N-Q 1 garr.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, 2011

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Investment Grade Central Fund

September 30, 2011 

1.837325.105

VIGC-QTLY-1111

Investments September 30, 2011 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 23.4%

 

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.9%

Household Durables - 0.2%

Fortune Brands, Inc.:

5.375% 1/15/16

$ 471,000

$ 519,873

5.875% 1/15/36

5,675,000

5,932,759

 

6,452,632

Media - 1.7%

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

1,625,000

2,032,461

Comcast Corp.:

4.95% 6/15/16

2,975,000

3,298,222

5.7% 5/15/18

2,400,000

2,776,702

6.4% 3/1/40

2,884,000

3,364,893

6.45% 3/15/37

1,410,000

1,625,923

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

3,475,000

3,654,310

Discovery Communications LLC:

3.7% 6/1/15

2,648,000

2,788,347

6.35% 6/1/40

2,421,000

2,848,626

NBCUniversal Media LLC:

3.65% 4/30/15

1,200,000

1,263,131

5.15% 4/30/20

3,234,000

3,551,055

6.4% 4/30/40

3,340,000

3,903,896

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

1,905,000

2,321,202

News America, Inc.:

6.15% 3/1/37

1,745,000

1,868,703

6.15% 2/15/41

2,132,000

2,260,858

Time Warner Cable, Inc.:

5.85% 5/1/17

2,467,000

2,743,208

6.2% 7/1/13

7,000,000

7,562,667

6.75% 7/1/18

4,425,000

5,154,581

Time Warner, Inc.:

5.875% 11/15/16

5,514,000

6,236,654

6.5% 11/15/36

2,337,000

2,659,200

Viacom, Inc.:

3.5% 4/1/17

1,312,000

1,330,806

6.75% 10/5/37

935,000

1,105,555

 

64,351,000

TOTAL CONSUMER DISCRETIONARY

70,803,632

CONSUMER STAPLES - 1.0%

Beverages - 0.1%

Diageo Capital PLC 5.2% 1/30/13

1,705,000

1,797,496

FBG Finance Ltd. 5.125% 6/15/15 (b)

2,185,000

2,371,396

 

4,168,892

Food & Staples Retailing - 0.0%

CVS Caremark Corp. 4.125% 5/15/21

1,327,000

1,383,246

 

 

Principal Amount

Value

Food Products - 0.5%

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

$ 3,528,000

$ 3,957,294

Kraft Foods, Inc.:

5.375% 2/10/20

4,086,000

4,630,210

6.125% 2/1/18

3,684,000

4,328,641

6.5% 8/11/17

3,514,000

4,172,756

 

17,088,901

Tobacco - 0.4%

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

4,450,000

5,903,201

Philip Morris International, Inc.:

4.875% 5/16/13

2,904,000

3,081,359

5.65% 5/16/18

2,751,000

3,254,262

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

2,962,000

3,333,097

 

15,571,919

TOTAL CONSUMER STAPLES

38,212,958

ENERGY - 3.1%

Energy Equipment & Services - 0.3%

DCP Midstream LLC:

4.75% 9/30/21 (b)

3,739,000

3,721,516

5.35% 3/15/20 (b)

3,724,000

3,928,448

El Paso Pipeline Partners Operating Co. LLC:

4.1% 11/15/15

3,902,000

3,955,984

5% 10/1/21

917,000

919,966

 

12,525,914

Oil, Gas & Consumable Fuels - 2.8%

Anadarko Petroleum Co. 6.2% 3/15/40

231,000

241,078

Anadarko Petroleum Corp. 6.375% 9/15/17

6,869,000

7,711,593

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

5,685,000

6,496,363

ConocoPhillips 5.75% 2/1/19

3,900,000

4,668,433

Duke Capital LLC 6.25% 2/15/13

855,000

903,907

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

2,477,000

2,711,921

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

3,330,000

3,748,711

Enbridge Energy Partners LP 4.2% 9/15/21

3,806,000

3,769,615

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

320,000

350,486

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

4,200,000

4,289,229

Marathon Petroleum Corp. 5.125% 3/1/21 (b)

2,187,000

2,280,730

Motiva Enterprises LLC 5.75% 1/15/20 (b)

1,496,000

1,734,952

Nakilat, Inc. 6.067% 12/31/33 (b)

1,808,000

1,952,640

Nexen, Inc.:

5.875% 3/10/35

5,405,000

5,298,992

Nonconvertible Bonds - continued

 

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Nexen, Inc.: - continued

6.4% 5/15/37

$ 1,894,000

$ 1,931,848

NGPL PipeCo LLC 6.514% 12/15/12 (b)

2,360,000

2,456,512

Pemex Project Funding Master Trust 0.9294% 12/3/12 (b)(h)

410,000

405,900

Petro-Canada:

6.05% 5/15/18

1,480,000

1,720,963

6.8% 5/15/38

3,485,000

4,224,740

Petrobras International Finance Co. Ltd.:

3.875% 1/27/16

3,612,000

3,583,104

5.75% 1/20/20

5,908,000

6,132,504

7.875% 3/15/19

4,277,000

4,966,239

Petroleos Mexicanos 5.5% 1/21/21 (b)

3,601,000

3,781,050

Plains All American Pipeline LP/PAA Finance Corp.:

3.95% 9/15/15

2,158,000

2,272,074

5% 2/1/21

1,191,000

1,257,310

6.125% 1/15/17

1,250,000

1,407,885

Ras Laffan Liquefied Natural Gas Co. Ltd. III:

4.5% 9/30/12 (b)

2,009,000

2,059,225

5.5% 9/30/14 (b)

2,808,000

3,039,660

5.832% 9/30/16 (b)

1,842,525

1,987,716

6.332% 9/30/27 (b)

2,415,000

2,707,239

6.75% 9/30/19 (b)

1,838,000

2,184,923

Schlumberger Investment SA 3.3% 9/14/21 (b)

2,428,000

2,434,310

Spectra Energy Partners, LP:

2.95% 6/15/16

668,000

666,441

4.6% 6/15/21

873,000

894,294

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

4,665,000

5,445,921

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

615,000

714,695

Western Gas Partners LP 5.375% 6/1/21

3,820,000

3,832,568

 

106,265,771

TOTAL ENERGY

118,791,685

FINANCIALS - 11.6%

Capital Markets - 1.9%

Bear Stearns Companies, Inc. 5.3% 10/30/15

4,375,000

4,725,801

BlackRock, Inc. 4.25% 5/24/21

1,183,000

1,234,412

Goldman Sachs Group, Inc.:

3.7% 8/1/15

5,186,000

5,080,206

5.25% 7/27/21

1,823,000

1,801,006

 

 

Principal Amount

Value

5.625% 1/15/17

$ 3,000,000

$ 2,912,160

5.95% 1/18/18

755,000

778,071

6.15% 4/1/18

5,954,000

6,176,233

6.75% 10/1/37

3,421,000

3,135,873

JPMorgan Chase Capital XX 6.55% 9/29/36

3,090,000

3,127,278

JPMorgan Chase Capital XXV 6.8% 10/1/37

6,975,000

7,015,671

Lazard Group LLC:

6.85% 6/15/17

3,241,000

3,571,203

7.125% 5/15/15

5,585,000

6,171,459

Merrill Lynch & Co., Inc.:

5.45% 2/5/13

1,820,000

1,803,806

6.4% 8/28/17

1,989,000

1,929,821

Morgan Stanley:

4% 7/24/15

3,743,000

3,530,008

4.75% 4/1/14

2,554,000

2,428,006

5.5% 7/28/21

3,501,000

3,247,374

5.95% 12/28/17

2,100,000

2,037,901

6% 5/13/14

2,392,000

2,423,280

6.625% 4/1/18

10,165,000

10,094,272

 

73,223,841

Commercial Banks - 2.4%

Bank of America NA 5.3% 3/15/17

6,480,000

5,856,501

Credit Suisse (Guernsey) Ltd. 5.86% (c)(h)

4,785,000

3,756,225

Credit Suisse New York Branch 6% 2/15/18

6,110,000

6,206,471

DBS Bank Ltd. (Singapore) 0.5101% 5/16/17 (b)(h)

280,110

273,107

Discover Bank:

7% 4/15/20

1,891,000

2,006,812

8.7% 11/18/19

6,339,000

7,250,795

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

6,570,000

6,786,968

Fifth Third Bancorp:

4.5% 6/1/18

1,179,000

1,178,333

8.25% 3/1/38

4,319,000

5,177,937

Fifth Third Bank 4.75% 2/1/15

487,000

512,587

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

2,412,000

2,291,641

HBOS PLC 6.75% 5/21/18 (b)

2,600,000

2,218,806

Huntington Bancshares, Inc. 7% 12/15/20

1,004,000

1,137,872

KeyBank NA:

5.45% 3/3/16

1,618,000

1,740,229

5.8% 7/1/14

2,049,000

2,209,769

6.95% 2/1/28

800,000

939,837

KeyCorp. 5.1% 3/24/21

1,855,000

1,874,542

Korea Development Bank 5.3% 1/17/13

3,805,000

3,949,818

Manufacturers & Traders Trust Co. 1.7458% 4/1/13 (h)

