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)
Eric D. Roiter, 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: | June 30, 2006 |
Item 1. Reports to Stockholders
Fidelity® Variable Insurance Products:
Investment Grade
Central Investment Portfolio
Semiannual Report
June 30, 2006
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. 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-SANN-0806 438057.1.0
1.831205.100
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs. 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 actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 23, 2006 to June 30, 2006). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (January 1, 2006 to June 30, 2006).
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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Fund, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Fund. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Fund, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Fund. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,006.80 | $ - A, C |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.79 | $ .01 B |
A Actual expenses are equal to the Fund's annualized expense ratio of .0012%; multiplied by the average account value over the period, multiplied by 8/365 (to reflect the period June 23, 2006 to June 30, 2006).
B Hypothetical expenses are equal to the Fund's annualized expense ratio of .0012%; multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
C Amount represents less than $.01.
The fees and expenses of the underlying Fidelity Central Fund in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Summary
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Central Fund.
Quality Diversification (% of fund's net assets) | |||
As of June 30, 2006 | |||
![]() | U.S. Government and U.S. Government Agency Obligations 60.3% | ||
![]() | AAA 8.3% | ||
![]() | AA 4.2% | ||
![]() | A 6.2% | ||
![]() | BBB 14.5% | ||
![]() | BB and Below 2.0% | ||
![]() | Not Rated 0.8% | ||
![]() | Short-Term Investments and Net Other Assets 3.7% |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. |
Average Years to Maturity as of June 30, 2006 | |
Years | 6.6 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of June 30, 2006 | |
Years | 4.7 |
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 June 30, 2006 * | |||
![]() | Corporate Bonds 19.9% | ||
![]() | U.S. Government and U.S. Government Agency Obligations 60.3% | ||
![]() | Asset-Backed Securities 6.5% | ||
![]() | CMOs and Other Mortgage Related Securities 8.6% | ||
![]() | Other Investments 1.0% | ||
![]() | Short-Term Investments and Net Other Assets 3.7% | ||
* Foreign investments | 6.2% | ||
* Futures and Swaps | 17.8% |
For an unaudited list of holdings for each Fidelity Central Fund, visit advisor.fidelity.com.
Semiannual Report
Investments June 30, 2006 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 19.3% | ||||
Principal Amount | Value (Note 1) | |||
CONSUMER DISCRETIONARY - 2.2% | ||||
Automobiles - 0.2% | ||||
Ford Motor Co.: | ||||
6.625% 10/1/28 | $ 7,200,000 | $ 4,968,000 | ||
7.45% 7/16/31 | 2,220,000 | 1,603,950 | ||
6,571,950 | ||||
Household Durables - 0.1% | ||||
Fortune Brands, Inc. 5.125% 1/15/11 | 4,010,000 | 3,840,553 | ||
Media - 1.7% | ||||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 100,000 | 102,521 | ||
6.875% 5/1/12 | 290,000 | 299,707 | ||
7.625% 4/15/31 | 1,625,000 | 1,749,678 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 2,975,000 | 2,651,290 | ||
5.5% 3/15/11 | 2,675,000 | 2,627,160 | ||
6.45% 3/15/37 | 3,775,000 | 3,545,801 | ||
Cox Communications, Inc.: | ||||
4.625% 1/15/10 | 3,350,000 | 3,195,414 | ||
4.625% 6/1/13 | 3,475,000 | 3,119,056 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 1,845,000 | 1,676,644 | ||
8.25% 2/1/30 | 4,050,000 | 3,876,409 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 1,905,000 | 2,002,942 | ||
News America, Inc. 6.2% 12/15/34 | 3,695,000 | 3,353,179 | ||
Time Warner Entertainment Co. LP 8.375% 7/15/33 | 6,300,000 | 7,127,329 | ||
Time Warner, Inc.: | ||||
6.625% 5/15/29 | 3,350,000 | 3,218,801 | ||
9.125% 1/15/13 | 402,000 | 459,700 | ||
Viacom, Inc. 5.75% 4/30/11 (a) | 5,695,000 | 5,598,185 | ||
44,603,816 | ||||
Multiline Retail - 0.2% | ||||
The May Department Stores Co. 6.7% 7/15/34 | 4,045,000 | 3,950,056 | ||
TOTAL CONSUMER DISCRETIONARY | 58,966,375 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.1% | ||||
FBG Finance Ltd. 5.125% 6/15/15 (a) | 2,805,000 | 2,569,767 | ||
Food Products - 0.1% | ||||
H.J. Heinz Co. 6.428% 12/1/08 (a)(e) | 2,935,000 | 2,981,931 | ||
Personal Products - 0.1% | ||||
Avon Products, Inc. 5.125% 1/15/11 | 740,000 | 718,925 | ||
Principal Amount | Value (Note 1) | |||
Tobacco - 0.1% | ||||
Altria Group, Inc. 7% 11/4/13 | $ 505,000 | $ 532,775 | ||
Philip Morris Companies, Inc. 7.65% 7/1/08 | 2,500,000 | 2,585,543 | ||
3,118,318 | ||||
TOTAL CONSUMER STAPLES | 9,388,941 | |||
ENERGY - 2.0% | ||||
Energy Equipment & Services - 0.2% | ||||
Petronas Capital Ltd. 7% 5/22/12 (a) | 6,135,000 | 6,431,462 | ||
Oil, Gas & Consumable Fuels - 1.8% | ||||
Amerada Hess Corp. 6.65% 8/15/11 | 1,045,000 | 1,074,018 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 3,575,000 | 3,456,053 | ||
6.25% 2/15/13 | 855,000 | 863,235 | ||
6.75% 2/15/32 | 4,975,000 | 5,037,615 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (a) | 6,135,000 | 6,332,191 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 640,000 | 625,845 | ||
Kerr-McGee Corp. 6.95% 7/1/24 | 1,000,000 | 1,000,000 | ||
Kinder Morgan Energy Partners LP: | ||||
5.125% 11/15/14 | 1,045,000 | 953,998 | ||
5.8% 3/15/35 | 2,220,000 | 1,894,437 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (a) | 925,000 | 851,498 | ||
Nexen, Inc. 5.875% 3/10/35 | 4,105,000 | 3,623,988 | ||
Pemex Project Funding Master Trust: | ||||
5.75% 12/15/15 (a) | 650,000 | 598,650 | ||
5.75% 12/15/15 | 200,000 | 184,200 | ||
6.125% 8/15/08 | 6,850,000 | 6,836,300 | ||
6.625% 6/15/35 (a) | 5,950,000 | 5,384,750 | ||
7.375% 12/15/14 | 1,350,000 | 1,393,200 | ||
7.875% 2/1/09 (e) | 4,480,000 | 4,648,000 | ||
Talisman Energy, Inc. 5.85% 2/1/37 | 2,045,000 | 1,803,522 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 (a) | 1,380,000 | 1,321,350 | ||
47,882,850 | ||||
TOTAL ENERGY | 54,314,312 | |||
FINANCIALS - 7.6% | ||||
Capital Markets - 1.3% | ||||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 3,770,000 | 3,612,342 | ||
5.7% 9/1/12 | 2,935,000 | 2,906,501 | ||
6.45% 5/1/36 | 3,000,000 | 2,874,060 | ||
6.6% 1/15/12 | 4,610,000 | 4,757,792 | ||
Lazard Group LLC 7.125% 5/15/15 | 4,210,000 | 4,254,841 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | $ 7,275,000 | $ 6,914,509 | ||
Morgan Stanley 6.6% 4/1/12 | 7,695,000 | 7,987,879 | ||
33,307,924 | ||||
Commercial Banks - 0.6% | ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 1,560,000 | 1,479,565 | ||
Korea Development Bank 3.875% 3/2/09 | 5,775,000 | 5,498,799 | ||
SouthTrust Corp. 5.8% 6/15/14 | 1,440,000 | 1,416,377 | ||
Wachovia Bank NA 4.875% 2/1/15 | 4,405,000 | 4,076,532 | ||
Wachovia Corp. 4.875% 2/15/14 | 785,000 | 734,587 | ||
Woori Bank 6.125% 5/3/16 (a)(e) | 2,335,000 | 2,301,796 | ||
15,507,656 | ||||
Consumer Finance - 0.6% | ||||
Capital One Bank 6.5% 6/13/13 | 275,000 | 281,210 | ||
Capital One Financial Corp. 4.8% 2/21/12 | 1,100,000 | 1,037,658 | ||
Ford Motor Credit Co. 7.875% 6/15/10 | 200,000 | 184,498 | ||
Household Finance Corp. 4.125% 11/16/09 | 2,880,000 | 2,741,086 | ||
Household International, Inc. 5.836% 2/15/08 | 5,225,000 | 5,238,110 | ||
HSBC Finance Corp. 5% 6/30/15 | 3,525,000 | 3,252,948 | ||
MBNA America Bank NA 7.125% 11/15/12 | 1,075,000 | 1,147,529 | ||
MBNA Corp. 7.5% 3/15/12 | 1,860,000 | 2,011,982 | ||
15,895,021 | ||||
Diversified Financial Services - 1.4% | ||||
