UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2007 |
Item 1. Reports to Stockholders
Fidelity® Variable Insurance Products:
Investment Grade Central Fund
Semiannual Report
June 30, 2007
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
VIGC-SANN-0807 469158.1.0
1.831205.101
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 (January 1, 2007 to June 30, 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,008.30 | $ .02 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.78 | $ .02 |
* Expenses are equal to the Fund's annualized expense ratio of .0032%; multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2007 | As of December 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 17.3% | ![]() | AAA 14.7% | ||||
![]() | AA 6.3% | ![]() | AA 5.5% | ||||
![]() | A 6.0% | ![]() | A 6.8% | ||||
![]() | BBB 17.6% | ![]() | BBB 18.5% | ||||
![]() | BB and Below 2.0% | ![]() | BB and Below 1.3% | ||||
![]() | Not Rated 0.7% | ![]() | Not Rated 0.5% | ||||
![]() | 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. |
Weighted Average Maturity as of June 30, 2007 | ||
6 months ago | ||
Years | 5.8 | 5.7 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of June 30, 2007 | ||
6 months ago | ||
Years | 4.5 | 4.2 |
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 June 30, 2007 * | As of December 31, 2006 ** | ||||||
![]() | Corporate Bonds 23.4% | ![]() | Corporate Bonds 23.7% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other | ![]() | CMOs and Other | ||||
![]() | Other Investments 0.2% | ![]() | Other Investments 0.9% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 6.9% | ** Foreign investments | 9.0% | ||||
* Futures and Swaps | 16.0% | ** Futures and Swaps | 19.0% |
***Short-Term Investments and Net Other Assets are not included in the pie chart.
Semiannual Report
Investments June 30, 2007 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 20.6% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 1.4% | ||||
Household Durables - 0.2% | ||||
Fortune Brands, Inc.: | ||||
5.125% 1/15/11 | $ 4,010,000 | $ 3,912,998 | ||
5.875% 1/15/36 | 1,035,000 | 896,541 | ||
4,809,539 | ||||
Media - 1.2% | ||||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 100,000 | 103,409 | ||
6.875% 5/1/12 | 290,000 | 302,548 | ||
7.625% 4/15/31 | 1,625,000 | 1,740,978 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 2,975,000 | 2,729,194 | ||
5.5% 3/15/11 | 2,675,000 | 2,661,545 | ||
Cox Communications, Inc.: | ||||
4.625% 1/15/10 | 3,350,000 | 3,272,089 | ||
4.625% 6/1/13 | 3,475,000 | 3,254,671 | ||
6.45% 12/1/36 (a) | 1,560,000 | 1,500,383 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 1,905,000 | 2,089,366 | ||
News America, Inc. 6.2% 12/15/34 | 6,695,000 | 6,241,012 | ||
Time Warner Cable, Inc.: | ||||
5.85% 5/1/17 (a) | 2,467,000 | 2,399,523 | ||
6.55% 5/1/37 (a) | 9,000,000 | 8,698,563 | ||
Time Warner, Inc. 5.875% 11/15/16 | 400,000 | 389,040 | ||
Viacom, Inc. 5.75% 4/30/11 | 1,410,000 | 1,407,958 | ||
36,790,279 | ||||
TOTAL CONSUMER DISCRETIONARY | 41,599,818 | |||
CONSUMER STAPLES - 0.8% | ||||
Beverages - 0.1% | ||||
FBG Finance Ltd. 5.125% 6/15/15 (a) | 2,185,000 | 2,047,773 | ||
Food & Staples Retailing - 0.3% | ||||
CVS Caremark Corp.: | ||||
6.036% 12/10/28 (a) | 7,365,787 | 7,148,717 | ||
6.302% 6/1/37 (d) | 3,895,000 | 3,833,961 | ||
10,982,678 | ||||
Food Products - 0.1% | ||||
H.J. Heinz Co. 6.428% 12/1/08 (a)(d) | 2,935,000 | 2,964,291 | ||
Tobacco - 0.3% | ||||
Altria Group, Inc. 7% 11/4/13 | 505,000 | 535,627 | ||
Philip Morris Companies, Inc. 7.65% 7/1/08 | 2,500,000 | 2,547,595 | ||
Principal Amount | Value | |||
Reynolds American, Inc.: | ||||
6.75% 6/15/17 | $ 3,885,000 | $ 3,930,066 | ||
7.25% 6/15/37 | 3,055,000 | 3,144,948 | ||
10,158,236 | ||||
TOTAL CONSUMER STAPLES | 26,152,978 | |||
ENERGY - 2.3% | ||||
Energy Equipment & Services - 0.2% | ||||
Petronas Capital Ltd. 7% 5/22/12 (a) | 6,135,000 | 6,494,180 | ||
Oil, Gas & Consumable Fuels - 2.1% | ||||
Amerada Hess Corp. 6.65% 8/15/11 | 1,045,000 | 1,079,689 | ||
Devon Financing Corp. U.L.C. 6.875% 9/30/11 | 3,000,000 | 3,131,805 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 3,575,000 | 3,510,314 | ||
6.25% 2/15/13 | 855,000 | 867,346 | ||
6.75% 2/15/32 | 4,255,000 | 4,188,082 | ||
Duke Energy Field Services 6.45% 11/3/36 (a) | 3,300,000 | 3,259,809 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 (a) | 3,330,000 | 3,225,458 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (a) | 6,135,000 | 6,391,099 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 320,000 | 318,459 | ||
Kinder Morgan Energy Partners LP 5.125% 11/15/14 | 6,045,000 | 5,701,596 | ||
Nakilat, Inc. 6.067% 12/31/33 (a) | 4,615,000 | 4,324,532 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (a) | 925,000 | 881,266 | ||
Nexen, Inc. 5.875% 3/10/35 | 1,655,000 | 1,485,242 | ||
Pemex Project Funding Master Trust: | ||||
5.75% 12/15/15 | 1,825,000 | 1,790,325 | ||
5.96% 12/3/12 (a)(d) | 410,000 | 415,330 | ||
6.125% 8/15/08 | 6,850,000 | 6,891,100 | ||
6.66% 6/15/10 (a)(d) | 4,480,000 | 4,600,960 | ||
Plains All American Pipeline LP: | ||||
6.125% 1/15/17 (a) | 1,705,000 | 1,692,201 | ||
6.65% 1/15/37 (a) | 3,190,000 | 3,145,206 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III: | ||||
5.832% 9/30/16 (a) | 2,375,000 | 2,334,886 | ||
6.332% 9/30/27 (a) | 2,415,000 | 2,363,222 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 1,380,000 | 1,390,350 | ||
62,988,277 | ||||
TOTAL ENERGY | 69,482,457 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - 8.9% | ||||
Capital Markets - 1.8% | ||||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | $ 3,770,000 | $ 3,654,766 | ||
5.625% 1/15/17 | 3,000,000 | 2,875,239 | ||
5.7% 9/1/12 | 2,935,000 | 2,933,221 | ||
6.6% 1/15/12 | 4,610,000 | 4,773,738 | ||
Janus Capital Group, Inc.: | ||||
5.875% 9/15/11 | 2,041,000 | 2,044,760 | ||
6.25% 6/15/12 | 6,015,000 | 6,055,349 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 3,090,000 | 2,975,812 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 (a) | 3,230,000 | 3,232,229 | ||
7.125% 5/15/15 | 5,585,000 | 5,761,062 | ||
Lehman Brothers Holdings, Inc. 6% 5/3/32 (d) | 2,960,000 | 2,791,955 | ||
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 7,275,000 | 7,073,679 | ||
Morgan Stanley: | ||||
4.75% 4/1/14 | 1,500,000 | 1,400,759 | ||
6.6% 4/1/12 | 7,695,000 | 7,980,215 | ||
53,552,784 | ||||
Commercial Banks - 0.7% | ||||
Bank of America NA: | ||||
5.3% 3/15/17 | 1,480,000 | 1,413,230 | ||
6% 10/15/36 | 1,480,000 | 1,428,475 | ||
Credit Suisse (Guernsey) Ltd. 5.86% | 4,785,000 | 4,610,166 | ||
Korea Development Bank 3.875% 3/2/09 | 5,775,000 | 5,616,476 | ||
SouthTrust Corp. 5.8% 6/15/14 | 1,440,000 | 1,437,608 | ||
Wachovia Bank NA: | ||||
4.875% 2/1/15 | 4,405,000 | 4,161,148 | ||
5.85% 2/1/37 | 3,000,000 | 2,838,939 | ||
Wachovia Corp. 4.875% 2/15/14 | 785,000 | 748,943 | ||
22,254,985 | ||||
Consumer Finance - 0.7% | ||||
American Express Co. 6.8% 9/1/66 (d) | 1,625,000 | 1,675,568 | ||
Capital One Financial Corp. 5.7% 9/15/11 | 1,375,000 | 1,368,197 | ||
Discover Financial Services 5.89% 6/11/10 (a)(d) | 7,050,000 | 7,049,069 | ||
HSBC Finance Corp. 5% 6/30/15 | 3,525,000 | 3,301,645 | ||
MBNA America Bank NA 7.125% 11/15/12 | 1,075,000 | 1,147,285 | ||
MBNA Corp. 7.5% 3/15/12 | 1,860,000 | 2,003,458 | ||
SLM Corp.: | ||||
4.5% 7/26/10 | 645,000 | 596,376 | ||
5.515% 7/26/10 (d) | 4,082,000 | 3,872,001 | ||
21,013,599 | ||||
Principal Amount | Value | |||
Diversified Financial Services - 1.3% | ||||
Bank of America Corp. 7.4% 1/15/11 | $ 9,125,000 | $ 9,660,665 | ||
Citigroup, Inc.: | ||||
5% 9/15/14 | 2,325,000 | 2,211,684 | ||
6.125% 8/25/36 | 6,000,000 | 5,891,508 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (d) | 20,000 | 19,611 | ||
5.6% 6/1/11 | 127,000 | 127,298 | ||
5.75% 1/2/13 | 3,500,000 | 3,500,907 | ||
JPMorgan Chase Capital XVII 5.85% 8/1/35 | 6,975,000 | 6,340,498 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (a) | 3,375,000 | 3,190,256 | ||
