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 811-04861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Nicole Macarchuk, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
| |
Date of fiscal year end: | August 31 |
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Date of reporting period: | August 31, 2024 |
Item 1.
Reports to Stockholders
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| | ANNUAL SHAREHOLDER REPORT | AS OF AUGUST 31, 2024 | |
| | Fidelity® Education Income Fund Fidelity® Education Income Fund true |
| | | |
This annual shareholder report contains information about Fidelity® Education Income Fund for the period September 1, 2023 to August 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-8544.
What were your Fund costs for the last year?(based on hypothetical $10,000 investment)
FUND COST (PREVIOUS YEAR)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Education Income Fund | $ 0 A | 0.00%B | |
A Amount represents less than $.50
B Amount represents less than 0.005%
What affected the Fund's performance this period?
•U.S. taxable investment-grade bonds posted a strong advance for the 12 months ending August 31, 2024, helped by a late-period gain, as the bond market reflected anticipated interest-rate reductions by the U.S. Federal Reserve, which are expected to start in September. The full 12-month period was marked by high volatility.
•Against this backdrop, the fund's strategy of overweighting corporate bonds, while underweighting U.S. Treasurys, contributed to its performance versus the composite index. Within corporates, debt holdings among financial institutions - especially banks - and industrial firms, particularly in the consumer cyclical segment, added notable value.
•Non-composite exposure to asset-backed securities, including car loan debt and credit card receivables, also meaningfully contributed. A small, out-of-index allocation to commercial mortgage-backed securities helped as well.
•In contrast, the fund's yield-curve positioning detracted from relative performance.
•At period end, corporates made up about 33% of fund assets, up from roughly 26% a year ago and notably overweight versus the composite index average of 17%. Exposure to U.S. Treasurys stood at 49% at the end of the fiscal year, compared with an average of 75% for the composite index, while out-of-index exposure to asset-backed securities composed roughly 13% of fund assets as of August 31.
How did the Fund perform over the life of Fund?
CUMULATIVE PERFORMANCE
March 16, 2021 through August 31, 2024.
Initial investment of $10,000.
Fidelity® Education Income Fund | $10,000 | $10,089 | $9,448 | $9,575 |
Fidelity Education Income Composite Index℠ | $10,000 | $10,059 | $9,437 | $9,515 |
Bloomberg U.S. 1-5 Year Government/Credit Bond Index | $10,000 | $10,055 | $9,467 | $9,580 |
Bloomberg U.S. Aggregate Bond Index | $10,000 | $10,268 | $9,085 | $8,977 |
| | 2021 | 2022 | 2023 | 2024 |
AVERAGE ANNUAL TOTAL RETURNS: | | 1 Year | Life of Fund A |
| Fidelity® Education Income Fund | 6.83% | 0.66% |
| Fidelity Education Income Composite Index℠ | 6.48% | 0.38% |
| Bloomberg U.S. 1-5 Year Government/Credit Bond Index | 6.67% | 0.63% |
| Bloomberg U.S. Aggregate Bond Index | 7.30% | -1.08% |
A From March 16, 2021
Visit www.fidelity.com for more recent performance information. |
The Fund's past performance is not a good predictor of the Fund's future performance. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. |
Key Fund Statistics (as of August 31, 2024)
KEY FACTS | | |
| Fund Size | $691,570,222 | |
| Number of Holdings | 327 | |
| Total Advisory Fee | $0 | |
| Portfolio Turnover | 77% | |
What did the Fund invest in?
(as of August 31, 2024)
| U.S. Government and U.S. Government Agency Obligations | 50.2 |
| AAA | 15.3 |
| AA | 1.8 |
| A | 18.2 |
| BBB | 12.3 |
| Not Rated | 0.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.5 |
QUALITY DIVERSIFICATION (% of Fund's net assets) |
|
| |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
| U.S. Treasury Obligations | 48.4 |
| Corporate Bonds | 32.3 |
| Asset-Backed Securities | 13.3 |
| CMOs and Other Mortgage Related Securities | 2.7 |
| U.S. Government Agency - Mortgage Securities | 1.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.5 |
ASSET ALLOCATION (% of Fund's net assets) |
|
|
| United States | 90.1 |
| United Kingdom | 2.9 |
| Germany | 1.9 |
| Japan | 1.0 |
| Switzerland | 1.0 |
| Canada | 0.8 |
| Norway | 0.7 |
| France | 0.7 |
| Netherlands | 0.5 |
| Others | 0.4 |
GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets) |
|
| |
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Notes | 48.4 | |
| JPMorgan Chase & Co | 2.1 | |
| Bank of America Corp | 1.6 | |
| Fannie Mae Mortgage pass-thru certificates | 1.3 | |
| American Express Cr Acc Mst Tr | 1.3 | |
| Morgan Stanley | 1.2 | |
| Wells Fargo & Co | 1.1 | |
| Chase Issuance Trust | 1.0 | |
| Citigroup Inc | 1.0 | |
| UBS Group AG | 1.0 | |
| | 60.0 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9913669.100 6361-TSRA-1024 |
Item 2.
Code of Ethics
As of the end of the period, August 31, 2024, Fidelity Garrison Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Education Income Fund (the “Fund”):
Services Billed by Deloitte Entities
August 31, 2024 FeesA
|
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Education Income Fund | $76,900 | $- | $10,100 | $1,700 |
|
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Education Income Fund | $75,000 | $- | $10,100 | $1,800 |
A Amounts may reflect rounding.