269,000

268,725

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

Marshall & Ilsley Bank:

4.85% 6/16/15

$ 1,796,000

$ 1,949,202

5% 1/17/17

4,625,000

4,880,665

5.25% 9/4/12

1,200,000

1,228,541

Regions Bank:

6.45% 6/26/37

3,952,000

3,319,680

7.5% 5/15/18

2,383,000

2,356,191

Regions Financial Corp.:

5.75% 6/15/15

814,000

781,440

7.75% 11/10/14

2,367,000

2,361,083

SouthTrust Corp. 5.8% 6/15/14

1,440,000

1,534,229

SunTrust Banks, Inc. 3.6% 4/15/16

3,163,000

3,208,832

Wachovia Bank NA 4.875% 2/1/15

4,405,000

4,639,443

Wachovia Corp. 4.875% 2/15/14

785,000

816,787

Wells Fargo & Co.:

3.625% 4/15/15

2,350,000

2,448,183

3.676% 6/15/16

1,714,000

1,784,785

3.75% 10/1/14

3,750,000

3,961,628

 

90,907,664

Consumer Finance - 0.5%

General Electric Capital Corp.:

2.25% 11/9/15

2,597,000

2,568,558

2.95% 5/9/16

774,000

776,204

3.5% 6/29/15

799,000

825,759

5.625% 5/1/18

9,700,000

10,615,069

6.375% 11/15/67 (h)

4,000,000

3,760,000

 

18,545,590

Diversified Financial Services - 1.8%

Bank of America Corp. 5.75% 12/1/17

12,290,000

11,535,050

BP Capital Markets PLC:

3.125% 10/1/15

3,694,000

3,819,079

4.742% 3/11/21

3,000,000

3,297,348

Capital One Capital V 10.25% 8/15/39

1,378,000

1,398,670

Citigroup, Inc.:

3.953% 6/15/16

3,838,000

3,831,310

4.75% 5/19/15

10,152,000

10,408,358

5.5% 4/11/13

1,390,000

1,430,749

6.125% 5/15/18

2,692,000

2,890,441

6.5% 8/19/13

8,073,000

8,496,082

JPMorgan Chase & Co.:

3.15% 7/5/16

4,200,000

4,175,464

6.3% 4/23/19

3,920,000

4,439,949

Prime Property Funding, Inc.:

5.125% 6/1/15 (b)

3,844,000

3,773,793

5.35% 4/15/12 (b)

1,700,000

1,705,272

5.5% 1/15/14 (b)

2,405,000

2,422,566

 

 

Principal Amount

Value

TECO Finance, Inc.:

4% 3/15/16

$ 1,075,000

$ 1,133,930

5.15% 3/15/20

1,545,000

1,699,231

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

3,716,000

3,270,080

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

500,000

495,605

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

1,016,000

878,840

 

71,101,817

Insurance - 2.0%

Allstate Corp. 6.2% 5/16/14

2,709,000

3,022,862

American International Group, Inc. 4.875% 9/15/16

4,224,000

4,052,163

Aon Corp.:

3.125% 5/27/16

3,681,000

3,684,387

3.5% 9/30/15

1,538,000

1,588,142

5% 9/30/20

1,402,000

1,521,386

6.25% 9/30/40

1,150,000

1,372,385

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

420,000

447,953

Liberty Mutual Group, Inc. 5% 6/1/21 (b)

3,810,000

3,624,857

Lincoln National Corp. 7% 5/17/66 (h)

4,799,000

4,127,140

Marsh & McLennan Companies, Inc. 4.8% 7/15/21

2,278,000

2,391,861

MetLife, Inc.:

2.375% 2/6/14

2,161,000

2,198,830

4.75% 2/8/21

1,477,000

1,539,275

5.875% 2/6/41

1,140,000

1,262,062

6.75% 6/1/16

3,234,000

3,721,765

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

2,884,000

3,116,159

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

6,045,000

6,383,399

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

1,348,000

1,670,624

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

2,060,000

2,432,186

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

3,690,000

3,855,592

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

2,297,000

3,091,218

Pacific LifeCorp 6% 2/10/20 (b)

2,514,000

2,690,920

Prudential Financial, Inc.:

7.375% 6/15/19

1,250,000

1,466,424

8.875% 6/15/38 (h)

4,682,000

5,050,708

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

6,355,000

6,708,954

The Chubb Corp. 5.75% 5/15/18

1,895,000

2,231,567

Unum Group 5.625% 9/15/20

2,099,000

2,315,285

 

75,568,104

Nonconvertible Bonds - continued

 

Principal Amount

Value

FINANCIALS - continued

Real Estate Investment Trusts - 0.7%

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

$ 508,000

$ 513,764

Camden Property Trust 5.375% 12/15/13

2,985,000

3,153,378

Developers Diversified Realty Corp.:

4.75% 4/15/18

2,802,000

2,558,492

5.375% 10/15/12

1,764,000

1,773,222

7.5% 4/1/17

1,944,000

2,053,311

Duke Realty LP 4.625% 5/15/13

1,047,000

1,074,399

Equity One, Inc.:

5.375% 10/15/15

455,000

465,591

6% 9/15/17

2,405,000

2,442,908

Federal Realty Investment Trust:

5.4% 12/1/13

1,401,000

1,479,979

5.9% 4/1/20

1,046,000

1,136,915

HRPT Properties Trust:

5.75% 11/1/15

1,155,000

1,210,626

6.25% 6/15/17

4,455,000

4,678,471

UDR, Inc. 5.5% 4/1/14

3,685,000

3,914,045

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

904,000

963,251

 

27,418,352

Real Estate Management & Development - 2.0%

AMB Property LP 5.9% 8/15/13

2,575,000

2,647,406

BioMed Realty LP:

3.85% 4/15/16

3,700,000

3,628,679

6.125% 4/15/20

1,392,000

1,470,045

Brandywine Operating Partnership LP:

5.7% 5/1/17

5,000,000

5,070,405

5.75% 4/1/12

1,376,000

1,395,202

Colonial Properties Trust 5.5% 10/1/15

6,290,000

6,408,560

Digital Realty Trust LP:

4.5% 7/15/15

1,829,000

1,867,557

5.25% 3/15/21

1,953,000

1,935,892

Duke Realty LP:

5.4% 8/15/14

2,242,000

2,322,752

5.5% 3/1/16

1,270,000

1,311,834

5.95% 2/15/17

928,000

972,809

6.25% 5/15/13

2,913,000

3,042,055

6.5% 1/15/18

2,445,000

2,630,888

ERP Operating LP:

4.75% 7/15/20

2,827,000

2,948,722

5.375% 8/1/16

1,066,000

1,162,177

5.5% 10/1/12

3,560,000

3,695,903

5.75% 6/15/17

5,343,000

5,972,373

Liberty Property LP:

4.75% 10/1/20

4,185,000

4,212,684

 

 

Principal Amount

Value

5.5% 12/15/16

$ 2,290,000

$ 2,496,260

6.625% 10/1/17

2,673,000

2,989,751

Post Apartment Homes LP 6.3% 6/1/13

2,679,000

2,819,197

Reckson Operating Partnership LP 6% 3/31/16

3,099,000

3,270,189

Regency Centers LP:

5.875% 6/15/17

1,827,000

1,977,263

6.75% 1/15/12

2,035,000

2,064,155

Simon Property Group LP:

4.2% 2/1/15

1,523,000

1,607,846

5.1% 6/15/15

2,220,000

2,392,836

Tanger Properties LP:

6.125% 6/1/20

3,576,000

4,013,341

6.15% 11/15/15

349,000

389,448

 

76,716,229

Thrifts & Mortgage Finance - 0.3%

Bank of America Corp.:

3.75% 7/12/16

3,985,000

3,627,916

6.5% 8/1/16

3,000,000

2,980,962

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

3,095,000

3,485,354

 

10,094,232

TOTAL FINANCIALS

443,575,829

HEALTH CARE - 0.3%

Health Care Providers & Services - 0.3%

Express Scripts, Inc.:

3.125% 5/15/16

3,450,000

3,485,728

5.25% 6/15/12

3,016,000

3,096,892

6.25% 6/15/14

1,108,000

1,220,076

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

2,723,000

2,710,052

 

10,512,748

INDUSTRIALS - 0.5%

Airlines - 0.3%

Continental Airlines, Inc.:

6.648% 3/15/19

1,356,055

1,356,055

6.795% 2/2/20

2,140,621

2,044,293

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

2,824,378

2,803,195

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,028,020

1,017,740

8.36% 1/20/19

4,052,222

4,052,222

 

11,273,505

Nonconvertible Bonds - continued

 

Principal Amount

Value

INDUSTRIALS - continued

Industrial Conglomerates - 0.2%

General Electric Co. 5.25% 12/6/17

$ 7,130,000

$ 7,928,204

TOTAL INDUSTRIALS

19,201,709

MATERIALS - 0.6%

Chemicals - 0.3%

Dow Chemical Co.:

4.85% 8/15/12

3,520,000

3,624,203

7.6% 5/15/14

7,213,000

8,195,476

 

11,819,679

Metals & Mining - 0.3%

Anglo American Capital PLC 9.375% 4/8/14 (b)

2,675,000

3,108,634

ArcelorMittal SA 3.75% 3/1/16

996,000

916,371

Rio Tinto Finance (USA) Ltd. 3.75% 9/20/21

3,836,000

3,826,782

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

1,571,000

1,209,670

Vale Overseas Ltd. 6.25% 1/23/17

3,115,000

3,376,660

 

12,438,117

TOTAL MATERIALS

24,257,796

TELECOMMUNICATION SERVICES - 1.5%

Diversified Telecommunication Services - 0.9%

AT&T, Inc.:

6.3% 1/15/38

364,000

417,998

6.8% 5/15/36

10,939,000

13,210,538

CenturyLink, Inc.:

6.15% 9/15/19

1,562,000

1,449,822

6.45% 6/15/21

4,979,000

4,619,755

7.6% 9/15/39

488,000

439,817

Embarq Corp. 7.995% 6/1/36

1,808,000

1,699,585

Sprint Capital Corp. 6.875% 11/15/28

3,000,000

2,227,500

Telefonica Emisiones SAU:

5.462% 2/16/21

2,456,000

2,335,351

5.855% 2/4/13

1,438,000

1,463,757

Verizon Communications, Inc.:

6.1% 4/15/18

2,190,000

2,614,229

6.25% 4/1/37

1,380,000

1,658,157

6.9% 4/15/38

2,420,000

3,129,038

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

1,095,000

1,126,854

 

36,392,401

Wireless Telecommunication Services - 0.6%

America Movil SAB de CV 2.375% 9/8/16

5,411,000

5,232,437

AT&T Wireless Services, Inc. 8.125% 5/1/12

1,130,000

1,175,603

 

 

Principal Amount

Value

DIRECTV Holdings LLC/DIRECTV Financing, Inc.:

4.75% 10/1/14

$ 3,759,000

$ 4,074,324

5.875% 10/1/19

4,711,000

5,306,843

6.35% 3/15/40

1,471,000

1,642,383

Sprint Nextel Corp. 6% 12/1/16

2,260,000

1,943,600

Vodafone Group PLC 5% 12/16/13

2,775,000

2,993,626

 

22,368,816

TOTAL TELECOMMUNICATION SERVICES

58,761,217

UTILITIES - 2.9%

Electric Utilities - 1.5%

Alabama Power Co. 3.375% 10/1/20

2,167,000

2,255,078

Ameren Illinois Co. 6.125% 11/15/17

1,465,000

1,722,146

AmerenUE 6.4% 6/15/17

3,819,000

4,541,601

Commonwealth Edison Co. 1.625% 1/15/14

4,011,000

4,039,959

Duquesne Light Holdings, Inc.:

5.9% 12/1/21 (b)

2,580,000

2,618,161

6.4% 9/15/20 (b)

5,907,000

6,126,764

Edison International 3.75% 9/15/17

2,401,000

2,435,116

EDP Finance BV:

4.9% 10/1/19 (b)

1,100,000

796,033

6% 2/2/18 (b)

1,864,000

1,478,596

FirstEnergy Corp. 7.375% 11/15/31

4,457,000

5,508,308

FirstEnergy Solutions Corp.:

4.8% 2/15/15

990,000

1,050,347

6.05% 8/15/21

3,369,000

3,735,921

LG&E and KU Energy LLC:

2.125% 11/15/15

2,670,000

2,602,163

3.75% 11/15/20

525,000

508,836

Nevada Power Co. 6.5% 5/15/18

3,165,000

3,801,782

Pacific Gas & Electric Co. 3.25% 9/15/21

585,000

579,637

Pennsylvania Electric Co. 6.05% 9/1/17

2,905,000

3,316,485

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

2,535,000

2,570,237

Progress Energy, Inc.:

4.4% 1/15/21

4,274,000

4,608,274

5.625% 1/15/16

2,000,000

2,288,422

Wisconsin Electric Power Co. 2.95% 9/15/21

679,000

678,468

 

57,262,334

Gas Utilities - 0.0%

Southern Natural Gas Co. / Southern Natural Issuing Corp. 4.4% 6/15/21 (b)

1,182,000

1,185,816

Nonconvertible Bonds - continued

 

Principal Amount

Value

UTILITIES - continued

Independent Power Producers & Energy Traders - 0.4%

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

$ 6,685,000

$ 7,543,621

PPL Energy Supply LLC:

6.2% 5/15/16

1,229,000

1,356,289

6.5% 5/1/18

2,640,000

3,091,348

PSEG Power LLC 2.75% 9/15/16

919,000

915,499

 

12,906,757

Multi-Utilities - 1.0%

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

1,395,000

1,706,633

Dominion Resources, Inc.:

2.6686% 9/30/66 (h)

9,626,000

8,567,140

6.25% 6/30/12

1,938,000

2,010,960

MidAmerican Energy Holdings, Co.:

5.875% 10/1/12

2,880,000

3,019,334

6.5% 9/15/37

1,334,000

1,672,572

National Grid PLC 6.3% 8/1/16

4,181,000

4,809,521

NiSource Finance Corp.:

5.4% 7/15/14

3,885,000

4,208,982

5.45% 9/15/20

613,000

665,867

5.95% 6/15/41

3,834,000

4,164,345

6.25% 12/15/40

837,000

948,659

6.4% 3/15/18

2,760,000

3,216,581

San Diego Gas & Electric Co. 3% 8/15/21

992,000

1,003,927

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

1,426,000

1,424,218

 

37,418,739

TOTAL UTILITIES

108,773,646

TOTAL NONCONVERTIBLE BONDS

(Cost $842,866,940)


892,891,220

U.S. Government and Government Agency Obligations - 30.9%

 

U.S. Government Agency Obligations - 1.6%

Fannie Mae:

0.375% 12/28/12

5,510,000

5,532,244

0.5% 8/9/13

12,915,000

12,930,537

0.625% 10/30/14

925,000

923,132

0.75% 2/26/13

1,716,000

1,725,424

0.875% 8/28/14

2,750,000

2,768,389

1.125% 6/27/14

231,000

234,484

1.75% 2/22/13

20,000,000

20,374,540

5% 2/16/12

2,860,000

2,911,208

Freddie Mac:

0.75% 3/28/13

942,000

947,594

 

 

Principal
Amount

Value

1% 7/30/14

$ 1,232,000

$ 1,246,604

1% 8/27/14

1,511,000

1,528,281

1.125% 7/27/12

600,000

603,941

1.75% 6/15/12

4,185,000

4,228,574

2.125% 3/23/12

204,000

205,848

Tennessee Valley Authority 5.375% 4/1/56

2,375,000

3,258,227

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

200,000

204,804

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

59,623,831

U.S. Treasury Inflation Protected Obligations - 4.2%

U.S. Treasury Inflation-Indexed Bonds:

2.125% 2/15/40 (e)

27,322,312

34,816,261

2.125% 2/15/41

2,692,528

3,449,023

2.5% 1/15/29

8,417,920

10,774,598

U.S. Treasury Inflation-Indexed Notes:

1.125% 1/15/21

39,848,273

43,554,258

1.375% 1/15/20

60,117,837

67,028,306

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

159,622,446

U.S. Treasury Obligations - 25.1%

U.S. Treasury Bonds 4.375% 5/15/41

120,144,000

155,699,415

U.S. Treasury Notes:

0.5% 8/15/14

20,970,000

21,033,959

1% 9/30/16

39,097,000

39,188,487

1.5% 7/31/16

55,062,000

56,580,610

2.125% 8/15/21

17,270,000

17,604,693

2.25% 1/31/15

42,293,000

44,731,445

2.375% 8/31/14

115,000,000

121,504,630

2.375% 9/30/14

60,000,000

63,482,820

2.625% 7/31/14 (e)

245,000,000

260,312,491

3.125% 5/15/21

159,685,000

177,525,008

TOTAL U.S. TREASURY OBLIGATIONS

957,663,558

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $1,077,485,254)


1,176,909,835

U.S. Government Agency - Mortgage Securities - 41.9%

 

Principal Amount

Value

Fannie Mae Mortgage pass-thru certificates - 29.7%

1.734% 9/1/33 (h)

$ 718,074

$ 735,369

1.813% 5/1/34 (h)

1,235,713

1,262,996

1.946% 7/1/35 (h)

46,153

47,914

2.046% 10/1/33 (h)

49,661

51,568

2.175% 3/1/35 (h)

19,670

20,522

2.187% 10/1/33 (h)

1,062,149

1,104,625

2.301% 7/1/34 (h)

58,251

61,047

2.303% 6/1/36 (h)

101,308

105,626

2.457% 3/1/35 (h)

