(REGISTERED TRADEMARK)
CAPITAL
RESERVES
PORTFOLIOS
ANNUAL REPORT
JULY 31, 1997
CAPR-ANN-0997
38246
CHECK PAGE NUMBERS !!!
CONTENTS
SCHEDULES OF INVESTMENTS & FINANCIAL STATEMENTS
CAPITAL RESERVES PORTFOLIOS:
MONEY MARKET PORTFOLIO 3
U.S. GOVERNMENT PORTFOLIO 12
MUNICIPAL MONEY MARKET PORTFOLIO 17
NOTES TO THE FINANCIAL STATEMENTS 30
REPORT OF INDEPENDENT ACCOUNTANTS 35
DISTRIBUTIONS 36
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 CAPITAL 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, 1997
SHOWING PERCENTAGE OF TOTAL VALUE OF INVESTMENTS IN SECURITIES
BANKERS' ACCEPTANCES - 1.4%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
DOMESTIC BANKERS' ACCEPTANCES
Chase Manhattan Bank
8/22/97 5.82% $ 8,000,000 $ 7,973,493
First Bank NA - Minnesota
8/11/97 5.56 14,500,000 14,477,726
TOTAL BANKERS' ACCEPTANCES 22,451,219
CERTIFICATES OF DEPOSIT - 39.3%
DOMESTIC CERTIFICATES OF DEPOSIT - 1.9%
Chase Manhattan Bank
9/9/97 5.57 5,000,000 5,000,000
CoreStates Capital Corp.
8/11/97 5.66 (a) 10,000,000 9,998,923
Morgan Guaranty Trust, NY
8/12/97 5.78 4,000,000 3,999,932
8/12/97 5.80 5,000,000 4,999,895
World Savings Bank FSB
8/12/97 5.54 5,355,000 5,354,964
29,353,714
CHICAGO BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 0.3%
ABN-AMRO Bank
12/23/97 5.70 4,000,000 3,999,243
NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - 23.6%
Bank of Montreal
9/22/97 5.56 15,000,000 15,000,000
Bank of Nova Scotia
4/1/98 6.20 8,000,000 7,996,952
Bank of Tokyo - Mitsubishi, Ltd.
8/6/97 5.85 4,000,000 4,000,000
8/13/97 5.82 2,000,000 2,000,000
8/27/97 5.75 8,000,000 8,000,000
8/29/97 5.79 3,000,000 3,000,000
9/30/97 5.76 9,000,000 9,000,000
Banque Nationale de Paris
8/29/97 5.55 5,000,000 4,999,955
9/22/97 5.56 5,000,000 5,000,000
9/24/97 5.54 12,000,000 12,000,180
9/30/97 5.85 10,000,000 10,000,000
Barclays Bank, PLC
9/8/97 5.58 5,000,000 5,000,000
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Bayerische Hypotheken-und Weschel
8/18/97 5.55% $ 6,000,000 $ 6,000,000
Caisse Nationale de Credit Agricole
9/8/97 5.57 7,000,000 7,000,000
10/20/97 5.60 8,000,000 8,000,000
10/22/97 5.59 10,000,000 10,000,000
11/13/97 5.86 3,000,000 3,000,000
Canadian Imperial Bank of Commerce
8/7/97 5.55 5,000,000 5,000,004
8/7/97 5.55 5,000,000 5,000,000
Commerzbank, Germany
8/7/97 5.55 7,000,000 7,000,012
9/10/97 5.56 5,000,000 5,000,000
Deutsche Bank, Germany
9/22/97 5.56 23,000,000 23,000,000
Landesbank Hessen - Thuringen
9/5/97 6.20 15,000,000 15,000,137
9/11/97 6.11 16,000,000 15,999,657
Midland Bank, PLC
9/5/97 5.57 3,000,000 3,000,258
National Westminster Bank, PLC
8/5/97 5.50 7,000,000 7,000,000
6/23/98 6.00 14,000,000 13,989,363
Rabobank Nederland, COOP Central
3/20/98 6.00 5,000,000 4,999,093
Royal Bank of Canada
8/13/97 5.54 1,300,000 1,300,014
8/13/97 5.80 5,000,000 4,999,885
Sanwa Bank, Ltd.
8/1/97 5.85 4,000,000 4,000,000
8/21/97 5.64 4,000,000 4,000,000
8/27/97 5.75 2,000,000 2,000,000
9/25/97 5.75 1,000,000 1,000,015
10/3/97 5.70 4,000,000 4,000,515
Societe Generale, France
8/7/97 5.52 10,000,000 10,000,000
11/12/97 5.90 8,000,000 8,000,000
Sumitomo Bank, Ltd.
8/4/97 5.75 3,000,000 3,000,000
8/4/97 5.75 3,000,000 3,000,000
8/19/97 5.75 3,000,000 3,000,000
8/25/97 5.75 4,000,000 4,000,000
10/9/97 5.75 4,000,000 4,000,000
CERTIFICATES OF DEPOSIT - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
NEW YORK BRANCH, YANKEE DOLLAR, FOREIGN BANKS - CONTINUED
Swiss Bank Corp.
8/4/97 5.50% $ 13,000,000 $ 13,000,000
12/22/97 5.76 4,000,000 4,002,205
12/22/97 5.99 10,000,000 10,000,000
1/20/98 5.70 49,000,000 49,000,000
Westdeutsche Landesbank
8/11/97 5.53 9,000,000 9,000,000
8/12/97 5.53 7,000,000 7,000,000
9/4/97 5.58 3,000,000 3,000,197
376,288,442
LONDON BRANCH, EURODOLLAR, FOREIGN BANKS - 13.5%
ABN-AMRO Bank
8/14/97 5.54 20,000,000 20,000,072
9/17/97 5.56 4,000,000 4,000,099
9/22/97 5.65 1,000,000 1,000,014
1/14/98 5.70 6,000,000 6,000,245
Abbey National, Treasury Services
8/14/97 5.72 15,000,000 14,999,942
8/20/97 5.44 10,000,000 10,000,000
9/24/97 5.65 6,000,000 6,000,000
3/4/98 5.87 7,000,000 7,000,000
Banco Santander
8/11/97 5.55 4,000,000 4,000,011
Bank of Nova Scotia
9/9/97 5.58 7,000,000 7,000,000
11/12/97 5.86 6,000,000 6,000,000
Bankers Trust Co.
10/10/97 5.63 4,000,000 4,000,068
Banque Bruxelles Lambert SA
10/21/97 5.60 3,000,000 3,000,133
Banque Nationale de Paris
8/29/97 5.55 5,000,000 5,000,340
10/1/97 5.66 10,000,000 10,001,283
Barclays Bank, PLC
8/11/97 5.53 35,000,000 35,000,097
8/29/97 5.53 21,000,000 21,000,256
Bayerische Landesbank Girozentrale
9/30/97 5.60 5,000,000 5,000,421
12/31/97 5.75 2,000,000 2,000,082
Bayerische Vereinsbank A.G.
8/26/97 5.44 5,000,000 4,999,997
9/17/97 5.65 3,000,000 2,999,951
9/30/97 5.66 5,000,000 5,000,060
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Commerzbank, Germany
8/7/97 5.57% $ 8,000,000 $ 8,000,013
Deutsche Bank, Germany
8/18/97 5.54 12,000,000 12,000,000
National Australia Bank
9/23/97 5.65 3,000,000 3,000,000
Sumitomo Bank, Ltd.
10/1/97 5.75 5,000,000 5,000,167
Westdeutsche Landesbank
8/13/97 5.60 2,000,000 2,000,008
214,003,259
TOTAL CERTIFICATES OF DEPOSIT 623,644,658
COMMERCIAL PAPER - 40.4%
AC Aquisition Holding Company
8/20/97 5.61 4,000,000 3,988,262
8/27/97 5.62 1,000,000 995,984
9/10/97 5.60 2,000,000 1,987,689
9/16/97 5.55 5,000,000 4,964,861
A.H. Robins Company, Inc.
8/11/97 5.73 25,000,000 24,960,764
8/28/97 5.58 1,752,000 1,744,720
Abbey National, North America
8/11/97 5.42 10,100,000 10,085,187
American Home Products
8/18/97 5.75 5,000,000 4,986,613
9/9/97 5.58 4,000,000 3,976,037
Asset Securitization COOP Corp.
8/20/97 5.57 3,000,000 2,991,244
8/21/97 5.55 3,000,000 2,990,817
8/21/97 5.61 8,000,000 7,975,289
9/2/97 5.53 7,000,000 6,965,778
Associates Corp. of North America
8/25/97 5.61 10,000,000 9,962,933
8/27/97 5.59 5,000,000 4,979,994
8/27/97 5.62 8,000,000 7,967,818
9/16/97 5.65 3,000,000 2,978,648
BBL North America, Inc.
12/24/97 5.75 5,000,000 4,887,424
BHF Finance (Delaware), Inc.