The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily
portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
|
| August 31, 2024A | August 31, 2023 A |
Audit-Related Fees | $200,000 | $- |
Tax Fees | $- | $- |
All Other Fees | $1,929,500 | $- |
A Amounts may reflect rounding.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
|
Billed By | August 31, 2024A | August 31, 2023A |
Deloitte Entities | $4,960,300 | $3,229,900 |
|
|
|
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Financial Statements and Financial Highlights for Open-End Management Investment Companies
Fidelity® Education Income Fund
(to be renamed Fidelity Education Fund effective October 30, 2024)
Annual Report
August 31, 2024
Contents
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. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
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-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT 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.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)
Fidelity® Education Income Fund
Schedule of Investments August 31, 2024
Showing Percentage of Net Assets
| Nonconvertible Bonds - 32.3% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 1.0% | | | |
| Diversified Telecommunication Services - 0.8% | | | |
| AT&T, Inc.: | | | |
| 1.65% 2/1/28 | | 2,750,000 | 2,507,254 |
| 4.25% 3/1/27 | | 400,000 | 398,503 |
| 4.3% 2/15/30 | | 250,000 | 247,466 |
| Verizon Communications, Inc.: | | | |
| 2.1% 3/22/28 | | 500,000 | 463,036 |
| 2.355% 3/15/32 | | 2,000,000 | 1,699,221 |
| 3% 3/22/27 | | 78,000 | 75,452 |
| | | | 5,390,932 |
| Entertainment - 0.0% | | | |
| The Walt Disney Co. 1.75% 1/13/26 | | 306,000 | 295,229 |
| Media - 0.2% | | | |
| Comcast Corp. 2.35% 1/15/27 | | 500,000 | 478,163 |
| Warnermedia Holdings, Inc.: | | | |
| 3.755% 3/15/27 | | 1,000,000 | 958,044 |
| 4.054% 3/15/29 | | 6,000 | 5,606 |
| | | | 1,441,813 |
| Wireless Telecommunication Services - 0.0% | | | |
| Rogers Communications, Inc. 3.2% 3/15/27 | | 19,000 | 18,381 |
TOTAL COMMUNICATION SERVICES | | | 7,146,355 |
| CONSUMER DISCRETIONARY - 2.4% | | | |
| Automobiles - 1.7% | | | |
| General Motors Financial Co., Inc.: | | | |
| 1.25% 1/8/26 | | 500,000 | 477,076 |
| 2.35% 2/26/27 | | 3,000,000 | 2,839,814 |
| Hyundai Capital America 1% 9/17/24 (b) | | 74,000 | 73,865 |
| Mercedes-Benz Finance North America LLC: | | | |
| 1.45% 3/2/26 (b) | | 2,500,000 | 2,388,537 |
| 4.8% 8/1/29 (b) | | 1,800,000 | 1,821,821 |
| Volkswagen Group of America Finance LLC: | | | |
| 3.95% 6/6/25 (b) | | 227,000 | 224,899 |
| 4.35% 6/8/27 (b) | | 200,000 | 198,336 |
| 4.95% 8/15/29 (b) | | 920,000 | 922,743 |
| 5.7% 9/12/26 (b) | | 2,500,000 | 2,544,597 |
| | | | 11,491,688 |
| Specialty Retail - 0.7% | | | |
| Lowe's Companies, Inc.: | | | |
| 4.4% 9/8/25 | | 2,275,000 | 2,265,777 |
| 4.8% 4/1/26 | | 261,000 | 261,800 |
| O'Reilly Automotive, Inc. 5.75% 11/20/26 | | 516,000 | 528,547 |
| The Home Depot, Inc. 2.875% 4/15/27 | | 2,028,000 | 1,965,493 |
| | | | 5,021,617 |
TOTAL CONSUMER DISCRETIONARY | | | 16,513,305 |
| CONSUMER STAPLES - 1.3% | | | |
| Consumer Staples Distribution & Retail - 0.3% | | | |
| Dollar General Corp. 4.625% 11/1/27 | | 2,406,000 | 2,389,832 |
| Personal Care Products - 0.3% | | | |
| Kenvue, Inc.: | | | |
| 5.05% 3/22/28 | | 1,262,000 | 1,296,856 |
| 5.35% 3/22/26 | | 598,000 | 606,627 |
| | | | 1,903,483 |
| Tobacco - 0.7% | | | |
| BAT Capital Corp. 4.7% 4/2/27 | | 801,000 | 803,463 |
| BAT International Finance PLC 1.668% 3/25/26 | | 2,750,000 | 2,624,749 |
| Philip Morris International, Inc. 4.75% 2/12/27 | | 1,503,000 | 1,516,546 |
| | | | 4,944,758 |
TOTAL CONSUMER STAPLES | | | 9,238,073 |
| ENERGY - 0.9% | | | |
| Energy Equipment & Services - 0.0% | | | |
| Baker Hughes Co. 2.061% 12/15/26 | | 15,000 | 14,258 |
| Oil, Gas & Consumable Fuels - 0.9% | | | |
| Canadian Natural Resources Ltd. 2.05% 7/15/25 | | 315,000 | 306,974 |
| Enbridge, Inc.: | | | |
| 5.25% 4/5/27 | | 848,000 | 863,933 |
| 5.3% 4/5/29 | | 708,000 | 727,683 |
| 5.9% 11/15/26 | | 720,000 | 740,170 |
| Exxon Mobil Corp. 2.992% 3/19/25 | | 210,000 | 207,786 |
| MPLX LP: | | | |
| 1.75% 3/1/26 | | 2,000,000 | 1,912,139 |
| 4% 3/15/28 | | 760,000 | 745,069 |
| The Williams Companies, Inc. 4.8% 11/15/29 | | 914,000 | 920,739 |
| | | | 6,424,493 |
TOTAL ENERGY | | | 6,438,751 |
| FINANCIALS - 21.5% | | | |
| Banks - 13.2% | | | |
| Bank of America Corp.: | | | |
| 1.197% 10/24/26 (c) | | 500,000 | 479,690 |
| 1.734% 7/22/27 (c) | | 500,000 | 474,324 |
| 2.456% 10/22/25 (c) | | 500,000 | 497,857 |
| 2.551% 2/4/28 (c) | | 850,000 | 810,593 |
| 2.651% 3/11/32 (c) | | 2,750,000 | 2,412,832 |
| 4.827% 7/22/26 (c) | | 2,500,000 | 2,494,978 |
| 4.948% 7/22/28 (c) | | 3,750,000 | 3,788,558 |
| Banque Federative du Credit Mutuel SA 4.524% 7/13/25 (b) | | 449,000 | 447,674 |
| Barclays PLC: | | | |
| 2.279% 11/24/27 (c) | | 1,300,000 | 1,230,343 |
| 2.852% 5/7/26 (c) | | 750,000 | 737,244 |
| 5.304% 8/9/26 (c) | | 2,500,000 | 2,504,040 |
| BNP Paribas SA 1.323% 1/13/27 (b)(c)(d) | | 750,000 | 713,972 |
| Canadian Imperial Bank of Commerce: | | | |
| 3.45% 4/7/27 | | 1,150,000 | 1,121,371 |
| 3.945% 8/4/25 | | 495,000 | 491,232 |
| Citigroup, Inc.: | | | |
| 1.122% 1/28/27 (c) | | 3,000,000 | 2,848,935 |
| 3.07% 2/24/28 (c) | | 3,000,000 | 2,894,841 |
| 3.106% 4/8/26 (c) | | 1,100,000 | 1,085,513 |
| Cooperatieve Rabobank UA 1.98% 12/15/27 (b)(c) | | 3,050,000 | 2,869,191 |
| DNB Bank ASA: | | | |
| 0.856% 9/30/25 (b)(c) | | 2,500,000 | 2,490,809 |
| 1.605% 3/30/28 (b)(c) | | 2,250,000 | 2,081,713 |
