N-CSRS 1 main.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-4861

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

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

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, 2009

Item 1. Reports to Stockholders

Fidelity® VIP
Investment Grade Central Fund

Semiannual Report

June 30, 2009

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

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

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

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

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

VIGC-SANN-0809
1.831205.103

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, 2009 to June 30, 2009).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

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

 

Annualized Expense Ratio

Beginning
Account Value
January 1, 2009

Ending
Account Value
June 30, 2009

Expenses Paid
During Period*
January 1, 2009
to June 30, 2009

Actual

.0037%

$ 1,000.00

$ 1,081.80

$ .02

Hypothetical (5% return per year before expenses)

 

$ 1,000.00

$ 1,024.78

$ .02

* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).

Semiannual Report

Investment Changes (Unaudited)

Quality Diversification (% of fund's net assets)

As of June 30, 2009

As of December 31, 2008

fid74787

U.S. Government
and U.S. Government
Agency Obligations† 57.3%

 

fid74787

U.S. Government
and U.S. Government
Agency Obligations 56.5%

 

fid74790

AAA 8.2%

 

fid74790

AAA 11.4%

 

fid74793

AA 4.3%

 

fid74793

AA 5.1%

 

fid74796

A 10.7%

 

fid74796

A 9.7%

 

fid74799

BBB 17.3%

 

fid74799

BBB 16.1%

 

fid74802

BB and Below 3.4%

 

fid74802

BB and Below 1.3%

 

fid74805

Not Rated 0.6%

 

fid74805

Not Rated 0.4%

 

fid74808

Short-Term
Investments and
Net Other Assets*** (1.8)%

 

fid74808

Short-Term
Investments and
Net Other Assets*** (0.5)%

 

fid74811

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, 2009

 

 

6 months ago

Years

5.7

5.5

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, 2009

 

 

6 months ago

Years

4.0

3.8

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, 2009 *

As of December 31, 2008 **

fid74787

Corporate Bonds 31.8%

 

fid74787

Corporate Bonds 30.1%

 

fid74790

U.S. Government
and U.S. Government
Agency Obligations† 57.3%

 

fid74790

U.S. Government
and U.S. Government
Agency Obligations 56.5%

 

fid74793

Asset-Backed
Securities 3.3%

 

fid74793

Asset-Backed
Securities 4.1%

 

fid74799

CMOs and Other Mortgage
Related Securities 9.1%

 

fid74799

CMOs and Other Mortgage
Related Securities 9.6%

 

fid74802

Municipal Bonds 0.2%

 

fid74802

Municipal Bonds 0.0%

 

fid74805

Other Investments 0.1%

 

fid74805

Other Investments 0.2%

 

fid74808

Short-Term
Investments and
Net Other Assets*** (1.8)%

 

fid74808

Short-Term
Investments and
Net Other Assets*** (0.5)%

 

* Foreign investments

6.0%

 

** Foreign investments

6.3%

 

* Futures and Swaps

12.0%

 

** Futures and Swaps

13.6%

 

fid74827

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

† Includes FDIC Guaranteed Corporate Securities.

Semiannual Report

Investments June 30, 2009

Showing Percentage of Net Assets

Nonconvertible Bonds - 31.8%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 2.5%

Household Durables - 0.2%

Fortune Brands, Inc.:

5.125% 1/15/11

$ 4,010,000

$ 4,025,070

5.875% 1/15/36

5,320,000

4,150,159

 

8,175,229

Media - 2.0%

AOL Time Warner, Inc.:

6.75% 4/15/11

100,000

104,657

6.875% 5/1/12

290,000

310,226

7.625% 4/15/31

1,625,000

1,579,754

Comcast Corp.:

4.95% 6/15/16

2,975,000

2,918,291

5.5% 3/15/11

2,675,000

2,783,434

6.45% 3/15/37

5,676,000

5,593,919

COX Communications, Inc.:

4.625% 1/15/10

3,350,000

3,365,879

4.625% 6/1/13

3,475,000

3,418,952

6.25% 6/1/18 (b)

5,000,000

4,942,650

6.45% 12/1/36 (b)

1,043,000

943,025

6.95% 6/1/38 (b)

517,000

497,685

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

1,905,000

1,735,375

News America, Inc.:

6.15% 3/1/37

1,745,000

1,479,989

6.2% 12/15/34

6,695,000

5,715,495

6.9% 3/1/19 (b)

2,413,000

2,514,394

Time Warner Cable, Inc.:

5.85% 5/1/17

2,467,000

2,463,549

6.2% 7/1/13

7,000,000

7,375,508

6.75% 7/1/18

4,425,000

4,608,943

Time Warner, Inc.:

1.15% 11/13/09 (f)

1,024,000

1,021,557

5.875% 11/15/16

5,514,000

5,434,102

6.5% 11/15/36

2,925,000

2,561,420

Viacom, Inc.:

5.75% 4/30/11

1,410,000

1,443,504

6.125% 10/5/17

2,710,000

2,633,646

6.75% 10/5/37

935,000

841,706

 

66,287,660

Specialty Retail - 0.3%

Staples, Inc. 9.75% 1/15/14

7,767,000

8,675,195

TOTAL CONSUMER DISCRETIONARY

83,138,084

CONSUMER STAPLES - 2.0%

Beverages - 0.6%

Anheuser-Busch InBev Worldwide, Inc.:

7.2% 1/15/14 (b)

3,000,000

3,225,366

8.2% 1/15/39 (b)

3,200,000

3,563,754

 

 

Principal Amount

Value

Diageo Capital PLC:

5.2% 1/30/13

$ 1,705,000

$ 1,773,236

5.75% 10/23/17

3,817,000

3,982,139

FBG Finance Ltd. 5.125% 6/15/15 (b)

2,185,000

2,046,842

PepsiCo, Inc. 7.9% 11/1/18

4,560,000

5,547,714

 

20,139,051

Food & Staples Retailing - 0.3%

CVS Caremark Corp.:

6.036% 12/10/28 (b)

7,006,303

5,986,325

6.302% 6/1/37 (f)

5,910,000

4,373,400

 

10,359,725

Food Products - 0.4%

Cargill, Inc. 6.625% 9/15/37 (b)

3,333,000

3,136,906

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

3,528,000

3,719,958

Kraft Foods, Inc.:

6.125% 2/1/18

2,376,000

2,456,601

6.875% 1/26/39

5,000,000

5,292,460

 

14,605,925

Personal Products - 0.2%

Avon Products, Inc. 5.75% 3/1/18

5,995,000

6,088,354

Tobacco - 0.5%

Altria Group, Inc.:

9.7% 11/10/18

4,450,000

5,101,685

9.95% 11/10/38

2,699,000

3,115,520

Philip Morris International, Inc.:

4.875% 5/16/13

2,904,000

3,047,420

5.65% 5/16/18

2,751,000

2,883,579

Reynolds American, Inc. 7.25% 6/15/37

3,055,000

2,522,067

 

16,670,271

TOTAL CONSUMER STAPLES

67,863,326

ENERGY - 3.7%

Energy Equipment & Services - 0.6%

DCP Midstream LLC 9.75% 3/15/19 (b)

2,946,000

3,284,033

Halliburton Co. 6.15% 9/15/19

2,430,000

2,630,616

Transocean Ltd. 6% 3/15/18

7,310,000

7,599,593

Weatherford International Ltd.:

7% 3/15/38

2,250,000

2,166,410

9.625% 3/1/19

5,089,000

5,986,735

 

21,667,387

Oil, Gas & Consumable Fuels - 3.1%

Anadarko Petroleum Corp.:

5.95% 9/15/16

4,745,000

4,681,531

6.45% 9/15/36

1,155,000

1,038,248

Canadian Natural Resources Ltd. 5.7% 5/15/17

5,685,000

5,748,729

ConocoPhillips 5.75% 2/1/19

3,900,000

4,098,959

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Devon Energy Corp. 6.3% 1/15/19

$ 3,000,000

$ 3,205,857

Devon Financing Corp. U.L.C. 6.875% 9/30/11

3,000,000

3,258,273

Duke Capital LLC:

6.25% 2/15/13

855,000

875,402

6.75% 2/15/32

4,255,000

3,843,010

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

3,300,000

2,639,828

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

3,330,000

3,205,265

Empresa Nacional de Petroleo 6.75% 11/15/12 (b)

6,135,000

6,554,836

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

320,000

338,701

Kinder Morgan Energy Partners LP 5.125% 11/15/14

6,045,000

6,012,291

Nakilat, Inc. 6.067% 12/31/33 (b)

4,015,000

3,182,209

National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (b)

925,000

698,258

Nexen, Inc.:

5.875% 3/10/35

5,405,000

4,631,226

6.4% 5/15/37

2,125,000

1,951,728

NGPL PipeCo LLC 6.514% 12/15/12 (b)

1,980,000

2,075,416

Pemex Project Funding Master Trust:

1.25% 12/3/12 (b)(f)

410,000

383,350

1.9294% 6/15/10 (b)(f)

4,480,000

4,412,800

Petro-Canada:

6.05% 5/15/18

1,480,000

1,472,760

6.8% 5/15/38

3,485,000

3,435,638

Petroleos Mexicanos 8% 5/3/19 (b)

4,014,000

4,355,190

Plains All American Pipeline LP:

6.125% 1/15/17

1,250,000

1,205,301

6.65% 1/15/37

1,950,000

1,809,114

Ras Laffan Liquid Natural Gas Co. Ltd. III:

5.832% 9/30/16 (b)

2,375,000

2,328,901

6.332% 9/30/27 (b)

2,415,000

2,078,735

Suncor Energy, Inc.:

6.1% 6/1/18

4,665,000

4,689,785

6.85% 6/1/39

4,100,000

4,031,563

TEPPCO Partners LP:

6.65% 4/15/18

1,811,000

1,838,381

7.55% 4/15/38

3,470,000

3,603,109

Texas Eastern Transmission LP 6% 9/15/17 (b)

2,434,000

2,430,631

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

615,000

631,175

 

 

Principal Amount

Value

Valero Energy Corp. 6.625% 6/15/37

$ 1,575,000

$ 1,343,664

XTO Energy, Inc. 6.375% 6/15/38

5,075,000

5,186,620

 

103,276,484

TOTAL ENERGY

124,943,871

FINANCIALS - 13.9%

Capital Markets - 3.5%

Bear Stearns Companies, Inc. 6.95% 8/10/12

6,445,000

7,004,774

BlackRock, Inc. 6.25% 9/15/17

3,685,000

3,725,288

Goldman Sachs Group, Inc.:

5.25% 10/15/13

3,770,000

3,847,643

5.625% 1/15/17

3,000,000

2,851,239

5.7% 9/1/12

2,935,000

3,072,349

5.95% 1/18/18

755,000

732,319

6.15% 4/1/18

3,134,000

3,051,190

6.6% 1/15/12

4,610,000

4,908,382

6.75% 10/1/37

6,705,000

5,960,705

Janus Capital Group, Inc.:

6.125% 9/15/11 (a)

2,041,000

1,928,235

6.5% 6/15/12

6,015,000

5,556,128

JPMorgan Chase Capital XX 6.55% 9/29/36

3,090,000

2,456,003

JPMorgan Chase Capital XXV 6.8% 10/1/37

6,975,000

5,998,507

Lazard Group LLC:

6.85% 6/15/17

3,230,000

2,967,262

7.125% 5/15/15

5,585,000

5,131,168

Merrill Lynch & Co., Inc.:

4.25% 2/8/10

7,275,000

7,303,824

5.45% 2/5/13

2,509,000

2,442,002

6.15% 4/25/13

1,204,000

1,205,701

6.4% 8/28/17

1,300,000

1,150,838

6.875% 4/25/18

1,074,000

994,047

Morgan Stanley:

1.3994% 1/9/12 (f)

4,300,000

3,876,050

4.75% 4/1/14

1,500,000

1,416,885

5.45% 1/9/17

900,000

840,404

5.95% 12/28/17

2,100,000

2,015,076

6% 5/13/14

3,380,000

3,422,142

6.6% 4/1/12

7,695,000

8,147,127

6.625% 4/1/18

10,165,000

10,133,549

7.3% 5/13/19

5,111,000

5,299,851

Northern Trust Corp.:

4.625% 5/1/14

768,000

789,203

5.5% 8/15/13

1,100,000

1,166,219

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Capital Markets - continued

UBS AG Stamford Branch:

5.75% 4/25/18

$ 4,720,000

$ 4,298,674

5.875% 12/20/17

3,145,000

2,928,813

 

116,621,597

Commercial Banks - 1.9%

American Express Bank FSB 6% 9/13/17

3,625,000

3,306,620

Bank of America NA 5.3% 3/15/17

1,480,000

1,255,702

Credit Suisse (Guernsey) Ltd. 5.86%

4,785,000

3,110,250

Credit Suisse First Boston 6% 2/15/18

6,110,000

6,099,766

Credit Suisse First Boston New York Branch 5% 5/15/13

2,403,000

2,456,642

Credit Suisse New York Branch 5.5% 5/1/14

2,200,000

2,285,668

DBS Bank Ltd. (Singapore) 1.0744% 5/16/17 (b)(f)

410,000

358,750

Export-Import Bank of Korea 5.5% 10/17/12

6,570,000

6,691,177

Fifth Third Bancorp:

4.5% 6/1/18

930,000

664,918

8.25% 3/1/38

3,564,000

2,728,249

HBOS PLC 6.75% 5/21/18 (b)

2,600,000

1,962,714

HSBC Holdings PLC:

1.3659% 10/6/16 (f)

399,000

347,803

6.5% 9/15/37

7,355,000

7,114,587

Korea Development Bank 5.3% 1/17/13

3,805,000

3,755,908

Manufacturers & Traders Trust Co. 2.7075% 4/1/13 (b)(f)

269,000

211,431

National City Bank, Cleveland 4.5% 3/15/10

5,477,000

5,557,222

PNC Funding Corp. 1.1794% 1/31/12 (f)

1,019,000

938,421

Santander Issuances SA Unipersonal 0.9688% 6/20/16 (b)(f)

1,229,000

921,750

SouthTrust Corp. 5.8% 6/15/14

1,440,000

1,429,721

Standard Chartered Bank 6.4% 9/26/17 (b)

4,025,000

3,637,030

Wachovia Bank NA 4.875% 2/1/15

4,405,000

4,206,290

Wachovia Corp. 4.875% 2/15/14

785,000

766,697

Wells Fargo & Co. 5.625% 12/11/17

4,754,000

4,679,519

 

64,486,835

Consumer Finance - 1.5%

American General Finance Corp. 6.9% 12/15/17

2,370,000

1,283,312

Capital One Bank USA NA 8.8% 7/15/19

2,580,000

2,635,790

 

 

Principal Amount

Value

Capital One Financial Corp. 7.375% 5/23/14

$ 3,210,000

$ 3,310,088

Discover Financial Services 1.1688% 6/11/10 (f)

11,045,000

10,399,144

General Electric Capital Corp.:

5.625% 9/15/17

2,420,000

2,316,056

5.625% 5/1/18

9,700,000

9,174,095

5.875% 1/14/38

3,600,000

2,848,993

5.9% 5/13/14

4,170,000

4,256,156

6.375% 11/15/67 (f)

4,000,000

2,668,884

MBNA America Bank NA 7.125% 11/15/12 (b)

1,075,000

1,132,636

MBNA Corp. 7.5% 3/15/12

1,860,000

1,953,722

SLM Corp.:

1.2319% 7/27/09 (f)

1,064,000

1,059,468

1.2519% 7/26/10 (f)

6,312,000

5,729,106

4.5% 7/26/10

2,555,000

2,414,475

 

51,181,925

Diversified Financial Services - 1.9%

Bank of America Corp. 7.4% 1/15/11

9,125,000

9,367,488

BP Capital Markets PLC 5.25% 11/7/13

7,866,000

8,442,664

BTM Curacao Holding NV 0.93% 12/19/16 (b)(f)

666,000

516,327

Citigroup, Inc.:

5.3% 10/17/12

3,180,000

3,067,294

5.5% 4/11/13

1,390,000

1,302,771

6.125% 5/15/18

6,240,000

5,457,885

6.5% 8/19/13

7,045,000

6,843,358

CME Group, Inc. 5.75% 2/15/14

1,779,000

1,897,156

International Lease Finance Corp. 5.65% 6/1/14

4,750,000

3,442,092

JPMorgan Chase & Co.:

4.891% 9/1/15 (f)

20,000

17,400

5.6% 6/1/11

88,000

92,131

5.75% 1/2/13

3,500,000

3,609,470

6.3% 4/23/19

3,920,000

3,942,830

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

3,375,000

2,266,711

5.35% 4/15/12 (b)

1,700,000

1,389,964

5.5% 1/15/14 (b)

2,405,000

1,728,045

TECO Finance, Inc. 7% 5/1/12

1,740,000

1,770,443

ZFS Finance USA Trust I 6.15% 12/15/65 (b)(f)

1,580,000

1,216,600

ZFS Finance USA Trust II 6.45% 12/15/65 (b)(f)

3,716,000

2,824,160

ZFS Finance USA Trust IV 5.875% 5/9/62 (b)(f)

871,000

629,646

ZFS Finance USA Trust V 6.5% 5/9/67 (b)(f)

4,035,000

2,905,200

 

62,729,635

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Insurance - 2.1%

Allstate Corp.:

6.2% 5/16/14

$ 2,709,000

$ 2,841,386

7.45% 5/16/19

2,682,000

2,901,549

American International Group, Inc. 8.175% 5/15/58 (b)(f)

3,075,000

877,285

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

420,000

378,510

Hartford Financial Services Group, Inc. 8.125% 6/15/68 (f)

5,815,000

4,070,500

Lincoln National Corp. 7% 5/17/66 (f)

7,285,000

4,589,550

Marsh & McLennan Companies, Inc. 9.25% 4/15/19

6,066,000

6,826,185

Massachusetts Mutual Life Insurance Co. 8.875% 6/1/39 (b)

3,000,000

3,185,676

Merna Reinsurance Ltd. Series 2007-1 Class B, 2.3475% 6/30/12 (b)(f)

3,285,000

3,059,649

MetLife, Inc.:

6.75% 6/1/16

3,234,000

3,292,390

7.717% 2/15/19

4,779,000

5,111,795

Metropolitan Life Global Funding I 5.125% 6/10/14 (b)

2,884,000

2,861,557

New York Life Global Funding 4.65% 5/9/13 (b)

6,045,000

6,131,510

Pacific Life Global Funding 5.15% 4/15/13 (b)

3,690,000

3,677,679

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

3,660,000

3,552,111

Prudential Financial, Inc.:

5.4% 6/13/35

1,651,000

1,230,180

5.5% 3/15/16

1,552,000

1,455,348

6.2% 1/15/15

460,000

449,691

7.375% 6/15/19

1,250,000

1,227,288

8.875% 6/15/68 (f)

7,265,000

6,029,950

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

6,355,000

4,809,903

The Chubb Corp.:

5.75% 5/15/18

1,895,000

1,965,560

6.5% 5/15/38

1,595,000

1,729,100

 

72,254,352

Real Estate Investment Trusts - 2.3%

AMB Property LP 5.9% 8/15/13

2,575,000

2,348,861

Arden Realty LP 5.25% 3/1/15

625,000

592,048

AvalonBay Communities, Inc. 5.5% 1/15/12

963,000

965,512

Brandywine Operating Partnership LP:

4.5% 11/1/09

1,295,000

1,290,888

5.625% 12/15/10

2,260,000

2,204,842

5.7% 5/1/17

5,000,000

3,465,705

5.75% 4/1/12

1,356,000

1,225,984

 

 

Principal Amount

Value

Camden Property Trust 5.375% 12/15/13

$ 2,985,000

$ 2,713,884

Colonial Properties Trust:

4.8% 4/1/11

269,000

251,938

5.5% 10/1/15

6,290,000

4,957,476

Developers Diversified Realty Corp.:

4.625% 8/1/10

225,000

203,433

5% 5/3/10

2,435,000

2,204,785

5.25% 4/15/11

2,335,000

1,952,308

5.375% 10/15/12

1,240,000

838,250

Duke Realty LP:

4.625% 5/15/13

925,000

782,923

5.4% 8/15/14

2,175,000

1,849,052

5.5% 3/1/16

1,270,000

976,867

5.625% 8/15/11

3,500,000

3,350,543

5.95% 2/15/17

778,000

603,081

6.25% 5/15/13

2,800,000

2,459,693

6.5% 1/15/18

2,445,000

1,913,085

6.95% 3/15/11

1,535,000

1,512,908

Equity One, Inc. 6% 9/15/17

2,390,000

1,876,207

Federal Realty Investment Trust 5.4% 12/1/13

1,390,000

1,274,770

Hospitality Properties Trust 5.625% 3/15/17

4,210,000

3,142,487

HRPT Properties Trust:

5.75% 11/1/15

670,000

545,950

6.25% 6/15/17

4,455,000

3,587,848

Liberty Property LP:

5.5% 12/15/16

2,275,000

1,849,118

6.625% 10/1/17

2,290,000

1,943,287

Mack-Cali Realty LP 5.05% 4/15/10

1,735,000

1,728,364

Reckson Operating Partnership LP:

5.15% 1/15/11

795,000

732,926

6% 3/31/16

3,099,000

2,290,146

Simon Property Group LP:

4.6% 6/15/10

2,965,000

2,972,374

4.875% 8/15/10

4,120,000

4,151,988

5% 3/1/12

2,060,000

2,053,532

5.1% 6/15/15

2,220,000

2,027,138

5.375% 6/1/11

2,020,000

2,024,640

7.75% 1/20/11

595,000

610,275

UDR, Inc. 5.5% 4/1/14

2,690,000

2,480,615

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

890,000

805,860

Washington (REIT) 5.95% 6/15/11

3,015,000

2,844,737

 

77,606,328

Real Estate Management & Development - 0.4%

ERP Operating LP:

5.375% 8/1/16

1,034,000

951,213

5.5% 10/1/12

3,548,000

3,553,031

5.75% 6/15/17

3,760,000

3,507,629

Post Apartment Homes LP 6.3% 6/1/13

2,655,000

2,386,898

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Management & Development - continued

Regency Centers LP:

5.875% 6/15/17

$ 1,815,000

$ 1,462,602

6.75% 1/15/12

2,035,000

1,965,279

 

13,826,652

Thrifts & Mortgage Finance - 0.3%

Bank of America Corp. 7.375% 5/15/14

5,197,000

5,368,584

Independence Community Bank Corp. 3.0275% 4/1/14 (f)

4,690,000

3,335,476

 

8,704,060

TOTAL FINANCIALS

467,411,384

HEALTH CARE - 0.5%

Health Care Providers & Services - 0.2%

Express Scripts, Inc.:

5.25% 6/15/12

3,016,000

3,115,992

6.25% 6/15/14

1,786,000

1,889,781

7.25% 6/15/19

1,157,000

1,275,875

 

6,281,648

Pharmaceuticals - 0.3%

AstraZeneca PLC:

5.9% 9/15/17

1,990,000

2,130,952

6.45% 9/15/37

1,485,000

1,646,216

Merck & Co., Inc.:

5% 6/30/19

2,094,000

2,120,238

5.85% 6/30/39

2,275,000

2,337,019

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

2,940,000

3,040,954

 

11,275,379

TOTAL HEALTH CARE

17,557,027

INDUSTRIALS - 1.5%

Aerospace & Defense - 0.2%

BAE Systems Holdings, Inc. 4.75% 8/15/10 (b)

3,465,000

3,478,309

Bombardier, Inc.:

6.3% 5/1/14 (b)

4,515,000

3,950,625

7.45% 5/1/34 (b)

420,000

319,200

 

7,748,134

Airlines - 0.9%

American Airlines, Inc. pass-thru trust certificates:

6.978% 10/1/12

366,936

350,424

7.024% 4/15/11

2,180,000

2,152,750

7.858% 4/1/13

3,480,000

3,262,500

 

 

Principal Amount

Value

Continental Airlines, Inc.:

6.648% 3/15/19

$ 1,604,067

$ 1,315,335

6.795% 2/2/20

3,331,707

2,398,829

Delta Air Lines, Inc. pass-thru trust certificates:

6.821% 8/10/22

2,777,136

2,277,251

7.57% 11/18/10

5,885,000

5,620,175

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

3,014,532

2,260,899

Southwest Airlines Co. pass-thru trust certificates 6.15% 8/1/22

2,281,936

2,145,020

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,526,280

1,114,185

8.36% 7/20/20

5,415,799

4,278,481

United Air Lines, Inc. pass-thru trust certificates:

Class 1A, 6.636% 1/2/24

1,685,165

1,263,874

6.071% 9/1/14

32,567

32,242

6.201% 3/1/10

13,863

13,724

6.602% 9/1/13

42,092

41,671

7.032% 4/1/12

419,847

411,450

7.186% 10/1/12

1,043,561

1,022,690

 

29,961,500

Building Products - 0.0%

Masco Corp. 0.9388% 3/12/10 (f)

941,000

907,666

Industrial Conglomerates - 0.4%

Covidien International Finance SA 5.45% 10/15/12

2,155,000

2,279,598

General Electric Co. 5.25% 12/6/17

7,130,000

7,001,981

Hutchison Whampoa International (03/33) Ltd. 5.45% 11/24/10 (b)

3,600,000

3,734,370

 

13,015,949

TOTAL INDUSTRIALS

51,633,249

INFORMATION TECHNOLOGY - 0.3%

Communications Equipment - 0.1%

Nokia Corp. 5.375% 5/15/19

3,182,000

3,219,341

Electronic Equipment & Components - 0.0%

Tyco Electronics Group SA 7.125% 10/1/37

1,225,000

992,582

Semiconductors & Semiconductor Equipment - 0.2%

Chartered Semiconductor Manufacturing Ltd. 5.75% 8/3/10

195,000

190,937

Nonconvertible Bonds - continued

 

Principal Amount

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

National Semiconductor Corp.:

0.8794% 6/15/10 (f)

$ 1,092,000

$ 982,873

6.15% 6/15/12

5,265,000

5,139,188

 

6,312,998

TOTAL INFORMATION TECHNOLOGY

10,524,921

MATERIALS - 1.6%

Chemicals - 0.4%

Dow Chemical Co.:

7.6% 5/15/14

6,141,000

6,325,236

8.55% 5/15/19

4,126,000

4,133,344

Lubrizol Corp. 8.875% 2/1/19

3,277,000

3,807,065

 

14,265,645

Metals & Mining - 1.2%

Anglo American Capital PLC:

9.375% 4/8/14 (b)

2,675,000

2,905,719

9.375% 4/8/19 (b)

3,319,000

3,584,520

BHP Billiton Financial USA Ltd.:

5.5% 4/1/14

3,707,000

3,976,658

6.5% 4/1/19

3,707,000

4,116,716

Nucor Corp.:

5.85% 6/1/18

3,180,000

3,298,102

6.4% 12/1/37

2,550,000

2,621,002

Rio Tinto Finance (USA) Ltd.:

5.875% 7/15/13

7,725,000

7,773,413

6.5% 7/15/18

2,796,000

2,797,630

7.125% 7/15/28

3,500,000

3,339,798

United States Steel Corp. 6.65% 6/1/37

2,270,000

1,715,044

Vale Overseas Ltd. 6.25% 1/23/17

3,115,000

3,140,742

 

39,269,344

TOTAL MATERIALS

53,534,989

TELECOMMUNICATION SERVICES - 1.8%

Diversified Telecommunication Services - 1.6%

AT&T Broadband Corp. 8.375% 3/15/13

2,150,000

2,451,000

AT&T, Inc.:

6.3% 1/15/38

364,000

351,716

6.8% 5/15/36

10,939,000

11,333,635

BellSouth Capital Funding Corp. 7.875% 2/15/30

620,000

684,944

Deutsche Telekom International Financial BV 5.25% 7/22/13

2,500,000

2,567,828

Sprint Capital Corp. 6.875% 11/15/28

7,050,000

5,005,500

Telecom Italia Capital SA:

4.95% 9/30/14

2,000,000

1,914,638

5.25% 10/1/15

192,000

185,345

 

 

Principal Amount

Value

6.999% 6/4/18

$ 3,792,000

$ 3,836,200

7.2% 7/18/36

3,523,000

3,415,830

7.721% 6/4/38

2,330,000

2,372,742

Telefonica Emisiones SAU:

5.855% 2/4/13

1,438,000

1,515,850

6.221% 7/3/17

2,885,000

3,052,229

7.045% 6/20/36

3,707,000

4,107,845

Verizon Communications, Inc.:

6.1% 4/15/18

2,190,000

2,246,408

6.25% 4/1/37

1,380,000

1,333,522

6.4% 2/15/38

2,548,000

2,494,469

6.9% 4/15/38

2,420,000

2,524,551

Verizon New York, Inc. 6.875% 4/1/12

1,095,000

1,160,511

 

52,554,763

Wireless Telecommunication Services - 0.2%

AT&T Wireless Services, Inc.:

7.875% 3/1/11

740,000

798,064

8.125% 5/1/12

1,130,000

1,265,128

Sprint Nextel Corp. 6% 12/1/16

2,260,000

1,847,550

Vodafone Group PLC 5% 12/16/13

2,775,000

2,877,980

 

6,788,722

TOTAL TELECOMMUNICATION SERVICES

59,343,485

UTILITIES - 4.0%

Electric Utilities - 2.2%

Alabama Power Co. 4.85% 12/15/12

4,095,000

4,337,874

AmerenUE 6.4% 6/15/17

6,509,000

6,683,252

Cleveland Electric Illuminating Co. 5.65% 12/15/13

4,845,000

4,938,378

Commonwealth Edison Co.:

5.4% 12/15/11

2,394,000

2,504,023

5.8% 3/15/18

4,010,000

4,072,215

6.15% 9/15/17

2,890,000

3,002,427

Duke Energy Carolinas LLC 6.05% 4/15/38

714,000

756,095

EDP Finance BV 6% 2/2/18 (b)

2,864,000

2,940,810

Enel Finance International SA 6.25% 9/15/17 (b)

1,455,000

1,519,128

Exelon Corp.:

4.9% 6/15/15

5,075,000

4,725,246

6.75% 5/1/11

2,425,000

2,531,133

FirstEnergy Corp. 6.45% 11/15/11

2,980,000

3,110,405

FPL Group Capital, Inc. 7.875% 12/15/15

1,164,000

1,380,028

Illinois Power Co. 6.125% 11/15/17

1,465,000

1,423,340

Nevada Power Co. 6.5% 5/15/18

3,165,000

3,234,931

Ohio Power Co. 1.3459% 4/5/10 (f)

1,167,000

1,154,238

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

Oncor Electric Delivery Co. 6.375% 5/1/12

$ 1,885,000

$ 1,989,109

Oncor Electric Delivery Co. LLC 6.8% 9/1/18

7,178,000

7,670,468

Pennsylvania Electric Co. 6.05% 9/1/17

2,905,000

2,828,157

PPL Capital Funding, Inc. 6.7% 3/30/67 (f)

6,230,000

4,547,900

Progress Energy, Inc.:

5.625% 1/15/16

2,000,000

2,038,630

7.1% 3/1/11

3,932,000

4,181,902

West Penn Power Co. 5.95% 12/15/17 (b)

3,275,000

2,919,905

 

74,489,594

Gas Utilities - 0.0%

Texas Eastern Transmission Corp. 7.3% 12/1/10

185,000

191,544

Independent Power Producers & Energy Traders - 0.5%

Constellation Energy Group, Inc. 7% 4/1/12

5,735,000

5,924,834

Exelon Generation Co. LLC 6.2% 10/1/17

6,685,000

6,654,028

PPL Energy Supply LLC:

6.2% 5/15/16

1,229,000

1,224,077

6.5% 5/1/18

2,640,000

2,680,176

 

16,483,115

Multi-Utilities - 1.3%

Dominion Resources, Inc.:

4.75% 12/15/10

3,540,000

3,638,281

6.25% 6/30/12

1,938,000

2,080,784

6.3% 9/30/66 (f)

9,255,000

6,293,400

DTE Energy Co. 7.05% 6/1/11

3,500,000

3,662,701

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

1,800,000

1,872,356

5.875% 10/1/12

2,880,000

3,067,214

6.5% 9/15/37

2,524,000

2,619,518

National Grid PLC 6.3% 8/1/16

7,820,000

8,034,151

NiSource Finance Corp.:

1.2313% 11/23/09 (f)

412,000

408,728

5.4% 7/15/14

3,885,000

3,676,057

5.45% 9/15/20

2,135,000

1,795,714

6.4% 3/15/18

3,220,000

2,978,895

7.875% 11/15/10

925,000

955,422

 

 

Principal Amount

Value

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

$ 2,740,000

$ 2,000,200

WPS Resources Corp. 6.11% 12/1/66 (f)

2,330,000

1,514,500

 

44,597,921

TOTAL UTILITIES

135,762,174

TOTAL NONCONVERTIBLE BONDS

(Cost $1,107,853,274)

1,071,712,510

U.S. Government and Government Agency Obligations - 22.2%

 

Other Government Related - 0.6%

Citigroup Funding, Inc. 2.125% 7/12/12 (FDIC Guaranteed) (c)

18,220,000

18,222,514

U.S. Government Agency Obligations - 2.2%

Fannie Mae:

2.5% 5/15/14

1,734,000

1,704,659

2.75% 3/13/14

2,460,000

2,454,736

4.75% 11/19/12

4,110,000

4,469,863

5% 2/16/12

20,940,000

22,719,900

Federal Home Loan Bank 3.625% 5/29/13

2,940,000

3,057,976

Freddie Mac:

4% 6/12/13

17,620,000

18,417,851

5.75% 1/15/12

15,975,000

17,624,115

Tennessee Valley Authority 5.375% 4/1/56

2,375,000

2,320,793

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

1,210,000

1,213,868

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

73,983,761

U.S. Treasury Inflation Protected Obligations - 7.2%

U.S. Treasury Inflation-Indexed Notes:

1.625% 1/15/18

18,625,374

18,487,224

2% 1/15/14 (k)

178,976,888

183,059,703

2% 7/15/14

5,655,850

5,788,412

2.625% 7/15/17

34,567,344

36,850,014

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

244,185,353

U.S. Treasury Obligations - 12.2%

U.S. Treasury Bonds 4.25% 5/15/39

22,150,000

21,924,956

U.S. Treasury Notes:

1.75% 3/31/14 (k)

40,282,000

38,960,267

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

1.875% 6/15/12

$ 131,780,000

$ 132,738,041

2.75% 2/15/19

50,000,000

46,828,000

3.125% 5/15/19

40,000,000

38,687,600

3.375% 6/30/13 (k)

126,309,000

132,308,678

TOTAL U.S. TREASURY OBLIGATIONS

411,447,542

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $736,527,771)

747,839,170

U.S. Government Agency - Mortgage Securities - 32.7%

 

Fannie Mae - 30.7%

2.795% 4/1/34 (f)

2,834,696

2,896,316

3.061% 6/1/33 (f)

121,309

123,493

3.283% 3/1/35 (f)

124,556

127,294

3.296% 10/1/33 (f)

62,560

63,902

3.301% 3/1/35 (f)

1,087,752

1,107,741

3.384% 5/1/35 (f)

2,539,293

2,596,691

3.583% 8/1/36 (f)

2,703,100

2,766,969

3.77% 6/1/34 (f)

845,093

856,408

3.834% 5/1/34 (f)

1,919,062

1,936,290

3.872% 9/1/33 (f)

1,099,182

1,106,536

3.88% 6/1/35 (f)

700,906

717,392

3.919% 7/1/35 (f)

665,660

679,659

3.945% 2/1/35 (f)

692,860

705,735

3.971% 7/1/35 (f)

551,815

563,670

3.998% 10/1/33 (f)

1,511,706

1,532,706

4% 8/1/18 to 6/1/19

2,653,672

2,715,320

4.046% 3/1/35 (f)

33,052

33,847

4.288% 3/1/33 (f)

89,886

91,801

4.301% 7/1/35 (f)

637,691

655,125

4.338% 3/1/37 (f)

3,755,515

3,874,497

4.398% 11/1/36 (f)

2,301,727

2,375,581

4.43% 2/1/35 (f)

4,666,400

4,779,113

4.436% 3/1/35 (f)

309,355

319,390

4.477% 3/1/35 (f)

646,002

663,239

4.479% 7/1/35 (f)

74,765

76,330

4.492% 5/1/35 (f)

407,341

414,533

4.5% 4/1/23 to 10/1/35

52,199,190

52,549,844

4.5% 7/1/24 (i)

37,000,000

37,725,566

4.526% 10/1/35 (f)

4,862,961

5,006,406

4.548% 10/1/33 (f)

141,478

143,946

4.619% 9/1/35 (f)

3,679,920

3,811,432

4.643% 4/1/35 (f)

3,461,333

3,544,966

4.653% 2/1/35 (f)

5,942,882

6,095,751

 

 

Principal Amount

Value

4.667% 7/1/35 (f)

$ 181,486

$ 187,743

4.699% 8/1/33 (f)

171,331

174,188

4.734% 10/1/35 (f)

1,255,820

1,290,425

4.765% 2/1/34 (f)

48,858

50,481

4.854% 10/1/34 (f)

2,295,775

2,349,972

4.939% 5/1/36 (f)

874,291

906,905

4.962% 7/1/34 (f)

80,061

81,927

4.987% 7/1/35 (f)

3,197,982

3,296,016

5% 10/1/17 to 7/1/37

126,967,435

130,786,556

5.047% 9/1/36 (f)

1,434,014

1,493,228

5.065% 9/1/34 (f)

1,417,416

1,446,182

5.069% 4/1/35 (f)

3,016,963

3,088,227

5.108% 4/1/36 (f)

2,937,414

3,068,681

5.183% 5/1/35 (f)

2,371,281

2,459,941

5.295% 12/1/35 (f)

1,200,143

1,256,738

5.308% 2/1/36 (f)

2,499,660

2,611,365

5.5% 4/1/13 to 3/1/39

291,251,398

302,247,620

5.5% 7/1/39 (i)(j)

19,500,000

20,119,326

5.5% 7/13/39 (i)

7,000,000

7,222,322

5.5% 7/13/39 (i)

3,000,000

3,095,281

5.595% 7/1/37 (f)

651,810

677,209

5.66% 9/1/35 (f)

959,650

1,002,534

6% 6/1/14 to 5/1/37

149,207,180

157,300,050

6% 2/1/37

7,997,203

8,384,880

6% 7/13/39 (i)(j)

40,000,000

41,792,840

6% 7/13/39 (i)

78,000,000

81,496,038

6.003% 4/1/36 (f)

512,019

534,740

6.248% 6/1/36 (f)

253,310

261,895

6.326% 4/1/36 (f)

548,065

574,123

6.5% 6/1/11 to 7/1/34

22,208,102

23,834,584

6.5% 7/13/39 (i)(j)

78,500,000

83,559,168

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

2,658,175

2,905,579

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

2,188,533

2,403,513

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

60,503

66,974

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

1,165

1,296

TOTAL FANNIE MAE

1,034,686,036

Freddie Mac - 1.2%

3.156% 2/1/34 (f)

188,490

191,787

3.478% 3/1/35 (f)

528,152

540,331

3.858% 1/1/35 (f)

362,488

371,371

3.927% 7/1/33 (f)

4,089,871

4,159,439

4% 2/1/20

2,730,623

2,788,427

4.067% 6/1/35 (f)

264,492

273,613

4.456% 1/1/35 (f)

1,292,600

1,335,232

4.495% 5/1/35 (f)

1,987,185

2,053,116

4.755% 3/1/36 (f)

486,828

499,137

5% 7/13/39 (i)

5,000,000

5,081,932

5% 7/13/39 (i)

5,000,000

5,081,932

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Freddie Mac - continued

5.141% 4/1/35 (f)

$ 1,309,106

$ 1,358,941

5.309% 3/1/33 (f)

31,137

32,063

5.382% 11/1/35 (f)

710,323

746,505

5.522% 1/1/36 (f)

1,579,845

1,653,048

5.692% 10/1/35 (f)

441,429

461,155

5.92% 6/1/36 (f)

1,178,039

1,228,467

6% 4/1/32 to 7/1/37

11,338,904

11,924,270

6.116% 6/1/36 (f)

585,968

613,157

6.616% 1/1/37 (f)

454,707

477,869

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

245,420

267,960

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

36,557

40,215

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

158,242

175,648

TOTAL FREDDIE MAC

41,355,615

Government National Mortgage Association - 0.8%

4.25% 7/20/34 (f)

285,573

292,859

6% 3/15/29 to 11/15/34

10,398,952

10,974,477

6.5% 8/15/27 to 11/15/35

9,803,105

10,559,806

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

4,360,163

4,720,703

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

1,075,105

1,176,726

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

114,413

126,393

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

29,950

33,451

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

27,884,415

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,076,094,004)

1,103,926,066

Asset-Backed Securities - 3.3%

 

Accredited Mortgage Loan Trust:

Series 2004-4 Class A2D, 0.6638% 1/25/35 (f)

35,616

19,529

Series 2005-1 Class M1, 0.7838% 4/25/35 (f)

642,067

337,683

ACE Securities Corp. Home Equity Loan Trust:

Series 2003-HS1 Class M2, 2.9388% 6/25/33 (f)

40,707

32,500

Series 2004-HE1 Class M1, 0.8138% 2/25/34 (f)

84,484

76,560

Series 2004-OP1 Class M1, 0.8338% 4/25/34 (f)

218,634

130,796

Series 2005-HE2 Class M2, 0.7638% 4/25/35 (f)

92,000

78,346

Series 2005-SD1 Class A1, 0.7138% 11/25/50 (f)

85,411

79,839

 

 

Principal Amount

Value

Advanta Business Card Master Trust:

Series 2006-A6 Class A6, 0.345% 9/20/13 (f)

$ 3,237,867

$ 2,841,228

Series 2006-A7 Class A7, 0.335% 10/20/12 (f)

1,837,589

1,612,484

Series 2006-C1 Class C1, 0.795% 10/20/14 (f)

169,000

8,450

Series 2007-A1 Class A, 0.365% 1/20/15 (f)

1,254,508

1,100,830

Series 2007-A4 Class A4, 0.345% 4/22/13 (f)

1,356,989

1,190,757

Series 2007-A5 Class A5, 0.815% 8/20/13 (f)

2,562,023

2,248,175

Airspeed Ltd. Series 2007-1A Class C1, 2.8194% 6/15/32 (b)(f)

2,830,848

905,871

ALG Student Loan Trust I Series 2006-1 Class A1, 1.0825% 10/28/18 (b)(f)

287,069

286,217

American Express Credit Account Master Trust Series 2004-C Class C, 0.8194% 2/15/12 (b)(f)

87,400

87,292

AmeriCredit Automobile Receivables Trust:

Series 2005-1 Class C, 4.73% 7/6/10

33,423

33,428

Series 2006-1:

Class B1, 5.2% 3/6/11

133,299

126,634

Class C1, 5.28% 11/6/11

1,850,000

1,750,223

Series 2008-AF Class A3, 5.68% 12/12/12

5,225,000

5,133,242

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 1.0138% 12/25/33 (f)

47,196

35,013

Series 2004-R10 Class M1, 1.0138% 11/25/34 (f)

239,000

148,522

Series 2004-R11 Class M1, 0.9738% 11/25/34 (f)

205,737

94,229

Series 2004-R2:

Class M1, 0.7438% 4/25/34 (f)

76,580

61,301

Class M3, 0.8638% 4/25/34 (f)

56,574

21,121

Series 2005-R1 Class M1, 0.7638% 3/25/35 (f)

332,000

221,233

Series 2005-R10 Class A2B, 0.5338% 12/25/35 (f)

279,118

234,881

Series 2005-R2 Class M1, 0.7638% 4/25/35 (f)

727,000

511,740

Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.6438% 6/25/32 (f)

55,713

28,320

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.7038% 3/1/34 (f)

16,878

3,908

Asset-Backed Securities - continued

 

Principal Amount

Value

Argent Securities, Inc. pass-thru certificates: - continued

Series 2004-W11 Class M2, 1.0138% 11/25/34 (f)

$ 198,000

$ 81,548

Series 2004-W5 Class M1, 0.9138% 4/25/34 (f)

2,679,000

1,424,786

Series 2004-W7:

Class M1, 0.8638% 5/25/34 (f)

