UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4861
Fidelity Garrison Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
| Date of fiscal year end: | December 31 |
| | |
| Date of reporting period: | June 30, 2018 |
Item 1.
Reports to Stockholders
|
Fidelity® VIP Investment Grade Central Fund Semi-Annual Report June 30, 2018 |
 |
Contents
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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. © 2018 FMR LLC. All rights reserved.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
Investment Summary (Unaudited)
Quality Diversification (% of fund's net assets)
| As of June 30, 2018 | ||
| U.S. Government and U.S. Government Agency Obligations | 67.4% | |
| AAA | 0.2% | |
| AA | 0.7% | |
| A | 6.5% | |
| BBB | 20.3% | |
| BB and Below | 6.3% | |
| Not Rated | 0.3% | |
| Short-Term Investments and Net Other Assets* | (1.7)% | |
* Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Securities rated BB or below were rated investment grade at the time of acquisition.
Asset Allocation (% of fund's net assets)
| As of June 30, 2018*,** | ||
| Corporate Bonds | 30.6% | |
| U.S. Government and U.S. Government Agency Obligations | 67.4% | |
| Asset-Backed Securities | 0.8% | |
| CMOs and Other Mortgage Related Securities | 0.5% | |
| Municipal Bonds | 1.7% | |
| Other Investments | 0.7% | |
| Short-Term Investments and Net Other Assets (Liabilities)*** | (1.7)% | |
* Foreign investments - 6.8%
** Futures and Swaps - 0.0%
*** Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Schedule of Investments June 30, 2018 (Unaudited)
Showing Percentage of Net Assets
| Nonconvertible Bonds - 30.6% | |||
| Principal Amount | Value | ||
| CONSUMER DISCRETIONARY - 2.6% | |||
| Automobiles - 0.7% | |||
| General Motors Co. 3.5% 10/2/18 | $3,528,000 | $3,534,694 | |
| General Motors Financial Co., Inc.: | |||
| 3.2% 7/13/20 | 10,000,000 | 9,953,108 | |
| 3.5% 7/10/19 | 4,187,000 | 4,208,076 | |
| 4.2% 3/1/21 | 5,411,000 | 5,486,429 | |
| 4.25% 5/15/23 | 2,080,000 | 2,081,331 | |
| 4.375% 9/25/21 | 15,702,000 | 16,003,179 | |
| 41,266,817 | |||
| Diversified Consumer Services - 0.1% | |||
| Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 2,932,000 | 3,013,749 | |
| Hotels, Restaurants & Leisure - 0.0% | |||
| McDonald's Corp. 2.75% 12/9/20 | 910,000 | 903,593 | |
| Media - 1.8% | |||
| 21st Century Fox America, Inc. 7.75% 12/1/45 | 3,169,000 | 4,462,822 | |
| AOL Time Warner, Inc. 2.95% 7/15/26 | 12,000,000 | 10,783,769 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
| 4.464% 7/23/22 | 5,742,000 | 5,805,973 | |
| 4.908% 7/23/25 | 3,860,000 | 3,897,031 | |
| 5.375% 5/1/47 | 10,672,000 | 9,684,256 | |
| 6.484% 10/23/45 | 1,700,000 | 1,790,655 | |
| Comcast Corp.: | |||
| 3.9% 3/1/38 | 1,072,000 | 975,902 | |
| 3.969% 11/1/47 | 2,402,000 | 2,114,029 | |
| 3.999% 11/1/49 | 3,964,000 | 3,500,914 | |
| 4% 3/1/48 | 1,966,000 | 1,730,606 | |
| 4.6% 8/15/45 | 2,841,000 | 2,735,195 | |
| 4.65% 7/15/42 | 2,539,000 | 2,468,354 | |
| NBCUniversal, Inc.: | |||
| 4.45% 1/15/43 | 2,012,000 | 1,900,569 | |
| 5.95% 4/1/41 | 1,407,000 | 1,583,561 | |
| Time Warner Cable, Inc.: | |||
| 4% 9/1/21 | 7,363,000 | 7,362,231 | |
| 4.5% 9/15/42 | 556,000 | 456,516 | |
| 5.5% 9/1/41 | 1,700,000 | 1,580,584 | |
| 5.875% 11/15/40 | 1,500,000 | 1,466,533 | |
| 6.55% 5/1/37 | 18,635,000 | 19,757,921 | |
| 6.75% 7/1/18 | 4,425,000 | 4,425,000 | |
| 7.3% 7/1/38 | 3,781,000 | 4,283,348 | |
| 8.25% 4/1/19 | 7,716,000 | 8,003,369 | |
| 100,769,138 | |||
| TOTAL CONSUMER DISCRETIONARY | 145,953,297 | ||
| CONSUMER STAPLES - 1.9% | |||
| Beverages - 1.1% | |||
| Anheuser-Busch InBev Finance, Inc.: | |||
| 2.65% 2/1/21 | 9,870,000 | 9,731,883 | |
| 3.3% 2/1/23 | 10,630,000 | 10,537,706 | |
| 4.7% 2/1/36 | 10,065,000 | 10,194,538 | |
| 4.9% 2/1/46 | 11,511,000 | 11,835,076 | |
| Anheuser-Busch InBev Worldwide, Inc. 4.75% 4/15/58 | 5,750,000 | 5,611,319 | |
| Molson Coors Brewing Co. 5% 5/1/42 | 13,093,000 | 13,165,884 | |
| 61,076,406 | |||
| Food & Staples Retailing - 0.1% | |||
| Walgreens Boots Alliance, Inc.: | |||
| 2.7% 11/18/19 | 2,460,000 | 2,449,619 | |
| 3.3% 11/18/21 | 2,918,000 | 2,899,780 | |
| 5,349,399 | |||
| Tobacco - 0.7% | |||
| Altria Group, Inc. 4% 1/31/24 | 2,227,000 | 2,254,041 | |
| Imperial Tobacco Finance PLC: | |||
| 3.75% 7/21/22 (a) | 4,804,000 | 4,766,858 | |
| 4.25% 7/21/25 (a) | 4,804,000 | 4,780,585 | |
| Reynolds American, Inc.: | |||
| 3.25% 6/12/20 | 939,000 | 937,113 | |
| 4% 6/12/22 | 3,228,000 | 3,248,032 | |
| 4.45% 6/12/25 | 2,341,000 | 2,352,718 | |
| 5.7% 8/15/35 | 1,215,000 | 1,303,734 | |
| 5.85% 8/15/45 | 9,320,000 | 10,185,568 | |
| 6.15% 9/15/43 | 4,000,000 | 4,537,357 | |
| 7.25% 6/15/37 | 2,962,000 | 3,706,228 | |
| 38,072,234 | |||
| TOTAL CONSUMER STAPLES | 104,498,039 | ||
| ENERGY - 5.0% | |||
| Energy Equipment & Services - 0.2% | |||
| El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,517,000 | 1,575,222 | |
| Halliburton Co.: | |||
| 3.8% 11/15/25 | 2,467,000 | 2,449,213 | |
| 4.85% 11/15/35 | 2,154,000 | 2,226,040 | |
| Noble Holding International Ltd.: | |||
| 7.95% 4/1/25 (b) | 2,180,000 | 2,027,400 | |
| 8.95% 4/1/45 (b) | 2,104,000 | 1,919,900 | |
| 10,197,775 | |||
| Oil, Gas & Consumable Fuels - 4.8% | |||
| Amerada Hess Corp. 7.875% 10/1/29 | 2,544,000 | 3,091,814 | |
| Anadarko Finance Co. 7.5% 5/1/31 | 6,883,000 | 8,522,138 | |
| Anadarko Petroleum Corp.: | |||
| 4.85% 3/15/21 | 1,620,000 | 1,667,040 | |
| 5.55% 3/15/26 | 3,337,000 | 3,575,220 | |
| 6.45% 9/15/36 | 1,002,000 | 1,157,295 | |
| 6.6% 3/15/46 | 4,530,000 | 5,440,546 | |
| Canadian Natural Resources Ltd.: | |||
| 3.8% 4/15/24 | 6,783,000 | 6,720,152 | |
| 5.85% 2/1/35 | 2,497,000 | 2,773,685 | |
| Cenovus Energy, Inc. 4.25% 4/15/27 | 5,557,000 | 5,350,529 | |
| Columbia Pipeline Group, Inc.: | |||
