FIDELITY (registered trademark)
INSTITUTIONAL
MONEY MARKET
FUNDS
SEMIANNUAL REPORT
SEPTEMBER 30, 1999
(2_FIDELITY_LOGOS)(registered trademark)
CONTENTS
FIDELITY INSTITUTIONAL MONEY
MARKET FUNDS
SCHEDULES OF INVESTMENTS &
FINANCIAL STATEMENTS
TREASURY ONLY PORTFOLIO 3
TREASURY PORTFOLIO 7
GOVERNMENT PORTFOLIO 11
DOMESTIC PORTFOLIO 15
MONEY MARKET PORTFOLIO 21
TAX-EXEMPT PORTFOLIO 29
NOTES TO FINANCIAL STATEMENTS 42
FUND GOALS:
TREASURY ONLY PORTFOLIO, TREASURY PORTFOLIO, GOVERNMENT PORTFOLIO,
DOMESTIC PORTFOLIO, AND MONEY MARKET PORTFOLIO SEEK TO OBTAIN AS HIGH
A LEVEL OF CURRENT INCOME AS IS CONSISTENT WITH THE PRESERVATION OF
PRINCIPAL AND LIQUIDITY WITHIN THE LIMITATIONS PRESCRIBED FOR THE
FUND.
TAX-EXEMPT PORTFOLIO SEEKS AS HIGH A LEVEL OF INTEREST INCOME EXEMPT
FROM FEDERAL INCOME TAX AS IS CONSISTENT WITH A PORTFOLIO OF
HIGH-QUALITY, SHORT-TERM MUNICIPAL OBLIGATIONS SELECTED ON THE BASIS
OF LIQUIDITY AND STABILITY OF PRINCIPAL.
Third party marks appearing herein are the property of their
respective owners.
All other marks appearing herein are registered or unregistered
trademarks or service marks of FMR Corp. or an affiliated company.
(recycle logo) This report is printed on recycled paper using
soy-based inks.
INVESTMENTS IN THE FUNDS ARE NEITHER INSURED NOR GUARANTEED BY THE
U.S. GOVERNMENT, AND THERE CAN BE NO ASSURANCE THAT THE FUNDS WILL
MAINTAIN A STABLE $1.00 SHARE PRICE.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUNDS. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE
INVESTORS IN THE FUNDS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE
PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC,
FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT
INVESTED. NEITHER THE FUNDS NOR FIDELITY DISTRIBUTORS IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND
EXPENSES, CALL THE APPROPRIATE NUMBER LISTED BELOW. READ THE
PROSPECTUS CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
RETIREMENT PLAN LEVEL ACCOUNTS
CORPORATE CLIENTS 1-800-962-1375
"NOT FOR PROFIT" CLIENTS 1-800-343-0860
FINANCIAL AND OTHER INSTITUTIONS
NATIONWIDE 1-800-843-3001
TREASURY ONLY PORTFOLIO
INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -
98.5%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
U.S. TREASURY BILLS - 2.0%
11/12/99 4.87% $ 20,000,000 $ 19,887,767
11/26/99 4.89 4,334,000 4,301,437
24,189,204
U.S. TREASURY NOTES - 92.7%
10/15/99 4.74 4,714,000 4,716,049
10/15/99 4.80 50,000,000 50,019,631
10/15/99 4.82 25,000,000 25,009,640
10/31/99 4.61 10,000,000 10,020,674
10/31/99 4.63 20,000,000 20,011,230
10/31/99 4.70 30,000,000 30,059,972
10/31/99 4.71 15,000,000 15,028,919
10/31/99 4.72 25,000,000 25,012,395
10/31/99 4.80 30,000,000 30,059,495
11/15/99 4.63 30,000,000 30,038,275
11/15/99 4.70 120,000,000 120,140,627
11/15/99 4.73 85,000,000 85,097,976
11/15/99 4.76 10,956,000 10,968,411
11/15/99 4.80 40,000,000 40,042,394
11/30/99 4.87 25,000,000 25,109,327
11/30/99 4.91 23,000,000 23,100,326
11/30/99 4.92 25,000,000 25,108,817
11/30/99 4.93 25,000,000 25,108,236
11/30/99 4.95 50,000,000 50,212,053
11/30/99 4.98 20,000,000 20,083,882
11/30/99 5.00 10,000,000 10,042,263
12/31/99 4.98 40,000,000 40,048,488
12/31/99 4.99 25,000,000 25,028,535
12/31/99 5.00 20,000,000 20,021,405
12/31/99 5.01 60,000,000 60,269,334
1/15/00 4.83 10,000,000 10,038,599
1/31/00 4.97 7,735,000 7,801,171
1/31/00 5.00 25,000,000 25,213,048
1/31/00 5.14 20,000,000 20,159,516
2/29/00 4.86 20,000,000 20,166,108
2/29/00 4.90 10,000,000 10,081,296
2/29/00 5.07 10,000,000 10,074,697
2/29/00 5.11 60,000,000 60,465,393
2/29/00 5.15 20,000,000 20,151,674
2/29/00 5.16 25,000,000 25,024,431
2/29/00 5.17 25,000,000 25,122,560
2/29/00 5.19 30,000,000 30,026,543
3/31/00 5.09 5,000,000 5,038,542
3/31/00 5.13 5,000,000 5,037,615
5/31/00 5.12 20,000,000 20,120,105
1,114,879,652
U.S. TREASURY NOTES - COUPON
STRIPS - 0.8%
5/15/00 5.24 10,000,000 9,683,417
U.S. TREASURY NOTES -
PRINCIPAL ONLY STRIPS - 3.0%
11/15/99 4.72 10,000,000 9,941,293
2/15/00 4.77 10,000,000 9,824,804
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
2/15/00 4.80% $ 10,000,000 $ 9,823,446
8/15/00 5.47 6,000,000 5,723,844
35,313,387
</TABLE>
TOTAL INVESTMENT PORTFOLIO - 1,184,065,660
98.5%
NET OTHER ASSETS - 1.5% 18,192,728
NET ASSETS - 100% $ 1,202,258,388
Total Cost for Income Tax Purposes $ 1,184,065,660
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
INCOME TAX INFORMATION
At March 31, 1999, the fund had a capital loss carryforward of
approximately $133,000 of which $73,000 and $60,000 will expire on
March 31, 2004 and 2005, respectively.
TREASURY ONLY PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 1,184,065,660
value - See accompanying
schedule
Interest receivable 21,556,580
TOTAL ASSETS 1,205,622,240
LIABILITIES
Share transactions in process $ 7,082
Distributions payable 3,141,156
Accrued management fee 141,457
Distribution fees payable 21,345
Other payables and accrued 52,812
expenses
TOTAL LIABILITIES 3,363,852
NET ASSETS $ 1,202,258,388
Net Assets consist of:
Paid in capital $ 1,202,344,933
Accumulated net realized gain (86,545)
(loss) on investments
NET ASSETS $ 1,202,258,388
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($1,082,957,247 (divided by)
1,082,852,760 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($40,481,616 (divided by)
40,477,711 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($78,819,525 (divided by)
78,811,920 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER
30, 1999 (UNAUDITED)
INTEREST INCOME $ 27,690,085
EXPENSES
Management fee $ 1,158,779
Transfer agent fees
Class I 127,378
Class II 7,517
Class III 13,508
Distribution fees
Class II 34,694
Class III 111,336
Accounting fees and expenses 62,628
Non-interested trustees' 1,888
compensation
Custodian fees and expenses 2,172
Registration fees 43,928
Audit 13,225
Legal 2,124
Miscellaneous 24
Total expenses before 1,579,201
reductions
Expense reductions (283,305) 1,295,896
NET INTEREST INCOME 26,394,189
NET REALIZED GAIN (LOSS) ON 89,493
INVESTMENTS
NET INCREASE IN NET ASSETS $ 26,483,682
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED SEPTEMBER YEAR ENDED MARCH 31, 1999
ASSETS 30, 1999 (UNAUDITED)
Operations Net interest income $ 26,394,189 $ 53,424,934
Net realized gain (loss) 89,493 63,050
NET INCREASE (DECREASE) IN 26,483,682 53,487,984
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (23,451,267) (46,375,592)
Class II (1,018,483) (1,935,394)
Class III (1,924,439) (5,113,948)
TOTAL DISTRIBUTIONS (26,394,189) (53,424,934)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 132,981,605 7,277,898
Class II (17,296,618) 20,925,763
Class III (22,016,904) 360,779
TOTAL SHARE TRANSACTIONS 93,668,083 28,564,440
TOTAL INCREASE (DECREASE) 93,757,576 28,627,490
IN NET ASSETS
NET ASSETS
Beginning of period 1,108,500,812 1,079,873,322
End of period $ 1,202,258,388 $ 1,108,500,812
SEE ACCOMPANYING NOTES WHICH
ARE AN INTEGRAL PART OF THE
FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .023 .049 .052 .050 .054
Less Distributions
From net interest income (.023) (.049) (.052) (.050) (.054)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.31% 4.99% 5.33% 5.17% 5.56%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,082,957 $ 949,894 $ 942,561 $ 1,156,667 $ 1,361,050
(000 omitted)
Ratio of expenses to average .20% A, D .20% D .20% D .20% D .20% D
net assets
Ratio of net interest income 4.58% A 4.87% 5.20% 5.05% 5.41%
to average net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
SELECTED PER-SHARE DATA 1995 E 1994 F
Net asset value, beginning of $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .033 .032
Less Distributions
From net interest income (.033) (.032)
Net asset value, end of period $ 1.000 $ 1.000
TOTAL RETURN B, C 3.38% 3.27%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,266,285 $ 1,049,170
(000 omitted)
Ratio of expenses to average .20% A, D .20% D
net assets
Ratio of net interest income 5.02% A 3.22%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E EIGHT MONTHS ENDED MARCH 31
F YEAR ENDED JULY 31
FINANCIAL HIGHLIGHTS - CLASS II
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 F
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .022 .047 .051 .049 .020
Less Distributions
From net interest income (.022) (.047) (.051) (.049) (.020)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.24% 4.84% 5.18% 5.01% 2.04%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 40,482 $ 57,776 $ 36,847 $ 56,502 $ 102
(000 omitted)
Ratio of expenses to average .35% A, D .35% D .35% D .35% D .35% A, D
net assets
Ratio of expenses to average .35% A .35% .35% .34% E .35% A
net assets after expense
reductions
Ratio of net interest income 4.40% A 4.73% 5.05% 4.94% 5.03% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE CLASS' EXPENSES.
F FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .022 .046 .050 .048 .020
Less Distributions
From net interest income (.022) (.046) (.050) (.048) (.020)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.19% 4.73% 5.07% 4.90% 2.00%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 78,820 $ 100,831 $ 100,465 $ 36,006 $ 4,097
(000 omitted)
Ratio of expenses to average .45% A, D .45% D .45% D .45% D .45% A, D
net assets
Ratio of net interest income 4.32% A 4.56% 4.96% 4.82% 4.86% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1996.
TREASURY PORTFOLIO
INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -
23.7%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
U.S. TREASURY NOTES - 22.5%
12/31/99 4.67% $ 40,000,000 $ 40,274,081
1/31/00 4.57 5,000,000 5,011,783
1/31/00 4.62 50,000,000 50,488,411
1/31/00 4.63 80,000,000 80,761,124
1/31/00 4.64 39,000,000 39,369,035
1/31/00 4.66 70,000,000 70,674,726
1/31/00 4.69 100,000,000 100,197,244
1/31/00 4.72 25,000,000 25,232,986
2/15/00 4.73 115,000,000 115,444,077
2/15/00 4.75 80,000,000 80,302,762
2/15/00 4.78 40,000,000 40,147,093
2/15/00 4.83 80,000,000 80,277,377
2/29/00 4.78 80,000,000 80,196,560
2/29/00 5.03 175,000,000 175,194,859
2/29/00 5.07 25,000,000 25,186,744
2/29/00 5.11 40,000,000 40,311,126
2/29/00 5.14 50,000,000 50,380,806
2/29/00 5.17 165,000,000 165,388,860
2/29/00 5.20 180,000,000 180,153,835
3/31/00 5.09 65,000,000 65,501,042
3/31/00 5.11 40,000,000 40,045,540
3/31/00 5.13 40,000,000 40,300,920
5/31/00 5.12 40,000,000 40,240,210
7/31/00 5.27 25,000,000 25,151,316
8/31/00 5.43 40,000,000 39,862,329
1,696,094,846
U.S. TREASURY NOTES -
PRINCIPAL ONLY STRIPS - 1.2%
11/15/99 4.25 50,000,000 49,744,972
2/15/00 4.81 40,000,000 39,292,027
89,036,999
TOTAL U.S. TREASURY 1,785,131,845
OBLIGATIONS
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 76.3%
MATURITY AMOUNT
In a joint trading account
(U.S. Treasury Obligations)
dated:
7/2/99 due:
1/10/00 At 5.18% $ 77,072,000 75,000,000
1/12/00 At 5.17% 41,114,422 40,000,000
7/6/99 due 1/12/00 At 5.18% 41,093,556 40,000,000
7/15/99 due 1/18/00 At 5.12% 84,180,836 82,000,000
7/20/99 due 10/18/99 At 5.02% 202,510,000 200,000,000
8/10/99 due 1/24/00 At 5.37% 40,996,433 40,000,000
8/17/99 due 1/18/00 At 5.69% 204,435,125 200,000,000
(a)
9/13/99 due 10/13/99 At 5.25% 351,531,250 350,000,000
MATURITY AMOUNT VALUE (NOTE 1)
9/16/99 due 10/13/99 At 5.23% $ 185,725,663 $ 185,000,000
9/30/99 due 10/1/99 At:
5.24% 641,226,337 641,133,000
5.31% 247,093,417 247,057,000
5.39% 3,633,543,546 3,633,000,000
TOTAL REPURCHASE AGREEMENTS 5,733,190,000
</TABLE>
TOTAL INVESTMENT PORTFOLIO - 7,518,321,845
100.0%
NET OTHER ASSETS - 0.0% (3,185,539)
NET ASSETS - 100% $ 7,515,136,306
Total Cost for Income Tax Purposes $ 7,518,321,845
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
LEGEND
(a) 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.
INCOME TAX INFORMATION
At March 31, 1999, the fund had a capital loss carryforward of
approximately $194,000 all of which will expire on March 31, 2003.
TREASURY PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 7,518,321,845
value (including repurchase
agreements of
$5,733,190,000) - See
accompanying schedule
Interest receivable 19,668,200
TOTAL ASSETS 7,537,990,045
LIABILITIES
Share transactions in process $ 1,428,787
Distributions payable 19,350,137
Accrued management fee 1,053,900
Distribution fees payable 704,550
Other payables and accrued 316,365
expenses
TOTAL LIABILITIES 22,853,739
NET ASSETS $ 7,515,136,306
Net Assets consist of:
Paid in capital $ 7,515,675,684
Accumulated net realized gain (539,378)
(loss) on investments
NET ASSETS $ 7,515,136,306
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($4,223,274,576 (divided by)
4,223,529,062 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($343,629,819 (divided by)
343,650,526 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($2,948,231,911 (divided by)
2,948,409,564 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER
30, 1999 (UNAUDITED)
INTEREST INCOME $ 187,917,153
Expenses
Management fee $ 7,605,214
Transfer agent fees
Class I 502,604
Class II 42,355
Class III 369,830
Distribution fees
Class II 242,206
Class III 3,933,273
Accounting fees and expenses 278,366
Non-interested trustees' 12,313
compensation
Registration fees 124,755
Audit 26,956
Legal 14,348
Total expenses before 13,152,220
reductions
Expense reductions (1,371,525) 11,780,695
NET INTEREST INCOME 176,136,458
NET REALIZED GAIN (LOSS) ON (136,394)
INVESTMENTS
NET INCREASE IN NET ASSETS $ 176,000,064
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED SEPTEMBER YEAR ENDED MARCH 31, 1999
ASSETS 30, 1999 (UNAUDITED)
Operations Net interest income $ 176,136,458 $ 416,372,377
Net realized gain (loss) (136,394) 315,299
NET INCREASE (DECREASE) IN 176,000,064 416,687,676
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (98,088,653) (223,121,219)
Class II (7,328,574) (18,400,040)
Class III (70,719,231) (174,851,118)
TOTAL DISTRIBUTIONS (176,136,458) (416,372,377)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 287,935,613 (563,249,811)
Class II (29,099,709) (37,665,439)
Class III 26,554,705 (77,380,554)
TOTAL SHARE TRANSACTIONS 285,390,609 (678,295,804)
TOTAL INCREASE (DECREASE) 285,254,215 (677,980,505)
IN NET ASSETS
NET ASSETS
Beginning of period 7,229,882,091 7,907,862,596
End of period $ 7,515,136,306 $ 7,229,882,091
SEE ACCOMPANYING NOTES WHICH
ARE AN INTEGRAL PART OF THE
FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .024 .051 .054 .052 .056
Less Distributions
From net interest income (.024) (.051) (.054) (.052) (.056)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.40% 5.19% 5.55% 5.30% 5.79%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 4,223,275 $ 3,935,421 $ 4,498,484 $ 5,598,330 $ 7,134,049
(000 omitted)
Ratio of expenses to average .20% A, D .20% D .20% D .20% D .20% D
net assets
Ratio of net interest income 4.74% A 5.05% 5.41% 5.17% 5.61%
to average net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
SELECTED PER-SHARE DATA 1995
Net asset value, beginning of $ 1.000
period
Income from Investment
Operations
Net interest income .047
Less Distributions
From net interest income (.047)
Net asset value, end of period $ 1.000
TOTAL RETURN B, C 4.78%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 4,688,198
(000 omitted)
Ratio of expenses to average .18% D
net assets
Ratio of net interest income 4.71%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .023 .049 .053 .050 .021
Less Distributions
From net interest income (.023) (.049) (.053) (.050) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.32% 5.03% 5.40% 5.14% 2.14%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 343,630 $ 372,734 $ 410,383 $ 89,801 $ 40,470
(000 omitted)
Ratio of expenses to average .35% A, D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 4.54% A 4.91% 5.25% 5.01% 5.18% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .022 .048 .052 .049 .054
Less Distributions
From net interest income (.022) (.048) (.052) (.049) (.054)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.27% 4.93% 5.29% 5.03% 5.50%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 2,948,232 $ 2,921,727 $ 2,998,996 $ 3,624,195 $ 1,435,302
(000 omitted)
Ratio of expenses to average .45% A, D .45% D .45% D .45% D .46% D
net assets
Ratio of net interest income 4.49% A 4.81% 5.17% 4.93% 5.28%
to average net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
SELECTED PER-SHARE DATA 1995
Net asset value, beginning of $ 1.000
period
Income from Investment
Operations
Net interest income .044
Less Distributions
From net interest income (.044)
Net asset value, end of period $ 1.000
TOTAL RETURN B, C 4.45%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 585,571
(000 omitted)
Ratio of expenses to average .50% D
net assets
Ratio of net interest income 4.91%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
GOVERNMENT PORTFOLIO
INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
FEDERAL AGENCIES - 57.5%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
FANNIE MAE - 16.5%
Agency Coupons - 10.3%
10/1/99 5.37% (b) $ 50,000,000 $ 49,978,815
10/4/99 5.19 (b) 120,000,000 119,932,279
10/12/99 5.20 (b) 125,000,000 124,954,508
10/25/99 5.19 (b) 123,000,000 122,959,126
11/4/99 5.18 (b) 118,000,000 117,940,420
2/4/00 4.85 48,000,000 47,980,945
2/22/00 4.93 49,000,000 48,998,067
5/5/00 5.04 50,000,000 49,964,130
682,708,290
Discount Notes - 6.2%
11/5/99 4.87 145,840,000 145,166,503
12/13/99 5.18 56,000,000 55,425,977
2/11/00 5.63 64,000,000 62,706,649
3/3/00 5.68 50,000,000 48,818,264
3/16/00 5.68 97,000,000 94,513,904
406,631,297
FEDERAL HOME LOAN BANK - 30.6%
Agency Coupons - 27.7%
10/1/99 5.26 (b) 138,000,000 137,994,549
10/1/99 5.31 (b) 200,000,000 199,951,257
10/6/99 5.39 (b) 60,000,000 59,955,590
10/8/99 5.38 (a)(b) 100,000,000 99,931,060
10/12/99 5.11 (b) 94,000,000 93,981,875
10/18/99 5.30 (a)(b) 125,000,000 124,901,325
11/12/99 5.22 (b) 200,000,000 199,895,956
12/1/99 5.30 (b) 225,000,000 224,972,324
1/4/00 5.92 (a)(b) 250,000,000 249,828,072
2/11/00 4.92 48,000,000 47,984,783
2/16/00 4.90 50,000,000 50,000,000
3/1/00 5.00 50,000,000 49,995,120
3/3/00 5.06 49,000,000 48,983,094
3/8/00 5.17 60,000,000 59,975,498
4/5/00 5.03 25,000,000 24,986,460
6/14/00 5.47 27,000,000 26,974,595
10/4/00 5.20 (b) 125,000,000 124,901,313
1,825,212,871
Discount Notes - 2.9%
11/3/99 5.31 125,000,000 124,397,292
2/25/00 5.62 32,000,000 31,286,560
3/8/00 5.68 37,000,000 36,097,777
191,781,629
FREDDIE MAC - 8.6%
Discount Notes - 8.6%
11/10/99 5.29 99,814,000 99,231,752
11/18/99 4.88 115,723,000 114,988,545
2/25/00 5.63 48,000,000 46,927,880
3/3/00 5.72 100,000,000 97,621,556
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
6/2/00 5.40% $ 60,000,000 $ 57,909,333
6/13/00 5.53 25,000,000 24,065,778
6/23/00 5.50 48,000,000 46,145,093
7/5/00 5.61 31,000,000 29,726,451
8/1/00 5.73 50,000,000 47,704,028
564,320,416
STUDENT LOAN MARKETING
ASSOCIATION - 1.8%
Agency Coupons - 1.8%
10/5/99 5.49 (b) 35,000,000 34,993,461
10/5/99 5.51 (b) 29,000,000 28,987,837
10/5/99 5.56 (b) 60,000,000 59,977,751
123,959,049
TOTAL FEDERAL AGENCIES 3,794,613,552
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 51.6%
MATURITY AMOUNT
In a joint trading account:
(U.S. Government
Obligations) dated:
9/1/99 due 11/3/99 At 5.34% $ 252,336,250 250,000,000
9/30/99 due 10/1/99 At 5.44% 3,028,218,946 3,027,761,000
(U.S. Treasury Obligations)
dated 9/30/99 due 10/1/99 At:
5.24% 14,366,091 14,364,000
5.31% 112,787,623 112,771,000
TOTAL REPURCHASE AGREEMENTS 3,404,896,000
</TABLE>
TOTAL INVESTMENT PORTFOLIO - $ 7,199,509,552
109.1%
NET OTHER ASSETS - (9.1)% (599,259,213)
NET ASSETS - 100% $ 6,600,250,339
Total Cost for Income Tax Purposes $ 7,199,509,552
LEGEND
(a) Security purchased on a delayed delivery or when-issued basis.
