UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | September 30 |
Date of reporting period: | March 31, 2008 |
Item 1. Reports to Stockholders
Fidelity® Money Market
Central Fund
Semiannual Report
March 31, 2008
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.
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Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
CFM-SANN-0508
1.756671.107
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2007 to March 31, 2008).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,024.20 | $ .02 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.98 | $ .02 |
* Expenses are equal to the Fund's annualized expense ratio of .0031%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Maturity Diversification | |||
Days | % of fund's investments 3/31/08 | % of fund's investments 9/30/07 | % of fund's |
0 - 30 | 47.8 | 40.6 | 60.8 |
31 - 90 | 40.0 | 37.2 | 22.3 |
91 - 180 | 10.2 | 15.6 | 5.4 |
181 - 397 | 2.0 | 6.6 | 11.5 |
Weighted Average Maturity | |||
3/31/08 | 9/30/07 | 3/31/07 | |
Fidelity Money Market Central Fund | 46 Days | 63 Days | 63 Days |
All Taxable Money Market Funds Average * | 42 Days | 40 Days | 40 Days |
Asset Allocation (% of fund's net assets) | |||||||
As of March 31, 2008 | As of September 30, 2007 | ||||||
![]() | Commercial Paper 16.8% | ![]() | Commercial Paper 19.9% | ||||
![]() | Bank CDs, BAs, | ![]() | Bank CDs, BAs, | ||||
![]() | Government | ![]() | Government | ||||
![]() | Repurchase | ![]() | Repurchase | ||||
![]() | Other Investments 0.2% | ![]() | Other Investments 2.0% | ||||
![]() | Net Other Assets ** (2.3)% | ![]() | Net Other Assets ** (0.2)% |
** Net Other Assets are not included in the pie chart.
* Source: iMoneyNet, Inc.
Semiannual Report
Investments March 31, 2008 (Unaudited)
Showing Percentage of Net Assets
Certificates of Deposit - 26.4% | ||||
Due Date | Yield (a) | Principal Amount | Value | |
London Branch, Eurodollar, Foreign Banks - 13.5% | ||||
Banco Bilbao Vizcaya Argentaria SA | ||||
6/19/08 | 2.52% | $ 1,000,000 | $ 1,000,000 | |
Banco Santander SA | ||||
4/7/08 to 7/15/08 | 3.50 to 5.16 | 9,000,000 | 9,002,345 | |
Bank of Scotland PLC | ||||
6/19/08 | 2.58 | 7,000,000 | 7,000,000 | |
Credit Agricole SA | ||||
4/4/08 to 5/2/08 | 3.10 to 4.75 | 6,000,000 | 6,000,000 | |
Credit Industriel et Commercial | ||||
4/14/08 to 6/30/08 | 2.65 to 5.20 | 19,500,000 | 19,500,043 | |
ING Bank NV | ||||
5/19/08 to 6/17/08 | 2.80 to 3.08 | 21,000,000 | 21,000,002 | |
National Australia Bank Ltd. | ||||
6/16/08 | 2.57 | 1,000,000 | 1,000,803 | |
Royal Bank of Scotland PLC | ||||
7/9/08 | 3.50 | 1,000,000 | 1,002,148 | |
Societe Generale | ||||
4/17/08 to 7/7/08 | 3.95 to 4.60 | 4,000,000 | 4,000,000 | |
UniCredit SpA | ||||
6/16/08 to 6/17/08 | 2.86 to 2.88 | 6,000,000 | 6,000,000 | |
75,505,341 | ||||
New York Branch, Yankee Dollar, Foreign Banks - 12.9% | ||||
Abbey National Treasury Services plc | ||||
5/19/08 | 3.27 (c) | 1,000,000 | 1,000,000 | |
Banco Bilbao Vizcaya Argentaria SA | ||||
6/18/08 | 2.50 | 1,000,000 | 1,000,431 | |
Bank of Scotland PLC | ||||
4/4/08 to 9/8/08 | 2.58 to 4.65 (c) | 15,000,000 | 15,000,000 | |
Barclays Bank PLC | ||||
6/25/08 to 9/10/08 | 2.60 to 2.88 | 6,000,000 | 6,000,000 | |
BNP Paribas SA | ||||
5/15/08 to 10/2/08 | 2.65 to 3.05 | 7,000,000 | 7,000,000 | |
Canadian Imperial Bank of Commerce | ||||
7/1/08 | 2.90 | 2,000,000 | 2,000,000 | |
Credit Suisse First Boston | ||||
4/28/08 | 3.33 (c) | 5,000,000 | 5,000,000 | |
Certificates of Deposit - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Deutsche Bank AG | ||||
4/4/08 to 6/3/08 | 3.17 to 4.75% (c) | $ 9,000,000 | $ 9,000,000 | |
Intesa Sanpaolo SpA | ||||
6/19/08 | 2.55 | 2,000,000 | 2,000,000 | |
Natexis Banques Populaires NY | ||||
4/25/08 | 3.27 | 2,000,000 | 2,000,000 | |
Societe Generale | ||||
4/24/08 to 6/9/08 | 2.90 to 3.30 | 12,000,000 | 12,000,000 | |
Svenska Handelsbanken AB | ||||
5/30/08 to 6/3/08 | 4.89 | 5,000,000 | 5,000,017 | |
UBS AG | ||||
6/9/08 | 4.92 | 2,000,000 | 2,000,000 | |
UniCredit SpA | ||||
4/7/08 to 10/1/08 | 2.75 to 4.67 | 3,000,000 | 3,000,051 | |
72,000,499 | ||||
TOTAL CERTIFICATES OF DEPOSIT | 147,505,840 | |||
Commercial Paper - 16.8% | ||||
American Water Capital Corp. | ||||
4/14/08 to 4/23/08 | 3.42 to 3.49 | 750,000 | 748,644 | |
Citigroup Funding, Inc. | ||||
4/24/08 to 6/9/08 | 3.07 to 4.46 | 8,000,000 | 7,964,362 | |
Dakota Notes (Citibank Credit Card Issuance Trust) | ||||
4/1/08 to 5/9/08 | 3.25 to 4.04 | 6,000,000 | 5,987,346 | |
Devon Energy Corp. | ||||
4/11/08 to 4/14/08 | 3.33 | 2,000,000 | 1,997,885 | |
Dow Chemical Co. | ||||
5/2/08 | 3.38 to 3.50 | 2,000,000 | 1,994,127 | |
Duke Energy Corp. | ||||
4/14/08 | 3.34 to 4.24 | 2,000,000 | 1,997,284 | |
Edison Asset Securitization LLC | ||||
9/4/08 | 2.79 | 1,000,000 | 988,083 | |
Emerald Notes (BA Credit Card Trust) | ||||
4/3/08 to 6/12/08 | 3.12 to 4.59 | 7,250,000 | 7,235,541 | |
Govco, Inc. | ||||
5/27/08 | 3.06 | 1,000,000 | 995,271 | |
Commercial Paper - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Intesa Funding LLC | ||||
4/22/08 | 3.42% | $ 1,000,000 | $ 998,023 | |
ITT Corp. | ||||
4/17/08 to 5/15/08 | 3.11 to 3.40 | 2,000,000 | 1,994,503 | |
JPMorgan Chase & Co. | ||||
8/4/08 | 2.92 | 2,000,000 | 1,980,035 | |
Kellogg Co. | ||||
4/9/08 to 5/16/08 | 3.29 to 3.33 | 1,250,000 | 1,245,693 | |
Kitty Hawk Funding Corp. | ||||
4/17/08 | 2.83 | 1,000,000 | 998,744 | |
Lloyds TSB Bank PLC | ||||
6/3/08 | 2.60 | 2,000,000 | 1,990,953 | |
Michigan Gen. Oblig. | ||||
9/2/08 | 3.75 | 1,200,000 | 1,200,000 | |
Morgan Stanley | ||||
6/13/08 | 5.29 | 1,000,000 | 989,679 | |
National Grid USA | ||||
4/3/08 to 5/30/08 | 3.52 to 5.03 | 3,000,000 | 2,992,142 | |
Nationwide Building Society | ||||
5/7/08 to 5/19/08 | 2.95 to 3.10 | 5,000,000 | 4,982,995 | |
Norddeutsche Landesbank Girozentrale | ||||
4/15/08 | 4.00 | 1,000,000 | 998,460 | |
Norfolk Southern Corp. | ||||
5/19/08 | 3.02 | 500,000 | 498,000 | |
Palisades Notes (Citibank Omni Master Trust) | ||||
5/15/08 to 5/19/08 | 3.12 to 3.22 | 7,000,000 | 6,972,072 | |
Rockies Express Pipeline LLC | ||||
5/6/08 | 3.11 | 1,000,000 | 996,986 | |
Santander Finance, Inc. | ||||
6/9/08 to 9/24/08 | 2.49 to 4.92 | 8,000,000 | 7,912,267 | |
Sheffield Receivables Corp. | ||||
4/7/08 to 5/8/08 | 2.81 to 3.29 | 5,682,000 | 5,673,714 | |
Societe Generale North America, Inc. | ||||
4/15/08 to 5/5/08 | 3.32 to 3.95 | 6,000,000 | 5,987,080 | |
Textron Financial Corp. | ||||
4/4/08 to 5/6/08 | 3.11 to 3.37 | 5,000,000 | 4,992,248 | |
Commercial Paper - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Thames Asset Global Securities No. 1, Inc. | ||||
4/7/08 to 6/25/08 | 2.86 to 4.66% | $ 7,379,000 | $ 7,363,144 | |
Transocean, Inc. | ||||
4/4/08 | 3.40 | 500,000 | 499,859 | |
UniCredito Italiano Bank (Ireland) PLC | ||||
4/18/08 | 4.63 | 1,000,000 | 997,842 | |
Xcel Energy, Inc. | ||||
5/1/08 | 3.43 | 250,000 | 249,292 | |
XTO Energy, Inc. | ||||
4/7/08 to 4/8/08 | 3.39 to 3.51 | 1,500,000 | 1,499,014 | |
TOTAL COMMERCIAL PAPER | 93,921,288 | |||
Federal Agencies - 1.1% | ||||
Freddie Mac - 1.1% | ||||
4/18/08 to 4/21/08 | 2.54 to 2.75 (c) | 6,000,000 | 5,999,706 | |
U.S. Treasury Obligations - 1.0% | ||||
U.S. Treasury Bills - 1.0% | ||||
6/26/08 to 10/2/08 | 1.20 to 1.51 | 5,885,000 | 5,855,016 | |
Master Notes - 4.7% | ||||
Asset Funding Co. III LLC | ||||
4/7/08 to 4/14/08 | 3.15 to 4.58 (c)(e) | 14,000,000 | 14,000,000 | |
Bear Stearns International Ltd. | ||||
4/1/08 | 3.37 (c) | 4,000,000 | 4,000,000 | |
Goldman Sachs Group, Inc. | ||||
6/16/08 to 7/15/08 | 3.19 to 3.23 (e) | 5,000,000 | 5,000,000 | |
Lehman Brothers Holdings, Inc. | ||||
4/1/08 to 4/11/08 | 3.11 to 3.15 (c)(e) | 3,000,000 | 3,000,000 | |
TOTAL MASTER NOTES | 26,000,000 | |||
Medium-Term Notes - 44.9% | ||||
Due Date | Yield (a) | Principal Amount | Value | |
AIG Matched Funding Corp. | ||||
4/1/08 to 5/20/08 | 3.17 to 4.90% (b)(c) | $ 6,000,000 | $ 6,000,000 | |
5/15/08 | 3.06 (c) | 3,000,000 | 3,000,000 | |
Allstate Life Global Funding Trusts | ||||
6/20/08 | 3.33 (c) | 1,000,000 | 1,000,000 | |
American Honda Finance Corp. | ||||
5/5/08 to 6/18/08 | 2.89 to 3.23 (b)(c) | 2,000,000 | 2,000,000 | |
ASIF Global Financing XXX | ||||
4/23/08 | 2.63 (b)(c) | 9,000,000 | 9,000,000 | |
AT&T, Inc. | ||||
12/5/08 | 3.14 (b)(c) | 5,000,000 | 5,000,000 | |
Bancaja US Debt SAU | ||||
4/23/08 | 4.10 (b)(c) | 2,000,000 | 2,000,000 | |
Bank of America NA | ||||
4/25/08 to 7/3/08 | 3.10 to 3.33 (c) | 12,000,000 | 11,999,802 | |
Bank of New York Co., Inc. | ||||
4/28/08 | 2.71 (b)(c) | 5,000,000 | 5,000,000 | |
Bayerische Landesbank Girozentrale | ||||
4/15/08 to 5/19/08 | 3.11 to 4.30 (c) | 10,000,000 | 10,000,000 | |
Beta Finance, Inc./Beta Finance Corp. | ||||
4/9/08 to 4/15/08 | 4.20 to 4.48 (b)(c) | 2,000,000 | 1,999,779 | |
BMW U.S. Capital LLC | ||||
4/15/08 | 2.84 (c) | 1,000,000 | 1,000,000 | |
BNP Paribas SA | ||||
4/2/08 to 5/13/08 | 3.06 to 4.03 (c) | 12,700,000 | 12,698,985 | |
BNP Paribas US Medium-Term Note Program LLC | ||||
6/16/08 | 2.79 (c) | 1,000,000 | 999,675 | |
BP Capital Markets plc | ||||
6/11/08 | 3.04 (c) | 3,000,000 | 3,000,000 | |
Caja de Ahorros y Pensiones de Barcelona | ||||
4/23/08 | 3.85 (b)(c) | 5,000,000 | 5,000,000 | |
Caja Madrid SA | ||||
4/21/08 | 4.04 (c) | 3,000,000 | 3,000,000 | |
Calyon | ||||
4/30/08 | 2.66 (c) | 5,000,000 | 4,998,255 | |
CC USA, Inc. | ||||
4/9/08 | 4.48 (b)(c) | 1,000,000 | 999,893 | |
Medium-Term Notes - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
Citigroup Funding, Inc. | ||||
5/13/08 to 5/14/08 | 3.07% (c) | $ 9,000,000 | $ 9,000,000 | |
Commonwealth Bank of Australia | ||||
4/3/08 | 4.71 (b)(c) | 5,000,000 | 5,000,000 | |
Compagnie Financiere du Credit Mutuel | ||||
6/9/08 | 3.20 (b)(c) | 2,000,000 | 2,000,000 | |
Cullinan Finance Corp. | ||||
4/15/08 | 5.36 (b) | 3,000,000 | 3,000,000 | |
Cullinan Finance Ltd./Corp. | ||||
5/27/08 | 5.35 (b) | 4,000,000 | 4,000,000 | |
Dorada Finance, Inc. | ||||
4/9/08 | 4.48 (b)(c) | 1,000,000 | 999,893 | |
General Electric Capital Corp. | ||||
4/7/08 to 4/24/08 | 2.62 to 3.14 (c) | 16,000,000 | 16,000,000 | |
Genworth Life Insurance Co. | ||||
4/1/08 | 3.19 (c)(e) | 5,000,000 | 5,000,000 | |
HBOS Treasury Services PLC | ||||
6/24/08 | 2.67 (b)(c) | 5,000,000 | 5,000,000 | |
HSBC Finance Corp. | ||||
4/24/08 | 2.60 (c) | 3,000,000 | 3,000,000 | |
HSH Nordbank AG | ||||
4/21/08 to 4/23/08 | 2.61 to 2.66 (b)(c) | 8,000,000 | 7,999,998 | |
ING USA Annuity & Life Insurance Co. | ||||
4/24/08 | 5.14 (c)(e) | 2,000,000 | 2,000,000 | |
Links Finance LLC | ||||
4/14/08 to 4/21/08 | 3.86 to 4.35 (b)(c) | 3,000,000 | 2,999,912 | |
Merrill Lynch & Co., Inc. | ||||
4/15/08 | 2.96 (c) | 5,000,000 | 5,000,000 | |
Metropolitan Life Global Funding I | ||||
4/7/08 | 3.13 (b)(c) | 2,626,000 | 2,626,000 | |
Monumental Global Funding 2007 | ||||
5/29/08 | 3.24 (b)(c) | 1,000,000 | 1,000,000 | |
Morgan Stanley | ||||
4/1/08 to 4/28/08 | 2.29 to 2.94 (c) | 9,000,000 | 9,000,000 | |
National Australia Bank Ltd. | ||||
6/6/08 | 3.22 (b)(c) | 3,000,000 | 3,000,000 | |
Medium-Term Notes - continued | ||||
Due Date | Yield (a) | Principal Amount | Value | |
New York Life Insurance Co. | ||||
5/30/08 to 6/30/08 | 2.86 to 3.15% (c)(e) | $ 7,000,000 | $ 7,000,000 | |
Pacific Life Global Funding | ||||
4/4/08 | 3.18 (b)(c) | 2,000,000 | 2,000,393 | |
PNC Bank NA, Pittsburgh | ||||
5/6/08 | 3.35 (c) | 1,000,000 | 1,000,000 | |
Royal Bank of Canada | ||||
4/30/08 | 2.65 (c) | 1,000,000 | 999,657 | |
Royal Bank of Scotland PLC | ||||
4/11/08 | 4.45 (b)(c) | 1,000,000 | 999,967 | |
Security Life of Denver Insurance Co. | ||||
4/28/08 | 2.93 (c)(e) | 1,000,000 | 1,000,000 | |
Sigma Finance, Inc. | ||||
6/30/08 | 2.64 (b)(c) | 6,000,000 | 5,999,852 | |
8/1/08 | (b) | 3,000,000 | 3,000,000 | |
Skandinaviska Enskilda Banken AB | ||||
6/9/08 | 2.98 (b)(c) | 5,000,000 | 5,000,000 | |
Svenska Handelsbanken AB | ||||
4/7/08 | 4.21 (b)(c) | 4,000,000 | 4,000,000 | |
UniCredito Italiano Bank (Ireland) PLC | ||||
4/11/08 to 4/15/08 | 2.84 to 4.43 (b)(c) | 7,500,000 | 7,499,459 | |
Verizon Communications, Inc. | ||||
6/16/08 | 2.88 (c) | 4,000,000 | 4,000,000 | |
Wachovia Bank NA | ||||
4/25/08 | 3.40 (c) | 4,000,000 | 4,000,000 | |
Wells Fargo & Co. | ||||
4/15/08 | 2.90 (b)(c) | 10,000,000 | 10,000,000 | |
WestLB AG | ||||
4/10/08 to 6/30/08 | 2.75 to 3.13 (b)(c) | 7,000,000 | 7,000,000 | |
Westpac Banking Corp. | ||||
5/6/08 to 6/4/08 | 3.28 to 4.69 (b)(c) | 10,000,000 | 9,998,668 | |
6/11/08 | 3.00 (c) | 2,000,000 | 2,000,910 | |
TOTAL MEDIUM-TERM NOTES | 250,821,098 | |||
Asset-Backed Securities - 0.2% | ||||
