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: | September 30 |
Date of reporting period: | March 31, 2004 |
Item 1. Reports to Stockholders
Fidelity® Money Market
Central Fund
Semiannual Report
March 31, 2004
Note to Shareholders: Kim Miller became Portfolio Manager of Fidelity Money Market Central Fund on April 1, 2004.
For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov.
CFM-SANN-0504 372266
1.756671.103
Investments March 31, 2004 (Unaudited)
Showing Percentage of Net Assets
Certificates of Deposit - 14.7% | ||||
Due | Annualized Yield at | Principal | Value | |
London Branch, Eurodollar, Foreign Banks - 8.0% | ||||
Barclays Bank PLC | ||||
4/13/04 | 1.12% | $ 5,000,000 | $ 5,000,000 | |
BNP Paribas SA | ||||
4/19/04 | 1.11 | 5,000,000 | 5,000,000 | |
Credit Agricole Indosuez | ||||
8/5/04 | 1.39 | 5,000,000 | 5,000,000 | |
8/5/04 | 1.40 | 5,000,000 | 5,000,000 | |
11/2/04 | 1.25 | 5,000,000 | 5,000,000 | |
Dresdner Bank AG | ||||
4/19/04 | 1.15 | 5,000,000 | 5,000,000 | |
HBOS Treasury Services PLC | ||||
8/11/04 | 1.13 | 10,000,000 | 10,000,000 | |
Landesbank Hessen-Thuringen | ||||
5/12/04 | 1.21 | 5,000,000 | 5,000,000 | |
Societe Generale | ||||
11/10/04 | 1.25 | 5,000,000 | 5,000,000 | |
Unicredito Italiano Spa | ||||
6/18/04 | 1.05 | 10,000,000 | 10,000,000 | |
9/8/04 | 1.12 | 5,000,000 | 5,000,000 | |
65,000,000 | ||||
New York Branch, Yankee Dollar, Foreign Banks - 6.7% | ||||
BNP Paribas SA | ||||
4/1/04 | 1.04 (b) | 5,000,000 | 4,999,768 | |
Canadian Imperial Bank of Commerce | ||||
4/15/04 | 1.14 (b) | 5,000,000 | 5,000,000 | |
Credit Agricole Indosuez | ||||
4/1/04 | 1.04 (b) | 5,000,000 | 5,000,000 | |
4/1/04 | 1.07 (b) | 5,000,000 | 4,999,992 | |
Deutsche Bank AG | ||||
11/26/04 | 1.23 | 5,000,000 | 5,000,000 | |
12/16/04 | 1.20 | 20,000,000 | 20,000,000 | |
Societe Generale | ||||
4/1/04 | 1.04 (b) | 5,000,000 | 4,999,116 | |
4/8/04 | 1.03 (b) | 5,000,000 | 4,998,584 | |
54,997,460 | ||||
TOTAL CERTIFICATES OF DEPOSIT | 119,997,460 | |||
Commercial Paper - 17.0% | ||||
Due | Annualized Yield at | Principal | Value | |
Citibank Credit Card Master Trust I (Dakota Certificate Program) | ||||
4/20/04 | 1.05% | $ 5,000,000 | $ 4,997,229 | |
5/4/04 | 1.05 | 5,000,000 | 4,995,188 | |
Credit Suisse First Boston New York Branch | ||||
5/4/04 | 1.05 | 5,000,000 | 4,995,188 | |
DaimlerChrysler NA Holding Corp. | ||||
5/11/04 | 1.22 | 2,000,000 | 1,997,289 | |
Dresdner U.S. Finance, Inc. | ||||
4/19/04 | 1.15 | 5,000,000 | 4,997,138 | |
Emerald (MBNA Credit Card Master Note Trust) | ||||
4/6/04 | 1.03 | 8,000,000 | 7,998,856 | |
5/18/04 | 1.05 | 5,000,000 | 4,993,146 | |
Ford Motor Credit Co. | ||||
4/21/04 | 1.33 | 5,000,000 | 4,996,306 | |
General Electric Capital Corp. | ||||
5/3/04 | 1.15 | 10,000,000 | 9,989,867 | |
5/4/04 | 1.19 | 5,000,000 | 4,994,592 | |
7/7/04 | 1.26 | 10,000,000 | 9,966,319 | |
Grampian Funding Ltd. | ||||
6/11/04 | 1.05 | 5,000,000 | 4,989,646 | |
6/23/04 | 1.06 | 5,000,000 | 4,987,781 | |
Jupiter Securitization Corp. | ||||
4/8/04 | 1.03 | 5,801,000 | 5,799,838 | |
Motown Notes Program | ||||
5/13/04 | 1.06 | 5,000,000 | 4,993,817 | |
Paradigm Funding LLC | ||||
4/12/04 | 1.04 | 2,000,000 | 1,999,364 | |
Park Granada LLC | ||||
5/11/04 | 1.06 | 3,500,000 | 3,495,878 | |
6/4/04 | 1.05 | 10,000,000 | 9,981,333 | |
6/7/04 | 1.05 | 5,000,000 | 4,990,229 | |
Sheffield Receivables Corp. | ||||
4/2/04 | 1.04 | 33,000,000 | 32,999,044 | |
TOTAL COMMERCIAL PAPER | 139,158,048 | |||
Federal Agencies - 28.4% | ||||
Due | Annualized Yield at | Principal | Value | |
Fannie Mae - 17.7% | ||||
Agency Coupons - 8.6% | ||||
4/9/04 | 1.31% | $ 5,000,000 | $ 5,000,000 | |
6/10/04 | 1.05 (b) | 10,000,000 | 10,000,000 | |
6/23/04 | 1.04 (b) | 20,000,000 | 19,996,382 | |
11/15/04 | 1.43 | 5,000,000 | 5,000,000 | |
2/15/05 | 1.40 | 10,000,000 | 10,000,000 | |
2/23/05 | 1.33 | 5,000,000 | 5,000,000 | |
3/29/05 | 1.40 | 15,000,000 | 15,000,000 | |
69,996,382 | ||||
Discount Notes - 9.1% | ||||
5/12/04 | 1.15 | 5,000,000 | 4,993,508 | |
5/19/04 | 1.15 | 10,000,000 | 9,984,800 | |
5/28/04 | 1.16 | 4,413,000 | 4,404,965 | |
6/10/04 | 1.21 | 10,000,000 | 9,976,667 | |
6/14/04 | 1.21 | 25,000,000 | 24,938,333 | |
1/7/05 | 1.26 | 20,589,000 | 20,388,895 | |
74,687,168 | ||||
144,683,550 | ||||
Federal Home Loan Bank - 8.3% | ||||
Agency Coupons - 8.3% | ||||
4/16/04 | 0.99 (b) | 15,000,000 | 14,988,978 | |
4/25/04 | 1.01 (b) | 9,000,000 | 8,995,163 | |
6/21/04 | 1.04 (b) | 10,000,000 | 9,998,044 | |
8/4/04 | 1.25 | 5,000,000 | 5,000,000 | |
11/15/04 | 1.19 | 3,700,000 | 3,766,384 | |
2/25/05 | 1.40 | 20,000,000 | 20,000,000 | |
4/29/05 | 1.35 | 5,000,000 | 5,000,000 | |
67,748,569 | ||||
Freddie Mac - 2.4% | ||||
Agency Coupons - 1.2% | ||||
4/3/04 | 1.17 | 10,000,000 | 10,000,000 | |
Discount Notes - 1.2% | ||||
6/14/04 | 1.21 | 5,000,000 | 4,987,667 | |
2/8/05 | 1.33 | 5,000,000 | 4,943,051 | |
9,930,718 | ||||
19,930,718 | ||||
TOTAL FEDERAL AGENCIES | 232,362,837 | |||
Bank Notes - 1.8% | ||||
Due | Annualized Yield at | Principal | Value | |
National City Bank, Indiana | ||||
4/1/04 | 1.04% (b) | $ 5,000,000 | $ 4,999,795 | |
Wells Fargo Bank NA, San Francisco | ||||
4/1/04 | 1.04 (b) | 10,000,000 | 9,999,787 | |
TOTAL BANK NOTES | 14,999,582 | |||
Master Notes - 3.3% | ||||
General Motors Acceptance Corp. Mortgage Credit | ||||
4/1/04 | 1.60 (c) | 5,000,000 | 5,000,000 | |
Goldman Sachs Group, Inc. | ||||
7/8/04 | 1.25 (c) | 5,000,000 | 5,000,000 | |
8/26/04 | 1.22 (c) | 7,000,000 | 7,000,000 | |
9/14/04 | 1.21 (c) | 5,000,000 | 5,000,000 | |
9/30/04 | 1.25 (c) | 5,000,000 | 5,000,000 | |
TOTAL MASTER NOTES | 27,000,000 | |||
Medium-Term Notes - 10.1% | ||||
Bank of New York Co., Inc. | ||||
4/27/04 | 1.08 (a)(b) | 5,000,000 | 5,000,000 | |
Chase Manhattan Auto Owner Trust | ||||
8/16/04 | 1.04 | 152,475 | 152,475 | |
Citigroup, Inc. | ||||
5/7/04 | 1.20 (b) | 15,000,000 | 15,015,769 | |
GE Life & Annuity Assurance Co. | ||||
4/1/04 | 1.20 (b)(c) | 15,000,000 | 15,000,000 | |
General Electric Capital Corp. | ||||
4/13/04 | 1.18 (b) | 5,000,000 | 5,000,000 | |
4/19/04 | 1.17 (b) | 8,000,000 | 8,003,089 | |
4/22/04 | 1.21 (b) | 1,000,000 | 1,000,087 | |
HBOS Treasury Services PLC | ||||
6/24/04 | 1.11 (b) | 5,000,000 | 5,000,000 | |
Morgan Stanley | ||||
4/27/04 | 1.10 (b) | 5,000,000 | 5,000,000 | |
SLM Corp. | ||||
4/26/04 | 1.27 (b) | 8,000,000 | 8,004,342 | |
Medium-Term Notes - continued | ||||
Due | Annualized Yield at | Principal | Value | |
Verizon Global Funding Corp. | ||||
6/15/04 | 1.20% (b) | $ 5,000,000 | $ 5,000,131 | |
6/15/04 | 1.22 (b) | 5,000,000 | 5,000,000 | |
6/15/04 | 1.56 (b) | 5,000,000 | 5,000,000 | |
TOTAL MEDIUM-TERM NOTES | 82,175,893 | |||
Short-Term Notes - 0.6% | ||||
New York Life Insurance Co. | ||||
4/1/04 | 1.29 (b)(c) | 5,000,000 | 5,000,000 |
Municipal Securities - 7.2% | |||
California Dept. of Wtr. Resources Pwr. Supply Rev. | 13,750,000 | 13,750,000 | |
Hayes Green Beach Memorial Hosp. Corp. 1.19%, | 4,950,000 | 4,950,000 | |
Houston Gen. Oblig. Series A, 0.95% 5/19/04, CP | 20,000,000 | 19,996,509 | |
Savannah College Art & Design, Inc. Series 2004 BD, 1.09%, LOC Bank of America NA, VRDN (b) | 12,000,000 | 12,000,000 | |
West Baton Rouge Parish Indl. District #3 Rev. Bonds | 8,000,000 | 8,000,000 | |
TOTAL MUNICIPAL SECURITIES | 58,696,509 | ||
Repurchase Agreements - 17.5% | |||
Maturity | Value | ||
In a joint trading account (Collateralized by U.S. Government Obligations dated 3/31/04 due 4/1/04 At 1.09%) | $ 696,021 | $ 696,000 | |
With: | |||
Banc of America Securities LLC At 1.14%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $18,300,516, 5.25% - 7%, 8/15/06 - 2/1/13) | 20,000,633 | 20,000,000 | |
Citigroup Global Markets, Inc. At 1.12%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $61,232,429, 4.91% - 9.88%, 8/15/06 - 4/25/34) | 35,001,089 | 35,000,000 | |
Countrywide Securities Corp. At 1.13%, dated 1/30/04 due 4/29/04 (Collateralized by Mortgage Loan Obligations with principal amounts of $10,701,702, 4.11%, 10/25/43) | 10,028,250 | 10,000,000 | |
Goldman Sachs & Co. At 1.12%, dated 2/27/04 due 4/8/04 (Collateralized by Corporate Obligations with principal amounts of $15,239,679, 7.2% - 12.75%, 11/1/04 - 9/30/07) | 15,019,133 | 15,000,000 | |
J.P. Morgan Securities, Inc. At 1.13%, dated 2/23/04 due 4/26/04 (Collateralized by Corporate Obligations with principal amounts of $10,355,560, 6% - 7.88%, 10/1/09 - 10/15/27) | 10,019,775 | 10,000,000 | |
Lehman Brothers, Inc. At 1.21%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $5,310,000, 8.5%, 3/1/31) | 7,000,235 | 7,000,000 | |
Merrill Lynch, Pierce, Fenner & Smith At 1.19%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $34,337,000, 3.63% - 9.75%, 11/15/04 - 6/15/32) | 35,001,159 | 35,000,000 | |
