-----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, UDm/+xPX1saGh8ioVe4OYBqFrZenJHsHC55rPV6a0lnFdZZ4+w3EC9xkv+kh++0g tBX2ozyFMzPFelC06rPwOw== 0000028540-96-000093.txt : 19961219 0000028540-96-000093.hdr.sgml : 19961219 ACCESSION NUMBER: 0000028540-96-000093 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19961031 FILED AS OF DATE: 19961218 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: 96682509 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 DAILY MONEY FUND: U.S. TREASURY PORTFOLIO INVESTMENTS OCTOBER 31, 1996 Showing Percentage of Total Value of Investments U.S. TREASURY OBLIGATIONS - 16.8% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) U.S. TREASURY BILLS - 14.7% 4/3/97 5.54% $ 22,000,000 $ 21,508,657 4/3/97 5.55 47,000,000 45,949,315 4/3/97 5.59 40,000,000 39,099,000 5/29/97 5.71 18,000,000 17,435,700 5/29/97 5.74 36,000,000 34,866,175 7/24/97 5.73 13,000,000 12,481,337 8/21/97 5.63 10,000,000 9,566,197 8/21/97 5.66 10,000,000 9,564,570 8/21/97 5.67 36,000,000 34,429,391 9/18/97 5.68 12,000,000 11,424,340 9/18/97 5.70 16,000,000 15,231,027 9/18/97 5.71 16,000,000 15,229,243 266,784,952 U.S. TREASURY NOTES - 2.1% 4/30/97 5.30 38,000,000 38,259,340 TOTAL U.S. TREASURY OBLIGATIONS 305,044,292 REPURCHASE AGREEMENTS - 83.2% MATURITY AMOUNT In a joint trading account (U.S. Treasury Obligations) dated 10/31/96 due 11/1/96 (Notes 2 and 3): At 5.56% $ 1,376,212,623 1,376,000,000 At 5.57% 49,287,619 49,280,000 (U.S. Treasury Obligations) dated 10/10/96 due 12/26/96:* At 5.30% 80,906,889 80,000,000 TOTAL REPURCHASE AGREEMENTS 1,505,280,000 TOTAL INVESTMENTS - 100% $ 1,810,324,292 Total Cost for Income Tax Purposes $ 1,810,324,292 *Payable on seven-day demand. INCOME TAX INFORMATION At October 31, 1996 the fund had a capital loss carryforward of approximately $421,000 which will expire on October 31, 2001. A total of 18.96% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax. The fund will notify shareholders in January 1997 of the applicable percentage for use in preparing 1996 income tax returns. DAILY MONEY FUND: U.S. TREASURY PORTFOLIO FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996 1.ASSETS 2. 3. 4.Investment in securities, at value (including repurchase agreements of $1,505,280,000) - 5. $ 1,810,324,292 See accompanying schedule 6.Cash 7. 14,264,202 8.Interest receivable 9. 273,802 10. 11.TOTAL ASSETS 12. 1,824,862,296 13.LIABILITIES 14. 15. 16.Distributions payable $ 2,418,868 17. 18.Accrued management fee 717,545 19. 20.Other payables and accrued expenses 407,926 21. 22. 23.TOTAL LIABILITIES 24. 3,544,339 25.26.NET ASSETS 27. $ 1,821,317,957 28.Net Assets consist of: 29. 30. 31.Paid in capital 32. $ 1,821,688,864 33.Accumulated net realized gain (loss) on investments 34. (370,907) 35.36.NET ASSETS 37. $ 1,821,317,957 38.INITIAL CLASS : 40. $1.00 39.NET ASSET VALUE, offering price and redemption price per share ($1,800,907,401 (divided by) 1,801,274,152 shares) 41.CLASS B: 43. $1.00 42.NET ASSET VALUE, offering price and redemption price per share ($20,410,556 (divided by) 20,414,712 shares)
STATEMENT OF OPERATIONS
THREE MONTHS ENDED OCTOBER 31, 1996 44.45.INTEREST INCOME 46. $ 24,710,091 47.EXPENSES 48. 49. 50.Management fee $ 2,327,773 51. 52.Transfer agent fees 53. 54. Initial Class 779,481 55. 56. Class B 18,354 57. 58.Distribution fees - Class B 48,497 59. 60.Accounting fees and expenses 47,493 61. 62.Non-interested trustees' compensation 3,466 63. 64.Registration fees - Initial Class 14,662 65. 66.Registration fees - Class B 14,142 67. 68.Legal 9,833 69. 70.Miscellaneous 3,394 71. 72. Total expenses before reductions 3,267,095 73. 74. Expense reductions (193,438) 3,073,657 75.76.NET INTEREST INCOME 77. 21,636,434 78.79.NET REALIZED GAIN (LOSS) ON INVESTMENTS 80. 17,244 81.82.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 83. $ 21,653,678
STATEMENT OF CHANGES IN NET ASSETS
THREE MONTHS YEAR ENDED YEAR ENDED ENDED JULY 31, JULY 31, OCTOBER 31, 1996 1995 1996 84.INCREASE (DECREASE) IN NET ASSETS 85.Operations $ 21,636,434 $ 98,814,880 $ 95,675,780 Net interest income 86. Net realized gain (loss) 17,244 37,646 29,208 87. 88.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 21,653,678 98,852,526 95,704,988 89.Distributions to shareholders (21,367,372) (98,286,345) (95,473,806) From net interest income 90. Initial Class 91. Class B (269,062) (528,535) (201,974) 92. 93.TOTAL DISTRIBUTIONS (21,636,434) (98,814,880) (95,675,780) 94.Share transactions - net increase (decrease) (19,697,315) 10,109,349 (194,955,395) 95. 96.TOTAL INCREASE (DECREASE) IN NET ASSETS (19,680,071) 10,146,995 (194,926,187) 97.NET ASSETS 98. 99. 100. 101. Beginning of period 1,840,998,028 1,830,851,033 2,025,777,220 102. End of period $ 1,821,317,957 $ 1,840,998,028 $ 1,830,851,033
FINANCIAL HIGHLIGHTS - INITIAL CLASS 103. THREE MONTHS YEARS ENDED JULY 31, ENDED OCTOBER 31, 104. 1996 1996 1995 1994 1993 1992
105.SELECTED PER-SHARE DATA 106.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 107.Income from Investment Operations 108. Net interest income .012 .049 .049 .029 .027 .042 109.Less Distributions 110. From net interest income (.012) (.049) (.049) (.029) (.027) (.042) 111.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 112.TOTAL RETURN B, C 1.19% 5.06% 5.02% 2.89% 2.78% 4.25% 113.RATIOS AND SUPPLEMENTAL DATA 114.Net assets, end of period (in millions) $ 1,801 $ 1,801 $ 1,828 $ 2,025 $ 2,949 $ 3,094 115.Ratio of expenses to average net assets .65% A, .65% .65% .60% .57% .59% C C C 116.Ratio of net interest income to average 4.66% A 4.94% 4.89% 2.81% 2.73% 4.14% 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 CLASS'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS B
117. THREE MONTHS YEARS ENDED JULY 31, JULY 1, 1994 ENDED (COMMENCEMENT OCTOBER 31, OF OPERATIONS) TO
118. 1996 1996 1995 JULY 31, 1994
119.SELECTED PER-SHARE DATA 120.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 121.Income from Investment Operations 122. Net interest income .010 .043 .042 .002 123.Less Distributions 124. From net interest income (.010) (.043) (.042) (.002) 125.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 126.TOTAL RETURN B, C 1.01% 4.33% 4.28% .25% 127.RATIOS AND SUPPLEMENTAL DATA 128.Net assets, end of period (000 omitted) $ 20,411 $ 39,956 $ 3,154 $ 628 129.Ratio of expenses to average net assets 1.35% A, 1.35% 1.35% 1.35% A, D D D D 130.Ratio of net interest income to average net assets 3.96% A 4.13% 4.22% 3.03% A
A ANNUALIZED B TOTAL RETURNS DO NOT INCLUDE THE CONTINGENT DEFERRED SALES CHARGE LEVIED ON CLASS B SHARE REDEMPTIONS AND FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. C TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). DAILY MONEY FUND: MONEY MARKET PORTFOLIO INVESTMENTS OCTOBER 31, 1996 Showing Percentage of Total Value of Investments BANKERS' ACCEPTANCES - 0.6% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) DOMESTIC BANKERS' ACCEPTANCES - 0.4% Chase Manhattan Bank, NA 11/5/96 5.44% $ 1,393,542 $ 1,392,707 11/13/96 5.42 4,805,126 4,796,558 12/19/96 5.52 2,565,276 2,546,636 1/29/97 5.69 2,609,065 2,573,138 11,309,039 NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 0.2% Sanwa Bank, Ltd. 11/4/96 5.42 5,000,000 4,997,754 TOTAL BANKERS' ACCEPTANCES 16,306,793 CERTIFICATES OF DEPOSIT - 47.4% DOMESTIC CERTIFICATES OF DEPOSIT - 7.7% Chase Manhattan Bank (USA) 3/11/97 5.75 20,000,000 20,000,000 First Tennessee Bank, NA Memphis 11/5/96 5.34 10,000,000 10,000,000 Harris Trust & Savings Bank, Chicago 12/16/96 5.32 75,000,000 75,000,000 Morgan Guaranty Trust, NY 11/15/96 5.27 100,000,000 100,000,388 205,000,388 CHICAGO BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 0.7% ABN-AMRO Bank 12/2/96 5.51 12,000,000 12,000,000 3/18/97 5.80 5,000,000 4,992,208 16,992,208 NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 32.2% ABN-AMRO Bank 1/16/97 5.55 35,000,000 35,000,000 Bank of Montreal 11/1/96 5.25 50,000,000 50,000,000 Bank of Nova Scotia 1/9/97 5.40 50,000,000 50,000,000 Banque Nationale de Paris 11/4/96 5.37 20,000,000 20,000,000 12/2/96 5.30 5,000,000 5,000,000 Barclays Bank, PLC 11/12/96 5.27 22,000,000 22,000,000 Bayerische Hypotheken-und Weschel 11/18/96 5.28 12,000,000 12,000,000 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Bayerische Landesbank Girozentrale 11/13/96 5.27% $ 25,000,000 $ 25,000,000 1/22/97 5.53 (a) 18,000,000 18,000,000 Caisse Nationale de Credit Agricole 1/17/97 5.54 40,000,000 40,000,000 2/18/97 5.41 30,000,000 30,000,000 3/24/97 5.62 30,000,000 30,000,000 Canadian Imperial Bank of Commerce 12/5/96 5.63 6,000,000 6,000,000 Credit Suisse 12/30/96 5.31 25,000,000 25,000,000 Deutsche Bank, Germany 11/15/96 5.27 20,000,000 20,000,000 11/18/96 5.27 50,000,000 50,000,000 12/2/96 5.28 40,000,000 40,000,000 12/23/96 5.52 18,000,000 18,000,000 National Westminster Bank, PLC 11/4/96 5.28 8,000,000 8,000,027 2/24/97 5.42 5,000,000 4,999,976 Royal Bank of Canada 1/15/97 5.76 8,000,000 7,999,762 Sanwa Bank, Ltd. 11/4/96 5.69 16,000,000 16,000,000 11/15/96 5.37 13,000,000 13,000,000 11/18/96 5.36 3,000,000 3,000,000 Societe Generale, France 11/6/96 5.36 9,000,000 9,000,024 12/2/96 5.52 15,000,000 15,000,000 12/13/96 5.30 8,000,000 8,000,172 12/16/96 5.45 35,000,000 35,000,000 12/20/96 5.45 45,000,000 45,000,000 2/7/97 5.42 15,000,000 15,000,875 Sumitomo Bank, Ltd. 11/14/96 5.50 5,000,000 5,000,000 11/18/96 5.37 10,000,000 10,000,000 1/17/97 5.53 5,000,000 5,000,000 1/21/97 5.54 8,000,000 8,000,000 Westdeutsche Landesbank 11/5/96 5.32 40,000,000 40,000,000 11/25/96 5.28 56,000,000 56,000,000 12/16/96 