Alliance Capital Management LP 5.625% 8/15/06 | 2,625,000 | 2,625,139 | ||
Bank of America Corp. 7.4% 1/15/11 | 8,125,000 | 8,645,138 | ||
Citigroup, Inc. 5% 9/15/14 | 2,325,000 | 2,176,123 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (e) | 20,000 | 19,258 | ||
5.6% 6/1/11 | 127,000 | 126,185 | ||
5.75% 1/2/13 | 3,500,000 | 3,464,549 | ||
JPMorgan Chase Capital XVII 5.85% 8/1/35 | 12,475,000 | 11,025,168 | ||
Prime Property Funding, Inc. 5.125% 6/1/15 (a) | 3,375,000 | 3,094,747 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 2,940,000 | 2,757,261 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (a)(e) | 3,400,000 | 3,110,691 | ||
37,044,259 | ||||
Principal Amount | Value (Note 1) | |||
Insurance - 0.8% | ||||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | $ 2,670,000 | $ 2,518,801 | ||
Lincoln National Corp. 7% 5/17/66 (e) | 5,510,000 | 5,467,264 | ||
Marsh & McLennan Companies, Inc.: | ||||
5.75% 9/15/15 | 790,000 | 745,742 | ||
7.125% 6/15/09 | 4,259,000 | 4,382,592 | ||
Principal Life Global Funding I 6.25% 2/15/12 (a) | 2,310,000 | 2,356,778 | ||
Symetra Financial Corp. 6.125% 4/1/16 (a) | 2,320,000 | 2,246,312 | ||
The St. Paul Travelers Companies, Inc. 5.5% 12/1/15 | 4,060,000 | 3,834,796 | ||
21,552,285 | ||||
Real Estate Investment Trusts - 1.8% | ||||
Archstone-Smith Operating Trust 5.25% 5/1/15 | 4,875,000 | 4,582,875 | ||
Arden Realty LP: | ||||
5.25% 3/1/15 | 625,000 | 597,995 | ||
7% 11/15/07 | 5,000,000 | 5,091,600 | ||
AvalonBay Communities, Inc. 5% 8/1/07 | 2,315,000 | 2,281,632 | ||
Brandywine Operating Partnership LP 5.75% 4/1/12 | 1,770,000 | 1,732,464 | ||
BRE Properties, Inc. 5.95% 3/15/07 | 250,000 | 250,296 | ||
CarrAmerica Realty Corp.: | ||||
5.125% 9/1/11 | 10,465,000 | 10,496,280 | ||
5.5% 12/15/10 | 3,335,000 | 3,359,082 | ||
Colonial Properties Trust: | ||||
4.75% 2/1/10 | 615,000 | 588,789 | ||
5.5% 10/1/15 | 5,650,000 | 5,280,982 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 225,000 | 214,259 | ||
5% 5/3/10 | 2,435,000 | 2,359,483 | ||
5.25% 4/15/11 | 1,395,000 | 1,350,813 | ||
5.375% 10/15/12 | 1,240,000 | 1,191,635 | ||
HRPT Properties Trust 5.75% 11/1/15 | 670,000 | 638,336 | ||
Mack-Cali Realty LP 5.05% 4/15/10 | 305,000 | 293,977 | ||
Simon Property Group LP: | ||||
5.1% 6/15/15 | 3,210,000 | 2,966,721 | ||
5.625% 8/15/14 | 4,550,000 | 4,410,543 | ||
United Dominion Realty Trust 5.25% 1/15/15 | 445,000 | 414,483 | ||
Washington (REIT) 5.95% 6/15/11 | 1,100,000 | 1,094,982 | ||
49,197,227 | ||||
Real Estate Management & Development - 0.6% | ||||
EOP Operating LP: | ||||
4.65% 10/1/10 | 10,395,000 | 9,856,144 | ||
6.8% 1/15/09 | 150,000 | 153,173 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
EOP Operating LP: - continued | ||||
7% 7/15/11 | $ 1,925,000 | $ 1,999,813 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 2,655,000 | 2,638,167 | ||
Regency Centers LP 6.75% 1/15/12 | 2,035,000 | 2,106,911 | ||
16,754,208 | ||||
Thrifts & Mortgage Finance - 0.5% | ||||
Independence Community Bank Corp. 3.75% 4/1/14 (e) | 3,820,000 | 3,612,230 | ||
Residential Capital Corp. 6.875% 6/30/15 | 3,875,000 | 3,871,082 | ||
Washington Mutual, Inc. 4.625% 4/1/14 | 5,300,000 | 4,788,105 | ||
12,271,417 | ||||
TOTAL FINANCIALS | 201,529,997 | |||
HEALTH CARE - 0.1% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Boston Scientific Corp. 6.4% 6/15/16 | 2,975,000 | 2,898,123 | ||
INDUSTRIALS - 1.3% | ||||
Aerospace & Defense - 0.3% | ||||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (a) | 3,465,000 | 3,320,066 | ||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (a) | 4,515,000 | 3,928,050 | ||
7.45% 5/1/34 (a) | 420,000 | 350,700 | ||
7,598,816 | ||||
Airlines - 0.8% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.855% 10/15/10 | 313,445 | 316,641 | ||
6.978% 10/1/12 | 839,816 | 855,743 | ||
7.024% 4/15/11 | 2,180,000 | 2,239,950 | ||
7.858% 4/1/13 | 3,480,000 | 3,688,800 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.648% 3/15/19 | 2,326,553 | 2,313,411 | ||
6.795% 2/2/20 | 4,151,572 | 3,943,993 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.111% 3/18/13 | 1,290,000 | 1,288,388 | ||
7.57% 11/18/10 | 2,285,000 | 2,293,569 | ||
U.S. Airways pass thru trust certificates 6.85% 7/30/19 | 1,671,576 | 1,692,470 | ||
United Airlines pass thru Certificates: | ||||
6.071% 9/1/14 | 1,213,640 | 1,210,606 | ||
Principal Amount | Value (Note 1) | |||
6.201% 3/1/10 | $ 514,677 | $ 514,677 | ||
6.602% 9/1/13 | 1,544,695 | 1,550,194 | ||
21,908,442 | ||||
Industrial Conglomerates - 0.2% | ||||
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (a) | 3,860,000 | 3,907,293 | ||
TOTAL INDUSTRIALS | 33,414,551 | |||
INFORMATION TECHNOLOGY - 0.2% | ||||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
Chartered Semiconductor Manufacturing Ltd.: | ||||
5.75% 8/3/10 | 195,000 | 189,690 | ||
6.375% 8/3/15 | 4,830,000 | 4,611,013 | ||
4,800,703 | ||||
MATERIALS - 0.2% | ||||
Metals & Mining - 0.1% | ||||
Newmont Mining Corp. 5.875% 4/1/35 | 2,985,000 | 2,671,503 | ||
Paper & Forest Products - 0.1% | ||||
International Paper Co. 4.25% 1/15/09 | 1,900,000 | 1,825,976 | ||
TOTAL MATERIALS | 4,497,479 | |||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 2.4% | ||||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,150,000 | 2,387,876 | ||
AT&T, Inc. 6.8% 5/15/36 | 11,550,000 | 11,448,083 | ||
British Telecommunications PLC 8.875% 12/15/30 | 4,750,000 | 5,837,779 | ||
Deutsche Telekom International Finance BV 5.25% 7/22/13 | 2,500,000 | 2,348,493 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 2,610,000 | 2,595,663 | ||
7.995% 6/1/36 | 4,122,000 | 4,143,035 | ||
SBC Communications, Inc.: | ||||
6.15% 9/15/34 | 1,180,000 | 1,082,946 | ||
6.45% 6/15/34 | 3,620,000 | 3,441,034 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 4,455,000 | 4,487,998 | ||
8.375% 3/15/12 | 2,635,000 | 2,911,406 | ||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | 2,000,000 | 1,790,514 | ||
6.375% 11/15/33 | 6,500,000 | 5,877,008 | ||
Telefonica Emisiones SAU 7.045% 6/20/36 | 9,110,000 | 9,116,377 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon Global Funding Corp. 7.75% 12/1/30 | $ 5,043,000 | $ 5,439,118 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 1,095,000 | 1,109,556 | ||
64,016,886 | ||||
Wireless Telecommunication Services - 0.4% | ||||
America Movil SA de CV: | ||||
4.125% 3/1/09 | 1,755,000 | 1,664,468 | ||
6.375% 3/1/35 | 5,155,000 | 4,480,829 | ||
AT&T Wireless Services, Inc. 7.875% 3/1/11 | 1,530,000 | 1,647,997 | ||
Nextel Communications, Inc. 5.95% 3/15/14 | 1,555,000 | 1,516,125 | ||
Vodafone Group PLC 5% 12/16/13 | 1,890,000 | 1,746,859 | ||
11,056,278 | ||||
TOTAL TELECOMMUNICATION SERVICES | 75,073,164 | |||
UTILITIES - 2.5% | ||||
Electric Utilities - 1.5% | ||||
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 4,640,000 | 4,497,807 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 5,075,000 | 4,633,962 | ||
6.75% 5/1/11 | 2,230,000 | 2,304,493 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 2,980,000 | 3,032,216 | ||
Monongahela Power Co. 5% 10/1/06 | 2,260,000 | 2,254,678 | ||
Nevada Power Co. 6.5% 5/15/18 (a) | 2,130,000 | 2,078,880 | ||
Niagara Mohawk Power Corp. 8.875% 5/15/07 | 75,000 | 76,882 | ||
PPL Energy Supply LLC: | ||||
5.7% 10/15/35 | 3,030,000 | 2,873,076 | ||
6.2% 5/15/16 | 2,715,000 | 2,691,295 | ||
Progress Energy, Inc.: | ||||
5.625% 1/15/16 | 2,000,000 | 1,911,384 | ||
7.1% 3/1/11 | 6,980,000 | 7,281,208 | ||
TXU Energy Co. LLC 7% 3/15/13 | 7,275,000 | 7,425,869 | ||
41,061,750 | ||||
Gas Utilities - 0.0% | ||||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 185,000 | 194,461 | ||
Independent Power Producers & Energy Traders - 0.3% | ||||
Constellation Energy Group, Inc. 7% 4/1/12 | 5,525,000 | 5,759,227 | ||
TXU Corp. 5.55% 11/15/14 | 980,000 | 888,272 | ||
6,647,499 | ||||
