UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
|
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Date of reporting period: | June 30, 2011 |
Item 1. Reports to Stockholders
Fidelity® VIP
Investment Grade Central Fund
Semiannual Report
June 30, 2011
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-0811 1.831205.105
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, 2011 to June 30, 2011).
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 | .0027% | $ 1,000.00 | $ 1,033.10 | $ .01 |
Hypothetical (5% return per year before expenses) |
| $ 1,000.00 | $ 1,024.78 | $ .01 |
* 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, 2011 | As of December 31, 2010 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA 7.9% |
| ![]() | AAA 8.2% |
| ||
![]() | AA 2.7% |
| ![]() | AA 2.3% |
| ||
![]() | A 8.3% |
| ![]() | A 7.9% |
| ||
![]() | BBB 13.1% |
| ![]() | BBB 13.5% |
| ||
![]() | BB and Below 3.4% |
| ![]() | BB and Below 3.2% |
| ||
![]() | Not Rated†† 0.0% |
| ![]() | Not Rated 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
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. Securities rated BB or below were rated investment grade at the time of acquisition. |
Weighted Average Maturity as of June 30, 2011 | ||
|
| 6 months ago |
Years | 6.2 | 6.2 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and markets changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of June 30, 2011 | ||
|
| 6 months ago |
Years | 5.0 | 4.7 |
Duration estimates how much a bond fund's price will change with a change in comparable interest rates. If rates rise 1%, for example, a fund with a 5-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. Duration takes into account any call or put option embedded in the bonds. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2011* | As of December 31, 2010** | ||||||
![]() | Corporate Bonds 24.3% |
| ![]() | Corporate Bonds 23.9% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Asset-Backed Securities 2.6% |
| ![]() | Asset-Backed Securities 2.6% |
| ||
![]() | CMOs and Other |
| ![]() | CMOs and Other |
| ||
![]() | Municipal Bonds 0.4% |
| ![]() | Municipal Bonds 0.3% |
| ||
![]() | Other Investments 0.1% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments 3.3% |
| ** Foreign investments 3.2% |
| ||||
* Futures and Swaps 2.2% |
| ** Futures and Swaps 2.4% |
|
*** Short-Term Investments and Net Other Assets are not included in the pie chart.
† Includes FDIC Guaranteed Corporate Securities
†† Amount represents less than 0.1%
Semiannual Report
Investments June 30, 2011
Showing Percentage of Net Assets
Nonconvertible Bonds - 24.3% | ||||
| Principal Amount | Value | ||
CONSUMER DISCRETIONARY - 2.0% | ||||
Household Durables - 0.2% | ||||
Fortune Brands, Inc.: | ||||
5.375% 1/15/16 | $ 2,600,000 | $ 2,816,037 | ||
5.875% 1/15/36 | 5,675,000 | 5,385,149 | ||
| 8,201,186 | |||
Media - 1.8% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 1,625,000 | 1,949,639 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 2,975,000 | 3,264,194 | ||
5.7% 5/15/18 | 2,400,000 | 2,676,442 | ||
6.4% 3/1/40 | 2,884,000 | 3,086,526 | ||
6.45% 3/15/37 | 1,410,000 | 1,508,073 | ||
COX Communications, Inc. 4.625% 6/1/13 | 3,475,000 | 3,689,213 | ||
Discovery Communications LLC: | ||||
3.7% 6/1/15 | 2,648,000 | 2,785,090 | ||
6.35% 6/1/40 | 2,421,000 | 2,571,434 | ||
NBC Universal, Inc.: | ||||
3.65% 4/30/15 (c) | 1,200,000 | 1,259,402 | ||
5.15% 4/30/20 (c) | 3,234,000 | 3,412,611 | ||
6.4% 4/30/40 (c) | 3,340,000 | 3,589,648 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 1,905,000 | 2,276,233 | ||
News America, Inc.: | ||||
6.15% 3/1/37 | 1,745,000 | 1,767,650 | ||
6.2% 12/15/34 | 5,840,000 | 5,964,205 | ||
Time Warner Cable, Inc.: | ||||
5.85% 5/1/17 | 2,467,000 | 2,772,750 | ||
6.2% 7/1/13 | 7,000,000 | 7,676,914 | ||
6.75% 7/1/18 | 4,425,000 | 5,129,022 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 5,514,000 | 6,299,519 | ||
6.5% 11/15/36 | 2,337,000 | 2,491,520 | ||
Viacom, Inc.: | ||||
3.5% 4/1/17 | 1,312,000 | 1,333,948 | ||
6.75% 10/5/37 | 935,000 | 1,029,765 | ||
| 66,533,798 | |||
TOTAL CONSUMER DISCRETIONARY | 74,734,984 | |||
CONSUMER STAPLES - 1.1% | ||||
Beverages - 0.1% | ||||
Diageo Capital PLC 5.2% 1/30/13 | 1,705,000 | 1,818,098 | ||
FBG Finance Ltd. 5.125% 6/15/15 (c) | 2,185,000 | 2,375,176 | ||
| 4,193,274 | |||
| ||||
| Principal Amount | Value | ||
Food & Staples Retailing - 0.1% | ||||
CVS Caremark Corp.: | ||||
4.125% 5/15/21 | $ 3,890,000 | $ 3,787,674 | ||
6.302% 6/1/37 (j) | 924,000 | 899,745 | ||
| 4,687,419 | |||
Food Products - 0.5% | ||||
General Mills, Inc. 5.2% 3/17/15 | 3,528,000 | 3,927,493 | ||
Kraft Foods, Inc.: | ||||
5.375% 2/10/20 | 4,086,000 | 4,464,020 | ||
6.125% 2/1/18 | 3,684,000 | 4,236,106 | ||
6.5% 8/11/17 | 3,514,000 | 4,128,623 | ||
| 16,756,242 | |||
Tobacco - 0.4% | ||||
Altria Group, Inc. 9.7% 11/10/18 | 4,450,000 | 5,844,906 | ||
Philip Morris International, Inc.: | ||||
4.875% 5/16/13 | 2,904,000 | 3,114,650 | ||
5.65% 5/16/18 | 2,751,000 | 3,091,667 | ||
Reynolds American, Inc. 7.25% 6/15/37 | 2,962,000 | 3,192,053 | ||
| 15,243,276 | |||
TOTAL CONSUMER STAPLES | 40,880,211 | |||
ENERGY - 3.0% | ||||
Energy Equipment & Services - 0.2% | ||||
DCP Midstream LLC 5.35% 3/15/20 (c) | 3,724,000 | 3,944,718 | ||
El Paso Pipeline Partners Operating Co. LLC 4.1% 11/15/15 | 3,902,000 | 4,055,286 | ||
| 8,000,004 | |||
Oil, Gas & Consumable Fuels - 2.8% | ||||
Anadarko Petroleum Corp. 6.375% 9/15/17 | 6,869,000 | 7,869,669 | ||
Canadian Natural Resources Ltd. 5.7% 5/15/17 | 5,685,000 | 6,465,175 | ||
ConocoPhillips 5.75% 2/1/19 | 3,900,000 | 4,482,621 | ||
Devon Financing Corp. U.L.C. 6.875% 9/30/11 | 3,000,000 | 3,045,099 | ||
Duke Capital LLC 6.25% 2/15/13 | 855,000 | 920,971 | ||
Duke Energy Field Services 6.45% 11/3/36 (c) | 2,477,000 | 2,598,029 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 3,330,000 | 3,766,426 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 320,000 | 355,577 | ||
Kaneb Pipe Line Operations Participation LP 7.75% 2/15/12 | 4,200,000 | 4,344,904 | ||
Marathon Petroleum Corp. 5.125% 3/1/21 (c) | 2,187,000 | 2,246,806 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (c) | 1,496,000 | 1,657,653 | ||
6.85% 1/15/40 (c) | 5,616,000 | 6,477,865 | ||
Nakilat, Inc. 6.067% 12/31/33 (c) | 1,808,000 | 1,862,240 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Nexen, Inc.: | ||||
5.875% 3/10/35 | $ 5,405,000 | $ 5,118,049 | ||
6.4% 5/15/37 | 2,125,000 | 2,119,719 | ||
NGPL PipeCo LLC 6.514% 12/15/12 (c) | 2,360,000 | 2,481,417 | ||
Pemex Project Funding Master Trust 0.8529% 12/3/12 (c)(j) | 410,000 | 408,975 | ||
Petro-Canada: | ||||
6.05% 5/15/18 | 1,480,000 | 1,674,826 | ||
6.8% 5/15/38 | 3,485,000 | 3,930,829 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 3,612,000 | 3,676,485 | ||
5.75% 1/20/20 | 5,289,000 | 5,642,067 | ||
6.875% 1/20/40 | 2,427,000 | 2,621,160 | ||
7.875% 3/15/19 | 4,277,000 | 5,153,143 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.95% 9/15/15 | 2,158,000 | 2,262,590 | ||
5% 2/1/21 | 1,191,000 | 1,210,243 | ||
6.125% 1/15/17 | 1,250,000 | 1,398,039 | ||
Ras Laffan Liquefied Natural Gas Co. Ltd. III: | ||||
4.5% 9/30/12 (c) | 2,009,000 | 2,089,360 | ||
5.5% 9/30/14 (c) | 2,808,000 | 3,071,390 | ||
5.832% 9/30/16 (c) | 1,996,188 | 2,175,844 | ||
6.332% 9/30/27 (c) | 2,415,000 | 2,541,449 | ||
6.75% 9/30/19 (c) | 1,838,000 | 2,132,080 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 668,000 | 665,613 | ||
4.6% 6/15/21 | 873,000 | 861,524 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 4,665,000 | 5,302,715 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 615,000 | 712,446 | ||
Western Gas Partners LP 5.375% 6/1/21 | 3,820,000 | 3,933,645 | ||
| 107,276,643 | |||
TOTAL ENERGY | 115,276,647 | |||
FINANCIALS - 12.5% | ||||
Capital Markets - 2.0% | ||||
Bear Stearns Companies, Inc. 5.3% 10/30/15 | 4,375,000 | 4,792,751 | ||
BlackRock, Inc. 4.25% 5/24/21 | 1,183,000 | 1,162,619 | ||
Goldman Sachs Group, Inc.: | ||||
3.7% 8/1/15 | 5,186,000 | 5,278,555 | ||
5.625% 1/15/17 | 3,000,000 | 3,174,255 | ||
5.95% 1/18/18 | 755,000 | 813,396 | ||
6.15% 4/1/18 | 5,954,000 | 6,476,761 | ||
| ||||
| Principal Amount | Value | ||
6.25% 2/1/41 | $ 670,000 | $ 675,475 | ||
6.75% 10/1/37 | 3,421,000 | 3,420,942 | ||
Janus Capital Group, Inc. 5.875% 9/15/11 (b) | 2,071,000 | 2,083,940 | ||
JPMorgan Chase Capital XX 6.55% 9/29/36 | 3,090,000 | 3,097,589 | ||
JPMorgan Chase Capital XXV 6.8% 10/1/37 | 6,975,000 | 6,899,133 | ||
Lazard Group LLC: | ||||
6.85% 6/15/17 | 3,241,000 | 3,572,376 | ||
7.125% 5/15/15 | 5,585,000 | 6,281,958 | ||
Merrill Lynch & Co., Inc.: | ||||
5.45% 2/5/13 | 1,820,000 | 1,921,010 | ||
6.4% 8/28/17 | 1,989,000 | 2,169,933 | ||
6.875% 4/25/18 | 1,676,000 | 1,853,441 | ||
Morgan Stanley: | ||||
4% 7/24/15 | 3,743,000 | 3,807,660 | ||
4.75% 4/1/14 | 2,554,000 | 2,661,503 | ||
5.95% 12/28/17 | 2,100,000 | 2,256,261 | ||
6% 5/13/14 | 2,392,000 | 2,604,419 | ||
6.625% 4/1/18 | 10,165,000 | 11,192,173 | ||
| 76,196,150 | |||
Commercial Banks - 2.4% | ||||
Bank of America NA 5.3% 3/15/17 | 6,480,000 | 6,675,644 | ||
Credit Suisse (Guernsey) Ltd. 5.86% (d)(j) | 4,785,000 | 4,572,068 | ||
Credit Suisse New York Branch 6% 2/15/18 | 6,110,000 | 6,589,831 | ||
DBS Bank Ltd. (Singapore) 0.4808% 5/16/17 (c)(j) | 280,110 | 275,908 | ||
Discover Bank: | ||||
7% 4/15/20 | 1,891,000 | 2,099,061 | ||
8.7% 11/18/19 | 6,339,000 | 7,642,875 | ||
Export-Import Bank of Korea 5.5% 10/17/12 | 6,570,000 | 6,884,309 | ||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | 1,179,000 | 1,170,878 | ||
8.25% 3/1/38 | 4,319,000 | 5,164,073 | ||
Fifth Third Bank 4.75% 2/1/15 | 487,000 | 512,462 | ||
Fifth Third Capital Trust IV 6.5% 4/15/67 (j) | 1,585,000 | 1,557,263 | ||
