N-Q 1 Main.htm

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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-4861

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

245 Summer St., Boston, Massachusetts 02210
 (Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

245 Summer St.

Boston, Massachusetts 02210
(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:

December 31, 2014

Item 1. Schedule of Investments

Quarterly Holdings Report

for

Fidelity ® Money Market
Central Fund

December 31, 2014 

1.811315.110

CFM-QTLY-0215

Investments December 31, 2014 (Unaudited)

Showing Percentage of Net Assets

Certificate of Deposit - 58.8%

 

 

Yield (a)

Principal Amount

Value

Domestic Certificates Of Deposit - 3.9%

BMO Harris Bank NA

 

2/17/15

0.25%

$ 10,000,000

$ 10,000,000

Citibank NA

 

2/6/15 to 3/6/15

0.23

9,000,000

9,000,000

RBS Citizens NA

 

1/5/15

0.30

4,000,000

4,000,000

State Street Bank & Trust Co.

 

6/8/15

0.24 (c)

3,000,000

3,000,000

Wells Fargo Bank NA

 

3/9/15 to 8/18/15

0.21 to 0.24 (c)

7,000,000

7,000,000

 

 

33,000,000

London Branch, Eurodollar, Foreign Banks - 2.2%

National Australia Bank Ltd.

 

1/5/15 to 3/10/15

0.22 to 0.25 (c)

18,000,000

18,000,000

New York Branch, Yankee Dollar, Foreign Banks - 52.7%

Bank of Montreal

 

7/14/15 to 8/18/15

0.24 to 0.25 (c)

10,000,000

10,000,000

Bank of Montreal Chicago CD Program

 

9/11/15

0.25 (c)

6,000,000

6,000,000

Bank of Nova Scotia

 

4/7/15 to 9/18/15

0.23 to 0.32 (c)

31,000,000

31,000,000

Bank of Tokyo-Mitsubishi UFJ Ltd.

 

1/2/15 to 5/1/15

0.13 to 0.25

31,000,000

31,000,000

Canadian Imperial Bank of Commerce

 

6/1/15 to 9/11/15

0.23 to 0.32 (c)

18,000,000

18,000,006

Credit Agricole CIB

 

4/1/15

0.28

13,000,000

13,000,000

Credit Suisse

 

4/2/15 to 6/11/15

0.31 to 0.34 (c)

22,000,000

22,000,000

Credit Suisse AG

 

2/6/15

0.29

10,000,000

10,000,000

Landesbank Baden-Wuerttemberg New York Branch

 

1/2/15 to 1/6/15

0.16

41,000,000

41,000,001

Mitsubishi UFJ Trust & Banking Corp.

 

4/14/15

0.28

1,000,000

1,000,000

Certificate of Deposit - continued

 

 

Yield (a)

Principal Amount

Value

New York Branch, Yankee Dollar, Foreign Banks - continued

Mizuho Corporate Bank Ltd.

 

1/2/15 to 3/27/15

0.14 to 0.25%

$ 31,000,000

$ 31,000,000

Natexis Banques Populaires New York Branch

 

2/2/15 to 3/31/15

0.25 to 0.29 (c)

38,000,000

38,000,000

National Bank of Canada

 

3/10/15 to 6/18/15

0.34 to 0.38 (c)

19,000,000

19,000,000

Rabobank Nederland New York Branch

 

1/5/15

0.21 (c)

3,000,000

3,000,000

Royal Bank of Canada

 

4/9/15 to 12/11/15

0.24 to 0.27 (c)

36,000,000

36,000,000

Sumitomo Mitsui Banking Corp.

 

1/6/15 to 6/15/15

0.14 to 0.34 (c)

41,000,000

41,000,000

Sumitomo Mitsui Trust Banking Ltd.

