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)

Eric D. Roiter, 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, 2008

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Variable Insurance Products:
Investment Grade Central Fund

March 31, 2008

1.847666.101

VIGC-QTLY-0508

Investments March 31, 2008 (Unaudited)

Showing Percentage of Net Assets

Nonconvertible Bonds - 23.3%

Principal Amount

Value

CONSUMER DISCRETIONARY - 1.4%

Hotels, Restaurants & Leisure - 0.1%

McDonald's Corp. 6.3% 3/1/38

$ 2,925,000

$ 2,992,562

Household Durables - 0.3%

Fortune Brands, Inc.:

5.125% 1/15/11

4,010,000

4,014,640

5.875% 1/15/36

5,320,000

4,544,908

Newell Rubbermaid, Inc. 6.25% 4/15/18

1,190,000

1,213,626

9,773,174

Media - 1.0%

AOL Time Warner, Inc.:

6.75% 4/15/11

100,000

102,834

6.875% 5/1/12

290,000

299,378

7.625% 4/15/31

1,625,000

1,699,602

Comcast Corp.:

4.95% 6/15/16

2,975,000

2,769,261

5.5% 3/15/11

2,675,000

2,695,295

Cox Communications, Inc.:

4.625% 1/15/10

3,350,000

3,351,611

4.625% 6/1/13

3,475,000

3,337,699

6.45% 12/1/36 (a)

1,560,000

1,504,650

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

1,905,000

2,016,732

News America, Inc.:

6.15% 3/1/37

1,745,000

1,648,383

6.2% 12/15/34

6,695,000

6,376,197

Time Warner Cable, Inc.:

5.85% 5/1/17

2,467,000

2,361,437

6.55% 5/1/37

5,604,000

5,290,070

Time Warner, Inc. 5.875% 11/15/16

400,000

380,382

Viacom, Inc.:

5.75% 4/30/11

1,410,000

1,425,017

6.125% 10/5/17

2,710,000

2,642,497

6.75% 10/5/37

935,000

896,673

38,797,718

TOTAL CONSUMER DISCRETIONARY

51,563,454

CONSUMER STAPLES - 1.3%

Beverages - 0.2%

Diageo Capital PLC:

5.2% 1/30/13

1,705,000

1,763,903

5.75% 10/23/17

3,817,000

3,909,123

FBG Finance Ltd. 5.125% 6/15/15 (a)

2,185,000

2,164,756

7,837,782

Principal Amount

Value

Food & Staples Retailing - 0.3%

CVS Caremark Corp.:

6.036% 12/10/28 (a)

$ 7,236,026

$ 6,893,401

6.302% 6/1/37 (f)

5,910,000

5,419,612

12,313,013

Food Products - 0.5%

Cargill, Inc. 6.625% 9/15/37 (a)

3,333,000

3,226,151

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

3,620,000

3,630,310

H.J. Heinz Co. 6.428% 12/1/08 (a)(f)

2,935,000

2,984,660

Kraft Foods, Inc.:

6.125% 2/1/18

2,376,000

2,374,496

6.875% 2/1/38

4,900,000

4,822,066

17,037,683

Personal Products - 0.2%

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

5,995,000

6,103,462

Tobacco - 0.1%

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

3,055,000

3,024,163

TOTAL CONSUMER STAPLES

46,316,103

ENERGY - 2.5%

Energy Equipment & Services - 0.4%

Petronas Capital Ltd. 7% 5/22/12 (a)

6,135,000

6,822,899

Transocean, Inc. 6% 3/15/18

5,810,000

5,976,311

Weatherford International Ltd. 7% 3/15/38

2,250,000

2,284,081

15,083,291

Oil, Gas & Consumable Fuels - 2.1%

Anadarko Petroleum Corp.:

5.95% 9/15/16

4,745,000

4,907,032

6.45% 9/15/36

1,155,000

1,176,198

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

3,000,000

3,274,446

Duke Capital LLC:

4.37% 3/1/09

3,575,000

3,587,563

6.25% 2/15/13

855,000

886,209

6.75% 2/15/32

4,255,000

4,047,577

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

3,300,000

3,102,617

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

3,330,000

3,266,231

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

6,135,000

6,630,512

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

320,000

338,063

Energy Transfer Partners LP:

6.7% 7/1/18

1,795,000

1,808,427

7.5% 7/1/38

3,000,000

3,007,602

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

6,045,000

5,939,950

Nakilat, Inc. 6.067% 12/31/33 (a)

4,015,000

3,648,471

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

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

$ 925,000

$ 865,725

Nexen, Inc.:

5.875% 3/10/35

1,655,000

1,506,083

6.4% 5/15/37

2,125,000

2,034,983

NGPL PipeCo LLC 6.514% 12/15/12 (a)

1,980,000

2,056,317

Pemex Project Funding Master Trust:

3.6756% 12/3/12 (a)(f)

410,000

391,550

4.1% 6/15/10 (a)(f)

4,480,000

4,446,400

6.125% 8/15/08

236,000

237,534

Plains All American Pipeline LP:

6.125% 1/15/17

1,250,000

1,270,640

6.65% 1/15/37

3,190,000

3,021,957

Ras Laffan Liquid Natural Gas Co. Ltd. III:

5.832% 9/30/16 (a)

2,375,000

2,358,684

6.332% 9/30/27 (a)

2,415,000

2,203,663

Talisman Energy, Inc. yankee 6.25% 2/1/38

1,335,000

1,229,954

TEPPCO Partners LP:

6.65% 4/15/18

1,811,000

1,829,333

7.55% 4/15/38

3,470,000

3,498,562

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

2,434,000

2,569,002

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

615,000

619,613

Valero Energy Corp. 6.625% 6/15/37

1,575,000

1,505,486

77,266,384

TOTAL ENERGY

92,349,675

FINANCIALS - 9.4%

Capital Markets - 2.4%

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

6,445,000

6,448,177

BlackRock, Inc. 6.25% 9/15/17

3,685,000

3,770,101

Goldman Sachs Group, Inc.:

5.25% 10/15/13

3,770,000

3,748,372

5.625% 1/15/17

3,000,000

2,877,975

5.7% 9/1/12

2,935,000

3,013,003

6.15% 4/1/18

3,889,000

3,883,229

6.6% 1/15/12

4,610,000

4,874,190

6.75% 10/1/37

6,705,000

6,237,883

Janus Capital Group, Inc.:

5.875% 9/15/11

2,041,000

2,066,719

6.25% 6/15/12

6,015,000

6,111,276

JPMorgan Chase Capital XVII 5.85% 8/1/35

6,975,000

5,904,400

Principal Amount

Value

JPMorgan Chase Capital XX 6.55% 9/29/36

$ 3,090,000

$ 2,703,314

Lazard Group LLC:

6.85% 6/15/17

3,230,000

3,024,653

7.125% 5/15/15

5,585,000

5,432,362

Lehman Brothers Holdings, Inc.:

5.625% 1/24/13

1,887,000

1,834,853

6.2% 9/26/14

3,100,000

3,057,604

6.75% 12/28/17

1,755,000

1,687,108

6.875% 7/17/37

3,100,000

2,687,852

Merrill Lynch & Co., Inc. 4.25% 2/8/10

7,275,000

7,102,437

Morgan Stanley:

4.75% 4/1/14

1,500,000

1,392,423

6.6% 4/1/12

7,695,000

7,978,007

UBS AG, Stamford 5.875% 12/20/17

3,145,000

3,214,593

89,050,531

Commercial Banks - 1.6%

Bank of America NA 5.3% 3/15/17

1,480,000

1,470,019

Credit Suisse (Guernsey) Ltd. 5.86%

4,785,000

4,053,512

Credit Suisse First Boston 6% 2/15/18

6,110,000

6,095,415

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

6,570,000

6,737,128

HSBC Holdings PLC 6.5% 9/15/37

7,355,000

7,229,744

Korea Development Bank:

3.875% 3/2/09

5,775,000

5,769,173

5.3% 1/17/13

3,805,000

3,927,483

SouthTrust Corp. 5.8% 6/15/14

1,440,000

1,517,167

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

4,625,000

4,713,703

SunTrust Bank 7.25% 3/15/18

3,601,000

3,682,660

Wachovia Bank NA:

4.875% 2/1/15

4,405,000

4,160,655

5.85% 2/1/37

3,000,000

2,532,555

Wachovia Corp. 4.875% 2/15/14

785,000

764,696

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

4,754,000

4,862,681

57,516,591

Consumer Finance - 1.1%

American Express Co.:

6.15% 8/28/17

3,625,000

3,608,285

8.15% 3/19/38

3,450,000

3,823,293

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

2,370,000

2,316,139

Discover Financial Services 3.4313% 6/11/10 (a)(f)

11,045,000

9,327,558

General Electric Capital Corp.:

5.625% 9/15/17

2,420,000

2,476,287

5.875% 1/14/38

3,600,000

3,469,889

6.375% 11/15/67 (f)

4,000,000

3,914,076

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Consumer Finance - continued

