N-CSRS 1 main.htm

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

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:

September 30

Date of reporting period:

March 31, 2007

Item 1. Reports to Stockholders

Fidelity® Money Market
Central Fund

Semiannual Report

March 31, 2007

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

CFM-SANN-0507 461521.1.0
1.756671.106

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2006 to March 31, 2007).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Beginning
Account Value
October 1, 2006

Ending
Account Value
March 31, 2007

Expenses Paid
During Period*
October 1, 2006
to March 31, 2007

Actual

$ 1,000.00

$ 1,027.10

$ .05

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,024.88

$ .05

* Expenses are equal to the Fund's annualized expense ratio of .0100%; multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report

Investment Changes

Maturity Diversification

Days

% of fund's investments 3/31/07

% of fund's investments 9/30/06

% of fund's investments 3/31/06

0 - 30

60.8

61.6

66.2

31 - 90

22.3

22.0

22.0

91 - 180

5.4

9.9

5.4

181 - 397

11.5

6.5

6.4

Weighted Average Maturity

3/31/07

9/30/06

3/31/06

Fidelity Money Market Central Fund

60 Days

50 Days

44 Days

All Taxable Money Market Funds Average*

40 Days

41 Days

38 Days

Asset Allocation (% of fund's net assets)

As of March 31, 2007

As of September 30, 2006

Corporate Bonds 0.0%

Corporate Bonds 1.5%

Commercial Paper 11.8%

Commercial Paper 14.0%

Bank CDs, BAs,
TDs, and Notes 73.0%

Bank CDs, BAs,
TDs, and Notes 62.9%

Government
Securities 0.0%

Government
Securities 2.1%

Repurchase
Agreements 14.4%

Repurchase
Agreements 19.2%

Other Investments 1.8%

Other Investments 0.7%

Net Other Assets** (1.0)%

Net Other Assets** (0.4)%

** Net Other Assets are not included in the pie chart.

* Source: iMoneyNet, Inc.

Semiannual Report

Investments March 31, 2007 (Unaudited)

Showing Percentage of Net Assets

Certificates of Deposit - 28.3%

Due Date

Yield (a)

Principal Amount

Value

Domestic Certificates Of Deposit - 0.1%

Countrywide Bank, Alexandria Virginia

4/16/07

5.35% (d)

$ 800,000

$ 799,970

London Branch, Eurodollar, Foreign Banks - 5.6%

Credit Agricole SA

4/18/07

5.36

5,000,000

5,000,000

Credit Industriel et Commercial

4/10/07 to 7/30/07

5.25 to 5.37

18,000,000

18,000,000

Landesbank Hessen-Thuringen

7/23/07

5.36

5,000,000

5,000,000

Societe Generale

4/17/07 to 1/3/08

5.30 to 5.35

10,000,000

10,000,000

38,000,000

New York Branch, Yankee Dollar, Foreign Banks - 22.6%

Bank Tokyo-Mitsubishi UFJ Ltd.

8/8/07

5.36

4,000,000

4,000,000

Barclays Bank PLC

4/16/08

5.35

6,000,000

6,000,000

BNP Paribas SA

4/17/07 to 10/2/07

5.30 to 5.45

14,000,000

14,000,000

Canadian Imperial Bank of Commerce

4/16/07

5.41 (d)

9,000,000

9,000,000

Credit Suisse First Boston

4/23/07 to 6/15/07

5.32 to 5.34 (d)

23,000,000

23,000,000

Credit Suisse Group

6/4/07

5.40 to 5.43

10,000,000

10,000,000

Deutsche Bank AG

6/4/07 to 11/21/07

5.40 to 5.41 (d)

14,000,000

14,000,000

Fortis Banque SA

6/26/07

5.33

4,000,000

4,000,000

HBOS Treasury Services PLC

4/17/07 to 5/23/07

5.35 to 5.36

8,000,000

8,000,000

Landesbank Baden-Wuert

4/13/07

5.35

3,000,000

3,000,005

Certificates of Deposit - continued

Due Date

Yield (a)

Principal Amount

Value

New York Branch, Yankee Dollar, Foreign Banks - continued

Mizuho Corporate Bank Ltd.

4/16/07 to 5/14/07

5.32 to 5.34%

$ 3,000,000

$ 3,000,000

Natexis Banques Populaires NY CD

12/12/07 to 1/29/08

5.40 to 5.45

25,000,000

25,000,000

Societe Generale

1/16/08 to 4/2/08

5.36 to 5.42 (c)

15,000,000

15,000,000

Sumitomo Mitsui Banking Corp.

4/18/07

5.38

1,200,000

1,200,000

UniCredito Italiano Spa, New York

4/30/07

5.32 (d)

15,000,000

14,997,870

154,197,875

TOTAL CERTIFICATES OF DEPOSIT

192,997,845

Commercial Paper - 11.8%

American Wtr. Cap. Corp.

4/20/07 to 5/17/07

5.42 to 5.45 (b)

2,249,000

2,238,037

Apache Corp.

4/30/07

5.37 (b)

1,000,000

995,698

Bavaria TRR Corp.

4/12/07

5.32

1,000,000

998,381

Beta Finance, Inc.

4/23/07

5.37 (b)

8,000,000

7,974,431

Burlington Northern Santa Fe Corp.

4/30/07 to 5/17/07

5.38 (b)

2,000,000

1,988,929

Capital One Multi-Asset Execution Trust

5/3/07

5.32

1,000,000

995,333

ConocoPhillips Qatar Funding Ltd.

4/13/07 to 6/20/07

5.37 to 5.43 (b)

2,000,000

1,986,459

Countrywide Financial Corp.

4/12/07 to 6/21/07

5.33 to 5.37

5,500,000

5,467,374

CVS Corp.

4/4/07

5.38

500,000

499,776

DaimlerChrysler NA Holding Corp.

4/4/07 to 5/11/07

5.38 to 5.44

3,500,000

3,486,915

Commercial Paper - continued

Due Date

Yield (a)

Principal Amount

Value

Davis Square Funding V Corp.

4/4/07

5.31%

$ 5,000,000

$ 4,997,796

Devon Energy Corp.

4/12/07 to 8/16/07

5.34 to 5.44

3,000,000

2,961,493

Dominion Resources, Inc.

4/26/07

5.35

1,000,000

996,302

Fortune Brands, Inc.

4/9/07 to 5/11/07

5.37 to 5.39

1,750,000

1,744,608

Giro Funding US Corp.

5/3/07

5.34

1,000,000

995,316

Grampian Funding LLC

7/9/07

5.34

10,000,000

9,856,450

Harrier Finance Funding LLC

6/14/07

5.33 (b)

3,000,000

2,967,748

Hypo Real Estate Bank International AG

4/5/07 to 4/12/07

5.37

2,000,000

1,997,792

Kellogg Co.

4/18/07

5.36

500,000

498,742

Liberty Harbour II CDO Ltd./LLC

5/25/07

5.35 (b)

5,000,000

4,960,400

Michigan Gen. Oblig.

10/4/07

5.41

1,600,000

1,600,000

Motown Notes Program

5/7/07 to 6/12/07

5.35 to 5.37

2,000,000

1,984,150

Nissan Motor Acceptance Corp.

5/2/07 to 6/20/07

5.37

500,000

495,910

Rockies Express Pipeline LLC

4/13/07 to 6/22/07

5.43 to 5.44 (b)

3,000,000

2,980,505

Textron Financial Corp.

4/19/07

5.34

1,000,000

997,340

The Walt Disney Co.

4/23/07

5.35

1,000,000

996,767

Time Warner Cable, Inc.

4/10/07 to 5/7/07

5.38 to 5.40

4,140,000

4,126,029

Time Warner, Inc.

4/17/07 to 5/3/07

5.38 (b)

1,250,000

1,244,668

Commercial Paper - continued

Due Date

Yield (a)

Principal Amount

Value

UniCredito Italiano Bank (Ireland) PLC

4/10/07

5.35%

$ 2,000,000

$ 1,997,398

Virginia Electric & Power Co.

4/2/07 to 4/26/07

5.35 to 5.37

2,000,000

1,996,588

Weatherford International Ltd.

4/3/07 to 4/27/07

5.35 (b)

1,500,000

1,496,003

Whirlpool Corp.

5/31/07

5.38

500,000

495,575

Wisconsin Energy Corp.

5/18/07

5.36

250,000

248,267

Xcel Energy, Inc.

4/13/07

5.56

1,000,000

998,197

TOTAL COMMERCIAL PAPER

80,265,377

Master Notes - 3.9%

Asset Funding Co. III LLC

4/5/07

5.38 to 5.39 (d)(g)

10,000,000

10,000,000

Bear Stearns & Co., Inc.

9/26/07

5.38 (d)

4,000,000

4,000,000

Goldman Sachs Group, Inc.

5/30/07

5.41 (d)(g)

7,000,000

7,000,000

Lehman Brothers Holdings, Inc.

4/11/07 to 7/30/07

5.43 to 5.59 (d)(g)

3,000,000

3,000,000

Lehman Commercial Paper, Inc.

4/3/07

5.46 (c)(d)(g)

3,000,000

3,000,000

TOTAL MASTER NOTES

27,000,000

Medium-Term Notes - 38.6%

AIG Matched Funding Corp.

5/15/07

5.35 (d)

10,000,000

10,000,000

5/15/07 to 11/15/07

5.35 to 5.37 (b)(d)

9,000,000

9,000,000

Allstate Life Global Funding II

4/27/07

5.33 (b)(d)

1,000,000

1,000,000

ASIF Global Financing XXX

4/23/07

5.34 (b)(d)

9,000,000

9,000,000

Medium-Term Notes - continued

Due Date

Yield (a)

Principal Amount

Value

Bank of New York Co., Inc.

4/27/07

5.38% (b)(d)

$ 5,000,000

$ 5,000,000

Bayerische Landesbank Girozentrale

4/16/07 to 5/21/07

5.37 to 5.40 (d)

10,000,000

10,000,000

BellSouth Corp.

4/26/07

5.34 (b)

5,000,000

4,996,053

BMW U.S. Capital LLC

4/16/07

5.32 (d)

1,000,000

1,000,000

Caixa Catalunya

6/7/07

5.34 (d)

3,000,000

3,000,000

Caja Madrid SA

4/19/07

5.36 (d)

3,000,000

3,000,000

Compagnie Financiere du Credit Mutuel

6/11/07

5.36 (d)

2,000,000

2,000,000

ConocoPhillips

4/11/07

5.36 (d)

2,000,000

2,000,000

Countrywide Bank, Alexandria Virginia

4/15/07 to 4/23/07

5.33 (d)

2,000,000

1,999,915

Countrywide Financial Corp.

4/11/07

5.52 (d)

250,000

250,008

Cullinan Finance Corp.

5/27/07 to 6/25/07

5.32 to 5.46 (b)(d)

6,000,000

5,999,594

Cullinan Finance Ltd./Corp. MTN 144A

10/15/07

5.41 (b)

2,000,000

2,000,000

General Electric Capital Corp.

4/10/07 to 4/17/07

5.36 to 5.45 (d)

32,500,000

32,501,885

Genworth Life Insurance Co.

4/2/07

5.40 (d)(g)

5,000,000

5,000,000

Harrier Finance Funding LLC

4/11/07 to 6/20/07

5.31 to 5.33 (b)(d)

2,000,000

1,999,763

HBOS Treasury Services PLC

6/25/07

5.42 (d)

5,000,000

5,000,000

HSBC Finance Corp.

4/24/07

5.37 (d)

3,000,000

3,000,000

HSH Nordbank AG

4/23/07

5.33 to 5.35 (b)(d)

8,000,000

7,999,995

Medium-Term Notes - continued

Due Date

Yield (a)

Principal Amount

Value

ING USA Annuity & Life Insurance Co.

6/25/07

5.44% (d)(g)

$ 2,000,000

$ 2,000,000

K2 (USA) LLC

6/11/07

5.30 (b)(d)

2,000,000

1,999,912

Merrill Lynch & Co., Inc.

4/11/07 to 4/16/07

5.33 to 5.57 (d)

11,000,000

11,004,440

Metropolitan Life Global Funding I

4/9/07

5.36 (b)(d)

2,626,000

2,626,000

Morgan Stanley

4/2/07 to 6/7/07

5.36 to 5.47 (d)

25,997,000

25,998,341

Nordea Bank AB

4/2/07

5.26 (d)

5,000,000

4,999,507

Pacific Life Global Funding

4/5/07

5.37 (b)(d)

2,000,000

2,000,652

RACERS

4/23/07

5.34 (b)(d)

10,000,000

10,000,000

SBC Communications, Inc.

6/5/07

5.51 (b)

1,025,000

1,022,621

Security Life of Denver Insurance Co.

5/29/07

5.45 (d)(g)

1,000,000

1,000,000

Sigma Finance, Inc.

4/16/07 to 6/11/07

5.30 to 5.32 (b)(d)

6,000,000

5,999,836

Skandinaviska Enskilda Banken AB

4/10/07 to 6/8/07

5.27 to 5.32 (d)

11,000,000

10,999,484

SLM Corp.

4/16/07

5.33 (b)(d)

1,000,000

1,000,000

UniCredito Italiano Bank (Ireland) PLC

4/16/07

5.33 (b)(d)

6,500,000

6,499,996

4/30/07

5.29 (d)

5,000,000

4,999,756

UniCredito Italiano Spa, New York

5/20/07

5.33 (d)

6,000,000

5,999,245

Verizon Communications, Inc.

6/15/07

5.35 (d)

4,000,000

4,000,000

Vodafone Group PLC

6/29/07

5.41 (d)

2,000,000

1,999,990

Medium-Term Notes - continued

Due Date

Yield (a)

Principal Amount

Value

Washington Mutual Bank

5/29/07 to 6/26/07

5.34 to 5.35% (d)

$ 8,000,000

$ 7,999,999

Washington Mutual Bank FA

4/20/07

5.30 (d)

500,000

499,996

4/30/07

5.34 (b)(d)

8,000,000

8,000,000

Wells Fargo & Co.

4/16/07

5.33 (d)

10,000,000

10,000,000

WestLB AG

4/10/07 to 6/29/07

5.38 to 5.40 (b)(d)

7,000,000

7,000,000

TOTAL MEDIUM-TERM NOTES

263,396,988

Short-Term Notes - 0.7%

New York Life Insurance Co.

4/1/07

5.44 (d)(g)

5,000,000

5,000,000

Asset-Backed Securities - 1.8%

Aardvark ABS CDO

2/6/08

5.40 (b)(d)

3,000,000

3,000,000

Master Funding Trust I

4/25/07 to 9/25/07

5.35 (d)

5,000,000

5,000,000

PASA Funding 2007 Ltd.

4/7/08

5.34 (b)(d)

4,000,000

4,000,000

TOTAL ASSET-BACKED SECURITIES

12,000,000

Municipal Securities - 1.5%

Connecticut Hsg. Fin. Auth. Series F2, VRDN

4/6/07

5.32 (d)

7,580,000

7,580,000

Puerto Rico Commonwealth Gen. Oblig.

Participating VRDN Series PA 1376R

4/6/07

3.64 (d)(e)

2,000,000

2,000,000

Texas Red River Ed. Fin. Corp. Ed. Rev. VRDN

4/6/07

3.63

1,000,000

1,000,000

TOTAL MUNICIPAL SECURITIES

10,580,000

Repurchase Agreements - 14.4%

Maturity Amount

Value

In a joint trading account at 5.41% dated 3/30/07 due 4/2/07 (Collateralized by U.S. Government Obligations) #

$ 475,214

$ 475,000

With:

Citigroup Global Markets, Inc. At 5.49%, dated 3/30/07 due 4/2/07 (Collateralized by Commercial Paper Obligations valued at $26,520,001, 0%, 4/5/07 - 6/29/07)

26,011,890

26,000,000

Deutsche Bank Securities, Inc. At:

5.35%, dated:

1/29/07 due 4/30/07 (Collateralized by Corporate Obligations valued at $3,150,000, 5.45%, 1/15/27)

3,040,571

3,000,000

3/2/07 due 4/2/07 (Collateralized by Corporate Obligations valued at $3,060,000, 6.52%, 8/27/36)

3,013,821

3,000,000

5.37%, dated:

1/19/07 due 4/19/07 (Collateralized by Mortgage Loan Obligations valued at $2,100,000, 5.68%, 4/25/36)

2,026,850

2,000,000

2/12/07 due 5/14/07 (Collateralized by Mortgage Loan Obligations valued at $4,200,000, 5.5%, 5/25/35)

4,054,297

4,000,000

2/13/07 due 5/15/07 (Collateralized by Corporate Obligations valued at $4,080,000, 4.75%, 4/1/14)

4,054,297

4,000,000

Goldman Sachs & Co. At 5.54%, dated 2/21/07 due 5/24/07 (Collateralized by Corporate Obligations valued at $7,350,000, 6%, 9/1/14) (d)(f)

7,099,060

7,000,000

J.P. Morgan Securities, Inc. At:

5.51%, dated 3/30/07 due 4/2/07 (Collateralized by Mortgage Loan Obligations valued at $29,402,950, 6%, 11/25/36)

28,012,851

28,000,000

5.54%, dated 3/22/07 due 5/10/07 (Collateralized by Corporate Obligations valued at $5,269,474, 5.4% - 8.6%, 6/26/11 - 3/29/17) (d)(f)

5,037,686

5,000,000

Lehman Brothers, Inc. At:

5.33%, dated:

3/15/07 due 4/30/07 (Collateralized by Corporate Obligations valued at $2,043,838, 0% - 7%, 4/25/34 - 10/28/46)

2,013,621

2,000,000

3/20/07 due 4/27/07 (Collateralized by Mortgage Loan Obligations valued at $2,100,040, 0.23%, 2/15/41)

2,011,252

2,000,000

5.37%, dated 3/15/07 due 4/30/07 (Collateralized by Mortgage Loan Obligations valued at $1,052,318, 5.69% - 7%, 12/25/33 - 8/28/35)

1,006,862

1,000,000

5.4%, dated 3/15/07 due 9/13/07 (Collateralized by Corporate Obligations valued at $2,104,158, 5.1% - 7.1%, 9/15/12 - 11/15/24) (d)(f)

2,054,600

2,000,000

Repurchase Agreements - continued

Maturity Amount

Value

With: - continued

Merrill Lynch, Pierce, Fenner & Smith At 5.55%, dated 1/17/07 due 4/17/07 (Collateralized by Corporate Obligations valued at $4,214,667, 10%,
11/2/28) (d)(f)

$ 4,055,475

$ 4,000,000

Morgan Stanley & Co. At 5.36%, dated 3/22/07 due 5/10/07 (Collateralized by Mortgage Loan Obligations valued at $5,318,540, 0.17% - 0.36%, 3/15/35 - 8/15/36)

5,036,478

5,000,000

TOTAL REPURCHASE AGREEMENTS

98,475,000

TOTAL INVESTMENT PORTFOLIO - 101.0%

(Cost $689,715,210)

689,715,210

NET OTHER ASSETS - (1.0)%

(7,083,620)

NET ASSETS - 100%

$ 682,631,590

Security Type Abbreviation

VRDN - VARIABLE RATE DEMAND NOTE

Legend

(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating rate securities, the rate at period end.

(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 $128,977,300 or 18.9% of net assets.

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

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. Due dates for these security types are the next interest rate reset date or, when applicable, the final maturity date.

(e) Provides evidence of ownership in one or more underlying municipal bonds.

(f) The maturity amount is based on the rate at period end.

(g) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $36,000,000 or 5.3% of net assets.

Additional information on each holding is as follows:

Security

Acquisition Date

Cost

Asset Funding Co. III LLC:
5.38%, 4/5/07

11/7/06

$ 5,000,000

5.39%, 4/5/07

8/29/06

$ 5,000,000

Genworth Life Insurance Co.
5.4%, 4/2/07

7/31/06

$ 5,000,000

Goldman Sachs Group, Inc. 5.41%, 5/30/07

8/26/04

$ 7,000,000

ING USA Annuity & Life Insurance Co. 5.44%, 6/25/07

6/23/05

$ 2,000,000

Lehman Brothers Holdings, Inc.:
5.43%, 4/11/07

1/10/07

$ 2,000,000

5.59%, 7/30/07

12/11/06

$ 1,000,000

Lehman Commercial Paper, Inc. 5.46%, 4/3/07

3/29/07

$ 3,000,000

New York Life Insurance Co. 5.44%, 4/1/07

2/28/02

$ 5,000,000

Security Life of Denver Insurance Co. 5.45%, 5/29/07

8/26/05

$ 1,000,000

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

Repurchase Agreement / Counterparty

Value

$475,000 due 4/02/07 at 5.41%

Bank of America, NA

$ 120,307

Barclays Capital, Inc.

120,307

Bear Stearns & Co., Inc.

120,308

Greenwich Capital Markets, Inc.

20,051

HSBC Securities (USA), Inc.

