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 |
|
|
Date of reporting period: | June 30, 2009 |
Item 1. Reports to Stockholders
Fidelity® VIP
Investment Grade Central Fund
Semiannual Report
June 30, 2009
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/proxyvotingresults 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-0809
1.831205.103
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2009 to June 30, 2009).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Actual | .0037% | $ 1,000.00 | $ 1,081.80 | $ .02 |
Hypothetical (5% return per year before expenses) |
| $ 1,000.00 | $ 1,024.78 | $ .02 |
* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Semiannual Report
Investment Changes (Unaudited)
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2009 | As of December 31, 2008 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA 8.2% |
| ![]() | AAA 11.4% |
| ||
![]() | AA 4.3% |
| ![]() | AA 5.1% |
| ||
![]() | A 10.7% |
| ![]() | A 9.7% |
| ||
![]() | BBB 17.3% |
| ![]() | BBB 16.1% |
| ||
![]() | BB and Below 3.4% |
| ![]() | BB and Below 1.3% |
| ||
![]() | Not Rated 0.6% |
| ![]() | Not Rated 0.4% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades. |
Weighted Average Maturity as of June 30, 2009 | ||
|
| 6 months ago |
Years | 5.7 | 5.5 |
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, 2009 | ||
|
| 6 months ago |
Years | 4.0 | 3.8 |
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, 2009 * | As of December 31, 2008 ** | ||||||
![]() | Corporate Bonds 31.8% |
| ![]() | Corporate Bonds 30.1% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage |
| ![]() | CMOs and Other Mortgage |
| ||
![]() | Municipal Bonds 0.2% |
| ![]() | Municipal Bonds 0.0% |
| ||
![]() | Other Investments 0.1% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 6.0% |
| ** Foreign investments | 6.3% |
| ||
* Futures and Swaps | 12.0% |
| ** Futures and Swaps | 13.6% |
|
***Short-Term Investments and Net Other Assets are not included in the pie chart.
† Includes FDIC Guaranteed Corporate Securities.
Semiannual Report
Investments June 30, 2009
Showing Percentage of Net Assets
Nonconvertible Bonds - 31.8% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 2.5% | ||||
Household Durables - 0.2% | ||||
Fortune Brands, Inc.: | ||||
5.125% 1/15/11 | $ 4,010,000 | $ 4,025,070 | ||
5.875% 1/15/36 | 5,320,000 | 4,150,159 | ||
| 8,175,229 | |||
Media - 2.0% | ||||
AOL Time Warner, Inc.: | ||||
6.75% 4/15/11 | 100,000 | 104,657 | ||
6.875% 5/1/12 | 290,000 | 310,226 | ||
7.625% 4/15/31 | 1,625,000 | 1,579,754 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 2,975,000 | 2,918,291 | ||
5.5% 3/15/11 | 2,675,000 | 2,783,434 | ||
6.45% 3/15/37 | 5,676,000 | 5,593,919 | ||
COX Communications, Inc.: | ||||
4.625% 1/15/10 | 3,350,000 | 3,365,879 | ||
4.625% 6/1/13 | 3,475,000 | 3,418,952 | ||
6.25% 6/1/18 (b) | 5,000,000 | 4,942,650 | ||
6.45% 12/1/36 (b) | 1,043,000 | 943,025 | ||
6.95% 6/1/38 (b) | 517,000 | 497,685 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 1,905,000 | 1,735,375 | ||
News America, Inc.: | ||||
6.15% 3/1/37 | 1,745,000 | 1,479,989 | ||
6.2% 12/15/34 | 6,695,000 | 5,715,495 | ||
6.9% 3/1/19 (b) | 2,413,000 | 2,514,394 | ||
Time Warner Cable, Inc.: | ||||
5.85% 5/1/17 | 2,467,000 | 2,463,549 | ||
6.2% 7/1/13 | 7,000,000 | 7,375,508 | ||
6.75% 7/1/18 | 4,425,000 | 4,608,943 | ||
Time Warner, Inc.: | ||||
1.15% 11/13/09 (f) | 1,024,000 | 1,021,557 | ||
5.875% 11/15/16 | 5,514,000 | 5,434,102 | ||
6.5% 11/15/36 | 2,925,000 | 2,561,420 | ||
Viacom, Inc.: | ||||
5.75% 4/30/11 | 1,410,000 | 1,443,504 | ||
6.125% 10/5/17 | 2,710,000 | 2,633,646 | ||
6.75% 10/5/37 | 935,000 | 841,706 | ||
| 66,287,660 | |||
Specialty Retail - 0.3% | ||||
Staples, Inc. 9.75% 1/15/14 | 7,767,000 | 8,675,195 | ||
TOTAL CONSUMER DISCRETIONARY | 83,138,084 | |||
CONSUMER STAPLES - 2.0% | ||||
Beverages - 0.6% | ||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||
7.2% 1/15/14 (b) | 3,000,000 | 3,225,366 | ||
8.2% 1/15/39 (b) | 3,200,000 | 3,563,754 | ||
| ||||
| Principal Amount | Value | ||
Diageo Capital PLC: | ||||
5.2% 1/30/13 | $ 1,705,000 | $ 1,773,236 | ||
5.75% 10/23/17 | 3,817,000 | 3,982,139 | ||
FBG Finance Ltd. 5.125% 6/15/15 (b) | 2,185,000 | 2,046,842 | ||
PepsiCo, Inc. 7.9% 11/1/18 | 4,560,000 | 5,547,714 | ||
| 20,139,051 | |||
Food & Staples Retailing - 0.3% | ||||
CVS Caremark Corp.: | ||||
6.036% 12/10/28 (b) | 7,006,303 | 5,986,325 | ||
6.302% 6/1/37 (f) | 5,910,000 | 4,373,400 | ||
| 10,359,725 | |||
Food Products - 0.4% | ||||
Cargill, Inc. 6.625% 9/15/37 (b) | 3,333,000 | 3,136,906 | ||
General Mills, Inc. 5.2% 3/17/15 | 3,528,000 | 3,719,958 | ||
Kraft Foods, Inc.: | ||||
6.125% 2/1/18 | 2,376,000 | 2,456,601 | ||
6.875% 1/26/39 | 5,000,000 | 5,292,460 | ||
| 14,605,925 | |||
Personal Products - 0.2% | ||||
Avon Products, Inc. 5.75% 3/1/18 | 5,995,000 | 6,088,354 | ||
Tobacco - 0.5% | ||||
Altria Group, Inc.: | ||||
9.7% 11/10/18 | 4,450,000 | 5,101,685 | ||
9.95% 11/10/38 | 2,699,000 | 3,115,520 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 2,904,000 | 3,047,420 | ||
5.65% 5/16/18 | 2,751,000 | 2,883,579 | ||
Reynolds American, Inc. 7.25% 6/15/37 | 3,055,000 | 2,522,067 | ||
| 16,670,271 | |||
TOTAL CONSUMER STAPLES | 67,863,326 | |||
ENERGY - 3.7% | ||||
Energy Equipment & Services - 0.6% | ||||
DCP Midstream LLC 9.75% 3/15/19 (b) | 2,946,000 | 3,284,033 | ||
Halliburton Co. 6.15% 9/15/19 | 2,430,000 | 2,630,616 | ||
Transocean Ltd. 6% 3/15/18 | 7,310,000 | 7,599,593 | ||
Weatherford International Ltd.: | ||||
7% 3/15/38 | 2,250,000 | 2,166,410 | ||
9.625% 3/1/19 | 5,089,000 | 5,986,735 | ||
| 21,667,387 | |||
Oil, Gas & Consumable Fuels - 3.1% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 4,745,000 | 4,681,531 | ||
6.45% 9/15/36 | 1,155,000 | 1,038,248 | ||
Canadian Natural Resources Ltd. 5.7% 5/15/17 | 5,685,000 | 5,748,729 | ||
ConocoPhillips 5.75% 2/1/19 | 3,900,000 | 4,098,959 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Devon Energy Corp. 6.3% 1/15/19 | $ 3,000,000 | $ 3,205,857 | ||
Devon Financing Corp. U.L.C. 6.875% 9/30/11 | 3,000,000 | 3,258,273 | ||
Duke Capital LLC: | ||||
6.25% 2/15/13 | 855,000 | 875,402 | ||
6.75% 2/15/32 | 4,255,000 | 3,843,010 | ||
Duke Energy Field Services 6.45% 11/3/36 (b) | 3,300,000 | 2,639,828 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 3,330,000 | 3,205,265 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (b) | 6,135,000 | 6,554,836 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 320,000 | 338,701 | ||
Kinder Morgan Energy Partners LP 5.125% 11/15/14 | 6,045,000 | 6,012,291 | ||
Nakilat, Inc. 6.067% 12/31/33 (b) | 4,015,000 | 3,182,209 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (b) | 925,000 | 698,258 | ||
Nexen, Inc.: | ||||
5.875% 3/10/35 | 5,405,000 | 4,631,226 | ||
6.4% 5/15/37 | 2,125,000 | 1,951,728 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (b) | 1,980,000 | 2,075,416 | ||
Pemex Project Funding Master Trust: | ||||
1.25% 12/3/12 (b)(f) | 410,000 | 383,350 | ||
1.9294% 6/15/10 (b)(f) | 4,480,000 | 4,412,800 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 1,480,000 | 1,472,760 | ||
6.8% 5/15/38 | 3,485,000 | 3,435,638 | ||
Petroleos Mexicanos 8% 5/3/19 (b) | 4,014,000 | 4,355,190 | ||
Plains All American Pipeline LP: | ||||
6.125% 1/15/17 | 1,250,000 | 1,205,301 | ||
6.65% 1/15/37 | 1,950,000 | 1,809,114 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. III: | ||||
5.832% 9/30/16 (b) | 2,375,000 | 2,328,901 | ||
6.332% 9/30/27 (b) | 2,415,000 | 2,078,735 | ||
Suncor Energy, Inc.: | ||||
6.1% 6/1/18 | 4,665,000 | 4,689,785 | ||
6.85% 6/1/39 | 4,100,000 | 4,031,563 | ||
TEPPCO Partners LP: | ||||
6.65% 4/15/18 | 1,811,000 | 1,838,381 | ||
7.55% 4/15/38 | 3,470,000 | 3,603,109 | ||
Texas Eastern Transmission LP 6% 9/15/17 (b) | 2,434,000 | 2,430,631 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 615,000 | 631,175 | ||
| ||||
| Principal Amount | Value | ||
Valero Energy Corp. 6.625% 6/15/37 | $ 1,575,000 | $ 1,343,664 | ||
XTO Energy, Inc. 6.375% 6/15/38 | 5,075,000 | 5,186,620 | ||
| 103,276,484 | |||
TOTAL ENERGY | 124,943,871 | |||
FINANCIALS - 13.9% | ||||
Capital Markets - 3.5% | ||||
Bear Stearns Companies, Inc. 6.95% 8/10/12 | 6,445,000 | 7,004,774 | ||
BlackRock, Inc. 6.25% 9/15/17 | 3,685,000 | 3,725,288 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 3,770,000 | 3,847,643 | ||
5.625% 1/15/17 | 3,000,000 | 2,851,239 | ||
5.7% 9/1/12 | 2,935,000 | 3,072,349 | ||
5.95% 1/18/18 | 755,000 | 732,319 | ||
6.15% 4/1/18 | 3,134,000 | 3,051,190 | ||
6.6% 1/15/12 | 4,610,000 | 4,908,382 | ||
6.75% 10/1/37 | 6,705,000 | 5,960,705 | ||
Janus Capital Group, Inc.: | ||||
6.125% 9/15/11 (a) | 2,041,000 | 1,928,235 | ||
6.5% 6/15/12 | 6,015,000 | 5,556,128 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 3,090,000 | 2,456,003 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 6,975,000 | 5,998,507 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,230,000 | 2,967,262 | ||
7.125% 5/15/15 | 5,585,000 | 5,131,168 | ||
Merrill Lynch & Co., Inc.: | ||||
4.25% 2/8/10 | 7,275,000 | 7,303,824 | ||
5.45% 2/5/13 | 2,509,000 | 2,442,002 | ||
6.15% 4/25/13 | 1,204,000 | 1,205,701 | ||
6.4% 8/28/17 | 1,300,000 | 1,150,838 | ||
6.875% 4/25/18 | 1,074,000 | 994,047 | ||
Morgan Stanley: | ||||
1.3994% 1/9/12 (f) | 4,300,000 | 3,876,050 | ||
4.75% 4/1/14 | 1,500,000 | 1,416,885 | ||
5.45% 1/9/17 | 900,000 | 840,404 | ||
5.95% 12/28/17 | 2,100,000 | 2,015,076 | ||
6% 5/13/14 | 3,380,000 | 3,422,142 | ||
6.6% 4/1/12 | 7,695,000 | 8,147,127 | ||
6.625% 4/1/18 | 10,165,000 | 10,133,549 | ||
7.3% 5/13/19 | 5,111,000 | 5,299,851 | ||
Northern Trust Corp.: | ||||
4.625% 5/1/14 | 768,000 | 789,203 | ||
5.5% 8/15/13 | 1,100,000 | 1,166,219 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
UBS AG Stamford Branch: | ||||
5.75% 4/25/18 | $ 4,720,000 | $ 4,298,674 | ||
5.875% 12/20/17 | 3,145,000 | 2,928,813 | ||
| 116,621,597 | |||
Commercial Banks - 1.9% | ||||
American Express Bank FSB 6% 9/13/17 | 3,625,000 | 3,306,620 | ||
Bank of America NA 5.3% 3/15/17 | 1,480,000 | 1,255,702 | ||
Credit Suisse (Guernsey) Ltd. 5.86% | 4,785,000 | 3,110,250 | ||
Credit Suisse First Boston 6% 2/15/18 | 6,110,000 | 6,099,766 | ||
Credit Suisse First Boston New York Branch 5% 5/15/13 | 2,403,000 | 2,456,642 | ||
Credit Suisse New York Branch 5.5% 5/1/14 | 2,200,000 | 2,285,668 | ||
DBS Bank Ltd. (Singapore) 1.0744% 5/16/17 (b)(f) | 410,000 | 358,750 | ||
Export-Import Bank of Korea 5.5% 10/17/12 | 6,570,000 | 6,691,177 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 930,000 | 664,918 | ||
8.25% 3/1/38 | 3,564,000 | 2,728,249 | ||
HBOS PLC 6.75% 5/21/18 (b) | 2,600,000 | 1,962,714 | ||
HSBC Holdings PLC: | ||||
1.3659% 10/6/16 (f) | 399,000 | 347,803 | ||
6.5% 9/15/37 | 7,355,000 | 7,114,587 | ||
Korea Development Bank 5.3% 1/17/13 | 3,805,000 | 3,755,908 | ||
Manufacturers & Traders Trust Co. 2.7075% 4/1/13 (b)(f) | 269,000 | 211,431 | ||
National City Bank, Cleveland 4.5% 3/15/10 | 5,477,000 | 5,557,222 | ||
PNC Funding Corp. 1.1794% 1/31/12 (f) | 1,019,000 | 938,421 | ||
Santander Issuances SA Unipersonal 0.9688% 6/20/16 (b)(f) | 1,229,000 | 921,750 | ||
SouthTrust Corp. 5.8% 6/15/14 | 1,440,000 | 1,429,721 | ||
Standard Chartered Bank 6.4% 9/26/17 (b) | 4,025,000 | 3,637,030 | ||
Wachovia Bank NA 4.875% 2/1/15 | 4,405,000 | 4,206,290 | ||
Wachovia Corp. 4.875% 2/15/14 | 785,000 | 766,697 | ||
Wells Fargo & Co. 5.625% 12/11/17 | 4,754,000 | 4,679,519 | ||
| 64,486,835 | |||
Consumer Finance - 1.5% | ||||
American General Finance Corp. 6.9% 12/15/17 | 2,370,000 | 1,283,312 | ||
Capital One Bank USA NA 8.8% 7/15/19 | 2,580,000 | 2,635,790 | ||
| ||||
| Principal Amount | Value | ||
Capital One Financial Corp. 7.375% 5/23/14 | $ 3,210,000 | $ 3,310,088 | ||
Discover Financial Services 1.1688% 6/11/10 (f) | 11,045,000 | 10,399,144 | ||
General Electric Capital Corp.: | ||||
5.625% 9/15/17 | 2,420,000 | 2,316,056 | ||
5.625% 5/1/18 | 9,700,000 | 9,174,095 | ||
5.875% 1/14/38 | 3,600,000 | 2,848,993 | ||
5.9% 5/13/14 | 4,170,000 | 4,256,156 | ||
6.375% 11/15/67 (f) | 4,000,000 | 2,668,884 | ||
MBNA America Bank NA 7.125% 11/15/12 (b) | 1,075,000 | 1,132,636 | ||
MBNA Corp. 7.5% 3/15/12 | 1,860,000 | 1,953,722 | ||
SLM Corp.: | ||||
1.2319% 7/27/09 (f) | 1,064,000 | 1,059,468 | ||
1.2519% 7/26/10 (f) | 6,312,000 | 5,729,106 | ||
4.5% 7/26/10 | 2,555,000 | 2,414,475 | ||
| 51,181,925 | |||
Diversified Financial Services - 1.9% | ||||
Bank of America Corp. 7.4% 1/15/11 | 9,125,000 | 9,367,488 | ||
BP Capital Markets PLC 5.25% 11/7/13 | 7,866,000 | 8,442,664 | ||
BTM Curacao Holding NV 0.93% 12/19/16 (b)(f) | 666,000 | 516,327 | ||
Citigroup, Inc.: | ||||
5.3% 10/17/12 | 3,180,000 | 3,067,294 | ||
5.5% 4/11/13 | 1,390,000 | 1,302,771 | ||
6.125% 5/15/18 | 6,240,000 | 5,457,885 | ||
6.5% 8/19/13 | 7,045,000 | 6,843,358 | ||
CME Group, Inc. 5.75% 2/15/14 | 1,779,000 | 1,897,156 | ||
International Lease Finance Corp. 5.65% 6/1/14 | 4,750,000 | 3,442,092 | ||
