-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, OGCz6zYo4lHwEu4EKUtzy+Bhgi0zTIdmRVN2J6b/eD0bNQyGhMGIvrHa2eVMjTT3 iboacZMaOOp+C7AJRf4vIQ== 0000803013-04-000014.txt : 20040604 0000803013-04-000014.hdr.sgml : 20040604 20040604100048 ACCESSION NUMBER: 0000803013-04-000014 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20040331 FILED AS OF DATE: 20040604 EFFECTIVENESS DATE: 20040604 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIDELITY GARRISON STREET TRUST CENTRAL INDEX KEY: 0000803013 IRS NUMBER: 000000000 FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-04861 FILM NUMBER: 04848615 BUSINESS ADDRESS: STREET 1: 82 DEVONSHIRE ST STREET 2: MAILZONE Z1C CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 6174391706 MAIL ADDRESS: STREET 1: 82 DEVONSHIRE STREET STREET 2: MAILZONE Z1C CITY: BOSTON STATE: MA ZIP: 02109 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 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)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices) (Zip code)

Eric D. Roiter, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

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

Date of fiscal year end:

September 30

Date of reporting period:

March 31, 2004

Item 1. Reports to Stockholders

Fidelity® Money Market
Central Fund

Semiannual Report

March 31, 2004

Note to Shareholders: Kim Miller became Portfolio Manager of Fidelity Money Market Central Fund on April 1, 2004.

For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov.

CFM-SANN-0504 372266
1.756671.103

Investments March 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Certificates of Deposit - 14.7%

Due
Date

Annualized Yield at
Time of Purchase

Principal
Amount

Value
(Note 1)

London Branch, Eurodollar, Foreign Banks - 8.0%

Barclays Bank PLC

4/13/04

1.12%

$ 5,000,000

$ 5,000,000

BNP Paribas SA

4/19/04

1.11

5,000,000

5,000,000

Credit Agricole Indosuez

8/5/04

1.39

5,000,000

5,000,000

8/5/04

1.40

5,000,000

5,000,000

11/2/04

1.25

5,000,000

5,000,000

Dresdner Bank AG

4/19/04

1.15

5,000,000

5,000,000

HBOS Treasury Services PLC

8/11/04

1.13

10,000,000

10,000,000

Landesbank Hessen-Thuringen

5/12/04

1.21

5,000,000

5,000,000

Societe Generale

11/10/04

1.25

5,000,000

5,000,000

Unicredito Italiano Spa

6/18/04

1.05

10,000,000

10,000,000

9/8/04

1.12

5,000,000

5,000,000

65,000,000

New York Branch, Yankee Dollar, Foreign Banks - 6.7%

BNP Paribas SA

4/1/04

1.04 (b)

5,000,000

4,999,768

Canadian Imperial Bank of Commerce

4/15/04

1.14 (b)

5,000,000

5,000,000

Credit Agricole Indosuez

4/1/04

1.04 (b)

5,000,000

5,000,000

4/1/04

1.07 (b)

5,000,000

4,999,992

Deutsche Bank AG

11/26/04

1.23

5,000,000

5,000,000

12/16/04

1.20

20,000,000

20,000,000

Societe Generale

4/1/04

1.04 (b)

5,000,000

4,999,116

4/8/04

1.03 (b)

5,000,000

4,998,584

54,997,460

TOTAL CERTIFICATES OF DEPOSIT

119,997,460

Commercial Paper - 17.0%

Due
Date

Annualized Yield at
Time of Purchase

Principal
Amount

Value
(Note 1)

Citibank Credit Card Master Trust I (Dakota Certificate Program)

4/20/04

1.05%

$ 5,000,000

$ 4,997,229

5/4/04

1.05

5,000,000

4,995,188

Credit Suisse First Boston New York Branch

5/4/04

1.05

5,000,000

4,995,188

DaimlerChrysler NA Holding Corp.

5/11/04

1.22

2,000,000

1,997,289

Dresdner U.S. Finance, Inc.

4/19/04

1.15

5,000,000

4,997,138

Emerald (MBNA Credit Card Master Note Trust)

4/6/04

1.03

8,000,000

7,998,856

5/18/04

1.05

5,000,000

4,993,146

Ford Motor Credit Co.

4/21/04

1.33

5,000,000

4,996,306

General Electric Capital Corp.

5/3/04

1.15

10,000,000

9,989,867

5/4/04

1.19

5,000,000

4,994,592

7/7/04

1.26

10,000,000

9,966,319

Grampian Funding Ltd.

6/11/04

1.05

5,000,000

4,989,646

6/23/04

1.06

5,000,000

4,987,781

Jupiter Securitization Corp.

4/8/04

1.03

5,801,000

5,799,838

Motown Notes Program

5/13/04

1.06

5,000,000

4,993,817

Paradigm Funding LLC

4/12/04

1.04

2,000,000

1,999,364

Park Granada LLC

5/11/04

1.06

3,500,000

3,495,878

6/4/04

1.05

10,000,000

9,981,333

6/7/04

1.05

5,000,000

4,990,229

Sheffield Receivables Corp.

4/2/04

1.04

33,000,000

32,999,044

TOTAL COMMERCIAL PAPER

139,158,048

Federal Agencies - 28.4%

Due
Date

Annualized Yield at
Time of Purchase

Principal
Amount

Value
(Note 1)

Fannie Mae - 17.7%

Agency Coupons - 8.6%

4/9/04

1.31%

$ 5,000,000

$ 5,000,000

6/10/04

1.05 (b)

10,000,000

10,000,000

6/23/04

1.04 (b)

20,000,000

19,996,382

11/15/04

1.43

5,000,000

5,000,000

2/15/05

1.40

10,000,000

10,000,000

2/23/05

1.33

5,000,000

5,000,000

3/29/05

1.40

15,000,000

15,000,000

69,996,382

Discount Notes - 9.1%

5/12/04

1.15

5,000,000

4,993,508

5/19/04

1.15

10,000,000

9,984,800

5/28/04

1.16

4,413,000

4,404,965

6/10/04

1.21

10,000,000

9,976,667

6/14/04

1.21

25,000,000

24,938,333

1/7/05

1.26

20,589,000

20,388,895

74,687,168

144,683,550

Federal Home Loan Bank - 8.3%

Agency Coupons - 8.3%

4/16/04

0.99 (b)

15,000,000

14,988,978

4/25/04

1.01 (b)

9,000,000

8,995,163

6/21/04

1.04 (b)

10,000,000

9,998,044

8/4/04

1.25

5,000,000

5,000,000

11/15/04

1.19

3,700,000

3,766,384

2/25/05

1.40

20,000,000

20,000,000

4/29/05

1.35

5,000,000

5,000,000

67,748,569

Freddie Mac - 2.4%

Agency Coupons - 1.2%

4/3/04

1.17

10,000,000

10,000,000

Discount Notes - 1.2%

6/14/04

1.21

5,000,000

4,987,667

2/8/05

1.33

5,000,000

4,943,051

9,930,718

19,930,718

TOTAL FEDERAL AGENCIES

232,362,837

Bank Notes - 1.8%

Due
Date

Annualized Yield at
Time of Purchase

Principal
Amount

Value
(Note 1)

National City Bank, Indiana

4/1/04

1.04% (b)

$ 5,000,000

$ 4,999,795

Wells Fargo Bank NA, San Francisco

4/1/04

1.04 (b)

10,000,000

9,999,787

TOTAL BANK NOTES

14,999,582

Master Notes - 3.3%

General Motors Acceptance Corp. Mortgage Credit

4/1/04

1.60 (c)

5,000,000

5,000,000

Goldman Sachs Group, Inc.

7/8/04

1.25 (c)

5,000,000

5,000,000

8/26/04

1.22 (c)

7,000,000

7,000,000

9/14/04

1.21 (c)

5,000,000

5,000,000

9/30/04

1.25 (c)

5,000,000

5,000,000

TOTAL MASTER NOTES

27,000,000

Medium-Term Notes - 10.1%

Bank of New York Co., Inc.

4/27/04

1.08 (a)(b)

5,000,000

5,000,000

Chase Manhattan Auto Owner Trust

8/16/04

1.04

152,475

152,475

Citigroup, Inc.

5/7/04

1.20 (b)

15,000,000

15,015,769

GE Life & Annuity Assurance Co.

4/1/04

1.20 (b)(c)

15,000,000

15,000,000

General Electric Capital Corp.

4/13/04

1.18 (b)

5,000,000

5,000,000

4/19/04

1.17 (b)

8,000,000

8,003,089

4/22/04

1.21 (b)

1,000,000

1,000,087

HBOS Treasury Services PLC

6/24/04

1.11 (b)

5,000,000

5,000,000

Morgan Stanley

4/27/04

1.10 (b)

5,000,000

5,000,000

SLM Corp.

4/26/04

1.27 (b)

8,000,000

8,004,342

Medium-Term Notes - continued

Due
Date

Annualized Yield at
Time of Purchase

Principal
Amount

Value
(Note 1)

Verizon Global Funding Corp.

6/15/04

1.20% (b)

$ 5,000,000

$ 5,000,131

6/15/04

1.22 (b)

5,000,000

5,000,000

6/15/04

1.56 (b)

5,000,000

5,000,000

TOTAL MEDIUM-TERM NOTES

82,175,893

Short-Term Notes - 0.6%

New York Life Insurance Co.

