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)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
|
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Date of reporting period: | June 30, 2008 |
Item 1. Reports to Stockholders
Fidelity® Variable Insurance Products:
Investment Grade Central Fund
Semiannual Report
June 30, 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.
VIGC-SANN-0808 1.831205.102Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2008 to June 30, 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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Beginning | Ending | Expenses Paid |
Actual | $ 1,000.00 | $ 1,004.20 | $ .02 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,024.85 | $ .02 |
* Expenses are equal to the Fund's annualized expense ratio of .0033%; multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2008 | As of December 31, 2007 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 12.9% |
| ![]() | AAA 14.1% |
| ||
![]() | AA 5.0% |
| ![]() | AA 4.5% |
| ||
![]() | A 8.7% |
| ![]() | A 7.3% |
| ||
![]() | BBB 16.4% |
| ![]() | BBB 15.7% |
| ||
![]() | BB and Below 0.8% |
| ![]() | BB and Below 0.9% |
| ||
![]() | Not Rated 0.0% |
| ![]() | Not Rated 0.2% |
| ||
![]() | Short-Term Investments and |
| ![]() | Short-Term Investments and |
|
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. |
Weighted Average Maturity as of June 30, 2008 | ||
|
| 6 months ago |
Years | 6.2 | 6.1 |
The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision. |
Duration as of June 30, 2008 | ||
|
| 6 months ago |
Years | 4.6 | 4.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2008* | As of December 31, 2007** | ||||||
![]() | Corporate Bonds 26.7% |
| ![]() | Corporate Bonds 22.1% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed Securities 5.1% |
| ![]() | Asset-Backed Securities 7.2% |
| ||
![]() | CMOs and Other Mortgage |
| ![]() | CMOs and Other Mortgage |
| ||
![]() | Other Investments 0.2% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term Investments and |
| ![]() | Short-Term Investments and |
| ||
* Foreign investments | 6.2% |
| ** Foreign investments | 6.6% |
| ||
* Futures and Swaps | 10.9% |
| ** Futures and Swaps | 13.2% |
|
***Short-Term Investments and Net Other Assets are not included in the pie chart.
Semiannual Report
Investments June 30, 2008
Showing Percentage of Net Assets
Nonconvertible Bonds - 26.7% | |||
| Principal | Value | |
CONSUMER DISCRETIONARY - 2.2% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
McDonald's Corp. 6.3% 3/1/38 | $ 2,925,000 | $ 2,897,534 | |
Household Durables - 0.2% | |||
Fortune Brands, Inc.: | |||
5.125% 1/15/11 | 4,010,000 | 3,988,679 | |
5.875% 1/15/36 | 5,320,000 | 4,463,858 | |
Newell Rubbermaid, Inc. 6.25% 4/15/18 | 1,190,000 | 1,181,083 | |
| 9,633,620 | ||
Media - 1.9% | |||
AOL Time Warner, Inc.: | |||
6.75% 4/15/11 | 100,000 | 102,228 | |
6.875% 5/1/12 | 290,000 | 296,685 | |
7.625% 4/15/31 | 1,625,000 | 1,649,775 | |
Comcast Corp.: | |||
4.95% 6/15/16 | 2,975,000 | 2,739,323 | |
5.5% 3/15/11 | 2,675,000 | 2,677,017 | |
6.45% 3/15/37 | 5,676,000 | 5,282,602 | |
COX Communications, Inc.: | |||
4.625% 1/15/10 | 3,350,000 | 3,331,515 | |
4.625% 6/1/13 | 3,475,000 | 3,289,703 | |
6.25% 6/1/18 (a) | 5,000,000 | 4,880,970 | |
6.45% 12/1/36 (a) | 1,560,000 | 1,449,243 | |
News America Holdings, Inc. 7.75% 12/1/45 | 1,905,000 | 2,032,759 | |
News America, Inc.: | |||
6.15% 3/1/37 | 1,745,000 | 1,606,644 | |
6.2% 12/15/34 | 6,695,000 | 6,174,008 | |
Time Warner Cable, Inc.: | |||
5.85% 5/1/17 | 2,467,000 | 2,343,159 | |
6.2% 7/1/13 | 7,000,000 | 7,118,069 | |
6.75% 7/1/18 | 4,425,000 | 4,454,342 | |
7.3% 7/1/38 | 3,685,000 | 3,662,341 | |
Time Warner, Inc.: | |||
2.915% 11/13/09 (f) | 1,024,000 | 995,104 | |
5.875% 11/15/16 | 7,856,000 | 7,407,847 | |
6.5% 11/15/36 | 2,925,000 | 2,603,829 | |
Viacom, Inc.: | |||
3.1263% 6/16/09 (f) | 265,000 | 262,204 | |
5.75% 4/30/11 | 1,410,000 | 1,413,288 | |
6.125% 10/5/17 | 2,710,000 | 2,598,418 | |
6.75% 10/5/37 | 935,000 | 895,533 | |
| 69,266,606 | ||
TOTAL CONSUMER DISCRETIONARY | 81,797,760 | ||
CONSUMER STAPLES - 1.7% | |||
Beverages - 0.2% | |||
Diageo Capital PLC: | |||
5.2% 1/30/13 | 1,705,000 | 1,706,949 | |
5.75% 10/23/17 | 3,817,000 | 3,767,333 | |
| |||
| Principal | Value | |
FBG Finance Ltd. 5.125% 6/15/15 (a) | $ 2,185,000 | $ 2,032,924 | |
| 7,507,206 | ||
Food & Staples Retailing - 0.4% | |||
CVS Caremark Corp.: | |||
6.036% 12/10/28 (a) | 7,191,454 | 6,677,481 | |
6.302% 6/1/37 (f) | 5,910,000 | 5,067,825 | |
Wal-Mart Stores, Inc. 6.2% 4/15/38 | 4,050,000 | 3,979,344 | |
| 15,724,650 | ||
Food Products - 0.6% | |||
Cargill, Inc. 6.625% 9/15/37 (a) | 3,333,000 | 3,288,088 | |
General Mills, Inc. 5.2% 3/17/15 | 3,528,000 | 3,444,337 | |
H.J. Heinz Co. 6.428% 12/1/08 (a)(f) | 2,935,000 | 2,960,623 | |
Kraft Foods, Inc.: | |||
6.125% 2/1/18 | 2,376,000 | 2,309,664 | |
6.875% 2/1/38 | 4,900,000 | 4,763,805 | |
6.875% 1/26/39 | 5,000,000 | 4,852,345 | |
| 21,618,862 | ||
Personal Products - 0.2% | |||
Avon Products, Inc. 5.75% 3/1/18 | 5,995,000 | 5,968,166 | |
Tobacco - 0.3% | |||
Philip Morris International, Inc.: | |||
4.875% 5/16/13 | 2,904,000 | 2,852,678 | |
5.65% 5/16/18 | 2,751,000 | 2,673,867 | |
6.375% 5/16/38 | 4,652,000 | 4,533,490 | |
Reynolds American, Inc. 7.25% 6/15/37 | 3,055,000 | 3,006,532 | |
| 13,066,567 | ||
TOTAL CONSUMER STAPLES | 63,885,451 | ||
ENERGY - 3.0% | |||
Energy Equipment & Services - 0.4% | |||
Petronas Capital Ltd. 7% 5/22/12 (a) | 6,135,000 | 6,566,192 | |
Transocean, Inc. 6% 3/15/18 | 5,810,000 | 5,818,692 | |
Weatherford International Ltd. 7% 3/15/38 | 2,250,000 | 2,306,837 | |
| 14,691,721 | ||
Oil, Gas & Consumable Fuels - 2.6% | |||
Anadarko Petroleum Corp.: | |||
5.95% 9/15/16 | 4,745,000 | 4,747,548 | |
6.45% 9/15/36 | 1,155,000 | 1,140,087 | |
Canadian Natural Resources Ltd.: | |||
5.7% 5/15/17 | 5,685,000 | 5,569,333 | |
6.25% 3/15/38 | 1,165,000 | 1,092,975 | |
6.75% 2/1/39 | 1,135,000 | 1,137,404 | |
Devon Financing Corp. U.L.C. 6.875% 9/30/11 | 3,000,000 | 3,184,077 | |
Nonconvertible Bonds - continued | |||
| Principal | Value | |
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Duke Capital LLC: | |||
4.37% 3/1/09 | $ 3,575,000 | $ 3,563,975 | |
6.25% 2/15/13 | 855,000 | 870,128 | |
6.75% 2/15/32 | 4,255,000 | 4,021,962 | |
Duke Energy Field Services 6.45% 11/3/36 (a) | 3,300,000 | 3,008,429 | |
El Paso Natural Gas Co. 5.95% 4/15/17 | 3,330,000 | 3,213,237 | |
Empresa Nacional de Petroleo 6.75% 11/15/12 (a) | 6,135,000 | 6,378,934 | |
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 320,000 | 323,466 | |
Kinder Morgan Energy Partners LP 5.125% 11/15/14 | 6,045,000 | 5,686,423 | |
Nakilat, Inc. 6.067% 12/31/33 (a) | 4,015,000 | 3,550,986 | |
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (a) | 925,000 | 844,145 | |
Nexen, Inc.: | |||
5.875% 3/10/35 | 1,655,000 | 1,478,066 | |
6.4% 5/15/37 | 2,125,000 | 2,012,029 | |
NGPL PipeCo LLC 6.514% 12/15/12 (a) | 1,980,000 | 2,010,213 | |
Pemex Project Funding Master Trust: | |||
3.2806% 12/3/12 (a)(f) | 410,000 | 401,800 | |
4.0763% 6/15/10 (a)(f) | 4,480,000 | 4,493,440 | |
6.125% 8/15/08 | 236,000 | 236,944 | |
Petro-Canada: | |||
6.05% 5/15/18 | 1,480,000 | 1,458,524 | |
6.8% 5/15/38 | 2,290,000 | 2,243,073 | |
Plains All American Pipeline LP: | |||
6.125% 1/15/17 | 1,250,000 | 1,228,431 | |
6.65% 1/15/37 | 1,950,000 | 1,818,543 | |
Ras Laffan Liquid Natural Gas Co. Ltd. III: | |||
5.832% 9/30/16 (a) | 2,375,000 | 2,306,315 | |
6.332% 9/30/27 (a) | 2,415,000 | 2,237,546 | |
Suncor Energy, Inc.: | |||
6.1% 6/1/18 | 4,665,000 | 4,679,130 | |
6.85% 6/1/39 | 4,100,000 | 4,183,271 | |
Talisman Energy, Inc. yankee 6.25% 2/1/38 | 1,195,000 | 1,098,463 | |
TEPPCO Partners LP: | |||
6.65% 4/15/18 | 1,811,000 | 1,832,708 | |
7.55% 4/15/38 | 3,470,000 | 3,617,333 | |
Texas Eastern Transmission LP 6% 9/15/17 (a) | 2,434,000 | 2,398,756 | |
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 615,000 | 618,075 | |
| |||
| Principal | Value | |
Valero Energy Corp. 6.625% 6/15/37 | $ 1,575,000 | $ 1,444,036 | |
XTO Energy, Inc. 6.375% 6/15/38 | 6,820,000 | 6,517,908 | |
| 96,647,713 | ||
TOTAL ENERGY | 111,339,434 | ||
FINANCIALS - 10.9% | |||
Capital Markets - 2.6% | |||
Bear Stearns Companies, Inc. 6.95% 8/10/12 | 6,445,000 | 6,701,331 | |
BlackRock, Inc. 6.25% 9/15/17 | 3,685,000 | 3,705,861 | |
Goldman Sachs Group, Inc.: | |||
5.25% 10/15/13 | 3,770,000 | 3,690,302 | |
5.625% 1/15/17 | 3,000,000 | 2,779,671 | |
5.7% 9/1/12 | 2,935,000 | 2,944,207 | |
5.95% 1/18/18 | 755,000 | 724,768 | |
6.15% 4/1/18 | 3,134,000 | 3,040,478 | |
6.6% 1/15/12 | 4,610,000 | 4,740,380 | |
6.75% 10/1/37 | 6,705,000 | 6,133,372 | |
Janus Capital Group, Inc.: | |||
5.875% 9/15/11 | 2,041,000 | 2,008,513 | |
6.25% 6/15/12 | 6,015,000 | 5,870,508 | |
JPMorgan Chase Capital XX 6.55% 9/29/36 | 3,090,000 | 2,672,319 | |
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 6,975,000 | 6,260,655 | |
Lazard Group LLC: | |||
6.85% 6/15/17 | 3,230,000 | 2,848,834 | |
7.125% 5/15/15 | 5,585,000 | 5,221,874 | |
Lehman Brothers Holdings, Inc.: | |||
5.625% 1/24/13 | 1,112,000 | 1,052,514 | |
6.2% 9/26/14 | 3,100,000 | 2,958,851 | |
6.75% 12/28/17 | 1,755,000 | 1,648,691 | |
6.875% 5/2/18 | 2,535,000 | 2,454,146 | |
Merrill Lynch & Co., Inc.: | |||
4.25% 2/8/10 | 7,275,000 | 7,118,842 | |
6.15% 4/25/13 | 1,204,000 | 1,166,918 | |
6.875% 4/25/18 | 214,000 | 203,669 | |
Morgan Stanley: | |||
4.75% 4/1/14 | 1,500,000 | 1,366,845 | |
6.6% 4/1/12 | 7,695,000 | 7,823,660 | |
6.625% 4/1/18 | 4,065,000 | 3,851,689 | |
UBS AG Stamford Branch: | |||
5.75% 4/25/18 | 4,720,000 | 4,503,900 | |
5.875% 12/20/17 | 3,145,000 | 3,059,299 | |
VTB Capital SA 3.3844% 8/1/08 (a)(f) | 1,792,000 | 1,774,080 | |
| 98,326,177 | ||
Commercial Banks - 1.5% | |||
Bank of America NA 5.3% 3/15/17 | 1,480,000 | 1,358,565 | |
Credit Suisse (Guernsey) Ltd. 5.86% | 4,785,000 | 3,989,006 | |
Nonconvertible Bonds - continued | |||
| Principal | Value | |
FINANCIALS - continued | |||
Commercial Banks - continued | |||
Credit Suisse First Boston 6% 2/15/18 | $ 6,110,000 | $ 5,883,429 | |
DBS Bank Ltd. (Singapore) 2.94% 5/16/17 (a)(f) | 410,000 | 382,489 | |
Export-Import Bank of Korea 5.5% 10/17/12 | 6,570,000 | 6,506,251 | |
HBOS PLC 6.75% 5/21/18 (a) | 4,900,000 | 4,686,203 | |
HSBC Holdings PLC: | |||
2.9275% 10/6/16 (f) | 399,000 | 364,982 | |
6.5% 9/15/37 | 7,355,000 | 6,871,556 | |
Korea Development Bank: | |||
3.875% 3/2/09 | 5,775,000 | 5,748,360 | |
5.3% 1/17/13 | 3,805,000 | 3,797,162 | |
Manufacturers & Traders Trust Co. 4.1975% 4/1/13 (a)(f) | 269,000 | 257,715 | |
PNC Funding Corp. 3.0394% 1/31/12 (f) | 1,019,000 | 959,372 | |
Santander Issuances SA Unipersonal 3.1625% 6/20/16 (a)(f) | 1,229,000 | 1,144,445 | |
SouthTrust Corp. 5.8% 6/15/14 | 1,440,000 | 1,460,362 | |
Sovereign Bank 4.375% 8/1/13 (f) | 576,000 | 445,773 | |
Standard Chartered Bank 6.4% 9/26/17 (a) | 4,025,000 | 3,934,780 | |
Wachovia Bank NA 4.875% 2/1/15 | 4,405,000 | 3,998,815 | |
Wachovia Corp. 4.875% 2/15/14 | 785,000 | 716,986 | |
Wells Fargo & Co. 5.625% 12/11/17 | 4,754,000 | 4,599,699 | |
| 57,105,950 | ||
Consumer Finance - 1.4% | |||
American Express Co.: | |||
6.15% 8/28/17 | 3,625,000 | 3,540,693 | |
8.15% 3/19/38 | 3,450,000 | 3,834,496 | |
American General Finance Corp. 6.9% 12/15/17 | 2,370,000 | 2,065,609 | |
Discover Financial Services 3.3163% 6/11/10 (f) | 11,045,000 | 9,445,861 | |
General Electric Capital Corp.: | |||
5.625% 9/15/17 | 2,420,000 | 2,366,591 | |
5.625% 5/1/18 | 9,700,000 | 9,380,434 | |
5.875% 1/14/38 | 3,600,000 | 3,262,565 | |
6.375% 11/15/67 (f) | 4,000,000 | 3,783,236 | |
MBNA America Bank NA 7.125% 11/15/12 | 1,075,000 | 1,147,094 | |
MBNA Corp. 7.5% 3/15/12 | 1,860,000 | 2,003,616 | |
SLM Corp.: | |||
3.06% 7/27/09 (f) | 1,064,000 | 997,552 | |
3.08% 7/26/10 (f) | 6,312,000 | 5,601,427 | |
4% 1/15/09 | 1,020,000 | 1,007,446 | |
4.5% 7/26/10 | 2,555,000 | 2,364,162 | |
| 50,800,782 | ||
| |||
| Principal | Value | |
Diversified Financial Services - 1.1% | |||
Bank of America Corp. 7.4% 1/15/11 | $ 9,125,000 | $ 9,516,791 | |
BTM Curacao Holding NV 3.1288% 12/19/16 (a)(f) | 666,000 | 606,481 | |
GlaxoSmithKline Capital, Inc.: | |||
5.65% 5/15/18 | 2,286,000 | 2,277,272 | |
6.375% 5/15/38 | 2,905,000 | 2,883,596 | |
JPMorgan Chase & Co.: | |||
4.75% 5/1/13 | 7,045,000 | 6,846,761 | |
4.891% 9/1/15 (f) | 20,000 | 19,620 | |
5.6% 6/1/11 | 127,000 | 128,740 | |
5.75% 1/2/13 | 3,500,000 | 3,522,670 | |
Prime Property Funding, Inc.: | |||
5.125% 6/1/15 (a) | 3,375,000 | 2,945,791 | |
5.35% 4/15/12 (a) | 1,700,000 | 1,647,951 | |
5.5% 1/15/14 (a) | 2,405,000 | 2,234,115 | |
TECO Finance, Inc. 7% 5/1/12 | 1,740,000 | 1,814,439 | |
ZFS Finance USA Trust II 6.45% 12/15/65 (a)(f) | 3,400,000 | 3,015,797 | |
ZFS Finance USA Trust V 6.5% 5/9/67 (a)(f) | 4,035,000 | 3,521,772 | |
| 40,981,796 | ||
Insurance - 1.4% | |||
American International Group, Inc.: | |||
5.85% 1/16/18 | 4,750,000 | 4,450,052 | |
8.175% 5/15/58 (a)(f) | 3,075,000 | 2,893,910 | |
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 420,000 | 398,863 | |
Hartford Financial Services Group, Inc. 8.125% 6/15/68 (f) | 5,815,000 | 5,659,478 | |
Lincoln National Corp. 7% 5/17/66 (f) | 7,285,000 | 6,635,666 | |
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 4,259,000 | 4,301,824 | |
New York Life Global Funding 4.65% 5/9/13 (a) | 6,045,000 | 5,996,265 | |
Pacific Life Global Funding 5.15% 4/15/13 (a) | 3,690,000 | 3,648,904 | |
Principal Life Global Funding I 6.25% 2/15/12 (a) | 2,310,000 | 2,419,917 | |
Prudential Financial, Inc. 8.875% 6/15/68 (f) | 7,265,000 | 7,262,951 | |
Symetra Financial Corp. 6.125% 4/1/16 (a) | 6,355,000 | 5,605,949 | |
The Chubb Corp.: | |||
5.75% 5/15/18 | 1,895,000 | 1,836,659 | |
6.5% 5/15/38 | 1,595,000 | 1,524,172 | |
| 52,634,610 | ||
Real Estate Investment Trusts - 2.3% | |||
AMB Property LP 5.9% 8/15/13 | 2,575,000 | 2,504,896 | |
Arden Realty LP 5.25% 3/1/15 | 625,000 | 614,060 | |
Nonconvertible Bonds - continued | |||
| Principal | Value | |
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Brandywine Operating Partnership LP: | |||
4.5% 11/1/09 | $ 1,365,000 | $ 1,320,759 | |
5.625% 12/15/10 | 2,260,000 | 2,191,242 | |
5.7% 5/1/17 | 5,000,000 | 4,248,635 | |
5.75% 4/1/12 | 1,115,000 | 1,048,641 | |
Camden Property Trust 5.375% 12/15/13 | 2,985,000 | 2,731,759 | |
Colonial Properties Trust: | |||
4.75% 2/1/10 | 2,045,000 | 1,991,102 | |
4.8% 4/1/11 | 930,000 | 877,264 | |
5.5% 10/1/15 | 6,290,000 | 5,539,408 | |