5.5% 1/15/14 (a) | 2,405,000 | 2,377,852 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (a)(d) | 3,400,000 | 3,297,850 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (a)(d) | 2,035,000 | 1,968,140 | ||
38,586,269 | ||||
Insurance - 0.6% | ||||
AMBAC Financial Group, Inc. 6.15% 2/15/37 | 2,680,000 | 2,401,988 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 420,000 | 408,035 | ||
Lincoln National Corp. 7% 5/17/66 (d) | 5,510,000 | 5,653,701 | ||
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 4,259,000 | 4,365,696 | ||
Principal Life Global Funding I 6.25% 2/15/12 (a) | 2,310,000 | 2,376,119 | ||
Symetra Financial Corp. 6.125% 4/1/16 (a) | 3,855,000 | 3,812,279 | ||
19,017,818 | ||||
Real Estate Investment Trusts - 2.6% | ||||
AMB Property LP 5.9% 8/15/13 | 2,575,000 | 2,578,059 | ||
Archstone-Smith Operating Trust 5.25% 5/1/15 | 6,480,000 | 6,264,326 | ||
Arden Realty LP 5.25% 3/1/15 | 625,000 | 606,895 | ||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | 1,365,000 | 1,333,316 | ||
5.625% 12/15/10 | 2,260,000 | 2,257,724 | ||
5.7% 5/1/17 | 5,000,000 | 4,841,875 | ||
5.75% 4/1/12 | 1,115,000 | 1,113,942 | ||
Camden Property Trust 5.375% 12/15/13 | 1,655,000 | 1,612,677 | ||
Colonial Properties Trust: | ||||
4.75% 2/1/10 | 615,000 | 601,811 | ||
5.5% 10/1/15 | 6,290,000 | 6,045,520 | ||
Developers Diversified Realty Corp.: | ||||
3.875% 1/30/09 | 1,010,000 | 983,909 | ||
4.625% 8/1/10 | 225,000 | 218,345 | ||
5% 5/3/10 | 2,435,000 | 2,392,302 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Developers Diversified Realty Corp.: - continued | ||||
5.25% 4/15/11 | $ 1,395,000 | $ 1,371,380 | ||
5.375% 10/15/12 | 1,240,000 | 1,215,126 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 925,000 | 876,916 | ||
5.5% 3/1/16 | 1,270,000 | 1,233,536 | ||
5.625% 8/15/11 | 2,325,000 | 2,319,836 | ||
5.95% 2/15/17 | 685,000 | 682,351 | ||
6.95% 3/15/11 | 1,535,000 | 1,599,409 | ||
Equity One, Inc. 6% 9/15/17 (a) | 1,760,000 | 1,721,562 | ||
Federal Realty Investment Trust 5.4% 12/1/13 | 1,390,000 | 1,350,527 | ||
Hospitality Properties Trust 5.625% 3/15/17 | 4,210,000 | 4,017,498 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 670,000 | 655,052 | ||
6.25% 6/15/17 | 4,455,000 | 4,488,871 | ||
Liberty Property LP 5.5% 12/15/16 | 1,715,000 | 1,648,070 | ||
Mack-Cali Realty LP: | ||||
5.05% 4/15/10 | 1,735,000 | 1,704,429 | ||
7.25% 3/15/09 | 1,085,000 | 1,114,137 | ||
Reckson Operating Partnership LP: | ||||
5.15% 1/15/11 | 795,000 | 773,641 | ||
6% 3/31/16 | 3,099,000 | 2,955,045 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 2,965,000 | 2,887,065 | ||
4.875% 8/15/10 | 2,455,000 | 2,409,141 | ||
5% 3/1/12 | 2,060,000 | 2,005,698 | ||
5.1% 6/15/15 | 3,210,000 | 3,051,266 | ||
5.375% 6/1/11 | 2,020,000 | 2,004,852 | ||
7.75% 1/20/11 | 595,000 | 635,857 | ||
UDR, Inc. 5.5% 4/1/14 | 2,690,000 | 2,623,597 | ||
United Dominion Realty Trust, Inc. 5.25% 1/15/15 | 890,000 | 848,521 | ||
Washington (REIT) 5.95% 6/15/11 | 3,015,000 | 3,032,394 | ||
80,076,478 | ||||
Real Estate Management & Development - 0.5% | ||||
ERP Operating LP 5.5% 10/1/12 | 1,585,000 | 1,570,150 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 2,655,000 | 2,702,933 | ||
Realogy Corp.: | ||||
7.15% 10/15/11 (a) | 2,045,000 | 2,050,113 | ||
7.5% 10/15/16 (a) | 4,620,000 | 4,620,000 | ||
Regency Centers LP: | ||||
5.875% 6/15/17 | 3,005,000 | 2,955,123 | ||
6.75% 1/15/12 | 2,035,000 | 2,115,049 | ||
16,013,368 | ||||
Principal Amount | Value | |||
Thrifts & Mortgage Finance - 0.7% | ||||
Capmark Financial Group, Inc.: | ||||
5.875% 5/10/12 (a) | $ 3,610,000 | $ 3,562,691 | ||
6.3% 5/10/17 (a) | 1,400,000 | 1,377,674 | ||
Independence Community Bank Corp. 3.75% 4/1/14 (d) | 3,820,000 | 3,695,017 | ||
Residential Capital LLC 6.5% 6/1/12 | 6,000,000 | 5,854,758 | ||
Washington Mutual, Inc. 4.625% 4/1/14 | 7,200,000 | 6,617,642 | ||
21,107,782 | ||||
TOTAL FINANCIALS | 271,623,083 | |||
HEALTH CARE - 0.1% | ||||
Pharmaceuticals - 0.1% | ||||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 2,940,000 | 2,817,067 | ||
INDUSTRIALS - 2.0% | ||||
Aerospace & Defense - 0.3% | ||||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (a) | 3,465,000 | 3,388,236 | ||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (a) | 4,515,000 | 4,289,250 | ||
7.45% 5/1/34 (a) | 420,000 | 405,300 | ||
8,082,786 | ||||
Airlines - 1.3% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.855% 10/15/10 | 208,963 | 210,008 | ||
6.978% 10/1/12 | 673,976 | 681,559 | ||
7.024% 4/15/11 | 2,180,000 | 2,212,700 | ||
7.858% 4/1/13 | 3,480,000 | 3,680,100 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.648% 3/15/19 | 2,200,921 | 2,217,428 | ||
6.795% 2/2/20 | 3,776,335 | 3,719,690 | ||
Delta Air Lines, Inc. pass thru trust certificates 7.57% 11/18/10 | 4,650,000 | 4,825,352 | ||
U.S. Airways pass thru trust certificates: | ||||
6.85% 7/30/19 | 1,552,668 | 1,610,893 | ||
8.36% 7/20/20 | 5,803,527 | 6,311,336 | ||
United Airlines pass thru trust certificates: | ||||
6.071% 9/1/14 | 741,407 | 745,114 | ||
6.201% 3/1/10 | 314,832 | 317,981 | ||
6.602% 9/1/13 | 948,785 | 955,901 | ||
7.032% 4/1/12 | 1,459,553 | 1,473,244 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
United Airlines pass thru trust certificates: - continued | ||||
7.186% 10/1/12 | $ 3,617,033 | $ 3,698,417 | ||
United Air Lines, Inc. pass-thru certificates Class 1A, 6.636% 7/2/22 | 6,120,000 | 6,089,400 | ||
38,749,123 | ||||
Commercial Services & Supplies - 0.1% | ||||
R.R. Donnelley & Sons Co. 5.5% 5/15/15 | 3,395,000 | 3,144,415 | ||
Industrial Conglomerates - 0.3% | ||||
Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (a) | 3,600,000 | 3,576,758 | ||
Hutchison Whampoa International Ltd. 6.5% 2/13/13 (a) | 6,485,000 | 6,671,042 | ||
10,247,800 | ||||
TOTAL INDUSTRIALS | 60,224,124 | |||
INFORMATION TECHNOLOGY - 0.2% | ||||
IT Services - 0.0% | ||||
The Western Union Co. 5.4% 11/17/11 | 2,365,000 | 2,333,257 | ||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
Chartered Semiconductor Manufacturing Ltd. 5.75% 8/3/10 | 195,000 | 195,316 | ||
National Semiconductor Corp. 6.15% 6/15/12 | 5,265,000 | 5,325,068 | ||
5,520,384 | ||||
TOTAL INFORMATION TECHNOLOGY | 7,853,641 | |||
MATERIALS - 0.2% | ||||
Metals & Mining - 0.2% | ||||
United States Steel Corp. 6.65% 6/1/37 | 2,270,000 | 2,198,261 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 3,115,000 | 3,089,519 | ||
5,287,780 | ||||
Paper & Forest Products - 0.0% | ||||
International Paper Co. 4.25% 1/15/09 | 1,900,000 | 1,861,905 | ||
TOTAL MATERIALS | 7,149,685 | |||
TELECOMMUNICATION SERVICES - 1.7% | ||||
Diversified Telecommunication Services - 1.4% | ||||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,150,000 | 2,400,067 | ||
AT&T, Inc. 6.8% 5/15/36 | 3,550,000 | 3,676,721 | ||
Principal Amount | Value | |||
British Telecommunications plc 9.125% 12/15/30 | $ 2,250,000 | $ 2,944,766 | ||
Deutsche Telekom International Finance BV 5.25% 7/22/13 | 2,500,000 | 2,417,653 | ||
SBC Communications, Inc.: | ||||
6.15% 9/15/34 | 1,180,000 | 1,131,395 | ||
6.45% 6/15/34 | 3,620,000 | 3,577,440 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 2,610,000 | 2,484,362 | ||
8.75% 3/15/32 | 5,210,000 | 5,851,507 | ||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | 2,000,000 | 1,853,052 | ||
7.2% 7/18/36 | 1,470,000 | 1,511,253 | ||
Telefonica Emisiones SAU: | ||||
6.221% 7/3/17 (b) | 2,885,000 | 2,877,776 | ||
7.045% 6/20/36 | 3,645,000 | 3,774,678 | ||
Verizon Global Funding Corp. 7.75% 12/1/30 | 5,043,000 | 5,648,982 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 1,095,000 | 1,141,656 | ||
41,291,308 | ||||
Wireless Telecommunication Services - 0.3% | ||||
America Movil SAB de CV 4.125% 3/1/09 | 1,755,000 | 1,720,993 | ||
AT&T Wireless Services, Inc.: | ||||
7.875% 3/1/11 | 740,000 | 795,632 | ||
8.125% 5/1/12 | 1,130,000 | 1,242,485 | ||
Sprint Nextel Corp. 6% 12/1/16 | 2,710,000 | 2,570,855 | ||
Vodafone Group PLC 5% 12/16/13 | 3,890,000 | 3,693,361 | ||
10,023,326 | ||||
TOTAL TELECOMMUNICATION SERVICES | 51,314,634 | |||
UTILITIES - 3.0% | ||||
Electric Utilities - 1.5% | ||||
