ||||
Household Durables - 0.2% | ||||
Fortune Brands, Inc.: | ||||
5.375% 1/15/16 | $ 2,100,000 | $ 2,171,705 | ||
5.875% 1/15/36 | 5,329,000 | 4,670,789 | ||
| 6,842,494 | |||
Media - 1.8% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 1,625,000 | 1,975,485 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 2,975,000 | 3,205,286 | ||
5.5% 3/15/11 | 2,675,000 | 2,701,108 | ||
5.7% 5/15/18 | 2,400,000 | 2,641,262 | ||
6.4% 3/1/40 | 2,884,000 | 3,091,259 | ||
6.45% 3/15/37 | 1,410,000 | 1,506,536 | ||
COX Communications, Inc. 4.625% 6/1/13 | 3,475,000 | 3,718,764 | ||
Discovery Communications LLC: | ||||
3.7% 6/1/15 | 2,648,000 | 2,741,572 | ||
6.35% 6/1/40 | 2,421,000 | 2,614,876 | ||
NBC Universal, Inc.: | ||||
3.65% 4/30/15 (c) | 1,200,000 | 1,230,834 | ||
5.15% 4/30/20 (c) | 3,234,000 | 3,352,442 | ||
6.4% 4/30/40 (c) | 3,340,000 | 3,546,960 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 1,905,000 | 2,264,068 | ||
News America, Inc.: | ||||
6.15% 3/1/37 | 1,745,000 | 1,819,307 | ||
6.2% 12/15/34 | 5,840,000 | 6,131,912 | ||
Time Warner Cable, Inc.: | ||||
5.85% 5/1/17 | 2,467,000 | 2,752,674 | ||
6.2% 7/1/13 | 7,000,000 | 7,774,424 | ||
6.75% 7/1/18 | 4,425,000 | 5,158,130 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 5,514,000 | 6,223,746 | ||
6.5% 11/15/36 | 2,337,000 | 2,554,208 | ||
Viacom, Inc.: | ||||
6.125% 10/5/17 | 1,312,000 | 1,480,120 | ||
6.75% 10/5/37 | 935,000 | 1,057,487 | ||
| 69,542,460 | |||
TOTAL CONSUMER DISCRETIONARY | 76,384,954 | |||
CONSUMER STAPLES - 1.3% | ||||
Beverages - 0.3% | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||
7.2% 1/15/14 (c) | 3,000,000 | 3,430,785 | ||
7.75% 1/15/19 (c) | 3,200,000 | 3,981,914 | ||
Diageo Capital PLC 5.2% 1/30/13 | 1,705,000 | 1,838,686 | ||
| ||||
| Principal Amount | Value | ||
FBG Finance Ltd. 5.125% 6/15/15 (c) | $ 2,185,000 | $ 2,318,746 | ||
| 11,570,131 | |||
Food & Staples Retailing - 0.1% | ||||
CVS Caremark Corp. 6.302% 6/1/37 (j) | 3,037,000 | 2,926,909 | ||
Food Products - 0.5% | ||||
General Mills, Inc. 5.2% 3/17/15 | 3,528,000 | 3,894,810 | ||
Kraft Foods, Inc.: | ||||
5.375% 2/10/20 | 4,086,000 | 4,397,635 | ||
6.125% 2/1/18 | 3,684,000 | 4,208,215 | ||
6.5% 8/11/17 | 3,514,000 | 4,090,549 | ||
| 16,591,209 | |||
Tobacco - 0.4% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 4,450,000 | 5,870,556 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 2,904,000 | 3,143,731 | ||
5.65% 5/16/18 | 2,751,000 | 3,101,543 | ||
Reynolds American, Inc. 7.25% 6/15/37 | 3,085,000 | 3,207,576 | ||
| 15,323,406 | |||
TOTAL CONSUMER STAPLES | 46,411,655 | |||
ENERGY - 2.7% | ||||
Energy Equipment & Services - 0.2% | ||||
DCP Midstream LLC 5.35% 3/15/20 (c) | 3,724,000 | 3,859,688 | ||
El Paso Pipeline Partners Operating Co. LLC 4.1% 11/15/15 | 3,902,000 | 3,862,695 | ||
| 7,722,383 | |||
Oil, Gas & Consumable Fuels - 2.5% | ||||
Anadarko Petroleum Corp. 6.375% 9/15/17 | 3,512,000 | 3,825,646 | ||
Apache Corp. 5.1% 9/1/40 | 3,242,000 | 3,150,047 | ||
Canadian Natural Resources Ltd. 5.7% 5/15/17 | 5,685,000 | 6,481,810 | ||
ConocoPhillips 5.75% 2/1/19 | 3,900,000 | 4,444,495 | ||
Devon Financing Corp. U.L.C. 6.875% 9/30/11 | 3,000,000 | 3,134,124 | ||
Duke Capital LLC 6.25% 2/15/13 | 855,000 | 927,249 | ||
Duke Energy Field Services 6.45% 11/3/36 (c) | 2,477,000 | 2,571,943 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 3,330,000 | 3,571,885 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 320,000 | 356,364 | ||
Kaneb Pipe Line Operations Participation LP 7.75% 2/15/12 | 4,200,000 | 4,455,263 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (c) | 1,496,000 | 1,678,080 | ||
6.85% 1/15/40 (c) | 5,616,000 | 6,527,213 | ||
Nakilat, Inc. 6.067% 12/31/33 (c) | 1,808,000 | 1,898,400 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Nexen, Inc.: | ||||
5.875% 3/10/35 | $ 5,405,000 | $ 5,025,764 | ||
6.4% 5/15/37 | 2,125,000 | 2,058,874 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (c) | 1,980,000 | 2,137,034 | ||
Pemex Project Funding Master Trust 0.9034% 12/3/12 (c)(j) | 410,000 | 407,335 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 1,480,000 | 1,681,523 | ||
6.8% 5/15/38 | 3,485,000 | 3,969,781 | ||
Petrobras International Finance | ||||
5.75% 1/20/20 | 2,320,000 | 2,407,158 | ||
6.875% 1/20/40 | 6,213,000 | 6,461,520 | ||
7.875% 3/15/19 | 4,277,000 | 5,056,141 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.95% 9/15/15 | 2,158,000 | 2,229,814 | ||
6.125% 1/15/17 | 1,250,000 | 1,372,470 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (c) | 2,009,000 | 2,109,558 | ||
5.5% 9/30/14 (c) | 2,808,000 | 3,024,238 | ||
5.832% 9/30/16 (c) | 2,118,975 | 2,277,898 | ||
6.332% 9/30/27 (c) | 2,415,000 | 2,549,322 | ||
6.75% 9/30/19 (c) | 1,838,000 | 2,131,972 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 4,665,000 | 5,363,742 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 615,000 | 707,226 | ||
| 93,993,889 | |||
TOTAL ENERGY | 101,716,272 | |||
FINANCIALS - 12.4% | ||||
Capital Markets - 2.6% | ||||
Bear Stearns Companies, Inc.: | ||||
5.3% 10/30/15 | 4,375,000 | 4,747,654 | ||
6.95% 8/10/12 | 2,070,000 | 2,258,362 | ||
BlackRock, Inc. 6.25% 9/15/17 | 1,507,000 | 1,696,419 | ||
Goldman Sachs Group, Inc.: | ||||
3.7% 8/1/15 | 5,186,000 | 5,284,078 | ||
5.625% 1/15/17 | 3,000,000 | 3,172,314 | ||
5.95% 1/18/18 | 755,000 | 819,087 | ||
6.15% 4/1/18 | 5,954,000 | 6,556,503 | ||
6.75% 10/1/37 | 3,421,000 | 3,497,617 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (b) | 2,071,000 | 2,115,342 | ||
6.5% 6/15/12 | 6,054,000 | 6,547,637 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 3,090,000 | 3,108,438 | ||
| ||||
| Principal Amount | Value | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | $ 6,975,000 | $ 7,191,860 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,241,000 | 3,390,481 | ||
7.125% 5/15/15 | 5,585,000 | 6,013,906 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 1,820,000 | 1,919,725 | ||
6.4% 8/28/17 | 1,989,000 | 2,102,912 | ||
6.875% 4/25/18 | 1,676,000 | 1,834,144 | ||
Morgan Stanley: | ||||
4% 7/24/15 | 11,995,000 | 12,057,194 | ||
4.75% 4/1/14 | 1,500,000 | 1,536,041 | ||
5.95% 12/28/17 | 2,100,000 | 2,221,884 | ||
6% 5/13/14 | 3,380,000 | 3,652,022 | ||
6.625% 4/1/18 | 10,165,000 | 11,026,677 | ||
7.3% 5/13/19 | 3,590,000 | 4,041,040 | ||
UBS AG Stamford Branch 5.75% 4/25/18 | 1,220,000 | 1,325,812 | ||
| 98,117,149 | |||
Commercial Banks - 2.3% | ||||
Bank of America NA 5.3% 3/15/17 | 6,480,000 | 6,567,046 | ||
Credit Suisse (Guernsey) Ltd. 5.86% (j) | 4,785,000 | 4,521,825 | ||
Credit Suisse New York Branch 6% 2/15/18 | 6,110,000 | 6,551,716 | ||
DBS Bank Ltd. (Singapore) 0.5044% 5/16/17 (c)(j) | 280,110 | 273,725 | ||
Discover Bank: | ||||
7% 4/15/20 | 1,891,000 | 2,032,904 | ||
8.7% 11/18/19 | 6,339,000 | 7,461,726 | ||
Export-Import Bank of Korea 5.5% 10/17/12 | 6,570,000 | 6,954,246 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 1,179,000 | 1,136,262 | ||
8.25% 3/1/38 | 4,319,000 | 4,970,517 | ||
Fifth Third Bank 4.75% 2/1/15 | 487,000 | 505,070 | ||
Fifth Third Capital Trust IV 6.5% 4/15/67 (j) | 1,585,000 | 1,505,750 | ||
HBOS PLC 6.75% 5/21/18 (c) | 2,600,000 | 2,434,487 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 1,004,000 | 1,057,104 | ||
KeyBank NA: | ||||
5.8% 7/1/14 | 2,049,000 | 2,195,526 | ||
6.95% 2/1/28 | 800,000 | 814,176 | ||
KeyBank NA, Cleveland 5.45% 3/3/16 | 1,618,000 | 1,702,704 | ||
Korea Development Bank 5.3% 1/17/13 | 3,805,000 | 4,028,411 | ||
Manufacturers & Traders Trust Co. 1.79% 4/1/13 (j) | 269,000 | 265,788 | ||
Marshall & Ilsley Bank: | ||||
4.85% 6/16/15 | 1,796,000 | 1,824,759 | ||
5% 1/17/17 | 2,497,000 | 2,533,761 | ||
5.25% 9/4/12 | 1,200,000 | 1,236,642 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
PNC Funding Corp. 3.625% 2/8/15 | $ 1,165,000 | $ 1,204,556 | ||
Regions Bank: | ||||
6.45% 6/26/37 | 3,952,000 | 3,512,340 | ||
7.5% 5/15/18 | 2,383,000 | 2,454,490 | ||
Regions Financial Corp.: | ||||
5.75% 6/15/15 | 814,000 | 796,703 | ||
7.75% 11/10/14 | 2,367,000 | 2,461,680 | ||
SouthTrust Corp. 5.8% 6/15/14 | 1,440,000 | 1,558,660 | ||
Wachovia Bank NA 4.875% 2/1/15 | 4,405,000 | 4,671,313 | ||
Wachovia Corp. 4.875% 2/15/14 | 785,000 | 826,669 | ||
Wells Fargo & Co.: | ||||
3.625% 4/15/15 | 4,064,000 | 4,214,136 | ||
3.75% 10/1/14 | 3,750,000 | 3,914,569 | ||
| 86,189,261 | |||
Consumer Finance - 0.7% | ||||
Capital One Financial Corp. 5.7% 9/15/11 | 1,991,000 | 2,055,321 | ||
General Electric Capital Corp.: | ||||
2.25% 11/9/15 | 2,597,000 | 2,496,639 | ||
3.5% 6/29/15 | 1,573,000 | 1,600,559 | ||
5.625% 9/15/17 | 2,420,000 | 2,653,530 | ||
5.625% 5/1/18 | 9,700,000 | 10,577,986 | ||
5.875% 1/14/38 | 3,600,000 | 3,736,976 | ||
6.375% 11/15/67 (j) | 4,000,000 | 3,960,000 | ||
| 27,081,011 | |||
Diversified Financial Services - 1.9% | ||||
Bank of America Corp. 5.75% 12/1/17 | 12,165,000 | 12,659,215 | ||
BP Capital Markets PLC 3.125% 10/1/15 | 3,694,000 | 3,691,462 | ||
Capital One Capital V 10.25% 8/15/39 | 1,378,000 | 1,474,460 | ||
Citigroup, Inc.: | ||||
4.75% 5/19/15 | 10,152,000 | 10,630,129 | ||
5.375% 8/9/20 | 3,993,000 | 4,148,755 | ||
5.5% 4/11/13 | 1,390,000 | 1,480,114 | ||
6.125% 5/15/18 | 6,240,000 | 6,836,088 | ||
6.5% 8/19/13 | 8,073,000 | 8,864,630 | ||
JPMorgan Chase & Co. 6.3% 4/23/19 | 3,920,000 | 4,461,960 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (c) | 3,375,000 | 3,263,164 | ||
5.35% 4/15/12 (c) | 1,700,000 | 1,733,142 | ||
5.5% 1/15/14 (c) | 2,405,000 | 2,386,424 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 1,075,000 | 1,096,132 | ||
5.15% 3/15/20 | 1,545,000 | 1,601,803 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (c)(j) | 3,716,000 | 3,655,615 | ||
| ||||
| Principal Amount | Value | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(j) | $ 500,000 | $ 487,875 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (c)(j) | 1,016,000 | 990,600 | ||
| 69,461,568 | |||
Insurance - 1.8% | ||||
Allstate Corp. 6.2% 5/16/14 | 2,709,000 | 3,063,624 | ||
American International Group, Inc. 8.175% 5/15/68 (j) | 3,075,000 | 3,274,288 | ||
Aon Corp.: | ||||
3.5% 9/30/15 | 1,538,000 | 1,538,758 | ||
5% 9/30/20 | 1,792,000 | 1,808,667 | ||
6.25% 9/30/40 | 1,150,000 | 1,182,175 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 420,000 | 446,612 | ||
Lincoln National Corp. 7% 5/17/66 (j) | 4,799,000 | 4,679,025 | ||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (c) | 1,455,000 | 1,947,411 | ||
MetLife, Inc.: | ||||