Principal Amount | Value (Note 1) | |||
Multi-Utilities - 0.7% | ||||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | $ 3,540,000 | $ 3,378,838 | ||
5.95% 6/15/35 | 5,065,000 | 4,541,163 | ||
6.25% 6/30/12 | 3,230,000 | 3,252,494 | ||
MidAmerican Energy Holdings, Inc.: | ||||
5.875% 10/1/12 | 2,880,000 | 2,856,914 | ||
6.125% 4/1/36 (a) | 3,860,000 | 3,608,251 | ||
TECO Energy, Inc. 7% 5/1/12 | 1,740,000 | 1,731,300 | ||
19,368,960 | ||||
TOTAL UTILITIES | 67,272,670 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $529,532,335) | 512,156,315 | |||
U.S. Government and Government Agency Obligations - 26.2% | ||||
U.S. Government Agency Obligations - 4.5% | ||||
Fannie Mae: | ||||
3.25% 1/15/08 | 11,565,000 | 11,189,242 | ||
3.25% 8/15/08 | 1,090,000 | 1,042,311 | ||
3.25% 2/15/09 | 3,286,000 | 3,111,773 | ||
3.375% 12/15/08 | 374,000 | 356,404 | ||
4.625% 5/1/13 | 20,450,000 | 19,188,133 | ||
4.75% 12/15/10 | 9,565,000 | 9,292,570 | ||
5.25% 8/1/12 | 10,000,000 | 9,770,630 | ||
5.5% 3/15/11 | 9,615,000 | 9,620,394 | ||
6.25% 2/1/11 | 3,890,000 | 3,984,064 | ||
Freddie Mac: | ||||
4% 6/12/13 | 17,620,000 | 16,045,688 | ||
4.25% 7/15/09 | 7,900,000 | 7,641,820 | ||
5.75% 1/15/12 | 6,410,000 | 6,485,407 | ||
5.875% 3/21/11 | 13,965,000 | 14,076,483 | ||
6.625% 9/15/09 | 3,475,000 | 3,593,810 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 2,375,000 | 2,244,280 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | 2,530,000 | 2,513,945 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 120,156,954 | |||
U.S. Treasury Inflation Protected Obligations - 5.3% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 23,605,926 | 22,268,820 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount | Value (Note 1) | |||
U.S. Treasury Inflation Protected Obligations - continued | ||||
U.S. Treasury Inflation-Indexed Notes: - continued | ||||
2% 1/15/14 (c) | $ 109,127,841 | $ 105,325,118 | ||
2.375% 4/15/11 | 13,707,239 | 13,652,540 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 141,246,478 | |||
U.S. Treasury Obligations - 16.4% | ||||
U.S. Treasury Bonds 6.25% 5/15/30 | 11,684,000 | 13,233,953 | ||
U.S. Treasury Notes: | ||||
3.375% 12/15/08 | 145,000,000 | 139,154,760 | ||
3.375% 10/15/09 | 20,000,000 | 18,959,380 | ||
4.25% 8/15/13 | 99,342,000 | 94,250,723 | ||
4.375% 12/15/10 | 59,935,000 | 58,216,544 | ||
4.75% 5/15/14 | 102,120,000 | 99,618,877 | ||
6.5% 2/15/10 | 9,820,000 | 10,259,985 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 433,694,222 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $716,313,197) | 695,097,654 | |||
U.S. Government Agency - Mortgage Securities - 30.8% | ||||
Fannie Mae - 29.0% | ||||
3.732% 1/1/35 (e) | 521,229 | 510,940 | ||
3.748% 12/1/34 (e) | 363,462 | 354,666 | ||
3.757% 10/1/33 (e) | 332,882 | 323,521 | ||
3.769% 12/1/34 (e) | 66,024 | 64,843 | ||
3.791% 6/1/34 (e) | 1,535,353 | 1,479,481 | ||
3.817% 6/1/33 (e) | 270,164 | 264,034 | ||
3.833% 1/1/35 (e) | 322,262 | 316,400 | ||
3.844% 1/1/35 (e) | 933,288 | 915,546 | ||
3.852% 10/1/33 (e) | 8,365,552 | 8,158,170 | ||
3.867% 1/1/35 (e) | 548,250 | 538,474 | ||
3.898% 10/1/34 (e) | 381,439 | 376,644 | ||
3.919% 12/1/34 (e) | 331,811 | 325,922 | ||
3.95% 1/1/35 (e) | 415,270 | 408,422 | ||
3.958% 12/1/34 (e) | 2,097,729 | 2,061,501 | ||
3.96% 12/1/34 (e) | 313,020 | 307,996 | ||
3.963% 5/1/33 (e) | 102,198 | 100,055 | ||
3.979% 12/1/34 (e) | 386,262 | 380,121 | ||
3.981% 5/1/34 (e) | 112,079 | 111,663 | ||
3.997% 12/1/34 (e) | 202,485 | 198,942 | ||
3.997% 1/1/35 (e) | 269,797 | 265,365 | ||
Principal Amount | Value (Note 1) | |||
4% 8/1/18 to 6/1/19 | $ 4,094,835 | $ 3,791,228 | ||
4.009% 2/1/35 (e) | 292,736 | 287,546 | ||
4.034% 10/1/18 (e) | 298,038 | 291,291 | ||
4.034% 2/1/35 (e) | 284,878 | 279,992 | ||
4.035% 12/1/34 (e) | 554,830 | 546,231 | ||
4.046% 1/1/35 (e) | 256,615 | 252,494 | ||
4.049% 1/1/35 (e) | 169,624 | 166,706 | ||
4.065% 4/1/33 (e) | 112,150 | 110,359 | ||
4.068% 1/1/35 (e) | 557,205 | 548,228 | ||
4.079% 2/1/35 (e) | 514,224 | 505,811 | ||
4.089% 2/1/35 (e) | 215,038 | 211,623 | ||
4.09% 2/1/35 (e) | 235,102 | 231,101 | ||
4.106% 1/1/35 (e) | 585,106 | 575,539 | ||
4.109% 11/1/34 (e) | 443,873 | 436,665 | ||
4.112% 2/1/35 (e) | 1,001,378 | 986,037 | ||
4.115% 1/1/35 (e) | 608,574 | 599,001 | ||
4.115% 2/1/35 (e) | 703,418 | 691,846 | ||
4.129% 1/1/35 (e) | 1,035,803 | 1,019,313 | ||
4.144% 1/1/35 (e) | 872,556 | 863,263 | ||
4.148% 2/1/35 (e) | 510,076 | 502,114 | ||
4.16% 1/1/35 (e) | 1,034,922 | 1,020,692 | ||
4.172% 1/1/35 (e) | 703,497 | 679,789 | ||
4.178% 10/1/34 (e) | 853,360 | 843,537 | ||
4.178% 1/1/35 (e) | 508,756 | 501,150 | ||
4.181% 11/1/34 (e) | 145,351 | 144,066 | ||
4.199% 11/1/34 (e) | 31,239 | 30,866 | ||
4.205% 1/1/35 (e) | 316,859 | 312,356 | ||
4.216% 10/1/34 (e) | 63,357 | 62,486 | ||
4.245% 10/1/34 (e) | 55,377 | 54,717 | ||
4.25% 2/1/35 (e) | 342,115 | 331,889 | ||
4.25% 2/1/35 (e) | 189,893 | 187,394 | ||
4.274% 8/1/33 (e) | 656,858 | 646,308 | ||
4.275% 3/1/35 (e) | 332,700 | 327,331 | ||
4.287% 12/1/34 (e) | 204,182 | 201,113 | ||
4.289% 7/1/34 (e) | 244,749 | 243,077 | ||
4.294% 3/1/33 (e) | 388,420 | 382,873 | ||
4.305% 5/1/35 (e) | 437,602 | 431,086 | ||
4.306% 10/1/33 (e) | 146,192 | 143,267 | ||
4.317% 3/1/33 (e) | 185,931 | 179,911 | ||
4.33% 6/1/33 (e) | 178,783 | 176,024 | ||
4.355% 4/1/35 (e) | 199,999 | 196,905 | ||
4.356% 1/1/35 (e) | 349,711 | 339,087 | ||
4.362% 2/1/34 (e) | 752,612 | 737,033 | ||
4.395% 2/1/35 (e) | 501,220 | 486,665 | ||
4.398% 5/1/35 (e) | 961,030 | 946,663 | ||
4.416% 1/1/35 (e) | 432,984 | 427,043 | ||
4.429% 10/1/34 (e) | 1,588,124 | 1,580,295 | ||
4.439% 3/1/35 (e) | 450,150 | 436,789 | ||
4.461% 8/1/34 (e) | 1,014,950 | 993,656 | ||
4.469% 5/1/35 (e) | 300,978 | 296,569 | ||
4.487% 1/1/35 (e) | 472,096 | 467,059 | ||
4.493% 3/1/35 (e) | 1,092,932 | 1,062,472 | ||
4.498% 8/1/34 (e) | 2,015,707 | 2,010,768 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value (Note 1) | |||
Fannie Mae - continued | ||||
4.5% 4/1/18 to 3/1/35 | $ 111,008,019 | $ 103,801,939 | ||
4.5% 7/13/36 (b) | 15,000,000 | 13,587,450 | ||
4.513% 10/1/35 (e) | 91,086 | 89,532 | ||
4.517% 3/1/35 (e) | 1,049,223 | 1,020,484 | ||
4.525% 2/1/35 (e) | 5,256,885 | 5,160,263 | ||
4.538% 2/1/35 (e) | 2,117,850 | 2,093,918 | ||
4.538% 2/1/35 (e) | 316,301 | 312,553 | ||
4.544% 7/1/35 (e) | 1,201,691 | 1,184,507 | ||
4.547% 2/1/35 (e) | 214,944 | 212,629 | ||
4.553% 9/1/34 (e) | 1,199,721 | 1,196,446 | ||
4.556% 1/1/35 (e) | 670,622 | 663,541 | ||
4.576% 7/1/35 (e) | 1,246,036 | 1,228,280 | ||
4.581% 2/1/35 (e) | 965,274 | 942,281 | ||
4.586% 8/1/34 (e) | 414,261 | 411,668 | ||
4.587% 2/1/35 (e) | 3,282,661 | 3,198,166 | ||
4.616% 11/1/34 (e) | 1,036,228 | 1,013,390 | ||
4.633% 3/1/35 (e) | 153,479 | 151,890 | ||
4.644% 1/1/33 (e) | 217,624 | 215,544 | ||
4.667% 11/1/34 (e) | 1,182,456 | 1,156,431 | ||
4.675% 3/1/35 (e) | 2,602,844 | 2,576,555 | ||
4.684% 9/1/34 (e) | 109,944 | 109,457 | ||
4.698% 10/1/32 (e) | 67,932 | 67,616 | ||
4.7% 3/1/35 (e) | 580,962 | 567,210 | ||
4.726% 7/1/34 (e) | 965,910 | 947,780 | ||
4.73% 2/1/33 (e) | 65,894 | 65,344 | ||
4.731% 10/1/34 (e) | 1,247,695 | 1,223,065 | ||
4.732% 10/1/32 (e) | 88,000 | 88,718 | ||
4.746% 1/1/35 (e) | 53,295 | 52,852 | ||
4.778% 12/1/34 (e) | 866,689 | 849,936 | ||
4.792% 12/1/32 (e) | 463,244 | 461,095 | ||
4.798% 12/1/34 (e) | 342,169 | 335,592 | ||
4.811% 6/1/35 (e) | 1,568,684 | 1,551,460 | ||
4.813% 8/1/34 (e) | 343,500 | 341,405 | ||
4.815% 5/1/33 (e) | 31,708 | 31,470 | ||
4.825% 11/1/34 (e) | 957,797 | 940,470 | ||
4.873% 10/1/34 (e) | 3,780,274 | 3,713,931 | ||
4.988% 11/1/32 (e) | 244,185 | 243,943 | ||
4.988% 12/1/32 (e) | 33,723 | 33,535 | ||
4.998% 2/1/35 (e) | 135,431 | 134,568 | ||
5% 10/1/17 to 7/1/36 | 203,200,867 | 192,449,831 | ||
5% 7/13/36 (b) | 25,000,000 | 23,364,750 | ||
