(2_FIDELITY_LOGOS)FIDELITY
LIMITED TERM MUNICIPALS
SEMIANNUAL REPORT
JUNE 30, 1994
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on bond market
strategies.
PERFORMANCE 4 How the fund has done over time.
FUND TALK 7 The manager's review of fund
performance, strategy and outlook.
INVESTMENT CHANGES 10 A summary of major shifts in the
fund's investments over the past six
months.
INVESTMENTS 11 A complete list of the fund's
investments with their market
values.
FINANCIAL STATEMENTS 23 Statements of assets and liabilities,
operations, and changes in net
assets,
as well as financial highlights.
NOTES 27 Notes to the financial statements.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUND. THIS REPORT IS NOT AUTHORIZED
FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND 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, THE
FEDERAL RESERVE BOARD OR ANY OTHER AGENCY,AND ARE SUBJECT TO INVESTMENT
RISK,
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. NEITHER THE FUND NOR FIDELITY
DISTRIBUTORS
CORPORATION IS A BANK.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
The past few months have been an
unsettling time for bond investors. The bond market declined after the
Federal Reserve Board raised short-term interest rates from February
through May. These rate hikes caused bond yields to rise and bond prices to
fall. While nobody knows whether rates will continue to go up, this may be
a good time to review the effect rising rates have on your bond fund
investment, and consider how well your current bond fund holdings match
your original investment goals.
Most investors choose bond funds to generate income and to help diversify
their investment portfolios. Despite the recent market downturn, bond
mutual funds still satisfy these needs. Where investors have felt the
negative effect of rising rates is in the market value of their investment,
which has eroded as bond prices have fallen. It's important
to remember, however, that this loss in principal is only "on paper" until
you choose to sell your shares. That's why your investing time horizon is
key.
If your time horizon is short - one year or less - you may want to consider
shifting all or part of your bond fund investment into short-term
investments.
If you don't need your money within the next year, staying in your bond
fund may be the appropriate strategy for you. The longer your investing
time frame, the better your chances of retaining your principal investment
through periods of rising AND falling rates. For example, if you plan to
use your money in one to two years, a short-term bond fund may be the right
choice. If your time frame is two to four years, a fund with an
intermediate length average maturity may be best. If you have a longer-term
goal - say a child's college education that's 10 years away - you may be
willing to ride out the bond market's peaks and valleys in exchange for the
higher potential returns of a longer-term fund.
If you have questions, please call us at 1-800-544-8888. We would be happy
to send you a Fidelity FundMatch kit, which can help you determine the mix
of investments that is right for you. You might also find it convenient to
set up
a regular investment plan using the Fidelity Automatic Account BuilderSM.
We look forward to hearing from you.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance. You can
look at the total percentage change in value, the average annual percentage
change, or the growth of a hypothetical $10,000 investment. Each figure
includes changes in a fund's share price, plus reinvestment of any
dividends (or income) and capital gains (the profits the fund earns when it
sells bonds that have grown in value). You can also look at the fund's
income.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED JUNE 30, 1994 PAST 6 PAST 1 PAST 5 PAST 10
MONTHS YEAR YEARS YEARS
Limited Term Municipals -4.31% 0.47% 42.67% 141.22%
Lehman Brothers Municipal Bond Index -4.41% 0.20% 46.00% 178.71%
Average Intermediate Municipal Bond -3.01% 1.19% 40.61% 124.37%
Fund
Consumer Price Index 1.51% 2.49% 19.26% 42.72%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, six months, one, five, or 10 years. For
example, if you had invested $1,000 in a fund that had a 5% return over the
past year, you would have $1,050. You can compare these figures to the
performance of the Lehman Brothers Municipal Bond Index - a broad gauge of
the municipal bond market that includes short-, intermediate-, and
long-term bonds. To measure how the fund stacked up against its peers, you
can look at the average intermediate municipal bond fund, which reflects
the performance of 90 intermediate municipal bond funds tracked by Lipper
Analytical Services. Both benchmarks include reinvested dividends and
capital gains, if any. Comparing the fund's performance to the Consumer
Price Index helps show how your fund did compared to inflation.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED JUNE 30, 1994 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
Limited Term Municipals 0.47% 7.37% 9.20%
Lehman Brothers Municipal Bond Index 0.20% 7.86% 10.79%
Average Intermediate Municipal Bond 1.19% 7.05% 8.35%
Fund
Consumer Price Index 2.49% 3.59% 3.62%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
$10,000 OVER 10 YEARS
06/30/84 10000.00 10000.00
07/31/84 10418.67 10518.00
08/31/84 10567.47 10753.92
09/30/84 10574.09 10681.65
10/31/84 10671.86 10815.71
11/30/84 10808.26 10974.91
12/31/84 10946.56 11180.58
01/31/85 11434.22 11826.04
02/28/85 11235.20 11530.98
03/31/85 11347.69 11630.49
04/30/85 11664.61 12056.17
05/31/85 11943.90 12474.76
06/30/85 12073.11 12605.62
07/31/85 12091.09 12630.33
08/31/85 12052.89 12542.17
09/30/85 11958.88 12416.37
10/31/85 12374.87 12841.88
11/30/85 12677.15 13302.51
12/31/85 12841.93 13419.44
01/31/86 13355.44 14209.85
02/28/86 13650.39 14773.41
03/31/86 13755.92 14778.14
04/30/86 13758.19 14789.37
05/31/86 13584.25 14548.60
06/30/86 13751.46 14687.39
07/31/86 13798.53 14776.55
08/31/86 14357.76 15438.09
09/30/86 14374.09 15476.84
10/31/86 14722.58 15744.13
11/30/86 14871.82 16056.02
12/31/86 14792.55 16011.70
01/31/87 15146.01 16493.82
02/28/87 15329.05 16574.97
03/31/87 15246.99 16399.27
04/30/87 14415.67 15576.36
05/31/87 14382.21 15499.10
06/30/87 14695.31 15954.15
07/31/87 14867.34 16116.88
08/31/87 14912.76 16153.15
09/30/87 14332.57 15557.58
10/31/87 14412.91 15612.65
11/30/87 14751.54 16020.30
12/31/87 14961.71 16252.75
01/31/88 15551.64 16831.68
02/29/88 15616.52 17009.59
03/31/88 15349.06 16811.43
04/30/88 15448.26 16939.19
05/31/88 15498.21 16890.24
06/30/88 15632.68 17137.34
07/31/88 15700.78 17249.08
08/31/88 15718.57 17264.26
09/30/88 15908.22 17576.74
10/31/88 16117.93 17886.97
11/30/88 16032.26 17723.12
12/31/88 16191.03 17904.43
01/31/89 16368.53 18274.70
02/28/89 16248.09 18066.18
03/31/89 16180.95 18023.00
04/30/89 16469.33 18450.87
05/31/89 16742.24 18834.09
06/30/89 16906.67 19089.86
07/31/89 17072.13 19349.67
08/31/89 16983.78 19160.24
09/30/89 16972.56 19102.76
10/31/89 17120.31 19335.81
11/30/89 17326.21 19674.19
12/31/89 17458.03 19835.52
01/31/90 17399.55 19742.29
02/28/90 17530.29 19918.00
03/31/90 17591.94 19923.97
04/30/90 17439.74 19780.52
05/31/90 17708.94 20211.74
06/30/90 17844.48 20389.60
07/31/90 18058.67 20689.33
08/31/90 18023.66 20389.33
09/30/90 18145.72 20401.57
10/31/90 18329.80 20770.83
11/30/90 18573.50 21188.33
12/31/90 18674.10 21281.56
01/31/91 18876.43 21566.73
02/28/91 19059.56 21754.36
03/31/91 19144.49 21763.06
04/30/91 19350.28 22052.51
05/31/91 19496.64 22248.78
06/30/91 19501.72 22226.53
07/31/91 19713.16 22497.69
08/31/91 19902.78 22794.66
09/30/91 20153.60 23090.99
10/31/91 20341.84 23298.81
11/30/91 20356.10 23364.05
12/31/91 20763.15 23866.37
01/31/92 20877.40 23921.27
02/29/92 20953.73 23928.44
03/31/92 20910.45 23938.02
04/30/92 21086.35 24151.06
05/31/92 21265.56 24436.05
06/30/92 21506.23 24846.57
07/31/92 22131.54 25591.97
08/31/92 21967.23 25341.17
09/30/92 22071.63 25505.89
10/31/92 21767.84 25255.93
11/30/92 22213.35 25708.01
12/31/92 22458.98 25970.23
01/31/93 22726.86 26271.49
02/28/93 23547.86 27222.51
03/31/93 23318.86 26933.95
04/30/93 23540.10 27205.99
05/31/93 23691.19 27358.34
06/30/93 24007.99 27815.22
07/31/93 24066.29 27851.38
08/31/93 24558.03 28430.69
09/30/93 24830.97 28754.80
10/31/93 24865.98 28809.44
11/30/93 24701.58 28555.91
12/31/93 25208.00 29158.44
01/31/94 25494.83 29490.85
02/28/94 24907.86 28727.04
03/31/94 23898.20 27557.85
04/30/94 24032.76 27792.09
05/31/94 24246.95 28033.88
06/30/94 24121.52 27871.28
$10,000 OVER 10 YEARS: Let's say you invested $10,000 in Fidelity Limited
Term Municipals on June 30, 1984. As the chart shows, by June 30, 1994, the
value of your investment would have grown to $24,122 - a 141.22% increase
on your initial investment. For comparison, look at how the Lehman Brothers
Municipal Bond Index did over the same period. With dividends reinvested,
the same $10,000 would have grown to $27,871 - a 178.71% increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is
no guarantee of how it will do
tomorrow. Bond prices, for
example, move in the
opposite direction of interest
rates. In turn, the share price,
return, and yield of a fund
that invests in bonds will vary.