4/1/04

1.29 (b)(c)

5,000,000

5,000,000

Municipal Securities - 7.2%

California Dept. of Wtr. Resources Pwr. Supply Rev.
Series 2002 B2, 1.15%, LOC BNP Paribas SA,
VRDN (b)

13,750,000

13,750,000

Hayes Green Beach Memorial Hosp. Corp. 1.19%,
LOC Fifth Third Bank, Cincinnati, VRDN (b)

4,950,000

4,950,000

Houston Gen. Oblig. Series A, 0.95% 5/19/04, CP

20,000,000

19,996,509

Savannah College Art & Design, Inc. Series 2004 BD, 1.09%, LOC Bank of America NA, VRDN (b)

12,000,000

12,000,000

West Baton Rouge Parish Indl. District #3 Rev. Bonds
(Dow Chemical Co. Proj.) Series 1995, 1.18% tender 4/5/04, CP mode

8,000,000

8,000,000

TOTAL MUNICIPAL SECURITIES

58,696,509

Repurchase Agreements - 17.5%

Maturity
Amount

Value
(Note 1)

In a joint trading account (Collateralized by U.S. Government Obligations dated 3/31/04 due 4/1/04 At 1.09%)

$ 696,021

$ 696,000

With:

Banc of America Securities LLC At 1.14%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $18,300,516, 5.25% - 7%, 8/15/06 - 2/1/13)

20,000,633

20,000,000

Citigroup Global Markets, Inc. At 1.12%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $61,232,429, 4.91% - 9.88%, 8/15/06 - 4/25/34)

35,001,089

35,000,000

Countrywide Securities Corp. At 1.13%, dated 1/30/04 due 4/29/04 (Collateralized by Mortgage Loan Obligations with principal amounts of $10,701,702, 4.11%, 10/25/43)

10,028,250

10,000,000

Goldman Sachs & Co. At 1.12%, dated 2/27/04 due 4/8/04 (Collateralized by Corporate Obligations with principal amounts of $15,239,679, 7.2% - 12.75%, 11/1/04 - 9/30/07)

15,019,133

15,000,000

J.P. Morgan Securities, Inc. At 1.13%, dated 2/23/04 due 4/26/04 (Collateralized by Corporate Obligations with principal amounts of $10,355,560, 6% - 7.88%, 10/1/09 - 10/15/27)

10,019,775

10,000,000

Lehman Brothers, Inc. At 1.21%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $5,310,000, 8.5%, 3/1/31)

7,000,235

7,000,000

Merrill Lynch, Pierce, Fenner & Smith At 1.19%, dated 3/31/04 due 4/1/04 (Collateralized by Corporate Obligations with principal amounts of $34,337,000, 3.63% - 9.75%, 11/15/04 - 6/15/32)

35,001,159

35,000,000

Morgan Stanley & Co. At 1.13%, dated 3/17/04 due 5/5/04 (Collateralized by Mortgage Loan Obligations with principal amounts of $11,863,196, 5%, 10/25/33)

10,015,381

10,000,000

TOTAL REPURCHASE AGREEMENTS

142,696,000

TOTAL INVESTMENT PORTFOLIO - 100.6%

822,086,329

NET OTHER ASSETS - (0.6)%

(4,914,790)

NET ASSETS - 100%

$ 817,171,539

Total Cost for Income Tax Purposes $ 822,086,329

Security Type Abbreviations

CP - COMMERCIAL PAPER

VRDN - VARIABLE RATE DEMAND NOTE

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $5,000,000 or 0.6% of net assets.

(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflect the next interest rate reset date or, when applicable, the final maturity date.

(c) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $47,000,000 or 5.8% of net assets.

Additional information on each holding is as follows:

Security

Acquisition
Date

Cost

GE Life & Annuity Assurance Co. 1.2%, 4/1/04

3/31/03

$ 15,000,000

General Motors Acceptance Corp. Mortgage Credit 1.6%, 4/1/04

3/1/04

$ 5,000,000

Goldman Sachs Group, Inc.:
1.21%, 9/14/04

2/17/04

$ 5,000,000

1.22%, 8/26/04

1/27/04

$ 7,000,000

1.25%, 7/8/04

1/5/04

$ 5,000,000

1.25%, 9/30/04

3/3/04

$ 5,000,000

New York Life Insurance Co. 1.29%, 4/1/04

2/28/02

$ 5,000,000

Other Information

The fund participated in the interfund lending program as a lender. The average daily loan balance during the period for which loans were outstanding amounted to $15,198,556. The weighted average interest rate was 1.15%. Interest earned from the interfund lending program amounted to $4,374 and is included in interest income on the Statement of Operations. At period end, there were no interfund loans outstanding.

Income Tax Information

At September 30, 2003, the fund had a capital loss carryforward of approximately $10,000 all of which will expire on September 30, 2011.

Semiannual Report

See accompanying notes which are an integral part of the financial statements.

Financial Statements

Statement of Assets and Liabilities

March 31, 2004 (Unaudited)

Assets

Investment in securities, at value (including repurchase agreements of $142,696,000) - See accompanying schedule

$ 822,086,329

Cash

788

Interest receivable

784,851

Prepaid expenses

3,271

Total assets

822,875,239

Liabilities

Payable for investments purchased

$ 5,000,000

Distributions payable

686,367

Other payables and accrued expenses

17,333

Total liabilities

5,703,700

Net Assets

$ 817,171,539

Net Assets consist of:

Paid in capital

$ 817,189,927

Accumulated net realized gain (loss) on investments

(18,388)

Net Assets, for 817,163,441 shares outstanding

$ 817,171,539

Net Asset Value, offering price and redemption price per share ($817,171,539 ÷ 817,163,441 shares)

$ 1.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Six months ended March 31, 2004 (Unaudited)

Investment Income

Interest

$ 4,817,805

Expenses

Non-interested trustees' compensation

$ 1,885

Custodian fees and expenses

7,486

Audit

12,330

Legal

681

Insurance

2,030

Total expenses

24,412

Net investment income

4,793,393

Net realized gain (loss) on investment securities

(989)

Net increase in net assets resulting from operations

$ 4,792,404

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

Six months ended
March 31, 2004
(Unaudited)

Year ended
September 30,
2003

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 4,793,393

$ 10,911,318

Net realized gain (loss)

(989)

(7,359)

Net increase (decrease) in net assets resulting
from operations

4,792,404

10,903,959

Distributions to shareholders from net investment income

(4,793,393)

(10,911,318)

Share transactions at net asset value of $1.00 per share
Proceeds from sales of shares

-

55,000,000

Reinvestment of distributions

729,501

1,049,493

Cost of shares redeemed

-

(5,217,402)

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

729,501

50,832,091

Total increase (decrease) in net assets

728,512

50,824,732

Net Assets

Beginning of period

816,443,027

765,618,295

End of period

$ 817,171,539

$ 816,443,027

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights

Six months ended
March 31, 2004

Years ended September 30,

(Unaudited)

2003

2002

2001

2000 D

Selected Per-Share Data

Net asset value,
beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

Net investment income

.006

.014

.022

.054

.013

Distributions from net investment income

(.006)

(.014)

(.022)

(.054)

(.013)

Net asset value,
end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B

.59%

1.43%C

2.24%C

5.51%C

1.25%C

Ratios to Average Net Assets E

Expenses before expense reductions

.0060% A

.0073%

.0076%

.0095%

.0133% A

Expenses net of voluntary waivers, if any

.0060% A

.0073%

.0076%

.0095%

.0133% A

Expenses net of all reductions

.0060% A

.0073%

.0076%

.0094%

.0133% A

Net investment income

1.17% A

1.42%

2.24%

5.40%

6.79% A

Supplemental Data

Net assets, end of period
(000 omitted)

$ 817,172

$ 816,443

$ 765,618

$ 852,435

$ 876,078

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D For the period July 24, 2000 (commencement of operations) to September 30, 2000.

E Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other 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 March 31, 2004 (Unaudited)

1. Significant Accounting Policies.

Fidelity Money Market 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 (the investing funds) managed by Fidelity Management & Research Company (FMR), or its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:

Security Valuation. As permitted under Rule 2a-7 of the 1940 Act, and certain conditions therein, securities are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium. Investments in open-end investment companies are valued at their net asset value each business day.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. There were no significant book-to-tax differences during the period.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations, corporate obligations and mortgage loan obligations which may be below investment-grade quality, and equity securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

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.

3. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the fund with investment management services. The fund does not pay any fees for these services.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating funds. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

4. Other Information.

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.

Semiannual Report

Fidelity® Ultra-Short
Central Fund

Semiannual Report

March 31, 2004

For a free copy of the fund's proxy voting guidelines visit www.fidelity.com/goto/proxyguidelines, call 1-800-544-8544, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov.

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 Corp. or an affiliated company.

USC-SANN-0504 372849
1.771938.102

Investments March 31, 2004 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 5.0%

Principal
Amount

Value
(Note 1)

CONSUMER DISCRETIONARY - 1.4%

Auto Components - 0.2%

DaimlerChrysler NA Holding Corp. 2.13% 8/8/06 (d)

$ 11,000,000

$ 11,126,577

Media - 1.2%

AOL Time Warner, Inc. 5.625% 5/1/05

15,000,000

15,616,170

Continental Cablevision, Inc. 8.3% 5/15/06

8,000,000

8,915,768

Cox Communications, Inc. 7.5% 8/15/04

8,504,000

8,671,997

Liberty Media Corp. 2.61% 9/17/06 (d)

17,000,000

17,201,688

Time Warner, Inc. 7.75% 6/15/05

7,500,000

8,015,415

Walt Disney Co. 4.875% 7/2/04

11,130,000

11,226,998

69,648,036

TOTAL CONSUMER DISCRETIONARY

80,774,613

ENERGY - 0.2%

Oil & Gas - 0.2%

Pemex Project Funding Master Trust 2.65% 1/7/05 (a)(d)

10,000,000

10,039,380

FINANCIALS - 1.8%

Capital Markets - 0.2%

Salomon Smith Barney Holdings, Inc. 1.46% 5/4/04 (d)

1,000,000

1,000,283

State Street Capital Trust II 1.62% 2/15/08 (d)

10,000,000

10,071,310

11,071,593

Commercial Banks - 0.1%

PNC Funding Corp. 1.495% 10/29/04 (d)

4,000,000

4,009,048

Consumer Finance - 0.8%

American General Finance Corp. 1.53% 8/13/04 (d)

5,000,000

5,007,500

Ford Motor Credit Co. 2.995% 10/25/04 (d)

10,000,000

10,063,340

General Motors Acceptance Corp.:

2.37% 10/20/05 (d)

5,000,000

5,036,145

6.75% 1/15/06

4,975,000

5,317,310

Household Finance Corp. 8% 5/9/05

11,000,000

11,762,278

John Deere Capital Corp. 1.71% 9/17/04 (d)

8,000,000

8,018,400

45,204,973

Diversified Financial Services - 0.2%

Deutsche Telekom International Finance BV 8.25% 6/15/05

12,500,000

13,457,300

Real Estate - 0.3%

Arden Realty LP 8.875% 3/1/05

3,964,000

4,206,097

Camden Property Trust 7% 4/15/04

7,000,000

7,009,772

Nonconvertible Bonds - continued

Principal
Amount

Value
(Note 1)

FINANCIALS - continued

Real Estate - continued

Duke Realty LP 6.875% 3/15/05

$ 6,500,000

$ 6,816,381

Regency Centers LP 7.125% 7/15/05

700,000

746,064

18,778,314

Thrifts & Mortgage Finance - 0.2%

Home Savings of America FSB 6.5% 8/15/04

10,000,000

10,154,080

TOTAL FINANCIALS

102,675,308

INDUSTRIALS - 0.4%

Aerospace & Defense - 0.2%

Bombardier Capital, Inc. 7.5% 8/15/04 (a)

10,000,000

10,225,700

Industrial Conglomerates - 0.2%

Tyco International Group SA yankee:

6.375% 6/15/05

6,200,000

6,490,774

6.375% 2/15/06

3,000,000

3,194,085

9,684,859

TOTAL INDUSTRIALS

19,910,559

MATERIALS - 0.0%

Paper & Forest Products - 0.0%

Boise Cascade Corp. 7.35% 10/11/04

1,500,000

1,526,568

TELECOMMUNICATION SERVICES - 0.8%

Diversified Telecommunication Services - 0.5%

British Telecommunications PLC 7.875% 12/15/05

4,500,000

4,933,337

France Telecom SA 8.2% 3/1/06

10,200,000

11,271,989

GTE Corp. 6.36% 4/15/06

9,000,000

9,736,596

Telefonica Europe BV 7.35% 9/15/05

4,500,000

4,855,802

30,797,724

Wireless Telecommunication Services - 0.3%

AT&T Wireless Services, Inc. 7.35% 3/1/06

5,500,000

6,031,889

Vodafone Group PLC 7.625% 2/15/05

8,200,000

8,631,755

14,663,644

TOTAL TELECOMMUNICATION SERVICES

45,461,368

Nonconvertible Bonds - continued

Principal
Amount

Value
(Note 1)

UTILITIES - 0.4%

Electric Utilities - 0.4%

Cleveland Electric Illuminating Co./Toledo Edison Co. 7.67% 7/1/04

$ 13,850,000

$ 14,048,540

DTE Energy Co. 6% 6/1/04

6,410,000

6,454,107

20,502,647

TOTAL NONCONVERTIBLE BONDS

(Cost $277,302,184)

280,890,443

U.S. Government Agency Obligations - 5.2%

Fannie Mae 0% 4/21/04 (c)

3,000,000

2,998,368

Federal Home Loan Bank:

1.265% 3/15/05

200,000,000

199,967,389

1.35% 4/29/05

90,000,000

89,842,770

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $292,969,504)

292,808,527

Asset-Backed Securities - 37.1%

ACE Securities Corp.:

Series 2001-NC1 Class M1, 1.73% 1/25/31 (d)

10,229,191

10,268,038

Series 2002-HE1 Class M1, 1.74% 6/25/32 (d)

2,110,000

2,128,730

Series 2002-HE1, Class A, 1.43% 6/25/32 (d)

6,652,038

6,668,135

Series 2002-HE2 Class M1, 1.94% 8/25/32 (d)

19,950,000

20,145,444

Series 2003-FM1 Class M2, 2.94% 11/25/32 (d)

3,015,000

3,076,822

Series 2003-HS1:

Class M1, 1.84% 6/25/33 (d)

800,000

805,000

Class M2, 2.84% 6/25/33 (d)

856,000

870,178

Series 2003-NC1 Class M1, 1.87% 7/25/33 (d)

1,600,000

1,600,000

Series 2003-TC1 Class A2, 1.48% 6/25/33 (d)

2,326,569

2,336,284

Series 2004-HE1:

Class M1, 1.59% 2/25/34 (d)

2,193,000

2,193,000

Class M2, 2.19% 2/25/34 (d)

2,475,000

2,475,000

American Express Credit Account Master Trust:

Series 1999-3 Class B, 1.43% 12/15/06 (d)

10,000,000

10,002,345

Series 2002-4 Class B, 1.4% 2/15/08 (d)

10,000,000

10,028,545

Series 2002-6 Class B, 1.54% 3/15/10 (d)

5,000,000

5,045,184

Series 2004-1 Class B, 1.3413% 9/15/11 (d)

5,775,000

5,788,608

AmeriCredit Automobile Receivables Trust:

Series 2000-D Class A4, 1.31% 9/12/07 (d)

1,781,772

1,784,061

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

AmeriCredit Automobile Receivables Trust: - continued

Series 2001-C Class A3, 1.25% 4/12/06 (d)

$ 618,111

$ 618,408

Series 2001-D Class A3, 1.4% 9/12/06 (d)

6,302,617

6,306,250

Series 2002-A Class A3, 1.3% 10/12/06 (d)

4,143,836

4,144,862

Series 2002-EM Class A4A, 3.67% 6/8/09

25,000,000

25,770,055

Series 2003-AM:

Class A3B, 1.47% 6/6/07 (d)

4,750,000

4,751,478

Class A4B, 1.57% 11/6/09 (d)

12,400,000

12,493,289

Series 2003-BX Class A4B, 1.48% 1/6/10 (d)

3,265,000

3,291,465

Series 2003-CF Class A3, 2.75% 10/9/07

17,500,000

17,797,129

Ameriquest Mortgage Securities, Inc.:

Series 2002-3 Class M1, 1.79% 8/25/32 (d)

5,000,000

5,029,788

Series 2002-4 Class A2, 1.53% 2/25/33 (d)

1,824,420

1,833,204

Series 2002-AR1:

Class A2, 1.41% 9/25/32 (d)

6,705,611

6,712,717

Class M2, 2.39% 9/25/32 (d)

1,698,000

1,710,481

Series 2003-1:

Class A2, 1.5% 2/25/33 (d)

5,244,886

5,267,894

Class M1, 1.99% 2/25/33 (d)

3,330,000

3,383,050

Series 2003-3:

Class M1, 1.89% 3/25/33 (d)

1,590,000

1,599,938

Class S, 5% 9/25/05 (f)

13,372,340

597,054

Series 2003-6:

Class AV3, 1.41% 5/25/33 (d)

10,845,979

10,868,978

Class M2, 2.94% 5/25/33 (d)

2,750,000

2,805,357

Series 2003-AR1 Class M1, 2.24% 1/25/33 (d)

7,000,000

7,074,496

Series 2004-R2:

Class M1, 1.53% 4/25/34 (d)

1,230,000

1,230,000

Class M2, 1.58% 4/25/34 (d)

950,000

950,000

Class M3, 1.64% 4/25/34 (d)

3,500,000

3,500,000

Class M4, 2.14% 4/25/34 (d)

4,500,000

4,500,000

Amortizing Residential Collateral Trust:

Series 2000-BC3 Class M1, 1.69% 9/25/30 (d)

20,000,000

20,027,550

Series 2002-BC3 Class A, 1.42% 6/25/32 (d)

8,680,344

8,702,736

Series 2002-BC6:

Class A2, 1.44% 8/25/32 (d)

2,227,771

2,232,585

Class M1, 1.84% 8/25/32 (d)

24,900,000

25,145,596

Series 2002-BC7:

Class M1, 1.89% 10/25/32 (d)

10,000,000

10,075,000

Class M2, 1.99% 10/25/32 (d)

5,575,000

5,624,858

Series 2002-BC9 Class A2, 1.57% 12/25/32 (d)

2,880,145

2,897,251

Series 2003-BC1 Class M2, 2.19% 1/25/32 (d)

2,480,000

2,487,805

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

AQ Finance NIMS Trust:

Series 2002-N5A Class NOTE, 1.52% 10/25/09 (a)(d)

$ 893,822

$ 894,101

Series 2003-N6A Class NOTE, 1.39% 5/25/10 (a)(d)

4,618,158

4,618,158

Argent Securities, Inc.:

Series 2003-W3 Class M2, 2.89% 9/25/33 (d)

20,000,000

20,556,396

Series 2003-W7 Class A2, 1.48% 3/1/34 (d)

12,109,599

12,156,667

Series 2004-W5 Class M1, 1.69% 4/25/34 (d)

3,960,000

3,960,000

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2001-HE3 Class A1, 1.36% 11/15/31 (d)

3,640,002

3,644,341

Series 2003-HE1 Class A2, 1.59% 1/15/33 (d)

1,513,534

1,523,697

Series 2003-HE2:

Class A2, 1.47% 4/15/33 (d)

9,703,972

9,739,813

Class M1, 1.99% 4/15/33 (d)

9,000,000

9,149,150

Series 2003-HE3:

Class M1, 1.92% 6/15/33 (d)

2,185,000

2,217,100

Class M2, 3.09% 6/15/33 (d)

10,000,000

10,344,030

Series 2003-HE4 Class M2, 3.09% 8/15/33 (d)

5,695,000

5,791,855

Series 2003-HE5 Class A2A, 1.45% 8/15/33 (d)

11,973,422

12,011,225

Series 2003-HE6 Class M1, 1.74% 11/25/33 (d)

3,475,000

3,499,829

Series 2004-HE3:

Class M1, 5/26/34 (b)

1,425,000

1,425,000

Class M2, 5/26/34 (b)

3,325,000

3,320,561

Bank One Issuance Trust:

Series 2002-B1 Class B1, 1.47% 12/15/09 (d)

15,000,000

15,095,289

Series 2002-B2 Class B2, 1.43% 5/15/08 (d)

15,000,000

15,048,395

Series 2002-B3 Class B, 1.45% 8/15/08 (d)

14,500,000

14,552,184

Bayview Commercial Asset Trust Series 2003-2:

Class A, 1.67% 12/25/33 (a)(d)

17,503,487

17,547,245

Class M1, 1.94% 12/25/33 (a)(d)

2,848,411

2,855,532

Bayview Financial Asset Trust Series 2000-F Class A, 1.59% 9/28/43 (d)

17,723,910

17,799,374

Capital Auto Receivables Asset Trust:

Series 2002-5 Class B, 2.8% 4/15/08

8,696,053

8,793,748

Series 2003-1 Class B1B, 1.56% 6/15/10 (a)(d)

14,597,651

14,553,173

Series 2003-2 Class B, 1.37% 1/15/09 (d)

6,697,909

6,695,900

Capital One Auto Finance Trust Series 2003-A Class A4B, 1.37% 1/15/10 (d)

9,630,000

9,692,538

Capital One Master Trust:

Series 1999-1 Class B, 1.43% 7/16/07 (d)

28,000,000

27,997,438

Series 1999-3 Class B, 1.57% 9/15/09 (d)

5,000,000

5,006,855

Series 2001-1 Class B, 1.6% 12/15/10 (d)

19,500,000

19,679,129

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

Capital One Master Trust: - continued

Series 2001-4 Class B, 1.46% 4/16/07 (d)

$ 7,000,000

$ 7,002,211

Series 2001-8A Class B, 1.64% 8/17/09 (d)

9,585,000

9,677,426

Series 2002-3A Class B, 4.55% 2/15/08

10,000,000

10,235,455

Series 2002-4A Class B, 1.59% 3/15/10 (d)

6,000,000

6,044,611

Capital One Multi-Asset Execution Trust:

Series 2002-B1 Class B1, 1.77% 7/15/08 (d)

17,705,000

17,813,934

Series 2003-B1 Class B1, 2.26% 2/17/09 (d)

15,470,000

15,757,887

CDC Mortgage Capital Trust:

Series 2001-HE1:

Class A, 1.43% 1/25/32 (d)

3,045,652

3,047,460

Class M1, 2.12% 1/25/32 (d)

4,997,655

5,055,431

Series 2002-HE2 Class M1, 1.79% 1/25/33 (d)