Developers Diversified Realty Corp.: | |||
3.875% 1/30/09 | 1,010,000 | 997,994 | |
4.625% 8/1/10 | 225,000 | 217,431 | |
5% 5/3/10 | 2,435,000 | 2,359,569 | |
5.25% 4/15/11 | 2,335,000 | 2,241,745 | |
5.375% 10/15/12 | 1,240,000 | 1,163,292 | |
Duke Realty LP: | |||
4.625% 5/15/13 | 925,000 | 839,320 | |
5.4% 8/15/14 | 2,175,000 | 2,004,065 | |
5.5% 3/1/16 | 1,270,000 | 1,153,685 | |
5.625% 8/15/11 | 3,500,000 | 3,397,860 | |
5.95% 2/15/17 | 695,000 | 641,888 | |
6.5% 1/15/18 | 2,445,000 | 2,328,195 | |
6.95% 3/15/11 | 1,535,000 | 1,562,375 | |
Equity One, Inc. 6% 9/15/17 | 2,390,000 | 2,099,964 | |
Federal Realty Investment Trust 5.4% 12/1/13 | 1,390,000 | 1,316,975 | |
Hospitality Properties Trust 5.625% 3/15/17 | 4,210,000 | 3,416,819 | |
HRPT Properties Trust: | |||
5.75% 11/1/15 | 670,000 | 608,308 | |
6.25% 6/15/17 | 4,455,000 | 4,108,468 | |
Liberty Property LP: | |||
5.5% 12/15/16 | 2,275,000 | 2,014,351 | |
6.625% 10/1/17 | 2,290,000 | 2,141,090 | |
Mack-Cali Realty LP: | |||
5.05% 4/15/10 | 1,735,000 | 1,714,173 | |
7.25% 3/15/09 | 1,085,000 | 1,097,036 | |
Reckson Operating Partnership LP: | |||
5.15% 1/15/11 | 795,000 | 751,181 | |
6% 3/31/16 | 3,099,000 | 2,631,184 | |
Simon Property Group LP: | |||
4.6% 6/15/10 | 2,965,000 | 2,916,807 | |
4.875% 8/15/10 | 4,120,000 | 4,021,717 | |
5% 3/1/12 | 2,060,000 | 2,007,200 | |
5.1% 6/15/15 | 2,220,000 | 2,008,791 | |
5.375% 6/1/11 | 2,020,000 | 1,990,460 | |
7.75% 1/20/11 | 595,000 | 617,063 | |
UDR, Inc. 5.5% 4/1/14 | 2,690,000 | 2,499,311 | |
| |||
| Principal | Value | |
United Dominion Realty Trust, Inc. 5.25% 1/15/15 | $ 890,000 | $ 805,768 | |
Washington (REIT) 5.95% 6/15/11 | 3,015,000 | 2,894,524 | |
| 83,636,375 | ||
Real Estate Management & Development - 0.3% | |||
ERP Operating LP: | |||
5.375% 8/1/16 | 830,000 | 753,787 | |
5.5% 10/1/12 | 2,785,000 | 2,716,592 | |
5.75% 6/15/17 | 2,375,000 | 2,192,206 | |
Post Apartment Homes LP 6.3% 6/1/13 | 2,655,000 | 2,539,266 | |
Regency Centers LP: | |||
5.875% 6/15/17 | 1,815,000 | 1,679,853 | |
6.75% 1/15/12 | 2,035,000 | 2,043,891 | |
| 11,925,595 | ||
Thrifts & Mortgage Finance - 0.3% | |||
Capmark Financial Group, Inc.: | |||
3.3656% 5/10/10 (f) | 138,000 | 103,500 | |
5.875% 5/10/12 | 3,610,000 | 2,546,537 | |
6.3% 5/10/17 | 1,400,000 | 904,978 | |
Credit Suisse First Boston (New York Branch) 5% 5/15/13 | 2,403,000 | 2,338,516 | |
Independence Community Bank Corp.: | |||
3.75% 4/1/14 (f) | 3,820,000 | 3,067,349 | |
4.8625% 6/20/13 (f) | 731,000 | 589,642 | |
Washington Mutual, Inc. 4.625% 4/1/14 | 1,765,000 | 1,288,450 | |
| 10,838,972 | ||
TOTAL FINANCIALS | 406,250,257 | ||
HEALTH CARE - 0.1% | |||
Pharmaceuticals - 0.1% | |||
AstraZeneca PLC: | |||
5.9% 9/15/17 | 1,990,000 | 2,039,750 | |
6.45% 9/15/37 | 1,485,000 | 1,511,800 | |
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 2,940,000 | 2,872,789 | |
| 6,424,339 | ||
INDUSTRIALS - 1.9% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (a) | 3,465,000 | 3,506,570 | |
Bombardier, Inc.: | |||
6.3% 5/1/14 (a) | 4,515,000 | 4,311,825 | |
7.45% 5/1/34 (a) | 420,000 | 401,100 | |
| 8,219,495 | ||
Airlines - 1.0% | |||
American Airlines, Inc. 7.25% 2/5/09 | 307,000 | 300,860 | |
Nonconvertible Bonds - continued | |||
| Principal | Value | |
INDUSTRIALS - continued | |||
Airlines - continued | |||
American Airlines, Inc. pass-thru trust certificates: | |||
6.855% 10/15/10 | $ 104,481 | $ 102,914 | |
6.978% 10/1/12 | 521,380 | 503,131 | |
7.024% 4/15/11 | 2,180,000 | 2,125,500 | |
7.858% 4/1/13 | 3,480,000 | 3,340,800 | |
Continental Airlines, Inc. pass-thru trust certificates: | |||
6.648% 3/15/19 | 1,714,948 | 1,560,603 | |
6.795% 2/2/20 | 3,566,363 | 2,710,436 | |
Delta Air Lines, Inc. pass-thru trust certificates: | |||
6.821% 8/10/22 | 2,976,888 | 2,485,701 | |
7.57% 11/18/10 | 5,885,000 | 5,561,325 | |
Northwest Airlines, Inc. pass-thru trust certificates 7.027% | 3,024,000 | 2,396,520 | |
Southwest Airlines Co. pass-thru trust certificates 6.15% 8/1/22 | 2,358,425 | 2,215,269 | |
U.S. Airways pass-thru trust certificates: | |||
6.85% 7/30/19 | 1,530,452 | 1,339,146 | |
8.36% 7/20/20 | 5,415,799 | 5,117,930 | |
United Air Lines, Inc. pass-thru trust certificates: | |||
Class 1A, 6.636% 7/2/22 | 1,760,797 | 1,432,056 | |
6.071% 9/1/14 | 419,333 | 411,995 | |
6.201% 3/1/10 | 178,274 | 175,155 | |
6.602% 9/1/13 | 539,187 | 531,099 | |
7.032% 4/1/12 | 1,012,891 | 1,000,230 | |
7.186% 10/1/12 | 2,513,861 | 2,488,722 | |
| 35,799,392 | ||
Building Products - 0.0% | |||
Masco Corp. 3.0863% | 941,000 | 898,124 | |
Commercial Services & Supplies - 0.1% | |||
R.R. Donnelley & Sons Co. 5.5% 5/15/15 | 3,395,000 | 3,236,661 | |
Industrial Conglomerates - 0.6% | |||
Covidien International Finance SA: | |||
5.45% 10/15/12 | 2,155,000 | 2,184,672 | |
6.55% 10/15/37 | 1,865,000 | 1,881,058 | |
General Electric Co. 5.25% 12/6/17 | 7,130,000 | 6,854,297 | |
Hutchison Whampoa International (03/13) Ltd. 6.5% | 6,485,000 | 6,572,833 | |
Hutchison Whampoa International (03/33) Ltd. 5.45% | 3,600,000 | 3,629,437 | |
| 21,122,297 | ||
| |||
| Principal | Value | |
Road & Rail - 0.0% | |||
CSX Corp. 6.25% 4/1/15 | $ 865,000 | $ 867,938 | |
TOTAL INDUSTRIALS | 70,143,907 | ||
INFORMATION TECHNOLOGY - 0.2% | |||
Electronic Equipment & Instruments - 0.0% | |||
Tyco Electronics Group SA 7.125% 10/1/37 | 1,225,000 | 1,254,116 | |
Semiconductors & Semiconductor Equipment - 0.2% | |||
Chartered Semiconductor Manufacturing Ltd. 5.75% | 195,000 | 191,071 | |
National Semiconductor Corp.: | |||
3.0263% 6/15/10 (f) | 1,092,000 | 1,037,233 | |
6.15% 6/15/12 | 5,265,000 | 5,314,807 | |
| 6,543,111 | ||
TOTAL INFORMATION TECHNOLOGY | 7,797,227 | ||
MATERIALS - 0.8% | |||
Chemicals - 0.1% | |||
Dow Chemical Co. 5.7% 5/15/18 | 2,075,000 | 2,009,430 | |
Metals & Mining - 0.7% | |||
Nucor Corp.: | |||
5.85% 6/1/18 | 3,180,000 | 3,213,164 | |
6.4% 12/1/37 | 2,550,000 | 2,587,197 | |
Rio Tinto Finance Ltd.: | |||
5.875% 7/15/13 | 7,725,000 | 7,767,827 | |
6.5% 7/15/18 | 2,796,000 | 2,804,483 | |
7.125% 7/15/28 | 3,500,000 | 3,541,713 | |
United States Steel Corp. 6.65% 6/1/37 | 2,270,000 | 1,999,809 | |
Vale Overseas Ltd. 6.25% 1/23/17 | 3,115,000 | 3,015,245 | |
| 24,929,438 | ||
Paper & Forest Products - 0.0% | |||
International Paper Co. 4.25% 1/15/09 | 1,900,000 | 1,893,781 | |
TOTAL MATERIALS | 28,832,649 | ||
TELECOMMUNICATION SERVICES - 2.0% | |||
Diversified Telecommunication Services - 1.8% | |||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,150,000 | 2,366,649 | |
AT&T, Inc.: | |||
6.3% 1/15/38 | 364,000 | 343,891 | |
6.8% 5/15/36 | 10,939,000 | 10,960,933 | |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 620,000 | 684,861 | |
BellSouth Corp. 2.7756% 8/15/08 (f) | 896,000 | 895,434 | |
British Telecommunications PLC 9.125% 12/15/30 | 2,250,000 | 2,704,691 | |
Nonconvertible Bonds - continued | |||
| Principal | Value | |
TELECOMMUNICATION SERVICES - continued | |||
Diversified Telecommunication Services - continued | |||
Deutsche Telekom International Finance BV 5.25% 7/22/13 | $ 2,500,000 | $ 2,452,620 | |
SBC Communications, Inc.: | |||
6.15% 9/15/34 | 1,180,000 | 1,102,559 | |
6.45% 6/15/34 | 3,620,000 | 3,494,962 | |
Sprint Capital Corp. 6.875% 11/15/28 | 7,050,000 | 5,869,125 | |
Telecom Italia Capital SA: | |||
4.95% 9/30/14 | 2,000,000 | 1,830,506 | |
6.999% 6/4/18 | 3,792,000 | 3,824,300 | |
7.2% 7/18/36 | 3,620,000 | 3,500,359 | |
Telefonica Emisiones SAU: | |||
3.1025% 6/19/09 (f) | 1,654,000 | 1,644,700 | |
5.855% 2/4/13 | 1,438,000 | 1,447,606 | |
6.221% 7/3/17 | 2,885,000 | 2,883,624 | |
7.045% 6/20/36 | 4,335,000 | 4,448,794 | |
Verizon Communications, Inc.: | |||
6.1% 4/15/18 | 2,190,000 | 2,174,179 | |
6.25% 4/1/37 | 1,380,000 | 1,271,049 | |
6.4% 2/15/38 | 2,893,000 | 2,693,018 | |
6.9% 4/15/38 | 2,420,000 | 2,391,618 | |
Verizon Global Funding Corp. 7.75% 12/1/30 | 5,043,000 | 5,417,599 | |
Verizon New York, Inc. 6.875% 4/1/12 | 1,095,000 | 1,141,971 | |
| 65,545,048 | ||
Wireless Telecommunication Services - 0.2% | |||
America Movil SAB de CV 4.125% 3/1/09 | 1,755,000 | 1,757,931 | |
AT&T Wireless Services, Inc.: | |||
7.875% 3/1/11 | 740,000 | 787,845 | |
8.125% 5/1/12 | 1,130,000 | 1,237,686 | |
Sprint Nextel Corp. 6% 12/1/16 | 2,260,000 | 1,943,600 | |
Vodafone Group PLC 5% | 2,775,000 | 2,693,046 | |
| 8,420,108 | ||
TOTAL TELECOMMUNICATION SERVICES | 73,965,156 | ||
UTILITIES - 3.9% | |||
Electric Utilities - 2.0% | |||
Alabama Power Co. 4.85% 12/15/12 | 4,095,000 | 4,113,432 | |
AmerenUE 6.4% 6/15/17 | 6,509,000 | 6,496,444 | |
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 4,845,000 | 4,789,951 | |
Commonwealth Edison Co.: | |||
5.4% 12/15/11 | 2,394,000 | 2,401,682 | |
5.8% 3/15/18 | 4,010,000 | 3,914,458 | |
6.15% 9/15/17 | 2,890,000 | 2,882,058 | |
| |||
| Principal | Value | |
Duke Energy Carolinas LLC: | |||
5.25% 1/15/18 | $ 1,890,000 | $ 1,865,177 | |
6.05% 4/15/38 | 1,742,000 | 1,722,129 | |
EDP Finance BV 6% 2/2/18 (a) | 2,864,000 | 2,851,885 | |
Enel Finance International SA: | |||
6.25% 9/15/17 (a) | 1,455,000 | 1,472,275 | |
6.8% 9/15/37 (a) | 4,424,000 | 4,461,060 | |
Exelon Corp.: | |||
4.9% 6/15/15 | 5,075,000 | 4,669,675 | |
6.75% 5/1/11 | 2,425,000 | 2,491,273 | |
FirstEnergy Corp. 6.45% 11/15/11 | 2,980,000 | 3,057,775 | |
Illinois Power Co. 6.125% 11/15/17 | 1,465,000 | 1,399,309 | |
Nevada Power Co. 6.5% 5/15/18 | 3,165,000 | 3,204,563 | |
Ohio Power Co. 2.9075% 4/5/10 (f) | 1,167,000 | 1,143,990 | |
Oncor Electric Delivery Co. 6.375% 5/1/12 | 1,885,000 | 1,909,556 | |
Pennsylvania Electric Co. 6.05% 9/1/17 | 2,905,000 | 2,817,841 | |
PPL Capital Funding, Inc. 6.7% 3/30/67 (f) | 6,230,000 | 5,314,414 | |
Progress Energy, Inc.: | |||
5.625% 1/15/16 | 2,000,000 | 1,979,072 | |
7.1% 3/1/11 | 3,932,000 | 4,137,400 | |
Southern California Edison Co. 5.95% 2/1/38 | 1,890,000 | 1,868,371 | |
West Penn Power Co. 5.95% 12/15/17 (a) | 3,275,000 | 3,280,027 | |
| 74,243,817 | ||
Gas Utilities - 0.0% | |||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 185,000 | 197,497 | |
Independent Power Producers & Energy Traders - 0.6% | |||
Constellation Energy Group, Inc. 7% 4/1/12 | 5,735,000 | 5,946,197 | |
Exelon Generation Co. LLC 6.2% 10/1/17 | 6,685,000 | 6,511,197 | |
PPL Energy Supply LLC: | |||
5.7% 10/15/35 | 4,175,000 | 3,919,135 | |
6.2% 5/15/16 | 2,715,000 | 2,652,487 | |
6.5% 5/1/18 | 2,640,000 | 2,578,414 | |
TXU Corp. 5.55% 11/15/14 | 980,000 | 769,300 | |
| 22,376,730 | ||
Multi-Utilities - 1.3% | |||
Dominion Resources, Inc.: | |||
4.75% 12/15/10 | 3,540,000 | 3,562,677 | |
6.25% 6/30/12 | 1,938,000 | 2,004,433 | |
6.3% 9/30/66 (f) | 9,255,000 | 8,470,667 | |
DTE Energy Co. 7.05% 6/1/11 | 3,500,000 | 3,626,186 | |
MidAmerican Energy Holdings, Co.: | |||
5.75% 4/1/18 (a) | 1,800,000 | 1,782,904 | |
Nonconvertible Bonds - continued | |||
| Principal | Value | |
UTILITIES - continued | |||
Multi-Utilities - continued | |||
MidAmerican Energy Holdings, Co.: - continued | |||
5.875% 10/1/12 | $ 2,880,000 | $ 2,962,189 | |
6.5% 9/15/37 | 3,280,000 | 3,312,708 | |
National Grid PLC 6.3% 8/1/16 | 7,820,000 | 7,830,268 | |
NiSource Finance Corp.: | |||
3.2081% 11/23/09 (f) | 412,000 | 400,519 | |
5.4% 7/15/14 | 3,885,000 | 3,634,394 | |
5.45% 9/15/20 | 2,135,000 | 1,862,877 | |
6.4% 3/15/18 | 3,220,000 | 3,107,731 | |
7.875% 11/15/10 | 925,000 | 959,239 | |
Wisconsin Energy Corp. 6.25% 5/15/67 (f) | 2,740,000 | 2,356,784 | |
WPS Resources Corp. 6.11% 12/1/66 (f) | 2,330,000 | 1,929,005 | |
| 47,802,581 | ||
TOTAL UTILITIES | 144,620,625 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $1,030,376,004) | 995,056,805 | ||
U.S. Government and Government Agency Obligations - 16.7% | |||
| |||
U.S. Government Agency Obligations - 2.8% | |||
Fannie Mae: | |||
0% 11/19/08 | 1,152,000 | 1,140,811 | |
3.625% 2/12/13 | 4,230,000 | 4,145,662 | |
4.75% 11/19/12 | 4,110,000 | 4,227,743 | |
5% 2/16/12 | 20,940,000 | 21,719,136 | |
Freddie Mac: | |||
0% 8/18/08 | 256,000 | 255,239 | |
0% 9/22/08 | 512,000 | 509,238 | |
3.5% 5/29/13 (d) | 13,595,000 | 13,210,071 | |
4% 6/12/13 | 17,620,000 | 17,503,708 | |
4.125% 12/21/12 | 9,200,000 | 9,231,768 | |
5.25% 7/18/11 | 9,159,000 | 9,587,110 | |
5.75% 1/15/12 | 15,975,000 | 16,956,312 | |
Tennessee Valley Authority 5.375% 4/1/56 | 2,375,000 | 2,396,102 | |
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | 2,020,000 | 2,024,911 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 102,907,811 | ||
| |||
| Principal | Value | |
U.S. Treasury Inflation Protected Obligations - 7.4% | |||
U.S. Treasury Inflation-Indexed Notes: | |||
1.625% 1/15/18 | $ 15,378,300 | $ 15,630,591 | |
2% 1/15/14 (d) | 180,284,364 | 191,411,436 | |
2% 7/15/14 | 5,697,200 | 6,051,023 | |
2.375% 4/15/11 | 14,392,879 | 15,249,663 | |
2.625% 7/15/17 | 31,089,000 | 34,329,600 | |
3.5% 1/15/11 | 12,340,500 | 13,437,610 | |
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 276,109,923 | ||
U.S. Treasury Obligations - 6.5% | |||
U.S. Treasury Bonds 6.25% 5/15/30 (d) | 14,893,000 | 18,331,183 | |
U.S. Treasury Notes: | |||
2.125% 1/31/10 | 7,200,000 | 7,162,877 | |
2.5% 3/31/13 | 8,065,000 | 7,780,838 | |
2.75% 2/28/13 | 36,175,000 | 35,315,844 | |
3.375% 6/30/13 (b) | 90,249,000 | 90,295,756 | |
4.25% 8/15/14 | 80,000,000 | 83,581,280 | |
TOTAL U.S. TREASURY OBLIGATIONS | 242,467,778 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $602,079,635) | 621,485,512 | ||
U.S. Government Agency - | |||
| |||
Fannie Mae - 30.5% | |||
3.244% 9/1/33 (f) | 2,638,150 | 2,655,356 | |
3.711% 7/1/33 (f) | 1,843,337 | 1,859,512 | |
3.744% 10/1/33 (f) | 203,300 | 205,381 | |
3.782% 6/1/34 (f) | 1,171,018 | 1,175,898 | |
3.829% 10/1/33 (f) | 2,200,192 | 2,203,489 | |
3.838% 10/1/33 (f) | 4,702,892 | 4,794,749 | |
3.991% 10/1/18 (f) | 133,602 | 135,284 | |
4% 8/1/18 to 6/1/19 | 3,151,719 | 3,023,000 | |
4.078% 4/1/34 (f) | 3,779,382 | 3,810,518 | |
4.126% 5/1/34 (f) | 2,640,195 | 2,649,732 | |
4.134% 6/1/33 (f) | 150,086 | 150,414 | |
4.167% 1/1/35 (f) | 478,607 | 482,052 | |
4.25% 2/1/35 (f) | 239,964 | 242,232 | |
4.26% 10/1/33 (f) | 88,276 | 89,268 | |
4.301% 3/1/33 (f) | 125,188 | 125,229 | |
4.33% 1/1/35 (f) | 265,729 | 268,300 | |
4.338% 5/1/33 (f) | 53,403 | 53,404 | |
4.366% 2/1/34 (f) | 429,594 | 435,683 | |
4.384% 8/1/33 (f) | 317,175 | 318,500 | |
U.S. Government Agency - | |||
| Principal | Value | |
Fannie Mae - continued | |||
4.388% 2/1/35 (f) | $ 411,333 | $ 415,689 | |
4.419% 8/1/34 (f) | 607,625 | 615,426 | |
4.424% 5/1/35 (f) | 142,026 | 142,293 | |
4.429% 3/1/35 (f) | 343,480 | 346,761 | |
4.456% 1/1/35 (f) | 249,160 | 250,746 | |
