N-Q 1 gar.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

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:

September 30, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Investment Grade Central Fund

September 30, 2010 

1.837325.104

VIGC-QTLY-1110

Investments September 30, 2010 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.9%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 2.0%

Household Durables - 0.2%

Fortune Brands, Inc.:

5.375% 1/15/16

$ 2,100,000

$ 2,303,045

5.875% 1/15/36

5,329,000

5,402,402

 

7,705,447

Media - 1.8%

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

1,625,000

2,014,282

Comcast Corp.:

4.95% 6/15/16

2,975,000

3,317,693

5.5% 3/15/11

2,675,000

2,732,496

5.7% 5/15/18

2,400,000

2,746,747

6.4% 3/1/40

2,884,000

3,205,635

6.45% 3/15/37

1,410,000

1,565,916

COX Communications, Inc. 4.625% 6/1/13

3,475,000

3,748,993

Discovery Communications LLC:

3.7% 6/1/15

2,648,000

2,807,118

6.35% 6/1/40

2,421,000

2,704,744

NBC Universal, Inc.:

3.65% 4/30/15 (c)

1,200,000

1,267,201

5.15% 4/30/20 (c)

3,234,000

3,492,481

6.4% 4/30/40 (c)

3,340,000

3,636,665

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

1,905,000

2,385,729

News America, Inc.:

6.15% 3/1/37

1,745,000

1,878,931

6.2% 12/15/34

5,840,000

6,308,800

Time Warner Cable, Inc.:

5.85% 5/1/17

2,467,000

2,812,597

6.2% 7/1/13

7,000,000

7,886,459

6.75% 7/1/18

4,425,000

5,276,764

Time Warner, Inc.:

5.875% 11/15/16

5,514,000

6,423,077

6.5% 11/15/36

2,337,000

2,620,139

Viacom, Inc.:

6.125% 10/5/17

1,312,000

1,532,251

6.75% 10/5/37

935,000

1,089,595

 

71,454,313

TOTAL CONSUMER DISCRETIONARY

79,159,760

CONSUMER STAPLES - 1.2%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc.:

7.2% 1/15/14 (c)

3,000,000

3,496,416

7.75% 1/15/19 (c)

3,200,000

4,151,078

 

 

Principal Amount

Value

Diageo Capital PLC 5.2% 1/30/13

$ 1,705,000

$ 1,858,302

FBG Finance Ltd. 5.125% 6/15/15 (c)

2,185,000

2,411,993

 

11,917,789

Food & Staples Retailing - 0.1%

CVS Caremark Corp. 6.302% 6/1/37 (j)

4,326,000

4,001,550

Food Products - 0.4%

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

3,528,000

4,038,727

Kraft Foods, Inc.:

5.375% 2/10/20

4,086,000

4,564,262

6.125% 2/1/18

3,684,000

4,343,454

6.5% 8/11/17

3,514,000

4,210,317

 

17,156,760

Tobacco - 0.4%

Altria Group, Inc. 9.7% 11/10/18

4,450,000

6,023,529

Philip Morris International, Inc.:

4.875% 5/16/13

2,904,000

3,188,621

5.65% 5/16/18

2,751,000

3,220,887

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

3,085,000

3,238,763

 

15,671,800

TOTAL CONSUMER STAPLES

48,747,899

ENERGY - 2.8%

Energy Equipment & Services - 0.2%

DCP Midstream LLC 5.35% 3/15/20 (c)

3,724,000

4,028,094

Weatherford International Ltd.:

5.125% 9/15/20

1,580,000

1,615,202

7% 3/15/38

2,250,000

2,390,040

 

8,033,336

Oil, Gas & Consumable Fuels - 2.6%

Anadarko Petroleum Corp. 6.375% 9/15/17

3,512,000

3,870,157

Apache Corp. 5.1% 9/1/40

3,242,000

3,261,617

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

5,685,000

6,540,604

Cenovus Energy, Inc. 6.75% 11/15/39

907,000

1,094,775

ConocoPhillips 5.75% 2/1/19

3,900,000

4,678,140

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

3,000,000

3,173,751

Duke Capital LLC 6.25% 2/15/13

855,000

930,732

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

2,477,000

2,695,469

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

3,330,000

3,665,847

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

320,000

363,256

Kaneb Pipe Line Operations Participation LP 7.75% 2/15/12

4,200,000

4,527,226

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Motiva Enterprises LLC:

5.75% 1/15/20 (c)

$ 1,496,000

$ 1,711,029

6.85% 1/15/40 (c)

5,616,000

6,730,989

Nakilat, Inc. 6.067% 12/31/33 (c)

4,015,000

4,416,500

Nexen, Inc.:

5.875% 3/10/35

5,405,000

5,514,267

6.4% 5/15/37

2,125,000

2,314,977

NGPL PipeCo LLC 6.514% 12/15/12 (c)

1,980,000

2,105,780

Pemex Project Funding Master Trust 0.8956% 12/3/12 (c)(j)

410,000

406,925

Petro-Canada:

6.05% 5/15/18

1,480,000

1,722,779

6.8% 5/15/38

3,485,000

4,129,896

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

2,320,000

2,568,344

6.875% 1/20/40

6,213,000

7,051,755

7.875% 3/15/19

4,277,000

5,350,741

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

2,158,000

2,264,694

6.125% 1/15/17

1,250,000

1,396,950

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (c)

2,009,000

2,112,142

5.5% 9/30/14 (c)

2,808,000

3,078,733

5.832% 9/30/16 (c)

2,118,975

2,314,514

6.332% 9/30/27 (c)

2,415,000

2,743,706

6.75% 9/30/19 (c)

1,838,000

2,196,597

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

4,665,000

5,459,813

TransCanada PipeLines Ltd. 3.4% 6/1/15

1,009,000

1,079,371

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

615,000

719,068

 

102,191,144

TOTAL ENERGY

110,224,480

FINANCIALS - 12.5%

Capital Markets - 2.5%

Bear Stearns Companies, Inc.:

5.3% 10/30/15

4,375,000

4,882,951

6.95% 8/10/12

2,070,000

2,288,095

BlackRock, Inc. 6.25% 9/15/17

1,507,000

1,802,068

Goldman Sachs Group, Inc.:

3.7% 8/1/15

5,186,000

5,308,187

5.625% 1/15/17

3,000,000

3,178,011

5.95% 1/18/18

755,000

829,238

 

 

Principal Amount

Value

6.15% 4/1/18

$ 5,954,000

$ 6,604,242

6.75% 10/1/37

3,421,000

3,555,873

Janus Capital Group, Inc.:

6.125% 9/15/11 (b)

2,071,000

2,094,063

6.5% 6/15/12

6,054,000

6,350,561

JPMorgan Chase Capital XX 6.55% 9/29/36

3,090,000

3,132,475

JPMorgan Chase Capital XXV 6.8% 10/1/37

6,975,000

7,087,723

Lazard Group LLC:

6.85% 6/15/17

3,241,000

3,471,267

7.125% 5/15/15

5,585,000

6,095,262

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

1,820,000

1,954,747

6.4% 8/28/17

1,989,000

2,176,684

6.875% 4/25/18

1,676,000

1,879,962

Morgan Stanley:

4% 7/24/15

11,995,000

12,229,898

4.75% 4/1/14

1,500,000

1,567,056

5.45% 1/9/17

900,000

949,508

5.95% 12/28/17

2,100,000

2,255,770

6% 5/13/14

3,380,000

3,711,946

6.625% 4/1/18

10,165,000

11,269,478

7.3% 5/13/19

3,590,000

4,129,150

UBS AG Stamford Branch 5.75% 4/25/18

1,220,000

1,377,287

 

100,181,502

Commercial Banks - 2.4%

Bank of America NA 5.3% 3/15/17

6,480,000

6,671,257

Barclays Bank PLC 5% 9/22/16

3,110,000

3,404,505

Comerica, Inc. 3% 9/16/15

436,000

441,480

Credit Suisse (Guernsey) Ltd. 5.86% (j)

4,785,000

4,548,741

Credit Suisse New York Branch:

5% 5/15/13

2,403,000

2,618,395

6% 2/15/18

6,110,000

6,747,676

DBS Bank Ltd. (Singapore) 0.5963% 5/16/17 (c)(j)

280,110

272,427

Discover Bank:

7% 4/15/20

1,891,000

2,057,143

8.7% 11/18/19

6,339,000

7,479,728

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

6,570,000

7,027,535

Fifth Third Bancorp:

4.5% 6/1/18

939,000

928,831

8.25% 3/1/38

4,319,000

5,135,019

Fifth Third Capital Trust IV 6.5% 4/15/67 (j)

1,157,000

1,103,489

HBOS PLC 6.75% 5/21/18 (c)

2,600,000

2,612,158

HSBC Holdings PLC 0.7336% 10/6/16 (j)

399,000

381,806

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

KeyBank NA:

5.8% 7/1/14

$ 2,049,000

$ 2,234,771

6.95% 2/1/28

800,000

842,966

KeyBank NA, Cleveland 5.45% 3/3/16

1,618,000

1,735,506

Korea Development Bank 5.3% 1/17/13

3,805,000

4,062,804

Manufacturers & Traders Trust Co. 2.033% 4/1/13 (c)(j)

269,000

266,085

Marshall & Ilsley Bank:

4.85% 6/16/15

1,796,000

1,745,335

5% 1/17/17

2,321,000

2,212,565

5.25% 9/4/12

1,200,000

1,219,192

PNC Funding Corp. 3.625% 2/8/15

1,165,000

1,230,209

Regions Bank:

6.45% 6/26/37

3,112,000

2,816,864

7.5% 5/15/18

2,044,000

2,153,616

Regions Financial Corp.:

5.75% 6/15/15

814,000

828,387

7.75% 11/10/14

2,367,000

2,564,884

SouthTrust Corp. 5.8% 6/15/14

1,440,000

1,579,730

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

957,000

1,069,721

SVB Financial Group 5.375% 9/15/20

1,946,000

1,976,683

Wachovia Bank NA 4.875% 2/1/15

4,405,000

4,772,919

Wachovia Corp. 4.875% 2/15/14

785,000

839,017

Wells Fargo & Co.:

3.625% 4/15/15

4,064,000

4,311,099

3.75% 10/1/14

3,750,000

3,975,109

 

93,867,652

Consumer Finance - 0.8%

American Honda Finance Corp. 3.875% 9/21/20 (c)

1,484,000

1,503,466

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

432,000

552,124

Capital One Financial Corp. 5.7% 9/15/11

1,991,000

2,075,066

General Electric Capital Corp.:

3.5% 6/29/15

1,573,000

1,646,442

5.625% 9/15/17

2,420,000

2,703,459

5.625% 5/1/18

9,700,000

10,766,767

5.875% 1/14/38

3,600,000

3,656,232

5.9% 5/13/14

2,597,000

2,942,339

6.375% 11/15/67 (j)

4,000,000

3,990,000

 

29,835,895

Diversified Financial Services - 1.6%

BP Capital Markets PLC 3.125% 10/1/15

3,694,000

3,715,108

 

 

Principal Amount

Value

Capital One Capital V 10.25% 8/15/39

$ 1,378,000

$ 1,491,685

Citigroup, Inc.:

4.75% 5/19/15

10,152,000

10,685,274

5.375% 8/9/20

3,993,000

4,131,286

5.5% 4/11/13

1,390,000

1,491,583

6.125% 5/15/18

6,240,000

6,807,915

6.5% 8/19/13

8,073,000

8,920,156

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

4,750,000

4,607,500

JPMorgan Chase & Co.:

3.4% 6/24/15

19,000

19,733

6.3% 4/23/19

3,920,000

4,542,735

Prime Property Funding, Inc.:

5.125% 6/1/15 (c)

3,375,000

3,309,642

5.35% 4/15/12 (c)

1,700,000

1,743,362

5.5% 1/15/14 (c)

2,405,000

2,437,116

Teachers Insurance & Annuity Association of America 6.85% 12/16/39 (c)

764,000

940,162

TECO Finance, Inc.:

4% 3/15/16

1,075,000

1,120,373

5.15% 3/15/20

1,545,000

1,690,060

7% 5/1/12

799,000

866,783

ZFS Finance USA Trust II 6.45% 12/15/65 (c)(j)

3,716,000

3,530,200

ZFS Finance USA Trust IV 5.875% 5/9/62 (c)(j)

500,000

469,120

ZFS Finance USA Trust V 6.5% 5/9/67 (c)(j)

1,016,000

944,880

 

63,464,673

Insurance - 1.9%

Allstate Corp. 6.2% 5/16/14

2,709,000

3,162,763

American International Group, Inc. 8.175% 5/15/68 (j)

3,075,000

3,075,000

Aon Corp.:

3.5% 9/30/15

1,538,000

1,567,599

5% 9/30/20

1,792,000

1,830,017

6.25% 9/30/40

1,150,000

1,191,283

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

420,000

447,859

Lincoln National Corp. 7% 5/17/66 (j)

4,799,000

4,511,060

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

2,805,000

3,833,204

MetLife, Inc.:

2.375% 2/6/14

2,161,000

2,184,376

4.75% 2/8/21

1,477,000

1,566,955

5.875% 2/6/41

1,140,000

1,239,991

6.75% 6/1/16

3,234,000

3,860,844

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

2,884,000

3,200,559

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

6,045,000

6,548,301

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Insurance - continued

New York Life Insurance Co. 6.75% 11/15/39 (c)

$ 1,348,000

$ 1,662,789

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

2,060,000

2,392,303

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

3,690,000

3,985,853

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

3,100,000

3,917,262

Pacific LifeCorp 6% 2/10/20 (c)

2,514,000

2,710,688

Prudential Financial, Inc.:

5.4% 6/13/35

1,651,000

1,594,131

5.5% 3/15/16

1,552,000

1,696,440

6.2% 1/15/15

460,000

518,312

7.375% 6/15/19

1,250,000

1,522,688

8.875% 6/15/38 (j)

4,682,000

5,220,430

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

6,355,000

6,578,632

The Chubb Corp. 5.75% 5/15/18

1,895,000

2,193,040

Unum Group 5.625% 9/15/20

2,099,000

2,156,191

 

74,368,570

Real Estate Investment Trusts - 0.7%

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

508,000

533,322

Camden Property Trust 5.375% 12/15/13

2,985,000

3,239,600

Developers Diversified Realty Corp.:

5.25% 4/15/11

2,713,000

2,740,130

5.375% 10/15/12

1,252,000

1,255,884

7.5% 4/1/17

1,944,000

2,020,500

Duke Realty LP 4.625% 5/15/13

1,047,000

1,089,294

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

2,405,000

2,484,033

Federal Realty Investment Trust:

5.4% 12/1/13

1,401,000

1,524,648

5.9% 4/1/20

1,046,000

1,163,195

HRPT Properties Trust:

5.75% 11/1/15

670,000

708,215

6.25% 6/15/17

4,455,000

4,674,551

UDR, Inc. 5.5% 4/1/14

3,685,000

3,955,796

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

904,000

962,811

Washington (REIT) 5.95% 6/15/11

3,042,000

3,123,626

 

29,475,605

Real Estate Management & Development - 1.9%

AMB Property LP 5.9% 8/15/13

2,575,000

2,750,082

BioMed Realty LP 6.125% 4/15/20 (c)

1,392,000

1,514,851

Brandywine Operating Partnership LP:

5.625% 12/15/10

2,307,000

2,322,976

 

 

Principal Amount

Value

5.7% 5/1/17

$ 5,000,000

$ 5,064,490

5.75% 4/1/12

1,376,000

1,426,796

Colonial Properties Trust:

4.8% 4/1/11

273,000

271,155

5.5% 10/1/15

6,290,000

6,195,644

Digital Realty Trust LP 4.5% 7/15/15 (c)

1,829,000

1,889,116

Duke Realty LP:

5.4% 8/15/14

2,242,000

2,376,471

5.5% 3/1/16

1,270,000

1,343,087

5.625% 8/15/11

3,781,000

3,861,550

5.95% 2/15/17

928,000

995,974

6.25% 5/15/13

2,888,000

3,112,021

6.5% 1/15/18

2,445,000

2,685,913

ERP Operating LP:

4.75% 7/15/20

2,550,000

2,652,729

5.375% 8/1/16

1,066,000

1,177,315

5.5% 10/1/12

3,548,000

3,834,112

5.75% 6/15/17

4,365,000

4,916,051

Liberty Property LP:

4.75% 10/1/20

4,185,000

4,214,626

5.5% 12/15/16

2,290,000

2,498,294

6.625% 10/1/17

2,673,000

3,061,587

Post Apartment Homes LP 6.3% 6/1/13

2,679,000

2,889,872

Reckson Operating Partnership LP:

5.15% 1/15/11

810,000

811,179

6% 3/31/16

3,099,000

3,056,395

Regency Centers LP:

5.875% 6/15/17

1,815,000

1,971,141

6.75% 1/15/12

2,035,000

2,133,897

Simon Property Group LP:

4.2% 2/1/15

1,523,000

1,634,870

5.1% 6/15/15

2,220,000

2,463,696

6.75% 2/1/40

592,000

698,099

Tanger Properties LP 6.125% 6/1/20

1,657,000

1,808,889

 

75,632,878

Thrifts & Mortgage Finance - 0.7%

Bank of America Corp.:

3.7% 9/1/15

185,000

186,987

5.625% 7/1/20

12,165,000

12,854,743

5.65% 5/1/18

4,438,000

4,702,083

6.5% 8/1/16

3,000,000

3,374,856

First Niagara Financial Group, Inc. 6.75% 3/19/20

3,095,000

3,415,840

Independence Community Bank Corp. 2.353% 4/1/14 (j)

4,690,000

4,516,484

 

29,050,993

TOTAL FINANCIALS

495,877,768

Nonconvertible Bonds - continued

 

Principal Amount

Value

HEALTH CARE - 0.2%

Health Care Providers & Services - 0.2%

Express Scripts, Inc.:

5.25% 6/15/12

$ 3,016,000

$ 3,219,824

6.25% 6/15/14

1,108,000

1,272,525

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

2,723,000

2,757,318

 

7,249,667

INDUSTRIALS - 0.9%

Airlines - 0.6%

American Airlines, Inc. pass-thru trust certificates 6.978% 10/1/12

165,440

166,466

Continental Airlines, Inc.:

6.648% 3/15/19

1,468,210

1,519,597

6.795% 2/2/20

2,733,498

2,699,329

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

6.821% 8/10/22

2,486,428

2,598,318

7.57% 11/18/10

5,885,000

5,920,310

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

2,913,556

2,942,692

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,290,625

1,239,000

8.36% 7/20/20

4,631,669

4,654,828

 