8/28/97 5.58 3,000,000 2,987,535
10/10/97 5.62 2,000,000 1,978,456
COMMERCIAL PAPER - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
BMW U.S. Capital Corp.
8/18/97 5.57% $ 3,000,000 $ 2,992,152
8/25/97 5.62 2,000,000 1,992,573
8/28/97 5.55 4,000,000 3,983,440
9/9/97 5.61 2,000,000 1,987,975
Bank of Montreal
8/14/97 5.54 6,000,000 5,988,051
Bank of Nova Scotia
9/17/97 5.66 15,000,000 14,890,725
9/18/97 5.64 2,000,000 1,985,173
Barclays U.S. Funding Corp.
8/12/97 5.56 15,000,000 14,974,631
Bear Stearns Cos., Inc.
10/14/97 5.62 3,000,000 2,965,837
10/21/97 5.60 5,000,000 4,937,900
CIESCO, L.P.
9/3/97 5.57 4,000,000 3,979,760
9/8/97 5.57 4,000,000 3,976,693
9/16/97 5.57 12,000,000 11,915,360
Caisse des Depots et Consignations
8/6/97 5.76 1,000,000 999,211
8/18/97 5.53 15,000,000 14,961,042
9/18/97 5.64 20,000,000 19,851,733
9/26/97 5.56 10,000,000 9,914,444
Campbell Soup Co.
12/29/97 5.48 5,000,000 4,885,833
Chrysler Financial Corporation
8/4/97 5.66 3,000,000 2,998,595
8/5/97 5.66 1,000,000 999,376
Citibank Credit Card Master Trust I (Dakota Certificate Program)
8/5/97 5.75 3,000,000 2,998,110
8/14/97 5.75 3,000,000 2,993,858
9/9/97 5.59 1,500,000 1,490,997
10/20/97 5.59 2,000,000 1,975,511
Cregem North America, Inc.
8/12/97 5.75 6,400,000 6,388,912
9/16/97 5.64 2,000,000 1,985,791
9/18/97 5.65 3,000,000 2,977,720
9/23/97 5.66 2,000,000 1,983,570
Delaware Funding Corporation
8/18/97 5.55 2,000,000 1,994,787
Eiger Capital Corp.
8/15/97 5.58 2,000,000 1,995,683
8/27/97 5.53 7,000,000 6,972,194
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Enterprise Funding Corp.
8/8/97 5.54% $ 4,000,000 $ 3,995,707
8/11/97 5.55 8,297,000 8,284,278
8/19/97 5.67 1,196,000 1,192,639
8/20/97 5.55 6,000,000 5,982,520
8/21/97 5.56 3,000,000 2,990,800
8/27/97 5.53 5,000,000 4,980,139
8/27/97 5.56 2,000,000 1,992,027
9/2/97 5.57 1,000,000 995,076
9/5/97 5.60 3,000,000 2,983,813
9/19/97 5.57 3,000,000 2,977,460
9/24/97 5.57 3,000,000 2,975,160
10/20/97 5.59 4,000,000 3,951,022
Fina Oil and Chemical Company
8/11/97 5.58 2,500,000 2,496,146
8/28/97 5.64 10,000,000 9,958,150
Fleet Funding Corporation
8/20/97 5.56 5,000,000 4,985,407
8/28/97 5.53 11,234,000 11,187,660
Ford Motor Credit Corp.
10/20/97 5.58 40,000,000 39,511,111
11/5/97 5.87 13,000,000 12,802,400
GTE Corp.
8/15/97 5.55 4,000,000 3,991,398
8/20/97 5.55 2,000,000 1,994,163
General Electric Capital Corp.
8/28/97 5.56 7,000,000 6,971,020
9/17/97 5.64 7,000,000 6,949,188
9/22/97 5.80 10,000,000 9,918,533
9/23/97 5.80 10,000,000 9,916,967
General Electric Co.
8/26/97 5.59 5,000,000 4,980,764
Generale de Banque, SA
9/23/97 5.65 1,000,000 991,800
General Motors Acceptance Corp.
8/7/97 5.61 10,000,000 9,990,717
8/25/97 5.66 6,000,000 5,977,560
8/27/97 5.50 5,000,000 4,980,681
10/14/97 6.00 13,000,000 12,844,477
10/16/97 6.01 1,000,000 987,703
10/20/97 6.03 5,000,000 4,935,056
10/29/97 6.02 2,000,000 1,971,100
11/3/97 6.02 4,000,000 3,939,057
COMMERCIAL PAPER - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
General Motors Acceptance Corp. - continued
11/10/97 6.02% $ 8,000,000 $ 7,868,924
11/12/97 6.02 3,000,000 2,949,916
Goldman Sachs Group, L.P. (The)
11/12/97 5.87 10,000,000 9,836,917
Grand Met Capital Corp.
1/7/98 5.70 2,000,000 1,950,975
IBM Credit Corp.
8/19/97 5.61 5,000,000 4,986,100
MS Dean Witter Discover
8/20/97 5.61 8,000,000 7,976,524
8/20/97 5.61 11,000,000 10,967,721
Matterhorn Capital Corp. (LOC Union Bank of Switzerland)
8/27/97 5.53 4,000,000 3,984,111
9/4/97 5.55 2,880,000 2,865,013
Merrill Lynch & Co., Inc.
8/18/97 5.79 5,000,000 4,986,542
1/14/98 5.71 3,000,000 2,923,225
Nationwide Building Society
9/26/97 5.66 2,000,000 1,982,640
10/10/97 5.62 2,000,000 1,978,456
New Center Asset Trust
9/22/97 5.57 10,000,000 9,920,267
Norfolk Southern Corp.
8/14/97 5.78 2,000,000 1,995,847
8/21/97 5.75 2,000,000 1,993,644
8/28/97 5.71 2,000,000 1,991,480
8/29/97 5.70 1,000,000 995,590
PHH Corp.
9/9/97 5.60 2,000,000 1,987,997
10/9/97 5.62 3,000,000 2,968,145
10/31/97 5.61 2,000,000 1,972,043
Preferred Receivables Funding Corp.
8/13/97 5.53 5,000,000 4,990,817
8/19/97 5.67 1,000,000 997,190
8/20/97 5.54 5,000,000 4,985,460
8/21/97 5.55 4,000,000 3,987,733
Sears Roebuck Acceptance Corp.
8/11/97 5.57 2,000,000 1,996,917
8/26/97 5.63 6,000,000 5,976,792
Textron, Inc.
8/8/97 5.70 2,000,000 1,997,795
8/13/97 5.70 2,000,000 1,996,220
8/15/97 5.70 4,900,000 4,889,196
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Triple A One Funding Corp.
8/4/97 5.55% $ 1,127,000 $ 1,126,481
8/8/97 5.58 1,105,000 1,103,806
8/8/97 5.64 2,786,000 2,782,972
8/14/97 5.55 6,677,000 6,663,691
Unifunding, Inc.
9/10/97 5.68 3,000,000 2,981,333
10/1/97 5.61 2,000,000 1,981,226
10/17/97 5.57 10,000,000 9,882,354
TOTAL COMMERCIAL PAPER 642,297,449
FEDERAL AGENCIES (A) - 4.4%
FEDERAL HOME LOAN BANK - AGENCY COUPONS - 0.3%
12/4/97 5.71 5,000,000 4,998,510
FEDERAL NATIONAL MORTGAGE ASSOC. - AGENCY COUPONS - 4.1%
9/8/97 5.67 25,000,000 24,997,721
12/9/97 5.71 30,000,000 29,990,704
6/12/98 5.71 10,000,000 9,995,830
64,984,255
TOTAL FEDERAL AGENCIES 69,982,765
BANK NOTES - 1.5%
Bank of America National Trust & Savings Assoc.
8/1/97 5.70 5,000,000 5,000,000
Comerica Bank
3/27/98 6.20 5,000,000 4,993,780
Harris Trust & Savings Bank, Chicago
8/7/97 5.55 5,000,000 5,000,000
Huntington National Bank
9/30/97 5.50 3,000,000 3,001,041
PNC Bank, NA
8/11/97 5.64 (a) 6,000,000 5,998,637
TOTAL BANK NOTES 23,993,458
MASTER NOTES (A) - 1.8%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
Goldman Sachs Group, L.P. (The)
8/5/97 5.82% $ 7,000,000 $ 7,000,000
3/13/98 (c) 5.81 15,000,000 15,000,000
Norwest Corp.
8/1/97 5.63 7,000,000 7,000,000
TOTAL MASTER NOTES 29,000,000
MEDIUM-TERM NOTES (A) - 4.3%
CoreStates Capital Corp.
10/29/97 5.62 25,000,000 25,000,000
General Motors Acceptance Corp.
