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, 2007 |
Item 1. Reports to Stockholders
Fidelity® Money Market
Central Fund
Semiannual Report
March 31, 2007
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.
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Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
CFM-SANN-0507 461521.1.0
1.756671.106
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including 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, 2006 to March 31, 2007).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,027.10 | $ .05 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.88 | $ .05 |
* Expenses are equal to the Fund's annualized expense ratio of .0100%; 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 investments 3/31/07 | % of fund's investments 9/30/06 | % of fund's investments 3/31/06 |
0 - 30 | 60.8 | 61.6 | 66.2 |
31 - 90 | 22.3 | 22.0 | 22.0 |
91 - 180 | 5.4 | 9.9 | 5.4 |
181 - 397 | 11.5 | 6.5 | 6.4 |
Weighted Average Maturity | |||
3/31/07 | 9/30/06 | 3/31/06 | |
Fidelity Money Market Central Fund | 60 Days | 50 Days | 44 Days |
All Taxable Money Market Funds Average* | 40 Days | 41 Days | 38 Days |
Asset Allocation (% of fund's net assets) | |||||||
As of March 31, 2007 | As of September 30, 2006 | ||||||
![]() | Corporate Bonds 0.0% | ![]() | Corporate Bonds 1.5% | ||||
![]() | Commercial Paper 11.8% | ![]() | Commercial Paper 14.0% | ||||
![]() | Bank CDs, BAs, | ![]() | Bank CDs, BAs, | ||||
![]() | Government | ![]() | Government | ||||
![]() | Repurchase | ![]() | Repurchase | ||||
![]() | Other Investments 1.8% | ![]() | Other Investments 0.7% | ||||
![]() | Net Other Assets** (1.0)% | ![]() | Net Other Assets** (0.4)% |
** Net Other Assets are not included in the pie chart.
* Source: iMoneyNet, Inc.
Semiannual Report
Investments March 31, 2007 (Unaudited)
Showing Percentage of Net Assets
Certificates of Deposit - 28.3% | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Domestic Certificates Of Deposit - 0.1% | ||||
Countrywide Bank, Alexandria Virginia | ||||
4/16/07 | 5.35% (d) | $ 800,000 | $ 799,970 | |
London Branch, Eurodollar, Foreign Banks - 5.6% | ||||
Credit Agricole SA | ||||
4/18/07 | 5.36 | 5,000,000 | 5,000,000 | |
Credit Industriel et Commercial | ||||
4/10/07 to 7/30/07 | 5.25 to 5.37 | 18,000,000 | 18,000,000 | |
Landesbank Hessen-Thuringen | ||||
7/23/07 | 5.36 | 5,000,000 | 5,000,000 | |
Societe Generale | ||||
4/17/07 to 1/3/08 | 5.30 to 5.35 | 10,000,000 | 10,000,000 | |
38,000,000 | ||||
New York Branch, Yankee Dollar, Foreign Banks - 22.6% | ||||
Bank Tokyo-Mitsubishi UFJ Ltd. | ||||
8/8/07 | 5.36 | 4,000,000 | 4,000,000 | |
Barclays Bank PLC | ||||
4/16/08 | 5.35 | 6,000,000 | 6,000,000 | |
BNP Paribas SA | ||||
4/17/07 to 10/2/07 | 5.30 to 5.45 | 14,000,000 | 14,000,000 | |
Canadian Imperial Bank of Commerce | ||||
4/16/07 | 5.41 (d) | 9,000,000 | 9,000,000 | |
Credit Suisse First Boston | ||||
4/23/07 to 6/15/07 | 5.32 to 5.34 (d) | 23,000,000 | 23,000,000 | |
Credit Suisse Group | ||||
6/4/07 | 5.40 to 5.43 | 10,000,000 | 10,000,000 | |
Deutsche Bank AG | ||||
6/4/07 to 11/21/07 | 5.40 to 5.41 (d) | 14,000,000 | 14,000,000 | |
Fortis Banque SA | ||||
6/26/07 | 5.33 | 4,000,000 | 4,000,000 | |
HBOS Treasury Services PLC | ||||
4/17/07 to 5/23/07 | 5.35 to 5.36 | 8,000,000 | 8,000,000 | |
Landesbank Baden-Wuert | ||||
4/13/07 | 5.35 | 3,000,000 | 3,000,005 | |
Certificates of Deposit - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
New York Branch, Yankee Dollar, Foreign Banks - continued | ||||
Mizuho Corporate Bank Ltd. | ||||
4/16/07 to 5/14/07 | 5.32 to 5.34% | $ 3,000,000 | $ 3,000,000 | |
Natexis Banques Populaires NY CD | ||||
12/12/07 to 1/29/08 | 5.40 to 5.45 | 25,000,000 | 25,000,000 | |
Societe Generale | ||||
1/16/08 to 4/2/08 | 5.36 to 5.42 (c) | 15,000,000 | 15,000,000 | |
Sumitomo Mitsui Banking Corp. | ||||
4/18/07 | 5.38 | 1,200,000 | 1,200,000 | |
UniCredito Italiano Spa, New York | ||||
4/30/07 | 5.32 (d) | 15,000,000 | 14,997,870 | |
154,197,875 | ||||
TOTAL CERTIFICATES OF DEPOSIT | 192,997,845 | |||
Commercial Paper - 11.8% | ||||
American Wtr. Cap. Corp. | ||||
4/20/07 to 5/17/07 | 5.42 to 5.45 (b) | 2,249,000 | 2,238,037 | |
Apache Corp. | ||||
4/30/07 | 5.37 (b) | 1,000,000 | 995,698 | |
Bavaria TRR Corp. | ||||
4/12/07 | 5.32 | 1,000,000 | 998,381 | |
Beta Finance, Inc. | ||||
4/23/07 | 5.37 (b) | 8,000,000 | 7,974,431 | |
Burlington Northern Santa Fe Corp. | ||||
4/30/07 to 5/17/07 | 5.38 (b) | 2,000,000 | 1,988,929 | |
Capital One Multi-Asset Execution Trust | ||||
5/3/07 | 5.32 | 1,000,000 | 995,333 | |
ConocoPhillips Qatar Funding Ltd. | ||||
4/13/07 to 6/20/07 | 5.37 to 5.43 (b) | 2,000,000 | 1,986,459 | |
Countrywide Financial Corp. | ||||
4/12/07 to 6/21/07 | 5.33 to 5.37 | 5,500,000 | 5,467,374 | |
CVS Corp. | ||||
4/4/07 | 5.38 | 500,000 | 499,776 | |
DaimlerChrysler NA Holding Corp. | ||||
4/4/07 to 5/11/07 | 5.38 to 5.44 | 3,500,000 | 3,486,915 | |
Commercial Paper - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Davis Square Funding V Corp. | ||||
4/4/07 | 5.31% | $ 5,000,000 | $ 4,997,796 | |
Devon Energy Corp. | ||||
4/12/07 to 8/16/07 | 5.34 to 5.44 | 3,000,000 | 2,961,493 | |
Dominion Resources, Inc. | ||||
4/26/07 | 5.35 | 1,000,000 | 996,302 | |
Fortune Brands, Inc. | ||||
4/9/07 to 5/11/07 | 5.37 to 5.39 | 1,750,000 | 1,744,608 | |
Giro Funding US Corp. | ||||
5/3/07 | 5.34 | 1,000,000 | 995,316 | |
Grampian Funding LLC | ||||
7/9/07 | 5.34 | 10,000,000 | 9,856,450 | |
Harrier Finance Funding LLC | ||||
6/14/07 | 5.33 (b) | 3,000,000 | 2,967,748 | |
Hypo Real Estate Bank International AG | ||||
4/5/07 to 4/12/07 | 5.37 | 2,000,000 | 1,997,792 | |
Kellogg Co. | ||||
4/18/07 | 5.36 | 500,000 | 498,742 | |
Liberty Harbour II CDO Ltd./LLC | ||||
5/25/07 | 5.35 (b) | 5,000,000 | 4,960,400 | |
Michigan Gen. Oblig. | ||||
10/4/07 | 5.41 | 1,600,000 | 1,600,000 | |
Motown Notes Program | ||||
5/7/07 to 6/12/07 | 5.35 to 5.37 | 2,000,000 | 1,984,150 | |
Nissan Motor Acceptance Corp. | ||||
5/2/07 to 6/20/07 | 5.37 | 500,000 | 495,910 | |
Rockies Express Pipeline LLC | ||||
4/13/07 to 6/22/07 | 5.43 to 5.44 (b) | 3,000,000 | 2,980,505 | |
Textron Financial Corp. | ||||
4/19/07 | 5.34 | 1,000,000 | 997,340 | |
The Walt Disney Co. | ||||
4/23/07 | 5.35 | 1,000,000 | 996,767 | |
Time Warner Cable, Inc. | ||||
4/10/07 to 5/7/07 | 5.38 to 5.40 | 4,140,000 | 4,126,029 | |
Time Warner, Inc. | ||||
4/17/07 to 5/3/07 | 5.38 (b) | 1,250,000 | 1,244,668 | |
Commercial Paper - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
UniCredito Italiano Bank (Ireland) PLC | ||||
4/10/07 | 5.35% | $ 2,000,000 | $ 1,997,398 | |
Virginia Electric & Power Co. | ||||
4/2/07 to 4/26/07 | 5.35 to 5.37 | 2,000,000 | 1,996,588 | |
Weatherford International Ltd. | ||||
4/3/07 to 4/27/07 | 5.35 (b) | 1,500,000 | 1,496,003 | |
Whirlpool Corp. | ||||
5/31/07 | 5.38 | 500,000 | 495,575 | |
Wisconsin Energy Corp. | ||||
5/18/07 | 5.36 | 250,000 | 248,267 | |
Xcel Energy, Inc. | ||||
4/13/07 | 5.56 | 1,000,000 | 998,197 | |
TOTAL COMMERCIAL PAPER | 80,265,377 | |||
Master Notes - 3.9% | ||||
Asset Funding Co. III LLC | ||||
4/5/07 | 5.38 to 5.39 (d)(g) | 10,000,000 | 10,000,000 | |
Bear Stearns & Co., Inc. | ||||
9/26/07 | 5.38 (d) | 4,000,000 | 4,000,000 | |
Goldman Sachs Group, Inc. | ||||
5/30/07 | 5.41 (d)(g) | 7,000,000 | 7,000,000 | |
Lehman Brothers Holdings, Inc. | ||||
4/11/07 to 7/30/07 | 5.43 to 5.59 (d)(g) | 3,000,000 | 3,000,000 | |
Lehman Commercial Paper, Inc. | ||||
4/3/07 | 5.46 (c)(d)(g) | 3,000,000 | 3,000,000 | |
TOTAL MASTER NOTES | 27,000,000 | |||
Medium-Term Notes - 38.6% | ||||
AIG Matched Funding Corp. | ||||
5/15/07 | 5.35 (d) | 10,000,000 | 10,000,000 | |
5/15/07 to 11/15/07 | 5.35 to 5.37 (b)(d) | 9,000,000 | 9,000,000 | |
Allstate Life Global Funding II | ||||
4/27/07 | 5.33 (b)(d) | 1,000,000 | 1,000,000 | |
ASIF Global Financing XXX | ||||
4/23/07 | 5.34 (b)(d) | 9,000,000 | 9,000,000 | |
Medium-Term Notes - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Bank of New York Co., Inc. | ||||
4/27/07 | 5.38% (b)(d) | $ 5,000,000 | $ 5,000,000 | |
Bayerische Landesbank Girozentrale | ||||
4/16/07 to 5/21/07 | 5.37 to 5.40 (d) | 10,000,000 | 10,000,000 | |
BellSouth Corp. | ||||
4/26/07 | 5.34 (b) | 5,000,000 | 4,996,053 | |
BMW U.S. Capital LLC | ||||
4/16/07 | 5.32 (d) | 1,000,000 | 1,000,000 | |
Caixa Catalunya | ||||
6/7/07 | 5.34 (d) | 3,000,000 | 3,000,000 | |
Caja Madrid SA | ||||
4/19/07 | 5.36 (d) | 3,000,000 | 3,000,000 | |
Compagnie Financiere du Credit Mutuel | ||||
6/11/07 | 5.36 (d) | 2,000,000 | 2,000,000 | |
ConocoPhillips | ||||
4/11/07 | 5.36 (d) | 2,000,000 | 2,000,000 | |
Countrywide Bank, Alexandria Virginia | ||||
4/15/07 to 4/23/07 | 5.33 (d) | 2,000,000 | 1,999,915 | |
Countrywide Financial Corp. | ||||
4/11/07 | 5.52 (d) | 250,000 | 250,008 | |
Cullinan Finance Corp. | ||||
5/27/07 to 6/25/07 | 5.32 to 5.46 (b)(d) | 6,000,000 | 5,999,594 | |
Cullinan Finance Ltd./Corp. MTN 144A | ||||
10/15/07 | 5.41 (b) | 2,000,000 | 2,000,000 | |
General Electric Capital Corp. | ||||
4/10/07 to 4/17/07 | 5.36 to 5.45 (d) | 32,500,000 | 32,501,885 | |
Genworth Life Insurance Co. | ||||
4/2/07 | 5.40 (d)(g) | 5,000,000 | 5,000,000 | |
Harrier Finance Funding LLC | ||||
4/11/07 to 6/20/07 | 5.31 to 5.33 (b)(d) | 2,000,000 | 1,999,763 | |
HBOS Treasury Services PLC | ||||
6/25/07 | 5.42 (d) | 5,000,000 | 5,000,000 | |
HSBC Finance Corp. | ||||
4/24/07 | 5.37 (d) | 3,000,000 | 3,000,000 | |
HSH Nordbank AG | ||||
4/23/07 | 5.33 to 5.35 (b)(d) | 8,000,000 | 7,999,995 | |
Medium-Term Notes - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
ING USA Annuity & Life Insurance Co. | ||||
6/25/07 | 5.44% (d)(g) | $ 2,000,000 | $ 2,000,000 | |
K2 (USA) LLC | ||||
6/11/07 | 5.30 (b)(d) | 2,000,000 | 1,999,912 | |
Merrill Lynch & Co., Inc. | ||||
4/11/07 to 4/16/07 | 5.33 to 5.57 (d) | 11,000,000 | 11,004,440 | |
Metropolitan Life Global Funding I | ||||
4/9/07 | 5.36 (b)(d) | 2,626,000 | 2,626,000 | |
Morgan Stanley | ||||
4/2/07 to 6/7/07 | 5.36 to 5.47 (d) | 25,997,000 | 25,998,341 | |
Nordea Bank AB | ||||
4/2/07 | 5.26 (d) | 5,000,000 | 4,999,507 | |
Pacific Life Global Funding | ||||
4/5/07 | 5.37 (b)(d) | 2,000,000 | 2,000,652 | |
RACERS | ||||
4/23/07 | 5.34 (b)(d) | 10,000,000 | 10,000,000 | |
SBC Communications, Inc. | ||||
6/5/07 | 5.51 (b) | 1,025,000 | 1,022,621 | |
Security Life of Denver Insurance Co. | ||||
5/29/07 | 5.45 (d)(g) | 1,000,000 | 1,000,000 | |
Sigma Finance, Inc. | ||||
4/16/07 to 6/11/07 | 5.30 to 5.32 (b)(d) | 6,000,000 | 5,999,836 | |
Skandinaviska Enskilda Banken AB | ||||
4/10/07 to 6/8/07 | 5.27 to 5.32 (d) | 11,000,000 | 10,999,484 | |
SLM Corp. | ||||
4/16/07 | 5.33 (b)(d) | 1,000,000 | 1,000,000 | |
UniCredito Italiano Bank (Ireland) PLC | ||||
4/16/07 | 5.33 (b)(d) | 6,500,000 | 6,499,996 | |
4/30/07 | 5.29 (d) | 5,000,000 | 4,999,756 | |
UniCredito Italiano Spa, New York | ||||
5/20/07 | 5.33 (d) | 6,000,000 | 5,999,245 | |
Verizon Communications, Inc. | ||||
6/15/07 | 5.35 (d) | 4,000,000 | 4,000,000 | |
Vodafone Group PLC | ||||
6/29/07 | 5.41 (d) | 2,000,000 | 1,999,990 | |
Medium-Term Notes - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Washington Mutual Bank | ||||
5/29/07 to 6/26/07 | 5.34 to 5.35% (d) | $ 8,000,000 | $ 7,999,999 | |
Washington Mutual Bank FA | ||||
4/20/07 | 5.30 (d) | 500,000 | 499,996 | |
4/30/07 | 5.34 (b)(d) | 8,000,000 | 8,000,000 | |
Wells Fargo & Co. | ||||
4/16/07 | 5.33 (d) | 10,000,000 | 10,000,000 | |
WestLB AG | ||||
4/10/07 to 6/29/07 | 5.38 to 5.40 (b)(d) | 7,000,000 | 7,000,000 | |
TOTAL MEDIUM-TERM NOTES | 263,396,988 | |||
Short-Term Notes - 0.7% | ||||
New York Life Insurance Co. | ||||
4/1/07 | 5.44 (d)(g) | 5,000,000 | 5,000,000 | |
Asset-Backed Securities - 1.8% | ||||
Aardvark ABS CDO | ||||
2/6/08 | 5.40 (b)(d) | 3,000,000 | 3,000,000 | |
Master Funding Trust I | ||||
4/25/07 to 9/25/07 | 5.35 (d) | 5,000,000 | 5,000,000 | |
PASA Funding 2007 Ltd. | ||||
4/7/08 | 5.34 (b)(d) | 4,000,000 | 4,000,000 | |
TOTAL ASSET-BACKED SECURITIES | 12,000,000 | |||
Municipal Securities - 1.5% | ||||
Connecticut Hsg. Fin. Auth. Series F2, VRDN | ||||
4/6/07 | 5.32 (d) | 7,580,000 | 7,580,000 | |
Puerto Rico Commonwealth Gen. Oblig. Participating VRDN Series PA 1376R | ||||
4/6/07 | 3.64 (d)(e) | 2,000,000 | 2,000,000 | |
Texas Red River Ed. Fin. Corp. Ed. Rev. VRDN | ||||
4/6/07 | 3.63 | 1,000,000 | 1,000,000 | |
TOTAL MUNICIPAL SECURITIES | 10,580,000 |
Repurchase Agreements - 14.4% | |||
Maturity Amount | Value | ||
In a joint trading account at 5.41% dated 3/30/07 due 4/2/07 (Collateralized by U.S. Government Obligations) # | $ 475,214 | $ 475,000 | |
With: | |||
Citigroup Global Markets, Inc. At 5.49%, dated 3/30/07 due 4/2/07 (Collateralized by Commercial Paper Obligations valued at $26,520,001, 0%, 4/5/07 - 6/29/07) | 26,011,890 | 26,000,000 | |
Deutsche Bank Securities, Inc. At: | |||
5.35%, dated: | |||
1/29/07 due 4/30/07 (Collateralized by Corporate Obligations valued at $3,150,000, 5.45%, 1/15/27) | 3,040,571 | 3,000,000 | |
3/2/07 due 4/2/07 (Collateralized by Corporate Obligations valued at $3,060,000, 6.52%, 8/27/36) | 3,013,821 | 3,000,000 | |
5.37%, dated: | |||
1/19/07 due 4/19/07 (Collateralized by Mortgage Loan Obligations valued at $2,100,000, 5.68%, 4/25/36) | 2,026,850 | 2,000,000 | |
2/12/07 due 5/14/07 (Collateralized by Mortgage Loan Obligations valued at $4,200,000, 5.5%, 5/25/35) | 4,054,297 | 4,000,000 | |
2/13/07 due 5/15/07 (Collateralized by Corporate Obligations valued at $4,080,000, 4.75%, 4/1/14) | 4,054,297 | 4,000,000 | |
Goldman Sachs & Co. At 5.54%, dated 2/21/07 due 5/24/07 (Collateralized by Corporate Obligations valued at $7,350,000, 6%, 9/1/14) (d)(f) | 7,099,060 | 7,000,000 | |
J.P. Morgan Securities, Inc. At: | |||
5.51%, dated 3/30/07 due 4/2/07 (Collateralized by Mortgage Loan Obligations valued at $29,402,950, 6%, 11/25/36) | 28,012,851 | 28,000,000 | |
5.54%, dated 3/22/07 due 5/10/07 (Collateralized by Corporate Obligations valued at $5,269,474, 5.4% - 8.6%, 6/26/11 - 3/29/17) (d)(f) | 5,037,686 | 5,000,000 | |
Lehman Brothers, Inc. At: | |||
5.33%, dated: | |||
3/15/07 due 4/30/07 (Collateralized by Corporate Obligations valued at $2,043,838, 0% - 7%, 4/25/34 - 10/28/46) | 2,013,621 | 2,000,000 | |
3/20/07 due 4/27/07 (Collateralized by Mortgage Loan Obligations valued at $2,100,040, 0.23%, 2/15/41) | 2,011,252 | 2,000,000 | |
5.37%, dated 3/15/07 due 4/30/07 (Collateralized by Mortgage Loan Obligations valued at $1,052,318, 5.69% - 7%, 12/25/33 - 8/28/35) | 1,006,862 | 1,000,000 | |
5.4%, dated 3/15/07 due 9/13/07 (Collateralized by Corporate Obligations valued at $2,104,158, 5.1% - 7.1%, 9/15/12 - 11/15/24) (d)(f) | 2,054,600 | 2,000,000 | |
Repurchase Agreements - continued | |||
Maturity Amount | Value | ||
With: - continued | |||
Merrill Lynch, Pierce, Fenner & Smith At 5.55%, dated 1/17/07 due 4/17/07 (Collateralized by Corporate Obligations valued at $4,214,667, 10%, | $ 4,055,475 | $ 4,000,000 | |
Morgan Stanley & Co. At 5.36%, dated 3/22/07 due 5/10/07 (Collateralized by Mortgage Loan Obligations valued at $5,318,540, 0.17% - 0.36%, 3/15/35 - 8/15/36) | 5,036,478 | 5,000,000 | |
TOTAL REPURCHASE AGREEMENTS | 98,475,000 | ||
TOTAL INVESTMENT PORTFOLIO - 101.0% (Cost $689,715,210) | 689,715,210 | ||
NET OTHER ASSETS - (1.0)% | (7,083,620) | ||
NET ASSETS - 100% | $ 682,631,590 |
Security Type Abbreviation |
VRDN - VARIABLE RATE DEMAND NOTE |
Legend |
(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating rate securities, 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 end of the period, the value of these securities amounted to $128,977,300 or 18.9% of net assets. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. Due dates for these security types are the next interest rate reset date or, when applicable, the final maturity date. |
(e) Provides evidence of ownership in one or more underlying municipal bonds. |
(f) The maturity amount is based on the rate at period end. |
(g) 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 $36,000,000 or 5.3% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Cost |
Asset Funding Co. III LLC: | 11/7/06 | $ 5,000,000 |
5.39%, 4/5/07 | 8/29/06 | $ 5,000,000 |
Genworth Life Insurance Co. | 7/31/06 | $ 5,000,000 |
Goldman Sachs Group, Inc. 5.41%, 5/30/07 | 8/26/04 | $ 7,000,000 |
ING USA Annuity & Life Insurance Co. 5.44%, 6/25/07 | 6/23/05 | $ 2,000,000 |
Lehman Brothers Holdings, Inc.: | 1/10/07 | $ 2,000,000 |
5.59%, 7/30/07 | 12/11/06 | $ 1,000,000 |
Lehman Commercial Paper, Inc. 5.46%, 4/3/07 | 3/29/07 | $ 3,000,000 |
New York Life Insurance Co. 5.44%, 4/1/07 | 2/28/02 | $ 5,000,000 |
Security Life of Denver Insurance Co. 5.45%, 5/29/07 | 8/26/05 | $ 1,000,000 |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$475,000 due 4/02/07 at 5.41% | |
Bank of America, NA | $ 120,307 |
Barclays Capital, Inc. | 120,307 |
Bear Stearns & Co., Inc. | 120,308 |
Greenwich Capital Markets, Inc. | 20,051 |
HSBC Securities (USA), Inc. | 40,102 |
UBS Securities LLC | 53,925 |
$ 475,000 |
Income Tax Information |
At September 30, 2006, the fund had a capital loss carryforward of approximately $137,760 of which $10,044, $7,239, $17,632 and $102,845 will expire on September 30, 2011, 2012, 2013 and 2014, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
March 31, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $98,475,000) - Unaffiliated issuers (cost $689,715,210) | $ 689,715,210 | |
Cash | 54,936 | |
Interest receivable | 5,039,532 | |
Prepaid expenses | 232 | |
Total assets | 694,809,910 | |
Liabilities | ||
Payable for investments purchased | $ 1,001,772 | |
Delayed delivery | 8,000,000 | |
Distributions payable | 3,153,398 | |
Other payables and accrued expenses | 23,150 | |
Total liabilities | 12,178,320 | |
Net Assets | $ 682,631,590 | |
Net Assets consist of: | ||
Paid in capital | $ 682,764,215 | |
Undistributed net investment income | 19,020 | |
Accumulated undistributed net realized gain (loss) on investments | (151,645) | |
Net Assets, for 682,758,973 shares outstanding | $ 682,631,590 | |
Net Asset Value, offering price and redemption price per share ($682,631,590 ÷ 682,758,973 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, 2007 (Unaudited) | ||
Investment Income | ||
Interest (including $16,708 from affiliated interfund lending) | $ 20,383,236 | |
Expenses | ||
Custodian fees and expenses | $ 9,786 | |
Independent trustees' compensation | 1,267 | |
Audit | 20,223 | |
Legal | 1,873 | |
Insurance | 4,559 | |
Miscellaneous | 43 | |
Total expenses before reductions | 37,751 | |
Expense reductions | (1,817) | 35,934 |
Net investment income | 20,347,302 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 21,438 | |
Net increase in net assets resulting from operations | $ 20,368,740 |
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 | $ 20,347,302 | $ 41,031,408 |
Net realized gain (loss) | 21,438 | 4,112 |
Net increase in net assets resulting from operations | 20,368,740 | 41,035,520 |
Distributions to shareholders from net investment income | (20,349,526) | (41,033,927) |
Affiliated share transactions at net asset value | - | 50,000,000 |
Reinvestment of distributions | 1,777,944 | 8,082,185 |
Cost of shares redeemed | (178,633,737) | (20,000,000) |
Net increase (decrease) in net assets and shares resulting from share transactions | (176,855,793) | 38,082,185 |
Total increase (decrease) in net assets | (176,836,579) | 38,083,778 |
Net Assets | ||
Beginning of period | 859,468,169 | 821,384,391 |
End of period (including undistributed net investment income of $19,020 and undistributed net investment income of $21,244, respectively) | $ 682,631,590 | $ 859,468,169 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended September 30, | |||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | 2002 | |
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 | .027 | .048 | .028 | .013 | .014 | .022 |
Distributions from net investment income | (.027) | (.048) | (.028) | (.013) | (.014) | (.022) |
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B, C | 2.71% | 4.86% | 2.80% | 1.27% | 1.43% | 2.24% |
Ratios to Average Net Assets D | ||||||
Expenses before reductions | .01% A | .01% | .01% | .01% | .01% | .01% |
Expenses net of fee waivers, if any | .01% A | .01% | .01% | .01% | .01% | .01% |
Expenses net of all reductions | .01% A | .01% | .01% | .01% | .01% | .01% |
Net investment income | 5.38% A | 4.76% | 2.77% | 1.27% | 1.42% | 2.24% |
Supplemental Data | ||||||
Net assets, | $ 682,632 | $ 859,468 | $ 821,384 | $ 817,994 | $ 816,443 | $ 765,618 |
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 Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended March 31, 2007 (Unaudited)