40,102

UBS Securities LLC

53,925

$ 475,000

Income Tax Information

At September 30, 2006, the fund had a capital loss carryforward of approximately $137,760 of which $10,044, $7,239, $17,632 and $102,845 will expire on September 30, 2011, 2012, 2013 and 2014, respectively.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

March 31, 2007 (Unaudited)

Assets

Investment in securities, at value (including repurchase agreements of $98,475,000) -
See accompanying schedule:

Unaffiliated issuers (cost $689,715,210)

$ 689,715,210

Cash

54,936

Interest receivable

5,039,532

Prepaid expenses

232

Total assets

694,809,910

Liabilities

Payable for investments purchased
Regular delivery

$ 1,001,772

Delayed delivery

8,000,000

Distributions payable

3,153,398

Other payables and accrued expenses

23,150

Total liabilities

12,178,320

Net Assets

$ 682,631,590

Net Assets consist of:

Paid in capital

$ 682,764,215

Undistributed net investment income

19,020

Accumulated undistributed net realized gain (loss) on investments

(151,645)

Net Assets, for 682,758,973 shares outstanding

$ 682,631,590

Net Asset Value, offering price and redemption price per share ($682,631,590 ÷ 682,758,973 shares)

$ 1.00

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

Six months ended March 31, 2007 (Unaudited)

Investment Income

Interest (including $16,708 from affiliated interfund lending)

$ 20,383,236

Expenses

Custodian fees and expenses

$ 9,786

Independent trustees' compensation

1,267

Audit

20,223

Legal

1,873

Insurance

4,559

Miscellaneous

43

Total expenses before reductions

37,751

Expense reductions

(1,817)

35,934

Net investment income

20,347,302

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

21,438

Net increase in net assets resulting from operations

$ 20,368,740

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

Six months ended
March 31, 2007
(Unaudited)

Year ended
September 30,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 20,347,302

$ 41,031,408

Net realized gain (loss)

21,438

4,112

Net increase in net assets resulting from operations

20,368,740

41,035,520

Distributions to shareholders from net investment income

(20,349,526)

(41,033,927)

Affiliated share transactions at net asset value
of $1.00 per share
Proceeds from sales of shares

-

50,000,000

Reinvestment of distributions

1,777,944

8,082,185

Cost of shares redeemed

(178,633,737)

(20,000,000)

Net increase (decrease) in net assets and shares resulting from share transactions

(176,855,793)

38,082,185

Total increase (decrease) in net assets

(176,836,579)

38,083,778

Net Assets

Beginning of period

859,468,169

821,384,391

End of period (including undistributed net investment income of $19,020 and undistributed net investment income of $21,244, respectively)

$ 682,631,590

$ 859,468,169

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights

Six months ended
March 31, 2007

Years ended September 30,

(Unaudited)

2006

2005

2004

2003

2002

Selected Per-Share Data

Net asset value, beginning of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Income from Investment Operations

Net investment income

.027

.048

.028

.013

.014

.022

Distributions from net investment income

(.027)

(.048)

(.028)

(.013)

(.014)

(.022)

Net asset value,
end of period

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

$ 1.00

Total Return B, C

2.71%

4.86%

2.80%

1.27%

1.43%

2.24%

Ratios to Average Net Assets D

Expenses before reductions

.01% A

.01%

.01%

.01%

.01%

.01%

Expenses net of fee waivers, if any

.01% A

.01%

.01%

.01%

.01%

.01%

Expenses net of all reductions

.01% A

.01%

.01%

.01%

.01%

.01%

Net investment income

5.38% A

4.76%

2.77%

1.27%

1.42%

2.24%

Supplemental Data

Net assets,
end of period (000 omitted)

$ 682,632

$ 859,468

$ 821,384

$ 817,994

$ 816,443

$ 765,618

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Notes to Financial Statements

For the period ended March 31, 2007 (Unaudited)

1. Organization.

Fidelity Money Market Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Shares of the Fund are only offered to other investment companies and accounts (the investing funds) managed by Fidelity Management & Research Company (FMR), or its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.

2. Significant Accounting Policies.

The following summarizes the significant accounting policies of the Fund:

Security Valuation. As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates value.

Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to excise tax regulations.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:

Unrealized appreciation

$ -

Unrealized depreciation

-

Net unrealized appreciation (depreciation)

$ -

Cost for federal income tax purposes

$ 689,715,210

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

3. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Semiannual Report

3. Operating Policies - continued

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

4. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. FIMM and FMR have entered into a service agreement under which FMR pays a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays Fidelity Service Company, Inc. (FSC), an affiliate of FMR, the fees for maintaining the accounting records of the Fund.

Effective April 1, 2007 the expense contract was amended whereby FMR will pay all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees and certain exceptions such as interest expense.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

4. Fees and Other Transactions with Affiliates - continued

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:

Borrower or Lender

Average Daily
Loan Balance

Weighted Average Interest Rate

Lender

$ 8,551,000

5.41%

5. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $1,817.

6. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund.

Semiannual Report

Semiannual Report

Semiannual Report

Semiannual Report

Fidelity® Ultra-Short
Central Fund

Semiannual Report

March 31, 2007

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.

A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.

USC-SANN-0507 461660.1.0
1.771938.105

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (October 1, 2006 to March 31, 2007).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

Beginning
Account Value
October 1, 2006

Ending
Account Value
March 31, 2007

Expenses Paid
During Period*
October 1, 2006
to March 31, 2007

Actual

$ 1,000.00

$ 1,024.80

$ .02

Hypothetical (5% return per year before expenses)

$ 1,000.00

$ 1,024.91

$ .02

* Expenses are equal to the Fund's annualized expense ratio of .0036%; multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report

Investment Changes

Quality Diversification (% of fund's net assets)

As of March 31, 2007*

As of September 30, 2006**

U.S. Government and
U.S. Government
Agency Obligations 7.8%

U.S. Government and
U.S. Government
Agency Obligations 7.4%

AAA 29.0%

AAA 22.5%

AA 16.6%

AA 11.9%

A 10.9%

A 10.6%

BBB 17.6%

BBB 16.5%

BB and Below 0.6%

BB and Below 0.0%

Not Rated 3.0%

Not Rated 3.3%

Short-Term
Investments and
Net Other Assets 14.5%

Short-Term
Investments and
Net Other Assets 27.8%

We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition.

Average Years to Maturity as of March 31, 2007

6 months ago

Years

1.9

1.7

Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount.

Duration as of March 31, 2007

6 months ago

Years

0.2

0.2

Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example.

Asset Allocation (% of fund's net assets)

As of March 31, 2007*

As of September 30, 2006**

Corporate Bonds 14.8%

Corporate Bonds 10.4%

U.S. Government and
U.S. Government
Agency Obligations 7.8%

U.S. Government and
U.S. Government
Agency Obligations 7.4%

Asset-Backed
Securities 39.7%

Asset-Backed
Securities 36.5%

CMOs and Other Mortgage Related Securities 23.2%

CMOs and Other Mortgage Related Securities 17.9%

Short-Term
Investments and
Net Other Assets 14.5%

Short-Term
Investments and
Net Other Assets 27.8%

* Foreign investments

15.4%

** Foreign investments

14.5%

* Futures and Swaps

9.3%

** Futures and Swaps

2.8%

Semiannual Report

Investments March 31, 2007

Showing Percentage of Net Assets

Nonconvertible Bonds - 14.8%

Principal Amount

Value

CONSUMER DISCRETIONARY - 2.3%

Auto Components - 0.7%

DaimlerChrysler NA Holding Corp.:

5.69% 3/13/09 (e)

$ 46,315,000

$ 46,395,681

5.77% 3/13/09 (e)

9,650,000

9,679,346

5.82% 9/10/07 (e)

16,665,000

16,690,514

5.89% 10/31/08 (e)

20,000,000

20,103,120

92,868,661

Media - 1.3%

AOL Time Warner, Inc. 6.15% 5/1/07

23,650,000

23,656,267

Continental Cablevision, Inc. 9% 9/1/08

17,600,000

18,471,570

Cox Communications, Inc.:

(Reg. S) 5.905% 12/14/07 (e)

16,340,000

16,389,265

5.61% 8/15/07 (a)(e)

51,000,000

51,006,630

Time Warner, Inc.:

5.59% 11/13/09 (e)

20,000,000

20,031,120

8.18% 8/15/07

19,416,000

19,581,288

Viacom, Inc. 5.7% 6/16/09 (e)

20,000,000

20,054,940

169,191,080

Multiline Retail - 0.3%

The May Department Stores Co. 7.9% 10/15/07

39,628,000

40,049,365

TOTAL CONSUMER DISCRETIONARY

302,109,106

CONSUMER STAPLES - 0.2%

Food & Staples Retailing - 0.2%

Safeway, Inc.:

4.8% 7/16/07

3,810,000

3,800,414

7% 9/15/07

17,002,000

17,117,716

20,918,130

ENERGY - 1.0%

Energy Equipment & Services - 0.2%

Cooper Cameron Corp. 2.65% 4/15/07

6,190,000

6,184,454

Transocean, Inc. 5.5475% 9/5/08 (e)

22,600,000

22,623,956

28,808,410

Oil, Gas & Consumable Fuels - 0.8%

Anadarko Petroleum Corp.:

3.25% 5/1/08

7,850,000

7,674,348

5.7549% 9/15/09 (e)

21,000,000

21,044,667

6.625% 10/15/07

7,070,000

7,117,496

Nonconvertible Bonds - continued

Principal Amount

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Enterprise Products Operating LP 4% 10/15/07

$ 12,585,000

$ 12,493,268

Kinder Morgan Energy Partners LP 5.35% 8/15/07

10,180,000

10,171,999

Ocean Energy, Inc. 4.375% 10/1/07

28,560,000

28,406,119

Premcor Refining Group, Inc. 9.5% 2/1/13

17,100,000

18,510,750

105,418,647

TOTAL ENERGY

134,227,057

FINANCIALS - 7.8%

Capital Markets - 1.6%

Bear Stearns Companies, Inc. 5.55% 2/1/12 (e)

12,240,000

12,190,869

Credit Suisse USA, Inc. 5.44% 11/20/09 (e)

20,000,000

20,021,680

Lehman Brothers Holdings E-Capital Trust I 6.14% 8/19/65 (c)(e)

12,220,000

12,364,489

Lehman Brothers Holdings, Inc. 5.46% 11/16/09 (e)

25,000,000

24,987,200

Merrill Lynch & Co., Inc. 5.45% 8/14/09 (e)

19,465,000

19,462,080

Morgan Stanley 5.61% 1/18/11 (e)

33,100,000

33,187,185

Royal Bank of Scotland PLC:

5.66% 7/24/14 (e)

42,690,000

42,860,760

5.76% 7/6/12 (e)

11,800,000

11,806,431

VTB Capital SA 5.96% 8/1/08 (a)(e)

35,000,000

35,017,500

211,898,194

Commercial Banks - 2.5%

Australia & New Zealand Banking Group Ltd. 5.91% 2/4/13 (e)

40,000,000

40,147,320

Bank of Scotland 5.86% 11/22/12 (e)

70,000,000

70,194,600

Barclays Bank PLC:

5.56% 5/25/15 (e)

13,260,000

13,271,324

5.76% 4/10/12 (e)

52,000,000

52,001,040

HBOS plc 5.635% 2/6/14 (e)

18,140,000

18,188,996

HSBC Holdings PLC 5.56% 10/6/16 (e)

7,800,000

7,806,139

ING Bank NV 5.61% 10/14/14 (e)

7,200,000

7,223,040

Manufacturers & Traders Trust Co. 3.85% 4/1/13 (e)

6,250,000

6,173,638

PNC Funding Corp. 5.5% 1/31/12 (e)

39,900,000

39,921,706

Santander Issuances SA Unipersonal 5.71% 6/20/16 (a)(e)

19,500,000

19,516,673

Santander US Debt SA Unipersonal 5.42% 10/21/08 (a)(e)

15,000,000

15,008,850

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Commercial Banks - continued

UniCredit Luxembourg Finance SA 5.7% 1/13/17 (a)(e)

$ 20,000,000

$ 20,060,000

Wachovia Corp. 5.41% 12/1/09 (e)

20,000,000

20,012,360

329,525,686

Consumer Finance - 0.9%

Capital One Financial Corp. 5.62% 9/10/09 (e)

21,510,000

21,563,001

General Electric Capital Corp. 5.42% 5/10/10 (e)

47,155,000

47,149,954

MBNA Capital I 8.278% 12/1/26

6,295,000

6,590,173

MBNA Europe Funding PLC 5.43% 9/7/07 (a)(e)

19,925,000

19,933,767

SLM Corp. 5.52% 7/26/10 (e)

20,330,000

20,309,629

115,546,524

Diversified Financial Services - 0.3%

BTM Curacao Holding NV 5.6756% 12/19/16 (a)(e)

25,000,000

24,913,150

Tyco International Group SA Participation Certificate Trust 4.436% 6/15/07 (a)

17,745,000

17,705,411

42,618,561

Insurance - 0.2%

Monumental Global Funding III 5.53% 1/25/13 (a)(e)

28,880,000

28,879,682

Real Estate Investment Trusts - 1.1%

Archstone-Smith Trust 5% 8/15/07

20,020,000

19,994,835

Colonial Properties Trust 7% 7/14/07

9,619,000

9,659,592

iStar Financial, Inc.:

5.69% 3/9/10 (e)

28,000,000

28,011,620

5.9% 3/16/09 (e)

24,395,000

24,545,102

Reckson Operating Partnership LP 6% 6/15/07

10,530,000

10,539,245

Simon Property Group LP 6.375% 11/15/07

21,807,000

21,926,982

Vornado Realty Trust 5.625% 6/15/07

24,292,000

24,282,137

138,959,513

Real Estate Management & Development - 0.2%

Chelsea GCA Realty Partnership LP 7.25% 10/21/07

8,295,000

8,352,667

Realogy Corp. 6.06% 10/20/09 (a)(e)

22,590,000

22,612,409

30,965,076

Thrifts & Mortgage Finance - 1.0%

Countrywide Financial Corp. 5.52% 4/11/07 (e)

11,025,000

11,025,022

Residential Capital Corp.:

6.4603% 4/17/09 (e)

12,095,000

12,050,031

6.725% 6/29/07 (e)

30,155,000

30,188,713

7.19% 4/17/09 (a)(e)

25,811,000

25,681,945

Nonconvertible Bonds - continued

Principal Amount

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Washington Mutual Bank 5.45% 5/1/09 (e)

$ 29,600,000

$ 29,607,104

Washington Mutual, Inc. 5.5% 8/24/09 (e)

21,500,000

21,499,635

130,052,450

TOTAL FINANCIALS

1,028,445,686

HEALTH CARE - 0.2%

Health Care Providers & Services - 0.2%

UnitedHealth Group, Inc.:

3.375% 8/15/07

8,175,000

8,114,031

5.4281% 3/2/09 (e)

15,450,000

15,446,786

23,560,817

INDUSTRIALS - 0.4%

Aerospace & Defense - 0.1%

Raytheon Co. 6.75% 8/15/07

8,788,000

8,825,604

Air Freight & Logistics - 0.0%

FedEx Corp. 2.65% 4/1/07

5,825,000

5,825,000

Airlines - 0.0%

American Airlines, Inc. 7.25% 2/5/09

6,000,000

6,105,000

Building Products - 0.1%

Masco Corp. 5.64% 3/12/10 (e)

18,370,000

18,367,300

Road & Rail - 0.2%

CSX Corp. 7.45% 5/1/07

17,960,000

17,982,414

Union Pacific Corp. 5.75% 10/15/07

2,820,000

2,824,461

20,806,875

TOTAL INDUSTRIALS

59,929,779

MATERIALS - 0.1%

Chemicals - 0.1%

Potash Corp. of Saskatchewan, Inc. 7.125% 6/15/07

8,865,000

8,895,699

TELECOMMUNICATION SERVICES - 1.9%

Diversified Telecommunication Services - 1.6%

AT&T, Inc. 5.45% 5/15/08 (e)

25,000,000

25,016,750

BellSouth Corp. 5.46% 8/15/08 (e)

17,500,000

17,509,100

British Telecommunications PLC 7% 5/23/07

8,820,000

8,832,807

Nonconvertible Bonds - continued

Principal Amount

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

Deutsche Telekom International Finance BV 5.53% 3/23/09 (e)

$ 11,500,000

$ 11,521,724

SBC Communications, Inc. 4.214% 6/5/07 (a)

2,395,000

2,394,737

Telecom Italia Capital SA 5.97% 7/18/11 (e)

34,640,000

34,815,937

Telefonica Emisiones SAU 5.65% 6/19/09 (e)

49,675,000

49,842,057

Telefonos de Mexico SA de CV 4.5% 11/19/08

10,240,000

10,113,792

TELUS Corp. yankee 7.5% 6/1/07

44,121,000

44,260,731

204,307,635

Wireless Telecommunication Services - 0.3%

America Movil SA de CV 5.4479% 6/27/08 (a)(e)

18,494,000

18,494,000

Vodafone Group PLC 5.41% 6/29/07 (e)

21,595,000

21,596,360

40,090,360

TOTAL TELECOMMUNICATION SERVICES

244,397,995

UTILITIES - 0.9%

Electric Utilities - 0.5%

American Electric Power Co., Inc. 4.709% 8/16/07

770,000

767,739

CalEnergy Generation 7.63% 10/15/07

9,080,000

9,173,924

Commonwealth Edison Co. 3.7% 2/1/08

26,070,000

25,589,009

Niagara Mohawk Power Corp. 8.875% 5/15/07

7,495,000

7,522,469

TXU Electric Delivery Co. 5.7299% 9/16/08 (a)(e)

18,205,000

18,202,269

61,255,410

Gas Utilities - 0.1%

NiSource Finance Corp. 5.93% 11/23/09 (e)

8,055,000

8,063,039

Independent Power Producers & Energy Traders - 0.1%

Constellation Energy Group, Inc. 6.35% 4/1/07

18,720,000

18,720,000

Multi-Utilities - 0.2%

Dominion Resources, Inc. 5.65% 9/28/07 (e)

18,765,000

18,772,056

MidAmerican Energy Holdings, Co. 4.625% 10/1/07

3,785,000

3,768,781

Sempra Energy:

4.621% 5/17/07

5,275,000

5,269,176

4.75% 5/15/09

5,500,000

5,454,224

33,264,237

TOTAL UTILITIES

121,302,686

TOTAL NONCONVERTIBLE BONDS

(Cost $1,943,305,059)

1,943,786,955

U.S. Government Agency Obligations - 2.1%

Principal Amount

Value

Fannie Mae:

0% 5/30/07 (d)

$ 30,000,000

$ 29,752,530

0% 1/15/08 (c)

250,000,000

240,219,979

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS

(Cost $269,681,958)

269,972,509

U.S. Government Agency - Mortgage Securities - 1.3%

Fannie Mae - 0.8%

3.245% 9/1/33 (e)

8,421,917

8,288,989

3.7% 7/1/33 (e)

7,547,187

7,466,066

3.993% 5/1/34 (e)

9,617,774

9,537,230

4.244% 3/1/34 (e)

9,410,491

9,340,133

4.304% 6/1/34 (e)

23,292,164

23,125,078

4.5% 7/1/20

8,786

8,517

4.913% 7/1/35 (e)

9,681,565

9,689,170

5.21% 5/1/36 (e)

4,431,906

4,452,544

5.27% 4/1/36 (e)

11,993,214

12,051,111

5.302% 8/1/36 (e)

11,958,647

12,030,823

5.571% 10/1/35 (e)

4,911,923

4,955,538

TOTAL FANNIE MAE

100,945,199

Freddie Mac - 0.5%

3.381% 7/1/33 (e)

18,825,749

18,541,433

4.045% 4/1/34 (e)

15,146,656

14,924,053

4.925% 10/1/36 (e)

32,430,855

32,435,930

TOTAL FREDDIE MAC

65,901,416

TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES

(Cost $166,311,738)

166,846,615

Asset-Backed Securities - 39.7%

Accredited Mortgage Loan Trust:

Series 2004-2 Class A2, 5.62% 7/25/34 (e)

9,810,211

9,830,556

Series 2004-4 Class A2D, 5.67% 1/25/35 (e)

945,665

947,753

Series 2005-1 Class M1, 5.79% 4/25/35 (e)

11,280,000

11,282,535

Series 2007-1:

Class A3, 5.45% 2/25/37 (e)

14,000,000

13,974,652

Class M1, 5.54% 2/25/37 (e)

3,780,000

3,767,292

Asset-Backed Securities - continued

Principal Amount

Value

ACE Securities Corp.:

Series 2002-HE1 Class M1, 6.295% 6/25/32 (e)

$ 1,653,413

$ 1,669,130

Series 2002-HE2 Class M1, 6.595% 8/25/32 (e)

18,631,213

18,642,995

Series 2003-HS1:

Class M1, 6.07% 6/25/33 (e)

657,947

659,831

Class M2, 7.07% 6/25/33 (e)

856,000

863,681

Series 2003-NC1 Class M1, 6.1% 7/25/33 (e)

1,600,000

1,606,514

Series 2004-HE1:

Class M1, 5.82% 2/25/34 (e)

2,077,793

2,081,153

Class M2, 6.42% 2/25/34 (e)

2,475,000

2,484,622

Series 2004-OP1 Class M1, 5.84% 4/25/34 (e)

4,275,940

4,275,924

Series 2005-HE1 Class M1, 5.8% 2/25/35 (e)