8/1/97 5.82 6,000,000 6,000,000
8/1/97 5.95 3,000,000 2,999,677
Key Bank of New York
8/1/97 5.68 6,000,000 6,000,000
Liquid Asset Backed Securities Trust (1996-2) (b)
12/1/97 5.72 8,000,000 8,000,000
Merrill Lynch & Co., Inc.
8/18/97 5.67 5,000,000 4,999,954
Norwest Corp.
10/22/97 5.77 8,000,000 8,000,000
SMM Trust (1996-P) (b)
12/16/97 5.70 7,500,000 7,500,000
TOTAL MEDIUM-TERM NOTES 68,499,631
TIME DEPOSITS - 6.2%
Bank of Tokyo - Mitsubishi, Ltd.
8/14/97 5.66 4,000,000 4,000,000
9/2/97 5.63 1,000,000 1,000,000
Deutsche Bank, Germany
8/1/97 5.88 40,000,000 40,000,000
Sumitomo Bank, Ltd.
9/3/97 5.69 3,000,000 3,000,000
SunTrust Bank, Atlanta
8/1/97 5.88 50,000,000 50,000,000
TOTAL TIME DEPOSITS 98,000,000
REPURCHASE AGREEMENTS - 0.7%
MATURITY VALUE
AMOUNT (NOTE 1)
In a joint trading account
(U.S. Treasury Obligations)
dated 7/31/97 due 8/1/97
At 5.77% $ 10,959,756 $ 10,958,000
TOTAL INVESTMENTS - 100% $ 1,588,827,180
Total Cost for Income Tax Purposes $ 1,588,827,180
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 $15,500,000 or
1.0% of net assets.
3. Restricted securities - Investment in securities not registered
under the Securities Act of 1933 (see Note 2 of Notes to Financial
Statements).
Additional information on each holding is as follows:
ACQUISITION ACQUISITION
SECURITY DATE COST
Goldman Sachs
Group, L.P. (The)
5.81%, 3/13/98 6/11/97 $ 15,000,000
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $15,000,000 or 1.0% of net assets.
INCOME TAX INFORMATION
At July 31, 1997, the fund had a capital loss carryforward of
approximately $27,600 all of which will expire on July 31, 2002.
CAPITAL RESERVES: MONEY MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JULY 31, 1997
ASSETS
INVESTMENT IN SECURITIES, AT VALUE (INCLUDING REPURCHASE AGREEMENTS OF $10,958,000) - $ 1,588,827,180
SEE ACCOMPANYING SCHEDULE
CASH 3,389,716
INTEREST RECEIVABLE 8,553,665
TOTAL ASSETS 1,600,770,561
LIABILITIES
PAYABLE FOR INVESTMENTS PURCHASED $ 27,961,065
DISTRIBUTIONS PAYABLE 268,096
ACCRUED MANAGEMENT FEE 449,828
OTHER PAYABLES AND ACCRUED EXPENSES 896,793
TOTAL LIABILITIES 29,575,782
NET ASSETS $ 1,571,194,779
NET ASSETS CONSIST OF:
PAID IN CAPITAL $ 1,571,222,347
ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS (27,568)
NET ASSETS, FOR 1,571,209,906 SHARES OUTSTANDING $ 1,571,194,779
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $1.00
($1,571,194,779 (DIVIDED BY) 1,571,209,906 SHARES)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JULY 31, 1997
INTEREST INCOME $ 80,671,939
EXPENSES
MANAGEMENT FEE $ 7,218,216
TRANSFER AGENT FEES 3,481,900
DISTRIBUTION FEES 5,048,673
ACCOUNTING FEES AND EXPENSES 159,277
NON-INTERESTED TRUSTEES' COMPENSATION 6,853
CUSTODIAN FEES AND EXPENSES 35,858
REGISTRATION FEES 272,666
AUDIT 39,374
LEGAL 16,809
MISCELLANEOUS 32,670
TOTAL EXPENSES BEFORE REDUCTIONS 16,312,296
EXPENSE REDUCTIONS (2,025,405) 14,286,891
NET INTEREST INCOME 66,385,048
NET REALIZED GAIN (LOSS) ON INVESTMENTS 51,237
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 66,436,285
OTHER INFORMATION
EXPENSE REDUCTIONS
FMR REIMBURSEMENT $ 2,020,228
CUSTODIAN INTEREST CREDITS 5,177
$ 2,025,405
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JULY 31, JULY 31,
1997 1996
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS $ 66,385,048 $ 51,509,103
NET INTEREST INCOME
NET REALIZED GAIN (LOSS) 51,237 52,325
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 66,436,285 51,561,428
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INTEREST INCOME (66,385,048) (51,509,103)
SHARE TRANSACTIONS AT NET ASSET VALUE OF $1.00 PER SHARE 8,451,583,940 6,814,075,501
PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS FROM NET INTEREST INCOME 63,559,395 49,162,495
COST OF SHARES REDEEMED (8,174,547,148) (6,608,717,752)
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS 340,596,187 254,520,244
TOTAL INCREASE (DECREASE) IN NET ASSETS 340,647,424 254,572,569
NET ASSETS
BEGINNING OF PERIOD 1,230,547,355 975,974,786
END OF PERIOD $ 1,571,194,779 $ 1,230,547,355
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED JULY 31,
1997 1996 1995 1994 1993
SELECTED PER-SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
INCOME FROM INVESTMENT OPERATIONS .046 .047 .048 .027 .025
NET INTEREST INCOME
LESS DISTRIBUTIONS
FROM NET INTEREST INCOME (.046) (.047) (.048) (.027) (.025)
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 4.69% 4.80% 4.86% 2.72% 2.57%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD (000 OMITTED) $ 1,571,195 $ 1,230,547 $ 975,975 $ 680,149 $ 601,498
RATIO OF EXPENSES TO AVERAGE NET ASSETS .99% B .99% B .99% B .98% B .95% B
RATIO OF NET INTEREST INCOME TO AVERAGE NET ASSETS 4.60% 4.69% 4.80% 2.70% 2.52%
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN (SEE NOTE 5 OF NOTES TO
FINANCIAL STATEMENTS).
B FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS).
CAPITAL RESERVES: U.S. GOVERNMENT PORTFOLIO
INVESTMENTS JULY 31, 1997
Showing Percentage of Total Value of Investment in Securities
U.S. TREASURY OBLIGATIONS - 15.0%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
U.S. TREASURY BILLS - 8.6%
3/5/98 5.64% $ 3,500,000 $ 3,387,912
3/5/98 5.67 2,500,000 2,419,593
4/2/98 6.00 5,000,000 4,808,156
4/2/98 6.03 3,000,000 2,884,269
4/30/98 6.01 1,000,000 957,198
4/30/98 6.04 1,500,000 1,435,457
4/30/98 6.05 1,000,000 956,934
4/30/98 6.07 2,000,000 1,913,558
5/28/98 5.88 5,000,000 4,768,736
23,531,813
U.S. TREASURY NOTES - 6.4%
11/30/97 5.50 1,000,000 999,161
2/28/98 5.67 3,000,000 2,989,104
3/31/98 5.60 2,000,000 2,003,746
3/31/98 5.62 2,000,000 2,003,377
3/31/98 5.69 2,500,000 2,502,997
3/31/98 5.73 1,000,000 1,000,885
3/31/98 5.93 3,000,000 2,983,346
5/15/98 5.67 3,000,000 3,008,008
17,490,624
TOTAL U.S. TREASURY OBLIGATIONS 41,022,437
REPURCHASE AGREEMENTS - 85.0%
MATURITY VALUE
AMOUNT (NOTE 1)
In a joint trading account
(Notes 2 & 3)
(U.S. Treasury Obligations):
dated 7/31/97 due 8/1/97
At 5.76% $ 24,906,985 $ 24,903,000
At 5.78% 186,029,857 186,000,000
dated 5/21/97 due 8/19/97
At 5.55% 4,055,500 4,000,000
dated 7/8/97 due 9/15/97
At 5.48% 5,052,517 5,000,000
dated 7/7/97 due 9/24/97
At 5.49% 9,108,428 9,000,000
dated 7/30/97 due 10/28/97
At 5.50% 4,055,500 4,000,000
TOTAL REPURCHASE AGREEMENTS 232,903,000
TOTAL INVESTMENTS - 100% $ 273,925,437
Total Cost for Income Tax Purposes $ 273,925,437
INCOME TAX INFORMATION
At July 31, 1997, the fund had a capital loss carryforward of
approximately $49,200 of which $34,100 and $15,100 will expire on July
31, 2002 and 2003, respectively.
