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, 2005 |
Item 1. Reports to Stockholders
Fidelity® Money Market
Central Fund
Semiannual Report
March 31, 2005
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) website at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's website at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
CFM-SANN-0505 402143
1.756671.104
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2004 to March 31, 2005).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,011.30 | $ .04 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.90 | $ .04 |
* Expenses are equal to the Fund's annualized expense ratio of .0071%; multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes
Maturity Diversification | |||
Days | % of fund's | % of fund's | % of fund's |
0 - 30 | 49.0 | 45.5 | 47.6 |
31 - 90 | 30.4 | 27.1 | 29.8 |
91 - 180 | 17.1 | 22.6 | 6.9 |
181 - 397 | 3.5 | 4.8 | 15.7 |
Weighted Average Maturity | |||
3/31/05 | 9/30/04 | 3/31/04 | |
Fidelity Money Market Central Fund | 52 Days | 63 Days | 77 Days |
All Taxable Money Market | 38 Days | 43 Days | 55 Days |
Asset Allocation (% of fund's net assets) | |||||||
As of March 31, 2005 | As of September 30, 2004 | ||||||
![]() | Corporate Bonds 3.7% | ![]() | Corporate Bonds 0.6% | ||||
![]() | Commercial Paper 18.2% | ![]() | Commercial Paper 12.7% | ||||
![]() | Bank CDs, BAs, | ![]() | Bank CDs, BAs, | ||||
![]() | Government | ![]() | Government | ||||
![]() | Repurchase | ![]() | Repurchase | ||||
![]() | Net Other Assets(dagger) (1.4)% | ![]() | Net Other Assets(dagger) (1.8)% |
(dagger) Net Other Assets are not included in the pie chart.
*Source: iMoneyNet, Inc.
Semiannual Report
Investments March 31, 2005 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 3.7% | ||||
Due | Annualized Yield at | Principal | Value | |
BankAmerica Corp. | ||||
9/15/05 | 2.99% | $ 2,400,000 | $ 2,440,569 | |
British Telecommunications PLC | ||||
12/15/05 | 3.51 | 390,000 | 401,683 | |
12/15/05 | 3.52 | 580,000 | 597,340 | |
12/15/05 | 3.54 | 100,000 | 102,979 | |
12/15/05 | 3.56 | 405,000 | 416,988 | |
Citigroup, Inc. | ||||
6/30/05 | 2.82 | 1,500,000 | 1,504,800 | |
12/1/05 | 3.02 | 5,000,000 | 5,122,185 | |
12/1/05 | 3.04 | 5,000,000 | 5,121,516 | |
Deutsche Telekom International Finance BV | ||||
6/15/05 | 2.81 | 275,000 | 278,038 | |
6/15/05 | 2.82 | 320,000 | 323,530 | |
6/15/05 | 2.84 | 130,000 | 131,428 | |
6/15/05 | 2.85 | 65,000 | 65,713 | |
6/15/05 | 2.86 | 20,000 | 20,219 | |
6/15/05 | 2.87 | 60,000 | 60,656 | |
6/15/05 | 2.88 | 55,000 | 55,599 | |
6/15/05 | 2.89 | 105,000 | 106,146 | |
6/15/05 | 2.91 | 30,000 | 30,325 | |
6/15/05 | 2.94 | 115,000 | 116,250 | |
6/15/05 | 3.22 | 405,000 | 409,061 | |
FleetBoston Financial Corp. | ||||
9/15/05 | 2.88 | 4,250,000 | 4,333,284 | |
France Telecom SA | ||||
3/1/06 | 3.74 (a) | 155,000 | 160,122 | |
3/1/06 | 3.92 (a) | 660,000 | 680,613 | |
3/1/06 | 3.94 (a) | 75,000 | 77,346 | |
Household Finance Corp. | ||||
1/24/06 | 3.13 | 5,000,000 | 5,134,100 | |
Morgan Stanley | ||||
6/27/05 | 3.37 (c) | 2,000,000 | 2,006,090 | |
Wells Fargo & Co. | ||||
8/24/05 | 2.86 | 940,000 | 956,103 | |
TOTAL CORPORATE BONDS | 30,652,683 | |||
Certificates of Deposit - 30.5% | ||||
Due | Annualized Yield at | Principal | Value | |
Domestic Certificates Of Deposit - 2.4% | ||||
Washington Mutual Bank, California | ||||
5/5/05 | 2.46% | $ 10,000,000 | $ 10,000,000 | |
7/22/05 | 2.89 | 10,000,000 | 10,000,000 | |
20,000,000 | ||||
London Branch, Eurodollar, Foreign Banks - 6.1% | ||||
Calyon | ||||
9/12/05 | 3.01 | 10,000,000 | 10,000,000 | |
Credit Industriel et Commercial | ||||
6/14/05 | 2.83 | 5,000,000 | 5,000,000 | |
7/7/05 | 2.89 | 5,000,000 | 5,000,000 | |
8/11/05 | 3.09 | 15,000,000 | 15,000,000 | |
HBOS Treasury Services PLC | ||||
7/14/05 | 2.87 | 10,000,000 | 9,998,032 | |
Societe Generale | ||||
4/21/05 | 2.55 | 5,000,000 | 5,000,000 | |
49,998,032 | ||||
New York Branch, Yankee Dollar, Foreign Banks - 22.0% | ||||
Bank of Tokyo-Mitsubishi Ltd. | ||||
5/3/05 | 2.70 | 10,000,000 | 10,000,000 | |
BNP Paribas SA | ||||
4/22/05 | 2.77 (c) | 5,000,000 | 4,999,435 | |
7/1/05 | 2.80 | 10,000,000 | 10,000,000 | |
Calyon | ||||
6/30/05 | 3.04 | 5,000,000 | 5,000,000 | |
Canadian Imperial Bank of Commerce | ||||
4/15/05 | 2.86 (c) | 9,000,000 | 9,000,000 | |
4/28/05 | 2.80 (c) | 10,000,000 | 9,999,751 | |
Credit Agricole Indosuez | ||||
4/25/05 | 2.78 (c) | 10,000,000 | 9,998,151 | |
Credit Industriel et Commercial | ||||
9/14/05 | 3.02 | 5,000,000 | 5,000,000 | |
9/28/05 | 3.16 | 10,000,000 | 10,000,000 | |
Deutsche Bank AG | ||||
6/3/05 | 2.89 (c) | 5,000,000 | 5,000,000 | |
Dexia Credit Local de France | ||||
5/18/05 | 2.81 | 5,000,000 | 5,000,000 | |
Dresdner Bank AG | ||||
7/8/05 | 2.90 | 10,000,000 | 10,000,000 | |
Certificates of Deposit - continued | ||||
Due | Annualized Yield at | Principal | Value | |
New York Branch, Yankee Dollar, Foreign Banks - continued | ||||
HBOS Treasury Services PLC | ||||
6/6/05 | 2.89% (c) | $ 10,000,000 | $ 10,000,000 | |
Landesbank Baden-Wuerttemberg | ||||
5/17/05 | 2.60 | 2,850,000 | 2,847,662 | |
5/25/05 | 2.80 (c) | 5,000,000 | 4,999,778 | |
Landesbank Hessen-Thuringen | ||||
4/5/05 | 2.48 (c) | 10,000,000 | 9,998,804 | |
Mizuho Corporate Bank Ltd. | ||||
5/6/05 | 2.75 | 5,000,000 | 5,000,000 | |
Royal Bank of Canada | ||||
6/15/05 | 2.93 (c) | 10,000,000 | 9,998,166 | |
Societe Generale | ||||
4/18/05 | 2.76 (c) | 5,000,000 | 4,999,610 | |
Societe Generale NA | ||||
5/9/05 | 2.53 | 10,000,000 | 9,988,375 | |
UBS AG | ||||
4/4/05 | 2.47 (c) | 13,000,000 | 12,998,298 | |
Unicredito Italiano Spa | ||||
4/27/05 | 2.63 (c) | 10,000,000 | 9,999,032 | |
5/12/05 | 2.72 (c) | 5,000,000 | 4,999,394 | |
179,826,456 | ||||
TOTAL CERTIFICATES OF DEPOSIT | 249,824,488 | |||
Commercial Paper - 17.5% | ||||
Bank of America Corp. | ||||
4/5/05 | 2.16 | 10,000,000 | 9,997,622 | |
8/5/05 | 3.13 | 5,000,000 | 4,945,925 | |
DaimlerChrysler NA Holding Corp. | ||||
4/20/05 | 2.97 | 2,000,000 | 1,996,876 | |
4/26/05 | 2.97 | 1,000,000 | 997,944 | |
4/27/05 | 2.97 | 3,000,000 | 2,993,587 | |
Emerald (MBNA Credit Card Master Note Trust) | ||||
4/19/05 | 2.71 | 10,000,000 | 9,986,500 | |
6/7/05 | 2.98 | 9,000,000 | 8,950,420 | |
Eurohypo AG | ||||
6/30/05 | 3.05 | 5,000,000 | 4,962,125 | |
Fairway Finance Corp. | ||||
8/8/05 | 2.96 | 6,089,000 | 6,025,289 | |
Commercial Paper - continued | ||||
Due | Annualized Yield at | Principal | Value | |
FCAR Owner Trust | ||||
7/18/05 | 2.88% | $ 15,000,000 | $ 14,872,200 | |
9/15/05 | 3.29 | 4,000,000 | 3,939,880 | |
Ford Motor Credit Co. | ||||
4/15/05 | 2.97 | 5,000,000 | 4,994,244 | |
4/27/05 | 2.97 | 3,000,000 | 2,993,587 | |
Grampian Funding Ltd. | ||||
4/8/05 | 2.45 | 5,000,000 | 4,997,638 | |
4/19/05 | 2.20 | 5,000,000 | 4,994,550 | |
6/13/05 | 2.74 | 10,000,000 | 9,945,047 | |
6/20/05 | 2.72 | 5,000,000 | 4,970,222 | |
6/24/05 | 2.80 | 6,000,000 | 5,961,290 | |
Jupiter Securitization Corp. | ||||
6/20/05 | 2.70 | 6,000,000 | 5,964,533 | |
K2 (USA) LLC | ||||
6/24/05 | 2.90 (b) | 5,000,000 | 4,966,517 | |
Kellogg Co. | ||||
5/2/05 | 2.89 | 1,000,000 | 997,520 | |
Motown Notes Program | ||||
5/18/05 | 2.82 | 2,000,000 | 1,992,689 | |
Nordea North America, Inc. | ||||
5/23/05 | 2.53 | 10,000,000 | 9,963,889 | |
SBC Communications, Inc. | ||||
6/2/05 | 2.96 | 2,000,000 | 1,989,873 | |
6/6/05 | 2.98 | 1,000,000 | 994,573 | |
6/8/05 | 3.01 | 1,000,000 | 994,352 | |
Scaldis Capital LLC | ||||
6/8/05 | 2.81 | 6,059,000 | 6,027,184 | |
Toyota Motor Credit Corp. | ||||
9/7/05 | 3.18 | 1,000,000 | 986,176 | |
TOTAL COMMERCIAL PAPER | 143,402,252 | |||
Federal Agencies - 3.7% | ||||
Fannie Mae - 2.5% | ||||
Agency Coupons - 2.5% | ||||
5/4/05 | 1.54 | 5,000,000 | 5,000,000 | |
5/13/05 | 1.59 | 10,000,000 | 10,000,000 | |
6/3/05 | 1.84 | 5,000,000 | 5,000,000 | |
20,000,000 | ||||
Federal Agencies - continued | ||||
Due | Annualized Yield at | Principal | Value | |
Federal Home Loan Bank - 1.2% | ||||
Agency Coupons - 1.2% | ||||
4/27/05 | 1.74% | $ 5,000,000 | $ 4,998,461 | |
5/16/05 | 1.65 | 5,000,000 | 5,000,000 | |
9,998,461 | ||||
TOTAL FEDERAL AGENCIES | 29,998,461 | |||
Master Notes - 4.1% | ||||
Bear Stearns Companies, Inc. | ||||
9/12/05 | 3.34 (e) | 3,000,000 | 3,000,000 | |
General Motors Acceptance Corp. Mortgage Credit | ||||
4/1/05 | 3.29 (c)(e) | 5,000,000 | 5,000,000 | |
4/11/05 | 3.37 (c)(e) | 3,000,000 | 2,997,200 | |
Goldman Sachs Group, Inc. | ||||
4/11/05 | 2.82 (c)(e) | 6,000,000 | 6,000,000 | |
4/12/05 | 2.12 (e) | 5,000,000 | 5,000,000 | |
4/14/05 | 2.85 (c)(e) | 5,000,000 | 5,000,000 | |
5/26/05 | 2.94 (c)(e) | 7,000,000 | 7,000,000 | |
TOTAL MASTER NOTES | 33,997,200 | |||
Medium-Term Notes - 19.8% | ||||
American International Group, Inc. | ||||
12/1/05 | 3.05 | 1,000,000 | 998,696 | |
ASIF Global Financing XXX | ||||
4/25/05 | 2.84 (b)(c) | 5,000,000 | 5,000,000 | |
ASIF II | ||||
8/16/05 | 3.36 | 10,000,000 | 10,058,200 | |
Bank of New York Co., Inc. | ||||
4/27/05 | 2.87 (b)(c) | 5,000,000 | 5,000,000 | |
Bayerische Landesbank Girozentrale | ||||
5/19/05 | 2.82 (c) | 5,000,000 | 5,000,000 | |
BMW U.S. Capital LLC | ||||
4/15/05 | 2.82 (c)(e) | 1,000,000 | 1,000,000 | |
GE Capital Assurance Co. | ||||
4/1/05 | 2.81 (c)(e) | 5,000,000 | 5,000,000 | |
General Electric Capital Corp. | ||||
4/7/05 | 2.74 (c) | 13,000,000 | 13,000,000 | |
Medium-Term Notes - continued | ||||
Due | Annualized Yield at | Principal | Value | |
General Electric Capital Corp. - continued | ||||
4/11/05 | 2.86% (c) | $ 6,500,000 | $ 6,501,886 | |
4/18/05 | 2.93 (c) | 9,000,000 | 9,003,187 | |
HBOS Treasury Services PLC | ||||
6/24/05 | 3.08 (c) | 5,000,000 | 5,000,000 | |
Household Finance Corp. | ||||
6/17/05 | 3.33 (c) | 2,500,000 | 2,501,618 | |
HSBC Finance Corp. | ||||