(b) 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.
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
INCOME TAX INFORMATION
At March 31, 1999, the fund had a capital loss carryforward of
approximately $941,000 of which $184,000, $746,000 and $11,000 will
expire on March 31, 2002, 2003 and 2004, respectively. Of the loss
carryforwards expiring in 2002 and 2003, $16,000 and $1,000,
respectively, was acquired in the merger of U.S. Government Portfolio
into Government Portfolio on October 31, 1995 and is available to
offset future capital gains of the fund to the extent provided by
regulations.
GOVERNMENT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 7,199,509,552
value (including repurchase
agreements of
$3,404,896,000) - See
accompanying schedule
Cash 556
Interest receivable 15,479,605
TOTAL ASSETS 7,214,989,713
LIABILITIES
Payable for investments
purchased:
Regular delivery $ 124,901,313
Delayed delivery 474,660,460
Share transactions in process 679,583
Distributions payable 13,169,593
Accrued management fee 809,049
Distribution fees payable 257,294
Other payables and accrued 262,082
expenses
TOTAL LIABILITIES 614,739,374
NET ASSETS $ 6,600,250,339
Net Assets consist of:
Paid in capital $ 6,601,188,277
Accumulated net realized gain (937,938)
(loss) on investments
NET ASSETS $ 6,600,250,339
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($5,225,114,940 (divided by)
5,225,397,505 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($495,455,368 (divided by)
495,482,163 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($879,680,031 (divided by)
879,727,604 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER
30, 1999 (UNAUDITED)
INTEREST INCOME $ 152,954,419
Expenses
Management fee $ 6,023,333
Transfer agent fees
Class I 594,522
Class II 62,420
Class III 148,731
Distribution fees
Class II 287,096
Class III 1,083,462
Accounting fees and expenses 246,030
Non-interested trustees' 10,299
compensation
Custodian fees and expenses 26,016
Registration fees 301,975
Audit 18,920
Legal 10,804
Total expenses before 8,813,608
reductions
Expense reductions (1,419,712) 7,393,896
NET INTEREST INCOME 145,560,523
NET REALIZED GAIN (LOSS) ON 32,539
INVESTMENTS
NET INCREASE IN NET ASSETS $ 145,593,062
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED SEPTEMBER YEAR ENDED MARCH 31, 1999
ASSETS 30, 1999 (UNAUDITED)
Operations Net interest income $ 145,560,523 $ 257,635,040
Net realized gain (loss) 32,539 26,737
NET INCREASE (DECREASE) IN 145,593,062 257,661,777
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (116,438,263) (210,351,889)
Class II (9,048,918) (13,261,130)
Class III (20,073,342) (34,022,021)
TOTAL DISTRIBUTIONS (145,560,523) (257,635,040)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 328,282,432 1,368,411,434
Class II 75,776,945 267,739,413
Class III 50,591,871 154,489,280
TOTAL SHARE TRANSACTIONSS 454,651,248 1,790,640,127
TOTAL INCREASE (DECREASE) 454,683,787 1,790,666,864
IN NET ASSETS
NET ASSETS
Beginning of period 6,145,566,552 4,354,899,688
End of period $ 6,600,250,339 $ 6,145,566,552
SEE ACCOMPANYING NOTES WHICH
ARE AN INTEGRAL PART OF THE
FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .024 .052 .055 .052 .057
Less Distributions
From net interest income (.024) (.052) (.055) (.052) (.057)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.46% 5.31% 5.60% 5.37% 5.84%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 5,225,115 $ 4,896,805 $ 3,528,366 $ 2,810,717 $ 3,064,136
(000 omitted)
Ratio of expenses to average .20% A, D .20% D .20% D .20% D .20% D
net assets
Ratio of net interest income 4.88% A 5.18% 5.47% 5.25% 5.69%
to average net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
SELECTED PER-SHARE DATA 1995
Net asset value, beginning of $ 1.000
period
Income from Investment
Operations
Net interest income .048
Less Distributions
From net interest income (.048)
Net asset value, end of period $ 1.000
TOTAL RETURN B, C 4.86%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 3,321,066
(000 omitted)
Ratio of expenses to average .18% D
net assets
Ratio of net interest income 4.77%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .024 .050 .053 .051 .021
Less Distributions
From net interest income (.024) (.050) (.053) (.051) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.38% 5.16% 5.45% 5.22% 2.16%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 495,455 $ 419,679 $ 151,951 $ 108,636 $ 102
(000 omitted)
Ratio of expenses to average .35% A, D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 4.73% A 4.94% 5.32% 5.10% 5.33% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 1995 E
Net asset value, beginning
of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .023 .049 .052 .050 .054 .045
Less Distributions
From net interest income (.023) (.049) (.052) (.050) (.054) (.045)
Net asset value, end of
period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.33% 5.05% 5.34% 5.11% 5.58% 4.57%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 879,680 $ 829,083 $ 674,582 $ 658,964 $ 194,489 $ 40,516
(000 omitted)
Ratio of expenses to average .45% A, D .45% D .45% D .45% D .45% D .66% A, D
net assets
Ratio of net interest income 4.63% A 4.91% 5.21% 5.00% 5.30% 5.13% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD APRIL 4, 1994 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1995.
DOMESTIC PORTFOLIO
INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 0.3%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
DOMESTIC CERTIFICATES OF
DEPOSIT - 0.3%
Fleet National Bank
11/3/99 5.34% (c) $ 8,000,000 $ 7,995,921
COMMERCIAL PAPER - 60.2%
Asset Securitization Coop.
Corp.
10/4/99 5.49 (c) 18,000,000 18,000,000
10/12/99 5.39 30,000,000 29,950,683
12/20/99 5.54 (c) 15,000,000 15,000,000
2/14/00 5.60 15,000,000 14,692,867
2/24/00 6.00 22,000,000 21,477,158
Associates Corp. of North
America
3/6/00 5.90 50,000,000 48,752,722
3/6/00 5.91 25,000,000 24,373,090
Associates First Capital Corp.
10/12/99 5.26 7,000,000 6,988,899
12/13/99 5.39 10,000,000 9,893,542
Baker Hughes, Inc.
10/1/99 5.60 70,000,000 69,999,999
Centric Capital Corp.
10/7/99 5.35 7,500,000 7,493,338
10/13/99 5.36 10,000,000 9,982,233
11/1/99 5.44 20,000,000 19,906,828
11/29/99 5.45 10,000,000 9,911,828
CIESCO LP
10/1/99 5.60 35,766,000 35,766,000
Citibank Credit Card Master
Trust I (Dakota Certificate
Program)
10/6/99 5.39 65,000,000 64,951,701
10/12/99 5.25 17,000,000 16,973,093
10/12/99 5.36 10,000,000 9,983,714
10/13/99 5.25 20,000,000 19,965,467
10/20/99 5.39 20,000,000 19,943,528
1/12/00 6.01 26,000,000 25,561,106
CXC, Inc.
10/12/99 5.25 21,000,000 20,966,762
10/20/99 5.46 (c) 15,000,000 14,998,721
11/10/99 5.04 50,000,000 49,726,667
Delaware Funding Corp.
10/5/99 5.36 60,290,000 60,254,161
10/7/99 5.38 10,729,000 10,719,433
10/14/99 5.38 35,217,000 35,148,963
1/24/00 6.02 5,000,000 4,905,764
1/27/00 6.01 25,288,000 24,800,202
Edison Asset Securitization LLC
10/5/99 5.35 15,029,000 15,020,083
10/12/99 5.37 33,000,000 32,946,155
10/26/99 5.40 40,015,000 39,866,333
2/7/00 5.97 16,000,000 15,665,173
2/28/00 5.98 7,824,000 7,633,942
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
3/6/00 5.96% $ 4,000,000 $ 3,898,822
3/13/00 5.96 10,000,000 9,736,233
Falcon Asset Securitization
Corp.
10/14/99 5.37 7,982,000 7,966,579
10/15/99 5.39 8,000,000 7,983,293
10/18/99 5.38 44,000,000 43,888,839
11/1/99 5.46 10,000,000 9,953,500
11/10/99 5.45 4,160,000 4,135,086
1/31/00 6.03 8,000,000 7,840,044
2/3/00 6.01 8,000,000 7,836,667
2/4/00 6.02 5,000,000 4,897,100
2/10/00 6.02 8,000,000 7,827,520
Fleet Funding Corp.
10/12/99 5.38 5,000,000 4,991,826
10/18/99 5.37 12,000,000 11,969,683
10/20/99 5.38 62,935,000 62,757,296
Ford Motor Credit Co.
10/5/99 5.32 50,000,000 49,970,556
GE Capital International
Funding, Inc.
10/6/99 5.36 15,000,000 14,988,896
10/12/99 5.35 10,000,000 9,983,744
10/18/99 5.37 50,000,000 49,874,153
General Electric Capital Corp.
10/18/99 4.93 20,000,000 19,954,572
2/16/00 5.60 7,000,000 6,854,563
3/7/00 5.91 25,000,000 24,369,097
3/13/00 5.90 25,000,000 24,348,556
General Electric Capital
Services, Inc.
10/5/99 5.31 50,000,000 49,970,556
2/14/00 5.60 40,000,000 39,180,978
General Motors Acceptance Corp.
10/13/99 5.25 20,000,000 19,965,467
2/16/00 5.60 25,000,000 24,480,583
2/23/00 5.60 25,000,000 24,454,236
Household Finance Corp.
12/13/99 5.31 25,000,000 24,737,910
J.P. Morgan & Co., Inc.
12/6/99 5.20 5,000,000 4,953,525
2/9/00 5.62 25,000,000 24,504,201
Kitty Hawk Funding Corp.
10/4/99 5.36 30,000,000 29,986,625
10/7/99 5.38 10,000,000 9,991,083
10/12/99 5.38 55,707,000 55,615,935
10/29/99 5.43 14,000,000 13,941,091
Merrill Lynch & Co., Inc.
2/22/00 5.60 50,000,000 48,918,000
Morgan Stanley Dean Witter &
Co.
2/2/00 5.62 50,000,000 49,061,389
New Center Asset Trust
11/3/99 5.40 16,000,000 15,921,533
Norwest Financial, Inc.
3/6/00 5.91 25,000,000 24,376,361
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Park Avenue Receivables Corp.
10/4/99 5.41% $ 6,000,000 $ 5,997,300
10/7/99 5.39 14,000,000 13,987,447
10/20/99 5.40 14,954,000 14,911,539
10/26/99 5.41 9,000,000 8,966,375
Preferred Receivables Funding
Corp.
10/7/99 5.39 10,000,000 9,991,083
10/20/99 5.40 36,500,000 36,396,938
11/16/99 5.45 4,000,000 3,972,451
11/18/99 5.44 12,000,000 11,913,920
2/3/00 6.00 8,000,000 7,836,944
2/4/00 6.00 4,000,000 3,917,820
2/9/00 6.00 8,000,000 7,829,409
Salomon Smith Barney
Holdings, Inc.
2/8/00 5.63 25,000,000 24,507,083
Southern Co.
10/27/99 5.39 15,000,000 14,942,042
Three Rivers Funding Corp.
10/12/99 5.36 50,000,000 49,918,569
Triple-A One Funding Corp.
10/14/99 5.39 17,000,000 16,967,096
10/15/99 5.43 8,000,000 7,983,169
10/20/99 5.39 5,000,000 4,985,882
10/25/99 5.39 12,000,000 11,957,200
TOTAL COMMERCIAL PAPER 1,945,288,520
FEDERAL AGENCIES - 5.3%
FANNIE MAE - 0.9%
Agency Coupons - 0.9%
10/25/99 5.21 (c) 30,000,000 29,986,918
FEDERAL HOME LOAN BANK - 2.9%
Agency Coupons - 2.9%
12/1/99 5.30 (c) 28,000,000 27,996,556
1/4/00 5.92 (b)(c) 65,000,000 64,955,300
92,951,856
FREDDIE MAC - 1.5%
Discount Notes - 1.5%
3/3/00 5.72 50,000,000 48,810,778
TOTAL FEDERAL AGENCIES 171,749,552
BANK NOTES - 12.9%
American Express Centurion Bank
10/11/99 5.34 (c) 20,000,000 20,000,000
First National Bank, Chicago
10/1/99 5.38 (c) 70,000,000 69,978,067
10/6/99 5.32 30,000,000 29,999,302
7/5/00 5.80 25,000,000 24,990,889
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
7/12/00 5.75% $ 20,000,000 $ 19,992,521
First Union National Bank,
North Carolina
10/20/99 5.33 (c) 20,000,000 20,000,000
10/25/99 5.35 (c) 25,000,000 25,000,000
10/27/99 5.31 (c) 12,000,000 12,000,000
1/4/00 6.17 (c) 15,000,000 15,000,000
Fleet National Bank
10/1/99 5.46 (c) 25,000,000 24,990,623
Fleet National Bank, Providence
11/4/99 5.36 (c) 8,000,000 7,999,627
Key Bank, National Association
10/18/99 5.50 (c) 18,000,000 18,000,000
Mellon Bank NA, Pittsburgh
11/18/99 5.38 (c) 25,000,000 24,995,397
NationsBank NA
10/1/99 5.40 20,000,000 19,995,250
PNC Bank NA, Pittsburgh
11/3/99 5.36 (c) 8,000,000 7,999,893
US Bank NA, North Dakota
10/21/99 5.46 (c) 50,000,000 49,980,055
Wachovia Bank NA
10/8/99 5.32 25,000,000 25,000,000
TOTAL BANK NOTES 415,921,624
MEDIUM-TERM NOTES - 6.6%
Associates Corp. of North
America
6/23/00 5.57 25,000,000 25,034,037
Bishops Gate Resources
Mortgage Trust
10/1/99 5.57 (c) 7,000,000 7,000,000
CIESCO LP
10/15/99 5.36 (c) 40,000,000 39,993,749
CIT Group, Inc.
10/1/99 5.65 (c) 20,000,000 19,981,335
10/1/99 5.45 (c) 20,000,000 19,992,354
GE Life & Annuity Assurance Co.
10/1/99 5.47 (c)(d) 28,000,000 28,000,000
General Electric Capital Corp.
11/3/99 5.29 (c) 25,000,000 25,000,000
Goldman Sachs Group L.P.
10/7/99 5.51 (c)(d) 12,000,000 12,000,000
10/27/99 5.41 (c)(d) 18,000,000 18,000,000
11/10/99 5.42 (a)(c) 10,000,000 10,000,000
Norwest Corp.
10/22/99 5.33 (c) 9,000,000 9,000,000
TOTAL MEDIUM-TERM NOTES 214,001,475
SHORT-TERM NOTES - 2.7%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Capital One Funding Corp.
Series 1994 B,
10/7/99 5.49% (c) $ 3,572,000 $ 3,572,000
Capital One Funding Corp.
Series 1994 E,
10/7/99 5.49 (c) 1,090,000 1,090,000
Capital One Funding Corp.
Series 1995 D,
10/7/99 5.49 (c) 2,718,000 2,718,000
Capital One Funding Corp.
Series 1996 G,
10/7/99 5.49 (c) 3,818,000 3,818,000
Capital One Funding Corp.
