-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, Qq5eFX9yJuHgJNi3AKdNUE6ZbzmmzCh0GIB2T5UucvM3ROeb0GXS9yfj7XvuTbGF 1fGS9c9SciSWLMHKSRQprA== 0000028540-96-000074.txt : 19961106 0000028540-96-000074.hdr.sgml : 19961106 ACCESSION NUMBER: 0000028540-96-000074 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19960930 FILED AS OF DATE: 19961105 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: DAILY MONEY FUND/MA/ CENTRAL INDEX KEY: 0000028540 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 042778694 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-03480 FILM NUMBER: 96654332 BUSINESS ADDRESS: STREET 1: 82 DEVONSHIRE ST CITY: BOSTON STATE: MA ZIP: 02109 BUSINESS PHONE: 2142816351 MAIL ADDRESS: STREET 1: P.O. BOX 650471 STREET 2: MAILZONE DW4B CITY: DALLAS STATE: TX ZIP: 75265-0471 FORMER COMPANY: FORMER CONFORMED NAME: DEVONSHIRE STREET FUND INC DATE OF NAME CHANGE: 19821213 N-30D 1 (registered trademark) FIDELITY INSTITUTIONAL MONEY MARKET FUNDS SEMIANNUAL REPORT SEPTEMBER 30, 1996 FIMM-SANN-1196 21094 CONTENTS SCHEDULES OF INVESTMENTS & FINANCIAL STATEMENTS FIDELITY INSTITUTIONAL CASH PORTFOLIOS: TREASURY 3 GOVERNMENT 10 DOMESTIC 18 MONEY MARKET 28 FIDELITY INSTITUTIONAL TAX-EXEMPT CASH PORTFOLIOS: TAX-EXEMPT 40 DAILY MONEY FUND: TREASURY ONLY 62 FIDELITY MONEY MARKET TRUST: RATED MONEY MARKET 69 NOTES TO FINANCIAL STATEMENTS 78 FUND GOALS: EACH OF TREASURY, GOVERNMENT, DOMESTIC, MONEY MARKET, TREASURY ONLY, AND RATED MONEY MARKET SEEKS TO OBTAIN AS HIGH A LEVEL OF CURRENT INCOME AS IS CONSISTENT WITH THE PRESERVATION OF PRINCIPAL AND LIQUIDITY WITHIN THE LIMITATIONS PRESCRIBED FOR THE FUND. TAX EXEMPT SEEKS AS HIGH A LEVEL OF INTEREST INCOME EXEMPT FROM FEDERAL INCOME TAX AS IS CONSISTENT WITH A PORTFOLIO OF HIGH-QUALITY, SHORT-TERM MUNICIPAL OBLIGATIONS SELECTED ON THE BASIS OF LIQUIDITY AND STABILITY OF PRINCIPAL. INVESTMENTS IN THE FUNDS ARE NEITHER INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT, AND THERE CAN BE NO ASSURANCE THAT THE FUNDS WILL MAINTAIN A STABLE $1.00 SHARE PRICE. THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE FUNDS. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUNDS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE PROSPECTUS. MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED. NEITHER THE FUNDS NOR FIDELITY DISTRIBUTORS IS A BANK. FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND EXPENSES, CALL THE APPROPRIATE NUMBER LISTED BELOW. READ THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR SEND MONEY. RETIREMENT PLAN LEVEL ACCOUNTS CORPORATE CLIENTS 1-800-962-1375 "NOT FOR PROFIT" CLIENTS 1-800-343-0860 FINANCIAL AND OTHER INSTITUTIONS NATIONWIDE 1-800-843-3001 To reduce expenses and demonstrate respect for our environment, we have initiated a project through which we will begin eliminating duplicate copies of most financial reports and prospectuses to most households, even if they have more than one account in the fund. If additional copies of financial reports, prospectuses or historical account information are needed, please call 1-800-544-6666. FIDELITY INSTITUTIONAL CASH PORTFOLIOS: TREASURY INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) Showing Percentage of Total Value of Investments U.S. TREASURY OBLIGATIONS - 15.5% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) U.S. TREASURY BILLS 4/3/97 5.47% $ 5,000,000 $ 4,865,194 4/3/97 5.54 17,000,000 16,543,399 4/3/97 5.55 186,000,000 180,999,494 4/3/97 5.59 157,000,000 152,747,046 5/29/97 5.67 3,000,000 2,891,667 5/29/97 5.71 81,000,000 78,084,000 5/29/97 5.74 161,000,000 155,177,168 7/24/97 5.73 223,000,000 213,060,074 8/21/97 5.63 48,000,000 45,697,440 8/21/97 5.66 48,000,000 45,688,800 8/21/97 5.67 171,500,000 163,226,161 9/18/97 5.65 101,000,000 95,716,576 9/18/97 5.68 60,000,000 56,843,733 9/18/97 5.70 85,000,000 80,520,310 9/18/97 5.71 82,000,000 77,668,395 TOTAL U.S. TREASURY OBLIGATIONS 1,369,729,457 REPURCHASE AGREEMENTS - 84.5% MATURITY AMOUNT In a joint trading account (U.S. Treasury Obligations) dated 9/30/96, due 10/1/96 (Notes 2 and 3) At 5.75% $ 7,489,321,161 7,488,125,000 TOTAL INVESTMENTS - 100% $ 8,857,854,457 Total Cost for Income Tax Purposes $ 8,857,854,457 INCOME TAX INFORMATION At March 31, 1996, the fund had a capital loss carryforward of approximately $1,038,000 of which $31,000, $142,000, $1,000, $330,000 and $534,000 will expire on March 31, 1997, 1999, 2001, 2002 and 2003, respectively. FIDELITY INSTITUTIONAL CASH PORTFOLIOS: TREASURY FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED) 1.ASSETS Investment in securities, at value (including repurchase agreements of $7,488,125,000) - $ 8,857,854,457 See accompanying schedule Cash 200,024 Interest receivable 1,196,095 2.TOTAL ASSETS 8,859,250,576 3.LIABILITIES Distributions payable $ 25,789,406 Accrued management fee 1,202,709 Distribution fees payable 489,330 Other payables and accrued expenses 527,315 4.TOTAL LIABILITIES 28,008,760 5.NET ASSETS $ 8,831,241,816 Net Assets consist of: Paid in capital $ 8,832,247,076 Accumulated net realized gain (loss) on investments (1,005,260) 6.NET ASSETS $ 8,831,241,816 7.8.CLASS I: $1.00 9.NET ASSET VALUE, offering price and redemption price per share ($6,713,409,673 (divided by) 6,714,069,696 shares) 10.CLASS II: $1.00 11.NET ASSET VALUE, offering price and redemption price per share ($40,563,574 (divided by) 40,567,562 shares) 12.CLASS III: $1.00 13.NET ASSET VALUE, offering price and redemption price per share ($2,077,268,569 (divided by) 2,077,472,793 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) 14.15.INTEREST INCOME $ 241,293,066 16.EXPENSES Management fee $ 9,053,085 Transfer agent fees 888,035 Class I Class II 6,221 Class III 262,810 Distribution fees 24,368 Class II Class III 2,568,905 Accounting fees and expenses 368,215 Non-interested trustees' compensation 22,221 Custodian fees and expenses 22,175 Registration fees 165,356 Class I Class II 44,749 Class III 101,381 Audit 52,071 Legal 35,427 Miscellaneous 18,558 Total expenses before reductions 13,633,577 Expense reductions (1,994,437) 11,639,140 17.NET INTEREST INCOME 229,653,926 18.19.NET REALIZED GAIN (LOSS) ON INVESTMENTS 87,163 20.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 229,741,089
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 1996 1996 (UNAUDITED) 21.INCREASE (DECREASE) IN NET ASSETS Operations $ 229,653,926 $ 370,769,223 Net interest income Net realized gain (loss) 87,163 106,955 22.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 229,741,089 370,876,178 Distributions to shareholders (178,656,576) (320,652,604) From net interest income Class I Class II (810,432) (1,677,682) Class III (50,186,918) (48,438,937) 23.TOTAL DISTRIBUTIONS (229,653,926) (370,769,223) Share transactions - net increase (decrease) at net asset value of $1.00 per share: Class I (524,106,664) 1,299,702,691 Class II 93,144 40,474,418 Class III 642,018,957 849,830,905 Net asset value of Class I shares issued in exchange for the net assets of - 1,004,156,957 Fidelity Institutional Cash Portfolios: Treasury Net asset value of Class I shares issued in exchange for the net assets of - 141,780,306 Fidelity Money Market Trust: U.S. Treasury Portfolio Net asset value of Class I shares issued in exchange for the net assets of 103,327,567 - State & Local Asset Management Series: U.S. Government Portfolio 24.TOTAL SHARE TRANSACTIONS 221,333,004 3,335,945,277 25.TOTAL INCREASE (DECREASE) IN NET ASSETS 221,420,167 3,336,052,232 26.NET ASSETS Beginning of period 8,609,821,649 5,273,769,417 End of period $ 8,831,241,816 $ 8,609,821,649
FINANCIAL HIGHLIGHTS - CLASS I SIX MONTHS ENDED YEARS ENDED MARCH 31, SEPTEMBER 30, 1996 (UNAUDITED) 1996 1995 1994 1993 1992 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .026 .056 .047 .030 .034 .053 Less Distributions From net interest income (.026) (.056) (.047) (.030) (.034) (.053) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.60% 5.79% 4.78% 3.06% 3.46% 5.41% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 6,713,410 $ 7,134,049 $ 4,688,198 $ 4,551,918 $ 5,589,663 $ 5,476,852 Ratio of expenses to average net assets .20% A, .20% .18% .18% .18% .18% C C C C C C Ratio of net interest income to average net assets 5.13% A 5.61% 4.71% 3.01% 3.38% 5.12%
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS II SIX MONTHS ENDED NOVEMBER 6, 1995 SEPTEMBER 30, 1996 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .025 .021 Less Distributions From net interest income (.025) (.021) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.53% 2.14% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 40,564 $ 40,470 Ratio of expenses to average net assets .35% A, C .35% A, C Ratio of net interest income to average net assets 4.99% A 5.18% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS III SIX MONTHS ENDED YEARS ENDED MARCH 31, OCTOBER 22, 1993 SEPTEMBER 30, (COMMENCEMENT 1996 OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 1995 1994
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .024 .054 .044 .012 Less Distributions From net interest income (.024) (.054) (.044) (.012) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.47% 5.50% 4.45% 1.21% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 2,077,269 $ 1,435,302 $ 585,571 $ 5,175 Ratio of expenses to average net assets .45% A, C .46% C .50% C .50% A, C Ratio of net interest income to average net assets 4.89% A 5.28% 4.91% 2.69% A
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FIDELITY INSTITUTIONAL CASH PORTFOLIOS: GOVERNMENT INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) Showing Percentage of Total Value of Investments FEDERAL AGENCIES - 62.3% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) FEDERAL FARM CREDIT BANK - AGENCY COUPONS (A) - 2.7% 10/1/96 5.54% $ 6,000,000 $ 5,997,848 10/1/96 5.58 94,000,000 93,971,057 99,968,905 FEDERAL HOME LOAN BANK - AGENCY COUPONS (A) - 4.0% 10/1/96 5.74 2,000,000 1,999,557 10/28/96 5.36 14,000,000 13,990,104 11/2/96 5.26 133,000,000 132,896,340 148,886,001 FEDERAL HOME LOAN BANK - DISCOUNT NOTES - 2.9% 1/29/97 5.64 107,000,000 105,045,467 FEDERAL HOME LOAN MORTGAGE CORP. - DISCOUNT NOTES - 6.4% 10/7/96 5.32 65,665,000 65,606,996 10/7/96 5.34 10,000,000 9,991,142 10/10/96 5.32 24,000,000 23,968,200 10/10/96 5.35 23,000,000 22,969,410 11/4/96 5.36 4,000,000 3,980,016 11/4/96 5.42 13,000,000 12,934,437 11/4/96 5.43 49,000,000 48,752,414 11/5/96 5.36 49,600,000 49,344,904 237,547,519 FEDERAL NATIONAL MORTGAGE ASSOC. - AGENCY COUPONS (A) - 33.9% 10/1/96 5.27 108,000,000 107,991,642 10/1/96 5.33 43,000,000 42,959,712 10/1/96 5.34 56,000,000 56,311,207 10/1/96 5.35 11,000,000 10,995,749 10/1/96 5.36 344,000,000 343,862,467 10/1/96 5.38 62,000,000 61,967,519 10/1/96 5.42 54,000,000 53,955,687 10/1/96 5.48 51,000,000 51,000,000 10/1/96 5.51 113,000,000 113,000,000 10/1/96 5.77 6,000,000 6,000,000 10/1/96 5.85 190,000,000 190,000,000 10/11/96 5.39 42,000,000 41,998,898 11/1/96 5.59 95,000,000 94,950,047 11/21/96 5.40 31,000,000 30,989,835 12/20/96 5.54 45,000,000 44,977,788 1,250,960,551 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) FEDERAL NATIONAL MORTGAGE ASSOC. - DISCOUNT NOTES - 7.5% 10/16/96 5.37% $ 86,000,000 $ 85,812,950 10/21/96 5.43 32,000,000 31,904,889 10/23/96 5.43 26,000,000 25,914,994 11/8/96 5.36 26,235,000 26,088,506 2/4/97 5.45 7,000,000 6,870,150 2/5/97 5.45 50,000,000 49,065,139 2/7/97 5.45 50,000,000 49,050,417 274,707,045 STUDENT LOAN MARKETING ASSOC. - AGENCY COUPONS (A) - 4.9% 10/1/96 5.41 5,000,000 5,000,000 10/1/96 5.46 170,000,000 170,000,000 10/1/96 5.59 5,000,000 5,001,642 180,001,642 TOTAL FEDERAL AGENCIES 2,297,117,130 U.S. TREASURY OBLIGATIONS - 9.0% U.S. TREASURY BILLS 4/3/97 5.54 50,000,000 48,657,056 4/3/97 5.55 70,000,000 68,118,089 8/21/97 5.63 17,500,000 16,660,525 8/21/97 5.66 17,500,000 16,657,375 8/21/97 5.67 64,500,000 61,388,265 9/18/97 5.65 30,000,000 28,430,667 9/18/97 5.68 33,000,000 31,264,053 9/18/97 5.70 19,000,000 17,998,658 9/18/97 5.71 44,000,000 41,675,724 TOTAL U.S. TREASURY OBLIGATIONS 330,850,412 MEDIUM-TERM NOTES (A) (B) - 0.8% Export-Import Bank, U.S. (as guarantor for K.A. Leasing, Ltd.) 10/15/96 5.29 2,718,537 2,718,537 10/15/96 5.56 26,317,511 26,317,511 TOTAL MEDIUM-TERM NOTES 29,036,048 REPURCHASE AGREEMENTS - 27.9% MATURITY VALUE AMOUNT (NOTE 1) In a joint trading account (Notes 2 and 3): (U.S. Treasury Obligations) dated 9/30/96 due 10/1/96 At 5.75% $ 202,919,418 $ 202,887,000 (U.S. Government Obligations): dated 9/30/96 due 10/1/96 At 5.87% 265,532,299 265,489,000 dated 9/5/96 due 10/2/96 At 5.39% 123,497,228 123,000,000 dated 9/18/96 due 10/2/96 At 5.34% 262,544,087 262,000,000 dated 9/9/96 due 10/9/96 At 5.40% 89,400,500 89,000,000 dated 9/16/96 due 12/2/96 At 5.40% 89,016,400 88,000,000 TOTAL REPURCHASE AGREEMENTS 1,030,376,000 TOTAL INVESTMENTS - 100% $ 3,687,379,590 Total Cost for Income Tax Purposes $ 3,687,379,590 LEGEND 1. The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflects the next interest rate reset date or, when applicable, the final maturity date. 2. Restricted securities - Investment in securities not registered under the Securities Act of 1933 (see Note 2 of Notes to Financial Statements). Additional information on each holding is as follows: ACQUISITION ACQUISITION SECURITY DATE COST Export-Import Bank, U.S. (as guarantor for K.A. Leasing, Ltd.) 3/1/94 $ 29,036,048 INCOME TAX INFORMATION At March 31, 1996, the fund had a capital loss carryforward of approximately $1,096,700 of which $200, $53,000, $271,000, $761,000 and $11,500 will expire on March 31, 1997, 2001, 2002, 2003 and 2004, respectively. FIDELITY INSTITUTIONAL CASH PORTFOLIOS: GOVERNMENT FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED) 3.ASSETS Investment in securities, at value (including repurchase agreements of $1,030,376,000) - $ 3,687,379,590 See accompanying schedule Interest receivable 20,055,562 4.TOTAL ASSETS 3,707,435,152 5.LIABILITIES Payable to custodian bank $ 53,854 Payable for investments purchased 132,896,340 Payable for reverse repurchase agreements 116,789,514 Share transactions in process 250,004 Distributions payable 8,862,949 Accrued management fee 414,703 Other payables and accrued expenses 324,611 6.TOTAL LIABILITIES 259,591,975 7.NET ASSETS $ 3,447,843,177 Net Assets consist of: Paid in capital $ 3,448,856,602 Accumulated net realized gain (loss) on investments (1,013,425) 8.NET ASSETS $ 3,447,843,177 9.CLASS I: $1.00 10.NET ASSET VALUE, offering price and redemption price per share ($3,000,952,441 (divided by) 3,001,396,329 shares) 11.CLASS II: $1.00 12.NET ASSET VALUE, offering price and redemption price per share ($58,366,267 (divided by) 58,374,903 shares) 13.CLASS III: $1.00 14.NET ASSET VALUE, offering price and redemption price per share ($388,524,469 (divided by) 388,581,938 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) 15.16.INTEREST INCOME $ 96,183,933 17.EXPENSES Management fee $ 3,533,367 Transfer agent fees 492,719 Class I Class II 7,942 Class III 61,176 Distribution fees 31,630 Class II Class III 386,641 Accounting fees and expenses 159,316 Non-interested trustees' compensation 2,283 Custodian fees and expenses 23,970 Registration fees 111,201 Class I Class II 60,896 Class III 96,577 Audit 18,210 Legal 12,243 Miscellaneous 9,475 Total expenses before reductions 5,007,646 Expense reductions (1,055,206) 3,952,440 18.NET INTEREST INCOME 92,231,493 19.20.NET REALIZED GAIN (LOSS) ON INVESTMENTS 7,227 21.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 92,238,720
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS YEAR ENDED ENDED MARCH 31, SEPTEMBER 1996 30,1996 (UNAUDITED) 22.INCREASE (DECREASE) IN NET ASSETS Operations $ 92,231,493 $ 196,329,755 Net interest income Net realized gain (loss) 7,227 (11,447) 23.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 92,238,720 196,318,308 Distributions to shareholders (83,434,968) (192,250,800) From net interest income Class I Class II (1,069,158) (2,158) Class III (7,727,367) (4,076,797) 24.TOTAL DISTRIBUTIONS (92,231,493) (196,329,755) Share transactions - net increase (decrease) (63,225,855) (473,028,897) at net asset value of $ 1.00 per share: Class I Class II 58,272,742 102,161 Class III 194,062,405 153,997,567 Net asset value of Class I shares issued in exchange for the net assets of Fidelity Money Market Trust: U.S. Government Portfolio - 216,086,107 25.TOTAL SHARE TRANSACTIONS 189,109,292 (102,843,062) 26.TOTAL INCREASE (DECREASE) IN NET ASSETS 189,116,519 (102,854,509) 27.NET ASSETS Beginning of period 3,258,726,658 3,361,581,167 End of period $ 3,447,843,177 $ 3,258,726,658
FINANCIAL HIGHLIGHTS - CLASS I SIX MONTHS ENDED YEARS ENDED MARCH 31, SEPTEMBER 30, 1996 (UNAUDITED) 1996 1995 1994 1993 1992
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .026 .057 .048 .031 .035 .054 Less Distributions From net interest income (.026) (.057) (.048) (.031) (.035) (.054) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.66% 5.84% 4.86% 3.13% 3.56% 5.55% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 3,000,952 $ 3,064,136 $ 3,321,066 $ 3,764,544 $ 5,686,166 $ 4,603,781 Ratio of expenses to average net assets .20% A, .20% .18% .18% .18% .18% C C C C C C Ratio of net interest income to average 5.24% A 5.69% 4.77% 3.07% 3.50% 5.33% net assets
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS II SIX MONTHS ENDED NOVEMBER 6, SEPTEMBER 30, 1996 1995 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .026 .021 Less Distributions From net interest income (.026) (.021) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.58% 2.16% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 58,366 $ 102 Ratio of expenses to average net assets .35% A, C .35% A, C Ratio of net interest income to average net assets 5.10% A 5.33% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS III SIX MONTHS ENDED YEAR ENDED APRIL 4, 1994 SEPTEMBER 30, MARCH 31, (COMMENCEMENT 1996 OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 1995
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .025 .054 .045 Less Distributions From net interest income (.025) (.054) (.045) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.53% 5.58% 4.57% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 388,524 $ 194,489 $ 40,516 Ratio of expenses to average net assets .45% A, C .45% C .43% A, C Ratio of net interest income to average net assets 5.00% A 5.30% 5.13% A
