N-Q 1 main.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:

March 31, 2010

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity® Variable Insurance Products:
Investment Grade Central Fund

March 31, 2010 

1.847666.103

VIGC-QTLY-0510

Investments March 31, 2010 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 24.5%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.8%

Household Durables - 0.2%

Fortune Brands, Inc.:

5.125% 1/15/11

$ 4,010,000

$ 4,124,895

5.875% 1/15/36

5,320,000

4,683,941

 

8,808,836

Media - 1.6%

AOL Time Warner, Inc.:

6.875% 5/1/12

290,000

318,987

7.625% 4/15/31

1,625,000

1,855,945

Comcast Corp.:

4.95% 6/15/16

2,975,000

3,101,458

5.5% 3/15/11

2,675,000

2,783,033

6.4% 3/1/40

2,884,000

2,931,387

6.45% 3/15/37

2,792,000

2,843,278

COX Communications, Inc.:

4.625% 6/1/13

3,475,000

3,674,097

6.25% 6/1/18 (c)

3,626,000

3,856,273

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

1,905,000

2,215,587

News America, Inc.:

6.15% 3/1/37

1,745,000

1,720,048

6.2% 12/15/34

5,840,000

5,824,705

6.9% 3/1/19

651,000

739,837

Time Warner Cable, Inc.:

5% 2/1/20

3,471,000

3,422,340

5.85% 5/1/17

2,467,000

2,641,543

6.2% 7/1/13

7,000,000

7,724,451

6.75% 7/1/18

4,425,000

4,944,322

Time Warner, Inc.:

5.875% 11/15/16

5,514,000

6,024,266

6.5% 11/15/36

2,337,000

2,400,725

Viacom, Inc.:

6.125% 10/5/17

2,710,000

2,929,789

6.75% 10/5/37

935,000

978,705

 

62,930,776

TOTAL CONSUMER DISCRETIONARY

71,739,612

CONSUMER STAPLES - 1.3%

Beverages - 0.3%

Anheuser-Busch InBev Worldwide, Inc.:

7.2% 1/15/14 (c)

3,000,000

3,436,884

7.75% 1/15/19 (c)

3,200,000

3,806,022

Diageo Capital PLC 5.2% 1/30/13

1,705,000

1,844,909

FBG Finance Ltd. 5.125% 6/15/15 (c)

2,185,000

2,303,274

 

11,391,089

 

 

Principal Amount

Value

Food & Staples Retailing - 0.3%

CVS Caremark Corp.:

6.036% 12/10/28

$ 6,859,937

$ 6,784,683

6.302% 6/1/37 (j)

4,326,000

4,088,070

 

10,872,753

Food Products - 0.3%

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

3,528,000

3,829,919

Kraft Foods, Inc.:

5.375% 2/10/20

4,086,000

4,152,827

6.125% 2/1/18

2,376,000

2,600,271

 

10,583,017

Tobacco - 0.4%

Altria Group, Inc.:

9.7% 11/10/18

4,450,000

5,471,849

9.95% 11/10/38

2,699,000

3,544,227

Philip Morris International, Inc.:

4.875% 5/16/13

2,904,000

3,119,218

5.65% 5/16/18

2,751,000

2,961,925

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

3,055,000

3,109,403

 

18,206,622

TOTAL CONSUMER STAPLES

51,053,481

ENERGY - 2.7%

Energy Equipment & Services - 0.5%

DCP Midstream LLC 5.35% 3/15/20 (c)

3,724,000

3,731,552

Transocean Ltd. 6% 3/15/18

7,310,000

7,957,308

Weatherford International Ltd.:

7% 3/15/38

2,250,000

2,378,921

9.625% 3/1/19

5,089,000

6,439,453

 

20,507,234

Oil, Gas & Consumable Fuels - 2.2%

Anadarko Petroleum Corp. 5.95% 9/15/16

4,745,000

5,169,540

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

5,685,000

6,066,242

Cenovus Energy, Inc. 6.75% 11/15/39 (c)

1,233,000

1,337,269

ConocoPhillips 5.75% 2/1/19

3,900,000

4,251,382

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

3,000,000

3,237,036

Duke Capital LLC 6.25% 2/15/13

855,000

934,459

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

3,300,000

3,272,026

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

3,330,000

3,468,798

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

320,000

353,301

Motiva Enterprises LLC:

5.75% 1/15/20 (c)

1,496,000

1,566,013

6.85% 1/15/40 (c)

5,616,000

6,052,043

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Nakilat, Inc. 6.067% 12/31/33 (c)

$ 4,015,000

$ 3,654,011

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

925,000

836,200

Nexen, Inc.:

5.875% 3/10/35

5,405,000

5,139,220

6.4% 5/15/37

2,125,000

2,142,051

NGPL PipeCo LLC 6.514% 12/15/12 (c)

1,980,000

2,172,309

Pemex Project Funding Master Trust:

0.8517% 12/3/12 (c)(j)

410,000

405,900

1.557% 6/15/10 (c)(j)

4,480,000

4,480,000

Petro-Canada:

6.05% 5/15/18

1,480,000

1,593,390

6.8% 5/15/38

3,485,000

3,728,772

Petrobras International Finance Co. Ltd.:

5.75% 1/20/20

2,320,000

2,376,819

6.875% 1/20/40

3,500,000

3,612,648

7.875% 3/15/19

4,277,000

4,991,687

Plains All American Pipeline LP 6.125% 1/15/17

1,250,000

1,342,295

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (c)

2,009,000

2,108,673

5.5% 9/30/14 (c)

2,808,000

3,013,829

5.832% 9/30/16 (c)

2,375,000

2,533,840

6.332% 9/30/27 (c)

2,415,000

2,484,769

6.75% 9/30/19 (c)

1,838,000

2,054,538

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

4,665,000

5,026,463

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

615,000

691,225

 

90,096,748

TOTAL ENERGY

110,603,982

FINANCIALS - 12.3%

Capital Markets - 2.6%

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

6,445,000

7,140,022

BlackRock, Inc. 6.25% 9/15/17

2,091,000

2,300,077

Goldman Sachs Group, Inc.:

5.25% 10/15/13

3,770,000

4,052,471

5.625% 1/15/17

3,000,000

3,074,112

5.95% 1/18/18

755,000

792,107

6.15% 4/1/18

5,954,000

6,299,808

6.75% 10/1/37

6,705,000

6,696,579

Janus Capital Group, Inc.:

6.125% 9/15/11 (b)

2,041,000

2,089,294

6.5% 6/15/12

6,015,000

6,221,579

 

 

Principal Amount

Value

JPMorgan Chase Capital XX 6.55% 9/29/36

$ 3,090,000

$ 2,899,718

JPMorgan Chase Capital XXV 6.8% 10/1/37

6,975,000

6,943,096

Lazard Group LLC:

6.85% 6/15/17

3,230,000

3,286,874

7.125% 5/15/15

5,585,000

5,864,233

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

2,509,000

2,654,545

6.4% 8/28/17

1,300,000

1,370,104

6.875% 4/25/18

1,676,000

1,806,173

Morgan Stanley:

0.4994% 1/9/12 (j)

4,300,000

4,251,358

4.75% 4/1/14

1,500,000

1,531,616

5.45% 1/9/17

900,000

912,515

5.95% 12/28/17

2,100,000

2,157,477

6% 5/13/14

3,380,000

3,650,863

6.6% 4/1/12

7,695,000

8,348,836

6.625% 4/1/18

10,165,000

10,841,776

7.3% 5/13/19

3,590,000

3,966,264

Northern Trust Corp. 5.5% 8/15/13

1,100,000

1,217,303

UBS AG Stamford Branch 5.75% 4/25/18

4,720,000

4,834,790

 

105,203,590

Commercial Banks - 2.5%

Bank of America NA 5.3% 3/15/17

6,480,000

6,414,558

Barclays Bank PLC:

5% 9/22/16

5,810,000

5,971,925

5.125% 1/8/20

4,781,000

4,714,391

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

4,785,000

4,485,938

Credit Suisse New York Branch:

5% 5/15/13

2,403,000

2,582,689

5.4% 1/14/20

3,704,000

3,732,954

6% 2/15/18

6,110,000

6,469,152

DBS Bank Ltd. (Singapore) 0.47% 5/16/17 (c)(j)

280,110

266,805

Discover Bank 8.7% 11/18/19

4,775,000

5,229,924

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

6,570,000

7,013,002

Fifth Third Bancorp:

4.5% 6/1/18

930,000

853,239

8.25% 3/1/38

4,114,000

4,322,777

HBOS PLC 6.75% 5/21/18 (c)

2,600,000

2,388,883

HSBC Holdings PLC:

0.4544% 10/6/16 (j)

399,000

389,082

6.5% 9/15/37

7,355,000

7,624,061

KeyBank NA 5.8% 7/1/14

1,296,000

1,325,472

Korea Development Bank 5.3% 1/17/13

3,805,000

4,039,339

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Lloyds TSB Bank PLC 5.8% 1/13/20 (c)

$ 3,170,000

$ 3,092,931

Manufacturers & Traders Trust Co. 1.7506% 4/1/13 (c)(j)

269,000

261,940

Marshall & Ilsley Bank 4.85% 6/16/15

750,000

666,954

PNC Funding Corp.:

0.3888% 1/31/12 (j)