64,242

67,649

2.479% 8/1/36 (h)

1,913,572

2,028,346

2.504% 11/1/36 (h)

1,383,008

1,459,068

2.528% 7/1/35 (h)

123,325

129,792

2.55% 10/1/33 (h)

93,747

99,009

2.55% 2/1/36 (h)

1,288,736

1,359,675

2.592% 5/1/36 (h)

474,215

501,744

2.636% 7/1/37 (h)

242,310

256,204

2.695% 12/1/35 (h)

544,237

574,995

2.697% 5/1/35 (h)

239,299

252,323

2.789% 9/1/36 (h)

1,191,368

1,268,777

3% 10/1/26 (d)

9,000,000

9,271,156

3.5% 9/1/25 to 3/1/41

32,399,190

33,863,868

3.693% 5/1/40 (h)

1,717,514

1,785,923

3.792% 6/1/40 (h)

1,805,530

1,879,900

4% 2/1/35 to 10/1/41

93,623,335

98,378,283

4% 9/1/41

266,739

280,273

4% 10/1/41 (d)

12,000,000

12,581,210

4% 10/1/41 (d)

32,000,000

33,549,894

4% 10/1/41 (d)

91,800,000

96,246,260

4% 10/1/41 (d)

4,400,000

4,613,110

4% 10/1/41 (d)

2,200,000

2,306,555

4% 10/1/41 (d)

2,200,000

2,306,555

4% 10/1/41 (d)

2,200,000

2,306,555

4% 10/1/41 (d)

23,000,000

24,113,987

4% 10/1/41 (d)

6,000,000

6,290,605

4.5% 6/1/24 to 9/1/41

189,111,873

201,596,885

4.5% 10/1/26 (d)

8,800,000

9,369,177

4.5% 10/1/41 (d)

30,500,000

32,361,461

4.5% 10/1/41 (d)

22,000,000

23,342,693

4.5% 10/1/41 (d)

21,000,000

22,281,662

4.5% 10/1/41 (d)

22,000,000

23,342,693

4.5% 10/1/41 (d)

6,000,000

6,366,189

5% 2/1/18 to 6/1/40

105,550,655

113,964,695

5% 10/1/41 (d)

14,000,000

15,058,611

5% 10/1/41 (d)

13,000,000

13,982,996

5% 10/1/41 (d)

13,000,000

13,982,996

5% 10/1/41 (d)

13,000,000

13,982,996

5% 10/1/41 (d)

14,000,000

15,058,611

 

 

Principal Amount

Value

5.5% 11/1/17 to 3/1/39

$ 119,030,793

$ 129,713,671

5.5% 10/1/41 (d)

2,600,000

2,821,989

5.5% 10/1/41 (d)

8,500,000

9,225,734

5.5% 10/1/41 (d)

13,500,000

14,652,637

6% 6/1/14 to 9/1/39

88,323,138

96,979,421

6% 10/1/41 (d)

20,500,000

22,487,493

6.5% 6/1/13 to 2/1/36

5,235,437

5,746,002

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

1,762,526

1,992,028

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

1,482,292

1,692,475

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

47,016

54,189

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

806

935

TOTAL FANNIE MAE MORTGAGE PASS-THRU CERTIFICATES

1,131,219,622

Freddie Mac - 5.5%

2.142% 4/1/35 (h)

873,728

913,559

2.357% 3/1/36 (h)

183,770

190,552

2.499% 1/1/35 (h)

222,720

231,725

2.921% 11/1/35 (h)

399,064

421,840

2.942% 3/1/33 (h)

17,935

18,924

3.249% 10/1/35 (h)

154,032

164,477

4% 9/1/41

957,300

1,005,050

4% 9/1/41

1,908,200

2,003,380

4% 10/1/41 (d)

1,000,000

1,046,950

4.5% 7/1/25 to 7/1/41

83,057,699

88,069,592

4.5% 10/1/41 (d)

900,000

952,221

4.5% 10/1/41 (d)

13,500,000

14,283,320

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

27,173,368

29,302,550

5% 10/1/41 (d)

1,800,000

1,929,779

5.5% 1/1/38 to 1/1/40

55,919,323

60,529,414

6% 4/1/32 to 8/1/37

6,201,586

6,834,140

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

147,685

168,856

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

24,705

28,073

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

130,666

150,376

TOTAL FREDDIE MAC

208,244,778

Ginnie Mae - 6.7%

3.5% 1/15/41 to 2/15/41

1,725,901

1,806,249

3.5% 10/1/41 (d)

12,000,000

12,538,502

4% 1/15/25 to 7/15/41

29,321,955

31,436,666

4% 10/1/41 (d)

22,000,000

23,533,052

4% 10/1/41 (d)

5,500,000

5,883,263

4% 10/1/41 (d)

5,500,000

5,883,263

4% 10/1/41 (d)

23,000,000

24,602,737

4.5% 3/15/39 to 4/20/41

65,991,330

71,779,454

5% 3/15/38 to 11/15/40

20,823,770

22,935,521

5% 10/1/41 (d)

16,000,000

17,564,842

5% 10/1/41 (d)

25,500,000

27,993,966

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

6,247,826

7,001,023

6.5% 10/15/34 to 11/15/35

404,928

455,382

U.S. Government Agency - Mortgage Securities - continued

 

Principal Amount

Value

Ginnie Mae - continued

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

$ 2,935,330

$ 3,358,464

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

733,750

838,358

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

92,359

106,134

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

12,091

13,682

TOTAL GINNIE MAE

257,730,558

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,574,025,200)


1,597,194,958

Asset-Backed Securities - 2.3%

 

Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.7046% 4/25/35 (h)

492,887

319,752

ACE Securities Corp. Home Equity Loan Trust:

Series 2004-HE1 Class M1, 0.9846% 3/25/34 (h)

134

133

Series 2005-HE2 Class M2, 0.6846% 4/25/35 (h)

47,396

45,745

Advanta Business Card Master Trust Series 2006-C1 Class C1, 0.6758% 10/20/14 (h)

169,000

1,690

Airspeed Ltd. Series 2007-1A Class C1, 2.729% 6/15/32 (b)(h)

2,669,096

1,387,930

Ally Auto Receivables Trust:

Series 2009-A:

Class A3, 2.33% 6/17/13 (b)

1,100,647

1,107,800

Class A4, 3% 10/15/15 (b)

1,600,000

1,640,483

Series 2010-5 Class A4, 1.75% 3/15/16

1,430,000

1,450,701

Series 2011-1 Class A4, 2.23% 3/15/16

6,420,000

6,600,965

Ally Master Owner Trust:

Series 2010-3 Class A, 2.88% 4/15/15 (b)

3,400,000

3,485,125

Series 2011-1 Class A2, 2.15% 1/15/16

3,150,000

3,198,809

Series 2011-3 Class A2, 1.81% 5/15/16

2,760,000

2,783,582

AmeriCredit Automobile Receivables Trust Series 2011-1 Class A3, 1.39% 9/8/15

2,660,000

2,668,848

Ameriquest Mortgage Securities, Inc. pass-thru certificates:

Series 2003-10 Class M1, 0.9346% 12/25/33 (h)

30,452

23,762

Series 2004-R2 Class M3, 0.7846% 4/25/34 (h)

47,022

14,799

Series 2004-R8 Class M9, 4.3596% 9/25/34 (h)

112,116

377

 

 

Principal Amount

Value

Series 2005-R2 Class M1, 0.6846% 4/25/35 (h)

$ 727,000

$ 634,313

Argent Securities, Inc. pass-thru certificates:

Series 2003-W7 Class A2, 0.9984% 3/25/34 (h)

16,878

10,896

Series 2004-W11 Class M2, 0.9346% 11/25/34 (h)

198,000

162,677

Series 2004-W7 Class M1, 0.7846% 5/25/34 (h)

209,000

149,567

Series 2006-W4 Class A2C, 0.3946% 5/25/36 (h)

475,892

124,919

Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1.0596% 4/25/34 (h)

928,251

717,239

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

3,100,000

3,171,314

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

5,250,000

5,251,506

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 0.3681% 12/25/24 (h)

493,407

435,740

C-BASS Trust Series 2006-CB7 Class A2, 0.2946% 10/25/36 (h)

511

510

Carmax Auto Owner Trust Series 2011-1 Class A3, 1.29% 9/15/15

2,760,000

2,784,663

Carrington Mortgage Loan Trust:

Series 2006-FRE1 Class M1, 0.5346% 7/25/36 (h)

402,000

13,635

Series 2007-RFC1 Class A3, 0.3746% 12/25/36 (h)

635,000

190,185

Chrysler Financial Auto Securitization Trust Series 2010-A Class A3, 0.91% 8/8/13

6,300,000

6,304,061

Citibank Credit Card Issuance Trust Series 2009-A5 Class A5, 2.25% 12/23/14

12,500,000

12,750,708

Countrywide Home Loans, Inc.:

Series 2003-BC1 Class B1, 5.4373% 3/25/32 (MGIC Investment Corp. Insured) (h)

