(registered trademark)
CAPITAL
RESERVES
PORTFOLIOS
ANNUAL REPORT
JULY 31, 1996
CAPR-ANN-0996
17515
CHECK PAGE NUMBERS !!!
CONTENTS
SCHEDULES OF INVESTMENTS & FINANCIAL STATEMENTS
CAPITAL RESERVES PORTFOLIOS:
MONEY MARKET PORTFOLIO 3
U.S. GOVERNMENT PORTFOLIO 11
MUNICIPAL MONEY MARKET PORTFOLIO 16
NOTES TO THE FINANCIAL STATEMENTS 26
REPORTS OF INDEPENDENT ACCOUNTANTS 29
To reduce expenses and demonstrate respect for our environment, we have
initiated a project through which we will begin eliminating duplicate
copies of most financial reports and prospectuses to most households, even
if they have more than one account in the fund. If additional copies of
financial reports, prospectuses or historical account information are
needed, please call 1-800-544-6666.
FUND GOALS:
MONEY MARKET PORTFOLIO AND U.S. GOVERNMENT PORTFOLIO EACH SEEK TO OBTAIN AS
HIGH A LEVEL OF CURRENT INCOME AS IS CONSISTENT WITH THE PRESERVATION OF
PRINCIPAL AND LIQUIDITY BY INVESTING IN HIGH-QUALITY, SHORT-TERM MONEY
MARKET SECURITIES. MONEY MARKET PORTFOLIO INVESTS IN HIGH-QUALITY U.S.
DOLLAR DENOMINATED SECURITIES OF DOMESTIC AND FOREIGN ISSUERS. U.S.
GOVERNMENT PORTFOLIO INVESTS ONLY IN OBLIGATIONS ISSUED OR GUARANTEED AS TO
PRINCIPAL AND INTEREST BY THE U.S. GOVERNMENT.
MUNICIPAL MONEY MARKET PORTFOLIO SEEKS TO OBTAIN AS HIGH A LEVEL OF CURRENT
INCOME, EXEMPT FROM FEDERAL INCOME TAXES, AS IS CONSISTENT WITH THE
PRESERVATION OF CAPITAL AND LIQUIDITY BY INVESTING IN HIGH-QUALITY,
SHORT-TERM MUNICIPAL SECURITIES.
INVESTMENTS IN THE FUNDS ARE NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT, AND THERE CAN BE NO ASSURANCE THAT
THE FUNDS WILL MAINTAIN A STABLE $1.00 SHARE PRICE.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUNDS. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE
INVESTORS IN THE FUNDS UNLESS PRECEDED OR ACCOMPANIED BY
AN EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY,
ANY DEPOSITORY INSTITUTION.
SHARES ARE NOT INSURED BY THE FDIC, FEDERAL RESERVE BOARD OR ANY OTHER
AGENCY, AND ARE SUBJECT TO
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUNDS NOR NATIONAL FINANCIAL SERVICES CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND EXPENSES,
CALL THE APPROPRIATE NUMBER LISTED BELOW. READ
THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
RETIREMENT PLAN LEVEL ACCOUNTS
CORPORATE CLIENTS 1-800-962-1375
"NOT FOR PROFIT" CLIENTS 1-800-343-0860
FINANCIAL AND OTHER INSTITUTIONS
NATIONWIDE 1-800-843-3001
CAPITAL RESERVES: MONEY MARKET PORTFOLIO
INVESTMENTS JULY 31, 1996
Showing Percentage of Total Value of Investments
BANKERS' ACCEPTANCES - 2.4%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
DOMESTIC BANKERS' ACCEPTANCES
Chase Manhattan Bank, NA
8/12/96 5.46% $ 3,861,716 $ 3,855,332
10/22/96 5.50 1,130,234 1,116,461
10/30/96 5.52 6,250,000 6,166,016
11/15/96 5.48 9,821,429 9,667,003
U.S. Bank of Washington
9/16/96 5.44 9,000,000 8,938,130
TOTAL BANKERS' ACCEPTANCES 29,742,942
CERTIFICATES OF DEPOSIT - 27.9%
DOMESTIC CERTIFICATES OF DEPOSIT - 1.6%
Chase Manhattan Bank, NA
1/8/97 5.85 10,000,000 10,000,000
U.S. National Bank of Oregon
8/19/96 5.34 10,000,000 10,000,038
20,000,038
CHICAGO BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 0.5%
ABN-AMRO Bank
12/2/96 5.51 6,000,000 6,000,000
NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 14.2%
Bank of Tokyo-Mitsubishi Ltd.
10/15/96 5.67 18,000,000 18,000,000
Banque Nationale de Paris
8/5/96 5.42 10,000,000 10,000,000
10/9/96 5.60 15,000,000 15,000,567
Bayerische Hypotheken-und Weschel
10/17/96 5.55 10,000,000 10,000,316
Bayerische Landesbank Girozentrale
4/22/97 5.85 8,000,000 8,000,000
Canadian Imperial Bank of Commerce
12/5/96 5.63 3,000,000 3,000,000
Deutsche Bank, Germany
8/1/96 5.19 10,000,000 10,000,000
12/23/96 5.52 10,000,000 10,000,000
Dresdner Bank, A.G., Germany
12/16/96 5.62 13,000,000 13,000,000
Landesbank Hessen - Thuringen
9/9/96 5.40 5,000,000 5,000,000
National Westminster Bank PLC
9/9/96 5.40 20,000,000 20,000,000
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - CONTINUED
Sanwa Bank, Ltd.
9/3/96 5.49% $ 5,000,000 $ 5,000,000
10/31/96 5.68 3,000,000 3,000,000
11/4/96 5.69 7,000,000 7,000,000
Westdeutsche Landesbank
8/12/96 5.40 25,000,000 25,000,000
8/22/96 5.32 12,000,000 12,000,000
8/26/96 5.08 6,000,000 6,000,000
180,000,883
LONDON BRANCH, EURODOLLAR, FOREIGN BANKS - 11.6%
ABN-AMRO Bank
9/30/96 5.45 5,000,000 4,999,428
11/6/96 5.52 5,000,000 4,998,880
Abbey National, Treasury Services
8/30/96 5.42 4,000,000 3,999,759
12/3/96 5.52 8,000,000 8,000,000
Banque Nationale de Paris
8/8/96 5.00 4,000,000 4,000,026
11/8/96 5.54 20,000,000 19,996,579
Bayerische Hypotheken-und Weschel
9/13/96 5.42 10,000,000 9,999,329
9/17/96 5.40 4,000,000 3,999,920
9/23/96 5.41 10,000,000 9,999,679
11/27/96 5.50 4,000,000 3,999,745
Bayerische Landesbank Girozentrale
10/31/96 5.57 5,000,000 4,999,240
Bayerische Vereinsbank A.G.
9/10/96 5.40 4,000,000 4,000,044
9/30/96 5.40 15,000,000 14,999,567
12/3/96 5.51 10,000,000 10,000,335
Deutsche Bank, Germany
9/4/96 5.38 10,000,000 10,000,000
9/9/96 5.41 10,000,000 10,000,000
National Westminster Bank PLC
10/21/96 5.53 10,000,000 10,000,222
Rabobank Nederland, N.V.
12/3/96 5.50 3,000,000 3,000,101
Societe Generale, France
12/18/96 5.63 5,000,000 5,000,734
145,993,588
TOTAL CERTIFICATES OF DEPOSIT 351,994,509
COMMERCIAL PAPER - 54.8%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
A.H. Robins Company, Inc.
