0000722574-13-000294.txt : 20130823 0000722574-13-000294.hdr.sgml : 20130823 20130823150958 ACCESSION NUMBER: 0000722574-13-000294 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 15 CONFORMED PERIOD OF REPORT: 20130630 FILED AS OF DATE: 20130823 DATE AS OF CHANGE: 20130823 EFFECTIVENESS DATE: 20130823 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY GARRISON STREET TRUST CENTRAL INDEX KEY: 0000803013 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04861 FILM NUMBER: 131057619 BUSINESS ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 BUSINESS PHONE: 617-563-7000 MAIL ADDRESS: STREET 1: 245 SUMMER STREET CITY: BOSTON STATE: MA ZIP: 02210 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY ADVISOR SERIES V DATE OF NAME CHANGE: 19930706 FORMER COMPANY: FORMER CONFORMED NAME: FIDELITY INVESTMENT SERIES DATE OF NAME CHANGE: 19930706 FORMER COMPANY: FORMER CONFORMED NAME: PLYMOUTH INVESTMENT SERIES /NY/ DATE OF NAME CHANGE: 19920206 0000803013 S000013236 Fidelity VIP Investment Grade Central Investment Portfolio C000035576 Fidelity VIP Investment Grade Central Investment Portfolio N-CSRS 1 main.htm

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)

245 Summer St., Boston, Massachusetts 02210
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

245 Summer St.

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

December 31

 

 

Date of reporting period:

June 30, 2013

Item 1. Reports to Stockholders

Fidelity® VIP
Investment Grade Central Fund

Semiannual Report

June 30, 2013

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. © 2013 FMR LLC. All rights reserved.

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-0813
1.831205.107

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2013 to June 30, 2013).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Annualized Expense RatioB

Beginning
Account Value
January 1, 2013

Ending
Account Value
June 30, 2013

Expenses Paid
During Period*
January 1, 2013
to June 30, 2013

Actual

.0020%

$ 1,000.00

$ 976.70

$ .01

HypotheticalA

 

$ 1,000.00

$ 1,024.78

$ .01

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* 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, 2013

As of December 31, 2012

rfv396

U.S. Government and
U.S. Government
Agency Obligations 62.8%

 

rfv396

U.S. Government and
U.S. Government
Agency Obligations 60.4%

 

rfv399

AAA 2.6%

 

rfv399

AAA 3.1%

 

rfv402

AA 2.4%

 

rfv402

AA 1.5%

 

rfv405

A 9.1%

 

rfv405

A 7.4%

 

rfv408

BBB 18.4%

 

rfv408

BBB 17.3%

 

rfv411

BB and Below 2.1%

 

rfv411

BB and Below 2.0%

 

rfv414

Not Rated 0.1%

 

rfv414

Not Rated 0.0%

 

rfv417

Short-Term Investments
and Net Other Assets
(Liabilities) 2.5%

 

rfv417

Short-Term Investments
and Net Other Assets
(Liabilities) 8.3%

 

rfv420

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, 2013

 

 

6 months ago

Years

6.4

6.5

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 market 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, 2013

 

 

6 months ago

Years

5.3

4.8

Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration.

Asset Allocation (% of fund's net assets)

As of June 30, 2013*

As of December 31, 2012**

rfv396

Corporate Bonds 26.5%

 

rfv396

Corporate Bonds 24.1%

 

rfv399

U.S. Government and
U.S. Government
Agency Obligations 62.8%

 

rfv399

U.S. Government and
U.S. Government
Agency Obligations 60.4%

 

rfv402

Asset-Backed Securities 0.7%

 

rfv402

Asset-Backed Securities 0.5%

 

rfv428

CMOs and Other
Mortgage Related
Securities 5.3%

 

rfv428

CMOs and Other
Mortgage Related
Securities 5.2%

 

rfv431

Municipal Bonds 2.1%

 

rfv431

Municipal Bonds 1.5%

 

rfv414

Other Investments 0.1%

 

rfv435

Other Investments 0.0%

 

rfv417

Short-Term Investments
and Net Other Assets
(Liabilities) 2.5%

 

rfv417

Short-Term Investments
and Net Other Assets
(Liabilities) 8.3%

 

* Foreign investments

4.0%

 

** Foreign investments

3.0%

 

* Futures and Swaps †

0.0%

 

** Futures and Swaps †

0.0%

 

rfv420

† Amount represents less than 0.1%

Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.

Semiannual Report

Investments June 30, 2013

Showing Percentage of Net Assets

Nonconvertible Bonds - 26.5%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.9%

Diversified Consumer Services - 0.2%

Ingersoll-Rand Global Holding Co. Ltd.:

2.875% 1/15/19 (d)

$ 416,000

$ 410,201

4.25% 6/15/23 (d)

2,932,000

2,911,845

5.75% 6/15/43 (d)

2,110,000

2,146,440

 

5,468,486

Media - 1.7%

AOL Time Warner, Inc. 7.625% 4/15/31

1,625,000

2,049,946

Comcast Corp.:

4.65% 7/15/42

5,434,000

5,216,602

4.95% 6/15/16

2,975,000

3,294,673

6.4% 3/1/40

2,058,000

2,462,457

6.45% 3/15/37

1,410,000

1,687,506

COX Communications, Inc. 3.25% 12/15/22 (d)

1,609,000

1,512,888

DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19

4,711,000

5,299,413

Discovery Communications LLC:

3.25% 4/1/23

604,000

566,048

3.7% 6/1/15

2,648,000

2,778,433

4.875% 4/1/43

1,416,000

1,310,361

6.35% 6/1/40

2,421,000

2,722,913

NBCUniversal Media LLC:

3.65% 4/30/15

1,200,000

1,260,746

5.15% 4/30/20

3,234,000

3,680,282

6.4% 4/30/40

3,340,000

3,998,321

News America Holdings, Inc. 7.75% 12/1/45

2,636,000

3,420,953

News America, Inc.:

6.15% 3/1/37

2,331,000

2,529,993

6.15% 2/15/41

1,822,000

2,025,291

Time Warner Cable, Inc.:

4.5% 9/15/42

3,266,000

2,535,321

6.2% 7/1/13

7,000,000

7,000,000

6.75% 7/1/18

4,425,000

5,063,284

Time Warner, Inc.:

5.875% 11/15/16

5,514,000

6,293,305

6.5% 11/15/36

2,337,000

2,645,489

Viacom, Inc.:

3.5% 4/1/17

1,312,000

1,373,387

4.375% 3/15/43 (d)

1,321,000

1,121,694

 

71,849,306

TOTAL CONSUMER DISCRETIONARY

77,317,792

CONSUMER STAPLES - 1.4%

Beverages - 0.4%

Beam, Inc.:

1.75% 6/15/18

2,229,000

2,182,084

1.875% 5/15/17

857,000

855,213

 

 

Principal Amount

Value

3.25% 6/15/23

$ 1,458,000

$ 1,389,051

FBG Finance Ltd. 5.125% 6/15/15 (d)

2,185,000

2,349,865

Fortune Brands, Inc. 5.375% 1/15/16

471,000

514,726

Heineken NV:

1.4% 10/1/17 (d)

2,178,000

2,115,428

2.75% 4/1/23 (d)

2,276,000

2,085,324

SABMiller Holdings, Inc. 3.75% 1/15/22 (d)

3,034,000

3,085,991

 

14,577,682

Food Products - 0.5%

ConAgra Foods, Inc.:

1.9% 1/25/18

1,554,000

1,527,156

3.2% 1/25/23

1,807,000

1,726,937

4.65% 1/25/43

2,013,000

1,866,750

General Mills, Inc. 5.2% 3/17/15

3,528,000

3,788,624

Kraft Foods, Inc.:

5.375% 2/10/20

4,086,000

4,581,166

6.125% 2/1/18

3,684,000

4,256,287

6.5% 8/11/17

3,514,000

4,084,305

6.5% 2/9/40

822,000

981,716

 

22,812,941

Tobacco - 0.5%

Altria Group, Inc.:

2.85% 8/9/22

2,952,000

2,728,047

4.25% 8/9/42

2,952,000

2,521,891

9.7% 11/10/18

2,242,000

2,979,439

Philip Morris International, Inc. 5.65% 5/16/18

2,751,000

3,170,294

Reynolds American, Inc.:

3.25% 11/1/22

2,224,000

2,066,207

4.75% 11/1/42

3,437,000

3,072,730

7.25% 6/15/37

2,962,000

3,527,114

 

20,065,722

TOTAL CONSUMER STAPLES

57,456,345

ENERGY - 3.4%

Energy Equipment & Services - 0.4%

DCP Midstream LLC:

4.75% 9/30/21 (d)

3,739,000

3,806,223

5.35% 3/15/20 (d)

3,724,000

3,963,625

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

3,902,000

4,146,519

5% 10/1/21

1,517,000

1,626,802

FMC Technologies, Inc.:

2% 10/1/17

539,000

529,891

3.45% 10/1/22

978,000

936,316

Transocean, Inc. 5.05% 12/15/16

2,488,000

2,705,053

 

17,714,429

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 3.0%

Anadarko Petroleum Corp. 6.375% 9/15/17

$ 6,869,000

$ 7,896,754

Apache Corp. 4.75% 4/15/43

2,750,000

2,611,290

Chevron Corp.:

2.427% 6/24/20

2,041,000

2,027,929

3.191% 6/24/23

5,148,000

5,119,804

ConocoPhillips 5.75% 2/1/19

3,900,000

4,566,857

DCP Midstream Operating LP:

2.5% 12/1/17

1,990,000

1,963,654

3.875% 3/15/23

1,228,000

1,151,044

Duke Energy Field Services 6.45% 11/3/36 (d)

2,477,000

2,606,158

El Paso Natural Gas Co. 5.95% 4/15/17

3,330,000

3,765,151

Enbridge Energy Partners LP 4.2% 9/15/21

4,399,000

4,470,343

Encana Holdings Finance Corp. 5.8% 5/1/14

320,000

332,617

Marathon Petroleum Corp. 5.125% 3/1/21

2,187,000

2,410,673

Motiva Enterprises LLC 5.75% 1/15/20 (d)

1,496,000

1,706,442

Nakilat, Inc. 6.067% 12/31/33 (d)

1,808,000

2,025,864

Petro-Canada 6.05% 5/15/18

1,480,000

1,714,074

Petrobras Global Finance BV:

4.375% 5/20/23

4,240,000

3,865,184

5.625% 5/20/43

4,185,000

3,632,371

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

3,612,000

3,715,636

5.375% 1/27/21

6,096,000

6,124,615

5.75% 1/20/20

5,084,000

5,289,282

7.875% 3/15/19

4,277,000

4,945,765

Petroleos Mexicanos:

3.5% 1/30/23 (d)

3,410,000

3,145,725

4.875% 1/24/22

3,398,000

3,448,970

5.5% 1/21/21

3,601,000

3,858,472

5.5% 6/27/44

7,115,000

6,421,288

6.5% 6/2/41

6,986,000

7,213,045

Phillips 66:

4.3% 4/1/22

3,770,000

3,893,155

5.875% 5/1/42

3,228,000

3,561,717

Plains All American Pipeline LP/PAA Finance Corp.:

3.65% 6/1/22

1,784,000

1,752,541

3.95% 9/15/15

2,158,000

2,288,462

6.125% 1/15/17

1,250,000

1,419,504

Spectra Energy Capital, LLC 3.3% 3/15/23

5,000,000

4,508,200

Spectra Energy Partners, LP:

2.95% 6/15/16

668,000

684,741

4.6% 6/15/21

873,000

888,947

 

 

Principal Amount

Value

Suncor Energy, Inc. 6.1% 6/1/18

$ 4,665,000

$ 5,436,269

Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16

615,000

697,740

Western Gas Partners LP 5.375% 6/1/21

3,820,000

4,097,175

 

125,257,458

TOTAL ENERGY

142,971,887

FINANCIALS - 13.1%

Capital Markets - 1.6%

BlackRock, Inc. 4.25% 5/24/21

1,183,000

1,261,704

Goldman Sachs Group, Inc.:

3.625% 1/22/23

5,000,000

4,781,035

5.25% 7/27/21

1,125,000

1,203,046

5.625% 1/15/17

3,000,000

3,250,482

5.75% 1/24/22

2,325,000

2,563,201

5.95% 1/18/18

755,000

844,442

6.15% 4/1/18

5,954,000

6,706,883

6.75% 10/1/37

3,421,000

3,507,343

Lazard Group LLC:

6.85% 6/15/17

3,241,000

3,624,145

7.125% 5/15/15

5,585,000

6,063,869

Merrill Lynch & Co., Inc. 6.11% 1/29/37

1,461,000

1,439,417

Morgan Stanley:

2.125% 4/25/18

4,257,000

4,072,548

3.75% 2/25/23

11,138,000

10,644,765

4.875% 11/1/22

4,345,000

4,290,066

5.75% 1/25/21

1,751,000

1,899,754

6.625% 4/1/18

10,165,000

11,517,626

 

67,670,326

Commercial Banks - 1.9%

Bank of America NA 5.3% 3/15/17

3,403,000

3,689,801

Credit Suisse 6% 2/15/18

6,486,000

7,282,818

Discover Bank:

7% 4/15/20

2,309,000

2,693,562

8.7% 11/18/19

1,503,000

1,919,224

Fifth Third Bancorp:

4.5% 6/1/18

1,179,000

1,269,166

8.25% 3/1/38

4,319,000

5,481,731

Fifth Third Capital Trust IV 6.5% 4/15/37 (g)

2,412,000

2,402,955

HBOS PLC 6.75% 5/21/18 (d)

2,600,000

2,752,022

Huntington Bancshares, Inc. 7% 12/15/20

1,004,000

1,195,961

KeyBank NA:

5.45% 3/3/16

1,618,000

1,783,546

5.8% 7/1/14

2,049,000

2,149,596

6.95% 2/1/28

800,000

972,615

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Marshall & Ilsley Bank:

4.85% 6/16/15

$ 1,796,000

$ 1,898,914

5% 1/17/17

4,952,000

5,290,539

Regions Bank:

6.45% 6/26/37

6,622,000

6,953,100

7.5% 5/15/18

5,784,000

6,746,498

Regions Financial Corp.:

2% 5/15/18

4,497,000

4,249,436

5.75% 6/15/15

814,000

878,103

7.75% 11/10/14

2,367,000

2,557,733

Royal Bank of Scotland Group PLC:

6.1% 6/10/23

5,485,000

5,200,877

6.125% 12/15/22

8,239,000

7,835,899

Wachovia Corp. 4.875% 2/15/14

785,000

805,134

Wells Fargo & Co.:

3.625% 4/15/15

2,350,000

2,466,941

3.676% 6/15/16

1,714,000

1,830,993

 

80,307,164

Consumer Finance - 0.9%

Discover Financial Services 3.85% 11/21/22

5,040,000

4,730,277

Ford Motor Credit Co. LLC 1.7% 5/9/16

6,586,000

6,477,588

General Electric Capital Corp.:

1% 12/11/15

3,432,000

3,426,368

2.25% 11/9/15

2,597,000

2,660,871

2.95% 5/9/16

774,000

806,520

3.5% 6/29/15

799,000

833,590

5.625% 5/1/18

9,700,000

11,121,962

HSBC USA, Inc. 1.625% 1/16/18

3,721,000

3,628,942

Hyundai Capital America:

1.625% 10/2/15 (d)

1,373,000

1,368,372

2.125% 10/2/17 (d)

1,518,000

1,467,082

 

36,521,572

Diversified Financial Services - 2.7%

Bank of America Corp.:

3.3% 1/11/23

14,540,000

13,734,222

3.875% 3/22/17

3,077,000

3,221,714

5.75% 12/1/17

12,290,000

13,654,325

6.5% 8/1/16

3,000,000

3,381,828

BP Capital Markets PLC 4.742% 3/11/21

3,000,000

3,262,701

Citigroup, Inc.:

3.375% 3/1/23

2,800,000

2,676,901

3.953% 6/15/16

3,838,000

4,044,918

4.05% 7/30/22

1,800,000

1,729,028

4.75% 5/19/15

10,152,000

10,735,578

6.125% 5/15/18

1,159,000

1,326,280

6.5% 8/19/13

8,073,000

8,132,619

 

 

Principal Amount

Value

JPMorgan Chase & Co.:

1.625% 5/15/18

$ 8,510,000

$ 8,155,193

2% 8/15/17

5,000,000

4,960,610

3.15% 7/5/16

4,200,000

4,361,452

3.2% 1/25/23

973,000

923,118

3.25% 9/23/22

5,719,000

5,426,462

4.35% 8/15/21

4,371,000

4,551,146

4.5% 1/24/22

6,648,000

6,957,591

6.3% 4/23/19

3,920,000

4,551,982

RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (d)

4,259,000

4,135,928

TECO Finance, Inc.:

4% 3/15/16

1,075,000

1,145,844

5.15% 3/15/20

1,545,000

1,707,101

 

112,776,541

Insurance - 2.1%

Allstate Corp. 6.2% 5/16/14

2,709,000

2,839,888

American International Group, Inc.:

4.875% 9/15/16

2,638,000

2,889,111

4.875% 6/1/22

1,252,000

1,333,817

5.6% 10/18/16

3,756,000

4,184,601

Aon Corp.:

3.125% 5/27/16

3,681,000

3,839,456

3.5% 9/30/15

1,538,000

1,612,553

5% 9/30/20

1,402,000

1,536,771

Axis Capital Holdings Ltd. 5.75% 12/1/14

420,000

445,140

Hartford Financial Services Group, Inc. 5.125% 4/15/22

4,644,000

5,050,531

Liberty Mutual Group, Inc. 5% 6/1/21 (d)

4,093,000

4,315,356

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

2,278,000

2,456,465

Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (d)

2,110,000

2,186,798

MetLife, Inc.:

3.048% 12/15/22

3,731,000

3,524,620

4.75% 2/8/21

1,477,000

1,608,886

6.75% 6/1/16

3,234,000

3,700,886

Metropolitan Life Global Funding I:

3% 1/10/23 (d)

2,636,000

2,473,754

5.125% 6/10/14 (d)

2,884,000

3,008,240

Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (d)

2,214,000

2,495,089

Pacific Life Insurance Co. 9.25% 6/15/39 (d)

2,297,000

3,165,588

Pacific LifeCorp:

5.125% 1/30/43 (d)