1,019,000

1,011,418

3.625% 2/8/15

2,573,000

2,588,415

Regions Bank 6.45% 6/26/37

1,547,000

1,251,548

Regions Financial Corp. 7.75% 11/10/14

2,340,000

2,462,010

Santander Issuances SA Unipersonal 0.631% 6/20/16 (c)(j)

398,837

383,631

SouthTrust Corp. 5.8% 6/15/14

1,440,000

1,527,024

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

957,000

1,013,197

Wachovia Bank NA 4.875% 2/1/15

4,405,000

4,567,549

Wachovia Corp. 4.875% 2/15/14

785,000

813,234

Wells Fargo & Co.:

3.625% 4/15/15

4,064,000

4,032,276

3.75% 10/1/14

3,750,000

3,795,424

5.625% 12/11/17

4,754,000

5,043,357

 

100,335,099

Consumer Finance - 1.0%

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

2,580,000

3,117,306

Capital One Financial Corp.:

5.7% 9/15/11

1,991,000

2,080,890

7.375% 5/23/14

3,210,000

3,668,170

Discover Financial Services 0.7856% 6/11/10 (j)

4,407,000

4,402,311

General Electric Capital Corp.:

5.625% 9/15/17

2,420,000

2,548,088

5.625% 5/1/18

9,700,000

10,136,616

5.875% 1/14/38

3,600,000

3,422,696

5.9% 5/13/14

4,170,000

4,588,026

6.375% 11/15/67 (j)

4,000,000

3,755,000

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

1,075,000

1,177,883

MBNA Corp. 7.5% 3/15/12

1,860,000

2,024,653

 

40,921,639

Diversified Financial Services - 1.4%

BP Capital Markets PLC 5.25% 11/7/13

7,866,000

8,655,943

Citigroup, Inc.:

5.3% 10/17/12

2,152,000

2,260,239

5.5% 4/11/13

1,390,000

1,460,586

6.125% 5/15/18

6,240,000

6,375,963

 

 

Principal Amount

Value

6.5% 8/19/13

$ 8,073,000

$ 8,702,791

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

4,750,000

4,402,338

JPMorgan Chase & Co.:

4.891% 9/1/15 (j)

20,000

20,126

5.6% 6/1/11

88,000

92,673

5.75% 1/2/13

3,500,000

3,798,445

6.3% 4/23/19

3,920,000

4,325,940

Prime Property Funding, Inc.:

5.125% 6/1/15 (c)

3,375,000

3,050,012

5.35% 4/15/12 (c)

1,700,000

1,732,380

5.5% 1/15/14 (c)

2,405,000

2,352,215

TECO Finance, Inc.:

4% 3/15/16

1,075,000

1,059,332

5.15% 3/15/20

1,545,000

1,525,691

7% 5/1/12

799,000

861,322

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

3,716,000

3,548,780

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

254,000

238,577

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

1,016,000

960,120

 

55,423,473

Insurance - 1.9%

Allstate Corp.:

6.2% 5/16/14

2,709,000

3,015,317

7.45% 5/16/19

2,682,000

3,147,225

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

3,075,000

2,598,375

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

420,000

438,031

Lincoln National Corp. 7% 5/17/66 (j)

4,785,000

4,354,350

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

6,066,000

7,554,220

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

3,000,000

3,821,508

Merna Reinsurance Ltd. Series 2007-1 Class B, 2.0401% 6/30/12 (c)(j)

3,285,000

3,258,063

MetLife, Inc.:

6.75% 6/1/16

3,234,000

3,628,078

7.717% 2/15/19

2,265,000

2,644,754

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

2,884,000

3,054,692

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

6,045,000

6,471,644

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

2,390,000

2,618,405

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

2,060,000

2,067,350

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

3,690,000

3,890,397

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

3,660,000

4,535,212

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Insurance - continued

Pacific LifeCorp 6% 2/10/20 (c)

$ 2,514,000

$ 2,453,853

Prudential Financial, Inc.:

5.4% 6/13/35

1,651,000

1,470,138

5.5% 3/15/16

1,552,000

1,607,496

6.2% 1/15/15

460,000

502,147

7.375% 6/15/19

1,250,000

1,433,485

8.875% 6/15/38 (j)

4,682,000

5,255,545

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

6,355,000

6,309,091

The Chubb Corp. 5.75% 5/15/18

1,895,000

2,048,847

 

78,178,223

Real Estate Investment Trusts - 0.7%

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

508,000

535,266

Camden Property Trust 5.375% 12/15/13

2,985,000

3,120,229

Developers Diversified Realty Corp.:

4.625% 8/1/10

225,000

225,453

5% 5/3/10

2,435,000

2,438,577

5.25% 4/15/11

2,335,000

2,333,359

5.375% 10/15/12

1,240,000

1,238,616

7.5% 4/1/17

1,944,000

1,966,692

Duke Realty LP 4.625% 5/15/13

925,000

931,293

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

2,390,000

2,313,503

Federal Realty Investment Trust:

5.4% 12/1/13

1,390,000

1,470,848

5.9% 4/1/20

1,046,000

1,048,179

HRPT Properties Trust:

5.75% 11/1/15

670,000

663,861

6.25% 6/15/17

4,455,000

4,393,637

UDR, Inc. 5.5% 4/1/14

2,690,000

2,754,777

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

890,000

891,220

Washington (REIT) 5.95% 6/15/11

3,015,000

3,088,717

 

29,414,227

Real Estate Management & Development - 1.8%

AMB Property LP 5.9% 8/15/13

2,575,000

2,669,737

Brandywine Operating Partnership LP:

5.625% 12/15/10

2,260,000

2,300,886

5.7% 5/1/17

5,000,000

4,745,440

5.75% 4/1/12

1,356,000

1,393,000

Colonial Properties Trust:

4.8% 4/1/11

269,000

264,922

5.5% 10/1/15

6,290,000

5,976,745

Duke Realty LP:

5.4% 8/15/14

2,175,000

2,202,499

5.5% 3/1/16

1,270,000

1,241,396

5.625% 8/15/11

3,500,000

3,626,448

5.95% 2/15/17

778,000

764,895

 

 

Principal Amount

Value

6.25% 5/15/13

$ 2,800,000

$ 2,955,847

6.5% 1/15/18

2,445,000

2,444,883

6.95% 3/15/11

1,535,000

1,593,741

ERP Operating LP:

5.375% 8/1/16

1,034,000

1,069,852

5.5% 10/1/12

3,548,000

3,760,486

5.75% 6/15/17

3,760,000

3,886,216

Liberty Property LP:

5.5% 12/15/16

2,275,000

2,205,289

6.625% 10/1/17

2,290,000

2,316,411

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

1,735,000

1,736,025

Post Apartment Homes LP 6.3% 6/1/13

2,655,000

2,791,525

Reckson Operating Partnership LP:

5.15% 1/15/11

795,000

802,950

6% 3/31/16

3,099,000

3,045,651

Regency Centers LP:

5.875% 6/15/17

1,815,000

1,811,936

6.75% 1/15/12

2,035,000

2,144,194

Simon Property Group LP:

4.2% 2/1/15

1,523,000

1,526,867

4.6% 6/15/10

1,583,000

1,593,519

4.875% 8/15/10

4,120,000

4,172,402

5.1% 6/15/15

2,220,000

2,280,002

6.75% 2/1/40

3,681,000

3,661,712

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

2,400,000

2,603,357

 

73,588,833

Thrifts & Mortgage Finance - 0.4%

Bank of America Corp.:

5.65% 5/1/18

4,438,000

4,489,791

6.5% 8/1/16

3,000,000

3,242,985

7.375% 5/15/14

759,000

853,527

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

2,176,000

2,198,966

Independence Community Bank Corp. 2.0706% 4/1/14 (j)

4,690,000

4,605,200

 

15,390,469

TOTAL FINANCIALS

498,455,553

HEALTH CARE - 0.2%

Health Care Providers & Services - 0.1%

Express Scripts, Inc.:

5.25% 6/15/12

3,016,000

3,215,822

6.25% 6/15/14

1,786,000

1,978,768

7.25% 6/15/19

1,157,000

1,339,451

 

6,534,041

Nonconvertible Bonds - continued

 

Principal Amount

Value

HEALTH CARE - continued

Pharmaceuticals - 0.1%

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

$ 2,940,000

$ 3,219,035

TOTAL HEALTH CARE

9,753,076

INDUSTRIALS - 1.0%

Aerospace & Defense - 0.1%

Bombardier, Inc. 6.3% 5/1/14 (c)

4,515,000

4,684,313

Airlines - 0.6%

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

230,254

230,254

Continental Airlines, Inc.:

6.648% 3/15/19

1,468,210

1,471,146

6.795% 2/2/20

2,771,483

2,584,408

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

6.821% 8/10/22

2,578,654

2,588,324

7.57% 11/18/10

5,885,000

5,958,563

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

2,968,066

2,789,982

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,326,339

1,134,020

8.36% 7/20/20

5,135,950

4,904,832

 

21,661,529

Industrial Conglomerates - 0.3%

Covidien International Finance SA 5.45% 10/15/12

2,155,000

2,352,553

General Electric Co. 5.25% 12/6/17

7,130,000

7,478,286

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

3,600,000

3,700,235

 

13,531,074

TOTAL INDUSTRIALS

39,876,916

INFORMATION TECHNOLOGY - 0.0%

Semiconductors & Semiconductor Equipment - 0.0%

National Semiconductor Corp. 0.507% 6/15/10 (j)