8/14/96 5.48% $ 2,000,000 $ 1,996,078
American Express Credit Corp.
8/2/96 5.17 3,000,000 2,999,578
American Home Products
8/12/96 5.44 4,300,000 4,292,918
8/13/96 5.45 2,000,000 1,996,400
Asset Securitization Coop. Corp.
8/6/96 5.42 5,000,000 4,996,271
8/19/96 5.44 2,000,000 1,994,600
Associates Corp. of North America
8/12/96 5.44 10,000,000 9,983,500
8/19/96 5.45 5,000,000 4,986,500
8/22/96 5.37 3,000,000 2,990,725
8/27/96 5.46 10,000,000 9,960,928
8/28/96 5.36 6,000,000 5,976,015
10/22/96 5.52 5,000,000 4,938,044
BBV Finance (Delaware), Inc.
8/7/96 5.40 5,000,000 4,995,563
BHF Finance (Delaware), Inc.
9/3/96 5.45 10,000,000 9,950,729
Bank of New York Company, Inc.
8/26/96 5.45 3,000,000 2,988,750
Bear Stearns Cos., Inc.
8/8/96 5.44 2,000,000 1,997,900
8/12/96 5.37 20,000,000 19,967,611
8/12/96 5.43 5,000,000 4,991,781
Beneficial Corp.
8/19/96 5.37 3,000,000 2,992,050
10/3/96 5.51 8,000,000 7,923,560
CIESCO, L.P.
8/14/96 5.36 5,000,000 4,990,340
CIT Group Holdings, Inc.
8/12/96 5.38 2,000,000 1,996,755
8/12/96 5.44 9,000,000 8,985,150
Caisse d' Amortissement de la Dette Sociale
9/25/96 5.50 20,000,000 19,834,389
9/27/96 5.50 5,000,000 4,957,092
Caisse des Depots et Consignations
8/2/96 5.44 1,000,000 999,849
Cheltenham & Gloucester Building Society
8/9/96 5.38 1,500,000 1,498,227
8/9/96 5.44 3,000,000 2,996,400
9/9/96 5.41 20,000,000 19,884,733
Chrysler Financial Corporation
8/8/96 5.48 2,000,000 1,997,881
Citibank Credit Card Master Trust I (Dakota Certificate Program)
8/20/96 5.45 10,000,000 9,971,500
9/9/96 5.52 4,500,000 4,473,334
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Commerzbank U.S. Finance, Inc.
8/14/96 5.40% $ 3,000,000 $ 2,994,215
Commonwealth Bank of Australia
10/1/96 5.60 4,000,000 3,962,519
Compagnie Bancaire
10/31/96 5.58 10,000,000 9,860,972
CoreStates Capital Corp. (a)
8/5/96 5.50 10,000,000 10,000,000
8/8/96 5.51 5,000,000 5,000,000
Corporate Asset Funding Co., Inc.
8/5/96 5.40 3,000,000 2,998,225
Deere (John) Capital Corp.
8/1/96 5.42 4,000,000 4,000,000
Dresdner U.S. Finance Inc.
8/26/96 5.13 4,000,000 3,986,111
Eiger Capital Corp.
8/14/96 5.40 5,000,000 4,990,358
8/26/96 5.37 4,000,000 3,985,139
Electricite de France
9/12/96 5.38 10,300,000 10,236,432
Electronic Data Systems
8/12/96 5.46 10,000,000 9,983,439
8/29/96 5.40 5,000,000 4,979,272
Enterprise Funding Corp.
8/2/96 5.51 1,883,000 1,882,713
8/15/96 5.40 6,521,000 6,507,509
8/23/96 5.43 2,000,000 1,993,449
8/29/96 5.37 14,003,000 13,944,732
Ford Motor Credit Corp.
10/22/96 5.52 10,000,000 9,876,089
GTE Corp.
8/9/96 5.50 5,000,000 4,993,922
8/15/96 5.44 5,000,000 4,989,461
General Electric Capital Corp.
8/14/96 5.39 25,000,000 24,952,153
10/21/96 5.44 10,000,000 9,880,525
General Electric Capital Services
9/19/96 5.40 15,000,000 14,891,792
General Electric Corp.
8/9/96 5.37 10,000,000 9,988,111
8/13/96 5.38 3,000,000 2,994,650
General Motors Acceptance Corp.
8/19/96 5.41 5,000,000 4,986,550
8/19/96 5.43 5,000,000 4,986,600
8/20/96 5.50 19,000,000 18,945,449
11/26/96 5.68 4,000,000 3,928,110
12/4/96 5.70 3,000,000 2,942,344
Glaxo Wellcome PLC
8/22/96 5.36 3,000,000 2,990,743
COMMERCIAL PAPER - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Goldman Sachs Group, L.P. (The)
8/19/96 5.40% $ 6,000,000 $ 5,983,980
8/20/96 5.40 7,000,000 6,980,419
8/21/96 5.40 3,000,000 2,991,167
Government of Canada
9/6/96 5.15 15,000,000 14,924,700
H.J. Heinz Co.
8/26/96 5.47 3,000,000 2,988,646
Household Finance Corp.
8/9/96 5.37 3,000,000 2,996,467
Lucent Technologies, Inc.
8/22/96 5.34 7,000,000 6,978,277
MCI Communications Corp.
8/23/96 5.35 10,000,000 9,967,489
8/26/96 5.37 15,000,000 14,944,271
Merrill Lynch & Co., Inc.
9/9/96 5.50 20,000,000 19,882,025
Morgan Stanley Group, Inc.
8/12/96 5.43 20,000,000 19,967,000
National Australia Funding, Inc.
8/6/96 5.44 3,000,000 2,997,750
9/3/96 5.13 9,000,000 8,958,750
1/27/97 5.78 5,000,000 4,860,405
National Rural Util. Coop. Fin. Corp.
8/5/96 5.43 1,060,000 1,059,364
8/8/96 5.44 3,200,000 3,196,640
Nationwide Building Society
9/6/96 5.50 2,000,000 1,989,120
New Center Asset Trust
8/5/96 5.40 3,000,000 2,998,223
8/12/96 5.43 10,000,000 9,983,653
8/19/96 5.41 4,000,000 3,989,300
11/26/96 5.64 10,000,000 9,820,925
12/2/96 5.63 3,000,000 2,943,625
New England Power Company
8/1/96 5.45 5,900,000 5,900,000
8/2/96 5.45 6,400,000 6,399,036
PHH Corp. (a)
8/21/96 5.45 3,000,000 2,999,936
Preferred Receivables Funding Corp.
8/20/96 5.34 15,000,000 14,957,883
8/22/96 5.34 3,850,000 3,838,052
8/26/96 5.37 18,725,000 18,655,431
Sears Roebuck Acceptance Corp.
8/13/96 5.44 4,000,000 3,992,807
8/14/96 5.44 3,000,000 2,994,155
10/7/96 5.51 3,000,000 2,969,571
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Sherwood Medical Company
8/19/96 5.45% $ 3,000,000 $ 2,991,900
8/20/96 5.41 3,000,000 2,991,529
Textron, Inc.
8/5/96 5.58 1,000,000 999,383
8/15/96 5.55 3,000,000 2,993,560
8/26/96 5.54 1,000,000 996,167
Travelers/AETNA Property & Casualty Corp.
