FIDELITY
INSTITUTIONAL
MONEY MARKET
FUNDS
ANNUAL REPORT
MARCH 31, 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 16
MONEY MARKET PORTFOLIO 23
TAX-EXEMPT PORTFOLIO 31
NOTES TO FINANCIAL STATEMENTS 46
REPORT OF INDEPENDENT 52
ACCOUNTANTS
OTHER FUND INFORMATION 53
PROXY VOTING RESULTS 54
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.
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 MARCH 31, 1999
Showing Percentage of Total Value of Investment in Securities
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -
100.0%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
U.S. TREASURY BILLS - 20.6%
4/15/99 4.87% $ 65,000,000 $ 64,877,150
4/19/99 4.82 50,000,000 49,879,750
4/19/99 4.84 100,000,000 99,758,421
9/16/99 4.64 20,000,000 19,577,200
234,092,521
U.S. TREASURY NOTES - 75.7%
5/15/99 4.68 40,000,000 40,066,000
5/31/99 4.51 10,000,000 10,032,526
5/31/99 4.55 25,216,000 25,279,156
5/31/99 4.57 10,000,000 10,033,683
5/31/99 4.59 45,000,000 45,146,457
5/31/99 4.64 35,000,000 35,081,043
5/31/99 4.67 40,000,000 40,127,571
5/31/99 4.69 48,000,000 48,107,386
5/31/99 4.71 20,000,000 20,060,192
5/31/99 4.72 25,000,000 25,054,599
6/30/99 4.54 40,000,000 40,137,774
6/30/99 4.57 110,000,000 110,370,511
6/30/99 4.59 25,000,000 25,083,705
6/30/99 4.63 35,000,000 35,114,688
7/15/99 4.59 85,000,000 85,416,016
7/31/99 4.55 20,000,000 20,146,709
7/31/99 4.59 35,000,000 35,137,858
7/31/99 4.60 55,000,000 55,392,244
7/31/99 4.62 7,947,000 7,977,233
8/15/99 4.70 25,000,000 25,296,079
8/15/99 4.80 20,000,000 20,082,784
8/31/99 4.62 30,000,000 30,137,199
8/31/99 4.63 10,000,000 10,085,824
9/30/99 4.54 10,000,000 10,115,834
9/30/99 4.63 15,000,000 15,176,425
9/30/99 4.68 25,000,000 25,294,922
9/30/99 4.69 10,000,000 10,117,578
860,071,996
U.S. TREASURY NOTES -
PRINCIPAL ONLY STRIPS - 3.7%
8/15/99 4.63 25,000,000 24,571,320
8/15/99 4.68 9,000,000 8,845,794
8/15/99 5.01 9,000,000 8,836,944
42,254,058
TOTAL INVESTMENT IN $ 1,136,418,575
SECURITIES - 100%
</TABLE>
Total Cost for Income Tax Purposes $ 1,136,418,575
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.
A total of 100% of the dividends distributed during the fiscal year
was derived from interest on U.S Government securities which is
generally exempt from state income tax (unaudited). The fund will
notify shareholders in January 2000 of the applicable percentage for
use in preparing 1999 income tax returns.
TREASURY ONLY PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
ASSETS
Investment in securities, at $ 1,136,418,575
value - See accompanying
schedule
Receivable for investments 62,620,171
sold
Interest receivable 12,785,766
TOTAL ASSETS 1,211,824,512
LIABILITIES
Payable for investments $ 100,296,464
purchased
Share transactions in process 2,070
Distributions payable 2,791,987
Accrued management fee 125,926
Distribution fees payable 34,817
Other payables and accrued 72,436
expenses
TOTAL LIABILITIES 103,323,700
NET ASSETS $ 1,108,500,812
Net Assets consist of:
Paid in capital $ 1,108,676,850
Accumulated net realized gain (176,038)
(loss) on investments
NET ASSETS $ 1,108,500,812
CLASS I: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($949,893,867
(divided by) 949,871,155
shares)
CLASS II: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($57,775,710
(divided by) 57,774,329)
shares
CLASS III: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($100,831,235
(divided by) 100,828,824
shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 1999
INTEREST INCOME $ 55,976,784
Expenses
Management fee $ 2,210,417
Transfer agent fees
Class I 270,225
Class II 13,872
Class III 34,197
Distribution fees
Class II 61,383
Class III 280,481
Accounting fees and expenses 132,560
Non-interested trustees' 513
compensation
Custodian fees and expenses 22,545
Registration fees
Class I 57,234
Class II 8,668
Class III 12,839
Audit 36,776
Legal 4,676
Miscellaneous 12,350
Total expenses before 3,158,736
reductions
Expense reductions (606,886) 2,551,850
NET INTEREST INCOME 53,424,934
NET REALIZED GAIN (LOSS) ON 63,050
INVESTMENTS
NET INCREASE IN NET ASSETS $ 53,487,984
RESULTING FROM OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 1999 YEAR ENDED MARCH 31, 1998
ASSETS
Operations Net interest income $ 53,424,934 $ 62,171,816
Net realized gain (loss) 63,050 125,118
NET INCREASE (DECREASE) IN 53,487,984 62,296,934
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (46,375,592) (56,460,310)
Class II (1,935,394) (2,554,702)
Class III (5,113,948) (3,156,804)
TOTAL DISTRIBUTIONS (53,424,934) (62,171,816)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 7,277,898 (214,223,392)
Class II 20,925,763 (19,660,588)
Class III 360,779 64,457,885
TOTAL SHARE TRANSACTIONS 28,564,440 (169,426,095)
TOTAL INCREASE (DECREASE) 28,627,490 (169,300,977)
IN NET ASSETS
NET ASSETS
Beginning of period 1,079,873,322 1,249,174,299
End of period $ 1,108,500,812 $ 1,079,873,322
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS I
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995 E 1994 F
SELECTED PER-SHARE DATA
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 .049 .052 .050 .054 .033 .032
Less Distributions
From net interest income (.049) (.052) (.050) (.054) (.033) (.032)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 4.99% 5.33% 5.17% 5.56% 3.38% 3.27%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 949,894 $ 942,561 $ 1,156,667 $ 1,361,050 $ 1,266,285 $ 1,049,170
(000 omitted)
Ratio of expenses to average .20% D .20% D .20% D .20% D .20% A, D .20% D
net assets
Ratio of net interest income 4.87% 5.20% 5.05% 5.41% 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
YEARS ENDED MARCH 31, 1999 1998 1997 1996 D
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .047 .051 .049 .020
Less Distributions
From net interest income (.047) (.051) (.049) (.020)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 4.84% 5.18% 5.01% 2.04%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 57,776 $ 36,847 $ 56,502 $ 102
(000 omitted)
Ratio of expenses to average .35% F .35% F .35% F .35% A, F
net assets
Ratio of expenses to average .35% .35% .34% G .35% A
net assets after expense
reductions
Ratio of net interest income 4.73% 5.05% 4.94% 5.03% A
to average net assets
FINANCIAL HIGHLIGHTS - CLASS III
YEARS ENDED MARCH 31, 1999 1998 1997 1996 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .046 .050 .048 .020
Less Distributions
From net interest income (.046) (.050) (.048) (.020)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 4.73% 5.07% 4.90% 2.00%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 100,831 $ 100,465 $ 36,006 $ 4,097
(000 omitted)
Ratio of expenses to average .45% F .45% F .45% F .45% A, F
net assets
Ratio of net interest income 4.56% 4.96% 4.82% 4.86% A
to average net assets
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 FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1996.
F FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
G FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE CLASS' EXPENSES.
TREASURY PORTFOLIO
INVESTMENTS MARCH 31, 1999
Showing Percentage of Total Value of Investment in Securities
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -
40.9%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
U.S. TREASURY BILLS - 12.3%
4/15/99 4.85% $ 190,000,000 $ 189,642,378
4/15/99 4.87 600,000,000 598,866,000
4/22/99 4.79 100,000,000 99,722,625
11/12/99 4.71 40,000,000 38,871,250
927,102,253
U.S. TREASURY NOTES - 17.4%
4/30/99 4.75 80,000,000 80,099,582
5/15/99 4.61 30,000,000 30,157,685
6/30/99 5.42 80,000,000 80,094,136
7/31/99 4.63 125,000,000 125,474,030
7/31/99 4.65 40,000,000 40,276,971
7/31/99 4.71 40,000,000 40,269,745
8/15/99 4.70 100,000,000 101,184,315
8/15/99 4.75 80,000,000 80,347,484
8/31/99 4.71 50,000,000 50,414,601
9/30/99 4.63 32,523,000 32,905,399
1/31/00 4.57 5,000,000 5,029,458
1/31/00 4.62 50,000,000 51,221,027
1/31/00 4.66 70,000,000 71,686,816
1/31/00 4.69 100,000,000 100,493,110
1/31/00 4.72 25,000,000 25,582,465
2/15/00 4.73 115,000,000 116,037,260
2/15/00 4.75 80,000,000 80,707,182
2/15/00 4.78 40,000,000 40,343,575
2/15/00 4.83 80,000,000 80,647,887
2/29/00 4.78 50,000,000 50,271,735
2/29/00 4.88 30,000,000 30,163,041
1,313,407,504
U.S. TREASURY NOTES -
PRINCIPAL ONLY STRIPS - 11.2%
5/15/99 5.49 40,000,000 39,773,399
5/15/99 5.50 208,000,000 206,829,046
5/15/99 5.51 200,000,000 198,859,634
5/15/99 5.58 40,000,000 39,735,141
8/15/99 4.67 45,000,000 44,230,883
8/15/99 4.74 42,000,000 41,276,833
8/15/99 4.98 25,000,000 24,549,042
8/15/99 5.00 25,000,000 24,547,145
11/15/99 4.11 50,000,000 48,748,917
11/15/99 4.25 50,000,000 48,709,010
11/15/99 4.56 30,000,000 29,170,589
11/15/99 4.64 50,000,000 48,595,562
11/15/99 4.78 47,000,000 45,641,059
840,666,260
TOTAL U.S. TREASURY 3,081,176,017
OBLIGATIONS
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 59.1%
MATURITY AMOUNT VALUE (NOTE 1)
In a joint trading account
(U.S. Treasury Obligations)
dated:
1/15/99 due 6/14/99 At 4.7% $ 224,308,333 $ 220,000,000
3/15/99 due 6/14/99 At 4.72% 202,386,222 200,000,000
3/30/99 due 6/30/99 At 4.75% 394,734,167 390,000,000
3/31/99 due 4/1/99 At:
4.95% 614,622,578 614,538,000
4.99% 480,108,472 480,042,000
5% 2,552,354,239 2,552,000,000
TOTAL REPURCHASE AGREEMENTS 4,456,580,000
TOTAL INVESTMENT IN $ 7,537,756,017
SECURITIES - 100%
Total Cost for Income Tax Purposes $ 7,537,756,017
</TABLE>
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.
A total of 22.61% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax (unaudited). The fund will
notify shareholders in January 2000 of the applicable percentage for
use in preparing 1999 income tax returns.
TREASURY PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
ASSETS
Investment in securities, at $ 7,537,756,017
value (including repurchase
agreements of
$4,456,580,000) - See
accompanying schedule
Cash 556
Receivable for investments 598,520,000
sold
Interest receivable 17,121,818
TOTAL ASSETS 8,153,398,391
LIABILITIES
Payable for investments $ 902,237,493
purchased
Share transactions in process 249,742
Distributions payable 18,888,190
Accrued management fee 1,025,182
Distribution fees payable 755,300
Other payables and accrued 360,393
expenses
TOTAL LIABILITIES 923,516,300
NET ASSETS $ 7,229,882,091
Net Assets consist of:
Paid in capital $ 7,230,285,075
Accumulated net realized gain (402,984)
(loss) on investments
NET ASSETS $ 7,229,882,091
CLASS I: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($3,935,421,196
(divided by) 3,935,593,449
shares)
CLASS II: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($372,733,920
(divided by) 372,750,235
shares)
CLASS III: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($2,921,726,975
(divided by) 2,921,854,859
shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 1999
INTEREST INCOME $ 442,874,867
Expenses
Management fee $ 16,854,245
Transfer agent fees
Class I 1,117,188
Class II 94,759
Class III 911,691
Distribution fees
Class II 561,925
Class III 9,091,675
Accounting fees and expenses 688,303
Non-interested trustees' 30,867
compensation
Custodian fees and expenses 84,934
Registration fees
Class I 149,031
Class II 18,418
Class III 115,772
Audit 56,407
Legal 35,989
Miscellaneous 30,091
Total expenses before 29,841,295
reductions
Expense reductions (3,338,805) 26,502,490
NET INTEREST INCOME 416,372,377
NET REALIZED GAIN (LOSS) ON 315,299
INVESTMENTS
NET INCREASE IN NET ASSETS $ 416,687,676
RESULTING FROM OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 1999 YEAR ENDED MARCH 31, 1998
ASSETS
Operations Net interest income $ 416,372,377 $ 446,202,517
Net realized gain (loss) 315,299 198,917
NET INCREASE (DECREASE) IN 416,687,676 446,401,434
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (223,121,219) (258,877,331)
Class II (18,400,040) (15,392,353)
Class III (174,851,118) (171,932,833)
TOTAL DISTRIBUTIONS (416,372,377) (446,202,517)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I (563,249,811) (1,099,986,542)
Class II (37,665,439) 320,606,447
Class III (77,380,554) (625,282,858)
TOTAL SHARE TRANSACTIONS (678,295,804) (1,404,662,953)
TOTAL INCREASE (DECREASE) (677,980,505) (1,404,464,036)
IN NET ASSETS
NET ASSETS
Beginning of period 7,907,862,596 9,312,326,632
End of period $ 7,229,882,091 $ 7,907,862,596
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS I
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .051 .054 .052 .056 .047
Less Distributions
From net interest income (.051) (.054) (.052) (.056) (.047)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.19% 5.55% 5.30% 5.79% 4.78%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 3,935,421 $ 4,498,484 $ 5,598,330 $ 7,134,049 $ 4,688,198
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .18% B
net assets
Ratio of net interest income 5.05% 5.41% 5.17% 5.61% 4.71%
to average net assets
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
B FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
YEARS ENDED MARCH 31, 1999 1998 1997 1996 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .049 .053 .050 .021
Less Distributions
From net interest income (.049) (.053) (.050) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.03% 5.40% 5.14% 2.14%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 372,734 $ 410,383 $ 89,801 $ 40,470
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 4.91% 5.25% 5.01% 5.18% A
to average net assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS III
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .048 .052 .049 .054 .044
Less Distributions
From net interest income (.048) (.052) (.049) (.054) (.044)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN C 4.93% 5.29% 5.03% 5.50% 4.45%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 2,921,727 $ 2,998,996 $ 3,624,195 $ 1,435,302 $ 585,571
(000 omitted)
Ratio of expenses to average .45% D .45% D .45% D .46% D .50% D
net assets
Ratio of net interest income 4.81% 5.17% 4.93% 5.28% 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.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
GOVERNMENT PORTFOLIO
INVESTMENTS MARCH 31, 1999
Showing Percentage of Total Value of Investment in Securities
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
FEDERAL AGENCIES - 65.1%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
FANNIE MAE - 23.1%
Agency Coupons - 11.4%
4/5/99 4.75% (a) $ 116,000,000 $ 115,990,383
4/6/99 4.97 (a) 50,000,000 49,985,904
4/15/99 5.54 24,000,000 23,998,096
4/24/99 4.85 (a) 123,000,000 122,916,384
4/28/99 4.72 (a) 71,000,000 70,980,719
4/30/99 4.74 (a) 71,000,000 70,981,667
5/14/99 4.76 (a) 46,000,000 45,995,475
5/28/99 4.78 (a) 70,000,000 69,990,337
6/15/99 4.76 (a) 48,000,000 47,991,281
2/4/00 4.85 48,000,000 47,953,269
2/22/00 4.93 49,000,000 48,995,610
715,779,125
Discount Notes - 11.7%
4/8/99 4.85 100,000,000 99,906,861
5/17/99 4.99 45,000,000 44,719,975
5/19/99 4.82 67,327,000 66,899,698
6/4/99 5.33 34,000,000 33,689,920
6/8/99 4.85 100,000,000 99,094,278
6/8/99 4.86 80,000,000 79,274,667
6/8/99 4.87 31,000,000 30,718,348
6/14/99 4.83 113,493,000 112,380,201
6/14/99 5.41 35,500,000 35,121,274
6/18/99 4.57 50,000,000 49,520,083
8/4/99 5.44 38,941,000 38,241,955
9/17/99 4.87 43,750,000 42,774,436
732,341,696
FEDERAL HOME LOAN BANK - 21.9%
Agency Coupons - 15.9%
4/1/99 4.77 (a) 138,000,000 137,967,196
4/7/99 5.03 (a) 47,000,000 46,990,085
4/8/99 4.79 (a) 18,000,000 17,994,313
4/11/99 4.86 (a) 94,000,000 93,949,356
5/19/99 5.56 45,000,000 44,999,600
5/27/99 4.78 (a) 135,000,000 134,981,988
6/1/99 4.82 (a) 225,000,000 224,889,298
6/15/99 5.58 15,000,000 14,999,132
2/11/00 4.92 48,000,000 47,963,846
2/16/00 4.90 50,000,000 50,000,000
3/1/00 5.00 50,000,000 49,989,245
3/3/00 5.06 49,000,000 48,963,004
3/8/00 5.17 60,000,000 59,947,298
4/5/00 5.03 25,000,000 24,973,500
998,607,861
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Discount Notes - 6.0%
4/30/99 4.82% $ 46,000,000 $ 45,825,468
5/14/99 4.80 100,000,000 99,433,236
5/14/99 4.81 49,000,000 48,721,993
6/23/99 4.82 35,000,000 34,615,491
6/25/99 4.82 48,413,000 47,868,320
6/30/99 4.82 100,000,000 98,810,000
375,274,508
FREDDIE MAC - 20.1%
Agency Coupons - 3.8%
4/21/99 4.73 (a) 45,000,000 44,995,130
4/29/99 5.62 50,000,000 49,994,592
5/27/99 4.73 (a) 50,000,000 49,971,130
8/13/99 5.52 93,000,000 92,981,577
237,942,429
Discount Notes - 16.3%
4/12/99 5.03 36,000,000 35,945,880
5/19/99 4.82 100,000,000 99,365,333
5/20/99 4.82 134,000,000 133,131,829
5/24/99 4.82 73,000,000 72,488,432
6/3/99 4.87 50,000,000 49,579,125
6/8/99 4.85 100,000,000 99,095,222
6/10/99 4.84 69,200,000 68,556,824
6/11/99 4.85 126,000,000 124,809,685
6/17/99 4.83 100,000,000 98,979,750
6/22/99 4.81 129,000,000 127,604,292
6/25/99 4.84 47,000,000 46,470,108
6/25/99 4.85 37,000,000 36,581,977
6/30/99 4.81 10,000,000 9,881,250
9/3/99 4.86 16,945,000 16,598,451
1,019,088,158
TOTAL FEDERAL AGENCIES 4,079,033,777
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 34.9%
MATURITY AMOUNT
In a joint trading account
(U.S. Government
Obligations) dated:
3/22/99 due 6/21/99 At 4.83% $ 202,441,833 200,000,000
3/26/99 due 6/14/99 At 4.8% 202,133,333 200,000,000
3/31/99 due 4/1/99 At 5.04% 1,627,744,055 1,627,516,000
(U.S. Treasury Obligations)
dated:
3/31/99 due 4/1/99 At:
4.95% 152,185,942 152,165,000
5% 3,484,484 3,484,000
TOTAL REPURCHASE AGREEMENTS 2,183,165,000
TOTAL INVESTMENT IN $ 6,262,198,777
SECURITIES - 100%
Total Cost for Income Tax Purposes $ 6,262,198,777
</TABLE>
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 $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, $16,00 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 (unaudited).