1,092,000

1,090,714

MATERIALS - 1.2%

Chemicals - 0.5%

Dow Chemical Co.:

4.85% 8/15/12

3,520,000

3,722,463

7.6% 5/15/14

6,141,000

7,010,516

 

 

Principal Amount

Value

8.55% 5/15/19

$ 4,126,000

$ 4,991,391

Lubrizol Corp. 8.875% 2/1/19

3,277,000

4,133,146

 

19,857,516

Metals & Mining - 0.7%

Anglo American Capital PLC:

9.375% 4/8/14 (c)

2,675,000

3,213,266

9.375% 4/8/19 (c)

1,422,000

1,811,218

BHP Billiton Financial (USA) Ltd. 5.5% 4/1/14

3,707,000

4,079,031

Rio Tinto Finance (USA) Ltd.:

5.875% 7/15/13

7,725,000

8,491,274

6.5% 7/15/18

2,796,000

3,147,088

7.125% 7/15/28

3,500,000

4,006,286

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

1,771,000

1,523,060

Vale Overseas Ltd. 6.25% 1/23/17

3,115,000

3,377,252

 

29,648,475

TOTAL MATERIALS

49,505,991

TELECOMMUNICATION SERVICES - 1.6%

Diversified Telecommunication Services - 1.2%

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

2,150,000

2,492,160

AT&T, Inc.:

6.3% 1/15/38

364,000

369,381

6.8% 5/15/36

10,939,000

11,565,991

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

526,000

611,351

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

2,500,000

2,680,853

Sprint Capital Corp. 6.875% 11/15/28

7,050,000

5,675,250

Telecom Italia Capital SA:

4.95% 9/30/14

2,000,000

2,051,662

5.25% 10/1/15

192,000

196,587

6.999% 6/4/18

3,792,000

4,101,029

7.2% 7/18/36

3,523,000

3,557,004

Telefonica Emisiones SAU:

5.855% 2/4/13

1,438,000

1,563,568

6.221% 7/3/17

2,885,000

3,163,881

Verizon Communications, Inc.:

6.1% 4/15/18

2,190,000

2,395,577

6.25% 4/1/37

1,380,000

1,398,593

6.4% 2/15/38

2,548,000

2,643,632

6.9% 4/15/38

2,420,000

2,668,991

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

1,095,000

1,192,291

 

48,327,801

Wireless Telecommunication Services - 0.4%

AT&T Wireless Services, Inc.:

7.875% 3/1/11

740,000

787,523

8.125% 5/1/12

1,130,000

1,275,168

Nonconvertible Bonds - continued

 

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - continued

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14 (c)

$ 3,759,000

$ 3,927,080

5.875% 10/1/19 (c)

4,711,000

4,902,681

6.35% 3/15/40 (c)

1,471,000

1,460,206

Sprint Nextel Corp. 6% 12/1/16

2,260,000

2,039,650

Vodafone Group PLC 5% 12/16/13

2,775,000

2,994,938

 

17,387,246

TOTAL TELECOMMUNICATION SERVICES

65,715,047

UTILITIES - 2.4%

Electric Utilities - 0.9%

AmerenUE 6.4% 6/15/17

3,819,000

4,190,726

Commonwealth Edison Co. 5.4% 12/15/11

1,925,000

2,047,424

EDP Finance BV:

4.9% 10/1/19 (c)

1,100,000

1,040,586

6% 2/2/18 (c)

2,864,000

2,947,729

FirstEnergy Solutions Corp.:

4.8% 2/15/15

990,000

1,013,189

6.05% 8/15/21

1,442,000

1,443,863

Illinois Power Co. 6.125% 11/15/17

1,465,000

1,560,237

Nevada Power Co. 6.5% 5/15/18

3,165,000

3,459,785

Ohio Power Co. 0.4306% 4/5/10 (j)

1,167,000

1,167,000

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

1,885,000

2,038,375

Pennsylvania Electric Co. 6.05% 9/1/17

2,905,000

3,067,183

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

6,230,000

5,435,675

Progress Energy, Inc.:

5.625% 1/15/16

2,000,000

2,141,488

7.1% 3/1/11

3,932,000

4,135,088

 

35,688,348

Gas Utilities - 0.0%

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

185,000

192,257

Independent Power Producers & Energy Traders - 0.3%

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

6,685,000

7,275,152

PPL Energy Supply LLC:

6.2% 5/15/16

1,229,000

1,318,418

6.5% 5/1/18

2,640,000

2,813,057

 

11,406,627

 

 

Principal Amount

Value

Multi-Utilities - 1.2%

Consolidated Edison Co. of New York, Inc. 5.5% 12/1/39

$ 1,848,000

$ 1,765,529

Dominion Resources, Inc.:

4.75% 12/15/10

3,540,000

3,636,815

6.25% 6/30/12

1,938,000

2,109,215

6.3% 9/30/66 (j)

9,626,000

9,096,570

DTE Energy Co. 7.05% 6/1/11

3,500,000

3,688,986

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18

2,336,000

2,468,596

5.875% 10/1/12

2,880,000

3,143,912

6.5% 9/15/37

2,164,000

2,288,380

National Grid PLC 6.3% 8/1/16

7,820,000

8,695,128

NiSource Finance Corp.:

5.4% 7/15/14

3,885,000

4,096,985

5.45% 9/15/20

943,000

934,719

6.4% 3/15/18

2,760,000

2,959,302

7.875% 11/15/10

925,000

960,485

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

2,740,000

2,603,000

WPS Resources Corp. 6.11% 12/1/66 (j)

2,330,000

2,085,350

 

50,532,972

TOTAL UTILITIES

97,820,204

TOTAL NONCONVERTIBLE BONDS

(Cost $940,420,249)

995,614,576

U.S. Government and Government Agency Obligations - 34.5%

 

Other Government Related - 0.5%

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

18,220,000

18,546,721

U.S. Government Agency Obligations - 2.1%

Fannie Mae:

1% 4/4/12

23,245,000

23,149,742

1.75% 2/22/13

20,000,000

20,015,800

2.5% 5/15/14

1,734,000

1,743,863

2.75% 3/13/14

2,460,000

2,504,039

5% 2/16/12

11,940,000

12,787,489

Federal Home Loan Bank:

1.625% 11/21/12

7,625,000

7,645,633

1.625% 3/20/13

4,450,000

4,445,274

3.625% 5/29/13

2,940,000

3,100,298

Freddie Mac:

1.625% 4/15/13

4,110,000

4,086,141

2.125% 3/23/12

1,744,000

1,775,528

U.S. Government and Government Agency Obligations - continued

 

Principal Amount

Value

U.S. Government Agency Obligations - continued

Tennessee Valley Authority 5.375% 4/1/56

$ 2,375,000

$ 2,363,001

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

1,090,000

1,089,808

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

84,706,616

U.S. Treasury Inflation Protected Obligations - 6.3%

U.S. Treasury Inflation-Indexed Notes:

1.625% 1/15/18

18,926,043

19,383,512

2% 1/15/14 (g)

181,864,813

193,338,045

2% 7/15/14

5,747,150

6,122,252

2.625% 7/15/17

35,125,104

38,680,102

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

257,523,911

U.S. Treasury Obligations - 25.6%

U.S. Treasury Bonds:

4.375% 11/15/39

36,760,000

34,761,175

4.5% 8/15/39

64,073,000

61,880,486

U.S. Treasury Notes:

1.375% 10/15/12

60,966,000

61,042,208

1.75% 3/31/14

90,282,000

88,927,770

1.875% 6/15/12

53,610,000

54,481,163

2.375% 8/31/14

130,000,000

130,274,170

2.375% 2/28/15

39,150,000

38,877,908

2.625% 7/31/14

265,000,000

268,581,740

2.625% 12/31/14

56,560,000

56,966,553

3.125% 5/15/19

90,000,000

85,717,980

3.375% 6/30/13 (g)

126,309,000

132,900,814

3.375% 11/15/19

24,935,000

24,060,330

TOTAL U.S. TREASURY OBLIGATIONS

1,038,472,297

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,379,630,858)

1,399,249,545

U.S. Government Agency - Mortgage Securities - 32.1%

 

Fannie Mae - 27.8%

2.101% 4/1/36 (j)

2,126,259

2,185,718

2.129% 7/1/35 (j)

63,026

64,805

 

 

Principal Amount

Value

2.154% 9/1/33 (j)

$ 758,858

$ 772,726

2.234% 1/1/35 (j)

1,975,749

2,034,981

2.24% 4/1/36 (j)

1,930,975

1,990,069

2.251% 5/1/34 (j)

1,628,215

1,659,274

2.403% 10/1/33 (j)

55,968

57,602

2.5% 10/1/33 (j)

1,437,518

1,479,291

2.584% 2/1/35 (j)

3,745,068

3,877,056

2.63% 3/1/35 (j)

552,316

572,841

2.787% 8/1/35 (j)

641,254

667,322

2.79% 7/1/34 (j)

2,545,183

2,636,518

2.799% 10/1/33 (j)

119,902

124,828

2.823% 8/1/36 (j)

2,460,244

2,560,108

2.869% 6/1/34 (j)

691,615

717,780

2.921% 3/1/35 (j)

23,148

23,566

2.938% 7/1/35 (j)

484,609

502,465

3.092% 5/1/35 (j)

306,879

320,572

3.172% 3/1/35 (j)

85,055

88,208

3.251% 7/1/35 (j)