That means if you sell your
shares during a market
downturn, you might lose
money. But if you can ride out
the market's ups and downs,
you may have a gain.
(checkmark)
TOTAL RETURN COMPONENTS
SIX YEARS ENDED DECEMBER 31,
MONTHS
ENDED
JUNE 30,
1994 1993 1992 1991 1990 1989
Dividend return 2.51% 5.54% 6.21% 6.77% 6.83% 6.96%
Capital appreciation -6.82 6.70% 1.96% 4.42% .14% .87%
return %
Total return -4.31 12.24% 8.17% 11.19% 6.97% 7.83%
%
DIVIDEND returns and capital appreciation returns are both part of a bond
fund's total return. A dividend return reflects the actual dividends paid
by the fund. A capital appreciation return reflects both the amount paid by
the fund to shareholders as capital gain distributions and changes in the
fund's share price. Both returns assume the dividends or gains are
reinvested.
DIVIDENDS AND YIELD
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PERIODS ENDED JUNE 30, 1994 PAST 30 PAST 6 PAST 1
DAYS MONTHS YEAR
Dividends per share 4.15(cents) 25.37(cents) 51.50(cents)
Annualized dividend rate 5.35% 5.33% 5.23%
30-day annualized yield 5.35% - -
30-day annualized tax-equivalent yield 8.36% - -
</TABLE>
DIVIDENDS per share show the income paid by the fund for a set period. If
you annualize this number, based on an average share price of $9.44 over
the past month, $9.59 over the past six months and $9.85 over the past
year, you can compare the fund's income over these three periods. The
30-day annualized YIELD is a standard formula for all funds based on the
yields of the bonds in the fund, averaged over the past 30 days. This
figure shows you the yield characteristics of the fund's investments at the
end of the period. It also helps you compare funds from different companies
on an equal basis. The tax-equivalent yield shows what you would have to
earn on a taxable investment to equal the fund's tax-free yield, if you're
in the 36% federal tax bracket.
FUND TALK: THE MANAGER'S OVERVIEW
An interview with David Murphy, Portfolio Manager of Fidelity
Limited Term Municipals
Q. DAVID, HOW HAS THE FUND PERFORMED?
A. It has been a difficult period for both the fund and municipal bonds in
general. The fund's total return for the six months ended June 30, 1994,
was -4.31%. That lagged the average intermediate municipal bond fund, which
returned -3.01% for the same period, according to Lipper Analytical
Services. For the 12 months ended June 30, the fund had a total return of
0.47%, compared to the average intermediate fund's return of 1.19%, again
according to Lipper.
Q. WHAT DROVE THE MUNICIPAL MARKET'S PERFORMANCE?
A. The Federal Reserve Board, acting on evidence that the economy had grown
at a fairly strong pace in the fourth quarter of 1993, raised short-term
interest rates one-quarter of a percent in early February. That was in
spite of the fact that there wasn't any solid evidence that this growth was
yet causing higher inflation. Since the bond market fears inflation, a
preemptive Fed move against the threat of future inflation is sometimes
greeted enthusiastically by long-term bond investors. But this time, the
market reacted negatively because investors came to expect further Fed
hikes. As a result, many investors started to sell municipal bonds, and the
market dropped. Most of the fund's and the market's losses came in February
and March, when selling was at its peak. By the end of June, the Fed had
raised short-term interest rates by 1.25% to 4.25%. Meanwhile, 30-year AAA
bond yields rose from 5.25% at the end of December to 6.30% at the end of
June.
Q. TURNING TO THE FUND, WHAT ACCOUNTED FOR ITS PERFORMANCE?
A. Toward the end of 1993, I had structured the fund to take advantage of
what I believed would be a relatively stable interest rate environment. To
help do that, I had invested about 38% of the fund in zero coupon bonds.
Because zero coupon bonds trade at a discount, their prices are
particularly sensitive to changes in interest rates, and they perform best
when interest rates decline or are stable. I did not anticipate how high
rates would actually climb. Zero coupon bonds were especially hard hit
during the market sell-off.
Q. ONCE RATES STARTED RISING WHY DIDN'T YOU JUST SELL THOSE TYPES OF BONDS
AND BUY OTHERS THAT WOULD BE LESS SENSITIVE TO RISING INTEREST RATES?
A. I kept the fund's core structure in place because my long-term view is
that inflation will stay low and we'll see a return to lower interest rates
within the next 18 months. Obviously I have been challenged in my thinking,
but I continue to believe that the fund's structure will be the best for
the foreseeable future. Instead of changing the core structure of the fund,
I used futures which generally reduced the fund's volatility.
Q. AREN'T FUTURES ONE OF THE TYPES OF FINANCIAL ARRANGEMENTS KNOWN AS
DERIVATIVES? DO YOU USE OTHERS, AND WHY?
A. Yes, a future is one type of derivative - meaning its market value is
derived from an underlying security or market index. We have used futures
and options in our municipal funds for years. More recently, I've also
started using a derivative known as an inverse floater - whose yield rises
as short-term rates fall, and vice versa. Inverse floaters act like
long-term bonds, effectively increasing a fund's duration, which is good in
a falling interest rate environment, but can hurt the fund when interest
rates rise. During the past six months, inverse floaters made up less than
5% of the fund's total investments. By using these various derivatives, I
achieve increased flexibility in managing the fund's overall sensitivity to
changes in interest rates and, hopefully, can achieve higher levels of
income.
Q. IN TERMS OF SPECIFIC SECTORS, HAVE YOU MADE ANY CHANGES DURING THE PAST
SIX MONTHS?
A. The fund's largest sector concentration is still local general
obligation bonds (GOs), which are backed by the taxing power of the issuer.