| HSBC Holdings PLC: | | | |
| 5.21% 8/11/28 (c) | | 2,827,000 | 2,866,838 |
| 5.597% 5/17/28 (c) | | 2,100,000 | 2,145,166 |
| Huntington Bancshares, Inc. 4.443% 8/4/28 (c) | | 2,261,000 | 2,254,382 |
| Huntington National Bank 5.699% 11/18/25 (c) | | 1,490,000 | 1,489,692 |
| ING Groep NV 5.335% 3/19/30 (c) | | 1,031,000 | 1,054,079 |
| JPMorgan Chase & Co.: | | | |
| 1.47% 9/22/27 (c) | | 3,080,000 | 2,893,208 |
| 2.083% 4/22/26 (c) | | 500,000 | 490,494 |
| 2.58% 4/22/32 (c) | | 3,000,000 | 2,626,129 |
| 2.947% 2/24/28 (c) | | 3,318,000 | 3,195,286 |
| 3.54% 5/1/28 (c) | | 350,000 | 341,319 |
| 4.851% 7/25/28 (c) | | 3,750,000 | 3,783,706 |
| 5.571% 4/22/28 (c) | | 1,160,000 | 1,189,204 |
| KeyBank NA 4.15% 8/8/25 | | 250,000 | 247,643 |
| KeyCorp U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.250% 6.5954% 5/23/25 (c)(d) | | 177,000 | 177,475 |
| Lloyds Banking Group PLC 5.985% 8/7/27 (c) | | 901,000 | 921,178 |
| Mitsubishi UFJ Financial Group, Inc. 1.64% 10/13/27 (c) | | 1,300,000 | 1,222,292 |
| Mizuho Financial Group, Inc.: | | | |
| 1.234% 5/22/27 (c) | | 2,050,000 | 1,933,800 |
| 2.651% 5/22/26 (c) | | 500,000 | 491,581 |
| Morgan Stanley Bank, West Valley City Utah: | | | |
| 4.754% 4/21/26 | | 1,062,000 | 1,066,239 |
| 5.882% 10/30/26 | | 1,700,000 | 1,751,746 |
| NatWest Group PLC 1.642% 6/14/27 (c) | | 3,300,000 | 3,122,368 |
| NatWest Markets PLC 5.416% 5/17/27 (b) | | 1,800,000 | 1,835,137 |
| PNC Financial Services Group, Inc. 5.354% 12/2/28 (c) | | 1,020,000 | 1,047,957 |
| Santander Holdings U.S.A., Inc.: | | | |
| 2.49% 1/6/28 (c) | | 773,000 | 725,457 |
| 6.124% 5/31/27 (c) | | 590,000 | 599,719 |
| Societe Generale: | | | |
| 2.226% 1/21/26 (b)(c) | | 2,500,000 | 2,468,250 |
| 2.797% 1/19/28 (b)(c) | | 950,000 | 899,848 |
| Sumitomo Mitsui Financial Group, Inc.: | | | |
| 1.402% 9/17/26 | | 750,000 | 703,468 |
| 1.474% 7/8/25 | | 2,500,000 | 2,430,678 |
| The Toronto-Dominion Bank 2.8% 3/10/27 | | 64,000 | 61,561 |
| Truist Financial Corp. 4.26% 7/28/26 (c) | | 2,960,000 | 2,933,256 |
| Wells Fargo & Co.: | | | |
| 2.164% 2/11/26 (c) | | 750,000 | 739,742 |
| 2.188% 4/30/26 (c) | | 2,676,000 | 2,622,943 |
| 3.526% 3/24/28 (c) | | 3,288,000 | 3,201,604 |
| 4.808% 7/25/28 (c) | | 1,250,000 | 1,257,210 |
| Wells Fargo Bank NA 5.254% 12/11/26 | | 1,800,000 | 1,834,862 |
| | | | 91,101,227 |
| Capital Markets - 5.2% | | | |
| Athene Global Funding: | | | |
| 1.716% 1/7/25 (b) | | 600,000 | 592,185 |
| 1.73% 10/2/26 (b) | | 573,000 | 538,957 |
| 5.516% 3/25/27 (b) | | 2,000,000 | 2,038,853 |
| 5.583% 1/9/29 (b) | | 505,000 | 518,588 |
| Deutsche Bank AG New York Branch: | | | |
| 2.129% 11/24/26 (c) | | 750,000 | 722,431 |
| 2.311% 11/16/27 (c) | | 3,300,000 | 3,112,347 |
| Goldman Sachs Group, Inc.: | | | |
| 2.64% 2/24/28 (c) | | 2,563,000 | 2,445,634 |
| 4.482% 8/23/28 (c) | | 2,500,000 | 2,494,290 |
| Intercontinental Exchange, Inc.: | | | |
| 3.75% 9/21/28 | | 125,000 | 121,900 |
| 4% 9/15/27 | | 1,981,000 | 1,961,690 |
| 4.35% 6/15/29 | | 2,500,000 | 2,492,915 |
| Moody's Corp. 3.75% 3/24/25 | | 750,000 | 744,890 |
| Morgan Stanley: | | | |
| 2.188% 4/28/26 (c) | | 750,000 | 735,303 |
| 2.239% 7/21/32 (c) | | 2,750,000 | 2,327,179 |
| 3.591% 7/22/28 (c) | | 1,050,000 | 1,020,668 |
| 4.679% 7/17/26 (c) | | 1,842,000 | 1,834,002 |
| 5.042% 7/19/30 (c) | | 1,800,000 | 1,830,685 |
| S&P Global, Inc. 2.45% 3/1/27 | | 2,814,000 | 2,692,729 |
| State Street Corp. 4.53% 2/20/29 (c) | | 1,015,000 | 1,016,627 |
| UBS Group AG: | | | |
| 1.305% 2/2/27 (b)(c) | | 1,300,000 | 1,234,130 |
| 2.593% 9/11/25 (b)(c) | | 2,500,000 | 2,498,364 |
| 3.091% 5/14/32 (b)(c) | | 250,000 | 221,319 |
| 4.703% 8/5/27 (b)(c) | | 2,500,000 | 2,495,001 |
| 6.373% 7/15/26 (b)(c) | | 300,000 | 303,121 |
| | | | 35,993,808 |
| Consumer Finance - 1.5% | | | |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | | | |
| 2.45% 10/29/26 | | 700,000 | 667,159 |
| 6.1% 1/15/27 | | 2,500,000 | 2,573,665 |
| American Express Co. 2.55% 3/4/27 | | 54,000 | 51,680 |
| Capital One Financial Corp.: | | | |
| 1.878% 11/2/27 (c) | | 3,400,000 | 3,200,856 |
| 4.985% 7/24/26 (c) | | 2,701,000 | 2,695,117 |
| John Deere Capital Corp. 4.75% 6/8/26 | | 804,000 | 809,995 |
| Toyota Motor Credit Corp. 4.55% 8/9/29 | | 240,000 | 242,018 |
| | | | 10,240,490 |
| Financial Services - 0.4% | | | |
| Corebridge Financial, Inc.: | | | |
| 3.5% 4/4/25 | | 508,000 | 502,709 |
| 3.65% 4/5/27 | | 2,762,000 | 2,704,287 |
| | | | 3,206,996 |
| Insurance - 1.2% | | | |
| Equitable Financial Life Global Funding: | | | |
| 1.1% 11/12/24 (b) | | 500,000 | 495,743 |
| 1.4% 8/27/27 (b) | | 700,000 | 639,676 |
| 1.7% 11/12/26 (b) | | 799,000 | 750,651 |
| Jackson National Life Global Funding 5.55% 7/2/27 (b) | | 1,210,000 | 1,235,998 |
| MassMutual Global Funding II: | | | |
| 4.85% 1/17/29 (b) | | 2,100,000 | 2,140,512 |
| 5.1% 4/9/27 (b) | | 1,834,000 | 1,874,036 |
| RGA Global Funding: | | | |
| 2% 11/30/26 (b) | | 30,000 | 28,291 |
| 5.448% 5/24/29 (b) | | 1,055,000 | 1,088,135 |
| | | | 8,253,042 |
TOTAL FINANCIALS | | | 148,795,563 |
| HEALTH CARE - 0.8% | | | |
| Biotechnology - 0.1% | | | |
| Amgen, Inc. 5.15% 3/2/28 | | 378,000 | 386,112 |
| Health Care Providers & Services - 0.4% | | | |
| CVS Health Corp. 4.3% 3/25/28 | | 110,000 | 108,675 |
| Humana, Inc. 3.7% 3/23/29 | | 2,500,000 | 2,413,104 |
| UnitedHealth Group, Inc. 3.7% 5/15/27 | | 399,000 | 394,632 |
| | | | 2,916,411 |
| Pharmaceuticals - 0.3% | | | |
| Bristol-Myers Squibb Co.: | | | |
| 4.9% 2/22/27 | | 1,158,000 | 1,176,481 |
| 4.9% 2/22/29 | | 846,000 | 867,459 |
| | | | 2,043,940 |
TOTAL HEALTH CARE | | | 5,346,463 |