4.48% 3/1/35 (f) | 816,926 | 824,287 | |
4.495% 3/1/35 (f) | 778,596 | 787,528 | |
4.497% 2/1/35 (f) | 3,080,659 | 3,115,963 | |
4.5% 4/1/18 to 10/1/35 | 104,075,576 | 99,807,732 | |
4.532% 7/1/35 (f) | 732,462 | 739,162 | |
4.548% 5/1/35 (f) | 563,752 | 570,224 | |
4.56% 11/1/34 (f) | 657,636 | 663,035 | |
4.561% 2/1/35 (f) | 2,437,959 | 2,468,504 | |
4.566% 7/1/35 (f) | 755,167 | 758,969 | |
4.577% 9/1/34 (f) | 664,721 | 672,467 | |
4.599% 10/1/35 (f) | 44,543 | 45,171 | |
4.601% 2/1/35 (f) | 631,481 | 638,836 | |
4.642% 2/1/35 (f) | 7,693,359 | 7,784,348 | |
4.658% 11/1/34 (f) | 815,990 | 826,291 | |
4.694% 10/1/34 (f) | 792,387 | 799,882 | |
4.7% 12/1/34 (f) | 505,479 | 510,558 | |
4.701% 5/1/35 (f) | 2,812,139 | 2,821,192 | |
4.705% 7/1/34 (f) | 654,085 | 662,289 | |
4.716% 5/1/35 (f) | 1,171,167 | 1,178,424 | |
4.749% 5/1/35 (f) | 3,088,941 | 3,106,752 | |
4.771% 12/1/34 (f) | 217,190 | 219,561 | |
4.787% 4/1/35 (f) | 76,209 | 76,574 | |
4.789% 6/1/33 (f) | 68,079 | 68,424 | |
4.8% 6/1/35 (f) | 901,515 | 912,415 | |
4.813% 11/1/34 (f) | 607,270 | 614,467 | |
4.849% 4/1/33 (f) | 29,850 | 29,983 | |
4.855% 10/1/34 (f) | 2,599,356 | 2,632,957 | |
4.885% 7/1/35 (f) | 2,681,142 | 2,703,758 | |
5% 10/1/17 to 2/1/38 | 201,044,749 | 195,968,430 | |
5.025% 7/1/34 (f) | 98,777 | 100,167 | |
5.026% 8/1/34 (f) | 150,151 | 151,602 | |
5.05% 9/1/34 (f) | 1,689,262 | 1,712,547 | |
5.131% 5/1/35 (f) | 801,270 | 810,121 | |
5.148% 5/1/35 (f) | 2,268,685 | 2,294,162 | |
5.154% 8/1/33 (f) | 263,222 | 266,206 | |
5.16% 6/1/35 (f) | 828,519 | 832,908 | |
5.197% 5/1/35 (f) | 2,689,226 | 2,721,260 | |
5.235% 5/1/36 (f) | 1,187,958 | 1,213,076 | |
5.253% 5/1/35 (f) | 157,385 | 158,536 | |
5.273% 3/1/35 (f) | 155,668 | 156,967 | |
5.291% 2/1/36 (f) | 2,924,396 | 2,969,961 | |
5.302% 12/1/35 (f) | 1,410,105 | 1,431,637 | |
5.302% 8/1/36 (f) | 3,498,026 | 3,546,878 | |
5.318% 4/1/36 (f) | 3,438,195 | 3,557,270 | |
| |||
| Principal | Value | |
5.333% 7/1/35 (f) | $ 85,834 | $ 86,789 | |
5.423% 3/1/35 (f) | 1,287,061 | 1,292,371 | |
5.464% 2/1/36 (f) | 4,255,734 | 4,326,792 | |
5.5% 6/1/09 to 11/1/37 | 278,611,982 | 276,537,471 | |
5.5% 7/1/38 (b) | 50,000,000 | 49,296,070 | |
5.513% 3/1/35 (f) | 53,911 | 54,374 | |
5.566% 9/1/36 (f) | 1,549,289 | 1,587,246 | |
5.584% 1/1/36 (f) | 1,253,424 | 1,276,108 | |
5.6% 10/1/35 (f) | 1,350,685 | 1,377,174 | |
5.616% 7/1/37 (f) | 814,991 | 831,876 | |
5.654% 9/1/35 (f) | 1,175,774 | 1,196,421 | |
5.787% 2/1/36 (f) | 705,535 | 720,778 | |
5.802% 1/1/36 (f) | 769,017 | 783,337 | |
5.967% 2/1/35 (f) | 60,536 | 61,550 | |
6% 6/1/14 to 2/1/38 (c) | 284,906,106 | 289,086,636 | |
6.03% 4/1/36 (f) | 613,777 | 628,784 | |
6.039% 1/1/35 (f) | 179,802 | 181,513 | |
6.103% 3/1/33 (f) | 92,996 | 93,922 | |
6.222% 2/1/35 (f) | 55,919 | 56,165 | |
6.234% 2/1/35 (f) | 139,054 | 139,949 | |
6.237% 2/1/35 (f) | 818,301 | 820,945 | |
6.251% 6/1/36 (f) | 290,786 | 297,160 | |
6.309% 4/1/36 (f) | 604,099 | 621,156 | |
6.5% 6/1/11 to 7/1/34 | 36,892,569 | 38,392,235 | |
6.5% 7/1/38 (b) | 75,000,000 | 77,152,793 | |
6.554% 9/1/36 (f) | 3,364,088 | 3,471,318 | |
7% 3/1/15 to 8/1/32 | 3,167,716 | 3,347,266 | |
7.5% 8/1/08 to 11/1/31 | 2,494,626 | 2,657,387 | |
8% 1/1/30 to 5/1/30 | 66,320 | 70,790 | |
8.5% 3/1/25 to 6/1/25 | 1,247 | 1,345 | |
TOTAL FANNIE MAE | 1,136,828,118 | ||
Freddie Mac - 3.3% | |||
3.431% 7/1/33 (f) | 5,031,695 | 5,053,399 | |
4% 2/1/20 | 3,235,823 | 3,092,498 | |
4.3% 12/1/34 (f) | 316,128 | 318,758 | |
4.33% 3/1/35 (f) | 534,185 | 538,299 | |
4.367% 2/1/35 (f) | 662,195 | 666,653 | |
4.406% 6/1/35 (f) | 322,539 | 321,867 | |
4.411% 3/1/35 (f) | 368,013 | 368,032 | |
4.417% 2/1/34 (f) | 239,445 | 240,463 | |
4.427% 3/1/35 (f) | 321,230 | 321,346 | |
4.5% 5/1/19 | 36,046 | 35,430 | |
4.541% 2/1/35 (f) | 619,513 | 620,809 | |
4.767% 10/1/34 (f) | 1,003,581 | 1,018,652 | |
4.816% 9/1/34 (f) | 468,984 | 476,098 | |
4.845% 4/1/35 (f) | 1,288,712 | 1,296,167 | |
5.135% 4/1/35 (f) | 1,485,291 | 1,498,409 | |
5.275% 3/1/36 (f) | 567,643 | 574,169 | |
5.37% 3/1/35 (f) | 206,000 | 208,359 | |
U.S. Government Agency - | |||
| Principal | Value | |
Freddie Mac - continued | |||
5.406% 11/1/35 (f) | $ 753,416 | $ 763,711 | |
5.524% 1/1/36 (f) | 1,922,479 | 1,950,491 | |
5.584% 2/1/35 (f) | 432,372 | 434,877 | |
5.749% 10/1/35 (f) | 516,740 | 525,442 | |
5.85% 6/1/36 (f) | 728,217 | 742,887 | |
5.854% 1/1/35 (f) | 434,893 | 438,573 | |
6% 4/1/32 to 11/1/37 | 36,245,252 | 36,758,877 | |
6% 7/1/38 (b) | 49,000,000 | 49,509,527 | |
6.011% 7/1/37 (f) | 3,658,717 | 3,741,996 | |
6.033% 6/1/36 (f) | 678,953 | 694,024 | |
6.078% 4/1/36 (f) | 1,105,063 | 1,129,961 | |
6.105% 6/1/36 (f) | 672,398 | 686,365 | |
6.425% 10/1/36 (f) | 3,448,032 | 3,546,059 | |
6.502% 3/1/33 (f) | 61,309 | 61,995 | |
6.615% 7/1/36 (f) | 4,752,971 | 4,894,647 | |
6.71% 8/1/36 (f) | 643,141 | 663,526 | |
7.5% 5/1/17 to 11/1/31 | 286,587 | 304,901 | |
8% 7/1/17 to 5/1/27 | 39,603 | 42,422 | |
8.5% 3/1/20 to 1/1/28 | 179,477 | 193,614 | |
TOTAL FREDDIE MAC | 123,733,303 | ||
Government National Mortgage Association - 1.1% | |||
3.75% 1/20/34 (f) | 1,406,298 | 1,386,023 | |
4.5% 2/20/37 (f) | 6,563,954 | 6,582,510 | |
5.25% 7/20/34 (f) | 388,445 | 389,802 | |
6% 12/15/08 to 11/15/34 | 12,422,210 | 12,685,801 | |
6.5% 11/15/08 to 11/15/35 | 12,331,559 | 12,850,538 | |
7% 1/15/28 to 11/15/32 | 5,331,413 | 5,636,451 | |
7.5% 4/15/22 to 10/15/28 | 1,236,783 | 1,319,951 | |
8% 2/15/17 to 11/15/30 | 142,430 | 153,558 | |
8.5% 12/15/16 to 3/15/30 | 35,048 | 38,140 | |
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 41,042,774 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,302,831,546) | 1,301,604,195 | ||
Asset-Backed Securities - 5.1% | |||
| |||
Accredited Mortgage Loan Trust: | |||
Series 2004-4 Class A2D, 2.8325% 1/25/35 (f) | 35,616 | 28,254 | |
Series 2005-1 Class M1, | 657,000 | 536,879 | |
| |||
| Principal | Value | |
ACE Securities Corp. Home Equity Loan Trust: | |||
Series 2003-HS1: | |||
Class M1, 3.2325% 6/25/33 (f) | $ 5,307 | $ 5,035 | |
Class M2, 4.2325% 6/25/33 (f) | 44,000 | 36,762 | |
Series 2004-HE1 Class M1, 2.9825% 2/25/34 (f) | 136,000 | 134,046 | |
Series 2004-OP1 Class M1, 3.0025% 4/25/34 (f) | 218,634 | 145,573 | |
Series 2005-HE1 Class M1, 2.9625% 2/25/35 (f) | 10,939 | 8,989 | |
Series 2005-HE2 Class M2, 2.9325% 4/25/35 (f) | 92,000 | 84,375 | |
Series 2005-HE6 Class A2B, 2.6825% 10/25/35 (f) | 20,058 | 19,990 | |
Series 2005-SD1 Class A1, 2.8825% 11/25/50 (f) | 145,405 | 116,415 | |
Advanta Business Card Master Trust: | |||
Series 2006-C1 Class C1, 2.9619% 10/20/14 (f) | 419,000 | 258,523 | |
Series 2007-A4 Class A4, 2.5119% 4/22/13 (f) | 1,536,000 | 1,467,600 | |
Series 2007-B1 Class B, 2.7319% 12/22/14 (f) | 887,000 | 637,764 | |
Airspeed Ltd. Series 2007-1A | 2,954,953 | 2,337,368 | |
ALG Student Loan Trust I Series 2006-1 Class A1, 3.2538% 10/28/18 (a)(f) | 516,724 | 514,383 | |
American Express Credit Account Master Trust Series 2004-C | 87,400 | 85,603 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2005-1 Class C, 4.73% 7/6/10 | 599,785 | 597,161 | |
Series 2006-1: | |||
Class A3, 5.11% 10/6/10 | 31,983 | 31,975 | |
Class B1, 5.2% 3/6/11 | 305,000 | 295,898 | |
Class C1, 5.28% 11/6/11 | 1,850,000 | 1,726,281 | |
Series 2008-AF Class A3, 6.07% 12/12/12 | 5,225,000 | 5,037,945 | |
Ameriquest Mortgage Securities, Inc.: | |||
Series 2003-10 Class M1, 3.1825% 12/25/33 (f) | 71,867 | 54,466 | |
Series 2004-R10 Class M1, 3.1825% 11/25/34 (f) | 239,000 | 171,181 | |
Series 2004-R11 Class M1, 3.1425% 11/25/34 (f) | 227,000 | 159,723 | |
Series 2004-R2: | |||
Class M1, 2.9125% | 90,000 | 64,616 | |
Asset-Backed Securities - continued | |||
| Principal | Value | |
Ameriquest Mortgage Securities, Inc.: - continued | |||
Series 2004-R2: | |||
Class M3, 3.0325% | $ 63,916 | $ 41,493 | |
Series 2005-R1 Class M1, 2.9325% 3/25/35 (f) | 332,000 | 234,119 | |
Series 2005-R10 Class A2B, 2.7025% 12/25/35 (f) | 364,575 | 314,218 | |
Series 2005-R2 Class M1, 2.9325% 4/25/35 (f) | 727,000 | 533,611 | |
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 2.8125% 6/25/32 (f) | 65,407 | 55,085 | |
Argent Securities, Inc.: | |||
Series 2003-W7 Class A2, 2.8725% 3/1/34 (f) | 16,878 | 13,476 | |
Series 2004-W11 Class M2, 3.1825% 11/25/34 (f) | 198,000 | 139,372 | |
Series 2004-W5 Class M1, 3.0825% 4/25/34 (f) | 2,679,000 | 2,008,781 | |
Series 2004-W7: | |||
Class M1, 3.0325% | 209,000 | 155,110 | |
Class M2, 3.0825% | 183,000 | 130,929 | |
Series 2006-W4 Class A2C, 2.6425% 5/25/36 (f) | 547,000 | 293,072 | |
Arran Funding Ltd. Series 2005-A Class C, 2.7913% 12/15/10 (f) | 1,370,000 | 1,323,968 | |
Asset Backed Funding Certificates Series 2005-HE1 Class M1, 2.9025% 12/25/34 (f) | 505,174 | 354,068 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2003-HE3 Class M1, 3.7163% 6/15/33 (f) | 92,933 | 73,624 | |
Series 2003-HE6 Class M1, 3.1325% 11/25/33 (f) | 189,000 | 145,670 | |
Series 2004-HE2 Class M1, 3.0325% 4/25/34 (f) | 940,000 | 646,348 | |
Series 2004-HE3: | |||
Class M1, 3.0225% | 83,000 | 57,509 | |
Class M2, 3.6025% | 180,095 | 132,609 | |
Series 2004-HE6 Class A2, 2.8425% 6/25/34 (f) | 146,710 | 110,812 | |
Series 2005-HE2 Class M1, 2.9325% 3/25/35 (f) | 371,445 | 298,660 | |
Series 2005-HE6 Class A2B, 2.7325% 7/25/35 (f) | 3,076 | 2,953 | |
Series 2005-HE8 Class M2, 2.9325% 11/25/35 (f) | 108,000 | 61,155 | |
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 2.5513% 3/15/12 (f) | 1,209,000 | 1,183,699 | |
| |||
| Principal | Value | |
Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.1125% 5/28/44 (f) | $ 144,930 | $ 122,284 | |
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.1575% 2/28/44 (f) | 252,075 | 201,424 | |
Bear Stearns Asset Backed | |||
Series 2005-3 Class A1, 2.9325% 9/25/35 (f) | 48,144 | 42,638 | |
Series 2005-FR1 Class M1, 2.9825% 6/25/35 (f) | 341,000 | 236,139 | |
Series 2005-HE2 Class M1, 2.9825% 2/25/35 (f) | 537,219 | 447,473 | |
Series 2007-AQ1 Class A1, 2.5925% 11/25/36 (f) | 594,639 | 527,835 | |
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 2.8144% 12/26/24 (f) | 809,141 | 773,773 | |
Capital Auto Receivables Asset Trust: | |||
Series 2005-1 Class B, 2.8463% 6/15/10 (f) | 337,000 | 335,420 | |
Series 2006-1: | |||
Class A3, 5.03% 10/15/09 | 338,387 | 339,562 | |
Class B, 5.26% 10/15/10 | 945,000 | 952,613 | |
Class C, 5.55% 1/18/11 | 5,965,000 | 6,013,691 | |
Class D, 7.16% 1/15/13 (a) | 645,000 | 648,344 | |
Series 2007-SN1: | |||
Class B, 5.52% 3/15/11 | 1,140,000 | 1,096,538 | |
Class C, 5.73% 3/15/11 | 660,000 | 610,294 | |
Class D, 6.05% 1/17/12 | 1,630,000 | 1,433,636 | |
Capital One Auto Finance Trust: | |||
Series 2004-B Class A4, 2.5813% 8/15/11 (f) | 328,176 | 314,171 | |
Series 2006-C Class A3B, 2.4813% 7/15/11 (f) | 313,756 | 301,696 | |
Series 2007-A Class A2, 5.33% 5/17/10 | 81,652 | 81,660 | |
Series 2007-B Class A2, 5.27% 6/15/10 | 215,718 | 215,654 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2004-6 Class B, 4.15% 7/16/12 | 4,465,000 | 4,366,632 | |
Series 2007-C3 Class C3, 2.7613% 4/15/13 (a)(f) | 1,024,000 | 917,920 | |
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 4,260,000 | 3,461,250 | |
Carrington Mortgage Loan Trust: | |||
Series 2006-FRE1 Class M1, 2.7825% 7/25/36 (f) | 402,000 | 68,491 | |
Series 2006-NC3 Class M10, 4.4825% 8/25/36 (a)(f) | 255,000 | 14,555 | |
Series 2007-RFC1 Class A3, 2.6225% 12/25/36 (f) | 635,000 | 409,674 | |
Asset-Backed Securities - continued | |||
| Principal | Value | |
Cendant Timeshare Receivables Funding LLC: | |||
Series 2005 1A Class 2A2, 2.6619% 5/20/17 (a)(f) | $ 125,298 | $ 104,865 | |
Series 2005-1A Class A1, 4.67% 5/20/17 (a) | 535,450 | 390,900 | |
Chase Issuance Trust: | |||
Series 2004-3 Class C, 2.9413% 6/15/12 (f) | 187,000 | 181,987 | |
Series 2008-9 Class A, 4.26% 5/15/13 | 2,000,000 | 1,986,920 | |
CIT Equipment Collateral Trust: | |||
Series 2006-VT1 Class A3, 5.13% 12/21/08 | 980,520 | 985,299 | |
Series 2006-VT2 Class D, 5.46% 4/20/14 | 224,608 | 206,640 | |
Citibank Credit Card Issuance Trust: | |||
Series 2005-B1 Class B1, 4.4% 9/15/10 | 5,120,000 | 5,133,139 | |
Series 2006-B2 Class B2, 5.15% 3/7/11 | 2,270,000 | 2,280,356 | |
Series 2007-B6 Class B6, 5.03% 11/8/12 | 7,680,000 | 7,484,851 | |
Citigroup Mortgage Loan Trust: | |||
Series 2003-HE4 Class A, 2.8925% 12/25/33 (a)(f) | 159,649 | 125,318 | |
Series 2007-AMC4 Class M1, 2.7525% 5/25/37 (f) | 270,000 | 65,057 | |
CNH Equipment Trust: | |||
Series 2006-A Class A3, 5.2% 8/16/10 | 1,169,872 | 1,175,527 | |
Series 2007-A Class A2, 5.09% 10/15/09 | 122,923 | 123,079 | |
CNH Wholesale Master Note Trust Series 2006-1A: | |||
Class A, 2.5313% 7/15/12 (a)(f) | 461,000 | 457,993 | |
Class B, 2.7513% 7/15/12 (a)(f) | 460,977 | 438,728 | |
Countrywide Home Loans, Inc.: | |||
Series 2002-6 Class AV1, 3.3425% 5/25/33 (f) | 20,816 | 17,056 | |
Series 2004-3: | |||
Class 3A4, 2.7325% 8/25/34 (f) | 69,913 | 54,335 | |
Class M1, 2.9825% | 233,000 | 201,239 | |
Class M4, 3.4525% | 60,189 | 40,336 | |
Series 2004-4: | |||
Class A, 2.8525% | 17,068 | 10,936 | |
Class M2, 3.0125% | 254,508 | 219,444 | |
Series 2005-1: | |||
Class M1, 2.9025% | 180,000 | 138,628 | |
Class MV2, 2.9225% 7/25/35 (f) | 498,000 | 433,790 | |
| |||
| Principal | Value | |
Series 2005-3 Class MV1, 2.9025% 8/25/35 (f) | $ 873,000 | $ 609,251 | |
Series 2005-AB1 Class A2, 2.6925% 8/25/35 (f) | 257,365 | 239,671 | |
CPS Auto Receivables Trust: | |||
Series 2004-D Class A2, 3.86% 12/15/11 (a) | 91,359 | 84,864 | |
Series 2006-C Class A2, 5.31% 3/15/10 (a) | 7,367 | 7,360 | |
Credit-Based Asset Servicing and Securitization Mortgage Loan Certificates Series 2006-SC1 | 404,145 | 311,066 | |
Credit-Based Asset Servicing and Securitization Trust Series 2006-CB7 Class A2, 2.5425% 10/25/36 (f) | 280,840 | 261,884 | |
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: | |||
Class B, 4.878% 6/15/35 (a) | 2,052,000 | 1,995,693 | |
Class C, 5.074% 6/15/35 (a) | 1,862,000 | 1,774,430 | |
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (a) | 840,000 | 722,793 | |
Discover Card Master Trust I: | |||
Series 2003-4 Class B1, 2.8013% 5/16/11 (f) | 446,000 | 440,806 | |
Series 2005-3 Class B, 2.6613% 5/15/11 (f) | 461,000 | 456,917 | |
Series 2006-1 Class B1, 2.6213% 8/16/11 (f) | 749,000 | 734,371 | |
Series 2006-2 Class B1, 2.5913% 1/17/12 (f) | 1,024,000 | 983,254 | |
Series 2007-1 Class B, 2.5713% 8/15/12 (f) | 1,024,000 | 936,858 | |
Drive Auto Receivables Trust Series 2006-2 Class A3, 5.33% 4/15/14 (a) | 4,995,000 | 4,671,321 | |
DriveTime Auto Owner Trust Series 2006-B Class A2, 5.32% 3/15/10 (a) | 168,737 | 167,841 | |