8/15/96 5.39 2,000,000 1,995,823
Unifunding, Inc.
9/3/96 5.44 4,000,000 3,980,328
WCP Funding, Inc.
8/19/96 5.40 3,000,000 2,991,945
Westpac Capital Corp.
8/5/96 5.06 15,000,000 14,991,783
10/9/96 5.50 15,000,000 14,846,188
TOTAL COMMERCIAL PAPER 692,044,408
FEDERAL AGENCIES - 0.8%
FEDERAL NATIONAL MORTGAGE ASSOC. - DISCOUNT NOTES - 0.8%
2/3/97 5.62 10,000,000 9,717,900
BANK NOTES - 3.2%
Bank of America National Trust & Savings Assoc. (a)
8/1/96 5.46 5,000,000 4,999,738
Comerica Bank-Detroit (a)
9/1/96 5.45 5,000,000 4,999,668
First National Bank of Chicago
9/5/96 5.41 15,000,000 15,000,000
First Union National Bank of North Carolina
8/20/96 5.37 10,000,000 10,000,000
Key Bank of New York (a)
8/1/96 5.42 6,000,000 5,995,938
TOTAL BANK NOTES 40,995,344
MASTER NOTES (A) - 3.0%
Goldman Sachs Group, L.P. (The)
8/14/96 5.50 13,000,000 13,000,000
J.P. Morgan Securities
8/7/96 5.52 10,000,000 10,000,000
Norwest Corp.
8/1/96 5.45 8,000,000 8,000,000
8/1/96 5.47 7,000,000 7,000,000
TOTAL MASTER NOTES 38,000,000
MEDIUM-TERM NOTES - 3.5%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Abbey National, Treasury Services (a)(b)
9/9/96 5.57% $ 10,000,000 $ 10,000,000
General Electric Capital Corp. (a)
8/23/96 5.43 5,000,000 5,000,121
General Motors Acceptance Corp. (a)
8/1/96 5.48 6,000,000 6,000,000
10/23/96 5.67 3,000,000 3,003,324
2/13/97 5.44 3,000,000 2,999,901
NationsBank Corp.
8/15/96 5.50 10,000,000 9,996,506
Norwest Corp. (a)
9/10/96 5.61 7,000,000 7,000,000
TOTAL MEDIUM-TERM NOTES 43,999,852
SHORT-TERM NOTES (A)(B) - 1.0%
SMM Trust (1995-B)
8/2/96 5.55 3,000,000 3,000,000
SMM Trust (1996-I)
8/29/96 5.49 10,000,000 10,000,000
TOTAL SHORT-TERM NOTES 13,000,000
TIME DEPOSITS - 3.0%
Bank of Tokyo - Mitsubishi Ltd.
8/12/96 5.53 8,000,000 8,000,000
Canadian Imperial Bank of Commerce
8/1/96 5.75 30,000,000 30,000,000
TOTAL TIME DEPOSITS 38,000,000
REPURCHASE AGREEMENTS - 0.4%
MATURITY
AMOUNT
In a joint trading account
(U.S. Treasury Obligations)
dated 7/31/96 due 8/1/96:
At 5.66% $ 4,594,722 4,594,000
TOTAL INVESTMENTS - 100% $ 1,262,088,955
Total Cost for Income Tax Purposes $ 1,262,088,955
LEGEND
1. The coupon rate shown on floating or adjustable rate securities
represents the rate at period end. The due dates on these types of
securities reflects the next interest rate reset date or, when applicable,
the final maturity date.
2. Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $23,000,000 or 1.9% of net
assets.
INCOME TAX INFORMATION
At July 31, 1996, the fund had a capital loss carryforward of approximately
$79,000 which will expire on July 31, 2002.
A total of 0.35% 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.
CAPITAL RESERVES: MONEY MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JULY 31, 1996
3.ASSETS 4. 5.
6.Investment in securities, at value (including repurchase agreements of $4,594,000) - 7. $ 1,262,088,955
See accompanying schedule
8.Cash 9. 5,391,917
10.Interest receivable 11. 3,959,748
12. 13.TOTAL ASSETS 14. 1,271,440,620
15.LIABILITIES 16. 17.
18.Payable for investments purchased $ 39,644,324 19.
20.Distributions payable 161,741 21.
22.Accrued management fee 331,620 23.
24.Other payables and accrued expenses 755,580 25.
26. 27.TOTAL LIABILITIES 28. 40,893,265
29.30.NET ASSETS 31. $ 1,230,547,355
32.Net Assets consist of: 33. 34.
35.Paid in capital 36. $ 1,230,613,719
37.Accumulated net realized gain (loss) on investments 38. (66,364)
39.40.NET ASSETS, for 1,230,613,719 shares outstanding 41. $ 1,230,547,355
42.43.NET ASSET VALUE, offering price and redemption price per share 44. $1.00
($1,230,547,355 (divided by) 1,230,613,719 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JULY 31, 1996
45.46.INTEREST INCOME 47. $ 62,385,363
48.EXPENSES 49. 50.
51.Management fee $ 5,493,305 52.
53.Transfer agent fees 2,893,114 54.
55.Distribution fees 3,849,391 56.
57.Accounting fees and expenses 132,892 58.
59.Non-interested trustees' compensation 4,948 60.
61.Custodian fees and expenses 45,436 62.
63.Registration fees 317,278 64.
65.Audit 29,401 66.
67.Legal 7,619 68.
69.Miscellaneous 5,455 70.
71. Total expenses before reductions 12,778,839 72.
73. Expense reductions (1,902,579) 10,876,260
74.75.NET INTEREST INCOME 76. 51,509,103
77.78.NET REALIZED GAIN (LOSS) ON INVESTMENTS 79. 52,325
80.81.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 82. $ 51,561,428
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JULY 31, JULY 31,
1996 1995
83.INCREASE (DECREASE) IN NET ASSETS
84.Operations $ 51,509,103 $ 36,614,114
Net interest income
85. Net realized gain (loss) 52,325 25,923
86. 87.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 51,561,428 36,640,037
88.Distributions to shareholders from net interest income (51,509,103) (36,614,114)
89.Share transactions at net asset value of $1.00 per share 6,814,075,501 4,573,488,050
Proceeds from sales of shares
90. Reinvestment of distributions from net interest income 49,162,495 33,809,364
91. Cost of shares redeemed (6,608,717,752) (4,311,497,330)
92.93. 254,520,244 295,800,084
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS
94. 95.TOTAL INCREASE (DECREASE) IN NET ASSETS 254,572,569 295,826,007
96.NET ASSETS 97. 98.
99. Beginning of period 975,974,786 680,148,779
100. End of period $ 1,230,547,355 $ 975,974,786
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
101. YEARS ENDED JULY 31,
102. 1996 1995 1994 1993 1992
103.SELECTED PER-SHARE DATA
104.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
105.Income from Investment Operations .047 .048 .027 .025 .041
Net interest income
106.Less Distributions (.047) (.048) (.027) (.025) (.041)
From net interest income
107.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
108.TOTAL RETURN A 4.80% 4.86% 2.72% 2.57% 4.13%
109.RATIOS AND SUPPLEMENTAL DATA
110.Net assets, end of period (000 omitted) $ 1,230,547 $ 975,975 $ 680,149 $ 601,498 $ 354,189
111.Ratio of expenses to average net assets .99% .99% .98% .95% .82%
B B B B B
112.Ratio of net interest income to average net assets 4.69% 4.80% 2.70% 2.52% 3.81%
</TABLE>
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.