5,252,000

4,766,973

6% 2/10/20 (d)

4,627,000

5,163,200

Prudential Financial, Inc.:

4.5% 11/16/21

2,157,000

2,271,306

5.8% 11/16/41

2,824,000

3,042,914

6.2% 11/15/40

1,297,000

1,483,055

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Insurance - continued

Prudential Financial, Inc.: - continued

7.375% 6/15/19

$ 1,250,000

$ 1,526,815

Symetra Financial Corp. 6.125% 4/1/16 (d)

6,355,000

6,926,785

Unum Group:

5.625% 9/15/20

2,889,000

3,182,716

5.75% 8/15/42

5,234,000

5,556,990

 

86,588,304

Real Estate Investment Trusts - 1.4%

Alexandria Real Estate Equities, Inc. 4.6% 4/1/22

1,200,000

1,222,318

American Campus Communities Operating Partnership LP 3.75% 4/15/23

1,184,000

1,135,502

Boston Properties, Inc. 3.85% 2/1/23

4,708,000

4,620,662

Camden Property Trust:

2.95% 12/15/22

1,607,000

1,459,182

5.375% 12/15/13

2,985,000

3,044,858

DDR Corp. 4.625% 7/15/22

2,855,000

2,883,696

Developers Diversified Realty Corp.:

4.75% 4/15/18

3,691,000

3,964,581

7.5% 4/1/17

1,944,000

2,253,695

9.625% 3/15/16

1,253,000

1,491,876

Duke Realty LP:

3.625% 4/15/23

2,123,000

1,963,476

3.875% 10/15/22

3,512,000

3,324,828

4.375% 6/15/22

2,340,000

2,313,266

5.4% 8/15/14

2,433,000

2,543,796

5.5% 3/1/16

1,270,000

1,381,850

5.95% 2/15/17

928,000

1,029,503

6.5% 1/15/18

2,445,000

2,810,645

Equity One, Inc.:

3.75% 11/15/22

5,500,000

5,172,981

5.375% 10/15/15

455,000

492,532

6% 9/15/17

2,405,000

2,675,452

Federal Realty Investment Trust 5.9% 4/1/20

1,046,000

1,199,941

Health Care REIT, Inc. 2.25% 3/15/18

1,731,000

1,698,925

HRPT Properties Trust:

5.75% 11/1/15

1,155,000

1,221,649

6.25% 6/15/17

3,000,000

3,218,334

UDR, Inc. 5.5% 4/1/14

3,685,000

3,802,655

United Dominion Realty Trust, Inc. 5.25% 1/15/15

904,000

953,800

Weingarten Realty Investors 3.375% 10/15/22

812,000

744,110

 

58,624,113

 

 

Principal Amount

Value

Real Estate Management & Development - 2.5%

AMB Property LP 5.9% 8/15/13

$ 2,575,000

$ 2,589,273

BioMed Realty LP:

3.85% 4/15/16

3,700,000

3,879,235

4.25% 7/15/22

1,842,000

1,810,021

6.125% 4/15/20

1,392,000

1,556,855

Brandywine Operating Partnership LP:

3.95% 2/15/23

4,271,000

4,013,860

4.95% 4/15/18

2,002,000

2,131,367

5.7% 5/1/17

5,000,000

5,452,185

7.5% 5/15/15

523,000

579,015

Colonial Properties Trust 5.5% 10/1/15

6,290,000

6,785,287

Digital Realty Trust LP:

4.5% 7/15/15

1,829,000

1,920,924

5.25% 3/15/21

1,953,000

2,036,237

ERP Operating LP:

4.625% 12/15/21

5,595,000

5,923,510

4.75% 7/15/20

2,827,000

3,039,132

5.375% 8/1/16

1,066,000

1,188,085

5.75% 6/15/17

5,343,000

6,041,544

Liberty Property LP:

3.375% 6/15/23

2,202,000

2,040,904

4.125% 6/15/22

2,007,000

1,983,823

4.75% 10/1/20

4,185,000

4,404,629

5.5% 12/15/16

2,290,000

2,527,702

6.625% 10/1/17

2,673,000

3,048,185

Mack-Cali Realty LP:

2.5% 12/15/17

2,995,000

2,942,719

3.15% 5/15/23

4,988,000

4,450,229

4.5% 4/18/22

1,218,000

1,223,391

Post Apartment Homes LP 3.375% 12/1/22

790,000

737,655

Prime Property Funding, Inc.:

5.125% 6/1/15 (d)

3,844,000

4,025,556

5.5% 1/15/14 (d)

2,405,000

2,446,188

Reckson Operating Partnership LP 6% 3/31/16

3,099,000

3,376,376

Regency Centers LP:

5.25% 8/1/15

1,468,000

1,578,671

5.875% 6/15/17

2,430,000

2,705,521

Simon Property Group LP:

2.75% 2/1/23

2,705,000

2,481,616

2.8% 1/30/17

857,000

881,997

4.125% 12/1/21

2,399,000

2,489,865

4.2% 2/1/15

1,523,000

1,586,343

5.1% 6/15/15

2,220,000

2,399,895

Tanger Properties LP:

6.125% 6/1/20

4,876,000

5,692,764

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Tanger Properties LP: - continued

6.15% 11/15/15

$ 349,000

$ 389,635

Ventas Realty LP/Ventas Capital Corp. 2% 2/15/18

2,696,000

2,608,720

 

104,968,914

TOTAL FINANCIALS

547,456,934

HEALTH CARE - 1.3%

Biotechnology - 0.1%

Amgen, Inc. 5.15% 11/15/41

4,000,000

3,987,960

Health Care Providers & Services - 0.8%

Aetna, Inc.:

2.75% 11/15/22

2,118,000

1,949,473

4.125% 11/15/42

1,182,000

1,038,456

Express Scripts Holding Co. 4.75% 11/15/21

3,953,000

4,226,943

Express Scripts, Inc. 3.125% 5/15/16

3,450,000

3,586,979

Medco Health Solutions, Inc. 4.125% 9/15/20

2,723,000

2,799,663

UnitedHealth Group, Inc.:

1.625% 3/15/19

1,268,000

1,225,081

2.75% 2/15/23

708,000

658,572

2.875% 3/15/23

5,473,000

5,139,311

3.95% 10/15/42

969,000

834,693

4.25% 3/15/43

3,000,000

2,740,080

WellPoint, Inc.:

3.3% 1/15/23

4,354,000

4,142,322

4.65% 1/15/43

4,641,000

4,330,587

 

32,672,160

Pharmaceuticals - 0.4%

AbbVie, Inc.:

1.75% 11/6/17 (d)

4,266,000

4,178,027

2.9% 11/6/22 (d)

4,376,000

4,089,722

4.4% 11/6/42 (d)

4,273,000

3,973,523

Watson Pharmaceuticals, Inc. 1.875% 10/1/17

1,428,000

1,391,630

Zoetis, Inc.:

1.875% 2/1/18 (d)

676,000

661,531

3.25% 2/1/23 (d)

1,649,000

1,565,798

4.7% 2/1/43 (d)

1,654,000

1,546,305

 

17,406,536

TOTAL HEALTH CARE

54,066,656

 

 

Principal Amount

Value

INDUSTRIALS - 0.6%

Aerospace & Defense - 0.1%

United Technologies Corp. 4.5% 6/1/42

$ 4,137,000

$ 4,084,158

Airlines - 0.2%

Continental Airlines, Inc.:

6.648% 3/15/19

921,692

972,385

6.795% 2/2/20

1,174,421

1,212,589

Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19

2,582,467

2,827,802

U.S. Airways pass-thru trust certificates:

6.85% 1/30/18

872,425

898,598

8.36% 1/20/19

3,752,288

4,108,755

 

10,020,129

Industrial Conglomerates - 0.3%

General Electric Co.:

4.125% 10/9/42

3,309,000

3,082,611

5.25% 12/6/17

7,130,000

8,048,137

 

11,130,748

TOTAL INDUSTRIALS

25,235,035

INFORMATION TECHNOLOGY - 0.1%

Computers & Peripherals - 0.1%

Apple, Inc. 3.85% 5/4/43

5,454,000

4,850,231

MATERIALS - 0.6%

Chemicals - 0.2%

The Dow Chemical Co.:

4.125% 11/15/21

3,587,000

3,666,334

4.25% 11/15/20

1,931,000

2,032,509

4.375% 11/15/42

1,579,000

1,399,051

 

7,097,894

Metals & Mining - 0.4%

Anglo American Capital PLC 9.375% 4/8/14 (d)

2,675,000

2,835,741

Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (d)

3,750,000

3,655,695

Rio Tinto Finance (U.S.A.) PLC 2.5% 12/14/18

4,174,000

4,054,423

Vale Overseas Ltd.:

4.375% 1/11/22

3,818,000

3,624,588

6.25% 1/23/17

3,115,000

3,479,483

 

17,649,930

TOTAL MATERIALS

24,747,824

Nonconvertible Bonds - continued

 

Principal Amount

Value

TELECOMMUNICATION SERVICES - 1.1%

Diversified Telecommunication Services - 0.8%

AT&T, Inc.:

4.35% 6/15/45

$ 11,574,000

$ 10,081,267

5.55% 8/15/41

8,621,000

8,985,461

6.3% 1/15/38

364,000

405,059

CenturyLink, Inc.:

5.15% 6/15/17

330,000

347,325

6% 4/1/17

825,000

888,938

6.15% 9/15/19

2,305,000

2,397,200

Embarq Corp.:

7.082% 6/1/16

2,253,000

2,524,207

7.995% 6/1/36

1,808,000

1,909,165

Verizon Communications, Inc.:

3.85% 11/1/42

1,284,000

1,066,621

6.1% 4/15/18

2,190,000

2,562,552

6.25% 4/1/37

1,380,000

1,576,179

6.9% 4/15/38

2,420,000

2,977,551

 

35,721,525

Wireless Telecommunication Services - 0.3%

America Movil S.A.B. de CV:

2.375% 9/8/16

5,411,000

5,481,576

3.125% 7/16/22

2,875,000

2,647,487

Vodafone Group PLC 5% 12/16/13

2,775,000

2,831,052

 

10,960,115

TOTAL TELECOMMUNICATION SERVICES

46,681,640

UTILITIES - 3.0%

Electric Utilities - 1.7%

AmerenUE 6.4% 6/15/17

3,819,000

4,476,158

American Electric Power Co., Inc.:

1.65% 12/15/17

1,748,000

1,698,675

2.95% 12/15/22

1,655,000

1,539,704

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (d)

2,664,000

2,994,933

6.4% 9/15/20 (d)

6,054,000

6,983,616

Edison International 3.75% 9/15/17

2,401,000

2,538,476

FirstEnergy Corp.:

2.75% 3/15/18

3,523,000

3,428,527

4.25% 3/15/23

5,520,000

5,125,751

7.375% 11/15/31

6,131,000

6,470,431

FirstEnergy Solutions Corp. 6.05% 8/15/21

7,286,000

8,027,817

LG&E and KU Energy LLC:

2.125% 11/15/15

2,670,000

2,727,549

3.75% 11/15/20

525,000

535,644

 

 

Principal Amount

Value

Nevada Power Co. 6.5% 5/15/18

$ 3,165,000

$ 3,775,070

Northeast Utilities:

1.45% 5/1/18

1,125,000

1,091,538

2.8% 5/1/23

5,110,000

4,771,759

Pennsylvania Electric Co. 6.05% 9/1/17

2,905,000

3,301,300

Pepco Holdings, Inc. 2.7% 10/1/15

2,535,000

2,607,633

PPL Capital Funding, Inc. 3.4% 6/1/23

2,425,000

2,296,206

Progress Energy, Inc.:

4.4% 1/15/21

4,274,000

4,536,727

5.625% 1/15/16

2,000,000

2,210,658

 

71,138,172

Gas Utilities - 0.0%

Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21

1,182,000

1,234,149

Independent Power Producers & Energy Traders - 0.1%

PPL Energy Supply LLC:

6.2% 5/15/16

1,229,000

1,366,636

6.5% 5/1/18

2,640,000

3,057,294

PSEG Power LLC 2.75% 9/15/16

919,000

947,476

 

5,371,406

Multi-Utilities - 1.2%

Ameren Illinois Co. 6.125% 11/15/17

1,465,000

1,708,364

Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40

1,395,000

1,599,902

Dominion Resources, Inc. 2.5756% 9/30/66 (g)

11,534,000

10,802,479

MidAmerican Energy Holdings, Co. 6.5% 9/15/37

1,334,000

1,585,572

National Grid PLC 6.3% 8/1/16

4,181,000

4,728,410

NiSource Finance Corp.:

4.45% 12/1/21

1,622,000

1,674,045

5.25% 2/15/43

4,094,000

4,004,178

5.4% 7/15/14

3,885,000

4,059,934

5.45% 9/15/20

613,000

683,275

5.8% 2/1/42

2,085,000

2,149,591

5.95% 6/15/41

3,834,000

4,032,015

6.4% 3/15/18

2,760,000

3,205,011

Sempra Energy:

2.3% 4/1/17

4,185,000

4,237,438

2.875% 10/1/22

1,723,000

1,609,201

Wisconsin Energy Corp. 6.25% 5/15/67 (g)

1,426,000

1,511,560

 

47,590,975

TOTAL UTILITIES

125,334,702

TOTAL NONCONVERTIBLE BONDS

(Cost $1,069,332,191)


1,106,119,046

U.S. Government and Government Agency Obligations - 34.3%

 

Principal Amount

Value

U.S. Government Agency Obligations - 0.0%

U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14

$ 90,000

$ 90,029

U.S. Treasury Obligations - 34.3%

U.S. Treasury Bonds 3.125% 2/15/43

111,447,000

104,168,174

U.S. Treasury Notes:

0.125% 4/30/15

40,516,000

40,357,745

0.25% 9/15/14

59,000

59,021

0.25% 8/15/15

20,500,000

20,424,724

0.5% 7/31/17

26,715,000

26,063,822

0.875% 11/30/16

31,268,000

31,280,226

0.875% 4/30/17

695,000

691,362

0.875% 1/31/18

63,538,000

62,381,418

1% 3/31/17

27,344,000

27,361,090

1% 5/31/18

231,140,000

227,077,021

1.375% 5/31/20

139,818,000

134,836,984

1.75% 5/15/23

49,190,000

46,038,790

1.875% 10/31/17

20,552,000

21,138,061

1.875% 6/30/20

145,964,000

145,325,420

2% 2/15/23

103,904,000

99,918,346

2.375% 8/31/14

115,000,000

117,883,970

2.375% 2/28/15

41,183,000

42,601,878

2.625% 7/31/14 (f)

245,000,000

251,402,567

2.625% 12/31/14

30,935,000

32,028,614

TOTAL U.S. TREASURY OBLIGATIONS

1,431,039,233

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,441,596,437)


1,431,129,262

U.S. Government Agency - Mortgage Securities - 30.9%

 

Fannie Mae - 20.9%

1.811% 9/1/33 (g)

512,510

 

527,380

1.913% 5/1/34 (g)

1,084,569

 

1,124,911

2.054% 10/1/33 (g)

42,908

 

44,880

2.072% 7/1/35 (g)

27,633

 

28,674

2.082% 10/1/33 (g)

694,985

 

727,107

2.175% 3/1/35 (g)

11,988

 

12,359

2.332% 3/1/35 (g)

46,191

 

48,523

2.446% 8/1/36 (g)

1,652,654

 

1,760,755

2.5% 7/1/28 (e)

15,600,000

 

15,675,562

2.5% 7/1/28 (e)

16,600,000

 

16,680,405

2.5% 7/1/28 (e)

7,000,000

 

7,033,906

2.527% 10/1/33 (g)

75,805

 

80,409

2.541% 6/1/36 (g)

94,965

 

101,112

2.605% 7/1/34 (g)

51,306

 

54,112

 

 

Principal Amount

Value

2.607% 5/1/35 (g)

$ 191,355

 

$ 204,429

2.653% 7/1/35 (g)

84,260

 

88,997

2.671% 2/1/36 (g)

838,155

 

895,100

2.679% 11/1/36 (g)

1,124,479

 

1,200,752

2.82% 12/1/35 (g)

413,541

 

436,427

2.827% 5/1/36 (g)

341,342

 

365,690

2.89% 9/1/36 (g)

956,530

 

1,027,074

2.893% 7/1/37 (g)

142,721

 

150,629

3% 4/1/27 to 7/1/43

86,971,504

 

85,899,867

3% 7/1/43 (e)

43,900,000

 

42,877,955

3% 7/1/43 (e)

43,900,000

 

42,877,955

3% 7/1/43 (e)

43,900,000

 

42,877,955

3% 7/1/43 (e)

20,800,000

 

20,315,751

3% 7/1/43 (e)

17,500,000

 

17,092,579

3% 7/1/43 (e)

28,000,000

 

27,348,126

3.5% 1/1/26 to 7/1/43 (e)

168,016,846

 

170,106,854

3.5% 7/1/43 (e)

12,000,000

 

12,177,187

4% 9/1/26 to 7/1/42

91,047,691

 

95,144,321

4% 7/1/28 (e)

8,400,000

 

8,840,463

4% 7/1/43 (e)

4,800,000

 

4,999,125

4% 7/1/43 (e)

11,600,000

 

12,081,219

4.5% 5/1/25 to 11/1/41

79,626,635

 

84,754,042

4.5% 7/1/43 (e)

8,500,000

 

8,992,070

5% 9/1/20 to 6/1/40

31,347,879

 

33,911,016

5% 7/1/43 (e)

3,700,000

 

3,981,951

5.5% 11/1/17 to 3/1/39

54,349,741

 

59,180,296

5.5% 7/1/43 (e)

1,800,000

 

1,954,688

6% 1/1/23 to 1/1/42

33,301,545

 

36,534,795

6% 7/1/43 (e)

1,800,000

 

1,956,375

6.5% 8/1/13 to 8/1/36

7,269,690

 

8,111,049

7% 3/1/15 to 8/1/32

1,243,914

 

1,410,134

7.5% 7/1/16 to 11/1/31

1,078,625

 

1,255,414

8% 1/1/30 to 5/1/30

43,677

 

51,770

8.5% 3/1/25 to 6/1/25

658

 

783

TOTAL FANNIE MAE

873,002,933

Freddie Mac - 4.4%

2.156% 4/1/35 (g)

785,984

 

830,572

2.403% 3/1/36 (g)

164,570

 