A total of 17.12% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax (unaudited). The fund will
notify shareholders in January 2000 of the applicable percentage for
use in preparing 1999 income tax returns.
GOVERNMENT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
ASSETS
Investment in securities, at $ 6,262,198,777
value (including repurchase
agreements of
$2,183,165,000) - See
accompanying schedule
Cash 536
Interest receivable 12,367,533
TOTAL ASSETS 6,274,566,846
LIABILITIES
Payable for investments $ 24,973,500
purchased
Share transactions in process 90,146,406
Distributions payable 12,683,937
Accrued management fee 714,596
Distribution fees payable 219,860
Other payables and accrued 261,995
expenses
TOTAL LIABILITIES 129,000,294
NET ASSETS $ 6,145,566,552
Net Assets consist of:
Paid in capital $ 6,146,537,029
Accumulated net realized gain (970,477)
(loss) on investments
NET ASSETS $ 6,145,566,552
CLASS I: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($4,896,804,741
(divided by) 4,897,115,073
shares)
CLASS II: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($419,678,621
(divided by) 419,705,218
shares)
CLASS III: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($829,083,190
(divided by) 829,135,733
shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 1999
INTEREST INCOME $ 269,814,421
Expenses
Management fee $ 10,044,935
Transfer agent fees
Class I 1,002,280
Class II 81,139
Class III 245,540
Distribution fees
Class II 402,268
Class III 1,733,633
Accounting fees and expenses 429,957
Non-interested trustees' 4,674
compensation
Custodian fees and expenses 68,786
Registration fees
Class I 420,458
Class II 41,880
Class III 74,591
Audit 39,656
Legal 20,430
Miscellaneous 22,681
Total expenses before 14,632,908
reductions
Expense reductions (2,453,527) 12,179,381
NET INTEREST INCOME 257,635,040
NET REALIZED GAIN (LOSS) ON 26,737
INVESTMENTS
NET INCREASE IN NET ASSETS $ 257,661,777
RESULTING FROM OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 1999 YEAR ENDED MARCH 31, 1998
ASSETS
Operations Net interest income $ 257,635,040 $ 228,606,624
Net realized gain (loss) 26,737 68,926
NET INCREASE (DECREASE) IN 257,661,777 228,675,550
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (210,351,889) (186,389,108)
Class II (13,261,130) (6,159,594)
Class III (34,022,021) (36,057,922)
TOTAL DISTRIBUTIONS (257,635,040) (228,606,624)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 1,368,411,434 717,605,707
Class II 267,739,413 43,315,253
Class III 154,489,280 15,593,566
TOTAL SHARE TRANSACTIONS 1,790,640,127 776,514,526
TOTAL INCREASE (DECREASE) 1,790,666,864 776,583,452
IN NET ASSETS
NET ASSETS
Beginning of period 4,354,899,688 3,578,316,236
End of period $ 6,145,566,552 $ 4,354,899,688
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS I
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .052 .055 .052 .057 .048
Less Distributions
From net interest income (.052) (.055) (.052) (.057) (.048)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.31% 5.60% 5.37% 5.84% 4.86%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 4,896,805 $ 3,528,366 $ 2,810,717 $ 3,064,136 $ 3,321,066
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .18% B
net assets
Ratio of net interest income 5.18% 5.47% 5.25% 5.69% 4.77%
to average net assets
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
B FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
YEARS ENDED MARCH 31, 1999 1998 1997 1996 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .050 .053 .051 .021
Less Distributions
From net interest income (.050) (.053) (.051) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.16% 5.45% 5.22% 2.16%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 419,679 $ 151,951 $ 108,636 $ 102
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 4.94% 5.32% 5.10% 5.33% A
to average net assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS IIII
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995 F
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .049 .052 .050 .054 .045
Less Distributions
From net interest income (.049) (.052) (.050) (.054) (.045)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.05% 5.34% 5.11% 5.58% 4.57%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 829,083 $ 674,582 $ 658,964 $ 194,489 $ 40,516
(000 omitted)
Ratio of expenses to average .45% D .45% D .45% D .45% D .43% A, D
net assets
Ratio of net interest income 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 NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
F FOR THE PERIOD APRIL 4, 1994 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1995.
DOMESTIC PORTFOLIO
INVESTMENTS MARCH 31, 1999
Showing Percentage of Total Value of Investment in Securities
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 3.4%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
DOMESTIC CERTIFICATES OF
DEPOSIT - 3.4%
American Express Centurion Bank
4/26/99 4.85% $ 30,000,000 $ 30,000,000
Chase Manhattan Bank
5/10/99 5.75 5,000,000 4,999,821
Fleet National Bank
5/3/99 4.97 (b) 8,000,000 7,995,921
Mellon Bank NA, Pittsburgh
6/3/99 5.75 15,000,000 15,000,000
US Bank NA Minnesota
9/15/99 4.94 50,000,000 50,000,000
TOTAL CERTIFICATES OF DEPOSIT 107,995,742
COMMERCIAL PAPER - 70.0%
Asset Securitization Coop.
Corp.
4/14/99 5.14 2,000,000 1,996,331
4/14/99 5.17 5,000,000 4,990,828
4/15/99 5.14 5,000,000 4,990,122
4/15/99 5.17 5,000,000 4,990,122
6/7/99 4.91 50,000,000 49,548,681
6/22/99 4.90 5,000,000 4,944,878
6/23/99 4.90 16,000,000 15,821,458
6/23/99 4.92 15,000,000 14,832,271
6/29/99 4.91 10,000,000 9,880,344
Associates First Capital BV
6/8/99 4.92 50,000,000 49,541,000
Associates First Capital Corp.
5/3/99 4.88 5,000,000 4,978,578
Centric Capital Corp.
4/14/99 4.88 20,000,000 19,965,117
4/19/99 4.87 3,250,000 3,242,168
4/19/99 4.89 4,722,000 4,710,549
4/21/99 4.88 6,666,000 6,648,150
4/22/99 4.88 5,000,000 4,985,942
5/10/99 4.92 5,000,000 4,973,567
6/1/99 4.94 7,600,000 7,537,156
CIESCO L.P.
4/9/99 4.86 9,000,000 8,990,380
4/16/99 4.87 15,000,000 14,969,875
5/3/99 4.91 17,000,000 16,926,409
5/4/99 4.88 10,000,000 9,955,542
5/7/99 4.91 10,000,000 9,951,300
5/27/99 4.89 8,000,000 7,939,769
6/3/99 4.89 15,000,000 14,872,950
CIT Group, Inc.
4/5/99 5.08 5,000,000 4,997,222
6/7/99 4.93 50,000,000 49,546,819
6/21/99 4.89 16,000,000 15,826,120
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Citibank Credit Card Master
Trust I (Dakota Certificate
Program)
4/7/99 4.95% $ 5,000,000 $ 4,995,917
4/7/99 4.96 11,000,000 10,991,017
4/21/99 4.89 50,000,000 49,865,833
5/5/99 4.90 18,800,000 18,714,063
5/12/99 4.90 12,000,000 11,933,853
5/13/99 4.89 10,000,000 9,943,650
5/14/99 4.90 10,000,000 9,942,189
Commercial Credit Group, Inc.
5/12/99 4.88 15,000,000 14,917,317
Delaware Funding Corp.
4/15/99 4.96 5,000,000 4,990,375
4/16/99 4.87 10,263,000 10,242,388
4/27/99 4.89 10,000,000 9,964,828
5/12/99 4.89 50,000,000 49,724,958
Enterprise Funding Corp.
4/7/99 4.88 13,005,000 12,994,509
4/21/99 4.89 9,284,000 9,259,036
4/28/99 4.88 3,522,000 3,509,268
4/28/99 4.90 30,557,000 30,445,849
4/29/99 4.89 5,000,000 4,981,217
5/3/99 4.88 10,617,000 10,571,512
5/4/99 4.87 7,153,000 7,121,461
5/7/99 4.89 20,000,000 19,902,800
5/11/99 4.89 9,000,000 8,951,700
5/12/99 4.92 16,614,000 16,521,663
5/28/99 4.92 3,990,000 3,959,234
6/17/99 4.91 21,729,000 21,503,592
Falcon Asset Securitization
4/20/99 4.89 25,000,000 24,935,677
5/5/99 4.89 5,000,000 4,977,050
5/11/99 4.89 11,000,000 10,940,600
5/13/99 4.90 12,000,000 11,931,960
6/14/99 4.91 10,000,000 9,900,306
6/15/99 4.92 13,785,000 13,645,427
Fleet Funding Corp.
4/14/99 4.89 40,000,000 39,929,944
5/10/99 4.90 24,732,000 24,601,786
5/13/99 4.89 20,000,000 19,886,833
Ford Motor Credit Co.
4/16/99 4.87 23,775,000 23,727,351
4/20/99 4.87 20,000,000 19,949,017
4/29/99 4.86 15,000,000 14,944,000
5/18/99 4.87 25,000,000 24,842,354
5/19/99 4.87 20,000,000 19,871,200
General Electric Capital Corp.
4/12/99 5.09 50,000,000 49,923,611
5/25/99 4.91 60,000,000 59,564,400
6/2/99 4.94 5,000,000 4,958,236
6/14/99 4.96 20,000,000 19,798,967
6/16/99 4.90 15,000,000 14,846,733
8/30/99 5.00 20,000,000 19,590,622
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
General Electric Capital
Services, Inc.
6/7/99 4.90% $ 15,000,000 $ 14,865,442
6/16/99 4.93 50,000,000 49,487,000
General Electric Co.
4/8/99 5.09 5,000,000 4,995,139
General Motors Acceptance Corp.
4/1/99 5.06 50,000,000 50,000,000
4/22/99 4.87 5,000,000 4,985,971
5/20/99 4.90 15,000,000 14,901,183
6/16/99 4.94 35,000,000 34,640,161
Goldman Sachs Group L.P.
5/25/99 4.90 20,000,000 19,854,500
Household Finance Corp.
5/12/99 4.88 5,000,000 4,972,439
International Lease Financial
Corp.
4/26/99 4.86 8,600,000 8,571,333
Kitty Hawk Funding Corp.
4/6/99 5.00 20,000,000 19,986,111
4/27/99 4.88 20,000,000 19,930,378
5/7/99 4.93 36,795,000 36,615,072
5/21/99 4.91 20,000,000 19,865,278
8/16/99 4.98 20,000,000 19,630,100
Marsh & McLennan Companies,
Inc.
5/19/99 4.88 35,000,000 34,774,133
Monsanto Co.
6/17/99 4.90 50,000,000 49,482,389
6/21/99 4.90 15,000,000 14,836,650
Morgan (JP) & Co., Inc.
4/12/99 5.09 25,000,000 24,961,806
4/13/99 4.90 5,000,000 4,991,917
4/13/99 4.91 20,000,000 19,967,667
4/14/99 4.92 10,000,000 9,982,414
4/14/99 4.94 15,000,000 14,973,621
6/21/99 4.90 45,000,000 44,509,950
Morgan Stanley, Dean Witter &
Co.
5/17/99 4.90 21,000,000 20,869,590
6/9/99 4.91 20,000,000 19,814,083
National Rural Utility Coop.
Finance Corp.
5/26/99 4.87 10,000,000 9,926,208
6/24/99 4.88 14,050,000 13,891,984
New Center Asset Trust
4/1/99 5.07 15,000,000 15,000,000
4/20/99 4.95 5,000,000 4,987,096
4/20/99 4.96 40,000,000 39,896,767
4/22/99 4.87 72,000,000 71,797,863
5/10/99 4.88 25,000,000 24,869,458
Norwest Financial, Inc.
6/21/99 4.90 20,000,000 19,782,200
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Preferred Receivables Funding
Corp.
4/1/99 5.10% $ 10,000,000 $ 10,000,000
4/5/99 4.89 4,645,000 4,642,502
4/6/99 4.89 13,350,000 13,341,026
4/15/99 4.86 4,000,000 3,992,518
5/11/99 4.90 8,365,000 8,319,829
5/17/99 4.93 10,000,000 9,937,644
5/25/99 4.91 5,635,000 5,593,921
Salomon Smith Barney
Holdings, Inc.
5/7/99 4.90 5,000,000 4,975,700
5/10/99 4.89 10,000,000 9,947,458
5/10/99 4.92 100,000,000 99,471,330
5/17/99 4.91 35,000,000 34,782,650
Three Rivers Funding Corp.
4/16/99 4.89 22,102,000 22,057,520
4/20/99 4.92 13,000,000 12,966,381
5/17/99 4.90 20,264,000 20,138,161
5/17/99 4.91 10,074,000 10,011,312
Triple A One Funding Corp.
5/5/99 4.89 13,016,000 12,956,257
6/9/99 4.91 25,000,000 24,768,563
TOTAL COMMERCIAL PAPER 2,251,786,626
FEDERAL AGENCIES - 0.9%
FEDERAL HOME LOAN BANK - 0.9%
Agency Coupons - 0.9%
6/1/99 4.82 (b) 28,000,000 27,986,224
BANK NOTES - 14.1%
American Express Centurion Bank
4/12/99 4.90 (b) 20,000,000 20,000,000
First National Bank of Chicago
5/4/99 4.88 50,000,000 49,999,276
First Union National Bank of
North Carolina
4/1/99 4.94 (b) 17,000,000 16,999,748
4/19/99 4.25 4,000,000 4,000,256
4/19/99 5.03 5,000,000 5,000,290
4/21/99 4.99 (b) 20,000,000 20,000,000
Fleet National Bank, Providence
5/4/99 4.97 (b) 8,000,000 7,997,622
LaSalle National Bank, Chicago
8/3/99 4.90 27,000,000 27,000,000
8/4/99 4.90 18,000,000 18,000,000
8/10/99 4.92 50,000,000 50,000,000
8/11/99 4.93 35,000,000 35,000,000
Mellon Bank NA, Pittsburgh
5/18/99 4.91 (b) 25,000,000 24,989,381
8/10/99 4.92 50,000,000 50,000,000
BANK NOTES - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
NationsBank NA
4/6/99 4.95% (b) $ 20,000,000 $ 19,990,703
4/13/99 4.98 5,000,000 5,000,000
4/13/99 5.05 10,000,000 10,000,000
4/20/99 4.84 5,000,000 5,000,000
6/30/99 5.05 25,000,000 25,000,000
PNC Bank NA, Pittsburgh
5/3/99 4.98 (b) 8,000,000 7,999,302
Wachovia Bank NA
8/20/99 4.94 50,000,000 50,000,000
TOTAL BANK NOTES 451,976,578
MASTER NOTES - 0.8%
Goldman Sachs Group L.P.
6/8/99 5.08 (b) 20,000,000 20,000,000
SunTrust Banks, Inc.
4/1/99 4.89 (b) 5,000,000 5,000,000
TOTAL MASTER NOTES 25,000,000
MEDIUM-TERM NOTES - 2.0%
Bishops Gate Resources
Mortgage Trust
4/1/99 5.17 (b) 7,000,000 7,000,000
Goldman Sachs Group L.P.
4/7/99 5.26 (b)(c) 12,000,000 12,000,000
4/27/99 5.07 (b)(c) 18,000,000 18,000,000
5/10/99 5.05 (a)(b) 10,000,000 10,000,000
Morgan Guaranty Trust Co., NY
4/27/99 4.89 (b) 10,000,000 9,997,161
Norwest Corp.
4/22/99 4.99 (b) 9,000,000 9,000,000
TOTAL MEDIUM-TERM NOTES 65,997,161
SHORT-TERM NOTES - 2.3%
Capital One Funding Corp.
Series 1994 B,
4/7/99 4.97 (b) 3,691,000 3,691,000
Capital One Funding Corp.
Series 1994 E,
4/7/99 4.97 (b) 1,109,000 1,109,000
Capital One Funding Corp.
Series 1995 D,
4/7/99 4.97 (b) 2,792,000 2,792,000
Capital One Funding Corp.
Series 1996 G,
4/7/99 4.97 (b) 3,971,000 3,971,000
Capital One Funding Corp.
Series 1997 D,
4/7/99 4.97 (b) 3,300,000 3,300,000
Capital One Funding Corp.
Series 1997 G,
4/7/99 4.97 (b) 7,540,000 7,540,000
Monumental Life Insurance Co.
4/1/99 5.10 (b)(c) 10,000,000 10,000,000
4/12/99 5.11 (b)(c) 10,000,000 10,000,000
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
New York Life Insurance Co.
4/1/99 5.35% (b)(c) $ 5,000,000 $ 5,000,000
Pacific Life Insurance Co.
6/9/99 5.07 (a)(b) 3,000,000 3,000,000
Strategic Money Market Trust
(1998-A)
6/16/99 5.10 (b) 24,000,000 24,000,000
TOTAL SHORT-TERM NOTES 74,403,000
</TABLE>
REPURCHASE AGREEMENTS - 6.5%
MATURITY AMOUNT
In a joint trading account
(U.S. Government
Obligations) dated
3/31/99 due 4/1/99 At 5.04% $ 70,009,809 70,000,000
(U.S. Treasury Obligations)
dated
3/31/99 due 4/1/99 At 4.95% 140,790,374 140,771,000
TOTAL REPURCHASE AGREEMENTS 210,771,000
TOTAL INVESTMENT IN $ 3,215,916,331
SECURITIES - 100%
Total Cost for Income Tax Purposes $ 3,215,916,331
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 $13,000,000 or 0.4% 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) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
SECURITY ACQUISITION DATE COST
Goldman Sachs Group L.P. 12/7/98 $ 12,000,000
5.26%, 4/7/99
Goldman Sachs Group L.P. 1/22/99 $ 18,000,000
5.07%, 4/27/99
Monumental Life Insurance Co. 9/17/98 $ 10,000,000
5.10%, 4/1/99
Monumental Life Insurance Co. 3/12/99 $ 10,000,000
5.11%, 4/12/99
New York Life Insurance Co. 12/21/98 $ 5,000,000
5.35%, 4/1/99
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $55,000,000 or 1.7% 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.