21,740,540

Industrial Conglomerates - 0.3%

General Electric Co. 5.25% 12/6/17

7,130,000

8,024,815

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

3,600,000

3,622,784

 

11,647,599

TOTAL INDUSTRIALS

33,388,139

MATERIALS - 0.8%

Chemicals - 0.3%

Dow Chemical Co.:

4.85% 8/15/12

3,520,000

3,725,040

7.6% 5/15/14

7,213,000

8,427,806

 

12,152,846

Metals & Mining - 0.5%

Anglo American Capital PLC:

4.45% 9/27/20 (c)

935,000

957,794

9.375% 4/8/14 (c)

2,675,000

3,294,113

Rio Tinto Finance (USA) Ltd.:

5.875% 7/15/13

7,725,000

8,610,718

6.5% 7/15/18

430,000

518,478

 

 

Principal Amount

Value

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

$ 1,771,000

$ 1,571,763

Vale Overseas Ltd. 6.25% 1/23/17

3,115,000

3,565,255

 

18,518,121

TOTAL MATERIALS

30,670,967

TELECOMMUNICATION SERVICES - 1.7%

Diversified Telecommunication Services - 1.2%

AT&T, Inc.:

6.3% 1/15/38

364,000

411,013

6.8% 5/15/36

10,939,000

12,981,180

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

526,000

656,181

CenturyTel, Inc. 7.6% 9/15/39

2,898,000

2,834,850

Sprint Capital Corp. 6.875% 11/15/28

7,050,000

6,450,750

Telecom Italia Capital SA:

4.95% 9/30/14

2,000,000

2,130,000

5.25% 10/1/15

192,000

207,258

6.999% 6/4/18

3,792,000

4,355,438

7.2% 7/18/36

3,523,000

3,787,331

Telefonica Emisiones SAU:

5.855% 2/4/13

1,438,000

1,569,252

6.221% 7/3/17

2,885,000

3,368,059

Verizon Communications, Inc.:

6.1% 4/15/18

2,190,000

2,603,958

6.25% 4/1/37

1,380,000

1,559,056

6.4% 2/15/38

2,548,000

2,946,145

6.9% 4/15/38

2,420,000

2,941,099

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

1,095,000

1,181,032

 

49,982,602

Wireless Telecommunication Services - 0.5%

AT&T Wireless Services, Inc.:

7.875% 3/1/11

740,000

762,090

8.125% 5/1/12

1,130,000

1,255,307

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

3,759,000

4,106,587

5.875% 10/1/19

4,711,000

5,346,156

6.35% 3/15/40

1,471,000

1,591,100

Sprint Nextel Corp. 6% 12/1/16

2,260,000

2,231,750

Vodafone Group PLC 5% 12/16/13

2,775,000

3,050,988

 

18,343,978

TOTAL TELECOMMUNICATION SERVICES

68,326,580

UTILITIES - 2.8%

Electric Utilities - 1.3%

Alabama Power Co. 3.375% 10/1/20

2,167,000

2,173,573

AmerenUE 6.4% 6/15/17

3,819,000

4,494,822

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

Commonwealth Edison Co. 5.4% 12/15/11

$ 1,925,000

$ 2,023,679

Duquesne Light Holdings, Inc. 6.4% 9/15/20 (c)

5,907,000

6,007,023

Edison International 3.75% 9/15/17

2,401,000

2,462,278

EDP Finance BV:

4.9% 10/1/19 (c)

1,100,000

1,051,501

6% 2/2/18 (c)

2,864,000

2,945,822

FirstEnergy Corp. 7.375% 11/15/31

752,000

816,902

FirstEnergy Solutions Corp.:

4.8% 2/15/15

990,000

1,064,401

6.05% 8/15/21

2,354,000

2,514,444

Illinois Power Co. 6.125% 11/15/17

1,465,000

1,683,405

Nevada Power Co.:

5.375% 9/15/40

676,000

697,178

6.5% 5/15/18

3,165,000

3,813,486

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

1,885,000

2,052,959

Pennsylvania Electric Co. 6.05% 9/1/17

2,905,000

3,295,028

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

2,535,000

2,540,881

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

6,230,000

5,918,500

Progress Energy, Inc.:

5.625% 1/15/16

2,000,000

2,291,172

7.1% 3/1/11

3,932,000

4,030,119

 

51,877,173

Gas Utilities - 0.0%

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

185,000

186,815

Independent Power Producers & Energy Traders - 0.3%

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

6,685,000

7,836,571

PPL Energy Supply LLC:

6.2% 5/15/16

1,229,000

1,400,025

6.5% 5/1/18

2,640,000

3,054,541

 

12,291,137

Multi-Utilities - 1.2%

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

1,395,000

1,570,915

Dominion Resources, Inc.:

4.75% 12/15/10

3,540,000

3,568,823

6.25% 6/30/12

1,938,000

2,112,011

6.3% 9/30/66 (j)

9,626,000

9,096,570

DTE Energy Co. 7.05% 6/1/11

3,500,000

3,641,078

 

 

Principal Amount

Value

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

$ 619,000

$ 720,282

5.875% 10/1/12

2,880,000

3,124,918

6.5% 9/15/37

1,334,000

1,601,419

National Grid PLC 6.3% 8/1/16

4,181,000

4,937,314

NiSource Finance Corp.:

5.4% 7/15/14

3,885,000

4,324,502

5.45% 9/15/20

613,000

664,395

6.4% 3/15/18

2,760,000

3,200,902

7.875% 11/15/10

925,000

931,397

San Diego Gas & Electric Co. 4.5% 8/15/40

2,998,000

2,954,223

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

2,740,000

2,616,700

WPS Resources Corp. 6.11% 12/1/66 (j)

1,299,000

1,195,080

 

46,260,529

TOTAL UTILITIES

110,615,654

TOTAL NONCONVERTIBLE BONDS

(Cost $901,027,040)

 984,260,914

U.S. Government and Government Agency Obligations - 32.4%

 

U.S. Government Agency Obligations - 2.1%

Fannie Mae:

0.625% 9/24/12

5,310,000

5,322,362

1% 4/4/12

10,285,000

10,369,553

1% 9/23/13

1,750,000

1,756,939

1.25% 6/22/12

9,298,000

9,417,600

1.25% 8/20/13

5,207,000

5,267,922

1.75% 2/22/13

20,000,000

20,508,960

2.5% 5/15/14

1,734,000

1,819,864

2.75% 3/13/14

2,460,000

2,605,376

5% 2/16/12

2,860,000

3,037,606

Federal Home Loan Bank:

1.625% 11/21/12

7,625,000

7,790,790

1.625% 3/20/13

4,450,000

4,551,536

Freddie Mac:

1.125% 7/27/12

870,000

880,090

1.75% 6/15/12

7,375,000

7,533,673

2.125% 3/23/12

204,000

209,010

Tennessee Valley Authority 5.375% 4/1/56

2,375,000

2,854,555

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

250,000

251,967

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

84,177,803

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Treasury Inflation Protected Obligations - 3.7%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40 (g)

$ 29,004,476

$ 32,200,673

2.5% 1/15/29

8,123,360

9,532,335

U.S. Treasury Inflation-Indexed Notes

 

1.375% 1/15/20

99,573,928

105,843,563

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

147,576,571

U.S. Treasury Obligations - 26.1%

U.S. Treasury Bonds:

3.875% 8/15/40

101,415,000

104,821,936

4.375% 11/15/39

26,390,000

29,598,021

U.S. Treasury Notes:

1.75% 3/31/14

90,282,000

93,223,207

1.875% 6/30/15

37,810,000

38,970,880

2.25% 1/31/15

42,293,000

44,394,455

2.375% 8/31/14

115,000,000

121,360,880

2.375% 9/30/14

60,000,000

63,342,180

2.375% 2/28/15

39,150,000

41,300,118

2.5% 4/30/15

40,000,000

42,412,480

2.625% 7/31/14 (g)

265,000,000

282,142,308

2.625% 12/31/14

160,570,000

171,119,931

TOTAL U.S. TREASURY OBLIGATIONS

1,032,686,396

Other Government Related - 0.5%

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

18,220,000

18,727,536

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,217,635,404)

  1,283,168,306

U.S. Government Agency - Mortgage Securities - 26.8%

 

Fannie Mae - 21.9%

1.819% 5/1/34 (j)

1,481,250

1,516,070

2.004% 10/1/33 (j)

52,941

54,784

2.019% 9/1/33 (j)

745,182

762,458

2.071% 7/1/35 (j)

1,494,539

1,555,594

2.073% 1/1/35 (j)

1,731,780

1,793,830

2.099% 3/1/35 (j)

20,218

20,984

2.196% 7/1/35 (j)

49,726

51,388

2.468% 10/1/33 (j)

1,286,277

1,338,574

2.522% 7/1/35 (j)

537,522

562,729

2.532% 7/1/34 (j)

62,183

64,834

2.566% 6/1/36 (j)

124,875

130,905

 

 

Principal Amount

Value

2.577% 2/1/35 (j)

$ 3,147,515

$ 3,301,666

2.582% 3/1/35 (j)

66,195

69,463

2.62% 8/1/36 (j)

2,201,826

2,323,109

2.622% 7/1/34 (j)

2,347,545

2,454,926

2.659% 8/1/35 (j)

575,849

602,823

2.666% 6/1/34 (j)

603,274

633,756

2.687% 2/1/35 (j)

4,024,430

4,207,484

2.749% 5/1/36 (j)

489,140

516,097

2.758% 10/1/35 (j)