| 3.3% 6/1/20 | 4,379,000 | 4,360,711 | |
| 4.5% 6/1/25 | 1,336,000 | 1,337,097 | |
| DCP Midstream LLC: | |||
| 4.75% 9/30/21 (a) | 3,739,000 | 3,776,390 | |
| 5.35% 3/15/20 (a) | 3,724,000 | 3,793,825 | |
| DCP Midstream Operating LP: | |||
| 3.875% 3/15/23 | 1,771,000 | 1,711,229 | |
| 5.6% 4/1/44 | 1,227,000 | 1,157,981 | |
| Duke Energy Field Services 6.45% 11/3/36 (a) | 2,477,000 | 2,607,043 | |
| Empresa Nacional de Petroleo 4.375% 10/30/24 (a) | 3,540,000 | 3,525,736 | |
| Enable Midstream Partners LP: | |||
| 2.4% 5/15/19 (b) | 1,253,000 | 1,245,097 | |
| 3.9% 5/15/24 (b) | 1,322,000 | 1,264,987 | |
| Enbridge Energy Partners LP: | |||
| 4.2% 9/15/21 | 4,399,000 | 4,450,919 | |
| 4.375% 10/15/20 | 3,093,000 | 3,147,468 | |
| Enbridge, Inc.: | |||
| 4.25% 12/1/26 | 1,773,000 | 1,756,307 | |
| 5.5% 12/1/46 | 2,046,000 | 2,182,505 | |
| Energy Transfer Partners LP: | |||
| 4.2% 9/15/23 | 1,186,000 | 1,183,949 | |
| 4.95% 6/15/28 | 4,048,000 | 4,033,854 | |
| 5.8% 6/15/38 | 2,257,000 | 2,232,492 | |
| 6% 6/15/48 | 1,470,000 | 1,465,310 | |
| EnLink Midstream Partners LP 2.7% 4/1/19 | 6,288,000 | 6,226,749 | |
| Enterprise Products Operating LP: | |||
| 2.55% 10/15/19 | 863,000 | 857,152 | |
| 3.7% 2/15/26 | 4,800,000 | 4,688,678 | |
| 3.75% 2/15/25 | 2,900,000 | 2,870,871 | |
| Kinder Morgan Energy Partners LP 6.55% 9/15/40 | 460,000 | 505,129 | |
| Marathon Petroleum Corp. 5.125% 3/1/21 | 2,187,000 | 2,275,130 | |
| MPLX LP 4.875% 12/1/24 | 2,736,000 | 2,819,576 | |
| Nakilat, Inc. 6.067% 12/31/33 (a) | 1,808,000 | 1,975,602 | |
| Petrobras Global Finance BV: | |||
| 4.375% 5/20/23 | 7,020,000 | 6,558,435 | |
| 7.25% 3/17/44 | 24,245,000 | 22,426,625 | |
| Petroleos Mexicanos: | |||
| 3.5% 1/30/23 | 3,410,000 | 3,228,145 | |
| 4.5% 1/23/26 | 6,809,000 | 6,388,204 | |
| 4.625% 9/21/23 | 7,350,000 | 7,247,100 | |
| 4.875% 1/24/22 | 3,398,000 | 3,427,902 | |
| 4.875% 1/18/24 | 4,539,000 | 4,480,765 | |
| 5.375% 3/13/22 | 2,700,000 | 2,768,850 | |
| 5.5% 1/21/21 | 3,601,000 | 3,707,193 | |
| 5.5% 6/27/44 | 2,492,000 | 2,102,002 | |
| 5.625% 1/23/46 | 8,402,000 | 7,091,288 | |
| 6% 3/5/20 | 1,034,000 | 1,067,605 | |
| 6.35% 2/12/48 (a) | 4,430,000 | 3,998,075 | |
| 6.375% 1/23/45 | 4,048,000 | 3,728,208 | |
| 6.5% 3/13/27 | 4,830,000 | 4,952,779 | |
| 6.5% 6/2/41 | 7,675,000 | 7,217,570 | |
| 6.75% 9/21/47 | 12,105,000 | 11,505,803 | |
| 8% 5/3/19 | 2,142,000 | 2,220,461 | |
| Phillips 66 Co. 4.3% 4/1/22 | 3,770,000 | 3,881,822 | |
| Phillips 66 Partners LP 2.646% 2/15/20 | 375,000 | 370,716 | |
| Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 1,784,000 | 1,748,266 | |
| Southwestern Energy Co. 6.7% 1/23/25 (b) | 2,509,000 | 2,455,684 | |
| The Williams Companies, Inc.: | |||
| 3.7% 1/15/23 | 1,208,000 | 1,168,740 | |
| 4.55% 6/24/24 | 13,337,000 | 13,337,000 | |
| Western Gas Partners LP: | |||
| 4.5% 3/1/28 | 2,000,000 | 1,923,968 | |
| 4.65% 7/1/26 | 8,532,000 | 8,378,906 | |
| 5.375% 6/1/21 | 6,322,000 | 6,552,849 | |
| Williams Partners LP: | |||
| 3.6% 3/15/22 | 3,522,000 | 3,503,860 | |
| 3.9% 1/15/25 | 1,216,000 | 1,185,897 | |
| 4% 11/15/21 | 1,605,000 | 1,618,901 | |
| 4.3% 3/4/24 | 5,449,000 | 5,466,479 | |
| 4.5% 11/15/23 | 1,751,000 | 1,777,055 | |
| 263,237,359 | |||
| TOTAL ENERGY | 273,435,134 | ||
| FINANCIALS - 12.1% | |||
| Banks - 6.0% | |||
| Bank of America Corp.: | |||
| 2.25% 4/21/20 | 3,337,000 | 3,291,095 | |
| 2.6% 1/15/19 | 1,033,000 | 1,032,352 | |
| 3.004% 12/20/23 (b) | 23,800,000 | 23,078,158 | |
| 3.3% 1/11/23 | 4,342,000 | 4,276,935 | |
| 3.419% 12/20/28 (b) | 18,965,000 | 17,858,853 | |
| 3.5% 4/19/26 | 5,024,000 | 4,857,913 | |
| 3.95% 4/21/25 | 4,125,000 | 4,038,560 | |
| 4.2% 8/26/24 | 6,867,000 | 6,899,988 | |
| 4.25% 10/22/26 | 4,261,000 | 4,209,097 | |
| Barclays PLC: | |||
| 2.75% 11/8/19 | 3,581,000 | 3,552,527 | |
| 3.25% 1/12/21 | 4,610,000 | 4,543,962 | |
| 4.375% 1/12/26 | 6,221,000 | 6,042,240 | |
| 5.2% 5/12/26 | 5,259,000 | 5,166,237 | |
| Citigroup, Inc.: | |||
| 2.7% 10/27/22 | 9,998,000 | 9,598,339 | |
| 3.875% 3/26/25 | 9,500,000 | 9,219,690 | |
| 4.05% 7/30/22 | 1,800,000 | 1,809,198 | |
| 4.3% 11/20/26 | 1,733,000 | 1,690,457 | |
| 5.5% 9/13/25 | 4,860,000 | 5,158,321 | |
| Citizens Bank NA 2.55% 5/13/21 | 1,560,000 | 1,521,449 | |
| Citizens Financial Group, Inc. 4.15% 9/28/22 (a) | 4,857,000 | 4,888,642 | |
| Credit Suisse Group Funding Guernsey Ltd.: | |||
| 2.75% 3/26/20 | 4,667,000 | 4,616,783 | |
| 3.75% 3/26/25 | 4,660,000 | 4,480,526 | |
| 3.8% 9/15/22 | 7,240,000 | 7,206,092 | |
| 3.8% 6/9/23 | 8,582,000 | 8,470,776 | |
| Discover Bank: | |||
| 3.35% 2/6/23 | 3,206,000 | 3,123,227 | |
| 4.2% 8/8/23 | 2,849,000 | 2,873,705 | |
| 7% 4/15/20 | 2,309,000 | 2,438,295 | |
| Fifth Third Bancorp: | |||
| 2.875% 7/27/20 | 3,000,000 | 2,982,575 | |
| 8.25% 3/1/38 | 4,319,000 | 5,891,261 | |
| HSBC Holdings PLC 4.25% 3/14/24 | 2,200,000 | 2,187,933 | |
| Huntington Bancshares, Inc. 7% 12/15/20 | 1,004,000 | 1,082,501 | |
| Intesa Sanpaolo SpA: | |||
| 5.017% 6/26/24 (a) | 4,337,000 | 3,936,547 | |
| 5.71% 1/15/26 (a) | 9,626,000 | 8,799,020 | |
| JPMorgan Chase & Co.: | |||
| 2.75% 6/23/20 | 5,755,000 | 5,703,606 | |
| 2.95% 10/1/26 | 8,028,000 | 7,454,471 | |
| 3.875% 9/10/24 | 43,751,000 | 43,327,107 | |
| 4.125% 12/15/26 | 14,080,000 | 13,897,234 | |
| MUFG Americas Holdings Corp. 2.25% 2/10/20 | 4,493,000 | 4,426,054 | |
| Rabobank Nederland 4.375% 8/4/25 | 7,451,000 | 7,302,989 | |
| Regions Bank 6.45% 6/26/37 | 7,720,000 | 9,115,865 | |
| Regions Financial Corp. 3.2% 2/8/21 | 2,833,000 | 2,819,928 | |
| Royal Bank of Scotland Group PLC: | |||
| 5.125% 5/28/24 | 20,522,000 | 20,691,955 | |
| 6% 12/19/23 | 10,433,000 | 10,944,200 | |
| 6.1% 6/10/23 | 11,522,000 | 12,131,004 | |
| 6.125% 12/15/22 | 8,239,000 | 8,668,222 | |
| Synchrony Bank 3% 6/15/22 | 4,542,000 | 4,372,667 | |