5,600,000

5,598,458

Series 2005-HE2:

Class M2, 5.77% 4/25/35 (e)

1,803,000

1,801,380

Class M3, 5.8% 4/25/35 (e)

1,040,000

1,040,026

Class M4, 5.96% 4/25/35 (e)

1,340,000

1,337,644

Series 2005-HE3 Class A2B, 5.53% 5/25/35 (e)

3,171,170

3,172,057

Series 2005-HE7 Class A2B, 5.5% 11/25/35 (e)

25,000,000

25,006,385

Series 2005-SD1 Class A1, 5.72% 11/25/50 (e)

801,448

802,002

Series 2006-HE2:

Class A2C, 5.48% 5/25/36 (e)

8,845,000

8,844,958

Class M1, 5.62% 5/25/36 (e)

8,138,000

8,104,011

Class M2, 5.64% 5/25/36 (e)

2,695,000

2,682,687

Class M3, 5.66% 5/25/36 (e)

2,130,000

2,114,911

Class M4, 5.72% 5/25/36 (e)

1,800,000

1,780,437

Class M5, 5.76% 5/25/36 (e)

2,617,000

2,581,454

Series 2006-NC2:

Class M7, 6.07% 7/25/36 (e)

4,902,000

4,378,099

Class M8, 6.17% 7/25/36 (e)

2,429,000

2,270,868

Class M9, 7.02% 7/25/36 (e)

1,605,000

1,368,664

Series 2006-OP1:

Class M2, 5.61% 4/25/36 (e)

10,119,000

10,064,591

Class M3, 5.63% 4/25/36 (e)

4,000,000

3,967,176

Class M4, 5.69% 4/25/36 (e)

1,000,000

979,809

Class M5, 5.71% 4/25/36 (e)

950,000

914,812

ACE Securities Corp. Home Equity Loan Trust:

Series 2006-ASP6 Class M1, 5.56% 12/25/36 (e)

4,420,000

4,398,535

Series 2006-FM2:

Class AC2, 5.48% 8/25/36 (e)

7,397,000

7,386,203

Class M1, 5.57% 8/25/36 (e)

10,300,000

10,252,282

Series 2007-HE1:

Class A2C, 5.49% 1/25/37 (e)

9,000,000

8,983,273

Class M1, 5.58% 1/25/37 (e)

12,575,000

12,502,959

Asset-Backed Securities - continued

Principal Amount

Value

Advanta Business Card Master Trust:

Series 2004-C1 Class C, 6.37% 9/20/13 (e)

$ 5,875,000

$ 5,939,862

Series 2006-C1 Class C1, 5.8% 10/20/14 (e)

12,805,000

12,804,963

Series 2007-B1 Class B, 5.57% 12/22/14 (e)

29,325,000

29,387,245

Aesop Funding II LLC Series 2005-1A Class A2, 5.38% 4/20/09 (a)(e)

8,800,000

8,798,477

ALG Student Loan Trust I Series 2006-1 Class A1, 5.37% 10/28/18 (a)(e)

13,000,000

13,003,900

American Express Credit Account Master Trust:

Series 2002-6 Class B, 5.77% 3/15/10 (e)

5,000,000

5,007,553

Series 2004-1 Class B, 5.57% 9/15/11 (e)

5,775,000

5,794,995

Series 2004-C Class C, 5.82% 2/15/12 (a)(e)

21,853,178

21,898,771

Series 2005-1 Class A, 5.35% 10/15/12 (e)

15,455,000

15,447,546

Series 2005-6 Class C, 5.57% 3/15/11 (a)(e)

22,320,000

22,340,758

Series 2007-3 Class C, 5.57% 10/15/12 (a)(e)

11,390,000

11,390,000

AmeriCredit Automobile Receivables Trust:

Series 2003-BX Class A4B, 5.79% 1/6/10 (e)

1,155,486

1,155,573

Series 2005-1 Class C, 4.73% 7/6/10

15,500,000

15,406,892

Series 2006-BM Class A4, 5.4% 5/6/12 (e)

36,665,000

36,664,798

Series 2006-RM Class A1, 5.37% 10/6/09

19,420,000

19,429,415

Ameriquest Mortgage Securities, Inc.:

Series 2003-1 Class M1, 6.22% 2/25/33 (e)

5,837,814

5,988,993

Series 2003-10 Class M1, 6.02% 12/25/33 (e)

1,835,000

1,849,695

Series 2003-6 Class M2, 7.17% 5/25/33 (e)

2,750,000

2,784,950

Series 2003-AR1 Class M1, 7.045% 1/25/33 (e)

70,787

70,839

Series 2004-R10 Class M1, 6.02% 11/25/34 (e)

4,665,000

4,677,114

Series 2004-R11 Class M1, 5.98% 11/25/34 (e)

4,430,000

4,439,714

Series 2004-R2:

Class M1, 5.75% 4/25/34 (e)

1,230,000

1,229,993

Class M2, 5.8% 4/25/34 (e)

950,000

949,995

Class M3, 5.87% 4/25/34 (e)

3,500,000

3,499,983

Series 2005-R1:

Class M1, 5.77% 3/25/35 (e)

5,710,000

5,700,658

Class M2, 5.8% 3/25/35 (e)

1,925,000

1,925,374

Series 2005-R2 Class M1, 5.77% 4/25/35 (e)

12,500,000

12,493,523

Series 2006-M3:

Class M7, 6.17% 10/25/36 (e)

6,660,000

6,360,300

Class M9, 7.32% 10/25/36 (e)

4,270,000

3,992,450

Amortizing Residential Collateral Trust:

Series 2002-BC1 Class M2, 6.42% 1/25/32 (e)

413,829

414,242

Series 2002-BC3 Class A, 5.65% 6/25/32 (e)

1,186,195

1,188,711

ARG Funding Corp.:

Series 2005-1A Class A2, 5.42% 4/20/09 (a)(e)

11,000,000

11,009,227

Asset-Backed Securities - continued

Principal Amount

Value

ARG Funding Corp.: - continued

Series 2005-2A Class A2, 5.43% 5/20/09 (a)(e)

$ 5,200,000

$ 5,205,258

Argent Securities, Inc.:

Series 2003-W3 Class M2, 7.12% 9/25/33 (e)

20,835,000

21,024,559

Series 2003-W7 Class A2, 5.71% 3/1/34 (e)

329,642

330,441

Series 2004-W11 Class M2, 6.02% 11/25/34 (e)

3,860,000

3,882,672

Series 2004-W5 Class M1, 5.92% 4/25/34 (e)

3,960,000

3,968,531

Series 2004-W7:

Class M1, 5.87% 5/25/34 (e)

4,085,000

4,098,721

Class M2, 5.92% 5/25/34 (e)

3,320,000

3,331,632

Series 2006-M1 Class M7, 6.32% 7/25/36 (e)

5,600,000

4,200,000

Series 2006-M2 Class M7, 6.22% 9/25/36 (e)

11,580,000

10,551,464

Series 2006-W4:

Class A2C, 5.48% 5/25/36 (e)

10,675,000

10,658,311

Class M2, 5.64% 5/25/36 (e)

11,235,000

11,108,107

Class M3, 5.66% 5/25/36 (e)

8,990,000

8,815,226

Arran Funding Ltd. Series 2005-A Class C, 5.64% 12/15/10 (e)

26,765,000

26,759,647

Asset Backed Funding Corp.:

Series 2006-OPT1 Class M4, 5.68% 9/25/36 (e)

13,256,000

13,094,106

Series 2006-OPT2:

Class C7, 5.47% 10/25/36 (e)

7,425,000

7,417,098

Class M1, 5.57% 10/25/36 (e)

7,345,000

7,308,982

Class M7, 6.1% 10/25/36 (e)

7,655,000

7,276,708

Asset Backed Securities Corp. Series 2006-HE6:

Class A4, 5.48% 11/25/36 (e)

18,676,000

18,651,757

Class M7, 6.12% 11/25/36 (e)

2,420,000

2,408,537

Class M9, 7.47% 11/25/36 (e)

6,465,000

5,493,776

Asset Backed Securities Corp. Home Equity Loan Trust:

Series 2003-HE2 Class M1, 6.67% 4/15/33 (e)

9,880,981

9,886,863

Series 2003-HE3 Class M1, 6.15% 6/15/33 (e)

2,185,000

2,186,769

Series 2003-HE6 Class M1, 5.97% 11/25/33 (e)

3,475,000

3,488,872

Series 2004-HE2 Class M1, 5.87% 4/25/34 (e)

6,060,000

6,073,314

Series 2004-HE3:

Class M1, 5.86% 6/25/34 (e)

1,450,000

1,454,869

Class M2, 6.44% 6/25/34 (e)

3,350,000

3,367,596

Series 2004-HE6 Class A2, 5.68% 6/25/34 (e)

3,881,686

3,887,675

Series 2005-HE1 Class M1, 5.82% 3/25/35 (e)

4,460,000

4,463,674

Series 2005-HE2:

Class M1, 5.77% 3/25/35 (e)

8,250,000

8,256,626

Class M2, 5.82% 3/25/35 (e)

2,065,000

2,068,146

Series 2005-HE3 Class A4, 5.52% 4/25/35 (e)

2,673,831

2,674,281

Series 2005-HE6 Class A2B, 5.57% 7/25/35 (e)

8,273,927

8,283,931

Asset-Backed Securities - continued

Principal Amount

Value

Asset Backed Securities Corp. Home Equity Loan Trust: - continued

Series 2005-HE8 Class M2, 5.77% 11/25/35 (e)

$ 2,105,000

$ 2,104,412

Series 2006-HE2 Class M3, 5.71% 3/25/36 (e)

3,984,000

3,961,538

Series 2006-HE4 Class M1, 5.63% 5/25/36 (e)

14,283,000

14,206,313

Series 2007-HE1:

Class A4, 5.46% 12/25/36 (e)

9,000,000

8,982,645

Class M1, 5.54% 12/25/36 (e)

8,250,000

8,220,756

Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.32% 4/4/17 (a)(b)(e)

20,000,000

20,000,000

Bank of America Credit Card Master Trust Series 2006-C4 Class C4, 5.55% 11/15/11 (e)

46,575,000

46,604,109

Bank of America Credit Card Trust:

Series 2006-C7 Class C7, 5.55% 3/15/12 (e)

56,710,000

56,745,444

Series 2006-HE7 Class B4, 5.4% 3/15/12 (e)

33,615,000

33,614,728

Bank One Issuance Trust:

Series 2002-B1 Class B1, 5.7% 12/15/09 (e)

20,655,000

20,657,650

Series 2002-C1 Class C1, 6.28% 12/15/09 (e)

7,980,000

7,982,635

Series 2003-C4 Class C4, 6.35% 2/15/11 (e)

14,910,000

15,057,118

Bayview Financial Acquisition Trust Series 2004-C Class A1, 5.74% 5/28/44 (e)

4,125,998

4,129,924

Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.77% 2/28/44 (e)

2,732,548

2,734,195

Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.44% 2/28/41 (e)

3,434,383

3,434,728

Bear Stearns Asset Backed Securities, Inc.:

Series 2005-3 Class A1, 5.77% 9/25/35 (e)

1,801,345

1,801,335

Series 2005-HE2:

Class M1, 5.82% 2/25/35 (e)

6,655,000

6,658,854

Class M2, 6.07% 2/25/35 (e)

2,430,000

2,425,729

BMW Floorplan Master Owner Trust Series 2006-1A Class A, 5.32% 9/17/11 (a)(e)

24,600,000

24,569,250

BNC Mortgage Loan Trust Series 2006-2:

Class A4, 5.48% 11/25/36 (e)

6,785,000

6,772,772

Class M1, 5.56% 11/25/36 (e)

6,785,000

6,752,870

Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 5.3563% 12/26/24 (e)

24,982,616

24,982,616

C-Bass Trust Series 2007-CB1 Class M1, 5.55% 1/25/37 (e)

9,885,000

9,851,081

Capital Auto Receivables Asset Trust:

Series 2005-1 Class B, 5.695% 6/15/10 (e)

5,725,000

5,748,440

Series 2006-1 Class A2B, 5.35% 9/15/08 (e)

11,518,226

11,518,514

Series 2006-2 Class A2A, 5.23% 2/15/09

21,995,000

21,979,850

Series 2006-SN1A Class A4B, 5.43% 3/20/10 (a)(e)

25,000,000

25,008,363

Asset-Backed Securities - continued

Principal Amount

Value

Capital One Auto Finance Trust:

Series 2003-A Class A4B, 5.6% 1/15/10 (e)

$ 3,985,652

$ 3,986,089

Series 2004-B Class A4, 5.43% 8/15/11 (e)

14,857,495

14,861,668

Series 2006-B Class A2, 5.53% 4/15/09

16,146,276

16,153,821

Series 2006-C:

Class A2, 5.31% 7/15/09

18,365,000

18,363,994

Class A3B, 5.33% 7/15/11 (e)

14,690,000

14,689,910

Series 2007-A Class A2, 5.33% 5/17/10

15,590,000

15,602,156

Capital One Master Trust:

Series 2001-1 Class B, 5.83% 12/15/10 (e)

19,500,000

19,552,527

Series 2002-4A Class B, 5.82% 3/15/10 (e)

6,000,000

6,003,335

Capital One Multi-Asset Execution Trust:

Series 2003-C1 Class C1, 7.87% 3/15/11 (e)

15,500,000

15,902,954

Series 2003-C5 Class C5, 6.47% 10/17/11 (e)

6,000,000

6,091,554

Capital Trust Ltd. Series 2004-1:

Class A2, 5.77% 7/20/39 (a)(e)

2,968,000

2,972,754

Class B, 6.07% 7/20/39 (a)(e)

1,550,000

1,562,291

Class C, 6.42% 7/20/39 (a)(e)

1,994,000

2,007,942

Carrington Mortgage Loan Trust:

Series 2005-FRE1 Class A2, 5.5% 12/25/35 (e)

8,839,277

8,840,412

Series 2006-FRE1:

Class M1, 5.62% 7/25/36 (e)

7,847,000

7,803,499

Class M7, 6.27% 7/25/36 (e)

3,308,000

3,199,105

Class M9, 7.22% 7/25/36 (e)

2,112,000

2,026,725

Series 2006-NC2:

Class M6, 5.76% 6/25/36 (e)

9,000,000

8,946,433

Class M7, 6.17% 6/25/36 (e)

2,500,000

2,419,059

Series 2006-RFC1:

Class M7, 6.18% 5/25/36 (e)

2,275,000

2,203,115

Class M8, 6.37% 5/25/36 (e)

1,485,000

1,424,679

Class M9, 7.19% 5/25/36 (e)

1,095,000

1,048,172

Series 2007-RFC1 Class A3, 5.46% 12/25/36 (e)

12,398,000

12,375,076

CDC Mortgage Capital Trust:

Series 2001-HE1 Class M1, 6.865% 1/25/32 (e)

191,123

191,263

Series 2002-HE2 Class M1, 6.37% 1/25/33 (e)

7,008,778

7,011,306

Series 2003-HE1 Class M1, 6.67% 8/25/33 (e)

1,907,142

1,908,214

Series 2003-HE3 Class M1, 6.02% 11/25/33 (e)

1,971,336

1,976,837

Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 5.5% 5/20/17 (a)(e)

4,056,771

4,046,795

Chase Credit Card Owner Trust Series 2003-6 Class C, 6.12% 2/15/11 (e)

16,400,000

16,571,378

Chase Issuance Trust:

Series 2004-C3 Class C3, 5.79% 6/15/12 (e)

3,650,000

3,666,611

Asset-Backed Securities - continued

Principal Amount

Value

Chase Issuance Trust: - continued

Series 2006-C3 Class C3, 5.55% 6/15/11 (e)

$ 28,945,000

$ 28,956,106

CIT Equipment Collateral Trust:

Series 2005-VT1 Class D, 4.51% 11/20/12

1,967,298

1,954,189

Series 2006-VT2:

Class A2, 5.19% 1/20/09

25,710,000

25,697,289

Class B, 5.24% 4/20/14

3,226,022

3,226,884

Class C, 5.29% 4/20/14

3,517,520

3,518,505

Class D, 5.46% 4/20/14

9,468,943

9,455,348

Citibank Credit Card Issuance Trust:

Series 2002-B1 Class B1, 5.6763% 6/25/09 (e)

9,010,000

9,016,915

Series 2003-C1 Class C1, 6.46% 4/7/10 (e)

17,785,000

17,955,930

Series 2006-C4 Class C4, 5.5391% 1/9/12 (e)

39,960,000

39,949,251

Series 2006-C6 Class C6, 5.65% 11/15/12 (e)

27,485,000

27,548,625

Citigroup Mortgage Loan Trust, Inc.:

Series 2003-HE4 Class A, 5.73% 12/25/33 (a)(e)

4,367,107

4,373,930

Series 2006-AMC1:

Class A2B, 5.48% 9/25/36 (e)

11,245,000

11,233,563

Class M7, 6.14% 9/25/36 (e)

4,445,000

4,288,811

Series 2006-NC2 Class A2B, 5.48% 9/25/36 (e)

27,500,000

27,463,263

Series 2006-WFH2 Class A2A, 5.47% 8/25/36 (e)

12,730,000

12,716,129

Series 2006-WFH3 Class M7, 5.47% 11/25/36 (e)

6,445,000

6,438,115

Series 2006-WFHE3, Class A3, 5.47% 10/25/36 (e)

16,085,000

16,063,967

Series 2007-AHL1 Class A2B, 5.46% 12/25/36 (e)

15,000,000

14,983,700

CNH Equipment Trust Series 2007-A Class A2, 5.09% 10/15/09

42,500,000

42,471,313

CNH Wholesale Master Note Trust:

Series 2005-1:

Class A, 5.43% 6/15/11 (e)

18,000,000

18,010,611

Class B, 5.72% 6/15/11 (e)

2,280,000

2,283,781

Series 2006-1A:

Class A, 5.38% 7/15/12 (a)(e)

9,000,000

9,002,961

Class B, 5.6% 7/15/12 (a)(e)

9,000,000

9,005,637

College Loan Corp. Trust I Series 2006-1 Class A7B, 5.37% 4/25/46 (a)(e)

28,405,000

28,407,841

Countrywide Home Loan Trust Series 2006-13N Class N, 7% 8/25/37 (a)

5,351,790

4,763,093

Countrywide Home Loans, Inc.:

Series 2002-6 Class AV1, 5.75% 5/25/33 (e)

587,364

587,395

Series 2003-BC1 Class M2, 6.8498% 9/25/32 (e)

2,258,332

2,260,395

Series 2003-SD3 Class A1, 5.74% 12/25/32 (a)(e)

60,894

61,021

Series 2004-14 Class M1, 5.83% 6/25/35 (e)

13,520,000

13,556,588

Asset-Backed Securities - continued

Principal Amount

Value

Countrywide Home Loans, Inc.: - continued

Series 2004-2 Class M1, 5.82% 5/25/34 (e)

$ 7,650,000

$ 7,664,859

Series 2004-3:

Class 3A4, 5.57% 8/25/34 (e)

91,760

91,857

Class M1, 5.82% 6/25/34 (e)

1,475,000

1,478,042

Class M4, 6.29% 4/25/34 (e)

4,000,000

4,008,016

Series 2004-4:

Class A, 5.69% 8/25/34 (e)

308,193

308,144

Class M2, 5.85% 6/25/34 (e)

6,885,000

6,898,700

Series 2005-1:

Class 1AV2, 5.52% 7/25/35 (e)

4,319,436

4,320,658

Class M1, 5.74% 8/25/35 (e)

3,525,000

3,520,878

Class MV1, 5.72% 7/25/35 (e)

3,135,000

3,131,880

Class MV2, 5.76% 7/25/35 (e)

3,765,000

3,763,142

Series 2005-AB1 Class A2, 5.53% 8/25/35 (e)

12,266,535

12,277,378

CPS Auto Receivables Trust:

Series 2004-D Class A2, 3.86% 12/15/11 (a)

4,060,379

4,001,378

Series 2006-B Class A2, 5.71% 6/15/16 (a)

4,843,626

4,850,437

Series 2006-C Class A2, 5.31% 3/15/10 (a)

16,954,964

16,959,659

Series 2006-D Class A2, 5.318% 8/15/10 (a)

19,389,997

19,389,997

Series 2007-A Class A1, 5.332% 3/17/08 (a)

14,505,000

14,505,000

Credit Suisse First Boston Mortgage Securities Corp. Series 2003-6 Class M3, 7.27% 2/25/34 (e)

1,655,000

1,659,448

Credit-Based Asset Backed Servicing and Securitization Mortgage Loan Certificates Series 2006-SC1 Class A, 5.59% 5/25/36 (a)(e)

8,443,267

8,445,246

DaimlerChrysler Auto Trust Series 2006-D Class A2, 5.19% 8/8/09

20,000,000

19,990,456

Discover Card Master Trust I:

Series 2003-4 Class B1, 5.65% 5/16/11 (e)

8,155,000

8,190,063

Series 2005-1 Class B, 5.47% 9/16/10 (e)

12,750,000

12,774,304

Series 2005-3 Class B, 5.51% 5/15/11 (e)