Even during the recession, local municipalities saw fairly constant
revenues from property taxes, unlike states, whose revenues are more
dependent on income and sales taxes. As the economy improved and sales
taxes picked up, positive trends tended to be more evident on the local
level than on the state level. New York City bonds, for instance, benefited
from these trends and the bonds have done quite well. The fund's second
largest sector is health care bonds, which provide a relatively attractive
yield. I've pared back the fund's stake in electric utility bonds to 10.7%
at the end of June from 17.0% six months ago. Concern about increased
competition among providers of electricity caused taxable utility bonds to
fall. At the beginning of the year, I started to sell some municipal
electric bonds because I thought that same concern might spill over to
tax-free bonds. That's exactly what happened and the bonds did poorly. I
have, however, continued to hold on to those electric utilities that I
believe will be insulated from increased competition.
Q. HOW DID YOU CHANGE THE ALLOCATION AMONG STATES?
A. I cut back the number of New York bonds, primarily because they have
done quite well. As the credit quality and price of New York bonds
improved, I used that as an opportunity to lock in profits and look for
opportunities elsewhere. Texas is now the fund's largest state
concentration at 13.1%. That state's economy is doing better than many
other states, and that helps the credit quality of Texas bonds.
Q. DO YOU THINK THE WORST IS OVER FOR MUNICIPAL BONDS?
A. I believe so, but I expect to see a high level of volatility over the
short term. Yet there are some positives working in municipal bonds' favor.
The municipal market is very dependent on supply and demand. With interest
rates higher, the supply of municipal bonds is expected to be about half of
last year's level. If demand just remains fairly constant and supply is
lower, municipal bond prices could rise. But in addition, I believe that
demand for municipal bonds will increase over the next year or so, once the
market starts to settle down and individual investors feel more confident
about municipals.
FUND FACTS
GOAL: to provide a high level
of current income exempt
from federal income taxes
START DATE: April 15, 1977
SIZE: as of June 30, 1994,
more than $996 million
MANAGER: David Murphy,
since December 1989;
manager, Spartan
Intermediate Municipal Fund,
since April 1993; Spartan
New Jersey Municipal High
Yield Portfolio, since April
1991; Spartan
Short-Intermediate Municipal
Fund, since December 1989;
joined Fidelity in 1989
(checkmark)
DAVID MURPHY'S STRATEGY:
"My primary goal is to
generate a fairly high level of
income for the fund. I do that
in three ways. First, I look for
lower investment grade
bonds, or BBB-rated bonds
that offer above-average
yields, and that our research
department believes are
stable or improving credits.
Those are the lowest quality
bonds in which the fund can
invest. Second, I identify
sectors that may have some
call risk, which is the risk that
a bond will be redeemed
before its scheduled maturity
date. Student loan bonds, for
example, carry some risk of
being repaid before their
scheduled maturities. Finally,
I may choose bonds that have
lower liquidity, meaning that
there aren't a lot of investors
who actively trade that bond.
All three types tend to offer
above-average yields. But I
don't chase after yield at the
expense of principal. I
balance these high yields with
the potential for price gain.
That way, I hope to achieve a
relatively high yield while
keeping risk in check."
INVESTMENT CHANGES
TOP FIVE STATES AS OF JUNE 30, 1994
% OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS
6 MONTHS AGO
Texas 13.1 10.3
New York 8.2 11.1
Massachusetts 8.1 6.2
Utah 5.7 5.3
Pennsylvania 5.4 5.0
TOP FIVE SECTORS AS OF JUNE 30, 1994
% OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS
6 MONTHS AGO
General Obligations 24.0 21.4
Health Care 18.6 16.7
Electric Revenue 10.7 17.0
Escrowed/Pre-Refunded 10.6 10.1
Education 9.0 8.8
AVERAGE YEARS TO MATURITY AS OF JUNE 30, 1994
6 MONTHS AGO
Years 9.7 10.3
AVERAGE YEARS TO MATURITY SHOWS THE AVERAGE TIME UNTIL THE PRINCIPAL OF THE
BONDS IN THE FUND IS EXPECTED TO BE REPAID, WEIGHTED BY DOLLAR AMOUNT.
DURATION AS OF JUNE 30, 1994
6 MONTHS AGO
Years 8.0 8.2
DURATION SHOWS HOW MUCH A BOND'S PRICE FLUCTUATES WITH CHANGES IN INTEREST
RATES. IF RATES RISE 1%, FOR EXAMPLE, THE SHARE PRICE OF A FUND WITH A
FIVE-YEAR DURATION WILL FALL 5%.
QUALITY DIVERSIFICATION AS OF JUNE 30, 1994
(MOODY'S RATINGS) % OF FUND'S INVESTMENTS
Aaa 44.1%
Aa, A 29.1%
Baa 21.2%
Non-rated 2.0%
Short-term investments 3.6%
Row: 1, Col: 1, Value: 3.6
Row: 1, Col: 2, Value: 2.0
Row: 1, Col: 3, Value: 21.2
Row: 1, Col: 4, Value: 29.1
Row: 1, Col: 5, Value: 44.1
WHERE MOODY'S RATINGS ARE NOT AVAILABLE, WE HAVE USED S&P RATINGS.
INVESTMENTS JUNE 30, 1994 (UNAUDITED)
Showing Percentage of Total Value of Investment in Securities
MUNICIPAL BONDS - 96.4%
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
ALABAMA - 1.5%
Alabama Gen. Oblig. Rfdg. (Cap. Appreciation):
0% 3/1/01 $ 11,000 $ 7,645
0% 9/1/01 7,500 5,072
Alabama Hsg. Fin. Auth. Single Family Mtg. Rev. Series B,
0% 10/1/14 21,875 2,707
15,424
ALASKA - 3.0%
Anchorage Hosp. Rev. Rfdg. (Sisters of Providence Proj.)
Series 1991, 6.75% 10/1/02 2,575 2,739
North Slope Borough (Cap. Appreciation):
Series A:
0% 6/30/02, (MBIA Insured) 20,000 12,850
0% 6/30/03, (MBIA Insured) 10,000 6,075
Series B:
0% 1/1/02, (MBIA Insured) 8,500 5,610
0% 1/1/03, (MBIA Insured) 3,200 1,984
29,258
ARKANSAS - 0.7%
Hot Springs Ind. Dev. Rev. Rfdg. (Willamette Industries, Inc.)
6.65% 12/1/02 7,000 7,385
ARIZONA - 0.2%
Maricopa County School Dist. #28 Rfdg. (Kyrene Elementary)
Series C, 0% 1/1/08, (FGIC Insured) 5,000 2,188
CALIFORNIA - 4.5%
ABAG Fin. Auth. for Nonprofit Corp. Cfts. of Prtn.
(Stanford Univ. Hosp.) 5% 11/1/04 3,100 2,936
California Hsg. Fin. Agcy. Rev. (Home Mtg.) Series 1983 A,
0% 2/1/15 32,404 4,253
California Statewide Commtys. Dev. Auth. Rev. Ctfs. of Prtn.
Rfdg. (Hosp. Triad Healthcare):
5.90% 8/1/01 3,300 3,263
6% 8/1/02 4,145 4,093
Los Angeles County Ctfs. of Prtn. (Multiple Cap. Facs. Prog.)
9.04% 7/1/01 INFL (f) 4,600 4,801
Riverside County Trans. Commission Sales Tax Rev. Ltd. Tax
5.75% 6/1/07, (AMBAC Insured) 3,000 2,963
San Bernardino County Ctfs. of Prtn. (Med. Ctr. Fing. Proj.)
5.25% 8/1/05 4,000 3,690
5.25% 8/1/06 3,000 2,738
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
CALIFORNIA - CONTINUED
Southern California Pub. Pwr. Auth. Pwr. Proj. Rev.:
Series 11, 0% 7/1/15, (Pre-Prefunded to 7/1/00 @ 101) (e) $ 13,820 $
10,158
0% 7/1/15, (Pre-Refunded to 7/1/00 @ 101) (b) (e) 2,000 2,120
West Covina Ctfs. of Prtn. (Queen of the Valley Hosp.)
6.50% 8/15/09 3,925 3,881
44,896
COLORADO - 4.6%
Colorado Health Facs. Auth. Rev. Rfdg. (Rocky Mountain Adventist)
6.25% 2/1/04 26,100 25,513
Colorado Student Oblig. Bond Auth. Student Loan Rev.