5.044% 7/1/34 (e) | 180,290 | 178,139 | ||
5.064% 11/1/34 (e) | 80,642 | 80,207 | ||
5.078% 9/1/34 (e) | 3,095,582 | 3,057,878 | ||
5.097% 5/1/35 (e) | 2,167,349 | 2,154,908 | ||
5.176% 5/1/35 (e) | 3,261,252 | 3,220,160 | ||
5.182% 8/1/33 (e) | 468,742 | 465,071 | ||
5.183% 5/1/35 (e) | 1,226,565 | 1,211,270 | ||
Principal Amount | Value (Note 1) | |||
5.197% 6/1/35 (e) | $ 1,499,971 | $ 1,493,296 | ||
5.213% 5/1/35 (e) | 3,599,108 | 3,555,775 | ||
5.303% 7/1/35 (e) | 189,979 | 189,215 | ||
5.5% 6/1/09 to 7/1/36 | 206,048,680 | 198,891,619 | ||
5.505% 2/1/36 (e) | 6,164,250 | 6,112,101 | ||
5.636% 1/1/36 (e) | 1,725,340 | 1,717,024 | ||
5.916% 1/1/36 (e) | 1,233,274 | 1,229,599 | ||
6% 2/1/13 to 6/1/36 | 41,044,615 | 40,850,897 | ||
6% 7/13/36 (b) | 25,000,000 | 24,597,500 | ||
6.5% 6/1/11 to 7/1/34 | 55,900,398 | 56,537,197 | ||
7% 3/1/15 to 8/1/32 | 4,775,107 | 4,909,200 | ||
7.5% 8/1/08 to 11/1/31 | 3,717,430 | 3,863,768 | ||
8% 1/1/30 to 6/1/30 | 132,426 | 140,676 | ||
8.5% 3/1/25 to 6/1/25 | 1,446 | 1,535 | ||
TOTAL FANNIE MAE | 769,488,560 | |||
Freddie Mac - 1.0% | ||||
4% 2/1/20 | 4,262,447 | 3,933,514 | ||
4.048% 12/1/34 (e) | 356,760 | 349,611 | ||
4.103% 12/1/34 (e) | 520,683 | 510,472 | ||
4.139% 1/1/35 (e) | 1,535,148 | 1,505,197 | ||
4.268% 3/1/35 (e) | 436,727 | 428,626 | ||
4.285% 5/1/35 (e) | 821,715 | 807,393 | ||
4.3% 12/1/34 (e) | 512,193 | 494,783 | ||
4.344% 2/1/35 (e) | 930,825 | 914,936 | ||
4.358% 3/1/35 (e) | 773,782 | 747,907 | ||
4.381% 2/1/35 (e) | 959,913 | 927,746 | ||
4.439% 2/1/34 (e) | 466,022 | 454,982 | ||
4.443% 3/1/35 (e) | 515,052 | 498,308 | ||
4.459% 6/1/35 (e) | 637,064 | 625,380 | ||
4.465% 3/1/35 (e) | 511,345 | 495,135 | ||
4.5% 5/1/19 | 46,519 | 43,991 | ||
4.548% 2/1/35 (e) | 787,826 | 763,743 | ||
4.783% 10/1/32 (e) | 61,381 | 60,737 | ||
4.86% 3/1/33 (e) | 177,146 | 175,495 | ||
5.005% 4/1/35 (e) | 2,462,949 | 2,438,517 | ||
5.14% 4/1/35 (e) | 2,119,640 | 2,083,797 | ||
5.332% 6/1/35 (e) | 1,504,999 | 1,488,023 | ||
5.43% 8/1/33 (e) | 217,407 | 217,653 | ||
5.549% 4/1/32 (e) | 84,269 | 84,854 | ||
5.567% 1/1/36 (e) | 3,027,708 | 2,997,492 | ||
6% 5/1/33 | 4,355,718 | 4,308,415 | ||
7.5% 5/1/17 to 11/1/31 | 447,787 | 465,432 | ||
8% 7/1/17 to 5/1/27 | 51,296 | 53,889 | ||
8.5% 3/1/20 to 1/1/28 | 294,235 | 312,753 | ||
TOTAL FREDDIE MAC | 28,188,781 | |||
Government National Mortgage Association - 0.8% | ||||
4.25% 7/20/34 (e) | 707,298 | 695,720 | ||
6% 8/15/08 to 8/15/29 | 3,549,191 | 3,543,084 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value (Note 1) | |||
Government National Mortgage Association - continued | ||||
6.5% 6/15/08 to 9/15/32 | $ 4,889,023 | $ 4,973,267 | ||
7% 1/15/28 to 11/15/32 | 8,464,624 | 8,755,034 | ||
7.5% 12/15/06 to 10/15/28 | 1,839,621 | 1,922,192 | ||
8% 2/15/17 to 1/15/31 | 252,680 | 268,269 | ||
8.5% 12/15/16 to 11/15/30 | 102,406 | 108,441 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 20,266,007 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $840,414,162) | 817,943,348 | |||
Asset-Backed Securities - 3.6% | ||||
ACE Securities Corp.: | ||||
Series 2004-HE1: | ||||
Class M1, 5.8225% 2/25/34 (e) | 950,000 | 952,388 | ||
Class M2, 6.4225% 2/25/34 (e) | 1,075,000 | 1,083,897 | ||
Series 2005-SD1 Class A1, 5.7225% 11/25/50 (e) | 573,605 | 574,421 | ||
Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (a) | 1,200,000 | 1,166,493 | ||
Aircraft Lease Securitization Ltd. Series 2005-1 Class C1, 8.88% 9/9/30 (a)(e) | 451,970 | 458,749 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2003-BX Class A4B, 5.6075% 1/6/10 (e) | 1,000,863 | 1,002,346 | ||
Series 2006-1: | ||||
Class A3, 5.11% 10/6/10 | 97,000 | 96,089 | ||
Class B1, 5.2% 3/6/11 | 305,000 | 300,948 | ||
Class C1, 5.28% 11/6/11 | 1,850,000 | 1,822,830 | ||
Class E1, 6.62% 5/6/13 (a) | 1,540,000 | 1,537,213 | ||
Ameriquest Mortgage Securities, Inc. Series 2004-R2: | ||||
Class M1, 5.7525% 4/25/34 (e) | 535,000 | 534,988 | ||
Class M2, 5.8025% 4/25/34 (e) | 425,000 | 424,990 | ||
Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 6.4225% 1/25/32 (e) | 223,880 | 225,561 | ||
ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (a) | 1,300,000 | 1,266,609 | ||
Argent Securities, Inc.: | ||||
Series 2004-W5 Class M1, 5.9225% 4/25/34 (e) | 1,730,000 | 1,731,986 | ||
Series 2006-W1 Class M10, 7.8225% 3/25/36 (e) | 1,860,000 | 1,711,345 | ||
Principal Amount | Value (Note 1) | |||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 5.8725% 4/25/34 (e) | $ 1,660,000 | $ 1,674,449 | ||
Series 2004-HE3: | ||||
Class M1, 5.8625% 6/25/34 (e) | 175,000 | 176,432 | ||
Class M2, 6.4425% 6/25/34 (e) | 400,000 | 404,767 | ||
Capital Auto Receivables Asset Trust Series 2006-1: | ||||
Class A3, 5.03% 10/15/09 | 995,000 | 985,778 | ||
Class B, 5.26% 10/15/10 | 945,000 | 931,049 | ||
Class C, 5.55% 1/18/11 | 5,965,000 | 5,867,813 | ||
Class D, 7.16% 1/15/13 (a) | 645,000 | 638,348 | ||
Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12 | 4,465,000 | 4,267,779 | ||
CDC Mortgage Capital Trust Series 2004-HE2 Class M2, 6.5225% 7/26/34 (e) | 275,000 | 276,943 | ||
Cendant Timeshare Receivables Funding LLC Series 2005-1A Class A1, 4.67% 5/20/17 (a) | 1,368,510 | 1,335,778 | ||
CIT Equipment Collateral Trust Series 2006-VT1 Class A3, 5.13% 12/21/08 | 3,380,000 | 3,356,361 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2005-B1 Class B1, 4.4% 9/15/10 | 5,120,000 | 4,980,323 | ||
Series 2006-B2 Class B2, 5.15% 3/7/11 | 2,270,000 | 2,237,693 | ||
CNH Equipment Trust Series 2006-A Class A3, 5.2% 8/16/10 | 2,415,000 | 2,399,266 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-2 Class M1, 5.8225% 5/25/34 (e) | 3,145,000 | 3,157,700 | ||
Series 2004-3 Class M1, 5.8225% 6/25/34 (e) | 625,000 | 628,194 | ||
Series 2004-4: | ||||
Class A, 5.6925% 8/25/34 (e) | 135,071 | 135,228 | ||
Class M1, 5.8025% 7/25/34 (e) | 550,000 | 553,371 | ||
Class M2, 5.8525% 6/25/34 (e) | 620,000 | 623,335 | ||
Series 2005-1: | ||||
Class MV1, 5.7225% 7/25/35 (e) | 1,275,000 | 1,279,331 | ||
Class MV2, 5.7625% 7/25/35 (e) | 1,520,000 | 1,525,992 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: | ||||
Class B, 4.878% 6/15/35 (a) | 2,052,000 | 1,972,818 | ||
Class C, 5.074% 6/15/35 (a) | 1,862,000 | 1,790,484 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value (Note 1) | |||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (a) | $ 840,000 | $ 843,237 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||
Class M3, 5.8725% 3/25/34 (e) | 175,000 | 175,472 | ||
Class M4, 6.2225% 3/25/34 (e) | 125,000 | 125,762 | ||
Ford Credit Auto Owner Trust Series 2006-A Class A3, 5.05% 11/15/09 | 2,335,000 | 2,314,833 | ||
Fremont Home Loan Trust: | ||||
Series 2004-A: | ||||
Class M1, 5.8725% 1/25/34 (e) | 2,000,000 | 2,009,401 | ||
Class M2, 6.4725% 1/25/34 (e) | 2,300,000 | 2,315,138 | ||
Series 2005-A: | ||||
Class M1, 5.7525% 1/25/35 (e) | 250,000 | 251,689 | ||
Class M2, 5.7825% 1/25/35 (e) | 350,000 | 351,859 | ||
Class M3, 5.8125% 1/25/35 (e) | 200,000 | 201,389 | ||
Class M4, 6.0025% 1/25/35 (e) | 150,000 | 151,575 | ||
GSAMP Trust Series 2004-FM2: | ||||
Class M1, 5.8225% 1/25/34 (e) | 1,498,100 | 1,498,069 | ||
Class M2, 6.4225% 1/25/34 (e) | 600,000 | 599,987 | ||
Class M3, 6.6225% 1/25/34 (e) | 600,000 | 599,988 | ||
HSBC Home Equity Loan Trust Series 2005-2: | ||||
Class M1, 5.7269% 1/20/35 (e) | 761,950 | 763,638 | ||
Class M2, 5.7569% 1/20/35 (e) | 573,011 | 575,037 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2004-1 Class A4, 5.26% 11/15/12 | 2,010,000 | 1,988,251 | ||
Series 2006-1: | ||||
Class A3, 5.13% 6/15/10 | 745,000 | 739,866 | ||
Class B, 5.29% 11/15/12 | 315,000 | 312,110 | ||
Class C, 5.34% 11/15/12 | 405,000 | 401,477 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 6.6367% 4/6/46 (a)(e) | 1,695,000 | 1,695,000 | ||
Long Beach Mortgage Loan Trust Series 2004-2: | ||||