Morgan Stanley & Co. At 1.13%, dated 3/17/04 due 5/5/04 (Collateralized by Mortgage Loan Obligations with principal amounts of $11,863,196, 5%, 10/25/33) | 10,015,381 | 10,000,000 | |
TOTAL REPURCHASE AGREEMENTS | 142,696,000 | ||
TOTAL INVESTMENT PORTFOLIO - 100.6% | 822,086,329 | ||
NET OTHER ASSETS - (0.6)% | (4,914,790) | ||
NET ASSETS - 100% | $ 817,171,539 |
Total Cost for Income Tax Purposes $ 822,086,329 |
Security Type Abbreviations |
CP - COMMERCIAL PAPER |
VRDN - VARIABLE RATE DEMAND NOTE |
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 $5,000,000 or 0.6% of net assets. |
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflect the next interest rate reset date or, when applicable, the final maturity date. |
(c) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $47,000,000 or 5.8% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition | Cost |
GE Life & Annuity Assurance Co. 1.2%, 4/1/04 | 3/31/03 | $ 15,000,000 |
General Motors Acceptance Corp. Mortgage Credit 1.6%, 4/1/04 | 3/1/04 | $ 5,000,000 |
Goldman Sachs Group, Inc.: | 2/17/04 | $ 5,000,000 |
1.22%, 8/26/04 | 1/27/04 | $ 7,000,000 |
1.25%, 7/8/04 | 1/5/04 | $ 5,000,000 |
1.25%, 9/30/04 | 3/3/04 | $ 5,000,000 |
New York Life Insurance Co. 1.29%, 4/1/04 | 2/28/02 | $ 5,000,000 |
Other Information |
The fund participated in the interfund lending program as a lender. The average daily loan balance during the period for which loans were outstanding amounted to $15,198,556. The weighted average interest rate was 1.15%. Interest earned from the interfund lending program amounted to $4,374 and is included in interest income on the Statement of Operations. At period end, there were no interfund loans outstanding. |
Income Tax Information |
At September 30, 2003, the fund had a capital loss carryforward of approximately $10,000 all of which will expire on September 30, 2011. |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
March 31, 2004 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $142,696,000) - See accompanying schedule | $ 822,086,329 | |
Cash | 788 | |
Interest receivable | 784,851 | |
Prepaid expenses | 3,271 | |
Total assets | 822,875,239 | |
Liabilities | ||
Payable for investments purchased | $ 5,000,000 | |
Distributions payable | 686,367 | |
Other payables and accrued expenses | 17,333 | |
Total liabilities | 5,703,700 | |
Net Assets | $ 817,171,539 | |
Net Assets consist of: | ||
Paid in capital | $ 817,189,927 | |
Accumulated net realized gain (loss) on investments | (18,388) | |
Net Assets, for 817,163,441 shares outstanding | $ 817,171,539 | |
Net Asset Value, offering price and redemption price per share ($817,171,539 ÷ 817,163,441 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended March 31, 2004 (Unaudited) | ||
Investment Income | ||
Interest | $ 4,817,805 | |
Expenses | ||
Non-interested trustees' compensation | $ 1,885 | |
Custodian fees and expenses | 7,486 | |
Audit | 12,330 | |
Legal | 681 | |
Insurance | 2,030 | |
Total expenses | 24,412 | |
Net investment income | 4,793,393 | |
Net realized gain (loss) on investment securities | (989) | |
Net increase in net assets resulting from operations | $ 4,792,404 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 4,793,393 | $ 10,911,318 |
Net realized gain (loss) | (989) | (7,359) |
Net increase (decrease) in net assets resulting | 4,792,404 | 10,903,959 |
Distributions to shareholders from net investment income | (4,793,393) | (10,911,318) |
Share transactions at net asset value of $1.00 per share | - | 55,000,000 |
Reinvestment of distributions | 729,501 | 1,049,493 |
Cost of shares redeemed | - | (5,217,402) |
Net increase (decrease) in net assets and shares resulting from share transactions | 729,501 | 50,832,091 |
Total increase (decrease) in net assets | 728,512 | 50,824,732 |
Net Assets | ||
Beginning of period | 816,443,027 | 765,618,295 |
End of period | $ 817,171,539 | $ 816,443,027 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended September 30, | ||||
(Unaudited) | 2003 | 2002 | 2001 | 2000 D | |
Selected Per-Share Data | |||||
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | |||||
Net investment income | .006 | .014 | .022 | .054 | .013 |
Distributions from net investment income | (.006) | (.014) | (.022) | (.054) | (.013) |
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B | .59% | 1.43%C | 2.24%C | 5.51%C | 1.25%C |
Ratios to Average Net Assets E | |||||
Expenses before expense reductions | .0060% A | .0073% | .0076% | .0095% | .0133% A |
Expenses net of voluntary waivers, if any | .0060% A | .0073% | .0076% | .0095% | .0133% A |
Expenses net of all reductions | .0060% A | .0073% | .0076% | .0094% | .0133% A |
Net investment income | 1.17% A | 1.42% | 2.24% | 5.40% | 6.79% A |
Supplemental Data | |||||
Net assets, end of period | $ 817,172 | $ 816,443 | $ 765,618 | $ 852,435 | $ 876,078 |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D For the period July 24, 2000 (commencement of operations) to September 30, 2000.
E Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other 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 any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended March 31, 2004 (Unaudited)
1. Significant Accounting Policies.
Fidelity Money Market Central Fund (the fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the fund are only offered to other investment companies and accounts (the investing funds) managed by Fidelity Management & Research Company (FMR), or 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. As permitted under Rule 2a-7 of the 1940 Act, and certain conditions therein, securities are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium. Investments in open-end investment companies are valued at their net asset value each business day.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds 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. There were no significant book-to-tax differences during the period.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations, corporate obligations and mortgage loan obligations which may be below investment-grade quality, and equity securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).
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.
3. Fees and Other Transactions with Affiliates.
Management Fee. 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating funds. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments.
4. Other Information.
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.
Semiannual Report
Fidelity® Ultra-Short
Central Fund
Semiannual Report
March 31, 2004
For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov.
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.
USC-SANN-0504 372849
1.771938.102
Investments March 31, 2004 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 5.0% | |||
Principal | Value | ||
CONSUMER DISCRETIONARY - 1.4% | |||
Auto Components - 0.2% | |||
DaimlerChrysler NA Holding Corp. 2.13% 8/8/06 (d) | $ 11,000,000 | $ 11,126,577 | |
Media - 1.2% | |||
AOL Time Warner, Inc. 5.625% 5/1/05 | 15,000,000 | 15,616,170 | |
Continental Cablevision, Inc. 8.3% 5/15/06 | 8,000,000 | 8,915,768 | |
Cox Communications, Inc. 7.5% 8/15/04 | 8,504,000 | 8,671,997 | |
Liberty Media Corp. 2.61% 9/17/06 (d) | 17,000,000 | 17,201,688 | |
Time Warner, Inc. 7.75% 6/15/05 | 7,500,000 | 8,015,415 | |
Walt Disney Co. 4.875% 7/2/04 | 11,130,000 | 11,226,998 | |
69,648,036 | |||
TOTAL CONSUMER DISCRETIONARY | 80,774,613 | ||
ENERGY - 0.2% | |||
Oil & Gas - 0.2% | |||
Pemex Project Funding Master Trust 2.65% 1/7/05 (a)(d) | 10,000,000 | 10,039,380 | |
FINANCIALS - 1.8% | |||
Capital Markets - 0.2% | |||
Salomon Smith Barney Holdings, Inc. 1.46% 5/4/04 (d) | 1,000,000 | 1,000,283 | |
State Street Capital Trust II 1.62% 2/15/08 (d) | 10,000,000 | 10,071,310 | |
11,071,593 | |||
Commercial Banks - 0.1% | |||
PNC Funding Corp. 1.495% 10/29/04 (d) | 4,000,000 | 4,009,048 | |
Consumer Finance - 0.8% | |||
American General Finance Corp. 1.53% 8/13/04 (d) | 5,000,000 | 5,007,500 | |
Ford Motor Credit Co. 2.995% 10/25/04 (d) | 10,000,000 | 10,063,340 | |
General Motors Acceptance Corp.: | |||
2.37% 10/20/05 (d) | 5,000,000 | 5,036,145 | |
6.75% 1/15/06 | 4,975,000 | 5,317,310 | |
Household Finance Corp. 8% 5/9/05 | 11,000,000 | 11,762,278 | |
John Deere Capital Corp. 1.71% 9/17/04 (d) | 8,000,000 | 8,018,400 | |
45,204,973 | |||
Diversified Financial Services - 0.2% | |||
Deutsche Telekom International Finance BV 8.25% 6/15/05 | 12,500,000 | 13,457,300 | |
Real Estate - 0.3% | |||
Arden Realty LP 8.875% 3/1/05 | 3,964,000 | 4,206,097 | |
Camden Property Trust 7% 4/15/04 | 7,000,000 | 7,009,772 | |
Nonconvertible Bonds - continued | |||
Principal | Value | ||
FINANCIALS - continued | |||