Series A, 6.75% 9/1/99 4,150 4,321
Denver City & County Arpt. Rev.:
Series A:
6.875% 11/15/00 1,950 1,928
7.25% 11/15/03 1,000 996
7.50% 11/15/06 4,000 4,045
9.75% 12/1/95 9,300 9,463
46,266
CONNECTICUT - 0.2%
Connecticut Hsg. Fin. Auth. (Hsg. Mtg. Fin. Prog.) Series D,
8.50% 11/15/01 2,000 2,083
DISTRICT OF COLUMBIA - 2.7%
District of Columbia Gen. Oblig. Rfdg. Series B, 0% 6/1/02,
(MBIA Insured) 2,880 1,847
District of Columbia Hosp. Rev. Rfdg. (Medlantic Healthcare
Group - Washington Hosp. Ctr.):
Series A:
6.50% 8/15/96 1,100 1,126
6.75% 8/15/98 2,600 2,694
6.80% 8/15/99 2,600 2,701
7% 8/15/05 5,730 5,923
Series B:
5.80% 8/15/97 4,035 4,030
6% 8/15/98 4,265 4,260
6.25% 8/15/00 4,805 4,817
27,398
FLORIDA - 0.4%
Broward County Rfdg. Series C, 5.50% 1/1/12 2,000 1,850
Florida Division Board Fin. Dept. Gen. Svcs. Rev. (Dept. of
Natural Resources Preservation 2000) Series A,
4.90% 7/1/13, (MBIA Insured) 2,900 2,454
4,304
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
GEORGIA - 0.5%
Floyd County Hosp. Auth. Rev. Anticipation Ctfs. (Floyd
Med. Ctr. Proj.) 5% 7/1/05, (FGIC Insured) $ 2,140 $ 2,011
Monroe County Dev. Auth. Poll. Cont. Rev. Rfdg. (Oglethorpe
Pwr. Scherer) Series A, 6.60% 1/1/07 2,390 2,480
4,491
IDAHO - 0.6%
Idaho Falls Rfdg.:
0% 4/1/04, (FGIC Insured) 4,040 2,318
0% 4/1/05, (FGIC Insured) 7,000 3,754
6,072
ILLINOIS - 2.8%
Illinois Dev. Fin. Auth. Poll. Cont. Rev. Rfdg.
(Commonwealth Edison) 5.30% 1/15/04 8,500 7,884
Illinois Univ. Rev. (Auxiliary Facs. Sys.) 0% 10/1/07,
(MBIA Insured) 7,505 3,330
Lake County Forest Preserve Dist. 0% 12/1/04 5,850 3,181
Metropolitan Pier & Exposition Auth. Dedicated State Tax Rev.
(McCormick Place Expansion Proj.) Series A:
0% 6/15/07, (FGIC Insured) (b) 5,000 4,206
0% 6/15/08, (FGIC Insured) 4,000 1,675
0% 6/15/09, (FGIC Insured) 5,000 1,925
Rolling Meadows Multi-Family Mtg. Rev. Rfdg. (Woodfield
Garden Apts. Proj.) 7.75% 2/1/04, LOC
Banque Paribas 5,000 5,125
South Beloit Ind. Dev. Rev. Rfdg. (Beloit Corp. Proj.)
7.60% 12/1/11 1,000 1,078
28,404
INDIANA - 2.1%
Hammond Poll. Cont. Rev. (Commonwealth Edison Co. Proj.)
9.125% 6/15/10 2,000 2,060
Indiana Employment Dev. Poll. Cont. Rev. (Chrysler Corp. Proj.)
5.70% 10/1/99 5,000 4,981
Indianapolis Arpt. Fac. Rev. Economic Dev. Rfdg.
(Federal Express Corp. Proj.) 6.85% 4/1/17 (c) 7,000 6,781
Marion County Ind. Hosp. Auth. Facs. Rev.:
Rfdg. (Univ. Heights Hosp.) 8.625% 10/1/99,
(AMBAC Insured) 3,950 4,572
(Commty. Hosp. Indianapolis Proj.) 9.25% 5/1/98,
(Escrowed to Maturity) (e) 2,450 2,643
21,037
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
IOWA - 0.5%
Iowa Student Loan Liquidity Corp. Student Loan Rev. Series A,
6.25% 3/1/00 $ 5,080 $ 5,251
KANSAS - 0.5%
Kansas City Util. Sys. Rev. Rfdg. & Impt. 0% 3/1/04,
(AMBAC Insured) 8,750 5,042
KENTUCKY - 0.4%
Kentucky Tpk. Auth. Econ. Dev. Road Rev. Rfdg.
(Revitalization Proj.):
5.50% 7/1/09, (AMBAC Insured) 1,000 949
5.50% 7/1/11, (AMBAC Insured) 2,665 2,485
3,434
LOUISIANA - 3.3%
Bastrop Ind. Dev. Board Poll. Cont. Rev. Rfdg.
(Int'l. Paper Co. Proj.) 6.90% 3/1/07 11,800 12,287
De Soto Parish Poll. Cont. Rev. (Int'l Paper Co. Proj.)
Series A, 5.05% 12/1/02 8,000 7,700
Louisiana Pub. Facs. Auth. Rev. Student Loan Sr.
Series A-1:
6.10% 3/1/00 1,500 1,549
6.10% 9/1/00 3,000 3,075
New Orleans Gen. Oblig. Rfdg. (Cap. Appreciation) 0%
9/1/05, (AMBAC Insured) 16,000 8,300
32,911
MARYLAND - 0.7%
Maryland Dept. of Trans. Rfdg. Series 1993, 6.1397%
12/15/05 INFL (f) 5,250 4,102
Prince George's County Med. Hosp. Rev.
(Dimensions Health Corp.):
7% 7/1/01 1,250 1,323
5% 7/1/05 1,130 1,027
7.20% 7/1/06 305 324
6,776
MASSACHUSETTS - 8.1%
Massachusetts Edl. Loan Auth. Loan Rev. Issue C,
7.40% 6/1/98, LOC Rabobank Nederland 4,045 4,141
Massachusetts Gen. Oblig:
Rfdg. Series A:
6.50% 8/1/04 5,500 5,823
5.50% 2/1/11 4,000 3,705
Series C, 4.95% 8/1/05, (AMBAC Insured) 5,500 5,087
0% 12/1/00 (b) 3,500 3,036
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
MASSACHUSETTS - CONTINUED
Massachusetts Health & Edl. Facs. Auth. Rev.:
Rfdg. (Children's Hosp. Corp.) Series B, 10% 1/1/95 $ 115 $ 118
(Lawrence Gen. Hosp.) Series B, 7.25% 7/1/01 5,715 5,886
(Waltham/Weston Hosp. & Med. Ctr.) Series B, 8% 7/1/02 3,900 4,217
Massachusetts Ind. Fin. Agcy. Ind. Rev. Rfdg. (Beloit Corp. Proj.):
Series A, 7.60% 12/1/11 1,000 1,077
Series B, 6.50% 12/1/96 612 629
(Cap. Appreciation) (Massachusetts Biomedical Research):
Series A-1:
0% 8/1/01 10,800 7,101
0% 8/1/02 5,700 3,505
Series A-2:
0% 8/1/04 10,800 5,751
0% 8/1/05 5,100 2,525
0% 8/1/07 5,800 2,465
Massachusetts Muni. Wholesale Elec. Co. Pwr. Supply Sys. Rev.:
Rfdg.:
Series A, 6.75% 7/1/05 3,610 3,750
Series B, 6.625% 7/1/03 5,665 5,920
Series E:
5.875% 7/1/03, (AMBAC Insured) 2,250 2,287
6% 7/1/04, (AMBAC Insured) 7,320 7,485
Massachusetts Wtr. Poll. Abatement Trust Rev. (Massachusetts
Wtr. Resources Auth. Loan Prog.) Series A, 5.20% 2/1/06 2,100 1,985
Massachusetts Wtr. Resources Auth. Rfdg. Series C, 5.10%
12/1/04 5,000 4,750
81,243
MICHIGAN - 2.4%
Detroit Convention Facs. Rev. Rfdg. (Cobo Hall Expansion Proj.):
5.10% 9/30/04 8,050 7,476
5.25% 9/30/06 11,380 10,427
Michigan Strategic Fund:
Ltd. Oblig. Rev. Rfdg. (Eaton Twp. K-mart Corp. Proj.)