172,552

2.459% 1/1/35 (g)

141,844

 

148,567

3% 8/1/42 to 3/1/43

23,476,589

 

22,916,592

3.024% 3/1/33 (g)

12,702

 

13,448

3.16% 11/1/35 (g)

320,082

 

340,159

3.185% 10/1/35 (g)

129,094

 

138,615

3.5% 1/1/26 to 6/1/43

52,498,803

 

53,463,337

4% 6/1/24 to 4/1/42

33,002,657

 

34,440,077

4.5% 7/1/25 to 10/1/41

44,977,143

 

47,636,527

5% 1/1/35 to 9/1/40

18,357,766

 

19,854,499

5.5% 1/1/38

416,958

 

448,523

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

6% 4/1/32 to 8/1/37

$ 3,004,748

 

$ 3,300,117

7.5% 5/1/17 to 11/1/31

109,891

 

127,296

8% 7/1/17 to 5/1/27

6,572

 

7,495

8.5% 3/1/20 to 1/1/28

91,770

 

105,971

TOTAL FREDDIE MAC

183,944,347

Ginnie Mae - 5.6%

3% 7/1/43 (e)

10,600,000

10,474,953

3% 7/1/43 (e)

5,000,000

4,942,578

3% 7/1/43 (e)

3,900,000

3,855,211

3% 7/1/43 (e)

3,600,000

3,558,656

3.5% 1/15/41 to 11/20/42

38,871,153

39,908,260

3.5% 7/1/43 (e)

11,900,000

12,199,359

4% 1/15/25 to 12/15/41

31,965,020

33,825,248

4% 7/1/43 (e)

2,000,000

2,095,781

4% 7/1/43 (e)

2,000,000

2,095,781

4.5% 5/15/39 to 4/15/41

52,295,846

55,864,131

5% 3/15/39 to 6/20/41

48,355,482

52,462,639

6% 3/15/29 to 9/20/38

6,667,395

7,416,861

6.5% 10/15/34 to 11/15/35

302,397

344,102

7% 1/15/28 to 7/15/32

2,330,706

2,680,556

7.5% 4/15/22 to 10/15/28

547,931

632,551

8% 2/15/17 to 9/15/30

38,223

44,160

8.5% 12/15/16 to 3/15/30

7,882

8,799

TOTAL GINNIE MAE

232,409,626

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,301,259,054)


1,289,356,906

Asset-Backed Securities - 0.7%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.663% 4/25/35 (g)

234,160

214,978

ACE Securities Corp. Home Equity Loan Trust Series 2005-HE2 Class M2, 0.868% 4/25/35 (g)

10,370

10,307

Airspeed Ltd. Series 2007-1A Class C1, 2.6925% 6/15/32 (d)(g)

2,451,345

1,397,267

Ally Master Owner Trust:

Series 2011-1 Class A2, 2.15% 1/15/16

3,150,000

3,168,034

 

 

Principal Amount

Value

Series 2011-3 Class A2, 1.81% 5/15/16

$ 2,760,000

$ 2,784,917

Series 2012-3 Class A2, 1.21% 6/15/17

4,120,000

4,129,880

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.243% 12/25/33 (g)

23,668

22,546

Series 2004-R2 Class M3, 1.018% 4/25/34 (g)

34,150

26,892

Series 2005-R2 Class M1, 0.643% 4/25/35 (g)

599,604

587,950

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.973% 3/25/34 (g)

16,878

15,179

Series 2004-W11 Class M2, 1.243% 11/25/34 (g)

198,000

189,722

Series 2004-W7 Class M1, 1.018% 5/25/34 (g)

209,000

204,663

Series 2006-W4 Class A2C, 0.353% 5/25/36 (g)

440,849

148,726

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.018% 4/25/34 (g)

761,780

727,447

Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.333% 12/25/36 (g)

635,000

365,887

CFC LLC Series 2013-1A Class A, 1.65% 7/17/17 (d)

1,161,627

1,158,846

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.4433% 3/25/32 (MGIC Investment Corp. Insured) (g)

11,075

5,524

Series 2004-3 Class M4, 1.648% 4/25/34 (g)

56,336

42,011

Series 2004-4 Class M2, 0.988% 6/25/34 (g)

207,174

188,930

Fannie Mae Series 2004-T5 Class AB3, 0.9235% 5/28/35 (g)

13,702

12,555

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.368% 8/25/34 (g)

102,000

77,377

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.018% 3/25/34 (g)

4,514

3,707

Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17

8,230,000

8,227,724

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.928% 1/25/35 (g)

334,000

275,929

Class M4, 1.213% 1/25/35 (g)

128,000

10,515

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6528% 2/25/47 (d)(g)

829,000

578,227

Asset-Backed Securities - continued

 

Principal Amount

Value

GE Business Loan Trust Series 2003-1 Class A, 0.6225% 4/15/31 (d)(g)

$ 27,205

$ 25,643

GSAMP Trust Series 2004-AR1 Class B4, 3.1055% 6/25/34 (c)(d)

138,597

11,599

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.743% 9/25/46 (d)(g)

451,264

446,751

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.483% 8/25/33 (g)

216,884

198,131

Series 2003-5 Class A2, 0.893% 12/25/33 (g)

11,595

9,909

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.383% 1/25/37 (g)

436,000

214,842

JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.323% 11/25/36 (g)

438,000

414,959

Keycorp Student Loan Trust Series 1999-A Class A2, 0.6061% 12/27/29 (g)

134,066

130,120

MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.493% 5/25/37 (g)

188,520

2,738

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.168% 7/25/34 (g)

26,234

22,170

Series 2006-FM1 Class A2B, 0.303% 4/25/37 (g)

264,766

229,207

Series 2006-OPT1 Class A1A, 0.453% 6/25/35 (g)

438,515

392,506

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.533% 8/25/34 (g)

20,187

19,574

Series 2004-NC8 Class M6, 2.068% 9/25/34 (g)

84,827

54,380

Series 2005-NC1 Class M1, 0.633% 1/25/35 (g)

141,000

135,596

New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.703% 9/25/35 (g)

503,000

451,632

Ocala Funding LLC Series 2006-1A Class A, 1.5916% 3/20/11 (b)(d)(g)

414,000

0

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.443% 9/25/34 (g)

188,000

157,488

Class M4, 1.643% 9/25/34 (g)

241,000

73,166

Series 2005-WCH1 Class M4, 1.023% 1/25/36 (g)

520,000

451,971

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.993% 4/25/33 (g)

1,796

1,671

 

 

Principal Amount

Value

Saxon Asset Securities Trust Series 2004-1 Class M1, 0.988% 3/25/35 (g)

$ 397,451

$ 352,748

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2233% 6/15/33 (g)

406,151

298,816

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.918% 9/25/34 (g)

20,131

13,857

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.053% 9/25/34 (g)

10,148

9,248

Whinstone Capital Management Ltd. Series 1A Class B3, 2.0756% 10/25/44 (d)(g)

630,180

557,709

TOTAL ASSET-BACKED SECURITIES

(Cost $30,203,675)


29,252,171

Collateralized Mortgage Obligations - 1.3%

 

Private Sponsor - 0.5%

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.753% 1/25/35 (g)

548,725

528,890

Granite Master Issuer PLC:

floater:

Series 2006-1A:

Class A1, 0.2616% 12/20/54 (d)(g)

4,717,885

4,571,631

Class C2, 1.3916% 12/20/54 (d)(g)

2,117,000

1,799,450

Series 2006-2:

Class A4, 0.2716% 12/20/54 (g)

1,407,751

1,364,111

Class C1, 1.1316% 12/20/54 (g)

1,885,000

1,602,250

Series 2006-3:

Class A3, 0.2716% 12/20/54 (g)

677,844

656,831

Class A7, 0.3916% 12/20/54 (g)

736,845

714,003

Class C2, 1.1916% 12/20/54 (g)

396,000

336,600

Series 2006-4:

Class A4, 0.2916% 12/20/54 (g)

2,161,015

2,094,024

Class B1, 0.3716% 12/20/54 (g)

1,059,000

968,985

Class C1, 0.9516% 12/20/54 (g)

647,000

549,950

Class M1, 0.5316% 12/20/54 (g)

279,000

247,334

Series 2007-1:

Class 1C1, 0.7916% 12/20/54 (g)

654,000

555,900

Class 1M1, 0.4916% 12/20/54 (g)

425,000

376,763

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Granite Master Issuer PLC: - continued

floater:

Series 2007-1:

Class 2A1, 0.3316% 12/20/54 (g)

$ 1,695,639

$ 1,643,074

Class 2C1, 1.0516% 12/20/54 (g)

298,000

253,300

Class 2M1, 0.6916% 12/20/54 (g)

546,000

484,029

Series 2007-2 Class 2C1, 1.0525% 12/17/54 (g)

757,000

643,450

Series 2007-2 Class 3A1, 0.3725% 12/17/54 (g)

302,494

293,117

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7261% 1/20/44 (g)

151,584

144,486

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.403% 5/25/47 (g)

217,512

160,605

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.363% 2/25/37 (g)

340,184

288,929

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.483% 7/25/35 (g)

572,910

537,649

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5429% 7/10/35 (d)(g)

137,195

126,066

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.643% 6/25/33 (d)(g)

11,317

11,123

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3885% 7/20/34 (g)