AmerenUE 6.4% 6/15/17 | 6,014,000 | 6,135,537 | ||
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 4,640,000 | 4,545,590 | ||
Commonwealth Edison Co. 5.4% 12/15/11 | 2,394,000 | 2,344,966 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 5,075,000 | 4,670,314 | ||
6.75% 5/1/11 | 2,230,000 | 2,297,611 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 2,980,000 | 3,055,731 | ||
Nevada Power Co. 6.5% 5/15/18 | 3,165,000 | 3,284,954 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (d) | 6,230,000 | 5,999,004 | ||
Progress Energy, Inc.: | ||||
5.625% 1/15/16 | 2,000,000 | 1,958,932 | ||
7.1% 3/1/11 | 3,277,000 | 3,433,827 | ||
TXU Energy Co. LLC 7% 3/15/13 | 7,275,000 | 7,504,090 | ||
45,230,556 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Gas Utilities - 0.2% | ||||
NiSource Finance Corp.: | ||||
5.4% 7/15/14 | $ 3,885,000 | $ 3,734,876 | ||
5.45% 9/15/20 | 2,135,000 | 1,931,167 | ||
7.875% 11/15/10 | 925,000 | 984,924 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 185,000 | 194,600 | ||
6,845,567 | ||||
Independent Power Producers & Energy Traders - 0.4% | ||||
Constellation Energy Group, Inc. 7% 4/1/12 | 5,735,000 | 6,008,657 | ||
PPL Energy Supply LLC: | ||||
5.7% 10/15/35 | 3,030,000 | 2,926,080 | ||
6.2% 5/15/16 | 2,715,000 | 2,690,171 | ||
TXU Corp. 5.55% 11/15/14 | 980,000 | 852,600 | ||
12,477,508 | ||||
Multi-Utilities - 0.9% | ||||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,540,000 | 3,457,277 | ||
6.25% 6/30/12 | 3,230,000 | 3,354,297 | ||
6.3% 9/30/66 (d) | 4,255,000 | 4,279,556 | ||
DTE Energy Co. 7.05% 6/1/11 | 3,500,000 | 3,656,891 | ||
MidAmerican Energy Holdings, Co. 5.875% 10/1/12 | 2,880,000 | 2,904,846 | ||
National Grid PLC 6.3% 8/1/16 | 7,060,000 | 7,188,838 | ||
TECO Energy, Inc. 7% 5/1/12 | 1,740,000 | 1,798,073 | ||
WPS Resources Corp. 6.11% 12/1/66 (d) | 2,330,000 | 2,234,251 | ||
28,874,029 | ||||
TOTAL UTILITIES | 93,427,660 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $639,136,422) | 631,645,147 | |||
U.S. Government and Government Agency Obligations - 27.7% | ||||
U.S. Government Agency Obligations - 2.4% | ||||
Fannie Mae: | ||||
3.25% 2/15/09 | 3,286,000 | 3,186,033 | ||
4.75% 12/15/10 | 9,565,000 | 9,430,306 | ||
5% 2/16/12 | 12,000,000 | 11,853,750 | ||
6.625% 9/15/09 | 3,020,000 | 3,108,900 | ||
Federal Home Loan Bank 5.375% 8/19/11 | 8,940,000 | 8,976,663 | ||
Freddie Mac: | ||||
4% 6/12/13 | 17,620,000 | 16,416,448 | ||
4.75% 3/5/09 | 5,462,000 | 5,421,035 | ||
5.25% 7/18/11 | 413,000 | 412,965 | ||
5.75% 1/15/12 | 6,410,000 | 6,533,476 | ||
6.625% 9/15/09 | 3,475,000 | 3,576,880 | ||
Principal Amount | Value | |||
Tennessee Valley Authority 5.375% 4/1/56 | $ 2,375,000 | $ 2,250,714 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | 2,330,000 | 2,329,711 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 73,496,881 | |||
U.S. Treasury Inflation Protected Obligations - 6.3% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 24,215,094 | 22,989,752 | ||
2% 4/15/12 | 10,183,300 | 9,877,293 | ||
2% 1/15/14 (c) | 128,719,848 | 123,675,161 | ||
2% 7/15/14 | 5,481,300 | 5,260,746 | ||
2.375% 4/15/11 | 19,266,412 | 19,049,991 | ||
3.5% 1/15/11 | 11,872,900 | 12,217,150 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 193,070,093 | |||
U.S. Treasury Obligations - 19.0% | ||||
U.S. Treasury Bonds 6.25% 5/15/30 | 46,558,000 | 53,214,351 | ||
U.S. Treasury Notes: | ||||
4.25% 8/15/13 (c) | 49,752,000 | 48,037,894 | ||
4.25% 8/15/14 | 50,000,000 | 47,828,100 | ||
4.5% 9/30/11 | 20,000,000 | 19,671,880 | ||
4.5% 11/30/11 | 65,000,000 | 63,892,985 | ||
4.75% 1/31/12 | 110,000,000 | 109,175,000 | ||
4.75% 5/31/12 (b) | 154,450,000 | 153,244,899 | ||
4.75% 5/15/14 | 86,307,000 | 85,228,163 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 580,293,272 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $858,987,156) | 846,860,246 | |||
U.S. Government Agency - Mortgage Securities - 27.9% | ||||
Fannie Mae - 23.3% | ||||
3.753% 10/1/33 (d) | 276,382 | 275,926 | ||
3.786% 6/1/34 (d) | 1,361,644 | 1,336,726 | ||
3.802% 6/1/33 (d) | 236,887 | 237,975 | ||
3.836% 10/1/33 (d) | 3,329,521 | 3,301,262 | ||
3.847% 10/1/33 (d) | 6,677,236 | 6,670,111 | ||
3.947% 5/1/33 (d) | 81,849 | 81,458 | ||
3.995% 10/1/18 (d) | 202,064 | 200,397 | ||
4% 8/1/18 to 6/1/19 | 3,617,564 | 3,353,180 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
4.013% 4/1/33 (d) | $ 77,617 | $ 77,878 | ||
4.076% 2/1/35 (d) | 162,581 | 162,940 | ||
4.1% 1/1/35 (d) | 462,954 | 464,449 | ||
4.166% 1/1/35 (d) | 602,022 | 590,743 | ||
4.25% 2/1/35 (d) | 289,319 | 284,327 | ||
4.267% 5/1/35 (d) | 290,073 | 290,142 | ||
4.282% 10/1/33 (d) | 113,015 | 112,327 | ||
4.291% 3/1/33 (d) | 294,130 | 295,836 | ||
4.291% 8/1/33 (d) | 510,599 | 511,620 | ||
4.294% 3/1/35 (d) | 256,815 | 258,195 | ||
4.302% 6/1/33 (d) | 142,521 | 143,731 | ||
4.303% 3/1/33 (d) | 154,794 | 152,104 | ||
4.315% 4/1/35 (d) | 131,283 | 131,190 | ||
4.345% 1/1/35 (d) | 309,576 | 304,662 | ||
4.365% 2/1/34 (d) | 572,159 | 568,107 | ||
4.396% 2/1/35 (d) | 445,007 | 437,493 | ||
4.422% 5/1/35 (d) | 223,922 | 224,228 | ||
4.432% 3/1/35 (d) | 407,618 | 400,935 | ||
4.435% 5/1/35 (d) | 780,812 | 780,264 | ||
4.443% 8/1/34 (d) | 826,383 | 820,970 | ||
4.487% 3/1/35 (d) | 922,574 | 908,572 | ||
4.498% 2/1/35 (d) | 1,545,712 | 1,560,002 | ||
4.5% 4/1/18 to 10/1/35 | 97,534,987 | 90,981,813 | ||
4.5% 7/1/22 (b) | 4,000,000 | 3,794,757 | ||
4.5% 7/1/22 (b) | 12,000,000 | 11,384,272 | ||
4.503% 2/1/35 (d) | 226,412 | 227,451 | ||
4.508% 3/1/35 (d) | 902,067 | 888,945 | ||
4.509% 2/1/35 (d) | 127,508 | 129,290 | ||
4.516% 10/1/35 (d) | 76,079 | 75,760 | ||
4.518% 7/1/35 (d) | 943,301 | 940,979 | ||
4.519% 2/1/35 (d) | 4,074,942 | 4,049,985 | ||
4.567% 2/1/35 (d) | 806,749 | 796,539 | ||
4.571% 7/1/35 (d) | 1,044,617 | 1,048,897 | ||
4.574% 2/1/35 (d) | 2,826,746 | 2,789,869 | ||
4.577% 9/1/34 (d) | 882,121 | 873,542 | ||
4.579% 1/1/35 (d) | 345,257 | 344,222 | ||
4.586% 11/1/34 (d) | 806,985 | 798,253 | ||
4.63% 2/1/35 (d) | 9,542,608 | 9,422,841 | ||
4.651% 3/1/35 (d) | 1,865,384 | 1,875,108 | ||
4.658% 11/1/34 (d) | 968,277 | 960,498 | ||
4.678% 5/1/35 (d) | 4,153,866 | 4,165,500 | ||
4.701% 10/1/34 (d) | 947,648 | 940,422 | ||
4.719% 3/1/35 (d) | 86,106 | 86,778 | ||
4.721% 7/1/34 (d) | 775,245 | 770,783 | ||
4.721% 12/1/34 (d) | 611,390 | 606,194 | ||
4.783% 12/1/34 (d) | 252,731 | 250,631 | ||
4.804% 6/1/35 (d) | 1,238,605 | 1,242,175 | ||
4.807% 11/1/34 (d) | 749,499 | 743,912 | ||
4.857% 10/1/34 (d) | 3,110,258 | 3,092,253 | ||
4.87% 5/1/33 (d) | 17,937 | 18,078 | ||
4.942% 8/1/34 (d) | 222,836 | 223,258 | ||
Principal Amount | Value | |||
5% 10/1/17 to 8/1/35 | $ 66,435,142 | $ 63,616,531 | ||
5% 7/1/22 (b) | 10,000,000 | 9,657,965 | ||
5% 7/1/22 (b) | 23,000,000 | 22,213,320 | ||
5% 7/1/37 (b) | 50,000,000 | 46,820,130 | ||
5% 7/1/37 (b) | 40,000,000 | 37,456,104 | ||
5% 7/1/37 (b) | 25,000,000 | 23,410,065 | ||
5.026% 7/1/34 (d) | 119,882 | 119,609 | ||
5.051% 5/1/35 (d) | 1,531,464 | 1,541,877 | ||
5.07% 9/1/34 (d) | 2,301,375 | 2,296,181 | ||
5.092% 5/1/35 (d) | 3,744,649 | 3,773,810 | ||
5.149% 5/1/35 (d) | 947,721 | 942,909 | ||
5.161% 5/1/35 (d) | 2,702,307 | 2,689,231 | ||
5.168% 6/1/35 (d) | 1,081,526 | 1,086,037 | ||
5.17% 8/1/33 (d) | 362,925 | 363,649 | ||
5.196% 5/1/35 (d) | 3,043,978 | 3,031,468 | ||
5.29% 12/1/35 (d) | 1,741,237 | 1,732,504 | ||
5.304% 2/1/36 (d) | 3,489,666 | 3,472,679 | ||
5.315% 7/1/35 (d) | 132,064 | 133,090 | ||
5.478% 2/1/36 (d) | 5,003,198 | 4,999,382 | ||
5.5% 6/1/09 to 2/1/36 | 154,747,626 | 150,300,960 | ||
5.5% 7/1/37 (b) | 45,000,000 | 43,374,816 | ||
5.561% 9/1/36 (d) | 1,778,041 | 1,786,315 | ||
5.598% 1/1/36 (d) | 1,453,529 | 1,456,168 | ||
5.709% 9/1/35 (d) | 1,406,786 | 1,409,199 | ||
5.809% 2/1/36 (d) | 800,323 | 804,109 | ||
5.816% 1/1/36 (d) | 916,998 | 918,409 | ||
6% 6/1/14 to 6/1/36 | 30,298,871 | 30,287,317 | ||
6% 7/1/22 (b) | 3,000,000 | 3,012,588 | ||
6% 8/1/37 (b) | 25,000,000 | 24,748,795 | ||
6.5% 6/1/11 to 7/1/34 | 45,313,178 | 46,168,087 | ||
6.611% 9/1/36 (d) | 4,489,677 | 4,557,135 | ||