18,000,000

18,046,879

Series 2006-1 Class B1, 5.47% 8/16/11 (e)

14,629,000

14,648,190

Series 2006-2 Class B1, 5.44% 1/17/12 (e)

18,000,000

18,048,785

Series 2007-1 Class B, 5.42% 8/15/12 (e)

20,000,000

19,999,826

Drive Auto Receivables Trust Series 2006-1 Class A2, 5.49% 8/17/09 (a)

3,675,650

3,676,592

DriveTime Auto Owner Trust:

Series 2006-A Class A2, 5.422% 10/15/09 (a)

3,155,607

3,155,607

Series 2006-B Class A2, 5.32% 3/15/10 (a)

25,085,000

25,081,237

Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 6.0993% 5/28/35 (e)

267,638

268,098

Asset-Backed Securities - continued

Principal Amount

Value

Fieldstone Mortgage Investment Corp.:

Series 2004-3 Class M5, 6.77% 8/25/34 (e)

$ 2,000,000

$ 2,001,436

Series 2005-2 Class 2A1, 5.44% 12/25/35 (e)

2,619,041

2,619,158

Series 2006-3:

Class 2A3, 5.48% 11/25/36 (e)

50,960,000

50,867,192

Class M1, 5.58% 11/25/36 (e)

33,925,000

33,759,636

First Franklin Mortgage Loan Trust:

Series 2003-FFH1 Class M1, 6.02% 9/25/33 (e)

4,265,622

4,272,606

Series 2004-FF2:

Class M3, 5.87% 3/25/34 (e)

400,000

400,287

Class M4, 6.22% 3/25/34 (e)

300,000

300,459

Series 2004-FF8 Class M3, 6.27% 10/25/34 (e)

16,620,000

16,689,719

Series 2006-FF14:

Class A5, 5.48% 10/25/36 (e)

9,350,000

9,332,603

Class M1, 5.58% 10/25/36 (e)

8,319,000

8,285,071

Series 2006-FF15 Class M1, 5.56% 11/25/36 (e)

24,855,000

24,750,239

Series 2006-FF18 Class M1, 5.55% 12/25/37 (e)

13,887,000

13,821,669

Series 2006-FF6 Class M1, 5.61% 4/25/36 (e)

6,965,000

6,926,635

Series 2006-FF7 Class M1, 5.57% 5/25/36 (e)

7,000,000

6,973,285

Series 2007-FF1 Class M1, 5.55% 1/25/38 (e)

13,410,000

13,651,183

First Investors Auto Owner Trust Series 2006-A
Class A3, 4.93% 2/15/11 (a)

9,810,000

9,781,845

Ford Credit Auto Owner Trust Series 2006-C
Class A2A, 5.29% 12/15/09

51,330,000

51,353,355

Ford Credit Floorplan Master Owner Trust:

Series 2005-1:

Class A, 5.47% 5/15/10 (e)

14,365,000

14,368,104

Class B, 5.76% 5/15/10 (e)

8,020,000

8,037,700

Series 2006-3:

Class A, 5.5% 6/15/11 (e)

7,340,000

7,345,341

Class B, 5.77% 6/15/11 (e)

12,520,000

12,524,577

Series 2006-4 Class B, 5.87% 6/15/13 (e)

5,315,000

5,317,707

Franklin Auto Trust:

Series 2006-1 Class A2, 5.2% 10/20/09

17,650,000

17,642,548

Series 2007-1 Class A2, 5.14% 5/17/10 (b)

22,795,000

22,787,877

Fremont Home Loan Trust:

Series 2004-1:

Class M1, 5.77% 2/25/34 (e)

467,888

467,989

Class M2, 5.82% 2/25/34 (e)

800,000

800,444

Series 2004-B Class M1, 5.9% 5/25/34 (e)

1,695,000

1,699,942

Series 2005-A:

Class M1, 5.75% 1/25/35 (e)

1,603,000

1,604,965

Class M2, 5.78% 1/25/35 (e)

2,325,000

2,326,800

Asset-Backed Securities - continued

Principal Amount

Value

Fremont Home Loan Trust: - continued

Series 2005-A:

Class M3, 5.81% 1/25/35 (e)

$ 1,250,000

$ 1,252,631

Class M4, 6% 1/25/35 (e)

925,000

928,307

Series 2006-A:

Class M3, 5.7% 5/25/36 (e)

3,545,000

3,436,056

Class M4, 5.72% 5/25/36 (e)

5,315,000

4,968,562

Class M5, 5.82% 5/25/36 (e)

2,847,000

2,502,055

Series 2006-B Class M9, 7.22% 8/25/36 (e)

2,000,000

1,386,720

Series 2006-D Class M1, 5.55% 11/25/36 (e)

17,340,000

17,142,121

Series 2006-E Class M1, 5.58% 1/25/37 (e)

28,410,000

27,906,365

GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 5.76% 9/25/30 (a)(e)

16,200,000

16,150,363

GE Business Loan Trust Series 2003-1 Class A, 5.75% 4/15/31 (a)(e)

3,310,540

3,322,491

GE Capital Credit Card Master Note Trust:

Series 2005-2:

Class A, 5.33% 6/15/11 (e)

30,000,000

30,006,498

Class B, 5.52% 6/15/11 (e)

6,475,000

6,481,418

Series 2006-1:

Class B, 5.43% 9/17/12 (e)

5,535,000

5,540,123

Class C, 5.56% 9/17/12 (e)

4,305,000

4,307,972

Series 2007-1 Class C, 5.62% 3/15/13 (e)

32,645,000

32,644,804

GE Equipment Midticket LLC Series 2006-1 Class A2, 5.1% 5/15/09

21,950,000

21,919,830

GE-WMC Mortgage Securities, LLC Series 2006-1 Class A2B, 5.47% 8/25/36 (e)

20,000,000

19,977,128

Gracechurch Card Funding PLC:

Series 11 Class C, 5.6% 11/15/10 (e)

20,510,000

20,509,795

Series 8 Class C, 5.65% 6/15/10 (e)

18,450,000

18,449,816

Series 9:

Class B, 5.47% 9/15/10 (e)

3,560,000

3,559,964

Class C, 5.63% 9/15/10 (e)

13,000,000

12,999,870

Granite Master Issuer PLC Series 2006-1A Class A4, 5.36% 12/20/30 (a)(e)

2,992,863

2,992,953

GSAMP Trust:

Series 2002-HE Class M1, 7.195% 11/20/32 (e)

2,582,808

2,585,463

Series 2002-NC1 Class A2, 5.64% 7/25/32 (e)

54,777

55,403

Series 2003-FM1 Class M1, 6.55% 3/20/33 (e)

12,735,683

12,743,412

Series 2004-FM1:

Class M1, 5.97% 11/25/33 (e)

2,476,297

2,479,476

Class M2, 6.72% 11/25/33 (e)

1,554,753

1,558,516

Asset-Backed Securities - continued

Principal Amount

Value

GSAMP Trust: - continued

Series 2004-FM2:

Class M1, 5.82% 1/25/34 (e)

$ 3,495,567

$ 3,495,696

Class M2, 6.42% 1/25/34 (e)

406,369

406,463

Class M3, 6.62% 1/25/34 (e)

295,751

295,838

Series 2004-HE1:

Class M1, 5.87% 5/25/34 (e)

3,659,247

3,659,228

Class M2, 6.47% 5/25/34 (e)

1,750,000

1,757,601

Series 2005-9 Class 2A1, 5.44% 8/25/35 (e)

4,282,177

4,279,801

Series 2005-HE2 Class M, 5.75% 3/25/35 (e)

8,780,000

8,772,064

Series 2005-MTR1 Class A1, 5.46% 10/25/35 (e)

6,872,627

6,869,860

Series 2005-NC1 Class M1, 5.77% 2/25/35 (e)

9,010,000

9,002,613

Series 2006-FM1:

Class A2C, 5.48% 4/25/36 (e)

7,500,000

7,498,700

Class M1, 5.62% 4/25/36 (e)

9,646,000

9,594,087

Class M3, 5.67% 4/25/36 (e)

2,534,000

2,515,030

Class M5, 5.78% 4/25/36 (e)

3,500,000

3,454,432

Series 2006-FM2 Class M1, 5.58% 9/25/36 (e)

13,470,000

13,405,856

Series 2006-FM3 Class ABS, 5.52% 11/25/36 (e)

34,491,000

34,432,220

Series 2007-FM2 Class M1, 5.6% 1/25/37 (e)

27,745,000

27,444,799

Series 2007-HE1 Class M1, 5.57% 3/25/47 (e)

5,636,000

5,619,924

Guggenheim Structured Real Estate Funding Ltd.:

Series 2005-1 Class C, 6.4% 5/25/30 (a)(e)

12,046,388

11,980,133

Series 2006-3:

Class B, 5.72% 9/25/46 (a)(e)

4,250,000

4,240,650

Class C, 5.87% 9/25/46 (a)(e)

10,500,000

10,467,450

Holmes Master Issuer PLC Series 2006-1A:

Class 1B, 5.45% 7/15/40 (a)(e)

14,275,000

14,274,442

Class 1C, 5.6% 7/15/40 (a)(e)

8,080,000

8,079,684

Class 2A, 5.42% 7/15/21 (a)(e)

14,275,000

14,274,442

Class 2B, 5.48% 7/15/40 (a)(e)

10,280,000

10,279,598

Class 2C, 5.75% 7/15/40 (a)(e)

4,190,000

4,189,836

Class 2M, 5.55% 7/15/40 (a)(e)

8,570,000

8,569,665

Home Equity Asset Trust:

Series 2002-2 Class M1, 6.52% 6/25/32 (e)

8,400,668

8,405,542

Series 2002-3 Class A5, 6.2% 2/25/33 (e)

2,763

2,763

Series 2002-5 Class M1, 7.02% 5/25/33 (e)

11,435,329

11,445,776

Series 2003-1 Class M1, 6.82% 6/25/33 (e)

6,529,228

6,533,815

Series 2003-2 Class M1, 6.64% 8/25/33 (e)

1,861,177

1,862,386

Series 2003-3 Class M1, 6.18% 8/25/33 (e)

7,951,067

7,956,178

Series 2003-4 Class M1, 6.12% 10/25/33 (e)

1,940,553

1,941,250

Asset-Backed Securities - continued

Principal Amount

Value

Home Equity Asset Trust: - continued

Series 2003-5:

Class A2, 5.67% 12/25/33 (e)

$ 226,466

$ 226,679

Class M1, 6.02% 12/25/33 (e)

3,175,000

3,180,078

Class M2, 7.05% 12/25/33 (e)

2,628,288

2,638,359

Series 2003-7 Class A2, 5.7% 3/25/34 (e)

11,398

11,413

Series 2003-8 Class M1, 6.04% 4/25/34 (e)

3,389,558

3,396,513

Series 2004-1 Class M1, 5.95% 6/25/34 (e)

9,439,676

9,551,960

Series 2004-3:

Class M1, 5.89% 8/25/34 (e)

1,364,505

1,367,321

Class M2, 6.52% 8/25/34 (e)

2,200,000

2,213,788

Series 2004-4 Class A2, 5.64% 10/25/34 (e)

445,858

446,253

Series 2004-6 Class A2, 5.67% 12/25/34 (e)

946,967

947,913

Series 2004-7 Class A3, 5.71% 1/25/35 (e)

965,203

968,131

Series 2005-1:

Class M1, 5.75% 5/25/35 (e)

9,705,000

9,699,663

Class M2, 5.77% 5/25/35 (e)

5,780,000

5,775,532

Class M3, 5.82% 5/25/35 (e)

5,845,000

5,841,132

Series 2005-2:

Class 2A2, 5.52% 7/25/35 (e)

5,157,989

5,159,230

Class M1, 5.77% 7/25/35 (e)

10,085,000

10,087,773

Series 2005-3 Class M1, 5.73% 8/25/35 (e)

9,450,000

9,435,702

Series 2005-5 Class 2A2, 5.57% 11/25/35 (e)

15,000,000

15,026,388

Series 2006-7:

Class B1, 7.22% 1/25/37 (e)

3,450,000

2,584,630

Class M4, 5.7% 1/25/37 (e)

6,740,000

6,648,859

Class M7, 6.1% 1/25/37 (e)

3,450,000

3,324,038

Series 2006-8:

Class 2A3, 5.48% 3/25/37 (e)

16,280,000

16,250,349

Class M1, 5.56% 3/25/37 (e)

10,510,000

10,458,010

Household Home Equity Loan Trust Series 2004-1
Class M, 5.84% 9/20/33 (e)

1,096,563

1,099,093

HSBC Automotive Trust:

Series 2006-2 Class A2, 5.61% 6/17/09

10,891,404

10,901,509

Series 2006-3 Class A2, 5.38% 12/17/09

9,395,000

9,402,549

Series 2007-1 Class A2, 5.32% 5/17/10

17,795,000

17,815,838

HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 5.46% 6/15/12 (e)

15,473,000

15,487,313

HSBC Home Equity Loan Trust:

Series 2005-2:

Class M1, 5.78% 1/20/35 (e)

1,456,606

1,454,756

Class M2, 5.81% 1/20/35 (e)

1,090,760

1,088,003

Asset-Backed Securities - continued

Principal Amount

Value

HSBC Home Equity Loan Trust: - continued

Series 2005-3:

Class A1, 5.58% 1/20/35 (e)

$ 3,741,987

$ 3,740,352

Class M1, 5.74% 1/20/35 (e)

2,189,062

2,184,837

Series 2006-2:

Class M1, 5.59% 3/20/36 (e)

5,983,537

5,958,592

Class M2, 5.61% 3/20/36 (e)

9,895,697

9,829,914

Series 2006-3 Class A1V, 5.4% 3/20/36 (e)

25,671,718

25,668,575

HSI Asset Securitization Corp. Trust:

Series 2006-HE1:

Class 2A3, 5.48% 10/25/36 (e)

14,545,000

14,482,490

Class M1, 5.57% 10/25/36 (e)

14,815,000

14,750,918

Series 2006-HE2 Class M1, 5.56% 12/25/36 (e)

15,602,000

15,527,568

HSI Asset Securitization Trust Series 2007-HE1:

Class 2A3, 5.51% 1/25/37 (e)

8,515,000

8,498,566

Class M1, 5.62% 1/25/37 (e)

17,440,000

17,379,100

IXIS Real Estate Capital Trust Series 2005-HE1:

Class A1, 5.57% 6/25/35 (e)

529,552

529,621

Class M1, 5.79% 6/25/35 (e)

4,100,000

4,100,615

John Deere Owner Trust Series 2006-A Class A2, 5.41% 11/17/08

14,230,000

14,230,252

JP Morgan Auto Receivables Trust Series 2007-A
Class A2, 5.3% 12/15/09 (a)

28,560,000

28,583,776

JP Morgan Mortgage Acquisition Trust:

Series 2006-CH1:

Class A4, 5.46% 1/25/35 (e)

10,175,000

10,160,752

Class M1, 5.54% 5/25/36 (e)

4,742,000

4,719,523

Series 2006-HE3:

Class A4, 5.48% 11/25/36 (e)

17,520,000

17,501,394

Class M1, 5.57% 11/25/36 (e)

14,055,000

13,979,981

Series 2006-WMC4 Class A4, 5.47% 11/25/36 (e)

12,000,000

11,982,924

Series 2007-CH1:

Class AV4, 5.45% 11/25/36 (e)

8,550,000

8,521,871

Class MV1, 5.55% 11/25/36 (e)

6,945,000

6,923,332

Keycorp Student Loan Trust:

Series 1999-A Class A2, 5.6956% 12/27/09 (e)

10,266,435

10,293,465

Series 2006-A Class 2A1, 5.3713% 9/27/21 (e)

13,185,623

13,185,623

Long Beach Auto Receivables Trust:

Series 2006-B Class A2, 5.34% 11/15/09

14,755,000

14,758,563

Series 2007-A Class A1, 5.335% 4/15/08

29,125,000

29,125,000

Long Beach Mortgage Loan Trust:

Series 2003-2 Class M1, 6.14% 6/25/33 (e)

18,041,302

18,051,886

Series 2003-3 Class M1, 6.07% 7/25/33 (e)

7,711,118

7,728,525

Asset-Backed Securities - continued

Principal Amount

Value

Long Beach Mortgage Loan Trust: - continued

Series 2004-2:

Class M1, 5.85% 6/25/34 (e)

$ 4,275,000

$ 4,278,221

Class M2, 6.4% 6/25/34 (e)

1,400,000

1,408,777

Series 2006-6:

Class 2A3, 5.47% 7/25/36 (e)

12,915,000

12,851,595

Class M4, 5.68% 7/25/36 (e)

3,825,000

3,719,592

Class M5, 5.71% 7/25/36 (e)

2,390,000

2,245,967

Class M6, 5.77% 7/25/36 (e)

2,390,000

2,019,580

Class M7, 6.22% 7/25/36 (e)

4,000,000

3,159,008

Series 2006-9:

Class 2A3, 5.48% 11/25/36 (e)

20,110,000

20,049,274

Class M4, 5.69% 11/25/36 (e)

4,170,000

4,077,674

Class M5, 5.72% 11/25/36 (e)

8,052,000

7,817,498

Class M7, 6.12% 11/25/36 (e)

3,796,000

3,046,918

MASTR Asset Backed Securities Trust:

Series 2003-NC1 Class M2, 7.17% 4/25/33 (e)

818,516

820,578

Series 2006-AM3:

Class A3, 5.49% 10/25/36 (e)

13,660,000

13,630,897

Class M1, 5.58% 10/25/36 (e)

3,090,000

3,075,287

Series 2006-HE3 Class A2, 5.42% 8/25/36 (e)

19,310,000

19,266,495

Series 2006-NC2 Class M7, 6.07% 9/25/36 (e)

4,790,000

4,749,553

Series 2007-WMC1 Class A4, 5.48% 1/25/37 (e)

23,620,000

23,592,239

MBNA Credit Card Master Note Trust:

Series 2002-B2 Class B2, 5.7% 10/15/09 (e)

20,000,000

20,008,070

Series 2002-B4 Class B4, 5.82% 3/15/10 (e)

14,800,000

14,832,103

Series 2003-B1 Class B1, 5.76% 7/15/10 (e)

13,490,000

13,535,772

Series 2003-B2 Class B2, 5.71% 10/15/10 (e)

1,530,000

1,535,753

Series 2003-B3 Class B3, 5.695% 1/18/11 (e)

1,130,000

1,135,393

Series 2003-B5 Class B5, 5.69% 2/15/11 (e)

705,000

708,211

Series 2005-C1 Class C, 5.73% 10/15/12 (e)

42,495,000

42,816,177

Series 2005-C2 Class C, 5.67% 2/15/13 (e)

42,495,000

42,711,312

Series 2005-C3 Class C, 5.59% 3/15/11 (e)

22,170,000

22,216,444

MBNA Master Credit Card Trust II Series 1998-E Class B, 5.69% 9/15/10 (e)

7,800,000

7,822,211

Meritage Mortgage Loan Trust Series 2004-1:

Class M1, 5.82% 7/25/34 (e)

2,004,105

2,004,721

Class M2, 5.87% 7/25/34 (e)

375,000

375,133

Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-1:

Class A2C, 5.572% 4/25/37 (e)

16,935,000

16,935,000

Class M1, 5.702% 4/25/37 (e)

22,130,000

22,130,000

Asset-Backed Securities - continued

Principal Amount

Value

Merrill Lynch Mortgage Investment Trust Series 2006-HE3 Class A2, 5.41% 6/25/37 (e)

$ 7,500,000

$ 7,497,472

Merrill Lynch Mortgage Investors Trust Series 2007-HE1 Class M1, 5.72% 2/25/37 (e)

13,420,000

13,420,000

Merrill Lynch Mortgage Investors, Inc.:

Series 2003-HE1 Class M1, 6.02% 7/25/34 (e)

2,321,000

2,328,946

Series 2003-OPT1 Class M1, 5.97% 7/25/34 (e)

1,565,000

1,570,145

Series 2006-FM1 Class A2B, 5.43% 4/25/37 (e)

17,890,000

17,883,093

Series 2006-OPT1 Class A1A, 5.58% 6/25/35 (e)

18,245,955

18,289,895

Morgan Stanley ABS Capital I, Inc.:

Series 2003-NC7 Class M1, 6.02% 6/25/33 (e)

1,738,438

1,738,767

Series 2003-NC8 Class M1, 6.02% 9/25/33 (e)

2,349,846

2,352,711

Series 2004-HE6 Class A2, 5.66% 8/25/34 (e)

1,173,379

1,175,847

Series 2004-NC2 Class M1, 5.87% 12/25/33 (e)

2,406,103

2,412,384

Series 2004-NC6 Class A2, 5.66% 7/25/34 (e)

107,480

107,501

Series 2005-1 Class M2, 5.79% 12/25/34 (e)

4,425,000

4,432,397

Series 2005-HE1:

Class M1, 5.77% 12/25/34 (e)

1,100,000

1,101,036

Class M2, 5.79% 12/25/34 (e)

2,970,000

2,968,697

Series 2005-HE2:

Class M1, 5.72% 1/25/35 (e)