JPMorgan Chase & Co.: | ||||
4.891% 9/1/15 (f) | 20,000 | 17,400 | ||
5.6% 6/1/11 | 88,000 | 92,131 | ||
5.75% 1/2/13 | 3,500,000 | 3,609,470 | ||
6.3% 4/23/19 | 3,920,000 | 3,942,830 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (b) | 3,375,000 | 2,266,711 | ||
5.35% 4/15/12 (b) | 1,700,000 | 1,389,964 | ||
5.5% 1/15/14 (b) | 2,405,000 | 1,728,045 | ||
TECO Finance, Inc. 7% 5/1/12 | 1,740,000 | 1,770,443 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (b)(f) | 1,580,000 | 1,216,600 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (b)(f) | 3,716,000 | 2,824,160 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (b)(f) | 871,000 | 629,646 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (b)(f) | 4,035,000 | 2,905,200 | ||
| 62,729,635 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Insurance - 2.1% | ||||
Allstate Corp.: | ||||
6.2% 5/16/14 | $ 2,709,000 | $ 2,841,386 | ||
7.45% 5/16/19 | 2,682,000 | 2,901,549 | ||
American International Group, Inc. 8.175% 5/15/58 (b)(f) | 3,075,000 | 877,285 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 420,000 | 378,510 | ||
Hartford Financial Services Group, Inc. 8.125% 6/15/68 (f) | 5,815,000 | 4,070,500 | ||
Lincoln National Corp. 7% 5/17/66 (f) | 7,285,000 | 4,589,550 | ||
Marsh & McLennan Companies, Inc. 9.25% 4/15/19 | 6,066,000 | 6,826,185 | ||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (b) | 3,000,000 | 3,185,676 | ||
Merna Reinsurance Ltd. Series 2007-1 Class B, 2.3475% 6/30/12 (b)(f) | 3,285,000 | 3,059,649 | ||
MetLife, Inc.: | ||||
6.75% 6/1/16 | 3,234,000 | 3,292,390 | ||
7.717% 2/15/19 | 4,779,000 | 5,111,795 | ||
Metropolitan Life Global Funding I 5.125% 6/10/14 (b) | 2,884,000 | 2,861,557 | ||
New York Life Global Funding 4.65% 5/9/13 (b) | 6,045,000 | 6,131,510 | ||
Pacific Life Global Funding 5.15% 4/15/13 (b) | 3,690,000 | 3,677,679 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (b) | 3,660,000 | 3,552,111 | ||
Prudential Financial, Inc.: | ||||
5.4% 6/13/35 | 1,651,000 | 1,230,180 | ||
5.5% 3/15/16 | 1,552,000 | 1,455,348 | ||
6.2% 1/15/15 | 460,000 | 449,691 | ||
7.375% 6/15/19 | 1,250,000 | 1,227,288 | ||
8.875% 6/15/68 (f) | 7,265,000 | 6,029,950 | ||
Symetra Financial Corp. 6.125% 4/1/16 (b) | 6,355,000 | 4,809,903 | ||
The Chubb Corp.: | ||||
5.75% 5/15/18 | 1,895,000 | 1,965,560 | ||
6.5% 5/15/38 | 1,595,000 | 1,729,100 | ||
| 72,254,352 | |||
Real Estate Investment Trusts - 2.3% | ||||
AMB Property LP 5.9% 8/15/13 | 2,575,000 | 2,348,861 | ||
Arden Realty LP 5.25% 3/1/15 | 625,000 | 592,048 | ||
AvalonBay Communities, Inc. 5.5% 1/15/12 | 963,000 | 965,512 | ||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | 1,295,000 | 1,290,888 | ||
5.625% 12/15/10 | 2,260,000 | 2,204,842 | ||
5.7% 5/1/17 | 5,000,000 | 3,465,705 | ||
5.75% 4/1/12 | 1,356,000 | 1,225,984 | ||
| ||||
| Principal Amount | Value | ||
Camden Property Trust 5.375% 12/15/13 | $ 2,985,000 | $ 2,713,884 | ||
Colonial Properties Trust: | ||||
4.8% 4/1/11 | 269,000 | 251,938 | ||
5.5% 10/1/15 | 6,290,000 | 4,957,476 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 225,000 | 203,433 | ||
5% 5/3/10 | 2,435,000 | 2,204,785 | ||
5.25% 4/15/11 | 2,335,000 | 1,952,308 | ||
5.375% 10/15/12 | 1,240,000 | 838,250 | ||
Duke Realty LP: | ||||
4.625% 5/15/13 | 925,000 | 782,923 | ||
5.4% 8/15/14 | 2,175,000 | 1,849,052 | ||
5.5% 3/1/16 | 1,270,000 | 976,867 | ||
5.625% 8/15/11 | 3,500,000 | 3,350,543 | ||
5.95% 2/15/17 | 778,000 | 603,081 | ||
6.25% 5/15/13 | 2,800,000 | 2,459,693 | ||
6.5% 1/15/18 | 2,445,000 | 1,913,085 | ||
6.95% 3/15/11 | 1,535,000 | 1,512,908 | ||
Equity One, Inc. 6% 9/15/17 | 2,390,000 | 1,876,207 | ||
Federal Realty Investment Trust 5.4% 12/1/13 | 1,390,000 | 1,274,770 | ||
Hospitality Properties Trust 5.625% 3/15/17 | 4,210,000 | 3,142,487 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 670,000 | 545,950 | ||
6.25% 6/15/17 | 4,455,000 | 3,587,848 | ||
Liberty Property LP: | ||||
5.5% 12/15/16 | 2,275,000 | 1,849,118 | ||
6.625% 10/1/17 | 2,290,000 | 1,943,287 | ||
Mack-Cali Realty LP 5.05% 4/15/10 | 1,735,000 | 1,728,364 | ||
Reckson Operating Partnership LP: | ||||
5.15% 1/15/11 | 795,000 | 732,926 | ||
6% 3/31/16 | 3,099,000 | 2,290,146 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 2,965,000 | 2,972,374 | ||
4.875% 8/15/10 | 4,120,000 | 4,151,988 | ||
5% 3/1/12 | 2,060,000 | 2,053,532 | ||
5.1% 6/15/15 | 2,220,000 | 2,027,138 | ||
5.375% 6/1/11 | 2,020,000 | 2,024,640 | ||
7.75% 1/20/11 | 595,000 | 610,275 | ||
UDR, Inc. 5.5% 4/1/14 | 2,690,000 | 2,480,615 | ||
United Dominion Realty Trust, Inc. 5.25% 1/15/15 | 890,000 | 805,860 | ||
Washington (REIT) 5.95% 6/15/11 | 3,015,000 | 2,844,737 | ||
| 77,606,328 | |||
Real Estate Management & Development - 0.4% | ||||
ERP Operating LP: | ||||
5.375% 8/1/16 | 1,034,000 | 951,213 | ||
5.5% 10/1/12 | 3,548,000 | 3,553,031 | ||
5.75% 6/15/17 | 3,760,000 | 3,507,629 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 2,655,000 | 2,386,898 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Regency Centers LP: | ||||
5.875% 6/15/17 | $ 1,815,000 | $ 1,462,602 | ||
6.75% 1/15/12 | 2,035,000 | 1,965,279 | ||
| 13,826,652 | |||
Thrifts & Mortgage Finance - 0.3% | ||||
Bank of America Corp. 7.375% 5/15/14 | 5,197,000 | 5,368,584 | ||
Independence Community Bank Corp. 3.0275% 4/1/14 (f) | 4,690,000 | 3,335,476 | ||
| 8,704,060 | |||
TOTAL FINANCIALS | 467,411,384 | |||
HEALTH CARE - 0.5% | ||||
Health Care Providers & Services - 0.2% | ||||
Express Scripts, Inc.: | ||||
5.25% 6/15/12 | 3,016,000 | 3,115,992 | ||
6.25% 6/15/14 | 1,786,000 | 1,889,781 | ||
7.25% 6/15/19 | 1,157,000 | 1,275,875 | ||
| 6,281,648 | |||
Pharmaceuticals - 0.3% | ||||
AstraZeneca PLC: | ||||
5.9% 9/15/17 | 1,990,000 | 2,130,952 | ||
6.45% 9/15/37 | 1,485,000 | 1,646,216 | ||
Merck & Co., Inc.: | ||||
5% 6/30/19 | 2,094,000 | 2,120,238 | ||
5.85% 6/30/39 | 2,275,000 | 2,337,019 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 2,940,000 | 3,040,954 | ||
| 11,275,379 | |||
TOTAL HEALTH CARE | 17,557,027 | |||
INDUSTRIALS - 1.5% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (b) | 3,465,000 | 3,478,309 | ||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (b) | 4,515,000 | 3,950,625 | ||
7.45% 5/1/34 (b) | 420,000 | 319,200 | ||
| 7,748,134 | |||
Airlines - 0.9% | ||||
American Airlines, Inc. pass-thru trust certificates: | ||||
6.978% 10/1/12 | 366,936 | 350,424 | ||
7.024% 4/15/11 | 2,180,000 | 2,152,750 | ||
7.858% 4/1/13 | 3,480,000 | 3,262,500 | ||
| ||||
| Principal Amount | Value | ||
Continental Airlines, Inc.: | ||||
6.648% 3/15/19 | $ 1,604,067 | $ 1,315,335 | ||
6.795% 2/2/20 | 3,331,707 | 2,398,829 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 2,777,136 | 2,277,251 | ||
7.57% 11/18/10 | 5,885,000 | 5,620,175 | ||
Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19 | 3,014,532 | 2,260,899 | ||
Southwest Airlines Co. pass-thru trust certificates 6.15% 8/1/22 | 2,281,936 | 2,145,020 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | 1,526,280 | 1,114,185 | ||
8.36% 7/20/20 | 5,415,799 | 4,278,481 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class 1A, 6.636% 1/2/24 | 1,685,165 | 1,263,874 | ||
6.071% 9/1/14 | 32,567 | 32,242 | ||
6.201% 3/1/10 | 13,863 | 13,724 | ||
6.602% 9/1/13 | 42,092 | 41,671 | ||
7.032% 4/1/12 | 419,847 | 411,450 | ||
7.186% 10/1/12 | 1,043,561 | 1,022,690 | ||
| 29,961,500 | |||
Building Products - 0.0% | ||||
Masco Corp. 0.9388% 3/12/10 (f) | 941,000 | 907,666 | ||
Industrial Conglomerates - 0.4% | ||||
Covidien International Finance SA 5.45% 10/15/12 | 2,155,000 | 2,279,598 | ||
General Electric Co. 5.25% 12/6/17 | 7,130,000 | 7,001,981 | ||
Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (b) | 3,600,000 | 3,734,370 | ||
| 13,015,949 | |||
TOTAL INDUSTRIALS | 51,633,249 | |||
INFORMATION TECHNOLOGY - 0.3% | ||||
Communications Equipment - 0.1% | ||||
Nokia Corp. 5.375% 5/15/19 | 3,182,000 | 3,219,341 | ||
Electronic Equipment & Components - 0.0% | ||||
Tyco Electronics Group SA 7.125% 10/1/37 | 1,225,000 | 992,582 | ||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
Chartered Semiconductor Manufacturing Ltd. 5.75% 8/3/10 | 195,000 | 190,937 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
National Semiconductor Corp.: | ||||
0.8794% 6/15/10 (f) | $ 1,092,000 | $ 982,873 | ||
6.15% 6/15/12 | 5,265,000 | 5,139,188 | ||
| 6,312,998 | |||
TOTAL INFORMATION TECHNOLOGY | 10,524,921 | |||
MATERIALS - 1.6% | ||||
Chemicals - 0.4% | ||||
Dow Chemical Co.: | ||||
7.6% 5/15/14 | 6,141,000 | 6,325,236 | ||
8.55% 5/15/19 | 4,126,000 | 4,133,344 | ||
Lubrizol Corp. 8.875% 2/1/19 | 3,277,000 | 3,807,065 | ||
| 14,265,645 | |||
Metals & Mining - 1.2% | ||||
Anglo American Capital PLC: | ||||
9.375% 4/8/14 (b) | 2,675,000 | 2,905,719 | ||
9.375% 4/8/19 (b) | 3,319,000 | 3,584,520 | ||
BHP Billiton Financial USA Ltd.: | ||||
5.5% 4/1/14 | 3,707,000 | 3,976,658 | ||
6.5% 4/1/19 | 3,707,000 | 4,116,716 | ||
Nucor Corp.: | ||||
5.85% 6/1/18 | 3,180,000 | 3,298,102 | ||
6.4% 12/1/37 | 2,550,000 | 2,621,002 | ||
Rio Tinto Finance (USA) Ltd.: | ||||
5.875% 7/15/13 | 7,725,000 | 7,773,413 | ||
6.5% 7/15/18 | 2,796,000 | 2,797,630 | ||
7.125% 7/15/28 | 3,500,000 | 3,339,798 | ||
United States Steel Corp. 6.65% 6/1/37 | 2,270,000 | 1,715,044 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 3,115,000 | 3,140,742 | ||
| 39,269,344 | |||
TOTAL MATERIALS | 53,534,989 | |||
TELECOMMUNICATION SERVICES - 1.8% | ||||
Diversified Telecommunication Services - 1.6% | ||||
AT&T Broadband Corp. 8.375% 3/15/13 | 2,150,000 | 2,451,000 | ||
AT&T, Inc.: | ||||
6.3% 1/15/38 | 364,000 | 351,716 | ||
6.8% 5/15/36 | 10,939,000 | 11,333,635 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 620,000 | 684,944 | ||
Deutsche Telekom International Financial BV 5.25% 7/22/13 | 2,500,000 | 2,567,828 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 7,050,000 | 5,005,500 | ||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | 2,000,000 | 1,914,638 | ||
5.25% 10/1/15 | 192,000 | 185,345 | ||
| ||||
| Principal Amount | Value | ||
6.999% 6/4/18 | $ 3,792,000 | $ 3,836,200 | ||
7.2% 7/18/36 | 3,523,000 | 3,415,830 | ||
7.721% 6/4/38 | 2,330,000 | 2,372,742 | ||
Telefonica Emisiones SAU: | ||||
5.855% 2/4/13 | 1,438,000 | 1,515,850 | ||
6.221% 7/3/17 | 2,885,000 | 3,052,229 | ||
7.045% 6/20/36 | 3,707,000 | 4,107,845 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 2,190,000 | 2,246,408 | ||
6.25% 4/1/37 | 1,380,000 | 1,333,522 | ||
6.4% 2/15/38 | 2,548,000 | 2,494,469 | ||
6.9% 4/15/38 | 2,420,000 | 2,524,551 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 1,095,000 | 1,160,511 | ||
| 52,554,763 | |||
Wireless Telecommunication Services - 0.2% | ||||
AT&T Wireless Services, Inc.: | ||||
7.875% 3/1/11 | 740,000 | 798,064 | ||
8.125% 5/1/12 | 1,130,000 | 1,265,128 | ||
Sprint Nextel Corp. 6% 12/1/16 | 2,260,000 | 1,847,550 | ||
Vodafone Group PLC 5% 12/16/13 | 2,775,000 | 2,877,980 | ||
| 6,788,722 | |||
TOTAL TELECOMMUNICATION SERVICES | 59,343,485 | |||
UTILITIES - 4.0% | ||||
Electric Utilities - 2.2% | ||||
Alabama Power Co. 4.85% 12/15/12 | 4,095,000 | 4,337,874 | ||
AmerenUE 6.4% 6/15/17 | 6,509,000 | 6,683,252 | ||
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 4,845,000 | 4,938,378 | ||
Commonwealth Edison Co.: | ||||
5.4% 12/15/11 | 2,394,000 | 2,504,023 | ||
5.8% 3/15/18 | 4,010,000 | 4,072,215 | ||
6.15% 9/15/17 | 2,890,000 | 3,002,427 | ||
Duke Energy Carolinas LLC 6.05% 4/15/38 | 714,000 | 756,095 | ||
EDP Finance BV 6% 2/2/18 (b) | 2,864,000 | 2,940,810 | ||
Enel Finance International SA 6.25% 9/15/17 (b) | 1,455,000 | 1,519,128 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 5,075,000 | 4,725,246 | ||
6.75% 5/1/11 | 2,425,000 | 2,531,133 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 2,980,000 | 3,110,405 | ||
FPL Group Capital, Inc. 7.875% 12/15/15 | 1,164,000 | 1,380,028 | ||
Illinois Power Co. 6.125% 11/15/17 | 1,465,000 | 1,423,340 | ||
Nevada Power Co. 6.5% 5/15/18 | 3,165,000 | 3,234,931 | ||
Ohio Power Co. 1.3459% 4/5/10 (f) | 1,167,000 | 1,154,238 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Oncor Electric Delivery Co. 6.375% 5/1/12 | $ 1,885,000 | $ 1,989,109 | ||
Oncor Electric Delivery Co. LLC 6.8% 9/1/18 | 7,178,000 | 7,670,468 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 2,905,000 | 2,828,157 | ||
PPL Capital Funding, Inc. 6.7% 3/30/67 (f) | 6,230,000 | 4,547,900 | ||
Progress Energy, Inc.: | ||||
5.625% 1/15/16 | 2,000,000 | 2,038,630 | ||
7.1% 3/1/11 | 3,932,000 | 4,181,902 | ||
West Penn Power Co. 5.95% 12/15/17 (b) | 3,275,000 | 2,919,905 | ||
| 74,489,594 | |||
Gas Utilities - 0.0% | ||||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 185,000 | 191,544 | ||
Independent Power Producers & Energy Traders - 0.5% | ||||
Constellation Energy Group, Inc. 7% 4/1/12 | 5,735,000 | 5,924,834 | ||
Exelon Generation Co. LLC 6.2% 10/1/17 | 6,685,000 | 6,654,028 | ||
PPL Energy Supply LLC: | ||||
6.2% 5/15/16 | 1,229,000 | 1,224,077 | ||
6.5% 5/1/18 | 2,640,000 | 2,680,176 | ||