CAPITAL RESERVES: U.S. GOVERNMENT PORTFOLIO
INVESTMENTS JULY 31, 1996
Showing Percentage of Total Value of Investments
U.S. TREASURY OBLIGATIONS - 20.0%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
U.S. TREASURY BILLS - 16.5%
10/10/96 5.20% $ 30,000,000 $ 29,704,250
11/14/96 5.28 3,000,000 2,955,017
32,659,267
U.S. TREASURY NOTES - 3.5%
9/30/96 4.87 1,000,000 1,002,257
10/15/96 5.25 2,000,000 2,010,524
10/15/96 5.27 2,000,000 2,010,455
10/31/96 5.12 2,000,000 2,007,145
7,030,381
TOTAL U.S. TREASURY OBLIGATIONS 39,689,648
REPURCHASE AGREEMENTS - 80.0%
MATURITY
AMOUNT
In a joint trading account
(U.S. Treasury Obligations)
dated 7/31/96 due 8/1/96
(Notes 2 and 3)
At 5.66% $ 151,023,748 $ 151,000,000
At 5.66% 7,618,198 7,617,000
TOTAL REPURCHASE AGREEMENTS 158,617,000
TOTAL INVESTMENTS - 100% $ 198,306,648
Total Cost for Income Tax Purposes $ 198,306,648
INCOME TAX INFORMATION
At July 31, 1996, the fund had a capital loss carryforward of approximately
$53,000 of which $3,000, $35,000 and $15,000 will expire on July 31, 2001,
2002, and 2003, respectively.
A total of 20.7% 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.
CAPITAL RESERVES: U.S. GOVERNMENT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JULY 31, 1996
113.ASSETS 114. 115.
116.Investment in securities, at value (including repurchase agreements of $158,617,000) - 117. $ 198,306,648
See accompanying schedule
118.Cash 119. 2,237,810
120.Interest receivable 121. 175,965
122. 123.TOTAL ASSETS 124. 200,720,423
125.LIABILITIES 126. 127.
128.Distributions payable $ 30,912 129.
130.Accrued management fee 62,333 131.
132.Other payables and accrued expenses 123,527 133.
134. 135.TOTAL LIABILITIES 136. 216,772
137.138.NET ASSETS 139. $ 200,503,651
140.Net Assets consist of: 141. 142.
143.Paid in capital 144. $ 200,554,996
145.Accumulated net realized gain (loss) on investments 146. (51,345)
147.148.NET ASSETS, for 200,554,996 shares outstanding 149. $ 200,503,651
150.151.NET ASSET VALUE, offering price and redemption price per share 152. $1.00
($200,503,651 (divided by) 200,554,996 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JULY 31, 1996
153.154.INTEREST INCOME 155. $ 11,593,291
156.EXPENSES 157. 158.
159.Management fee $ 1,034,073 160.
161.Transfer agent fees 440,751 162.
163.Distribution fees 724,703 164.
165.Accounting fees and expenses 38,918 166.
167.Non-interested trustees' compensation 990 168.
169.Custodian fees and expenses 12,180 170.
171.Registration fees 174,300 172.
173.Audit 25,080 174.
175.Legal 1,670 176.
177.Miscellaneous 1,734 178.
179. Total expenses before reductions 2,454,399 180.
181. Expense reductions (407,019) 2,047,380
182.183.NET INTEREST INCOME 184. 9,545,911
185.186.NET REALIZED GAIN (LOSS) ON INVESTMENTS 187. 2,207
188.189.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 190. $ 9,548,118
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JULY 31, JULY 31,
1996 1995
191.INCREASE (DECREASE) IN NET ASSETS
192.Operations $ 9,545,911 $ 11,419,205
Net interest income
193. Net realized gain (loss) 2,207 (15,092)
194. 9,548,118 11,404,113
195.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
196.Distributions to shareholders from net interest income (9,545,911) (11,419,205)
197.Share transactions at net asset value of $1.00 per share 1,626,194,942 2,024,521,368
Proceeds from sales of shares
198. Reinvestment of distributions from net interest income 8,864,200 9,304,614
199. Cost of shares redeemed (1,636,522,705) (2,138,106,584)
200.201. (1,463,563) (104,280,602)
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS
202. (1,461,356) (104,295,694)
203.TOTAL INCREASE (DECREASE) IN NET ASSETS
204.NET ASSETS 205. 206.
207. Beginning of period 201,965,007 306,260,701
208. End of period $ 200,503,651 $ 201,965,007
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
209. YEARS ENDED JULY 31,
210. 1996 1995 1994 1993 1992
211.SELECTED PER-SHARE DATA
212.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
213.Income from Investment Operations .046 .045 .025 .024 .041
Net interest income
214.Less Distributions (.046) (.045) (.025) (.024) (.041)
From net interest income
215.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
216.TOTAL RETURN A 4.70% 4.64% 2.52% 2.40% 4.15%
217.RATIOS AND SUPPLEMENTAL DATA
218.Net assets, end of period (000 omitted) $ 200,504 $ 201,965 $ 306,261 $ 264,483 $ 308,542
219.Ratio of expenses to average net assets .99% .99% .98% .95% .65%
B B B B B
220.Ratio of net interest income to average net assets 4.62% 4.41% 2.50% 2.39% 3.82%
</TABLE>
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.
CAPITAL RESERVES: MUNICIPAL MONEY MARKET PORTFOLIO
INVESTMENTS JULY 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 - 2.9%
Phenix City Envir. Impt. Rev. Bonds (Mead Coated Board Proj.) Series 1988,
3.60%,
tender 10/9/96, LOC ABN-AMRO Bank (b) $ 1,700,000 $ 1,700,000
Phenix City Ind. Dev. Envir. Impt. Rev. (Mead Coated Board Proj.) Series
1996, 3.70%,
LOC Bayerische Vereinsbank AG, VRDN (b) 400,000 400,000
Roanoke Ind. Dev. Rev. (Wehadkee/Rock Mills Proj.) Series 1992, 3.80%,
LOC SunTrust Bank, VRDN (b) 1,100,000 1,100,000
Talladega Ind. Dev. Rev. (Wehadkee Yarn Mills Proj.) Series 1990, 3.80%,
LOC SunTrust Bank, VRDN (b) 625,000 625,000
3,825,000
ARIZONA - 4.1%
Arizona Ed. Loan Mktg. Corp. Series 1991 A, 3.70%,
LOC Dresdner Bank, A.G., Germany, VRDN (b) 900,000 900,000
Pima County School Dist. #1 Participating VRDN, Series 1996 D, 3.85% (FGIC
Insured)
(Liquidity Facility Norwest Bank NA, Minnesota) (c) 1,000,000 1,000,000
Yavapi County Ind. Dev. Auth. Ind. Dev. Rev. Bonds (Citizens Util. Co.)