157,674

163,717

3.265% 9/1/34 (j)

1,194,860

1,233,648

3.333% 2/1/34 (j)

39,693

41,201

3.358% 7/1/34 (j)

78,666

81,182

3.38% 7/1/35 (j)

575,765

595,628

3.396% 10/1/35 (j)

1,077,909

1,114,496

3.411% 11/1/36 (j)

2,010,274

2,085,556

3.444% 7/1/35 (j)

2,730,530

2,808,145

3.47% 4/1/35 (j)

2,460,729

2,558,341

3.52% 9/1/35 (j)

3,068,220

3,185,236

3.673% 4/1/36 (j)

2,824,188

2,956,352

3.692% 3/1/34 (j)

133,511

137,468

3.699% 3/1/35 (j)

208,013

216,817

3.939% 9/1/36 (j)

1,311,580

1,371,122

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

2,260,652

2,345,671

4% 4/1/25 (e)

24,000,000

24,341,491

4% 4/1/25 (e)

7,000,000

7,099,602

4% 4/1/40

11,000,000

10,663,811

4.093% 5/1/36 (j)

759,224

789,850

4.174% 2/1/35 (j)

4,733,374

4,926,260

4.278% 6/1/36 (j)

226,423

234,510

4.294% 10/1/37 (j)

65,219

67,834

4.5% 4/1/23 to 3/1/40

150,599,714

151,430,213

4.5% 4/1/25 (e)

16,000,000

16,587,822

4.5% 4/1/40 (e)(f)

10,000,000

10,017,157

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

126,958,242

131,703,195

5% 4/1/25 (e)

7,800,000

8,224,825

5% 3/1/40 (e)

17,000,000

17,558,523

5% 4/1/40 (e)(f)

10,000,000

10,312,527

5% 4/1/40 (e)(f)

27,800,000

28,668,825

5% 4/1/40 (e)(f)

20,000,000

20,625,054

5% 4/1/40 (e)(f)

1,000,000

1,031,253

5% 4/1/40 (e)

18,000,000

18,562,549

5% 6/1/40 (e)

38,800,000

39,707,967

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Fannie Mae - continued

5.145% 5/1/35 (j)

$ 2,004,639

$ 2,046,759

5.321% 12/1/35 (j)

942,469

988,172

5.322% 2/1/36 (j)

2,048,892

2,150,556

5.496% 7/1/37 (j)

537,757

561,789

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

208,614,939

221,362,999

5.5% 4/1/34

356,071

376,914

5.5% 4/1/40 (e)(f)

4,000,000

4,214,456

5.5% 4/1/40 (e)(f)

47,000,000

49,519,853

5.5% 5/1/40 (e)(f)

12,000,000

12,594,617

5.5% 5/1/40 (e)(f)

22,000,000

23,090,131

5.734% 9/1/35 (j)

769,162

808,221

6% 6/1/14 to 7/1/37

69,676,926

75,389,182

6% 4/1/40 (e)(f)

10,250,000

10,886,066

6% 5/1/40 (e)(f)

10,250,000

10,928,107

6% 5/1/40 (e)

21,000,000

22,389,293

6% 5/1/40 (e)(f)

9,000,000

9,595,411

6% 5/1/40 (e)(f)

8,200,000

8,742,486

6% 6/1/40 (e)

8,200,000

8,715,580

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

47,439,784

51,682,631

6.5% 4/1/40 (e)(f)

24,100,000

26,118,912

6.5% 4/1/40 (e)(f)

12,000,000

13,005,268

6.5% 5/1/40 (e)(f)

11,100,000

11,986,947

6.5% 5/1/40 (e)(f)

13,000,000

14,038,766

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

2,384,380

2,673,021

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

1,973,277

2,164,101

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

57,798

64,120

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

904

1,017

TOTAL FANNIE MAE

1,131,878,953

Freddie Mac - 1.7%

2.624% 1/1/35 (j)

296,761

307,914

2.823% 3/1/35 (j)

460,713

477,957

3.018% 3/1/36 (j)

410,055

422,588

3.146% 5/1/35 (j)

1,532,150

1,588,749

3.295% 1/1/35 (j)

1,027,227

1,069,295

3.938% 6/1/35 (j)

218,188

226,674

3.969% 3/1/33 (j)

23,651

24,788

4% 4/1/25 (e)

1,750,000

1,775,174

4.598% 4/1/35 (j)

978,993

1,004,407

5% 9/1/39

5,866,297

6,079,883

5% 4/1/40 (e)

10,000,000

10,325,027

5.38% 11/1/35 (j)

602,663

633,172

5.457% 1/1/36 (j)

984,089

1,023,642

5.588% 10/1/35 (j)

203,577

213,915

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

5,515,628

6,006,446

6% 3/1/40 (e)(f)

3,000,000

3,223,900

6% 4/10/40 (e)

9,000,000

9,654,122

6% 4/10/40 (e)

5,000,000

5,363,401

 

 

Principal Amount

Value

6% 4/10/40 (e)

$ 5,500,000

$ 5,899,741

6.5% 4/1/40 (e)

12,000,000

13,040,893

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

187,404

205,452

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

30,550

33,712

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

147,964

165,865

TOTAL FREDDIE MAC

68,766,717

Government National Mortgage Association - 2.6%

4% 4/1/40 (e)

7,000,000

6,849,500

4% 4/1/40 (e)(f)

17,000,000

16,634,500

4% 4/1/40 (e)

3,000,000

2,935,500

4% 4/1/40 (e)

9,000,000

8,806,500

4.5% 4/1/40 (e)

9,000,000

9,077,344

4.5% 4/1/40 (e)

8,000,000

8,068,750

4.5% 4/1/40 (e)

19,000,000

19,163,282

4.5% 4/1/40 (e)

10,000,000

10,085,938

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

8,484,371

9,195,205

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

7,897,607

8,669,563

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

3,849,101

4,262,034

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

957,655

1,048,493

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

103,661

113,948

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

20,418

22,627

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

104,933,184

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,281,038,216)

1,305,578,854

Asset-Backed Securities - 2.4%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7161% 4/25/35 (j)

642,067

380,469

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M1, 0.9961% 2/25/34 (j)

45,468

43,010

Series 2005-HE2 Class M2, 0.6961% 4/25/35 (j)

79,767

70,794

Advanta Business Card Master Trust:

Series 2006-A6 Class A6, 0.2698% 9/20/13 (j)

793,224

776,156

Series 2006-A7 Class A7, 0.2598% 10/20/12 (j)

450,179

440,492

Series 2006-C1 Class C1, 0.7198% 10/20/14 (j)

65,367

1,430

Series 2007-A1 Class A, 0.2898% 1/20/15 (j)

307,334

300,721

Series 2007-A4 Class A4, 0.2698% 4/22/13 (j)

332,440

325,287

Series 2007-A5 Class A5, 0.7398% 8/20/13 (j)

627,653

614,148

Asset-Backed Securities - continued

 

Principal Amount

Value

Airspeed Ltd. Series 2007-1A Class C1, 2.73% 6/15/32 (c)(j)

$ 2,716,469

$ 1,208,829

ALG Student Loan Trust I Series 2006-1 Class A1, 0.2588% 10/28/18 (c)(j)

114,828

114,785

Ally Auto Receivables Trust Series 2009-A:

Class A3, 2.33% 6/17/13 (c)

1,620,000

1,644,566

Class A4, 3% 10/15/15 (c)

1,600,000

1,636,911

AmeriCredit Automobile Receivables Trust:

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

1,188,961

1,199,836

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

5,225,000

5,379,052

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9461% 12/25/33 (j)

38,683

24,709

Series 2004-R2 Class M3, 0.7961% 4/25/34 (j)

53,982

5,818

Series 2005-R2 Class M1, 0.6961% 4/25/35 (j)

727,000

540,200

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.6188% 3/1/34 (j)

16,878

12,229

Series 2004-W11 Class M2, 0.9461% 11/25/34 (j)

198,000

98,641

Series 2004-W7 Class M1, 0.7961% 5/25/34 (j)

209,000

100,230

Series 2006-W4 Class A2C, 0.4061% 5/25/36 (j)

532,012

176,972

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.0711% 4/25/34 (j)

940,000

576,920

Bank of America Auto Trust:

Series 2009-1A Class A4, 3.52% 6/15/16 (c)

3,100,000

3,227,458

Series 2009-2A Class A3, 2.13% 9/15/13 (c)

2,600,000

2,639,216

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.2935% 12/26/24 (j)

773,071

734,417

C-BASS Trust Series 2006-CB7 Class A2, 0.3061% 10/25/36 (j)

78,447

75,533

Capital Auto Receivables Asset Trust Series 2007-SN1:

Class B, 5.52% 3/15/11

1,140,000

1,143,166

Class C, 5.73% 3/15/11

660,000

661,608

Class D, 6.05% 1/17/12

1,630,000

1,626,643

Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.52% 4/15/13 (c)(j)

1,024,000

1,020,457

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

4,260,000

4,383,189

 

 

Principal Amount

Value

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5461% 7/25/36 (j)

$ 402,000

$ 80,793

Series 2006-NC3 Class M10, 2.2461% 8/25/36 (c)(j)

255,000

6,409

Series 2007-RFC1 Class A3, 0.3861% 12/25/36 (j)

635,000

215,143

Cendant Timeshare Receivables Funding LLC:

Series 2005 1A Class 2A2, 0.4198% 5/20/17 (c)(j)

61,408

54,863

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

262,422

246,177

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

2,000,000

2,076,972

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

7,500,000

7,496,843

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

62,024

62,027

Citibank Credit Card Issuance Trust:

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

4,800,000

4,895,356

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

12,500,000

12,572,640

Citigroup Mortgage Loan Trust Series 2007-AMC4 Class M1, 0.5161% 5/25/37 (j)

270,000

10,800

Countrywide Home Loans, Inc.:

Series 2004-3 Class M4, 1.2161% 4/25/34 (j)

56,336

14,715

Series 2004-4 Class M2, 1.0411% 6/25/34 (j)

207,174

72,782

Series 2005-3 Class MV1, 0.6661% 8/25/35 (j)

543,896

488,586

Series 2005-AB1 Class A2, 0.4561% 8/25/35 (j)

86,799

79,829

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

840,000

756,739

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.6497% 5/28/35 (j)

13,702

11,739

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 2.4211% 8/25/34 (j)

102,000

36,411

Series 2006-3 Class 2A3, 0.4061% 11/25/36 (j)

1,585,000

505,870

First Franklin Mortgage Loan Trust:

Series 2004-FF2 Class M3, 1.0711% 3/25/34 (j)

6,406

1,579

Series 2006-FF12 Class A2, 0.2861% 9/25/36 (j)

19,132

18,942

Asset-Backed Securities - continued

 

Principal Amount

Value

Ford Credit Auto Owner Trust:

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

$ 1,025,000

$ 1,070,508

Series 2009-D:

Class A3, 2.17% 10/15/13

2,000,000

2,030,244

Class A4, 2.98% 8/15/14

1,800,000

1,850,100

Ford Credit Floorplan Master Owner Trust Series 2006-4 Class B, 0.78% 6/15/13 (j)

272,000

262,884

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.7361% 1/25/35 (j)

334,000

112,179

Class M4, 0.9261% 1/25/35 (j)

128,000

17,780

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6319% 2/25/47 (c)(j)

829,000

538,850

GE Business Loan Trust Series 2003-1 Class A, 0.66% 4/15/31 (c)(j)

110,090

96,879

GSAMP Trust:

Series 2004-AR1:

Class B4, 5% 6/25/34 (c)(j)

191,068

37,016

Class M1, 0.8961% 6/25/34 (j)

772,000

483,179

Series 2007-HE1 Class M1, 0.4961% 3/25/47 (j)

289,000

15,394

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 1.3261% 5/25/30 (c)(j)

232,504

58,126

Series 2006-3 Class C, 0.7961% 9/25/46 (c)(j)

538,000

75,320

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.5361% 8/25/33 (j)

301,864

211,695

Series 2003-5 Class A2, 0.9461% 12/25/33 (j)

11,595

6,047

Series 2005-5 Class 2A2, 0.4961% 11/25/35 (j)

64,394

62,280

Series 2006-1 Class 2A3, 0.4711% 4/25/36 (j)

681,343

641,561

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5298% 3/20/36 (j)

314,219

189,064

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4361% 1/25/37 (j)

436,000

153,824

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

2,040,000

2,069,803

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.3761% 11/25/36 (j)

438,000

357,232

Class MV1, 0.4761% 11/25/36 (j)

356,000

131,381

 

 

Principal Amount

Value

Keycorp Student Loan Trust Series 1999-A Class A2, 0.6178% 12/27/29 (j)

$ 309,254

$ 253,842

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3261% 6/25/34 (j)

79,253

56,115

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.5061% 10/25/36 (j)

158,000

5,138

Series 2007-HE1 Class M1, 0.5461% 5/25/37 (j)

249,000

12,033

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 0.8961% 7/25/34 (j)

41,065

29,511

Series 2006-FM1 Class A2B, 0.3561% 4/25/37 (j)

664,990

583,188

Series 2006-OPT1 Class A1A, 0.5061% 6/25/35 (j)

585,256

334,026

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5861% 8/25/34 (j)

20,187

15,718

Series 2005-NC1 Class M1, 0.6861% 1/25/35 (j)

141,000

45,612

National Collegiate Student Loan Trust:

Series 2006-3 Class A1, 0.2761% 9/25/19 (j)

59,522

59,261

Series 2006-4 Class A1, 0.2761% 3/25/25 (j)

200,505

197,343

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7561% 9/25/35 (j)

503,000

209,671

Series 2005-D Class M2, 0.7161% 2/25/36 (j)

105,000

10,805

Nomura Home Equity Loan Trust Series 2006-HE2 Class A2, 0.3661% 3/25/36 (j)

77,444

75,661

Ocala Funding LLC Series 2006-1A Class A, 1.6398% 3/20/11 (a)(c)(j)

414,000

153,180

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4961% 9/25/34 (j)

188,000

52,703

Class M4, 1.6961% 9/25/34 (j)

241,000

34,497

Series 2005-WCH1:

Class M2, 0.7661% 1/25/35 (j)

1,972,000

1,550,892

Class M3, 0.8061% 1/25/35 (j)

168,000

64,297

Class M4, 1.0761% 1/25/35 (j)

520,000

87,489

Series 2005-WHQ2 Class M7, 1.4961% 5/25/35 (j)

1,251,000

17,932

Asset-Backed Securities - continued

 

Principal Amount

Value

Providian Master Note Trust Series 2006-C1A Class C1, 0.78% 3/16/15 (c)(j)

$ 759,000

$ 752,552

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.3161% 2/25/37 (j)

343,781

332,858

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0461% 4/25/33 (j)

1,796

1,043

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0411% 3/25/35 (j)

623,375

401,274

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3898% 3/20/19 (c)(j)

275,917

256,453

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.207% 6/15/33 (j)

448,000

68,040

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.3961% 9/25/34 (j)

27,575

5,897

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 0.4788% 11/25/37 (j)

4,912,359

4,343,758

Swift Master Auto Receivables Trust Series 2007-1:

Class A, 0.33% 6/15/12 (j)

1,012,000

1,010,499

Class B, 0.45% 6/15/12 (j)

2,515,000

2,506,881

Class C, 0.73% 6/15/12 (j)

1,500,000

1,493,680

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.1061% 9/25/34 (j)

10,148

7,410

Turquoise Card Backed Securities PLC Series 2007-1 Class C, 0.6% 6/15/12 (j)

1,292,000

1,278,904

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

1,719,921

1,736,312

WaMu Master Note Trust:

Series 2006-C2A Class C2, 0.73% 8/15/15 (c)(j)

2,465,000

2,431,468

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

4,135,000

4,229,185

Series 2007-A5A Class A5, 0.98% 10/15/14 (c)(j)

590,000

590,513

Series 2007-C1 Class C1, 0.63% 5/15/14 (c)(j)

1,501,000

1,499,786

Whinstone Capital Management Ltd. Series 1A Class B3, 1.1489% 10/25/44 (c)(j)

630,180

144,941

TOTAL ASSET-BACKED SECURITIES

(Cost $101,718,199)

98,300,821

Collateralized Mortgage Obligations - 2.0%

 

Principal Amount

Value

Private Sponsor - 1.4%

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 0.6813% 4/12/56 (c)(j)

$ 503,217

$ 207,891

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6986% 4/10/49 (j)

485,000

114,039

Class C, 5.6986% 4/10/49 (j)

1,290,000

288,407

Class D, 5.6986% 4/10/49 (j)

650,000

123,037

Banc of America Mortgage Securities, Inc.:

Series 2004-B Class 1A1, 3.8529% 3/25/34 (j)

20,981

18,095

Series 2005-E Class 2A7, 4.6133% 6/25/35 (j)

2,680,000

2,067,842

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.5261% 1/25/35 (j)

859,422

648,631

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 3.7046% 2/25/37 (j)

486,533

432,716

Series 2007-A2 Class 2A1, 3.5637% 7/25/37 (j)

251,301

233,891

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.0952% 12/10/49 (j)

7,310,000

7,728,394

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.9377% 8/25/34 (j)

2,657,310

2,465,946

Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.6461% 5/25/33 (j)

8,792

8,424

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 3.5479% 11/25/34 (j)

890,641

837,234

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.3274% 9/19/36 (j)

64,995

63,356

Fosse Master Issuer PLC floater Series 2006-1A:

Class B2, 0.4113% 10/18/54 (c)(j)

1,007,000

966,921

Class C2, 0.7213% 10/18/54 (c)(j)

337,000

311,455

Class M2, 0.5013% 10/18/54 (c)(j)

579,000

552,945

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7213% 11/20/56 (c)(j)

863,000

794,840

Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 0.7194% 10/11/41 (c)(j)

1,097,000

1,048,140

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 0.8398% 12/20/54 (c)(j)

2,117,000

751,535

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Granite Master Issuer PLC floater: - continued

Series 2006-2 Class C1, 0.7098% 12/20/54 (j)

$ 1,885,000

$ 716,300

Series 2006-3 Class C2, 0.7398% 12/20/54 (j)

396,000

138,600

Series 2006-4:

Class B1, 0.3298% 12/20/54 (j)

1,059,000

757,185

Class C1, 0.6198% 12/20/54 (j)

647,000

242,625

Class M1, 0.4098% 12/20/54 (j)

279,000

177,812

Series 2007-1:

Class 1C1, 0.5398% 12/20/54 (j)

654,000

248,520

Class 1M1, 0.3898% 12/20/54 (j)

