FIDELITY (registered trademark)
INSTITUTIONAL
MONEY MARKET
FUNDS
ANNUAL REPORT
MARCH 31, 2000
(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 30
NOTES TO FINANCIAL STATEMENTS 44
INDEPENDENT AUDITORS' REPORT 49
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 TO OBTAIN AS HIGH A LEVEL OF INTEREST
INCOME EXEMPT FROM FEDERAL INCOME TAX AS IS CONSISTENT WITH A
PORTFOLIO OF HIGH-QUALITY, SHORT-TERM MUNICIPAL OBLIGATIONS SELECTED
ON THE BASIS OF LIQUIDITY AND STABILITY OF PRINCIPAL.
Third party marks appearing herein are the property of their
respective owners.
All other marks appearing herein are registered or unregistered
trademarks or service marks of FMR Corp. or an affiliated company.
This report is printed on recycled paper using soy-based inks.
INVESTMENTS IN THE FUNDS ARE NEITHER INSURED NOR GUARANTEED BY THE
U.S. GOVERNMENT, AND THERE CAN BE NO ASSURANCE THAT THE FUNDS WILL
MAINTAIN A STABLE $1.00 SHARE PRICE.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE
SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUNDS. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE
INVESTORS IN THE FUNDS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE
PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
BY, ANY DEPOSITORY INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC,
FEDERAL RESERVE BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT
INVESTED. NEITHER THE FUNDS NOR FIDELITY DISTRIBUTORS CORPORATION IS A
BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND
EXPENSES, CALL THE APPROPRIATE NUMBER LISTED BELOW. READ THE
PROSPECTUS CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
RETIREMENT PLAN LEVEL ACCOUNTS
CORPORATE CLIENTS 1-800-962-1375
"NOT FOR PROFIT" CLIENTS 1-800-343-0860
FINANCIAL AND OTHER INSTITUTIONS
NATIONWIDE 1-800-843-3001
TREASURY ONLY PORTFOLIO
INVESTMENTS MARCH 31, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -
103.4%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
U.S. TREASURY BILLS - 70.7%
4/18/00 5.96% $ 11,089,000 $ 11,057,869
4/20/00 5.99 50,000,000 49,842,458
4/20/00 6.00 50,000,000 49,842,194
4/27/00 5.46 20,000,000 19,922,217
4/27/00 5.74 16,893,000 16,823,579
4/27/00 5.75 30,000,000 29,876,608
4/27/00 5.76 127,397,000 126,872,738
5/4/00 5.22 15,000,000 14,930,081
5/4/00 5.53 4,792,000 4,768,060
5/11/00 5.55 23,023,000 22,882,943
5/11/00 5.77 25,000,000 24,852,514
5/18/00 5.56 6,032,000 5,988,844
5/25/00 5.39 20,000,000 19,842,500
5/25/00 5.43 10,000,000 9,920,650
5/25/00 5.47 10,000,000 9,920,050
5/25/00 5.54 20,000,000 19,837,250
6/1/00 5.56 40,000,000 39,631,289
6/1/00 5.61 10,000,000 9,906,975
6/1/00 5.65 20,000,000 19,811,917
6/1/00 5.66 25,703,000 25,460,849
6/1/00 5.72 50,000,000 49,521,319
6/8/00 5.56 10,000,000 9,897,717
6/8/00 5.68 6,599,000 6,529,509
6/8/00 5.73 21,558,000 21,329,150
6/8/00 5.76 25,000,000 24,731,778
6/15/00 5.78 8,020,000 7,924,762
6/15/00 5.81 15,000,000 14,820,937
6/15/00 5.82 15,000,000 14,820,625
6/22/00 5.63 6,611,000 6,528,179
6/22/00 5.65 10,000,000 9,874,381
6/22/00 5.66 8,332,000 8,227,239
6/22/00 5.67 10,000,000 9,874,267
6/22/00 5.74 20,000,000 19,743,978
6/22/00 5.76 10,000,000 9,872,444
6/22/00 5.88 50,000,000 49,340,583
6/29/00 5.56 10,000,000 9,866,253
6/29/00 5.57 20,000,000 19,731,888
6/29/00 5.65 10,000,000 9,864,028
6/29/00 5.80 25,000,000 24,646,781
6/29/00 5.83 20,000,000 19,715,694
7/6/00 5.82 25,000,000 24,637,264