4/25/05 | 2.84 (c) | 3,000,000 | 3,000,000 | |
KeyCorp. | ||||
5/16/05 | 2.76 | 11,000,000 | 11,025,128 | |
Metropolitan Life Insurance Co. | ||||
4/6/05 | 2.74 (b)(c) | 1,626,000 | 1,626,000 | |
Morgan Stanley | ||||
4/1/05 | 2.87 (c) | 1,000,000 | 1,000,000 | |
4/4/05 | 2.71 (c) | 15,000,000 | 15,000,000 | |
4/15/05 | 2.81 (c) | 3,000,000 | 3,000,000 | |
4/28/05 | 2.89 (c) | 5,000,000 | 5,000,000 | |
National City Bank | ||||
6/1/05 | 2.83 (c) | 5,000,000 | 4,999,749 | |
RACERS | ||||
4/22/05 | 2.85 (b)(c) | 10,000,000 | 10,000,000 | |
SBC Communications, Inc. | ||||
6/5/05 | 2.39 (b) | 5,000,000 | 5,014,886 | |
SLM Corp. | ||||
6/15/05 | 3.19 (c) | 2,400,000 | 2,401,372 | |
Verizon Global Funding Corp. | ||||
6/15/05 | 3.12 (c) | 15,000,000 | 15,000,043 | |
Wells Fargo & Co. | ||||
4/15/05 | 2.78 (c) | 10,000,000 | 10,000,000 | |
WestLB AG | ||||
4/11/05 | 2.78 (b)(c) | 3,000,000 | 3,000,000 | |
6/30/05 | 0.00 (b)(c) | 4,000,000 | 4,000,000 | |
TOTAL MEDIUM-TERM NOTES | 162,130,765 | |||
Short-Term Notes - 0.6% | ||||
New York Life Insurance Co. | ||||
4/1/05 | 2.69 (c)(e) | 5,000,000 | 5,000,000 | |
Municipal Securities - 4.4% | ||||
Principal | Value | |||
Athens-Clarke County Unified Govt. Dev. Auth. Rev. (Univ. of Georgia Athletic Assoc. Proj.) 2.87%, LOC Bank of America NA, VRDN | $ 5,000,000 | $ 5,000,000 | ||
Catholic Univ. of America 2.99% (Liquidity Facility Wachovia Bank NA), VRDN | 10,000,000 | 10,000,000 | ||
Chicago O'Hare Int'l. Arpt. Rev. Series 2001 C, 2.73% 4/4/05, LOC Commerzbank AG, CP | 5,400,000 | 5,400,000 | ||
Hayes Green Beach Memorial Hosp. Corp. 2.96%, LOC Fifth Third Bank, Cincinnati, VRDN | 3,950,000 | 3,950,000 | ||
Savannah College Art & Design, Inc. Series 2004 BD, 2.86%, LOC Bank of America NA, VRDN | 11,760,000 | 11,760,000 | ||
TOTAL MUNICIPAL SECURITIES | 36,110,000 | |||
Repurchase Agreements - 17.1% | ||||
Maturity | ||||
In a joint trading account (Collateralized by U.S. Government Obligations) dated 3/31/05 due 4/1/05 At: | ||||
2.89% | $ 1,000,080 | 1,000,000 | ||
2.91% | 770,062 | 770,000 | ||
With: | ||||
Banc of America Securities LLC At 2.92%, dated 3/31/05 due 4/1/05 (Collateralized by Mortgage Loan Obligations with principal amounts of $19,261,425, 2.31% - 3.82%, 7/25/34 - 7/5/35) | 15,001,217 | 15,000,000 | ||
Deutsche Bank Securities, Inc. At 3.01%, dated 3/31/05 due 4/1/05 (Collateralized by Mortgage Loan Obligations with principal amounts of $31,325,227, 3.15% - 3.71%, 4/15/08 - 7/25/34) | 30,002,508 | 30,000,000 | ||
Goldman Sachs & Co. At: | ||||
2.99%, dated 3/22/05 due 5/24/05 (Collateralized | 12,062,790 | 12,000,000 | ||
3%, dated 3/22/05 due 5/24/05 (Collateralized by Equity Securities valued at $5,250,009) (c)(d) | 5,026,250 | 5,000,000 | ||
J.P. Morgan Securities, Inc. At 2.88%, dated 3/23/05 due 5/4/05 (Collateralized by Corporate Obligations with principal amounts of $10,275,000, 7.75% - 9%, 8/1/05 - 8/1/12) | 10,033,600 | 10,000,000 | ||
Repurchase Agreements - continued | ||||
Maturity | Value | |||
With: - continued | ||||
Lehman Brothers, Inc. At 2.96%, dated 3/31/05 due 4/1/05 (Collateralized by Corporate Obligations with principal amounts of $45,045,000, 8.33% - 10.98%, 6/18/12 - 7/25/34) | $ 25,002,056 | $ 25,000,000 | ||
Merrill Lynch, Pierce, Fenner & Smith At 3.03%, dated 2/1/05 due 4/29/05 (Collateralized by Corporate Obligations with principal amounts of $9,538,000, 6% - - 9.75%, 12/15/05 - 6/1/16) (c)(d) | 10,073,225 | 10,000,000 | ||
Morgan Stanley & Co. At: | ||||
2.88%, dated 3/23/05 due 5/4/05 (Collateralized by Mortgage Loan Obligations with principal amounts of $20,097,198, 0% - 5%, 8/25/11 - 11/25/34) | 10,033,600 | 10,000,000 | ||
2.96%, dated 3/31/05 due 4/1/05 (Collateralized by Mortgage Loan Obligations with principal amounts of $5,749,367, 3.32% - 5.5%, 11/15/31 - 8/25/33) | 4,000,329 | 4,000,000 | ||
Wachovia Securities, Inc. At 2.95%, dated 3/31/05 due 4/1/05 (Collateralized by Corporate Obligations with principal amounts of $21,689,937, 4.5%, 11/27/34) | 17,001,393 | 17,000,000 | ||
TOTAL REPURCHASE AGREEMENTS | 139,770,000 | |||
TOTAL INVESTMENT PORTFOLIO - 101.4% (Cost $830,885,849) | 830,885,849 | |||
NET OTHER ASSETS - (1.4)% | (11,595,506) | |||
NET ASSETS - 100% | $ 819,290,343 |
Security Type Abbreviations |
CP - COMMERCIAL PAPER |
VRDN - VARIABLE RATE DEMAND NOTE |
Legend |
(a) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(b) 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 $38,607,403 or 4.7% of net assets. |
(c) 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. |
(d) The maturity amount is based on the rate at period end. |
(e) 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 $44,997,200 or 5.5% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition | Cost |
Bear Stearns Companies, Inc. 3.34%, 9/12/05 | 3/15/05 | $ 3,000,000 |
BMW U.S. Capital LLC 2.82%, 4/15/05 | 3/22/05 | $ 1,000,000 |
GE Capital Assurance Co. 2.81%, 4/1/05 | 7/30/04 | $ 5,000,000 |
General Motors Acceptance Corp. Mortgage Credit: | 3/1/05 | $ 5,000,000 |
3.37%, 4/11/05 | 3/7/05 | $ 2,997,200 |
Goldman Sachs Group, Inc.: | 9/14/04 | $ 5,000,000 |
2.82%, 4/11/05 | 1/13/05 | $ 6,000,000 |
2.85%, 4/14/05 | 2/14/05 | $ 5,000,000 |
2.94%, 5/26/05 | 8/26/04 | $ 7,000,000 |
New York Life Insurance Co. 2.69%, 4/1/05 | 2/28/02 | $ 5,000,000 |
Income Tax Information |
At September 30, 2004, the fund had a capital loss carryforward of approximately $17,000 of which $10,000 and $7,000 will expire on September 30, 2011 and 2012, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
March 31, 2005 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $139,770,000) (cost $830,885,849) - See accompanying schedule | $ 830,885,849 | |
Cash | 357 | |
Interest receivable | 2,606,361 | |
Prepaid expenses | 2,829 | |
Total assets | 833,495,396 | |
Liabilities | ||
Payable for investments purchased | $ 12,589,629 | |
Distributions payable | 1,601,146 | |
Other payables and accrued expenses | 14,278 | |
Total liabilities | 14,205,053 | |
Net Assets | $ 819,290,343 | |
Net Assets consist of: | ||
Paid in capital | $ 819,429,974 | |
Undistributed net investment income | 21,783 | |
Accumulated undistributed net realized gain (loss) on investments | (161,414) | |
Net Assets, for 819,424,732 shares outstanding | $ 819,290,343 | |
Net Asset Value, offering price and redemption price per share ($819,290,343 ÷ 819,424,732 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended March 31, 2005 (Unaudited) | ||
Investment Income | ||
Interest | $ 9,201,047 | |
Expenses | ||
Independent trustees' compensation | $ 2,160 | |
Custodian fees and expenses | 9,991 | |
Audit | 15,174 | |
Legal | 78 | |
Insurance | 1,567 | |
Total expenses before reductions | 28,970 | |
Expense reductions | (707) | 28,263 |
Net investment income | 9,172,784 | |
Net realized gain (loss) on investment securities | (121,776) | |
Net increase in net assets resulting from operations | $ 9,051,008 |
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 | $ 9,172,784 | $ 10,337,000 |
Net realized gain (loss) | (121,776) | (22,240) |
Net increase in net assets resulting | 9,051,008 | 10,314,760 |
Distributions to shareholders from net investment income | (9,168,184) | (10,341,060) |
Share transactions at net asset value of $1.00 per share | ||
Reinvestment of distributions | 1,413,065 | 1,577,727 |
Net increase (decrease) in net assets and shares resulting from share transactions | 1,413,065 | 1,577,727 |
Total increase (decrease) in net assets | 1,295,889 | 1,551,427 |
Net Assets | ||
Beginning of period | 817,994,454 | 816,443,027 |
End of period (including undistributed net investment income of $21,783 and undistributed net investment income of $17,183, respectively) | $ 819,290,343 | $ 817,994,454 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended September 30, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 D | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | ||||||
Net investment income | .011 | .013 | .014 | .022 | .054 | .013 |
Distributions from | (.011) | (.013) | (.014) | (.022) | (.054) | (.013) |
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B, C | 1.13% | 1.27% | 1.43% | 2.24% | 5.51% | 1.25% |
Ratios to Average Net Assets E | ||||||
Expenses before expense reductions | .0071% A | .0070% | .0073% | .0076% | .0095% | .0133% A |
Expenses net of voluntary waivers, if any | .0071% A | .0070% | .0073% | .0076% | .0095% | .0133% A |
Expenses net of all reductions | .0069% A | .0070% | .0073% | .0076% | .0094% | .0133% A |
Net investment income | 2.25% A | 1.27% | 1.42% | 2.24% | 5.40% | 6.79% A |
Supplemental Data | ||||||
Net assets, | $ 819,290 | $ 817,994 | $ 816,443 | $ 765,618 | $ 852,435 | $ 876,078 |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D 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, 2005 (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 a diversified 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 each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ - | |
Unrealized depreciation | - | |
Net unrealized appreciation (depreciation) | $ - | |
Cost for federal income tax purposes | $ 830,885,849 |
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
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
Semiannual Report
3. Fees and Other Transactions with Affiliates - continued
Interfund Lending Program - continued
participating funds. The fund's activity in this program during the period for which loans were outstanding was as follows:
Borrower or Lender | Average Daily | Weighted Average | Interest Earned | Interest |
Lender | $ 17,598,556 | 2.13% | $ 9,386 | - |
4. 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 expense by $707.
5. Other.
The fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is considered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the fund.