Master Funding Trust I | ||||
4/25/08 | 2.58 (b)(c) | 1,000,000 | 1,000,000 |
Repurchase Agreements - 7.2% | |||
Maturity Amount | Value | ||
In a joint trading account at 2.88% dated 3/31/08 due 4/1/08 (Collateralized by U.S. Government Obligations) # | $ 167,013 | $ 167,000 | |
With: | |||
Banc of America Securities LLC At 3.25%, dated 3/31/08 due 4/1/08 (Collateralized by Equity Securities valued at $3,150,300) | 3,000,271 | 3,000,000 | |
Dresdner Kleinwort Securities LLC At 3.25%, dated 3/28/08 due 4/4/08 (Collateralized by Corporate Obligations valued at $2,044,641, 7.3%, 11/15/11) (c)(d) | 2,001,264 | 2,000,000 | |
Goldman Sachs & Co. At: | |||
3.06%, dated 2/14/08 due 8/13/08 (Collateralized by Commercial Paper Obligations valued at $3,072,225) | 3,046,155 | 3,000,000 | |
3.2%, dated 2/4/08 due 5/5/08 (Collateralized by Corporate Obligations valued at $2,050,320, 2.7%, 8/25/36) | 2,016,153 | 2,000,000 | |
4.88%, dated 1/3/08 due 4/2/08 (Collateralized by Corporate Obligations valued at $2,125,520, 4%, 11/15/29) | 2,024,400 | 2,000,000 | |
Lehman Brothers, Inc. At: | |||
3.22%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $17,851,563, 6.88% - 8.88%, 11/15/13 - 5/15/27) | 17,001,521 | 17,000,000 | |
3.3%, dated 1/29/08 due 4/29/08 (Collateralized by Corporate Obligations valued at $2,054,347, 7.06%, 12/20/37) | 2,016,683 | 2,000,000 | |
4.6%, dated 1/7/08 due 4/8/08 (Collateralized by Corporate Obligations valued at $1,031,951, 7.06%, 12/20/37) | 1,011,756 | 1,000,000 | |
Wachovia Securities, Inc. At: | |||
3.06%, dated 3/10/08 due 6/10/08 (Collateralized by Mortgage Loan Obligations valued at $3,155,840, 2.91% - 5.9%, 9/15/21 - 2/15/51) | 3,023,460 | 3,000,000 | |
3.18%, dated 2/19/08 due 5/19/08 (Collateralized by Mortgage Loan Obligations valued at $3,161,643, 2.91% - 5.72%, 4/7/08 - 2/15/38) | 3,023,850 | 3,000,000 | |
3.2%, dated 2/27/08 due 5/27/08 (Collateralized by Corporate Obligations valued at $2,046,165, 0% - 5.24%, 4/7/08 - 3/15/28) | 2,015,997 | 2,000,000 | |
TOTAL REPURCHASE AGREEMENTS | 40,167,000 | ||
TOTAL INVESTMENT PORTFOLIO - 102.3% | 571,269,948 | ||
NET OTHER ASSETS - (2.3)% | (13,105,529) | ||
NET ASSETS - 100% | $ 558,164,419 |
Legend |
(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating rate securities, the rate at period end. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $131,123,814 or 23.5% of net assets. |
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. Due dates for these security types are the next interest rate reset date or, when applicable, the final maturity date. |
(d) The maturity amount is based on the rate at period end. |
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $37,000,000 or 6.6% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Cost |
Asset Funding Co. III LLC: | 11/7/06 | $ 5,000,000 |
3.16%, 4/7/08 | 8/29/06 | $ 5,000,000 |
4.58%, 4/14/08 | 10/10/07 | $ 4,000,000 |
Genworth Life Insurance Co. 3.19%, 4/1/08 | 7/31/07 | $ 5,000,000 |
Security | Acquisition Date | Cost |
Goldman Sachs Group, Inc.: 3.19%, 7/15/08 | 2/14/08 | $ 3,000,000 |
3.23%, 6/16/08 | 2/14/08 | $ 2,000,000 |
ING USA Annuity & Life Insurance Co. | 6/23/05 | $ 2,000,000 |
Lehman Brothers Holdings, Inc.: 3.11%, 4/11/08 | 1/10/07 | $ 2,000,000 |
3.15%, 4/1/08 | 12/11/06 | $ 1,000,000 |
New York Life Insurance Co.: 2.86%, 6/30/08 | 3/28/08 | $ 5,000,000 |
3.15%, 5/30/08 | 11/9/07 | $ 2,000,000 |
Security Life of Denver Insurance Co. | 8/26/05 | $ 1,000,000 |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$167,000 due 4/01/08 at 2.88% | |
BNP Paribas Securities Corp. | $ 46,466 |
Bank of America, NA | 27,879 |
Barclays Capital, Inc. | 7,434 |
Deutsche Bank Securities, Inc. | 8,553 |
Dresdner Kleinwort Securities LLC | 2,323 |
ING Financial Markets LLC | 13,940 |
J.P. Morgan Securities, Inc. | 27,879 |
Societe Generale, New York Branch | 9,293 |
UBS Securities LLC | 23,233 |
$ 167,000 |
Income Tax Information |
At September 30, 2007, the fund had a capital loss carryforward of approximately $129,784 of which $2,068, $7,239, $17,632 and $102,845 will expire on September 30, 2011, 2012, 2013 and 2014, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
March 31, 2008 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $40,167,000) - See accompanying schedule: Unaffiliated issuers (cost $571,269,948) | $ 571,269,948 | |
Cash | 59,369 | |
Receivable for investments sold | 2,036,622 | |
Interest receivable | 2,283,098 | |
Total assets | 575,649,037 | |
Liabilities | ||
Payable for investments purchased | $ 15,733,291 | |
Distributions payable | 1,732,650 | |
Other payables and accrued expenses | 18,677 | |
Total liabilities | 17,484,618 | |
Net Assets | $ 558,164,419 | |
Net Assets consist of: | ||
Paid in capital | $ 558,178,859 | |
Undistributed net investment income | 21,244 | |
Accumulated undistributed net realized gain (loss) on investments | (35,684) | |
Net Assets, for 558,173,617 shares outstanding | $ 558,164,419 | |
Net Asset Value, offering price and redemption price per share ($558,164,419 ÷ 558,173,617 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Six months ended March 31, 2008 (Unaudited) | ||
Investment Income | ||
Interest | $ 14,539,312 | |
Expenses | ||
Custodian fees and expenses | $ 9,304 | |
Independent trustees' compensation | 1,242 | |
Total expenses before reductions | 10,546 | |
Expense reductions | (4,382) | 6,164 |
Net investment income | 14,533,148 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 94,100 | |
Net increase in net assets resulting from operations | $ 14,627,248 |
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 March 31, 2008 (Unaudited) | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 14,533,148 | $ 37,932,660 |
Net realized gain (loss) | 94,100 | 43,299 |
Net increase in net assets resulting from operations | 14,627,248 | 37,975,959 |
Distributions to shareholders from net investment income | (14,533,183) | (37,932,625) |
Affiliated share transactions at net asset value | ||
Proceeds from sale of shares | - | - |
Reinvestment of distributions | 6,952 | 1,785,636 |
Cost of shares redeemed | (84,600,000) | (218,633,737) |
Net increase (decrease) in net assets and shares resulting from share transactions | (84,593,048) | (216,848,101) |
Total increase (decrease) in net assets | (84,498,983) | (216,804,767) |
Net Assets | ||
Beginning of period | 642,663,402 | 859,468,169 |
End of period (including undistributed net investment income of $21,244 and undistributed net investment income of $21,279, respectively) | $ 558,164,419 | $ 642,663,402 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended March 31, 2008 | Years ended September 30, | |||||
(Unaudited) | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Income from Investment Operations | ||||||
Net investment income | .024 | .054 | .048 | .028 | .013 | .014 |
Distributions from net investment income | (.024) | (.054) | (.048) | (.028) | (.013) | (.014) |
Net asset value, | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 |
Total Return B,C | 2.42% | 5.55% | 4.86% | 2.80% | 1.27% | 1.43% |
Ratios to Average Net AssetsD | ||||||
Expenses before reductions | -%A, E | .01% | .01% | .01% | .01% | .01% |
Expenses net of fee waivers, | -%A, E | .01% | .01% | .01% | .01% | .01% |
Expenses net of all reductions | -%A, E | .01% | .01% | .01% | .01% | .01% |
Net investment income | 4.84%A | 5.41% | 4.76% | 2.77% | 1.27% | 1.42% |
Supplemental Data | ||||||
Net assets, | $ 558,164 | $ 642,663 | $ 859,468 | $ 821,384 | $ 817,994 | $ 816,443 |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
E Amount represents less than .01%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended March 31, 2008 (Unaudited)
1. Organization.
Fidelity Money Market Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts (the Investing Funds) managed by Fidelity Management & Research Company (FMR), or its affiliates.
2. 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. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates value.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing 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 is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). 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 Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Semiannual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ - | |
Unrealized depreciation | - | |
Net unrealized appreciation (depreciation) | $ - | |
Cost for federal income tax purposes | $ 571,269,948 |
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 results in expanded disclosures about fair value measurements.
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. 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.
4. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
5. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $1,242.
In addition, 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 $3,140.
6. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliates were the owners of record of all of the outstanding shares of the fund.
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Fidelity® Ultra-Short
Central Fund
Semiannual Report
March 31, 2008
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 LLC or an affiliated company.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
USC-SANN-0508
1.771938.106
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2007 to March 31, 2008).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 889.90 | $ .01 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.99 | $ .01 |
* Expenses are equal to the Fund's annualized expense ratio of .0017%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Quality Diversification (% of fund's net assets) | |||||||
As of March 31, 2008 | As of September 30, 2007 | ||||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | AAA 19.6% | ![]() | AAA 33.1% | ||||
![]() | AA 9.7% | ![]() | AA 19.3% | ||||
![]() | A 12.4% | ![]() | A 10.8% | ||||
![]() | BBB 14.7% | ![]() | BBB 18.9% | ||||
![]() | BB and Below 0.2% | ![]() | BB and Below 0.4% | ||||
![]() | Not Rated 0.8% | ![]() | Not Rated 1.2% | ||||
![]() | 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. All ratings are as of the report date and do not reflect subsequent downgrades. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of March 31, 2008 | ||
6 months ago | ||
Years | 1.3 | 1.9 |
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 March 31, 2008 | ||
6 months ago | ||
Years | 0.3 | 0.2 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of March 31, 2008 * | As of September 30, 2007 ** | ||||||
![]() | Corporate Bonds 6.5% | ![]() | Corporate Bonds 14.2% | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other Mortgage Related Securities 21.5% | ![]() | CMOs and Other Mortgage Related Securities 28.3% | ||||
![]() | Other Investments 0.0% | ![]() | Other Investments 0.2% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 15.3% | ** Foreign investments | 16.8% | ||||
* Futures and Swaps | 0.6% | ** Futures and Swaps | 3.2% |
Semiannual Report
Investments March 31, 2008
Showing Percentage of Net Assets
Nonconvertible Bonds - 6.5% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 0.4% | ||||
Media - 0.4% | ||||
Time Warner, Inc. 3.3% 11/13/09 (d) | $ 20,000,000 | $ 19,150,900 | ||
Viacom, Inc. 3.15% 6/16/09 (d) | 5,185,000 | 5,081,316 | ||
24,232,216 | ||||
ENERGY - 0.1% | ||||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Anadarko Petroleum Corp. 3.25% 5/1/08 | 7,850,000 | 7,848,147 | ||
FINANCIALS - 3.4% | ||||
Capital Markets - 0.5% | ||||
VTB Capital SA 3.8394% 8/1/08 (b)(d) | 35,000,000 | 34,606,250 | ||
Commercial Banks - 1.6% | ||||
DBS Bank Ltd. (Singapore) 3.29% 5/16/17 (b)(d) | 23,000,000 | 20,355,000 | ||
HBOS plc 3.42% 2/6/14 (d) | 18,140,000 | 17,640,424 | ||
HSBC Holdings PLC 4.8463% 10/6/16 (d) | 7,800,000 | 7,475,746 | ||
Manufacturers & Traders Trust Co. 3.85% 4/1/13 (b)(d) | 7,750,000 | 7,052,500 | ||
PNC Funding Corp. 3.3838% 1/31/12 (d) | 19,900,000 | 18,271,782 | ||
Santander Issuances SA Unipersonal 2.9019% 6/20/16 (b)(d) | 24,000,000 | 21,850,320 | ||
Sovereign Bank 4.375% 8/1/13 (d) | 11,250,000 | 10,249,065 | ||
UniCredit Luxembourg Finance SA 4.7169% 1/13/17 (b)(d) | 2,900,000 | 2,581,954 | ||
105,476,791 | ||||
Consumer Finance - 0.7% | ||||
SLM Corp. 2.5456% 4/18/08 (b)(d) | 47,500,000 | 47,425,045 | ||
Diversified Financial Services - 0.2% | ||||
BTM Curacao Holding NV 2.8988% 12/19/16 (b)(d) | 13,000,000 | 11,570,000 | ||
Thrifts & Mortgage Finance - 0.4% | ||||
Capmark Financial Group, Inc. 3.7463% 5/10/10 (b)(d) | 18,510,000 | 12,260,691 | ||
Independence Community Bank Corp. 3.5% 6/20/13 (d) | 14,272,000 | 13,272,960 | ||