7% 3/1/15 to 8/1/32 | 3,822,776 | 3,937,512 | ||
7.5% 8/1/08 to 11/1/31 | 3,015,493 | 3,154,731 | ||
8% 1/1/30 to 5/1/30 | 71,161 | 75,075 | ||
8.5% 3/1/25 to 6/1/25 | 1,333 | 1,422 | ||
TOTAL FANNIE MAE | 713,809,934 | |||
Freddie Mac - 2.5% | ||||
4% 2/1/20 | 3,708,768 | 3,434,881 | ||
4.066% 1/1/35 (d) | 972,230 | 972,540 | ||
4.288% 2/1/35 (d) | 711,065 | 710,310 | ||
4.288% 3/1/35 (d) | 303,087 | 302,532 | ||
4.302% 12/1/34 (d) | 430,360 | 422,016 | ||
4.344% 3/1/35 (d) | 670,934 | 657,490 | ||
4.378% 2/1/35 (d) | 794,048 | 778,339 | ||
4.42% 6/1/35 (d) | 458,398 | 456,059 | ||
4.426% 3/1/35 (d) | 428,762 | 419,908 | ||
4.427% 2/1/34 (d) | 339,451 | 336,138 | ||
4.445% 3/1/35 (d) | 403,810 | 396,044 | ||
4.5% 5/1/19 | 41,797 | 39,794 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Freddie Mac - continued | ||||
4.541% 2/1/35 (d) | $ 708,225 | $ 695,398 | ||
4.772% 10/1/34 (d) | 1,236,353 | 1,223,176 | ||
4.777% 3/1/33 (d) | 129,134 | 131,435 | ||
4.82% 9/1/34 (d) | 608,277 | 602,680 | ||
4.989% 4/1/35 (d) | 1,789,731 | 1,798,382 | ||
5.129% 4/1/35 (d) | 1,666,076 | 1,652,523 | ||
5.216% 3/1/36 (d) | 671,214 | 670,924 | ||
5.445% 11/1/35 (d) | 811,328 | 807,223 | ||
5.536% 1/1/36 (d) | 2,335,498 | 2,328,086 | ||
6% 5/1/33 | 3,667,573 | 3,659,065 | ||
6% 7/1/37 (b) | 40,000,000 | 39,610,328 | ||
6.488% 10/1/36 (d) | 4,466,771 | 4,521,968 | ||
6.577% 7/1/36 (d) | 2,096,223 | 2,121,540 | ||
6.639% 7/1/36 (d) | 5,773,465 | 5,848,019 | ||
6.698% 8/1/36 (d) | 719,605 | 730,351 | ||
7.5% 5/1/17 to 11/1/31 | 343,784 | 360,068 | ||
8% 7/1/17 to 5/1/27 | 45,643 | 48,085 | ||
8.5% 3/1/20 to 1/1/28 | 193,784 | 206,859 | ||
TOTAL FREDDIE MAC | 75,942,161 | |||
Government National Mortgage Association - 2.1% | ||||
4.25% 7/20/34 (d) | 557,440 | 555,572 | ||
4.5% 2/20/37 (d) | 8,045,282 | 7,865,608 | ||
4.75% 1/20/34 (d) | 1,806,677 | 1,798,634 | ||
6% 8/15/08 to 8/15/29 | 793,660 | 794,482 | ||
6.5% 6/15/08 to 11/15/35 | 15,129,891 | 15,444,652 | ||
6.5% 7/1/37 (b) | 9,000,000 | 9,137,594 | ||
6.5% 7/1/37 (b) | 7,000,000 | 7,107,017 | ||
6.5% 7/1/37 (b) | 12,000,000 | 12,183,458 | ||
7% 1/15/28 to 11/15/32 | 6,704,535 | 6,956,702 | ||
7.5% 4/15/22 to 10/15/28 | 1,471,312 | 1,542,191 | ||
8% 2/15/17 to 1/15/31 | 196,303 | 206,214 | ||
8.5% 12/15/16 to 3/15/30 | 61,140 | 65,298 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 63,657,422 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $867,793,035) | 853,409,517 | |||
Asset-Backed Securities - 3.2% | ||||
ACE Securities Corp. Series 2005-SD1 Class A1, 5.72% 11/25/50 (d) | 277,403 | 277,610 | ||
Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (a) | 1,200,000 | 1,188,641 | ||
Airspeed Ltd. Series 2007-1A Class C1, 7.8324% 4/15/24 (a)(d) | 3,065,000 | 3,065,000 | ||
Principal Amount | Value | |||
AmeriCredit Automobile Receivables Trust Series 2006-1: | ||||
Class A3, 5.11% 10/6/10 | $ 97,000 | $ 96,781 | ||
Class B1, 5.2% 3/6/11 | 305,000 | 303,717 | ||
Class C1, 5.28% 11/6/11 | 1,850,000 | 1,839,052 | ||
Class E1, 6.62% 5/6/13 (a) | 1,075,467 | 1,070,337 | ||
Amortizing Residential Collateral Trust Series 2002-BC1 Class M2, 6.42% 1/25/32 (d) | 146,891 | 137,402 | ||
ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (a) | 1,300,000 | 1,288,825 | ||
Argent Securities, Inc. Series 2004-W5 Class M1, 5.92% 4/25/34 (d) | 1,730,000 | 1,738,547 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2006-1: | ||||
Class A3, 5.03% 10/15/09 | 995,000 | 991,990 | ||
Class B, 5.26% 10/15/10 | 945,000 | 941,543 | ||
Class C, 5.55% 1/18/11 | 5,965,000 | 5,964,227 | ||
Class D, 7.16% 1/15/13 (a) | 645,000 | 645,428 | ||
Series 2006-SN1A: | ||||
Class B, 5.5% 4/20/10 (a) | 445,000 | 444,058 | ||
Class C, 5.77% 5/20/10 (a) | 430,000 | 430,640 | ||
Class D, 6.15% 4/20/11 (a) | 725,000 | 729,282 | ||
Series 2007-SN1: | ||||
Class B, 5.52% 3/15/11 | 1,140,000 | 1,138,219 | ||
Class C, 5.73% 3/15/11 | 660,000 | 658,891 | ||
Class D, 6.05% 1/17/12 | 1,630,000 | 1,627,580 | ||
Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12 | 4,465,000 | 4,348,497 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 4,260,000 | 4,227,088 | ||
Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 7.32% 8/25/36 (a)(d) | 255,000 | 132,600 | ||
Cendant Timeshare Receivables Funding LLC Series 2005-1A Class A1, 4.67% 5/20/17 (a) | 761,032 | 748,538 | ||
CIT Equipment Collateral Trust Series 2006-VT1 Class A3, 5.13% 12/21/08 | 3,380,000 | 3,373,993 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2005-B1 Class B1, 4.4% 9/15/10 | 5,120,000 | 5,056,668 | ||
Series 2006-B2 Class B2, 5.15% 3/7/11 | 2,270,000 | 2,259,008 | ||
CNH Equipment Trust Series 2006-A Class A3, 5.2% 8/16/10 | 2,415,000 | 2,412,170 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: | ||||
Class B, 4.878% 6/15/35 (a) | 2,052,000 | 2,005,510 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: - continued | ||||
Class C, 5.074% 6/15/35 (a) | $ 1,862,000 | $ 1,825,335 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (a) | 840,000 | 848,381 | ||
Drive Auto Receivables Trust Series 2006-2 Class A3, 5.33% 4/15/14 (a) | 4,995,000 | 4,989,289 | ||
DT Auto Owner Trust Series 2007-A Class A3, 5.6% 3/15/13 (a) | 5,175,000 | 5,175,000 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-A Class A3, 5.05% 11/15/09 | 2,335,000 | 2,329,265 | ||
Series 2006-B Class D, 7.26% 2/15/13 (a) | 1,025,000 | 1,026,514 | ||
GSAMP Trust Series 2004-AR1 Class B4, 5% 6/25/34 (a)(d) | 550,000 | 513,715 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2004-1 Class A4, 5.26% 11/15/12 | 2,010,000 | 2,004,075 | ||
Series 2006-1: | ||||
Class A3, 5.13% 6/15/10 | 745,000 | 744,015 | ||
Class B, 5.29% 11/15/12 | 315,000 | 314,375 | ||
Class C, 5.34% 11/15/12 | 405,000 | 404,150 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | ||||
Class B, 4.13% 11/20/37 (a) | 3,860,000 | 3,622,058 | ||
Class C, 4.13% 11/20/37 (a) | 3,760,000 | 3,388,430 | ||
Long Beach Mortgage Loan Trust Series 2004-2 Class M1, 5.85% 6/25/34 (d) | 525,000 | 525,333 | ||
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (f) | 1,750,000 | 271,797 | ||
Onyx Acceptance Owner Trust Series 2005-A Class A3, 3.69% 5/15/09 | 87,664 | 87,501 | ||
Park Place Securities, Inc. Series 2005-WCH1 Class M2, 5.84% 1/25/35 (d) | 1,700,000 | 1,704,329 | ||
Pinnacle Capital Asset Trust Series 2006-A: | ||||
Class B, 5.51% 9/25/09 (a) | 1,460,000 | 1,457,707 | ||
Class C, 5.77% 5/25/10 (a) | 1,355,000 | 1,352,177 | ||
Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (a) | 4,570,000 | 4,557,504 | ||
Specialty Underwriting & Residential Finance Trust Series 2003-BC4 Class M1, 5.92% 11/25/34 (d) | 685,000 | 687,002 | ||
Swift Master Auto Receivables Trust Series 2007-1: | ||||
Class B, 5.54% 6/15/12 (d) | 2,235,000 | 2,235,000 | ||
Principal Amount | Value | |||
Class C, 5.82% 6/15/12 (d) | $ 1,335,000 | $ 1,335,000 | ||
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | 2,195,000 | 2,188,192 | ||
Wachovia Auto Loan Trust Series 2006-2A Class A4, 5.23% 3/20/12 (a) | 4,000,000 | 3,987,378 | ||
World Omni Auto Receivables Trust Series 2006-A Class A3, 5.01% 10/15/10 | 2,193,515 | 2,188,745 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $99,305,633) | 98,904,109 | |||
Collateralized Mortgage Obligations - 5.8% | ||||
Private Sponsor - 2.4% | ||||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.6984% 4/10/17 | 485,000 | 473,006 | ||
Class C, 5.6984% 4/10/17 | 1,290,000 | 1,250,834 | ||
Class D, 5.6984% 5/10/17 | 650,000 | 630,952 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2004-J Class 2A1, 4.7773% 11/25/34 (d) | 1,758,842 | 1,736,962 | ||
Series 2005-E Class 2A7, 4.6041% 6/25/35 (d) | 2,680,000 | 2,612,544 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8489% 4/25/35 (d) | 1,825,691 | 1,800,019 | ||
Holmes Master Issuer PLC floater Series 2007-2A Class 2C1, 5.77% 7/15/21 (d) | 1,950,000 | 1,950,000 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (d) | 6,185,000 | 6,039,300 | ||
JPMorgan Mortgage Trust: | ||||
sequential payer Series 2006-A3 Class 3A3, 5.7519% 5/25/36 (d) | 7,815,000 | 7,741,734 | ||