425,000

255,000

Class 2C1, 0.6698% 12/20/54 (j)

298,000

113,240

Class 2M1, 0.4898% 12/20/54 (j)

546,000

327,600

Series 2007-2 Class 2C1, 0.6603% 12/17/54 (j)

757,000

280,090

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6988% 1/20/44 (j)

151,584

84,523

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 3.2382% 4/25/35 (j)

1,179,269

989,377

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.4574% 5/19/35 (j)

140,930

82,376

Impac CMB Trust floater Series 2004-11 Class 2A2, 0.9861% 3/25/35 (j)

75,525

24,664

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

6,230,000

6,378,943

JPMorgan Mortgage Trust:

Series 2004-A5 Class 2A1, 3.0186% 12/25/34 (j)

823,949

784,913

Series 2006-A2 Class 5A1, 3.4308% 11/25/33 (j)

1,067,970

980,691

Series 2007-A1 Class 1A1, 4.0138% 7/25/35 (j)

2,590,171

2,505,278

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4561% 5/25/47 (j)

437,628

181,625

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4161% 2/25/37 (j)

580,987

315,455

 

 

Principal Amount

Value

Merrill Lynch Floating Trust floater Series 2006-1:

Class C, 0.42% 6/15/22 (c)(j)

$ 449,000

$ 291,850

Class D, 0.43% 6/15/22 (c)(j)

173,000

95,150

Class E, 0.44% 6/15/22 (c)(j)

276,000

143,520

Class F, 0.47% 6/15/22 (c)(j)

498,000

234,060

Class G, 0.54% 6/15/22 (c)(j)

103,000

46,350

Class H, 0.56% 6/15/22 (c)(j)

207,000

82,800

Class J, 0.6% 6/15/22 (c)(j)

242,000

84,700

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

4,570,000

4,778,681

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5361% 7/25/35 (j)

940,310

727,663

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5461% 3/25/37 (j)

861,000

52,611

Permanent Financing No. 8 PLC floater Class 3C, 0.7743% 6/10/42 (j)

723,000

713,042

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 3.924% 10/25/35 (j)

1,735,802

1,370,776

RESI Finance LP/RESI Finance DE Corp. floater:

Series 2003-B Class B5, 2.58% 7/10/35 (c)(j)

367,745

173,907

Series 2004-A:

Class B4, 1.43% 2/10/36 (c)(j)

238,076

124,847

Class B5, 1.93% 2/10/36 (c)(j)

158,976

84,209

Series 2004-B Class B4, 1.33% 2/10/36 (c)(j)

107,733

55,375

Series 2004-C:

Class B4, 1.18% 9/10/36 (c)(j)

142,978

70,288

Class B5, 1.58% 9/10/36 (c)(j)

159,898

70,467

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

63,998

63,796

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6961% 6/25/33 (c)(j)

96,571

80,711

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 0.8839% 7/20/34 (j)

14,901

7,502

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4288% 9/25/36 (j)

1,153,000

621,693

WaMu Mortgage pass-thru certificates floater Series 2006-AR11 Class C1B1, 0.3261% 9/25/46 (j)

333

328

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-H Class A1, 4.5314% 6/25/34 (j)

959,300

942,731

Series 2005-AR10 Class 2A2, 3.0104% 6/25/35 (j)

3,205,862

3,080,672

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

Wells Fargo Mortgage Backed Securities Trust: - continued

Series 2005-AR12:

Class 2A5, 3.0494% 7/25/35 (j)

$ 3,710,000

$ 3,377,515

Class 2A6, 3.0494% 7/25/35 (j)

4,053,550

3,698,668

Series 2005-AR3 Class 2A1, 3.2564% 3/25/35 (j)

867,894

772,467

TOTAL PRIVATE SPONSOR

57,094,935

U.S. Government Agency - 0.6%

Fannie Mae planned amortization class:

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

2,188,833

2,452,643

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

1,542,162

1,721,101

Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 0.4961% 10/25/35 (j)

1,714,085

1,698,424

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

253,938

273,259

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

2,625,000

2,794,432

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

539,412

562,443

Freddie Mac Multi-class participation certificates guaranteed planned amortization class:

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

6,283,565

6,730,719

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

1,910,000

2,000,963

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

4,440,000

4,662,182

Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 38.82% 6/16/37 (j)(l)

178,957

285,022

TOTAL U.S. GOVERNMENT AGENCY

23,181,188

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $84,138,537)

80,276,123

Commercial Mortgage Securities - 6.9%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 7.128% 2/14/43 (j)

1,435,000

1,549,601

 

 

Principal Amount

Value

Class A3, 7.178% 2/14/43 (j)

$ 1,545,000

$ 1,668,267

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7204% 5/10/45 (j)

2,100,000

2,227,650

Series 2006-5:

Class A2, 5.317% 9/10/47

8,745,000

9,095,973

Class A3, 5.39% 9/10/47

1,985,000

2,066,077

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

1,306,090

1,353,073

Series 2007-3 Class A3, 5.6579% 6/10/49 (j)

6,100,000

6,342,443

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

2,072,749

2,071,317

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

1,545,000

1,595,012

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

4,889,139

4,791,166

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.7% 3/15/22 (c)(j)

217,000

164,920

Class G, 0.76% 3/15/22 (c)(j)

141,000

98,700

Series 2006-BIX1:

Class F, 0.54% 10/15/19 (c)(j)

558,000

379,440

Class G, 0.56% 10/15/19 (c)(j)

380,000

220,400

Bayview Commercial Asset Trust:

floater:

Series 2004-1:

Class A, 0.6061% 4/25/34 (c)(j)

585,478

444,964

Class B, 2.1461% 4/25/34 (c)(j)

46,011

21,395

Class M1, 0.8061% 4/25/34 (c)(j)

37,490

23,806

Class M2, 1.4461% 4/25/34 (c)(j)

33,595

17,805

Series 2004-2:

Class A, 0.6761% 8/25/34 (c)(j)

430,162

331,225

Class M1, 0.8261% 8/25/34 (c)(j)

69,474

40,295

Series 2004-3:

Class A1, 0.6161% 1/25/35 (c)(j)

857,696

626,118

Class A2, 0.6661% 1/25/35 (c)(j)

111,645

70,895

Class M1, 0.7461% 1/25/35 (c)(j)

114,272

62,850

Class M2, 1.2461% 1/25/35 (c)(j)

73,883

34,725

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-2A:

Class A1, 0.5561% 8/25/35 (c)(j)

$ 484,916

$ 328,288

Class M1, 0.6761% 8/25/35 (c)(j)

35,955

17,312

Class M2, 0.7261% 8/25/35 (c)(j)

59,136

26,765

Class M3, 0.7461% 8/25/35 (c)(j)

32,643

13,906

Class M4, 0.8561% 8/25/35 (c)(j)

30,278

12,105

Series 2005-3A:

Class A1, 0.5661% 11/25/35 (c)(j)

265,083

196,824

Class A2, 0.6461% 11/25/35 (c)(j)

171,766

107,354

Series 2005-4A:

Class A2, 0.6361% 1/25/36 (c)(j)

943,992

594,715

Class M1, 0.6961% 1/25/36 (c)(j)

197,516

98,758

Class M2, 0.7161% 1/25/36 (c)(j)

59,586

27,409

Class M3, 0.7461% 1/25/36 (c)(j)

86,620

37,247

Series 2006-1 Class A2, 0.6061% 4/25/36 (c)(j)

94,476

55,675

Series 2006-2A:

Class A1, 0.4761% 7/25/36 (c)(j)

949,806

645,013

Class A2, 0.5261% 7/25/36 (c)(j)

85,734

53,155

Class M1, 0.5561% 7/25/36 (c)(j)

90,020

39,951

Class M2, 0.5761% 7/25/36 (c)(j)

63,688

26,316

Class M6, 0.7861% 7/25/36 (c)(j)

64,913

21,233

Series 2006-3A:

Class M5, 0.7261% 10/25/36 (c)(j)

74,304

17,833

Class M6, 0.8061% 10/25/36 (c)(j)

145,103

29,021

Series 2006-4A:

Class A1, 0.4761% 12/25/36 (c)(j)

532,549

358,725

Class A2, 0.5161% 12/25/36 (c)(j)

1,186,882

572,789

Class M1, 0.5361% 12/25/36 (c)(j)

86,006

29,044

Series 2007-1:

Class A2, 0.5161% 3/25/37 (c)(j)

227,234

136,341

Class B3, 3.5961% 3/25/37 (c)(j)

144,935

18,842

 

 

Principal Amount

Value

Series 2007-2A:

Class A1, 0.5161% 7/25/37 (c)(j)

$ 208,329

$ 140,622

Class A2, 0.5661% 7/25/37 (c)(j)

194,996

92,623

Class B1, 1.8461% 7/25/37 (c)(j)

183,329

28,416

Class B2, 2.4961% 7/25/37 (c)(j)

158,330

26,124

Class B3, 3.5961% 7/25/37 (c)(j)

179,163

25,083

Class M2, 0.6561% 7/25/37 (c)(j)

108,331

33,583

Class M3, 0.7361% 7/25/37 (c)(j)

108,331

28,166

Class M4, 0.8961% 7/25/37 (c)(j)

229,162

50,416

Class M5, 0.9961% 7/25/37 (c)(j)

204,162

40,832

Class M6, 1.2461% 7/25/37 (c)(j)