2.375% 2/6/14 | 2,161,000 | 2,171,256 | ||
4.75% 2/8/21 | 1,477,000 | 1,508,051 | ||
5.875% 2/6/41 | 1,140,000 | 1,201,934 | ||
6.75% 6/1/16 | 3,234,000 | 3,736,928 | ||
Metropolitan Life Global Funding I 5.125% 6/10/14 (c) | 2,884,000 | 3,137,059 | ||
New York Life Global Funding 4.65% 5/9/13 (c) | 6,045,000 | 6,500,636 | ||
New York Life Insurance Co. 6.75% 11/15/39 (c) | 1,348,000 | 1,589,424 | ||
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (c) | 2,060,000 | 2,275,361 | ||
Pacific Life Global Funding 5.15% 4/15/13 (c) | 3,690,000 | 3,944,924 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (c) | 2,297,000 | 2,985,030 | ||
Pacific LifeCorp 6% 2/10/20 (c) | 2,514,000 | 2,642,201 | ||
Prudential Financial, Inc.: | ||||
7.375% 6/15/19 | 1,250,000 | 1,473,799 | ||
8.875% 6/15/38 (j) | 4,682,000 | 5,442,825 | ||
Symetra Financial Corp. 6.125% 4/1/16 (c) | 6,355,000 | 6,409,253 | ||
The Chubb Corp. 5.75% 5/15/18 | 1,895,000 | 2,105,476 | ||
Unum Group 5.625% 9/15/20 | 2,099,000 | 2,106,896 | ||
| 67,171,613 | |||
Real Estate Investment Trusts - 0.8% | ||||
AvalonBay Communities, Inc. 5.5% 1/15/12 | 508,000 | 528,709 | ||
Camden Property Trust 5.375% 12/15/13 | 2,985,000 | 3,197,941 | ||
Developers Diversified Realty Corp.: | ||||
5.25% 4/15/11 | 2,713,000 | 2,737,425 | ||
5.375% 10/15/12 | 1,252,000 | 1,288,114 | ||
7.5% 4/1/17 | 1,944,000 | 2,171,625 | ||
Duke Realty LP 4.625% 5/15/13 | 1,047,000 | 1,089,510 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Equity One, Inc. 6% 9/15/17 | $ 2,405,000 | $ 2,385,709 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 1,401,000 | 1,508,532 | ||
5.9% 4/1/20 | 1,046,000 | 1,109,301 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 670,000 | 697,630 | ||
6.25% 6/15/17 | 4,455,000 | 4,557,478 | ||
UDR, Inc. 5.5% 4/1/14 | 3,685,000 | 3,917,009 | ||
United Dominion Realty Trust, Inc. 5.25% 1/15/15 | 904,000 | 950,573 | ||
Washington (REIT) 5.95% 6/15/11 | 3,042,000 | 3,096,318 | ||
| 29,235,874 | |||
Real Estate Management & Development - 1.9% | ||||
AMB Property LP 5.9% 8/15/13 | 2,575,000 | 2,735,600 | ||
BioMed Realty LP 6.125% 4/15/20 (c) | 1,392,000 | 1,469,770 | ||
Brandywine Operating Partnership LP: | ||||
5.7% 5/1/17 | 5,000,000 | 4,987,380 | ||
5.75% 4/1/12 | 1,376,000 | 1,424,841 | ||
Colonial Properties Trust: | ||||
4.8% 4/1/11 | 273,000 | 273,634 | ||
5.5% 10/1/15 | 6,290,000 | 6,277,760 | ||
Digital Realty Trust LP 4.5% 7/15/15 (c) | 1,829,000 | 1,840,265 | ||
Duke Realty LP: | ||||
5.4% 8/15/14 | 2,242,000 | 2,363,077 | ||
5.5% 3/1/16 | 1,270,000 | 1,321,834 | ||
5.625% 8/15/11 | 3,781,000 | 3,859,252 | ||
5.95% 2/15/17 | 928,000 | 966,491 | ||
6.25% 5/15/13 | 2,913,000 | 3,133,770 | ||
6.5% 1/15/18 | 2,445,000 | 2,608,915 | ||
ERP Operating LP: | ||||
4.75% 7/15/20 | 2,827,000 | 2,849,203 | ||
5.375% 8/1/16 | 1,066,000 | 1,165,524 | ||
5.5% 10/1/12 | 3,560,000 | 3,801,578 | ||
5.75% 6/15/17 | 4,365,000 | 4,782,665 | ||
Liberty Property LP: | ||||
4.75% 10/1/20 | 4,185,000 | 4,141,271 | ||
5.5% 12/15/16 | 2,290,000 | 2,479,230 | ||
6.625% 10/1/17 | 2,673,000 | 3,028,156 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 2,679,000 | 2,879,427 | ||
Reckson Operating Partnership LP: | ||||
5.15% 1/15/11 | 810,000 | 810,394 | ||
6% 3/31/16 | 3,099,000 | 3,192,339 | ||
Regency Centers LP: | ||||
5.875% 6/15/17 | 1,827,000 | 1,948,139 | ||
6.75% 1/15/12 | 2,035,000 | 2,110,851 | ||
Simon Property Group LP: | ||||
4.2% 2/1/15 | 1,523,000 | 1,592,494 | ||
| ||||
| Principal Amount | Value | ||
5.1% 6/15/15 | $ 2,220,000 | $ 2,409,590 | ||
Tanger Properties LP: | ||||
6.125% 6/1/20 | 1,657,000 | 1,778,677 | ||
6.15% 11/15/15 | 349,000 | 378,626 | ||
| 72,610,753 | |||
Thrifts & Mortgage Finance - 0.4% | ||||
Bank of America Corp.: | ||||
3.7% 9/1/15 | 185,000 | 183,403 | ||
5.65% 5/1/18 | 4,438,000 | 4,534,624 | ||
6.5% 8/1/16 | 3,000,000 | 3,255,279 | ||
First Niagara Financial Group, Inc. 6.75% 3/19/20 | 3,095,000 | 3,223,015 | ||
Independence Community Bank Corp. 2.11% 4/1/14 (j) | 4,690,000 | 4,689,934 | ||
| 15,886,255 | |||
TOTAL FINANCIALS | 465,753,484 | |||
HEALTH CARE - 0.2% | ||||
Health Care Providers & Services - 0.2% | ||||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 3,016,000 | 3,183,252 | ||
6.25% 6/15/14 | 1,108,000 | 1,238,702 | ||
Medco Health Solutions, Inc. 4.125% 9/15/20 | 2,723,000 | 2,632,950 | ||
| 7,054,904 | |||
INDUSTRIALS - 0.6% | ||||
Airlines - 0.4% | ||||
American Airlines, Inc. pass-thru trust certificates 6.978% 10/1/12 | 58,599 | 58,892 | ||
Continental Airlines, Inc.: | ||||
6.648% 3/15/19 | 1,468,210 | 1,534,279 | ||
6.795% 2/2/20 | 2,733,498 | 2,760,833 | ||
Delta Air Lines, Inc. pass-thru trust certificates 6.821% 8/10/22 | 2,486,428 | 2,672,911 | ||
Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19 | 2,877,094 | 3,020,949 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 1,290,625 | 1,290,625 | ||
8.36% 7/20/20 | 4,631,669 | 4,724,303 | ||
| 16,062,792 | |||
Industrial Conglomerates - 0.2% | ||||
General Electric Co. 5.25% 12/6/17 | 7,130,000 | 7,701,070 | ||
TOTAL INDUSTRIALS | 23,763,862 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
MATERIALS - 0.6% | ||||
Chemicals - 0.3% | ||||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | $ 3,520,000 | $ 3,710,710 | ||
7.6% 5/15/14 | 7,213,000 | 8,319,388 | ||
| 12,030,098 | |||
Metals & Mining - 0.3% | ||||
Anglo American Capital PLC: | ||||
4.45% 9/27/20 (c) | 935,000 | 949,495 | ||
9.375% 4/8/14 (c) | 2,675,000 | 3,220,630 | ||
Corporacion Nacional del Cobre (Codelco) 3.75% 11/4/20 (c) | 1,206,000 | 1,148,272 | ||
United States Steel Corp. 6.65% 6/1/37 | 1,771,000 | 1,487,640 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 3,115,000 | 3,473,552 | ||
| 10,279,589 | |||
TOTAL MATERIALS | 22,309,687 | |||
TELECOMMUNICATION SERVICES - 1.5% | ||||
Diversified Telecommunication Services - 1.0% | ||||
AT&T, Inc.: | ||||
6.3% 1/15/38 | 364,000 | 384,001 | ||
6.8% 5/15/36 | 10,939,000 | 12,115,096 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 526,000 | 633,756 | ||
CenturyLink, Inc. 7.6% 9/15/39 | 2,898,000 | 2,920,886 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 5,000,000 | 4,375,000 | ||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | 2,000,000 | 2,049,086 | ||
5.25% 10/1/15 | 192,000 | 196,581 | ||
6.999% 6/4/18 | 3,792,000 | 4,015,072 | ||
7.2% 7/18/36 | 3,523,000 | 3,308,315 | ||
Telefonica Emisiones SAU 5.855% 2/4/13 | 1,438,000 | 1,535,335 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 2,190,000 | 2,487,669 | ||
6.25% 4/1/37 | 1,380,000 | 1,472,539 | ||
6.9% 4/15/38 | 2,420,000 | 2,822,574 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 1,095,000 | 1,168,092 | ||
| 39,484,002 | |||
Wireless Telecommunication Services - 0.5% | ||||
AT&T Wireless Services, Inc. 8.125% 5/1/12 | 1,130,000 | 1,234,394 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: | ||||
4.75% 10/1/14 | 3,759,000 | 4,006,184 | ||
5.875% 10/1/19 | 4,711,000 | 5,120,117 | ||
6.35% 3/15/40 | 1,471,000 | 1,547,448 | ||
| ||||
| Principal Amount | Value | ||
Sprint Nextel Corp. 6% 12/1/16 | $ 2,260,000 | $ 2,183,725 | ||
Vodafone Group PLC 5% 12/16/13 | 2,775,000 | 3,020,821 | ||
| 17,112,689 | |||
TOTAL TELECOMMUNICATION SERVICES | 56,596,691 | |||
UTILITIES - 2.6% | ||||
Electric Utilities - 1.3% | ||||
Alabama Power Co. 3.375% 10/1/20 | 2,167,000 | 2,049,650 | ||
Ameren Illinois Co. 6.125% 11/15/17 | 1,465,000 | 1,631,234 | ||
AmerenUE 6.4% 6/15/17 | 3,819,000 | 4,322,780 | ||
Commonwealth Edison Co. 5.4% 12/15/11 | 1,925,000 | 2,007,804 | ||
Duquesne Light Holdings, Inc. 6.4% 9/15/20 (c) | 5,907,000 | 5,863,028 | ||
Edison International 3.75% 9/15/17 | 2,401,000 | 2,384,049 | ||
EDP Finance BV: | ||||
4.9% 10/1/19 (c) | 1,100,000 | 937,681 | ||
6% 2/2/18 (c) | 1,864,000 | 1,742,236 | ||
FirstEnergy Corp. 7.375% 11/15/31 | 2,361,000 | 2,488,879 | ||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 | 990,000 | 1,039,583 | ||
6.05% 8/15/21 | 3,013,000 | 3,095,158 | ||
Kentucky Utilities Co.: | ||||
3.25% 11/1/20 (c) | 284,000 | 267,868 | ||
5.125% 11/1/40 (c) | 2,032,000 | 1,993,479 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 (c) | 2,670,000 | 2,561,382 | ||
3.75% 11/15/20 (c) | 525,000 | 499,816 | ||
Louisville Gas & Electric Co. 5.125% 11/15/40 (c) | 610,000 | 599,338 | ||
Nevada Power Co. 6.5% 5/15/18 | 3,165,000 | 3,642,611 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 2,905,000 | 3,143,422 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 2,535,000 | 2,470,776 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (j) | 382,000 | 374,360 | ||
Progress Energy, Inc.: | ||||
5.625% 1/15/16 | 2,000,000 | 2,240,234 | ||
7.1% 3/1/11 | 3,932,000 | 3,971,996 | ||
Tampa Electric Co. 5.4% 5/15/21 (c) | 1,329,000 | 1,426,764 | ||
| 50,754,128 | |||
Independent Power Producers & Energy Traders - 0.3% | ||||
Exelon Generation Co. LLC 6.2% 10/1/17 | 6,685,000 | 7,481,685 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - continued | ||||
PPL Energy Supply LLC: | ||||
6.2% 5/15/16 | $ 1,229,000 | $ 1,353,192 | ||
6.5% 5/1/18 | 2,640,000 | 2,939,431 | ||
| 11,774,308 | |||
Multi-Utilities - 1.0% | ||||
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 | 1,395,000 | 1,483,948 | ||
Dominion Resources, Inc.: | ||||
6.25% 6/30/12 | 1,938,000 | 2,082,679 | ||
6.3% 9/30/66 (j) | 9,626,000 | 9,385,350 | ||
DTE Energy Co. 7.05% 6/1/11 | 3,500,000 | 3,588,092 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.875% 10/1/12 | 2,880,000 | 3,107,413 | ||
6.5% 9/15/37 | 1,334,000 | 1,509,041 | ||
National Grid PLC 6.3% 8/1/16 | 4,181,000 | 4,773,188 | ||
NiSource Finance Corp.: | ||||
5.4% 7/15/14 | 3,885,000 | 4,260,439 | ||
5.45% 9/15/20 | 613,000 | 631,699 | ||
6.25% 12/15/40 | 837,000 | 850,876 | ||
6.4% 3/15/18 | 2,760,000 | 3,059,609 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (j) | 1,738,000 | 1,711,930 | ||
| 36,444,264 | |||
TOTAL UTILITIES | 98,972,700 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $841,335,019) | 898,964,209 | |||
U.S. Government and Government Agency Obligations - 31.9% | ||||
| ||||
U.S. Government Agency Obligations - 2.1% | ||||
Fannie Mae: | ||||
0.375% 12/28/12 | 5,510,000 | 5,475,028 | ||
0.5% 10/30/12 | 5,199,000 | 5,185,254 | ||
0.75% 12/18/13 | 2,443,000 | 2,415,712 | ||
1% 4/4/12 | 10,285,000 | 10,352,500 | ||
1% 9/23/13 | 1,480,000 | 1,477,761 | ||
1.25% 8/20/13 | 2,517,000 | 2,533,446 | ||
1.75% 2/22/13 | 20,000,000 | 20,422,300 | ||