942,851

987,691

2.764% 9/1/34 (j)

922,475

964,900

2.795% 10/1/33 (j)

110,995

116,829

2.803% 11/1/36 (j)

1,543,621

1,625,977

2.856% 5/1/35 (j)

283,849

300,155

2.977% 9/1/36 (j)

1,227,777

1,299,909

3.031% 7/1/35 (j)

140,875

147,565

3.034% 2/1/34 (j)

34,587

36,361

3.06% 4/1/36 (j)

2,337,564

2,464,683

3.261% 10/1/37 (j)

51,334

53,805

3.289% 9/1/35 (j)

2,478,863

2,603,349

3.466% 7/1/37 (j)

306,782

323,048

3.5% 10/1/25 (e)(f)

5,000,000

5,159,537

3.5% 10/1/25 (e)(f)

5,000,000

5,159,537

3.5% 10/1/25 (e)(f)

19,000,000

19,606,241

3.5% 11/1/25 (e)

10,000,000

10,287,043

3.5% 11/1/25 (e)

19,000,000

19,545,382

4% 8/1/18 to 10/1/40

27,644,726

28,516,336

4% 10/1/25 (e)

25,000,000

26,099,688

4% 10/1/25 (e)

9,000,000

9,395,888

4% 10/1/25 (e)

9,000,000

9,395,888

4% 10/1/40 (e)(f)

16,000,000

16,449,126

4.5% 1/1/25 to 9/1/40

54,858,315

57,536,216

4.5% 10/1/25 (e)

10,300,000

10,834,826

4.5% 10/1/40 (e)(f)

42,000,000

43,748,964

4.5% 10/1/40 (e)

1,000,000

1,041,642

4.5% 10/1/40 (e)

1,000,000

1,041,642

4.5% 11/1/40 (e)

45,100,000

46,884,684

5% 2/1/18 to 9/1/40

88,702,502

94,134,615

5% 10/1/25 (e)

8,000,000

8,485,141

5% 10/1/40 (e)(f)

60,000,000

63,173,412

5.214% 12/1/35 (j)

705,255

740,788

5.304% 2/1/36 (j)

1,628,943

1,712,332

5.5% 4/1/16 to 3/1/40

189,499,417

203,020,696

5.5% 4/1/34

308,673

331,205

5.5% 9/1/40 (e)(f)

5,000,000

5,323,376

5.5% 9/1/40 (e)(f)

600,000

638,805

5.5% 10/1/40 (e)(f)

2,400,000

2,551,002

5.539% 9/1/35 (j)

540,771

572,625

6% 6/1/14 to 7/1/38

65,493,087

71,364,768

6% 10/1/40 (e)

8,000,000

8,591,896

6% 10/1/40 (e)(f)

8,800,000

9,451,086

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

6% 10/1/40 (e)(f)

$ 7,500,000

$ 8,054,903

6.5% 6/1/11 to 9/1/38

26,431,036

29,303,373

6.5% 10/1/40 (e)(f)

9,600,000

10,472,250

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

2,114,201

2,353,116

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

1,735,820

1,972,563

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

56,856

65,402

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

886

1,026

TOTAL FANNIE MAE

865,902,766

Freddie Mac - 1.9%

2.093% 4/1/35 (j)

937,634

974,299

2.624% 1/1/35 (j)

287,389

301,877

2.665% 6/1/35 (j)

207,524

218,129

2.911% 3/1/36 (j)

296,955

308,769

3.063% 1/1/35 (j)

948,631

994,588

3.507% 3/1/33 (j)

19,310

20,434

4% 10/1/25 (e)

1,750,000

1,826,431

4.5% 7/1/25 to 5/1/40

6,963,494

7,325,151

5% 9/1/39 to 9/1/40

28,320,171

29,937,229

5.183% 10/1/35 (j)

171,250

181,338

5.336% 1/1/36 (j)

862,461

895,696

5.39% 11/1/35 (j)

499,324

528,132

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

4,916,658

5,415,109

6% 10/1/40 (e)

10,500,000

11,260,457

6.5% 10/1/37 to 1/1/39

11,666,061

12,714,491

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

174,145

198,982

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

28,788

32,794

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

141,921

163,385

TOTAL FREDDIE MAC

73,297,291

Ginnie Mae - 3.0%

4% 2/15/40

1,971,496

2,044,858

4% 10/1/40 (e)

12,000,000

12,399,374

4% 10/1/40 (e)

15,000,000

15,510,119

4.5% 5/15/39 to 9/20/40

50,174,470

53,014,152

4.5% 10/1/40 (e)

11,000,000

11,591,250

4.5% 10/1/40 (e)(f)

1,000,000

1,052,580

4.5% 10/1/40 (e)(f)

1,000,000

1,052,580

4.5% 10/1/40 (e)(f)

2,000,000

2,105,159

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

7,652,574

8,396,955

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

7,233,544

8,068,384

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

3,406,649

3,798,329

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

893,766

1,019,816

 

 

Principal Amount

Value

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

$ 97,927

$ 112,547

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

19,636

22,351

TOTAL GINNIE MAE

120,188,454

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,039,488,537)

  1,059,388,511

Asset-Backed Securities - 2.7%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7263% 4/25/35 (j)

642,067

365,887

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M1, 1.0063% 3/25/34 (j)

27,936

26,950

Series 2005-HE2 Class M2, 0.7063% 4/25/35 (j)

66,098

61,898

Advanta Business Card Master Trust:

Series 2006-A6 Class A6, 0.2873% 9/20/13 (j)

204,032

203,236

Series 2006-A7 Class A7, 0.2773% 10/20/12 (j)

115,794

115,342

Series 2006-C1 Class C1, 0.7373% 10/20/14 (j)

22,513

4,165

Series 2007-A1 Class A, 0.3073% 1/20/15 (j)

79,052

78,743

Series 2007-A4 Class A4, 0.2873% 4/22/13 (j)

85,510

85,176

Series 2007-A5 Class A5, 0.7573% 8/20/13 (j)

161,444

160,814

Airspeed Ltd. Series 2007-1A Class C1, 2.7573% 6/15/32 (c)(j)

2,669,096

987,565

Ally Auto Receivables Trust Series 2009-A:

Class A3, 2.33% 6/17/13 (c)

1,620,000

1,652,369

Class A4, 3% 10/15/15 (c)

1,600,000

1,673,650

Ally Master Owner Trust Series 2010-3 Class A, 2.88% 4/15/15 (c)

7,850,000

8,099,338

AmeriCredit Automobile Receivables Trust:

Series 2006-1 Class C1, 5.28% 11/6/11

419,315

421,015

Series 2008-AF Class A3, 5.68% 12/12/12 (FSA Insured)

3,668,872

3,724,834

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9563% 12/25/33 (j)

36,873

26,665

Series 2004-R2 Class M3, 0.8063% 4/25/34 (j)

53,982

5,551

Asset-Backed Securities - continued

 

Principal Amount

Value

Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued

Series 2005-R2 Class M1, 0.7063% 4/25/35 (j)

$ 727,000

$ 565,901

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 1.0438% 3/25/34 (j)

16,878

11,575

Series 2004-W11 Class M2, 0.9563% 11/25/34 (j)

198,000

117,823

Series 2004-W7 Class M1, 0.8063% 5/25/34 (j)

209,000

94,912

Series 2006-W4 Class A2C, 0.4163% 5/25/36 (j)

507,752

187,036

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.0813% 4/25/34 (j)

940,000

569,620

Bank of America Auto Trust Series 2009-1A Class A4, 3.52% 6/15/16 (c)

3,100,000

3,247,068

BMW Vehicle Lease Trust Series 2010-1 Class A3, 0.82% 4/15/13

5,050,000

5,049,211

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2994% 12/26/24 (j)

636,418

604,597

C-BASS Trust Series 2006-CB7 Class A2, 0.3163% 10/25/36 (j)

40,085

39,540

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

4,260,000

4,371,373

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5563% 7/25/36 (j)

402,000

37,293

Series 2006-NC3 Class M10, 2.2563% 8/25/36 (c)(j)

255,000

12,106

Series 2007-RFC1 Class A3, 0.3963% 12/25/36 (j)

635,000

213,345

Cendant Timeshare Receivables Funding LLC:

Series 2005 1A Class 2A2, 0.4373% 5/20/17 (FGIC Insured) (c)(j)

48,851

43,904

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

208,759

211,138

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

2,000,000

2,047,188

Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 1.1% 8/8/13

6,300,000

6,299,761

Chrysler Financial Lease Trust Series 2010-A Class A2, 1.78% 6/15/11 (c)

7,500,000

7,519,412

Citibank Credit Card Issuance Trust:

Series 2007-B6 Class B6, 5% 11/8/12

4,800,000

4,818,695

Series 2009-A5 Class A5, 2.25% 12/23/14

12,500,000

12,861,754

 

 

Principal Amount

Value

Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5263% 5/25/37 (j)

$ 270,000

$ 12,264

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.5788% 3/25/32 (MGIC Investment Corp. Insured) (j)

40,946

17,209

Series 2004-3 Class M4, 1.2263% 4/25/34 (j)

56,336

20,554

Series 2004-4 Class M2, 1.0513% 6/25/34 (j)

207,174

109,288

Series 2005-3 Class MV1, 0.6763% 8/25/35 (j)

399,227

377,374

Series 2005-AB1 Class A2, 0.4663% 8/25/35 (j)

60,852

59,607

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

840,000

828,248

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.782% 5/28/35 (j)