2,665,000

2,669,145

Class M2, 5.76% 1/25/35 (e)

1,900,000

1,898,392

Series 2005-NC1:

Class M1, 5.76% 1/25/35 (e)

2,425,000

2,423,543

Class M2, 5.79% 1/25/35 (e)

2,425,000

2,426,382

Class M3, 5.83% 1/25/35 (e)

2,425,000

2,422,682

Series 2005-NC2 Class B1, 6.49% 3/25/35 (e)

3,000,000

2,953,127

Series 2006-HE3:

Class B1, 6.22% 4/25/36 (e)

2,900,000

2,788,892

Class B3, 7.22% 4/25/36 (e)

6,450,000

6,114,443

Series 2006-HE4:

Class M1, 5.6% 6/25/36 (e)

3,560,000

3,537,935

Class M2:

5.62% 6/25/36 (e)

6,230,000

6,194,094

5.63% 6/25/36 (e)

4,450,000

4,397,214

Class M4, 5.67% 6/25/36 (e)

1,780,000

1,747,489

Series 2006-HE5:

Class AC2, 5.46% 8/25/36 (e)

8,510,000

8,500,528

Class B1, 6.29% 8/25/36 (e)

17,690,000

16,485,207

Class B3, 7.27% 8/25/36 (e)

4,085,000

3,141,355

Series 2006-NC4:

Class A2D, 5.56% 6/25/36 (e)

8,865,000

8,874,183

Class M2, 5.62% 6/25/36 (e)

3,000,000

2,982,128

Asset-Backed Securities - continued

Principal Amount

Value

Morgan Stanley ABS Capital I, Inc.: - continued

Series 2006-NC4:

Class M3, 5.63% 6/25/36 (e)

$ 1,000,000

$ 990,814

Class M4, 5.67% 6/25/36 (e)

2,000,000

1,971,553

Class M5, 5.69% 6/25/36 (e)

2,000,000

1,962,317

Class M6, 5.77% 6/25/36 (e)

1,000,000

989,492

Series 2006-NC5 Class A2C, 5.47% 10/25/36 (e)

7,965,000

7,950,313

Morgan Stanley Dean Witter Capital I Trust:

Series 2001-AM1 Class M1, 6.595% 2/25/32 (e)

636,400

636,701

Series 2001-NC4 Class M1, 6.82% 1/25/32 (e)

909,434

910,190

Series 2002-AM3 Class A3, 5.81% 2/25/33 (e)

705,709

706,134

Series 2002-HE1 Class M1, 6.22% 7/25/32 (e)

5,706,689

5,756,462

Series 2002-HE2 Class M1, 6.82% 8/25/32 (e)

8,110,200

8,113,126

Series 2002-NC3 Class A3, 6% 8/25/32 (e)

147,864

147,905

Series 2002-OP1 Class M1, 6.445% 9/25/32 (e)

3,092,554

3,094,187

Series 2003-NC1 Class M1, 6.895% 11/25/32 (e)

2,391,382

2,393,393

Morgan Stanley Home Equity Loans Trust Series 2006-3:

Class M1, 5.61% 4/25/36 (e)

4,000,000

3,977,454

Class M4, 5.7% 4/25/36 (e)

6,000,000

5,908,213

Class M5, 5.73% 4/25/36 (e)

2,000,000

1,959,458

National Collegiate Student Loan Trust:

Series 2006-3 Class A1, 5.35% 9/25/19 (e)

25,000,000

24,983,770

Series 2006-4 Class A1, 5.35% 3/25/25 (e)

17,590,843

17,590,843

Navistar Financial Dealer Note Master Trust Series 2005-1 Class A, 5.43% 2/25/13 (e)

18,350,000

18,304,962

New Century Home Equity Loan Trust:

Series 2003-6 Class M1, 6.04% 1/25/34 (e)

8,364,478

8,388,298

Series 2005-1:

Class M1, 5.77% 3/25/35 (e)

4,395,000

4,378,384

Class M2, 5.8% 3/25/35 (e)

4,395,000

4,361,885

Class M3, 5.84% 3/25/35 (e)

2,120,000

2,094,310

Series 2005-4 Class M2, 5.83% 9/25/35 (e)

9,815,000

9,780,977

Series 2005-D Class M2, 5.79% 2/25/36 (e)

2,045,000

1,985,094

Nissan Auto Lease Trust:

Series 2004-A Class A4A, 5.39% 6/15/10 (e)

4,724,540

4,725,844

Series 2005-A Class A4, 5.37% 8/15/11 (e)

17,595,000

17,599,270

Series 2006-A Class A2, 5.23% 6/15/09

40,325,000

40,312,003

Nomura Home Equity Loan Trust:

Series 2006-HE2 Class A2, 5.44% 3/25/36 (e)

7,500,000

7,498,415

Series 2006-HE3:

Class M7, 6.12% 7/25/36 (e)

4,553,000

4,394,748

Class M8, 6.27% 7/25/36 (e)

3,193,000

3,052,880

Class M9, 7.17% 7/25/36 (e)

4,611,000

4,397,634

Asset-Backed Securities - continued

Principal Amount

Value

Nomura Home Equity Loan Trust: - continued

Series 2007-2 Class 2A3, 5.51% 1/25/37 (e)

$ 11,553,000

$ 11,535,346

NovaStar Home Equity Loan Series 2004-1:

Class M1, 5.77% 6/25/34 (e)

1,450,000

1,458,544

Class M4, 6.295% 6/25/34 (e)

2,435,000

2,442,737

NovaStar Mortgage Funding Trust:

Series 2006-2 Class M1, 5.59% 6/25/36 (e)

9,100,000

9,056,872

Series 2007-1 Class A2C, 5.47% 3/25/37 (e)

13,845,000

13,812,548

Ocala Funding LLC:

Series 2005-1A Class A, 6.82% 3/20/10 (a)(e)

3,675,000

3,675,000

Series 2006-1A Class A, 6.72% 3/20/11 (a)(e)

8,090,000

8,090,000

Option One Mortgage Loan Trust Series 2004-3
Class M3, 5.97% 11/25/34 (e)

2,365,000

2,364,985

Ownit Mortgage Loan Asset-Backed Certificates:

Series 2005-3 Class A2A, 5.44% 6/25/36 (e)

3,382,334

3,382,722

Series 2005-4 Class A2A1, 5.44% 8/25/36 (e)

5,790,963

5,791,561

Ownit Mortgage Loan Trust:

Series 2006-5 Class AC2, 5.47% 7/25/37 (e)

5,000,000

4,994,481

Series 2006-7:

Class A2C, 5.48% 10/25/37 (e)

12,205,000

12,183,592

Class M1, 5.57% 10/25/37 (e)

5,960,000

5,933,766

Park Place Securities, Inc.:

Series 2004-WCW1:

Class M1, 5.95% 9/25/34 (e)

3,745,000

3,737,974

Class M2, 6% 9/25/34 (e)

1,755,000

1,761,323

Class M3, 6.57% 9/25/34 (e)

3,355,000

3,371,998

Class M4, 6.77% 9/25/34 (e)

4,700,000

4,743,130

Series 2004-WCW2:

Class A2, 5.7% 10/25/34 (e)

278,624

278,703

Class M3, 5.87% 7/25/35 (e)

2,755,000

2,757,417

Series 2004-WHQ2 Class M1, 5.91% 2/25/35 (e)

8,000,000

8,012,254

Series 2004-WWF1:

Class M2, 6% 2/25/35 (e)

11,060,000

11,106,912

Class M3, 6.06% 2/25/35 (e)

1,370,000

1,376,049

Series 2005-WCH1:

Class A3B, 5.54% 1/25/35 (e)

459,070

459,197

Class M2, 5.84% 1/25/35 (e)

4,175,000

4,179,372

Class M3, 5.88% 1/25/35 (e)

3,290,000

3,296,912

Class M4, 6.15% 1/25/35 (e)

5,750,000

5,757,661

Class M5, 6.2% 1/25/35 (e)

7,095,000

7,109,981

Series 2005-WHQ2:

Class M7, 6.57% 5/25/35 (e)

12,030,000

11,612,690

Class M9, 7.2% 5/25/35 (e)

3,475,000

2,780,000

Asset-Backed Securities - continued

Principal Amount

Value

PASA Funding Ltd. Series 2007-1A Class X, 5.6475% 4/7/17 (a)(e)

$ 13,275,000

$ 13,275,000

People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:

Class M4, 5.68% 9/25/36 (e)

10,020,000

9,897,145

Class M5, 5.71% 9/25/36 (e)

4,995,000

4,916,871

Pinnacle Capital Asset Trust Series 2006-A Class A2, 5.37% 1/26/09 (a)

19,045,000

19,043,684

Providian Master Note Trust:

Series 2005-2 Class C2, 5.82% 11/15/12 (a)(e)

21,450,000

21,500,408

Series 2006-C1A Class C1, 5.87% 3/16/15 (a)(e)

24,985,000

24,985,000

Residential Asset Mortgage Products, Inc.:

Series 2003-RS9:

Class MII1, 5.98% 10/25/33 (e)

3,695,405

3,702,808

Class MII2, 7.12% 10/25/33 (e)

1,622,000

1,631,989

Series 2004-RS10 Class MII2, 6.57% 10/25/34 (e)

5,500,000

5,539,488

Series 2005-SP2 Class 1A1, 5.47% 5/25/44 (e)

2,719,584

2,720,035

Series 2007-RZ1 Class A2, 5.48% 2/25/37 (e)

20,285,000

20,269,494

Residential Asset Securities Corp. Series 2006-EMX8 Class 1A2, 5.44% 10/25/36 (e)

12,545,000

12,537,607

Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 5.72% 4/25/33 (e)

35,133

35,157

Santander Drive Auto Receivables Trust Series 2007-1 Class A2, 5.2% 12/15/10 (b)

20,000,000

19,993,750

Saxon Asset Securities Trust:

Series 2004-1 Class M1, 5.85% 3/25/35 (e)

4,415,000

4,416,032

Series 2004-2 Class MV1, 5.9% 8/25/35 (e)

4,495,000

4,498,114

Series 2005-1 Class A2B, 5.54% 5/25/35 (e)

3,222,547

3,223,577

Series 2007-1 Class A2C, 5.47% 2/25/37 (e)

8,500,000

8,500,000

Securitized Asset Backed Receivables LLC Trust:

Series 2004-NC1 Class M1, 5.84% 2/25/34 (e)

2,878,804

2,882,746

Series 2006-NC1:

Class A2, 5.48% 3/25/36 (e)

10,000,000

9,996,358

Class M1, 5.62% 3/25/36 (e)

10,000,000

9,950,768

Series 2006-WM3 Class M1, 5.55% 10/25/36 (e)

9,510,000

9,465,207

Series 2006-WM4 Class M1, 5.56% 11/25/36 (e)

23,751,000

23,632,188

Series 2007-HE1 Class M1, 5.57% 12/25/36 (e)

15,657,000

15,573,949

Series 2007-NC2:

Class A2B, 5.46% 1/25/37 (e)

9,000,000

8,991,063

Class M1, 5.55% 1/25/37 (e)

6,590,000

6,594,765

SG Mortgage Securities Trust Series 2006-OPT2
Class M1, 5.56% 10/25/36 (e)

10,905,000

10,840,146

Asset-Backed Securities - continued

Principal Amount

Value

SLM Student Loan Trust Series 2006-10 Class A2, 5.37% 10/25/17 (e)

$ 36,660,000

$ 36,674,015

Soundview Home Equity Loan Trust:

Series 2006-EQ2 Class M1, 5.55% 1/25/37 (e)

14,835,000

14,761,684

Series 2006-NLC1 Class M1, 5.57% 11/25/36 (a)(e)

7,085,000

7,076,144

Sovereign Dealer Floor Plan Master LLC Series 2006-1:

Class B, 5.5% 8/15/11 (a)(e)

10,755,000

10,752,526

Class C, 5.7% 8/15/11 (a)(e)

4,905,000

4,903,872

Specialty Underwriting & Residential Finance Trust:

Series 2003-BC3 Class M2, 6.92% 8/25/34 (e)

3,640,000

3,664,328

Series 2003-BC4 Class M1, 5.92% 11/25/34 (e)

1,810,000

1,815,187

Series 2006-BC5 Class M1, 5.56% 11/25/37 (e)

3,335,000

3,318,065

Series 2007-BC1 Class M1, 5.57% 1/25/38 (e)

10,850,000

10,850,000

Structured Asset Corp. Trust Series 2006-BC6:

Class A4, 5.49% 1/25/37 (e)

19,340,000

19,297,868

Class M1, 5.59% 1/25/37 (e)

18,820,000

18,718,396

Structured Asset Investment Loan Trust:

Series 2003-BC9 Class M1, 6.02% 8/25/33 (e)

9,005,000

9,016,558

Series 2004-8 Class M5, 6.47% 9/25/34 (e)

2,395,000

2,408,945

Series 2005-1 Class M4, 6.08% 2/25/35 (a)(e)

3,990,000

4,011,198

Structured Asset Securities Corp.:

Series 2004-GEL1 Class A, 5.68% 2/25/34 (e)

331,489

332,759

Series 2005-5N Class 3A1A, 5.62% 11/25/35 (e)

10,447,000

10,453,149

Series 2006-BC3:

Class M1, 5.57% 10/25/36 (e)

19,402,000

19,317,270

Class M7, 6.12% 10/25/36 (e)

10,000,000

9,250,000

Series 2006-OPT1:

Class M1, 5.62% 4/25/36 (e)

5,000,000

4,974,709

Class M2, 5.66% 4/25/36 (e)

4,000,000

3,957,446

Class M3, 5.72% 4/25/36 (e)

6,027,000

5,942,573

Series 2007-BC1 Class M1, 5.55% 2/25/37 (e)

52,512,000

52,294,007

Superior Wholesale Inventory Financing Trust:

Series 2004-A10 Class B, 5.6% 9/15/11 (e)

27,050,000

27,100,194

Series 2007-AE1:

Class A, 5.42% 1/15/12 (e)

6,730,000

6,737,098

Class B, 5.62% 1/15/12 (e)

5,605,000

5,605,000

Class C, 5.92% 1/15/12 (e)

3,645,000

3,645,000

Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.77% 3/15/11 (a)(e)

10,835,000

10,835,000

Asset-Backed Securities - continued

Principal Amount

Value

Superior Wholesale Inventory Financing Trust XII Series 2005-A12:

Class A, 5.5% 6/15/10 (e)

$ 18,990,000

$ 19,046,444

Class C, 6.52% 6/15/10 (e)

16,310,000

16,453,769

Terwin Mortgage Trust:

Series 2003-4HE Class A1, 5.75% 9/25/34 (e)

198,204

198,869

Series 2003-6HE Class A1, 5.79% 11/25/33 (e)

250,816

251,786

Series 2005-14HE Class AF1, 5.46% 8/25/36 (e)

1,771,388

1,771,507

Series 2006-9HGA Class A1, 5.4% 10/25/37 (e)

12,191,987

12,189,793

Thornburg Mortgage Securities Trust Series 2006-6 Class A1, 5.43% 12/25/36 (e)

39,732,610

39,703,049

Triad Auto Receivables Owner Trust:

Series 2006-B Class A2, 5.36% 11/12/09

12,489,366

12,490,008

Series 2006-C Class A2, 5.4% 1/12/10

20,620,000

20,630,050

Turquoise Card Backed Securities PLC:

Series 2006-1A Class C, 5.65% 5/16/11 (a)(e)

17,300,000

17,291,886

Series 2006-2:

Class B, 5.47% 10/17/11 (e)

23,555,000

23,555,000

Class C, 5.67% 10/17/11 (e)

22,130,000

22,130,000

UPFC Auto Receivables Trust Series 2006-A Class A2, 5.46% 6/15/09

3,910,499

3,912,341

Wachovia Auto Loan Owner Trust Series 2006-1
Class A2, 5.28% 4/20/10 (a)

24,585,000

24,583,525

WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (a)

7,754,618

7,638,299

WaMu Asset-Backed Certificates Series 2006-HE5 Class M1, 5.57% 10/25/36 (e)

16,630,000

16,550,440

WaMu Master Note Trust:

Series 2006-A3A Class A3, 5.35% 9/16/13 (a)(e)

34,760,000

34,760,000

Series 2006-C2A Class C2, 5.82% 8/15/15 (a)(e)

14,460,000

14,525,519

Series 2006-C3A Class C3A, 5.7% 10/15/13 (a)(e)

33,700,000

33,721,063

Washington Mutual Asset-Backed Certificates
Series 2006-HE3:

Class M4, 5.7% 10/25/36 (e)

3,542,000

3,493,681

Class M7, 6.12% 10/25/36 (e)

2,564,000

2,469,974

Wells Fargo Home Equity Trust Series 2004-3 Class A, 4.5% 11/27/34 (a)

44,512

6,187

WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12

1,248,987

1,233,656

Whinstone Capital Management Ltd. Series 1A
Class B3, 6.2769% 10/25/44 (a)(e)

21,136,433

21,136,433

TOTAL ASSET-BACKED SECURITIES

(Cost $5,247,273,501)

5,225,740,986

Collateralized Mortgage Obligations - 18.7%

Principal Amount

Value

Private Sponsor - 14.3%

ACE Securities Corp. Home Equity Loan Trust floater Series 2007-WM1:

Class A2C, 5.49% 11/25/36 (e)

$ 9,016,000

$ 8,999,237

Class M1, 5.57% 11/25/36 (e)

8,781,000

8,736,534

American Home Mortgage Assets Trust floater Series 2006-1 Class 2A1, 5.51% 5/25/46 (e)

9,407,262

9,392,899

American Home Mortgage Investment Trust floater Series 2005-4 Class 1A1, 5.61% 3/25/35 (e)

10,095,377

10,131,715

Argent Securities, Inc. floater Series 2006-W5:

Class M1, 5.61% 6/25/36 (e)

3,000,000

2,960,126

Class M2, 5.63% 6/25/36 (e)

4,000,000

3,960,438

Class M3, 5.65% 6/25/36 (e)

2,000,000

1,963,539

Class M4, 5.69% 6/25/36 (e)

2,000,000

1,911,065

Class M6, 5.8% 6/25/36 (e)

3,000,000

2,581,529

Arkle Master Issuer PLC floater:

Series 2006-1A:

Class 1C, 5.61% 2/17/52 (a)(e)

6,275,000

6,274,755

Class 3C, 5.75% 2/17/52 (a)(e)

3,835,000

3,834,850

Series 2006-2A:

Class 1B, 5.44% 2/17/52 (a)(e)

5,185,000

5,184,797

Class 1C, 5.6% 2/17/52 (a)(e)

6,225,000

6,224,757

Class 1M, 5.51% 2/17/52 (a)(e)

2,590,000

2,589,899

Class 2B, 5.48% 2/17/52 (a)(e)

16,205,000

16,204,366

Class 2C, 5.74% 2/17/52 (a)(e)

19,805,000

19,804,226

Class 2M, 5.56% 2/17/52 (a)(e)

11,020,000

11,019,569

Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 5.36% 4/12/56 (a)(e)

11,365,000

11,366,279

Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0924% 8/25/35 (e)

12,512,801

12,608,709

Bear Stearns Alt-A Trust floater:

Series 2005-1 Class A1, 5.6% 1/25/35 (e)

11,916,790

11,945,429

Series 2005-2 Class 1A1, 5.57% 3/25/35 (e)

7,100,625

7,111,381

Series 2005-5 Class 1A1, 5.54% 7/25/35 (e)

8,937,277

8,938,008

Countrywide Alternative Loan Trust:

floater Series 2006-OA16 Class A1A, 5.39% 9/25/46 (e)

12,046,778

12,048,502

planned amortization class Series 2003-5T2 Class A2, 3.5% 5/25/33 (e)

1,953,870

1,955,730

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:

Series 2004-2 Class 7A3, 5.72% 2/25/35 (e)

2,342,415

2,354,353

Series 2004-4 Class 5A2, 5.72% 3/25/35 (e)

825,467

828,005

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: - continued

Series 2005-1 Class 5A2, 5.65% 5/25/35 (e)

$ 1,754,828

$ 1,757,692

Series 2005-10:

Class 5A1, 5.58% 1/25/36 (e)

8,191,769

8,208,391

Class 5A2, 5.64% 1/25/36 (e)

3,686,296

3,695,533

Series 2005-2:

Class 6A2, 5.6% 6/25/35 (e)

697,845

698,889

Class 6M2, 5.8% 6/25/35 (e)

10,145,000

10,188,434

Series 2005-3 Class 8A2, 5.56% 7/25/35 (e)

6,504,426

6,517,913

Series 2005-4 Class 7A2, 5.55% 8/25/35 (e)

3,002,036

3,016,299

Series 2005-8 Class 7A2, 5.6% 11/25/35 (e)

5,315,034

5,330,750

Credit Suisse First Boston Mortgage Securities Corp. floater:

Series 2004-AR2 Class 6A1, 5.72% 3/25/34 (e)

536,474

537,064

Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (e)

282,834

282,827

Series 2004-AR4 Class 5A2, 5.69% 5/25/34 (e)

375,965

376,228

Series 2004-AR5 Class 11A2, 5.69% 6/25/34 (e)

703,284

704,344

Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (e)