Real Estate - continued | |||
Duke Realty LP 6.875% 3/15/05 | $ 6,500,000 | $ 6,816,381 | |
Regency Centers LP 7.125% 7/15/05 | 700,000 | 746,064 | |
18,778,314 | |||
Thrifts & Mortgage Finance - 0.2% | |||
Home Savings of America FSB 6.5% 8/15/04 | 10,000,000 | 10,154,080 | |
TOTAL FINANCIALS | 102,675,308 | ||
INDUSTRIALS - 0.4% | |||
Aerospace & Defense - 0.2% | |||
Bombardier Capital, Inc. 7.5% 8/15/04 (a) | 10,000,000 | 10,225,700 | |
Industrial Conglomerates - 0.2% | |||
Tyco International Group SA yankee: | |||
6.375% 6/15/05 | 6,200,000 | 6,490,774 | |
6.375% 2/15/06 | 3,000,000 | 3,194,085 | |
9,684,859 | |||
TOTAL INDUSTRIALS | 19,910,559 | ||
MATERIALS - 0.0% | |||
Paper & Forest Products - 0.0% | |||
Boise Cascade Corp. 7.35% 10/11/04 | 1,500,000 | 1,526,568 | |
TELECOMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.5% | |||
British Telecommunications PLC 7.875% 12/15/05 | 4,500,000 | 4,933,337 | |
France Telecom SA 8.2% 3/1/06 | 10,200,000 | 11,271,989 | |
GTE Corp. 6.36% 4/15/06 | 9,000,000 | 9,736,596 | |
Telefonica Europe BV 7.35% 9/15/05 | 4,500,000 | 4,855,802 | |
30,797,724 | |||
Wireless Telecommunication Services - 0.3% | |||
AT&T Wireless Services, Inc. 7.35% 3/1/06 | 5,500,000 | 6,031,889 | |
Vodafone Group PLC 7.625% 2/15/05 | 8,200,000 | 8,631,755 | |
14,663,644 | |||
TOTAL TELECOMMUNICATION SERVICES | 45,461,368 | ||
Nonconvertible Bonds - continued | |||
Principal | Value | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.4% | |||
Cleveland Electric Illuminating Co./Toledo Edison Co. 7.67% 7/1/04 | $ 13,850,000 | $ 14,048,540 | |
DTE Energy Co. 6% 6/1/04 | 6,410,000 | 6,454,107 | |
20,502,647 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $277,302,184) | 280,890,443 | ||
U.S. Government Agency Obligations - 5.2% | |||
Fannie Mae 0% 4/21/04 (c) | 3,000,000 | 2,998,368 | |
Federal Home Loan Bank: | |||
1.265% 3/15/05 | 200,000,000 | 199,967,389 | |
1.35% 4/29/05 | 90,000,000 | 89,842,770 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $292,969,504) | 292,808,527 | ||
Asset-Backed Securities - 37.1% | |||
ACE Securities Corp.: | |||
Series 2001-NC1 Class M1, 1.73% 1/25/31 (d) | 10,229,191 | 10,268,038 | |
Series 2002-HE1 Class M1, 1.74% 6/25/32 (d) | 2,110,000 | 2,128,730 | |
Series 2002-HE1, Class A, 1.43% 6/25/32 (d) | 6,652,038 | 6,668,135 | |
Series 2002-HE2 Class M1, 1.94% 8/25/32 (d) | 19,950,000 | 20,145,444 | |
Series 2003-FM1 Class M2, 2.94% 11/25/32 (d) | 3,015,000 | 3,076,822 | |
Series 2003-HS1: | |||
Class M1, 1.84% 6/25/33 (d) | 800,000 | 805,000 | |
Class M2, 2.84% 6/25/33 (d) | 856,000 | 870,178 | |
Series 2003-NC1 Class M1, 1.87% 7/25/33 (d) | 1,600,000 | 1,600,000 | |
Series 2003-TC1 Class A2, 1.48% 6/25/33 (d) | 2,326,569 | 2,336,284 | |
Series 2004-HE1: | |||
Class M1, 1.59% 2/25/34 (d) | 2,193,000 | 2,193,000 | |
Class M2, 2.19% 2/25/34 (d) | 2,475,000 | 2,475,000 | |
American Express Credit Account Master Trust: | |||
Series 1999-3 Class B, 1.43% 12/15/06 (d) | 10,000,000 | 10,002,345 | |
Series 2002-4 Class B, 1.4% 2/15/08 (d) | 10,000,000 | 10,028,545 | |
Series 2002-6 Class B, 1.54% 3/15/10 (d) | 5,000,000 | 5,045,184 | |
Series 2004-1 Class B, 1.3413% 9/15/11 (d) | 5,775,000 | 5,788,608 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2000-D Class A4, 1.31% 9/12/07 (d) | 1,781,772 | 1,784,061 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
AmeriCredit Automobile Receivables Trust: - continued | |||
Series 2001-C Class A3, 1.25% 4/12/06 (d) | $ 618,111 | $ 618,408 | |
Series 2001-D Class A3, 1.4% 9/12/06 (d) | 6,302,617 | 6,306,250 | |
Series 2002-A Class A3, 1.3% 10/12/06 (d) | 4,143,836 | 4,144,862 | |
Series 2002-EM Class A4A, 3.67% 6/8/09 | 25,000,000 | 25,770,055 | |
Series 2003-AM: | |||
Class A3B, 1.47% 6/6/07 (d) | 4,750,000 | 4,751,478 | |
Class A4B, 1.57% 11/6/09 (d) | 12,400,000 | 12,493,289 | |
Series 2003-BX Class A4B, 1.48% 1/6/10 (d) | 3,265,000 | 3,291,465 | |
Series 2003-CF Class A3, 2.75% 10/9/07 | 17,500,000 | 17,797,129 | |
Ameriquest Mortgage Securities, Inc.: | |||
Series 2002-3 Class M1, 1.79% 8/25/32 (d) | 5,000,000 | 5,029,788 | |
Series 2002-4 Class A2, 1.53% 2/25/33 (d) | 1,824,420 | 1,833,204 | |
Series 2002-AR1: | |||
Class A2, 1.41% 9/25/32 (d) | 6,705,611 | 6,712,717 | |
Class M2, 2.39% 9/25/32 (d) | 1,698,000 | 1,710,481 | |
Series 2003-1: | |||
Class A2, 1.5% 2/25/33 (d) | 5,244,886 | 5,267,894 | |
Class M1, 1.99% 2/25/33 (d) | 3,330,000 | 3,383,050 | |
Series 2003-3: | |||
Class M1, 1.89% 3/25/33 (d) | 1,590,000 | 1,599,938 | |
Class S, 5% 9/25/05 (f) | 13,372,340 | 597,054 | |
Series 2003-6: | |||
Class AV3, 1.41% 5/25/33 (d) | 10,845,979 | 10,868,978 | |
Class M2, 2.94% 5/25/33 (d) | 2,750,000 | 2,805,357 | |
Series 2003-AR1 Class M1, 2.24% 1/25/33 (d) | 7,000,000 | 7,074,496 | |
Series 2004-R2: | |||
Class M1, 1.53% 4/25/34 (d) | 1,230,000 | 1,230,000 | |
Class M2, 1.58% 4/25/34 (d) | 950,000 | 950,000 | |
Class M3, 1.64% 4/25/34 (d) | 3,500,000 | 3,500,000 | |
Class M4, 2.14% 4/25/34 (d) | 4,500,000 | 4,500,000 | |
Amortizing Residential Collateral Trust: | |||
Series 2000-BC3 Class M1, 1.69% 9/25/30 (d) | 20,000,000 | 20,027,550 | |
Series 2002-BC3 Class A, 1.42% 6/25/32 (d) | 8,680,344 | 8,702,736 | |
Series 2002-BC6: | |||
Class A2, 1.44% 8/25/32 (d) | 2,227,771 | 2,232,585 | |
Class M1, 1.84% 8/25/32 (d) | 24,900,000 | 25,145,596 | |
Series 2002-BC7: | |||
Class M1, 1.89% 10/25/32 (d) | 10,000,000 | 10,075,000 | |
Class M2, 1.99% 10/25/32 (d) | 5,575,000 | 5,624,858 | |
Series 2002-BC9 Class A2, 1.57% 12/25/32 (d) | 2,880,145 | 2,897,251 | |
Series 2003-BC1 Class M2, 2.19% 1/25/32 (d) | 2,480,000 | 2,487,805 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
AQ Finance NIMS Trust: | |||
Series 2002-N5A Class NOTE, 1.52% 10/25/09 (a)(d) | $ 893,822 | $ 894,101 | |
Series 2003-N6A Class NOTE, 1.39% 5/25/10 (a)(d) | 4,618,158 | 4,618,158 | |
Argent Securities, Inc.: | |||
Series 2003-W3 Class M2, 2.89% 9/25/33 (d) | 20,000,000 | 20,556,396 | |
Series 2003-W7 Class A2, 1.48% 3/1/34 (d) | 12,109,599 | 12,156,667 | |
Series 2004-W5 Class M1, 1.69% 4/25/34 (d) | 3,960,000 | 3,960,000 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2001-HE3 Class A1, 1.36% 11/15/31 (d) | 3,640,002 | 3,644,341 | |
Series 2003-HE1 Class A2, 1.59% 1/15/33 (d) | 1,513,534 | 1,523,697 | |
Series 2003-HE2: | |||
Class A2, 1.47% 4/15/33 (d) | 9,703,972 | 9,739,813 | |
Class M1, 1.99% 4/15/33 (d) | 9,000,000 | 9,149,150 | |
Series 2003-HE3: | |||
Class M1, 1.92% 6/15/33 (d) | 2,185,000 | 2,217,100 | |
Class M2, 3.09% 6/15/33 (d) | 10,000,000 | 10,344,030 | |
Series 2003-HE4 Class M2, 3.09% 8/15/33 (d) | 5,695,000 | 5,791,855 | |
Series 2003-HE5 Class A2A, 1.45% 8/15/33 (d) | 11,973,422 | 12,011,225 | |
Series 2003-HE6 Class M1, 1.74% 11/25/33 (d) | 3,475,000 | 3,499,829 | |
Series 2004-HE3: | |||
Class M1, 5/26/34 (b) | 1,425,000 | 1,425,000 | |
Class M2, 5/26/34 (b) | 3,325,000 | 3,320,561 | |
Bank One Issuance Trust: | |||
Series 2002-B1 Class B1, 1.47% 12/15/09 (d) | 15,000,000 | 15,095,289 | |
Series 2002-B2 Class B2, 1.43% 5/15/08 (d) | 15,000,000 | 15,048,395 | |
Series 2002-B3 Class B, 1.45% 8/15/08 (d) | 14,500,000 | 14,552,184 | |
Bayview Commercial Asset Trust Series 2003-2: | |||
Class A, 1.67% 12/25/33 (a)(d) | 17,503,487 | 17,547,245 | |
Class M1, 1.94% 12/25/33 (a)(d) | 2,848,411 | 2,855,532 | |
Bayview Financial Asset Trust Series 2000-F Class A, 1.59% 9/28/43 (d) | 17,723,910 | 17,799,374 | |
Capital Auto Receivables Asset Trust: | |||
Series 2002-5 Class B, 2.8% 4/15/08 | 8,696,053 | 8,793,748 | |
Series 2003-1 Class B1B, 1.56% 6/15/10 (a)(d) | 14,597,651 | 14,553,173 | |
Series 2003-2 Class B, 1.37% 1/15/09 (d) | 6,697,909 | 6,695,900 | |
Capital One Auto Finance Trust Series 2003-A Class A4B, 1.37% 1/15/10 (d) | 9,630,000 | 9,692,538 | |
Capital One Master Trust: | |||
Series 1999-1 Class B, 1.43% 7/16/07 (d) | 28,000,000 | 27,997,438 | |
Series 1999-3 Class B, 1.57% 9/15/09 (d) | 5,000,000 | 5,006,855 | |
Series 2001-1 Class B, 1.6% 12/15/10 (d) | 19,500,000 | 19,679,129 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Capital One Master Trust: - continued | |||
Series 2001-4 Class B, 1.46% 4/16/07 (d) | $ 7,000,000 | $ 7,002,211 | |
Series 2001-8A Class B, 1.64% 8/17/09 (d) | 9,585,000 | 9,677,426 | |
Series 2002-3A Class B, 4.55% 2/15/08 | 10,000,000 | 10,235,455 | |
Series 2002-4A Class B, 1.59% 3/15/10 (d) | 6,000,000 | 6,044,611 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2002-B1 Class B1, 1.77% 7/15/08 (d) | 17,705,000 | 17,813,934 | |
Series 2003-B1 Class B1, 2.26% 2/17/09 (d) | 15,470,000 | 15,757,887 | |
CDC Mortgage Capital Trust: | |||
Series 2001-HE1: | |||
Class A, 1.43% 1/25/32 (d) | 3,045,652 | 3,047,460 | |
Class M1, 2.12% 1/25/32 (d) | 4,997,655 | 5,055,431 | |