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FIDELITY INSTITUTIONAL CASH PORTFOLIOS: DOMESTIC INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) Showing Percentage of Total Value of Investments BANKERS' ACCEPTANCES - 2.0% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) DOMESTIC BANKERS' ACCEPTANCES Chase Manhattan Bank (USA) 10/7/96 5.33% $ 3,581,945 $ 3,578,787 11/12/96 5.42 3,409,989 3,388,705 11/14/96 5.36 2,072,746 2,059,344 11/18/96 5.36 6,629,347 6,582,588 11/18/96 5.41 2,694,145 2,674,963 11/20/96 5.36 2,663,817 2,644,246 2/19/97 5.72 2,338,950 2,287,832 TOTAL BANKERS' ACCEPTANCES 23,216,465 CERTIFICATES OF DEPOSIT - 4.6% DOMESTIC CERTIFICATES OF DEPOSIT Bank of New York - Delaware 4/29/97 5.80 4,000,000 4,000,000 Chase Manhattan Bank (USA) 3/10/97 5.77 15,000,000 15,000,000 First Tennessee Bank, NA Memphis 10/21/96 5.34 4,000,000 4,000,000 Mellon Bank, NA 11/19/96 5.38 10,000,000 10,000,000 3/4/97 5.82 5,000,000 5,000,000 Old Kent Bank - Michigan 11/27/96 5.50 15,000,000 15,000,000 TOTAL CERTIFICATES OF DEPOSITS 53,000,000 COMMERCIAL PAPER - 47.1% AVCO Financial Services 10/10/96 5.54 16,284,000 16,261,772 American Brands, Inc. 10/25/96 5.42 5,000,000 4,982,000 American Express Credit Corp. 10/17/96 5.35 15,000,000 14,964,667 10/21/96 5.35 25,000,000 24,926,389 Asset Securitization Cooperative Corp. 10/15/96 5.33 3,000,000 2,993,828 10/22/96 5.35 7,000,000 6,978,358 Associates Corp. of North America 10/31/96 5.37 20,000,000 19,911,333 12/31/96 5.45 7,000,000 6,904,981 Bank of New York Company, Inc. 10/3/96 5.48 10,000,000 9,997,000 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Bear Stearns Cos., Inc. 11/20/96 5.40% $ 5,000,000 $ 4,963,056 CIT Group Holdings, Inc. 10/30/96 5.38 5,000,000 4,978,451 12/3/96 5.56 10,000,000 9,904,100 Chrysler Financial Corporation 12/2/96 5.45 2,000,000 1,981,400 Citibank Credit Card Master Trust I (Dakota Certificate Program) 10/7/96 5.42 5,000,000 4,995,500 11/20/96 5.39 2,000,000 1,985,222 Corporate Asset Funding Co., Inc. 12/19/96 5.45 10,000,000 9,882,049 Dean Witter, Discover & Co. 1/31/97 5.51 10,000,000 9,817,678 Electronic Data Systems 10/7/96 5.40 6,000,000 5,994,630 11/12/96 5.42 5,000,000 4,968,675 Enterprise Funding Corp. 10/3/96 5.32 8,274,000 8,271,568 10/3/96 5.39 1,794,000 1,793,465 11/8/96 5.40 5,000,000 4,971,869 Fleet Funding Corp. 10/10/96 5.40 5,000,000 4,993,275 Ford Motor Credit Corp. 10/4/96 5.37 11,000,000 10,995,096 10/9/96 5.34 15,000,000 14,982,333 10/22/96 5.52 20,000,000 19,936,533 GTE Corp. 10/22/96 5.39 5,000,000 4,984,338 General Electric Capital Corp. 11/4/96 5.48 5,000,000 4,974,831 2/18/97 5.51 20,000,000 19,583,111 3/12/97 5.76 7,000,000 6,823,600 General Electric Co. 10/3/96 5.38 25,000,000 24,992,556 10/22/96 5.35 7,000,000 6,978,358 General Motors Acceptance Corp. 10/8/96 5.42 10,000,000 9,989,500 11/26/96 5.68 5,000,000 4,956,989 12/4/96 5.70 8,000,000 7,921,280 2/20/97 5.70 3,000,000 2,934,384 2/24/97 5.71 3,000,000 2,932,475 2/25/97 5.71 5,000,000 4,886,688 3/31/97 5.70 6,000,000 5,832,877 COMMERCIAL PAPER - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Goldman Sachs Group, L.P. (The) 10/29/96 5.38% $ 15,000,000 $ 14,937,583 Household Finance Corp. 10/30/96 5.39 5,000,000 4,978,492 IBM Corp. 10/18/96 5.40 15,000,000 14,961,963 10/23/96 5.32 20,000,000 19,935,589 IBM Credit Corp. 10/11/96 5.39 10,000,000 9,985,111 10/22/96 5.52 13,600,000 13,556,367 11/26/96 5.38 5,000,000 4,958,544 International Lease Finance Corp. 10/1/96 5.39 4,000,000 4,000,000 Lilly (Eli) & Co. 11/12/96 5.45 10,000,000 9,938,167 Lucent Technologies, Inc. 11/18/96 5.41 10,000,000 9,928,933 Merrill Lynch & Co., Inc. 3/11/97 5.76 5,000,000 4,874,778 3/12/97 5.68 4,000,000 3,900,550 Morgan Stanley Group, Inc. 10/15/96 5.35 10,000,000 9,979,389 10/15/96 5.41 10,000,000 9,979,078 10/21/96 5.35 10,000,000 9,970,556 New Center Asset Trust 12/2/96 5.63 2,000,000 1,981,056 2/13/97 5.58 5,000,000 4,898,188 Norwest Financial 10/21/96 5.35 10,000,000 9,970,556 PHH Corp. 10/24/96 5.32 6,185,000 6,164,175 Preferred Receivables Funding Corp. 10/2/96 5.35 5,125,000 5,124,243 10/2/96 5.39 2,000,000 1,999,702 10/3/96 5.32 4,000,000 3,998,824 Sears Roebuck Acceptance Corp. 10/8/96 5.51 3,000,000 2,996,821 10/21/96 5.36 2,000,000 1,994,100 Sherwood Medical Company 10/2/96 5.36 10,847,000 10,845,397 10/21/96 5.49 1,000,000 996,972 Smith Barney, Inc. 10/1/96 5.41 10,000,000 10,000,000 TOTAL COMMERCIAL PAPER 547,981,349 FEDERAL AGENCIES - 18.5% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) FEDERAL HOME LOAN BANK - AGENCY COUPONS (A) - 2.0% 10/2/96 5.46% $ 5,000,000 $ 4,999,988 12/13/96 5.51 11,000,000 10,998,620 12/20/96 5.51 7,000,000 6,999,037 22,997,645 FEDERAL NATIONAL MORTGAGE ASSOC. - AGENCY COUPONS (A) - 8.5% 9/29/96 5.35 8,000,000 7,995,309 10/1/96 5.33 6,000,000 5,994,378 10/1/96 5.42 25,000,000 24,979,485 10/1/96 5.48 15,000,000 15,000,000 10/2/96 5.36 25,000,000 24,988,671 11/1/96 5.59 15,000,000 14,992,113 12/20/96 5.54 5,000,000 4,997,532 98,947,488 FEDERAL NATIONAL MORTGAGE ASSOC. - DISCOUNT NOTES - 5.4% 1/21/97 5.65 10,000,000 9,828,889 2/3/97 5.62 20,000,000 19,620,833 2/11/97 5.41 15,000,000 14,708,508 3/11/97 5.62 20,000,000 19,510,739 63,668,969 STUDENT LOAN MARKETING ASSOC. - AGENCY COUPONS (A) - 2.6% 10/1/96 5.46 10,000,000 10,000,000 10/16/96 5.68 20,000,000 20,000,000 30,000,000 TOTAL FEDERAL AGENCIES 215,614,102 BANK NOTES - 11.7% Bank of America National Trust & Savings Assoc. 10/15/96 5.55 15,000,000 14,999,942 12/31/96 5.69 10,000,000 9,998,349 3/12/97 5.75 15,000,000 15,000,000 3/25/97 5.59 10,000,000 10,000,000 Bank of New York - Delaware 10/30/96 5.78 (a) 8,000,000 8,000,000 Comerica Bank 10/27/96 5.68 (a) 6,000,000 5,999,775 Household Bank, FSB 11/15/96 5.42 1,000,000 1,000,000 Huntington National Bank 11/8/96 5.49 10,000,000 9,999,734 BANK NOTES - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Key Bank, NA 10/1/96 5.71% (a) $ 4,000,000 $ 3,997,910 Key Bank of New York 10/1/96 5.44 (a) 7,000,000 6,996,053 LaSalle National Bank 10/10/96 5.55% 15,000,000 15,000,000 NBD Bank, NA 11/18/96 5.37 10,000,000 10,000,000 12/2/96 5.49 10,000,000 10,000,000 PNC Bank 10/8/96 5.47 (a) 7,000,000 6,996,686 10/21/96 5.48 (a) 5,000,000 4,999,470 Seattle First National Bank 10/4/96 5.43 (a) 3,000,000 2,999,377 TOTAL BANK NOTES 135,987,296 MASTER NOTES (A) - 2.9% Goldman Sachs Group, L.P. (The) 11/8/96 5.50 6,000,000 6,000,000 J.P. Morgan Securities 10/7/96 5.49 15,000,000 15,000,000 10/7/96 5.50 4,000,000 4,000,000 Norwest Corp. 10/1/96 5.44 9,000,000 9,000,000 TOTAL BANK NOTES 34,000,000 MEDIUM-TERM NOTES (A) - 2.9% Beneficial Corp. 10/19/96 5.63 8,000,000 7,998,900 General Motors Acceptance Corp. 11/1/96 5.68 7,000,000 7,000,000 2/13/97 5.32 2,000,000 1,999,942 Merrill Lynch & Co. 10/18/96 5.44 5,000,000 4,999,130 Morgan Stanley Group, Inc. 10/1/96 5.46 6,000,000 6,000,000 Pacific Mutual Life Insurance Co. (d) 12/9/96 5.72 3,000,000 3,000,000 Transamerica Life Insurance and Annuity Co. (d) 12/15/96 5.59 3,000,000 3,000,000 TOTAL MEDIUM-TERM NOTES 33,997,972 SHORT-TERM NOTES (A) - 5.8% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) CSA Funding - C (c) 10/7/96 5.57% $ 10,000,000 $ 10,000,000 Capital One Funding Corp. (1995-D) 10/7/96 5.61 3,741,000 3,741,000 Capital One Funding Corp. (1996-G) 10/7/96 5.61 10,000,000 10,000,000 SMM Trust (1995-D) (b) 10/27/96 5.68 7,000,000 7,000,000 SMM Trust (1995-N) (b) 11/8/96 5.55 2,000,000 2,000,000 SMM Trust (1995-P) (b) 12/15/96 5.68 3,000,000 3,000,000 SMM Trust (1996-B) (b) 10/4/96 5.49 8,000,000 8,000,000 SMM Trust (1996-V) (b) 12/26/96 5.71 24,000,000 24,000,000 TOTAL SHORT-TERM NOTES 67,741,000 REPURCHASE AGREEMENTS - 4.5% MATURITY AMOUNT In a joint trading account: (U.S. Treasury Obligations) dated 9/30/96 due 10/1/96 At 5.75% $ 2,326,372 2,326,000 (U.S. Government Obligations) dated 9/25/96 due 10/2/96 At 5.40% 50,052,500 50,000,000 TOTAL REPURCHASE AGREEMENTS 52,326,000 TOTAL INVESTMENTS - 100% $ 1,163,864,184 Total Cost for Income Tax Purposes $ 1,163,864,184 LEGEND 1. The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflects the next interest rate reset date or, when applicable, the final maturity date. 2. 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 period end, the value of these securities amounted to $44,000,000 or 3.78% of net assets. 3. Restricted securities - Investment in securities not registered under the Securities Act of 1933 (see Note 2 of Notes to Financial Statements). Additional information on each holding is as follows: ACQUISITION ACQUISITION SECURITY DATE COST CSA Funding - C 10/28/93 $ 10,000,000 4. Restricted security; subject to resale restrictions. INCOME TAX INFORMATION At March 31, 1996, the fund had a capital loss carryforward of approximately $93,000 of which $44,000 and $49,000 will expire on March 31, 2001 and 2003, respectively. FIDELITY INSTITUTIONAL CASH PORTFOLIOS: DOMESTIC FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED) 5.ASSETS Investment in securities, at value (including repurchase agreements of $52,326,000) - $ 1,163,864,184 See accompanying schedule Cash 1,837 Receivable for investments sold 130,000 Interest receivable 4,416,700 6.TOTAL ASSETS 1,168,412,721 7.LIABILITIES Distributions payable $ 2,793,151 Accrued management fee 168,591 Other payables and accrued expenses 207,129 8.TOTAL LIABILITIES 3,168,871 9.NET ASSETS $ 1,165,243,850 Net Assets consist of: Paid in capital $ 1,165,343,221 Accumulated net realized gain (loss) on investments (99,371) 10.NET ASSETS $ 1,165,243,850 11.CLASS I: $1.00 12.NET ASSET VALUE, offering price and redemption price per share ($1,115,432,972 (divided by) 1,115,513,133 shares) 13.CLASS II: $1.00 14.NET ASSET VALUE, offering price and redemption price per share ($140,910 (divided by) 140,920 shares) 15.CLASS III: $1.00 16.NET ASSET VALUE, offering price and redemption price per share ($49,669,968 (divided by) 49,673,538 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) 17.18.INTEREST INCOME $ 34,183,141 19.EXPENSES Management fee $ 1,255,821 Transfer agent fees 223,180 Class I Class II 844 Class III 11,174 Distribution fees 115 Class II Class III 60,797 Accounting fees and expenses 73,367 Non-interested trustees' compensation 4,364 Custodian fees and expenses 15,040 Registration fees 168,867 Class I Class II 41,525 Class III 35,056 Audit 9,128 Legal 4,455 Miscellaneous 4,667 Total expenses before reductions 1,908,400 Expense reductions (591,670) 1,316,730 20.NET INTEREST INCOME 32,866,411 21.22.NET REALIZED GAIN (LOSS) ON INVESTMENTS (6,374) 23.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 32,860,037
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 1996 MARCH 31, (UNAUDITED) 1996 24.INCREASE (DECREASE) IN NET ASSETS Operations $ 32,866,411 $ 54,364,888 Net interest income Net realized gain (loss) (6,374) 4,858 25.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 32,860,037 54,369,746 Distributions to shareholders (31,647,030) (52,167,430) From net interest income Class I Class II (3,918) (3,529) Class III (1,215,463) (2,193,929) 26.TOTAL DISTRIBUTIONS (32,866,411) (54,364,888) Share transactions - net increase (decrease) at net asset value of $1.00 per share: Class I (2,477,686) 345,973,988 Class II (1,963,965) 2,104,885 Class III 2,274,540 20,851,321 27.TOTAL SHARE TRANSACTIONS (2,167,111) 368,930,194 28.TOTAL INCREASE (DECREASE) IN NET ASSETS (2,173,485) 368,935,052 29.NET ASSETS Beginning of period 1,167,417,335 798,482,283 End of period $ 1,165,243,850 $ 1,167,417,335
FINANCIAL HIGHLIGHTS - CLASS I SIX MONTHS ENDED YEARS ENDED MARCH 31, SEPTEMBER 30, 1996 (UNAUDITED) 1996 1995 1994 1993 1992
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .026 .057 .049 .031 .034 .054 Less Distributions From net interest income (.026) (.057) (.049) (.031) (.034) (.054) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.66% 5.85% 4.97% 3.14% 3.50% 5.50% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 1,115,433 $ 1,117,917 $ 771,937 $ 656,976 $ 804,354 $ 558,727 Ratio of expenses to average net assets .20% A, .20% C .18% C .18% C .18% C .18% C after C expense reductions Ratio of net interest income to average 5.24% A 5.66% 4.94% 3.09% 3.43% 5.24% net assets
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS II SIX MONTHS ENDED NOVEMBER 6, 1995 SEPTEMBER 30, (COMMENCEMENT 1996 OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .026 .021 Less Distributions From net interest income (.026) (.021) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.58% 2.15% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 141 $ 2,105 Ratio of expenses to average net assets .35% A, C .35% A, C Ratio of net interest income to average net assets 5.07% A 5.20% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS III SIX MONTHS ENDED YEAR ENDED JULY 19, 1994 SEPTEMBER 30, MARCH 31, (COMMENCEMENT 1996 OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 1995
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .025 .054 .035 Less Distributions From net interest income (.025) (.054) (.035) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.53% 5.56% 3.51% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 49,670 $ 47,396 $ 26,545 Ratio of expenses to average net assets .45% A, C .47% C .50% A, C Ratio of net interest income to average net assets 5.00% A 5.40% 5.14% A
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FIDELITY INSTITUTIONAL CASH PORTFOLIOS: MONEY MARKET INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) Showing Percentage of Total Value of Investments BANKERS' ACCEPTANCES - 0.1% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) DOMESTIC BANKERS' ACCEPTANCES Chase Manhattan Bank 10/23/96 5.50% $ 2,650,378 $ 2,641,713 11/25/96 5.53 4,062,295 4,029,091 TOTAL BANKERS' ACCEPTANCES 6,670,804 CERTIFICATES OF DEPOSIT - 28.1% DOMESTIC CERTIFICATES OF DEPOSIT - 2.3% Chase Manhattan Bank 1/7/97 5.85 50,000,000 50,000,000 Chase Manhattan Bank (USA) 3/10/97 5.75 35,000,000 35,000,000 First Tennessee Bank, NA Memphis 10/21/96 5.34 10,000,000 10,000,000 Mellon Bank, NA 10/7/96 5.38 10,000,000 10,000,000 11/26/96 5.38 50,000,000 50,000,000 Morgan Guaranty Trust, NY 8/12/97 5.80 50,000,000 49,969,918 204,969,918 PORTLAND BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 0.3% Bank of Nova Scotia 2/19/97 5.54 25,000,000 25,000,000 6/10/97 6.02 8,000,000 7,988,931 32,988,931 NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 20.5% ABN-AMRO Bank 11/15/96 5.45 40,000,000 39,998,987 12/2/96 5.51 5,000,000 5,000,000 2/3/97 5.55 75,000,000 75,000,000 3/3/97 5.77 50,000,000 50,000,000 Bank of Montreal 10/15/96 5.40 18,000,000 18,000,000 Bank of Tokyo - Mitsubishi Ltd. 10/15/96 5.67 131,000,000 131,000,000 11/7/96 5.51 6,000,000 6,000,091 Banque Nationale de Paris 11/4/96 5.37 125,000,000 125,000,000 11/5/96 5.36 75,000,000 75,000,000 11/13/96 5.40 50,000,000 50,000,000 11/18/96 5.40 50,000,000 50,000,000 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Bayerische Landesbank Girozentrale 10/30/96 5.74% (a) $ 30,000,000 $ 30,000,000 11/6/96 5.38 150,000,000 150,004,437 4/22/97 5.85 47,000,000 47,000,000 Bayerische Vereinsbank A.G. 2/3/97 5.57 100,000,000 100,000,000 Caisse Nationale de Credit Agricole 3/24/97 5.62 100,000,000 100,000,000 Canadian Imperial Bank of Commerce 12/5/96 5.63 15,000,000 15,000,000 Commerzbank, Germany 10/1/96 5.38 100,000,000 100,000,000 11/4/96 5.35 100,000,000 100,000,000 Commonwealth Bank of Australia 11/8/96 5.42 19,000,000 19,000,000 Deutsche Bank, Germany 3/4/97 5.76 50,000,000 50,000,000 Dresdner Bank, Germany 10/15/96 5.43 25,000,000 25,000,000 Landesbank Hessen - Thuringen 11/6/96 5.40 50,000,000 50,000,493 9/5/97 6.20 40,000,000 40,003,544 National Australia Bank 10/2/96 5.41 5,000,000 5,000,006 National Westminster Bank, PLC 2/12/97 5.54 50,000,000 50,000,000 Royal Bank of Canada 10/31/96 5.45 32,000,000 31,998,598 12/31/96 5.52 15,000,000 14,998,711 Sanwa Bank, Ltd. 10/4/96 5.50 35,000,000 35,000,000 10/28/96 5.66 19,000,000 19,000,000 10/31/96 5.68 18,000,000 18,000,000 11/4/96 5.69 52,000,000 52,000,000 Societe Generale, France 11/6/96 5.36 35,000,000 35,000,664 12/2/96 5.52 40,000,000 40,000,000 Sumitomo Bank, Ltd. 10/9/96 5.50 35,000,000 35,000,000 10/15/96 5.50 17,000,000 17,000,000 11/14/96 5.50 17,000,000 17,000,000 Westpac Banking Corp. 3/3/97 5.80 12,000,000 12,000,000 1,833,005,531 CERTIFICATES OF DEPOSIT - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) LONDON BRANCH, EURODOLLAR, FOREIGN BANKS - 5.0% Abbey National, Treasury Services 11/13/96 5.52% $ 25,000,000 $ 25,000,000 12/3/96 5.52 75,000,000 75,000,000 Bank of Scotland Treasury Services 3/17/97 5.75 15,000,000 15,000,000 Bank of Tokyo - Mitsubishi Ltd. 10/2/96 5.47 35,000,000 35,000,124 10/21/96 5.45 5,000,000 5,000,023 Banque Nationale de Paris 12/4/96 5.56 10,000,000 10,000,346 Bayerische Hypotheken-und Weschel 10/17/96 5.44 25,000,000 25,000,108 11/14/96 5.50 9,000,000 8,999,392 11/29/96 5.50 50,000,000 49,998,204 12/6/96 5.44 15,000,000 15,003,037 2/21/97 5.78 20,000,000 19,981,177 3/10/97 5.80 17,000,000 17,000,000 Bayerische Landesbank Girozentrale 2/19/97 5.75 25,000,000 24,978,449 2/19/97 5.77 20,000,000 19,982,062 Bayerische Vereinsbank A.G. 3/10/97 5.80 10,000,000 10,000,000 Kredietbank, N.V. 10/15/96 5.38 15,000,000 15,000,087 Rabobank Nederland, N.V. 6/4/97 5.96 25,000,000 25,000,806 Swiss Bank Corp. 10/11/96 5.55 50,000,000 50,000,274 445,944,089 TOTAL CERTIFICATES OF DEPOSIT 2,516,908,469 COMMERCIAL PAPER - 37.9% ABN-AMRO North America Finance, Inc. 3/6/97 5.76 50,000,000 48,786,667 A.H. Robins Company, Incorporated 10/9/96 5.37 25,000,000 24,970,389 ANZ (DE), Inc. 11/27/96 5.37 25,000,000 24,789,417 AVCO Financial Services 10/22/96 5.35 10,000,000 9,969,083 American Express Credit Corp. 10/23/96 5.35 100,000,000 99,676,112 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) American Home Food Products, Inc. 10/3/96 5.40% $ 50,000,000 $ 49,985,000 American Home Products 10/3/96 5.40 17,900,000 17,894,650 10/25/96 5.34 25,000,000 24,911,333 10/25/96 5.37 45,000,000 44,839,500 10/28/96 