209,000

103,118

Class M2, 0.9138% 5/25/34 (f)

183,000

128,984

Series 2006-W4 Class A2C, 0.4738% 5/25/36 (f)

547,000

174,705

Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.7338% 12/25/34 (f)

505,174

335,876

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE3 Class M1, 1.5644% 6/15/33 (f)

80,289

45,009

Series 2004-HE2 Class M1, 0.8638% 4/25/34 (f)

940,000

556,290

Series 2004-HE3:

Class M1, 0.8538% 6/25/34 (f)

83,000

46,154

Class M2, 1.4338% 6/25/34 (f)

131,360

86,315

Series 2004-HE6 Class A2, 0.6738% 6/25/34 (f)

146,710

69,707

Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.3994% 3/15/12 (f)

1,209,000

1,199,820

Bayview Financial Acquisition Trust Series 2004-C Class A1, 0.9375% 5/28/44 (f)

109,597

66,066

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 0.9825% 2/28/44 (f)

212,389

130,989

Bear Stearns Asset Backed Securities I Trust:

Series 2005-3 Class A1, 0.7638% 9/25/35 (f)

34,687

25,515

Series 2005-FR1 Class M1, 0.8138% 6/25/35 (f)

341,000

189,216

Series 2005-HE2 Class M1, 0.8138% 2/25/35 (f)

537,219

271,604

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.2322% 12/26/24 (f)

809,141

751,773

C-BASS Trust Series 2006-CB7 Class A2, 0.3738% 10/25/36 (f)

140,849

130,098

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 0.6944% 6/15/10 (f)

23,893

23,893

Series 2006-1:

Class B, 5.26% 10/15/10

945,000

951,459

Class C, 5.55% 1/18/11

5,965,000

5,996,829

 

 

Principal Amount

Value

Class D, 7.16% 1/15/13 (b)

$ 645,000

$ 593,400

Series 2007-SN1:

Class B, 5.52% 3/15/11

1,140,000

1,048,800

Class C, 5.73% 3/15/11

660,000

594,000

Class D, 6.05% 1/17/12

1,630,000

1,304,000

Capital One Auto Finance Trust Series 2006-C Class A3B, 0.3294% 7/15/11 (f)

60,733

60,321

Capital One Multi-Asset Execution Trust:

Series 2004-6 Class B, 4.15% 7/16/12

4,465,000

4,487,374

Series 2007-C3 Class C3, 0.6094% 4/15/13 (b)(f)

1,024,000

933,885

CarMax Auto Owner Trust Series 2007-2 Class C, 5.61% 11/15/13

4,260,000

2,878,718

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.6138% 7/25/36 (f)

402,000

11,123

Series 2006-NC3 Class M10, 2.3138% 8/25/36 (b)(f)

255,000

4,740

Series 2007-RFC1 Class A3, 0.4538% 12/25/36 (f)

635,000

136,208

Cendant Timeshare Receivables Funding LLC:

Series 2005 1A Class 2A2, 0.495% 5/20/17 (b)(f)

84,152

61,647

Series 2005-1A Class A1, 4.67% 5/20/17 (b)

359,617

279,327

Chase Issuance Trust:

Series 2004-3 Class C, 0.7894% 6/15/12 (f)

187,000

181,456

Series 2008-9 Class A, 4.26% 5/15/13

2,000,000

2,057,594

CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14

82,784

74,059

Citibank Credit Card Issuance Trust Series 2007-B6 Class B6, 5% 11/8/12

4,800,000

4,608,000

Citigroup Mortgage Loan Trust:

Series 2003-HE4 Class A, 0.7238% 12/25/33 (b)(f)

123,212

88,309

Series 2007-AMC4 Class M1, 0.5838% 5/25/37 (f)

270,000

8,181

CNH Wholesale Master Note Trust Series 2006-1A:

Class A, 0.3794% 7/15/12 (b)(f)

461,000

458,197

Class B, 0.5994% 7/15/12 (b)(f)

461,000

457,383

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 1.1738% 5/25/33 (f)

16,269

8,776

Series 2004-3:

Class 3A4, 0.5638% 8/25/34 (f)

57,219

29,083

Asset-Backed Securities - continued

 

Principal Amount

Value

Countrywide Home Loans, Inc.: - continued

Series 2004-3:

Class M1, 0.8138% 6/25/34 (f)

$ 233,000

$ 135,696

Class M4, 1.2838% 4/25/34 (f)

56,336

28,342

Series 2004-4:

Class A, 0.6838% 8/25/34 (f)

13,050

6,932

Class M2, 0.8438% 6/25/34 (f)

207,174

138,971

Series 2005-1:

Class M1, 0.7338% 8/25/35 (f)

180,000

142,671

Class MV2, 0.7538% 7/25/35 (f)

498,000

396,521

Series 2005-3 Class MV1, 0.7338% 8/25/35 (f)

774,212

707,373

Series 2005-AB1 Class A2, 0.5238% 8/25/35 (f)

141,087

126,416

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A:

Class B, 4.878% 6/15/35 (b)

2,052,000

2,031,480

Class C, 5.074% 6/15/35 (b)

1,862,000

1,843,380

DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (b)

840,000

699,980

Discover Card Master Trust I:

Series 2006-2 Class B1, 0.4394% 1/17/12 (f)

1,024,000

1,017,678

Series 2007-1 Class B, 0.4194% 8/15/12 (f)

1,024,000

923,321

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8077% 5/28/35 (f)

13,702

7,482

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.4888% 8/25/34 (f)

102,000

20,458

Series 2006-3 Class 2A3, 0.4738% 11/25/36 (f)

1,585,000

317,000

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.1388% 3/25/34 (f)

8,033

3,809

Series 2006-FF12 Class A2, 0.3538% 9/25/36 (f)

103,979

98,867

First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (b)

11,972

11,974

Ford Credit Auto Owner Trust Series 2006-B Class D, 7.26% 2/15/13 (b)

1,025,000

588,364

Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.8694% 6/15/13 (f)

272,000

176,800

 

 

Principal Amount

Value

Fremont Home Loan Trust:

Series 2004-A Class M1, 1.1388% 1/25/34 (f)

$ 397,813

$ 273,150

Series 2005-A:

Class M1, 0.7438% 1/25/35 (f)

23,429

22,264

Class M2, 0.7738% 1/25/35 (f)

618,000

438,695

Class M3, 0.8038% 1/25/35 (f)

334,000

74,669

Class M4, 0.9938% 1/25/35 (f)

128,000

38,544

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.0413% 9/25/30 (b)(f)

829,000

613,331

GE Business Loan Trust Series 2003-1 Class A, 0.7494% 4/15/31 (b)(f)

123,668

82,858

GE Capital Credit Card Master Note Trust:

Series 2006-1:

Class B, 0.4294% 9/17/12 (f)

313,000

291,090

Class C, 0.5594% 9/17/12 (f)

244,000

219,600

Series 2007-1 Class C, 0.5894% 3/15/13 (f)

1,671,000

1,420,350

GSAMP Trust:

Series 2002-HE Class M1, 2.19% 11/20/32 (f)

197,825

108,275

Series 2003-FM1 Class M1, 1.545% 3/20/33 (f)

377,853

271,719

Series 2004-AR1:

Class B4, 5% 6/25/34 (b)(f)

270,974

23,684

Class M1, 0.9638% 6/25/34 (f)

772,000

408,485

Series 2004-FM2 Class M1, 1.0638% 1/25/34 (f)

352,349

236,569

Series 2007-HE1 Class M1, 0.5638% 3/25/47 (f)

289,000

10,577

GSR Mortgage Loan Trust:

Series 2004-OPT Class A1, 0.6538% 11/25/34 (f)

5,588

2,625

Series 2005-MTR1 Class A1, 0.4538% 10/25/35 (f)

60,160

58,541

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3938% 5/25/30 (b)(f)

232,504

34,876

Series 2006-3 Class C, 0.8638% 9/25/46 (b)(f)

538,000

53,800

Home Equity Asset Trust:

Series 2002-3 Class A5, 1.1938% 2/25/33 (f)

141

32

Series 2003-3 Class M1, 1.6038% 8/25/33 (f)

331,551

161,421

Series 2003-4 Class M1, 1.5138% 10/25/33 (f)

104,557

63,444

Asset-Backed Securities - continued

 

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2003-5:

Class A2, 1.0138% 12/25/33 (f)

$ 11,595

$ 3,830

Class M1, 1.3638% 12/25/33 (f)

113,237

70,835

Series 2003-7 Class A2, 1.0738% 3/25/34 (f)

584

109

Series 2003-8 Class M1, 1.3938% 4/25/34 (f)

183,339

113,876

Series 2004-3 Class M2, 2.0138% 8/25/34 (f)

109,952

68,988

Series 2004-7 Class A3, 0.7038% 1/25/35 (f)

216

95

Series 2005-1 Class M1, 0.7438% 5/25/35 (f)

328,565

299,379

Series 2005-3 Class M1, 0.7238% 8/25/35 (f)

248,382

229,729

Series 2005-5 Class 2A2, 0.5638% 11/25/35 (f)

107,107

100,114

Series 2006-1 Class 2A3, 0.5388% 4/25/36 (f)

1,077,531

971,936

Household Home Equity Loan Trust Series 2004-1 Class M, 0.8363% 9/20/33 (f)

97,553

60,031

HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.4594% 6/15/12 (f)

792,000

765,191

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 0.7763% 1/20/35 (f)

268,985

164,792

Class M2, 0.8063% 1/20/35 (f)

201,965

119,803

Series 2005-3 Class A1, 0.5763% 1/20/35 (f)

138,322

81,941

Series 2006-2:

Class M1, 0.585% 3/20/36 (f)

212,687

121,002

Class M2, 0.605% 3/20/36 (f)

351,503

171,121

Series 2006-3 Class A1V, 0.395% 3/20/36 (f)

130,393

127,115

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.5038% 1/25/37 (f)

436,000

111,616

Hyundai Auto Receivables Trust:

Series 2004-1 Class A4, 5.26% 11/15/12

1,601,349

1,631,918

Series 2006-1:

Class B, 5.29% 11/15/12

126,913

128,850

Class C, 5.34% 11/15/12

163,174

163,576

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.4438% 11/25/36 (f)

438,000

182,214

 

 

Principal Amount

Value

Class MV1, 0.5438% 11/25/36 (f)

$ 356,000

$ 33,439

Keycorp Student Loan Trust:

Series 1999-A Class A2, 1.5575% 12/27/09 (f)

357,011

278,858

Series 2006-A Class 2A1, 1.2575% 9/27/21 (f)

134,605

132,513

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 1.5438% 6/25/33 (f)

717,957

359,899

Series 2004-2:

Class M1, 0.8438% 6/25/34 (f)

744,000

497,164

Class M2, 1.3938% 6/25/34 (f)

129,403

95,072

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.5738% 10/25/36 (f)

158,000

4,358

Series 2007-HE1 Class M1, 0.6138% 5/25/37 (f)

249,000

8,267

Merrill Lynch Mortgage Investors Trust:

Series 2003-HE1 Class M1, 1.0138% 7/25/34 (f)

186,489

128,784

Series 2003-OPT1 Class M1, 0.9638% 7/25/34 (f)

52,228

29,386

Series 2006-FM1 Class A2B, 0.4238% 4/25/37 (f)

796,216

574,580

Series 2006-OPT1 Class A1A, 0.5738% 6/25/35 (f)

597,740

279,350

Morgan Stanley ABS Capital I Trust:

Series 2002-HE3 Class M1, 1.9638% 12/27/32 (f)

13,688

8,703

Series 2003-NC7 Class M1, 1.3638% 6/25/33 (f)

176,597

117,941

Series 2003-NC8 Class M1, 1.3638% 9/25/33 (f)

137,553

93,048

Series 2004-HE6 Class A2, 0.6538% 8/25/34 (f)

20,187

3,836

Series 2004-NC2 Class M1, 1.1388% 12/25/33 (f)

362,538

230,441

Series 2005-HE1 Class M2, 0.7838% 12/25/34 (f)

172,000

116,690

Series 2005-HE2 Class M1, 0.7138% 1/25/35 (f)

155,000

70,450

Series 2005-NC1 Class M1, 0.7538% 1/25/35 (f)

141,000

63,026

Series 2007-HE2 Class A2A, 0.3538% 1/25/37 (f)

32,868

25,893

Series 2007-HE4 Class A2A, 0.4238% 2/25/37 (f)

30,782

19,242

Series 2007-NC3 Class A2A, 0.3738% 5/25/37 (f)

17,811

13,456

Asset-Backed Securities - continued

 

Principal Amount

Value

Morgan Stanley Dean Witter Capital I Trust:

Series 2002-AM3 Class A3, 1.2938% 2/25/33 (f)

$ 36,132

$ 29,635

Series 2002-HE2 Class M1, 1.8138% 8/25/32 (f)

218,052

118,857

Series 2002-NC1 Class M1, 1.5138% 2/25/32 (b)(f)

187,896

130,309

Series 2002-NC3:

Class A3, 0.9938% 8/25/32 (f)

12,136

2,383

Class M1, 1.3938% 8/25/32 (f)

20,967

11,488

Series 2003-NC1 Class M1, 1.8888% 11/25/32 (f)

136,323

68,148

Morgan Stanley Home Equity Loans Trust Series 2007-2 Class A1, 0.4138% 4/25/37 (f)

24,845

18,691

National Collegiate Student Loan Trust:

Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g)

1,750,000

98,985

Series 2006-3 Class A1, 0.3438% 9/25/19 (f)

305,201

293,577

Series 2006-4 Class A1, 0.3438% 3/25/25 (f)

300,692

281,263

New Century Home Equity Loan Trust:

Series 2003-6 Class M1, 1.3938% 1/25/34 (f)

400,812

269,547

Series 2005-4 Class M2, 0.8238% 9/25/35 (f)

503,000

96,169

Series 2005-D Class M2, 0.7838% 2/25/36 (f)

105,000

5,963

Nomura Home Equity Loan Trust:

Series 2006-AF1 Class A1, 6.032% 10/25/36

77,765

45,122

Series 2006-HE2 Class A2, 0.4338% 3/25/36 (f)

216,116

206,793

Ocala Funding LLC Series 2006-1A Class A, 1.715% 3/20/11 (b)(f)

414,000

157,320

Option One Mortgage Loan Trust Series 2004-3 Class M3, 0.9638% 11/25/34 (f)

121,000

95,316

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M2, 0.9938% 9/25/34 (f)

98,000

69,403

Class M3, 1.5638% 9/25/34 (f)

188,000

52,875

Class M4, 1.7638% 9/25/34 (f)

241,000

24,746

Series 2004-WCW2 Class M3, 0.8638% 7/25/35 (f)

141,000

20,342

Series 2004-WHQ2 Class M1, 0.9038% 2/25/35 (f)

410,000

334,342

 

 

Principal Amount

Value

Series 2004-WWF1:

Class M2, 0.9938% 2/25/35 (f)