938,469

940,433

Series 2004-AR7 Class 6A2, 5.7% 8/25/34 (e)

1,426,241

1,430,297

Series 2004-AR8 Class 8A2, 5.7% 9/25/34 (e)

724,157

725,110

CWALT, Inc. floater Series 2005-56 Class 3A1, 5.61% 11/25/35 (e)

3,292,713

3,297,748

Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 5.48% 3/25/37 (e)

23,625,000

23,625,000

DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 5.41% 9/19/36 (e)

13,603,432

13,606,910

First Franklin Mortgage Loan Trust floater Series 2006-FF13:

Class M7, 6.07% 10/25/36 (e)

11,342,000

9,610,530

Class M8, 6.27% 10/25/36 (e)

4,935,000

4,211,233

First Horizon Mortgage pass thru Trust floater Series 2004-FL1 Class 2A1, 5.67% 12/25/34 (e)

714,628

715,429

Fosse Master Issuer PLC floater:

Series 2006-1 Class B2, 5.53% 10/18/54 (a)(e)

19,660,000

19,659,231

Series 2006-1A:

Class A1, 5.35% 10/18/31 (a)(e)

11,140,000

11,140,000

Class B1, 5.46% 10/18/54 (a)(e)

8,520,000

8,519,667

Class C2, 5.84% 10/18/54 (a)(e)

6,590,000

6,589,742

Class M1, 5.54% 10/18/54 (a)(e)

4,915,000

4,914,808

Class M2, 5.62% 10/18/54 (a)(e)

11,300,000

11,299,558

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Gracechurch Mortgage Financing PLC:

floater Series 2006-1 Class D2, 5.83% 11/20/56 (a)(e)

$ 32,075,000

$ 32,073,717

Series 2006-1 Class A4, 5.41% 11/20/56 (a)(e)

53,320,000

53,252,284

Gracechurch Mortgage Funding PLC floater Series 1A:

Class A2B, 5.43% 10/11/41 (a)(e)

31,128,907

31,128,596

Class CB, 5.64% 10/11/41 (a)(e)

2,100,000

2,099,979

Class DB, 5.83% 10/11/41 (a)(e)

8,485,000

8,484,915

Granite Master Issuer PLC floater:

Series 2005-1:

Class A3, 5.43% 12/21/24 (e)

36,828,750

36,845,544

Class A4, 5.45% 12/20/54 (e)

68,495,000

68,587,194

Series 2005-2 Class C1, 5.86% 12/20/54 (e)

40,500,000

40,550,625

Series 2005-4:

Class A3, 5.43% 12/20/54 (e)

37,915,000

37,923,720

Class C1, 5.79% 12/20/54 (e)

12,100,000

12,100,945

Class M2, 5.64% 12/20/54 (e)

18,320,000

18,334,894

Series 2006-1A:

Class A5, 5.43% 12/20/54 (a)(e)

9,000,000

9,002,813

Class C2, 5.96% 12/20/54 (a)(e)

31,070,000

31,068,757

Series 2006-2 Class C1, 5.83% 12/20/54 (e)

14,715,000

14,700,629

Series 2006-3 Class C2, 5.86% 12/20/54 (e)

11,600,000

11,599,546

Series 2006-4:

Class B1, 5.44% 12/20/54 (e)

20,680,000

20,679,380

Class C1, 5.73% 12/20/54 (e)

12,645,000

12,644,621

Class M1, 5.52% 12/20/54 (e)

5,445,000

5,444,837

Series 2007-1:

Class 1C1, 5.65% 12/20/54 (e)

11,060,000

11,041,423

Class 1M1, 5.5% 12/20/54 (e)

8,310,000

8,302,858

Class 2B1, 5.47% 12/20/54 (e)

8,860,000

8,837,850

Class 2C1, 5.78% 12/20/54 (e)

4,915,000

4,910,584

Class 2M1, 5.6% 12/20/54 (e)

10,670,000

10,672,917

Granite Mortgages PLC floater:

Series 2003-1 Class 1C, 6.81% 1/20/43 (e)

9,785,000

9,906,491

Series 2003-3 Class 1C, 6.81% 1/20/44 (e)

4,590,000

4,652,098

Series 2004-3 Class 2A1, 5.49% 9/20/44 (e)

11,604,827

11,626,795

GSAMP Trust floater Series 2006-HE3 Class M2, 5.62% 5/25/36 (e)

10,800,000

10,713,246

Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 5.54% 5/19/35 (e)

5,104,281

5,110,661

Holmes Financing No. 10 PLC floater Series 10A:

Class 1C, 5.63% 7/15/40 (a)(e)

3,745,000

3,744,925

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Holmes Financing No. 10 PLC floater Series 10A: - continued

Class 2A, 5.39% 7/15/40 (a)(e)

$ 9,360,000

$ 9,365,073

Class 2C, 5.71% 7/15/40 (a)(e)

8,735,000

8,734,825

Holmes Financing No. 9 PLC floater Class 2A, 5.42% 7/15/13 (e)

47,220,000

47,233,222

Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 5.77% 10/25/34 (e)

1,573,035

1,578,979

HSI Asset Securitization Corp. Trust floater:

Series 2006-WMC1:

Class A3, 5.47% 7/25/36 (e)

12,725,000

12,711,449

Class M-3, 5.64% 7/25/36 (e)

8,892,000

8,814,095

Series 2007-OPT1 Class M1, 5.55% 12/25/36 (e)

10,960,000

10,900,921

Impac CMB Trust floater:

Series 2004-11 Class 2A2, 5.69% 3/25/35 (e)

3,063,994

3,066,966

Series 2004-6 Class 1A2, 5.71% 10/25/34 (e)

1,154,358

1,155,378

Series 2005-1:

Class M1, 5.78% 4/25/35 (e)

1,397,944

1,399,431

Class M2, 5.82% 4/25/35 (e)

2,447,387

2,449,846

Class M3, 5.85% 4/25/35 (e)

600,524

601,590

Class M4, 6.07% 4/25/35 (e)

354,408

353,273

Class M5, 6.09% 4/25/35 (e)

354,408

353,092

Class M6, 6.14% 4/25/35 (e)

567,050

563,682

Series 2005-2 Class 1A2, 5.63% 4/25/35 (e)

8,738,943

8,753,012

Series 2005-3 Class A1, 5.56% 8/25/35 (e)

7,237,711

7,245,454

Series 2005-4 Class 1B1, 6.62% 5/25/35 (e)

2,534,497

2,535,685

Series 2005-6 Class 1M3, 5.93% 10/25/35 (e)

2,142,737

2,152,815

Series 2005-7:

Class M1, 5.8% 11/25/35 (e)

1,204,334

1,206,032

Class M2, 5.84% 11/25/35 (e)

904,104

907,379

Class M3, 5.94% 11/25/35 (e)

4,513,695

4,457,388

Class M4, 5.98% 11/25/35 (e)

2,162,343

2,132,844

JP Morgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9516% 11/25/35 (e)

2,155,000

2,166,662

Kildare Securities Ltd. Series 2007-1 Class A2, 5.4232% 12/10/43 (a)(e)

14,660,000

14,660,000

Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (a)(e)

5,245,595

5,262,247

Lehman XS Trust floater:

Series 2006-12N Class A1A1, 5.4% 8/25/46 (e)

20,790,685

20,792,365

Series 2006-GP1 Class A1, 5.41% 5/25/46 (e)

12,904,859

12,897,979

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 5.59% 3/25/35 (e)

$ 1,451,957

$ 1,452,456

Merrill Lynch Floating Trust floater Series 2006-1:

Class B, 5.49% 6/15/22 (a)(e)

1,350,000

1,349,992

Class C, 5.51% 6/15/22 (a)(e)

8,760,000

8,750,095

Class D, 5.52% 6/15/22 (a)(e)

3,370,000

3,369,979

Class E, 5.53% 6/15/22 (a)(e)

5,390,000

5,389,963

Class F, 5.56% 6/15/22 (a)(e)

9,720,000

9,719,932

Class G, 5.63% 6/15/22 (a)(e)

2,020,000

2,019,985

Class H, 5.65% 6/15/22 (a)(e)

4,045,000

4,044,970

Class J, 5.69% 6/15/22 (a)(e)

4,720,000

4,714,786

Class TM, 5.82% 6/15/22 (a)(e)

46,210,000

46,534,293

Merrill Lynch Mortgage Investors Trust floater Series 2006-MLN1 Class M4, 5.68% 7/25/37 (e)

9,575,000

9,437,684

Merrill Lynch Mortgage Investors, Inc. floater:

Series 2003-A Class 2A1, 5.71% 3/25/28 (e)

2,772,258

2,782,921

Series 2003-B Class A1, 5.66% 4/25/28 (e)

2,917,318

2,925,941

Series 2003-D Class A, 5.63% 8/25/28 (e)

2,627,291

2,631,024

Series 2003-E Class A2, 5.7181% 10/25/28 (e)

4,500,182

4,506,763

Series 2003-F Class A2, 5.6538% 10/25/28 (e)

3,766,524

3,771,675

Series 2004-A Class A2, 5.5638% 4/25/29 (e)

3,662,382

3,661,313

Series 2004-B Class A2, 5.6388% 6/25/29 (e)

4,213,040

4,215,404

Series 2004-C Class A2, 5.67% 7/25/29 (e)

3,714,858

3,719,156

Series 2004-D Class A2, 5.6738% 9/25/29 (e)

3,116,645

3,119,983

Series 2004-E:

Class A2B, 5.6738% 11/25/29 (e)

2,553,934

2,559,386

Class A2D, 5.8638% 11/25/29 (e)

593,938

596,354

Series 2004-G Class A2, 5.67% 11/25/29 (e)

1,131,317

1,131,844

Series 2005-A Class A2, 5.6381% 2/25/30 (e)

2,671,085

2,673,929

MortgageIT Trust floater:

Series 2004-2:

Class A1, 5.69% 12/25/34 (e)

3,152,557

3,155,688

Class A2, 5.77% 12/25/34 (e)

4,264,890

4,298,438

Series 2005-2 Class 1A1, 5.58% 5/25/35 (e)

3,234,436

3,232,628

Nomura Home Equity Loan, Inc. floater Series 2006-FM2:

Class M1, 5.61% 7/25/36 (e)

21,055,000

20,919,157

Class M7, 6.12% 7/25/36 (e)

5,710,000

5,505,516

Opteum Mortgage Acceptance Corp. floater:

Series 2005-3 Class APT, 5.61% 7/25/35 (e)

11,770,589

11,798,274

Series 2005-5 Class 1A1B, 5.52% 12/25/35 (e)

7,595,000

7,593,409

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 5.62% 3/25/37 (e)

$ 16,810,000

$ 16,816,240

Permanent Financing No. 3 PLC floater Series 2006-3 Class 3A, 5.52% 9/10/33 (e)

48,844,000

48,941,346

Permanent Financing No. 5 PLC floater:

Series 2:

Class A, 5.45% 6/10/11 (e)

11,852,500

11,853,685

Class C, 5.99% 6/10/42 (e)

4,215,000

4,223,028

Series 3 Class C, 6.16% 6/10/42 (e)

10,700,000

10,801,973

Permanent Financing No. 6 PLC floater Series 6
Class 2C, 5.79% 6/10/42 (e)

5,350,000

5,357,105

Permanent Financing No. 7 PLC floater Series 7
Class 2C, 5.67% 6/10/42 (e)

17,090,000

17,090,513

Permanent Financing No. 8 PLC floater:

Series 3C, 5.86% 6/10/42 (e)

14,115,000

14,151,191

Series 8:

Class 2A, 5.41% 6/10/14 (e)

50,005,000

50,031,753

Class 2C, 5.74% 6/10/42 (e)

25,555,000

25,568,595

Permanent Financing No. 9 PLC floater:

Series 2006-9A Class 3A, 5.44% 6/10/33 (a)(e)

42,330,000

42,425,031

Series 9A:

Class 2C, 5.72% 6/10/42 (a)(e)

5,665,000

5,664,671

Class 3C, 5.84% 6/10/42 (a)(e)

4,880,000

4,879,712

Permanent Master Issuer PLC floater:

Series 2006-1:

Class 1C, 5.56% 7/17/42 (e)

6,835,000

6,835,000

Class 2C, 5.76% 7/17/42 (e)

25,200,000

25,199,015

Series 2007-1 Class 4A, 5.4121% 10/15/33 (e)

58,330,000

58,328,833

Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 5.42% 9/25/46 (e)

24,274,172

24,266,587

Residential Asset Mortgage Products, Inc.:

sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31

2,634,969

2,668,196

Series 2005-AR5 Class 1A1, 4.8384% 9/19/35 (e)

3,470,090

3,495,006

Residential Funding Securities Corp. Series 2003-RP2 Class A1, 5.77% 6/25/33 (a)(e)

1,707,943

1,716,683

ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 5.42% 2/25/36 (a)(e)

5,118,460

5,118,201

Sequoia Mortgage Trust floater:

Series 2003-5 Class A2, 5.72% 9/20/33 (e)

5,847,420

5,848,231

Series 2004-1 Class A, 5.6906% 2/20/34 (e)

1,806,757

1,806,752

Series 2004-10 Class A4, 5.7469% 11/20/34 (e)

3,034,198

3,043,048

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

Sequoia Mortgage Trust floater: - continued

Series 2004-12 Class 1A2, 5.66% 1/20/35 (e)

$ 1,193,479

$ 1,196,591

Series 2004-3 Class A, 5.57% 5/20/34 (e)

2,728,267

2,728,987

Series 2004-4 Class A, 5.7288% 5/20/34 (e)

5,385,335

5,385,322

Series 2004-5 Class A3, 5.65% 6/20/34 (e)

4,311,786

4,312,538

Series 2004-6:

Class A3A, 5.6675% 6/20/35 (e)

3,598,507

3,604,828

Class A3B, 5.81% 7/20/34 (e)

294,638

295,359

Series 2004-7:

Class A3A, 5.71% 8/20/34 (e)

3,271,242

3,275,522

Class A3B, 5.935% 7/20/34 (e)

403,058

404,386

Series 2004-8 Class A2, 5.755% 9/20/34 (e)

3,824,124

3,830,689

Series 2005-1 Class A2, 5.6406% 2/20/35 (e)

3,638,393

3,650,064

Series 2005-2 Class A2, 5.6406% 3/20/35 (e)

4,070,921

4,079,084

Series 2005-3 Class A1, 5.52% 5/20/35 (e)

3,023,340

3,025,937

Soundview Home Equity Loan Trust floater Series 2006-EQ1:

Class M2, 5.64% 9/25/36 (e)

6,015,000

6,007,481

Class M4, 5.69% 9/25/36 (e)

9,030,000

8,905,246

Class M7, 6.12% 9/25/36 (e)

3,090,000

2,989,575

Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.63% 7/25/35 (e)

4,915,471

4,933,374

Structured Asset Securities Corp. floater:

Series 2004-NP1 Class A, 5.72% 9/25/33 (a)(e)

1,038,088

1,038,637

Series 2006-BC5 Class M1, 5.56% 12/25/36 (e)

30,560,000

30,398,827

Series 2007-GEL1 Class A2, 5.51% 1/25/37 (a)(e)

9,000,000

8,955,000

Series MLN1 Class M1, 5.67% 1/25/37 (a)(e)

6,730,000

6,730,000

TBW Mortgage-Backed pass thru certificates Series 2006-4 Class A3, 5.34% 9/25/36 (e)

21,260,000

21,230,887

Thornburg Mortgage Securities Trust floater:

Series 2004-3 Class A, 5.69% 9/25/34 (e)

13,012,757

13,052,182

Series 2005-3 Class A4, 5.59% 10/25/35 (e)

15,450,340

15,435,500

Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1892% 10/20/35 (e)

1,720,000

1,726,834

WaMu Mortgage pass thru certificates:

floater:

Series 2005-AR17 Class A1C1, 5.51% 12/25/45 (e)

771,153

771,257

Series 2005-AR6 Class 2A-1A, 5.55% 4/25/45 (e)

2,632,083

2,637,724

Series 2006-AR7 Class C1B1, 5.38% 7/25/46 (e)

7,949,172

7,944,457

Series 2006-AR11 Class C1B1, 5.4% 9/25/46 (e)

11,860,025

11,866,250

Collateralized Mortgage Obligations - continued

Principal Amount

Value

Private Sponsor - continued

WaMu Mortgage pass thru certificates: - continued

Series 2006-AR5 Class A1B1, 5.4% 6/25/46 (e)

$ 9,315,557

$ 9,321,715

WaMu Mortgage Securities Corp. Series 2006-AR4 Class 1AC1, 5.42% 5/25/46 (e)

1,807,039

1,807,198

Wells Fargo Mortgage Backed Securities Trust:

Series 2004-M Class A3, 4.6685% 8/25/34 (e)

4,492,211

4,470,356

Series 2005-AR12 Class 2A1, 4.32% 7/25/35 (e)

14,879,682

14,674,294

TOTAL PRIVATE SPONSOR

1,881,424,719

U.S. Government Agency - 4.4%

Fannie Mae:

floater:

Series 2000-38 Class F, 5.82% 11/18/30 (e)

598,931

603,984

Series 2000-40 Class FA, 5.82% 7/25/30 (e)

1,426,464

1,438,654

Series 2002-89 Class F, 5.62% 1/25/33 (e)

2,102,251

2,113,158

planned amortization class Series 2003-24 Class PB, 4.5% 12/25/12 (d)

7,686,835

7,648,463

target amortization class Series G94-2 Class D, 6.45% 1/25/24

2,660,770

2,713,178

Fannie Mae Grantor Trust floater Series 2005-90
Class FG, 5.57% 10/25/35 (e)

43,587,127

43,642,822

Fannie Mae subordinate REMIC pass-thru certificates:

floater:

Series 2001-34 Class FR, 5.72% 8/18/31 (e)

1,590,170

1,599,797

Series 2001-38 Class QF, 6.3% 8/25/31 (e)

6,140,131

6,288,220

Series 2001-44 Class FB, 5.62% 9/25/31 (e)

1,362,740

1,368,567

Series 2001-46 Class F, 5.72% 9/18/31 (e)

3,924,693

3,949,787

Series 2002-11 Class QF, 5.82% 3/25/32 (e)

2,812,583

2,839,661

Series 2002-36 Class FT, 5.82% 6/25/32 (e)

943,292

950,758

Series 2002-64 Class FE, 5.67% 10/18/32 (e)

1,264,600

1,271,702

Series 2002-65 Class FA, 5.62% 10/25/17 (e)

630,463

631,403

Series 2002-74 Class FV, 5.77% 11/25/32 (e)

5,248,326

5,283,367

Series 2002-77 Class FY, 5.72% 12/25/17 (e)

17,540,519

17,650,349

Series 2003-11:

Class DF, 5.77% 2/25/33 (e)

1,794,676

1,805,464

Class EF, 5.77% 2/25/33 (e)

1,011,934

1,018,403

Series 2003-119 Class FK, 5.82% 5/25/18 (e)

2,500,000

2,536,886

Series 2003-131 Class FM, 5.72% 12/25/29 (e)

2,295,246

2,307,129

Series 2003-63 Class F1, 5.62% 11/25/27 (e)

3,709,484

3,723,714

Series 2005-45 Class XA, 5.66% 6/25/35 (e)

59,729,380

59,879,582

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Fannie Mae subordinate REMIC pass-thru certificates: - continued

floater:

Series 2005-72 Class FG, 5.57% 5/25/35 (e)

$ 45,319,271

$ 45,367,070

Series 2002-17 Class JF, 6.32% 4/25/32 (e)

6,236,196

6,418,005

Freddie Mac floater:

Series 2344 Class FP, 6.27% 8/15/31 (e)

4,425,429

4,531,037

Series 2510 Class FE, 5.72% 10/15/32 (e)

4,068,835

4,095,096

Series 3028 Class FM, 5.57% 9/15/35 (e)

23,277,111

23,303,330

Series 3033 Class TF, 0% 9/15/35 (e)

625,593

586,814

Freddie Mac Manufactured Housing participation certificates guaranteed floater Series 2338 Class FJ, 5.52% 7/15/31 (e)

3,534,808

3,540,124

Freddie Mac Multi-class participation certificates guaranteed:

floater:

Series 2395 Class FA, 5.92% 6/15/29 (e)

766,669

777,533

Series 2406:

Class FP, 6.3% 1/15/32 (e)

22,657,657

23,219,220

Class PF, 6.3% 12/15/31 (e)

22,066,862

22,612,900

Series 2410 Class PF, 6.3% 2/15/32 (e)

21,341,489

21,912,854

Series 2412 Class GF, 6.27% 2/15/32 (e)

3,601,226

3,687,158

Series 2453 Class NF, 5.72% 2/15/17 (e)

15,001,566

15,076,939

Series 2474 Class FJ, 5.67% 7/15/17 (e)

2,837,373

2,851,139

Series 2526 Class FC, 5.72% 11/15/32 (e)

1,618,165

1,629,036

Series 2538 Class FB, 5.72% 12/15/32 (e)

4,496,439

4,527,418

Series 2551 Class FH, 5.77% 1/15/33 (e)

1,785,436

1,797,523

Series 2553 Class FB, 5.82% 3/15/29 (e)