5.36 27,000,000 26,892,067 10/28/96 5.40 10,000,000 9,959,875 11/5/96 5.35 35,000,000 34,818,972 Asset Securitization Coop. Corp. 10/1/96 5.45 15,000,000 15,000,000 10/15/96 5.33 20,000,000 19,958,856 10/22/96 5.35 41,000,000 40,873,242 Associates Corp. of North America 10/1/96 6.00 200,000,000 200,000,000 10/22/96 5.35 12,000,000 11,962,900 11/18/96 5.40 50,000,000 49,643,333 11/19/96 5.40 50,000,000 49,635,903 BHF Finance (Delaware), Inc. 11/18/96 5.37 15,000,000 14,894,000 Bear Stearns Cos., Inc. 10/31/96 5.44 16,000,000 15,928,467 Beneficial Corp. 10/8/96 5.40 25,000,000 24,973,896 10/30/96 5.52 10,000,000 9,956,178 CIT Group Holdings, Inc. 10/29/96 5.37 75,000,000 74,688,500 11/6/96 5.38 50,000,000 49,732,500 Caisse d'Amortissement de la Dette Sociale 10/11/96 5.54 42,500,000 42,435,424 10/21/96 5.35 9,000,000 8,973,500 10/22/96 5.50 25,000,000 24,920,813 12/20/96 5.64 25,000,000 24,695,556 3/5/97 5.76 30,000,000 29,276,667 3/10/97 5.82 100,000,000 97,488,888 Caisse des Depots et Consignations 10/11/96 5.40 100,000,000 99,850,556 Capital Asset Funding Co., Inc. 10/25/96 5.35 25,000,000 24,911,667 Cheltenham & Gloucester PLC 11/21/96 5.39 10,000,000 9,924,633 Chrysler Financial Corporation 11/4/96 5.40 10,000,000 9,949,283 12/2/96 5.45 10,000,000 9,907,000 COMMERCIAL PAPER - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Citibank Credit Card Master Trust I (Dakota Certificate Program) 10/4/96 5.40% $ 5,000,000 $ 4,997,758 10/7/96 5.42 28,000,000 27,974,800 11/4/96 5.46 10,000,000 9,949,189 11/6/96 5.38 10,000,000 9,946,500 CoreStates Capital Corp. 10/7/96 5.46 (a) 10,000,000 10,000,000 Delaware Funding Corp. 10/21/96 5.35 20,000,000 19,941,111 10/29/96 5.35 20,808,000 20,721,740 10/30/96 5.35 24,548,000 24,442,600 Eiger Capital Corp. 10/15/96 5.34 12,000,000 11,975,267 10/15/96 5.41 11,000,000 10,976,986 10/16/96 5.41 15,000,000 14,966,375 11/25/96 5.37 35,000,000 34,715,528 Electronic Data Systems 11/12/96 5.42 52,000,000 51,674,220 Enterprise Funding Corp. 10/3/96 5.39 6,027,000 6,025,202 10/3/96 5.47 10,000,000 9,996,989 10/10/96 5.40 12,055,000 12,038,786 10/23/96 5.39 8,931,000 8,901,801 10/24/96 5.35 11,010,000 10,972,719 10/28/96 5.38 17,568,000 17,497,904 11/4/96 5.42 3,819,000 3,799,595 11/5/96 5.38 10,000,000 9,947,986 11/6/96 5.36 18,954,000 18,852,975 11/7/96 5.36 9,000,000 8,950,698 Ford Motor Credit Corp. 10/3/96 5.37 40,000,000 39,988,111 10/4/96 5.34 50,000,000 49,977,917 10/7/96 5.49 50,000,000 49,954,750 10/30/96 5.52 40,000,000 39,824,711 GTE Corp. 10/10/96 5.43 15,000,000 14,979,713 10/22/96 5.39 7,000,000 6,978,073 10/29/96 5.40 7,000,000 6,970,763 General Electric Capital Corp. 10/21/96 5.35 25,000,000 24,926,389 11/15/96 5.61 75,000,000 74,486,250 11/25/96 5.37 50,000,000 49,593,611 1/22/97 5.75 50,000,000 49,124,250 3/12/97 5.76 50,000,000 48,740,000 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) General Electric Capital Services Inc. 10/24/96 5.34% $ 25,000,000 $ 24,915,507 11/25/96 5.37 50,000,000 49,593,611 General Electric Co. 10/3/96 5.38 100,000,000 99,970,222 General Motors Acceptance Corp. 10/8/96 5.42 50,000,000 49,947,500 11/26/96 5.68 25,000,000 24,784,944 12/4/96 5.70 22,000,000 21,783,520 2/20/97 5.70 18,000,000 17,606,305 2/24/97 5.71 18,000,000 17,594,850 2/25/97 5.71 36,000,000 35,184,150 3/31/97 5.70 32,000,000 31,108,676 Glaxo Wellcome PLC 10/17/96 5.55 27,700,000 27,632,658 Goldman Sachs Group, L.P. (The) 10/29/96 5.38 100,000,000 99,583,888 Household Finance Corp. 10/22/96 5.35 10,000,000 9,969,083 IBM Credit Corp. 11/26/96 5.38 45,000,000 44,626,900 International Lease Finance Corp. 10/4/96 5.39 7,000,000 6,996,868 Merrill Lynch & Co., Inc. 2/4/97 5.63 25,000,000 24,521,375 3/11/97 5.76 24,000,000 23,398,933 3/12/97 5.68 12,000,000 11,701,650 Morgan Stanley Group, Inc. 10/15/96 5.41 65,000,000 64,864,006 10/16/96 5.41 10,000,000 9,977,583 New Center Asset Trust 10/1/96 5.87 29,000,000 29,000,000 12/2/96 5.63 12,000,000 11,886,333 3/11/97 5.79 10,000,000 9,748,438 Norwest Financial 10/21/96 5.35 25,000,000 24,926,389 Preferred Receivables Funding Corp. 10/2/96 5.39 10,000,000 9,998,508 10/10/96 5.39 10,000,000 9,986,575 10/10/96 5.40 18,000,000 17,975,835 10/16/96 5.37 3,000,000 2,993,350 Royal Bank of Canada 11/29/96 5.58 33,500,000 33,201,878 12/31/96 5.60 10,672,000 10,526,327 COMMERCIAL PAPER - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) SBC Finance (DE), Inc. 3/11/97 5.76% $ 75,000,000 $ 73,121,667 Sears Roebuck Acceptance Corp. 10/8/96 5.51 37,000,000 36,960,790 10/21/96 5.36 13,000,000 12,961,650 Sherwood Medical Company 10/21/96 5.49 3,850,000 3,838,343 11/5/96 5.35 32,803,000 32,633,335 Smith Barney, Inc. 10/24/96 5.37 50,000,000 49,829,096 Toronto Dominion Holdings USA, Inc. 3/5/97 5.80 19,000,000 18,538,615 Travelers/Aetna Property Casualty Corp. 10/28/96 5.42 45,000,000 44,817,750 Unifunding, Inc. 10/11/96 5.40 36,000,000 35,946,200 Westpac Capital Corp. 3/11/97 5.76 25,000,000 24,373,889 Wool International 11/6/96 5.43 10,000,000 9,946,500 TOTAL COMMERCIAL PAPER 3,390,859,791 FEDERAL AGENCIES - 7.1% FEDERAL HOME LOAN BANK - AGENCY COUPONS (A) - 0.5% 10/2/96 5.46 18,000,000 17,999,956 12/13/96 5.51 14,000,000 13,998,243 12/20/96 5.51 14,000,000 13,998,075 45,996,274 FEDERAL NATIONAL MORTGAGE ASSOC. - AGENCY COUPONS (A) - 5.4% 9/29/96 5.35 49,000,000 48,971,269 10/1/96 5.33 35,000,000 34,967,208 10/1/96 5.42 75,000,000 74,938,454 10/1/96 5.48 50,000,000 50,000,000 10/2/96 5.36 100,000,000 99,954,682 10/15/96 5.45 50,000,000 49,971,303 10/17/96 5.56 53,000,000 52,987,875 12/20/96 5.51 43,000,000 42,992,721 12/20/96 5.54 27,000,000 26,986,673 481,770,185 STUDENT LOAN MARKETING ASSOC. - AGENCY COUPONS (A) - 1.2% 10/16/96 5.68 105,000,000 105,000,000 TOTAL FEDERAL AGENCIES 632,766,459 BANK NOTES - 5.4% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Bank of America National Trust & Savings Assoc. 3/12/97 5.75% $ 25,000,000 $ 25,000,000 Bank of New York - Delaware 10/30/96 5.78 (a) 30,000,000 30,000,000 Comerica Bank 10/27/96 5.68 (a) 25,000,000 24,999,063 Fifth Third Bank - Cincinnati 2/24/97 5.80 20,000,000 19,978,058 First National Bank of Boston 10/7/96 5.41 57,000,000 57,000,000 First National Bank of Chicago 11/25/96 5.40 50,000,000 49,999,519 First Union National Bank of North Carolina, NA 11/13/96 5.46 25,000,000 25,000,000 12/27/96 5.56 (a) 33,000,000 32,996,202 Key Bank NA 10/1/96 5.44 (a) 44,000,000 43,975,190 Morgan Guaranty Trust, NY 6/6/97 6.00 25,000,000 24,991,847 PNC Bank 10/8/96 5.47 38,000,000 37,982,011 10/21/96 5.46 (a) 14,000,000 13,998,673 10/21/96 5.48 (a) 38,000,000 37,995,972 Seattle First National Bank 10/4/96 5.43 (a) 25,000,000 24,994,807 Wachovia Bank of North Carolina, NA 10/25/96 5.46 (a) 40,000,000 39,998,476 TOTAL BANK NOTES 488,909,818 MASTER NOTES (A) - 2.5% Goldman Sachs Group, L.P. (The) 11/8/96 5.50 39,000,000 39,000,000 J.P. Morgan Securities 10/7/96 5.49 60,000,000 60,000,000 10/7/96 5.50 74,000,000 74,000,000 Norwest Corp. 10/1/96 5.44 52,000,000 52,000,000 TOTAL MASTER NOTES 225,000,000 MEDIUM-TERM NOTES (A) - 2.6% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Beneficial Corp. 10/19/96 5.63% $ 23,000,000 $ 22,996,837 11/3/96 5.65 8,000,000 7,999,163 General Motors Acceptance Corp. 10/23/96 5.67 18,000,000 18,005,286 11/1/96 5.68 40,000,000 40,000,000 2/13/97 5.32 20,000,000 19,999,420 Merrill Lynch & Co. 10/18/96 5.44 35,000,000 34,993,929 Morgan Stanley Group, Inc. 10/1/96 5.46 42,000,000 42,000,000 Pacific Mutual Life Insurance Co. (c) 12/9/96 5.72 20,000,000 20,000,000 Transamerica Life Insurance and Annuity Co. (c) 12/15/96 5.59 24,000,000 24,000,000 TOTAL MEDIUM-TERM NOTES 229,994,635 SHORT-TERM NOTES (A) - 4.3% Capital One Funding Corp. (1994-C) 10/7/96 5.61 10,843,000 10,843,000 Capital One Funding Corp. (1995-E) 10/7/96 5.61 7,000,000 7,000,000 Capital One Funding Corp. (1996-C) 10/7/96 5.61 18,860,000 18,860,000 Liquid Asset Backed Securities Trust (1996-1) (b) 10/15/96 5.53 33,000,000 33,000,000 Liquid Asset Backed Securities Trust (1996-2) (b) 10/1/96 5.47 56,000,000 56,000,000 SMM Trust (1995-D) (b) 10/27/96 5.68 63,000,000 63,000,000 SMM Trust (1995-N) (b) 11/8/96 5.55 16,000,000 16,000,000 SMM Trust (1995-P) (b) 12/15/96 5.68 11,000,000 11,000,000 SMM Trust (1996-B) (b) 10/4/96 5.49 8,000,000 8,000,000 SMM Trust (1996-I) (b) 10/30/96 5.49 15,000,000 15,000,000 SMM Trust (1996-V) (b) 12/26/96 5.71 150,000,000 150,000,000 TOTAL SHORT-TERM NOTES 388,703,000 TIME DEPOSITS - 3.5% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Bank of Tokyo - Mitsubishi Ltd. 10/7/96 5.50% $ 23,000,000 $ 23,000,000 11/4/96 5.47 36,000,000 36,000,000 Canadian Imperial Bank of Commerce 10/1/96 6.00 100,000,000 100,000,000 Deutsche Bank, A.G. 10/1/96 6.00 33,000,000 33,000,000 Sanwa Bank, Ltd. 10/4/96 5.44 34,000,000 34,000,000 Sumitomo Bank, Ltd. 10/15/96 5.55 20,000,000 20,000,000 10/15/96 5.56 10,000,000 10,000,000 10/16/96 5.56 36,000,000 36,000,000 10/30/96 5.47 22,000,000 22,000,000 TOTAL TIME DEPOSITS 314,000,000 MUNICIPAL OBLIGATIONS - 0.1% New York City, NY 10/8/96 5.58 8,735,000 8,735,000 REPURCHASE AGREEMENTS - 8.4% MATURITY AMOUNT In a joint trading account: (U.S. Treasury Obligations) dated 9/30/96 due 10/1/96 At 5.75% $ 127,249,324 127,229,000 (U.S. Government Obligations): dated 9/30/96 due 10/1/96: At 5.87% 125,020,387 125,000,000 dated 9/25/96 due 10/2/96: At 5.40% 500,525,000 500,000,000 TOTAL REPURCHASE AGREEMENTS 752,229,000 TOTAL INVESTMENTS - 100% $ 8,954,776,976 Total Cost for Income Tax Purposes $ 8,954,776,976 LEGEND 1. The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflects the next interest rate reset date or, when applicable, the final maturity date. 2. 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 period end, the value of these securities amounted to $352,000,000 or 4.02% of net assets. 3. Restricted security; subject to resale restrictions. INCOME TAX INFORMATION At March 31, 1996, the fund had a capital loss carryforward of approximately $2,025,000 of which $336,000, $898,000, $547,000 and $244,000 will expire on March 31, 2001, 2002, 2003 and 2004, respectively. FIDELITY INSTITUTIONAL CASH PORTFOLIOS: MONEY MARKET FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED) 4.ASSETS Investment in securities, at value (including repurchase agreements of $752,229,000) - $ 8,954,776,976 See accompanying schedule Receivable for investments sold 271,000 Interest receivable 40,317,859 5.TOTAL ASSETS 8,995,365,835 6.LIABILITIES Payable to custodian bank $ 72,977 Payable for investments purchased 226,003,840 Distributions payable 14,017,338 Accrued management fee 1,148,755 Other payables and accrued expenses 1,054,148 7.TOTAL LIABILITIES 242,297,058 8.NET ASSETS $ 8,753,068,777 Net Assets consist of: Paid in capital $ 8,755,090,647 Accumulated net realized gain (loss) on investments (2,021,870) 9.NET ASSETS $ 8,753,068,777 10.11.CLASS I: $1.00 12.NET ASSET VALUE, offering price and redemption price per share ($8,408,017,294 (divided by) 8,409,936,727 shares) 13.CLASS II: $1.00 14.NET ASSET VALUE, offering price and redemption price per share ($41,337,878 (divided by) 41,347,315 shares) 15.CLASS III: $1.00 16.NET ASSET VALUE, offering price and redemption price per share ($303,713,605 (divided by) 303,782,939 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) 17.18.INTEREST INCOME $ 216,087,428 19.EXPENSES Management fee $ 7,921,864 Transfer agent fees 2,184,182 Class I Class II 12,304 Class III 67,868 Distribution fees 53,855 Class II Class III 362,965 Accounting fees and expenses 324,358 Non-interested trustees' compensation 22,451 Custodian fees and expenses 78,309 Registration fees 487,738 Class I Class II 73,015 Class III 73,512 Audit 35,556 Legal 25,619 Miscellaneous 16,260 Total expenses before reductions 11,739,856 Expense reductions (4,198,507) 7,541,349 20.NET INTEREST INCOME 208,546,079 21.NET REALIZED GAIN (LOSS) ON INVESTMENTS 3,498 22.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 208,549,577
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 1996 (UNAUDITED) 1996 23.INCREASE (DECREASE) IN NET ASSETS Operations $ 208,546,079 $ 381,241,470 Net interest income Net realized gain (loss) 3,498 (244,561) 24.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 208,549,577 380,996,909 Distributions to shareholders (199,414,040) (370,298,086) From net interest income Class I Class II (1,840,322) (817,553) Class III (7,291,717) (10,125,831) 25.TOTAL DISTRIBUTIONS (208,546,079) (381,241,470) Share transactions - net increase (decrease) 1,942,068,817 1,336,131,211 at net asset value of $ 1.00 per share: Class I Class II (22,871,945) 64,219,260 Class III 74,184,989 (227,832,339) 26.TOTAL SHARE TRANSACTIONS 1,993,381,861 1,172,518,132 27.TOTAL INCREASE (DECREASE) IN NET ASSETS 1,993,385,359 1,172,273,571 28.NET ASSETS Beginning of period 6,759,683,418 5,587,409,847 End of period $ 8,753,068,777 $ 6,759,683,418
FINANCIAL HIGHLIGHTS - CLASS I SIX MONTHS ENDED YEARS ENDED MARCH 31, SEPTEMBER 30, 1996 (UNAUDITED) 1996 1995 1994 1993 1992
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .026 .057 .049 .032 .035 .055 Less Distributions From net interest income (.026) (.057) (.049) (.032) (.035) (.055) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.67% 5.90% 4.99% 3.20% 3.58% 5.59% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 8,408,017 $ 6,465,953 $ 5,130,123 $ 3,200,277 $ 4,332,995 $ 3,990,395 Ratio of expenses to average net assets .18% A, .18% C .18% C .18% C .18% C .18% C C Ratio of net interest income to average 5.28% A 5.73% 5.00% 3.15% 3.50% 5.42% net assets
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS II SIX MONTHS ENDED NOVEMBER 6, 1995 SEPTEMBER 30, 1996 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .026 .022 Less Distributions From net interest income (.026) (.022) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.59% 2.17% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 41,338 $ 64,200 Ratio of expenses to average net assets .33% A, C .33% A, C Ratio of net interest income to average net assets 5.13% A 5.29% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS III
SIX MONTHS ENDED YEARS ENDED MARCH 31, NOVEMBER 17, 1993 SEPTEMBER 30, (COMMENCEMENT 1996 OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 1995 1994
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .025 .055 .046 .011 Less Distributions From net interest income (.025) (.055) (.046) (.011) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.54% 5.61% 4.66% 1.08% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 303,714 $ 229,530 $ 457,286 $ 89,463 Ratio of expenses to average net assets .43% A, C .45% C .50% C .50% A, C Ratio of net interest income to average net assets 5.02% A 5.46% 4.94% 2.83% A
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FIDELITY INSTITUTIONAL TAX-EXEMPT CASH PORTFOLIOS: TAX-EXEMPT INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) Showing Percentage of Total Value of Investments MUNICIPAL SECURITIES (A) - 100% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) ALABAMA - 3.4 % Alabama Hsg. Fin. Auth. Multi-Family Hsg. Rev. (Homewood Gardens Proj.) Series 1991 C, 4.30%, LOC Southtrust Bank of Alabama, VRDN $ 2,285,000 $ 2,285,000 Alabama Hsg. Fin. Auth. Multi-Family Hsg. Rfdg. Rev., VRDN: (Rime Village Hoover Proj.) Series 1996 A, 3.85% (FNMA Guaranteed) 22,400,000 22,400,000 (Rime Village Huntsville) Series 1996 B, 3.85% (FNMA Guaranteed) 2,000,000 2,000,000 Alabama Private Coll. & Univ. Facs. Auth. Rev. Series 1985 A, 3.90% (FGIC Insured) (BPA Southtrust Bank of Alabama) VRDN 5,600,000 5,600,000 Anniston Ind. Dev. Board (Monsanto Company Proj.) Series 1992, 3.80%, VRDN 9,100,000 9,100,000 Anniston Solid Waste Disposal Auth. (Monsanto Co. Proj.) Series 1992, 3.80%, VRDN 2,230,000 2,230,000 Decatur Ind. Dev. Board (Monsanto Co. Proj.) Series 1990, 3.80%, VRDN 5,925,000 5,925,000 Decatur Poll. Cont. Rev. Rfdg. (Monsanto Co. Proj.) VRDN: Series 1992, 3.80% 900,000 900,000 Series 1994, 3.80% 3,115,000 3,115,000 Huntsville Ind. Dev. Board Ind. Dev. Rev. (PPG Inds. Inc. Proj.) Series 1992, 3.85%, VRDN 1,000,000 1,000,000 Montgomery BMC Special Care Facs. Hosp. Rev., VRDN: (VHA Cap. Asset Prog.): Series 1985 B, 3.90% (AMBAC Insured) (BPA Mellon Bank) 4,500,000 4,500,000 Series 1985 D, 3.90% (AMBAC Insured) (BPA Mellon Bank) 1,000,000 1,000,000 Series 1985 F, 3.90% (AMBAC Insured) (BPA Mellon Bank) 9,000,000 9,000,000 Tarrant City Ind. Dev. Board Rev. Rfdg. (Philip Morris Co. Inc.) Series 1993, 3.90%, VRDN 2,300,000 2,300,000 Tuscaloosa County Port Auth. Rev. (Capstone Hotel Ltd. Proj.) Series 1989 A, 3.90%, LOC Southtrust Bank of Alabama, VRDN 4,295,000 4,295,000 75,650,000 ALASKA - 1.6 % Alaska Hsg. Fin. Corp. Gen. Mtg. Rev. Series 1991 C, 3.90% (BPA Swiss Bank Corp.) VRDN 29,100,000 29,100,000 North Slope Borough Gen. Oblig. Rfdg. Bonds Series 1988 G, 7.50% 6/30/97 (AMBAC Insured) 2,000,000 2,052,035 Valdez Marine Terminal Rev. Rfdg. Bonds (Atlantic Richfield Co.) Series 1994 A, 3.70%, tender 10/15/96 1,500,000 1,500,000 Valdez Marine Terminal Rev. Rfdg. (Atlantic Richfield Co.) Series 1994 B, 3.95%, VRDN 1,700,000 1,700,000 34,352,035 ARIZONA - 6.4 % Apache County Ind. Dev. Auth. Rev. (Tucson Elec. Pwr. Co. Springerville Proj.) VRDN: Series 1983 A, 3.85%, LOC Barclays Bank PLC 16,600,000 16,600,000 Series 1983 B, 3.85%, LOC Bank of New York NY 25,000,000 25,000,000 Series 1983 C, 3.85%, LOC Bankers Trust Company 19,750,000 19,750,000 Arizona Health Facs. Auth. Rev., VRDN: (Samcor 1986 Loan Pool-Samaritan Health Care) 3.90% (FGIC Insured) (BPA Chase Manhattan Bank) 19,430,000 19,430,000 (Voluntary Hosp. Federation Pooled Loan Prog.) Series 1985 A, 3.90% (FGIC Insured) (Liquidity Facility Citibank, NA) 9,700,000 9,700,000 Maricopa County Ind. Dev. Auth. Ind. Dev. Rev. (Royal Oaks-Sun City Proj.) Series 1990, 3.80%, LOC Bank of America, VRDN 4,100,000 4,100,000 Phoenix Gen. Oblig. Series 1995-2, 3.95%, (BPA Morgan Guaranty Trust Co., NY) VRDN 4,400,000 4,400,000 Phoenix Ind. Dev. Auth. Multi-Family Hsg. Rev., VRDN: Rfdg. (Paradise Lakes Apt. Proj.) Series 1995, 4.05%, LOC GE Capital Corp. 17,500,000 17,500,000 (Del Mar Terrace Apts. Proj.) Series 1984, 3.80%, LOC Bank of America 11,300,000 11,300,000 (Paradise