| 331,678,556 | |||
| Capital Markets - 3.8% | |||
| Affiliated Managers Group, Inc.: | |||
| 3.5% 8/1/25 | 5,541,000 | 5,369,399 | |
| 4.25% 2/15/24 | 4,287,000 | 4,359,700 | |
| Credit Suisse Group AG 3.869% 1/12/29 (a)(b) | 4,020,000 | 3,778,637 | |
| Deutsche Bank AG 4.5% 4/1/25 | 10,381,000 | 9,465,290 | |
| Deutsche Bank AG New York Branch: | |||
| 3.15% 1/22/21 | 6,514,000 | 6,301,563 | |
| 3.3% 11/16/22 | 9,310,000 | 8,719,595 | |
| Goldman Sachs Group, Inc.: | |||
| 2.876% 10/31/22 (b) | 22,903,000 | 22,359,054 | |
| 3.2% 2/23/23 | 7,150,000 | 6,964,981 | |
| 3.691% 6/5/28 (b) | 41,645,000 | 39,463,944 | |
| 6.75% 10/1/37 | 2,246,000 | 2,667,997 | |
| IntercontinentalExchange, Inc. 2.75% 12/1/20 | 1,628,000 | 1,613,112 | |
| Lazard Group LLC 4.25% 11/14/20 | 3,307,000 | 3,371,586 | |
| Moody's Corp.: | |||
| 3.25% 1/15/28 | 2,386,000 | 2,251,365 | |
| 4.875% 2/15/24 | 2,240,000 | 2,350,770 | |
| Morgan Stanley: | |||
| 3.125% 1/23/23 | 26,000,000 | 25,358,580 | |
| 3.125% 7/27/26 | 21,964,000 | 20,424,280 | |
| 3.625% 1/20/27 | 11,000,000 | 10,582,790 | |
| 3.7% 10/23/24 | 3,281,000 | 3,237,768 | |
| 3.737% 4/24/24 (b) | 5,000,000 | 4,968,411 | |
| 4.875% 11/1/22 | 7,751,000 | 8,037,030 | |
| 5% 11/24/25 | 1,047,000 | 1,085,013 | |
| 5.75% 1/25/21 | 3,512,000 | 3,713,641 | |
| Peachtree Corners Funding Trust 3.976% 2/15/25 (a) | 5,000,000 | 4,863,436 | |
| Thomson Reuters Corp. 3.85% 9/29/24 | 3,379,000 | 3,327,057 | |
| UBS AG Stamford Branch 2.35% 3/26/20 | 1,450,000 | 1,433,630 | |
| UBS Group Funding Ltd. 4.125% 9/24/25 (a) | 5,261,000 | 5,222,614 | |
| 211,291,243 | |||
| Consumer Finance - 0.7% | |||
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
| 3.5% 5/26/22 | 1,724,000 | 1,685,857 | |
| 4.125% 7/3/23 | 4,192,000 | 4,168,039 | |
| Capital One Financial Corp. 3.8% 1/31/28 | 4,476,000 | 4,223,411 | |
| Discover Financial Services: | |||
| 3.85% 11/21/22 | 5,040,000 | 5,016,863 | |
| 3.95% 11/6/24 | 2,847,000 | 2,777,053 | |
| 4.1% 2/9/27 | 3,673,000 | 3,521,817 | |
| Ford Motor Credit Co. LLC 2.875% 10/1/18 | 4,500,000 | 4,500,990 | |
| Hyundai Capital America 2.875% 8/9/18 (a) | 1,921,000 | 1,920,723 | |
| Synchrony Financial: | |||
| 3% 8/15/19 | 1,459,000 | 1,456,122 | |
| 3.75% 8/15/21 | 2,203,000 | 2,200,537 | |
| 3.95% 12/1/27 | 2,800,000 | 2,582,025 | |
| 4.25% 8/15/24 | 2,218,000 | 2,173,446 | |
| 36,226,883 | |||
| Diversified Financial Services - 0.3% | |||
| AXA Equitable Holdings, Inc. 3.9% 4/20/23 (a) | 1,041,000 | 1,032,455 | |
| Brixmor Operating Partnership LP: | |||
| 3.25% 9/15/23 | 5,952,000 | 5,700,812 | |
| 3.875% 8/15/22 | 5,542,000 | 5,520,185 | |
| 4.125% 6/15/26 | 2,032,000 | 1,966,126 | |
| Voya Financial, Inc. 3.125% 7/15/24 | 2,851,000 | 2,692,110 | |
| 16,911,688 | |||
| Insurance - 1.3% | |||
| AIA Group Ltd. 2.25% 3/11/19 (a) | 913,000 | 906,939 | |
| American International Group, Inc.: | |||
| 3.3% 3/1/21 | 2,355,000 | 2,353,172 | |
| 3.75% 7/10/25 | 8,311,000 | 8,021,541 | |
| 4.875% 6/1/22 | 3,597,000 | 3,766,583 | |
| Aon Corp. 5% 9/30/20 | 1,402,000 | 1,453,145 | |
| Liberty Mutual Group, Inc. 5% 6/1/21 (a) | 4,093,000 | 4,241,488 | |
| Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 2,278,000 | 2,368,423 | |
| Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (a) | 5,285,000 | 4,945,705 | |
| MetLife, Inc. 4.75% 2/8/21 | 1,139,000 | 1,182,849 | |
| Metropolitan Life Global Funding I 3% 1/10/23 (a) | 2,636,000 | 2,585,133 | |
| Pacific LifeCorp 5.125% 1/30/43 (a) | 5,252,000 | 5,608,596 | |
| Prudential Financial, Inc.: | |||
| 2.3% 8/15/18 | 599,000 | 598,835 | |
| 7.375% 6/15/19 | 1,250,000 | 1,301,918 | |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (a) | 5,347,000 | 5,624,307 | |
| TIAA Asset Management Finance LLC: | |||
| 2.95% 11/1/19 (a) | 1,222,000 | 1,217,200 | |
| 4.125% 11/1/24 (a) | 1,771,000 | 1,760,522 | |
| Unum Group: | |||
| 3.875% 11/5/25 | 4,860,000 | 4,718,610 | |
| 4% 3/15/24 | 5,930,000 | 5,881,745 | |
| 5.625% 9/15/20 | 2,889,000 | 3,020,119 | |
| 5.75% 8/15/42 | 7,278,000 | 7,732,863 | |
| 69,289,693 | |||
| TOTAL FINANCIALS | 665,398,063 | ||
| HEALTH CARE - 2.4% | |||
| Biotechnology - 0.2% | |||
| AbbVie, Inc. 2.9% 11/6/22 | 8,618,000 | 8,360,212 | |
| Health Care Equipment & Supplies - 0.1% | |||
| Becton, Dickinson & Co.: | |||
| 2.675% 12/15/19 | 1,156,000 | 1,147,296 | |
| 2.894% 6/6/22 | 987,000 | 954,390 | |
| 3.363% 6/6/24 | 3,188,000 | 3,061,095 | |
| 3.7% 6/6/27 | 3,370,000 | 3,186,310 | |
| 8,349,091 | |||
| Health Care Providers & Services - 1.3% | |||
| CVS Health Corp.: | |||
| 3.7% 3/9/23 | 2,500,000 | 2,474,550 | |
| 4.1% 3/25/25 | 11,542,000 | 11,478,753 | |
| 4.3% 3/25/28 | 13,403,000 | 13,215,622 | |
| 4.78% 3/25/38 | 5,967,000 | 5,898,133 | |
| 5.05% 3/25/48 | 8,772,000 | 8,859,691 | |
| HCA Holdings, Inc.: | |||
| 3.75% 3/15/19 | 6,803,000 | 6,828,511 | |
| 4.25% 10/15/19 | 11,265,000 | 11,349,488 | |
| 4.75% 5/1/23 | 215,000 | 214,463 | |
| 5.875% 3/15/22 | 260,000 | 271,050 | |
| 6.5% 2/15/20 | 7,140,000 | 7,434,525 | |
| Medco Health Solutions, Inc. 4.125% 9/15/20 | 2,723,000 | 2,761,271 | |
| 70,786,057 | |||
| Life Sciences Tools & Services - 0.0% | |||
| Thermo Fisher Scientific, Inc. 4.15% 2/1/24 | 1,093,000 | 1,108,980 | |
| Pharmaceuticals - 0.8% | |||
| Actavis Funding SCS: | |||
| 3% 3/12/20 | 3,962,000 | 3,942,173 | |
| 3.45% 3/15/22 | 6,868,000 | 6,756,242 | |
| Mylan N.V. 4.55% 4/15/28 (a) | 4,000,000 | 3,907,492 | |
| Mylan NV: | |||
| 2.5% 6/7/19 | 1,344,000 | 1,337,891 | |
| 3.15% 6/15/21 | 5,002,000 | 4,945,337 | |
| 3.95% 6/15/26 | 2,549,000 | 2,436,564 | |
| Perrigo Finance PLC 3.5% 12/15/21 | 449,000 | 444,316 | |
| Shire Acquisitions Investments Ireland DAC 2.4% 9/23/21 | 9,847,000 | 9,426,366 | |
| Teva Pharmaceutical Finance Netherlands III BV: | |||
| 2.2% 7/21/21 | 3,623,000 | 3,360,198 | |