Series 1997 D,
10/7/99 5.49 (c) 2,385,000 2,385,000
Capital One Funding Corp.
Series 1997 G,
10/7/99 5.49 (c) 7,398,000 7,398,000
Jackson National Life
Insurance Co.
10/1/99 5.46 (c)(d) 10,000,000 10,000,000
Monumental Life Insurance Co.
10/1/99 5.51 (c)(d) 10,000,000 10,000,000
10/1/99 5.54 (c)(d) 10,000,000 10,000,000
New York Life Insurance Co.
10/1/99 5.47 (c)(d) 5,000,000 5,000,000
Pacific Life Insurance Co.
12/9/99 5.60 (c)(d) 3,000,000 3,000,000
SMM Trust Series 1999 E,
10/5/99 5.32 (a)(c) 5,000,000 5,000,000
Strategic Money Market Trust
Series 1998 A,
12/15/99 5.61 (c) 24,000,000 24,000,000
TOTAL SHORT-TERM NOTES 87,981,000
MUNICIPAL SECURITIES - 0.6%
Virginia Hsg. Dev. Auth.
Bonds Series A, (MBIA
Guaranteed)
11/18/99 5.35 (c) 20,000,000 19,990,905
</TABLE>
REPURCHASE AGREEMENTS - 13.9%
MATURITY AMOUNT
In a joint trading account: $ 399,278,846 399,220,000
(U.S. Government
Obligations) dated 9/30/99
due 10/1/99 At 5.44%
(U.S. Treasury Obligations) 50,007,562 50,000,000
dated 9/30/99 due 10/1/99
At 5.31%
TOTAL REPURCHASE AGREEMENTS 449,220,000
TOTAL INVESTMENT PORTFOLIO 3,312,148,997
- - 102.5%
NET OTHER ASSETS - (2.5)% (79,381,626)
NET ASSETS - 100% $ 3,232,767,371
Total Cost for Income Tax Purposes $ 3,312,148,997
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
LEGEND
(a) 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
$15,000,000 or 0.5% of net assets.
(b) Security purchased on a delayed delivery or when-issued basis.
(c) 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.
(d) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
Additional information on each holding is as follows:
SECURITY ACQUISITION DATE COST
GE Life & Annuity Assurance 4/8/99 $ 28,000,000
Co. 5.47%, 10/1/99
Goldman Sachs Group L.P. 1/22/99 $ 18,000,000
5.41%, 10/27/99
5.51%, 10/7/99 12/7/98 $ 12,000,000
Jackson National Life 7/6/99 $ 10,000,000
Insurance Co. 5.46%, 10/1/99
Monumental Life Insurance 9/17/98 $ 10,000,000
Co.: 5.51%, 10/1/99
5.54%, 10/1/99 3/12/99 $ 10,000,000
New York Life Insurance Co. 12/21/98 $ 5,000,000
5.47%, 10/1/99
Pacific Life Insurance Co. 8/31/99 $ 3,000,000
5.60%, 12/9/99
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $96,000,000 or 3.0% of net assets.
INCOME TAX INFORMATION
At March 31, 1999, the fund had a capital loss carryforward of
approximately $88,000 of which $6,000, $49,000, $32,000 and $1,000
will expire on March 31, 2001, 2003, 2005 and 2006, respectively.
DOMESTIC PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 3,312,148,997
value (including repurchase
agreements of $449,220,000)
- - See accompanying schedule
Receivable for investments 74,000
sold
Interest receivable 6,149,712
TOTAL ASSETS 3,318,372,709
LIABILITIES
Payable to custodian bank $ 69,044
Payable for investments 15,000,000
purchased Regular delivery
Delayed delivery 64,955,300
Share transactions in process 1,404,667
Distributions payable 3,452,231
Accrued management fee 409,539
Distribution fees payable 175,843
Other payables and accrued 138,714
expenses
TOTAL LIABILITIES 85,605,338
NET ASSETS $ 3,232,767,371
Net Assets consist of:
Paid in capital $ 3,233,043,542
Accumulated net realized gain (276,171)
(loss) on investments
NET ASSETS $ 3,232,767,371
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($2,284,819,928 (divided by)
2,285,023,465 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($311,020,495 (divided by)
311,048,201 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($636,926,948 (divided by)
636,983,687 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER
30, 1999 (UNAUDITED)
INTEREST INCOME $ 78,463,766
EXPENSES
Management fee $ 3,052,831
Transfer agent fees
Class I 273,598
Class II 39,685
Class III 89,462
Distribution fees
Class II 221,241
Class III 772,056
Accounting fees and expenses 136,544
Non-interested trustees' 4,686
compensation
Custodian fees and expenses 60,461
Registration fees 132,684
Audit 14,586
Legal 5,847
Miscellaneous 4
Total expenses before 4,803,685
reductions
Expense reductions (757,557) 4,046,128
NET INTEREST INCOME 74,417,638
NET REALIZED GAIN (LOSS) ON (188,073)
INVESTMENTS
NET INCREASE IN NET ASSETS $ 74,229,565
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED SEPTEMBER YEAR ENDED MARCH 31,
ASSETS 30, 1999 1999
(UNAUDITED)
Operations Net interest income $ 74,417,638 $ 91,909,725
Net realized gain (loss) (188,073) 41,042
NET INCREASE (DECREASE) IN 74,229,565 91,950,767
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income
Class I (52,864,651) (73,935,908)
Class II (7,070,853) (7,057,324)
Class III (14,482,134) (10,916,493)
TOTAL DISTRIBUTIONS (74,417,638) (91,909,725)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 55,046,569 777,527,539
Net asset value of - 281,496,359
Domestic Portfolio Class I
shares issued in exchange
for the net assets of
Rated Money Market Portfolio
Class I
Class II (13,610,199) 218,713,695
Net asset value of - 71,482,363
Domestic Portfolio Class II
shares issued in exchange
for the net assets of
Rated Money Market Portfolio
Class II
Class III 39,590,746 395,616,253
Net asset value of - 128,465,120
Domestic Portfolio Class III
shares issued in exchange
for the net assets of
Rated Money Market Portfolio
Class III
TOTAL SHARE TRANSACTIONS 81,027,116 1,873,301,329
TOTAL INCREASE (DECREASE) 80,839,043 1,873,342,371
IN NET ASSETS
NET ASSETS
Beginning of period 3,151,928,328 1,278,585,957
End of period $ 3,232,767,371 $ 3,151,928,328
SEE ACCOMPANYING NOTES WHICH
ARE AN INTEGRAL PART OF THE
FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .025 .052 .055 .053 .057
Less Distributions
From net interest income (.025) (.052) (.055) (.053) (.057)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.50% 5.37% 5.64% 5.40% 5.85%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 2,284,820 $ 2,229,906 $ 1,170,833 $ 919,554 $ 1,117,917
(000 omitted)
Ratio of expenses to average .20% A, D .20% D .20% D .20% D .20% D
net assets
Ratio of net interest income 4.94% A 5.17% 5.50% 5.26% 5.66%
to average net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
SELECTED PER-SHARE DATA 1995
Net asset value, beginning of $ 1.000
period
Income from Investment
Operations
Net interest income .049
Less Distributions
From net interest income (.049)
Net asset value, end of period $ 1.000
TOTAL RETURN B, C 4.97%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 771,937
(000 omitted)
Ratio of expenses to average .18% D
net assets
Ratio of net interest income 4.94%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .024 .051 .054 .051 .021
Less Distributions
From net interest income (.024) (.051) (.054) (.051) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.42% 5.22% 5.49% 5.24% 2.15%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 311,020 $ 324,648 $ 34,455 $ 4,235 $ 2,105
(000 omitted)
Ratio of expenses to average .35% A, D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 4.79% A 4.92% 5.36% 5.10% 5.20% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVERMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 1995 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .023 .050 .053 .050 .054 .035
Less Distributions
From net interest income (.023) (.050) (.053) (.050) (.054) (.035)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.37% 5.11% 5.38% 5.13% 5.56% 3.51%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 636,927 $ 597,374 $ 73,298 $ 121,709 $ 47,396 $ 26,545
(000 omitted)
Ratio of expenses to average .45% A, D .45% D .45% D .45% D .47% D .50% A, D
net assets
Ratio of net interest income 4.69% A 4.84% 5.26% 5.02% 5.40% 5.14% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD JULY 19, 1994 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1995.
MONEY MARKET PORTFOLIO
INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 26.6%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
DOMESTIC CERTIFICATES OF
DEPOSIT - 2.3%
First National Bank, Chicago
6/5/00 5.55% $ 50,000,000 $ 49,986,962
First Union National Bank,
North Carolina
11/20/99 5.55 (b) 75,000,000 75,000,000
Fleet National Bank
11/3/99 5.34 (b) 49,000,000 48,975,015
Southtrust Bank NA
10/12/99 5.33 50,000,000 50,000,000
US Bank NA Minnesota
3/20/00 5.95 51,000,000 51,000,000
274,961,977
LONDON BRANCH, EURODOLLAR,
FOREIGN BANKS - 8.2%
Abbey National PLC
11/10/99 5.39 80,000,000 80,000,000
Bank of Scotland Treasury
Services PLC
10/12/99 5.33 100,000,000 99,995,443
Barclays Bank PLC
7/28/00 5.80 25,000,000 25,000,000
Dresdner Bank AG
10/12/99 5.32 80,000,000 80,000,000
Halifax PLC
10/7/99 5.32 250,000,000 250,000,000
11/8/99 4.95 75,000,000 75,000,000
11/9/99 5.39 80,000,000 80,000,000
12/13/99 5.00 100,000,000 100,000,000
Kredietbank NV
10/12/99 5.34 40,000,000 40,000,000
Lloyds TSB Bank PLC
10/20/99 5.34 80,000,000 80,000,105
National Westminster Bank PLC
10/12/99 5.33 80,000,000 80,000,000
989,995,548
NEW YORK BRANCH, YANKEE
DOLLAR, FOREIGN BANKS - 16.1%
ABN-AMRO Bank NV
10/8/99 5.32 40,000,000 40,000,000
Bank of Montreal
3/3/00 5.35 80,000,000 79,977,280
Bank of Nova Scotia
11/29/99 5.15 50,000,000 49,993,556
Banque Nationale de Paris
8/2/00 5.85 25,000,000 24,989,971
Barclays Bank PLC
10/1/99 5.38 (b) 50,000,000 49,984,291
10/1/99 5.39 (b) 75,000,000 74,973,290
10/12/99 5.33 240,000,000 240,000,000
3/1/00 5.30 25,000,000 24,993,991
6/14/00 5.66 50,000,000 49,983,124
Bayerische Hypo-und
Vereinsbank AG
10/25/99 5.30 (b) 100,000,000 99,955,560
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Credit Communale de Belgique
12/29/99 5.40% $ 50,000,000 $ 50,000,000
Deutsche Bank AG
10/1/99 5.39 (b) 100,000,000 99,963,279
1/14/00 6.00 50,000,000 50,000,000
2/16/00 5.12 35,000,000 34,993,623
Landesbank Hessen-Thuringen
3/1/00 5.22 35,000,000 34,992,983
National Westminster Bank PLC
3/15/00 5.15 40,000,000 39,993,015
7/12/00 5.75 100,000,000 99,962,603
Norddeutsche Landesbank
Girozentrale
3/1/00 5.30 25,000,000 24,994,992
7/12/00 5.76 100,000,000 99,962,607
RaboBank Nederland Coop.
Central
7/5/00 5.80 50,000,000 49,983,600
Royal Bank of Canada
10/1/99 5.39 (b) 65,000,000 64,979,113
2/28/00 5.26 30,000,000 29,994,661
6/5/00 5.55 40,000,000 39,989,569
Royal Bank of Scotland PLC
10/6/99 5.34 50,000,000 50,000,000
Societe Generale, France
10/4/99 5.25 50,000,000 50,000,000
10/19/99 5.33 (b) 50,000,000 49,981,283
12/6/99 5.21 122,000,000 122,000,000
Svenska Handelsbanken AB
6/12/00 5.60 50,000,000 49,986,598
Toronto Dominion Bank
12/8/99 5.20 80,000,000 80,002,944
Westdeutsche Landesbank
Girozentrale
10/25/99 5.34 75,000,000 75,000,000
1,931,631,933
TOTAL CERTIFICATES OF DEPOSIT 3,196,589,458
COMMERCIAL PAPER - 52.3%
Abbey National North America
12/6/99 5.20 75,000,000 74,302,875
ABN-AMRO North America, Inc.
12/6/99 5.20 35,000,000 34,674,996
Aspen Funding Corp.
10/15/99 5.43 (b) 90,000,000 90,000,000
Asset Securitization Coop.
Corp.
10/4/99 5.49 (b) 75,000,000 75,000,000
10/11/99 5.43 (b) 55,000,000 54,996,102
10/12/99 5.43 (b) 90,000,000 90,000,000
12/20/99 5.54 (b) 80,000,000 80,000,000
2/14/00 5.93 50,000,000 48,913,889
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Asset Securitization Coop.
Corp. - continued
2/24/00 6.00% $ 88,000,000 $ 85,908,631
Associates First Capital Corp.
10/12/99 5.26 13,000,000 12,979,384
12/14/99 5.39 30,000,000 29,676,250
Bradford & Bingley Building
Society
10/6/99 5.25 5,082,000 5,078,340
10/26/99 5.35 50,000,000 49,815,278
Centric Capital Corp.
10/7/99 5.37 20,000,000 19,982,167
10/18/99 5.37 50,000,000 49,873,681
CIESCO LP
11/15/99 5.39 50,000,000 49,665,625
Citibank Credit Card Master
Trust I (Dakota Certificate
Program)
10/12/99 5.25 77,000,000 76,878,126
10/20/99 5.25 75,000,000 74,794,958
10/20/99 5.39 50,000,000 49,858,819
11/9/99 5.44 22,000,000 21,871,538
CXC, Inc.
10/19/99 5.38 24,000,000 23,935,680
10/20/99 5.46 (b) 75,000,000 74,993,603
10/26/99 5.40 25,000,000 24,907,118
Daimler-Chrysler North
America Holding Corp.
10/12/99 5.37 25,000,000 24,959,208
10/13/99 5.26 22,000,000 21,961,940
10/19/99 5.25 15,000,000 14,961,150
2/16/00 5.86 20,000,000 19,564,533
Delaware Funding Corp.
10/18/99 5.38 46,000,000 45,883,786
10/20/99 5.24 25,339,000 25,269,860
10/25/99 5.38 33,000,000 32,882,300
Den Danske Corp., Inc.
10/20/99 5.07 50,000,000 49,868,847
10/22/99 5.33 100,000,000 99,690,250
Deutsche Bank Financial, Inc.
12/8/99 5.21 100,000,000 99,042,333
Dresdner US Finance, Inc.
10/28/99 5.39 74,000,000 73,703,630
Edison Asset Securitization LLC
10/5/99 5.35 100,000,000 99,940,778
10/6/99 5.35 50,000,000 49,962,986
10/12/99 5.37 55,000,000 54,910,426
10/18/99 5.39 14,236,000 14,200,034
2/3/00 5.97 100,000,000 97,972,222
2/8/00 5.92 19,000,000 18,605,486
2/10/00 6.00 46,000,000 45,009,927
2/22/00 6.00 30,000,000 29,298,000
3/6/00 5.96 15,698,000 15,300,928
3/6/00 6.01 36,000,000 35,083,120
3/10/00 5.96 27,172,000 26,467,189
3/13/00 5.96 43,000,000 41,865,803
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Enterprise Funding Corp.
10/7/99 5.35% $ 14,687,000 $ 14,673,953
10/15/99 5.38 57,063,000 56,944,055
10/19/99 5.40 37,604,000 37,503,409
10/19/99 5.41 32,000,000 31,914,240
10/29/99 5.40 6,139,000 6,113,359
10/29/99 5.42 8,000,000 7,966,400
11/3/99 5.43 30,000,000 29,851,500
12/2/99 5.45 30,645,000 30,361,057
3/21/00 6.01 35,452,000 34,464,504
Falcon Asset Securitization
Corp.
10/12/99 5.36 49,875,000 49,793,773
10/14/99 5.42 5,299,000 5,288,705
10/15/99 5.39 24,000,000 23,949,880
10/19/99 5.39 52,317,000 52,176,790
10/20/99 5.38 25,000,000 24,929,410
10/28/99 5.42 28,000,000 27,887,440
11/1/99 5.46 30,000,000 29,860,500
12/14/99 5.50 16,741,000 16,555,175
1/31/00 6.03 34,000,000 33,320,189
2/4/00 6.02 21,000,000 20,567,820
2/7/00 6.02 28,000,000 27,410,040
Finova Capital Corp.
10/11/99 5.58 (b) 33,000,000 33,000,000
Fleet Funding Corp.
10/18/99 5.37 33,000,000 32,916,629
10/25/99 5.38 10,277,000 10,240,345
GE Capital International
Funding, Inc.
10/5/99 5.36 60,000,000 59,964,467
General Electric Capital Corp.
10/6/99 5.32 100,000,000 99,926,389
10/14/99 5.24 100,000,000 99,813,306
2/17/00 5.60 60,000,000 58,744,367
2/22/00 5.60 40,000,000 39,134,400
3/3/00 5.90 80,000,000 78,032,222
General Motors Acceptance Corp.
10/13/99 5.25 50,000,000 49,913,667
2/17/00 5.60 100,000,000 97,907,278
3/7/00 5.90 100,000,000 97,489,556
Heller Financial, Inc.
10/12/99 5.45 8,000,000 7,986,751
10/13/99 5.45 17,000,000 16,969,287
10/15/99 5.45 18,000,000 17,962,060
10/18/99 5.46 9,000,000 8,976,965
Kitty Hawk Funding Corp.
10/20/99 5.38 108,000,000 107,694,480
10/22/99 5.38 16,221,000 16,170,377
10/29/99 5.43 12,909,000 12,854,682
11/8/99 5.42 16,000,000 15,909,138
12/1/99 5.50 25,000,000 24,770,403
Lehman Brothers Holdings, Inc.
1/18/00 6.36 80,000,000 78,488,533
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Morgan Stanley Dean Witter &
Co.
2/2/00 5.62% $ 150,000,000 $ 147,184,167
Nationwide Building Society
10/13/99 5.25 29,250,000 29,199,495
10/14/99 5.25 35,000,000 34,934,531
Newport Funding Corp.
10/13/99 5.39 60,000,000 59,893,000
10/14/99 5.39 85,000,000 84,835,785
Northern Rock PLC
10/12/99 5.25 30,000,000 29,952,517
Park Avenue Receivables Corp.
10/4/99 5.41 22,000,000 21,990,100
10/12/99 5.39 96,000,000 95,842,187
10/13/99 5.51 50,433,000 50,340,540
10/25/99 5.40 20,370,000 20,296,940
10/26/99 5.41 32,000,000 31,880,444
PHH Corp.
10/5/99 5.47 4,000,000 3,997,578
10/12/99 5.47 20,000,000 19,966,694
Preferred Receivables Funding
Corp.