Series 2005-A8 Class 2A3, 4.9508% 11/25/35 (d) | 760,000 | 741,961 | ||
Series 2006-A3 Class 6A1, 3.7672% 8/25/34 (d) | 2,781,437 | 2,711,806 | ||
Series 2007-A1 Class 3A2, 5.0084% 7/25/35 (d) | 7,436,830 | 7,340,518 | ||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 455,119 | 445,661 | ||
Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (d) | 4,570,000 | 4,473,653 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-CB1: | ||||
Class B4, 6.97% 6/10/35 (a)(d) | 1,022,466 | 1,036,525 | ||
Class B5, 7.57% 6/10/35 (a)(d) | 698,608 | 709,960 | ||
Class B6, 8.07% 6/10/35 (a)(d) | 411,762 | 419,998 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc. sequential payer Series 2004-SL2 Class A1, 6.5% 10/25/16 | $ 262,492 | $ 265,571 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1709% 10/20/35 (d) | 605,000 | 598,455 | ||
WaMu Mortgage pass-thru certificates Series 2007-HY1 Class 4A1, 5.482% 2/25/37 (d) | 4,797,351 | 4,761,884 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
sequential payer: | ||||
Series 2006-AR10 Class 5A5, 5.5981% 7/25/36 (d) | 5,435,000 | 5,419,486 | ||
Series 2006-AR13 Class A4, 5.5705% 9/25/36 (d) | 2,890,000 | 2,892,473 | ||
Series 2005-AR10 Class 2A2, 4.11% 6/25/35 (d) | 4,308,681 | 4,244,744 | ||
Series 2005-AR12 Class 2A6, 4.319% 7/25/35 (d) | 4,558,876 | 4,474,064 | ||
Series 2005-AR4 Class 2A2, 4.5245% 4/25/35 (d) | 3,557,493 | 3,494,035 | ||
Series 2006-AR8 Class 2A6, 5.2404% 4/25/36 (d) | 6,240,000 | 6,148,416 | ||
TOTAL PRIVATE SPONSOR | 74,414,561 | |||
U.S. Government Agency - 3.4% | ||||
Fannie Mae planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 3,400,000 | 3,456,836 | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | 2,552,940 | 2,588,160 | ||
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 5.57% 10/25/35 (d) | 2,748,923 | 2,747,157 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 11,215,000 | 10,933,812 | ||
Class KD, 4.5% 7/25/18 | 2,625,000 | 2,503,299 | ||
sequential payer: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | 225,836 | 216,233 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 1,026,223 | 991,242 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 2,147,291 | 2,077,815 | ||
Freddie Mac planned amortization class Series 3033 Class UD, 5.5% 10/15/30 | 1,910,000 | 1,899,712 | ||
Principal Amount | Value | |||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2500 Class TE, 5.5% 9/15/17 | $ 10,275,186 | $ 10,290,849 | ||
Series 2677 Class LD, 4.5% 3/15/17 | 8,800,218 | 8,464,485 | ||
Series 2695 Class GC, 4.5% 11/15/18 | 7,215,000 | 7,003,054 | ||
Series 2702 Class WB, 5% 4/15/17 | 2,947,632 | 2,924,072 | ||
Series 2770 Class UD, 4.5% 5/15/17 | 7,473,000 | 7,187,206 | ||
Series 2885 Class PC, 4.5% 3/15/18 | 2,560,000 | 2,492,283 | ||
Series 3018 Class UD, 5.5% 9/15/30 | 2,825,000 | 2,808,069 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 4,440,000 | 4,413,983 | ||
sequential payer: | ||||
Series 2508 Class CK, 5% 10/15/17 | 10,000,000 | 9,712,359 | ||
Series 2750 Class ZT, 5% 2/15/34 | 2,291,046 | 1,970,945 | ||
Series 3117 Class PC, 5% 6/15/31 | 20,000,000 | 19,519,252 | ||
Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 SC Class 4020, 8.28% 6/16/37 (b)(d) | 295,683 | 293,003 | ||
TOTAL U.S. GOVERNMENT AGENCY | 104,493,826 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $180,393,000) | 178,908,387 | |||
Commercial Mortgage Securities - 7.4% | ||||
Asset Securitization Corp.: | ||||
sequential payer Series 1995-MD4 Class A1, 7.1% 8/13/29 | 695 | 696 | ||
Series 1997-D5: | ||||
Class A2, 6.7553% 2/14/43 (d) | 1,435,000 | 1,514,761 | ||
Class A3, 6.8053% 2/14/43 (d) | 1,545,000 | 1,630,699 | ||
Banc of America Commercial Mortgage Trust sequential payer: | ||||
Series 2006-2 Class AAB, 5.7223% 5/10/45 (d) | 2,100,000 | 2,105,304 | ||
Series 2006-5: | ||||
Class A2, 5.317% 10/10/11 | 8,745,000 | 8,629,424 | ||
Class A3, 5.39% 2/10/14 | 1,985,000 | 1,945,611 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Banc of America Commercial Mortgage Trust sequential payer: - continued | ||||
Series 2007-2 Class A1, 5.421% 1/10/12 | $ 2,370,000 | $ 2,365,758 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2005-1 Class A3, 4.877% 11/10/42 | 3,855,000 | 3,803,647 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2007-2A: | ||||
Class B1, 6.92% 7/25/37 (a)(d) | 219,560 | 222,305 | ||
Class B2, 7.57% 7/25/37 (a)(d) | 189,620 | 192,465 | ||
Class B3, 8.67% 7/25/37 (a)(d) | 214,570 | 213,498 | ||
Class M2, 5.73% 7/25/37 (a)(d) | 129,740 | 130,105 | ||
Class M3, 5.81% 7/25/37 (a)(d) | 129,740 | 130,227 | ||
Class M4, 5.97% 7/25/37 (a)(d) | 274,451 | 275,651 | ||
Class M5, 6.07% 7/25/37 (a)(d) | 244,510 | 245,580 | ||
Class M6, 6.32% 7/25/37 (a)(d) | 304,391 | 305,913 | ||
Series 2007-3: | ||||
Class B1, 6.27% 7/25/37 (a)(d) | 218,610 | 218,610 | ||
Class B2, 6.92% 7/25/37 (a)(d) | 576,336 | 576,336 | ||
Class B3, 9.32% 7/25/37 (a)(d) | 293,136 | 293,136 | ||
Class M1, 5.63% 7/25/37 (a)(d) | 193,768 | 193,768 | ||
Class M2, 5.66% 7/25/37 (a)(d) | 203,705 | 203,705 | ||
Class M3, 5.69% 7/25/37 (a)(d) | 332,884 | 332,884 | ||
Class M4, 5.82% 7/25/37 (a)(d) | 526,652 | 526,652 | ||
Class M5, 5.92% 7/25/37 (a)(d) | 263,326 | 263,326 | ||
Class M6, 6.12% 7/25/37 (a)(d) | 198,736 | 198,736 | ||
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 2,010,000 | 1,985,073 | ||
Series 2007-PW15: | ||||
Class A1, 5.016% 2/11/44 | 2,087,095 | 2,060,355 | ||
Class X2, 0.5582% 2/11/44 (a)(d)(f) | 146,305,000 | 2,966,085 | ||
Principal Amount | Value | |||
Series 2007-PW16: | ||||
Class B, 5.713% 6/11/40 (a) | $ 1,405,000 | $ 1,380,193 | ||
Class C, 5.713% 6/11/40 (a) | 1,170,000 | 1,146,783 | ||
Class D, 5.713% 6/11/40 (a) | 1,170,000 | 1,140,933 | ||
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.275% 2/12/16 (a)(d) | 1,345,000 | 1,378,693 | ||
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31 | 4,867,466 | 5,024,544 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4 Class A3, 5.293% 12/11/49 | 5,940,000 | 5,780,838 | ||
COMM Series 2004-LBN2 Class X2, 0.9563% 3/10/39 (a)(d)(f) | 6,234,989 | 148,276 | ||
Commercial Mortgage pass-thru certificates sequential payer Series 2006-CN2A Class A2FX, 5.449% 2/5/19 | 2,745,000 | 2,734,965 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C4 Class AAB, 5.439% 9/15/39 | 5,350,000 | 5,256,763 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 1997-C2 Class A3, 6.55% 1/17/35 | 729,302 | 730,101 | ||
Series 1999-C1 Class A2, 7.29% 9/15/41 | 4,941,353 | 5,076,964 | ||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 1,600,000 | 1,665,014 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 2,235,000 | 2,161,129 | ||
Class A4, 4.75% 1/15/37 | 3,035,000 | 2,871,744 | ||
Series 1997-C2 Class D, 7.27% 1/17/35 | 1,900,000 | 1,928,834 | ||
Series 1998-C1: | ||||
Class C, 6.78% 5/17/40 | 5,000,000 | 5,072,449 | ||
Class D, 7.17% 5/17/40 | 595,000 | 621,135 | ||
Series 2001-CKN5 Class AX, 0.7723% 9/15/34 (a)(d)(f) | 27,396,412 | 1,407,693 | ||
Series 2002-CP3 Class G, 6.639% 7/15/35 (a) | 250,000 | 256,262 | ||
Series 2004-C1 Class ASP, 0.7919% 1/15/37 (a)(d)(f) | 29,710,838 | 734,948 | ||
Series 2006-C1 Class A3, 5.5549% 2/15/39 (d) | 3,895,000 | 3,877,267 | ||
Credit Suisse Mortgage Capital Certificates sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40 | 1,539,028 | 1,528,378 | ||
Deutsche Mortgage & Asset Receiving Corp. sequential payer Series 1998-C1 Class D, 7.231% 6/15/31 | 4,940,000 | 4,976,844 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | $ 3,468,623 | $ 3,634,407 | ||
General Growth Properties, Inc.: | ||||
sequential payer Series 1 Class A2, 6.602% 11/15/07 (a) | 7,200,000 | 7,228,867 | ||
Series 1: | ||||
Class D2, 6.992% 11/15/07 (a) | 4,260,000 | 4,275,190 | ||
Class E2, 7.224% 11/15/07 (a) | 2,550,000 | 2,556,152 | ||
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-22 Class B, 3.963% 5/16/32 | 3,295,000 | 3,172,917 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential payer: Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,615,000 | 1,588,255 | ||