10,833

9,994

TOTAL PRIVATE SPONSOR

20,962,544

U.S. Government Agency - 0.8%

Fannie Mae:

floater:

Series 2005-38 Class F, 0.493% 5/25/35 (g)

769,916

771,589

Series 2006-50 Class BF, 0.593% 6/25/36 (g)

967,755

972,744

Series 2006-82 Class F, 0.763% 9/25/36 (g)

1,505,695

1,510,147

Series 2007-36 Class F, 0.423% 4/25/37 (g)

1,221,272

1,222,810

Series 2011-37 Class FA, 0.643% 5/25/41 (g)

3,625,321

3,635,527

Series 2011-40 Class DF, 0.643% 5/25/41 (g)

2,843,428

2,852,935

Series 2013-62 Class FA, 0.493% 6/25/43 (g)

4,322,006

4,320,506

floater sequential payer:

Series 2010-74 Class WF, 0.793% 7/25/34 (g)

993,161

1,005,284

 

 

Principal Amount

Value

Series 2012-120 Class FE 0.493% 2/25/39 (g)

$ 1,890,235

$ 1,894,305

planned amortization class:

Series 1999-54 Class PH, 6.5% 11/18/29

916,226

1,000,667

Series 1999-57 Class PH, 6.5% 12/25/29

737,825

839,158

Series 2002-9 Class PC, 6% 3/25/17

71,138

75,503

sequential payer Series 2004-86 Class KC, 4.5% 5/25/19

85,773

87,670

Freddie Mac:

floater:

Series 2011-3845 Class FA, 0.6125% 4/15/41 (g)

2,004,032

2,006,395

Series 3830 Class FD, 0.5525% 3/15/41 (g)

4,873,080

4,897,909

floater sequential payer Series 2011-3969 Class AF, 0.6425% 10/15/33 (g)

2,251,968

2,254,416

planned amortization class Series 2500 Class TE, 5.5% 9/15/17

1,733,814

1,827,068

Ginnie Mae guaranteed REMIC pass-thru certificates Series 2007-35 Class SC, 39.045% 6/16/37 (g)(i)

83,214

155,165

TOTAL U.S. GOVERNMENT AGENCY

31,329,798

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $50,636,062)


52,292,342

Commercial Mortgage Securities - 4.8%

 

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7114% 5/10/45 (g)

1,079,802

1,121,417

Series 2006-3 Class A4, 5.889% 7/10/44

1,973,000

2,188,264

Series 2006-5 Class A2, 5.317% 9/10/47

6,086,626

6,154,559

Series 2007-3 Class A3, 5.6198% 6/10/49 (g)

6,100,000

6,124,400

Bayview Commercial Asset Trust floater:

Series 2005-4A:

Class A2, 0.583% 1/25/36 (d)(g)

605,646

492,367

Class M1, 0.643% 1/25/36 (d)(g)

126,722

69,734

Class M2, 0.663% 1/25/36 (d)(g)

38,229

19,827

Class M3, 0.693% 1/25/36 (d)(g)

55,574

28,244

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust floater: - continued

Series 2006-3A Class M5, 0.673% 10/25/36 (d)(g)

$ 7,457

$ 392

Series 2007-1 Class A2, 0.463% 3/25/37 (d)(g)

169,353

115,935

Series 2007-2A:

Class A1, 0.463% 7/25/37 (d)(g)

168,806

128,572

Class A2, 0.513% 7/25/37 (d)(g)

158,002

77,171

Class M2, 0.603% 7/25/37 (d)(g)

87,779

14,803

Class M3, 0.683% 7/25/37 (d)(g)

87,779

8,726

Class M4, 0.843% 7/25/37 (d)(g)

185,686

7,078

Class M5, 0.943% 7/25/37 (d)(g)

147,491

4,794

Series 2007-3:

Class A2, 0.483% 7/25/37 (d)(g)

239,997

134,816

Class B1, 1.143% 7/25/37 (d)(g)

38,552

2,911

Class M1, 0.503% 7/25/37 (d)(g)

98,318

35,682

Class M2, 0.533% 7/25/37 (d)(g)

103,360

29,732

Class M3, 0.563% 7/25/37 (d)(g)

225,879

51,457

Class M4, 0.693% 7/25/37 (d)(g)

356,970

71,504

Class M5, 0.793% 7/25/37 (d)(g)

133,612

18,999

Class M6, 0.993% 7/25/37 (d)(g)

100,839

12,104

Series 2007-4A Class M4, 1.793% 9/25/37 (d)(g)

546,116

26,356

Bear Stearns Commercial Mortgage Securities Trust:

floater Series 2007-BBA8:

Class D, 0.4425% 3/15/22 (d)(g)

147,000

139,650

Class E, 0.4925% 3/15/22 (d)(g)

763,000

709,590

Class F, 0.5425% 3/15/22 (d)(g)

468,000

425,880

Class G, 0.5925% 3/15/22 (d)(g)

120,000

106,800

Class H, 0.7425% 3/15/22 (d)(g)

147,000

127,523

Class J, 0.8925% 3/15/22 (d)(g)

147,000

124,215

Series 2006-PW13 Class A3, 5.518% 9/11/41

811,672

811,443

C-BASS Trust floater Series 2006-SC1 Class A, 0.463% 5/25/36 (d)(g)

215,036

196,990

 

 

Principal Amount

Value

Citigroup Commercial Mortgage Trust Series 2007-FL3A Class A2, 0.3325% 4/15/22 (d)(g)

$ 69,176

$ 68,598

Citigroup/Deutsche Bank Commercial Mortgage Trust:

sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49

6,440,000

7,089,384

Series 2007-CD4 Class A3, 5.293% 12/11/49

6,065,000

6,213,144

COMM pass-thru certificates floater:

Series 2005-F10A Class J, 1.0425% 4/15/17 (d)(g)

44,316

40,591

Series 2005-FL11:

Class F, 0.6425% 11/15/17 (d)(g)

52,739

51,882

Class G, 0.6925% 11/15/17 (d)(g)

36,409

35,089

Commercial Mortgage pass-thru certificates Series 2004-LB4A Class A5, 4.84% 10/15/37

7,122,000

7,318,339

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2007-C2 Class A2, 5.448% 1/15/49 (g)

139,391

139,273

Series 2007-C3 Class A4, 5.6801% 6/15/39 (g)

2,528,414

2,809,900

Series 2007-C5 Class A4, 5.695% 9/15/40 (g)

2,750,000

3,070,727

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37

2,570,658

2,593,514

Series 2001-CKN5 Class AX, 1.5139% 9/15/34 (d)(g)(h)

873,131

523

Series 2006-C1 Class A3, 5.4038% 2/15/39 (g)

1,889,692

1,898,095

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class B, 0.3425% 2/15/22 (d)(g)

3,470,000

3,424,186

Class C:

0.3625% 2/15/22 (d)(g)

657,000

646,108

0.4625% 2/15/22 (d)(g)

234,000

226,745

Class F, 0.5125% 2/15/22 (d)(g)

469,000

451,119

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49

5,341,000

5,923,842

Greenwich Capital Commercial Funding Corp. floater Series 2006-FL4 Class B, 0.384% 11/5/21 (d)(g)

3,490,000

3,398,956

Commercial Mortgage Securities - continued

 

Principal Amount

Value

GS Mortgage Securities Corp. II:

floater Series 2007-EOP:

Class A2, 1.2601% 3/6/20 (d)(g)

$ 1,770,000

$ 1,774,459

Class C, 2.0056% 3/6/20 (d)(g)

1,335,000

1,339,430

Class D, 2.2018% 3/6/20 (d)(g)

400,000

401,363

Class E, 2.4764% 3/6/20 (d)(g)

670,000

672,715

Class F, 2.6334% 3/6/20 (d)(g)

335,000

335,859

Class G, 2.7903% 3/6/20 (d)(g)

165,000

165,501

Class H, 3.3004% 3/6/20 (d)(g)

275,000

276,587

Class J, 4.0852% 3/6/20 (d)(g)

395,000

396,437

Series 2006-GG6 Class A2, 5.506% 4/10/38

859,466

876,455

GS Mortgage Securities Trust sequential payer:

Series 2006-GG8 Class A4, 5.56% 11/10/39 (g)

920,000

1,018,897

Series 2007-GG10 Class A2, 5.778% 8/10/45

2,162,614

2,187,430

JPMorgan Chase Commercial Mortgage Securities Corp. Series 2006-LDP7 Class A4, 5.8613% 4/15/45 (g)

2,010,000

2,220,734

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class E, 0.4725% 11/15/18 (d)(g)

58,901

55,845

Class F, 0.5225% 11/15/18 (d)(g)

88,352

83,546

Class G, 0.5525% 11/15/18 (d)(g)

76,973

72,594

Class H, 0.6925% 11/15/18 (d)(g)

58,914

54,974

sequential payer:

Series 2006-CB14 Class A3B, 5.4896% 12/12/44 (g)

1,572,221

1,586,635

Series 2006-LDP9 Class A2, 5.134% 5/15/47 (g)

2,657,349

2,764,071

Series 2007-CB18 Class A4, 5.44% 6/12/47

870,000

963,911

Series 2007-CB19 Class A4, 5.7142% 2/12/49 (g)

1,967,639

2,199,778

Series 2007-LD11 Class A4, 5.8136% 6/15/49 (g)