10/7/99 5.35 20,000,000 19,982,233
10/7/99 5.40 24,600,000 24,577,983
10/12/99 5.36 90,500,000 90,352,611
10/18/99 5.37 75,345,000 75,154,649
10/18/99 5.38 15,525,000 15,485,778
10/28/99 5.41 55,190,000 54,967,722
11/16/99 5.45 22,000,000 21,848,481
11/17/99 5.44 35,425,000 35,176,179
11/18/99 5.46 16,910,000 16,788,473
1/31/00 6.01 18,260,000 17,896,139
2/4/00 6.00 30,000,000 29,383,650
2/9/00 6.00 33,000,000 32,296,312
Salomon Smith Barney
Holdings, Inc.
2/7/00 5.63 100,000,000 98,043,500
2/8/00 5.63 25,000,000 24,507,083
2/14/00 5.85 45,000,000 44,034,400
Societe Generale, North
America, Inc.
10/4/99 5.31 100,000,000 99,955,917
Southern Co.
10/12/99 5.38 38,000,000 37,937,881
Svenska Handelsbanken, Inc.
12/2/99 5.15 50,000,000 49,567,722
The Bear Stearns Companies,
Inc.
2/23/00 5.72 50,000,000 48,885,313
Three Rivers Funding Corp.
10/18/99 5.39 12,000,000 11,969,627
Triple-A One Funding Corp.
10/20/99 5.39 15,000,000 14,957,646
UBS Finance (Delaware), Inc.
12/13/99 5.00 175,000,000 173,278,924
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Westdeutsche Landesbank
Girozentrale
10/18/99 5.34% $ 285,000,000 $ 284,284,017
10/20/99 5.34 100,000,000 99,719,222
Windmill Funding Corp.
10/4/99 5.36 25,000,000 24,988,854
10/4/99 5.37 21,044,000 21,034,618
10/6/99 5.37 25,000,000 24,981,424
10/6/99 5.38 25,000,000 24,981,424
10/12/99 5.37 48,500,000 48,420,864
10/13/99 5.39 38,000,000 37,931,980
10/15/99 5.38 25,000,000 24,947,889
10/15/99 5.39 16,000,000 15,966,587
10/18/99 5.38 59,000,000 58,850,664
10/20/99 5.38 30,000,000 29,915,133
10/20/99 5.40 25,000,000 24,929,410
1/13/00 6.03 15,850,000 15,578,930
2/9/00 6.00 4,000,000 3,914,704
2/22/00 5.98 9,000,000 8,790,120
2/25/00 5.98 10,000,000 9,761,942
TOTAL COMMERCIAL PAPER 6,287,269,280
BANK NOTES - 4.8%
Comerica Bank, Detroit
10/11/99 5.42 (b) 63,000,000 62,967,701
11/9/99 5.38 (b) 17,000,000 16,999,273
First National Bank, Chicago
10/6/99 5.32 45,000,000 44,998,953
First Union National Bank,
North Carolina
10/21/99 5.33 (b) 20,000,000 20,000,000
10/27/99 5.31 (b) 54,000,000 54,000,000
1/4/00 6.17 (b)(c) 75,000,000 75,000,000
Fleet National Bank
10/1/99 5.40 (b) 40,000,000 39,957,956
Fleet National Bank, Providence
11/4/99 5.36 (b) 50,000,000 49,997,671
Key Bank, National Association
10/18/99 5.50 (b) 72,000,000 72,000,000
NationsBank NA
10/1/99 5.40 90,000,000 89,978,740
PNC Bank NA, Pittsburgh
11/3/99 5.36 (b) 50,000,000 49,999,333
TOTAL BANK NOTES 575,899,627
MASTER NOTES - 3.3%
J.P. Morgan Securities, Inc.
10/7/99 5.35 (b) 400,000,000 399,999,998
MEDIUM-TERM NOTES - 6.6%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Abbey National Treasury
Services PLC
8/3/00 5.85% $ 50,000,000 $ 49,979,877
AT&T Corp.
10/6/99 5.43 (b) 175,000,000 175,000,000
Bishops Gate Resources
Mortgage Trust
10/1/99 5.57 (b) 42,000,000 42,000,000
CIESCO LP
10/15/99 5.36 (b) 50,000,000 49,992,187
Ford Motor Credit Co.
10/1/99 5.45 (b) 50,000,000 50,000,000
11/23/99 5.46 (b) 100,000,000 99,938,603
General Electric Capital Corp.
10/12/99 5.26 (b) 38,000,000 38,000,000
11/12/99 5.39 (b) 43,000,000 43,000,000
Goldman Sachs Group L.P.
10/7/99 5.51 (b)(d) 68,000,000 68,000,000
10/27/99 5.41 (b)(d) 66,000,000 66,000,000
11/10/99 5.42 (a)(b) 48,000,000 48,000,000
Norwest Corp.
10/22/99 5.33 (b) 61,000,000 61,000,000
TOTAL MEDIUM-TERM NOTES 790,910,667
SHORT-TERM NOTES - 4.9%
Capital One Funding Corp.
Series 1994 C,
10/7/99 5.49 (b) 6,768,000 6,768,000
Capital One Funding Corp.
Series 1995 E,
10/7/99 5.49 (b) 6,735,000 6,735,000
Capital One Funding Corp.
Series 1996 C,
10/7/99 5.49 (b) 12,576,000 12,576,000
Capital One Funding Corp.
Series 1996 H,
10/7/99 5.49 (b) 3,675,000 3,675,000
Capital One Funding Corp.
Series 1997 E,
10/7/99 5.49 (b) 11,300,000 11,300,000
Capital One Funding Corp.
Series 1997 F,
10/7/99 5.49 (b) 2,600,000 2,600,000
Capital One Funding Corp.
Series 1998 B,
10/7/99 5.49 (b) 28,384,000 28,384,000
Jackson National Life
Insurance Co.
10/1/99 5.46 (b)(d) 47,000,000 47,000,000
Monumental Life Insurance Co.
10/1/99 5.51 (d) 36,000,000 36,000,000
10/1/99 5.54 (b)(d) 55,000,000 55,000,000
New York Life Insurance Co.
10/1/99 5.47 (b)(d) 39,000,000 39,000,000
12/1/99 5.62 (b)(d) 37,000,000 37,000,000
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Pacific Life Insurance Co.
12/9/99 5.60 (b)(d) $ 37,000,000 $ 37,000,000
RACERS Series 1999 - 16MM,
10/4/99 5.40% (a)(b) 73,000,000 73,000,000
SMM Trust Series 1999 E,
10/5/99 5.32 (a)(b) 28,000,000 28,000,000
SMM Trust Series 1999 I,
11/26/99 5.49 (a)(b) 29,000,000 29,000,000
Strategic Money Market Trust
Series 1998 A,
12/15/99 5.61 (b) 139,000,000 139,000,000
TOTAL SHORT-TERM NOTES 592,038,000
TIME DEPOSITS - 0.8%
Dresdner Bank AG
10/1/95 5.38 100,000,000 100,000,000
</TABLE>
REPURCHASE AGREEMENTS - 1.1%
MATURITY AMOUNT
In a joint trading account
(U.S. Government
Obligations) dated 9/30/99
due 10/1/99 At:
5.24% $ 4,503,656 4,503,000
5.28% 126,805,596 126,787,000
TOTAL REPURCHASE AGREEMENTS 131,290,000
TOTAL INVESTMENT PORTFOLIO 12,073,997,030
- - 100.4%
NET OTHER ASSETS - (0.4)% (44,498,961)
NET ASSETS - 100% $ 12,029,498,069
Total Cost for Income Tax Purposes $ 12,073,997,030
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
LEGEND
(a) 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
$178,000,000 or 1.5% of net assets.
(b) 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.
(c) Security purchased on a delayed or when-issued basis.
(d) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
Additional information on each holding is as follows:
SECURITY ACQUISITION DATE COST
Goldman Sachs Group L.P.: 1/22/99 $ 66,000,000
5.41%, 10/27/99
5.51%, 10/7/99 12/7/98 $ 68,000,000
Jackson National Life 7/6/99 $ 47,000,000
Insurance Co. 5.46%, 10/1/99
Monumental Life Insurance 7/31/98 - 9/17/98 $ 36,000,000
Co.: 5.51%, 10/1/99
5.54%, 10/1/99 3/12/99 $ 55,000,000
New York Life Insurance Co.: 12/21/98 $ 39,000,000
5.47%, 10/1/99
5.62%, 12/1/99 8/13/99 $ 37,000,000
Pacific Life Insurance Co. 8/31/99 $ 37,000,000
5.60%, 12/9/99
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $385,000,000 or 3.2% of net assets.
INCOME TAX INFORMATION
At March 31, 1999, the fund had a capital loss carryforward of
approximately $2,228,000 of which $336,000, $898,000, $547,000,
$245,000, $14,000, $180,000 and $8,000 will expire on March 31, 2001,
2002, 2003, 2004, 2005, 2006 and 2007, respectively.
MONEY MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 12,073,997,030
value (including repurchase
agreements of $131,290,000)
- - See accompanying schedule
Receivable for investments 1,844,000
sold
Interest receivable 49,613,824
Other receivables 7,978
TOTAL ASSETS 12,125,462,832
LIABILITIES
Payable to custodian bank $ 544,304
Payable for investments 75,000,000
purchased on a delayed
delivery basis
Share transactions in process 135,912
Distributions payable 17,980,476
Accrued management fee 1,518,491
Distribution fees payable 145,966
Other payables and accrued 639,614
expenses
TOTAL LIABILITIES 95,964,763
NET ASSETS $ 12,029,498,069
Net Assets consist of:
Paid in capital $ 12,031,709,070
Accumulated net realized gain (2,211,001)
(loss) on investments
NET ASSETS $ 12,029,498,069
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($11,320,671,731 (divided
by) 11,322,730,179 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($120,597,834 (divided by)
120,619,763 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($588,228,504 (divided by)
588,335,462 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER
30, 1999 (UNAUDITED)
INTEREST INCOME $ 354,733,154
EXPENSES
Management fee $ 13,833,967
Transfer agent fees
Class I 1,532,708
Class II 22,356
Class III 87,066
Distribution fees
Class II 100,769
Class III 795,818
Accounting fees and expenses 419,057
Non-interested trustees' 22,373
compensation
Custodian fees and expenses 133,345
Registration fees 408,409
Audit 36,586
Legal 27,010
Total expenses before 17,419,464
reductions
Expense reductions (4,072,303) 13,347,161
NET INTEREST INCOME 341,385,993
NET REALIZED GAIN (LOSS) ON 16,728
INVESTMENTS
NET INCREASE IN NET ASSETS $ 341,402,721
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET SIX MONTHS ENDED SEPTEMBER YEAR ENDED MARCH 31, 1999
ASSETS 30, 1999 (UNAUDITED)
Operations Net interest income $ 341,385,993 $ 658,281,621
Net realized gain (loss) 16,728 46,094
NET INCREASE (DECREASE) IN 341,402,721 658,327,715
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (323,183,536) (620,092,279)
Class II (3,163,135) (6,802,226)
Class III (15,039,322) (31,387,116)
TOTAL DISTRIBUTIONS (341,385,993) (658,281,621)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I (1,447,437,311) 3,384,051,137
Class II 30,864,491 3,745,773
Class III (64,282,346) 164,699,216
TOTAL SHARE TRANSACTIONS (1,480,855,166) 3,552,496,126
TOTAL INCREASE (DECREASE) (1,480,838,438) 3,552,542,220
IN NET ASSETS
NET ASSETS
Beginning of period 13,510,336,507 9,957,794,287
End of period $ 12,029,498,069 $ 13,510,336,507
SEE ACCOMPANYING NOTES WHICH
ARE AN INTEGRAL PART OF THE
FINANCIAL STATEMENTS.
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .025 .053 .055 .053 .057
Less Distributions
From net interest income (.025) (.053) (.055) (.053) (.057)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.51% 5.40% 5.68% 5.43% 5.90%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 11,320,672 $ 12,768,085 $ 9,383,996 $ 8,714,137 $ 6,465,953
(000 omitted)
Ratio of expenses to average .18% A, D .18% D .18% D .18% D .18% D
net assets
Ratio of net interest income 4.95% A 5.24% 5.54% 5.31% 5.73%
to average net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
SELECTED PER-SHARE DATA 1995
Net asset value, beginning of $ 1.000
period
Income from Investment
Operations
Net interest income .049
Less Distributions
From net interest income (.049)
Net asset value, end of period $ 1.000
TOTAL RETURN B, C 4.99%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 5,130,123
(000 omitted)
Ratio of expenses to average .18% D
net assets
Ratio of net interest income 5.00%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .024 .051 .054 .051 .022
Less Distributions
From net interest income (.024) (.051) (.054) (.051) (.022)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.43% 5.24% 5.52% 5.27% 2.17%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 120,598 $ 89,741 $ 85,990 $ 167,583 $ 64,200
(000 omitted)
Ratio of expenses to average .33% A, D .33% D .33% D .33% D .33% A, D
net assets
Ratio of net interest income 4.71% A 5.13% 5.39% 5.16% 5.29% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 1995
Net asset value, beginning
of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .024 .050 .053 .050 .055 .046
Less Distributions
From net interest income (.024) (.050) (.053) (.050) (.055) (.046)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 2.38% 5.14% 5.41% 5.17% 5.61% 4.66%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 588,228 $ 652,511 $ 487,808 $ 444,048 $ 229,530 $ 457,286
(000 omitted)
Ratio of expenses to average .43% A, D .43% D .43% D .43% D .45% D .50% D
net assets
Ratio of net interest income 4.72% A 4.98% 5.28% 5.06% 5.46% 4.94%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
TAX-EXEMPT PORTFOLIO
INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C>
MUNICIPAL SECURITIES - 100.6%
PRINCIPAL AMOUNT VALUE (NOTE 1)
ALABAMA - 5.0%
Alabama Hsg. Fin. Auth. $ 1,925,000 $ 1,925,000
Multi-family Hsg. Rev.
(Homewood Gardens Proj.)
Series 1991C, 3.95%, LOC
Southtrust Bank NA, VRDN (a)
Anniston Ind. Dev. Board 9,100,000 9,100,000
(Monsanto Co. Proj.) Series
1992, 3.8%, VRDN (a)
Anniston Solid Waste Disp. 2,230,000 2,230,000
Auth. (Monsanto Co. Proj.)
Series 1992, 3.8%, VRDN (a)
Birmingham Pub. Park & 9,200,000 9,200,000
Recreation Board Rev.
(McWane Ctr. Proj.) Series
1997, 3.85%, LOC Amsouth
Bank, Birmingham, VRDN (a)
Columbia Ind. Dev. Board 25,000,000 25,000,000
Poll. Cont. Rev. Rfdg.
(Alabama Pwr. Co. Proj.)
Series 1999 C, 3.95%, VRDN
(a)
Decatur Ind. Dev. Board:
Poll. Cont. Rev. (Monsanto 5,925,000 5,925,000
Co. Proj.) Series 1990,
3.8%, VRDN (a)
Rfdg. (Monsanto Co. Proj.):
Series 1992, 3.8%, VRDN (a) 3,500,000 3,500,000
Series 1994, 3.8%, VRDN (a) 3,115,000 3,115,000
Huntsville Ind. Dev. Board 1,000,000 1,000,000
Rev. Rfdg. (PPG Industries,
Inc. Proj.) Series 1992,
3.85%, VRDN (a)
Jefferson County
Participating VRDN:
Series 1998 124, 3.85% 5,300,000 5,300,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
Series PA 487R, 3.85% 6,700,000 6,700,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(c)
Series PT 124, 3.85% 6,800,000 6,800,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(c)
Mobile Ind. Dev. Board Poll. 5,700,000 5,700,000
Cont. Rev. (Alabama Pwr. Co.
Proj.) Series C, 3.88%, VRDN
(a)
Montgomery BMC Spl. Care 3,100,000 3,100,000
Facilities Fing. Auth. Hosp.
Rev. (VHA of Alabama, Inc.
Cap. Assets) Series 1985 H,
3.85% (AMBAC Insured) (BPA
Mellon Bank NA, Pittsburgh),
VRDN (a)
Tarrant City Ind. Dev. Board 2,300,000 2,300,000
Rev. Rfdg. (Philip Morris
Co., Inc.) Series 1993,
3.9%, VRDN (a)
Tuscaloosa County Port Auth. 3,880,000 3,880,000
Rev. (Capstone Hotel Ltd.
Proj.) Series 1989 A, 3.95%,
LOC Southtrust Bank NA, VRDN
(a)
94,775,000
ALASKA - 0.7%
Alaska Hsg. Fin. Corp. 3,010,000 3,010,000
Participating VRDN Series
FR/RI 2, 3.9% (Liquidity
Facility Bank of New York
NA) (a)(c)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Valdez Marine Term. Rev.:
Participating VRDN Series $ 7,005,000 $ 7,005,000
MSDW 1998 146, 3.85%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
Rfdg. Bonds (Atlantic 2,300,000 2,300,000
Richfield Co.) Series 1994
A, 3.55% tender 1/26/00
(Liquidity Facility Morgan
Stanley Dean Witter & Co.),
CP mode
12,315,000
ARIZONA - 5.0%
Apache County Ind. Dev. Auth. 13,250,000 13,250,000
(Tucson Elec. Pwr. Co. -
Springerville Proj.) Series
1983 C, 3.85%, LOC Societe
Generale, France, VRDN (a)
Arizona Trans. Board Excise 3,400,000 3,431,253
Tax Rev. Bonds (Maricopa
County Reg'l. Area Road)
Series A, 4.5% 7/1/00
Maricopa County Cmnty. 3,000,000 3,043,334
College District Bonds
(Cmnty. College District
Proj.) Series 1984 C, 5.25%
7/1/00
Maricopa County Poll. Cont. 2,250,000 2,250,000
Corp. Rev. Bonds (Southern
California Edison Co.)
Series 1985 F, 3.5% tender
1/26/00, CP mode
Phoenix Ind. Dev. Auth. 18,000,000 18,000,000
Multi-family Hsg. Rev. Rfdg.
(Paradise Lakes Apt. Proj.)
Series 1995, 3.85%, LOC Gen.
Elec. Cap. Corp., VRDN (a)
Pinal County Ind. Dev. Auth. 10,135,000 10,135,000
Hosp. Rev. (Casa Grande Med.
Ctr. Proj.) Series 1995,
3.9%, LOC Chase Manhattan
Bank, VRDN (a)
Salt River Proj. Agric. Impt.
& Pwr. District:
Bonds (Elec. Sys. Rev.) 5.5% 2,000,000 2,009,691
1/1/00
Series 1997 A, 3.55% 11/1/99, 25,600,000 25,600,000
CP
3.55% 11/1/99, CP 9,000,000 9,000,000
3.65% 11/1/99, CP 5,500,000 5,500,000
4.2% 10/12/99, CP 2,000,000 2,000,000
94,219,278
ARKANSAS - 1.7%
Arkansas Dev. Fin. Auth. 3,920,000 3,920,000
Participating VRDN Series A
1, 3.85% (Liquidity Facility
Caisse des Depots et
Consignations) (a)(c)
Arkansas Hosp. Equip. Fin.