Class M1, 5.8525% 6/25/34 (e) | 525,000 | 525,991 | ||
Class M2, 6.4025% 6/25/34 (e) | 160,000 | 161,379 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 5.8225% 7/25/34 (e) | 925,000 | 927,038 | ||
Class M2, 5.8725% 7/25/34 (e) | 150,000 | 150,371 | ||
Class M3, 6.2725% 7/25/34 (e) | 350,000 | 352,222 | ||
Class M4, 6.4225% 7/25/34 (e) | 225,000 | 226,559 | ||
Morgan Stanley ABS Capital I, Inc. Series 2004-NC2 Class M1, 5.8725% 12/25/33 (e) | 985,000 | 991,322 | ||
Principal Amount | Value (Note 1) | |||
Morgan Stanley Dean Witter Capital I Trust Series 2003-NC1 Class M1, 6.3725% 11/25/32 (e) | $ 1,038,917 | $ 1,043,371 | ||
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g) | 1,750,000 | 371,350 | ||
Onyx Acceptance Owner Trust Series 2005-A Class A3, 3.69% 5/15/09 | 450,000 | 444,915 | ||
Park Place Securities, Inc. Series 2005-WCH1: | ||||
Class M2, 5.8425% 1/25/35 (e) | 1,700,000 | 1,709,510 | ||
Class M4, 6.1525% 1/25/35 (e) | 3,650,000 | 3,679,821 | ||
Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (a) | 4,570,000 | 4,521,444 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 5.8525% 3/25/35 (e) | 1,675,000 | 1,678,087 | ||
Specialty Underwriting & Residential Finance Series 2003-BC4 Class M1, 5.9225% 11/25/34 (e) | 685,000 | 688,948 | ||
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 5.6825% 2/25/34 (e) | 239,140 | 239,135 | ||
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | 2,195,000 | 2,153,353 | ||
World Omni Auto Receivables Trust Series 2006-A Class A3, 5.01% 10/15/10 | 2,230,000 | 2,210,457 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $96,816,080) | 96,079,136 | |||
Collateralized Mortgage Obligations - 4.8% | ||||
Private Sponsor - 2.4% | ||||
Adjustable Rate Mortgage Trust floater: | ||||
Series 2005-1 Class 5A2, 5.6525% 5/25/35 (e) | 1,327,665 | 1,323,789 | ||
Series 2005-2 Class 6A2, 5.6025% 6/25/35 (e) | 557,376 | 558,126 | ||
Series 2005-3 Class 8A2, 5.5625% 7/25/35 (e) | 1,135,319 | 1,137,417 | ||
Bank of America Mortgage Securities, Inc. Series 2005-E Class 2A7, 4.6126% 6/25/35 (e) | 2,680,000 | 2,562,436 | ||
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.6025% 1/25/35 (e) | 2,511,071 | 2,515,526 | ||
CS First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR3 Class 6A2, 5.6925% 4/25/34 (e) | 365,284 | 365,588 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value (Note 1) | |||
Private Sponsor - continued | ||||
CS First Boston Mortgage Securities Corp. floater: - continued | ||||
Series 2004-AR5 Class 11A2, 5.6925% 6/25/34 (e) | $ 163,541 | $ 163,689 | ||
Granite Master Issuer PLC floater Series 2006-1A Class C2, 5.7894% 12/20/54 (a)(e) | 2,200,000 | 2,199,054 | ||
Impac CMB Trust floater: | ||||
Series 2005-1: | ||||
Class M1, 5.7825% 4/25/35 (e) | 897,878 | 899,822 | ||
Class M2, 5.8225% 4/25/35 (e) | 1,550,336 | 1,553,257 | ||
Series 2005-2 Class 1A2, 5.6325% 4/25/35 (e) | 816,047 | 818,087 | ||
JPMorgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9605% 11/25/35 (e) | 760,000 | 737,266 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.4713% 9/26/45 (a)(e) | 2,961,470 | 2,964,709 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 506,296 | 493,164 | ||
Merrill Lynch Mortgage Investors, Inc. floater: | ||||
Series 2005-A Class A2, 5.2138% 2/25/30 (e) | 2,188,697 | 2,188,133 | ||
Series 2005-B Class A2, 5.5475% 7/25/30 (e) | 2,246,429 | 2,244,968 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 5.6125% 7/25/35 (e) | 1,908,173 | 1,910,260 | ||
Residential Asset Mortgage Products, Inc. sequential pay Series 2004-SL2 Class A1, 6.5% 10/25/16 | 393,646 | 395,991 | ||
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1: | ||||
Class B3, 6.62% 6/10/35 (a)(e) | 1,168,870 | 1,190,370 | ||
Class B4, 6.82% 6/10/35 (a)(e) | 1,045,831 | 1,066,702 | ||
Class B5, 7.42% 6/10/35 (a)(e) | 714,572 | 731,521 | ||
Class B6, 7.92% 6/10/35 (a)(e) | 421,172 | 427,849 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2005-1 Class A2, 4.97% 2/20/35 (e) | 1,655,708 | 1,654,750 | ||
Series 2005-2 Class A2, 5.19% 3/20/35 (e) | 1,989,147 | 1,985,911 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.6325% 7/25/35 (e) | 3,676,679 | 3,692,516 | ||
Thornburg Mortgage Securities Trust floater Series 2005-3 Class A4, 5.5925% 10/25/35 (e) | 3,832,906 | 3,823,643 | ||
Principal Amount | Value (Note 1) | |||
Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1895% 10/20/35 (e) | $ 605,000 | $ 590,043 | ||
WaMu Mortgage pass thru certificates floater Series 2005-AR13 Class A1C1, 5.5125% 10/25/45 (e) | 2,013,586 | 2,013,371 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2005-AR10 Class 2A2, 4.1096% 6/25/35 (e) | 4,837,903 | 4,709,435 | ||
Series 2005-AR12 Class 2A6, 4.3196% 7/25/35 (e) | 5,154,889 | 4,996,770 | ||
Series 2005-AR4 Class 2A2, 4.5305% 4/25/35 (e) | 4,137,931 | 4,009,220 | ||
Series 2005-AR9 Class 2A1, 4.3623% 5/25/35 (e) | 2,129,879 | 2,091,116 | ||
Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (e) | 6,240,000 | 6,130,769 | ||
TOTAL PRIVATE SPONSOR | 64,145,268 | |||
U.S. Government Agency - 2.4% | ||||
Fannie Mae planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 3,400,000 | 3,441,451 | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | 2,700,000 | 2,718,763 | ||
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 5.5725% 10/25/35 (e) | 3,035,817 | 3,022,256 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 11,215,000 | 10,750,302 | ||
Class KD, 4.5% 7/25/18 | 2,625,000 | 2,457,971 | ||
sequential pay: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | 272,409 | 259,263 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 1,225,527 | 1,171,045 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 2,545,536 | 2,452,412 | ||
Freddie Mac planned amortization class Series 3033 Class UD, 5.5% 10/15/30 | 1,910,000 | 1,883,252 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2500 Class TE, 5.5% 9/15/17 | 10,275,186 | 10,166,177 | ||
Series 2677 Class LD, 4.5% 3/15/17 | 8,800,218 | 8,347,281 | ||
Series 2702 Class WB, 5% 4/15/17 | 2,947,632 | 2,886,826 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value (Note 1) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2885 Class PC, 4.5% 3/15/18 | $ 2,560,000 | $ 2,450,708 | ||
Series 3018 Class UD, 5.5% 9/15/30 | 2,825,000 | 2,785,701 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 4,440,000 | 4,377,103 | ||
Series 3102 Class OH, 1/15/36 (h) | 1,940,000 | 1,389,525 | ||
sequential pay Series 2750 Class ZT, 5% 2/15/34 | 2,179,537 | 1,814,801 | ||
TOTAL U.S. GOVERNMENT AGENCY | 62,374,837 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $128,293,866) | 126,520,105 | |||
Commercial Mortgage Securities - 4.7% | ||||
Asset Securitization Corp.: | ||||
sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29 | 4,550 | 4,586 | ||
Series 1997-D5: | ||||
Class A2, 6.8207% 2/14/43 (e) | 1,435,000 | 1,505,504 | ||
Class A3, 6.8707% 2/14/43 (e) | 1,545,000 | 1,577,107 | ||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2005-ESHA: | ||||
Class E, 5.7638% 7/14/20 (a)(e) | 835,000 | 838,523 | ||
Class F, 5.9338% 7/14/20 (a)(e) | 505,000 | 507,225 | ||
Class G, 6.0638% 7/14/20 (a)(e) | 250,000 | 251,100 | ||
Class H, 6.2838% 7/14/20 (a)(e) | 335,000 | 336,340 | ||
Series 2005-MIB1: | ||||
Class C, 5.5088% 3/15/22 (a)(e) | 390,000 | 391,134 | ||
Class D, 5.5588% 3/15/22 (a)(e) | 395,000 | 396,175 | ||
Class F, 5.6688% 3/15/22 (a)(e) | 385,000 | 385,561 | ||
Class G, 5.7288% 3/15/22 (a)(e) | 250,000 | 249,952 | ||
Series 2006-ESH: | ||||
Class A, 6.0588% 7/14/11 (a)(e) | 1,277,778 | 1,273,112 | ||
Class B, 6.1588% 7/14/11 (a)(e) | 587,321 | 585,178 | ||
Principal Amount | Value (Note 1) | |||
Class C, 6.3088% 7/14/11 (a)(e) | $ 1,276,209 | $ 1,271,560 | ||
Class D, 6.9388% 7/14/11 (a)(e) | 783,603 | 781,233 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2004-1: | ||||