 

1/2/15 to 4/3/15

0.24

33,000,000

33,000,000

Swedbank AB

 

4/17/15

0.26

8,000,000

8,000,000

Toronto-Dominion Bank

 

2/10/15 to 10/6/15

0.23 to 0.31 (c)

30,000,000

29,999,371

UBS AG

 

3/5/15 to 6/9/15

0.27 to 0.34 (c)

18,000,000

18,000,000

 

 

439,999,378

TOTAL CERTIFICATE OF DEPOSIT

(Cost $490,999,378)

490,999,378

Financial Company Commercial Paper - 9.7%

 

BAT International Finance PLC

 

1/6/15

0.45

1,000,000

999,938

DNB Bank ASA

 

3/18/15

0.25

2,000,000

1,998,944

JPMorgan Securities LLC

 

4/22/15 to 5/26/15

0.27 to 0.30 (c)

19,000,000

18,987,917

Lloyds Bank PLC

 

1/2/15

0.05

38,000,000

37,999,947

Svenska Handelsbanken AB

 

6/5/15

0.25

12,000,000

11,987,083

Financial Company Commercial Paper - continued

 

 

Yield (a)

Principal Amount

Value

Swedbank AB

 

1/12/15 to 1/28/15

0.25%

$ 6,000,000

$ 5,999,194

Toyota Motor Credit Corp.

 

3/25/15

0.25

3,000,000

2,998,271

TOTAL FINANCIAL COMPANY COMMERCIAL PAPER

(Cost $80,971,294)

80,971,294

Asset Backed Commercial Paper - 0.8%

 

Atlantic Asset Securitization Corp.

 

3/6/15

 

(Cost $6,998,339)

0.22 (c)

7,000,000

6,998,339

Other Commercial Paper - 3.0%

 

Caisse centrale Desjardins

 

1/5/15

0.12

12,000,000

11,999,840

NBCUniversal Enterprise, Inc.

 

1/13/15

0.37

1,000,000

999,877

Northeast Utilities

 

1/5/15 to 1/7/15

0.33 to 0.50

3,920,000

3,919,782

Sempra Global

 

1/5/15 to 1/30/15

0.35 to 0.48

3,919,000

3,918,454

Virginia Electric & Power Co.

 

1/15/15 to 1/26/15

0.35 to 0.39

2,000,000

1,999,593

Xerox Corp.

 

1/26/15

0.38 to 0.52

2,000,000

1,999,375

TOTAL OTHER COMMERCIAL PAPER

(Cost $24,836,921)

24,836,921

Treasury Debt - 2.9%

 

U.S. Treasury Obligations - 2.9%

U.S. Treasury Bills

 

6/25/15

0.11

5,000,000

4,997,326

U.S. Treasury Notes

 

2/28/15 to 7/31/15

0.17 to 0.18

19,000,000

19,083,058

TOTAL TREASURY DEBT

(Cost $24,080,384)

24,080,384

Other Note - 1.2%

 

 

Yield (a)

Principal Amount

Value

Medium-Term Notes - 1.2%

Dominion Resources, Inc.

 

2/13/15

0.37% (b)(c)

$ 2,000,000

$ 2,000,000

Svenska Handelsbanken AB

 

6/15/15 to 6/26/15

0.31 to 0.32 (b)(c)

8,000,000

8,000,000

TOTAL OTHER NOTE

(Cost $10,000,000)

10,000,000

Government Agency Debt - 4.3%

 

Federal Agencies - 4.3%

Fannie Mae

 

10/21/15

0.16 (c)

4,000,000

3,999,673

Federal Home Loan Bank

 

9/14/15 to 10/2/15

0.14 to 0.25 (c)

14,000,000

13,999,455

Freddie Mac

 

6/26/15 to 11/14/16

0.12 to 0.16 (c)

18,000,000

17,996,723

TOTAL GOVERNMENT AGENCY DEBT

(Cost $35,995,851)

35,995,851

Other Instrument - 3.4%

 

Time Deposits - 3.4%

Credit Agricole CIB

 

1/2/15

 

(Cost $28,000,000)

0.07

28,000,000

28,000,000

Government Agency Repurchase Agreement - 4.1%

Maturity
Amount

 

In a joint trading account at 0.08% dated 12/31/14 due 1/2/15 (Collateralized by U.S. Government Obligations) #

$ 31,234,143

31,234,000

Government Agency Repurchase Agreement - continued

Maturity
Amount

Value

With Mizuho Securities U.S.A., Inc. at 0.15%, dated 9/17/14 due 1/7/15 (Collateralized by U.S. Government Obligations valued at $3,061,365, 4% - 7.5%, 9/1/25 - 1/1/34)

$ 3,001,500

$ 3,000,000

TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENT

(Cost $34,234,000)

34,234,000

Other Repurchase Agreement - 11.8%

 