1. Organization.
Fidelity Money Market Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts (the investing funds) managed by Fidelity Management & Research Company (FMR), or its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates value.
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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company 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 capital loss carryforwards and losses deferred due to excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. 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 | $ 689,715,210 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
3. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. FIMM and FMR have entered into a service agreement under which FMR pays a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays Fidelity Service Company, Inc. (FSC), an affiliate of FMR, the fees for maintaining the accounting records of the Fund.
Effective April 1, 2007 the expense contract was amended whereby FMR will pay all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees and certain exceptions such as interest expense.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
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 affiliated funds. At period end, there were no interfund loans outstanding. 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 Rate |
Lender | $ 8,551,000 | 5.41% |
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 expenses by $1,817.
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
Semiannual Report
Semiannual Report
Semiannual Report
Fidelity® Ultra-Short
Central Fund
Semiannual Report
March 31, 2007
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
USC-SANN-0507 461660.1.0
1.771938.105
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2006 to March 31, 2007).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,024.80 | $ .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 .0036%; 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, 2007* | As of September 30, 2006** | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 29.0% | ![]() | AAA 22.5% | ||||
![]() | AA 16.6% | ![]() | AA 11.9% | ||||
![]() | A 10.9% | ![]() | A 10.6% | ||||
![]() | BBB 17.6% | ![]() | BBB 16.5% | ||||
![]() | BB and Below 0.6% | ![]() | BB and Below 0.0% | ||||
![]() | Not Rated 3.0% | ![]() | Not Rated 3.3% | ||||
![]() | 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, 2007 | ||
6 months ago | ||
Years | 1.9 | 1.7 |
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, 2007 | ||
6 months ago | ||
Years | 0.2 | 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, 2007* | As of September 30, 2006** | ||||||
![]() | Corporate Bonds 14.8% | ![]() | Corporate Bonds 10.4% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other Mortgage Related Securities 23.2% | ![]() | CMOs and Other Mortgage Related Securities 17.9% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 15.4% | ** Foreign investments | 14.5% | ||||
* Futures and Swaps | 9.3% | ** Futures and Swaps | 2.8% |
Semiannual Report
Investments March 31, 2007
Showing Percentage of Net Assets
Nonconvertible Bonds - 14.8% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 2.3% | ||||
Auto Components - 0.7% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.69% 3/13/09 (e) | $ 46,315,000 | $ 46,395,681 | ||
5.77% 3/13/09 (e) | 9,650,000 | 9,679,346 | ||
5.82% 9/10/07 (e) | 16,665,000 | 16,690,514 | ||
5.89% 10/31/08 (e) | 20,000,000 | 20,103,120 | ||
92,868,661 | ||||
Media - 1.3% | ||||
AOL Time Warner, Inc. 6.15% 5/1/07 | 23,650,000 | 23,656,267 | ||
Continental Cablevision, Inc. 9% 9/1/08 | 17,600,000 | 18,471,570 | ||
Cox Communications, Inc.: | ||||
(Reg. S) 5.905% 12/14/07 (e) | 16,340,000 | 16,389,265 | ||
5.61% 8/15/07 (a)(e) | 51,000,000 | 51,006,630 | ||
Time Warner, Inc.: | ||||
5.59% 11/13/09 (e) | 20,000,000 | 20,031,120 | ||
8.18% 8/15/07 | 19,416,000 | 19,581,288 | ||
Viacom, Inc. 5.7% 6/16/09 (e) | 20,000,000 | 20,054,940 | ||
169,191,080 | ||||
Multiline Retail - 0.3% | ||||
The May Department Stores Co. 7.9% 10/15/07 | 39,628,000 | 40,049,365 | ||
TOTAL CONSUMER DISCRETIONARY | 302,109,106 | |||
CONSUMER STAPLES - 0.2% | ||||
Food & Staples Retailing - 0.2% | ||||
Safeway, Inc.: | ||||
4.8% 7/16/07 | 3,810,000 | 3,800,414 | ||
7% 9/15/07 | 17,002,000 | 17,117,716 | ||
20,918,130 | ||||
ENERGY - 1.0% | ||||
Energy Equipment & Services - 0.2% | ||||
Cooper Cameron Corp. 2.65% 4/15/07 | 6,190,000 | 6,184,454 | ||
Transocean, Inc. 5.5475% 9/5/08 (e) | 22,600,000 | 22,623,956 | ||
28,808,410 | ||||
Oil, Gas & Consumable Fuels - 0.8% | ||||
Anadarko Petroleum Corp.: | ||||
3.25% 5/1/08 | 7,850,000 | 7,674,348 | ||
5.7549% 9/15/09 (e) | 21,000,000 | 21,044,667 | ||
6.625% 10/15/07 | 7,070,000 | 7,117,496 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Enterprise Products Operating LP 4% 10/15/07 | $ 12,585,000 | $ 12,493,268 | ||
Kinder Morgan Energy Partners LP 5.35% 8/15/07 | 10,180,000 | 10,171,999 | ||
Ocean Energy, Inc. 4.375% 10/1/07 | 28,560,000 | 28,406,119 | ||
Premcor Refining Group, Inc. 9.5% 2/1/13 | 17,100,000 | 18,510,750 | ||
105,418,647 | ||||
TOTAL ENERGY | 134,227,057 | |||
FINANCIALS - 7.8% | ||||
Capital Markets - 1.6% | ||||
Bear Stearns Companies, Inc. 5.55% 2/1/12 (e) | 12,240,000 | 12,190,869 | ||
Credit Suisse USA, Inc. 5.44% 11/20/09 (e) | 20,000,000 | 20,021,680 | ||
Lehman Brothers Holdings E-Capital Trust I 6.14% 8/19/65 (c)(e) | 12,220,000 | 12,364,489 | ||
Lehman Brothers Holdings, Inc. 5.46% 11/16/09 (e) | 25,000,000 | 24,987,200 | ||
Merrill Lynch & Co., Inc. 5.45% 8/14/09 (e) | 19,465,000 | 19,462,080 | ||
Morgan Stanley 5.61% 1/18/11 (e) | 33,100,000 | 33,187,185 | ||
Royal Bank of Scotland PLC: | ||||
5.66% 7/24/14 (e) | 42,690,000 | 42,860,760 | ||
5.76% 7/6/12 (e) | 11,800,000 | 11,806,431 | ||
VTB Capital SA 5.96% 8/1/08 (a)(e) | 35,000,000 | 35,017,500 | ||
211,898,194 | ||||
Commercial Banks - 2.5% | ||||
Australia & New Zealand Banking Group Ltd. 5.91% 2/4/13 (e) | 40,000,000 | 40,147,320 | ||
Bank of Scotland 5.86% 11/22/12 (e) | 70,000,000 | 70,194,600 | ||
Barclays Bank PLC: | ||||
5.56% 5/25/15 (e) | 13,260,000 | 13,271,324 | ||
5.76% 4/10/12 (e) | 52,000,000 | 52,001,040 | ||
HBOS plc 5.635% 2/6/14 (e) | 18,140,000 | 18,188,996 | ||
HSBC Holdings PLC 5.56% 10/6/16 (e) | 7,800,000 | 7,806,139 | ||
ING Bank NV 5.61% 10/14/14 (e) | 7,200,000 | 7,223,040 | ||
Manufacturers & Traders Trust Co. 3.85% 4/1/13 (e) | 6,250,000 | 6,173,638 | ||
PNC Funding Corp. 5.5% 1/31/12 (e) | 39,900,000 | 39,921,706 | ||
Santander Issuances SA Unipersonal 5.71% 6/20/16 (a)(e) | 19,500,000 | 19,516,673 | ||
Santander US Debt SA Unipersonal 5.42% 10/21/08 (a)(e) | 15,000,000 | 15,008,850 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
UniCredit Luxembourg Finance SA 5.7% 1/13/17 (a)(e) | $ 20,000,000 | $ 20,060,000 | ||
Wachovia Corp. 5.41% 12/1/09 (e) | 20,000,000 | 20,012,360 | ||
329,525,686 | ||||
Consumer Finance - 0.9% | ||||
Capital One Financial Corp. 5.62% 9/10/09 (e) | 21,510,000 | 21,563,001 | ||
General Electric Capital Corp. 5.42% 5/10/10 (e) | 47,155,000 | 47,149,954 | ||
MBNA Capital I 8.278% 12/1/26 | 6,295,000 | 6,590,173 | ||
MBNA Europe Funding PLC 5.43% 9/7/07 (a)(e) | 19,925,000 | 19,933,767 | ||
SLM Corp. 5.52% 7/26/10 (e) | 20,330,000 | 20,309,629 | ||
115,546,524 | ||||
Diversified Financial Services - 0.3% | ||||
BTM Curacao Holding NV 5.6756% 12/19/16 (a)(e) | 25,000,000 | 24,913,150 | ||
Tyco International Group SA Participation Certificate Trust 4.436% 6/15/07 (a) | 17,745,000 | 17,705,411 | ||
42,618,561 | ||||
Insurance - 0.2% | ||||
Monumental Global Funding III 5.53% 1/25/13 (a)(e) | 28,880,000 | 28,879,682 | ||
Real Estate Investment Trusts - 1.1% | ||||
Archstone-Smith Trust 5% 8/15/07 | 20,020,000 | 19,994,835 | ||
Colonial Properties Trust 7% 7/14/07 | 9,619,000 | 9,659,592 | ||
iStar Financial, Inc.: | ||||
5.69% 3/9/10 (e) | 28,000,000 | 28,011,620 | ||
5.9% 3/16/09 (e) | 24,395,000 | 24,545,102 | ||
Reckson Operating Partnership LP 6% 6/15/07 | 10,530,000 | 10,539,245 | ||
Simon Property Group LP 6.375% 11/15/07 | 21,807,000 | 21,926,982 | ||
Vornado Realty Trust 5.625% 6/15/07 | 24,292,000 | 24,282,137 | ||
138,959,513 | ||||
Real Estate Management & Development - 0.2% | ||||
Chelsea GCA Realty Partnership LP 7.25% 10/21/07 | 8,295,000 | 8,352,667 | ||
Realogy Corp. 6.06% 10/20/09 (a)(e) | 22,590,000 | 22,612,409 | ||
30,965,076 | ||||
Thrifts & Mortgage Finance - 1.0% | ||||
Countrywide Financial Corp. 5.52% 4/11/07 (e) | 11,025,000 | 11,025,022 | ||
Residential Capital Corp.: | ||||
6.4603% 4/17/09 (e) | 12,095,000 | 12,050,031 | ||
6.725% 6/29/07 (e) | 30,155,000 | 30,188,713 | ||
7.19% 4/17/09 (a)(e) | 25,811,000 | 25,681,945 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Thrifts & Mortgage Finance - continued | ||||
Washington Mutual Bank 5.45% 5/1/09 (e) | $ 29,600,000 | $ 29,607,104 | ||
Washington Mutual, Inc. 5.5% 8/24/09 (e) | 21,500,000 | 21,499,635 | ||
130,052,450 | ||||
TOTAL FINANCIALS | 1,028,445,686 | |||
HEALTH CARE - 0.2% | ||||
Health Care Providers & Services - 0.2% | ||||
UnitedHealth Group, Inc.: | ||||
3.375% 8/15/07 | 8,175,000 | 8,114,031 | ||
5.4281% 3/2/09 (e) | 15,450,000 | 15,446,786 | ||
23,560,817 | ||||
INDUSTRIALS - 0.4% | ||||
Aerospace & Defense - 0.1% | ||||
Raytheon Co. 6.75% 8/15/07 | 8,788,000 | 8,825,604 | ||
Air Freight & Logistics - 0.0% | ||||
FedEx Corp. 2.65% 4/1/07 | 5,825,000 | 5,825,000 | ||
Airlines - 0.0% | ||||
American Airlines, Inc. 7.25% 2/5/09 | 6,000,000 | 6,105,000 | ||
Building Products - 0.1% | ||||
Masco Corp. 5.64% 3/12/10 (e) | 18,370,000 | 18,367,300 | ||
Road & Rail - 0.2% | ||||
CSX Corp. 7.45% 5/1/07 | 17,960,000 | 17,982,414 | ||
Union Pacific Corp. 5.75% 10/15/07 | 2,820,000 | 2,824,461 | ||
20,806,875 | ||||
TOTAL INDUSTRIALS | 59,929,779 | |||
MATERIALS - 0.1% | ||||
Chemicals - 0.1% | ||||
Potash Corp. of Saskatchewan, Inc. 7.125% 6/15/07 | 8,865,000 | 8,895,699 | ||
TELECOMMUNICATION SERVICES - 1.9% | ||||
Diversified Telecommunication Services - 1.6% | ||||
AT&T, Inc. 5.45% 5/15/08 (e) | 25,000,000 | 25,016,750 | ||
BellSouth Corp. 5.46% 8/15/08 (e) | 17,500,000 | 17,509,100 | ||
British Telecommunications PLC 7% 5/23/07 | 8,820,000 | 8,832,807 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Deutsche Telekom International Finance BV 5.53% 3/23/09 (e) | $ 11,500,000 | $ 11,521,724 | ||
SBC Communications, Inc. 4.214% 6/5/07 (a) | 2,395,000 | 2,394,737 | ||
Telecom Italia Capital SA 5.97% 7/18/11 (e) | 34,640,000 | 34,815,937 | ||
Telefonica Emisiones SAU 5.65% 6/19/09 (e) | 49,675,000 | 49,842,057 | ||
Telefonos de Mexico SA de CV 4.5% 11/19/08 | 10,240,000 | 10,113,792 | ||
TELUS Corp. yankee 7.5% 6/1/07 | 44,121,000 | 44,260,731 | ||
204,307,635 | ||||
Wireless Telecommunication Services - 0.3% | ||||
America Movil SA de CV 5.4479% 6/27/08 (a)(e) | 18,494,000 | 18,494,000 | ||
Vodafone Group PLC 5.41% 6/29/07 (e) | 21,595,000 | 21,596,360 | ||
40,090,360 | ||||
TOTAL TELECOMMUNICATION SERVICES | 244,397,995 | |||
UTILITIES - 0.9% | ||||
Electric Utilities - 0.5% | ||||
American Electric Power Co., Inc. 4.709% 8/16/07 | 770,000 | 767,739 | ||
CalEnergy Generation 7.63% 10/15/07 | 9,080,000 | 9,173,924 | ||
Commonwealth Edison Co. 3.7% 2/1/08 | 26,070,000 | 25,589,009 | ||
Niagara Mohawk Power Corp. 8.875% 5/15/07 | 7,495,000 | 7,522,469 | ||
TXU Electric Delivery Co. 5.7299% 9/16/08 (a)(e) | 18,205,000 | 18,202,269 | ||
61,255,410 | ||||
Gas Utilities - 0.1% | ||||
NiSource Finance Corp. 5.93% 11/23/09 (e) | 8,055,000 | 8,063,039 | ||
Independent Power Producers & Energy Traders - 0.1% | ||||
Constellation Energy Group, Inc. 6.35% 4/1/07 | 18,720,000 | 18,720,000 | ||
Multi-Utilities - 0.2% | ||||
Dominion Resources, Inc. 5.65% 9/28/07 (e) | 18,765,000 | 18,772,056 | ||
MidAmerican Energy Holdings, Co. 4.625% 10/1/07 | 3,785,000 | 3,768,781 | ||
Sempra Energy: | ||||
4.621% 5/17/07 | 5,275,000 | 5,269,176 | ||
4.75% 5/15/09 | 5,500,000 | 5,454,224 | ||
33,264,237 | ||||
TOTAL UTILITIES | 121,302,686 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $1,943,305,059) | 1,943,786,955 | |||
U.S. Government Agency Obligations - 2.1% | ||||
Principal Amount | Value | |||
Fannie Mae: | ||||
0% 5/30/07 (d) | $ 30,000,000 | $ 29,752,530 | ||
0% 1/15/08 (c) | 250,000,000 | 240,219,979 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $269,681,958) | 269,972,509 | |||
U.S. Government Agency - Mortgage Securities - 1.3% | ||||
Fannie Mae - 0.8% | ||||
3.245% 9/1/33 (e) | 8,421,917 | 8,288,989 | ||
3.7% 7/1/33 (e) | 7,547,187 | 7,466,066 | ||
3.993% 5/1/34 (e) | 9,617,774 | 9,537,230 | ||
4.244% 3/1/34 (e) | 9,410,491 | 9,340,133 | ||
4.304% 6/1/34 (e) | 23,292,164 | 23,125,078 | ||
4.5% 7/1/20 | 8,786 | 8,517 | ||
4.913% 7/1/35 (e) | 9,681,565 | 9,689,170 | ||
5.21% 5/1/36 (e) | 4,431,906 | 4,452,544 | ||
5.27% 4/1/36 (e) | 11,993,214 | 12,051,111 | ||
5.302% 8/1/36 (e) | 11,958,647 | 12,030,823 | ||
5.571% 10/1/35 (e) | 4,911,923 | 4,955,538 | ||
TOTAL FANNIE MAE | 100,945,199 | |||
Freddie Mac - 0.5% | ||||
3.381% 7/1/33 (e) | 18,825,749 | 18,541,433 | ||
4.045% 4/1/34 (e) | 15,146,656 | 14,924,053 | ||
4.925% 10/1/36 (e) | 32,430,855 | 32,435,930 | ||
TOTAL FREDDIE MAC | 65,901,416 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $166,311,738) | 166,846,615 | |||
Asset-Backed Securities - 39.7% | ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-2 Class A2, 5.62% 7/25/34 (e) | 9,810,211 | 9,830,556 | ||
Series 2004-4 Class A2D, 5.67% 1/25/35 (e) | 945,665 | 947,753 | ||
Series 2005-1 Class M1, 5.79% 4/25/35 (e) | 11,280,000 | 11,282,535 | ||
Series 2007-1: | ||||
Class A3, 5.45% 2/25/37 (e) | 14,000,000 | 13,974,652 | ||
Class M1, 5.54% 2/25/37 (e) | 3,780,000 | 3,767,292 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
ACE Securities Corp.: | ||||
Series 2002-HE1 Class M1, 6.295% 6/25/32 (e) | $ 1,653,413 | $ 1,669,130 | ||
Series 2002-HE2 Class M1, 6.595% 8/25/32 (e) | 18,631,213 | 18,642,995 | ||
Series 2003-HS1: | ||||
Class M1, 6.07% 6/25/33 (e) | 657,947 | 659,831 | ||
Class M2, 7.07% 6/25/33 (e) | 856,000 | 863,681 | ||
Series 2003-NC1 Class M1, 6.1% 7/25/33 (e) | 1,600,000 | 1,606,514 | ||
Series 2004-HE1: | ||||
Class M1, 5.82% 2/25/34 (e) | 2,077,793 | 2,081,153 | ||
Class M2, 6.42% 2/25/34 (e) | 2,475,000 | 2,484,622 | ||
Series 2004-OP1 Class M1, 5.84% 4/25/34 (e) | 4,275,940 | 4,275,924 | ||
Series 2005-HE1 Class M1, 5.8% 2/25/35 (e) | 5,600,000 | 5,598,458 | ||
Series 2005-HE2: | ||||
Class M2, 5.77% 4/25/35 (e) | 1,803,000 | 1,801,380 | ||
Class M3, 5.8% 4/25/35 (e) | 1,040,000 | 1,040,026 | ||
Class M4, 5.96% 4/25/35 (e) | 1,340,000 | 1,337,644 | ||
Series 2005-HE3 Class A2B, 5.53% 5/25/35 (e) | 3,171,170 | 3,172,057 | ||
Series 2005-HE7 Class A2B, 5.5% 11/25/35 (e) | 25,000,000 | 25,006,385 | ||
Series 2005-SD1 Class A1, 5.72% 11/25/50 (e) | 801,448 | 802,002 | ||
Series 2006-HE2: | ||||
Class A2C, 5.48% 5/25/36 (e) | 8,845,000 | 8,844,958 | ||
Class M1, 5.62% 5/25/36 (e) | 8,138,000 | 8,104,011 | ||
Class M2, 5.64% 5/25/36 (e) | 2,695,000 | 2,682,687 | ||
Class M3, 5.66% 5/25/36 (e) | 2,130,000 | 2,114,911 | ||
Class M4, 5.72% 5/25/36 (e) | 1,800,000 | 1,780,437 | ||
Class M5, 5.76% 5/25/36 (e) | 2,617,000 | 2,581,454 | ||
Series 2006-NC2: | ||||
Class M7, 6.07% 7/25/36 (e) | 4,902,000 | 4,378,099 | ||
Class M8, 6.17% 7/25/36 (e) | 2,429,000 | 2,270,868 | ||
Class M9, 7.02% 7/25/36 (e) | 1,605,000 | 1,368,664 | ||
Series 2006-OP1: | ||||
Class M2, 5.61% 4/25/36 (e) | 10,119,000 | 10,064,591 | ||
Class M3, 5.63% 4/25/36 (e) | 4,000,000 | 3,967,176 | ||
Class M4, 5.69% 4/25/36 (e) | 1,000,000 | 979,809 | ||
Class M5, 5.71% 4/25/36 (e) | 950,000 | 914,812 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2006-ASP6 Class M1, 5.56% 12/25/36 (e) | 4,420,000 | 4,398,535 | ||
Series 2006-FM2: | ||||
Class AC2, 5.48% 8/25/36 (e) | 7,397,000 | 7,386,203 | ||
Class M1, 5.57% 8/25/36 (e) | 10,300,000 | 10,252,282 | ||
Series 2007-HE1: | ||||
Class A2C, 5.49% 1/25/37 (e) | 9,000,000 | 8,983,273 | ||
Class M1, 5.58% 1/25/37 (e) | 12,575,000 | 12,502,959 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Advanta Business Card Master Trust: | ||||