Semiannual Report
Fidelity® Ultra-Short
Central Fund
Semiannual Report
March 31, 2005
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's website at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
USC-SANN-0505 401915
1.771938.103
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2004 to March 31, 2005).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,013.70 | $ .02 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.91 | $ .02 |
* Expenses are equal to the Fund's annualized expense ratio of .0038%; multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes
Quality Diversification (% of fund's net assets) | |||||||
As of March 31, 2005* | As of September 30, 2004** | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 23.0% | ![]() | AAA 21.2% | ||||
![]() | AA 12.8% | ![]() | AA 11.0% | ||||
![]() | A 14.4% | ![]() | A 18.0% | ||||
![]() | BBB 7.9% | ![]() | BBB 8.5% | ||||
![]() | BB and Below 0.2% | ![]() | BB and Below 0.2% | ||||
![]() | Not Rated 2.6% | ![]() | Not Rated 0.7% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition. |
Average Years to Maturity as of March 31, 2005 | ||
6 months ago | ||
Years | 1.7 | 1.5 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of March 31, 2005 | ||
6 months ago | ||
Years | 0.1 | 0.2 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of March 31, 2005* | As of September 30, 2004** | ||||||
![]() | Corporate Bonds 3.6% | ![]() | Corporate Bonds 4.1% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other Mortgage Related Securities 21.1% | ![]() | CMOs and Other Mortgage Related Securities 17.8% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 3.9% | ** Foreign investments | 4.2% | ||||
* Futures and Swaps | (3.2)% | ** Futures and Swaps | (6.4)% |
Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
Semiannual Report
Investments March 31, 2005
Showing Percentage of Net Assets
Nonconvertible Bonds - 3.6% | |||
Principal | Value | ||
CONSUMER DISCRETIONARY - 1.4% | |||
Auto Components - 0.4% | |||
DaimlerChrysler NA Holding Corp.: | |||
3.45% 9/10/07 (e) | $ 16,665,000 | $ 16,684,898 | |
3.47% 5/24/06 (e) | 4,700,000 | 4,719,284 | |
21,404,182 | |||
Media - 1.0% | |||
AOL Time Warner, Inc. 5.625% 5/1/05 | 15,000,000 | 15,022,950 | |
Continental Cablevision, Inc. 8.3% 5/15/06 | 8,000,000 | 8,312,632 | |
Cox Communications, Inc. 3.55% 12/14/07 (b)(e) | 12,140,000 | 12,211,031 | |
Liberty Media Corp. 4.51% 9/17/06 (e) | 17,000,000 | 17,225,760 | |
Time Warner, Inc. 7.75% 6/15/05 | 7,500,000 | 7,563,068 | |
60,335,441 | |||
TOTAL CONSUMER DISCRETIONARY | 81,739,623 | ||
FINANCIALS - 1.0% | |||
Capital Markets - 0.2% | |||
State Street Capital Trust II 3.2944% 2/15/08 (e) | 10,000,000 | 10,033,350 | |
Commercial Banks - 0.3% | |||
Wells Fargo & Co. 3% 3/10/08 (e) | 16,600,000 | 16,586,670 | |
Consumer Finance - 0.5% | |||
General Motors Acceptance Corp.: | |||
3.92% 10/20/05 (e) | 14,765,000 | 14,731,262 | |
4.75% 5/19/05 (e) | 6,855,000 | 6,858,098 | |
Household Finance Corp. 8% 5/9/05 | 11,000,000 | 11,051,700 | |
32,641,060 | |||
Real Estate - 0.0% | |||
Regency Centers LP 7.125% 7/15/05 | 700,000 | 707,324 | |
TOTAL FINANCIALS | 59,968,404 | ||
TELECOMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 1.0% | |||
British Telecommunications PLC 7.875% 12/15/05 | 18,145,000 | 18,659,792 | |
Deutsche Telekom International Finance BV 8.25% 6/15/05 | 16,638,000 | 16,798,474 | |
France Telecom SA 7.45% 3/1/06 (a) | 5,600,000 | 5,773,281 | |
GTE Corp. 6.36% 4/15/06 | 9,000,000 | 9,203,166 | |
Nonconvertible Bonds - continued | |||
Principal | Value | ||
TELECOMMUNICATION SERVICES - continued | |||
Diversified Telecommunication Services - continued | |||
Sprint Capital Corp. 4.78% 8/17/06 | $ 6,000,000 | $ 6,036,900 | |
Telefonica Europe BV 7.35% 9/15/05 | 4,500,000 | 4,576,968 | |
61,048,581 | |||
Wireless Telecommunication Services - 0.1% | |||
AT&T Wireless Services, Inc. 7.35% 3/1/06 | 5,500,000 | 5,670,764 | |
TOTAL TELECOMMUNICATION SERVICES | 66,719,345 | ||
UTILITIES - 0.1% | |||
Gas Utilities - 0.1% | |||
NiSource Finance Corp. 7.625% 11/15/05 | 9,250,000 | 9,462,491 | |
TOTAL NONCONVERTIBLE BONDS (Cost $218,124,018) | 217,889,863 | ||
U.S. Government Agency Obligations - 4.1% | |||
Fannie Mae: | |||
1.55% 5/4/05 | 90,000,000 | 89,878,680 | |
1.8% 5/27/05 | 60,000,000 | 59,885,280 | |
Federal Home Loan Bank 1.35% 4/29/05 | 90,000,000 | 89,882,643 | |
Freddie Mac 0% 4/19/05 (d) | 5,000,000 | 4,993,250 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $244,994,771) | 244,639,853 | ||
Asset-Backed Securities - 36.4% | |||
Accredited Mortgage Loan Trust: | |||
Series 2004-2 Class A2, 3.15% 7/25/34 (e) | 9,396,639 | 9,396,547 | |
Series 2004-3 Class 2A4, 3.2% 10/25/34 (e) | 10,915,000 | 10,963,781 | |
Series 2004-4: | |||
Class A2D, 3.2% 1/25/35 (e) | 4,085,693 | 4,097,775 | |
Class M2, 3.9% 1/25/35 (e) | 1,425,000 | 1,453,939 | |
Class M3, 4.1% 1/25/35 (e) | 550,000 | 567,826 | |
Series 2005-1: | |||
Class M1, 3.32% 4/25/35 (e) | 11,280,000 | 11,279,977 | |
Class M2, 3.54% 4/25/35 (e) | 5,275,000 | 5,274,989 | |
ACE Securities Corp.: | |||
Series 2002-HE1: | |||
Class A, 3.19% 6/25/32 (e) | 399,301 | 399,385 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
ACE Securities Corp.: - continued | |||
Series 2002-HE1: - continued | |||
Class M1, 3.5% 6/25/32 (e) | $ 2,110,000 | $ 2,119,472 | |
Series 2002-HE2 Class M1, 3.7% 8/25/32 (e) | 21,525,000 | 21,640,949 | |
Series 2003-FM1 Class M2, 4.7% 11/25/32 (e) | 3,015,000 | 3,069,832 | |
Series 2003-HS1: | |||
Class M1, 3.6% 6/25/33 (e) | 800,000 | 804,678 | |
Class M2, 4.6% 6/25/33 (e) | 856,000 | 873,383 | |
Series 2003-NC1 Class M1, 3.63% 7/25/33 (e) | 1,600,000 | 1,615,193 | |
Series 2004-HE1: | |||
Class M1, 3.35% 2/25/34 (e) | 2,193,000 | 2,193,319 | |
Class M2, 3.95% 2/25/34 (e) | 2,475,000 | 2,476,011 | |
Series 2004-OP1: | |||
Class M1, 3.37% 4/25/34 (e) | 4,420,000 | 4,424,555 | |
Class M2, 3.9% 4/25/34 (e) | 6,240,000 | 6,251,383 | |
Series 2005-HE2: | |||
Class M1, 3.25% 4/25/35 (e) | 1,530,000 | 1,530,000 | |
Class M2, 3.26% 4/25/35 (e) | 1,803,000 | 1,803,000 | |
Class M3, 3.29% 4/25/35 (e) | 1,040,000 | 1,040,000 | |
Class M4, 3.45% 4/25/35 (e) | 1,340,000 | 1,340,000 | |
Class M5, 3.49% 4/25/35 (e) | 1,230,000 | 1,230,000 | |
Series 2005-SD1 Class A1, 3.25% 11/25/50 (e) | 3,391,798 | 3,392,854 | |
Aesop Funding II LLC Series 2005-1A Class A2, 2.91% 4/20/09 (b)(e) | 8,800,000 | 8,800,000 | |
American Express Credit Account Master Trust: | |||
Series 2002-4 Class B, 3.12% 2/15/08 (e) | 10,000,000 | 10,006,224 | |
Series 2002-6 Class B, 3.26% 3/15/10 (e) | 5,000,000 | 5,037,018 | |
Series 2004-1 Class B, 3.06% 9/15/11 (e) | 5,775,000 | 5,800,033 | |
Series 2004-C Class C, 3.31% 2/15/12 (b)(e) | 19,330,880 | 19,371,780 | |
Series 2005-1 Class A, 3.15% 10/15/12 (e) | 15,455,000 | 15,455,000 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2002-EM Class A4A, 3.67% 6/8/09 | 25,000,000 | 24,942,495 | |
Series 2003-AM: | |||
Class A3B, 3.1156% 6/6/07 (e) | 2,896,699 | 2,898,520 | |
Class A4B, 3.2156% 11/6/09 (e) | 12,400,000 | 12,458,631 | |
Series 2003-BX Class A4B, 3.1256% 1/6/10 (e) | 3,265,000 | 3,279,301 | |
Series 2003-CF Class A3, 2.75% 10/9/07 | 17,500,000 | 17,443,055 | |
Ameriquest Mortgage Securities, Inc.: | |||
Series 2002-3 Class M1, 3.55% 8/25/32 (e) | 3,976,813 | 3,996,505 | |
Series 2002-AR1 Class M2, 4.15% 9/25/32 (e) | 1,698,000 | 1,700,909 | |
Series 2003-1: | |||
Class A2, 3.26% 2/25/33 (e) | 1,156,859 | 1,160,405 | |
Class M1, 3.75% 2/25/33 (e) | 3,330,000 | 3,393,338 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Ameriquest Mortgage Securities, Inc.: - continued | |||
Series 2003-3: | |||
Class M1, 3.65% 3/25/33 (e) | $ 1,590,000 | $ 1,609,740 | |
Class S, 5% 9/25/05 (f) | 4,457,447 | 89,136 | |
Series 2003-6: | |||
Class AV3, 3.17% 8/25/33 (e) | 1,327,358 | 1,327,981 | |
Class M1, 3.61% 8/25/33 (e) | 7,560,000 | 7,612,909 | |
Class M2, 4.7% 5/25/33 (e) | 2,750,000 | 2,804,297 | |
Series 2003-AR1 Class M1, 4% 1/25/33 (e) | 7,000,000 | 7,083,417 | |
Series 2004-R2: | |||
Class M1, 3.28% 4/25/34 (e) | 1,230,000 | 1,229,987 | |
Class M2, 3.33% 4/25/34 (e) | 950,000 | 949,990 | |
Class M3, 3.4% 4/25/34 (e) | 3,500,000 | 3,499,963 | |
Class M4, 3.9% 4/25/34 (e) | 4,500,000 | 4,499,947 | |
Series 2004-R9 Class A3, 3.17% 10/25/34 (e) | 9,340,000 | 9,368,948 | |
Series 2005-R1: | |||
Class M1, 3.3% 3/25/35 (e) | 5,710,000 | 5,709,936 | |
Class M2, 3.33% 3/25/35 (e) | 1,925,000 | 1,924,978 | |
Series 2005-R2 Class M1, 3.05% 4/25/35 (e) | 12,500,000 | 12,500,000 | |
Amortizing Residential Collateral Trust: | |||
Series 2002-BC3 Class A, 3.18% 6/25/32 (e) | 2,948,986 | 2,960,407 | |
Series 2002-BC6 Class M1, 3.6% 8/25/32 (e) | 24,900,000 | 25,133,719 | |
Series 2002-BC7: | |||
Class M1, 3.45% 10/25/32 (e) | 10,000,000 | 10,096,880 | |
Class M2, 3.75% 10/25/32 (e) | 5,575,000 | 5,619,497 | |
Series 2003-BC1 Class M2, 3.95% 1/25/32 (e) | 2,480,000 | 2,487,082 | |
AQ Finance NIMS Trust Series 2003-N6A Class NOTE, 3.15% 5/25/10 (b)(e) | 147,584 | 146,846 | |
ARG Funding Corp.: | |||
Series 2005-1A Class A2, 3.15% 4/20/09 (b)(e) | 11,000,000 | 11,000,000 | |
Series 2005-2A Class A2, 2.96% 5/20/11 (b)(c)(e) | 5,200,000 | 5,200,000 | |
Argent Securities, Inc.: | |||
Series 2003-W3 Class M2, 4.65% 9/25/33 (e) | 20,000,000 | 20,679,990 | |
Series 2003-W7 Class A2, 3.24% 3/1/34 (e) | 5,921,876 | 5,935,543 | |
Series 2004-W5 Class M1, 3.45% 4/25/34 (e) | 3,960,000 | 3,964,942 | |
Series 2004-W7: | |||
Class M1, 3.4% 5/25/34 (e) | 4,085,000 | 4,084,955 | |
Class M2, 3.45% 5/25/34 (e) | 3,320,000 | 3,319,964 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2002-HE2 Class M2, 3.94% 8/15/32 (e) | 978,000 | 981,689 | |
Series 2003-HE2: | |||
Class A2, 3.19% 4/15/33 (e) | 2,785,013 | 2,787,528 | |
Class M1, 3.71% 4/15/33 (e) | 9,000,000 | 9,061,993 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Asset Backed Securities Corp. Home Equity Loan Trust: - continued | |||
Series 2003-HE3: | |||
Class M1, 3.64% 6/15/33 (e) | $ 2,185,000 | $ 2,203,617 | |
Class M2, 4.81% 6/15/33 (e) | 10,000,000 | 10,272,870 | |
Series 2003-HE4 Class M2, 4.81% 8/15/33 (e) | 5,695,000 | 5,829,597 | |
Series 2003-HE5 Class A2A, 3.17% 8/15/33 (e) | 4,106,327 | 4,110,265 | |
Series 2003-HE6 Class M1, 3.5% 11/25/33 (e) | 3,475,000 | 3,501,870 | |
Series 2004-HE3: | |||
Class M1, 3.39% 6/25/34 (e) | 1,450,000 | 1,450,499 | |
Class M2, 3.97% 6/25/34 (e) | 3,350,000 | 3,351,049 | |
Series 2004-HE6 Class A2, 3.21% 6/25/34 (e) | 22,252,288 | 22,252,084 | |
Series 2005-HE2: | |||
Class M1, 3.17% 3/25/35 (e) | 8,250,000 | 8,263,606 | |
Class M2, 3.22% 3/25/35 (e) | 2,065,000 | 2,068,913 | |
Bank One Issuance Trust: | |||
Series 2002-B1 Class B1, 3.19% 12/15/09 (e) | 20,655,000 | 20,758,153 | |