DT Auto Owner Trust Series 2007-A Class A3, 5.6% 3/15/13 (a) | 5,175,000 | 3,824,843 | |
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 3.5126% 5/28/35 (f) | 13,702 | 9,216 | |
Fieldstone Mortgage Investment Corp.: | |||
Series 2004-3 Class M5, 4.6575% 8/25/34 (f) | 102,000 | 55,274 | |
Series 2006-3 Class 2A3, 2.6425% 11/25/36 (f) | 1,585,000 | 822,466 | |
First Franklin Mortgage Loan Trust: | |||
Series 2004-FF2 Class M3, 3.3075% 3/25/34 (f) | 22,924 | 17,597 | |
Asset-Backed Securities - continued | |||
| Principal | Value | |
First Franklin Mortgage Loan Trust: - continued | |||
Series 2006-FF12 Class A2, 2.5225% 9/25/36 (f) | $ 377,053 | $ 351,484 | |
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) | 187,915 | 185,300 | |
Ford Credit Auto Owner Trust: | |||
Series 2006-A Class A3, 5.05% 11/15/09 | 833,060 | 838,008 | |
Series 2006-B Class D, 7.26% 2/15/13 (a) | 1,025,000 | 929,527 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2006-3: | |||
Class A, 2.6513% 6/15/11 (f) | 426,000 | 416,591 | |
Class B, 2.9213% 6/15/11 (f) | 713,000 | 663,440 | |
Series 2006-4 Class B, 3.0213% 6/15/13 (f) | 272,000 | 246,600 | |
Franklin Auto Trust Series 2007-1 Class A2, 5.14% 5/17/10 | 295,593 | 296,340 | |
Fremont Home Loan Trust: | |||
Series 2004-A Class M1, 3.3075% 1/25/34 (f) | 466,890 | 348,612 | |
Series 2005-A: | |||
Class M1, 2.9125% | 68,989 | 60,678 | |
Class M2, 2.9425% | 618,000 | 522,923 | |
Class M3, 2.9725% | 334,000 | 222,783 | |
Class M4, 3.1625% | 128,000 | 58,675 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3.0181% 9/25/30 (a)(f) | 829,000 | 663,200 | |
GE Business Loan Trust Series 2003-1 Class A, 2.9013% 4/15/31 (a)(f) | 135,836 | 112,757 | |
GE Capital Credit Card Master Note Trust: | |||
Series 2006-1: | |||
Class B, 2.5813% 9/17/12 (f) | 313,000 | 296,959 | |
Class C, 2.7113% 9/17/12 (f) | 244,000 | 222,421 | |
Series 2007-1 Class C, 2.7413% 3/15/13 (f) | 1,671,000 | 1,462,125 | |
Gracechurch Card Funding PLC: | |||
Series 11 Class C, 2.7513% 11/15/10 (f) | 1,178,000 | 1,157,197 | |
Series 9: | |||
Class B, 2.6213% 9/15/10 (f) | 207,000 | 205,586 | |
Class C, 2.7813% 9/15/10 (f) | 758,000 | 750,769 | |
GSAMP Trust: | |||
Series 2002-HE Class M1, 4.3569% 11/20/32 (f) | 252,718 | 206,974 | |
| |||
| Principal | Value | |
Series 2003-FM1 Class M1, 3.7119% 3/20/33 (f) | $ 457,009 | $ 370,555 | |
Series 2004-AR1: | |||
Class B4, 5% 6/25/34 (a)(f) | 270,974 | 81,292 | |
Class M1, 3.1325% 6/25/34 (f) | 772,000 | 494,599 | |
Series 2004-FM2 Class M1, 3.2325% 1/25/34 (f) | 407,551 | 315,598 | |
Series 2004-HE1 Class M1, 3.0325% 5/25/34 (f) | 201,734 | 153,317 | |
Series 2007-HE1 Class M1, 2.7325% 3/25/47 (f) | 289,000 | 66,831 | |
GSR Mortgage Loan Trust: | |||
Series 2004-OPT Class A1, 2.8225% 11/25/34 (f) | 5,588 | 4,137 | |
Series 2005-9 Class 2A1, 2.6025% 8/25/35 (f) | 28,285 | 27,785 | |
Series 2005-MTR1 Class A1, 2.6225% 10/25/35 (f) | 241,032 | 229,960 | |
Guggenheim Structured Real Estate Funding Ltd.: | |||
Series 2005-1 Class C, 3.5625% 5/25/30 (a)(f) | 232,504 | 169,728 | |
Series 2006-3 Class C, 3.0325% 9/25/46 (a)(f) | 538,000 | 312,040 | |
Helios Finance L.P. Series 2007-S1 Class B1, 3.1819% 10/20/14 (a)(f) | 1,241,000 | 830,601 | |
Holmes Master Issuer PLC: | |||
Series 2006-1A Class 2C, 3.1031% 7/15/40 (a)(f) | 215,000 | 194,399 | |
Series 2007-2A Class 1C, 2.9431% 7/15/40 (f) | 814,696 | 806,421 | |
Home Equity Asset Trust: | |||
Series 2002-3 Class A5, 3.3625% 2/25/33 (f) | 141 | 96 | |
Series 2003-3 Class M1, 3.7725% 8/25/33 (f) | 392,092 | 325,238 | |
Series 2003-4 Class M1, 3.6825% 10/25/33 (f) | 104,557 | 79,798 | |
Series 2003-5: | |||
Class A2, 3.1825% 12/25/33 (f) | 11,595 | 9,247 | |
Class M1, 3.5325% 12/25/33 (f) | 135,117 | 115,884 | |
Series 2003-7 Class A2, 2.8625% 3/25/34 (f) | 584 | 388 | |
Series 2003-8 Class M1, 3.5625% 4/25/34 (f) | 183,339 | 142,260 | |
Series 2004-3 Class M2, 3.6825% 8/25/34 (f) | 146,000 | 110,885 | |
Series 2004-7 Class A3, 2.8725% 1/25/35 (f) | 216 | 161 | |
Series 2005-1 Class M1, 2.9125% 5/25/35 (f) | 562,000 | 479,280 | |
Series 2005-3 Class M1, 2.8925% 8/25/35 (f) | 484,000 | 394,140 | |
Asset-Backed Securities - continued | |||
| Principal | Value | |
Home Equity Asset Trust: - continued | |||
Series 2005-5 Class 2A2, 2.7325% 11/25/35 (f) | $ 230,332 | $ 204,492 | |
Series 2006-1 Class 2A3, 2.7075% 4/25/36 (f) | 1,736,000 | 1,142,071 | |
Honda Auto Receivables Owner Trust Series 2008-1 Class A3, 4.47% 1/18/12 | 6,255,000 | 6,278,832 | |
Household Home Equity Loan Trust Series 2004-1 Class M, 3.0019% 9/20/33 (f) | 102,334 | 80,294 | |
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 2.6113% 6/15/12 (f) | 792,000 | 758,633 | |
HSBC Home Equity Loan Trust: | |||
Series 2005-2: | |||
Class M1, 2.9419% | 288,478 | 233,848 | |
Class M2, 2.9719% | 216,601 | 168,138 | |
Series 2005-3 Class A1, 2.7419% 1/20/35 (f) | 157,445 | 130,827 | |
Series 2006-2: | |||
Class M1, 2.7519% | 253,421 | 188,868 | |
Class M2, 2.7719% | 418,824 | 291,075 | |
Series 2006-3 Class A1V, 2.5619% 3/20/36 (f) | 507,765 | 492,532 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 2.6725% 1/25/37 (f) | 436,000 | 260,292 | |
Hyundai Auto Receivables Trust: | |||
Series 2004-1 Class A4, 5.26% 11/15/12 | 2,010,000 | 2,043,214 | |
Series 2006-1: | |||
Class A3, 5.13% 6/15/10 | 257,414 | 259,084 | |
Class B, 5.29% 11/15/12 | 236,488 | 239,821 | |
Class C, 5.34% 11/15/12 | 304,056 | 303,467 | |
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | |||
Class AV4, 2.6125% 11/25/36 (f) | 438,000 | 265,647 | |
Class MV1, 2.7125% 11/25/36 (f) | 356,000 | 74,475 | |
Keycorp Student Loan Trust: | |||
Series 1999-A Class A2, 2.985% 12/27/09 (f) | 418,048 | 412,435 | |
Series 2006-A Class 2A1, 2.8381% 9/27/21 (f) | 363,360 | 359,779 | |
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | |||
Class B, 4.13% 11/20/37 (a) | 3,860,000 | 3,242,400 | |
Class C, 4.13% 11/20/37 (a) | 3,760,000 | 3,008,000 | |
| |||
| Principal | Value | |
Long Beach Mortgage Loan Trust: | |||
Series 2003-2 Class M1, 3.7125% 6/25/33 (f) | $ 804,466 | $ 611,433 | |
Series 2004-2: | |||
Class M1, 3.0125% 6/25/34 (f) | 744,000 | 513,187 | |
Class M2, 3.5625% 6/25/34 (f) | 167,000 | 129,422 | |
Series 2006-1 Class 2A2, 2.6225% 2/25/36 (f) | 131,104 | 128,728 | |
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 2.6925% 5/25/47 (f) | 502,000 | 423,395 | |
MASTR Asset Backed Securities Trust Series 2006-AM3 Class M1, 2.7425% 10/25/36 (f) | 158,000 | 19,019 | |
MBNA Credit Card Master Note Trust: | |||
Series 2003-B3 Class B3, 2.8463% 1/18/11 (f) | 58,000 | 58,008 | |
Series 2003-B5 Class B5, 2.8413% 2/15/11 (f) | 36,000 | 35,996 | |
Series 2005-C3 Class C, 2.7413% 3/15/11 (f) | 1,135,000 | 1,124,182 | |
Meritage Mortgage Loan Trust Series 2004-1 Class M2, 3.3075% 7/25/34 (f) | 8,732 | 2,361 | |
Merna Reinsurance Ltd. Series 2007-1 Class B, 4.5506% 6/30/12 (a)(f) | 3,285,000 | 3,123,050 | |
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR1 Class A1, 2.6525% 2/25/37 (f) | 659,795 | 527,836 | |
Merrill Lynch Mortgage Investors Trust: | |||
Series 2003-HE1 Class M1, 3.1825% 7/25/34 (f) | 248,947 | 214,112 | |
Series 2003-OPT1 Class M1, 3.1325% 7/25/34 (f) | 71,824 | 63,065 | |
Series 2006-FM1 Class A2B, 2.5925% 4/25/37 (f) | 916,000 | 799,497 | |
Series 2006-HE3 Class A2, 2.5725% 6/25/37 (f) | 384,000 | 368,700 | |
Series 2006-OPT1 Class A1A, 2.7425% 6/25/35 (f) | 597,740 | 496,685 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2002-HE3 Class M1, 4.1325% 12/27/32 (f) | 16,986 | 12,470 | |
Series 2003-NC7 Class M1, 3.5325% 6/25/33 (f) | 205,944 | 157,053 | |
Series 2003-NC8 Class M1, 3.5325% 9/25/33 (f) | 156,079 | 114,477 | |
Series 2004-HE6 Class A2, 2.8225% 8/25/34 (f) | 20,187 | 13,158 | |
Series 2004-NC2 Class M1, 3.0325% 12/25/33 (f) | 362,538 | 264,659 | |
Series 2005-HE1 Class M2, 2.9525% 12/25/34 (f) | 172,000 | 130,020 | |
Asset-Backed Securities - continued | |||
| Principal | Value | |
Morgan Stanley ABS Capital I Trust: - continued | |||
Series 2005-HE2 Class M1, 2.8825% 1/25/35 (f) | $ 155,000 | $ 112,904 | |
Series 2005-NC1 Class M1, 2.9225% 1/25/35 (f) | 141,000 | 100,094 | |
Series 2007-HE2 Class A2A, 2.5225% 1/25/37 (f) | 64,017 | 58,336 | |
Series 2007-HE4 Class A2A, 2.5925% 2/25/37 (f) | 59,611 | 53,920 | |
Series 2007-NC3 Class A2A, 2.5425% 5/25/37 (f) | 28,119 | 27,249 | |
Morgan Stanley Dean Witter Capital I Trust: | |||
Series 2001-NC4 Class M1, 3.9825% 1/25/32 (f) | 23,503 | 23,323 | |
Series 2002-AM3 Class A3, 3.4625% 2/25/33 (f) | 36,132 | 27,844 | |
Series 2002-HE2 Class M1, 3.9825% 8/25/32 (f) | 262,208 | 191,604 | |
Series 2002-NC1 Class M1, 3.6825% 2/25/32 (a)(f) | 210,129 | 157,626 | |
Series 2002-NC3: | |||
Class A3, 3.1625% 8/25/32 (f) | 12,136 | 8,566 | |
Class M1, 3.5625% 8/25/32 (f) | 24,357 | 18,645 | |
Series 2003-NC1 Class M1, 4.0575% 11/25/32 (f) | 160,410 | 114,359 | |
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 2.5825% 4/25/37 (f) | 37,933 | 35,497 | |
National Collegiate Student Loan Trust: | |||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g) | 1,750,000 | 182,000 | |
Series 2006-3 Class A1, 2.5125% 9/25/19 (f) | 921,737 | 904,703 | |
Series 2006-4 Class A1, 2.5125% 3/25/25 (f) | 602,279 | 579,888 | |
New Century Home Equity Loan Trust: | |||
Series 2003-6 Class M1, 3.5625% 1/25/34 (f) | 428,525 | 321,430 | |
Series 2005-4 Class M2, 2.9925% 9/25/35 (f) | 503,000 | 389,883 | |
Series 2005-D Class M2, 2.9525% 2/25/36 (f) | 105,000 | 40,531 | |
Nissan Auto Lease Trust Series 2005-A Class A4, 2.5218% 8/15/11 (f) | 201,162 | 201,132 | |
Nomura Home Equity Loan Trust: | |||
Series 2006-AF1 Class A1, 6.032% 10/25/36 | 150,416 | 145,296 | |
Series 2006-HE2 Class A2, 2.6025% 3/25/36 (f) | 384,000 | 369,480 | |
| |||
| Principal | Value | |
Ocala Funding LLC Series 2006-1A Class A, 3.8819% 3/20/11 (a)(f) | $ 414,000 | $ 310,500 | |
Option One Mortgage Loan Trust Series 2004-3 Class M3, 3.1325% 11/25/34 (f) | 121,000 | 81,000 | |
Ownit Mortgage Loan Trust Series 2006-2 Class A2A, 2.5625% 1/25/37 (f) | 36,239 | 35,752 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M2, 3.1625% | 98,000 | 83,889 | |
Class M3, 3.7325% | 188,000 | 132,525 | |
Class M4, 3.9325% | 241,000 | 59,623 | |
Series 2004-WCW2 Class M3, 3.0325% 7/25/35 (f) | 141,000 | 70,500 | |
Series 2004-WHQ2 Class M1, 3.0725% 2/25/35 (f) | 410,000 | 265,026 | |
Series 2004-WWF1: | |||
Class M2, 3.1625% | 566,000 | 423,675 | |
Class M3, 3.2225% | 70,000 | 47,242 | |
Series 2005-WCH1: | |||
Class M2, 3.0025% | 1,972,000 | 1,404,176 | |
Class M3, 3.0425% | 168,000 | 103,083 | |
Class M4, 3.3125% | 520,000 | 303,353 | |
Series 2005-WHQ2 Class M7, 3.7325% 5/25/35 (f) | 1,081,000 | 120,640 | |
Pinnacle Capital Asset Trust Series 2006-A: | |||
Class B, 5.51% 9/25/09 (a) | 533,607 | 534,509 | |
Class C, 5.77% 5/25/10 (a) | 1,355,000 | 1,349,385 | |
Providian Master Note Trust: | |||
Series 2005-2 Class C2, 2.9713% 11/15/12 (a)(f) | 1,098,000 | 995,337 | |
Series 2006-B1A Class B1, 5.35% 3/15/13 (a) | 4,570,000 | 4,378,157 | |
Series 2006-C1A Class C1, 3.0213% 3/16/15 (a)(f) | 1,279,000 | 879,313 | |
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 2.5525% 2/25/37 (f) | 1,314,493 | 1,277,523 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 3.2825% 4/25/33 (f) | 1,796 | 1,371 | |
Santander Drive Auto Receivables Trust Series 2007-1 Class A2, 5.2% 12/15/10 | 295,393 | 295,080 | |
Asset-Backed Securities - continued | |||
| Principal | Value | |
Saxon Asset Securities Trust Series 2004-1 Class M1, 3.2775% 3/25/35 (f) | $ 666,000 | $ 476,299 | |
Sierra Receivables Funding Co. Series 2007-1A Class A2, 2.6319% 3/20/19 (a)(f) | 508,573 | 427,201 | |
SLC Student Loan Trust Series 2007-1 Class C, 2.8256% 8/15/35 (f) | 98,753 | 96,974 | |
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3.7263% 6/15/33 (f) | 448,000 | 358,400 | |
Sovereign Dealer Floor Plan Master LLC Series 2006-1: | |||
Class B, 2.6513% 8/15/11 (a)(f) | 609,000 | 548,849 | |
Class C, 2.8513% 8/15/11 (a)(f) | 278,000 | 237,607 | |
Specialty Underwriting & Residential Finance Trust: | |||
Series 2003-BC3 Class M2, 4.0825% 8/25/34 (f) | 110,643 | 83,078 | |
Series 2003-BC4 Class M1, 3.0825% 11/25/34 (f) | 685,000 | 438,371 | |
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 3.6325% 9/25/34 (f) | 123,000 | 92,679 | |
Structured Asset Securities Corp.: | |||
Series 2004-GEL1 Class A, 2.8425% 2/25/34 (f) | 48,282 | 36,385 | |
Series 2007-BC4 Class A3, 2.6425% 11/25/37 (f) | 7,973,087 | 7,593,320 | |
Superior Wholesale Inventory Financing Trust: | |||
Series 2004-A10: | |||
Class A, 2.5713% 9/15/11 (f) | 1,852,000 | 1,798,038 | |
Class B, 2.7513% 9/15/11 (f) | 1,385,000 | 1,272,954 | |
Series 2007-AE1: | |||
Class A, 2.5713% 1/15/12 (f) | 345,000 | 329,245 | |
Class B, 2.7713% 1/15/12 (f) | 300,000 | 270,000 | |
Class C, 3.0713% 1/15/12 (f) | 372,000 | 316,200 | |
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.9213% 3/15/11 (a)(f) | 5,380,000 | 5,351,314 | |
Swift Master Auto Receivables Trust Series 2007-1: | |||
Class A, 2.5713% 6/15/12 (f) | 1,012,000 | 966,229 | |
Class B, 2.6913% 6/15/12 (f) | 2,515,000 | 2,091,726 | |
Class C, 2.9713% 6/15/12 (f) | 1,500,000 | 1,144,950 | |
Terwin Mortgage Trust: | |||
Series 2003-4HE Class A1, 2.9125% 9/25/34 (f) | 10,148 | 7,502 | |
Series 2003-6HE Class A1, 2.9525% 11/25/33 (f) | 12,837 | 10,008 | |
| |||
| Principal | Value | |
Turquoise Card Backed Securities PLC: | |||
Series 2006-1A Class C, 2.8113% 5/16/11 (a)(f) | $ 997,000 | $ 937,180 | |
Series 2006-2: | |||
Class B, 2.6213% | 1,206,000 | 1,121,392 | |
Class C, 2.8213% | 1,133,000 | 1,015,628 | |
Series 2007-1 Class C, 2.8513% 6/15/12 (f) | 1,292,000 | 1,096,585 | |
Wachovia Auto Loan Owner Trust Series 2006-2A Class A4, 5.23% 3/20/12 (a) | 4,000,000 | 4,027,342 | |
Wachovia Bank Commercial Mortgage Trust Series 2007-WHL8 Class LXR2, 3.2713% 6/15/20 (a)(f) | 713,442 | 570,754 | |
WaMu Master Note Trust: | |||
Series 2006-A3A Class A3, 2.5013% 9/16/13 (a)(f) | 1,935,000 | 1,829,181 | |
Series 2006-C2A Class C2, 2.9713% 8/15/15 (a)(f) | 2,465,000 | 1,600,168 | |
Series 2006-C3A Class C3A, 2.8513% 10/15/13 (a)(f) | 1,725,000 | 1,470,625 | |
Series 2007-C1 Class C1, 2.8713% 5/15/14 (a)(f) | 1,501,000 | 1,153,368 | |
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% | 29,204 | 28,839 | |
Whinstone Capital Management Ltd. Series 1A Class B3, 3.82% 10/25/44 (a)(f) | 630,180 | 441,126 | |
World Omni Auto Receivables Trust: | |||
Series 2006-A Class A3, 5.01% 10/15/10 | 697,070 | 701,048 | |
Series 2007-B Class A2B, 2.7913% 2/16/10 (f) | 148,773 | 148,811 | |