Auth.:
(Arkansas Hosp. Assoc. Pooled 2,900,000 2,900,000
Fing. Prog.) Series 1998 A,
3.8%, LOC Bank of America
NA, VRDN (a)
(Jefferson Hosp. Assoc., Inc. 1,895,000 1,895,000
Proj.) Series 1989, 3.8%,
LOC KBC Bank, NV, VRDN (a)
Univ. of Arkansas Rev. (UAMS 22,995,000 22,995,000
Campus) Series 1998, 3.85%
(MBIA Insured) (BPA Cr.
Swiss First Boston Bank),
VRDN (a)
31,710,000
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
CALIFORNIA - 1.0%
California Higher Ed. Student
Ln. Auth. Rev. Bonds:
Series 1987 A, 3.18%, tender $ 16,700,000 $ 16,700,000
5/1/00, LOC Nat'l.
Westminster Bank PLC
Series 1992 A2, 3.18%, tender 2,300,000 2,300,000
4/1/00, LOC Student Ln.
Marketing Assoc.
19,000,000
COLORADO - 0.7%
Colorado Springs Util. Sys. 1,000,000 1,000,000
Impt. Rev. Participating
VRDN Series FR/RI 19, 3.95%
(Liquidity Facility Bank of
New York NA) (a)(c)
Denver City & County Arpt.
Rev. Participating VRDN:
Series 1997 Q, 3.9% 2,900,000 2,900,000
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (a)(c)
Series FR/RI 13, 3.9% 9,500,000 9,500,000
(Liquidity Facility Bank of
New York NA) (a)(c)
13,400,000
DELAWARE - 0.4%
Delaware Econ. Dev. Auth. 1,500,000 1,500,000
Poll. Cont. Rev. (Delmarva
Pwr. & Lt. Proj.) Series
1999 A, 3.8%, VRDN (a)
Delaware Hsg. Auth. Bonds 6,625,000 6,625,000
Series PA 39, 3.7%, tender
2/24/00 (Liquidity Facility
Merrill Lynch & Co., Inc.)
(c)
8,125,000
DISTRICT OF COLUMBIA - 0.8%
District of Columbia Gen.
Oblig. Participating VRDN:
Series PA 568, 3.92% 4,165,000 4,165,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(c)
Series ROC#2-99-10, 3.87% 2,800,000 2,800,000
(Liquidity Facility Toronto
Dominion Bank) (a)(c)
District of Columbia Rev. 3,500,000 3,500,000
(Nat'l. Academy of Sciences
Proj.) Series 1999 C, 3.9%
(Liquidity Facility Bank of
America NA), VRDN (a)
District of Columbia Wtr. & 4,200,000 4,200,000
Swr. Participating VRDN
Series 98-5201, 3.84%
(Liquidity Facility
Citibank, New York NA)
(a)(c)
14,665,000
FLORIDA - 8.3%
Brevard County School 3,500,000 3,515,157
District TAN 4% 6/30/00
Broward County Fin. Auth. 1,620,000 1,620,000
Multi-family Hsg. Rev. (Palm
Aire-Oxford Proj.) Series
1990, 3.9% (Continental
Casualty Co. Guaranteed),
VRDN (a)
Collier County Ind. Dev. 3,500,000 3,500,000
Auth. (Cmnty. School of
Naples Proj.) Series 1999,
3.85%, LOC Bank of America
NA, VRDN (a)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Florida Board of Ed. $ 9,900,000 $ 9,900,000
Participating VRDN Series
96C0905, Class A, 3.84%
(Liquidity Facility
Citibank, New York NA) (a)(c)
Florida Cap. Projects Fin. 13,195,000 13,195,000
Auth. (Cap. Proj. Ln. Prog.)
Series 1997 A, 3.75% (FSA
Insured) (BPA Cr. Swiss
First Boston Bank), VRDN (a)
Florida Dept. of Trans. 5,110,000 5,110,000
Participating VRDN 3.85%
(Liquidity Facility Societe
Generale, France) (a)(c)
Florida Hsg. Fin. Agcy. 1,500,000 1,500,000
Multi-family Hsg. Rev. Rfdg.
(Brandon-Oxford Proj.)
Series 1990 C, 3.9%
(Continental Casualty Co.
Guaranteed), VRDN (a)
Highlands County Health
Facilities Auth. Rev.
(Adventist Health Sys.
Sunbelt Proj.):
Series B, 3.8% (MBIA 16,800,000 16,800,000
Insured), VRDN (a)
3.8% (MBIA Insured) (BPA Bank 30,800,000 30,800,000
One NA Chicago), VRDN (a)
Indian River County Hosp.
District Hosp. Rev. Bonds:
Series 1988, 3.35% tender 2,000,000 2,000,000
10/12/99, LOC Kredietbank,
CP mode
Series 1989, 3.35% tender 1,000,000 1,000,000
10/12/99, LOC Kredietbank,
CP mode
Series 1990, 3.35% tender 4,300,000 4,300,000
10/12/99, LOC Kredietbank,
CP mode
Jacksonville Elec. Auth. Rev.:
Series A, 3.65% 1/28/00, CP 2,000,000 2,000,000
Series C 1, 3.7% 10/6/99 3,000,000 3,000,000
(Liquidity Facility Morgan
Guaranty Trust Co., NY), CP
Jacksonville Poll. Cont. Rev. 4,000,000 4,000,000
Rfdg. Bonds (Florida Pwr. &
Lt. Co. Proj.) Series 1994,
3.6% tender 11/12/99, CP mode
Lee County Hosp. Board Hosp. 5,400,000 5,400,000
Rev. Bonds (Lee Memorial
Hosp. Proj.) Series 1997 B,
3.4% tender 11/10/99, CP mode
Miami-Dade County Ind. Dev. 8,000,000 8,000,000
Rev. (Carrollton Sch. Proj.)
Series 1999, 3.8%, LOC
SunTrust Bank, Miami NA,
VRDN (a)
Miami-Dade County School 14,000,000 14,060,127
District TAN Series 1999, 4%
6/28/00
Orange County Ed. Facilities 6,100,000 6,100,000
Auth. Ed. Rev. (Rollins
College Proj.) Series 1999,
3.8%, LOC Bank of America
NA, VRDN (a)
Orange County Health 3,985,000 3,985,000
Facilities Auth.
Participating VRDN Series PA
95, 3.5% (Liquidity Facility
Merrill Lynch & Co., Inc.)
(a)(c)(d)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
FLORIDA - CONTINUED
Sarasota County Hosp.
District Rev. Bonds
(Sarasota Memorial Hosp.
Proj.) Series A:
3.7% tender 10/1/99 $ 10,500,000 $ 10,500,000
(Liquidity Facility SunTrust
Bank, Central FL NA), CP
mode
4.1% tender 10/1/99 1,500,000 1,500,000
(Liquidity Facility SunTrust
Bank, Central FL NA), CP
mode
Sunshine State Govt. Fing. 2,600,000 2,600,000
Commission Rev. Bonds Series
1986, 3.2% tender 1/28/00
(AMBAC Insured), CP mode
Tampa Sports Auth. 1,900,000 1,900,000
Participating VRDN Series
SGA 61, 3.9% (Liquidity
Facility Societe Generale,
France) (a)(c)
156,285,284
GEORGIA - 6.5%
Burke County Ind. Dev. Auth.
Poll. Cont. Rev. Bonds
(Georgia Pwr. Co. Plant
Vogtle Proj.):
Series 1995 2, 3.78% tender 4,200,000 4,200,000
4/25/00, CP mode
Series 1996, 3.75% tender 30,200,000 30,200,000
4/24/00, CP mode
Clayton County Hsg. Auth. 7,215,000 7,215,000
Multi-family Hsg. Rev. Rfdg.
(Partners LP Proj.) Series
1996, 4.05%, LOC Wachovia
Bank NA, VRDN (a)
Columbia County Residential 3,335,000 3,335,000
Care Facilities Rev.
(Augusta Residental
Ctr./Brandon Wilde Lifecare
Ctr.) 3.8%, LOC SunTrust
Bank of Atlanta, VRDN (a)
Fulton County Hsg. Auth.
Multi-family Hsg. Rev. Rfdg.:
(Holcomb's Landing Apts. 2,200,000 2,200,000
Proj.) 3.8%, LOC First Union
Nat'l. Bank, North Carolina,
VRDN (a)
(Spring Creek Crossing Proj.) 25,400,000 25,400,000
3.85%, LOC Wachovia Bank
NA, VRDN (a)
Georgia Muni. Elec. Auth.:
Series A, 3.4% 10/8/99, LOC 6,600,000 6,600,000
Morgan Guaranty Trust Co.,
NY, LOC Bayerische
Landesbank Girozentrale, CP
Series B, 3.4% 10/12/99, LOC 2,657,000 2,657,000
Morgan Guaranty Trust Co.,
NY, LOC Bayerische
Landesbank Girozentrale, CP
Gwinnett County Dev. Auth. 6,500,000 6,500,000
Rev. (Greater Atlanta
Schools Proj.) Series 1998,
3.8%, LOC SunTrust Bank of
Atlanta, VRDN (a)
Marietta Hsg. Auth. 2,000,000 2,000,000
Multi-family Hsg. Rev. Rfdg.
(Wood Pointe Apts.) Series
1993, 3.8%, LOC First Union
Nat'l. Bank, North Carolina,
VRDN (a)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Metro. Atlanta Rapid Transit $ 3,495,000 $ 3,495,000
Auth. Participating VRDN
Series 59, 3.85% (Liquidity
Facility Morgan Stanley Dean
Witter & Co.) (a)(c)
Putnam County Poll. Cont. 2,600,000 2,600,000
Rev. Bonds (Pwr. Co. Plant
Proj.) Second Series 1997,
3.8% tender 1/13/00, CP mode
Roswell Hsg. Auth. 5,200,000 5,200,000
Multi-family Hsg. Rev.
(Autumnbrook Apts.) Series
1991 A, 3.9%, LOC Amsouth
Bank, Birmingham, VRDN (a)
South Georgia Hosp. Auth. 21,400,000 21,400,000
Rev. 3.8% (AMBAC Insured),
VRDN (a)
123,002,000
IDAHO - 0.7%
Caribou County Poll. Cont.
Rev. Rfdg. (Monsanto Co.
Proj.):
Series 1990, 3.8%, VRDN (a) 3,600,000 3,600,000
Series 1994 A, 3.8%, VRDN (a) 3,000,000 3,000,000
Idaho TAN Series 1999, 4.25% 6,500,000 6,539,817
6/30/00
13,139,817
ILLINOIS - 8.2%
Chicago Gen. Oblig. 2,500,000 2,500,000
Participating VRDN Series PA
S43, 3.85% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
Chicago Pub. Bldg. Cmnty. 1,695,000 1,695,000
Bldg. Participating VRDN
Series PA 473, 3.85%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(c)
Chicago Sales Tax Rev.
Participating VRDN:
Series 1998 92, 3.85% 1,570,000 1,570,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
Series FR/RI 24, 3.9% 5,150,000 5,150,000
(Liquidity Facility Bank of
New York NA) (a)(c)
Chicago School Reform Board
of Ed. Participating VRDN:
Series 1996 BB, 3.97% 9,000,000 9,000,000
(Liquidity Facility Bank of
America NA) (a)(c)
Series 1998 115, 3.85% 8,000,000 8,000,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
Chicago Tax Increment Alloc. 11,700,000 11,700,000
Rev. (Stockyards Southeast
Quad) Series 1996 B, 3.8%,
LOC Northern Trust Co.,
Chicago, VRDN (a)
Glendale Heights 1,330,000 1,330,000
Participating VRDN Series PT
106, 3.9% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
Illinois Dev. Fin. Auth. Rev. 11,200,000 11,200,000
(Local Gov't. Fin. Auth.
Prog.) Series 1999 A, 3.8%
(AMBAC Insured), VRDN (a)
Illinois Edl. Facilities
Auth. Rev.:
Participating VRDN Series 4,250,000 4,250,000
1997 U, 3.95% (Liquidity
Facility First Union Nat'l.
Bank, North Carolina) (a)(c)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
ILLINOIS - CONTINUED
Illinois Edl. Facilities
Auth. Rev.: - continued
Participating VRDN Series $ 7,200,000 $ 7,200,000
981302, 3.84% (Liquidity
Facility Citibank, New York
NA) (a)(c)
Illinois Gen. Oblig. 20,075,000 20,075,000
Participating VRDN Series
1998 143 3.85% (Liquidity
Facility Morgan Stanley Dean
Witter & Co.) (a)(c)
Illinois Health Facilities
Auth. Rev.:
Bonds (SMM Health Care Proj.) 1,900,000 1,900,000
Series 1998 B, 3.6% tender
1/27/00 (MBIA Insured), CP
mode
(Franciscan Eldercare & 2,000,000 2,000,000
Comnty. Svcs.) Series 1996
B, 3.8%, LOC LaSalle Nat'l.
Bank, Chicago, VRDN (a)
(Little Co. of Mary Hosp.) 18,905,000 18,905,000
Series 1997 B, 3.8% (MBIA
Insured), VRDN (a)
(Resurrection Health Care) 4,200,000 4,200,000
Series 1999 A, 3.95% (FSA
Insured), VRDN (a)
Rfdg.:
(Franciscan Eldercare & 9,800,000 9,800,000
Cmnty. Svcs.) Series 1996 C,
3.8%, LOC LaSalle Nat'l.
Bank, Chicago, VRDN (a)
Participating VRDN Series PT 3,345,000 3,345,000
116, 3.85% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
3.95% (MBIA Insured), VRDN (a) 2,400,000 2,400,000
Illinois Hsg. Dev. Auth.
Homeowner Mtg. Rev. Bonds:
Series 1999 B1, 3.2%, tender 2,160,000 2,160,000
4/27/00
Series E 1, 3.55%, tender 3,700,000 3,700,000
7/27/00
Illinois Reg'l. Trans. Auth.
Participating VRDN:
Series SG 82, 3.85% 17,500,000 17,500,000
(Liquidity Facility Societe
Generale, France) (a)(c)
Series SGB 10, 3.87% 6,100,000 6,100,000
(Liquidity Facility Societe
Generale, France) (a)(c)
155,680,000
INDIANA - 1.5%
Fort Wayne Econ. Dev. Rev. 3,950,000 3,950,000
(Edy's Grand Ice Cream
Proj.) Series 1985, 3.875%,
LOC Bank of America NA, VRDN
(a)
Indianapolis Gas Util. Sys. 5,400,000 5,400,000
Rev. 4.05% 10/1/99, CP
Sullivan Poll. Cont. Rev.
Bonds (Hoosier Energy Rural
Elec. Coop.):
Series 1985 L 2, 3.65% tender 3,700,000 3,700,000
1/28/00 (Nat'l. Rural Util.
Coop. Fin. Corp.
Guaranteed), CP mode
Series 1985 L 3, 3.55% tender 6,600,000 6,600,000
1/21/00 (Nat'l. Rural Util.
Coop. Fin. Corp.
Guaranteed), CP mode
PRINCIPAL AMOUNT VALUE (NOTE 1)
Series 1985 L 5, 3.55% tender $ 5,200,000 $ 5,200,000
1/25/00 (Nat'l. Rural Util.
Coop. Fin. Corp.
Guaranteed), CP mode
Series 1985 L 2, 3.65% tender 1,000,000 1,000,000
1/28/00 (Nat'l. Rural Util.
Coop. Fin. Corp.
Guaranteed), CP mode
Valparaiso Econ. Dev. Rev. 3,300,000 3,300,000
(Indiana Retirement Cmnty.
Proj.) 3.85%, LOC Bank One,
Indiana NA, VRDN (a)
29,150,000
KANSAS - 0.7%
Burlington Poll. Cont. Rev. 5,000,000 5,000,000
Participating VRDN Series
FR/RI A 26, 3.9% (Liquidity
Facility Bank of New York
NA) (a)(c)
La Cygne Envir. Impt. Rev. 4,500,000 4,500,000
Rfdg. (Kansas City Pwr. &
Lt. Co.) Series 1994, 3.9%,
VRDN (a)
Wichita Gen. Oblig. BAN 4% 2,900,000 2,906,444
2/24/00
12,406,444
KENTUCKY - 1.4%
Jefferson County Poll. Cont.
Rev.:
Bonds (Louisville Gas & Elec.
Co. Proj.):
Series 1993 A, 3.3% tender 1,515,000 1,515,000
10/8/99, CP mode
Series 1995 A, 3.65% tender 3,100,000 3,100,000
1/28/00, CP mode
Rfdg. (Philip Morris Co., 1,300,000 1,300,000
Inc. Proj.) Series 1992,
3.9%, VRDN (a)
Kentucky Asset Liability
Commission Agcy. Fund Rev.
Bonds:
Series 1998 A, 3.55% tender 1,400,000 1,400,000
11/1/99, LOC Commerzbank AG,
CP mode
Series 1998, 3.4% tender 1,700,000 1,700,000
10/12/99, LOC Commerzbank
AG, CP mode
Kentucky Asset Liability 4,245,000 4,250,992
Commission Gen. Fund Rev.
Bonds First Series, 3.5%
3/1/00
Louisville & Jefferson County 3,880,000 3,880,000
Rev. Participating VRDN
Series PT 69, 3.85%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(c)
Middletown Rev. (Christian 5,500,000 5,500,000
Academy Proj.) Series 1997,
3.85%, LOC Bank One,
Kentucky NA, VRDN (a)
Trimble County Poll. Cont.
Rev. Bonds (Louisville Gas
& Elec. Co.) Series 1992 A:
3.5% tender 1/27/00, CP mode 1,700,000 1,700,000
3.65% tender 1/28/00, CP mode 1,650,000 1,650,000
25,995,992
LOUISIANA - 2.0%
Calcasieu Parish Ind. Dev.
Board Poll. Cont. Rev.:
(PPG Industries/Lake Charles 3,400,000 3,400,000
Proj.) Series 1999, 3.85%,
VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
LOUISIANA - CONTINUED
Calcasieu Parish Ind. Dev.
Board Poll. Cont. Rev.: -
continued
Rfdg. (PPG Industries) Series $ 10,000,000 $ 10,000,000
1992, 3.8%, VRDN (a)
Lafayette Econ. Dev. Auth. 3,750,000 3,750,000
Ind. Dev. Rev. Rfdg. (Holt
County of Louisiana Proj.)
4.155%, LOC Chase Bank of
Texas NA, VRDN (a)
West Baton Rouge Parish Ind.
District #3 Rev.:
Bonds (Dow Chemical Co. 3,000,000 3,000,000
Proj.) 3.5% tender 11/17/99,
CP mode
Rfdg. Bonds (Dow Chemical Co.
Proj.) Series 1991:
3.45% tender 10/13/99, CP mode 4,000,000 4,000,000
3.65% tender 11/18/99, CP mode 14,200,000 14,200,000
38,350,000
MARYLAND - 2.0%
Baltimore County Metro. 3,000,000 3,000,000
District 3.4% 10/7/99
(Liquidity Facility
Westdeutsche Landesbank
Girozentrale), CP
Baltimore Gen. Oblig. Rfdg. 18,400,000 18,400,000
Participating VRDN Series
SGA 20, 3.82% (Liquidity
Facility Societe Generale,
France) (a)(c)
Maryland Cmnty. Dev. 7,810,000 7,810,000
Administration Dept.