Class A, 5.6825% 4/25/34 (a)(e) | 663,613 | 664,442 | ||
Class B, 7.2225% 4/25/34 (a)(e) | 66,361 | 66,983 | ||
Class M1, 5.8825% 4/25/34 (a)(e) | 66,361 | 66,610 | ||
Class M2, 6.5225% 4/25/34 (a)(e) | 66,361 | 67,025 | ||
Series 2004-3: | ||||
Class A1, 5.6925% 1/25/35 (a)(e) | 2,487,091 | 2,493,309 | ||
Class A2, 5.7425% 1/25/35 (a)(e) | 331,612 | 332,234 | ||
Class M1, 5.8225% 1/25/35 (a)(e) | 414,515 | 416,588 | ||
Class M2, 6.3225% 1/25/35 (a)(e) | 248,709 | 251,585 | ||
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.275% 2/12/16 (a)(e) | 1,345,000 | 1,378,606 | ||
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential pay Series 1999-1 Class A2, 7.439% 8/15/31 | 5,000,000 | 5,223,677 | ||
COMM: | ||||
floater Series 2002-FL7 Class D, 5.7688% 11/15/14 (a)(e) | 248,000 | 248,222 | ||
Series 2004-LBN2 Class X2, 1.0021% 3/10/39 (a)(e)(g) | 6,781,658 | 204,702 | ||
Commercial Mortgage pass thru certificates floater Series 2005-FL11: | ||||
Class B, 5.4488% 11/15/17 (a)(e) | 830,280 | 830,279 | ||
Class E, 5.5888% 11/15/17 (a)(e) | 376,068 | 376,112 | ||
Class F, 5.6488% 11/15/17 (a)(e) | 341,880 | 341,920 | ||
CS First Boston Mortgage Securities Corp.: | ||||
sequential pay: | ||||
Series 1997-C2 Class A3, 6.55% 1/17/35 | 2,004,109 | 2,021,547 | ||
Series 1999-C1 Class A2, 7.29% 9/15/41 | 5,237,833 | 5,423,284 | ||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 1,600,000 | 1,687,032 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 2,235,000 | 2,103,919 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value (Note 1) | |||
CS First Boston Mortgage Securities Corp.: - continued | ||||
sequential pay: | ||||
Series 2004-C1: | ||||
Class A4, 4.75% 1/15/37 | $ 3,035,000 | $ 2,822,104 | ||
Series 1997-C2 Class D, 7.27% 1/17/35 | 1,900,000 | 1,954,991 | ||
Series 1998-C1: | ||||
Class C, 6.78% 5/17/40 | 5,000,000 | 5,124,080 | ||
Class D, 7.17% 5/17/40 | 595,000 | 625,225 | ||
Series 2001-CKN5 Class AX, 0.8981% 9/15/34 (a)(e)(g) | 28,641,933 | 1,610,679 | ||
Series 2002-CP3 Class G, 6.639% 7/15/35 (a) | 250,000 | 257,747 | ||
Series 2004-C1 Class ASP, 0.8788% 1/15/37 (a)(e)(g) | 32,628,363 | 973,738 | ||
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | 4,940,000 | 5,077,887 | ||
DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 3,500,000 | 3,714,569 | ||
GGP Mall Properties Trust sequential pay Series 2001-C1A Class A2, 5.007% 11/15/11 (a) | 3,339,115 | 3,332,246 | ||
Ginnie Mae guaranteed REMIC pass thru securities sequential pay Series 2003-22 Class B, 3.963% 5/16/32 | 3,295,000 | 3,102,367 | ||
Greenwich Capital Commercial Funding Corp. Series 2006-GG7 Class A3, 6.1101% 7/10/38 (b) | 3,460,000 | 3,482,170 | ||
GS Mortgage Securities Corp. II: | ||||
sequential pay Series 2003-C1 Class A2A, 3.59% 1/10/40 | 3,345,000 | 3,249,420 | ||
Series 1998-GLII Class E, 6.9706% 4/13/31 (e) | 1,615,000 | 1,647,783 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (e) | 2,990,000 | 2,960,183 | ||
J.P. Morgan Commercial Mortgage Finance Corp. sequential pay Series 2000-C9 Class A2, 7.77% 10/15/32 | 3,970,000 | 4,177,494 | ||
JP Morgan Chase Commercial Mortgage Securities Corp. sequential pay Series 2006-CB15 Class A3, 5.819% 6/12/43 (e) | 5,840,000 | 5,809,457 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential pay: | ||||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,180,000 | 2,328,816 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 2,475,208 | 2,494,420 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 1,810,000 | 1,868,866 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | ||||
Class B, 4.13% 11/20/37 (a) | 3,860,000 | 3,464,238 | ||
Principal Amount | Value (Note 1) | |||
Class C, 4.13% 11/20/37 (a) | $ 3,760,000 | $ 3,269,038 | ||
Merrill Lynch Mortgage Trust sequential pay Series 2004-KEY2 Class A2, 4.166% 8/12/39 | 215,000 | 203,944 | ||
Morgan Stanley Capital I, Inc.: | ||||
sequential pay Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 2,235,000 | 2,118,374 | ||
Series 2005-IQ9 Class X2, 1.0693% 7/15/56 (a)(e)(g) | 27,769,981 | 1,169,633 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (a) | 2,130,000 | 2,576,427 | ||
Thirteen Affiliates of General Growth Properties, Inc.: | ||||
sequential pay Series 1 Class A2, 6.602% 11/15/07 (a) | 7,200,000 | 7,280,430 | ||
Series 1: | ||||
Class D2, 6.992% 11/15/07 (a) | 4,260,000 | 4,316,245 | ||
Class E2, 7.224% 11/15/07 (a) | 2,550,000 | 2,589,342 | ||
Trizechahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a) | 752,838 | 766,945 | ||
Wachovia Bank Commercial Mortgage Trust sequential pay: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 3,595,000 | 3,475,925 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (a) | 1,346,172 | 1,287,098 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $125,821,746) | 123,684,247 | |||
Foreign Government and Government Agency Obligations - 0.8% | ||||
Israeli State 4.625% 6/15/13 | 985,000 | 908,037 | ||
United Mexican States: | ||||
5.875% 1/15/14 | 3,850,000 | 3,734,500 | ||
6.75% 9/27/34 | 3,535,000 | 3,411,275 | ||
7.5% 4/8/33 | 11,212,000 | 11,912,750 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $19,357,264) | 19,966,562 | |||
Supranational Obligations - 0.1% | ||||
Corporacion Andina de Fomento 6.875% 3/15/12 | 1,725,000 | 1,804,353 |
Fixed-Income Central Funds - 7.8% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (f) | 2,092,948 | 208,164,608 | |
Preferred Securities - 0.1% | |||
Principal Amount | Value (Note 1) | ||
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
MUFG Capital Finance 1 Ltd. 6.346% (e) | $ 3,520,000 | $ 3,459,507 | |
Cash Equivalents - 3.9% | |||
Maturity Amount | |||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at 5.3%, dated 6/30/06 due 7/3/06 | $ 103,258,576 | 103,213,000 |
TOTAL INVESTMENT PORTFOLIO - 102.1% (Cost $2,773,110,947) | 2,708,088,835 |
NET OTHER ASSETS - (2.1)% | (54,481,197) |
NET ASSETS - 100% | $ 2,653,607,638 |
Swap Agreements | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon default 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 | $ 1,075,000 | $ 5,551 | ||
Receive monthly notional amount multiplied by 3.3% and pay to Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 7.6913% 11/25/34 | Dec. 2034 | 775,000 | 15,103 | ||
Expiration Date | Notional Amount | Value | |||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default 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, 7.6913% 8/25/34 | Sept. 2034 | $ 465,000 | $ 10,576 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34 | August 2034 | 465,000 | 9,962 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 465,000 | 11,190 | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon default 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 | August 2034 | 465,000 | 2,581 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | $ 465,000 | $ 2,420 | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 465,000 | 2,907 | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 640,000 | 5,382 | ||
Expiration Date | Notional Amount | Value | |||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | $ 465,000 | $ 4,655 | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 | March 2034 | 2,966,000 | 8,003 | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon default 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 | 923,143 | 1,531 | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 64,775 | 311 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35 | June 2035 | $ 770,000 | $ 3,477 | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon default event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 | March 2035 | 1,715,000 | 16,101 | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | 465,000 | 5,879 | ||
Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 | March 2008 | 2,830,000 | 3,339 | ||