| 16,483,115 | |||
Multi-Utilities - 1.3% | ||||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 3,540,000 | 3,638,281 | ||
6.25% 6/30/12 | 1,938,000 | 2,080,784 | ||
6.3% 9/30/66 (f) | 9,255,000 | 6,293,400 | ||
DTE Energy Co. 7.05% 6/1/11 | 3,500,000 | 3,662,701 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.75% 4/1/18 | 1,800,000 | 1,872,356 | ||
5.875% 10/1/12 | 2,880,000 | 3,067,214 | ||
6.5% 9/15/37 | 2,524,000 | 2,619,518 | ||
National Grid PLC 6.3% 8/1/16 | 7,820,000 | 8,034,151 | ||
NiSource Finance Corp.: | ||||
1.2313% 11/23/09 (f) | 412,000 | 408,728 | ||
5.4% 7/15/14 | 3,885,000 | 3,676,057 | ||
5.45% 9/15/20 | 2,135,000 | 1,795,714 | ||
6.4% 3/15/18 | 3,220,000 | 2,978,895 | ||
7.875% 11/15/10 | 925,000 | 955,422 | ||
| ||||
| Principal Amount | Value | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (f) | $ 2,740,000 | $ 2,000,200 | ||
WPS Resources Corp. 6.11% 12/1/66 (f) | 2,330,000 | 1,514,500 | ||
| 44,597,921 | |||
TOTAL UTILITIES | 135,762,174 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $1,107,853,274) | 1,071,712,510 | |||
U.S. Government and Government Agency Obligations - 22.2% | ||||
| ||||
Other Government Related - 0.6% | ||||
Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (c) | 18,220,000 | 18,222,514 | ||
U.S. Government Agency Obligations - 2.2% | ||||
Fannie Mae: | ||||
2.5% 5/15/14 | 1,734,000 | 1,704,659 | ||
2.75% 3/13/14 | 2,460,000 | 2,454,736 | ||
4.75% 11/19/12 | 4,110,000 | 4,469,863 | ||
5% 2/16/12 | 20,940,000 | 22,719,900 | ||
Federal Home Loan Bank 3.625% 5/29/13 | 2,940,000 | 3,057,976 | ||
Freddie Mac: | ||||
4% 6/12/13 | 17,620,000 | 18,417,851 | ||
5.75% 1/15/12 | 15,975,000 | 17,624,115 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 2,375,000 | 2,320,793 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | 1,210,000 | 1,213,868 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 73,983,761 | |||
U.S. Treasury Inflation Protected Obligations - 7.2% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.625% 1/15/18 | 18,625,374 | 18,487,224 | ||
2% 1/15/14 (k) | 178,976,888 | 183,059,703 | ||
2% 7/15/14 | 5,655,850 | 5,788,412 | ||
2.625% 7/15/17 | 34,567,344 | 36,850,014 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 244,185,353 | |||
U.S. Treasury Obligations - 12.2% | ||||
U.S. Treasury Bonds 4.25% 5/15/39 | 22,150,000 | 21,924,956 | ||
U.S. Treasury Notes: | ||||
1.75% 3/31/14 (k) | 40,282,000 | 38,960,267 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
1.875% 6/15/12 | $ 131,780,000 | $ 132,738,041 | ||
2.75% 2/15/19 | 50,000,000 | 46,828,000 | ||
3.125% 5/15/19 | 40,000,000 | 38,687,600 | ||
3.375% 6/30/13 (k) | 126,309,000 | 132,308,678 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 411,447,542 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $736,527,771) | 747,839,170 | |||
U.S. Government Agency - Mortgage Securities - 32.7% | ||||
| ||||
Fannie Mae - 30.7% | ||||
2.795% 4/1/34 (f) | 2,834,696 | 2,896,316 | ||
3.061% 6/1/33 (f) | 121,309 | 123,493 | ||
3.283% 3/1/35 (f) | 124,556 | 127,294 | ||
3.296% 10/1/33 (f) | 62,560 | 63,902 | ||
3.301% 3/1/35 (f) | 1,087,752 | 1,107,741 | ||
3.384% 5/1/35 (f) | 2,539,293 | 2,596,691 | ||
3.583% 8/1/36 (f) | 2,703,100 | 2,766,969 | ||
3.77% 6/1/34 (f) | 845,093 | 856,408 | ||
3.834% 5/1/34 (f) | 1,919,062 | 1,936,290 | ||
3.872% 9/1/33 (f) | 1,099,182 | 1,106,536 | ||
3.88% 6/1/35 (f) | 700,906 | 717,392 | ||
3.919% 7/1/35 (f) | 665,660 | 679,659 | ||
3.945% 2/1/35 (f) | 692,860 | 705,735 | ||
3.971% 7/1/35 (f) | 551,815 | 563,670 | ||
3.998% 10/1/33 (f) | 1,511,706 | 1,532,706 | ||
4% 8/1/18 to 6/1/19 | 2,653,672 | 2,715,320 | ||
4.046% 3/1/35 (f) | 33,052 | 33,847 | ||
4.288% 3/1/33 (f) | 89,886 | 91,801 | ||
4.301% 7/1/35 (f) | 637,691 | 655,125 | ||
4.338% 3/1/37 (f) | 3,755,515 | 3,874,497 | ||
4.398% 11/1/36 (f) | 2,301,727 | 2,375,581 | ||
4.43% 2/1/35 (f) | 4,666,400 | 4,779,113 | ||
4.436% 3/1/35 (f) | 309,355 | 319,390 | ||
4.477% 3/1/35 (f) | 646,002 | 663,239 | ||
4.479% 7/1/35 (f) | 74,765 | 76,330 | ||
4.492% 5/1/35 (f) | 407,341 | 414,533 | ||
4.5% 4/1/23 to 10/1/35 | 52,199,190 | 52,549,844 | ||
4.5% 7/1/24 (i) | 37,000,000 | 37,725,566 | ||
4.526% 10/1/35 (f) | 4,862,961 | 5,006,406 | ||
4.548% 10/1/33 (f) | 141,478 | 143,946 | ||
4.619% 9/1/35 (f) | 3,679,920 | 3,811,432 | ||
4.643% 4/1/35 (f) | 3,461,333 | 3,544,966 | ||
4.653% 2/1/35 (f) | 5,942,882 | 6,095,751 | ||
| ||||
| Principal Amount | Value | ||
4.667% 7/1/35 (f) | $ 181,486 | $ 187,743 | ||
4.699% 8/1/33 (f) | 171,331 | 174,188 | ||
4.734% 10/1/35 (f) | 1,255,820 | 1,290,425 | ||
4.765% 2/1/34 (f) | 48,858 | 50,481 | ||
4.854% 10/1/34 (f) | 2,295,775 | 2,349,972 | ||
4.939% 5/1/36 (f) | 874,291 | 906,905 | ||
4.962% 7/1/34 (f) | 80,061 | 81,927 | ||
4.987% 7/1/35 (f) | 3,197,982 | 3,296,016 | ||
5% 10/1/17 to 7/1/37 | 126,967,435 | 130,786,556 | ||
5.047% 9/1/36 (f) | 1,434,014 | 1,493,228 | ||
5.065% 9/1/34 (f) | 1,417,416 | 1,446,182 | ||
5.069% 4/1/35 (f) | 3,016,963 | 3,088,227 | ||
5.108% 4/1/36 (f) | 2,937,414 | 3,068,681 | ||
5.183% 5/1/35 (f) | 2,371,281 | 2,459,941 | ||
5.295% 12/1/35 (f) | 1,200,143 | 1,256,738 | ||
5.308% 2/1/36 (f) | 2,499,660 | 2,611,365 | ||
5.5% 4/1/13 to 3/1/39 | 291,251,398 | 302,247,620 | ||
5.5% 7/1/39 (i)(j) | 19,500,000 | 20,119,326 | ||
5.5% 7/13/39 (i) | 7,000,000 | 7,222,322 | ||
5.5% 7/13/39 (i) | 3,000,000 | 3,095,281 | ||
5.595% 7/1/37 (f) | 651,810 | 677,209 | ||
5.66% 9/1/35 (f) | 959,650 | 1,002,534 | ||
6% 6/1/14 to 5/1/37 | 149,207,180 | 157,300,050 | ||
6% 2/1/37 | 7,997,203 | 8,384,880 | ||
6% 7/13/39 (i)(j) | 40,000,000 | 41,792,840 | ||
6% 7/13/39 (i) | 78,000,000 | 81,496,038 | ||
6.003% 4/1/36 (f) | 512,019 | 534,740 | ||
6.248% 6/1/36 (f) | 253,310 | 261,895 | ||
6.326% 4/1/36 (f) | 548,065 | 574,123 | ||
6.5% 6/1/11 to 7/1/34 | 22,208,102 | 23,834,584 | ||
6.5% 7/13/39 (i)(j) | 78,500,000 | 83,559,168 | ||
7% 3/1/15 to 8/1/32 | 2,658,175 | 2,905,579 | ||
7.5% 7/1/16 to 11/1/31 | 2,188,533 | 2,403,513 | ||
8% 1/1/30 to 5/1/30 | 60,503 | 66,974 | ||
8.5% 3/1/25 to 6/1/25 | 1,165 | 1,296 | ||
TOTAL FANNIE MAE | 1,034,686,036 | |||
Freddie Mac - 1.2% | ||||
3.156% 2/1/34 (f) | 188,490 | 191,787 | ||
3.478% 3/1/35 (f) | 528,152 | 540,331 | ||
3.858% 1/1/35 (f) | 362,488 | 371,371 | ||
3.927% 7/1/33 (f) | 4,089,871 | 4,159,439 | ||
4% 2/1/20 | 2,730,623 | 2,788,427 | ||
4.067% 6/1/35 (f) | 264,492 | 273,613 | ||
4.456% 1/1/35 (f) | 1,292,600 | 1,335,232 | ||
4.495% 5/1/35 (f) | 1,987,185 | 2,053,116 | ||
4.755% 3/1/36 (f) | 486,828 | 499,137 | ||
5% 7/13/39 (i) | 5,000,000 | 5,081,932 | ||
5% 7/13/39 (i) | 5,000,000 | 5,081,932 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Freddie Mac - continued | ||||
5.141% 4/1/35 (f) | $ 1,309,106 | $ 1,358,941 | ||
5.309% 3/1/33 (f) | 31,137 | 32,063 | ||
5.382% 11/1/35 (f) | 710,323 | 746,505 | ||
5.522% 1/1/36 (f) | 1,579,845 | 1,653,048 | ||
5.692% 10/1/35 (f) | 441,429 | 461,155 | ||
5.92% 6/1/36 (f) | 1,178,039 | 1,228,467 | ||
6% 4/1/32 to 7/1/37 | 11,338,904 | 11,924,270 | ||
6.116% 6/1/36 (f) | 585,968 | 613,157 | ||
6.616% 1/1/37 (f) | 454,707 | 477,869 | ||
7.5% 5/1/17 to 11/1/31 | 245,420 | 267,960 | ||
8% 7/1/17 to 5/1/27 | 36,557 | 40,215 | ||
8.5% 3/1/20 to 1/1/28 | 158,242 | 175,648 | ||
TOTAL FREDDIE MAC | 41,355,615 | |||
Government National Mortgage Association - 0.8% | ||||
4.25% 7/20/34 (f) | 285,573 | 292,859 | ||
6% 3/15/29 to 11/15/34 | 10,398,952 | 10,974,477 | ||
6.5% 8/15/27 to 11/15/35 | 9,803,105 | 10,559,806 | ||
7% 1/15/28 to 7/15/32 | 4,360,163 | 4,720,703 | ||
7.5% 4/15/22 to 10/15/28 | 1,075,105 | 1,176,726 | ||
8% 2/15/17 to 9/15/30 | 114,413 | 126,393 | ||
8.5% 12/15/16 to 3/15/30 | 29,950 | 33,451 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 27,884,415 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,076,094,004) | 1,103,926,066 | |||
Asset-Backed Securities - 3.3% | ||||
| ||||
Accredited Mortgage Loan Trust: | ||||
Series 2004-4 Class A2D, 0.6638% 1/25/35 (f) | 35,616 | 19,529 | ||
Series 2005-1 Class M1, 0.7838% 4/25/35 (f) | 642,067 | 337,683 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HS1 Class M2, 2.9388% 6/25/33 (f) | 40,707 | 32,500 | ||
Series 2004-HE1 Class M1, 0.8138% 2/25/34 (f) | 84,484 | 76,560 | ||
Series 2004-OP1 Class M1, 0.8338% 4/25/34 (f) | 218,634 | 130,796 | ||
Series 2005-HE2 Class M2, 0.7638% 4/25/35 (f) | 92,000 | 78,346 | ||
Series 2005-SD1 Class A1, 0.7138% 11/25/50 (f) | 85,411 | 79,839 | ||
| ||||
| Principal Amount | Value | ||
Advanta Business Card Master Trust: | ||||
Series 2006-A6 Class A6, 0.345% 9/20/13 (f) | $ 3,237,867 | $ 2,841,228 | ||
Series 2006-A7 Class A7, 0.335% 10/20/12 (f) | 1,837,589 | 1,612,484 | ||
Series 2006-C1 Class C1, 0.795% 10/20/14 (f) | 169,000 | 8,450 | ||
Series 2007-A1 Class A, 0.365% 1/20/15 (f) | 1,254,508 | 1,100,830 | ||
Series 2007-A4 Class A4, 0.345% 4/22/13 (f) | 1,356,989 | 1,190,757 | ||
Series 2007-A5 Class A5, 0.815% 8/20/13 (f) | 2,562,023 | 2,248,175 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.8194% 6/15/32 (b)(f) | 2,830,848 | 905,871 | ||
ALG Student Loan Trust I Series 2006-1 Class A1, 1.0825% 10/28/18 (b)(f) | 287,069 | 286,217 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 0.8194% 2/15/12 (b)(f) | 87,400 | 87,292 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2005-1 Class C, 4.73% 7/6/10 | 33,423 | 33,428 | ||
Series 2006-1: | ||||
Class B1, 5.2% 3/6/11 | 133,299 | 126,634 | ||
Class C1, 5.28% 11/6/11 | 1,850,000 | 1,750,223 | ||
Series 2008-AF Class A3, 5.68% 12/12/12 | 5,225,000 | 5,133,242 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.0138% 12/25/33 (f) | 47,196 | 35,013 | ||
Series 2004-R10 Class M1, 1.0138% 11/25/34 (f) | 239,000 | 148,522 | ||
Series 2004-R11 Class M1, 0.9738% 11/25/34 (f) | 205,737 | 94,229 | ||
Series 2004-R2: | ||||
Class M1, 0.7438% 4/25/34 (f) | 76,580 | 61,301 | ||
Class M3, 0.8638% 4/25/34 (f) | 56,574 | 21,121 | ||
Series 2005-R1 Class M1, 0.7638% 3/25/35 (f) | 332,000 | 221,233 | ||
Series 2005-R10 Class A2B, 0.5338% 12/25/35 (f) | 279,118 | 234,881 | ||
Series 2005-R2 Class M1, 0.7638% 4/25/35 (f) | 727,000 | 511,740 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.6438% 6/25/32 (f) | 55,713 | 28,320 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.7038% 3/1/34 (f) | 16,878 | 3,908 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Argent Securities, Inc. pass-thru certificates: - continued | ||||
Series 2004-W11 Class M2, 1.0138% 11/25/34 (f) | $ 198,000 | $ 81,548 | ||
Series 2004-W5 Class M1, 0.9138% 4/25/34 (f) | 2,679,000 | 1,424,786 | ||
Series 2004-W7: | ||||
Class M1, 0.8638% 5/25/34 (f) | 209,000 | 103,118 | ||
Class M2, 0.9138% 5/25/34 (f) | 183,000 | 128,984 | ||
Series 2006-W4 Class A2C, 0.4738% 5/25/36 (f) | 547,000 | 174,705 | ||
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.7338% 12/25/34 (f) | 505,174 | 335,876 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE3 Class M1, 1.5644% 6/15/33 (f) | 80,289 | 45,009 | ||
Series 2004-HE2 Class M1, 0.8638% 4/25/34 (f) | 940,000 | 556,290 | ||
Series 2004-HE3: | ||||
Class M1, 0.8538% 6/25/34 (f) | 83,000 | 46,154 | ||
Class M2, 1.4338% 6/25/34 (f) | 131,360 | 86,315 | ||
Series 2004-HE6 Class A2, 0.6738% 6/25/34 (f) | 146,710 | 69,707 | ||
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.3994% 3/15/12 (f) | 1,209,000 | 1,199,820 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 0.9375% 5/28/44 (f) | 109,597 | 66,066 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 0.9825% 2/28/44 (f) | 212,389 | 130,989 | ||
Bear Stearns Asset Backed Securities I Trust: | ||||
Series 2005-3 Class A1, 0.7638% 9/25/35 (f) | 34,687 | 25,515 | ||
Series 2005-FR1 Class M1, 0.8138% 6/25/35 (f) | 341,000 | 189,216 | ||
Series 2005-HE2 Class M1, 0.8138% 2/25/35 (f) | 537,219 | 271,604 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.2322% 12/26/24 (f) | 809,141 | 751,773 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.3738% 10/25/36 (f) | 140,849 | 130,098 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2005-1 Class B, 0.6944% 6/15/10 (f) | 23,893 | 23,893 | ||
Series 2006-1: | ||||
Class B, 5.26% 10/15/10 | 945,000 | 951,459 | ||
Class C, 5.55% 1/18/11 | 5,965,000 | 5,996,829 | ||
| ||||
| Principal Amount | Value | ||
Class D, 7.16% 1/15/13 (b) | $ 645,000 | $ 593,400 | ||
Series 2007-SN1: | ||||
Class B, 5.52% 3/15/11 | 1,140,000 | 1,048,800 | ||
Class C, 5.73% 3/15/11 | 660,000 | 594,000 | ||
Class D, 6.05% 1/17/12 | 1,630,000 | 1,304,000 | ||
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.3294% 7/15/11 (f) | 60,733 | 60,321 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2004-6 Class B, 4.15% 7/16/12 | 4,465,000 | 4,487,374 | ||
Series 2007-C3 Class C3, 0.6094% 4/15/13 (b)(f) | 1,024,000 | 933,885 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 4,260,000 | 2,878,718 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.6138% 7/25/36 (f) | 402,000 | 11,123 | ||
Series 2006-NC3 Class M10, 2.3138% 8/25/36 (b)(f) | 255,000 | 4,740 | ||
Series 2007-RFC1 Class A3, 0.4538% 12/25/36 (f) | 635,000 | 136,208 | ||