Participating VRDN Series
1997 P, 3.85% (Liquidity
Facility Caisse des Depots
et Consignations) (a)(c)
Northeast Waste Disp. Auth. 8,415,000 8,415,000
Participating VRDN Series
97C-2001, 3.84% (Liquidity
Facility Citibank, New York
NA) (a)(c)
37,625,000
MASSACHUSETTS - 0.7%
Massachusetts Health & Edl. 2,835,000 2,977,473
Facilities Auth. Rev. Bonds
(Emerson Hosp.) Series C, 8%
7/1/18 (Pre-Refunded to
7/1/00 @ 102) (b)
New England Waste Disp. Auth. 11,185,000 11,185,000
Participating VRDN Series
96C2001, 3.84% (Liquidity
Facility Citibank, New York
NA) (a)(c)
14,162,473
MICHIGAN - 1.3%
Clinton Economic Dev. Corp. 2,100,000 2,100,000
Rev. (Clinton Area Care Ctr.
Prj.) 3.87%, VRDN (a)
Detroit Swr. Auth. 2,900,000 2,900,000
Participating VRDN Series
1999 81, 3.83% (Liquidity
Facility The Bear Stearns
Companies, Inc.) (a)(c)
Michigan Muni. Bond Auth.
Rev. RAN:
Series B1, 4.25% 8/25/00 4,600,000 4,625,914
PRINCIPAL AMOUNT VALUE (NOTE 1)
Series B2, 4.25% 8/25/00, LOC $ 6,000,000 $ 6,035,370
Morgan Guaranty Trust Co., NY
Michigan Strategic Fund Poll.
Cont. Rev. Bonds (Dow
Chemical Co. Proj.):
Series 1986, 4.2% tender 3,600,000 3,600,000
10/12/99, CP mode
Series 1987, 3.6% tender 1,000,000 1,000,000
1/26/00, CP mode
Wayne Charter County 4,100,000 4,100,000
Participating VRDN Series SG
122, 3.85% (Liquidity
Facility Societe Generale,
France) (a)(c)
24,361,284
MINNESOTA - 2.2%
Minnesota Hsg. Fin. Agcy.
Single Family Mtg.:
Bonds Series G, 3.7%, tender 2,800,000 2,800,232
6/29/00
Participating VRDN Series PT 9,440,000 9,440,000
114, 3.85% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
Minnetonka Multi-family Hsg. 21,400,000 21,400,000
Rev. Rfdg. (Cliffs at
Ridgedale Proj.) Series
1995, 3.85% (Fannie Mae
Guaranteed), VRDN (a)
Rochester Health Care 7,000,000 7,000,000
Facilities Rev. (Mayo
Foundation Proj.) Series
1985 C, 3.95% (BPA RaboBank
Nederland Coop. Central),
VRDN (a)
40,640,232
MISSOURI - 1.1%
Missouri Health & Edl. 20,000,000 20,000,000
Facilities Auth. Rev.
(Missouri Pooled Hosp. Ln.
Prog.) Series 1999 A, 3.8%,
VRDN (BPA Landesbank
Hessen-Thuringen) (a)
NEBRASKA - 0.4%
Nebraska Pub. Pwr. District
Rev.:
Bonds Series A, 4.5% 1/1/00 6,000,000 6,005,474
Series A, 3.65% 2/1/00, CP 1,900,000 1,900,000
7,905,474
NEVADA - 0.9%
Las Vegas Valley Wtr. 4,600,000 4,600,000
District Series A, 3.6%
11/18/99, LOC UBS AG, CP
Nevada Gen. Oblig.
Participating VRDN:
Series FR/RI 36, 3.9% 4,100,000 4,100,000
(Liquidity Facility Bank of
New York NA) (a)(c)
Series SGB 97 31, 3.87% 8,665,000 8,665,000
(Liquidity Facility Societe
Generale, France) (a)(c)
17,365,000
NEW HAMPSHIRE - 0.8%
New Hampshire Bus. Fin. Auth. 15,300,000 15,300,000
Poll. Cont. Rev. Bonds (New
England Pwr. Co. Proj.)
Series 1990 B, 3.15% tender
10/7/99, CP mode
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
NEW JERSEY - 0.7%
Woodbridge Township Gen. $ 12,160,000 $ 12,208,266
Oblig. BAN (Pooled Ln.
Prog.) Series 1996 A, 3.9%
7/28/00
NEW YORK - 1.3%
Board Coop. Edl. Sole 1,900,000 1,908,522
Supervisory District RAN
4.375% 6/29/00, LOC Chase
Manhattan Bank
Long Island Pwr. Auth. 2,000,000 2,000,000
Participating VRDN Series
1998 A, 3.85% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
New York City Gen. Oblig. 1,005,000 1,005,000
Participating VRDN Series
PT-206, 3.85% (Liquidity
Facility Bayerische Hypo-und
Vereinsbank AG) (a)(c)
New York City Muni. Wtr. Fin. 5,000,000 5,000,000
Auth. Series 5 B, 3.8%
12/23/99, LOC Westdeutsche
Landesbank Girozentrale, LOC
Bayerische Landesbank
Girozentrale, CP
New York State Local Govt. 3,800,000 3,800,000
Assistance Corp.
Participating VRDN Series PT
1040, 3.82% (Liquidity
Facility Bank of America
Nat'l. Trust & Savings
Assoc.) (a)(c)
New York State Med. Care 3,710,000 3,710,000
Facilities Participating
VRDN Series PA 89, 3.82%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(c)
New York State Thruway Auth. 2,000,000 2,007,283
Hwy. & Bridge Trust Fund
Bonds Series B, 4% 4/1/00
New York State Urban Dev. 5,000,000 5,000,000
Corp. Rev. Participating
VRDN Series SG 33, 3.82%
(Liquidity Facility Societe
Generale, France) (a)(c)
24,430,805
NORTH CAROLINA - 0.9%
North Carolina Med. Care
Commission Rev.:
(Lexington Memorial Hosp. 2,400,000 2,400,000
Proj.) 3.95%, LOC First
Union Nat'l. Bank, North
Carolina, VRDN (a)
3.95%, LOC Bank of America 13,595,000 13,595,000
NA, VRDN (a)
Raleigh-Durham Arpt. Auth. 1,200,000 1,200,000
Spl. Facilities Rev. Rfdg.
(American Airlines, Inc.)
Series 1995 A, 3.9%, LOC
Bank of America NA, VRDN (a)
17,195,000
NORTH DAKOTA - 0.1%
Oliver County Participating 1,850,000 1,850,000
VRDN Series 1998 12, 3.85%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
PRINCIPAL AMOUNT VALUE (NOTE 1)
OHIO - 2.2%
Clinton County Hosp. Rev. $ 10,800,000 $ 10,800,000
(Hosp. Cap., Inc. Pooled
Fing. Prog.) Series 1998,
3.8%, LOC Fifth Third Bank,
Cincinnati, VRDN (a)
Franklin County Ind. Dev. 1,700,000 1,700,000
Rev. Rfdg. (Alco Standard
Corp. Proj.) Series 1994,
3.85%, LOC Bank of America
NA, VRDN (a)
Ohio Higher Edl. Facilities
Rev.:
(Pooled Fing. Prog.) Series 11,665,000 11,665,000
1997, 3.85%, LOC Fifth Third
Bank, Cincinnati, VRDN (a)
Series 1999, 3.85%, LOC Fifth 10,000,000 10,000,000
Third Bancorp, LOC Fifth
Third Bank, Cincinnati, VRDN
(a)
Ohio Hwy. Cap. Impt. Bonds 7,500,000 7,533,152
Series D, 4% 5/1/00
41,698,152
OKLAHOMA - 0.7%
Oklahoma Dev. Fin. Auth. Rev. 12,700,000 12,700,000
(Hosp. Assoc. Pool Ln.
Prog.) Series 1999 A, 3.8%,
(Liquidity Facility
Landesbank Hessen-Thuringen)
VRDN (a)
PENNSYLVANIA - 5.5%
Allegheny County Port Auth. 5,000,000 5,019,540
RAN 4% 6/30/00, LOC PNC Bank
NA
Dallastown Area School 1,700,000 1,700,000
District York County Series
1998, 3.85% (FGIC Insured),
VRDN (a)
Dauphin County Gen. Auth. Rev.:
(All-Health Pooled Fing. 25,000,000 25,000,000
Prog.) Series 1997 B, 3.8%
(FSA Insured), VRDN (a)
(School District Pooled Fing. 14,400,000 14,400,000
Prog.) 3.85% (AMBAC
Insured), VRDN (a)
Delaware County Auth. Hosp. 4,900,000 4,900,000
Rev. (Crozer-Chester Med.
Ctr.) Series 1996, 3.88%,
LOC Kredietbank, VRDN (a)
Lancaster Higher Ed. Auth. 14,780,000 14,780,000
College Rev. (Franklin &
Marshall College) 3.87% (BPA
Chase Manhattan Bank), VRDN
(a)
Lehigh County Ind. Dev. Auth. 3,440,000 3,440,000
Rev. (The Keebler Co.)
Series 1992, 3.9%, LOC Bank
of Nova Scotia, VRDN (a)
Philadelphia Gen. Oblig. TRAN 5,900,000 5,931,949
Series A 1999- 2000, 4.25%
6/30/00
Philadelphia Hosp. & Higher 1,300,000 1,300,000
Ed. Facilities Auth. Health
Sys. Rev. Bonds (Jefferson
Health Sys. Proj.) Series
1999 B, 3.25%, tender 3/31/00
Philadelphia Ind. Dev. Rev. 3,565,000 3,565,000
Rfdg. (Paper Corp. of
America Proj.) 3.8%, LOC
SunTrust Bank of Atlanta,
VRDN (a)
Philadelphia Redev. Auth. 3,500,000 3,500,000
School Rev. (Penn School for
the Deaf) 3.75%, LOC PNC
Bank NA, VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
PENNSYLVANIA - CONTINUED
Philadelphia School District $ 15,200,000 $ 15,260,420
TRAN Series A, 4% 6/30/00,
LOC First Union Nat'l. Bank,
North Carolina
Scranton-Lackawanna Health & 4,625,000 4,625,000
Welfare Auth. Rev. (Elan
Gardens Proj.) Series 1996,
3.95%, LOC PNC Bank NA, VRDN
(a)
103,421,909
RHODE ISLAND - 0.1%
Rhode Island Health & Ed. 1,995,000 1,995,000
Bldg. Corp. Rev. (Providence
Country Day School) Series
1996, 4%, LOC Fleet Nat'l.
Bank, VRDN (a)
SOUTH CAROLINA - 2.1%
Berkeley County Poll. Cont. 3,700,000 3,700,000
Facilities Rev. (Alumax,
Inc. Proj.) 3.88% (Alcoa,
Inc. Guaranteed), VRDN (a)
South Carolina Edl. 4,000,000 4,000,000
Facilities Auth. (Allen
Univ. Proj.) 3.85%, LOC Bank
of America NA, VRDN (a)
South Carolina Hsg. Fin. &
Hsg. Dev. Auth. Multi-family
Rev. Rfdg.:
(Charleston Oxford) Series 10,180,000 10,180,000
1990 B, 3.9% (Continental
Casualty Co. Guaranteed),
VRDN (a)
(Greenville Oxford) Series 4,855,000 4,855,000
1990 A, 3.9% (Continental
Casualty Co. Guaranteed),
VRDN (a)
(Richland Oxford) Series 1990 5,130,000 5,130,000
C, 3.9% (Continental
Casualty Co. Guaranteed),
VRDN (a)
South Carolina Jobs Econ. 5,400,000 5,400,000
Dev. Auth. Healthcare
Facilities Rev. (The
Methodist Home Proj.) Series
1994, 3.85%, LOC Bank of
America NA, VRDN (a)
South Carolina Trans. 6,095,000 6,095,000
Infrastructure Participating
VRDN Series 1998-75 3.85%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
39,360,000
TENNESSEE - 1.8%
Chattanooga Health Ed. & Hsg. 6,500,000 6,500,000
(McCallie School Proj.)
Series 1998, 3.75%, LOC
SunTrust Bank of Atlanta,
VRDN (a)
Jackson Health & Hsg. 3,485,000 3,485,000
Facilities Board
Multi-family Rev. Rfdg.
(Post House North Apts.
Proj.) 3.9%, LOC Southtrust
Bank NA, VRDN (a)
Knox County Health & Ed. Hsg. 13,600,000 13,600,000
Facilities Board Rev.
(Pooled Hosp. Ln. Prog.)
Series 1999 A, 3.8%
(Liquidity Facility
Landesbank
Hessen-Thuringen), VRDN (a)
Memphis Gen. Oblig. 30,000 30,000
Participating VRDN Series
SGB 23, 3.87% (Liquidity
Facility Societe Generale,
France) (a)(c)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Metro. Govt. of Nashville & $ 2,100,000 $ 2,100,000
Davidson County
Participating VRDN Series
SGA 11, 3.82% (Liquidity
Facility Societe Generale,
France) (a)(c)
Sevier County Pub. Bldg.
Auth. Rev.:
Series 2D-2, 3.75% (AMBAC 4,000,000 4,000,000
Insured), VRDN (a)
Series D-1, 3.75% (AMBAC 1,500,000 1,500,000
Insured), VRDN (a)
Signal Mountain Health Ed. 1,500,000 1,500,000
Health Facilities Bonds
(Alexian Village Proj.)
Series 1999, 3.3%, tender
2/29/00 (FSA Insured) (BPA
First Nat'l. Bank, Chicago)
Tusculum Health Ed. & Hsg. 2,000,000 2,000,000
Facilities Rev. (Tusculum
College Proj.) Series 1998,
3.8%, LOC SunTrust Bank,
Nashville NA, VRDN (a)
34,715,000
TEXAS - 21.7%
Austin Combined Util. Sys.
Rev.:
Participating VRDN Series PT 2,300,000 2,300,000
127, 3.85% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
Series A, 3.55% 11/1/99, LOC 7,751,000 7,751,000
Morgan Guaranty Trust Co.,
NY, CP
Austin Gen. Oblig. 3,500,000 3,500,000
Participating VRDN Series 99
2, 3.87% (Liquidity Facility
Bayerische Hypo-und
Vereinsbank AG) (a)(c)
Austin Hsg. Fin. Corp. 6,000,000 6,000,000
Multi-family Hsg. Rev.
(Riverchase Proj.) Series
1985 A, 3.9%, LOC Household
Fin. Corp., VRDN (a)
Austin Independent School 4,800,000 4,800,000
District Variable Rate TRAN
3.712% 8/31/00 (a)(d)
Bexar County Health 6,400,000 6,400,000
Facilities Dev. Corp. Rev.
(Warm Springs Rehabilitation
Proj.) Series 1997, 3.9%,
LOC Chase Bank of Texas NA,
VRDN (a)
Brazos River Hbr. Navigation
District of Brasoria County
Rev. Bonds (Dow Chemical Co.
Proj.):
Series 1990, 3.5% tender 2,450,000 2,450,000
11/17/99, CP mode
Series 1991, 3.65% tender 6,900,000 6,900,000
11/18/99, CP mode
Coastal Wtr. Auth. 12,060,000 12,060,000
Participating VRDN Series 97
J Class A, 3.85% (Liquidity
Facility Caisse des Depots
et Consignations) (a)(c)
Colorado River Muni. Wtr. 680,000 680,000
District Rev. Participating
VRDN Series PA 187, 3.85%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(c)
Comal County Health 5,300,000 5,300,000
Facilities Dev. Rev.
(McKenna Memorial Health
Sys.) 3.9%, LOC Chase Bank
of Texas NA, VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
TEXAS - CONTINUED
Dallas Area Rapid Transit $ 2,400,000 $ 2,400,000
Sales Tax Rev. Series B,
3.6% 11/12/99, LOC
Bayerische Landesbank
Girozentrale, LOC
Westdeutsche Landesbank
Girozentrale, CP
Denton Util. Sys. Rev. Rfdg. 8,000,000 8,000,000
Participating VRDN Series
SGA 32, 3.82% (Liquidity
Facility Societe Generale,
France) (a)(c)
Farmers Branch Ind. Dev. 3,700,000 3,700,000
Corp. Rev. Rfdg. (PPG Ind.,
Inc. Proj.) Series 1992,
3.8%, VRDN (a)
Fort Worth Wtr. & Swr. Rev. 1,600,000 1,600,000
Series B, 3.35% 10/14/99, CP
Granbury Independent School 4,815,000 4,815,000
District Participating VRDN
Series SG 129, 3.85%
(Liquidity Facility Societe
Generale, France) (a)(c)
Grapevine-Colleyville 6,575,000 6,575,000
Independent School District
Participating VRDN Series SG
69, 3.85% (Liquidity
Facility Societe Generale,
France) (a)(c)
Greater East Texas Higher Ed. 10,200,000 10,200,000
Auth. Student Ln. Rev. Rfdg.
Bonds Series 1992 A, 3.8%,
tender 9/1/00, LOC Student
Ln. Marketing Assoc.
Harris County Gen. Oblig.:
Series A, 3.6% 11/12/99, CP 3,150,000 3,150,000
Series C, 4.2% 10/12/99, CP 1,800,000 1,800,000
Series D, 4.2% 10/12/99, CP 1,100,000 1,100,000
Harris County Health 4,700,000 4,700,000
Facilities Dev. Corp. Spec.
Facilities Rev. (Texas Med.
Ctr. Proj.) Series 1999 B,
3.9% (FSA Insured), VRDN (a)
Houston Gen. Oblig. TRAN 29,400,000 29,591,394
Series 1999, 4.25% 6/30/00
Houston Higher Ed. Fin. Corp. 2,000,000 2,000,000
Higher Ed. Rev.
Participating VRDN Series SG
127, 3.85% (Liquidity
Facility Societe Generale,
France) (a)(c)
Houston Hsg. Fin. Corp. 10,725,000 10,725,000
Participating VRDN Series PT
1, 3.85% (Liquidity Facility
Banque Nationale de Paris)
(a)(c)
Houston Wtr. & Swr. Sys. Rev.:
Participating VRDN:
Series FR/RI 32, 3.9% 9,000,000 9,000,000
(Liquidity Facility Bank of
New York NA) (a)(c)
Series FR/RI 5, 3.9% 4,330,000 4,330,000
(Liquidity Facility Bank of
New York NA) (a)(c)
Rfdg. Participating VRDN 6,840,000 6,840,000
Series SGB 24, 3.87%
(Liquidity Facility Societe
Generale, France) (a)(c)
Series A, 3.15% 10/7/99, CP 11,900,000 11,900,000
PRINCIPAL AMOUNT VALUE (NOTE 1)
Hurst Euless Bedford $ 6,000,000 $ 6,000,000
Independent School District
Rfdg. Participating VRDN
Series SG 98, 3.85%
(Liquidity Facility Societe
Generale, France) (a)(c)
Lower Colorado River Auth.
Rev.:
3.4% 10/19/99, CP 8,300,000 8,300,000
3.45% 10/13/99, CP 3,200,000 3,200,000
3.45% 10/29/99, CP 4,100,000 4,100,000
North Central Texas Health
Facilities Dev. Corp. Rev.