MBNA America Bank NA 7.125% 11/15/12

$ 1,075,000

$ 1,191,792

MBNA Corp. 7.5% 3/15/12

1,860,000

2,064,407

SLM Corp.:

3.4713% 7/27/09 (f)

1,064,000

895,177

3.4913% 7/26/10 (f)

6,312,000

4,970,807

4% 1/15/09

1,020,000

918,434

4.5% 7/26/10

2,555,000

2,096,429

41,072,573

Diversified Financial Services - 0.9%

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

9,125,000

9,771,260

Citigroup, Inc.:

5% 9/15/14

1,175,000

1,107,351

5.875% 5/29/37

1,400,000

1,215,962

JPMorgan Chase & Co.:

4.891% 9/1/15 (f)

20,000

19,314

5.6% 6/1/11

127,000

132,943

5.75% 1/2/13

3,500,000

3,656,338

Prime Property Funding, Inc.:

5.125% 6/1/15 (a)

3,375,000

2,966,993

5.35% 4/15/12 (a)

1,700,000

1,663,091

5.5% 1/15/14 (a)

2,405,000

2,268,824

TECO Finance, Inc. 7% 5/1/12 (a)

1,740,000

1,875,621

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

3,400,000

3,090,773

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

4,035,000

3,641,329

31,409,799

Insurance - 0.5%

American International Group, Inc. 5.85% 1/16/18

4,750,000

4,661,370

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

420,000

399,446

Lincoln National Corp. 7% 5/17/66 (f)

1,475,000

1,352,543

Marsh & McLennan Companies, Inc. 7.125% 6/15/09

4,259,000

4,335,547

Principal Life Global Funding I 6.25% 2/15/12 (a)

2,310,000

2,488,420

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

6,355,000

5,934,185

19,171,511

Real Estate Investment Trusts - 2.2%

AMB Property LP 5.9% 8/15/13

2,575,000

2,617,493

Arden Realty LP 5.25% 3/1/15

625,000

639,453

Brandywine Operating Partnership LP:

4.5% 11/1/09

1,365,000

1,275,055

5.625% 12/15/10

2,260,000

2,107,879

5.7% 5/1/17

5,000,000

4,056,600

5.75% 4/1/12

1,115,000

1,035,292

Principal Amount

Value

Camden Property Trust 5.375% 12/15/13

$ 2,985,000

$ 2,802,285

Colonial Properties Trust:

4.75% 2/1/10

2,045,000

2,013,738

4.8% 4/1/11

930,000

880,354

5.5% 10/1/15

6,290,000

4,983,844

Developers Diversified Realty Corp.:

3.875% 1/30/09

1,010,000

994,885

4.625% 8/1/10

225,000

215,987

5% 5/3/10

2,435,000

2,391,433

5.25% 4/15/11

2,335,000

2,236,734

5.375% 10/15/12

1,240,000

1,158,007

Duke Realty LP:

4.625% 5/15/13

925,000

816,017

5.4% 8/15/14

2,175,000

1,918,509

5.5% 3/1/16

1,270,000

1,087,544

5.625% 8/15/11

3,500,000

3,367,977

5.95% 2/15/17

695,000

602,705

6.5% 1/15/18

2,445,000

2,177,214

6.95% 3/15/11

1,535,000

1,568,174

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

1,760,000

1,554,416

Federal Realty Investment Trust 5.4% 12/1/13

1,390,000

1,363,348

Hospitality Properties Trust 5.625% 3/15/17

4,210,000

3,376,264

HRPT Properties Trust:

5.75% 11/1/15

670,000

601,036

6.25% 6/15/17

4,455,000

3,841,551

Liberty Property LP:

5.5% 12/15/16

1,715,000

1,515,973

6.625% 10/1/17

1,850,000

1,757,023

Mack-Cali Realty LP:

5.05% 4/15/10

1,735,000

1,706,216

7.25% 3/15/09

1,085,000

1,098,284

Reckson Operating Partnership LP:

5.15% 1/15/11

795,000

786,299

6% 3/31/16

3,099,000

2,579,918

Simon Property Group LP:

4.6% 6/15/10

2,965,000

2,942,202

4.875% 8/15/10

4,120,000

4,112,028

5% 3/1/12

2,060,000

2,005,449

5.1% 6/15/15

2,220,000

2,039,494

5.375% 6/1/11

2,020,000

2,004,947

7.75% 1/20/11

595,000

636,643

UDR, Inc. 5.5% 4/1/14

2,690,000

2,590,349

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

890,000

836,907

Washington (REIT) 5.95% 6/15/11

3,015,000

3,111,583

81,407,109

Real Estate Management & Development - 0.4%

ERP Operating LP:

5.375% 8/1/16

830,000

736,887

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Real Estate Management & Development - continued

ERP Operating LP: - continued

5.5% 10/1/12

$ 2,785,000

$ 2,714,203

5.75% 6/15/17

2,375,000

2,162,777

Post Apartment Homes LP 6.3% 6/1/13

2,655,000

2,626,544

Regency Centers LP:

5.875% 6/15/17

3,005,000

2,752,156

6.75% 1/15/12

2,035,000

2,070,763

13,063,330

Thrifts & Mortgage Finance - 0.3%

Capmark Financial Group, Inc.:

5.875% 5/10/12 (a)

3,610,000

2,287,209

6.3% 5/10/17 (a)

1,400,000

839,422

Independence Community Bank Corp. 3.75% 4/1/14 (f)

3,820,000

3,724,958

Residential Capital LLC 8% 6/1/12 (f)

6,000,000

2,940,000

Washington Mutual, Inc. 4.625% 4/1/14

4,255,000

2,999,775

12,791,364

TOTAL FINANCIALS

345,482,808

HEALTH CARE - 0.2%

Pharmaceuticals - 0.2%

AstraZeneca PLC:

5.9% 9/15/17

1,990,000

2,103,555

6.45% 9/15/37

1,485,000

1,593,381

Teva Pharmaceutical Finance LLC 5.55% 2/1/16

2,940,000

2,960,148

6,657,084

INDUSTRIALS - 2.4%

Aerospace & Defense - 0.2%

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

3,465,000

3,591,164

Bombardier, Inc.:

6.3% 5/1/14 (a)

4,515,000

4,289,250

7.45% 5/1/34 (a)

420,000

392,700

8,273,114

Air Freight & Logistics - 0.3%

United Parcel Service, Inc. 5.5% 1/15/18

9,174,000

9,691,992

Airlines - 1.1%

American Airlines, Inc. pass-thru trust certificates:

6.855% 10/15/10

179,770

179,545

Principal Amount

Value

6.978% 10/1/12

$ 526,026

$ 520,108

7.024% 4/15/11

2,180,000

2,165,067

7.858% 4/1/13

3,480,000

3,480,000

Continental Airlines, Inc. pass-thru trust certificates:

6.648% 3/15/19

1,765,587

1,739,103

6.795% 2/2/20

3,566,363

3,138,400

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

6.821% 8/10/22 (a)

2,976,888

2,966,152

7.57% 11/18/10

5,885,000

5,866,639

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

3,024,000

2,880,360

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

2,358,425

2,287,673

U.S. Airways pass-thru trust certificates:

6.85% 7/30/19

1,530,452

1,453,930

8.36% 7/20/20

5,415,799

5,388,720

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

Class 1A, 6.636% 7/2/22

1,760,797

1,655,150

6.071% 9/1/14

419,333

420,906

6.201% 3/1/10

178,274

176,492

6.602% 9/1/13

539,187

533,795

7.032% 4/1/12

1,247,669

1,235,192

7.186% 10/1/12

3,094,245

3,063,303

39,150,535

Commercial Services & Supplies - 0.1%

R.R. Donnelley & Sons Co. 5.5% 5/15/15

3,395,000

3,099,272

Industrial Conglomerates - 0.7%

Covidien International Finance SA:

5.45% 10/15/12 (a)

2,155,000

2,223,100

6.55% 10/15/37 (a)

1,865,000

1,906,105

General Electric Co. 5.25% 12/6/17

7,130,000

7,120,161

Hutchison Whampoa International (03/13) Ltd. 6.5% 2/13/13 (a)

6,485,000

6,606,250

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

3,600,000

3,717,940

Koninklijke Philips Electronics NV:

5.75% 3/11/18

2,284,000

2,327,179

6.875% 3/11/38

2,915,000

3,109,346

27,010,081

Road & Rail - 0.0%

CSX Corp. 6.25% 4/1/15

2,000,000

2,028,122

TOTAL INDUSTRIALS

89,253,116

Nonconvertible Bonds - continued

Principal Amount

Value

INFORMATION TECHNOLOGY - 0.2%

Electronic Equipment & Instruments - 0.0%

Tyco Electronics Group SA 7.125% 10/1/37 (a)