Series 1993, 3.80%, tender 8/7/96 (b) 3,500,000 3,500,000
5,400,000
ARKANSAS - 3.1%
Clark County Solid Waste Disp. Rev. (Reynolds Metals Co. Proj.), 3.65%,
LOC SunTrust Bank, VRDN (b) 4,100,000 4,100,000
CALIFORNIA - 3.1%
California Higher Ed. Student Loan Auth. Rev. Series 1992 E-1, 3.65%,
LOC SLMA, VRDN (b) 1,000,000 1,000,000
Los Angeles Commty. College Dist. TRAN Series 1996-97, 4.50% 7/1/97
1,000,000 1,004,392
Los Angeles County TRAN Series 1996-97, 4.50% 6/30/97 1,000,000
1,005,709
Ventura County TRAN Series 1996, 4.75% 7/2/97 1,000,000 1,006,502
4,016,603
COLORADO - 1.4%
Fort Collins Ind. Dev. Rev. (Phelps -Tointon Millwork Proj.) Series 1993,
3.75%,
LOC Bank One, Milwaukee, VRDN (b) 1,400,000 1,400,000
Wheat Ridge Ind. Dev. Rev. (Adolph Coors Co. Proj.) Series 1993, 3.75%,
LOC Wachovia Bank of Georgia, VRDN (b) 400,000 400,000
1,800,000
DELAWARE - 3.8%
Delaware Economic Dev. Auth. (Delmarva Pwr. & Light Proj.)
Series 1994, 3.75%, VRDN (b) 4,900,000 4,900,000
FLORIDA - 4.6%
Broward County Ind. Dev. Auth. Rev. Rfdg. (Goldline Lab., Inc. Proj.)
Series 1989 B, 3.70%,
LOC Barnett Bank, VRDN (b) 146,000 146,000
Dade County Hsg. Fin. Corp. Participating VRDN,
Series 1991 A, 3.95% (Liquidity Facility Bank One) (b) (c) 815,000
815,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
FLORIDA - CONTINUED
Dade County Multi-Family Hsg. Rev. (Biscayne View Apts. Proj.) Series 1993,
3.90%
(Commonwealth Life Insurance Co. Guaranteed) VRDN (b) $ 1,475,000 $
1,475,000
Greater Orlando Aviation Auth. Arpt. Facs. Series B, 3.60% 8/22/96
(Liquidity Facility Morgan Guaranty Trust Co.) CP (b) 2,800,000
2,800,000
Okeechobee County Solid Waste Rev. (Chambers Waste Sys. of Fl. Proj.)
Series 1992, 3.80%, LOC Morgan Guaranty Trust Co., VRDN (b) 800,000
800,000
6,036,000
GEORGIA - 1.2%
Atlanta Arpt. Facs. Bonds Series 1996, 5% 1/1/97 (AMBAC Insured) 720,000
723,653
Floyd Co. Dev. Auth. Ind. Dev. Rev. (Marglen Ind. Inc. Proj.) 3.80%,
LOC SunTrust Bank, VRDN (b) 700,000 700,000
Pierce County Ind. Dev. & Bldg. Auth. Rev. (American Egg Prods. Inc. Proj.)
Series 1989, 3.80%, LOC SunTrust Bank, VRDN (b) 160,000 160,000
1,583,653
IDAHO - 1.9%
Idaho TAN Series 1996, 4.50% 6/30/97 2,500,000 2,513,164
ILLINOIS - 1.8%
Chicago School Reform Board of Trustees Participating VRDN, Series 96-BB,
3.72%
(BPA Bank of America) (c) 1,000,000 1,000,000
Chicago Wtr. Rev. Bonds Series 1995, 3.60% 11/1/96 (FGIC Insured) 500,000
500,000
Illinois Dev. Fin. Auth. Rev. (Kindlon Partners Proj.) 3.85%,
LOC LaSalle Nat'l. Bank, VRDN (b) 900,000 900,000
2,400,000
INDIANA - 0.4%
Indiana Hsg. Fin. Auth. Single Family Mtg. Rev. Bonds Series D-2, 3.95%,
tender 11/1/96 (b) 500,000 500,000
KANSAS - 2.1%
Wichita Gen Oblig. BAN Series B, 4.15% 11/21/96 2,750,000 2,752,019
KENTUCKY - 1.0%
Cynthiana Ind. Dev. Rev. (E.D. Bullard Co. Proj.) 3.85%, LOC NationsBank,
VRDN (b) 800,000 800,000
Pulasky County Eastern Kentucky Pwr. Coop. Fin. Corp. Bonds (Nat'l. Rural
Util. Coop. Fin. Corp.)
Series 1993 B, 3.20%, tender 8/15/96 (b) 500,000 500,000
1,300,000
LOUISIANA - 0.4%
Lake Charles Harbor and Terminal Dist. Port Impt. Rev., 3.70%,
LOC Nat'l. Westminster Bank, VRDN (b) 500,000 500,000
MARYLAND - 0.5%
Baltimore Econ. Dev. Rev. (Rock-Tenn Converting Co.) Series 1987, 3.80%,
LOC SunTrust Bank, VRDN (b) 655,000 655,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
MICHIGAN - 3.8%
Detroit School Dist. RAN 4.50% 5/1/97 $ 1,000,000 $ 1,003,984
Michigan Higher Ed. Student Loan Auth. Rev., Series XII-D, 3.65%
(AMBAC Insured) (BPA Kredietbank, NV) VRDN (b) 2,000,000 2,000,000
Michigan Hsg. Dev. Auth. Bonds Series PT-58, 3.70%, tender 8/15/96
(Liquidity Facility Credit Suisse) (b) (c) (d) 980,000 980,000
Michigan Muni. Bond Auth. RAN Series 1996 A, 4.50% 7/3/97 1,000,000
1,005,312
4,989,296
MINNESOTA - 0.8%
Minneapolis/St. Paul Hsg. & Redev. Auth. Participating VRDN,
Series 1996 E, 3.85% (FSA Insured)
(Liquidity Facility Norwest Bank, Minnesota) (c) 1,000,000 1,000,000
MISSOURI - 1.1%
Missouri Hsg. Dev. Mtg. Rev. Bonds (Single Family Homeownership Loan)
Series D, 4.20%, tender 11/1/96 (FGIC Insured) (b) 440,000 440,000
St. Louis TRAN 4.75% 6/30/97 1,000,000 1,007,456
1,447,456
NEVADA - 7.0%
Clark County Ind. Dev. Rev. (Nevada Pwr. Co. Proj.) Series 1995 A, 3.80%,
LOC Barclays Bank, VRDN (b) 3,250,000 3,250,000
Clark County Poll. Cont. Rev. Bonds (So. California Edison Co.) Series 1987
A (b):
3.70%, tender 8/15/96 1,500,000 1,500,000
3.60%, tender 9/11/96 2,000,000 2,000,000
Clark County School Dist. Participating VRDN, Series BT-192, 3.80%
(Liquidity Facility Bankers Trust Co.) (c) 1,000,000 1,000,000
Washoe County Gas Fac. Rev. (Sierra Pacific Pwr. Co.) Series 1990, 3.80%,
LOC Union Bank of Switzerland, VRDN (b) 1,400,000 1,400,000
9,150,000
NEW MEXICO - 0.8%
New Mexico Mtg. Fin. Auth. Single Family Mtg. Rev. Bonds Series 1996 A,
3.25%,
tender 12/31/96, LOC Westdeutsche Landesbank (b) 1,000,000 1,000,000
NEW YORK - 1.1%
Hempstead BAN 3.50% 2/28/97 1,461,000 1,462,790
NORTH CAROLINA - 0.6%
Piedmont Triad Arpt. Auth. Spl. Facs. Rev. (Triad Int'l. Maintenance Corp.
Proj.)