CAPITAL RESERVES: U.S. GOVERNMENT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JULY 31, 1997
ASSETS
INVESTMENT IN SECURITIES, AT VALUE (INCLUDING REPURCHASE AGREEMENTS OF $232,903,000) - $ 273,925,437
SEE ACCOMPANYING SCHEDULE
INTEREST RECEIVABLE 449,935
TOTAL ASSETS 274,375,372
LIABILITIES
SHARE TRANSACTIONS IN PROCESS $ 676,114
DISTRIBUTIONS PAYABLE 62,167
ACCRUED MANAGEMENT FEE 84,948
OTHER PAYABLES AND ACCRUED EXPENSES 147,710
TOTAL LIABILITIES 970,939
NET ASSETS $ 273,404,433
NET ASSETS CONSIST OF:
PAID IN CAPITAL $ 273,453,596
ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS (49,163)
NET ASSETS, FOR 273,451,847 SHARES OUTSTANDING $ 273,404,433
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $1.00
($273,404,433 (DIVIDED BY) 273,451,847 SHARES)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JULY 31, 1997
INTEREST INCOME $ 13,571,596
EXPENSES
MANAGEMENT FEE $ 1,241,497
TRANSFER AGENT FEES 543,292
DISTRIBUTION FEES 869,049
ACCOUNTING FEES AND EXPENSES 44,542
NON-INTERESTED TRUSTEES' COMPENSATION 685
CUSTODIAN FEES AND EXPENSES 3,224
REGISTRATION FEES 119,544
AUDIT 20,073
LEGAL 3,144
MISCELLANEOUS 3,284
TOTAL EXPENSES BEFORE REDUCTIONS 2,848,334
EXPENSE REDUCTIONS (390,190) 2,458,144
NET INTEREST INCOME 11,113,452
NET REALIZED GAIN (LOSS) ON INVESTMENTS 3,931
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 11,117,383
OTHER INFORMATION
EXPENSE REDUCTIONS
FMR REIMBURSEMENT $ 390,190
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JULY 31, JULY 31,
1997 1996
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS $ 11,113,452 $ 9,545,911
NET INTEREST INCOME
NET REALIZED GAIN (LOSS) 3,931 2,207
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 11,117,383 9,548,118
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INTEREST INCOME (11,113,452) (9,545,911)
SHARE TRANSACTIONS AT NET ASSET VALUE OF $1.00 PER SHARE 1,527,861,509 1,626,194,942
PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS FROM NET INTEREST INCOME 10,420,892 8,864,200
COST OF SHARES REDEEMED (1,465,385,550) (1,636,522,705)
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS 72,896,851 (1,463,563)
TOTAL INCREASE (DECREASE) IN NET ASSETS 72,900,782 (1,461,356)
NET ASSETS
BEGINNING OF PERIOD 200,503,651 201,965,007
END OF PERIOD $ 273,404,433 $ 200,503,651
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED JULY 31,
1997 1996 1995 1994 1993
SELECTED PER-SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
INCOME FROM INVESTMENT OPERATIONS .045 .046 .045 .025 .024
NET INTEREST INCOME
LESS DISTRIBUTIONS
FROM NET INTEREST INCOME (.045) (.046) (.045) (.025) (.024)
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 4.55% 4.70% 4.64% 2.52% 2.40%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD (000 OMITTED) $ 273,404 $ 200,504 $ 201,965 $ 306,261 $ 264,483
RATIO OF EXPENSES TO AVERAGE NET ASSETS .99% B .99% B .99% B .98% B .95% B
RATIO OF NET INTEREST INCOME TO AVERAGE NET ASSETS 4.48% 4.62% 4.41% 2.50% 2.39%
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN (SEE NOTE 5 OF NOTES TO
FINANCIAL STATEMENTS).
B FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS).
CAPITAL RESERVES: MUNICIPAL MONEY MARKET PORTFOLIO
INVESTMENTS JULY 31, 1997
Showing Percentage of Total Value of Investment in Securities
MUNICIPAL SECURITIES (A) - 100%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
ALABAMA - 1.3%
Roanoke Ind. Dev. Board Ind. Dev. Rev. (Wehadkee/Rock Mills Proj.)
Series 1992, 3.89%,
LOC SunTrust Bank, Atlanta, VRDN (b) $ 900,000 $ 900,000
Talladega Ind. Dev. Rev. (Wehadkee Yarn Mills Proj.) Series 1990,
3.80%,
LOC SunTrust Bank, Atlanta, VRDN (b)(d) 905,000 905,000
1,805,000
ARIZONA - 6.6%
Arizona Ed. Loan Mktg. Corp. Series 1991 A, 3.75%, LOC Dresdner Bank,
A.G.,
Germany, VRDN (b) 900,000 900,000
Mesa Gen. Oblig. Rfdg. Bonds Series 1992, 4.95% 7/1/98 (FGIC Insured)
1,605,000 1,619,252
Mohave County Ind. Dev. Auth. Dev. Rev. Bonds Series 1993 E, 3.95%
10/10/97, CP mode (b) 500,000 500,000
Phoenix Civic Impt. Corp. Arpt. Impt. Series 1995, 3.75%, LOC
Landesbank
Hessen-Thuringen, VRDN (b) 1,000,000 1,000,000
Pima County Ind. Dev. Auth. (Tucson Elec. Pwr. Co. Proj.) Series 1990
A, 3.70%,
LOC Bankers Trust Co., 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)(d) 1,000,000
1,000,000
Pinal County Ind. Dev. Auth. Ind. Dev. Rev. (Sunbelt Refining Co. LP
Proj.) Series 1988, 3.75%,
LOC Bankers Trust Co., VRDN (b) 3,400,000 3,400,000
9,319,252
ARKANSAS - 1.8%
Clark County Solid Waste Disp. Rev. (Reynolds Metals Co. Proj.) 3.70%,
LOC SunTrust Bank, Atlanta, VRDN (b) 2,500,000 2,500,000
CALIFORNIA - 5.5%
California TRAN School Cash Reserves Prog. 1997 Pool Series A, 4.75%
7/2/98
(LOC Ind. Bank of Japan, Ltd.) 3,000,000 3,023,844
Los Angeles County Gen. Oblig. TRAN 4.50% 6/30/98 1,800,000
1,810,248
Los Angeles Gen. Oblig. TRAN 4.50% 6/30/98 2,500,000 2,513,608
Los Angeles Unified School Dist. TRAN Series 1997-98, 4.50% 7/1/98
500,000 503,084
7,850,784
COLORADO - 1.7%
Denver City and County Arpt. Rev. Participating VRDN 3.85%
(Liquidity Facility Caisse des Depots et Consignations) (b)(c)
1,000,000 1,000,000
Fort Collins County Ind. Dev. Rev. (Phelps-Tointon Millwork Proj.)
Series 1993, 3.80%,
LOC Bank One, Milwaukee, VRDN (b)(d) 1,350,000 1,350,000
2,350,000
DELAWARE - 0.7%
Delaware Econ. Dev. Auth. Ind. Dev. Rev. Bonds (Delaware City Waste
Recovery Proj.)
Series 1996 A, 3.75% 8/12/97 LOC Canadian Imperial Bank of Commerce,
CP mode (b) 1,000,000 1,000,000
DISTRICT OF COLUMBIA - 0.4%
Metropolitan Washington Arpt. Auth. Rev. Bonds 3.75% 8/23/97
LOC NationsBank, NA, CP mode (b) 500,000 500,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
FLORIDA - 4.0%
Dade County Hsg. Fin. (Bank One Corp.) Participating VRDN Series 1991
A, 3.90%
(Liquidity Facility Bank One, Colorado) (b)(c)(d) $ 705,000 $ 705,000
Dade County Multi-Family Hsg. Rev. (Biscayne View Apts. Proj.) Series
1993, 3.95%
(Commonwealth Life Ins. Co. Guaranteed) VRDN (b) 1,475,000
1,475,000
Jacksonville Health Fac. Auth. Participating VRDN, Series 1996 M,
3.65%
(Liquidity Facility Caisse des Depots et Consignations) (c)(d)
975,000 975,000
Okeechobee County Solid Waste Rev. (Chambers Waste Sys.) Series 1992,
3.85%,
LOC Morgan Guaranty Trust NY, VRDN (b)(d) 650,000 650,000
Sunrise Util. Sys. Participating VRDN Series 1996 A, 3.75%
(Liquidity Facility Societe Generale, France) (c)(d) 1,800,000
1,800,000
5,605,000
GEORGIA - 2.2%
Brunswick & Glynn County Dev. Auth. (Georgia Pacific Corp. Proj.)
Series 1996, 3.80%,
LOC Commerzbank, Germany, VRDN (b) 1,000,000 1,000,000
Burke County Dev. Auth. Poll. Cont. Rev. Bonds (Oglethorpe Pwr. Corp.
Vogtle. Proj.)
Series 1997 A, 3.60% 12/1/97 (AMBAC Insured) 1,000,000 1,000,000
Dekalb County Hsg. Auth. Multi-Family Hsg. Rev. (Bryton Hill Apts.
Proj.) Series 1996, 3.85%,
LOC PNC Bank, Kentucky, VRDN (b) 1,000,000 1,000,000
Pierce County Ind. Dev. & Bldg. Auth. Rev. (American Egg Prods., Inc.