A total of 1.42% of the dividends distributed during the fiscal year
was derived from interest on U.S. Government securities which is
generally exempt from state income tax (unaudited). The fund will
notify shareholders in January 2000 of the applicable percentage for
use in preparing 1999 income tax returns.
DOMESTIC PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
ASSETS
Investment in securities, at $ 3,215,916,331
value (including repurchase
agreements of $210,771,000)
- - See accompanying schedule
Cash 1,102
Receivable for investments 500,000
sold
Interest receivable 5,927,688
TOTAL ASSETS 3,222,345,121
LIABILITIES
Payable for investments $ 19,990,703
purchased
Share transactions in process 46,206,649
Distributions payable 3,277,931
Accrued management fee 408,486
Distribution fees payable 171,679
Other payables and accrued 361,345
expenses
TOTAL LIABILITIES 70,416,793
NET ASSETS $ 3,151,928,328
Net Assets consist of:
Paid in capital $ 3,152,016,426
Accumulated net realized gain (88,098)
(loss) on investments
NET ASSETS $ 3,151,928,328
CLASS I: $1.00
NET ASSET VALUE, offering
price and redemption price
per share ($2,229,906,213
(divided by) 2,229,976,896
shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($324,648,109 (divided by)
324,658,400 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($597,374,006 (divided by)
597,392,941 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 1999
INTEREST INCOME $ 96,288,114
EXPENSES
Management fee $ 3,600,888
Transfer agent fees
Class I 373,400
Class II 45,050
Class III 70,060
Distribution fees
Class II 215,251
Class III 564,431
Accounting fees and expenses 185,642
Non-interested trustees' 12,344
compensation
Custodian fees and expenses 28,426
Registration fees
Class I 363,192
Class II 51,321
Class III 73,581
Audit 29,928
Legal 21,242
Reports to shareholders 10,534
Miscellaneous 1,296
Total expenses before 5,646,586
reductions
Expense reductions (1,268,197) 4,378,389
NET INTEREST INCOME 91,909,725
NET REALIZED GAIN (LOSS) ON 41,042
INVESTMENTS
NET INCREASE IN NET ASSETS $ 91,950,767
RESULTING FROM OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 1999 YEAR ENDED MARCH 31, 1998
ASSETS
Operations Net interest income $ 91,909,725 $ 68,146,835
Net realized gain (loss) 41,042 (4,895)
NET INCREASE (DECREASE) IN 91,950,767 68,141,940
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income
Class I (73,935,908) (63,098,581)
Class II (7,057,324) (579,325)
Class III (10,916,493) (4,468,929)
TOTAL DISTRIBUTIONS (91,909,725) (68,146,835)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 777,527,539 251,287,735
Net asset value of Domestic 281,496,359 -
Portfolio Class I shares
issued in exchange for
the net assets of Rated
Money Market Portfolio Class
I
Class II 218,713,695 30,222,382
Net asset value of Domestic 71,482,363 -
Portfolio Class II shares
issued in exchange for
the net assets of Rated
Money Market Portfolio Class
II
Class III 395,616,253 (48,417,851)
Net asset value of Domestic 128,465,120 -
Portfolio Class III shares
issued in exchange for
the net assets of Rated
Money Market Portfolio Class
III
TOTAL SHARE TRANSACTIONS 1,873,301,329 233,092,266
TOTAL INCREASE (DECREASE) 1,873,342,371 233,087,371
IN NET ASSETS
NET ASSETS
Beginning of period 1,278,585,957 1,045,498,586
End of period $ 3,151,928,328 $ 1,278,585,957
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS I
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .052 .055 .053 .057 .049
Less Distributions
From net interest income (.052) (.055) (.053) (.057) (.049)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.37% 5.64% 5.40% 5.85% 4.97%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 2,229,906 $ 1,170,833 $ 919,554 $ 1,117,917 $ 771,937
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .18% B
net assets
Ratio of net interest income 5.17% 5.50% 5.26% 5.66% 4.94%
to average net assets
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
B FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
YEARS ENDED MARCH 31, 1999 1998 1997 1996 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .051 .054 .051 .021
Less Distributions
From net interest income (.051) (.054) (.051) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.22% 5.49% 5.24% 2.15%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 324,648 $ 34,455 $ 4,235 $ 2,105
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 4.92% 5.36% 5.10% 5.20% A
to average net assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS III
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995 F
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .050 .053 .050 .054 .035
Less Distributions
From net interest income (.050) (.053) (.050) (.054) (.035)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURNB, C 5.11% 5.38% 5.13% 5.56% 3.51%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 597,374 $ 73,298 $ 121,709 $ 47,396 $ 26,545
(000 omitted)
Ratio of expenses to average .45% D .45% D .45% D .47% D .50% A, D
net assets
Ratio of net interest income 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 NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
F FOR THE PERIOD JULY 19, 1994 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1995.
MONEY MARKET PORTFOLIO
INVESTMENTS MARCH 31, 1999
Showing Percentage of Total Value of Investment in Securities
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 34.3%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
DOMESTIC CERTIFICATES OF
DEPOSIT - 0.4%
Fleet National Bank
5/3/99 4.97% (b) $ 49,000,000 $ 48,975,015
LONDON BRANCH, EURODOLLAR,
FOREIGN BANKS - 17.4%
Abbey National Treasury
Services PLC
4/6/99 4.94 400,000,000 399,999,995
4/8/99 4.95 50,000,000 50,000,000
4/15/99 4.90 100,000,000 100,000,000
6/17/99 4.90 115,000,000 115,000,000
Bank of Scotland Treasury
Services
4/12/99 5.07 20,000,000 20,000,060
5/5/99 5.05 50,000,000 50,000,461
Banque Nationale de Paris
5/4/99 5.05 10,000,000 9,999,642
Barclays Bank PLC
4/6/99 4.97 250,000,000 250,000,000
6/14/99 4.84 60,000,000 60,009,852
9/7/99 5.03 150,000,000 150,000,000
9/7/99 5.04 200,000,000 200,000,000
Bayerische Hypo-und
Vereinsbank AG
4/26/99 5.06 35,000,000 35,000,238
5/12/99 4.89 100,000,000 100,000,281
Commerzbank AG
4/6/99 4.95 200,000,000 200,000,274
5/5/99 4.93 125,000,000 125,001,161
Credit Agricole Indosuez
4/8/99 4.93 100,000,000 100,000,048
8/5/99 4.92 55,000,000 54,995,737
8/16/99 4.92 32,000,000 32,000,000
Halifax PLC
8/12/99 4.92 50,000,000 50,000,000
8/19/99 4.95 20,000,000 20,000,000
Kredietbank NV
6/17/99 4.90 30,000,000 30,000,000
Merita Bank PLC
4/12/99 4.94 50,000,000 49,999,908
Norddeutsche Landesbank
Girozentrale
6/30/99 4.93 75,000,000 75,001,844
Northern Rock PLC
6/21/99 4.90 20,000,000 20,000,000
Westdeutsche Landesbank
Girozentrale
5/17/99 4.90 75,000,000 75,000,000
2,372,009,501
NEW YORK BRANCH, YANKEE
DOLLAR, FOREIGN BANKS - 16.4%
ABN-AMRO Bank NV
6/7/99 5.76 50,000,000 49,994,726
6/30/99 5.05 60,000,000 60,000,731
Bank of Montreal, Canada
3/3/00 5.35 80,000,000 79,950,282
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Banque Nationale de Paris
4/8/99 5.04% $ 80,000,000 $ 80,000,000
Barclays Bank PLC
3/1/00 5.30 25,000,000 24,986,755
Bayerische Hypo-und
Vereinsbank AG
4/19/99 4.90 135,000,000 135,000,000
Canadian Imperial Bank of
Commerce
4/5/99 5.09 85,000,000 85,000,000
Commerzbank AG
5/4/99 5.01 30,000,000 30,000,000
5/10/99 5.13 50,000,000 50,000,000
9/1/99 5.03 20,000,000 20,000,000
Credit Agricole Indosuez
9/1/99 5.00 40,000,000 40,000,000
Credit Communale de Belgique
8/11/99 4.92 60,000,000 60,000,000
Deutsche Bank AG
6/2/99 4.93 100,000,000 100,000,000
8/9/99 4.90 100,000,000 100,000,000
8/11/99 4.92 50,000,000 50,000,000
2/16/00 5.12 35,000,000 34,985,166
Dresdner Bank AG
4/26/99 5.05 35,000,000 35,000,000
5/10/99 4.89 200,000,000 200,000,000
Landesbank Hessen-Thuringen
4/12/99 5.07 70,000,000 70,000,210
3/1/00 5.22 35,000,000 34,984,536
National Westminster Bank PLC
6/7/99 5.75 50,000,000 49,994,067
3/15/00 5.15 40,000,000 39,985,315
Norddeutsche Landesbank
Girozentrale
3/1/00 5.30 25,000,000 24,988,963
RaboBank Nederland Coop.
Central
5/5/99 5.83 35,000,000 34,998,127
6/1/99 5.75 50,000,000 49,994,396
9/2/99 5.00 60,000,000 60,000,000
Royal Bank of Canada
4/9/99 4.89 (b)(d) 65,000,000 64,959,967
2/28/00 5.26 30,000,000 29,988,148
Societe Generale, France
6/9/99 4.91 50,000,000 50,000,000
Swiss Bank Corp.
6/3/99 5.75 100,000,000 99,988,425
6/11/99 5.80 50,000,000 49,994,412
Toronto Dominion Bank
6/4/99 5.76 73,000,000 72,990,191
UBS AG
5/10/99 5.02 50,000,000 50,002,892
Unibank A/S
4/6/99 4.95 50,000,000 50,000,343
CERTIFICATES OF DEPOSIT -
CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
NEW YORK BRANCH, YANKEE
DOLLAR, FOREIGN BANKS -
CONTINUED
Westdeutsche Landesbank
Girozentrale
6/7/99 4.89% $ 65,000,000 $ 65,000,000
Westpac Banking Corp.
4/6/99 4.95 95,000,000 95,000,065
2,227,787,717
SAN FRANCISCO BRANCH, YANKEE
DOLLAR, FOREIGN BANKS - 0.1%
Banque Nationale de Paris
5/4/99 5.01 20,000,000 20,000,000
TOTAL CERTIFICATES OF DEPOSIT 4,668,772,233
COMMERCIAL PAPER - 46.8%
Aspen Funding Corp.
4/22/99 4.89 45,000,000 44,873,213
5/11/99 4.91 50,000,000 49,730,556
5/12/99 4.90 80,000,000 79,557,200
6/7/99 4.94 25,000,000 24,772,944
Asset Securitization Coop.
Corp.
4/14/99 5.17 40,000,000 39,926,622
4/15/99 5.14 75,000,000 74,852,708
4/15/99 5.17 10,000,000 9,980,244
6/22/99 4.90 25,000,000 24,724,389
6/22/99 4.91 44,000,000 43,513,922
6/23/99 4.92 65,000,000 64,273,174
6/29/99 4.91 45,000,000 44,461,550
Associates Corp. of North
America
4/6/99 4.86 10,000,000 9,993,306
5/27/99 5.00 100,000,000 99,237,778
Centric Capital Corp.
5/19/99 4.93 20,000,000 19,869,867
CIESCO L.P.
4/9/99 4.86 26,000,000 25,972,209
5/3/99 4.91 16,000,000 15,930,738
5/11/99 4.92 25,000,000 24,864,722
Citibank Credit Card Master
Trust I (Dakota Certificate
Program)
4/8/99 4.96 75,000,000 74,928,542
4/21/99 4.88 12,000,000 11,967,867
5/12/99 4.90 50,000,000 49,724,674
5/14/99 4.90 75,000,000 74,566,417
6/7/99 4.97 19,000,000 18,826,731
Commonwealth Bank of Australia
4/15/99 4.88 25,000,000 24,953,139
8/12/99 4.92 25,000,000 24,556,667
8/16/99 4.95 10,000,000 9,816,192
Cregem North America, Inc.
4/8/99 4.94 50,000,000 49,952,556
4/9/99 4.94 50,000,000 49,945,778
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Daimler-Chrysler North
America Corp.
4/27/99 5.14% $ 60,000,000 $ 59,781,167
5/20/99 4.91 20,000,000 19,867,972
5/26/99 4.90 25,000,000 24,815,139
6/7/99 4.96 100,000,000 99,089,917
6/8/99 4.95 50,000,000 49,538,167
6/10/99 4.91 20,000,000 19,811,778
6/21/99 4.90 25,000,000 24,727,750
6/28/99 4.90 90,000,000 88,935,200
Delaware Funding Corp.
4/7/99 4.87 31,000,000 30,975,097
4/22/99 4.89 60,000,000 59,830,250
5/19/99 4.90 72,000,000 71,535,360
6/9/99 4.91 71,168,000 70,506,434
Den Danske Corp., Inc.
4/22/99 4.88 50,000,000 49,859,417
Deutsche Bank Financial, Inc.
4/12/99 4.87 50,000,000 49,926,208
4/16/99 4.94 100,000,000 99,797,083
5/10/99 4.90 100,000,000 99,475,667
Enterprise Funding Corp.
4/28/99 4.91 20,000,000 19,927,100
Falcon Asset Securitization
4/19/99 4.91 50,000,000 49,878,250
5/5/99 4.89 22,850,000 22,745,119
5/12/99 4.90 40,000,000 39,778,144
Finova Capital Corp.
4/14/99 5.07 12,000,000 11,978,333
4/26/99 5.04 13,000,000 12,954,861
6/2/99 5.03 13,000,000 12,888,727
6/16/99 4.97 10,000,000 9,896,344
Ford Motor Credit Co.
4/15/99 4.87 50,000,000 49,906,472
4/29/99 4.87 10,000,000 9,962,667
5/17/99 4.87 50,000,000 49,691,417
General Electric Capital Corp.
4/12/99 5.09 50,000,000 49,923,611
5/14/99 4.89 125,000,000 124,278,854
6/2/99 4.90 150,000,000 148,752,250
6/11/99 4.90 50,000,000 49,522,722
6/16/99 4.90 60,000,000 59,386,933
7/19/99 4.92 65,000,000 64,047,461
7/26/99 4.93 100,000,000 98,446,889
8/30/99 5.00 25,000,000 24,488,278
9/1/99 4.94 25,000,000 24,488,938
General Electric Capital
Services, Inc.
6/14/99 4.96 30,000,000 29,698,450
8/18/99 4.93 100,000,000 98,142,806
General Motors Acceptance Corp.
5/19/99 4.90 75,000,000 74,516,000
6/15/99 4.95 200,000,000 197,966,667
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Generale de Banque SA
8/13/99 4.92% $ 70,000,000 $ 68,749,333
Goldman Sachs Group L.P.
5/26/99 4.90 80,000,000 79,407,222
Halifax PLC
4/6/99 4.87 11,354,000 11,346,399
4/14/99 4.87 131,400,000 131,171,766
Heller Financial, Inc.
5/5/99 5.03 22,000,000 21,896,942
5/24/99 5.08 12,000,000 11,911,313
6/16/99 5.01 12,000,000 11,874,600
Household Finance Corp.
5/12/99 4.88 20,000,000 19,889,756
JC Penney Funding Corp.
4/26/99 5.00 11,000,000 10,962,111
Kitty Hawk Funding Corp.
4/15/99 4.89 15,000,000 14,971,825
6/8/99 4.92 29,000,000 28,733,780
6/14/99 4.92 22,000,000 21,780,220
Lehman Brothers Holdings, Inc.
6/15/99 5.22 52,000,000 51,442,083
6/21/99 5.22 25,000,000 24,710,313
6/22/99 5.22 25,000,000 24,706,736
Merrill Lynch & Co., Inc.
4/6/99 4.95 80,000,000 79,945,000
Morgan (JP) & Co., Inc.
4/15/99 4.87 100,000,000 99,812,944
Morgan Stanley, Dean Witter &
Co.
5/12/99 4.90 40,000,000 39,778,600
6/9/99 4.91 90,000,000 89,163,375
National Australia Funding,
Inc.
4/5/99 4.90 350,000,000 349,809,444
Nationwide Building Society
4/13/99 4.89 20,000,000 19,967,800
4/20/99 4.88 15,000,000 14,961,842
New Center Asset Trust
4/20/99 4.96 55,000,000 54,858,054
4/22/99 4.87 80,000,000 79,775,533
Newport Funding Corp.
5/12/99 4.91 40,000,000 39,779,056
5/17/99 4.91 21,000,000 20,869,858
5/19/99 4.92 40,000,000 39,740,800
Nordbanken AB
5/26/99 4.96 35,000,000 34,737,986
6/14/99 4.90 100,000,000 99,005,111
Nordbanken, North America, Inc.
6/17/99 4.90 30,000,000 29,689,433
Norddeutsche Landesbank
Girozentrale
8/5/99 4.91 75,000,000 73,742,625
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
PHH Corp.
4/21/99 5.12% $ 26,000,000 $ 25,927,056
4/29/99 5.07 9,000,000 8,964,790
5/26/99 5.04 10,000,000 9,923,611
Preferred Receivables Funding
Corp.
4/5/99 4.89 55,000,000 54,970,422
4/6/99 4.89 40,000,000 39,973,111
4/26/99 4.88 20,000,000 19,933,056
5/3/99 4.92 25,890,000 25,777,695
5/3/99 4.93 35,000,000 34,847,867
5/12/99 4.93 34,000,000 33,811,036
5/18/99 4.94 35,000,000 34,776,554
5/26/99 4.91 10,000,000 9,925,750
6/2/99 4.90 62,875,000 62,349,819
Salomon Smith Barney
Holdings, Inc.
5/10/99 4.92 50,000,000 49,735,667
Societe Generale North
America, Inc.
5/3/99 4.86 165,000,000 164,295,267
8/10/99 4.92 20,000,000 19,650,667
8/10/99 4.95 45,000,000 44,209,906
Svenska Handelsbanken, Inc.
8/9/99 4.92 17,000,000 16,705,333
Three Rivers Funding Corp.
6/15/99 4.92 15,145,000 14,991,657
Triple A One Funding Corp.
5/14/99 4.90 11,762,000 11,693,722
UBS Finance (Delaware), Inc.