Series 1989, 3.75%, LOC Mellon Bank, VRDN (b) 800,000 800,000
OHIO - 3.0%
Ohio Air Dev. Auth. Air Quality Dev. Rev. Series 1994-A, 3.55%,
LOC Societe Generale, VRDN (b) 2,900,000 2,900,000
Ohio Hsg. Fin. Agcy. Single Family Mtg. Participating VRDN, Series 96-6,
3.85%
(Liquidity Facility Bank of New York) (b) (c) 1,000,000 1,000,000
3,900,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
OKLAHOMA - 2.5%
Guymon Util. Auth. Rev. (Seaboard Proj.) Series 1995, 3.80%, LOC SunTrust
Bank (b) $ 3,300,000 $ 3,300,000
PENNSYLVANIA - 6.5%
Bucks County Ind. Dev. Auth. Ind. Dev. Rev., VRDN (b):
(Associates Proj.) Series 1993, 4.05%, LOC Meridian Bank NA 1,360,000
1,360,000
(Double H Plastics Inc. Proj.) Series 1993, 4.05%, LOC Meridian Bank NA
2,445,000 2,445,000
Carbon County Ind. Dev. Auth. Resource Recovery Bonds (Panther Creek
Partners Proj.)
Series B, 3.35%, tender 8/9/96, LOC Nat'l. Westminster Bank (b) 1,060,000
1,060,000
Northumberland County Ind. Dev. Auth. Rev. (Foster Wheeler Mt. Carmel Inc.)
Series 1987 B, 3.75%, LOC Union Bank of Switzerland, VRDN (b) 200,000
200,000
Pennsylvania Econ. Dev. Fin. Auth. Ind. Dev. Rev., VRDN (b):
(ASK Foods, Inc.) Series A-1, 3.75%, LOC PNC Bank 435,000 435,000
(Dodge-Regupol, Inc. Proj.) Series D-4, 3.75%, LOC PNC Bank 1,700,000
1,700,000
(Port Erie Plastics Proj.) Series 1989 D-9, 3.75%, LOC PNC Bank 55,000
55,000
Pennsylvania Higher Ed. Assistance Agcy. Rev. (Student Loan) Series 1988 A,
3.65%,
LOC SLMA, VRDN (b) 1,200,000 1,200,000
8,455,000
RHODE ISLAND - 1.6%
Rhode Island Hsg. & Mtg. Fin. Corp. Hsg. Rev. Bonds
Series 19-D, 3.55%, tender 1/30/97 (b) 600,000 600,000
Rhode Island Ind. Fac. Corp. Ind. Dev. Rev. (NFA Corp. Proj.) 3.90%,
LOC First Nat'l. Bank of Boston (b) 1,500,000 1,500,000
2,100,000
SOUTH CAROLINA - 1.9%
South Carolina Econ. Dev. Rev. , VRDN (b):
(Paxar Corp. Proj.) Series 1996, 3.75%, LOC Wachovia Bank of Georgia
2,000,000 2,000,000
(Wellman Inc. Proj.) Series 92, 3.80%, LOC Wachovia Bank of Georgia
500,000 500,000
2,500,000
SOUTH DAKOTA - 1.5%
South Dakota Hsg. Dev. Auth. Hsg. Rev. Bonds (Homeownership Mtg.)
Series E, 4.05%, tender 10/24/96 1,000,000 1,000,000
South Dakota Hsg. Dev. Auth. Participating VRDN, Series PA-119, 3.75%
(Liquidity Facility Merrill Lynch & Co.) (b) (c) 1,000,000 1,000,000
2,000,000
TENNESSEE - 5.5%
Cookeville Ind. Dev. Board Ind. Dev. Rev. (Delbar Products Inc. Proj.)
3.75%,
LOC PNC Bank, VRDN (b) 900,000 900,000
Morristown Ind. Dev. Rev. (Lakeway Container Inc. Proj.) Series 1993,
3.85%,
LOC First Tennessee Bank, NA, VRDN (b) 2,100,000 2,100,000
Tennessee Hsg. Dev. Agcy. Bonds (Homeownership Prog.) Series 1996-1C,
3.25%,
tender 2/6/97 (b) 2,465,000 2,465,089
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
TENNESSEE - CONTINUED
Tennessee Hsg. Dev. Agcy. Participating VRDN, Series PT-59B, 3.75%
(Liquidity Facility Credit Suisse) (b) (c) $ 1,000,000 $ 1,000,000
Trenton Ind. Dev. Rev. (Dyersburg Fabrics Inc.) Series 1990, 3.80%,
LOC SunTrust Bank, VRDN (b) 685,000 685,000
7,150,089
TEXAS - 13.7%
Brazos River Auth. Poll. Cont. Rev. Rfdg. (Texas Util. Elec. Co. Proj.)
(b):
Bonds Series A, 3.70%, tender 10/10/96, LOC Canadian Imperial Bank of
Commerce 1,500,000 1,500,000
Series 1996 A, 3.80% (AMBAC Insured) (BPA Bank of New York, NA) VRDN
400,000 400,000
Brazos River Harbor Navigation Dist. of Brazoria County Bonds (Dow Chemical
Proj.)
Series 1988, 3.65%, tender 9/12/96 (b) 1,000,000 1,000,000
Gulf Coast Waste Disp. Auth. Poll. Cont. Rev. (Amoco Oil Co.) Series 1993,
3.80%, VRDN (b) 400,000 400,000
Harris County Hsg. Fin. Corp. (Cypress Ridge Apt. Proj.) Series 1996,
3.75%,
LOC Bank One, Arizona, VRDN (b) 2,000,000 2,000,000
Harris County Ind. Dev. Corp. Poll. Cont. Rev. (Exxon Proj.) Series 1987,
3.75%, VRDN (b) 100,000 100,000
Mineral Wells Ind. Dev. Rev. (Ameron Inter. Corp.) 3.75%,
LOC Commerzbank Germany, VRDN (b) 1,000,000 1,000,000
North Texas Higher Ed. Student Loan Rev., VRDN (b):
Series 1991 C, 3.65% (AMBAC Insured) (BPA SLMA) 1,000,000 1,000,000
Series 1993 A, 3.65%, LOC SLMA 1,300,000 1,300,000
Panhandle Plains Higher Ed. Auth. Student Loan Rev., Series 1992 A, 3.65%,
LOC SLMA, VRDN (b) 1,700,000 1,700,000
San Antonio Hsg. Fin. Auth. Rev. (Braesview Apts. Proj.) 3.70%,
LOC Swiss Bank Corp., VRDN (b) 3,200,000 3,200,000
Texas College Student Loan Bonds Series 1992, 8.375% 8/1/96 (b) 890,000
890,000
Texas Gen. Oblig. TRAN Series 1995 A, 4.75% 8/30/96 2,400,000 2,401,321
Texas Wtr. Dev. Bonds Series A, 6.90% 8/1/96 1,025,000 1,025,000
17,916,321
UTAH - 0.8%
Utah Hsg. Fin. Agcy. Participating VRDN, Series PT-84B, 3.75%
(Liquidity Facility Rabobank Nederland, NV) (b) (c) 1,000,000 1,000,000
VIRGINIA - 5.6%
Frederick County Ind. Dev. Auth. Rev. (Nat'l. Wildlife Federation Proj.)