| 2.8% 7/21/23 | 2,593,000 | 2,238,915 | |
| 3.15% 10/1/26 | 3,088,000 | 2,481,032 | |
| Zoetis, Inc. 3.25% 2/1/23 | 1,649,000 | 1,623,040 | |
| 42,899,566 | |||
| TOTAL HEALTH CARE | 131,503,906 | ||
| INDUSTRIALS - 0.5% | |||
| Airlines - 0.0% | |||
| Continental Airlines, Inc. 6.795% 8/2/18 | 83,660 | 83,660 | |
| Northwest Airlines, Inc. pass-thru trust certificates 7.027% 11/1/19 | 1,902,221 | 1,986,870 | |
| U.S. Airways pass-thru trust certificates 8.36% 1/20/19 | 106,247 | 107,310 | |
| 2,177,840 | |||
| Trading Companies & Distributors - 0.5% | |||
| Air Lease Corp.: | |||
| 2.625% 9/4/18 | 4,630,000 | 4,628,116 | |
| 3% 9/15/23 | 877,000 | 830,208 | |
| 3.375% 6/1/21 | 2,523,000 | 2,509,251 | |
| 3.75% 2/1/22 | 4,522,000 | 4,526,173 | |
| 3.875% 4/1/21 | 3,180,000 | 3,203,097 | |
| 3.875% 7/3/23 | 5,581,000 | 5,523,739 | |
| 4.25% 9/15/24 | 3,565,000 | 3,538,061 | |
| 4.75% 3/1/20 | 3,519,000 | 3,593,361 | |
| 28,352,006 | |||
| TOTAL INDUSTRIALS | 30,529,846 | ||
| INFORMATION TECHNOLOGY - 0.0% | |||
| Electronic Equipment & Components - 0.0% | |||
| Tyco Electronics Group SA 2.375% 12/17/18 | 832,000 | 830,653 | |
| MATERIALS - 0.5% | |||
| Chemicals - 0.1% | |||
| The Dow Chemical Co.: | |||
| 4.125% 11/15/21 | 3,587,000 | 3,656,272 | |
| 4.25% 11/15/20 | 1,196,000 | 1,221,216 | |
| 4,877,488 | |||
| Metals & Mining - 0.4% | |||
| BHP Billiton Financial (U.S.A.) Ltd.: | |||
| 6.25% 10/19/75 (a)(b) | 1,921,000 | 2,008,045 | |
| 6.75% 10/19/75 (a)(b) | 4,773,000 | 5,176,319 | |
| Corporacion Nacional del Cobre de Chile (Codelco): | |||
| 3.625% 8/1/27 (a) | 1,696,000 | 1,615,491 | |
| 4.5% 8/13/23 (a) | 9,000,000 | 9,223,587 | |
| 4.5% 8/1/47 (a) | 1,720,000 | 1,671,083 | |
| Vale Overseas Ltd. 4.375% 1/11/22 | 1,211,000 | 1,225,520 | |
| 20,920,045 | |||
| TOTAL MATERIALS | 25,797,533 | ||
| REAL ESTATE - 3.1% | |||
| Equity Real Estate Investment Trusts (REITs) - 1.8% | |||
| Alexandria Real Estate Equities, Inc.: | |||
| 2.75% 1/15/20 | 879,000 | 871,794 | |
| 4.6% 4/1/22 | 1,403,000 | 1,447,623 | |
| American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 1,184,000 | 1,177,285 | |
| American Tower Corp. 2.8% 6/1/20 | 9,000,000 | 8,922,406 | |
| AvalonBay Communities, Inc. 3.625% 10/1/20 | 1,872,000 | 1,886,285 | |
| Boston Properties, Inc. 3.85% 2/1/23 | 4,708,000 | 4,730,448 | |
| Camden Property Trust: | |||
| 2.95% 12/15/22 | 1,607,000 | 1,564,381 | |
| 4.25% 1/15/24 | 3,408,000 | 3,471,070 | |
| Corporate Office Properties LP 5% 7/1/25 | 3,156,000 | 3,220,123 | |
| DDR Corp.: | |||
| 3.625% 2/1/25 | 2,262,000 | 2,145,809 | |
| 4.25% 2/1/26 | 1,807,000 | 1,764,078 | |
| 4.625% 7/15/22 | 2,855,000 | 2,927,013 | |
| Duke Realty LP: | |||
| 3.625% 4/15/23 | 2,123,000 | 2,104,049 | |
| 3.75% 12/1/24 | 1,576,000 | 1,552,435 | |
| 3.875% 10/15/22 | 3,512,000 | 3,545,305 | |
| Equity One, Inc. 3.75% 11/15/22 | 5,500,000 | 5,475,700 | |
| ERP Operating LP: | |||
| 2.375% 7/1/19 | 2,683,000 | 2,667,235 | |
| 4.75% 7/15/20 | 2,827,000 | 2,904,676 | |
| Lexington Corporate Properties Trust 4.4% 6/15/24 | 1,441,000 | 1,418,751 | |
| Omega Healthcare Investors, Inc.: | |||
| 4.375% 8/1/23 | 6,023,000 | 5,977,831 | |
| 4.5% 1/15/25 | 2,677,000 | 2,615,048 | |
| 4.5% 4/1/27 | 16,195,000 | 15,425,782 | |
| 4.75% 1/15/28 | 6,382,000 | 6,150,658 | |
| 4.95% 4/1/24 | 1,354,000 | 1,373,037 | |
| 5.25% 1/15/26 | 5,686,000 | 5,732,911 | |
| Retail Opportunity Investments Partnership LP: | |||
| 4% 12/15/24 | 978,000 | 923,071 | |
| 5% 12/15/23 | 737,000 | 741,377 | |
| Weingarten Realty Investors 3.375% 10/15/22 | 812,000 | 800,669 | |
| WP Carey, Inc. 4% 2/1/25 | 5,360,000 | 5,199,066 | |
| 98,735,916 | |||
| Real Estate Management & Development - 1.3% | |||
| Brandywine Operating Partnership LP: | |||
| 3.95% 2/15/23 | 5,510,000 | 5,482,220 | |
| 3.95% 11/15/27 | 4,613,000 | 4,381,127 | |
| 4.1% 10/1/24 | 4,251,000 | 4,195,472 | |
| 4.55% 10/1/29 | 4,524,000 | 4,432,877 | |
| Digital Realty Trust LP: | |||
| 3.4% 10/1/20 | 4,915,000 | 4,918,261 | |
| 3.95% 7/1/22 | 3,320,000 | 3,353,020 | |
| 4.75% 10/1/25 | 3,533,000 | 3,639,622 | |
| 5.25% 3/15/21 | 1,953,000 | 2,033,092 | |
| Liberty Property LP: | |||
| 3.375% 6/15/23 | 2,202,000 | 2,156,203 | |
| 4.125% 6/15/22 | 2,007,000 | 2,043,242 | |
| 4.4% 2/15/24 | 4,876,000 | 4,967,713 | |
| 4.75% 10/1/20 | 4,185,000 | 4,299,589 | |
| Mack-Cali Realty LP: | |||
| 3.15% 5/15/23 | 4,988,000 | 4,438,123 | |
| 4.5% 4/18/22 | 1,218,000 | 1,185,653 | |
| Post Apartment Homes LP 3.375% 12/1/22 | 790,000 | 778,627 | |
| Tanger Properties LP: | |||
| 3.125% 9/1/26 | 2,589,000 | 2,335,358 | |
| 3.75% 12/1/24 | 2,960,000 | 2,840,641 | |
| 3.875% 12/1/23 | 1,792,000 | 1,750,449 | |
| Ventas Realty LP: | |||
| 3.125% 6/15/23 | 1,289,000 | 1,247,928 | |
| 3.5% 2/1/25 | 6,443,000 | 6,167,797 | |
| 4% 3/1/28 | 2,243,000 | 2,167,575 | |
| 4.125% 1/15/26 | 1,557,000 | 1,531,435 | |
| 4.375% 2/1/45 | 763,000 | 699,694 | |
| 71,045,718 | |||
| TOTAL REAL ESTATE | 169,781,634 | ||
| TELECOMMUNICATION SERVICES - 0.9% | |||
| Diversified Telecommunication Services - 0.9% | |||
| AT&T, Inc.: | |||
| 2.45% 6/30/20 | 3,187,000 | 3,137,251 | |
| 3.6% 2/17/23 | 6,270,000 | 6,175,274 | |
| 4.45% 4/1/24 | 480,000 | 484,408 | |
| 4.5% 3/9/48 | 10,800,000 | 9,270,029 | |
| 5.875% 10/1/19 | 4,711,000 | 4,873,323 | |
| Verizon Communications, Inc.: | |||
| 3.85% 11/1/42 | 1,190,000 | 992,976 | |
| 4.522% 9/15/48 | 1,821,000 | 1,658,875 | |
| 4.862% 8/21/46 | 3,398,000 | 3,244,523 | |
| 5.012% 4/15/49 | 2,962,000 | 2,882,246 | |
| 5.012% 8/21/54 | 9,569,000 | 8,984,090 | |
| 5.5% 3/16/47 | 7,027,000 | 7,357,720 | |
| 49,060,715 | |||
| UTILITIES - 1.6% | |||
| Electric Utilities - 1.1% | |||
| Cleco Corporate Holdings LLC 3.743% 5/1/26 | 2,071,000 | 1,952,804 | |
| Duquesne Light Holdings, Inc.: | |||
