N-Q 1 main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4861

Fidelity Garrison Street Trust
 (Exact name of registrant as specified in charter)

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

July 31

 

 

Date of reporting period:

April 30, 2010

Item 1. Schedule of Investments

Consolidated Quarterly Holdings Report

for

Fidelity® Commodity Strategy
Central Fund

April 30, 2010 

1.901066.100

CRC-QTLY-0610

Consolidated Investments April 30, 2010 (Unaudited)

Showing Percentage of Net Assets

Commodity-Linked Notes - 2.6%

 

Principal Amount

Value

Credit Suisse New York Branch Medium Term Note, one-month U.S. dollar LIBOR minus .20% due 12/8/2010 (indexed to the Dow Jones-UBS Commodity Index Total Return, multiplied by 3) (b)(e)(f)
(Cost $5,000,000)

$ 5,000,000

$ 4,959,266

U.S. Treasury Obligations - 10.2%

 

U.S. Treasury Bills, yield at date of purchase 0.11% to 0.16% 6/24/10 to 8/26/10 (c)(d)
(Cost $19,794,454)

19,800,000

19,793,417

Money Market Funds - 86.8%

Shares

 

Fidelity Cash Central Fund, 0.21% (a)
(Cost $168,020,836)

168,020,836

168,020,836

Cash Equivalents - 0.0%

Maturity Amount

 

Investments in repurchase agreements in a joint trading account at 0.19%, dated 4/30/10 due 5/3/10 (Collateralized by U.S. Treasury Obligations) #
(Cost $32,000)

$ 32,000

32,000

TOTAL INVESTMENT PORTFOLIO - 99.6%

(Cost $192,847,290)

192,805,519

NET OTHER ASSETS - 0.4%

803,093

NET ASSETS - 100%

$ 193,608,612

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Commodity Futures Contracts

14 CBOT Corn Contracts

July 2010

$ 262,675

$ 10,015

6 CBOT Soybean Contracts

July 2010

299,700

11,022

5 CBOT Soybean Oil Contracts

July 2010

116,790

(3,770)

7 CBOT Wheat Contracts

July 2010

176,050

7,065

3 CME Lean Hogs Contracts

June 2010

103,590

7,022

4 CME Live Cattle Contracts

June 2010

150,760

3,486

4 COMEX Copper Contracts

July 2010

335,350

(23,743)

3 COMEX Gold Contracts

June 2010

354,210

21,535

2 COMEX Silver Contracts

July 2010

186,390

4,907

2 ICE Coffee Contracts

June 2010

101,475

667

4 LME Aluminum Contracts

July 2010

225,225

(16,952)

1 LME Nickel Contracts

July 2010

157,806

(608)

2 LME Zinc Contracts

July 2010

114,150

(8,073)

2 NYBOT Cotton No. 2 Contracts

June 2010

84,130

3,767

4 NYBOT Sugar Contracts

July 2010

67,872

(8,372)

1 NYMEX Heating Oil Contracts

July 2010

98,251

2,386

8 NYMEX Natural Gas Contracts

June 2010

324,000

(17,974)

2 NYMEX RBOB Gasoline Contracts

July 2010

201,718

5,855

7 NYMEX WTI Crude Oil Contracts

June 2010

618,520

9,870

TOTAL COMMODITY FUTURES CONTRACTS

$ 3,978,662

$ 8,105

 

The face value of futures purchased as a percentage of net assets - 2.1%

Swap Agreements

 

Expiration Date

Notional Amount

Value

Total Return Swaps

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Barclays Bank

May 2010

$ 10,500,000

$ (753,789)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Barclays Bank

July 2010

200,000

2,565

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Total Return Swaps - continued

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Barclays Bank

July 2010

$ 15,600,000

$ 233,470

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Barclays Bank

August 2010

1,400,000

8,489

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Goldman Sachs

May 2010

150,000

(1,177)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Goldman Sachs

May 2010

350,000

3,160

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with JPMorgan Chase, Inc.

June 2010

200,000

(1,752)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Morgan Stanley Capital Group, Inc.

May 2010

7,500,000

(389,636)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Morgan Stanley Capital Group, Inc.

June 2010

17,800,000

505,828

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Morgan Stanley Capital Group, Inc.

June 2010

300,000

5,480

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Morgan Stanley Capital Group, Inc.

July 2010

16,000,000

88,922

Swap Agreements - continued

 

Expiration Date

Notional Amount

Value

Total Return Swaps - continued

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Morgan Stanley Capital Group, Inc.