$ 1,225,000

$ 1,278,121

Semiconductors & Semiconductor Equipment - 0.2%

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

195,000

198,185

National Semiconductor Corp. 6.15% 6/15/12

5,265,000

5,377,434

5,575,619

TOTAL INFORMATION TECHNOLOGY

6,853,740

MATERIALS - 0.2%

Metals & Mining - 0.1%

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

2,270,000

1,918,838

Vale Overseas Ltd. 6.25% 1/23/17

3,115,000

3,102,160

5,020,998

Paper & Forest Products - 0.1%

International Paper Co. 4.25% 1/15/09

1,900,000

1,899,324

TOTAL MATERIALS

6,920,322

TELECOMMUNICATION SERVICES - 1.8%

Diversified Telecommunication Services - 1.5%

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

2,150,000

2,388,287

AT&T, Inc.:

6.3% 1/15/38

364,000

351,961

6.8% 5/15/36

10,939,000

11,240,151

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

620,000

685,180

British Telecommunications PLC 9.125% 12/15/30

2,250,000

2,794,446

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

2,500,000

2,469,345

SBC Communications, Inc.:

6.15% 9/15/34

1,180,000

1,133,427

6.45% 6/15/34

3,620,000

3,537,739

Sprint Capital Corp.:

6.875% 11/15/28

5,855,000

4,361,975

8.75% 3/15/32

1,195,000

1,009,775

Telecom Italia Capital SA:

4.95% 9/30/14

2,000,000

1,820,120

7.2% 7/18/36

3,620,000

3,418,793

Telefonica Emisiones SAU:

6.221% 7/3/17

2,885,000

2,902,988

7.045% 6/20/36

4,335,000

4,532,451

Principal Amount

Value

Verizon Communications, Inc.:

6.25% 4/1/37

$ 1,380,000

$ 1,317,434

6.4% 2/15/38

2,893,000

2,816,544

Verizon Global Funding Corp. 7.75% 12/1/30

5,043,000

5,479,250

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

1,095,000

1,151,615

53,411,481

Wireless Telecommunication Services - 0.3%

America Movil SAB de CV 4.125% 3/1/09

1,755,000

1,758,512

AT&T Wireless Services, Inc.:

7.875% 3/1/11

740,000

804,905

8.125% 5/1/12

1,130,000

1,264,574

Sprint Nextel Corp. 6% 12/1/16

4,705,000

3,658,138

Vodafone Group PLC 5% 12/16/13

3,890,000

3,810,823

11,296,952

TOTAL TELECOMMUNICATION SERVICES

64,708,433

UTILITIES - 3.9%

Electric Utilities - 2.0%

Alabama Power Co. 4.85% 12/15/12

4,095,000

4,225,201

AmerenUE 6.4% 6/15/17

6,509,000

6,840,529

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

4,845,000

4,899,056

Commonwealth Edison Co.:

5.4% 12/15/11

2,394,000

2,440,523

5.8% 3/15/18

4,010,000

3,988,919

6.15% 9/15/17

2,890,000

2,966,912

Duke Energy Carolinas LLC 5.25% 1/15/18

1,890,000

1,926,059

EDP Finance BV 6% 2/2/18 (a)

2,864,000

2,925,556

Enel Finance International SA:

6.25% 9/15/17 (a)

1,455,000

1,509,564

6.8% 9/15/37 (a)

5,224,000

5,268,326

Exelon Corp.:

4.9% 6/15/15

5,075,000

4,834,658

6.75% 5/1/11

2,425,000

2,558,831

FirstEnergy Corp. 6.45% 11/15/11

2,980,000

3,119,339

Illinois Power Co. 6.125% 11/15/17 (a)

1,465,000

1,448,668

Nevada Power Co. 6.5% 5/15/18

3,165,000

3,196,650

Pennsylvania Electric Co. 6.05% 9/1/17

2,905,000

2,888,372

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

6,230,000

5,297,805

Progress Energy, Inc.:

5.625% 1/15/16

2,000,000

2,039,560

7.1% 3/1/11

3,932,000

4,232,491

Nonconvertible Bonds - continued

Principal Amount

Value

UTILITIES - continued

Electric Utilities - continued

Southern California Edison Co. 5.95% 2/1/38

$ 2,520,000

$ 2,525,710

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

3,275,000

3,401,798

72,534,527

Gas Utilities - 0.3%

NiSource Finance Corp.:

5.4% 7/15/14

3,885,000

3,841,045

5.45% 9/15/20

2,135,000

1,894,424

6.4% 3/15/18

3,220,000

3,224,653

7.875% 11/15/10

925,000

1,005,523

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

185,000

203,757

10,169,402

Independent Power Producers & Energy Traders - 0.6%

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

5,735,000

6,099,207

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

6,685,000

6,623,652

PPL Energy Supply LLC:

5.7% 10/15/35

4,175,000

4,031,301

6.2% 5/15/16

2,715,000

2,675,749

6.5% 5/1/18

2,640,000

2,624,435

TXU Corp. 5.55% 11/15/14

980,000

769,300

22,823,644

Multi-Utilities - 1.0%

Dominion Resources, Inc.:

4.75% 12/15/10

3,540,000

3,622,963

6.25% 6/30/12

1,938,000

2,062,243

6.3% 9/30/66 (f)

9,255,000

8,463,966

DTE Energy Co. 7.05% 6/1/11

3,500,000

3,743,156

MidAmerican Energy Holdings, Co.:

5.75% 4/1/18 (a)

1,800,000

1,817,701

5.875% 10/1/12

2,880,000

3,043,348

6.5% 9/15/37

3,280,000

3,287,134

National Grid PLC 6.3% 8/1/16

7,820,000

8,033,032

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

2,740,000

2,444,899

WPS Resources Corp. 6.11% 12/1/66 (f)

2,330,000

2,008,516

38,526,958

TOTAL UTILITIES

144,054,531

TOTAL NONCONVERTIBLE BONDS

(Cost $877,944,706)

854,159,266

U.S. Government and Government Agency Obligations - 21.5%

Principal Amount

Value

U.S. Government Agency Obligations - 2.8%

Fannie Mae:

3.25% 2/15/09

$ 3,286,000

$ 3,313,185

3.625% 2/12/13

4,230,000

4,303,069

4.75% 11/19/12

4,110,000

4,385,904

5% 2/16/12

12,000,000

12,887,520

5.125% 4/15/11

9,565,000

10,202,220

Federal Home Loan Bank 5.375% 8/19/11 (d)

8,940,000

9,682,297

Freddie Mac:

3.5% 5/29/13 (d)

13,595,000

13,685,108

4% 6/12/13

17,620,000

18,114,135

4.125% 12/21/12

9,200,000

9,554,421

4.75% 3/5/09 (d)

5,462,000

5,585,141

5.25% 7/18/11

413,000

444,075

5.75% 1/15/12

6,410,000

7,053,840

Tennessee Valley Authority 5.375% 4/1/56

2,375,000

2,512,539

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

2,020,000

2,042,121

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

103,765,575

U.S. Treasury Inflation Protected Obligations - 6.1%

U.S. Treasury Inflation-Indexed Notes:

2% 1/15/14

160,018,535

173,113,789

2% 7/15/14

5,598,150

6,071,412

2.375% 4/15/11

14,142,687

15,189,645

2.625% 7/15/17

15,274,350

17,381,402

3.5% 1/15/11

12,126,000

13,406,830

TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS

225,163,078

U.S. Treasury Obligations - 12.6%

U.S. Treasury Bonds:

5.375% 2/15/31

3,145,000

3,637,387

6.25% 5/15/30 (d)

18,578,000

23,747,904

U.S. Treasury Notes:

2.125% 1/31/10

7,200,000

7,261,315

2.5% 3/31/13 (b)

16,463,000

16,467,535

2.75% 2/28/13 (b)

140,112,000

142,033,526

3.375% 11/30/12

40,000,000

41,671,880

4.25% 8/15/14

80,000,000

87,437,520

U.S. Government and Government Agency Obligations - continued

Principal Amount

Value

U.S. Treasury Obligations - continued

U.S. Treasury Notes: - continued

4.75% 8/15/17

$ 60,000,000

$ 66,384,360

4.875% 6/30/12

64,700,000

71,296,359

TOTAL U.S. TREASURY OBLIGATIONS

459,937,786

TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $749,628,088)

788,866,439

U.S. Government Agency - Mortgage Securities - 37.2%

Fannie Mae - 32.5%

3.243% 9/1/33 (f)

3,070,914

3,064,056

3.716% 7/1/33 (f)

2,202,096

2,199,976

3.75% 10/1/33 (f)

228,560

227,960

3.783% 6/1/34 (f)

1,229,314

1,225,078

3.797% 10/1/33 (f)

2,608,130

2,591,062

3.841% 10/1/33 (f)

5,528,550

5,542,814

3.863% 6/1/33 (f)

182,987

182,295

3.907% 5/1/33 (f)

61,441

61,290

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

3,286,907

3,208,967

4.006% 5/1/34 (f)

3,159,796

3,153,540

4.074% 10/1/18 (f)

149,310

149,499

4.081% 4/1/34 (f)

3,963,398

3,954,009

4.17% 1/1/35 (f)

509,063

513,761

4.175% 4/1/33 (f)

41,314

41,447

4.25% 2/1/35 (f)