$ 566,000

$ 327,135

Class M3, 1.0538% 2/25/35 (f)

70,000

37,909

Series 2005-WCH1:

Class M2, 0.8338% 1/25/35 (f)

1,972,000

1,384,451

Class M3, 0.8738% 1/25/35 (f)

168,000

88,606

Class M4, 1.1438% 1/25/35 (f)

520,000

91,316

Series 2005-WHQ2 Class M7, 1.5638% 5/25/35 (f)

1,251,000

40,068

Providian Master Note Trust Series 2006-C1A Class C1, 0.8694% 3/16/15 (b)(f)

759,000

669,815

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3838% 2/25/37 (f)

669,798

623,565

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.1138% 4/25/33 (f)

1,796

347

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.1088% 3/25/35 (f)

666,000

324,885

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.465% 3/20/19 (b)(f)

341,627

219,798

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.5794% 6/15/33 (f)

448,000

201,600

Specialty Underwriting & Residential Finance Trust:

Series 2003-BC3 Class M2, 1.9138% 8/25/34 (f)

67,398

44,695

Series 2003-BC4 Class M1, 0.9138% 11/25/34 (f)

685,000

434,654

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4638% 9/25/34 (f)

30,365

2,682

Structured Asset Securities Corp.:

Series 2004-GEL1 Class A, 0.6738% 2/25/34 (f)

48,282

23,539

Series 2007-BC4 Class A3, 0.5638% 11/25/37 (f)

6,060,146

5,410,217

Series 2007-GEL1 Class A2, 0.5038% 1/25/37 (b)(f)

461,000

139,341

Superior Wholesale Inventory Financing Trust:

Series 2004-A10:

Class A, 0.4194% 9/15/11 (f)

144,503

142,985

Class B, 0.5994% 9/15/11 (f)

1,385,000

1,260,350

Series 2007-AE1:

Class A, 0.4194% 1/15/12 (f)

345,000

333,660

Class B, 0.6194% 1/15/12 (f)

300,000

272,034

Class C, 0.9194% 1/15/12 (f)

372,000

260,400

Asset-Backed Securities - continued

 

Principal Amount

Value

Swift Master Auto Receivables Trust Series 2007-1:

Class A, 0.4194% 6/15/12 (f)

$ 1,012,000

$ 946,220

Class B, 0.5394% 6/15/12 (f)

2,515,000

2,288,650

Class C, 0.8194% 6/15/12 (f)

1,500,000

1,050,000

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 0.7438% 9/25/34 (f)

10,148

2,934

Series 2003-6HE Class A1, 0.7838% 11/25/33 (f)

12,837

4,353

Turquoise Card Backed Securities PLC:

Series 2006-2:

Class B, 0.4694% 10/17/11 (f)

1,206,000

1,165,863

Class C, 0.6694% 10/17/11 (f)

1,133,000

1,076,350

Series 2007-1 Class C, 0.6894% 6/15/12 (f)

1,292,000

969,000

Wachovia Auto Loan Owner Trust Series 2006-2A Class A4, 5.23% 3/20/12 (b)

4,000,000

4,071,814

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.8194% 8/15/15 (b)(f)

2,465,000

2,101,295

Series 2007-A4A Class A4, 5.2% 10/15/14 (b)

4,135,000

4,297,009

Series 2007-A5A Class A5, 1.0694% 10/15/14 (b)(f)

590,000

569,410

Series 2007-C1 Class C1, 0.7194% 5/15/14 (b)(f)

1,501,000

1,410,982

Whinstone Capital Management Ltd. Series 1A Class B3, 1.9919% 10/25/44 (b)(f)

630,180

75,622

TOTAL ASSET-BACKED SECURITIES

(Cost $124,174,596)

110,594,086

Collateralized Mortgage Obligations - 4.1%

 

Private Sponsor - 1.7%

Arkle Master Issuer PLC floater:

Series 2006-1A Class 3C, 1.2444% 2/17/52 (b)(f)

236,000

181,720

Series 2006-2A:

Class 2B, 0.9744% 2/17/52 (b)(f)

830,000

794,957

Class 2M, 1.0544% 2/17/52 (b)(f)

564,000

525,783

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.5688% 4/12/56 (b)(f)

516,645

222,157

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6986% 4/10/49 (f)

485,000

72,750

 

 

Principal Amount

Value

Class C, 5.6986% 4/10/49 (f)

$ 1,290,000

$ 180,600

Class D, 5.6986% 4/10/49 (f)

650,000

84,500

Banc of America Mortgage Securities, Inc.:

Series 2003-K Class 1A1, 5.2036% 12/25/33 (f)

23,596

20,496

Series 2004-B Class 1A1, 4.6868% 3/25/34 (f)

26,265

22,157

Series 2004-C Class 1A1, 4.0969% 4/25/34 (f)

42,531

35,843

Series 2004-J Class 2A1, 4.7566% 11/25/34 (f)

1,260,953

1,078,784

Series 2005-E Class 2A7, 4.6153% 6/25/35 (f)

2,680,000

1,413,528

Bear Stearns ALT-A Trust floater:

Series 2005-1 Class A1, 0.5938% 1/25/35 (f)

1,005,717

508,635

Series 2005-2 Class 1A1, 0.5638% 3/25/35 (f)

185,196

92,219

Series 2005-5 Class 1A1, 0.5338% 7/25/35 (f)

235,616

124,799

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.7758% 2/25/37 (f)

615,965

526,425

Series 2007-A2 Class 2A1, 5.1835% 7/25/37 (f)

304,167

269,703

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0955% 12/10/49 (f)

7,310,000

6,458,618

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 3.7115% 8/25/34 (f)

3,096,343

2,711,751

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.7138% 5/25/33 (f)

22,653

21,750

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-1 Class 9A2, 0.7138% 1/25/35 (f)

17,771

11,895

Series 2004-2 Class 7A3, 0.7138% 2/25/35 (f)

40,519

26,752

Series 2004-4 Class 5A2, 0.7138% 3/25/35 (f)

8,305

4,869

Series 2005-1 Class 5A2, 0.6438% 5/25/35 (f)

143,875

93,713

Series 2005-10:

Class 5A1, 0.5738% 1/25/36 (f)

237,479

110,604

Class 5A2, 0.6338% 1/25/36 (f)

106,989

53,524

Series 2005-2:

Class 6A2, 0.5938% 6/25/35 (f)

29,796

19,001

Class 6M2, 0.7938% 6/25/35 (f)

519,000

111,984

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued

Series 2005-4 Class 7A2, 0.5438% 8/25/35 (f)

$ 56,144

$ 30,720

Series 2005-8 Class 7A2, 0.5938% 11/25/35 (f)

141,252

86,009

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR4 Class 5A2, 1.0538% 5/25/34 (f)

5,092

2,622

Series 2004-AR5 Class 11A2, 1.0538% 6/25/34 (f)

11,010

6,121

Series 2004-AR6 Class 9A2, 1.0538% 10/25/34 (f)

50,671

29,792

Series 2004-AR7 Class 6A2, 1.0738% 8/25/34 (f)

13,920

7,610

Series 2004-AR8 Class 8A2, 1.0738% 9/25/34 (f)

8,682

7,360

Series 2007-AR7 Class 2A1, 4.583% 11/25/34 (f)

1,157,695

918,931

Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.4738% 3/25/37 (f)

1,210,000

370,236

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.4031% 9/19/36 (f)

180,900

159,691

First Horizon Mortgage pass-thru Trust floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (f)

18,999

9,764

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 1.2669% 10/18/54 (b)(f)

1,007,000

800,968

Class C2, 1.5769% 10/18/54 (b)(f)

337,000

161,524

Class M2, 1.3569% 10/18/54 (b)(f)

579,000

396,847

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.255% 11/20/56 (b)(f)

863,000

489,373

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.6088% 10/11/41 (b)(f)

1,097,000

504,730

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 0.915% 12/20/54 (b)(f)

2,117,000

127,020

Series 2006-2 Class C1, 0.785% 12/20/54 (f)

1,885,000

131,950

Series 2006-3 Class C2, 0.815% 12/20/54 (f)

396,000

16,434

Series 2006-4:

Class B1, 0.405% 12/20/54 (f)

1,059,000

180,030

Class C1, 0.695% 12/20/54 (f)

647,000

38,820

 

 

Principal Amount

Value

Class M1, 0.485% 12/20/54 (f)

$ 279,000

$ 30,690

Series 2007-1:

Class 1C1, 0.615% 12/20/54 (f)

654,000

45,780

Class 1M1, 0.465% 12/20/54 (f)

425,000

51,000

Class 2C1, 0.745% 12/20/54 (f)

298,000

20,860

Class 2M1, 0.565% 12/20/54 (f)

546,000

76,440

Series 2007-2 Class 2C1, 0.7488% 12/17/54 (f)

757,000

45,420

Granite Mortgages PLC floater Series 2003-3 Class 1C, 3.5569% 1/20/44 (f)

151,584

16,885

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8329% 4/25/35 (f)

1,355,507

923,456

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.5331% 5/19/35 (f)

147,707

66,027

Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.5213% 7/15/40 (b)(f)

215,000

186,878

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.7638% 10/25/34 (f)

52,439

29,657

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 1.0538% 3/25/35 (f)

85,465

23,071

Series 2005-1:

Class M4, 1.0638% 4/25/35 (f)

10,325

688

Class M5, 1.0838% 4/25/35 (f)

8,887

1,010

Series 2005-3 Class A1, 0.5538% 8/25/35 (f)

210,469

100,103

JPMorgan Chase Commercial Mortgage Securities Trust Series 2007-CB18 Class A3, 5.447% 6/12/47 (f)

6,230,000

4,828,639

JPMorgan Mortgage Trust:

Series 2004-A5 Class 2A1, 4.5772% 12/25/34 (f)

992,949

865,826

Series 2006-A2 Class 5A1, 5.1224% 11/25/33 (f)

1,368,821

1,196,340

Series 2007-A1 Class 1A1, 4.1979% 7/25/35 (f)

3,474,011

3,100,372

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.6975% 9/26/45 (b)(f)

158,268

69,034

MASTR Adjustable Rate Mortgages Trust:

floater Series 2005-1 Class 1A1, 0.5838% 3/25/35 (f)

18,122

9,518

Series 2007-3 Class 22A2, 0.5238% 5/25/47 (f)

502,000

147,907

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

MASTR Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34

$ 373,914

$ 283,889

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4838% 2/25/37 (f)

616,573

240,463

Merrill Lynch Floating Trust floater Series 2006-1:

Class C, 0.5094% 6/15/22 (b)(f)

449,000

202,050

Class D, 0.5194% 6/15/22 (b)(f)

173,000

51,900

Class E, 0.5294% 6/15/22 (b)(f)

276,000

69,000

Class F, 0.5594% 6/15/22 (b)(f)

498,000

109,560

Class G, 0.6294% 6/15/22 (b)(f)

103,000

20,600

Class H, 0.6494% 6/15/22 (b)(f)

207,000

31,050

Class J, 0.6894% 6/15/22 (b)(f)

242,000

29,040

Merrill Lynch Mortgage Investors Trust floater:

Series 2003-A Class 2A1, 0.7038% 3/25/28 (f)

72,869

47,297

Series 2003-B Class A1, 0.6538% 4/25/28 (f)

81,010

52,637

Series 2003-D Class A, 0.6238% 8/25/28 (f)

67,248

42,390

Series 2003-E Class A2, 2.0813% 10/25/28 (f)

115,004

75,244

Series 2004-E:

Class A2B, 2.1163% 11/25/29 (f)

187,905

133,453

Class A2D, 2.3063% 11/25/29 (f)

27,281

18,792

Series 2004-G Class A2, 1.4488% 1/25/30 (f)

92,470

57,756

Series 2005-A Class A2, 2.0013% 2/25/30 (f)

85,275

53,456

Series 2005-B Class A2, 1.4% 7/25/30 (f)

265,160

179,539

Merrill Lynch-CFC Commercial Mortgage Trust Series 2006-3 Class ASB, 5.382% 7/12/46 (f)

4,570,000

4,057,193

MortgageIT Trust floater:

Series 2004-2:

Class A1, 0.6838% 12/25/34 (f)

90,494

58,782

Class A2, 0.7638% 12/25/34 (f)

122,677

81,641

Series 2005-2 Class 1A1, 0.5738% 5/25/35 (f)

104,630

60,898

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.6038% 7/25/35 (f)

1,072,443

509,481

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.6138% 3/25/37 (f)

861,000

36,162

Permanent Financing No. 8 PLC floater Class 3C, 1.17% 6/10/42 (f)

723,000

559,506

 

 

Principal Amount

Value

Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.5313% 7/17/42 (f)

$ 189,000

$ 136,080

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.4982% 10/25/35 (f)

1,874,174

1,428,929

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B5, 2.6731% 7/10/35 (b)(f)

457,088

216,248

Series 2003-CB1:

Class B3, 1.7731% 6/10/35 (b)(f)

361,855

189,322

Class B4, 1.9731% 6/10/35 (b)(f)

695,390

345,887

Class B5, 2.5731% 6/10/35 (b)(f)

475,131

236,568

Class B6, 3.0731% 6/10/35 (b)(f)

280,044

137,922

Series 2004-A:

Class B4, 1.5231% 2/10/36 (b)(f)

274,810

102,037

Class B5, 2.0231% 2/10/36 (b)(f)

183,505

63,731

Series 2004-B Class B4, 1.4231% 2/10/36 (b)(f)

119,639

34,899

Series 2004-C:

Class B4, 1.2731% 9/10/36 (b)(f)

156,427

47,632

Class B5, 1.6731% 9/10/36 (b)(f)

174,940

47,461

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.4138% 9/25/46 (f)

509,888

400,553

Residential Asset Mortgage Products, Inc.:

sequential payer:

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

76,774

67,677

Series 2004-SL2 Class A1, 6.5% 10/25/16

119,553

103,645

Series 2005-AR5 Class 1A1, 5.3717% 9/19/35 (f)

87,427

59,662

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7638% 6/25/33 (b)(f)

96,571

63,903

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.4138% 2/25/36 (b)(f)

6,185

6,120

Sequoia Mortgage Trust floater:

Series 2004-1 Class A, 1.8888% 2/20/34 (f)

53,672

33,041

Series 2004-10 Class A4, 1.9806% 11/20/34 (f)

77,684

48,475

Series 2004-12 Class 1A2, 2.1538% 1/20/35 (f)

233,089

138,769

Series 2004-4 Class A, 2.1606% 5/20/34 (f)

284,967

179,500

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-5 Class A3, 1.5925% 6/20/34 (f)

$ 110,104

$ 71,509

Series 2004-6:

Class A3A, 1.4588% 7/20/34 (f)

86,291

56,396

Class A3B, 2.3038% 7/20/34 (f)

16,467

10,140

Series 2004-7:

Class A3A, 1.9138% 8/20/34 (f)

87,613

52,092

Class A3B, 2.1388% 7/20/34 (f)