Proj.) Series 1989, 3.80%,
LOC SunTrust Bank, Atlanta, VRDN (b) 145,000 145,000
3,145,000
IDAHO - 2.5%
Idaho Hsg. and Fin. Assoc. Hsg. Rev. Series 1997, 3.85%,
LOC US Nat'l. Bank of Oregon, VRDN (b) 3,500,000 3,500,000
ILLINOIS - 7.2%
Chicago School Reform Participating VRDN, Series 96-BB, 3.78%
(Liquidity Facility Bank of America) (c) 1,000,000 1,000,000
Chicago O' Hare Int'l. Arpt. Rev. Series 1988 A, 3.70%,
LOC Bayerische Landesbank Girozentrale, VRDN (b) 3,300,000
3,300,000
Illinois Dev. Fin. Auth. Poll. Cont. Rev. VRDN:
Series A, 3.80% (Liquidity Facility First Nat'l. Bank of Chicago)
(MBIA Insured) (b) 1,300,000 1,300,000
Series B, 3.70% (Liquidity Facility First Nat'l. Bank of Chicago)
(MBIA Insured) (b) 1,000,000 1,000,000
Illinois Dev. Fin. Auth. (Kindlon Partners Proj.) 3.90%,
LOC LaSalle Nat'l. Bank, PLC, VRDN (b) 900,000 900,000
Illinois Health Facs. Auth. Participating VRDN (c):
Series 1991 A & 1991 B, 3.70% (Liquidity Facility Rabobank Nederland,
COOP Central) (d) 550,000 550,000
Rfdg. 3.70% (Liquidity Facility Rabobank Nederland, COOP Central) (d)
645,000 645,000
Illinois Hsg. Dev. Auth. Multi-Family Hsg. Rev. (Williamsburg Apt.
Proj.) Series 1991, 3.75%,
LOC Landesbank Hessen-Thuringen (FNMA Guaranteed) VRDN (b) 400,000
400,000
Illinois Regional Trans. Auth. Participating VRDN, Series 1991 A,
3.75%
(Liquidity Facility Societe Generale, France) (c)(d) 1,000,000
1,000,000
10,095,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
INDIANA - 0.5%
Portage Township School TAN 3.86% 12/31/97 $ 650,000 $ 650,417
KENTUCKY - 0.8%
Cynthiana Ind. Dev. Rev. (E.D. Bullard Co. Proj.) Series 1992, 3.90%,
LOC NationsBank, NA,VRDN (b) 600,000 600,000
Louisville Arpt. Lease Rev. Series 1989 B, 3.75%,
LOC Nat'l. City Bank of Kentucky, VRDN (b) 500,000 500,000
1,100,000
LOUISIANA - 2.3%
Lake Charles Hbr. and Term. Dist. Port Impt. Rev. 3.70%,
LOC Nat'l. Westminster Bank PLC, VRDN (b) 2,000,000 2,000,000
West Baton Rouge Parish Ind. Dist. #3 Rev. (Dow Chemical Co. Proj.)
Series 1993, 3.95%, VRDN (b) 1,200,000 1,200,000
3,200,000
MARYLAND - 1.1%
Baltimore Econ. Dev. Rev. (Rock-Tenn Converting Co.) Series 1987,
3.80%,
LOC SunTrust Bank, Atlanta, VRDN (b)(d) 570,000 570,000
Montgomery County Hsg. Rev. Opportunities Commission 1997 Issue I,
3.75%,
LOC KeyBank, NA, VRDN (b) 1,000,000 1,000,000
1,570,000
MICHIGAN - 3.4%
Michigan Hsg. Dev. Auth. Participating VRDN, Series 1995 B, 3.85%
(Liquidity Facility Credit Suisse First Boston) (b)(c)(d) 910,000
910,000
Wayne County Arpt. Rev. Rfdg. (Detroit Met. Wayne Co.) Series 1996 B,
3.65%,
LOC Bayerische Landesbank Girozentale, VRDN (b) 3,900,000 3,900,000
4,810,000
MINNESOTA - 0.7%
Minneapolis/St. Paul Hsg. and Redev. Auth. Participating VRDN, Series
1996 E,
3.85% (FSA Insured) (Liquidity Facility Norwest Bank, NA, Minnesota)
(c)(d) 1,000,000 1,000,000
MISSOURI - 0.3%
Independence Ind. Dev. Auth. (Interlock Realty Co. Proj.) 3.90%,
LOC Star Bank, NA, VRDN (b) 415,000 415,000
NEVADA - 5.0%
Clark County Ind. Dev. Rev. (Nevada Pwr. Co. Proj.) Series 1995 A,
3.75%,
LOC Barclays Bank, PLC, UK, VRDN (b) 3,250,000 3,250,000
Clark County School Dist. Participating VRDN, Series 1996, 3.75%
(Liquidity Facility Bankers Trust Co.) (c)(d) 1,000,000 1,000,000
Clark County Poll. Cont. Rev. Bonds Series 1987 A, 3.80% 8/13/97, CP
mode (b) 2,800,000 2,800,000
7,050,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
NEW HAMPSHIRE - 2.8%
New Hampshire Bus. Fin. Auth. Poll. Cont. Rev.:
Bonds (New England Pwr. Co.) Series 1990 A, 3.85% 9/18/97, CP mode
(b) $ 500,000 $ 500,000
(United Illumination Co.) Series 1997 A, 3.75%, LOC Barclays Bank
PLC, VRDN (b) 3,400,000 3,400,000
3,900,000
NEW JERSEY - 0.4%
New Jersey Hsg. & Mtg. Fin. Agcy. Participating VRDN, 3.80%
(Liquidity Facility BANCO Santander) (b)(c)(d) 500,000 500,000
NORTH CAROLINA - 0.5%
Piedmont Triad Arpt. Auth. Spl. Facs. Rev. (Triad Int'l. Maintenance
Corp. Proj.)
Series 1989, 4%, LOC Mellon Bank, NA, VRDN (b)(d) 700,000 700,000
OHIO - 4.8%
Ohio Air Quality Dev. Auth. Bonds Series 1988 (Duquesne Lt. Co.):
3.80% 9/17/97, LOC Toronto-Dominion Bank, CP mode (b) 1,000,000
1,000,000
3.80% 9/18/97, LOC Toronto-Dominion Bank, CP mode (b) 2,000,000
2,000,000
3.90% 10/16/97, LOC Toronto-Dominion Bank, CP mode (b) 2,000,000
2,000,000
Ohio Envir. Impt. Rev. (Newark Group Industries, Inc. Proj.) Series
1996, 3.75%,
LOC Chase Manhattan Bank, VRDN (b) 1,000,000 1,000,000
Ohio Hsg. Fin. Agcy. Participating VRDN, Series 96-6, 3.80%
(Liquidity Facility Bank of New York, NY) (b)(c)(d) 800,000 800,000
6,800,000
OKLAHOMA - 2.4%
Guymon Utils. Auth. Rev. (Seaboard Proj.) Series 1995, 3.80%,
LOC SunTrust Bank, Atlanta, VRDN (b) 3,300,000 3,300,000
OREGON - 0.4%
Oregon Hsg. & Commty. Svcs. Dept. Mtg. Bonds (Single Family Mtg.
Prog.)
Series K, 3.65%, tender 12/11/97 (b) 500,000 500,000
PENNSYLVANIA - 7.9%
Berks County Ind. Dev. Auth. Facs. Rev. (RAM Industries, Inc.) Series
1996, 3.90%,
LOC CoreStates Bank, VRDN (b) 350,000 350,000
Bucks County Ind. Dev. Auth.:
(Associates Proj.) Series 1993, 3.90%, LOC CoreStates Bank, VRDN (b)
1,210,000 1,210,000
(Double H Plastics Inc. Proj.) Series 1993, 3.90%, LOC CoreStates
Bank, VRDN (b) 2,235,000 2,235,000
Carbon County Ind. Dev. Auth. Resource Recovery Rev. Bonds (Panther
Creek Partners Proj.)
Series 1991 A, 3.85% 8/20/97, LOC Nat'l. Westminster Bank PLC, CP mode
1,250,000 1,250,000
Pennsylvania Econ. Dev. Fin. Auth. Rev.:
(ASK Foods, Inc.) Series A-1, 3.90%, LOC PNC Bank, NA, VRDN (b)(d)
385,000 385,000
(Dodge-Regupol, Inc. Proj.) Series D-4, 3.90%, LOC PNC Bank, NA, VRDN
(b) 1,400,000 1,400,000
(Port Erie Plastics Proj.) Series 1989 D-9, 3.90%, LOC PNC Bank, NA,
VRDN (b)(d) 250,000 250,000
(Sun Star, Inc. Proj.) Series 1994 A-5, 3.90%, LOC PNC Bank, NA, VRDN
(b) 1,000,000 1,000,000
Pennsylvania Higher Edl. Assistance Agcy. Student Loan Rev. Series
1997 A, 3.80%,
LOC Student Loan Marketing Assoc., VRDN (b) 1,000,000 1,000,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
PENNSYLVANIA - CONTINUED
Philadelphia Gen. Oblig. TRAN Series A 1997-98, 4.50% 6/30/98 $
1,000,000 $ 1,004,385
Venango Ind. Dev. Auth. Resource Recovery Rev. Bonds (Scrubgrass
Proj.)