25,533,651 | ||||
TOTAL FINANCIALS | 224,611,737 | |||
INDUSTRIALS - 0.3% | ||||
Airlines - 0.1% | ||||
American Airlines, Inc. 7.25% 2/5/09 | 6,000,000 | 5,910,000 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
INDUSTRIALS - continued | ||||
Building Products - 0.2% | ||||
Masco Corp. 3.2013% 3/12/10 (d) | $ 18,370,000 | $ 17,186,935 | ||
TOTAL INDUSTRIALS | 23,096,935 | |||
INFORMATION TECHNOLOGY - 0.3% | ||||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
National Semiconductor Corp. 3.05% 6/15/10 (d) | 23,665,000 | 21,588,160 | ||
TELECOMMUNICATION SERVICES - 1.6% | ||||
Diversified Telecommunication Services - 1.3% | ||||
AT&T, Inc. 3.155% 5/15/08 (d) | 25,000,000 | 25,008,325 | ||
BellSouth Corp. 3.165% 8/15/08 (d) | 17,500,000 | 17,477,478 | ||
Telecom Italia Capital SA 4.5613% 7/18/11 (d) | 15,640,000 | 13,961,937 | ||
Telefonica Emisiones SAU 2.8419% 6/19/09 (d) | 32,300,000 | 31,460,135 | ||
87,907,875 | ||||
Wireless Telecommunication Services - 0.3% | ||||
America Movil SAB de CV 4.9575% 6/27/08 (d) | 18,494,000 | 18,262,825 | ||
TOTAL TELECOMMUNICATION SERVICES | 106,170,700 | |||
UTILITIES - 0.4% | ||||
Electric Utilities - 0.3% | ||||
Ohio Power Co. 4.8263% 4/5/10 (d) | 22,785,000 | 22,211,251 | ||
Gas Utilities - 0.1% | ||||
NiSource Finance Corp. 3.6625% 11/23/09 (d) | 8,055,000 | 7,819,214 | ||
TOTAL UTILITIES | 30,030,465 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $463,407,111) | 437,578,360 | |||
U.S. Government Agency Obligations - 0.1% | ||||
Freddie Mac 0% 8/18/08 (c) | 5,000,000 | 4,960,810 | ||
Asset-Backed Securities - 29.4% | ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-4 Class A2D, 2.9488% 1/25/35 (d)(f) | 620,779 | 458,117 | ||
Series 2005-1 Class M1, 3.0688% 4/25/35 (d)(f) | 11,280,000 | 8,678,058 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
ACE Securities Corp. Series 2006-NC2: | ||||
Class M7, 3.3488% 7/25/36 (d)(f) | $ 4,902,000 | $ 308,316 | ||
Class M8, 3.4488% 7/25/36 (d)(f) | 2,429,000 | 139,113 | ||
Class M9, 4.2988% 7/25/36 (d)(f) | 1,605,000 | 84,616 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HS1: | ||||
Class M1, 3.3488% 6/25/33 (d)(f) | 184,121 | 136,498 | ||
Class M2, 4.3488% 6/25/33 (d)(f) | 856,000 | 740,016 | ||
Series 2003-NC1 Class M1, 3.3788% 7/25/33 (d)(f) | 1,600,000 | 1,159,133 | ||
Series 2004-HE1 Class M1, 3.0988% 2/25/34 (d)(f) | 3,085,667 | 2,252,537 | ||
Series 2004-OP1 Class M1, 3.1188% 4/25/34 (d)(f) | 4,275,940 | 2,913,203 | ||
Series 2005-HE1 Class M1, 3.0788% 2/25/35 (d)(f) | 2,191,171 | 1,663,006 | ||
Series 2005-HE2 Class M2, 3.0488% 4/25/35 (d)(f) | 1,803,000 | 1,595,155 | ||
Series 2005-HE6 Class A2B, 2.7988% 10/25/35 (d)(f) | 3,584,518 | 3,567,717 | ||
Series 2005-SD1 Class A1, 2.9988% 11/25/50 (d)(f) | 381,766 | 297,441 | ||
Series 2006-HE2: | ||||
Class M3, 2.9388% 5/25/36 (d)(f) | 2,130,000 | 646,114 | ||
Class M4, 2.9988% 5/25/36 (d)(f) | 1,800,000 | 181,980 | ||
Class M5, 3.0388% 5/25/36 (d)(f) | 2,617,000 | 187,874 | ||
Series 2006-OP1: | ||||
Class M4, 2.9688% 4/25/36 (d)(f) | 1,000,000 | 201,100 | ||
Class M5, 2.9888% 4/25/36 (d)(f) | 950,000 | 80,256 | ||
Advanta Business Card Master Trust: | ||||
Series 2004-C1 Class C, 3.5856% 9/20/13 (d) | 5,875,000 | 4,918,550 | ||
Series 2006-C1 Class C1, 3.0156% 10/20/14 (d) | 8,185,000 | 5,329,254 | ||
Series 2007-A4 Class A4, 2.5656% 4/22/13 (d) | 30,000,000 | 28,096,890 | ||
Series 2007-B1 Class B, 2.7856% 12/22/14 (d) | 29,325,000 | 21,782,991 | ||
Aesop Funding II LLC Series 2005-1A Class A2, 2.5956% 4/20/09 (b)(d) | 1,466,667 | 1,463,761 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 5.0206% 10/28/18 (b)(d) | 11,206,897 | 11,136,854 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 3.3175% 2/15/12 (b)(d) | 5,153,881 | 5,045,668 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-1 Class C, 4.73% 7/6/10 | 15,285,022 | 15,203,828 | ||
Series 2007-DF Class A1, 5.9139% 10/6/08 | 1,467,528 | 1,467,934 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2003-10 Class M1, 3.2988% 12/25/33 (d)(f) | 1,555,880 | 1,274,532 | ||
Series 2004-R10 Class M1, 3.2988% 11/25/34 (d)(f) | 4,665,000 | 3,214,134 | ||
Series 2004-R11 Class M1, 3.2588% 11/25/34 (d)(f) | 4,430,000 | 3,576,374 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Ameriquest Mortgage Securities, Inc.: - continued | ||||
Series 2004-R2: | ||||
Class M1, 3.0288% 4/25/34 (d)(f) | $ 1,765,000 | $ 1,461,527 | ||
Class M2, 3.0788% 4/25/34 (d)(f) | 1,375,000 | 1,176,938 | ||
Class M3, 3.1488% 4/25/34 (d)(f) | 3,186,802 | 2,628,148 | ||
Series 2005-R1: | ||||
Class M1, 3.0488% 3/25/35 (d)(f) | 5,710,000 | 4,269,392 | ||
Class M2, 3.0788% 3/25/35 (d)(f) | 1,925,000 | 1,687,129 | ||
Series 2005-R10 Class A2B, 2.8188% 12/25/35 (d)(f) | 7,539,272 | 6,594,511 | ||
Series 2005-R2 Class M1, 3.0488% 4/25/35 (d)(f) | 12,500,000 | 9,058,365 | ||
Series 2006-M3: | ||||
Class M7, 3.4488% 10/25/36 (d)(f) | 6,660,000 | 400,596 | ||
Class M9, 4.5988% 10/25/36 (d)(f) | 4,270,000 | 269,449 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 2.9288% 6/25/32 (d)(f) | 1,277,474 | 1,028,168 | ||
ARG Funding Corp.: | ||||
Series 2005-1A Class A2, 2.6988% 4/20/09 (b)(d) | 1,833,333 | 1,832,406 | ||
Series 2005-2A Class A2, 2.6456% 5/20/09 (b)(d) | 1,733,333 | 1,732,315 | ||
Argent Securities, Inc.: | ||||
Series 2003-W3 Class M2, 4.935% 9/25/33 (d)(f) | 8,358,535 | 6,861,574 | ||
Series 2003-W7 Class A2, 2.9888% 3/1/34 (d)(f) | 329,642 | 232,294 | ||
Series 2004-W11 Class M2, 3.2988% 11/25/34 (d)(f) | 3,860,000 | 2,619,719 | ||
Series 2004-W5 Class M1, 3.1988% 4/25/34 (d)(f) | 3,960,000 | 2,898,505 | ||
Series 2004-W7: | ||||
Class M1, 3.1488% 5/25/34 (d)(f) | 4,085,000 | 2,520,359 | ||
Class M2, 3.1988% 5/25/34 (d)(f) | 3,320,000 | 2,426,165 | ||
Series 2006-M1 Class M7, 3.5988% 7/25/36 (d)(f) | 5,600,000 | 376,741 | ||
Series 2006-M2 Class M7, 3.4988% 9/25/36 (d)(f) | 11,580,000 | 543,681 | ||
Series 2006-W4 Class A2C, 2.7588% 5/25/36 (d)(f) | 10,675,000 | 7,150,585 | ||
Arran Funding Ltd. Series 2005-A Class C, 3.1375% 12/15/10 (d) | 26,765,000 | 25,547,193 | ||
Asset Backed Funding Certificates Series 2005-HE1 Class M1, 3.0188% 12/25/34 (d)(f) | 9,863,154 | 5,819,953 | ||
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 3.3788% 10/25/36 (d)(f) | 7,655,000 | 715,086 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE3 Class M1, 4.0625% 6/15/33 (d)(f) | 1,908,774 | 1,466,615 | ||
Series 2003-HE6 Class M1, 3.2488% 11/25/33 (d)(f) | 3,475,000 | 2,540,022 | ||
Series 2004-HE2 Class M1, 3.1488% 4/25/34 (d)(f) | 18,355,000 | 12,280,795 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Asset Backed Securities Corp. Home Equity Loan Trust: - continued | ||||
Series 2004-HE3: | ||||
Class M1, 3.1388% 6/25/34 (d)(f) | $ 1,625,000 | $ 1,084,275 | ||
Class M2, 3.7188% 6/25/34 (d)(f) | 3,750,000 | 2,515,683 | ||
Series 2004-HE6 Class A2, 2.9588% 6/25/34 (d)(f) | 2,604,317 | 1,807,052 | ||
Series 2005-HE1 Class M1, 3.0988% 3/25/35 (d)(f) | 4,146,582 | 2,369,239 | ||
Series 2005-HE2: | ||||
Class M1, 3.0488% 3/25/35 (d)(f) | 7,514,425 | 4,896,433 | ||
Class M2, 3.0988% 3/25/35 (d)(f) | 2,065,000 | 1,618,960 | ||
Series 2005-HE6 Class A2B, 2.8488% 7/25/35 (d)(f) | 691,999 | 603,626 | ||
Series 2005-HE8 Class M2, 3.0488% 11/25/35 (d)(f) | 2,105,000 | 1,843,720 | ||
Series 2006-HE6: | ||||
Class M7, 3.3988% 11/25/36 (d)(f) | 2,420,000 | 189,449 | ||
Class M9, 4.7488% 11/25/36 (d)(f) | 6,465,000 | 561,417 | ||
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.2806% 4/4/17 (a)(b)(d) | 20,000,000 | 2 | ||
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 2.8975% 3/15/12 (d) | 23,615,000 | 22,412,123 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.3075% 5/28/44 (d)(f) | 2,715,457 | 2,382,870 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.3525% 2/28/44 (d)(f) | 5,041,834 | 4,537,650 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2005-3 Class A1, 3.0488% 9/25/35 (d)(f) | 1,044,823 | 890,712 | ||
Series 2005-FR1 Class M1, 3.0988% 6/25/35 (d)(f) | 6,660,000 | 4,816,512 | ||
Series 2005-HE2: | ||||
Class M1, 3.0988% 2/25/35 (d)(f) | 9,949,740 | 5,651,824 | ||
Class M2, 3.3488% 2/25/35 (d)(f) | 2,430,000 | 1,620,173 | ||
Series 2007-AQ1 Class A1, 2.7088% 11/25/36 (d)(f) | 12,477,417 | 10,731,815 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 4.8675% 12/26/24 (d) | 16,395,588 | 15,640,407 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2005-1 Class B, 3.1925% 6/15/10 (d) | 5,725,000 | 5,681,169 | ||
Series 2006-2 Class A2A, 5.23% 2/15/09 | 2,815,487 | 2,819,893 | ||
Capital One Auto Finance Trust: | ||||
Series 2004-B Class A4, 2.9275% 8/15/11 (d) | 7,733,457 | 7,505,206 | ||
Series 2006-C Class A3B, 2.8275% 7/15/11 (d) | 11,972,574 | 11,486,173 | ||
Series 2007-A Class A2, 5.33% 5/17/10 | 5,701,210 | 5,700,267 | ||
Series 2007-B Class A2, 5.27% 6/15/10 | 9,403,260 | 9,383,450 | ||
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 3.1075% 4/15/13 (b)(d) | 20,000,000 | 17,024,000 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 2.9856% 7/20/39 (b)(d) | $ 2,968,000 | $ 2,404,080 | ||
Class B, 3.2856% 7/20/39 (b)(d) | 1,550,000 | 1,178,000 | ||
Class C, 3.6356% 7/20/39 (b)(d) | 1,994,000 | 1,435,680 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1: | ||||
Class M1, 2.8988% 7/25/36 (d)(f) | 7,847,000 | 2,291,324 | ||
Class M9, 4.4988% 7/25/36 (d)(f) | 2,112,000 | 191,387 | ||
Series 2006-NC2 Class M7, 3.4488% 6/25/36 (d)(f) | 2,500,000 | 226,844 | ||
Series 2006-RFC1 Class M9, 4.4688% 5/25/36 (d)(f) | 1,095,000 | 108,174 | ||
Series 2007-RFC1 Class A3, 2.7388% 12/25/36 (d)(f) | 12,398,000 | 8,095,510 | ||
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 3.2988% 5/20/17 (b)(d) | 2,714,388 | 2,115,030 | ||
Chase Issuance Trust Series 2004-C3 Class C3, 3.2875% 6/15/12 (d) | 3,650,000 | 3,389,938 | ||
CIT Equipment Collateral Trust: | ||||
Series 2005-VT1 Class D, 4.51% 11/20/12 | 1,967,298 | 1,967,306 | ||
Series 2006-VT2: | ||||
Class A2, 5.19% 1/20/09 | 6,475,263 | 6,491,006 | ||
Class D, 5.46% 4/20/14 | 5,280,120 | 5,223,922 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2003-HE4 Class A, 3.0088% 12/25/33 (b)(d)(f) | 3,328,643 | 2,839,000 | ||
Series 2006-AMC1 Class M7, 3.4188% 9/25/36 (d)(f) | 4,445,000 | 385,066 | ||
Series 2007-AMC4 Class M1, 2.8688% 5/25/37 (d)(f) | 5,265,000 | 2,500,875 | ||
CNH Equipment Trust Series 2007-A Class A2, 5.09% 10/15/09 | 16,249,290 | 16,350,859 | ||
CNH Wholesale Master Note Trust: | ||||
Series 2005-1: | ||||
Class A, 2.9275% 6/15/11 (d) | 18,000,000 | 17,957,137 | ||
Class B, 3.2175% 6/15/11 (d) | 2,280,000 | 2,139,552 | ||
Series 2006-1A: | ||||
Class A, 2.8775% 7/15/12 (b)(d) | 9,000,000 | 8,858,830 | ||
Class B, 3.0975% 7/15/12 (b)(d) | 9,000,000 | 8,282,140 | ||
Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (b)(f) | 1,977,581 | 59,327 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 3.4588% 5/25/33 (d)(f) | 453,553 | 400,048 | ||
Series 2003-BC1 Class M2, 6.3763% 9/25/32 (d)(f) | 2,016,427 | 1,494,172 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Countrywide Home Loans, Inc.: - continued | ||||
Series 2004-3: | ||||
Class 3A4, 2.8488% 8/25/34 (d)(f) | $ 91,760 | $ 69,369 | ||
Class M1, 3.0988% 6/25/34 (d)(f) | 4,450,000 | 3,499,043 | ||
Class M4, 3.5688% 4/25/34 (d)(f) | 1,236,520 | 982,399 | ||
Series 2004-4: | ||||
Class A, 2.9688% 8/25/34 (d)(f) | 380,448 | 218,874 | ||
Class M2, 3.1288% 6/25/34 (d)(f) | 4,967,615 | 3,960,104 | ||
Series 2005-1: | ||||
Class M1, 3.0188% 8/25/35 (d)(f) | 3,525,000 | 3,019,762 | ||
Class MV1, 2.9988% 7/25/35 (d)(f) | 7,675,000 | 6,887,021 | ||
Class MV2, 3.0388% 7/25/35 (d)(f) | 9,200,000 | 8,080,023 | ||
Series 2005-3 Class MV1, 3.0188% 8/25/35 (d)(f) | 17,050,000 | 14,672,971 | ||
Series 2005-AB1 Class A2, 2.8088% 8/25/35 (d)(f) | 5,932,559 | 5,254,948 | ||
CPS Auto Receivables Trust: | ||||
Series 2004-D Class A2, 3.86% 12/15/11 (b) | 2,142,311 | 1,984,528 | ||
Series 2006-C Class A2, 5.31% 3/15/10 (b) | 3,429,173 | 3,416,249 | ||
Credit-Based Asset Servicing and Securitization Mortgage Loan Certificates Series 2006-SC1 Class A, 2.8688% 5/25/36 (b)(d)(f) | 8,003,479 | 6,689,156 | ||
Credit-Based Asset Servicing and Securitization Trust Series 2006-CB7 Class A2, 2.6588% 10/25/36 (d)(f) | 6,786,781 | 6,497,284 | ||
DaimlerChrysler Auto Trust Series 2006-D Class A2, 5.19% 8/8/09 | 4,225,552 | 4,235,149 | ||
Discover Card Master Trust I: | ||||
Series 2003-4 Class B1, 3.1475% 5/16/11 (d) | 8,155,000 | 8,001,413 | ||
Series 2005-1 Class B, 2.9675% 9/16/10 (d) | 12,750,000 | 12,748,255 | ||
Series 2005-3 Class B, 3.0075% 5/15/11 (d) | 9,000,000 | 8,883,209 | ||