HBOS PLC 6.75% 5/21/18 (c) | 2,600,000 | 2,500,862 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 1,004,000 | 1,131,297 | ||
KeyBank NA: | ||||
5.45% 3/3/16 | 1,618,000 | 1,754,582 | ||
5.8% 7/1/14 | 2,049,000 | 2,245,774 | ||
6.95% 2/1/28 | 800,000 | 882,803 | ||
KeyCorp. 5.1% 3/24/21 | 1,855,000 | 1,888,010 | ||
Korea Development Bank 5.3% 1/17/13 | 3,805,000 | 4,005,622 | ||
Manufacturers & Traders Trust Co. 1.8045% 4/1/13 (j) | 269,000 | 268,493 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Marshall & Ilsley Bank: | ||||
4.85% 6/16/15 | $ 1,796,000 | $ 1,892,833 | ||
5% 1/17/17 | 2,918,000 | 3,155,913 | ||
5.25% 9/4/12 | 1,200,000 | 1,244,213 | ||
Regions Bank: | ||||
6.45% 6/26/37 | 3,952,000 | 3,698,637 | ||
7.5% 5/15/18 | 2,383,000 | 2,466,405 | ||
Regions Financial Corp.: | ||||
5.75% 6/15/15 | 814,000 | 801,790 | ||
7.75% 11/10/14 | 2,367,000 | 2,507,029 | ||
SouthTrust Corp. 5.8% 6/15/14 | 1,440,000 | 1,580,721 | ||
SunTrust Banks, Inc. 3.6% 4/15/16 | 3,163,000 | 3,192,157 | ||
Wachovia Bank NA 4.875% 2/1/15 | 4,405,000 | 4,727,719 | ||
Wachovia Corp. 4.875% 2/15/14 | 785,000 | 834,825 | ||
Wells Fargo & Co.: | ||||
3.625% 4/15/15 | 2,350,000 | 2,455,736 | ||
3.676% 6/15/16 | 1,714,000 | 1,759,987 | ||
3.75% 10/1/14 | 3,750,000 | 3,950,828 | ||
| 92,090,608 | |||
Consumer Finance - 0.7% | ||||
Capital One Financial Corp. 5.7% 9/15/11 | 1,991,000 | 2,010,990 | ||
General Electric Capital Corp.: | ||||
2.25% 11/9/15 | 2,597,000 | 2,551,685 | ||
2.95% 5/9/16 | 774,000 | 777,879 | ||
3.5% 6/29/15 | 799,000 | 829,769 | ||
5.625% 9/15/17 | 2,420,000 | 2,670,187 | ||
5.625% 5/1/18 | 9,700,000 | 10,603,623 | ||
5.875% 1/14/38 | 3,600,000 | 3,641,645 | ||
6.375% 11/15/67 (j) | 4,000,000 | 4,100,000 | ||
| 27,185,778 | |||
Diversified Financial Services - 2.3% | ||||
Bank of America Corp. 5.75% 12/1/17 | 12,290,000 | 13,059,969 | ||
BP Capital Markets PLC: | ||||
3.125% 10/1/15 | 3,694,000 | 3,790,960 | ||
4.742% 3/11/21 | 3,000,000 | 3,092,649 | ||
Capital One Capital V 10.25% 8/15/39 | 1,378,000 | 1,460,680 | ||
Citigroup, Inc.: | ||||
3.953% 6/15/16 | 3,838,000 | 3,927,061 | ||
4.75% 5/19/15 | 10,152,000 | 10,732,197 | ||
5.5% 4/11/13 | 1,390,000 | 1,475,479 | ||
6.125% 5/15/18 | 6,240,000 | 6,868,187 | ||
6.5% 8/19/13 | 8,073,000 | 8,778,104 | ||
JPMorgan Chase & Co.: | ||||
3.15% 7/5/16 | 4,200,000 | 4,223,562 | ||
4.625% 5/10/21 | 10,000,000 | 9,912,110 | ||
| ||||
| Principal Amount | Value | ||
6.3% 4/23/19 | $ 3,920,000 | $ 4,415,888 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (c) | 3,844,000 | 4,015,923 | ||
5.35% 4/15/12 (c) | 1,700,000 | 1,739,471 | ||
5.5% 1/15/14 (c) | 2,405,000 | 2,583,220 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 1,075,000 | 1,125,139 | ||
5.15% 3/15/20 | 1,545,000 | 1,637,349 | ||
ZFS Finance USA Trust II 6.45% 12/15/65 (c)(j) | 3,716,000 | 3,771,740 | ||
ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(j) | 500,000 | 504,730 | ||
ZFS Finance USA Trust V 6.5% 5/9/67 (c)(j) | 1,016,000 | 1,010,920 | ||
| 88,125,338 | |||
Insurance - 1.9% | ||||
Allstate Corp. 6.2% 5/16/14 | 2,709,000 | 3,064,946 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 1,851,000 | 1,844,057 | ||
3.5% 9/30/15 | 1,538,000 | 1,580,155 | ||
5% 9/30/20 | 1,792,000 | 1,836,223 | ||
6.25% 9/30/40 | 1,150,000 | 1,197,571 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 420,000 | 453,679 | ||
Liberty Mutual Group, Inc. 5% 6/1/21 (c) | 3,810,000 | 3,605,296 | ||
Lincoln National Corp. 7% 5/17/66 (j) | 4,799,000 | 4,807,638 | ||
Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (c) | 1,455,000 | 2,015,808 | ||
MetLife, Inc.: | ||||
2.375% 2/6/14 | 2,161,000 | 2,201,495 | ||
4.75% 2/8/21 | 1,477,000 | 1,504,638 | ||
5.875% 2/6/41 | 1,140,000 | 1,145,681 | ||
6.75% 6/1/16 | 3,234,000 | 3,762,474 | ||
Metropolitan Life Global Funding I 5.125% 6/10/14 (c) | 2,884,000 | 3,149,994 | ||
New York Life Global Funding 4.65% 5/9/13 (c) | 6,045,000 | 6,465,762 | ||
New York Life Insurance Co. 6.75% 11/15/39 (c) | 1,348,000 | 1,535,538 | ||
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (c) | 2,060,000 | 2,171,205 | ||
Pacific Life Global Funding 5.15% 4/15/13 (c) | 3,690,000 | 3,928,625 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (c) | 2,297,000 | 2,993,471 | ||
Pacific LifeCorp 6% 2/10/20 (c) | 2,514,000 | 2,694,176 | ||
Prudential Financial, Inc.: | ||||
7.375% 6/15/19 | 1,250,000 | 1,481,558 | ||
8.875% 6/15/38 (j) | 4,682,000 | 5,466,235 | ||
Symetra Financial Corp. 6.125% 4/1/16 (c) | 6,355,000 | 6,688,701 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
The Chubb Corp. 5.75% 5/15/18 | $ 1,895,000 | $ 2,138,473 | ||
Unum Group 5.625% 9/15/20 | 2,099,000 | 2,196,610 | ||
| 69,930,009 | |||
Real Estate Investment Trusts - 0.7% | ||||
AvalonBay Communities, Inc. 5.5% 1/15/12 | 508,000 | 520,810 | ||
Camden Property Trust 5.375% 12/15/13 | 2,985,000 | 3,252,465 | ||
Developers Diversified Realty Corp.: | ||||
4.75% 4/15/18 | 1,654,000 | 1,629,599 | ||
5.375% 10/15/12 | 1,764,000 | 1,815,615 | ||
7.5% 4/1/17 | 1,944,000 | 2,200,313 | ||
Duke Realty LP 4.625% 5/15/13 | 1,047,000 | 1,098,142 | ||
Equity One, Inc.: | ||||
5.375% 10/15/15 | 455,000 | 479,788 | ||
6% 9/15/17 | 2,405,000 | 2,555,988 | ||
Federal Realty Investment Trust: | ||||
5.4% 12/1/13 | 1,401,000 | 1,507,182 | ||
5.9% 4/1/20 | 1,046,000 | 1,145,365 | ||
HRPT Properties Trust: | ||||
5.75% 11/1/15 | 1,155,000 | 1,231,642 | ||
6.25% 6/15/17 | 4,455,000 | 4,854,306 | ||
UDR, Inc. 5.5% 4/1/14 | 3,685,000 | 3,945,898 | ||
United Dominion Realty Trust, Inc. 5.25% 1/15/15 | 904,000 | 967,932 | ||
| 27,205,045 | |||
Real Estate Management & Development - 2.2% | ||||
AMB Property LP 5.9% 8/15/13 | 2,575,000 | 2,762,130 | ||
BioMed Realty LP: | ||||
3.85% 4/15/16 | 3,700,000 | 3,727,417 | ||
6.125% 4/15/20 | 1,392,000 | 1,479,954 | ||
Brandywine Operating Partnership LP: | ||||
5.7% 5/1/17 | 5,000,000 | 5,357,205 | ||
5.75% 4/1/12 | 1,376,000 | 1,421,780 | ||
Colonial Properties Trust 5.5% 10/1/15 | 6,290,000 | 6,590,303 | ||
Digital Realty Trust LP: | ||||
4.5% 7/15/15 | 1,829,000 | 1,902,815 | ||
5.25% 3/15/21 | 1,953,000 | 1,941,552 | ||
Duke Realty LP: | ||||
5.4% 8/15/14 | 2,242,000 | 2,418,777 | ||
5.5% 3/1/16 | 1,270,000 | 1,371,319 | ||
5.625% 8/15/11 | 3,781,000 | 3,798,888 | ||
5.95% 2/15/17 | 928,000 | 1,017,376 | ||
6.25% 5/15/13 | 2,913,000 | 3,138,484 | ||
6.5% 1/15/18 | 2,445,000 | 2,717,791 | ||
ERP Operating LP: | ||||
4.75% 7/15/20 | 2,827,000 | 2,864,907 | ||
| ||||
| Principal Amount | Value | ||
5.375% 8/1/16 | $ 1,066,000 | $ 1,169,079 | ||
5.5% 10/1/12 | 3,560,000 | 3,745,893 | ||
5.75% 6/15/17 | 5,343,000 | 5,920,140 | ||
Liberty Property LP: | ||||
4.75% 10/1/20 | 4,185,000 | 4,195,914 | ||
5.5% 12/15/16 | 2,290,000 | 2,494,021 | ||
6.625% 10/1/17 | 2,673,000 | 3,063,763 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 2,679,000 | 2,870,211 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 3,099,000 | 3,318,701 | ||
Regency Centers LP: | ||||
5.875% 6/15/17 | 1,827,000 | 2,024,026 | ||
6.75% 1/15/12 | 2,035,000 | 2,095,741 | ||
Simon Property Group LP: | ||||
4.2% 2/1/15 | 1,523,000 | 1,619,552 | ||
5.1% 6/15/15 | 2,220,000 | 2,449,828 | ||
Tanger Properties LP: | ||||
6.125% 6/1/20 | 3,576,000 | 3,952,095 | ||
6.15% 11/15/15 | 349,000 | 389,383 | ||
| 81,819,045 | |||
Thrifts & Mortgage Finance - 0.3% | ||||
Bank of America Corp.: | ||||
5.875% 1/5/21 | 3,450,000 | 3,618,319 | ||
6.5% 8/1/16 | 3,000,000 | 3,344,157 | ||
First Niagara Financial Group, Inc. 6.75% 3/19/20 | 3,095,000 | 3,409,545 | ||
| 10,372,021 | |||
TOTAL FINANCIALS | 472,923,994 | |||
HEALTH CARE - 0.3% | ||||
Health Care Providers & Services - 0.3% | ||||
Express Scripts, Inc.: | ||||
3.125% 5/15/16 | 3,450,000 | 3,469,551 | ||
5.25% 6/15/12 | 3,016,000 | 3,137,774 | ||
6.25% 6/15/14 | 1,108,000 | 1,247,371 | ||
Medco Health Solutions, Inc. 4.125% 9/15/20 | 2,723,000 | 2,623,417 | ||
| 10,478,113 | |||
INDUSTRIALS - 0.5% | ||||
Airlines - 0.3% | ||||
Continental Airlines, Inc.: | ||||
6.648% 3/15/19 | 1,356,055 | 1,428,876 | ||
6.795% 2/2/20 | 2,152,868 | 2,128,540 | ||
Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19 | 2,824,378 | 2,880,865 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 7/30/19 | $ 1,111,974 | $ 1,067,495 | ||
8.36% 1/20/19 | 4,348,022 | 4,521,943 | ||
| 12,027,719 | |||
Industrial Conglomerates - 0.2% | ||||
General Electric Co. 5.25% 12/6/17 | 7,130,000 | 7,894,015 | ||
TOTAL INDUSTRIALS | 19,921,734 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.3% | ||||
Dow Chemical Co.: | ||||
4.85% 8/15/12 | 3,520,000 | 3,676,084 | ||
7.6% 5/15/14 | 7,213,000 | 8,362,045 | ||
| 12,038,129 | |||
Metals & Mining - 0.3% | ||||
Anglo American Capital PLC 9.375% 4/8/14 (c) | 2,675,000 | 3,197,131 | ||
ArcelorMittal SA 3.75% 3/1/16 | 996,000 | 1,006,660 | ||
United States Steel Corp. 6.65% 6/1/37 | 1,771,000 | 1,554,053 | ||
Vale Overseas Ltd. 6.25% 1/23/17 | 3,115,000 | 3,521,993 | ||
| 9,279,837 | |||
TOTAL MATERIALS | 21,317,966 | |||
TELECOMMUNICATION SERVICES - 1.6% | ||||
Diversified Telecommunication Services - 1.1% | ||||
AT&T, Inc.: | ||||
6.3% 1/15/38 | 364,000 | 385,468 | ||
6.8% 5/15/36 | 10,939,000 | 12,230,294 | ||
CenturyLink, Inc.: | ||||
6.15% 9/15/19 | 1,562,000 | 1,570,102 | ||
6.45% 6/15/21 | 5,761,000 | 5,691,442 | ||
7.6% 9/15/39 | 2,898,000 | 2,787,528 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 3,000,000 | 2,850,000 | ||
Telecom Italia Capital SA: | ||||
4.95% 9/30/14 | 2,000,000 | 2,084,652 | ||
5.25% 10/1/15 | 192,000 | 199,525 | ||
6.999% 6/4/18 | 3,792,000 | 4,145,183 | ||
Telefonica Emisiones SAU: | ||||
5.462% 2/16/21 | 2,456,000 | 2,491,607 | ||
5.855% 2/4/13 | 1,438,000 | 1,524,691 | ||
Verizon Communications, Inc.: | ||||
6.1% 4/15/18 | 2,190,000 | 2,508,352 | ||
6.25% 4/1/37 | 1,380,000 | 1,464,441 | ||
| ||||
| Principal Amount | Value | ||