2.5% 5/15/14 | 1,734,000 | 1,799,051 | ||
2.75% 3/13/14 | 1,840,000 | 1,923,192 | ||
5% 2/16/12 | 2,860,000 | 3,003,918 | ||
Federal Home Loan Bank: | ||||
0.875% 12/27/13 | 250,000 | 247,808 | ||
1.625% 11/21/12 | 5,835,000 | 5,940,794 | ||
1.625% 3/20/13 | 4,450,000 | 4,530,398 | ||
Freddie Mac: | ||||
0.375% 11/30/12 | 4,019,000 | 3,995,075 | ||
| ||||
| Principal | Value | ||
1.125% 7/27/12 | $ 600,000 | $ 605,404 | ||
1.75% 6/15/12 | 4,185,000 | 4,258,639 | ||
2.125% 3/23/12 | 204,000 | 208,066 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 2,375,000 | 2,553,220 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | 250,000 | 250,476 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 77,178,042 | |||
U.S. Treasury Inflation Protected Obligations - 3.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
2.125% 2/15/40 (g) | 29,111,212 | 30,873,361 | ||
2.5% 1/15/29 | 8,149,120 | 9,243,520 | ||
U.S. Treasury Inflation-Indexed Notes 1.375% 1/15/20 | 99,841,459 | 103,857,906 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 143,974,787 | |||
U.S. Treasury Obligations - 25.5% | ||||
U.S. Treasury Bonds: | ||||
3.875% 8/15/40 | 101,415,000 | 93,412,748 | ||
4.375% 11/15/39 | 26,390,000 | 26,530,184 | ||
U.S. Treasury Notes: | ||||
0.375% 9/30/12 | 3,346,000 | 3,338,026 | ||
1.375% 11/30/15 | 179,532,000 | 174,468,659 | ||
2.25% 1/31/15 | 42,293,000 | 43,416,387 | ||
2.375% 8/31/14 | 115,000,000 | 119,132,870 | ||
2.375% 9/30/14 | 60,000,000 | 62,146,860 | ||
2.375% 2/28/15 | 39,150,000 | 40,349,165 | ||
2.5% 4/30/15 | 40,000,000 | 41,353,120 | ||
2.625% 7/31/14 (g) | 265,000,000 | 277,152,625 | ||
2.625% 11/15/20 | 81,608,000 | 76,979,276 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 958,279,920 | |||
Other Government Related - 0.5% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (d) | 18,220,000 | 18,633,357 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,182,991,224) | 1,198,066,106 | |||
U.S. Government Agency - Mortgage Securities - 40.7% | ||||
| Principal | Value | ||
Fannie Mae - 34.2% | ||||
1.842% 5/1/34 (j) | $ 1,452,126 | $ 1,486,403 | ||
2.02% 9/1/33 (j) | 738,816 | 755,525 | ||
2.166% 10/1/33 (j) | 51,859 | 53,640 | ||
2.207% 7/1/35 (j) | 47,282 | 48,850 | ||
2.297% 10/1/33 (j) | 1,242,032 | 1,285,156 | ||
2.316% 3/1/35 (j) | 20,083 | 20,834 | ||
2.532% 7/1/34 (j) | 61,745 | 64,323 | ||
2.553% 10/1/33 (j) | 104,917 | 109,799 | ||
2.561% 2/1/35 (j) | 3,007,537 | 3,135,849 | ||
2.582% 3/1/35 (j) | 65,713 | 68,573 | ||
2.589% 6/1/36 (j) | 115,117 | 120,630 | ||
2.62% 8/1/36 (j) | 2,182,272 | 2,288,076 | ||
2.622% 7/1/34 (j) | 2,306,430 | 2,409,443 | ||
2.666% 6/1/34 (j) | 585,851 | 611,689 | ||
2.687% 2/1/35 (j) | 3,750,869 | 3,928,062 | ||
2.744% 9/1/34 (j) | 869,796 | 909,066 | ||
2.749% 5/1/36 (j) | 485,520 | 511,839 | ||
2.771% 5/1/35 (j) | 267,725 | 281,475 | ||
2.773% 11/1/36 (j) | 1,483,486 | 1,561,551 | ||
2.836% 9/1/35 (j) | 2,314,389 | 2,429,476 | ||
2.949% 2/1/34 (j) | 34,314 | 36,044 | ||
2.961% 9/1/36 (j) | 1,225,737 | 1,298,132 | ||
2.981% 7/1/35 (j) | 137,869 | 144,851 | ||
3% 1/1/26 (e) | 16,000,000 | 15,667,501 | ||
3.128% 10/1/37 (j) | 48,690 | 51,189 | ||
3.161% 4/1/36 (j) | 2,269,027 | 2,391,610 | ||
3.5% 1/1/26 (e)(f) | 9,000,000 | 9,064,688 | ||
3.5% 1/1/26 (e)(f) | 27,000,000 | 27,194,063 | ||
3.5% 11/1/40 (f) | 28,060,018 | 26,812,664 | ||
3.5% 1/1/41 (e)(f) | 8,000,000 | 7,655,638 | ||
3.536% 7/1/37 (j) | 270,895 | 284,653 | ||
4% 8/1/18 to 12/1/40 (f) | 52,582,018 | 52,613,977 | ||
4% 1/1/41 (e)(f) | 4,000,000 | 3,979,062 | ||
4% 1/1/41 (e)(f) | 22,000,000 | 21,884,843 | ||
4% 1/1/41 (e)(f) | 13,500,000 | 13,429,336 | ||
4% 1/1/41 (e)(f) | 14,000,000 | 13,926,718 | ||
4% 1/1/41 (e)(f) | 13,500,000 | 13,429,336 | ||
4.5% 6/1/24 to 11/1/40 | 57,978,491 | 59,780,947 | ||
4.5% 1/1/26 (e) | 8,800,000 | 9,224,187 | ||
4.5% 1/1/41 (e)(f) | 34,000,000 | 34,905,780 | ||
4.5% 1/1/41 (e) | 5,100,000 | 5,235,867 | ||
4.5% 1/1/41 (e) | 22,000,000 | 22,586,093 | ||
4.5% 1/1/41 (e) | 18,000,000 | 18,479,531 | ||
5% 2/1/18 to 9/1/40 | 112,709,592 | 119,039,853 | ||
5% 1/1/41 (e) | 28,000,000 | 29,437,187 | ||
5% 1/1/41 (e) | 15,000,000 | 15,769,922 | ||
5% 1/1/41 (e) | 24,000,000 | 25,231,874 | ||
5% 1/1/41 (e) | 25,000,000 | 26,283,203 | ||
5% 1/1/41 (e) | 19,000,000 | 19,975,234 | ||
5% 1/1/41 (e) | 19,500,000 | 20,500,898 | ||
| ||||
| Principal | Value | ||
5% 1/1/41 (e) | $ 16,000,000 | $ 16,821,250 | ||
5% 1/1/41 (e)(f) | 22,500,000 | 23,654,882 | ||
5% 1/1/41 (e)(f) | 39,000,000 | 41,001,796 | ||
5.214% 12/1/35 (j) | 675,731 | 710,998 | ||
5.227% 2/1/36 (j) | 1,493,233 | 1,562,380 | ||
5.5% 4/1/16 to 12/1/39 | 103,273,226 | 110,721,617 | ||
5.5% 1/1/41 (e) | 15,000,000 | 16,048,829 | ||
5.5% 1/1/41 (e) | 59,000,000 | 63,125,392 | ||
5.5% 1/1/41 (e) | 4,000,000 | 4,279,688 | ||
5.5% 1/1/41 (e) | 5,000,000 | 5,349,610 | ||
5.5% 1/1/41 (e) | 63,500,000 | 67,940,041 | ||
5.5% 1/1/41 (e)(f) | 63,500,000 | 67,940,041 | ||
6% 6/1/14 to 4/1/39 | 51,586,975 | 56,047,195 | ||
6% 1/1/41 (e) | 35,500,000 | 38,578,517 | ||
6% 1/1/41 (e) | 18,000,000 | 19,560,938 | ||
6% 1/1/41 | 1,000,000 | 1,086,719 | ||
6% 1/1/41 (e)(f) | 39,000,000 | 42,382,033 | ||
6% 1/1/41 (e)(f) | 16,000,000 | 17,387,501 | ||
6% 1/1/41 (e)(f) | 13,000,000 | 14,127,344 | ||
6.5% 6/1/11 to 9/1/38 (f) | 24,763,032 | 27,630,163 | ||
6.5% 12/1/40 (e)(f) | 5,000,000 | 5,564,649 | ||
6.5% 1/1/41 (e)(f) | 400,000 | 444,500 | ||
7% 3/1/15 to 8/1/32 | 2,000,155 | 2,239,657 | ||
7.5% 7/1/16 to 11/1/31 | 1,652,421 | 1,864,735 | ||
8% 1/1/30 to 5/1/30 | 56,346 | 64,021 | ||
8.5% 3/1/25 to 6/1/25 | 867 | 999 | ||
TOTAL FANNIE MAE | 1,284,530,635 | |||
Freddie Mac - 2.9% | ||||
2.194% 4/1/35 (j) | 929,602 | 965,923 | ||
2.624% 1/1/35 (j) | 274,978 | 287,108 | ||
2.664% 6/1/35 (j) | 202,056 | 212,268 | ||
2.664% 3/1/36 (j) | 252,888 | 262,289 | ||
2.961% 1/1/35 (j) | 916,997 | 965,486 | ||
3.352% 10/1/35 (j) | 160,543 | 170,075 | ||
3.513% 3/1/33 (j) | 18,661 | 19,658 | ||
4% 1/1/26 (e) | 1,750,000 | 1,797,852 | ||
4.5% 7/1/25 to 5/1/40 | 6,789,662 | 7,018,195 | ||
4.5% 1/1/41 (e) | 14,000,000 | 14,348,907 | ||
4.5% 1/1/41 (e) | 34,000,000 | 34,847,345 | ||
4.938% 1/1/36 (j) | 787,870 | 814,729 | ||
5% 9/1/39 to 9/1/40 | 29,243,890 | 30,761,918 | ||
5.31% 11/1/35 (j) | 462,609 | 489,931 | ||
6% 4/1/32 to 7/1/37 | 4,510,167 | 4,963,215 | ||
6% 1/1/41 (e) | 10,500,000 | 11,369,531 | ||
7.5% 5/1/17 to 11/1/31 | 163,696 | 184,217 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Freddie Mac - continued | ||||
8% 7/1/17 to 5/1/27 | $ 28,060 | $ 31,560 | ||
8.5% 3/1/20 to 1/1/28 | 138,806 | 158,814 | ||
TOTAL FREDDIE MAC | 109,669,021 | |||
Ginnie Mae - 3.6% | ||||
4% 1/15/25 to 2/15/40 | 25,023,892 | 26,123,543 | ||
4% 1/1/41 (e) | 8,000,000 | 8,046,875 | ||
4% 1/1/41 (e) | 19,000,000 | 19,111,329 | ||
4.5% 3/15/39 to 6/15/40 (e)(f) | 55,259,446 | 57,505,206 | ||
4.5% 1/1/41 (e)(f) | 4,000,000 | 4,153,438 | ||
6% 3/15/29 to 11/15/34 | 7,252,646 | 7,985,021 | ||
6.5% 8/15/27 to 11/15/35 | 6,906,025 | 7,787,424 | ||
7% 1/15/28 to 7/15/32 | 3,248,105 | 3,667,381 | ||
7.5% 4/15/22 to 10/15/28 | 850,912 | 962,383 | ||
8% 2/15/17 to 9/15/30 | 96,683 | 109,480 | ||
8.5% 12/15/16 to 3/15/30 | 19,233 | 21,579 | ||
TOTAL GINNIE MAE | 135,473,659 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,520,596,203) | 1,529,673,315 | |||
Asset-Backed Securities - 2.6% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7306% 4/25/35 (j) | 634,109 | 363,315 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1 Class M1, 1.0106% 3/25/34 (j) | 17,845 | 17,583 | ||
Series 2005-HE2 Class M2, 0.7106% 4/25/35 (j) | 61,759 | 58,085 | ||
Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.7406% 10/20/14 (j) | 26,387 | 4,894 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.7603% 6/15/32 (c)(j) | 2,669,096 | 1,161,057 | ||
Ally Auto Receivables Trust Series 2009-A: | ||||
Class A3, 2.33% 6/17/13 (c) | 1,620,000 | 1,643,457 | ||
Class A4, 3% 10/15/15 (c) | 1,600,000 | 1,653,065 | ||
Ally Master Owner Trust Series 2010-3 Class A, 2.88% 4/15/15 (c) | 7,850,000 | 8,039,402 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2006-1 Class C1, 5.28% 11/6/11 | 79,836 | 79,846 | ||
| ||||
| Principal Amount | Value | ||
Series 2008-AF Class A3, 5.68% 12/12/12 (FSA Insured) | $ 2,409,159 | $ 2,432,866 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.9606% 12/25/33 (j) | 35,559 | 26,470 | ||
Series 2004-R2 Class M3, 0.8106% 4/25/34 (j) | 47,022 | 10,349 | ||
Series 2004-R8 Class M9, 3.0106% 9/25/34 (j) | 127,968 | 355 | ||
Series 2005-R2 Class M1, 0.7106% 4/25/35 (j) | 727,000 | 619,056 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 1.0334% 3/25/34 (j) | 16,878 | 12,543 | ||
Series 2004-W11 Class M2, 0.9606% 11/25/34 (j) | 198,000 | 144,658 | ||
Series 2004-W7 Class M1, 0.8106% 5/25/34 (j) | 209,000 | 142,109 | ||
Series 2006-W4 Class A2C, 0.4206% 5/25/36 (j) | 498,794 | 175,547 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.0856% 4/25/34 (j) | 940,000 | 688,710 | ||
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (c) | 3,100,000 | 3,218,910 | ||
BMW Vehicle Lease Trust Series 2010-1 Class A3, 0.82% 4/15/13 | 5,050,000 | 5,050,629 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.3128% 12/26/24 (j) | 572,436 | 543,814 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3206% 10/25/36 (j) | 24,678 | 24,462 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 4,260,000 | 4,348,442 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.5606% 7/25/36 (j) | 402,000 | 37,404 | ||
Series 2007-RFC1 Class A3, 0.4006% 12/25/36 (j) | 635,000 | 234,678 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.4406% 5/20/17 (FGIC Insured) (c)(j) | 43,706 | 41,584 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (FGIC Insured) (c) | 186,774 | 187,931 | ||
Chase Issuance Trust Series 2008-9 Class A, 4.26% 5/15/13 | 2,000,000 | 2,027,524 | ||
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13 | 6,300,000 | 6,288,606 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Chrysler Financial Lease Trust Series 2010-A Class A2, 1.78% 6/15/11 (c) | $ 3,687,947 | $ 3,691,805 | ||
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 | 12,500,000 | 12,778,243 | ||
Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5306% 5/25/37 (j) | 270,000 | 8,061 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.4% 3/25/32 (MGIC Investment Corp. Insured) (j) | 40,946 | 15,611 | ||
Series 2004-3 Class M4, 1.2306% 4/25/34 (j) | 56,336 | 22,916 | ||