Series 2004-C1 Class C, 6.37% 9/20/13 (e) | $ 5,875,000 | $ 5,939,862 | ||
Series 2006-C1 Class C1, 5.8% 10/20/14 (e) | 12,805,000 | 12,804,963 | ||
Series 2007-B1 Class B, 5.57% 12/22/14 (e) | 29,325,000 | 29,387,245 | ||
Aesop Funding II LLC Series 2005-1A Class A2, 5.38% 4/20/09 (a)(e) | 8,800,000 | 8,798,477 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 5.37% 10/28/18 (a)(e) | 13,000,000 | 13,003,900 | ||
American Express Credit Account Master Trust: | ||||
Series 2002-6 Class B, 5.77% 3/15/10 (e) | 5,000,000 | 5,007,553 | ||
Series 2004-1 Class B, 5.57% 9/15/11 (e) | 5,775,000 | 5,794,995 | ||
Series 2004-C Class C, 5.82% 2/15/12 (a)(e) | 21,853,178 | 21,898,771 | ||
Series 2005-1 Class A, 5.35% 10/15/12 (e) | 15,455,000 | 15,447,546 | ||
Series 2005-6 Class C, 5.57% 3/15/11 (a)(e) | 22,320,000 | 22,340,758 | ||
Series 2007-3 Class C, 5.57% 10/15/12 (a)(e) | 11,390,000 | 11,390,000 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2003-BX Class A4B, 5.79% 1/6/10 (e) | 1,155,486 | 1,155,573 | ||
Series 2005-1 Class C, 4.73% 7/6/10 | 15,500,000 | 15,406,892 | ||
Series 2006-BM Class A4, 5.4% 5/6/12 (e) | 36,665,000 | 36,664,798 | ||
Series 2006-RM Class A1, 5.37% 10/6/09 | 19,420,000 | 19,429,415 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2003-1 Class M1, 6.22% 2/25/33 (e) | 5,837,814 | 5,988,993 | ||
Series 2003-10 Class M1, 6.02% 12/25/33 (e) | 1,835,000 | 1,849,695 | ||
Series 2003-6 Class M2, 7.17% 5/25/33 (e) | 2,750,000 | 2,784,950 | ||
Series 2003-AR1 Class M1, 7.045% 1/25/33 (e) | 70,787 | 70,839 | ||
Series 2004-R10 Class M1, 6.02% 11/25/34 (e) | 4,665,000 | 4,677,114 | ||
Series 2004-R11 Class M1, 5.98% 11/25/34 (e) | 4,430,000 | 4,439,714 | ||
Series 2004-R2: | ||||
Class M1, 5.75% 4/25/34 (e) | 1,230,000 | 1,229,993 | ||
Class M2, 5.8% 4/25/34 (e) | 950,000 | 949,995 | ||
Class M3, 5.87% 4/25/34 (e) | 3,500,000 | 3,499,983 | ||
Series 2005-R1: | ||||
Class M1, 5.77% 3/25/35 (e) | 5,710,000 | 5,700,658 | ||
Class M2, 5.8% 3/25/35 (e) | 1,925,000 | 1,925,374 | ||
Series 2005-R2 Class M1, 5.77% 4/25/35 (e) | 12,500,000 | 12,493,523 | ||
Series 2006-M3: | ||||
Class M7, 6.17% 10/25/36 (e) | 6,660,000 | 6,360,300 | ||
Class M9, 7.32% 10/25/36 (e) | 4,270,000 | 3,992,450 | ||
Amortizing Residential Collateral Trust: | ||||
Series 2002-BC1 Class M2, 6.42% 1/25/32 (e) | 413,829 | 414,242 | ||
Series 2002-BC3 Class A, 5.65% 6/25/32 (e) | 1,186,195 | 1,188,711 | ||
ARG Funding Corp.: | ||||
Series 2005-1A Class A2, 5.42% 4/20/09 (a)(e) | 11,000,000 | 11,009,227 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
ARG Funding Corp.: - continued | ||||
Series 2005-2A Class A2, 5.43% 5/20/09 (a)(e) | $ 5,200,000 | $ 5,205,258 | ||
Argent Securities, Inc.: | ||||
Series 2003-W3 Class M2, 7.12% 9/25/33 (e) | 20,835,000 | 21,024,559 | ||
Series 2003-W7 Class A2, 5.71% 3/1/34 (e) | 329,642 | 330,441 | ||
Series 2004-W11 Class M2, 6.02% 11/25/34 (e) | 3,860,000 | 3,882,672 | ||
Series 2004-W5 Class M1, 5.92% 4/25/34 (e) | 3,960,000 | 3,968,531 | ||
Series 2004-W7: | ||||
Class M1, 5.87% 5/25/34 (e) | 4,085,000 | 4,098,721 | ||
Class M2, 5.92% 5/25/34 (e) | 3,320,000 | 3,331,632 | ||
Series 2006-M1 Class M7, 6.32% 7/25/36 (e) | 5,600,000 | 4,200,000 | ||
Series 2006-M2 Class M7, 6.22% 9/25/36 (e) | 11,580,000 | 10,551,464 | ||
Series 2006-W4: | ||||
Class A2C, 5.48% 5/25/36 (e) | 10,675,000 | 10,658,311 | ||
Class M2, 5.64% 5/25/36 (e) | 11,235,000 | 11,108,107 | ||
Class M3, 5.66% 5/25/36 (e) | 8,990,000 | 8,815,226 | ||
Arran Funding Ltd. Series 2005-A Class C, 5.64% 12/15/10 (e) | 26,765,000 | 26,759,647 | ||
Asset Backed Funding Corp.: | ||||
Series 2006-OPT1 Class M4, 5.68% 9/25/36 (e) | 13,256,000 | 13,094,106 | ||
Series 2006-OPT2: | ||||
Class C7, 5.47% 10/25/36 (e) | 7,425,000 | 7,417,098 | ||
Class M1, 5.57% 10/25/36 (e) | 7,345,000 | 7,308,982 | ||
Class M7, 6.1% 10/25/36 (e) | 7,655,000 | 7,276,708 | ||
Asset Backed Securities Corp. Series 2006-HE6: | ||||
Class A4, 5.48% 11/25/36 (e) | 18,676,000 | 18,651,757 | ||
Class M7, 6.12% 11/25/36 (e) | 2,420,000 | 2,408,537 | ||
Class M9, 7.47% 11/25/36 (e) | 6,465,000 | 5,493,776 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE2 Class M1, 6.67% 4/15/33 (e) | 9,880,981 | 9,886,863 | ||
Series 2003-HE3 Class M1, 6.15% 6/15/33 (e) | 2,185,000 | 2,186,769 | ||
Series 2003-HE6 Class M1, 5.97% 11/25/33 (e) | 3,475,000 | 3,488,872 | ||
Series 2004-HE2 Class M1, 5.87% 4/25/34 (e) | 6,060,000 | 6,073,314 | ||
Series 2004-HE3: | ||||
Class M1, 5.86% 6/25/34 (e) | 1,450,000 | 1,454,869 | ||
Class M2, 6.44% 6/25/34 (e) | 3,350,000 | 3,367,596 | ||
Series 2004-HE6 Class A2, 5.68% 6/25/34 (e) | 3,881,686 | 3,887,675 | ||
Series 2005-HE1 Class M1, 5.82% 3/25/35 (e) | 4,460,000 | 4,463,674 | ||
Series 2005-HE2: | ||||
Class M1, 5.77% 3/25/35 (e) | 8,250,000 | 8,256,626 | ||
Class M2, 5.82% 3/25/35 (e) | 2,065,000 | 2,068,146 | ||
Series 2005-HE3 Class A4, 5.52% 4/25/35 (e) | 2,673,831 | 2,674,281 | ||
Series 2005-HE6 Class A2B, 5.57% 7/25/35 (e) | 8,273,927 | 8,283,931 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Asset Backed Securities Corp. Home Equity Loan Trust: - - continued | ||||
Series 2005-HE8 Class M2, 5.77% 11/25/35 (e) | $ 2,105,000 | $ 2,104,412 | ||
Series 2006-HE2 Class M3, 5.71% 3/25/36 (e) | 3,984,000 | 3,961,538 | ||
Series 2006-HE4 Class M1, 5.63% 5/25/36 (e) | 14,283,000 | 14,206,313 | ||
Series 2007-HE1: | ||||
Class A4, 5.46% 12/25/36 (e) | 9,000,000 | 8,982,645 | ||
Class M1, 5.54% 12/25/36 (e) | 8,250,000 | 8,220,756 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.32% 4/4/17 (a)(b)(e) | 20,000,000 | 20,000,000 | ||
Bank of America Credit Card Master Trust Series 2006-C4 Class C4, 5.55% 11/15/11 (e) | 46,575,000 | 46,604,109 | ||
Bank of America Credit Card Trust: | ||||
Series 2006-C7 Class C7, 5.55% 3/15/12 (e) | 56,710,000 | 56,745,444 | ||
Series 2006-HE7 Class B4, 5.4% 3/15/12 (e) | 33,615,000 | 33,614,728 | ||
Bank One Issuance Trust: | ||||
Series 2002-B1 Class B1, 5.7% 12/15/09 (e) | 20,655,000 | 20,657,650 | ||
Series 2002-C1 Class C1, 6.28% 12/15/09 (e) | 7,980,000 | 7,982,635 | ||
Series 2003-C4 Class C4, 6.35% 2/15/11 (e) | 14,910,000 | 15,057,118 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 5.74% 5/28/44 (e) | 4,125,998 | 4,129,924 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.77% 2/28/44 (e) | 2,732,548 | 2,734,195 | ||
Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.44% 2/28/41 (e) | 3,434,383 | 3,434,728 | ||
Bear Stearns Asset Backed Securities, Inc.: | ||||
Series 2005-3 Class A1, 5.77% 9/25/35 (e) | 1,801,345 | 1,801,335 | ||
Series 2005-HE2: | ||||
Class M1, 5.82% 2/25/35 (e) | 6,655,000 | 6,658,854 | ||
Class M2, 6.07% 2/25/35 (e) | 2,430,000 | 2,425,729 | ||
BMW Floorplan Master Owner Trust Series 2006-1A Class A, 5.32% 9/17/11 (a)(e) | 24,600,000 | 24,569,250 | ||
BNC Mortgage Loan Trust Series 2006-2: | ||||
Class A4, 5.48% 11/25/36 (e) | 6,785,000 | 6,772,772 | ||
Class M1, 5.56% 11/25/36 (e) | 6,785,000 | 6,752,870 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 5.3563% 12/26/24 (e) | 24,982,616 | 24,982,616 | ||
C-Bass Trust Series 2007-CB1 Class M1, 5.55% 1/25/37 (e) | 9,885,000 | 9,851,081 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2005-1 Class B, 5.695% 6/15/10 (e) | 5,725,000 | 5,748,440 | ||
Series 2006-1 Class A2B, 5.35% 9/15/08 (e) | 11,518,226 | 11,518,514 | ||
Series 2006-2 Class A2A, 5.23% 2/15/09 | 21,995,000 | 21,979,850 | ||
Series 2006-SN1A Class A4B, 5.43% 3/20/10 (a)(e) | 25,000,000 | 25,008,363 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Capital One Auto Finance Trust: | ||||
Series 2003-A Class A4B, 5.6% 1/15/10 (e) | $ 3,985,652 | $ 3,986,089 | ||
Series 2004-B Class A4, 5.43% 8/15/11 (e) | 14,857,495 | 14,861,668 | ||
Series 2006-B Class A2, 5.53% 4/15/09 | 16,146,276 | 16,153,821 | ||
Series 2006-C: | ||||
Class A2, 5.31% 7/15/09 | 18,365,000 | 18,363,994 | ||
Class A3B, 5.33% 7/15/11 (e) | 14,690,000 | 14,689,910 | ||
Series 2007-A Class A2, 5.33% 5/17/10 | 15,590,000 | 15,602,156 | ||
Capital One Master Trust: | ||||
Series 2001-1 Class B, 5.83% 12/15/10 (e) | 19,500,000 | 19,552,527 | ||
Series 2002-4A Class B, 5.82% 3/15/10 (e) | 6,000,000 | 6,003,335 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2003-C1 Class C1, 7.87% 3/15/11 (e) | 15,500,000 | 15,902,954 | ||
Series 2003-C5 Class C5, 6.47% 10/17/11 (e) | 6,000,000 | 6,091,554 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 5.77% 7/20/39 (a)(e) | 2,968,000 | 2,972,754 | ||
Class B, 6.07% 7/20/39 (a)(e) | 1,550,000 | 1,562,291 | ||
Class C, 6.42% 7/20/39 (a)(e) | 1,994,000 | 2,007,942 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2005-FRE1 Class A2, 5.5% 12/25/35 (e) | 8,839,277 | 8,840,412 | ||
Series 2006-FRE1: | ||||
Class M1, 5.62% 7/25/36 (e) | 7,847,000 | 7,803,499 | ||
Class M7, 6.27% 7/25/36 (e) | 3,308,000 | 3,199,105 | ||
Class M9, 7.22% 7/25/36 (e) | 2,112,000 | 2,026,725 | ||
Series 2006-NC2: | ||||
Class M6, 5.76% 6/25/36 (e) | 9,000,000 | 8,946,433 | ||
Class M7, 6.17% 6/25/36 (e) | 2,500,000 | 2,419,059 | ||
Series 2006-RFC1: | ||||
Class M7, 6.18% 5/25/36 (e) | 2,275,000 | 2,203,115 | ||
Class M8, 6.37% 5/25/36 (e) | 1,485,000 | 1,424,679 | ||
Class M9, 7.19% 5/25/36 (e) | 1,095,000 | 1,048,172 | ||
Series 2007-RFC1 Class A3, 5.46% 12/25/36 (e) | 12,398,000 | 12,375,076 | ||
CDC Mortgage Capital Trust: | ||||
Series 2001-HE1 Class M1, 6.865% 1/25/32 (e) | 191,123 | 191,263 | ||
Series 2002-HE2 Class M1, 6.37% 1/25/33 (e) | 7,008,778 | 7,011,306 | ||
Series 2003-HE1 Class M1, 6.67% 8/25/33 (e) | 1,907,142 | 1,908,214 | ||
Series 2003-HE3 Class M1, 6.02% 11/25/33 (e) | 1,971,336 | 1,976,837 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 5.5% 5/20/17 (a)(e) | 4,056,771 | 4,046,795 | ||
Chase Credit Card Owner Trust Series 2003-6 Class C, 6.12% 2/15/11 (e) | 16,400,000 | 16,571,378 | ||
Chase Issuance Trust: | ||||
Series 2004-C3 Class C3, 5.79% 6/15/12 (e) | 3,650,000 | 3,666,611 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Chase Issuance Trust: - continued | ||||
Series 2006-C3 Class C3, 5.55% 6/15/11 (e) | $ 28,945,000 | $ 28,956,106 | ||
CIT Equipment Collateral Trust: | ||||
Series 2005-VT1 Class D, 4.51% 11/20/12 | 1,967,298 | 1,954,189 | ||
Series 2006-VT2: | ||||
Class A2, 5.19% 1/20/09 | 25,710,000 | 25,697,289 | ||
Class B, 5.24% 4/20/14 | 3,226,022 | 3,226,884 | ||
Class C, 5.29% 4/20/14 | 3,517,520 | 3,518,505 | ||
Class D, 5.46% 4/20/14 | 9,468,943 | 9,455,348 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2002-B1 Class B1, 5.6763% 6/25/09 (e) | 9,010,000 | 9,016,915 | ||
Series 2003-C1 Class C1, 6.46% 4/7/10 (e) | 17,785,000 | 17,955,930 | ||
Series 2006-C4 Class C4, 5.5391% 1/9/12 (e) | 39,960,000 | 39,949,251 | ||
Series 2006-C6 Class C6, 5.65% 11/15/12 (e) | 27,485,000 | 27,548,625 | ||
Citigroup Mortgage Loan Trust, Inc.: | ||||
Series 2003-HE4 Class A, 5.73% 12/25/33 (a)(e) | 4,367,107 | 4,373,930 | ||
Series 2006-AMC1: | ||||
Class A2B, 5.48% 9/25/36 (e) | 11,245,000 | 11,233,563 | ||
Class M7, 6.14% 9/25/36 (e) | 4,445,000 | 4,288,811 | ||
Series 2006-NC2 Class A2B, 5.48% 9/25/36 (e) | 27,500,000 | 27,463,263 | ||
Series 2006-WFH2 Class A2A, 5.47% 8/25/36 (e) | 12,730,000 | 12,716,129 | ||
Series 2006-WFH3 Class M7, 5.47% 11/25/36 (e) | 6,445,000 | 6,438,115 | ||
Series 2006-WFHE3, Class A3, 5.47% 10/25/36 (e) | 16,085,000 | 16,063,967 | ||
Series 2007-AHL1 Class A2B, 5.46% 12/25/36 (e) | 15,000,000 | 14,983,700 | ||
CNH Equipment Trust Series 2007-A Class A2, 5.09% 10/15/09 | 42,500,000 | 42,471,313 | ||
CNH Wholesale Master Note Trust: | ||||
Series 2005-1: | ||||
Class A, 5.43% 6/15/11 (e) | 18,000,000 | 18,010,611 | ||
Class B, 5.72% 6/15/11 (e) | 2,280,000 | 2,283,781 | ||
Series 2006-1A: | ||||
Class A, 5.38% 7/15/12 (a)(e) | 9,000,000 | 9,002,961 | ||
Class B, 5.6% 7/15/12 (a)(e) | 9,000,000 | 9,005,637 | ||
College Loan Corp. Trust I Series 2006-1 Class A7B, 5.37% 4/25/46 (a)(e) | 28,405,000 | 28,407,841 | ||
Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (a) | 5,351,790 | 4,763,093 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 5.75% 5/25/33 (e) | 587,364 | 587,395 | ||
Series 2003-BC1 Class M2, 6.8498% 9/25/32 (e) | 2,258,332 | 2,260,395 | ||
Series 2003-SD3 Class A1, 5.74% 12/25/32 (a)(e) | 60,894 | 61,021 | ||
Series 2004-14 Class M1, 5.83% 6/25/35 (e) | 13,520,000 | 13,556,588 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Countrywide Home Loans, Inc.: - continued | ||||
Series 2004-2 Class M1, 5.82% 5/25/34 (e) | $ 7,650,000 | $ 7,664,859 | ||
Series 2004-3: | ||||
Class 3A4, 5.57% 8/25/34 (e) | 91,760 | 91,857 | ||
Class M1, 5.82% 6/25/34 (e) | 1,475,000 | 1,478,042 | ||
Class M4, 6.29% 4/25/34 (e) | 4,000,000 | 4,008,016 | ||
Series 2004-4: | ||||
Class A, 5.69% 8/25/34 (e) | 308,193 | 308,144 | ||
Class M2, 5.85% 6/25/34 (e) | 6,885,000 | 6,898,700 | ||
Series 2005-1: | ||||
Class 1AV2, 5.52% 7/25/35 (e) | 4,319,436 | 4,320,658 | ||
Class M1, 5.74% 8/25/35 (e) | 3,525,000 | 3,520,878 | ||
Class MV1, 5.72% 7/25/35 (e) | 3,135,000 | 3,131,880 | ||
Class MV2, 5.76% 7/25/35 (e) | 3,765,000 | 3,763,142 | ||
Series 2005-AB1 Class A2, 5.53% 8/25/35 (e) | 12,266,535 | 12,277,378 | ||
CPS Auto Receivables Trust: | ||||
Series 2004-D Class A2, 3.86% 12/15/11 (a) | 4,060,379 | 4,001,378 | ||
Series 2006-B Class A2, 5.71% 6/15/16 (a) | 4,843,626 | 4,850,437 | ||
Series 2006-C Class A2, 5.31% 3/15/10 (a) | 16,954,964 | 16,959,659 | ||
Series 2006-D Class A2, 5.318% 8/15/10 (a) | 19,389,997 | 19,389,997 | ||
Series 2007-A Class A1, 5.332% 3/17/08 (a) | 14,505,000 | 14,505,000 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-6 Class M3, 7.27% 2/25/34 (e) | 1,655,000 | 1,659,448 | ||
Credit-Based Asset Backed Servicing and Securitization Mortgage Loan Certificates Series 2006-SC1 Class A, 5.59% 5/25/36 (a)(e) | 8,443,267 | 8,445,246 | ||
DaimlerChrysler Auto Trust Series 2006-D Class A2, 5.19% 8/8/09 | 20,000,000 | 19,990,456 | ||
Discover Card Master Trust I: | ||||
Series 2003-4 Class B1, 5.65% 5/16/11 (e) | 8,155,000 | 8,190,063 | ||
Series 2005-1 Class B, 5.47% 9/16/10 (e) | 12,750,000 | 12,774,304 | ||
Series 2005-3 Class B, 5.51% 5/15/11 (e) | 18,000,000 | 18,046,879 | ||
Series 2006-1 Class B1, 5.47% 8/16/11 (e) | 14,629,000 | 14,648,190 | ||
Series 2006-2 Class B1, 5.44% 1/17/12 (e) | 18,000,000 | 18,048,785 | ||
Series 2007-1 Class B, 5.42% 8/15/12 (e) | 20,000,000 | 19,999,826 | ||
Drive Auto Receivables Trust Series 2006-1 Class A2, 5.49% 8/17/09 (a) | 3,675,650 | 3,676,592 | ||
DriveTime Auto Owner Trust: | ||||
Series 2006-A Class A2, 5.422% 10/15/09 (a) | 3,155,607 | 3,155,607 | ||
Series 2006-B Class A2, 5.32% 3/15/10 (a) | 25,085,000 | 25,081,237 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 6.0993% 5/28/35 (e) | 267,638 | 268,098 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 6.77% 8/25/34 (e) | $ 2,000,000 | $ 2,001,436 | ||
Series 2005-2 Class 2A1, 5.44% 12/25/35 (e) | 2,619,041 | 2,619,158 | ||
Series 2006-3: | ||||
Class 2A3, 5.48% 11/25/36 (e) | 50,960,000 | 50,867,192 | ||
Class M1, 5.58% 11/25/36 (e) | 33,925,000 | 33,759,636 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2003-FFH1 Class M1, 6.02% 9/25/33 (e) | 4,265,622 | 4,272,606 | ||
Series 2004-FF2: | ||||
Class M3, 5.87% 3/25/34 (e) | 400,000 | 400,287 | ||
Class M4, 6.22% 3/25/34 (e) | 300,000 | 300,459 | ||
Series 2004-FF8 Class M3, 6.27% 10/25/34 (e) | 16,620,000 | 16,689,719 | ||
Series 2006-FF14: | ||||
Class A5, 5.48% 10/25/36 (e) | 9,350,000 | 9,332,603 | ||
Class M1, 5.58% 10/25/36 (e) | 8,319,000 | 8,285,071 | ||
Series 2006-FF15 Class M1, 5.56% 11/25/36 (e) | 24,855,000 | 24,750,239 | ||
Series 2006-FF18 Class M1, 5.55% 12/25/37 (e) | 13,887,000 | 13,821,669 | ||
Series 2006-FF6 Class M1, 5.61% 4/25/36 (e) | 6,965,000 | 6,926,635 | ||
Series 2006-FF7 Class M1, 5.57% 5/25/36 (e) | 7,000,000 | 6,973,285 | ||
Series 2007-FF1 Class M1, 5.55% 1/25/38 (e) | 13,410,000 | 13,651,183 | ||
First Investors Auto Owner Trust Series 2006-A | 9,810,000 | 9,781,845 | ||
Ford Credit Auto Owner Trust Series 2006-C | 51,330,000 | 51,353,355 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2005-1: | ||||
Class A, 5.47% 5/15/10 (e) | 14,365,000 | 14,368,104 | ||
Class B, 5.76% 5/15/10 (e) | 8,020,000 | 8,037,700 | ||
Series 2006-3: | ||||