10,777

6,265

Series 2005-1 Class A2, 1.7513% 2/20/35 (f)

137,063

87,437

Series 2005-2 Class A2, 2.03% 3/20/35 (f)

178,252

104,572

Series 2005-3 Class A1, 0.515% 5/20/35 (f)

87,876

46,674

Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 0.7138% 9/25/33 (b)(f)

30,899

14,566

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5138% 9/25/36 (f)

1,153,000

518,859

WaMu Mortgage pass-thru certificates floater:

Series 2006-AR11 Class C1B1, 0.3938% 9/25/46 (f)

28,739

27,819

Series 2006-AR7 Class C1B1, 0.3738% 7/25/46 (f)

4,549

4,481

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-H Class A1, 4.5263% 6/25/34 (f)

1,253,882

1,113,836

Series 2005-AR10 Class 2A2, 3.986% 6/25/35 (f)

3,798,363

3,369,240

Series 2005-AR12:

Class 2A5, 4.1484% 7/25/35 (f)

3,710,000

2,656,880

Class 2A6, 4.1211% 7/25/35 (f)

4,871,168

4,117,117

Series 2005-AR3 Class 2A1, 4.2799% 3/25/35 (f)

1,053,554

846,788

Series 2005-AR4 Class 2A2, 4.5398% 4/25/35 (f)

2,428,796

2,047,083

TOTAL PRIVATE SPONSOR

58,393,264

U.S. Government Agency - 2.4%

Fannie Mae planned amortization class:

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

2,705,309

2,909,093

 

 

Principal Amount

Value

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

$ 1,894,078

$ 2,036,953

Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 0.5638% 10/25/35 (f)

1,968,597

1,954,192

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

Series 2001-68 Class QZ, 5.5% 12/25/16

2,073,800

2,190,603

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

317,622

339,736

Series 2004-81:

Class KC, 4.5% 4/25/17

10,800,716

11,169,726

Class KD, 4.5% 7/25/18

2,625,000

2,748,805

sequential payer:

Series 2004-3 Class BA, 4% 7/25/17

143,990

147,813

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

681,946

707,291

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

Series 2500 Class TE, 5.5% 9/15/17

8,080,180

8,520,099

Series 2677 Class LD, 4.5% 3/15/17

8,800,218

9,133,198

Series 2695 Class GC, 4.5% 11/15/18

7,215,000

7,503,545

Series 2702 Class WB, 5% 4/15/17

1,870,037

1,935,925

Series 2770 Class UD, 4.5% 5/15/17

7,473,000

7,762,381

Series 2885 Class PC, 4.5% 3/15/18

2,396,718

2,475,062

Series 3033 Class UD, 5.5% 10/15/30

1,910,000

1,992,898

Series 3049 Class DB, 5.5% 6/15/31

4,440,000

4,660,476

sequential payer:

Series 2508 Class CK, 5% 10/15/17

9,065,517

9,535,041

Series 2528 Class HN, 5% 11/15/17

3,195,000

3,357,119

Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 38.2912% 6/16/37 (f)(h)

212,956

289,658

TOTAL U.S. GOVERNMENT AGENCY

81,369,614

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $157,524,545)

139,762,878

Commercial Mortgage Securities - 7.4%

 

Principal Amount

Value

Asset Securitization Corp. Series 1997-D5:

Class A2, 6.8991% 2/14/43 (f)

$ 1,435,000

$ 1,428,087

Class A3, 6.9491% 2/14/43 (f)

1,545,000

1,525,108

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.9107% 5/10/45 (f)

2,100,000

1,934,737

Series 2006-5:

Class A2, 5.317% 9/10/47

8,745,000

8,036,943

Class A3, 5.39% 9/10/47

1,985,000

1,620,948

Series 2007-2 Class A1, 5.421% 4/10/49

1,772,777

1,797,592

Series 2007-3 Class A3, 5.8373% 6/10/49 (f)

6,100,000

4,657,646

Banc of America Commercial Mortgage, Inc.:

sequential payer:

Series 2005-1 Class A3, 4.877% 11/10/42

3,372,516

3,333,720

Series 2007-1 Class A2, 5.381% 1/15/49

1,545,000

1,403,490

Series 2001-3 Class H, 6.562% 4/11/37 (b)

4,889,139

4,368,623

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.7894% 3/15/22 (b)(f)

217,000

97,650

Class G, 0.8494% 3/15/22 (b)(f)

141,000

53,580

Series 2006-BIX1:

Class F, 0.6294% 10/15/19 (b)(f)

558,000

251,100

Class G, 0.6494% 10/15/19 (b)(f)

380,000

152,000

Bayview Commercial Asset Trust:

floater:

Series 2004-1:

Class A, 0.6738% 4/25/34 (b)(f)

647,432

420,831

Class B, 2.2138% 4/25/34 (b)(f)

50,879

13,992

Class M1, 0.8738% 4/25/34 (b)(f)

41,457

21,558

Class M2, 1.5138% 4/25/34 (b)(f)

37,150

15,789

Series 2004-2:

Class A, 0.7438% 8/25/34 (b)(f)

490,567

318,869

Class M1, 0.8938% 8/25/34 (b)(f)

79,229

41,199

Series 2004-3:

Class A1, 0.6838% 1/25/35 (b)(f)

931,335

605,368

 

 

Principal Amount

Value

Class A2, 0.7338% 1/25/35 (b)(f)

$ 121,230

$ 71,526

Class M1, 0.8138% 1/25/35 (b)(f)

124,083

67,625

Class M2, 1.3138% 1/25/35 (b)(f)

80,226

36,102

Series 2005-2A:

Class A1, 0.6238% 8/25/35 (b)(f)

520,702

287,532

Class M1, 0.7438% 8/25/35 (b)(f)

38,608

14,335

Class M2, 0.7938% 8/25/35 (b)(f)

63,500

21,825

Class M3, 0.8138% 8/25/35 (b)(f)

35,052

11,283

Class M4, 0.9238% 8/25/35 (b)(f)

32,512

9,984

Series 2005-3A:

Class A1, 0.6338% 11/25/35 (b)(f)

287,149

163,072

Class A2, 0.7138% 11/25/35 (b)(f)

186,064

95,823

Series 2005-4A:

Class A2, 0.7038% 1/25/36 (b)(f)

1,035,463

517,732

Class M1, 0.7638% 1/25/36 (b)(f)

216,655

97,495

Class M2, 0.7838% 1/25/36 (b)(f)

65,359

27,778

Class M3, 0.8138% 1/25/36 (b)(f)

95,013

38,005

Series 2006-1 Class A2, 0.6738% 4/25/36 (b)(f)

101,058

50,135

Series 2006-2A:

Class A1, 0.5438% 7/25/36 (b)(f)

1,020,103

576,562

Class A2, 0.5938% 7/25/36 (b)(f)

92,079

46,813

Class M1, 0.6238% 7/25/36 (b)(f)

96,683

36,324

Class M2, 0.6438% 7/25/36 (b)(f)

68,402

24,324

Class M6, 0.8538% 7/25/36 (b)(f)

69,717

20,539

Series 2006-3A:

Class M5, 0.7938% 10/25/36 (b)(f)

80,670

26,218

Class M6, 0.8738% 10/25/36 (b)(f)

157,534

47,260

Series 2006-4A:

Class A1, 0.5438% 12/25/36 (b)(f)

579,866

325,015

Class A2, 0.5838% 12/25/36 (b)(f)

1,292,337

539,938

Class M1, 0.6038% 12/25/36 (b)(f)

93,648

29,808

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

Series 2007-1:

Class A2, 0.5838% 3/25/37 (b)(f)

$ 245,568

$ 122,784

Class B3, 3.6638% 3/25/37 (b)(f)

156,629

29,446

Series 2007-2A:

Class A1, 0.5838% 7/25/37 (b)(f)

217,478

125,485

Class A2, 0.6338% 7/25/37 (b)(f)

203,560

111,958

Class B1, 1.9138% 7/25/37 (b)(f)

191,381

50,716

Class B2, 2.5638% 7/25/37 (b)(f)

165,284

33,057

Class B3, 3.6638% 7/25/37 (b)(f)

187,031

35,536

Class M2, 0.7238% 7/25/37 (b)(f)

113,089

52,586

Class M3, 0.8038% 7/25/37 (b)(f)

113,089

49,759

Class M4, 0.9638% 7/25/37 (b)(f)

239,226

87,318

Class M5, 1.0638% 7/25/37 (b)(f)

213,129

67,136

Class M6, 1.3138% 7/25/37 (b)(f)

265,324

83,577

Series 2007-3:

Class A2, 0.6038% 7/25/37 (b)(f)

358,033

144,216

Class B1, 1.2638% 7/25/37 (b)(f)

165,478

38,225

Class B2, 1.9138% 7/25/37 (b)(f)

578,419

115,453

Class B3, 4.3138% 7/25/37 (b)(f)

221,890

37,322

Class M1, 0.6238% 7/25/37 (b)(f)

146,673

46,187

Class M2, 0.6538% 7/25/37 (b)(f)

154,195

44,624

Class M3, 0.6838% 7/25/37 (b)(f)

336,973

91,488

Class M4, 0.8138% 7/25/37 (b)(f)

532,537

142,880

Class M5, 0.9138% 7/25/37 (b)(f)

199,325

48,297

Class M6, 1.1138% 7/25/37 (b)(f)

150,434

37,217

Series 2007-4A:

Class B1, 2.8638% 9/25/37 (b)(f)

260,265

69,413

Class B2, 3.7638% 9/25/37 (b)(f)

1,271,706

313,603

Class M4, 1.9138% 9/25/37 (b)(f)

838,231

272,425

 

 

Principal Amount

Value

Class M5, 2.0638% 9/25/37 (b)(f)

$ 838,231

$ 251,469

Class M6, 2.2638% 9/25/37 (b)(f)

838,231

230,514

Series 2004-1 Class IO, 1.25% 4/25/34 (b)(g)

1,925,053

24,641

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.7594% 3/15/19 (b)(f)

284,000

203,610

Class H, 0.9694% 3/15/19 (b)(f)

191,000

70,694

Class J, 1.1694% 3/15/19 (b)(f)

143,000

32,484

Series 2007-BBA8:

Class D, 0.5694% 3/15/22 (b)(f)

147,000

73,221

Class E, 0.6194% 3/15/22 (b)(f)

763,000

355,053

Class F, 0.6694% 3/15/22 (b)(f)

468,000

200,822

Class G, 0.7194% 3/15/22 (b)(f)

120,000

46,839

Class H, 0.8694% 3/15/22 (b)(f)

147,000

52,920

Class J, 1.0194% 3/15/22 (b)(f)

147,000

41,160

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

2,010,000

1,687,853

Series 2007-PW15 Class A1, 5.016% 2/11/44

1,604,914

1,606,490

Series 2007-PW16:

Class B, 5.713% 6/11/40 (b)

1,405,000

322,767

Class C, 5.713% 6/11/40 (b)

1,170,000

245,428

Class D, 5.713% 6/11/40 (b)

1,170,000

233,747

C-BASS Trust floater Series 2006-SC1 Class A, 0.5838% 5/25/36 (b)(f)

369,923

161,205

Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.275% 2/12/16 (b)(f)

1,345,000

1,343,958

Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust sequential payer Series 1999-1 Class A2, 7.439% 8/15/31

1,016,065

1,014,189

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.6494% 11/15/36 (b)(f)

156,000

39,000

Class H, 0.6894% 11/15/36 (b)(f)

125,000

28,750

sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49

3,810,000

3,047,243

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Citigroup Commercial Mortgage Trust: - continued

Series 2007-C6 Class A1, 5.622% 12/10/49 (f)

$ 5,582,655

$ 5,666,705

Series 2007-FL3A Class A2, 0.4594% 4/15/22 (b)(f)

2,595,000

1,167,750

Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2007-CD4 Class A3, 5.293% 12/11/49

6,065,000

4,852,348

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class D, 0.6294% 4/15/17 (b)(f)

335,000

172,187

Class E, 0.6894% 4/15/17 (b)(f)

107,000

50,547

Class F, 0.7294% 4/15/17 (b)(f)

60,000

26,550

Class G, 0.8694% 4/15/17 (b)(f)

60,000

24,675

Class H, 0.9394% 4/15/17 (b)(f)

60,000

24,600

Class J, 1.1694% 4/15/17 (b)(f)

46,000

18,400

Series 2005-FL11:

Class F, 0.7694% 11/15/17 (b)(f)

135,423

58,280

Class G, 0.8194% 11/15/17 (b)(f)

93,490

38,132

sequential payer Series 2006-CN2A Class A2FX, 5.449% 2/5/19

2,745,000

2,560,869

Series 2004-LBN2 Class X2, 1.025% 3/10/39 (b)(f)(g)

5,384,201

68,112

Credit Suisse Commercial Mortgage Trust:

sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (f)

3,885,000

3,580,871

Series 2006-C4 Class AAB, 5.439% 9/15/39

5,350,000

4,821,417

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

2,750,000

1,888,312

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

Series 1999-C1 Class A2, 7.29% 9/15/41

794,245

795,389

Series 2000-C1 Class A2, 7.545% 4/15/62

854,757

873,444

Series 2004-C1:

Class A3, 4.321% 1/15/37

1,575,928

1,539,307

Class A4, 4.75% 1/15/37

3,035,000

2,714,514

Series 1997-C2 Class D, 7.27% 1/17/35

472,533

478,705

Series 1998-C1 Class D, 7.17% 5/17/40

517,725

513,652

 

 

Principal Amount

Value

Series 2001-CKN5 Class AX, 2.0787% 9/15/34 (b)(f)(g)

$ 25,126,182

$ 810,910

Series 2002-CP3 Class G, 6.639% 7/15/35 (b)

250,000

154,693

Series 2004-C1 Class ASP, 0.953% 1/15/37 (b)(f)(g)

21,955,319

328,287

Series 2006-C1 Class A3, 5.551% 2/15/39 (f)

3,895,000

3,349,862

Credit Suisse Mortgage Capital Certificates:

floater:

Series 200-TFL1 Class B, 0.4694% 2/15/22 (b)(f)

3,470,000

1,388,000

Series 2007-TFL1:

Class C:

0.4894% 2/15/22 (b)(f)

657,000

216,810

0.5894% 2/15/22 (b)(f)

234,000

63,180

Class F, 0.6394% 2/15/22 (b)(f)

469,000

117,250

sequential payer Series 2007-C1 Class A1, 5.227% 2/15/40

986,010

992,860

DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33

3,039,567

3,117,912

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

3,720,000

2,569,789

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.5088% 11/5/21 (b)(f)

3,490,000

1,464,914

sequential payer:

Series 2004-GG1 Class A4, 4.755% 6/10/36

1,680,000

1,686,758

Series 2007-GG11 Class A2, 5.597% 12/10/49

13,805,000

12,492,608

Series 2007-GG9 Class A1, 5.233% 3/10/39

1,511,943

1,523,754

Series 2006-GG7 Class A3, 5.9165% 7/10/38 (f)