| INDUSTRIALS - 1.8% | | | |
| Aerospace & Defense - 0.4% | | | |
| BAE Systems PLC: | | | |
| 5% 3/26/27 (b) | | 587,000 | 593,367 |
| 5.125% 3/26/29 (b) | | 546,000 | 557,337 |
| RTX Corp.: | | | |
| 3.95% 8/16/25 | | 116,000 | 114,998 |
| 5.75% 11/8/26 | | 778,000 | 798,113 |
| 5.75% 1/15/29 | | 366,000 | 384,391 |
| The Boeing Co.: | | | |
| 5.04% 5/1/27 | | 500,000 | 500,662 |
| 6.259% 5/1/27 (b) | | 150,000 | 154,318 |
| | | | 3,103,186 |
| Ground Transportation - 0.2% | | | |
| Canadian Pacific Railway Co. 1.75% 12/2/26 | | 1,517,000 | 1,431,589 |
| Machinery - 0.8% | | | |
| Daimler Trucks Finance North America LLC: | | | |
| 2% 12/14/26 (b) | | 500,000 | 472,756 |
| 5.125% 9/25/27 (b) | | 578,000 | 587,546 |
| Ingersoll Rand, Inc.: | | | |
| 5.176% 6/15/29 | | 2,100,000 | 2,154,263 |
| 5.197% 6/15/27 | | 2,100,000 | 2,136,808 |
| Parker Hannifin Corp. 4.25% 9/15/27 | | 217,000 | 215,876 |
| | | | 5,567,249 |
| Trading Companies & Distributors - 0.4% | | | |
| Air Lease Corp.: | | | |
| 2.2% 1/15/27 | | 2,530,000 | 2,392,041 |
| 3.25% 3/1/25 | | 97,000 | 95,994 |
| | | | 2,488,035 |
TOTAL INDUSTRIALS | | | 12,590,059 |
| INFORMATION TECHNOLOGY - 0.8% | | | |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Amphenol Corp.: | | | |
| 5.05% 4/5/27 | | 298,000 | 303,598 |
| 5.05% 4/5/29 | | 430,000 | 441,958 |
| | | | 745,556 |
| Semiconductors & Semiconductor Equipment - 0.2% | | | |
| Broadcom, Inc. 5.05% 7/12/29 | | 1,365,000 | 1,391,629 |
| Software - 0.5% | | | |
| Roper Technologies, Inc.: | | | |
| 1% 9/15/25 | | 2,076,000 | 1,997,339 |
| 1.75% 2/15/31 | | 750,000 | 625,252 |
| 4.5% 10/15/29 | | 603,000 | 601,913 |
| | | | 3,224,504 |
TOTAL INFORMATION TECHNOLOGY | | | 5,361,689 |
| REAL ESTATE - 0.3% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.3% | | | |
| Ventas Realty LP 2.65% 1/15/25 | | 2,000,000 | 1,977,842 |
| UTILITIES - 1.5% | | | |
| Electric Utilities - 1.2% | | | |
| Alabama Power Co. 3.05% 3/15/32 | | 2,526,000 | 2,267,445 |
| Duke Energy Corp. 4.3% 3/15/28 | | 1,341,000 | 1,333,363 |
| Eversource Energy 0.8% 8/15/25 | | 43,000 | 41,351 |
| Exelon Corp.: | | | |
| 2.75% 3/15/27 | | 1,006,000 | 966,308 |
| 5.15% 3/15/29 | | 381,000 | 391,120 |
| Georgia Power Co. 4.65% 5/16/28 | | 948,000 | 957,652 |
| Southern Co.: | | | |
| 3.25% 7/1/26 | | 500,000 | 488,032 |
| 5.5% 3/15/29 | | 900,000 | 936,863 |
| Virginia Electric & Power Co. 2.4% 3/30/32 | | 500,000 | 427,970 |
| | | | 7,810,104 |
| Independent Power and Renewable Electricity Producers - 0.0% | | | |
| Constellation Energy Generation, LLC 3.25% 6/1/25 | | 178,000 | 175,511 |
| Multi-Utilities - 0.3% | | | |
| DTE Energy Co. 4.95% 7/1/27 | | 574,000 | 580,228 |
| NiSource, Inc. 0.95% 8/15/25 | | 1,500,000 | 1,444,222 |
| Sempra 3.3% 4/1/25 | | 28,000 | 27,659 |
| | | | 2,052,109 |
TOTAL UTILITIES | | | 10,037,724 |
| TOTAL NONCONVERTIBLE BONDS (Cost $220,940,512) | | | 223,445,824 |
| | | | |
| U.S. Treasury Obligations - 48.4% |
| | | Principal Amount (a) | Value ($) |
| U.S. Treasury Notes: | | | |
| 2.75% 8/15/32 | | 5,035,500 | 4,656,854 |
| 3.875% 11/30/27 | | 15,500,000 | 15,539,961 |
| 4% 2/29/28 | | 10,368,800 | 10,444,946 |
| 4% 1/31/29 | | 11,212,000 | 11,325,434 |
| 4% 2/15/34 | | 12,372,100 | 12,449,426 |
| 4.125% 10/31/27 | | 17,561,900 | 17,732,717 |
| 4.125% 7/31/28 | | 7,000,000 | 7,091,328 |
| 4.125% 3/31/29 | | 37,100,000 | 37,685,484 |
| 4.25% 2/28/29 | | 51,000,000 | 52,079,766 |
| 4.375% 11/30/28 | | 14,000,000 | 14,337,422 |
| 4.5% 4/15/27 | | 81,166,200 | 82,507,339 |
| 4.625% 9/15/26 | | 10,000,000 | 10,133,984 |
| 4.625% 4/30/29 | | 17,369,600 | 18,018,246 |
| 4.625% 4/30/31 | | 5,982,700 | 6,267,346 |
| 4.875% 10/31/28 | | 32,595,500 | 33,982,082 |
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $328,398,193) | | | 334,252,335 |
| | | | |
| U.S. Government Agency - Mortgage Securities - 1.8% |
| | | Principal Amount (a) | Value ($) |
| Fannie Mae - 1.3% | | | |
| 2% 2/1/28 to 3/1/32 | | 1,255,964 | 1,188,739 |
| 2.5% 1/1/28 to 7/1/31 | | 867,935 | 837,695 |
| 3% 2/1/31 to 12/1/36 | | 4,823,300 | 4,611,059 |
| 3.5% 12/1/28 to 2/1/33 | | 647,485 | 636,212 |
| 1.5% 1/1/32 | | 1,907,773 | 1,769,667 |
TOTAL FANNIE MAE | | | 9,043,372 |
| Freddie Mac - 0.5% | | | |
| 2.5% 1/1/28 to 3/1/32 | | 1,872,273 | 1,789,590 |
| 3% 12/1/30 to 10/1/35 | | 1,703,526 | 1,644,986 |
TOTAL FREDDIE MAC | | | 3,434,576 |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $12,459,011) | | | 12,477,948 |
| | | | |
| Asset-Backed Securities - 13.3% |
| | | Principal Amount (a) | Value ($) |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/28 | | 321,000 | 323,717 |
| American Express Credit Account Master Trust: | | | |
| Series 2022-4 Class A, 4.95% 10/15/27 | | 1,122,000 | 1,125,367 |
| Series 2023-1 Class A, 4.87% 5/15/28 | | 1,003,000 | 1,009,617 |
| Series 2023-3 Class A, 5.23% 9/15/28 | | 4,516,000 | 4,601,132 |
| Series 2024-1 Class A, 5.23% 4/15/29 | | 1,700,000 | 1,740,571 |
| Bank of America Credit Card Master Trust: | | | |
| Series 2022-A2, Class A2, 5% 4/15/28 | | 1,294,000 | 1,299,390 |
| Series 2023-A1 Class A1, 4.79% 5/15/28 | | 729,000 | 733,261 |
| Series 2023-A2 Class A2, 4.98% 11/15/28 | | 3,529,000 | 3,581,907 |
| BMW Vehicle Owner Trust Series 2023-A Class A3, 5.47% 2/25/28 | | 272,000 | 274,703 |
| Bofa Auto Trust 2024-1 Series 2024-1A Class A3, 5.35% 11/15/28 (b) | | 126,000 | 128,048 |
| Capital One Multi-Asset Execution Trust Series 2022-A3 Class A, 4.95% 10/15/27 | | 1,603,000 | 1,606,908 |
| Capital One Prime Auto Receiva Series 2023-2 Class A3, 5.82% 6/15/28 | | 1,612,000 | 1,645,457 |