9,999,980

10,072,202

Series 2002-HE3:

Class M1, 2.19% 3/25/33 (d)

21,499,948

21,983,680

Class M2, 3.34% 3/25/33 (d)

9,968,976

10,152,873

Series 2003-HE1:

Class M1, 1.99% 8/25/33 (d)

1,989,998

2,008,351

Class M2, 3.04% 8/25/33 (d)

4,369,996

4,471,039

Series 2003-HE2 Class A, 1.44% 10/25/33 (d)

12,347,028

12,382,279

Series 2003-HE3:

Class M1, 1.79% 11/25/33 (d)

2,254,989

2,278,641

Class M2, 2.84% 11/25/33 (d)

1,719,992

1,743,855

Chase Credit Card Owner Trust:

Series 2001-6 Class B, 1.57% 3/16/09 (d)

1,305,000

1,315,917

Series 2002-4 Class B, 1.4% 10/15/07 (d)

12,000,000

12,028,018

Series 2002-6 Class B, 1.44% 1/15/08 (d)

11,850,000

11,888,657

Series 2004-1 Class B, 1.3035% 5/15/09 (d)

4,105,000

4,105,014

Citibank Credit Card Issuance Trust:

Series 2000-C2 Class C2, 1.77% 10/15/07 (d)

17,500,000

17,546,057

Series 2001-B2 Class B2, 1.58% 12/10/08 (d)

11,945,000

12,041,173

Series 2002-B1 Class B1, 1.44% 6/25/09 (d)

9,010,000

9,053,330

Series 2002-C1 Class C1, 2.12% 2/9/09 (d)

17,500,000

17,742,540

Series 2003-B1 Class B1, 1.42% 3/7/08 (d)

25,000,000

25,068,115

Citigroup Mortgage Loan Trust Series 2003-HE4
Class A, 1.5% 12/25/33 (d)

12,470,427

12,493,809

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 1.52% 5/25/33 (d)

6,651,160

6,668,713

Series 2003-SD3 Class A1, 1.51% 12/25/32 (a)(d)

3,237,522

3,253,680

Series 2004-2 Class M1, 1.59% 5/25/34 (d)

5,200,000

5,200,000

Series 2004-3:

Class 3A4, 1.34% 8/25/34 (d)

672,000

672,000

Class M1, 1.59% 6/25/34 (d)

1,475,000

1,475,000

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

Countrywide Home Loans, Inc.: - continued

Series 2004-4:

Class A, 1.47% 8/25/34 (d)

$ 5,225,000

$ 5,225,000

Class M1, 1.58% 7/25/34 (d)

3,650,000

3,650,000

Class M2, 1.63% 6/25/34 (d)

4,395,000

4,395,000

Discover Card Master Trust I:

Series 2000-1 Class B, 1.46% 8/16/07 (d)

6,300,000

6,315,170

Series 2000-2 Class B, 1.46% 9/18/07 (d)

10,000,000

10,019,908

Series 2002-1 Class B, 1.49% 7/15/07 (d)

30,637,000

30,704,873

Series 2003-4 Class B1, 1.42% 5/16/11 (d)

8,155,000

8,192,733

Fannie Mae guaranteed REMIC pass thru certificates
Series 2002-T15 Class S1, 5.25% 4/25/05 (f)

28,489,867

1,348,819

Fieldstone Mortgage Investment Corp.:

Series 2003-1:

Class M1, 1.77% 11/25/33 (d)

1,300,000

1,306,500

Class M2, 2.84% 11/25/33 (d)

700,000

703,500

Series 2004-1 Class M2, 2.19% 1/25/35 (d)

3,700,000

3,717,633

First Franklin Mortgage Loan Trust Series 2004-FF2:

Class M3, 1.65% 3/25/34 (b)(d)

400,000

400,000

Class M4, 2% 3/25/34 (b)(d)

300,000

300,000

Class M6, 2.35% 3/25/34 (b)(d)

400,000

400,000

First USA Credit Card Master Trust:

Series 1997-7 Class B, 1.39% 5/17/07 (d)

15,000,000

15,015,530

Series 2001-4 Class B, 1.4925% 1/12/09 (d)

15,000,000

15,075,947

First USA Secured Note Trust Series 2001-3 Class C, 2.14% 11/19/08 (a)(d)

11,580,000

11,715,704

Fleet Credit Card Master Trust II Series 2002-A Class B, 1.43% 10/15/07 (d)

10,000,000

10,015,715

Ford Credit Auto Owner Trust Series 2003-B Class B2, 1.52% 10/15/07 (d)

19,600,000

19,716,771

Fremont Home Loan Trust Series 2004-1:

Class 1A1, 1.21% 2/25/34 (b)(d)

7,000,000

7,000,000

Class M1, 1.55% 2/25/34 (b)(d)

750,000

750,000

Class M2, 1.6% 2/25/34 (b)(d)

800,000

800,000

GE Business Loan Trust Series 2003-1 Class A, 1.52% 4/15/31 (a)(d)

6,493,498

6,505,674

Gracechurch Card Funding #5 PLC Series 5:

Class B, 1.32% 8/15/08 (d)

1,520,000

1,520,238

Class C, 2.02% 8/15/08 (d)

5,580,000

5,584,360

Gracechurch Card Funding PLC Series 6 Class B, 1.2919% 2/17/09 (d)

1,030,000

1,030,000

GS Mortgage Securities Corp.:

Series 2002-HE Class M1, 2.34% 11/20/32 (d)

3,017,000

3,102,655

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

GS Mortgage Securities Corp.: - continued

Series 2003-FM1 Class M1, 1.91% 3/20/33 (d)

$ 15,000,000

$ 15,214,962

Series 2004-FM1:

Class M1, 1.74% 11/25/33 (d)

2,865,000

2,864,997

Class M2, 2.49% 11/25/33 (d)

1,975,000

1,986,408

GSAMP NIMS Trust Series 2002-HE2N Class NOTE, 8.25% 10/20/32 (a)

154,924

155,110

GSAMP Trust:

Series 2002-NC1:

Class A2, 1.41% 7/25/32 (d)

7,406,351

7,431,726

Class M1, 1.73% 7/25/32 (d)

8,861,000

8,928,866

Series 2004-FM2:

Class M1, 1.59% 1/25/34 (d)

3,500,000

3,500,000

Class M2, 2.19% 1/25/34 (d)

1,500,000

1,500,000

Class M3, 2.39% 1/25/34 (d)

1,500,000

1,500,000

Home Equity Asset Trust:

Series 2002-2 Class M1, 1.89% 6/25/32 (d)

10,000,000

10,034,700

Series 2002-3 Class A5, 1.53% 2/25/33 (d)

10,343,498

10,367,431

Series 2002-4:

Class A3, 1.57% 3/25/33 (d)

17,107,286

17,173,936

Class M2, 3.14% 3/25/33 (d)

1,850,000

1,882,179

Series 2002-5:

Class A3, 1.61% 5/25/33 (d)

19,363,617

19,500,295

Class M1, 2.29% 5/25/33 (d)

13,800,000

14,165,334

Series 2003-1:

Class A2, 1.56% 6/25/33 (d)

23,262,974

23,339,363

Class M1, 2.09% 6/25/33 (d)

5,700,000

5,750,702

Series 2003-2:

Class A2, 1.47% 8/25/33 (d)

1,245,252

1,249,750

Class M1, 1.97% 8/25/33 (d)

2,245,000

2,280,699

Series 2003-3:

Class A2, 1.45% 8/25/33 (d)

7,314,804

7,339,083

Class M1, 1.95% 8/25/33 (d)

8,185,000

8,313,721

Series 2003-4:

Class M1, 1.89% 10/25/33 (d)

3,415,000

3,461,960

Class M2, 2.99% 10/25/33 (d)

4,040,000

4,086,633

Series 2003-5:

Class A2, 1.44% 12/25/33 (d)

8,055,853

8,078,864

Class M1, 1.79% 12/25/33 (d)

3,175,000

3,205,733

Class M2, 2.82% 12/25/33 (d)

1,345,000

1,355,531

Series 2004-2 Class A2, 1.38% 7/25/34 (b)(d)

15,000,000

15,000,000

Household Affinity Credit Card Master Note Trust I
Series 2003-3 Class B, 1.38% 8/15/08 (d)

10,000,000

10,000,000

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

Household Credit Card Master Trust I Series 2002-1 Class B, 1.74% 7/15/08 (d)

$ 22,589,000

$ 22,767,970

Household Home Equity Loan Trust:

Series 2002-1:

Class A, 1.46% 12/22/31 (d)

2,467,810

2,473,762

Class M, 1.91% 12/22/31 (d)

2,467,810

2,483,771

Series 2002-2 Class A, 1.39% 4/20/32 (d)

6,671,894

6,689,986

Series 2002-3 Class A, 1.54% 7/20/32 (d)

5,875,647

5,892,653

Series 2003-1 Class M, 1.72% 10/20/32 (d)

2,221,257

2,231,667

Series 2003-2:

Class A, 1.42% 9/20/33 (d)

8,306,074

8,333,042

Class M, 1.67% 9/20/33 (d)

3,905,927

3,920,238

Household Mortgage Loan Trust:

Series 2002-HC1 Class A, 1.39% 5/20/32 (d)

3,844,930

3,855,482

Series 2003-HC1:

Class A, 1.44% 2/20/33 (d)

12,400,956

12,437,276

Class M, 1.74% 2/20/33 (d)

4,838,300

4,865,363

Household Private Label Credit Card Master Note Trust I:

Series 2001-2 Class B, 1.54% 6/16/08 (d)

16,750,000

16,732,091

Series 2002-1 Class B, 1.64% 1/18/11 (d)

8,850,000

8,870,713

Series 2002-2:

Class A, 1.26% 1/18/11 (d)

9,000,000

9,013,235

Class B, 1.64% 1/18/11 (d)

14,275,000

14,404,947

Series 2002-3 Class B, 2.34% 9/15/09 (d)

2,970,000

3,011,606

Ikon Receivables Funding LLC Series 2003-1
Class A3A, 1.33% 12/17/07 (d)

9,500,000

9,506,209

Keycorp Student Loan Trust Series 1999-A Class A2, 1.44% 12/27/09 (d)

20,736,890

20,802,539

Long Beach Asset Holdings Corp. NIMS Trust Series 2002-4 Class NOTE, 1.79% 10/26/09 (a)(d)

2,060,367

2,060,367

Long Beach Mortgage Loan Trust:

Series 2001-4:

Class 2M1, 2.04% 3/25/32 (d)

25,000,000

25,262,290

Class M2, 2.74% 3/25/32 (d)

4,020,000

4,059,950

Series 2002-4 Class 2S1, 5.25% 4/25/05 (f)

26,237,000

1,242,159

Series 2003-1:

Class A2, 1.49% 3/25/33 (d)

3,906,965

3,923,466

Class M1, 2.01% 3/25/33 (d)

4,700,000

4,781,763

Class M2, 3.14% 3/25/33 (d)

10,000,000

10,263,224

Series 2003-2:

Class AV, 1.41% 6/25/33 (d)

2,698,469

2,704,426

Class M1, 1.91% 6/25/33 (d)

19,500,000

19,666,938

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

Long Beach Mortgage Loan Trust: - continued

Series 2003-3:

Class A, 1.41% 7/25/33 (d)

$ 15,439,732

$ 15,474,609

Class M1, 1.84% 7/25/33 (d)

7,770,000

7,855,507

MASTR ABS NIMS Trust:

Series 2002-OPT1 Class NOTE, 1.64% 11/26/07 (a)(d)

1,972,525

1,974,375

Series 2003-OPT1 Class NOTE, 1.47% 2/26/08 (a)(d)

2,917,319

2,918,188

MASTR Asset Backed Securities Trust Series 2003-NC1:

Class M1, 1.82% 4/25/33 (d)

3,500,000

3,529,754

Class M2, 2.94% 4/25/33 (d)

1,500,000

1,529,444

MBNA Asset Backed Note Trust:

Series 1999-C Class C, 1.89% 10/16/06 (a)(d)

1,355,000

1,355,706

Series 1999-G Class C, 1.89% 12/15/06 (a)(d)

1,340,000

1,341,152

Series 2000-K Class C, 1.89% 3/17/08 (a)(d)

7,250,000

7,278,275

MBNA Credit Card Master Note Trust:

Series 2001-A4 Class A, 1.22% 2/15/07 (d)

13,000,000

13,007,861

Series 2001-B1 Class B1, 1.465% 10/15/08 (d)

30,000,000

30,085,890

Series 2001-B2 Class B2, 1.45% 1/15/09 (d)

30,353,000

30,496,934

Series 2002-B2 Class B2, 1.47% 10/15/09 (d)

20,000,000

20,130,304

Series 2002-B3 Class B3, 1.49% 1/15/08 (d)

15,000,000

15,055,964

Series 2002-B4 Class B4, 1.59% 3/15/10 (d)

14,800,000

14,960,960

Series 2003-B3 Class B3, 1.465% 1/18/11 (d)

1,130,000

1,134,620

MBNA Master Credit Card Trust II:

Series 1997-I Class B, 1.4% 1/15/07 (d)

7,000,000

7,006,153

Series 1997-J Class B, 1.39% 2/15/07 (d)

9,500,000

9,509,719

Series 1998-E Class B, 1.45% 9/15/10 (d)

7,800,000

7,849,787

Series 1998-G Class B, 1.49% 2/17/09 (d)

20,000,000

20,073,546

Series 1999-C Class B, 1.5019% 10/16/06 (a)(d)

750,000

750,000

Series 2000-C Class B, 1.465% 7/15/07 (d)

15,000,000

15,013,946

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 1.59% 4/25/34 (d)

2,125,000

2,125,000

Class M2, 1.64% 4/25/34 (d)

375,000

375,000

Class M3, 2.04% 4/25/34 (d)

775,000

775,000

Class M4, 2.19% 4/25/34 (d)

525,000

525,000

Merrill Lynch Mortgage Investors, Inc.:

Series 2002-HE1N Class N1, 1.69% 11/25/09 (a)(d)

5,210,440

5,227,334

Series 2003-HE1 Class M1, 1.79% 7/25/34 (d)

2,321,000

2,324,717

Morgan Stanley ABS Capital I, Inc.:

Series 2002-NC6 Class M2, 3.19% 11/25/32 (d)

2,370,000

2,453,890

Series 2003-HE1 Class M2, 2.99% 5/25/33 (d)

6,185,000

6,280,820

Series 2003-NC5 Class M2, 3.09% 4/25/33 (d)

2,800,000

2,866,968

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

Morgan Stanley ABS Capital I, Inc.: - continued

Series 2003-NC6 Class M2, 3.04% 6/27/33 (d)

$ 12,835,000

$ 13,123,102

Series 2003-NC7:

Class M1, 1.79% 6/25/33 (d)

1,785,000

1,791,886

Class M2, 2.94% 6/25/33 (d)

1,000,000

1,016,703

Series 2003-NC8 Class M1, 1.79% 9/25/33 (d)

2,350,000

2,359,449

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1:

Class M1, 1.94% 2/25/32 (d)

1,700,000

1,726,326

Class M2, 2.49% 2/25/32 (d)

10,149,500

10,242,693

Series 2001-NC3 Class M2, 2.59% 10/25/31 (d)

4,230,000

4,283,318

Series 2001-NC4:

Class M1, 2.09% 1/25/32 (d)

3,920,000

3,988,745

Class M2, 2.74% 1/25/32 (d)

1,645,000

1,672,077

Series 2002-AM3:

Class A3, 1.58% 2/25/33 (d)

7,500,075

7,528,940

Class M1, 2.04% 2/25/33 (d)

14,850,000

15,063,839

Series 2002-HE1 Class M1, 1.69% 7/25/32 (d)

2,700,000

2,716,575

Series 2002-HE2:

Class M1, 1.79% 8/25/32 (d)

9,925,000

9,989,116

Class M2, 2.34% 8/25/32 (d)

1,550,000

1,559,407

Series 2002-NC3 Class A3, 1.43% 8/25/32 (d)

7,099,575

7,119,720

Series 2002-NC5 Class M3, 2.89% 10/25/32 (d)

920,000

943,133

Series 2002-OP1 Class M1, 1.84% 9/25/32 (d)

1,545,000

1,559,326

Series 2003-NC1:

Class M1, 2.14% 11/25/32 (d)

2,555,000

2,590,530

Class M2, 3.14% 11/25/32 (d)

1,880,000

1,912,130

Mortgage Asset Backed Securities Trust Series 2002-NC1:

Class A2, 1.53% 10/25/32 (d)

6,315,691

6,328,122

Class M1, 1.94% 10/25/32 (d)

5,000,000

5,057,887

New Century Home Equity Loan Trust:

Series 2003-2:

Class A2, 1.52% 1/25/33 (d)

5,412,410

5,424,844

Class M2, 3.09% 1/25/33 (d)

4,600,000

4,704,861

Series 2003-6 Class M1, 1.81% 1/25/34 (d)

5,180,000

5,208,946

Nissan Auto Lease Trust Series 2003-A Class A3A, 1.23% 6/15/09 (d)

20,000,000

20,035,626

NovaStar Home Equity Loan Series 2004-1:

Class M1, 1.54% 6/25/34 (d)

1,450,000

1,453,625

Class M4, 2.065% 6/25/34 (d)

2,435,000

2,437,854

Providian Gateway Master Trust Series 2002-B Class A, 1.79% 6/15/09 (a)(d)

15,000,000

15,046,113

Asset-Backed Securities - continued

Principal
Amount

Value
(Note 1)

Residential Asset Mortgage Products, Inc.
Series 2003-RP2 Class A1, 1.54% 9/25/33 (a)(d)

$ 8,137,885

$ 8,160,834

Salomon Brothers Mortgage Securities VII, Inc.
Series 2003-HE1 Class A, 1.49% 4/25/33 (d)

3,828,678

3,844,614

Sears Credit Account Master Trust II:

Series 1998-2 Class A, 5.25% 10/16/08

583,333

590,161

Series 2001-1 Class B, 1.515% 2/15/10 (d)

10,000,000

9,954,218

Series 2001-2 Class B, 1.38% 6/16/08 (d)

24,000,000

24,004,224

Series 2002-1 Class B, 1.46% 2/18/09 (d)

10,000,000

9,979,816

Series 2002-4:

Class A, 1.22% 8/18/09 (d)

27,000,000

27,041,070

Class B, 1.515% 8/18/09 (d)

33,300,000

33,408,085

Series 2002-5 Class B, 2.34% 11/17/09 (d)

30,000,000

30,097,155

Securitized Asset Back Receivables LLC Trust Series 2004-NC1 Class M1, 0% 2/25/34 (d)

2,910,000

2,910,000

Structured Asset Securities Corp. Series 2004-GEL1 Class A, 1.45% 2/25/34 (d)

2,258,345

2,258,345

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 1.54% 3/15/11 (a)(d)

10,835,000

10,799,448

Target Credit Card Master Trust Series 2001-1 Class A, 1.2% 7/25/08 (d)

10,000,000

10,002,593

Terwin Mortgage Trust:

Series 2003 8HE, Class A, 1.56% 12/25/34 (d)

6,613,854

6,625,221

Series 2003-4HE Class A1, 1.52% 9/25/34 (d)

9,001,518

9,047,456

Series 2003-6HE Class A1, 1.56% 11/25/33 (d)

5,182,710

5,186,760

Series 2004-1HE Class A, 1.6% 2/25/35 (a)(d)

6,480,332

6,480,332

Triad Auto Receivables Owner Trust Series 2002-A
Class A3, 2.62% 2/12/07

10,000,000

10,086,518

TOTAL ASSET-BACKED SECURITIES

(Cost $2,075,736,828)

2,090,177,741

Collateralized Mortgage Obligations - 14.8%

Private Sponsor - 4.8%

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 1.49% 5/25/33 (d)

13,547,102

13,546,836

CS First Boston Mortgage Securities Corp.:

floater Series 2004-AR2 Class 6A1, 1.49% 3/25/34 (d)

13,722,565

13,774,025

Series 2001-AR7 Class 3A2, 6.55% 2/25/41 (d)

719,226

727,629

Series 2003-TFLA Class F, 1.9433% 4/15/13 (a)(d)

3,750,000

3,700,099

Series 2004-AR3 Class 6A2, 1.46% 3/25/34 (d)

5,480,000

5,483,425

Collateralized Mortgage Obligations - continued

Principal
Amount

Value
(Note 1)

Private Sponsor - continued

Granite Mortgages 2004-1 PLC floater Series 2004-1:

Class 1B, 1.32% 3/20/44 (d)

$ 1,415,000

$ 1,416,557

Class 1C, 2.01% 3/20/44 (d)

4,075,000

4,088,366

Class 1M, 1.52% 3/20/44 (d)

1,875,000

1,877,475

Holmes Financing PLC floater Series 8:

Class 1B, 1.2444% 7/15/40 (d)

2,050,000

2,050,000

Class 1C, 1.73% 7/15/40 (d)

6,300,000

6,300,000

Class 2B, 1.28% 7/15/40 (d)

2,695,000

2,695,000

Class 2C, 1.83% 7/15/40 (d)

6,205,000

6,205,000

Merrill Lynch Mortgage Investors, Inc. floater:

Series 2003-A Class 2A1, 1.48% 3/25/28 (d)