TOTAL ASSET-BACKED SECURITIES (Cost $198,801,553) | 191,192,383 | ||
Collateralized Mortgage Obligations - 5.8% | |||
| |||
Private Sponsor - 2.9% | |||
Arkle Master Issuer PLC floater: | |||
Series 2006-1A Class 3C, 3.1088% 2/17/52 (a)(f) | 236,000 | 214,391 | |
Series 2006-2A: | |||
Class 2B, 2.8388% 2/17/52 (a)(f) | 830,000 | 773,975 | |
Class 2C, 3.0988% 2/17/52 (a)(f) | 1,014,000 | 915,034 | |
Class 2M, 2.9188% 2/17/52 (a)(f) | 564,000 | 521,171 | |
Collateralized Mortgage Obligations - continued | |||
| Principal | Value | |
Private Sponsor - continued | |||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 3.14% 4/12/56 (a)(f) | $ 582,000 | $ 499,414 | |
Banc of America Commercial Mortgage Trust Series 2007-2: | |||
Class B, 5.6985% 4/10/49 (f) | 485,000 | 354,894 | |
Class C, 5.6985% 4/10/49 (f) | 1,290,000 | 929,446 | |
Class D, 5.6985% 4/10/49 (f) | 650,000 | 444,692 | |
Banc of America Mortgage Securities, Inc.: | |||
Series 2003-K Class 1A1, 7.1078% 12/25/33 (f) | 30,153 | 29,395 | |
Series 2004-B Class 1A1, 6.4142% 3/25/34 (f) | 31,103 | 29,585 | |
Series 2004-C Class 1A1, 5.9072% 4/25/34 (f) | 56,927 | 55,452 | |
Series 2004-J Class 2A1, 4.7583% 11/25/34 (f) | 1,554,364 | 1,528,708 | |
Series 2005-E Class 2A7, 4.6122% 6/25/35 (f) | 2,680,000 | 2,211,546 | |
Bear Stearns Alt-A Trust floater: | |||
Series 2005-1 Class A1, 2.7625% 1/25/35 (f) | 1,257,629 | 855,188 | |
Series 2005-2 Class 1A1, 2.7325% 3/25/35 (f) | 234,031 | 163,897 | |
Series 2005-5 Class 1A1, 2.7025% 7/25/35 (f) | 296,084 | 227,079 | |
Chase Mortgage Finance Trust: | |||
Series 2007-A1 Class 1A5, 4.354% 2/25/37 (f) | 915,410 | 907,436 | |
Series 2007-A2: | |||
Class 2A1, 4.2383% 7/25/37 (f) | 471,219 | 461,744 | |
Class 3A1, 4.5646% 7/25/37 (f) | 7,442,809 | 7,369,274 | |
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.095% 12/10/49 (f) | 7,310,000 | 7,422,338 | |
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 4.3946% 8/25/34 (f) | 3,976,063 | 3,810,359 | |
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 2.8825% 5/25/33 (f) | 42,950 | 42,271 | |
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | |||
Series 2004-1 Class 9A2, 2.8825% 1/25/34 (f) | 29,734 | 25,771 | |
Series 2004-2 Class 7A3, 2.8825% 2/25/35 (f) | 57,123 | 48,290 | |
Series 2004-4 Class 5A2, 2.8825% 3/25/35 (f) | 16,263 | 12,788 | |
Series 2005-1 Class 5A2, 2.8125% 5/25/35 (f) | 220,166 | 157,936 | |
| |||
| Principal | Value | |
Series 2005-10: | |||
Class 5A1, 2.7425% 1/25/36 (f) | $ 303,230 | $ 240,006 | |
Class 5A2, 2.8025% 1/25/36 (f) | 136,611 | 85,401 | |
Series 2005-2: | |||
Class 6A2, 2.7625% 6/25/35 (f) | 55,410 | 41,565 | |
Class 6M2, 2.9625% 6/25/35 (f) | 519,000 | 223,170 | |
Series 2005-3 Class 8A2, 2.7225% 7/25/35 (f) | 230,958 | 168,214 | |
Series 2005-4 Class 7A2, 2.7125% 8/25/35 (f) | 75,466 | 56,935 | |
Series 2005-8 Class 7A2, 2.7625% 11/25/35 (f) | 178,847 | 136,206 | |
Credit Suisse First Boston Mortgage Securities Corp. floater: | |||
Series 2004-AR2 Class 6A1, 2.8825% 3/25/34 (f) | 960 | 897 | |
Series 2004-AR3 Class 6A2, 3.2225% 4/25/34 (f) | 6,936 | 5,323 | |
Series 2004-AR4 Class 5A2, 3.2225% 5/25/34 (f) | 10,113 | 9,481 | |
Series 2004-AR5 Class 11A2, 3.2225% 6/25/34 (f) | 15,700 | 14,878 | |
Series 2004-AR6 Class 9A2, 3.2225% 10/25/34 (f) | 66,940 | 64,129 | |
Series 2004-AR7 Class 6A2, 2.8625% 8/25/34 (f) | 23,693 | 21,660 | |
Series 2004-AR8 Class 8A2, 2.8625% 9/25/34 (f) | 16,960 | 15,120 | |
Series 2007-AR7 Class 2A1, 4.626% 11/25/34 (f) | 1,621,418 | 1,540,646 | |
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 2.6425% 3/25/37 (f) | 1,210,000 | 768,470 | |
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 2.5725% 9/19/36 (f) | 339,765 | 313,728 | |
DT Auto Owner Trust sequential payer Series 2007-A Class A2, 5.53% 8/15/10 (a) | 641,946 | 630,311 | |
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 | 20,558 | 17,652 | |
Fosse Master Issuer PLC floater Series 2006-1A: | |||
Class A1, 2.5113% 10/18/31 (a)(f) | 47,444 | 47,383 | |
Class B1, 2.8238% 10/18/54 (a)(f) | 436,000 | 434,736 | |
Class B2, 2.8938% 10/18/54 (a)(f) | 1,007,000 | 861,614 | |
Class C2, 3.2038% 10/18/54 (a)(f) | 337,000 | 264,545 | |
Collateralized Mortgage Obligations - continued | |||
| Principal | Value | |
Private Sponsor - continued | |||
Fosse Master Issuer PLC floater Series 2006-1A: - continued | |||
Class M1, 2.9038% 10/18/54 (a)(f) | $ 252,000 | $ 248,929 | |
Class M2, 2.9838% 10/18/54 (a)(f) | 579,000 | 497,216 | |
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 3.165% 11/20/56 (a)(f) | 863,000 | 667,833 | |
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 3.1856% 10/11/41 (a)(f) | 1,097,000 | 877,765 | |
Granite Master Issuer PLC floater: | |||
Series 2005-1 Class A4, 2.9025% 12/20/54 (f) | 2,101,016 | 2,059,863 | |
Series 2005-4 Class A3, 2.765% 12/20/54 (f) | 314,754 | 313,697 | |
Series 2006-1A: | |||
Class A5, 2.765% 12/20/54 (a)(f) | 376,525 | 370,535 | |
Class C2, 3.295% 12/20/54 (a)(f) | 2,117,000 | 1,400,184 | |
Series 2006-2 Class C1, 3.2875% 12/20/54 (f) | 1,885,000 | 1,084,064 | |
Series 2006-3 Class C2, 3.3175% 12/20/54 (f) | 396,000 | 207,860 | |
Series 2006-4: | |||
Class B1, 2.8925% 12/20/54 (f) | 1,059,000 | 988,121 | |
Class C1, 3.1825% 12/20/54 (f) | 647,000 | 549,950 | |
Class M1, 2.9725% 12/20/54 (f) | 279,000 | 254,576 | |
Series 2007-1: | |||
Class 1C1, 3.1025% 12/20/54 (f) | 654,000 | 576,763 | |
Class 1M1, 2.9525% 12/20/54 (f) | 425,000 | 387,770 | |
Class 2C1, 3.2325% 12/20/54 (f) | 298,000 | 196,501 | |
Class 2M1, 3.0525% 12/20/54 (f) | 546,000 | 420,966 | |
Series 2007-2 Class 2C1, 3.1459% 12/17/54 (f) | 757,000 | 494,997 | |
Granite Mortgages PLC floater: | |||
Series 2003-3 Class 1C, 4.2675% 1/20/44 (f) | 169,476 | 154,529 | |
Series 2004-3 Class 2A1, 2.9425% 9/20/44 (f) | 288,666 | 283,420 | |
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8347% 4/25/35 (f) | 1,599,308 | 1,571,749 | |
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 2.7025% 5/19/35 (f) | 163,126 | 123,558 | |
| |||
| Principal | Value | |
Holmes Financing No. 10 PLC floater Series 10A Class 2C, 4.6075% 7/15/40 (a)(f) | $ 525,000 | $ 524,517 | |
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 2.6125% 4/25/37 (f) | 766,962 | 704,047 | |
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 2.9325% 10/25/34 (f) | 60,761 | 50,268 | |
Impac CMB Trust floater: | |||
Series 2004-11 Class 2A2, 2.8525% 3/25/35 (f) | 102,716 | 79,376 | |
Series 2005-1: | |||
Class M4, 3.2325% | 12,087 | 2,417 | |
Class M5, 3.2525% | 12,087 | 2,901 | |
Class M6, 3.3025% | 19,444 | 4,278 | |
Series 2005-3 Class A1, 2.7225% 8/25/35 (f) | 239,255 | 179,671 | |
Series 2005-4 Class 1B1, 3.7825% 5/25/35 (f) | 76,314 | 9,539 | |
Series 2005-6 Class 1M3, 3.0925% 10/25/35 (f) | 67,822 | 6,782 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (f) | 6,185,000 | 5,953,681 | |
JPMorgan Mortgage Trust: | |||
Series 2006-A2 Class 5A1, 3.7571% 11/25/33 (f) | 2,333,871 | 2,296,822 | |
Series 2006-A3 Class 6A1, 3.7638% 8/25/34 (f) | 2,423,782 | 2,354,695 | |
Series 2007-A1: | |||
Class 1A1, 4.2001% 7/25/35 (f) | 777,655 | 763,724 | |
Class 3A2, 5.0048% 7/25/35 (f) | 8,283,955 | 8,134,499 | |
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 2.8719% 9/26/45 (a)(f) | 204,180 | 102,090 | |
MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 | 31,247 | 22,601 | |
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 407,940 | 392,132 | |
MASTR Asset Backed Securities Trust floater Series 2007-HE1 Class M1, 2.7825% 5/25/37 (f) | 249,000 | 55,714 | |
Merrill Lynch Floating Trust floater Series 2006-1: | |||
Class C, 2.6613% 6/15/22 (a)(f) | 449,000 | 423,272 | |
Class D, 2.6713% 6/15/22 (a)(f) | 173,000 | 163,135 | |
Class E, 2.6813% 6/15/22 (a)(f) | 276,000 | 249,381 | |
Class F, 2.7113% 6/15/22 (a)(f) | 498,000 | 428,280 | |
Class G, 2.7813% | 103,000 | 89,337 | |
Collateralized Mortgage Obligations - continued | |||
| Principal | Value | |
Private Sponsor - continued | |||
Merrill Lynch Floating Trust floater Series 2006-1: - continued | |||
Class H, 2.8013% 6/15/22 (a)(f) | $ 207,000 | $ 176,228 | |
Class J, 2.8413% 6/15/22 (a)(f) | 242,000 | 201,827 | |
Merrill Lynch Mortgage Investors Trust floater: | |||
Series 2003-A Class 2A1, 2.8725% 3/25/28 (f) | 84,972 | 77,500 | |
Series 2003-B Class A1, 2.8225% 4/25/28 (f) | 90,104 | 81,870 | |
Series 2003-D Class A, 2.7925% 8/25/28 (f) | 77,461 | 76,812 | |
Series 2003-E Class A2, 3.4006% 10/25/28 (f) | 126,988 | 123,650 | |
Series 2003-F Class A2, 5.7613% 10/25/28 (f) | 119,970 | 111,795 | |
Series 2004-A Class A2, 2.7475% 4/25/29 (f) | 115,554 | 105,871 | |
Series 2004-B Class A2, 5.125% 6/25/29 (f) | 99,956 | 96,784 | |
Series 2004-C Class A2, 5.155% 7/25/29 (f) | 107,471 | 101,797 | |
Series 2004-D Class A2, 2.8575% 9/25/29 (f) | 93,390 | 83,757 | |
Series 2004-E: | |||
Class A2B, 2.8575% 11/25/29 (f) | 213,403 | 190,952 | |
Class A2D, 3.0475% 11/25/29 (f) | 30,983 | 27,968 | |
Series 2004-G Class A2, 3.48% 11/25/29 (f) | 96,593 | 88,352 | |
Series 2005-A Class A2, 3.3206% 2/25/30 (f) | 98,702 | 93,653 | |
Series 2005-B Class A2, 3.0388% 7/25/30 (f) | 293,541 | 267,848 | |
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (f) | 4,570,000 | 4,395,297 | |
MortgageIT Trust floater: | |||
Series 2004-2: | |||
Class A1, 2.8525% 12/25/34 (f) | 110,786 | 102,666 | |
Class A2, 2.9325% 12/25/34 (f) | 150,185 | 141,099 | |
Series 2005-2 Class 1A1, 2.7425% 5/25/35 (f) | 125,007 | 108,854 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 2.7725% 7/25/35 (f) | 1,264,056 | 861,899 | |
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 2.7825% 3/25/37 (f) | 861,000 | 172,523 | |
Permanent Financing No. 8 PLC floater Class 3C, 3.2156% 6/10/42 (f) | 723,000 | 649,135 | |
| |||
| Principal | Value | |
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 3.1131% 7/17/42 (f) | $ 909,000 | $ 826,026 | |
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8243% 10/25/35 (f) | 2,314,343 | 2,249,548 | |
RESI Finance LP/RESI Finance DE Corp. floater: | |||
Series 2003-B Class B5, 4.7994% 7/10/35 (a)(f) | 545,902 | 526,795 | |
Series 2003-CB1: | |||
Class B3, 3.8994% 6/10/35 (a)(f) | 518,996 | 461,907 | |
Class B4, 4.0994% 6/10/35 (a)(f) | 997,375 | 813,631 | |
Class B5, 4.6994% 6/10/35 (a)(f) | 681,465 | 547,654 | |
Class B6, 5.1994% 6/10/35 (a)(f) | 401,658 | 316,310 | |
Series 2004-A: | |||
Class B4, 3.6494% 2/10/36 (a)(f) | 285,982 | 281,812 | |
Class B5, 4.1494% 2/10/36 (a)(f) | 190,965 | 167,449 | |
Series 2004-B Class B4, 3.5494% 2/10/36 (a)(f) | 124,040 | 83,582 | |
Series 2004-C: | |||
Class B4, 3.3994% 9/10/36 (a)(f) | 159,440 | 117,025 | |
Class B5, 3.7994% 9/10/36 (a)(f) | 178,308 | 127,142 | |
Residential Accredit Loans, Inc. floater Series 2006-QO7 | 739,266 | 620,983 | |
Residential Asset Mortgage | |||
sequential payer: | |||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 98,809 | 95,321 | |
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 183,832 | 174,014 | |
Series 2005-AR5 Class 1A1, 4.771% 9/19/35 (f) | 111,455 | 108,861 | |
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 2.9325% 6/25/33 (a)(f) | 122,926 | 95,786 | |
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 2.5825% 2/25/36 (a)(f) | 94,788 | 92,611 | |
Securitized Asset Backed Receivables LLC Trust floater Series 2006-FR3 Class A1, 2.5325% 5/25/36 (f) | 13,742 | 13,619 | |
Sequoia Mortgage Trust floater: | |||
Series 2003-5 Class A2, 4.1413% 9/20/33 (f) | 175,373 | 162,096 | |
Series 2004-1 Class A, 4.1113% 2/20/34 (f) | 61,133 | 57,116 | |
Collateralized Mortgage Obligations - continued | |||
| Principal | Value | |
Private Sponsor - continued | |||
Sequoia Mortgage Trust floater: - continued | |||
Series 2004-10 Class A4, 4.0938% 11/20/34 (f) | $ 85,697 | $ 80,689 | |
Series 2004-12 Class 1A2, 5.115% 1/20/35 (f) | 279,087 | 249,518 | |
Series 2004-3 Class A, 4.0613% 5/20/34 (f) | 86,872 | 82,438 | |
Series 2004-4 Class A, 4.0713% 5/20/34 (f) | 332,150 | 299,427 | |
Series 2004-5 Class A3, 3.4725% 6/20/34 (f) | 124,122 | 116,311 | |
Series 2004-6: | |||
Class A3A, 3.4913% 6/20/35 (f) | 95,128 | 84,919 | |
Class A3B, 4.2513% 7/20/34 (f) | 18,153 | 15,482 | |
Series 2004-7: | |||
Class A3A, 4.1363% 8/20/34 (f) | 103,430 | 93,283 | |
Class A3B, 4.3613% 7/20/34 (f) | 12,722 | 11,412 | |
Series 2004-8 Class A2, 3.35% 9/20/34 (f) | 240,563 | 221,286 | |
Series 2005-1 Class A2, 4.0613% 2/20/35 (f) | 159,504 | 124,384 | |
Series 2005-2 Class A2, 3.23% 3/20/35 (f) | 216,128 | 156,004 | |
Series 2005-3 Class A1, 2.6819% 5/20/35 (f) | 101,979 | 90,479 | |
Structured Asset Securities Corp. floater: | |||
Series 2004-NP1 Class A, 2.8825% 9/25/33 (a)(f) | 37,710 | 34,253 | |
Series 2007-GEL1 Class A2, 2.6725% 1/25/37 (a)(f) | 461,000 | 275,217 | |
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 2.8025% 9/25/36 (f) | 1,153,000 | 784,040 | |
Thornburg Mortgage Securities Trust floater Series 2005-3 Class A2, 2.7225% 10/25/35 (f) | 422,761 | 421,317 | |
WaMu Mortgage pass-thru certificates floater: | |||
Series 2006-AR11 Class C1B1, 2.5625% 9/25/46 (f) | 110,678 | 107,254 | |
Series 2006-AR7 Class C1B1, 2.5425% 7/25/46 (f) | 64,749 | 61,898 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2005-AR10 Class 2A2, 4.1094% 6/25/35 (f) | 3,774,769 | 3,633,793 | |
Series 2005-AR12 Class 2A6, 4.3284% 7/25/35 (f) | 5,978,638 | 5,702,931 | |
| |||
| Principal | Value | |
Series 2005-AR3 Class 2A1, 4.2065% 3/25/35 (f) | $ 758,656 | $ 737,638 | |
Series 2005-AR4 Class 2A2, 4.5229% 4/25/35 (f) | 3,158,819 | 3,094,518 | |
TOTAL PRIVATE SPONSOR | 105,454,065 | ||
U.S. Government Agency - 2.9% | |||
Fannie Mae planned amortization class: | |||
Series 1999-54 Class PH, 6.5% 11/18/29 | 3,178,271 | 3,275,858 | |
Series 1999-57 Class PH, 6.5% 12/25/29 | 2,230,846 | 2,308,837 | |
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 2.7325% 10/25/35 (f) | 2,396,264 | 2,344,387 | |
Fannie Mae subordinate REMIC pass-thru certificates: | |||
planned amortization class: | |||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 2,554,533 | 2,584,294 | |
Series 2002-9 Class PC, 6% 3/25/17 | 404,436 | 412,467 | |
Series 2004-81: | |||
Class KC, 4.5% 4/25/17 | 11,215,000 | 11,268,156 | |
Class KD, 4.5% 7/25/18 | 2,625,000 | 2,586,594 | |
sequential payer: | |||
Series 2004-3 Class BA, 4% 7/25/17 | 183,101 | 181,159 | |
Series 2004-86 Class KC, 4.5% 5/25/19 | 851,865 | 838,001 | |
Series 2004-91 Class AH, 4.5% 5/25/29 | 1,833,836 | 1,795,679 | |
Freddie Mac Multi-class participation certificates guaranteed: | |||