Series 1990 B, 3.80% 10/23/97, LOC Nat'l. Westminster Bank PLC, CP
mode (b) 1,000,000 1,000,000
11,084,385
RHODE ISLAND - 1.4%
Rhode Island Ind. Fac. Corp. Ind. Dev. Rev. (NFA Corp. Proj.) 4.10%,
LOC BankBoston (b)(d) 1,900,000 1,900,000
SOUTH CAROLINA - 1.9%
Marlboro County Solid Waste Disp. Fac. (Willamette Ind., Inc. Proj.)
Series 1995, 3.75%,
LOC Deutsche Bank, AG, VRDN (b) 700,000 700,000
South Carolina Econ. Dev. Rev. (Paxar Corp. Proj.) Series 1996, 3.75%,
LOC Wachovia Bank of GA, NA, VRDN (b) 2,000,000 2,000,000
2,700,000
SOUTH DAKOTA - 1.0%
South Dakota Hsg. Dev. Auth.:
Participating VRDN, Series 1988 A, 3.85% (Liquidity Facility Merrill
Lynch & Co.) (b)(c) 440,000 440,000
Series 1997 E, 3.85%, LOC Westdeutsche Landesbank Girozentrale, VRDN
(b) 1,000,000 1,000,000
1,440,000
TENNESSEE - 3.6%
Cookeville Ind. Dev. Board Ind. Dev. Rev. (Delbar Products, Inc.
Proj.) Series 1989 A,
3.90%, LOC PNC Bank, NA, VRDN (b) 700,000 700,000
Memphis-Shelby County Poll. Cont. Rev. (Birmingham Steel) Series 1996,
3.90%,
LOC PNC Bank, Kentucky, VRDN (b) 500,000 500,000
Morristown Ind. Dev. (Lakeway Container, Inc. Proj.) Series 1993,
3.95%,
LOC First Tennessee Bank, NA, VRDN (b) 1,900,000 1,900,000
Tennessee Hsg. Dev. Agcy. Participating VRDN, Issue T, 3.85%
(Liquidity Facility Credit Suisse First Boston) (b)(c)(d) 1,000,000
1,000,000
Trenton Ind. Dev. Rev. (Dyersburg Fabrics, Inc.) Series 1990, 3.80%,
LOC SunTrust Bank, Atlanta, VRDN (b)(d) 995,000 995,000
5,095,000
TEXAS - 12.1%
Brazos River Auth. Poll. Cont. Rev. Rfdg. Bonds Series 1994 A, 3.80%
9/1/97,
LOC Canadian Imperial Bank of Commerce, CP mode (b) 1,500,000
1,500,000
Brazos River Hbr. Navigational Dist. Bonds (Dist. of Brazoria County):
Series 1991, 3.85% 9/11/97, CP mode 1,000,000 1,000,000
Series 1992, 3.90% 10/16/97, CP mode (b) 800,000 800,000
Cedar Hill Independent School Dist. Unltd. Tax School Bldg. and Rfdg.
Bonds Series 1996, 4% 8/15/97 705,000 705,079
Denton Util. Sys. Rev. Rfdg. Participating VRDN, Series 1996 A, 3.75%
(Liquidity Facility Societe Generale, France) (c)(d) 1,000,000
1,000,000
Gulf Coast Ind. Dev. Auth. Waste Disp. (Valero Manufacturing Co.)
Series 1997, 3.80%,
LOC Bank of Montreal, Canada, VRDN (b) 1,000,000 1,000,000
Harris County Health Facs Rev. (School Health Care Systems)
Series 1997 C, 3.65% (BPA Credit Suisse First Boston) VRDN 3,100,000
3,100,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
TEXAS - CONTINUED
Houston Arpt. Sys. (Senior Lien Notes) CP Series 1993 A, 3.80% 9/8/97
LOC Canadian Imperial Bank of Commerce (b) $ 1,500,000 $ 1,500,000
Lamarque Independent School Dist. Variable Rate TRAN Series 1996,
4.266% 8/29/97 (c) 1,200,000 1,200,000
Mineral Wells Ind. Dev. Rev. (Ameron Inter. Corp.) 3.70%,
LOC Commerzbank Germany, VRDN (b) 1,000,000 1,000,000
Port Corpus Christi Waste Rev. (Coastal Refining & Marketing) 3.80%,
LOC Banque Nationale de Paris, VRDN (b) 1,000,000 1,000,000
San Antonio Hsg. Fin. Auth. Rev. (Braesview Apts. Proj.) 3.75%,
LOC Credit Lyonnais (FNMA Guaranteed) VRDN (b) 3,200,000 3,200,000
17,005,079
UTAH - 0.6%
Utah Hsg. Fin. Agcy. Participating VRDN, Series 1995 A, 3.85%
(Liquidity Facility Rabobank Nederland, COOP Central) (b)(c)(d)
870,000 870,000
VIRGINIA - 1.7%
Frederick County Ind. Dev. Auth. Rev. (Nat'l. Wildlife Federation
Proj.) Series 1996, 3.85%,
LOC NationsBank, NA, VRDN (b) 1,000,000 1,000,000
Mecklenburg County Ind. Dev. Auth. Rev. (American Bldgs. Co. Proj.)
3.85%,
LOC LaSalle Nat'l. Bank, PLC, VRDN (b) 1,320,000 1,320,000
2,320,000
WASHINGTON - 3.9%
Algona Econ. Dev. Corp. Ind. Rev. (Aitchison Family Partnership)
Series 1992, 3.75%,
LOC Wells Fargo Bank, VRDN (b) 2,650,000 2,650,000
Port Bellingham Ind. Dev. Rev. (Sauder Woodcraft Corp.) 3.80%,
LOC Bank of America NT & SA, VRDN (b) 880,000 880,000
Washington Gen. Oblig. Participating VRDN, Series 1996, 3.75%
(Liquidity Facility Societe Generale, France) (c) 1,000,000
1,000,000
Washington Student Loan Fin. Assoc. Rev. Series 1988 A, 3.70%,
LOC Nat'l. Westminster Bank, VRDN (b) 1,000,000 1,000,000
5,530,000
WISCONSIN - 4.9%
Appleton Ind. Dev. Rev. (Pensar Corp. Proj.) Series 1993, 3.80%,
LOC Bank One, Milwaukee, VRDN (b)(d) 840,000 840,000
City of Eau Claire Solid Waste. Disp. Rev. (Pope & Talbot Proj.)
Series 1994, 3.75%,
LOC Wachovia Bank, VRDN (b) 2,000,000 2,000,000
Racine Ind. Dev. Rev. (Burlington Graphic Sys.) Series 1994, 3.80%,
LOC Bank One, Milwaukee, VRDN (b) 1,660,000 1,660,000
River Falls Ind. Dev. Rev. (Quadion Corp. Proj.) 3.85%,
LOC First Nat'l. Bank, Minnesota, VRDN (b) 2,395,000 2,395,000
6,895,000
MUNICIPAL SECURITIES (A) - CONTINUED
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
MULTIPLE-STATES - 1.7%
Clipper Participating VRDN Series 1995-1, 3.89%
(Liquidity Facility State Street Bank & Trust Co., Boston) (b)(c)(d)
$ 2,094,498 $ 2,094,498
Stephens Equity Trust #3 Participating VRDN, Series 1996, 3.88%,
LOC Bayerische Hypotheken Girozentrale (c)(d) 298,975 298,975
2,393,473
TOTAL INVESTMENTS - 100% $ 140,398,390
Total Cost for Income Tax Purposes $ 140,398,417
SECURITY TYPE ABBREVIATIONS
CP - Commercial Paper
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
Talladega Ind. Dev. Rev.
(Wehadkee Yarn Mills
Proj.) Series 1990,
3.80%, LOC SunTrust
Bank, Atlanta, VRDN 9/4/91 $ 905,000
Pima County School Dist.
#1 Participating VRDN
Series 1996 D, 3.85%
(FGIC Insured) (Liquidity
Facility Norwest Bank,
NA, Minnesota) 6/11/96 $ 1,000,000
ACQUISITION ACQUISITION
SECURITY DATE COST
Fort Collins County
Ind. Dev. Rev. (Phelps-
Tointon Millwork Proj.)
Series 1993, 3.80%,
LOC Bank One,
Milwaukee, VRDN 12/21/93 $ 1,350,000
Dade County Hsg. Fin.
(Bank One Corp.)