Series 2004-4 Class M2, 1.0556% 6/25/34 (j) | 207,174 | 116,855 | ||
Series 2005-3 Class MV1, 0.6806% 8/25/35 (j) | 332,140 | 316,265 | ||
Series 2005-AB1 Class A2, 0.4706% 8/25/35 (j) | 42,826 | 42,278 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.724% 5/28/35 (j) | 13,702 | 9,955 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4356% 8/25/34 (j) | 102,000 | 58,021 | ||
Series 2006-3 Class 2A3, 0.4206% 11/25/36 (j) | 1,585,000 | 590,510 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0856% 3/25/34 (j) | 5,800 | 1,960 | ||
Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.8% 7/15/13 (c) | 5,190,000 | 5,182,149 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (c) | 1,025,000 | 1,036,262 | ||
Series 2009-D: | ||||
Class A3, 2.17% 10/15/13 | 2,000,000 | 2,022,622 | ||
Class A4, 2.98% 8/15/14 | 1,800,000 | 1,864,918 | ||
Series 2010-B Class A3, 0.98% 10/15/14 | 3,550,000 | 3,559,392 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2006-4 Class B, 0.8103% 6/15/13 (j) | 272,000 | 269,138 | ||
Series 2010-5 Class A1, 1.5% 9/15/15 | 3,580,000 | 3,550,822 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.7506% 1/25/35 (j) | 334,000 | 161,990 | ||
Class M4, 0.9406% 1/25/35 (j) | 128,000 | 24,000 | ||
| ||||
| Principal Amount | Value | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6675% 2/25/47 (c)(j) | $ 829,000 | $ 489,110 | ||
GE Business Loan Trust Series 2003-1 Class A, 0.6903% 4/15/31 (c)(j) | 91,430 | 80,458 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (c)(j) | 152,632 | 30,796 | ||
Class M1, 0.9106% 6/25/34 (j) | 772,000 | 535,225 | ||
Series 2007-HE1 Class M1, 0.5106% 3/25/47 (j) | 289,000 | 16,155 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3406% 5/25/30 (c)(j) | 225,553 | 115,032 | ||
Series 2006-3 Class C, 0.8106% 9/25/46 (c)(j) | 538,000 | 107,600 | ||
Home Equity Asset Trust: | ||||
Series 2003-3 Class M1, 1.5506% 8/25/33 (j) | 278,551 | 200,025 | ||
Series 2003-5 Class A2, 0.9606% 12/25/33 (j) | 11,595 | 7,459 | ||
Series 2005-5 Class 2A2, 0.5106% 11/25/35 (j) | 36,047 | 35,735 | ||
Series 2006-1 Class 2A3, 0.4856% 4/25/36 (j) | 432,940 | 420,559 | ||
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5506% 3/20/36 (j) | 267,165 | 221,330 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4506% 1/25/37 (j) | 436,000 | 183,933 | ||
Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13 | 2,040,000 | 2,063,169 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 0.3906% 11/25/36 (j) | 438,000 | 372,795 | ||
Class MV1, 0.4906% 11/25/36 (j) | 356,000 | 218,688 | ||
Keycorp Student Loan Trust Series 1999-A Class A2, 0.6328% 12/27/29 (j) | 263,786 | 225,082 | ||
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3406% 6/25/34 (j) | 33,693 | 21,576 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5206% 10/25/36 (j) | 158,000 | 8,828 | ||
Series 2007-HE1 Class M1, 0.5606% 5/25/37 (j) | 249,000 | 12,629 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 0.9106% 7/25/34 (j) | $ 32,638 | $ 25,423 | ||
Series 2006-FM1 Class A2B, 0.3706% 4/25/37 (j) | 587,991 | 522,861 | ||
Series 2006-OPT1 Class A1A, 0.5206% 6/25/35 (j) | 557,894 | 454,194 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.6006% 8/25/34 (j) | 20,187 | 16,039 | ||
Series 2004-NC8 Class M6, 1.5106% 9/25/34 (j) | 109,818 | 46,659 | ||
Series 2005-NC1 Class M1, 0.7006% 1/25/35 (j) | 141,000 | 76,321 | ||
National Collegiate Student Loan Trust Series 2006-4 Class A1, 0.2906% 3/25/25 (j) | 63,366 | 62,561 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.7706% 9/25/35 (j) | 503,000 | 353,384 | ||
Series 2005-D Class M2, 0.7306% 2/25/36 (j) | 105,000 | 9,116 | ||
Nissan Auto Receivables Owner Trust Series 2010-A Class A4, 1.31% 9/15/16 | 2,140,000 | 2,126,190 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.6606% 3/20/11 (a)(c)(j) | 414,000 | 153,180 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.5106% 9/25/34 (j) | 188,000 | 106,329 | ||
Class M4, 1.7106% 9/25/34 (j) | 241,000 | 60,235 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7806% 1/25/36 (j) | 1,972,000 | 1,771,878 | ||
Class M3, 0.8206% 1/25/36 (j) | 168,000 | 115,936 | ||
Class M4, 1.0906% 1/25/36 (j) | 520,000 | 211,753 | ||
Series 2005-WHQ2 Class M7, 1.5106% 5/25/35 (j) | 1,251,000 | 37,720 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8103% 3/15/15 (c)(j) | 759,000 | 758,241 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3306% 2/25/37 (j) | 158,971 | 156,905 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0606% 4/25/33 (j) | 1,796 | 1,576 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0556% 3/25/35 (j) | 546,481 | 451,576 | ||
| ||||
| Principal Amount | Value | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4034% 3/20/19 (FGIC Insured) (c)(j) | $ 223,539 | $ 210,148 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2516% 6/15/33 (j) | 448,000 | 40,310 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4106% 9/25/34 (j) | 25,472 | 11,238 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1206% 9/25/34 (j) | 10,148 | 7,706 | ||
Volkswagen Auto Lease Trust Series 2010-A Class A3, 0.85% 11/20/13 | 5,630,000 | 5,618,154 | ||
WaMu Master Note Trust Series 2006-C2A Class C2, 0.7603% 8/15/15 (c)(j) | 2,465,000 | 2,452,634 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0884% 10/25/44 (c)(j) | 630,180 | 252,072 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $98,689,696) | 96,077,647 | |||
Collateralized Mortgage Obligations - 1.8% | ||||
| ||||
Private Sponsor - 1.5% | ||||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.7191% 4/12/56 (c)(j) | 503,217 | 491,386 | ||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.8772% 4/10/49 (j) | 485,000 | 122,364 | ||
Class C, 5.8772% 4/10/49 (j) | 1,290,000 | 226,621 | ||
Class D, 5.8772% 4/10/49 (j) | 650,000 | 101,577 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2004-B Class 1A1, 2.9237% 3/25/34 (j) | 20,516 | 17,947 | ||
Series 2005-E Class 2A7, 2.8659% 6/25/35 (j) | 2,680,000 | 2,137,111 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5406% 1/25/35 (j) | 762,127 | 612,735 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 3.0795% 2/25/37 (j) | 423,600 | 417,819 | ||
Series 2007-A2 Class 2A1, 3.1213% 7/25/37 (j) | 225,084 | 224,085 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2934% 12/10/49 (j) | 7,310,000 | 7,768,167 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.4839% 8/25/34 (j) | 2,462,748 | 2,447,072 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.9157% 11/25/34 (j) | $ 755,141 | $ 699,723 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 0.4491% 10/18/54 (c)(j) | 1,007,000 | 993,909 | ||
Class C2, 0.7591% 10/18/54 (c)(j) | 337,000 | 330,833 | ||
Class M2, 0.5391% 10/18/54 (c)(j) | 579,000 | 568,231 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7544% 11/20/56 (c)(j) | 863,000 | 831,995 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.7591% 10/11/41 (c)(j) | 1,097,000 | 1,092,996 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A Class C2, 0.8606% 12/20/54 (c)(j) | 2,117,000 | 1,159,058 | ||
Series 2006-2 Class C1, 0.7306% 12/20/54 (j) | 1,885,000 | 1,065,025 | ||
Series 2006-3 Class C2, 0.7606% 12/20/54 (j) | 396,000 | 225,461 | ||
Series 2006-4: | ||||
Class B1, 0.3506% 12/20/54 (j) | 1,059,000 | 840,846 | ||
Class C1, 0.6406% 12/20/54 (j) | 647,000 | 354,233 | ||
Class M1, 0.4306% 12/20/54 (j) | 279,000 | 195,300 | ||
Series 2007-1: | ||||
Class 1C1, 0.8606% 12/20/54 (j) | 654,000 | 369,510 | ||
Class 1M1, 0.5606% 12/20/54 (j) | 425,000 | 297,500 | ||
Class 2C1, 1.2206% 12/20/54 (j) | 298,000 | 168,370 | ||
Class 2M1, 0.7606% 12/20/54 (j) | 546,000 | 382,200 | ||
Series 2007-2 Class 2C1, 0.6906% 12/17/54 (j) | 757,000 | 412,565 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7391% 1/20/44 (j) | 151,584 | 101,183 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 3.1373% 4/25/35 (j) | 1,096,295 | 960,360 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4806% 5/19/35 (j) | 131,587 | 86,008 | ||
| ||||
| Principal Amount | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (j) | $ 6,230,000 | $ 6,455,198 | ||
JPMorgan Mortgage Trust: | ||||
Series 2004-A5 Class 2A1, 2.814% 12/25/34 (j) | 741,646 | 686,047 | ||
Series 2006-A2 Class 5A1, 2.9702% 11/25/33 (j) | 900,756 | 861,293 | ||
Series 2007-A1 Class 1A1, 3.0106% 7/25/35 (j) | 2,239,363 | 2,174,494 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4706% 5/25/47 (j) | 361,395 | 228,635 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4306% 2/25/37 (j) | 528,474 | 370,364 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class C, 0.45% 6/15/22 (c)(j) | 449,000 | 387,263 | ||
Class D, 0.46% 6/15/22 (c)(j) | 173,000 | 144,888 | ||
Class E, 0.47% 6/15/22 (c)(j) | 276,000 | 228,390 | ||
Class F, 0.5% 6/15/22 (c)(j) | 498,000 | 404,625 | ||
Class G, 0.57% 6/15/22 (c)(j) | 103,000 | 81,113 | ||
Class H, 0.59% 6/15/22 (c)(j) | 207,000 | 159,038 | ||
Class J, 0.63% 6/15/22 (c)(j) | 242,000 | 173,635 | ||
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (j) | 4,570,000 | 4,825,622 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5506% 7/25/35 (j) | 823,361 | 668,261 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5606% 3/25/37 (j) | 861,000 | 55,212 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.85% 10/25/35 (j) | 1,587,388 | 1,353,750 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.6125% 7/10/35 (c)(j) | 313,293 | 225,132 | ||
Residential Asset Mortgage Products, Inc. sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 56,310 | 56,990 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7106% 6/25/33 (c)(j) | 90,159 | 74,843 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (j) | 14,112 | 10,385 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4534% 9/25/36 (j) | 1,153,000 | 651,547 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-H Class A1, 4.5316% 6/25/34 (j) | 733,531 | 719,897 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Wells Fargo Mortgage Backed Securities Trust: - continued | ||||
Series 2005-AR10 Class 2A2, 2.8562% 6/25/35 (j) | $ 2,802,664 | $ 2,720,076 | ||
Series 2005-AR12: | ||||
Class 2A5, 2.854% 7/25/35 (j) | 3,710,000 | 3,527,797 | ||
Class 2A6, 2.854% 7/25/35 (j) | 3,569,160 | 3,351,200 | ||
Series 2005-AR3 Class 2A1, 2.8794% 3/25/35 (j) | 732,178 | 665,887 | ||
TOTAL PRIVATE SPONSOR | 56,963,772 | |||
U.S. Government Agency - 0.3% | ||||