5.31 30,000,000 30,000,000 Westpac Banking Corp. 3/10/97 5.76 25,000,000 25,000,000 855,000,836 LONDON BRANCH, EURODOLLAR, DOMESTIC BANKS - 0.3% Morgan Guaranty Trust, NY 3/27/97 5.45 7,000,000 7,003,852 CERTIFICATES OF DEPOSIT - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) LONDON BRANCH, EURODOLLAR, FOREIGN BANKS - 6.5% Abbey National, Treasury Services 12/3/96 5.52% $ 25,000,000 $ 25,000,000 12/16/96 5.33 30,000,000 30,000,000 12/30/96 5.34 19,000,000 19,000,000 2/18/97 5.42 10,000,000 10,000,000 Bank of Tokyo - Mitsubishi, Ltd. 1/28/97 5.50 3,000,000 3,000,364 Bayerische Hypotheken-und Weschel 11/27/96 5.50 15,000,000 14,999,684 Bayerische Vereinsbank A.G. 3/10/97 5.80 8,000,000 8,000,000 Rabobank Nederland, N.V. 12/3/96 5.50 20,000,000 20,000,174 Sanwa Bank, Ltd. 1/31/97 5.51 5,000,000 5,000,125 1/31/97 5.53 4,000,000 4,000,191 Sumitomo Bank, Ltd. 1/6/97 5.52 6,000,000 6,000,218 1/6/97 5.55 3,000,000 3,000,383 Toronto-Dominion Bank 12/3/96 5.30 25,000,000 25,002,416 173,003,555 TOTAL CERTIFICATES OF DEPOSIT 1,257,000,839 COMMERCIAL PAPER - 27.8% ABN-AMRO North America Finance, Inc. 3/6/97 5.68 10,541,000 10,338,599 Associates Corp. of North America 11/1/96 5.75 20,000,000 20,000,000 11/8/96 5.43 10,000,000 9,989,597 12/31/96 5.45 13,000,000 12,883,650 1/24/97 5.40 5,000,000 4,937,875 Bank of Nova Scotia 12/2/96 5.32 3,900,000 3,882,268 Bank of Scotland Treasury Services 2/25/97 5.75 2,000,000 1,963,911 Bear Stearns Cos., Inc. 11/6/96 5.33 5,000,000 4,996,320 CIESCO, L.P. 11/6/96 5.29 10,000,000 9,992,680 11/20/96 5.29 10,000,000 9,972,239 CIT Group Holdings, Inc. 11/12/96 5.33 10,000,000 9,983,806 12/2/96 5.40 7,000,000 6,967,751 12/4/96 5.40 5,000,000 4,975,479 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Caisse D'Amortissement de la Dette Sociale 12/6/96 5.47% $ 10,000,000 $ 9,947,792 2/24/97 5.42 25,000,000 24,575,139 Caisse des Depots et Consignations 11/7/96 5.27 10,000,000 9,991,250 2/19/97 5.41 5,000,000 4,918,722 Citibank Credit Card Master Trust I (Dakota Certificate Program) 11/12/96 5.39 5,000,000 4,991,872 11/15/96 5.33 2,000,000 1,995,878 11/19/96 5.31 4,000,000 3,989,440 1/23/97 5.43 5,000,000 4,938,211 Dresdner U.S. Finance Inc. 12/9/96 5.30 47,000,000 46,739,542 Eiger Capital Corp. 12/5/96 5.31 23,393,000 23,276,347 Enterprise Funding Corp. 11/5/96 5.38 9,000,000 8,994,650 11/13/96 5.29 4,998,000 4,989,220 11/18/96 5.31 7,000,000 6,982,547 11/18/96 5.42 9,924,000 9,898,834 Ford Motor Credit Corp. 11/14/96 5.30 50,000,000 49,904,847 General Electric Capital Corp. 11/1/96 5.65 40,000,000 40,000,000 11/25/96 5.37 35,000,000 34,875,867 2/18/97 5.42 30,000,000 29,516,766 3/12/97 5.76 17,000,000 16,653,578 General Electric Co. 11/20/96 5.30 5,550,000 5,534,563 Glaxo Wellcome PLC 11/12/96 5.41 4,215,000 4,208,083 IBM Credit Corp. 11/25/96 5.38 12,000,000 11,957,360 Lucent Technologies, Inc. 11/12/96 5.36 17,800,000 17,771,065 Merrill Lynch & Co., Inc. 11/6/96 5.28 19,000,000 18,986,120 2/4/97 5.43 20,000,000 19,717,903 3/11/97 5.76 9,000,000 8,818,000 3/12/97 5.68 4,000,000 3,919,580 Morgan Stanley Group, Inc. 1/27/97 5.40 20,000,000 19,742,867 2/4/97 5.40 9,000,000 8,873,650 National Australia Funding, Inc. 1/27/97 5.78 15,000,000 14,796,456 New Center Asset Trust 11/13/96 5.31 25,000,000 24,956,000 3/11/97 5.79 3,000,000 2,939,062 COMMERCIAL PAPER - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) Philip Morris Cos., Inc. 11/1/96 5.32% $ 6,000,000 $ 6,000,000 11/5/96 5.33 5,000,000 4,997,056 Royal Bank of Canada 1/31/97 5.40 25,000,000 24,663,805 SBC Finance (DE), Inc. 3/11/97 5.76 20,000,000 19,595,556 Toronto Dominion Holdings USA, Inc. 3/5/97 5.80 11,000,000 10,786,306 Unifunding, Inc. 12/6/96 5.33 10,000,000 9,948,667 Wool International 12/6/96 5.41 20,000,000 19,896,556 Woolwich Equitable Building Society 11/29/96 5.31 32,000,000 31,868,586 TOTAL COMMERCIAL PAPER 738,041,918 FEDERAL AGENCIES - 14.4% FEDERAL HOME LOAN BANK - AGENCY COUPONS (A) - 0.8% 12/13/96 5.51 11,000,000 10,999,206 12/20/96 5.51 11,000,000 10,999,073 21,998,279 FEDERAL HOME LOAN BANK - DISCOUNT NOTES - 1.0% 1/21/97 5.54 18,000,000 17,783,325 2/3/97 5.62 10,000,000 9,857,434 27,640,759 FEDERAL HOME LOAN MORTGAGE CORP. - DISCOUNT NOTES - 3.3% 11/1/96 5.36 5,820,000 5,820,000 11/4/96 5.47 23,000,000 22,989,669 12/2/96 5.47 9,270,000 9,227,533 2/24/97 5.34 50,000,000 49,161,459 87,198,661 FEDERAL NATIONAL MORTGAGE ASSOC. - AGENCY COUPONS (A) - 5.2% 11/1/96 5.59 25,000,000 24,988,160 11/2/96 5.37 50,000,000 49,980,639 11/5/96 5.33 10,000,000 9,991,544 12/20/96 5.51 33,000,000 32,996,578 1/17/97 5.42 19,000,000 18,996,900 136,953,821 DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) FEDERAL NATIONAL MORTGAGE ASSOC. - DISCOUNT NOTES - 4.1% 11/1/96 5.36% $ 34,000,000 $ 34,000,000 11/7/96 5.47 25,000,000 24,977,542 1/16/97 5.31 50,000,000 49,446,888 108,424,430 TOTAL FEDERAL AGENCIES 382,215,950 BANK NOTES - 1.4% Bank of America NW, NA 11/4/96 5.43 (a) 12,000,000 11,998,715 First Union National Bank of North Carolina, NA 12/27/96 5.56 (a) 12,000,000 11,999,111 Household Bank, FSB 11/15/96 5.42 3,000,000 3,000,000 Wachovia Bank of North Carolina, NA 11/3/96 5.51 (a) 10,000,000 10,000,163 TOTAL BANK NOTES 36,997,989 MEDIUM-TERM NOTES (A) - 1.6% Exxon Shipping Co. 11/1/96 5.36 18,100,000 18,100,000 11/1/96 5.39 25,000,000 25,000,000 TOTAL MEDUIM-TERM NOTES 43,100,000 SHORT-TERM NOTES (A)(B) - 1.7% CSA Funding - B 11/4/96 5.47 22,000,000 22,000,000 CSA Funding - C 11/4/96 5.47 23,000,000 23,000,000 TOTAL SHORT-TERM NOTES 45,000,000 TIME DEPOSITS - 1.2% Bank of Tokyo 11/4/96 5.47 10,000,000 10,000,000 11/12/96 5.38 7,000,000 7,000,000 12/2/96 5.38 15,000,000 15,000,000 TOTAL TIME DEPOSITS 32,000,000 REPURCHASE AGREEMENTS - 3.9% MATURITY VALUE AMOUNT (NOTE 1) In a joint trading account (U.S. Treasury Obligations) dated 10/31/96 due 11/1/96: At 5.57% $ 18,378,841 $ 18,376,000 (U.S. Government Obligations) dated 10/8/96 due 11/12/96: At 5.30% 35,180,347 35,000,000 (U.S. Government Obligations) dated 10/21/96 due 11/12/96: At 5.30% 50,220,833 50,000,000 TOTAL REPURCHASE AGREEMENTS 103,376,000 TOTAL INVESTMENTS - 100% $ 2,654,039,489 Total Cost for Income Tax Purposes $ 2,654,039,489 LEGEND (a) 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. (b) 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 - B 10/28/93 $ 22,000,000 CSA Funding - C 10/28/93 $ 23,000,000 INCOME TAX INFORMATION At October 31, 1996, the fund had a capital loss carryforward of approximately $764,000 of which $7,000, $125,000, $584,000 and $48,000 will expire on October 31, 2000, 2001, 2002 and 2003, respectively. A total of 6.68% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax. The fund will notify shareholders in January 1997 of the applicable percentage for use in preparing 1996 income tax returns. DAILY MONEY FUND: MONEY MARKET PORTFOLIO FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996 131.ASSETS 132. 133. 134.Investment in securities, at value (including repurchase agreements of $103,376,000) - 135. $ 2,654,039,489 See accompanying schedule 136.Cash 137. 26,957,445 138.Interest receivable 139. 9,605,801 140. 141.TOTAL ASSETS 142. 2,690,602,735 143.LIABILITIES 144. 145. 146.Payable for investments purchased $ 25,001,023 147. 148.Distributions payable 558,164 149. 150.Accrued management fee 857,854 151. 152.Other payables and accrued expenses 776,501 153. 154. 155.TOTAL LIABILITIES 156. 27,193,542 157.158.NET ASSETS 159. $ 2,663,409,193 160.Net Assets consist of: 161. 162. 163.Paid in capital 164. $ 2,664,173,321 165.Accumulated net realized gain (loss) on investments 166. (764,128) 167.168.NET ASSETS, for 2,664,173,321 shares outstanding 169. $ 2,663,409,193 170.171.NET ASSET VALUE, offering price and redemption price per share 172. $1.00 ($2,663,409,193 (divided by) 2,664,173,321 shares)
STATEMENT OF OPERATIONS
THREE MONTHS ENDED OCTOBER 31, 1996 173.174.INTEREST INCOME 175. $ 35,246,828 176.EXPENSES 177. 178. 179.Management fee $ 3,212,443 180. 181.Transfer agent fees 1,654,901 182. 183.Accounting fees and expenses 60,667 184. 185.Non-interested trustees' compensation 3,538 186. 187.Registration fees 42,876 188. 189.Audit 11,306 190. 191.Legal 4,598 192. 193.Reports to shareholders 3,524 194. 195.Miscellaneous 1,330 196. 197. Total expenses before reductions 4,995,183 198. 199. Expense reductions (819,075) 4,176,108 200.201.NET INTEREST INCOME 202. 31,070,720 203.204.NET REALIZED GAIN (LOSS) ON INVESTMENTS 205. 57,797 206.207.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 208. $ 31,128,517
STATEMENT OF CHANGES IN NET ASSETS THREE MONTHS YEAR ENDED YEAR ENDED ENDED JULY 31, JULY 31, OCTOBER 31, 1996 1995 1996
209.INCREASE (DECREASE) IN NET ASSETS 210.Operations $ 31,070,720 $ 121,708,868 $ 94,283,195 Net interest income 211. Net realized gain (loss) 57,797 (48,294) (583,736) 212. 31,128,517 121,660,574 93,699,459 213.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 214.Distributions to shareholders from net interest income (31,070,720) (121,708,868) (94,283,195) 215.Share transactions at net asset value of $1.00 per share 3,213,788,949 13,231,538,511 9,812,791,289 Proceeds from sales of shares 216. Reinvestment of distributions from net interest income 28,781,415 112,618,012 85,047,974 217. Cost of shares redeemed (3,159,725,660) (12,902,990,749) (9,282,734,518) 218.219. 82,844,704 441,165,774 615,104,745 NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS 220. 82,902,501 441,117,480 614,521,009 221.TOTAL INCREASE (DECREASE) IN NET ASSETS 222.NET ASSETS 223. 224. 225. 226. Beginning of period 2,580,506,692 2,139,389,212 1,524,868,203 227. End of period $ 2,663,409,193 $ 2,580,506,692 $ 2,139,389,212