Class A, 5.5% 6/15/11 (e) | 7,340,000 | 7,345,341 | ||
Class B, 5.77% 6/15/11 (e) | 12,520,000 | 12,524,577 | ||
Series 2006-4 Class B, 5.87% 6/15/13 (e) | 5,315,000 | 5,317,707 | ||
Franklin Auto Trust: | ||||
Series 2006-1 Class A2, 5.2% 10/20/09 | 17,650,000 | 17,642,548 | ||
Series 2007-1 Class A2, 5.14% 5/17/10 (b) | 22,795,000 | 22,787,877 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 5.77% 2/25/34 (e) | 467,888 | 467,989 | ||
Class M2, 5.82% 2/25/34 (e) | 800,000 | 800,444 | ||
Series 2004-B Class M1, 5.9% 5/25/34 (e) | 1,695,000 | 1,699,942 | ||
Series 2005-A: | ||||
Class M1, 5.75% 1/25/35 (e) | 1,603,000 | 1,604,965 | ||
Class M2, 5.78% 1/25/35 (e) | 2,325,000 | 2,326,800 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Fremont Home Loan Trust: - continued | ||||
Series 2005-A: | ||||
Class M3, 5.81% 1/25/35 (e) | $ 1,250,000 | $ 1,252,631 | ||
Class M4, 6% 1/25/35 (e) | 925,000 | 928,307 | ||
Series 2006-A: | ||||
Class M3, 5.7% 5/25/36 (e) | 3,545,000 | 3,436,056 | ||
Class M4, 5.72% 5/25/36 (e) | 5,315,000 | 4,968,562 | ||
Class M5, 5.82% 5/25/36 (e) | 2,847,000 | 2,502,055 | ||
Series 2006-B Class M9, 7.22% 8/25/36 (e) | 2,000,000 | 1,386,720 | ||
Series 2006-D Class M1, 5.55% 11/25/36 (e) | 17,340,000 | 17,142,121 | ||
Series 2006-E Class M1, 5.58% 1/25/37 (e) | 28,410,000 | 27,906,365 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 5.76% 9/25/30 (a)(e) | 16,200,000 | 16,150,363 | ||
GE Business Loan Trust Series 2003-1 Class A, 5.75% 4/15/31 (a)(e) | 3,310,540 | 3,322,491 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2005-2: | ||||
Class A, 5.33% 6/15/11 (e) | 30,000,000 | 30,006,498 | ||
Class B, 5.52% 6/15/11 (e) | 6,475,000 | 6,481,418 | ||
Series 2006-1: | ||||
Class B, 5.43% 9/17/12 (e) | 5,535,000 | 5,540,123 | ||
Class C, 5.56% 9/17/12 (e) | 4,305,000 | 4,307,972 | ||
Series 2007-1 Class C, 5.62% 3/15/13 (e) | 32,645,000 | 32,644,804 | ||
GE Equipment Midticket LLC Series 2006-1 Class A2, 5.1% 5/15/09 | 21,950,000 | 21,919,830 | ||
GE-WMC Mortgage Securities, LLC Series 2006-1 Class A2B, 5.47% 8/25/36 (e) | 20,000,000 | 19,977,128 | ||
Gracechurch Card Funding PLC: | ||||
Series 11 Class C, 5.6% 11/15/10 (e) | 20,510,000 | 20,509,795 | ||
Series 8 Class C, 5.65% 6/15/10 (e) | 18,450,000 | 18,449,816 | ||
Series 9: | ||||
Class B, 5.47% 9/15/10 (e) | 3,560,000 | 3,559,964 | ||
Class C, 5.63% 9/15/10 (e) | 13,000,000 | 12,999,870 | ||
Granite Master Issuer PLC Series 2006-1A Class A4, 5.36% 12/20/30 (a)(e) | 2,992,863 | 2,992,953 | ||
GSAMP Trust: | ||||
Series 2002-HE Class M1, 7.195% 11/20/32 (e) | 2,582,808 | 2,585,463 | ||
Series 2002-NC1 Class A2, 5.64% 7/25/32 (e) | 54,777 | 55,403 | ||
Series 2003-FM1 Class M1, 6.55% 3/20/33 (e) | 12,735,683 | 12,743,412 | ||
Series 2004-FM1: | ||||
Class M1, 5.97% 11/25/33 (e) | 2,476,297 | 2,479,476 | ||
Class M2, 6.72% 11/25/33 (e) | 1,554,753 | 1,558,516 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
GSAMP Trust: - continued | ||||
Series 2004-FM2: | ||||
Class M1, 5.82% 1/25/34 (e) | $ 3,495,567 | $ 3,495,696 | ||
Class M2, 6.42% 1/25/34 (e) | 406,369 | 406,463 | ||
Class M3, 6.62% 1/25/34 (e) | 295,751 | 295,838 | ||
Series 2004-HE1: | ||||
Class M1, 5.87% 5/25/34 (e) | 3,659,247 | 3,659,228 | ||
Class M2, 6.47% 5/25/34 (e) | 1,750,000 | 1,757,601 | ||
Series 2005-9 Class 2A1, 5.44% 8/25/35 (e) | 4,282,177 | 4,279,801 | ||
Series 2005-HE2 Class M, 5.75% 3/25/35 (e) | 8,780,000 | 8,772,064 | ||
Series 2005-MTR1 Class A1, 5.46% 10/25/35 (e) | 6,872,627 | 6,869,860 | ||
Series 2005-NC1 Class M1, 5.77% 2/25/35 (e) | 9,010,000 | 9,002,613 | ||
Series 2006-FM1: | ||||
Class A2C, 5.48% 4/25/36 (e) | 7,500,000 | 7,498,700 | ||
Class M1, 5.62% 4/25/36 (e) | 9,646,000 | 9,594,087 | ||
Class M3, 5.67% 4/25/36 (e) | 2,534,000 | 2,515,030 | ||
Class M5, 5.78% 4/25/36 (e) | 3,500,000 | 3,454,432 | ||
Series 2006-FM2 Class M1, 5.58% 9/25/36 (e) | 13,470,000 | 13,405,856 | ||
Series 2006-FM3 Class ABS, 5.52% 11/25/36 (e) | 34,491,000 | 34,432,220 | ||
Series 2007-FM2 Class M1, 5.6% 1/25/37 (e) | 27,745,000 | 27,444,799 | ||
Series 2007-HE1 Class M1, 5.57% 3/25/47 (e) | 5,636,000 | 5,619,924 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 6.4% 5/25/30 (a)(e) | 12,046,388 | 11,980,133 | ||
Series 2006-3: | ||||
Class B, 5.72% 9/25/46 (a)(e) | 4,250,000 | 4,240,650 | ||
Class C, 5.87% 9/25/46 (a)(e) | 10,500,000 | 10,467,450 | ||
Holmes Master Issuer PLC Series 2006-1A: | ||||
Class 1B, 5.45% 7/15/40 (a)(e) | 14,275,000 | 14,274,442 | ||
Class 1C, 5.6% 7/15/40 (a)(e) | 8,080,000 | 8,079,684 | ||
Class 2A, 5.42% 7/15/21 (a)(e) | 14,275,000 | 14,274,442 | ||
Class 2B, 5.48% 7/15/40 (a)(e) | 10,280,000 | 10,279,598 | ||
Class 2C, 5.75% 7/15/40 (a)(e) | 4,190,000 | 4,189,836 | ||
Class 2M, 5.55% 7/15/40 (a)(e) | 8,570,000 | 8,569,665 | ||
Home Equity Asset Trust: | ||||
Series 2002-2 Class M1, 6.52% 6/25/32 (e) | 8,400,668 | 8,405,542 | ||
Series 2002-3 Class A5, 6.2% 2/25/33 (e) | 2,763 | 2,763 | ||
Series 2002-5 Class M1, 7.02% 5/25/33 (e) | 11,435,329 | 11,445,776 | ||
Series 2003-1 Class M1, 6.82% 6/25/33 (e) | 6,529,228 | 6,533,815 | ||
Series 2003-2 Class M1, 6.64% 8/25/33 (e) | 1,861,177 | 1,862,386 | ||
Series 2003-3 Class M1, 6.18% 8/25/33 (e) | 7,951,067 | 7,956,178 | ||
Series 2003-4 Class M1, 6.12% 10/25/33 (e) | 1,940,553 | 1,941,250 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Home Equity Asset Trust: - continued | ||||
Series 2003-5: | ||||
Class A2, 5.67% 12/25/33 (e) | $ 226,466 | $ 226,679 | ||
Class M1, 6.02% 12/25/33 (e) | 3,175,000 | 3,180,078 | ||
Class M2, 7.05% 12/25/33 (e) | 2,628,288 | 2,638,359 | ||
Series 2003-7 Class A2, 5.7% 3/25/34 (e) | 11,398 | 11,413 | ||
Series 2003-8 Class M1, 6.04% 4/25/34 (e) | 3,389,558 | 3,396,513 | ||
Series 2004-1 Class M1, 5.95% 6/25/34 (e) | 9,439,676 | 9,551,960 | ||
Series 2004-3: | ||||
Class M1, 5.89% 8/25/34 (e) | 1,364,505 | 1,367,321 | ||
Class M2, 6.52% 8/25/34 (e) | 2,200,000 | 2,213,788 | ||
Series 2004-4 Class A2, 5.64% 10/25/34 (e) | 445,858 | 446,253 | ||
Series 2004-6 Class A2, 5.67% 12/25/34 (e) | 946,967 | 947,913 | ||
Series 2004-7 Class A3, 5.71% 1/25/35 (e) | 965,203 | 968,131 | ||
Series 2005-1: | ||||
Class M1, 5.75% 5/25/35 (e) | 9,705,000 | 9,699,663 | ||
Class M2, 5.77% 5/25/35 (e) | 5,780,000 | 5,775,532 | ||
Class M3, 5.82% 5/25/35 (e) | 5,845,000 | 5,841,132 | ||
Series 2005-2: | ||||
Class 2A2, 5.52% 7/25/35 (e) | 5,157,989 | 5,159,230 | ||
Class M1, 5.77% 7/25/35 (e) | 10,085,000 | 10,087,773 | ||
Series 2005-3 Class M1, 5.73% 8/25/35 (e) | 9,450,000 | 9,435,702 | ||
Series 2005-5 Class 2A2, 5.57% 11/25/35 (e) | 15,000,000 | 15,026,388 | ||
Series 2006-7: | ||||
Class B1, 7.22% 1/25/37 (e) | 3,450,000 | 2,584,630 | ||
Class M4, 5.7% 1/25/37 (e) | 6,740,000 | 6,648,859 | ||
Class M7, 6.1% 1/25/37 (e) | 3,450,000 | 3,324,038 | ||
Series 2006-8: | ||||
Class 2A3, 5.48% 3/25/37 (e) | 16,280,000 | 16,250,349 | ||
Class M1, 5.56% 3/25/37 (e) | 10,510,000 | 10,458,010 | ||
Household Home Equity Loan Trust Series 2004-1 | 1,096,563 | 1,099,093 | ||
HSBC Automotive Trust: | ||||
Series 2006-2 Class A2, 5.61% 6/17/09 | 10,891,404 | 10,901,509 | ||
Series 2006-3 Class A2, 5.38% 12/17/09 | 9,395,000 | 9,402,549 | ||
Series 2007-1 Class A2, 5.32% 5/17/10 | 17,795,000 | 17,815,838 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 5.46% 6/15/12 (e) | 15,473,000 | 15,487,313 | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 5.78% 1/20/35 (e) | 1,456,606 | 1,454,756 | ||
Class M2, 5.81% 1/20/35 (e) | 1,090,760 | 1,088,003 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
HSBC Home Equity Loan Trust: - continued | ||||
Series 2005-3: | ||||
Class A1, 5.58% 1/20/35 (e) | $ 3,741,987 | $ 3,740,352 | ||
Class M1, 5.74% 1/20/35 (e) | 2,189,062 | 2,184,837 | ||
Series 2006-2: | ||||
Class M1, 5.59% 3/20/36 (e) | 5,983,537 | 5,958,592 | ||
Class M2, 5.61% 3/20/36 (e) | 9,895,697 | 9,829,914 | ||
Series 2006-3 Class A1V, 5.4% 3/20/36 (e) | 25,671,718 | 25,668,575 | ||
HSI Asset Securitization Corp. Trust: | ||||
Series 2006-HE1: | ||||
Class 2A3, 5.48% 10/25/36 (e) | 14,545,000 | 14,482,490 | ||
Class M1, 5.57% 10/25/36 (e) | 14,815,000 | 14,750,918 | ||
Series 2006-HE2 Class M1, 5.56% 12/25/36 (e) | 15,602,000 | 15,527,568 | ||
HSI Asset Securitization Trust Series 2007-HE1: | ||||
Class 2A3, 5.51% 1/25/37 (e) | 8,515,000 | 8,498,566 | ||
Class M1, 5.62% 1/25/37 (e) | 17,440,000 | 17,379,100 | ||
IXIS Real Estate Capital Trust Series 2005-HE1: | ||||
Class A1, 5.57% 6/25/35 (e) | 529,552 | 529,621 | ||
Class M1, 5.79% 6/25/35 (e) | 4,100,000 | 4,100,615 | ||
John Deere Owner Trust Series 2006-A Class A2, 5.41% 11/17/08 | 14,230,000 | 14,230,252 | ||
JP Morgan Auto Receivables Trust Series 2007-A | 28,560,000 | 28,583,776 | ||
JP Morgan Mortgage Acquisition Trust: | ||||
Series 2006-CH1: | ||||
Class A4, 5.46% 1/25/35 (e) | 10,175,000 | 10,160,752 | ||
Class M1, 5.54% 5/25/36 (e) | 4,742,000 | 4,719,523 | ||
Series 2006-HE3: | ||||
Class A4, 5.48% 11/25/36 (e) | 17,520,000 | 17,501,394 | ||
Class M1, 5.57% 11/25/36 (e) | 14,055,000 | 13,979,981 | ||
Series 2006-WMC4 Class A4, 5.47% 11/25/36 (e) | 12,000,000 | 11,982,924 | ||
Series 2007-CH1: | ||||
Class AV4, 5.45% 11/25/36 (e) | 8,550,000 | 8,521,871 | ||
Class MV1, 5.55% 11/25/36 (e) | 6,945,000 | 6,923,332 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 5.6956% 12/27/09 (e) | 10,266,435 | 10,293,465 | ||
Series 2006-A Class 2A1, 5.3713% 9/27/21 (e) | 13,185,623 | 13,185,623 | ||
Long Beach Auto Receivables Trust: | ||||
Series 2006-B Class A2, 5.34% 11/15/09 | 14,755,000 | 14,758,563 | ||
Series 2007-A Class A1, 5.335% 4/15/08 | 29,125,000 | 29,125,000 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 6.14% 6/25/33 (e) | 18,041,302 | 18,051,886 | ||
Series 2003-3 Class M1, 6.07% 7/25/33 (e) | 7,711,118 | 7,728,525 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Long Beach Mortgage Loan Trust: - continued | ||||
Series 2004-2: | ||||
Class M1, 5.85% 6/25/34 (e) | $ 4,275,000 | $ 4,278,221 | ||
Class M2, 6.4% 6/25/34 (e) | 1,400,000 | 1,408,777 | ||
Series 2006-6: | ||||
Class 2A3, 5.47% 7/25/36 (e) | 12,915,000 | 12,851,595 | ||
Class M4, 5.68% 7/25/36 (e) | 3,825,000 | 3,719,592 | ||
Class M5, 5.71% 7/25/36 (e) | 2,390,000 | 2,245,967 | ||
Class M6, 5.77% 7/25/36 (e) | 2,390,000 | 2,019,580 | ||
Class M7, 6.22% 7/25/36 (e) | 4,000,000 | 3,159,008 | ||
Series 2006-9: | ||||
Class 2A3, 5.48% 11/25/36 (e) | 20,110,000 | 20,049,274 | ||
Class M4, 5.69% 11/25/36 (e) | 4,170,000 | 4,077,674 | ||
Class M5, 5.72% 11/25/36 (e) | 8,052,000 | 7,817,498 | ||
Class M7, 6.12% 11/25/36 (e) | 3,796,000 | 3,046,918 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2003-NC1 Class M2, 7.17% 4/25/33 (e) | 818,516 | 820,578 | ||
Series 2006-AM3: | ||||
Class A3, 5.49% 10/25/36 (e) | 13,660,000 | 13,630,897 | ||
Class M1, 5.58% 10/25/36 (e) | 3,090,000 | 3,075,287 | ||
Series 2006-HE3 Class A2, 5.42% 8/25/36 (e) | 19,310,000 | 19,266,495 | ||
Series 2006-NC2 Class M7, 6.07% 9/25/36 (e) | 4,790,000 | 4,749,553 | ||
Series 2007-WMC1 Class A4, 5.48% 1/25/37 (e) | 23,620,000 | 23,592,239 | ||
MBNA Credit Card Master Note Trust: | ||||
Series 2002-B2 Class B2, 5.7% 10/15/09 (e) | 20,000,000 | 20,008,070 | ||
Series 2002-B4 Class B4, 5.82% 3/15/10 (e) | 14,800,000 | 14,832,103 | ||
Series 2003-B1 Class B1, 5.76% 7/15/10 (e) | 13,490,000 | 13,535,772 | ||
Series 2003-B2 Class B2, 5.71% 10/15/10 (e) | 1,530,000 | 1,535,753 | ||
Series 2003-B3 Class B3, 5.695% 1/18/11 (e) | 1,130,000 | 1,135,393 | ||
Series 2003-B5 Class B5, 5.69% 2/15/11 (e) | 705,000 | 708,211 | ||
Series 2005-C1 Class C, 5.73% 10/15/12 (e) | 42,495,000 | 42,816,177 | ||
Series 2005-C2 Class C, 5.67% 2/15/13 (e) | 42,495,000 | 42,711,312 | ||
Series 2005-C3 Class C, 5.59% 3/15/11 (e) | 22,170,000 | 22,216,444 | ||
MBNA Master Credit Card Trust II Series 1998-E Class B, 5.69% 9/15/10 (e) | 7,800,000 | 7,822,211 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 5.82% 7/25/34 (e) | 2,004,105 | 2,004,721 | ||
Class M2, 5.87% 7/25/34 (e) | 375,000 | 375,133 | ||
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1: | ||||
Class A2C, 5.572% 4/25/37 (e) | 16,935,000 | 16,935,000 | ||
Class M1, 5.702% 4/25/37 (e) | 22,130,000 | 22,130,000 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Merrill Lynch Mortgage Investment Trust Series 2006-HE3 Class A2, 5.41% 6/25/37 (e) | $ 7,500,000 | $ 7,497,472 | ||
Merrill Lynch Mortgage Investors Trust Series 2007-HE1 Class M1, 5.72% 2/25/37 (e) | 13,420,000 | 13,420,000 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
Series 2003-HE1 Class M1, 6.02% 7/25/34 (e) | 2,321,000 | 2,328,946 | ||
Series 2003-OPT1 Class M1, 5.97% 7/25/34 (e) | 1,565,000 | 1,570,145 | ||
Series 2006-FM1 Class A2B, 5.43% 4/25/37 (e) | 17,890,000 | 17,883,093 | ||
Series 2006-OPT1 Class A1A, 5.58% 6/25/35 (e) | 18,245,955 | 18,289,895 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2003-NC7 Class M1, 6.02% 6/25/33 (e) | 1,738,438 | 1,738,767 | ||
Series 2003-NC8 Class M1, 6.02% 9/25/33 (e) | 2,349,846 | 2,352,711 | ||
Series 2004-HE6 Class A2, 5.66% 8/25/34 (e) | 1,173,379 | 1,175,847 | ||
Series 2004-NC2 Class M1, 5.87% 12/25/33 (e) | 2,406,103 | 2,412,384 | ||
Series 2004-NC6 Class A2, 5.66% 7/25/34 (e) | 107,480 | 107,501 | ||
Series 2005-1 Class M2, 5.79% 12/25/34 (e) | 4,425,000 | 4,432,397 | ||
Series 2005-HE1: | ||||
Class M1, 5.77% 12/25/34 (e) | 1,100,000 | 1,101,036 | ||
Class M2, 5.79% 12/25/34 (e) | 2,970,000 | 2,968,697 | ||
Series 2005-HE2: | ||||
Class M1, 5.72% 1/25/35 (e) | 2,665,000 | 2,669,145 | ||
Class M2, 5.76% 1/25/35 (e) | 1,900,000 | 1,898,392 | ||
Series 2005-NC1: | ||||
Class M1, 5.76% 1/25/35 (e) | 2,425,000 | 2,423,543 | ||
Class M2, 5.79% 1/25/35 (e) | 2,425,000 | 2,426,382 | ||
Class M3, 5.83% 1/25/35 (e) | 2,425,000 | 2,422,682 | ||
Series 2005-NC2 Class B1, 6.49% 3/25/35 (e) | 3,000,000 | 2,953,127 | ||
Series 2006-HE3: | ||||
Class B1, 6.22% 4/25/36 (e) | 2,900,000 | 2,788,892 | ||
Class B3, 7.22% 4/25/36 (e) | 6,450,000 | 6,114,443 | ||
Series 2006-HE4: | ||||
Class M1, 5.6% 6/25/36 (e) | 3,560,000 | 3,537,935 | ||
Class M2: | ||||
5.62% 6/25/36 (e) | 6,230,000 | 6,194,094 | ||
5.63% 6/25/36 (e) | 4,450,000 | 4,397,214 | ||
Class M4, 5.67% 6/25/36 (e) | 1,780,000 | 1,747,489 | ||
Series 2006-HE5: | ||||
Class AC2, 5.46% 8/25/36 (e) | 8,510,000 | 8,500,528 | ||
Class B1, 6.29% 8/25/36 (e) | 17,690,000 | 16,485,207 | ||
Class B3, 7.27% 8/25/36 (e) | 4,085,000 | 3,141,355 | ||
Series 2006-NC4: | ||||
Class A2D, 5.56% 6/25/36 (e) | 8,865,000 | 8,874,183 | ||
Class M2, 5.62% 6/25/36 (e) | 3,000,000 | 2,982,128 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley ABS Capital I, Inc.: - continued | ||||
Series 2006-NC4: | ||||
Class M3, 5.63% 6/25/36 (e) | $ 1,000,000 | $ 990,814 | ||
Class M4, 5.67% 6/25/36 (e) | 2,000,000 | 1,971,553 | ||
Class M5, 5.69% 6/25/36 (e) | 2,000,000 | 1,962,317 | ||
Class M6, 5.77% 6/25/36 (e) | 1,000,000 | 989,492 | ||
Series 2006-NC5 Class A2C, 5.47% 10/25/36 (e) | 7,965,000 | 7,950,313 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-AM1 Class M1, 6.595% 2/25/32 (e) | 636,400 | 636,701 | ||
Series 2001-NC4 Class M1, 6.82% 1/25/32 (e) | 909,434 | 910,190 | ||
Series 2002-AM3 Class A3, 5.81% 2/25/33 (e) | 705,709 | 706,134 | ||
Series 2002-HE1 Class M1, 6.22% 7/25/32 (e) | 5,706,689 | 5,756,462 | ||
Series 2002-HE2 Class M1, 6.82% 8/25/32 (e) | 8,110,200 | 8,113,126 | ||
Series 2002-NC3 Class A3, 6% 8/25/32 (e) | 147,864 | 147,905 | ||
Series 2002-OP1 Class M1, 6.445% 9/25/32 (e) | 3,092,554 | 3,094,187 | ||
Series 2003-NC1 Class M1, 6.895% 11/25/32 (e) | 2,391,382 | 2,393,393 | ||
Morgan Stanley Home Equity Loans Trust Series 2006-3: | ||||
Class M1, 5.61% 4/25/36 (e) | 4,000,000 | 3,977,454 | ||
Class M4, 5.7% 4/25/36 (e) | 6,000,000 | 5,908,213 | ||
Class M5, 5.73% 4/25/36 (e) | 2,000,000 | 1,959,458 | ||
National Collegiate Student Loan Trust: | ||||
Series 2006-3 Class A1, 5.35% 9/25/19 (e) | 25,000,000 | 24,983,770 | ||
Series 2006-4 Class A1, 5.35% 3/25/25 (e) | 17,590,843 | 17,590,843 | ||
Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 5.43% 2/25/13 (e) | 18,350,000 | 18,304,962 | ||
New Century Home Equity Loan Trust: | ||||
Series 2003-6 Class M1, 6.04% 1/25/34 (e) | 8,364,478 | 8,388,298 | ||