| Carmax Series 2023-3 Class A3, 5.28% 5/15/28 | | 1,274,000 | 1,286,454 |
| CarMax Auto Owner Trust Series 2023 2 Class A3, 5.05% 1/18/28 | | 1,732,000 | 1,738,711 |
| Carmax Auto Owner Trust: | | | |
| Series 2024-1 Class A3, 4.92% 10/16/28 | | 757,000 | 762,599 |
| Series 2024-2 Class A3, 5.5% 1/16/29 | | 232,000 | 236,757 |
| Carmax Auto Owner Trust 2023-4 Series 2023-4 Class A3, 6% 7/17/28 | | 321,000 | 328,033 |
| Chase Auto Owner Trust Series 2024-1A Class A3, 5.13% 5/25/29 (b) | | 300,000 | 304,201 |
| Chase Auto Owner Trust 24-3 Series 2024-3A Class A3, 5.22% 7/25/29 (b) | | 1,277,000 | 1,299,110 |
| Chase Issuance Trust: | | | |
| Series 2022-A1 Class A, 3.97% 9/15/27 | | 560,000 | 555,746 |
| Series 2023-A1 Class A, 5.16% 9/15/28 | | 2,354,000 | 2,393,329 |
| Series 2023-A2 Class A, 5.08% 9/15/30 | | 2,135,000 | 2,204,505 |
| Series 2024-A1 Class A, 4.6% 1/16/29 (c) | | 1,892,000 | 1,905,823 |
| Citibank Credit Card Issuance Trust Series 2023-A1 Class A1, 5.23% 12/8/27 | | 789,000 | 794,529 |
| Citizens Auto Receivables Trust: | | | |
| Series 2024-1 Class A3, 5.11% 4/17/28 (b) | | 764,000 | 769,013 |
| Series 2024-2: | | | |
Class A3, 5.33% 8/15/28 (b) | | 374,000 | 378,567 |
Class A4, 5.26% 4/15/31 (b) | | 2,500,000 | 2,551,742 |
| Daimler Trucks Retail Trust 20 Series 2024-1 Class A3, 5.49% 12/15/27 | | 1,091,000 | 1,107,020 |
| Dell Equipment Finance Trust 2: | | | |
| Series 2023-3 Class A3, 5.93% 4/23/29 (b) | | 827,000 | 839,422 |
| Series 2024-1 Class A3, 5.39% 3/22/30 (b) | | 507,000 | 514,903 |
| Dell Equipment Finance Trust 2023-2 Series 2023-2 Class A3, 5.65% 1/22/29 (b) | | 578,000 | 582,090 |
| Discover Card Execution Note Trust Series 2022-A4, Class A, 5.03% 10/15/27 | | 1,613,000 | 1,617,873 |
| Dllaa 2023-1A Series 2023-1A Class A3, 5.64% 2/22/28 (b) | | 146,000 | 148,728 |
| DLLAD Series 2024-1A Class A3, 5.3% 7/20/29 (b) | | 105,000 | 107,173 |
| Dllmt 2024-1 LLC Series 2024-1A Class A3, 4.84% 8/21/28 (b) | | 635,000 | 636,579 |
| Ford Credit Auto Lease Trust Series 2023-B Class A3, 5.91% 10/15/26 | | 1,684,000 | 1,695,546 |
| Ford Credit Auto Owner Trust Series 2023-B Class A3, 5.23% 5/15/28 | | 1,127,000 | 1,137,280 |
| Ford Credit Floorplan Master Owner Trust: | | | |
| Series 2023-1 Class A1, 4.92% 5/15/28 (b) | | 1,171,000 | 1,177,333 |
| Series 2024-1 Class A1, 5.29% 4/15/29 (b) | | 1,637,000 | 1,668,652 |
| GM Financial Automobile Leasing Trust Series 2023-2 Class A3, 5.05% 7/20/26 | | 1,165,000 | 1,165,240 |
| Gm Financial Consumer Automobile Re Series 2023-3 Class A3, 5.45% 6/16/28 | | 312,000 | 315,612 |
| GM Financial Consumer Automobile Receivables Series 2023 2 Class A3, 4.47% 2/16/28 | | 440,000 | 438,753 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-4 Class A3, 5.78% 8/16/28 | | 1,324,000 | 1,351,259 |
| Gm Financial Leasing Trust 202 Series 2023-3 Class A3, 5.38% 11/20/26 | | 147,000 | 147,787 |
| GMF Floorplan Owner Revolving Trust: | | | |
| Series 2023-1 Class A1, 5.34% 6/15/28 (b) | | 1,660,000 | 1,682,303 |
| Series 2024-1A Class A1, 5.13% 3/15/29 (b) | | 2,000,000 | 2,036,945 |
| Harot 2023-4 Series 2023-4 Class A3, 5.67% 6/21/28 | | 1,195,000 | 1,218,041 |
| Huntington Auto Trust Series 2024-1A Class A3, 5.23% 1/16/29 (b) | | 1,943,000 | 1,974,800 |
| Hyundai Auto Lease Securitizat: | | | |
| Series 2023-C Class A3, 5.8% 12/15/26 (b) | | 1,391,000 | 1,404,751 |
| Series 2024-B Class A3, 5.41% 5/17/27 (b) | | 581,000 | 588,978 |
| Hyundai Auto Receivables Trust: | | | |
| Series 2023-B Class A3, 5.48% 4/17/28 | | 314,000 | 317,871 |
| Series 2023-C Class A3, 5.54% 10/16/28 | | 994,000 | 1,013,089 |
| Series 2024-A Class A3, 4.99% 2/15/29 | | 334,000 | 337,998 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/28 | | 370,000 | 376,650 |
| Mercedes-Benz Auto Receivables Series 2023-2 Class A3, 5.95% 11/15/28 | | 759,000 | 776,467 |
| Nissan Auto Receivables 2023-B Series 2023-B Class A3, 5.93% 3/15/28 | | 901,000 | 916,853 |
| Nissan Master Owner Trust Receiva Series 2024-B Class A, 5.05% 2/15/29 (b) | | 589,000 | 596,343 |
| Porsche Financial Auto Securitization Trust Series 2023-2A Class A3, 5.79% 1/22/29 (b) | | 721,000 | 729,207 |
| Sbna Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/27 (b) | | 331,000 | 335,778 |
| Sfs Auto Receivables Securitization Trust: | | | |
| Series 2024-1A Class A3, 4.95% 5/21/29 (b) | | 585,000 | 588,403 |
| Series 2024-2A Class A3, 5.33% 11/20/29 (b) | | 189,000 | 192,590 |
| Tesla Series 2024-A Class A3, 5.3% 6/21/27 (b) | | 740,000 | 745,166 |
| Tesla Electric Vehicle Trust 2023-1 Series 2023-1 Class A3, 5.38% 6/20/28 (b) | | 808,000 | 821,884 |
| Toyota Auto Loan Extended Note Series 2022-1A Class A, 3.82% 4/25/35 (b) | | 2,500,000 | 2,465,553 |
| Toyota Auto Receivables 2023-D Series 2023-D Class A3, 5.54% 8/15/28 | | 985,000 | 1,004,965 |
| Toyota Lease Owner Trust 2023- Series 2023-B Class A3, 5.66% 11/20/26 (b) | | 1,515,000 | 1,531,877 |
| Usaa Auto Owner Trust 2023-A Series 2023-A Class A3, 5.58% 5/15/28 (b) | | 1,697,000 | 1,713,346 |
| Verizon Master Trust: | | | |
| Series 2021-2 Class A, 0.99% 4/20/28 | | 90,000 | 89,469 |
| Series 2023 2 Class A, 4.89% 4/13/28 | | 1,342,000 | 1,340,073 |
| Series 2023-4 Class A1A, 5.16% 6/20/29 | | 1,806,000 | 1,825,756 |
| Series 2023-5 Class A1A, 5.61% 9/8/28 | | 1,480,000 | 1,492,014 |
| Volkswagen Auto Lease Trust 20 Series 2023-A Class A3, 5.81% 10/20/26 | | 1,997,000 | 2,015,409 |
| Volkswagen Auto Loan Enhanced: | | | |
| Series 2023-1 Class A3, 5.02% 6/20/28 | | 823,000 | 828,065 |
| Series 2023-2 Class A3, 5.48% 12/20/28 | | 4,151,000 | 4,239,668 |