Participating VRDN,
Series 1991 A,
3.90% (Liquidity
Facility Bank One,
Colorado) 2/27/92 $ 705,000
Jacksonville Health Fac.
Auth. Participating
VRDN, Series 1996 M,
3.65% (Liquidity Facility
Caisse des Depots
et Consignations) 12/20/96 $ 975,000
Okeechobee County Solid
Waste Rev. (Chambers Waste
Sys.) Series 1992, 3.85%,
LOC Morgan Guaranty
Trust NY, VRDN 10/23/92 $ 650,000
Sunrise Util. Sys.
Participating VRDN,
Series 1996 A, 3.75%
(Liquidity Facility Societe
Generale, France) 7/24/97 $ 1,800,000
ACQUISITION ACQUISITION
SECURITY DATE COST
Illinois Health Facs. Auth.
Participating VRDN:
Series 1991A & 1991B,
3.70% (Liquidity Facility
Rabobank Nederland,
COOP Central) 5/22/97 $ 550,000
Rfdg. 3.70% (Liquidity
Facility Rabobank
Nederland,
COOP Central) 6/10/97 $ 645,000
Illinois Regional Trans.
Auth. Participating VRDN,
Series 1991 A, 3.75%
(Liquidity Facility Societe
Generale, France) 10/4/96 $ 1,000,000
Baltimore Econ. Dev. Rev.
(Rock-Tenn Converting Co.)
Series 1987, 3.80%,
LOC SunTrust Bank,
Atlanta, VRDN 3/26/96 $ 570,000
Michigan Hsg. Dev. Auth.
Participating VRDN,
Series 1995 B, 3.85%
(Liquidity Facility Credit
Suisse First Boston) 3/13/95 $ 910,000
Minneapolis/St. Paul Hsg.
and Redev. Auth.
Participating VRDN
Series 1996 E, 3.85%
(FSA Insured) (Liquidity
Facility Norwest Bank,
NA, Minnesota) 7/23/96 $ 1,000,000
Clark County School Dist.
Participating VRDN,
Series 1996, 3.75%
(Liquidity Facility Bankers
Trust Co.) 5/29/96 $ 1,000,000
New Jersey Hsg. & Mtg.
Fin. Agcy. Participating
VRDN, 3.80% (Liquidity
Facility BANCO
Santander) 6/26/97 $ 500,000
ACQUISITION ACQUISITION
SECURITY DATE COST
Piedmont Triad Arpt.
Auth. Spl. Facs. Rev.
(Triad Int'l. Maintenance
Corp. Proj.) Series 1989,
4%, LOC Mellon
Bank, NA, VRDN 7/29/93 $ 700,000
Ohio Hsg. Fin. Agcy.
Participating VRDN,
Series 96-6, 3.80%
(Liquidity Facility Bank
of New York, NY) 6/5/96 $ 800,000
Pennsylvania Econ. Dev.
Fin. Auth. Rev.:
(ASK Foods, Inc.)
Series A-1, 3.90%,
LOC PNC Bank.
NA, VRDN 9/30/92 $ 385,000
(Port Erie Plastics
Proj.) Series 1989 D-9,
3.90%, LOC PNC
Bank, NA, VRDN 4/3/91 $ 250,000
Rhode Island Ind. Fac.
Corp. Ind. Dev. Rev.
(NFA Corp. Proj.) 4.10%,
LOC BankBoston 9/2/94 $ 1,900,000
Tennessee Hsg. Dev. Agcy.
Participating VRDN
Issue T, 3.85%
(Liquidity Facility Credit
Suisse First Boston) 3/15/95 $ 1,000,000
Trenton Ind. Dev. Rev.
(Dyersburg Fabrics, Inc.)
Series 1990, 3.80%,
LOC SunTrust Bank,
Atlanta, VRDN 8/30/91 $ 995,000
Denton Util. Sys. Rev.
Rfdg. Participating
VRDN Series 1996 A,
3.75% (Liquidity Facility
Societe Generale, France) 8/21/96 $ 1,000,000
ACQUISITION ACQUISITION
SECURITY DATE COST
Utah Hsg. Fin. Agcy.
Participating VRDN,
Series 1995 A, 3.85%
(Liquidity Facility
Rabobank Nederland,
COOP Central) 7/1/96 $ 870,000
Appleton Ind. Dev. Rev.
(Pensar Corp. Proj.)
Series 1993, 3.80%,
LOC Bank One,
Milwaukee, VRDN 12/21/93 $ 840,000
Clipper Participating VRDN,
Series 1995-1, 3.89%
(Liquidity Facility State
Street Bank & Trust
Co., Boston) 1/31/96 $ 2,094,498
Stephens Equity Trust #3
Participating VRDN
Series 1996, 3.88%,
LOC Bayerische
Hypotheken Girozentrale 6/7/96 $ 298,975
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $24,693,473 or 17.3% of net assets.
INCOME TAX INFORMATION
At July 31, 1997, the fund had a capital loss carryforward of
approximately $25,800 of which $2,800, $2,200, $5,000, $14,500 and
$1,300 will expire on July 31, 2000, 2001, 2002, 2004 and 2005,
respectively.
CAPITAL RESERVES: MUNICIPAL MONEY MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
JULY 31, 1997
ASSETS
INVESTMENT IN SECURITIES, AT VALUE - SEE ACCOMPANYING SCHEDULE $ 140,398,390
CASH 1,760,999
INTEREST RECEIVABLE 655,082
TOTAL ASSETS 142,814,471
LIABILITIES
DISTRIBUTIONS PAYABLE $ 15,261
ACCRUED MANAGEMENT FEE 40,254
OTHER PAYABLES AND ACCRUED EXPENSES 92,550
TOTAL LIABILITIES 148,065
NET ASSETS $ 142,666,406
NET ASSETS CONSIST OF:
PAID IN CAPITAL $ 142,692,239
ACCUMULATED NET REALIZED GAIN (LOSS) ON INVESTMENTS (25,833)
NET ASSETS, FOR 142,692,239 SHARES OUTSTANDING $ 142,666,406
NET ASSET VALUE, OFFERING PRICE AND REDEMPTION PRICE PER SHARE $1.00
($142,666,406 (DIVIDED BY) 142,692,239 SHARES)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED JULY 31, 1997
INTEREST INCOME $ 5,439,589
EXPENSES
MANAGEMENT FEE $ 726,483
TRANSFER AGENT, ACCOUNTING AND CUSTODIAN FEES AND EXPENSES 376,041
DISTRIBUTION FEES 509,848
NON-INTERESTED TRUSTEES' COMPENSATION 349
REGISTRATION FEES 56,724
AUDIT 27,575
LEGAL 2,202
MISCELLANEOUS 2,317
TOTAL EXPENSES BEFORE REDUCTIONS 1,701,539
EXPENSE REDUCTIONS (263,646) 1,437,893
NET INTEREST INCOME 4,001,696
NET REALIZED GAIN (LOSS) ON INVESTMENTS (1,269)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,000,427
OTHER INFORMATION
EXPENSE REDUCTIONS
FMR REIMBURSEMENT $ 263,099
CUSTODIAN INTEREST CREDITS 547
$ 263,646
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
JULY 31, JULY 31,
1997 1996
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS $ 4,001,696 $ 3,675,894
NET INTEREST INCOME
NET REALIZED GAIN (LOSS) (1,269) (14,544)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 4,000,427 3,661,350
DISTRIBUTIONS TO SHAREHOLDERS FROM NET INTEREST INCOME (4,001,696) (3,675,894)
SHARE TRANSACTIONS AT NET ASSET VALUE OF $1.00 PER SHARE 798,232,153 802,017,521
PROCEEDS FROM SALES OF SHARES
REINVESTMENT OF DISTRIBUTIONS FROM NET INTEREST INCOME 3,859,216 3,543,229
COST OF SHARES REDEEMED (788,598,120) (800,191,110)
NET INCREASE (DECREASE) IN NET ASSETS AND SHARES RESULTING FROM SHARE TRANSACTIONS 13,493,249 5,369,640
TOTAL INCREASE (DECREASE) IN NET ASSETS 13,491,980 5,355,096
NET ASSETS
BEGINNING OF PERIOD 129,174,426 123,819,330
END OF PERIOD $ 142,666,406 $ 129,174,426
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED JULY 31,
1997 1996 1995 1994 1993
SELECTED PER-SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
INCOME FROM INVESTMENT OPERATIONS .027 .028 .029 .018 .019
NET INTEREST INCOME
LESS DISTRIBUTIONS
FROM NET INTEREST INCOME (.027) (.028) (.029) (.018) (.019)
NET ASSET VALUE, END OF PERIOD $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 2.78% 2.83% 2.94% 1.80% 1.96%
RATIOS AND SUPPLEMENTAL DATA
NET ASSETS, END OF PERIOD (000 OMITTED) $ 142,666 $ 129,174 $ 123,819 $ 116,497 $ 116,274
RATIO OF EXPENSES TO AVERAGE NET ASSETS .99% B .99% B .99% B .98% B .95% B
RATIO OF NET INTEREST INCOME TO AVERAGE NET ASSETS 2.75% 2.79% 2.89% 1.78% 1.92%
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN (SEE NOTE 5 OF NOTES TO
FINANCIAL STATEMENTS).
B FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD
HAVE BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS).
NOTES TO FINANCIAL STATEMENTS
For the period ended July 31, 1997
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) and are authorized to issue an unlimited number
of shares. The trust is registered under the Investment Company Act of
1940, as amended (the 1940 Act), as an open-end management investment
company organized as a Delaware business trust. 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 its fiscal year. The schedules of investments
include information regarding income taxes under the caption "Income
Tax Information."
INTEREST INCOME. Interest income, which includes amortization of
premium and accretion of 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 funds, along with other
affiliated entities of Fidelity Management & Research Company (FMR),
may transfer uninvested cash balances into one or more joint trading
accounts. These balances are invested in one or more repurchase
agreements for U.S. Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
securities are transferred to an account of the funds, or to the Joint
Trading Account, at a bank custodian. The securities are
marked-to-market daily and maintained at a value at least equal to the
principal amount of the repurchase agreement (including accrued
interest). FMR, the funds' investment adviser, is responsible for
determining that the value of the underlying securities remains in
accordance with the market value requirements stated above.
RESTRICTED SECURITIES. 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. Restricted securities (excluding
144A issues) at the end of the period are shown under the caption
"Other Information" at the end of each applicable fund's schedule of
investments.
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
3. JOINT TRADING ACCOUNT - CONTINUED
of the joint trading account investments were $24,906,985 at 5.76%,
$186,029,857 at 5.78%, $4,055,500 at 5.55%, $5,052,517 at 5.48%,
$9,108,428 at 5.49% and $4,055,000 at 5.50%, respectively. The
investments in repurchase agreements through the joint trading account
are summarized as follows:
SUMMARY OF JOINT TRADING
DATED JULY 31, 1997, DUE AUGUST 1, 1997
Number of dealers or banks 5
Maximum amount with one dealer or bank 30.9%
Aggregate principal amount of agreements $485,000,000
Aggregate maturity amount of agreements $485,077,601
Aggregate market value of transferred assets $495,846,673
Coupon rates of transferred assets 0.00% to 13.75%
Maturity dates of transferred assets 12/4/97 to 2/15/27
DATED JULY 31, 1997, DUE AUGUST 1, 1997
Number of dealers or banks 16
Maximum amount with one dealer or bank 21.8%
Aggregate principal amount of agreements $6,303,348,000
Aggregate maturity amount of agreements $6,304,359,814
Aggregate market value of transferred assets $6,435,438,434
Coupon rates of transferred assets 0.00% to 13.75%
Maturity dates of transferred assets 8/7/97 to 2/15/27
DATED MAY 21, 1997, DUE AUGUST 19, 1997
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $370,000,000
Aggregate maturity amount of agreements $375,133,750
Aggregate market value of transferred assets $378,063,628
Coupon rates of transferred assets 5.875% to 10.375%
Maturity dates of transferred assets 7/31/99 to 11/15/22
3. JOINT TRADING ACCOUNT - CONTINUED
SUMMARY OF JOINT TRADING - CONTINUED
DATED JULY 8, 1997, DUE SEPTEMBER 15, 1997
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $200,000,000
Aggregate maturity amount of agreements $202,100,667
Aggregate market value of transferred assets $208,154,870
Coupon rates of transferred assets 5.50% to 11.25%
Maturity dates of transferred assets 5/15/98 to 2/15/20
DATED JULY 7, 1997, DUE SEPTEMBER 24, 1997
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $900,000,000
Aggregate maturity amount of agreements $910,842,751
Aggregate market value of transferred assets $919,512,802
Coupon rates of transferred assets 5.375% to 7.50%
Maturity dates of transferred assets 11/30/97 to 8/15/25
DATED JULY 30, 1997, DUE OCTOBER 28, 1997
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $400,000,000
Aggregate maturity amount of agreements $405,500,000
Aggregate market value of transferred assets $408,068,528
Coupon rates of transferred assets 7.675% to 14.00%
Maturity dates of transferred assets 5/15/05 to 8/15/15
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.
4. FEES AND OTHER TRANSACTIONS WITH
AFFILIATES - CONTINUED
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and
Service Plans (the Plans), 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 Plans in the amount of $3,576,161, $582,654
and $360,533 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
$7,323,047, $1,200,868 and $722,212 for the Money Market, U.S.
Government and Municipal Money Market funds, respectively.
TRANSFER AGENT AND ACCOUNTING FEES. Fidelity Investments Institutional
Operations Company, Inc. (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 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 $315,668 for the Municipal Money
Market fund.
Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains
the accounting records for the Money Market and U.S. Government funds.
The Bank 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
$47,728 for the Municipal Money Market fund.
For the period, the transfer agent fees were equivalent to an annual
rate of .24%, .22% and .22% of average net assets for the Money
Market, U.S. Government and Municipal Money Market funds,
respectively.
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.
In addition, the funds' have entered into arrangements with their
custodian whereby interest earned on uninvested cash balances was used
to reduce a portion of the fund's expenses.
For the period, the reductions under these arrangements are shown
under the caption "Other Information" on each applicable fund's
Statement of Operations.
6. PROPOSED REORGANIZATIONS.
The Board of Trustees of the Capital Reserves: Money Market Portfolio,
U.S. Government Portfolio, and Municipal Money Market Portfolio
(Target Funds) have approved Agreements and Plans of Reorganization
(Agreements) between Money Market Portfolio and Prime Fund; U.S.
Government Portfolio and Treasury Fund; and Municipal Money Market
Portfolio and Tax-Exempt Fund (Reorganizations). The Agreements
provide for the transfer of all of the assets and the assumption of
all of the liabilities of Capital Reserves: Money Market Portfolio,
U.S. Government Portfolio and Municipal Money Market Portfolio by
Prime Fund, Treasury Fund and Tax-Exempt Fund, respectively, in
exchange solely for Capital Reserves
6. PROPOSED REORGANIZATIONS - CONTINUED
Class shares of Prime Fund, Treasury Fund and Tax-Exempt Fund,
respectively, equal in number to the outstanding shares of Capital
Reserves: Money Market Portfolio, U.S. Government Portfolio and
Municipal Money Market Portfolio, respectively, at the close of
business on the day that the Reorganizations are effective. Each
Reorganization can be consummated only if, among other things, it is
approved by the vote of a majority (as defined by the Investment
Company Act of 1940) of outstanding voting securities of the
applicable Target Fund. A Special Meeting of Shareholders (Meeting) of
each Target Fund will be held on September 17, 1997 to vote on the
Agreements. A detailed description of the proposed transactions and
voting information was sent to shareholders of each Target Fund on or
about July 21, 1997. If the Agreements are approved at the Meeting,
the Reorganizations are expected to become effective on or about
October 30, 1997.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Daily Money Fund and the Shareholders of Capital
Reserves: Money Market Portfolio, U.S. Government Portfolio and
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, 1997, 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 audit
to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts
and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of July 31, 1997 by correspondence
with the custodian. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the
financial position of Daily Money Fund: Capital Reserves: Money Market
Portfolio, Capital Reserves: U.S. Government Portfolio and Capital
Reserves: Municipal Money Market Portfolio as of July 31, 1997, 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 26, 1997
DISTRIBUTIONS
CAPITAL RESERVES: U.S. GOVERNMENT PORTFOLIO. A total of 20.66% 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 1998 of the applicable
percentage for use in preparing 1997 income tax returns.
CAPITAL RESERVES: MUNICIPAL MONEY MARKET PORTFOLIO. During fiscal year
ended 1997, 100% of the fund's income dividends was exempt from
federal income tax, and 71.35% of the fund's income dividends was
subject to the federal alternative minimum tax.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
SUB-ADVISER
FMR Texas Inc.
Irving, TX
OFFICERS
Edward C. Johnson 3d, PRESIDENT
Robert C. Pozen, SENIOR VICE PRESIDENT
Boyce Greer, VICE PRESIDENT
Robert Litterst, VICE PRESIDENT
Robert Duby, VICE PRESIDENT
Fred L. Henning, Jr., VICE PRESIDENT
Scott A. Orr, VICE PRESIDENT
Arthur S. Loring, SECRETARY
Richard A. Silver, 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
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
Gerald C. McDonough *
William O. McCoy *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
J. Gary Burkhead
GENERAL DISTRIBUTOR
National Financial Services Corporation
Boston, MA
* INDEPENDENT TRUSTEES
TRANSFER AND SHAREHOLDER
SERVICING AGENTS
Fidelity Investments Institutional
Operations Company, Inc.
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