12,651,692

12,691,141

Series 2003-B Class A1, 1.43% 4/25/28 (d)

12,296,594

12,342,121

Series 2003-E Class A2, 1.48% 10/25/28 (d)

16,334,382

16,437,111

Series 2003-F Class A2, 1.49% 10/25/28 (d)

19,160,302

19,355,647

Series 2004-A Class A2, 1.4% 4/25/29 (d)

16,570,000

16,570,000

Permanent Financing PLC floater:

Series 3:

Class 1B, 1.29% 6/10/42 (d)

8,640,000

8,641,185

Class 1C, 2.06% 6/10/42 (d)

3,000,000

3,008,323

Class 2C, 2.16% 6/10/42 (d)

2,895,000

2,895,000

Series 4 Class 2C, 1.8288% 6/10/42 (d)

11,550,000

11,553,609

Residential Asset Mortgage Products, Inc.:

sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31

11,359,193

11,927,152

Series 2003-RP1 Class A, 1.59% 4/25/34 (d)

8,949,413

8,999,805

Residential Finance LP/Residential Finance Development Corp. floater:

Series 2002-A:

Class B4, 2.8925% 10/10/34 (a)(d)

4,822,453

4,897,678

Class B5, 3.4425% 10/10/34 (a)(d)

5,806,627

5,896,775

Class B6, 3.9425% 10/10/34 (a)(d)

3,838,279

3,911,446

Series 2003-A:

Class B4, 2.8925% 3/10/35 (a)(d)

5,619,365

5,709,362

Class B5, 3.4425% 3/10/35 (a)(d)

5,815,515

5,934,773

Residential Funding Mortgage Securities I, Inc. floater Series 2002-S15 Class A3, 1.69% 9/25/32 (d)

345,150

345,237

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 1.53% 9/20/33 (d)

18,406,108

18,387,884

Series 2003-7 Class A2, 1.5738% 1/20/34 (d)

8,614,171

8,630,322

Series 2004-1 Class A, 1.45% 2/20/34 (d)

9,713,960

9,721,549

Collateralized Mortgage Obligations - continued

Principal
Amount

Value
(Note 1)

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-3 Class A, 1.4% 5/20/34 (d)

$ 17,230,000

$ 17,230,000

Wells Fargo Mortgage Backed Securities Trust Series 2001-30 Class A1, 6% 12/25/31

670,175

674,559

TOTAL PRIVATE SPONSOR

267,625,091

U.S. Government Agency - 10.0%

Fannie Mae:

floater:

Series 2000-38 Class F, 1.59% 11/18/30 (d)

2,591,852

2,603,461

Series 2000-40 Class FA, 1.59% 7/25/30 (d)

5,004,652

5,024,771

Series 2002-89 Class F, 1.39% 1/25/33 (d)

7,940,358

7,947,892

planned amortization class Series 2002-81 Class PU, 4.5% 5/25/20

17,720,000

18,035,978

target amortization class Series G94-2 Class D, 6.45% 1/25/24

9,085,935

9,574,614

Fannie Mae guaranteed REMIC pass thru certificates:

floater:

Series 2001-34 Class FR, 1.49% 8/18/31 (d)

4,064,588

4,071,345

Series 2001-44 Class FB, 1.39% 9/25/31 (d)

4,024,782

4,028,986

Series 2001-46 Class F, 1.49% 9/18/31 (d)

11,591,372

11,628,722

Series 2002-11 Class QF, 1.59% 3/25/32 (d)

8,738,203

8,777,357

Series 2002-36 Class FT, 1.59% 6/25/32 (d)

2,678,546

2,694,095

Series 2002-64 Class FE, 1.44% 10/18/32 (d)

4,304,631

4,307,892

Series 2002-65 Class FA, 1.39% 10/25/17 (d)

5,550,496

5,554,246

Series 2002-74 Class FV, 1.54% 11/25/32 (d)

14,896,671

14,967,472

Series 2003-11:

Class DF, 1.54% 2/25/33 (d)

10,278,366

10,321,944

Class EF, 1.54% 2/25/33 (d)

10,551,992

10,579,632

Series 2003-63 Class F1, 1.39% 11/25/27 (d)

11,512,275

11,514,214

planned amortization class:

Series 1998-63 Class PG, 6% 3/25/27

5,773,090

5,864,139

Series 2001-38 Class QG, 6.5% 3/25/30

5,007,275

5,049,160

Series 2001-56 Class KD, 6.5% 7/25/30

4,198,930

4,274,346

Series 2001-62 Class PG, 6.5% 10/25/30

21,721,042

22,371,852

Series 2001-68 Class PE, 6% 6/25/27

7,791,695

7,806,064

Series 2001-74 Class PC, 6% 1/25/27

1,377,051

1,377,249

Series 2001-76 Class UB, 5.5% 10/25/13

5,000,000

5,115,242

Series 2002-16 Class QD, 5.5% 6/25/14

1,000,000

1,026,536

Series 2002-55 Class QB, 5.5% 8/25/12

1,980,971

1,994,826

Series 2002-63 Class GB, 6% 6/25/27

8,278,554

8,350,678

Collateralized Mortgage Obligations - continued

Principal
Amount

Value
(Note 1)

U.S. Government Agency - continued

Fannie Mae guaranteed REMIC pass thru certificates: - continued

planned amortization class: - continued

Series 2002-8 Class PD, 6.5% 7/25/30

$ 15,870,000

$ 16,232,234

Series 2003-17 Class PQ, 4.5% 3/25/16

11,770,000

11,940,913

sequential pay Series 2001-64 Class BD, 6% 12/25/28

218,928

218,670

Freddie Mac:

floater Series 2510 Class FE, 1.49% 10/15/32 (d)

10,129,186

10,162,039

planned amortization class:

Series 2091 Class PP, 6% 2/15/27

14,218,785

14,503,946

Series 2344 Class QE, 6% 11/15/14

3,023,139

3,050,895

Series 2353 Class PC, 6.5% 9/15/15

6,228,424

6,368,729

Series 2360 Class PW, 6% 11/15/14

8,992,890

9,076,804

Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 1.29% 7/15/31 (d)

8,805,027

8,790,509

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2474 Class FJ, 1.44% 7/15/17 (d)

8,260,276

8,263,196

Series 2526 Class FC, 1.49% 11/15/32 (d)

9,028,440

9,080,044

Series 2538 Class FB, 1.49% 12/15/32 (d)

12,228,836

12,254,203

Series 2551 Class FH, 1.54% 1/15/33 (d)

7,381,713

7,408,513

planned amortization class:

Series 1673 Class G, 6% 2/15/21

2,039,083

2,046,634

Series 1675 Class H, 6.375% 10/15/22

2,267,373

2,284,629

Series 2121 Class PG, 6.5% 6/15/27

2,205,984

2,224,797

Series 2136 Class PE, 6% 1/15/28

33,765,391

34,536,015

Series 2398 Class DK, 6.5% 1/15/31

2,389,402

2,437,517

Series 2420 Class BE, 6.5% 12/15/30

19,479,299

19,902,164

Series 2430 Class OB, 6% 10/15/26

6,449,430

6,495,841

Series 2435:

Class EL, 6% 9/15/27

22,088,096

22,241,221

Class GD, 6.5% 2/15/30

5,225,000

5,329,500

Series 2439:

Class KF, 6.5% 2/15/28

3,348,085

3,347,697

Class LU, 5.5% 6/15/25

1,647,410

1,653,424

Series 2443 Class TD, 6.5% 10/15/30

16,130,000

16,530,127

Series 2461 Class PG, 6.5% 1/15/31

14,114,087

14,484,696

Series 2466:

Class DE, 6.5% 4/15/30

9,819,677

9,954,238

Class EC, 6% 10/15/27

9,075,000

9,205,417

Collateralized Mortgage Obligations - continued

Principal
Amount

Value
(Note 1)

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class: - continued

Series 2483 Class DC, 5.5% 7/15/14

$ 18,615,500

$ 19,066,518

Series 2556 Class PM, 5.5% 2/15/16

14,387,910

14,601,079

sequential pay:

Series 2303 Class VT, 6% 2/15/12

3,071,269

3,084,055

Series 2447 Class LG, 5.5% 12/15/13

480,078

479,831

Series 2454 Class A, 6.5% 4/15/32

9,616,968

9,693,518

Series 2480 Class QW, 5.75% 2/15/30

9,459,669

9,633,996

Ginnie Mae guaranteed REMIC pass thru securities:

floater:

Series 2001-46 Class FB, 1.44% 5/16/23 (d)

4,776,750

4,782,938

Series 2001-50 Class FV, 1.29% 9/16/27 (d)

14,825,523

14,772,983

Series 2001-62 Class KF, 1.49% 9/16/29 (d)

2,800,028

2,802,780

Series 2002-24 Class FX, 1.64% 4/16/32 (d)

5,577,925

5,609,374

Series 2002-31 Class FW, 1.49% 6/16/31 (d)

7,300,877

7,323,488

Series 2002-5 Class KF, 1.49% 8/16/26 (d)

2,378,905

2,382,323

planned amortization class:

Series 1999-17 Class PC, 6.5% 10/16/27

2,065,716

2,079,846

Series 2001-5 Class PT, 6.5% 9/20/27

3,426,172

3,439,788

Series 2002-49 Class BC, 5.5% 5/20/26

696,886

696,126

sequential pay Series 2000-37 Class A, 7.15% 6/20/30

2,655

2,667

TOTAL U.S. GOVERNMENT AGENCY

565,338,635

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $832,823,659)

832,963,726

Commercial Mortgage Securities - 8.6%

Banc of America Large Loan, Inc.:

floater Series 2002-FL2A Class A2, 1.42% 9/8/14 (a)(d)

20,000,000

20,003,126

Series 2003-BBA2 Class A3, 1.41% 11/15/15 (a)(d)

5,038,226

5,041,768

Bayview Commercial Asset Trust floater:

Series 2003-1 Class A, 1.67% 8/25/33 (a)(d)

9,038,948

9,095,441

Series 2004-1:

Class A, 1.45% 4/25/34 (a)(d)

7,684,122

7,684,122

Class B, 2.99% 4/25/34 (a)(d)

798,350

798,350

Class M1, 1.65% 4/25/34 (a)(d)

698,557

698,557

Class M2, 2.29% 4/25/34 (a)(d)

598,763

598,763

Commercial Mortgage Securities - continued

Principal
Amount

Value
(Note 1)

Bear Stearns Commercial Mortgage Securities, Inc. floater:

Series 2003-BA1A:

Class A1, 1.37% 4/14/15 (a)(d)

$ 14,738,433

$ 14,733,046

Class JFCM, 2.69% 4/14/15 (a)(d)