Series 2002-HE2 Class M1, 1.79% 1/25/33 (d) | 9,999,980 | 10,072,202 | |
Series 2002-HE3: | |||
Class M1, 2.19% 3/25/33 (d) | 21,499,948 | 21,983,680 | |
Class M2, 3.34% 3/25/33 (d) | 9,968,976 | 10,152,873 | |
Series 2003-HE1: | |||
Class M1, 1.99% 8/25/33 (d) | 1,989,998 | 2,008,351 | |
Class M2, 3.04% 8/25/33 (d) | 4,369,996 | 4,471,039 | |
Series 2003-HE2 Class A, 1.44% 10/25/33 (d) | 12,347,028 | 12,382,279 | |
Series 2003-HE3: | |||
Class M1, 1.79% 11/25/33 (d) | 2,254,989 | 2,278,641 | |
Class M2, 2.84% 11/25/33 (d) | 1,719,992 | 1,743,855 | |
Chase Credit Card Owner Trust: | |||
Series 2001-6 Class B, 1.57% 3/16/09 (d) | 1,305,000 | 1,315,917 | |
Series 2002-4 Class B, 1.4% 10/15/07 (d) | 12,000,000 | 12,028,018 | |
Series 2002-6 Class B, 1.44% 1/15/08 (d) | 11,850,000 | 11,888,657 | |
Series 2004-1 Class B, 1.3035% 5/15/09 (d) | 4,105,000 | 4,105,014 | |
Citibank Credit Card Issuance Trust: | |||
Series 2000-C2 Class C2, 1.77% 10/15/07 (d) | 17,500,000 | 17,546,057 | |
Series 2001-B2 Class B2, 1.58% 12/10/08 (d) | 11,945,000 | 12,041,173 | |
Series 2002-B1 Class B1, 1.44% 6/25/09 (d) | 9,010,000 | 9,053,330 | |
Series 2002-C1 Class C1, 2.12% 2/9/09 (d) | 17,500,000 | 17,742,540 | |
Series 2003-B1 Class B1, 1.42% 3/7/08 (d) | 25,000,000 | 25,068,115 | |
Citigroup Mortgage Loan Trust Series 2003-HE4 | 12,470,427 | 12,493,809 | |
Countrywide Home Loans, Inc.: | |||
Series 2002-6 Class AV1, 1.52% 5/25/33 (d) | 6,651,160 | 6,668,713 | |
Series 2003-SD3 Class A1, 1.51% 12/25/32 (a)(d) | 3,237,522 | 3,253,680 | |
Series 2004-2 Class M1, 1.59% 5/25/34 (d) | 5,200,000 | 5,200,000 | |
Series 2004-3: | |||
Class 3A4, 1.34% 8/25/34 (d) | 672,000 | 672,000 | |
Class M1, 1.59% 6/25/34 (d) | 1,475,000 | 1,475,000 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Countrywide Home Loans, Inc.: - continued | |||
Series 2004-4: | |||
Class A, 1.47% 8/25/34 (d) | $ 5,225,000 | $ 5,225,000 | |
Class M1, 1.58% 7/25/34 (d) | 3,650,000 | 3,650,000 | |
Class M2, 1.63% 6/25/34 (d) | 4,395,000 | 4,395,000 | |
Discover Card Master Trust I: | |||
Series 2000-1 Class B, 1.46% 8/16/07 (d) | 6,300,000 | 6,315,170 | |
Series 2000-2 Class B, 1.46% 9/18/07 (d) | 10,000,000 | 10,019,908 | |
Series 2002-1 Class B, 1.49% 7/15/07 (d) | 30,637,000 | 30,704,873 | |
Series 2003-4 Class B1, 1.42% 5/16/11 (d) | 8,155,000 | 8,192,733 | |
Fannie Mae guaranteed REMIC pass thru certificates | 28,489,867 | 1,348,819 | |
Fieldstone Mortgage Investment Corp.: | |||
Series 2003-1: | |||
Class M1, 1.77% 11/25/33 (d) | 1,300,000 | 1,306,500 | |
Class M2, 2.84% 11/25/33 (d) | 700,000 | 703,500 | |
Series 2004-1 Class M2, 2.19% 1/25/35 (d) | 3,700,000 | 3,717,633 | |
First Franklin Mortgage Loan Trust Series 2004-FF2: | |||
Class M3, 1.65% 3/25/34 (b)(d) | 400,000 | 400,000 | |
Class M4, 2% 3/25/34 (b)(d) | 300,000 | 300,000 | |
Class M6, 2.35% 3/25/34 (b)(d) | 400,000 | 400,000 | |
First USA Credit Card Master Trust: | |||
Series 1997-7 Class B, 1.39% 5/17/07 (d) | 15,000,000 | 15,015,530 | |
Series 2001-4 Class B, 1.4925% 1/12/09 (d) | 15,000,000 | 15,075,947 | |
First USA Secured Note Trust Series 2001-3 Class C, 2.14% 11/19/08 (a)(d) | 11,580,000 | 11,715,704 | |
Fleet Credit Card Master Trust II Series 2002-A Class B, 1.43% 10/15/07 (d) | 10,000,000 | 10,015,715 | |
Ford Credit Auto Owner Trust Series 2003-B Class B2, 1.52% 10/15/07 (d) | 19,600,000 | 19,716,771 | |
Fremont Home Loan Trust Series 2004-1: | |||
Class 1A1, 1.21% 2/25/34 (b)(d) | 7,000,000 | 7,000,000 | |
Class M1, 1.55% 2/25/34 (b)(d) | 750,000 | 750,000 | |
Class M2, 1.6% 2/25/34 (b)(d) | 800,000 | 800,000 | |
GE Business Loan Trust Series 2003-1 Class A, 1.52% 4/15/31 (a)(d) | 6,493,498 | 6,505,674 | |
Gracechurch Card Funding #5 PLC Series 5: | |||
Class B, 1.32% 8/15/08 (d) | 1,520,000 | 1,520,238 | |
Class C, 2.02% 8/15/08 (d) | 5,580,000 | 5,584,360 | |
Gracechurch Card Funding PLC Series 6 Class B, 1.2919% 2/17/09 (d) | 1,030,000 | 1,030,000 | |
GS Mortgage Securities Corp.: | |||
Series 2002-HE Class M1, 2.34% 11/20/32 (d) | 3,017,000 | 3,102,655 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
GS Mortgage Securities Corp.: - continued | |||
Series 2003-FM1 Class M1, 1.91% 3/20/33 (d) | $ 15,000,000 | $ 15,214,962 | |
Series 2004-FM1: | |||
Class M1, 1.74% 11/25/33 (d) | 2,865,000 | 2,864,997 | |
Class M2, 2.49% 11/25/33 (d) | 1,975,000 | 1,986,408 | |
GSAMP NIMS Trust Series 2002-HE2N Class NOTE, 8.25% 10/20/32 (a) | 154,924 | 155,110 | |
GSAMP Trust: | |||
Series 2002-NC1: | |||
Class A2, 1.41% 7/25/32 (d) | 7,406,351 | 7,431,726 | |
Class M1, 1.73% 7/25/32 (d) | 8,861,000 | 8,928,866 | |
Series 2004-FM2: | |||
Class M1, 1.59% 1/25/34 (d) | 3,500,000 | 3,500,000 | |
Class M2, 2.19% 1/25/34 (d) | 1,500,000 | 1,500,000 | |
Class M3, 2.39% 1/25/34 (d) | 1,500,000 | 1,500,000 | |
Home Equity Asset Trust: | |||
Series 2002-2 Class M1, 1.89% 6/25/32 (d) | 10,000,000 | 10,034,700 | |
Series 2002-3 Class A5, 1.53% 2/25/33 (d) | 10,343,498 | 10,367,431 | |
Series 2002-4: | |||
Class A3, 1.57% 3/25/33 (d) | 17,107,286 | 17,173,936 | |
Class M2, 3.14% 3/25/33 (d) | 1,850,000 | 1,882,179 | |
Series 2002-5: | |||
Class A3, 1.61% 5/25/33 (d) | 19,363,617 | 19,500,295 | |
Class M1, 2.29% 5/25/33 (d) | 13,800,000 | 14,165,334 | |
Series 2003-1: | |||
Class A2, 1.56% 6/25/33 (d) | 23,262,974 | 23,339,363 | |
Class M1, 2.09% 6/25/33 (d) | 5,700,000 | 5,750,702 | |
Series 2003-2: | |||
Class A2, 1.47% 8/25/33 (d) | 1,245,252 | 1,249,750 | |
Class M1, 1.97% 8/25/33 (d) | 2,245,000 | 2,280,699 | |
Series 2003-3: | |||
Class A2, 1.45% 8/25/33 (d) | 7,314,804 | 7,339,083 | |
Class M1, 1.95% 8/25/33 (d) | 8,185,000 | 8,313,721 | |
Series 2003-4: | |||
Class M1, 1.89% 10/25/33 (d) | 3,415,000 | 3,461,960 | |
Class M2, 2.99% 10/25/33 (d) | 4,040,000 | 4,086,633 | |
Series 2003-5: | |||
Class A2, 1.44% 12/25/33 (d) | 8,055,853 | 8,078,864 | |
Class M1, 1.79% 12/25/33 (d) | 3,175,000 | 3,205,733 | |
Class M2, 2.82% 12/25/33 (d) | 1,345,000 | 1,355,531 | |
Series 2004-2 Class A2, 1.38% 7/25/34 (b)(d) | 15,000,000 | 15,000,000 | |
Household Affinity Credit Card Master Note Trust I | 10,000,000 | 10,000,000 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Household Credit Card Master Trust I Series 2002-1 Class B, 1.74% 7/15/08 (d) | $ 22,589,000 | $ 22,767,970 | |
Household Home Equity Loan Trust: | |||
Series 2002-1: | |||
Class A, 1.46% 12/22/31 (d) | 2,467,810 | 2,473,762 | |
Class M, 1.91% 12/22/31 (d) | 2,467,810 | 2,483,771 | |
Series 2002-2 Class A, 1.39% 4/20/32 (d) | 6,671,894 | 6,689,986 | |
Series 2002-3 Class A, 1.54% 7/20/32 (d) | 5,875,647 | 5,892,653 | |
Series 2003-1 Class M, 1.72% 10/20/32 (d) | 2,221,257 | 2,231,667 | |
Series 2003-2: | |||
Class A, 1.42% 9/20/33 (d) | 8,306,074 | 8,333,042 | |
Class M, 1.67% 9/20/33 (d) | 3,905,927 | 3,920,238 | |
Household Mortgage Loan Trust: | |||
Series 2002-HC1 Class A, 1.39% 5/20/32 (d) | 3,844,930 | 3,855,482 | |
Series 2003-HC1: | |||
Class A, 1.44% 2/20/33 (d) | 12,400,956 | 12,437,276 | |
Class M, 1.74% 2/20/33 (d) | 4,838,300 | 4,865,363 | |
Household Private Label Credit Card Master Note Trust I: | |||
Series 2001-2 Class B, 1.54% 6/16/08 (d) | 16,750,000 | 16,732,091 | |
Series 2002-1 Class B, 1.64% 1/18/11 (d) | 8,850,000 | 8,870,713 | |
Series 2002-2: | |||
Class A, 1.26% 1/18/11 (d) | 9,000,000 | 9,013,235 | |
Class B, 1.64% 1/18/11 (d) | 14,275,000 | 14,404,947 | |
Series 2002-3 Class B, 2.34% 9/15/09 (d) | 2,970,000 | 3,011,606 | |
Ikon Receivables Funding LLC Series 2003-1 | 9,500,000 | 9,506,209 | |
Keycorp Student Loan Trust Series 1999-A Class A2, 1.44% 12/27/09 (d) | 20,736,890 | 20,802,539 | |
Long Beach Asset Holdings Corp. NIMS Trust Series 2002-4 Class NOTE, 1.79% 10/26/09 (a)(d) | 2,060,367 | 2,060,367 | |
Long Beach Mortgage Loan Trust: | |||
Series 2001-4: | |||
Class 2M1, 2.04% 3/25/32 (d) | 25,000,000 | 25,262,290 | |
Class M2, 2.74% 3/25/32 (d) | 4,020,000 | 4,059,950 | |
Series 2002-4 Class 2S1, 5.25% 4/25/05 (f) | 26,237,000 | 1,242,159 | |
Series 2003-1: | |||
Class A2, 1.49% 3/25/33 (d) | 3,906,965 | 3,923,466 | |
Class M1, 2.01% 3/25/33 (d) | 4,700,000 | 4,781,763 | |
Class M2, 3.14% 3/25/33 (d) | 10,000,000 | 10,263,224 | |
Series 2003-2: | |||
Class AV, 1.41% 6/25/33 (d) | 2,698,469 | 2,704,426 | |
Class M1, 1.91% 6/25/33 (d) | 19,500,000 | 19,666,938 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Long Beach Mortgage Loan Trust: - continued | |||
Series 2003-3: | |||
Class A, 1.41% 7/25/33 (d) | $ 15,439,732 | $ 15,474,609 | |
Class M1, 1.84% 7/25/33 (d) | 7,770,000 | 7,855,507 | |
MASTR ABS NIMS Trust: | |||
Series 2002-OPT1 Class NOTE, 1.64% 11/26/07 (a)(d) | 1,972,525 | 1,974,375 | |
Series 2003-OPT1 Class NOTE, 1.47% 2/26/08 (a)(d) | 2,917,319 | 2,918,188 | |
MASTR Asset Backed Securities Trust Series 2003-NC1: | |||
Class M1, 1.82% 4/25/33 (d) | 3,500,000 | 3,529,754 | |