6.9% 4/15/38 | $ 2,420,000 | $ 2,776,108 | ||
Verizon New York, Inc. 6.875% 4/1/12 | 1,095,000 | 1,143,666 | ||
| 43,853,059 | |||
Wireless Telecommunication Services - 0.5% | ||||
AT&T Wireless Services, Inc. 8.125% 5/1/12 | 1,130,000 | 1,198,070 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc.: | ||||
4.75% 10/1/14 | 3,759,000 | 4,113,320 | ||
5.875% 10/1/19 | 4,711,000 | 5,221,724 | ||
6.35% 3/15/40 | 1,471,000 | 1,547,364 | ||
Sprint Nextel Corp. 6% 12/1/16 | 2,260,000 | 2,257,175 | ||
Vodafone Group PLC 5% 12/16/13 | 2,775,000 | 3,018,773 | ||
| 17,356,426 | |||
TOTAL TELECOMMUNICATION SERVICES | 61,209,485 | |||
UTILITIES - 2.7% | ||||
Electric Utilities - 1.4% | ||||
Alabama Power Co. 3.375% 10/1/20 | 2,167,000 | 2,092,947 | ||
Ameren Illinois Co. 6.125% 11/15/17 | 1,465,000 | 1,672,763 | ||
AmerenUE 6.4% 6/15/17 | 3,819,000 | 4,424,369 | ||
Commonwealth Edison Co. 1.625% 1/15/14 | 4,011,000 | 4,038,187 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (c) | 2,580,000 | 2,556,734 | ||
6.4% 9/15/20 (c) | 5,907,000 | 6,106,409 | ||
Edison International 3.75% 9/15/17 | 2,401,000 | 2,410,398 | ||
EDP Finance BV: | ||||
4.9% 10/1/19 (c) | 1,100,000 | 941,842 | ||
6% 2/2/18 (c) | 1,864,000 | 1,723,859 | ||
FirstEnergy Corp. 7.375% 11/15/31 | 4,457,000 | 5,074,887 | ||
FirstEnergy Solutions Corp.: | ||||
4.8% 2/15/15 | 990,000 | 1,061,772 | ||
6.05% 8/15/21 | 3,013,000 | 3,239,912 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 (c) | 2,670,000 | 2,604,225 | ||
3.75% 11/15/20 (c) | 525,000 | 494,521 | ||
Nevada Power Co. 6.5% 5/15/18 | 3,165,000 | 3,691,675 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 2,905,000 | 3,255,692 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 2,535,000 | 2,547,269 | ||
Progress Energy, Inc.: | ||||
4.4% 1/15/21 | 4,274,000 | 4,318,069 | ||
5.625% 1/15/16 | 2,000,000 | 2,254,138 | ||
| 54,509,668 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
UTILITIES - continued | ||||
Gas Utilities - 0.0% | ||||
Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21 (c) | $ 1,182,000 | $ 1,161,704 | ||
Independent Power Producers & Energy Traders - 0.3% | ||||
Exelon Generation Co. LLC 6.2% 10/1/17 | 6,685,000 | 7,537,070 | ||
PPL Energy Supply LLC: | ||||
6.2% 5/15/16 | 1,229,000 | 1,377,294 | ||
6.5% 5/1/18 | 2,640,000 | 2,977,115 | ||
| 11,891,479 | |||
Multi-Utilities - 1.0% | ||||
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40 | 1,395,000 | 1,472,996 | ||
Dominion Resources, Inc.: | ||||
6.25% 6/30/12 | 1,938,000 | 2,039,175 | ||
6.3% 9/30/66 (j) | 9,626,000 | 9,397,383 | ||
MidAmerican Energy Holdings, Co.: | ||||
5.875% 10/1/12 | 2,880,000 | 3,053,693 | ||
6.5% 9/15/37 | 1,334,000 | 1,503,960 | ||
National Grid PLC 6.3% 8/1/16 | 4,181,000 | 4,800,281 | ||
NiSource Finance Corp.: | ||||
5.4% 7/15/14 | 3,885,000 | 4,269,374 | ||
5.45% 9/15/20 | 613,000 | 645,221 | ||
5.95% 6/15/41 | 3,834,000 | 3,755,576 | ||
6.25% 12/15/40 | 837,000 | 857,629 | ||
6.4% 3/15/18 | 2,760,000 | 3,125,085 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (j) | 1,426,000 | 1,434,913 | ||
| 36,355,286 | |||
TOTAL UTILITIES | 103,918,137 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $856,866,677) | 920,661,271 | |||
U.S. Government and Government Agency Obligations - 29.4% | ||||
| ||||
U.S. Government Agency Obligations - 1.6% | ||||
Fannie Mae: | ||||
0.375% 12/28/12 | 5,510,000 | 5,510,446 | ||
0.5% 8/9/13 | 12,915,000 | 12,895,834 | ||
0.75% 2/26/13 | 1,716,000 | 1,724,590 | ||
1.125% 6/27/14 | 382,000 | 384,008 | ||
1.75% 2/22/13 | 20,000,000 | 20,413,740 | ||
2.5% 5/15/14 | 1,167,000 | 1,217,877 | ||
2.75% 3/13/14 | 1,840,000 | 1,935,073 | ||
5% 2/16/12 | 2,860,000 | 2,943,569 | ||
| ||||
| Principal Amount | Value | ||
Freddie Mac: | ||||
0.75% 3/28/13 | $ 942,000 | $ 946,672 | ||
1% 7/30/14 | 2,084,000 | 2,080,849 | ||
1% 8/27/14 | 1,511,000 | 1,509,005 | ||
1.125% 7/27/12 | 600,000 | 604,819 | ||
1.75% 6/15/12 | 4,185,000 | 4,242,644 | ||
2.125% 3/23/12 | 204,000 | 206,693 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 2,375,000 | 2,549,969 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | 250,000 | 250,496 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 59,416,284 | |||
U.S. Treasury Inflation Protected Obligations - 3.9% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
2.125% 2/15/41 | 2,679,922 | 2,917,128 | ||
2.125% 2/15/40 (g) | 27,194,488 | 29,606,861 | ||
2.5% 1/15/29 | 8,378,480 | 9,746,707 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
1.125% 1/15/21 | 39,661,907 | 41,232,393 | ||
1.375% 1/15/20 | 59,836,442 | 64,235,506 | ||
TOTAL U.S. TREASURY INFLATION | 147,738,595 | |||
U.S. Treasury Obligations - 23.9% | ||||
U.S. Treasury Bonds: | ||||
4.375% 5/15/41 | 70,329,000 | 70,229,836 | ||
4.75% 2/15/41 | 47,758,000 | 50,765,274 | ||
U.S. Treasury Notes: | ||||
1.5% 6/30/16 | 95,588,000 | 94,363,518 | ||
2.25% 1/31/15 | 42,293,000 | 43,984,720 | ||
2.375% 8/31/14 | 115,000,000 | 120,291,840 | ||
2.375% 9/30/14 | 60,000,000 | 62,775,000 | ||
2.5% 4/30/15 | 40,000,000 | 41,934,360 | ||
2.625% 7/31/14 (g) | 265,000,000 | 279,243,729 | ||
3.125% 5/15/21 | 132,019,000 | 131,545,052 | ||
3.625% 2/15/21 | 11,497,000 | 11,978,437 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 907,111,766 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,085,132,013) | 1,114,266,645 | |||
U.S. Government Agency - Mortgage Securities - 36.1% | ||||
| Principal Amount | Value | ||
Fannie Mae - 23.3% | ||||
1.795% 9/1/33 (j) | $ 724,913 | $ 746,360 | ||
1.813% 5/1/34 (j) | 1,332,161 | 1,367,841 | ||
2.053% 10/1/33 (j) | 50,191 | 52,442 | ||
2.065% 7/1/35 (j) | 46,536 | 48,574 | ||
2.175% 3/1/35 (j) | 19,809 | 20,789 | ||
2.291% 10/1/33 (j) | 1,079,619 | 1,120,076 | ||
2.457% 3/1/35 (j) | 64,738 | 67,800 | ||
2.504% 8/1/36 (j) | 1,915,382 | 2,016,260 | ||
2.534% 7/1/34 (j) | 58,694 | 60,868 | ||
2.538% 7/1/35 (j) | 127,499 | 133,399 | ||
2.549% 2/1/36 (j) | 1,357,279 | 1,422,865 | ||
2.553% 10/1/33 (j) | 95,570 | 100,334 | ||
2.584% 6/1/36 (j) | 110,584 | 115,406 | ||
2.605% 11/1/36 (j) | 1,422,498 | 1,491,363 | ||
2.652% 5/1/36 (j) | 477,889 | 502,482 | ||
2.7% 12/1/35 (j) | 552,653 | 580,204 | ||
2.714% 5/1/35 (j) | 241,541 | 254,820 | ||
2.884% 9/1/36 (j) | 1,205,940 | 1,274,742 | ||
3.481% 7/1/37 (j) | 243,872 | 256,200 | ||
3.5% 9/1/25 to 3/1/41 | 69,989,249 | 69,026,101 | ||
3.5% 7/1/41 (e)(f) | 32,000,000 | 30,560,730 | ||
3.691% 5/1/40 (j) | 1,898,908 | 1,990,194 | ||
3.697% 5/1/40 (j) | 2,260,653 | 2,369,954 | ||
3.789% 6/1/40 (j) | 1,976,491 | 2,073,431 | ||
3.972% 11/1/39 (j) | 1,692,728 | 1,783,285 | ||
4% 2/1/35 to 6/1/41 | 109,151,009 | 109,214,631 | ||
4% 7/1/41 (e) | 25,000,000 | 24,970,895 | ||
4.5% 6/1/24 to 5/1/41 | 159,267,799 | 165,192,120 | ||
4.5% 7/1/26 (e) | 8,800,000 | 9,325,327 | ||
4.5% 7/1/41 (e) | 18,000,000 | 18,605,297 | ||
5% 2/1/18 to 3/1/41 (f) | 143,349,564 | 152,901,694 | ||
5% 7/1/26 (e)(f) | 700,000 | 750,964 | ||
5% 7/1/41 (e)(f) | 11,800,000 | 12,527,030 | ||
5% 7/1/41 (e)(f) | 6,700,000 | 7,112,805 | ||
5.5% 11/1/17 to 3/1/39 (f) | 96,129,299 | 104,441,077 | ||
6% 6/1/14 to 9/1/39 | 123,744,964 | 136,086,837 | ||
6% 7/1/41 (e) | 10,500,000 | 11,534,776 | ||
6.5% 6/1/13 to 2/1/36 | 5,674,755 | 6,241,557 | ||
7% 3/1/15 to 8/1/32 | 1,831,347 | 2,075,239 | ||
7.5% 7/1/16 to 11/1/31 | 1,524,800 | 1,731,307 | ||
8% 1/1/30 to 5/1/30 | 47,777 | 54,876 | ||
8.5% 3/1/25 to 6/1/25 | 849 | 982 | ||
TOTAL FANNIE MAE | 882,203,934 | |||
| ||||
| Principal Amount | Value | ||
Freddie Mac - 5.1% | ||||
2.155% 4/1/35 (j) | $ 884,066 | $ 930,194 | ||
2.357% 3/1/36 (j) | 185,180 | 191,264 | ||
2.499% 1/1/35 (j) | 245,048 | 256,815 | ||
2.92% 11/1/35 (j) | 440,766 | 466,160 | ||
2.942% 3/1/33 (j) | 18,152 | 19,167 | ||
3.281% 10/1/35 (j) | 160,212 | 170,826 | ||
3.801% 4/1/40 (j) | 1,866,041 | 1,955,352 | ||
4% 7/1/41 (e) | 1,000,000 | 997,898 | ||
4.5% 7/1/25 to 4/1/41 | 48,015,811 | 49,711,099 | ||
4.5% 7/1/41 (e) | 12,900,000 | 13,313,640 | ||
5% 1/1/38 to 9/1/40 | 29,843,595 | 31,747,161 | ||
5.5% 1/1/38 to 1/1/40 | 68,305,472 | 73,775,107 | ||
5.5% 7/1/41 (e)(f) | 8,000,000 | 8,637,308 | ||
5.5% 7/1/41 (e)(f) | 4,500,000 | 4,858,486 | ||
6% 4/1/32 to 8/1/37 | 6,572,436 | 7,248,931 | ||
7.5% 5/1/17 to 11/1/31 | 151,074 | 172,446 | ||
8% 7/1/17 to 5/1/27 | 25,665 | 29,157 | ||
8.5% 3/1/20 to 1/1/28 | 133,525 | 152,882 | ||
TOTAL FREDDIE MAC | 194,633,893 | |||
Ginnie Mae - 7.7% | ||||
3.5% 7/1/41 (e) | 13,800,000 | 13,381,688 | ||
4% 1/15/25 to 10/20/25 | 21,629,236 | 22,786,252 | ||
4% 7/1/41 (e) | 8,500,000 | 8,650,807 | ||
4.5% 3/15/39 to 4/20/41 | 43,851,733 | 46,315,870 | ||
4.5% 7/1/41 (e)(f) | 19,000,000 | 20,033,767 | ||
4.5% 7/1/41 (e)(f) | 7,000,000 | 7,380,862 | ||
4.5% 7/1/41 (e)(f) | 14,000,000 | 14,761,723 | ||
4.5% 7/1/41 (e)(f) | 3,000,000 | 3,163,226 | ||
4.5% 7/1/41 (e)(f) | 14,000,000 | 14,761,723 | ||
4.5% 7/1/41 (e)(f) | 6,000,000 | 6,326,453 | ||
4.5% 7/1/41 (e) | 10,000,000 | 10,544,088 | ||
4.5% 7/1/41 (e)(f) | 7,000,000 | 7,380,862 | ||
4.5% 7/1/41 (e) | 20,000,000 | 21,022,552 | ||
4.5% 7/1/41 (e) | 3,000,000 | 3,153,383 | ||
4.5% 7/1/41 (e) | 10,000,000 | 10,511,276 | ||
5% 3/15/38 to 11/15/40 | 21,440,546 | 23,319,317 | ||
5% 7/1/41 (e) | 16,000,000 | 17,334,302 | ||
5% 7/1/41 (e) | 8,500,000 | 9,208,848 | ||
5% 7/1/41 (e) | 17,000,000 | 18,417,696 | ||
6% 3/15/29 to 11/15/34 | 6,560,645 | 7,340,849 | ||
6.5% 10/15/34 to 11/15/35 | 406,878 | 462,785 | ||
7% 1/15/28 to 7/15/32 | 2,988,890 | 3,427,678 | ||
7.5% 4/15/22 to 10/15/28 | 765,598 | 876,987 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Ginnie Mae - continued | ||||
8% 2/15/17 to 9/15/30 | $ 93,901 | $ 107,614 | ||
8.5% 12/15/16 to 3/15/30 | 12,395 | 14,009 | ||
TOTAL GINNIE MAE | 290,684,617 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,356,239,723) | 1,367,522,444 | |||