FINANCIAL HIGHLIGHTS - INITIAL CLASS 228. THREE MONTHS YEARS ENDED JULY 31, ENDED OCTOBER 31, 229. 1996 1996 1995 1994 1993 1992
230.SELECTED PER-SHARE DATA 231.Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 period 232.Income from Investment .012 .050 .050 .029 .028 .041 Operations Net interest income 233.Less Distributions 234. From net interest income (.012) (.050) (.050) (.029) (.028) (.041) 235.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 236.TOTAL RETURN B 1.22% 5.13% 5.16% 2.98% 2.82% 4.21% 237.RATIOS AND SUPPLEMENTAL DATA 238.Net assets, end of period (in $ 2,663 $ 2,581 $ 2,139 $ 1,525 $ 1,451 $ 1,531 millions) 239.Ratio of expenses to average net .65% A, .65% .65% .65% .61% .59% assets C C C C 240.Ratio of net interest income to 4.85% A 5.00% 5.11% 2.96% 2.76% 4.19% 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). DAILY TAX-EXEMPT MONEY FUND INVESTMENTS OCTOBER 31, 1996 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 - 1.4% Alabama Hsg. Fin. Auth. Multi-Family Hsg. Rev. Rfdg. (Rime Village Proj.) Series 1996 B, 3.55% (FNMA Guaranteed) VRDN $ 3,775,000 $ 3,775,000 Jefferson County Swr. Rev. Series 1995 A, 3.60%, LOC Bayerische Landesbank Girozentale, VRDN 3,000,000 3,000,000 6,775,000 ALASKA - 1.7% Valdez Marine Terminal Rev. Rfdg. Series 1994 B, 3.65%, VRDN 8,300,000 8,300,000 ARIZONA - 3.0% Apache County Ind. Dev. Auth. Rev., VRDN: (Tucson Elec. Pwr. Co. Proj.): (Springerville Proj.) Series 1983 A, 3.55%, LOC Barclays Bank PLC 12,300,000 12,300,000 Series 1981 B, 3.65%, LOC Bank of Tokyo - Mitsubishi Ltd 1,000,000 1,000,000 Arizona Health Facs. Auth. Rev. (Samaritan Health Care) Series 1986, 3.55% (FGIC Insured) (BPA Chase Manhattan Bank), VRDN 1,710,000 1,710,000 15,010,000 ARKANSAS - 0.5% Arkansas Hosp. Equip. Fin. Auth. Rev. (Baptist Health Proj.) Series 1995, 3.60%, LOC Credit Suisse, VRDN 1,575,000 1,575,000 University of Arkansas Rev. (UAM Campus) 3.60%, LOC Credit Suisse, VRDN 1,000,000 1,000,000 2,575,000 CALIFORNIA - 6.0% Alameda County TRAN 4.50% 6/30/97 1,400,000 1,404,889 California Facs. Lease Reg'l. Impt. Corp. Rev. (Los Angeles Int'l. Arpt. Air France) 3.70%, LOC Societe Generale, VRDN 3,100,000 3,100,000 California Gen. Oblig. RAN Series 1996-97, 4.50% 6/30/97 7,850,000 7,880,340 California School Cash Reserves Auth. Prog. TRAN Series 1996 A, 4.75% 7/2/97 2,700,000 2,715,573 Fresno TRAN 4.50% 6/30/97 1,000,000 1,003,811 Los Angeles Commty. College Dist. TRAN Series 1996-97, 4.50% 7/1/97 1,000,000 1,003,182 Los Angeles County TRAN Series 1996-97, 4.50% 6/30/97 2,000,000 2,006,940 Los Angeles TRAN Series 1996, 4.50% 6/19/97 8,000,000 8,027,047 Oakland TRAN Series 1996, 4.75% 6/30/97 1,500,000 1,508,293 Ventura County TRAN Series 1996, 4.75% 7/2/97 1,300,000 1,306,131 29,956,206 COLORADO - 0.6% El Paso County School Dist. Gen. Oblig. Participating VRDN, Series 1996 D, 3.75% (Liquidity Facility Norwest Bank NA, Minnesota) (b) 1,250,000 1,250,000 Fort Lupton Water Util. Wtr. Rev. BAN 4.10% 1/10/97 700,000 700,000 Smith Creek County Metropolitan Dist. Rev. Series 1995, 3.55%, LOC NationsBank, VRDN 900,000 900,000 2,850,000 DELAWARE - 2.4% Delaware Econ. Dev. Auth. Multi-Family Rev. (Schoolhouse Trust Prog.) 3.80%, LOC Marine Midland Bank, VRDN 1,150,000 1,150,000 Delaware Econ. Dev. Auth. Rev., VRDN: (Hosp. Billing & Collection Svcs. Proj.) Series 1985 B, 3.65% (MBIA Insured) (BPA Morgan Stanley Group, Inc.) 6,000,000 6,000,000 (Peninsula United Methodist Homes Inc.) Series 1992 B,3.65%, LOC Corestates Bank 4,710,000 4,710,000 11,860,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) FLORIDA - 5.9% Broward County Hsg. Fin. Auth. Multi-Family Hsg. Rev. (Landings Inverrary Apts.) 3.60%, LOC PNC Bank, VRDN $ 2,000,000 $ 2,000,000 Duval County Hsg. Fin. Auth. Multi-Family Rev. (Lakes of Mayport Apts.) Series 1985 F, 3.65%, LOC SunTrust Bank of Atlanta, VRDN 1,300,000 1,300,000 Florida Local Gov't. Finance Auth. Rev. Series A, 3.65% 2/26/97, LOC First Union Nat'l. Bank, CP 1,600,000 1,600,000 Florida State Board of Ed. Participating VRDN, Series CR-163, 3.70% (Liquidity Facility Citibank) (b) 2,000,000 2,000,000 Indian River County Hosp. Dist. Hosp. Rev. Rfdg. Series 1985, 3.60%, LOC Kredietbank, VRDN 3,000,000 3,000,000 Lee County Hosp. Board Hosp. Rev. Bonds (Lee Memorial Hosp. Proj.) Series 1992 B, 3.65%, tender 11/7/96, LOC SunTrust Bank 5,500,000 5,500,000 Orange County Ind. Dev. Board Rev. (Blood Bank Proj.) Series 1988, 3.60%, LOC SunTrust Bank, VRDN 1,145,000 1,145,000 St. Lucie County Poll. Cont. Rev. Rfdg. Bonds (Florida Pwr. & Light Co. Proj.) Series 1994 A: 3.65%, tender 12/6/96 2,600,000 2,600,000 3.60%, tender 2/21/97 2,500,000 2,500,000 Sunrise Util. Sys. Participating VRDN, Series SGB-16, 3.65% (Liquidity Facility Societe Generale) (b) 600,000 600,000 Sunshine State Gov't. Fing. Commission Rev. Series 1994, CP: 3.65% 12/6/96 2,000,000 2,000,000 3.60% 2/20/97 5,000,000 5,000,000 29,245,000 GEORGIA - 6.0% Atlanta Gen. Oblig. Participating VRDN, Series SG-58, 3.65% (Liquidity Facility Societe Generale) (b) 2,785,000 2,785,000 Atlanta Arpt. Facs. Rev. Rfdg. Bonds Series 1996, 5% 1/1/97 (AMBAC Insured) 2,500,000 2,505,057 Cherokee County Wtr. & Swr. Auth. Participating VRDN, Series 1993, 3.60% (MBIA Insured) (Liquidity Facility Merrill Lynch & Co.) (b) 1,495,000 1,495,000 Clayton County Hsg. Auth. Multi-Family Hsg. Rev. Rfdg. (Kings Arms Apts. Proj.) Series 1990 D, 3.55% (FSA Insured) (BPA Barclays Bank) VRDN 1,100,000 1,100,000 Fulton County Hsg. Auth. Multi-Family Hsg. Rev. Rfdg., VRDN: (Champions Green Apts. Proj.) Series 1994 B, 3.60%, LOC Southtrust Bank 5,670,000 5,670,000 (Holcomb's Landing Apts. Proj.) 3.60%, LOC First Union Nat'l. Bank 1,000,000 1,000,000 Georgia Muni. Elec. Auth. Participating VRDN, Series SG-40, 3.65% (Liquidity Facility Societe Generale) (b) 3,000,000 3,000,000 Georgia Muni. Elec. Auth. Pwr. Rev. Bonds Series L, 7.75% 1/1/97 1,000,000 1,026,402 Gwinnett County Hsg. Auth. Multi-Family Hsg. Rev. (Post Corners Proj.) Series 1996, 3.55% (FNMA Guaranteed) VRDN 4,760,000 4,760,000 Newton County Ind. Dev. Auth. Rev. Rfdg. (John H. Harland Co. Proj.) 3.65%, LOC NationsBank, VRDN 2,000,000 2,000,000 Rockdale County Hosp. Auth. Rev. Series 1994, 3.60%, LOC SunTrust Bank of Atlanta, VRDN 2,700,000 2,700,000 Savannah Econ. Dev. Auth. Rev. Rfdg. (La Quinta Motor Inns) Series 1991, 3.70%, LOC NationsBank, VRDN 1,700,000 1,700,000 29,741,459 IDAHO - 0.3% Caribou County Ind. Dev. Poll. Cont. Rev. Rfdg. (Monsanto Co.) Series 1990, 3.65%, 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 - 9.9% Chicago Gen. Oblig. Bonds Series 1996, 3.10%, tender 2/4/97, LOC Landesbank Hessen-Thuringen $ 1,907,000 $ 1,907,000 Chicago Gen. Oblig. Participating VRDN, Series 96-BB, 3.70% (Liquidity Facility Bank of America) (b) 2,400,000 2,400,000 Chicago Metropolitan Wtr. Recycling Dist. Bonds 6.75% 1/1/97 340,000 341,908 Cook County Rev. (Catholic Charities Hosp.) Series 1988 A-1, 3.60%, LOC Nat'l. Westminster Bank, VRDN 1,800,000 1,800,000 Decatur Wtr. Rev. Bonds Series 1985, 3.65% tender 11/20/96, LOC Sumitomo Bank, Ltd. 1,100,000 1,100,000 East Hazel Crest Multi-Family Hsg. Rev. (I-80 & Halstead Proj.) Series 1985 A, 3.80%, LOC Marine Midland Bank, VRDN 2,945,000 2,945,000 Illinois Dev. Fin. Auth. Mutil-Family Hsg. Rev. Rfdg. (Garden Glen Apts.) Series 1993, 3.80%, VRDN 910,000 910,000 Illinois Dev. Fin. Auth. Poll. Cont. Rev. Rfdg. Bonds (Commonwealth Edison Proj.) Series 1996 A, 3.65% (AMBAC Insured) VRDN 10,000,000 10,000,000 Illinois Dev. Fin. Auth. Rev. (Presbyterian Home Lake Forest) Series 1996 A, 3.60%, LOC LaSalle Nat'l. Bank, VRDN 1,400,000 1,400,000 Illinois Edl. Facs. Auth. Rev. (Art Instiute of Chicago) Series 1996, 3.65% (Liquidity Facility Bank of America Illinois) VRDN 2,000,000 2,000,000 Illinois Health Facs. Auth. Rev: Bonds: (Evanston Hosp. Corp. Proj.) Series 1985 B, 3.15%, tender 1/31/97 1,900,000 1,900,000 (Univ. of Chicago Proj.) Series 1985 A, 3.75%, tender 1/30/97 1,000,000 1,000,000 VRDN: Rfdg. (Franciscan Eldercare Commty. Svc.) Series 1996 C, 3.65%, LOC LaSalle Bank 1,200,000 1,200,000 (Children's Mem. Hosp.) Series 1985 B, 3.60%, LOC First Nat'l Bank of Chicago 3,600,000 3,600,000 (Evangelical Hosp. Corp.) Series 1985 B, 3.60%, LOC Barclays Bank 1,425,000 1,425,000 (Gottlieb Health Resources Inc.) 3.60%, LOC Harris Trust & Savings Bank of Chicago 2,500,000 2,500,000 (Methodist Med. Ctr. Proj.) Series 1985 B, 3.75%, LOC Sumitomo Bank, Ltd 400,000 400,000 Illinois Reg'l. Trans. Auth. Participating VRDN (b): Series SG-10, 3.65% (Liquidity Facility Societe Generale) 1,645,000 1,645,000 Series SG-82, 3.65% (Liquidity Facility Societe Generale) 1,000,000 1,000,000 Lombard Ind. Proj. (B&H Partnership Proj.) 3.875%, LOC Comerica Bank, VRDN 3,375,000 3,375,000 Mundelein Ind. Dev. Rev. Rfdg. (1200 Town Line Rd. Proj.) 3.60%, LOC Harris Trust & Savings Bank, VRDN 1,100,000 1,100,000 Schaumburg Gen. Oblig. Rev. Series 1996 A, 3.60% (BPA Credit Suisse) VRDN 2,000,000 2,000,000 Schaumberg Ind. Dev. Rev. Rfdg. (La Quinta Motor Inns Inc. Proj.) 3.70%, LOC NationsBank,VRDN 1,785,000 1,785,000 Springfield Commty. Impt. Rev. (Kent Family, Inc. Proj.) 3.70%, LOC PNC Bank, VRDN 1,400,000 1,400,000 49,133,908 INDIANA - 2.5% Indiana Ed. Facs. Auth. Rev. (Tri-State Univ. Proj.) 3.65%, LOC Bank One, Indianapolis, VRDN 2,585,000 2,585,000 Indiana Health Facs. Fing. Auth. Hosp. Rev. (Methodist Hosp. of Indiana) Series 1992 C, 3.35% (Liquidity