Class M2, 2.94% 4/25/33 (d) | 1,500,000 | 1,529,444 | |
MBNA Asset Backed Note Trust: | |||
Series 1999-C Class C, 1.89% 10/16/06 (a)(d) | 1,355,000 | 1,355,706 | |
Series 1999-G Class C, 1.89% 12/15/06 (a)(d) | 1,340,000 | 1,341,152 | |
Series 2000-K Class C, 1.89% 3/17/08 (a)(d) | 7,250,000 | 7,278,275 | |
MBNA Credit Card Master Note Trust: | |||
Series 2001-A4 Class A, 1.22% 2/15/07 (d) | 13,000,000 | 13,007,861 | |
Series 2001-B1 Class B1, 1.465% 10/15/08 (d) | 30,000,000 | 30,085,890 | |
Series 2001-B2 Class B2, 1.45% 1/15/09 (d) | 30,353,000 | 30,496,934 | |
Series 2002-B2 Class B2, 1.47% 10/15/09 (d) | 20,000,000 | 20,130,304 | |
Series 2002-B3 Class B3, 1.49% 1/15/08 (d) | 15,000,000 | 15,055,964 | |
Series 2002-B4 Class B4, 1.59% 3/15/10 (d) | 14,800,000 | 14,960,960 | |
Series 2003-B3 Class B3, 1.465% 1/18/11 (d) | 1,130,000 | 1,134,620 | |
MBNA Master Credit Card Trust II: | |||
Series 1997-I Class B, 1.4% 1/15/07 (d) | 7,000,000 | 7,006,153 | |
Series 1997-J Class B, 1.39% 2/15/07 (d) | 9,500,000 | 9,509,719 | |
Series 1998-E Class B, 1.45% 9/15/10 (d) | 7,800,000 | 7,849,787 | |
Series 1998-G Class B, 1.49% 2/17/09 (d) | 20,000,000 | 20,073,546 | |
Series 1999-C Class B, 1.5019% 10/16/06 (a)(d) | 750,000 | 750,000 | |
Series 2000-C Class B, 1.465% 7/15/07 (d) | 15,000,000 | 15,013,946 | |
Meritage Mortgage Loan Trust Series 2004-1: | |||
Class M1, 1.59% 4/25/34 (d) | 2,125,000 | 2,125,000 | |
Class M2, 1.64% 4/25/34 (d) | 375,000 | 375,000 | |
Class M3, 2.04% 4/25/34 (d) | 775,000 | 775,000 | |
Class M4, 2.19% 4/25/34 (d) | 525,000 | 525,000 | |
Merrill Lynch Mortgage Investors, Inc.: | |||
Series 2002-HE1N Class N1, 1.69% 11/25/09 (a)(d) | 5,210,440 | 5,227,334 | |
Series 2003-HE1 Class M1, 1.79% 7/25/34 (d) | 2,321,000 | 2,324,717 | |
Morgan Stanley ABS Capital I, Inc.: | |||
Series 2002-NC6 Class M2, 3.19% 11/25/32 (d) | 2,370,000 | 2,453,890 | |
Series 2003-HE1 Class M2, 2.99% 5/25/33 (d) | 6,185,000 | 6,280,820 | |
Series 2003-NC5 Class M2, 3.09% 4/25/33 (d) | 2,800,000 | 2,866,968 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Morgan Stanley ABS Capital I, Inc.: - continued | |||
Series 2003-NC6 Class M2, 3.04% 6/27/33 (d) | $ 12,835,000 | $ 13,123,102 | |
Series 2003-NC7: | |||
Class M1, 1.79% 6/25/33 (d) | 1,785,000 | 1,791,886 | |
Class M2, 2.94% 6/25/33 (d) | 1,000,000 | 1,016,703 | |
Series 2003-NC8 Class M1, 1.79% 9/25/33 (d) | 2,350,000 | 2,359,449 | |
Morgan Stanley Dean Witter Capital I Trust: | |||
Series 2001-AM1: | |||
Class M1, 1.94% 2/25/32 (d) | 1,700,000 | 1,726,326 | |
Class M2, 2.49% 2/25/32 (d) | 10,149,500 | 10,242,693 | |
Series 2001-NC3 Class M2, 2.59% 10/25/31 (d) | 4,230,000 | 4,283,318 | |
Series 2001-NC4: | |||
Class M1, 2.09% 1/25/32 (d) | 3,920,000 | 3,988,745 | |
Class M2, 2.74% 1/25/32 (d) | 1,645,000 | 1,672,077 | |
Series 2002-AM3: | |||
Class A3, 1.58% 2/25/33 (d) | 7,500,075 | 7,528,940 | |
Class M1, 2.04% 2/25/33 (d) | 14,850,000 | 15,063,839 | |
Series 2002-HE1 Class M1, 1.69% 7/25/32 (d) | 2,700,000 | 2,716,575 | |
Series 2002-HE2: | |||
Class M1, 1.79% 8/25/32 (d) | 9,925,000 | 9,989,116 | |
Class M2, 2.34% 8/25/32 (d) | 1,550,000 | 1,559,407 | |
Series 2002-NC3 Class A3, 1.43% 8/25/32 (d) | 7,099,575 | 7,119,720 | |
Series 2002-NC5 Class M3, 2.89% 10/25/32 (d) | 920,000 | 943,133 | |
Series 2002-OP1 Class M1, 1.84% 9/25/32 (d) | 1,545,000 | 1,559,326 | |
Series 2003-NC1: | |||
Class M1, 2.14% 11/25/32 (d) | 2,555,000 | 2,590,530 | |
Class M2, 3.14% 11/25/32 (d) | 1,880,000 | 1,912,130 | |
Mortgage Asset Backed Securities Trust Series 2002-NC1: | |||
Class A2, 1.53% 10/25/32 (d) | 6,315,691 | 6,328,122 | |
Class M1, 1.94% 10/25/32 (d) | 5,000,000 | 5,057,887 | |
New Century Home Equity Loan Trust: | |||
Series 2003-2: | |||
Class A2, 1.52% 1/25/33 (d) | 5,412,410 | 5,424,844 | |
Class M2, 3.09% 1/25/33 (d) | 4,600,000 | 4,704,861 | |
Series 2003-6 Class M1, 1.81% 1/25/34 (d) | 5,180,000 | 5,208,946 | |
Nissan Auto Lease Trust Series 2003-A Class A3A, 1.23% 6/15/09 (d) | 20,000,000 | 20,035,626 | |
NovaStar Home Equity Loan Series 2004-1: | |||
Class M1, 1.54% 6/25/34 (d) | 1,450,000 | 1,453,625 | |
Class M4, 2.065% 6/25/34 (d) | 2,435,000 | 2,437,854 | |
Providian Gateway Master Trust Series 2002-B Class A, 1.79% 6/15/09 (a)(d) | 15,000,000 | 15,046,113 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Residential Asset Mortgage Products, Inc. | $ 8,137,885 | $ 8,160,834 | |
Salomon Brothers Mortgage Securities VII, Inc. | 3,828,678 | 3,844,614 | |
Sears Credit Account Master Trust II: | |||
Series 1998-2 Class A, 5.25% 10/16/08 | 583,333 | 590,161 | |
Series 2001-1 Class B, 1.515% 2/15/10 (d) | 10,000,000 | 9,954,218 | |
Series 2001-2 Class B, 1.38% 6/16/08 (d) | 24,000,000 | 24,004,224 | |
Series 2002-1 Class B, 1.46% 2/18/09 (d) | 10,000,000 | 9,979,816 | |
Series 2002-4: | |||
Class A, 1.22% 8/18/09 (d) | 27,000,000 | 27,041,070 | |
Class B, 1.515% 8/18/09 (d) | 33,300,000 | 33,408,085 | |
Series 2002-5 Class B, 2.34% 11/17/09 (d) | 30,000,000 | 30,097,155 | |
Securitized Asset Back Receivables LLC Trust Series 2004-NC1 Class M1, 0% 2/25/34 (d) | 2,910,000 | 2,910,000 | |
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 1.45% 2/25/34 (d) | 2,258,345 | 2,258,345 | |
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 1.54% 3/15/11 (a)(d) | 10,835,000 | 10,799,448 | |
Target Credit Card Master Trust Series 2001-1 Class A, 1.2% 7/25/08 (d) | 10,000,000 | 10,002,593 | |
Terwin Mortgage Trust: | |||
Series 2003 8HE, Class A, 1.56% 12/25/34 (d) | 6,613,854 | 6,625,221 | |
Series 2003-4HE Class A1, 1.52% 9/25/34 (d) | 9,001,518 | 9,047,456 | |
Series 2003-6HE Class A1, 1.56% 11/25/33 (d) | 5,182,710 | 5,186,760 | |
Series 2004-1HE Class A, 1.6% 2/25/35 (a)(d) | 6,480,332 | 6,480,332 | |
Triad Auto Receivables Owner Trust Series 2002-A | 10,000,000 | 10,086,518 | |
TOTAL ASSET-BACKED SECURITIES (Cost $2,075,736,828) | 2,090,177,741 | ||
Collateralized Mortgage Obligations - 14.8% | |||
Private Sponsor - 4.8% | |||
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 1.49% 5/25/33 (d) | 13,547,102 | 13,546,836 | |
CS First Boston Mortgage Securities Corp.: | |||
floater Series 2004-AR2 Class 6A1, 1.49% 3/25/34 (d) | 13,722,565 | 13,774,025 | |
Series 2001-AR7 Class 3A2, 6.55% 2/25/41 (d) | 719,226 | 727,629 | |
Series 2003-TFLA Class F, 1.9433% 4/15/13 (a)(d) | 3,750,000 | 3,700,099 | |
Series 2004-AR3 Class 6A2, 1.46% 3/25/34 (d) | 5,480,000 | 5,483,425 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
Private Sponsor - continued | |||
Granite Mortgages 2004-1 PLC floater Series 2004-1: | |||
Class 1B, 1.32% 3/20/44 (d) | $ 1,415,000 | $ 1,416,557 | |
Class 1C, 2.01% 3/20/44 (d) | 4,075,000 | 4,088,366 | |
Class 1M, 1.52% 3/20/44 (d) | 1,875,000 | 1,877,475 | |
Holmes Financing PLC floater Series 8: | |||
Class 1B, 1.2444% 7/15/40 (d) | 2,050,000 | 2,050,000 | |
Class 1C, 1.73% 7/15/40 (d) | 6,300,000 | 6,300,000 | |
Class 2B, 1.28% 7/15/40 (d) | 2,695,000 | 2,695,000 | |
Class 2C, 1.83% 7/15/40 (d) | 6,205,000 | 6,205,000 | |
Merrill Lynch Mortgage Investors, Inc. floater: | |||
Series 2003-A Class 2A1, 1.48% 3/25/28 (d) | 12,651,692 | 12,691,141 | |
Series 2003-B Class A1, 1.43% 4/25/28 (d) | 12,296,594 | 12,342,121 | |
Series 2003-E Class A2, 1.48% 10/25/28 (d) | 16,334,382 | 16,437,111 | |
Series 2003-F Class A2, 1.49% 10/25/28 (d) | 19,160,302 | 19,355,647 | |
Series 2004-A Class A2, 1.4% 4/25/29 (d) | 16,570,000 | 16,570,000 | |
Permanent Financing PLC floater: | |||
Series 3: | |||
Class 1B, 1.29% 6/10/42 (d) | 8,640,000 | 8,641,185 | |
Class 1C, 2.06% 6/10/42 (d) | 3,000,000 | 3,008,323 | |
Class 2C, 2.16% 6/10/42 (d) | 2,895,000 | 2,895,000 | |
Series 4 Class 2C, 1.8288% 6/10/42 (d) | 11,550,000 | 11,553,609 | |
Residential Asset Mortgage Products, Inc.: | |||
sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31 | 11,359,193 | 11,927,152 | |
Series 2003-RP1 Class A, 1.59% 4/25/34 (d) | 8,949,413 | 8,999,805 | |
Residential Finance LP/Residential Finance Development Corp. floater: | |||
Series 2002-A: | |||
Class B4, 2.8925% 10/10/34 (a)(d) | 4,822,453 | 4,897,678 | |
Class B5, 3.4425% 10/10/34 (a)(d) | 5,806,627 | 5,896,775 | |
Class B6, 3.9425% 10/10/34 (a)(d) | 3,838,279 | 3,911,446 | |
Series 2003-A: | |||
Class B4, 2.8925% 3/10/35 (a)(d) | 5,619,365 | 5,709,362 | |
Class B5, 3.4425% 3/10/35 (a)(d) | 5,815,515 | 5,934,773 | |
Residential Funding Mortgage Securities I, Inc. floater Series 2002-S15 Class A3, 1.69% 9/25/32 (d) | 345,150 | 345,237 | |
Sequoia Mortgage Trust floater: | |||
Series 2003-5 Class A2, 1.53% 9/20/33 (d) | 18,406,108 | 18,387,884 | |
Series 2003-7 Class A2, 1.5738% 1/20/34 (d) | 8,614,171 | 8,630,322 | |
Series 2004-1 Class A, 1.45% 2/20/34 (d) | 9,713,960 | 9,721,549 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