249,755

252,394

4.261% 10/1/33 (f)

96,090

96,099

4.278% 6/1/33 (f)

88,884

89,212

4.302% 3/1/33 (f)

129,123

130,712

4.33% 4/1/35 (f)

85,898

86,280

4.344% 1/1/35 (f)

273,460

276,561

4.357% 5/1/35 (f)

159,941

159,818

4.359% 2/1/34 (f)

470,637

471,171

4.377% 8/1/33 (f)

392,444

391,294

4.391% 2/1/35 (f)

420,468

425,668

4.419% 8/1/34 (f)

686,882

687,965

4.434% 3/1/35 (f)

376,637

381,395

4.434% 3/1/35 (f)

203,079

203,952

4.436% 5/1/35 (f)

205,105

206,774

4.482% 3/1/35 (f)

844,498

856,225

4.498% 1/1/35 (f)

269,840

269,302

4.5% 4/1/18 to 10/1/35

90,580,598

89,226,390

4.5% 4/1/23 (b)

16,000,000

15,913,824

4.5% 2/1/35 (f)

3,418,685

3,423,348

4.506% 3/1/35 (f)

826,671

837,521

4.517% 5/1/35 (f)

622,087

622,894

4.529% 7/1/35 (f)

788,908

787,702

Principal Amount

Value

4.559% 11/1/34 (f)

$ 702,756

$ 710,993

4.564% 2/1/35 (f)

2,550,582

2,586,152

4.57% 10/1/35 (f)

45,539

45,559

4.571% 7/1/35 (f)

817,925

814,738

4.593% 9/1/34 (f)

748,944

758,327

4.598% 2/1/35 (f)

684,097

693,615

4.627% 2/1/35 (f)

8,087,459

8,205,615

4.665% 11/1/34 (f)

847,517

858,518

4.696% 10/1/34 (f)

816,546

826,355

4.71% 5/1/35 (f)

3,354,062

3,355,632

4.713% 7/1/34 (f)

688,520

691,291

4.715% 12/1/34 (f)

520,418

527,177

4.765% 12/1/34 (f)

222,088

225,011

4.808% 11/1/34 (f)

632,724

641,207

4.809% 6/1/35 (f)

963,682

964,424

4.858% 10/1/34 (f)

2,730,733

2,768,853

4.884% 3/1/35 (f)

59,543

60,232

4.888% 7/1/35 (f)

2,914,269

2,911,903

5% 10/1/17 to 2/1/38

148,452,980

148,453,373

5% 4/1/23 (b)

33,000,000

33,314,243

5% 4/1/38 (b)

25,000,000

24,742,285

5.016% 7/1/34 (f)

111,184

112,232

5.018% 3/1/35 (f)

1,405,710

1,414,875

5.057% 9/1/34 (f)

1,812,414

1,837,793

5.06% 5/1/35 (f)

1,256,338

1,256,402

5.078% 8/1/34 (f)

163,481

163,858

5.097% 5/1/35 (f)

3,329,032

3,329,082

5.131% 5/1/35 (f)

838,616

853,878

5.154% 5/1/35 (f)

2,406,053

2,450,323

5.168% 8/1/33 (f)

295,091

298,531

5.197% 5/1/35 (f)

2,802,173

2,856,476

5.218% 6/1/35 (f)

913,368

913,865

5.253% 5/1/36 (f)

1,281,978

1,292,789

5.281% 8/1/36 (f)

3,740,450

3,754,349

5.294% 4/1/36 (f)

3,880,418

3,930,813

5.295% 2/1/36 (f)

3,157,673

3,229,870

5.304% 12/1/35 (f)

1,543,237

1,578,185

5.322% 7/1/35 (f)

107,066

107,207

5.464% 2/1/36 (f)

4,476,446

4,579,041

5.5% 6/1/09 to 11/1/37

289,108,399

293,288,742

5.5% 4/1/34

8,361,231

8,476,851

5.5% 8/1/34

7,722,550

7,836,578

5.5% 4/1/38 (b)(c)

50,000,000

50,468,820

5.562% 9/1/36 (f)

1,574,464

1,593,107

5.597% 1/1/36 (f)

1,362,468

1,395,994

5.616% 7/1/37 (f)

878,321

900,747

5.657% 9/1/35 (f)

1,272,753

1,302,982

5.668% 10/1/35 (f)

1,445,832

1,458,758

5.788% 2/1/36 (f)

735,189

755,137

5.796% 1/1/36 (f)

821,116

843,538

5.827% 2/1/35 (f)

938,176

943,710

U.S. Government Agency - Mortgage Securities - continued

Principal Amount

Value

Fannie Mae - continued

5.949% 2/1/35 (f)

$ 78,914

$ 79,586

5.969% 3/1/33 (f)

135,624

137,908

6% 6/1/14 to 2/1/38 (b)(c)

323,421,075

332,330,712

6% 12/1/32 (c)

25,000,000

26,090,500

6.032% 4/1/36 (f)

646,202

664,960

6.066% 1/1/35 (f)

228,142

231,809

6.099% 2/1/35 (f)

67,060

67,390

6.224% 6/1/36 (f)

319,130

323,874

6.231% 2/1/35 (f)

145,003

147,605

6.307% 4/1/36 (f)

604,210

623,921

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

39,093,183

40,822,721

6.557% 9/1/36 (f)

3,678,255

3,803,546

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

3,316,253

3,538,603

7.5% 8/1/08 to 11/1/31

2,654,394

2,872,237

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

69,080

75,954

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

1,260

1,388

TOTAL FANNIE MAE

1,191,105,005

Freddie Mac - 3.5%

3.378% 7/1/33 (f)

5,861,695

5,828,260

4% 2/1/20

3,368,855

3,281,130

4.297% 12/1/34 (f)

335,528

338,446

4.329% 3/1/35 (f)

566,056

571,441

4.377% 2/1/35 (f)

690,993

697,661

4.405% 6/1/35 (f)

370,542

370,243

4.417% 2/1/34 (f)

272,215

271,102

4.418% 3/1/35 (f)

400,574

404,810

4.418% 3/1/35 (f)

241,772

242,670

4.447% 3/1/35 (f)

363,537

367,434

4.5% 5/1/19

37,971

38,001

4.535% 2/1/35 (f)

648,173

655,733

4.623% 2/1/35 (f)

489,215

496,594

4.767% 10/1/34 (f)

1,066,138

1,078,689

4.818% 9/1/34 (f)

522,036

528,445

5.075% 4/1/35 (f)

1,379,804

1,379,270

5.131% 4/1/35 (f)

1,552,842

1,577,778

5.278% 3/1/36 (f)

580,413

581,881

5.435% 11/1/35 (f)

753,696

768,910

5.529% 1/1/36 (f)

2,031,033

2,073,222

5.604% 3/1/33 (f)

65,482

66,665

5.763% 10/1/35 (f)

553,473

565,802

5.846% 6/1/36 (f)

756,780

775,546

5.862% 1/1/35 (f)

526,231

533,935

6% 4/1/32 to 11/1/37

88,267,849

90,675,811

6.026% 7/1/37 (f)

3,823,568

3,919,642

6.027% 6/1/36 (f)

730,301

749,417

6.093% 4/1/36 (f)

1,143,649

1,174,886

6.1% 6/1/36 (f)

689,342

709,422

6.432% 10/1/36 (f)

3,689,585

3,808,703

Principal Amount

Value

6.615% 7/1/36 (f)

$ 4,895,623

$ 5,062,381

6.71% 8/1/36 (f)

643,245

665,156

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

301,231

324,189

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

40,990

44,931

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

182,498

200,862

TOTAL FREDDIE MAC

130,829,068

Government National Mortgage Association - 1.2%

4.5% 2/20/37 (f)

6,904,366

6,983,972

4.75% 1/20/34 (f)

1,496,580

1,493,566

5.25% 7/20/34 (f)

442,746

449,675

6% 8/15/08 to 11/15/34

12,956,048

13,432,798

6.5% 6/15/08 to 11/15/35

13,161,394

13,899,192

7% 1/15/28 to 11/15/32

5,729,713

6,060,394

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

1,330,697

1,430,062

8% 2/15/17 to 11/15/30

148,864

163,802

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

35,446

39,115

TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION

43,952,576

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $1,343,196,602)

1,365,886,649

Asset-Backed Securities - 2.7%

ACE Securities Corp. Home Equity Loan Trust Series 2005-SD1 Class A1, 2.9988% 11/25/50 (f)

154,580

120,436

Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (a)

200,000

199,804

Airspeed Ltd. Series 2007-1A Class C1, 5.3175% 6/15/32 (a)(f)

2,983,485

2,356,953

AmeriCredit Automobile Receivables Trust Series 2006-1:

Class A3, 5.11% 10/6/10

41,297

41,484

Class B1, 5.2% 3/6/11

305,000

296,851

Class C1, 5.28% 11/6/11

1,850,000

1,726,975

Class E1, 6.62% 5/6/13 (a)

349,323

344,083

ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (a)