| 5.9% 12/1/21 (a) | 2,664,000 | 2,825,284 | |
| 6.4% 9/15/20 (a) | 7,513,000 | 7,940,950 | |
| Eversource Energy 2.8% 5/1/23 | 5,110,000 | 4,923,687 | |
| FirstEnergy Corp.: | |||
| 4.25% 3/15/23 | 11,729,000 | 11,913,459 | |
| 7.375% 11/15/31 | 5,897,000 | 7,639,332 | |
| FirstEnergy Solutions Corp. 6.05% 8/15/21 (c) | 7,286,000 | 3,606,570 | |
| IPALCO Enterprises, Inc.: | |||
| 3.45% 7/15/20 | 7,767,000 | 7,733,447 | |
| 3.7% 9/1/24 | 2,157,000 | 2,091,556 | |
| LG&E and KU Energy LLC 3.75% 11/15/20 | 525,000 | 528,864 | |
| NV Energy, Inc. 6.25% 11/15/20 | 1,238,000 | 1,322,060 | |
| Progress Energy, Inc. 4.4% 1/15/21 | 4,274,000 | 4,365,333 | |
| TECO Finance, Inc. 5.15% 3/15/20 | 1,545,000 | 1,587,197 | |
| 58,430,543 | |||
| Gas Utilities - 0.0% | |||
| Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 1,182,000 | 1,207,372 | |
| Independent Power and Renewable Electricity Producers - 0.1% | |||
| Emera U.S. Finance LP: | |||
| 2.15% 6/15/19 | 1,201,000 | 1,188,472 | |
| 2.7% 6/15/21 | 1,182,000 | 1,150,366 | |
| 3.55% 6/15/26 | 1,891,000 | 1,779,885 | |
| 4,118,723 | |||
| Multi-Utilities - 0.4% | |||
| Dominion Resources, Inc. 3 month U.S. LIBOR + 2.300% 4.602% 9/30/66 (b)(d) | 15,230,000 | 14,201,975 | |
| Puget Energy, Inc.: | |||
| 6% 9/1/21 | 4,807,000 | 5,140,609 | |
| 6.5% 12/15/20 | 1,534,000 | 1,642,686 | |
| Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 4.455% 5/15/67 (b)(d) | 1,426,000 | 1,406,464 | |
| 22,391,734 | |||
| TOTAL UTILITIES | 86,148,372 | ||
| TOTAL NONCONVERTIBLE BONDS | |||
| (Cost $1,703,401,575) | 1,682,937,192 | ||
| U.S. Government and Government Agency Obligations - 42.4% | |||
| U.S. Treasury Inflation-Protected Obligations - 8.2% | |||
| U.S. Treasury Inflation-Indexed Bonds: | |||
| 0.75% 2/15/45 | $51,219,516 | $49,730,525 | |
| 0.875% 2/15/47 | 3,227,931 | 3,230,532 | |
| 1% 2/15/46 | 13,735,626 | 14,157,452 | |
| 1.375% 2/15/44 | 47,919,462 | 53,533,362 | |
| U.S. Treasury Inflation-Indexed Notes: | |||
| 0.125% 7/15/24 | 59,427,174 | 57,770,001 | |
| 0.125% 7/15/26 | 39,301,024 | 37,651,704 | |
| 0.25% 1/15/25 | 52,036,847 | 50,614,499 | |
| 0.375% 1/15/27 | 42,691,152 | 41,477,918 | |
| 0.375% 7/15/27 | 82,962,630 | 80,710,354 | |
| 0.625% 1/15/26 | 63,266,400 | 62,922,643 | |
| TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 451,798,990 | ||
| U.S. Treasury Obligations - 34.2% | |||
| U.S. Treasury Bonds: | |||
| 2.75% 11/15/47 | 26,987,000 | 25,723,038 | |
| 3% 5/15/45 (e)(f) | 42,484,000 | 42,608,465 | |
| 3% 11/15/45 | 38,163,000 | 38,259,898 | |
| 3% 2/15/47 | 113,300,000 | 113,596,528 | |
| 3% 5/15/47 | 49,138,000 | 49,228,214 | |
| U.S. Treasury Notes: | |||
| 1.125% 2/28/19 | 140,000,000 | 138,971,875 | |
| 1.25% 3/31/21 | 27,924,000 | 26,919,391 | |
| 1.25% 10/31/21 | 264,057,000 | 252,256,953 | |
| 1.625% 5/31/23 | 22,986,000 | 21,815,151 | |
| 1.875% 3/31/22 | 249,649,000 | 242,442,335 | |
| 1.875% 7/31/22 | 250,804,000 | 242,741,043 | |
| 2% 12/31/21 | 437,319,000 | 427,530,567 | |
| 2.125% 7/31/24 | 122,131,000 | 117,532,005 | |
| 2.125% 11/30/24 | 76,892,000 | 73,819,323 | |
| 2.25% 12/31/24 | 55,236,000 | 53,404,150 | |
| 2.25% 11/15/27 | 13,775,000 | 13,089,479 | |
| TOTAL U.S. TREASURY OBLIGATIONS | 1,879,938,415 | ||
| TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
| (Cost $2,387,808,539) | 2,331,737,405 | ||
| U.S. Government Agency - Mortgage Securities - 24.8% | |||
| Fannie Mae - 12.8% | |||
| 12 month U.S. LIBOR + 1.480% 3.298% 7/1/34 (b)(d) | 21,974 | 22,520 | |
| 12 month U.S. LIBOR + 1.553% 3.326% 6/1/36 (b)(d) | 35,200 | 36,646 | |
| 12 month U.S. LIBOR + 1.725% 2.575% 6/1/42 (b)(d) | 261,789 | 270,059 | |
| 12 month U.S. LIBOR + 1.728% 3.672% 11/1/36 (b)(d) | 340,487 | 358,618 | |
| 12 month U.S. LIBOR + 1.745% 3.636% 7/1/35 (b)(d) | 25,071 | 26,152 | |
| 12 month U.S. LIBOR + 1.788% 3.651% 2/1/36 (b)(d) | 216,085 | 222,536 | |
| 12 month U.S. LIBOR + 1.800% 3.583% 7/1/41 (b)(d) | 226,386 | 234,477 | |
| 12 month U.S. LIBOR + 1.818% 3.046% 9/1/41 (b)(d) | 128,303 | 132,674 | |
| 12 month U.S. LIBOR + 1.818% 3.539% 7/1/41 (b)(d) | 183,934 | 193,099 | |
| 12 month U.S. LIBOR + 1.820% 3.695% 12/1/35 (b)(d) | 145,971 | 150,544 | |
| 12 month U.S. LIBOR + 1.830% 3.361% 10/1/41 (b)(d) | 107,369 | 111,030 | |
| 12 month U.S. LIBOR + 1.900% 3.745% 7/1/37 (b)(d) | 37,549 | 39,628 | |
| 12 month U.S. LIBOR + 1.906% 4.331% 5/1/36 (b)(d) | 126,154 | 132,465 | |
| 12 month U.S. LIBOR + 1.932% 3.82% 9/1/36 (b)(d) | 247,817 | 259,144 | |
| 6 month U.S. LIBOR + 1.313% 3.702% 5/1/34 (b)(d) | 197,064 | 199,643 | |
| 6 month U.S. LIBOR + 1.383% 3.075% 9/1/33 (b)(d) | 220,328 | 224,842 | |
| 6 month U.S. LIBOR + 1.556% 3.552% 10/1/33 (b)(d) | 11,135 | 11,349 | |
| 6 month U.S. LIBOR + 1.565% 3.19% 7/1/35 (b)(d) | 15,179 | 15,646 | |
| U.S. TREASURY 1 YEAR INDEX + 1.945% 3.076% 10/1/33 (b)(d) | 289,997 | 301,942 | |
| U.S. TREASURY 1 YEAR INDEX + 2.208% 4.083% 3/1/35 (b)(d) | 13,050 | 13,519 | |
| U.S. TREASURY 1 YEAR INDEX + 2.232% 3.643% 8/1/36 (b)(d) | 638,453 | 673,188 | |
| U.S. TREASURY 1 YEAR INDEX + 2.295% 3.539% 10/1/33 (b)(d) | 30,122 | 31,804 | |
| U.S. TREASURY 1 YEAR INDEX + 2.475% 3.959% 5/1/35 (b)(d) | 63,302 | 67,092 | |
| 2.5% 7/1/33 (g) | 9,325,000 | 9,064,106 | |
| 2.5% 7/1/33 (g) | 7,275,000 | 7,071,461 | |
| 2.5% 1/1/43 to 4/1/47 | 8,741,407 | 8,225,506 | |
| 3% 11/1/24 to 1/1/47 | 90,585,899 | 88,345,332 | |
| 3% 7/1/33 (g) | 18,100,000 | 17,991,081 | |
| 3.5% 12/1/25 to 6/1/48 | 198,428,056 | 198,428,535 | |
| 3.5% 7/1/33 (g) | 10,800,000 | 10,926,847 | |
| 4% 11/1/31 to 5/1/48 | 145,622,668 | 149,045,127 | |
| 4.5% 5/1/25 to 5/1/48 | 38,521,237 | 40,379,681 | |
| 4.5% 7/1/48 (g) | 39,650,000 | 41,283,084 | |
| 4.5% 7/1/48 (g) | 25,900,000 | 26,966,756 | |
| 4.5% 7/1/48 (g) | 9,400,000 | 9,787,163 | |
| 4.5% 7/1/48 (g) | 15,100,000 | 15,721,931 | |