4/5/99 5.12 100,000,000 99,944,111
4/19/99 4.98 4,167,000 4,156,770
8/9/99 4.90 50,000,000 49,136,944
8/9/99 4.91 100,000,000 98,270,278
8/9/99 4.92 210,000,000 206,358,104
8/9/99 4.93 25,600,000 25,155,804
Unifunding, Inc.
5/19/99 4.90 15,000,000 14,903,200
Westpac Capital Corp.
7/12/99 4.91 50,000,000 49,318,583
8/10/99 4.92 64,850,000 63,717,287
8/16/99 4.95 45,000,000 44,172,863
TOTAL COMMERCIAL PAPER 6,374,302,394
FEDERAL AGENCIES - 0.4%
FREDDIE MAC - 0.4%
Discount Notes - 0.4%
5/17/99 4.81 50,000,000 49,695,250
BANK NOTES - 5.6%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Abbey National Treasury
Services PLC
5/17/99 4.85% (a)(b) $ 59,000,000 $ 58,980,593
Comerica Bank, Detroit
5/10/99 4.99 (b) 17,000,000 16,995,864
First National Bank of Chicago
6/15/99 4.92 25,000,000 25,000,000
First Union National Bank of
North Carolina
4/1/99 4.80 (b) 55,000,000 54,999,955
4/1/99 4.95 (b) 96,000,000 95,999,518
4/21/99 4.99 (b) 20,000,000 20,000,000
Fleet National Bank, Providence
5/4/99 4.97 (b) 50,000,000 49,985,137
Key Bank NA
4/21/99 4.81 (b) 45,000,000 44,989,736
NationsBank NA
4/6/99 4.95 (b) 90,000,000 89,958,390
6/30/99 5.05 100,000,000 100,000,000
8/24/99 4.95 100,000,000 100,000,000
PNC Bank NA, Pittsburgh
4/1/99 4.84 (b) 60,000,000 59,988,033
5/3/99 4.98 (b) 50,000,000 49,995,636
TOTAL BANK NOTES 766,892,862
MASTER NOTES - 1.7%
Goldman Sachs Group L.P.
6/8/99 5.08 (b) 110,000,000 110,000,000
J.P. Morgan Securities, Inc.
4/7/99 4.94 (b) 105,000,000 105,000,000
SunTrust Banks, Inc.
4/1/99 4.89 (b) 20,000,000 20,000,000
TOTAL MASTER NOTES 235,000,000
MEDIUM-TERM NOTES - 3.0%
Bishops Gate Resources
Mortgage Trust
4/1/99 5.17 (b) 42,000,000 42,000,000
General Electric Capital Corp.
6/9/99 4.98 (b) 15,000,000 15,000,000
Goldman Sachs Group L.P.
4/7/99 5.26 (b)(c) 68,000,000 68,000,000
4/27/99 5.07 (b)(c) 66,000,000 66,000,000
5/10/99 5.05 (a)(b) 48,000,000 48,000,000
Merrill Lynch & Co., Inc.
6/4/99 4.96 (b) 35,000,000 34,998,796
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Morgan Guaranty Trust Co., NY
4/27/99 4.89% (b) $ 60,000,000 $ 59,983,207
Norwest Corp.
4/22/99 4.99 (b) 61,000,000 61,000,000
Premier Auto Trust
6/8/99 5.41 6,974,597 6,974,313
TOTAL MEDIUM-TERM NOTES 401,956,316
SHORT-TERM NOTES - 3.2%
Capital One Funding Corp.
Series 1994 C,
4/7/99 4.98 (b) 7,220,000 7,220,000
Capital One Funding Corp.
Series 1995 E,
4/7/99 4.97 (b) 6,830,000 6,830,000
Capital One Funding Corp.
Series 1996 C,
4/7/99 4.97 (b) 12,990,000 12,990,000
Capital One Funding Corp.
Series 1996 H,
4/7/99 4.97 (b) 3,900,000 3,900,000
Capital One Funding Corp.
Series 1997 E,
4/7/99 4.97 (b) 12,100,000 12,100,000
Capital One Funding Corp.
Series 1997 F,
4/7/99 4.97 (b) 2,600,000 2,600,000
Capital One Funding Corp.
Series 1998 B,
4/7/99 4.97 (b) 29,377,000 29,377,000
Monumental Life Insurance Co.
4/1/99 5.08 (b)(c) 36,000,000 36,000,000
4/12/99 5.11 (b)(c) 55,000,000 55,000,000
New York Life Insurance Co.
4/1/99 5.35 (b)(c) 39,000,000 39,000,000
4/7/99 4.97 (b) 37,000,000 37,000,000
Pacific Life Insurance Co.
6/9/99 5.07 (a)(b) 37,000,000 37,000,000
SMM Trust (1998-I)
4/28/99 4.94 (a)(b) 24,000,000 24,000,000
Strategic Money Market Trust
(1998-A)
6/16/99 5.10 (b) 139,000,000 139,000,000
TOTAL SHORT-TERM NOTES 442,017,000
TIME DEPOSITS - 0.7%
Halifax PLC
4/1/99 5.13 100,000,000 100,000,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 4.3%
MATURITY AMOUNT VALUE (NOTE 1)
In a joint trading account
(U.S. Government
Obligations) dated 3/31/99
due 4/1/99 At:
4.99% $ 234,990,579 $ 234,958,000
5.04% 350,049,043 350,000,000
TOTAL REPURCHASE AGREEMENTS 584,958,000
TOTAL INVESTMENT IN $ 13,623,594,055
SECURITIES - 100%
Total Cost for Income Tax Purposes $ 13,623,594,055
</TABLE>
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
$167,980,593 or 1.2% 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) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
(d) Security purchased on a delayed delivery or when-issued basis.
SECURITY ACQUISITION DATE COST
Goldman Sachs Group L.P. 12/7/98 $ 68,000,000
5.26%, 4/7/99
Goldman Sachs Group L.P. 1/22/99 $ 66,000,000
5.07%, 4/27/99
Monumental Life Insurance Co. 7/31/98 - 9/17/98 $ 36,000,000
5.08%, 4/1/99
Monumental Life Insurance Co. 3/12/99 $ 55,000,000
5.11%, 4/12/99
New York Life Insurance Co. 12/21/98 $ 39,000,000
5.35%, 4/1/99
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $264,000,000 or 2.0% 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.
A total of 1% of the dividends distributed during the fiscal year was
derived from interest on U.S Government securities which is generally
exempt from state income tax (unaudited). The fund will notify
shareholders in January 2000 of the applicable percentage for use in
preparing 1999 income tax returns.
MONEY MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
ASSETS
Investment in securities, at $ 13,623,594,055
value (including repurchase
agreements of $584,958,000)
- - See accompanying schedule
Receivable for investments 1,490,000
sold
Interest receivable 68,433,389
Other receivables 7,039
TOTAL ASSETS 13,693,524,483
LIABILITIES
Payable to custodian bank $ 572,871
Payable for investments 89,958,390
purchased Regular delivery
Delayed delivery 64,959,967
Share transactions in process 2,716,648
Distributions payable 21,762,018
Accrued management fee 1,854,745
Distribution fees payable 173,847
Other payables and accrued 1,189,490
expenses
TOTAL LIABILITIES 183,187,976
NET ASSETS $ 13,510,336,507
Net Assets consist of:
Paid in capital $ 13,512,564,236
Accumulated net realized gain (2,227,729)
(loss) on investments
NET ASSETS $ 13,510,336,507
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($12,768,084,517 (divided
by) 12,770,167,490 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($89,740,632 (divided by)
89,755,272 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($652,511,358 (divided by)
652,617,808 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 1999
INTEREST INCOME $ 682,737,850
EXPENSES
Management fee $ 25,027,315
Transfer agent fees
Class I 2,719,082
Class II 38,255
Class III 174,145
Distribution fees
Class II 199,032
Class III 1,574,646
Accounting fees and expenses 822,539
Non-interested trustees' 30,268
compensation
Custodian fees and expenses 192,442
Registration fees
Class I 1,067,950
Class II 26,192
Class III 77,835
Audit 66,478
Legal 56,529
Miscellaneous 43,646
Total expenses before 32,116,354
reductions
Expense reductions (7,660,125) 24,456,229
NET INTEREST INCOME 658,281,621
NET REALIZED GAIN (LOSS) ON 46,094
INVESTMENTS
NET INCREASE IN NET ASSETS $ 658,327,715
RESULTING FROM OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
YEAR ENDED MARCH 31, 1999 YEAR ENDED MARCH 31, 1998
INCREASE (DECREASE) IN NET
ASSETS
Operations Net interest income $ 658,281,621 $ 558,571,783
Net realized gain (loss) 46,094 (234,733)
NET INCREASE (DECREASE) IN 658,327,715 558,337,050
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income
Class I (620,092,279) (522,359,446)
Class II (6,802,226) (5,229,363)
Class III (31,387,116) (30,982,974)
TOTAL DISTRIBUTIONS (658,281,621) (558,571,783)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 3,384,051,137 670,095,958
Class II 3,745,773 (81,609,613)
Class III 164,699,216 43,774,250
TOTAL SHARE TRANSACTIONS 3,552,496,126 632,260,595
TOTAL INCREASE (DECREASE) 3,552,542,220 632,025,862
IN NET ASSETS
NET ASSETS
Beginning of period 9,957,794,287 9,325,768,425
End of period $ 13,510,336,507 $ 9,957,794,287
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS I
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .053 .055 .053 .057 .049
Less Distributions
From net interest income (.053) (.055) (.053) (.057) (.049)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.40% 5.68% 5.43% 5.90% 4.99%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 12,768,085 $ 9,383,996 $ 8,714,137 $ 6,465,953 $ 5,130,123
(000 omitted)
Ratio of expenses to average .18% B .18% B .18% B .18% B .18% B
net assets
Ratio of net interest income 5.24% 5.54% 5.31% 5.73% 5.00%
to average net assets
</TABLE>
A THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
B FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
FINANCIAL HIGHLIGHTS - CLASS II
YEARS ENDED MARCH 31, 1999 1998 1997 1996 D
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .051 .054 .051 .022
Less Distributions
From net interest income (.051) (.054) (.051) (.022)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.24% 5.52% 5.27% 2.17%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 89,741 $ 85,990 $ 167,583 $ 64,200
(000 omitted)
Ratio of expenses to average .33% E .33% E .33% E .33% A, E
net assets
Ratio of net interest income 5.13% 5.39% 5.16% 5.29% A
to average net assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS III
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .050 .053 .050 .055 .046
Less Distributions
From net interest income (.050) (.053) (.050) (.055) (.046)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN C 5.14% 5.41% 5.17% 5.61% 4.66%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 652,511 $ 487,808 $ 444,048 $ 229,530 $ 457,286
(000 omitted)
Ratio of expenses to average .43% E .43% E .43% E .45% E .50% E
net assets
Ratio of net interest income 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 FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
E 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 MARCH 31, 1999
Showing Percentage of Total Value of Investment in Securities
<TABLE>
<CAPTION>
<S> <C> <C> <C>
MUNICIPAL SECURITIES - 100.0%
PRINCIPAL AMOUNT VALUE (NOTE 1)
ALABAMA - 2.4%
Alabama Hsg. Fin. Auth.
Multi-family Hsg.:
(Homewood Gardens Proj.) $ 1,925,000 $ 1,925,000
Series 1991C, 3.15%, LOC
Southtrust Bank Alabama,
VRDN (a)
Rfdg. (Rime Village 2,000,000 2,000,000
Hunstville Proj.) Series
1996 B, 3% (Fannie Mae
Guaranteed), VRDN (a)
Anniston Ind. Dev. Board 9,100,000 9,100,000
(Monsanto Co. Proj.) Series
1992, 3.05%, VRDN (a)
Anniston Solid Waste Disp. 2,230,000 2,230,000
Auth. (Monsanto Co. Proj.)
Series 1992, 3.05%, VRDN (a)
Birmingham Pub. Park & 9,200,000 9,200,000
Recreation Board Rev.
(McWane Ctr. Proj.) Series
1997, 3.15%, LOC Amsouth
Bank, Birmingham, VRDN (a)
Decatur Ind. Dev. Board Poll.
Cont. Rev.:
(Monsanto Co. Proj.) Series 5,925,000 5,925,000
1990, 3.05%, VRDN (a)
Rfdg. (Monsanto Co. Proj.):
Series 1992, 3.05%, VRDN (a) 3,500,000 3,500,000
Series 1994, 3.05%, VRDN (a) 3,115,000 3,115,000
Huntsville Ind. Dev. Board 1,000,000 1,000,000
Rfdg. (PPG Industries, Inc.
Proj.) Series 1992, 3.1%,
VRDN (a)
Jefferson County Swr. Rev. 3,800,000 3,800,000
Participating VRDN Series PT
124, 3.07% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Tarrant City Ind. Dev. Board 2,300,000 2,300,000
Rfdg. (Philip Morris Co.,
Inc.) Series 1993, 3.2%,
VRDN (a)
Tuscaloosa County Port Auth. 3,880,000 3,880,000
Rev. (Capstone Hotel Ltd.
Proj.) Series 1989 A, 3.15%,
LOC Southtrust Bank Alabama,
VRDN (a)
47,975,000
ALASKA - 0.4%
Alaska Hsg. Fin. Corp. 3,010,000 3,010,000
Participating VRDN Series
FR/RI 2, 3.1% (MBIA Insured)
(Liquidity Facility Bank of
New York NA) (a)(b)
Valdez Marine Term. Rev. Rfdg.:
(Exxon Pipeline Co. Proj.) 3,100,000 3,100,000
Series 1993 C, 3.1%, VRDN
(a)
Bonds (Alantic Richfield Co.) 1,500,000 1,500,000
Series 1994 A, 3% 4/8/99, CP
mode
7,610,000
ARIZONA - 2.0%
Apache County Ind. Dev. Auth. 9,250,000 9,250,000
Rev. (Tucson Elec. Pwr. Co.
- - Springerville Proj.)
Series 1983 C, 3.05%, LOC
Societe Generale, France,
VRDN (a)
Maricopa County Poll. Cont. 3,300,000 3,300,000
Rev. (Arizona Pub. Svc.
Proj.) Series 1994 E, 3.2%,
LOC Bank of America Nat'l.
Trust & Savings Assoc., VRDN
(a)
Phoenix Ind. Dev. Auth. 18,000,000 18,000,000
Multi-family Hsg. Rev. Rfdg.
(Paradise Lakes Apt. Proj.)
Series 1995, 3.15%, 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,
3.1%, LOC Chase Manhattan
Bank, VRDN (a)
40,685,000
ARKANSAS - 2.1%
Arkansas Hosp. Equip. Fin. 1,895,000 1,895,000
Auth. (Jefferson Hosp.
Assoc., Inc. Proj.) Series
1989, 3.05%, LOC Kredietbank
NV, VRDN (a)
North Little Rock Baptist 16,600,000 16,600,000
Health Facilities Board
Health Care Rev. Series 1996
B, 2.95% (MBIA Insured)
(BPA CS First Boston, Inc.),
VRDN (a)
Univ. of Arkansas Rev. (UAMS 22,995,000 22,995,000
Campus) Series 1998, 3%
(MBIA Insured) (BPA CS First
Boston, Inc.), VRDN (a)
41,490,000
CALIFORNIA - 0.3%
Long Beach Gen. Oblig. TRAN 6,500,000 6,527,115
Series 1998 1999, 4% 10/5/99
COLORADO - 1.6%
Colorado Pub. Hwy. Auth. 6,845,000 6,845,000
Participating VRDN E-470
Series PA 435, 3.1% (MBIA
Insured) (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Colorado Springs Util. Sys. 2,100,000 2,100,000
Participating VRDN Series
FR/RI 19, 3.15% (Liquidity
Facility Bank of New York
NA) (a)(b)
Colorado Student Oblig. Auth. 4,000,000 4,000,000
Series 1999 A1, 3.05% (AMBAC
Insured), VRDN (a)
Denver City & County Arpt.
Sys. Participating VRDN:
Series 1997 Q, 3.2% 2,900,000 2,900,000
(Liquidity Facility First
Union Nat'l. Bank of North
Carolina) (a)(b)
Series FR/RI 13, 3.1% 9,500,000 9,500,000
(Liquidity Facility Bank of
New York NA) (a)(b)
Douglas County School 1,900,000 1,903,679
District TAN (Douglas &
Elbert Counties) Series
1998, 3.75% 6/30/99
Larimer County Poudre School 4,000,000 4,000,095
District # R 1 TAN 3.3%
6/30/99
31,248,774
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
DELAWARE - 0.9%
Delaware Econ. Dev. Auth.:
(Peninsula United Methodist $ 4,845,000 $ 4,845,000
Homes, Inc.) Series 1992 B,
3.15%, LOC PNC Bank NA, VRDN
(a)
(Peninsula United Methodist 6,100,000 6,100,000
Homes, Inc.) Series 1997 B,
3.15%, LOC PNC Bank NA, VRDN
(a)
Delaware Hsg. Auth. 7,140,000 7,140,000
Participating VRDN Series PA
39, 3.07% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
18,085,000
DISTRICT OF COLUMBIA - 1.1%
District of Columbia Gen. 12,590,000 12,590,000
Oblig. Participating VRDN
Series 1998 5203, 3.11%
(Liquidity Facility
Citibank, New York NA)
(a)(b)
District of Columbia Rev. 2,000,000 2,000,000
(Nat'l. Academy of Sciences
Proj.) Series 1999 C, 3.1%
(AMBAC Insured), VRDN (a)
District of Columbia Wtr. &
Swr. Auth.:
Participating VRDN Series 98 2,100,000 2,100,000
5201, 3.11% (Liquidity
Facility Citibank, New York
NA) (a)(b)
Participating VRDN Series MS 4,985,000 4,985,000
1998 29, 3.13% (FSA Insured)
(Liquidity Facility Bank Of
America National Trust &
Savings Assoc) (a)(b)
21,675,000
FLORIDA - 7.9%
Broward County Hsg. Fin. 1,620,000 1,620,000
Auth. Multi-family Hsg. Rev.
(Palm Aire-Oxford Proj.)
Series 1990, 3.1%
(Continental Casualty Co.
Guaranteed), VRDN (a)
Collier County Ind. Dev. 3,500,000 3,500,000
Auth. (Cmnty. School of
Naples Proj.) Series 1999,
3.05%, LOC NationsBank NA,
VRDN (a)
Dade County Ind. Dev. Auth. 5,400,000 5,400,000
(Florida Pwr. & Lt. Co.
Proj.) Series 1993, 3.25%,
VRDN (a)
Dade County Ind. Dev. Rev. 4,000,000 4,000,000
(Dolphins Stadium Proj.)