Shadows II Apt. Proj.) Series 1989, 3.80%, LOC Citibank, NA 5,100,000 5,100,000 Pima County Ind. Dev. Auth. Multi-Family Hsg. Rev. (La Cholla Apt. Proj.) Series 1996, 3.85%, LOC Texas Commerce Bank, Houston, VRDN 2,000,000 2,000,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) ARIZONA - CONTINUED Pinal County Ind. Dev. Auth. Hosp. Rev. (Casa Grande Medical Ctr. Proj.) Series 1995, 3.75%, LOC Chase Manhattan Bank, VRDN $ 2,800,000 $ 2,800,000 Tempe Ind. Dev. Auth. Multi-Family Hsg. Rev. (Elliot's Crossing Apts.) Series 1985, 3.80%, LOC Citibank, NA, VRDN 3,950,000 3,950,000 141,630,000 ARKANSAS - 0.6 % Arkansas Hosp. Equip. Fin. Auth. Rev., VRDN: (Baptist Health Proj.) Series 1995, 3.90%, LOC Credit Suisse 5,425,000 5,425,000 (Jefferson Hosp. Assoc., Inc. Proj.) Series 1989, 3.85%, LOC Krediet Bank, NV 4,530,000 4,530,000 Crossett Poll. Cont. Rev. Rfdg. (Georgia-Pacific Corp. Proj.) Series 1991, 3.90%, LOC SunTrust Bank, Atlanta, VRDN 3,500,000 3,500,000 13,455,000 CALIFORNIA - 3.6 % Alameda County TRAN 4.50% 6/30/97 5,800,000 5,822,860 California Gen. Oblig.: Participating VRDN, 3.90% (Liquidity Facility Citibank, NA) (b) 1,555,000 1,555,000 RAN Series 1996-97, 4.50% 6/30/97 12,000,000 12,045,798 California School Cash Reserves Prog. TRAN Series 1996 A, 4.75% 7/2/97 6,700,000 6,743,575 Fresno TRAN 4.50% 6/30/97 3,800,000 3,816,344 Los Angeles Commty. College Dist. TRAN Series 1996-97, 4.50% 7/1/97 3,200,000 3,211,488 Los Angeles County Metropolitan Trans. Auth. Participating VRDN (b): Series SG-B2, 3.80% (Liquidity Facility Societe Generale, France) 12,000,000 12,000,000 Series SG-46, 3.85% (AMBAC Insured) (Liquidity Facility Societe Generale, France) 600,000 600,000 Los Angeles County TRAN Series 1996-97, 4.50% 6/30/97 4,000,000 4,015,665 Los Angeles TRAN Series 1996, 4.50% 6/19/97 10,000,000 10,042,668 Oakland TRAN Series 1996, 4.75% 6/30/97 5,800,000 5,836,189 Riverside County School Dist. TRAN Series 1996-76, 4.625% 7/17/97 2,000,000 2,008,738 Santa Clara Unified School Dist. TRAN Series 1996, 4.50% 7/2/97 1,900,000 1,908,224 South Coast Local Ed. Agcy. TRAN Series 1996, 4.75% 6/30/97 3,000,000 3,014,589 Ventura County TRAN Series 1996, 4.75% 7/2/97 6,100,000 6,132,439 78,753,577 COLORADO - 0.9 % Colorado Health Facs. Auth. Rev. (Sisters of Charity Health Care) Series 1992 A, 3.80% (BPA Dresdner Bank A.G. Germany/Toronto-Dominion Bank) VRDN 5,000,000 5,000,000 Colorado Postsecondary Ed. Facs. Auth. Participating VRDN, Series 1996 C, 4.10% (Liquidity Facility Norwest Bank NA, Minnesota) (b) 3,350,000 3,350,000 Fort Lupton Water Rev. BAN Series 1996, 4.10% 1/10/97 1,200,000 1,200,000 Moffat County Poll Cont. Rev. Bonds (Tri-State Generation Proj.) 4.15% 11/1/96 (AMBAC Insured) 1,010,000 1,010,352 Pueblo County School Dist. Participating VRDN, Series 1996 G, 4.10% (MBIA Insured) (Liquidity Facility Norwest Bank NA, Minnesota) (b) 2,220,000 2,220,000 Smith Creek County Metropolitan Dist. Series 1995, 3.85%, LOC NationsBank of TX, VRDN 3,900,000 3,900,000 Univ. of Colorado (Enterprise Sys.) 3.85% (BPA Morgan Guaranty Trust Co., NY) VRDN 2,100,000 2,100,000 18,780,352 CONNECTICUT - 0.1 % Mashantucket Western Pequot Tribe Series 1996, 3.40% 10/24/96, LOC Bank of America, CP 2,800,000 2,800,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) DELAWARE - 0.5 % Delaware Econ. Dev. Auth. Poll. Cont. Rev. Rfdg. (Philip Morris Co. Inc. Proj.) Series 1992, 3.90%, VRDN $ 3,300,000 $ 3,300,000 Delaware Econ. Dev. Auth. Rev., VRDN: (Hosp. Billing & Collection Svcs. Proj.) Series 1985 B, 3.90% (MBIA Insured) (BPA Morgan Stanley Group, Inc.) 5,200,000 5,200,000 (Peninsula United Methodist Homes Inc.) Series 1992 B, 3.85%, LOC Corestates Bank 1,985,000 1,985,000 10,485,000 FLORIDA - 7.9 % Alachua County Health Facs. Rev. Bonds (Academic Research Bldg. Proj.) Series 1989, 3.75%, tender 12/11/96, LOC Barnett Bank NA 1,500,000 1,500,000 Broward County Hsg. Fin. Auth. Multi-Family Hsg. Rev., VRDN: (Jacaranda Village Apts. Proj.) 3.95%, LOC Marine Midland, NA 1,800,000 1,800,000 (Lake Park Assoc. Ltd. Partnership) Series 1985, 3.90%, LOC Key Bank, NA 4,000,000 4,000,000 (Palm Aire-Oxford Proj.) Series 1990, 4.20% (Continental Casualty Co. Guaranteed) 1,620,000 1,620,000 Dade County Ind. Dev. Auth. (Florida Pwr. & Light Co. Proj.) Series 1993, 3.95%, VRDN 2,800,000 2,800,000 Dade County Ind. Dev. Auth. Ind. Dev. Rev. (South Dade Jewish Commty. Ctr.) 3.90%, LOC SunTrust Bank, Miami, NA, VRDN 700,000 700,000 Escambia County Poll. Cont. Rev. Rfdg. (Monsanto Co. Proj.) Series 1994, 3.80%, VRDN 1,000,000 1,000,000 Escambia County Rev. Rfdg. (Pacer Industries) Series 1991, 3.90%, LOC SunTrust Bank, Atlanta, VRDN 1,700,000 1,700,000 Florida Dept. of Trans. Participating VRDN, 3.90% (Liquidity Facility Societe Generale, France) (b) 1,700,000 1,700,000 Florida Hsg. Fin. Agcy. Multi-Family Hsg. Rev., VRDN: (Parrot's Landing Proj.) Series 1985 AA, 3.90% (FNMA Guaranteed) 4,000,000 4,000,000 (Sun Pointe Cove Apts. Proj.) Series 1985 XX, 3.90% (FNMA Guaranteed) 3,500,000 3,500,000 Florida Local Govt. Finance Auth. Rev. Series A, 3.65% 11/26/96, LOC First Union Nat'l. Bank of Florida, CP 3,500,000 3,500,000 Florida State Board of Ed. Participating VRDN, Series CR-163, 4% (Liquidity Facility Citibank, NA) (b) 3,000,000 3,000,000 Gulf Breeze Rev. Series 1995 A, 3.90%, LOC Barnett Bank, NA, VRDN 2,600,000 2,600,000 Indian River County Hosp. Dist. Hosp. Rev. Bonds Series 1990, 3.65%, tender 12/11/96, LOC Kriedietbank, NV 3,200,000 3,200,000 Jacksonville Elec. Auth. Rev. Series A, 3.60% 10/18/96 (Liquidity Morgan Guaranty Trust Co.) CP 2,000,000 2,000,000 Jacksonville Hosp. Rev. (Baptist Med. Ctr. Proj.) VRDN: Series 1984, 3.575%, LOC First Union Nat'l. Bank of Florida 9,000,000 9,000,000 Series 1989, 3.80%, LOC First Union Nat'l. Bank of Florida 6,000,000 6,000,000 Jacksonville Ind. Dev. Rev. Rfdg. (Arpt. Hotel Proj.) Series 1993, 3.85%, LOC Northern Trust Co., VRDN 3,000,000 3,000,000 Jacksonville River City Renaissance Prog., CP: 3.70% 10/15/96 3,200,000 3,200,000 3.70% 12/9/96 6,700,000 6,700,000 Lee County Hsg. Fin. Auth. Multi-Family Hsg. Rev. Rfdg. (Forestwood Apts. Proj.) 3.90% (FNMA Guaranteed) VRDN 6,800,000 6,800,000 Liberty County Ind. Dev. Rev. (Timber Energy Resources Inc. Proj.) Series 1994, 3.90%, LOC Bank of Montreal, VRDN 2,100,000 2,100,000 Orange County Health Facs. Rev. (Adventist Health Sys.) 3.85%, LOC Rabobank Nederland, NV, VRDN 4,500,000 4,500,000 Orange County Hsg. Fin. Auth. Rev. (Smokewood/Sun Key Apt. Proj.) Series A, 3.80%, LOC Citibank, NA, VRDN 2,500,000 2,500,000 Orlando Utils. Commission Wtr. & Elec. Rev. Participating VRDN, Series BT-199, 4% (Liquidity Facility Bankers Trust Company) (b) 1,200,000 1,200,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) FLORIDA - CONTINUED Pasco County Hsg. Fin. Auth. Multi-Family Hsg. Rev. (Carlton Arms of Magnolia Valley) Series 1985, 3.925%, LOC Bankers Trust Company, VRDN $ 2,000,000 $ 2,000,000 Pinellas County Health Fac. Auth. Rev. (Bayfront Med.) 3.80% (FGIC Insured) (BPA Barnett Bank NA) VRDN 1,300,000 1,300,000 Putnam County Dev. Auth. Bonds (Seminole Elec. Co-op Proj.) Series 1984 H-3, 3.80%, tender 3/15/97 (CFC-Nat'l. Rural Utils. Guaranteed) 4,500,000 4,500,000 Putnam County Poll. Cont. Rev. (Seminole Elec. Coop. Inc. Proj.) Series 1984 H-1, 3.95% (CFC-Nat'l. Rural Utils. Guaranteed) VRDN 12,950,000 12,950,000 St. Lucie County Poll. Cont. Rfdg. Bonds (Florida Pwr. & Light Co. Proj.): Series 1994 A: 3.60%, tender 10/22/96 4,500,000 4,500,000 3.70%, tender 12/9/96 2,300,000 2,300,000 Sarasota County Pub. Hosp. Dist. Bonds (Sarasota Memorial Hosp.): Series 1985 C, 3.75%, tender 12/10/96, LOC Sumitomo Bank, Ltd. 1,000,000 1,000,000 Series 1991: 3.70%, tender 10/23/96 (Liquidity Facility Goldman Sachs & Company) 5,000,000 5,000,000 3.70%, tender 12/10/96 (Liquidity Facility Goldman Sachs & Company) 5,000,000 5,000,000 Series 1993 A, 3.70%, tender 12/11/96 (Liquidity Facility Goldman Sachs & Company) 6,600,000 6,600,000 Sunrise Util. Sys. Participating VRDN, Series SG-16, 3.90% (Liquidity Facility Societe Generale, France) (b) 2,900,000 2,900,000 Sunshine State Govt. Fing. Commission Rev. Bonds Series 1986, 3.70%, tender 12/10/96 1,500,000 1,500,000 Sunshine State Govt. Fing. Commission Series 1994, CP: 3.65% 10/10/96 4,540,000 4,540,000 3.70% 10/10/96 8,030,000 8,030,000 3.60% 10/17/96 2,680,000 2,680,000 3.60% 10/21/96 12,075,000 12,075,000 3.70% 12/6/96 10,220,000 10,220,000 3.70% 12/9/96 2,000,000 2,000,000 University of North Florida Foundation Inc. Rev. Series 1994, 3.80%, LOC First Union National Bank NC, VRDN 2,000,000 2,000,000 174,715,000 GEORGIA - 5.0 % Clayton Hsg. Auth. Multi-Family Hsg. Rev. (Kimberly Forest Apts.) Series 1990 B, 3.90% (FSA Insured) (BPA Barclays Bank PLC) VRDN 1,400,000 1,400,000 Cobb County Dev. Auth. Rev. (Institute of Nuclear Operations) Series 1992, 3.90%, LOC SunTrust Bank of Alabama, VRDN 7,775,000 7,775,000 Columbia County Residential Care Facs. for Elderly (Augusta Resource Ctr. on Aging) Series 1994, 3.90%, LOC SunTrust Bank, Atlanta, VRDN 4,600,000 4,600,000 Columbia County Residential Care Facs. Rev. (Augusta Residential Ctr./Brandon Wilde Lifecare Ctr.) 3.90%, LOC SunTrust Bank, Atlanta, VRDN 7,310,000 7,310,000 Dekalb County Dev. Auth. Dev. Rev. (A.G. Rhodes Home at Wesley Woods, Inc. Proj.) Series 1996 C, 3.80%, LOC SunTrust Bank, Atlanta, VRDN 4,000,000 4,000,000 DeKalb County Hsg. Auth. Multi-Family Hsg. Rev., VRDN: Rfdg. (Winterscreek Apts/ Proj.) 3.90% (FNMA Guaranteed) 2,500,000 2,500,000 (Post Brook Proj.) 3.85% (FNMA Guaranteed) 4,050,000 4,050,000 Fulton County Dev. Auth. Rev. (Robert W. Arts Ctr.) 3.45%, LOC SunTrust Bank, Atlanta, VRDN 3,500,000 3,500,000 Fulton County Hsg. Auth. Multi-Family Hsg. Rev., VRDN: Rfdg. (Holcomb's Landing Apts. Proj.) 3.90%, LOC First Union National Bank of NC 2,400,000 2,400,000 Rfdg. (Spring Creek Crossing Proj.) 3.90%, LOC Wachovia Bank of Georgia 13,000,000 13,000,000 (Champions Green Apts.) Series A, 3.45%, LOC Southtrust Bank of Alabama 13,860,000 13,860,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) GEORGIA - CONTINUED Georgia Gen. Oblig. Participating VRDN, Series BT-194, 3.95% (Liquidity Facility Bankers Trust Company) (b) $ 4,285,000 $ 4,285,000 Georgia Muni. Elec. Auth. Bonds Gen. Resolution Prog.) Series 1985 A, 3.70%, tender 10/9/96 2,000,000 2,000,000 Georgia Muni. Elec. Auth. Participating VRDN, Series SG-40, 3.95% (Liquidity Facility Societe Generale, France) (b) 8,610,000 8,610,000 Gwinnett County Hsg. Auth. Multi-Family Hsg. Rev. (Post Corners Proj.) Series 1996, 3.85% (FNMA Guaranteed) VRDN 5,000,000 5,000,000 Macon-Bibb County Hosp. Auth. Rev. (Med. Ctr. of Central Georgia) 3.90%, LOC SunTrust Bank Atlanta, VRDN 1,400,000 1,400,000 Macon-Bibb County Urban Dev. Auth. Rev. (Charter Med. Macon, Inc. Proj.) 3.75%, LOC Bank of Tokyo-Mitsubishi, Ltd., VRDN 1,800,000 1,800,000 Marietta Hsg. Auth. Multi-Family Hsg. Rev. Rfdg. (Wood Pointe Apts.) Series 1993, 3.90%, LOC First Union Nat'l. Bank of NC, VRDN 4,000,000 4,000,000 Metro Atlanta Rapid Transit Auth. Sales Tax Rev. Participating VRDN, Series SG-57, 3.95% (Liquidity Facility Societe Generale, France) (b) 8,605,000 8,605,000 Rockdale County TAN Series 1996, 4.10% 12/31/96 1,300,000 1,300,786 Roswell Hsg. Auth. Multi-Family Hsg. Rev., VRDN: (Autumnbrook Apts.) Series 1991 A, 4%, LOC AmSouth Bank, NA 5,200,000 5,200,000 (Azalea Park Apts.) Series 1996, 3.90% (FNMA Guaranteed) 2,800,000 2,800,000 109,395,786 IDAHO - 0.4 % Caribou County Poll. Cont. Rev. Rfdg. (Monsanto Co. Proj.) VRDN: Series 1990, 3.80% 3,600,000 3,600,000 Series 1994 A, 3.80% 3,000,000 3,000,000 Series 1994 B, 3.80% 1,000,000 1,000,000 Idaho TAN Series 1996, 4.50% 6/30/97 1,000,000 1,004,207 8,604,207 ILLINOIS - 7.3 % Chicago School Reform Board of Trustees Participating VRDN, Series BB-96, 4% (Liquidity Facility Bank of America) (b) 9,000,000 9,000,000 Cook County Rev. (Catholic Charities Hosp.) Series 1988 A-1, 3.85%, LOC Nat'l. Westminster Bank, VRDN 1,900,000 1,900,000 Du Page Wtr. Commission Wtr. Rev. Participating VRDN, Series CR-162, 3.95% (Liquidity Facility Citibank, NA) (b) 13,815,000 13,815,000 Illinois Dev. Fin. Auth. Poll. Cont. Rev. Rfdg., VRDN: (Commonwealth Edison Co. Proj.) Series 1994 C, 3.85%, LOC ABN-AMRO Bank 3,200,000 3,200,000 (UNO-VEN Proj.) Series 1994, 3.85%, LOC NBD Bank 7,100,000 7,100,000 Illinois Dev. Fin. Auth. Rev., VRDN: (Museum of Contemporary Art Proj.) Series 1994, 3.85% 4,800,000 4,800,000 (WBEZ Alliance Inc. Proj.) Series 1994, 3.95%, LOC Lasalle National Bank 6,600,000 6,600,000 Illinois Edl. Facs. Auth. Rev.: (Art Institute of Chicago): Series 1992, 3.90% (BPA Bank of America Illinois) VRDN 2,100,000 2,100,000 Series 1996, 3.90% (Liquidity Facility Bank of America Illinois) VRDN 10,300,000 10,300,000 (The Arts Club of Chicago) Series 1996, 3.85%, LOC Northern Trust Company, VRDN 4,500,000 4,500,000 Participating VRDN, Series CR-176, 3.95% (Liquidity Facility Citibank, NA) (b) 10,000,000 10,000,000 Illinois Health Facs. Auth. Multi-Family Rev. (Park Plaza Retirement Ctr.) 3.85%, LOC Lasalle National Bank, VRDN 1,500,000 1,500,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) ILLINOIS - CONTINUED Illinois Health Facs. Auth. Rev.: Bonds: (Evanston Hosp. Corp. Proj.) Series 1985 B, 3.15%, tender 1/31/97 $ 6,800,000 $ 6,800,000 (Univ. of Chicago Proj.) Series 1985 A, 4.50%, tender 1/30/97 3,400,000 3,400,000 (Children's Mem. Hosp.) Series 1985 B, 3.85%, LOC First Nat'l. Bank of Chicago, VRDN 4,300,000 4,300,000 (Decatur Memorial Hosp. Proj.) Series 1996, 3.90% (MBIA Insured) (BPA First Nat'l. Bank of Chicago) VRDN 12,500,000 12,500,000 (Gottlieb Health Resources Inc.) 3.85%, LOC Harris Trust & Savings Bank of Chicago, VRDN 2,500,000 2,500,000 (Highland Park Hosp.) Series 1991 B, 3.90% (FGIC Insured) VRDN 5,700,000 5,700,000 (Lake Forest Hosp. Proj.) 4.50%, LOC First Nat'l. Bank of Chicago, FRDN 2,810,000 2,810,000 (Methodist Med. Ctr. Proj.) Series 1985 B, 3.75%, LOC Sumitomo Bank, Ltd., VRDN 2,300,000 2,300,000 (Pekin Mem. Hosp. Proj.) Series 1993 C, 3.875%, LOC Lasalle Nat'l. Bank of Chicago, VRDN 3,300,000 3,300,000 (West Suburban Hosp. Med. Ctr. Proj.) Series 1991, 3.85%, LOC First Nat'l. Bank of Chicago, VRDN 12,600,000 12,600,000 Illinois Regional Trans. Auth. Participating VRDN (b): Series SG-10, 3.90% (Liquidity Facility Societe Generale, France) 3,600,000 3,600,000 Series SG-82, 3.95% (Liquidity Facility Societe Generale, France) 10,500,000 10,500,000 Illinois Tollway Hwy. Priority Rev. Series B, 3.80%, LOC Societe Generale, France (MBIA Insured) VRDN 1,500,000 1,500,000 Lisle Village Multi-Family Hsg. Rev. (Four Lakes Proj.) Series 1985 A, 3.90%, LOC Chase Manhattan Bank, VRDN 3,970,000 3,970,000 Northlake Econ. Dev. Rev. (Dominicks Finer Foods Inc. Proj.) Series 1991 B, 3.85%, LOC Bankers Trust Company, VRDN 2,400,000 2,400,000 Schaumburg Village Gen. Oblig. Rev. Series 1996 A, 3.85% (BPA Credit Suisse) VRDN 9,000,000 9,000,000 161,995,000 INDIANA - 2.1 % Fort Wayne Econ. Dev. Rev. (Edy's Grand Ice Cream Proj.) Series 1985, 3.925%, LOC Bank of America NT & SA, VRDN 3,950,000 3,950,000 Indiana Hsg. Fin. Auth. Single-Family Mtg. Rev. Bonds Series 1995 D-1, 3.85%, tender 11/1/96 1,575,000 1,575,000 Indianapolis Econ. Dev. Rev. Rfdg. (Rand McNally & Co. Proj.) Series 1989, 3.85%, LOC First Union Nat'l. Bank of NC, VRDN 4,000,000 4,000,000 Indianapolis Pub. Impt. TAN Series 1996 A, 4.25% 1/1/97 5,700,000 5,706,879 Merrillville Health Care Facs. Participating VRDN, 4.05% (Liquidity Facility Bank One Akron) (b) 4,500,000 4,500,000 Purdue Univ. Rev. (Student Fees) Series H, 3.80%, VRDN 3,335,000 3,335,000 Richmond Econ. Dev. Rev. Rfdg. (Friends Fellowship Commty.) Series 1993, 3.85%, LOC NBD Bank, VRDN 3,500,000 3,500,000 Rockport Poll. Cont. Rev. (AEP Generating Co. Proj.) Series 1995 B, 3.80% (AMBAC Insured) (Liquidity Facility Bank of New York) VRDN 1,400,000 1,400,000 South Bend Health Care Facs. Participating VRDN, Series 1992 A, 4.05% (Liquidity Facility Bank One) (b) 3,290,000 3,290,000 Sullivan Poll. Cont. Rev. Bonds (Hoosier Energy Rural Elec. Coop.): Series 1985 L-3: 3.70%, tender 10/7/96 (Nat'l. Rural Utils.-CFC Guaranteed) 4,410,000 4,410,000 3.60%, tender 10/17/96 (Nat'l. Rural Utils.-CFC Guaranteed) 3,400,000 3,400,000 Series 1985 L-5, 3.60%, tender 10/21/96 (Nat'l. Rural Utils.-CFC Guaranteed) 6,805,000 6,805,000 45,871,879 IOWA - 0.0 % Iowa Fin. Auth. Single-Family Rev. Mtg. Bonds Series 1995 A, 3.10%, tender 2/27/97 (FGIC Insured) 1,000,000 1,000,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) KANSAS - 0.2 % Lawrence Gen. Oblig. BAN Series 1995 D, 3.45% 10/1/96 $ 1,000,000 $ 1,000,000 Winfield Ind. Dev. Rev. (Binney & Smith, Inc. Proj.) Series 1982 A, 3.59%, LOC Morgan Guaranty Trust Co., NY, VRDN 5,500,000 5,500,000 6,500,000 KENTUCKY - 1.4 % Jefferson County Poll. Cont. Rev. Rfdg. (Philip Morris Co. Inc. Proj) Series 1992, 3.90%, VRDN 1,300,000 1,300,000 Louisville & Jefferson County Participating VRDN, Series PT-69, 3.95% (Liquidity Facility Bayerische Hypotheken-und Weschel) (b) 1,700,000 1,700,000 Mason County Poll. Cont. Rev. (East. Pwr. Coop.) VRDN: Series 1984 B, 3.95% (National Rural Utils.-CFC Guaranteed) 15,000,000 15,000,000 Series 1984 B-1, 3.95% (National Rural Utils.