| 4.5% 7/1/48 (g) | 550,000 | 572,653 | |
| 4.5% 8/1/48 (g) | 34,500,000 | 35,861,670 | |
| 5% 9/1/20 to 11/1/44 | 17,992,977 | 19,197,604 | |
| 5.5% 7/1/18 to 5/1/44 | 5,468,568 | 5,960,660 | |
| 6% 10/1/34 to 1/1/42 | 13,627,443 | 15,012,987 | |
| 6.5% 12/1/23 to 8/1/36 | 1,529,749 | 1,707,250 | |
| 7% 11/1/23 to 8/1/32 | 405,578 | 446,101 | |
| 7.5% 9/1/22 to 11/1/31 | 319,958 | 359,500 | |
| 8% 1/1/30 to 3/1/30 | 1,933 | 2,144 | |
| 8.5% 3/1/25 to 6/1/25 | 398 | 448 | |
| TOTAL FANNIE MAE | 706,086,244 | ||
| Freddie Mac - 6.0% | |||
| 12 month U.S. LIBOR + 1.375% 3.161% 3/1/36 (b)(d) | 84,507 | 86,914 | |
| 12 month U.S. LIBOR + 1.877% 4.21% 4/1/41 (b)(d) | 102,435 | 105,672 | |
| 12 month U.S. LIBOR + 1.880% 3.205% 9/1/41 (b)(d) | 135,636 | 140,019 | |
| 12 month U.S. LIBOR + 1.910% 3.331% 6/1/41 (b)(d) | 128,803 | 135,476 | |
| 12 month U.S. LIBOR + 1.910% 3.894% 6/1/41 (b)(d) | 182,194 | 191,299 | |
| 12 month U.S. LIBOR + 1.910% 4.365% 5/1/41 (b)(d) | 200,844 | 208,771 | |
| 12 month U.S. LIBOR + 1.910% 4.479% 5/1/41 (b)(d) | 134,655 | 141,961 | |
| 12 month U.S. LIBOR + 2.160% 3.91% 11/1/35 (b)(d) | 89,788 | 94,832 | |
| 12 month U.S. LIBOR + 2.197% 3.898% 3/1/33 (b)(d) | 1,911 | 2,000 | |
| 6 month U.S. LIBOR + 1.655% 3.692% 4/1/35 (b)(d) | 143,987 | 150,401 | |
| 6 month U.S. LIBOR + 2.755% 4.845% 10/1/35 (b)(d) | 49,434 | 52,393 | |
| U.S. TREASURY 1 YEAR INDEX + 2.248% 3.722% 1/1/35 (b)(d) | 41,695 | 43,853 | |
| 3% 6/1/31 to 1/1/47 | 88,239,167 | 85,663,605 | |
| 3% 7/1/48 (g) | 5,350,000 | 5,176,818 | |
| 3.5% 3/1/32 to 12/1/47 | 124,404,889 | 125,144,954 | |
| 4% 5/1/25 to 5/1/48 | 61,648,271 | 63,303,561 | |
| 4.5% 7/1/25 to 5/1/48 | 36,157,230 | 37,887,302 | |
| 5% 1/1/35 to 6/1/41 | 3,312,127 | 3,547,392 | |
| 5.5% 1/1/38 to 6/1/41 | 5,011,363 | 5,458,099 | |
| 6% 4/1/32 to 8/1/37 | 768,560 | 851,081 | |
| 7.5% 5/1/26 to 11/1/31 | 36,226 | 40,992 | |
| 8% 4/1/27 to 5/1/27 | 2,529 | 2,853 | |
| 8.5% 5/1/27 to 1/1/28 | 5,463 | 6,171 | |
| TOTAL FREDDIE MAC | 328,436,419 | ||
| Ginnie Mae - 6.0% | |||
| 3% 12/20/42 to 11/20/47 | 100,696,815 | 98,766,929 | |
| 3.5% 1/15/41 to 3/20/48 | 125,698,254 | 126,426,380 | |
| 4% 2/15/40 to 7/20/47 | 46,058,691 | 47,483,810 | |
| 4.5% 5/15/39 to 5/20/41 | 13,598,394 | 14,331,802 | |
| 5% 3/15/39 to 4/15/41 | 2,196,512 | 2,360,946 | |
| 6.5% 4/15/35 to 11/15/35 | 78,593 | 88,733 | |
| 7% 1/15/28 to 7/15/32 | 963,301 | 1,089,392 | |
| 7.5% 4/15/22 to 10/15/28 | 220,200 | 245,629 | |
| 8% 3/15/30 to 9/15/30 | 14,277 | 16,811 | |
| 8.5% 3/15/30 | 1,301 | 1,338 | |
| 3.5% 7/1/48 (g) | 5,000,000 | 5,016,684 | |
| 4.5% 7/1/48 (g) | 6,950,000 | 7,222,867 | |
| 4.5% 7/1/48 (g) | 8,900,000 | 9,249,426 | |
| 4.5% 7/1/48 (g) | 300,000 | 311,778 | |
| 4.5% 7/1/48 (g) | 300,000 | 311,778 | |
| 4.5% 7/1/48 (g) | 6,950,000 | 7,222,867 | |
| 4.5% 7/1/48 (g) | 8,900,000 | 9,249,426 | |
| TOTAL GINNIE MAE | 329,396,596 | ||
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
| (Cost $1,390,498,961) | 1,363,919,259 | ||
| Asset-Backed Securities - 0.8% | |||
| AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (a) | $4,652,661 | $4,617,549 | |
| Airspeed Ltd. Series 2007-1A Class C1, 1 month U.S. LIBOR + 2.500% 4.5733% 6/15/32 (a)(b)(d)(h) | 1,714,995 | 1,039,865 | |
| Blackbird Capital Aircraft Series 2016-1A: | |||
| Class A, 4.213% 12/16/41 (a) | 8,957,812 | 8,995,238 | |
| Class AA, 2.487% 12/16/41 (a) | 2,085,271 | 2,029,613 | |
| Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.73% 4/20/20 | 1,741,088 | 1,737,894 | |
| Castlelake Aircraft Structured Trust Series 2018-1 Class A, 0% 6/15/43 (a) | 7,419,000 | 7,453,122 | |
| Countrywide Home Loans, Inc.: | |||
| Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 4.568% 3/25/32 (b)(d) | 11,075 | 11,525 | |
| Series 2004-7 Class AF5, 5.868% 1/25/35 | 272,705 | 274,651 | |
| DB Master Finance LLC: | |||
| Series 2015-1A Class A2II, 3.98% 2/20/45 (a) | 9,968,153 | 9,993,970 | |
| Series 2017-1A: | |||
| Class A2I, 3.629% 11/20/47 (a) | 3,543,195 | 3,461,924 | |
| Class A2II, 4.03% 11/20/47 (a) | 5,997,860 | 5,947,271 | |
| First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.9161% 3/25/34 (b)(d) | 616 | 561 | |
| New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.6011% 9/25/35 (b)(d) | 481,249 | 479,838 | |
| Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 3.3361% 1/25/36 (b)(d) | 520,000 | 522,093 | |
| Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.9511% 9/25/34 (b)(d) | 10,148 | 10,027 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $47,194,674) | 46,575,141 | ||
| Collateralized Mortgage Obligations - 0.2% | |||
| Private Sponsor - 0.0% | |||
| Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 2.6511% 1/25/35 (b)(d) | 119,248 | 119,621 | |
| Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 2.1297% 2/25/37 (b)(d) | 72,798 | 71,721 | |
| Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 2.3811% 7/25/35 (b)(d) | 105,394 | 104,483 | |
| Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.6617% 7/20/34 (b)(d) | 5,249 | 5,200 | |
| TOTAL PRIVATE SPONSOR | 301,025 | ||
| U.S. Government Agency - 0.2% | |||
| Fannie Mae planned amortization class: | |||
| Series 1999-54 Class PH, 6.5% 11/18/29 | 246,046 | 255,722 | |
| Series 1999-57 Class PH, 6.5% 12/25/29 | 275,594 | 303,573 | |
| Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
| sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (i) | 3,440,091 | 3,393,142 | |
| Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 27.6896% 6/16/37 (b)(j) | 27,892 | 44,942 | |
| Series 2015-H21 Class JA, 2.5% 6/20/65 (i) | 3,835,808 | 3,817,008 | |
| TOTAL U.S. GOVERNMENT AGENCY | 7,814,387 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $8,068,000) | 8,115,412 | ||
| Commercial Mortgage Securities - 0.5% | |||
| Bayview Commercial Asset Trust floater: | |||