Series 1985 C, 3.05%, LOC
Societe Generale, France,
VRDN (a)
Dade County Wtr. & Swr. Sys. 24,000,000 24,000,000
Rev. 2.9% (FGIC Insured)
(BPA Commerzbank AG), VRDN
(a)
Florida Cap. Projects Fin. 13,195,000 13,195,000
Auth. Rev. (Cap. Proj. Ln.
Prog.) Series 1997 A, 3%
(FSA Insured) (BPA CS First
Boston, Inc.), VRDN (a)
Florida Dept. of Envir. 2,180,000 2,180,000
Protection Participating
VRDN Series FR/RI A18, 3.1%
(Liquidity Facility Nat'l.
Westminster Bank PLC) (a)(b)
Florida Hsg. Fin. Agcy. 1,500,000 1,500,000
Multi-family Hsg. Rev. Rfdg.
(Brandon-Oxford Proj.)
Series 1990 C, 3.1%
(Continental Casualty Co.
Guaranteed), VRDN (a)
Florida Muni. Pwr. Agcy.
Series A:
2.95% 4/7/99, LOC First Union 8,100,000 8,100,000
Nat'l. Bank of North
Carolina, CP
3% 4/13/99, LOC First Union 2,700,000 2,700,000
Nat'l. Bank of North
Carolina, CP
Indian River County Hosp.
District Hosp. Rev. Bonds:
Series 1988, 2.8% 4/1/99, LOC 2,000,000 2,000,000
Kredietbank NV, CP mode
Series 1989, 2.8% 4/1/99, LOC 1,000,000 1,000,000
Kredietbank NV, CP mode
Series 1990, 2.8% 4/1/99, LOC 4,300,000 4,300,000
Kredietbank NV, CP mode
Jacksonville Elec. Auth. Rev.:
Series A, 2.85% 4/15/99, CP 2,400,000 2,400,000
Series C 1:
2.8% 4/1/99 (Liquidity 7,000,000 7,000,000
Facility Morgan Guaranty
Trust Co., NY), CP
2.95% 4/9/99 (Liquidity 2,600,000 2,600,000
Facility Morgan Guaranty
Trust Co., NY), CP
Jacksonville Health 1,800,000 1,800,000
Facilities Rev. (Faculty
Practice Assoc.) 3.05%, LOC
NationsBank NA, VRDN (a)
Lee County Hosp. Board Hosp. 5,400,000 5,400,000
Rev. Bonds (Lee Memorial
Hosp. Proj.) Series 1997 B,
3.25% 6/10/99 (Liquidity
Facility SunTrust Bank,
Central FL NA), CP mode
Manatee County Poll. Cont. 2,000,000 2,000,000
Rev. (Florida Pwr. & Lt. Co.
Proj.) Series 1994, 3.1%,
VRDN (a)
Martin County Poll. Cont. 2,700,000 2,700,000
Rev. (Florida Pwr. & Lt. Co.
Proj.) Series 1994, 3.1%,
VRDN (a)
Orange County Health 5,695,000 5,695,000
Facilities Auth. Rev. (SHCC
Svcs., Inc. Proj.) Series
1992, 3%, LOC SunTrust Bank,
Miami NA, VRDN (a)
Palm Beach County School 14,000,000 14,031,378
District TAN 3.625% 10/14/99
Palm Beach County Rev. (Saint 4,000,000 4,000,000
Andrews School Boca Raton)
Series 1998, 3.05%, LOC
NationsBank NA, VRDN (a)
Saint Johns County Ind. Dev. 2,940,000 2,940,000
Auth. Rev. (V.A.W. of
America) Series 1997, 3.05%,
LOC NationsBank NA, VRDN (a)
Saint Lucie County Poll. 2,000,000 2,000,000
Cont. Rev. (Florida Pwr. &
Lt. Co. Proj.) 3.1%, VRDN
(a)
Saint Petersburg Cap. Impt. 3,000,000 3,000,000
Rev. (Florida Int'l. Museum
Proj.) Series 1997 A, 3.1%,
LOC Suntrust Bank, Tampa
Bay, VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
FLORIDA - CONTINUED
Sarasota County Pub. Hosp.
District Hosp. Rev. Bonds
(Sarasota Memorial Hosp.
Proj.) Series A:
2.95% 4/5/99, (Liquidity $ 4,400,000 $ 4,400,000
Facility SunTrust Bank,
Central FL NA) CP mode
3.25% 4/16/99, (Liquidity 3,300,000 3,300,000
Facility SunTrust Bank,
Central FL NA) CP mode
Sunshine State Govt. Fing.
Commission Rev.:
Bonds Series 1986, 2.8% 5,000,000 5,000,000
4/1/99 (AMBAC Insured),
(Liquidity Facility UBS AG)
(Liquidity Facility Toronto
Dominion Bank) CP mode
Series A:
2.8% 4/1/99 (FGIC Insured) 10,280,000 10,280,000
(AMBAC Insured), (Liquidity
Facility Bank of Nova
Scotia) CP
3.2% 6/11/99 (FGIC Insured) 5,500,000 5,500,000
(AMBAC Insured), (Liquidity
Facility Bank of Nova
Scotia) CP
157,541,378
GEORGIA - 3.7%
Albany-Dougherty County Hosp. 5,700,000 5,700,000
Auth. Rev. (Phoebe Puttnay
Memorial Hosp.) Series 1996,
3.1% (AMBAC Insured) (BPA
SunTrust Bank of Atlanta),
VRDN (a)
Columbia County Elderly Auth. 3,335,000 3,335,000
Residential Care Facilities
Rev. (Augusta Residental
Ctr./Brandon Wilde Lifecare
Ctr.) 3.1%, LOC SunTrust
Bank of Atlanta, VRDN (a)
Fulton County Hsg. Auth.
Multi-family Hsg. Rev. Rfdg.:
(Holcomb's Landing Apts. 2,300,000 2,300,000
Proj.) 3%, LOC First Union
Nat'l. Bank of North
Carolina, VRDN (a)
(Spring Creek Crossing Proj.) 22,000,000 22,000,000
3%, LOC Wachovia Bank NA,
VRDN (a)
Georgia Hsg. & Fin. Auth. 3,800,000 3,800,000
Single Family Hsg. Rev.
Bonds Series 1988 C1, 3.2%,
tender 10/1/99
Georgia Muni. Elec. Auth.:
Bonds (Gen. Resolution Proj.) 12,285,000 12,285,000
Series 1985 B, 2.8% 4/1/99,
LOC Morgan Guaranty Trust
Co., NY, CP mode
Series B, 3.2% 7/20/99, LOC 2,657,000 2,657,000
Morgan Guaranty Trust Co.,
NY, LOC Bayerische
Landesbank Girozentrale, CP
Georgia Muni. Gas Auth. Rev. 3,995,000 3,995,000
Bonds (Southern Portfolio I
Proj.) Series D, 3% 4/8/99,
LOC Wachovia Bank NA, CP mode
Marietta Hsg. Auth. 2,000,000 2,000,000
Multi-family Hsg. Rev. Rfdg.
(Wood Pointe Apts.) Series
1993, 3%, LOC First Union
Nat'l. Bank of North
Carolina, VRDN (a)
Metro. Atlanta Rapid Transit
Auth. Participating VRDN:
Series 59, 3.13% (Liquidity 3,500,000 3,500,000
Facility Morgan Stanley,
Dean Witter & Co.) (a)(b)
Series PT 1064, 3.07% 7,000,000 7,000,000
(Liquidity Facility Bank of
America Nat'l. Trust &
Savings Assoc.) (a)(b)
Roswell Hsg. Auth. 5,200,000 5,200,000
Multi-family Hsg. Rev.
(Autumnbrook Apts.) Series
1991 A, 3.2%, LOC Amsouth
Bank, Birmingham, VRDN (a)
73,772,000
HAWAII - 0.2%
Honolulu City & County Gen. 3,900,000 3,900,000
Oblig. Participating VRDN
Series ROC 23, 3.16%
(Liquidity Facility Toronto
Dominion Bank) (a)(b)
IDAHO - 0.4%
Caribou County Poll. Cont.
Rev. Rfdg. (Monsanto Co.
Proj.):
Series 1990, 3.05%, VRDN (a) 3,600,000 3,600,000
Series 1994 A, 3.05%, VRDN 3,000,000 3,000,000
(a)
Series 1994 B, 3.05%, VRDN 1,000,000 1,000,000
(a)
7,600,000
ILLINOIS - 7.1%
Chicago Board of Ed.
Participating VRDN:
Series 1996, 3.21% (Liquidity 9,000,000 9,000,000
Facility Bank of America
Nat'l. Trust & Savings
Assoc.) (a)(b)
Series 1998 115, 3.13% 8,000,000 8,000,000
(Liquidity Facility Morgan
Stanley, Dean Witter & Co.)
(a)(b)
Series FR/RI 98 39, 3.1% 6,500,000 6,500,000
(Liquidity Facility
Commerzbank AG) (a)(b)
Chicago Gen. Oblig.
Participating VRDN:
Series 22, 3.13% (Liquidity 2,300,000 2,300,000
Facility Morgan Stanley,
Dean Witter & Co.) (a)(b)
Series 981302, 3.11% 5,200,000 5,200,000
(Liquidity Facility
Citibank, New York NA)
(a)(b)
Series PT 1031, 3.07% 34,300,000 34,300,000
(Liquidity Facility Bank of
America Nat'l. Trust &
Savings Assoc.) (a)(b)
Chicago Pub. Bldg. 4,400,000 4,400,000
Participating VRDN Series PA
473, 3.09% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Chicago Sales Tax Rev.
Participating VRDN:
Series 1998 92, 3.13% 2,350,000 2,350,000
(Liquidity Facility Morgan
Stanley, Dean Witter & Co.)
(a)(b)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
ILLINOIS - CONTINUED
Chicago Sales Tax Rev.
Participating VRDN: -
continued
Series FR/RI 24, 3.1% $ 5,150,000 $ 5,150,000
(Liquidity Facility Bank of
New York NA) (a)(b)
Chicago Tax Increment Alloc. 11,700,000 11,700,000
Rev. (Stockyards Southeast
Quad) Series 1996 B, 3.1%,
LOC Northern Trust Co.,
Chicago, VRDN (a)
Glendale Heights 1,330,000 1,330,000
Participating VRDN Series PT
106, 3.1% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Illinois Dev. Fin. Auth. Rev.:
(Adventist Health Sys.) 11,000,000 11,000,000
Series A, 3.1% (MBIA
Insured), VRDN (a)
(Palos Comnty. Hosp.) 3% (BPA 2,900,000 2,900,000
First Nat'l. Bank of
Chicago), VRDN (a)
Illinois Edl. Facilities 4,250,000 4,250,000
Auth. Rev. Participating
VRDN Series 1997 U, 3.2%
(Liquidity Facility First
Union Nat'l. Bank of North
Carolina) (a)(b)
Illinois Health Facilities
Auth. Rev.:
(Lake Forest Hosp. Proj.) 2,435,000 2,435,000
3.875%, LOC First Nat'l.
Bank of Chicago, VRDN (a)
Rfdg.:
(Franciscan Eldercare Cmnty. 9,800,000 9,800,000
Svc.) Series 1996 C, 3.05%,
LOC LaSalle Nat'l. Bank,
Chicago, VRDN (a)
Participating VRDN Series 10,345,000 10,345,000
PT-116, 3.07% (Liquidity
Facility RaboBank Nederland
Coop. Central) (a)(b)
Illinois Reg'l. Trans. Auth.
Participating VRDN:
Series SG 82, 3.07% 1,500,000 1,500,000
(Liquidity Facility Societe
Generale, France) (a)(b)
Series SGB 10, 3.16% 6,100,000 6,100,000
(Liquidity Facility Societe
Generale, France) (a)(b)
Winnebago County Rev. (Mill 3,235,000 3,235,000
Proj.) Series 1996, 3.1%,
LOC Bank One, Illinois NA,
VRDN (a)
141,795,000
INDIANA - 1.6%
Fort Wayne Econ. Dev. Rev. 3,950,000 3,950,000
(Edy's Grand Ice Cream
Proj.) Series 1985, 3.125%,
LOC Bank of America Nat'l.
Trust & Savings Assoc., VRDN
(a)
Fort Wayne Poll. Cont. Rev. 4,600,000 4,600,000
(Gen. Motors Corp. Proj.)
3.1%, VRDN (a)
Indianapolis Gas Util. Sys.
Rev.:
3% 4/6/99, CP 2,800,000 2,800,000
3% 4/7/99, CP 3,300,000 3,300,000
Monroe County Independent 11,700,000 11,700,000
Hosp. Auth. (Bloomington
Hosp. Proj.) Series 1999,
2.95% (MBIA Insured), VRDN
(a)
Purdue Univ. Student Fee Rev. 3,200,000 3,200,000
Series D, 2.9%, VRDN (a)
Valparaiso Econ. Dev. Rev. 3,300,000 3,300,000
(Indiana Retirement Cmnty.
Proj.) 3.1%, LOC Bank One,
Indiana NA, VRDN (a)
32,850,000
IOWA - 0.4%
Iowa Fin. Auth. Hosp. 3,800,000 3,800,000
Facilities Rev. (Iowa Health
Sys.) Series 1998 B, 3.05%
(AMBAC Insured), VRDN (a)
Iowa Fin. Auth. Rev. (Wheaton 3,800,000 3,800,000
Franciscan Svcs.) Series
1998 B, 3.075% (MBIA
Insured), VRDN (a)
7,600,000
KANSAS - 0.9%
La Cygne Envir. Impt. Rev. 18,940,000 18,940,000
Rfdg. (Kansas City Pwr. &
Lt. Co.) Series 1994, 3.05%,
VRDN (a)
KENTUCKY - 2.2%
Jefferson County Poll. Cont. 1,300,000 1,300,000
Rev. Rfdg. (Philip Morris
Co., Inc. Proj.) Series
1992, 3.05%, VRDN (a)
Kentucky Asset/Liability
Commission Agcy. Fund Rev.
Bonds Series 1998 A:
2.7% 4/5/99, LOC Commerzbank 1,700,000 1,700,000
AG, CP mode
3% 4/9/99, LOC Commerzbank 3,000,000 3,000,000
AG, CP mode
Kentucky Asset/Liability
Commission Gen. Fund Rev.:
Bonds First Series, 3.5% 4,245,000 4,258,205
3/1/00
TRAN Series B, 4% 6/25/99 9,000,000 9,013,721
Kentucky Econ. Dev. Auth. 10,700,000 10,700,000
Hosp. Facilities Rev.
(Baptist Health Care) 3%
(MBIA Insured), VRDN (a)
Louisville & Jefferson County 1,460,000 1,460,000
Participating VRDN Series PT
69, 3.07% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Mason County Poll. Cont. Rev.
(East Kentucky Pwr. Coop.
Proj.):
Series 1984 B1, 3.05% (Nat'l. 2,200,000 2,200,000
Rural Util. Coop. Fin. Corp.
Guaranteed), VRDN (a)
Series 84 B, 3.05% (Nat'l. 4,300,000 4,300,000
Rural Util. Coop. Fin. Corp.
Guaranteed), VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
KENTUCKY - CONTINUED
Trimble County Poll. Cont.
Rev. Bonds (Louisville Gas &
Elec.):
Series 1992 A, 2.85% 4/13/99, $ 3,400,000 $ 3,400,000
CP mode
Series 1996 A, 3.15% 4/6/99, 2,400,000 2,400,000
CP mode
43,731,926
LOUISIANA - 2.5%
Calcasieu Ind. Dev. Board 10,000,000 10,000,000
Poll. Cont. Rev. Rfdg. (PPG
Industries) Series 1992,
3.1%, VRDN (a)
Jefferson Parish Hosp. 4,250,000 4,250,000
Facilities Rev. (Svc.
District # 2) Series 1985,
3% (FGIC Insured) (BPA
FGIC-SPI), VRDN (a)
Lafayette Econ. Dev. Auth. 3,865,000 3,865,000
Ind. Dev. Rev. Rfdg. (Holt
County Proj.) 3.375%, LOC
Chase Bank of Texas NA, VRDN
(a)
Louisiana Pub. Facilities
Auth. Rev.:
Bonds (Sisters of Charity 2,700,000 2,700,000
Incarnate Word) Series 1997
D, 2.85% 4/6/99 (BPA Toronto
Dominion Bank), CP mode
(Sisters of Charity Incarnate 9,300,000 9,300,000
Word) Series 1997 E, 3.075%
(BPA CS First Boston, Inc.),
VRDN (a)
West Baton Rouge Parish Ind.
District #3 Rev.:
Bonds (Dow Chemical Co. 14,200,000 14,200,000
Proj.) Series 1991, 3%
4/7/99, CP mode
(Dow Chemical Co. Proj.) 5,200,000 5,200,000
Series 1994 B, 3.25%, VRDN
(a)
49,515,000
MARYLAND - 1.4%
Maryland Hsg. & Cmnty. Dev. 8,470,000 8,470,000
Administration Participating
VRDN Series 1997 P, 3.07%
(Liquidity Facility Caisse
des Depots et Consignations)
(a)(b)
Maryland Gen. Oblig. 4,000,000 4,000,000
Participating VRDN Series
1998 33, 3.08% (Liquidity
Facility Morgan Stanley,
Dean Witter & Co.) (a)(b)
Maryland Health & Higher Edl. 7,900,000 7,900,000
Facilities Auth. Rev.
(Charity Oblig. Group)
Series 1997 F, 2.85%, VRDN
(a)
Montgomery County Series 7,200,000 7,200,000
1995, 2.7% 4/5/99 (Liquidity
Facility UBS AG), CP
27,570,000
MASSACHUSETTS - 3.4%
Hingham Gen. Oblig. BAN 3.75% 6,500,000 6,513,483
9/30/99
Massachusetts Bay Trans.
Auth. RAN:
Series 1998 B, 4.25% 9/3/99 45,000,000 45,170,074
Series 1999 A, 3.5% 2/25/00 16,000,000 16,075,680
67,759,237
MICHIGAN - 0.6%
Clinton Co. Econ Dev. Rev. 2,100,000 2,100,000
(Clinton Area Care Ctr.