Facility Credit Suisse) VRDN 2,200,000 2,200,000 Indiana Hsg. & Fin. Auth. Single Family Mtg. Rev. Bonds Series 1995 D-1, 3.85%, tender 11/1/96 1,500,000 1,500,000 Indianapolis Pub. Impt. TAN Series 1996 A, 4.25% 1/1/97 1,400,000 1,401,166 Noblesville Econ. Dev. Rev. Rfdg. (River's Edge Apt. Proj.) Series 1992, 3.60%, LOC Bank One, VRDN 3,110,000 3,110,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) INDIANA - CONTINUED Sullivan Poll. Cont. Rev. Bonds (Hoosier Energy Rural Elec. Coop.): Series 1985 L-3, 3.65%, tender 12/2/96 $ 1,200,000 $ 1,200,000 Series 1985 L-5, 3.65%, tender 12/2/96 500,000 500,000 12,496,166 IOWA - 0.2% Iowa Hsg. Fin. Auth. Multi-Family Hsg. Rev. (Small Bus. Loan Prog.) Series 1985 A, 4.05%, LOC Federal Home Loan Bank, VRDN 1,100,000 1,100,000 KANSAS - 1.4% Burlington Poll. Cont. Rev. Bonds (Kansas Elec. Pwr.) Series 1985 C-1: 3.65%, tender 12/2/96 400,000 400,000 3.60%, tender 2/19/97 4,665,000 4,665,000 Olathe Edl. Facs. Rev. (Independent College Assoc. Pooled Ed. Loan Prog.) Series 1989 A, 3.60%, LOC Midland Bank, VRDN 1,790,000 1,790,000 6,855,000 KENTUCKY - 0.3% Georgetown Ed. Inst. Rev. (Georgetown College Proj.) Series 1992, 3.65%, LOC PNC Bank, VRDN 1,600,000 1,600,000 LOUISIANA - 0.8% Louisiana Pub. Facs. Auth. Wtr. Rev. Rfdg. (Louisiana Wtr. Co. Proj.) Series 1993, 3.60%, LOC Bank One Texas, VRDN 2,185,000 2,185,000 West Baton Rouge Ind. Dev. Rev. Bonds (Dow Chemcial #3) 3.65%, tender 1/27/97 2,000,000 2,000,000 4,185,000 MARYLAND - 0.5% Baltimore County Hsg. Mtg. Rev. (Spring Hill Apt.) Series 1991, 3.55%, LOC Sumitomo Bank Ltd., VRDN 900,000 900,000 Baltimore Gen. Oblig. Participating VRDN, Series SG-20, 3.70% (Liquidity Facility Societe Generale) (b) 1,500,000 1,500,000 2,400,000 MASSACHUSETTS - 0.6% Massachusetts Bay Transit Auth. RAN Series 1996 A, 3.75% 2/28/97 1,000,000 1,000,203 Massachusetts Gen. Oblig. BAN Series 1996 A, 4.25% 6/10/97 2,000,000 2,004,067 3,004,270 MICHIGAN - 2.7% Detroit School Dist. RAN 4.50% 5/1/97 3,100,000 3,108,189 Kent County Hosp. Fin. Auth. Rev. (Butterworth Hosp. Proj.) Series 1991 A, 3.85%, LOC Sanwa Bank, VRDN 3,500,000 3,500,000 Michigan Hosp. Fin. Auth. Rev. (Hosp. Equip. Loan Prog.) Series 1995 A, 3.55%, LOC First of America Bank, VRDN 2,000,000 2,000,000 Michigan Strategic Fund Ind. Dev. Rev. (Michigan Sugar Co.-Croswell Proj.) 3.60%, LOC SunTrust Bank of Atlanta, VRDN 2,500,000 2,500,000 Michigan Strategic Fund Ltd. Oblig. Rev. (Michigan Sugar Co.-Caro Proj.) Series 1991, 3.60%, LOC SunTrust Bank of Atlanta, VRDN 1,500,000 1,500,000 Michigan Strategic Fund Poll. Cont. Rev. Bonds (Dow Chemcial Proj.) Series 1986, 3.60%, tender 12/11/96 1,000,000 1,000,000 13,608,189 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) MINNESOTA - 2.4% Bloomington Port Auth. Spl. Tax Rev. Rfdg. Bonds (Mall of America Proj.) 3.60% (FSA Insured) VRDN $ 2,000,000 $ 2,000,000 Minnesota Hsg. Fin. Agcy. Single Family Mtg. Rev. Bonds Series M, 3.50%, tender 12/12/96 790,000 790,000 Olmsted County (COP Human Services Campus Infrastructure Proj.) 3.60%, LOC Toronto Dominion Bank, VRDN 2,335,000 2,335,000 Osseo Independent School Dist. Participating VRDN (b): Series 94-T1, 3.75% (Liquidity Facility First Bank NA, MN) 1,000,000 1,000,000 Series A, 3.75% (FGIC Insured) (Liquidity Facility Norwest Bank NA, Minnesota) 1,260,000 1,260,000 Red Wing Poll. Cont. Rev. (Northern States Pwr. Co.) 3.65%, VRDN 2,000,000 2,000,000 Rochester Health Care Facs. Rev. Bonds (Mayo Med. Center.) 3.60%, tender 2/11/97 1,200,000 1,200,000 St. Paul Hsg. and Redev. Auth. Participating VRDN, Series 1996 E, 3.75% (FSA Insured) (Liquidity Facility Norwest Bank NA, Minnesota) (b) 1,250,000 1,250,000 11,835,000 MISSISSIPPI - 0.2% Mississippi Bus. Fin. Corp. Rev. (Mississippi Coll. Proj.) Series 1996, 3.65%, LOC NationsBank, VRDN 1,000,000 1,000,000 MISSOURI - 1.4% Missouri Health & Ed. Health Facs. Auth. Rev. (Lutheran Sr. Svcs. ) 3.625%, LOC Lasalle Nat'l. Bank, VRDN 4,000,000 4,000,000 St. Louis Planned Expansion Auth. Ind. Dev. Rfdg. Rev. (Alumax Foils Proj.) Series 1992, 3.60%, LOC PNC Bank, VRDN 2,000,000 2,000,000 Univ. of Missouri BAN Series 1996-97, 4.75% 6/30/97 1,000,000 1,005,720 7,005,720 NEBRASKA - 0.6% Omaha Pub. Pwr. Dist. Participating VRDN, Series 1993 D, 3.60% (Liquidity Facility Merrill Lynch & Co. Inc.) (b) 3,070,000 3,070,000 NEVADA - 1.7% Clark County Gen. Oblig. Participating VRDN Series BTP-192, 3.65%, LOC Barclays Bank PLC (b) 1,000,000 1,000,000 Clark County Ind. Dev. Rev. (Nevada Pwr. Co. Proj.) Series 1995 C, 3.60%, LOC Barclays Bank PLC 4,290,000 4,290,000 Nevada Participating VRDN, Series 962801, 3.70% (Liquidity Facility Citibank) (b) 3,200,000 3,200,000 8,490,000 NEW HAMPSHIRE - 1.2% New Hampshire Higher Ed. & Health Facs. Auth. Rev., VRDN: (St. Paul's School) 3.55%, LOC State Street Bank & Trust Co. 1,000,000 1,000,000 (VHA of New England) Series 1985 F, 3.50% (AMBAC Insured) (BPA First Nat'l. Bank of Chicago) 5,050,000 5,050,000 6,050,000 NEW JERSEY - 0.6% New Jersey Gen. Oblig. Participating VRDN, Series 943005, 3.65% (Liquidity Facility Citibank (b) 2,000,000 2,000,000 Washington Township BAN 4% 12/13/96 1,000,000 1,000,497 3,000,497 NEW YORK - 4.6% Nassau County BAN: 4% 11/15/96 3,400,000 3,400,307 4.50% 3/14/97 1,167,000 1,169,903 New York City RAN Series 1996-B, 4.50% 6/30/97 15,150,000 15,222,965 New York State Pwr. Auth. Bonds 3.70%, tender 3/1/97 3,000,000 3,000,000 22,793,175 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) NORTH DAKOTA - 1.1% Oliver County Poll. Cont. Rev. Rfdg. (Square Butte Elec. Coop.) Series 1996 B, 3.55% (AMBAC Insured) (BPA Bank of New York, NA) VRDN $ 5,375,000 $ 5,375,000 OHIO - 0.4% Chillicothe Wastewtr. Treatment BAN 4.41% 9/19/97 900,000 902,357 Toledo BAN 4.25% 5/15/97 1,000,000 1,001,671 1,904,028 OKLAHOMA - 1.0% Cushing Muni. Auth. Correctional Facs. Rev. Series 1996, 3.60%, LOC First Union Nat'l Bank, VRDN 3,000,000 3,000,000 Tulsa Ind. Auth. Rev. Rfdg. (University of Tulsa) Series 1996 B, 3.55% (MBIA Insured) (BPA Credit Locale de France) VRDN 1,200,000 1,200,000 Tulsa International Arpt. Gen. Rev. Series 1996, 3.70% (FGIC Insured) (BPA FGIC Security Purchase Inc.) VRDN 1,000,000 1,000,000 5,200,000 PENNSYLVANIA - 7.5% Allegheny County Hosp. Dev. Auth. Rev. (St. Margaret Mem. Hosp.) Series 1992 A, 3.85%, LOC Mellon Bank, VRDN 2,590,000 2,590,000 Dauphin County Gen. Auth. Hosp. Rev. (Reading Hosp. & Med. Ctr.) Series 1994 A, 3.65%, VRDN 1,200,000 1,200,000 Delaware Valley Reg'l. Fin. Auth. Local Gov't. Rev., VRDN: Series 1985 C, 3.65%, LOC Marine Midland Bank 2,500,000 2,500,000 Series 1986, 3.65%, LOC Marine Midland Bank 1,700,000 1,700,000 Montgomery County Higher Ed. & Health. Auth. Rev. (Pottstown Healthcare Corp. Proj.) Series 1992, 3.75%, LOC Meridian Bank, VRDN 2,565,000 2,565,000 North Lebanon Township Rev. (Grace Commty. Inc. Proj.) Series 1992 B, 3.75%, LOC Meridian Bank, VRDN 1,895,000 1,895,000 Northeastern Hosp. & Ed. Auth. Rev. (Allhealth Pool Fing.) 3.70%, LOC Chase Manhattan Bank, VRDN 5,000,000 5,000,000 North Pennsylvania Wtr. Auth. Participating VRDN, Series SG-30, 3.70% (Liquidity Facility Societe Generale) (b) 1,030,000 1,030,000 Pennsylvania TAN Series 1996-97, 4.50% 6/30/97 8,100,000 8,138,345 Philadelphia School Dist. TRAN Series 1996-97, 4.50% 6/30/97 1,000,000 1,003,179 Philadelphia TRAN Series 1996-97, 4.50% 6/30/97 1,000,000 1,003,488 Pittsburgh Wtr. & Swr. Sys. Participating VRDN, Series BTP-181, 3.65% (Liquidity Facility Bankers Trust Co.) (b) 1,000,000 1,000,000 Schuylkill County Ind. Dev. Auth. Resource Recovery Rev. (Gilberton Pwr.) 3.65%, LOC Mellon Bank, VRDN 2,000,000 2,000,000 York City Gen. Auth. Pooled Fing. Rev. Series 1996, 3.55%, LOC First Union Nat'l. Bank, VRDN 5,600,000 5,600,000 37,225,012 SOUTH CAROLINA - 6.0% South Carolina Hsg. Fin. & Dev. Auth. Multi-Family Hsg. Rev. (Spartanburg Oxford Proj.) Series 1990 D, 3.85% (Continental Casualty Co. Guaranteed) VRDN 9,415,000 9,415,000 South Carolina Pub. Svc. Auth. Rev., CP: 3.60% 2/18/97 7,895,000 7,895,000 3.60% 2/24/97 3,000,000 3,000,000 South Carolina Pub. Svc. Auth. Tender Option Bonds Series CR-183, 3.65% (Liquidity Facility Citibank) VRDN (b) 1,100,000 1,100,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) SOUTH CAROLINA - CONTINUED Walhalla Rev. Rfdg. (Avondale Mills Inc. Proj.) Series 1990, 3.60%, LOC SunTrust Bank of Atlanta, VRDN $ 3,000,000 $ 3,000,000 York County Poll. Cont. Rev. (Carolina Elec. Proj.) Series 1984 N-2, 3.60%, VRDN 1,700,000 1,700,000 York County Poll. Cont. Rev. Bonds (Carolina Elec. Co.) Series 1984 N-3, 3.80%, tender 3/15/97 4,000,000 4,000,000 30,110,000 TENNESSEE - 2.0% Clarksville Pub. Bldg. Auth. Pooled Fing. Rev. Series 1995, 3.65%, LOC NationsBank, VRDN 2,000,000 2,000,000 Metropolitan Govt. of Nashville & Davidson County Pooled Loan Ed. Prog. Rev. Series A, 3.65%, LOC NationsBank, VRDN 4,100,000 4,100,000 Nashville Metropolitan Arpt. Auth. Spl. Facs. Rev. (American Airlines Proj.) Series A, 3.65%, LOC Credit Suisse, VRDN 400,000 400,000 Rutherford County (Cumberland-Swan Inc. Proj.) Series 1987, 3.60%, LOC Third Nat'l Bank, VRDN 925,000 925,000 Shelby County Gen. Oblig. Participating VRDN, Series SGB-21, 3.65% (Liquidity Facility Societe Generale) (b) 2,500,000 2,500,000 9,925,000 TEXAS - 9.7% Austin Hsg. Fin. Corp. Multi-Family Hsg. Rev. (Riverchase Proj.) Series 1985 A, 3.875%, LOC Household Finance Corp., VRDN 1,000,000 1,000,000 Brazos River Harbor Navigation Dist. of Brazoria County Rev. Bonds (Dow Chemical Co.) Series 1991: 3.60%, tender 11/7/96 2,750,000 