Cendant Timeshare Receivables Funding LLC: | ||||
Series 2005 1A Class 2A2, 0.495% 5/20/17 (b)(f) | 84,152 | 61,647 | ||
Series 2005-1A Class A1, 4.67% 5/20/17 (b) | 359,617 | 279,327 | ||
Chase Issuance Trust: | ||||
Series 2004-3 Class C, 0.7894% 6/15/12 (f) | 187,000 | 181,456 | ||
Series 2008-9 Class A, 4.26% 5/15/13 | 2,000,000 | 2,057,594 | ||
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14 | 82,784 | 74,059 | ||
Citibank Credit Card Issuance Trust Series 2007-B6 Class B6, 5% 11/8/12 | 4,800,000 | 4,608,000 | ||
Citigroup Mortgage Loan Trust: | ||||
Series 2003-HE4 Class A, 0.7238% 12/25/33 (b)(f) | 123,212 | 88,309 | ||
Series 2007-AMC4 Class M1, 0.5838% 5/25/37 (f) | 270,000 | 8,181 | ||
CNH Wholesale Master Note Trust Series 2006-1A: | ||||
Class A, 0.3794% 7/15/12 (b)(f) | 461,000 | 458,197 | ||
Class B, 0.5994% 7/15/12 (b)(f) | 461,000 | 457,383 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2002-6 Class AV1, 1.1738% 5/25/33 (f) | 16,269 | 8,776 | ||
Series 2004-3: | ||||
Class 3A4, 0.5638% 8/25/34 (f) | 57,219 | 29,083 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Countrywide Home Loans, Inc.: - continued | ||||
Series 2004-3: | ||||
Class M1, 0.8138% 6/25/34 (f) | $ 233,000 | $ 135,696 | ||
Class M4, 1.2838% 4/25/34 (f) | 56,336 | 28,342 | ||
Series 2004-4: | ||||
Class A, 0.6838% 8/25/34 (f) | 13,050 | 6,932 | ||
Class M2, 0.8438% 6/25/34 (f) | 207,174 | 138,971 | ||
Series 2005-1: | ||||
Class M1, 0.7338% 8/25/35 (f) | 180,000 | 142,671 | ||
Class MV2, 0.7538% 7/25/35 (f) | 498,000 | 396,521 | ||
Series 2005-3 Class MV1, 0.7338% 8/25/35 (f) | 774,212 | 707,373 | ||
Series 2005-AB1 Class A2, 0.5238% 8/25/35 (f) | 141,087 | 126,416 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: | ||||
Class B, 4.878% 6/15/35 (b) | 2,052,000 | 2,031,480 | ||
Class C, 5.074% 6/15/35 (b) | 1,862,000 | 1,843,380 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (b) | 840,000 | 699,980 | ||
Discover Card Master Trust I: | ||||
Series 2006-2 Class B1, 0.4394% 1/17/12 (f) | 1,024,000 | 1,017,678 | ||
Series 2007-1 Class B, 0.4194% 8/15/12 (f) | 1,024,000 | 923,321 | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8077% 5/28/35 (f) | 13,702 | 7,482 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.4888% 8/25/34 (f) | 102,000 | 20,458 | ||
Series 2006-3 Class 2A3, 0.4738% 11/25/36 (f) | 1,585,000 | 317,000 | ||
First Franklin Mortgage Loan Trust: | ||||
Series 2004-FF2 Class M3, 1.1388% 3/25/34 (f) | 8,033 | 3,809 | ||
Series 2006-FF12 Class A2, 0.3538% 9/25/36 (f) | 103,979 | 98,867 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b) | 11,972 | 11,974 | ||
Ford Credit Auto Owner Trust Series 2006-B Class D, 7.26% 2/15/13 (b) | 1,025,000 | 588,364 | ||
Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8694% 6/15/13 (f) | 272,000 | 176,800 | ||
| ||||
| Principal Amount | Value | ||
Fremont Home Loan Trust: | ||||
Series 2004-A Class M1, 1.1388% 1/25/34 (f) | $ 397,813 | $ 273,150 | ||
Series 2005-A: | ||||
Class M1, 0.7438% 1/25/35 (f) | 23,429 | 22,264 | ||
Class M2, 0.7738% 1/25/35 (f) | 618,000 | 438,695 | ||
Class M3, 0.8038% 1/25/35 (f) | 334,000 | 74,669 | ||
Class M4, 0.9938% 1/25/35 (f) | 128,000 | 38,544 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0413% 9/25/30 (b)(f) | 829,000 | 613,331 | ||
GE Business Loan Trust Series 2003-1 Class A, 0.7494% 4/15/31 (b)(f) | 123,668 | 82,858 | ||
GE Capital Credit Card Master Note Trust: | ||||
Series 2006-1: | ||||
Class B, 0.4294% 9/17/12 (f) | 313,000 | 291,090 | ||
Class C, 0.5594% 9/17/12 (f) | 244,000 | 219,600 | ||
Series 2007-1 Class C, 0.5894% 3/15/13 (f) | 1,671,000 | 1,420,350 | ||
GSAMP Trust: | ||||
Series 2002-HE Class M1, 2.19% 11/20/32 (f) | 197,825 | 108,275 | ||
Series 2003-FM1 Class M1, 1.545% 3/20/33 (f) | 377,853 | 271,719 | ||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (b)(f) | 270,974 | 23,684 | ||
Class M1, 0.9638% 6/25/34 (f) | 772,000 | 408,485 | ||
Series 2004-FM2 Class M1, 1.0638% 1/25/34 (f) | 352,349 | 236,569 | ||
Series 2007-HE1 Class M1, 0.5638% 3/25/47 (f) | 289,000 | 10,577 | ||
GSR Mortgage Loan Trust: | ||||
Series 2004-OPT Class A1, 0.6538% 11/25/34 (f) | 5,588 | 2,625 | ||
Series 2005-MTR1 Class A1, 0.4538% 10/25/35 (f) | 60,160 | 58,541 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 1.3938% 5/25/30 (b)(f) | 232,504 | 34,876 | ||
Series 2006-3 Class C, 0.8638% 9/25/46 (b)(f) | 538,000 | 53,800 | ||
Home Equity Asset Trust: | ||||
Series 2002-3 Class A5, 1.1938% 2/25/33 (f) | 141 | 32 | ||
Series 2003-3 Class M1, 1.6038% 8/25/33 (f) | 331,551 | 161,421 | ||
Series 2003-4 Class M1, 1.5138% 10/25/33 (f) | 104,557 | 63,444 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Home Equity Asset Trust: - continued | ||||
Series 2003-5: | ||||
Class A2, 1.0138% 12/25/33 (f) | $ 11,595 | $ 3,830 | ||
Class M1, 1.3638% 12/25/33 (f) | 113,237 | 70,835 | ||
Series 2003-7 Class A2, 1.0738% 3/25/34 (f) | 584 | 109 | ||
Series 2003-8 Class M1, 1.3938% 4/25/34 (f) | 183,339 | 113,876 | ||
Series 2004-3 Class M2, 2.0138% 8/25/34 (f) | 109,952 | 68,988 | ||
Series 2004-7 Class A3, 0.7038% 1/25/35 (f) | 216 | 95 | ||
Series 2005-1 Class M1, 0.7438% 5/25/35 (f) | 328,565 | 299,379 | ||
Series 2005-3 Class M1, 0.7238% 8/25/35 (f) | 248,382 | 229,729 | ||
Series 2005-5 Class 2A2, 0.5638% 11/25/35 (f) | 107,107 | 100,114 | ||
Series 2006-1 Class 2A3, 0.5388% 4/25/36 (f) | 1,077,531 | 971,936 | ||
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8363% 9/20/33 (f) | 97,553 | 60,031 | ||
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4594% 6/15/12 (f) | 792,000 | 765,191 | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 0.7763% 1/20/35 (f) | 268,985 | 164,792 | ||
Class M2, 0.8063% 1/20/35 (f) | 201,965 | 119,803 | ||
Series 2005-3 Class A1, 0.5763% 1/20/35 (f) | 138,322 | 81,941 | ||
Series 2006-2: | ||||
Class M1, 0.585% 3/20/36 (f) | 212,687 | 121,002 | ||
Class M2, 0.605% 3/20/36 (f) | 351,503 | 171,121 | ||
Series 2006-3 Class A1V, 0.395% 3/20/36 (f) | 130,393 | 127,115 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.5038% 1/25/37 (f) | 436,000 | 111,616 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2004-1 Class A4, 5.26% 11/15/12 | 1,601,349 | 1,631,918 | ||
Series 2006-1: | ||||
Class B, 5.29% 11/15/12 | 126,913 | 128,850 | ||
Class C, 5.34% 11/15/12 | 163,174 | 163,576 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 0.4438% 11/25/36 (f) | 438,000 | 182,214 | ||
| ||||
| Principal Amount | Value | ||
Class MV1, 0.5438% 11/25/36 (f) | $ 356,000 | $ 33,439 | ||
Keycorp Student Loan Trust: | ||||
Series 1999-A Class A2, 1.5575% 12/27/09 (f) | 357,011 | 278,858 | ||
Series 2006-A Class 2A1, 1.2575% 9/27/21 (f) | 134,605 | 132,513 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-2 Class M1, 1.5438% 6/25/33 (f) | 717,957 | 359,899 | ||
Series 2004-2: | ||||
Class M1, 0.8438% 6/25/34 (f) | 744,000 | 497,164 | ||
Class M2, 1.3938% 6/25/34 (f) | 129,403 | 95,072 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.5738% 10/25/36 (f) | 158,000 | 4,358 | ||
Series 2007-HE1 Class M1, 0.6138% 5/25/37 (f) | 249,000 | 8,267 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-HE1 Class M1, 1.0138% 7/25/34 (f) | 186,489 | 128,784 | ||
Series 2003-OPT1 Class M1, 0.9638% 7/25/34 (f) | 52,228 | 29,386 | ||
Series 2006-FM1 Class A2B, 0.4238% 4/25/37 (f) | 796,216 | 574,580 | ||
Series 2006-OPT1 Class A1A, 0.5738% 6/25/35 (f) | 597,740 | 279,350 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2002-HE3 Class M1, 1.9638% 12/27/32 (f) | 13,688 | 8,703 | ||
Series 2003-NC7 Class M1, 1.3638% 6/25/33 (f) | 176,597 | 117,941 | ||
Series 2003-NC8 Class M1, 1.3638% 9/25/33 (f) | 137,553 | 93,048 | ||
Series 2004-HE6 Class A2, 0.6538% 8/25/34 (f) | 20,187 | 3,836 | ||
Series 2004-NC2 Class M1, 1.1388% 12/25/33 (f) | 362,538 | 230,441 | ||
Series 2005-HE1 Class M2, 0.7838% 12/25/34 (f) | 172,000 | 116,690 | ||
Series 2005-HE2 Class M1, 0.7138% 1/25/35 (f) | 155,000 | 70,450 | ||
Series 2005-NC1 Class M1, 0.7538% 1/25/35 (f) | 141,000 | 63,026 | ||
Series 2007-HE2 Class A2A, 0.3538% 1/25/37 (f) | 32,868 | 25,893 | ||
Series 2007-HE4 Class A2A, 0.4238% 2/25/37 (f) | 30,782 | 19,242 | ||
Series 2007-NC3 Class A2A, 0.3738% 5/25/37 (f) | 17,811 | 13,456 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2002-AM3 Class A3, 1.2938% 2/25/33 (f) | $ 36,132 | $ 29,635 | ||
Series 2002-HE2 Class M1, 1.8138% 8/25/32 (f) | 218,052 | 118,857 | ||
Series 2002-NC1 Class M1, 1.5138% 2/25/32 (b)(f) | 187,896 | 130,309 | ||
Series 2002-NC3: | ||||
Class A3, 0.9938% 8/25/32 (f) | 12,136 | 2,383 | ||
Class M1, 1.3938% 8/25/32 (f) | 20,967 | 11,488 | ||
Series 2003-NC1 Class M1, 1.8888% 11/25/32 (f) | 136,323 | 68,148 | ||
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.4138% 4/25/37 (f) | 24,845 | 18,691 | ||
National Collegiate Student Loan Trust: | ||||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g) | 1,750,000 | 98,985 | ||
Series 2006-3 Class A1, 0.3438% 9/25/19 (f) | 305,201 | 293,577 | ||
Series 2006-4 Class A1, 0.3438% 3/25/25 (f) | 300,692 | 281,263 | ||
New Century Home Equity Loan Trust: | ||||
Series 2003-6 Class M1, 1.3938% 1/25/34 (f) | 400,812 | 269,547 | ||
Series 2005-4 Class M2, 0.8238% 9/25/35 (f) | 503,000 | 96,169 | ||
Series 2005-D Class M2, 0.7838% 2/25/36 (f) | 105,000 | 5,963 | ||
Nomura Home Equity Loan Trust: | ||||
Series 2006-AF1 Class A1, 6.032% 10/25/36 | 77,765 | 45,122 | ||
Series 2006-HE2 Class A2, 0.4338% 3/25/36 (f) | 216,116 | 206,793 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.715% 3/20/11 (b)(f) | 414,000 | 157,320 | ||
Option One Mortgage Loan Trust Series 2004-3 Class M3, 0.9638% 11/25/34 (f) | 121,000 | 95,316 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M2, 0.9938% 9/25/34 (f) | 98,000 | 69,403 | ||
Class M3, 1.5638% 9/25/34 (f) | 188,000 | 52,875 | ||
Class M4, 1.7638% 9/25/34 (f) | 241,000 | 24,746 | ||
Series 2004-WCW2 Class M3, 0.8638% 7/25/35 (f) | 141,000 | 20,342 | ||
Series 2004-WHQ2 Class M1, 0.9038% 2/25/35 (f) | 410,000 | 334,342 | ||
| ||||
| Principal Amount | Value | ||
Series 2004-WWF1: | ||||
Class M2, 0.9938% 2/25/35 (f) | $ 566,000 | $ 327,135 | ||
Class M3, 1.0538% 2/25/35 (f) | 70,000 | 37,909 | ||
Series 2005-WCH1: | ||||
Class M2, 0.8338% 1/25/35 (f) | 1,972,000 | 1,384,451 | ||
Class M3, 0.8738% 1/25/35 (f) | 168,000 | 88,606 | ||
Class M4, 1.1438% 1/25/35 (f) | 520,000 | 91,316 | ||
Series 2005-WHQ2 Class M7, 1.5638% 5/25/35 (f) | 1,251,000 | 40,068 | ||
Providian Master Note Trust Series 2006-C1A Class C1, 0.8694% 3/16/15 (b)(f) | 759,000 | 669,815 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3838% 2/25/37 (f) | 669,798 | 623,565 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.1138% 4/25/33 (f) | 1,796 | 347 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.1088% 3/25/35 (f) | 666,000 | 324,885 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.465% 3/20/19 (b)(f) | 341,627 | 219,798 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5794% 6/15/33 (f) | 448,000 | 201,600 | ||
Specialty Underwriting & Residential Finance Trust: | ||||
Series 2003-BC3 Class M2, 1.9138% 8/25/34 (f) | 67,398 | 44,695 | ||
Series 2003-BC4 Class M1, 0.9138% 11/25/34 (f) | 685,000 | 434,654 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4638% 9/25/34 (f) | 30,365 | 2,682 | ||
Structured Asset Securities Corp.: | ||||
Series 2004-GEL1 Class A, 0.6738% 2/25/34 (f) | 48,282 | 23,539 | ||
Series 2007-BC4 Class A3, 0.5638% 11/25/37 (f) | 6,060,146 | 5,410,217 | ||
Series 2007-GEL1 Class A2, 0.5038% 1/25/37 (b)(f) | 461,000 | 139,341 | ||
Superior Wholesale Inventory Financing Trust: | ||||
Series 2004-A10: | ||||
Class A, 0.4194% 9/15/11 (f) | 144,503 | 142,985 | ||
Class B, 0.5994% 9/15/11 (f) | 1,385,000 | 1,260,350 | ||
Series 2007-AE1: | ||||
Class A, 0.4194% 1/15/12 (f) | 345,000 | 333,660 | ||
Class B, 0.6194% 1/15/12 (f) | 300,000 | 272,034 | ||
Class C, 0.9194% 1/15/12 (f) | 372,000 | 260,400 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Swift Master Auto Receivables Trust Series 2007-1: | ||||
Class A, 0.4194% 6/15/12 (f) | $ 1,012,000 | $ 946,220 | ||
Class B, 0.5394% 6/15/12 (f) | 2,515,000 | 2,288,650 | ||
Class C, 0.8194% 6/15/12 (f) | 1,500,000 | 1,050,000 | ||
Terwin Mortgage Trust: | ||||
Series 2003-4HE Class A1, 0.7438% 9/25/34 (f) | 10,148 | 2,934 | ||
Series 2003-6HE Class A1, 0.7838% 11/25/33 (f) | 12,837 | 4,353 | ||
Turquoise Card Backed Securities PLC: | ||||
Series 2006-2: | ||||
Class B, 0.4694% 10/17/11 (f) | 1,206,000 | 1,165,863 | ||
Class C, 0.6694% 10/17/11 (f) | 1,133,000 | 1,076,350 | ||
Series 2007-1 Class C, 0.6894% 6/15/12 (f) | 1,292,000 | 969,000 | ||
Wachovia Auto Loan Owner Trust Series 2006-2A Class A4, 5.23% 3/20/12 (b) | 4,000,000 | 4,071,814 | ||
WaMu Master Note Trust: | ||||
Series 2006-C2A Class C2, 0.8194% 8/15/15 (b)(f) | 2,465,000 | 2,101,295 | ||
Series 2007-A4A Class A4, 5.2% 10/15/14 (b) | 4,135,000 | 4,297,009 | ||
Series 2007-A5A Class A5, 1.0694% 10/15/14 (b)(f) | 590,000 | 569,410 | ||