40,946

3,571

Series 2004-3 Class M4, 1.2046% 4/25/34 (h)

56,336

27,010

Series 2004-4 Class M2, 1.0296% 6/25/34 (h)

207,174

88,313

Series 2005-3 Class MV1, 0.6546% 8/25/35 (h)

186,996

181,594

Series 2005-AB1 Class A2, 0.4446% 8/25/35 (h)

13,412

13,235

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.6556% 5/28/35 (h)

13,702

8,731

Asset-Backed Securities - continued

 

Principal Amount

Value

Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.4096% 8/25/34 (h)

$ 102,000

$ 58,204

First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0596% 3/25/34 (h)

5,606

1,247

Ford Credit Auto Lease Trust Series 2010-B Class A3, 0.91% 7/15/13 (b)

5,190,000

5,195,895

Ford Credit Auto Owner Trust:

Series 2009-D:

Class A3, 2.17% 10/15/13

1,026,376

1,033,829

Class A4, 2.98% 8/15/14

1,800,000

1,852,998

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

3,550,000

3,559,732

Ford Credit Floorplan Master Owner Trust Series 2010-5 Class A1, 1.5% 9/15/15

3,580,000

3,602,707

Fremont Home Loan Trust Series 2005-A:

Class M3, 0.7246% 1/25/35 (h)

334,000

129,531

Class M4, 0.9146% 1/25/35 (h)

128,000

31,082

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6918% 2/25/47 (b)(h)

829,000

414,500

GE Business Loan Trust Series 2003-1 Class A, 0.659% 4/15/31 (b)(h)

82,929

78,748

GSAMP Trust:

Series 2004-AR1:

Class B4, 4.9701% 6/25/34 (b)(h)

143,089

39,986

Class M1, 0.8846% 6/25/34 (h)

772,000

471,922

Series 2007-HE1 Class M1, 0.4846% 3/25/47 (h)

289,000

12,682

Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7846% 9/25/46 (b)(h)

538,000

86,080

Home Equity Asset Trust:

Series 2003-3 Class M1, 1.5246% 8/25/33 (h)

253,400

199,053

Series 2003-5 Class A2, 0.9346% 12/25/33 (h)

11,595

8,027

Series 2005-5 Class 2A2, 0.4846% 11/25/35 (h)

15,006

14,864

Series 2006-1 Class 2A3, 0.4596% 4/25/36 (h)

211,825

205,620

HSBC Home Equity Loan Trust Series 2006-2 Class M2, 0.5205% 3/20/36 (h)

228,166

190,164

HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.4246% 1/25/37 (h)

436,000

141,682

 

 

Principal Amount

Value

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

$ 1,197,363

$ 1,204,372

JPMorgan Mortgage Acquisition Trust Series 2007-CH1:

Class AV4, 0.3646% 11/25/36 (h)

438,000

360,879

Class MV1, 0.4646% 11/25/36 (h)

356,000

228,379

Keycorp Student Loan Trust Series 1999-A Class A2, 0.6902% 12/27/29 (h)

221,808

195,792

Long Beach Mortgage Loan Trust Series 2004-2 Class M2, 1.3146% 6/25/34 (h)

31,159

18,960

MASTR Asset Backed Securities Trust:

Series 2006-AM3 Class M1, 0.4946% 10/25/36 (h)

158,000

5,598

Series 2007-HE1 Class M1, 0.5346% 5/25/37 (h)

249,000

7,482

Merrill Lynch Mortgage Investors Trust:

Series 2003-OPT1 Class M1, 1.2096% 7/25/34 (h)

31,385

21,109

Series 2006-FM1 Class A2B, 0.3446% 4/25/37 (h)

517,045

374,925

Series 2006-OPT1 Class A1A, 0.4946% 6/25/35 (h)

528,304

364,152

Morgan Stanley ABS Capital I Trust:

Series 2004-HE6 Class A2, 0.5746% 8/25/34 (h)

20,187

14,755

Series 2004-NC8 Class M6, 1.4846% 9/25/34 (h)

101,780

51,152

Series 2005-NC1 Class M1, 0.6746% 1/25/35 (h)

141,000

88,425

New Century Home Equity Loan Trust:

Series 2005-4 Class M2, 0.7446% 9/25/35 (h)

503,000

271,283

Series 2005-D Class M2, 0.7046% 2/25/36 (h)

105,000

19,378

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

2,140,000

2,157,729

Ocala Funding LLC Series 2006-1A Class A, 1.6305% 3/20/11 (a)(b)(h)

414,000

0

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M3, 1.4846% 9/25/34 (h)

188,000

100,821

Class M4, 1.6846% 9/25/34 (h)

241,000

56,255

Series 2005-WCH1:

Class M2, 0.7546% 1/25/36 (h)

1,972,000

1,786,506

Asset-Backed Securities - continued

 

Principal Amount

Value

Park Place Securities, Inc.: - continued

Series 2005-WCH1:

Class M3, 0.7946% 1/25/36 (h)

$ 168,000

$ 105,588

Class M4, 1.0646% 1/25/36 (h)

520,000

260,932

Series 2005-WHQ2 Class M7, 1.4846% 5/25/35 (h)

1,124,782

8,387

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.0346% 4/25/33 (h)

1,796

1,448

Saxon Asset Securities Trust Series 2004-1 Class M1, 1.0296% 3/25/35 (h)

499,541

389,852

Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.3805% 3/20/19 (FGIC Insured) (b)(h)

177,829

169,944

SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2971% 6/15/33 (h)

448,000

215,799

Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9596% 9/25/34 (h)

24,024

12,411

Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0946% 9/25/34 (h)

10,148

6,633

Volkswagen Auto Lease Trust Series 2010-A Class A3, 0.99% 11/20/13

5,630,000

5,644,988

Whinstone Capital Management Ltd. Series 1A Class B3, 2.053% 10/25/44 (b)(h)

630,180

264,676

TOTAL ASSET-BACKED SECURITIES

(Cost $92,560,199)


89,492,051

Collateralized Mortgage Obligations - 1.5%

 

Private Sponsor - 1.3%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.8316% 4/10/49 (h)

485,000

147,705

Class C, 5.8316% 4/10/49 (h)

1,290,000

335,076

Class D, 5.8316% 4/10/49 (h)

650,000

82,626

Banc of America Mortgage Securities, Inc.:

Series 2004-B Class 1A1, 2.7465% 3/25/34 (h)

19,892

16,486

Series 2005-E Class 2A7, 2.8672% 6/25/35 (h)

2,680,000

2,010,422

Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7946% 1/25/35 (h)

716,690

535,079

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 2.8761% 2/25/37 (h)

360,911

312,255

 

 

Principal Amount

Value

Series 2007-A2 Class 2A1, 2.9553% 7/25/37 (h)

$ 196,206

$ 176,415

Citigroup Commercial Mortgage Trust Series 2008-C7 Class A2B, 6.2745% 12/10/49 (h)

7,310,000

7,549,395

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 2.2693% 8/25/34 (h)

2,120,142

2,083,734

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 2.7667% 11/25/34 (h)

699,590

608,301

Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 0.7678% 11/20/56 (b)(h)

863,000

853,528

Granite Master Issuer PLC floater:

Series 2006-1A Class C2, 1.4305% 12/20/54 (b)(h)

2,117,000

952,650

Series 2006-2 Class C1, 1.1705% 12/20/54 (h)

1,885,000

848,250

Series 2006-3 Class C2, 0.7305% 12/20/54 (h)

396,000

178,200

Series 2006-4:

Class B1, 0.3205% 12/20/54 (h)

1,059,000

847,200

Class C1, 0.6105% 12/20/54 (h)

647,000

291,150

Class M1, 0.4005% 12/20/54 (h)

279,000

185,535

Series 2007-1:

Class 1C1, 0.8305% 12/20/54 (h)

654,000

294,300

Class 1M1, 0.5305% 12/20/54 (h)

425,000

282,625

Class 2C1, 1.1905% 12/20/54 (h)

298,000

134,100

Class 2M1, 0.7305% 12/20/54 (h)

546,000

363,090

Series 2007-2 Class 2C1, 0.6599% 12/17/54 (h)

757,000

340,650

Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7013% 1/20/44 (h)

151,584

91,708

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 2.7266% 4/25/35 (h)

1,005,434

776,933

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

6,230,000

6,450,224

JPMorgan Mortgage Trust:

Series 2004-A5 Class 2A1, 2.4465% 12/25/34 (h)

666,807

561,956

Series 2006-A2 Class 5A1, 2.9027% 11/25/33 (h)

798,264

717,760

Series 2007-A1 Class 1A1, 2.8051% 7/25/35 (h)

1,972,563

1,715,538

Collateralized Mortgage Obligations - continued

 

Principal Amount

Value

Private Sponsor - continued

MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4446% 5/25/47 (h)

$ 309,880

$ 197,922

Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.4046% 2/25/37 (h)

466,943

305,876

Merrill Lynch Floating Trust floater Series 2006-1:

Class C, 0.419% 6/15/22 (b)(h)