13,702

9,750

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.4313% 8/25/34 (j)

102,000

47,422

Series 2006-3 Class 2A3, 0.4163% 11/25/36 (j)

1,585,000

627,656

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0813% 3/25/34 (j)

5,865

1,781

Ford Credit Auto Owner Trust:

Series 2006-B Class D, 7.26% 2/15/13 (c)

1,025,000

1,049,989

Series 2009-D:

Class A3, 2.17% 10/15/13

2,000,000

2,028,955

Class A4, 2.98% 8/15/14

1,800,000

1,878,194

Series 2010-B Class A3, 0.98% 10/15/14

3,550,000

3,567,674

Ford Credit Floorplan Master Owner Trust:

Series 2006-4 Class B, 0.8073% 6/15/13 (j)

272,000

268,240

Series 2010-5 Class A1, 1.5% 9/15/15

3,580,000

3,579,441

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.7463% 1/25/35 (j)

334,000

118,067

Class M4, 0.9363% 1/25/35 (j)

128,000

14,746

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6975% 2/25/47 (c)(j)

829,000

565,793

GE Business Loan Trust Series 2003-1 Class A, 0.6873% 4/15/31 (c)(j)

93,121

81,946

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (c)(j)

156,209

39,816

Asset-Backed Securities - continued

 

Principal Amount

Value

GSAMP Trust: - continued

Class M1, 0.9063% 6/25/34 (j)

$ 772,000

$ 480,542

Series 2007-HE1 Class M1, 0.5063% 3/25/47 (j)

289,000

17,481

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3363% 5/25/30 (c)(j)

230,062

115,031

Series 2006-3 Class C, 0.8063% 9/25/46 (c)(j)

538,000

80,700

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.5463% 8/25/33 (j)

284,389

197,094

Series 2003-5 Class A2, 0.9563% 12/25/33 (j)

11,595

6,618

Series 2005-5 Class 2A2, 0.5063% 11/25/35 (j)

48,007

47,147

Series 2006-1 Class 2A3, 0.4813% 4/25/36 (j)

485,653

468,454

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5473% 3/20/36 (j)

279,168

214,678

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4463% 1/25/37 (j)

436,000

137,201

Hyundai Auto Receivables Trust Series 2009-A Class A3, 2.03% 8/15/13

2,040,000

2,070,333

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.3863% 11/25/36 (j)

438,000

348,936

Class MV1, 0.4863% 11/25/36 (j)

356,000

201,055

Keycorp Student Loan Trust Series 1999-A Class A2, 0.6194% 12/27/29 (j)

278,474

231,450

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3363% 6/25/34 (j)

46,891

29,813

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.5163% 10/25/36 (j)

158,000

9,553

Series 2007-HE1 Class M1, 0.5563% 5/25/37 (j)

249,000

13,665

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 0.9063% 7/25/34 (j)

34,990

26,907

Series 2006-FM1 Class A2B, 0.3663% 4/25/37 (j)

644,887

549,058

Series 2006-OPT1 Class A1A, 0.5163% 6/25/35 (j)

557,894

437,088

 

 

Principal Amount

Value

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5963% 8/25/34 (j)

$ 20,187

$ 13,678

Series 2004-NC8 Class M6, 1.5063% 9/25/34 (j)

112,382

54,589

Series 2005-NC1 Class M1, 0.6963% 1/25/35 (j)

141,000

72,452

National Collegiate Student Loan Trust Series 2006-4 Class A1, 0.2863% 3/25/25 (j)

145,913

143,993

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7663% 9/25/35 (j)

503,000

208,076

Series 2005-D Class M2, 0.7263% 2/25/36 (j)

105,000

13,404

Nissan Auto Receivables Owner Trust Series 2010-A Class A4, 1.31% 9/15/16

2,140,000

2,139,572

Nomura Home Equity Loan Trust Series 2006-HE2 Class A2, 0.3763% 3/25/36 (j)

4,585

4,574

Ocala Funding LLC Series 2006-1A Class A, 1.6573% 3/20/11 (a)(c)(j)

414,000

153,180

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.5063% 9/25/34 (j)

188,000

82,087

Class M4, 1.7063% 9/25/34 (j)

241,000

38,673

Series 2005-WCH1:

Class M2, 0.7763% 1/25/36 (j)

1,972,000

1,685,466

Class M3, 0.8163% 1/25/36 (j)

168,000

110,277

Class M4, 1.0863% 1/25/36 (j)

520,000

190,504

Series 2005-WHQ2 Class M7, 1.5063% 5/25/35 (j)

1,251,000

18,426

Providian Master Note Trust Series 2006-C1A Class C1, 0.8073% 3/15/15 (c)(j)

759,000

756,677

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3263% 2/25/37 (j)

214,683

210,012

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0563% 4/25/33 (j)

1,796

1,503

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0513% 3/25/35 (j)

585,755

479,706

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.4163% 3/20/19 (FGIC
Insured) (c)(j)

238,974

223,157

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2422% 6/15/33 (j)

448,000

26,725

Asset-Backed Securities - continued

 

Principal Amount

Value

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.4063% 9/25/34 (j)

$ 26,207

$ 6,242

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.5063% 11/25/37 (j)

4,415,814

4,185,704

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1163% 9/25/34 (j)

10,148

6,498

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.7573% 8/15/15 (c)(j)

2,465,000

2,445,499

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

4,135,000

4,142,706

Series 2007-A5A Class A5, 1.0073% 10/15/14 (c)(j)

590,000

590,074

Whinstone Capital Management Ltd. Series 1A Class B3, 2.2978% 10/25/44 (c)(j)

630,180

233,167

TOTAL ASSET-BACKED SECURITIES

(Cost $108,757,189)

 105,839,889

Collateralized Mortgage Obligations - 1.8%

 

Private Sponsor - 1.5%

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.9575% 4/12/56 (c)(j)

503,217

465,476

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.8772% 4/10/49 (j)

485,000

118,626

Class C, 5.8772% 4/10/49 (j)

1,290,000

220,089

Class D, 5.8772% 4/10/49 (j)

650,000

97,766

Banc of America Mortgage Securities, Inc.:

Series 2004-B Class 1A1, 2.9237% 3/25/34 (j)

20,670

18,403

Series 2005-E Class 2A7, 2.866% 6/25/35 (j)

2,680,000

2,105,316

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5363% 1/25/35 (j)

793,154

631,388

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.2146% 2/25/37 (j)

435,974

419,252

Series 2007-A2 Class 2A1, 3.3299% 7/25/37 (j)

231,242

221,094

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2944% 12/10/49 (j)

7,310,000

7,818,994

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.5053% 8/25/34 (j)

2,484,551

2,464,932

 

 

Principal Amount

Value

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.6563% 5/25/33 (j)

$ 4,796

$ 4,742

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.9076% 11/25/34 (j)

797,394

771,309

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.3473% 11/19/37 (j)

8,393

8,359

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.6847% 10/18/54 (c)(j)

1,007,000

987,464

Class C2, 0.9947% 10/18/54 (c)(j)

337,000

327,160

Class M2, 0.7747% 10/18/54 (c)(j)

579,000

557,867

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.8155% 11/20/56 (c)(j)

863,000

823,034

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.9975% 10/11/41 (c)(j)

1,097,000

1,081,708

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 0.8573% 12/20/54 (c)(j)

2,117,000

957,943

Series 2006-2 Class C1, 0.7273% 12/20/54 (j)

1,885,000

887,835

Series 2006-3 Class C2, 0.7573% 12/20/54 (j)

396,000

182,970

Series 2006-4:

Class B1, 0.3473% 12/20/54 (j)

1,059,000

799,545

Class C1, 0.6373% 12/20/54 (j)

647,000

292,768

Class M1, 0.4273% 12/20/54 (j)

279,000

183,443

Series 2007-1:

Class 1C1, 0.5573% 12/20/54 (j)

654,000

308,034

Class 1M1, 0.4073% 12/20/54 (j)

425,000

278,375

Class 2C1, 0.6873% 12/20/54 (j)

298,000

140,358

Class 2M1, 0.7573% 12/20/54 (j)

546,000

357,630

Series 2007-2 Class 2C1, 0.6873% 12/17/54 (j)

757,000

336,865

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.9713% 1/20/44 (j)

151,584

100,158

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 3.0944% 4/25/35 (j)

1,117,055

963,129

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4773% 5/19/35 (j)

134,604

83,647

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

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

$ 6,230,000

$ 6,674,758

JPMorgan Mortgage Trust:

Series 2004-A5 Class 2A1, 2.7652% 12/25/34 (j)

760,028

694,773

Series 2006-A2 Class 5A1, 3.2838% 11/25/33 (j)

960,158

901,813

Series 2007-A1 Class 1A1, 3.0108% 7/25/35 (j)

2,356,549

2,167,921

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4663% 5/25/47 (j)

390,686

245,787

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4263% 2/25/37 (j)

547,230

360,351

Merrill Lynch Floating Trust floater Series 2006-1:

Class C, 0.447% 6/15/22 (c)(j)

449,000

377,160

Class D, 0.457% 6/15/22 (c)(j)

173,000

141,860

Class E, 0.467% 6/15/22 (c)(j)

276,000

228,086

Class F, 0.497% 6/15/22 (c)(j)

498,000

408,858

Class G, 0.567% 6/15/22 (c)(j)

103,000

79,310

Class H, 0.587% 6/15/22 (c)(j)

207,000

155,250

Class J, 0.627% 6/15/22 (c)(j)