Series 2007-GG9 Class A1, 5.233% 3/10/39 | 1,919,742 | 1,900,545 | ||
Series 2006-GG7 Class A3, 6.1101% 7/10/38 | 3,460,000 | 3,505,624 | ||
GS Mortgage Securities Corp. II: | ||||
floater Series 2007-EOP: | ||||
Class C, 5.64% 3/1/20 (a)(d) | 1,335,000 | 1,335,000 | ||
Class D, 5.69% 3/1/20 (a)(d) | 400,000 | 400,000 | ||
Class E, 5.76% 3/1/20 (a)(d) | 670,000 | 670,000 | ||
Class F, 5.8% 3/1/20 (a)(d) | 335,000 | 335,000 | ||
Class G, 5.84% 3/1/20 (a)(d) | 165,000 | 165,000 | ||
Class H, 5.97% 3/1/20 (a)(d) | 275,000 | 275,000 | ||
Class J: | ||||
6.17% 3/1/20 (a)(d) | 395,000 | 395,123 | ||
6.37% 3/1/20 (a)(d) | 275,000 | 275,000 | ||
sequential payer Series 2003-C1 Class A2A, 3.59% 1/10/40 | 3,345,000 | 3,312,301 | ||
Series 1998-GLII Class E, 6.9707% 4/13/31 (d) | 1,615,000 | 1,633,593 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (d) | 2,990,000 | 2,984,998 | ||
GS Mortgage Securities Trust Series 2007-GG10 Class A1, 5.69% 8/10/45 | 2,000,000 | 2,004,615 | ||
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4859% 12/12/44 (d) | 4,625,000 | 4,573,885 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (d) | 5,840,000 | 5,854,244 | ||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (d) | 5,065,000 | 4,849,435 | ||
Principal Amount | Value | |||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
Series 2007-CB19: | ||||
Class B, 5.7442% 2/12/49 | $ 755,000 | $ 739,077 | ||
Class C, 5.7462% 2/12/49 | 1,971,000 | 1,924,800 | ||
Class D, 5.7462% 2/12/49 | 2,075,000 | 2,017,294 | ||
Series 2007-LDP10: | ||||
Class A1, 5.122% 5/15/49 | 1,436,922 | 1,423,706 | ||
Class BS, 5.437% 1/15/49 (d) | 1,725,000 | 1,675,367 | ||
Class CS, 5.466% 1/15/49 (d) | 745,000 | 722,790 | ||
Class ES, 5.5459% 1/15/49 (a)(d) | 4,663,000 | 4,503,182 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,172,155 | 2,282,778 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 1,785,333 | 1,802,420 | ||
Series 2005-C3 Class A2, 4.553% 7/15/30 | 1,746,000 | 1,705,919 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 1,495,000 | 1,475,162 | ||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 830,611 | 827,382 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (d) | 1,258,794 | 1,256,192 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 1,810,000 | 1,866,974 | ||
Merrill Lynch Mortgage Trust sequential payer: | ||||
Series 2004-KEY2 Class A2, 4.166% 8/12/39 | 215,000 | 208,363 | ||
Series 2005-MCP1 Class A2, 4.556% 6/12/43 | 2,120,000 | 2,066,138 | ||
Merrill Lynch/Countrywide Commercial Mortgage Trust sequential payer Series 2007-5 Class A1, 4.275% 12/12/11 | 1,121,366 | 1,091,899 | ||
ML-CFC Commerical Mortgage Trust Series 2007-7 Class B, 5.75% 6/25/50 | 770,000 | 754,638 | ||
Morgan Stanley Capital I Trust: | ||||
sequential payer: | ||||
Series 2006-HQ10 Class A1, 5.131% 11/12/41 | 4,390,907 | 4,351,227 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 1,400,214 | 1,407,519 | ||
Series 2007-HQ11 Class A31, 5.439% 2/20/44 (d) | 4,745,000 | 4,642,606 | ||
Series 2007-IQ13 Class A1, 5.05% 3/15/44 | 1,930,222 | 1,901,349 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 4,090,201 | 4,063,519 | ||
Series 2007-T25 Class A2, 5.507% 11/12/49 | 10,320,000 | 10,175,757 | ||
Series 2007-IQ14 Class B, 5.914% 4/15/49 | 2,175,000 | 2,121,390 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley Capital I, Inc.: | ||||
sequential payer Series 2004-HQ3 Class A2, 4.05% 1/13/41 | $ 2,235,000 | $ 2,168,196 | ||
Series 2005-IQ9 Class X2, 1.0452% 7/15/56 (a)(d)(f) | 26,053,614 | 938,110 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 | 2,298,274 | 2,638,627 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a) | 752,838 | 759,598 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 3,595,000 | 3,530,662 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (a) | 1,291,081 | 1,254,174 | ||
Series 2007-C30 Class A3, 5.246% 12/15/43 | 5,940,000 | 5,826,522 | ||
Series 2007-C31 Class A1, 5.14% 4/15/47 | 1,617,317 | 1,597,582 | ||
Series 2007-C31 Class C, 5.877% 4/15/47 (d) | 2,455,000 | 2,369,465 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $229,054,091) | 225,446,595 | |||
Foreign Government and Government Agency Obligations - 0.1% | ||||
Israeli State 4.625% 6/15/13 | 525,000 | 496,736 | ||
United Mexican States 5.875% 1/15/14 | 1,665,000 | 1,673,325 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,164,120) | 2,170,061 | |||
Supranational Obligations - 0.0% | ||||
Corporacion Andina de Fomento: | ||||
5.2% 5/21/13 | 630,000 | 612,270 | ||
6.875% 3/15/12 | 425,000 | 445,090 | ||
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,047,687) | 1,057,360 |
Fixed-Income Funds - 21.3% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (e) | 6,607,907 | 652,596,895 | |
Preferred Securities - 0.1% | |||
Principal Amount | Value | ||
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
MUFG Capital Finance 1 Ltd. 6.346% (d) (Cost $3,520,000) | $ 3,520,000 | $ 3,540,291 | |
Cash Equivalents - 0.3% | |||
Maturity Amount | |||
Investments in repurchase agreements in a joint trading account at 5.36%, dated 6/29/07 due 7/2/07 (Collateralized by U.S. Government Obligations) # | $ 8,663,865 | 8,660,000 | |
TOTAL INVESTMENT PORTFOLIO - 114.4% (Cost $3,546,764,849) | 3,503,198,608 | ||
NET OTHER ASSETS - (14.4)% | (440,230,932) | ||
NET ASSETS - 100% | $ 3,062,967,676 |
Swap Agreements | |||||
Expiration Date | Notional Amount | ||||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.86% and pay Morgan Stanley Capital Services Inc. upon default event of Merrill Lynch Home Equity Loan Trust, par value of the notional amount of Merrill Lynch Home Equity Loan Trust, Series 2006-HE5 Class B3, 7.32% 8/25/37 | Sept. 2037 | $ 1,600,000 | (660,730) | ||
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 | 1,900,000 | (426,985) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | $ 465,000 | $ (47,243) | ||
Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 7.2253% 11/25/34 | Dec. 2034 | 775,000 | (189,924) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.85% 8/25/34 | Sept. 2034 | 465,000 | (31,074) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 8.85% 7/25/34 | August 2034 | 465,000 | (125,396) | ||
Expiration Date | Notional Amount | Value | |||
Receive monthly notional amount multiplied by 2.7% and pay Lehman Brothers, 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-WMC1 Class B3, 7.5% 12/25/35 | Jan. 2036 | $ 1,600,000 | $ (480,304) | ||
Receive from Bank of America upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by ..30% | Sept. 2017 | 2,300,000 | (189) | ||
Receive from Bank of America upon credit event of Eli Lilly & Co., par value of the notional amount of Eli Lilly & Co. 6.57% 1/1/16, and pay quarterly notional amount multiplied by .22% | Sept. 2017 | 1,855,000 | (3,007) | ||
Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by .32% | Sept. 2017 | 1,000,000 | (1,678) | ||
Receive from Citibank upon credit event of Schering-Plough Corp., par value of the notional amount of Schering-Plough Corp. 5.55% 12/1/13, and pay quarterly notional amount multiplied by .4% | Sept. 2017 | 1,600,000 | (7,705) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive from Citibank upon credit event of Schering-Plough Corp., par value of the notional amount of Schering-Plough Corp. 5.55% 12/1/13, and pay quarterly notional amount multiplied by .42% | Sept. 2017 | $ 2,800,000 | $ (17,816) | ||
Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by .77% | Sept. 2017 | 3,200,000 | 18,663 | ||
Receive from Goldman Sachs upon credit event of Eli Lilly & Co., par value of the notional amount of Eli Lilly & Co. 6.57% 1/1/16, and pay quarterly notional amount multiplied by .24% | Sept. 2017 | 1,600,000 | (4,525) | ||
Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15, and pay quarterly notional amount multiplied by 2.12% | Sept. 2013 | 1,360,000 | (85,654) | ||
Receive from Merrill Lynch, Inc., upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15 and pay quarterly notional amount multiplied by 1.68% | Sept. 2013 | 2,035,000 | (81,360) | ||