216,667

216,722

Argent Securities, Inc. Series 2004-W5 Class M1, 3.1988% 4/25/34 (f)

1,730,000

1,266,266

Capital Auto Receivables Asset Trust:

Series 2006-1:

Class A3, 5.03% 10/15/09

589,359

592,313

Class B, 5.26% 10/15/10

945,000

961,507

Class C, 5.55% 1/18/11

5,965,000

6,078,151

Class D, 7.16% 1/15/13 (a)

645,000

645,593

Asset-Backed Securities - continued

Principal Amount

Value

Capital Auto Receivables Asset Trust: - continued

Series 2006-SN1A:

Class B, 5.5% 4/20/10 (a)

$ 445,000

$ 436,367

Class C, 5.77% 5/20/10 (a)

430,000

426,663

Class D, 6.15% 4/20/11 (a)

725,000

703,590

Series 2007-SN1:

Class B, 5.52% 3/15/11

1,140,000

1,101,703

Class C, 5.73% 3/15/11

660,000

636,075

Class D, 6.05% 1/17/12

1,630,000

1,504,816

Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12

4,465,000

4,307,332

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

4,260,000

3,491,496

Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 4.5988% 8/25/36 (a)(f)

255,000

18,784

Cendant Timeshare Receivables Funding LLC Series 2005-1A Class A1, 4.67% 5/20/17 (a)

593,606

497,246

CIT Equipment Collateral Trust Series 2006-VT1 Class A3, 5.13% 12/21/08

1,544,606

1,553,504

Citibank Credit Card Issuance Trust:

Series 2005-B1 Class B1, 4.4% 9/15/10

5,120,000

5,129,165

Series 2006-B2 Class B2, 5.15% 3/7/11

2,270,000

2,278,372

Series 2007-B6 Class B6, 5.03% 11/8/12

7,680,000

7,657,498

CNH Equipment Trust Series 2006-A Class A3, 5.2% 8/16/10

1,647,858

1,657,328

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

Class B, 4.878% 6/15/35 (a)

2,052,000

1,992,471

Class C, 5.074% 6/15/35 (a)

1,862,000

1,738,643

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

840,000

714,000

Drive Auto Receivables Trust Series 2006-2 Class A3, 5.33% 4/15/14 (a)

4,995,000

4,735,105

DT Auto Owner Trust Series 2007-A Class A3, 5.6% 3/15/13 (a)

5,175,000

4,654,266

Ford Credit Auto Owner Trust:

Series 2006-A Class A3, 5.05% 11/15/09

1,223,527

1,232,287

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

1,025,000

736,873

GSAMP Trust Series 2004-AR1 Class B4, 5% 6/25/34 (a)(f)

270,974

162,584

Principal Amount

Value

Hyundai Auto Receivables Trust:

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

$ 2,010,000

$ 2,054,042

Series 2006-1:

Class A3, 5.13% 6/15/10

378,212

381,158

Class B, 5.29% 11/15/12

272,116

276,195

Class C, 5.34% 11/15/12

349,863

348,186

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

Class B, 4.13% 11/20/37 (a)

3,860,000

3,242,400

Class C, 4.13% 11/20/37 (a)

3,760,000

3,008,000

Long Beach Mortgage Loan Trust Series 2004-2 Class M1, 3.1288% 6/25/34 (f)

525,000

372,181

Merna Reinsurance Ltd. Series 2007-1 Class B, 4.4463% 6/30/12 (a)(f)

3,285,000

2,996,906

National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h)

1,750,000

196,700

Park Place Securities, Inc. Series 2005-WCH1 Class M2, 3.1188% 1/25/35 (f)

1,700,000

1,245,781

Pinnacle Capital Asset Trust Series 2006-A:

Class B, 5.51% 9/25/09 (a)

1,460,000

1,465,140

Class C, 5.77% 5/25/10 (a)

1,355,000

1,353,448

Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (a)

4,570,000

4,347,925

Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 2.6688% 2/25/37 (f)

1,483,721

1,398,349

Specialty Underwriting & Residential Finance Trust Series 2003-BC4 Class M1, 3.1988% 11/25/34 (f)

685,000

477,468

Structured Asset Securities Corp. Series 2007-BC4 Class A3, 2.8488% 11/25/37 (f)

1,990,220

1,810,416

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 3.2675% 3/15/11 (a)(f)

5,380,000

5,297,875

Swift Master Auto Receivables Trust Series 2007-1:

Class B, 3.0375% 6/15/12 (f)

2,235,000

1,818,173

Class C, 3.3175% 6/15/12 (f)

1,335,000

986,699

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

4,000,000

3,826,800

World Omni Auto Receivables Trust Series 2006-A Class A3, 5.01% 10/15/10

1,033,171

1,040,387

TOTAL ASSET-BACKED SECURITIES

(Cost $106,957,254)

100,157,535

Collateralized Mortgage Obligations - 4.9%

Principal Amount

Value

Private Sponsor - 1.8%

Banc of America Commercial Mortgage Trust Series 2007-2:

Class B, 5.6984% 4/10/49

$ 485,000

$ 342,599

Class C, 5.6984% 4/10/49

1,290,000

883,253

Class D, 5.6984% 4/10/49

650,000

419,734

Banc of America Mortgage Securities, Inc.:

Series 2004-J Class 2A1, 4.7599% 11/25/34 (f)

1,625,564

1,593,709

Series 2005-E Class 2A7, 4.6102% 6/25/35 (f)

2,680,000

2,303,192

Chase Mortgage Finance Trust:

Series 2007-A1 Class 1A5, 4.3526% 2/25/37 (f)

317,965

307,091

Series 2007-A2:

Class 2A1, 4.2369% 7/25/37 (f)

523,145

507,450

Class 3A1, 4.5626% 7/25/37 (f)

7,813,065

7,562,266

Citigroup Mortgage Loan Trust Series 2004-UST1 Class A4, 4.4087% 8/25/34 (f)

4,308,610

4,142,298

Credit Suisse First Boston Mortgage Securities Corp. floater Series 2007-AR7 Class 2A1, 4.6236% 11/25/34 (f)

1,702,180

1,671,218

GSR Mortgage Loan Trust Series 2007-AR2 Class 2A1, 4.8377% 4/25/35 (f)

1,643,224

1,610,346

Holmes Master Issuer PLC floater Series 2007-2A Class 2C1, 4.6675% 7/15/40 (f)

1,950,000

1,628,250

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

6,185,000

5,801,887

JPMorgan Mortgage Trust:

Series 2006-A3 Class 6A1, 3.7664% 8/25/34 (f)

2,536,704

2,477,653

Series 2007-A1:

Class 1A1, 4.2012% 7/25/35 (f)

797,956

780,015

Class 3A2, 5.004% 7/25/35 (f)

8,549,266

8,383,412

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

414,188

404,610

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

4,570,000

4,470,290

Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.8675% 10/25/35 (f)

2,934,588

2,776,639

RESI Finance LP/RESI Finance DE Corp. floater Series 2003-CB1:

Class B4, 4.7081% 6/10/35 (a)(f)

1,003,786

828,245

Principal Amount

Value

Class B5, 5.3081% 6/10/35 (a)(f)

$ 685,844

$ 557,543

Class B6, 5.8081% 6/10/35 (a)(f)

404,239

322,110

Residential Asset Mortgage Products, Inc. sequential payer Series 2004-SL2 Class A1, 6.5% 10/25/16

175,984

180,720

Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1675% 10/20/35 (f)

605,000

529,557

Wells Fargo Mortgage Backed Securities Trust:

sequential payer Series 2006-AR13 Class A4, 5.7599% 9/25/36 (f)

2,890,000

2,533,374

Series 2005-AR10 Class 2A2, 4.1105% 6/25/35 (f)

3,948,495

3,771,997

Series 2005-AR12 Class 2A6, 4.3292% 7/25/35 (f)

6,306,219

6,170,777

Series 2005-AR3 Class 2A1, 4.2043% 3/25/35 (f)

813,098

750,117

Series 2005-AR4 Class 2A2, 4.5224% 4/25/35 (f)

3,266,131

3,190,113

TOTAL PRIVATE SPONSOR

66,900,465

U.S. Government Agency - 3.1%

Fannie Mae planned amortization class:

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

3,366,310

3,498,879

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

2,341,400

2,442,310

Fannie Mae Grantor Trust floater Series 2005-90 Class FG, 2.8563% 10/25/35 (f)

2,499,999

2,434,960

Fannie Mae subordinate REMIC pass-thru certificates:

planned amortization class:

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

2,519,728

2,572,471

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

434,032

446,240

Series 2004-81:

Class KC, 4.5% 4/25/17

11,215,000

11,364,232

Class KD, 4.5% 7/25/18

2,625,000

2,655,379

sequential payer:

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

194,758

195,099

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

900,486

908,040

Series 2004-91 Class AH, 4.5% 5/25/29

1,913,695

1,924,076

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed:

planned amortization class:

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

$ 10,275,186

$ 10,602,168

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

8,800,218

8,918,044

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

7,215,000

7,332,768

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

2,864,632

2,902,501

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

7,473,000

7,580,540

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

2,560,000

2,585,716

Series 3018 Class UD, 5.5% 9/15/30

2,825,000

2,904,873

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

1,910,000

1,964,549

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

4,440,000

4,525,918

Series 3117 Class PC, 5% 6/15/31

20,000,000

20,413,008

sequential payer:

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

10,000,000

10,143,958

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

3,195,000

3,236,909

Series 2750 Class ZT, 5% 2/15/34

2,378,406

2,126,445

Ginnie Mae guaranteed REMIC pass-thru securities Series 2007-35 Class SC, 23.295% 6/16/37 (f)

263,480

375,684

TOTAL U.S. GOVERNMENT AGENCY

114,054,767

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $180,995,309)

180,955,232

Commercial Mortgage Securities - 8.7%

Asset Securitization Corp. Series 1997-D5:

Class A2, 7.0642% 2/14/43 (f)

1,435,000

1,504,329

Class A3, 7.1142% 2/14/43 (f)

1,545,000

1,646,873

Banc of America Commercial Mortgage Trust:

sequential payer:

Series 2006-2 Class AAB, 5.7219% 5/10/45 (f)

2,100,000

2,120,335

Series 2006-5:

Class A2, 5.317% 10/10/11

8,745,000

8,585,896

Principal Amount

Value

Class A3, 5.39% 2/10/14

$ 1,985,000

$ 1,882,166

Series 2007-2 Class A1, 5.421% 1/10/12

2,156,735

2,137,403

Series 2007-3 Class A3, 5.6586% 6/10/49 (f)

6,100,000

5,930,027

Banc of America Commercial Mortgage, Inc.:

sequential payer:

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

3,372,516

3,350,988

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

1,545,000

1,511,106

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

4,889,139

4,854,234

Bayview Commercial Asset Trust:

floater:

Series 2004-1 Class A, 2.9588% 4/25/34 (a)(f)

234,286

211,485

Series 2004-2 Class A, 3.0288% 8/25/34 (a)(f)

225,761

203,492

Series 2004-3:

Class A1, 2.9688% 1/25/35 (a)(f)

262,662

235,563

Class A2, 3.0188% 1/25/35 (a)(f)

21,889

19,105

Series 2005-4A Class A2, 2.9888% 1/25/36 (a)(f)

449,652

363,211

Series 2007-2A:

Class B1, 4.1988% 7/25/37 (a)(f)

208,090

122,130

Class B2, 4.8488% 7/25/37 (a)(f)

179,714

102,575

Class B3, 5.9488% 7/25/37 (a)(f)

203,361

115,688

Class M2, 3.0088% 7/25/37 (a)(f)

122,962

88,574

Class M3, 3.0888% 7/25/37 (a)(f)

122,962

85,486

Class M4, 3.2488% 7/25/37 (a)(f)

260,113

172,267

Class M5, 3.3488% 7/25/37 (a)(f)

231,737

148,763

Class M6, 3.5988% 7/25/37 (a)(f)

288,489

178,084

Series 2007-3:

Class B1, 3.5488% 7/25/37 (a)(f)

195,262

124,968

Class B2, 4.1988% 7/25/37 (a)(f)

514,782

314,017

Class B3, 6.5988% 7/25/37 (a)(f)

261,829

138,769

Class M1, 2.9088% 7/25/37 (a)(f)

173,073

115,682

Class M2, 2.9388% 7/25/37 (a)(f)

181,949

117,284

Class M3, 2.9688% 7/25/37 (a)(f)

297,331

208,132

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2007-3:

Class M4, 3.0988% 7/25/37 (a)(f)

$ 470,404

$ 319,875

Class M5, 3.1988% 7/25/37 (a)(f)

235,202

141,451

Class M6, 3.3988% 7/25/37 (a)(f)

177,511

102,140

Series 2007-4A:

Class B1, 5.1488% 9/25/37 (a)(f)

279,981

166,219

Class B2, 6.0488% 9/25/37 (a)(f)

1,061,995

639,587

Class M4, 4.1988% 9/25/37 (a)(f)

695,124

481,944

Class M5, 4.3488% 9/25/37 (a)(f)

695,124

468,180

Class M6, 4.5488% 9/25/37 (a)(f)

695,124

448,647

Series 2004-1 Class IO, 1.25% 4/25/34 (a)(h)

2,393,925

81,393

Bear Stearns Commercial Mortgage Securities Trust:

sequential payer Series 2007-PW16 Class AM, 5.7129% 6/11/40

1,898,000

1,735,126

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

2,010,000

1,898,693

Series 2007-PW15:

Class A1, 5.016% 2/11/44

1,933,843

1,899,744

Class X2, 0.3785% 2/11/44 (a)(f)(h)

140,113,271

2,457,461

Series 2007-PW16:

Class B, 5.713% 6/11/40 (a)

1,405,000

1,029,665

Class C, 5.713% 6/11/40 (a)

1,170,000

779,968

Class D, 5.713% 6/11/40 (a)

1,170,000

711,431

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

1,345,000

1,375,274

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

4,640,076

4,748,241

Citigroup Commercial Mortgage Trust:

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

3,810,000

3,679,134

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

5,966,199

5,915,027

Series 2007-FL3A Class A2, 2.9575% 4/15/22 (a)(f)

2,595,000

2,279,545

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

5,940,000

5,617,992

Principal Amount

Value

COMM pass-thru certificates:

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

$ 2,745,000

$ 2,723,759

Series 2004-LBN2 Class X2, 0.9354% 3/10/39 (a)(f)(h)

6,637,417

128,793

Credit Suisse Commercial Mortgage Trust:

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

3,885,000

3,810,896

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

5,350,000

5,204,239

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

2,750,000

2,716,293

Credit Suisse First Boston Mortgage Securities Corp.:

sequential payer:

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

3,818,078

3,905,137

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

1,582,805

1,631,520

Series 2004-C1:

Class A3, 4.321% 1/15/37

2,235,000

2,185,817

Class A4, 4.75% 1/15/37

3,035,000

2,932,502

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

779,098

781,257

Series 1998-C1:

Class C, 6.78% 5/17/40

5,000,000

5,025,023

Class D, 7.17% 5/17/40

595,000

617,116

Series 2001-CKN5 Class AX, 0.7274% 9/15/34 (a)(f)(h)

26,707,768

1,185,742

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

250,000

220,306

Series 2004-C1 Class ASP, 0.7795% 1/15/37 (a)(f)(h)

23,854,040

564,625

Series 2006-C1 Class A3, 5.5544% 2/15/39 (f)

3,895,000

3,818,066

Credit Suisse Mortgage Capital Certificates:

floater Series 200-TFL1 Class B, 2.9675% 2/15/22 (a)(f)

3,470,000

2,949,500

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

1,359,725

1,349,848

Deutsche Mortgage & Asset Receiving Corp. sequential payer Series 1998-C1 Class D, 7.231% 6/15/31

2,159,541

2,154,792

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

3,390,181

3,526,763

GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 2/10/17

3,720,000

3,637,707

Commercial Mortgage Securities - continued

Principal Amount

Value

Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-22 Class B, 3.963% 5/16/32

$ 2,524,636

$ 2,534,040

Greenwich Capital Commercial Funding Corp.:

floater Series 2006-FL4 Class B, 3.2763% 11/5/21 (a)(f)

3,490,000

3,071,200

sequential payer:

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

1,615,000

1,603,226

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

13,805,000

13,403,320

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

1,721,813

1,704,537

Series 2006-GG7 Class A3, 6.1101% 7/10/38

3,460,000

3,443,087

GS Mortgage Securities Corp. II:

floater:

Series 2006-FL8A:

Class C, 3.32% 6/6/20 (a)(f)

405,000

364,500

Class D, 3.36% 6/6/20 (a)(f)

1,115,000

947,750

Class E, 3.45% 6/6/20 (a)(f)

2,220,000

1,864,800

Series 2007-EOP:

Class C, 3.4% 3/1/20 (a)(f)

1,335,000

1,234,875

Class D, 3.45% 3/1/20 (a)(f)

400,000

344,000

Class E, 3.52% 3/1/20 (a)(f)

670,000

616,400

Class F, 3.56% 3/1/20 (a)(f)

335,000

288,100

Class G, 3.6% 3/1/20 (a)(f)

165,000

140,250

Class H, 3.73% 3/1/20 (a)(f)

275,000

233,750

Class J, 3.93% 3/1/20 (a)(f)

395,000

331,800

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

2,725,000

2,688,884

Series 1998-GLII Class E, 6.9284% 4/13/31 (f)

1,615,000

1,614,033

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

2,990,000

2,974,091

GS Mortgage Securities Trust:

sequential payer Series 2007-GG10:

Class A2, 5.778% 8/10/45

5,055,000

4,959,937

Class A4, 5.7992% 8/10/45 (f)

3,965,000

3,928,930

Series 2007-GG10 Class A1, 5.69% 8/10/45

1,964,401

1,943,564

JPMorgan Chase Commercial Mortgage Securities Trust:

sequential payer:

Series 2006-CB14 Class A3B, 5.4861% 12/12/44 (f)

4,625,000

4,436,191

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

5,840,000

5,781,943

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

1,898,000

1,859,545

Principal Amount

Value

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

$ 5,065,000

$ 4,765,779

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

3,796,000

3,645,377

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

4,115,000

3,974,281

Series 2007-CB19:

Class B, 5.7442% 2/12/49

755,000

454,888

Class C, 5.7462% 2/12/49

1,971,000

1,202,921

Class D, 5.7462% 2/12/49

2,075,000

1,325,406

Series 2007-LDP10:

Class A1, 5.122% 5/15/49

1,263,745

1,249,679

Class BS, 5.437% 1/15/49 (f)

1,725,000

1,325,848

Class CS, 5.466% 1/15/49 (f)

745,000

561,052

Class ES, 5.5457% 1/15/49 (a)(f)

4,663,000

3,104,237

LB Commercial Conduit Mortgage Trust Series 2007-C3:

Class F, 5.936% 7/15/44 (f)

1,815,000

1,127,329

Class G, 5.936% 7/15/44 (a)(f)

3,200,000

1,870,788

LB-UBS Commercial Mortgage Trust:

sequential payer:

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

2,133,482

2,220,900

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

1,461,939

1,477,814

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

1,746,000

1,724,210

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

1,495,000

1,473,760

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

3,340,000

3,284,272

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

763,672

759,897

Series 2007-C1:

Class A1, 5.391% 2/15/40 (f)

1,105,248

1,100,570

Class A3, 5.398% 2/15/40

5,000,000

4,760,028

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

1,810,000

1,860,635

Series 2007-C2 Class AM, 5.493% 2/15/40 (f)

1,898,000

1,701,503

Merrill Lynch Mortgage Trust:

sequential payer:

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

204,289

200,760

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

2,120,000

2,086,617

Series 2007-C1 Class A4, 5.8292% 6/12/50 (f)

3,796,000

3,799,533

Commercial Mortgage Securities - continued

Principal Amount

Value

Merrill Lynch-CFC Commercial Mortgage Trust:

sequential payer:

Series 2007-5:

Class A1, 4.275% 12/12/11

$ 992,814

$ 968,466

Class A3, 5.364% 8/12/48

4,298,000

3,919,346

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

5,500,000

5,370,712

Series 2007-7 Class B, 5.75% 6/25/50

770,000

529,212

Morgan Stanley Capital I Trust:

sequential payer:

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

2,088,287

2,051,832

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

3,944,402

3,912,535

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

1,166,007

1,169,034

Series 2007-HQ11 Class A31, 5.439% 2/20/44 (f)

4,745,000

4,629,061

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

1,783,552

1,748,465

Series 2007-IQ14:

Class A1, 5.38% 4/15/49

3,741,393

3,693,961

Class AM, 5.6914% 4/15/49 (f)

1,898,000

1,732,081

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

10,320,000

10,181,701

Series 2005-IQ9 Class X2, 1.0456% 7/15/56 (a)(f)(h)

24,196,914

748,183

Series 2007-HQ12 Class A2, 5.6327% 4/12/49 (f)

4,920,000

4,851,750

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

2,175,000

1,537,011

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

2,479,841

2,580,195

Wachovia Bank Commercial Mortgage Trust:

sequential payer:

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

3,595,000

3,565,443

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

1,247,645

1,226,592

Series 2007-C30:

Class A3, 5.246% 12/15/43

5,940,000

5,772,725

Class A4, 5.305% 12/15/43

3,240,000

2,957,051

Class A5, 5.342% 12/15/43

3,796,000

3,659,298

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

1,172,051

1,159,718

Principal Amount

Value

Series 2007-C32 Class A2, 5.7358% 6/15/49 (f)

$ 1,255,000

$ 1,240,084

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

3,010,000

2,959,410

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

6,257,000

3,805,820

Series 2007-C31:

Class AM, 5.591% 4/15/47

1,898,000

1,710,419

Class C, 5.6918% 4/15/47 (f)

2,455,000

1,672,121

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $335,693,242)

317,358,133

Foreign Government and Government Agency Obligations - 0.1%

Israeli State 4.625% 6/15/13

525,000

546,630

United Mexican States 5.875% 1/15/14

1,665,000

1,781,550

TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS

(Cost $2,164,120)

2,328,180

Supranational Obligations - 0.0%

Corporacion Andina de Fomento:

5.2% 5/21/13

630,000

626,936

6.875% 3/15/12

425,000

457,039

TOTAL SUPRANATIONAL OBLIGATIONS

(Cost $1,047,687)

1,083,975

Fixed-Income Funds - 7.4%

Shares

Fidelity Ultra-Short Central Fund (g)
(Cost $326,433,929)

3,282,116

270,085,326

Preferred Securities - 0.1%

Principal Amount

FINANCIALS - 0.1%

Diversified Financial Services - 0.1%

MUFG Capital Finance 1 Ltd. 6.346% (f)

(Cost $3,520,000)

$ 3,520,000

2,908,947

Cash Equivalents - 2.4%

Maturity Amount

Value

Investments in repurchase agreements in a joint trading account at:

1.44%, dated 3/31/08 due 4/1/08 (Collateralized by U.S. Treasury Obligations) #

$ 16,654,667

$ 16,654,000

2.75%, dated 3/31/08 due 4/1/08 (Collateralized by U.S. Government Obligations) #

69,681,322

69,676,000

TOTAL CASH EQUIVALENTS

(Cost $86,330,000)

86,330,000

TOTAL INVESTMENT PORTFOLIO - 108.3%

(Cost $4,013,910,937)

3,970,119,682

NET OTHER ASSETS - (8.3)%

(303,122,914)

NET ASSETS - 100%

$ 3,666,996,768

Swap Agreements

Expiration Date

Notional Amount

Credit Default Swaps

Pay monthly a fixed rate of .15% multiplied by the notional amount and receive from Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

August 2037

$ 4,400,000

3,432,000

Receive monthly notional amount multiplied by 3.86% and pay Morgan Stanley, Inc. upon credit event of Merrill Lynch Mortgage Investors Trust, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors Trust, Inc. Series 2006 HE5, Class B3, 7.32% 8/25/37

Sept. 2037

1,600,000

(1,394,771)

Expiration Date

Notional Amount

Value

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-HE8 Class B3, 7.3913% 9/25/34

Oct. 2034

$ 465,000

$ (108,941)

Receive monthly notional amount multiplied by 3.3% and pay to Morgan Stanley, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.8763% 11/25/34

Dec. 2034

341,902

(157,106)

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, 6.635% 8/25/34

Sept. 2034

135,917

(61,780)

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-NC7 Class B3, 7.6913% 7/25/34

August 2034

199,947

(58,030)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 2.7% and pay Lehman Brothers, 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 2006 WMC1, Class B3, 7.5% 11/24/34

Jan. 2036

$ 1,600,000

$ (1,495,680)

Receive from Citibank upon credit event of Bristol-Myers Squibb Co., par value of the notional amount of Bristol-Myers Squibb Co. 5.25% 8/15/13, and pay quarterly notional amount multiplied by .32%

Sept. 2017

1,000,000

21,584

Receive from Credit Suisse First Boston upon credit event of Merrill Lynch & Co., Inc., par value of the notional amount of Merrill Lynch & Co., Inc. 5% 1/15/15, and pay quarterly notional amount multiplied by 1.5%

March 2013

3,500,000

171,159

Receive from Deutsche Bank upon credit event of Hartford Financial Services Group, Inc., par value of the notional amount of Hartford Financial Services Group, Inc. 4.75% 3/1/14, and pay quarterly notional amount multiplied by 1.67%

March 2013

800,000

(8,493)

Receive from Deutsche Bank upon credit event of Household Finance Corp., par value of the notional amount of Household Finance Corp. 7% 5/15/12, and pay quarterly notional amount multiplied by .73%

Sept. 2012

3,400,000

225,970

Expiration Date

Notional Amount

Value

Receive from Goldman Sachs upon credit event of CSX Corp., par value of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

$ 1,554,000

$ (4,819)

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.18%

March 2013

1,554,000

(4,819)

Receive from Goldman Sachs upon credit event of CSX Corp., par value of the notional amount of CSX Corp. 5.30% 2/15/14, and pay quarterly notional amount multiplied by 1.19%

March 2018

1,371,000

5,577

Receive from Goldman Sachs upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount multiplied by 1.07%

March 2013

1,700,000

(7,657)

Receive from Lehman Brothers, Inc. upon credit event of Hartford Financial Services Group, Inc., par value of the notional amount of Hartford Financial Services Group, Inc. 4.75% 3/1/14, and pay quarterly notional amount multiplied by 1.67%

March 2013

800,000

(8,493)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive from Lehman Brothers, Inc. upon credit event of Lowe's Companies, Inc., par value of the notional amount of Lowe's Companies, Inc. 8.25% 6/1/10, and pay quarterly notional amount miltiplied by 1.03%