Series 2006-1 Class B1, 2.9675% 8/16/11 (d) | 14,629,000 | 14,257,413 | ||
Series 2006-2 Class B1, 3.2413% 1/17/12 (d) | 18,000,000 | 17,074,692 | ||
Series 2007-1 Class B, 2.9175% 8/15/12 (d) | 20,000,000 | 18,537,500 | ||
DriveTime Auto Owner Trust: | ||||
Series 2006-A Class A2, 5.422% 10/15/09 (b) | 50,809 | 50,682 | ||
Series 2006-B Class A2, 5.32% 3/15/10 (b) | 6,954,595 | 6,906,782 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 3.9001% 5/28/35 (d) | 267,638 | 191,392 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 4.7738% 8/25/34 (d)(f) | 2,000,000 | 1,585,314 | ||
Series 2006-3 Class 2A3, 3.295% 11/25/36 (d)(f) | 30,960,000 | 20,114,340 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2: | ||||
Class M3, 3.4238% 3/25/34 (d)(f) | 978,362 | 898,360 | ||
Class M4, 3.9488% 3/25/34 (d)(f) | 257,759 | 193,886 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
First Franklin Mortgage Loan Trust: - continued | ||||
Series 2006-FF12 Class A2, 2.6388% 9/25/36 (d)(f) | $ 8,588,875 | $ 8,181,635 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b) | 4,386,800 | 4,308,534 | ||
Ford Credit Floorplan Master Owner Trust: | ||||
Series 2005-1: | ||||
Class A, 2.9675% 5/15/10 (d) | 14,365,000 | 14,364,129 | ||
Class B, 3.2575% 5/15/10 (d) | 8,020,000 | 8,021,312 | ||
Series 2006-3: | ||||
Class A, 2.9975% 6/15/11 (d) | 7,340,000 | 7,075,218 | ||
Class B, 3.2675% 6/15/11 (d) | 12,520,000 | 12,297,144 | ||
Series 2006-4 Class B, 3.3675% 6/15/13 (d) | 5,315,000 | 5,052,439 | ||
Franklin Auto Trust Series 2007-1 Class A2, 5.14% 5/17/10 | 11,681,051 | 11,744,346 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 3.2738% 2/25/34 (d)(f) | 467,888 | 343,471 | ||
Class M2, 3.0988% 2/25/34 (d)(f) | 800,000 | 629,265 | ||
Series 2004-A Class M1, 3.4238% 1/25/34 (d)(f) | 9,510,889 | 7,141,422 | ||
Series 2004-B Class M1, 3.1788% 5/25/34 (d)(f) | 1,695,000 | 1,070,711 | ||
Series 2005-A: | ||||
Class M1, 3.0288% 1/25/35 (d)(f) | 1,744,935 | 1,034,369 | ||
Class M2, 3.0588% 1/25/35 (d)(f) | 12,075,000 | 9,050,926 | ||
Class M3, 3.0888% 1/25/35 (d)(f) | 6,525,000 | 5,188,087 | ||
Class M4, 3.2788% 1/25/35 (d)(f) | 2,500,000 | 1,218,000 | ||
Series 2006-A: | ||||
Class M4, 2.9988% 5/25/36 (d)(f) | 5,315,000 | 316,987 | ||
Class M5, 3.0988% 5/25/36 (d)(f) | 2,847,000 | 149,126 | ||
Series 2006-B Class M9, 4.4988% 8/25/36 (d)(f) | 2,000,000 | 243,000 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 5.41% 9/25/30 (b)(d) | 16,200,000 | 15,450,177 | ||
GE Business Loan Trust Series 2003-1 Class A, 3.2475% 4/15/31 (b)(d) | 2,766,649 | 2,296,660 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2005-2 Class B, 3.0175% 6/15/11 (d) | 6,475,000 | 6,475,657 | ||
Series 2006-1: | ||||
Class B, 2.9275% 9/17/12 (d) | 5,535,000 | 5,215,874 | ||
Class C, 3.0575% 9/17/12 (d) | 4,305,000 | 3,799,834 | ||
Series 2007-1 Class C, 3.0875% 3/15/13 (d) | 32,645,000 | 27,666,638 | ||
GE Equipment Midticket LLC Series 2006-1 Class A2, 5.1% 5/15/09 | 1,120,537 | 1,121,567 | ||
Gracechurch Card Funding PLC: | ||||
Series 11 Class C, 3.0975% 11/15/10 (d) | 20,510,000 | 19,913,364 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Gracechurch Card Funding PLC: - continued | ||||
Series 8 Class C, 3.1475% 6/15/10 (d) | $ 18,450,000 | $ 18,274,725 | ||
Series 9: | ||||
Class B, 2.9675% 9/15/10 (d) | 3,560,000 | 3,497,024 | ||
Class C, 3.1275% 9/15/10 (d) | 13,000,000 | 12,679,550 | ||
GSAMP Trust: | ||||
Series 2002-HE Class M1, 4.4106% 11/20/32 (d)(f) | 5,005,032 | 4,561,230 | ||
Series 2003-FM1 Class M1, 3.7656% 3/20/33 (d)(f) | 9,410,920 | 7,254,968 | ||
Series 2004-AR1 Class M1, 3.2488% 6/25/34 (d)(f) | 15,085,000 | 9,933,835 | ||
Series 2004-FM1: | ||||
Class M1, 3.5738% 11/25/33 (d)(f) | 2,476,297 | 1,774,327 | ||
Class M2, 4.6988% 11/25/33 (d)(f) | 738,666 | 624,033 | ||
Series 2004-FM2 Class M1, 3.3488% 1/25/34 (d)(f) | 8,175,538 | 6,144,296 | ||
Series 2004-HE1 Class M1, 3.1488% 5/25/34 (d)(f) | 3,659,247 | 2,450,353 | ||
Series 2007-HE1 Class M1, 2.8488% 3/25/47 (d)(f) | 5,636,000 | 1,670,060 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 2.9388% 11/25/34 (d)(f) | 109,079 | 69,266 | ||
Series 2005-9 Class 2A1, 2.7188% 8/25/35 (d) | 1,209,501 | 1,184,330 | ||
Series 2005-HE2 Class M, 3.0288% 3/25/35 (d)(f) | 8,690,087 | 5,516,016 | ||
Series 2005-MTR1 Class A1, 2.7388% 10/25/35 (d) | 4,827,866 | 4,570,989 | ||
Series 2005-NC1 Class M1, 3.0488% 2/25/35 (d)(f) | 8,694,639 | 5,798,056 | ||
Series 2006-FM1 Class M3, 2.9488% 4/25/36 (d)(f) | 2,534,000 | 439,548 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 3.6788% 5/25/30 (b)(d) | 4,539,370 | 3,404,527 | ||
Series 2006-3: | ||||
Class B, 2.9988% 9/25/46 (b)(d) | 4,250,000 | 2,762,500 | ||
Class C, 3.1488% 9/25/46 (b)(d) | 10,500,000 | 5,250,000 | ||
Helios Finance L.P. Series 2007-S1 Class B1, 3.2356% 10/20/14 (b)(d) | 24,230,000 | 20,954,104 | ||
Holmes Master Issuer PLC: | ||||
Series 2006-1A Class 2C, 4.6475% 7/15/40 (b)(d) | 4,190,000 | 3,723,863 | ||
Series 2007-2A Class 1C, 4.4875% 7/15/40 (d) | 31,910,000 | 31,271,800 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 3.4788% 2/25/33 (d)(f) | 2,763 | 1,802 | ||
Series 2003-3 Class M1, 3.8888% 8/25/33 (d)(f) | 7,884,833 | 6,076,524 | ||
Series 2003-4 Class M1, 3.7988% 10/25/33 (d)(f) | 1,940,553 | 1,315,761 | ||
Series 2003-5: | ||||
Class A2, 3.2988% 12/25/33 (d)(f) | 226,466 | 166,690 | ||
Class M1, 3.6488% 12/25/33 (d)(f) | 2,928,891 | 2,344,538 | ||
Series 2003-7 Class A2, 2.9788% 3/25/34 (d)(f) | 11,398 | 7,726 | ||
Series 2003-8 Class M1, 3.6788% 4/25/34 (d)(f) | 3,389,558 | 2,375,219 | ||
Series 2004-3 Class M2, 3.7988% 8/25/34 (d)(f) | 2,855,000 | 2,112,025 | ||
Series 2004-7 Class A3, 2.9888% 1/25/35 (d)(f) | 4,215 | 2,849 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Home Equity Asset Trust: - continued | ||||
Series 2005-1 Class M1, 3.0288% 5/25/35 (d)(f) | $ 9,705,000 | $ 7,082,425 | ||
Series 2005-2 Class M1, 3.0488% 7/25/35 (d)(f) | 10,085,000 | 8,690,099 | ||
Series 2005-3 Class M1, 3.0088% 8/25/35 (d)(f) | 9,450,000 | 8,699,399 | ||
Series 2005-5 Class 2A2, 2.8488% 11/25/35 (d)(f) | 5,768,090 | 5,453,550 | ||
Series 2006-1 Class 2A3, 2.8238% 4/25/36 (d)(f) | 33,905,000 | 23,733,500 | ||
Series 2006-7: | ||||
Class B1, 4.4988% 1/25/37 (d)(f) | 3,450,000 | 128,444 | ||
Class M4, 2.9788% 1/25/37 (d)(f) | 6,740,000 | 427,942 | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 3.0556% 9/20/33 (d)(f) | 2,020,405 | 1,828,463 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 2.9575% 6/15/12 (d) | 15,473,000 | 14,493,853 | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 2.9956% 1/20/35 (d)(f) | 5,858,595 | 5,196,552 | ||
Class M2, 3.0256% 1/20/35 (d)(f) | 4,395,673 | 3,816,699 | ||
Series 2005-3: | ||||
Class A1, 2.7956% 1/20/35 (d)(f) | 2,905,491 | 2,448,330 | ||
Class M1, 2.9556% 1/20/35 (d)(f) | 1,699,712 | 1,512,064 | ||
Series 2006-2: | ||||
Class M1, 3.0875% 3/20/36 (d)(f) | 4,672,989 | 3,551,472 | ||
Class M2, 3.1075% 3/20/36 (d)(f) | 7,728,285 | 5,718,931 | ||
Series 2006-3 Class A1V, 2.6156% 3/20/36 (d)(f) | 12,476,130 | 12,248,053 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 2.7888% 1/25/37 (d)(f) | 8,515,000 | 5,943,206 | ||
IXIS Real Estate Capital Trust Series 2005-HE1 Class M1, 3.0688% 6/25/35 (d)(f) | 2,850,532 | 2,371,935 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 2.7288% 11/25/36 (d)(f) | 8,550,000 | 6,328,334 | ||
Class MV1, 2.8288% 11/25/36 (d)(f) | 6,945,000 | 2,017,661 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 5.1875% 12/27/09 (d) | 8,499,647 | 8,463,787 | ||
Series 2006-A Class 2A1, 4.8875% 9/27/21 (d) | 8,466,283 | 8,364,756 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 6.3463% 4/6/46 (b)(d) | 4,180,042 | 1,003,210 | ||
Long Beach Auto Receivables Trust Series 2006-B Class A2, 5.34% 11/15/09 | 602,135 | 602,368 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 3.8288% 6/25/33 (d)(f) | 16,009,435 | 12,951,274 | ||
Series 2004-2: | ||||
Class M1, 3.1288% 6/25/34 (d)(f) | 4,275,000 | 3,030,614 | ||
Class M2, 3.6788% 6/25/34 (d)(f) | 3,265,000 | 2,738,891 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Long Beach Mortgage Loan Trust: - continued | ||||
Series 2006-1 Class 2A2, 2.7388% 2/25/36 (d)(f) | $ 4,129,928 | $ 4,084,759 | ||
Series 2006-6: | ||||
Class M4, 2.9588% 7/25/36 (d)(f) | 3,825,000 | 184,365 | ||
Class M7, 3.4988% 7/25/36 (d)(f) | 4,000,000 | 221,277 | ||
Series 2006-9: | ||||
Class M4, 2.9688% 11/25/36 (d)(f) | 4,170,000 | 312,071 | ||
Class M5, 2.9988% 11/25/36 (d)(f) | 8,052,000 | 524,569 | ||
Class M7, 3.3988% 11/25/36 (d)(f) | 3,796,000 | 220,929 | ||
Luminent Mortgage Trust Series 2006-3 Class 12A1, 2.8088% 5/25/36 (d) | 7,415,507 | 5,250,980 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 2.8088% 5/25/47 (d) | 9,810,000 | 8,202,617 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 2.8588% 10/25/36 (d)(f) | 3,090,000 | 681,654 | ||
Series 2006-NC2 Class M7, 3.3488% 9/25/36 (d)(f) | 4,790,000 | 316,976 | ||
MBNA Credit Card Master Note Trust: | ||||
Series 2003-B2 Class B2, 3.2075% 10/15/10 (d) | 3,765,000 | 3,766,537 | ||
Series 2003-B3 Class B3, 3.1925% 1/18/11 (d) | 1,130,000 | 1,110,345 | ||
Series 2003-B5 Class B5, 3.1875% 2/15/11 (d) | 705,000 | 689,544 | ||
Series 2005-C3 Class C, 3.0875% 3/15/11 (d) | 22,170,000 | 21,570,723 | ||
MBNA Master Credit Card Trust II Series 1998-E Class B, 5.5725% 9/15/10 (d) | 7,800,000 | 7,789,591 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M2, 3.4238% 7/25/34 (d)(f) | 169,367 | 103,069 | ||
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR1 Class A1, 2.7688% 2/25/37 (d) | 13,165,250 | 10,532,200 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-HE1 Class M1, 3.2988% 7/25/34 (d)(f) | 5,426,000 | 4,505,311 | ||
Series 2003-OPT1 Class M1, 3.2488% 7/25/34 (d)(f) | 1,565,000 | 1,338,088 | ||
Series 2006-FM1 Class A2B, 2.7088% 4/25/37 (d)(f) | 17,890,000 | 17,235,906 | ||
Series 2006-HE3 Class A2, 2.6888% 6/25/37 (d)(f) | 7,500,000 | 6,919,500 | ||
Series 2006-OPT1 Class A1A, 2.8588% 6/25/35 (d)(f) | 11,675,227 | 9,122,917 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 4.2488% 12/27/32 (d)(f) | 378,501 | 348,865 | ||
Series 2003-NC7 Class M1, 3.6488% 6/25/33 (d)(f) | 4,256,691 | 3,481,680 | ||
Series 2003-NC8 Class M1, 3.6488% 9/25/33 (d)(f) | 3,049,800 | 2,737,917 | ||
Series 2004-HE6 Class A2, 2.9388% 8/25/34 (d)(f) | 394,533 | 257,349 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley ABS Capital I Trust: - continued | ||||
Series 2004-NC2 Class M1, 3.1488% 12/25/33 (d)(f) | $ 7,084,790 | $ 4,728,945 | ||
Series 2005-1 Class M2, 3.0688% 12/25/34 (d)(f) | 4,425,000 | 3,169,872 | ||
Series 2005-HE1: | ||||
Class M1, 3.0488% 12/25/34 (d)(f) | 1,100,000 | 677,240 | ||
Class M2, 3.0688% 12/25/34 (d)(f) | 2,970,000 | 2,053,920 | ||
Series 2005-HE2: | ||||
Class M1, 2.9988% 1/25/35 (d)(f) | 2,665,000 | 1,785,954 | ||
Class M2, 3.0388% 1/25/35 (d)(f) | 1,900,000 | 1,357,209 | ||
Series 2005-NC1: | ||||
Class M1, 3.0388% 1/25/35 (d)(f) | 2,425,000 | 1,620,023 | ||
Class M2, 3.0688% 1/25/35 (d)(f) | 2,425,000 | 1,732,030 | ||
Class M3, 3.1088% 1/25/35 (d)(f) | 2,425,000 | 1,827,965 | ||
Series 2005-NC2 Class B1, 3.7688% 3/25/35 (d)(f) | 3,000,000 | 676,380 | ||
Series 2006-HE3: | ||||
Class B1, 3.4988% 4/25/36 (d)(f) | 2,900,000 | 275,500 | ||
Class B3, 4.4988% 4/25/36 (d)(f) | 6,450,000 | 483,750 | ||
Series 2006-NC4: | ||||
Class M4, 2.9488% 6/25/36 (d)(f) | 2,000,000 | 160,000 | ||
Class M6, 3.0488% 6/25/36 (d)(f) | 1,000,000 | 87,500 | ||
Series 2007-HE2 Class A2A, 2.6388% 1/25/37 (d)(f) | 1,436,961 | 1,380,605 | ||
Series 2007-HE4 Class A2A, 2.7088% 2/25/37 (d)(f) | 1,268,309 | 1,219,757 | ||
Series 2007-NC3 Class A2A, 2.6588% 5/25/37 (d)(f) | 607,280 | 587,258 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 4.0988% 1/25/32 (d)(f) | 933,712 | 797,247 | ||
Series 2002-AM3 Class A3, 3.5788% 2/25/33 (d)(f) | 705,709 | 544,499 | ||
Series 2002-HE2 Class M1, 4.0988% 8/25/32 (d)(f) | 5,360,077 | 4,664,841 | ||
Series 2002-NC1 Class M1, 3.7988% 2/25/32 (b)(d)(f) | 4,314,330 | 3,748,529 | ||
Series 2002-NC3: | ||||
Class A3, 3.2788% 8/25/32 (d)(f) | 237,036 | 162,649 | ||
Class M1, 3.6788% 8/25/32 (d)(f) | 401,660 | 304,767 | ||
Series 2003-NC1 Class M1, 4.1738% 11/25/32 (d)(f) | 3,226,540 | 2,748,749 | ||
Morgan Stanley Home Equity Loans Trust: | ||||
Series 2006-3 Class M5, 3.0088% 4/25/36 (d)(f) | 2,000,000 | 225,000 | ||
Series 2007-2 Class A1, 2.6988% 4/25/37 (d)(f) | 819,327 | 789,371 | ||
National Collegiate Student Loan Trust: | ||||
Series 2006-3 Class A1, 2.6288% 9/25/19 (d) | 20,975,345 | 20,404,853 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