planned amortization class: | |||
Series 2500 Class TE, 5.5% 9/15/17 | 10,275,186 | 10,399,277 | |
Series 2677 Class LD, 4.5% 3/15/17 | 8,800,218 | 8,714,551 | |
Series 2695 Class GC, 4.5% 11/15/18 | 7,215,000 | 7,183,038 | |
Series 2702 Class WB, 5% 4/15/17 | 2,643,874 | 2,664,103 | |
Series 2770 Class UD, 4.5% 5/15/17 | 7,473,000 | 7,388,931 | |
Series 2885 Class PC, 4.5% 3/15/18 | 2,560,000 | 2,559,998 | |
Series 3033 Class UD, 5.5% 10/15/30 | 1,910,000 | 1,931,987 | |
Series 3049 Class DB, 5.5% 6/15/31 | 4,440,000 | 4,489,921 | |
Series 3117 Class PC, 5% 6/15/31 | 20,000,000 | 19,930,626 | |
Collateralized Mortgage Obligations - continued | |||
| Principal | Value | |
U.S. Government Agency - continued | |||
Freddie Mac Multi-class participation certificates guaranteed: - continued | |||
sequential payer: | |||
Series 2508 Class CK, 5% 10/15/17 | $ 10,000,000 | $ 10,008,746 | |
Series 2528 Class HN, 5% 11/15/17 | 3,195,000 | 3,189,820 | |
Series 2750 Class ZT, 5% 2/15/34 | 2,408,260 | 2,103,189 | |
Ginnie Mae guaranteed REMIC | 251,193 | 314,193 | |
TOTAL U.S. GOVERNMENT AGENCY | 108,473,812 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $215,025,816) | 213,927,877 | ||
Commercial Mortgage Securities - 9.0% | |||
| |||
Asset Securitization Corp. Series 1997-D5: | |||
Class A2, 6.814% 2/14/43 (f) | 1,435,000 | 1,504,544 | |
Class A3, 6.864% 2/14/43 (f) | 1,545,000 | 1,615,185 | |
Banc of America Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2006-2 Class AAB, 5.7218% 5/10/45 (f) | 2,100,000 | 2,062,466 | |
Series 2006-5: | |||
Class A2, 5.317% 10/10/11 | 8,745,000 | 8,619,803 | |
Class A3, 5.39% 2/10/14 | 1,985,000 | 1,905,314 | |
Series 2007-2 Class A1, 5.421% 1/10/12 | 2,084,171 | 2,076,186 | |
Series 2007-3 Class A3, 5.6585% 6/10/49 (f) | 6,100,000 | 5,981,050 | |
Banc of America Commercial Mortgage, Inc.: | |||
sequential payer: | |||
Series 2005-1 Class A3, 4.877% 11/10/42 | 3,372,516 | 3,367,663 | |
Series 2007-1 Class A2, 5.381% 1/15/49 | 1,545,000 | 1,509,813 | |
Series 2001-3 Class H, 6.562% 4/11/37 (a) | 4,889,139 | 4,875,931 | |
Banc of America Large Loan, Inc. floater: | |||
Series 2005-MIB1: | |||
Class F, 2.9413% | 217,000 | 184,450 | |
| |||
| Principal | Value | |
Class G, 3.0013% 3/15/22 (a)(f) | $ 141,000 | $ 118,440 | |
Series 2006-BIX1: | |||
Class F, 2.7813% 10/15/19 (a)(f) | 558,000 | 491,040 | |
Class G, 2.8013% 10/15/19 (a)(f) | 380,000 | 321,100 | |
Bayview Commercial Asset Trust: | |||
floater: | |||
Series 2003-2 Class A, 3.0625% 12/25/33 (a)(f) | 253,215 | 229,287 | |
Series 2004-1: | |||
Class A, 2.8425% 4/25/34 (a)(f) | 752,197 | 661,934 | |
Class B, 4.3825% 4/25/34 (a)(f) | 59,112 | 35,467 | |
Class M1, 3.0425% 4/25/34 (a)(f) | 48,166 | 39,255 | |
Class M2, 3.6825% 4/25/34 (a)(f) | 43,161 | 32,587 | |
Series 2004-2: | |||
Class A, 2.9125% 8/25/34 (a)(f) | 724,124 | 640,850 | |
Class M1, 3.0625% 8/25/34 (a)(f) | 94,559 | 78,484 | |
Series 2004-3: | |||
Class A1, 2.8525% 1/25/35 (a)(f) | 1,061,886 | 939,769 | |
Class A2, 2.9025% 1/25/35 (a)(f) | 138,224 | 118,873 | |
Class M1, 2.9825% 1/25/35 (a)(f) | 141,476 | 113,181 | |
Class M2, 3.4825% 1/25/35 (a)(f) | 91,472 | 68,604 | |
Series 2005-2A: | |||
Class A1, 2.7925% 8/25/35 (a)(f) | 608,874 | 548,169 | |
Class M1, 2.9125% 8/25/35 (a)(f) | 45,146 | 34,356 | |
Class M2, 2.9625% 8/25/35 (a)(f) | 74,253 | 53,091 | |
Class M3, 2.9825% 8/25/35 (a)(f) | 40,988 | 30,360 | |
Class M4, 3.0925% 8/25/35 (a)(f) | 38,017 | 27,160 | |
Series 2005-3A: | |||
Class A1, 2.8025% 11/25/35 (a)(f) | 322,623 | 287,522 | |
Class A2, 2.8825% 11/25/35 (a)(f) | 209,050 | 168,285 | |
Series 2005-4A: | |||
Class A2, 2.8725% 1/25/36 (a)(f) | 1,206,140 | 958,881 | |
Class M1, 2.9325% 1/25/36 (a)(f) | 252,366 | 190,831 | |
Class M2, 2.9525% 1/25/36 (a)(f) | 76,133 | 55,331 | |
Commercial Mortgage Securities - continued | |||
| Principal | Value | |
Bayview Commercial Asset Trust: - continued | |||
Series 2005-4A: | |||
Class M3, 2.9825% 1/25/36 (a)(f) | $ 110,674 | $ 77,454 | |
Series 2006-1 Class A2, 2.8425% 4/25/36 (a)(f) | 119,278 | 104,451 | |
Series 2006-2A: | |||
Class A1, 2.7125% 7/25/36 (a)(f) | 1,153,832 | 1,017,564 | |
Class A2, 2.7625% 7/25/36 (a)(f) | 104,150 | 91,891 | |
Class M1, 2.7925% 7/25/36 (a)(f) | 109,357 | 80,181 | |
Class M2, 2.8125% 7/25/36 (a)(f) | 77,368 | 55,512 | |
Class M6, 3.0225% 7/25/36 (a)(f) | 78,856 | 50,720 | |
Series 2006-3A: | |||
Class M5, 2.9625% 10/25/36 (a)(f) | 88,299 | 55,408 | |
Class M6, 3.0425% 10/25/36 (a)(f) | 172,433 | 101,735 | |
Series 2006-4A: | |||
Class A1, 2.7125% 12/25/36 (a)(f) | 639,497 | 568,539 | |
Class A2, 2.7525% 12/25/36 (a)(f) | 1,425,235 | 1,269,900 | |
Class M1, 2.7725% 12/25/36 (a)(f) | 103,278 | 79,925 | |
Series 2007-1: | |||
Class A2, 2.7525% 3/25/37 (a)(f) | 265,732 | 215,243 | |
Class B3, 5.8325% 3/25/37 (a)(f) | 169,489 | 76,270 | |
Series 2007-2A: | |||
Class A1, 2.7525% 7/25/37 (a)(f) | 231,379 | 192,045 | |
Class A2, 2.8025% 7/25/37 (a)(f) | 216,571 | 171,091 | |
Class B1, 4.0825% 7/25/37 (a)(f) | 203,614 | 95,699 | |
Class B2, 4.7325% 7/25/37 (a)(f) | 175,848 | 79,132 | |
Class B3, 5.8325% 7/25/37 (a)(f) | 198,986 | 89,544 | |
Class M2, 2.8925% 7/25/37 (a)(f) | 120,317 | 80,011 | |
Class M3, 2.9725% 7/25/37 (a)(f) | 120,317 | 76,663 | |
Class M4, 3.1325% 7/25/37 (a)(f) | 254,517 | 147,620 | |
Class M5, 3.2325% 7/25/37 (a)(f) | 226,752 | 124,713 | |
Class M6, 3.4825% 7/25/37 (a)(f) | 282,283 | 146,787 | |
| |||
| Principal | Value | |
Series 2007-3: | |||
Class A2, 2.7725% 7/25/37 (a)(f) | $ 404,062 | $ 360,625 | |
Class B1, 3.4325% 7/25/37 (a)(f) | 186,751 | 112,219 | |
Class B2, 4.0825% 7/25/37 (a)(f) | 652,780 | 359,029 | |
Class B3, 6.4825% 7/25/37 (a)(f) | 250,416 | 147,245 | |
Class M1, 2.7925% 7/25/37 (a)(f) | 165,530 | 118,503 | |
Class M2, 2.8225% 7/25/37 (a)(f) | 174,018 | 120,142 | |
Class M3, 2.8525% 7/25/37 (a)(f) | 380,293 | 250,043 | |
Class M4, 2.9825% 7/25/37 (a)(f) | 600,999 | 360,600 | |
Class M5, 3.0825% 7/25/37 (a)(f) | 224,950 | 144,891 | |
Class M6, 3.2825% 7/25/37 (a)(f) | 169,774 | 104,615 | |
Series 2007-4A: | |||
Class B1, 5.0325% 9/25/37 (a)(f) | 276,123 | 124,255 | |
Class B2, 5.9325% 9/25/37 (a)(f) | 1,349,195 | 607,138 | |
Class M4, 4.0825% 9/25/37 (a)(f) | 889,307 | 533,584 | |
Class M5, 4.2325% 9/25/37 (a)(f) | 889,307 | 489,119 | |
Class M6, 4.4325% 9/25/37 (a)(f) | 889,307 | 471,333 | |
Series 2004-1 Class IO, 1.25% 4/25/34 (a)(g) | 2,237,070 | 53,690 | |
Bear Stearns Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2006-BBA7: | |||
Class G, 2.9113% 3/15/19 (a)(f) | 284,000 | 230,040 | |
Class H, 3.1213% 3/15/19 (a)(f) | 191,000 | 165,808 | |
Class J, 3.3213% 3/15/19 (a)(f) | 143,000 | 123,360 | |
Series 2007-BBA8: | |||
Class D, 2.7213% 3/15/22 (a)(f) | 147,000 | 125,685 | |
Class E, 2.7713% 3/15/22 (a)(f) | 763,000 | 640,920 | |
Class F, 2.8213% 5/15/22 (a)(f) | 468,000 | 383,760 | |
Class G, 2.8713% 3/15/22 (a)(f) | 120,000 | 96,000 | |
Class H, 3.0213% 3/15/22 (a)(f) | 147,000 | 111,357 | |
Class J, 3.1713% 3/15/22 (a)(f) | 147,000 | 109,667 | |
Commercial Mortgage Securities - continued | |||
| Principal | Value | |
Bear Stearns Commercial Mortgage Securities Trust: - continued | |||
floater: | |||
Series 2007-BBA8: | |||
Class X-1M, 1.12% 3/15/22 (a)(g) | $ 8,627,749 | $ 1,349 | |
sequential payer Series 2007-PW16 Class AM, 5.7129% 6/11/40 | 1,898,000 | 1,727,314 | |
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 2,010,000 | 1,947,027 | |
Series 2007-PW15: | |||
Class A1, 5.016% 2/11/44 | 1,879,315 | 1,854,411 | |
Class X2, 0.3674% 2/11/44 (a)(f)(g) | 140,113,271 | 2,361,525 | |
Series 2007-PW16: | |||
Class B, 5.713% 6/11/40 (a) | 1,405,000 | 996,945 | |
Class C, 5.713% 6/11/40 (a) | 1,170,000 | 757,226 | |
Class D, 5.713% 6/11/40 (a) | 1,170,000 | 692,459 | |
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.275% 2/12/16 (a)(f) | 1,345,000 | 1,378,124 | |
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31 | 4,605,395 | 4,709,845 | |
Citigroup Commercial Mortgage Trust: | |||
floater Series 2006-FL2: | |||
Class G, 2.8013% 11/15/36 (a)(f) | 156,000 | 124,800 | |
Class H, 2.8413% 11/15/36 (a)(f) | 125,000 | 97,500 | |
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 3,810,000 | 3,610,969 | |
Series 2007-C6 Class A1, 5.622% 12/10/49 (f) | 5,903,202 | 5,880,489 | |
Series 2007-FL3A Class A2, 2.6113% 4/15/22 (a)(f) | 2,595,000 | 2,335,500 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4 Class A3, 5.293% 12/11/49 | 5,940,000 | 5,657,767 | |
COMM pass-thru certificates: | |||
floater: | |||
Series 2005-F10A: | |||
Class D, 2.7813% 4/15/17 (a)(f) | 335,000 | 312,178 | |
Class E, 2.8413% 4/15/17 (a)(f) | 107,000 | 98,886 | |
Class F, 2.8813% 4/15/17 (a)(f) | 60,000 | 54,851 | |
Class G, 3.0213% 4/15/17 (a)(f) | 60,000 | 54,992 | |
Class H, 3.0913% 4/15/17 (a)(f) | 60,000 | 54,343 | |
Class J, 3.3213% 4/15/17 (a)(f) | 46,000 | 40,580 | |
| |||
| Principal | Value | |
Series 2005-FL11: | |||
Class F, 2.9213% 11/15/17 (a)(f) | $ 139,306 | $ 123,545 | |
Class G, 2.9713% 11/15/17 (a)(f) | 96,171 | 87,234 | |
Series 2007-FL14: | |||
Class F, 2.9713% 6/15/22 (a)(f) | 701,388 | 517,563 | |
Class G, 3.0213% 6/15/22 (a)(f) | 103,098 | 76,100 | |
Class H, 3.1713% 6/15/22 (a)(f) | 103,098 | 70,747 | |
sequential payer Series 2006-CN2A Class A2FX, 5.449% 2/5/19 | 2,745,000 | 2,741,453 | |
Series 2004-LBN2 Class X2, 0.8733% 3/10/39 (a)(f)(g) | 6,637,417 | 115,723 | |
Credit Suisse Commercial Mortgage Trust: | |||
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (f) | 3,885,000 | 3,807,783 | |
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 5,350,000 | 5,287,193 | |
Series 2007-C5 Class A4, 5.695% 9/15/40 (f) | 2,750,000 | 2,617,241 | |
Credit Suisse First Boston Mortgage Securities Corp.: | |||
sequential payer: | |||
Series 1999-C1 Class A2, 7.29% 9/15/41 | 3,738,517 | 3,821,182 | |
Series 2000-C1 Class A2, 7.545% 4/15/62 | 1,368,707 | 1,414,252 | |
Series 2004-C1: | |||
Class A3, 4.321% 1/15/37 | 2,235,000 | 2,199,188 | |
Class A4, 4.75% 1/15/37 | 3,035,000 | 2,940,520 | |
Series 1997-C2 Class D, 7.27% 1/17/35 | 737,534 | 740,590 | |
Series 1998-C1: | |||
Class C, 6.78% 5/17/40 | 3,054,029 | 3,077,457 | |
Class D, 7.17% 5/17/40 | 595,000 | 616,967 | |
Series 2001-CKN5 Class AX, 0.7223% 9/15/34 (a)(f)(g) | 26,539,973 | 1,148,536 | |
Series 2002-CP3 Class G, 6.639% 7/15/35 (a) | 250,000 | 229,359 | |
Series 2004-C1 Class ASP, 0.6694% 1/15/37 (a)(f)(g) | 23,854,040 | 531,699 | |
Series 2006-C1 Class A3, 5.5522% 2/15/39 (f) | 3,895,000 | 3,838,572 | |
Credit Suisse Mortgage Capital Certificates: | |||
floater: | |||
Series 200-TFL1 Class B, 2.6213% 2/15/22 (a)(f) | 3,470,000 | 2,949,500 | |
Series 2007-TFL1: | |||
Class C: | |||
2.6413% 2/15/22 (a)(f) | 657,000 | 545,310 | |
2.7413% 2/15/22 (a)(f) | 234,000 | 187,200 | |
Commercial Mortgage Securities - continued | |||
| Principal | Value | |
Credit Suisse Mortgage Capital Certificates: - continued | |||
floater: | |||
Series 2007-TFL1: | |||
Class F, 2.7913% 2/15/22 (a)(f) | $ 469,000 | $ 361,130 | |
sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40 | 1,299,844 | 1,296,665 | |
CSMC Commercial Mortgage Trust floater Series 2006-TFLA: | |||
Class H, 3.2013% 4/15/21 (a)(f) | 154,000 | 124,740 | |
Class J, 3.2713% 4/15/21 (a)(f) | 102,000 | 81,600 | |
Class K, 3.6713% 4/15/21 (a)(f) | 512,000 | 399,360 | |
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 3,374,818 | 3,507,519 | |
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 2/10/17 | 3,720,000 | 3,483,898 | |
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-22 Class B, 3.963% 5/16/32 | 2,028,324 | 2,018,074 | |
Greenwich Capital Commercial Funding Corp.: | |||
floater Series 2006-FL4 Class B, 2.9138% 11/5/21 (a)(f) | 3,490,000 | 2,966,500 | |
sequential payer: | |||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,615,000 | 1,611,399 | |
Series 2007-GG11 Class A2, 5.597% 12/10/49 | 13,805,000 | 13,420,514 | |
Series 2007-GG9 Class A1, 5.233% 3/10/39 | 1,693,213 | 1,689,078 | |
Series 2006-GG7 Class A3, 6.1101% 7/10/38 | 3,460,000 | 3,454,255 | |
GS Mortgage Securities Corp. II: | |||
floater: | |||
Series 2006-FL8A: | |||
Class C, 2.69% 6/6/20 (a)(f) | 405,000 | 364,500 | |
Class D, 2.73% 6/6/20 (a)(f) | 1,115,000 | 947,750 | |
Class E, 2.82% 6/6/20 (a)(f) | 2,220,000 | 1,864,800 | |
Class F, 2.89% 6/6/20 (a)(f) | 294,000 | 241,080 | |
Series 2007-EOP: | |||
Class C, 2.77% 3/1/20 (a)(f) | 1,207,957 | 1,111,320 | |
Class D, 2.82% 3/1/20 (a)(f) | 400,000 | 368,000 | |
Class E, 2.89% 3/1/20 (a)(f) | 649,900 | 594,659 | |
Class F, 2.93% 3/1/20 (a)(f) | 335,000 | 306,525 | |
Class G, 2.97% 3/1/20 (a)(f) | 165,000 | 150,975 | |
Class H, 3.1% 3/1/20 (a)(f) | 275,000 | 250,250 | |
Class J, 3.3% 3/1/20 (a)(f) | 395,000 | 359,450 | |
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 2,725,000 | 2,702,233 | |
Series 2006-GG6 Class A2, 5.506% 4/10/38 (f) | 2,990,000 | 2,986,650 | |
| |||
| Principal | Value | |
GS Mortgage Securities Trust sequential payer Series 2007-GG10: | |||
Class A1, 5.69% 8/10/45 | $ 1,951,031 | $ 1,938,014 | |
Class A2, 5.778% 8/10/45 | 5,055,000 | 4,989,010 | |
Class A4, 5.7992% 8/10/45 (f) | 3,965,000 | 3,791,360 | |
Hilton Hotel Pool Trust floater Series 2000-HLTA Class B, 2.9575% 10/3/15 (a)(f) | 224,000 | 223,012 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2006-FLA2: | |||
Class E, 2.7513% 11/15/18 (a)(f) | 115,630 | 97,129 | |
Class F, 2.8013% 11/15/18 (a)(f) | 173,444 | 143,959 | |
Class G, 2.8313% 11/15/18 (a)(f) | 151,107 | 123,908 | |
Class H, 2.9713% 11/15/18 (a)(f) | 115,630 | 93,660 | |
sequential payer: | |||
Series 2006-CB14 Class A3B, 5.4858% 12/12/44 (f) | 4,625,000 | 4,604,269 | |
Series 2006-CB15 Class A3, 5.819% 6/12/43 (f) | 5,840,000 | 5,773,105 | |
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 1,898,000 | 1,797,791 | |
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (f) | 5,065,000 | 4,826,945 | |
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 1,204,959 | 1,199,201 | |
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 3,796,000 | 3,517,837 | |
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 4,115,000 | 3,994,828 | |
Series 2007-CB19: | |||
Class B, 5.7442% 2/12/49 | 755,000 | 552,449 | |
Class C, 5.7462% 2/12/49 | 1,971,000 | 1,334,426 | |
Class D, 5.7462% 2/12/49 | 2,075,000 | 1,362,694 | |
Series 2007-LDP10: | |||
Class BS, 5.437% 1/15/49 (f) | 1,725,000 | 1,368,277 | |
Class CS, 5.466% 1/15/49 (f) | 745,000 | 579,343 | |
Class ES, 5.5457% 1/15/49 (a)(f) | 4,663,000 | 3,272,152 | |
LB Commercial Conduit Mortgage Trust Series 2007-C3: | |||