| Wells Fargo Card Issuance Trust Series 2024-A1 Class A, 4.94% 2/15/29 | | 1,723,000 | 1,750,449 |
| World Omni Auto Receivables Trust: | | | |
| Series 2023-C Class A3, 5.15% 11/15/28 | | 181,000 | 182,231 |
| Series 2023-D Class A3, 5.79% 2/15/29 | | 1,089,000 | 1,114,222 |
| Series 2024-A Class A3, 4.86% 3/15/29 | | 1,962,000 | 1,980,132 |
| Series 2024-B Class A3, 5.27% 9/17/29 | | 863,000 | 880,444 |
| World Omni Automobile Lease Se Series 2024-A Class A3, 5.26% 10/15/27 | | 753,000 | 764,610 |
| TOTAL ASSET-BACKED SECURITIES (Cost $90,885,199) | | | 92,102,847 |
| | | | |
| Collateralized Mortgage Obligations - 0.7% |
| | | Principal Amount (a) | Value ($) |
| U.S. Government Agency - 0.7% | | | |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/52 | | 385,145 | 363,610 |
| Freddie Mac: | | | |
| Series 2020-5000 Class BA, 2% 4/25/45 | | 564,109 | 517,555 |
| Series 2022-5236: | | | |
Class HP, 4.5% 12/25/42 | | 2,308,240 | 2,291,441 |
Class P, 5% 4/25/48 | | 1,486,704 | 1,495,081 |
| Series 2022-5266 Class CD, 4.5% 10/25/44 | | 306,474 | 304,863 |
| | | | |
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $4,906,155) | | | 4,972,550 |
| | | | |
| Commercial Mortgage Securities - 2.0% |
| | | Principal Amount (a) | Value ($) |
| BANK sequential payer Series 2017-BNK9 Class ASB, 3.47% 11/15/54 | | 2,217,898 | 2,172,335 |
| BX Commercial Mortgage Trust floater: | | | |
| Series 2021-BXMF Class A, CME Term SOFR 1 Month Index + 0.750% 6.0874% 10/15/26 (b)(c)(d) | | 93,262 | 92,009 |
| Series 2021-PAC Class A, CME Term SOFR 1 Month Index + 0.800% 6.1406% 10/15/36 (b)(c)(d) | | 100,000 | 99,031 |
| Series 2022-LP2 Class A, CME Term SOFR 1 Month Index + 1.010% 6.3498% 2/15/39 (b)(c)(d) | | 75,924 | 75,212 |
| BX Trust floater: | | | |
| Series 2021-ACNT Class A, CME Term SOFR 1 Month Index + 0.960% 6.3015% 11/15/38 (b)(c)(d) | | 93,873 | 92,964 |
| Series 2022-GPA Class A, CME Term SOFR 1 Month Index + 2.160% 7.5019% 8/15/39 (b)(c)(d) | | 16,685 | 16,706 |
| CD Mortgage Trust sequential payer Series 2017-CD5 Class AAB, 3.22% 8/15/50 | | 403,803 | 394,101 |
| DBGS Mortgage Trust sequential payer Series 2018-C1 Class ASB, 4.302% 10/15/51 | | 2,885,525 | 2,858,185 |
| ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, CME Term SOFR 1 Month Index + 0.810% 6.1525% 11/15/38 (b)(c)(d) | | 769,105 | 759,010 |
| GS Mortgage Securities Trust sequential payer: | | | |
| Series 2015-GC32 Class AAB, 3.513% 7/10/48 | | 86,685 | 86,075 |
| Series 2016-GS2 Class AAB, 2.922% 5/10/49 | | 305,634 | 301,090 |
| Series 2017-GS7 Class AAB, 3.203% 8/10/50 | | 1,549,608 | 1,518,269 |
| JPMorgan Chase Commercial Mortgage Securities Trust sequential payer Series 2019-COR4 Class ASB, 3.9381% 3/10/52 | | 872,805 | 853,304 |
| Life Financial Services Trust floater Series 2022-BMR2 Class A1, CME Term SOFR 1 Month Index + 1.290% 6.6321% 5/15/39 (b)(c)(d) | | 445,000 | 435,358 |
| Morgan Stanley Capital I Trust sequential payer Series 2020-L4 Class ASB, 2.624% 2/15/53 | | 1,600,000 | 1,509,411 |
| SREIT Trust floater Series 2021-MFP Class A, CME Term SOFR 1 Month Index + 0.840% 6.1822% 11/15/38 (b)(c)(d) | | 191,373 | 189,040 |
| Wells Fargo Commercial Mortgage Trust sequential payer: | | | |
| Series 2015-C27 Class ASB, 3.278% 2/15/48 | | 42,244 | 42,036 |
| Series 2019-C50 Class ASB, 3.635% 5/15/52 | | 937,529 | 912,652 |
| Wells Fargo Commercial Mtg Trust 2020-C sequential payer Series 2020-C55 Class ASB, 2.651% 2/15/53 | | 1,600,000 | 1,516,468 |
| TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $13,686,142) | | | 13,923,256 |
| | | | |
| Money Market Funds - 0.3% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (e) (Cost $2,063,630) | | 2,063,217 | 2,063,630 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 98.8% (Cost $673,338,842) | 683,238,390 |
NET OTHER ASSETS (LIABILITIES) - 1.2% | 8,331,832 |
| NET ASSETS - 100.0% | 691,570,222 |
| | |
Legend
| (a) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $73,313,091 or 10.6% of net assets. |
| (c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
| (d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 8,051,408 | 164,741,108 | 170,728,908 | 198,342 | 22 | - | 2,063,630 | 0.0% |
| Total | 8,051,408 | 164,741,108 | 170,728,908 | 198,342 | 22 | - | 2,063,630 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2024, involving the Fund's assets and liabilities carried at fair 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 below, please refer to the Investment 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: | | | | |
|
| Corporate Bonds | 223,445,824 | - | 223,445,824 | - |
|
| U.S. Government and Government Agency Obligations | 334,252,335 | - | 334,252,335 | - |
|
| U.S. Government Agency - Mortgage Securities | 12,477,948 | - | 12,477,948 | - |
|
| Asset-Backed Securities | 92,102,847 | - | 92,102,847 | - |
|
| Collateralized Mortgage Obligations | 4,972,550 | - | 4,972,550 | - |
|
| Commercial Mortgage Securities | 13,923,256 | - | 13,923,256 | - |
|
| Money Market Funds | 2,063,630 | 2,063,630 | - | - |
| Total Investments in Securities: | 683,238,390 | 2,063,630 | 681,174,760 | - |
Financial Statements
| Statement of Assets and Liabilities |
As of August 31, 2024 |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $671,275,212) | $ | 681,174,760 | | |
Fidelity Central Funds (cost $2,063,630) | | 2,063,630 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $673,338,842) | | | $ | 683,238,390 |
| Receivable for investments sold | | | | 17,196,377 |
| Interest receivable | | | | 7,279,202 |
| Distributions receivable from Fidelity Central Funds | | | | 14,368 |
