N-CSRS

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4861

Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)

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

Scott C. Goebel, Secretary

82 Devonshire St.

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

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

Date of fiscal year end:	December 31
Date of reporting period:	June 30, 2008

Item 1. Reports to Stockholders

Fidelity^® Variable Insurance Products:
Investment Grade Central Fund

Semiannual Report

June 30, 2008

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com (search for "proxy voting guidelines") or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

VIGC-SANN-0808 1.831205.102

Shareholder Expense Example

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2008 to June 30, 2008).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Beginning Account Value January 1, 2008	Ending Account Value June 30, 2008	Expenses Paid During Period* January 1, 2008 to June 30, 2008
Actual	$ 1,000.00	$ 1,004.20	$ .02
Hypothetical (5% return per year before expenses)	$ 1,000.00	$ 1,024.85	$ .02

* Expenses are equal to the Fund's annualized expense ratio of .0033%; multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.

Semiannual Report

Investment Changes (Unaudited)

Quality Diversification (% of fund's net assets)
As of June 30, 2008		As of December 31, 2007
	U.S. Government and U.S. Government Agency Obligations 54.6%		U.S. Government and U.S. Government Agency Obligations 61.7%
	AAA 12.9%		AAA 14.1%
	AA 5.0%		AA 4.5%
	A 8.7%		A 7.3%
	BBB 16.4%		BBB 15.7%
	BB and Below 0.8%		BB and Below 0.9%
	Not Rated 0.0%		Not Rated 0.2%
	Short-Term Investments and Net Other Assets 1.6%		Short-Term Investments and Net Other Assets*** (4.4)%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent downgrades.

Weighted Average Maturity as of June 30, 2008
		6 months ago
Years	6.2	6.1

The weighted average maturity is based on the dollar-weighted average length of time until principal payments are expected or until securities reach maturity, taking into account any maturity shortening feature such as a call, refunding or redemption provision.

Duration as of June 30, 2008
		6 months ago
Years	4.6	4.4

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)
As of June 30, 2008*			As of December 31, 2007**
	Corporate Bonds 26.7%			Corporate Bonds 22.1%
	U.S. Government and U.S. Government Agency Obligations 54.6%			U.S. Government and U.S. Government Agency Obligations 61.7%
	Asset-Backed Securities 5.1%			Asset-Backed Securities 7.2%
	CMOs and Other Mortgage Related Securities 11.8%			CMOs and Other Mortgage Related Securities 13.2%
	Other Investments 0.2%			Other Investments 0.2%
	Short-Term Investments and Net Other Assets 1.6%			Short-Term Investments and Net Other Assets*** (4.4)%
* Foreign investments		6.2%	** Foreign investments		6.6%
* Futures and Swaps		10.9%	** Futures and Swaps		13.2%