-CFC Guaranteed) 12,750,000 12,750,000 30,750,000 LOUISIANA - 1.8 % Calcasieu Parish Ind. Dev. (Weingarten Realty Proj.) 3.85%, LOC Texas Commerce Bank Houston, VRDN 1,990,000 1,990,000 Calcasieu Parish Sales Tax Dist., VRDN: Series 1994-99, 4-A, 3.85%, LOC Nat'l. Westminister Bank PLC 1,770,000 1,770,000 Series 1994-01, 4-A, 3.85%, LOC Nat'l. Westminster Bank PLC 370,000 370,000 Desoto Parish Poll. Cont. Participating VRDN, Series 94 W, 4.10% (Liquidity Facility Norwest Bank NA, Minnesota) (b) 2,600,000 2,600,000 Desoto Poll. Cont. Rev. Rfdg. (Central Elec. Co. Proj.) 3.70%, LOC Swiss Bank Corp., VRDN 2,000,000 2,000,000 Jefferson Parish Hosp. Rev. (W. Jefferson Med. Ctr. Dist. #1) Series 1986, 3.90%, LOC Citibank, NA, VRDN 2,185,000 2,185,000 Lafayette Econ. Dev. Auth. Ind. Dev. Rev. Rfdg. (Holt County of Louisiana Proj.) 4.175%, LOC Morgan Guaranty Trust Co. NY, VRDN 4,065,000 4,065,000 Louisiana Pub. Facs. Auth. Wtr. Rev. Rfdg. (Louisiana Wtr. Co. Proj.) Series 1993, 3.90%, LOC Bank One Texas, VRDN 7,500,000 7,500,000 Plaquemines Port Harbor Terminal Dist. Port Fac. Rev. Bonds (Chevron Corp.) 4.05%, tender 9/1/97 1,600,000 1,600,000 West Baton Rouge Parish Ind. Dist. #3 Rev. Rfdg. Bonds (Dow Chemical Co. Proj.) Series 1991, 3.70%, tender 10/9/96 16,000,000 16,000,000 40,080,000 MAINE - 0.1 % Maine Health & Higher Ed. (VHA-New England Inc.) VRDN: Series D, 3.85% (AMBAC Insured) (BPA Mellon Bank) 1,390,000 1,390,000 Series E, 3.85% (BPA Mellon Bank) 1,135,000 1,135,000 2,525,000 MARYLAND - 0.6 % Maryland Econ. Dev. Corp. Rev. Series 1995, 3.85%, LOC NationsBank NA, VRDN 6,000,000 6,000,000 Maryland Health & Higher Ed. Facs. Auth. Rev. (Helix Hosp.) Series A, 3.85%, LOC NationsBank NA, VRDN 4,000,000 4,000,000 Montgomery County Consolidated Bond Anticipation Notes Series 1995, 3.55% 10/8/96 (Liquidity Facility Union Bank of Switzerland) CP 2,500,000 2,500,000 12,500,000 MASSACHUSETTS - 1.0 % Mass. Bay Trans. Auth. RAN 4.75% 9/5/97 4,200,000 4,229,454 Massachusetts Gen. Oblig.: BAN Series 1996 A, 4.25% 6/10/97 7,000,000 7,016,231 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) MASSACHUSETTS - CONTINUED Massachusetts Gen. Oblig.: - continued Participating VRDN (b): Series CR-147, 4% (Liquidity Facility Citibank, NA) $ 6,400,000 $ 6,400,000 Series SG-47, 3.90% (Liquidity Facility Societe Generale, France) 3,000,000 3,000,000 M assachusetts Health. & Ed. Facs. Auth. Rev. (Cap. Asset Prog.) Series E, 3.75%, LOC First Nat'l. Bank of Chicago, VRDN 1,100,000 1,100,000 21,745,685 MICHIGAN - 4.5 % Dearborn Econ. Dev. Corp. Ltd. Oblig.Rev. (Oakbrook Common) Series 1993 3.95%, LOC Mellon Bank, NA VRDN 2,300,000 2,300,000 Detroit School Dist. RAN 4.50% 5/1/97 11,700,000 11,736,198 Grand Rapids Wtr. Supply Sys. Impt. Rev. Rfdg. Series 1993, 3.70% (FGIC Insured) (Liquidity Facility Societe Generale, France) VRDN 2,300,000 2,300,000 Michigan Hosp. Fin. Auth. Rev.: Rfdg. (Mt. Clemens Gen. Hosp.) Series 1994, 3.90%, LOC Comerica Bank, VRDN 15,400,000 15,400,000 (Daughters of Charity Health Sys. Providence Hosp.) Series 1984, 3.85%, FRDN 12,450,000 12,450,000 (Hospital Equip. Loan Prog.): 3.90%, LOC First of America Bank, VRDN 1,400,000 1,400,000 Series A, 3.90%, LOC First of America Bank, VRDN 2,800,000 2,800,000 Series 1995 A, 3.90%, LOC First of America Bank, VRDN 4,000,000 4,000,000 (St. Mary's Hosp. of Livonia) Series 1996 A, 3.95%, LOC Comerica Bank, VRDN 1,500,000 1,500,000 Michigan Hsg. Dev. Auth. Ltd. Oblig. Rev.: (Laurel Valley Apts.) 3.90%, LOC Nat'l. Westminister Bank PLC, VRDN 4,700,000 4,700,000 (Shoal Creek Apt. Proj.) 3.90%, LOC Nat'l. Westminster Bank PLC, VRDN 3,000,000 3,000,000 Michigan Muni. Bond Auth. RAN: Series 1996 A, 4.50% 7/3/97 11,500,000 11,548,823 Series 1996 B, 4.50% 7/25/97 2,000,000 2,007,814 Michigan Strategic Fund Poll. Cont. Rev. Rfdg., VRDN: (Consumers Pwr. Co. Proj.) Series 1988 A, 3.95%, LOC Union Bank of Switzerland 1,800,000 1,800,000 (Dow Chemical Co. Proj.) Series 1994, 3.80% 7,600,000 7,600,000 Michigan Trunk Line Participating VRDN, Series SG-87, 3.95% (FGIC Insured) (Liquidity Societe Generale, France) (b) 700,000 700,000 Univ. of Michigan Hosp. Rev., VRDN: Series 1992 A, 3.80% 1,000,000 1,000,000 Series 1995 A, 3.80% 10,600,000 10,600,000 Univ. of Michigan Rev. Med. Svc. Series 1995 A, 3.80%, VRDN 2,600,000 2,600,000 99,442,835 MINNESOTA - 2.0 % Bloomington Multi-Family Hsg. Rev. Rfdg. (Crow/Bloomington Apts. Proj.) Series 1993, 3.90%, LOC Citibank, NA, VRDN 8,305,000 8,305,000 Dakota County Hsg. & Redev. Auth. Multi-Family Rental Hsg. Rev. Rfdg. (Southview Gables Apts. Proj.) 3.85% (Norwestern Mutual Life Co, Guaranteed) VRDN 11,075,000 11,075,000 Duluth Tax Increment Rev. (Lake Superior Paper Co.) Series 1985, 4.05%, LOC Wachovia Bank of GA, NA, VRDN 2,800,000 2,800,000 Minneapolis/St. Paul Hsg. and Redev. Auth. (Children's Health Care) Series 1996 E, 4.10% (FSA Insured) (Liquidity Facility Norwest Bank NA, Minnesota) (b) 3,250,000 3,250,000 Minnesota Gen. Oblig. Participating VRDN, Series 99, 3.95%, BPA Bankers Trust Company, VRDN 7,710,000 7,710,000 North Branch Independent School District 138 Participating VRDN, Series 1996 C, 4.10% (Liquidity Facility Norwest Bank NA, Minnesota) (b) 965,000 965,000 Osseo Independent School Dist. Participating VRDN, Series 94-T1, 4.10% (Liquidity Facility First Bank NA, MN) (b) 1,000,000 1,000,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) MINNESOTA - CONTINUED Richfield Independent School Dist. #280 Participating VRDN, Series 1994 P, 4.10% (Liquidity Facility First Bank NA, MN) (b) $ 1,510,000 $ 1,510,000 Rochester Health Care Facs. Rev. (Mayo Foundation Proj.) Series 1985 C, 4.05% (Liquidity Facility Credit Suisse Zurich) VRDN 2,000,000 2,000,000 St. Louis Park Health Care Facs. Participating VRDN (b): Series 1994 U, 4.10% (Liquidity Facility Norwest Bank NA, Minnesota) 2,500,000 2,500,000 Series 1994 V, 4.10% (Liquidity Facility Norwest Bank NA, Minnesota) 3,300,000 3,300,000 44,415,000 MISSISSIPPI - 0.7 % Harrison County Poll. Cont. Rev. Rfdg. (Mississippi Pwr. Co. Proj.) Series 1992, 3.90%, VRDN 8,750,000 8,750,000 Mississippi Bus. Fin. Corp. Rev. (Mississippi College Proj.) Series 1996, 3.85%, LOC NationsBank, NA (South), VRDN 7,000,000 7,000,000 15,750,000 MISSOURI - 0.9 % Missouri Envir. Impt. Energy Resource Auth. Rev. Rfdg. (Kansas City Pwr. & Light Co.) 3.90%, VRDN 6,200,000 6,200,000 Missouri Health & Ed. Facs. (Lutheran Sr. Svcs. ) 3.85%, LOC Lasalle Nat'l. Bank, VRDN 3,000,000 3,000,000 St. Charles County Ind. Dev. Auth. Rev. Rfdg. (Vanderbilt Apts. Proj.) Series 1990 A,3.80%, LOC Citibank, NA, VRDN 7,825,000 7,825,000 Univ. of Missouri BAN Series 1996-97, 4.75% 6/30/97 3,400,000 3,421,951 20,446,951 MONTANA - 0.8 % Montana Health Care Fac. Auth. Rev. (Pooled Loan Prog.) Series A, 3.90% (FGIC Insured) (Liquidity Facility Norwest Bank NA, Minnesota) VRDN 3,000,000 3,000,000 Montana Board of Investments Payroll Tax Rev. (Workers Comp. Prog.) Series 1993, 3.85%, VRDN 13,700,000 13,700,000 16,700,000 NEBRASKA - 0.1 % Omaha Pub. Pwr. Dist. Elec. Sys. Participating VRDN, Series 1993 D, 3.90% (Liquidity Facility Merrill Lynch & Co., Inc.) (b) 2,530,000 2,530,000 NEVADA - 0.9 % Clark County Arpt. Impt. Rev. Rfdg. Series 1993 A, 3.80% (MBIA Insured) (BPA Nat'l. Westminster Bank PLC, VRDN 10,081,000 10,081,000 Clark County Ind. Dev. Rev. (Nevada Pwr. Co. Proj.) Series 1995 C, 3.95%, LOC Barclays Bank PLC, VRDN 3,500,000 3,500,000 Clark County School Dist. Participating VRDN (b): Series BT-192, 3.95% (Liquidity Facility Bankers Trust Company) 2,800,000 2,800,000 Series SG-62, 3.95% (Liquidity Facility Societe Generale, France) 2,900,000 2,900,000 19,281,000 NEW HAMPSHIRE - 0.4 % New Hamphire Higher Ed. & Health Facs. Auth. Rev., VRDN: (Alice Peck Day Lifecare Ctr./Harvest Hill) 3.80%, LOC Corestates Bank 800,000 800,000 (St. Paul's School) 3.80%, LOC State Street Bank & Trust Co., Boston 2,000,000 2,000,000 (VHA New England Inc.): Series D, 3.85% (AMBAC Insured) 1,600,000 1,600,000 Series E, 3.85% (AMBAC Insured) (BPA First Nat'l. Bank of Chicago) 1,400,000 1,400,000 New Hampshire Ind. Dev. Auth. Resource Recovery Rev. Bonds (Claremont Co. L.P. Proj.) Series 1985, 3.80%, tender 1/1/97 (MBIA Insured) 3,205,000 3,205,000 9,005,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) NEW JERSEY - 0.6 % Cape May BAN 3.50% 2/28/97 $ 2,500,000 $ 2,504,171 Clifton BAN 4.50% 6/26/97 1,400,000 1,405,927 Livingston Township Rfdg. Tax Appeal Bonds 3.26% 2/12/97 1,400,000 1,400,098 New Jersey Gen. Oblig. Participating VRDN, Series 943005, 3.95% (Liquidity Facility Citibank, NA) (b) 7,400,000 7,400,000 12,710,196 NEW YORK - 1.8 % Hempstead BAN 3.50% 2/28/97 17,300,000 17,315,072 Nassau County BAN 4% 11/15/96 4,600,000 4,600,742 New York City Gen. Oblig. Series 1995 B-5, 3.70% (MBIA Insured) (Liquidity Facility Rabobank Nederland, N.V.) VRDN 1,300,000 1,300,000 New York State Energy Research & Dev. Auth. Poll. Cont. Rev. (Niagara Mohawk Pwr. Corp.) Series 1985 C, 3.95%, LOC Canadian Imperial Bank, VRDN 2,000,000 2,000,000 New York State Pwr. Auth. Bonds 3.70%, tender 3/1/97 14,000,000 14,000,000 39,215,814 NORTH CAROLINA - 0.5 % North Carolina Hosp. Rev. Board Rev. (Park Ridge Hosp.) Series 1988, 3.85%, LOC NationsBank NA (South) VRDN 5,100,000 5,100,000 North Carolina Med. Care Commission Health Care Facs. Bonds (St. Joseph of the Pines) 3.75%, tender 12/1/96, LOC Wachovia Bank of NC, NA 2,600,000 2,600,000 North Carolina Med. Care Rev. (Moses H. Cone Mem. Hosp. Proj.) 3.80% (BPA Wachovia Bank of NC, NA) VRDN 4,100,000 4,100,000 11,800,000 NORTH DAKOTA - 1.1 % Oliver County Poll. Cont. Rev. Rfdg. (Square Butte Elec. Coop.) VRDN: Series 1996 A, 3.90% (AMBAC Insured) (BPA Bank of New York, NA) 16,800,000 16,800,000 Series 1996 B, 3.90% (AMBAC Insured) (BPA Bank of New York, NA) 7,700,000 7,700,000 24,500,000 OHIO - 1.8 % Cuyahoga County Hosp. Rev. (Cleveland Clinic Foundation) Series 1996 B, 3.80%, VRDN 22,000,000 22,000,000 Marion County Hosp. Impt. Rev. (Pooled Lease Prog.) Series 1992, 3.95%, LOC Bank One, VRDN 2,000,000 2,000,000 Milford Village School Dist. BAN 4% 1/30/97 700,000 700,248 Montgomery County Econ. Dev. Rev. (Dayton Art Institute) Series 1996, 3.90%, LOC Nat'l. City Bank, Cleveland, VRDN 3,000,000 3,000,000 Montgomery County (Sisters of Charity Health Care) Series 1995, 3.80% (Liquidity Facility Toronto-Dominion Bank) VRDN 8,000,000 8,000,000 Toledo Spl. Assessment Notes Series 1996, 3.90%, LOC Canadian Imperial Bank, VRDN 4,000,000 4,000,000 39,700,248 OKLAHOMA - 0.2 % Tulsa International Arpt. Gen. Rev. Series 1996, 3.60% (FGIC Insured) (BPA FGIC Security Purchase Inc.) VRDN 4,000,000 4,000,000 OREGON - 0.2 % Oregon Veterans Welfare Hsg. Rev. Series 1973 G, 3.80%, LOC Morgan Guaranty Trust Co., NY, VRDN 5,000,000 5,000,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) PENNSYLVANIA - 6.0 % Allegheny County Hosp. Redev. Auth. Health Facs. Rev. (Central Blood Bank Proj.) Series 1992, 3.85%, LOC PNC Bank, VRDN $ 2,225,000 $ 2,225,000 Allegheny County Hosp. Dev. Auth. (Allegheny Gen. Hosp.) Series B, 3.70%, LOC Morgan Guaranty Trust Co., NY, VRDN 1,200,000 1,200,000 Allegheny County Ind. Dev. Auth. Rev. Rfdg. (N. Versailles Shopping Ctr.) Series 1992, 3.95%, LOC Bank One of Columbus, VRDN 3,570,000 3,570,000 Berks County Ind. Dev. Auth. Rev. (Lutheran Home at Topton Proj.) Series 1993 B, 3.875%, LOC Meridian Bank NA, VRDN 8,900,000 8,900,000 Delaware Valley Reg. Fin. Auth. Local Govt., VRDN: Series 1985 A, 3.95%, LOC Midland Bank PLC 1,700,000 1,700,000 Series 1985 B, 3.95%, LOC Midland Bank PLC 2,400,000 2,400,000 Series 1985 C, 3.95%, LOC Midland Bank PLC 4,300,000 4,300,000 Emmaus Gen. Auth. Local Govt. Rev., VRDN: (Saucon Valley) Series D-12, 3.95%, LOC Canadian Imperial Bank 1,100,000 1,100,000 Series 1989 B-10, 3.95%, LOC Midland Bank PLC 400,000 400,000 Series 1989 D-10, 3.95%, LOC Canadian Imperial Bank 7,200,000 7,200,000 Series 1989 E-7, 3.95%, LOC Midland Bank PLC 1,600,000 1,600,000 Harrisburg Auth. Wtr. Rev. Participating VRDN, Series BT-193, 4% (Liquidity Facility Bankers Trust Company) (b) 5,000,000 5,000,000 Lehigh County Ind. Dev. Auth. Rev. (The Keebler Co.) Series 1992, 3.95%, LOC Wachovia Bank NC, VRDN 4,740,000 4,740,000 North Pennsylvania Wtr. Auth. Wtr. Rev. Participating VRDN, Series SG-30, 4% (Liquidity Facility Societe Generale, France) (b) 4,000,000 4,000,000 Northeastern Pennsylvania Hosp. & Ed. Auth. (Allhealth Pool Fing.) 3.95%, LOC Chase Manhattan Bank, VRDN 28,000,000 28,000,000 Pennsylvania Econ. Dev. Auth. Rev. (Foxdale Village Proj.) Series 1989 C, 3.85%, LOC PNC Bank, VRDN 2,250,000 2,250,000 Pennsylvania Intergovernmental Coop. Auth. Special Tax Rev. Participating VRDN, Series SG-16, 3.90% (Liquidity Facility Societe Generale, France (b) 2,590,000 2,590,000 Philadelphia Hosp. & Higher Ed. Auth. Hosp. Ed. Auth. Hosp. Rev. (Children's Hosp.) 4% (BPA Morgan Guaranty Trust Co., NY) VRDN 3,600,000 3,600,000 Philadelphia Hosp. Rev. (Children's Hosp. Proj.) Series 1996 A, 4% (Liquidity Facility Morgan Guaranty Trust Co., NY) VRDN 1,200,000 1,200,000 Philadelphia School Dist. TRAN Series 1996-97, 4.50% 6/30/97 3,500,000 3,512,557 Philadelphia TRAN Series 1996-97, 4.50% 6/30/97 4,400,000 4,417,324 Schuylkill County Ind. Dev. Auth. Resource Recovery Rev., VRDN: (Gilberton Pwr.) 3.95%, LOC Mellon Bank, NA 8,700,000 8,700,000 (Northeastern Pwr. Co.) Series 1985, 3.80%, LOC Sumitomo Bank, Ltd 1,500,000 1,500,000 Scranton - Lackawanna Health & Welfare Auth. (Elan Gardens Proj.) Series 1996, 3.85%, LOC PNC Bank NA, VRDN 3,500,000 3,500,000 South Fork Muni. Auth. Hosp. Rev. (Lee Hosp. Proj.) Series 1993 B, 3.85%, LOC PNC Bank NA, VRDN 5,070,000 5,070,000 West Cornwall Muni. Auth. Rev. (Lebanon Valley Brethren Home) 3.875%, LOC Corestates Bank, VRDN 1,000,000 1,000,000 York City Gen. Auth. Pooled Fing. Rev. Series 1996, 3.85%, LOC First Union Nat'l. Bank of NC, VRDN 18,000,000 18,000,000 131,674,881 RHODE ISLAND - 0.0 % Rhode Island Hsg. & Mtg. Fin. Corp. Homeownership Opportunity Bonds Series 19-C, 3.45%, tender 1/30/97 1,000,000 1,000,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) SOUTH CAROLINA - 2.2 % South Carolina Cap. Impt. Participating VRDN, Series BT-27, 4% (Liquidity Facility ADP, Inc.) (b) $ 1,326,000 $ 1,326,000 South Carolina Hsg. Fin. & Dev. Auth. Multi-Family Hsg. Rev. Rfdg., VRDN: (Charleston Oxford) Series 1990 B, 4.20% (Continental Casualty Co. Guaranteed) 10,180,000 10,180,000 (Greenville Oxford) Series 1990 A, 4.20% (Continental Casualty Co. Guaranteed) 4,855,000 4,855,000 (Richland Oxford) Series 1990 C, 4.20% (Continental Casualty Co. Guaranteed) 5,130,000 5,130,000 South Carolina Jobs Econ. Dev. Auth. Healthcare Facs. Rev. (The Methodist Home Proj.) Series 1994, 3.90%, LOC NationsBank NA, VRDN 4,000,000 4,000,000 South Carolina Pub. Svc. Auth. Rev. 3.70% 12/9/96, CP 9,000,000 9,000,000 South Carolina Pub. Svc. Auth. Tender Option Bonds Series CR-183, 3.95% (Liquidity Facility Citibank, NA) (b) 3,200,000 3,200,000 West Columbia Wtr. & Rev. Bonds 7.375% 10/1/96 1,000,000 1,010,000 York County Poll. Cont. Rev. Bonds (North Carolina Elec. Co.) Series 1984 N-3, 3.80%, tender 3/15/97 10,000,000 10,000,000 48,701,000 SOUTH DAKOTA - 0.3 % South Dakota Health & Edl. Facs. Auth. Rev. Rfdg. (Sioux Valley Hosp.) Series 1992 A, 3.85%, VRDN 4,400,000 4,400,000 South Dakota School Dist. TAN Series 1996, 4.75% 7/28/97 3,270,000 3,290,666 7,690,666 TENNESSEE - 2.8 % Clarksville Pub. Bldg. Auth. Pooled Fing. Rev., 3.85%, LOC NationsBank of TN, VRDN 1,700,000 1,700,000 Jackson Hsg. Fac. Board Multi-Family Hsg. Rev. Rfdg. (Post House North Apts. Proj.) 3.85%, LOC Southtrust Bank of Alabama, VRDN 3,765,000 3,765,000 Knox County Health Edl. & Hsg. Facs. Board Rev. (Webb School Knoxville Proj.) 3.90%, LOC SunTrust Bank Nashville, VRDN 3,950,000 3,950,000 Knoxville Wtr. Rev. Participating VRDN, Series BT-57, 4% (Liquidity Facility ADP Inc.) (b) 3,540,000 3,540,000 Memphis Ctr. Rev. Fin. Corp. (Arbors of Harbor Town Proj.) Series 1990, 3.70% (Northwestern Mutual Life Insurance Guaranteed) VRDN 14,250,000 14,250,000 Metropolitan Govt. Nashville & Davidson County Gen. Oblig. Participating VRDN, Series CR-169, 3.95% (Liquidity Facility Citibank, NA) (b) 6,140,000 6,140,000 Montgomery County Pub. Bldg. Auth. Rev. Series 1995, 3.85%, LOC NationsBank, VRDN 12,000,000 12,000,000 Nashville & Davidson County Health & Ed. Facs. Multi-Family Hsg. Rev. (Brentwood Oaks Apts.) 3.90% (Northwestern Mutual Life Insurance Guaranteed) VRDN 4,000,000 4,000,000 Nashville & Davidson County Ind. Dev. Board Rev. (YMCA Proj.) Series 1994, 3.85%, LOC Nationsbank NA (South) VRDN 4,190,000 4,190,000 Tennessee Gen. Oblig. Rev. Series 1996 C, 3.75%, VRDN 9,100,000 9,100,000 62,635,000 TEXAS - 13.3 % Austin Hsg. Fin. Corp. Multi-Family Hsg. Rev. (Riverchase Proj.) Series 1985 A, 4.175%, LOC Household Finance Corp., VRDN 6,000,000 6,000,000 Austin Combined Util. Sys. Rev. Series A, CP: 3.60% 10/18/96, LOC Swiss Bank Corp 4,600,000 4,600,000 3.65% 12/12/96, LOC Swiss Bank Corp 2,100,000 2,100,000 Bexar County Hsg. Fin. Corp. Multi-Family Hsg. Rev. Rfdg.,VRDN: (Fountainhead I Proj.) Series 1992 A, 3.90% (Continental Casualty Co. Guaranteed) 3,855,000 3,855,000 (Fountainhead II Proj.) Series 1992 A, 3.95% (Continental Casualty Co. Guaranteed) 8,015,000 8,015,000 Brazos River Harbor Navigation Dist. of Brazoria County Rev. Bonds (Dow Chemical Co.) Series 1991: 3.60%, tender 11/7/96 8,250,000 8,250,000 3.75%, tender 12/12/96 4,700,000 4,700,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) TEXAS - CONTINUED Brownsville Util. Sys. Rev. Series A, 3.70%, LOC Toronto-Dominion Bank, CP $ 1,000,000 $ 1,000,000 Central Waco Dev. Corp. Ind. Dev. Rev. Rfdg. (HE Butt Grocery Proj.) Series 1992, 3.90%, LOC Texas Commerce Bank of Houston, VRDN 2,200,000 2,200,000 Dallas Area Rapid Transit Sales Tax Rev. Series A, CP: 3.60% 10/16/96, LOC Credit Suisse/Swiss Bank Corp. 1,800,000 1,800,000 3.60% 10/25/96, LOC Credit Suisse/Swiss Bank Corp. 10,000,000 10,000,000 Dallas-Fort Worth Reg'l. Arpt. Participating VRDN, Series SG-5, 3.90% (Liquidity Facility Societe Generale, France) (b) 1,710,000 1,710,000 Farmers Branch Ind. Dev. Corp. Rev. Rfdg. (PPG Ind. Inc. Proj.) Series 1992, 3.85%, VRDN 2,700,000 2,700,000 Grapevine-Colleyville Independent School Dist. Participating VRDN, Series SG-69, 3.95% (Liquidity Facility Society Generale, France) (b) 6,575,000 6,575,000 Greater East Texas Higher Ed. Auth. Student Loan Rev. Rfdg. Bonds Series 1992 A, 4.05%, tender 9/1/97 LOC SLMA 6,200,000 6,200,000 Guadalupe-Blanco River Auth. Ind. Dev. Rev. (BOC Group Inc. Proj.) Series 1993, 3.90%, LOC Wachovia Bank, VRDN 12,400,000 12,400,000 Gulf Coast Waste Disp. Auth. Poll. Cont. Rev. (Amoco Oil Co. Proj.) 3.70%, VRDN 900,000 900,000 Harris County Dev. Corp. Rev. Series 1996 A, 3.85%, LOC Texas Commerce Bank, Houston, VRDN 1,600,000 1,600,000 Hockley County Ind. Dev. Corp. Poll. Cont. Rev. Bonds (Amoco Proj.) 3.75%, tender 3/1/97 1,500,000 1,500,291 Houston Hsg. Fin. Corp. Single-Family Mtg. Participating VRDN, Series PT-1, 3.95% (Liquidity Facility Banque Nationale de Paris) (b) 5,340,000 5,340,000 Houston