Series 2005-1: | ||||
Class M1, 5.77% 3/25/35 (e) | 4,395,000 | 4,378,384 | ||
Class M2, 5.8% 3/25/35 (e) | 4,395,000 | 4,361,885 | ||
Class M3, 5.84% 3/25/35 (e) | 2,120,000 | 2,094,310 | ||
Series 2005-4 Class M2, 5.83% 9/25/35 (e) | 9,815,000 | 9,780,977 | ||
Series 2005-D Class M2, 5.79% 2/25/36 (e) | 2,045,000 | 1,985,094 | ||
Nissan Auto Lease Trust: | ||||
Series 2004-A Class A4A, 5.39% 6/15/10 (e) | 4,724,540 | 4,725,844 | ||
Series 2005-A Class A4, 5.37% 8/15/11 (e) | 17,595,000 | 17,599,270 | ||
Series 2006-A Class A2, 5.23% 6/15/09 | 40,325,000 | 40,312,003 | ||
Nomura Home Equity Loan Trust: | ||||
Series 2006-HE2 Class A2, 5.44% 3/25/36 (e) | 7,500,000 | 7,498,415 | ||
Series 2006-HE3: | ||||
Class M7, 6.12% 7/25/36 (e) | 4,553,000 | 4,394,748 | ||
Class M8, 6.27% 7/25/36 (e) | 3,193,000 | 3,052,880 | ||
Class M9, 7.17% 7/25/36 (e) | 4,611,000 | 4,397,634 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Nomura Home Equity Loan Trust: - continued | ||||
Series 2007-2 Class 2A3, 5.51% 1/25/37 (e) | $ 11,553,000 | $ 11,535,346 | ||
NovaStar Home Equity Loan Series 2004-1: | ||||
Class M1, 5.77% 6/25/34 (e) | 1,450,000 | 1,458,544 | ||
Class M4, 6.295% 6/25/34 (e) | 2,435,000 | 2,442,737 | ||
NovaStar Mortgage Funding Trust: | ||||
Series 2006-2 Class M1, 5.59% 6/25/36 (e) | 9,100,000 | 9,056,872 | ||
Series 2007-1 Class A2C, 5.47% 3/25/37 (e) | 13,845,000 | 13,812,548 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 6.82% 3/20/10 (a)(e) | 3,675,000 | 3,675,000 | ||
Series 2006-1A Class A, 6.72% 3/20/11 (a)(e) | 8,090,000 | 8,090,000 | ||
Option One Mortgage Loan Trust Series 2004-3 | 2,365,000 | 2,364,985 | ||
Ownit Mortgage Loan Asset-Backed Certificates: | ||||
Series 2005-3 Class A2A, 5.44% 6/25/36 (e) | 3,382,334 | 3,382,722 | ||
Series 2005-4 Class A2A1, 5.44% 8/25/36 (e) | 5,790,963 | 5,791,561 | ||
Ownit Mortgage Loan Trust: | ||||
Series 2006-5 Class AC2, 5.47% 7/25/37 (e) | 5,000,000 | 4,994,481 | ||
Series 2006-7: | ||||
Class A2C, 5.48% 10/25/37 (e) | 12,205,000 | 12,183,592 | ||
Class M1, 5.57% 10/25/37 (e) | 5,960,000 | 5,933,766 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M1, 5.95% 9/25/34 (e) | 3,745,000 | 3,737,974 | ||
Class M2, 6% 9/25/34 (e) | 1,755,000 | 1,761,323 | ||
Class M3, 6.57% 9/25/34 (e) | 3,355,000 | 3,371,998 | ||
Class M4, 6.77% 9/25/34 (e) | 4,700,000 | 4,743,130 | ||
Series 2004-WCW2: | ||||
Class A2, 5.7% 10/25/34 (e) | 278,624 | 278,703 | ||
Class M3, 5.87% 7/25/35 (e) | 2,755,000 | 2,757,417 | ||
Series 2004-WHQ2 Class M1, 5.91% 2/25/35 (e) | 8,000,000 | 8,012,254 | ||
Series 2004-WWF1: | ||||
Class M2, 6% 2/25/35 (e) | 11,060,000 | 11,106,912 | ||
Class M3, 6.06% 2/25/35 (e) | 1,370,000 | 1,376,049 | ||
Series 2005-WCH1: | ||||
Class A3B, 5.54% 1/25/35 (e) | 459,070 | 459,197 | ||
Class M2, 5.84% 1/25/35 (e) | 4,175,000 | 4,179,372 | ||
Class M3, 5.88% 1/25/35 (e) | 3,290,000 | 3,296,912 | ||
Class M4, 6.15% 1/25/35 (e) | 5,750,000 | 5,757,661 | ||
Class M5, 6.2% 1/25/35 (e) | 7,095,000 | 7,109,981 | ||
Series 2005-WHQ2: | ||||
Class M7, 6.57% 5/25/35 (e) | 12,030,000 | 11,612,690 | ||
Class M9, 7.2% 5/25/35 (e) | 3,475,000 | 2,780,000 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
PASA Funding Ltd. Series 2007-1A Class X, 5.6475% 4/7/17 (a)(e) | $ 13,275,000 | $ 13,275,000 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1: | ||||
Class M4, 5.68% 9/25/36 (e) | 10,020,000 | 9,897,145 | ||
Class M5, 5.71% 9/25/36 (e) | 4,995,000 | 4,916,871 | ||
Pinnacle Capital Asset Trust Series 2006-A Class A2, 5.37% 1/26/09 (a) | 19,045,000 | 19,043,684 | ||
Providian Master Note Trust: | ||||
Series 2005-2 Class C2, 5.82% 11/15/12 (a)(e) | 21,450,000 | 21,500,408 | ||
Series 2006-C1A Class C1, 5.87% 3/16/15 (a)(e) | 24,985,000 | 24,985,000 | ||
Residential Asset Mortgage Products, Inc.: | ||||
Series 2003-RS9: | ||||
Class MII1, 5.98% 10/25/33 (e) | 3,695,405 | 3,702,808 | ||
Class MII2, 7.12% 10/25/33 (e) | 1,622,000 | 1,631,989 | ||
Series 2004-RS10 Class MII2, 6.57% 10/25/34 (e) | 5,500,000 | 5,539,488 | ||
Series 2005-SP2 Class 1A1, 5.47% 5/25/44 (e) | 2,719,584 | 2,720,035 | ||
Series 2007-RZ1 Class A2, 5.48% 2/25/37 (e) | 20,285,000 | 20,269,494 | ||
Residential Asset Securities Corp. Series 2006-EMX8 Class 1A2, 5.44% 10/25/36 (e) | 12,545,000 | 12,537,607 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 5.72% 4/25/33 (e) | 35,133 | 35,157 | ||
Santander Drive Auto Receivables Trust Series 2007-1 Class A2, 5.2% 12/15/10 (b) | 20,000,000 | 19,993,750 | ||
Saxon Asset Securities Trust: | ||||
Series 2004-1 Class M1, 5.85% 3/25/35 (e) | 4,415,000 | 4,416,032 | ||
Series 2004-2 Class MV1, 5.9% 8/25/35 (e) | 4,495,000 | 4,498,114 | ||
Series 2005-1 Class A2B, 5.54% 5/25/35 (e) | 3,222,547 | 3,223,577 | ||
Series 2007-1 Class A2C, 5.47% 2/25/37 (e) | 8,500,000 | 8,500,000 | ||
Securitized Asset Backed Receivables LLC Trust: | ||||
Series 2004-NC1 Class M1, 5.84% 2/25/34 (e) | 2,878,804 | 2,882,746 | ||
Series 2006-NC1: | ||||
Class A2, 5.48% 3/25/36 (e) | 10,000,000 | 9,996,358 | ||
Class M1, 5.62% 3/25/36 (e) | 10,000,000 | 9,950,768 | ||
Series 2006-WM3 Class M1, 5.55% 10/25/36 (e) | 9,510,000 | 9,465,207 | ||
Series 2006-WM4 Class M1, 5.56% 11/25/36 (e) | 23,751,000 | 23,632,188 | ||
Series 2007-HE1 Class M1, 5.57% 12/25/36 (e) | 15,657,000 | 15,573,949 | ||
Series 2007-NC2: | ||||
Class A2B, 5.46% 1/25/37 (e) | 9,000,000 | 8,991,063 | ||
Class M1, 5.55% 1/25/37 (e) | 6,590,000 | 6,594,765 | ||
SG Mortgage Securities Trust Series 2006-OPT2 | 10,905,000 | 10,840,146 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
SLM Student Loan Trust Series 2006-10 Class A2, 5.37% 10/25/17 (e) | $ 36,660,000 | $ 36,674,015 | ||
Soundview Home Equity Loan Trust: | ||||
Series 2006-EQ2 Class M1, 5.55% 1/25/37 (e) | 14,835,000 | 14,761,684 | ||
Series 2006-NLC1 Class M1, 5.57% 11/25/36 (a)(e) | 7,085,000 | 7,076,144 | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 5.5% 8/15/11 (a)(e) | 10,755,000 | 10,752,526 | ||
Class C, 5.7% 8/15/11 (a)(e) | 4,905,000 | 4,903,872 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M2, 6.92% 8/25/34 (e) | 3,640,000 | 3,664,328 | ||
Series 2003-BC4 Class M1, 5.92% 11/25/34 (e) | 1,810,000 | 1,815,187 | ||
Series 2006-BC5 Class M1, 5.56% 11/25/37 (e) | 3,335,000 | 3,318,065 | ||
Series 2007-BC1 Class M1, 5.57% 1/25/38 (e) | 10,850,000 | 10,850,000 | ||
Structured Asset Corp. Trust Series 2006-BC6: | ||||
Class A4, 5.49% 1/25/37 (e) | 19,340,000 | 19,297,868 | ||
Class M1, 5.59% 1/25/37 (e) | 18,820,000 | 18,718,396 | ||
Structured Asset Investment Loan Trust: | ||||
Series 2003-BC9 Class M1, 6.02% 8/25/33 (e) | 9,005,000 | 9,016,558 | ||
Series 2004-8 Class M5, 6.47% 9/25/34 (e) | 2,395,000 | 2,408,945 | ||
Series 2005-1 Class M4, 6.08% 2/25/35 (a)(e) | 3,990,000 | 4,011,198 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 5.68% 2/25/34 (e) | 331,489 | 332,759 | ||
Series 2005-5N Class 3A1A, 5.62% 11/25/35 (e) | 10,447,000 | 10,453,149 | ||
Series 2006-BC3: | ||||
Class M1, 5.57% 10/25/36 (e) | 19,402,000 | 19,317,270 | ||
Class M7, 6.12% 10/25/36 (e) | 10,000,000 | 9,250,000 | ||
Series 2006-OPT1: | ||||
Class M1, 5.62% 4/25/36 (e) | 5,000,000 | 4,974,709 | ||
Class M2, 5.66% 4/25/36 (e) | 4,000,000 | 3,957,446 | ||
Class M3, 5.72% 4/25/36 (e) | 6,027,000 | 5,942,573 | ||
Series 2007-BC1 Class M1, 5.55% 2/25/37 (e) | 52,512,000 | 52,294,007 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10 Class B, 5.6% 9/15/11 (e) | 27,050,000 | 27,100,194 | ||
Series 2007-AE1: | ||||
Class A, 5.42% 1/15/12 (e) | 6,730,000 | 6,737,098 | ||
Class B, 5.62% 1/15/12 (e) | 5,605,000 | 5,605,000 | ||
Class C, 5.92% 1/15/12 (e) | 3,645,000 | 3,645,000 | ||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.77% 3/15/11 (a)(e) | 10,835,000 | 10,835,000 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Superior Wholesale Inventory Financing Trust XII Series 2005-A12: | ||||
Class A, 5.5% 6/15/10 (e) | $ 18,990,000 | $ 19,046,444 | ||
Class C, 6.52% 6/15/10 (e) | 16,310,000 | 16,453,769 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 5.75% 9/25/34 (e) | 198,204 | 198,869 | ||
Series 2003-6HE Class A1, 5.79% 11/25/33 (e) | 250,816 | 251,786 | ||
Series 2005-14HE Class AF1, 5.46% 8/25/36 (e) | 1,771,388 | 1,771,507 | ||
Series 2006-9HGA Class A1, 5.4% 10/25/37 (e) | 12,191,987 | 12,189,793 | ||
Thornburg Mortgage Securities Trust Series 2006-6 Class A1, 5.43% 12/25/36 (e) | 39,732,610 | 39,703,049 | ||
Triad Auto Receivables Owner Trust: | ||||
Series 2006-B Class A2, 5.36% 11/12/09 | 12,489,366 | 12,490,008 | ||
Series 2006-C Class A2, 5.4% 1/12/10 | 20,620,000 | 20,630,050 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-1A Class C, 5.65% 5/16/11 (a)(e) | 17,300,000 | 17,291,886 | ||
Series 2006-2: | ||||
Class B, 5.47% 10/17/11 (e) | 23,555,000 | 23,555,000 | ||
Class C, 5.67% 10/17/11 (e) | 22,130,000 | 22,130,000 | ||
UPFC Auto Receivables Trust Series 2006-A Class A2, 5.46% 6/15/09 | 3,910,499 | 3,912,341 | ||
Wachovia Auto Loan Owner Trust Series 2006-1 | 24,585,000 | 24,583,525 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (a) | 7,754,618 | 7,638,299 | ||
WaMu Asset-Backed Certificates Series 2006-HE5 Class M1, 5.57% 10/25/36 (e) | 16,630,000 | 16,550,440 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 5.35% 9/16/13 (a)(e) | 34,760,000 | 34,760,000 | ||
Series 2006-C2A Class C2, 5.82% 8/15/15 (a)(e) | 14,460,000 | 14,525,519 | ||
Series 2006-C3A Class C3A, 5.7% 10/15/13 (a)(e) | 33,700,000 | 33,721,063 | ||
Washington Mutual Asset-Backed Certificates | ||||
Class M4, 5.7% 10/25/36 (e) | 3,542,000 | 3,493,681 | ||
Class M7, 6.12% 10/25/36 (e) | 2,564,000 | 2,469,974 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (a) | 44,512 | 6,187 | ||
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12 | 1,248,987 | 1,233,656 | ||
Whinstone Capital Management Ltd. Series 1A | 21,136,433 | 21,136,433 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $5,247,273,501) | 5,225,740,986 | |||
Collateralized Mortgage Obligations - 18.7% | ||||
Principal Amount | Value | |||
Private Sponsor - 14.3% | ||||
ACE Securities Corp. Home Equity Loan Trust floater Series 2007-WM1: | ||||
Class A2C, 5.49% 11/25/36 (e) | $ 9,016,000 | $ 8,999,237 | ||
Class M1, 5.57% 11/25/36 (e) | 8,781,000 | 8,736,534 | ||
American Home Mortgage Assets Trust floater Series 2006-1 Class 2A1, 5.51% 5/25/46 (e) | 9,407,262 | 9,392,899 | ||
American Home Mortgage Investment Trust floater Series 2005-4 Class 1A1, 5.61% 3/25/35 (e) | 10,095,377 | 10,131,715 | ||
Argent Securities, Inc. floater Series 2006-W5: | ||||
Class M1, 5.61% 6/25/36 (e) | 3,000,000 | 2,960,126 | ||
Class M2, 5.63% 6/25/36 (e) | 4,000,000 | 3,960,438 | ||
Class M3, 5.65% 6/25/36 (e) | 2,000,000 | 1,963,539 | ||
Class M4, 5.69% 6/25/36 (e) | 2,000,000 | 1,911,065 | ||
Class M6, 5.8% 6/25/36 (e) | 3,000,000 | 2,581,529 | ||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class 1C, 5.61% 2/17/52 (a)(e) | 6,275,000 | 6,274,755 | ||
Class 3C, 5.75% 2/17/52 (a)(e) | 3,835,000 | 3,834,850 | ||
Series 2006-2A: | ||||
Class 1B, 5.44% 2/17/52 (a)(e) | 5,185,000 | 5,184,797 | ||
Class 1C, 5.6% 2/17/52 (a)(e) | 6,225,000 | 6,224,757 | ||
Class 1M, 5.51% 2/17/52 (a)(e) | 2,590,000 | 2,589,899 | ||
Class 2B, 5.48% 2/17/52 (a)(e) | 16,205,000 | 16,204,366 | ||
Class 2C, 5.74% 2/17/52 (a)(e) | 19,805,000 | 19,804,226 | ||
Class 2M, 5.56% 2/17/52 (a)(e) | 11,020,000 | 11,019,569 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 5.36% 4/12/56 (a)(e) | 11,365,000 | 11,366,279 | ||
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0924% 8/25/35 (e) | 12,512,801 | 12,608,709 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 5.6% 1/25/35 (e) | 11,916,790 | 11,945,429 | ||
Series 2005-2 Class 1A1, 5.57% 3/25/35 (e) | 7,100,625 | 7,111,381 | ||
Series 2005-5 Class 1A1, 5.54% 7/25/35 (e) | 8,937,277 | 8,938,008 | ||
Countrywide Alternative Loan Trust: | ||||
floater Series 2006-OA16 Class A1A, 5.39% 9/25/46 (e) | 12,046,778 | 12,048,502 | ||
planned amortization class Series 2003-5T2 Class A2, 3.5% 5/25/33 (e) | 1,953,870 | 1,955,730 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-2 Class 7A3, 5.72% 2/25/35 (e) | 2,342,415 | 2,354,353 | ||
Series 2004-4 Class 5A2, 5.72% 3/25/35 (e) | 825,467 | 828,005 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued | ||||
Series 2005-1 Class 5A2, 5.65% 5/25/35 (e) | $ 1,754,828 | $ 1,757,692 | ||
Series 2005-10: | ||||
Class 5A1, 5.58% 1/25/36 (e) | 8,191,769 | 8,208,391 | ||
Class 5A2, 5.64% 1/25/36 (e) | 3,686,296 | 3,695,533 | ||
Series 2005-2: | ||||
Class 6A2, 5.6% 6/25/35 (e) | 697,845 | 698,889 | ||
Class 6M2, 5.8% 6/25/35 (e) | 10,145,000 | 10,188,434 | ||
Series 2005-3 Class 8A2, 5.56% 7/25/35 (e) | 6,504,426 | 6,517,913 | ||
Series 2005-4 Class 7A2, 5.55% 8/25/35 (e) | 3,002,036 | 3,016,299 | ||
Series 2005-8 Class 7A2, 5.6% 11/25/35 (e) | 5,315,034 | 5,330,750 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR2 Class 6A1, 5.72% 3/25/34 (e) | 536,474 | 537,064 | ||
Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (e) | 282,834 | 282,827 | ||
Series 2004-AR4 Class 5A2, 5.69% 5/25/34 (e) | 375,965 | 376,228 | ||
Series 2004-AR5 Class 11A2, 5.69% 6/25/34 (e) | 703,284 | 704,344 | ||
Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (e) | 938,469 | 940,433 | ||
Series 2004-AR7 Class 6A2, 5.7% 8/25/34 (e) | 1,426,241 | 1,430,297 | ||
Series 2004-AR8 Class 8A2, 5.7% 9/25/34 (e) | 724,157 | 725,110 | ||
CWALT, Inc. floater Series 2005-56 Class 3A1, 5.61% 11/25/35 (e) | 3,292,713 | 3,297,748 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 5.48% 3/25/37 (e) | 23,625,000 | 23,625,000 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 5.41% 9/19/36 (e) | 13,603,432 | 13,606,910 | ||
First Franklin Mortgage Loan Trust floater Series 2006-FF13: | ||||
Class M7, 6.07% 10/25/36 (e) | 11,342,000 | 9,610,530 | ||
Class M8, 6.27% 10/25/36 (e) | 4,935,000 | 4,211,233 | ||
First Horizon Mortgage pass thru Trust floater Series 2004-FL1 Class 2A1, 5.67% 12/25/34 (e) | 714,628 | 715,429 | ||
Fosse Master Issuer PLC floater: | ||||
Series 2006-1 Class B2, 5.53% 10/18/54 (a)(e) | 19,660,000 | 19,659,231 | ||
Series 2006-1A: | ||||
Class A1, 5.35% 10/18/31 (a)(e) | 11,140,000 | 11,140,000 | ||
Class B1, 5.46% 10/18/54 (a)(e) | 8,520,000 | 8,519,667 | ||
Class C2, 5.84% 10/18/54 (a)(e) | 6,590,000 | 6,589,742 | ||
Class M1, 5.54% 10/18/54 (a)(e) | 4,915,000 | 4,914,808 | ||
Class M2, 5.62% 10/18/54 (a)(e) | 11,300,000 | 11,299,558 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Gracechurch Mortgage Financing PLC: | ||||
floater Series 2006-1 Class D2, 5.83% 11/20/56 (a)(e) | $ 32,075,000 | $ 32,073,717 | ||
Series 2006-1 Class A4, 5.41% 11/20/56 (a)(e) | 53,320,000 | 53,252,284 | ||
Gracechurch Mortgage Funding PLC floater Series 1A: | ||||
Class A2B, 5.43% 10/11/41 (a)(e) | 31,128,907 | 31,128,596 | ||
Class CB, 5.64% 10/11/41 (a)(e) | 2,100,000 | 2,099,979 | ||
Class DB, 5.83% 10/11/41 (a)(e) | 8,485,000 | 8,484,915 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-1: | ||||
Class A3, 5.43% 12/21/24 (e) | 36,828,750 | 36,845,544 | ||
Class A4, 5.45% 12/20/54 (e) | 68,495,000 | 68,587,194 | ||
Series 2005-2 Class C1, 5.86% 12/20/54 (e) | 40,500,000 | 40,550,625 | ||
Series 2005-4: | ||||
Class A3, 5.43% 12/20/54 (e) | 37,915,000 | 37,923,720 | ||
Class C1, 5.79% 12/20/54 (e) | 12,100,000 | 12,100,945 | ||
Class M2, 5.64% 12/20/54 (e) | 18,320,000 | 18,334,894 | ||
Series 2006-1A: | ||||
Class A5, 5.43% 12/20/54 (a)(e) | 9,000,000 | 9,002,813 | ||
Class C2, 5.96% 12/20/54 (a)(e) | 31,070,000 | 31,068,757 | ||
Series 2006-2 Class C1, 5.83% 12/20/54 (e) | 14,715,000 | 14,700,629 | ||
Series 2006-3 Class C2, 5.86% 12/20/54 (e) | 11,600,000 | 11,599,546 | ||
Series 2006-4: | ||||
Class B1, 5.44% 12/20/54 (e) | 20,680,000 | 20,679,380 | ||
Class C1, 5.73% 12/20/54 (e) | 12,645,000 | 12,644,621 | ||
Class M1, 5.52% 12/20/54 (e) | 5,445,000 | 5,444,837 | ||
Series 2007-1: | ||||
Class 1C1, 5.65% 12/20/54 (e) | 11,060,000 | 11,041,423 | ||
Class 1M1, 5.5% 12/20/54 (e) | 8,310,000 | 8,302,858 | ||
Class 2B1, 5.47% 12/20/54 (e) | 8,860,000 | 8,837,850 | ||
Class 2C1, 5.78% 12/20/54 (e) | 4,915,000 | 4,910,584 | ||
Class 2M1, 5.6% 12/20/54 (e) | 10,670,000 | 10,672,917 | ||