18,649,316

18,742,268

Series 2554 Class FJ, 5.77% 3/15/28 (e)

7,756,115

7,805,875

Series 2577 Class FW, 5.82% 1/15/30 (e)

12,588,571

12,659,299

Series 2650 Class FV, 5.72% 12/15/32 (e)

20,288,767

20,435,933

Series 2732 Class JF, 5.82% 11/15/33 (e)

3,876,987

3,892,157

Series 2861:

Class GF, 5.62% 1/15/21 (e)

3,050,749

3,059,185

Class JF, 5.62% 4/15/17 (e)

5,049,699

5,069,416

Series 2994 Class FB, 5.47% 6/15/20 (e)

4,267,293

4,263,229

Series 3066 Class HF, 0% 1/15/34 (e)

347,843

335,077

Series 3071 Class TF, 5.62% 4/15/35 (e)

46,806,146

46,926,882

Series 3094 Class UF, 0% 9/15/34 (e)

1,085,448

1,037,292

planned amortization class:

Series 2136 Class PE, 6% 1/15/28

4,305,232

4,314,658

Series 2776 Class UJ, 4.5% 5/15/20 (f)

2,317,721

29,719

Collateralized Mortgage Obligations - continued

Principal Amount

Value

U.S. Government Agency - continued

Freddie Mac Multi-class participation certificates guaranteed: - continued

planned amortization class:

Series 2828 Class JA, 4.5% 1/15/10

$ 1,133,199

$ 1,130,639

Series 3013 Class AF, 5.57% 5/15/35 (e)

72,338,317

72,435,062

Ginnie Mae guaranteed REMIC pass thru securities floater:

Series 2001-46 Class FB, 5.67% 5/16/23 (e)

1,876,806

1,884,826

Series 2001-50 Class FV, 5.52% 9/16/27 (e)

5,977,310

5,984,167

Series 2002-24 Class FX, 5.87% 4/16/32 (e)

1,561,780

1,578,041

Series 2002-31 Class FW, 5.72% 6/16/31 (e)

2,137,294

2,152,349

TOTAL U.S. GOVERNMENT AGENCY

570,934,318

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost $2,455,005,749)

2,452,359,037

Commercial Mortgage Securities - 8.9%

Banc of America Large Loan Trust floater Series 2006-BIX1:

Class A1, 5.39% 10/15/19 (a)(e)

10,146,753

10,146,703

Class A2, 5.43% 10/15/19 (a)(e)

2,500,000

2,499,986

Class B, 5.46% 10/15/19 (a)(e)

2,445,000

2,444,986

Class C, 5.5% 10/15/19 (a)(e)

5,500,000

5,499,968

Class D, 5.53% 10/15/19 (a)(e)

6,720,000

6,719,961

Class E, 5.56% 10/15/19 (a)(e)

6,490,000

6,489,962

Class F, 5.63% 10/15/19 (a)(e)

7,715,000

7,714,954

Class G, 5.65% 10/15/19 (a)(e)

7,300,000

7,299,955

Class JCA, 5.92% 10/15/19 (a)(e)

2,664,294

2,646,484

Class JCP, 5.82% 10/15/19 (a)(e)

1,397,628

1,392,941

Class KCA, 5.97% 10/15/19 (a)(e)

1,825,363

1,819,247

Class KCP, 5.87% 10/15/19 (a)(e)

2,281,583

2,266,326

Class LCA, 6.07% 10/15/19 (a)(e)

2,124,100

2,116,988

Class LCP, 5.97% 10/15/19 (a)(e)

8,440,770

8,412,488

Banc of America Large Loan, Inc.:

floater:

Series 2005-BBA6:

Class C, 5.57% 1/15/19 (a)(e)

1,052,339

1,052,403

Class D, 5.62% 1/15/19 (a)(e)

2,800,000

2,800,249

Class E, 5.66% 1/15/19 (a)(e)

1,750,000

1,750,291

Class F, 5.71% 1/15/19 (a)(e)

1,170,000

1,170,393

Class G, 5.74% 1/15/19 (a)(e)

915,000

915,904

Commercial Mortgage Securities - continued

Principal Amount

Value

Banc of America Large Loan, Inc.: - continued

floater:

Series 2005-ESHA:

Class F, 6.07% 7/14/20 (a)(e)

$ 6,395,000

$ 6,397,371

Class G, 6.2% 7/14/20 (a)(e)

4,355,000

4,353,876

Class H, 6.42% 7/14/20 (a)(e)

10,365,000

10,342,847

Series 2005-MIB1:

Class B, 5.58% 3/15/22 (a)(e)

6,455,500

6,459,543

Class C, 5.63% 3/15/22 (a)(e)

1,660,000

1,661,123

Class D, 5.68% 3/15/22 (a)(e)

1,680,000

1,681,201

Class E, 5.72% 3/15/22 (a)(e)

3,205,000

3,207,383

Class F, 5.79% 3/15/22 (a)(e)

1,635,000

1,636,215

Class G, 5.85% 3/15/22 (a)(e)

1,060,000

1,060,787

Series 2006-LAQ:

Class H, 6% 2/9/21 (a)(e)

3,495,000

3,489,387

Class J, 6.09% 2/9/21 (a)(e)

2,525,000

2,533,046

Class K, 6.32% 2/9/21 (a)(e)

6,990,000

6,971,424

Series 2005-ESHA Class X1, 0.9161% 7/14/20 (a)(e)(f)

334,645,000

826,339

Series 2006-ESH:

Class A, 6.18% 7/14/11 (a)(e)

7,442,985

7,421,683

Class B, 6.28% 7/14/11 (a)(e)

3,700,812

3,685,187

Class C, 6.43% 7/14/11 (a)(e)

7,411,773

7,382,342

Class D, 7.06% 7/14/11 (a)(e)

4,320,039

4,320,381

Bayview Commercial Asset Trust:

floater:

Series 2003-1 Class A, 5.9% 8/25/33 (a)(e)

3,296,629

3,297,310

Series 2003-2:

Class A, 5.9% 12/25/33 (a)(e)

7,527,877

7,541,196

Class M1, 6.17% 12/25/33 (a)(e)

1,225,041

1,227,632

Series 2004-1:

Class A, 5.68% 4/25/34 (a)(e)

4,021,923

4,028,836

Class B, 7.22% 4/25/34 (a)(e)

417,862

420,147

Class M1, 5.88% 4/25/34 (a)(e)

365,629

366,315

Class M2, 6.52% 4/25/34 (a)(e)

313,397

315,013

Series 2004-2:

Class A, 5.75% 8/25/34 (a)(e)

4,375,496

4,387,802

Class M1, 5.9% 8/25/34 (a)(e)

1,410,849

1,415,037

Series 2004-3:

Class A1, 5.69% 1/25/35 (a)(e)

4,606,156

4,616,952

Class A2, 5.74% 1/25/35 (a)(e)

640,189

641,789

Class M1, 5.82% 1/25/35 (a)(e)

767,693

769,372

Class M2, 6.32% 1/25/35 (a)(e)

500,669

502,547

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2005-2A:

Class M1, 5.75% 8/25/35 (a)(e)

$ 1,094,348

$ 1,093,277

Class M2, 5.8% 8/25/35 (a)(e)

1,801,465

1,806,759

Class M3, 5.82% 8/25/35 (a)(e)

997,540

1,000,469

Class M4, 5.93% 8/25/35 (a)(e)

917,568

926,108

Series 2005-3A:

Class A1, 5.64% 11/25/35 (a)(e)

7,870,488

7,885,769

Class M1, 5.76% 11/25/35 (a)(e)

765,364

769,941

Class M2, 5.81% 11/25/35 (a)(e)

1,075,761

1,084,876

Class M3, 5.83% 11/25/35 (a)(e)

960,956

969,092

Class M4, 5.92% 11/25/35 (a)(e)

1,199,069

1,202,028

Series 2005-4A:

Class A2, 5.71% 1/25/36 (a)(e)

8,328,590

8,357,220

Class B1, 6.72% 1/25/36 (a)(e)

696,162

699,751

Class M1, 5.77% 1/25/36 (a)(e)

2,715,845

2,723,907

Class M2, 5.79% 1/25/36 (a)(e)

814,753

816,154

Class M3, 5.82% 1/25/36 (a)(e)

1,146,992

1,146,275

Class M4, 5.93% 1/25/36 (a)(e)

633,697

633,895

Class M5, 5.97% 1/25/36 (a)(e)

633,697

632,806

Class M6, 6.02% 1/25/36 (a)(e)

633,697

631,321

Series 2006-1:

Class A2, 5.68% 4/25/36 (a)(e)

2,955,536

2,955,536

Class M1, 5.7% 4/25/36 (a)(e)

903,080

903,080

Class M2, 5.72% 4/25/36 (a)(e)

954,164

954,164

Class M3, 5.74% 4/25/36 (a)(e)

820,982

820,982

Class M4, 5.84% 4/25/36 (a)(e)

465,223

465,223

Class M5, 5.88% 4/25/36 (a)(e)

451,540

451,540

Class M6, 5.96% 4/25/36 (a)(e)

994,301

994,301

Series 2006-2A:

Class A1, 5.55% 7/25/36 (a)(e)

26,421,911

26,421,911

Class A2, 5.6% 7/25/36 (a)(e)

2,200,320

2,200,320

Class B1, 6.19% 7/25/36 (a)(e)

790,669

790,669

Class B3, 8.02% 7/25/36 (a)(e)

1,319,288

1,319,288

Class M1, 5.63% 7/25/36 (a)(e)

2,308,755

2,308,755

Class M2, 5.65% 7/25/36 (a)(e)

1,626,520

1,626,520

Class M3, 5.67% 7/25/36 (a)(e)

1,274,107

1,274,107

Class M4, 5.74% 7/25/36 (a)(e)

858,441

858,441

Class M5, 5.79% 7/25/36 (a)(e)

1,057,238

1,057,238

Class M6, 5.86% 7/25/36 (a)(e)

1,671,701

1,671,701

Commercial Mortgage Securities - continued

Principal Amount

Value

Bayview Commercial Asset Trust: - continued

floater:

Series 2006-3A:

Class A1, 5.57% 10/25/36 (a)(e)

$ 14,547,065

$ 14,560,703

Class B1, 6.12% 10/25/36 (a)(e)

1,416,171

1,398,027

Class B2, 6.67% 10/25/36 (a)(e)

924,846

906,061

Class B3, 7.92% 10/25/36 (a)(e)

1,657,017

1,592,548

Class M4, 5.75% 10/25/36 (a)(e)

1,416,171

1,404,444

Class M5, 5.8% 10/25/36 (a)(e)

1,798,634

1,779,523

Class M6, 5.88% 10/25/36 (a)(e)

3,516,343

3,470,741

Series 2006-4A:

Class A1, 5.55% 12/25/36 (a)(e)

14,760,515

14,726,477

Class A2, 5.59% 12/25/36 (a)(e)

16,772,868

16,734,230

Class B1, 6.02% 12/25/36 (a)(e)

1,084,326

1,084,326

Class B2, 6.57% 12/25/36 (a)(e)

1,015,945

983,037

Class B3, 7.77% 12/25/36 (a)(e)

1,880,476

1,880,476

Class M1, 5.61% 12/25/36 (a)(e)

2,378,680

2,364,155

Class M2, 5.63% 12/25/36 (a)(e)

1,509,265

1,509,265

Class M3, 5.66% 12/25/36 (a)(e)

1,528,802

1,528,802

Class M4, 5.72% 12/25/36 (a)(e)

1,831,632

1,831,632

Class M5, 5.76% 12/25/36 (a)(e)

1,680,217

1,680,217

Class M6, 5.84% 12/25/36 (a)(e)

1,509,265

1,491,608

Series 2007-1:

Class A2, 5.59% 3/25/37 (a)(e)

5,822,790

5,822,790

Class B1, 5.99% 3/25/37 (a)(e)

1,858,547

1,826,023

Class B2, 6.47% 3/25/37 (a)(e)

1,344,481

1,320,953

Class B3, 8.67% 3/25/37 (a)(e)

3,840,669

3,800,462

Class M1, 5.59% 3/25/37 (a)(e)

1,566,914

1,561,038

Class M2, 5.61% 3/25/37 (a)(e)

1,176,421

1,169,620

Class M3, 5.64% 3/27/37 (a)(e)

1,042,961

1,033,021

Class M4, 5.69% 3/25/37 (a)(e)

785,928

777,332

Class M5, 5.74% 3/25/37 (a)(e)

1,304,938

1,287,810

Class M6, 5.82% 3/25/37 (a)(e)

1,828,890

1,800,599

Bear Stearns Commercial Mortgage Securities, Inc. floater Series 2006-BBA7:

Class G, 5.76% 3/15/19 (a)(e)

1,665,000

1,663,372

Class H, 5.97% 3/15/19 (a)(e)

2,135,000

2,125,022

Class J, 6.17% 3/15/19 (a)(e)

2,800,000

2,773,966

Class X1A, 1.765% 3/15/19 (a)(e)(f)

306,405,000

3,111,941

Commercial Mortgage Securities - continued

Principal Amount

Value

Bear Stearns Commercial Mortgage Securities Trust Series 2007-BBA8:

Class D, 5.57% 3/15/22 (a)(b)(e)

$ 2,770,000

$ 2,770,000

Class E, 5.62% 3/15/22 (a)(b)(e)

14,385,000

14,385,000

Class F, 5.67% 5/15/22 (a)(b)(e)

8,820,000

8,820,000

Class G, 5.72% 3/15/22 (a)(b)(e)

2,268,750

2,268,750

Class H, 5.87% 3/15/22 (a)(b)(e)

2,770,000

2,770,000

Class J, 6.02% 3/15/22 (a)(b)(e)

2,770,000

2,770,000

Class MS-6, 5.97% 3/15/22 (a)(b)(e)

5,510,000

5,510,000

Class MS5, 6.22% 3/15/22 (a)(b)(e)

9,920,000

9,920,000

Class X-1M, 1.12% 3/15/22 (a)(b)(f)

461,920,000

5,894,977

Citigroup Commercial Mortgage Trust:

floater Series 2006-FL2:

Class B, 5.46% 11/15/36 (a)(e)

3,055,000

3,055,188

Class C, 5.49% 11/15/36 (a)(e)

3,055,000

3,055,024

Class D, 5.53% 11/15/36 (a)(e)

2,445,000

2,445,019

Class E, 5.56% 11/15/36 (a)(e)

1,835,000

1,835,014

Class F, 5.63% 8/16/21 (a)(e)

3,055,000

3,055,023

Class G, 5.65% 11/15/36 (a)(e)

3,055,000

3,055,024

Class H, 5.69% 11/15/36 (a)(e)

2,445,000

2,442,975

Series 2006-FL2:

Class A1, 5.39% 11/15/36 (a)(e)

7,909,266

7,909,318

Class A2, 5.43% 11/15/36 (a)(e)

14,180,000

14,180,111

Class CNP-1, 6.12% 8/16/21 (a)(e)

3,235,000

3,235,000

Commercial Mortgage pass thru certificates floater:

Series 2005-F10A:

Class B, 5.55% 4/15/17 (a)(e)

10,530,000

10,532,238

Class C, 5.59% 4/15/17 (a)(e)

3,006,000

3,006,246

Class D, 5.63% 4/15/17 (a)(e)

2,440,000

2,441,474

Class E, 5.69% 4/15/17 (a)(e)

1,821,000

1,821,703

Class F, 5.73% 4/15/17 (a)(e)

1,035,000

1,035,174

Class G, 5.87% 4/15/17 (a)(e)

1,035,000

1,035,174

Class H, 5.94% 4/15/17 (a)(e)

1,035,000

1,034,904

Class J, 6.17% 4/15/17 (a)(e)

335,000

334,823

Series 2005-FL11:

Class B, 5.57% 11/15/17 (a)(e)

2,325,028

2,325,574

Class C, 5.62% 11/15/17 (a)(e)

4,797,308

4,798,863

Class D, 5.66% 11/15/17 (a)(e)

825,385

825,628

Class E, 5.71% 11/15/17 (a)(e)

1,267,140

1,267,475

Class F, 5.77% 11/15/17 (a)(e)

1,150,889

1,151,227

Class G, 5.82% 11/15/17 (a)(e)

1,844,522

1,845,119

Commercial Mortgage Securities - continued

Principal Amount

Value

Commercial Mortgage pass thru certificates floater: - continued

Series 2006-CN2A:

Class A2FL, 5.54% 2/5/19 (a)(e)

$ 5,000,000

$ 5,008,739

Class AJFL, 5.58% 2/5/19 (e)

8,865,000

8,892,966

Commercial Mortgage pass-thru certificates Series 2006-FL12:

Class AJ, 5.45% 12/15/20 (a)(e)

33,605,000

33,604,798

Class CA1, 5.87% 12/15/20 (a)(e)

1,378,421

1,378,421

Class CA2, 5.92% 12/15/20 (a)(e)

2,146,995

2,146,995

Class CA3, 5.97% 12/15/20 (a)(e)

2,447,741

2,447,741

Class CA4, 6.07% 12/15/20 (a)(e)

2,702,540

2,702,540

Class CN1, 5.82% 12/15/20 (a)(e)

5,226,966

5,226,966

Class CN2, 5.87% 12/15/20 (a)(e)

2,814,799

2,814,799

Class CN3, 5.97% 12/15/20 (a)(e)

2,713,234

2,713,234

Commercial Mortgage Trust Series 2006-FL4:

Class A2, 5.46% 11/5/21 (a)(e)

30,649,000

30,648,850

Class B, 5.51% 11/5/21 (a)(e)

11,265,000

11,264,939

Credit Suisse First Boston Mortgage Securities Corp.:

floater:

Series 2005-CN2A Class A1J, 5.65% 11/15/19 (a)(e)

17,835,000

17,835,043

Series 2005-TF3A Class A2, 5.6% 11/15/20 (a)(e)

17,956,908

17,962,530

Series 2006-TF2A:

Class A2, 6.82% 7/15/19 (a)(e)

16,910,000

16,910,000

Class SHDC, 6.32% 7/15/19 (a)(e)

8,080,000

8,004,113

Series 2006-TFL2:

Class A2, 5.49% 10/15/21 (a)(e)

54,990,000

54,989,670

Class SHDD, 6.67% 7/15/19 (a)(e)

4,545,000

4,545,000

Credit Suisse Mortgage Capital Certificates floater:

Series 200-TFL1 Class B, 5.47% 2/15/22 (a)(e)

11,225,000

11,225,000

Series 2007-TFL1:

Class C:

5.49% 2/15/22 (a)(e)

12,085,000

12,085,000

5.59% 2/15/22 (a)(e)

4,315,000

4,315,000

Class F, 5.64% 2/15/22 (a)(e)

8,630,000

8,630,000

Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 5.49% 11/15/36 (a)(e)

8,960,000

8,963,723

Commercial Mortgage Securities - continued

Principal Amount

Value

CSMC Commercial Mortgage Trust floater Series 2006-TFLA:

Class D, 5.6% 4/15/21 (a)(e)

$ 2,700,000

$ 2,700,541

Class E, 5.65% 4/15/21 (a)(e)

2,700,000

2,700,957

Class G, 5.74% 4/15/21 (a)(e)

2,700,000

2,700,124

Class H, 6.05% 4/15/21 (a)(e)

2,700,000

2,698,323

Class J, 6.12% 4/15/21 (a)(e)

1,800,000

1,795,751

Class K, 6.52% 4/15/21 (a)(e)

8,995,000

8,950,900

Greenwich Capital Commercial Funding Corp. floater Series 2005-FL3A:

Class H-AON:

6.32% 10/5/20 (a)(e)

1,495,000

1,495,000

6.57% 10/5/20 (a)(e)

1,775,000

1,775,000

Class M-AON, 6.82% 10/5/20 (a)(e)

1,770,000

1,770,000

Class N-AON, 7.17% 10/5/20 (a)(e)

4,545,144

4,545,144

GS Mortgage Securities Corp. II floater Series 2006-FL8A:

Class A2, 5.46% 6/6/20 (a)(e)

22,040,000

22,044,137

Class C, 5.56% 6/6/20 (a)(e)

1,310,000

1,310,258

Class D, 5.6% 6/6/20 (a)(e)

3,595,000

3,595,806

Class E, 5.6% 6/6/20 (a)(e)

7,163,000

7,158,215

Class F, 5.76% 6/6/20 (a)(e)

5,168,000

5,147,071

Hilton Hotel Pool Trust floater Series 2000-HLTA:

Class A2, 5.72% 10/3/15 (a)(e)

32,100,000

32,307,244

Class B, 5.82% 10/3/15 (a)(e)

4,375,000

4,415,968

JPMorgan Chase Commercial Securities Trust floater Series 2006-FLA2:

Class A2, 5.45% 11/15/18 (a)(e)

25,413,000

25,412,840

Class B, 5.49% 11/15/18 (a)(e)

8,761,783

8,761,732

Class C, 5.53% 11/15/18 (a)(e)

6,223,785

6,223,748

Class D, 5.55% 11/15/18 (a)(e)

2,186,735

2,186,722

Class E, 5.6% 11/15/18 (a)(e)