Gen. Oblig. Participating VRDN, Series SGA-28, 4.10% (Liquidity Facility Societe Generale, France) (b) 4,000,000 4,000,000 Houston Wtr. & Swr. Sys. Rev.: Participating VRDN (b): Series SG-22, 4% (Liquidity Facility Societe Generale, France) 4,000,000 4,000,000 Series SG-76, 3.95% (Liquidity Facility Societe Generale, France) 24,650,000 24,650,000 Series A, 3.60% 10/29/96 (Liquidity Facility Swiss Bank Corp./ Westdeutsche Landesbank) CP 3,000,000 3,000,000 Lower Colorado River Auth. Rev., CP: Series B, 3.65% 11/26/96 (Liquidity Facility Morgan Guaranty Trust Co., NY) 4,600,000 4,600,000 Series C, 3.65% 11/26/96 (Liquidity Facility Morgan Guaranty Trust Co., NY) 2,000,000 2,000,000 Lower Colorado River Auth. Elec. Participating VRDN, Series BT-59, 4% (Liquidity Facility ADP, Inc.) (b) 8,200,000 8,200,000 San Antonio Hotel Occupancy Tax Rev. Participating VRDN, Series SG-51, 3.95% (Liquidity Facility Societe Generale, France) (b) 2,100,000 2,100,000 Silsbee Health Facs. Dev. Corp. Hosp. Rev. (Silsbee Doctor's Hosp.) Series 1984, 3.90%, LOC Citibank NA, VRDN 3,500,000 3,500,000 Texas A&M Univ. Participating VRDN (b): Series BT-15, 3.95% (BPA Bankers Trust Company) 5,445,000 5,445,000 Series SG-21, 4% (Liquidity Facility Societe Generale, France) 1,400,000 1,400,000 Texas Dept. of Hsg. & Commty. Affairs Multi-Family Hsg. Rev. Rfdg. (Remington Hills Development) 3.80%, LOC SunTrust Bank, Atlanta, VRDN 6,500,000 6,500,000 Texas Dept. of Hsg. & Commty. Affairs Participating VRDN, Series PT-9, 3.95% (Liquidity Facility CommerzBank) (b) 4,115,000 4,115,000 Texas Gen. Oblig. TRAN Series 1996, 4.75% 8/29/97 91,200,000 91,838,376 Texas Higher Ed. Auth. Series B, 3.90% (BPA FGIC Security Purchase Inc.) VRDN 2,305,000 2,305,000 Texas School Board TAN 4.75% 8/29/97 (FSA Insured) 2,200,000 2,215,832 Texas Small Bus. Ind. Dev. Corp. Rev. (Pub. Facs. Cap. Access Prog.) 3.95%, LOC Nat'l. Westminster Bank. PLC/Credit Suisse, Switzerland, VRDN 18,395,000 18,395,000 Texas Pub. Ed. Fin. Auth. Participating VRDN, Series CR-170, 3.95% (Liquidity Facility Citibank, NA) (b) 5,000,000 5,000,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) TEXAS - CONTINUED Texas Pub. Fin. Auth. Participating VRDN, Series 1996 CB2, 3.79% (Liquidity Facility Chase Manhattan Bank) (b) $ 2,300,000 $ 2,300,000 Texas Muni. Pwr. Agcy. 3.60% 10/26/96, CP 5,500,000 5,500,000 University of Texas Bonds Series A, 3.60%, tender 10/17/96 (Liquidity Facility Texas State Univ.) 1,720,000 1,720,000 294,229,499 UTAH - 0.5 % Intermountain Pwr. Agy. Participating VRDN, Series CR-331, 4% (Liquidity Facility Citibank, NA) VRDN 5,105,000 5,105,000 Salt Lake City TRAN Series 1996, 4.50% 6/30/97 3,600,000 3,612,900 Salt Lake County TRAN Series 1996, 4.50% 12/31/96 1,600,000 1,602,928 Timpanogos Spl. Svc. Dist. Participating VRDN, Series SG-83, 3.95% (Liquidity Facility Societe Generale, France) (b) 1,300,000 1,300,000 11,620,828 VERMONT - 0.7 % Vermont Health & Ed. Bldg. Fin. Auth. (Norwich Univ. Proj.) Series 1996 A, 3.80%, LOC Chase Manhattan Bank, VRDN 10,000,000 10,000,000 Vermont Ed. & Health Bldgs. Auth. Hosp. Rev. (VHA of New England) 3.85% (AMBAC Insured) (BPA First Nat'l. Bank of Chicago) VRDN 3,560,000 3,560,000 Vermont Student Assistance Corp. Student Loan Rev. Series 1985, 3.70%, LOC Nat'l. Westminster Bank PLC, VRDN 1,325,000 1,325,000 14,885,000 VIRGINIA - 3.9 % Chesapeake Ind. Dev. Auth. Poll. cont. Rev. Bonds (Virginia Elec. Pwr. Co.) Series 1985, 3.70%, tender 12/12/96 1,100,000 1,100,000 Chesterfield County Ind. Dev. Auth. Poll. Cont. Rev.: Rfdg. (Philip Morris Co. Inc. Proj.) Series 1992, 3.90%, VRDN 10,000,000 10,000,000 Bonds (Virginia Elec. Pwr. Proj.): Series B: 3.70%, tender 10/16/96 8,300,000 8,300,000 3.60%, tender 10/22/96 3,330,000 3,330,000 3.70%, tender 12/13/96 2,535,000 2,535,000 Series 1985, 3.70%, tender 12/13/96 2,000,000 2,000,000 Fairfax County Ind. Dev. Auth. Rfdg. (Inova Health Sys./Fairfax Hosp. Assoc. Hosp. Sys.) Series 1985 A, 3.90% (BPA Credit Suisse) VRDN 3,700,000 3,700,000 Hampton Roads Regional Jail Auth. Fac. Rev. Series 1996 B, 3.90%, LOC Wachovia Bank NC, VRDN 6,900,000 6,900,000 Harrisonburg Redev. & Hsg. Auth. Multi-Family Hsg. Rev. (Misty Ridge Proj.) Series 1991 A, 3.90%, LOC Banc One of Columbus, VRDN 5,555,000 5,555,000 Louisa Ind. Dev. Auth. Poll. Cont. Rev. Bonds (Virginia Elec. Pwr. Co. Proj.) Series1987, 3.70%, tender 12/13/96 2,500,000 2,500,000 Lynchburg Ind. Dev. Auth. Hosp. Rev., VRDN: (VHA Mid-Atlantic States Proj.): Series 1985 B, 3.80% (AMBAC Insured) (BPA First Nat'l. Bank of Chicago) 2,300,000 2,300,000 Series 1985 F, 3.80% (AMBAC Insured) (BPA First Nat'l. Bank of Chicago) 2,100,000 2,100,000 Series 1985 G, 3.80% (AMBAC Insured) (BPA First Nat'l. Bank of Chicago) 2,500,000 2,500,000 Suffolk Redev. & Hsg. Auth. Multi-Family Rental Hsg. Rev., VRDN: (Windsor at Fieldstone Proj.) 3.85%, LOC NationsBank NA 7,426,000 7,426,000 (Windsor at Potomac Vista Proj.) 3.85%, LOC NationsBank NA 1,003,000 1,003,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) VIRGINIA - CONTINUED Virginia Hsg. Dev. Auth. Mtg. Bonds: Series 1996 C: 3.65%, tender 10/24/96 $ 10,900,000 $ 10,900,000 3.70%, tender 12/5/96 11,400,000 11,400,000 Virginia Hsg. Dev. Auth. (AHC Svc. Corp.) Series 1987 A, 3.90%, LOC Mitsubishi Bank Ltd., VRDN 600,000 600,000 York County Ind. Dev. Rev. Rfdg. (Philip Morris Co. Inc. Proj.) Series 1992, 3.90%, VRDN 1,000,000 1,000,000 85,149,000 WASHINGTON - 3.8 % Seattle Ind. Dev. Corp. Ind. Rev. Rfdg. (Longview Fibre Co. Proj.) Series 1988, 3.80%, LOC ABN-AMRO Bank, VRDN 2,500,000 2,500,000 Seattle Limited Tax Gen. Oblig. Participating VRDN, Series SG-12, 3.90% (Liquidity Facility Societe Generale, France) (b) 7,400,000 7,400,000 Washington Gen. Oblig.: Participating VRDN (b): Series BT-125, 3.95% (BPA Bankers Trust Company) 9,575,000 9,575,000 Series BT-195, 3.95% (Liquidity Facility Bankers Trust Company) 3,100,000 3,100,000 Series CR-140, 4% (Liquidity Facility Citibank NA) 2,500,000 2,500,000 Series SG-34, 4% (Liquidity Facility Societe Generale, France) 8,335,000 8,335,000 Series SG-36, 4% (Liquidity Facility Societe Generale, France) 2,000,000 2,000,000 Series SG-37, 3.95% (Liquidity Facility Societe Generale, France) 7,000,000 7,000,000 Series 1993C, 4% (Liquidity Facility Citibank, NA) 21,700,000 21,700,000 Series 1996 A, 3.90% (Liquidity Facility Landesbank Hessen-Thuringen) VRDN (c) 10,000,000 10,000,000 Series VR-96A, 3.85% (Liquidity Facility Landesbank Hessen-Thuringen) VRDN 6,000,000 6,000,000 Washington Pub. Pwr. Supply Sys. Rfdg. Elec. Rev. (Nuclear Project #1) VRDN: Series 1993-1A1, 3.90%, LOC Bank of America Nat'l. Trust & Savings 1,000,000 1,000,000 Series 1993-1A3, 3.85%, LOC Nat'l. Westminster Bank PLC 2,500,000 2,500,000 Washington Pub. Pwr. Supply Sys. Tender Option Ctfs. Series BT-61, 4.10% (Liquidity Facility ADP, Inc.) (b) 1,200,000 1,200,000 84,810,000 WEST VIRGINIA - 0.8 % Grant County Poll. Cont. Rev. Bonds (Virginia Elec. & Pwr. Co.) Series 1994, 3.80%, tender 3/10/97 5,200,000 5,200,000 Kanawha County Commercial Dev. Rev. Rfdg. (McJunkin Corp. Proj.) Series 1991, 3.90%, LOC NationsBank NA, VRDN 4,485,000 4,485,000 West Virginia Fin. Auth. (VHA Mid Atlantic States Inc.) Series 1985 H, 3.90% (AMBAC Insured) (BPA First National Bank of Chicago) VRDN 8,600,000 8,600,000 18,285,000 WISCONSIN - 2.6 % Milwaukee Ind. Dev. Rev. (Longview Fiber Co.) Series 1987, 3.80%, LOC ABN-AMRO Bank, VRDN 1,960,000 1,960,000 Village of Rothschild Poll. Cont. Rev. (Weyherhaeuser Co. Proj.) Series 1982, 3.787%, VRDN 2,400,000 2,400,000 Whitnall School Dist. TRAN 4.50% 9/27/97 1,000,000 1,004,211 Wisconsin Health & Ed. Facs. Auth.: (Daughters of Charity St. Mary's) Series 1992 A, 3.85%, VRDN 28,200,000 28,200,000 Bonds Series 1996 (Gunderson Clinic & Lutheran Hosp.) 4% 12/1/96 (FSA Insured) (c) 1,175,000 1,175,483 Wisconsin TRAN Series 1996, 4.50% 6/16/97 22,000,000 22,091,413 56,831,107 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) WYOMING - 0.1 % Kemmerer Poll. Cont. Rev. (Exxon Proj.) Series 1984, 3.70%, VRDN $ 1,300,000 $ 1,300,000 MULTIPLE STATES - 1.6 % Lakeland Florida Elec. & Wtr. Participating VRDN, Series 960901, 4% (Liquidity Facility Citibank, NA) (b) 6,600,000 6,600,000 NCNB Tax-Exempt Trust Participating VRDN, Series 1990 A, 4.125%, LOC NationsBank NA (b) 1,570,000 1,570,000 Stephens Equity Trust I Participating VRDN, Series 1996, 4%, LOC Bayerische Hypotheken 11,000,000 11,000,000 Washington State Motor Vehicle Fuel Tax Participating VRDN, Series 964701, 4% (Liquidity Facility Citibank, NA) (b) 17,200,000 17,200,000 36,370,000 TOTAL INVESTMENTS - 100% $ 2,211,267,546 Total Cost for Income Tax Purposes $ 2,211,267,624 SECURITY TYPE ABBREVIATIONS BAN - Bond Anticipation Notes CP - Commercial Paper FRDN - Floating Rate Demand Notes RAN - Revenue Anticipation Notes TAN - Tax Anticipation Notes TRAN - Tax and Revenue Anticipation Notes VRDN - Variable Rate Demand Notes LEGEND 1. The coupon rate shown on floating or adjustable rate securities represents the rate at period end. 2. Provides evidence of ownership in one or more underlying municipal bonds. 3. Security purchased on a delayed delivery basis (see Note 2 of Notes to Financial Statements). FIDELITY INSTITUTIONAL TAX-EXEMPT CASH PORTFOLIOS: TAX-EXEMPT FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED) 4.ASSETS Investment in securities, at value - $ 2,211,267,546 See accompanying schedule Cash 1,994,904 Receivable for investments sold 700,209 Interest receivable 11,177,610 5.TOTAL ASSETS 2,225,140,269 6.LIABILITIES Payable for investments purchased $ 11,880,272 Delayed delivery Regular delivery 93,461,040 Distributions payable 4,279,405 Accrued management fee 299,477 Other payables and accrued expenses 221,300 7.TOTAL LIABILITIES 110,141,494 8.NET ASSETS $ 2,114,998,775 Net Assets consist of: Paid in capital $ 2,115,330,176 Accumulated net realized gain (loss) on investments (331,401) 9.NET ASSETS $ 2,114,998,775 10.11.CLASS I: $1.00 12.NET ASSET VALUE, offering price and redemption price per share ($1,899,757,266 (divided by) 1,900,054,941 shares) 13.CLASS II: $1.00 14.NET ASSET VALUE, offering price and redemption price per share ($212,340,245 (divided by) 212,373,516 shares) 15.CLASS III: $1.00 16.NET ASSET VALUE, offering price and redemption price per share ($2,901,264 (divided by) 2,901,719 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) 17.INTEREST INCOME $ 36,870,868 18.EXPENSES Management fee $ 2,081,822 Transfer agent fees 222,670 Class I Class II 9,572 Class III 997 Distribution fees 79,272 Class II Class III 4,980 Accounting fees and expenses 119,269 Non-interested trustees' compensation 6,914 Custodian fees and expenses 14,786 Registration fees 159,988 Class I Class II 118,559 Class III 86,574 Audit 26,285 Legal 6,511 Miscellaneous 9,363 Total expenses before reductions 2,947,562 Expense reductions (807,708) 2,139,854 19.NET INTEREST INCOME 34,731,014 20.NET REALIZED GAIN (LOSS) ON INVESTMENTS (340,119) 21.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 34,390,895
STATEMENT OF CHANGES IN NET ASSETS SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, MARCH 31, 1996 1996 (UNAUDITED)
22.INCREASE (DECREASE) IN NET ASSETS Operations $ 34,731,014 $ 70,587,934 Net interest income Net realized gain (loss) (340,119) 365,847 Increase (decrease) in net unrealized gain from accretion of market discount - (8,972) 23.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 34,390,895 70,944,809 Distributions to shareholders (32,969,499) (70,549,024) From net interest income Class I Class II (1,699,688) (7,896) Class III (61,827) (31,014) 24.TOTAL DISTRIBUTIONS (34,731,014) (70,587,934) Share transactions - net increase (decrease) at net asset value of $1.00 per share Class I 93,145,807 (70,253,634) Class II 211,405,616 967,900 Class III 1,913,254 988,465 25.TOTAL SHARE TRANSACTIONS 306,464,677 (68,297,269) 26.TOTAL INCREASE (DECREASE) IN NET ASSETS 306,124,558 (67,940,394) 27.NET ASSETS Beginning of period 1,808,874,217 1,876,814,611 End of period $ 2,114,998,775 $ 1,808,874,217
FINANCIAL HIGHLIGHTS - CLASS I
SIX MONTHS ENDED YEAR ENDED TEN MONTH YEARS ENDED MAY 31, SEPTEMBER 30, 1996 MARCH 31, PERIOD ENDED MARCH 31, (UNAUDITED) 1996 1995 1994 1993 1992
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment Operations Net interest income .017 .036 .027 .024 .026 .040 Less Distributions From net interest income (.017) (.036) (.027) (.024) (.026) (.040) Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 ToTAL RETURN B 1.69% 3.70% 2.74% 2.44% 2.66% 4.02% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 1,899,757 $ 1,806,918 $ 1,876,815 $ 2,390,663 $ 2,239,031 $ 2,556,995 Ratio of expenses to average net .20% A, .19% .18% A, .18% .18% .18% assets C C C C C C
Ratio of net interest income to average 3.34% A 3.64% 3.20% A 2.41% 2.62% 3.90% net assets
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS II SIX MONTHS ENDED NOVEMBER 6, 1995 SEPTEMBER 30, 1996 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .016 .013 Less Distributions From net interest income (.016) (.013) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 1.62% 1.34% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 212,340 $ 968 Ratio of expenses to average net assets .35% A, C .35% A, C Ratio of net interest income to average net assets 3.22% A 3.17% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS III SIX MONTHS ENDED NOVEMBER 6, 1995 SEPTEMBER 30, 1996 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .016 .013 Less Distributions From net interest income (.016) (.013) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 1.56% 1.30% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 2,901 $ 988 Ratio of expenses to average net assets .45% A, C .45% A, C Ratio of net interest income to average net assets 3.11% A 3.00% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). DAILY MONEY FUND: TREASURY ONLY INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) Showing Percentage of Total Value of Investments U.S. TREASURY OBLIGATIONS - 100% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) U.S. TREASURY BILLS - 53.8% 10/3/96 5.21% $ 50,596,000 $ 50,581,514 10/3/96 5.31 21,421,000 21,414,847 10/10/96 5.20 44,000,000 43,944,230 10/10/96 5.22 4,117,000 4,111,699 10/17/96 5.18 8,622,000 8,602,399 10/17/96 5.21 27,844,000 27,780,516 10/17/96 5.22 10,698,000 10,673,554 10/17/96 5.23 15,573,000 15,537,286 10/17/96 5.24 22,000,000 21,950,182 10/24/96 5.23 9,247,000 9,216,457 10/24/96 5.24 67,409,000 67,185,914 10/24/96 5.26 870,000 867,112 11/7/96 5.24 13,952,000 13,878,438 11/7/96 5.25 3,728,000 3,708,172 11/7/96 5.30 25,000,000 24,865,875 11/14/96 5.26 6,879,000 6,835,953 11/14/96 5.31 25,000,000 24,840,194 11/30/96 5.20 39,483,000 39,591,795 11/30/96 5.23 28,472,000 28,551,867 11/30/96 5.24 14,000,000 14,039,601 12/5/96 5.26 55,775,000 55,252,342 12/12/96 5.13 14,296,000 14,151,039 12/12/96 5.23 7,491,000 7,413,693 12/12/96 5.26 88,000,000 87,086,560 2/6/97 5.28 11,513,000 11,301,980 2/6/97 5.31 5,179,000 5,083,522 2/6/97 5.39 2,382,000 2,337,451 2/13/97 5.24 2,077,000 2,037,238 2/20/97 5.25 10,000,000 9,798,439 2/20/97 5.26 20,000,000 19,595,694 4/3/97 5.69 5,000,000 4,862,511 7/24/97 5.58 4,678,000 4,474,528 7/24/97 5.73 8,304,000 7,933,937 8/21/97 5.75 5,409,000 5,144,419 8/21/97 5.84 12,157,000 11,551,399 9/18/97 5.71 2,405,000 2,277,898 TOTAL U.S. TREASURY BILLS 688,480,255 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) U.S. TREASURY NOTES - 46.2% 10/15/96 5.26% $ 2,207,000 $ 2,209,163 10/15/96 5.27 56,575,000 56,629,625 10/31/96 5.10 6,491,000 6,498,721 10/31/96 5.13 44,000,000 44,051,303 10/31/96 5.29 21,000,000 21,023,880 10/31/96 5.30 43,000,000 43,048,524 11/15/96 5.22 10,679,000 10,702,557 1/15/97 5.24 45,000,000 45,327,999 1/15/97 5.29 25,000,000 25,177,455 2/28/97 5.24 3,829,000 3,849,192 2/28/97 5.25 26,993,000 27,134,302 1/31/97 5.30 165,000,000 166,088,916 2/28/97 5.22 82,426,000 82,930,330 2/28/97 5.23 8,096,000 8,142,958 2/28/97 5.24 35,306,000 35,509,726 2/28/97 5.38 13,779,000 13,854,786 TOTAL U.S. TREASURY NOTES 592,179,437 TOTAL INVESTMENTS - 100% $ 1,280,659,692 Total Cost for Income Tax Purposes $ 1,280,659,692 INCOME TAX INFORMATION At March 31, 1996, the fund had a capital loss carryforward of approximately $299,000 of which $22,000, $162,000 and $115,000 will expire on March 31, 2001, 2002 and 2004, respectively. DAILY MONEY FUND: TREASURY ONLY FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED) 28.ASSETS Investment in securities, at value - See accompanying schedule $ 1,280,659,692 Interest receivable 12,039,239 29.TOTAL ASSETS 1,292,698,931 30.LIABILITIES Distributions payable $ 4,248,907 Accrued management fee 218,149 Distribution fees payable 5,334 31.TOTAL LIABILITIES 4,472,390 32.NET ASSETS $ 1,288,226,541 Net Assets consist of: Paid in capital $ 1,288,259,396 Accumulated net realized gain (loss) on investments (32,855) 33.NET ASSETS $ 1,288,226,541 34.CLASS I: $1.00 35.NET ASSET VALUE, offering price and redemption price per share ($1,264,204,227 (divided by) 1,264,236,469 shares) 36.CLASS II: $1.00 37.NET ASSET VALUE, offering price and redemption price per share ($8,141,363 (divided by) 8,141,571 shares) 38.CLASS III: $1.00 39.NET ASSET VALUE, offering price and redemption price per share ($15,880,951 (divided by) 15,881,356 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) 40.41.INTEREST INCOME $ 33,780,952 42.EXPENSES Management fee $ 2,718,445 Distribution fees 2,822 Class II Class III 19,478 Non-interested trustees' compensation 2,760 Total expenses before reductions 2,743,505 Expense reductions (1,425,837) 1,317,668 43.NET INTEREST INCOME 32,463,284 44.45.NET REALIZED GAIN (LOSS) ON INVESTMENTS 63,964 46.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 32,527,248