Expiration Date | Notional Amount | Value | |||
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon default event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 | Sept. 2010 | $ 1,900,000 | $ 5,928 | ||
Receive quarterly notional amount multiplied by .37% and pay Goldman Sachs upon default event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 2,420,000 | 11,035 | ||
Receive quarterly notional amount multiplied by .37% and pay Morgan Stanley, Inc. upon default event of Pacific Gas & Electric Co. par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 3,675,000 | 16,758 | ||
Receive quarterly notional amount multiplied by .40% and pay Goldman Sachs, upon each default even of one of the issues of Dow Jones CDX N.A Investment Grade 6 Index, par value of the proportional notional amount (d) | June 2011 | 1,000,000 | (210) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive quarterly notional amount multiplied by .40% and pay Lehman Brothers, Inc., upon default event of one of the issues of Dow Jones CDX N.A. Investment Grade 6 Index, par value of the proportional notional amount (d) | June 2011 | $ 1,000,000 | $ 1,960 | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon default event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 | March 2009 | 1,400,000 | 7,588 | ||
Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2008 | 1,885,000 | 377 | ||
Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon default event of Russian Federation, par value of Russian Federation 5% 3/31/30 | June 2008 | 3,395,000 | 340 | ||
Expiration Date | Notional Amount | Value | |||
Receive semi-annually notional amount multiplied by .61% and pay JPMorgan Chase, Inc. upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | May 2011 | $ 4,290,000 | $ (30,416) | ||
Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon default event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | May 2011 | 2,260,000 | (14,577) | ||
TOTAL CREDIT DEFAULT SWAPS | 38,703,918 | 107,751 | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2009 | 42,000,000 | (1,932,840) | ||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | 11,825,000 | (471,226) | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 11,825,000 | (725,582) | ||
Receive semi-annually a fixed rate equal to 4.378% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Sept. 2008 | 25,400,000 | (384,556) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 4.492% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Sept. 2010 | $ 1,500,000 | $ (47,340) | ||
Receive semi-annually a fixed rate equal to 4.7515% and pay quarterly a floating rate based on 3-month LIBOR with UBS | Jan. 2009 | 50,000,000 | (459,500) | ||
Receive semi-annually a fixed rate equal to 4.8575% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Dec. 2008 | 32,000,000 | (551,360) | ||
Receive semi-annually a fixed rate equal to 4.921% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Dec. 2008 | 250,000 | (3,928) | ||
Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Nov. 2010 | 1,000,000 | (27,400) | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 52,500,000 | (781,725) | ||
Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2011 | 15,000,000 | (187,800) | ||
Expiration Date | Notional Amount | Value | |||
Receive semi-annually a fixed rate equal to 5.354% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | $ 32,000,000 | $ (378,560) | ||
Receive semi-annually a fixed rate of 5.312% and pay quarterly a floating rate based on the 3-month LIBOR with Lehman Brothers, Inc. | April 2011 | 105,000,000 | (1,357,650) | ||
TOTAL INTEREST RATE SWAPS | 380,300,000 | (7,309,467) | |||
Total Return Swaps | |||||
Receive monthly a return equal to Banc of America Securities LLC AAA 10 Yr Commercial Mortgage Backed Securities Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Bank of America | July 2006 | 12,500,000 | (27,670) | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR with Citibank | Sept. 2006 | 15,000,000 | (16,561) | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 15 basis points with Bank of America | August 2006 | 23,200,000 | (182,977) | ||
TOTAL TOTAL RETURN SWAPS | 50,700,000 | (227,208) | |||
$ 469,703,918 | $ (7,428,924) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $136,079,242 or 5.1% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) 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 $2,998,827. |
(d) Dow Jones CDX N.A. Investment Grade 6 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Affiliated Fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(g) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from the investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Ultra-Short Central Fund | $ 96,726 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the Fidelity Central Funds is as follows: |
Fund | Value, beginning | Purchases | Sales | Value, end | % ownership, |
Fidelity Ultra-Short Central Fund | $ - | $ 208,122,749 | $ - | $ 208,164,608 | 2.9% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
June 30, 2006 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $103,213,000) - See accompanying schedule: Unaffiliated issuers (cost $2,564,988,198) | $ 2,499,924,227 | |
Fidelity Central Funds (cost $208,122,749) | 208,164,608 | |
Total Investments (cost $2,773,110,947) | $ 2,708,088,835 | |
Cash | 91,152 | |
Receivable for investments sold | 2,964,534 | |
Receivable for swap agreements | 28,200 | |
Interest receivable | 18,573,756 | |
Total assets | 2,729,746,477 | |
Liabilities | ||
Payable for investments purchased | $ 1,416,433 | |
Delayed delivery | 64,804,191 | |
Distributions payable | 2,488,624 | |
Swap agreements, at value | 7,428,924 | |
Other payables and accrued | 667 | |
Total liabilities | 76,138,839 | |
Net Assets | $ 2,653,607,638 | |
Net Assets consist of: | ||
Paid in capital | $ 2,725,815,402 | |
Undistributed net investment income | 247,342 | |
Accumulated undistributed net realized gain (loss) on investments | (3,425) | |
Net unrealized appreciation (depreciation) on investments | (72,451,681) | |
Net Assets, for 26,382,098 shares outstanding | $ 2,653,607,638 | |
Net Asset Value, offering price and redemption price per share ($2,653,607,638 ÷ 26,382,098 shares) | $ 100.58 |
Statement of Operations
For the period June 23, 2006 (commencement of operations) | ||
Investment Income | ||
Interest | $ 2,639,905 | |
Income from Fidelity Central Funds | 96,726 | |
Total income | 2,736,631 | |
Expenses | ||
Custodian fees and expenses | 667 | |
Net investment income | 2,735,964 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | $ (31,622) | |
Swap agreements | 28,197 | |
Total net realized gain (loss) | (3,425) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 13,247,680 | |
Swap agreements | 1,698,645 | |
Total change in net unrealized appreciation (depreciation) | 14,946,325 | |
Net gain (loss) | 14,942,900 | |
Net increase (decrease) in net assets resulting from operations | $ 17,678,864 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
For the period June 23, 2006 (commencement of operations) | |
Increase (Decrease) in Net Assets | |
Operations | |
Net investment income | $ 2,735,964 |
Net realized gain (loss) | (3,425) |
Change in net unrealized appreciation (depreciation) | 14,946,325 |
Net increase (decrease) in net assets resulting from operations | 17,678,864 |
Distributions to shareholders from net investment income | (2,488,622) |
Affiliated share transactions | 270,789,917 |
Contributions in kind | 2,367,627,479 |
Net increase (decrease) in net assets resulting from share transactions | 2,638,417,396 |
Total increase (decrease) in net assets | 2,653,607,638 |
Net Assets | |
Beginning of period | - |
End of period (including undistributed net investment income of $247,342) | $ 2,653,607,638 |