Series 2007-C1 Class C1, 0.7194% 5/15/14 (b)(f) | 1,501,000 | 1,410,982 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 1.9919% 10/25/44 (b)(f) | 630,180 | 75,622 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $124,174,596) | 110,594,086 | |||
Collateralized Mortgage Obligations - 4.1% | ||||
| ||||
Private Sponsor - 1.7% | ||||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A Class 3C, 1.2444% 2/17/52 (b)(f) | 236,000 | 181,720 | ||
Series 2006-2A: | ||||
Class 2B, 0.9744% 2/17/52 (b)(f) | 830,000 | 794,957 | ||
Class 2M, 1.0544% 2/17/52 (b)(f) | 564,000 | 525,783 | ||
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.5688% 4/12/56 (b)(f) | 516,645 | 222,157 | ||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.6986% 4/10/49 (f) | 485,000 | 72,750 | ||
| ||||
| Principal Amount | Value | ||
Class C, 5.6986% 4/10/49 (f) | $ 1,290,000 | $ 180,600 | ||
Class D, 5.6986% 4/10/49 (f) | 650,000 | 84,500 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 5.2036% 12/25/33 (f) | 23,596 | 20,496 | ||
Series 2004-B Class 1A1, 4.6868% 3/25/34 (f) | 26,265 | 22,157 | ||
Series 2004-C Class 1A1, 4.0969% 4/25/34 (f) | 42,531 | 35,843 | ||
Series 2004-J Class 2A1, 4.7566% 11/25/34 (f) | 1,260,953 | 1,078,784 | ||
Series 2005-E Class 2A7, 4.6153% 6/25/35 (f) | 2,680,000 | 1,413,528 | ||
Bear Stearns ALT-A Trust floater: | ||||
Series 2005-1 Class A1, 0.5938% 1/25/35 (f) | 1,005,717 | 508,635 | ||
Series 2005-2 Class 1A1, 0.5638% 3/25/35 (f) | 185,196 | 92,219 | ||
Series 2005-5 Class 1A1, 0.5338% 7/25/35 (f) | 235,616 | 124,799 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 4.7758% 2/25/37 (f) | 615,965 | 526,425 | ||
Series 2007-A2 Class 2A1, 5.1835% 7/25/37 (f) | 304,167 | 269,703 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0955% 12/10/49 (f) | 7,310,000 | 6,458,618 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 3.7115% 8/25/34 (f) | 3,096,343 | 2,711,751 | ||
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.7138% 5/25/33 (f) | 22,653 | 21,750 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 0.7138% 1/25/35 (f) | 17,771 | 11,895 | ||
Series 2004-2 Class 7A3, 0.7138% 2/25/35 (f) | 40,519 | 26,752 | ||
Series 2004-4 Class 5A2, 0.7138% 3/25/35 (f) | 8,305 | 4,869 | ||
Series 2005-1 Class 5A2, 0.6438% 5/25/35 (f) | 143,875 | 93,713 | ||
Series 2005-10: | ||||
Class 5A1, 0.5738% 1/25/36 (f) | 237,479 | 110,604 | ||
Class 5A2, 0.6338% 1/25/36 (f) | 106,989 | 53,524 | ||
Series 2005-2: | ||||
Class 6A2, 0.5938% 6/25/35 (f) | 29,796 | 19,001 | ||
Class 6M2, 0.7938% 6/25/35 (f) | 519,000 | 111,984 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued | ||||
Series 2005-4 Class 7A2, 0.5438% 8/25/35 (f) | $ 56,144 | $ 30,720 | ||
Series 2005-8 Class 7A2, 0.5938% 11/25/35 (f) | 141,252 | 86,009 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR4 Class 5A2, 1.0538% 5/25/34 (f) | 5,092 | 2,622 | ||
Series 2004-AR5 Class 11A2, 1.0538% 6/25/34 (f) | 11,010 | 6,121 | ||
Series 2004-AR6 Class 9A2, 1.0538% 10/25/34 (f) | 50,671 | 29,792 | ||
Series 2004-AR7 Class 6A2, 1.0738% 8/25/34 (f) | 13,920 | 7,610 | ||
Series 2004-AR8 Class 8A2, 1.0738% 9/25/34 (f) | 8,682 | 7,360 | ||
Series 2007-AR7 Class 2A1, 4.583% 11/25/34 (f) | 1,157,695 | 918,931 | ||
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4738% 3/25/37 (f) | 1,210,000 | 370,236 | ||
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.4031% 9/19/36 (f) | 180,900 | 159,691 | ||
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (f) | 18,999 | 9,764 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 1.2669% 10/18/54 (b)(f) | 1,007,000 | 800,968 | ||
Class C2, 1.5769% 10/18/54 (b)(f) | 337,000 | 161,524 | ||
Class M2, 1.3569% 10/18/54 (b)(f) | 579,000 | 396,847 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.255% 11/20/56 (b)(f) | 863,000 | 489,373 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.6088% 10/11/41 (b)(f) | 1,097,000 | 504,730 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A Class C2, 0.915% 12/20/54 (b)(f) | 2,117,000 | 127,020 | ||
Series 2006-2 Class C1, 0.785% 12/20/54 (f) | 1,885,000 | 131,950 | ||
Series 2006-3 Class C2, 0.815% 12/20/54 (f) | 396,000 | 16,434 | ||
Series 2006-4: | ||||
Class B1, 0.405% 12/20/54 (f) | 1,059,000 | 180,030 | ||
Class C1, 0.695% 12/20/54 (f) | 647,000 | 38,820 | ||
| ||||
| Principal Amount | Value | ||
Class M1, 0.485% 12/20/54 (f) | $ 279,000 | $ 30,690 | ||
Series 2007-1: | ||||
Class 1C1, 0.615% 12/20/54 (f) | 654,000 | 45,780 | ||
Class 1M1, 0.465% 12/20/54 (f) | 425,000 | 51,000 | ||
Class 2C1, 0.745% 12/20/54 (f) | 298,000 | 20,860 | ||
Class 2M1, 0.565% 12/20/54 (f) | 546,000 | 76,440 | ||
Series 2007-2 Class 2C1, 0.7488% 12/17/54 (f) | 757,000 | 45,420 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 3.5569% 1/20/44 (f) | 151,584 | 16,885 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8329% 4/25/35 (f) | 1,355,507 | 923,456 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5331% 5/19/35 (f) | 147,707 | 66,027 | ||
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.5213% 7/15/40 (b)(f) | 215,000 | 186,878 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.7638% 10/25/34 (f) | 52,439 | 29,657 | ||
Impac CMB Trust floater: | ||||
Series 2004-11 Class 2A2, 1.0538% 3/25/35 (f) | 85,465 | 23,071 | ||
Series 2005-1: | ||||
Class M4, 1.0638% 4/25/35 (f) | 10,325 | 688 | ||
Class M5, 1.0838% 4/25/35 (f) | 8,887 | 1,010 | ||
Series 2005-3 Class A1, 0.5538% 8/25/35 (f) | 210,469 | 100,103 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (f) | 6,230,000 | 4,828,639 | ||
JPMorgan Mortgage Trust: | ||||
Series 2004-A5 Class 2A1, 4.5772% 12/25/34 (f) | 992,949 | 865,826 | ||
Series 2006-A2 Class 5A1, 5.1224% 11/25/33 (f) | 1,368,821 | 1,196,340 | ||
Series 2007-A1 Class 1A1, 4.1979% 7/25/35 (f) | 3,474,011 | 3,100,372 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6975% 9/26/45 (b)(f) | 158,268 | 69,034 | ||
MASTR Adjustable Rate Mortgages Trust: | ||||
floater Series 2005-1 Class 1A1, 0.5838% 3/25/35 (f) | 18,122 | 9,518 | ||
Series 2007-3 Class 22A2, 0.5238% 5/25/47 (f) | 502,000 | 147,907 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | $ 373,914 | $ 283,889 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4838% 2/25/37 (f) | 616,573 | 240,463 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class C, 0.5094% 6/15/22 (b)(f) | 449,000 | 202,050 | ||
Class D, 0.5194% 6/15/22 (b)(f) | 173,000 | 51,900 | ||
Class E, 0.5294% 6/15/22 (b)(f) | 276,000 | 69,000 | ||
Class F, 0.5594% 6/15/22 (b)(f) | 498,000 | 109,560 | ||
Class G, 0.6294% 6/15/22 (b)(f) | 103,000 | 20,600 | ||
Class H, 0.6494% 6/15/22 (b)(f) | 207,000 | 31,050 | ||
Class J, 0.6894% 6/15/22 (b)(f) | 242,000 | 29,040 | ||
Merrill Lynch Mortgage Investors Trust floater: | ||||
Series 2003-A Class 2A1, 0.7038% 3/25/28 (f) | 72,869 | 47,297 | ||
Series 2003-B Class A1, 0.6538% 4/25/28 (f) | 81,010 | 52,637 | ||
Series 2003-D Class A, 0.6238% 8/25/28 (f) | 67,248 | 42,390 | ||
Series 2003-E Class A2, 2.0813% 10/25/28 (f) | 115,004 | 75,244 | ||
Series 2004-E: | ||||
Class A2B, 2.1163% 11/25/29 (f) | 187,905 | 133,453 | ||
Class A2D, 2.3063% 11/25/29 (f) | 27,281 | 18,792 | ||
Series 2004-G Class A2, 1.4488% 1/25/30 (f) | 92,470 | 57,756 | ||
Series 2005-A Class A2, 2.0013% 2/25/30 (f) | 85,275 | 53,456 | ||
Series 2005-B Class A2, 1.4% 7/25/30 (f) | 265,160 | 179,539 | ||
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (f) | 4,570,000 | 4,057,193 | ||
MortgageIT Trust floater: | ||||
Series 2004-2: | ||||
Class A1, 0.6838% 12/25/34 (f) | 90,494 | 58,782 | ||
Class A2, 0.7638% 12/25/34 (f) | 122,677 | 81,641 | ||
Series 2005-2 Class 1A1, 0.5738% 5/25/35 (f) | 104,630 | 60,898 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.6038% 7/25/35 (f) | 1,072,443 | 509,481 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.6138% 3/25/37 (f) | 861,000 | 36,162 | ||
Permanent Financing No. 8 PLC floater Class 3C, 1.17% 6/10/42 (f) | 723,000 | 559,506 | ||
| ||||
| Principal Amount | Value | ||
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.5313% 7/17/42 (f) | $ 189,000 | $ 136,080 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.4982% 10/25/35 (f) | 1,874,174 | 1,428,929 | ||
RESI Finance LP/RESI Finance DE Corp. floater: | ||||
Series 2003-B Class B5, 2.6731% 7/10/35 (b)(f) | 457,088 | 216,248 | ||
Series 2003-CB1: | ||||
Class B3, 1.7731% 6/10/35 (b)(f) | 361,855 | 189,322 | ||
Class B4, 1.9731% 6/10/35 (b)(f) | 695,390 | 345,887 | ||
Class B5, 2.5731% 6/10/35 (b)(f) | 475,131 | 236,568 | ||
Class B6, 3.0731% 6/10/35 (b)(f) | 280,044 | 137,922 | ||
Series 2004-A: | ||||
Class B4, 1.5231% 2/10/36 (b)(f) | 274,810 | 102,037 | ||
Class B5, 2.0231% 2/10/36 (b)(f) | 183,505 | 63,731 | ||
Series 2004-B Class B4, 1.4231% 2/10/36 (b)(f) | 119,639 | 34,899 | ||
Series 2004-C: | ||||
Class B4, 1.2731% 9/10/36 (b)(f) | 156,427 | 47,632 | ||
Class B5, 1.6731% 9/10/36 (b)(f) | 174,940 | 47,461 | ||
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.4138% 9/25/46 (f) | 509,888 | 400,553 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 76,774 | 67,677 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 119,553 | 103,645 | ||
Series 2005-AR5 Class 1A1, 5.3717% 9/19/35 (f) | 87,427 | 59,662 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7638% 6/25/33 (b)(f) | 96,571 | 63,903 | ||
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.4138% 2/25/36 (b)(f) | 6,185 | 6,120 | ||
Sequoia Mortgage Trust floater: | ||||
Series 2004-1 Class A, 1.8888% 2/20/34 (f) | 53,672 | 33,041 | ||
Series 2004-10 Class A4, 1.9806% 11/20/34 (f) | 77,684 | 48,475 | ||
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (f) | 233,089 | 138,769 | ||
Series 2004-4 Class A, 2.1606% 5/20/34 (f) | 284,967 | 179,500 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Sequoia Mortgage Trust floater: - continued | ||||
Series 2004-5 Class A3, 1.5925% 6/20/34 (f) | $ 110,104 | $ 71,509 | ||
Series 2004-6: | ||||
Class A3A, 1.4588% 7/20/34 (f) | 86,291 | 56,396 | ||
Class A3B, 2.3038% 7/20/34 (f) | 16,467 | 10,140 | ||
Series 2004-7: | ||||
Class A3A, 1.9138% 8/20/34 (f) | 87,613 | 52,092 | ||
Class A3B, 2.1388% 7/20/34 (f) | 10,777 | 6,265 | ||
Series 2005-1 Class A2, 1.7513% 2/20/35 (f) | 137,063 | 87,437 | ||
Series 2005-2 Class A2, 2.03% 3/20/35 (f) | 178,252 | 104,572 | ||
Series 2005-3 Class A1, 0.515% 5/20/35 (f) | 87,876 | 46,674 | ||
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.7138% 9/25/33 (b)(f) | 30,899 | 14,566 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5138% 9/25/36 (f) | 1,153,000 | 518,859 | ||
WaMu Mortgage pass-thru certificates floater: | ||||
Series 2006-AR11 Class C1B1, 0.3938% 9/25/46 (f) | 28,739 | 27,819 | ||
Series 2006-AR7 Class C1B1, 0.3738% 7/25/46 (f) | 4,549 | 4,481 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-H Class A1, 4.5263% 6/25/34 (f) | 1,253,882 | 1,113,836 | ||
Series 2005-AR10 Class 2A2, 3.986% 6/25/35 (f) | 3,798,363 | 3,369,240 | ||
Series 2005-AR12: | ||||
Class 2A5, 4.1484% 7/25/35 (f) | 3,710,000 | 2,656,880 | ||
Class 2A6, 4.1211% 7/25/35 (f) | 4,871,168 | 4,117,117 | ||
Series 2005-AR3 Class 2A1, 4.2799% 3/25/35 (f) | 1,053,554 | 846,788 | ||
Series 2005-AR4 Class 2A2, 4.5398% 4/25/35 (f) | 2,428,796 | 2,047,083 | ||
TOTAL PRIVATE SPONSOR | 58,393,264 | |||
U.S. Government Agency - 2.4% | ||||
Fannie Mae planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 2,705,309 | 2,909,093 | ||
| ||||
| Principal Amount | Value | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | $ 1,894,078 | $ 2,036,953 | ||
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 0.5638% 10/25/35 (f) | 1,968,597 | 1,954,192 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2001-68 Class QZ, 5.5% 12/25/16 | 2,073,800 | 2,190,603 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 317,622 | 339,736 | ||
Series 2004-81: | ||||
Class KC, 4.5% 4/25/17 | 10,800,716 | 11,169,726 | ||
Class KD, 4.5% 7/25/18 | 2,625,000 | 2,748,805 | ||
sequential payer: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | 143,990 | 147,813 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 681,946 | 707,291 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2500 Class TE, 5.5% 9/15/17 | 8,080,180 | 8,520,099 | ||
Series 2677 Class LD, 4.5% 3/15/17 | 8,800,218 | 9,133,198 | ||
Series 2695 Class GC, 4.5% 11/15/18 | 7,215,000 | 7,503,545 | ||
Series 2702 Class WB, 5% 4/15/17 | 1,870,037 | 1,935,925 | ||
Series 2770 Class UD, 4.5% 5/15/17 | 7,473,000 | 7,762,381 | ||
Series 2885 Class PC, 4.5% 3/15/18 | 2,396,718 | 2,475,062 | ||
Series 3033 Class UD, 5.5% 10/15/30 | 1,910,000 | 1,992,898 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 4,440,000 | 4,660,476 | ||
sequential payer: | ||||
Series 2508 Class CK, 5% 10/15/17 | 9,065,517 | 9,535,041 | ||
Series 2528 Class HN, 5% 11/15/17 | 3,195,000 | 3,357,119 | ||
Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 38.2912% 6/16/37 (f)(h) | 212,956 | 289,658 | ||
TOTAL U.S. GOVERNMENT AGENCY | 81,369,614 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $157,524,545) | 139,762,878 | |||