8/24/00 5.93 40,000,000 39,072,000
11/9/00 6.05 10,000,000 9,644,800
952,207,161
U.S. TREASURY NOTES - 30.7%
4/30/00 5.77 20,000,000 19,993,029
4/30/00 5.84 50,000,000 49,980,071
5/15/00 5.44 20,000,000 20,020,434
5/15/00 5.57 21,176,000 21,192,912
5/15/00 5.61 65,000,000 65,048,891
5/15/00 5.72 50,000,000 50,030,331
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
5/31/00 5.12% $ 20,000,000 $ 20,029,656
5/31/00 5.83 50,000,000 50,016,984
6/30/00 5.80 2,174,000 2,171,255
7/31/00 6.02 10,000,000 9,975,242
8/15/00 6.06 85,000,000 84,952,723
11/30/00 6.13 20,000,000 19,786,770
413,198,298
U.S. TREASURY NOTES -
PRINCIPAL ONLY STRIPS - 2.0%
5/15/00 5.83 22,000,000 21,844,527
8/15/00 5.47 6,000,000 5,883,262
27,727,789
</TABLE>
TOTAL INVESTMENT PORTFOLIO 1,393,133,248
- - 103.4%
NET OTHER ASSETS - (3.4)% (46,291,127)
NET ASSETS - 100% $ 1,346,842,121
Total Cost for Income Tax Purposes $ 1,393,133,248
INCOME TAX INFORMATION
At March 31, 2000, the fund had a capital loss carryforward of
approximately $76,000 of which $16,000 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 2001 of amounts for use in preparing
2000 income tax returns.
TREASURY ONLY PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2000
ASSETS
Investment in securities, at $ 1,393,133,248
value - See accompanying
schedule
Interest receivable 7,974,494
TOTAL ASSETS 1,401,107,742
LIABILITIES
Payable to custodian bank $ 481
Payable for investments 49,489,778
purchased
Share transactions in process 252,082
Distributions payable 4,234,647
Accrued management fee 182,799
Distribution fees payable 42,305
Other payables and accrued 63,529
expenses
TOTAL LIABILITIES 54,265,621
NET ASSETS $ 1,346,842,121
Net Assets consist of:
Paid in capital $ 1,347,118,379
Accumulated net realized gain (276,258)
(loss) on investments
NET ASSETS $ 1,346,842,121
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($1,133,329,752 (divided by)
1,133,391,782 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($52,450,198 (divided by)
52,453,069 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($161,062,171 (divided by)
161,070,986 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 2000
INTEREST INCOME $ 63,190,109
EXPENSES
Management fee $ 2,478,762
Transfer agent fees
Class I 284,900
Class II 15,290
Class III 30,403
Distribution fees
Class II 68,923
Class III 245,893
Accounting fees and expenses 131,259
Non-interested trustees' 3,889
compensation
Custodian fees and expenses 13,797
Registration fees 82,728
Audit 25,693
Legal 4,181
Miscellaneous 2,204
Total expenses before 3,387,922
reductions
Expense reductions (612,749) 2,775,173
NET INTEREST INCOME 60,414,936
NET REALIZED GAIN (LOSS) ON (100,220)
INVESTMENTS
NET INCREASE IN NET ASSETS $ 60,314,716
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 2000 YEAR ENDED MARCH 31, 1999
ASSETS
Operations Net interest income $ 60,414,936 $ 53,424,934
Net realized gain (loss) (100,220) 63,050
NET INCREASE (DECREASE) IN 60,314,716 53,487,984
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (53,615,575) (46,375,592)
Class II (2,174,437) (1,935,394)
Class III (4,624,924) (5,113,948)
TOTAL DISTRIBUTIONS (60,414,936) (53,424,934)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 183,520,627 7,277,898
Class II (5,321,260) 20,925,763
Class III 60,242,162 360,779
TOTAL SHARE TRANSACTIONS 238,441,529 28,564,440
TOTAL INCREASE (DECREASE) 238,341,309 28,627,490
IN NET ASSETS