Series 2002-B2 Class B2, 3.15% 5/15/08 (e) | 15,000,000 | 15,007,998 | |
Series 2002-B3 Class B, 3.17% 8/15/08 (e) | 14,500,000 | 14,517,197 | |
Series 2002-C1 Class C1, 3.77% 12/15/09 (e) | 7,980,000 | 8,082,101 | |
Series 2002-C2 Class C2, 3.8% 5/15/08 (e) | 35,785,000 | 35,905,066 | |
Bayview Financial Acquisition Trust Series 2004-C | 10,124,498 | 10,127,662 | |
Bayview Financial Asset Trust Series 2000-F Class A, 3.17% 9/28/43 (e) | 11,117,634 | 11,134,741 | |
Bayview Financial Mortgage Loan Trust Series 2004-A | 6,800,322 | 6,807,558 | |
Bear Stearns Asset Backed Securities I Series 2005-HE2: | |||
Class M1, 3.35% 2/25/35 (e) | 6,655,000 | 6,655,000 | |
Class M2, 3.6% 2/25/35 (e) | 2,430,000 | 2,430,000 | |
Capital Auto Receivables Asset Trust: | |||
Series 2002-5 Class B, 2.8% 4/15/08 | 3,919,924 | 3,892,013 | |
Series 2003-1 Class B, 3.28% 6/15/10 (b)(e) | 7,624,280 | 7,650,636 | |
Series 2003-2 Class B, 3.09% 1/15/09 (e) | 3,555,722 | 3,562,003 | |
Capital One Auto Finance Trust: | |||
Series 2003-A Class A4B, 3.09% 1/15/10 (e) | 9,630,000 | 9,661,975 | |
Series 2004-B Class A4, 2.92% 8/15/11 (e) | 16,300,000 | 16,295,196 | |
Capital One Master Trust: | |||
Series 1999-3 Class B, 3.29% 9/15/09 (e) | 5,000,000 | 5,006,308 | |
Series 2001-1 Class B, 3.32% 12/15/10 (e) | 19,500,000 | 19,662,692 | |
Series 2001-8A Class B, 3.36% 8/17/09 (e) | 9,585,000 | 9,646,320 | |
Series 2002-3A Class B, 4.55% 2/15/08 | 10,000,000 | 10,004,869 | |
Series 2002-4A Class B, 3.31% 3/15/10 (e) | 6,000,000 | 6,034,811 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Capital One Multi-Asset Execution Trust: | |||
Series 2002-B1 Class B1, 3.49% 7/15/08 (e) | $ 17,705,000 | $ 17,730,812 | |
Series 2003-B1 Class B1, 3.98% 2/17/09 (e) | 15,470,000 | 15,622,875 | |
Capital Trust Ltd. Series 2004-1: | |||
Class A2, 3.3% 7/20/39 (b)(e) | 2,968,000 | 2,968,000 | |
Class B, 3.6% 7/20/39 (b)(e) | 1,550,000 | 1,550,000 | |
Class C, 3.95% 7/20/39 (b)(e) | 1,994,000 | 1,994,000 | |
CDC Mortgage Capital Trust: | |||
Series 2001-HE1 Class M1, 3.88% 1/25/32 (e) | 4,244,221 | 4,266,966 | |
Series 2002-HE2 Class M1, 3.55% 1/25/33 (e) | 9,999,980 | 10,046,335 | |
Series 2002-HE3: | |||
Class M1, 3.95% 3/25/33 (e) | 21,499,948 | 21,915,996 | |
Class M2, 5.1% 3/25/33 (e) | 9,968,976 | 10,205,344 | |
Series 2003-HE1: | |||
Class M1, 3.75% 8/25/33 (e) | 1,989,998 | 2,000,234 | |
Class M2, 4.8% 8/25/33 (e) | 4,369,996 | 4,442,643 | |
Series 2003-HE2 Class A, 3.2% 10/25/33 (e) | 4,242,292 | 4,259,070 | |
Series 2003-HE3: | |||
Class M1, 3.55% 11/25/33 (e) | 2,254,989 | 2,277,809 | |
Class M2, 4.6% 11/25/33 (e) | 1,719,992 | 1,760,408 | |
Series 2004-HE2 Class M2, 4.05% 7/26/34 (e) | 2,345,000 | 2,344,970 | |
Chase Credit Card Owner Trust: | |||
Series 2001-6 Class B, 3.29% 3/16/09 (e) | 1,305,000 | 1,312,676 | |
Series 2002-2 Class C, 3.71% 7/16/07 (e) | 13,818,000 | 13,821,374 | |
Series 2002-4 Class B, 3.12% 10/15/07 (e) | 12,000,000 | 12,002,196 | |
Series 2002-6 Class B, 3.16% 1/15/08 (e) | 11,850,000 | 11,857,558 | |
Series 2004-1 Class B, 3.01% 5/15/09 (e) | 4,105,000 | 4,104,147 | |
Citibank Credit Card Issuance Trust: | |||
Series 2000-C2 Class C2, 3.31% 10/15/07 (e) | 17,500,000 | 17,529,468 | |
Series 2001-B2 Class B2, 2.93% 12/10/08 (e) | 11,945,000 | 12,014,624 | |
Series 2002-B1 Class B1, 3.39% 6/25/09 (e) | 9,010,000 | 9,051,129 | |
Series 2002-C1 Class C1, 3.76% 2/9/09 (e) | 17,500,000 | 17,725,649 | |
Series 2003-B1 Class B1, 3.25% 3/7/08 (e) | 25,000,000 | 25,067,198 | |
Series 2003-C1 Class C1, 3.69% 4/7/10 (e) | 17,785,000 | 18,216,076 | |
Citigroup Mortgage Loan Trust Series 2003-HE4 | 8,992,786 | 8,993,719 | |
Countrywide Home Loans, Inc.: | |||
Series 2002-6 Class AV1, 3.28% 5/25/33 (e) | 2,084,149 | 2,089,417 | |
Series 2003-BC1 Class M2, 4.85% 9/25/32 (e) | 11,065,000 | 11,231,747 | |
Series 2003-SD3 Class A1, 3.27% 12/25/32 (b)(e) | 1,386,368 | 1,394,449 | |
Series 2004-2 Class M1, 3.35% 5/25/34 (e) | 5,200,000 | 5,211,775 | |
Series 2004-3: | |||
Class 3A4, 3.1% 8/25/34 (e) | 672,000 | 668,692 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Countrywide Home Loans, Inc.: - continued | |||
Class M1, 3.35% 6/25/34 (e) | $ 1,475,000 | $ 1,476,444 | |
Series 2004-4: | |||
Class A, 3.22% 8/25/34 (e) | 3,595,851 | 3,599,487 | |
Class M1, 3.33% 7/25/34 (e) | 3,650,000 | 3,664,180 | |
Class M2, 3.38% 6/25/34 (e) | 4,395,000 | 4,411,414 | |
Series 2005-1: | |||
Class 1AV2, 3% 5/25/35 (e) | 8,780,000 | 8,780,000 | |
Class M1, 3.24% 9/25/35 (e) | 19,600,000 | 19,600,000 | |
Class MV1, 3.25% 7/25/35 (e) | 3,135,000 | 3,132,061 | |
Class MV2, 3.24% 5/25/35 (e) | 3,765,000 | 3,763,235 | |
Class MV3, 3.25% 5/25/35 (e) | 1,560,000 | 1,559,269 | |
Series 2005-3 Class MV1, 3.27% 3/25/35 (e) | 11,125,000 | 11,125,000 | |
Series 2005-AB1 Class A2, 3.03% 5/25/35 (e) | 17,520,000 | 17,525,475 | |
CS First Boston Mortgage Securities Corp.: | |||
Series 2003-8 Class A2, 3.24% 4/25/34 (e) | 3,535,654 | 3,552,287 | |
Series 2004-FRE1: | |||
Class A2, 3.2% 4/25/34 (e) | 4,313,568 | 4,313,529 | |
Class M3, 3.5% 4/25/34 (e) | 5,885,000 | 5,884,936 | |
Discover Card Master Trust I: | |||
Series 2000-2 Class B, 3.18% 9/18/07 (e) | 10,000,000 | 10,000,531 | |
Series 2003-4 Class B1, 3.14% 5/16/11 (e) | 8,155,000 | 8,204,069 | |
Fannie Mae guaranteed REMIC pass thru certificates: | |||
Series 2002-T15 Class S1, 5.25% 4/25/05 (f) | 20,812,207 | 2 | |
Series 2004-T5 Class AB3, 2.8394% 5/28/35 (e) | 9,513,363 | 9,516,669 | |
Fieldstone Mortgage Investment Corp.: | |||
Series 2003-1: | |||
Class M1, 3.53% 11/25/33 (e) | 1,300,000 | 1,313,576 | |
Class M2, 4.6% 11/25/33 (e) | 700,000 | 721,670 | |
Series 2004-1 Class M2, 3.95% 1/25/35 (e) | 3,700,000 | 3,748,436 | |
Series 2004-2 Class M2, 4% 7/25/34 (e) | 9,890,000 | 9,889,885 | |
First Franklin Mortgage Loan Trust Series 2004-FF2: | |||
Class M3, 3.4% 3/25/34 (e) | 400,000 | 401,635 | |
Class M4, 3.75% 3/25/34 (e) | 300,000 | 303,259 | |
Class M6, 4.1% 3/25/34 (e) | 400,000 | 403,825 | |
First USA Credit Card Master Trust Series 2001-4 | 15,000,000 | 15,045,977 | |
First USA Secured Note Trust Series 2001-3 Class C, 3.9% 11/19/08 (b)(e) | 11,580,000 | 11,661,421 | |
Fleet Credit Card Master Trust II Series 2002-A Class B, 3.15% 10/15/07 (e) | 10,000,000 | 10,000,531 | |
Ford Credit Auto Owner Trust Series 2003-B Class B2, 3.24% 10/15/07 (e) | 19,600,000 | 19,687,251 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Fremont Home Loan Trust: | |||
Series 2004-1: | |||
Class 1A1, 3.07% 2/25/34 (e) | $ 3,870,278 | $ 3,870,245 | |
Class M1, 3.3% 2/25/34 (e) | 750,000 | 749,992 | |
Class M2, 3.35% 2/25/34 (e) | 800,000 | 799,992 | |
Series 2004-C Class 2A2, 3.4% 8/25/34 (e) | 10,000,000 | 10,086,508 | |
Series 2005-A: | |||
Class 2A2, 3.09% 2/25/35 (e) | 11,850,000 | 11,867,571 | |
Class M1, 3.28% 1/25/35 (e) | 1,603,000 | 1,604,964 | |
Class M2, 3.31% 1/25/35 (e) | 2,325,000 | 2,328,669 | |
Class M3, 3.34% 1/25/35 (e) | 1,250,000 | 1,251,936 | |
Class M4, 3.53% 1/25/35 (e) | 925,000 | 927,487 | |
Class M5, 3.55% 1/25/35 (e) | 925,000 | 928,181 | |
Class M6, 3.63% 1/25/35 (e) | 1,125,000 | 1,127,563 | |
GE Business Loan Trust Series 2003-1 Class A, 3.24% 4/15/31 (b)(e) | 6,019,938 | 6,061,621 | |
Gracechurch Card Funding PLC: | |||
Series 5: | |||
Class B, 3.04% 8/15/08 (e) | 1,520,000 | 1,521,832 | |
Class C, 3.74% 8/15/08 (e) | 5,580,000 | 5,607,945 | |
Series 6 Class B, 3% 2/17/09 (e) | 1,030,000 | 1,031,120 | |
GSAMP Trust: | |||
Series 2002-HE Class M1, 4.1% 11/20/32 (e) | 3,017,000 | 3,083,794 | |
Series 2002-NC1: | |||
Class A2, 3.17% 7/25/32 (e) | 1,071,303 | 1,082,981 | |
Class M1, 3.49% 7/25/32 (e) | 8,861,000 | 8,971,764 | |
Series 2003-FM1 Class M1, 3.67% 3/20/33 (e) | 15,000,000 | 15,183,921 | |
Series 2004-FF3 Class M2, 3.99% 5/25/34 (e) | 4,650,000 | 4,650,024 | |
Series 2004-FM1: | |||
Class M1, 3.5% 11/25/33 (e) | 2,865,000 | 2,864,969 | |
Class M2, 4.25% 11/25/33 (e) | 1,975,000 | 2,010,617 | |
Series 2004-FM2: | |||
Class M1, 3.35% 1/25/34 (e) | 3,500,000 | 3,499,963 | |
Class M2, 3.95% 1/25/34 (e) | 1,500,000 | 1,499,982 | |
Class M3, 4.15% 1/25/34 (e) | 1,500,000 | 1,499,982 | |
Series 2004-HE1: | |||
Class M1, 3.4% 5/25/34 (e) | 4,045,000 | 4,044,956 | |
Class M2, 4% 5/25/34 (e) | 1,750,000 | 1,770,385 | |
Class M3, 4.25% 5/25/34 (e) | 1,250,000 | 1,271,370 | |
Series 2005-HE2 Class M, 3.23% 3/25/35 (e) | 8,780,000 | 8,780,000 | |
Series 2005-NC1 Class M1, 3.3% 2/25/35 (e) | 9,010,000 | 9,009,984 | |
Home Equity Asset Trust: | |||
Series 2002-2 Class M1, 3.65% 6/25/32 (e) | 10,000,000 | 10,033,640 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Home Equity Asset Trust: - continued | |||
Series 2002-3 Class A5, 3.29% 2/25/33 (e) | $ 2,239,734 | $ 2,241,028 | |
Series 2002-4: | |||
Class A3, 3.33% 3/25/33 (e) | 3,244,465 | 3,248,864 | |
Class M2, 4.9% 3/25/33 (e) | 1,850,000 | 1,880,199 | |
Series 2002-5: | |||
Class A3, 3.37% 5/25/33 (e) | 4,849,103 | 4,883,041 | |
Class M1, 4.05% 5/25/33 (e) | 13,800,000 | 14,106,854 | |
Series 2003-1: | |||
Class A2, 3.32% 6/25/33 (e) | 6,998,761 | 7,014,506 | |
Class M1, 3.85% 6/25/33 (e) | 5,700,000 | 5,737,233 | |
Series 2003-2: | |||
Class A2, 3.23% 8/25/33 (e) | 421,596 | 423,446 | |
Class M1, 3.73% 8/25/33 (e) | 2,245,000 | 2,273,827 | |
Series 2003-3: | |||
Class A2, 3.21% 8/25/33 (e) | 3,118,703 | 3,132,214 | |
Class M1, 3.71% 8/25/33 (e) | 8,185,000 | 8,285,727 | |
Series 2003-4: | |||
Class M1, 3.65% 10/25/33 (e) | 3,415,000 | 3,447,548 | |
Class M2, 4.75% 10/25/33 (e) | 4,040,000 | 4,097,947 | |
Series 2003-5: | |||
Class A2, 3.2% 12/25/33 (e) | 9,095,358 | 9,131,533 | |
Class M1, 3.55% 12/25/33 (e) | 3,175,000 | 3,204,384 | |
Class M2, 4.58% 12/25/33 (e) | 1,345,000 | 1,383,726 | |
Series 2003-7 Class A2, 3.23% 3/25/34 (e) | 4,434,827 | 4,445,480 | |
Series 2004-2 Class A2, 3.14% 7/25/34 (e) | 8,318,490 | 8,318,558 | |
Series 2004-3: | |||
Class M1, 3.42% 8/25/34 (e) | 2,015,000 | 2,014,978 | |
Class M2, 4.05% 8/25/34 (e) | 2,200,000 | 2,199,973 | |
Class M3, 4.3% 8/25/34 (e) | 950,000 | 949,988 | |
Series 2004-4 Class A2, 3.17% 10/25/34 (e) | 10,757,939 | 10,801,376 | |
Series 2004-6 Class A2, 3.2% 12/25/34 (e) | 11,560,938 | 11,598,095 | |
Series 2004-7 Class A3, 3.24% 1/25/35 (e) | 3,508,524 | 3,526,774 | |
Series 2005-1: | |||
Class M1, 3.28% 5/25/35 (e) | 9,705,000 | 9,712,404 | |
Class M2, 3.3% 5/25/35 (e) | 5,780,000 | 5,779,937 | |
Class M3, 3.35% 5/25/35 (e) | 5,825,000 | 5,824,937 | |
Series 2005-2: | |||
Class 2A2, 3.06% 7/25/35 (c)(e) | 13,170,000 | 13,170,000 | |
Class M1, 3.31% 7/25/35 (c)(e) | 6,385,000 | 6,385,000 | |