Granite Mortgages PLC floater: | ||||
Series 2003-1 Class 1C, 6.81% 1/20/43 (e) | 9,785,000 | 9,906,491 | ||
Series 2003-3 Class 1C, 6.81% 1/20/44 (e) | 4,590,000 | 4,652,098 | ||
Series 2004-3 Class 2A1, 5.49% 9/20/44 (e) | 11,604,827 | 11,626,795 | ||
GSAMP Trust floater Series 2006-HE3 Class M2, 5.62% 5/25/36 (e) | 10,800,000 | 10,713,246 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 5.54% 5/19/35 (e) | 5,104,281 | 5,110,661 | ||
Holmes Financing No. 10 PLC floater Series 10A: | ||||
Class 1C, 5.63% 7/15/40 (a)(e) | 3,745,000 | 3,744,925 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Holmes Financing No. 10 PLC floater Series 10A: - continued | ||||
Class 2A, 5.39% 7/15/40 (a)(e) | $ 9,360,000 | $ 9,365,073 | ||
Class 2C, 5.71% 7/15/40 (a)(e) | 8,735,000 | 8,734,825 | ||
Holmes Financing No. 9 PLC floater Class 2A, 5.42% 7/15/13 (e) | 47,220,000 | 47,233,222 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 5.77% 10/25/34 (e) | 1,573,035 | 1,578,979 | ||
HSI Asset Securitization Corp. Trust floater: | ||||
Series 2006-WMC1: | ||||
Class A3, 5.47% 7/25/36 (e) | 12,725,000 | 12,711,449 | ||
Class M-3, 5.64% 7/25/36 (e) | 8,892,000 | 8,814,095 | ||
Series 2007-OPT1 Class M1, 5.55% 12/25/36 (e) | 10,960,000 | 10,900,921 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 5.69% 3/25/35 (e) | 3,063,994 | 3,066,966 | ||
Series 2004-6 Class 1A2, 5.71% 10/25/34 (e) | 1,154,358 | 1,155,378 | ||
Series 2005-1: | ||||
Class M1, 5.78% 4/25/35 (e) | 1,397,944 | 1,399,431 | ||
Class M2, 5.82% 4/25/35 (e) | 2,447,387 | 2,449,846 | ||
Class M3, 5.85% 4/25/35 (e) | 600,524 | 601,590 | ||
Class M4, 6.07% 4/25/35 (e) | 354,408 | 353,273 | ||
Class M5, 6.09% 4/25/35 (e) | 354,408 | 353,092 | ||
Class M6, 6.14% 4/25/35 (e) | 567,050 | 563,682 | ||
Series 2005-2 Class 1A2, 5.63% 4/25/35 (e) | 8,738,943 | 8,753,012 | ||
Series 2005-3 Class A1, 5.56% 8/25/35 (e) | 7,237,711 | 7,245,454 | ||
Series 2005-4 Class 1B1, 6.62% 5/25/35 (e) | 2,534,497 | 2,535,685 | ||
Series 2005-6 Class 1M3, 5.93% 10/25/35 (e) | 2,142,737 | 2,152,815 | ||
Series 2005-7: | ||||
Class M1, 5.8% 11/25/35 (e) | 1,204,334 | 1,206,032 | ||
Class M2, 5.84% 11/25/35 (e) | 904,104 | 907,379 | ||
Class M3, 5.94% 11/25/35 (e) | 4,513,695 | 4,457,388 | ||
Class M4, 5.98% 11/25/35 (e) | 2,162,343 | 2,132,844 | ||
JP Morgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9516% 11/25/35 (e) | 2,155,000 | 2,166,662 | ||
Kildare Securities Ltd. Series 2007-1 Class A2, 5.4232% 12/10/43 (a)(e) | 14,660,000 | 14,660,000 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (a)(e) | 5,245,595 | 5,262,247 | ||
Lehman XS Trust floater: | ||||
Series 2006-12N Class A1A1, 5.4% 8/25/46 (e) | 20,790,685 | 20,792,365 | ||
Series 2006-GP1 Class A1, 5.41% 5/25/46 (e) | 12,904,859 | 12,897,979 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 5.59% 3/25/35 (e) | $ 1,451,957 | $ 1,452,456 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 5.49% 6/15/22 (a)(e) | 1,350,000 | 1,349,992 | ||
Class C, 5.51% 6/15/22 (a)(e) | 8,760,000 | 8,750,095 | ||
Class D, 5.52% 6/15/22 (a)(e) | 3,370,000 | 3,369,979 | ||
Class E, 5.53% 6/15/22 (a)(e) | 5,390,000 | 5,389,963 | ||
Class F, 5.56% 6/15/22 (a)(e) | 9,720,000 | 9,719,932 | ||
Class G, 5.63% 6/15/22 (a)(e) | 2,020,000 | 2,019,985 | ||
Class H, 5.65% 6/15/22 (a)(e) | 4,045,000 | 4,044,970 | ||
Class J, 5.69% 6/15/22 (a)(e) | 4,720,000 | 4,714,786 | ||
Class TM, 5.82% 6/15/22 (a)(e) | 46,210,000 | 46,534,293 | ||
Merrill Lynch Mortgage Investors Trust floater Series 2006-MLN1 Class M4, 5.68% 7/25/37 (e) | 9,575,000 | 9,437,684 | ||
Merrill Lynch Mortgage Investors, Inc. floater: | ||||
Series 2003-A Class 2A1, 5.71% 3/25/28 (e) | 2,772,258 | 2,782,921 | ||
Series 2003-B Class A1, 5.66% 4/25/28 (e) | 2,917,318 | 2,925,941 | ||
Series 2003-D Class A, 5.63% 8/25/28 (e) | 2,627,291 | 2,631,024 | ||
Series 2003-E Class A2, 5.7181% 10/25/28 (e) | 4,500,182 | 4,506,763 | ||
Series 2003-F Class A2, 5.6538% 10/25/28 (e) | 3,766,524 | 3,771,675 | ||
Series 2004-A Class A2, 5.5638% 4/25/29 (e) | 3,662,382 | 3,661,313 | ||
Series 2004-B Class A2, 5.6388% 6/25/29 (e) | 4,213,040 | 4,215,404 | ||
Series 2004-C Class A2, 5.67% 7/25/29 (e) | 3,714,858 | 3,719,156 | ||
Series 2004-D Class A2, 5.6738% 9/25/29 (e) | 3,116,645 | 3,119,983 | ||
Series 2004-E: | ||||
Class A2B, 5.6738% 11/25/29 (e) | 2,553,934 | 2,559,386 | ||
Class A2D, 5.8638% 11/25/29 (e) | 593,938 | 596,354 | ||
Series 2004-G Class A2, 5.67% 11/25/29 (e) | 1,131,317 | 1,131,844 | ||
Series 2005-A Class A2, 5.6381% 2/25/30 (e) | 2,671,085 | 2,673,929 | ||
MortgageIT Trust floater: | ||||
Series 2004-2: | ||||
Class A1, 5.69% 12/25/34 (e) | 3,152,557 | 3,155,688 | ||
Class A2, 5.77% 12/25/34 (e) | 4,264,890 | 4,298,438 | ||
Series 2005-2 Class 1A1, 5.58% 5/25/35 (e) | 3,234,436 | 3,232,628 | ||
Nomura Home Equity Loan, Inc. floater Series 2006-FM2: | ||||
Class M1, 5.61% 7/25/36 (e) | 21,055,000 | 20,919,157 | ||
Class M7, 6.12% 7/25/36 (e) | 5,710,000 | 5,505,516 | ||
Opteum Mortgage Acceptance Corp. floater: | ||||
Series 2005-3 Class APT, 5.61% 7/25/35 (e) | 11,770,589 | 11,798,274 | ||
Series 2005-5 Class 1A1B, 5.52% 12/25/35 (e) | 7,595,000 | 7,593,409 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 5.62% 3/25/37 (e) | $ 16,810,000 | $ 16,816,240 | ||
Permanent Financing No. 3 PLC floater Series 2006-3 Class 3A, 5.52% 9/10/33 (e) | 48,844,000 | 48,941,346 | ||
Permanent Financing No. 5 PLC floater: | ||||
Series 2: | ||||
Class A, 5.45% 6/10/11 (e) | 11,852,500 | 11,853,685 | ||
Class C, 5.99% 6/10/42 (e) | 4,215,000 | 4,223,028 | ||
Series 3 Class C, 6.16% 6/10/42 (e) | 10,700,000 | 10,801,973 | ||
Permanent Financing No. 6 PLC floater Series 6 | 5,350,000 | 5,357,105 | ||
Permanent Financing No. 7 PLC floater Series 7 | 17,090,000 | 17,090,513 | ||
Permanent Financing No. 8 PLC floater: | ||||
Series 3C, 5.86% 6/10/42 (e) | 14,115,000 | 14,151,191 | ||
Series 8: | ||||
Class 2A, 5.41% 6/10/14 (e) | 50,005,000 | 50,031,753 | ||
Class 2C, 5.74% 6/10/42 (e) | 25,555,000 | 25,568,595 | ||
Permanent Financing No. 9 PLC floater: | ||||
Series 2006-9A Class 3A, 5.44% 6/10/33 (a)(e) | 42,330,000 | 42,425,031 | ||
Series 9A: | ||||
Class 2C, 5.72% 6/10/42 (a)(e) | 5,665,000 | 5,664,671 | ||
Class 3C, 5.84% 6/10/42 (a)(e) | 4,880,000 | 4,879,712 | ||
Permanent Master Issuer PLC floater: | ||||
Series 2006-1: | ||||
Class 1C, 5.56% 7/17/42 (e) | 6,835,000 | 6,835,000 | ||
Class 2C, 5.76% 7/17/42 (e) | 25,200,000 | 25,199,015 | ||
Series 2007-1 Class 4A, 5.4121% 10/15/33 (e) | 58,330,000 | 58,328,833 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 5.42% 9/25/46 (e) | 24,274,172 | 24,266,587 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 2,634,969 | 2,668,196 | ||
Series 2005-AR5 Class 1A1, 4.8384% 9/19/35 (e) | 3,470,090 | 3,495,006 | ||
Residential Funding Securities Corp. Series 2003-RP2 Class A1, 5.77% 6/25/33 (a)(e) | 1,707,943 | 1,716,683 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 5.42% 2/25/36 (a)(e) | 5,118,460 | 5,118,201 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 5.72% 9/20/33 (e) | 5,847,420 | 5,848,231 | ||
Series 2004-1 Class A, 5.6906% 2/20/34 (e) | 1,806,757 | 1,806,752 | ||
Series 2004-10 Class A4, 5.7469% 11/20/34 (e) | 3,034,198 | 3,043,048 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Sequoia Mortgage Trust floater: - continued | ||||
Series 2004-12 Class 1A2, 5.66% 1/20/35 (e) | $ 1,193,479 | $ 1,196,591 | ||
Series 2004-3 Class A, 5.57% 5/20/34 (e) | 2,728,267 | 2,728,987 | ||
Series 2004-4 Class A, 5.7288% 5/20/34 (e) | 5,385,335 | 5,385,322 | ||
Series 2004-5 Class A3, 5.65% 6/20/34 (e) | 4,311,786 | 4,312,538 | ||
Series 2004-6: | ||||
Class A3A, 5.6675% 6/20/35 (e) | 3,598,507 | 3,604,828 | ||
Class A3B, 5.81% 7/20/34 (e) | 294,638 | 295,359 | ||
Series 2004-7: | ||||
Class A3A, 5.71% 8/20/34 (e) | 3,271,242 | 3,275,522 | ||
Class A3B, 5.935% 7/20/34 (e) | 403,058 | 404,386 | ||
Series 2004-8 Class A2, 5.755% 9/20/34 (e) | 3,824,124 | 3,830,689 | ||
Series 2005-1 Class A2, 5.6406% 2/20/35 (e) | 3,638,393 | 3,650,064 | ||
Series 2005-2 Class A2, 5.6406% 3/20/35 (e) | 4,070,921 | 4,079,084 | ||
Series 2005-3 Class A1, 5.52% 5/20/35 (e) | 3,023,340 | 3,025,937 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1: | ||||
Class M2, 5.64% 9/25/36 (e) | 6,015,000 | 6,007,481 | ||
Class M4, 5.69% 9/25/36 (e) | 9,030,000 | 8,905,246 | ||
Class M7, 6.12% 9/25/36 (e) | 3,090,000 | 2,989,575 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.63% 7/25/35 (e) | 4,915,471 | 4,933,374 | ||
Structured Asset Securities Corp. floater: | ||||
Series 2004-NP1 Class A, 5.72% 9/25/33 (a)(e) | 1,038,088 | 1,038,637 | ||
Series 2006-BC5 Class M1, 5.56% 12/25/36 (e) | 30,560,000 | 30,398,827 | ||
Series 2007-GEL1 Class A2, 5.51% 1/25/37 (a)(e) | 9,000,000 | 8,955,000 | ||
Series MLN1 Class M1, 5.67% 1/25/37 (a)(e) | 6,730,000 | 6,730,000 | ||
TBW Mortgage-Backed pass thru certificates Series 2006-4 Class A3, 5.34% 9/25/36 (e) | 21,260,000 | 21,230,887 | ||
Thornburg Mortgage Securities Trust floater: | ||||
Series 2004-3 Class A, 5.69% 9/25/34 (e) | 13,012,757 | 13,052,182 | ||
Series 2005-3 Class A4, 5.59% 10/25/35 (e) | 15,450,340 | 15,435,500 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1892% 10/20/35 (e) | 1,720,000 | 1,726,834 | ||
WaMu Mortgage pass thru certificates: | ||||
floater: | ||||
Series 2005-AR17 Class A1C1, 5.51% 12/25/45 (e) | 771,153 | 771,257 | ||
Series 2005-AR6 Class 2A-1A, 5.55% 4/25/45 (e) | 2,632,083 | 2,637,724 | ||
Series 2006-AR7 Class C1B1, 5.38% 7/25/46 (e) | 7,949,172 | 7,944,457 | ||
Series 2006-AR11 Class C1B1, 5.4% 9/25/46 (e) | 11,860,025 | 11,866,250 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
WaMu Mortgage pass thru certificates: - continued | ||||
Series 2006-AR5 Class A1B1, 5.4% 6/25/46 (e) | $ 9,315,557 | $ 9,321,715 | ||
WaMu Mortgage Securities Corp. Series 2006-AR4 Class 1AC1, 5.42% 5/25/46 (e) | 1,807,039 | 1,807,198 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-M Class A3, 4.6685% 8/25/34 (e) | 4,492,211 | 4,470,356 | ||
Series 2005-AR12 Class 2A1, 4.32% 7/25/35 (e) | 14,879,682 | 14,674,294 | ||
TOTAL PRIVATE SPONSOR | 1,881,424,719 | |||
U.S. Government Agency - 4.4% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2000-38 Class F, 5.82% 11/18/30 (e) | 598,931 | 603,984 | ||
Series 2000-40 Class FA, 5.82% 7/25/30 (e) | 1,426,464 | 1,438,654 | ||
Series 2002-89 Class F, 5.62% 1/25/33 (e) | 2,102,251 | 2,113,158 | ||
planned amortization class Series 2003-24 Class PB, 4.5% 12/25/12 (d) | 7,686,835 | 7,648,463 | ||
target amortization class Series G94-2 Class D, 6.45% 1/25/24 | 2,660,770 | 2,713,178 | ||
Fannie Mae Grantor Trust floater Series 2005-90 | 43,587,127 | 43,642,822 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2001-34 Class FR, 5.72% 8/18/31 (e) | 1,590,170 | 1,599,797 | ||
Series 2001-38 Class QF, 6.3% 8/25/31 (e) | 6,140,131 | 6,288,220 | ||
Series 2001-44 Class FB, 5.62% 9/25/31 (e) | 1,362,740 | 1,368,567 | ||
Series 2001-46 Class F, 5.72% 9/18/31 (e) | 3,924,693 | 3,949,787 | ||
Series 2002-11 Class QF, 5.82% 3/25/32 (e) | 2,812,583 | 2,839,661 | ||
Series 2002-36 Class FT, 5.82% 6/25/32 (e) | 943,292 | 950,758 | ||
Series 2002-64 Class FE, 5.67% 10/18/32 (e) | 1,264,600 | 1,271,702 | ||
Series 2002-65 Class FA, 5.62% 10/25/17 (e) | 630,463 | 631,403 | ||
Series 2002-74 Class FV, 5.77% 11/25/32 (e) | 5,248,326 | 5,283,367 | ||
Series 2002-77 Class FY, 5.72% 12/25/17 (e) | 17,540,519 | 17,650,349 | ||
Series 2003-11: | ||||
Class DF, 5.77% 2/25/33 (e) | 1,794,676 | 1,805,464 | ||
Class EF, 5.77% 2/25/33 (e) | 1,011,934 | 1,018,403 | ||
Series 2003-119 Class FK, 5.82% 5/25/18 (e) | 2,500,000 | 2,536,886 | ||
Series 2003-131 Class FM, 5.72% 12/25/29 (e) | 2,295,246 | 2,307,129 | ||
Series 2003-63 Class F1, 5.62% 11/25/27 (e) | 3,709,484 | 3,723,714 | ||
Series 2005-45 Class XA, 5.66% 6/25/35 (e) | 59,729,380 | 59,879,582 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - - continued | ||||
floater: | ||||
Series 2005-72 Class FG, 5.57% 5/25/35 (e) | $ 45,319,271 | $ 45,367,070 | ||
Series 2002-17 Class JF, 6.32% 4/25/32 (e) | 6,236,196 | 6,418,005 | ||
Freddie Mac floater: | ||||
Series 2344 Class FP, 6.27% 8/15/31 (e) | 4,425,429 | 4,531,037 | ||
Series 2510 Class FE, 5.72% 10/15/32 (e) | 4,068,835 | 4,095,096 | ||
Series 3028 Class FM, 5.57% 9/15/35 (e) | 23,277,111 | 23,303,330 | ||
Series 3033 Class TF, 0% 9/15/35 (e) | 625,593 | 586,814 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 5.52% 7/15/31 (e) | 3,534,808 | 3,540,124 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2395 Class FA, 5.92% 6/15/29 (e) | 766,669 | 777,533 | ||
Series 2406: | ||||
Class FP, 6.3% 1/15/32 (e) | 22,657,657 | 23,219,220 | ||
Class PF, 6.3% 12/15/31 (e) | 22,066,862 | 22,612,900 | ||
Series 2410 Class PF, 6.3% 2/15/32 (e) | 21,341,489 | 21,912,854 | ||
Series 2412 Class GF, 6.27% 2/15/32 (e) | 3,601,226 | 3,687,158 | ||
Series 2453 Class NF, 5.72% 2/15/17 (e) | 15,001,566 | 15,076,939 | ||
Series 2474 Class FJ, 5.67% 7/15/17 (e) | 2,837,373 | 2,851,139 | ||
Series 2526 Class FC, 5.72% 11/15/32 (e) | 1,618,165 | 1,629,036 | ||
Series 2538 Class FB, 5.72% 12/15/32 (e) | 4,496,439 | 4,527,418 | ||
Series 2551 Class FH, 5.77% 1/15/33 (e) | 1,785,436 | 1,797,523 | ||
Series 2553 Class FB, 5.82% 3/15/29 (e) | 18,649,316 | 18,742,268 | ||
Series 2554 Class FJ, 5.77% 3/15/28 (e) | 7,756,115 | 7,805,875 | ||
Series 2577 Class FW, 5.82% 1/15/30 (e) | 12,588,571 | 12,659,299 | ||
Series 2650 Class FV, 5.72% 12/15/32 (e) | 20,288,767 | 20,435,933 | ||
Series 2732 Class JF, 5.82% 11/15/33 (e) | 3,876,987 | 3,892,157 | ||
Series 2861: | ||||
Class GF, 5.62% 1/15/21 (e) | 3,050,749 | 3,059,185 | ||
Class JF, 5.62% 4/15/17 (e) | 5,049,699 | 5,069,416 | ||
Series 2994 Class FB, 5.47% 6/15/20 (e) | 4,267,293 | 4,263,229 | ||
Series 3066 Class HF, 0% 1/15/34 (e) | 347,843 | 335,077 | ||
Series 3071 Class TF, 5.62% 4/15/35 (e) | 46,806,146 | 46,926,882 | ||
Series 3094 Class UF, 0% 9/15/34 (e) | 1,085,448 | 1,037,292 | ||
planned amortization class: | ||||
Series 2136 Class PE, 6% 1/15/28 | 4,305,232 | 4,314,658 | ||
Series 2776 Class UJ, 4.5% 5/15/20 (f) | 2,317,721 | 29,719 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2828 Class JA, 4.5% 1/15/10 | $ 1,133,199 | $ 1,130,639 | ||
Series 3013 Class AF, 5.57% 5/15/35 (e) | 72,338,317 | 72,435,062 | ||
Ginnie Mae guaranteed REMIC pass thru securities floater: | ||||
Series 2001-46 Class FB, 5.67% 5/16/23 (e) | 1,876,806 | 1,884,826 | ||
Series 2001-50 Class FV, 5.52% 9/16/27 (e) | 5,977,310 | 5,984,167 | ||
Series 2002-24 Class FX, 5.87% 4/16/32 (e) | 1,561,780 | 1,578,041 | ||
Series 2002-31 Class FW, 5.72% 6/16/31 (e) | 2,137,294 | 2,152,349 | ||
TOTAL U.S. GOVERNMENT AGENCY | 570,934,318 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $2,455,005,749) | 2,452,359,037 | |||
Commercial Mortgage Securities - 8.9% | ||||
Banc of America Large Loan Trust floater Series 2006-BIX1: | ||||
Class A1, 5.39% 10/15/19 (a)(e) | 10,146,753 | 10,146,703 | ||
Class A2, 5.43% 10/15/19 (a)(e) | 2,500,000 | 2,499,986 | ||
Class B, 5.46% 10/15/19 (a)(e) | 2,445,000 | 2,444,986 | ||
Class C, 5.5% 10/15/19 (a)(e) | 5,500,000 | 5,499,968 | ||
Class D, 5.53% 10/15/19 (a)(e) | 6,720,000 | 6,719,961 | ||
Class E, 5.56% 10/15/19 (a)(e) | 6,490,000 | 6,489,962 | ||
Class F, 5.63% 10/15/19 (a)(e) | 7,715,000 | 7,714,954 | ||
Class G, 5.65% 10/15/19 (a)(e) | 7,300,000 | 7,299,955 | ||
Class JCA, 5.92% 10/15/19 (a)(e) | 2,664,294 | 2,646,484 | ||
Class JCP, 5.82% 10/15/19 (a)(e) | 1,397,628 | 1,392,941 | ||
Class KCA, 5.97% 10/15/19 (a)(e) | 1,825,363 | 1,819,247 | ||
Class KCP, 5.87% 10/15/19 (a)(e) | 2,281,583 | 2,266,326 | ||
Class LCA, 6.07% 10/15/19 (a)(e) | 2,124,100 | 2,116,988 | ||
Class LCP, 5.97% 10/15/19 (a)(e) | 8,440,770 | 8,412,488 | ||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2005-BBA6: | ||||
Class C, 5.57% 1/15/19 (a)(e) | 1,052,339 | 1,052,403 | ||
Class D, 5.62% 1/15/19 (a)(e) | 2,800,000 | 2,800,249 | ||
Class E, 5.66% 1/15/19 (a)(e) | 1,750,000 | 1,750,291 | ||
Class F, 5.71% 1/15/19 (a)(e) | 1,170,000 | 1,170,393 | ||
Class G, 5.74% 1/15/19 (a)(e) | 915,000 | 915,904 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Banc of America Large Loan, Inc.: - continued | ||||