Bonds (Dallas Methodist
Hosp.) Series 1998:
3.55% tender 1/25/00 (AMBAC 16,000,000 16,000,000
Insured), CP mode
3.55% tender 1/31/00 (AMBAC 3,300,000 3,300,000
Insured), CP mode
3.55% tender 2/1/00 (AMBAC 15,000,000 15,000,000
Insured), CP mode
3.6% tender 10/13/99 (AMBAC 2,000,000 2,000,000
Insured), CP mode
Plano Health Facilities Dev. 2,900,000 2,900,000
Corp. Hosp. Rev. Bonds
(Childrens & Presbyterian
Health Care Ctr.) 3.55%
tender 2/24/00 (MBIA
Insured), CP mode
San Antonio Elec. & Gas Rev.
Participating VRDN:
Series 1998 76, 3.85% 4,195,000 4,195,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
Series 1998 77, 3.85% 4,000,000 4,000,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
Series SG 105, 3.85% 25,000,000 25,000,000
(Liquidity Facility Societe
Generale, France) (a)(c)
San Antonio Hotel Occupancy 2,100,000 2,100,000
Tax Rev. Participating VRDN
Series SG 51, 3.85%
(Liquidity Facility Societe
Generale, France) (a)(c)
San Antonio Wtr. Rev. 4,125,000 4,125,000
Participating VRDN Series 96
4306 Class A, 3.84%
(Liquidity Facility
Citibank, New York NA) (a)(c)
Sherman Higher Ed. Fin. Corp. 12,700,000 12,700,000
(Austin College Proj.)
Series 1997, 3.85%, LOC Bank
of America NA, VRDN (a)
Southwest Higher Ed. Auth. 2,000,000 2,000,000
Rev. (Southern Methodist
Univ.) 3.9%, LOC Landesbank
Hessen-Thuringen, VRDN (a)
Texas Dept. Hsg. & Cmnty. 1,890,000 1,890,000
Affairs Mtg. Rev.
Participating VRDN Series PT
9, 3.85% (Liquidity Facility
Merrill Lynch & Co., Inc.)
(a)(c)
Texas Dept. Hsg. & Cmnty. 2,782,000 2,782,000
Affairs Single Family Mtg.
Bonds Series PA-126, 3.7%,
tender 2/24/00 (Liquidity
Facility Merrill Lynch &
Co., Inc.) (c)
Texas Gen. Oblig. TRAN Series 85,900,000 86,505,504
1999 A, 4.5% 8/31/00
Texas Wtr. Dev. Board Rev. 1,900,000 1,900,000
Participating VRDN Series
SGA 23, 3.82% (Liquidity
Facility Societe Generale,
France) (a)(c)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
TEXAS - CONTINUED
Univ. of Texas Permanent
Univ. Fund Bonds Series A:
3.2% tender 1/21/00, CP mode $ 1,900,000 $ 1,900,000
3.55% tender 1/28/00, CP mode 4,000,000 4,000,000
Univ. of Texas Univ. Rev.:
Participating VRDN:
Series 1998 97, 3.85% 8,840,000 8,840,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(a)(c)
Series SGA 79, 3.82% 3,700,000 3,700,000
(Liquidity Facility Societe
Generale, France) (a)(c)
Series A, 3.55% 1/27/00, CP 2,000,000 2,000,000
409,004,898
UTAH - 2.0%
Emery County Poll. Cont. Rev. 2,900,000 2,900,000
Rfdg. (Pacificorp. Proj.)
Series 1994, 3.95% (AMBAC
Insured) (BPA Bank of Nova
Scotia), VRDN (a)
Intermountain Pwr. Agcy. 8,170,000 8,170,000
Participating VRDN Series
96C4402 Class A, 3.84%
(Liquidity Facility
Citibank, New York NA)
(a)(c)
Intermountain Pwr. Agcy. Pwr.
Supply Rev.:
Bonds:
Series 1985 E 2, 3.55% tender 5,000,000 5,000,000
2/1/00 (AMBAC Insured) (BPA
Landesbank
Hessen-Thuringen), CP mode
Series C, 6% 7/1/00 (MBIA 4,900,000 4,999,072
Insured)
Series 1997 B 2:
3.4% 10/12/99, CP 2,300,000 2,300,000
3.45% 1/27/00, CP 2,400,000 2,400,000
Series 1997 B2, 3.65% 6,600,000 6,600,000
10/28/99, CP
Series 1998 B 5, 3.4% 1,400,000 1,400,000
10/12/99, CP
Utah Gen. Oblig. 3,800,000 3,800,000
Participating VRDN Series
135, 3.84% (Liquidity
Facility Morgan Stanley Dean
Witter & Co.) (a)(c)
37,569,072
VERMONT - 0.1%
Vermont Edl. & Health Bldg. 1,500,000 1,500,000
Fin. Agcy. Rev. Bonds
(Middlebury College) 3.15%,
tender 5/1/00
VIRGINIA - 1.9%
Alexandria Redev. & Hsg. 100,000 100,000
Auth. Resources (Goodwyn
House) Series 1996 B, 3.95%,
LOC First Union Nat'l. Bank,
North Carolina, VRDN (a)
Chesapeake Ind. Dev. Auth. 2,000,000 2,000,000
Poll. Cont. Rev. Bonds
(Virginia Elec. Pwr. Co.
Proj.) Series 1985, 3.65%
tender 11/1/99, CP mode
PRINCIPAL AMOUNT VALUE (NOTE 1)
Chesterfield County Ind. Dev.
Auth. Poll. Cont. Rev. Bonds
(Virginia Elec. Pwr. Co.
Proj.):
Series 1987 A:
3.5% tender 11/1/99, CP mode $ 2,350,000 $ 2,350,000
3.55% tender 11/12/99, CP mode 3,600,000 3,600,000
Series B:
3.35% tender 10/13/99, CP mode 5,000,000 5,000,000
3.45% tender 10/29/99, CP mode 1,500,000 1,500,000
Louisa Ind. Dev. Auth. Poll.
Cont. Rev. Bonds (Virginia
Elec. Pwr. Co. Proj.):
Series 1984, 3.4% tender 4,000,000 4,000,000
10/7/99, CP mode
Series 1985, 3.35% tender 8,000,000 8,000,000
10/13/99, CP mode
Series 1987, 3.4% tender 2,500,000 2,500,000
10/12/99, CP mode
Prince William County Ind. 1,700,000 1,700,000
Dev. Auth. Poll. Cont. Rev.
Bonds (Virginia Elec. Pwr.
Co. Proj.) 3.4% tender
10/12/99, CP mode
Virginia College Bldg. Auth. 1,800,000 1,801,860
Edl. Facilities Rev. Bonds
(21st Century College Prog.)
3.5% 2/1/00
York County Ind. Dev. Auth. 3,000,000 3,000,000
Poll. Cont. Rev. Bonds
(Virginia Elec. Pwr. Co.
Proj.) Series 1985, 3.45%
tender 10/7/99, CP mode
35,551,860
WASHINGTON - 2.7%
Kent Gen. Oblig. 4,100,000 4,100,000
Participating VRDN Series
SGA 27, 3.82% (Liquidity
Facility Societe Generale,
France) (a)(c)
King County Gen. Oblig. 2,795,000 2,795,000
Participating VRDN Series PA
495, 3.85% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
King County Swr. Rev. Series 7,500,000 7,500,000
A, 3.35% 10/14/99, CP
Snohomish Pub. Hosp. District 2,700,000 2,700,000
#2 Impt. & Rfdg. (Stevens
Heath Care Proj.) Series
1999, 3.85%, LOC Bank of
America NA, VRDN (a)
Washington Gen. Oblig.:
Bonds Series R 1998 B, 4% 7,500,000 7,512,415
1/1/00
Participating VRDN Series SGA 2,000,000 2,000,000
36, 3.82% (Liquidity
Facility Societe Generale,
France) (a)(c)
Participating VRDN Series 3,300,000 3,300,000
984703, 3.84% (Liquidity
Facility Citibank, New York
NA) (a)(c)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
WASHINGTON - CONTINUED
Washington Motor Vehicle Fuel $ 18,015,000 $ 18,015,000
Tax Participating VRDN
Series 964701, 3.84%
(Liquidity Facility
Citibank, New York NA)
(a)(c)
Washington Pub. Pwr. Supply 3,100,000 3,100,000
Sys. Rev. Participating VRDN
Series PT 80, 3.9%
(Liquidity Facility
Bayerische Hypo-und
Vereinsbank AG) (a)(c)
51,022,415
WEST VIRGINIA - 0.7%
Cabell County Life Care 5,100,000 5,100,000
Facilities Rev. Series 1998,
3.87%, LOC Huntington Nat'l.
Bank, Columbus, VRDN (a)
Kanawha County Commercial 3,085,000 3,085,000
Dev. Rev. Rfdg. (McJunkin
Corp. Proj.) Series 1991,
3.85%, LOC Bank of America
NA, VRDN (a)
West Virginia Bldg. 5,840,000 5,840,000
Commission (Davis & Elki
College Proj.) 3.87%, LOC
Huntington Nat'l. Bank,
Columbus, VRDN (a)
14,025,000
WISCONSIN - 1.4%
Milwaukee Gen. Oblig. 26,800,000 26,800,000
Participating VRDN Series
FR/RI A37, 3.9% (Liquidity
Facility Bank of New York
NA) (a)(c)
WYOMING - 0.1%
Wyoming Cmnty. Dev. Auth. 1,755,000 1,755,000
Participating VRDN Series PT
112, 3.85% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(c)
MULTIPLE STATES - 0.6%
Stephens Equity Trust I 11,000,000 11,000,000
Participating VRDN Series
1996, 3.97%, LOC Bayerische
Hypo-und Vereinsbank AG
(a)(c)
TOTAL INVESTMENT PORTFOLIO - 1,897,380,655
100.6%
NET OTHER ASSETS - (0.6)% (12,036,051)
NET ASSETS - 100% $ 1,885,344,604
</TABLE>
Total Cost for Income Tax Purposes $ 1,897,380,655
PRIOR TO THIS REPORT, CERTAIN INFORMATION RELATED TO PORTFOLIO
HOLDINGS WAS STATED AS A PERCENTAGE OF THE FUND'S INVESTMENTS.
SECURITY TYPE ABBREVIATIONS
BAN BOND ANTICIPATION NOTE
CP COMMERCIAL PAPER
RAN REVENUE ANTICIPATION NOTE
TAN TAX ANTICIPATION NOTE
TRAN TAX AND REVENUE ANTICIPATION
VRDN VARIABLE RATE DEMAND NOTE
LEGEND
(a) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(b) Security collateralized by an amount sufficient to pay interest
and principal.
(c) Provides evidence of ownership in one or more underlying municipal
bonds.
(d) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
Additional information on each holding is as follows:
SECURITY ACQUISITION DATE COST
Austin Independent School 9/17/99 $ 4,800,000
District Variable Rate TRAN
3.712% 8/31/00
Orange County Health 7/2/99 $ 3,985,000
Facilities Auth.
Participating VRDN Series PA
95, 3.5% (Liquidity Facility
Merrill Lynch & Co., Inc.)
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $8,785,000 or 0.5% of net assets.
INCOME TAX INFORMATION
At May 31, 1999, the fund had a capital loss carryforward of
approximately $191,000 all of which will expire on May 31, 2005.
TAX-EXEMPT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
ASSETS
Investment in securities, at $ 1,897,380,655
value - See accompanying
schedule
Interest receivable 10,136,587
TOTAL ASSETS 1,907,517,242
LIABILITIES
Payable to custodian bank $ 6,544
Payable for investments 18,193,366
purchased
Share transactions in process 9,375
Distributions payable 3,602,816
Accrued management fee 223,730
Distribution fees payable 31,870
Other payables and accrued 104,937
expenses
TOTAL LIABILITIES 22,172,638
NET ASSETS $ 1,885,344,604
Net Assets consist of:
Paid in capital $ 1,885,524,414
Accumulated net realized gain (179,972)
(loss) on investments
Unrealized gain from 162
accretion of discount
NET ASSETS $ 1,885,344,604
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($1,722,859,985 (divided by)
1,723,024,298 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($30,514,159 (divided by)
30,517,069 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($131,970,460 (divided by)
131,983,047 shares)
STATEMENT OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER
30, 1999 (UNAUDITED)
INTEREST INCOME $ 32,340,376
EXPENSES
Management fee $ 1,942,282
Transfer agent fees
Class I 217,949
Class II 4,960
Class III 14,871
Distribution fees
Class II 32,008
Class III 131,042
Accounting fees and expenses 111,304
Non-interested trustees' 3,111
compensation
Custodian fees and expenses 40,253
Registration fees 82,256
Audit 17,425
Legal 3,666
Total expenses before 2,601,127
reductions
Expense reductions (512,435) 2,088,692
NET INTEREST INCOME 30,251,684
REALIZED AND UNREALIZED GAIN (29,493)
(LOSS)
Net realized gain (loss) on
investment securities
Increase (decrease) in net 162
unrealized gain from
accretion of discount
NET GAIN (LOSS) (29,331)
NET INCREASE IN NET ASSETS $ 30,222,353
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEAR ENDED MARCH 31, 1999
30, 1999 (UNAUDITED)
INCREASE (DECREASE) IN NET
ASSETS
Operations Net interest income $ 30,251,684 $ 74,522,345
Net realized gain (loss) (29,493) 105,653
Increase (decrease) in net 162 -
unrealized gain from
accretion of discount
NET INCREASE (DECREASE) IN 30,222,353 74,627,998
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (28,103,913) (71,884,455)
Class II (627,792) (1,301,004)
Class III (1,519,979) (1,336,886)
TOTAL DISTRIBUTIONS (30,251,684) (74,522,345)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I (153,755,375) (259,352,346)
Class II 6,936,632 (7,252,488)
Class III 83,171,809 11,534,985
TOTAL SHARE TRANSACTIONS (63,646,934) (255,069,849)
TOTAL INCREASE (DECREASE) (63,676,265) (254,964,196)
IN NET ASSETS
NET ASSETS
Beginning of period 1,949,020,869 2,203,985,065
End of period $ 1,885,344,604 $ 1,949,020,869
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .016 .032 .035 .033 .036
Less Distributions
From net interest income (.016) (.032) (.035) (.033) (.036)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 1.58% 3.28% 3.60% 3.40% 3.70%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,722,860 $ 1,876,635 $ 2,135,884 $ 2,022,191 $ 1,806,918
(000 omitted)
Ratio of expenses to average .20% A, D .20% D .20% D .20% D .19% D
net assets
Ratio of net interest income 3.13% A 3.24% 3.54% 3.34% 3.64%
to average net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
SELECTED PER-SHARE DATA 1995 E 1994 F
Net asset value, beginning of $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .027 .024
Less Distributions
From net interest income (.027) (.024)
Net asset value, end of period $ 1.000 $ 1.000
TOTAL RETURN B, C 2.74% 2.44%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,876,815 $ 2,390,663
(000 omitted)
Ratio of expenses to average .18% A, D .18% D
net assets
Ratio of net interest income 3.20% A 2.41%
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E TEN MONTHS ENDED MARCH 31
F YEAR ENDED MAY 31
FINANCIAL HIGHLIGHTS - CLASS II
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .015 .031 .034 .032 .013
Less Distributions
From net interest income (.015) (.031) (.034) (.032) (.013)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURNB, C 1.51% 3.13% 3.44% 3.25% 1.34%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 30,514 $ 23,579 $ 30,829 $ 60,247 $ 968
(000 omitted)
Ratio of expenses to average .35% A, D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 2.94% A 3.05% 3.41% 3.21% 3.17% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
SIX MONTHS ENDED SEPTEMBER YEARS ENDED MARCH 31,
30, 1999
SELECTED PER-SHARE DATA (UNAUDITED) 1999 1998 1997 1996 E
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .014 .030 .033 .031 .013
Less Distributions
From net interest income (.014) (.030) (.033) (.031) (.013)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURNB, C 1.46% 3.03% 3.34% 3.14% 1.30%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 131,970 $ 48,807 $ 37,272 $ 26,313 $ 988
(000 omitted)
Ratio of expenses to average .45% A, D .45% D .45% D .45% D .45% A, D
net assets
Ratio of net interest income 2.90% A 2.98% 3.28% 3.09% 3.00% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1996.
NOTES TO FINANCIAL STATEMENTS
For the period ended September 30, 1999 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES.
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio,
Domestic Portfolio, Money Market Portfolio and Tax-Exempt Portfolio
(the funds) are funds of Colchester Street Trust (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 and is authorized to issue an
unlimited number of shares.
Each fund offers Class I, Class II and Class III shares, each of which
has equal rights as to assets and voting privileges. Each class has
exclusive voting rights with respect to matters that affect that
class. Interest income, realized and unrealized capital gains and
losses, the common expenses of the fund, and certain fund-level
expense reductions, if any, are allocated on a pro rata basis to each
class based on the relative net assets of each class to the total net
assets of each fund. Each class of shares differs in its respective
distribution, transfer agent, and certain other class-specific fees,
expenses, and expense reductions. The financial statements have been
prepared in conformity with generally accepted accounting principles
which require management to make certain estimates and assumptions at
the date of the financial statements. The following summarizes the
significant accounting policies of each fund:
SECURITY VALUATION. As permitted under Rule 2a-7 of the 1940 Act, and
certain conditions therein, securities are valued initially at cost
and thereafter assume a constant amortization to maturity of any
discount or premium.
INCOME TAXES. As a qualified regulated investment company under
Subchapter M of the Internal Revenue Code, each fund is not subject to
income taxes to the extent that it distributes substantially all of
its taxable income for the fiscal year. The schedules of investments
include information regarding income taxes under the caption "Income
Tax Information."
INTEREST INCOME. Interest income, which includes amortization of
premium and accretion of discount, is accrued as earned. For Tax
Exempt Portfolio, accretion of discount represents unrealized gain
until realized at the time of a security disposition or maturity.
DEFERRED TRUSTEE COMPENSATION. Under a Deferred Compensation Plan (the
Plan) for Money Market Portfolio, non-interested Trustees must defer
receipt of a portion of, and may elect to defer receipt of an
additional portion of, their annual compensation. Deferred amounts are
treated as though equivalent dollar amounts had been invested in
shares of the fund or are invested in a cross-section of other
Fidelity money market funds. Deferred amounts remain in the fund until
distributed in accordance with the Plan.
DISTRIBUTIONS TO SHAREHOLDERS. Dividends are declared daily and paid
monthly from net interest income. Income dividends are declared
separately for each class.
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.
WHEN-ISSUED SECURITIES. Each fund may purchase or sell securities on a
when-issued basis. Payment and delivery may take place after the
customary settlement period for that security. The price of the
underlying securities is fixed at the time the transaction is
negotiated. The values of the securities purchased on a when-issued or
forward commitment basis are identified as such in each applicable
fund's schedule of investments. Each fund may receive compensation for
interest forgone in the purchase of a when-issued security. With
respect to purchase commitments, each fund identifies securities as
segregated in its records with a value at least equal to the amount of
the commitment. Losses may arise due to changes in the market value of
the underlying securities, if the counterparty does not perform under
the contract, or if the issuer does not issue the securities due to
political, economic, or other factors.