Fannie Mae planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 1,803,526 | 1,973,338 | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | 1,305,158 | 1,473,620 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 197,569 | 212,344 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 2,625,000 | 2,764,342 | ||
sequential payer Series 2004-86 Class KC, 4.5% 5/25/19 | 402,180 | 419,941 | ||
Freddie Mac Multi-class participation certificates guaranteed planned amortization class Series 2500 Class TE, 5.5% 9/15/17 | 4,935,527 | 5,309,423 | ||
Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 38.6362% 6/16/37 (j)(l) | 150,712 | 258,348 | ||
TOTAL U.S. GOVERNMENT AGENCY | 12,411,356 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $69,917,762) | 69,375,128 | |||
Commercial Mortgage Securities - 6.7% | ||||
| ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A2, 7.0665% 2/14/43 (j) | 1,435,000 | 1,537,109 | ||
Class A3, 7.1165% 2/14/43 (j) | 1,545,000 | 1,679,308 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.9119% 5/10/45 (j) | 2,100,000 | 2,260,657 | ||
| ||||
| Principal Amount | Value | ||
Series 2006-5: | ||||
Class A2, 5.317% 9/10/47 | $ 8,745,000 | $ 8,993,782 | ||
Class A3, 5.39% 9/10/47 | 1,985,000 | 2,047,132 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 893,874 | 913,111 | ||
Series 2007-3 Class A3, 5.6579% 6/10/49 (j) | 6,100,000 | 6,393,260 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2005-1 Class A3, 4.877% 11/10/42 | 1,048,758 | 1,054,068 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 1,545,000 | 1,575,329 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (c) | 4,889,139 | 4,963,829 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 0.7303% 3/15/22 (c)(j) | 217,000 | 190,960 | ||
Class G, 0.7903% 3/15/22 (c)(j) | 141,000 | 121,260 | ||
Series 2006-BIX1: | ||||
Class F, 0.5703% 10/15/19 (c)(j) | 558,000 | 477,090 | ||
Class G, 0.5903% 10/15/19 (c)(j) | 380,000 | 311,600 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2004-1: | ||||
Class A, 0.6206% 4/25/34 (c)(j) | 507,742 | 406,194 | ||
Class B, 2.1606% 4/25/34 (c)(j) | 39,902 | 20,749 | ||
Class M1, 0.8206% 4/25/34 (c)(j) | 32,512 | 21,133 | ||
Class M2, 1.4606% 4/25/34 (c)(j) | 29,134 | 17,918 | ||
Series 2004-2: | ||||
Class A, 0.6906% 8/25/34 (c)(j) | 402,808 | 334,330 | ||
Class M1, 0.8406% 8/25/34 (c)(j) | 65,056 | 44,888 | ||
Series 2004-3: | ||||
Class A1, 0.6306% 1/25/35 (c)(j) | 818,203 | 670,927 | ||
Class A2, 0.6806% 1/25/35 (c)(j) | 106,504 | 75,618 | ||
Class M1, 0.7606% 1/25/35 (c)(j) | 109,010 | 73,037 | ||
Class M2, 1.2606% 1/25/35 (c)(j) | 70,481 | 44,403 | ||
Series 2005-2A: | ||||
Class A1, 0.5706% 8/25/35 (c)(j) | 446,430 | 358,572 | ||
Series 2005-2A: | ||||
Class M1, 0.6906% 8/25/35 (c)(j) | 33,101 | 21,357 | ||
Class M2, 0.7406% 8/25/35 (c)(j) | 54,443 | 34,157 | ||
Class M3, 0.7606% 8/25/35 (c)(j) | 30,052 | 18,001 | ||
Commercial Mortgage Securities - continued | ||||
| Principal | Value | ||
Bayview Commercial Asset Trust: - | ||||
floater: | ||||
Series 2005-2A: | ||||
Class M4, 0.8706% 8/25/35 (c)(j) | $ 27,875 | $ 16,106 | ||
Series 2005-3A: | ||||
Class A1, 0.5806% 11/25/35 (c)(j) | 246,546 | 200,417 | ||
Class A2, 0.6606% 11/25/35 (c)(j) | 159,754 | 118,218 | ||
Series 2005-4A: | ||||
Class A2, 0.6506% 1/25/36 (c)(j) | 877,038 | 631,467 | ||
Class M1, 0.7106% 1/25/36 (c)(j) | 183,506 | 100,929 | ||
Class M2, 0.7306% 1/25/36 (c)(j) | 55,359 | 28,787 | ||
Class M3, 0.7606% 1/25/36 (c)(j) | 80,476 | 38,629 | ||
Series 2006-1 Class A2, 0.6206% 4/25/36 (c)(j) | 87,381 | 62,827 | ||
Series 2006-2A: | ||||
Class A1, 0.4906% 7/25/36 (c)(j) | 863,136 | 679,029 | ||
Class A2, 0.5406% 7/25/36 (c)(j) | 77,910 | 55,683 | ||
Class M1, 0.5706% 7/25/36 (c)(j) | 81,806 | 44,265 | ||
Class M2, 0.5906% 7/25/36 (c)(j) | 57,876 | 28,440 | ||
Class M6, 0.8006% 7/25/36 (c)(j) | 58,989 | 22,233 | ||
Series 2006-3A: | ||||
Class M5, 0.7406% 10/25/36 (c)(j) | 69,848 | 24,447 | ||
Class M6, 0.8206% 10/25/36 (c)(j) | 136,402 | 38,193 | ||
Series 2006-4A: | ||||
Class A1, 0.4906% 12/25/36 (c)(j) | 500,750 | 400,750 | ||
Class A2, 0.5306% 12/25/36 (c)(j) | 1,116,012 | 794,935 | ||
Class M1, 0.5506% 12/25/36 (c)(j) | 80,870 | 40,581 | ||
Series 2007-1: | ||||
Class A2, 0.5306% 3/25/37 (c)(j) | 215,369 | 142,144 | ||
Class B3, 3.6106% 3/25/37 (c)(j) | 137,367 | 17,858 | ||
Series 2007-2A: | ||||
Class A1, 0.5306% 7/25/37 (c)(j) | 196,874 | 146,671 | ||
| ||||
| Principal | Value | ||
Class A2, 0.5806% 7/25/37 (c)(j) | $ 184,274 | $ 99,508 | ||
Class B1, 1.8606% 7/25/37 (c)(j) | 173,249 | 25,987 | ||
Class B2, 2.5106% 7/25/37 (c)(j) | 149,624 | 19,451 | ||
Class B3, 3.6106% 7/25/37 (c)(j) | 169,312 | 18,624 | ||
Class M2, 0.6706% 7/25/37 (c)(j) | 102,375 | 28,665 | ||
Class M3, 0.7506% 7/25/37 (c)(j) | 102,375 | 24,570 | ||
Class M4, 0.9106% 7/25/37 (c)(j) | 216,562 | 45,478 | ||
Class M5, 1.0106% 7/25/37 (c)(j) | 192,937 | 34,729 | ||
Class M6, 1.2606% 7/25/37 (c)(j) | 240,187 | 38,430 | ||
Series 2007-3: | ||||
Class A2, 0.5506% 7/25/37 (c)(j) | 311,425 | 204,668 | ||
Class B1, 1.2106% 7/25/37 (c)(j) | 143,936 | 34,214 | ||
Class B2, 1.8606% 7/25/37 (c)(j) | 503,121 | 91,870 | ||
Class B3, 4.2606% 7/25/37 (c)(j) | 193,005 | 29,221 | ||
Class M1, 0.5706% 7/25/37 (c)(j) | 127,579 | 65,104 | ||
Class M2, 0.6006% 7/25/37 (c)(j) | 134,122 | 52,039 | ||
Class M3, 0.6306% 7/25/37 (c)(j) | 293,106 | 99,861 | ||
Class M4, 0.7606% 7/25/37 (c)(j) | 463,212 | 150,683 | ||
Class M5, 0.8606% 7/25/37 (c)(j) | 173,377 | 48,788 | ||
Class M6, 1.0606% 7/25/37 (c)(j) | 130,851 | 32,268 | ||
Series 2007-4A: | ||||
Class B1, 2.8106% 9/25/37 (c)(j) | 243,244 | 17,027 | ||
Class B2, 3.7106% 9/25/37 (c)(j) | 1,188,539 | 71,312 | ||
Class M4, 1.8606% 9/25/37 (c)(j) | 783,413 | 101,844 | ||
Class M5, 2.0106% 9/25/37 (c)(j) | 783,413 | 82,258 | ||
Class M6, 2.2106% 9/25/37 (c)(j) | 783,413 | 70,507 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (c)(k) | 1,480,477 | 48,116 | ||
Commercial Mortgage Securities - continued | ||||
| Principal | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.7003% 3/15/19 (c)(j) | $ 284,000 | $ 235,513 | ||
Class H, 0.9103% 3/15/19 (c)(j) | 191,000 | 132,258 | ||
Class J, 1.1103% 3/15/19 (c)(j) | 143,000 | 93,502 | ||
Series 2007-BBA8: | ||||
Class D, 0.5103% 3/15/22 (c)(j) | 147,000 | 114,660 | ||
Class E, 0.5603% 3/15/22 (c)(j) | 763,000 | 549,360 | ||
Class F, 0.6103% 3/15/22 (c)(j) | 468,000 | 318,240 | ||
Class G, 0.6603% 3/15/22 (c)(j) | 120,000 | 78,000 | ||
Class H, 0.8103% 3/15/22 (c)(j) | 147,000 | 80,850 | ||
Class J, 0.9603% 3/15/22 (c)(j) | 147,000 | 66,150 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 2,010,000 | 2,108,160 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 890,971 | 905,795 | ||
Series 2007-PW16: | ||||
Class B, 5.9064% 6/11/40 (c)(j) | 1,405,000 | 775,013 | ||
Class C, 5.9064% 6/11/40 (c)(j) | 1,170,000 | 528,010 | ||
Class D, 5.9064% 6/11/40 (c)(j) | 1,170,000 | 469,285 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5306% 5/25/36 (c)(j) | 314,213 | 235,550 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class G, 0.5922% 8/15/21 (c)(j) | 156,000 | 147,420 | ||
Class H, 0.6322% 8/15/21 (c)(j) | 125,000 | 116,250 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 3,810,000 | 4,069,304 | ||
Series 2007-C6 Class A1, 5.622% 12/10/49 (j) | 4,149,204 | 4,155,761 | ||
Series 2007-FL3A Class A2, 0.4003% 4/15/22 (c)(j) | 2,595,000 | 2,343,648 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 | 2,960,000 | 3,068,099 | ||
Series 2007-CD4 Class A3, 5.293% 12/11/49 | 6,065,000 | 6,249,515 | ||
| ||||
| Principal | Value | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class D, 0.5703% 4/15/17 (c)(j) | $ 335,000 | $ 301,500 | ||
Class E, 0.6303% 4/15/17 (c)(j) | 107,000 | 92,020 | ||
Class F, 0.6703% 4/15/17 (c)(j) | 60,000 | 49,200 | ||
Class G, 0.8103% 4/15/17 (c)(j) | 60,000 | 44,400 | ||
Class H, 0.8803% 4/15/17 (c)(j) | 60,000 | 38,400 | ||
Class J, 1.1103% 4/15/17 (c)(j) | 46,000 | 24,840 | ||
Series 2005-FL11: | ||||
Class F, 0.7103% 11/15/17 (c)(j) | 65,513 | 56,341 | ||
Class G, 0.7603% 11/15/17 (c)(j) | 45,227 | 36,634 | ||
sequential payer Series 2006-CN2A: | ||||
Class A2FX, 5.449% 2/5/19 (c) | 2,775,000 | 2,775,483 | ||
Class AJFX, 5.478% 2/5/19 (c) | 2,110,000 | 2,100,587 | ||
Series 2004-LBN2 Class X2, 1.006% 3/10/39 (c)(j)(k) | 4,071,270 | 5,845 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (j) | 3,885,000 | 3,960,951 | ||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 5,350,000 | 5,633,975 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (j) | 2,750,000 | 2,823,457 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 905,825 | 916,156 | ||
Class A4, 4.75% 1/15/37 | 3,035,000 | 3,179,434 | ||
Series 1997-C2 Class D, 7.27% 1/17/35 | 115,345 | 116,910 | ||
Series 2001-CKN5 Class AX, 2.1871% 9/15/34 (c)(j)(k) | 19,672,515 | 124,771 | ||
Series 2002-CP3 Class G, 6.639% 7/15/35 (c) | 250,000 | 235,719 | ||
Series 2004-C1 Class ASP, 1.1338% 1/15/37 (c)(j)(k) | 19,606,289 | 31,339 | ||
Series 2006-C1 Class A3, 5.6903% 2/15/39 (j) | 3,895,000 | 4,108,506 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class B, 0.4103% 2/15/22 (c)(j) | 3,470,000 | 2,845,400 | ||
Commercial Mortgage Securities - continued | ||||
| Principal | Value | ||
Credit Suisse Mortgage Capital Certificates: - continued | ||||
Class C: | ||||
0.4303% 2/15/22 (c)(j) | $ 657,000 | $ 512,460 | ||
0.5303% 2/15/22 (c)(j) | 234,000 | 152,100 | ||
Class F, 0.5803% 2/15/22 (c)(j) | 469,000 | 267,330 | ||
sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40 | 173,429 | 174,089 | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 4,470,000 | 4,602,328 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.4556% 11/5/21 (c)(j) | 3,490,000 | 3,193,683 | ||
sequential payer Series 2007-GG11 Class A2, 5.597% 12/10/49 | 13,805,000 | 14,454,023 | ||
Series 2006-GG7 Class A3, 6.0797% 7/10/38 (j) | 3,460,000 | 3,645,520 | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5056% 6/6/20 (c)(j) | 405,000 | 380,083 | ||
Class D, 0.5456% 6/6/20 (c)(j) | 1,115,000 | 1,008,382 | ||
Class E, 0.6356% 6/6/20 (c)(j) | 2,220,000 | 1,954,107 | ||
Class F, 0.7056% 6/6/20 (c)(j) | 294,000 | 251,849 | ||
Series 2007-EOP: | ||||
Class C, 0.5856% 3/6/20 (c)(j) | 1,335,000 | 1,254,900 | ||
Class D, 0.6356% 3/6/20 (c)(j) | 400,000 | 372,000 | ||
Class E, 0.7056% 3/6/20 (c)(j) | 670,000 | 616,400 | ||
Class F, 0.7456% 3/6/20 (c)(j) | 335,000 | 304,850 | ||
Class G, 0.7856% 3/6/20 (c)(j) | 165,000 | 148,500 | ||