***Short-Term Investments and Net Other Assets are not included in the pie chart.

Semiannual Report

Investments June 30, 2008

Showing Percentage of Net Assets

Nonconvertible Bonds - 26.7%
	Principal Amount		Value
CONSUMER DISCRETIONARY - 2.2%
Hotels, Restaurants & Leisure - 0.1%
McDonald's Corp. 6.3% 3/1/38	$ 2,925,000		$ 2,897,534
Household Durables - 0.2%
Fortune Brands, Inc.:
5.125% 1/15/11	4,010,000		3,988,679
5.875% 1/15/36	5,320,000		4,463,858
Newell Rubbermaid, Inc. 6.25% 4/15/18	1,190,000		1,181,083
			9,633,620
Media - 1.9%
AOL Time Warner, Inc.:
6.75% 4/15/11	100,000		102,228
6.875% 5/1/12	290,000		296,685
7.625% 4/15/31	1,625,000		1,649,775
Comcast Corp.:
4.95% 6/15/16	2,975,000		2,739,323
5.5% 3/15/11	2,675,000		2,677,017
6.45% 3/15/37	5,676,000		5,282,602
COX Communications, Inc.:
4.625% 1/15/10	3,350,000		3,331,515
4.625% 6/1/13	3,475,000		3,289,703
6.25% 6/1/18 (a)	5,000,000		4,880,970
6.45% 12/1/36 (a)	1,560,000		1,449,243
News America Holdings, Inc. 7.75% 12/1/45	1,905,000		2,032,759
News America, Inc.:
6.15% 3/1/37	1,745,000		1,606,644
6.2% 12/15/34	6,695,000		6,174,008
Time Warner Cable, Inc.:
5.85% 5/1/17	2,467,000		2,343,159
6.2% 7/1/13	7,000,000		7,118,069
6.75% 7/1/18	4,425,000		4,454,342
7.3% 7/1/38	3,685,000		3,662,341
Time Warner, Inc.:
2.915% 11/13/09 (f)	1,024,000		995,104
5.875% 11/15/16	7,856,000		7,407,847
6.5% 11/15/36	2,925,000		2,603,829
Viacom, Inc.:
3.1263% 6/16/09 (f)	265,000		262,204
5.75% 4/30/11	1,410,000		1,413,288
6.125% 10/5/17	2,710,000		2,598,418
6.75% 10/5/37	935,000		895,533
			69,266,606
TOTAL CONSUMER DISCRETIONARY			81,797,760
CONSUMER STAPLES - 1.7%
Beverages - 0.2%
Diageo Capital PLC:
5.2% 1/30/13	1,705,000		1,706,949
5.75% 10/23/17	3,817,000		3,767,333
	Principal Amount		Value
FBG Finance Ltd. 5.125% 6/15/15 (a)	$ 2,185,000		$ 2,032,924
			7,507,206
Food & Staples Retailing - 0.4%
CVS Caremark Corp.:
6.036% 12/10/28 (a)	7,191,454		6,677,481
6.302% 6/1/37 (f)	5,910,000		5,067,825
Wal-Mart Stores, Inc. 6.2% 4/15/38	4,050,000		3,979,344
			15,724,650
Food Products - 0.6%
Cargill, Inc. 6.625% 9/15/37 (a)	3,333,000		3,288,088
General Mills, Inc. 5.2% 3/17/15	3,528,000		3,444,337
H.J. Heinz Co. 6.428% 12/1/08 (a)(f)	2,935,000		2,960,623
Kraft Foods, Inc.:
6.125% 2/1/18	2,376,000		2,309,664
6.875% 2/1/38	4,900,000		4,763,805
6.875% 1/26/39	5,000,000		4,852,345
			21,618,862
Personal Products - 0.2%
Avon Products, Inc. 5.75% 3/1/18	5,995,000		5,968,166
Tobacco - 0.3%
Philip Morris International, Inc.:
4.875% 5/16/13	2,904,000		2,852,678
5.65% 5/16/18	2,751,000		2,673,867
6.375% 5/16/38	4,652,000		4,533,490
Reynolds American, Inc. 7.25% 6/15/37	3,055,000		3,006,532
			13,066,567
TOTAL CONSUMER STAPLES			63,885,451
ENERGY - 3.0%
Energy Equipment & Services - 0.4%
Petronas Capital Ltd. 7% 5/22/12 (a)	6,135,000		6,566,192
Transocean, Inc. 6% 3/15/18	5,810,000		5,818,692
Weatherford International Ltd. 7% 3/15/38	2,250,000		2,306,837
			14,691,721
Oil, Gas & Consumable Fuels - 2.6%
Anadarko Petroleum Corp.:
5.95% 9/15/16	4,745,000		4,747,548
6.45% 9/15/36	1,155,000		1,140,087
Canadian Natural Resources Ltd.:
5.7% 5/15/17	5,685,000		5,569,333
6.25% 3/15/38	1,165,000		1,092,975
6.75% 2/1/39	1,135,000		1,137,404
Devon Financing Corp. U.L.C. 6.875% 9/30/11	3,000,000		3,184,077
Nonconvertible Bonds - continued
	Principal Amount		Value
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Duke Capital LLC:
4.37% 3/1/09	$ 3,575,000		$ 3,563,975
6.25% 2/15/13	855,000		870,128
6.75% 2/15/32	4,255,000		4,021,962
Duke Energy Field Services 6.45% 11/3/36 (a)	3,300,000		3,008,429
El Paso Natural Gas Co. 5.95% 4/15/17	3,330,000		3,213,237
Empresa Nacional de Petroleo 6.75% 11/15/12 (a)	6,135,000		6,378,934
EnCana Holdings Finance Corp. 5.8% 5/1/14	320,000		323,466
Kinder Morgan Energy Partners LP 5.125% 11/15/14	6,045,000		5,686,423
Nakilat, Inc. 6.067% 12/31/33 (a)	4,015,000		3,550,986
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (a)	925,000		844,145
Nexen, Inc.:
5.875% 3/10/35	1,655,000		1,478,066
6.4% 5/15/37	2,125,000		2,012,029
NGPL PipeCo LLC 6.514% 12/15/12 (a)	1,980,000		2,010,213
Pemex Project Funding Master Trust:
3.2806% 12/3/12 (a)(f)	410,000		401,800
4.0763% 6/15/10 (a)(f)	4,480,000		4,493,440
6.125% 8/15/08	236,000		236,944
Petro-Canada:
6.05% 5/15/18	1,480,000		1,458,524
6.8% 5/15/38	2,290,000		2,243,073
Plains All American Pipeline LP:
6.125% 1/15/17	1,250,000		1,228,431
6.65% 1/15/37	1,950,000		1,818,543
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (a)	2,375,000		2,306,315
6.332% 9/30/27 (a)	2,415,000		2,237,546
Suncor Energy, Inc.:
6.1% 6/1/18	4,665,000		4,679,130
6.85% 6/1/39	4,100,000		4,183,271
Talisman Energy, Inc. yankee 6.25% 2/1/38	1,195,000		1,098,463
TEPPCO Partners LP:
6.65% 4/15/18	1,811,000		1,832,708
7.55% 4/15/38	3,470,000		3,617,333
Texas Eastern Transmission LP 6% 9/15/17 (a)	2,434,000		2,398,756
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16	615,000		618,075
	Principal Amount		Value
Valero Energy Corp. 6.625% 6/15/37	$ 1,575,000		$ 1,444,036
XTO Energy, Inc. 6.375% 6/15/38	6,820,000		6,517,908
			96,647,713
TOTAL ENERGY			111,339,434
FINANCIALS - 10.9%
Capital Markets - 2.6%
Bear Stearns Companies, Inc. 6.95% 8/10/12	6,445,000		6,701,331
BlackRock, Inc. 6.25% 9/15/17	3,685,000		3,705,861
Goldman Sachs Group, Inc.:
5.25% 10/15/13	3,770,000		3,690,302
5.625% 1/15/17	3,000,000		2,779,671
5.7% 9/1/12	2,935,000		2,944,207
5.95% 1/18/18	755,000		724,768
6.15% 4/1/18	3,134,000		3,040,478
6.6% 1/15/12	4,610,000		4,740,380
6.75% 10/1/37	6,705,000		6,133,372
Janus Capital Group, Inc.:
5.875% 9/15/11	2,041,000		2,008,513
6.25% 6/15/12	6,015,000		5,870,508
JPMorgan Chase Capital XX 6.55% 9/29/36	3,090,000		2,672,319
JPMorgan Chase Capital XXV 6.8% 10/1/37	6,975,000		6,260,655
Lazard Group LLC:
6.85% 6/15/17	3,230,000		2,848,834
7.125% 5/15/15	5,585,000		5,221,874
Lehman Brothers Holdings, Inc.:
5.625% 1/24/13	1,112,000		1,052,514
6.2% 9/26/14	3,100,000		2,958,851
6.75% 12/28/17	1,755,000		1,648,691
6.875% 5/2/18	2,535,000		2,454,146
Merrill Lynch & Co., Inc.:
4.25% 2/8/10	7,275,000		7,118,842
6.15% 4/25/13	1,204,000		1,166,918
6.875% 4/25/18	214,000		203,669
Morgan Stanley:
4.75% 4/1/14	1,500,000		1,366,845
6.6% 4/1/12	7,695,000		7,823,660
6.625% 4/1/18	4,065,000		3,851,689
UBS AG Stamford Branch:
5.75% 4/25/18	4,720,000		4,503,900
5.875% 12/20/17	3,145,000		3,059,299
VTB Capital SA 3.3844% 8/1/08 (a)(f)	1,792,000		1,774,080
			98,326,177
Commercial Banks - 1.5%
Bank of America NA 5.3% 3/15/17	1,480,000		1,358,565
Credit Suisse (Guernsey) Ltd. 5.86%	4,785,000		3,989,006
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Commercial Banks - continued
Credit Suisse First Boston 6% 2/15/18	$ 6,110,000		$ 5,883,429
DBS Bank Ltd. (Singapore) 2.94% 5/16/17 (a)(f)	410,000		382,489
Export-Import Bank of Korea 5.5% 10/17/12	6,570,000		6,506,251
HBOS PLC 6.75% 5/21/18 (a)	4,900,000		4,686,203
HSBC Holdings PLC:
2.9275% 10/6/16 (f)	399,000		364,982
6.5% 9/15/37	7,355,000		6,871,556
Korea Development Bank:
3.875% 3/2/09	5,775,000		5,748,360
5.3% 1/17/13	3,805,000		3,797,162
Manufacturers & Traders Trust Co. 4.1975% 4/1/13 (a)(f)	269,000		257,715
PNC Funding Corp. 3.0394% 1/31/12 (f)	1,019,000		959,372
Santander Issuances SA Unipersonal 3.1625% 6/20/16 (a)(f)	1,229,000		1,144,445
SouthTrust Corp. 5.8% 6/15/14	1,440,000		1,460,362
Sovereign Bank 4.375% 8/1/13 (f)	576,000		445,773
Standard Chartered Bank 6.4% 9/26/17 (a)	4,025,000		3,934,780
Wachovia Bank NA 4.875% 2/1/15	4,405,000		3,998,815
Wachovia Corp. 4.875% 2/15/14	785,000		716,986
Wells Fargo & Co. 5.625% 12/11/17	4,754,000		4,599,699
			57,105,950
Consumer Finance - 1.4%
American Express Co.:
6.15% 8/28/17	3,625,000		3,540,693
8.15% 3/19/38	3,450,000		3,834,496
American General Finance Corp. 6.9% 12/15/17	2,370,000		2,065,609
Discover Financial Services 3.3163% 6/11/10 (f)	11,045,000		9,445,861
General Electric Capital Corp.:
5.625% 9/15/17	2,420,000		2,366,591
5.625% 5/1/18	9,700,000		9,380,434
5.875% 1/14/38	3,600,000		3,262,565
6.375% 11/15/67 (f)	4,000,000		3,783,236
MBNA America Bank NA 7.125% 11/15/12	1,075,000		1,147,094
MBNA Corp. 7.5% 3/15/12	1,860,000		2,003,616
SLM Corp.:
3.06% 7/27/09 (f)	1,064,000		997,552
3.08% 7/26/10 (f)	6,312,000		5,601,427
4% 1/15/09	1,020,000		1,007,446
4.5% 7/26/10	2,555,000		2,364,162
			50,800,782
	Principal Amount		Value
Diversified Financial Services - 1.1%
Bank of America Corp. 7.4% 1/15/11	$ 9,125,000		$ 9,516,791
BTM Curacao Holding NV 3.1288% 12/19/16 (a)(f)	666,000		606,481
GlaxoSmithKline Capital, Inc.:
5.65% 5/15/18	2,286,000		2,277,272
6.375% 5/15/38	2,905,000		2,883,596
JPMorgan Chase & Co.:
4.75% 5/1/13	7,045,000		6,846,761
4.891% 9/1/15 (f)	20,000		19,620
5.6% 6/1/11	127,000		128,740
5.75% 1/2/13	3,500,000		3,522,670
Prime Property Funding, Inc.:
5.125% 6/1/15 (a)	3,375,000		2,945,791
5.35% 4/15/12 (a)	1,700,000		1,647,951
5.5% 1/15/14 (a)	2,405,000		2,234,115
TECO Finance, Inc. 7% 5/1/12	1,740,000		1,814,439
ZFS Finance USA Trust II 6.45% 12/15/65 (a)(f)	3,400,000		3,015,797
ZFS Finance USA Trust V 6.5% 5/9/67 (a)(f)	4,035,000		3,521,772
			40,981,796
Insurance - 1.4%
American International Group, Inc.:
5.85% 1/16/18	4,750,000		4,450,052
8.175% 5/15/58 (a)(f)	3,075,000		2,893,910
Axis Capital Holdings Ltd. 5.75% 12/1/14	420,000		398,863
Hartford Financial Services Group, Inc. 8.125% 6/15/68 (f)	5,815,000		5,659,478
Lincoln National Corp. 7% 5/17/66 (f)	7,285,000		6,635,666
Marsh & McLennan Companies, Inc. 7.125% 6/15/09	4,259,000		4,301,824
New York Life Global Funding 4.65% 5/9/13 (a)	6,045,000		5,996,265
Pacific Life Global Funding 5.15% 4/15/13 (a)	3,690,000		3,648,904
Principal Life Global Funding I 6.25% 2/15/12 (a)	2,310,000		2,419,917
Prudential Financial, Inc. 8.875% 6/15/68 (f)	7,265,000		7,262,951
Symetra Financial Corp. 6.125% 4/1/16 (a)	6,355,000		5,605,949
The Chubb Corp.:
5.75% 5/15/18	1,895,000		1,836,659
6.5% 5/15/38	1,595,000		1,524,172
			52,634,610
Real Estate Investment Trusts - 2.3%
AMB Property LP 5.9% 8/15/13	2,575,000		2,504,896
Arden Realty LP 5.25% 3/1/15	625,000		614,060
Nonconvertible Bonds - continued
	Principal Amount		Value
FINANCIALS - continued
Real Estate Investment Trusts - continued
Brandywine Operating Partnership LP:
4.5% 11/1/09	$ 1,365,000		$ 1,320,759
5.625% 12/15/10	2,260,000		2,191,242
5.7% 5/1/17	5,000,000		4,248,635
5.75% 4/1/12	1,115,000		1,048,641
Camden Property Trust 5.375% 12/15/13	2,985,000		2,731,759
Colonial Properties Trust:
4.75% 2/1/10	2,045,000		1,991,102
4.8% 4/1/11	930,000		877,264
5.5% 10/1/15	6,290,000		5,539,408
Developers Diversified Realty Corp.:
3.875% 1/30/09	1,010,000		997,994
4.625% 8/1/10	225,000		217,431
5% 5/3/10	2,435,000		2,359,569
5.25% 4/15/11	2,335,000		2,241,745
5.375% 10/15/12	1,240,000		1,163,292
Duke Realty LP:
4.625% 5/15/13	925,000		839,320
5.4% 8/15/14	2,175,000		2,004,065
5.5% 3/1/16	1,270,000		1,153,685
5.625% 8/15/11	3,500,000		3,397,860
5.95% 2/15/17	695,000		641,888
6.5% 1/15/18	2,445,000		2,328,195
6.95% 3/15/11	1,535,000		1,562,375
Equity One, Inc. 6% 9/15/17	2,390,000		2,099,964
Federal Realty Investment Trust 5.4% 12/1/13	1,390,000		1,316,975
Hospitality Properties Trust 5.625% 3/15/17	4,210,000		3,416,819
HRPT Properties Trust:
5.75% 11/1/15	670,000		608,308
6.25% 6/15/17	4,455,000		4,108,468
Liberty Property LP:
5.5% 12/15/16	2,275,000		2,014,351
6.625% 10/1/17	2,290,000		2,141,090
Mack-Cali Realty LP:
5.05% 4/15/10	1,735,000		1,714,173
7.25% 3/15/09	1,085,000		1,097,036
Reckson Operating Partnership LP:
5.15% 1/15/11	795,000		751,181
6% 3/31/16	3,099,000		2,631,184
Simon Property Group LP:
4.6% 6/15/10	2,965,000		2,916,807
4.875% 8/15/10	4,120,000		4,021,717
5% 3/1/12	2,060,000		2,007,200
5.1% 6/15/15	2,220,000		2,008,791
5.375% 6/1/11	2,020,000		1,990,460
7.75% 1/20/11	595,000		617,063
UDR, Inc. 5.5% 4/1/14	2,690,000		2,499,311
	Principal Amount		Value
United Dominion Realty Trust, Inc. 5.25% 1/15/15	$ 890,000		$ 805,768
Washington (REIT) 5.95% 6/15/11	3,015,000		2,894,524
			83,636,375
Real Estate Management & Development - 0.3%
ERP Operating LP:
5.375% 8/1/16	830,000		753,787
5.5% 10/1/12	2,785,000		2,716,592
5.75% 6/15/17	2,375,000		2,192,206
Post Apartment Homes LP 6.3% 6/1/13	2,655,000		2,539,266
Regency Centers LP:
5.875% 6/15/17	1,815,000		1,679,853
6.75% 1/15/12	2,035,000		2,043,891
			11,925,595
Thrifts & Mortgage Finance - 0.3%
Capmark Financial Group, Inc.:
3.3656% 5/10/10 (f)	138,000		103,500
5.875% 5/10/12	3,610,000		2,546,537
6.3% 5/10/17	1,400,000		904,978
Credit Suisse First Boston (New York Branch) 5% 5/15/13	2,403,000		2,338,516
Independence Community Bank Corp.:
3.75% 4/1/14 (f)	3,820,000		3,067,349
4.8625% 6/20/13 (f)	731,000		589,642
Washington Mutual, Inc. 4.625% 4/1/14	1,765,000		1,288,450
			10,838,972
TOTAL FINANCIALS			406,250,257
HEALTH CARE - 0.1%
Pharmaceuticals - 0.1%
AstraZeneca PLC:
5.9% 9/15/17	1,990,000		2,039,750
6.45% 9/15/37	1,485,000		1,511,800
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	2,940,000		2,872,789
			6,424,339
INDUSTRIALS - 1.9%
Aerospace & Defense - 0.2%
BAE Systems Holdings, Inc. 4.75% 8/15/10 (a)	3,465,000		3,506,570
Bombardier, Inc.:
6.3% 5/1/14 (a)	4,515,000		4,311,825
7.45% 5/1/34 (a)	420,000		401,100
			8,219,495
Airlines - 1.0%
American Airlines, Inc. 7.25% 2/5/09	307,000		300,860
Nonconvertible Bonds - continued
	Principal Amount		Value
INDUSTRIALS - continued
Airlines - continued
American Airlines, Inc. pass-thru trust certificates:
6.855% 10/15/10	$ 104,481		$ 102,914
6.978% 10/1/12	521,380		503,131
7.024% 4/15/11	2,180,000		2,125,500
7.858% 4/1/13	3,480,000		3,340,800
Continental Airlines, Inc. pass-thru trust certificates:
6.648% 3/15/19	1,714,948		1,560,603
6.795% 2/2/20	3,566,363		2,710,436
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	2,976,888		2,485,701
7.57% 11/18/10	5,885,000		5,561,325
Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19	3,024,000		2,396,520
Southwest Airlines Co. pass-thru trust certificates 6.15% 8/1/22	2,358,425		2,215,269
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,530,452		1,339,146
8.36% 7/20/20	5,415,799		5,117,930
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 7/2/22	1,760,797		1,432,056
6.071% 9/1/14	419,333		411,995
6.201% 3/1/10	178,274		175,155
6.602% 9/1/13	539,187		531,099
7.032% 4/1/12	1,012,891		1,000,230
7.186% 10/1/12	2,513,861		2,488,722
			35,799,392
Building Products - 0.0%
Masco Corp. 3.0863% 3/12/10 (f)	941,000		898,124
Commercial Services & Supplies - 0.1%
R.R. Donnelley & Sons Co. 5.5% 5/15/15	3,395,000		3,236,661
Industrial Conglomerates - 0.6%
Covidien International Finance SA:
5.45% 10/15/12	2,155,000		2,184,672
6.55% 10/15/37	1,865,000		1,881,058
General Electric Co. 5.25% 12/6/17	7,130,000		6,854,297
Hutchison Whampoa International (03/13) Ltd. 6.5% 2/13/13 (a)	6,485,000		6,572,833
Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (a)	3,600,000		3,629,437
			21,122,297
	Principal Amount		Value
Road & Rail - 0.0%
CSX Corp. 6.25% 4/1/15	$ 865,000		$ 867,938
TOTAL INDUSTRIALS			70,143,907
INFORMATION TECHNOLOGY - 0.2%
Electronic Equipment & Instruments - 0.0%
Tyco Electronics Group SA 7.125% 10/1/37	1,225,000		1,254,116
Semiconductors & Semiconductor Equipment - 0.2%
Chartered Semiconductor Manufacturing Ltd. 5.75% 8/3/10	195,000		191,071
National Semiconductor Corp.:
3.0263% 6/15/10 (f)	1,092,000		1,037,233
6.15% 6/15/12	5,265,000		5,314,807
			6,543,111
TOTAL INFORMATION TECHNOLOGY			7,797,227
MATERIALS - 0.8%
Chemicals - 0.1%
Dow Chemical Co. 5.7% 5/15/18	2,075,000		2,009,430
Metals & Mining - 0.7%
Nucor Corp.:
5.85% 6/1/18	3,180,000		3,213,164
6.4% 12/1/37	2,550,000		2,587,197
Rio Tinto Finance Ltd.:
5.875% 7/15/13	7,725,000		7,767,827
6.5% 7/15/18	2,796,000		2,804,483
7.125% 7/15/28	3,500,000		3,541,713
United States Steel Corp. 6.65% 6/1/37	2,270,000		1,999,809
Vale Overseas Ltd. 6.25% 1/23/17	3,115,000		3,015,245
			24,929,438
Paper & Forest Products - 0.0%
International Paper Co. 4.25% 1/15/09	1,900,000		1,893,781
TOTAL MATERIALS			28,832,649
TELECOMMUNICATION SERVICES - 2.0%
Diversified Telecommunication Services - 1.8%