Household Affinity Credit Card Master Note Trust I Series 2003-3 Class B, 3.1% 8/15/08 (e) | 10,000,000 | 10,016,138 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Household Credit Card Master Trust I Series 2002-1 Class B, 3.46% 7/15/08 (e) | $ 22,589,000 | $ 22,640,684 | |
Household Home Equity Loan Trust: | |||
Series 2002-2 Class A, 3.15% 4/20/32 (e) | 3,414,440 | 3,419,938 | |
Series 2002-3 Class A, 3.3% 7/20/32 (e) | 2,738,511 | 2,743,892 | |
Series 2003-1 Class M, 3.48% 10/20/32 (e) | 977,309 | 978,999 | |
Series 2003-2: | |||
Class A, 3.18% 9/20/33 (e) | 3,598,873 | 3,607,385 | |
Class M, 3.43% 9/20/33 (e) | 1,692,368 | 1,696,563 | |
Series 2004-1 Class M, 3.37% 9/20/33 (e) | 3,370,616 | 3,377,650 | |
Household Mortgage Loan Trust: | |||
Series 2003-HC1 Class M, 3.5% 2/20/33 (e) | 2,228,700 | 2,238,978 | |
Series 2004-HC1: | |||
Class A, 3.2% 2/20/34 (e) | 6,980,705 | 6,999,743 | |
Class M, 3.35% 2/20/34 (e) | 4,220,559 | 4,223,398 | |
Household Private Label Credit Card Master Note Trust I: | |||
Series 2002-1 Class B, 3.36% 1/18/11 (e) | 8,850,000 | 8,870,158 | |
Series 2002-2: | |||
Class A, 2.98% 1/18/11 (e) | 9,000,000 | 9,013,649 | |
Class B, 3.36% 1/18/11 (e) | 14,275,000 | 14,370,697 | |
Series 2002-3 Class B, 4.06% 9/15/09 (e) | 4,150,000 | 4,170,513 | |
Ikon Receivables Funding LLC Series 2003-1 Class A3A, 3.05% 12/17/07 (e) | 4,536,038 | 4,537,623 | |
IXIS Real Estate Capital Trust Series 2005-HE1: | |||
Class A1, 3.1% 6/25/35 (e) | 13,484,634 | 13,484,634 | |
Class M1, 3.32% 6/25/35 (e) | 4,100,000 | 4,100,000 | |
Class M2, 3.34% 6/25/35 (e) | 2,775,000 | 2,775,000 | |
Class M3, 3.37% 6/25/35 (e) | 1,975,000 | 1,975,000 | |
Class M4, 3.55% 6/25/35 (e) | 4,940,000 | 4,940,000 | |
Class M5, 3.58% 6/25/35 (e) | 3,020,000 | 3,020,000 | |
Keycorp Student Loan Trust Series 1999-A Class A2, 3.42% 12/27/09 (e) | 17,060,109 | 17,132,428 | |
Long Beach Mortgage Loan Trust: | |||
Series 2002-4 Class 2S1, 5.25% 4/25/05 (f) | 19,201,500 | 2 | |
Series 2003-1 Class A2, 3.25% 3/25/33 (e) | 261,799 | 261,939 | |
Series 2003-2: | |||
Class AV, 3.17% 6/25/33 (e) | 770,184 | 770,908 | |
Class M1, 3.67% 6/25/33 (e) | 19,500,000 | 19,668,876 | |
Series 2003-3 Class M1, 3.6% 7/25/33 (e) | 7,770,000 | 7,845,129 | |
Series 2004-2: | |||
Class M1, 3.38% 6/25/34 (e) | 4,275,000 | 4,286,307 | |
Class M2, 3.93% 6/25/34 (e) | 2,800,000 | 2,837,462 | |
Series 2005-2 Class 2A2, 3.03% 4/25/35 (c)(e) | 12,000,000 | 12,000,000 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
MASTR Asset Backed Securities Trust: | |||
Series 2003-NC1: | |||
Class M1, 3.58% 4/25/33 (e) | $ 3,500,000 | $ 3,530,403 | |
Class M2, 4.7% 4/25/33 (e) | 1,500,000 | 1,537,719 | |
Series 2004-FRE1 Class M1, 3.4% 7/25/34 (e) | 5,223,000 | 5,249,397 | |
MBNA Asset Backed Note Trust Series 2000-K Class C, 3.61% 3/17/08 (b)(e) | 7,250,000 | 7,272,475 | |
MBNA Credit Card Master Note Trust: | |||
Series 2001-B1 Class B1, 3.185% 10/15/08 (e) | 30,000,000 | 30,061,371 | |
Series 2001-B2 Class B2, 3.17% 1/15/09 (e) | 30,353,000 | 30,451,693 | |
Series 2002-B2 Class B2, 3.19% 10/15/09 (e) | 20,000,000 | 20,103,662 | |
Series 2002-B3 Class B3, 3.21% 1/15/08 (e) | 15,000,000 | 15,008,738 | |
Series 2002-B4 Class B4, 3.31% 3/15/10 (e) | 14,800,000 | 14,931,661 | |
Series 2003-B2 Class B2, 3.2% 10/15/10 (e) | 1,530,000 | 1,541,514 | |
Series 2003-B3 Class B3, 3.185% 1/18/11 (e) | 1,130,000 | 1,136,027 | |
Series 2003-B5 Class B5, 3.18% 2/15/11 (e) | 705,000 | 710,852 | |
MBNA Master Credit Card Trust II: | |||
Series 1998-E Class B, 2.99% 9/15/10 (e) | 7,800,000 | 7,848,716 | |
Series 1998-G Class B, 3.21% 2/17/09 (e) | 20,000,000 | 20,054,476 | |
Meritage Mortgage Loan Trust Series 2004-1: | |||
Class M1, 3.35% 7/25/34 (e) | 2,125,000 | 2,124,978 | |
Class M2, 3.4% 7/25/34 (e) | 375,000 | 374,996 | |
Class M3, 3.8% 7/25/34 (e) | 775,000 | 774,991 | |
Class M4, 3.95% 7/25/34 (e) | 525,000 | 524,994 | |
Merrill Lynch Mortgage Investors, Inc. Series 2003-HE1 | 2,321,000 | 2,337,100 | |
Morgan Stanley ABS Capital I, Inc.: | |||
Series 2002-NC6 Class M2, 4.95% 11/25/32 (e) | 2,370,000 | 2,452,726 | |
Series 2003-HE1 Class M2, 4.75% 5/25/33 (e) | 6,185,000 | 6,262,744 | |
Series 2003-NC5 Class M2, 4.85% 4/25/33 (e) | 2,800,000 | 2,845,996 | |
Series 2003-NC6 Class M2, 4.8% 6/27/33 (e) | 12,835,000 | 13,206,795 | |
Series 2003-NC7: | |||
Class M1, 3.55% 6/25/33 (e) | 1,785,000 | 1,793,096 | |
Class M2, 4.7% 6/25/33 (e) | 1,000,000 | 1,020,316 | |
Series 2003-NC8 Class M1, 3.55% 9/25/33 (e) | 2,350,000 | 2,368,296 | |
Series 2004-HE6 Class A2, 3.19% 8/25/34 (e) | 9,697,170 | 9,699,430 | |
Series 2004-NC6 Class A2, 3.19% 7/25/34 (e) | 4,511,268 | 4,524,645 | |
Series 2005-1: | |||
Class M2, 3.32% 12/25/34 (e) | 4,425,000 | 4,432,537 | |
Class M3, 3.37% 12/25/34 (e) | 4,000,000 | 4,003,352 | |
Class M4, 3.55% 12/25/34 (e) | 787,000 | 788,648 | |
Series 2005-HE1: | |||
Class A3B, 3.07% 12/25/34 (e) | 3,885,000 | 3,890,214 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Morgan Stanley ABS Capital I, Inc.: - continued | |||
Series 2005-HE1: | |||
Class M1, 3.3% 12/25/34 (e) | $ 1,100,000 | $ 1,104,411 | |
Class M2, 3.32% 12/25/34 (e) | 2,970,000 | 2,991,811 | |
Series 2005-HE2: | |||
Class M1, 3.1713% 1/25/35 (e) | 2,665,000 | 2,665,000 | |
Class M2, 3.2113% 1/25/35 (e) | 1,900,000 | 1,900,000 | |
Series 2005-NC1: | |||
Class M1, 3.29% 1/25/35 (e) | 2,425,000 | 2,436,718 | |
Class M2, 3.32% 1/25/35 (e) | 2,425,000 | 2,429,184 | |
Class M3, 3.36% 1/25/35 (e) | 2,425,000 | 2,429,151 | |
Morgan Stanley Dean Witter Capital I Trust: | |||
Series 2001-AM1: | |||
Class M1, 3.7% 2/25/32 (e) | 1,510,288 | 1,521,369 | |
Class M2, 4.25% 2/25/32 (e) | 10,149,500 | 10,247,986 | |
Series 2001-NC3 Class M2, 4.35% 10/25/31 (e) | 3,421,505 | 3,448,485 | |
Series 2001-NC4: | |||
Class M1, 3.85% 1/25/32 (e) | 3,827,881 | 3,852,321 | |
Class M2, 4.5% 1/25/32 (e) | 1,645,000 | 1,657,533 | |
Series 2002-AM3 Class A3, 3.34% 2/25/33 (e) | 2,335,787 | 2,341,460 | |
Series 2002-HE1 Class M1, 3.45% 7/25/32 (e) | 2,700,000 | 2,722,985 | |
Series 2002-HE2: | |||
Class M1, 3.55% 8/25/32 (e) | 9,925,000 | 9,984,594 | |
Class M2, 4.1% 8/25/32 (e) | 1,550,000 | 1,561,553 | |
Series 2002-NC3 Class A3, 3.19% 8/25/32 (e) | 1,312,836 | 1,316,867 | |
Series 2002-NC5 Class M3, 4.65% 10/25/32 (e) | 920,000 | 941,259 | |
Series 2002-OP1 Class M1, 3.6% 9/25/32 (e) | 1,545,000 | 1,557,643 | |
Series 2003-NC1: | |||
Class M1, 3.9% 11/25/32 (e) | 2,555,000 | 2,578,763 | |
Class M2, 4.9% 11/25/32 (e) | 1,880,000 | 1,904,715 | |
New Century Home Equity Loan Trust: | |||
Series 2003-2: | |||
Class A2, 3.28% 1/25/33 (e) | 1,053,899 | 1,054,938 | |
Class M2, 4.85% 1/25/33 (e) | 4,600,000 | 4,683,841 | |
Series 2003-6 Class M1, 3.57% 1/25/34 (e) | 5,180,000 | 5,219,817 | |
Series 2005-1: | |||
Class M1, 3.3% 3/25/35 (e) | 4,395,000 | 4,398,716 | |
Class M2, 3.33% 3/25/35 (e) | 4,395,000 | 4,400,501 | |
Class M3, 3.37% 3/25/35 (e) | 2,120,000 | 2,123,508 | |
Nissan Auto Lease Trust: | |||
Series 2003-A Class A3A, 2.95% 6/15/09 (e) | 17,318,284 | 17,336,503 | |
Series 2004-A Class A4A, 2.88% 6/15/10 (e) | 10,570,000 | 10,583,529 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
NovaStar Home Equity Loan Series 2004-1: | |||
Class M1, 3.3% 6/25/34 (e) | $ 1,450,000 | $ 1,451,233 | |
Class M4, 3.825% 6/25/34 (e) | 2,435,000 | 2,442,912 | |
Ocala Funding LLC Series 2005-1A Class A, 1.5% 3/20/10 (e) | 3,675,000 | 3,675,000 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M1, 3.48% 9/25/34 (e) | 2,940,000 | 2,960,090 | |
Class M2, 3.53% 9/25/34 (e) | 1,755,000 | 1,767,303 | |
Class M3, 4.1% 9/25/34 (e) | 3,355,000 | 3,400,666 | |
Class M4, 4.3% 9/25/34 (e) | 4,700,000 | 4,781,652 | |
Series 2004-WCW2 Class A2, 3.23% 10/25/34 (e) | 10,791,937 | 10,837,645 | |
Series 2005-WCH1: | |||
Class A3B, 3.07% 1/25/35 (e) | 2,775,000 | 2,780,987 | |
Class M2, 3.37% 1/25/35 (e) | 4,175,000 | 4,180,466 | |
Class M3, 3.41% 1/25/35 (e) | 3,290,000 | 3,297,108 | |
Class M5, 3.73% 1/25/35 (e) | 3,095,000 | 3,105,532 | |
Class M6, 3.83% 1/25/35 (e) | 2,320,000 | 2,324,884 | |
Providian Gateway Master Trust Series 2002-B Class A, 3.51% 6/15/09 (b)(e) | 15,000,000 | 15,073,278 | |
Residential Asset Mortgage Products, Inc. Series 2004-RS10 Class MII2, 4.1% 10/25/34 (e) | 5,500,000 | 5,575,248 | |
Salomon Brothers Mortgage Securities VII, Inc. | 1,451,404 | 1,459,096 | |
Saxon Asset Securities Trust Series 2004-2 Class MV1, 3.43% 8/25/35 (e) | 4,495,000 | 4,513,654 | |
Sears Credit Account Master Trust II: | |||
Series 2001-1 Class B, 3.235% 2/15/10 (e) | 10,000,000 | 9,981,212 | |
Series 2002-4: | |||
Class A, 2.94% 8/18/09 (e) | 27,000,000 | 27,012,679 | |
Class B, 3.235% 8/18/09 (e) | 33,300,000 | 33,328,838 | |
Series 2002-5 Class B, 4.06% 11/17/09 (e) | 30,000,000 | 30,135,054 | |
Securitized Asset Backed Receivables LLC Trust | 2,910,000 | 2,914,262 | |
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 3.21% 2/25/34 (e) | 1,284,379 | 1,284,367 | |
Superior Wholesale Inventory Financing Trust VII | 10,835,000 | 10,851,935 | |
Asset-Backed Securities - continued | |||
Principal | Value | ||
Terwin Mortgage Trust: | |||
Series 2003-4HE Class A1, 3.28% 9/25/34 (e) | $ 4,105,859 | $ 4,131,296 | |
Series 2003-6HE Class A1, 3.32% 11/25/33 (e) | 2,313,175 | 2,318,896 | |
Triad Auto Receivables Owner Trust Series 2002-A Class A3, 2.62% 2/12/07 | 1,699,359 | 1,698,567 | |
TOTAL ASSET-BACKED SECURITIES (Cost $2,171,521,740) | 2,181,555,212 | ||
Collateralized Mortgage Obligations - 17.9% | |||
Private Sponsor - 13.9% | |||
Adjustable Rate Mortgage Trust floater: | |||
Series 2004-2 Class 7A3, 3.25% 2/25/35 (e) | 11,370,948 | 11,411,489 | |
Series 2004-4 Class 5A2, 3.25% 3/25/35 (e) | 4,668,273 | 4,680,724 | |
Series 2005-1 Class 5A2, 3.18% 5/25/35 (e) | 7,571,771 | 7,581,531 | |
Series 2005-2: | |||
Class 6A2, 3.13% 6/25/35 (e) | 3,524,222 | 3,526,563 | |
Class 6M2, 3.33% 6/25/35 (e) | 10,145,000 | 10,145,000 | |
Series 2005-3 Class 8A2, 3.09% 6/25/35 (e) | 21,950,000 | 21,950,000 | |
Bear Stearns Alt-A Trust floater: | |||
Series 2005-1 Class A1, 3.13% 1/25/35 (e) | 22,997,870 | 22,997,870 | |
Series 2005-2 Class 1A1, 3.1% 3/25/35 (e) | 17,141,711 | 17,141,711 | |
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 3.25% 5/25/33 (e) | 7,327,945 | 7,328,403 | |
Countrywide Home Loans, Inc. floater: | |||
Series 2004-16 Class A1, 3.25% 9/25/34 (e) | 12,187,480 | 12,175,382 | |
Series 2005-1 Class 2A1, 3.14% 3/25/35 (e) | 16,084,008 | 16,084,008 | |
CS First Boston Mortgage Securities Corp.: | |||
floater: | |||
Series 2004-AR2 Class 6A1, 3.25% 3/25/34 (e) | 6,914,979 | 6,912,064 | |
Series 2004-AR3 Class 6A2, 3.22% 4/25/34 (e) | 3,045,795 | 3,049,416 | |
Series 2004-AR4 Class 5A2, 3.22% 5/25/34 (e) | 2,873,565 | 2,871,950 | |
Series 2004-AR5 Class 11A2, 3.22% 6/25/34 (e) | 4,166,627 | 4,157,852 | |
Series 2004-AR6 Class 9A2, 3.22% 10/25/34 (e) | 5,212,783 | 5,219,716 | |