National Collegiate Student Loan Trust: - continued | ||||
Series 2006-4 Class A1, 2.6288% 3/25/25 (d) | $ 13,217,334 | $ 12,531,334 | ||
Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 2.7088% 2/25/13 (d) | 18,350,000 | 17,215,970 | ||
New Century Home Equity Loan Trust: | ||||
Series 2003-6 Class M1, 3.6788% 1/25/34 (d)(f) | 8,364,478 | 6,169,616 | ||
Series 2005-1: | ||||
Class M1, 3.0488% 3/25/35 (d)(f) | 4,395,000 | 2,674,902 | ||
Class M2, 3.0788% 3/25/35 (d)(f) | 4,395,000 | 3,090,195 | ||
Class M3, 3.1188% 3/25/35 (d)(f) | 2,120,000 | 1,596,572 | ||
Series 2005-4 Class M2, 3.1088% 9/25/35 (d)(f) | 9,815,000 | 6,867,860 | ||
Series 2005-D Class M2, 3.0688% 2/25/36 (d)(f) | 2,045,000 | 1,557,212 | ||
Nissan Auto Lease Trust Series 2005-A Class A4, 2.8675% 8/15/11 (d) | 9,613,973 | 9,606,767 | ||
Nomura Home Equity Loan Trust: | ||||
Series 2006-AF1 Class A1, 6.032% 10/25/36 (f) | 3,175,147 | 3,156,791 | ||
Series 2006-HE2 Class A2, 2.7188% 3/25/36 (d)(f) | 7,500,000 | 6,951,000 | ||
Series 2006-HE3: | ||||
Class M7, 3.3988% 7/25/36 (d)(f) | 4,553,000 | 408,961 | ||
Class M8, 3.5488% 7/25/36 (d)(f) | 3,193,000 | 216,195 | ||
Class M9, 4.4488% 7/25/36 (d)(f) | 4,611,000 | 287,105 | ||
NovaStar Mortgage Funding Trust Series 2006-2 Class A2A, 2.6488% 6/25/36 (d)(f) | 117,296 | 117,022 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 4.0356% 3/20/10 (b)(d) | 3,675,000 | 2,940,000 | ||
Series 2006-1A Class A, 3.9356% 3/20/11 (b)(d) | 8,090,000 | 6,067,500 | ||
Option One Mortgage Loan Trust Series 2004-3 Class M3, 3.2488% 11/25/34 (d)(f) | 2,365,000 | 2,015,685 | ||
Ownit Mortgage Loan Trust Series 2006-2 Class A2A, 2.6788% 1/25/37 (d)(f) | 1,359,575 | 1,347,679 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 3.2788% 9/25/34 (d)(f) | 1,755,000 | 1,499,576 | ||
Class M3, 3.8488% 9/25/34 (d)(f) | 3,355,000 | 2,355,172 | ||
Class M4, 4.0488% 9/25/34 (d)(f) | 4,700,000 | 1,645,000 | ||
Series 2004-WCW2 Class M3, 3.1488% 7/25/35 (d)(f) | 2,755,000 | 2,329,991 | ||
Series 2004-WHQ2 Class M1, 3.1888% 2/25/35 (d)(f) | 8,000,000 | 5,549,276 | ||
Series 2004-WWF1: | ||||
Class M2, 3.2788% 2/25/35 (d)(f) | 11,060,000 | 7,627,209 | ||
Class M3, 3.3388% 2/25/35 (d)(f) | 1,370,000 | 1,060,715 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1: | ||||
Class M2, 3.1188% 1/25/35 (d)(f) | $ 4,175,000 | $ 3,059,492 | ||
Class M3, 3.1588% 1/25/35 (d)(f) | 3,290,000 | 2,624,391 | ||
Class M4, 3.4288% 1/25/35 (d)(f) | 10,150,000 | 7,698,450 | ||
Class M5, 3.4788% 1/25/35 (d)(f) | 7,095,000 | 4,696,573 | ||
Series 2005-WHQ2: | ||||
Class M7, 3.8488% 5/25/35 (d)(f) | 12,030,000 | 4,571,400 | ||
Class M9, 4.4788% 5/25/35 (d)(f) | 3,475,000 | 453,140 | ||
PASA Funding Ltd. Series 2007-1A Class X, 5.6431% 4/7/17 (b)(d) | 12,817,278 | 6,408,639 | ||
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1: | ||||
Class M4, 2.9588% 9/25/36 (d)(f) | 10,020,000 | 458,114 | ||
Class M5, 2.9888% 9/25/36 (d)(f) | 4,995,000 | 272,891 | ||
Providian Master Note Trust: | ||||
Series 2005-2 Class C2, 3.3175% 11/15/12 (b)(d) | 21,450,000 | 19,599,294 | ||
Series 2006-C1A Class C1, 3.3675% 3/16/15 (b)(d) | 24,985,000 | 17,601,933 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 3.3988% 4/25/33 (d)(f) | 35,133 | 25,277 | ||
Santander Drive Auto Receivables Trust Series 2007-1 Class A2, 5.2% 12/15/10 | 10,769,205 | 10,685,421 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 3.3938% 3/25/35 (d)(f) | 13,000,000 | 9,478,959 | ||
Securitized Asset Backed Receivables LLC Trust Series 2004-NC1 Class M1, 3.1188% 2/25/34 (d)(f) | 2,878,804 | 1,912,991 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 2.6856% 3/20/19 (b)(d) | 11,176,422 | 9,388,194 | ||
SLC Student Loan Trust Series 2007-1 Class C, 3.215% 8/15/35 (d) | 7,031,959 | 6,908,899 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3.75% 6/15/33 (d) | 8,751,000 | 8,847,256 | ||
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | ||||
Class B, 2.9975% 8/15/11 (b)(d) | 10,755,000 | 9,452,570 | ||
Class C, 3.1975% 8/15/11 (b)(d) | 4,905,000 | 4,058,888 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M2, 4.1988% 8/25/34 (d)(f) | 2,476,096 | 2,271,588 | ||
Series 2003-BC4 Class M1, 3.1988% 11/25/34 (d)(f) | 1,810,000 | 1,261,630 | ||
Structured Asset Investment Loan Trust: | ||||
Series 2003-BC9 Class M1, 3.2988% 8/25/33 (d)(f) | 9,005,000 | 7,818,020 | ||
Series 2004-8 Class M5, 3.7488% 9/25/34 (d)(f) | 2,395,000 | 2,134,632 | ||
Series 2005-1 Class M4, 3.3588% 2/25/35 (b)(d)(f) | 3,990,000 | 2,505,204 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 2.9588% 2/25/34 (d)(f) | $ 918,801 | $ 681,636 | ||
Series 2005-5N Class 3A1A, 2.8988% 11/25/35 (d) | 8,015,318 | 5,953,748 | ||
Series 2006-BC3 Class M7, 3.3988% 10/25/36 (d)(f) | 10,000,000 | 617,958 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 2.9175% 9/15/11 (d) | 33,435,000 | 32,414,925 | ||
Class B, 3.0975% 9/15/11 (d) | 27,050,000 | 24,064,654 | ||
Series 2007-AE1: | ||||
Class A, 2.9175% 1/15/12 (d) | 6,730,000 | 6,360,612 | ||
Class B, 3.1175% 1/15/12 (d) | 5,605,000 | 4,909,980 | ||
Class C, 3.4175% 1/15/12 (d) | 6,965,000 | 5,640,257 | ||
Superior Wholesale Inventory Financing Trust XII Series 2005-A12: | ||||
Class A, 2.9975% 6/15/10 (d) | 18,990,000 | 18,930,126 | ||
Class B, 3.2975% 6/15/10 (d) | 8,785,000 | 8,754,706 | ||
Class C, 4.0175% 6/15/10 (d) | 20,700,000 | 20,633,501 | ||
Swift Master Auto Receivables Trust Series 2007-1 Class A, 2.9175% 6/15/12 (d) | 19,765,000 | 17,464,354 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 3.0288% 9/25/34 (d)(f) | 198,204 | 142,548 | ||
Series 2003-6HE Class A1, 3.0688% 11/25/33 (d)(f) | 250,816 | 190,734 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-1A Class C, 3.1475% 5/16/11 (b)(d) | 17,300,000 | 16,280,926 | ||
Series 2006-2: | ||||
Class B, 3.2713% 10/17/11 (d) | 23,555,000 | 21,917,928 | ||
Class C, 3.4713% 10/17/11 (d) | 22,130,000 | 19,432,906 | ||
Series 2007-1 Class C, 3.1875% 6/15/12 (d) | 25,235,000 | 21,520,408 | ||
UPFC Auto Receivables Trust Series 2007-A Class A2, 5.46% 6/15/10 | 12,878,043 | 12,762,642 | ||
Wachovia Bank Commercial Mortgage Trust Series 2007-WHL8 Class LXR2, 3.6175% 6/15/20 (d) | 13,927,722 | 11,142,177 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (b)(f) | 5,214,761 | 52,148 | ||
WaMu Asset-Backed Certificates Series 2006-HE3: | ||||
Class M4, 2.9788% 10/25/36 (d)(f) | 3,542,000 | 240,891 | ||
Class M7, 3.3988% 10/25/36 (d)(f) | 2,564,000 | 169,874 | ||
WaMu Master Note Trust: | ||||
Series 2006-A3A Class A3, 2.8475% 9/16/13 (b)(d) | 34,760,000 | 33,109,946 | ||
Series 2006-C2A Class C2, 3.3175% 8/15/15 (b)(d) | 48,150,000 | 32,323,095 | ||
Series 2006-C3A Class C3A, 3.1975% 10/15/13 (b)(d) | 33,700,000 | 28,286,938 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
WaMu Master Note Trust: - continued | ||||
Series 2007-C1 Class C1, 3.2175% 5/15/14 (b)(d) | $ 29,325,000 | $ 23,026,283 | ||
Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (b)(f) | 44,512 | 0 | ||
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12 | 676,700 | 666,232 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 5.9838% 10/25/44 (b)(d) | 17,641,508 | 12,349,055 | ||
World Omni Auto Receivables Trust Series 2007-B Class A2B, 3.1375% 2/16/10 (d) | 3,525,000 | 3,520,088 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $2,535,144,826) | 1,965,801,493 | |||
Collateralized Mortgage Obligations - 13.3% | ||||
Private Sponsor - 13.3% | ||||
American Home Mortgage Assets Trust floater Series 2006-1 Class 2A1, 2.7888% 5/25/46 (c)(d) | 7,045,225 | 5,424,824 | ||
American Home Mortgage Investment Trust floater Series 2005-4 Class 1A1, 2.8888% 3/25/35 (c)(d) | 7,529,631 | 5,647,223 | ||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A Class 3C, 3.46% 2/17/52 (b)(c)(d) | 4,605,000 | 4,101,918 | ||
Series 2006-2A: | ||||
Class 2B, 5.025% 2/17/52 (b)(d) | 16,205,000 | 14,827,575 | ||
Class 2C, 5.285% 2/17/52 (b)(d) | 19,805,000 | 17,502,669 | ||
Class 2M, 5.105% 2/17/52 (b)(d) | 11,020,000 | 10,097,075 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 4.8069% 4/12/56 (b)(d) | 11,365,000 | 9,272,704 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 7.0915% 12/25/33 (d) | 613,146 | 598,982 | ||
Series 2004-B Class 1A1, 6.3023% 3/25/34 (d) | 924,728 | 904,014 | ||
Series 2004-C Class 1A1, 5.8928% 4/25/34 (d) | 1,632,198 | 1,585,027 | ||
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0859% 8/25/35 (d) | 9,171,506 | 7,139,101 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 2.8788% 1/25/35 (d) | 26,596,225 | 18,280,902 | ||
Series 2005-2 Class 1A1, 2.8488% 3/25/35 (d) | 4,762,986 | 3,400,443 | ||
Series 2005-5 Class 1A1, 2.8188% 7/25/35 (d) | 6,199,746 | 4,369,067 | ||
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 2.9988% 5/25/33 (d) | 1,054,239 | 1,043,461 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 2.9988% 1/25/34 (d) | $ 662,109 | $ 625,930 | ||
Series 2004-2 Class 7A3, 2.9988% 2/25/35 (d) | 1,220,302 | 1,012,293 | ||
Series 2004-4 Class 5A2, 2.9988% 3/25/35 (d) | 401,371 | 373,174 | ||
Series 2005-1 Class 5A2, 2.9288% 5/25/35 (d) | 5,013,142 | 3,969,964 | ||
Series 2005-10: | ||||
Class 5A1, 2.8588% 1/25/36 (d) | 6,335,923 | 4,671,369 | ||
Class 5A2, 2.9188% 1/25/36 (d) | 2,851,165 | 1,964,059 | ||
Series 2005-2: | ||||
Class 6A2, 2.8788% 6/25/35 (d) | 1,346,646 | 1,038,615 | ||
Class 6M2, 3.0788% 6/25/35 (c)(d) | 10,145,000 | 4,362,350 | ||
Series 2005-3 Class 8A2, 2.8388% 7/25/35 (d) | 5,065,457 | 3,730,008 | ||
Series 2005-4 Class 7A2, 2.8288% 8/25/35 (d) | 1,592,916 | 1,233,116 | ||
Series 2005-8 Class 7A2, 2.8788% 11/25/35 (d) | 3,791,356 | 2,496,117 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR2 Class 6A1, 2.9988% 3/25/34 (d) | 63,289 | 60,665 | ||
Series 2004-AR3 Class 6A2, 3.3388% 4/25/34 (d) | 242,475 | 225,902 | ||
Series 2004-AR4 Class 5A2, 3.3388% 5/25/34 (d) | 239,786 | 228,279 | ||
Series 2004-AR5 Class 11A2, 3.3388% 6/25/34 (d) | 318,916 | 306,430 | ||
Series 2004-AR6 Class 9A2, 3.3388% 10/25/34 (d) | 1,471,007 | 1,427,694 | ||
Series 2004-AR7 Class 6A2, 2.9788% 8/25/34 (d) | 593,413 | 554,311 | ||
Series 2004-AR8 Class 8A2, 2.9788% 9/25/34 (d) | 346,313 | 313,623 | ||
CWALT, Inc. floater Series 2005-56 Class 3A1, 2.8888% 11/25/35 (d) | 2,229,275 | 1,769,854 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 2.7588% 3/25/37 (c)(d) | 23,625,000 | 15,600,988 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 2.6588% 9/19/36 (d) | 7,223,316 | 6,633,255 | ||
DT Auto Owner Trust sequential payer Series 2007-A Class A2, 5.53% 8/15/10 (b) | 17,833,670 | 17,429,626 | ||
First Franklin Mortgage Loan Trust floater Series 2006-FF13: | ||||
Class M7, 3.3488% 10/25/36 (d)(f) | 11,342,000 | 837,910 | ||
Class M8, 3.5488% 10/25/36 (d)(f) | 4,935,000 | 343,565 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 5.0275% 12/25/34 (d) | 430,961 | 390,060 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class A1, 2.805% 10/18/31 (b)(d) | 2,807,280 | 2,795,875 | ||
Class B1, 4.0413% 10/18/54 (b)(d) | 8,520,000 | 8,392,200 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Fosse Master Issuer PLC floater Series 2006-1A: - continued | ||||
Class B2, 4.1113% 10/18/54 (b)(d) | $ 19,660,000 | $ 16,729,431 | ||
Class C2, 4.4213% 10/18/54 (b)(d) | 6,590,000 | 4,833,765 | ||
Class M1, 4.1213% 10/18/54 (b)(d) | 4,915,000 | 4,822,844 | ||
Class M2, 4.2013% 10/18/54 (b)(d) | 11,300,000 | 9,492,000 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 3.15% 11/20/56 (b)(d) | 16,865,000 | 12,827,013 | ||
Gracechurch Mortgage Funding PLC floater Series 1A: | ||||
Class A2B, 4.5125% 10/11/41 (b)(d) | 18,127,237 | 17,347,766 | ||
Class CB, 4.7225% 10/11/41 (b)(d) | 2,100,000 | 1,791,909 | ||
Class DB, 4.9125% 10/11/41 (b)(d) | 21,420,000 | 16,988,845 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-1 Class A4, 2.6419% 12/20/54 (d) | 63,226,115 | 57,573,704 | ||
Series 2005-2 Class C1, 3.14% 12/20/54 (d) | 20,975,000 | 20,194,730 | ||
Series 2005-4 Class A3, 3.19% 12/20/54 (d) | 14,174,831 | 14,033,083 | ||
Series 2006-1A: | ||||
Class A5, 3.2% 12/20/54 (b)(d) | 7,766,986 | 7,486,908 | ||
Class C2, 3.3% 12/20/54 (b)(d) | 55,570,000 | 27,773,886 | ||
Series 2006-2 Class C1, 4.3638% 12/20/54 (d) | 36,815,000 | 20,303,473 | ||
Series 2006-3 Class C2, 4.4263% 12/20/54 (d) | 7,730,000 | 4,246,862 | ||
Series 2006-4: | ||||
Class B1, 2.6319% 12/20/54 (d) | 20,680,000 | 18,405,200 | ||
Class C1, 2.9219% 12/20/54 (d) | 12,645,000 | 9,989,550 | ||
Class M1, 2.7119% 12/20/54 (d) | 5,445,000 | 4,737,150 | ||
Series 2007-1: | ||||
Class 1C1, 2.8419% 12/20/54 (d) | 12,775,000 | 11,497,500 | ||
Class 1M1, 2.6919% 12/20/54 (d) | 8,310,000 | 7,223,883 | ||