AT&T Broadband Corp. 8.375% 3/15/13	2,150,000		2,366,649
AT&T, Inc.:
6.3% 1/15/38	364,000		343,891
6.8% 5/15/36	10,939,000		10,960,933
BellSouth Capital Funding Corp. 7.875% 2/15/30	620,000		684,861
BellSouth Corp. 2.7756% 8/15/08 (f)	896,000		895,434
British Telecommunications PLC 9.125% 12/15/30	2,250,000		2,704,691
Nonconvertible Bonds - continued
	Principal Amount		Value
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Deutsche Telekom International Finance BV 5.25% 7/22/13	$ 2,500,000		$ 2,452,620
SBC Communications, Inc.:
6.15% 9/15/34	1,180,000		1,102,559
6.45% 6/15/34	3,620,000		3,494,962
Sprint Capital Corp. 6.875% 11/15/28	7,050,000		5,869,125
Telecom Italia Capital SA:
4.95% 9/30/14	2,000,000		1,830,506
6.999% 6/4/18	3,792,000		3,824,300
7.2% 7/18/36	3,620,000		3,500,359
Telefonica Emisiones SAU:
3.1025% 6/19/09 (f)	1,654,000		1,644,700
5.855% 2/4/13	1,438,000		1,447,606
6.221% 7/3/17	2,885,000		2,883,624
7.045% 6/20/36	4,335,000		4,448,794
Verizon Communications, Inc.:
6.1% 4/15/18	2,190,000		2,174,179
6.25% 4/1/37	1,380,000		1,271,049
6.4% 2/15/38	2,893,000		2,693,018
6.9% 4/15/38	2,420,000		2,391,618
Verizon Global Funding Corp. 7.75% 12/1/30	5,043,000		5,417,599
Verizon New York, Inc. 6.875% 4/1/12	1,095,000		1,141,971
			65,545,048
Wireless Telecommunication Services - 0.2%
America Movil SAB de CV 4.125% 3/1/09	1,755,000		1,757,931
AT&T Wireless Services, Inc.:
7.875% 3/1/11	740,000		787,845
8.125% 5/1/12	1,130,000		1,237,686
Sprint Nextel Corp. 6% 12/1/16	2,260,000		1,943,600
Vodafone Group PLC 5% 12/16/13	2,775,000		2,693,046
			8,420,108
TOTAL TELECOMMUNICATION SERVICES			73,965,156
UTILITIES - 3.9%
Electric Utilities - 2.0%
Alabama Power Co. 4.85% 12/15/12	4,095,000		4,113,432
AmerenUE 6.4% 6/15/17	6,509,000		6,496,444
Cleveland Electric Illuminating Co. 5.65% 12/15/13	4,845,000		4,789,951
Commonwealth Edison Co.:
5.4% 12/15/11	2,394,000		2,401,682
5.8% 3/15/18	4,010,000		3,914,458
6.15% 9/15/17	2,890,000		2,882,058
	Principal Amount		Value
Duke Energy Carolinas LLC:
5.25% 1/15/18	$ 1,890,000		$ 1,865,177
6.05% 4/15/38	1,742,000		1,722,129
EDP Finance BV 6% 2/2/18 (a)	2,864,000		2,851,885
Enel Finance International SA:
6.25% 9/15/17 (a)	1,455,000		1,472,275
6.8% 9/15/37 (a)	4,424,000		4,461,060
Exelon Corp.:
4.9% 6/15/15	5,075,000		4,669,675
6.75% 5/1/11	2,425,000		2,491,273
FirstEnergy Corp. 6.45% 11/15/11	2,980,000		3,057,775
Illinois Power Co. 6.125% 11/15/17	1,465,000		1,399,309
Nevada Power Co. 6.5% 5/15/18	3,165,000		3,204,563
Ohio Power Co. 2.9075% 4/5/10 (f)	1,167,000		1,143,990
Oncor Electric Delivery Co. 6.375% 5/1/12	1,885,000		1,909,556
Pennsylvania Electric Co. 6.05% 9/1/17	2,905,000		2,817,841
PPL Capital Funding, Inc. 6.7% 3/30/67 (f)	6,230,000		5,314,414
Progress Energy, Inc.:
5.625% 1/15/16	2,000,000		1,979,072
7.1% 3/1/11	3,932,000		4,137,400
Southern California Edison Co. 5.95% 2/1/38	1,890,000		1,868,371
West Penn Power Co. 5.95% 12/15/17 (a)	3,275,000		3,280,027
			74,243,817
Gas Utilities - 0.0%
Texas Eastern Transmission Corp. 7.3% 12/1/10	185,000		197,497
Independent Power Producers & Energy Traders - 0.6%
Constellation Energy Group, Inc. 7% 4/1/12	5,735,000		5,946,197
Exelon Generation Co. LLC 6.2% 10/1/17	6,685,000		6,511,197
PPL Energy Supply LLC:
5.7% 10/15/35	4,175,000		3,919,135
6.2% 5/15/16	2,715,000		2,652,487
6.5% 5/1/18	2,640,000		2,578,414
TXU Corp. 5.55% 11/15/14	980,000		769,300
			22,376,730
Multi-Utilities - 1.3%
Dominion Resources, Inc.:
4.75% 12/15/10	3,540,000		3,562,677
6.25% 6/30/12	1,938,000		2,004,433
6.3% 9/30/66 (f)	9,255,000		8,470,667
DTE Energy Co. 7.05% 6/1/11	3,500,000		3,626,186
MidAmerican Energy Holdings, Co.:
5.75% 4/1/18 (a)	1,800,000		1,782,904
Nonconvertible Bonds - continued
	Principal Amount		Value
UTILITIES - continued
Multi-Utilities - continued
MidAmerican Energy Holdings, Co.: - continued
5.875% 10/1/12	$ 2,880,000		$ 2,962,189
6.5% 9/15/37	3,280,000		3,312,708
National Grid PLC 6.3% 8/1/16	7,820,000		7,830,268
NiSource Finance Corp.:
3.2081% 11/23/09 (f)	412,000		400,519
5.4% 7/15/14	3,885,000		3,634,394
5.45% 9/15/20	2,135,000		1,862,877
6.4% 3/15/18	3,220,000		3,107,731
7.875% 11/15/10	925,000		959,239
Wisconsin Energy Corp. 6.25% 5/15/67 (f)	2,740,000		2,356,784
WPS Resources Corp. 6.11% 12/1/66 (f)	2,330,000		1,929,005
			47,802,581
TOTAL UTILITIES			144,620,625
TOTAL NONCONVERTIBLE BONDS (Cost $1,030,376,004)		995,056,805
U.S. Government and Government Agency Obligations - 16.7%
U.S. Government Agency Obligations - 2.8%
Fannie Mae:
0% 11/19/08	1,152,000		1,140,811
3.625% 2/12/13	4,230,000		4,145,662
4.75% 11/19/12	4,110,000		4,227,743
5% 2/16/12	20,940,000		21,719,136
Freddie Mac:
0% 8/18/08	256,000		255,239
0% 9/22/08	512,000		509,238
3.5% 5/29/13 (d)	13,595,000		13,210,071
4% 6/12/13	17,620,000		17,503,708
4.125% 12/21/12	9,200,000		9,231,768
5.25% 7/18/11	9,159,000		9,587,110
5.75% 1/15/12	15,975,000		16,956,312
Tennessee Valley Authority 5.375% 4/1/56	2,375,000		2,396,102
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14	2,020,000		2,024,911
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			102,907,811
	Principal Amount		Value
U.S. Treasury Inflation Protected Obligations - 7.4%
U.S. Treasury Inflation-Indexed Notes:
1.625% 1/15/18	$ 15,378,300		$ 15,630,591
2% 1/15/14 (d)	180,284,364		191,411,436
2% 7/15/14	5,697,200		6,051,023
2.375% 4/15/11	14,392,879		15,249,663
2.625% 7/15/17	31,089,000		34,329,600
3.5% 1/15/11	12,340,500		13,437,610
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			276,109,923
U.S. Treasury Obligations - 6.5%
U.S. Treasury Bonds 6.25% 5/15/30 (d)	14,893,000		18,331,183
U.S. Treasury Notes:
2.125% 1/31/10	7,200,000		7,162,877
2.5% 3/31/13	8,065,000		7,780,838
2.75% 2/28/13	36,175,000		35,315,844
3.375% 6/30/13 (b)	90,249,000		90,295,756
4.25% 8/15/14	80,000,000		83,581,280
TOTAL U.S. TREASURY OBLIGATIONS			242,467,778
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $602,079,635)		621,485,512
U.S. Government Agency - Mortgage Securities - 34.9%
Fannie Mae - 30.5%
3.244% 9/1/33 (f)	2,638,150		2,655,356
3.711% 7/1/33 (f)	1,843,337		1,859,512
3.744% 10/1/33 (f)	203,300		205,381
3.782% 6/1/34 (f)	1,171,018		1,175,898
3.829% 10/1/33 (f)	2,200,192		2,203,489
3.838% 10/1/33 (f)	4,702,892		4,794,749
3.991% 10/1/18 (f)	133,602		135,284
4% 8/1/18 to 6/1/19	3,151,719		3,023,000
4.078% 4/1/34 (f)	3,779,382		3,810,518
4.126% 5/1/34 (f)	2,640,195		2,649,732
4.134% 6/1/33 (f)	150,086		150,414
4.167% 1/1/35 (f)	478,607		482,052
4.25% 2/1/35 (f)	239,964		242,232
4.26% 10/1/33 (f)	88,276		89,268
4.301% 3/1/33 (f)	125,188		125,229
4.33% 1/1/35 (f)	265,729		268,300
4.338% 5/1/33 (f)	53,403		53,404
4.366% 2/1/34 (f)	429,594		435,683
4.384% 8/1/33 (f)	317,175		318,500
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Fannie Mae - continued
4.388% 2/1/35 (f)	$ 411,333		$ 415,689
4.419% 8/1/34 (f)	607,625		615,426
4.424% 5/1/35 (f)	142,026		142,293
4.429% 3/1/35 (f)	343,480		346,761
4.456% 1/1/35 (f)	249,160		250,746
4.48% 3/1/35 (f)	816,926		824,287
4.495% 3/1/35 (f)	778,596		787,528
4.497% 2/1/35 (f)	3,080,659		3,115,963
4.5% 4/1/18 to 10/1/35	104,075,576		99,807,732
4.532% 7/1/35 (f)	732,462		739,162
4.548% 5/1/35 (f)	563,752		570,224
4.56% 11/1/34 (f)	657,636		663,035
4.561% 2/1/35 (f)	2,437,959		2,468,504
4.566% 7/1/35 (f)	755,167		758,969
4.577% 9/1/34 (f)	664,721		672,467
4.599% 10/1/35 (f)	44,543		45,171
4.601% 2/1/35 (f)	631,481		638,836
4.642% 2/1/35 (f)	7,693,359		7,784,348
4.658% 11/1/34 (f)	815,990		826,291
4.694% 10/1/34 (f)	792,387		799,882
4.7% 12/1/34 (f)	505,479		510,558
4.701% 5/1/35 (f)	2,812,139		2,821,192
4.705% 7/1/34 (f)	654,085		662,289
4.716% 5/1/35 (f)	1,171,167		1,178,424
4.749% 5/1/35 (f)	3,088,941		3,106,752
4.771% 12/1/34 (f)	217,190		219,561
4.787% 4/1/35 (f)	76,209		76,574
4.789% 6/1/33 (f)	68,079		68,424
4.8% 6/1/35 (f)	901,515		912,415
4.813% 11/1/34 (f)	607,270		614,467
4.849% 4/1/33 (f)	29,850		29,983
4.855% 10/1/34 (f)	2,599,356		2,632,957
4.885% 7/1/35 (f)	2,681,142		2,703,758
5% 10/1/17 to 2/1/38	201,044,749		195,968,430
5.025% 7/1/34 (f)	98,777		100,167
5.026% 8/1/34 (f)	150,151		151,602
5.05% 9/1/34 (f)	1,689,262		1,712,547
5.131% 5/1/35 (f)	801,270		810,121
5.148% 5/1/35 (f)	2,268,685		2,294,162
5.154% 8/1/33 (f)	263,222		266,206
5.16% 6/1/35 (f)	828,519		832,908
5.197% 5/1/35 (f)	2,689,226		2,721,260
5.235% 5/1/36 (f)	1,187,958		1,213,076
5.253% 5/1/35 (f)	157,385		158,536
5.273% 3/1/35 (f)	155,668		156,967
5.291% 2/1/36 (f)	2,924,396		2,969,961
5.302% 12/1/35 (f)	1,410,105		1,431,637
5.302% 8/1/36 (f)	3,498,026		3,546,878
5.318% 4/1/36 (f)	3,438,195		3,557,270
	Principal Amount		Value
5.333% 7/1/35 (f)	$ 85,834		$ 86,789
5.423% 3/1/35 (f)	1,287,061		1,292,371
5.464% 2/1/36 (f)	4,255,734		4,326,792
5.5% 6/1/09 to 11/1/37	278,611,982		276,537,471
5.5% 7/1/38 (b)	50,000,000		49,296,070
5.513% 3/1/35 (f)	53,911		54,374
5.566% 9/1/36 (f)	1,549,289		1,587,246
5.584% 1/1/36 (f)	1,253,424		1,276,108
5.6% 10/1/35 (f)	1,350,685		1,377,174
5.616% 7/1/37 (f)	814,991		831,876
5.654% 9/1/35 (f)	1,175,774		1,196,421
5.787% 2/1/36 (f)	705,535		720,778
5.802% 1/1/36 (f)	769,017		783,337
5.967% 2/1/35 (f)	60,536		61,550
6% 6/1/14 to 2/1/38 (c)	284,906,106		289,086,636
6.03% 4/1/36 (f)	613,777		628,784
6.039% 1/1/35 (f)	179,802		181,513
6.103% 3/1/33 (f)	92,996		93,922
6.222% 2/1/35 (f)	55,919		56,165
6.234% 2/1/35 (f)	139,054		139,949
6.237% 2/1/35 (f)	818,301		820,945
6.251% 6/1/36 (f)	290,786		297,160
6.309% 4/1/36 (f)	604,099		621,156
6.5% 6/1/11 to 7/1/34	36,892,569		38,392,235
6.5% 7/1/38 (b)	75,000,000		77,152,793
6.554% 9/1/36 (f)	3,364,088		3,471,318
7% 3/1/15 to 8/1/32	3,167,716		3,347,266
7.5% 8/1/08 to 11/1/31	2,494,626		2,657,387
8% 1/1/30 to 5/1/30	66,320		70,790
8.5% 3/1/25 to 6/1/25	1,247		1,345
TOTAL FANNIE MAE			1,136,828,118
Freddie Mac - 3.3%
3.431% 7/1/33 (f)	5,031,695		5,053,399
4% 2/1/20	3,235,823		3,092,498
4.3% 12/1/34 (f)	316,128		318,758
4.33% 3/1/35 (f)	534,185		538,299
4.367% 2/1/35 (f)	662,195		666,653
4.406% 6/1/35 (f)	322,539		321,867
4.411% 3/1/35 (f)	368,013		368,032
4.417% 2/1/34 (f)	239,445		240,463
4.427% 3/1/35 (f)	321,230		321,346
4.5% 5/1/19	36,046		35,430
4.541% 2/1/35 (f)	619,513		620,809
4.767% 10/1/34 (f)	1,003,581		1,018,652
4.816% 9/1/34 (f)	468,984		476,098
4.845% 4/1/35 (f)	1,288,712		1,296,167
5.135% 4/1/35 (f)	1,485,291		1,498,409
5.275% 3/1/36 (f)	567,643		574,169
5.37% 3/1/35 (f)	206,000		208,359
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount		Value
Freddie Mac - continued
5.406% 11/1/35 (f)	$ 753,416		$ 763,711
5.524% 1/1/36 (f)	1,922,479		1,950,491
5.584% 2/1/35 (f)	432,372		434,877
5.749% 10/1/35 (f)	516,740		525,442
5.85% 6/1/36 (f)	728,217		742,887
5.854% 1/1/35 (f)	434,893		438,573
6% 4/1/32 to 11/1/37	36,245,252		36,758,877
6% 7/1/38 (b)	49,000,000		49,509,527
6.011% 7/1/37 (f)	3,658,717		3,741,996
6.033% 6/1/36 (f)	678,953		694,024
6.078% 4/1/36 (f)	1,105,063		1,129,961
6.105% 6/1/36 (f)	672,398		686,365
6.425% 10/1/36 (f)	3,448,032		3,546,059
6.502% 3/1/33 (f)	61,309		61,995
6.615% 7/1/36 (f)	4,752,971		4,894,647
6.71% 8/1/36 (f)	643,141		663,526
7.5% 5/1/17 to 11/1/31	286,587		304,901
8% 7/1/17 to 5/1/27	39,603		42,422
8.5% 3/1/20 to 1/1/28	179,477		193,614
TOTAL FREDDIE MAC			123,733,303
Government National Mortgage Association - 1.1%
3.75% 1/20/34 (f)	1,406,298		1,386,023
4.5% 2/20/37 (f)	6,563,954		6,582,510
5.25% 7/20/34 (f)	388,445		389,802
6% 12/15/08 to 11/15/34	12,422,210		12,685,801
6.5% 11/15/08 to 11/15/35	12,331,559		12,850,538
7% 1/15/28 to 11/15/32	5,331,413		5,636,451
7.5% 4/15/22 to 10/15/28	1,236,783		1,319,951
8% 2/15/17 to 11/15/30	142,430		153,558
8.5% 12/15/16 to 3/15/30	35,048		38,140
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			41,042,774
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,302,831,546)		1,301,604,195
Asset-Backed Securities - 5.1%
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 2.8325% 1/25/35 (f)	35,616		28,254
Series 2005-1 Class M1, 2.9525% 4/25/35 (f)	657,000		536,879
	Principal Amount		Value
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1:
Class M1, 3.2325% 6/25/33 (f)	$ 5,307		$ 5,035
Class M2, 4.2325% 6/25/33 (f)	44,000		36,762
Series 2004-HE1 Class M1, 2.9825% 2/25/34 (f)	136,000		134,046
Series 2004-OP1 Class M1, 3.0025% 4/25/34 (f)	218,634		145,573
Series 2005-HE1 Class M1, 2.9625% 2/25/35 (f)	10,939		8,989
Series 2005-HE2 Class M2, 2.9325% 4/25/35 (f)	92,000		84,375
Series 2005-HE6 Class A2B, 2.6825% 10/25/35 (f)	20,058		19,990
Series 2005-SD1 Class A1, 2.8825% 11/25/50 (f)	145,405		116,415
Advanta Business Card Master Trust:
Series 2006-C1 Class C1, 2.9619% 10/20/14 (f)	419,000		258,523
Series 2007-A4 Class A4, 2.5119% 4/22/13 (f)	1,536,000		1,467,600
Series 2007-B1 Class B, 2.7319% 12/22/14 (f)	887,000		637,764
Airspeed Ltd. Series 2007-1A Class C1, 4.9713% 6/15/32 (a)(f)	2,954,953		2,337,368
ALG Student Loan Trust I Series 2006-1 Class A1, 3.2538% 10/28/18 (a)(f)	516,724		514,383
American Express Credit Account Master Trust Series 2004-C Class C, 2.9713% 2/15/12 (a)(f)	87,400		85,603
AmeriCredit Automobile Receivables Trust:
Series 2005-1 Class C, 4.73% 7/6/10	599,785		597,161
Series 2006-1:
Class A3, 5.11% 10/6/10	31,983		31,975
Class B1, 5.2% 3/6/11	305,000		295,898
Class C1, 5.28% 11/6/11	1,850,000		1,726,281
Series 2008-AF Class A3, 6.07% 12/12/12	5,225,000		5,037,945
Ameriquest Mortgage Securities, Inc.:
Series 2003-10 Class M1, 3.1825% 12/25/33 (f)	71,867		54,466
Series 2004-R10 Class M1, 3.1825% 11/25/34 (f)	239,000		171,181
Series 2004-R11 Class M1, 3.1425% 11/25/34 (f)	227,000		159,723
Series 2004-R2:
Class M1, 2.9125% 4/25/34 (f)	90,000		64,616
Asset-Backed Securities - continued
	Principal Amount		Value
Ameriquest Mortgage Securities, Inc.: - continued
Series 2004-R2:
Class M3, 3.0325% 4/25/34 (f)	$ 63,916		$ 41,493
Series 2005-R1 Class M1, 2.9325% 3/25/35 (f)	332,000		234,119
Series 2005-R10 Class A2B, 2.7025% 12/25/35 (f)	364,575		314,218
Series 2005-R2 Class M1, 2.9325% 4/25/35 (f)	727,000		533,611
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 2.8125% 6/25/32 (f)	65,407		55,085
Argent Securities, Inc.:
Series 2003-W7 Class A2, 2.8725% 3/1/34 (f)	16,878		13,476
Series 2004-W11 Class M2, 3.1825% 11/25/34 (f)	198,000		139,372
Series 2004-W5 Class M1, 3.0825% 4/25/34 (f)	2,679,000		2,008,781
Series 2004-W7:
Class M1, 3.0325% 5/25/34 (f)	209,000		155,110
Class M2, 3.0825% 5/25/34 (f)	183,000		130,929
Series 2006-W4 Class A2C, 2.6425% 5/25/36 (f)	547,000		293,072
Arran Funding Ltd. Series 2005-A Class C, 2.7913% 12/15/10 (f)	1,370,000		1,323,968
Asset Backed Funding Certificates Series 2005-HE1 Class M1, 2.9025% 12/25/34 (f)	505,174		354,068
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 3.7163% 6/15/33 (f)	92,933		73,624
Series 2003-HE6 Class M1, 3.1325% 11/25/33 (f)	189,000		145,670
Series 2004-HE2 Class M1, 3.0325% 4/25/34 (f)	940,000		646,348
Series 2004-HE3:
Class M1, 3.0225% 6/25/34 (f)	83,000		57,509
Class M2, 3.6025% 6/25/34 (f)	180,095		132,609
Series 2004-HE6 Class A2, 2.8425% 6/25/34 (f)	146,710		110,812
Series 2005-HE2 Class M1, 2.9325% 3/25/35 (f)	371,445		298,660
Series 2005-HE6 Class A2B, 2.7325% 7/25/35 (f)	3,076		2,953
Series 2005-HE8 Class M2, 2.9325% 11/25/35 (f)	108,000		61,155
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 2.5513% 3/15/12 (f)	1,209,000		1,183,699
	Principal Amount		Value
Bayview Financial Acquisition Trust Series 2004-C Class A1, 3.1125% 5/28/44 (f)	$ 144,930		$ 122,284
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 3.1575% 2/28/44 (f)	252,075		201,424
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 2.9325% 9/25/35 (f)	48,144		42,638
Series 2005-FR1 Class M1, 2.9825% 6/25/35 (f)	341,000		236,139
Series 2005-HE2 Class M1, 2.9825% 2/25/35 (f)	537,219		447,473
Series 2007-AQ1 Class A1, 2.5925% 11/25/36 (f)	594,639		527,835
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 2.8144% 12/26/24 (f)	809,141		773,773
Capital Auto Receivables Asset Trust:
Series 2005-1 Class B, 2.8463% 6/15/10 (f)	337,000		335,420
Series 2006-1:
Class A3, 5.03% 10/15/09	338,387		339,562
Class B, 5.26% 10/15/10	945,000		952,613