| Series 2005-4A: | |||
| Class A2, 1 month U.S. LIBOR + 0.390% 2.4811% 1/25/36 (a)(b)(d) | 277,324 | 260,235 | |
| Class M1, 1 month U.S. LIBOR + 0.450% 2.5411% 1/25/36 (a)(b)(d) | 58,026 | 54,089 | |
| Class M2, 1 month U.S. LIBOR + 0.470% 2.5611% 1/25/36 (a)(b)(d) | 17,505 | 16,184 | |
| Class M3, 1 month U.S. LIBOR + 0.500% 2.5911% 1/25/36 (a)(b)(d) | 25,447 | 23,321 | |
| Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 2.3611% 3/25/37 (a)(b)(d) | 73,352 | 68,153 | |
| Series 2007-2A: | |||
| Class A1, 1 month U.S. LIBOR + 0.270% 2.3611% 7/25/37 (a)(b)(d) | 79,094 | 77,793 | |
| Class A2, 1 month U.S. LIBOR + 0.320% 2.4111% 7/25/37 (a)(b)(d) | 74,032 | 72,346 | |
| Class M2, 1 month U.S. LIBOR + 0.410% 2.5011% 7/25/37 (a)(b)(d) | 41,129 | 35,605 | |
| Class M3, 1 month U.S. LIBOR + 0.490% 2.5811% 7/25/37 (a)(b)(d) | 33,226 | 26,336 | |
| Series 2007-3: | |||
| Class A2, 1 month U.S. LIBOR + 0.290% 2.3811% 7/25/37 (a)(b)(d) | 106,997 | 100,070 | |
| Class M1, 1 month U.S. LIBOR + 0.310% 2.4011% 7/25/37 (a)(b)(d) | 43,833 | 40,357 | |
| Class M2, 1 month U.S. LIBOR + 0.340% 2.4311% 7/25/37 (a)(b)(d) | 46,081 | 41,534 | |
| Class M3, 1 month U.S. LIBOR + 0.370% 2.4611% 7/25/37 (a)(b)(d) | 100,703 | 86,945 | |
| Class M4, 1 month U.S. LIBOR + 0.500% 2.5911% 7/25/37 (a)(b)(d) | 159,147 | 133,325 | |
| Class M5, 1 month U.S. LIBOR + 0.600% 2.6911% 7/25/37 (a)(b)(d) | 44,280 | 42,340 | |
| CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (a) | 2,236,000 | 2,227,088 | |
| GAHR Commercial Mortgage Trust Series 2015-NRF: | |||
| Class BFX, 3.4949% 12/15/34 (a)(b) | 4,550,000 | 4,548,546 | |
| Class CFX, 3.4949% 12/15/34 (a)(b) | 3,823,000 | 3,811,058 | |
| Class DFX, 3.4949% 12/15/34 (a)(b) | 3,240,000 | 3,220,828 | |
| MSCG Trust Series 2016-SNR: | |||
| Class A, 3.4596% 11/15/34 (a)(b) | 4,846,556 | 4,765,018 | |
| Class B, 4.181% 11/15/34 (a) | 1,710,864 | 1,679,896 | |
| Class C, 5.205% 11/15/34 (a) | 1,199,387 | 1,194,211 | |
| Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (a) | 4,117,169 | 5,022,946 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $27,133,368) | 27,548,224 | ||
| Municipal Securities - 1.7% | |||
| California Gen. Oblig.: | |||
| Series 2009, 7.35% 11/1/39 | $805,000 | $1,145,893 | |
| 6.65% 3/1/22 | 4,360,000 | 4,820,678 | |
| 7.5% 4/1/34 | 5,055,000 | 7,099,697 | |
| 7.55% 4/1/39 | 6,085,000 | 8,973,184 | |
| Chicago Gen. Oblig. (Taxable Proj.): | |||
| Series 2008 B, 5.63% 1/1/22 | 880,000 | 889,962 | |
| Series 2010 C1, 7.781% 1/1/35 | 10,090,000 | 11,604,913 | |
| Series 2012 B, 5.432% 1/1/42 | 1,205,000 | 1,120,445 | |
| Illinois Gen. Oblig.: | |||
| Series 2003: | |||
| 4.95% 6/1/23 | 4,950,000 | 5,036,378 | |
| 5.1% 6/1/33 | 4,805,000 | 4,547,260 | |
| Series 2010-1, 6.63% 2/1/35 | 12,290,000 | 13,022,607 | |
| Series 2010-3: | |||
| 5.547% 4/1/19 | 120,000 | 121,927 | |
| 6.725% 4/1/35 | 9,480,000 | 10,105,680 | |
| 7.35% 7/1/35 | 5,540,000 | 6,186,019 | |
| Series 2010-5, 6.2% 7/1/21 | 1,808,000 | 1,867,628 | |
| Series 2011, 5.877% 3/1/19 | 14,325,000 | 14,578,839 | |
| Series 2013, 3.14% 12/1/18 | 1,270,000 | 1,269,835 | |
| TOTAL MUNICIPAL SECURITIES | |||
| (Cost $91,751,734) | 92,390,945 | ||
| Bank Notes - 0.7% | |||
| Capital One NA 2.95% 7/23/21 | 5,645,000 | 5,543,876 | |
| Discover Bank: | |||
| (Delaware) 3.2% 8/9/21 | 6,841,000 | 6,762,564 | |
| 3.1% 6/4/20 | 6,380,000 | 6,346,960 | |
| 8.7% 11/18/19 | 1,503,000 | 1,602,178 | |
| KeyBank NA: | |||
| 2.25% 3/16/20 | 9,000,000 | 8,880,121 | |
| 6.95% 2/1/28 | 800,000 | 949,915 | |
| PNC Bank NA 2.3% 6/1/20 | 1,450,000 | 1,427,946 | |
| RBS Citizens NA 2.5% 3/14/19 | 2,751,000 | 2,744,783 | |
| Synchrony Bank 3.65% 5/24/21 | 4,766,000 | 4,768,403 | |
| TOTAL BANK NOTES | |||
| (Cost $39,110,899) | 39,026,746 | ||
| Shares | Value | ||
| Money Market Funds - 1.8% | |||
| Fidelity Cash Central Fund, 1.93% (k) | |||
| (Cost $97,460,989) | 97,449,701 | 97,469,191 | |
| TOTAL INVESTMENT IN SECURITIES - 103.5% | |||
| (Cost $5,792,428,739) | 5,689,719,515 | ||
| NET OTHER ASSETS (LIABILITIES) - (3.5)% | (194,586,086) | ||
| NET ASSETS - 100% | $5,495,133,429 |
| TBA Sale Commitments | ||
| Principal Amount | Value | |
| Fannie Mae | ||
| 3.5% 7/1/33 | $(5,600,000) | $(5,665,773) |
| 4.5% 7/1/48 | (15,100,000) | (15,721,931) |
| 4.5% 7/1/48 | (15,100,000) | (15,721,931) |
| 4.5% 7/1/48 | (34,500,000) | (35,920,969) |
| 4.5% 7/1/48 | (550,000) | (572,653) |
| TOTAL FANNIE MAE | (73,603,257) | |
| Freddie Mac | ||
| 3% 7/1/48 | (5,350,000) | (5,176,818) |
| Ginnie Mae | ||
| 4.5% 7/1/48 | (16,150,000) | (16,784,072) |
| 4.5% 7/1/48 | (300,000) | (311,778) |
| 4.5% 7/1/48 | (6,950,000) | (7,222,867) |
| 4.5% 7/1/48 | (8,900,000) | (9,249,426) |
| TOTAL GINNIE MAE | (33,568,143) | |
| TOTAL TBA SALE COMMITMENTS | ||
| (Proceeds $112,183,369) | $(112,348,218) |
Swaps
| Underlying Reference | Rating(1) | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount(2) | Value(1) | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
| Credit Default Swaps | |||||||||
| Sell Protection | |||||||||
| Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 | C | Dec. 2034 | Bank of America | 4.25% | Monthly | $64,579 | $(61,551) | $0 | $(61,551) |
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.
(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.
Legend
(a) 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 $196,011,105 or 3.6% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Non-income producing - Security is in default.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $91,274.
(f) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $36,108.
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(h) Level 3 security
(i) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(j) 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.