Series 2004-AR7 Class 6A2, 3.23% 8/25/34 (e) | 7,541,887 | 7,550,525 | |
Series 2004-AR8 Class 8A2, 3.23% 9/25/34 (e) | 6,124,106 | 6,137,238 | |
Series 2001-AR7 Class 3A2, 5.24% 2/25/41 (e) | 194,473 | 195,321 | |
Series 2003-TFLA Class F, 3.3233% 4/15/13 (b)(e) | 3,750,000 | 3,759,054 | |
First Horizon Mortgage Passthru Trust floater Series 2004-FL1 Class 2A1, 3.0663% 12/25/34 (e) | 6,005,575 | 5,996,169 | |
Granite Master Issuer PLC floater Series 2005-1: | |||
Class A3, 3.13% 12/21/24 (e) | 5,300,000 | 5,300,000 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
Private Sponsor - continued | |||
Granite Master Issuer PLC floater Series 2005-1: - continued | |||
Class B1, 3.18% 12/21/54 (e) | $ 7,050,000 | $ 7,050,000 | |
Class M1, 3.28% 12/21/54 (e) | 5,300,000 | 5,300,000 | |
Granite Mortgages PLC floater: | |||
Series 2004-1: | |||
Class 1B, 3.26% 3/20/44 (e) | 1,415,000 | 1,415,495 | |
Class 1C, 3.95% 3/20/44 (e) | 4,075,000 | 4,094,397 | |
Class 1M, 3.46% 3/20/44 (e) | 1,875,000 | 1,877,888 | |
Series 2004-2: | |||
Class 1A2, 3.12% 6/20/28 (e) | 6,500,000 | 6,498,217 | |
Class 1B, 3.22% 6/20/44 (e) | 1,230,000 | 1,230,431 | |
Class 1C, 3.75% 6/20/44 (e) | 4,475,000 | 4,483,566 | |
Class 1M, 3.33% 6/20/44 (e) | 3,285,000 | 3,285,128 | |
Series 2004-3: | |||
Class 1B, 3.21% 9/20/44 (e) | 2,100,000 | 2,101,260 | |
Class 1C, 3.64% 9/20/44 (e) | 5,415,000 | 5,432,870 | |
Class 1M, 3.32% 9/20/44 (e) | 1,200,000 | 1,200,960 | |
Harborview Mortgage Loan Trust Series 2005-2 Class 2A1A, 3.14% 4/19/35 (c)(e) | 12,015,000 | 12,015,000 | |
Holmes Financing No. 7 PLC floater Series 2 Class M, 3.44% 7/15/40 (e) | 2,560,000 | 2,575,188 | |
Holmes Financing No. 8 PLC floater: | |||
Series 1: | |||
Class B, 2.77% 7/15/40 (e) | 2,050,000 | 2,049,359 | |
Class C, 3.26% 7/15/40 (e) | 22,640,000 | 22,640,000 | |
Series 2: | |||
Class A, 2.72% 4/15/11 (e) | 25,000,000 | 25,005,860 | |
Class B, 2.83% 7/15/40 (e) | 2,695,000 | 2,696,684 | |
Class C, 3.36% 7/15/40 (e) | 10,280,000 | 10,328,188 | |
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.3% 10/25/34 (e) | 5,115,185 | 5,136,903 | |
Impac CMB Trust floater: | |||
Series 2004-11 Class 2A2, 3.22% 3/25/35 (e) | 9,850,944 | 9,865,182 | |
Series 2004-6 Class 1A2, 3.24% 10/25/34 (e) | 4,193,143 | 4,188,866 | |
Series 2005-1: | |||
Class M1, 3.31% 4/25/35 (e) | 3,519,520 | 3,521,720 | |
Class M2, 3.35% 4/25/35 (e) | 6,161,639 | 6,165,490 | |
Class M3, 3.38% 4/25/35 (e) | 1,511,907 | 1,512,556 | |
Class M4, 3.6% 4/25/35 (e) | 892,273 | 893,597 | |
Class M5, 3.62% 4/25/35 (e) | 892,273 | 893,040 | |
Class M6, 3.67% 4/25/35 (e) | 1,427,636 | 1,428,863 | |
Series 2005-2 Class 1A2, 3.075% 4/25/35 (e) | 14,100,000 | 14,100,000 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
Private Sponsor - continued | |||
Impac CMB Trust floater: - continued | |||
Series 2005-3 Class A1, 3.07% 7/25/35 (c)(e) | $ 16,000,000 | $ 16,000,000 | |
MASTR Adjustable Rate Mortgages Trust: | |||
floater Series 2005-1 Class 1A1, 2.92% 3/25/35 (e) | 16,003,595 | 16,003,595 | |
Series 2004-6 Class 4A2, 4.1779% 7/25/34 (e) | 5,969,000 | 5,933,634 | |
Merrill Lynch Mortgage Investors, Inc. floater: | |||
Series 2003-A Class 2A1, 3.24% 3/25/28 (e) | 9,865,620 | 9,933,025 | |
Series 2003-B Class A1, 3.19% 4/25/28 (e) | 9,742,079 | 9,803,996 | |
Series 2003-D Class A, 3.16% 8/25/28 (e) | 9,106,205 | 9,130,723 | |
Series 2003-E Class A2, 3.4425% 10/25/28 (e) | 12,969,465 | 12,981,843 | |
Series 2003-F Class A2, 3.7075% 10/25/28 (e) | 15,296,465 | 15,316,532 | |
Series 2004-A Class A2, 3.6175% 4/25/29 (e) | 14,031,574 | 13,836,050 | |
Series 2004-B Class A2, 2.8669% 6/25/29 (e) | 11,493,624 | 11,466,308 | |
Series 2004-C Class A2, 3.07% 7/25/29 (e) | 16,071,219 | 16,026,697 | |
Series 2004-D Class A2, 3.4725% 9/25/29 (e) | 11,859,831 | 11,871,748 | |
Series 2004-E Class A2D, 3.9175% 11/25/29 (e) | 2,293,082 | 2,293,082 | |
Series 2004-G Class A2, 3.07% 11/25/29 (e) | 4,726,330 | 4,726,330 | |
Series 2005-A Class A2, 3.38% 2/25/30 (e) | 11,906,862 | 11,906,838 | |
Mortgage Asset Backed Securities Trust floater Series 2002-NC1: | |||
Class A2, 3.29% 10/25/32 (e) | 1,304,276 | 1,305,057 | |
Class M1, 3.7% 10/25/32 (e) | 5,000,000 | 5,030,152 | |
MortgageIT Trust floater Series 2004-2: | |||
Class A1, 3.22% 12/25/34 (e) | 5,337,014 | 5,345,425 | |
Class A2, 3.3% 12/25/34 (e) | 7,220,101 | 7,264,800 | |
Permanent Financing No. 1 PLC floater Series 1 Class 2C, 3.64% 6/10/42 (e) | 1,745,000 | 1,754,682 | |
Permanent Financing No. 3 PLC floater Series 2 Class C, 3.51% 6/10/42 (e) | 2,895,000 | 2,925,081 | |
Permanent Financing No. 4 PLC floater Series 2 Class C, 3.18% 6/10/42 (e) | 15,400,000 | 15,399,701 | |
Permanent Financing No. 5 PLC floater: | |||
Series 1 Class C, 2.96% 6/10/42 (e) | 2,810,000 | 2,810,878 | |
Series 2 Class C, 3.11% 6/10/42 (e) | 4,215,000 | 4,243,978 | |
Series 3 Class C, 3.28% 6/10/42 (e) | 8,890,000 | 8,995,569 | |
Permanent Financing No. 6 PLC floater Series 6: | |||
Class 1C, 2.81% 6/10/42 (e) | 4,000,000 | 3,998,125 | |
Class 2C, 2.91% 6/10/42 (e) | 5,350,000 | 5,345,821 | |
Permanent Financing No. 7 PLC floater Series 7: | |||
Class 1B, 3.1037% 6/10/42 (e) | 2,000,000 | 2,000,000 | |
Class 1C, 3.2937% 6/1/42 (e) | 3,840,000 | 3,840,000 | |
Class 2C, 3.3437% 6/10/42 (e) | 8,065,000 | 8,065,000 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
Private Sponsor - continued | |||
Residential Asset Mortgage Products, Inc. sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31 | $ 5,484,170 | $ 5,580,614 | |
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-A: | |||
Class B4, 4.39% 3/10/35 (b)(e) | 5,526,571 | 5,622,261 | |
Class B5, 4.94% 3/10/35 (b)(e) | 5,719,482 | 5,834,666 | |
Residential Funding Securities Corp.: | |||
Series 2003-RP1 Class A1, 3.35% 11/25/34 (e) | 4,178,514 | 4,203,599 | |
Series 2003-RP2 Class A1, 3.3% 6/25/33 (b)(e) | 4,746,924 | 4,763,443 | |
Sequoia Mortgage Trust floater: | |||
Series 2003-5 Class A2, 3.41% 9/20/33 (e) | 13,468,160 | 13,458,472 | |
Series 2003-7 Class A2, 2.885% 1/20/34 (e) | 12,303,683 | 12,293,353 | |
Series 2004-1 Class A, 3.2025% 2/20/34 (e) | 7,803,067 | 7,779,419 | |
Series 2004-10 Class A4, 2.58% 11/20/34 (e) | 12,856,417 | 12,849,948 | |
Series 2004-3 Class A, 3.54625% 5/20/34 (e) | 13,451,901 | 13,398,545 | |
Series 2004-4 Class A, 2.4613% 5/20/34 (e) | 17,574,007 | 17,521,046 | |
Series 2004-5 Class A3, 2.82% 6/20/34 (e) | 11,479,856 | 11,479,856 | |
Series 2004-6: | |||
Class A3A, 3.0175% 6/20/35 (e) | 10,120,544 | 10,106,253 | |
Class A3B, 3.16% 7/20/34 (e) | 1,265,068 | 1,263,381 | |
Series 2004-7: | |||
Class A3A, 3.2275% 8/20/34 (e) | 9,202,764 | 9,189,062 | |
Class A3B, 3.4525% 7/20/34 (e) | 1,655,990 | 1,667,970 | |
Series 2004-8 Class A2, 3.45% 9/20/34 (e) | 16,690,870 | 16,713,757 | |
Series 2005-1 Class A2, 3.1688% 2/20/35 (e) | 8,344,974 | 8,344,974 | |
Series 2005-2 Class A2, 3.36% 3/20/35 (e) | 16,327,821 | 16,327,821 | |
Structured Asset Securities Corp. floater Series 2004-NP1 | 3,270,782 | 3,272,955 | |
Thornburg Mortgage Securities Trust floater Series 2004-3 Class A, 3.22% 9/25/34 (e) | 24,755,148 | 24,820,715 | |
WAMU Mortgage pass thru certificates Series 2005-AR6 | 6,305,000 | 6,305,000 | |
Wells Fargo Mortgage Backed Securities Trust Series 2004-M Class A3, 4.717% 8/25/34 (e) | 19,880,000 | 19,838,218 | |
TOTAL PRIVATE SPONSOR | 833,348,692 | ||
U.S. Government Agency - 4.0% | |||
Fannie Mae: | |||
floater: | |||
Series 2000-38 Class F, 3.3338% 11/18/30 (e) | 1,331,411 | 1,341,544 | |
Series 2000-40 Class FA, 3.35% 7/25/30 (e) | 2,866,935 | 2,879,836 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
U.S. Government Agency - continued | |||
Fannie Mae: - continued | |||
floater: | |||
Series 2002-89 Class F, 3.15% 1/25/33 (e) | $ 4,316,143 | $ 4,322,511 | |
planned amortization class Series 2002-81 Class PU, 4.5% 5/25/20 | 2,580,731 | 2,576,826 | |
target amortization class Series G94-2 Class D, 6.45% 1/25/24 | 5,479,825 | 5,632,832 | |
Fannie Mae guaranteed REMIC pass thru certificates: | |||
floater: | |||
Series 2001-34 Class FR, 3.2338% 8/18/31 (e) | 2,755,442 | 2,764,796 | |
Series 2001-44 Class FB, 3.15% 9/25/31 (e) | 2,575,995 | 2,583,212 | |
Series 2001-46 Class F, 3.2338% 9/18/31 (e) | 7,418,865 | 7,461,790 | |
Series 2002-11 Class QF, 3.35% 3/25/32 (e) | 5,238,473 | 5,281,217 | |
Series 2002-36 Class FT, 3.35% 6/25/32 (e) | 1,706,122 | 1,721,426 | |
Series 2002-64 Class FE, 3.1838% 10/18/32 (e) | 2,582,004 | 2,592,299 | |
Series 2002-65 Class FA, 3.15% 10/25/17 (e) | 3,176,172 | 3,164,979 | |
Series 2002-74 Class FV, 3.3% 11/25/32 (e) | 9,449,678 | 9,521,974 | |
Series 2003-11: | |||
Class DF, 3.3% 2/25/33 (e) | 3,954,769 | 3,983,351 | |
Class EF, 3.3% 2/25/33 (e) | 3,275,031 | 3,295,907 | |
Series 2003-63 Class F1, 3.15% 11/25/27 (e) | 7,122,660 | 7,124,784 | |
planned amortization class: | |||
Series 1998-63 Class PG, 6% 3/25/27 | 1,927,001 | 1,930,435 | |
Series 2001-56 Class KD, 6.5% 7/25/30 | 597,828 | 597,734 | |
Series 2001-62 Class PG, 6.5% 10/25/30 | 6,999,460 | 7,049,891 | |
Series 2001-70 Class PD, 6% 3/25/29 | 1,085,052 | 1,083,255 | |
Series 2001-76 Class UB, 5.5% 10/25/13 | 2,724,858 | 2,739,455 | |
Series 2002-16 Class QD, 5.5% 6/25/14 | 552,313 | 557,226 | |
Series 2002-28 Class PJ, 6.5% 3/25/31 | 7,485,419 | 7,517,107 | |
Series 2002-8 Class PD, 6.5% 7/25/30 | 6,011,529 | 6,080,138 | |
Series 2003-17 Class PQ, 4.5% 3/25/16 | 4,301,909 | 4,299,631 | |
Series 2004-33 Class ZK, 4.5% 4/25/34 | 584,951 | 583,697 | |
Series 2004-37 Class ZB, 4.5% 5/25/34 | 500,542 | 499,618 | |
Freddie Mac: | |||
floater Series 2510 Class FE, 3.21% 10/15/32 (e) | 6,656,907 | 6,697,004 | |
planned amortization class: | |||
Series 2091 Class PP, 6% 2/15/27 | 3,579,368 | 3,588,499 | |
Series 2353 Class PC, 6.5% 9/15/15 | 2,132,055 | 2,144,482 | |
Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 3.01% 7/15/31 (e) | 5,760,857 | 5,769,919 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value | ||
U.S. Government Agency - continued | |||
Freddie Mac Multi-class participation certificates guaranteed: | |||
floater: | |||
Series 2474 Class FJ, 3.16% 7/15/17 (e) | $ 5,215,452 | $ 5,240,218 | |
Series 2526 Class FC, 3.21% 11/15/32 (e) | 4,415,645 | 4,430,149 | |
Series 2538 Class FB, 3.21% 12/15/32 (e) | 7,380,293 | 7,426,498 | |
Series 2551 Class FH, 3.26% 1/15/33 (e) | 3,897,537 | 3,914,355 | |
planned amortization class: | |||
Series 2136 Class PE, 6% 1/15/28 | 15,868,777 | 15,993,174 | |
Series 2368 Class PQ, 6.5% 8/15/30 | 114,092 | 113,939 | |
Series 2394 Class ND, 6% 6/15/27 | 3,477,512 | 3,505,553 | |
Series 2395 Class PE, 6% 2/15/30 | 8,725,839 | 8,854,298 | |
Series 2398 Class DK, 6.5% 1/15/31 | 708,070 | 711,509 | |