5.90% 9/1/01 750 735
Poll. Cont. Rev. (Chrysler Corp. Proj.) 5.70% 10/1/99 5,000 4,931
23,569
MINNESOTA - 0.1%
Breckenridge Hosp. Facs. Rev. (Franciscan Sisters Healthcare)
Series B1, 8.25% 9/1/97 1,090 1,159
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
MISSOURI - 1.5%
Missouri Health & Edl. Facs. Auth. Health Facs. Rev. Rfdg.:
(Barnes-Jewish Inc. Christian A):
6% 5/15/08 $ 11,525 $ 11,410
5.10% 5/15/09 2,330 2,062
Missouri Hsg. Dev. Commission (Cap. Appreciation)
0% 9/1/25, (FHA Insured) 55,815 1,814
15,286
MULTIPLE STATES - 7.0%
District of Columbia Metro Area Trans. Auth. Gross Rev. Rfdg.:
4.70% 7/1/03, (FGIC Insured) 5,000 4,681
5% 1/1/06, (FGIC Insured) 3,400 3,145
6% 7/1/07, (FGIC Insured) 4,685 4,726
New England Edl. Loan Marketing Corp. Student Loan Rev.:
Rfdg.:
Sr. Issue:
A, 6.50% 9/1/02 35,525 37,079
D, 6.20% 9/1/00 3,000 3,098
D, 6.30% 9/1/02 7,815 8,079
Series G, 5.20% 8/1/02 8,250 8,044
Issue A, 5.80% 3/1/02 1,500 1,508
70,360
NEBRASKA - 0.6%
Nebraska Investment Fin. Auth. Hosp. Rev. (Nebraska
Methodist Health Sys.) 6.85% 3/1/02, (MBIA Insured) 2,000 2,170
Nebraska Pub. Pwr. Dist. Rev. Rfdg. (Pwr. Supply Sys.):
Series B, 5.25% 1/1/13 2,000 1,775
Series C, 5% 1/1/10 2,000 1,758
5,703
NEVADA - 0.6%
Clark County School Dist. Ltd. Tax Series B, 0% 3/1/05,
(FGIC Insured) 6,570 3,499
Reno Hosp. Rev. (St. Mary's Reg'l Med. Ctr.) Series A,
5% 5/15/08, (MBIA Insured) 2,465 2,203
5,702
NEW HAMPSHIRE - 0.1%
New Hampshire Higher Edl. & Health Facs. Auth. Rev.
(Androscoggin Valley Hosp.) Series A, 7.90% 11/1/98,
(GNMA Coll.) 765 776
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
NEW JERSEY - 0.7%
New Jersey Health Care Facs. Fin. Auth. Rfdg.
(Atlantic City Med. Ctr.) Series C:
6.55% 7/1/03 $ 2,200 $ 2,274
6.80% 7/1/05 2,750 2,881
New Jersey Wastewtr. Treatment Trust Loan Rev. Rfdg.
Series A, 0% 9/1/05, (MBIA Insured) 4,310 2,268
7,423
NEW YORK - 8.2%
Huntington Rfdg. 3.30% 4/1/95, (FGIC Insured) 1,375 1,372
Metropolitan Trans. Auth. Svc. Contract Rev. Rfdg.:
Series 7:
(Commuter Facs.):
0% 7/1/09 5,195 1,961
0% 7/1/11 7,590 2,476
(Trans. Facs.):
5.20% 7/1/04 5,280 5,062
0% 7/1/08 6,030 2,495
New York City Gen. Oblig.:
Series B:
7.50% 2/1/04 6,000 6,563
6.75% 10/1/06 7,440 7,710
Series H, 7% 2/1/06 3,000 3,169
Short Rites Series C, 8.444% 8/1/03 INFL (a) (f) 21,825 22,233
Unltd. Tax. Series B, 7.50% 2/1/05 2,620 2,862
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev.
Series F, 5.50% 6/15/11, (AMBAC Insured) 4,000 3,670
New York City Rfdg. Series D, 5.70% 8/15/06 1,055 1,001
New York State Dorm. Auth. Rev.:
(Court Facs. Lease) Series A, 5.30% 5/15/06 3,000 2,756
(New York City Univ. Sys. Consolidated) Series D,
8.75% 7/1/02 2,700 3,220
(New York State Univ. Edl. Facs.):
Rfdg. Series B, 5.25% 5/15/09 1,670 1,464
Series A, 5.20% 5/15/06 3,000 2,741
Series C:
5.10% 5/15/03 3,980 3,751
5.20% 5/15/04 4,185 3,923
New York State Local Gov't. Assistance Corp. Series D,
5.10% 4/1/07 1,500 1,373
New York State Urban Dev. Corp. Rev. (Correctional
Cap. Facs.) Series 4, 5.25% 1/1/07 2,000 1,813
81,615
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
NORTH CAROLINA - 0.7%
North Carolina Eastern Muni. Pwr. Agcy. Pwr. Sys. Rev. Rfdg.
Series C, 5.25% 1/1/04 $ 6,885 $ 6,532
OHIO - 1.6%
Columbus Unltd. Tax Series 1, 5.25% 9/15/11 2,000 1,838
Franklin County Rev. (Online Computer Library Ctr. Proj.)
Series 1991:
6.50% 7/15/98 745 769
6.60% 7/15/99 895 927
6.70% 7/15/00 960 1,000
6.80% 7/15/01 800 838
Series 1993:
5.65% 4/15/01 500 492
5.75% 4/15/02 1,030 1,012
5.90% 4/15/04 500 487
6% 4/15/09 4,500 4,292
Lake County Hosp. Impt. Facs. Rev. (Lake Hosp. Sys. Inc.)
6.875% 8/15/11, (AMBAC Insured) (Escrowed to Maturity) (e) 3,800 4,147
15,802
OKLAHOMA - 2.7%
Grand River Dam Auth. Rev. Rfdg:
8% 6/1/02 2,890 3,324
5.75% 6/1/06 3,935 3,915
5.875% 6/1/07 5,000 4,988
Tulsa Ind. Auth. Hosp. Rev. (Tulsa Reg'l Med. Ctr.):
Series A, 7.625% 6/1/06 12,000 12,675
7% 6/1/06 2,080 2,116
27,018
PENNSYLVANIA - 5.4%
Allegheny County:
Gen. Oblig. Series C-34, 0% 2/15/02 (b) (d) 26,000 23,563
Hosp. Dev. Auth. Rev. (Southside Hosp.)
Series A, 8.50% 6/1/01 4,730 4,943
Allentown Area Hosp. Auth. Rev. (Sacred Heart Hosp.)
7.25% 7/1/96 2,425 2,483
Delaware County Unltd. Tax Rfdg. 0% 11/15/03 5,500 3,169
Northampton County Hosp. Auth. Rev. (Easton Hosp.)
Series B, 6.90% 1/1/02 3,355 3,363
Pennsylvania Pub. School Bldg. Auth. Lease Rev. Series BG,
8.10% 11/1/94 170 171
Philadelphia Untld. Tax Rfdg. Series A,
5.10% 5/15/02, (FGIC Insured) 6,330 6,188
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
PENNSYLVANIA - CONTINUED
Philadelphia Hosp. & Higher Edl. Facs. Auth. Hosp. Rev.