242,000

166,980

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

4,570,000

4,900,156

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5463% 7/25/35 (j)

856,422

688,647

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5563% 3/25/37 (j)

861,000

59,745

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.88% 10/25/35 (j)

1,641,436

1,411,977

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.6073% 7/10/35 (c)(j)

335,595

186,859

Residential Asset Mortgage Products, Inc. sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31

60,160

63,223

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.7063% 6/25/33 (AMBAC Insured) (c)(j)

95,329

75,487

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.1948% 7/20/34 (j)

14,168

9,908

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4638% 9/25/36 (j)

1,153,000

622,727

 

 

Principal Amount

Value

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-H Class A1, 4.5382% 6/25/34 (j)

$ 785,504

$ 765,169

Series 2005-AR10 Class 2A2, 2.9208% 6/25/35 (j)

2,913,142

2,815,908

Series 2005-AR12:

Class 2A5, 2.8984% 7/25/35 (j)

3,710,000

3,497,439

Class 2A6, 2.8984% 7/25/35 (j)

3,744,153

3,488,329

Series 2005-AR3 Class 2A1, 2.9197% 3/25/35 (j)

792,028

714,966

TOTAL PRIVATE SPONSOR

56,919,126

U.S. Government Agency - 0.3%

Fannie Mae planned amortization class:

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

1,900,539

2,102,955

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

1,371,145

1,525,087

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

213,606

230,496

Series 2004-81 Class KD, 4.5% 7/25/18

2,625,000

2,808,500

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

450,047

474,353

Freddie Mac Multi-class participation certificates guaranteed planned amortization class Series 2500 Class TE, 5.5% 9/15/17

5,393,327

5,917,139

Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 38.656% 6/16/37 (j)(l)

161,548

277,545

TOTAL U.S. GOVERNMENT AGENCY

13,336,075

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $71,410,119)

  70,255,201

Commercial Mortgage Securities - 7.0%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 7.0634% 2/14/43 (j)

1,435,000

1,556,204

Class A3, 7.1134% 2/14/43 (j)

1,545,000

1,673,164

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.9098% 5/10/45 (j)

$ 2,100,000

$ 2,276,218

Series 2006-5:

Class A2, 5.317% 9/10/47

8,745,000

9,148,300

Class A3, 5.39% 9/10/47

1,985,000

2,150,404

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

1,094,398

1,124,056

Series 2007-3 Class A3, 5.8371% 6/10/49 (j)

6,100,000

6,454,984

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

1,610,260

1,617,693

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

1,545,000

1,593,232

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

4,889,139

4,887,065

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.7273% 3/15/22 (c)(j)

217,000

162,750

Class G, 0.7873% 3/15/22 (c)(j)

141,000

94,470

Series 2006-BIX1:

Class F, 0.5673% 10/15/19 (c)(j)

558,000

464,144

Class G, 0.5873% 10/15/19 (c)(j)

380,000

266,646

Bayview Commercial Asset Trust:

floater:

Series 2004-1:

Class A, 0.6163% 4/25/34 (c)(j)

538,152

425,140

Class B, 2.1563% 4/25/34 (c)(j)

42,291

21,357

Class M1, 0.8163% 4/25/34 (c)(j)

34,460

23,605

Class M2, 1.4563% 4/25/34 (c)(j)

30,879

16,984

Series 2004-2:

Class A, 0.6863% 8/25/34 (c)(j)

415,495

328,241

Class M1, 0.8363% 8/25/34 (c)(j)

67,105

44,960

Series 2004-3:

Class A1, 0.6263% 1/25/35 (c)(j)

831,786

661,270

Class A2, 0.6763% 1/25/35 (c)(j)

108,272

71,460

Class M1, 0.7563% 1/25/35 (c)(j)

110,820

70,925

 

 

Principal Amount

Value

Class M2, 1.2563% 1/25/35 (c)(j)

$ 71,651

$ 42,274

Series 2005-2A:

Class A1, 0.5663% 8/25/35 (c)(j)

463,996

383,214

Class M1, 0.6863% 8/25/35 (c)(j)

34,404

20,030

Class M2, 0.7363% 8/25/35 (c)(j)

56,585

30,177

Class M3, 0.7563% 8/25/35 (c)(j)

31,235

15,330

Class M4, 0.8663% 8/25/35 (c)(j)

28,971

13,263

Series 2005-3A:

Class A1, 0.5763% 11/25/35 (c)(j)

252,099

201,881

Class A2, 0.6563% 11/25/35 (c)(j)

163,352

106,996

Series 2005-4A:

Class A2, 0.6463% 1/25/36 (c)(j)

902,317

586,506

Class M1, 0.7063% 1/25/36 (c)(j)

188,796

100,062

Class M2, 0.7263% 1/25/36 (c)(j)

56,955

28,478

Class M3, 0.7563% 1/25/36 (c)(j)

82,796

38,914

Series 2006-1 Class A2, 0.6163% 4/25/36 (c)(j)

89,664

64,980

Series 2006-2A:

Class A1, 0.4863% 7/25/36 (c)(j)

889,438

705,858

Class A2, 0.5363% 7/25/36 (c)(j)

80,284

54,634

Class M1, 0.5663% 7/25/36 (c)(j)

84,299

42,192

Class M2, 0.5863% 7/25/36 (c)(j)

59,640

28,102

Class M6, 0.7963% 7/25/36 (c)(j)

60,787

19,525

Series 2006-3A:

Class M5, 0.7363% 10/25/36 (c)(j)

71,156

20,635

Class M6, 0.8163% 10/25/36 (c)(j)

138,956

34,739

Series 2006-4A:

Class A1, 0.4863% 12/25/36 (c)(j)

511,685

397,733

Class A2, 0.5263% 12/25/36 (c)(j)

1,140,384

836,129

Class M1, 0.5463% 12/25/36 (c)(j)

82,637

40,740

Series 2007-1:

Class A2, 0.5263% 3/25/37 (c)(j)

218,875

141,174

Class B3, 3.6063% 3/25/37 (c)(j)

139,603

20,940

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

Series 2007-2A:

Class A1, 0.5263% 7/25/37 (c)(j)

$ 199,921

$ 140,944

Class A2, 0.5763% 7/25/37 (c)(j)

187,126

89,821

Class B1, 1.8563% 7/25/37 (c)(j)

175,931

23,751

Class B2, 2.5063% 7/25/37 (c)(j)

151,940

18,233

Class B3, 3.6063% 7/25/37 (c)(j)

171,932

19,772

Class M2, 0.6663% 7/25/37 (c)(j)

103,959

29,109

Class M3, 0.7463% 7/25/37 (c)(j)

103,959

21,831

Class M4, 0.9063% 7/25/37 (c)(j)

219,913

39,584

Class M5, 1.0063% 7/25/37 (c)(j)

195,923

31,348

Class M6, 1.2563% 7/25/37 (c)(j)

243,904

36,586

Series 2007-3:

Class A2, 0.5463% 7/25/37 (c)(j)

319,800

207,198

Class B1, 1.2063% 7/25/37 (c)(j)

147,807

33,257

Class B2, 1.8563% 7/25/37 (c)(j)

516,651

101,109

Class B3, 4.2563% 7/25/37 (c)(j)

198,195

36,072

Class M1, 0.5663% 7/25/37 (c)(j)

131,010

53,361

Class M2, 0.5963% 7/25/37 (c)(j)

137,729

42,765

Class M3, 0.6263% 7/25/37 (c)(j)

300,988

95,413

Class M4, 0.7563% 7/25/37 (c)(j)

475,669

142,415

Class M5, 0.8563% 7/25/37 (c)(j)

178,040

54,267

Class M6, 1.0563% 7/25/37 (c)(j)

134,370

29,696

Series 2007-4A:

Class B1, 2.8063% 9/25/37 (c)(j)

246,407

22,177

Class B2, 3.7063% 9/25/37 (c)(j)

1,203,997

96,320

Class M4, 1.8563% 9/25/37 (c)(j)

793,601

119,040

Class M5, 2.0063% 9/25/37 (c)(j)

793,601

103,168

Class M6, 2.2063% 9/25/37 (c)(j)

793,601

83,328

Series 2004-1 Class IO, 1.25% 4/25/34 (c)(k)

1,573,677

51,931

 

 

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.6973% 3/15/19 (c)(j)

$ 284,000

$ 212,182

Class H, 0.9073% 3/15/19 (c)(j)

191,000

111,568

Class J, 1.1073% 3/15/19 (c)(j)

143,000

80,468

Series 2007-BBA8:

Class D, 0.5073% 3/15/22 (c)(j)

147,000

102,900

Class E, 0.5573% 3/15/22 (c)(j)

763,000

495,950

Class F, 0.6073% 3/15/22 (c)(j)

468,000

280,800

Class G, 0.6573% 3/15/22 (c)(j)

120,000

66,000

Class H, 0.8073% 3/15/22 (c)(j)

147,000

70,560

Class J, 0.9573% 3/15/22 (c)(j)

147,000

58,800

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

2,010,000

2,134,095

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

1,101,424

1,124,668

Series 2007-PW16:

Class B, 5.9066% 6/11/40 (c)(j)

1,405,000

529,746

Class C, 5.9066% 6/11/40 (c)(j)

1,170,000

394,409

Class D, 5.9066% 6/11/40 (c)(j)

1,170,000

344,765

C-BASS Trust floater Series 2006-SC1 Class A, 0.5263% 5/25/36 (c)(j)