2,750,000 3.75%, tender 12/12/96 1,000,000 1,000,000 Dallas Area Rapid Transit Sales Tax Rev. Series A, CP: 3.65% 12/16/96, LOC Credit Suisse, LOC Swiss Bank Corp 1,700,000 1,700,000 3.65% 1/28/97, LOC Credit Suisse, LOC Swiss Bank Corp 1,000,000 1,000,000 El Paso Ind. Dev. Auth. Rev. Rfdg. (La Quinta Motor Inns Inc. Proj.) Series 1991, 3.70%, LOC NationsBank, VRDN 1,415,000 1,415,000 Farmers Branch Ind. Dev. Corp. Rev. Rfdg. (PPG Ind. Inc. Proj.) Series 1992, 3.55%, VRDN 2,300,000 2,300,000 Guadalupe-Blanco River Auth. Ind. Dev. Rev. (BOC Group Inc. Proj.) Series 1993, 3.60%, LOC Wachovia Bank, VRDN 1,500,000 1,500,000 Harris County Dev. Corp. Rev. Series 1996 A0 3.55%, LOC Texas Commerce Bank Houston, VRDN 1,000,000 1,000,000 Hockley County Ind. Dev. Corp. Poll. Cont. Rev. Bonds (Amoco Proj.) 3.75%, tender 3/1/97 1,000,000 1,000,154 Houston Wtr. & Swr. Sys. Participating VRDN, Series SG-77, 3.65% (Liquidity Facility Societe Generale) (b) 1,000,000 1,000,000 Houston Wtr. & Swr. Series A, 3.65% (Liquidity Facility Westdeutsche Landesbanken/ Swiss Bank Corp.) CP 1,000,000 1,000,000 Pantego Ind. Dev. Corp. (Minyard Properties) Series 1984, 3.75%, LOC Citibank, VRDN 2,000,000 2,000,000 Tarrant County Hsg. Fin. Auth. Multi-Family Hsg. Rev. (Windcastle Proj.) 3.60%, LOC Swiss Bank Corp., VRDN 2,100,000 2,100,000 Texarkana Ind. Dev. Corp. Rev. Rfdg. (La Quinta Motor Inns Inc. Proj.) 3.70%, LOC NationsBank, VRDN 2,240,000 2,240,000 Texas Gen. Oblig. TRAN Series 1996, 4.75% 8/29/97 16,600,000 16,705,530 Texas Higher Ed. Auth. Rev. Series B, 3.55% (BPA FGIC Security Purchase Inc.) VRDN 3,910,000 3,910,000 Texas Muni. Pwr. Agcy. BAN 3.60% 2/18/97 (Liquidity Facility Bank of America) 2,500,000 2,500,000 Texas Pub. Ed. Fin. Auth. Participating VRDN, Series CR-170, 3.65% (Liquidity Facility Citibank) (b) 2,000,000 2,000,000 48,120,684 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) UTAH - 0.4% Intermountain Pwr. Agcy. Pwr. Rev. Bonds Series F, 3.65%, tender 12/6/96 $ 1,000,000 $ 1,000,000 Timpanogos Spl. Svc. Dist. Participating VRDN, Series SG-83, 3.65% (Liquidity Facility Societe Generale) (b) 1,000,000 1,000,000 2,000,000 VERMONT - 0.9% Vermont Edl. & Health Bldgs. Fin. Agcy. Hosp. Rev. (VHA New England) Series E, 3.50%, (AMBAC Insured) (BPA First Nat'l. Bank of Chicago) VRDN 2,855,000 2,855,000 Vermont Student Assistance Corp. Student Loan Rev. Series 1985, 3.75%, LOC Nat'l.Westminster Bank, VRDN 1,600,000 1,600,000 4,455,000 VIRGINIA - 3.1% Louisa County Ind. Dev. Auth. Rev. Series 1995, 3.65%, LOC NationsBank, VRDN 3,100,000 3,100,000 Suffolk Redev. & Hsg. Auth. Multi-Family Rental Hsg. Rev. (Windsor at Fieldstone Proj.) 3.65%, LOC NationsBank, VRDN 7,492,000 7,492,000 Virginia Beach Dev Auth. Rev. Rfdg. (La Quinta Inns) Series 1993, 3.70%, LOC NationsBank, VRDN 2,500,000 2,500,000 Virginia Hsg. Dev. Auth. Commonwealth Mtg. Bonds Series 1996 C, 3.70%, tender 12/5/96 2,600,000 2,600,000 15,692,000 WASHINGTON - 6.5% Washington Gen. Oblig. Participating VRDN (b): Series 1993 C, 3.70% (Liquidity Facility Citibank) 4,000,000 4,000,000 Series SGA-35, 3.70% (Liquidity Facility Societe Generale) 1,000,000 1,000,000 Series SGA-36, 3.70% (Liquidity Facility Societe Generale) 2,260,000 2,260,000 Series SGB-9, 3.65% (Liquidity Facility Societe Generale) 900,000 900,000 Washington Pub. Pwr. Supply Participating VRDN (b): Series 94 B, 3.70% (Liquidity Facility Citibank 10,600,000 10,600,000 (Nuclear Proj. No.3) Series BT-126, 3.70% (BPA Bankers Trust Co.) 2,774,400 2,774,400 Washington Pub. Pwr. Supply Sys. Rev. Rfdg. (Nuclear Proj. #1) Series 1993-1A1, 3.55%, LOC Bank of America Nat'l. Trust & Savings, VRDN 11,000,000 11,000,000 32,534,400 WISCONSIN - 1.1% Beaver Dam Unified School Dist. BAN 4.10% 10/14/97 1,000,000 1,001,572 Kenosha Unified School Dist. TRAN 4.25% 9/26/97 1,000,000 1,003,124 Milwaukee Redev. Auth. Dev. Rev. (Bradley Ctr. Parking Facs. Proj.) Series 1986, 3.50%, LOC Nat'l. Westminster Bank, VRDN 25,000 25,000 Wisconsin Health & Ed. Facs. Auth. Rev. (Daughters of Charity - St. Mary's) Series 1992 A, 3.55%, VRDN 3,740,000 3,740,000 5,769,696 WYOMING - 0.2% Sweetwater County Poll. Cont. Rev. Bonds (Pacificorp) Series 1988 A, 3.60%, tender 12/16/96, LOC Union Bank of Switzerland 1,200,000 1,200,000 MUNICIPAL SECURITIES (A) - CONTINUED DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) MULTIPLE STATES - 0.7% Stephens Equity Trust I Participating VRDN, Series 1996, 3.70%, LOC Bayerische Hypotheken (b) $ 2,782,035 $ 2,782,035 Participating VRDN, Series 1990 A, 4.125%, LOC NationsBank (b) 747,500 747,500 3,529,535 TOTAL INVESTMENTS - 100% $ 498,479,945 Total Cost for Income Tax Purposes $ 498,479,945 SECURITY TYPE ABBREVIATIONS BAN - Bond Anticipation Notes CP - Commercial Paper RAN - Revenue Anticipation Notes TAN - Tax Anticipation Notes TRAN - Tax and Revenue Anticipation Notes VRDN - Variable Rate Demand Notes LEGEND (a) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (b) Provides evidence of ownership in one or more underlying municipal bonds. INCOME TAX INFORMATION At October 31, 1996 the fund had a capital loss carryforward of approximately $98,000 of which $24,000 and $74,000 will expire on October 31, 2000 and 2004. DAILY TAX-EXEMPT MONEY FUND FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996 241.ASSETS 242. 243. 244.Investment in securities, at value - See accompanying schedule 245. $ 498,479,945 246.Cash 247. 6,273 248.Receivable for investments sold 249. 1,000,883 250.Interest receivable 251. 2,735,491 252. 253.TOTAL ASSETS 254. 502,222,592 255.LIABILITIES 256. 257. 258.Payable for investments purchased $ 1,200,000 259. 260.Share transactions in process 525,472 261. 262.Distributions payable 132,103 263. 264.Accrued management fee 161,613 265. 266.Other payables and accrued expenses 109,078 267. 268. 269.TOTAL LIABILITIES 270. 2,128,266 271.272.NET ASSETS 273. $ 500,094,326 274.Net Assets consist of: 275. 276. 277.Paid in capital 278. $ 500,191,814 279.Accumulated net realized gain (loss) on investments 280. (97,488) 281.282.NET ASSETS, for 500,191,814 shares outstanding 283. $ 500,094,326 284.285.NET ASSET VALUE, offering price and redemption price per share 286. $1.00 ($500,094,326 (divided by) 500,191,814 shares)
STATEMENT OF OPERATIONS
YEAR ENDED OCTOBER 31, 1996 287.288.INTEREST INCOME 289. $ 18,924,895 290.EXPENSES 291. 292. 293.Management fee $ 2,607,230 294. 295.Transfer agent, accounting and custodian fees and expenses 1,078,032 296. 297.Non-interested trustees' compensation 3,661 298. 299.Registration fees 213,395 300. 301.Audit 23,181 302. 303.Legal 7,476 304. 305.Miscellaneous 154 306. 307. Total expenses before reductions 3,933,129 308. 309. Expense reductions (548,302) 3,384,827 310.311.NET INTEREST INCOME 312. 15,540,068 313.314.NET REALIZED GAIN (LOSS) ON INVESTMENTS 315. (74,164) 316.317.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 318. $ 15,465,904
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED YEAR ENDED OCTOBER 31, OCTOBER 31, 1996 1995 319.INCREASE (DECREASE) IN NET ASSETS 320.Operations $ 15,540,068 $ 16,108,406 Net interest income 321. Net realized gain (loss) (74,164) 32,560 322. Increase (decrease) in net unrealized gain from accretion of market discount - (317) 323. 15,465,904 16,140,649 324.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 325.Distributions to shareholders from net interest income (15,540,068) (16,108,406) 326.Share transactions at net asset value of $1.00 per share 1,958,241,067 1,737,542,023 Proceeds from sales of shares 327. Reinvestment of distributions from net interest income 13,605,676 14,101,845 328. Cost of shares redeemed (2,030,851,443) (1,646,761,931) 329.330. (59,004,700) 104,881,937 NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS 331. (59,078,864) 104,914,180 332.TOTAL INCREASE (DECREASE) IN NET ASSETS 333.NET ASSETS 334. 335. 336. Beginning of period 559,173,190 454,259,010 337. End of period $ 500,094,326 $ 559,173,190
FINANCIAL HIGHLIGHTS - INITIAL CLASS
338. YEARS ENDED OCTOBER 31, 339. 1996 1995 1994 1993 1992 340.SELECTED PER-SHARE DATA 341.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 342.Income from Investment Operations .030 .033 .022 .021 .029 Net interest income 343.Less Distributions 344. From net interest income (.030) (.033) (.022) (.021) (.029) 345.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 346.TOTAL RETURN A 3.02% 3.36% 2.21% 2.11% 2.93% 347.RATIOS AND SUPPLEMENTAL DATA 348.Net assets, end of period (000 omitted) $ 500,094 $ 559,173 $ 454,259 $ 538,756 $ 484,999 349.Ratio of expenses to average net assets .65% .65% .65% .61% .63% B B B 350.Ratio of net interest income to average net assets 2.98% 3.31% 2.17% 2.09% 2.86%
A TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. B 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 October 31, 1996 1. SIGNIFICANT ACCOUNTING POLICIES. U.S. Treasury Portfolio (U.S. Treasury) and Money Market Portfolio (Money Market)(collectively referred to as "the taxable funds") are funds of Daily Money Fund (a trust). Fidelity Daily-Tax-Exempt Money Fund (Daily Tax-Exempt) is a fund of Daily Tax-Exempt Money Fund (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. On October 17, 1996, the Board of Trustees approved a change in the fiscal year-end of the taxable funds from July 31 to October 31. Accordingly, their financial statements include the results of operations and changes in net assets for the three-month period ended October 31, 1996. U.S. Treasury offers two classes of shares, Initial Class and Class B, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to its distribution plan. Interest income, realized and unrealized capital gains and losses, and the common expenses of the fund are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the fund. Each class of shares differs in its respective distribution, transfer agent, registration, and certain other class-specific fees and expenses. 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 Daily Tax-Exempt, accretion of market discount represents unrealized gain until realized at the time of a security disposition or maturity. EXPENSES. 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. JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the taxable 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 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. RESTRICTED SECURITIES. Money Market and Daily Tax-Exempt 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 2. OPERATING POLICIES - CONTINUED RESTRICTED SECURITIES - CONTINUED 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 $45,000,000 or 1.7% of net assets for Money Market. Daily Tax-Exempt had no investments in restricted securities (excluding 144A issues). 3. JOINT TRADING ACCOUNT. At the end of the period, U.S. Treasury 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 $1,376,212,623 at 5.56%, $49,287,619 at 5.57% and $80,906,889 at 5.30%. The investments in repurchase agreements through the joint trading account are summarized as follows: SUMMARY OF JOINT TRADING DATED OCTOBER 31, 1996, DUE NOVEMBER 1, 1996 AT 5.56% Number of dealers or banks 18 Maximum amount with one dealer or bank 23.4% Aggregate principal amount of agreements $8,555,723,000 Aggregate maturity amount of agreements $8,557,045,050 Aggregate market value of transferred assets $8,730,452,846 Coupon rates of transferred assets 0.0% to 15.75% Maturity dates of transferred assets 11/7/96 to 8/15/26 DATED OCTOBER 31, 1996, DUE NOVEMBER 1, 1996 AT 5.57% Number of dealers or banks 4 Maximum amount with one dealer or bank 40.4% Aggregate principal amount of agreements $470,000,000 Aggregate maturity amount of agreements $470,072,661 Aggregate market value of transferred assets $479,671,311 Coupon rates of transferred assets 0.0% to 15.75% Maturity dates of transferred assets 11/15/96 to 8/15/26 DATED OCTOBER 10, 1996, DUE DECEMBER 26, 1996 AT 5.30% Number of dealers or banks 1 Maximum amount with one dealer or bank 100.0% Aggregate principal amount of agreements $500,000,000 Aggregate maturity amount of agreements $505,668,056 Aggregate market value of transferred assets $510,107,174 Coupon rates of transferred assets 0.0% to 8.125% Maturity dates of transferred assets 4/10/97 to 8/15/19 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 .50% of the fund's average net assets. 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 fee is paid prior to any voluntary expense reimbursements which may be in effect. DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service Plans (the Plans) adopted by Initial Class shares of each fund, and in accordance with Rule 12b-1 of the 1940 Act, FMR or the funds' distributor, Fidelity Distributors Corporation (FDC), an affiliate of FMR, may use their resources to pay administrative and promotional expenses related to the sale of each fund's Initial Class shares. Subject to the approval of each Board of Trustees, the Plans also authorize payments to third parties that assist in the sale of each fund's Initial Class shares or render shareholder support services. FMR or FDC has informed the funds that payments made to third parties under the Plans amounted to $1,284,231, $1,411,317 and $1,352,100 for the Initial Class of U.S. Treasury, Money Market, and Daily Tax-Exempt, respectively, for the period. In accordance with Rule 12b-1 of the 1940 Act, the Trustees have adopted a separate distribution plan with respect to U.S. Treasury's Class B shares (Class B Plan). Under the Class B Plan, the fund pays FDC a distribution and service fee. This fee is based on an annual rate of 1.00% (of which .75% represents a distribution fee and .25% represents a shareholder service fee) of the average net assets of the Class B shares. For the period, the fund paid FDC $48,497 under the Class B Plan, of which $16,950 was paid to securities dealers, banks and other financial institutions for the distribution of Class B 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 the Class B shares. Subject to the approval of the Board of Trustees, the Class B Plan also authorizes payments to third parties that assist in the sale of the fund's Class B shares or render shareholder support services. FMR or FDC has informed the fund that payments made to third parties under the Class B Plan amounted to $19,007 for the period. SALES LOAD. FDC receives the proceeds of a contingent deferred sales charge levied on U. S. Treasury Class B share redemptions occurring within five years of purchase. The charge is based on declining rates which range from 4% to 1% of the lesser of the cost of shares at the initial date of purchase or the net asset value of the redeemed shares, excluding any reinvested dividends and capital gains. For the period, FDC received contingent deferred sales charges of $26,013 on Class B share redemptions from the fund. When Class B shares are sold, FDC pays commissions from its own resources to dealers through which the sales are made. 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 Daily Tax-Exempt. UMB Bank, n.a. (UMB) is the custodian and transfer and shareholder servicing agent for Daily 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 Daily 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 an annualized rate of .17%, .27%, and .26% of the average net assets for U.S. Treasury Initial Class, U.S. Treasury Class B and Money Market Initial Class, respectively. For the period, the transfer agent fees were equivalent to an annual rate of .18% of average net assets for Daily Tax-Exempt Initial Class. ACCOUNTING FEES. Fidelity Service Co. (FSC), an affiliate of FMR, maintains the accounting records for the taxable funds. UMB also has a sub-contract with FSC to maintain Daily 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. For the period, FSC received accounting fees amounting to $107,140 for Daily Tax-Exempt. 5. EXPENSE REDUCTIONS. FMR voluntarily agreed to reimburse the funds' operating expenses (excluding interest, taxes, brokerage commissions and extraordinary expenses) above a specified percentage of average net assets. U.S. TREASURY INITIAL CLASS. For the period, this expense limitation was .65% of average net assets and the reimbursement reduced expenses by $169,465. U.S. TREASURY CLASS B. For the period, this expense limitation was 1.35% of average net assets and the reimbursement reduced expenses by $23,973. MONEY MARKET INITIAL CLASS. For the period, this expense limitation was .65% of average net assets and the reimbursement reduced expenses by $819,006. DAILY TAX-EXEMPT INITIAL CLASS. For the period, this expense limitation was .65% of average net assets and the reimbursement reduced expenses by $543,729. In addition, each fund has entered into an arrangement with its custodian whereby interest earned on uninvested cash balances was used to offset a portion of each fund's expenses. During the period, the custodian fees were reduced by $69 and $4,573 for Money Market and Daily Tax-Exempt, respectively, under this arrangement. 6. BENEFICIAL INTEREST. At the end of the period, 2 shareholders were each record owners of more than 10% of the total outstanding shares of U.S. Treasury totaling approximately 41% of Initial Class shares. 7. SHARE TRANSACTIONS. Share transactions for both classes of U.S. Treasury at net asset value of $1.00 per share were as follows: INITIAL CLASS THREE MONTHS YEAR ENDED YEAR ENDED ENDED JULY 31, JULY 31, OCTOBER 31, 1996 1996 1995
Shares sold $ 2,052,601,018 $ 11,030,210,151 $ 10,338,354,217 Reinvestment of distributions from net interest income 12,481,771 56,208,793 49,283,595 Shares redeemed (2,065,230,596) (11,113,118,785) (10,585,120,039) Net increase (decrease) $ (147,806) $ (26,699,841) $ (197,482,227)
CLASS B
Shares sold $ 10,395,134 $ 82,859,473 $ 17,802,599 Reinvestment of distributions from net interest income 257,070 472,884 185,089 Shares redeemed (30,201,713) (46,523,167) (15,460,856) Net increase (decrease) $ (19,549,509) $ 36,809,190 $ 2,526,832
REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees of Daily Money Fund and the Shareholders of U.S. Treasury Portfolio and Money Market Portfolio: We have audited the accompanying statements of assets and liabilities of Daily Money Fund: U.S. Treasury Portfolio and Money Market Portfolio, including the schedules of portfolio investments as of October 31, 1996, the related statements of operations for the three months then ended, the statements of changes in net assets for the three months then ended and for each of the two years in the period ended July 31, 1996 and the financial highlights of the U.S. Treasury Portfolio (Initial Class) and the Money Market Portfolio (Initial Class) for the three months ended October 31, 1996 and for each of the five years in the period ended July 31, 1996 and of the U. S. Treasury Portfolio (Class B) for the three months ended October 31, 1996, for each of the two years in the period ended July 31, 1996, and for the period July 1, 1994 (commencement of operations) to July 31, 1994. These financial statements and financial highlights are the responsibility of the funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 1996 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Daily Money Fund: U.S. Treasury Portfolio and Money Market Portfolio as of October 31, 1996, the results of their operations for the three months then ended, the changes in their net assets for the three months then ended and for each of the two years in the period ended July 31, 1996, and the financial highlights of the U.S. Treasury Portfolio (Initial Class) and the Money Market Portfolio (Initial Class) for the three months ended October 31, 1996 and for each of the five years in the period ended July 31, 1996 and of the U. S. Treasury Portfolio (Class B) for the three months ended October 31, 1996, for each of the two years in the period ended July 31, 1996, and for the period July 1, 1994 (commencement of operations) to July 31, 1994, in conformity with generally accepted accounting principles. COOPERS & LYBRAND L.L.P. Dallas, Texas December 2 , 1996 To the Trustees and Shareholders of Daily Tax-Exempt Money Fund: In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Daily Tax-Exempt Money Fund at October 31, 1996, the results of its operations for the year then ended, the changes in its net assets for each of the two years then ended, and its financial highlights for the periods indicated, in conformity with generally accepted accounting principles. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of Daily Tax-Exempt Money Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with generally accepted auditing standards which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities owned at October 31, 1996 by correspondence with the custodian and brokers, provide a reasonable basis for the opinion expressed above. Price Waterhouse, LLP Dallas, Texas December 10, 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 Leland Barron, VICE PRESIDENT Robert Duby, VICE PRESIDENT Scott Orr, VICE PRESIDENT Sarah H. Zenoble, 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 DAILY TAX-EXEMPT MONEY FUND CUSTODIANS The Bank of New York New York, NY UMB Bank, n.a. Kansas City, MO DAILY TAX-EXEMPT MONEY FUND DAILY MONEY FUND: U.S. TREASURY PORTFOLIO INVESTMENTS OCTOBER 31, 1996 Showing Percentage of Total Value of Investments U.S. TREASURY OBLIGATIONS - 16.8% DUE ANNUALIZED YIELD AT PRINCIPAL VALUE DATE TIME OF PURCHASE AMOUNT (NOTE 1) U.S. TREASURY BILLS - 14.7% 4/3/97 5.54% $ 22,000,000 $ 21,508,657 4/3/97 5.55 47,000,000 45,949,315 4/3/97 5.59 40,000,000 39,099,000 5/29/97 5.71 18,000,000 17,435,700 5/29/97 5.74 36,000,000 34,866,175 7/24/97 5.73 13,000,000 12,481,337 8/21/97 5.63 10,000,000 9,566,197 8/21/97 5.66 10,000,000 9,564,570 8/21/97 5.67 36,000,000 34,429,391 9/18/97 5.68 12,000,000 11,424,340 9/18/97 5.70 16,000,000 15,231,027 9/18/97 5.71 16,000,000 15,229,243 266,784,952 U.S. TREASURY NOTES - 2.1% 4/30/97 5.30 38,000,000 38,259,340 TOTAL U.S. TREASURY OBLIGATIONS 305,044,292 REPURCHASE AGREEMENTS - 83.2% MATURITY AMOUNT In a joint trading account (U.S. Treasury Obligations) dated 10/31/96 due 11/1/96 (Notes 2 and 3): At 5.56% $ 1,376,212,623 1,376,000,000 At 5.57% 49,287,619 49,280,000 (U.S. Treasury Obligations) dated 10/10/96 due 12/26/96:* At 5.30% 80,906,889 80,000,000 TOTAL REPURCHASE AGREEMENTS 1,505,280,000 TOTAL INVESTMENTS - 100% $ 1,810,324,292 Total Cost for Income Tax Purposes $ 1,810,324,292 *Payable on seven-day demand. INCOME TAX INFORMATION At October 31, 1996 the fund had a capital loss carryforward of approximately $421,000 which will expire on October 31, 2001. A total of 18.96% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax. The fund will notify shareholders in January 1997 of the applicable percentage for use in preparing 1996 income tax returns. DAILY MONEY FUND: U.S. TREASURY PORTFOLIO FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1996 8.ASSETS 9. 10. 11.Investment in securities, at value (including repurchase agreements of $1,505,280,000) - 12. $ 1,810,324,292 See accompanying schedule 13.Cash 14. 14,264,202 15.Interest receivable 16. 273,802 17. 18.TOTAL ASSETS 19. 1,824,862,296 20.LIABILITIES 21. 22. 23.Distributions payable $ 2,418,868 24. 25.Accrued management fee 717,545 26. 27.Other payables and accrued expenses 407,926 28. 29. 30.TOTAL LIABILITIES 31. 3,544,339 32.33.NET ASSETS 34. $ 1,821,317,957 35.Net Assets consist of: 36. 37. 38.Paid in capital 39. $ 1,821,688,864 40.Accumulated net realized gain (loss) on investments 41. (370,907) 42.43.NET ASSETS 44. $ 1,821,317,957 45.INITIAL CLASS : 47. $1.00 46.NET ASSET VALUE, offering price and redemption price per share ($1,800,907,401 (divided by) 1,801,274,152 shares) 48.CLASS B: 50. $1.00 49.NET ASSET VALUE, offering price and redemption price per share ($20,410,556 (divided by) 20,414,712 shares)
STATEMENT OF OPERATIONS
THREE MONTHS ENDED OCTOBER 31, 1996 51.52.INTEREST INCOME 53. $ 24,710,091 54.EXPENSES 55. 56. 57.Management fee $ 2,327,773 58. 59.Transfer agent fees 60. 61. Initial Class 779,481 62. 63. Class B 18,354 64. 65.Distribution fees - Class B 48,497 66. 67.Accounting fees and expenses 47,493 68. 69.Non-interested trustees' compensation 3,466 70. 71.Registration fees - Initial Class 14,662 72. 73.Registration fees - Class B 14,142 74. 75.Legal 9,833 76. 77.Miscellaneous 3,394 78. 79. Total expenses before reductions 3,267,095 80. 81. Expense reductions (193,438) 3,073,657 82.83.NET INTEREST INCOME 84. 21,636,434 85.86.NET REALIZED GAIN (LOSS) ON INVESTMENTS 87. 17,244 88.89.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 90. $ 21,653,678
STATEMENT OF CHANGES IN NET ASSETS
THREE MONTHS YEAR ENDED YEAR ENDED ENDED JULY 31, JULY 31, OCTOBER 31, 1996 1995 1996 91.INCREASE (DECREASE) IN NET ASSETS 92.Operations $ 21,636,434 $ 98,814,880 $ 95,675,780 Net interest income 93. Net realized gain (loss) 17,244 37,646 29,208 94. 95.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 21,653,678 98,852,526 95,704,988 96.Distributions to shareholders (21,367,372) (98,286,345) (95,473,806) From net interest income 97. Initial Class 98. Class B (269,062) (528,535) (201,974) 99. 100.TOTAL DISTRIBUTIONS (21,636,434) (98,814,880) (95,675,780) 101.Share transactions - net increase (decrease) (19,697,315) 10,109,349 (194,955,395) 102. (19,680,071) 10,146,995 (194,926,187) 103.TOTAL INCREASE (DECREASE) IN NET ASSETS 104.NET ASSETS 105. 106. 107. 108. Beginning of period 1,840,998,028 1,830,851,033 2,025,777,220 109. End of period $ 1,821,317,957 $ 1,840,998,028 $ 1,830,851,033
FINANCIAL HIGHLIGHTS - INITIAL CLASS 110. THREE MONTHS YEARS ENDED JULY 31, ENDED OCTOBER 31, 111. 1996 1996 1995 1994 1993 1992
112.SELECTED PER-SHARE DATA 113.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 114.Income from Investment Operations 115. Net interest income .012 .049 .049 .029 .027 .042 116.Less Distributions 117. From net interest income (.012) (.049) (.049) (.029) (.027) (.042) 118.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 119.TOTAL RETURN B, C 1.19% 5.06% 5.02% 2.89% 2.78% 4.25% 120.RATIOS AND SUPPLEMENTAL DATA 121.Net assets, end of period (in millions) $ 1,801 $ 1,801 $ 1,828 $ 2,025 $ 2,949 $ 3,094 122.Ratio of expenses to average net assets .65% A, .65% .65% .60% .57% .59% C C C 123.Ratio of net interest income to average 4.66% A 4.94% 4.89% 2.81% 2.73% 4.14% 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 CLASS'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). FINANCIAL HIGHLIGHTS - CLASS B
124. THREE MONTHS YEARS ENDED JULY 31, JULY 1, 1994 ENDED (COMMENCEMENT OCTOBER 31, OF OPERATIONS) TO
125. 1996 1996 1995 JULY 31, 1994
126.SELECTED PER-SHARE DATA 127.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 128.Income from Investment Operations 129. Net interest income .010 .043 .042 .002 130.Less Distributions 131. From net interest income (.010) (.043) (.042) (.002) 132.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 133.TOTAL RETURN B, C 1.01% 4.33% 4.28% .25% 134.RATIOS AND SUPPLEMENTAL DATA 135.Net assets, end of period (000 omitted) $ 20,411 $ 39,956 $ 3,154 $ 628 136.Ratio of expenses to average net assets 1.35% A, 1.35% 1.35% 1.35% A, D D D D 137.Ratio of net interest income to average net assets 3.96% A 4.13% 4.22% 3.03% A