254,161

43,207

Series 2007-3:

Class A2, 0.5361% 7/25/37 (c)(j)

332,280

164,645

Class B1, 1.1961% 7/25/37 (c)(j)

153,575

29,348

Class B2, 1.8461% 7/25/37 (c)(j)

536,814

88,199

Class B3, 4.2461% 7/25/37 (c)(j)

205,930

29,860

Class M1, 0.5561% 7/25/37 (c)(j)

136,123

50,134

Class M2, 0.5861% 7/25/37 (c)(j)

143,104

48,798

Class M3, 0.6161% 7/25/37 (c)(j)

312,734

100,075

Class M4, 0.7461% 7/25/37 (c)(j)

494,232

140,016

Class M5, 0.8461% 7/25/37 (c)(j)

184,988

44,120

Class M6, 1.0461% 7/25/37 (c)(j)

139,614

31,385

Series 2007-4A:

Class B1, 2.7961% 9/25/37 (c)(j)

251,449

27,659

Class B2, 3.6961% 9/25/37 (c)(j)

1,228,633

122,863

Class M4, 1.8461% 9/25/37 (c)(j)

809,840

121,476

Class M5, 1.9961% 9/25/37 (c)(j)

809,840

105,279

Class M6, 2.1961% 9/25/37 (c)(j)

809,840

97,181

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

1,772,111

57,239

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class G, 0.67% 3/15/19 (c)(j)

$ 284,000

$ 156,200

Class H, 0.88% 3/15/19 (c)(j)

191,000

91,680

Class J, 1.08% 3/15/19 (c)(j)

143,000

61,490

Series 2007-BBA8:

Class D, 0.48% 3/15/22 (c)(j)

147,000

84,615

Class E, 0.53% 3/15/22 (c)(j)

763,000

416,044

Class F, 0.58% 3/15/22 (c)(j)

468,000

236,571

Class G, 0.63% 3/15/22 (c)(j)

120,000

57,075

Class H, 0.78% 3/15/22 (c)(j)

147,000

61,121

Class J, 0.93% 3/15/22 (c)(j)

147,000

49,269

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

2,010,000

2,124,417

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

1,320,283

1,353,359

Series 2007-PW16:

Class B, 5.7189% 6/11/40 (c)(j)

1,405,000

443,229

Class C, 5.7189% 6/11/40 (c)(j)

1,170,000

440,843

Class D, 5.7189% 6/11/40 (c)(j)

1,170,000

323,702

C-BASS Trust floater Series 2006-SC1 Class A, 0.5161% 5/25/36 (c)(j)

350,169

231,891

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

1,345,000

1,393,907

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.5588% 11/15/36 (c)(j)

156,000

102,957

Class H, 0.5988% 11/15/36 (c)(j)

125,000

76,150

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

3,810,000

3,826,993

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

5,232,934

5,471,214

Series 2007-FL3A Class A2, 0.37% 4/15/22 (c)(j)

2,595,000

1,788,466

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

6,065,000

5,950,459

 

 

Principal Amount

Value

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class D, 0.54% 4/15/17 (c)(j)

$ 335,000

$ 217,750

Class E, 0.6% 4/15/17 (c)(j)

107,000

64,200

Class F, 0.64% 4/15/17 (c)(j)

60,000

31,800

Class G, 0.78% 4/15/17 (c)(j)

60,000

27,000

Class H, 0.85% 4/15/17 (c)(j)

60,000

19,200

Class J, 1.08% 4/15/17 (c)(j)

46,000

11,500

Series 2005-FL11:

Class F, 0.68% 11/15/17 (c)(j)

88,773

69,243

Class G, 0.73% 11/15/17 (c)(j)

61,285

41,061

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

2,745,000

2,732,867

Series 2004-LBN2 Class X2, 0.8616% 3/10/39 (c)(j)(k)

4,709,447

35,755

Credit Suisse Commercial Mortgage Trust:

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

3,885,000

3,981,240

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

5,350,000

5,559,522

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

2,750,000

2,464,298

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

18,907

18,911

Series 2004-C1:

Class A3, 4.321% 1/15/37

1,310,443

1,334,494

Class A4, 4.75% 1/15/37

3,035,000

3,114,301

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

263,783

272,454

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

85,060

86,139

Series 2001-CKN5 Class AX, 2.0713% 9/15/34 (c)(j)(k)

24,688,468

504,556

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

250,000

200,387

Series 2004-C1 Class ASP, 0.9528% 1/15/37 (c)(j)(k)

19,606,289

179,547

Series 2006-C1 Class A3, 5.5483% 2/15/39 (j)

3,895,000

4,039,774

Credit Suisse Mortgage Capital Certificates:

floater:

Series 200-TFL1 Class B, 0.38% 2/15/22 (c)(j)

3,470,000

2,255,500

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Credit Suisse Mortgage Capital Certificates: - continued

floater:

Series 2007-TFL1:

Class C:

0.4% 2/15/22 (c)(j)

$ 657,000

$ 361,350

0.5% 2/15/22 (c)(j)

234,000

81,900

Class F, 0.55% 2/15/22 (c)(j)

469,000

150,080

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

714,890

726,271

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

364,041

363,733

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

4,470,000

4,113,758

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4181% 11/5/21 (c)(j)

3,490,000

1,945,424

sequential payer:

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

1,680,000

1,705,147

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

13,805,000

14,112,215

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

74,033

73,981

Series 2006-GG7 Class A3, 5.883% 7/10/38 (j)

3,460,000

3,549,038

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 0.4681% 6/6/20 (c)(j)

405,000

295,650

Class D, 0.5081% 6/6/20 (c)(j)

1,115,000

669,000

Class E, 0.5981% 6/6/20 (c)(j)

2,220,000

1,287,600

Class F, 0.6681% 6/6/20 (c)(j)

294,000

161,700

Series 2007-EOP:

Class C, 0.5481% 3/6/20 (c)(j)

1,335,000

1,174,800

Class D, 0.5981% 3/6/20 (c)(j)

400,000

348,000

Class E, 0.6681% 3/6/20 (c)(j)

670,000

572,850

Class F, 0.7081% 3/6/20 (c)(j)

335,000

284,750

Class G, 0.7481% 3/6/20 (c)(j)

165,000

137,775

Class H, 0.8781% 3/6/20 (c)(j)

275,000

228,250

Class J, 1.0781% 3/6/20 (c)(j)

395,000

323,900

 

 

Principal Amount

Value

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

$ 2,725,000

$ 2,801,713

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

3,030,000

3,085,903

GS Mortgage Securities Trust sequential payer Series 2007-GG10:

Class A1, 5.69% 8/10/45

1,535,922

1,588,864

Class A2, 5.778% 8/10/45

5,055,000

5,247,662

Class A4, 5.8052% 8/10/45 (j)

5,240,000

4,854,944

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class E, 0.51% 11/15/18 (c)(j)

114,767

65,417

Class F, 0.56% 11/15/18 (c)(j)

172,151

91,240

Class G, 0.59% 11/15/18 (c)(j)

149,980

76,490

Class H, 0.73% 11/15/18 (c)(j)

114,767

53,941

sequential payer:

Series 2006-CB14 Class A3B, 5.4791% 12/12/44 (j)

4,625,000

4,767,814

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

5,840,000

6,039,239

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

5,105,000

5,182,907

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

719,497

734,932

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

3,796,000

3,656,886

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

4,115,000

4,165,849

Series 2007-CB19:

Class B, 5.7465% 2/12/49 (j)

755,000

249,990

Class C, 5.7465% 2/12/49 (j)

1,971,000

613,137

Class D, 5.7465% 2/12/49 (j)

2,075,000

610,441

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (j)

1,725,000

312,586

Class CS, 5.466% 1/15/49 (j)

745,000

116,684

Class ES, 5.5453% 1/15/49 (c)(j)

4,663,000

252,579

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9506% 7/15/44 (j)

3,733,000

3,605,206

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

252,498

256,134

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

1,338,294

1,341,078

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

1,495,000

1,517,969

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

3,340,000

3,443,978

Commercial Mortgage Securities - continued

 

Principal Amount

Value

LB-UBS Commercial Mortgage Trust: - continued

sequential payer:

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

$ 436,932

$ 446,475

Series 2007-C1:

Class A1, 5.391% 2/15/40 (j)

660,275

674,711

Class A3, 5.398% 2/15/40

5,000,000

5,185,747

Class A4, 5.424% 2/15/40

8,620,000

8,350,004

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

1,165,000

1,121,119

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

1,810,000

1,856,658

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

Class B, 4.13% 11/20/37 (c)

3,860,000

3,319,600

Class C, 4.13% 11/20/37 (c)

3,760,000

3,083,200

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

Class F, 0.57% 9/15/21 (c)(j)

402,971

283,809

Class G, 0.59% 9/15/21 (c)(j)

795,609

501,473

Class H, 0.63% 9/15/21 (c)(j)

204,773

74,701

Merrill Lynch Mortgage Trust:

sequential payer:

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

215,634

219,677

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

1,983,037

1,986,503

Series 2007-C1 Class A4, 5.8262% 6/12/50 (j)

3,796,000

3,725,454

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-5:

Class A1, 4.275% 8/12/48

498,544

504,479

Class A3, 5.364% 8/12/48

4,298,000

4,219,559

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

3,875,000

3,552,594

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

5,500,000

5,185,045

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

770,000

116,921

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.43% 7/15/19 (c)(j)