floater: | ||||
Series 2005-ESHA: | ||||
Class F, 6.07% 7/14/20 (a)(e) | $ 6,395,000 | $ 6,397,371 | ||
Class G, 6.2% 7/14/20 (a)(e) | 4,355,000 | 4,353,876 | ||
Class H, 6.42% 7/14/20 (a)(e) | 10,365,000 | 10,342,847 | ||
Series 2005-MIB1: | ||||
Class B, 5.58% 3/15/22 (a)(e) | 6,455,500 | 6,459,543 | ||
Class C, 5.63% 3/15/22 (a)(e) | 1,660,000 | 1,661,123 | ||
Class D, 5.68% 3/15/22 (a)(e) | 1,680,000 | 1,681,201 | ||
Class E, 5.72% 3/15/22 (a)(e) | 3,205,000 | 3,207,383 | ||
Class F, 5.79% 3/15/22 (a)(e) | 1,635,000 | 1,636,215 | ||
Class G, 5.85% 3/15/22 (a)(e) | 1,060,000 | 1,060,787 | ||
Series 2006-LAQ: | ||||
Class H, 6% 2/9/21 (a)(e) | 3,495,000 | 3,489,387 | ||
Class J, 6.09% 2/9/21 (a)(e) | 2,525,000 | 2,533,046 | ||
Class K, 6.32% 2/9/21 (a)(e) | 6,990,000 | 6,971,424 | ||
Series 2005-ESHA Class X1, 0.9161% 7/14/20 (a)(e)(f) | 334,645,000 | 826,339 | ||
Series 2006-ESH: | ||||
Class A, 6.18% 7/14/11 (a)(e) | 7,442,985 | 7,421,683 | ||
Class B, 6.28% 7/14/11 (a)(e) | 3,700,812 | 3,685,187 | ||
Class C, 6.43% 7/14/11 (a)(e) | 7,411,773 | 7,382,342 | ||
Class D, 7.06% 7/14/11 (a)(e) | 4,320,039 | 4,320,381 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-1 Class A, 5.9% 8/25/33 (a)(e) | 3,296,629 | 3,297,310 | ||
Series 2003-2: | ||||
Class A, 5.9% 12/25/33 (a)(e) | 7,527,877 | 7,541,196 | ||
Class M1, 6.17% 12/25/33 (a)(e) | 1,225,041 | 1,227,632 | ||
Series 2004-1: | ||||
Class A, 5.68% 4/25/34 (a)(e) | 4,021,923 | 4,028,836 | ||
Class B, 7.22% 4/25/34 (a)(e) | 417,862 | 420,147 | ||
Class M1, 5.88% 4/25/34 (a)(e) | 365,629 | 366,315 | ||
Class M2, 6.52% 4/25/34 (a)(e) | 313,397 | 315,013 | ||
Series 2004-2: | ||||
Class A, 5.75% 8/25/34 (a)(e) | 4,375,496 | 4,387,802 | ||
Class M1, 5.9% 8/25/34 (a)(e) | 1,410,849 | 1,415,037 | ||
Series 2004-3: | ||||
Class A1, 5.69% 1/25/35 (a)(e) | 4,606,156 | 4,616,952 | ||
Class A2, 5.74% 1/25/35 (a)(e) | 640,189 | 641,789 | ||
Class M1, 5.82% 1/25/35 (a)(e) | 767,693 | 769,372 | ||
Class M2, 6.32% 1/25/35 (a)(e) | 500,669 | 502,547 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2005-2A: | ||||
Class M1, 5.75% 8/25/35 (a)(e) | $ 1,094,348 | $ 1,093,277 | ||
Class M2, 5.8% 8/25/35 (a)(e) | 1,801,465 | 1,806,759 | ||
Class M3, 5.82% 8/25/35 (a)(e) | 997,540 | 1,000,469 | ||
Class M4, 5.93% 8/25/35 (a)(e) | 917,568 | 926,108 | ||
Series 2005-3A: | ||||
Class A1, 5.64% 11/25/35 (a)(e) | 7,870,488 | 7,885,769 | ||
Class M1, 5.76% 11/25/35 (a)(e) | 765,364 | 769,941 | ||
Class M2, 5.81% 11/25/35 (a)(e) | 1,075,761 | 1,084,876 | ||
Class M3, 5.83% 11/25/35 (a)(e) | 960,956 | 969,092 | ||
Class M4, 5.92% 11/25/35 (a)(e) | 1,199,069 | 1,202,028 | ||
Series 2005-4A: | ||||
Class A2, 5.71% 1/25/36 (a)(e) | 8,328,590 | 8,357,220 | ||
Class B1, 6.72% 1/25/36 (a)(e) | 696,162 | 699,751 | ||
Class M1, 5.77% 1/25/36 (a)(e) | 2,715,845 | 2,723,907 | ||
Class M2, 5.79% 1/25/36 (a)(e) | 814,753 | 816,154 | ||
Class M3, 5.82% 1/25/36 (a)(e) | 1,146,992 | 1,146,275 | ||
Class M4, 5.93% 1/25/36 (a)(e) | 633,697 | 633,895 | ||
Class M5, 5.97% 1/25/36 (a)(e) | 633,697 | 632,806 | ||
Class M6, 6.02% 1/25/36 (a)(e) | 633,697 | 631,321 | ||
Series 2006-1: | ||||
Class A2, 5.68% 4/25/36 (a)(e) | 2,955,536 | 2,955,536 | ||
Class M1, 5.7% 4/25/36 (a)(e) | 903,080 | 903,080 | ||
Class M2, 5.72% 4/25/36 (a)(e) | 954,164 | 954,164 | ||
Class M3, 5.74% 4/25/36 (a)(e) | 820,982 | 820,982 | ||
Class M4, 5.84% 4/25/36 (a)(e) | 465,223 | 465,223 | ||
Class M5, 5.88% 4/25/36 (a)(e) | 451,540 | 451,540 | ||
Class M6, 5.96% 4/25/36 (a)(e) | 994,301 | 994,301 | ||
Series 2006-2A: | ||||
Class A1, 5.55% 7/25/36 (a)(e) | 26,421,911 | 26,421,911 | ||
Class A2, 5.6% 7/25/36 (a)(e) | 2,200,320 | 2,200,320 | ||
Class B1, 6.19% 7/25/36 (a)(e) | 790,669 | 790,669 | ||
Class B3, 8.02% 7/25/36 (a)(e) | 1,319,288 | 1,319,288 | ||
Class M1, 5.63% 7/25/36 (a)(e) | 2,308,755 | 2,308,755 | ||
Class M2, 5.65% 7/25/36 (a)(e) | 1,626,520 | 1,626,520 | ||
Class M3, 5.67% 7/25/36 (a)(e) | 1,274,107 | 1,274,107 | ||
Class M4, 5.74% 7/25/36 (a)(e) | 858,441 | 858,441 | ||
Class M5, 5.79% 7/25/36 (a)(e) | 1,057,238 | 1,057,238 | ||
Class M6, 5.86% 7/25/36 (a)(e) | 1,671,701 | 1,671,701 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2006-3A: | ||||
Class A1, 5.57% 10/25/36 (a)(e) | $ 14,547,065 | $ 14,560,703 | ||
Class B1, 6.12% 10/25/36 (a)(e) | 1,416,171 | 1,398,027 | ||
Class B2, 6.67% 10/25/36 (a)(e) | 924,846 | 906,061 | ||
Class B3, 7.92% 10/25/36 (a)(e) | 1,657,017 | 1,592,548 | ||
Class M4, 5.75% 10/25/36 (a)(e) | 1,416,171 | 1,404,444 | ||
Class M5, 5.8% 10/25/36 (a)(e) | 1,798,634 | 1,779,523 | ||
Class M6, 5.88% 10/25/36 (a)(e) | 3,516,343 | 3,470,741 | ||
Series 2006-4A: | ||||
Class A1, 5.55% 12/25/36 (a)(e) | 14,760,515 | 14,726,477 | ||
Class A2, 5.59% 12/25/36 (a)(e) | 16,772,868 | 16,734,230 | ||
Class B1, 6.02% 12/25/36 (a)(e) | 1,084,326 | 1,084,326 | ||
Class B2, 6.57% 12/25/36 (a)(e) | 1,015,945 | 983,037 | ||
Class B3, 7.77% 12/25/36 (a)(e) | 1,880,476 | 1,880,476 | ||
Class M1, 5.61% 12/25/36 (a)(e) | 2,378,680 | 2,364,155 | ||
Class M2, 5.63% 12/25/36 (a)(e) | 1,509,265 | 1,509,265 | ||
Class M3, 5.66% 12/25/36 (a)(e) | 1,528,802 | 1,528,802 | ||
Class M4, 5.72% 12/25/36 (a)(e) | 1,831,632 | 1,831,632 | ||
Class M5, 5.76% 12/25/36 (a)(e) | 1,680,217 | 1,680,217 | ||
Class M6, 5.84% 12/25/36 (a)(e) | 1,509,265 | 1,491,608 | ||
Series 2007-1: | ||||
Class A2, 5.59% 3/25/37 (a)(e) | 5,822,790 | 5,822,790 | ||
Class B1, 5.99% 3/25/37 (a)(e) | 1,858,547 | 1,826,023 | ||
Class B2, 6.47% 3/25/37 (a)(e) | 1,344,481 | 1,320,953 | ||
Class B3, 8.67% 3/25/37 (a)(e) | 3,840,669 | 3,800,462 | ||
Class M1, 5.59% 3/25/37 (a)(e) | 1,566,914 | 1,561,038 | ||
Class M2, 5.61% 3/25/37 (a)(e) | 1,176,421 | 1,169,620 | ||
Class M3, 5.64% 3/27/37 (a)(e) | 1,042,961 | 1,033,021 | ||
Class M4, 5.69% 3/25/37 (a)(e) | 785,928 | 777,332 | ||
Class M5, 5.74% 3/25/37 (a)(e) | 1,304,938 | 1,287,810 | ||
Class M6, 5.82% 3/25/37 (a)(e) | 1,828,890 | 1,800,599 | ||
Bear Stearns Commercial Mortgage Securities, Inc. floater Series 2006-BBA7: | ||||
Class G, 5.76% 3/15/19 (a)(e) | 1,665,000 | 1,663,372 | ||
Class H, 5.97% 3/15/19 (a)(e) | 2,135,000 | 2,125,022 | ||
Class J, 6.17% 3/15/19 (a)(e) | 2,800,000 | 2,773,966 | ||
Class X1A, 1.765% 3/15/19 (a)(e)(f) | 306,405,000 | 3,111,941 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Commercial Mortgage Securities Trust Series 2007-BBA8: | ||||
Class D, 5.57% 3/15/22 (a)(b)(e) | $ 2,770,000 | $ 2,770,000 | ||
Class E, 5.62% 3/15/22 (a)(b)(e) | 14,385,000 | 14,385,000 | ||
Class F, 5.67% 5/15/22 (a)(b)(e) | 8,820,000 | 8,820,000 | ||
Class G, 5.72% 3/15/22 (a)(b)(e) | 2,268,750 | 2,268,750 | ||
Class H, 5.87% 3/15/22 (a)(b)(e) | 2,770,000 | 2,770,000 | ||
Class J, 6.02% 3/15/22 (a)(b)(e) | 2,770,000 | 2,770,000 | ||
Class MS-6, 5.97% 3/15/22 (a)(b)(e) | 5,510,000 | 5,510,000 | ||
Class MS5, 6.22% 3/15/22 (a)(b)(e) | 9,920,000 | 9,920,000 | ||
Class X-1M, 1.12% 3/15/22 (a)(b)(f) | 461,920,000 | 5,894,977 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class B, 5.46% 11/15/36 (a)(e) | 3,055,000 | 3,055,188 | ||
Class C, 5.49% 11/15/36 (a)(e) | 3,055,000 | 3,055,024 | ||
Class D, 5.53% 11/15/36 (a)(e) | 2,445,000 | 2,445,019 | ||
Class E, 5.56% 11/15/36 (a)(e) | 1,835,000 | 1,835,014 | ||
Class F, 5.63% 8/16/21 (a)(e) | 3,055,000 | 3,055,023 | ||
Class G, 5.65% 11/15/36 (a)(e) | 3,055,000 | 3,055,024 | ||
Class H, 5.69% 11/15/36 (a)(e) | 2,445,000 | 2,442,975 | ||
Series 2006-FL2: | ||||
Class A1, 5.39% 11/15/36 (a)(e) | 7,909,266 | 7,909,318 | ||
Class A2, 5.43% 11/15/36 (a)(e) | 14,180,000 | 14,180,111 | ||
Class CNP-1, 6.12% 8/16/21 (a)(e) | 3,235,000 | 3,235,000 | ||
Commercial Mortgage pass thru certificates floater: | ||||
Series 2005-F10A: | ||||
Class B, 5.55% 4/15/17 (a)(e) | 10,530,000 | 10,532,238 | ||
Class C, 5.59% 4/15/17 (a)(e) | 3,006,000 | 3,006,246 | ||
Class D, 5.63% 4/15/17 (a)(e) | 2,440,000 | 2,441,474 | ||
Class E, 5.69% 4/15/17 (a)(e) | 1,821,000 | 1,821,703 | ||
Class F, 5.73% 4/15/17 (a)(e) | 1,035,000 | 1,035,174 | ||
Class G, 5.87% 4/15/17 (a)(e) | 1,035,000 | 1,035,174 | ||
Class H, 5.94% 4/15/17 (a)(e) | 1,035,000 | 1,034,904 | ||
Class J, 6.17% 4/15/17 (a)(e) | 335,000 | 334,823 | ||
Series 2005-FL11: | ||||
Class B, 5.57% 11/15/17 (a)(e) | 2,325,028 | 2,325,574 | ||
Class C, 5.62% 11/15/17 (a)(e) | 4,797,308 | 4,798,863 | ||
Class D, 5.66% 11/15/17 (a)(e) | 825,385 | 825,628 | ||
Class E, 5.71% 11/15/17 (a)(e) | 1,267,140 | 1,267,475 | ||
Class F, 5.77% 11/15/17 (a)(e) | 1,150,889 | 1,151,227 | ||
Class G, 5.82% 11/15/17 (a)(e) | 1,844,522 | 1,845,119 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Commercial Mortgage pass thru certificates floater: - continued | ||||
Series 2006-CN2A: | ||||
Class A2FL, 5.54% 2/5/19 (a)(e) | $ 5,000,000 | $ 5,008,739 | ||
Class AJFL, 5.58% 2/5/19 (e) | 8,865,000 | 8,892,966 | ||
Commercial Mortgage pass-thru certificates Series 2006-FL12: | ||||
Class AJ, 5.45% 12/15/20 (a)(e) | 33,605,000 | 33,604,798 | ||
Class CA1, 5.87% 12/15/20 (a)(e) | 1,378,421 | 1,378,421 | ||
Class CA2, 5.92% 12/15/20 (a)(e) | 2,146,995 | 2,146,995 | ||
Class CA3, 5.97% 12/15/20 (a)(e) | 2,447,741 | 2,447,741 | ||
Class CA4, 6.07% 12/15/20 (a)(e) | 2,702,540 | 2,702,540 | ||
Class CN1, 5.82% 12/15/20 (a)(e) | 5,226,966 | 5,226,966 | ||
Class CN2, 5.87% 12/15/20 (a)(e) | 2,814,799 | 2,814,799 | ||
Class CN3, 5.97% 12/15/20 (a)(e) | 2,713,234 | 2,713,234 | ||
Commercial Mortgage Trust Series 2006-FL4: | ||||
Class A2, 5.46% 11/5/21 (a)(e) | 30,649,000 | 30,648,850 | ||
Class B, 5.51% 11/5/21 (a)(e) | 11,265,000 | 11,264,939 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2005-CN2A Class A1J, 5.65% 11/15/19 (a)(e) | 17,835,000 | 17,835,043 | ||
Series 2005-TF3A Class A2, 5.6% 11/15/20 (a)(e) | 17,956,908 | 17,962,530 | ||
Series 2006-TF2A: | ||||
Class A2, 6.82% 7/15/19 (a)(e) | 16,910,000 | 16,910,000 | ||
Class SHDC, 6.32% 7/15/19 (a)(e) | 8,080,000 | 8,004,113 | ||
Series 2006-TFL2: | ||||
Class A2, 5.49% 10/15/21 (a)(e) | 54,990,000 | 54,989,670 | ||
Class SHDD, 6.67% 7/15/19 (a)(e) | 4,545,000 | 4,545,000 | ||
Credit Suisse Mortgage Capital Certificates floater: | ||||
Series 200-TFL1 Class B, 5.47% 2/15/22 (a)(e) | 11,225,000 | 11,225,000 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
5.49% 2/15/22 (a)(e) | 12,085,000 | 12,085,000 | ||
5.59% 2/15/22 (a)(e) | 4,315,000 | 4,315,000 | ||
Class F, 5.64% 2/15/22 (a)(e) | 8,630,000 | 8,630,000 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 5.49% 11/15/36 (a)(e) | 8,960,000 | 8,963,723 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: | ||||
Class D, 5.6% 4/15/21 (a)(e) | $ 2,700,000 | $ 2,700,541 | ||
Class E, 5.65% 4/15/21 (a)(e) | 2,700,000 | 2,700,957 | ||
Class G, 5.74% 4/15/21 (a)(e) | 2,700,000 | 2,700,124 | ||
Class H, 6.05% 4/15/21 (a)(e) | 2,700,000 | 2,698,323 | ||
Class J, 6.12% 4/15/21 (a)(e) | 1,800,000 | 1,795,751 | ||
Class K, 6.52% 4/15/21 (a)(e) | 8,995,000 | 8,950,900 | ||
Greenwich Capital Commercial Funding Corp. floater Series 2005-FL3A: | ||||
Class H-AON: | ||||
6.32% 10/5/20 (a)(e) | 1,495,000 | 1,495,000 | ||
6.57% 10/5/20 (a)(e) | 1,775,000 | 1,775,000 | ||
Class M-AON, 6.82% 10/5/20 (a)(e) | 1,770,000 | 1,770,000 | ||
Class N-AON, 7.17% 10/5/20 (a)(e) | 4,545,144 | 4,545,144 | ||
GS Mortgage Securities Corp. II floater Series 2006-FL8A: | ||||
Class A2, 5.46% 6/6/20 (a)(e) | 22,040,000 | 22,044,137 | ||
Class C, 5.56% 6/6/20 (a)(e) | 1,310,000 | 1,310,258 | ||
Class D, 5.6% 6/6/20 (a)(e) | 3,595,000 | 3,595,806 | ||
Class E, 5.6% 6/6/20 (a)(e) | 7,163,000 | 7,158,215 | ||
Class F, 5.76% 6/6/20 (a)(e) | 5,168,000 | 5,147,071 | ||
Hilton Hotel Pool Trust floater Series 2000-HLTA: | ||||
Class A2, 5.72% 10/3/15 (a)(e) | 32,100,000 | 32,307,244 | ||
Class B, 5.82% 10/3/15 (a)(e) | 4,375,000 | 4,415,968 | ||
JPMorgan Chase Commercial Securities Trust floater Series 2006-FLA2: | ||||
Class A2, 5.45% 11/15/18 (a)(e) | 25,413,000 | 25,412,840 | ||
Class B, 5.49% 11/15/18 (a)(e) | 8,761,783 | 8,761,732 | ||
Class C, 5.53% 11/15/18 (a)(e) | 6,223,785 | 6,223,748 | ||
Class D, 5.55% 11/15/18 (a)(e) | 2,186,735 | 2,186,722 | ||
Class E, 5.6% 11/15/18 (a)(e) | 3,285,050 | 3,285,030 | ||
Class F, 5.65% 11/15/18 (a)(e) | 4,927,575 | 4,927,545 | ||
Class G, 5.68% 11/15/18 (a)(e) | 4,284,418 | 4,280,702 | ||
Class H, 5.82% 11/15/18 (a)(e) | 3,285,050 | 3,279,117 | ||
LB-UBS Commercial Mortgage Trust sequential payer Series 2003-C3 Class A2, 3.086% 5/15/27 | 14,650,000 | 14,318,233 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: | ||||
Series 2005-LLFA Class FAIR, 6.97% 7/15/18 (a)(e) | 1,915,359 | 1,906,969 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater: - continued | ||||
Series 2006-LLFA: | ||||
Class D, 5.55% 9/15/21 (a)(e) | $ 3,262,929 | $ 3,264,400 | ||
Class E, 5.61% 9/15/21 (a)(e) | 11,769,509 | 11,774,810 | ||
Class F, 5.66% 9/15/21 (a)(e) | 7,712,378 | 7,718,500 | ||
Class FRT1, 6.27% 9/15/21 (a)(e) | 164,031 | 164,031 | ||
Class FRT2, 6.37% 9/15/21 (a)(e) | 135,912 | 135,912 | ||
Class FRT3, 6.52% 9/15/21 (a)(e) | 351,964 | 351,964 | ||
Class G, 5.68% 9/15/21 (a)(e) | 13,731,094 | 13,740,416 | ||
Class H, 5.72% 9/15/21 (a)(e) | 4,081,053 | 4,080,086 | ||
ML-CFC Commercial Mortgage Trust Series 2006-4 Class A2FL, 5.44% 12/12/49 (e) | 19,160,000 | 19,159,776 | ||
Morgan Stanley Capital I Trust floater Series 2007-XLFA: | ||||
Class A2, 5.42% 10/15/20 (a)(e) | 20,205,000 | 20,205,000 | ||
Class B, 5.45% 10/15/20 (a)(e) | 7,215,000 | 7,215,000 | ||
Class C, 5.48% 10/15/20 (a)(e) | 5,410,000 | 5,410,000 | ||
Class D, 5.51% 10/15/20 (a)(e) | 4,325,000 | 4,325,000 | ||
Class E, 5.57% 10/15/20 (a)(e) | 5,410,000 | 5,410,000 | ||
Class F, 5.62% 10/15/20 (a)(e) | 3,250,000 | 3,250,000 | ||
Class G, 5.66% 10/15/20 (a)(e) | 4,013,000 | 4,013,000 | ||
Class H, 5.75% 10/15/20 (a)(e) | 2,525,000 | 2,525,000 | ||
Class J, 5.9% 10/15/20 (a)(e) | 2,885,000 | 2,885,000 | ||
Morgan Stanley Capital I, Inc. floater: | ||||
Series 2005-XLF: | ||||
Class B, 5.53% 8/15/19 (a)(e) | 6,705,000 | 6,705,569 | ||
Class C, 5.56% 8/15/19 (a)(e) | 525,000 | 525,155 | ||
Class D, 5.58% 8/15/19 (a)(e) | 1,915,000 | 1,915,500 | ||
Class E, 5.6% 8/15/19 (a)(e) | 1,745,000 | 1,745,390 | ||
Class F, 5.64% 8/15/19 (a)(e) | 1,220,000 | 1,220,499 | ||
Class G, 5.69% 8/15/19 (a)(e) | 870,000 | 870,412 | ||
Class H, 5.71% 8/15/19 (a)(e) | 695,000 | 695,359 | ||
Class J, 5.78% 8/15/19 (a)(e) | 525,000 | 525,043 | ||
Series 2006-XLF: | ||||
Class C, 6.52% 7/15/19 (a)(e) | 5,095,000 | 5,095,000 | ||
Class D, 5.57% 7/15/19 (a)(e) | 11,115,000 | 11,119,677 | ||
Class E, 5.61% 7/15/19 (a)(e) | 25,995,000 | 26,005,934 | ||
Class F, 5.64% 7/15/19 (a)(e) | 4,796,000 | 4,798,016 | ||
Class G, 5.68% 7/15/19 (a)(e) | 3,535,000 | 3,536,234 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 5.8% 3/24/18 (a)(e) | 4,332,307 | 4,340,430 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL6A: | ||||
Class A2, 5.57% 10/15/17 (a)(e) | $ 494,872 | $ 494,943 | ||
Class B, 5.62% 10/15/17 (a)(e) | 1,540,000 | 1,540,249 | ||
Class D, 5.75% 10/15/17 (a)(e) | 3,090,000 | 3,090,652 | ||
Series 2006-WL7A: | ||||
Class E, 5.82% 9/15/21 (a)(e) | 9,585,000 | 9,586,875 | ||
Class F, 5.87% 8/11/18 (a)(e) | 11,680,000 | 11,682,282 | ||
Class G, 6.17% 8/11/18 (a)(e) | 11,065,000 | 11,066,417 | ||
Class J, 6.52% 8/11/18 (a)(e) | 2,460,000 | 2,454,862 | ||
Class X1A, 0.589% 9/15/21 (a)(e)(f) | 908,482,376 | 3,116,095 | ||
Series 2005-WL6A Class X1A, 0.754% 10/15/17 (a)(f) | 181,847,855 | 153,261 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,176,165,305) | 1,175,326,855 | |||
Certificates of Deposit - 0.5% | ||||
Natexis Banques Populaires NY CD yankee | 70,000,000 | 70,056,707 | ||
Commercial Paper - 0.4% | ||||
Sprint Nextel Corp.: | ||||
5.52% 4/12/07 | 29,000,000 | 28,954,737 | ||
5.61% 11/9/07 (e) | 28,000,000 | 27,999,944 | ||
TOTAL COMMERCIAL PAPER (Cost $56,951,087) | 56,954,681 |
Cash Equivalents - 9.9% | |||
Maturity | |||
Investments in repurchase agreements in a joint trading account at 5.4%, dated 3/30/07 due 4/2/07 (Collateralized by U.S. Government Obligations) # | $ 905,407 | 905,000 | |
With: | |||