Private Sponsor - continued | |||
Sequoia Mortgage Trust floater: - continued | |||
Series 2004-3 Class A, 1.4% 5/20/34 (d) | $ 17,230,000 | $ 17,230,000 | |
Wells Fargo Mortgage Backed Securities Trust Series 2001-30 Class A1, 6% 12/25/31 | 670,175 | 674,559 | |
TOTAL PRIVATE SPONSOR | 267,625,091 | ||
U.S. Government Agency - 10.0% | |||
Fannie Mae: | |||
floater: | |||
Series 2000-38 Class F, 1.59% 11/18/30 (d) | 2,591,852 | 2,603,461 | |
Series 2000-40 Class FA, 1.59% 7/25/30 (d) | 5,004,652 | 5,024,771 | |
Series 2002-89 Class F, 1.39% 1/25/33 (d) | 7,940,358 | 7,947,892 | |
planned amortization class Series 2002-81 Class PU, 4.5% 5/25/20 | 17,720,000 | 18,035,978 | |
target amortization class Series G94-2 Class D, 6.45% 1/25/24 | 9,085,935 | 9,574,614 | |
Fannie Mae guaranteed REMIC pass thru certificates: | |||
floater: | |||
Series 2001-34 Class FR, 1.49% 8/18/31 (d) | 4,064,588 | 4,071,345 | |
Series 2001-44 Class FB, 1.39% 9/25/31 (d) | 4,024,782 | 4,028,986 | |
Series 2001-46 Class F, 1.49% 9/18/31 (d) | 11,591,372 | 11,628,722 | |
Series 2002-11 Class QF, 1.59% 3/25/32 (d) | 8,738,203 | 8,777,357 | |
Series 2002-36 Class FT, 1.59% 6/25/32 (d) | 2,678,546 | 2,694,095 | |
Series 2002-64 Class FE, 1.44% 10/18/32 (d) | 4,304,631 | 4,307,892 | |
Series 2002-65 Class FA, 1.39% 10/25/17 (d) | 5,550,496 | 5,554,246 | |
Series 2002-74 Class FV, 1.54% 11/25/32 (d) | 14,896,671 | 14,967,472 | |
Series 2003-11: | |||
Class DF, 1.54% 2/25/33 (d) | 10,278,366 | 10,321,944 | |
Class EF, 1.54% 2/25/33 (d) | 10,551,992 | 10,579,632 | |
Series 2003-63 Class F1, 1.39% 11/25/27 (d) | 11,512,275 | 11,514,214 | |
planned amortization class: | |||
Series 1998-63 Class PG, 6% 3/25/27 | 5,773,090 | 5,864,139 | |
Series 2001-38 Class QG, 6.5% 3/25/30 | 5,007,275 | 5,049,160 | |
Series 2001-56 Class KD, 6.5% 7/25/30 | 4,198,930 | 4,274,346 | |
Series 2001-62 Class PG, 6.5% 10/25/30 | 21,721,042 | 22,371,852 | |
Series 2001-68 Class PE, 6% 6/25/27 | 7,791,695 | 7,806,064 | |
Series 2001-74 Class PC, 6% 1/25/27 | 1,377,051 | 1,377,249 | |
Series 2001-76 Class UB, 5.5% 10/25/13 | 5,000,000 | 5,115,242 | |
Series 2002-16 Class QD, 5.5% 6/25/14 | 1,000,000 | 1,026,536 | |
Series 2002-55 Class QB, 5.5% 8/25/12 | 1,980,971 | 1,994,826 | |
Series 2002-63 Class GB, 6% 6/25/27 | 8,278,554 | 8,350,678 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
U.S. Government Agency - continued | |||
Fannie Mae guaranteed REMIC pass thru certificates: - continued | |||
planned amortization class: - continued | |||
Series 2002-8 Class PD, 6.5% 7/25/30 | $ 15,870,000 | $ 16,232,234 | |
Series 2003-17 Class PQ, 4.5% 3/25/16 | 11,770,000 | 11,940,913 | |
sequential pay Series 2001-64 Class BD, 6% 12/25/28 | 218,928 | 218,670 | |
Freddie Mac: | |||
floater Series 2510 Class FE, 1.49% 10/15/32 (d) | 10,129,186 | 10,162,039 | |
planned amortization class: | |||
Series 2091 Class PP, 6% 2/15/27 | 14,218,785 | 14,503,946 | |
Series 2344 Class QE, 6% 11/15/14 | 3,023,139 | 3,050,895 | |
Series 2353 Class PC, 6.5% 9/15/15 | 6,228,424 | 6,368,729 | |
Series 2360 Class PW, 6% 11/15/14 | 8,992,890 | 9,076,804 | |
Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 1.29% 7/15/31 (d) | 8,805,027 | 8,790,509 | |
Freddie Mac Multi-class participation certificates guaranteed: | |||
floater: | |||
Series 2474 Class FJ, 1.44% 7/15/17 (d) | 8,260,276 | 8,263,196 | |
Series 2526 Class FC, 1.49% 11/15/32 (d) | 9,028,440 | 9,080,044 | |
Series 2538 Class FB, 1.49% 12/15/32 (d) | 12,228,836 | 12,254,203 | |
Series 2551 Class FH, 1.54% 1/15/33 (d) | 7,381,713 | 7,408,513 | |
planned amortization class: | |||
Series 1673 Class G, 6% 2/15/21 | 2,039,083 | 2,046,634 | |
Series 1675 Class H, 6.375% 10/15/22 | 2,267,373 | 2,284,629 | |
Series 2121 Class PG, 6.5% 6/15/27 | 2,205,984 | 2,224,797 | |
Series 2136 Class PE, 6% 1/15/28 | 33,765,391 | 34,536,015 | |
Series 2398 Class DK, 6.5% 1/15/31 | 2,389,402 | 2,437,517 | |
Series 2420 Class BE, 6.5% 12/15/30 | 19,479,299 | 19,902,164 | |
Series 2430 Class OB, 6% 10/15/26 | 6,449,430 | 6,495,841 | |
Series 2435: | |||
Class EL, 6% 9/15/27 | 22,088,096 | 22,241,221 | |
Class GD, 6.5% 2/15/30 | 5,225,000 | 5,329,500 | |
Series 2439: | |||
Class KF, 6.5% 2/15/28 | 3,348,085 | 3,347,697 | |
Class LU, 5.5% 6/15/25 | 1,647,410 | 1,653,424 | |
Series 2443 Class TD, 6.5% 10/15/30 | 16,130,000 | 16,530,127 | |
Series 2461 Class PG, 6.5% 1/15/31 | 14,114,087 | 14,484,696 | |
Series 2466: | |||
Class DE, 6.5% 4/15/30 | 9,819,677 | 9,954,238 | |
Class EC, 6% 10/15/27 | 9,075,000 | 9,205,417 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
U.S. Government Agency - continued | |||
Freddie Mac Multi-class participation certificates guaranteed: - continued | |||
planned amortization class: - continued | |||
Series 2483 Class DC, 5.5% 7/15/14 | $ 18,615,500 | $ 19,066,518 | |
Series 2556 Class PM, 5.5% 2/15/16 | 14,387,910 | 14,601,079 | |
sequential pay: | |||
Series 2303 Class VT, 6% 2/15/12 | 3,071,269 | 3,084,055 | |
Series 2447 Class LG, 5.5% 12/15/13 | 480,078 | 479,831 | |
Series 2454 Class A, 6.5% 4/15/32 | 9,616,968 | 9,693,518 | |
Series 2480 Class QW, 5.75% 2/15/30 | 9,459,669 | 9,633,996 | |
Ginnie Mae guaranteed REMIC pass thru securities: | |||
floater: | |||
Series 2001-46 Class FB, 1.44% 5/16/23 (d) | 4,776,750 | 4,782,938 | |
Series 2001-50 Class FV, 1.29% 9/16/27 (d) | 14,825,523 | 14,772,983 | |
Series 2001-62 Class KF, 1.49% 9/16/29 (d) | 2,800,028 | 2,802,780 | |
Series 2002-24 Class FX, 1.64% 4/16/32 (d) | 5,577,925 | 5,609,374 | |
Series 2002-31 Class FW, 1.49% 6/16/31 (d) | 7,300,877 | 7,323,488 | |
Series 2002-5 Class KF, 1.49% 8/16/26 (d) | 2,378,905 | 2,382,323 | |
planned amortization class: | |||
Series 1999-17 Class PC, 6.5% 10/16/27 | 2,065,716 | 2,079,846 | |
Series 2001-5 Class PT, 6.5% 9/20/27 | 3,426,172 | 3,439,788 | |
Series 2002-49 Class BC, 5.5% 5/20/26 | 696,886 | 696,126 | |
sequential pay Series 2000-37 Class A, 7.15% 6/20/30 | 2,655 | 2,667 | |
TOTAL U.S. GOVERNMENT AGENCY | 565,338,635 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $832,823,659) | 832,963,726 | ||
Commercial Mortgage Securities - 8.6% | |||
Banc of America Large Loan, Inc.: | |||
floater Series 2002-FL2A Class A2, 1.42% 9/8/14 (a)(d) | 20,000,000 | 20,003,126 | |
Series 2003-BBA2 Class A3, 1.41% 11/15/15 (a)(d) | 5,038,226 | 5,041,768 | |
Bayview Commercial Asset Trust floater: | |||
Series 2003-1 Class A, 1.67% 8/25/33 (a)(d) | 9,038,948 | 9,095,441 | |
Series 2004-1: | |||
Class A, 1.45% 4/25/34 (a)(d) | 7,684,122 | 7,684,122 | |
Class B, 2.99% 4/25/34 (a)(d) | 798,350 | 798,350 | |
Class M1, 1.65% 4/25/34 (a)(d) | 698,557 | 698,557 | |
Class M2, 2.29% 4/25/34 (a)(d) | 598,763 | 598,763 | |
Commercial Mortgage Securities - continued | |||
Principal | Value | ||
Bear Stearns Commercial Mortgage Securities, Inc. floater: | |||
Series 2003-BA1A: | |||
Class A1, 1.37% 4/14/15 (a)(d) | $ 14,738,433 | $ 14,733,046 | |
Class JFCM, 2.69% 4/14/15 (a)(d) | 1,344,296 | 1,346,817 | |
Class JMM, 2.59% 4/14/15 (a)(d) | 1,384,053 | 1,370,301 | |
Class JSCM, 2.79% 4/14/15 (a)(d) | 1,123,081 | 1,127,668 | |
Class KFCM, 2.94% 4/14/15 (a)(d) | 1,436,661 | 1,438,008 | |
Class KMM, 2.84% 4/14/15 (a)(d) | 1,253,767 | 1,243,731 | |
Class KSCM, 3.09% 4/14/15 (a)(d) | 1,203,639 | 1,208,928 | |
Class LFCM, 3.34% 4/14/15 (a)(d) | 1,601,905 | 1,603,407 | |
Class LSCM, 3.49% 4/14/15 (a)(d) | 1,803,447 | 1,811,360 | |
Class MFCM, 3.64% 4/14/15 (a)(d) | 2,218,251 | 2,219,637 | |
Class MSCM, 3.79% 4/14/15 (a)(d) | 1,767,389 | 1,774,026 | |
Series 2003-WEST Class A, 1.7% 1/3/15 (a)(d) | 13,760,258 | 13,819,888 | |
Series 2004-HS2A: | |||
Class E, 1.99% 1/14/16 (d) | 1,725,000 | 1,725,000 | |
Class F, 2.14% 1/14/16 (d) | 1,125,000 | 1,125,000 | |
Calwest Industrial Trust floater Series 2002-CALW Class AFL, 1.47% 2/15/12 (a)(d) | 24,300,000 | 24,251,453 | |
Chase Commercial Mortgage Securities Corp. floater | |||
Class B, 1.54% 12/12/13 (a)(d) | 1,774,284 | 1,768,469 | |
Class C, 1.89% 12/12/13 (a)(d) | 3,548,567 | 3,525,991 | |
COMM floater: | |||
Series 2000-FL3A: | |||
Class C, 1.85% 11/15/12 (a)(d) | 8,231,823 | 8,210,752 | |
Class KQA, 2.49% 11/15/12 (a)(d) | 1,557,000 | 1,479,150 | |
Series 2001-FL5A: | |||
Class A2, 1.64% 11/15/13 (a)(d) | 4,142,582 | 4,142,881 | |
Class D, 2.34% 11/15/13 (a)(d) | 8,000,000 | 8,005,715 | |
Class E, 2.59% 11/15/13 (a)(d) | 5,000,000 | 5,002,842 | |
Series 2002-FL6: | |||
Class B, 1.42% 6/14/14 (a)(d) | 5,000,000 | 4,999,434 | |
Class F, 2.54% 6/14/14 (a)(d) | 11,163,000 | 11,184,079 | |
Class G, 2.99% 6/14/14 (a)(d) | 5,000,000 | 4,949,574 | |
Class K4M, 3.09% 6/14/14 (a)(d) | 700,000 | 699,721 | |
Class L4M, 3.39% 6/14/14 (a)(d) | 1,400,000 | 1,401,109 | |
Class M4M, 3.84% 6/14/14 (a)(d) | 2,400,000 | 2,400,480 | |