Asset-Backed Securities - 2.6% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6558% 4/25/35 (j) | 548,349 | 387,936 | ||
ACE Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE1 Class M1, 0.9358% 3/25/34 (j) | 5,177 | 5,148 | ||
Series 2005-HE2 Class M2, 0.6358% 4/25/35 (j) | 52,254 | 50,400 | ||
Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (j) | 169,000 | 1,690 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.6871% 6/15/32 (c)(j) | 2,669,096 | 1,254,475 | ||
Ally Auto Receivables Trust: | ||||
Series 2009-A: | ||||
Class A3, 2.33% 6/17/13 (c) | 1,486,365 | 1,500,038 | ||
Class A4, 3% 10/15/15 (c) | 1,600,000 | 1,650,823 | ||
Series 2010-5 Class A4, 1.75% 3/15/16 | 1,430,000 | 1,433,357 | ||
Series 2011-1 Class A4, 2.23% 3/15/16 | 6,420,000 | 6,525,285 | ||
Ally Master Owner Trust: | ||||
Series 2010-3 Class A, 2.88% 4/15/15 (c) | 3,400,000 | 3,497,557 | ||
Series 2011-1 Class A2, 2.15% 1/15/16 | 3,150,000 | 3,191,195 | ||
Series 2011-3 Class A2, 1.81% 5/15/16 | 2,760,000 | 2,766,119 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2008-AF Class A3, 5.68% 12/12/12 (FSA Insured) | 101,707 | 101,720 | ||
Series 2011-1 Class A3, 1.39% 9/8/15 | 2,660,000 | 2,670,129 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 0.8858% 12/25/33 (j) | 31,599 | 25,539 | ||
Series 2004-R2 Class M3, 0.7358% 4/25/34 (j) | 47,022 | 13,521 | ||
| ||||
| Principal Amount | Value | ||
Series 2004-R8 Class M9, 2.9358% 9/25/34 (j) | $ 127,968 | $ 824 | ||
Series 2005-R2 Class M1, 0.6358% 4/25/35 (j) | 727,000 | 630,612 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.974% 3/25/34 (j) | 16,878 | 12,693 | ||
Series 2004-W11 Class M2, 0.8858% 11/25/34 (j) | 198,000 | 171,667 | ||
Series 2004-W7 Class M1, 0.7358% 5/25/34 (j) | 209,000 | 160,619 | ||
Series 2006-W4 Class A2C, 0.3458% 5/25/36 (j) | 482,747 | 139,029 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.0108% 4/25/34 (j) | 940,000 | 759,925 | ||
Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (c) | 3,100,000 | 3,190,992 | ||
BMW Vehicle Lease Trust Series 2010-1 Class A3, 0.82% 4/15/13 | 5,050,000 | 5,057,250 | ||
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2565% 12/25/24 (j) | 514,931 | 453,783 | ||
C-BASS Trust Series 2006-CB7 Class A2, 0.2458% 10/25/36 (j) | 9,894 | 9,845 | ||
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13 | 4,260,000 | 4,278,714 | ||
Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15 | 2,760,000 | 2,773,821 | ||
Carrington Mortgage Loan Trust: | ||||
Series 2006-FRE1 Class M1, 0.4858% 7/25/36 (j) | 402,000 | 22,385 | ||
Series 2007-RFC1 Class A3, 0.3258% 12/25/36 (j) | 635,000 | 194,252 | ||
Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13 | 6,300,000 | 6,308,792 | ||
Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14 | 12,500,000 | 12,797,618 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.4626% 3/25/32 (MGIC Investment Corp. Insured) (j) | 40,946 | 16,076 | ||
Series 2004-3 Class M4, 1.1558% 4/25/34 (j) | 56,336 | 27,714 | ||
Series 2004-4 Class M2, 0.9808% 6/25/34 (j) | 207,174 | 117,574 | ||
Series 2005-3 Class MV1, 0.6058% 8/25/35 (j) | 234,899 | 226,486 | ||
Series 2005-AB1 Class A2, 0.3958% 8/25/35 (j) | 22,552 | 22,305 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.6598% 5/28/35 (j) | $ 13,702 | $ 9,962 | ||
Fieldstone Mortgage Investment Corp.: | ||||
Series 2004-3 Class M5, 2.3608% 8/25/34 (j) | 102,000 | 59,388 | ||
Series 2006-3 Class 2A3, 0.3458% 11/25/36 (j) | 1,585,000 | 538,044 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0108% 3/25/34 (j) | 5,606 | 2,236 | ||
Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (c) | 5,190,000 | 5,194,100 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2009-D: | ||||
Class A3, 2.17% 10/15/13 | 1,364,451 | 1,376,592 | ||
Class A4, 2.98% 8/15/14 | 1,800,000 | 1,858,196 | ||
Series 2010-B Class A3, 0.98% 10/15/14 | 3,550,000 | 3,564,498 | ||
Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15 | 3,580,000 | 3,594,098 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.6758% 1/25/35 (j) | 334,000 | 142,788 | ||
Class M4, 0.8658% 1/25/35 (j) | 128,000 | 34,636 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6368% 2/25/47 (c)(j) | 829,000 | 489,110 | ||
GE Business Loan Trust Series 2003-1 Class A, 0.6171% 4/15/31 (c)(j) | 84,248 | 78,519 | ||
GSAMP Trust: | ||||
Series 2004-AR1: | ||||
Class B4, 5% 6/25/34 (c)(j) | 145,811 | 39,983 | ||
Class M1, 0.8358% 6/25/34 (j) | 772,000 | 524,687 | ||
Series 2007-HE1 Class M1, 0.4358% 3/25/47 (j) | 289,000 | 16,525 | ||
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7358% 9/25/46 (c)(j) | 538,000 | 107,600 | ||
Home Equity Asset Trust: | ||||
Series 2003-3 Class M1, 1.4758% 8/25/33 (j) | 259,194 | 213,659 | ||
Series 2003-5 Class A2, 0.8858% 12/25/33 (j) | 11,595 | 8,440 | ||
Series 2005-5 Class 2A2, 0.4358% 11/25/35 (j) | 21,909 | 21,511 | ||
Series 2006-1 Class 2A3, 0.4108% 4/25/36 (j) | 280,229 | 275,111 | ||
HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.4758% 3/20/36 (j) | 238,218 | 202,665 | ||
| ||||
| Principal Amount | Value | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3758% 1/25/37 (j) | $ 436,000 | $ 155,980 | ||
Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13 | 1,631,442 | 1,643,314 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1: | ||||
Class AV4, 0.3158% 11/25/36 (j) | 438,000 | 355,551 | ||
Class MV1, 0.4158% 11/25/36 (j) | 356,000 | 234,907 | ||
Keycorp Student Loan Trust Series 1999-A Class A2, 0.5765% 12/27/29 (j) | 234,881 | 201,997 | ||
Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.2658% 6/25/34 (j) | 31,756 | 22,408 | ||
MASTR Asset Backed Securities Trust: | ||||
Series 2006-AM3 Class M1, 0.4458% 10/25/36 (j) | 158,000 | 9,042 | ||
Series 2007-HE1 Class M1, 0.4858% 5/25/37 (j) | 249,000 | 12,918 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1608% 7/25/34 (j) | 32,638 | 22,494 | ||
Series 2006-FM1 Class A2B, 0.2958% 4/25/37 (j) | 557,402 | 416,978 | ||
Series 2006-OPT1 Class A1A, 0.4458% 6/25/35 (j) | 536,316 | 391,281 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.5258% 8/25/34 (j) | 20,187 | 15,472 | ||
Series 2004-NC8 Class M6, 1.4358% 9/25/34 (j) | 105,683 | 45,272 | ||
Series 2005-NC1 Class M1, 0.6258% 1/25/35 (j) | 141,000 | 97,009 | ||
National Collegiate Student Loan Trust Series 2006-4 Class A1, 0.2158% 3/25/25 (j) | 17,032 | 17,009 | ||
New Century Home Equity Loan Trust: | ||||
Series 2005-4 Class M2, 0.6958% 9/25/35 (j) | 503,000 | 285,054 | ||
Series 2005-D Class M2, 0.6558% 2/25/36 (j) | 105,000 | 31,397 | ||
Nissan Auto Receivables Owner Trust Series 2010-A Class A4, 1.31% 9/15/16 | 2,140,000 | 2,145,990 | ||
Ocala Funding LLC Series 2006-1A Class A, 1.5858% 3/20/11 (a)(c)(j) | 414,000 | 0 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.4358% 9/25/34 (j) | 188,000 | 116,826 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount | Value | ||
Park Place Securities, Inc.: - continued | ||||
Series 2004-WCW1: | ||||
Class M4, 1.6358% 9/25/34 (j) | $ 241,000 | $ 66,970 | ||
Series 2005-WCH1: | ||||
Class M2, 0.7058% 1/25/36 (j) | 1,972,000 | 1,854,769 | ||
Class M3, 0.7458% 1/25/36 (j) | 168,000 | 116,019 | ||
Class M4, 1.0158% 1/25/36 (j) | 520,000 | 339,840 | ||
Series 2005-WHQ2 Class M7, 1.4358% 5/25/35 (j) | 1,251,000 | 10,266 | ||
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.2558% 2/25/37 (j) | 44,977 | 44,776 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9858% 4/25/33 (j) | 1,796 | 1,535 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9808% 3/25/35 (j) | 517,272 | 414,322 | ||
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3458% 3/20/19 (FGIC Insured) (c)(j) | 191,987 | 183,054 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.197% 6/15/33 (j) | 448,000 | 178,713 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.3358% 9/25/34 (j) | 24,496 | 10,736 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0458% 9/25/34 (j) | 10,148 | 7,577 | ||
Volkswagen Auto Lease Trust Series 2010-A Class A3, 0.99% 11/20/13 | 5,630,000 | 5,642,666 | ||
WaMu Master Note Trust Series 2006-C2A Class C2, 0.6871% 8/15/15 (c)(j) | 2,465,000 | 2,463,389 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0738% 10/25/44 (c)(j) | 630,180 | 390,712 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $101,190,725) | 98,746,499 | |||
Collateralized Mortgage Obligations - 1.7% | ||||
| ||||
Private Sponsor - 1.4% | ||||
Banc of America Commercial Mortgage Trust Series 2007-2: | ||||
Class B, 5.6578% 4/10/49 (j) | 485,000 | 215,839 | ||
Class C, 5.6578% 4/10/49 (j) | 1,290,000 | 516,944 | ||
Class D, 5.6578% 4/10/49 (j) | 650,000 | 228,601 | ||
| ||||
| Principal Amount | Value | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2004-B Class 1A1, 2.7465% 3/25/34 (j) | $ 20,048 | $ 17,256 | ||
Series 2005-E Class 2A7, 2.8654% 6/25/35 (j) | 2,680,000 | 2,087,688 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7458% 1/25/35 (j) | 732,316 | 581,178 | ||
Chase Mortgage Finance Trust: | ||||
Series 2007-A1 Class 1A5, 2.9295% 2/25/37 (j) | 379,889 | 364,458 | ||
Series 2007-A2 Class 2A1, 3.0617% 7/25/37 (j) | 208,941 | 196,802 | ||
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.091% 12/10/49 (j) | 7,310,000 | 7,628,768 | ||
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.3725% 8/25/34 (j) | 2,198,074 | 2,191,128 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.8964% 11/25/34 (j) | 725,316 | 658,464 | ||
Fosse Master Issuer PLC floater Series 2006-1A: | ||||
Class B2, 0.4355% 10/18/54 (c)(j) | 338,932 | 338,782 | ||
Class C2, 0.7455% 10/18/54 (c)(j) | 113,426 | 113,018 | ||
Class M2, 0.5255% 10/18/54 (c)(j) | 194,877 | 194,761 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.73% 11/20/56 (c)(j) | 863,000 | 854,382 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A Class C2, 1.3858% 12/20/54 (c)(j) | 2,117,000 | 1,217,275 | ||