Total assets | | | | 707,728,337 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 16,158,115 | | |
| Total liabilities | | | | 16,158,115 |
| Net Assets | | | $ | 691,570,222 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 696,060,086 |
| Total accumulated earnings (loss) | | | | (4,489,864) |
| Net Assets | | | $ | 691,570,222 |
Net Asset Value, offering price and redemption price per share ($691,570,222 ÷ 75,052,882 shares) | | | $ | 9.21 |
| Statement of Operations |
| Year ended August 31, 2024 |
| Investment Income | | | | |
| Interest | | | $ | 30,642,937 |
| Income from Fidelity Central Funds | | | | 198,342 |
| Total income | | | | 30,841,279 |
| Expenses | | | | |
| Independent trustees' fees and expenses | $ | 2,126 | | |
| Total expenses before reductions | | 2,126 | | |
| Expense reductions | | (629) | | |
| Total expenses after reductions | | | | 1,497 |
| Net Investment income (loss) | | | | 30,839,782 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (5,429,031) | | |
| Fidelity Central Funds | | 22 | | |
| Total net realized gain (loss) | | | | (5,429,009) |
| Change in net unrealized appreciation (depreciation) on investment securities | | | | 22,319,879 |
| Net gain (loss) | | | | 16,890,870 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 47,730,652 |
| Statement of Changes in Net Assets |
| |
| | Year ended August 31, 2024 | | Year ended August 31, 2023 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 30,839,782 | $ | 27,513,583 |
| Net realized gain (loss) | | (5,429,009) | | (8,216,622) |
| Change in net unrealized appreciation (depreciation) | | 22,319,879 | | (8,068,082) |
| Net increase (decrease) in net assets resulting from operations | | 47,730,652 | | 11,228,879 |
| Distributions to shareholders | | (30,811,127) | | (27,485,070) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 50,575,400 | | 533,352,501 |
| Reinvestment of distributions | | 30,811,127 | | 27,485,070 |
| Cost of shares redeemed | | (107,935,000) | | (74,140,000) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | (26,548,473) | | 486,697,571 |
| Total increase (decrease) in net assets | | (9,628,948) | | 470,441,380 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 701,199,170 | | 230,757,790 |
| End of period | $ | 691,570,222 | $ | 701,199,170 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 5,621,938 | | 58,077,352 |
| Issued in reinvestment of distributions | | 3,403,979 | | 3,028,822 |
| Redeemed | | (11,839,625) | | (8,186,955) |
| Net increase (decrease) | | (2,813,708) | | 52,919,219 |
| | | | | |
Financial Highlights
Fidelity® Education Income Fund |
| |
| Years ended August 31, | | 2024 | | 2023 | | 2022 | | 2021 A |
Selected Per-Share Data | | | | | | | | |
| Net asset value, beginning of period | $ | 9.01 | $ | 9.25 | $ | 10.05 | $ | 10.00 |
| Income from Investment Operations | | | | | | | | |
Net investment income (loss) B,C | | .401 | | .360 | | .224 | | .036 |
| Net realized and unrealized gain (loss) | | .199 | | (.240) | | (.858) | | .052 |
| Total from investment operations | | .600 | | .120 | | (.634) | | .088 |
| Distributions from net investment income | | (.400) | | (.360) | | (.153) | | (.038) |
| Distributions from net realized gain | | - | | - | | (.013) | | - |
| Total distributions | | (.400) | | (.360) | | (.166) | | (.038) |
| Net asset value, end of period | $ | 9.21 | $ | 9.01 | $ | 9.25 | $ | 10.05 |
Total Return D,E | | | | 1.34% | | (6.34)% | | .89% |
Ratios to Average Net Assets C,F,G | | | | | | | | |
Expenses before reductions H | | -% | | -% | | -% | | -% I |
Expenses net of fee waivers, if any H | | | | -% | | -% | | -% I |
Expenses net of all reductions H | | -% | | -% | | -% | | -% I |
| Net investment income (loss) | | 4.43% | | 3.95% | | 2.40% | | .79% I |
| Supplemental Data | | | | | | | | |
| Net assets, end of period (000 omitted) | $ | 691,570 | $ | 701,199 | $ | 230,758 | $ | 30,938 |
Portfolio turnover rate J | | | | 73% | | 80% | | 87% I,K,L |
AFor the period March 16, 2021 (commencement of operations) through August 31, 2021.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAmount represents less than .005%.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KPortfolio turnover rate excludes securities received or delivered in-kind.
LAmount not annualized.
Notes to Financial Statements
For the period ended August 31, 2024
1. Organization.
Fidelity Education Income 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 are offered only to Fidelity managed 529 plans.
During September 2024 the Board approved to change the name of the Fund to Fidelity Education Fund effective October 30, 2024.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2024 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. 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 under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2024, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $10,706,612 |
| Gross unrealized depreciation | (807,064) |
| Net unrealized appreciation (depreciation) | $9,899,548 |
| Tax Cost | $673,338,842 |
The tax-based components of distributable earnings as of period end were as follows:
| Undistributed ordinary income | $17,481 |
| Capital loss carryforward | $(14,406,893) |
| Net unrealized appreciation (depreciation) on securities and other investments | $9,899,548 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Short-term | $(8,311,237) |
Long-term | (6,095,656) |
| Total capital loss carryforward | $(14,406,893) |
The tax character of distributions paid was as follows:
| | August 31, 2024 | August 31, 2023 |