3,460,000

2,992,633

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.5575% 6/6/20 (b)(f)

405,000

291,600

Class D, 0.5975% 6/6/20 (b)(f)

1,115,000

579,800

Class E, 0.6875% 6/6/20 (b)(f)

2,220,000

1,110,000

Class F, 0.7575% 6/6/20 (b)(f)

294,000

132,300

Series 2007-EOP:

Class C, 0.6375% 3/6/20 (b)(f)

1,335,000

1,014,600

Commercial Mortgage Securities - continued

 

Principal Amount

Value

GS Mortgage Securities Corp. II: - continued

floater:

Series 2007-EOP:

Class D, 0.6875% 3/6/20 (b)(f)

$ 400,000

$ 300,000

Class E, 0.7575% 3/6/20 (b)(f)

670,000

495,800

Class F, 0.7975% 3/6/20 (b)(f)

335,000

244,550

Class G, 0.8375% 3/6/20 (b)(f)

165,000

118,800

Class H, 0.9675% 3/6/20 (b)(f)

275,000

189,750

Class J, 1.1675% 3/6/20 (b)(f)

395,000

268,600

sequential payer Series 2004-GG2 Class A4, 4.964% 8/10/38

2,725,000

2,545,176

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

3,030,000

2,934,677

GS Mortgage Securities Trust sequential payer Series 2007-GG10:

Class A1, 5.69% 8/10/45

1,890,189

1,907,121

Class A2, 5.778% 8/10/45

5,055,000

4,689,474

Class A4, 5.9932% 8/10/45 (f)

1,985,000

1,500,006

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class E, 0.5994% 11/15/18 (b)(f)

115,096

49,491

Class F, 0.6494% 11/15/18 (b)(f)

172,644

72,510

Class G, 0.6794% 11/15/18 (b)(f)

150,409

60,164

Class H, 0.8194% 11/15/18 (b)(f)

115,096

40,284

sequential payer:

Series 2006-CB14 Class A3B, 5.4854% 12/12/44 (f)

4,625,000

3,800,135

Series 2006-CB15 Class A3, 5.819% 6/12/43 (f)

5,840,000

4,930,154

Series 2006-CB17 Class A4, 5.429% 12/12/43

3,733,000

3,017,866

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

5,105,000

4,224,874

Series 2007-LDP10 Class A1, 5.122% 1/15/49

943,054

947,988

Series 2007-LDPX Class A3, 5.412% 1/15/49

3,796,000

2,794,196

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

4,115,000

3,652,051

Series 2007-CB19:

Class B, 5.7442% 2/12/49

755,000

173,445

Class C, 5.7462% 2/12/49

1,971,000

413,449

Class D, 5.7462% 2/12/49

2,075,000

414,553

 

 

Principal Amount

Value

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (f)

$ 1,725,000

$ 362,109

Class CS, 5.466% 1/15/49 (f)

745,000

148,942

Class ES, 5.5455% 1/15/49 (b)(f)

4,663,000

559,401

LB Commercial Conduit Mortgage Trust Series 2007-C3:

Class F, 5.9388% 7/15/44 (f)

1,815,000

183,006

Class G, 6.1497% 7/15/44 (b)(f)

3,200,000

299,828

LB-UBS Commercial Mortgage Trust:

sequential payer:

Series 2000-C3 Class A2, 7.95% 1/15/10

1,856,402

1,886,590

Series 2001-C3 Class A1, 6.058% 6/15/20

577,558

584,832

Series 2005-C3 Class A2, 4.553% 7/15/30

1,552,295

1,537,918

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

1,495,000

1,448,929

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

3,340,000

3,194,300

Series 2006-C7 Class A1, 5.279% 11/15/38

624,672

633,302

Series 2007-C1:

Class A1, 5.391% 2/15/40 (f)

823,443

831,958

Class A3, 5.398% 2/15/40

5,000,000

4,067,007

Class A4, 5.424% 2/15/40

7,630,000

5,546,087

Series 2001-C3 Class B, 6.512% 6/15/36

1,810,000

1,777,305

Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A:

Class B, 4.13% 11/20/37 (b)

3,860,000

3,088,000

Class C, 4.13% 11/20/37 (b)

3,760,000

2,444,000

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

Class F, 0.6594% 9/15/21 (b)(f)

402,971

110,817

Class G, 0.6794% 9/15/21 (b)(f)

795,609

198,902

Class H, 0.7194% 9/15/21 (b)(f)

204,773

46,074

Merrill Lynch Mortgage Trust:

sequential payer:

Series 2004-KEY2 Class A2, 4.166% 8/12/39

285,107

282,142

Series 2005-MCP1 Class A2, 4.556% 6/12/43

2,138,340

2,067,472

Series 2007-C1 Class A4, 5.8287% 6/12/50 (f)

3,796,000

2,723,638

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-5:

Class A1, 4.275% 12/12/11

701,592

698,428

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Merrill Lynch-CFC Commercial Mortgage Trust: - continued

sequential payer:

Series 2007-5:

Class A3, 5.364% 8/12/48

$ 4,298,000

$ 3,321,324

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

5,500,000

3,793,558

Series 2007-7 Class B, 5.75% 6/12/50

770,000

171,841

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.545% 7/15/19 (b)(f)

261,000

26,100

Series 2007-XCLA Class A1, 0.545% 7/17/17 (b)(f)

957,841

478,921

Series 2007-XLCA Class B, 0.8194% 7/17/17 (b)(f)

548,938

27,447

Series 2007-XLFA:

Class D, 0.535% 10/15/20 (b)(f)

235,000

58,750

Class E, 0.595% 10/15/20 (b)(f)

294,000

58,800

Class F, 0.645% 10/15/20 (b)(f)

176,000

31,680

Class G, 0.685% 10/15/20 (b)(f)

218,000

32,700

Class H, 0.775% 10/15/20 (b)(f)

137,000

13,700

Class J, 0.925% 10/15/20 (b)(f)

157,000

12,560

Class NHRO, 1.235% 10/15/20 (b)(f)

93,109

8,380

sequential payer:

Series 2004-HQ3 Class A2, 4.05% 1/13/41

1,273,445

1,288,453

Series 2006-HQ10 Class A1, 5.131% 11/12/41

3,001,488

3,027,605

Series 2006-T23 Class A1, 5.682% 8/12/41

902,989

921,256

Series 2007-HQ11 Class A31, 5.439% 2/12/44 (f)

4,785,000

4,021,124

Series 2007-IQ13 Class A1, 5.05% 3/15/44

1,413,098

1,415,893

Series 2007-IQ14 Class A1, 5.38% 4/15/49

3,197,964

3,240,041

Series 2007-T25 Class A2, 5.507% 11/12/49

10,320,000

9,556,059

Series 2005-IQ9 Class X2, 1.1692% 7/15/56 (b)(f)(g)

22,431,042

471,864

Series 2007-HQ12 Class A2, 5.6319% 4/12/49 (f)

4,920,000

4,584,953

Series 2007-IQ14 Class B, 5.914% 4/15/49

2,175,000

353,177

Series 2007-XLC1:

Class C, 0.9194% 7/17/17 (b)(f)

749,610

37,480

Class D, 1.0194% 7/17/17 (b)(f)

352,629

17,631

 

 

Principal Amount

Value

Class E, 1.1194% 7/17/17 (b)(f)

$ 286,466

$ 14,323

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

2,675,752

2,541,964

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.795% 3/24/18 (b)(f)

39,486

35,537

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.5194% 1/15/18 (b)(f)

449,000

269,400

Series 2006-WL7A:

Class E, 0.5994% 9/15/21 (b)(f)

491,000

147,300

Class F, 0.6844% 8/11/18 (b)(f)

661,000

132,200

Class G, 0.7044% 8/11/18 (b)(f)

626,000

93,900

Class J, 0.9444% 8/11/18 (b)(f)

139,000

13,900

Series 2007-WHL8:

Class AP2, 1.1194% 6/15/20 (b)(f)

53,945

8,092

Class F, 0.7994% 6/15/20 (b)(f)

1,046,000

209,200

Class LXR2, 1.1194% 6/15/20 (b)(f)

713,442

71,344

sequential payer:

Series 2003-C6 Class A2, 4.498% 8/15/35

1,494,207

1,479,222

Series 2003-C7 Class A1, 4.241% 10/15/35 (b)

828,397

816,816

Series 2007-C30:

Class A3, 5.246% 12/15/43

5,940,000

5,176,471

Class A4, 5.305% 12/15/43

3,240,000

2,390,697

Class A5, 5.342% 12/15/43

3,796,000

2,496,320

Series 2007-C31 Class A1, 5.14% 4/15/47

763,132

769,925

Series 2007-C32 Class A2, 5.7356% 6/15/49 (f)

1,255,000

1,120,880

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

3,010,000

2,366,826

Series 2007-C30 Class E, 5.553% 12/15/43 (f)

6,257,000

563,130

Series 2007-C31 Class C, 5.6906% 4/15/47 (f)

2,455,000

306,875

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $328,264,865)

249,681,654

Municipal Securities - 0.2%

 

California Gen. Oblig.:

7.5% 4/1/34

2,400,000

2,194,488

Municipal Securities - continued

 

Principal Amount

Value

California Gen. Oblig.: - continued

7.55% 4/1/39

$ 3,600,000

$ 3,277,404

New York Metropolitan Trans. Auth. Dedicated Tax Fund Rev. Series 2009 C, 7.336% 11/15/39

1,553,000

1,830,381

TOTAL MUNICIPAL SECURITIES

(Cost $7,619,850)

7,302,273

Foreign Government and Government Agency Obligations - 0.0%

 

United Mexican States 5.875% 1/15/14
(Cost $1,643,514)

1,665,000

1,752,413

Supranational Obligations - 0.0%

 

Corporacion Andina de Fomento 5.2% 5/21/13
(Cost $348,544)

350,000

351,586

Preferred Securities - 0.1%

 

 

 

 

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (f)
(Cost $2,820,000)

2,820,000

2,545,776

Cash Equivalents - 4.4%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.01%, dated 6/30/09 due 7/1/09 (Collateralized by U.S. Treasury Obligations) #
(Cost $148,112,000)

$ 148,112,047

148,112,000

TOTAL INVESTMENT PORTFOLIO - 106.2%

(Cost $3,690,982,963)

3,583,580,412

NET OTHER ASSETS - (6.2)%

(210,774,865)

NET ASSETS - 100%

$ 3,372,805,547

Swap Agreements

 

Expiration Date

Notional Amount

Value

Credit Default Swaps

Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.102% 11/25/34 (Rating-C) (d)

Dec. 2034

$ 245,904

$ (231,220)

Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (d)

Oct. 2034

439,482

(424,829)

Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 (Rating-C) (d)

Dec. 2034

427,179

(401,671)

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 (Rating-C) (d)

Oct. 2034

439,482

(424,651)

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-HE7, Class B3, 9.01% 8/25/34 (Rating-C) (d)

Sept. 2034

$ 135,917

$ (127,420)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $360,000)

Sept. 2037

3,000,000

(2,940,000)

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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $598,000)

Sept. 2037

2,600,000

(2,548,000)

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 ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $348,750)

Sept. 2037

1,500,000

(1,470,000)

 

 

Expiration Date

Notional Amount

Value

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $701,375)

Sept. 2037

$ 3,100,000

$ (3,038,000)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $572,000)

Sept. 2037

4,400,000

(4,312,000)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $214,000)

Sept. 2037

1,600,000

(1,568,000)

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 ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (e) (Upfront Payment $1,023,500)

Sept. 2037

4,600,000

(4,508,000)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by .82% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 (Rating-Baa2) (d)

August 2034

$ 106,807

$ (79,040)

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 (Rating-A3) (d)

Oct. 2034

131,573

(97,200)

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 (Rating-Baa3) (d)

March 2034

92,633

(9,486)

Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 (Rating-C) (d)

Feb. 2034

4,841

(4,548)

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 (Rating-Ba1) (d)

April 2032

40,946

(32,509)

 

 

Expiration Date

Notional Amount

Value

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 (Rating-C) (d)

June 2035

$ 600,000

$ (566,088)

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 (Rating-A3) (d)

Sept. 2010

1,900,000

(31,496)

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 (Rating-Baa1) (d)

May 2011

4,290,000

(77,722)

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 (Rating-Baa1) (d)

May 2011

2,260,000

(40,308)

TOTAL CREDIT DEFAULT SWAPS

$ 31,914,764

$ (22,932,188)

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

299,830

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Interest Rate Swaps - continued

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

$ 323,349

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

1,052,174

Receive 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

2,996,635

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

1,600,483

Receive semi-annually a fixed rate equal to 4.49% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront Payment $(49,519)

Sept. 2010

1,500,000

81,336

Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront Payment $(43,437)

Nov. 2010

1,000,000

56,833

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

1,810,250

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

4,070,834

 

 

Expiration Date

Notional Amount

Value

Receive semi-annually a fixed rate equal to 5.31% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. (Upfront Payment $(6,013,670)

April 2011

$ 105,000,000

$ 8,239,718

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

2,496,815

TOTAL INTEREST RATE SWAPS

$ 373,753,000

$ 23,028,257

 

 

$ 405,667,764

$ 96,069

Legend

(a) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $203,702,426 or 6.0% of net assets.

(c) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $18,222,514 or 0.6% of net assets.

(d) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(e) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(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.

(h) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

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

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

(k) Security or a position of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $13,471,184.

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

Repurchase Agreement / Counterparty

Value

$148,112,000 due 7/01/09 at 0.01%

Barclays Capital, Inc.

$ 19,828,185

Deutsche Bank Securities, Inc.

17,582,046

ING Financial Markets LLC

6,511,869

J.P. Morgan Securities, Inc.

91,166,162

Mizuho Securities USA, Inc.

6,511,869

Morgan Stanley & Co., Inc.