(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $1,134,651 |
| Total | $1,134,651 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Investment Valuation
The following is a summary of the inputs used, as of June 30, 2018, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | ||||
| Corporate Bonds | $1,682,937,192 | $-- | $1,682,937,192 | $-- |
| U.S. Government and Government Agency Obligations | 2,331,737,405 | -- | 2,331,737,405 | -- |
| U.S. Government Agency - Mortgage Securities | 1,363,919,259 | -- | 1,363,919,259 | -- |
| Asset-Backed Securities | 46,575,141 | -- | 45,535,276 | 1,039,865 |
| Collateralized Mortgage Obligations | 8,115,412 | -- | 8,115,412 | -- |
| Commercial Mortgage Securities | 27,548,224 | -- | 27,548,224 | -- |
| Municipal Securities | 92,390,945 | -- | 92,390,945 | -- |
| Bank Notes | 39,026,746 | -- | 39,026,746 | -- |
| Money Market Funds | 97,469,191 | 97,469,191 | -- | -- |
| Total Investments in Securities: | $5,689,719,515 | $97,469,191 | $5,591,210,459 | $1,039,865 |
| Derivative Instruments: | ||||
| Liabilities | ||||
| Swaps | $(61,551) | $-- | $(61,551) | $-- |
| Total Liabilities | $(61,551) | $-- | $(61,551) | $-- |
| Total Derivative Instruments: | $(61,551) | $-- | $(61,551) | $-- |
| Other Financial Instruments: | ||||
| TBA Sale Commitments | $(112,348,218) | $-- | $(112,348,218) | $-- |
| Total Other Financial Instruments: | $(112,348,218) | $-- | $(112,348,218) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2018. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
| Primary Risk Exposure / Derivative Type | Value | |
| Asset | Liability | |
| Credit Risk | ||
| Swaps(a) | $0 | $(61,551) |
| Total Credit Risk | 0 | (61,551) |
| Total Value of Derivatives | $0 | $(61,551) |
(a) For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| June 30, 2018 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $5,694,967,750) | $5,592,250,324 | |
| Fidelity Central Funds (cost $97,460,989) | 97,469,191 | |
| Total Investment in Securities (cost $5,792,428,739) | $5,689,719,515 | |
| Cash | 177,399 | |
| Receivable for investments sold | 65,830,567 | |
| Receivable for TBA sale commitments | 112,183,369 | |
| Interest receivable | 38,734,074 | |
| Distributions receivable from Fidelity Central Funds | 194,928 | |
| Total assets | 5,906,839,852 | |
| Liabilities | ||
| Payable for investments purchased | ||
| Regular delivery | $14,934,411 | |
| Delayed delivery | 218,704,547 | |
| TBA sale commitments, at value | 112,348,218 | |
| Payable for fund shares redeemed | 65,192,313 | |
| Distributions payable | 429,023 | |
| Bi-lateral OTC swaps, at value | 61,551 | |
| Other payables and accrued expenses | 36,360 | |
| Total liabilities | 411,706,423 | |
| Net Assets | $5,495,133,429 | |
| Net Assets consist of: | ||
| Paid in capital | $5,601,899,868 | |
| Undistributed net investment income | 11,340,234 | |
| Accumulated undistributed net realized gain (loss) on investments | (15,171,049) | |
| Net unrealized appreciation (depreciation) on investments | (102,935,624) | |
| Net Assets, for 53,605,550 shares outstanding | $5,495,133,429 | |
| Net Asset Value, offering price and redemption price per share ($5,495,133,429 ÷ 53,605,550 shares) | $102.51 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended June 30, 2018 (Unaudited) | ||
| Investment Income | ||
| Interest | $83,242,194 | |
| Income from Fidelity Central Funds | 1,134,651 | |
| Total income | 84,376,845 | |
| Expenses | ||
| Custodian fees and expenses | $43,872 | |
| Independent trustees' fees and expenses | 12,038 | |
| Total expenses before reductions | 55,910 | |
| Expense reductions | (1,229) | |
| Total expenses after reductions | 54,681 | |
| Net investment income (loss) | 84,322,164 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (7,363,166) | |
| Fidelity Central Funds | 5,477 | |
| Swaps | 370 | |
| Total net realized gain (loss) | (7,357,319) | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (149,057,183) | |
| Fidelity Central Funds | (5,477) | |
| Swaps | 1,075 | |
| Delayed delivery commitments | (168,459) | |
| Total change in net unrealized appreciation (depreciation) | (149,230,044) | |
| Net gain (loss) | (156,587,363) | |
| Net increase (decrease) in net assets resulting from operations | $(72,265,199) |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended June 30, 2018 (Unaudited) | Year ended December 31, 2017 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $84,322,164 | $145,158,781 |
| Net realized gain (loss) | (7,357,319) | 14,111,135 |
| Change in net unrealized appreciation (depreciation) | (149,230,044) | 68,053,550 |
| Net increase (decrease) in net assets resulting from operations | (72,265,199) | 227,323,466 |
| Distributions to shareholders from net investment income | (75,954,637) | (150,350,808) |
| Distributions to shareholders from net realized gain | – | (24,485,599) |
| Total distributions | (75,954,637) | (174,836,407) |
| Share transactions | ||
| Proceeds from sales of shares | 143,572,012 | 633,714,833 |
| Reinvestment of distributions | 76,368,638 | 174,366,683 |
| Cost of shares redeemed | (181,669,624) | (120,993,297) |
| Net increase (decrease) in net assets resulting from share transactions | 38,271,026 | 687,088,219 |
| Total increase (decrease) in net assets | (109,948,810) | 739,575,278 |
| Net Assets | ||
| Beginning of period | 5,605,082,239 | 4,865,506,961 |
| End of period | $5,495,133,429 | $5,605,082,239 |
| Other Information | ||
| Undistributed net investment income end of period | $11,340,234 | $2,972,707 |
| Shares | ||
| Sold | 1,385,636 | 6,036,399 |
| Issued in reinvestment of distributions | 742,078 | 1,661,013 |
| Redeemed | (1,771,248) | (1,149,806) |
| Net increase (decrease) | 356,466 | 6,547,606 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity VIP Investment Grade Central Fund
| Six months ended (Unaudited) June 30, | Years endedDecember 31, | |||||
| 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
| Selected Per–Share Data | ||||||
| Net asset value, beginning of period | $105.26 | $104.18 | $103.71 | $106.70 | $103.29 | $108.89 |
| Income from Investment Operations | ||||||
| Net investment income (loss)A | 1.559 | 2.887 | 3.167 | 3.292 | 3.178 | 2.829 |
| Net realized and unrealized gain (loss) | (2.897) | 1.693 | 1.659 | (3.071) | 3.336 | (4.398) |
| Total from investment operations | (1.338) | 4.580 | 4.826 | .221 | 6.514 | (1.569) |
| Distributions from net investment income | (1.412) | (2.985) | (3.096) | (3.137) | (3.104) | (2.826) |
| Distributions from net realized gain | – | (.515) | (1.260) | (.074) | – | (1.205) |
| Total distributions | (1.412) | (3.500) | (4.356) | (3.211) | (3.104) | (4.031) |
| Net asset value, end of period | $102.51 | $105.26 | $104.18 | $103.71 | $106.70 | $103.29 |
| Total ReturnB,C | (1.27)% | 4.46% | 4.70% | .18% | 6.37% | (1.46)% |
| Ratios to Average Net AssetsD,E | ||||||
| Expenses before reductionsF | - %G | -% | -% | -% | -% | -% |
| Expenses net of fee waivers, if anyF | - %G | -% | -% | -% | -% | -% |
| Expenses net of all reductionsF | - %G | -% | -% | -% | -% | -% |
| Net investment income (loss) | 3.06%G | 2.75% | 3.00% | 3.11% | 3.01% | 2.68% |
| Supplemental Data | ||||||
| Net assets, end of period (000 omitted) | $5,495,133 | $5,605,082 | $4,865,507 | $4,611,536 | $4,393,843 | $3,945,749 |
| Portfolio turnover rateH | 95%G | 110% | 162% | 248% | 151% | 333% |
A Calculated based on average shares outstanding during the period.
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F Amount represents less than .005%.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended June 30, 2018
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. 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). 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.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities, and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities, and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Brokers which make markets in asset backed securities, collateralized mortgage obligations and commercial mortgage securities may also consider such factors as the structure of the issue, cash flow assumptions, the value of underlying assets as well as any guarantees. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of June 30, 2018 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, market discount, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $29,608,294 |
| Gross unrealized depreciation | (132,529,438) |
| Net unrealized appreciation (depreciation) | $(102,921,144) |
| Tax cost | $5,792,414,259 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
| No expiration | |
| Short-term | $(7,002,906) |
| Total no expiration | $(7,002,906) |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
New Accounting Pronouncement. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
| Credit Risk | ||
| Swaps | $370 | $1,075 |
| Total Credit Risk | $370 | $1,075 |
A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $278,394,944 and $275,064,547, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (the investment adviser), 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 the investment adviser, FMR pays the investment adviser 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 miscellaneous expenses such as proxy and shareholder meeting expenses.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
7. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $490.
8. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1,229.
9. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, mutual funds managed by FMR or its affiliates 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 | 6.6% |
| VIP Asset Manager: Growth Portfolio | 0.7% |
| VIP Balanced Portfolio | 22.5% |
| VIP Investment Grade Bond Portfolio | 70.2% |
10. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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, 2018 to June 30, 2018).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| Annualized Expense Ratio-A | Beginning Account Value January 1, 2018 | Ending Account Value June 30, 2018 | Expenses Paid During Period-B January 1, 2018 to June 30, 2018 |
|
| Actual | .0020% | $1,000.00 | $987.30 | $.01 |
| Hypothetical-C | $1,000.00 | $1,024.78 | $.01 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B 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).
C 5% return per year before expenses
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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 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.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
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/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | August 23, 2018 |
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/Laura M. Del Prato |
Laura M. Del Prato | |
President and Treasurer | |
Date: | August 23, 2018 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | August 23, 2018 |