Series 2006-2 Class C1, 0.6558% 12/20/54 (j) | 1,885,000 | 1,083,875 | ||
Series 2006-3 Class C2, 0.6858% 12/20/54 (j) | 396,000 | 227,700 | ||
Series 2006-4: | ||||
Class B1, 0.2758% 12/20/54 (j) | 1,059,000 | 878,970 | ||
Class C1, 0.5658% 12/20/54 (j) | 647,000 | 372,025 | ||
Class M1, 0.3558% 12/20/54 (j) | 279,000 | 202,833 | ||
Series 2007-1: | ||||
Class 1C1, 0.7858% 12/20/54 (j) | 654,000 | 376,050 | ||
Class 1M1, 0.4858% 12/20/54 (j) | 425,000 | 308,975 | ||
Class 2C1, 1.1458% 12/20/54 (j) | 298,000 | 171,350 | ||
Class 2M1, 0.6858% 12/20/54 (j) | 546,000 | 396,942 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount | Value | ||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: - continued | ||||
Series 2007-2 Class 2C1, 0.6153% 12/17/54 (j) | $ 757,000 | $ 435,275 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.724% 1/20/44 (j) | 151,584 | 107,056 | ||
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7426% 4/25/35 (j) | 1,031,329 | 857,117 | ||
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4058% 5/19/35 (j) | 125,979 | 80,140 | ||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (j) | 6,230,000 | 6,543,648 | ||
JPMorgan Mortgage Trust: | ||||
Series 2004-A5 Class 2A1, 2.6022% 12/25/34 (j) | 698,286 | 637,135 | ||
Series 2006-A2 Class 5A1, 2.9693% 11/25/33 (j) | 831,000 | 775,394 | ||
Series 2007-A1 Class 1A1, 3.0062% 7/25/35 (j) | 2,041,241 | 1,886,110 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3958% 5/25/47 (j) | 326,929 | 221,152 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3558% 2/25/37 (j) | 490,304 | 328,637 | ||
Merrill Lynch Floating Trust floater Series 2006-1: | ||||
Class C, 0.377% 6/15/22 (c)(j) | 449,000 | 423,183 | ||
Class D, 0.387% 6/15/22 (c)(j) | 173,000 | 162,188 | ||
Class E, 0.397% 6/15/22 (c)(j) | 276,000 | 255,990 | ||
Class F, 0.427% 6/15/22 (c)(j) | 498,000 | 456,915 | ||
Class G, 0.497% 6/15/22 (c)(j) | 103,000 | 92,443 | ||
Class H, 0.517% 6/15/22 (c)(j) | 207,000 | 182,160 | ||
Class J, 0.557% 6/15/22 (c)(j) | 242,000 | 210,540 | ||
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (j) | 4,570,000 | 4,803,749 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4758% 7/25/35 (j) | 754,482 | 596,723 | ||
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.4858% 3/25/37 (j) | 861,000 | 56,479 | ||
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.7961% 10/25/35 (j) | 1,469,441 | 1,223,324 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5396% 7/10/35 (c)(j) | 268,565 | 210,823 | ||
| ||||
| Principal Amount | Value | ||
Residential Asset Mortgage Products, Inc. sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | $ 51,977 | $ 55,185 | ||
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6358% 6/25/33 (c)(j) | 77,304 | 71,274 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8997% 7/20/34 (j) | 13,275 | 9,531 | ||
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.3948% 9/25/36 (j) | 1,153,000 | 854,152 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-H Class A1, 3.498% 6/25/34 (j) | 597,750 | 573,971 | ||
Series 2005-AR10 Class 2A2, 2.795% 6/25/35 (j) | 2,549,562 | 2,475,605 | ||
Series 2005-AR12: | ||||
Class 2A5, 2.7732% 7/25/35 (j) | 3,520,255 | 3,220,868 | ||
Class 2A6, 2.7732% 7/25/35 (j) | 3,298,220 | 3,003,792 | ||
Series 2005-AR3 Class 2A1, 2.8609% 3/25/35 (j) | 682,751 | 609,634 | ||
TOTAL PRIVATE SPONSOR | 52,844,257 | |||
U.S. Government Agency - 0.3% | ||||
Fannie Mae planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 1,601,632 | 1,774,181 | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | 1,155,504 | 1,302,701 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 166,460 | 180,541 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 2,625,000 | 2,741,617 | ||
sequential payer Series 2004-86 Class KC, 4.5% 5/25/19 | 325,427 | 340,767 | ||
Freddie Mac Multi-class participation certificates guaranteed planned amortization class Series 2500 Class TE, 5.5% 9/15/17 | 4,056,827 | 4,378,959 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates Series 2007-35 Class SC, 39.0867% 6/16/37 (j)(l) | 136,396 | 247,146 | ||
TOTAL U.S. GOVERNMENT AGENCY | 10,965,912 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $64,369,629) | 63,810,169 | |||
Commercial Mortgage Securities - 6.6% | ||||
| Principal Amount | Value | ||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A2, 6.8313% 2/14/43 (j) | $ 1,435,000 | $ 1,503,311 | ||
Class A3, 6.8813% 2/14/43 (j) | 1,545,000 | 1,643,448 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7159% 5/10/45 (j) | 2,097,405 | 2,236,626 | ||
Series 2006-5: | ||||
Class A2, 5.317% 9/10/47 | 8,121,350 | 8,234,973 | ||
Class A3, 5.39% 9/10/47 | 1,985,000 | 2,053,649 | ||
Series 2007-3 Class A3, 5.6243% 6/10/49 (j) | 6,100,000 | 6,439,912 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer: | ||||
Series 2005-1 Class A3, 4.877% 11/10/42 | 864,494 | 866,925 | ||
Series 2007-1 Class A2, 5.381% 1/15/49 | 1,517,709 | 1,529,174 | ||
Series 2001-3 Class H, 6.562% 4/11/37 (c) | 4,889,139 | 4,905,589 | ||
Banc of America Large Loan, Inc. floater: | ||||
Series 2005-MIB1: | ||||
Class F, 0.6571% 3/15/22 (c)(j) | 217,000 | 211,033 | ||
Class G, 0.7171% 3/15/22 (c)(j) | 141,000 | 131,483 | ||
Series 2006-BIX1: | ||||
Class F, 0.4971% 10/15/19 (c)(j) | 558,000 | 523,125 | ||
Class G, 0.5171% 10/15/19 (c)(j) | 380,000 | 342,950 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2004-1: | ||||
Class A, 0.5458% 4/25/34 (c)(j) | 478,948 | 418,475 | ||
Class B, 2.0858% 4/25/34 (c)(j) | 37,639 | 22,323 | ||
Class M1, 0.7458% 4/25/34 (c)(j) | 30,669 | 23,316 | ||
Class M2, 1.3858% 4/25/34 (c)(j) | 27,482 | 19,881 | ||
Series 2004-2: | ||||
Class A, 0.6158% 8/25/34 (c)(j) | 380,090 | 325,787 | ||
Class M1, 0.7658% 8/25/34 (c)(j) | 61,387 | 43,016 | ||
Series 2004-3: | ||||
Class A1, 0.5558% 1/25/35 (c)(j) | 763,472 | 663,282 | ||
Class A2, 0.6058% 1/25/35 (c)(j) | 99,380 | 85,958 | ||
| ||||
| Principal Amount | Value | ||
Class M1, 0.6858% 1/25/35 (c)(j) | $ 101,718 | $ 72,177 | ||
Class M2, 1.1858% 1/25/35 (c)(j) | 65,766 | 44,835 | ||
Series 2005-2A: | ||||
Class A1, 0.4958% 8/25/35 (c)(j) | 414,399 | 345,783 | ||
Class M1, 0.6158% 8/25/35 (c)(j) | 30,726 | 19,982 | ||
Class M2, 0.6658% 8/25/35 (c)(j) | 50,536 | 30,063 | ||
Class M3, 0.6858% 8/25/35 (c)(j) | 27,896 | 15,947 | ||
Series 2005-3A: | ||||
Class A1, 0.5058% 11/25/35 (c)(j) | 228,313 | 188,246 | ||
Class A2, 0.5858% 11/25/35 (c)(j) | 147,939 | 122,525 | ||
Series 2005-4A: | ||||
Class A2, 0.5758% 1/25/36 (c)(j) | 827,979 | 690,805 | ||
Class M1, 0.6358% 1/25/36 (c)(j) | 173,242 | 115,653 | ||
Class M2, 0.6558% 1/25/36 (c)(j) | 52,263 | 31,882 | ||
Class M3, 0.6858% 1/25/36 (c)(j) | 75,975 | 43,838 | ||
Series 2006-1 Class A2, 0.5458% 4/25/36 (c)(j) | 81,460 | 67,143 | ||
Series 2006-2A: | ||||
Class A1, 0.4158% 7/25/36 (c)(j) | 813,949 | 647,232 | ||
Class A2, 0.4658% 7/25/36 (c)(j) | 73,471 | 57,320 | ||
Class M1, 0.4958% 7/25/36 (c)(j) | 77,144 | 49,700 | ||
Class M2, 0.5158% 7/25/36 (c)(j) | 54,578 | 32,712 | ||
Class M6, 0.7258% 7/25/36 (c)(j) | 55,628 | 22,904 | ||
Series 2006-3A: | ||||
Class M5, 0.6658% 10/25/36 (c)(j) | 66,881 | 16,051 | ||
Class M6, 0.7458% 10/25/36 (c)(j) | 130,607 | 24,162 | ||
Series 2006-4A: | ||||
Class A1, 0.4158% 12/25/36 (c)(j) | 482,528 | 376,372 | ||
Class A2, 0.4558% 12/25/36 (c)(j) | 1,075,402 | 795,798 | ||
Class M1, 0.4758% 12/25/36 (c)(j) | 77,928 | 33,759 | ||
Series 2007-1: | ||||
Class A2, 0.4558% 3/25/37 (c)(j) | 204,700 | 136,126 | ||
Class B3, 3.5358% 3/25/37 (c)(j) | 95,419 | 5,248 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-2A: | ||||
Class A1, 0.4558% 7/25/37 (c)(j) | $ 191,399 | $ 141,748 | ||
Class A2, 0.5058% 7/25/37 (c)(j) | 179,149 | 108,458 | ||
Class B1, 1.7858% 7/25/37 (c)(j) | 168,431 | 14,654 | ||
Class B2, 2.4358% 7/25/37 (c)(j) | 145,463 | 8,626 | ||
Class B3, 3.5358% 7/25/37 (c)(j) | 164,603 | 6,796 | ||
Class M2, 0.5958% 7/25/37 (c)(j) | 99,527 | 24,557 | ||
Class M3, 0.6758% 7/25/37 (c)(j) | 99,527 | 19,231 | ||
Class M4, 0.8358% 7/25/37 (c)(j) | 210,539 | 33,379 | ||
Class M5, 0.9358% 7/25/37 (c)(j) | 187,571 | 26,070 | ||
Class M6, 1.1858% 7/25/37 (c)(j) | 233,507 | 26,678 | ||
Series 2007-3: | ||||
Class A2, 0.4758% 7/25/37 (c)(j) | 297,587 | 202,147 | ||
Class B1, 1.1358% 7/25/37 (c)(j) | 137,540 | 18,534 | ||
Class B2, 1.7858% 7/25/37 (c)(j) | 480,765 | 48,022 | ||
Class B3, 4.1858% 7/25/37 (c)(j) | 168,475 | 8,451 | ||
Class M1, 0.4958% 7/25/37 (c)(j) | 121,910 | 46,035 | ||
Class M2, 0.5258% 7/25/37 (c)(j) | 128,162 | 40,195 | ||
Class M3, 0.5558% 7/25/37 (c)(j) | 280,082 | 73,179 | ||
Class M4, 0.6858% 7/25/37 (c)(j) | 442,629 | 101,819 | ||
Class M5, 0.7858% 7/25/37 (c)(j) | 165,673 | 33,187 | ||
Class M6, 0.9858% 7/25/37 (c)(j) | 125,036 | 21,211 | ||
Series 2007-4A: | ||||
Class B1, 2.7358% 9/25/37 (c)(j) | 237,336 | 7,120 | ||
Class B2, 3.6358% 9/25/37 (c)(j) | 1,159,673 | 34,790 | ||
Class M4, 1.7858% 9/25/37 (c)(j) | 764,386 | 61,151 | ||
Class M5, 1.9358% 9/25/37 (c)(j) | 764,386 | 53,507 | ||
Class M6, 2.1358% 9/25/37 (c)(j) | 764,386 | 38,219 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (c)(k) | 1,372,593 | 55,178 | ||
| ||||
| Principal Amount | Value | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-BBA7: | ||||
Class G, 0.6271% 3/15/19 (c)(j) | $ 284,000 | $ 282,459 | ||
Class H, 0.8371% 3/15/19 (c)(j) | 191,000 | 179,523 | ||
Class J, 1.0371% 3/15/19 (c)(j) | 143,000 | 117,624 | ||
Series 2007-BBA8: | ||||
Class D, 0.4371% 3/15/22 (c)(j) | 147,000 | 135,166 | ||
Class E, 0.4871% 3/15/22 (c)(j) | 763,000 | 694,643 | ||
Class F, 0.5371% 3/15/22 (c)(j) | 468,000 | 417,160 | ||
Class G, 0.5871% 3/15/22 (c)(j) | 120,000 | 103,541 | ||
Class H, 0.7371% 3/15/22 (c)(j) | 147,000 | 123,695 | ||
Class J, 0.8871% 3/15/22 (c)(j) | 147,000 | 114,323 | ||