Class C, 5.55% 1/18/11	5,965,000		6,013,691
Class D, 7.16% 1/15/13 (a)	645,000		648,344
Series 2007-SN1:
Class B, 5.52% 3/15/11	1,140,000		1,096,538
Class C, 5.73% 3/15/11	660,000		610,294
Class D, 6.05% 1/17/12	1,630,000		1,433,636
Capital One Auto Finance Trust:
Series 2004-B Class A4, 2.5813% 8/15/11 (f)	328,176		314,171
Series 2006-C Class A3B, 2.4813% 7/15/11 (f)	313,756		301,696
Series 2007-A Class A2, 5.33% 5/17/10	81,652		81,660
Series 2007-B Class A2, 5.27% 6/15/10	215,718		215,654
Capital One Multi-Asset Execution Trust:
Series 2004-6 Class B, 4.15% 7/16/12	4,465,000		4,366,632
Series 2007-C3 Class C3, 2.7613% 4/15/13 (a)(f)	1,024,000		917,920
CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13	4,260,000		3,461,250
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 2.7825% 7/25/36 (f)	402,000		68,491
Series 2006-NC3 Class M10, 4.4825% 8/25/36 (a)(f)	255,000		14,555
Series 2007-RFC1 Class A3, 2.6225% 12/25/36 (f)	635,000		409,674
Asset-Backed Securities - continued
	Principal Amount		Value
Cendant Timeshare Receivables Funding LLC:
Series 2005 1A Class 2A2, 2.6619% 5/20/17 (a)(f)	$ 125,298		$ 104,865
Series 2005-1A Class A1, 4.67% 5/20/17 (a)	535,450		390,900
Chase Issuance Trust:
Series 2004-3 Class C, 2.9413% 6/15/12 (f)	187,000		181,987
Series 2008-9 Class A, 4.26% 5/15/13	2,000,000		1,986,920
CIT Equipment Collateral Trust:
Series 2006-VT1 Class A3, 5.13% 12/21/08	980,520		985,299
Series 2006-VT2 Class D, 5.46% 4/20/14	224,608		206,640
Citibank Credit Card Issuance Trust:
Series 2005-B1 Class B1, 4.4% 9/15/10	5,120,000		5,133,139
Series 2006-B2 Class B2, 5.15% 3/7/11	2,270,000		2,280,356
Series 2007-B6 Class B6, 5.03% 11/8/12	7,680,000		7,484,851
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 2.8925% 12/25/33 (a)(f)	159,649		125,318
Series 2007-AMC4 Class M1, 2.7525% 5/25/37 (f)	270,000		65,057
CNH Equipment Trust:
Series 2006-A Class A3, 5.2% 8/16/10	1,169,872		1,175,527
Series 2007-A Class A2, 5.09% 10/15/09	122,923		123,079
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 2.5313% 7/15/12 (a)(f)	461,000		457,993
Class B, 2.7513% 7/15/12 (a)(f)	460,977		438,728
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 3.3425% 5/25/33 (f)	20,816		17,056
Series 2004-3:
Class 3A4, 2.7325% 8/25/34 (f)	69,913		54,335
Class M1, 2.9825% 6/25/34 (f)	233,000		201,239
Class M4, 3.4525% 4/25/34 (f)	60,189		40,336
Series 2004-4:
Class A, 2.8525% 8/25/34 (f)	17,068		10,936
Class M2, 3.0125% 6/25/34 (f)	254,508		219,444
Series 2005-1:
Class M1, 2.9025% 8/25/35 (f)	180,000		138,628
Class MV2, 2.9225% 7/25/35 (f)	498,000		433,790
	Principal Amount		Value
Series 2005-3 Class MV1, 2.9025% 8/25/35 (f)	$ 873,000		$ 609,251
Series 2005-AB1 Class A2, 2.6925% 8/25/35 (f)	257,365		239,671
CPS Auto Receivables Trust:
Series 2004-D Class A2, 3.86% 12/15/11 (a)	91,359		84,864
Series 2006-C Class A2, 5.31% 3/15/10 (a)	7,367		7,360
Credit-Based Asset Servicing and Securitization Mortgage Loan Certificates Series 2006-SC1 Class A, 2.7525% 5/25/36 (a)(f)	404,145		311,066
Credit-Based Asset Servicing and Securitization Trust Series 2006-CB7 Class A2, 2.5425% 10/25/36 (f)	280,840		261,884
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A:
Class B, 4.878% 6/15/35 (a)	2,052,000		1,995,693
Class C, 5.074% 6/15/35 (a)	1,862,000		1,774,430
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (a)	840,000		722,793
Discover Card Master Trust I:
Series 2003-4 Class B1, 2.8013% 5/16/11 (f)	446,000		440,806
Series 2005-3 Class B, 2.6613% 5/15/11 (f)	461,000		456,917
Series 2006-1 Class B1, 2.6213% 8/16/11 (f)	749,000		734,371
Series 2006-2 Class B1, 2.5913% 1/17/12 (f)	1,024,000		983,254
Series 2007-1 Class B, 2.5713% 8/15/12 (f)	1,024,000		936,858
Drive Auto Receivables Trust Series 2006-2 Class A3, 5.33% 4/15/14 (a)	4,995,000		4,671,321
DriveTime Auto Owner Trust Series 2006-B Class A2, 5.32% 3/15/10 (a)	168,737		167,841
DT Auto Owner Trust Series 2007-A Class A3, 5.6% 3/15/13 (a)	5,175,000		3,824,843
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 3.5126% 5/28/35 (f)	13,702		9,216
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 4.6575% 8/25/34 (f)	102,000		55,274
Series 2006-3 Class 2A3, 2.6425% 11/25/36 (f)	1,585,000		822,466
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 3.3075% 3/25/34 (f)	22,924		17,597
Asset-Backed Securities - continued
	Principal Amount		Value
First Franklin Mortgage Loan Trust: - continued
Series 2006-FF12 Class A2, 2.5225% 9/25/36 (f)	$ 377,053		$ 351,484
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a)	187,915		185,300
Ford Credit Auto Owner Trust:
Series 2006-A Class A3, 5.05% 11/15/09	833,060		838,008
Series 2006-B Class D, 7.26% 2/15/13 (a)	1,025,000		929,527
Ford Credit Floorplan Master Owner Trust:
Series 2006-3:
Class A, 2.6513% 6/15/11 (f)	426,000		416,591
Class B, 2.9213% 6/15/11 (f)	713,000		663,440
Series 2006-4 Class B, 3.0213% 6/15/13 (f)	272,000		246,600
Franklin Auto Trust Series 2007-1 Class A2, 5.14% 5/17/10	295,593		296,340
Fremont Home Loan Trust:
Series 2004-A Class M1, 3.3075% 1/25/34 (f)	466,890		348,612
Series 2005-A:
Class M1, 2.9125% 1/25/35 (f)	68,989		60,678
Class M2, 2.9425% 1/25/35 (f)	618,000		522,923
Class M3, 2.9725% 1/25/35 (f)	334,000		222,783
Class M4, 3.1625% 1/25/35 (f)	128,000		58,675
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3.0181% 9/25/30 (a)(f)	829,000		663,200
GE Business Loan Trust Series 2003-1 Class A, 2.9013% 4/15/31 (a)(f)	135,836		112,757
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 2.5813% 9/17/12 (f)	313,000		296,959
Class C, 2.7113% 9/17/12 (f)	244,000		222,421
Series 2007-1 Class C, 2.7413% 3/15/13 (f)	1,671,000		1,462,125
Gracechurch Card Funding PLC:
Series 11 Class C, 2.7513% 11/15/10 (f)	1,178,000		1,157,197
Series 9:
Class B, 2.6213% 9/15/10 (f)	207,000		205,586
Class C, 2.7813% 9/15/10 (f)	758,000		750,769
GSAMP Trust:
Series 2002-HE Class M1, 4.3569% 11/20/32 (f)	252,718		206,974
	Principal Amount		Value
Series 2003-FM1 Class M1, 3.7119% 3/20/33 (f)	$ 457,009		$ 370,555
Series 2004-AR1:
Class B4, 5% 6/25/34 (a)(f)	270,974		81,292
Class M1, 3.1325% 6/25/34 (f)	772,000		494,599
Series 2004-FM2 Class M1, 3.2325% 1/25/34 (f)	407,551		315,598
Series 2004-HE1 Class M1, 3.0325% 5/25/34 (f)	201,734		153,317
Series 2007-HE1 Class M1, 2.7325% 3/25/47 (f)	289,000		66,831
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 2.8225% 11/25/34 (f)	5,588		4,137
Series 2005-9 Class 2A1, 2.6025% 8/25/35 (f)	28,285		27,785
Series 2005-MTR1 Class A1, 2.6225% 10/25/35 (f)	241,032		229,960
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 3.5625% 5/25/30 (a)(f)	232,504		169,728
Series 2006-3 Class C, 3.0325% 9/25/46 (a)(f)	538,000		312,040
Helios Finance L.P. Series 2007-S1 Class B1, 3.1819% 10/20/14 (a)(f)	1,241,000		830,601
Holmes Master Issuer PLC:
Series 2006-1A Class 2C, 3.1031% 7/15/40 (a)(f)	215,000		194,399
Series 2007-2A Class 1C, 2.9431% 7/15/40 (f)	814,696		806,421
Home Equity Asset Trust:
Series 2002-3 Class A5, 3.3625% 2/25/33 (f)	141		96
Series 2003-3 Class M1, 3.7725% 8/25/33 (f)	392,092		325,238
Series 2003-4 Class M1, 3.6825% 10/25/33 (f)	104,557		79,798
Series 2003-5:
Class A2, 3.1825% 12/25/33 (f)	11,595		9,247
Class M1, 3.5325% 12/25/33 (f)	135,117		115,884
Series 2003-7 Class A2, 2.8625% 3/25/34 (f)	584		388
Series 2003-8 Class M1, 3.5625% 4/25/34 (f)	183,339		142,260
Series 2004-3 Class M2, 3.6825% 8/25/34 (f)	146,000		110,885
Series 2004-7 Class A3, 2.8725% 1/25/35 (f)	216		161
Series 2005-1 Class M1, 2.9125% 5/25/35 (f)	562,000		479,280
Series 2005-3 Class M1, 2.8925% 8/25/35 (f)	484,000		394,140
Asset-Backed Securities - continued
	Principal Amount		Value
Home Equity Asset Trust: - continued
Series 2005-5 Class 2A2, 2.7325% 11/25/35 (f)	$ 230,332		$ 204,492
Series 2006-1 Class 2A3, 2.7075% 4/25/36 (f)	1,736,000		1,142,071
Honda Auto Receivables Owner Trust Series 2008-1 Class A3, 4.47% 1/18/12	6,255,000		6,278,832
Household Home Equity Loan Trust Series 2004-1 Class M, 3.0019% 9/20/33 (f)	102,334		80,294
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 2.6113% 6/15/12 (f)	792,000		758,633
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 2.9419% 1/20/35 (f)	288,478		233,848
Class M2, 2.9719% 1/20/35 (f)	216,601		168,138
Series 2005-3 Class A1, 2.7419% 1/20/35 (f)	157,445		130,827
Series 2006-2:
Class M1, 2.7519% 3/20/36 (f)	253,421		188,868
Class M2, 2.7719% 3/20/36 (f)	418,824		291,075
Series 2006-3 Class A1V, 2.5619% 3/20/36 (f)	507,765		492,532
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 2.6725% 1/25/37 (f)	436,000		260,292
Hyundai Auto Receivables Trust:
Series 2004-1 Class A4, 5.26% 11/15/12	2,010,000		2,043,214
Series 2006-1:
Class A3, 5.13% 6/15/10	257,414		259,084
Class B, 5.29% 11/15/12	236,488		239,821
Class C, 5.34% 11/15/12	304,056		303,467
JPMorgan Mortgage Acquisition Trust Series 2007-CH1:
Class AV4, 2.6125% 11/25/36 (f)	438,000		265,647
Class MV1, 2.7125% 11/25/36 (f)	356,000		74,475
Keycorp Student Loan Trust:
Series 1999-A Class A2, 2.985% 12/27/09 (f)	418,048		412,435
Series 2006-A Class 2A1, 2.8381% 9/27/21 (f)	363,360		359,779
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:
Class B, 4.13% 11/20/37 (a)	3,860,000		3,242,400
Class C, 4.13% 11/20/37 (a)	3,760,000		3,008,000
	Principal Amount		Value
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 3.7125% 6/25/33 (f)	$ 804,466		$ 611,433
Series 2004-2:
Class M1, 3.0125% 6/25/34 (f)	744,000		513,187
Class M2, 3.5625% 6/25/34 (f)	167,000		129,422
Series 2006-1 Class 2A2, 2.6225% 2/25/36 (f)	131,104		128,728
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 2.6925% 5/25/47 (f)	502,000		423,395
MASTR Asset Backed Securities Trust Series 2006-AM3 Class M1, 2.7425% 10/25/36 (f)	158,000		19,019
MBNA Credit Card Master Note Trust:
Series 2003-B3 Class B3, 2.8463% 1/18/11 (f)	58,000		58,008
Series 2003-B5 Class B5, 2.8413% 2/15/11 (f)	36,000		35,996
Series 2005-C3 Class C, 2.7413% 3/15/11 (f)	1,135,000		1,124,182
Meritage Mortgage Loan Trust Series 2004-1 Class M2, 3.3075% 7/25/34 (f)	8,732		2,361
Merna Reinsurance Ltd. Series 2007-1 Class B, 4.5506% 6/30/12 (a)(f)	3,285,000		3,123,050
Merrill Lynch Alternative Note Asset Trust Series 2007-OAR1 Class A1, 2.6525% 2/25/37 (f)	659,795		527,836
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 3.1825% 7/25/34 (f)	248,947		214,112
Series 2003-OPT1 Class M1, 3.1325% 7/25/34 (f)	71,824		63,065
Series 2006-FM1 Class A2B, 2.5925% 4/25/37 (f)	916,000		799,497
Series 2006-HE3 Class A2, 2.5725% 6/25/37 (f)	384,000		368,700
Series 2006-OPT1 Class A1A, 2.7425% 6/25/35 (f)	597,740		496,685
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 4.1325% 12/27/32 (f)	16,986		12,470
Series 2003-NC7 Class M1, 3.5325% 6/25/33 (f)	205,944		157,053
Series 2003-NC8 Class M1, 3.5325% 9/25/33 (f)	156,079		114,477
Series 2004-HE6 Class A2, 2.8225% 8/25/34 (f)	20,187		13,158
Series 2004-NC2 Class M1, 3.0325% 12/25/33 (f)	362,538		264,659
Series 2005-HE1 Class M2, 2.9525% 12/25/34 (f)	172,000		130,020
Asset-Backed Securities - continued
	Principal Amount		Value
Morgan Stanley ABS Capital I Trust: - continued
Series 2005-HE2 Class M1, 2.8825% 1/25/35 (f)	$ 155,000		$ 112,904
Series 2005-NC1 Class M1, 2.9225% 1/25/35 (f)	141,000		100,094
Series 2007-HE2 Class A2A, 2.5225% 1/25/37 (f)	64,017		58,336
Series 2007-HE4 Class A2A, 2.5925% 2/25/37 (f)	59,611		53,920
Series 2007-NC3 Class A2A, 2.5425% 5/25/37 (f)	28,119		27,249
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 3.9825% 1/25/32 (f)	23,503		23,323
Series 2002-AM3 Class A3, 3.4625% 2/25/33 (f)	36,132		27,844
Series 2002-HE2 Class M1, 3.9825% 8/25/32 (f)	262,208		191,604
Series 2002-NC1 Class M1, 3.6825% 2/25/32 (a)(f)	210,129		157,626
Series 2002-NC3:
Class A3, 3.1625% 8/25/32 (f)	12,136		8,566
Class M1, 3.5625% 8/25/32 (f)	24,357		18,645
Series 2003-NC1 Class M1, 4.0575% 11/25/32 (f)	160,410		114,359
Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 2.5825% 4/25/37 (f)	37,933		35,497
National Collegiate Student Loan Trust:
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g)	1,750,000		182,000
Series 2006-3 Class A1, 2.5125% 9/25/19 (f)	921,737		904,703
Series 2006-4 Class A1, 2.5125% 3/25/25 (f)	602,279		579,888
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 3.5625% 1/25/34 (f)	428,525		321,430
Series 2005-4 Class M2, 2.9925% 9/25/35 (f)	503,000		389,883
Series 2005-D Class M2, 2.9525% 2/25/36 (f)	105,000		40,531
Nissan Auto Lease Trust Series 2005-A Class A4, 2.5218% 8/15/11 (f)	201,162		201,132
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	150,416		145,296
Series 2006-HE2 Class A2, 2.6025% 3/25/36 (f)	384,000		369,480
	Principal Amount		Value
Ocala Funding LLC Series 2006-1A Class A, 3.8819% 3/20/11 (a)(f)	$ 414,000		$ 310,500
Option One Mortgage Loan Trust Series 2004-3 Class M3, 3.1325% 11/25/34 (f)	121,000		81,000
Ownit Mortgage Loan Trust Series 2006-2 Class A2A, 2.5625% 1/25/37 (f)	36,239		35,752
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 3.1625% 9/25/34 (f)	98,000		83,889
Class M3, 3.7325% 9/25/34 (f)	188,000		132,525
Class M4, 3.9325% 9/25/34 (f)	241,000		59,623
Series 2004-WCW2 Class M3, 3.0325% 7/25/35 (f)	141,000		70,500
Series 2004-WHQ2 Class M1, 3.0725% 2/25/35 (f)	410,000		265,026
Series 2004-WWF1:
Class M2, 3.1625% 2/25/35 (f)	566,000		423,675
Class M3, 3.2225% 2/25/35 (f)	70,000		47,242
Series 2005-WCH1:
Class M2, 3.0025% 1/25/35 (f)	1,972,000		1,404,176
Class M3, 3.0425% 1/25/35 (f)	168,000		103,083
Class M4, 3.3125% 1/25/35 (f)	520,000		303,353
Series 2005-WHQ2 Class M7, 3.7325% 5/25/35 (f)	1,081,000		120,640
Pinnacle Capital Asset Trust Series 2006-A:
Class B, 5.51% 9/25/09 (a)	533,607		534,509
Class C, 5.77% 5/25/10 (a)	1,355,000		1,349,385
Providian Master Note Trust:
Series 2005-2 Class C2, 2.9713% 11/15/12 (a)(f)	1,098,000		995,337
Series 2006-B1A Class B1, 5.35% 3/15/13 (a)	4,570,000		4,378,157
Series 2006-C1A Class C1, 3.0213% 3/16/15 (a)(f)	1,279,000		879,313
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 2.5525% 2/25/37 (f)	1,314,493		1,277,523
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 3.2825% 4/25/33 (f)	1,796		1,371
Santander Drive Auto Receivables Trust Series 2007-1 Class A2, 5.2% 12/15/10	295,393		295,080
Asset-Backed Securities - continued
	Principal Amount		Value
Saxon Asset Securities Trust Series 2004-1 Class M1, 3.2775% 3/25/35 (f)	$ 666,000		$ 476,299
Sierra Receivables Funding Co. Series 2007-1A Class A2, 2.6319% 3/20/19 (a)(f)	508,573		427,201
SLC Student Loan Trust Series 2007-1 Class C, 2.8256% 8/15/35 (f)	98,753		96,974
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3.7263% 6/15/33 (f)	448,000		358,400
Sovereign Dealer Floor Plan Master LLC Series 2006-1:
Class B, 2.6513% 8/15/11 (a)(f)	609,000		548,849
Class C, 2.8513% 8/15/11 (a)(f)	278,000		237,607
Specialty Underwriting & Residential Finance Trust:
Series 2003-BC3 Class M2, 4.0825% 8/25/34 (f)	110,643		83,078
Series 2003-BC4 Class M1, 3.0825% 11/25/34 (f)	685,000		438,371
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 3.6325% 9/25/34 (f)	123,000		92,679
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 2.8425% 2/25/34 (f)	48,282		36,385
Series 2007-BC4 Class A3, 2.6425% 11/25/37 (f)	7,973,087		7,593,320
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 2.5713% 9/15/11 (f)	1,852,000		1,798,038
Class B, 2.7513% 9/15/11 (f)	1,385,000		1,272,954
Series 2007-AE1:
Class A, 2.5713% 1/15/12 (f)	345,000		329,245
Class B, 2.7713% 1/15/12 (f)	300,000		270,000
Class C, 3.0713% 1/15/12 (f)	372,000		316,200
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.9213% 3/15/11 (a)(f)	5,380,000		5,351,314
Swift Master Auto Receivables Trust Series 2007-1:
Class A, 2.5713% 6/15/12 (f)	1,012,000		966,229
Class B, 2.6913% 6/15/12 (f)	2,515,000		2,091,726
Class C, 2.9713% 6/15/12 (f)	1,500,000		1,144,950
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 2.9125% 9/25/34 (f)	10,148		7,502
Series 2003-6HE Class A1, 2.9525% 11/25/33 (f)	12,837		10,008
	Principal Amount		Value
Turquoise Card Backed Securities PLC:
Series 2006-1A Class C, 2.8113% 5/16/11 (a)(f)	$ 997,000		$ 937,180
Series 2006-2:
Class B, 2.6213% 10/17/11 (f)	1,206,000		1,121,392
Class C, 2.8213% 10/17/11 (f)	1,133,000		1,015,628
Series 2007-1 Class C, 2.8513% 6/15/12 (f)	1,292,000		1,096,585
Wachovia Auto Loan Owner Trust Series 2006-2A Class A4, 5.23% 3/20/12 (a)	4,000,000		4,027,342
Wachovia Bank Commercial Mortgage Trust Series 2007-WHL8 Class LXR2, 3.2713% 6/15/20 (a)(f)	713,442		570,754
WaMu Master Note Trust:
Series 2006-A3A Class A3, 2.5013% 9/16/13 (a)(f)	1,935,000		1,829,181
Series 2006-C2A Class C2, 2.9713% 8/15/15 (a)(f)	2,465,000		1,600,168
Series 2006-C3A Class C3A, 2.8513% 10/15/13 (a)(f)	1,725,000		1,470,625
Series 2007-C1 Class C1, 2.8713% 5/15/14 (a)(f)	1,501,000		1,153,368
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12	29,204		28,839
Whinstone Capital Management Ltd. Series 1A Class B3, 3.82% 10/25/44 (a)(f)	630,180		441,126
World Omni Auto Receivables Trust:
Series 2006-A Class A3, 5.01% 10/15/10	697,070		701,048
Series 2007-B Class A2B, 2.7913% 2/16/10 (f)	148,773		148,811
TOTAL ASSET-BACKED SECURITIES (Cost $198,801,553)		191,192,383
Collateralized Mortgage Obligations - 5.8%
Private Sponsor - 2.9%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 3.1088% 2/17/52 (a)(f)	236,000		214,391
Series 2006-2A:
Class 2B, 2.8388% 2/17/52 (a)(f)	830,000		773,975
Class 2C, 3.0988% 2/17/52 (a)(f)	1,014,000		915,034
Class 2M, 2.9188% 2/17/52 (a)(f)	564,000		521,171
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 3.14% 4/12/56 (a)(f)	$ 582,000		$ 499,414
Banc of America Commercial Mortgage Trust Series 2007-2:
Class B, 5.6985% 4/10/49 (f)	485,000		354,894
Class C, 5.6985% 4/10/49 (f)	1,290,000		929,446
Class D, 5.6985% 4/10/49 (f)	650,000		444,692
Banc of America Mortgage Securities, Inc.:
Series 2003-K Class 1A1, 7.1078% 12/25/33 (f)	30,153		29,395
Series 2004-B Class 1A1, 6.4142% 3/25/34 (f)	31,103		29,585
Series 2004-C Class 1A1, 5.9072% 4/25/34 (f)	56,927		55,452
Series 2004-J Class 2A1, 4.7583% 11/25/34 (f)	1,554,364		1,528,708
Series 2005-E Class 2A7, 4.6122% 6/25/35 (f)	2,680,000		2,211,546
Bear Stearns Alt-A Trust floater:
Series 2005-1 Class A1, 2.7625% 1/25/35 (f)	1,257,629		855,188
Series 2005-2 Class 1A1, 2.7325% 3/25/35 (f)	234,031		163,897
Series 2005-5 Class 1A1, 2.7025% 7/25/35 (f)	296,084		227,079
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.354% 2/25/37 (f)	915,410		907,436
Series 2007-A2:
Class 2A1, 4.2383% 7/25/37 (f)	471,219		461,744
Class 3A1, 4.5646% 7/25/37 (f)	7,442,809		7,369,274
Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.095% 12/10/49 (f)	7,310,000		7,422,338
Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 4.3946% 8/25/34 (f)	3,976,063		3,810,359
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 2.8825% 5/25/33 (f)	42,950		42,271
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 2.8825% 1/25/34 (f)	29,734		25,771
Series 2004-2 Class 7A3, 2.8825% 2/25/35 (f)	57,123		48,290
Series 2004-4 Class 5A2, 2.8825% 3/25/35 (f)	16,263		12,788
Series 2005-1 Class 5A2, 2.8125% 5/25/35 (f)	220,166		157,936
	Principal Amount		Value
Series 2005-10:
Class 5A1, 2.7425% 1/25/36 (f)	$ 303,230		$ 240,006
Class 5A2, 2.8025% 1/25/36 (f)	136,611		85,401
Series 2005-2:
Class 6A2, 2.7625% 6/25/35 (f)	55,410		41,565
Class 6M2, 2.9625% 6/25/35 (f)	519,000		223,170
Series 2005-3 Class 8A2, 2.7225% 7/25/35 (f)	230,958		168,214
Series 2005-4 Class 7A2, 2.7125% 8/25/35 (f)	75,466		56,935
Series 2005-8 Class 7A2, 2.7625% 11/25/35 (f)	178,847		136,206
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR2 Class 6A1, 2.8825% 3/25/34 (f)	960		897
Series 2004-AR3 Class 6A2, 3.2225% 4/25/34 (f)	6,936		5,323
Series 2004-AR4 Class 5A2, 3.2225% 5/25/34 (f)	10,113		9,481
Series 2004-AR5 Class 11A2, 3.2225% 6/25/34 (f)	15,700		14,878
Series 2004-AR6 Class 9A2, 3.2225% 10/25/34 (f)	66,940		64,129
Series 2004-AR7 Class 6A2, 2.8625% 8/25/34 (f)	23,693		21,660
Series 2004-AR8 Class 8A2, 2.8625% 9/25/34 (f)	16,960		15,120
Series 2007-AR7 Class 2A1, 4.626% 11/25/34 (f)	1,621,418		1,540,646
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 2.6425% 3/25/37 (f)	1,210,000		768,470
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 2.5725% 9/19/36 (f)	339,765		313,728
DT Auto Owner Trust sequential payer Series 2007-A Class A2, 5.53% 8/15/10 (a)	641,946		630,311
First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 5.0275% 12/25/34 (f)	20,558		17,652
Fosse Master Issuer PLC floater Series 2006-1A:
Class A1, 2.5113% 10/18/31 (a)(f)	47,444		47,383
Class B1, 2.8238% 10/18/54 (a)(f)	436,000		434,736
Class B2, 2.8938% 10/18/54 (a)(f)	1,007,000		861,614
Class C2, 3.2038% 10/18/54 (a)(f)	337,000		264,545
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Fosse Master Issuer PLC floater Series 2006-1A: - continued
Class M1, 2.9038% 10/18/54 (a)(f)	$ 252,000		$ 248,929
Class M2, 2.9838% 10/18/54 (a)(f)	579,000		497,216
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 3.165% 11/20/56 (a)(f)	863,000		667,833
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 3.1856% 10/11/41 (a)(f)	1,097,000		877,765
Granite Master Issuer PLC floater:
Series 2005-1 Class A4, 2.9025% 12/20/54 (f)	2,101,016		2,059,863
Series 2005-4 Class A3, 2.765% 12/20/54 (f)	314,754		313,697
Series 2006-1A:
Class A5, 2.765% 12/20/54 (a)(f)	376,525		370,535
Class C2, 3.295% 12/20/54 (a)(f)	2,117,000		1,400,184
Series 2006-2 Class C1, 3.2875% 12/20/54 (f)	1,885,000		1,084,064
Series 2006-3 Class C2, 3.3175% 12/20/54 (f)	396,000		207,860
Series 2006-4:
Class B1, 2.8925% 12/20/54 (f)	1,059,000		988,121
Class C1, 3.1825% 12/20/54 (f)	647,000		549,950
Class M1, 2.9725% 12/20/54 (f)	279,000		254,576
Series 2007-1:
Class 1C1, 3.1025% 12/20/54 (f)	654,000		576,763
Class 1M1, 2.9525% 12/20/54 (f)	425,000		387,770
Class 2C1, 3.2325% 12/20/54 (f)	298,000		196,501
Class 2M1, 3.0525% 12/20/54 (f)	546,000		420,966
Series 2007-2 Class 2C1, 3.1459% 12/17/54 (f)	757,000		494,997
Granite Mortgages PLC floater:
Series 2003-3 Class 1C, 4.2675% 1/20/44 (f)	169,476		154,529
Series 2004-3 Class 2A1, 2.9425% 9/20/44 (f)	288,666		283,420
GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8347% 4/25/35 (f)	1,599,308		1,571,749
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 2.7025% 5/19/35 (f)	163,126		123,558
	Principal Amount		Value
Holmes Financing No. 10 PLC floater Series 10A Class 2C, 4.6075% 7/15/40 (a)(f)	$ 525,000		$ 524,517
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 2.6125% 4/25/37 (f)	766,962		704,047
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 2.9325% 10/25/34 (f)	60,761		50,268
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 2.8525% 3/25/35 (f)	102,716		79,376
Series 2005-1:
Class M4, 3.2325% 4/25/35 (f)	12,087		2,417
Class M5, 3.2525% 4/25/35 (f)	12,087		2,901
Class M6, 3.3025% 4/25/35 (f)	19,444		4,278
Series 2005-3 Class A1, 2.7225% 8/25/35 (f)	239,255		179,671
Series 2005-4 Class 1B1, 3.7825% 5/25/35 (f)	76,314		9,539
Series 2005-6 Class 1M3, 3.0925% 10/25/35 (f)	67,822		6,782
JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (f)	6,185,000		5,953,681
JPMorgan Mortgage Trust:
Series 2006-A2 Class 5A1, 3.7571% 11/25/33 (f)	2,333,871		2,296,822
Series 2006-A3 Class 6A1, 3.7638% 8/25/34 (f)	2,423,782		2,354,695
Series 2007-A1:
Class 1A1, 4.2001% 7/25/35 (f)	777,655		763,724
Class 3A2, 5.0048% 7/25/35 (f)	8,283,955		8,134,499
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 2.8719% 9/26/45 (a)(f)	204,180		102,090
MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 2.7525% 3/25/35 (f)	31,247		22,601
MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34	407,940		392,132
MASTR Asset Backed Securities Trust floater Series 2007-HE1 Class M1, 2.7825% 5/25/37 (f)	249,000		55,714
Merrill Lynch Floating Trust floater Series 2006-1:
Class C, 2.6613% 6/15/22 (a)(f)	449,000		423,272
Class D, 2.6713% 6/15/22 (a)(f)	173,000		163,135
Class E, 2.6813% 6/15/22 (a)(f)	276,000		249,381
Class F, 2.7113% 6/15/22 (a)(f)	498,000		428,280
Class G, 2.7813% 6/15/22 (a)(f)	103,000		89,337
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Merrill Lynch Floating Trust floater Series 2006-1: - continued
Class H, 2.8013% 6/15/22 (a)(f)	$ 207,000		$ 176,228
Class J, 2.8413% 6/15/22 (a)(f)	242,000		201,827
Merrill Lynch Mortgage Investors Trust floater:
Series 2003-A Class 2A1, 2.8725% 3/25/28 (f)	84,972		77,500
Series 2003-B Class A1, 2.8225% 4/25/28 (f)	90,104		81,870
Series 2003-D Class A, 2.7925% 8/25/28 (f)	77,461		76,812
Series 2003-E Class A2, 3.4006% 10/25/28 (f)	126,988		123,650
Series 2003-F Class A2, 5.7613% 10/25/28 (f)	119,970		111,795
Series 2004-A Class A2, 2.7475% 4/25/29 (f)	115,554		105,871
Series 2004-B Class A2, 5.125% 6/25/29 (f)	99,956		96,784
Series 2004-C Class A2, 5.155% 7/25/29 (f)	107,471		101,797
Series 2004-D Class A2, 2.8575% 9/25/29 (f)	93,390		83,757
Series 2004-E:
Class A2B, 2.8575% 11/25/29 (f)	213,403		190,952
Class A2D, 3.0475% 11/25/29 (f)	30,983		27,968
Series 2004-G Class A2, 3.48% 11/25/29 (f)	96,593		88,352
Series 2005-A Class A2, 3.3206% 2/25/30 (f)	98,702		93,653
Series 2005-B Class A2, 3.0388% 7/25/30 (f)	293,541		267,848
Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (f)	4,570,000		4,395,297
MortgageIT Trust floater:
Series 2004-2:
Class A1, 2.8525% 12/25/34 (f)	110,786		102,666
Class A2, 2.9325% 12/25/34 (f)	150,185		141,099
Series 2005-2 Class 1A1, 2.7425% 5/25/35 (f)	125,007		108,854
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 2.7725% 7/25/35 (f)	1,264,056		861,899
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 2.7825% 3/25/37 (f)	861,000		172,523
Permanent Financing No. 8 PLC floater Class 3C, 3.2156% 6/10/42 (f)	723,000		649,135
	Principal Amount		Value
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 3.1131% 7/17/42 (f)	$ 909,000		$ 826,026
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8243% 10/25/35 (f)	2,314,343		2,249,548
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 4.7994% 7/10/35 (a)(f)	545,902		526,795
Series 2003-CB1:
Class B3, 3.8994% 6/10/35 (a)(f)	518,996		461,907
Class B4, 4.0994% 6/10/35 (a)(f)	997,375		813,631
Class B5, 4.6994% 6/10/35 (a)(f)	681,465		547,654
Class B6, 5.1994% 6/10/35 (a)(f)	401,658		316,310
Series 2004-A:
Class B4, 3.6494% 2/10/36 (a)(f)	285,982		281,812
Class B5, 4.1494% 2/10/36 (a)(f)	190,965		167,449
Series 2004-B Class B4, 3.5494% 2/10/36 (a)(f)	124,040		83,582
Series 2004-C:
Class B4, 3.3994% 9/10/36 (a)(f)	159,440		117,025
Class B5, 3.7994% 9/10/36 (a)(f)	178,308		127,142
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 2.5825% 9/25/46 (f)	739,266		620,983
Residential Asset Mortgage Products, Inc.:
sequential payer:
Series 2003-SL1 Class A31, 7.125% 4/25/31	98,809		95,321
Series 2004-SL2 Class A1, 6.5% 10/25/16	183,832		174,014
Series 2005-AR5 Class 1A1, 4.771% 9/19/35 (f)	111,455		108,861
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 2.9325% 6/25/33 (a)(f)	122,926		95,786
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 2.5825% 2/25/36 (a)(f)	94,788		92,611
Securitized Asset Backed Receivables LLC Trust floater Series 2006-FR3 Class A1, 2.5325% 5/25/36 (f)	13,742		13,619
Sequoia Mortgage Trust floater:
Series 2003-5 Class A2, 4.1413% 9/20/33 (f)	175,373		162,096
Series 2004-1 Class A, 4.1113% 2/20/34 (f)	61,133		57,116
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
Private Sponsor - continued
Sequoia Mortgage Trust floater: - continued
Series 2004-10 Class A4, 4.0938% 11/20/34 (f)	$ 85,697		$ 80,689
Series 2004-12 Class 1A2, 5.115% 1/20/35 (f)	279,087		249,518
Series 2004-3 Class A, 4.0613% 5/20/34 (f)	86,872		82,438
Series 2004-4 Class A, 4.0713% 5/20/34 (f)	332,150		299,427
Series 2004-5 Class A3, 3.4725% 6/20/34 (f)	124,122		116,311
Series 2004-6:
Class A3A, 3.4913% 6/20/35 (f)	95,128		84,919
Class A3B, 4.2513% 7/20/34 (f)	18,153		15,482
Series 2004-7:
Class A3A, 4.1363% 8/20/34 (f)	103,430		93,283
Class A3B, 4.3613% 7/20/34 (f)	12,722		11,412
Series 2004-8 Class A2, 3.35% 9/20/34 (f)	240,563		221,286
Series 2005-1 Class A2, 4.0613% 2/20/35 (f)	159,504		124,384
Series 2005-2 Class A2, 3.23% 3/20/35 (f)	216,128		156,004
Series 2005-3 Class A1, 2.6819% 5/20/35 (f)	101,979		90,479
Structured Asset Securities Corp. floater:
Series 2004-NP1 Class A, 2.8825% 9/25/33 (a)(f)	37,710		34,253
Series 2007-GEL1 Class A2, 2.6725% 1/25/37 (a)(f)	461,000		275,217
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 2.8025% 9/25/36 (f)	1,153,000		784,040
Thornburg Mortgage Securities Trust floater Series 2005-3 Class A2, 2.7225% 10/25/35 (f)	422,761		421,317
WaMu Mortgage pass-thru certificates floater:
Series 2006-AR11 Class C1B1, 2.5625% 9/25/46 (f)	110,678		107,254
Series 2006-AR7 Class C1B1, 2.5425% 7/25/46 (f)	64,749		61,898
Wells Fargo Mortgage Backed Securities Trust:
Series 2005-AR10 Class 2A2, 4.1094% 6/25/35 (f)	3,774,769		3,633,793
Series 2005-AR12 Class 2A6, 4.3284% 7/25/35 (f)	5,978,638		5,702,931
	Principal Amount		Value
Series 2005-AR3 Class 2A1, 4.2065% 3/25/35 (f)	$ 758,656		$ 737,638
Series 2005-AR4 Class 2A2, 4.5229% 4/25/35 (f)	3,158,819		3,094,518
TOTAL PRIVATE SPONSOR			105,454,065
U.S. Government Agency - 2.9%
Fannie Mae planned amortization class:
Series 1999-54 Class PH, 6.5% 11/18/29	3,178,271		3,275,858
Series 1999-57 Class PH, 6.5% 12/25/29	2,230,846		2,308,837
Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 2.7325% 10/25/35 (f)	2,396,264		2,344,387
Fannie Mae subordinate REMIC pass-thru certificates:
planned amortization class:
Series 2001-68 Class QZ, 5.5% 12/25/16	2,554,533		2,584,294
Series 2002-9 Class PC, 6% 3/25/17	404,436		412,467
Series 2004-81:
Class KC, 4.5% 4/25/17	11,215,000		11,268,156
Class KD, 4.5% 7/25/18	2,625,000		2,586,594
sequential payer:
Series 2004-3 Class BA, 4% 7/25/17	183,101		181,159
Series 2004-86 Class KC, 4.5% 5/25/19	851,865		838,001
Series 2004-91 Class AH, 4.5% 5/25/29	1,833,836		1,795,679
Freddie Mac Multi-class participation certificates guaranteed:
planned amortization class:
Series 2500 Class TE, 5.5% 9/15/17	10,275,186		10,399,277
Series 2677 Class LD, 4.5% 3/15/17	8,800,218		8,714,551
Series 2695 Class GC, 4.5% 11/15/18	7,215,000		7,183,038
Series 2702 Class WB, 5% 4/15/17	2,643,874		2,664,103
Series 2770 Class UD, 4.5% 5/15/17	7,473,000		7,388,931
Series 2885 Class PC, 4.5% 3/15/18	2,560,000		2,559,998
Series 3033 Class UD, 5.5% 10/15/30	1,910,000		1,931,987
Series 3049 Class DB, 5.5% 6/15/31	4,440,000		4,489,921
Series 3117 Class PC, 5% 6/15/31	20,000,000		19,930,626
Collateralized Mortgage Obligations - continued
	Principal Amount		Value
U.S. Government Agency - continued
Freddie Mac Multi-class participation certificates guaranteed: - continued
sequential payer:
Series 2508 Class CK, 5% 10/15/17	$ 10,000,000		$ 10,008,746
Series 2528 Class HN, 5% 11/15/17	3,195,000		3,189,820
Series 2750 Class ZT, 5% 2/15/34	2,408,260		2,103,189
Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 25.3725% 6/16/37 (f)	251,193		314,193
TOTAL U.S. GOVERNMENT AGENCY			108,473,812
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $215,025,816)		213,927,877
Commercial Mortgage Securities - 9.0%
Asset Securitization Corp. Series 1997-D5:
Class A2, 6.814% 2/14/43 (f)	1,435,000		1,504,544
Class A3, 6.864% 2/14/43 (f)	1,545,000		1,615,185
Banc of America Commercial Mortgage Trust:
sequential payer:
Series 2006-2 Class AAB, 5.7218% 5/10/45 (f)	2,100,000		2,062,466
Series 2006-5:
Class A2, 5.317% 10/10/11	8,745,000		8,619,803
Class A3, 5.39% 2/10/14	1,985,000		1,905,314
Series 2007-2 Class A1, 5.421% 1/10/12	2,084,171		2,076,186
Series 2007-3 Class A3, 5.6585% 6/10/49 (f)	6,100,000		5,981,050
Banc of America Commercial Mortgage, Inc.:
sequential payer:
Series 2005-1 Class A3, 4.877% 11/10/42	3,372,516		3,367,663
Series 2007-1 Class A2, 5.381% 1/15/49	1,545,000		1,509,813
Series 2001-3 Class H, 6.562% 4/11/37 (a)	4,889,139		4,875,931
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 2.9413% 3/15/22 (a)(f)	217,000		184,450
	Principal Amount		Value
Class G, 3.0013% 3/15/22 (a)(f)	$ 141,000		$ 118,440
Series 2006-BIX1:
Class F, 2.7813% 10/15/19 (a)(f)	558,000		491,040
Class G, 2.8013% 10/15/19 (a)(f)	380,000		321,100
Bayview Commercial Asset Trust:
floater:
Series 2003-2 Class A, 3.0625% 12/25/33 (a)(f)	253,215		229,287
Series 2004-1:
Class A, 2.8425% 4/25/34 (a)(f)	752,197		661,934
Class B, 4.3825% 4/25/34 (a)(f)	59,112		35,467
Class M1, 3.0425% 4/25/34 (a)(f)	48,166		39,255
Class M2, 3.6825% 4/25/34 (a)(f)	43,161		32,587
Series 2004-2:
Class A, 2.9125% 8/25/34 (a)(f)	724,124		640,850
Class M1, 3.0625% 8/25/34 (a)(f)	94,559		78,484
Series 2004-3:
Class A1, 2.8525% 1/25/35 (a)(f)	1,061,886		939,769
Class A2, 2.9025% 1/25/35 (a)(f)	138,224		118,873
Class M1, 2.9825% 1/25/35 (a)(f)	141,476		113,181
Class M2, 3.4825% 1/25/35 (a)(f)	91,472		68,604
Series 2005-2A:
Class A1, 2.7925% 8/25/35 (a)(f)	608,874		548,169
Class M1, 2.9125% 8/25/35 (a)(f)	45,146		34,356
Class M2, 2.9625% 8/25/35 (a)(f)	74,253		53,091
Class M3, 2.9825% 8/25/35 (a)(f)	40,988		30,360
Class M4, 3.0925% 8/25/35 (a)(f)	38,017		27,160
Series 2005-3A:
Class A1, 2.8025% 11/25/35 (a)(f)	322,623		287,522
Class A2, 2.8825% 11/25/35 (a)(f)	209,050		168,285
Series 2005-4A:
Class A2, 2.8725% 1/25/36 (a)(f)	1,206,140		958,881
Class M1, 2.9325% 1/25/36 (a)(f)	252,366		190,831
Class M2, 2.9525% 1/25/36 (a)(f)	76,133		55,331
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bayview Commercial Asset Trust: - continued
Series 2005-4A:
Class M3, 2.9825% 1/25/36 (a)(f)	$ 110,674		$ 77,454
Series 2006-1 Class A2, 2.8425% 4/25/36 (a)(f)	119,278		104,451
Series 2006-2A:
Class A1, 2.7125% 7/25/36 (a)(f)	1,153,832		1,017,564
Class A2, 2.7625% 7/25/36 (a)(f)	104,150		91,891
Class M1, 2.7925% 7/25/36 (a)(f)	109,357		80,181
Class M2, 2.8125% 7/25/36 (a)(f)	77,368		55,512
Class M6, 3.0225% 7/25/36 (a)(f)	78,856		50,720
Series 2006-3A:
Class M5, 2.9625% 10/25/36 (a)(f)	88,299		55,408
Class M6, 3.0425% 10/25/36 (a)(f)	172,433		101,735
Series 2006-4A:
Class A1, 2.7125% 12/25/36 (a)(f)	639,497		568,539
Class A2, 2.7525% 12/25/36 (a)(f)	1,425,235		1,269,900
Class M1, 2.7725% 12/25/36 (a)(f)	103,278		79,925
Series 2007-1:
Class A2, 2.7525% 3/25/37 (a)(f)	265,732		215,243
Class B3, 5.8325% 3/25/37 (a)(f)	169,489		76,270
Series 2007-2A:
Class A1, 2.7525% 7/25/37 (a)(f)	231,379		192,045
Class A2, 2.8025% 7/25/37 (a)(f)	216,571		171,091
Class B1, 4.0825% 7/25/37 (a)(f)	203,614		95,699
Class B2, 4.7325% 7/25/37 (a)(f)	175,848		79,132
Class B3, 5.8325% 7/25/37 (a)(f)	198,986		89,544
Class M2, 2.8925% 7/25/37 (a)(f)	120,317		80,011
Class M3, 2.9725% 7/25/37 (a)(f)	120,317		76,663
Class M4, 3.1325% 7/25/37 (a)(f)	254,517		147,620
Class M5, 3.2325% 7/25/37 (a)(f)	226,752		124,713
Class M6, 3.4825% 7/25/37 (a)(f)	282,283		146,787
	Principal Amount		Value
Series 2007-3:
Class A2, 2.7725% 7/25/37 (a)(f)	$ 404,062		$ 360,625
Class B1, 3.4325% 7/25/37 (a)(f)	186,751		112,219
Class B2, 4.0825% 7/25/37 (a)(f)	652,780		359,029
Class B3, 6.4825% 7/25/37 (a)(f)	250,416		147,245
Class M1, 2.7925% 7/25/37 (a)(f)	165,530		118,503
Class M2, 2.8225% 7/25/37 (a)(f)	174,018		120,142
Class M3, 2.8525% 7/25/37 (a)(f)	380,293		250,043
Class M4, 2.9825% 7/25/37 (a)(f)	600,999		360,600
Class M5, 3.0825% 7/25/37 (a)(f)	224,950		144,891
Class M6, 3.2825% 7/25/37 (a)(f)	169,774		104,615
Series 2007-4A:
Class B1, 5.0325% 9/25/37 (a)(f)	276,123		124,255
Class B2, 5.9325% 9/25/37 (a)(f)	1,349,195		607,138
Class M4, 4.0825% 9/25/37 (a)(f)	889,307		533,584
Class M5, 4.2325% 9/25/37 (a)(f)	889,307		489,119
Class M6, 4.4325% 9/25/37 (a)(f)	889,307		471,333
Series 2004-1 Class IO, 1.25% 4/25/34 (a)(g)	2,237,070		53,690
Bear Stearns Commercial Mortgage Securities Trust:
floater:
Series 2006-BBA7:
Class G, 2.9113% 3/15/19 (a)(f)	284,000		230,040
Class H, 3.1213% 3/15/19 (a)(f)	191,000		165,808
Class J, 3.3213% 3/15/19 (a)(f)	143,000		123,360
Series 2007-BBA8:
Class D, 2.7213% 3/15/22 (a)(f)	147,000		125,685
Class E, 2.7713% 3/15/22 (a)(f)	763,000		640,920
Class F, 2.8213% 5/15/22 (a)(f)	468,000		383,760
Class G, 2.8713% 3/15/22 (a)(f)	120,000		96,000
Class H, 3.0213% 3/15/22 (a)(f)	147,000		111,357
Class J, 3.1713% 3/15/22 (a)(f)	147,000		109,667
Commercial Mortgage Securities - continued
	Principal Amount		Value
Bear Stearns Commercial Mortgage Securities Trust: - continued
floater:
Series 2007-BBA8:
Class X-1M, 1.12% 3/15/22 (a)(g)	$ 8,627,749		$ 1,349
sequential payer Series 2007-PW16 Class AM, 5.7129% 6/11/40	1,898,000		1,727,314
Series 2006-PW13 Class A3, 5.518% 9/11/41	2,010,000		1,947,027
Series 2007-PW15:
Class A1, 5.016% 2/11/44	1,879,315		1,854,411
Class X2, 0.3674% 2/11/44 (a)(f)(g)	140,113,271		2,361,525
Series 2007-PW16:
Class B, 5.713% 6/11/40 (a)	1,405,000		996,945
Class C, 5.713% 6/11/40 (a)	1,170,000		757,226
Class D, 5.713% 6/11/40 (a)	1,170,000		692,459
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.275% 2/12/16 (a)(f)	1,345,000		1,378,124
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31	4,605,395		4,709,845
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 2.8013% 11/15/36 (a)(f)	156,000		124,800
Class H, 2.8413% 11/15/36 (a)(f)	125,000		97,500
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	3,810,000		3,610,969
Series 2007-C6 Class A1, 5.622% 12/10/49 (f)	5,903,202		5,880,489
Series 2007-FL3A Class A2, 2.6113% 4/15/22 (a)(f)	2,595,000		2,335,500
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4 Class A3, 5.293% 12/11/49	5,940,000		5,657,767
COMM pass-thru certificates:
floater:
Series 2005-F10A:
Class D, 2.7813% 4/15/17 (a)(f)	335,000		312,178
Class E, 2.8413% 4/15/17 (a)(f)	107,000		98,886
Class F, 2.8813% 4/15/17 (a)(f)	60,000		54,851
Class G, 3.0213% 4/15/17 (a)(f)	60,000		54,992
Class H, 3.0913% 4/15/17 (a)(f)	60,000		54,343
Class J, 3.3213% 4/15/17 (a)(f)	46,000		40,580
	Principal Amount		Value
Series 2005-FL11:
Class F, 2.9213% 11/15/17 (a)(f)	$ 139,306		$ 123,545
Class G, 2.9713% 11/15/17 (a)(f)	96,171		87,234
Series 2007-FL14:
Class F, 2.9713% 6/15/22 (a)(f)	701,388		517,563
Class G, 3.0213% 6/15/22 (a)(f)	103,098		76,100
Class H, 3.1713% 6/15/22 (a)(f)	103,098		70,747
sequential payer Series 2006-CN2A Class A2FX, 5.449% 2/5/19	2,745,000		2,741,453
Series 2004-LBN2 Class X2, 0.8733% 3/10/39 (a)(f)(g)	6,637,417		115,723
Credit Suisse Commercial Mortgage Trust:
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (f)	3,885,000		3,807,783
Series 2006-C4 Class AAB, 5.439% 9/15/39	5,350,000		5,287,193
Series 2007-C5 Class A4, 5.695% 9/15/40 (f)	2,750,000		2,617,241
Credit Suisse First Boston Mortgage Securities Corp.:
sequential payer:
Series 1999-C1 Class A2, 7.29% 9/15/41	3,738,517		3,821,182
Series 2000-C1 Class A2, 7.545% 4/15/62	1,368,707		1,414,252
Series 2004-C1:
Class A3, 4.321% 1/15/37	2,235,000		2,199,188
Class A4, 4.75% 1/15/37	3,035,000		2,940,520
Series 1997-C2 Class D, 7.27% 1/17/35	737,534		740,590
Series 1998-C1:
Class C, 6.78% 5/17/40	3,054,029		3,077,457
Class D, 7.17% 5/17/40	595,000		616,967
Series 2001-CKN5 Class AX, 0.7223% 9/15/34 (a)(f)(g)	26,539,973		1,148,536
Series 2002-CP3 Class G, 6.639% 7/15/35 (a)	250,000		229,359
Series 2004-C1 Class ASP, 0.6694% 1/15/37 (a)(f)(g)	23,854,040		531,699
Series 2006-C1 Class A3, 5.5522% 2/15/39 (f)	3,895,000		3,838,572
Credit Suisse Mortgage Capital Certificates:
floater:
Series 200-TFL1 Class B, 2.6213% 2/15/22 (a)(f)	3,470,000		2,949,500
Series 2007-TFL1:
Class C:
2.6413% 2/15/22 (a)(f)	657,000		545,310
2.7413% 2/15/22 (a)(f)	234,000		187,200
Commercial Mortgage Securities - continued
	Principal Amount		Value
Credit Suisse Mortgage Capital Certificates: - continued
floater:
Series 2007-TFL1:
Class F, 2.7913% 2/15/22 (a)(f)	$ 469,000		$ 361,130
sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40	1,299,844		1,296,665
CSMC Commercial Mortgage Trust floater Series 2006-TFLA:
Class H, 3.2013% 4/15/21 (a)(f)	154,000		124,740
Class J, 3.2713% 4/15/21 (a)(f)	102,000		81,600
Class K, 3.6713% 4/15/21 (a)(f)	512,000		399,360
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33	3,374,818		3,507,519
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 2/10/17	3,720,000		3,483,898
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-22 Class B, 3.963% 5/16/32	2,028,324		2,018,074
Greenwich Capital Commercial Funding Corp.:
floater Series 2006-FL4 Class B, 2.9138% 11/5/21 (a)(f)	3,490,000		2,966,500
sequential payer:
Series 2004-GG1 Class A4, 4.755% 6/10/36	1,615,000		1,611,399
Series 2007-GG11 Class A2, 5.597% 12/10/49	13,805,000		13,420,514
Series 2007-GG9 Class A1, 5.233% 3/10/39	1,693,213		1,689,078
Series 2006-GG7 Class A3, 6.1101% 7/10/38	3,460,000		3,454,255
GS Mortgage Securities Corp. II:
floater:
Series 2006-FL8A:
Class C, 2.69% 6/6/20 (a)(f)	405,000		364,500
Class D, 2.73% 6/6/20 (a)(f)	1,115,000		947,750
Class E, 2.82% 6/6/20 (a)(f)	2,220,000		1,864,800
Class F, 2.89% 6/6/20 (a)(f)	294,000		241,080
Series 2007-EOP:
Class C, 2.77% 3/1/20 (a)(f)	1,207,957		1,111,320
Class D, 2.82% 3/1/20 (a)(f)	400,000		368,000
Class E, 2.89% 3/1/20 (a)(f)	649,900		594,659
Class F, 2.93% 3/1/20 (a)(f)	335,000		306,525
Class G, 2.97% 3/1/20 (a)(f)	165,000		150,975
Class H, 3.1% 3/1/20 (a)(f)	275,000		250,250
Class J, 3.3% 3/1/20 (a)(f)	395,000		359,450
sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38	2,725,000		2,702,233
Series 2006-GG6 Class A2, 5.506% 4/10/38 (f)	2,990,000		2,986,650
	Principal Amount		Value
GS Mortgage Securities Trust sequential payer Series 2007-GG10:
Class A1, 5.69% 8/10/45	$ 1,951,031		$ 1,938,014
Class A2, 5.778% 8/10/45	5,055,000		4,989,010
Class A4, 5.7992% 8/10/45 (f)	3,965,000		3,791,360
Hilton Hotel Pool Trust floater Series 2000-HLTA Class B, 2.9575% 10/3/15 (a)(f)	224,000		223,012
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class E, 2.7513% 11/15/18 (a)(f)	115,630		97,129
Class F, 2.8013% 11/15/18 (a)(f)	173,444		143,959
Class G, 2.8313% 11/15/18 (a)(f)	151,107		123,908
Class H, 2.9713% 11/15/18 (a)(f)	115,630		93,660
sequential payer:
Series 2006-CB14 Class A3B, 5.4858% 12/12/44 (f)	4,625,000		4,604,269
Series 2006-CB15 Class A3, 5.819% 6/12/43 (f)	5,840,000		5,773,105
Series 2006-CB17 Class A4, 5.429% 12/12/43	1,898,000		1,797,791
Series 2006-LDP9 Class A2, 5.134% 5/15/47 (f)	5,065,000		4,826,945
Series 2007-LDP10 Class A1, 5.122% 1/15/49	1,204,959		1,199,201
Series 2007-LDPX Class A3, 5.412% 1/15/49	3,796,000		3,517,837
Series 2005-LDP3 Class A3, 4.959% 8/15/42	4,115,000		3,994,828
Series 2007-CB19:
Class B, 5.7442% 2/12/49	755,000		552,449
Class C, 5.7462% 2/12/49	1,971,000		1,334,426
Class D, 5.7462% 2/12/49	2,075,000		1,362,694
Series 2007-LDP10:
Class BS, 5.437% 1/15/49 (f)	1,725,000		1,368,277
Class CS, 5.466% 1/15/49 (f)	745,000		579,343
Class ES, 5.5457% 1/15/49 (a)(f)	4,663,000		3,272,152
LB Commercial Conduit Mortgage Trust Series 2007-C3:
Class F, 5.9345% 7/15/44 (f)	1,815,000		1,230,745
Class G, 5.9345% 7/15/44 (a)(f)	3,200,000		2,072,092
LB-UBS Commercial Mortgage Trust:
sequential payer:
Series 2000-C3 Class A2, 7.95% 1/15/10	2,111,962		2,195,044
Series 2001-C3 Class A1, 6.058% 6/15/20	965,221		980,268
Commercial Mortgage Securities - continued
	Principal Amount		Value
LB-UBS Commercial Mortgage Trust: - continued
sequential payer:
Series 2005-C3 Class A2, 4.553% 7/15/30	$ 1,746,000		$ 1,734,109
Series 2006-C1 Class A2, 5.084% 2/15/31	1,495,000		1,481,241
Series 2006-C6 Class A2, 5.262% 9/15/39 (f)	3,340,000		3,297,879
Series 2006-C7 Class A1, 5.279% 11/15/38	739,676		742,665
Series 2007-C1:
Class A1, 5.391% 2/15/40 (f)	1,054,286		1,054,303
Class A3, 5.398% 2/15/40	5,000,000		4,756,280
Series 2001-C3 Class B, 6.512% 6/15/36	1,810,000		1,862,498
Series 2007-C2 Class AM, 5.493% 2/15/40 (f)	1,898,000		1,694,107
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 2.8113% 9/15/21 (a)(f)	402,971		310,691
Class G, 2.8313% 9/15/21 (a)(f)	795,609		605,459
Class H, 2.8713% 9/15/21 (a)(f)	204,773		153,785
Merrill Lynch Mortgage Trust:
sequential payer:
Series 2004-KEY2 Class A2, 4.166% 8/12/39	200,462		198,199
Series 2005-MCP1 Class A2, 4.556% 6/12/43	2,120,000		2,097,968
Series 2007-C1 Class A4, 5.8291% 6/12/50 (f)	3,796,000		3,638,445
Merrill Lynch-CFC Commercial Mortgage Trust:
sequential payer:
Series 2007-5:
Class A1, 4.275% 12/12/11	951,199		931,933
Class A3, 5.364% 8/12/48	4,298,000		4,118,344
Series 2007-9 Class A4, 5.7% 9/12/49	5,500,000		5,181,342
Series 2007-7 Class B, 5.75% 6/25/50	770,000		557,340
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 3.682% 7/15/19 (a)(f)	261,000		219,240
Series 2007-XCLA Class A1, 2.682% 7/17/17 (a)(f)	1,019,303		866,408
Series 2007-XLCA Class B, 2.982% 7/17/17 (a)(f)	577,325		432,994
Series 2007-XLFA:
Class D, 2.672% 10/15/20 (a)(f)	235,000		202,100
Class E, 2.732% 10/15/20 (a)(f)	294,000		238,140
	Principal Amount		Value
Class F, 2.782% 10/15/20 (a)(f)	$ 176,000		$ 144,320
Class G, 2.822% 10/15/20 (a)(f)	218,000		174,400
Class H, 2.912% 10/15/20 (a)(f)	137,000		102,750
Class J, 3.062% 10/15/20 (a)(f)	157,000		106,760
Class NHRO, 3.372% 10/15/20 (a)(f)	93,109		67,970
sequential payer:
Series 2004-HQ3 Class A2, 4.05% 1/13/41	2,065,995		2,043,527
Series 2006-HQ10 Class A1, 5.131% 11/12/41	3,792,140		3,803,513
Series 2006-T23 Class A1, 5.682% 8/12/41	1,121,887		1,134,137
Series 2007-HQ11 Class A31, 5.439% 2/20/44 (f)	4,745,000		4,543,248
Series 2007-IQ13 Class A1, 5.05% 3/15/44	1,734,233		1,711,435
Series 2007-IQ14:
Class A1, 5.38% 4/15/49	3,642,000		3,616,689
Class AM, 5.6913% 4/15/49 (f)	1,898,000		1,724,011
Series 2007-T25 Class A2, 5.507% 11/12/49	10,320,000		9,945,438
Series 2005-IQ9 Class X2, 1.0464% 7/15/56 (a)(f)(g)	24,196,914		696,997
Series 2007-HQ12 Class A2, 5.6326% 4/12/49 (f)	4,920,000		4,842,001
Series 2007-IQ14 Class B, 5.914% 4/15/49	2,175,000		1,592,841
Series 2007-XLC1:
Class C, 3.0713% 7/17/17 (a)(f)	788,373		551,861
Class D, 3.17% 7/17/17 (a)(f)	370,864		241,062
Class E, 3.2713% 7/17/17 (a)(f)	301,279		186,793
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28	2,479,841		2,552,696
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 2.9613% 3/24/18 (a)(f)	113,038		106,256
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 3.6713% 1/15/18 (a)(f)	449,000		413,080
Series 2006-WL7A:
Class E, 2.7513% 9/15/21 (a)(f)	491,000		407,530
Class F, 2.8113% 8/11/18 (a)(f)	661,000		561,850
Class G, 2.8313% 8/11/18 (a)(f)	626,000		519,580
Commercial Mortgage Securities - continued
	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust: - continued
floater:
Series 2006-WL7A:
Class J, 3.0713% 8/11/18 (a)(f)	$ 139,000		$ 102,193
Class X1A, 0.0232% 9/15/21 (a)(f)(g)	996,986		159
Series 2007-WHL8:
Class AP2, 3.2713% 6/15/20 (a)(f)	69,008		54,517
Class F, 2.9513% 6/15/20 (a)(f)	1,046,000		826,340
sequential payer:
Series 2003-C6 Class A2, 4.498% 8/15/35	3,595,000		3,586,423
Series 2003-C7 Class A1, 4.241% 10/15/35 (a)	1,205,423		1,191,618
Series 2007-C30:
Class A3, 5.246% 12/15/43	5,940,000		5,768,683
Class A4, 5.305% 12/15/43	3,240,000		3,085,213
Class A5, 5.342% 12/15/43	3,796,000		3,504,574
Series 2007-C31 Class A1, 5.14% 4/15/47	1,124,150		1,113,653
Series 2007-C32 Class A2, 5.7358% 6/15/49 (f)	1,255,000		1,237,481
Series 2006-C23 Class A5, 5.416% 1/15/45 (f)	3,010,000		2,867,629
Series 2007-C30 Class E, 5.553% 12/15/43 (f)	6,257,000		4,057,263
Series 2007-C31:
Class AM, 5.591% 4/15/47	1,898,000		1,702,811
Class C, 5.6918% 4/15/47 (f)	2,455,000		1,759,942
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $351,635,065)		333,520,138
Foreign Government and Government Agency Obligations - 0.1%
Israeli State 4.625% 6/15/13	525,000		528,623
United Mexican States 5.875% 1/15/14	1,665,000		1,731,600
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,164,120)		2,260,223
Supranational Obligations - 0.0%
Corporacion Andina de Fomento:
5.2% 5/21/13	630,000		622,332
6.875% 3/15/12	425,000		446,655
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $1,047,686)		1,068,987
Preferred Securities - 0.1%
	Principal Amount		Value
FINANCIALS - 0.1%
Diversified Financial Services - 0.1%
MUFG Capital Finance 1 Ltd. 6.346% (f)	$ 3,520,000		$ 3,147,455
TOTAL PREFERRED SECURITIES (Cost $3,520,000)			3,147,455
Cash Equivalents - 9.3%
	Maturity Amount
Investments in repurchase agreements in a joint trading account at 2.58%, dated 6/30/08 due 7/1/08 (Collateralized by U.S. Government Obligations) # (Cost $347,245,000)	$ 347,269,914		347,245,000