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 1996 MARCH 31, (UNAUDITED) 1996 47.INCREASE (DECREASE) IN NET ASSETS Operations $ 32,463,284 $ 70,116,054 Net interest income Net realized gain (loss) 63,964 (114,693) 48.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 32,527,248 70,001,361 Distributions to shareholders (31,998,959) (69,114,113) From net interest income Class I Class II (92,725) (42,881) Class III (371,600) (959,060) 49.TOTAL DISTRIBUTIONS (32,463,284) (70,116,054) Share transactions - net increase (decrease) at net asset value of $1.00 per share: Class I (96,910,211) 94,879,983 Class II 8,039,531 102,040 Class III 11,784,153 4,097,203 50.TOTAL SHARE TRANSACTIONS (77,086,527) 99,079,226 51.TOTAL INCREASE (DECREASE) IN NET ASSETS (77,022,563) 98,964,533 52.NET ASSETS Beginning of period 1,365,249,104 1,266,284,571 End of period $ 1,288,226,541 $ 1,365,249,104
FINANCIAL HIGHLIGHTS - CLASS I
SIX MONTHS ENDED YEAR ENDED EIGHT MONTH YEARS ENDED JULY 31, OCTOBER 3, 1990 SEPTEMBER 30, MARCH 31, PERIOD ENDED (COMMENCEMENT 1996 MARCH 31, OF OPERATIONS) TO JULY 31, (UNAUDITED) 1996 1995 1994 1993 1992 1991
SELECTED PER-SHARE DATA Net asset value, $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 beginning of period Income from Investment Operations Net interest income .025 .054 .033 .032 .031 .045 .055 Less Distributions From net interest (.025) (.054) (.033) (.032) (.031) (.045) (.055) income Net asset value, $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 end of period TOTAL RETURN B 2.54% 5.56% 3.38% 3.27% 3.10% 4.64% 5.63% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period $ 1,264,204 $ 1,361,050 $ 1,266,285 $ 1,049,170 $ 1,047,791 $ 1,197,559 $ 705,543 (000 omitted) Ratio of expenses to .20% A, .20% .20% A, .20% .20% .20% .03% A, average net assets C C C C C C C Ratio of net interest 4.99% A 5.41% 5.02% A 3.22% 3.05% 4.43% 6.34% A income to average net assets
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS II SIX MONTHS ENDED NOVEMBER 6, 1995 SEPTEMBER 30, (COMMENCEMENT 1996 OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .024 .020 Less Distributions From net interest income (.024) (.020) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.46% 2.04% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 8,141 $ 102 Ratio of expenses to average net assets .35% A, C .35% A, C Ratio of net interest income to average net assets 4.90% A 5.03% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS III SIX MONTHS ENDED NOVEMBER 6, 1995 SEPTEMBER 30, (COMMENCEMENT 1996 OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .024 .020 Less Distributions From net interest income (.024) (.020) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.41% 2.00% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 15,881 $ 4,097 Ratio of expenses to average net assets .45% A, C .45% A, C Ratio of net interest income to average net assets 4.74% A 4.86% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FIDELITY MONEY MARKET TRUST: RATED MONEY MARKET INVESTMENTS SEPTEMBER 30, 1996 (UNAUDITED) Showing Percentage of Total Value of Investments BANKERS' ACCEPTANCES - 2.2% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) DOMESTIC BANKERS' ACCEPTANCES Chase Manhattan Bank, NA 1/15/97 5.68% $ 2,630,316 $ 2,587,178 2/10/97 5.66 3,000,000 2,939,060 CoreStates Bank 11/4/96 5.52 1,000,000 994,924 TOTAL BANKERS' ACCEPTANCES 6,521,162 CERTIFICATES OF DEPOSIT - 18.6% NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 15.5% ABN-AMRO Bank 12/2/96 5.51 2,000,000 2,000,000 1/16/97 5.55 5,000,000 5,000,000 Bank of Montreal 10/15/96 5.40 1,000,000 1,000,000 Bank of Tokyo - Mitsubishi Ltd. 10/15/96 5.67 5,000,000 5,000,000 Banque Nationale de Paris 11/4/96 5.37 5,000,000 5,000,000 Bayerische Landesbank Girozentrale 4/22/97 5.85 2,000,000 2,000,000 Caisse Nationale de Credit Agricole 3/24/97 5.62 5,000,000 5,000,000 Canadian Imperial Bank of Commerce 12/5/96 5.63 1,000,000 1,000,000 Commerzbank, Germany 2/26/97 5.73 1,000,000 999,375 Deutsche Bank, Germany 12/23/96 5.52 2,000,000 2,000,000 Royal Bank of Canada 1/15/97 5.76 2,000,000 1,999,915 Sanwa Bank, Ltd. 10/4/96 5.50 1,000,000 1,000,000 10/31/96 5.68 1,000,000 1,000,000 11/4/96 5.69 2,000,000 2,000,000 Societe Generale, France 11/6/96 5.36 1,000,000 1,000,019 12/2/96 5.52 2,000,000 2,000,000 12/20/96 5.45 5,000,000 5,000,000 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Sumitomo Bank, Ltd. 10/9/96 5.50% $ 1,000,000 $ 1,000,000 10/15/96 5.50 1,000,000 1,000,000 44,999,309 LONDON BRANCH, EURODOLLAR, FOREIGN BANKS - 3.1% Abbey National, Treasury Services 12/3/96 5.52 2,000,000 2,000,000 Bayerische Hypotheken-und Weschel 11/27/96 5.50 2,000,000 1,999,938 3/10/97 5.80 1,000,000 1,000,000 Bayerische Vereinsbank A.G. 3/10/97 5.80 1,000,000 1,000,000 Deutsche Bank, Germany 11/8/96 5.50 1,000,000 999,868 Rabobank Nederland, N.V. 12/3/96 5.50 2,000,000 2,000,034 8,999,840 TOTAL CERTIFICATES OF DEPOSIT 53,999,149 COMMERCIAL PAPER - 47.8% ABN-AMRO North America Finance, Inc. 10/25/96 5.52 5,000,000 4,981,867 Asset Securitization Coop. Corp. 10/15/96 5.33 1,000,000 997,943 10/21/96 5.35 2,000,000 1,994,111 Associates Corp. of North America 10/28/96 5.37 10,000,000 9,960,100 BHF Finance (Delaware), Inc. 10/7/96 5.41 5,000,000 4,995,517 Bear Stearns Cos., Inc. 11/18/96 5.40 7,000,000 6,950,020 Caisse d'Amortissement de la Dette Sociale 10/21/96 5.35 2,000,000 1,994,111 10/24/96 5.50 1,500,000 1,494,796 10/25/96 5.52 5,000,000 4,981,867 Caisse des Depots et Consignations 10/4/96 5.40 5,000,000 4,997,758 Cheltenham & Gloucester PLC 10/21/96 5.53 5,000,000 4,984,861 COMMERCIAL PAPER - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Citibank Credit Card Master Trust I (Dakota Certificate Program) 11/12/96 5.39% $ 2,000,000 $ 1,987,587 Delaware Funding Corp. 10/1/96 5.32 1,458,000 1,458,000 10/8/96 5.33 2,000,000 1,997,943 10/21/96 5.35 3,160,000 3,150,696 Eiger Capital Corp. 10/15/96 5.34 1,192,000 1,189,543 10/15/96 5.41 1,000,000 997,908 10/21/96 5.48 2,080,000 2,073,702 10/23/96 5.52 3,000,000 2,989,917 10/25/96 5.44 5,000,000 4,982,000 Electricite de France 11/12/96 5.41 3,200,000 3,179,952 Enterprise Funding Corp. 10/3/96 5.39 1,000,000 999,702 11/8/96 5.40 2,000,000 1,988,748 General Electric Capital Corp. 11/25/96 5.37 5,000,000 4,959,361 1/27/97 5.76 2,000,000 1,963,289 3/12/97 5.76 1,000,000 974,800 General Electric Co. 10/22/96 5.35 2,000,000 1,993,817 Goldman Sachs Group, L.P. (The) 10/18/96 5.39 5,000,000 4,987,415 IBM Credit Corp. 11/25/96 5.38 2,000,000 1,983,714 Matterhorn Capital 10/23/96 5.48 5,000,000 4,983,347 Merrill Lynch & Co., Inc. 3/11/97 5.76 1,000,000 974,956 Morgan Stanley Group, Inc. 10/15/96 5.41 2,000,000 1,995,815 10/16/96 5.41 1,000,000 997,757 10/21/96 5.35 2,000,000 1,994,110 Nationwide Building Society 10/15/96 5.53 3,000,000 2,993,641 Norwest Financial 10/21/96 5.35 5,000,000 4,985,278 Philip Morris Cos., Inc. 10/30/96 5.50 2,000,000 1,991,252 Preferred Receivables Funding Corp. 10/2/96 5.39 1,200,000 1,199,821 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) SBC Finance (DE), Inc. 3/11/97 5.76% $ 5,000,000 $ 4,874,778 Toronto Dominion Holdings USA, Inc. 3/5/97 5.80 1,000,000 975,717 Unifunding, Inc. 10/11/96 5.40 13,000,000 12,980,572 Wool International 10/11/96 5.55 5,500,000 5,491,628 TOTAL COMMERCIAL PAPER 138,629,717 FEDERAL AGENCIES - 20.6% FEDERAL HOME LOAN BANK - AGENCY COUPONS (A) - 2.1% 12/13/96 5.51 6,000,000 5,999,247 FEDERAL HOME LOAN BANK - DISCOUNT NOTES - 2.3% 1/21/97 5.54 1,885,000 1,853,625 2/3/97 5.62 4,985,000 4,890,493 6,744,118 FEDERAL HOME LOAN MORTGAGE CORP. - DISCOUNT NOTES - 5.1% 11/4/96 5.47 15,000,000 14,923,642 FEDERAL NATIONAL MORTGAGE ASSOC. - AGENCY COUPONS (A) - 5.9% 10/1/96 5.33 2,000,000 1,998,126 10/2/96 5.36 10,000,000 9,995,468 11/1/96 5.59 5,000,000 4,997,371 16,990,965 STUDENT LOAN MARKETING ASSOC. - AGENCY COUPONS (A) - 5.2% 10/1/96 5.46 10,000,000 10,000,000 10/16/96 5.68 5,000,000 5,000,000 15,000,000 TOTAL FEDERAL AGENCIES 59,657,972 BANK NOTES - 1.4% Household Bank FSB 11/15/96 5.42 1,000,000 1,000,000 Wachovia Bank of North Carolina, N.A. 10/15/96 5.69 3,000,000 2,998,330 TOTAL BANK NOTES 3,998,330 MASTER NOTES (A) - 0.7% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Goldman Sachs Group, L.P. (The) 11/8/96 5.50% $ 2,000,000 $ 2,000,000 SHORT-TERM NOTES (A) - 2.2% Capital One Funding Corp. (1994-B) 10/3/96 5.61 4,151,000 4,151,000 Capital One Funding Corp. (1994-E) 10/3/96 5.61 2,282,000 2,282,000 TOTAL SHORT-TERM NOTES 6,433,000 TIME DEPOSITS - 2.4% Bank of Tokyo - Mitsubishi Ltd. 10/7/96 5.50 1,000,000 1,000,000 11/4/96 5.47 1,000,000 1,000,000 Sanwa Bank, Ltd. 10/4/96 5.44 2,000,000 2,000,000 Sumitomo Bank, Ltd. 10/15/96 5.55 1,000,000 1,000,000 10/16/96 5.56 2,000,000 2,000,000 TOTAL TIME DEPOSITS 7,000,000 REPURCHASE AGREEMENTS - 4.1% MATURITY AMOUNT In a joint trading account: (U.S. Treasury Obligations) dated 9/30/96 due 10/1/96 At 5.75% $ 1,966,314 1,966,000 (U.S. Government Obligations) dated 9/25/96 due 10/2/96 At 5.40% 10,010,500 10,000,000 TOTAL REPURCHASE AGREEMENTS 11,966,000 TOTAL INVESTMENTS 100% $ 290,205,330 Total Cost for Income Tax Purposes $ 290,205,330 LEGEND 1. The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects the next interest rate reset date or, when applicable, the final maturity date. INCOME TAX INFORMATION At March 31, 1996, the fund had a capital loss carryforward of approximately $47,000 of which $32,000, $2,000 and $13,000 will expire on March 31, 1997, 1998 and 2004, respectively. FIDELITY MONEY MARKET TRUST: RATED MONEY MARKET FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED) 2.ASSETS Investment in securities, at value (including repurchase agreements of $11,966,000) - $ 290,205,330 See accompanying schedule Interest receivable 982,639 3.TOTAL ASSETS 291,187,969 4.LIABILITIES Payable for investments purchased $ 1,000,000 Share transactions in process 125,000 Distributions payable 175,948 Accrued management fee 49,181 Distribution fees payable 1,158 5.TOTAL LIABILITIES 1,351,287 6.NET ASSETS $ 289,836,682 Net Assets consist of: Paid in capital $ 289,913,260 Accumulated net realized gain (loss) on investments (76,578) 7.NET ASSETS $ 289,836,682 8.CLASS I: $1.00 9.NET ASSET VALUE, offering price and redemption price per share ($284,915,255 (divided by) 284,990,486 shares) 10.CLASS II: $1.00 11.NET ASSET VALUE, offering price and redemption price per share ($104,631 (divided by) 104,781 shares) 12.CLASS III: $1.00 13.NET ASSET VALUE, offering price and redemption price per share ($4,816,796 (divided by) 4,817,993 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED) 14.15.INTEREST INCOME $ 7,538,323 16.EXPENSES Management fee $ 581,127 Distribution fees 2,934 Class II Class III 4,641 Non-interested trustees' compensation 562 Total expenses before reductions 589,264 Expense reductions (306,654) 282,610 17.NET INTEREST INCOME 7,255,713 18.19.NET REALIZED GAIN (LOSS) ON INVESTMENTS (2,630) 20.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 7,253,083
STATEMENT OF CHANGES IN NET ASSETS
SIX MONTHS ENDED SEVEN MONTHS YEAR SEPTEMBER ENDED ENDED 30, 1996 MARCH 31, AUGUST 31, (UNAUDITED) 1996 1995 21.INCREASE (DECREASE) IN NET ASSETS Operations $ 7,255,713 $ 9,320,785 $ 17,187,869 Net interest income Net realized gain (loss) (2,630) (12,554) 9,578 22.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 7,253,083 9,308,231 17,197,447 Distributions to shareholders from: Net interest income Class I (7,061,701) (9,263,759) (17,187,869) Class II (101,125) (46,808) - Class III (92,887) (10,218) - TOTAL DISTRIBUTIONS (7,255,713) (9,320,785) (17,187,869) Share transactions - net increase (decrease) at net asset value of $1.00 per share: Class I 61,146,916 (77,080,576) (98,479,619) Class II (4,606,217) 4,710,998 - Class III 3,207,777 1,610,216 - TOTAL SHARE TRANSACTIONS 59,748,476 (70,759,362) (98,479,619) 23.TOTAL INCREASE (DECREASE) IN NET ASSETS 59,745,846 (70,771,916) (98,470,041) 24.NET ASSETS Beginning of period 230,090,836 300,862,752 399,332,793 End of period $ 289,836,682 $ 230,090,836 $ 300,862,752
FINANCIAL HIGHLIGHTS - CLASS I
SIX MONTHS ENDED SEVEN MONTHS YEARS ENDED AUGUST 31, TEN MONTHS YEAR ENDED SEPTEMBER 30, ENDED ENDED OCTOBER 31, 1996 MARCH 31, AUGUST 31, (UNAUDITED) 1996 1995 1994 1993 1992 1991
SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 Income from Investment .026 .032 .054 .033 .029 .034 .063 Operations Net interest income Less Distributions (.026) (.032) (.054) (.033) (.029) (.034) (.063) From net interest income Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 TOTAL RETURN B 2.66% 3.21% 5.53 3.34 2.93% 3.44% 6.44 % % % RATIOS AND SUPPLEMENTAL DATA Net assets, end of period $ 284,915 $ 223,772 $ 300,863 $ 399,333 $ 611,410 $ 765,721 $ 851,872 (000 omitted) Ratio of expenses to average .20% A, C .27% A, .42 .42 .42% .42% .42 net assets C % % A % Ratio of net interest income to 5.24% A 5.46% A 5.33 3.24 2.89% 4.04% 6.38 average net assets % % A %
A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS II SIX MONTHS ENDED NOVEMBER 6, SEPTEMBER 30, 1995 1996 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .025 .021 Less Distributions From net interest income (.025) (.021) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.58% 2.15% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 105 $ 4,709 Ratio of expenses to average net assets .35% A, .35% A, C C Ratio of net interest income to average net assets 5.17% A 5.06% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS III SIX MONTHS ENDED NOVEMBER 6, SEPTEMBER 30, 1995 1996 (COMMENCEMENT OF OPERATIONS) TO MARCH 31, (UNAUDITED) 1996 SELECTED PER-SHARE DATA Net asset value, beginning of period $ 1.000 $ 1.000 Income from Investment Operations Net interest income .025 .021 Less Distributions From net interest income (.025) (.021) Net asset value, end of period $ 1.000 $ 1.000 TOTAL RETURN B 2.53% 2.11% RATIOS AND SUPPLEMENTAL DATA Net assets, end of period (000 omitted) $ 4,817 $ 1,610 Ratio of expenses to average net assets .45% A, .45% A, C C Ratio of net interest income to average net assets 5.00% A 5.01% A A ANNUALIZED B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. C FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). NOTES TO FINANCIAL STATEMENTS For the period ended September 30, 1996 (Unaudited) 1. SIGNIFICANT ACCOUNTING POLICIES. Treasury, Government, Domestic and Money Market are funds of Fidelity Institutional Cash Portfolios (a trust). Treasury Only is a fund of Daily Money Fund (a trust). Tax-Exempt is a fund of Fidelity Institutional Tax-Exempt Cash Portfolios (a trust). Rated Money Market is a fund of Fidelity Money Market Trust (a trust). Each 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 Delaware business trust and is authorized to issue an unlimited number of shares. Each fund currently offers three classes of shares, Class I, Class II and Class III, each of which has equal rights as to assets and voting privileges except that each class bears different distribution and transfer agent expenses and certain registration fees. Each class has exclusive voting rights with respect to its distribution plans. The financial statements have been prepared in conformity with generally accepted accounting principles which permit management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the funds: SECURITY VALUATION. As permitted under Rule 2a-7 of the 1940 Act, and certain conditions therein, securities are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium. INCOME TAXES. As a qualified regulated investment company under Subchapter M of the Internal Revenue Code, each fund is not subject to income taxes to the extent that it distributes substantially all of its taxable income for the fiscal year. The schedules of investments include information regarding income taxes under the caption "Income Tax Information." INTEREST INCOME. Interest income, which includes amortization of premium and accretion of discount, is accrued as earned. For Tax-Exempt, accretion of market discount represents unrealized gain until realized at the time of a security disposition or maturity. ALLOCATED EARNINGS AND EXPENSES. Interest income, expenses (other than expenses incurred under the Distribution and Service Plan, Transfer Agent Agreement and certain registration fees for each class) and realized and unrealized gains or losses on investments are allocated to each class of shares based upon their relative net assets. TREASURY ONLY AND RATED MONEY MARKET: Most expenses of each trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned between the funds in the trust. DISTRIBUTIONS TO SHAREHOLDERS. Dividends are declared daily and paid monthly from net interest income. SECURITY TRANSACTIONS. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. 2. OPERATING POLICIES. DELAYED DELIVERY TRANSACTIONS. Each fund may purchase or sell securities on a when-issued or forward commitment basis. Payment and delivery may take place a month or more after the date of the transaction. 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. The market value of the securities purchased or sold on a when-issued or forward commitment basis are identified as such in the fund's schedule of investments. Each fund may receive compensation for interest forgone in the purchase of a delayed delivery security. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract. JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the funds, along with other affiliated entities of Fidelity Management & Research Company (FMR), may transfer uninvested cash balances into one or more joint trading accounts. These balances are invested in one or more repurchase agreements that mature in 60 days or less from the date of purchase for U.S. Treasury or Federal Agency obligations. REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency Securities are transferred to an account of the funds, or to the Joint Trading Account, at a bank custodian. The securities are marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest). FMR, the funds' investment adviser, is responsible for determining that the value of the underlying securities remains in accordance with the market value requirements stated above. 