Commercial Mortgage Securities - 7.4% | ||||
| Principal Amount | Value | ||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A2, 6.8991% 2/14/43 (f) | $ 1,435,000 | $ 1,428,087 | ||
Class A3, 6.9491% 2/14/43 (f) | 1,545,000 | 1,525,108 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.9107% 5/10/45 (f) | 2,100,000 | 1,934,737 | ||
Series 2006-5: | ||||
Class A2, 5.317% 9/10/47 | 8,745,000 | 8,036,943 | ||
Class A3, 5.39% 9/10/47 | 1,985,000 | 1,620,948 | ||
Series 2007-2 Class A1, 5.421% 4/10/49 | 1,772,777 | 1,797,592 | ||
Series 2007-3 Class A3, 5.8373% 6/10/49 (f) | 6,100,000 | 4,657,646 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2005-1 Class A3, 4.877% 11/10/42 | 3,372,516 | 3,333,720 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 1,545,000 | 1,403,490 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (b) | 4,889,139 | 4,368,623 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 0.7894% 3/15/22 (b)(f) | 217,000 | 97,650 | ||
Class G, 0.8494% 3/15/22 (b)(f) | 141,000 | 53,580 | ||
Series 2006-BIX1: | ||||
Class F, 0.6294% 10/15/19 (b)(f) | 558,000 | 251,100 | ||
Class G, 0.6494% 10/15/19 (b)(f) | 380,000 | 152,000 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2004-1: | ||||
Class A, 0.6738% 4/25/34 (b)(f) | 647,432 | 420,831 | ||
Class B, 2.2138% 4/25/34 (b)(f) | 50,879 | 13,992 | ||
Class M1, 0.8738% 4/25/34 (b)(f) | 41,457 | 21,558 | ||
Class M2, 1.5138% 4/25/34 (b)(f) | 37,150 | 15,789 | ||
Series 2004-2: | ||||
Class A, 0.7438% 8/25/34 (b)(f) | 490,567 | 318,869 | ||
Class M1, 0.8938% 8/25/34 (b)(f) | 79,229 | 41,199 | ||
Series 2004-3: | ||||
Class A1, 0.6838% 1/25/35 (b)(f) | 931,335 | 605,368 | ||
| ||||
| Principal Amount | Value | ||
Class A2, 0.7338% 1/25/35 (b)(f) | $ 121,230 | $ 71,526 | ||
Class M1, 0.8138% 1/25/35 (b)(f) | 124,083 | 67,625 | ||
Class M2, 1.3138% 1/25/35 (b)(f) | 80,226 | 36,102 | ||
Series 2005-2A: | ||||
Class A1, 0.6238% 8/25/35 (b)(f) | 520,702 | 287,532 | ||
Class M1, 0.7438% 8/25/35 (b)(f) | 38,608 | 14,335 | ||
Class M2, 0.7938% 8/25/35 (b)(f) | 63,500 | 21,825 | ||
Class M3, 0.8138% 8/25/35 (b)(f) | 35,052 | 11,283 | ||
Class M4, 0.9238% 8/25/35 (b)(f) | 32,512 | 9,984 | ||
Series 2005-3A: | ||||
Class A1, 0.6338% 11/25/35 (b)(f) | 287,149 | 163,072 | ||
Class A2, 0.7138% 11/25/35 (b)(f) | 186,064 | 95,823 | ||
Series 2005-4A: | ||||
Class A2, 0.7038% 1/25/36 (b)(f) | 1,035,463 | 517,732 | ||
Class M1, 0.7638% 1/25/36 (b)(f) | 216,655 | 97,495 | ||
Class M2, 0.7838% 1/25/36 (b)(f) | 65,359 | 27,778 | ||
Class M3, 0.8138% 1/25/36 (b)(f) | 95,013 | 38,005 | ||
Series 2006-1 Class A2, 0.6738% 4/25/36 (b)(f) | 101,058 | 50,135 | ||
Series 2006-2A: | ||||
Class A1, 0.5438% 7/25/36 (b)(f) | 1,020,103 | 576,562 | ||
Class A2, 0.5938% 7/25/36 (b)(f) | 92,079 | 46,813 | ||
Class M1, 0.6238% 7/25/36 (b)(f) | 96,683 | 36,324 | ||
Class M2, 0.6438% 7/25/36 (b)(f) | 68,402 | 24,324 | ||
Class M6, 0.8538% 7/25/36 (b)(f) | 69,717 | 20,539 | ||
Series 2006-3A: | ||||
Class M5, 0.7938% 10/25/36 (b)(f) | 80,670 | 26,218 | ||
Class M6, 0.8738% 10/25/36 (b)(f) | 157,534 | 47,260 | ||
Series 2006-4A: | ||||
Class A1, 0.5438% 12/25/36 (b)(f) | 579,866 | 325,015 | ||
Class A2, 0.5838% 12/25/36 (b)(f) | 1,292,337 | 539,938 | ||
Class M1, 0.6038% 12/25/36 (b)(f) | 93,648 | 29,808 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
Series 2007-1: | ||||
Class A2, 0.5838% 3/25/37 (b)(f) | $ 245,568 | $ 122,784 | ||
Class B3, 3.6638% 3/25/37 (b)(f) | 156,629 | 29,446 | ||
Series 2007-2A: | ||||
Class A1, 0.5838% 7/25/37 (b)(f) | 217,478 | 125,485 | ||
Class A2, 0.6338% 7/25/37 (b)(f) | 203,560 | 111,958 | ||
Class B1, 1.9138% 7/25/37 (b)(f) | 191,381 | 50,716 | ||
Class B2, 2.5638% 7/25/37 (b)(f) | 165,284 | 33,057 | ||
Class B3, 3.6638% 7/25/37 (b)(f) | 187,031 | 35,536 | ||
Class M2, 0.7238% 7/25/37 (b)(f) | 113,089 | 52,586 | ||
Class M3, 0.8038% 7/25/37 (b)(f) | 113,089 | 49,759 | ||
Class M4, 0.9638% 7/25/37 (b)(f) | 239,226 | 87,318 | ||
Class M5, 1.0638% 7/25/37 (b)(f) | 213,129 | 67,136 | ||
Class M6, 1.3138% 7/25/37 (b)(f) | 265,324 | 83,577 | ||
Series 2007-3: | ||||
Class A2, 0.6038% 7/25/37 (b)(f) | 358,033 | 144,216 | ||
Class B1, 1.2638% 7/25/37 (b)(f) | 165,478 | 38,225 | ||
Class B2, 1.9138% 7/25/37 (b)(f) | 578,419 | 115,453 | ||
Class B3, 4.3138% 7/25/37 (b)(f) | 221,890 | 37,322 | ||
Class M1, 0.6238% 7/25/37 (b)(f) | 146,673 | 46,187 | ||
Class M2, 0.6538% 7/25/37 (b)(f) | 154,195 | 44,624 | ||
Class M3, 0.6838% 7/25/37 (b)(f) | 336,973 | 91,488 | ||
Class M4, 0.8138% 7/25/37 (b)(f) | 532,537 | 142,880 | ||
Class M5, 0.9138% 7/25/37 (b)(f) | 199,325 | 48,297 | ||
Class M6, 1.1138% 7/25/37 (b)(f) | 150,434 | 37,217 | ||
Series 2007-4A: | ||||
Class B1, 2.8638% 9/25/37 (b)(f) | 260,265 | 69,413 | ||
Class B2, 3.7638% 9/25/37 (b)(f) | 1,271,706 | 313,603 | ||
Class M4, 1.9138% 9/25/37 (b)(f) | 838,231 | 272,425 | ||
| ||||
| Principal Amount | Value | ||
Class M5, 2.0638% 9/25/37 (b)(f) | $ 838,231 | $ 251,469 | ||
Class M6, 2.2638% 9/25/37 (b)(f) | 838,231 | 230,514 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (b)(g) | 1,925,053 | 24,641 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.7594% 3/15/19 (b)(f) | 284,000 | 203,610 | ||
Class H, 0.9694% 3/15/19 (b)(f) | 191,000 | 70,694 | ||
Class J, 1.1694% 3/15/19 (b)(f) | 143,000 | 32,484 | ||
Series 2007-BBA8: | ||||
Class D, 0.5694% 3/15/22 (b)(f) | 147,000 | 73,221 | ||
Class E, 0.6194% 3/15/22 (b)(f) | 763,000 | 355,053 | ||
Class F, 0.6694% 3/15/22 (b)(f) | 468,000 | 200,822 | ||
Class G, 0.7194% 3/15/22 (b)(f) | 120,000 | 46,839 | ||
Class H, 0.8694% 3/15/22 (b)(f) | 147,000 | 52,920 | ||
Class J, 1.0194% 3/15/22 (b)(f) | 147,000 | 41,160 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 2,010,000 | 1,687,853 | ||
Series 2007-PW15 Class A1, 5.016% 2/11/44 | 1,604,914 | 1,606,490 | ||
Series 2007-PW16: | ||||
Class B, 5.713% 6/11/40 (b) | 1,405,000 | 322,767 | ||
Class C, 5.713% 6/11/40 (b) | 1,170,000 | 245,428 | ||
Class D, 5.713% 6/11/40 (b) | 1,170,000 | 233,747 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.5838% 5/25/36 (b)(f) | 369,923 | 161,205 | ||
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.275% 2/12/16 (b)(f) | 1,345,000 | 1,343,958 | ||
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31 | 1,016,065 | 1,014,189 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class G, 0.6494% 11/15/36 (b)(f) | 156,000 | 39,000 | ||
Class H, 0.6894% 11/15/36 (b)(f) | 125,000 | 28,750 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 3,810,000 | 3,047,243 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Citigroup Commercial Mortgage Trust: - continued | ||||
Series 2007-C6 Class A1, 5.622% 12/10/49 (f) | $ 5,582,655 | $ 5,666,705 | ||
Series 2007-FL3A Class A2, 0.4594% 4/15/22 (b)(f) | 2,595,000 | 1,167,750 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4 Class A3, 5.293% 12/11/49 | 6,065,000 | 4,852,348 | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class D, 0.6294% 4/15/17 (b)(f) | 335,000 | 172,187 | ||
Class E, 0.6894% 4/15/17 (b)(f) | 107,000 | 50,547 | ||
Class F, 0.7294% 4/15/17 (b)(f) | 60,000 | 26,550 | ||
Class G, 0.8694% 4/15/17 (b)(f) | 60,000 | 24,675 | ||
Class H, 0.9394% 4/15/17 (b)(f) | 60,000 | 24,600 | ||
Class J, 1.1694% 4/15/17 (b)(f) | 46,000 | 18,400 | ||
Series 2005-FL11: | ||||
Class F, 0.7694% 11/15/17 (b)(f) | 135,423 | 58,280 | ||
Class G, 0.8194% 11/15/17 (b)(f) | 93,490 | 38,132 | ||
sequential payer Series 2006-CN2A Class A2FX, 5.449% 2/5/19 | 2,745,000 | 2,560,869 | ||
Series 2004-LBN2 Class X2, 1.025% 3/10/39 (b)(f)(g) | 5,384,201 | 68,112 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (f) | 3,885,000 | 3,580,871 | ||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 5,350,000 | 4,821,417 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (f) | 2,750,000 | 1,888,312 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 1999-C1 Class A2, 7.29% 9/15/41 | 794,245 | 795,389 | ||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 854,757 | 873,444 | ||
Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 1,575,928 | 1,539,307 | ||
Class A4, 4.75% 1/15/37 | 3,035,000 | 2,714,514 | ||
Series 1997-C2 Class D, 7.27% 1/17/35 | 472,533 | 478,705 | ||
Series 1998-C1 Class D, 7.17% 5/17/40 | 517,725 | 513,652 | ||
| ||||
| Principal Amount | Value | ||
Series 2001-CKN5 Class AX, 2.0787% 9/15/34 (b)(f)(g) | $ 25,126,182 | $ 810,910 | ||
Series 2002-CP3 Class G, 6.639% 7/15/35 (b) | 250,000 | 154,693 | ||
Series 2004-C1 Class ASP, 0.953% 1/15/37 (b)(f)(g) | 21,955,319 | 328,287 | ||
Series 2006-C1 Class A3, 5.551% 2/15/39 (f) | 3,895,000 | 3,349,862 | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater: | ||||
Series 200-TFL1 Class B, 0.4694% 2/15/22 (b)(f) | 3,470,000 | 1,388,000 | ||
Series 2007-TFL1: | ||||
Class C: | ||||
0.4894% 2/15/22 (b)(f) | 657,000 | 216,810 | ||
0.5894% 2/15/22 (b)(f) | 234,000 | 63,180 | ||
Class F, 0.6394% 2/15/22 (b)(f) | 469,000 | 117,250 | ||
sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40 | 986,010 | 992,860 | ||
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 3,039,567 | 3,117,912 | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 3,720,000 | 2,569,789 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.5088% 11/5/21 (b)(f) | 3,490,000 | 1,464,914 | ||
sequential payer: | ||||
Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,680,000 | 1,686,758 | ||
Series 2007-GG11 Class A2, 5.597% 12/10/49 | 13,805,000 | 12,492,608 | ||
Series 2007-GG9 Class A1, 5.233% 3/10/39 | 1,511,943 | 1,523,754 | ||
Series 2006-GG7 Class A3, 5.9165% 7/10/38 (f) | 3,460,000 | 2,992,633 | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class C, 0.5575% 6/6/20 (b)(f) | 405,000 | 291,600 | ||
Class D, 0.5975% 6/6/20 (b)(f) | 1,115,000 | 579,800 | ||
Class E, 0.6875% 6/6/20 (b)(f) | 2,220,000 | 1,110,000 | ||
Class F, 0.7575% 6/6/20 (b)(f) | 294,000 | 132,300 | ||
Series 2007-EOP: | ||||
Class C, 0.6375% 3/6/20 (b)(f) | 1,335,000 | 1,014,600 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
GS Mortgage Securities Corp. II: - continued | ||||
floater: | ||||
Series 2007-EOP: | ||||
Class D, 0.6875% 3/6/20 (b)(f) | $ 400,000 | $ 300,000 | ||
Class E, 0.7575% 3/6/20 (b)(f) | 670,000 | 495,800 | ||
Class F, 0.7975% 3/6/20 (b)(f) | 335,000 | 244,550 | ||
Class G, 0.8375% 3/6/20 (b)(f) | 165,000 | 118,800 | ||
Class H, 0.9675% 3/6/20 (b)(f) | 275,000 | 189,750 | ||
Class J, 1.1675% 3/6/20 (b)(f) | 395,000 | 268,600 | ||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 2,725,000 | 2,545,176 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (f) | 3,030,000 | 2,934,677 | ||
GS Mortgage Securities Trust sequential payer Series 2007-GG10: | ||||
Class A1, 5.69% 8/10/45 | 1,890,189 | 1,907,121 | ||
Class A2, 5.778% 8/10/45 | 5,055,000 | 4,689,474 | ||
Class A4, 5.9932% 8/10/45 (f) | 1,985,000 | 1,500,006 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FLA2: | ||||
Class E, 0.5994% 11/15/18 (b)(f) | 115,096 | 49,491 | ||
Class F, 0.6494% 11/15/18 (b)(f) | 172,644 | 72,510 | ||
Class G, 0.6794% 11/15/18 (b)(f) | 150,409 | 60,164 | ||
Class H, 0.8194% 11/15/18 (b)(f) | 115,096 | 40,284 | ||
sequential payer: | ||||
Series 2006-CB14 Class A3B, 5.4854% 12/12/44 (f) | 4,625,000 | 3,800,135 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (f) | 5,840,000 | 4,930,154 | ||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 3,733,000 | 3,017,866 | ||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (f) | 5,105,000 | 4,224,874 | ||
Series 2007-LDP10 Class A1, 5.122% 1/15/49 | 943,054 | 947,988 | ||
Series 2007-LDPX Class A3, 5.412% 1/15/49 | 3,796,000 | 2,794,196 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 4,115,000 | 3,652,051 | ||
Series 2007-CB19: | ||||
Class B, 5.7442% 2/12/49 | 755,000 | 173,445 | ||
Class C, 5.7462% 2/12/49 | 1,971,000 | 413,449 | ||
Class D, 5.7462% 2/12/49 | 2,075,000 | 414,553 | ||
| ||||
| Principal Amount | Value | ||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (f) | $ 1,725,000 | $ 362,109 | ||
Class CS, 5.466% 1/15/49 (f) | 745,000 | 148,942 | ||
Class ES, 5.5455% 1/15/49 (b)(f) | 4,663,000 | 559,401 | ||
LB Commercial Conduit Mortgage Trust Series 2007-C3: | ||||
Class F, 5.9388% 7/15/44 (f) | 1,815,000 | 183,006 | ||
Class G, 6.1497% 7/15/44 (b)(f) | 3,200,000 | 299,828 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2000-C3 Class A2, 7.95% 1/15/10 | 1,856,402 | 1,886,590 | ||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 577,558 | 584,832 | ||
Series 2005-C3 Class A2, 4.553% 7/15/30 | 1,552,295 | 1,537,918 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 1,495,000 | 1,448,929 | ||
Series 2006-C6 Class A2, 5.262% 9/15/39 (f) | 3,340,000 | 3,194,300 | ||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 624,672 | 633,302 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (f) | 823,443 | 831,958 | ||
Class A3, 5.398% 2/15/40 | 5,000,000 | 4,067,007 | ||
Class A4, 5.424% 2/15/40 | 7,630,000 | 5,546,087 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 1,810,000 | 1,777,305 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A: | ||||