Proj.) 3.11%, VRDN (a)
Michigan Bldg. Auth. Rev. 5,900,000 5,900,000
Series 2, 3.15% 8/5/99, LOC
Canadian Imperial Bank of
Commerce, CP
Wayne Charter County Arpt. 4,100,000 4,100,000
Rev. Participating VRDN
Series SG 122, 3.07%
(Liquidity Facility Societe
Generale, France) (a)(b)
12,100,000
MINNESOTA - 1.4%
Minnesota Hsg. Fin. Agcy. 1,140,000 1,140,000
Participating VRDN Series PT
114, 3.07% (Liquidity
Facility RaboBank Nederland
Coop. Central) (a)(b)
Minnetonka Multi-family Hsg. 20,900,000 20,900,000
Rev. Rfdg. (Cliffs at
Ridgedale Proj.) Series
1995, 3.1% (Fannie Mae
Guaranteed), VRDN (a)
Rochester Health Care 7,000,000 7,000,000
Facilities Rev. (Mayo
Foundation Proj.) Series
1985 C, 3.2% (BPA RaboBank
Nederland Coop. Central),
VRDN (a)
29,040,000
MISSISSIPPI - 0.2%
Jackson County Port 5,000,000 5,000,000
Facilities Rev. Rfdg.
(Chevron U.S.A., Inc.)
Series 1993, 3.15%, VRDN (a)
MISSOURI - 1.3%
Missouri Envir. Impt. &
Energy Resource Auth. Poll.
Cont. Rev.:
Bonds (Union Elec. Co.) 4,000,000 4,000,000
Series 1985 A, 3% 4/7/99,
LOC UBS AG, CP mode
Series 1993 M, 3.05% (Nat'l. 11,500,000 11,500,000
Rural Util. Coop. Fin. Corp.
Guaranteed), VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
MISSOURI - CONTINUED
Missouri Health & Edl. $ 3,000,000 $ 3,000,000
Facilities Auth. (Lutheran
Senior Svcs.) Series 1996 B,
3.05%, LOC LaSalle Nat'l.
Bank, Chicago, VRDN (a)
Missouri Health & Edl. 4,000,000 4,000,000
Facilities Research
Facilities Rev. (Stowers
Institute Med. Research)
2.95%, LOC Morgan Guaranty
Trust Co., NY, VRDN (a)
Park Hill School District 3,000,000 3,000,000
TRAN Series 1998, 3.55%
6/30/99
25,500,000
NEBRASKA - 0.7%
Nebraska Pub. Pwr. District
Rev. Series A:
3% 4/8/99, CP 6,800,000 6,800,000
3.05% 4/6/99, CP 7,100,000 7,100,000
13,900,000
NEVADA - 0.9%
Nevada Gen. Oblig.
Participating VRDN:
Series FR/RI 36, 3.1% 4,100,000 4,100,000
(Liquidity Facility Bank of
New York NA) (a)(b)
Series SGB 1997 31, 3.16% 8,665,000 8,665,000
(Liquidity Facility Societe
Generale, France) (a)(b)
Series SGB 20, 3.16% 5,815,000 5,815,000
(Liquidity Facility Societe
Generale, France) (a)(b)
18,580,000
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, 3.4% 5/20/99,
CP mode
NEW JERSEY - 0.4%
New Jersey Gen. Oblig. 2.8% 3,500,000 3,500,000
4/1/99 (Liquidity Facility
Bank of Nova Scotia)
(Liquidity Facility
Commerzbank AG), CP
New Jersey Trans. Trust Fund 4,000,000 4,012,937
Auth. Trans. Sys. Bonds
Series B, 5% 6/15/99
7,512,937
NEW MEXICO - 1.6%
Farmington Participating VRDN 33,195,000 33,195,000
Series PT 133, 3.07%
(Liquidity Facility CS First
Boston, Inc.) (a)(b)
NEW YORK - 7.4%
Long Island Pwr. Auth.
Participating VRDN:
Series 1998 10, 3.08% 2,000,000 2,000,000
(Liquidity Facility Bank of
America Nat'l. Trust &
Savings Assoc.) (a)(b)
Series 1998 A, 3.09% 4,000,000 4,000,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(b)
Series PA 420, 3.09% 4,300,000 4,300,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(b)
Metro. Trans. Auth. 8,235,000 8,235,000
Participating VRDN Series PT
1052A, 3.05% (Liquidity
Facility Bank of America
Nat'l. Trust & Savings
Assoc.) (a)(b)
Nassau County Gen. Oblig.:
Participating VRDN Series PT 3,715,000 3,715,000
1069, 3.05% (Liquidity
Facility Bank of America
Nat'l. Trust & Savings
Assoc.) (a)(b)
BAN Series 1999 A, 3.5% 11,000,000 11,016,409
8/17/99
New York City Gen. Oblig.:
Participating VRDN:
Series PT 1042, 3.09% 4,270,000 4,270,000
(Liquidity Facility Bank of
America Nat'l. Trust &
Savings Assoc.) (a)(b)
Series PT 206, 3.09% 1,005,000 1,005,000
(Liquidity Facility
Bayerische Hypo-und
Vereinsbank AG) (a)(b)
Series 1994 B4, 3.15%, LOC 2,100,000 2,100,000
UBS AG, VRDN (a)
Series 1995 B5, 3.2% (MBIA 14,305,000 14,305,000
Insured) (BPA Bank of Nova
Scotia), VRDN (a)
Series 1995 B8, 2.85%, LOC 14,000,000 14,000,000
Bayerische Landesbank
Girozentrale, VRDN (a)
New York City Muni. Wtr. Fin.
Auth.:
Participating VRDN:
Series PA 441, 3.05% 4,300,000 4,300,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(b)
Series PT 1032, 3.05% 18,700,000 18,700,000
(Liquidity Facility Bank of
America Nat'l. Trust &
Savings Assoc.) (a)(b)
Series SGB 25, 3.16% 9,200,000 9,200,000
(Liquidity Facility Societe
Generale, France) (a)(b)
Series SGB 26, 3.16% 11,400,000 11,400,000
(Liquidity Facility Societe
Generale, France) (a)(b)
Series 1, 2.7% 4/8/99, LOC 4,800,000 4,800,000
Commerzbank AG, LOC Toronto
Dominion Bank, CP
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
NEW YORK - CONTINUED
New York City Muni. Wtr. Fin.
Auth.: - continued
Series 5 B, 2.95% 4/13/99, $ 2,600,000 $ 2,600,000
LOC Westdeutsche Landesbank
Girozentrale, LOC Bayerische
Landesbank Girozentrale, CP
New York City Transitional 4,000,000 4,000,000
Fin. Auth. Rev. Series A 2,
2.85% (Liquidity Facility
Bank of Nova Scotia), VRDN
(a)
New York State Energy 3,450,000 3,450,000
Research & Dev. Auth.
Participating VRDN Series PA
450, 3.05% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
New York State Local Govt. 2,000,000 2,000,000
Assistance Corp.
Participating VRDN Series PT
1040, 3.05% (Liquidity
Facility Bank of America
Nat'l. Trust & Savings
Assoc.) (a)(b)
New York State Med. Care
Facilities Fin. Agcy.
Participating VRDN:
Series PA 89, 3.05% 3,790,000 3,790,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(b)
Series PT 145A, 3.05% 4,655,000 4,655,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(b)
New York State Urban Dev. 10,000,000 10,000,000
Corp. Participating VRDN
Series SG 33, 3.05%
(Liquidity Facility Societe
Generale, France) (a)(b)
147,841,409
NEW YORK & NEW JERSEY - 0.2%
Port Auth. New York & New 4,700,000 4,700,000
Jersey Gen. Oblig.
Participating VRDN Series PT
1077, 3.05% (Liquidity
Facility Bank of America
Nat'l. Trust & Savings
Assoc.) (Liquidity Facility
BankAmerica Corp.) (a)(b)
NORTH CAROLINA - 1.3%
North Carolina Eastern Muni. 1,600,000 1,600,000
Pwr. Agcy. 3% 4/8/99, LOC
Canadian Imperial Bank of
Commerce, CP
North Carolina Eastern Muni. 6,860,000 6,860,000
Pwr. Auth. Bonds 2.95%
4/8/99, LOC Morgan Guaranty
Trust Co., NY, LOC UBS AG,
CP mode
North Carolina Edl. 4,000,000 4,000,000
Facilities Fin. Agcy. Rev.
(Johnson C. Smith Univ.)
Series 1999, 3.2%, LOC First
Union Nat'l. Bank of North
Carolina, VRDN (a)
North Carolina Med. Care 5,000,000 5,000,000
Commission Hosp. Rev.
(Lexington Memorial Hosp.
Proj.) 3.2%, LOC First Union
Nat'l. Bank of North
Carolina, VRDN (a)
Raleigh-Durham Arpt. Auth.
Spl. Facilities Rev.:
(American Airlines, Inc.) 4,500,000 4,500,000
Series 1995 A, 3.2%, LOC
NationsBank NA, LOC Royal
Bank of Canada, VRDN (a)
Rfdg. (American Airlines, 3,500,000 3,500,000
Inc.) Series 1995-A, 3.2%,
LOC NationsBank NA, LOC
Royal Bank of Canada, VRDN
(a)
25,460,000
NORTH DAKOTA - 0.1%
Oliver County Poll. Cont. 2,950,000 2,950,000
Rev. Participating VRDN
Series MSDW 1998 12, 3.13%
(Liquidity Facility Morgan
Stanley, Dean Witter & Co.)
(a)(b)
OHIO - 3.2%
Cleveland Wtrwks. 3,650,000 3,650,000
Participating VRDN Series
58, 3.08% (Liquidity
Facility Morgan Stanley,
Dean Witter & Co.) (a)(b)
Clinton County Hosp. Rev. 10,800,000 10,800,000
(Ohio Hosp. Cap., Inc.
Pooled Fing. Prog.) Series
1998, 3.1%, LOC Fifth Third
Bank, Cincinnati, VRDN (a)
Dublin Gen. Oblig. BAN Series 5,500,000 5,504,182
1998 C, 3.25% 9/16/99
Franklin County Ind. Dev. 1,700,000 1,700,000
Rev. Rfdg. (Alco Standard
Corp. Proj.) Series 1994,
3.05%, LOC NationsBank NA,
VRDN (a)
Greene County Gen. Oblig. BAN 4,302,400 4,308,071
3.9% 9/9/99
Hamilton County Sales Tax 2,400,000 2,400,000
Participating VRDN Series
15, 3.08% (Liquidity
Facility Bank of America
Nat'l. Trust & Savings
Assoc.) (a)(b)
Ohio Higher Edl. Facilities 24,110,000 24,110,000
Rev. (Pooled Fing. Prog.)
Series 1997, 3.1%, LOC Fifth
Third Bank, Cincinnati, VRDN
(a)
Ohio Infrastructure Impt. 2,390,000 2,419,537
Bonds Series 1998 B, 4.5%
2/1/00
Summit County Civic 3,890,000 3,890,000
Facilities Rev. (YMCA of
Akron) 3%, LOC Key Bank, NA,
VRDN (a)
Sycamore Ohio Cmnty. School 5,000,000 5,013,839
District BAN 4.2% 6/29/99
63,795,629
PENNSYLVANIA - 6.8%
Allegheny County Hosp. Dev. 2,255,000 2,255,000
Auth. Rev. (St. Margaret
Mem. Hosp.) Series 1992 A,
3.15%, LOC Mellon Bank NA,
Pittsburgh, VRDN (a)
Allegheny County Ind. Dev. 4,140,000 4,140,000
Auth. (Jewish Home & Hosp.
for Aged) Series 1996 B,
3.15%, LOC PNC Bank NA, VRDN
(a)
Beaver County Ind. Dev. Auth. 1,500,000 1,500,000
Poll. Cont. Rev. Bonds
(Duquesne Lt. Co. Proj.)
Series 1994, 2.95% 4/7/99,
LOC UBS AG, CP mode
Berks County Ind. Dev. Auth. 1,500,000 1,500,000
Ind. Dev. Rev. (Continental
Assurance Co. Proj.) Series
82, 3% (Continental Casualty
Co. Guaranteed), VRDN (a)
Dallastown Area School 1,700,000 1,700,000
District York County Series
1998, 3.09% (FGIC Insured)
(BPA FGIC-SPI), VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
PENNSYLVANIA - CONTINUED
Dauphin County Gen. Auth. Rev.:
(All-Health Pooled Fing.
Prog.):
Series 1997 A, 3.1% (FSA $ 39,390,000 $ 39,390,000
Insured), VRDN (a)
Series 1997 B, 3.1% (FSA 25,000,000 25,000,000
Insured) (BPA CS First
Boston, Inc.), VRDN (a)
(School District Pooled Fing. 14,400,000 14,400,000
Prog.) 3.05% (AMBAC Insured)
(BPA Commerzbank AG), VRDN
(a)
Delaware County Auth. Hosp. 4,900,000 4,900,000
Rev. (Crozer-Chester Med.
Ctr.) Series 1996, 3.11%,
LOC Kredietbank NV, VRDN (a)
Lancaster Higher Ed. Auth. 14,805,000 14,805,000
College Rev. (Franklin &
Marshall College) 3.11% (BPA
Chase Manhattan Bank), VRDN
(a)
Lehigh County Ind. Dev. Auth. 3,440,000 3,440,000
Rev. (The Keebler Co.)
Series 1992, 3.1%, LOC Bank
of Nova Scotia, VRDN (a)
Pennsylvania Econ. Dev. Fing. 2,150,000 2,150,000
Auth. Econ. Dev. Rev.
(Foxdale Village Proj.)
Series 1989 C, 3.15%, LOC
PNC Bank NA, VRDN (a)
Pennsylvania Gen. Oblig. 1,450,000 1,467,200
Bonds Second Series, 5%
11/15/99 (AMBAC Insured)
Philadelphia Hosp. & Higher 1,300,000 1,300,000
Ed. Facilities Health Sys.
Rev. Bonds (Jefferson Health
Sys. Proj.) Series 1999 B,
3.25%, tender 3/31/00
Philadelphia Ind. Dev. Rev. 3,585,000 3,585,000
(GDL Estates Corp. Proj.)
3.1%, LOC First Union Nat'l.
Bank of North Carolina, VRDN
(a)
Philadelphia Redev. Auth. 3,500,000 3,500,000
School Rev. (School for the
Deaf) 3.2%, LOC PNC Bank NA,
VRDN (a)
Scranton-Lackawanna Health & 3,900,000 3,900,000
Welfare Auth. Rev. (Elan
Gardens Proj.) Series 1996,
3.25%, LOC PNC Bank NA, VRDN
(a)
South Fork Muni. Auth. Hosp. 5,070,000 5,070,000
Rev. (Lee Hosp. Proj.)
Series 1993 B, 3.15%, LOC
PNC Bank NA, VRDN (a)
Southeastern Pennsylvania 2,125,000 2,125,000
Trans. Auth. Participating
VRDN Series 109, 3.06%
(Liquidity Facility Morgan
Stanley, Dean Witter & Co.)
(a)(b)
West Cornwall Township Muni. 780,000 780,000
Auth. (Lebanon Valley
Brethren Home) 3.1%, LOC
First Union Nat'l. Bank of
North Carolina, VRDN (a)
136,907,200
RHODE ISLAND - 0.1%
Rhode Island Health & Ed. 1,995,000 1,995,000
Bldg. Corp. Rev. (Providence
Country Day School) Series
1996, 3.1%, LOC Fleet Nat'l.
Bank, VRDN (a)
SOUTH CAROLINA - 2.3%
Piedmont Muni. Pwr. Agcy. 11,700,000 11,700,000
Elec. Rev. Series 1996 D,
3.05% (MBIA Insured), VRDN
(a)
South Carolina Edl. 4,000,000 4,000,000
Facilities Auth. (Allen
Univ. Proj.) 3.05%, LOC
NationsBank 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, 3.1% (Continental
Casualty Co. Guaranteed),
VRDN (a)
(Greenville Oxford) Series 4,855,000 4,855,000
1990 A, 3.1% (Continental
Casualty Co. Guaranteed),
VRDN (a)
(Richland Oxford) Series 1990 5,130,000 5,130,000
C, 3.1% (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, 3.05%, LOC
NationsBank NA, VRDN (a)
South Carolina Trans.
Infrastructure:
Bonds Series 1998 A, 4% 2,325,000 2,335,803
10/1/99 (MBIA Insured)
Participating VRDN Series 2,900,000 2,900,000
1998 75, 3.13% (Liquidity
Facility Morgan Stanley,
Dean Witter & Co.) (a)(b)
46,500,803
SOUTH DAKOTA - 0.3%
South Dakota Health & Edl. 5,500,000 5,500,000
Facilities Auth. Rev. Rfdg.
(Sioux Valley Hosp.) Series
1992 A, 3.1%, VRDN (a)
TENNESSEE - 0.9%
Jackson Health & Hsg. 3,585,000 3,585,000
Facilities Board
Multi-family Rev. Rfdg.
(Post House North Apts.
Proj.) 3.15%, LOC
Southtrust Bank Alabama,
VRDN (a)
Knoxville Wtr. Rev. 3,540,000 3,540,000
Participating VRDN Series
BTP 57, 3.25% (Liquidity
Facility Automatic Data
Processing, Inc.) (a)(b)
Memphis Gen. Impt. 30,000 30,000
Participating VRDN Series
SGB 23, 3.16% (Liquidity
Facility Societe Generale,
France) (a)(b)
Metro. Govt. of Nashville & 2,100,000 2,100,000
Davidson County
Participating VRDN Series
SGA 11, 3.09% (Liquidity
Facility Societe Generale,
France) (a)(b)
Rutherford County Ind. Dev. 795,000 795,000
Board Ind. Dev. Rev.
(Cumberland-Swan, Inc.
Proj.) Series 1987, 3.1%,
LOC SunTrust Bank, Nashville
NA, VRDN (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
TENNESSEE - CONTINUED
Sevier County Pub. Bldg.
Auth. Rev.:
Series 2D 2, 3% (AMBAC $ 4,000,000 $ 4,000,000
Insured), VRDN (a)
Series D 1, 3% (AMBAC 1,500,000 1,500,000
Insured), VRDN (a)
Shelby County 3% 4/7/99, CP 1,500,000 1,500,000
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 of
Chicago)
18,550,000
TEXAS - 17.0%
Austin Hsg. Fin. Corp. 6,000,000 6,000,000
Multi-family Hsg. Rev.
(Riverchase Proj.) Series
1985 A, 3.2%, LOC Household
Fin. Corp., VRDN (a)
Austin Independent School
District Variable Rate TRAN:
3.72% 8/31/99 (a)(c) 6,600,000 6,600,000
Austin Util. Sys. Rev. 2,300,000 2,300,000
Participating VRDN Series PT
127, 3.07% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Bexar County Health 6,400,000 6,400,000
Facilities Dev. Corp. Rev.