Series 2410 Class ML, 6.5% 12/15/30 | 3,886,935 | 3,933,835 | |
Series 2420 Class BE, 6.5% 12/15/30 | 5,268,823 | 5,320,699 | |
Series 2443 Class TD, 6.5% 10/15/30 | 5,269,758 | 5,336,099 | |
Series 2461 Class PG, 6.5% 1/15/31 | 4,738,701 | 4,865,457 | |
Series 2466 Class EC, 6% 10/15/27 | 1,699,395 | 1,700,117 | |
Series 2483 Class DC, 5.5% 7/15/14 | 6,087,979 | 6,119,320 | |
Series 2490 Class PM, 6% 7/15/28 | 1,708,230 | 1,711,496 | |
Series 2556 Class PM, 5.5% 2/15/16 | 3,610,154 | 3,616,223 | |
Series 2557 Class MA, 4.5% 7/15/16 | 1,036,491 | 1,037,339 | |
Series 2776 Class UJ, 4.5% 5/15/20 (f) | 7,918,792 | 462,941 | |
Series 2828 Class JA, 4.5% 1/15/10 | 11,880,000 | 11,958,754 | |
sequential pay: | |||
Series 2430 Class ZE, 6.5% 8/15/27 | 1,361,827 | 1,366,505 | |
Series 2480 Class QW, 5.75% 2/15/30 | 2,349,804 | 2,354,359 | |
Ginnie Mae guaranteed REMIC pass thru securities floater: | |||
Series 2001-46 Class FB, 3.17% 5/16/23 (e) | 3,298,341 | 3,314,670 | |
Series 2001-50 Class FV, 3.02% 9/16/27 (e) | 10,175,793 | 10,164,551 | |
Series 2002-24 Class FX, 3.37% 4/16/32 (e) | 3,051,744 | 3,083,442 | |
Series 2002-31 Class FW, 3.22% 6/16/31 (e) | 4,168,683 | 4,192,894 | |
Series 2002-5 Class KF, 3.22% 8/16/26 (e) | 943,686 | 944,446 | |
TOTAL U.S. GOVERNMENT AGENCY | 239,060,215 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,073,560,219) | 1,072,408,907 | ||
Commercial Mortgage Securities - 7.2% | |||
Principal | Value | ||
1301 Avenue of The Americas Trust Series 2000-1301: | |||
Class C, 7.688% 8/3/10 (b)(e) | $ 5,025,000 | $ 5,091,632 | |
Class D, 7.7913% 8/3/10 (b)(e) | 6,695,000 | 6,785,124 | |
Banc of America Large Loan, Inc. floater: | |||
Series 2002-FL2A Class A2, 3.0656% 9/8/14 (b)(e) | 6,448,060 | 6,448,969 | |
Series 2003-BBA2 Class A3, 3.13% 11/15/15 (b)(e) | 5,038,226 | 5,045,234 | |
Series 2005-BOCA: | |||
Class H, 3.78% 12/15/16 (b)(e) | 2,065,000 | 2,066,613 | |
Class J, 3.93% 12/15/16 (b)(e) | 1,020,000 | 1,021,116 | |
Class K, 4.18% 12/15/16 (b)(e) | 1,795,000 | 1,796,963 | |
Bayview Commercial Asset Trust floater: | |||
Series 2003-1 Class A, 3.43% 8/25/33 (b)(e) | 7,309,568 | 7,367,245 | |
Series 2003-2: | |||
Class A, 3.43% 12/25/33 (b)(e) | 14,813,451 | 14,912,980 | |
Class M1, 3.7% 12/25/33 (b)(e) | 2,410,651 | 2,440,973 | |
Series 2004-1: | |||
Class A, 3.21% 4/25/34 (b)(e) | 6,798,776 | 6,778,061 | |
Class B, 4.75% 4/25/34 (b)(e) | 706,366 | 705,180 | |
Class M1, 3.41% 4/25/34 (b)(e) | 618,071 | 616,936 | |
Class M2, 4.05% 4/25/34 (b)(e) | 529,775 | 529,547 | |
Series 2004-2: | |||
Class A, 3.28% 8/25/34 (b)(e) | 6,641,374 | 6,645,525 | |
Class M1, 3.43% 8/25/34 (b)(e) | 2,141,466 | 2,144,143 | |
Series 2004-3: | |||
Class A1, 3.22% 1/25/35 (b)(e) | 6,793,764 | 6,796,949 | |
Class A2, 3.27% 1/25/35 (b)(e) | 944,235 | 944,972 | |
Class M1, 3.35% 1/25/35 (b)(e) | 1,132,294 | 1,132,294 | |
Class M2, 3.85% 1/25/35 (b)(e) | 738,453 | 738,453 | |
Bear Stearns Commercial Mortgage Securities, Inc. floater: | |||
Series 2003-BA1A: | |||
Class A1, 3.08% 4/14/15 (b)(e) | 3,716,738 | 3,716,764 | |
Class JFCM, 4.4% 4/14/15 (b)(e) | 1,344,296 | 1,345,976 | |
Class JMM, 4.3% 4/14/15 (b)(e) | 1,384,053 | 1,381,861 | |
Class KFCM, 4.65% 4/14/15 (b)(e) | 1,436,661 | 1,438,008 | |
Class KMM, 4.55% 4/14/15 (b)(e) | 1,253,767 | 1,253,109 | |
Class LFCM, 5.05% 4/14/15 (b)(e) | 1,601,905 | 1,603,407 | |
Class MFCM, 5.35% 4/14/15 (b)(e) | 2,218,251 | 2,220,331 | |
Series 2003-WEST Class A, 3.32% 1/3/15 (b)(e) | 13,026,434 | 13,064,915 | |
Series 2004-BBA3 Class E, 3.51% 6/15/17 (b)(e) | 10,415,000 | 10,416,505 | |
Series 2004-ESA Class A2, 3.14% 5/14/16 (b)(e) | 6,565,000 | 6,579,836 | |
Series 2004-HS2A: | |||
Class E, 3.7% 1/14/16 (b)(e) | 1,725,000 | 1,730,688 | |
Class F, 3.85% 1/14/16 (b)(e) | 1,125,000 | 1,128,707 | |
Commercial Mortgage Securities - continued | |||
Principal | Value | ||
Calwest Industrial Trust floater Series 2002-CALW Class AFL, 3.19% 2/15/12 (b)(e) | $ 24,300,000 | $ 24,351,066 | |
Chase Commercial Mortgage Securities Corp. floater | |||
Class B, 3.25% 12/12/13 (b)(e) | 896,672 | 896,915 | |
Class C, 3.6% 12/12/13 (b)(e) | 1,793,345 | 1,795,183 | |
COMM floater: | |||
Series 2001-FL5A Class E, 4.31% 11/15/13 (b)(e) | 3,205,357 | 3,204,320 | |
Series 2002-FL6: | |||
Class F, 4.26% 6/14/14 (b)(e) | 11,163,000 | 11,206,816 | |
Class G, 4.71% 6/14/14 (b)(e) | 5,000,000 | 5,019,783 | |
Series 2002-FL7 Class A2, 3.16% 11/15/14 (b)(e) | 942,949 | 943,463 | |
Series 2003-FL9 Class B, 3.31% 11/15/15 (b)(e) | 12,999,016 | 13,032,192 | |
Commercial Mortgage pass thru certificates floater: | |||
Series 2004-CNL: | |||
Class A2, 3.11% 9/15/14 (b)(e) | 3,570,000 | 3,574,564 | |
Class G, 3.79% 9/15/14 (b)(e) | 1,345,000 | 1,346,709 | |
Class H, 3.89% 9/15/14 (b)(e) | 1,430,000 | 1,431,815 | |
Class J, 4.41% 9/15/14 (b)(e) | 490,000 | 490,619 | |
Class K, 4.81% 9/15/14 (b)(e) | 770,000 | 770,969 | |
Class L, 5.01% 9/15/14 (b)(e) | 625,000 | 624,895 | |
Series 2004-HTL1: | |||
Class B, 3.26% 7/15/16 (b)(e) | 501,320 | 501,818 | |
Class D, 3.36% 7/15/16 (b)(e) | 1,139,116 | 1,139,379 | |
Class E, 3.56% 7/15/16 (b)(e) | 815,391 | 815,837 | |
Class F, 3.61% 7/15/16 (b)(e) | 862,895 | 863,650 | |
Class H, 4.11% 7/15/16 (b)(e) | 2,501,991 | 2,504,810 | |
Class J, 4.26% 7/15/16 (b)(e) | 961,742 | 962,824 | |
Class K, 5.16% 7/15/16 (b)(e) | 1,082,578 | 1,082,413 | |
Commercial Mortgage Pass-Through Certificates floater | |||
Class B, 3.08% 4/15/17 (b)(e) | 7,080,000 | 7,080,000 | |
Class C, 3.12% 4/15/17 (b)(e) | 3,006,000 | 3,006,000 | |
Class D, 3.16% 4/15/17 (b)(e) | 2,440,000 | 2,440,000 | |
Class E, 3.22% 4/15/17 (b)(e) | 1,821,000 | 1,821,000 | |
Class F, 3.26% 4/15/17 (b)(e) | 1,035,000 | 1,035,000 | |
Class G, 3.4% 4/15/17 (b)(e) | 1,035,000 | 1,035,000 | |
Class H, 3.47% 4/15/17 (b)(e) | 1,035,000 | 1,035,000 | |
Class I, 3.7% 4/15/17 (b)(e) | 335,000 | 335,000 | |
Class MOA3, 3.18% 3/15/20 (b)(e) | 4,590,000 | 4,590,000 | |
Commercial Mortgage Securities - continued | |||
Principal | Value | ||
CS First Boston Mortgage Securities Corp.: | |||
floater: | |||
Series 2001-TFLA Class G, 4.56% 12/15/11 (b)(e) | $ 3,720,000 | $ 3,689,310 | |
Series 2002-TFLA Class C, 3.3938% 11/18/12 (b)(e) | 3,675,000 | 3,687,238 | |
Series 2003-TF2A Class A2, 3.13% 11/15/14 (b)(e) | 9,500,000 | 9,507,807 | |
Series 2004-FL1 Class B, 3.26% 5/15/14 (b)(e) | 11,230,000 | 11,238,904 | |
Series 2004-HC1: | |||
Class A2, 3.31% 12/15/21 (b)(e) | 1,475,000 | 1,474,997 | |
Class B, 3.56% 12/15/21 (b)(e) | 3,835,000 | 3,834,992 | |
Series 2004-TFL1: | |||
Class A2, 3% 2/15/14 (b)(e) | 7,005,000 | 7,008,907 | |
Class E, 3.36% 2/15/14 (b)(e) | 2,800,000 | 2,806,083 | |
Class F, 3.41% 2/15/14 (b)(e) | 2,325,000 | 2,330,868 | |
Class G, 3.66% 2/15/14 (b)(e) | 1,875,000 | 1,879,719 | |
Class H, 3.91% 2/15/14 (b)(e) | 1,400,000 | 1,406,304 | |
Class J, 4.21% 2/15/14 (b)(e) | 750,000 | 753,997 | |
Series 2005-TFLA: | |||
Class C, 3.05% 2/15/20 (b)(c)(e) | 5,650,000 | 5,650,000 | |
Class E, 3.14% 2/15/20 (b)(c)(e) | 2,055,000 | 2,055,000 | |
Class F, 3.19% 2/15/20 (b)(c)(e) | 1,745,000 | 1,745,000 | |
Class G, 3.33% 2/15/20 (b)(c)(e) | 505,000 | 505,000 | |
Class H, 3.56% 2/15/20 (b)(c)(e) | 715,000 | 715,000 | |
sequential pay: | |||
Series 1997-C2 Class A2, 6.52% 1/17/35 | 698,737 | 711,783 | |
Series 2003-TFLA Class A2, 3.18% 4/15/13 (b)(e) | 7,205,000 | 7,205,352 | |
Series 2003-TFLA Class G, 3.3233% 4/15/13 (b)(e) | 2,095,000 | 2,048,964 | |
GMAC Commercial Mortgage Securities, Inc. floater | 500,000 | 499,353 | |
Greenwich Capital Commercial Funding Corp. floater | 2,172,566 | 2,172,566 | |
ISTAR Asset Receivables Trust floater Series 2002-1A Class A2, 3.07% 5/28/20 (b)(e) | 3,189,990 | 3,190,523 | |
John Hancock Tower Mortgage Trust floater Series 2003-C5A Class B, 4.9085% 4/10/15 (b)(e) | 8,245,000 | 8,150,339 | |
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | |||
Series 2003-C4A: | |||
Class F, 5.0213% 7/11/15 (b)(e) | 1,232,313 | 1,233,147 | |
Class H, 5.7713% 7/11/15 (b)(e) | 12,525,233 | 12,583,952 | |
Series 2003-LLFA: | |||
Class A2, 3.19% 12/16/14 (b)(e) | 11,700,000 | 11,714,139 | |
Commercial Mortgage Securities - continued | |||
Principal | Value | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: - continued | |||
Series 2003-LLFA: - continued | |||
Class B, 3.4% 12/16/14 (b)(e) | $ 4,615,000 | $ 4,632,447 | |
Class C, 3.5% 12/16/14 (b)(e) | 4,982,000 | 5,005,573 | |
Morgan Stanley Dean Witter Capital I Trust floater: | |||
Series 2001-XLF: | |||
Class A2, 3.2956% 10/7/13 (b)(e) | 3,489,876 | 3,492,152 | |
Class D, 4.2656% 10/7/13 (b)(e) | 1,172,220 | 1,173,360 | |
Class F, 4.6856% 10/7/13 (b)(e) | 6,431,229 | 6,325,299 | |
Class G1, 5.4956% 10/7/13 (b)(e) | 6,000,000 | 6,000,000 | |
Series 2002-XLF Class F, 4.8956% 8/5/14 (b)(e) | 7,794,782 | 7,794,762 | |
Salomon Brothers Mortgage Securities VII, Inc.: | |||
floater: | |||
Series 2001-CDCA: | |||
Class C, 3.61% 2/15/13 (b)(e) | 10,495,000 | 10,429,507 | |
Class D, 3.61% 2/15/13 (b)(e) | 4,000,000 | 3,987,711 | |
Series 2003-CDCA: | |||
Class HEXB, 4.71% 2/15/15 (b)(e) | 770,000 | 770,963 | |
Class JEXB, 4.91% 2/15/15 (b)(e) | 1,300,000 | 1,301,625 | |
Class KEXB, 5.31% 2/15/15 (b)(e) | 960,000 | 961,200 | |
Series 2000-NL1 Class E, 6.8139% 10/15/30 (b)(e) | 4,345,000 | 4,423,296 | |
SDG Macerich Properties LP floater Series 2000-1 Class A3, 3.15% 5/15/09 (b)(e) | 18,000,000 | 18,015,840 | |
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 3.33% 3/24/18 (b)(e) | 7,861,169 | 7,861,169 | |
Wachovia Bank Commercial Mortgage Trust floater: | |||
Series 2004-WHL3: | |||
Class A2, 2.99% 3/15/14 (b)(e) | 3,510,000 | 3,512,434 | |
Class E, 3.31% 3/15/14 (b)(e) | 2,190,000 | 2,194,824 | |
Class F, 3.36% 3/15/14 (b)(e) | 1,755,000 | 1,758,774 | |
Class G, 3.59% 3/15/14 (b)(e) | 875,000 | 877,821 | |
Series 2005-WL5A: | |||
Class KHP1, 3.24% 1/15/18 (b)(c)(e) | 1,745,000 | 1,745,000 | |
Class KHP2, 3.44% 1/15/18 (b)(c)(e) | 1,745,000 | 1,745,000 | |
Class KHP3, 3.74% 1/15/18 (b)(c)(e) | 2,060,000 | 2,060,000 | |
Class KHP4, 3.84% 1/15/18 (b)(c)(e) | 1,600,000 | 1,600,000 | |
Class KHP5, 4.04% 1/15/18 (b)(c)(e) | 1,855,000 | 1,855,000 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $433,328,311) | 434,149,057 | ||
Master Notes - 0.4% | |||
Principal | Value | ||
General Motors Acceptance Corp. Mortgage Credit 0% 4/11/05 (h) | $ 24,000,000 | $ 23,928,312 | |
Cash Equivalents - 21.9% | |||
Maturity | |||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 2.87%, dated 3/31/05 due 4/1/05) (i) | $ 813,122,871 | 813,058,000 | |
With: | |||
Goldman Sachs & Co. at 2.98%, dated 3/23/05 due 5/24/05 (Collateralized by Mortgage Loan Obligations with principal amounts of $411,181,612, 1.87%- 4.5%, 6/25/33 - 8/10/42) (e)(g) | 266,360,039 | 265,081,700 | |