3,734,597

4,179,373

Series 2007-LDPX Class A3, 5.42% 1/15/49

3,796,000

4,202,833

Series 2005-LDP3 Class A3, 4.959% 8/15/42

159,273

159,139

 

 

Principal Amount

Value

Series 2007-CB19:

Class B, 5.7142% 2/12/49 (g)

$ 755,000

$ 287,231

Class C, 5.7142% 2/12/49 (g)

1,971,000

385,357

Class D, 5.7142% 2/12/49 (g)

2,075,000

221,977

Series 2007-LDP10:

Class CS, 5.466% 1/15/49 (g)

745,000

73,318

Class ES, 5.5196% 1/15/49 (d)(g)

4,663,000

13,661

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8839% 7/15/44 (g)

3,733,000

4,223,423

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2006-C1 Class A2, 5.084% 2/15/31

8,367

8,373

Series 2006-C6 Class A2, 5.262% 9/15/39 (g)

25,632

25,661

Series 2007-C1:

Class A3, 5.398% 2/15/40

4,036,927

4,112,135

Class A4, 5.424% 2/15/40

12,560,000

13,955,567

Series 2007-C2 Class A3, 5.43% 2/15/40

1,165,000

1,277,859

Series 2007-C7 Class A3, 5.866% 9/15/45

4,275,613

4,765,572

Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:

Class F, 0.5325% 9/15/21 (d)(g)

402,971

390,525

Class G, 0.5525% 9/15/21 (d)(g)

795,609

763,080

Class H, 0.5925% 9/15/21 (d)(g)

204,773

192,305

Merrill Lynch Mortgage Trust Series 2007-C1 Class A4, 5.8502% 6/12/50 (g)

4,566,000

5,126,244

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2006-4 Class A3, 5.172% 12/12/49 (g)

490,000

535,397

Series 2007-5 Class A4, 5.378% 8/12/48

750,000

823,347

Series 2007-6 Class A4, 5.485% 3/12/51 (g)

3,875,000

4,287,505

Series 2007-9 Class A4, 5.7% 9/12/49

5,500,000

6,160,044

Series 2006-3 Class ASB, 5.382% 7/12/46 (g)

2,782,548

2,845,981

Series 2007-7 Class B, 5.7365% 6/12/50 (g)

770,000

45,091

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.393% 7/15/19 (d)(g)

113,478

46,810

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Morgan Stanley Capital I Trust: - continued

floater:

Series 2007-XLFA:

Class D, 0.383% 10/15/20 (d)(g)

$ 235,000

$ 227,212

Class E, 0.443% 10/15/20 (d)(g)

294,000

276,172

Class F, 0.493% 10/15/20 (d)(g)

176,000

163,568

Class G, 0.533% 10/15/20 (d)(g)

218,000

200,421

Class H, 0.623% 10/15/20 (d)(g)

137,000

119,102

Class J, 0.773% 10/15/20 (d)(g)

79,407

30,124

sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (g)

4,451,516

4,553,050

Series 2007-HQ12 Class A2, 5.5816% 4/12/49 (g)

3,300,145

3,309,518

Series 2007-IQ14 Class B, 5.7277% 4/15/49 (g)

2,175,000

365,778

Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (d)

3,626,888

4,269,573

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.4725% 9/15/21 (d)(g)

491,000

478,936

Class F, 0.5325% 9/15/21 (d)(g)

661,000

641,454

Class G, 0.5525% 9/15/21 (d)(g)

626,000

591,839

Class J, 0.7925% 9/15/21 (d)(g)

139,000

118,210

Series 2007-WHL8 Class F, 0.6725% 6/15/20 (d)(g)

1,046,000

926,473

sequential payer:

Series 2007-C30 Class A5, 5.342% 12/15/43

10,231,000

11,327,533

Series 2007-C31 Class A4, 5.509% 4/15/47

6,652,000

7,312,570

Series 2007-C32 Class A3, 5.7359% 6/15/49 (g)

10,000,000

11,184,900

Series 2007-C33 Class A4, 5.9241% 2/15/51 (g)

3,970,000

4,416,351

Series 2006-C23 Class A5, 5.416% 1/15/45 (g)

3,010,000

3,300,305

Series 2007-C31 Class C, 5.6793% 4/15/47 (g)

2,455,000

1,723,322

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $200,281,801)


199,073,390

Municipal Securities - 2.1%

 

Principal Amount

Value

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (g)

$ 1,200,000

$ 1,209,108

California Gen. Oblig.:

Series 2009, 7.35% 11/1/39

805,000

1,044,882

6.65% 3/1/22

4,360,000

5,159,755

7.3% 10/1/39

6,270,000

8,090,933

7.5% 4/1/34

5,055,000

6,552,695

7.55% 4/1/39

5,505,000

7,371,415

7.6% 11/1/40

10,310,000

13,962,214

7.625% 3/1/40

1,675,000

2,249,810

Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35

3,790,000

4,548,644

Illinois Gen. Oblig.:

Series 2003, 5.1% 6/1/33

14,835,000

13,766,287

Series 2010, 4.421% 1/1/15

2,850,000

2,967,392

Series 2010-1, 6.63% 2/1/35

3,720,000

3,836,734

Series 2010-3:

6.725% 4/1/35

5,545,000

5,771,901

7.35% 7/1/35

2,580,000

2,842,928

Series 2011:

5.665% 3/1/18

1,595,000

1,747,833

5.877% 3/1/19

6,770,000

7,400,896

TOTAL MUNICIPAL SECURITIES

(Cost $90,530,417)


88,523,427

Foreign Government and Government Agency Obligations - 0.1%

 

United Mexican States 4.75% 3/8/44
(Cost $4,568,172)

4,170,000


3,773,850

Bank Notes - 0.0%

 

Fifth Third Bank 4.75% 2/1/15
(Cost $498,194)

487,000


513,242

Money Market Funds - 7.9%

Shares

Value

Fidelity Cash Central Fund, 0.13% (a)

(Cost $329,170,086)

329,170,086

$ 329,170,086

TOTAL INVESTMENT PORTFOLIO - 108.6%

(Cost $4,518,076,089)

4,529,203,722

NET OTHER ASSETS (LIABILITIES) - (8.6)%

(358,818,793)

NET ASSETS - 100%

$ 4,170,384,929

TBA Sale Commitments

 

Principal Amount

Value

Fannie Mae

2.5% 7/1/28

$ (7,000,000)

$ (7,033,906)

3% 7/1/28

(600,000)

(617,250)

3% 7/1/43

(28,000,000)

(27,348,126)

3.5% 7/1/43

(12,000,000)

(12,177,187)

4% 7/1/28

(8,400,000)

(8,840,463)

4% 7/1/43

(11,600,000)

(12,081,219)

4.5% 7/1/43

(27,700,000)

(29,303,570)

4.5% 7/1/43

(8,500,000)

(8,992,070)

5% 7/1/43

(11,700,000)

(12,591,576)

5% 7/1/43

(3,700,000)

(3,981,951)

5.5% 7/1/43

(1,800,000)

(1,954,688)

6% 7/1/43

(1,800,000)

(1,956,376)

TOTAL FANNIE MAE

(126,878,382)

Ginnie Mae

4% 7/1/43

(2,000,000)

(2,095,781)

4% 7/1/43

(2,000,000)

(2,095,781)

TOTAL GINNIE MAE

(4,191,562)

TOTAL TBA SALE COMMITMENTS

(Proceeds $130,909,121)

$ (131,069,944)

Swaps

Credit Default Swaps

Underlying Reference

Rating(1)

Expiration Date

Clearinghouse/
Counterparty

Fixed Payment Received/(Paid)

Notional
Amount (2)

Value (1)

Upfront Premium Received/(Paid)

Unrealized Appreciation/
(Depreciation)

Sell Protection

Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9

C

Dec. 2034

Bank of America

2.5%

$ 203,185

$ (188,839)

$ 0

$ (188,839)

Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9

C

Dec. 2034

Credit Suisse

2.5%

352,969

(328,048)

0

(328,048)

Morgan Stanley ABS Capital I Inc Series 2004-HE7 Class B3

C

Sep. 2034

Morgan Stanley, Inc.

5.10%

78,601

(50,430)

0

(50,430)

Morgan Stanley ABS Capital I Inc Series 2004-NC6 Class M3

Ca

Aug. 2034

UBS

1.545%

71,913

(32,862)

0

(32,862)

TOTAL CREDIT DEFAULT SWAPS

$ (600,179)

$ 0

$ (600,179)

 

(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings 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.

 

(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

Legend

(a) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

(b) Non-income producing - Security is in default.

(c) 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.

(d) 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 $155,464,271 or 3.7% of net assets.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

(f) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $1,654,126.

(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(h) 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 as of the end of the period.

(i) 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.