NET ASSETS
Beginning of period 1,108,500,812 1,079,873,322
End of period $ 1,346,842,121 $ 1,108,500,812
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .049 .052 .050 .054
Less Distributions
From net interest income (.049) (.049) (.052) (.050) (.054)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 4.98% 4.99% 5.33% 5.17% 5.56%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,133,330 $ 949,894 $ 942,561 $ 1,156,667 $ 1,361,050
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .20% B
net assets
Ratio of net interest income 4.90% 4.87% 5.20% 5.05% 5.41%
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 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 .047 .047 .051 .049 .020
Less Distributions
From net interest income (.047) (.047) (.051) (.049) (.020)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 4.83% 4.84% 5.18% 5.01% 2.04%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 52,450 $ 57,776 $ 36,847 $ 56,502 $ 102
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% D .35% A, D
net assets
Ratio of expenses to average .35% .35% .35% .34% E .35% A
net assets after expense
reductions
Ratio of net interest income 4.73% 4.73% 5.05% 4.94% 5.03% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD
PARTIES WHO EITHER PAID OR REDUCED A PORTION OF THE CLASS' EXPENSES.
F FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 E
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 .046 .046 .050 .048 .020
Less Distributions
From net interest income (.046) (.046) (.050) (.048) (.020)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 4.72% 4.73% 5.07% 4.90% 2.00%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 161,062 $ 100,831 $ 100,465 $ 36,006 $ 4,097
(000 omitted)
Ratio of expenses to average .45% D .45% D .45% D .45% D .45% A, D
net assets
Ratio of net interest income 4.70% 4.56% 4.96% 4.82% 4.86% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1996.
TREASURY PORTFOLIO
INVESTMENTS MARCH 31, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
U.S. TREASURY OBLIGATIONS -
51.2%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
U.S. TREASURY BILLS - 36.9%
4/18/00 6.00% $ 800,000,000 $ 798,003,334
4/20/00 6.00 300,000,000 299,053,167
4/20/00 6.01 400,000,000 398,867,611
5/11/00 5.77 75,000,000 74,557,542
5/18/00 5.34 100,000,000 99,321,111
5/18/00 5.37 50,000,000 49,658,597
5/25/00 5.39 85,000,000 84,330,625
5/25/00 5.48 50,000,000 49,599,500
6/15/00 5.54 75,000,000 74,154,688
6/22/00 5.67 50,000,000 49,371,333
6/29/00 5.56 25,000,000 24,665,632
6/29/00 5.57 100,000,000 98,659,437
6/29/00 5.65 50,000,000 49,320,139
6/29/00 5.73 50,000,000 49,307,778
7/6/00 5.80 200,000,000 197,110,750
7/6/00 5.82 100,000,000 98,549,056
7/13/00 5.55 75,000,000 73,841,250
8/24/00 5.93 100,000,000 97,680,000
8/24/00 5.96 100,000,000 97,657,847
10/12/00 5.95 50,000,000 48,466,861
10/12/00 5.96 50,000,000 48,465,514
11/9/00 6.05 50,000,000 48,224,000
2/1/01 6.26 70,000,000 66,465,700
2,975,331,472
U.S. TREASURY NOTES - 14.3%
5/15/00 5.50 65,000,000 65,062,413
5/15/00 5.73 7,000,000 7,004,128
5/31/00 5.12 40,000,000 40,059,311
5/31/00 5.55 40,000,000 40,038,475
7/31/00 5.27 25,000,000 25,060,228
7/31/00 5.67 75,000,000 74,879,542
7/31/00 5.68 40,000,000 39,934,555
7/31/00 5.99 100,000,000 99,763,672
7/31/00 6.01 100,000,000 99,758,260
8/15/00 6.06 350,000,000 349,804,055
8/31/00 5.42 40,000,000 39,932,562
8/31/00 5.43 40,000,000 39,937,534