Class F, 5.9345% 7/15/44 (f) | 1,815,000 | 1,230,745 | |
Class G, 5.9345% 7/15/44 (a)(f) | 3,200,000 | 2,072,092 | |
LB-UBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 2,111,962 | 2,195,044 | |
Series 2001-C3 Class A1, 6.058% 6/15/20 | 965,221 | 980,268 | |
Commercial Mortgage Securities - continued | |||
| Principal | Value | |
LB-UBS Commercial Mortgage Trust: - continued | |||
sequential payer: | |||
Series 2005-C3 Class A2, 4.553% 7/15/30 | $ 1,746,000 | $ 1,734,109 | |
Series 2006-C1 Class A2, 5.084% 2/15/31 | 1,495,000 | 1,481,241 | |
Series 2006-C6 Class A2, 5.262% 9/15/39 (f) | 3,340,000 | 3,297,879 | |
Series 2006-C7 Class A1, 5.279% 11/15/38 | 739,676 | 742,665 | |
Series 2007-C1: | |||
Class A1, 5.391% 2/15/40 (f) | 1,054,286 | 1,054,303 | |
Class A3, 5.398% 2/15/40 | 5,000,000 | 4,756,280 | |
Series 2001-C3 Class B, 6.512% 6/15/36 | 1,810,000 | 1,862,498 | |
Series 2007-C2 Class AM, 5.493% 2/15/40 (f) | 1,898,000 | 1,694,107 | |
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | |||
Class F, 2.8113% 9/15/21 (a)(f) | 402,971 | 310,691 | |
Class G, 2.8313% 9/15/21 (a)(f) | 795,609 | 605,459 | |
Class H, 2.8713% 9/15/21 (a)(f) | 204,773 | 153,785 | |
Merrill Lynch Mortgage Trust: | |||
sequential payer: | |||
Series 2004-KEY2 Class A2, 4.166% 8/12/39 | 200,462 | 198,199 | |
Series 2005-MCP1 Class A2, 4.556% 6/12/43 | 2,120,000 | 2,097,968 | |
Series 2007-C1 Class A4, 5.8291% 6/12/50 (f) | 3,796,000 | 3,638,445 | |
Merrill Lynch-CFC Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2007-5: | |||
Class A1, 4.275% 12/12/11 | 951,199 | 931,933 | |
Class A3, 5.364% 8/12/48 | 4,298,000 | 4,118,344 | |
Series 2007-9 Class A4, 5.7% 9/12/49 | 5,500,000 | 5,181,342 | |
Series 2007-7 Class B, 5.75% 6/25/50 | 770,000 | 557,340 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2006-XLF Class C, 3.682% 7/15/19 (a)(f) | 261,000 | 219,240 | |
Series 2007-XCLA Class A1, 2.682% 7/17/17 (a)(f) | 1,019,303 | 866,408 | |
Series 2007-XLCA Class B, 2.982% 7/17/17 (a)(f) | 577,325 | 432,994 | |
Series 2007-XLFA: | |||
Class D, 2.672% 10/15/20 (a)(f) | 235,000 | 202,100 | |
Class E, 2.732% 10/15/20 (a)(f) | 294,000 | 238,140 | |
| |||
| Principal | Value | |
Class F, 2.782% 10/15/20 (a)(f) | $ 176,000 | $ 144,320 | |
Class G, 2.822% 10/15/20 (a)(f) | 218,000 | 174,400 | |
Class H, 2.912% 10/15/20 (a)(f) | 137,000 | 102,750 | |
Class J, 3.062% 10/15/20 (a)(f) | 157,000 | 106,760 | |
Class NHRO, 3.372% 10/15/20 (a)(f) | 93,109 | 67,970 | |
sequential payer: | |||
Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 2,065,995 | 2,043,527 | |
Series 2006-HQ10 Class A1, 5.131% 11/12/41 | 3,792,140 | 3,803,513 | |
Series 2006-T23 Class A1, 5.682% 8/12/41 | 1,121,887 | 1,134,137 | |
Series 2007-HQ11 Class A31, 5.439% 2/20/44 (f) | 4,745,000 | 4,543,248 | |
Series 2007-IQ13 Class A1, 5.05% 3/15/44 | 1,734,233 | 1,711,435 | |
Series 2007-IQ14: | |||
Class A1, 5.38% 4/15/49 | 3,642,000 | 3,616,689 | |
Class AM, 5.6913% 4/15/49 (f) | 1,898,000 | 1,724,011 | |
Series 2007-T25 Class A2, 5.507% 11/12/49 | 10,320,000 | 9,945,438 | |
Series 2005-IQ9 Class X2, 1.0464% 7/15/56 (a)(f)(g) | 24,196,914 | 696,997 | |
Series 2007-HQ12 Class A2, 5.6326% 4/12/49 (f) | 4,920,000 | 4,842,001 | |
Series 2007-IQ14 Class B, 5.914% 4/15/49 | 2,175,000 | 1,592,841 | |
Series 2007-XLC1: | |||
Class C, 3.0713% 7/17/17 (a)(f) | 788,373 | 551,861 | |
Class D, 3.17% 7/17/17 (a)(f) | 370,864 | 241,062 | |
Class E, 3.2713% 7/17/17 (a)(f) | 301,279 | 186,793 | |
Providence Place Group Ltd. Partnership Series 2000-C1 | 2,479,841 | 2,552,696 | |
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 2.9613% 3/24/18 (a)(f) | 113,038 | 106,256 | |
Wachovia Bank Commercial Mortgage Trust: | |||
floater: | |||
Series 2005-WL5A Class K, 3.6713% 1/15/18 (a)(f) | 449,000 | 413,080 | |
Series 2006-WL7A: | |||
Class E, 2.7513% 9/15/21 (a)(f) | 491,000 | 407,530 | |
Class F, 2.8113% 8/11/18 (a)(f) | 661,000 | 561,850 | |
Class G, 2.8313% 8/11/18 (a)(f) | 626,000 | 519,580 | |
Commercial Mortgage Securities - continued | |||
| Principal | Value | |
Wachovia Bank Commercial Mortgage Trust: - continued | |||
floater: | |||
Series 2006-WL7A: | |||
Class J, 3.0713% 8/11/18 (a)(f) | $ 139,000 | $ 102,193 | |
Class X1A, 0.0232% 9/15/21 (a)(f)(g) | 996,986 | 159 | |
Series 2007-WHL8: | |||
Class AP2, 3.2713% 6/15/20 (a)(f) | 69,008 | 54,517 | |
Class F, 2.9513% 6/15/20 (a)(f) | 1,046,000 | 826,340 | |
sequential payer: | |||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 3,595,000 | 3,586,423 | |
Series 2003-C7 Class A1, 4.241% 10/15/35 (a) | 1,205,423 | 1,191,618 | |
Series 2007-C30: | |||
Class A3, 5.246% 12/15/43 | 5,940,000 | 5,768,683 | |
Class A4, 5.305% 12/15/43 | 3,240,000 | 3,085,213 | |
Class A5, 5.342% 12/15/43 | 3,796,000 | 3,504,574 | |
Series 2007-C31 Class A1, 5.14% 4/15/47 | 1,124,150 | 1,113,653 | |
Series 2007-C32 Class A2, 5.7358% 6/15/49 (f) | 1,255,000 | 1,237,481 | |
Series 2006-C23 Class A5, 5.416% 1/15/45 (f) | 3,010,000 | 2,867,629 | |
Series 2007-C30 Class E, 5.553% 12/15/43 (f) | 6,257,000 | 4,057,263 | |
Series 2007-C31: | |||
Class AM, 5.591% 4/15/47 | 1,898,000 | 1,702,811 | |
Class C, 5.6918% 4/15/47 (f) | 2,455,000 | 1,759,942 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $351,635,065) | 333,520,138 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
| |||
Israeli State 4.625% 6/15/13 | 525,000 | 528,623 | |
United Mexican States 5.875% 1/15/14 | 1,665,000 | 1,731,600 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,164,120) | 2,260,223 | ||
Supranational Obligations - 0.0% | |||
| |||
Corporacion Andina de Fomento: | |||
5.2% 5/21/13 | 630,000 | 622,332 | |
6.875% 3/15/12 | 425,000 | 446,655 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,047,686) | 1,068,987 | ||
Preferred Securities - 0.1% | |||
Principal | Value | ||
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
MUFG Capital Finance 1 Ltd. 6.346% (f) | $ 3,520,000 | $ 3,147,455 | |
TOTAL PREFERRED SECURITIES (Cost $3,520,000) | 3,147,455 | ||
Cash Equivalents - 9.3% | |||
Maturity |
| ||
Investments in repurchase agreements in a joint trading account at 2.58%, dated 6/30/08 due 7/1/08 (Collateralized by U.S. Government Obligations) # | $ 347,269,914 | 347,245,000 |
TOTAL INVESTMENT (Cost $4,054,726,425) | 4,010,508,575 | |
NET OTHER ASSETS - (7.7)% | (285,047,213) | |
NET ASSETS - 100% | $ 3,725,461,362 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
Pay monthly a fixed rate of .15% multiplied by the notional amount and receive from Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | Sept. 2037 | $ 4,400,000 | 3,938,000 | ||
Receive monthly notional amount multiplied by 3.86% and pay Morgan Stanley, Inc. upon credit event of Merrill Lynch Mortgage Investors Trust, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors Trust, Inc. Series 2006 HE5, Class B3, 7.32% 8/25/37 | Sept. 2037 | 1,600,000 | (1,486,666) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | $ 258,342 | $ (164,306) | ||
Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 6.3950% 11/25/34 | Dec. 2034 | 324,263 | (218,185) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 6.3950% 8/25/34 | Sept. 2034 | 135,917 | (125,676) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 7.6913% 7/25/34 | August 2034 | 199,947 | (181,747) | ||
Receive monthly notional amount multiplied by 2.7% and pay Lehman Brothers, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006 WMC1, Class B3, 7.47% 12/25/35 | Jan. 2036 | 1,600,000 | (1,523,595) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 9/20/17, and pay quarterly notional amount multiplied by .32% | Sept. 2017 | $ 1,000,000 | $ 9,598 | ||
Receive from Credit Suisse First Boston upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by 1.5% | March 2013 | 3,500,000 | 141,806 | ||
Receive from Deutsche Bank upon credit event of Household Finance Corp., par value of the notional amount of Household Finance Corp. 7% 5/15/12, and pay quarterly notional amount multiplied by ..73% | Sept. 2012 | 3,400,000 | 141,130 | ||
Receive from Deutsche Bank upon credit event of Southwest Airlines Co., par value of the notional amount of Southwest Airlines Co. 5.25% 10/1/14, and pay quarterly notional amount multiplied by 1.4% | June 2013 | 5,600,000 | 127,382 | ||
Receive from Goldman Sachs upon credit event of CSX Corp., par value of notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18% | March 2013 | 1,554,000 | 20,876 | ||
Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18% | March 2013 | 1,554,000 | 20,876 | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.19% | March 2018 | $ 1,371,000 | $ 60,401 | ||
Receive from Goldman Sachs upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount multiplied by 1.07% | March 2013 | 1,700,000 | (30,657) | ||
Receive from Lehman Brothers, Inc. upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount miltiplied by 1.03% | March 2013 | 1,700,000 | (27,752) | ||
Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15 and pay quarterly notional amount multiplied by 1.68% | Sept. 2013 | 2,035,000 | (11,145) | ||
Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15, and pay quarterly notional amount multiplied by 2.12% | Sept. 2013 | 1,360,000 | (34,648) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive from Morgan Stanley, Inc. upon credit event of H.J. Heinz Co., par value of the notional amount of H.J. Heinz Co. 6% 3/15/08, and pay quarterly notional amount multiplied by .65% | March 2013 | $ 1,900,000 | $ (16,849) | ||
Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 | Oct. 2034 | 610,794 | (366,618) | ||
Receive monthly notional amount multiplied by 3.05% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006-HE3 Class B3, 7.22% 4/25/36 | May 2036 | 1,300,000 | (1,226,175) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | August 2037 | 3,000,000 | (2,760,000) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | Sept. 2037 | 2,600,000 | (2,392,000) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-01 Index, par value of the proportional notional amount (e) | Sept. 2037 | $ 3,100,000 | $ (2,852,000) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | Sept. 2037 | 1,500,000 | (1,380,000) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional amount (e) | Sept. 2037 | 2,300,000 | (2,116,000) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | Sept. 2037 | 1,800,000 | (1,656,000) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | Sept. 2037 | 4,400,000 | (4,048,000) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | Sept. 2037 | $ 1,600,000 | $ (1,472,000) | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e) | Sept. 2037 | 4,600,000 | (4,232,000) | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 | August 2034 | 124,192 | (63,032) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | 465,000 | (257,009) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 465,000 | (45,980) | ||
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-DP1 Class B2, 6.72% 10/25/35 | Nov. 2035 | $ 1,900,000 | $ (1,666,427) | ||
Receive monthly notional amount multiplied by 1.6% 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 | June 2035 | 640,000 | (582,031) | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 | March 2034 | 465,830 | (230,078) | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 | Feb. 2034 | 152,385 | (130,474) | ||
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 | Dec. 2034 | 258,916 | (217,076) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 | Oct. 2034 | $ 610,794 | $ (366,836) | ||
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 | Dec. 2034 | 449,785 | (308,120) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 40,946 | (35,018) | ||
Receive monthly notional amount multiplied by 2.7% 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, 6.41% 5/25/35 | June 2035 | 770,000 | (612,261) | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 | March 2035 | 507,247 | (384,286) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3% and pay JPMorgan Chase, Inc. upon credit event of GSAMP Trust, par value of the notional amount of GSAMP Trust Series 2006-NC2 Class M9, 7.3744% 6/25/36 | July 2036 | $ 1,900,000 | $ (1,825,235) | ||
Receive monthly notional amount multiplied by 3.66% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 | June 2035 | 1,900,000 | (1,479,713) | ||
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 | June 2035 | 600,000 | (465,541) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | 465,000 | (326,898) | ||
Receive monthly notional amount multiplied by 5.12% and pay Bank of America upon credit event of Structured Asset Securities Corp., par value of the notional amount of Structured Asset Securities Corp. Series 2005-AR1 Class M8, 7.32% 9/25/35 | Oct. 2035 | 2,000,000 | (1,818,734) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 | Sept. 2010 | $ 1,900,000 | $ 202 | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 | March 2009 | 1,400,000 | (2,530) | ||
Receive semi-annually notional amount multiplied by .61% and pay JPMorgan Chase, Inc. upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | May 2011 | 4,290,000 | (21,942) | ||
Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | May 2011 | 2,260,000 | (10,624) | ||
TOTAL CREDIT DEFAULT SWAPS | 85,568,358 | (34,711,593) | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | July 2009 | 42,000,000 | 485,482 | ||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | 11,825,000 | 205,031 | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps - continued | |||||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | $ 11,825,000 | $ 384,452 | ||
Receive semi-annually a fixed rate equal to 4.378% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Sept. 2008 | 25,400,000 | 365,605 | ||
Receive semi-annually a fixed rate equal to 4.449% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2018 | 24,935,000 | (398,578) | ||
Receive semi-annually a fixed rate equal to 4.492% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Sept. 2010 | 1,500,000 | 43,707 | ||
Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Nov. 2010 | 1,000,000 | 30,724 | ||
Receive semi-annually a fixed rate equal to 5.186% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Sept. 2011 | 20,000,000 | 999,080 | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 52,500,000 | 2,281,388 | ||
Receive semi-annually a fixed rate equal to 5.312% and pay quarterly a floating rate based on the 3-month LIBOR with Lehman Brothers, Inc. | April 2011 | 105,000,000 | 4,732,938 | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2011 | $ 15,000,000 | $ 674,019 | ||