TOTAL INVESTMENT PORTFOLIO - 107.7% (Cost $4,054,726,425)		4,010,508,575
NET OTHER ASSETS - (7.7)%		(285,047,213)
NET ASSETS - 100%	$ 3,725,461,362

Swap Agreements
	Expiration Date		Notional Amount
Credit Default Swaps
Pay monthly a fixed rate of .15% multiplied by the notional amount and receive from Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	Sept. 2037		$ 4,400,000	3,938,000
Receive monthly notional amount multiplied by 3.86% and pay Morgan Stanley, Inc. upon credit event of Merrill Lynch Mortgage Investors Trust, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors Trust, Inc. Series 2006 HE5, Class B3, 7.32% 8/25/37	Sept. 2037		1,600,000	(1,486,666)
Swap Agreements - continued
	Expiration Date		Notional Amount	Value
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34	Oct. 2034		$ 258,342	$ (164,306)
Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 6.3950% 11/25/34	Dec. 2034		324,263	(218,185)
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7, Class B3, 6.3950% 8/25/34	Sept. 2034		135,917	(125,676)
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 7.6913% 7/25/34	August 2034		199,947	(181,747)
Receive monthly notional amount multiplied by 2.7% and pay Lehman Brothers, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006 WMC1, Class B3, 7.47% 12/25/35	Jan. 2036		1,600,000	(1,523,595)
	Expiration Date		Notional Amount	Value
Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 9/20/17, and pay quarterly notional amount multiplied by .32%	Sept. 2017		$ 1,000,000	$ 9,598
Receive from Credit Suisse First Boston upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by 1.5%	March 2013		3,500,000	141,806
Receive from Deutsche Bank upon credit event of Household Finance Corp., par value of the notional amount of Household Finance Corp. 7% 5/15/12, and pay quarterly notional amount multiplied by ..73%	Sept. 2012		3,400,000	141,130
Receive from Deutsche Bank upon credit event of Southwest Airlines Co., par value of the notional amount of Southwest Airlines Co. 5.25% 10/1/14, and pay quarterly notional amount multiplied by 1.4%	June 2013		5,600,000	127,382
Receive from Goldman Sachs upon credit event of CSX Corp., par value of notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%	March 2013		1,554,000	20,876
Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%	March 2013		1,554,000	20,876
Swap Agreements - continued
	Expiration Date		Notional Amount	Value
Credit Default Swaps - continued
Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.19%	March 2018		$ 1,371,000	$ 60,401
Receive from Goldman Sachs upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount multiplied by 1.07%	March 2013		1,700,000	(30,657)
Receive from Lehman Brothers, Inc. upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount miltiplied by 1.03%	March 2013		1,700,000	(27,752)
Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15 and pay quarterly notional amount multiplied by 1.68%	Sept. 2013		2,035,000	(11,145)
Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15, and pay quarterly notional amount multiplied by 2.12%	Sept. 2013		1,360,000	(34,648)
	Expiration Date		Notional Amount	Value
Receive from Morgan Stanley, Inc. upon credit event of H.J. Heinz Co., par value of the notional amount of H.J. Heinz Co. 6% 3/15/08, and pay quarterly notional amount multiplied by .65%	March 2013		$ 1,900,000	$ (16,849)
Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34	Oct. 2034		610,794	(366,618)
Receive monthly notional amount multiplied by 3.05% and pay Morgan Stanley, Inc. upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2006-HE3 Class B3, 7.22% 4/25/36	May 2036		1,300,000	(1,226,175)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	August 2037		3,000,000	(2,760,000)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	Sept. 2037		2,600,000	(2,392,000)
Swap Agreements - continued
	Expiration Date		Notional Amount	Value
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-01 Index, par value of the proportional notional amount (e)	Sept. 2037		$ 3,100,000	$ (2,852,000)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	Sept. 2037		1,500,000	(1,380,000)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional amount (e)	Sept. 2037		2,300,000	(2,116,000)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	Sept. 2037		1,800,000	(1,656,000)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	Sept. 2037		4,400,000	(4,048,000)
	Expiration Date		Notional Amount	Value
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	Sept. 2037		$ 1,600,000	$ (1,472,000)
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)	Sept. 2037		4,600,000	(4,232,000)
Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34	August 2034		124,192	(63,032)
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34	Nov. 2034		465,000	(257,009)
Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34	Oct. 2034		465,000	(45,980)
Swap Agreements - continued
	Expiration Date		Notional Amount	Value
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon credit event of Securitized Asset Backed Receivables LLC Trust, par value of the notional amount of Securitized Asset Backed Receivables LLC Trust Series 2006-DP1 Class B2, 6.72% 10/25/35	Nov. 2035		$ 1,900,000	$ (1,666,427)
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35	June 2035		640,000	(582,031)
Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34	March 2034		465,830	(230,078)
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34	Feb. 2034		152,385	(130,474)
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34	Dec. 2034		258,916	(217,076)
	Expiration Date		Notional Amount	Value
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34	Oct. 2034		$ 610,794	$ (366,836)
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34	Dec. 2034		449,785	(308,120)
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32	April 2032		40,946	(35,018)
Receive monthly notional amount multiplied by 2.7% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.41% 5/25/35	June 2035		770,000	(612,261)
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35	March 2035		507,247	(384,286)
Swap Agreements - continued
	Expiration Date		Notional Amount	Value
Credit Default Swaps - continued
Receive monthly notional amount multiplied by 3% and pay JPMorgan Chase, Inc. upon credit event of GSAMP Trust, par value of the notional amount of GSAMP Trust Series 2006-NC2 Class M9, 7.3744% 6/25/36	July 2036		$ 1,900,000	$ (1,825,235)
Receive monthly notional amount multiplied by 3.66% and pay Deutsche Bank upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35	June 2035		1,900,000	(1,479,713)
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35	June 2035		600,000	(465,541)
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33	May 2033		465,000	(326,898)
Receive monthly notional amount multiplied by 5.12% and pay Bank of America upon credit event of Structured Asset Securities Corp., par value of the notional amount of Structured Asset Securities Corp. Series 2005-AR1 Class M8, 7.32% 9/25/35	Oct. 2035		2,000,000	(1,818,734)
	Expiration Date		Notional Amount	Value
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10	Sept. 2010		$ 1,900,000	$ 202
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27	March 2009		1,400,000	(2,530)
Receive semi-annually notional amount multiplied by .61% and pay JPMorgan Chase, Inc. upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33	May 2011		4,290,000	(21,942)
Receive semi-annually notional amount multiplied by .625% and pay Deutsche Bank upon credit event of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33	May 2011		2,260,000	(10,624)
TOTAL CREDIT DEFAULT SWAPS			85,568,358	(34,711,593)
Interest Rate Swaps
Receive quarterly a fixed rate equal to 4% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	July 2009		42,000,000	485,482
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2010		11,825,000	205,031
Swap Agreements - continued
	Expiration Date		Notional Amount	Value
Interest Rate Swaps - continued
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2015		$ 11,825,000	$ 384,452
Receive semi-annually a fixed rate equal to 4.378% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.	Sept. 2008		25,400,000	365,605
Receive semi-annually a fixed rate equal to 4.449% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	May 2018		24,935,000	(398,578)
Receive semi-annually a fixed rate equal to 4.492% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.	Sept. 2010		1,500,000	43,707
Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.	Nov. 2010		1,000,000	30,724
Receive semi-annually a fixed rate equal to 5.186% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	Sept. 2011		20,000,000	999,080
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2011		52,500,000	2,281,388
Receive semi-annually a fixed rate equal to 5.312% and pay quarterly a floating rate based on the 3-month LIBOR with Lehman Brothers, Inc.	April 2011		105,000,000	4,732,938
	Expiration Date		Notional Amount	Value
Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.	April 2011		$ 15,000,000	$ 674,019
Receive semi-annually a fixed rate equal to 5.354% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank	April 2011		32,000,000	1,409,830
Received semi-annually a fixed rate equal to 3.567% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	May 2011		71,168,000	(538,144)
TOTAL INTEREST RATE SWAPS			414,153,000	10,675,534
		$ 499,721,358		$ (24,036,059)