Series 2006-PW13 Class A3, 5.518% 9/11/41 | 2,010,000 | 2,095,049 | ||
Series 2007-PW16: | ||||
Class B, 5.716% 6/11/40 (c)(j) | 1,405,000 | 775,527 | ||
Class C, 5.716% 6/11/40 (c)(j) | 1,170,000 | 534,625 | ||
Class D, 5.716% 6/11/40 (c)(j) | 1,170,000 | 490,112 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4558% 5/25/36 (c)(j) | 288,572 | 216,779 | ||
Citigroup Commercial Mortgage Trust: | ||||
floater Series 2006-FL2: | ||||
Class G, 0.5196% 8/15/21 (c)(j) | 156,000 | 151,244 | ||
Class H, 0.5596% 8/15/21 (c)(j) | 125,000 | 115,000 | ||
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49 | 3,810,000 | 4,135,257 | ||
Series 2007-C6 Class A1, 5.622% 12/10/49 (j) | 3,773,976 | 3,769,587 | ||
Series 2007-FL3A Class A2, 0.3271% 4/15/22 (c)(j) | 2,595,000 | 2,471,709 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49 | 2,960,000 | 3,140,686 | ||
Series 2007-CD4 Class A3, 5.293% 12/11/49 | 6,065,000 | 6,255,008 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
COMM pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A: | ||||
Class D, 0.4971% 4/15/17 (c)(j) | $ 335,000 | $ 301,500 | ||
Class E, 0.5571% 4/15/17 (c)(j) | 107,000 | 94,695 | ||
Class F, 0.5971% 4/15/17 (c)(j) | 60,000 | 50,700 | ||
Class G, 0.7371% 4/15/17 (c)(j) | 60,000 | 49,800 | ||
Class H, 0.8071% 4/15/17 (c)(j) | 60,000 | 45,600 | ||
Class J, 1.0371% 4/15/17 (c)(j) | 46,000 | 28,520 | ||
Series 2005-FL11: | ||||
Class F, 0.6371% 11/15/17 (c)(j) | 65,513 | 59,617 | ||
Class G, 0.6871% 11/15/17 (c)(j) | 45,227 | 40,026 | ||
sequential payer Series 2006-CN2A: | ||||
Class A2FX, 5.449% 2/5/19 (c) | 2,775,000 | 2,775,000 | ||
Class AJFX, 5.478% 2/5/19 (c) | 2,110,000 | 2,127,124 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-C2 Class A2, 5.448% 1/15/49 (j) | 3,858,258 | 3,900,088 | ||
Series 2007-C3 Class A4, 5.7159% 6/15/39 (j) | 3,750,000 | 3,967,926 | ||
Series 2006-C4 Class AAB, 5.439% 9/15/39 | 5,350,000 | 5,567,008 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (j) | 2,750,000 | 2,915,133 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer Series 2004-C1: | ||||
Class A3, 4.321% 1/15/37 | 524,915 | 530,237 | ||
Class A4, 4.75% 1/15/37 | 3,035,000 | 3,203,615 | ||
Series 1997-C2 Class D, 7.27% 1/17/35 | 11,705 | 11,715 | ||
Series 2001-CKN5 Class AX, 1.9052% 9/15/34 (c)(j)(k) | 10,239,215 | 6,200 | ||
Series 2002-CP3 Class G, 6.639% 7/15/35 (c) | 250,000 | 248,932 | ||
Series 2006-C1 Class A3, 5.5396% 2/15/39 (j) | 2,756,218 | 2,908,003 | ||
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1: | ||||
Class B, 0.3371% 2/15/22 (c)(j) | 3,470,000 | 3,157,700 | ||
Class C: | ||||
0.3571% 2/15/22 (c)(j) | 657,000 | 591,300 | ||
0.4571% 2/15/22 (c)(j) | 234,000 | 201,240 | ||
Class F, 0.5071% 2/15/22 (c)(j) | 469,000 | 393,960 | ||
| ||||
| Principal Amount | Value | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | $ 4,470,000 | $ 4,771,103 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.3802% 11/5/21 (c)(j) | 3,490,000 | 3,217,976 | ||
sequential payer Series 2007-GG11 Class A2, 5.597% 12/10/49 | 13,805,000 | 14,408,983 | ||
Series 2006-GG7 Class A3, 5.881% 7/10/38 (j) | 3,460,000 | 3,650,606 | ||
GS Mortgage Securities Corp. II: | ||||
floater: | ||||
Series 2006-FL8A: | ||||
Class E, 0.5602% 6/6/20 (c)(j) | 1,821,615 | 1,669,737 | ||
Class F, 0.6302% 6/6/20 (c)(j) | 294,000 | 263,240 | ||
Series 2007-EOP: | ||||
Class C, 2.1455% 3/6/20 (c)(j) | 1,335,000 | 1,318,521 | ||
Class D, 2.3636% 3/6/20 (c)(j) | 400,000 | 395,157 | ||
Class E, 2.6688% 3/6/20 (c)(j) | 670,000 | 662,441 | ||
Class F, 2.8433% 3/6/20 (c)(j) | 335,000 | 330,629 | ||
Class G, 3.0177% 3/6/20 (c)(j) | 165,000 | 162,942 | ||
Class H, 3.5846% 3/6/20 (c)(j) | 275,000 | 272,758 | ||
Class J, 4.4568% 3/6/20 (c)(j) | 395,000 | 393,620 | ||
GS Mortgage Securities Corp. II: | ||||
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38 | 2,725,000 | 2,745,046 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 | 1,867,493 | 1,867,004 | ||
GS Mortgage Securities Trust sequential payer Series 2007-GG10: | ||||
Class A2, 5.778% 8/10/45 | 4,881,941 | 5,009,006 | ||
Class A4, 5.8074% 8/10/45 (j) | 2,280,000 | 2,447,809 | ||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||
sequential payer Series 2006-CB14 Class A3B, 5.4796% 12/12/44 (j) | 4,625,000 | 4,739,960 | ||
Series 2005-LDP3 Class A3, 4.959% 8/15/42 | 3,938,746 | 4,071,794 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FLA2: | ||||
Class E, 0.4671% 11/15/18 (c)(j) | $ 89,312 | $ 81,274 | ||
Class F, 0.5171% 11/15/18 (c)(j) | 133,968 | 119,231 | ||
Class G, 0.5471% 11/15/18 (c)(j) | 116,714 | 100,374 | ||
Class H, 0.6871% 11/15/18 (c)(j) | 89,332 | 73,252 | ||
sequential payer: | ||||
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (j) | 4,707,682 | 4,824,779 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 3,796,000 | 4,070,070 | ||
Series 2007-CB19: | ||||
Class B, 5.7416% 2/12/49 (j) | 755,000 | 386,585 | ||
Class C, 5.7416% 2/12/49 (j) | 1,971,000 | 915,957 | ||
Class D, 5.7416% 2/12/49 (j) | 2,075,000 | 825,030 | ||
Series 2007-LDP10: | ||||
Class BS, 5.437% 1/15/49 (j) | 1,725,000 | 639,526 | ||
Class CS, 5.466% 1/15/49 (j) | 745,000 | 275,758 | ||
Class ES, 5.5411% 1/15/49 (c)(j) | 4,663,000 | 620,107 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9608% 7/15/44 (j) | 3,733,000 | 4,057,219 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-C3 Class A2, 4.553% 7/15/30 | 732,358 | 733,189 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 451,987 | 454,722 | ||
Series 2006-C6 Class A2, 5.262% 9/15/39 (j) | 1,485,013 | 1,487,624 | ||
Series 2006-C7 Class A1, 5.279% 11/15/38 | 59,812 | 59,969 | ||
Series 2007-C1: | ||||
Class A1, 5.391% 2/15/40 (j) | 172,053 | 173,079 | ||
Class A3, 5.398% 2/15/40 | 5,000,000 | 5,175,875 | ||
Class A4, 5.424% 2/15/40 | 8,620,000 | 9,290,355 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 1,165,000 | 1,241,641 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 1,810,000 | 1,811,760 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA: | ||||
Class F, 0.5271% 9/15/21 (c)(j) | 402,971 | 346,555 | ||
Class G, 0.5471% 9/15/21 (c)(j) | 795,609 | 652,400 | ||
Class H, 0.5871% 9/15/21 (c)(j) | 204,773 | 163,819 | ||
| ||||
| Principal Amount | Value | ||
Merrill Lynch Mortgage Trust: | ||||
sequential payer: | ||||
Series 2004-KEY2 Class A2, 4.166% 8/12/39 | $ 99,483 | $ 100,063 | ||
Series 2005-MCP1 Class A2, 4.556% 6/12/43 | 499,788 | 505,129 | ||
Series 2007-C1 Class A4, 5.8262% 6/12/50 (j) | 3,796,000 | 4,140,717 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-5 Class A3, 5.364% 8/12/48 | 4,298,000 | 4,429,649 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (j) | 3,875,000 | 4,115,725 | ||
Series 2007-9 Class A4, 5.7% 9/12/49 | 5,500,000 | 5,922,826 | ||
Series 2007-7 Class B, 5.7436% 6/12/50 (j) | 770,000 | 215,215 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.387% 7/15/19 (c)(j) | 113,478 | 62,413 | ||
Series 2007-XCLA Class A1, 0.387% 7/17/17 (c)(j) | 376,461 | 353,873 | ||
Series 2007-XLFA: | ||||
Class D, 0.377% 10/15/20 (c)(j) | 235,000 | 209,580 | ||
Class E, 0.437% 10/15/20 (c)(j) | 294,000 | 259,892 | ||
Class F, 0.487% 10/15/20 (c)(j) | 176,000 | 146,051 | ||
Class G, 0.527% 10/15/20 (c)(j) | 218,000 | 169,820 | ||
Class H, 0.617% 10/15/20 (c)(j) | 137,000 | 98,632 | ||
Class J, 0.767% 10/15/20 (c)(j) | 157,000 | 82,504 | ||
Class NHRO, 1.077% 10/15/20 (c)(j) | 87,956 | 72,124 | ||
sequential payer: | ||||
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (j) | 4,785,000 | 5,024,058 | ||
Series 2007-IQ13 Class A1, 5.05% 3/15/44 | 649,230 | 653,172 | ||
Series 2005-IQ9 Class X2, 1.0897% 7/15/56 (c)(j)(k) | 17,246,513 | 101,166 | ||
Series 2007-HQ12 Class A2, 5.5934% 4/12/49 (j) | 4,552,251 | 4,620,760 | ||
Series 2007-IQ14 Class B, 5.7248% 4/15/49 (j) | 2,175,000 | 1,109,250 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (c) | 3,115,229 | 3,536,720 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount | Value | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2005-WL5A Class K, 1.3871% 1/15/18 (c)(j) | $ 449,000 | $ 430,928 | ||
Series 2006-WL7A: | ||||
Class E, 0.4653% 9/15/21 (c)(j) | 491,000 | 423,771 | ||
Class F, 0.5253% 8/11/18 (c)(j) | 661,000 | 563,386 | ||
Class G, 0.5453% 8/11/18 (c)(j) | 626,000 | 504,290 | ||
Class J, 0.7853% 8/11/18 (c)(j) | 139,000 | 92,111 | ||
Series 2007-WHL8: | ||||
Class AP2, 0.9871% 6/15/20 (c)(j) | 53,945 | 47,472 | ||
Class F, 0.6671% 6/15/20 (c)(j) | 1,046,000 | 774,040 | ||
sequential payer: | ||||
Series 2003-C7 Class A1, 4.241% 10/15/35 (c) | 455,048 | 457,540 | ||
Series 2007-C30: | ||||
Class A3, 5.246% 12/15/43 | 5,940,000 | 6,080,783 | ||
Class A4, 5.305% 12/15/43 | 3,240,000 | 3,316,486 | ||
Class A5, 5.342% 12/15/43 | 3,796,000 | 3,996,814 | ||
Series 2007-C32 Class A2, 5.7381% 6/15/49 (j) | 1,147,398 | 1,186,265 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (j) | 3,010,000 | 3,299,257 | ||
Series 2007-C30 Class E, 5.553% 12/15/43 (j) | 6,257,000 | 1,854,315 | ||
Series 2007-C31 Class C, 5.6934% 4/15/47 (j) | 2,455,000 | 1,165,077 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $256,172,633) | 248,058,153 | |||
Municipal Securities - 0.4% | ||||
| ||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (j) | 1,200,000 | 1,196,232 | ||
California Gen. Oblig.: | ||||
7.5% 4/1/34 | 2,400,000 | 2,714,400 | ||
7.55% 4/1/39 | 2,560,000 | 2,929,562 | ||
Illinois Gen. Oblig.: | ||||
Series 2010, 4.421% 1/1/15 | 2,850,000 | 2,914,752 | ||
5.665% 3/1/18 | 1,885,000 | 1,955,348 | ||
5.877% 3/1/19 | 1,755,000 | 1,803,912 | ||
TOTAL MUNICIPAL SECURITIES (Cost $12,672,301) | 13,514,206 | |||
Foreign Government and Government Agency Obligations - 0.1% | ||||
| Principal Amount | Value | ||
United Mexican States: | ||||
5.875% 1/15/14 | $ 1,665,000 | $ 1,844,820 | ||