(Temple Univ. Hosp.) Series A:
5.10% 11/15/96 $ 2,245 $ 2,253
5.40% 11/15/97 2,290 2,301
5.75% 11/15/99 2,675 2,692
Philadelphia Wtr. & Wastewtr. 5.50% 6/15/03, (FGIC Insured) 3,300 3,251
54,377
PUERTO RICO - 0.3%
Puerto Rico Commonwealth 5.70% 7/1/08 3,000 2,880
RHODE ISLAND - 0.2%
Rhode Island Student Loan Auth. Student Loan Rev. Rfdg.
Series A, 6.40% 12/1/99 2,340 2,416
SOUTH CAROLINA - 0.2%
Aiken County Hosp. Ind. Rev. Rfdg. (Beloit Corp. Proj.)
7.60% 12/1/11 1,500 1,616
TENNESSEE - 5.0%
Knox County Health, Edl. & Hsg. Facs. Auth. Rev. (Sanders
Alliance Hosp. Facs.) Series C, 7.25% 1/1/10, (MBIA Insured) 2,500 2,766
Knox County Ind. Dev. Board Ind. Rev. Rfdg. (Station 82-4-B)
0% 2/1/16, (Escrowed to Maturity) (e) 5,625 1,160
Metropolitan Gov't. Nashville & Davidson County Wtr. & Swr.
Rev. Rfdg. 0% 1/1/12, (FGIC Insured) (b) (d) 54,645 45,560
49,486
TEXAS - 11.5%
Austin Util. Sys. Rev. Rfdg. Series A, 0% 5/15/02,
(MBIA Insured) 16,130 10,384
Dallas County Rfdg. Unltd. Tax Series A:
0% 8/15/05 7,125 3,758
0% 8/15/06 6,700 3,300
0% 8/15/07 3,605 1,654
Harris County (Cap. Appreciation) Rev. Rfdg.:
Flood Cont. Dist. Rfdg. & Impt. 0% 10/1/07 7,000 3,133
(Toll Road Subordinated Lien):
Series 1991:
0% 8/1/02 8,485 5,409
0% 8/1/03 12,570 7,510
0% 8/1/05 16,275 8,504
0% 8/1/06 13,000 6,321
0% 10/1/01, (MBIA Insured) 11,890 7,996
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
TEXAS - CONTINUED
Houston Wtr. & Swr. Sys. Rev. Rfdg. (Jr. Lien) 0% 12/1/15,
(FGIC Insured) (Pre-Refunded to 12/1/00 @ 103) (b) (e) $ 36,000 $ 35,325
Katy Independent School Dist. Rfdg. Ltd. Tax Series A,
0% 2/15/07, (PSF Guaranteed) 4,600 2,128
Lewisville Independent School Dist. Gen. Oblig. Rfdg.
0% 8/15/08, (PSF Guaranteed) 5,000 2,056
Memorial Villages Wtr. Auth. 7% 9/1/00 2,285 2,285
Northside Independent School Dist. Rfdg. 0% 2/1/05,
(PSF Guaranteed) 6,155 3,301
Round Rock Independent School Dist. Rfdg. Unltd. Tax
0% 2/15/07, (PSF Guaranteed) 7,645 3,545
San Antonio Elec. & Gas Rev. Rfdg. Series B, 0% 2/1/09,
(FGIC Insured) 10,000 4,038
Socorro Independent School Dist. Unltd. Tax Rfdg. 0% 9/1/09,
(PSF Guaranteed) 3,785 1,471
Spring Independent School Dist. Rfdg. Unltd. Tax 0% 2/15/07,
(PSF Guaranteed) 7,420 3,487
115,605
UTAH - 5.7%
Intermountain Pwr. Agcy. Pwr. Supply Rev.:
Rfdg. Series G, 0% 7/1/12, (Pre-Refunded to
1/1/03 @ 101) (b)(e) 17,000 14,450
Series 1985 B, 0% 7/1/11, (Pre-Refunded to
7/1/00 @ 101) (b)(d)(e) 33,470 35,813
Salt Lake County Wtr. Conservancy Dist. Rev. (Cap. Appreciation)
Series A, 0% 10/1/06, (AMBAC Insured) 3,500 1,689
Utah Board of Regents Student Loan Series A, 7.60% 11/1/00,
(AMBAC Insured) 4,900 5,292
57,244
VIRGINIA - 0.0%
Virginia Hsg. Dev. Auth. Residential Mtg. (Single Family Mtg.)
Series 1983 B, 0% 9/1/14 2,705 362
WASHINGTON - 4.3%
Washington Health Care Facs. Auth. Rev. (Empire Health Svcs.
Spokane) 3.25% 11/1/94, (MBIA Insured) 2,000 1,997
Washington Pub. Pwr. Supply Sys. Rev.:
Nuclear Proj. #1 Series A, 7% 7/1/08 3,000 3,184
Nuclear Proj. #2:
Rfdg. Series A, 0% 7/1/06, (MBIA Insured) 12,875 6,148
Series A, 14.375% 7/1/01 2,000 2,785
5% 7/1/09 (MBIA Insured) 5,000 4,406
MUNICIPAL BONDS - CONTINUED
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
WASHINGTON - CONTINUED
Washington Pub. Pwr. Supply Sys. Rev. - continued
Nuclear Proj. #3:
Rfdg. Series B:
0% 7/1/04, (MBIA Insured) $ 5,450 $ 2,997
0% 7/1/05, (MBIA Insured) 10,000 5,125
0% 7/1/07 11,000 4,799
0% 7/1/10 16,000 5,540
0% 7/1/11 9,500 3,052
Series C, 7.50% 7/1/08, (MBIA Insured) 3,000 3,379
43,412
WISCONSIN - 0.3%
Beloit Ind. Dev. Rev. Rfdg. (Beloit Corp. Proj.) 7% 12/1/01 1,000 1,070
Wisconsin Hsg. & Econ. Dev. Auth. Homeownership Rev.
Series A, 7.40% 9/1/07 2,065 2,155
3,225
TOTAL MUNICIPAL BONDS
(Cost $969,569) 965,431
MUNICIPAL NOTES (A) - 3.6%
CALIFORNIA - 1.0%
Riverside County TRAN 4.25% 6/30/95 10,000 10,058
CONNECTICUT - 0.2%
Connecticut Spl. Tax Oblig. Rev. (2nd Lien) (Trans. Infrastructure)
Series 1, 2.85%, LOC Industrial Bank of Japan, VRDN 2,400 2,400
ILLINOIS - 0.6%
Chicago O'Hare Int'l. Arpt. Spl. Facs. Rev. (American Airlines, Inc.)
Series 1984 D, 3.55%, LOC Long-Term Cr.
Bank of Japan, VRDN 5,800 5,800
NEW JERSEY - 0.2%
New Jersey Sport & Exposition Auth. (Contract Bonds)
Series 1992 C, 2.15% 9/01/24 (MBIA Insured) BPA
Societe Generale, VRDN 2,400 2,400
TEXAS - 1.6%
Houston Health Facs. Dev. Corp. Hosp. Rev. (Methodist Hosp. Proj.)
3.30%, BPA Morgan Guaranty, VRDN 15,400 15,400
TOTAL MUNICIPAL NOTES
(Cost $36,062) 36,058
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $1,005,631) $ 1,001,489
FUTURES CONTRACTS
AMOUNTS IN THOUSANDS EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
205 Municipal Bond Index Contracts Sept. 1994 $ 18,200 $ (368)
200 U.S. Treasury Bond Contracts Sept. 1994 20,244 (343)
$ 38,444 $ (711)
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES - 3.8%
SECURITY TYPE ABBREVIATIONS
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) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date.
(c) Security purchased on a delayed delivery basis (see Note 2 of Notes to
Financial Statements).
(d) A portion of the Security was pledged to cover margin requirements for
futures contracts and delayed delivery purchases. At the period end, the
value of securities pledged amounted to $17,465,000.
(e) Security collateralized by an amount sufficient to pay interest and
principal.
(f) Coupon is inversely indexed to a floating interest rate. The price will
be more volatile than the price of a comparable fixed rate security. The
rate shown is the rate at period end.