Class B, 4.13% 11/20/37 (b) | 3,860,000 | 3,088,000 | ||
Class C, 4.13% 11/20/37 (b) | 3,760,000 | 2,444,000 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 0.6594% 9/15/21 (b)(f) | 402,971 | 110,817 | ||
Class G, 0.6794% 9/15/21 (b)(f) | 795,609 | 198,902 | ||
Class H, 0.7194% 9/15/21 (b)(f) | 204,773 | 46,074 | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-KEY2 Class A2, 4.166% 8/12/39 | 285,107 | 282,142 | ||
Series 2005-MCP1 Class A2, 4.556% 6/12/43 | 2,138,340 | 2,067,472 | ||
Series 2007-C1 Class A4, 5.8287% 6/12/50 (f) | 3,796,000 | 2,723,638 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-5: | ||||
Class A1, 4.275% 12/12/11 | 701,592 | 698,428 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Merrill Lynch-CFC Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-5: | ||||
Class A3, 5.364% 8/12/48 | $ 4,298,000 | $ 3,321,324 | ||
Series 2007-9 Class A4, 5.7% 9/12/49 | 5,500,000 | 3,793,558 | ||
Series 2007-7 Class B, 5.75% 6/12/50 | 770,000 | 171,841 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.545% 7/15/19 (b)(f) | 261,000 | 26,100 | ||
Series 2007-XCLA Class A1, 0.545% 7/17/17 (b)(f) | 957,841 | 478,921 | ||
Series 2007-XLCA Class B, 0.8194% 7/17/17 (b)(f) | 548,938 | 27,447 | ||
Series 2007-XLFA: | ||||
Class D, 0.535% 10/15/20 (b)(f) | 235,000 | 58,750 | ||
Class E, 0.595% 10/15/20 (b)(f) | 294,000 | 58,800 | ||
Class F, 0.645% 10/15/20 (b)(f) | 176,000 | 31,680 | ||
Class G, 0.685% 10/15/20 (b)(f) | 218,000 | 32,700 | ||
Class H, 0.775% 10/15/20 (b)(f) | 137,000 | 13,700 | ||
Class J, 0.925% 10/15/20 (b)(f) | 157,000 | 12,560 | ||
Class NHRO, 1.235% 10/15/20 (b)(f) | 93,109 | 8,380 | ||
sequential payer: | ||||
Series 2004-HQ3 Class A2, 4.05% 1/13/41 | 1,273,445 | 1,288,453 | ||
Series 2006-HQ10 Class A1, 5.131% 11/12/41 | 3,001,488 | 3,027,605 | ||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 902,989 | 921,256 | ||
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (f) | 4,785,000 | 4,021,124 | ||
Series 2007-IQ13 Class A1, 5.05% 3/15/44 | 1,413,098 | 1,415,893 | ||
Series 2007-IQ14 Class A1, 5.38% 4/15/49 | 3,197,964 | 3,240,041 | ||
Series 2007-T25 Class A2, 5.507% 11/12/49 | 10,320,000 | 9,556,059 | ||
Series 2005-IQ9 Class X2, 1.1692% 7/15/56 (b)(f)(g) | 22,431,042 | 471,864 | ||
Series 2007-HQ12 Class A2, 5.6319% 4/12/49 (f) | 4,920,000 | 4,584,953 | ||
Series 2007-IQ14 Class B, 5.914% 4/15/49 | 2,175,000 | 353,177 | ||
Series 2007-XLC1: | ||||
Class C, 0.9194% 7/17/17 (b)(f) | 749,610 | 37,480 | ||
Class D, 1.0194% 7/17/17 (b)(f) | 352,629 | 17,631 | ||
| ||||
| Principal Amount | Value | ||
Class E, 1.1194% 7/17/17 (b)(f) | $ 286,466 | $ 14,323 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 | 2,675,752 | 2,541,964 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.795% 3/24/18 (b)(f) | 39,486 | 35,537 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.5194% 1/15/18 (b)(f) | 449,000 | 269,400 | ||
Series 2006-WL7A: | ||||
Class E, 0.5994% 9/15/21 (b)(f) | 491,000 | 147,300 | ||
Class F, 0.6844% 8/11/18 (b)(f) | 661,000 | 132,200 | ||
Class G, 0.7044% 8/11/18 (b)(f) | 626,000 | 93,900 | ||
Class J, 0.9444% 8/11/18 (b)(f) | 139,000 | 13,900 | ||
Series 2007-WHL8: | ||||
Class AP2, 1.1194% 6/15/20 (b)(f) | 53,945 | 8,092 | ||
Class F, 0.7994% 6/15/20 (b)(f) | 1,046,000 | 209,200 | ||
Class LXR2, 1.1194% 6/15/20 (b)(f) | 713,442 | 71,344 | ||
sequential payer: | ||||
Series 2003-C6 Class A2, 4.498% 8/15/35 | 1,494,207 | 1,479,222 | ||
Series 2003-C7 Class A1, 4.241% 10/15/35 (b) | 828,397 | 816,816 | ||
Series 2007-C30: | ||||
Class A3, 5.246% 12/15/43 | 5,940,000 | 5,176,471 | ||
Class A4, 5.305% 12/15/43 | 3,240,000 | 2,390,697 | ||
Class A5, 5.342% 12/15/43 | 3,796,000 | 2,496,320 | ||
Series 2007-C31 Class A1, 5.14% 4/15/47 | 763,132 | 769,925 | ||
Series 2007-C32 Class A2, 5.7356% 6/15/49 (f) | 1,255,000 | 1,120,880 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (f) | 3,010,000 | 2,366,826 | ||
Series 2007-C30 Class E, 5.553% 12/15/43 (f) | 6,257,000 | 563,130 | ||
Series 2007-C31 Class C, 5.6906% 4/15/47 (f) | 2,455,000 | 306,875 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $328,264,865) | 249,681,654 | |||
Municipal Securities - 0.2% | ||||
| ||||
California Gen. Oblig.: | ||||
7.5% 4/1/34 | 2,400,000 | 2,194,488 | ||
Municipal Securities - continued | ||||
| Principal Amount | Value | ||
California Gen. Oblig.: - continued | ||||
7.55% 4/1/39 | $ 3,600,000 | $ 3,277,404 | ||
New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39 | 1,553,000 | 1,830,381 | ||
TOTAL MUNICIPAL SECURITIES (Cost $7,619,850) | 7,302,273 | |||
Foreign Government and Government Agency Obligations - 0.0% | ||||
| ||||
United Mexican States 5.875% 1/15/14 | 1,665,000 | 1,752,413 | ||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 350,000 | 351,586 |
Preferred Securities - 0.1% | |||
|
|
|
|
FINANCIALS - 0.1% | |||
Diversified Financial Services - 0.1% | |||
MUFG Capital Finance 1 Ltd. 6.346% (f) | 2,820,000 | 2,545,776 | |
Cash Equivalents - 4.4% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at 0.01%, dated 6/30/09 due 7/1/09 (Collateralized by U.S. Treasury Obligations) # | $ 148,112,047 | 148,112,000 |
TOTAL INVESTMENT PORTFOLIO - 106.2% (Cost $3,690,982,963) | 3,583,580,412 |
NET OTHER ASSETS - (6.2)% | (210,774,865) | ||
NET ASSETS - 100% | $ 3,372,805,547 |
Swap Agreements | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps | |||||
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 (Rating-C) (d) | Dec. 2034 | $ 245,904 | $ (231,220) | ||
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 (Rating-C) (d) | Oct. 2034 | 439,482 | (424,829) | ||
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 (Rating-C) (d) | Dec. 2034 | 427,179 | (401,671) | ||
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 (Rating-C) (d) | Oct. 2034 | 439,482 | (424,651) | ||
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-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (d) | Sept. 2034 | $ 135,917 | $ (127,420) | ||
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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $360,000) | Sept. 2037 | 3,000,000 | (2,940,000) | ||
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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $598,000) | Sept. 2037 | 2,600,000 | (2,548,000) | ||
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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $348,750) | Sept. 2037 | 1,500,000 | (1,470,000) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $701,375) | Sept. 2037 | $ 3,100,000 | $ (3,038,000) | ||
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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $572,000) | Sept. 2037 | 4,400,000 | (4,312,000) | ||
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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $214,000) | Sept. 2037 | 1,600,000 | (1,568,000) | ||
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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $1,023,500) | Sept. 2037 | 4,600,000 | (4,508,000) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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 (Rating-Baa2) (d) | August 2034 | $ 106,807 | $ (79,040) | ||
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 (Rating-A3) (d) | Oct. 2034 | 131,573 | (97,200) | ||
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 (Rating-Baa3) (d) | March 2034 | 92,633 | (9,486) | ||
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 (Rating-C) (d) | Feb. 2034 | 4,841 | (4,548) | ||
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 (Rating-Ba1) (d) | April 2032 | 40,946 | (32,509) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
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 (Rating-C) (d) | June 2035 | $ 600,000 | $ (566,088) | ||
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 (Rating-A3) (d) | Sept. 2010 | 1,900,000 | (31,496) | ||
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 (Rating-Baa1) (d) | May 2011 | 4,290,000 | (77,722) | ||
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 (Rating-Baa1) (d) | May 2011 | 2,260,000 | (40,308) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 31,914,764 | $ (22,932,188) | |||
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 | 299,830 | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps - continued | |||||
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 | $ 323,349 | ||
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 | 1,052,174 | ||
Receive 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 | 2,996,635 | ||
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 | 1,600,483 | ||
Receive semi-annually a fixed rate equal to 4.49% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront Payment $(49,519) | Sept. 2010 | 1,500,000 | 81,336 | ||
Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront Payment $(43,437) | Nov. 2010 | 1,000,000 | 56,833 | ||
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 | 1,810,250 | ||
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 | 4,070,834 | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive semi-annually a fixed rate equal to 5.31% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront Payment $(6,013,670) | April 2011 | $ 105,000,000 | $ 8,239,718 | ||
Receive semi-annually a fixed rate equal to 5.354% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 32,000,000 | 2,496,815 | ||
TOTAL INTEREST RATE SWAPS | $ 373,753,000 | $ 23,028,257 | |||
| $ 405,667,764 | $ 96,069 |
Legend |
(a) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $203,702,426 or 6.0% of net assets. |
(c) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $18,222,514 or 0.6% of net assets. |
(d) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(e) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes. |
(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. |
(h) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(j) A portion of the security is subject to a forward commitment to sell. |
(k) Security or a position of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $13,471,184. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$148,112,000 due 7/01/09 at 0.01% | |
Barclays Capital, Inc. | $ 19,828,185 |
Deutsche Bank Securities, Inc. | 17,582,046 |
ING Financial Markets LLC | 6,511,869 |
J.P. Morgan Securities, Inc. | 91,166,162 |
Mizuho Securities USA, Inc. | 6,511,869 |
Morgan Stanley & Co., Inc. | 6,511,869 |
| $ 148,112,000 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2009, involving the Fund's assets and liabilities 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 tables 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: | ||||
Asset-Backed Securities | $ 110,594,086 | $ - | $ 96,733,586 | $ 13,860,500 |
Cash Equivalents | 148,112,000 | - | 148,112,000 | - |
Collateralized Mortgage Obligations | 139,762,878 | - | 137,925,333 | 1,837,545 |
Commercial Mortgage Securities | 249,681,654 | - | 235,218,220 | 14,463,434 |
Corporate Bonds | 1,071,712,510 | - | 1,071,712,510 | - |
Foreign Government and Government Agency Obligations | 1,752,413 | - | 1,752,413 | - |
Municipal Securities | 7,302,273 | - | 7,302,273 | - |
Preferred Securities | 2,545,776 | - | 2,545,776 | - |
Supranational Obligations | 351,586 | - | 351,586 | - |
U.S. Government Agency - Mortgage Securities | 1,103,926,066 | - | 1,103,926,066 | - |
U.S. Government and Government Agency Obligations | 747,839,170 | - | 747,839,170 | - |
Total Investments in Securities: | $ 3,583,580,412 | $ - | $ 3,553,418,933 | $ 30,161,479 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 23,028,257 | $ - | $ 23,028,257 | $ - |
Liabilities | ||||
Swap Agreements | $ (22,932,188) | $ - | $ (20,612,566) | $ (2,319,622) |
Total Derivative Instruments: | $ 96,069 | $ - | $ 2,415,691 | $ (2,319,622) |
Other Financial Instruments | ||||
Forward Commitments | $ 62,890 | $ - | $ 62,890 | $ - |
The following is a reconciliation of assets or liabilities for which level 3 inputs were used in determining value: | |
Investments in Securities |
|
Beginning Balance | $ 17,936,265 |
Total Realized Gain (Loss) | 160,570 |
Total Unrealized Gain (Loss) | (5,568,803) |
Cost of Purchases | 8,818 |
Proceeds of Sales | (2,159,810) |
Amortization/Accretion | 128,721 |
Transfer in/out of Level 3 | 19,655,718 |
Ending Balance | $ 30,161,479 |
Total unrealized gain (loss) on investments held at June 30, 2009 | $ (5,158,537) |
Derivative Instruments: | |
Swap Agreements |
|
Beginning Balance | $ (10,202,880) |
Total Unrealized Gain (Loss) | 8,369,047 |
Transfer in/out of Level 3 | (485,789) |
Ending Balance | $ (2,319,622) |
Realized Gain (Loss) on swap agreements for the period | (8,686,239) |
Total unrealized gain (loss) on derivative instruments held at June 30, 2009 | $ 209,181 |
The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities 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. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swap Agreements (a) | $ - | $ (22,932,188) |