3,285,050

3,285,030

Class F, 5.65% 11/15/18 (a)(e)

4,927,575

4,927,545

Class G, 5.68% 11/15/18 (a)(e)

4,284,418

4,280,702

Class H, 5.82% 11/15/18 (a)(e)

3,285,050

3,279,117

LB-UBS Commercial Mortgage Trust sequential payer Series 2003-C3 Class A2, 3.086% 5/15/27

14,650,000

14,318,233

Lehman Brothers Floating Rate Commercial Mortgage Trust floater:

Series 2005-LLFA Class FAIR, 6.97% 7/15/18 (a)(e)

1,915,359

1,906,969

Commercial Mortgage Securities - continued

Principal Amount

Value

Lehman Brothers Floating Rate Commercial Mortgage Trust floater: - continued

Series 2006-LLFA:

Class D, 5.55% 9/15/21 (a)(e)

$ 3,262,929

$ 3,264,400

Class E, 5.61% 9/15/21 (a)(e)

11,769,509

11,774,810

Class F, 5.66% 9/15/21 (a)(e)

7,712,378

7,718,500

Class FRT1, 6.27% 9/15/21 (a)(e)

164,031

164,031

Class FRT2, 6.37% 9/15/21 (a)(e)

135,912

135,912

Class FRT3, 6.52% 9/15/21 (a)(e)

351,964

351,964

Class G, 5.68% 9/15/21 (a)(e)

13,731,094

13,740,416

Class H, 5.72% 9/15/21 (a)(e)

4,081,053

4,080,086

ML-CFC Commercial Mortgage Trust Series 2006-4 Class A2FL, 5.44% 12/12/49 (e)

19,160,000

19,159,776

Morgan Stanley Capital I Trust floater Series 2007-XLFA:

Class A2, 5.42% 10/15/20 (a)(e)

20,205,000

20,205,000

Class B, 5.45% 10/15/20 (a)(e)

7,215,000

7,215,000

Class C, 5.48% 10/15/20 (a)(e)

5,410,000

5,410,000

Class D, 5.51% 10/15/20 (a)(e)

4,325,000

4,325,000

Class E, 5.57% 10/15/20 (a)(e)

5,410,000

5,410,000

Class F, 5.62% 10/15/20 (a)(e)

3,250,000

3,250,000

Class G, 5.66% 10/15/20 (a)(e)

4,013,000

4,013,000

Class H, 5.75% 10/15/20 (a)(e)

2,525,000

2,525,000

Class J, 5.9% 10/15/20 (a)(e)

2,885,000

2,885,000

Morgan Stanley Capital I, Inc. floater:

Series 2005-XLF:

Class B, 5.53% 8/15/19 (a)(e)

6,705,000

6,705,569

Class C, 5.56% 8/15/19 (a)(e)

525,000

525,155

Class D, 5.58% 8/15/19 (a)(e)

1,915,000

1,915,500

Class E, 5.6% 8/15/19 (a)(e)

1,745,000

1,745,390

Class F, 5.64% 8/15/19 (a)(e)

1,220,000

1,220,499

Class G, 5.69% 8/15/19 (a)(e)

870,000

870,412

Class H, 5.71% 8/15/19 (a)(e)

695,000

695,359

Class J, 5.78% 8/15/19 (a)(e)

525,000

525,043

Series 2006-XLF:

Class C, 6.52% 7/15/19 (a)(e)

5,095,000

5,095,000

Class D, 5.57% 7/15/19 (a)(e)

11,115,000

11,119,677

Class E, 5.61% 7/15/19 (a)(e)

25,995,000

26,005,934

Class F, 5.64% 7/15/19 (a)(e)

4,796,000

4,798,016

Class G, 5.68% 7/15/19 (a)(e)

3,535,000

3,536,234

STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 5.8% 3/24/18 (a)(e)

4,332,307

4,340,430

Commercial Mortgage Securities - continued

Principal Amount

Value

Wachovia Bank Commercial Mortgage Trust:

floater:

Series 2005-WL6A:

Class A2, 5.57% 10/15/17 (a)(e)

$ 494,872

$ 494,943

Class B, 5.62% 10/15/17 (a)(e)

1,540,000

1,540,249

Class D, 5.75% 10/15/17 (a)(e)

3,090,000

3,090,652

Series 2006-WL7A:

Class E, 5.82% 9/15/21 (a)(e)

9,585,000

9,586,875

Class F, 5.87% 8/11/18 (a)(e)

11,680,000

11,682,282

Class G, 6.17% 8/11/18 (a)(e)

11,065,000

11,066,417

Class J, 6.52% 8/11/18 (a)(e)

2,460,000

2,454,862

Class X1A, 0.589% 9/15/21 (a)(e)(f)

908,482,376

3,116,095

Series 2005-WL6A Class X1A, 0.754% 10/15/17 (a)(f)

181,847,855

153,261

TOTAL COMMERCIAL MORTGAGE SECURITIES

(Cost $1,176,165,305)

1,175,326,855

Certificates of Deposit - 0.5%

Natexis Banques Populaires NY CD yankee
5.4% 12/18/07
(Cost $70,000,000)

70,000,000

70,056,707

Commercial Paper - 0.4%

Sprint Nextel Corp.:

5.52% 4/12/07

29,000,000

28,954,737

5.61% 11/9/07 (e)

28,000,000

27,999,944

TOTAL COMMERCIAL PAPER

(Cost $56,951,087)

56,954,681

Cash Equivalents - 9.9%

Maturity
Amount

Investments in repurchase agreements in a joint trading account at 5.4%, dated 3/30/07 due 4/2/07 (Collateralized by U.S. Government Obligations) #

$ 905,407

905,000

With:

Banc of America Securities LLC at 5.48%, dated 3/30/07 due 4/2/07 (Collateralized by Mortgage Loan Obligations valued at $278,250,000, 0% - 7.8%, 5/15/08 - 12/12/49)

265,121,017

265,000,000

Cash Equivalents - continued

Maturity
Amount

Value

With: - continued

Barclays Capital, Inc. at 5.48%, dated 3/30/07 due 4/2/07 (Collateralized by Corporate Obligations valued at $535,500,001, 2.16% - 6.85%, 3/10/08 - 5/25/16)

$ 525,239,750

$ 525,000,000

Merrill Lynch, Pierce, Fenner & Smith at 5.48%, dated 3/30/07 due 4/2/07 (Collateralized by Mortgage Loan Obligations valued at $529,240,155, 4.5% - 9%, 8/20/20 - 2/15/47)

505,230,511

505,000,000

TOTAL CASH EQUIVALENTS

(Cost $1,295,905,000)

1,295,905,000

TOTAL INVESTMENT PORTFOLIO - 96.3%

(Cost $12,680,599,397)

12,656,949,345

NET OTHER ASSETS - 3.7%

489,579,499

NET ASSETS - 100%

$ 13,146,528,844

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/
(Depreciation)

Purchased

Eurodollar Contracts

404 Eurodollar 90 Day Index Contracts

June 2007

$ 398,682,350

$ (163,216)

Sold

Eurodollar Contracts

24 Eurodollar 90 Day Index Contracts

Sept. 2007

23,695,500

37,703

20 Eurodollar 90 Day Index Contracts

Dec. 2007

19,756,250

21,370

20 Eurodollar 90 Day Index Contracts

March 2008

19,763,750

12,870

13 Eurodollar 90 Day Index Contracts

June 2008

12,848,713

10,136

12 Eurodollar 90 Day Index Contracts

Sept. 2008

11,860,950

8,052

5 Eurodollar 90 Day Index Contracts

Dec. 2008

4,941,875

980

3 Eurodollar 90 Day Index Contracts

March 2009

2,964,900

688

TOTAL EURODOLLAR CONTRACTS

91,799

$ (71,417)

Swap Agreements

Notional Amount

Value

Credit Default Swaps

Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon default 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

$ 7,900,000

$ (217,483)

Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon default event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors, Inc. Series 2006-HE5 Class B3, 7.32% 8/25/37

Sept. 2037

20,000,000

(2,802,878)

Receive monthly notional amount multiplied by 3.05% and pay Morgan Stanley, Inc. upon default 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

5,300,000

(877,952)

Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon default 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

3,000,000

(211,292)

Receive monthly notional amount multiplied by .42% and pay Bank of America upon default event of Bear Stearns Asset Backed Securities, par value of the notional amount of Bear Stearns Asset Backed Securities Series 2005-HE2
Class M3, 6.175% 2/25/35

March 2035

6,900,000

(164,287)

Receive monthly notional amount multiplied by .42% and pay Bank of America upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2005-B Class M7, 6.055% 4/25/35

May 2035

6,900,000

(269,691)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

Receive monthly notional amount multiplied by .52% and pay Bank of America upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M6, 6.835% 9/25/34

Oct. 2034

$ 9,900,000

$ (167,740)

Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35

Feb. 2035

3,000,000

(77,775)

Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35

June 2035

3,000,000

(74,292)

Receive monthly notional amount multiplied by 1.85% and pay Citibank upon default event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-NC2 Class M9, 7.02% 6/25/36

July 2036

5,500,000

(650,021)

Receive monthly notional amount multiplied by 1.9% and pay Morgan Stanley, Inc., upon default event of Morgan Stanley ABS Capital, par value of the notional amount of Morgan Stanley ABS Capital I Series 2006-HE3 Class B3, 7.2225% 4/25/36

May 2036

4,100,000

(917,593)

Receive monthly notional amount multiplied by 3% and pay JPMorgan Chase, Inc. upon default 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

7,900,000

(1,177,758)

Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon default event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36

August 2036

20,000,000

(2,518,000)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Credit Default Swaps - continued

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

$ 7,900,000

$ (597,848)

Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.22% 7/25/36

August 2036

20,000,000

(2,905,722)

Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-8 Class M9, 7.12% 9/25/36

Oct. 2036

20,000,000

(2,990,244)

Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon default 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

2,700,000

(194,657)

Receive quarterly notional amount multiplied by .20% and pay Merrill Lynch, Inc. upon default event of American Transmission Co. LLC, par value of the notional amount of American Transmission Co. LLC 7.125% 3/15/11

May 2007

10,555,000

$ 1,906

Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13

Sept. 2008

13,540,000

14,702

Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13

Dec. 2008

10,650,000

54,646

TOTAL CREDIT DEFAULT SWAPS

188,745,000

(16,743,979)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swaps

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

April 2008

$ 86,000,000

$ (92,116)

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 8 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

May 2007

65,225,000

(27,786)

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 9 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

April 2007

85,500,000

(35,711)

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

June 2007

71,000,000

(29,063)

Swap Agreements - continued

Expiration Date

Notional Amount

Value

Total Return Swaps - continued

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc.

March 2008

$ 30,000,000

$ (14,078)

Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc.

July 2007

35,000,000

(14,327)

Receive monthly a return equal to Lehman Brothers ABS Floating Home Equity Index AA and pay monthly a floating rate based on 1-month LIBOR minus 15 basis points with Lehman Brothers, Inc.

Oct. 2007

105,000,000

24,371

Receive monthly a return equal to Lehman Brothers ABS Floating Home Equity Index AA and pay monthly a floating rate based on 1-month LIBOR minus 10 basis points with Lehman Brothers, Inc.

Sept. 2007

110,000,000

(597,636)

Receive monthly a return equal to Lehman Brothers ABS Floating Home Equity Index AA and pay monthly a floating rate based on the 1-month LIBOR plus 2 basis points with Lehman Brothers, Inc.

April 2007

85,500,000

(222,978)

TOTAL TOTAL RETURN SWAPS

673,225,000

(1,009,324)

$ 861,970,000

$ (17,753,303)

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 $2,726,800,962 or 20.7% of net assets.

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

(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 $548,862.

(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 $17,864,384.

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

(f) 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

$905,000 due 4/02/07 at 5.40%

ABN AMRO Bank N.V.,
New York Branch

$ 50,553

BNP Paribas Securities Corp.

50,553

Banc of America Securities LLC

185,121

Bank of America, NA

50,553

Barclays Capital, Inc.

227,487

Bear Stearns & Co., Inc.

12,638

Citigroup Global Markets, Inc.

12,638

Countrywide Securities Corp.

126,382

UBS Securities LLC

161,271

WestLB AG

27,804

$ 905,000

Other Information

Distribution of investments by country of issue, as a percentage of total net assets, is as follows:

United States of America

84.6%

United Kingdom

12.4%

Others (individually less than 1%)

3.0%

100.0%

Income Tax Information

At September 30, 2006, the fund had a capital loss carryforward of approximately $4,021,300 all of which will expire on September 30, 2011.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

March 31, 2007

Assets

Investment in securities, at value (including repurchase agreements of $1,295,905,000) - See accompanying schedule:

Unaffiliated issuers (cost $12,680,599,397)

$ 12,656,949,345

Cash

782

Receivable for investments sold

669,979,337

Receivable for swap agreements

337,373

Interest receivable

46,893,825

Receivable for daily variation on futures contracts

2,925

Other receivables

24,914

Total assets

13,374,188,501

Liabilities

Payable for investments purchased
Regular delivery

$ 28,430,735

Delayed delivery

117,900,533

Distributions payable

63,485,847

Swap agreements, at value

17,753,303

Other payables and accrued expenses

89,239

Total liabilities

227,659,657

Net Assets

$ 13,146,528,844

Net Assets consist of:

Paid in capital

$ 13,192,836,974

Undistributed net investment income

678,944

Accumulated undistributed net realized gain (loss) on investments

(5,512,302)

Net unrealized appreciation (depreciation) on investments

(41,474,772)

Net Assets, for 132,611,009 shares outstanding

$ 13,146,528,844

Net Asset Value, offering price and redemption price per share ($13,146,528,844 ÷ 132,611,009 shares)

$ 99.14

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Statements - continued

Statement of Operations

Six months ended March 31, 2007

Investment Income

Interest (including $276,754 from affiliated interfund lending)

$ 340,521,009

Expenses

Custodian fees and expenses

$ 87,934

Independent trustees' compensation

17,787

Audit

61,326

Legal

8,938

Insurance

38,780

Miscellaneous

2,036

Total expenses before reductions

216,801

Expense reductions

(68,834)

147,967

Net investment income

340,373,042

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

Unaffiliated issuers

(2,379,262)

Futures contracts

128,851

Swap agreements

1,149,402

Total net realized gain (loss)

(1,101,009)

Change in net unrealized appreciation (depreciation) on:

Investment securities

(27,098,559)

Futures contracts

(383,756)

Swap agreements

(17,764,740)

Total change in net unrealized appreciation (depreciation)

(45,247,055)

Net gain (loss)

(46,348,064)

Net increase (decrease) in net assets resulting from operations

$ 294,024,978

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Statement of Changes in Net Assets

Six months ended
March 31,
2007

Year ended
September 30,
2006

Increase (Decrease) in Net Assets

Operations

Net investment income

$ 340,373,042

$ 372,834,059

Net realized gain (loss)

(1,101,009)

2,565,009

Change in net unrealized appreciation (depreciation)

(45,247,055)

(1,779,496)

Net increase (decrease) in net assets resulting
from operations

294,024,978

373,619,572

Distributions to shareholders from net investment income

(340,451,615)

(372,786,549)

Distributions to shareholders from net realized gain

(1,637,496)

-

Total distributions

(342,089,111)

(372,786,549)

Affiliated share transactions
Proceeds from sales of shares

6,357,840,650

4,705,265,575

Cost of shares redeemed

(1,719,947,981)

(2,809,950,462)

Net increase (decrease) in net assets resulting from share transactions

4,637,892,669

1,895,315,113

Total increase (decrease) in net assets

4,589,828,536

1,896,148,136

Net Assets

Beginning of period

8,556,700,308

6,660,552,172

End of period (including undistributed net investment income of $678,944 and undistributed net investment income of $757,517, respectively)

$ 13,146,528,844

$ 8,556,700,308

Other Information

Shares

Sold

63,911,982

47,302,203

Redeemed

(17,303,128)

(28,248,537)

Net increase (decrease)

46,608,854

19,053,666

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Financial Highlights

Six months ended
March 31,

Years ended September 30,

2007

2006

2005

2004

2003

2002 H

Selected Per-Share Data

Net asset value, beginning of period

$ 99.49

$ 99.49

$ 99.52

$ 99.49

$ 99.15

$ 100.00

Income from Investment Operations

Net investment income D

2.772

4.999

3.167

1.764

1.917

3.022

Net realized and unrealized gain (loss)

(.327)

(.015)

(.059)

- G

.450

(.743)

Total from investment operations

2.445

4.984

3.108

1.764

2.367

2.279

Distributions from net investment income

(2.781)

(4.984)

(3.138)

(1.734)

(2.027)

(3.129)

Distributions from net realized gain

(.014)

-

-

-

-

-

Total distributions

(2.795)

(4.984)

(3.138)

(1.734)

(2.027)

(3.129)

Net asset value, end of period

$ 99.14

$ 99.49

$ 99.49

$ 99.52

$ 99.49

$ 99.15

Total Return B, C

2.48%

5.13%

3.17%

1.79%

2.36%

2.39%

Ratios to Average Net Assets F

Expenses before reductions E

-% A

-%

-%

-%

-%

-%

Expenses net of fee waivers,
if any E

-% A

-%

-%

-%

-%

-%

Expenses net of all reductions E

-% A

-%

-%

-%

-%

-%

Net investment income

5.61% A

5.03%

3.18%

1.77%

1.94%

3.05%

Supplemental Data

Net assets, end of period (000 omitted)

$ 13,146,529

$ 8,556,700

$ 6,660,552

$ 5,495,704

$ 4,987,445

$ 2,232,319

Portfolio turnover rate

39% A

41%

49%

50%

58%

167%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower had certain expenses not been reduced during the periods shown.

D Calculated based on average shares outstanding during the period.

E Amount represents less than .01%.

F Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

G Amount represents less than $.001 per share.

H Per-share data has been adjusted for a 1-for-10 reverse stock split effective October 1, 2002.

See accompanying notes which are an integral part of the financial statements.

Semiannual Report

Notes to Financial Statements

For the period ended March 31, 2007

1. Organization.

Fidelity Ultra-Short Central Fund (the Fund) is a fund of Fidelity Garrison Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.

2. Significant Accounting Policies.

The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, 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 dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual 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.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Semiannual Report

Notes to Financial Statements - continued

2. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.

Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, market discount, and capital loss carryforwards.

The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:

Unrealized appreciation

$ 10,429,698

Unrealized depreciation

(32,915,054)

Net unrealized appreciation (depreciation)

$ (22,485,356)

Cost for federal income tax purposes

$ 12,679,434,701

New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.

In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.

Semiannual Report

3. Operating Policies.

Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in

Semiannual Report

Notes to Financial Statements - continued

3. Operating Policies - continued

Futures Contracts - continued

excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.

Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.

Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.

Semiannual Report

3. Operating Policies - continued

Swap Agreements - continued

Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."

Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $5,716,472,235 and $1,609,291,997, respectively.

Management Fee and Expense Contract. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the Fund with investment management services. The Fund does not pay any fees for these services. FIMM and FMR have entered into a service agreement under which FMR pays FIMM a portion of the management fees it receives from the Investing Funds. In addition, under an expense contract, FMR also pays Fidelity Service Company, Inc. (FSC), an affiliate of FMR, the fees for maintaining the accounting records of the Fund.

Semiannual Report

Notes to Financial Statements - continued

4. Purchases and Sales of Investments - continued

Management Fee and Expense Contract - continued

Effective April 1, 2007 the expense contract was amended whereby FMR will pay all other expenses of the Fund, excluding custody fees, the compensation of the independent Trustees and certain exceptions such as interest expense.

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The Fund's activity in this program during the period for which loans were outstanding was as follows:

Borrower or Lender

Average Daily Loan Balance

Weighted Average Interest Rate

Lender

$ 13,003,514

5.40%

5. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $68,834.

6. Other.

The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund.

Semiannual Report

Report of Independent Registered Public Accounting Firm

To the Trustees of Fidelity Garrison Street Trust and Shareholders of Fidelity Ultra-Short Central Fund:

We have audited the accompanying statement of assets and liabilities of Fidelity Ultra-Short Central Fund (the Fund), a fund of Fidelity Garrison Street Trust, including the schedule of investments, as of March 31, 2007, and the related statement of operations for the six months then ended, the statement of changes in net assets for the six months ended March 31, 2007 and for the year ended September 30, 2006, and the financial highlights for the six months ended March 31, 2007, and each of the five years in the period ended September 30, 2006. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Ultra-Short Central Fund as of March 31, 2007, the results of its operations for the six months then ended, the changes in its net assets for the six months then ended and the year ended September 30, 2006 and its financial highlights for the six months ended March 31, 2007 and each of the years in the five year period ended September 30, 2006, in conformity with accounting principles generally accepted in the United States of America.

/s/ Deloitte & Touche LLP

DELOITTE & TOUCHE LLP

Boston, Massachusetts

Semiannual Report

May 21, 2007

Semiannual Report

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Schedule of Investments

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Garrison Street's Board of Trustees.

Item 11. 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

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.

(a)

(3)

Not applicable.

(b)

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

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, 2007

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, 2007

By:

/s/Joseph B. Hollis

Joseph B. Hollis

Chief Financial Officer

Date:

May 30, 2007