449,000

417,570

Class D, 0.429% 6/15/22 (b)(h)

173,000

159,160

Class E, 0.439% 6/15/22 (b)(h)

276,000

251,160

Class F, 0.469% 6/15/22 (b)(h)

498,000

450,690

Class G, 0.539% 6/15/22 (b)(h)

103,000

90,640

Class H, 0.559% 6/15/22 (b)(h)

207,000

173,880

Class J, 0.599% 6/15/22 (b)(h)

242,000

188,760

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

4,570,000

4,757,804

Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.5246% 7/25/35 (h)

737,816

560,556

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.5346% 3/25/37 (h)

861,000

39,398

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 2.6698% 10/25/35 (h)

1,440,696

1,128,119

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.575% 7/10/35 (b)(h)

253,407

190,511

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

49,438

52,307

Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6846% 6/25/33 (b)(h)

69,613

63,797

Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.275% 7/20/34 (h)

12,789

8,554

TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.4184% 9/25/36 (h)

1,153,000

822,787

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-H Class A1, 2.6982% 6/25/34 (h)

572,761

538,052

Series 2005-AR10 Class 2A2, 2.738% 6/25/35 (h)

2,415,670

2,149,463

Series 2005-AR12:

Class 2A5, 2.7335% 7/25/35 (h)

3,405,446

2,990,951

 

 

Principal Amount

Value

Class 2A6, 2.7335% 7/25/35 (h)

$ 3,190,653

$ 2,764,871

Series 2005-AR3 Class 2A1, 2.7513% 3/25/35 (h)

658,615

574,055

TOTAL PRIVATE SPONSOR

48,619,774

U.S. Government Agency - 0.2%

Fannie Mae planned amortization class:

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

1,516,672

1,675,439

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

1,120,395

1,263,264

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

152,413

164,497

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

2,625,000

2,725,943

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

290,487

302,361

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

3,690,025

3,965,331

Ginnie Mae guaranteed REMIC pass-thru certificates Series 2007-35 Class SC, 38.8237% 6/16/37 (h)(j)

130,760

243,976

TOTAL U.S. GOVERNMENT AGENCY

10,340,811

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $62,411,837)


58,960,585

Commercial Mortgage Securities - 6.1%

 

Asset Securitization Corp. Series 1997-D5:

Class A2, 7.1305% 2/14/43 (h)

1,435,000

1,478,327

Class A3, 6.8838% 2/14/43 (h)

1,545,000

1,620,302

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.903% 5/10/45 (h)

1,971,849

2,075,312

Series 2006-5:

Class A2, 5.317% 9/10/47

7,493,620

7,537,031

Class A3, 5.39% 9/10/47

1,985,000

2,052,016

Series 2007-3 Class A3, 5.8009% 6/10/49 (h)

6,100,000

6,380,997

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

$ 853,305

$ 853,617

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

1,487,229

1,489,127

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

4,889,139

4,881,576

Banc of America Large Loan, Inc. floater:

Series 2005-MIB1:

Class F, 0.699% 3/15/22 (b)(h)

217,000

195,300

Class G, 0.759% 3/15/22 (b)(h)

141,000

125,490

Series 2006-BIX1:

Class F, 0.539% 10/15/19 (b)(h)

558,000

517,545

Class G, 0.559% 10/15/19 (b)(h)

380,000

334,400

Bayview Commercial Asset Trust:

floater:

Series 2004-1:

Class A, 0.5946% 4/25/34 (b)(h)

458,507

381,028

Class B, 2.1346% 4/25/34 (b)(h)

36,032

20,290

Class M1, 0.7946% 4/25/34 (b)(h)

29,360

20,783

Class M2, 1.4346% 4/25/34 (b)(h)

26,309

18,146

Series 2004-2:

Class A, 0.6646% 8/25/34 (b)(h)

357,963

292,906

Class M1, 0.8146% 8/25/34 (b)(h)

57,813

41,869

Series 2004-3:

Class A1, 0.6046% 1/25/35 (b)(h)

724,853

566,842

Class A2, 0.6546% 1/25/35 (b)(h)

94,353

74,095

Class M1, 0.7346% 1/25/35 (b)(h)

96,573

67,303

Class M2, 1.2346% 1/25/35 (b)(h)

62,439

41,071

Series 2005-2A:

Class A1, 0.5446% 8/25/35 (b)(h)

400,329

308,630

Class M1, 0.6646% 8/25/35 (b)(h)

29,683

17,223

Class M2, 0.7146% 8/25/35 (b)(h)

48,821

26,314

Class M3, 0.7346% 8/25/35 (b)(h)

26,949

14,291

 

 

Principal Amount

Value

Series 2005-3A:

Class A1, 0.5546% 11/25/35 (b)(h)

$ 222,200

$ 168,019

Class A2, 0.6346% 11/25/35 (b)(h)

143,978

109,443

Series 2005-4A:

Class A2, 0.6246% 1/25/36 (b)(h)

783,184

565,424

Class M1, 0.6846% 1/25/36 (b)(h)

163,869

94,414

Class M2, 0.7046% 1/25/36 (b)(h)

49,435

26,283

Class M3, 0.7346% 1/25/36 (b)(h)

71,864

35,440

Series 2006-1 Class A2, 0.5946% 4/25/36 (b)(h)

77,455

57,441

Series 2006-2A:

Class A1, 0.4646% 7/25/36 (b)(h)

777,231

583,604

Class A2, 0.5146% 7/25/36 (b)(h)

70,156

46,294

Class M1, 0.5446% 7/25/36 (b)(h)

73,664

43,120

Class M2, 0.5646% 7/25/36 (b)(h)

52,116

28,003

Class M6, 0.7746% 7/25/36 (b)(h)

53,118

15,820

Series 2006-3A:

Class M5, 0.7146% 10/25/36 (b)(h)

65,714

8,543

Class M6, 0.7946% 10/25/36 (b)(h)

128,329

11,550

Series 2006-4A:

Class A1, 0.4646% 12/25/36 (b)(h)

473,478

325,753

Class A2, 0.5046% 12/25/36 (b)(h)

1,055,233

707,006

Class M1, 0.5246% 12/25/36 (b)(h)

76,466

31,291

Series 2007-1:

Class A2, 0.5046% 3/25/37 (b)(h)

201,614

127,017

Class B3, 3.5846% 3/25/37 (b)(h)

60,246

2,109

Series 2007-2A:

Class A1, 0.5046% 7/25/37 (b)(h)

188,907

130,707

Class A2, 0.5546% 7/25/37 (b)(h)

176,817

100,950

Class B1, 1.8346% 7/25/37 (b)(h)

166,238

12,387

Class B2, 2.4846% 7/25/37 (b)(h)

143,569

6,623

Class B3, 3.5846% 7/25/37 (b)(h)

115,861

3,036

Class M2, 0.6446% 7/25/37 (b)(h)

98,232

21,351

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Class M3, 0.7246% 7/25/37 (b)(h)

$ 98,232

$ 16,396

Class M4, 0.8846% 7/25/37 (b)(h)

207,798

28,354

Class M5, 0.9846% 7/25/37 (b)(h)

185,129

21,185

Class M6, 1.2346% 7/25/37 (b)(h)

230,467

20,473

Series 2007-3:

Class A2, 0.5246% 7/25/37 (b)(h)

292,930

175,296

Class B1, 1.1846% 7/25/37 (b)(h)

135,388

14,423

Class B2, 1.8346% 7/25/37 (b)(h)

473,242

34,041

Class B3, 4.2346% 7/25/37 (b)(h)

113,371

3,765

Class M1, 0.5446% 7/25/37 (b)(h)

120,003

39,522

Class M2, 0.5746% 7/25/37 (b)(h)

126,157

33,428

Class M3, 0.6046% 7/25/37 (b)(h)

275,699

63,372

Class M4, 0.7346% 7/25/37 (b)(h)

435,703

88,508

Class M5, 0.8346% 7/25/37 (b)(h)

163,081

28,227

Class M6, 1.0346% 7/25/37 (b)(h)

123,080

17,347

Series 2007-4A:

Class B1, 2.7846% 9/25/37 (b)(h)

234,710

3,521

Class B2, 3.6846% 9/25/37 (b)(h)

670,135

3,351

Class M4, 1.8346% 9/25/37 (b)(h)

755,927

45,356

Class M5, 1.9846% 9/25/37 (b)(h)

755,927

30,237

Class M6, 2.1846% 9/25/37 (b)(h)

755,927

18,898

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

1,309,077

43,854

Bear Stearns Commercial Mortgage Securities Trust:

floater:

Series 2006-BBA7:

Class H, 0.879% 3/15/19 (b)(h)

151,764

143,984

Class J, 1.079% 3/15/19 (b)(h)

143,000

121,341

Series 2007-BBA8:

Class D, 0.479% 3/15/22 (b)(h)

147,000

134,052

 

 

Principal Amount

Value

Class E, 0.529% 3/15/22 (b)(h)

$ 763,000

$ 690,452

Class F, 0.579% 3/15/22 (b)(h)