OTHER INFORMATION
The composition of long-term debt holdings
as a percentage of total value of investment in securities, is as follows
(ratings are unaudited):
MOODY'S RATINGS S&P RATINGS
Aaa, Aa, A 68.3% AAA, AA, A 69.0%
Baa 18.6% BBB 14.8%
Ba 0.0% BB 1.6%
B 0.0% B 0.0%
Caa 0.0% CCC 0.0%
Ca, C 0.0% CC, C 0.0%
D 0.0%
The percentage not rated by either S&P or Moody's amounted to 2.0%.
The distribution of municipal securities by revenue source, as a percentage
of total value of investment in securities, is as follows:
General Obligation 24.0%
Health Care 18.6
Electric Revenue 10.7
Escrowed/Pre-Refunded 10.6
Others (individually less than 10%) 36.1
TOTAL 100.0%
INCOME TAX INFORMATION
At June 30, 1994, the aggregate cost of investment securities for income
tax purposes was $1,005,631,000. Net unrealized depreciation aggregated
$4,142,000, of which $23,052,000 related to appreciated investment
securities and $27,194,000 related to depreciated investment securities.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS (EXCEPT PER-SHARE AMOUNTS) JUNE 30, 1994 (UNAUDITED)
ASSETS
Investment in securities, at value (cost $1,005,631) $ 1,001,489
(Note 1) - See accompanying schedule
Receivable for investments sold 2,902
Regular delivery
Delayed delivery (Note 2) 8,155
Cash 428
Interest receivable 11,054
TOTAL ASSETS 1,024,028
LIABILITIES
Payable for investments purchased $ 10,770
Regular delivery
Delayed delivery (Note 2) 14,085
Payable for fund shares redeemed 788
Dividends payable 1,093
Accrued management fee 337
Payable for daily variation on futures contracts 423
Other payables and accrued expenses 139
TOTAL LIABILITIES 27,635
NET ASSETS $ 996,393
Net Assets consist of (Note 1):
Paid in capital $ 1,005,138
Accumulated undistributed net realized gain (loss) on (3,892)
investments
Net unrealized appreciation (depreciation) on (4,853)
investments
NET ASSETS, for 107,200 shares outstanding $ 996,393
NET ASSET VALUE, offering price and redemption price per $9.29
share ($996,393 (divided by) 107,200 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED JUNE 30, 1994 (UNAUDITED)
INTEREST INCOME $ 31,914
EXPENSES
Management fee (Note 4) $ 2,145
Transfer agent, accounting and custodian fees and 752
expenses (Note 4)
Non-interested trustees' compensation 3
Registration fees 34
Audit 20
Legal 2
Miscellaneous 3
TOTAL EXPENSES 2,959
NET INTEREST INCOME 28,955
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
(NOTES 1 AND 3)
Net realized gain (loss) on:
Investment securities 1,782
Futures contracts 1,208 2,990
Change in net unrealized appreciation (depreciation) on:
Investment securities (81,368)
Futures contracts (729) (82,097)
NET GAIN (LOSS) (79,107)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING $ (50,152)
FROM OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31,
1994 1993
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations $ 28,955 $ 60,952
Net interest income
Net realized gain (loss) 2,990 35,245
Change in net unrealized appreciation (depreciation) (82,097) 37,853
NET INCREASE (DECREASE) IN NET ASSETS RESULTING (50,152) 134,050
FROM OPERATIONS
Distributions to shareholders: (28,955) (60,952)
From net interest income
From net realized gain (2,438) (26,367)
In excess of net realized gain - (1,842)
TOTAL DISTRIBUTIONS (31,393) (89,161)
Share transactions 277,890 760,870
Net proceeds from sales of shares
Reinvestment of distributions 23,845 69,586
Cost of shares redeemed (423,169) (651,877)
Net increase (decrease) in net assets resulting from (121,434) 178,579
share transactions
TOTAL INCREASE (DECREASE) IN NET ASSETS (202,979) 223,468
NET ASSETS
Beginning of period 1,199,372 975,904
End of period $ 996,393 $ 1,199,372
OTHER INFORMATION
Shares
Sold 28,962 76,683
Issued in reinvestment of distributions 2,492 6,988
Redeemed (44,302) (65,305)
Net increase (decrease) (12,848) 18,366
</TABLE>
FINANCIAL HIGHLIGHTS
SIX MONTHS YEARS ENDED DECEMBER 31,
ENDED
JUNE 30, 1994
(UNAUDITED) 1993 1992 1991 1990 1989
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, $ 9.990 $ 9.600 $ 9.520 $ 9.270 $ 9.310 $ 9.230
beginning of period
Income from .254 .516 .573 .603 .615 .617
Investment
Operations
Net interest income
Net realized and (.680) .630 .180 .400 .010 .080
unrealized gain
(loss)
Total from (.426) 1.146 .753 1.003 .625 .697
investment
operations
Less Distributions (.254) (.516) (.573) (.603) (.615) (.617)
From net interest
income
From net realized (.020) (.220) (.100) (.150) (.050) -
gain on
investments
In excess of net - (.020) - - - -
realized gain on
investments
Total distributions (.274) (.756) (.673) (.753) (.665) (.617)
Net asset value, end $ 9.290 $ 9.990 $ 9.600 $ 9.520 $ 9.270 $ 9.310
of period
TOTAL RETURNB (4.31)% 12.24% 8.17% 11.19% 6.97% 7.83%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of $ 996 $ 1,199 $ 976 $ 696 $ 468 $ 442
period (in millions)
Ratio of expenses to .54%A .57% .64% .68% .67% .66%
average net assets
Ratio of expenses to .54%A .57% .64% .68% .67% .68%
average net assets
before expense
reductions
Ratio of net interest 5.31%A 5.19% 5.94% 6.41% 6.63% 6.70%
income to average
net assets
Portfolio turnover rate 45%A 111% 50% 42% 72% 55%
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR LESS THAN ONE YEAR ARE NOT ANNUALIZED.
NOTES TO FINANCIAL STATEMENTS
For the period ended June 30, 1994 (Unaudited)
1. SIGNIFICANT ACCOUNTING
POLICIES.
Fidelity Limited Term Municipals (the fund) is a fund of Fidelity School
Street Trust (the trust) and is authorized to issue an unlimited number of
shares. The trust is registered under the Investment Company Act of 1940,
as amended (the 1940 Act), as an open-end management investment company
organized as a Massachusetts business trust. The following summarizes the
significant accounting policies of the fund:
SECURITY VALUATION. Securities are valued based upon a computerized matrix
system and/or appraisals by a pricing service, both of which consider
market transactions and dealer-supplied valuations. Short-term securities
maturing within sixty days are valued either at amortized cost or original
cost plus accrued interest, both of which approximate current value.
Securities for which quotations are not readily available through the
pricing service are valued at their fair value as determined in good faith
under consistently applied procedures under the general supervision of the
Board of Trustees.
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 all of its taxable income for its fiscal
year. The schedule of investments includes information regarding income
taxes under the caption "Income Tax Information."
INTEREST INCOME. Interest income, which includes amortization of premium
and accretion of original issue 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. Distributions to shareholders from
realized capital gains on investments, if any, are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
futures and options transactions and losses deferred due to wash sales. The
fund also utilized earnings and profits distributed to shareholders on
redemption of shares as a part of the dividends paid deduction for income
tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital. Any
taxable gain remaining at fiscal year end is distributed in the following
year.
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. The 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 fund
identifies securities as segregated in its custodial records with a value
at least equal to the amount of the purchase commitment.
FUTURES CONTRACTS AND OPTIONS. The fund may invest in futures contracts and
write options. These investments involve to varying degrees, elements of
market risk and risks in excess of the amount recognized in the Statement
of Assets and Liabilities. The face or contract amounts reflect the extent
of the involvement the fund has in the particular classes of instruments.