9/30/00 5.43 35,000,000 34,825,129
11/30/00 6.13 50,000,000 49,468,644
11/30/00 6.15 100,000,000 98,924,899
1/31/01 6.26 50,000,000 49,248,324
1,153,701,731
TOTAL U.S. TREASURY 4,129,033,203
OBLIGATIONS
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 68.4%
MATURITY AMOUNT VALUE (NOTE 1)
In a joint trading account
(U.S. Treasury Obligations)
dated:
3/23/00 due 4/6/00 At 5.95% $ 100,231,389 $ 100,000,000
3/31/00 due 4/3/00 At:
6.08% 648,182,251 647,854,000
6.17% 345,234,305 345,057,000
6.21% 4,421,285,612 4,419,000,000
TOTAL REPURCHASE AGREEMENTS 5,511,911,000
</TABLE>
TOTAL INVESTMENT PORTFOLIO 9,640,944,203
- - 119.6%
NET OTHER ASSETS - (19.6)% (1,581,886,519)
NET ASSETS - 100% $ 8,059,057,684
Total Cost for Income Tax Purposes $ 9,640,944,203
INCOME TAX INFORMATION
At March 31, 2000, the fund had a capital loss carryforward of
approximately $410,000 of which $194,000 and $216,000 will expire on
March 31, 2003 and 2008, respectively.
A total of 26.84% 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 2001 of amounts for use in preparing
2000 income tax returns.
TREASURY PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2000
ASSETS
Investment in securities, at $ 9,640,944,203
value (including repurchase
agreements of
$5,511,911,000) - See
accompanying schedule
Interest receivable 13,348,609
TOTAL ASSETS 9,654,292,812
LIABILITIES
Payable to custodian bank $ 295
Payable for investments 1,567,088,292
purchased
Share transactions in process 1,755,504
Distributions payable 24,245,876
Accrued management fee 1,117,417
Distribution fees payable 697,112
Other payables and accrued 330,632
expenses
TOTAL LIABILITIES 1,595,235,128
NET ASSETS $ 8,059,057,684
Net Assets consist of:
Paid in capital $ 8,059,573,969
Accumulated net realized gain (516,285)
(loss) on investments
NET ASSETS $ 8,059,057,684
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($4,461,392,674 (divided by)
4,461,630,579 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($473,502,579 (divided by)
473,527,829 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($3,124,162,431 (divided by)
3,124,329,029 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 2000
INTEREST INCOME $ 401,924,204
EXPENSES
Management fee $ 15,462,696
Transfer agent fees
Class I 1,051,124
Class II 99,206
Class III 717,445
Distribution fees
Class II 567,909
Class III 7,574,761
Accounting fees and expenses 618,480
Non-interested trustees' 26,336
compensation
Registration fees 357,114
Audit 48,242
Legal 27,238
Miscellaneous 9,484
Total expenses before 26,560,035
reductions
Expense reductions (2,954,666) 23,605,369
NET INTEREST INCOME 378,318,835
NET REALIZED GAIN (LOSS) ON (113,301)
INVESTMENTS
NET INCREASE IN NET ASSETS $ 378,205,534
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 2000 YEAR ENDED MARCH 31, 1999
ASSETS
Operations Net interest income $ 378,318,835 $ 416,372,377
Net realized gain (loss) (113,301) 315,299
NET INCREASE (DECREASE) IN 378,205,534 416,687,676
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (216,051,611) (223,121,219)
Class II (18,507,211) (18,400,040)
Class III (143,760,013) (174,851,118)
TOTAL DISTRIBUTIONS (378,318,835) (416,372,377)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 526,037,130 (563,249,811)
Class II 100,777,594 (37,665,439)
Class III 202,474,170 (77,380,554)
TOTAL SHARE TRANSACTIONS 829,288,894 (678,295,804)
TOTAL INCREASE (DECREASE) 829,175,593 (677,980,505)