(Warm Springs Rehabilitation
Proj.) Series 1997, 3.15%,
LOC Chase Bank of Texas NA,
VRDN (a)
Brazos River Hbr. Navigation 5,000,000 5,000,000
District Rev. Bonds (Dow
Chemical Proj.) Series 1991,
3% 4/7/99, CP mode
Coastal Wtr. Auth. 12,100,000 12,100,000
Participating VRDN Series 97
J, Class A, 3.07% (Liquidity
Facility Caisse des Depots
et Consignations) (a)(b)
Colorado River Muni. Wtr. 1,280,000 1,280,000
District Rev. Participating
VRDN Series PA 187, 3.07%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (a)(b)
Comal County Health 5,300,000 5,300,000
Facilities Dev. Rev.
(McKenna Memorial Health
Sys.) 3.15%, LOC Chase Bank
of Texas NA, VRDN (a)
Dallas Area Rapid Transit 11,000,000 11,000,000
Sales Tax Rev. Series A,
3.2% 7/23/99, LOC Bayerische
Landesbank Girozentrale,
LOC Westdeutsche Landesbank
Girozentrale, CP
Dallas Gen. Oblig. 14,200,000 14,200,000
Participating VRDN Series
1998 93, 3.08% (Liquidity
Facility Morgan Stanley,
Dean Witter & Co.) (a)(b)
Dallas Wtr. & Swr. Sys. Rev. 1,350,000 1,350,000
Series B, 3% 4/21/99, CP
Farmers Branch Ind. Dev. 3,700,000 3,700,000
Corp. Rev. Rfdg. (PPG Ind.,
Inc. Proj.) Series 1992,
3.1%, VRDN (a)
Fort Worth Wtr. & Swr. Rev.
Series B:
2.85% 5/3/99, CP 2,900,000 2,900,000
2.85% 5/11/99, CP 1,600,000 1,600,000
Gaudalupe-Blanco River Auth. 2,200,000 2,200,000
Poll. Cont. Rev. Rfdg.
(Central Pwr. & Lt. Co.)
3.15%, LOC ABN-AMRO Bank NV,
VRDN (a)
Grapevine-Colleyville 6,575,000 6,575,000
Independent School District
Rfdg. Participating VRDN
Series SG 69, 3.07%
(Liquidity Facility Societe
Generale, France) (a)(b)
Greater East Texas Higher Ed. 10,200,000 10,200,000
Auth. Student Ln. Rev. Rfdg.
Bonds Series 1992 A, 3.55%,
tender 9/1/99, LOC Student
Ln. Marketing Assoc.
Harris County Gen. Oblig. 14,600,000 14,600,000
Series B, 2.95% (BPA Morgan
Guaranty Trust Co., NY),
VRDN (a)
Harris County Health 2,000,000 2,000,000
Facilities Dev. Corp. School
Health Care Rev. Bonds
(Sisters of Charity
Incarnate Word) Series 1997
A, 2.95% 4/7/99 (BPA Toronto
Dominion Bank), CP mode
Houston Gen. Oblig.:
Series A, 2.95% 4/7/99, CP 17,900,000 17,900,000
Series B:
3% 4/7/99, CP 12,000,000 12,000,000
3.25% 4/6/99, CP 9,600,000 9,600,000
Series C, 2.95% 4/7/99, CP 2,200,000 2,200,000
TRAN Series 1998 A, 3.56% 4,800,000 4,800,000
4/15/99
Houston Hsg. Fin. Corp. Rfdg. 11,560,000 11,560,000
Participating VRDN Series PT
1, 3.07% (FSA Insured)
(Liquidity Facility Banque
Nationale de Paris) (a)(b)
Houston Wtr. & Swr. Sys. Rev.:
Participating VRDN:
Series FR/RI 32, 3.1% 9,000,000 9,000,000
(Liquidity Facility Bank of
New York NA) (a)(b)
Series FR/RI 5, 3.1% 9,600,000 9,600,000
(Liquidity Facility Bank of
New York NA) (a)(b)
Rfdg. Participating VRDN 6,840,000 6,840,000
Series SG 24, 3.16%
(Liquidity Facility Societe
Generale, France) (a)(b)
Series A:
2.85% 4/12/99, CP 4,900,000 4,900,000
2.9% 4/1/99, CP 2,000,000 2,000,000
3% 4/6/99, CP 2,600,000 2,600,000
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
TEXAS - CONTINUED
North Central Texas Health
Facilities Dev. Rev. Bonds
(Dallas Methodist Hosp.
Proj.) Series 1998:
3% 4/9/99 (AMBAC Insured), $ 8,700,000 $ 8,700,000
(Liquidity Facility RaboBank
Nederland Coop. Central) CP
mode
3.15% 8/13/99 (AMBAC 31,000,000 31,000,000
Insured), (Liquidity
Facility RaboBank Nederland
Coop. Central) CP mode
3.2% 8/12/99 (AMBAC Insured), 3,300,000 3,300,000
(Liquidity Facility RaboBank
Nederland Coop. Central) CP
mode
Plano Health Facilities Dev.
Corp. Hosp. Rev. Bonds
(Children's & Presbyterian
Health Care Ctr.):
3% 4/7/99 (MBIA Insured) (BPA 8,400,000 8,400,000
Chase Bank of Texas NA), CP
mode
3% 4/7/99 (MBIA Insured) (BPA 5,000,000 5,000,000
Chase Bank of Texas NA), CP
mode
San Antonio Elec. & Gas Sys.
Rev. Participating VRDN:
Series 1998 76, 3.08% 3,300,000 3,300,000
(Liquidity Facility Morgan
Stanley, Dean Witter & Co.)
(a)(b)
Series 1998 77, 3.08% 8,495,000 8,495,000
(Liquidity Facility Morgan
Stanley, Dean Witter & Co.)
(a)(b)
San Antonio Hotel Occupacy 2,100,000 2,100,000
Tax Rev. Participating VRDN
Series SG 51, 3.07%
(Liquidity Facility Societe
Generale, France) (a)(b)
San Antonio Wtr. Rev. 4,125,000 4,125,000
Participating VRDN Series 96
4306 Class A, 3.11%
(Liquidity Facility
Citibank, New York NA) (a)(b)
Sherman Higher Ed. Fin. Corp. 12,700,000 12,700,000
(Austin College Proj.)
Series 1997, 3.05%, LOC
NationsBank NA, VRDN (a)
Texas Dept. Hsg. & Cmnty. 3,147,000 3,147,000
Affairs Participating VRDN
Series PA 126, Single Family
Rev. 3.1% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Texas Dept. Hsg. & Cmnty. 2,240,000 2,240,000
Affairs Mtg. Rev.
Participating VRDN Series PT
9, 3.07% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
Texas Gen. Oblig. TRAN Series 19,600,000 19,704,349
1998 1999, 4.5% 8/31/99
Texas Muni. Pwr. Agcy. Rev.
BAN:
3% 4/7/99, CP 8,300,000 8,300,000
3% 4/8/99, CP 1,000,000 1,000,000
Texas Wtr. Dev. Board Rev. 1,900,000 1,900,000
Participating VRDN Series
SGA 23, 3.09% (Liquidity
Facility Societe Generale,
France) (a)(b)
Univ. of Texas Rev. 8,840,000 8,840,000
Participating VRDN Series
1998 97, 3.13% (Liquidity
Facility Morgan Stanley,
Dean Witter & Co.) (a)(b)
340,556,349
UTAH - 1.5%
Davis County School District 2,000,000 2,000,848
Bonds 3.25% 6/1/99
Emery County Poll. Cont. Rev. 3,700,000 3,700,000
Rfdg. (Pacificorp. Proj.)
Series 1994, 3.2% (AMBAC
Insured) (BPA Bank of Nova
Scotia), VRDN (a)
Intermountain Pwr. Agcy.:
Bonds Series 1985 E2, 3% 5,000,000 5,000,000
4/7/99 (AMBAC Insured) (BPA
UBS AG), CP mode
Series 1997 B2:
3.15% 7/21/99, CP 2,300,000 2,300,000
3.2% 7/22/99, CP 2,400,000 2,400,000
Series 1997 B3, 2.7% 4/5/99, 6,050,000 6,050,000
CP
Series 97 B2, 3% 4/8/99, CP 4,500,000 4,500,000
Timpanogos Spl. Svcs. 1,000,000 1,000,000
Participating VRDN Series SG
83, 3.07% (Liquidity
Facility Societe Generale,
France) (a)(b)
Utah Gen. Oblig. Series 1997 4,000,000 4,000,000
A, 2.85% 4/6/99, CP
30,950,848
VIRGINIA - 2.6%
Chesterfield County Ind. Dev.
Auth. Poll. Cont. Rev. Bonds:
(Virginia Elec. Pwr. Co.
Proj.):
Series 1985, 2.95% 4/1/99, CP 2,400,000 2,400,000
mode
Series 1987 A, 3.1% 8/13/99, 2,350,000 2,350,000
CP mode
Series B:
3.1% 7/23/99, CP mode 5,000,000 5,000,000
3.1% 8/12/99, CP mode 1,500,000 1,500,000
3.15% 8/6/99, CP mode 2,985,000 2,985,000
Series B, 3% 4/12/99, CP mode 4,450,000 4,450,000
Louisa Ind. Dev. Auth. Poll.
Cont. Rev. Bonds (Virginia
Elec. Pwr. Co. Proj.):
Series 1985:
3% 4/12/99, CP mode 6,800,000 6,800,000
3.1% 7/23/99, CP mode 8,000,000 8,000,000
Series 1987, 2.95% 4/1/99, CP 2,500,000 2,500,000
mode
Prince William County Ind. 1,700,000 1,700,000
Dev. Auth. Poll. Cont. Rev.
Bonds (Virginia Elec. Pwr.
Co. Proj.) 2.95% 4/1/99, CP
mode
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
VIRGINIA - CONTINUED
Roanoke Ind. Dev. Auth. Hosp. $ 4,500,000 $ 4,500,000
Rev. (Carilion Health Sys.)
Series 1997 B, 3.2%, VRDN (a)
York County Ind. Dev. Auth.
Poll. Cont. Rev. Bonds
(Virginia Elec. Pwr. Co.
Proj.) Series 1985:
2.75% 4/5/99, CP mode 4,200,000 4,200,000
2.8% 4/6/99, CP mode 3,300,000 3,300,000
3% 4/9/99, CP mode 3,000,000 3,000,000
52,685,000
WASHINGTON - 2.6%
Kent Gen. Oblig. 4,100,000 4,100,000
Participating VRDN Series
SGA 27, 3.09% (Liquidity
Facility Societe Generale,
France) (a)(b)
Washington Gen. Oblig.
Participating VRDN:
Series 1993 C, Class A, 3.11% 21,700,000 21,700,000
(Liquidity Facility
Citibank, New York NA)
(a)(b)
Series SGA 36, 3.09% 2,000,000 2,000,000
(Liquidity Facility Societe
Generale, France) (a)(b)
Washington Health Care 1,200,000 1,200,000
Facilities Auth. Rev.
(Virginia Mason Med. Ctr.)
Series 1997 B, 3.1% (MBIA
Insured), VRDN (a)
Washington Motor Vehicle Fuel 18,015,000 18,015,000
Tax Participating VRDN
Series 964701, 3.11%
(Liquidity Facility
Citibank, New York NA)
(a)(b)
Washington Pub. Pwr. Supply 3,100,000 3,100,000
Sys. Nuclear Proj. #1 Rev.
Participating VRDN Series PT
180, 3.1% (Bonneville Pwr.
Admin. Guaranteed)
(Liquidity Facility
Bayerische Hypo-und
Vereinsbank AG) (a)(b)
Washington Pub. Pwr. Supply 1,450,000 1,454,840
Sys. Nuclear Proj. #2 Rev.
Rfdg. Bonds Series A, 4.75%
7/1/99
51,569,840
WEST VIRGINIA - 0.8%
Cabell County Life Care
Facilities Rev.:
(Foster Foundation) Series 4,100,000 4,100,000
1988, 3.11%, LOC Huntington
Nat'l. Bank, Columbus, VRDN
(a)
Series 1988, 3.11%, LOC 1,000,000 1,000,000
Huntington Nat'l. Bank,
Columbus, VRDN (a)
Cabell County Nursing Home 1,890,000 1,890,000
Facilities Rev. (17th Street
Ltd. Partnership) Series
1993, 3.05%, LOC
NationsBank NA, VRDN (a)
Kanawha County Commercial 3,085,000 3,085,000
Dev. Rev. Rfdg. (McJunkin
Corp. Proj.) Series 1991,
3.05%, LOC NationsBank NA,
VRDN (a)
West Virginia Building 6,000,000 6,000,000
Commission (Davis & Elkins
College Proj.) 3.11%, LOC
Huntington Nat'l. Bank,
Columbus, VRDN (a)
16,075,000
WISCONSIN - 0.9%
Janesville School District 1,400,000 1,402,912
TRAN 3.5% 9/30/99
Kenosha Unified School 4,700,000 4,700,000
District #001 TRAN 3.38%
9/28/99
New Berlin School District 2,100,000 2,103,701
TRAN 3.75% 8/26/99
Rothschild Poll Cont. Rev. 2,400,000 2,400,000
(Weyherhaeuser Co. Proj.)
Series 1982, 3.1%, VRDN (a)
Wausau School District TRAN 2,000,000 2,002,572
3.75% 9/22/99
Wisconsin Gen. Oblig. RAN 3,000,000 3,007,054
4.5% 6/15/99
Wisconsin Trans. Rev. Series 3,007,000 3,007,000
1997, 2.7% 4/5/99, CP
18,623,239
WYOMING - 0.5%
Lincoln County Poll. Cont. 7,600,000 7,600,000
Rev. (Exxon Co. Proj.)
Series 1985, 3.15%, VRDN (a)
Wyoming Cmnty. Dev. Auth. 1,995,000 1,995,000
Participating VRDN Series PT
112, 3.07% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (a)(b)
9,595,000
MULTIPLE STATES - 1.1%
New England Waste Disp. Auth. 11,185,000 11,185,000
Participating VRDN Series
96C2001, 3.11% (Liquidity
Facility Citibank, New York
NA) (a)(b)
Stephens Equity Trust I 11,000,000 11,000,000
Participating VRDN Series
1996, 3.21%, LOC Bayerische
Hypotheken-und Wechselbank
AG, LOC Bayerische Hypo-und
Vereinsbank AG (a)(b)
22,185,000
TOTAL INVESTMENT IN $ 2,004,438,684
SECURITIES - 100%
Total Cost for Income Tax Purposes $ 2,004,438,684
</TABLE>
SECURITY TYPE ABBREVIATIONS
BAN - BOND ANTICIPATION NOTE
CP - COMMERCIAL PAPER
RAN - REVENUE ANTICIPATION NOTE
TAN - TAX ANTICIPATION NOTE
TRAN - TAX AND REVENUE ANTICIPATION NOTE
VRDN - VARIABLE RATE DEMAND NOTE
LEGEND
(a) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(b) Provides evidence of ownership in one or more underlying municipal
bonds.
(c) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
SECURITY ACQUISITION DATE COST
Austin Independent School 10/20/98 - 11/17/98 $ 6,600,000
District Variable Rate TRAN
3.72% 8/31/99
OTHER INFORMATION
At the end of the period, restricted securities (excluding 144A
issues) amounted to $6,600,000 or 0.3% of net assets.
INCOME TAX INFORMATION
At May 31, 1998, the fund had a capital loss carryforward of
approximately $347,000 all of which will expire on May 31, 2005.
TAX-EXEMPT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
ASSETS
Investment in securities, at $ 2,004,438,684
value - See accompanying
schedule
Cash 6,509
Interest receivable 13,051,601
TOTAL ASSETS 2,017,496,794
LIABILITIES
Payable for investments $ 64,461,849
purchased
Distributions payable 3,646,569
Accrued management fee 221,857
Distribution fees payable 13,323
Other payables and accrued 132,327
expenses
TOTAL LIABILITIES 68,475,925
NET ASSETS $ 1,949,020,869
Net Assets consist of:
Paid in capital $ 1,949,171,348
Accumulated net realized gain (150,479)
(loss) on investments
NET ASSETS $ 1,949,020,869
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($1,876,634,781 (divided by)
1,876,779,673 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($23,578,618 (divided by)
23,580,437 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($48,807,470 (divided by)
48,811,238 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 1999
INTEREST INCOME $ 79,275,750
EXPENSES
Management fee $ 4,613,456
Transfer agent fees
Class I 532,409
Class II 12,483
Class III 13,570
Distribution fees
Class II 64,023
Class III 112,279
Accounting fees and expenses 271,871
Non-interested trustees' 3,178
compensation
Custodian fees and expenses 141,845
Registration fees
Class I 111,594
Class II 8,661
Class III 8,873
Audit 33,223
Miscellaneous 12,543
Total expenses before 5,940,008
reductions
Expense reductions (1,186,603) 4,753,405
NET INTEREST INCOME 74,522,345
NET REALIZED GAIN (LOSS) ON 105,653
INVESTMENTS
NET INCREASE IN NET ASSETS $ 74,627,998
RESULTING FROM OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 1999 YEAR ENDED MARCH 31, 1998
ASSETS
Operations Net interest income $ 74,522,345 $ 80,770,114
Net realized gain (loss) 105,653 143,752
Increase (decrease) in net - (104)
unrealized gain from
accretion of discount
NET INCREASE (DECREASE) IN 74,627,998 80,913,762
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (71,884,455) (78,055,074)
Class II (1,301,004) (1,433,516)
Class III (1,336,886) (1,281,524)
TOTAL DISTRIBUTIONS (74,522,345) (80,770,114)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I (259,352,346) 113,557,163
Class II (7,252,488) (29,425,399)
Class III 11,534,985 10,958,613
TOTAL SHARE TRANSACTIONS (255,069,849) 95,090,377
TOTAL INCREASE (DECREASE) (254,964,196) 95,234,025
IN NET ASSETS
NET ASSETS
Beginning of period 2,203,985,065 2,108,751,040
End of period $ 1,949,020,869 $ 2,203,985,065
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
FINANCIAL HIGHLIGHTS - CLASS I
YEARS ENDED MARCH 31, 1999 1998 1997 1996 1995 E 1994 F
SELECTED PER-SHARE DATA
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 .032 .035 .033 .036 .027 .024
Less Distributions
From net interest income (.032) (.035) (.033) (.036) (.027) (.024)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 3.28% 3.60% 3.40% 3.70% 2.74% 2.44%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,876,635 $ 2,135,884 $ 2,022,191 $ 1,806,918 $ 1,876,815 $ 2,390,663
(000 omitted)
Ratio of expenses to average .20% D .20% D .20% D .19% D .18% A, D .18% D
net assets
Ratio of net interest income 3.24% 3.54% 3.34% 3.64% 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
YEARS ENDED MARCH 31, 1999 1998 1997 1996 E
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .031 .034 .032 .013
Less Distributions
From net interest income (.031) (.034) (.032) (.013)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURNB, C 3.13% 3.44% 3.25% 1.34%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 23,579 $ 30,829 $ 60,247 $ 968
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 3.05% 3.41% 3.21% 3.17% A
to average net assets
FINANCIAL HIGHLIGHTS - CLASS III
YEARS ENDED MARCH 31, 1999 1998 1997 1996 F
SELECTED PER-SHARE DATA
Net asset value, beginning of $ 1.000 $ 1.000 $ 1.000 $ 1.000
period
Income from Investment
Operations
Net interest income .030 .033 .031 .013
Less Distributions
From net interest income (.030) (.033) (.031) (.013)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 3.03% 3.34% 3.14% 1.30%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 48,807 $ 37,272 $ 26,313 $ 988
(000 omitted)
Ratio of expenses to average .45% D .45% D .45% D .45% A, D
net assets
Ratio of net interest income 2.98% 3.28% 3.09% 3.00% A
to average net assets
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.