6.05% 1/11/40 | 2,660,000 | 2,830,240 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,339,789) | 4,675,060 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Corporacion Andina de Fomento 5.2% 5/21/13 | 350,000 | 374,500 |
Cash Equivalents - 8.4% | |||
| Maturity | Value | |
Investments in repurchase agreements in a joint trading account at 0.06%, dated 6/30/11 due 7/1/11 (Collateralized by U.S. Government Obligations) # | $ 317,121,486 | 317,121,000 |
TOTAL INVESTMENT PORTFOLIO - 109.6% (Cost $4,054,453,033) | 4,148,749,947 |
NET OTHER ASSETS (LIABILITIES) - (9.6)% | (362,250,526) | ||
NET ASSETS - 100% | $ 3,786,499,421 |
Swap Agreements | |||||
| Expiration Date | Notional Amount |
| ||
Credit Default Swaps | |||||
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) (Upfront Premium Received/(Paid) $360,000) (i) | Sept. 2037 | 1,862,745 | (1,742,202) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to 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) (Upfront Premium Received/(Paid) $598,000) (i) | Sept. 2037 | $ 1,614,379 | $ (1,509,908) | ||
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) (Upfront Premium Received/(Paid) $348,750) (i) | Sept. 2037 | 931,372 | (871,101) | ||
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) (Upfront Premium Received/(Paid) $701,375) (i) | Sept. 2037 | 1,924,836 | (1,800,275) | ||
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) (Upfront Payment (Made)/Received $572,000) (i) | Sept. 2037 | 2,732,025 | (2,555,229) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Premium Received/(Paid) $214,000) (i) | Sept. 2037 | $ 993,464 | $ (929,174) | ||
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) (Upfront Premium Received/(Paid) $1,023,500) (i) | Sept. 2037 | 2,856,208 | (2,671,375) | ||
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-Ca) (h) | August 2034 | 87,253 | (48,438) | ||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Credit Default Swaps - continued | |||||
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) (h) | Feb. 2034 | $ 4,841 | $ (4,564) | ||
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) (h) | Dec. 2034 | 245,904 | (239,735) | ||
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) (h) | Oct. 2034 | 127,968 | (127,147) | ||
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) (h) | Dec. 2034 | 427,179 | (416,463) | ||
| |||||
| Expiration Date | Notional Amount | Value | ||
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) (h) | Sept. 2034 | 85,742 | (64,734) | ||
TOTAL CREDIT DEFAULT SWAPS | $ 13,893,916 | $ (12,980,345) | |||
Swap Agreements - continued | |||||
| Expiration Date | Notional Amount | Value | ||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | June 2012 | $ 80,966,000 | $ 743,300 | ||
| $ 94,859,916 | $ (12,237,045) |
Legend |
(a) Non-income producing - Security is in default. |
(b) 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. |
(c) 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 $188,659,172 or 5.0% of net assets. |
(d) Security is perpetual in nature with no stated maturity date. |
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) A portion of the security is subject to a forward commitment to sell. |
(g) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $13,711,235. |
(h) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk. |
(i) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. 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 Investors Service, 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. |
(j) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(k) 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. |
(l) 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. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$317,121,000 due 7/01/11 at 0.06% | |
BNP Paribas Securities Corp. | $ 51,204,510 |
Barclays Capital, Inc. | 9,893,940 |
Mizuho Securities USA, Inc. | 153,613,530 |
UBS Securities LLC | 102,409,020 |
| $ 317,121,000 |
Other Information |
The following is a summary of the inputs used, as of June 30, 2011, 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 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: | ||||
Corporate Bonds | $ 920,661,271 | $ - | $ 920,661,271 | $ - |
U.S. Government and Government Agency Obligations | 1,114,266,645 | - | 1,114,266,645 | - |
U.S. Government Agency - Mortgage Securities | 1,367,522,444 | - | 1,367,522,444 | - |
Asset-Backed Securities | 98,746,499 | - | 93,251,780 | 5,494,719 |
Collateralized Mortgage Obligations | 63,810,169 | - | 62,792,306 | 1,017,863 |
Commercial Mortgage Securities | 248,058,153 | - | 234,092,585 | 13,965,568 |
Municipal Securities | 13,514,206 | - | 13,514,206 | - |
Foreign Government and Government Agency Obligations | 4,675,060 | - | 4,675,060 | - |
Supranational Obligations | 374,500 | - | 374,500 | - |
Cash Equivalents | 317,121,000 | - | 317,121,000 | - |
Total Investments in Securities: | $ 4,148,749,947 | $ - | $ 4,128,271,797 | $ 20,478,150 |
Derivative Instruments: | ||||
Assets | ||||
Swap Agreements | $ 743,300 | $ - | $ 743,300 | $ - |
Liabilities | ||||
Swap Agreements | $ (12,980,345) | $ - | $ (12,079,265) | $ (901,080) |
Total Derivative Instruments: | $ (12,237,045) | $ - | $ (11,335,965) | $ (901,080) |
Other Financial Instruments: | ||||
Forward Commitments | $ 423,606 | $ - | $ 423,606 | $ - |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value: |
Investments in Securities: | |
Beginning Balance | $ 14,900,634 |
Total Realized Gain (Loss) | 136,491 |
Total Unrealized Gain (Loss) | 3,815,920 |
Cost of Purchases | 188,238 |
Proceeds of Sales | (1,720,010) |
Amortization/Accretion | (345,031) |
Transfers in to Level 3 | 6,118,180 |
Transfers out of Level 3 | (2,616,272) |
Ending Balance | $ 20,478,150 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2011 | $ 3,713,039 |
Derivative Instruments: | |
Swap Agreements | |
Beginning Balance | $ (1,102,753) |
Total Unrealized Gain (Loss) | 201,673 |
Transfers in to Level 3 | - |
Transfers out of Level 3 | - |
Ending Balance | $ (901,080) |
Realized gain (loss) on Swap Agreements for the period | $ 13,339 |
The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at June 30, 2011 | $ 4,849 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
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, 2011. 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 | $ - | $ (12,980,345) |
Interest Rate Risk | ||
Swap Agreements | 743,300 | - |
Total Value of Derivatives (a) | $ 743,300 | $ (12,980,345) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| June 30, 2011 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $317,121,000) - See accompanying schedule: Unaffiliated issuers (cost $4,054,453,033) |
| $ 4,148,749,947 |
Commitment to sell securities on a delayed delivery basis | $ (154,319,050) | |
Receivable for securities sold on a delayed delivery basis | 154,742,656 | 423,606 |
Receivable for investments sold, regular delivery | 87,950,072 | |
Receivable for swap agreements | 4,333 | |
Interest receivable | 25,313,103 | |
Unrealized appreciation on swap agreements | 743,300 | |
Total assets | 4,263,184,361 | |
|
|
|
Liabilities | ||
Payable to custodian bank | $ 11,288 | |
Payable for investments purchased | 102,432,141 | |
Delayed delivery | 331,184,225 | |
Payable for swap agreements | 170,830 | |
Payable for fund shares redeemed | 29,871,936 | |
Distributions payable | 10,424 | |
Unrealized depreciation on swap agreements | 12,980,345 | |
Other payables and accrued expenses | 23,751 | |
Total liabilities | 476,684,940 | |
|
|
|
Net Assets | $ 3,786,499,421 | |
Net Assets consist of: |
| |
Paid in capital | $ 3,672,538,802 | |
Undistributed net investment income | 13,752,206 | |
Accumulated undistributed net realized gain (loss) on investments | 16,829,647 | |
Net unrealized appreciation (depreciation) on investments | 83,378,766 | |
Net Assets, for 35,546,158 shares outstanding | $ 3,786,499,421 | |
Net Asset Value, offering price and redemption price per share ($3,786,499,421 ÷ 35,546,158 shares) | $ 106.52 |
Statement of Operations
| Six months ended June 30, 2011 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 72,440 |
Interest |
| 69,262,352 |
Total income |
| 69,334,792 |
|
|
|
Expenses | ||
Custodian fees and expenses | $ 50,440 | |
Independent trustees' compensation | 6,764 | |
Total expenses before reductions | 57,204 | |
Expense reductions | (6,887) | 50,317 |
Net investment income (loss) | 69,284,475 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 19,843,431 | |
Swap agreements | (1,248,110) |
|
Total net realized gain (loss) |
| 18,595,321 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 30,960,224 | |
Swap agreements | 1,397,027 | |
Delayed delivery commitments | 2,358,661 |
|
Total change in net unrealized appreciation (depreciation) |
| 34,715,912 |
Net gain (loss) | 53,311,233 | |
Net increase (decrease) in net assets resulting from operations | $ 122,595,708 |
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 (loss) | $ 69,284,475 | $ 145,140,671 |
Net realized gain (loss) | 18,595,321 | 143,042,754 |
Change in net unrealized appreciation (depreciation) | 34,715,912 | 25,745,629 |
Net increase (decrease) in net assets resulting | 122,595,708 | 313,929,054 |
Distributions to shareholders from net investment income | (64,038,661) | (145,185,204) |
Distributions to shareholders from net realized gain | (11,120,962) | (132,021,770) |
Total distributions | (75,159,623) | (277,206,974) |
Share transactions | 40,700,499 | 72,938,886 |
Reinvestment of distributions | 75,159,623 | 277,206,974 |
Cost of shares redeemed | (134,887,817) | (586,003,407) |
Net increase (decrease) in net assets resulting from share transactions | (19,027,695) | (235,857,547) |
Total increase (decrease) in net assets | 28,408,390 | (199,135,467) |
|
|
|
Net Assets | ||