 

 

 

Other Repurchase Agreement - 11.8%

With:

Citigroup Global Markets, Inc. at 1%, dated 11/18/14 due 5/5/15 (Collateralized by Corporate Obligations valued at $2,162,700, 0.39% - 6.5%, 9/17/21 - 2/28/52)

2,011,667

2,000,000

Credit Suisse Securities (U.S.A.) LLC at:

0.38%, dated 12/31/14 due 1/7/15 (Collateralized by Corporate Obligations valued at $3,151,478, 0.45% - 2.94%, 12/15/17 - 5/26/20)

3,000,222

3,000,000

0.75%, dated:

10/31/14 due 4/2/15 (Collateralized by Corporate Obligations valued at $2,103,406, 1.67%, 12/26/35)

2,006,375

2,000,000

11/3/14 due 4/8/15 (Collateralized by Corporate Obligations valued at $1,054,224, 5.8% , 4/12/17)

1,003,250

1,000,000

11/4/14 due 4/10/15 (Collateralized by Corporate Obligations valued at $2,103,406, 1.67%, 12/26/35)

2,006,542

2,000,000

11/5/14 due 4/6/15 (Collateralized by Corporate Obligations valued at $1,053,051, 1.67% - 5.8%, 4/12/17 - 12/26/35)

1,003,167

1,000,000

ING Financial Markets LLC at 0.28%, dated 12/31/14 due 1/2/15 (Collateralized by Corporate Obligations valued at $1,050,446, 0.65%, 6/2/17)

1,000,016

1,000,000

J.P. Morgan Clearing Corp. at:

0.33%, dated:

12/23/14 due 1/7/15 (Collateralized by Equity Securities valued at $3,261,175)

3,000,825

3,000,000

12/24/14 due 1/7/15 (Collateralized by Equity Securities valued at $2,174,140)

2,000,532

2,000,000

0.73%, dated 10/28/14 due 3/31/15 (Collateralized by Corporate Obligations valued at $3,265,954, 2.88%, 5/15/19)

3,012,288

3,000,000

Other Repurchase Agreement - continued

Maturity Amount

Value

Other Repurchase Agreement - continued

With: - continued

J.P. Morgan Securities, Inc. at:

0.17%, dated 12/31/14 due 1/7/15 (Collateralized by U.S. Government Obligations valued at $3,090,740, 4% - 6.03%, 5/20/39 - 9/20/44)

$ 3,000,099

$ 3,000,000

0.73%, dated:

10/24/14 due 3/31/15 (Collateralized by Mortgage Loan Obligations valued at $3,246,472, 5.51%, 3/10/39)

3,011,741

3,000,000

10/28/14 due 3/31/15 (Collateralized by Corporate Obligations valued at $2,176,907, 2.75%, 10/15/42)

2,007,908

2,000,000

11/18/14 due 3/31/15 (Collateralized by Mortgage Loan Obligations valued at $4,327,135, 5.51%, 3/10/39)

4,014,681

4,000,000

12/5/14 due 3/31/15 (Collateralized by Mortgage Loan Obligations valued at $1,080,663, 5.51%, 3/10/39)

1,003,650

1,000,000

Merrill Lynch, Pierce, Fenner & Smith at:

0.28%, dated 12/26/14 due 1/2/15 (Collateralized by U.S. Government Obligations valued at $4,120,224, 0.16% - 7%, 3/20/33 - 5/20/62)

4,000,218

4,000,000

0.3%, dated 12/29/14 due 1/7/15 (Collateralized by Equity Securities valued at $4,320,147)

4,000,567

4,000,000

0.33%, dated 12/10/14 due 1/7/15 (Collateralized by Equity Securities valued at $3,240,694)

3,000,770

3,000,000

0.35%, dated 12/31/14 due 1/2/15 (Collateralized by Municipal Bond Obligations valued at $12,960,253, 6.05% - 6.35%, 8/1/38 - 7/1/57)

12,000,233

12,000,000

0.78%, dated 11/10/14 due 2/10/15 (Collateralized by Corporate Obligations valued at $3,243,921, 2.13% - 3.25%, 8/15/37 - 12/15/37)

3,005,980

3,000,000

0.81%, dated 12/30/14 due 3/30/15 (Collateralized by Corporate Obligations valued at $2,160,761, 3.25%, 8/15/37)