Class 2B1, 2.6619% 12/20/54 (d) | 8,860,000 | 7,018,892 | ||
Class 2C1, 2.9719% 12/20/54 (d) | 5,830,000 | 3,489,255 | ||
Class 2M1, 2.7919% 12/20/54 (d) | 10,670,000 | 7,963,021 | ||
Series 2007-2 Class 2C1, 4.4275% 12/17/54 (d) | 14,785,000 | 8,495,461 | ||
Granite Mortgages PLC floater: | ||||
Series 2003-1 Class 1C, 5.3438% 1/20/43 (d) | 9,785,000 | 9,759,089 | ||
Series 2003-3 Class 1C, 5.3438% 1/20/44 (d) | 3,500,109 | 2,878,139 | ||
Series 2004-3 Class 2A1, 2.6819% 9/20/44 (d) | 6,701,945 | 6,421,381 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 2.7788% 5/19/35 (d) | 3,495,322 | 2,749,197 | ||
Holmes Financing No. 10 PLC floater Series 10A Class 2C, 4.6075% 7/15/40 (b)(d) | 9,322,727 | 9,257,748 | ||
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 2.7288% 4/25/37 (d)(f) | 15,433,343 | 14,228,152 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 3.0488% 10/25/34 (d) | $ 1,185,062 | $ 1,050,607 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 2.9688% 3/25/35 (d) | 2,074,494 | 1,555,870 | ||
Series 2005-1: | ||||
Class M1, 3.0588% 4/25/35 (d) | 1,477,217 | 833,911 | ||
Class M2, 3.0988% 4/25/35 (d) | 2,580,299 | 1,464,936 | ||
Class M3, 3.1288% 4/25/35 (d) | 421,074 | 188,050 | ||
Class M4, 3.3488% 4/25/35 (d) | 248,504 | 64,611 | ||
Class M5, 3.3688% 4/25/35 (d) | 248,504 | 59,641 | ||
Class M6, 3.4188% 4/25/35 (d) | 397,602 | 87,472 | ||
Series 2005-3 Class A1, 2.8388% 8/25/35 (d) | 4,978,508 | 3,496,861 | ||
Series 2005-4 Class 1B1, 5.085% 5/25/35 (d) | 1,569,933 | 235,245 | ||
Series 2005-6 Class 1M3, 3.2088% 10/25/35 (d) | 1,385,983 | 623,692 | ||
Series 2005-7: | ||||
Class M1, 3.0788% 11/25/35 (d) | 928,732 | 250,206 | ||
Class M2, 3.1188% 11/25/35 (d) | 697,207 | 157,912 | ||
Class M3, 3.2188% 11/25/35 (d) | 3,480,772 | 905,001 | ||
Class M4, 3.2588% 11/25/35 (d) | 1,667,508 | 400,202 | ||
Kildare Securities Ltd. floater Series 2007-1 Class A2, 3.05% 12/10/43 (b)(d) | 14,660,000 | 14,211,807 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 2.9963% 9/26/45 (b)(d) | 4,359,370 | 4,204,144 | ||
MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 2.8688% 3/25/35 (d) | 740,942 | 538,817 | ||
MASTR Asset Backed Securities Trust floater Series 2007-HE1 Class M1, 2.8988% 5/25/37 (d)(f) | 4,860,000 | 1,157,992 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class B, 2.9875% 6/15/22 (b)(d) | 1,350,000 | 1,265,677 | ||
Class C, 3.0075% 6/15/22 (b)(d) | 8,760,000 | 7,848,986 | ||
Class D, 3.0175% 6/15/22 (b)(d) | 3,370,000 | 3,020,517 | ||
Class E, 3.0275% 6/15/22 (b)(d) | 5,390,000 | 4,832,611 | ||
Class F, 3.0575% 6/15/22 (b)(d) | 9,720,000 | 8,745,585 | ||
Class G, 3.1275% 6/15/22 (b)(d) | 2,020,000 | 1,752,477 | ||
Class H, 3.1475% 6/15/22 (b)(d) | 4,045,000 | 3,441,700 | ||
Class J, 3.1875% 6/15/22 (b)(d) | 4,720,000 | 3,931,805 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A Class 2A1, 2.9888% 3/25/28 (d) | 1,771,337 | 1,586,717 | ||
Series 2003-B Class A1, 2.9388% 4/25/28 (d) | 1,893,357 | 1,688,952 | ||
Series 2003-D Class A, 2.9088% 8/25/28 (d) | 1,669,263 | 1,633,319 | ||
Series 2003-E Class A2, 3.4006% 10/25/28 (d) | 2,987,266 | 2,862,356 | ||
Series 2003-F Class A2, 5.7613% 10/25/28 (d) | 2,589,747 | 2,412,788 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors Trust floater: - continued | ||||
Series 2004-A Class A2, 2.7475% 4/25/29 (d) | $ 2,439,398 | $ 2,230,696 | ||
Series 2004-B Class A2, 5.125% 6/25/29 (d) | 2,222,762 | 2,074,607 | ||
Series 2004-C Class A2, 5.155% 7/25/29 (d) | 2,321,961 | 2,205,290 | ||
Series 2004-D Class A2, 2.8575% 9/25/29 (d) | 1,937,583 | 1,811,303 | ||
Series 2004-E: | ||||
Class A2B, 2.8575% 11/25/29 (d) | 4,657,587 | 4,155,299 | ||
Class A2D, 3.0475% 11/25/29 (d) | 422,189 | 379,766 | ||
Series 2004-G Class A2, 5.0275% 11/25/29 (d) | 2,023,928 | 1,846,148 | ||
Series 2005-A Class A2, 3.3206% 2/25/30 (d) | 2,189,595 | 2,127,577 | ||
Series 2005-B Class A2, 5.085% 7/25/30 (d) | 6,077,960 | 5,652,502 | ||
Series 2006-MLN1 Class M4, 2.9588% 7/25/37 (d)(f) | 9,575,000 | 475,692 | ||
MortgageIT Trust floater: | ||||
Series 2004-2: | ||||
Class A1, 2.9688% 12/25/34 (d) | 2,289,898 | 2,120,007 | ||
Class A2, 3.0488% 12/25/34 (d) | 3,097,854 | 2,907,134 | ||
Series 2005-2 Class 1A1, 2.8588% 5/25/35 (d) | 2,576,112 | 2,240,915 | ||
Nomura Home Equity Loan Trust floater Series 2006-FM2 Class M7, 3.3988% 7/25/36 (d)(f) | 5,710,000 | 473,776 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 2.8888% 7/25/35 (d) | 25,665,889 | 18,192,847 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 2.8988% 3/25/37 (d)(f) | 16,810,000 | 4,892,046 | ||
Permanent Financing No. 8 PLC floater: | ||||
Class 2C, 3.39% 6/10/42 (d) | 25,555,000 | 25,301,188 | ||
Class 3C, 3.51% 6/10/42 (d) | 14,115,000 | 12,458,435 | ||
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 4.66% 7/17/42 (d) | 25,200,000 | 22,400,280 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B Class B5, 5.4081% 7/10/35 (b)(d) | 10,733,256 | 10,357,592 | ||
Series 2003-CB1 Class B3, 4.5081% 6/10/35 (b)(d) | 10,199,551 | 9,060,594 | ||
Series 2004-A: | ||||
Class B4, 4.2581% 2/10/36 (b)(d) | 5,617,342 | 5,502,723 | ||
Class B5, 4.7581% 2/10/36 (b)(d) | 3,744,895 | 3,260,400 | ||
Series 2004-B: | ||||
Class B4, 4.1581% 2/10/36 (b)(d) | 2,437,159 | 1,922,039 | ||
Class B5, 4.6081% 2/10/36 (b)(d) | 1,781,001 | 1,364,483 | ||
Class B6, 5.0581% 2/10/36 (b)(d) | 562,421 | 419,606 | ||
Series 2004-C: | ||||
Class B4, 4.0081% 9/10/36 (b)(d) | 3,127,535 | 2,409,788 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
RESI Finance LP/RESI Finance DE Corp. floater: - continued | ||||
Series 2004-C: | ||||
Class B5, 4.4081% 9/10/36 (b)(d) | $ 3,506,630 | $ 2,611,572 | ||
Class B6, 4.8081% 9/10/36 (b)(d) | 663,417 | 478,881 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 2.6988% 9/25/46 (d) | 14,342,690 | 12,621,568 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 2,100,197 | 2,035,471 | ||
Series 2005-AR5 Class 1A1, 4.7811% 9/19/35 (d) | 2,617,553 | 2,552,899 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 3.0488% 6/25/33 (b)(d)(f) | 3,042,506 | 2,205,342 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 2.6988% 2/25/36 (b)(d)(f) | 2,387,071 | 2,355,740 | ||
Securitized Asset Backed Receivables LLC Trust floater Series 2006-FR3 Class A1, 2.6488% 5/25/36 (d)(f) | 735,468 | 729,147 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2003-5 Class A2, 4.1413% 9/20/33 (d) | 3,572,201 | 3,332,005 | ||
Series 2004-1 Class A, 4.1113% 2/20/34 (d) | 1,253,603 | 1,174,970 | ||
Series 2004-10 Class A4, 4.0938% 11/20/34 (d) | 1,731,268 | 1,675,385 | ||
Series 2004-12 Class 1A2, 5.115% 1/20/35 (d) | 5,970,309 | 5,373,278 | ||
Series 2004-3 Class A, 4.0613% 5/20/34 (d) | 1,809,584 | 1,773,741 | ||
Series 2004-4 Class A, 4.0713% 5/20/34 (d) | 6,805,017 | 6,124,515 | ||
Series 2004-5 Class A3, 2.6625% 6/20/34 (d) | 2,627,158 | 2,612,602 | ||
Series 2004-6: | ||||
Class A3A, 5.1225% 6/20/35 (d) | 1,956,050 | 1,846,309 | ||
Class A3B, 4.2513% 7/20/34 (d) | 160,157 | 149,688 | ||
Series 2004-7: | ||||
Class A3A, 4.1363% 8/20/34 (d) | 2,154,581 | 1,997,184 | ||
Class A3B, 4.3613% 7/20/34 (d) | 265,472 | 245,183 | ||
Series 2004-8 Class A2, 3.35% 9/20/34 (d) | 5,082,899 | 5,037,073 | ||
Series 2005-1 Class A2, 4.0613% 2/20/35 (d) | 3,610,214 | 3,183,318 | ||
Series 2005-2 Class A2, 3.23% 3/20/35 (d) | 4,801,889 | 3,441,653 | ||
Series 2005-3 Class A1, 2.7356% 5/20/35 (d) | 2,088,049 | 2,055,358 | ||
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 3.3988% 9/25/36 (d)(f) | 3,090,000 | 214,075 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 2.9088% 7/25/35 (d) | 14,325,586 | 10,744,190 | ||
Structured Asset Securities Corp. floater: | ||||
Series 2004-NP1 Class A, 2.9988% 9/25/33 (b)(d) | 779,995 | 694,124 | ||
Series 2007-GEL1 Class A2, 2.7888% 1/25/37 (b)(d)(f) | 9,000,000 | 6,028,596 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Structured Asset Securities Corp. floater: - continued | ||||
Series 2007-MLN1 Class M1, 2.9488% 1/25/37 (b)(d)(f) | $ 6,730,000 | $ 1,255,818 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 2.7988% 9/25/36 (d) | 21,260,000 | 13,181,200 | ||
Thornburg Mortgage Securities Trust floater Series 2005-3 Class A2, 2.8388% 10/25/35 (d) | 8,542,122 | 8,336,910 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1675% 10/20/35 (d) | 1,720,000 | 1,505,516 | ||
WaMu Mortgage pass-thru certificates floater: | ||||
Series 2005-AR6 Class 2A-1A, 2.8288% 4/25/45 (d) | 1,688,236 | 1,304,234 | ||
Series 2006-AR11 Class C1B1, 2.6788% 9/25/46 (d) | 2,864,543 | 2,839,727 | ||
Series 2006-AR7 Class C1B1, 2.6588% 7/25/46 (d) | 1,594,298 | 1,567,156 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $1,142,022,691) | 885,579,682 | |||
Commercial Mortgage Securities - 8.2% | ||||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 3.2875% 3/15/22 (b)(d) | 4,035,000 | 3,338,963 | ||
Class G, 3.3475% 3/15/22 (b)(d) | 2,615,000 | 2,127,956 | ||
Series 2006-BIX1: | ||||
Class F, 3.1275% 10/15/19 (b)(d) | 10,705,000 | 8,617,525 | ||
Class G, 3.1475% 10/15/19 (b)(d) | 7,300,000 | 6,266,458 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2003-2: | ||||
Class A, 3.1788% 12/25/33 (b)(d) | 5,384,559 | 5,087,597 | ||
Class M1, 3.4488% 12/25/33 (b)(d) | 876,250 | 788,118 | ||
Series 2004-1: | ||||
Class A, 2.9588% 4/25/34 (b)(d) | 10,944,487 | 9,879,369 | ||
Class B, 4.4988% 4/25/34 (b)(d) | 1,204,898 | 851,501 | ||
Class M1, 3.1588% 4/25/34 (b)(d) | 1,004,081 | 853,248 | ||
Class M2, 3.7988% 4/25/34 (b)(d) | 903,673 | 717,462 | ||
Series 2004-2: | ||||
Class A, 3.0288% 8/25/34 (b)(d) | 10,699,537 | 9,644,135 | ||
Class M1, 3.1788% 8/25/34 (b)(d) | 1,929,583 | 1,631,308 | ||
Series 2004-3: | ||||
Class A1, 2.9688% 1/25/35 (b)(d) | 17,204,364 | 15,429,407 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2004-3: | ||||
Class A2, 3.0188% 1/25/35 (b)(d) | $ 2,433,564 | $ 2,124,112 | ||
Class M1, 3.0988% 1/25/35 (b)(d) | 2,911,171 | 2,442,676 | ||
Class M2, 3.5988% 1/25/35 (b)(d) | 1,882,411 | 1,462,483 | ||
Series 2005-2A: | ||||
Class A1, 2.9088% 8/25/35 (b)(d) | 12,104,600 | 11,279,023 | ||
Class M1, 3.0288% 8/25/35 (b)(d) | 828,427 | 597,213 | ||
Class M2, 3.0788% 8/25/35 (b)(d) | 1,363,719 | 1,090,975 | ||
Class M3, 3.0988% 8/25/35 (b)(d) | 755,144 | 529,809 | ||
Class M4, 3.2088% 8/25/35 (b)(d) | 694,605 | 463,301 | ||
Series 2005-3A: | ||||
Class A1, 2.9188% 11/25/35 (b)(d) | 6,140,218 | 5,096,381 | ||
Class A2, 2.9988% 11/25/35 (b)(d) | 4,206,265 | 3,542,306 | ||
Class M1, 3.0388% 11/25/35 (b)(d) | 597,104 | 426,989 | ||
Class M2, 3.0888% 11/25/35 (b)(d) | 839,263 | 581,441 | ||
Class M3, 3.1088% 11/25/35 (b)(d) | 749,697 | 499,598 | ||
Class M4, 3.1988% 11/25/35 (b)(d) | 935,463 | 615,254 | ||
Series 2005-4A: | ||||
Class A2, 2.9888% 1/25/36 (b)(d) | 15,438,052 | 12,470,241 | ||
Class B1, 3.9988% 1/25/36 (b)(d) | 1,250,782 | 713,921 | ||
Class M1, 3.0488% 1/25/36 (b)(d) | 4,946,172 | 3,763,740 | ||
Class M2, 3.0688% 1/25/36 (b)(d) | 1,498,840 | 1,096,686 | ||
Class M3, 3.0988% 1/25/36 (b)(d) | 2,148,587 | 1,514,367 | ||
Class M4, 3.2088% 1/25/36 (b)(d) | 1,124,130 | 753,291 | ||
Class M5, 3.2488% 1/25/36 (b)(d) | 1,124,130 | 728,088 | ||
Class M6, 3.2988% 1/25/36 (b)(d) | 1,199,072 | 739,048 | ||
Series 2006-1: | ||||
Class A2, 2.9588% 4/25/36 (b)(d) | 2,472,836 | 1,898,911 | ||
Class M1, 2.9788% 4/25/36 (b)(d) | 755,589 | 526,041 | ||
Class M2, 2.9988% 4/25/36 (b)(d) | 798,329 | 544,221 | ||
Class M3, 3.0188% 4/25/36 (b)(d) | 686,899 | 453,971 | ||
Class M4, 3.1188% 4/25/36 (b)(d) | 389,243 | 241,564 | ||
Class M5, 3.1588% 4/25/36 (b)(d) | 377,794 | 230,606 | ||
Class M6, 3.2388% 4/25/36 (b)(d) | 831,911 | 524,104 | ||
Series 2006-2A: | ||||
Class A1, 2.8288% 7/25/36 (b)(d) | 22,842,344 | 18,730,722 | ||
Class A2, 2.8788% 7/25/36 (b)(d) | 1,902,227 | 1,529,746 | ||
Class B1, 3.4688% 7/25/36 (b)(d) | 683,552 | 383,678 | ||
Class B3, 5.2988% 7/25/36 (b)(d) | 1,140,555 | 614,531 | ||
Class M1, 2.9088% 7/25/36 (b)(d) | 1,995,971 | 1,386,202 | ||
Class M2, 2.9288% 7/25/36 (b)(d) | 1,406,163 | 951,129 | ||
Class M3, 2.9488% 7/25/36 (b)(d) | 1,101,495 | 722,360 | ||
Class M4, 3.0188% 7/25/36 (b)(d) | 742,142 | 477,865 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2006-2A: | ||||
Class M5, 3.0688% 7/25/36 (b)(d) | $ 914,006 | $ 572,625 | ||
Class M6, 3.1388% 7/25/36 (b)(d) | 1,445,224 | 867,857 | ||
Series 2006-3A: | ||||
Class B1, 3.3988% 10/25/36 (b)(d) | 1,257,462 | 685,241 | ||
Class B2, 3.9488% 10/25/36 (b)(d) | 821,200 | 446,807 | ||
Class B3, 5.1988% 10/25/36 (b)(d) | 1,471,316 | 804,530 | ||
Class M4, 3.0288% 10/25/36 (b)(d) | 1,257,462 | 826,857 | ||
Class M5, 3.0788% 10/25/36 (b)(d) | 1,597,062 | 1,014,566 | ||