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Cash Central Fund

$ 272,051

Other Information

The following is a summary of the inputs used, as of June 30, 2013, 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 table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Corporate Bonds

$ 1,106,119,046

$ -

$ 1,106,119,046

$ -

U.S. Government and Government Agency Obligations

1,431,129,262

-

1,431,129,262

-

U.S. Government Agency - Mortgage Securities

1,289,356,906

-

1,289,356,906

-

Asset-Backed Securities

29,252,171

-

26,266,693

2,985,478

Collateralized Mortgage Obligations

52,292,342

-

52,292,342

-

Commercial Mortgage Securities

199,073,390

-

199,026,580

46,810

Municipal Securities

88,523,427

-

88,523,427

-

Foreign Government and Government Agency Obligations

3,773,850

-

3,773,850

-

Bank Notes

513,242

-

513,242

-

Money Market Funds

329,170,086

329,170,086

-

-

Total Investments in Securities:

$ 4,529,203,722

$ 329,170,086

$ 4,197,001,348

$ 3,032,288

Derivative Instruments:

Liabilities

Swaps

$ (600,179)

$ -

$ (600,179)

$ -

Other Financial Instruments:

TBA Sale Commitments

$ (131,069,944)

$ -

$ (131,069,944)

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Credit Risk

Swaps (a)

$ -

$ (600,179)

Total Value of Derivatives

$ -

$ (600,179)

(a) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value 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, 2013

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $4,188,906,003)

$ 4,200,033,636

 

Fidelity Central Funds (cost $329,170,086)

329,170,086

 

Total Investments (cost $4,518,076,089)

 

$ 4,529,203,722

Cash

 

4,548,326

Receivable for investments sold, regular delivery

99,290,928

Receivable for TBA sale commitments

 

130,909,121

Receivable for swap agreements

1,473

Interest receivable

25,889,969

Distributions receivable from Fidelity Central Funds

29,690

Other receivables

491,421

Total assets

4,790,364,650

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 155,941,337

Delayed delivery

331,273,399

TBA sale commitments, at value

131,069,944

Distributions payable

582,983

Bi-lateral OTC swaps, at value

600,179

Other payables and accrued expenses

511,879

Total liabilities

619,979,721

 

 

 

Net Assets

$ 4,170,384,929

Net Assets consist of:

 

Paid in capital

$ 4,167,193,053

Undistributed net investment income

5,923,251

Accumulated undistributed net realized gain (loss) on investments

(13,098,015)

Net unrealized appreciation (depreciation) on investments

10,366,640

Net Assets, for 40,140,881 shares outstanding

$ 4,170,384,929

Net Asset Value, offering price and redemption price per share ($4,170,384,929 ÷ 40,140,881 shares)

$ 103.89

Statement of Operations

 

Six months ended June 30, 2013

 

 

 

Investment Income

 

 

Interest

 

$ 52,997,408

Income from Fidelity Central Funds

 

272,051

Total income

 

53,269,459

 

 

 

Expenses

Custodian fees and expenses

$ 41,114

Independent trustees' compensation

7,914

Total expenses before reductions

49,028

Expense reductions

(8,326)

40,702

Net investment income (loss)

53,228,757

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(12,564,175)

Swaps

(7,991)

 

Total net realized gain (loss)

 

(12,572,166)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(138,088,185)

Swaps

16,133

Delayed delivery commitments

(121,483)

 

Total change in net unrealized appreciation (depreciation)

 

(138,193,535)

Net gain (loss)

(150,765,701)

Net increase (decrease) in net assets resulting from operations

$ (97,536,944)

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,
2013

Year ended
December 31, 2012

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 53,228,757

$ 117,614,823

Net realized gain (loss)

(12,572,166)

120,265,599

Change in net unrealized appreciation (depreciation)

(138,193,535)

8,093,329

Net increase (decrease) in net assets resulting from operations

(97,536,944)

245,973,751

Distributions to shareholders from net investment income

(52,211,647)

(114,968,209)

Distributions to shareholders from net realized gain

(47,197,834)

(85,937,583)

Total distributions

(99,409,481)

(200,905,792)

Share transactions
Proceeds from sales of shares

118,032,776

291,928,653

Reinvestment of distributions

98,826,498

201,241,629

Cost of shares redeemed

(101,952,090)

(76,195,187)

Net increase (decrease) in net assets resulting from share transactions

114,907,184

416,975,095

Total increase (decrease) in net assets

(82,039,241)

462,043,054

 

 

 

Net Assets

Beginning of period

4,252,424,170

3,790,381,116

End of period (including undistributed net investment income of $5,923,251 and undistributed net investment income of $4,906,141, respectively)

$ 4,170,384,929

$ 4,252,424,170

Other Information

Shares

Sold

1,116,988

2,692,517

Issued in reinvestment of distributions

925,450

1,838,710

Redeemed

(953,025)

(694,031)

Net increase (decrease)

1,089,413

3,837,196

Financial Highlights

 

Six months ended
June 30,

Years ended December 31,

 

2013

2012

2011

2010

2009

2008

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 108.89

$ 107.64

$ 105.18

$ 104.52

$ 94.78

$ 102.50

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  1.349

3.111

3.817

3.943

4.762

5.319

Net realized and unrealized gain (loss)

  (3.835)

3.442

4.385

4.424

9.818

(7.583)

Total from investment operations

  (2.486)

6.553

8.202

8.367

14.580

(2.264)

Distributions from net investment income

  (1.309)

(3.056)

(3.851)

(3.947)

(4.580)

(5.236)

Distributions from net realized gain

  (1.205)

(2.247)

(1.891)

(3.760)

(.260)

(.220)

Total distributions

  (2.514)

(5.303)

(5.742)

(7.707)

(4.840)

(5.456)

Net asset value, end of period

$ 103.89

$ 108.89

$ 107.64

$ 105.18

$ 104.52

$ 94.78

Total Return B,C

  (2.33)%

6.16%

7.96%

8.12%

15.71%

(2.29)%

Ratios to Average Net Assets E,H

 

 

 

 

 

 

Expenses before reductions G

  -% A

-%

-%

-%

-%

-%

Expenses net of fee waivers, if any G

  -% A

-%

-%

-%

-%

-%

Expenses net of all reductions G

  -% A

-%

-%

-%

-%

-%

Net investment income (loss)

  2.54% A

2.84%

3.57%

3.65%

4.75%

5.35%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 4,170,385

$ 4,252,424

$ 3,790,381

$ 3,758,091

$ 3,957,226

$ 3,162,861

Portfolio turnover rate F

  327% A

291%

302%

230%

141%

140%

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 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. 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, 2013

1. Organization.

Fidelity® VIP Investment Grade Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company (FMR), or its affiliates (the Investing Funds).

2. Investments in Fidelity Central Funds.

The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by FMR and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.

3. 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:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment 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 Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.

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)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Brokers 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. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2013 is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. 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 under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

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 swaps, market discount, financing 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

$ 103,392,809

Gross unrealized depreciation

(87,560,320)

Net unrealized appreciation (depreciation) on securities and other investments

$ 15,832,489

 

 

Tax cost

$ 4,513,371,233

Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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. 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.

Semiannual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.

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's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used 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 risk:

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.

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 close out 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 OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. 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 on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. 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 related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

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 as presented in the Statement of Operations.

Primary Risk Exposure / Derivative Type

Net Realized Gain (Loss)

Change in Net Unrealized Appreciation (Depreciation)

Credit Risk

 

 

Swaps (a)

$ (7,991)

$ 16,133

(a) A summary of the value of derivatives by primary risk exposure as of period end, is included at the end of the Schedule of Investments and is representative of activity for the period

Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

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.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps."

Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. 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 will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay 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. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, the Fund will 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. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, the Fund will 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. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Semiannual Report

Notes to Financial Statements - continued

4. Derivative Instruments - continued

Credit Default Swaps - continued

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.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $308,202,527 and $123,201,788, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. FIMM, an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's management contract with FIMM, FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees, and certain exceptions such as interest expense.

7. Expense Reductions.

FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $7,914.

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 $412.

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

11.72

VIP Asset Manager: Growth Portfolio

.83

VIP Balanced Portfolio

11.92

VIP Investment Grade Bond Portfolio

75.53

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, 2013, 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, 2013 and for the year ended December 31, 2012, and the financial highlights for the six months ended June 30, 2013 and for each of the five years in the period ended December 31, 2012. 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, 2013, 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, 2013, the results of its operations for the six months then ended, the changes in its net assets for the six months ended June 30, 2013 and for the year ended December 31, 2012, and the financial highlights for the six months ended June 30, 2013 and for each of the five years in the period ended December 31, 2012, in conformity with accounting principles generally accepted in the United States of America.

DELOITTE & TOUCHE LLP

Boston, Massachusetts

August 15, 2013

Semiannual Report

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Garrison Street Trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Garrison Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Garrison Street Trust

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

August 23, 2013

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/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

August 23, 2013

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

August 23, 2013

EX-99.CERT 2 ex99.htm

Exhibit EX-99.CERT

I, Stephanie J. Dorsey, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Garrison Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting 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 registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: August 23, 2013

/s/Stephanie J. Dorsey

Stephanie J. Dorsey

President and Treasurer

I, Christine Reynolds, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Garrison Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

d. Disclosed in this report any change in the registrant's internal control over financial reporting 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 registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: August 23, 2013

/s/Christine Reynolds

Christine Reynolds

Chief Financial Officer

EX-99.906 CERT 3 ex99_906.htm

Exhibit EX-99.906CERT

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)

In connection with the attached Report of Fidelity Garrison Street Trust (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: August 23, 2013

/s/Stephanie J. Dorsey

Stephanie J. Dorsey

President and Treasurer

Dated: August 23, 2013

/s/Christine Reynolds

Christine Reynolds

Chief Financial Officer

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

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