F 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 March 31, 1999
1. SIGNIFICANT ACCOUNTING POLICIES.
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio,
Domestic Portfolio, Money Market Portfolio and Tax-Exempt Portfolio
(formerly Treasury Only, Treasury, Government, Domestic, Money Market
and Tax-Exempt, respectively ) (the funds) are funds of Colchester
Street Trust (formerly Fidelity Institutional Cash Portfolios for
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio,
Domestic Portfolio and Money Market Portfolio; and formerly Fidelity
Institutional Tax-Exempt Cash Portfolios for Tax-Exempt Portfolio )
(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 currently offers three classes of shares, Class I, Class II
and Class III, each of which has equal rights as to assets and voting
privileges except that each class bears different distribution and
transfer agent expenses and certain registration fees. Each class has
exclusive voting rights with respect to its distribution plans.
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 the funds:
SECURITY VALUATION. As permitted under Rule 2a-7 of the 1940 Act, and
certain conditions therein, securities are valued initially at cost
and thereafter assume a constant amortization to maturity of any
discount or premium.
INCOME TAXES. As a qualified regulated investment company under
Subchapter M of the Internal Revenue Code, each fund is not subject to
income taxes to the extent that it distributes substantially all of
its taxable income for the fiscal year. The schedules of investments
include information regarding income taxes under the caption "Income
Tax Information."
INTEREST INCOME. Interest income, which includes amortization of
premium and accretion of discount, is accrued as earned. For Tax
Exempt Portfolio, accretion of discount represents unrealized gain
until realized at the time of a security disposition or maturity.
ALLOCATED EARNINGS AND EXPENSES. Interest income, expenses (other than
expenses incurred under the Distribution and Service Plan, Transfer
Agent Agreement and certain registration fees for each class) and
realized and unrealized gains or losses on investments are allocated
to each class of shares based upon their relative net assets.
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 a month or more
after the date of the transaction. The price of the underlying
securities is fixed at the time the transaction is negotiated. The
market 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. The payables and receivables associated with the
purchases and sales of when-issued securities having the same
settlement date and broker are offset. When-issued securities that
have been purchased from and sold to different brokers are reflected
as both payables and receivables in the applicable statements of
assets and liabilities under the caption "Delayed delivery." 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.
2. OPERATING POLICIES - CONTINUED
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:
<TABLE>
<CAPTION>
<S> <C>
SUMMARY OF JOINT TRADING
DATED JANUARY 15, 1999, DUE JUNE 14, 1999 4.7%
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 $254,895,833
Aggregate market value of transferred assets $255,225,664
Coupon rates of transferred assets 5.38% to 8.13%
Maturity dates of transferred assets 8/15/99 to 8/15/21
DATED MARCH 15, 1999, DUE JUNE 14, 1999 4.72%
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 $252,982,778
Aggregate market value of transferred assets $255,102,298
Coupon rates of transferred assets 0% to 6.75%
Maturity dates of transferred assets 5/6/99 to 8/15/26
DATED MARCH 30, 1999, DUE JUNE 30, 1999 4.75%
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 $506,069,444
Aggregate market value of transferred assets $510,451,329
Coupon rates of transferred assets 5.38% to 8.13%
Maturity dates of transferred assets 8/15/99 to 8/15/21
DATED MARCH 26, 1999 DUE JUNE 14, 1999 4.8%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $200,000,000
Aggregate maturity amount of agreements $202,133,333
Aggregate market value of transferred assets $205,548,887
Coupon rates of transferred assets 5.94% to 7.05%
Maturity dates of transferred assets 11/1/20 to 8/1/37
DATED MARCH 22, 1999 DUE JUNE 21, 1999 4.83%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $200,000,000
Aggregate maturity amount of agreements $202,441,833
Aggregate market value of transferred assets $206,250,507
Coupon rates of transferred assets 0%
Maturity dates of transferred assets 3/1/17 to 8/1/37
DATED MARCH 31, 1999, DUE APRIL 1, 1999 4.95%
Number of dealers or banks 10
Maximum amount with one dealer or bank 22.3%
Aggregate principal amount of agreements $986,450,000
Aggregate maturity amount of agreements $986,585,764
Aggregate market value of transferred assets $1,006,635,591
Coupon rates of transferred assets 0% to 12.5%
Maturity dates of transferred assets 4/15/99 to 8/15/23
DATED MARCH 31, 1999, DUE APRIL 1, 1999 4.99%
Number of dealers or banks 6
Maximum amount with one dealer or bank 30.9%
Aggregate principal amount of agreements $485,000,000
Aggregate maturity amount of agreements $485,067,159
Aggregate market value of transferred assets $495,511,084
Coupon rates of transferred assets 0% to 12%
Maturity dates of transferred assets 6/30/99 to 5/15/16
DATED MARCH 31, 1999, DUE APRIL 1, 1999 5%
Number of dealers or banks 11
Maximum amount with one dealer or bank 33.8%
Aggregate principal amount of agreements $4,088,598,000
Aggregate maturity amount of agreements $4,089,165,531
Aggregate market value of transferred assets $4,179,897,395
Coupon rates of transferred assets 0% to 14%
Maturity dates of transferred assets 4/15/99 to 8/15/28
DATED MARCH 31, 1999 DUE APRIL 1, 1999 5.04%
Number of dealers or banks 6
Maximum amount with one dealer or bank 24.2%
Aggregate principal amount of agreements $1,722,516,000
Aggregate maturity amount of agreements $1,722,757,366
Aggregate market value of transferred assets $1,762,007,855
Coupon rates of transferred assets 0% to 12%
Maturity dates of transferred assets 4/9/99 to 11/1/37
</TABLE>
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. Pursuant to the Distribution and
Service Plans (the Plans) of Class II and Class III, and in accordance
with Rule 12b-1 of the 1940 Act, Class II and Class III pay Fidelity
Distributors Corporation (FDC), an affiliate of FMR, a distribution
and service fee that is based on an annual rate of .15% and .25% of
the average net assets, respectively. For the period, the distribution
fees received by FDC on behalf of each class are shown on each fund's
Statement of Operations. Of the fees paid to FDC by Class II of
Treasury Only Portfolio, Class II of Treasury Portfolio, Class II of
Government Portfolio, Class II of Money Market Portfolio, Class II of
Tax-Exempt Portfolio, Class III of Treasury Only Portfolio, Class III
of Treasury Portfolio, Class III of Government Portfolio, Class III of
Domestic Portfolio and Class III of Money Market Portfolio,
approximately $427, $10,200, $9,924, $3,397, $533, $6,623, $50,381,
$24,712, $185 and $9,101, respectively, were retained by FDC. All of
the fees paid to FDC by the remaining classes were paid to security
dealers, banks and other financial institutions for selling Class II
and Class III shares and providing shareholder support services.
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. UMB Bank, n.a. (UMB) is the custodian, transfer
and shareholder servicing agent for Tax-exempt Portfolio. UMB 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 annual rates as a percentage of average net assets:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
CLASS I CLASS II CLASS III
Treasury Only Portfolio .03% .03% .03%
Treasury Portfolio .03% .03% .03%
Government Portfolio .02% .02% .04%
Domestic Portfolio .03% .03% .03%
Money Market Portfolio .02% .03% .03%
Tax-Exempt Portfolio .02% .03% .03%
</TABLE>
ACCOUNTING FEES. Fidelity Service Company, Inc. (FSC), an affiliate of
FMR, maintains the accounting records for the funds except for
Tax-Exempt Portfolio. UMB 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:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
CLASS I CLASS II CLASS III
Treasury Only Portfolio $ 511,077 $ 30,512 $ 65,297
Treasury Portfolio $ 1,756,155 $ 154,194 $ 1,428,456
Government Portfolio $ 1,899,581 $ 152,319 $ 401,627
Domestic Portfolio $ 975,190 $ 116,292 $ 176,715
Money Market
Portfolio $ 7,127,955 $ 102,950 $ 429,220
Tax-Exempt Portfolio $ 1,090,233 $ 29,643 $ 31,256
</TABLE>
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 $35,471
under this arrangement for Tax-Exempt Portfolio.
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 30%
Treasury Portfolio 1 25%
Government Portfolio 2 29%
Tax-Exempt Portfolio 2 22%
7. SHARE TRANSACTIONS.
Transactions for each class of shares for the periods are as follows:
YEAR ENDED YEAR ENDED MARCH 31,
MARCH 31,
1999 1998
TREASURY ONLY PORTFOLIO CLASS $ 3,225,354,216 $ 3,763,808,828
I Shares sold
Reinvestment of distributions 12,321,228 12,396,796
from net interest income
Shares redeemed (3,230,397,546) (3,990,429,016)
Net increase (decrease) $ 7,277,898 $ (214,223,392)
TREASURY ONLY PORTFOLIO CLASS $ 271,559,642 $ 353,599,058
II Shares sold
Reinvestment of distributions 1,535,439 1,098,235
from net interest income
Shares redeemed (252,169,318) (374,357,881)
Net increase (decrease) $ 20,925,763 $ (19,660,588)
TREASURY ONLY PORTFOLIO CLASS $ 578,593,613 $ 458,981,861
III Shares sold
Reinvestment of distributions 3,214,922 1,415,477
from net interest income
Shares redeemed (581,447,756) (395,939,453)
Net increase (decrease) $ 360,779 $ 64,457,885
TREASURY PORTFOLIO CLASS I $ 64,257,957,773 $ 56,382,827,620
Shares sold
Reinvestment of distributions 97,557,789 104,974,998
from net interest income
Shares redeemed (64,918,765,373) (57,587,789,160)
Net increase (decrease) $ (563,249,811) $ (1,099,986,542)
TREASURY PORTFOLIO CLASS II $ 5,692,697,517 $ 11,473,941,319
Shares sold
Reinvestment of distributions 5,129,015 3,111,085
from net interest income
Shares redeemed (5,735,491,971) (11,156,445,957)
Net increase (decrease) $ (37,665,439) $ 320,606,447
TREASURY PORTFOLIO CLASS III $ 34,401,503,367 $ 31,755,413,322
Shares sold
Reinvestment of distributions 33,781,747 37,736,905
from net interest income
Shares redeemed (34,512,665,668) (32,418,433,085)
Net increase (decrease) $ (77,380,554) $ (625,282,858)
GOVERNMENT PORTFOLIO CLASS I $ 34,932,282,004 $ 32,090,184,246
Shares sold
Reinvestment of distributions 87,233,949 77,830,952
from net interest income
Shares redeemed (33,651,104,519) (31,450,409,491)
Net increase (decrease) $ 1,368,411,434 $ 717,605,707
GOVERNMENT PORTFOLIO CLASS II $ 3,952,436,820 $ 2,201,077,655
Shares sold
Reinvestment of distributions 10,093,868 3,539,770
from net interest income
Shares redeemed (3,694,791,275) (2,161,302,172)
Net increase (decrease) $ 267,739,413 $ 43,315,253
GOVERNMENT PORTFOLIO CLASS $ 9,808,092,304 $ 8,833,518,097
III Shares sold
Reinvestment of distributions 26,583,124 28,319,356
from net interest income
Shares redeemed (9,680,186,148) (8,846,243,887)
Net increase (decrease) $ 154,489,280 $ 15,593,566
7. SHARE TRANSACTIONS - CONTINUED
YEAR ENDED YEAR ENDED MARCH 31,
MARCH 31,
1999 1998
DOMESTIC PORTFOLIO CLASS I $ 15,577,206,973 $ 13,489,220,102
Shares sold
Reinvestment of distributions 46,450,889 35,344,269
from net interest income
Shares redeemed (14,846,130,323) (13,273,276,636)
777,527,539 251,287,735
Issued in exchange for the 281,512,275 -
net assets of Rated Money
Market Portfolio Class I
Net increase (decrease) $ 1,059,039,814 $ 251,287,735
DOMESTIC PORTFOLIO CLASS II $ 2,403,859,326 $ 289,381,235
Shares sold
Reinvestment of distributions 6,824,018 374,388
from net interest income
Shares redeemed (2,191,969,649) (259,533,241)
218,713,695 30,222,382
Issued in exchange for the 71,486,478 -
net assets of Rated Money
Market Portfolio Class II
Net increase (decrease) $ 290,200,173 $ 30,222,382
DOMESTIC PORTFOLIO CLASS III $ 2,244,459,901 $ 807,974,724
Shares sold
Reinvestment of distributions 9,388,494 2,910,394
from net interest income
Shares redeemed (1,858,232,142) (859,302,969)
395,616,253 (48,417,851)
Issued in exchange for the 128,472,530 -
net assets of Rated Money
Market Portfolio Class III
Net increase (decrease) $ 524,088,783 $ (48,417,851)
MONEY MARKET PORTFOLIO CLASS $ 101,424,061,871 $ 65,588,662,837
I Shares sold
Reinvestment of distributions 392,490,343 336,986,110
from net interest income
Shares redeemed (98,432,501,077) (65,255,552,989)
Net increase (decrease) $ 3,384,051,137 $ 670,095,958
MONEY MARKET PORTFOLIO CLASS $ 1,533,330,431 $ 1,181,841,213
II Shares sold
Reinvestment of distributions 6,352,348 4,744,814
from net interest income
Shares redeemed (1,535,937,006) (1,268,195,640)
Net increase (decrease) $ 3,745,773 $ (81,609,613)
MONEY MARKET PORTFOLIO CLASS $ 6,024,061,398 $ 4,398,573,161
III Shares sold
Reinvestment of distributions 25,467,991 22,812,626
from net interest income
Shares redeemed (5,884,830,173) (4,377,611,537)
Net increase (decrease) $ 164,699,216 $ 43,774,250
TAX-EXEMPT PORTFOLIO CLASS I $ 9,232,248,835 $ 11,327,645,715
Shares sold
Reinvestment of distributions 16,974,104 20,424,015
from net interest income
Shares redeemed (9,508,575,285) (11,234,512,567)
Net increase (decrease) $ (259,352,346) $ 113,557,163
TAX-EXEMPT PORTFOLIO CLASS II $ 360,961,784 $ 370,381,704
Shares sold
Reinvestment of distributions 1,217,980 1,356,603
from net interest income
Shares redeemed (369,432,252) (401,163,706)
Net increase (decrease) $ (7,252,488) $ (29,425,399)
TAX-EXEMPT PORTFOLIO CLASS $ 171,520,441 $ 164,781,646
III Shares sold
Reinvestment of distributions 1,160,473 1,159,670
from net interest income
Shares redeemed (161,145,929) (154,982,703)
Net increase (decrease) $ 11,534,985 $ 10,958,613
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.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Colchester Street Trust (formerly Fidelity
Institutional Cash Portfolios for Treasury Only Portfolio, Treasury
Portfolio, Government Portfolio, Domestic Portfolio and Money Market
Portfolio; and formerly Fidelity Institutional Tax-Exempt Cash
Portfolios for Tax-Exempt Portfolio) and the Shareholders of Treasury
Only Portfolio, Treasury Portfolio, Government Portfolio, Domestic
Portfolio, Money Market Portfolio and Tax-Exempt Portfolio (formerly
Treasury Only, Treasury, Government, Domestic, Money Market and
Tax-Exempt, respectively):
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio,
Domestic Portfolio, Money Market Portfolio and Tax-Exempt Portfolio
(funds of Colchester Street Trust) at March 31, 1999, and the results
of their operations, the changes in their net assets and the
financial highlights for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements
and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Colchester Street Trust's
management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of
these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the
financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which
included confirmation of securities at March 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
/s/PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
May 13, 1999
OTHER FUND INFORMATION
CHANGE IN INDEPENDENT AUDITOR. Based on the recommendation of the
Audit Committee of the funds, the Board of Trustees has determined not
to retain PricewaterhouseCoopers LLP (PwC) as the funds' independent
auditor and voted to appoint Deloitte & Touche LLP for the fiscal year
ended March 31, 2000. During the two most recent fiscal years, PwC's
audit reports contained no adverse opinion or disclaimer of opinion;
nor were their reports qualified as to uncertainty, audit scope, or
accounting principles. Further, there were no disagreements between
the funds and PwC on accounting principles, financial statement
disclosure or audit scope, which if not resolved to the satisfaction
of PwC would have caused them to make reference to the disagreement in
their report.
PROXY VOTING RESULTS
A special meeting of the fund's shareholders was held on December 16,
1998. The results of votes taken among shareholders on proposals
before them are reported below. Each vote reported represents one
dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To approve an Agreement and Plan of Reorganization between Rated Money
Market Portfolio and Domestic Portfolio, another fund of the trust,
providing for the transfer of all of the assets of Rated Money Market
Portfolio to Domestic Portfolio in exchange solely for shares of
beneficial interest in Class I, Class II, and Class III of Domestic
Portfolio and the assumption by Domestic Portfolio of Rated Money
Market Portfolio's liabilities, followed by the distribution of
Domestic Portfolio's shares to shareholders of the corresponding class
of Rated Money Market Portfolio in liquidation of Rated Money Market
Portfolio.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 379,961,282.84 95.745
Against 102,193.85 .026
Abstain 16,782,188.81 4.229
TOTAL 396,845,665.50 100.000
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
Leonard M. Rush, Assistant Treasurer
Thomas J. Simpson, Assistant Treasurer
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
ADVISORY BOARD
J. Gary Burkhead
Abigail P. Johnson
* INDEPENDENT TRUSTEES
FIMM-ANN-0599 76042
1.701843.101
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
UMB Bank, n.a.
Kansas City, MO
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
UMB Bank, n.a.
Kansas City, MO
TAX-EXEMPT PORTFOLIO
(2_FIDELITY_LOGOS)(REGISTERED TRADEMARK)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