Class H, 0.9156% 3/6/20 (c)(j) | 275,000 | 244,750 | ||
Class J, 1.1156% 3/6/20 (c)(j) | 395,000 | 350,563 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 2,725,000 | 2,825,500 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 | 2,676,596 | 2,690,611 | ||
GS Mortgage Securities Trust sequential payer Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 400,030 | 407,329 | ||
Class A2, 5.778% 8/10/45 | 5,055,000 | 5,192,885 | ||
| ||||
| Principal | Value | ||
Class A4, 6.0014% 8/10/45 (j) | $ 2,280,000 | $ 2,383,539 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FLA2: | ||||
Class E, 0.5403% 11/15/18 (c)(j) | 101,332 | 83,092 | ||
Class F, 0.5903% 11/15/18 (c)(j) | 151,998 | 121,598 | ||
Class G, 0.6203% 11/15/18 (c)(j) | 132,422 | 101,965 | ||
Class H, 0.7603% 11/15/18 (c)(j) | 101,337 | 76,003 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.6678% 12/12/44 (j) | 4,625,000 | 4,885,890 | ||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (j) | 5,105,000 | 5,319,068 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 182,979 | 184,279 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 3,796,000 | 3,948,080 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 4,006,322 | 4,139,639 | ||
Series 2007-CB19: | ||||
Class B, 5.9323% 2/12/49 (j) | 755,000 | 416,469 | ||
Class C, 5.9323% 2/12/49 (j) | 1,971,000 | 842,611 | ||
Class D, 5.9323% 2/12/49 (j) | 2,075,000 | 728,100 | ||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (j) | 1,725,000 | 761,676 | ||
Class CS, 5.466% 1/15/49 (j) | 745,000 | 261,038 | ||
Class ES, 5.7307% 1/15/49 (c)(j) | 4,663,000 | 537,025 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1412% 7/15/44 (j) | 3,733,000 | 3,993,078 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-C3 Class A2, 4.553% 7/15/30 | 788,882 | 790,293 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 791,278 | 794,230 | ||
Series 2006-C6 Class A2, 5.262% 9/15/39 (j) | 3,340,000 | 3,385,257 | ||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 216,299 | 218,926 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (j) | 479,456 | 487,680 | ||
Class A3, 5.398% 2/15/40 | 5,000,000 | 5,127,684 | ||
Class A4, 5.424% 2/15/40 | 8,620,000 | 9,052,203 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 1,165,000 | 1,201,346 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 1,810,000 | 1,849,426 | ||
Commercial Mortgage Securities - continued | ||||
| Principal | Value | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 0.6003% 9/15/21 (c)(j) | $ 402,971 | $ 290,139 | ||
Class G, 0.6203% 9/15/21 (c)(j) | 795,609 | 556,927 | ||
Class H, 0.6603% 9/15/21 (c)(j) | 204,773 | 131,055 | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-KEY2 Class A2, 4.166% 8/12/39 | 130,107 | 133,058 | ||
Series 2005-MCP1 Class A2, 4.556% 6/12/43 | 591,965 | 599,989 | ||
Series 2007-C1 Class A4, 6.0193% 6/12/50 (j) | 3,796,000 | 4,042,651 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-5: | ||||
Class A1, 4.275% 8/12/48 | 103,536 | 103,725 | ||
Class A3, 5.364% 8/12/48 | 4,298,000 | 4,407,673 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (j) | 3,875,000 | 3,950,869 | ||
Series 2007-9 Class A4, 5.7% 9/12/49 | 5,500,000 | 5,739,890 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 770,000 | 142,219 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.461% 7/15/19 (c)(j) | 113,478 | 15,887 | ||
Series 2007-XCLA Class A1, 0.461% 7/17/17 (c)(j) | 844,085 | 633,064 | ||
Series 2007-XLFA: | ||||
Class D, 0.451% 10/15/20 (c)(j) | 235,000 | 84,600 | ||
Class E, 0.511% 10/15/20 (c)(j) | 294,000 | 61,740 | ||
Class F, 0.561% 10/15/20 (c)(j) | 176,000 | 24,640 | ||
Class G, 0.601% 10/15/20 (c)(j) | 218,000 | 15,260 | ||
Class H, 0.691% 10/15/20 (c)(j) | 137,000 | 8,220 | ||
Class J, 0.841% 10/15/20 (c)(j) | 157,000 | 6,280 | ||
Class NHRO, 1.151% 10/15/20 (c)(j) | 87,956 | 13,193 | ||
sequential payer: | ||||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 170,591 | 171,620 | ||
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (j) | 4,785,000 | 4,952,626 | ||
Series 2007-IQ13 Class A1, 5.05% 3/15/44 | 876,557 | 886,529 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 1,962,899 | 2,006,532 | ||
| ||||
| Principal | Value | ||
Series 2005-IQ9 Class X2, 1.2161% 7/15/56 (c)(j)(k) | $ 18,144,327 | $ 194,700 | ||
Series 2007-HQ12 Class A2, 5.7804% 4/12/49 (j) | 4,801,965 | 4,983,155 | ||
Series 2007-IQ14 Class B, 5.9133% 4/15/49 (j) | 2,175,000 | 761,250 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (c) | 2,999,017 | 3,088,988 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.4603% 1/15/18 (c)(j) | 449,000 | 431,314 | ||
Series 2006-WL7A: | ||||
Class E, 0.5406% 9/15/21 (c)(j) | 491,000 | 369,365 | ||
Class F, 0.6006% 8/11/18 (c)(j) | 661,000 | 420,243 | ||
Class G, 0.6206% 8/11/18 (c)(j) | 626,000 | 360,010 | ||
Class J, 0.8606% 8/11/18 (c)(j) | 139,000 | 58,478 | ||
Series 2007-WHL8: | ||||
Class AP2, 1.0603% 6/15/20 (c)(j) | 53,945 | 35,064 | ||
Class F, 0.7403% 6/15/20 (c)(j) | 1,046,000 | 575,300 | ||
Class LXR2, 1.0603% 6/15/20 (c)(j) | 713,442 | 527,947 | ||
sequential payer: | ||||
Series 2003-C7 Class A1, 4.241% 10/15/35 (c) | 540,274 | 544,433 | ||
Series 2007-C30: | ||||
Class A3, 5.246% 12/15/43 | 5,940,000 | 6,037,814 | ||
Class A4, 5.305% 12/15/43 | 3,240,000 | 3,253,120 | ||
Class A5, 5.342% 12/15/43 | 3,796,000 | 3,835,733 | ||
Series 2007-C31 Class A1, 5.14% 4/15/47 | 376,214 | 378,529 | ||
Series 2007-C32 Class A2, 5.9276% 6/15/49 (j) | 1,255,000 | 1,318,666 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (j) | 3,010,000 | 3,209,459 | ||
Series 2007-C30 Class E, 5.553% 12/15/43 (j) | 6,257,000 | 492,687 | ||
Series 2007-C31 Class C, 5.8835% 4/15/47 (j) | 2,455,000 | 638,650 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $269,059,901) | 253,357,549 | |||
Municipal Securities - 0.3% | ||||
| ||||
California Gen. Oblig.: | ||||
6.2% 3/1/19 | 2,000,000 | 2,024,600 | ||
7.5% 4/1/34 | 2,400,000 | 2,483,400 | ||
Municipal Securities - continued | ||||
| Principal | Value | ||
California Gen. Oblig.: - continued | ||||
7.55% 4/1/39 | $ 2,560,000 | $ 2,655,078 | ||
Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15 | 2,850,000 | 2,854,218 | ||
TOTAL MUNICIPAL SECURITIES (Cost $9,883,129) | 10,017,296 | |||
Foreign Government and Government Agency Obligations - 0.1% | ||||
| ||||
United Mexican States 5.875% 1/15/14 | 1,665,000 | 1,843,988 | ||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 350,000 | 378,609 |
Preferred Securities - 0.1% | |||
|
|
|
|
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
MUFG Capital Finance 1 Ltd. 6.346% (j) | 2,283,000 | 2,363,147 | |
Cash Equivalents - 15.8% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at 0.26%, dated 12/31/10 due 1/3/11 (Collateralized by U.S. Government Obligations) # | $ 595,124,992 | 595,112,000 | |
TOTAL INVESTMENT PORTFOLIO - 123.9% (Cost $4,591,892,304) | 4,655,228,994 | ||
NET OTHER ASSETS (LIABILITIES) - (23.9)% | (897,137,963) | ||
NET ASSETS - 100% | $ 3,758,091,031 |
Swap Agreements | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/ | Sept. 2037 | $ 2,127,083 | $ (1,990,489) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/ | Sept. 2037 | 1,843,472 | (1,725,090) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $(348,750)) (i) | Sept. 2037 | 1,063,541 | (995,244) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $(701,375)) (i) | Sept. 2037 | 2,197,985 | (2,056,838) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value |
|
Credit Default Swaps - continued | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $(572,000)) (i) | Sept. 2037 | $ 3,119,721 | $ (2,919,383) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $(214,000)) (i) | Sept. 2037 | 1,134,444 | (1,061,594) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment Made/(Received) $(1,023,500)) (i) | Sept. 2037 | 3,261,527 | (3,052,082) | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (h) | August 2034 | 90,418 | (50,218) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 | Feb. 2034 | 4,841 | (4,566) | ||
| |||||
| Expiration Date | Notional Amount | Value |
|
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 (Rating-C) (h) | Dec. 2034 | $ 245,904 | $ (239,757) | ||
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (h) | Oct. 2034 | 127,968 | (127,145) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 | Dec. 2034 | 427,179 | (416,501) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (h) | Sept. 2034 | 89,622 | (67,742) | ||
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 (Rating-C) (h) | June 2035 | 213,551 | (196,823) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive semi-annually notional amount multiplied by .61% and pay JPMorgan Chase, Inc. upon credit event of United Mexican States, par value of the notional amount of United Mexican States | May 2011 | $ 4,290,000 | $ 5,138 | ||
Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon credit event of United Mexican States, par value of the notional amount of United Mexican States | May 2011 | 2,260,000 | 2,877 | ||
TOTAL CREDIT DEFAULT SWAPS | $ 22,497,256 | $ (14,895,457) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | 80,966,000 | 904,147 | ||
| $ 103,463,256 | $ (13,991,310) |
Legend |
(a) Non-income producing - Security is in default. |
(b) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $206,861,474 or 5.5% of net assets. |
(d) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $18,633,357 or 0.5% of net assets. |
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) A portion of the security is subject to a forward commitment to sell. |
(g) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $16,789,409. |
(h) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(i) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(l) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$595,112,000 due 1/03/11 at 0.26% | |
BNP Paribas Securities Corp. | $ 68,267,928 |
Bank of America NA | 73,033,355 |
Barclays Capital, Inc. | 22,822,923 |
Credit Agricole Securities (USA), Inc. | 5,583,948 |
HSBC Securities (USA), Inc. | 18,258,339 |
ING Financial Markets LLC | 21,910,006 |
J.P. Morgan Securities, Inc. | 18,258,339 |
Merrill Lynch Government Securities, Inc. | 32,865,010 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 36,501,231 |
Mizuho Securities USA, Inc. | 146,066,710 |
Societe Generale, New York Branch | 36,516,677 |
Wells Fargo Securities LLC | 115,027,534 |