2. OPERATING POLICIES - CONTINUED REVERSE REPURCHASE AGREEMENTS. At all times that a reverse repurchase agreement is outstanding, the fund identifies cash and liquid securities as segregated in its custodian records with a value at least equal to its obligation under the agreement. On September 30, 1996, Government had a reverse repurchase agreement amounting to $116,789,514 at 4.60% outstanding. The agreement, which matured October 1, 1996 was collateralized by $128,000,000 of Federal National Mortgage Association Agency Coupon Notes due October 1, 1996. RESTRICTED SECURITIES. Government, Domestic, Money Market, Tax-Exempt and Rated Money Market are permitted to 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. At the end of the period, restricted securities (excluding 144A issues) amounted to $29,036,048 or 0.8% of net assets for Government, $16,000,000 or 1.4% of net assets for Domestic and $44,000,000 or 0.5% of net assets for Money Market. 3. JOINT TRADING ACCOUNT. At the end of the period, each of Treasury and Government had 20% or more of its total investments in repurchase agreements through a joint trading account. These repurchase agreements were with entities whose creditworthiness has been reviewed and found satisfactory by FMR. The maturity values of the joint trading account investments were $7,489,321,161 at 5.75% for Treasury and $202,919,418 at 5.75%, $265,532,299 at 5.87%, $123,497,228 at 5.39%, $262,544,087 at 5.34%, $89,400,500 at 5.40%, and $89,016,400 at 5.40% for Government. The investments in repurchase agreements through the joint trading account are summarized as follows: SUMMARY OF JOINT TRADING DATED SEPTEMBER 30, 1996 DUE OCTOBER 1, 1996 AT 5.75% Number of dealers or banks 16 Maximum amount with one dealer or bank 26.6% Aggregate principal amount of agreements $8,641,759,000 Aggregate maturity amount of agreements $8,643,139,447 Aggregate market value of transferred assets $8,818,357,979 Coupon rates of transferred assets 0.00% to 13.75% Maturity dates of transferred assets 11/15/96 to 2/15/26 DATED SEPTEMBER 30, 1996 DUE OCTOBER 1, 1996 AT 5.75% Number of dealers or banks 7 Maximum amount with one dealer or bank 20.6% Aggregate principal amount of agreements $534,403,000 Aggregate maturity amount of agreements $534,488,383 Aggregate market value of transferred assets $545,403,564 Coupon rates of transferred assets 0.00% to 13.875% Maturity dates of transferred assets 11/15/96 to 8/15/26 3. JOINT TRADING ACCOUNT - CONTINUED SUMMARY OF JOINT TRADING - CONTINUED DATED SEPTEMBER 30, 1996 DUE OCTOBER 1, 1996 AT 5.75% Number of dealers or banks 4 Maximum amount with one dealer or bank 32.9% Aggregate principal amount of agreements $350,000,000 Aggregate maturity amount of agreements $350,055,885 Aggregate market value of transferred assets $357,301,623 Coupon rates of transferred assets 4.75% to 13.75% Maturity dates of transferred assets 11/15/96 to 2/15/26 DATED SEPTEMBER 30, 1996 DUE OCTOBER 1, 1996 AT 5.75% Number of dealers or banks 7 Maximum amount with one dealer or bank 28.8% Aggregate principal amount of agreements $121,342,000 Aggregate maturity amount of agreements $121,361,392 Aggregate market value of transferred assets $123,978,873 Coupon rates of transferred assets 0% to 14.25% Maturity dates of transferred assets 10/15/96 to 8/15/26 DATED SEPTEMBER 30, 1996 DUE OCTOBER 1, 1996 AT 5.87% Number of dealers or banks 4 Maximum amount with one dealer or bank 40.0% Aggregate principal amount of agreements $1,125,000,000 Aggregate maturity amount of agreements $1,125,183,479 Aggregate market value of transferred assets $1,162,579,768 Coupon rates of transferred assets 0% to 11% Maturity dates of transferred assets 11/1/96 to 9/1/26 DATED SEPTEMBER 5, 1996 DUE OCTOBER 2, 1996 AT 5.39% Number of dealers or banks 1 Maximum amount with one dealer or bank 100% Aggregate principal amount of agreements $450,000,000 Aggregate maturity amount of agreements $451,819,125 Aggregate market value of transferred assets $463,500,000 Coupon rates of transferred assets 5.07% to 11.75% Maturity dates of transferred assets 8/1/00 to 9/1/28 3. JOINT TRADING ACCOUNT - CONTINUED SUMMARY OF JOINT TRADING - CONTINUED DATED SEPTEMBER 18, 1996 DUE OCTOBER 2, 1996 AT 5.34% Number of dealers or banks 1 Maximum amount with one dealer or bank 100% Aggregate principal amount of agreements $400,000,000 Aggregate maturity amount of agreements $400,830,667 Aggregate market value of transferred assets $408,886,845 Coupon rates of transferred assets 5.375% to 7.00% Maturity dates of transferred assets 11/30/97 to 4/30/01 DATED SEPTEMBER 9, 1996 DUE OCTOBER 9, 1996 AT 5.40% Number of dealers or banks 1 Maximum amount with one dealer or bank 100% Aggregate principal amount of agreements $200,000,000 Aggregate maturity amount of agreements $200,900,000 Aggregate market value of transferred assets $ 206,006,585 Coupon rates of transferred assets 7.00% to 7.50% Maturity dates of transferred assets 8/15/23 to 12/15/25 DATED SEPTEMBER 16, 1996 DUE DECEMBER 2, 1996 AT 5.40% Number of dealers or banks 1 Maximum amount with one dealer or bank 100% Aggregate principal amount of agreements $200,000,000 Aggregate maturity amount of agreements $202,310,000 Aggregate market value of transferred assets $ 207,468,939 Coupon rates of transferred assets 7.00% to 9.50% Maturity dates of transferred assets 4/15/16 to 5/15/26 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES. MANAGEMENT FEE. As each fund's investment adviser, FMR receives a fee that is computed daily at an annual rate of .20% of average net assets except for Treasury Only and Rated Money Market. For Treasury Only and Rated Money Market, FMR pays all expenses except the compensation of the non-interested Trustees and certain exceptions such as interest, taxes, brokerage commissions and extraordinary expenses. FMR receives a fee that is computed daily at an annual rate of .42% of the fund's average net assets, reduced by the fees and expenses paid by the fund to the non-interested Trustees. SUB-ADVISER FEE. As each fund's investment sub-adviser, FMR Texas Inc., a wholly owned subsidiary of FMR, receives a fee from FMR of 50% of the management fee payable to FMR. The fees are paid prior to any voluntary expense reimbursements which may be in effect. 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service Plans of Class II and Class III, and in accordance with Rule 12b-1 of the 1940 Act, each fund pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a distribution and service fee that is based on an annual rate of .15% and .25% of the average net assets of the Class II and Class III shares, respectively. For the period, the distribution fees received by FDC on behalf of each class of shares are shown on each fund's Statement of Operations. Of the fees paid to FDC, all were paid to securities dealers, banks and other financial institutions for selling Class II and Class III shares and providing shareholder support services. In addition, FMR or FDC may use its resources to pay administrative and promotional expenses related to the sale of each class' shares. Subject to the approval of the Board of Trustees, the Plan also authorizes payments to third parties that assist in the sale of each class' shares or render shareholder support services. TRANSFER AGENT FEES. Fidelity Investments Institutional Operations Company (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for the funds except for Tax-Exempt. UMB Bank, n.a. (UMB) is the custodian and transfer and shareholder servicing agent for Tax-Exempt. UMB has entered into a sub-contract with FIIOC to perform the activities associated with the transfer and shareholder servicing agent functions for Tax-Exempt. FIIOC receives account fees and asset-based fees that vary according to account size. FIIOC pays for typesetting and mailing of all shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to the following annualized rates as a percentage of average net assets: CLASS I CLASS II CLASS III Treasury .03% .04% .03% Government .03% .04% .04% Domestic .04% 1.09% .05% Money Market .06% .03% .05% Tax-Exempt .02% .02% .05% ACCOUNTING FEES. Fidelity Service Co. (FSC), an affiliate of FMR, maintains the accounting records for the funds except for Tax-Exempt. UMB also has a sub-contract with FSC to maintain Tax-Exempt's accounting records. The accounting fee is based on the level of average net assets for the month plus out-of-pocket expenses. 5. EXPENSE REDUCTIONS. FMR voluntarily agreed to reimburse the funds' operating expenses (excluding interest, taxes, brokerage commissions, extraordinary expenses, and 12b-1 fees payable by Class II and Class III of each fund) above an annual rate of .20% (.18% for Money Market) of average net assets. For the period, the reimbursement reduced expenses by the following: CLASS I CLASS II CLASS III Treasury $ 1,473,078 $ 53,831 $ 466,158 Government $ 824,374 $ 65,713 $ 164,840 Domestic $ 498,436 $ 42,412 $ 49,837 Money Market $ 3,908,577 $ 96,920 $ 188,400 Tax-Exempt $ 535,248 $ 144,104 $ 87,921 Treasury Only $ 1,404,102 $ 4,139 $ 17,141 Rated Money Market $ 296,308 $ 4,303 $ 4,084 In addition, each of Treasury, Government, Domestic, Money Market and Tax-Exempt has entered into arrangements with its custodian and transfer agent whereby interest earned on uninvested cash balances was used to offset a portion of the class' expenses. During the period, the custodian fees were reduced by $1,370, $279, $985, $4,610, and $30,273 under the custodian arrangements for Treasury, Government, Domestic, Money Market and Tax-Exempt, respectively, and Tax Exempt Class I expenses were reduced by $10,162 under the transfer agent arrangement. Also, FMR has entered into arrangements on behalf of Treasury Only and Rated Money Market with each fund's custodian and transfer agent whereby interest earned on uninvested cash balances was used to offset a portion of each fund's expenses. During the period, expenses were reduced by $455 and $1,959 for Treasury Only and Rated Money Market, respectively, under these arrangements. 6. BENEFICIAL INTEREST. At the end of the period, certain shareholders were record owners of approximately 10% or more of the total outstanding shares of the following funds: NUMBER OF % FUND SHAREHOLDERS OWNERSHIP Treasury 1 16% Government 1 11% Domestic 1 16% Tax-Exempt 1 15% Treasury Only 2 44% Rated Money Market 2 29% 7. SHARE TRANSACTIONS. Share transactions for each class of shares were as follows: TREASURY CLASS I SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 1996 MARCH 31, (UNAUDITED) 1996 *
Shares sold $ 25,308,855,512 $ 51,861,896,309 Issued in reinvestment of distributions from net interest income 65,459,206 113,431,831 Shares redeemed (50,675,625,449) (25,898,421,382) (524,106,664) 1,299,702,691 Issued in exchange for shares of Fidelity Institutional Cash Portfolios: Treasury - 1,004,660,627 Issued in exchange for shares of Fidelity Money Market Trust: U.S. Treasury Portfolio - 141,827,906 Issued in exchange for shares of State & Local Asset Management Series: U.S. Government 103,373,186 - Portfolio Net increase (decrease) in shares (420,733,478) 2,446,191,224
TREASURY CLASS II Shares sold $ 297,183,324 $ 438,269,291 Issued in reinvestment of distributions from net interest income 781,493 1,519,235 Shares redeemed (297,871,673) (399,314,108) Net increase (decrease) in shares 93,144 40,474,418
TREASURY CLASS III
Shares sold $ 9,779,364,144 $ 14,781,999,217 Issued in reinvestment of distributions from net interest income 10,212,604 13,304,486 Shares redeemed (13,945,472,798) (9,147,557,791) Net increase (decrease) in shares 642,018,957 849,830,905
GOVERNMENT CLASS I
Shares sold $ 15,532,369,889 $ 24,152,458,174 Issued in reinvestment of distributions from net interest income 30,730,851 79,149,062 Shares redeemed (24,704,636,133) (15,626,326,595) (63,225,855) (473,028,897) Issued in exchange for shares of Fidelity Money Market Trust: U.S. Government Portfolio - 216,066,944 Net increase (decrease) in shares (63,225,855) (256,961,953)
GOVERNMENT CLASS II Shares sold $ 549,159,367 $ 100,001 Issued in reinvestment of distributions from net interest income 404,926 2,160 Shares redeemed (491,291,551) - Net increase (decrease) in shares 58,272,742 102,161
GOVERNMENT CLASS III
Shares sold $ 2,244,815,486 $ 850,158,890 Issued in reinvestment of distributions from net interest income 4,706,906 1,766,027 Shares redeemed (2,055,459,987) (697,927,350) Net increase (decrease) in shares 194,062,405 153,997,567
(*) SHARE TRANSACTIONS FOR CLASS II ARE FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF SHARES) TO MARCH 31, 1996. 7. SHARE TRANSACTIONS - CONTINUED DOMESTIC CLASS I SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 1996 MARCH 31, (UNAUDITED) 1996 *
Shares sold $ 4,862,929,839 $ 6,513,086,890 Issued in reinvestment of distributions from net interest income 15,590,487 21,122,058 Shares redeemed (4,880,998,012) (6,188,234,960) Net increase (decrease) in shares (2,477,686) 345,973,988 DOMESTIC CLASS II Shares sold $ 32,112 $ 2,101,358 Issued in reinvestment of distributions from net interest income 3,923 3,527 Shares redeemed (2,000,000) - Net increase (decrease) in shares (1,963,965) 2,104,885 DOMESTIC CLASS III
Shares sold 226,858,588 488,371,167 Issued in reinvestment of distributions from net interest income 851,930 1,792,344 Shares redeemed (225,435,978) (469,312,190) Net increase (decrease) in shares 2,274,540 20,851,321
MONEY MARKET CLASS I
Shares sold $ 29,040,770,961 $ 51,277,142,050 Issued in reinvestment of distributions from net interest income 130,682,208 233,633,869 Shares redeemed (50,174,644,708) (27,229,384,352) Net increase (decrease) in shares 1,942,068,817 1,336,131,211 MONEY MARKET CLASS II
Shares sold $ 533,775,193 $ 364,545,650 Issued in reinvestment of distributions from net interest income 1,429,048 646,687 Shares redeemed (558,076,186) (300,973,077) Net increase (decrease) in shares (22,871,945) 64,219,260
MONEY MARKET CLASS III
Shares sold $ 1,453,886,335 $ 1,782,025,633 Issued in reinvestment of distributions from net interest income 4,453,762 5,459,414 Shares redeemed (1,384,155,108) (2,015,317,386) Net increase (decrease) in shares 74,184,989 (227,832,339)
(*) SHARE TRANSACTIONS FOR CLASS II ARE FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF SHARES) TO MARCH 31, 1996. 7. SHARE TRANSACTIONS - CONTINUED TAX-EXEMPT CLASS I SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 1996 MARCH 31, (UNAUDITED) 1996 *
Shares sold $ 5,654,881,596 $ 10,356,972,054 Issued in reinvestment of distributions from net interest income 8,309,880 17,440,742 Shares redeemed (10,444,666,430) (5,570,045,669) Net increase (decrease) in shares 93,145,807 (70,253,634)
TAX-EXEMPT CLASS II Shares sold $ 389,152,417 $ 960,001 Issued in reinvestment of distributions from net interest income 1,700,276 7,899 Shares redeemed (179,447,077) - Net increase (decrease) in shares 211,405,616 967,900 TAX-EXEMPT CLASS III
Shares sold $ 6,780,998 $ 4,699,909 Issued in reinvestment of distributions from net interest income 19,862 20,999 Shares redeemed (4,887,606) (3,732,443) Net increase (decrease) in shares 1,913,254 988,465 TREASURY ONLY CLASS I
Shares sold $ 1,646,187,722 $ 4,611,358,001 Issued in reinvestment of distributions from net interest income 6,399,877 13,504,008 Shares redeemed (1,749,497,810) (4,529,982,026) Net increase (decrease) in shares (96,910,211) 94,879,983
TREASURY ONLY CLASS II
Shares sold $ 28,214,301 $ 14,117,827 Issued in reinvestment of distributions from net interest income 6,236 9,279 Shares redeemed (20,181,006) (14,025,066) Net increase (decrease) in shares 8,039,531 102,040 TREASURY ONLY CLASS III
Shares sold $ 38,725,166 $ 364,952,984 Issued in reinvestment of distributions from net interest income 325,136 176,421 Shares redeemed (27,266,149) (361,032,202) Net increase (decrease) in shares 11,784,153 4,097,203
(*) SHARE TRANSACTIONS FOR CLASS II AND CLASS III ARE FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF SHARES) TO MARCH 31, 1996. 7. SHARE TRANSACTIONS - CONTINUED RATED MONEY MARKET CLASS I SIX MONTHS ENDED SEVEN MONTHS YEAR ENDED SEPTEMBER 30, ENDED MARCH 31, AUGUST 31, 1996 1996 * 1995 (UNAUDITED)
Shares sold $ 1,061,932,728 $ 1,118,760,375 $ 2,232,610,577 Issued in reinvestment of distributions from net interest income 6,056,221 7,202,839 12,093,056 Shares redeemed (1,006,842,033) (1,203,043,790) (2,343,183,252) Net increase (decrease) in shares 61,146,916 (77,080,576) (98,479,619)
RATED MONEY MARKET CLASS II
Shares sold $ 43,303,306 $ 10,100,001 $ - Issued in reinvestment of distributions from net interest income 115,308 10,997 - Shares redeemed (48,024,831) (5,400,000) - Net increase (decrease) in shares (4,606,217) 4,710,998 -
RATED MONEY MARKET CLASS III
Shares sold $ 17,901,585 $ 1,600,001 $ - Issued in reinvestment of distributions from net interest income 92,795 10,215 - Shares redeemed (14,786,603) - - Net increase (decrease) in shares 3,207,777 1,610,216 -
(*) SHARE TRANSACTIONS FOR CLASS II AND CLASS III ARE FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF SHARES) TO MARCH 31, 1996. INVESTMENT ADVISER Fidelity Management & Research Company Boston, MA SUB-ADVISER FMR Texas Inc. Irving, TX OFFICERS Edward C. Johnson 3d, PRESIDENT J. Gary Burkhead, SENIOR VICE PRESIDENT Sarah H. Zenoble, VICE PRESIDENT Leland C. Barron, VICE PRESIDENT Robert K. Duby, VICE PRESIDENT Burnell Stehman, VICE PRESIDENT John Todd, VICE PRESIDENT Scott A. Orr, VICE PRESIDENT Arthur S. Loring, SECRETARY Kenneth A. Rathgeber, TREASURER Thomas D. Maher, ASSISTANT VICE PRESIDENT John H. Costello, ASSISTANT TREASURER Leonard M. Rush, ASSISTANT TREASURER Thomas J. Simpson, ASSISTANT TREASURER BOARD OF TRUSTEES J. Gary Burkhead Ralph F. Cox * Phyllis Burke Davis * Richard J. Flynn * Edward C. Johnson 3d E. Bradley Jones * Donald J. Kirk * Peter S. Lynch Edward H. Malone * Marvin L. Mann * Gerald C. McDonough * Thomas R. Williams * ADVISORY BOARD William O. McCoy GENERAL DISTRIBUTOR Fidelity Distributors Corporation Boston, MA * INDEPENDENT TRUSTEES TRANSFER AND SHAREHOLDER SERVICING AGENTS Fidelity Investments Institutional Operations Company Boston, MA UMB Bank, n.a. Kansas City, MO FIDELITY INSTITUTIONAL TAX-EXEMPT CASH PORTFOLIOS CUSTODIANS The Bank of New York New York, NY FIDELITY INSTITUTIONAL CASH PORTFOLIOS: TREASURY, GOVERNMENT, DOMESTIC AND MONEY MARKET DAILY MONEY FUND: TREASURY ONLY FIDELITY MONEY MARKET TRUST: RATED MONEY MARKET UMB Bank, n.a. Kansas City, MO FIDELITY INSTITUTIONAL TAX-EXEMPT CASH PORTFOLIOS -----END PRIVACY-ENHANCED MESSAGE-----