Interest Rate Risk | ||
Swap Agreements (a) | 23,028,257 | - |
Total Value of Derivatives | $ 23,028,257 | $ (22,932,188) |
(a) Value is disclosed on the Statement of Assets and Liabilities under the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Income Tax Information |
At December 31, 2008, the fund had a capital loss carryforward of approximately $16,442,077 all of which will expire on December 31, 2016. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| June 30, 2009 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $148,112,000) - See accompanying schedule: Unaffiliated issuers (cost $3,690,982,963) |
| $ 3,583,580,412 |
Commitment to sell securities on a delayed delivery basis | $ (99,655,938) | |
Receivable for securities sold on a delayed delivery basis | 99,718,828 | 62,890 |
Receivable for investments sold, regular delivery | 64,398,909 | |
Cash | 1,615,040 | |
Receivable for swap agreements | 8,828 | |
Interest receivable | 26,212,842 | |
Unrealized appreciation on swap agreements | 23,028,257 | |
Total assets | 3,698,907,178 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 18,485,800 | |
Delayed delivery | 284,664,645 | |
Unrealized depreciation on swap agreements | 22,932,188 | |
Other payables and accrued expenses | 18,998 | |
Total liabilities | 326,101,631 | |
|
|
|
Net Assets | $ 3,372,805,547 | |
Net Assets consist of: |
| |
Paid in capital | $ 3,499,738,972 | |
Undistributed net investment income | 2,096,723 | |
Accumulated undistributed net realized gain (loss) on investments | (20,335,555) | |
Net unrealized appreciation (depreciation) on investments | (108,694,593) | |
Net Assets, for 33,728,011 shares outstanding | $ 3,372,805,547 | |
Net Asset Value, offering price and redemption price per share ($3,372,805,547 ÷ 33,728,011 shares) | $ 100.00 |
Statement of Operations
| Six months ended June 30, 2009 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 111,690 |
Interest |
| 78,720,189 |
Total income |
| 78,831,879 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 57,755 | |
Independent trustees' compensation | 5,536 | |
Total expenses before reductions | 63,291 | |
Expense reductions | (5,719) | 57,572 |
Net investment income | 78,774,307 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 2,656,676 | |
Swap agreements | (4,795,091) |
|
Total net realized gain (loss) |
| (2,138,415) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 172,979,017 | |
Swap agreements | 3,044,916 | |
Delayed delivery commitments | 63,746 |
|
Total change in net unrealized appreciation (depreciation) |
| 176,087,679 |
Net gain (loss) | 173,949,264 | |
Net increase (decrease) in net assets resulting from operations | $ 252,723,571 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended June 30, | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 78,774,307 | $ 189,917,346 |
Net realized gain (loss) | (2,138,415) | (18,055,948) |
Change in net unrealized appreciation (depreciation) | 176,087,679 | (262,164,666) |
Net increase (decrease) in net assets resulting from operations | 252,723,571 | (90,303,268) |
Distributions to shareholders from net investment income | (79,693,060) | (186,208,380) |
Distributions to shareholders from net realized gain | - | (7,723,403) |
Total distributions | (79,693,060) | (193,931,783) |
Share transactions | 82,082,468 | 327,717,478 |
Reinvestment of distributions | 79,693,060 | 193,931,783 |
Cost of shares redeemed | (124,861,289) | (662,360,879) |
Net increase (decrease) in net assets resulting from share transactions | 36,914,239 | (140,711,618) |
Total increase (decrease) in net assets | 209,944,750 | (424,946,669) |
|
|
|
Net Assets | ||
Beginning of period | 3,162,860,797 | 3,587,807,466 |
End of period (including undistributed net investment income of $2,096,723 and undistributed net investment income of $3,015,476, respectively) | $ 3,372,805,547 | $ 3,162,860,797 |
Other Information Shares | ||
Sold | 841,601 | 3,214,522 |
Issued in reinvestment of distributions | 824,145 | 1,962,900 |
Redeemed | (1,307,379) | (6,809,276) |
Net increase (decrease) | 358,367 | (1,631,854) |
Financial Highlights
| Six months ended | Years ended December 31, | ||
2009 | 2008 | 2007 | 2006 H | |
Selected Per-Share Data |
|
|
|
|
Net asset value, beginning of period | $ 94.78 | $ 102.50 | $ 103.02 | $ 100.00 |
Income from Investment Operations |
|
|
|
|
Net investment income D | 2.393 | 5.319 | 5.534 | 2.814 |
Net realized and unrealized gain (loss) | 5.249 | (7.583) | (.594) | 3.132 |
Total from investment operations | 7.642 | (2.264) | 4.940 | 5.946 |
Distributions from net investment income | (2.422) | (5.236) | (5.385) | (2.826) |
Distributions from net realized gain | - | (.220) | (.075) | (.100) |
Total distributions | (2.422) | (5.456) | (5.460) | (2.926) |
Net asset value, end of period | $ 100.00 | $ 94.78 | $ 102.50 | $ 103.02 |
Total Return B, C | 8.18% | (2.29)% | 4.94% | 5.95% |
Ratios to Average Net Assets E, I |
|
|
|
|
Expenses before reductions | -% A, G | -% G | -% G | -% A, G |
Expenses net of fee waivers, if any | -% A, G | -% G | -% G | -% A, G |
Expenses net of all reductions | -% A, G | -% G | -% G | -% A, G |
Net investment income | 5.01% A | 5.35% | 5.42% | 5.23% A |
Supplemental Data |
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,372,806 | $ 3,162,861 | $ 3,587,807 | $ 2,794,948 |
Portfolio turnover rate F | 123% A | 140% | 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, 2009
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. 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. Events or transactions occurring after period end through the date that the financial statements were issued, August 26, 2009, have been evaluated in the preparation of the financial statements. 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. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. 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, 2009, for the Fund's investments, as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.
Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types as well as dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.
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.
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 p.m. 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 is 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. The adjustments to principal due to inflation are reflected as increases or decreases to 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
Semiannual Report
Notes to Financial Statements - continued
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.
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 swap agreements, market discount, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 84,981,735 |
|
Unrealized depreciation | (187,239,547) |
|
Net unrealized appreciation (depreciation) | $ (102,257,812) |
|
Cost for federal income tax purposes | $ 3,685,838,224 |
|
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
4. Investments in Derivative Instruments.
Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:
Semiannual Report
4. Investments in Derivative Instruments - continued
Objectives and Strategies for Investing in Derivative Instruments - continued
Credit Risk | Credit risk is the risk that the value of financial instruments will fluctuate as a result of changes in the credit quality of those instruments. Credit risk also includes the risk that the counterparty to a financial instrument will default or be unable to make further principal or interest payments on an obligation or commitment that it has entered into with the Fund. |
Interest Rate Risk | Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. |
The following notes provide more detailed information about each derivative type held by the Fund:
Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.
The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the credit worthiness of a reference obligation. Periodic payments are made over the life of the contract provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. If a credit event were to occur during the term of the contract, the contract is typically settled in a market auction where the difference between the value of the reference obligation received and the notional amount of the swap is recorded as a realized loss by the seller of protection. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller of protection is not limited to the specific reference obligation described in the Fund's Schedule of Investments.
For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. If a credit event were to occur during the term of the contract, upon notification of the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the reference obligation received and the notional amount paid is recorded as a realized loss by the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller of protection.
Risks of loss includes credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $31,914,764 representing 0.95% of
Semiannual Report
Notes to Financial Statements - continued
4. Investments in Derivative Instruments - continued
Swap Agreements - continued
net assets. Credit default swaps are considered to have credit-risk contingent features since they require payment by the seller of protection to the buyer of protection upon the occurrence of a defined credit event. The total value of credit default swaps in a net liability position as of period end was $(22,932,188). The value of assets posted as collateral, net of assets received as collateral, for these swaps was $13,471,184. If a defined credit event had occurred as of period end, the swaps' credit-risk-related contingent features would have been triggered and the Fund would have been required to pay $9,461,004 in addition to the collateral to settle these swaps.
The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.
Risk Exposure / Derivative Type | Realized Gain (Loss) | Change in Unrealized |
Credit Risk |
|
|
Swap Agreements | $ (8,528,120) | $ 8,004,296 |
Interest Rate Risk |
|
|
Swap Agreements | 3,733,029 | (4,959,380) |
Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b) | $ (4,795,091) | $ 3,044,916 |
(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $(4,795,091) for swap agreements.
(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $3,044,916 for swap agreements.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $234,166,382 and $254,878,679, respectively.
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 $5,536.
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 expense by $183.
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.
Semiannual Report
8. Other - continued
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 | 14.8% |
VIP Asset Manager: Growth Portfolio | 0.9% |
VIP Balanced Portfolio | 9.8% |
VIP Investment Grade Bond Portfolio | 74.5% |
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, 2009, 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, 2009 and for the year ended December 31, 2008, and the financial highlights for the six months ended June 30, 2009, for each of the two years in the year ended December 31, 2008 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, 2009, 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, 2009, the results of its operations for the six months then ended, the changes in its net assets for the six months ended June 30, 2009 and for the year ended December 31, 2008, and the financial highlights for the six months ended June 30, 2009, for each of the two years in the year ended December 31, 2008 and for the period from June 23, 2006 (commencement of operations) to December 31, 2006, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 26, 2009
Semiannual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on July 15, 2009. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees.A | ||
| # of | % of |
James C. Curvey | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
James H. Keyes | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
Marie L. Knowles | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 3,683,293,854.88 | 100.000 |
Withheld | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
PROPOSAL 2 | ||
To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A | ||
| # of | % of |
Affirmative | 3,683,293,854.88 | 100.000 |
Against | 0.00 | 0.000 |
Abstain | 0.00 | 0.000 |
Broker Non-Votes | 0.00 | 0.000 |
TOTAL | 3,683,293,854.88 | 100.000 |
A Denotes trust-wide proposal and voting results. |
Seminnual Report
Board Approval of Investment Advisory Contracts and Management Fees
VIP Investment Grade Central Fund
On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.
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: | September 2, 2009 |
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: | September 2, 2009 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | September 2, 2009 |