2,004,050

2,000,000

0.85%, dated 12/18/14 due 2/20/15 (Collateralized by Corporate Obligations valued at $5,401,270, 0.35% - 1.63%, 1/20/22 - 5/25/47)

5,007,556

5,000,000

0.95%, dated:

10/6/14 due 2/6/15 (Collateralized by Corporate Obligations valued at $1,082,303, 0.44% - 1.63%, 1/20/22 - 7/25/36)

1,003,246

1,000,000

10/8/14 due 2/9/15 (Collateralized by Corporate Obligations valued at $1,082,246, 0.44% - 1.63%, 1/20/22 - 7/25/36)

1,003,272

1,000,000

Other Repurchase Agreement - continued

Maturity Amount

Value

Other Repurchase Agreement - continued

With: - continued

Merrill Lynch, Pierce, Fenner & Smith at: - continued

0.95%, dated: - continued

10/9/14 due 2/9/15 (Collateralized by Corporate Obligations valued at $1,082,218, 0.44% - 1.63%, 1/20/22 - 7/25/36)

$ 1,003,246

$ 1,000,000

Mitsubishi UFJ Securities (U.S.A.), Inc. at:

0.25%, dated 12/2/14 due 1/6/15 (Collateralized by Corporate Obligations valued at $2,100,453, 0.64% - 7.8%, 9/15/16 - 1/26/39)

2,000,486

2,000,000

0.26%, dated:

12/10/14 due 1/7/15 (Collateralized by Equity Securities valued at $1,080,193)

1,000,238

1,000,000

12/26/14 due 1/7/15 (Collateralized by Equity Securities valued at $1,080,082)

1,000,224

1,000,000

0.33%, dated:

12/3/14 due 1/6/15 (Collateralized by Municipal Bond Obligations valued at $1,050,289, 1.35% - 7.43%, 7/18/15 - 7/1/42)

1,000,312

1,000,000

12/4/14 due 1/7/15 (Collateralized by Equity Securities valued at $1,080,302)

1,000,816

1,000,000

12/5/14 due 1/7/15:

(Collateralized by Corporate Obligations valued at $1,050,270, 1.25% - 7.43%, 9/29/17 - 7/1/42)

1,000,358

1,000,000

(Collateralized by Equity Securities valued at $2,160,571)

2,001,760

2,000,000

Mizuho Securities U.S.A., Inc. at:

0.32%, dated:

12/18/14 due 1/2/15 (Collateralized by Equity Securities valued at $1,080,147)

1,000,133

1,000,000

12/24/14 due 1/7/15 (Collateralized by Equity Securities valued at $1,080,122)

1,000,124

1,000,000

12/26/14 due 1/7/15 (Collateralized by Equity Securities valued at $1,080,076)

1,000,124

1,000,000

12/30/14 due 1/7/15 (Collateralized by Equity Securities valued at $1,080,051)

1,000,124

1,000,000

0.91%, dated:

10/17/14 due 1/15/15 (Collateralized by U.S. Government Obligations valued at $1,032,309, 3.5% - 6.48%, 9/25/40 - 12/20/44)

1,002,275

1,000,000

10/21/14 due 1/20/15 (Collateralized by U.S. Government Obligations valued at $1,032,205, 3.5% - 6.48%, 9/25/40 - 12/20/44)

1,002,300

1,000,000

Other Repurchase Agreement - continued

Maturity Amount

Value

Other Repurchase Agreement - continued

With: - continued

Mizuho Securities U.S.A., Inc. at: - continued

0.91%, dated: - continued

11/3/14 due 2/2/15 (Collateralized by U.S. Government Obligations valued at $1,031,562, 5.85% - 6.46%, 9/20/40)

$ 1,002,300

$ 1,000,000

11/5/14 due 2/3/15 (Collateralized by U.S. Government Obligations valued at $1,031,510, 6.46%, 9/20/40)

1,002,275

1,000,000

12/1/14 due 3/2/15 (Collateralized by U.S. Government Obligations valued at $1,031,138, 3.5% - 6.48%, 9/25/40 - 12/20/44)

1,002,300

1,000,000

1.03%, dated 9/5/14 due 1/5/15 (Collateralized by U.S. Government Obligations valued at $1,033,507, 3.5% - 5.9%, 9/20/40 - 12/20/44)