261,000

35,888

Series 2007-XCLA Class A1, 0.43% 7/17/17 (c)(j)

927,114

370,846

Series 2007-XLCA Class B, 0.73% 7/17/17 (c)(j)

548,938

13,723

Series 2007-XLFA:

Class D, 0.42% 10/15/20 (c)(j)

235,000

54,050

Class E, 0.48% 10/15/20 (c)(j)

294,000

38,220

 

 

Principal Amount

Value

Class F, 0.53% 10/15/20 (c)(j)

$ 176,000

$ 15,840

Class G, 0.57% 10/15/20 (c)(j)

218,000

15,260

Class H, 0.66% 10/15/20 (c)(j)

137,000

5,480

Class J, 0.81% 10/15/20 (c)(j)

157,000

4,710

Class NHRO, 1.12% 10/15/20 (c)(j)

89,449

10,510

sequential payer:

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

1,192,227

1,194,692

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

2,231,148

2,273,102

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

697,197

715,975

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

4,785,000

4,852,521

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

1,196,415

1,226,055

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

2,782,098

2,884,739

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

10,320,000

10,887,866

Series 2005-IQ9 Class X2, 1.0412% 7/15/56 (c)(j)(k)

19,161,850

344,375

Series 2007-HQ12 Class A2, 5.6314% 4/12/49 (j)

4,920,000

4,959,180

Series 2007-IQ14 Class B, 5.7311% 4/15/49 (j)

2,175,000

656,045

Series 2007-XLC1:

Class C, 0.83% 7/17/17 (c)(j)

749,610

18,740

Class D, 0.93% 7/17/17 (c)(j)

352,629

8,816

Class E, 1.03% 7/17/17 (c)(j)

286,466

7,162

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

2,887,141

2,226,563

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL5A Class K, 1.43% 1/15/18 (c)(j)

449,000

448,102

Series 2006-WL7A:

Class E, 0.5088% 9/15/21 (c)(j)

491,000

243,162

Class F, 0.5688% 8/11/18 (c)(j)

661,000

298,726

Class G, 0.5888% 8/11/18 (c)(j)

626,000

272,051

Class J, 0.8288% 8/11/18 (c)(j)

139,000

34,888

Series 2007-WHL8:

Class AP2, 1.03% 6/15/20 (c)(j)

53,945

21,578

Class F, 0.71% 6/15/20 (c)(j)

1,046,000

209,200

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

floater:

Series 2007-WHL8:

Class LXR2, 1.03% 6/15/20 (c)(j)

$ 713,442

$ 249,705

sequential payer:

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

1,331,236

1,342,627

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

706,419

716,205

Series 2007-C30:

Class A3, 5.246% 12/15/43

5,940,000

5,925,557

Class A4, 5.305% 12/15/43

3,240,000

3,209,145

Class A5, 5.342% 12/15/43

3,796,000

3,293,679

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

561,894

571,169

Series 2007-C32 Class A2, 5.7352% 6/15/49 (j)

1,255,000

1,297,661

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

3,010,000

3,030,619

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

6,257,000

901,487

Series 2007-C31 Class C, 5.6929% 4/15/47 (j)

2,455,000

467,659

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $314,037,838)

279,695,300

Municipal Securities - 0.3%

 

California Gen. Oblig.:

6.2% 3/1/19

2,000,000

2,043,120

7.5% 4/1/34

2,400,000

2,476,440

7.55% 4/1/39

3,600,000

3,721,932

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

2,850,000

2,872,572

TOTAL MUNICIPAL SECURITIES

(Cost $10,939,437)

11,114,064

Foreign Government and Government Agency Obligations - 0.0%

 

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

1,665,000

1,829,835

Supranational Obligations - 0.0%

 

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

350,000

370,176

Preferred Securities - 0.1%

Principal
Amount

Value

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (j)

(Cost $2,852,312)

$ 2,820,000

$ 2,828,963

Cash Equivalents - 11.9%

Maturity
Amount

 

Investments in repurchase agreements in a joint trading account at 0.02%, dated 3/31/10 due 4/1/10 (Collateralized by U.S. Government Obligations) #
(Cost $483,564,000)

$ 483,564,306

483,564,000

TOTAL INVESTMENT PORTFOLIO - 114.7%

(Cost $4,600,331,704)

4,658,422,257

NET OTHER ASSETS - (14.7)%

(596,508,091)

NET ASSETS - 100%

$ 4,061,914,166

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

$ 2,514,227

$ (2,413,658)

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

2,178,997

(2,091,837)

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

1,257,114

(1,206,829)

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

2,598,035

(2,494,114)

 

 

Expiration Date

Notional Amount

Value

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-C) (Upfront Payment $572,000) (i)

Sept. 2037

$ 3,687,533

$ (3,540,032)

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

1,340,921

(1,287,284)

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) (j)

Sept. 2037

3,855,149

(3,700,943)

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

99,147

(74,239)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 (h)

Oct. 2034

$ 119,085

$ (75,229)

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

(4,464)

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

(239,651)

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

356,353

(349,417)

 

 

Expiration Date

Notional Amount

Value

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

$ (416,318)

Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon credit event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 (Rating-Ba1) (h)

April 2032

40,946

(24,076)

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

356,353

(349,265)

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

125,577

(118,549)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

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

$ 302,200

$ (287,562)

Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon credit event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 (h)

Sept. 2010

1,900,000

(6,432)

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

10,269

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

5,922

 

$ 27,959,561

$ (18,663,708)

Legend

(a) Non-income producing - Issuer 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 $ 228,795,497 or 5.6% 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 $18,546,721 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 $11,389,504.

(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. 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

$483,564,000 due 4/01/10 at 0.02%

BNP Paribas Securities Corp.

$ 28,293,460

Banc of America Securities LLC

42,436,879

Bank of America, NA

14,146,730

Barclays Capital, Inc.

45,976,872

Citigroup Global Markets, Inc.

42,440,189

Deutsche Bank Securities, Inc.

28,293,460

Goldman, Sachs & Co.

42,440,189

Merrill Lynch Government Securities, Inc.

28,293,460

Mizuho Securities USA, Inc.

77,807,014

RBC Capital Markets Corp.

21,220,095

RBS Securities, Inc.

37,237,984

Wachovia Bank NA

56,586,919

Wachovia Capital Markets LLC

18,390,749

 

$ 483,564,000

Other Information

The following is a summary of the inputs used, as of March 31, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the 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

$ 995,614,576

$ -

$ 995,614,576

$ -

U.S. Government and Government Agency Obligations

1,399,249,545

-

1,399,249,545

-

U.S. Government Agency - Mortgage Securities

1,305,578,854

-

1,305,578,854

-

Asset-Backed Securities

98,300,821

-

94,336,178

3,964,643

Collateralized Mortgage Obligations

80,276,123

-

75,701,365

4,574,758

Commercial Mortgage Securities

279,695,300

-

270,693,256

9,002,044

Municipal Securities

11,114,064

-

11,114,064

-

Foreign Government and Government Agency Obligations

1,829,835

-

1,829,835

-

Supranational Obligations

370,176

-

370,176

-

Preferred Securities

2,828,963

-

2,828,963

-

Cash Equivalents

483,564,000

-

483,564,000

-

Total Investments in Securities:

$ 4,658,422,257

$ -

$ 4,640,880,812

$ 17,541,445

Other Financial Instruments:

Forward Commitments

$ 682,522

$ -

$ 682,522

$ -

Derivative Instruments:

Assets

Swap Agreements

$ 16,191

$ -

$ 16,191

$ -

Liabilities

Swap Agreements

$ (18,679,899)

$ -

$ (81,661)

$ (18,598,238)

Total Derivative Instruments:

$ (18,663,708)

$ -

$ (65,470)

$ (18,598,238)

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)

(27,394)

Total Unrealized Gain (Loss)

1,151,939

Cost of Purchases

-

Proceeds of Sales

(574,188)

Amortization/Accretion

72,287

Transfers in to Level 3

5,608,397

Transfers out of Level 3

(3,512,289)

Ending Balance

$ 17,541,445

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at March 31, 2010

$ 1,088,442

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (2,151,575)

Total Unrealized Gain (Loss)

1,209,406

Transfers in to Level 3

(17,748,851)

Transfers out of Level 3

92,782

Ending Balance

$ (18,598,238)

Realized gain (loss) on Swap Agreements for the period

$ (978,942)

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at March 31, 2010

$ 1,209,406

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 represents 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 March 31, 2010, the cost of investment securities for income tax purposes was $4,594,717,215. Net unrealized appreciation aggregated $63,705,042, of which $138,336,043 related to appreciated investment securities and $74,631,001 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 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) and, as a result, swaps are generally categorized as Level 2 in the hierarchy. Pricing services utilize matrix pricing which considers comparisons to 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 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.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

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 swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses. Gains or losses are realized in the event of an early termination of a swap agreement. Any upfront payments made or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g., credit spreads, interest rates or other factors) are recorded as realized gains or losses ratably over the term of the swap. Risks of loss include credit risk. The Fund's maximum risk of loss from counterparty risk, either as a buyer of protection or as a seller of protection, is the value of the contract. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund's exposure to the counterparty. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and, if required, is identified. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

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

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

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

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 of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $27,959,561 representing 0.69% of net assets.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation, where the Fund is the seller of protection, 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 of protection if applicable. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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:

June 1, 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:

June 1, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

June 1, 2010