IN NET ASSETS
NET ASSETS
Beginning of period 7,229,882,091 7,907,862,596
End of period $ 8,059,057,684 $ 7,229,882,091
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .051 .054 .052 .056
Less Distributions
From net interest income (.050) (.051) (.054) (.052) (.056)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.12% 5.19% 5.55% 5.30% 5.79%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 4,461,393 $ 3,935,421 $ 4,498,484 $ 5,598,330 $ 7,134,049
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .20% B
net assets
Ratio of net interest income 5.00% 5.05% 5.41% 5.17% 5.61%
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 E
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 .049 .053 .050 .021
Less Distributions
From net interest income (.049) (.049) (.053) (.050) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 4.97% 5.03% 5.40% 5.14% 2.14%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 473,503 $ 372,734 $ 410,383 $ 89,801 $ 40,470
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 4.89% 4.91% 5.25% 5.01% 5.18% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .048 .052 .049 .054
Less Distributions
From net interest income (.048) (.048) (.052) (.049) (.054)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 4.86% 4.93% 5.29% 5.03% 5.50%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 3,124,162 $ 2,921,727 $ 2,998,996 $ 3,624,195 $ 1,435,302
(000 omitted)
Ratio of expenses to average .45% B .45% B .45% B .45% B .46% B
net assets
Ratio of net interest income 4.74% 4.81% 5.17% 4.93% 5.28%
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.
GOVERNMENT PORTFOLIO
INVESTMENTS MARCH 31, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
FEDERAL AGENCIES - 59.3%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
FANNIE MAE - 22.2%
Agency Coupons - 12.7%
4/3/00 5.74% (a) $ 120,000,000 $ 119,972,779
4/3/00 6.12 (a) 50,000,000 49,991,281
4/10/00 5.79 (a) 125,000,000 124,992,008
5/4/00 5.92 (a) 118,000,000 117,975,820
5/5/00 5.04 50,000,000 49,994,380
5/15/00 5.88 (a) 200,000,000 199,895,313
5/19/00 5.95 108,000,000 107,170,560
2/16/01 6.48 55,775,000 55,719,723
3/1/01 6.55 53,000,000 52,994,665
3/20/01 6.49 84,000,000 83,974,897
962,681,426
Discount Notes - 9.5%
6/29/00 6.14 422,000,000 415,688,851
8/10/00 6.11 100,000,000 97,840,319
8/31/00 6.13 168,000,000 163,779,467
9/14/00 6.24 50,000,000 48,605,139
725,913,776
FEDERAL HOME LOAN BANK - 20.3%
Agency Coupons - 16.1%
4/3/00 6.06 (a) 200,000,000 199,991,257
4/3/00 6.13 (a) 100,000,000 99,964,129
4/4/00 5.80 (a) 125,000,000 124,949,847
4/4/00 5.84 (a) 250,000,000 249,912,628
4/5/00 5.03 25,000,000 24,999,710
4/5/00 6.42 (a) 60,000,000 59,982,590
4/17/00 5.85 (a) 125,000,000 124,946,764
5/12/00 5.87 (a) 200,000,000 199,980,956
6/14/00 5.47 27,000,000 26,992,685
2/7/01 6.48 119,000,000 118,774,500
1,230,495,066
Discount Notes - 4.2%
4/28/00 5.76 24,000,000 23,899,200
5/24/00 5.80 69,000,000 68,427,070
8/16/00 6.10 100,000,000 97,743,306
8/16/00 6.12 87,000,000 85,033,365
8/25/00 6.12 46,000,000 44,891,860
319,994,801
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
FREDDIE MAC - 15.3%
Agency Coupons - 5.2%
4/10/00 5.81% (a) $ 194,000,000 $ 193,856,991
6/20/00 5.94 (a) 203,000,000 202,817,661
396,674,652
Discount Notes - 10.1%
5/23/00 6.03 245,000,000 243,005,836
5/30/00 6.04 250,000,000 247,674,445
6/2/00 5.40 60,000,000 59,470,933