468,000

414,609

Class G, 0.629% 3/15/22 (b)(h)

120,000

104,954

Class H, 0.779% 3/15/22 (b)(h)

147,000

125,629

Class J, 0.929% 3/15/22 (b)(h)

147,000

115,339

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

2,010,000

2,060,043

Series 2007-PW16:

Class B, 5.9045% 6/11/40 (b)(h)

1,405,000

561,453

Class C, 5.9045% 6/11/40 (b)(h)

1,170,000

385,756

Class D, 5.9045% 6/11/40 (b)(h)

1,170,000

327,326

C-BASS Trust floater Series 2006-SC1 Class A, 0.5046% 5/25/36 (b)(h)

274,930

190,411

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class G, 0.555% 8/15/21 (b)(h)

156,000

151,320

Class H, 0.595% 8/15/21 (b)(h)

125,000

115,000

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

3,810,000

4,144,903

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

3,228,562

3,223,699

Series 2007-FL3A Class A2, 0.369% 4/15/22 (b)(h)

2,595,000

2,500,168

Citigroup/Deutsche Bank Commercial Mortgage Trust:

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

2,960,000

3,051,171

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

6,065,000

6,287,379

COMM pass-thru certificates:

floater:

Series 2005-F10A:

Class D, 0.539% 4/15/17 (b)(h)

335,000

303,263

Class E, 0.599% 4/15/17 (b)(h)

107,000

94,723

Class F, 0.639% 4/15/17 (b)(h)

60,000

51,316

Class G, 0.779% 4/15/17 (b)(h)

60,000

49,516

Class H, 0.849% 4/15/17 (b)(h)

60,000

46,516

Class J, 1.079% 4/15/17 (b)(h)

46,000

19,780

Commercial Mortgage Securities - continued

 

Principal Amount

Value

COMM pass-thru certificates: - continued

floater:

Series 2005-FL11:

Class F, 0.679% 11/15/17 (b)(h)

$ 65,513

$ 58,962

Class G, 0.729% 11/15/17 (b)(h)

45,227

39,800

sequential payer Series 2006-CN2A:

Class A2FX, 5.449% 2/5/19 (b)

2,775,000

2,757,352

Class AJFX, 5.478% 2/5/19 (b)

2,110,000

2,124,210

Credit Suisse Commercial Mortgage Trust:

sequential payer:

Series 2007-C2 Class A2, 5.448% 1/15/49 (h)

3,845,212

3,858,190

Series 2007-C3 Class A4, 5.9029% 6/15/39 (h)

3,750,000

3,905,190

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

3,569,333

3,650,554

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

2,750,000

2,929,891

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer Series 2004-C1:

Class A3, 4.321% 1/15/37

429,185

431,048

Class A4, 4.75% 1/15/37

3,035,000

3,168,755

Series 2001-CKN5 Class AX, 1.9447% 9/15/34 (b)(h)(i)

4,604,858

1,828

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

250,000

245,733

Series 2006-C1 Class A3, 5.5979% 2/15/39 (h)

2,735,265

2,856,494

Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:

Class B, 0.379% 2/15/22 (b)(h)

3,470,000

3,018,900

Class C:

0.399% 2/15/22 (b)(h)

657,000

558,450

0.499% 2/15/22 (b)(h)

234,000

187,200

Class F, 0.549% 2/15/22 (b)(h)

469,000

365,820

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

4,470,000

4,678,445

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 0.4118% 11/5/21 (b)(h)

3,490,000

3,333,519

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

13,805,000

14,192,051

Series 2006-GG7 Class A3, 6.0735% 7/10/38 (h)

3,460,000

3,623,042

 

 

Principal Amount

Value

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class E, 0.5918% 6/6/20 (b)(h)

$ 1,821,615

$ 1,688,450

Class F, 0.6618% 6/6/20 (b)(h)

294,000

269,656

Series 2007-EOP:

Class C, 2.1455% 3/6/20 (b)(h)

1,335,000

1,292,004

Class D, 2.3636% 3/6/20 (b)(h)

400,000

387,121

Class E, 2.6688% 3/6/20 (b)(h)

670,000

648,453

Class F, 2.8433% 3/6/20 (b)(h)

335,000

324,844

Class G, 3.0177% 3/6/20 (b)(h)

165,000

160,478

Class H, 3.5846% 3/6/20 (b)(h)

275,000

268,748

Class J, 4.4568% 3/6/20 (b)(h)

395,000

388,255

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

2,624,853

2,624,607

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

1,669,815

1,690,460

GS Mortgage Securities Trust sequential payer Series 2007-GG10:

Class A2, 5.778% 8/10/45

4,857,927

4,939,530

Class A4, 5.9984% 8/10/45 (h)

2,280,000

2,368,726

JP Morgan Chase Commercial Mortgage Securities Trust:

sequential payer:

Series 2006-CB14 Class A3B, 5.6777% 12/12/44 (h)

4,134,938

4,206,580

Series 2007-LDPX Class A3, 5.42% 1/15/49

3,796,000

3,935,803

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

3,921,719

4,006,220

Series 2007-LDP10:

Class BS, 5.437% 1/15/49 (h)

1,725,000

248,489

Class CS, 5.466% 1/15/49 (h)

745,000

104,250

Class ES, 5.7274% 1/15/49 (b)(h)

4,663,000

295,092

JPMorgan Chase Commercial Mortgage Securities Trust:

floater Series 2006-FLA2:

Class E, 0.509% 11/15/18 (b)(h)

87,751

73,710

Class F, 0.559% 11/15/18 (b)(h)

131,626

109,249

Class G, 0.589% 11/15/18 (b)(h)

114,674

91,739

Class H, 0.729% 11/15/18 (b)(h)

87,770

66,705

Commercial Mortgage Securities - continued

 

Principal Amount

Value

JPMorgan Chase Commercial Mortgage Securities Trust: - continued

sequential payer Series 2006-LDP9 Class A2, 5.134% 5/15/47 (h)

$ 4,368,990

$ 4,455,321

Series 2007-CB19:

Class B, 5.9314% 2/12/49 (h)

755,000

301,710

Class C, 5.9314% 2/12/49 (h)

1,971,000

689,214

Class D, 5.9314% 2/12/49 (h)

2,075,000

617,751

LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.1403% 7/15/44 (h)

3,733,000

4,044,851

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

429,430

432,356

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

481,946

482,229

Series 2007-C1:

Class A3, 5.398% 2/15/40

5,000,000

5,118,345

Class A4, 5.424% 2/15/40

8,620,000

9,097,617

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

1,165,000

1,196,434

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

315,746

315,968

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

Class F, 0.569% 9/15/21 (b)(h)

402,971

348,570

Class G, 0.589% 9/15/21 (b)(h)

795,609

660,356

Class H, 0.629% 9/15/21 (b)(h)

204,773

161,771

Merrill Lynch Mortgage Trust:

sequential payer:

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

89,391

89,451

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

481,334

482,406

Series 2007-C1 Class A4, 6.0216% 6/12/50 (h)

3,796,000

4,024,515

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-5 Class A3, 5.364% 8/12/48

4,298,000

4,396,983

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

3,875,000

3,975,401

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

5,500,000

5,672,926

Series 2007-7 Class B, 5.935% 6/12/50 (h)

770,000

195,979

 

 

Principal Amount

Value

Morgan Stanley Capital I Trust:

floater:

Series 2006-XLF Class C, 1.43% 7/15/19 (b)(h)

$ 113,478

$ 66,952

Series 2007-XCLA Class A1, 0.43% 7/17/17 (b)(h)

161,021

146,529

Series 2007-XLFA:

Class D, 0.42% 10/15/20 (b)(h)

235,000

216,376

Class E, 0.48% 10/15/20 (b)(h)

294,000

267,761

Class F, 0.53% 10/15/20 (b)(h)

176,000

146,212

Class G, 0.57% 10/15/20 (b)(h)

218,000

178,924

Class H, 0.66% 10/15/20 (b)(h)

137,000

98,743

Class J, 0.81% 10/15/20 (b)(h)

80,347

45,858

Class NHRO, 1.12% 10/15/20 (b)(h)

87,956

70,365

sequential payer:

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

4,785,000

4,956,088

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

521,414

521,759

Series 2005-IQ9 Class X2, 1.2131% 7/15/56 (b)(h)(i)

14,513,936

57,170

Series 2007-HQ12 Class A2, 5.7671% 4/12/49 (h)

4,460,559

4,503,612

Series 2007-IQ14 Class B, 5.9082% 4/15/49 (h)

2,175,000

717,750

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

3,235,944

3,606,460

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2006-WL7A:

Class E, 0.5094% 9/15/21 (b)(h)

491,000

366,777

Class F, 0.5694% 9/15/21 (b)(h)

661,000

462,700

Class G, 0.5894% 9/15/21 (b)(h)

626,000

419,420

Class J, 0.8294% 9/15/21 (b)(h)

139,000

83,400

Series 2007-WHL8:

Class AP2, 1.029% 6/15/20 (b)(h)

53,945

47,472

Class F, 0.709% 6/15/20 (b)(h)

1,046,000

679,900

sequential payer:

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

440,534

441,449

Series 2007-C30:

Class A3, 5.246% 12/15/43

5,940,000

6,021,574

Commercial Mortgage Securities - continued

 

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust: - continued

sequential payer:

Class A4, 5.305% 12/15/43

$ 3,240,000

$ 3,328,313

Class A5, 5.342% 12/15/43

3,796,000

3,869,707

Series 2007-C32 Class A2, 5.9262% 6/15/49 (h)

1,110,983

1,121,572

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

3,010,000

3,264,577

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

6,257,000

1,140,013

Series 2007-C31 Class C, 5.8781% 4/15/47 (h)

2,455,000

1,026,028

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $246,445,557)


231,645,334

Municipal Securities - 0.3%

 

Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (h)

1,200,000

1,248,996

California Gen. Oblig. 7.5% 4/1/34

2,095,000

2,522,212

Illinois Gen. Oblig.:

Series 2010, 4.421% 1/1/15

2,850,000

2,964,171

Series 2011:

5.665% 3/1/18

1,885,000

2,029,052

5.877% 3/1/19

1,755,000

1,873,164

TOTAL MUNICIPAL SECURITIES

(Cost $9,770,780)


10,637,595

Foreign Government and Government Agency Obligations - 0.2%

 

Chilean Republic 3.25% 9/14/21

4,140,000

4,057,200

United Mexican States:

5.875% 1/15/14

1,665,000

1,798,200

6.05% 1/11/40

2,660,000

3,027,080

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $8,443,723)


8,882,480

Supranational Obligations - 0.0%

 

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

350,000


367,853

Cash Equivalents - 8.8%

Maturity
Amount

Value

Investments in repurchase agreements in a joint trading account at 0.11%, dated 9/30/11 due 10/3/11 (Collateralized by U.S. Government Obligations) #
(Cost $334,464,000)

$ 334,466,972

$ 334,464,000

TOTAL INVESTMENT PORTFOLIO - 115.4%

(Cost $4,248,822,034)

4,401,445,911

NET OTHER ASSETS (LIABILITIES) - (15.4)%

(587,450,503)

NET ASSETS - 100%

$ 3,813,995,408

TBA Sale Commitments

 

Principal
Amount

 

Fannie Mae Mortgage pass-thru certificates

4% 10/1/41

$ (2,000,000)

(2,096,868)

4% 10/1/41

(4,000,000)

(4,193,737)

4% 10/1/41

(23,000,000)

(24,113,987)

4% 10/1/41

(1,000,000)

(1,048,434)

4% 10/1/41

(8,800,000)

(9,226,221)

4% 10/1/41

(23,000,000)

(24,113,987)

4% 10/1/41

(6,000,000)

(6,290,605)

4% 10/1/41

(6,000,000)

(6,290,605)

4.5% 10/1/41

(12,500,000)

(13,262,894)

4.5% 10/1/41

(2,000,000)

(2,122,063)

4.5% 10/1/41

(13,500,000)

(14,323,925)

5% 10/1/41

(51,000,000)

(54,856,370)

5% 10/1/41

(13,000,000)

(13,982,996)

5% 10/1/41

(14,000,000)

(15,058,611)

5.5% 10/1/41

(10,000,000)

(10,853,805)

5.5% 10/1/41

(5,000,000)

(5,426,903)

5.5% 10/1/41

(5,000,000)

(5,426,903)

5.5% 10/1/41

(5,000,000)

(5,426,903)

6% 10/1/41

(33,000,000)

(36,199,380)

6% 10/1/41

(25,000,000)

(27,423,772)

TOTAL FANNIE MAE MORTGAGE PASS-THRU CERTIFICATES

(281,738,968)

Freddie Mac

5.5% 10/1/41

(13,500,000)

(14,602,012)

Ginnie Mae

4% 10/1/41

(5,500,000)

(5,883,263)

4% 10/1/41

(5,500,000)

(5,883,263)

TOTAL GINNIE MAE

(11,766,526)

TOTAL TBA SALE COMMITMENTS

(Proceeds $(308,146,867))

$ (308,107,506)

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 Premium Received/(Paid) $360,000) (g)

Sept. 2037

$ 1,772,330

$ (1,671,485)

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 Premium Received/(Paid) $598,000) (g)

Sept. 2037

1,536,019

(1,448,620)

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 Premium Received/(Paid) $348,750) (g)

Sept. 2037

886,165

(835,742)

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 Premium Received/(Paid) $701,375) (g)

Sept. 2037

1,831,408

(1,727,201)

 

 

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 Premium Received/(Paid) $572,000) (g)

Sept. 2037

$ 2,599,417

$ (2,451,511)

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 Premium Received/(Paid) $214,000) (g)

Sept. 2037

945,243

(891,458)

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 Premium Received/(Paid) $1,023,500) (g)

Sept. 2037

2,717,573

(2,562,943)

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
(Rating-Ca) (f)

August 2034

85,673

(47,601)

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) (f)

Feb. 2034

4,841

(4,565)

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

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) (f)

Dec.
2034

$ 245,904

$ (239,730)

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) (f)

Oct.
2034

112,116

(111,397)

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) (f)

Dec.
2034

427,179

(416,454)

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) (f)

Sept.
2034

84,232

(63,618)

TOTAL CREDIT DEFAULT
SWAPS

$ 13,248,100

$ (12,472,325)

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

753,599

 

$ 94,214,100

$ (11,718,726)

Legend

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $170,431,582 or 4.5% of net assets.

(c) Security is perpetual in nature with no stated maturity date.

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

(e) 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 $13,860,217.

(f) 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.

(g) 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.

(h) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(i) 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.

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

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

Repurchase Agreement / Counterparty

Value

$334,464,000 due 10/03/11 at 0.11%

BNP Paribas Securities Corp.

$ 4,239,523

Barclays Capital, Inc.

36,380,663

Merrill Lynch, Pierce, Fenner & Smith, Inc.

27,985,125

Mizuho Securities USA, Inc.

265,858,689

 

$ 334,464,000

Other Information

The following is a summary of the inputs used, as of September 30, 2011, 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

$ 892,891,220

$ -

$ 892,891,220

$ -

U.S. Government and Government Agency Obligations

1,176,909,835

-

1,176,909,835

-

U.S. Government Agency - Mortgage Securities

1,597,194,958

-

1,597,194,958

-

Asset-Backed Securities

89,492,051

-

84,510,696

4,981,355

Collateralized Mortgage Obligations

58,960,585

-

58,355,780

604,805

Commercial Mortgage Securities

231,645,334

-

217,676,947

13,968,387

Municipal Securities

10,637,595

-

10,637,595

-

Foreign Government and Government Agency Obligations

8,882,480

-

8,882,480

-

Supranational Obligations

367,853

-

367,853

-

Cash Equivalents

334,464,000

-

334,464,000

-

Total Investments in Securities:

$ 4,401,445,911

$ -

$ 4,381,891,364

$ 19,554,547

Derivative Instruments:

Assets

Swap Agreements

$ 753,599

$ -

$ 753,599

$ -

Liabilities

Swap Agreements

$ (12,472,325)

$ -

$ (11,588,960)

$ (883,365)

Total Derivative Instruments:

$ (11,718,726)

$ -

$ (10,835,361)

$ (883,365)

Other Financial Instruments:

TBA Sale Commitments

$ (308,107,506)

$ -

$ (308,107,506)

$ -

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

$ 14,900,634

Total Realized Gain (Loss)

180,935

Total Unrealized Gain (Loss)

620,794

Cost of Purchases

-

Proceeds of Sales

(2,284,233)

Amortization/Accretion

(989,475)

Transfers in to Level 3

9,923,432

Transfers out of Level 3

(2,797,540)

Ending Balance

$ 19,554,547

The change in unrealized gain (loss) for the period attributable to Level 3 securities held at September 30, 2011

$ 517,910

Derivative Instruments:

Swap Agreements

Beginning Balance

$ (1,102,753)

Total Unrealized Gain (Loss)

219,388

Transfers in to Level 3

-

Transfers out of Level 3

-

Ending Balance

$ (883,365)

Realized gain (loss) on Swap Agreements for the period

$ (210,565)

The change in unrealized gain (loss) for the period attributable to Level 3 Swap Agreements held at September 30, 2011

$ 22,565

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, 2011, the cost of investment securities for income tax purposes was $4,243,909,017. Net unrealized appreciation aggregated $157,536,894, of which $207,610,016 related to appreciated investment securities and $50,073,122 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, 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. 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.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 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 enters 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 premiums paid 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 swap 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 the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund receives collateral in the form of cash or securities, if required, which is 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. 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 payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties in an amount equal to the counterparties unrealized appreciation on outstanding swaps contracts, and any such pledged collateral is identified.

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. 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 $13,248,100 representing 0.35% 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, 2011

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, 2011

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

November 29, 2011