Banc of America Securities LLC at 5.48%, dated 3/30/07 due 4/2/07 (Collateralized by Mortgage Loan Obligations valued at $278,250,000, 0% - 7.8%, 5/15/08 - 12/12/49) | 265,121,017 | 265,000,000 | |
Cash Equivalents - continued | |||
Maturity | Value | ||
With: - continued | |||
Barclays Capital, Inc. at 5.48%, dated 3/30/07 due 4/2/07 (Collateralized by Corporate Obligations valued at $535,500,001, 2.16% - 6.85%, 3/10/08 - 5/25/16) | $ 525,239,750 | $ 525,000,000 | |
Merrill Lynch, Pierce, Fenner & Smith at 5.48%, dated 3/30/07 due 4/2/07 (Collateralized by Mortgage Loan Obligations valued at $529,240,155, 4.5% - 9%, 8/20/20 - 2/15/47) | 505,230,511 | 505,000,000 | |
TOTAL CASH EQUIVALENTS (Cost $1,295,905,000) | 1,295,905,000 | ||
TOTAL INVESTMENT PORTFOLIO - 96.3% (Cost $12,680,599,397) | 12,656,949,345 | ||
NET OTHER ASSETS - 3.7% | 489,579,499 | ||
NET ASSETS - 100% | $ 13,146,528,844 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
404 Eurodollar 90 Day Index Contracts | June 2007 | $ 398,682,350 | $ (163,216) | ||
Sold | |||||
Eurodollar Contracts | |||||
24 Eurodollar 90 Day Index Contracts | Sept. 2007 | 23,695,500 | 37,703 | ||
20 Eurodollar 90 Day Index Contracts | Dec. 2007 | 19,756,250 | 21,370 | ||
20 Eurodollar 90 Day Index Contracts | March 2008 | 19,763,750 | 12,870 | ||
13 Eurodollar 90 Day Index Contracts | June 2008 | 12,848,713 | 10,136 | ||
12 Eurodollar 90 Day Index Contracts | Sept. 2008 | 11,860,950 | 8,052 | ||
5 Eurodollar 90 Day Index Contracts | Dec. 2008 | 4,941,875 | 980 | ||
3 Eurodollar 90 Day Index Contracts | March 2009 | 2,964,900 | 688 | ||
TOTAL EURODOLLAR CONTRACTS | 91,799 | ||||
$ (71,417) | |||||
Swap Agreements | |||||
Notional Amount | Value | ||||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon default event of Securitized Asset Backed Receivables LLC Trust, par value of the notional amount of Securitized Asset Backed Receivables LLC Trust Series 2006-OP1 Class B2, 6.72% 10/25/35 | Nov. 2035 | $ 7,900,000 | $ (217,483) | ||
Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon default event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors, Inc. Series 2006-HE5 Class B3, 7.32% 8/25/37 | Sept. 2037 | 20,000,000 | (2,802,878) | ||
Receive monthly notional amount multiplied by 3.05% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006-HE3 Class B3, 7.22% 4/25/36 | May 2036 | 5,300,000 | (877,952) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 | Dec. 2034 | 3,000,000 | (211,292) | ||
Receive monthly notional amount multiplied by .42% and pay Bank of America upon default event of Bear Stearns Asset Backed Securities, par value of the notional amount of Bear Stearns Asset Backed Securities Series 2005-HE2 | March 2035 | 6,900,000 | (164,287) | ||
Receive monthly notional amount multiplied by .42% and pay Bank of America upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2005-B Class M7, 6.055% 4/25/35 | May 2035 | 6,900,000 | (269,691) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .52% and pay Bank of America upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M6, 6.835% 9/25/34 | Oct. 2034 | $ 9,900,000 | $ (167,740) | ||
Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35 | Feb. 2035 | 3,000,000 | (77,775) | ||
Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35 | June 2035 | 3,000,000 | (74,292) | ||
Receive monthly notional amount multiplied by 1.85% and pay Citibank upon default event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-NC2 Class M9, 7.02% 6/25/36 | July 2036 | 5,500,000 | (650,021) | ||
Receive monthly notional amount multiplied by 1.9% and pay Morgan Stanley, Inc., upon default event of Morgan Stanley ABS Capital, par value of the notional amount of Morgan Stanley ABS Capital I Series 2006-HE3 Class B3, 7.2225% 4/25/36 | May 2036 | 4,100,000 | (917,593) | ||
Receive monthly notional amount multiplied by 3% and pay JPMorgan Chase, Inc. upon default event of GSAMP Trust, par value of the notional amount of GSAMP Trust Series 2006-NC2 Class M9, 7.3744% 6/25/36 | July 2036 | 7,900,000 | (1,177,758) | ||
Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon default event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36 | August 2036 | 20,000,000 | (2,518,000) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.66% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 | June 2035 | $ 7,900,000 | $ (597,848) | ||
Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.22% 7/25/36 | August 2036 | 20,000,000 | (2,905,722) | ||
Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-8 Class M9, 7.12% 9/25/36 | Oct. 2036 | 20,000,000 | (2,990,244) | ||
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 | June 2035 | 2,700,000 | (194,657) | ||
Receive quarterly notional amount multiplied by .20% and pay Merrill Lynch, Inc. upon default event of American Transmission Co. LLC, par value of the notional amount of American Transmission Co. LLC 7.125% 3/15/11 | May 2007 | 10,555,000 | $ 1,906 | ||
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | 13,540,000 | 14,702 | ||
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Dec. 2008 | 10,650,000 | 54,646 | ||
TOTAL CREDIT DEFAULT SWAPS | 188,745,000 | (16,743,979) | |||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Total Return Swaps | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | April 2008 | $ 86,000,000 | $ (92,116) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 8 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | May 2007 | 65,225,000 | (27,786) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 9 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | April 2007 | 85,500,000 | (35,711) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | June 2007 | 71,000,000 | (29,063) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Total Return Swaps - continued | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc. | March 2008 | $ 30,000,000 | $ (14,078) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | July 2007 | 35,000,000 | (14,327) | ||
Receive monthly a return equal to Lehman Brothers ABS Floating Home Equity Index AA and pay monthly a floating rate based on 1-month LIBOR minus 15 basis points with Lehman Brothers, Inc. | Oct. 2007 | 105,000,000 | 24,371 | ||
Receive monthly a return equal to Lehman Brothers ABS Floating Home Equity Index AA and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Lehman Brothers, Inc. | Sept. 2007 | 110,000,000 | (597,636) | ||
Receive monthly a return equal to Lehman Brothers ABS Floating Home Equity Index AA and pay monthly a floating rate based on the 1-month LIBOR plus 2 basis points with Lehman Brothers, Inc. | April 2007 | 85,500,000 | (222,978) | ||
TOTAL TOTAL RETURN SWAPS | 673,225,000 | (1,009,324) | |||
$ 861,970,000 | $ (17,753,303) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,726,800,962 or 20.7% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $548,862. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $17,864,384. |
(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 or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$905,000 due 4/02/07 at 5.40% | |
ABN AMRO Bank N.V., | $ 50,553 |
BNP Paribas Securities Corp. | 50,553 |
Banc of America Securities LLC | 185,121 |
Bank of America, NA | 50,553 |
Barclays Capital, Inc. | 227,487 |
Bear Stearns & Co., Inc. | 12,638 |
Citigroup Global Markets, Inc. | 12,638 |
Countrywide Securities Corp. | 126,382 |
UBS Securities LLC | 161,271 |
WestLB AG | 27,804 |
$ 905,000 |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 84.6% |
United Kingdom | 12.4% |
Others (individually less than 1%) | 3.0% |
100.0% |
Income Tax Information |
At September 30, 2006, the fund had a capital loss carryforward of approximately $4,021,300 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, 2007 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $1,295,905,000) - See accompanying schedule: Unaffiliated issuers (cost $12,680,599,397) | $ 12,656,949,345 | |
Cash | 782 | |
Receivable for investments sold | 669,979,337 | |
Receivable for swap agreements | 337,373 | |
Interest receivable | 46,893,825 | |
Receivable for daily variation on futures contracts | 2,925 | |
Other receivables | 24,914 | |
Total assets | 13,374,188,501 | |
Liabilities | ||
Payable for investments purchased | $ 28,430,735 | |
Delayed delivery | 117,900,533 | |
Distributions payable | 63,485,847 | |
Swap agreements, at value | 17,753,303 | |
Other payables and accrued expenses | 89,239 | |
Total liabilities | 227,659,657 | |
Net Assets | $ 13,146,528,844 | |
Net Assets consist of: | ||
Paid in capital | $ 13,192,836,974 | |
Undistributed net investment income | 678,944 | |
Accumulated undistributed net realized gain (loss) on investments | (5,512,302) | |
Net unrealized appreciation (depreciation) on investments | (41,474,772) | |
Net Assets, for 132,611,009 shares outstanding | $ 13,146,528,844 | |
Net Asset Value, offering price and redemption price per share ($13,146,528,844 ÷ 132,611,009 shares) | $ 99.14 |
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, 2007 | ||
Investment Income | ||
Interest (including $276,754 from affiliated interfund lending) | $ 340,521,009 | |
Expenses | ||
Custodian fees and expenses | $ 87,934 | |
Independent trustees' compensation | 17,787 | |
Audit | 61,326 | |
Legal | 8,938 | |
Insurance | 38,780 | |
Miscellaneous | 2,036 | |
Total expenses before reductions | 216,801 | |
Expense reductions | (68,834) | 147,967 |
Net investment income | 340,373,042 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,379,262) | |
Futures contracts | 128,851 | |
Swap agreements | 1,149,402 | |
Total net realized gain (loss) | (1,101,009) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (27,098,559) | |
Futures contracts | (383,756) | |
Swap agreements | (17,764,740) | |
Total change in net unrealized appreciation (depreciation) | (45,247,055) | |
Net gain (loss) | (46,348,064) | |
Net increase (decrease) in net assets resulting from operations | $ 294,024,978 |
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 | $ 340,373,042 | $ 372,834,059 |
Net realized gain (loss) | (1,101,009) | 2,565,009 |
Change in net unrealized appreciation (depreciation) | (45,247,055) | (1,779,496) |
Net increase (decrease) in net assets resulting | 294,024,978 | 373,619,572 |
Distributions to shareholders from net investment income | (340,451,615) | (372,786,549) |
Distributions to shareholders from net realized gain | (1,637,496) | - |
Total distributions | (342,089,111) | (372,786,549) |
Affiliated share transactions | 6,357,840,650 | 4,705,265,575 |
Cost of shares redeemed | (1,719,947,981) | (2,809,950,462) |
Net increase (decrease) in net assets resulting from share transactions | 4,637,892,669 | 1,895,315,113 |
Total increase (decrease) in net assets | 4,589,828,536 | 1,896,148,136 |
Net Assets | ||
Beginning of period | 8,556,700,308 | 6,660,552,172 |
End of period (including undistributed net investment income of $678,944 and undistributed net investment income of $757,517, respectively) | $ 13,146,528,844 | $ 8,556,700,308 |
Other Information Shares | ||
Sold | 63,911,982 | 47,302,203 |
Redeemed | (17,303,128) | (28,248,537) |
Net increase (decrease) | 46,608,854 | 19,053,666 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended September 30, | |||||
2007 | 2006 | 2005 | 2004 | 2003 | 2002 H | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 99.49 | $ 99.49 | $ 99.52 | $ 99.49 | $ 99.15 | $ 100.00 |
Income from Investment Operations | ||||||
Net investment income D | 2.772 | 4.999 | 3.167 | 1.764 | 1.917 | 3.022 |
Net realized and unrealized gain (loss) | (.327) | (.015) | (.059) | - G | .450 | (.743) |
Total from investment operations | 2.445 | 4.984 | 3.108 | 1.764 | 2.367 | 2.279 |
Distributions from net investment income | (2.781) | (4.984) | (3.138) | (1.734) | (2.027) | (3.129) |
Distributions from net realized gain | (.014) | - | - | - | - | - |
Total distributions | (2.795) | (4.984) | (3.138) | (1.734) | (2.027) | (3.129) |
Net asset value, end of period | $ 99.14 | $ 99.49 | $ 99.49 | $ 99.52 | $ 99.49 | $ 99.15 |
Total Return B, C | 2.48% | 5.13% | 3.17% | 1.79% | 2.36% | 2.39% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions E | -% A | -% | -% | -% | -% | -% |
Expenses net of fee waivers, | -% A | -% | -% | -% | -% | -% |
Expenses net of all reductions E | -% A | -% | -% | -% | -% | -% |
Net investment income | 5.61% A | 5.03% | 3.18% | 1.77% | 1.94% | 3.05% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 13,146,529 | $ 8,556,700 | $ 6,660,552 | $ 5,495,704 | $ 4,987,445 | $ 2,232,319 |
Portfolio turnover rate | 39% A | 41% | 49% | 50% | 58% | 167% |
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 Amount represents less than .01%.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
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, 2007
1. Organization.
Fidelity Ultra-Short Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Semiannual Report
Notes to Financial Statements - continued
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
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, and capital loss carryforwards.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 10,429,698 | |
Unrealized depreciation | (32,915,054) | |
Net unrealized appreciation (depreciation) | $ (22,485,356) | |
Cost for federal income tax purposes | $ 12,679,434,701 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
Semiannual Report
3. 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. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
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. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in
Semiannual Report
Notes to Financial Statements - continued
3. Operating Policies - continued
Futures Contracts - continued
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 contract's terms. 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.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Semiannual Report
3. Operating Policies - continued
Swap Agreements - continued
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $5,716,472,235 and $1,609,291,997, respectively.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. FIMM and FMR have entered into a service agreement under which FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays Fidelity Service Company, Inc. (FSC), an affiliate of FMR, the fees for maintaining the accounting records of the Fund.
Semiannual Report
Notes to Financial Statements - continued
4. Purchases and Sales of Investments - continued
Management Fee and Expense Contract - continued
Effective April 1, 2007 the expense contract was amended whereby FMR will pay all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees and certain exceptions such as interest expense.
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 affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:
Borrower or Lender | Average Daily Loan Balance | Weighted Average Interest Rate |
Lender | $ 13,003,514 | 5.40% |
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 $68,834.
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 schedule of investments, as of March 31, 2007, 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, 2007 and for the year ended September 30, 2006, and the financial highlights for the six months ended March 31, 2007, and each of the five years in the period ended September 30, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Ultra-Short Central Fund as of March 31, 2007, the results of its operations for the six months then ended, the changes in its net assets for the six months then ended and the year ended September 30, 2006 and its financial highlights for the six months ended March 31, 2007 and each of the years in the five year period ended September 30, 2006, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
Semiannual Report
May 21, 2007
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'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/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | May 30, 2007 |
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/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | May 30, 2007 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | May 30, 2007 |