Series 1996, 3.80%, LOC NationsBank, VRDN (b) 1,000,000 1,000,000
Mecklenburg County Ind. Auth. (American Bldgs. Co. Proj.) 3.85%,
LOC LaSalle Nat'l. Bank, VRDN (b) 1,530,000 1,530,000
Virginia Hsg. Dev. Auth. Commonwealth Mtg. Bonds Series 1996 B:
3.65%, tender 8/29/96 1,100,000 1,100,000
3.70%, tender 10/24/96 1,100,000 1,100,000
3.75%, tender 12/5/96 1,100,000 1,100,000
Virginia Hsg. Dev. Auth. Participating VRDN Series PA-80B, 3.75%
(Liquidity Facility Merrill Lynch & Co., Inc.) (b) (c) 1,480,000
1,480,000
7,310,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
WASHINGTON - 2.8%
Algona Econ. Dev. Corp. Ind. Rev. (Aitchison Family Partnership) Series
1992, 3.80%,
LOC Wells Fargo Bank, VRDN (b) $ 2,680,000 $ 2,680,000
Port of Grays Harbor Solid Waste Fac. Rev. (Pacific Veneer, Weyerhaeuser
Co.)
Series 1993, 3.75%, VRDN (b) 1,000,000 1,000,000
3,680,000
WEST VIRGINIA - 1.2%
Wood County Ind. Dev. Rev. (AGA Gas Inc. Proj.) Series 1988, 3.60%,
LOC Svenska Handelsbanken, VRDN (b) 1,500,000 1,500,000
WISCONSIN - 4.1%
Appleton Ind. Dev. Rev. (Pensar Corp. Proj.) Series 1993, 3.75%,
LOC Bank One, Milwaukee, VRDN (b) 960,000 960,000
City of Eau Claire Solid Waste Disp. Rev. (Pope & Talbot Proj.) Series
1994, 3.75%,
LOC Wachovia Bank of Georgia, VRDN (b) 2,000,000 2,000,000
Racine Ind. Dev. Rev. (Burlington Graphic Sys.) Series 1994, 3.75%,
LOC Bank One, Milwaukee, VRDN (b) 1,720,000 1,720,000
River Falls Ind. Dev. Rev. (Quadion Corp. Proj.) 3.75%, LOC First Bank NA,
MN, VRDN (b ) 630,000 630,000
5,310,000
MULTIPLE STATES - 1.8%
Clipper Participating VRDN, Series 1995-1, 3.77%
(Liquidity Facility State Street Bank & Trust) (b) (c) 2,133,783
2,133,783
Stephens Equity Trust #3 Participating VRDN, Series 1996, 3.83%,
LOC Bayerische Hypotheken (c) 298,975 298,975
2,432,758
TOTAL INVESTMENTS - 100% $ 130,685,149
Total Cost for Income Tax Purposes $ 130,685,149
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
1. The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
2. Private activity obligations whose interest is subject to the federal
alternative minimum tax for individuals.
3. Provides evidence of ownership in one or more underlying municipal
bonds.
4. 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
Michigan Hsg. Dev. Auth.
Bonds Series PT-58, 3.70%,
tender 8/15/96 (Liquidity
Facility Credit Suisse) 6/12/96 $ 980,000
INCOME TAX INFORMATION
At July 31, 1996, the fund had a capital loss carryforward of approx-
imately $25,000 of which $3,000, $2,000, $5,000 and $15,000 will expire on
July 31, 2000, 2001, 2002, and 2004, respectively.
CAPITAL RESERVES: MUNICIPAL MONEY MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JULY 31, 1996
5.ASSETS 6. 7.
8.Investment in securities, at value - See accompanying schedule 9. $ 130,685,149
10.Interest receivable 11. 795,548
12. 13.TOTAL ASSETS 14. 131,480,697
15.LIABILITIES 16. 17.
18.Payable to custodian bank $ 127,716 19.
20.Payable for investments purchased 1,005,414 21.
22.Share transactions in process 1,027,963 23.
24.Distributions payable 12,491 25.
26.Accrued management fee 41,063 27.
28.Other payables and accrued expenses 91,624 29.
30. 31.TOTAL LIABILITIES 32. 2,306,271
33.34.NET ASSETS 35. $ 129,174,426
36.Net Assets consist of: 37. 38.
39.Paid in capital 40. $ 129,198,990
41.Accumulated net realized gain (loss) on investments 42. (24,564)
43.44.NET ASSETS, for 129,198,990 shares outstanding 45. $ 129,174,426
46.47.NET ASSET VALUE, offering price and redemption price per share 48. $1.00
($129,174,426 (divided by) 129,198,990 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JULY 31, 1996
49.50.INTEREST INCOME 51. $ 4,978,268
52.EXPENSES 53. 54.
55.Management fee $ 658,114 56.
57.Transfer agent, accounting and custodian fees and expenses 329,903 58.
59.Distribution fees 460,679 60.
61.Non-interested trustees' compensation 844 62.
63.Registration fees 103,256 64.
65.Audit 24,792 66.
67.Miscellaneous 157 68.
69. Total expenses before reductions 1,577,745 70.
71. Expense reductions (275,371) 1,302,374
72.73.NET INTEREST INCOME 74. 3,675,894
75.76.NET REALIZED GAIN (LOSS) ON INVESTMENTS 77. (14,544)
78.79.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 80. $ 3,661,350
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JULY 31, JULY 31,
1996 1995
81.INCREASE (DECREASE) IN NET ASSETS
82.Operations $ 3,675,894 $ 3,455,505
Net interest income
83. Net realized gain (loss) (14,544) 2,903
84. 85.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 3,661,350 3,458,408
86.Distributions to shareholders from net interest income (3,675,894) (3,455,505)
87.Share transactions at net asset value of $1.00 per share 802,017,521 442,429,728
Proceeds from sales of shares
88. Reinvestment of distributions from net interest income 3,543,229 3,324,065
89. Cost of shares redeemed (800,191,110) (438,434,489)
90.91. 5,369,640 7,319,304
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS
92. 93.TOTAL INCREASE (DECREASE) IN NET ASSETS 5,355,096 7,322,207
94.NET ASSETS 95. 96.
97. Beginning of period 123,819,330 116,497,123
98. End of period $ 129,174,426 $ 123,819,330
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
99. YEARS ENDED JULY 31,
100. 1996 1995 1994 1993 1992
101.SELECTED PER-SHARE DATA
102.Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
103.Income from Investment Operations .028 .029 .018 .019 .031
Net interest income
104.Less Distributions (.028) (.029) (.018) (.019) (.031)
From net interest income
105.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
106.TOTAL RETURN A 2.83% 2.94% 1.80% 1.96% 3.14%
107.RATIOS AND SUPPLEMENTAL DATA
108.Net assets, end of period (000 omitted) $ 129,174 $ 123,819 $ 116,497 $ 116,274 $ 68,497
109.Ratio of expenses to average net assets .99% .99% .98% .95% .95%
B B B B B
110.Ratio of net interest income to average net assets 2.79% 2.89% 1.78% 1.92% 2.89%
</TABLE>
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.
NOTES TO FINANCIAL STATEMENTS
For the period ended July 31, 1996
1. SIGNIFICANT ACCOUNTING POLICIES.
Capital Reserves: Money Market Portfolio, U.S. Government Portfolio and
Municipal Money Market Portfolio (the funds) are funds of Daily Money Fund
(the trust). 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. Each fund is authorized to
issue an unlimited number of shares. 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 original issue discount, is accrued as earned. For the
Municipal Money Market fund, accretion of market discount represents
unrealized gain until realized at the time of a security disposition or
maturity.