6,511,869

 

$ 148,112,000

Other Information

The following is a summary of the inputs used, as of June 30, 2009, involving the Fund's assets and liabilities 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 tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Asset-Backed Securities

$ 110,594,086

$ -

$ 96,733,586

$ 13,860,500

Cash Equivalents

148,112,000

-

148,112,000

-

Collateralized Mortgage Obligations

139,762,878

-

137,925,333

1,837,545

Commercial Mortgage Securities

249,681,654

-

235,218,220

14,463,434

Corporate Bonds

1,071,712,510

-

1,071,712,510

-

Foreign Government and Government Agency Obligations

1,752,413

-

1,752,413

-

Municipal Securities

7,302,273

-

7,302,273

-

Preferred Securities

2,545,776

-

2,545,776

-

Supranational Obligations

351,586

-

351,586

-

U.S. Government Agency - Mortgage Securities

1,103,926,066

-

1,103,926,066

-

U.S. Government and Government Agency Obligations

747,839,170

-

747,839,170

-

Total Investments in Securities:

$ 3,583,580,412

$ -

$ 3,553,418,933

$ 30,161,479

Derivative Instruments:

Assets

Swap Agreements

$ 23,028,257

$ -

$ 23,028,257

$ -

Liabilities

Swap Agreements

$ (22,932,188)

$ -

$ (20,612,566)

$ (2,319,622)

Total Derivative Instruments:

$ 96,069

$ -

$ 2,415,691

$ (2,319,622)

Other Financial Instruments

Forward Commitments

$ 62,890

$ -

$ 62,890

$ -

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

Investments in Securities

 

Beginning Balance

$ 17,936,265

Total Realized Gain (Loss)

160,570

Total Unrealized Gain (Loss)

(5,568,803)

Cost of Purchases

8,818

Proceeds of Sales

(2,159,810)

Amortization/Accretion

128,721

Transfer in/out of Level 3

19,655,718

Ending Balance

$ 30,161,479

Total unrealized gain (loss) on investments held at June 30, 2009

$ (5,158,537)

Derivative Instruments:

Swap Agreements

 

Beginning Balance

$ (10,202,880)

Total Unrealized Gain (Loss)

8,369,047

Transfer in/out of Level 3

(485,789)

Ending Balance

$ (2,319,622)

Realized Gain (Loss) on swap agreements for the period

(8,686,239)

Total unrealized gain (loss) on derivative instruments held at June 30, 2009

$ 209,181

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities 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.

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of June 30, 2009. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
Derivative Type

Value

 

Asset

Liability

Credit Risk

Swap Agreements (a)

$ -

$ (22,932,188)

Interest Rate Risk

Swap Agreements (a)

23,028,257

-

Total Value of Derivatives

$ 23,028,257

$ (22,932,188)

(a) Value is disclosed on the Statement of Assets and Liabilities under the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items.

Income Tax Information

At December 31, 2008, the fund had a capital loss carryforward of approximately $16,442,077 all of which will expire on December 31, 2016.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

 

June 30, 2009

 

 

 

Assets

Investment in securities, at value (including repurchase agreements of $148,112,000) - See accompanying schedule:

Unaffiliated issuers (cost $3,690,982,963)

 

$ 3,583,580,412

Commitment to sell securities on a delayed delivery basis

$ (99,655,938)

Receivable for securities sold on a delayed delivery basis

99,718,828

62,890

Receivable for investments sold, regular delivery

64,398,909

Cash

1,615,040

Receivable for swap agreements

8,828

Interest receivable

26,212,842

Unrealized appreciation on swap agreements

23,028,257

Total assets

3,698,907,178

 

 

 

Liabilities

Payable for investments purchased
Regular delivery

$ 18,485,800

Delayed delivery

284,664,645

Unrealized depreciation on swap agreements

22,932,188

Other payables and accrued expenses

18,998

Total liabilities

326,101,631

 

 

 

Net Assets

$ 3,372,805,547

Net Assets consist of:

 

Paid in capital

$ 3,499,738,972

Undistributed net investment income

2,096,723

Accumulated undistributed net realized gain (loss) on investments

(20,335,555)

Net unrealized appreciation (depreciation) on investments

(108,694,593)

Net Assets, for 33,728,011 shares outstanding

$ 3,372,805,547

Net Asset Value, offering price and redemption price per share ($3,372,805,547 ÷ 33,728,011 shares)

$ 100.00

Statement of Operations

 

Six months ended June 30, 2009

 

 

 

Investment Income

 

 

Dividends

 

$ 111,690

Interest

 

78,720,189

Total income

 

78,831,879

 

 

 

Expenses

Custodian fees and expenses

$ 57,755

Independent trustees' compensation

5,536

Total expenses before reductions

63,291

Expense reductions

(5,719)

57,572

Net investment income

78,774,307

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

2,656,676

Swap agreements

(4,795,091)

 

Total net realized gain (loss)

 

(2,138,415)

Change in net unrealized appreciation (depreciation) on:

Investment securities

172,979,017

Swap agreements

3,044,916

Delayed delivery commitments

63,746

 

Total change in net unrealized appreciation (depreciation)

 

176,087,679

Net gain (loss)

173,949,264

Net increase (decrease) in net assets resulting from operations

$ 252,723,571

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

Semiannual Report

Statement of Changes in Net Assets

 

Six months ended June 30,
2009

Year ended
December 31, 2008

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income

$ 78,774,307

$ 189,917,346

Net realized gain (loss)

(2,138,415)

(18,055,948)

Change in net unrealized appreciation (depreciation)

176,087,679

(262,164,666)

Net increase (decrease) in net assets resulting from operations

252,723,571

(90,303,268)

Distributions to shareholders from net investment income

(79,693,060)

(186,208,380)

Distributions to shareholders from net realized gain

-

(7,723,403)

Total distributions

(79,693,060)

(193,931,783)

Share transactions
Proceeds from sales of shares

82,082,468

327,717,478

Reinvestment of distributions

79,693,060

193,931,783

Cost of shares redeemed

(124,861,289)

(662,360,879)

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

36,914,239

(140,711,618)

Total increase (decrease) in net assets

209,944,750

(424,946,669)

 

 

 

Net Assets

Beginning of period

3,162,860,797

3,587,807,466

End of period (including undistributed net investment income of $2,096,723 and undistributed net investment income of $3,015,476, respectively)

$ 3,372,805,547

$ 3,162,860,797

Other Information

Shares

Sold

841,601

3,214,522

Issued in reinvestment of distributions

824,145

1,962,900

Redeemed

(1,307,379)

(6,809,276)

Net increase (decrease)

358,367

(1,631,854)

Financial Highlights

 

Six months ended
June 30,
Years ended December 31,
 
2009
2008
2007
2006 H

Selected Per-Share Data

 

 

 

 

Net asset value, beginning of period

$ 94.78

$ 102.50

$ 103.02

$ 100.00

Income from Investment Operations

 

 

 

 

Net investment income D

  2.393

5.319

5.534

2.814

Net realized and unrealized gain (loss)

  5.249

(7.583)

(.594)

3.132

Total from investment operations

  7.642

(2.264)

4.940

5.946

Distributions from net investment income

  (2.422)

(5.236)

(5.385)

(2.826)

Distributions from net realized gain

  -

(.220)

(.075)

(.100)

Total distributions

  (2.422)

(5.456)

(5.460)

(2.926)

Net asset value, end of period

$ 100.00

$ 94.78

$ 102.50

$ 103.02

Total Return B, C

  8.18%

(2.29)%

4.94%

5.95%

Ratios to Average Net Assets E, I

 

 

 

 

Expenses before reductions

  -% A, G

-% G

-% G

-% A, G

Expenses net of fee waivers, if any

  -% A, G

-% G

-% G

-% A, G

Expenses net of all reductions

  -% A, G

-% G

-% G

-% A, G

Net investment income

  5.01% A

5.35%

5.42%

5.23% A

Supplemental Data

 

 

 

 

Net assets, end of period (000 omitted)

$ 3,372,806

$ 3,162,861

$ 3,587,807

$ 2,794,948

Portfolio turnover rate F

  123% A

140%

137%

99% A

A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower 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, 2009

1. Organization.

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

2. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Events or transactions occurring after period end through the date that the financial statements were issued, August 26, 2009, have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. Generally Accepted Accounting Principles (GAAP) establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are classified into three levels. Level 1 includes readily available unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes observable inputs other than quoted prices included in Level 1 that are observable either directly or indirectly. Level 3 includes unobservable inputs when market prices are not readily available or reliable. 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, 2009, for the Fund's investments, as well as a reconciliation of assets and liabilities for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments. Valuation techniques of the Fund's major categories of assets and liabilities as presented in the Schedule of Investments are as follows.

Debt securities, including restricted securities, are valued based on quotations received from dealers who make markets in such securities or by independent pricing services. For corporate bonds, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, and U.S. government and government agency obligations pricing services generally utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. For asset-backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities, pricing services generally utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and types as well as dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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. The adjustments to principal due to inflation are reflected as increases or decreases to 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

Semiannual Report

Notes to Financial Statements - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years.

Dividends are declared 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 swap agreements, market discount, financing transactions, capital loss carryforwards and losses deferred due to wash sales.

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

Unrealized appreciation

$ 84,981,735

 

Unrealized depreciation

(187,239,547)

 

Net unrealized appreciation (depreciation)

$ (102,257,812)

 

Cost for federal income tax purposes

$ 3,685,838,224

 

3. Operating Policies.

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

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.

4. Investments in Derivative Instruments.

Objectives and Strategies for Investing in Derivative Instruments. The Fund uses derivative instruments ("derivatives"), including swap agreements, in order to meet its investment objectives. The Fund's strategy is to use derivatives as a risk management tool and as an additional way to gain exposure to certain types of assets. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

While utilizing derivatives in pursuit of its investment objectives, the Fund is exposed to certain financial risks relative to those derivatives. These risks are further explained below:

Semiannual Report

4. Investments in Derivative Instruments - continued

Objectives and Strategies for Investing in Derivative Instruments - continued

Credit Risk

Credit risk is the risk that the value of financial instruments will fluctuate as a result of changes in the credit quality of those instruments. Credit risk also includes the risk that the counterparty to a financial instrument will default or be unable to make further principal or interest payments on an obligation or commitment that it has entered into with the Fund.

Interest Rate Risk

Interest rate risk is the risk that the value of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates.

The following notes provide more detailed information about each derivative type held by the Fund:

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gains or losses ratably over the term of the swap in the Fund's accompanying Statement of Operations. Risks of loss may exceed amounts recognized on the Fund's Statement of Asset and Liabilities. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." The total notional amount of all open swap agreements at period end is indicative of the volume of this derivative type. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and, if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Risks of loss may include interest rate risk and the possible inability of the counterparty to fulfill its obligations under the agreement. The Fund's maximum risk of loss from counterparty credit risk is the discounted net value of cash flows to be received from/paid to the counterparty over the contract's remaining life, to the extent that amount is positive. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. Under the terms of a credit default swap the buyer of protection receives credit protection in exchange for making periodic payments to the seller of protection based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller of protection acts as a guarantor of the credit worthiness of a reference obligation. Periodic payments are made over the life of the contract provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay, obligation acceleration or repudiation/moratorium. If a credit event were to occur during the term of the contract, the contract is typically settled in a market auction where the difference between the value of the reference obligation received and the notional amount of the swap is recorded as a realized loss by the seller of protection. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller of protection is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. If a credit event were to occur during the term of the contract, upon notification of the buyer of protection, the seller of protection is obligated to take delivery from the buyer of protection the notional amount of a reference obligation, at par. The difference between the value of the reference obligation received and the notional amount paid is recorded as a realized loss by the seller of protection. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller of protection.

Risks of loss includes credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $31,914,764 representing 0.95% of

Semiannual Report

Notes to Financial Statements - continued

4. Investments in Derivative Instruments - continued

Swap Agreements - continued

net assets. Credit default swaps are considered to have credit-risk contingent features since they require payment by the seller of protection to the buyer of protection upon the occurrence of a defined credit event. The total value of credit default swaps in a net liability position as of period end was $(22,932,188). The value of assets posted as collateral, net of assets received as collateral, for these swaps was $13,471,184. If a defined credit event had occurred as of period end, the swaps' credit-risk-related contingent features would have been triggered and the Fund would have been required to pay $9,461,004 in addition to the collateral to settle these swaps.

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

Realized and Change in Unrealized Gain (Loss) on Derivative Instruments. A summary of the Fund's value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Fund's Schedule of Investments. The table below reflects the Fund's realized gain (loss) and change in unrealized gain (loss) for derivatives during the period.

Risk Exposure / Derivative Type

Realized Gain (Loss)

Change in Unrealized
Gain (Loss)

Credit Risk

 

 

Swap Agreements

$ (8,528,120)

$ 8,004,296

Interest Rate Risk

 

 

Swap Agreements

3,733,029

(4,959,380)

Total Derivatives Realized and Change in Unrealized Gain (Loss) (a)(b)

$ (4,795,091)

$ 3,044,916

(a) Total derivatives realized gain (loss) included in the Statement of Operations is comprised of $(4,795,091) for swap agreements.

(b) Total derivatives change in unrealized gain (loss) included in the Statement of Operations is comprised of $3,044,916 for swap agreements.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $234,166,382 and $254,878,679, respectively.

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 $5,536.

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 expense by $183.

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.

Semiannual Report

8. Other - continued

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

14.8%

VIP Asset Manager: Growth Portfolio

0.9%

VIP Balanced Portfolio

9.8%

VIP Investment Grade Bond Portfolio

74.5%

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, 2009, 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, 2009 and for the year ended December 31, 2008, and the financial highlights for the six months ended June 30, 2009, for each of the two years in the year ended December 31, 2008 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, 2009, 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, 2009, the results of its operations for the six months then ended, the changes in its net assets for the six months ended June 30, 2009 and for the year ended December 31, 2008, and the financial highlights for the six months ended June 30, 2009, for each of the two years in the year ended December 31, 2008 and for the period from June 23, 2006 (commencement of operations) to December 31, 2006, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

August 26, 2009

Semiannual Report

Proxy Voting Results

A special meeting of the fund's shareholders was held on July 15, 2009. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.

PROPOSAL 1

To elect a Board of Trustees.A

 

# of
Votes

% of
Votes

James C. Curvey

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

Albert R. Gamper, Jr.

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

Abigail P. Johnson

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

Arthur E. Johnson

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

Michael E. Kenneally

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

James H. Keyes

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

Marie L. Knowles

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

Kenneth L. Wolfe

Affirmative

3,683,293,854.88

100.000

Withheld

0.00

0.000

TOTAL

3,683,293,854.88

100.000

PROPOSAL 2

To amend the Declaration of Trust to reduce the required quorum for future shareholder meetings.A

 

# of
Votes

% of
Votes

Affirmative

3,683,293,854.88

100.000

Against

0.00

0.000

Abstain

0.00

0.000

Broker Non-Votes

0.00

0.000

TOTAL

3,683,293,854.88

100.000

A Denotes trust-wide proposal and voting results.

Seminnual Report

Board Approval of Investment Advisory Contracts and Management Fees

VIP Investment Grade Central Fund

On May 21, 2009, the Board of Trustees, including the Independent Trustees (together, the Board), voted to continue the management contract and subadvisory agreements (together, the Advisory Contracts) for the fund for four months, through September 30, 2009, in connection with the reorganization of the Board's new meeting schedule. The Board considered that the contractual terms of and fees payable under the fund's Advisory Contracts involve no changes in (i) the investment process or strategies employed in the management of the fund's assets; (ii) the nature or level of services provided under the fund's Advisory Contracts; or (iii) the day-to-day management of the fund or the persons primarily responsible for such management. The Board concluded that the fund's Advisory Contracts are fair and reasonable, and that the fund's Advisory Contracts should be renewed, without modification, through September 30, 2009, with the understanding that the Board will consider their renewal in September 2009.

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:

September 2, 2009

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:

September 2, 2009

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

September 2, 2009