A ANNUALIZED B TOTAL RETURNS DO NOT INCLUDE THE CONTINGENT DEFERRED SALES CHARGE LEVIED ON CLASS B SHARE REDEMPTIONS AND FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. C TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED DURING THE PERIODS SHOWN. D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS'S EXPENSES DURING THE PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS'S EXPENSE RATIO WOULD HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS). NOTES TO FINANCIAL STATEMENTS For the period ended October 31, 1996 1. SIGNIFICANT ACCOUNTING POLICIES. U.S. Treasury Portfolio (the fund) is a fund of Daily Money Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware business trust. On October 17, 1996, the Board of Trustees approved a change in the fiscal year-end of the fund from July 31 to October 31. Accordingly, the financial statements include the results of operations and changes in net assets for the three-month period ended October 31, 1996. The fund offers two classes of shares, Initial Class and Class B, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to its distribution plan. Interest income, realized and unrealized capital gains and losses, and the common expenses of the fund are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the fund. Each class of shares differs in its respective distribution, transfer agent, registration, and certain other class-specific fees and expenses. 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 fund: 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, the fund is not subject to income taxes to the extent that it distributes substantially all of its taxable income for its 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. EXPENSES. Most expenses of the 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. JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the fund, 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 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 fund, 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 fund's investment adviser, is responsible for determining that the value of the underlying securities remains in accordance with the market value requirements stated above. 3. JOINT TRADING ACCOUNT. At the end of the period, the fund 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 3. JOINT TRADING ACCOUNT - CONTINUED and found satisfactory by FMR. The maturity values of the joint trading account investments were $1,376,212,623 at 5.56%, $49,287,619 at 5.57% and $80,906,889 at 5.30%. The investments in repurchase agreements through the joint trading account are summarized as follows: SUMMARY OF JOINT TRADING DATED OCTOBER 31, 1996, DUE NOVEMBER 1, 1996 AT 5.56% Number of dealers or banks 18 Maximum amount with one dealer or bank 23.4% Aggregate principal amount of agreements $8,555,723,000 Aggregate maturity amount of agreements $8,557,045,050 Aggregate market value of transferred assets $8,730,452,846 Coupon rates of transferred assets 0.0% to 15.75% Maturity dates of transferred assets 11/7/96 to 8/15/26 DATED OCTOBER 31, 1996, DUE NOVEMBER 1, 1996 AT 5.57% Number of dealers or banks 4 Maximum amount with one dealer or bank 40.4% Aggregate principal amount of agreements $470,000,000 Aggregate maturity amount of agreements $470,072,661 Aggregate market value of transferred assets $479,671,311 Coupon rates of transferred assets 0.0% to 15.75% Maturity dates of transferred assets 11/15/96 to 8/15/26 DATED OCTOBER 10, 1996, DUE DECEMBER 26, 1996 AT 5.30% Number of dealers or banks 1 Maximum amount with one dealer or bank 100.0% Aggregate principal amount of agreements $500,000,000 Aggregate maturity amount of agreements $505,668,056 Aggregate market value of transferred assets $510,107,174 Coupon rates of transferred assets 0.0% to 8.125% Maturity dates of transferred assets 4/10/97 to 8/15/19 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES. MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee that is computed daily at an annual rate of .50% of the fund's average net assets. SUB-ADVISER FEE. As the 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 fee is paid prior to any voluntary expense reimbursements which may be in effect. 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED DISTRIBUTION AND SERVICE PLAN. In accordance with Rule 12b-1 of the 1940 Act, the Trustees have adopted separate distribution plans with respect to the fund's Initial Class shares (Initial Class Plan) and Class B shares (Class B Plan). Under the Initial Class Plan, FMR or the fund's distributor, Fidelity Distributors Corporation (FDC), an affiliate of FMR, may use its resources to pay administrative and promotional expenses related to the sale of the fund's Initial Class shares. Subject to the approval of the Board of Trustees, the Initial Class Plan authorizes payments to third parties that assist in the sale of the fund's Initial Class shares or render shareholder support services. FMR or FDC has informed the fund that payments made to third parties under the Initial Class Plan amounted to $1,411,317 for the period. Under the Class B Plan, the fund pays FDC a distribution and service fee. This fee is based on an annual rate of 1.00% (of which .75% represents a distribution fee and .25% represents a shareholder service fee) of the average net assets of the Class B shares. For the period, the fund paid FDC $48,497 under the Class B Plan, of which $16,950 was paid to securities dealers, banks and other financial institutions for the distribution of Class B 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 the Class B shares. Subject to the approval of the Board of Trustees, the Class B Plan also authorizes payments to third parties that assist in the sale of the fund's Class B shares or render shareholder support services. FMR or FDC has informed the fund that payments made to third parties under the Class B Plan amounted to $19,007 for the period. SALES LOAD. FDC receives the proceeds of a contingent deferred sales charge levied on Class B share redemptions occurring within five years of purchase. The charge is based on declining rates which range from 4% to 1% of the lesser of the cost of shares at the initial date of purchase or the net asset value of the redeemed shares, excluding any reinvested dividends and capital gains. For the period, FDC received contingent deferred sales charges of $26,013 on Class B share redemptions from the fund. When Class B shares are sold, FDC pays commissions from its own resources to dealers through which the sales are made. TRANSFER AGENT FEES. Fidelity Investments Institutional Operations Company (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for the fund's Initial Class and Class B shares. FIIOC receives account fees and asset-based fees that vary according to account size and type of account of the shareholders of the respective classes of the fund. FIIOC pays for typesetting, printing and mailing of all shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to annualized rates of .17% and .27% of the average net assets of Initial Class and Class B, respectively. ACCOUNTING FEES. Fidelity Service Co. (FSC), an affiliate of FMR, maintains the fund's accounting records. The 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 fund's operating expenses (excluding interest, taxes, brokerage commissions and extraordinary expenses) above a specified percentage of average net assets. (I) INITIAL CLASS. For the period, this expense limitation was .65% of average net assets and the reimbursement reduced expenses by $169,465. (II) CLASS B. For the period, this expense limitation was 1.35% of average net assets and the reimbursement reduced expenses by $23,973. 6. BENEFICIAL INTEREST. At the end of the period, 2 shareholders were each record owners of more than 10% of the total outstanding shares of the fund, totaling approximately 41% of Initial Class shares. 7. SHARE TRANSACTIONS. Share transactions for both classes of the fund at net asset value of $1.00 per share were as follows: INITIAL CLASS THREE MONTHS YEAR ENDED YEAR ENDED ENDED JULY 31, JULY 31, OCTOBER 31, 1996 1996 1995
Shares sold $ 2,052,601,018 $ 11,030,210,151 $ 10,338,354,217 Reinvestment of distributions from net interest income 12,481,771 56,208,793 49,283,595 Shares redeemed (11,113,118,785) (2,065,230,595) (10,585,120,039) Net increase (decrease) $ (147,806) $ (26,699,841) $ (197,482,227)
CLASS B
Shares sold $ 10,395,134 $ 82,859,473 $ 17,802,599 Reinvestment of distributions from net interest income 257,070 472,884 185,089 Shares redeemed (30,201,713) (46,523,167) (15,460,856) Net increase (decrease) $ (19,549,509) $ 36,809,190 $ 2,526,832
REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees of Daily Money Fund and the Shareholders of U.S. Treasury Portfolio: We have audited the accompanying statement of assets and liabilities of Daily Money Fund: U.S. Treasury Portfolio, including the schedule of portfolio investments as of October 31, 1996, the related statement of operations for the three months then ended, the statement of changes in net assets for the three months then ended and for each of the two years in the period ended July 31, 1996 and the financial highlights of the U.S. Treasury Portfolio for the three months ended October 31, 1996 for Initial Class and Class B and for each of the five years in the period ended July 31, 1996 for the Initial Class, and for each of the two years in the period ended July 31, 1996 and for the period July 1, 1994 (commencement of operations) to July 31, 1994 for Class B. These financial statements and financial highlights are the responsibility of the fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 1996 by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Daily Money Fund: U.S. Treasury Portfolio as of October 31, 1996, the results of its operations for the three months then ended, the changes in its net assets for the three months then ended and for each of the two years in the period ended July 31, 1996 and the financial highlights of the U.S. Treasury Portfolio for the three months ended October 31, 1996 for Initial Class and Class B and for each of the five years in the period ended July 31, 1996 for the Initial Class, and for each of the two years in the period ended July 31, 1996 and for the period July 1, 1994 (commencement of operations) to July 31, 1994 for Class B, in conformity with generally accepted accounting principles. COOPERS & LYBRAND L.L.P. Dallas, Texas December 2, 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 Leland Barron, VICE PRESIDENT Sarah H. Zenoble, 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 TRANSFER AND SHAREHOLDER SERVICING AGENTS Fidelity Investments Institutional Operations Company Boston, MA CUSTODIAN The Bank of New York New York, NY * INDEPENDENT TRUSTEES -----END PRIVACY-ENHANCED MESSAGE-----