Other Information Shares | |
Sold | 2,705,823 |
Issued for in-kind contributions | 23,676,275 |
Net increase (decrease) | 26,382,098 |
Financial Highlights
Period ended | |
Selected Per-Share Data | |
Net asset value, beginning of period | $ 100.00 |
Income from Investment Operations | |
Net investment income B | .106 |
Net realized and unrealized gain (loss) | .574 |
Total from investment operations | .680 |
Distributions from net investment income | (.100) |
Net asset value, end of period | $ 100.58 |
Total Return A | .68% |
Ratios to Average Net Assets C, F | |
Expenses before reductions | .00003% |
Expenses net of fee waivers, if any | .00003% |
Expenses net of all reductions | .00003% |
Net investment income | .11% |
Supplemental Data | |
Net assets, end of period (000 omitted) | $ 2,653,608 |
Portfolio turnover rate D | 0% |
A Total returns for periods of less than one year are not annualized.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of the Fidelity Central Fund are not included in the Fund's annualized expense ratios. The Fund indirectly bears its proportionate share of the expenses of the Fidelity Central Fund. Expenses of the Fidelity Central Fund as of its most recent fiscal year end were approximately .0044%.
D Amount does not include the portfolio activity of the Fidelity Central Fund.
E For the period June 23, 2006 (commencement of operations) to June 30, 2006.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or 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.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2006 (Unaudited)
1. Significant Accounting Policies.
Fidelity VIP Investment Grade Central Investment Portfolio (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). The Fund is referred to as a Fidelity Central Fund and it may also invest in other Fidelity Central Funds available only to investment companies and other accounts managed by FMR and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. Security transactions, including the Fund's investment activity in other Fidelity Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income distributions from Fidelity Central Funds are accrued as earned, with any income distributions receivable as of period end included in Interest Receivable on the Statement of Assets & Liabilities. 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 according to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though the principal is not received until maturity.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. 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.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 8,572,714 | |
Unrealized depreciation | (71,292,885) | |
Net unrealized appreciation (depreciation) | $ (62,720,171) | |
Cost for federal income tax purposes | $ 2,770,809,006 |
New Accounting Pronouncement. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48) was issued and is effective for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets and results of operations.
2. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. 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 value of 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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
Semiannual Report
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities, and in-kind transactions, aggregated $212,658,889 and $2,348,720, respectively.
4. 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 pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
Investments in Fidelity Central Funds. The Fund may invest in other Fidelity Central Funds managed by FIMM, including the Fidelity Ultra-Short Central Fund (Ultra-Short Central Fund), which seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.
A complete unaudited list of holdings for the Ultra-Short Central Fund, as of the Fund's report date, is available upon request or at advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the Ultra-Short Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Share Transactions. On June 23, 2006, the Investing Funds completed a non-taxable exchange with the Fund. The Investing Funds delivered securities with a value, including accrued interest, of $2,367,627,479 (which included $87,398,006 of unrealized depreciation) in exchange for 23,676,275 shares (each then valued at $100.00 per share) of the Fund, as presented in the accompanying Statement of Changes in Net Assets. This is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its shareholders.
5. 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 | 29.5% |
VIP Asset Manager: Growth Portfolio | 1.6% |
VIP Balanced Portfolio | 4.0% |
VIP Investment Grade Bond Portfolio | 64.9% |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
VIP Investment Grade CIP
On June 15, 2006, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve 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, considered a broad range of information.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the background of the fund's portfolio manager and the fund's investment objective and discipline.
Administrative Services. The Board considered the nature, extent, quality, and cost of 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. The Board also considered the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians.
Investment Performance. VIP Investment Grade CIP (VIP CIP) is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. Once the fund has been in operation for at least one calendar year, the Board will review the fund's absolute and relative investment performance. 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 the 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 certain operating expenses incurred for services provided by entities not affiliated with FMR, such as fees for custodial services and fees and expenses of the Independent Trustees.
Based on its review, the Board concluded that the fund's net management fee and projected total expenses were fair and reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. VIP CIP is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider 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.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the approval of Advisory Contracts because the fund pays no advisory fees and FMR bears all other expenses of the fund, except for certain expenses as noted above.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board received additional information on the benefits of pooled investments such as the fund. The Board received information explaining that the fund is a centralized vehicle for the management of investment-grade securities on a pooled basis and that it is expected to improve portfolio management efficiency for those Fidelity funds that invest in it. The Board noted that those Fidelity funds investing in the fund will benefit because combining subportfolios into one centralized fund, such as VIP CIP, should reduce the effect of cash flows overall, potentially reducing portfolio transaction costs for the investing funds.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be approved.
Semiannual Report
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
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 Fidelity Garrison Street 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 Fidelity Garrison Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the 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) | Not applicable. |
(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/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | August 23, 2006 |
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/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | August 23, 2006 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | August 23, 2006 |