Series 2002-FL7: | |||
Class A2, 1.44% 11/15/14 (a)(d) | 5,565,000 | 5,564,043 | |
Class KPP, 2.89% 11/15/14 (a)(d) | 3,000,000 | 3,000,000 | |
Class LPP, 3.09% 11/15/14 (a)(d) | 3,500,000 | 3,500,000 | |
Class MPP, 3.49% 11/15/14 (a)(d) | 2,696,000 | 2,696,000 | |
Commercial Mortgage Securities - continued | |||
Principal | Value | ||
COMM floater: - continued | |||
Series 2003-FL9 Class B, 1.59% 11/15/15 (a)(d) | $ 17,550,000 | $ 17,604,405 | |
CS First Boston Mortgage Securities Corp.: | |||
floater Series 2001-TFLA: | |||
Class A2, 1.69% 12/15/11 (a)(d) | 18,866,746 | 18,863,003 | |
Class B, 1.99% 12/15/11 (a)(d) | 10,380,000 | 10,370,845 | |
Class G, 2.84% 12/15/11 (a)(d) | 3,720,000 | 3,686,197 | |
Class J230, 3.29% 9/15/11 (a)(d) | 5,900,000 | 5,895,945 | |
Class JPAL, 3.69% 12/15/11 (a)(d) | 6,200,000 | 6,199,985 | |
Series 2002-TFLA Class C, 1.65% 11/18/12 (a)(d) | 3,675,000 | 3,671,435 | |
Series 2003-TF2A Class A2, 1.41% 11/15/14 (a)(d) | 9,500,000 | 9,495,097 | |
Series 2003-TFLA: | |||
Class A2, 1.46% 4/15/13 (a)(d) | 7,205,000 | 7,204,998 | |
Class G, 1.9433% 4/15/13 (a)(d) | 2,095,000 | 2,045,769 | |
Series 2004-TFL1: | |||
Class A2, 1.28% 2/15/14 (a)(d) | 7,005,000 | 7,005,000 | |
Class E, 1.64% 2/15/14 (a)(d) | 2,800,000 | 2,800,000 | |
Class F, 1.69% 2/15/14 (a)(d) | 2,325,000 | 2,325,000 | |
Class G, 1.94% 2/15/14 (a)(d) | 1,875,000 | 1,875,000 | |
Class H, 2.19% 2/15/14 (a)(d) | 1,400,000 | 1,400,000 | |
Class J, 2.49% 2/15/14 (a)(d) | 750,000 | 750,000 | |
GGP Mall Properties Trust floater Series 2001-C1A Class A1, 1.69% 11/15/11 (a)(d) | 317,706 | 318,227 | |
GMAC Commercial Mortgage Securities, Inc. floater | 500,000 | 499,931 | |
Greenwich Capital Commercial Funding Corp. Series 2003-FL1 Class MCH, 4.35% 7/5/18 (a)(d) | 2,832,036 | 2,832,036 | |
GS Mortgage Securities Corp. II Series 2000-GSFL Class A, 1.37% 8/15/12 (a)(d) | 6,980,038 | 6,980,170 | |
GS Mortgage Trust II floater Series 2001-FL4A: | |||
Class A, 1.35% 12/15/10 (a)(d) | 913,665 | 913,500 | |
Class B, 1.45% 12/15/10 (a)(d) | 2,530,568 | 2,530,172 | |
Class D, 2% 12/15/10 (a)(d) | 378,981 | 378,486 | |
ISTAR Asset Receivables Trust floater Series 2002-1A | 10,000,000 | 10,012,948 | |
John Hancock Tower Mortgage Trust Series 2003-C5A | 8,245,000 | 8,150,339 | |
KSL Resorts Series 2003-1A: | |||
Class A, 1.64% 5/15/13 (a)(d) | 3,500,000 | 3,499,999 | |
Class B, 1.79% 5/15/13 (a)(d) | 4,000,000 | 3,999,998 | |
Class K, 3.74% 5/15/13 (a)(d) | 3,500,000 | 3,507,795 | |
Class L, 3.94% 5/15/13 (a)(d) | 3,500,000 | 3,507,785 | |
Commercial Mortgage Securities - continued | |||
Principal | Value | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust: | |||
floater: | |||
Series 2001-LLFA: | |||
Class A, 1.33% 8/16/13 (a)(d) | $ 7,705,846 | $ 7,705,545 | |
Class B, 1.39% 8/16/13 (a)(d) | 11,563,000 | 11,562,818 | |
Class E, 1.72% 8/16/13 (a)(d) | 2,000,000 | 1,999,906 | |
Series 2002-LLFA Class A, 1.38% 6/14/17 (a)(d) | 1,393,022 | 1,393,003 | |
Series 2003-LLFA: | |||
Class B, 1.69% 12/16/14 (a)(d) | 4,615,000 | 4,614,997 | |
Class C, 1.79% 12/16/14 (a)(d) | 4,982,000 | 4,981,997 | |
Series 2003-C4A: | |||
Class F, 3.34% 7/11/15 (a)(d) | 1,866,216 | 1,867,967 | |
Class H, 4.09% 7/11/15 (a)(d) | 18,968,221 | 18,968,221 | |
Series 2003-LLFA Class A2, 1.48% 12/16/14 (a)(d) | 11,700,000 | 11,699,994 | |
Morgan Stanley Dean Witter Capital I Trust floater: | |||
Series 2001-XLF: | |||
Class A2, 1.65% 10/7/13 (a)(d) | 9,843,473 | 9,838,445 | |
Class D, 2.62% 10/7/13 (a)(d) | 1,677,934 | 1,680,711 | |
Class G1, 3.85% 10/7/13 (a)(d) | 6,000,000 | 5,999,993 | |
Series 2002-XLF Class F, 3.25% 8/5/14 (a)(d) | 9,267,024 | 9,471,473 | |
Salomon Brothers Mortgage Securities VII, Inc. floater: | |||
Series 2001-CDCA: | |||
Class C, 1.89% 2/15/13 (a)(d) | 7,000,000 | 6,998,249 | |
Class D, 1.89% 2/15/13 (a)(d) | 4,000,000 | 3,905,103 | |
Series 2002-CDCA Class B, 1.62% 11/15/13 (a)(d) | 6,000,000 | 6,054,225 | |
Series 2003-CDCA: | |||
Class HBST, 2.69% 2/15/15 (a)(d) | 1,920,000 | 1,920,000 | |
Class HEXB, 2.99% 2/15/15 (a)(d) | 770,000 | 770,000 | |
Class JBST, 2.89% 2/15/15 (a)(d) | 1,440,000 | 1,440,000 | |
Class JEXB, 3.19% 2/15/15 (a)(d) | 1,300,000 | 1,300,000 | |
Class KBST, 3.24% 2/15/15 (a)(d) | 815,000 | 815,000 | |
Class KEXB, 3.59% 2/15/15 (a)(d) | 960,000 | 960,000 | |
SDG Macerich Properties LP floater Series 2000-1 Class A3, 1.43% 5/15/09 (a)(d) | 18,000,000 | 18,034,128 | |
STRIPs III Ltd./STRIPs III Corp. Series 2004-1A Class A, 1.59% 3/24/18 (a)(d) | 9,495,000 | 9,495,000 | |
Wachovia Bank Commercial Mortgage Trust: | |||
floater Series 2004-WHL3: | |||
Class E, 1.60% 3/15/14 (d) | 2,190,000 | 2,190,000 | |
Class F, 1.65% 3/15/14 (d) | 1,755,000 | 1,755,000 | |
Commercial Mortgage Securities - continued | |||
Principal | Value | ||
Wachovia Bank Commercial Mortgage Trust: - continued | |||
floater Series 2004-WHL3: - continued | |||
Class G, 0% 3/15/14 (d) | $ 875,000 | $ 875,000 | |
Series 2004-WHL3 Class A2, 0% 3/15/14 (d) | 3,510,000 | 3,510,000 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $486,292,582) | 487,379,477 | ||
Municipal Securities - 0.3% | |||
Lowndes County Solid Waste Disp. Rev. (Weyerhaeuser Co. Proj.) Series 1999, 1.95%, VRDN (d)(e) | 14,500,000 | 14,500,000 | |
Oregon Econ. Dev. Dept. Solid Waste Disp. Rev. (Weyerhaeuser Co. Proj.) Series CL, 2.02%, VRDN (d)(e) | 2,000,000 | 2,000,000 | |
TOTAL MUNICIPAL SECURITIES (Cost $16,500,000) | 16,500,000 | ||
Cash Equivalents - 26.8% | |||
Maturity | |||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.08%, dated 3/31/04 due 4/1/04) | $ 1,468,591,056 | 1,468,547,000 | |
With Goldman Sachs & Co. at 1.13%, dated 3/31/04 due 4/1/04 (Collateralized by Commerical Paper Obligations with principal amounts of $43,969,306, 1.035%, 6/25/04) | 43,001,353 | 43,000,000 | |
TOTAL CASH EQUIVALENTS (Cost $1,511,547,000) | 1,511,547,000 | ||
TOTAL INVESTMENT PORTFOLIO - 97.8% (Cost $5,493,171,757) | 5,512,266,914 | ||
NET OTHER ASSETS - 2.2% | 126,789,509 | ||
NET ASSETS - 100% | $ 5,639,056,423 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized | |||
Purchased | |||||
Eurodollar Contracts | |||||
47 Eurodollar 90 Day Index Contracts | June 2004 | $ 46,862,525 | $ 36,237 | ||
Sold | |||||
Eurodollar Contracts | |||||
145 Eurodollar 90 Day Index Contracts | Sept. 2004 | 142,979,034 | (770,327) | ||
131 Eurodollar 90 Day Index Contracts | Dec. 2004 | 129,105,864 | (689,981) | ||
116 Eurodollar 90 Day Index Contracts | March 2005 | 114,444,034 | (507,558) | ||
81 Eurodollar 90 Day Index Contracts | June 2005 | 79,934,550 | (309,469) | ||
60 Eurodollar 90 Day Index Contracts | Sept. 2005 | 59,192,331 | (213,710) | ||
36 Eurodollar 90 Day Index Contracts | Dec. 2005 | 35,540,232 | (102,984) | ||
12 Eurodollar 90 Day Index Contracts | March 2006 | 11,845,268 | (31,166) | ||
TOTAL EURODOLLAR CONTRACTS | 573,041,313 | (2,625,195) | |||
$ (2,588,958) | |||||
Swap Agreements | |||||
Notional | |||||
Credit Default Swap | |||||
Receive quarterly notional amount multilpied by .23% and pay Goldman Sachs upon default event of Consolidated Natural Gas Co., par value of the notional amount of Consolidated Natural Gas Co. 7.25% 10/1/04 | May 2004 | $ 23,500,000 | 405 | ||
Receive quarterly notional amount multiplied by 1.12% and pay Morgan Stanley, Inc. upon default of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11 | June 2006 | 10,000,000 | 132,348 | ||
TOTAL CREDIT DEFAULT SWAP | 33,500,000 | 132,753 | |||
Swap Agreements - continued | |||||
Expiration | Notional | Unrealized | |||
Interest Rate Swap | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay quarterly a fixed rate equal to 1.967% with Lehman Brothers, Inc. | Jan. 2005 | $ 10,000,000 | $ (71,549) | ||
Receive quarterly a floating rate based on 3-month LIBOR and pay quarterly a fixed rate equal to 2.3209% with JPMorgan Chase, Inc. | April 2004 | 7,000,000 | (20,408) | ||
TOTAL INTEREST RATE SWAP | 17,000,000 | (91,957) | |||
$ 50,500,000 | $ 40,796 |
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 $652,005,191 or 11.6% 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 was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $2,998,368. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. |
(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited): |
U.S. Government and | 15.2% |
AAA,AA,A | 46.4 |
BBB | 6.4 |
BB | 0.2 |
B | 0.0 |
CCC,CC,C | 0.0 |
Not Rated | 2.5 |
Short-Term Investments and Net Other Assets | 29.3 |
100.0% |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable. |
Purchases and sales of securities, other than short-term securities, aggregated $1,153,637,003 and $848,840,197, respectively, of which long-term U.S. government and government agency obligations aggregated $512,936,241 and $305,823,429, respectively. |