1,344,296

1,346,817

Class JMM, 2.59% 4/14/15 (a)(d)

1,384,053

1,370,301

Class JSCM, 2.79% 4/14/15 (a)(d)

1,123,081

1,127,668

Class KFCM, 2.94% 4/14/15 (a)(d)

1,436,661

1,438,008

Class KMM, 2.84% 4/14/15 (a)(d)

1,253,767

1,243,731

Class KSCM, 3.09% 4/14/15 (a)(d)

1,203,639

1,208,928

Class LFCM, 3.34% 4/14/15 (a)(d)

1,601,905

1,603,407

Class LSCM, 3.49% 4/14/15 (a)(d)

1,803,447

1,811,360

Class MFCM, 3.64% 4/14/15 (a)(d)

2,218,251

2,219,637

Class MSCM, 3.79% 4/14/15 (a)(d)

1,767,389

1,774,026

Series 2003-WEST Class A, 1.7% 1/3/15 (a)(d)

13,760,258

13,819,888

Series 2004-HS2A:

Class E, 1.99% 1/14/16 (d)

1,725,000

1,725,000

Class F, 2.14% 1/14/16 (d)

1,125,000

1,125,000

Calwest Industrial Trust floater Series 2002-CALW Class AFL, 1.47% 2/15/12 (a)(d)

24,300,000

24,251,453

Chase Commercial Mortgage Securities Corp. floater
Series 2000-FL1A:

Class B, 1.54% 12/12/13 (a)(d)

1,774,284

1,768,469

Class C, 1.89% 12/12/13 (a)(d)

3,548,567

3,525,991

COMM floater:

Series 2000-FL3A:

Class C, 1.85% 11/15/12 (a)(d)

8,231,823

8,210,752

Class KQA, 2.49% 11/15/12 (a)(d)

1,557,000

1,479,150

Series 2001-FL5A:

Class A2, 1.64% 11/15/13 (a)(d)

4,142,582

4,142,881

Class D, 2.34% 11/15/13 (a)(d)

8,000,000

8,005,715

Class E, 2.59% 11/15/13 (a)(d)

5,000,000

5,002,842

Series 2002-FL6:

Class B, 1.42% 6/14/14 (a)(d)

5,000,000

4,999,434

Class F, 2.54% 6/14/14 (a)(d)

11,163,000

11,184,079

Class G, 2.99% 6/14/14 (a)(d)

5,000,000

4,949,574

Class K4M, 3.09% 6/14/14 (a)(d)

700,000

699,721

Class L4M, 3.39% 6/14/14 (a)(d)

1,400,000

1,401,109

Class M4M, 3.84% 6/14/14 (a)(d)

2,400,000

2,400,480

Series 2002-FL7:

Class A2, 1.44% 11/15/14 (a)(d)

5,565,000

5,564,043

Class KPP, 2.89% 11/15/14 (a)(d)

3,000,000

3,000,000

Class LPP, 3.09% 11/15/14 (a)(d)

3,500,000

3,500,000

Class MPP, 3.49% 11/15/14 (a)(d)

2,696,000

2,696,000

Commercial Mortgage Securities - continued

Principal
Amount

Value
(Note 1)

COMM floater: - continued

Series 2003-FL9 Class B, 1.59% 11/15/15 (a)(d)

$ 17,550,000

$ 17,604,405

CS First Boston Mortgage Securities Corp.:

floater Series 2001-TFLA:

Class A2, 1.69% 12/15/11 (a)(d)

18,866,746

18,863,003

Class B, 1.99% 12/15/11 (a)(d)

10,380,000

10,370,845

Class G, 2.84% 12/15/11 (a)(d)

3,720,000

3,686,197

Class J230, 3.29% 9/15/11 (a)(d)

5,900,000

5,895,945

Class JPAL, 3.69% 12/15/11 (a)(d)

6,200,000

6,199,985

Series 2002-TFLA Class C, 1.65% 11/18/12 (a)(d)

3,675,000

3,671,435

Series 2003-TF2A Class A2, 1.41% 11/15/14 (a)(d)

9,500,000

9,495,097

Series 2003-TFLA:

Class A2, 1.46% 4/15/13 (a)(d)

7,205,000

7,204,998

Class G, 1.9433% 4/15/13 (a)(d)

2,095,000

2,045,769

Series 2004-TFL1:

Class A2, 1.28% 2/15/14 (a)(d)

7,005,000

7,005,000

Class E, 1.64% 2/15/14 (a)(d)

2,800,000

2,800,000

Class F, 1.69% 2/15/14 (a)(d)

2,325,000

2,325,000

Class G, 1.94% 2/15/14 (a)(d)

1,875,000

1,875,000

Class H, 2.19% 2/15/14 (a)(d)

1,400,000

1,400,000

Class J, 2.49% 2/15/14 (a)(d)

750,000

750,000

GGP Mall Properties Trust floater Series 2001-C1A Class A1, 1.69% 11/15/11 (a)(d)

317,706

318,227

GMAC Commercial Mortgage Securities, Inc. floater
Series 2001-FL1A Class E, 1.94% 2/11/11 (a)(d)

500,000

499,931

Greenwich Capital Commercial Funding Corp. Series 2003-FL1 Class MCH, 4.35% 7/5/18 (a)(d)

2,832,036

2,832,036

GS Mortgage Securities Corp. II Series 2000-GSFL Class A, 1.37% 8/15/12 (a)(d)

6,980,038

6,980,170

GS Mortgage Trust II floater Series 2001-FL4A:

Class A, 1.35% 12/15/10 (a)(d)

913,665

913,500

Class B, 1.45% 12/15/10 (a)(d)

2,530,568

2,530,172

Class D, 2% 12/15/10 (a)(d)

378,981

378,486

ISTAR Asset Receivables Trust floater Series 2002-1A
Class A2, 1.47% 5/28/20 (a)(d)

10,000,000

10,012,948

John Hancock Tower Mortgage Trust Series 2003-C5A
Class B, 3.581% 4/10/15 (a)(d)

8,245,000

8,150,339

KSL Resorts Series 2003-1A:

Class A, 1.64% 5/15/13 (a)(d)

3,500,000

3,499,999

Class B, 1.79% 5/15/13 (a)(d)

4,000,000

3,999,998

Class K, 3.74% 5/15/13 (a)(d)

3,500,000

3,507,795

Class L, 3.94% 5/15/13 (a)(d)

3,500,000

3,507,785

Commercial Mortgage Securities - continued

Principal
Amount

Value
(Note 1)

Lehman Brothers Floating Rate Commercial Mortgage Trust:

floater:

Series 2001-LLFA:

Class A, 1.33% 8/16/13 (a)(d)

$ 7,705,846

$ 7,705,545

Class B, 1.39% 8/16/13 (a)(d)

11,563,000

11,562,818

Class E, 1.72% 8/16/13 (a)(d)

2,000,000

1,999,906

Series 2002-LLFA Class A, 1.38% 6/14/17 (a)(d)

1,393,022

1,393,003

Series 2003-LLFA:

Class B, 1.69% 12/16/14 (a)(d)

4,615,000

4,614,997

Class C, 1.79% 12/16/14 (a)(d)

4,982,000

4,981,997

Series 2003-C4A:

Class F, 3.34% 7/11/15 (a)(d)

1,866,216

1,867,967

Class H, 4.09% 7/11/15 (a)(d)

18,968,221

18,968,221

Series 2003-LLFA Class A2, 1.48% 12/16/14 (a)(d)

11,700,000

11,699,994

Morgan Stanley Dean Witter Capital I Trust floater:

Series 2001-XLF:

Class A2, 1.65% 10/7/13 (a)(d)

9,843,473

9,838,445

Class D, 2.62% 10/7/13 (a)(d)

1,677,934

1,680,711

Class G1, 3.85% 10/7/13 (a)(d)

6,000,000

5,999,993

Series 2002-XLF Class F, 3.25% 8/5/14 (a)(d)

9,267,024

9,471,473

Salomon Brothers Mortgage Securities VII, Inc. floater:

Series 2001-CDCA:

Class C, 1.89% 2/15/13 (a)(d)

7,000,000

6,998,249

Class D, 1.89% 2/15/13 (a)(d)

4,000,000

3,905,103

Series 2002-CDCA Class B, 1.62% 11/15/13 (a)(d)

6,000,000

6,054,225

Series 2003-CDCA:

Class HBST, 2.69% 2/15/15 (a)(d)

1,920,000

1,920,000

Class HEXB, 2.99% 2/15/15 (a)(d)

770,000

770,000

Class JBST, 2.89% 2/15/15 (a)(d)

1,440,000

1,440,000

Class JEXB, 3.19% 2/15/15 (a)(d)

1,300,000

1,300,000

Class KBST, 3.24% 2/15/15 (a)(d)

815,000

815,000

Class KEXB, 3.59% 2/15/15 (a)(d)

960,000

960,000

SDG Macerich Properties LP floater Series 2000-1 Class A3, 1.43% 5/15/09 (a)(d)

18,000,000

18,034,128

STRIPs III Ltd./STRIPs III Corp. Series 2004-1A Class A, 1.59% 3/24/18 (a)(d)

9,495,000

9,495,000

Wachovia Bank Commercial Mortgage Trust:

floater Series 2004-WHL3:

Class E, 1.60% 3/15/14 (d)

2,190,000

2,190,000

Class F, 1.65% 3/15/14 (d)

1,755,000

1,755,000

Commercial Mortgage Securities - continued

Principal
Amount

Value
(Note 1)

Wachovia Bank Commercial Mortgage Trust: - continued

floater Series 2004-WHL3: - continued

Class G, 0% 3/15/14 (d)

$ 875,000

$ 875,000

Series 2004-WHL3 Class A2, 0% 3/15/14 (d)

3,510,000

3,510,000

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $486,292,582)

487,379,477

Municipal Securities - 0.3%

Lowndes County Solid Waste Disp. Rev. (Weyerhaeuser Co. Proj.) Series 1999, 1.95%, VRDN (d)(e)

14,500,000

14,500,000

Oregon Econ. Dev. Dept. Solid Waste Disp. Rev. (Weyerhaeuser Co. Proj.) Series CL, 2.02%, VRDN (d)(e)

2,000,000

2,000,000

TOTAL MUNICIPAL SECURITIES

(Cost $16,500,000)

16,500,000

Cash Equivalents - 26.8%

Maturity
Amount

Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.08%, dated 3/31/04 due 4/1/04)

$ 1,468,591,056

1,468,547,000

With Goldman Sachs & Co. at 1.13%, dated 3/31/04 due 4/1/04 (Collateralized by Commerical Paper Obligations with principal amounts of $43,969,306, 1.035%, 6/25/04)

43,001,353

43,000,000

TOTAL CASH EQUIVALENTS

(Cost $1,511,547,000)