| $ 595,112,000 |
Other Information |
The following is a summary of the inputs used, as of December 31, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Corporate Bonds | $ 898,964,209 | $ - | $ 898,964,209 | $ - |
U.S. Government and Government Agency Obligations | 1,198,066,106 | - | 1,198,066,106 | - |
U.S. Government Agency - Mortgage Securities | 1,529,673,315 | - | 1,529,673,315 | - |
Asset-Backed Securities | 96,077,647 | - | 91,992,025 | 4,085,622 |
Collateralized Mortgage Obligations | 69,375,128 | - | 68,869,354 | 505,774 |
Commercial Mortgage Securities | 253,357,549 | - | 243,048,311 | 10,309,238 |
Municipal Securities | 10,017,296 | - | 10,017,296 | - |
Foreign Government and Government Agency Obligations | 1,843,988 | - | 1,843,988 | - |
Supranational Obligations | 378,609 | - | 378,609 | - |
Preferred Securities | 2,363,147 | - | 2,363,147 | - |
Cash Equivalents | 595,112,000 | - | 595,112,000 | - |
Total Investments in Securities: | $ 4,655,228,994 | $ - | $ 4,640,328,360 | $ 14,900,634 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 912,162 | $ - | $ 912,162 | $ - |
Liabilities | ||||
Swap Agreements | $ (14,903,472) | $ - | $ (13,800,719) | $ (1,102,753) |
Total Derivative Instruments: | $ (13,991,310) | $ - | $ (12,888,557) | $ (1,102,753) |
Other Financial Instruments: | ||||
Forward Commitments | $ (1,935,055) | $ - | $ (1,935,055) | $ - |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value: |
Investments in Securities: | |
Beginning Balance | $ 14,822,693 |
Total Realized Gain (Loss) | (1,178,838) |
Total Unrealized Gain (Loss) | 3,830,464 |
Cost of Purchases | 2,149,062 |
Proceeds of Sales | (1,842,836) |
Amortization/Accretion | (590,231) |
Transfers in to Level 3 | 4,258,003 |
Transfers out of Level 3 | (6,547,683) |
Ending Balance | $ 14,900,634 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at December 31, 2010 | $ 2,336,040 |
Derivative Instruments: | |
Swap Agreements | |
Beginning Balance | $ (2,151,575) |
Total Unrealized Gain (Loss) | 1,124,186 |
Transfers in to Level 3 | (75,364) |
Transfers out of Level 3 | - |
Ending Balance | $ (1,102,753) |
Realized gain (loss) on Swap Agreements for the period | $ 483,000 |
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at December 31, 2010 | $ 576,599 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of December 31, 2010. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swap Agreements | $ 8,015 | $ (14,903,472) |
Interest Rate Risk | ||
Swap Agreements | 904,147 | - |
Total Value of Derivatives (a) | $ 912,162 | $ (14,903,472) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
| December 31, 2010 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $595,112,000) - See accompanying schedule: Unaffiliated issuers (cost $4,591,892,304) |
| $ 4,655,228,994 |
Commitment to sell securities on a delayed delivery basis | $ (338,697,446) | |
Receivable for securities sold on a delayed delivery basis | 336,762,391 | (1,935,055) |
Receivable for investments sold, regular delivery | 47,846,855 | |
Cash | 56,371 | |
Receivable for swap agreements | 5,033 | |
Interest receivable | 26,028,023 | |
Unrealized appreciation on swap agreements | 912,162 | |
Other receivables | 127 | |
Total assets | 4,728,142,510 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 63,313,367 | |
Delayed delivery | 891,520,784 | |
Payable for swap agreements | 296,379 | |
Unrealized depreciation on swap agreements | 14,903,472 | |
Other payables and accrued expenses | 17,477 | |
Total liabilities | 970,051,479 | |
|
|
|
Net Assets | $ 3,758,091,031 | |
Net Assets consist of: |
| |
Paid in capital | $ 3,691,566,497 | |
Undistributed net investment income | 8,506,392 | |
Accumulated undistributed net realized gain (loss) on investments | 9,355,288 | |
Net unrealized appreciation (depreciation) on investments | 48,662,854 | |
Net Assets, for 35,729,379 shares outstanding | $ 3,758,091,031 | |
Net Asset Value, offering price and redemption price per share ($3,758,091,031 ÷ 35,729,379 shares) | $ 105.18 |
Statement of Operations
| Year ended December 31, 2010 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 161,918 |
Interest |
| 145,080,348 |
Total income |
| 145,242,266 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 102,026 | |
Independent trustees' compensation | 14,263 | |
Total expenses before reductions | 116,289 | |
Expense reductions | (14,694) | 101,595 |
Net investment income | 145,140,671 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 126,911,348 | |
Swap agreements | 16,131,406 |
|
Total net realized gain (loss) |
| 143,042,754 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 40,510,873 | |
Swap agreements | (11,915,110) | |
Delayed delivery commitments | (2,850,134) |
|
Total change in net unrealized appreciation (depreciation) |
| 25,745,629 |
Net gain (loss) | 168,788,383 | |
Net increase (decrease) in net assets resulting from operations | $ 313,929,054 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
| Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 145,140,671 | $ 164,800,617 |
Net realized gain (loss) | 143,042,754 | 24,778,123 |
Change in net unrealized appreciation (depreciation) | 25,745,629 | 307,699,497 |
Net increase (decrease) in net assets resulting from operations | 313,929,054 | 497,278,237 |
Distributions to shareholders from net investment income | (145,185,204) | (157,751,977) |
Distributions to shareholders from net realized gain | (132,021,770) | (9,844,730) |
Total distributions | (277,206,974) | (167,596,707) |
Share transactions | 72,938,886 | 459,946,752 |
Reinvestment of distributions | 277,206,974 | 167,596,707 |
Cost of shares redeemed | (586,003,407) | (162,859,288) |
Net increase (decrease) in net assets resulting from share transactions | (235,857,547) | 464,684,171 |
Total increase (decrease) in net assets | (199,135,467) | 794,365,701 |
|
|
|
Net Assets | ||
Beginning of period | 3,957,226,498 | 3,162,860,797 |
End of period (including undistributed net investment income of $8,506,392 and undistributed net investment income of $9,252,186, respectively) | $ 3,758,091,031 | $ 3,957,226,498 |
Other Information Shares | ||
Sold | 678,877 | 4,495,735 |
Issued in reinvestment of distributions | 2,605,878 | 1,665,760 |
Redeemed | (5,416,725) | (1,669,790) |
Net increase (decrease) | (2,131,970) | 4,491,705 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 H |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 104.52 | $ 94.78 | $ 102.50 | $ 103.02 | $ 100.00 |
Income from Investment Operations |
|
|
|
|
|
Net investment income D | 3.943 | 4.762 | 5.319 | 5.534 | 2.814 |
Net realized and unrealized gain (loss) | 4.424 | 9.818 | (7.583) | (.594) | 3.132 |
Total from investment operations | 8.367 | 14.580 | (2.264) | 4.940 | 5.946 |
Distributions from net investment income | (3.947) | (4.580) | (5.236) | (5.385) | (2.826) |
Distributions from net realized gain | (3.760) | (.260) | (.220) | (.075) | (.100) |
Total distributions | (7.707) | (4.840) | (5.456) | (5.460) | (2.926) |
Net asset value, end of period | $ 105.18 | $ 104.52 | $ 94.78 | $ 102.50 | $ 103.02 |
Total Return B, C | 8.12% | 15.71% | (2.29) % | 4.94% | 5.95% |
Ratios to Average Net Assets E, I |
|
|
|
|
|
Expenses before reductions G | -% | -% | -% | -% | -% A |
Expenses net of fee waivers, if any G | -% | -% | -% | -% | -% A |
Expenses net of all reductions G | -% | -% | -% | -% | -% A |
Net investment income | 3.65% | 4.75% | 5.35% | 5.42% | 5.23% A |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,758,091 | $ 3,957,226 | $ 3,162,861 | $ 3,587,807 | $ 2,794,948 |
Portfolio turnover rate F | 230% | 141% | 140% | 137% | 99% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Amount represents less than .01%.
H For the period June 23, 2006 (commencement of operations) to December 31, 2006.
I Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended December 31, 2010
1. Organization.
Fidelity VIP Investment Grade Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds).
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of December 31, 2010 for the Fund's investments, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees.
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation.
Annual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income - continued
Interest is accrued based on the principal value, which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. As of December 31, 2010, the Fund did not have any unrecognized tax benefits in the accompanying financial statements. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, market discount, financing transactions and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 128,920,135 |
Gross unrealized depreciation | (63,120,034) |
Net unrealized appreciation (depreciation) | $ 65,800,101 |
Tax Cost | $ 4,589,428,893 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 5,972,092 |
Undistributed long-term capital gain | $ 8,733,328 |
Net unrealized appreciation (depreciation) | $ 51,819,112 |
The tax character of distributions paid was as follows:
| December 31, 2010 | December 31, 2009 |
Ordinary Income | $ 187,103,640 | $ 167,596,707 |
Long-term Capital Gains | 90,103,334 | - |
Total | $ 277,206,974 | $ 167,596,707 |
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Annual Report
Notes to Financial Statements - continued
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives may increase or decrease its exposure to the following risk:
Credit Risk | Credit risk relates to the ability of the issuer to a financial instrument to make further principal or interest payments on an obligation or commitment that it has entered into with the Fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized | Change in Net |
Credit Risk |
|
|
Swap Agreements | $ (3,687,760) | $ 4,152,801 |
Interest Rate Risk |
|
|
Swap Agreements | 19,819,166 | (16,067,911) |
Totals (a) | $ 16,131,406 | $ (11,915,110) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
Annual Report
4. Derivative Instruments - continued
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Risks of loss may include credit risk and interest rate risk. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. Periodic payments are made over the life of the contract provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.
As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller, if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