321,808

190,946

Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.4842% 2/12/16 (c)(j)

1,309,126

1,327,480

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.5873% 8/15/21 (c)(j)

156,000

129,597

Class H, 0.6273% 8/15/21 (c)(j)

125,000

96,603

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

3,810,000

4,119,326

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

4,897,620

4,975,798

Series 2007-FL3A Class A2, 0.3973% 4/15/22 (c)(j)

2,595,000

2,277,119

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Citigroup/Deutsche Bank Commercial Mortgage Trust:

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

$ 1,830,000

$ 1,896,620

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

6,065,000

6,441,324

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class D, 0.5673% 4/15/17 (c)(j)

335,000

268,000

Class E, 0.6273% 4/15/17 (c)(j)

107,000

82,390

Class F, 0.6673% 4/15/17 (c)(j)

60,000

42,000

Class G, 0.8073% 4/15/17 (c)(j)

60,000

38,400

Class H, 0.8773% 4/15/17 (c)(j)

60,000

31,200

Class J, 1.1073% 4/15/17 (c)(j)

46,000

18,400

Series 2005-FL11:

Class F, 0.7073% 11/15/17 (c)(j)

86,302

73,357

Class G, 0.7573% 11/15/17 (c)(j)

59,579

44,089

sequential payer Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (c)

2,745,000

2,751,841

Class AJFX, 5.478% 2/5/19 (c)

2,110,000

2,066,774

Series 2004-LBN2 Class X2, 1.0057% 3/10/39 (c)(j)(k)

4,071,270

14,608

Credit Suisse Commercial Mortgage Trust:

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

3,885,000

3,992,545

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

5,350,000

5,730,597

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

2,750,000

2,756,209

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer Series 2004-C1:

Class A3, 4.321% 1/15/37

1,033,998

1,052,509

Class A4, 4.75% 1/15/37

3,035,000

3,205,964

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

165,601

168,980

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

21,304

21,419

Series 2001-CKN5 Class AX, 2.1948% 9/15/34 (c)(j)(k)

21,451,147

235,343

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

250,000

222,997

 

 

Principal Amount

Value

Series 2004-C1 Class ASP, 1.1316% 1/15/37 (c)(j)(k)

$ 19,606,289

$ 80,631

Series 2006-C1 Class A3, 5.711% 2/15/39 (j)

3,895,000

4,171,432

Credit Suisse Mortgage Capital Certificates:

floater Series 2007-TFL1:

Class B, 0.4073% 2/15/22 (c)(j)

3,470,000

2,324,900

Class C:

0.4273% 2/15/22 (c)(j)

657,000

374,490

0.5273% 2/15/22 (c)(j)

234,000

107,640

Class F, 0.5773% 2/15/22 (c)(j)

469,000

192,290

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

512,394

518,818

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

4,470,000

4,566,432

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4478% 11/5/21 (c)(j)

3,490,000

2,632,657

sequential payer:

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

709,041

712,674

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

13,805,000

14,602,634

Series 2006-GG7 Class A3, 6.0854% 7/10/38 (j)

3,460,000

3,772,268

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.4978% 6/6/20 (c)(j)

405,000

368,748

Class D, 0.5378% 6/6/20 (c)(j)

1,115,000

966,425

Class E, 0.6278% 6/6/20 (c)(j)

2,220,000

1,887,704

Class F, 0.6978% 6/6/20 (c)(j)

294,000

239,442

Series 2007-EOP:

Class C, 0.5778% 3/6/20 (c)(j)

1,335,000

1,188,150

Class D, 0.6278% 3/6/20 (c)(j)

400,000

352,000

Class E, 0.6978% 3/6/20 (c)(j)

670,000

582,900

Class F, 0.7378% 3/6/20 (c)(j)

335,000

289,775

Class G, 0.7778% 3/6/20 (c)(j)

165,000

139,425

Class H, 0.9078% 3/6/20 (c)(j)

275,000

232,375

Class J, 1.1078% 3/6/20 (c)(j)

395,000

331,800

Commercial Mortgage Securities - continued

 

Principal Amount

Value

GS Mortgage Securities Corp. II: - continued

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

$ 2,725,000

$ 2,851,662

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

2,710,436

2,742,255

GS Mortgage Securities Trust sequential payer Series 2007-GG10:

Class A1, 5.69% 8/10/45

1,457,963

1,501,981

Class A2, 5.778% 8/10/45

5,055,000

5,258,310

Class A4, 6.002% 8/10/45 (j)

3,410,000

3,563,601

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class E, 0.5373% 11/15/18 (c)(j)

101,348

70,943

Class F, 0.5873% 11/15/18 (c)(j)

152,022

97,294

Class G, 0.6173% 11/15/18 (c)(j)

132,443

82,115

Class H, 0.7573% 11/15/18 (c)(j)

101,348

60,809

sequential payer:

Series 2006-CB14 Class A3B, 5.6679% 12/12/44 (j)

4,625,000

4,974,109

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

5,840,000

6,221,416

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

5,105,000

5,400,594

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

270,382

272,519

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

3,796,000

3,949,421

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

4,030,002

4,177,257

Series 2007-CB19:

Class B, 5.9365% 2/12/49 (j)

755,000

233,788

Class C, 5.9365% 2/12/49 (j)

1,971,000

610,326

Class D, 5.9365% 2/12/49 (j)

2,075,000

620,596

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (j)

1,725,000

517,196

Class CS, 5.466% 1/15/49 (j)

745,000

186,067

Class ES, 5.7306% 1/15/49 (c)(j)

4,663,000

304,144

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1421% 7/15/44 (j)

3,733,000

3,927,048

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

8,269

8,278

 

 

Principal Amount

Value

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

$ 790,155

$ 791,988

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

962,046

970,439

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

3,340,000

3,403,856

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

286,017

290,829

Series 2007-C1:

Class A1, 5.391% 2/15/40 (j)

561,630

571,658

Class A3, 5.398% 2/15/40

5,000,000

5,320,054

Class A4, 5.424% 2/15/40

8,620,000

9,081,164

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

1,165,000

1,218,624

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

1,810,000

1,868,235

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

Class F, 0.5973% 9/15/21 (c)(j)

402,971

290,139

Class G, 0.6173% 9/15/21 (c)(j)

795,609

556,927

Class H, 0.6573% 9/15/21 (c)(j)

204,773

131,055

Merrill Lynch Mortgage Trust:

sequential payer:

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

137,435

141,179

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

605,867

622,945

Series 2007-C1 Class A4, 6.0196% 6/12/50 (j)

3,796,000

4,059,574

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-5:

Class A1, 4.275% 8/12/48

198,736

199,736

Class A3, 5.364% 8/12/48

4,298,000

4,423,544

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

3,875,000

3,887,852

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

5,500,000

5,761,269

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

770,000

129,710

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.458% 7/15/19 (c)(j)

261,000

31,973

Series 2007-XCLA Class A1, 0.458% 7/17/17 (c)(j)

891,279

597,157

Series 2007-XLCA Class B, 0.758% 7/17/17 (c)(j)

548,938

35,681

Series 2007-XLFA:

Class D, 0.448% 10/15/20 (c)(j)

235,000

58,750

Class E, 0.508% 10/15/20 (c)(j)

294,000

38,220

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Morgan Stanley Capital I Trust: - continued

Class F, 0.558% 10/15/20 (c)(j)

$ 176,000

$ 17,600

Class G, 0.598% 10/15/20 (c)(j)

218,000

16,350

Class H, 0.688% 10/15/20 (c)(j)

137,000

3,425

Class J, 0.838% 10/15/20 (c)(j)

157,000

3,140

Class NHRO, 1.148% 10/15/20 (c)(j)

89,449

12,523

sequential payer:

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

1,300,731

1,313,499

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

267,288

270,642

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

4,785,000

5,020,693

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

981,416

995,390

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

2,388,556

2,453,916

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

10,320,000

11,293,212

Series 2005-IQ9 Class X2, 1.2108% 7/15/56 (c)(j)(k)

18,144,327

243,559

Series 2007-HQ12 Class A2, 5.8118% 4/12/49 (j)

4,812,134

4,856,394

Series 2007-IQ14 Class B, 5.9134% 4/15/49 (j)

2,175,000

522,000

Series 2007-XLC1:

Class C, 0.858% 7/17/17 (c)(j)

749,610

11,244

Class D, 0.958% 7/17/17 (c)(j)

352,629

5,289

Class E, 1.058% 7/17/17 (c)(j)

286,466

4,297

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

2,999,017

2,999,017

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.4573% 1/15/18 (c)(j)

449,000

448,291

Series 2006-WL7A:

Class E, 0.5519% 9/15/21 (c)(j)

491,000

298,710

Class F, 0.6119% 8/11/18 (c)(j)

661,000

287,794

Class G, 0.6319% 8/11/18 (c)(j)

626,000

265,330

Class J, 0.8759% 8/11/18 (c)(j)

139,000

37,961

 

 

Principal Amount

Value

Series 2007-WHL8:

Class AP2, 1.0573% 6/15/20 (c)(j)

$ 53,945

$ 29,670

Class F, 0.7373% 6/15/20 (c)(j)

1,046,000

313,800

Class LXR2, 1.0573% 6/15/20 (c)(j)

713,442

463,738

sequential payer:

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

639,266

644,415

Series 2007-C30:

Class A3, 5.246% 12/15/43

5,940,000

6,033,107

Class A4, 5.305% 12/15/43

3,240,000

3,250,422

Class A5, 5.342% 12/15/43

3,796,000

3,724,822

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

423,999

428,175

Series 2007-C32 Class A2, 5.9276% 6/15/49 (j)

1,255,000

1,306,285

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

3,010,000

3,248,287

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

6,257,000

488,418

Series 2007-C31 Class C, 5.8875% 4/15/47 (j)

2,455,000

526,602

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $295,272,995)

 275,697,534

Municipal Securities - 0.3%

 

California Gen. Oblig.:

6.2% 3/1/19

2,000,000

2,202,780

7.5% 4/1/34

2,400,000

2,611,152

7.55% 4/1/39

2,560,000

2,784,026

Illinois Gen. Oblig. Series 2010, 4.421% 1/1/15

2,850,000

2,970,156

TOTAL MUNICIPAL SECURITIES

(Cost $9,883,844)

  10,568,114

Foreign Government and Government Agency Obligations - 0.3%

 

Brazilian Federative Republic:

4.875% 1/22/21

1,470,000

1,613,325

5.625% 1/7/41

2,025,000

2,202,188

Italian Republic 2.125% 9/16/13

7,070,000

7,082,033

United Mexican States 5.875% 1/15/14

1,665,000

1,885,613

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $12,357,354)

  12,783,159

Supranational Obligations - 0.0%

 

Principal Amount

Value

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

$ 350,000

$ 371,602

Preferred Securities - 0.0%

 

 

 

 

FINANCIALS - 0.0%

Diversified Financial Services - 0.0%

MUFG Capital Finance 1 Ltd. 6.346% (j)

2,283,000

2,315,334

TOTAL PREFERRED SECURITIES

(Cost $2,315,312)

  2,315,334

Cash Equivalents - 14.1%

Maturity
Amount

 

Investments in repurchase agreements in a joint trading account at 0.3%, dated 9/30/10 due 10/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $558,676,000)

$ 558,680,731

$ 558,676,000

TOTAL INVESTMENT PORTFOLIO - 110.3%

(Cost $4,217,172,338)

4,363,324,564

NET OTHER ASSETS (LIABILITIES) - (10.3)%

(406,803,378)

NET ASSETS - 100%

$ 3,956,521,186

Swap Agreements

 

Expiration Date

Notional Amount

Value

Credit Default Swaps

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)
(Upfront Payment $360,000) (i)

Sept. 2037

$ 2,245,735

$ (2,107,915)

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)
(Upfront Payment $598,000) (i)

Sept. 2037

1,946,303

(1,826,859)

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)
(Upfront Payment $348,750) (i)

Sept. 2037

1,122,867

(1,053,957)

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)
(Upfront Payment $701,375) (i)

Sept. 2037

2,320,593

(2,178,179)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to 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) (Upfront Payment $572,000) (i)

Sept. 2037

$ 3,293,744

$ (3,091,608)

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) (Upfront Payment $214,000) (i)

Sept. 2037

1,197,725

(1,124,221)

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) (Upfront Payment $1,023,500) (i)

Sept. 2037

3,443,460

(3,232,136)

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 (h)

August 2034

95,267

(56,124)

Swap Agreements - continued

 

 

Expiration Date

Notional Amount

Value

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) (h)

Feb. 2034

$ 4,841

$ (4,463)

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) (h)

Dec. 2034

245,904

(239,539)

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) (h)

Oct. 2034

195,509

(191,732)

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) (h)

Dec. 2034

$ 427,179

$ (416,122)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

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) (h)

Oct. 2034

$ 195,509

$ (191,654)

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) (h)

Sept. 2034

91,708

(73,266)

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) (h)

June 2035

300,085

(275,310)

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) (h)

May 2011

4,290,000

9,520

 

 

Expiration Date

Notional Amount

Value

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) (h)

May 2011

$ 2,260,000

$ 5,360

TOTAL CREDIT DEFAULT SWAPS

$ 23,676,429

$ (16,048,205)

Interest Rate Swaps

Receive semi-annually a fixed rate equal to 1.2857% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

June 2012

80,966,000

1,349,404

TOTAL INTEREST RATE SWAPS

$ 80,966,000

$ 1,349,404

 

 

$ 104,642,429

$ (14,698,801)

 

Legend

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

(b) 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.

(c) 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 $216,628,304 or 5.5% of net assets.

(d) 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 $18,727,536 or 0.5% of net assets.

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

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

(g) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $18,134,235.

(h) Represents a credit default swap contract in which the Fund has sold protection on the underlying reference entity. The value of each credit default swap and the credit rating can be measures of the current payment/performance risk. For the underlying reference entity, ratings disclosed 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. Where a credit rating is not disclosed, the value is used as the measure of the payment/performance risk.

(i) Represents a credit default swap based on a tradable index of home equity asset-backed debt securities. The value of each credit default swap and the credit rating can be measures of the current payment/ performance risk. In addition, the swap represents a contract in which the Fund has sold protection on the index of underlying securities. 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 Investors Service, 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.

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

(k) 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.

(l) 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.

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

Repurchase Agreement / Counterparty

Value

$558,676,000 due 10/01/10 at 0.30%

Bank of America NA

$ 348,837,489

Mizuho Securities USA, Inc.

168,620,232

Societe Generale, New York Branch

41,218,279

 

$ 558,676,000

Other Information

The following is a summary of the inputs used, as of September 30, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Investment Valuation section at the end of this listing.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Corporate Bonds

$ 984,260,914

$ -

$ 984,260,914

$ -

U.S. Government and Government Agency Obligations

1,283,168,306

-

1,283,168,306

-

U.S. Government Agency - Mortgage Securities

1,059,388,511

-

1,059,388,511

-

Asset-Backed Securities

105,839,889

-

99,833,830

6,006,059

Collateralized Mortgage Obligations

70,255,201

-

70,177,053

78,148

Commercial Mortgage Securities

275,697,534

-

264,448,463

11,249,071

Municipal Securities

10,568,114

-

10,568,114

-

Foreign Government and Government Agency Obligations

12,783,159

-

12,783,159

-

Supranational Obligations

371,602

-

371,602

-

Preferred Securities

2,315,334

-

2,315,334

-

Cash Equivalents

558,676,000

-

558,676,000

-

Total Investments in Securities:

$ 4,363,324,564

$ -

$ 4,345,991,286

$ 17,333,278

Derivative Instruments:

Assets

Swap Agreements

$ 1,364,284

$ -

$ 1,364,284

$ -

Liabilities

Swap Agreements

$ (16,063,085)

$ -

$ (14,614,876)

$ (1,448,209)

Total Derivative Instruments:

$ (14,698,801)

$ -

$ (13,250,592)

$ (1,448,209)

Other Financial Instruments:

Forward Commitments

$ 88,880

$ -

$ 88,880

$ -

The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value:

Investments in Securities:

Beginning Balance

$ 14,822,693

Total Realized Gain (Loss)

69,043

Total Unrealized Gain (Loss)

2,194,301

Cost of Purchases

314,698

Proceeds of Sales

(1,467,972)

Amortization/Accretion

(44,055)

Transfers in to Level 3

6,390,844

Transfers out of Level 3

(4,946,274)

Ending Balance

$ 17,333,278

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at September 30, 2010

$ 2,130,808

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (2,151,575)

Total Unrealized Gain (Loss)

778,730

Transfers in to Level 3

(75,364)

Transfers out of Level 3

-

Ending Balance

$ (1,448,209)

Realized gain (loss) on Swap Agreements for the period

$ (641,865)

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at September 30, 2010

$ 661,886

The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities and Derivative Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges.

Income Tax Information

At September 30, 2010, the cost of investment securities for income tax purposes was $4,212,540,297. Net unrealized appreciation aggregated $150,784,267, of which $202,296,841 related to appreciated investment securities and $51,512,574 related to depreciated investment securities.

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. 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 market or security 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 value used for net asset value calculation under these procedures may differ from published prices for the same securities. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels. 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). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 independent pricing services or from dealers who make markets in such securities. 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 utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy.

For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. Dealers 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. 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 fair value and are categorized as Level 2 in the hierarchy. 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). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

For additional information on the Fund's policy regarding valuation of investments and other significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

Credit Default Swap Agreements

The Fund entered into credit default swaps, which are agreements with a counterparty that enable the Fund to buy or sell protection on a debt security or a basket of securities against a defined credit event. 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 acts as a guarantor of the creditworthiness of a reference obligation. The Fund entered into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to provide a measure of protection against defaults of an issuer. The issuer may be either a single issuer or a basket of issuers. 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. 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. 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.

As a seller, if an underlying credit event occurs, the Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the reference obligation or underlying securities comprising an index or 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. As a buyer, if an underlying credit event occurs, the Fund will either receive from the seller an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising an index or 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.

Credit default swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation). Any upfront payments made or received upon entering a swap 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 gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap.

The fund is exposed to additional risks from investing in credit default swaps, such as liquidity risk and counterparty risk. Liquidity risk is the risk that the Fund will be unable to sell a credit default swaps 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. Counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. The Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty 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, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified. 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 is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, 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. 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, 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.

The notional amount of credit default swaps approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller 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 amounted to $23,676,429 representing 0.60% of net assets.

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please call Fidelity at 1-800-634-9361
for a free copy of the fund's most recent prospectus and annual report.

Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.

Quarterly Report

Item 2. Controls and Procedures

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

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

Item 3. Exhibits

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.

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:

November 29, 2010

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:

November 29, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

November 29, 2010