Expiration Date | Notional Amount | Value | |||
Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.10% 9/25/34 | Oct. 2034 | $ 1,800,000 | $ (496,388) | ||
Receive monthly notional amount multiplied by 3.05% and pay Morgan Stanley Capital Services 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 | 1,300,000 | (649,736) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse International upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 | Dec. 2034 | 1,075,000 | (272,225) | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 | August 2034 | 465,000 | (4,258) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | $ 465,000 | $ (6,335) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 465,000 | (5,218) | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley Capital Services Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 640,000 | (103,151) | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 465,000 | (74,318) | ||
Expiration Date | Notional Amount | Value | |||
Receive monthly notional amount multiplied by 2.36% and pay Morgan Stanley Capital Services Inc. upon credit event of GE-WMC Mortgage Securities, LLC, par value of the notional amount of GE-WMC Mortgage Securities, LLC Series 2006-01 Class B3, 7.13% 8/25/36 | Sept. 2036 | $ 3,700,000 | $ (1,921,561) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 | March 2034 | 515,880 | (137,436) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 | Feb. 2034 | 307,210 | (230,441) | ||
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 | Dec. 2034 | 1,800,000 | (455,818) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 | Oct. 2034 | $ 1,800,000 | $ (499,504) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 40,946 | (437) | ||
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley Capital Services Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35 | June 2035 | 770,000 | (206,920) | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 | March 2035 | 1,715,000 | (552,257) | ||
Receive monthly notional amount multiplied by 3% and pay JPMorgan Chase, Inc. upon credit 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 | 1,900,000 | (1,200,960) | ||
Expiration Date | Notional Amount | Value | |||
Receive monthly notional amount multiplied by 3.66% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 | June 2035 | $ 1,900,000 | $ (486,265) | ||
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley Capital Services Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 | June 2035 | 600,000 | (152,198) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank AG upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | 465,000 | (103,571) | ||
Receive monthly notional amount multiplied by 5.12% and pay Bank of America upon credit event of Structured Asset Securities Corp., par value of the notional amount of Structured Asset Securities Corp. Series 2005-AR1 Class M8, 7.32% 9/25/35 | Oct. 2036 | 2,000,000 | (704,174) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 | Sept. 2010 | $ 1,900,000 | $ 9,805 | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 | March 2009 | 1,400,000 | 6,881 | ||
Receive quarterly notional amount multiplied by .62% and pay UBS upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. 4% 3/22/11 | March 2012 | 1,070,000 | (1,203) | ||
Receive quarterly notional amount multiplied by .68% and pay Lehman Brothers, Inc. upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. 4% 3/22/11 | March 2012 | 840,000 | 1,150 | ||
Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon credit event of Russian Federation, par value of the notional amount of Russian Federation 7.5% 3/31/30 (Reg. S) | June 2008 | 1,885,000 | 4,400 | ||
Expiration Date | Notional Amount | Value | |||
Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon credit event of Russian Federation, par value of the notional amount of Russian Federation 7.5% 3/31/30 (Reg. S) | June 2008 | $ 3,395,000 | $ 7,924 | ||
Receive semi-annually notional amount multiplied by .61% and pay JPMorgan Chase, Inc. upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | May 2011 | 4,290,000 | 46,535 | ||
Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | May 2011 | 2,260,000 | 25,710 | ||
TOTAL CREDIT DEFAULT SWAPS | 66,249,036 | (10,306,896) | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2009 | 42,000,000 | (1,196,915) | ||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | 11,825,000 | (290,128) | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 11,825,000 | (583,383) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 4.492% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Sept. 2010 | $ 1,500,000 | $ (23,962) | ||
Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Nov. 2010 | 1,000,000 | (15,685) | ||
Receive semi-annually a fixed rate equal to 5.095% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | Feb. 2012 | 50,000,000 | (159,370) | ||
Receive semi-annually a fixed rate equal to 5.145% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Feb. 2012 | 30,000,000 | (23,826) | ||
Receive semi-annually a fixed rate equal to 5.186% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Sept. 2011 | 20,000,000 | 54,352 | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 52,500,000 | (301,429) | ||
Receive semi-annually a fixed rate equal to 5.312% and pay quarterly a floating rate based on the 3-month LIBOR with Lehman Brothers, Inc. | April 2011 | 105,000,000 | (433,923) | ||
Expiration Date | Notional Amount | Value | |||
Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2011 | $ 15,000,000 | $ (56,607) | ||
Receive semi-annually a fixed rate equal to 4.378% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Sept. 2008 | 25,400,000 | (25,718) | ||
Receive semi-annually a fixed rate equal to 5.354% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | May 2011 | 32,000,000 | (96,698) | ||
TOTAL INTEREST RATE SWAPS | 398,050,000 | (3,153,292) | |||
Total Return Swaps | |||||
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 7.5 basis points with Lehman Brothers, Inc. | July 2007 | 50,000,000 | (406,150) | ||
$ 514,299,036 | $ (13,866,338) |
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 $209,960,808 or 6.9% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $4,336,346. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request. |
(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 |
$8,660,000 due 7/02/07 at 5.36% | |
ABN AMRO Bank N.V., New York Branch | $ 530,208 |
BNP Paribas Securities Corp. | 344,635 |
Banc of America Securities LLC | 2,610,921 |
Bank of America, NA | 1,060,416 |
Barclays Capital, Inc. | 1,036,916 |
Bear Stearns & Co., Inc. | 1,309,544 |
UBS Securities LLC | 1,767,360 |
$ 8,660,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Ultra-Short Central Fund | $ 15,946,441 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity Ultra-Short Central Fund | $ 528,129,201 | $ 128,603,122 | $ - | $ 652,596,895 | 4.3% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
June 30, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $8,660,000) - See accompanying schedule: Unaffiliated issuers | $ 2,850,601,713 | |
Fidelity Central Funds | 652,596,895 | |
Total Investments | $ 3,503,198,608 | |
Cash | 294,792 | |
Receivable for investments sold | 15,123,411 | |
Receivable for swap agreements | 101,464 | |
Interest receivable | 22,527,493 | |
Distributions receivable from Fidelity Central Funds | 3,066,814 | |
Total assets | 3,544,312,582 | |
Liabilities | ||
Payable for investments purchased Regular delivery | $ 4,587,085 | |
Delayed delivery | 450,199,060 | |
Distributions payable | 12,639,214 | |
Swap agreements, at value | 13,866,338 | |
Other payables and accrued expenses | 53,209 | |
Total liabilities | 481,344,906 | |
Net Assets | $ 3,062,967,676 | |
Net Assets consist of: | ||
Paid in capital | $ 3,125,182,340 | |
Undistributed net investment income | 8,128,604 | |
Accumulated undistributed net realized gain (loss) on investments | (12,910,689) | |