Class M6, 3.1588% 10/25/36 (b)(d) | 3,122,270 | 1,887,756 | ||
Series 2006-4A: | ||||
Class A1, 2.8288% 12/25/36 (b)(d) | 12,912,944 | 11,480,794 | ||
Class A2, 2.8688% 12/25/36 (b)(d) | 28,799,882 | 25,662,308 | ||
Class B1, 3.2988% 12/25/36 (b)(d) | 948,601 | 569,161 | ||
Class B2, 3.8488% 12/25/36 (b)(d) | 888,780 | 521,845 | ||
Class B3, 5.0488% 12/25/36 (b)(d) | 1,645,097 | 904,803 | ||
Class M1, 2.8888% 12/25/36 (b)(d) | 2,080,941 | 1,611,146 | ||
Class M2, 2.9088% 12/25/36 (b)(d) | 1,320,351 | 898,103 | ||
Class M3, 2.9388% 12/25/36 (b)(d) | 1,337,443 | 883,648 | ||
Class M4, 2.9988% 12/25/36 (b)(d) | 1,602,367 | 1,032,886 | ||
Class M5, 3.0388% 12/25/36 (b)(d) | 1,469,905 | 909,136 | ||
Class M6, 3.1188% 12/25/36 (b)(d) | 1,320,351 | 911,634 | ||
Series 2007-1: | ||||
Class A2, 2.8688% 3/25/37 (b)(d) | 5,170,324 | 4,150,136 | ||
Class B1, 3.2688% 3/25/37 (b)(d) | 1,650,290 | 912,990 | ||
Class B2, 3.7488% 3/25/37 (b)(d) | 1,193,827 | 657,428 | ||
Class B3, 5.9488% 3/25/37 (b)(d) | 3,410,307 | 1,976,068 | ||
Class M1, 2.8688% 3/25/37 (b)(d) | 1,391,335 | 1,049,331 | ||
Class M2, 2.8888% 3/25/37 (b)(d) | 1,044,598 | 757,888 | ||
Class M3, 2.9188% 3/27/37 (b)(d) | 926,094 | 647,571 | ||
Class M4, 2.9688% 3/25/37 (b)(d) | 697,862 | 462,906 | ||
Class M5, 3.0188% 3/25/37 (b)(d) | 1,158,714 | 743,790 | ||
Class M6, 3.0988% 3/25/37 (b)(d) | 1,623,956 | 994,640 | ||
Series 2007-2A: | ||||
Class A1, 2.8688% 7/25/37 (b)(d) | 4,611,089 | 3,834,637 | ||
Class A2, 2.9188% 7/25/37 (b)(d) | 4,317,871 | 3,441,442 | ||
Class B1, 4.1988% 7/25/37 (b)(d) | 1,276,917 | 749,435 | ||
Class B2, 4.8488% 7/25/37 (b)(d) | 1,106,661 | 631,649 | ||
Class B3, 5.9488% 7/25/37 (b)(d) | 1,243,812 | 707,580 | ||
Class M1, 2.9688% 7/25/37 (b)(d) | 1,451,902 | 1,087,570 | ||
Class M2, 3.0088% 7/25/37 (b)(d) | 737,774 | 531,445 | ||
Class M3, 3.0888% 7/25/37 (b)(d) | 747,233 | 519,490 | ||
Class M4, 3.2488% 7/25/37 (b)(d) | 1,589,052 | 1,052,397 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater: - continued | ||||
Series 2007-2A: | ||||
Class M5, 3.3488% 7/25/37 (b)(d) | $ 1,404,609 | $ 901,688 | ||
Class M6, 3.5988% 7/25/37 (b)(d) | 1,782,954 | 1,100,618 | ||
Series 2007-3: | ||||
Class A2, 2.8888% 7/25/37 (b)(d) | 8,258,699 | 6,630,752 | ||
Class B1, 3.5488% 7/25/37 (b)(d) | 1,260,328 | 806,610 | ||
Class B2, 4.1988% 7/25/37 (b)(d) | 3,283,953 | 2,003,212 | ||
Class B3, 6.5988% 7/25/37 (b)(d) | 1,677,479 | 889,064 | ||
Class M1, 2.9088% 7/25/37 (b)(d) | 1,087,255 | 726,721 | ||
Class M2, 2.9388% 7/25/37 (b)(d) | 1,162,697 | 749,474 | ||
Class M3, 2.9688% 7/25/37 (b)(d) | 1,903,805 | 1,332,664 | ||
Class M4, 3.0988% 7/25/37 (b)(d) | 2,991,060 | 2,033,921 | ||
Class M5, 3.1988% 7/25/37 (b)(d) | 1,499,968 | 902,081 | ||
Class M6, 3.3988% 7/25/37 (b)(d) | 1,140,508 | 656,248 | ||
Series 2007-4A: | ||||
Class B1, 5.1488% 9/25/37 (b)(d) | 1,588,166 | 942,862 | ||
Class B2, 6.0488% 9/25/37 (b)(d) | 5,983,862 | 3,603,781 | ||
Class M1, 3.5488% 9/25/37 (b)(d) | 1,477,139 | 1,137,427 | ||
Class M2, 3.6488% 9/25/37 (b)(d) | 1,477,139 | 1,096,879 | ||
Class M4, 4.1988% 9/25/37 (b)(d) | 3,910,074 | 2,710,933 | ||
Class M5, 4.3488% 9/25/37 (b)(d) | 3,910,074 | 2,633,513 | ||
Class M6, 4.5488% 9/25/37 (b)(d) | 3,915,867 | 2,527,379 | ||
Bear Stearns Commercial Mortgage Securities Trust floater: | ||||
Series 2006-BBA7: | ||||
Class G, 3.2575% 3/15/19 (b)(d) | 5,540,000 | 4,487,400 | ||
Class H, 3.4675% 3/15/19 (b)(d) | 3,727,000 | 3,189,771 | ||
Class J, 3.6675% 3/15/19 (b)(d) | 2,800,000 | 2,379,968 | ||
Series 2007-BBA8: | ||||
Class D, 3.0675% 3/15/22 (b)(d) | 2,770,000 | 2,354,500 | ||
Class E, 3.1175% 3/15/22 (b)(d) | 14,385,000 | 12,083,400 | ||
Class F, 3.1675% 5/15/22 (b)(d) | 8,820,000 | 7,232,400 | ||
Class G, 3.2175% 3/15/22 (b)(d) | 2,268,750 | 1,815,000 | ||
Class H, 3.3675% 3/15/22 (b)(d) | 2,770,000 | 2,174,450 | ||
Class J, 3.5175% 3/15/22 (b)(d) | 2,770,000 | 2,160,600 | ||
Class X-1M, 1.12% 3/15/22 (b)(e) | 168,512,887 | 763,582 | ||
Citigroup Commercial Mortgage Trust floater Series 2006-FL2: | ||||
Class G, 3.1475% 11/15/36 (b)(d) | 3,055,000 | 2,359,988 | ||
Class H, 3.1875% 11/15/36 (b)(d) | 2,445,000 | 1,847,599 | ||
COMM pass-thru certificates floater: | ||||
Series 2005-F10A: | ||||
Class D, 3.1275% 4/15/17 (b)(d) | 6,190,000 | 5,747,484 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
COMM pass-thru certificates floater: - continued | ||||
Series 2005-F10A: | ||||
Class E, 3.1875% 4/15/17 (b)(d) | $ 1,821,000 | $ 1,674,983 | ||
Class F, 3.2275% 4/15/17 (b)(d) | 1,035,000 | 942,497 | ||
Class G, 3.3675% 4/15/17 (b)(d) | 1,035,000 | 942,616 | ||
Class H, 3.4375% 4/15/17 (b)(d) | 1,035,000 | 933,742 | ||
Class J, 3.6675% 4/15/17 (b)(d) | 855,000 | 746,103 | ||
Series 2005-FL11: | ||||
Class F, 3.2675% 11/15/17 (b)(d) | 2,649,588 | 2,374,581 | ||
Class G, 3.3175% 11/15/17 (b)(d) | 1,720,606 | 1,519,371 | ||
Series 2007-FL14: | ||||
Class F, 3.3175% 6/15/22 (b)(d) | 24,189,343 | 17,839,640 | ||
Class G, 3.3675% 6/15/22 (b)(d) | 3,673,899 | 2,485,623 | ||
Class H, 3.5175% 6/15/22 (b)(d) | 3,673,899 | 2,292,743 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2006-TFL2 Class A2, 2.9875% 10/15/21 (b)(d) | 16,870,000 | 15,436,050 | ||
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1: | ||||
Class C: | ||||
2.9875% 2/15/22 (b)(d) | 12,085,000 | 9,305,450 | ||
3.0875% 2/15/22 (b)(d) | 4,315,000 | 3,020,500 | ||
Class F, 3.1375% 2/15/22 (b)(d) | 8,630,000 | 5,954,700 | ||
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: | ||||
Class H, 3.5475% 4/15/21 (b)(d) | 2,700,000 | 2,367,784 | ||
Class J, 3.6175% 4/15/21 (b)(d) | 1,800,000 | 1,503,963 | ||
Class K, 4.0175% 4/15/21 (b)(d) | 8,995,000 | 7,128,660 | ||
GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 3.52% 6/6/20 (b)(d) | 5,168,000 | 4,237,760 | ||
Hilton Hotel Pool Trust floater Series 2000-HLTA Class B, 3.6438% 10/3/15 (b)(d) | 4,375,000 | 4,402,431 | ||
JPMorgan Chase Commercial Mortgage Securities Trust floater Series 2006-FLA2: | ||||
Class D, 3.0475% 11/15/18 (b)(d) | 1,451,939 | 1,263,187 | ||
Class E, 3.0975% 11/15/18 (b)(d) | 2,181,194 | 1,854,015 | ||
Class F, 3.1475% 11/15/18 (b)(d) | 3,271,791 | 2,813,740 | ||
Class G, 3.1775% 11/15/18 (b)(d) | 2,844,750 | 2,304,248 | ||
Class H, 3.3175% 11/15/18 (b)(d) | 2,181,194 | 1,832,203 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 3.1575% 9/15/21 (b)(d) | 7,570,970 | 5,829,647 | ||
Class G, 3.1775% 9/15/21 (b)(d) | 14,883,625 | 11,311,555 | ||
Class H, 3.2175% 9/15/21 (b)(d) | 4,006,227 | 3,004,670 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 4.018% 7/15/19 (b)(d) | $ 5,095,000 | $ 4,228,850 | ||
Series 2007-XCLA Class A1, 3.018% 7/17/17 (b)(d) | 20,360,475 | 17,102,799 | ||
Series 2007-XLCA Class B, 3.3175% 7/17/17 (b)(d) | 11,539,923 | 9,231,938 | ||
Series 2007-XLFA: | ||||
Class D, 3.008% 10/15/20 (b)(d) | 4,325,000 | 3,460,000 | ||
Class E, 3.068% 10/15/20 (b)(d) | 5,410,000 | 4,219,800 | ||
Class F, 3.118% 10/15/20 (b)(d) | 3,250,000 | 2,502,500 | ||
Class G, 3.158% 10/15/20 (b)(d) | 4,013,000 | 3,009,750 | ||
Class H, 3.248% 10/15/20 (b)(d) | 2,525,000 | 1,818,000 | ||
Class J, 3.398% 10/15/20 (b)(d) | 2,885,000 | 1,961,800 | ||
Class MHRO, 3.508% 10/15/20 (b)(d) | 890,014 | 667,510 | ||
Class MJPM, 3.818% 10/15/20 (b)(d) | 279,279 | 203,873 | ||
Class MSTR, 3.518% 10/15/20 (b)(d) | 500,000 | 345,000 | ||
Class NHRO, 3.708% 10/15/20 (b)(d) | 1,378,380 | 1,006,218 | ||
Class NSTR, 3.668% 10/15/20 (b)(d) | 465,000 | 311,550 | ||
Series 2007-XLC1: | ||||
Class C, 3.4175% 7/17/17 (b)(d) | 15,751,545 | 12,286,205 | ||
Class D, 3.5175% 7/17/17 (b)(d) | 7,411,203 | 5,632,515 | ||
Class E, 3.6175% 7/17/17 (b)(d) | 6,022,972 | 4,456,999 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 3.0788% 3/24/18 (b)(d) | 2,632,617 | 2,474,660 | ||
Wachovia Bank Commercial Mortgage Trust floater: | ||||
Series 2005-WL5A Class K, 4.0175% 1/15/18 (b)(d) | 8,777,000 | 7,739,562 | ||
Series 2006-WL7A: | ||||
Class E, 3.0975% 9/15/21 (b)(d) | 9,585,000 | 7,809,627 | ||
Class F, 3.1575% 8/11/18 (b)(d) | 11,680,000 | 10,295,153 | ||
Class G, 3.1775% 8/11/18 (b)(d) | 11,065,000 | 8,630,700 | ||
Class J, 3.4175% 8/11/18 (b)(d) | 2,460,000 | 1,929,249 | ||
Class X1A, 0.2554% 9/15/21 (b)(d)(e) | 41,500,828 | 6,644 | ||
Series 2007-WHL8: | ||||
Class AP1, 3.5175% 6/15/20 (d) | 775,631 | 620,505 | ||
Class AP2, 3.6175% 6/15/20 (d) | 1,345,948 | 1,063,299 | ||
Class F, 3.2975% 6/15/20 (d) | 20,430,000 | 15,731,100 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $695,438,433) | 550,429,974 |
Cash Equivalents - 41.6% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 2.75%, dated 3/31/08 due 4/1/08 (Collateralized by U.S. Government Obligations) # | $ 923,071 | $ 923,000 | |
With: | |||
Banc of America Securities LLC at: | |||
3.1%, dated 3/31/08 due 4/1/08 (Collateralized by Commercial Paper Obligations valued at $13,261,142, 4/1/08) | 13,001,119 | 13,000,000 | |
3.15%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $259,102,704, 4.63%- 7.1%, 5/6/08 - 9/27/34) | 254,022,225 | 254,000,000 | |
Barclays Capital, Inc. at 3.15%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $272,363,830, 5%- 8.75%, 1/15/11 - 3/1/31) | 267,023,363 | 267,000,000 | |
Citigroup Global Markets, Inc. at: | |||
3.1%, dated 3/31/08 due 4/1/08 (Collateralized by Commercial Paper Obligations valued at $204,018,556, 4/1/08 - 5/7/08) | 200,017,222 | 200,000,000 | |
3.12%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $68,345,923, 5.74%- 5.77%, 5/25/10 - 5/5/26) | 67,005,807 | 67,000,000 | |
Credit Suisse First Boston, Inc. at 3.18%, dated 3/31/08 due 4/1/08 (Collateralized by Equity Securities valued at $280,369,233) | 267,023,585 | 267,000,000 | |
Deutsche Bank Securities, Inc. at 3.15%, dated 3/31/08 due 4/1/08 (Collateralized by Mortgage Loan Obligations valued at $272,363,830, 0%- 9%, 2/2/09 - 9/25/47) | 267,023,363 | 267,000,000 | |
J.P. Morgan Securities, Inc. at 3.2%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $117,602,876, 4.5%- 9.75%, 6/20/08 - 10/15/26) | 112,009,956 | 112,000,000 | |
Lehman Brothers, Inc. at 3.2%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $283,374,684, 0%- 4.9%, 4/15/08 - 7/1/38) | 267,023,733 | 267,000,000 | |
Merrill Lynch, Pierce, Fenner & Smith at 3.15%, dated 3/31/08 due 4/1/08 (Collateralized by Mortgage Loan Obligations valued at $280,353,408, 0%- 9%, 11/25/08 - 10/15/48) | 267,023,363 | 267,000,000 | |
Morgan Stanley & Co. at 3.2%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $274,435,635, 3.4%- 8.9%, 10/25/14 - 11/7/47) | 267,023,733 | 267,000,000 | |
Cash Equivalents - continued | |||
Maturity Amount | Value | ||
With: - continued | |||
UBS Warburg LLC at 3.15%, dated 3/31/08 due 4/1/08 (Collateralized by Corporate Obligations valued at $272,340,921, 1.05%- 5.75%, 4/16/12 - 1/25/37) | $ 267,023,363 | $ 267,000,000 | |
Wachovia Securities, Inc. at 3.15%, dated 3/31/08 due 4/1/08 (Collateralized by Commercial Paper Obligations valued at $272,363,831, 4/2/08 - 4/23/08) | 267,023,363 | 267,000,000 | |
TOTAL CASH EQUIVALENTS (Cost $2,782,923,000) | 2,782,923,000 | ||
TOTAL INVESTMENT PORTFOLIO - 99.1% (Cost $7,623,888,376) | 6,627,273,319 | ||
NET OTHER ASSETS - 0.9% | 59,164,642 | ||
NET ASSETS - 100% | $ 6,686,437,961 |
Swap Agreements | |||||
Expiration Date | Notional Amount | ||||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by .52% 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 M6, 6.835% 9/25/34 (f) | Oct. 2034 | $ 9,900,000 | (3,428,527) | ||
Receive monthly notional amount multiplied by .8% 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-WCH1 Class M6, 6.365% 1/25/35 (f) | Feb. 2035 | 3,000,000 | (1,176,800) | ||
Receive monthly notional amount multiplied by .85% 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 M6, 6.105% 5/25/35 (f) | June 2035 | 3,000,000 | (1,424,635) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon credit 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 (f) | Nov. 2035 | $ 7,900,000 | $ (6,929,880) | ||
Receive monthly notional amount multiplied by 1.85% and pay Citibank upon credit event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-NC2 Class M9, 7.02% 6/25/36 (f) | July 2036 | 5,500,000 | (4,967,692) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit 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 (f) | Dec. 2034 | 1,323,490 | (619,021) | ||
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 (f) | June 2035 | 7,900,000 | (4,983,164) | ||
Receive monthly notional amount multiplied by 3.83% 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 M9, 7.2% 5/25/35 (f) | June 2035 | 2,700,000 | (1,700,653) | ||