Risks may be caused by an imperfect correlation between movements in the
price of the instruments and the price of the underlying securities and
interest rates. Risks also may arise if there is an illiquid secondary
market for the instruments, or due to the inability of counterparties to
perform.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. Options traded
on an exchange are valued using the last sale price or, in the absence of a
sale, the last offering price. Options traded over-the-counter are valued
using dealer-supplied valuations.
3. PURCHASES AND SALES OF
INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $236,529,000 and $393,871,000, respectively.
The market value of futures contracts opened and closed amounted to
$297,594,000 and $265,846,000, respectively.
4. FEES AND OTHER
TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, Fidelity Management &
Research Company (FMR) receives a monthly fee computed daily and paid
monthly, based on the fund's gross income at the rate of 5% of gross income
and .15% of average net assets. Gross income includes interest accrued less
amortization of premium excluding accretion of discount. For the period,
the management fee was equivalent to an annualized rate of .39% of average
net asset.
The Board of Trustees approved a reduction in the management fee from .15%
to .10% of average net assets which FMR voluntarily implemented on July 1,
1993.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plan (the Plan), and in accordance with Rule 12b-1 of the 1940 Act, FMR or
the fund's distributor, Fidelity Distributors Corporation (FDC), an
affiliate of FMR, may use their resources to pay administrative and
promotional expenses related to the sale of the fund's shares. Subject to
the approval of the Board of Trustees,
4. FEES AND OTHER
TRANSACTIONS WITH AFFILIATES - CONTINUED
DISTRIBUTION AND SERVICE PLAN -
CONTINUED
the Plan also authorizes payments to third parties that assist in the sale
of the fund's shares or render shareholder support services. FMR or FDC has
informed the fund that payments made to third parties under the Plan
amounted to $52,000 for the period.
TRANSFER AGENT AND ACCOUNTING FEES. United Missouri Bank, N.A. (the Bank)
is the custodian and transfer and shareholder servicing agent for the fund.
The Bank has entered into a sub-contract with Fidelity Service Co. (FSC),
an affiliate of FMR, under which FSC performs the activities associated
with the fund's transfer and shareholder servicing agent and accounting
functions. The fund pays transfer agent fees based on
the type, size, number of accounts and number of transactions made by
shareholders. FSC pays for typesetting, printing and mailing of all
shareholder reports, except proxy statements. 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 transfer agent and accounting fees
amounting to $571,000 and $177,000, respectively.
TO CALL FIDELITY
FOR FUND INFORMATION AND QUOTES
The Fidelity Telephone Connection offers you special automated telephone
services for quotes and balances. The services are easy to use,
confidential and quick. All you need is a Touch Tone telephone.
YOUR PERSONAL IDENTIFICATION NUMBER
(PIN)
The first time you call one of our automated telephone services, we'll ask
you
to set up your Personal Identification
Number (PIN). The PIN assures that
only you have automated telephone
access to your account information.
Please have your Customer Number
(T-account #) handy when you call --
you'll need it to establish your PIN. If
you would ever like to change your PIN, just choose the "Change your
Personal
Identification Number" option when
you call. If you forget your PIN, please
call a Fidelity representative at 1-800-
544-6666 for assistance.
(PHONE_GRAPHIC)(PHONE_GRAPHIC)MUTUAL FUND QUOTES*
1-800-544-8544
Just make a selection from this record-ed menu:
PRESS
For quotes on funds you own.
1.
For an individual fund quote.
2.
For the ten most frequently
requested Fidelity fund quotes.
3.
For quotes on Fidelity Select
Portfolios(registered trademark).
4.
To change your Personal
Identification Number (PIN).
5.
To speak with a Fidelity
representative.
6.
(PHONE_GRAPHIC)(PHONE_GRAPHIC)MUTUAL FUND ACCOUNT
BALANCES 1-800-544-7544
Just make a selection from this record-
ed menu:
PRESS
For balances on funds you own.
1.
For your most recent fund activity
(purchases, redemptions, and
dividends).
2.
To change your Personal
Identification Number (PIN).
3.
To speak with a Fidelity
representative.
4.
* WHEN YOU CALL THE QUOTES LINE, PLEASE REMEMBER THAT A FUND'S YIELD AND
RETURN WILL
VARY AND, EXCEPT FOR MONEY MARKET FUNDS, SHARE PRICE WILL ALSO VARY. THIS
MEANS THAT
YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. THERE IS NO
ASSURANCE THAT
MONEY MARKET FUNDS WILL BE ABLE TO MAINTAIN A STABLE $1 SHARE PRICE; AN
INVESTMENT IN
A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE U.S. GOVERNMENT.
TOTAL
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS
AND CAPITAL GAINS, AND THE EFFECTS OF ANY SALES CHARGES. FOR MORE
INFORMATION ON ANY
FIDELITY FUND INCLUDING MANAGEMENT FEES AND CHARGES, CALL 1-800-544-8888
FOR A FREE
PROSPECTUS. READ IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
TO WRITE FIDELITY
Please locate the address that is closest to you. We'll give your
correspondence immediate attention and send you written confirmation upon
completion of your request. Please send ALL correspondence about retirement
accounts to Dallas.
(LETTER_GRAPHIC)MAKING CHANGES
TO YOUR ACCOUNT
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002
(LETTER_GRAPHIC)FOR NON-RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
Additional Payments
P.O. Box 2656
Boston, MA 02293-0656
Fidelity Investments
Additional Payments
P.O. Box 620024
Dallas, TX 75262-0024
Fidelity Investments
Additional Payments
P.O. Box 31455
Salt Lake City, UT 84131-0455
OVERNIGHT EXPRESS
Fidelity Investments
Additional Payments
World Trade Center
164 Northern Avenue
Boston, MA 02210
SELLING SHARES
Fidelity Investments
P.O. Box 193
Boston, MA 02103-0878
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
Fidelity Investments
P.O. Box 30281
Salt Lake City, UT 84130-0281
OVERNIGHT EXPRESS
Fidelity Investments
Attn: Redemptions
World Trade Center
164 Northern Avenue
Boston, MA 02210
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0001
(LETTER_GRAPHIC)FOR RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
P.O. Box 620024
Dallas, TX 75262-0024
SELLING SHARES
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, President
J. Gary Burkhead, Senior Vice President
David Murphy, Vice President
Thomas J. Steffanci, Vice President
Gary L. French, Treasurer
John H. Costello, Assistant Treasurer
Leonard M. Rush, Assistant Treasurer
Arthur S. Loring, Secretary
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 *
Gerald C. McDonough *
Thomas R. Williams *
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER
SERVICING AGENT
Fidelity Service Co.
Boston, MA
CUSTODIAN
United Missouri Bank, N.A.
Kansas City, MO
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
FIDELITY TAX-FREE BOND FUNDS
Aggressive Tax-Free
California Tax-Free High Yield
California Tax-Free Insured
High Yield Tax-Free
Insured Tax-Free
Limited Term Municipals
Massachusetts Tax-Free High Yield
Michigan Tax-Free High Yield
Minnesota Tax-Free
Municipal Bond
New York Tax-Free High Yield
New York Tax-Free Insured
Ohio Tax-Free High Yield
SpartanAggressive Municipal
Spartan California Municipal High Yield
Spartan Connecticut Municipal High Yield
Spartan Florida Municipal Income
Spartan Intermediate Municipal
Spartan Maryland Municipal Income
Spartan Municipal Income
Spartan New Jersey Municipal High Yield
Spartan New York Municipal High Yield
Spartan Pennsylvania Municipal High Yield
Spartan Short-Intermediate Municipal
THE FIDELITY TELEPHONE CONNECTION
MUTUAL FUND 24-HOUR SERVICE
Account Balances 1-800-544-7544
Exchanges/Redemptions 1-800-544-7777
Mutual Fund Quotes 1-800-544-8544
Account Assistance 1-800-544-6666
Product Information 1-800-544-8888
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
* INDEPENDENT TRUSTEES
AUTOMATED LINES FOR QUICKEST SERVICE