March 2013

$ 1,700,000

$ (4,544)

Receive from Merrill Lynch, Inc. upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15, and pay quarterly notional amount multiplied by 2.12%

Sept. 2013

1,360,000

1,332

Receive from Merrill Lynch, Inc., upon credit event of R.R. Donnelley & Sons Co., par value of the notional amount of R.R. Donnelley & Sons Co. 5.5% 5/15/15 and pay quarterly notional amount multiplied by 1.68%

Sept. 2013

2,035,000

44,519

Receive from Morgan Stanley, Inc. upon credit event of H.J. Heinz Co., par value of the notional amount of H.J. Heinz Co. 6% 3/15/08, and pay quarterly notional amount multiplied by .65%

March 2013

1,900,000

(1,443)

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

Oct. 2034

610,794

(313,469)

Expiration Date

Notional Amount

Value

Receive monthly notional amount multiplied by 3.05% 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 2006-HE3 Class B3, 7.22% 4/25/36

May 2036

$ 1,300,000

$ (1,144,483)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

Sept. 2037

3,100,000

(2,480,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

August 2037

3,000,000

(2,400,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Credit Suisse First Boston upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

Sept. 2037

2,600,000

(2,080,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

Sept. 2037

1,500,000

(1,200,000)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional amount (e)

Sept. 2037

$ 2,300,000

$ (1,840,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to Lehman Brothers, Inc. upon credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

Sept. 2037

1,800,000

(1,440,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

August 2037

4,400,000

(3,520,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

August 2037

1,600,000

(1,280,000)

Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of Dow Jones ABX AA 07-1 Index, par value of the proportional notional amount (e)

Sept. 2037

4,600,000

(3,680,000)

Expiration Date

Notional Amount

Value

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

August 2034

$ 212,154

$ (26,008)

Receive monthly notional amount multiplied by .85% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34

Nov. 2034

465,000

(179,092)

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

Oct. 2034

465,000

(69,145)

Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon credit event of Securitized Asset Backed Receivables LLC Trust, par value of the notional amount of Securitized Asset Backed Receivables LLC Trust Series 2006-OP1 Class B2, 6.72% 10/25/35

Nov. 2035

1,900,000

(1,666,680)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by 1.6% 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 M7, 5.4413% 5/25/35

June 2035

$ 640,000

$ (345,775)

Receive monthly notional amount multiplied by 1.66% 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 M7, 5.4413% 5/25/35

June 2035

465,000

(250,946)

Receive monthly notional amount multiplied by 2.36% and pay Morgan Stanley, Inc. upon credit event of GE-WMC Mortgage Securities, LLC, par value of the notional amount of GE-WMC Mortgage Securities, LLC Series 2006-01 Class B3, 7.13% 8/25/36

Sept. 2036

3,700,000

(3,380,471)

Receive monthly notional amount multiplied by 2.39% and pay UBS upon credit event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34

March 2034

515,602

(162,902)

Expiration Date

Notional Amount

Value

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

Feb. 2034

$ 210,015

$ (177,234)

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

Dec. 2034

794,094

(371,412)

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

Oct. 2034

610,794

(313,798)

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

Dec. 2034

474,251

(221,816)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

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

April 2032

$ 40,946

$ (34,965)

Receive monthly notional amount multiplied by 2.7% 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, 6.41% 5/25/35

June 2035

770,000

(489,653)

Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon credit event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35

March 2035

538,711

(370,459)

Receive monthly notional amount multiplied by 3% and pay JPMorgan Chase, Inc. upon credit event of GSAMP Trust, par value of the notional amount of GSAMP Trust Series 2006-NC2 Class M9, 7.3744% 6/25/36

July 2036

1,900,000

(1,676,199)

Expiration Date

Notional Amount

Value

Receive monthly notional amount multiplied by 3.66% and pay Deutsche Bank 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

June 2035

$ 1,900,000

$ (1,198,482)

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

June 2035

600,000

(377,923)

Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon credit event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33

May 2033

465,000

(164,980)

Receive monthly notional amount multiplied by 5.12% and pay Bank of America upon credit event of Structured Asset Securities Corp., par value of the notional amount of Structured Asset Securities Corp. Series 2005-AR1 Class M8, 7.32% 9/25/35

Oct. 2036

2,000,000

(1,373,965)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

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

Sept. 2010

$ 1,900,000

$ (15,705)

Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon credit event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27

March 2009

1,400,000

(1,431)

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

May 2011

4,290,000

(38,780)

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

May 2011

2,260,000

(19,318)

TOTAL CREDIT DEFAULT SWAPS

$ 86,744,127

$ (33,719,526)

Interest Rate Swaps

Receive quarterly a fixed rate equal to 4% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2009

42,000,000

849,794

Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

March 2010

11,825,000

445,706

Expiration Date

Notional Amount

Value

Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

March 2015

$ 11,825,000

$ 800,091

Receive semi-annually a fixed rate equal to 4.378% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Sept. 2008

25,400,000

235,273

Receive semi-annually a fixed rate equal to 4.492% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Sept. 2010

1,500,000

69,261

Receive semi-annually a fixed rate equal to 4.93% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc.

Nov. 2010

1,000,000

72,268

Receive semi-annually a fixed rate equal to 5.095% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America

Feb. 2012

50,000,000

3,886,775

Receive semi-annually a fixed rate equal to 5.145% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston

Feb. 2012

30,000,000

2,397,126

Receive semi-annually a fixed rate equal to 5.186% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

Sept. 2011

20,000,000

1,519,658

Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

April 2011

52,500,000

4,547,975

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Interest Rate Swaps - continued

Receive semi-annually a fixed rate equal to 5.312% and pay quarterly a floating rate based on the 3-month LIBOR with Lehman Brothers, Inc.

April 2011

$ 105,000,000

$ 9,288,374

Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

April 2011

15,000,000

1,336,401

Receive semi-annually a fixed rate equal to 5.354% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank

April 2011

32,000,000

2,964,173

Receive semi-annually a fixed rate equal to 5.45% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc.

July 2012

25,000,000

2,417,308

TOTAL INTEREST RATE SWAPS

$ 423,050,000

$ 30,830,183

$ 509,794,127

$ (2,889,343)

Legend

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $224,973,600 or 6.1% of net assets.

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

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

(d) 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 $16,219,089.

(e) Represents a tradable index of credit default swaps on home equity asset-backed debt securities.

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

(g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's web site or upon request

(h) 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.

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

Repurchase Agreement / Counterparty

Value

$16,654,000 due 4/01/08 at 1.44%

Banc of America Securities LLC

$ 3,000,398

Barclays Capital, Inc.

5,499,367

Lehman Brothers, Inc.

8,154,235

$ 16,654,000

$69,676,000 due 4/01/08 at 2.75%

BNP Paribas Securities Corp.

$ 6,575,159

Banc of America Securities LLC

8,603,471

Barclays Capital, Inc.

50,440,861

Deutsche Bank Securities, Inc.

4,056,509

$ 69,676,000

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund

Income earned

Fidelity Ultra-Short Central Fund

$ 3,417,322

Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:

Fund

Value,
beginning of
period

Purchases

Sales
Proceeds

Value,
end of
period

% ownership,
end of
period

Fidelity Ultra-Short Central Fund

$ 435,371,129

$ -

$ 140,227,903

$ 270,085,326

4.0%

Other Information

The following is a summary of the inputs used, as of March 31, 2008, involving the Fund's assets 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

$ 3,970,119,682

$ 270,085,326

$ 3,690,350,156

$ 9,684,200

Other Financial Instruments*

$ (2,889,343)

$ -

$ 7,500,287

$ (10,389,630)

*Other financial instruments include swaps.

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

Investments in Securities

Other Financial Instruments

Beginning Balance

$ 2,137,852

$ (10,030,825)

Total Realized Gain (Loss)

2,125

-*

Total Unrealized Gain (Loss)

(857,027)

(186,004)

Cost of Purchases

6,020,700

-

Proceeds of Sales

(61,290)

-

Amortization/Accretion

709

-

Transfer in/out of Level 3

2,441,131

(172,801)

Ending Balance

$ 9,684,200

$ (10,389,630)

*The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $0.

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial 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 either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

Income Tax Information

At March 31, 2008, the aggregate cost of investment securities for income tax purposes was $4,012,926,698. Net unrealized depreciation aggregated $42,807,016, of which $79,943,674 related to appreciated investment securities and $122,750,690 related to depreciated investment securities.

Investment Valuation

Investments are valued as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time. Security transactions are accounted for as of trade date. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as available dealer supplied prices. Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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 the determination of fair value may include current market trading activity, interest rates, credit quality and default rates. The frequency with which these procedures are used cannot be predicted and may be utilized to a significant extent. The value of securities used for net asset value calculation under these procedures may differ from published prices for the same securities.

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1 - Quoted prices in active markets for identical securities.

Level 2 - Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants would use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.

Level 3 - Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within 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.

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/Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

May 30, 2008

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/ Kimberley Monasterio

Kimberley Monasterio

President and Treasurer

Date:

May 30, 2008

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

May 30, 2008