Beginning of period | 3,758,091,031 | 3,957,226,498 |
End of period (including undistributed net investment income of $13,752,206 and undistributed net investment income of $8,506,392, respectively) | $ 3,786,499,421 | $ 3,758,091,031 |
Other Information Shares | ||
Sold | 385,204 | 678,877 |
Issued in reinvestment of distributions | 711,656 | 2,605,878 |
Redeemed | (1,280,081) | (5,416,725) |
Net increase (decrease) | (183,221) | (2,131,970) |
Financial Highlights
| Six months ended | Years ended December 31, | ||||
| 2011 | 2010 | 2009 | 2008 | 2007 | 2006 H |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 105.18 | $ 104.52 | $ 94.78 | $ 102.50 | $ 103.02 | $ 100.00 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | 1.942 | 3.943 | 4.762 | 5.319 | 5.534 | 2.814 |
Net realized and unrealized gain (loss) | 1.608 | 4.424 | 9.818 | (7.583) | (.594) | 3.132 |
Total from investment operations | 3.550 | 8.367 | 14.580 | (2.264) | 4.940 | 5.946 |
Distributions from net investment income | (1.900) | (3.947) | (4.580) | (5.236) | (5.385) | (2.826) |
Distributions from net realized gain | (.310) | (3.760) | (.260) | (.220) | (.075) | (.100) |
Total distributions | (2.210) | (7.707) | (4.840) | (5.456) | (5.460) | (2.926) |
Net asset value, end of period | $ 106.52 | $ 105.18 | $ 104.52 | $ 94.78 | $ 102.50 | $ 103.02 |
Total Return B, C | 3.31% | 8.12% | 15.71% | (2.29)% | 4.94% | 5.95% |
Ratios to Average Net Assets E, I |
|
|
|
|
|
|
Expenses before reductions G | -% A | -% | -% | -% | -% | -% A |
Expenses net of fee waivers, if any G | -% A | -% | -% | -% | -% | -% A |
Expenses net of all reductions G | -% A | -% | -% | -% | -% | -% A |
Net investment income (loss) | 3.70% A | 3.65% | 4.75% | 5.35% | 5.42% | 5.23% A |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,786,499 | $ 3,758,091 | $ 3,957,226 | $ 3,162,861 | $ 3,587,807 | $ 2,794,948 |
Portfolio turnover rate F | 342% A | 230% | 141% | 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 if certain expenses had not been reduced during the applicable periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of any 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 reductions from 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, 2011
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 (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 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. 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 market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
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 - 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)
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 June 30, 2011 for the Fund's investments, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. 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 independent pricing services or from dealers who make markets in such securities. For corporate bonds, foreign government and government agency obligations, municipal securities, supranational obligations and U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Dealers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
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). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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. The principal value on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal value. The adjustments to
Semiannual Report
2. Significant Accounting Policies - continued
Investment Transactions and Income - continued
principal due to inflation are reflected as increases or decreases to interest income even though principal is not received until maturity. 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. 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, including 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. 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 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, market discount, financial transactions and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 139,889,498 |
Gross unrealized depreciation | (40,654,037) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 99,235,461 |
|
|
Tax cost | $ 4,049,514,486 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be December 31, 2011.
New Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (FASB) issued an update to Topic 860 - Transfers and Servicing. The update clarifies the assessment of effective control by removing the collateral provision requirement that the seller maintains at all times collateral sufficient to fund substantially all of the cost of purchasing replacement financial assets from others. This may result in a change in accounting treatment from purchases and sales to secured borrowings for certain mortgage dollar roll transactions, and therefore separate accounting of the income and expenses associated with the secured borrowings. This change would have no effect on the net assets or total return of the Fund. The update is effective for transactions entered into on or after December 15, 2011. Management is currently evaluating the potential impact of the update on the accounting for mortgage dollar roll transactions entered into by the Fund. Also in May 2011, the FASB issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
3. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
Notes to Financial Statements - continued
3. Operating Policies - continued
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 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. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including swap agreements, in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. 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.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral in the form of cash or securities, if required, is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank, and is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk |
|
|
Swap Agreements | $ (1,644,452) | $ 1,557,874 |
Interest Rate Risk |
|
|
Swap Agreements | 396,342 | (160,847) |
Totals (a) | $ (1,248,110) | $ 1,397,027 |
(a) A summary of the value of derivatives by risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.
Semiannual Report
4. Derivative Instruments - continued
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront premiums paid or received upon entering a swap 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 gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Risks of loss include credit risk and interest rate risk. 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.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of 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.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller acts as a guarantor of the creditworthiness of a reference obligation. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a "basket" of issuers. 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. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the 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. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller.
As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as 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. 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.
The notional amount of credit default swaps is included in the 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 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 amounted to $13,893,916 representing 0.37% of net assets.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $154,952,550 and $156,013,064, respectively.
Semiannual Report
Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.
7. Expense Reductions.
FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $6,764.
In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $123.
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund according to the following schedule.
Fund | Ownership % |
VIP Asset Manager Portfolio | 13.1% |
VIP Asset Manager: Growth Portfolio | 1.0% |
VIP Balanced Portfolio | 11.8% |
VIP Investment Grade Bond Portfolio | 74.1% |
9. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market's perception of credit quality on securities backed by subprime mortgage loans have resulted in increased volatility of market price and periods of illiquidity that have adversely impacted the valuation of certain issuers of the Fund.
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Garrison Street Trust and Shareholders of Fidelity 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, 2011, 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, 2011 and for the year ended December 31, 2010, and the financial highlights for the six months ended June 30, 2011 and for each of the five years in the period ended December 31, 2010. 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 the 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, 2011, 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, 2011, the results of its operations for the six months then ended, the changes in its net assets for the six months ended June 30, 2011 and for the year ended December 31, 2010, and the financial highlights for the six months ended June 30, 2011, and for each of the five years in the period ended December 31, 2010, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche
DELOITTE & TOUCHE LLP
Boston, Massachusetts
August 15, 2011
Annual Report
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Garrison Street Trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Garrison Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Garrison Street Trust
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 31, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 31, 2011 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 31, 2011 |