The fund participated in the interfund lending program as a lender. The average daily loan balance during the period for which loans were outstanding amounted to $13,334,469. The weighted average interest rate was 1.13%. Interest earned from the interfund lending program amounted to $26,858 and is included in interest income on the Statement of Operations. At period end, there were no interfund loans outstanding. |
Income Tax Information |
At September 30, 2003, the fund had a capital loss carryforward of approximately $9,072,000 of which $362,000 and $8,710,000 will expire on September 30, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
March 31, 2004 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $1,511,547,000) (cost $5,493,171,757) - See accompanying schedule | $ 5,512,266,914 | |
Cash | 641 | |
Receivable for investments sold | 372,298,934 | |
Interest receivable | 9,339,609 | |
Unrealized gain on swap agreements | 40,796 | |
Prepaid expenses | 20,282 | |
Total assets | 5,893,967,176 | |
Liabilities | ||
Payable for investments purchased | $ 216,846,420 | |
Delayed delivery | 29,396,136 | |
Distributions payable | 8,553,948 | |
Payable for daily variation on futures contracts | 81,704 | |
Other payables and accrued expenses | 32,545 | |
Total liabilities | 254,910,753 | |
Net Assets | $ 5,639,056,423 | |
Net Assets consist of: | ||
Paid in capital | $ 5,627,640,633 | |
Undistributed net investment income | 83,880 | |
Accumulated undistributed net realized gain (loss) on investments | (5,215,085) | |
Net unrealized appreciation (depreciation) on investments | 16,546,995 | |
Net Assets, for 56,580,359 shares outstanding | $ 5,639,056,423 | |
Net Asset Value, offering price and redemption price per share ($5,639,056,423 ÷ 56,580,359 shares) | $ 99.66 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended March 31, 2004 (Unaudited) | ||
Investment Income | ||
Interest | $ 44,856,595 | |
Expenses | ||
Non-interested trustees' compensation | $ 11,961 | |
Custodian fees and expenses | 59,988 | |
Audit | 14,232 | |
Legal | 1,553 | |
Insurance | 12,563 | |
Total expenses before reductions | 100,297 | |
Expense reductions | (7,177) | 93,120 |
Net investment income (loss) | 44,763,475 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 1,818,782 | |
Futures contracts | (1,078,320) | |
Swap agreements | 5,735 | |
Total net realized gain (loss) | 746,197 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 7,144,040 | |
Futures contracts | 521,910 | |
Swap agreements | 7,136 | |
Total change in net unrealized appreciation (depreciation) | 7,673,086 | |
Net gain (loss) | 8,419,283 | |
Net increase (decrease) in net assets resulting from operations | $ 53,182,758 |
Semiannual Report
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Six months ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ 44,763,475 | $ 76,105,588 |
Net realized gain (loss) | 746,197 | (1,239,538) |
Change in net unrealized appreciation (depreciation) | 7,673,086 | 14,863,838 |
Net increase (decrease) in net assets resulting | 53,182,758 | 89,729,888 |
Distributions to shareholders from net investment income | (44,039,585) | (75,320,664) |
Share transactions | 864,968,202 | 2,975,449,870 |
Cost of shares redeemed | (222,500,009) | (234,732,988) |
Net increase (decrease) in net assets resulting from share transactions | 642,468,193 | 2,740,716,882 |
Total increase (decrease) in net assets | 651,611,366 | 2,755,126,106 |
Net Assets | ||
Beginning of period | 4,987,445,057 | 2,232,318,951 |
End of period (including undistributed net investment income of $83,880 and distributions in excess of net investment income of $640,010, respectively) | $ 5,639,056,423 | $ 4,987,445,057 |
Other Information Shares | ||
Sold | 8,686,077 | 29,976,548 |
Redeemed | (2,234,985) | (2,361,410) |
Net increase (decrease) | 6,451,092 | 27,615,138 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended September 30, | |||
(Unaudited) | 2003 | 2002 G | 2001 E, G | |
Selected Per-Share Data | ||||
Net asset value, | $ 99.49 | $ 99.15 | $ 100.00 | $ 100.00 |
Income from Investment Operations | ||||
Net investment income (loss) D | .842 | 1.917 | 3.022 | .900 |
Net realized and unrealized | .156 | .450 | (.743) | .000 |
Total from investment operations | .998 | 2.367 | 2.279 | .900 |
Distributions from net investment income | (.828) | (2.027) | (3.129) | (.900) |
Net asset value, end of period | $ 99.66 | $ 99.49 | $ 99.15 | $ 100.00 |
Total Return B, C | 1.01% | 2.36% | 2.39% | .90% |
Ratios to Average Net Assets F | ||||
Expenses before expense | .0038% A | .0030% | .0033% | .0189% A |
Expenses net of voluntary waivers, | .0038% A | .0030% | .0033% | .0189% A |
Expenses net of all reductions | .0035% A | .0026% | .0021% | .0189% A |
Net investment income (loss) | 1.69% A | 1.94% | 3.05% | 4.73% A |
Supplemental Data | ||||
Net assets, end of period | $ 5,639,056 | $ 4,987,445 | $ 2,232,319 | $ 799,132 |
Portfolio turnover rate | 48%A | 58% | 167% | 282% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period July 16, 2001 (commencement of operations) to September 30, 2001.
F Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other 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 any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.
G Per-share data has been adjusted for a 1-for-10 reverse stock split effective October 1, 2002.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended March 31, 2004 (Unaudited)
1. Significant Accounting Policies.
Fidelity Ultra-Short Central Fund (the fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. 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. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Debt securities for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities, which is accrued using the interest method.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
1. Significant Accounting Policies - continued
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 and temporary book and tax differences. These adjustments have no impact on net assets or the results of operations. Temporary differences will reverse in a subsequent period. These differences are primarily due to futures transactions, market discount, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments including unrealized appreciation (depreciation) as of period end was as follows:
Unrealized appreciation | $ 22,226,218 |
Unrealized depreciation | (2,568,380) |
Net unrealized appreciation (depreciation) | $ 19,657,838 |
Cost for federal income tax purposes | $ 5,492,609,076 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).
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
Semiannual Report
2. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities continued
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.
Futures Contracts. The fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
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 the fund.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Operating Policies - continued
Swap Agreements - continued
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 the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. 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 the 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."
Financing Transactions. 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 will 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
Semiannual Report
2. Operating Policies - continued
Financing Transactions - continued
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, the fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Information regarding purchases and sales of securities is included under the caption "Other Information" at the end of the fund's Schedule of Investments.
4. Fees and Other Transactions with Affiliates.
Management Fee. 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.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating funds. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments.
5. Expense Reductions.
Through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody expenses by $7,177.
6. Other Information.
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.
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. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 9. 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 10. 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 Trust's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 11. 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: | June 2, 2004 |
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: | June 2, 2004 |
By: | /s/Timothy F. Hayes |
Timothy F. Hayes | |
Chief Financial Officer | |
Date: | June 2, 2004 |