August 2010

$ 400,000

$ (887)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Societe Generale

June 2010

15,600,000

124,372

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Societe Generale

July 2010

15,000,000

(46,384)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with Societe Generale

July 2010

15,300,000

154,383

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with UBS AG

June 2010

21,200,000

(18,422)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with UBS AG

June 2010

16,000,000

(10,004)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with UBS AG

June 2010

400,000

(7,775)

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with UBS AG

July 2010

19,960,000

569,244

Receive a return equal to Dow Jones-UBS Commodity Index Total Return and pay a floating rate based on 3-month US auction rate T-Bill plus a specified spread with UBS AG

July 2010

300,000

1,652

 

$ 174,160,000

$ 467,739

Legend

(a) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request.

(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 $4,959,266 or 2.6% of net assets.

(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $351,900.

(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 $18,763,721.

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

(f) Security is linked to the Dow Jones-UBS Commodity Index Total Return. Securities do not guarantee any return of principal at maturity but instead, will pay at maturity or upon exchange, an amount based on the closing value of the Dow Jones-UBS Commodity Total Index Return. Although these instruments are primarily debt obligations, they indirectly provide exposure to changes in the value of the underlying commodities. Holders of the security have the right to exchange these notes at any time.

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

Repurchase Agreement / Counterparty

Value

$32,000 due 5/03/10 at 0.19%

BNP Paribas Securities Corp.

$ 5,746

Bank of America, NA

6,691

Barclays Capital, Inc.

3,568

Credit Agricole Securities (USA) Inc.

2,230

Credit Suisse Securities (USA) LLC

340

Deutsche Bank Securities, Inc.

4,460

Mizuho Securities USA, Inc.

2,230

RBC Capital Markets Corp.

3,345

RBC Securities, Inc.

937

Societe Generale, New York Branch

2,230

Wachovia Capital Markets LLC

223

 

$ 32,000

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 Cash Central Fund

$ 151,826

Other Affiliated Issuers

An affiliated company is a company in which the fund has ownership of at least 5% of the voting securities. Fiscal year to date transactions with companies which are or were affiliates are as follows:

Consolidated
Subsidiary

Value,
beginning of period

Purchases

Sales
Proceeds

Dividend
Income

Value,
end of
period

Fidelity Commodity Return Central Cayman Ltd.

$ -

$ 29,999,969

$ 2,500,004

$ -

$ 29,184,022

Other Information

The following is a summary of the inputs used, as of April 30, 2010, involving the Fund's assets and liabilities carried at value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table 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:

U.S. Government and Government Agency Obligations

$ 19,793,417

$ -

$ 19,793,417

$ -

Commodity-Linked Notes

4,959,266

-

4,959,266

-

Money Market Funds

168,020,836

168,020,836

-

-

Cash Equivalents

32,000

-

32,000

-

Total Investments in Securities:

$ 192,805,519

$ 168,020,836

$ 24,784,683

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 87,597

$ 87,597

$ -

$ -

Swap Agreements

1,697,565

-

1,697,565

-

Total Assets

$ 1,785,162

$ 87,597

$ 1,697,565

$ -

Liabilities

Futures Contracts

$ (79,492)

$ (79,492)

$ -

$ -

Swap Agreements

(1,229,826)

-

(1,229,826)

-

Total Liabilities

$ (1,309,318)

$ (79,492)

$ (1,229,826)

$ -

Total Derivative Instruments:

$ 475,844

$ 8,105

$ 467,739

$ -

Income Tax Information

At April 30, 2010, the cost of investment securities for income tax purposes was $192,847,290. Net unrealized depreciation aggregated $41,771, of which $1,992,216 related to appreciated investment securities and $2,033,987 related to depreciated investment securities.

Investment in Subsidiary

The Fund may invest in commodity-linked derivative instruments through its investment in Fidelity Commodity Return Central Cayman Ltd., a wholly-owned subsidiary (the "Subsidiary"). The Subsidiary has the ability to invest in commodity-linked derivative instruments, consistent with the investment objective of the Fund. As of April 30, 2010, the Fund held $29,184,022 in the Subsidiary, representing 15.1% of the Fund's net assets. The Quarterly Holdings report has been consolidated and includes the accounts of the Fund and the Subsidiary.

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 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 commodity-linked notes, pricing services generally consider the movement of an underlying commodity index as well as other terms of the contract including the leverage factor and any fee and/or interest components of the note and are categorized as Level 2 in the hierarchy. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value and are categorized as Level 2 in the hierarchy.

Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to movements in the underlying index, 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.

Futures contracts are valued at the settlement price or official closing price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

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

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 see the fund's most recent prospectus and annual report.

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

Quarterly Report

Item 2. Controls and Procedures

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

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

Item 3. Exhibits

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Garrison Street Trust

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

June 29, 2010

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/John R. Hebble

 

John R. Hebble

 

President and Treasurer

 

 

Date:

June 29, 2010

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

June 29, 2010