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 end of the period, the value of these securities amounted to $274,287,008 or 7.4% of net assets.

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

(c) A portion of the security is subject to a forward commitment to sell.

(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $27,764,092.

(e) Represents a tradable index of credit default swaps on home equity asset-backed debt securities.

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

(g) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period.

# Additional Information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty	Value
$347,245,000 due 7/01/08 at 2.58%
BNP Paribas Securities Corp.	$ 70,443,391
Bank of America, NA	114,153,391
Barclays Capital, Inc.	120,174,997
ING Financial Markets LLC	37,293,560
WestLB AG	5,179,661
	$ 347,245,000

Affiliated Central Funds

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

Fund	Income earned
Fidelity Ultra-Short Central Fund	$ 5,256,008

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity Ultra-Short Central Fund	$ 435,371,129	$ -	$ 411,667,733*	$ -	0.0%

*Includes the value of shares redeemed through in-kind contributions. See Note 2 of the Notes to Financial Statements.

Other Information

The following is a summary of the inputs used, as of June 30, 2008, involving the Fund's assets carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

#Valuation Inputs at Reporting Date:
Description	Total	Level 1	Level 2	Level 3
Investments in Securities	$ 4,010,508,575	$ -	$ 4,003,769,012	$ 6,739,563
Other Financial Instruments*	$ (24,036,059)	$ -	$ (10,630,129)	$ (13,405,930)

*Other financial instruments include Swap Agreements.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 2,137,852	$ (10,030,825)
Total Realized Gain (Loss)	(295,250)	-
Total Unrealized Gain (Loss)	(352,723)	663,794
Cost of Purchases	5,072,370	-
Proceeds of Sales	(1,741,285)	-
Amortization/Accretion	479	-
Transfer in/out of Level 3	1,918,120	(4,038,899)
Ending Balance	$ 6,739,563	$ (13,405,930)

*The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $0.

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

	June 30, 2008
Assets
Investment in securities, at value (including repurchase agreements of $347,245,000) - See accompanying schedule: Unaffiliated issuers (cost $4,054,726,425)		$ 4,010,508,575
Commitment to sell securities on a delayed delivery basis	$ (22,196,970)
Receivable for securities sold on a delayed delivery basis	22,072,188	(124,782)
Receivable for investments sold, regular delivery		23,529
Cash		201,823
Receivable for swap agreements		55,193
Interest receivable		27,493,873
Distributions receivable from Fidelity Central Funds		467,131
Total assets		4,038,625,342
Liabilities
Payable for investments purchased Regular delivery	$ 23,233,074
Delayed delivery	265,867,324
Swap agreements, at value	24,036,059
Other payables and accrued expenses	27,523
Total liabilities		313,163,980
Net Assets		$ 3,725,461,362
Net Assets consist of:
Paid in capital		$ 3,821,026,608
Undistributed net investment income		10,187,851
Accumulated undistributed net realized gain (loss) on investments		(41,021,666)
Net unrealized appreciation (depreciation) on investments		(64,731,431)
Net Assets, for 37,155,624 shares outstanding		$ 3,725,461,362
Net Asset Value, offering price and redemption price per share ($3,725,461,362 ÷ 37,155,624 shares)		$ 100.27

Statement of Operations

	Six months ended June 30, 2008
Investment Income
Dividends		$ 111,690
Interest		90,037,372
Income from Fidelity Central Funds		5,256,008
Total income		95,405,070
Expenses
Custodian fees and expenses	$ 60,241
Independent trustees' compensation	7,996
Total expenses before reductions	68,237
Expense reductions	(14,451)	53,786
Net investment income		95,351,284
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	29,298,070
Fidelity Central Funds	(73,045,771)
Swap agreements	4,085,221
Total net realized gain (loss)		(39,662,480)
Change in net unrealized appreciation (depreciation) on: Investment securities	(29,537,056)
Swap agreements	(12,451,987)
Delayed delivery commitments	(124,782)
Total change in net unrealized appreciation (depreciation)		(42,113,825)
Net gain (loss)		(81,776,305)
Net increase (decrease) in net assets resulting from operations		$ 13,574,979

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

	Six months ended June 30, 2008	Year ended December 31, 2007
Increase (Decrease) in Net Assets
Operations
Net investment income	$ 95,351,284	$ 171,814,072
Net realized gain (loss)	(39,662,480)	5,080,505
Change in net unrealized appreciation (depreciation)	(42,113,825)	(17,878,562)
Net increase (decrease) in net assets resulting from operations	13,574,979	159,016,015
Distributions to shareholders from net investment income	(88,180,509)	(167,465,735)
Distributions to shareholders from net realized gain	(7,723,403)	(2,131,039)
Total distributions	(95,903,912)	(169,596,774)
Share transactions Proceeds from sales of shares	277,704,683	846,478,691
Reinvestment of distributions	95,903,912	90,626,029
Cost of shares redeemed	(153,625,766)	(133,664,658)
Net increase (decrease) in net assets resulting from share transactions	219,982,829	803,440,062
Total increase (decrease) in net assets	137,653,896	792,859,303
Net Assets
Beginning of period	3,587,807,466	2,794,948,163
End of period (including undistributed net investment income of $10,187,851 and undistributed net investment income of $3,017,076, respectively)	$ 3,725,461,362	$ 3,587,807,466
Other Information Shares
Sold	2,717,098	8,284,694
Issued in reinvestment of distributions	940,281	888,417
Redeemed	(1,503,253)	(1,300,993)
Net increase (decrease)	2,154,126	7,872,118

Financial Highlights

	Six months ended June 30,	Years ended December 31,
	2008	2007	2006 H
Selected Per-Share Data
Net asset value, beginning of period	$ 102.50	$ 103.02	$ 100.00
Income from Investment Operations
Net investment income D	2.657	5.534	2.814
Net realized and unrealized gain (loss)	(2.207)	(.594)	3.132
Total from investment operations	.450	4.940	5.946
Distributions from net investment income	(2.460)	(5.385)	(2.826)
Distributions from net realized gain	(.220)	(.075)	(.100)
Total distributions	(2.680)	(5.460)	(2.926)
Net asset value, end of period	$ 100.27	$ 102.50	$ 103.02
Total Return B, C	.42%	4.94%	5.95%
Ratios to Average Net Assets E, I
Expenses before reductions	-% A, G	-% G	-% A, G
Expenses net of fee waivers, if any	-% A, G	-% G	-% A, G
Expenses net of all reductions	-% A, G	-% G	-% A, G
Net investment income	5.25% A	5.42%	5.23% A
Supplemental Data
Net assets, end of period (000 omitted)	$ 3,725,461	$ 3,587,807	$ 2,794,948
Portfolio turnover rate F	176% A	137%	99% A

^A Annualized

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

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

^D Calculated based on average shares outstanding during the period.

^E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

^F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

^G Amount represents less than .01%.

^H For the period June 23, 2006 (commencement of operations) to December 31, 2006.

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

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

Semiannual Report

Notes to Financial Statements

For the period ended June 30, 2008

1. Organization.

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

2. Investments in Fidelity Central Funds.

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

Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity Ultra-Short Central Fund	Fidelity Investments Money Management, Inc. (FIMM)	Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.	Futures Repurchase Agreements Restricted Securities Swap Agreements

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

On June 27, 2008, the Fund redeemed 2,971,457 shares of Fidelity Ultra-Short Central Fund, an affiliated entity, valued at $245,828,638 by receiving securities of equal value, including accrued interest. This is considered taxable to each Investing Fund for federal income tax purposes.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Certain of the Fund's securities may be valued by a single source or dealer. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value. Actual prices received at disposition may differ.

When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include significant market or security specific events, changes in interest rates and credit quality, and developments in foreign markets which are monitored by evaluating the performance of ADRs, futures contracts and exchange-traded funds. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

Semiannual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

The Fund is subject to the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1	Quoted prices in active markets for identical securities.
Level 2	Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
Level 3	Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of June 30, 2008, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 pm Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income and distributions from other Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The implementation of FIN 48 did not result in any unrecognized tax benefits in the accompanying financial statements. Each of the Fund's federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to short-term capital gains, swap agreements, market discount, financing transactions and losses deferred due to wash sales and excise tax regulations.

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

Unrealized appreciation	$ 40,560,252
Unrealized depreciation	(83,191,791)
Net unrealized appreciation (depreciation)	$ (42,631,539)
Cost for federal income tax purposes	$ 4,053,140,114

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for fiscal years beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance. Management is currently evaluating the impact the adoption of SFAS 161 will have on the Fund's financial statement disclosures.

Semiannual Report

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

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

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. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.

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 either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value.

Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. 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 a 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."

Mortgage Dollar Rolls. The Fund may enter into dollar rolls in which the Fund sells mortgage-backed securities, realizing a gain or loss, and simultaneously agrees to repurchase substantially similar securities at a future date. In addition, the Fund may enter into reverse dollar rolls in which the Fund purchases and simultaneously agrees to sell substantially similar securities at a future date. During the period between the sale and repurchase in a dollar roll transaction, the 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 that are permissible investments of the Fund. During the period between the purchase and subsequent sale in a reverse dollar roll transaction, the Fund is entitled to interest and principal payments on the securities purchased. 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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $625,842,535 and $560,325,560, respectively.

Semiannual Report

Notes to Financial Statements - continued

6. Fees and Other Transactions with Affiliates.

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

7. Expense Reductions.

FMR has voluntarily agreed to reimburse a portion of the Fund's operating expenses. For the period, the reimbursement reduced the expenses by $7,996.

In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,455.

8. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund according to the following schedule:

Fund	Ownership %
VIP Asset Manager Portfolio	19.0%
VIP Asset Manager: Growth Portfolio	1.4%
VIP Balanced Portfolio	8.4%
VIP Investment Grade Bond Portfolio	71.2%

9. Credit Risk.

The Fund invests a portion of its assets, directly or indirectly, in structured securities of issuers that hold mortgage securities, including securities backed by subprime mortgage loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market's perception of credit quality on securities backed by subprime mortgage loans have resulted in increased volatility of market price and periods of illiquidity that have adversely impacted the valuation of certain issuers of the Fund.

Semiannual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Garrison Street Trust and Shareholders of Fidelity VIP Investment Grade Central Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity VIP Investment Grade Central Fund (the Fund), a fund of Fidelity Garrison Street Trust, including the schedule of investments, as of June 30, 2008, and the related statement of operations for the six months then ended, the statement of changes in net assets for the six months ended June 30, 2008 and for the year ended December 31, 2007, and the financial highlights for the six months ended June 30, 2008 and for the year ended December 31, 2007 and for the period from June 23, 2006 (commencement of operations) to December 31, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2008, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity VIP Investment Grade Central Fund as of June 30, 2008, the results of its operations for the six months then ended, the changes in its net assets for the six months ended June 30, 2008 and for the year ended December 31, 2007, and the financial highlights for the six months ended June 30, 2008 and for the year ended December 31, 2007 and for the period June 23, 2006 (commencement of operations) to December 31, 2007, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

August 14, 2008

Semiannual Report

Board Approval of Investment Advisory Contracts and Management Fees

VIP Investment Grade Central Fund

Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.

The Board meets regularly and, acting directly and through its separate committees, requests and receives information concerning, and considers at each of its meetings factors that are relevant to, its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has a written charter outlining the structure and purposes of the committee. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts.

At its June 2008 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant and ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. The Board also approved agreements with foreign sub-advisers Fidelity Management & Research (U.K.) Inc., Fidelity Management & Research (Japan) Inc., and Fidelity Management & Research (Hong Kong) Limited.

Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.

Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integrated part of the fixed-income portfolio management investment process.

Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.

Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund's Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment companies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.

Based on its review, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders.

Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund's management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except expenses related to the fund's investment activities (primarily custody expenses). Based on its review, the Board concluded that the fund's net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds, as well as the profitability of each fund that invests in this fund.

PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

Semiannual Report

Board Approval of Investment Advisory Contracts and Management Fees - continued

The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.

Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except expenses related to the fund's investment activities.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends and actions to be taken by FMR to improve certain funds' overall performance; (ii) portfolio manager changes that have occurred during the past year; (iii) Fidelity's fund profitability methodology, the profitability of certain fund service providers, and profitability trends for certain funds; (iv) Fidelity's compensation structure for portfolio managers and key personnel, including its effects on fund profitability and the extent to which portfolio manager compensation is linked to fund performance; (v) Fidelity's fee structures; (vi) the funds' sub-advisory arrangements; and (vii) accounts managed by Fidelity other than the Fidelity funds.

Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.

Semiannual Report

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

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

Not applicable.

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

Not applicable.

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

Not applicable.

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

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

Item 11. Controls and Procedures

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

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

Item 12. Exhibits

(a)	(1)	Not applicable.
(a)	(2)	Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
(a)	(3)	Not applicable.
(b)		Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

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

Fidelity Garrison Street Trust

By:	/s/ John R. Hebble
	John R. Hebble
	President and Treasurer
Date:	August 28, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ John R. Hebble
	John R. Hebble
	President and Treasurer
Date:	August 28, 2008

By:	/s/Christine Reynolds
	Christine Reynolds
	Chief Financial Officer
Date:	August 28, 2008

EX-99.CERT

Exhibit EX-99.CERT

I, John R. Hebble, certify that:

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

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

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

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

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

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

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

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

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

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

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

Date: August 28, 2008

/s/John R. Hebble

John R. Hebble

President and Treasurer

I, Christine Reynolds, certify that:

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

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

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

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

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

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

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

d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

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

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

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

Date: August 28, 2008

/s/Christine Reynolds

Christine Reynolds

Chief Financial Officer

EX-99.906 CERT

Exhibit EX-99.906CERT

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

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

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

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

Dated: August 28, 2008

/s/John R. Hebble

John R. Hebble

President and Treasurer

Dated: August 28, 2008

/s/Christine Reynolds

Christine Reynolds

Chief Financial Officer

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