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | 13,540,000 | (186,855) | ||
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon credit event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Dec. 2008 | 10,650,000 | (213,007) | ||
$ 65,413,490 | $ (25,630,234) |
Legend |
(a) Non-income producing - Issuer is in default. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,378,478,401 or 20.6% of net assets. |
(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 $25,711,276. |
(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(e) 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. |
(f) Security or a portion of the security backed by subprime mortgage loans. At period end, the value of these securities, exclusive of the value of credit default swaps, amounted to $718,308,450 or 10.7% of net assets. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$923,000 due 4/01/08 at 2.75% | |
BNP Paribas Securities Corp. | $ 87,101 |
Banc of America Securities LLC | 113,970 |
Barclays Capital, Inc. | 668,192 |
Deutsche Bank Securities, Inc. | 53,737 |
$ 923,000 |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 84.7% |
United Kingdom | 10.8% |
Cayman Islands | 2.2% |
Others (individually less than 1%) | 2.3% |
100.0% |
Income Tax Information |
At September 30, 2007, the fund had a capital loss carryforward of approximately $3,902,385 all of which will expire on September 30, 2011. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
March 31, 2008 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,782,923,000) - See accompanying schedule: Unaffiliated issuers (cost $7,623,888,376) | $ 6,627,273,319 | |
Cash | 2,139,715 | |
Receivable for investments sold | 92,008,537 | |
Receivable for swap agreements | 67,755 | |
Interest receivable | 10,640,566 | |
Other affiliated receivables | 160,303 | |
Other receivables | 24,914 | |
Total assets | 6,732,315,109 | |
Liabilities | ||
Distributions payable | $ 20,187,922 | |
Swap agreements, at value | 25,630,234 | |
Other payables and accrued expenses | 58,992 | |
Total liabilities | 45,877,148 | |
Net Assets | $ 6,686,437,961 | |
Net Assets consist of: | ||
Paid in capital | $ 8,696,939,941 | |
Distributions in excess of net investment income | (8,719,373) | |
Accumulated undistributed net realized gain (loss) on investments | (979,537,342) | |
Net unrealized appreciation (depreciation) on investments | (1,022,245,265) | |
Net Assets, for 81,256,759 shares outstanding | $ 6,686,437,961 | |
Net Asset Value, offering price and redemption price per share ($6,686,437,961 ÷ 81,256,759 shares) | $ 82.29 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended March 31, 2008 | ||
Investment Income | ||
Interest (including $28,457 from affiliated interfund lending) | $ 255,345,621 | |
Expenses | ||
Custodian fees and expenses | $ 80,980 | |
Independent trustees' compensation | 20,790 | |
Interest | 511 | |
Total expenses before reductions | 102,281 | |
Expense reductions | (95,395) | 6,886 |
Net investment income | 255,338,735 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (824,133,860) | |
Futures contracts | (177,005) | |
Swap agreements | (84,987,264) | |
Total net realized gain (loss) | (909,298,129) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (460,489,756) | |
Futures contracts | (17,095) | |
Swap agreements | 54,194,337 | |
Total change in net unrealized appreciation (depreciation) | (406,312,514) | |
Net gain (loss) | (1,315,610,643) | |
Net increase (decrease) in net assets resulting from operations | $ (1,060,271,908) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended March 31, | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 255,338,735 | $ 748,733,097 |
Net realized gain (loss) | (909,298,129) | (95,403,693) |
Change in net unrealized appreciation (depreciation) | (406,312,514) | (619,705,034) |
Net increase (decrease) in net assets resulting | (1,060,271,908) | 33,624,370 |
Distributions to shareholders from net investment income | (235,865,833) | (748,108,709) |
Distributions to shareholders from net realized gain | - | (1,637,496) |
Total distributions | (235,865,833) | (749,746,205) |
Affiliated share transactions | 1,718,729,672 | 9,139,746,269 |
Cost of shares redeemed | (5,611,586,839) | (5,104,891,873) |
Net increase (decrease) in net assets resulting from share transactions | (3,892,857,167) | 4,034,854,396 |
Total increase (decrease) in net assets | (5,188,994,908) | 3,318,732,561 |
Net Assets | ||
Beginning of period | 11,875,432,869 | 8,556,700,308 |
End of period (including distributions in excess of net investment income of $8,719,373 and distributions in excess of net investment income of $28,192,275, respectively) | $ 6,686,437,961 | $ 11,875,432,869 |
Other Information Shares | ||
Sold | 19,134,057 | 92,037,768 |
Redeemed | (63,201,890) | (52,715,331) |
Net increase (decrease) | (44,067,833) | 39,322,437 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Cash Flows
Six months ended March 31, | |
Cash flows from operating activities: | |
Net decrease in net assets resulting from operations | $ (1,060,271,908) |
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by operating activities: | |
Increase in receivable for investments sold | (80,323,157) |
Decrease in receivable for swap agreements | 243,089 |
Decrease in interest receivable | 29,699,226 |
Decrease in other assets | 11,759 |
Decrease in other payables and accrued expenses | (24,707) |
Purchases of long-term investments | (14,422,941) |
Proceeds from sales of long-term investments | 4,994,916,653 |
Proceeds from maturities/sales of short-term investments - net | (932,072,973) |
Net amortization/accretion of premium/discount | (287,704) |
Net realized loss on investments | 824,133,860 |
Change in net unrealized (appreciation) depreciation on investments and swap agreements | 409,136,002 |
Net cash provided by operating activities | 4,170,737,199 |
Cash flows from financing activities: | |
Cash Distributions Paid | (275,741,000) |
Proceeds from sales of shares | 1,718,729,672 |
Cost of shares redeemed | (5,611,586,839) |
Net cash used in financing activities | (4,168,598,167) |
Net increase in cash and cash equivalents | 2,139,032 |
Cash, beginning of year | 683 |
Cash, end of year | $ 2,139,715 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights
Six months ended | Years ended September 30, | |||||
2008 | 2007 | 2006 | 2005 | 2004 | 2003 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 94.76 | $ 99.49 | $ 99.49 | $ 99.52 | $ 99.49 | $ 99.15 |
Income from Investment Operations | ||||||
Net investment income D | 2.430 | 5.595 | 4.999 | 3.167 | 1.764 | 1.917 |
Net realized and unrealized gain (loss) | (12.734) | (4.714) | (.015) | (.059) | - G | .450 |
Total from investment operations | (10.304) | .881 | 4.984 | 3.108 | 1.764 | 2.367 |
Distributions from net investment income | (2.166) | (5.597) | (4.984) | (3.138) | (1.734) | (2.027) |
Distributions from net realized gain | - | (.014) | - | - | - | - |
Total distributions | (2.166) | (5.611) | (4.984) | (3.138) | (1.734) | (2.027) |
Net asset value, end of period | $ 82.29 | $ 94.76 | $ 99.49 | $ 99.49 | $ 99.52 | $ 99.49 |
Total Return B, C | (11.01)% | .83% | 5.13% | 3.17% | 1.79% | 2.36% |
Ratios to Average Net Assets F | ||||||
Expenses before reductions E | -% A | -% | -% | -% | -% | -% |
Expenses net of fee waivers, if any E | -%A | -% | -% | -% | -% | -% |
Expenses net of all reductions E | -%A | -% | -% | -% | -% | -% |
Net investment income | 5.42%A | 5.69% | 5.03% | 3.18% | 1.77% | 1.94% |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $ 6,686,438 | $ 11,875,433 | $ 8,556,700 | $ 6,660,552 | $ 5,495,704 | $ 4,987,445 |
Portfolio turnover rate | -%A, H | 41% | 41% | 49% | 50% | 58% |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amount represents less than .01%.
F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
G Amount represents less than $.001 per share.
H Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended March 31, 2008
1. Organization.
Fidelity Ultra-Short Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds).
2. 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. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. A significant portion of the Fund's securities, including securities backed by subprime mortgage loans, are valued at period-end by a single source or dealer.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. Factors used in the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
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
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income - continued
sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing 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 is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). 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 Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swap agreements, market discount, capital loss carryforwards and excise tax regulations.
Semiannual Report
Notes to Financial Statements - continued
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 844,695 | |
Unrealized depreciation | (996,878,178) | |
Net unrealized appreciation (depreciation) | $ (996,033,483) | |
Cost for federal income tax purposes | $ 7,623,306,802 |
New Accounting Pronouncements. 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 results in expanded disclosures about fair value measurements.
In addition, in March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
3. Operating Policies - continued
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty.
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.
Semiannual Report
Notes to Financial Statements - continued
3. Operating Policies - continued
Swap Agreements - continued
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. 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."
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $14,162,053 and $4,725,347,451, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:
Borrower or Lender | Average Daily Loan Balance | Weighted Average Interest Rate |
Lender | $ 18,847,455 | 4.94% |
Semiannual Report
6. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average daily loan balance during the period for which loans were outstanding amounted to $5,660,000. The weighted average interest rate was 3.25%. The interest expense amounted to $511 under the bank borrowing program. At period end, there were no bank borrowings outstanding.
7. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $20,790.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $74,605.
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all the outstanding shares of the Fund.
The Fund invests a significant portion of its assets in structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market's perception of credit quality on securities backed by subprime mortgage loans have resulted in increased volatility of market price and periods of illiquidity that have adversely impacted the valuation of certain issuers of the Fund.
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Garrison Street Trust and Shareholders of Fidelity Ultra-Short Central Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Ultra-Short Central Fund (the Fund), a fund of Fidelity Garrison Street Trust, including the schedule of investments, as of March 31, 2008, and the related statement of operations and cash flows for the six months then ended, the statements of changes in net assets for the six months ended March 31, 2008 and for the year ended September 30, 2007, and the financial highlights for the six months ended March 31, 2008 and for each of the five years in the period ended September 30, 2007. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2008, by correspondence with the custodians and brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Ultra-Short Central Fund as of March 31, 2008, the results of its operations and its cash flows for the six months then ended, the changes in its net assets for the six months ended March 31, 2008 and for the year ended September 30, 2007, and the financial highlights for the six months ended March 31, 2008 and for each of the five years in the period ended September 30, 2007, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 23, 2008
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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. Investments
(a) Not applicable.
(b) 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: | May 30, 2008 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | May 30, 2008 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | May 30, 2008 |