Receive semi-annually a fixed rate equal to 5.354% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 32,000,000 | 1,409,830 | ||
Received semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | May 2011 | 71,168,000 | (538,144) | ||
TOTAL INTEREST RATE SWAPS | 414,153,000 | 10,675,534 | |||
| $ 499,721,358 | $ (24,036,059) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $274,287,008 or 7.4% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) A portion of the security is subject to a forward commitment to sell. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $27,764,092. |
(e) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. |
(f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(g) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$347,245,000 due 7/01/08 at 2.58% | |
BNP Paribas Securities Corp. | $ 70,443,391 |
Bank of America, NA | 114,153,391 |
Barclays Capital, Inc. | 120,174,997 |
ING Financial Markets LLC | 37,293,560 |
WestLB AG | 5,179,661 |
| $ 347,245,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Ultra-Short Central Fund | $ 5,256,008 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity Ultra-Short Central Fund | $ 435,371,129 | $ - | $ 411,667,733* | $ - | 0.0% |
*Includes the value of shares redeemed through in-kind contributions. See Note 2 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of June 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
#Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities | $ 4,010,508,575 | $ - | $ 4,003,769,012 | $ 6,739,563 |
Other Financial Instruments* | $ (24,036,059) | $ - | $ (10,630,129) | $ (13,405,930) |
*Other financial instruments include Swap Agreements. |
The following is a reconciliation of assets for which Level 3 inputs were used in determining value: |
| Investments in Securities | Other Financial Instruments |
Beginning Balance | $ 2,137,852 | $ (10,030,825) |
Total Realized Gain (Loss) | (295,250) | - |
Total Unrealized Gain (Loss) | (352,723) | 663,794 |
Cost of Purchases | 5,072,370 | - |
Proceeds of Sales | (1,741,285) | - |
Amortization/Accretion | 479 | - |
Transfer in/out of Level 3 | 1,918,120 | (4,038,899) |
Ending Balance | $ 6,739,563 | $ (13,405,930) |
*The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $0. |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| June 30, 2008 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $347,245,000) - See accompanying schedule: Unaffiliated issuers (cost $4,054,726,425) |
| $ 4,010,508,575 |
Commitment to sell securities on a delayed delivery basis | $ (22,196,970) | |
Receivable for securities sold on a delayed delivery basis | 22,072,188 | (124,782) |
Receivable for investments sold, regular delivery | 23,529 | |
Cash | 201,823 | |
Receivable for swap agreements | 55,193 | |
Interest receivable | 27,493,873 | |
Distributions receivable from Fidelity Central Funds | 467,131 | |
Total assets | 4,038,625,342 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 23,233,074 | |
Delayed delivery | 265,867,324 | |
Swap agreements, at value | 24,036,059 | |
Other payables and accrued expenses | 27,523 | |
Total liabilities | 313,163,980 | |
|
|
|
Net Assets | $ 3,725,461,362 | |
Net Assets consist of: |
| |
Paid in capital | $ 3,821,026,608 | |
Undistributed net investment income | 10,187,851 | |
Accumulated undistributed net realized gain (loss) on investments | (41,021,666) | |
Net unrealized appreciation (depreciation) on investments | (64,731,431) | |
Net Assets, for 37,155,624 shares outstanding | $ 3,725,461,362 | |
Net Asset Value, offering price and redemption price per share ($3,725,461,362 ÷ 37,155,624 shares) | $ 100.27 |
Statement of Operations
| Six months ended June 30, 2008 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 111,690 |
Interest |
| 90,037,372 |
Income from Fidelity Central Funds |
| 5,256,008 |
Total income |
| 95,405,070 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 60,241 | |
Independent trustees' compensation | 7,996 | |
Total expenses before reductions | 68,237 | |
Expense reductions | (14,451) | 53,786 |
Net investment income | 95,351,284 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 29,298,070 | |
Fidelity Central Funds | (73,045,771) |
|
Swap agreements | 4,085,221 |
|
Total net realized gain (loss) |
| (39,662,480) |
Change in net unrealized appreciation (depreciation) on: Investment securities | (29,537,056) | |
Swap agreements | (12,451,987) | |
Delayed delivery commitments | (124,782) |
|
Total change in net unrealized appreciation (depreciation) |
| (42,113,825) |
Net gain (loss) | (81,776,305) | |
Net increase (decrease) in net assets resulting from operations | $ 13,574,979 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 95,351,284 | $ 171,814,072 |
Net realized gain (loss) | (39,662,480) | 5,080,505 |
Change in net unrealized appreciation (depreciation) | (42,113,825) | (17,878,562) |
Net increase (decrease) in net assets resulting from operations | 13,574,979 | 159,016,015 |
Distributions to shareholders from net investment income | (88,180,509) | (167,465,735) |
Distributions to shareholders from net realized gain | (7,723,403) | (2,131,039) |
Total distributions | (95,903,912) | (169,596,774) |
Share transactions | 277,704,683 | 846,478,691 |
Reinvestment of distributions | 95,903,912 | 90,626,029 |
Cost of shares redeemed | (153,625,766) | (133,664,658) |
Net increase (decrease) in net assets resulting from share transactions | 219,982,829 | 803,440,062 |
Total increase (decrease) in net assets | 137,653,896 | 792,859,303 |
Net Assets | ||
Beginning of period | 3,587,807,466 | 2,794,948,163 |
End of period (including undistributed net investment income of $10,187,851 and undistributed net investment income of $3,017,076, respectively) | $ 3,725,461,362 | $ 3,587,807,466 |
Other Information Shares | ||
Sold | 2,717,098 | 8,284,694 |
Issued in reinvestment of distributions | 940,281 | 888,417 |
Redeemed | (1,503,253) | (1,300,993) |
Net increase (decrease) | 2,154,126 | 7,872,118 |
Financial Highlights
| Six months ended June 30, | Years ended December 31, | |
2008 | 2007 | 2006 H | |
Selected Per-Share Data |
|
|
|
Net asset value, beginning of period | $ 102.50 | $ 103.02 | $ 100.00 |
Income from Investment Operations |
|
|
|
Net investment income D | 2.657 | 5.534 | 2.814 |
Net realized and unrealized gain (loss) | (2.207) | (.594) | 3.132 |
Total from investment operations | .450 | 4.940 | 5.946 |
Distributions from net investment income | (2.460) | (5.385) | (2.826) |
Distributions from net realized gain | (.220) | (.075) | (.100) |
Total distributions | (2.680) | (5.460) | (2.926) |
Net asset value, end of period | $ 100.27 | $ 102.50 | $ 103.02 |
Total Return B, C | .42% | 4.94% | 5.95% |
Ratios to Average Net Assets E, I |
|
|
|
Expenses before reductions | -% A, G | -% G | -% A, G |
Expenses net of fee waivers, if any | -% A, G | -% G | -% A, G |
Expenses net of all reductions | -% A, G | -% G | -% A, G |
Net investment income | 5.25% A | 5.42% | 5.23% A |
Supplemental Data |
|
|
|
Net assets, end of period (000 omitted) | $ 3,725,461 | $ 3,587,807 | $ 2,794,948 |
Portfolio turnover rate F | 176% A | 137% | 99% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Amount represents less than .01%.
H For the period June 23, 2006 (commencement of operations) to December 31, 2006.
I Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2008
1. Organization.
Fidelity VIP Investment Grade Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds).
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
|
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Futures Repurchase Agreements Restricted Securities Swap Agreements |
|
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.
On June 27, 2008, the Fund redeemed 2,971,457 shares of Fidelity Ultra-Short Central Fund, an affiliated entity, valued at $245,828,638 by receiving securities of equal value, including accrued interest. This is considered taxable to each Investing Fund for federal income tax purposes.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.
Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Certain of the Fund's securities may be valued by a single source or dealer. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Semiannual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
The Fund is subject to the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:
Level 1 | Quoted prices in active markets for identical securities. |
Level 2 | Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others. |
Level 3 | Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available. |
Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.
The aggregate value by input level, as of June 30, 2008, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.
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 per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 pm Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income and distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.
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 short-term capital gains, swap agreements, market discount, financing transactions and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 40,560,252 |
|
Unrealized depreciation | (83,191,791) |
|
Net unrealized appreciation (depreciation) | $ (42,631,539) |
|
Cost for federal income tax purposes | $ 4,053,140,114 |
|
New Accounting Pronouncement. 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.
Semiannual Report
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.
Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. The Fund may enter into dollar rolls in which the Fund sells mortgage-backed securities, realizing a gain or loss, and simultaneously agrees to repurchase substantially similar securities at a future date. In addition, the Fund may enter into reverse dollar rolls in which the Fund purchases and simultaneously agrees to sell substantially similar securities at a future date. During the period between the sale and repurchase in a dollar roll transaction, the Fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities that are permissible investments of the Fund. During the period between the purchase and subsequent sale in a reverse dollar roll transaction, the Fund is entitled to interest and principal payments on the securities purchased. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $625,842,535 and $560,325,560, respectively.
Semiannual Report
Notes to Financial Statements - continued
6. 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.
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 $7,996.
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 $6,455.
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 of the outstanding shares of the Fund according to the following schedule:
Fund | Ownership % |
VIP Asset Manager Portfolio | 19.0% |
VIP Asset Manager: Growth Portfolio | 1.4% |
VIP Balanced Portfolio | 8.4% |
VIP Investment Grade Bond Portfolio | 71.2% |
9. Credit Risk.
The Fund invests a portion of its assets, directly or indirectly, 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 VIP Investment Grade Central Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity VIP Investment Grade Central Fund (the Fund), a fund of Fidelity Garrison Street Trust, including the schedule of investments, as of June 30, 2008, and the related statement of operations for the six months then ended, the statement of changes in net assets for the six months ended June 30, 2008 and for the year ended December 31, 2007, and the financial highlights for the six months ended June 30, 2008 and for the year ended December 31, 2007 and for the period from June 23, 2006 (commencement of operations) to December 31, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2008, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity VIP Investment Grade Central Fund as of June 30, 2008, the results of its operations for the six months then ended, the changes in its net assets for the six months ended June 30, 2008 and for the year ended December 31, 2007, and the financial highlights for the six months ended June 30, 2008 and for the year ended December 31, 2007 and for the period June 23, 2006 (commencement of operations) to December 31, 2007, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 14, 2008
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
VIP Investment Grade Central Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly and, acting directly and through its separate committees, requests and receives information concerning, and considers at each of its meetings factors that are relevant to, its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has a written charter outlining the structure and purposes of the committee. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts.
At its June 2008 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. The Board also approved agreements with foreign sub-advisers Fidelity Management & Research (U.K.) Inc., Fidelity Management & Research (Japan) Inc., and Fidelity Management & Research (Hong Kong) Limited.
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integrated part of the fixed-income portfolio management investment process.
Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund's management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the fund's net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees - continued
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends and actions to be taken by FMR to improve certain funds' overall performance; (ii) portfolio manager changes that have occurred during the past year; (iii) Fidelity's fund profitability methodology, the profitability of certain fund service providers, and profitability trends for certain funds; (iv) Fidelity's compensation structure for portfolio managers and key personnel, including its effects on fund profitability and the extent to which portfolio manager compensation is linked to fund performance; (v) Fidelity's fee structures; (vi) the funds' sub-advisory arrangements; and (vii) accounts managed by Fidelity other than the Fidelity funds.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Semiannual Report
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/ John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 28, 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/ John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 28, 2008 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 28, 2008 |