Net unrealized appreciation (depreciation) on investments | (57,432,579) | |
Net Assets, for 30,277,680 shares outstanding | $ 3,062,967,676 | |
Net Asset Value, offering price and redemption price per share ($3,062,967,676 ÷ 30,277,680 shares) | $ 101.16 |
Statement of Operations
Six months ended June 30, 2007 (Unaudited) | ||
Investment Income | ||
Dividends | $ 111,690 | |
Interest | 65,774,518 | |
Income from Fidelity Central Funds | 15,946,441 | |
Total income | 81,832,649 | |
Expenses | ||
Custodian fees and expenses | $ 46,816 | |
Expense reductions | (4,260) | 42,556 |
Net investment income | 81,790,093 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,954,568) | |
Swap agreements | (2,698,827) | |
Total net realized gain (loss) | (5,653,395) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (39,499,900) | |
Swap agreements | (13,193,635) | |
Total change in net unrealized appreciation (depreciation) | (52,693,535) | |
Net gain (loss) | (58,346,930) | |
Net increase (decrease) in net assets resulting from operations | $ 23,443,163 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended June 30, 2007 | For the period | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 81,790,093 | $ 75,243,878 |
Net realized gain (loss) | (5,653,395) | (585,352) |
Change in net unrealized appreciation (depreciation) | (52,693,535) | 82,658,962 |
Net increase (decrease) in net assets resulting from operations | 23,443,163 | 157,317,488 |
Distributions to shareholders from net investment income | (76,813,024) | (74,679,073) |
Distributions to shareholders from net realized gain | (2,131,039) | (2,712,938) |
Total distributions | (78,944,063) | (77,392,011) |
Affiliated share transactions | 417,183,628 | 357,378,602 |
Contributions in kind | - | 2,367,627,479 |
Cost of shares redeemed | (93,663,215) | (9,983,395) |
Net increase (decrease) in net assets resulting from share transactions | 323,520,413 | 2,715,022,686 |
Total increase (decrease) in net assets | 268,019,513 | 2,794,948,163 |
Net Assets | ||
Beginning of period | 2,794,948,163 | - |
End of period (including undistributed net investment income of $8,128,604 and undistributed net investment income of $3,151,535, respectively) | $ 3,062,967,676 | $ 2,794,948,163 |
Other Information Shares | ||
Sold | 4,056,969 | 3,550,542 |
Issued for in-kind contributions | - | 23,676,275 |
Redeemed | (908,669) | (97,437) |
Net increase (decrease) | 3,148,300 | 27,129,380 |
Financial Highlights
Six months ended June 30, 2007 | Year ended | |
(Unaudited) | 2006 H | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 103.02 | $ 100.00 |
Income from Investment Operations | ||
Net investment income D | 2.818 | 2.814 |
Net realized and unrealized gain (loss) | (1.951) | 3.132 |
Total from investment operations | .867 | 5.946 |
Distributions from net investment income | (2.652) | (2.826) |
Distributions from net realized gain | (.075) | (.100) |
Total distributions | (2.727) | (2.926) |
Net asset value, end of period | $ 101.16 | $ 103.02 |
Total Return B, C | .83% | 5.95% |
Ratios to Average Net Assets E, I | ||
Expenses before reductions | -% A, G | -% A, G |
Expenses net of fee waivers, if any | -% A, G | -% A, G |
Expenses net of all reductions | -% A, G | -% A, G |
Net investment income | 5.54% | 5.23% |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 3,062,968 | $ 2,794,948 |
Portfolio turnover rate F | 123% A | 99% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Amount represents less than .01%.
H For the period June 23, 2006 (commencement of operations) to December 31, 2006.
I Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2007 (Unaudited)
Fidelity VIP Investment Grade Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Mortgage Dollar Rolls Repurchase Agreements Restricted Securities Swap Agreements |
A complete list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
On April 26, 2007, the Fund purchased 793,730 shares of Fidelity Ultra-Short Central Fund, an affiliated entity, valued at $78,603,082 by transferring securities of equal value, including accrued interest. This is considered taxable for federal income tax purposes, and the Fund recognized a gain of $79,985.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Directors 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 Directors. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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. Dividend income is recorded on the ex-dividend date. Interest income and income distributions from other Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
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 Partners. The Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund adopted the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes, on June 29, 2007. FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the tax years in the three year period ended June 29, 2007, remains subject to examination by the Internal Revenue Service.
Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. 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 the short-term capital gains, swap agreements, market discount, financing transactions, and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 10,700,850 | |
Unrealized depreciation | (50,591,071) | |
Net unrealized appreciation (depreciation) | $ (39,890,221) | |
Cost for federal income tax purposes | $ 3,543,088,829 |
New Accounting Pronouncement. 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.
4. 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.
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.
Semiannual Report
4. Operating Policies - continued
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $517,880,226 and $291,661,028, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FIMM provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. 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 $4,260.
8. Other.
The Fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund according to the following schedule:
Fund | Ownership % |
VIP Asset Manager Portfolio | 24.1% |
VIP Asset Manager: Growth Portfolio | 1.6% |
VIP Balanced Portfolio | 5.7% |
VIP Investment Grade Bond Portfolio | 68.6% |
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
VIP Investment Grade Central Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2007 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant and ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. The Board also approved amendments to the fund's agreements with foreign sub-advisers to clarify that each sub-adviser provides services as an independent contractor.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the background of the fund's portfolio manager and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integrated part of the fixed-income portfolio management investment process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund's management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the fund's net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on several topics, including (i) Fidelity's fund profitability methodology, profitability by investment discipline, and profitability trends within certain funds; (ii) Fidelity's compensation structure relative to competitors and its effect on profitability; (iii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iv) the total expenses of certain funds and classes relative to competitors; (v) fund performance trends; (vi) fall-out benefits received by certain Fidelity affiliates; and (vii) Fidelity's fee structures.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
Semiannual Report
Semiannual Report
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Garrison Street Trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Garrison Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Garrison Street Trust
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | August 22, 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: | August 22, 2007 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | August 22, 2007 |