| Ordinary Income | $30,811,127 | $27,485,070 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Education Income Fund | 122,909,728 | 44,128,016 |
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) and its affiliates provide the Fund with investment management related services and the Fund does not pay any fees for these services. Under the management contract, the investment adviser or an affiliate pays all other expenses of the Fund, excluding fees and expenses of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
Sub-Advisory Arrangements. Effective March 1, 2024, the Fund's sub-advisory agreements with FMR Investment Management (UK) Limited, Fidelity Management & Research (Hong Kong) Limited, and Fidelity Management & Research (Japan) Limited were amended to provide that the investment adviser pays each sub-adviser monthly fees equal to 110% of the sub-adviser's costs for providing sub-advisory services.
6. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The commitment fees on the pro-rata portion of the line of credit are borne by the investment adviser. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $629.
8. Other.
A 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, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, accounts managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.
9. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Garrison Street Trust and the Shareholders of Fidelity Education Income Fund:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Education Income Fund (the "Fund"), a fund of Fidelity Garrison Street Trust, including the schedule of investments, as of August 31, 2024, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the three years in the period then ended and for the period from March 16, 2021 (commencement of operations) through August 31, 2021, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of August 31, 2024, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from March 16, 2021 (commencement of operations) through August 31, 2021, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. 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, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting 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.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2024, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
October 14, 2024
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Distributions
(Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A total of 52.39% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $30,809,573 of distributions paid during the fiscal year ended 2024 as qualifying to be taxed as section 163(j) interest dividends.
The fund will notify shareholders in January 2025 of amounts for use in preparing 2024 income tax returns.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
(Unaudited)
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
(Unaudited)
| A special meeting of shareholders was held on October 18, 2023. The results of votes taken among shareholders on the proposal 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. |
| | # of Votes | % of Votes |
| Abigail P. Johnson |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Jennifer Toolin McAuliffe |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Christine J. Thompson |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Elizabeth S. Acton |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Laura M. Bishop |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Ann E. Dunwoody |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| John Engler |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Robert F. Gartland |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Robert W. Helm |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Arthur E. Johnson |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Michael E. Kenneally |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Mark A. Murray |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| Carol J. Zierhoffer |
| Affirmative | 4,609,272,776.15 | 100.00 |
| TOTAL | 4,609,272,776.15 | 100.00 |
| | | |
| Proposal 1 reflects trust-wide proposal and voting results. |
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
(Unaudited)
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
(Unaudited)
Note: This is not applicable for any fund included in this document.
1.9901557.103
EDI-ANN-1024
Item 8.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
See Item 7.
Item 9.
Proxy Disclosures for Open-End Management Investment Companies
See Item 7.
Item 10.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
See Item 7.
Item 11.
Statement Regarding Basis for Approval of Investment Advisory Contract
See Item 7.
Item 12.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 13.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 14.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 15.
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 trust’s Board of Trustees.
Item 16.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s 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 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 17.
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
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/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | October 23, 2024 |
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/Laura M. Del Prato |
| Laura M. Del Prato |
| President and Treasurer (Principal Executive Officer) |
|
|
Date: | October 23, 2024 |
|
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer (Principal Financial Officer) |
|
|
Date: | October 23, 2024 |