1,511,547,000

TOTAL INVESTMENT PORTFOLIO - 97.8%

(Cost $5,493,171,757)

5,512,266,914

NET OTHER ASSETS - 2.2%

126,789,509

NET ASSETS - 100%

$ 5,639,056,423

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Eurodollar Contracts

47 Eurodollar 90 Day Index Contracts

June 2004

$ 46,862,525

$ 36,237

Sold

Eurodollar Contracts

145 Eurodollar 90 Day Index Contracts

Sept. 2004

142,979,034

(770,327)

131 Eurodollar 90 Day Index Contracts

Dec. 2004

129,105,864

(689,981)

116 Eurodollar 90 Day Index Contracts

March 2005

114,444,034

(507,558)

81 Eurodollar 90 Day Index Contracts

June 2005

79,934,550

(309,469)

60 Eurodollar 90 Day Index Contracts

Sept. 2005

59,192,331

(213,710)

36 Eurodollar 90 Day Index Contracts

Dec. 2005

35,540,232

(102,984)

12 Eurodollar 90 Day Index Contracts

March 2006

11,845,268

(31,166)

TOTAL EURODOLLAR CONTRACTS

573,041,313

(2,625,195)

$ (2,588,958)

Swap Agreements

Notional
Amount

Credit Default Swap

Receive quarterly notional amount multilpied by .23% and pay Goldman Sachs upon default event of Consolidated Natural Gas Co., par value of the notional amount of Consolidated Natural Gas Co. 7.25% 10/1/04

May 2004

$ 23,500,000

405

Receive quarterly notional amount multiplied by 1.12% and pay Morgan Stanley, Inc. upon default of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11

June 2006

10,000,000

132,348

TOTAL CREDIT DEFAULT SWAP

33,500,000

132,753

Swap Agreements - continued

Expiration
Date

Notional
Amount

Unrealized
Appreciation/
(Depreciation)

Interest Rate Swap

Receive quarterly a floating rate based on 3-month LIBOR and pay quarterly a fixed rate equal to 1.967% with Lehman Brothers, Inc.

Jan. 2005

$ 10,000,000

$ (71,549)

Receive quarterly a floating rate based on 3-month LIBOR and pay quarterly a fixed rate equal to 2.3209% with JPMorgan Chase, Inc.

April 2004

7,000,000

(20,408)

TOTAL INTEREST RATE SWAP

17,000,000

(91,957)

$ 50,500,000

$ 40,796

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $652,005,191 or 11.6% of net assets.

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

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $2,998,368.

(d) The coupon rate shown on floating or adjustable rate securities represents the rate at period end.

(e) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals.

(f) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool.

Other Information

The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited):

U.S. Government and
U.S. Government Agency Obligations

15.2%

AAA,AA,A

46.4

BBB

6.4

BB

0.2

B

0.0

CCC,CC,C

0.0

Not Rated

2.5

Short-Term Investments and Net Other Assets

29.3

100.0%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable.

Purchases and sales of securities, other than short-term securities, aggregated $1,153,637,003 and $848,840,197, respectively, of which long-term U.S. government and government agency obligations aggregated $512,936,241 and $305,823,429, respectively.

The fund participated in the interfund lending program as a lender. The average daily loan balance during the period for which loans were outstanding amounted to $13,334,469. The weighted average interest rate was 1.13%. Interest earned from the interfund lending program amounted to $26,858 and is included in interest income on the Statement of Operations. At period end, there were no interfund loans outstanding.

Income Tax Information

At September 30, 2003, the fund had a capital loss carryforward of approximately $9,072,000 of which $362,000 and $8,710,000 will expire on September 30, 2010 and 2011, respectively.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

March 31, 2004 (Unaudited)

Assets

Investment in securities, at value (including repurchase agreements of $1,511,547,000) (cost $5,493,171,757) - See accompanying schedule

$ 5,512,266,914

Cash

641

Receivable for investments sold

372,298,934

Interest receivable

9,339,609

Unrealized gain on swap agreements

40,796

Prepaid expenses

20,282

Total assets

5,893,967,176

Liabilities

Payable for investments purchased
Regular delivery

$ 216,846,420

Delayed delivery

29,396,136

Distributions payable

8,553,948

Payable for daily variation on futures contracts

81,704

Other payables and accrued expenses

32,545

Total liabilities

254,910,753

Net Assets

$ 5,639,056,423

Net Assets consist of:

Paid in capital

$ 5,627,640,633

Undistributed net investment income

83,880

Accumulated undistributed net realized gain (loss) on investments

(5,215,085)

Net unrealized appreciation (depreciation) on investments

16,546,995

Net Assets, for 56,580,359 shares outstanding

$ 5,639,056,423

Net Asset Value, offering price and redemption price per share ($5,639,056,423 ÷ 56,580,359 shares)

$ 99.66

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Operations

Six months ended March 31, 2004 (Unaudited)

Investment Income

Interest

$ 44,856,595

Expenses

Non-interested trustees' compensation

$ 11,961

Custodian fees and expenses

59,988

Audit

14,232

Legal

1,553

Insurance

12,563

Total expenses before reductions

100,297

Expense reductions

(7,177)

93,120

Net investment income (loss)

44,763,475

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities

1,818,782

Futures contracts

(1,078,320)

Swap agreements

5,735

Total net realized gain (loss)

746,197

Change in net unrealized appreciation (depreciation) on:

Investment securities

7,144,040

Futures contracts

521,910

Swap agreements

7,136

Total change in net unrealized appreciation (depreciation)

7,673,086

Net gain (loss)

8,419,283

Net increase (decrease) in net assets resulting from operations

$ 53,182,758

Semiannual Report

See accompanying notes which are an integral part of the financial statements.

Statement of Changes in Net Assets

Six months ended
March 31, 2004
(Unaudited)

Year ended
September 30,
2003

Increase (Decrease) in Net Assets

Operations

Net investment income (loss)

$ 44,763,475

$ 76,105,588

Net realized gain (loss)

746,197

(1,239,538)

Change in net unrealized appreciation (depreciation)

7,673,086

14,863,838

Net increase (decrease) in net assets resulting
from operations

53,182,758

89,729,888

Distributions to shareholders from net investment income

(44,039,585)

(75,320,664)

Share transactions
Net proceeds from sales of shares

864,968,202

2,975,449,870

Cost of shares redeemed

(222,500,009)

(234,732,988)

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

642,468,193

2,740,716,882

Total increase (decrease) in net assets

651,611,366

2,755,126,106

Net Assets

Beginning of period

4,987,445,057

2,232,318,951

End of period (including undistributed net investment income of $83,880 and distributions in excess of net investment income of $640,010, respectively)

$ 5,639,056,423

$ 4,987,445,057

Other Information

Shares

Sold

8,686,077

29,976,548

Redeemed

(2,234,985)

(2,361,410)

Net increase (decrease)

6,451,092

27,615,138

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights

Six months ended
March 31, 2004

Years ended September 30,

(Unaudited)

2003

2002 G

2001 E, G

Selected Per-Share Data

Net asset value,
beginning of period

$ 99.49

$ 99.15

$ 100.00

$ 100.00

Income from Investment Operations

Net investment income (loss) D

.842

1.917

3.022

.900

Net realized and unrealized
gain (loss)

.156

.450

(.743)

.000

Total from investment operations

.998

2.367

2.279

.900

Distributions from net investment income

(.828)

(2.027)

(3.129)

(.900)

Net asset value, end of period

$ 99.66

$ 99.49

$ 99.15

$ 100.00

Total Return B, C

1.01%

2.36%

2.39%

.90%

Ratios to Average Net Assets F

Expenses before expense
reductions

.0038% A

.0030%

.0033%

.0189% A

Expenses net of voluntary waivers,
if any

.0038% A

.0030%

.0033%

.0189% A

Expenses net of all reductions

.0035% A

.0026%

.0021%

.0189% A

Net investment income (loss)

1.69% A

1.94%

3.05%

4.73% A

Supplemental Data

Net assets, end of period
(000 omitted)

$ 5,639,056

$ 4,987,445

$ 2,232,319

$ 799,132

Portfolio turnover rate

48%A

58%

167%

282% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E For the period July 16, 2001 (commencement of operations) to September 30, 2001.

F Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.

G Per-share data has been adjusted for a 1-for-10 reverse stock split effective October 1, 2002.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Notes to Financial Statements

For the period ended March 31, 2004 (Unaudited)

1. Significant Accounting Policies.

Fidelity Ultra-Short 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. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:

Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Debt securities for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities, which is accrued using the interest method.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

1. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Capital accounts within the financial statements are adjusted for permanent and temporary book and tax differences. These adjustments have no impact on net assets or the results of operations. Temporary differences will reverse in a subsequent period. These differences are primarily due to futures transactions, market discount, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

The federal tax cost of investments including unrealized appreciation (depreciation) as of period end was as follows:

Unrealized appreciation

$ 22,226,218

Unrealized depreciation

(2,568,380)

Net unrealized appreciation (depreciation)

$ 19,657,838

Cost for federal income tax purposes

$ 5,492,609,076

2. Operating Policies.

Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).

Delayed Delivery Transactions and When-Issued Securities. The fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable

Semiannual Report

2. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities continued

securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the fund's Schedule of Investments. The fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Futures Contracts. The fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the fund's Schedule of Investments.

Swap Agreements. The fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Operating Policies - continued

Swap Agreements - continued

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."

Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but will be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an

Semiannual Report

2. Operating Policies - continued

Financing Transactions - continued

adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.

3. Purchases and Sales of Investments.

Information regarding purchases and sales of securities is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

4. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the fund with investment management services. The fund does not pay any fees for these services.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating funds. Information regarding the fund's participation in the program is included under the caption "Other Information" at the end of the fund's Schedule of Investments.

5. Expense Reductions.

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 $7,177.

6. Other Information.

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.

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. Schedule of Investments

Not applicable.

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

Not applicable.

Item 8. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 9. 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 10. 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 Trust's last fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 11. 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/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

June 2, 2004

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/Christine Reynolds

Christine Reynolds

President and Treasurer

Date:

June 2, 2004

By:

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

Date:

June 2, 2004

EX-99.CERT 2 ex99.htm

Exhibit EX-99.CERT

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) 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. 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

c. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual 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: June 2, 2004

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

I, Timothy F. Hayes, 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) 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. 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

c. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual 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: June 2, 2004

/s/Timothy F. Hayes

Timothy F. Hayes

Chief Financial Officer

EX-99.906 CERT 3 ex906.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: June 2, 2004

/s/Christine Reynolds

Christine Reynolds

President and Treasurer

Dated: June 2, 2004

/s/Timothy F. Hayes

Timothy F. Hayes

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.

-----END PRIVACY-ENHANCED MESSAGE-----