RESTRICTED SECURITIES. Certain 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. Information regarding restricted securities is included
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, certain funds had 20% or more of their 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 investments in
repurchase agreements through the joint trading account are summarized
as follows:
SUMMARY OF JOINT TRADING
DATED JULY 2, 1999, DUE JANUARY 10, 2000 5.18%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $500,000,000
Aggregate maturity amount of agreements $513,813,334
Aggregate market value of transferred assets $511,095,585
Coupon rates of transferred assets 4.63% to 11.88%
Maturity dates of transferred assets 12/31/00 to 2/15/20
DATED JULY 2, 1999, DUE JANUARY 12, 2000 5.17%
NUMBER OF DEALERS OR BANKS 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $500,000,000
Aggregate maturity amount of agreements $513,930,278
Aggregate market value of transferred assets $510,221,690
Coupon rates of transferred assets 5.75% to 10.63%
Maturity dates of transferred assets 11/15/99 to 11/15/27
DATED JULY 6, 1999, DUE JANUARY 12, 2000 5.18%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $300,000,000
Aggregate maturity amount of agreements $308,201,666
Aggregate market value of transferred assets $308,985,494
Coupon rates of transferred assets 5.50% to 8.00%
Maturity dates of transferred assets 10/31/01 to 8/15/28
Number of dealers or banks 00
DATED JULY 15, 1999, DUE JANUARY 18, 2000 5.12%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $300,000,000
Aggregate maturity amount of agreements $307,978,667
Aggregate market value of transferred assets $308,985,494
Coupon rates of transferred assets 5.50% to 8.00%
Maturity dates of transferred assets 10/31/01 to 8/15/28
DATED JULY 20, 1999, DUE OCTOBER 18, 1999 5.02%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $500,000,000
Aggregate maturity amount of agreements $506,275,000
Aggregate market value of transferred assets $511,095,585
Coupon rates of transferred assets 4.63% to 11.88%
Maturity dates of transferred assets 12/31/00 to 2/15/20
DATED AUGUST 10, 1999, DUE JANUARY 24, 2000 5.37%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $300,000,000
Aggregate maturity amount of agreements $307,473,250
Aggregate market value of transferred assets $306,986,367
Coupon rates of transferred assets 5.25% to 6.23%
Maturity dates of transferred assets 7/31/01 to 2/15/29
DATED AUGUST 17, 1999, DUE JANUARY 18, 2000 5.69%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $500,000,000
Aggregate maturity amount of agreements $510,566,112
Aggregate market value of transferred assets $510,002,396
Coupon rates of transferred assets 4.88% to 7.88%
Maturity dates of transferred assets 12/31/99 to 11/15/05
DATED SEPTEMBER 1, 1999, DUE NOVEMBER 3, 1999 5.34%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $250,000,000
Aggregate maturity amount of agreements $252,340,625
Aggregate market value of transferred assets $255,443,488
Coupon rates of transferred assets 5.77% to 6.66%
Maturity dates of transferred assets 4/1/25 to 9/1/37
DATED SEPTEMBER 13, 1999, DUE OCTOBER 13, 1999 5.25%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $500,000,000
Aggregate maturity amount of agreements $502,187,500
Aggregate market value of transferred assets $513,807,484
Coupon rates of transferred assets 6.00%
Maturity dates of transferred assets 8/15/04
3. JOINT TRADING ACCOUNT - CONTINUED
SUMMARY OF JOINT TRADING - CONTINUED
DATED SEPTEMBER 16, 1999, DUE OCTOBER 13, 1999 5.23%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $250,000,000
Aggregate maturity amount of agreements $250,980,626
Aggregate market value of transferred assets $256,789,679
Coupon rates of transferred assets 6.00%
Maturity dates of transferred assets 8/15/04
DATED SEPTEMBER 30, 1999, DUE OCTOBER 1, 1999 5.24%
Number of dealers or banks 5
Maximum amount with one dealer or bank 36.1%
Aggregate principal amount of agreements $665,000,000
Aggregate maturity amount of agreements $665,096,811
Aggregate market value of transferred assets $676,273,852
Coupon rates of transferred assets 0.0% to 14.25%
Maturity dates of transferred assets 10/7/99 to 2/15/29
DATED SEPTEMBER 30, 1999, DUE OCTOBER 1, 1999 5.31%
Number of dealers or banks 9
Maximum amount with one dealer or bank 33.1%
Aggregate principal amount of agreements $963,705,000
Aggregate maturity amount of agreements $963,847,052
Aggregate market value of transferred assets $983,269,972
Coupon rates of transferred assets 0.0% to 14.25%
Maturity dates of transferred assets 10/7/99 to 2/15/29
DATED SEPTEMBER 30, 1999, DUE OCTOBER 1, 1999 5.39%
Number of dealers or banks 12
Maximum amount with one dealer or bank 26.1%
Aggregate principal amount of agreements $5,293,098,000
Aggregate maturity amount of agreements $5,293,889,920
Aggregate market value of transferred assets $5,406,341,816
Coupon rates of transferred assets 0.0% to 14.25%
Maturity dates of transferred assets 10/15/99 to 2/15/29
DATED SEPTEMBER 30, 1999, DUE OCTOBER 1, 1999 5.44%
Number of dealers or banks 7
Maximum amount with one dealer or bank 25.3%
Aggregate principal amount of agreements $3,077,761,000
Aggregate maturity amount of agreements $3,078,226,508
Aggregate market value of transferred assets $3,141,822,765
Coupon rates of transferred assets 0.0% to 14.25%
Maturity dates of transferred assets 10/1/99 to 8/6/38
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As each fund's investment adviser, FMR receives a fee
that is computed daily at an annual rate of .20% of average net
assets.
SUB-ADVISER FEE. As each fund's investment sub-adviser, Fidelity
Investments Money Management, 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. In accordance with Rule 12b-1 of the
1940 Act, the Board of Trustees has adopted separate distribution
plans with respect to Class II and Class III shares (collectively
referred to as "the Plans"). Under certain of the Plans, the class
pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a
distribution and service fee. A portion of this fee may be reallowed
to securities dealers, banks and other financial institutions for the
distribution of each applicable class of shares and providing
shareholder support services. For the period, this fee was based on
the following annual rates of the average net assets of each
applicable class:
CLASS II .15%
CLASS III .25%
For the period the following amounts were retained by FDC:
CLASS II CLASS III
Treasury Only Portfolio $ 649 $ 3,499
Treasury Portfolio - 28,118
Government Portfolio - 4,483
Domestic Portfolio - 1,386
Money Market Portfolio 1,928 1,272
Tax-Exempt Portfolio 113 1,788
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations
Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend
disbursing and shareholder servicing agent for the funds except for
Tax-Exempt Portfolio. Effective June 21, 1999, Citibank, N.A.
(Citibank) replaced UMB Bank, n.a. as the custodian, transfer and
shareholder servicing agent for Tax-Exempt Portfolio. Citibank has
entered into a sub-contract with FIIOC to perform the activities
associated with the transfer and shareholder servicing agent functions
for Tax-Exempt Portfolio. 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, the transfer agent fees were equivalent to the
following annualized rates as a percentage of average net assets:
CLASS I CLASS II CLASS III
Treasury Only Portfolio .02% .03% .03%
Treasury Portfolio .02% .03% .02%
Government Portfolio .02% .03% .03%
Domestic Portfolio .03% .03% .03%
Money Market Portfolio .02% .03% .03%
Tax-Exempt Portfolio .02% .02% .03%
4. FEES AND OTHER TRANSACTIONS WITH
AFFILIATES - CONTINUED
ACCOUNTING FEES. Fidelity Service Company, Inc. (FSC), an affiliate of
FMR, maintains the accounting records for the funds except for
Tax-Exempt Portfolio. Citibank also has a sub-contract with FSC to
maintain Tax-Exempt Portfolio's accounting records. The fee is based
on the level of average net assets for the month plus out-of-pocket
expenses.
5. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the funds' operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses, and 12b-1 fees payable by Class II and Class III of each
fund) above an annual rate of .20% (.18% for Money Market) of average
net assets. For the period, the reimbursement reduced expenses by the
following:
CLASS I CLASS II CLASS III
Treasury Only Portfolio $ 238,354 $ 12,651 $ 23,385
Treasury Portfolio $ 751,512 $ 61,970 $ 558,043
Government Portfolio $ 1,082,484 $ 100,307 $ 236,921
Domestic Portfolio $ 524,873 $ 74,165 $ 158,519
Money Market Portfolio $ 3,827,261 $ 46,023 $ 199,019
Tax-Exempt Portfolio $ 457,159 $ 10,754 $ 27,882
In addition, certain funds have entered into an arrangement with their
custodian whereby credits realized as a result of uninvested cash
balances were used to reduce a portion of each applicable fund's
expenses. During the period, custodian fees were reduced by $8,915 and
$16,640 under this arrangement for Treasury Only and Tax-Exempt
Portfolio, respectively.
6. BENEFICIAL INTEREST.
At the end of the period, certain shareholders were record owners of
approximately 10% or more of the total outstanding shares of the
following funds:
BENEFICIAL INTEREST
FUND NUMBER OF SHAREHOLDERS % OWNERSHIP
Treasury Only Portfolio 2 26%
Treasury Portfolio 1 24%
Government Portfolio 2 24%
Domestic Portfolio 1 10%
7. SHARE TRANSACTIONS.
Transactions for each class of shares for the periods are as follows:
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS ENDED SEPTEMBER 30, YEAR ENDED MARCH 31,
1999 1999
TREASURY ONLY PORTFOLIO CLASS $ 1,653,191,609 $ 3,225,354,216
I Shares sold
Reinvestment of distributions 6,677,450 12,321,228
from net interest income
Shares redeemed (1,526,887,454) (3,230,397,546)
Net increase (decrease) $ 132,981,605 $ 7,277,898
TREASURY ONLY PORTFOLIO CLASS $ 51,318,593 $ 271,559,642
II Shares sold
Reinvestment of distributions 844,177 1,535,439
from net interest income
Shares redeemed (69,459,388) (252,169,318)
Net increase (decrease) $ (17,296,618) $ 20,925,763
TREASURY ONLY PORTFOLIO CLASS $ 172,617,963 $ 578,593,613
III Shares sold
Reinvestment of distributions 1,209,043 3,214,922
from net interest income
Shares redeemed (195,843,910) (581,447,756)
Net increase (decrease) $ (22,016,904) $ 360,779
</TABLE>
7. SHARE TRANSACTIONS - CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS ENDED SEPTEMBER 30, YEAR ENDED MARCH 31,
1999 1999
TREASURY PORTFOLIO CLASS I $ 28,205,373,254 $ 64,257,957,773
Shares sold
Reinvestment of distributions 46,089,565 97,557,789
from net interest income
Shares redeemed (27,963,527,206) (64,918,765,373)
Net increase (decrease) $ 287,935,613 $ (563,249,811)
TREASURY PORTFOLIO CLASS II $ 2,793,395,543 $ 5,692,697,517
Shares sold
Reinvestment of distributions 1,594,509 5,129,015
from net interest income
Shares redeemed (2,824,089,761) (5,735,491,971)
Net increase (decrease) $ (29,099,709) $ (37,665,439)
TREASURY PORTFOLIO CLASS III $ 13,952,762,154 $ 34,401,503,367
Shares sold
Reinvestment of distributions 18,093,028 33,781,747
from net interest income
Shares redeemed (13,944,300,477) (34,512,665,668)
Net increase (decrease) $ 26,554,705 $ (77,380,554)
GOVERNMENT PORTFOLIO CLASS I $ 17,250,947,101 $ 34,932,282,004
Shares sold
Reinvestment of distributions 47,660,930 87,233,949
from net interest income
Shares redeemed (16,970,325,599) (33,651,104,519)
Net increase (decrease) $ 328,282,432 $ 1,368,411,434
GOVERNMENT PORTFOLIO CLASS II $ 2,185,977,816 $ 3,952,436,820
Shares sold
Reinvestment of distributions 7,367,062 10,093,868
from net interest income
Shares redeemed (2,117,567,933) (3,694,791,275)
Net increase (decrease) $ 75,776,945 $ 267,739,413
GOVERNMENT PORTFOLIO CLASS $ 5,995,123,872 $ 9,808,092,304
III Shares sold
Reinvestment of distributions 14,977,595 26,583,124
from net interest income
Shares redeemed (5,959,509,596) (9,680,186,148)
Net increase (decrease) $ 50,591,871 $ 154,489,280
DOMESTIC PORTFOLIO CLASS I 10,796,620,771 15,577,206,973
Shares sold
Reinvestment of distributions 34,210,379 46,450,889
from net interest income
Shares redeemed (10,775,784,581) (14,846,130,323)
55,046,569 777,527,539
Issued in exchange for the - 281,512,275
net assets of the Rated
Money Market Portfolio Class
I
Net increase (decrease) 55,046,569 1,059,039,814
DOMESTIC PORTFOLIO CLASS II 1,680,175,948 2,403,859,326
Shares sold
Reinvestment of distributions 6,706,367 6,824,018
from net interest income
Shares redeemed (1,700,492,514) (2,191,969,649)
(13,610,199) 218,713,695
Issued in exchange for the - 71,486,478
net assets of the Rated
Money Market Portfolio Class
II
Net increase (decrease) (13,610,199) 290,200,173
DOMESTIC PORTFOLIO CLASS III 3,332,141,725 2,244,459,901
Shares sold
Reinvestment of distributions 12,556,673 9,388,494
from net interest income
Shares redeemed (3,305,107,652) (1,858,232,142)
39,590,746 395,616,253
Issued in exchange for the - 128,472,530
net assets of the Rated
Money Market Portfolio Class
III
Net increase (decrease) 39,590,746 524,088,783
</TABLE>
7. SHARE TRANSACTIONS - CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS ENDED SEPTEMBER 30, YEAR ENDED MARCH 31,
1999 1999
MONEY MARKET PORTFOLIO CLASS $ 57,161,863,177 $ 101,424,061,871
I Shares sold
Reinvestment of distributions 202,386,761 392,490,343
from net interest income
Shares redeemed (58,811,687,249) (98,432,501,077)
Net increase (decrease) $ (1,447,437,311) $ 3,384,051,137
MONEY MARKET PORTFOLIO CLASS $ 960,629,002 $ 1,533,330,431
II Shares sold
Reinvestment of distributions 2,769,832 6,352,348
from net interest income
Shares redeemed (932,534,343) (1,535,937,006)
Net increase (decrease) $ 30,864,491 $ 3,745,773
MONEY MARKET PORTFOLIO CLASS $ 3,294,008,644 $ 6,024,061,398
III Shares sold
Reinvestment of distributions 12,629,773 25,467,991
from net interest income
Shares redeemed (3,370,920,763) (5,884,830,173)
Net increase (decrease) $ (64,282,346) $ 164,699,216
TAX-EXEMPT PORTFOLIO CLASS I $ 3,377,199,195 $ 9,232,248,835
Shares sold
Reinvestment of distributions 6,225,975 16,974,104
from net interest income
Shares redeemed (3,537,180,545) (9,508,575,285)
Net increase (decrease) $ (153,755,375) $ (259,352,346)
TAX-EXEMPT PORTFOLIO CLASS II $ 223,398,417 $ 360,961,784
Shares sold
Reinvestment of distributions 545,934 1,217,980
from net interest income
Shares redeemed (217,007,719) (369,432,252)
Net increase (decrease) $ 6,936,632 $ (7,252,488)
TAX-EXEMPT PORTFOLIO CLASS $ 228,167,802 $ 171,520,441
III Shares sold
Reinvestment of distributions 1,399,064 1,160,473
from net interest income
Shares redeemed (146,395,057) (161,145,929)
Net increase (decrease) $ 83,171,809 $ 11,534,985
</TABLE>
8. MERGER INFORMATION.
On January 21, 1999, Domestic Portfolio's Class I, Class II and Class
III acquired all of the assets and assumed all of the liabilities of
Rated Money Market Portfolio's Class I, Class II and Class III,
respectively. The acquisition was approved by the shareholders of
Rated Money Market Portfolio on December 16, 1998. Based on the
opinion of fund counsel, the reorganization qualified as a tax-free
reorganization for federal income tax purposes with no gain or loss
recognized to the funds or their shareholders.
Domestic Portfolio's Class I acquisition of Rated Money Market
Portfolio Class I was accomplished by an exchange of 281,512,275
shares of Domestic Portfolio Class I for the 281,512,275 shares then
outstanding (each valued at $1.00) of Rated Money Market Portfolio
Class I. Domestic Portfolio's Class II acquisition of Rated Money
Market Portfolio Class II was accomplished by an exchange of
71,486,478 shares of Domestic Portfolio Class II for the 71,486,478
shares then outstanding (each valued at $1.00) of Rated Money
Market Portfolio Class II. Domestic Portfolio's Class III acquisition
of Rated Money Market Portfolio Class III was accomplished by an
exchange of 128,472,530 shares of Domestic Portfolio Class III for the
128,472,530 shares then outstanding (each valued at $1.00) of Rated
Money Market Portfolio Class III. Rated Money Market Portfolio's net
assets were combined with Domestic Portfolio for total net assets
after the acquisition of $2,187,487,801 for Class I, $407,920,288 for
Class II and $484,027,855 for Class III.
INVESTMENT ADVISOR
Fidelity Management & Research Company
Boston MA
INVESTMENT SUB-ADVISOR
Fidelity Investments Money Management, Inc.
Merrimack, NH
OFFICERS
Edward C. Johnson 3d, President
Robert C. Pozen, Senior Vice President
Boyce I. Greer, Vice President
Fred L. Henning, Jr., Vice President
Robert K. Duby, Vice President - MONEY MARKET PORTFOLIO
Robert A. Litterst, Vice President - GOVERNMENT PORTFOLIO,
TREASURY ONLY PORTFOLIO AND TREASURY PORTFOLIO
Scott A. Orr, Vice President - TAX-EXEMPT PORTFOLIO
John J. Todd, Vice President - DOMESTIC PORTFOLIO
Eric D. Roiter, Secretary
Richard A. Silver, Treasurer
Matthew N. Karstetter, Deputy Treasurer
Stanley N. Griffith, Assistant Vice President
John H. Costello, 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 *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
* INDEPENDENT TRUSTEES
ADVISORY BOARD
J. Gary Burkhead
Abigail P. Johnson
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER
SERVICING AGENTS
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
TREASURY ONLY PORTFOLIO, TREASURY PORTFOLIO,
GOVERNMENT PORTFOLIO, DOMESTIC PORTFOLIO
AND MONEY MARKET PORTFOLIO
Citibank N.A.
New York, NY
TAX-EXEMPT PORTFOLIO
CUSTODIANS
The Bank of New York
New York, NY
TREASURY ONLY PORTFOLIO, TREASURY PORTFOLIO,
GOVERNMENT PORTFOLIO, DOMESTIC PORTFOLIO
AND MONEY MARKET PORTFOLIO
Citibank, N.A.
New York, NY
TAX-EXEMPT PORTFOLIO