The notional amount of credit default swaps is included in the Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller amounted to $22,497,256 representing 0.60% of net assets.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $394,562,863 and $657,166,167, respectively.
Annual Report
Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
7. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $14,263.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $431.
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund according to the following schedule.
Fund | Ownership % |
VIP Asset Manager Portfolio | 13.2% |
VIP Asset Manager: Growth Portfolio | 1.0% |
VIP Balanced Portfolio | 10.8% |
VIP Investment Grade Bond Portfolio | 75.0% |
9. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market's perception of credit quality on securities backed by subprime mortgage loans have resulted in increased volatility of market price and periods of illiquidity that have adversely impacted the valuation of certain issuers of the Fund.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Garrison Street Trust and Shareholders of Fidelity VIP Investment Grade Central Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity VIP Investment Grade Central Fund (the Fund), a fund of Fidelity Garrison Street Trust, including the schedule of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended and for the period from June 23, 2006, (commencement of operations) to December 31, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity VIP Investment Grade Central Fund as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the four years in the period then ended and for the period from June 23, 2006, (commencement of operations) to December 31, 2006, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 22, 2011
Annual Report
Trustees and Officers
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 189 funds advised by FMR or an affiliate. Mr. Curvey oversees 408 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Kenneth L. Wolfe serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (49) | |
| Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (75) | |
| Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupations and Other Relevant Experience+ | |
Albert R. Gamper, Jr. (68) | |
| Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). He also served as President and Chief Executive Officer of Tyco Capital Corporation (2001-2002). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. Previously, Mr. Gamper served as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (59) | |
| Year of Election or Appointment: 2010 Mr. Gartland is a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-present) and is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (63) | |
| Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present) and AGL Resources, Inc. (holding company). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (56) | |
| Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of the Credit Suisse Funds (U.S. mutual funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (70) | |
| Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (64) | |
| Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007- |
Kenneth L. Wolfe (71) | |
| Year of Election or Appointment: 2005 Mr. Wolfe is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-present). Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
John R. Hebble (52) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (54) | |
| Year of Election or Appointment: 2005 Vice President of Fidelity's Fixed Income Funds and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of The North Carolina Capital Management Trust: Cash and Term Portfolio (2003-present), the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President of FIMM 130/30 LLC (2008-present), Director of Ballyrock Investment Advisors LLC (2006-present), and an Executive Vice President of FMR (2005-present). Previously, Mr. Greer served as Executive Vice President of FMR Co., Inc. (2005-2009), President and Director of Fidelity Investments Money Management, Inc. (2007-2009) and as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Christopher P. Sullivan (56) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Bond Funds. Mr. Sullivan also serves as President of Fidelity's Bond Division (2009-present). Mr. Sullivan is Executive Vice President of Fidelity Investments Money Management, Inc. (2009-present), and a Director of Fidelity Management & Research (U.K.) Inc. (2010-present). Previously, Mr. Sullivan served as Managing Director, Co-Head of U.S. Fixed Income at Goldman Sachs Asset Management (2001-2009). |
Christine J. Thompson (52) | |
| Year of Election or Appointment: 2010 Vice President of Fidelity's Bond Funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments. Previously, Ms. Thompson served as Director of Municipal Bond Portfolio Managers (2002-2010). |
Scott C. Goebel (42) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Deputy General Counsel of FMR LLC; Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), Fidelity Investments Money Management, Inc. (2008-present), Fidelity Management & Research (U.K.) Inc. (2008-present), and Fidelity Research and Analysis Company (2008-present). Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
David J. Carter (37) | |
| Year of Election or Appointment: 2010 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Carter also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present). |
Holly C. Laurent (56) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006). |
Christine Reynolds (52) | |
| Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (43) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Jeffrey S. Christian (49) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009). |
Bryan A. Mehrmann (49) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. |
Stephanie J. Dorsey (41) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Adrien E. Deberghes (43) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (41) | |
| Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (52) | |
| Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Jonathan Davis (42) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of the Fidelity funds. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of VIP Investment Grade Central Fund voted to pay on February 11, 2011, to shareholders of record at the opening of business on February 11, 2011, a distribution of $0.31 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2010, $98,836,662, or, if subsequently determined to be different, the net capital gain of such year.
A total of 15.91% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity VIP Investment Grade Central Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established three standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2010 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and that the lack of compensation to be received by Fidelity under the management contract is fair and reasonable.
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interest of the fund.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board noted that Fidelity's analysts have access to a variety of technological tools and market and securities data that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integral part of the fixed-income portfolio management investment process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the investment adviser's supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of investment management and support services and of shareholder and administrative services provided to the fund will benefit the fund's shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund's management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the fund's net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities, economies of scale cannot be realized by the fund.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends, actions to be taken by FMR to improve certain funds' overall performance, and Fidelity's long-term strategies for certain funds; (ii) Fidelity's fund profitability methodology and profitability trends for certain funds; (iii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iv) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (v) the compensation paid by FMR to fund sub-advisers on behalf of the Fidelity funds; (vi) Fidelity's fee structures and rationale for recommending different fees among different categories of funds and classes, as well as Fidelity's voluntary waiver of fees to maintain minimum yields for certain funds and classes; (vii) the rationale for any differences between fund fee structures and fee structures in place for other Fidelity clients; and (viii) explanations regarding the relative total expenses borne by certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expenses for certain funds and classes or to achieve further economies of scale.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Annual Report
Item 2. Code of Ethics
As of the end of the period, December 31, 2010, Fidelity Garrison Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to VIP Investment Grade Central Fund (the "Fund"):
Services Billed by Deloitte Entities
December 31, 2010 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
VIP Investment Grade Central Fund | $210,000 | $- | $6,000 | $- |
December 31, 2009 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
VIP Investment Grade Central Fund | $181,000 | $- | $6,000 | $- |
A Amounts may reflect rounding.
The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are rendered on behalf of Fidelity Management & Research Company ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Fund Service Providers"):
Services Billed by Deloitte Entities
| December 31, 2010A | December 31, 2009A |
Audit-Related Fees | $645,000 | $725,000 |
Tax Fees | $- | $- |
All Other Fees | $840,000 | $515,000 |
A Amounts may reflect rounding.
"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By | December 31, 2010 A | December 31, 2009 A |
Deloitte Entities | $1,585,000 | $1,245,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the Fund, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Garrison Street Trust
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | February 28, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | February 28, 2011 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | February 28, 2011 |