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 SEC), the funds, along with other
affiliated entities of Fidelity Management & Research Company (FMR), may
transfer uninvested cash balances into one or more joint trading accounts.
These balances are invested in one or more repurchase agreements that
mature in 60 days or less from the date of purchase for U.S. Treasury or
Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
Securities are transferred to an account of the funds, or to the Joint
Trading Account, at a bank custodian. The securities are marked-to-market
daily and maintained at a value at least equal to the principal amount of
the repurchase agreement (including accrued interest). FMR, the funds'
investment adviser, is responsible for determining that the value of the
underlying securities remains in accordance with the market value
requirements stated above.
RESTRICTED SECURITIES. The Money Market and Municipal Money Market funds
are permitted to invest in securities that are subject to legal or
contractual restrictions on resale. These securities generally may be
resold in transactions exempt from registration or to the public if the
securities are registered. Disposal of these securities may involve
time-consuming negotiations and expense, and prompt sale at an acceptable
price may be difficult. At the end of the period, restricted securities
(excluding 144A issues) amounted to $980,000 or .76% of net assets for the
Municipal Money Market fund. The Money Market fund had no investments in
restricted securities (excluding 144A issues).
3. JOINT TRADING ACCOUNT.
At the end of the period, the U.S. Government 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 and found satisfactory by FMR. The maturity values of the
joint trading account investments were $151,023,748 at 5.66% and $7,618,198
at 5.66%. The investments in repurchase agreements through the joint
trading account are summarized as follows:
3. JOINT TRADING ACCOUNT - CONTINUED
SUMMARY OF JOINT TRADING
DATED JULY 31, 1996, DUE AUGUST 1, 1996 AT 5.66%
Number of dealers or banks 16
Maximum amount with one dealer or bank 23.1%
Aggregate principal amount of agreements $8,668,731,000
Aggregate maturity amount of agreements $8,670,094,316
Aggregate market value of transferred assets $8,853,791,961
Coupon rates of transferred assets 0.0% to 14.25%
Maturity dates of transferred assets 8/1/96 to 2/15/26
DATED JULY 31, 1996, DUE AUGUST 1, 1996 AT 5.66%
Number of dealers or banks 4
Maximum amount with one dealer or bank 41.8%
Aggregate principal amount of agreements $335,000,000
Aggregate maturity amount of agreements $335,052,678
Aggregate market value of transferred assets $341,997,578
Coupon rates of transferred assets 0.0% to 14%
Maturity dates of transferred assets 8/8/96 to 2/15/26
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As each fund's investment adviser, FMR receives a fee that
is computed daily at an annual rate of .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 fees are paid prior to any voluntary
expense reimbursements which may be in effect.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plan (the Plan), and in accordance with Rule 12b-1 of the 1940 Act, each
fund is authorized to pay its distributor, National Financial Services
Corporation (the Distributor), an affiliate of FMR, a monthly distribution
fee at an annual rate of .35% of its average net assets. The Distributor
may pay all or a portion of the fee to securities dealers or banks
(Qualified Recipients) that have selling agreements with each fund. In
addition, FMR may use its resources to pay Qualified Recipients who provide
shareholder support or distribution services at a maximum annual rate of up
to .25% of each fund's average net assets. Qualified Recipients, including
the Distributor acting in the capacity of a Qualified Recipient, may at
their discretion, retain any portion of their compensation and reallocate
the balance to their correspondents. For the period, FMR made payments
under the Plan in the amount of $2,746,533, $468,775 and $327,405 for the
Money Market, U.S. Government and Municipal Money Market funds,
respectively. Of the fees paid by the funds and FMR for the period, the
Distributor has reallocated to third parties $5,460,890, $985,360 and
$640,885 for the Money Market, U.S. Government and Municipal Money Market
funds, respectively.
TRANSFER AGENT AND ACCOUNTING FEES. Fidelity Investments Institutional
Operations Company (FIIOC), an affiliate of FMR, is the transfer, dividend
disbursing and shareholder servicing agent for the Money Market and U.S.
Government funds. UMB Bank n.a. (UMB) is the custodian and transfer and
shareholder servicing agent for the Municipal Money Market fund. UMB has
entered into a sub-contract with FIIOC to perform the activities
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
TRANSFER AGENT AND ACCOUNTING FEES - CONTINUED
associated with the Municipal Money Market fund's transfer and shareholder
servicing agent functions. FIIOC receives account fees and asset-based fees
that vary according to account size and type of account. FIIOC pays for
typesetting, printing and mailing of all shareholder reports, except proxy
statements. For the period, FIIOC received transfer and shareholder
servicing agent fees amounting to $277,621 for the Municipal Money Market
fund.
For the period, the transfer agent fees were equivalent to an annual rate
of .26%, .21% and .21% of average net assets for the Money Market , U.S.
Government and Municipal Money Market funds, respectively.
Fidelity Service Co. (FSC), an affiliate of FMR, maintains the accounting
records for the Money Market and U.S. Government funds. UMB also has a
sub-contract with FSC to maintain the Municipal Money Market fund'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 $39,758 for the Municipal Money
Market fund.
5. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the funds' operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses) above an annual rate of .99% of average net assets. For the
period, the reimbursement reduced expenses by $1,902,096, $406,934 and
$274,564 for the Money Market, U.S. Government and Municipal Money Market
funds, respectively.
In addition, each fund has entered into arrangements with its custodian and
transfer agent whereby interest earned on uninvested cash balances was used
to offset a portion of each fund's expenses. During the period, the
custodian and transfer agent fees were reduced by $483 and $0 , $85 and $0
and $691 and $116 for the Money Market, U.S. Government and Municipal Money
Market funds, respectively, under these arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Trustees of Daily Money Fund:
Capital Reserves: Money Market Portfolio
Capital Reserves: U.S. Government Portfolio
Capital Reserves: Municipal Money Market Portfolio
We have audited the accompanying statements of assets and liabilities of
Daily Money Fund: Capital Reserves: Money Market Portfolio, Capital
Reserves: U.S. Government Portfolio and Capital Reserves: Municipal Money
Market Portfolio, including the schedules of portfolio investments, as of
July 31, 1996 and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in
the period then ended, and the financial highlights for each of the five
years in the period then ended. 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 audits 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 July 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 the Daily Money Fund: Capital Reserves: Money Market Portfolio, Capital
Reserves: U.S. Government Portfolio and Capital Reserves: Municipal Money
Market Portfolio as of July 31, 1996, the results of their operations for
the year then ended, the changes in their net assets for each of the two
years in the period then ended, and the financial highlights for each of
the five years in the period then ended, in conformity with generally
accepted accounting principles.
/s/COOPERS & LYBRAND L.L.P.
COOPERS & LYBRAND L.L.P.
Dallas, Texas
August 30, 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
Fred L. Henning, Jr., VICE PRESIDENT
Leland C. Barron, VICE PRESIDENT
Robert Litterst, 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
National Financial Services Corporation
Boston, MA
* INDEPENDENT TRUSTEES
TRANSFER AND
SHAREHOLDER
SERVICING AGENTS
Fidelity Investments Institutional Operations Company
Boston, MA
UMB Bank, n.a. (MUNICIPAL MONEY MARKET PORTFOLIO)
Kansas City, MO
CUSTODIANS
The Bank of New York
New York, NY
UMB Bank, n.a. (MUNICIPAL MONEY MARKET PORTFOLIO)
Kansas City, MO