1,003,491

1,000,000

RBC Capital Markets Co. at:

0.24%, dated 12/24/14 due 1/7/15 (Collateralized by U.S. Government Obligations valued at $1,027,724, 2.48% - 6.56%, 4/1/21 - 4/15/44)

1,000,093

1,000,000

0.38%, dated:

12/23/14 due 1/7/15 (Collateralized by Equity Securities valued at $1,080,123)

1,000,591

1,000,000

12/24/14 due 1/7/15 (Collateralized by Corporate Obligations valued at $1,080,103, 4.63% - 14%, 6/26/15 - 8/15/21)

1,000,148

1,000,000

0.4%, dated:

12/24/14 due 1/7/15 (Collateralized by Mortgage Loan Obligations valued at $1,080,109, 0.3% - 5.48%, 4/15/30 - 9/25/47)

1,000,156

1,000,000

12/31/14 due 1/7/15 (Collateralized by Mortgage Loan Obligations valued at $1,080,024, 0.36% - 3.9%, 4/15/30 - 9/25/47)

1,000,156

1,000,000

SG Americas Securities, LLC at 0.39%, dated 12/31/14 due 1/7/15 (Collateralized by Corporate Obligations valued at $3,150,069, 3.55% - 8.05%, 1/27/20 - 10/1/77)

3,000,228

3,000,000

Other Repurchase Agreement - continued

Maturity Amount

Value

Other Repurchase Agreement - continued

With: - continued

Wells Fargo Securities, LLC at:

0.4%, dated 12/31/14 due 1/7/15 (Collateralized by Corporate Obligations valued at $1,080,414, 10.5%, 3/25/19)

$ 1,000,078

$ 1,000,000

0.75%, dated 10/29/14 due 1/28/15 (Collateralized by Corporate Obligations valued at $1,081,464, 2.25% - 2.38%, 5/1/32 - 11/15/40)

1,001,896

1,000,000

TOTAL OTHER REPURCHASE AGREEMENT

(Cost $98,000,000)

98,000,000

TOTAL INVESTMENT PORTFOLIO - 100.0%

(Cost $834,116,167)

834,116,167

NET OTHER ASSETS (LIABILITIES) - 0.0%

291,698

NET ASSETS - 100%

$ 834,407,865

Legend

(a) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable 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 $10,000,000 or 1.2% of net assets.

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

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

Repurchase Agreement / Counterparty

Value

$31,234,000 due 1/02/15 at 0.08%

BNP Paribas Securities Corp.

$ 1,675,861

BNY Mellon Capital Markets LLC

4,249,702

Bank of America NA

11,958,290

HSBC Securities (USA), Inc.

3,695,393

Mizuho Securities USA, Inc.

3,949,067

Wells Fargo Securities LLC

5,705,687

 

$ 31,234,000

Other Information

The date shown for securities represents the date when principal payments must be paid, taking into account any call options exercised by the issuer and any permissible maturity shortening features other than interest rate resets.

All investments are categorized as Level 2 under the Fair Value Hierarchy. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, please refer to the Investment Valuation section at the end of this listing.

Income Tax Information

At December 31, 2014, the cost of investment securities for income tax purposes was $834,116,167.

Investment Valuation

Security transactions are accounted for as of trade date. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available).

As permitted by compliance with certain conditions under Rule 2a-7 of the 1940 Act, securities are valued at amortized cost, which approximates fair value. The amortized cost of an instrument is determined by valuing it at its original cost and thereafter amortizing any discount or premium from its face value at a constant rate until maturity. Securities held by a money market fund are generally high quality and liquid; however, they are reflected as Level 2 because the inputs used to determine fair value are not quoted prices in an active market.

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

Quarterly Report

The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

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

Quarterly Report

Item 2. Controls and Procedures

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

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

Item 3. Exhibits

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

SIGNATURES

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

Fidelity Garrison Street Trust

By:

/s/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

March 2, 2015

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/Stephanie J. Dorsey

 

Stephanie J. Dorsey

 

President and Treasurer

 

 

Date:

March 2, 2015

By:

/s/Howard J. Galligan III

 

Howard J. Galligan III

 

Chief Financial Officer

 

 

Date:

March 2, 2015