Morgan Stanley & Co. at 2.96%, dated 3/31/05 due 4/1/05 (Collateralized by Commercial Paper Obligations with principal amounts of $393,683,597, 0.99%- 5.91%, 6/9/05 - 12/15/41) | 235,019,322 | 235,000,000 | |
TOTAL CASH EQUIVALENTS (Cost $1,313,058,000) | 1,313,139,700 | ||
TOTAL INVESTMENT PORTFOLIO - 91.5% (Cost $5,478,564,659) | 5,487,710,904 | ||
NET OTHER ASSETS - 8.5% | 508,951,664 | ||
NET ASSETS - 100% | $ 5,996,662,568 |
Futures Contracts | |||||
Expiration | Underlying | Unrealized | |||
Sold | |||||
Eurodollar Contracts | |||||
201 Eurodollar 90 Day Index Contracts | June 2005 | $ 199,233,713 | $ (21,949) | ||
123 Eurodollar 90 Day Index Contracts | Sept. 2005 | 121,777,687 | 21,525 | ||
69 Eurodollar 90 Day Index Contracts | Dec. 2005 | 68,269,462 | 26,497 | ||
18 Eurodollar 90 Day Index Contracts | March 2006 | 17,802,900 | 6,985 | ||
4 Eurodollar 90 Day Index Contracts | June 2006 | 3,955,100 | (1,966) | ||
TOTAL EURODOLLAR CONTRACTS | 31,092 | ||||
Swap Agreements | |||||
Expiration | Notional | Value | |||
Credit Default Swap | |||||
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 | $ 119,016 |
Legend |
(a) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(b) 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 $588,890,844 or 9.8% of net assets. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) 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 $4,993,250. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(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. |
(g) The maturity amount is based on the rate at period end. |
(h) 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 $23,928,312 or 0.4% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition | Acquisition |
General Motors Acceptance Corp. Mortgage Credit 0% 4/11/05 | 3/7/05 | $ 23,928,320 |
(i) Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement/ | Value |
$813,058,000 due 4/1/05 at 2.87% | |
Banc of America Securities LLC. | $54,575,727 |
Bank of America, National Association | 59,000,786 |
Barclays Capital Inc. | 234,112,788 |
Bear Stearns & Co. Inc. | 59,000,786 |
Countrywide Securities Corporation | 59,000,786 |
Goldman Sachs & Co. | 88,501,179 |
Morgan Stanley & Co. Incorporated. | 67,113,394 |
UBS Securities LLC | 191,752,554 |
$ 813,058,000 |
Income Tax Information |
At September 30, 2004, the fund had a capital loss carryforward of approximately $7,150,344 all of which will expire on September 30, 2011. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
March 31, 2005 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $1,313,139,700) (cost $5,478,564,659) - - See accompanying schedule | $ 5,487,710,904 | |
Cash | 74,135 | |
Receivable for investments sold | 591,044,634 | |
Interest receivable | 12,390,551 | |
Swap agreements, at value | 119,016 | |
Prepaid expenses | 19,441 | |
Other affiliated receivables | 19,479,219 | |
Other receivables | 441,355 | |
Total assets | 6,111,279,255 | |
Liabilities | ||
Payable for investments purchased | $ 7,930,286 | |
Delayed delivery | 90,771,426 | |
Distributions payable | 15,826,451 | |
Payable for daily variation on futures contracts | 45,013 | |
Other payables and accrued expenses | 43,511 | |
Total liabilities | 114,616,687 | |
Net Assets | $ 5,996,662,568 | |
Net Assets consist of: | ||
Paid in capital | $ 5,992,630,198 | |
Undistributed net investment income | 39,934 | |
Accumulated undistributed net realized gain (loss) on investments | (5,303,917) | |
Net unrealized appreciation (depreciation) on investments | 9,296,353 | |
Net Assets, for 60,248,500 shares outstanding | $ 5,996,662,568 | |
Net Asset Value, offering price and redemption price per share ($5,996,662,568 ÷ 60,248,500 shares) | $ 99.53 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended March 31, 2005 | ||
Investment Income | ||
Interest | $ 76,108,082 | |
Expenses | ||
Independent trustees' compensation | $ 14,627 | |
Custodian fees and expenses | 35,987 | |
Audit | 41,756 | |
Legal | 517 | |
Insurance | 13,402 | |
Miscellaneous | 1,101 | |
Total expenses before reductions | 107,390 | |
Expense reductions | (10,488) | 96,902 |
Net investment income | 76,011,180 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 628,418 | |
Futures contracts | (727,564) | |
Swap agreements | 53,893 | |
Total net realized gain (loss) | (45,253) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (237,585) | |
Futures contracts | 1,957,357 | |
Swap agreements | (23,240) | |
Total change in net unrealized appreciation (depreciation) | 1,696,532 | |
Net gain (loss) | 1,651,279 | |
Net increase (decrease) in net assets resulting from operations | $ 77,662,459 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 76,011,180 | $ 96,578,023 |
Net realized gain (loss) | (45,253) | 570,327 |
Change in net unrealized appreciation (depreciation) | 1,696,532 | (1,274,088) |
Net increase (decrease) in net assets resulting | 77,662,459 | 95,874,262 |
Distributions to shareholders from net investment income | (76,703,390) | (95,065,187) |
Share transactions | 1,325,999,886 | 1,177,968,042 |
Cost of shares redeemed | (826,000,007) | (670,518,554) |
Net increase (decrease) in net assets resulting from share transactions | 499,999,879 | 507,449,488 |
Total increase (decrease) in net assets | 500,958,948 | 508,258,563 |
Net Assets | ||
Beginning of period | 5,495,703,620 | 4,987,445,057 |
End of period (including undistributed net investment income of $39,934 and undistributed net investment income of $732,144, respectively) | $ 5,996,662,568 | $ 5,495,703,620 |
Other Information Shares | ||
Sold | 13,324,366 | 11,828,509 |
Redeemed | (8,299,490) | (6,734,152) |
Net increase (decrease) | 5,024,876 | 5,094,357 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended September 30, | ||||
2005 | 2004 | 2003 | 2002 H | 2001 E, H | |
Selected Per-Share Data | |||||
Net asset value, | $ 99.52 | $ 99.49 | $ 99.15 | $ 100.00 | $ 100.00 |
Income from Investment Operations | |||||
Net investment income D | 1.336 | 1.764 | 1.917 | 3.022 | .900 |
Net realized and unrealized gain (loss) | .017 | .000 G | .450 | (.743) | .000 G |
Total from investment operations | 1.353 | 1.764 | 2.367 | 2.279 | .900 |
Distributions from net investment income | (1.343) | (1.734) | (2.027) | (3.129) | (.900) |
Net asset value, | $ 99.53 | $ 99.52 | $ 99.49 | $ 99.15 | $ 100.00 |
Total Return B, C | 1.37% | 1.79% | 2.36% | 2.39% | .90% |
Ratios to Average Net Assets F | |||||
Expenses before expense reductions | .0038% A | .0034% | .0030% | .0033% | .0189% A |
Expenses net of voluntary waivers, if any | .0038% A | .0034% | .0030% | .0033% | .0189% A |
Expenses net of all reductions | .0034% A | .0032% | .0026% | .0021% | .0189% A |
Net investment income | 2.69% A | 1.77% | 1.94% | 3.05% | 4.73% A |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $ 5,996,663 | $ 5,495,704 | $ 4,987,445 | $ 2,232,319 | $ 799,132 |
Portfolio turnover rate | 38% A | 50% | 58% | 167% | 282% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E 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 Amount represents less than $.001 per share.
H 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, 2005
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 a diversified 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, including restricted 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.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Semiannual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, financing transactions, capital loss carryforwards, and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 14,685,735 | |
Unrealized depreciation | (4,866,502) | |
Net unrealized appreciation (depreciation) | $ 9,819,233 | |
Cost for federal income tax purposes | $ 5,477,891,671 |
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 which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
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
Semiannual Report
Notes to Financial Statements - continued
2. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the fund's Schedule of Investments. The fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
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 a fund's exposure to the underlying instrument, while selling futures tends to decrease a 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 counterparties 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
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. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts.
Mortgage Dollar Rolls. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $865,115,575 and $496,107,528 respectively.
Semiannual Report
Notes to Financial Statements - continued
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. The fund's activity in this program during the period for which loans were outstanding was as follows:
Borrower or Lender | Average Daily | Weighted Average | Interest Earned | Interest |
Lender | $ 9,051,081 | 2.48% | $ 46,231 | - |
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 $10,488.
6. Other.
The fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is considered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the fund.
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Garrison Street Trust and Shareholders of Fidelity Ultra-Short Central Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Ultra-Short Central Fund (the Fund), a fund of Fidelity Garrison Street Trust, including the portfolio of investments, as of March 31, 2005, and the related statement of operations for the six months then ended, the statement of changes in net assets for the six months ended March 31, 2005 and the year ended September 30, 2004, and the financial highlights for the periods presented. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purposes of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2005, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Ultra-Short Central Fund as of March 31, 2005, the results of its operations for the six months then ended, the changes in its net assets for the six months ended March 31, 2005 and the year ended September 30, 2004, and its financial highlights for the periods presented, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 16, 2005
Semiannual Report
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Garrison Street Trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Garrison Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Garrison Street Trust
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | May 20, 2005 |
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: | May 20, 2005 |
By: | /s/Timothy F. Hayes |
Timothy F. Hayes | |
Chief Financial Officer | |
Date: | May 20, 2005 |