6/13/00 5.53 25,000,000 24,733,601
6/23/00 5.50 48,000,000 47,421,213
7/5/00 5.61 31,000,000 30,564,794
8/1/00 5.73 50,000,000 49,081,611
2/7/01 6.50 75,000,000 71,035,000
772,987,433
STUDENT LOAN MARKETING
ASSOCIATION - 1.5%
Agency Coupons - 1.5%
4/4/00 6.54 (a) 29,000,000 28,995,087
4/4/00 6.59 (a) 60,000,000 59,989,451
4/6/00 6.49 (a) 24,000,000 23,999,194
112,983,732
TOTAL FEDERAL AGENCIES 4,521,730,886
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 47.1%
MATURITY AMOUNT
In a joint trading account:
(U.S. Government
Obligations) dated:
3/27/00 due 4/3/00 At 6.12% $ 250,297,500 250,000,000
3/31/00 due 4/3/00 At 6.25% 3,192,662,612 3,191,000,000
REPURCHASE AGREEMENTS -
CONTINUED
MATURITY AMOUNT VALUE (NOTE 1)
In a joint trading account: -
continued
(U.S. Treasury Obligations)
dated 3/31/00 due 4/3/00 At:
6.08% $ 141,670,745 $ 141,599,000
6.17% 10,759,526 10,754,000
TOTAL REPURCHASE AGREEMENTS 3,593,353,000
TOTAL INVESTMENT PORTFOLIO - 8,115,083,886
106.4%
NET OTHER ASSETS - (6.4)% (485,538,347)
NET ASSETS - 100% $ 7,629,545,539
</TABLE>
Total Cost for Income Tax Purposes $ 8,115,083,886
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, 2000, the fund had a capital loss carryforward of
approximately $902,000 of which $145,000, $746,000 and $11,000 will
expire on March 31, 2002, 2003 and 2004, respectively. Of the loss
carryforwards expiring in March 31, 2002 and 2003, $16,000 and $1,000,
respectively, were acquired in the merger and are available to offset
future capital gains of the fund to the extent provided by regulations
(unaudited).
A total of 26.42% 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 2001 of amounts for use in preparing
2000 income tax returns.
GOVERNMENT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2000
ASSETS
Investment in securities, at $ 8,115,083,886
value (including repurchase
agreements of
$3,593,353,000) - See
accompanying schedule
Cash 857
Share transactions in process 2,598,599
Interest receivable 23,977,268
TOTAL ASSETS 8,141,660,610
LIABILITIES
Payable for investments $ 490,680,281
purchased
Distributions payable 19,524,604
Accrued management fee 1,032,640
Distribution fees payable 317,301
Other payables and accrued 560,245
expenses
TOTAL LIABILITIES 512,115,071
NET ASSETS $ 7,629,545,539
Net Assets consist of:
Paid in capital $ 7,630,447,994
Accumulated net realized gain (902,455)
(loss) on investments
NET ASSETS $ 7,629,545,539
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($6,033,242,528 (divided
by) 6,033,496,724 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($507,408,526 (divided by)
507,429,905 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($1,088,894,485 (divided
by) 1,088,940,360 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 2000
INTEREST INCOME $ 360,217,252
EXPENSES
Management fee $ 13,262,965
Transfer agent fees
Class I 1,304,685
Class II 137,237
Class III 301,881
Distribution fees
Class II 697,931
Class III 2,374,227
Accounting fees and expenses 537,428
Non-interested trustees' 21,394
compensation
Custodian fees and expenses 68,171
Registration fees 1,041,858
Audit 38,775
Legal 21,511
Miscellaneous 11,578
Total expenses before 19,819,641
reductions
Expense reductions (3,484,513) 16,335,128
NET INTEREST INCOME 343,882,124
NET REALIZED GAIN (LOSS) ON 68,022
INVESTMENTS
NET INCREASE IN NET ASSETS $ 343,950,146
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 2000 YEAR ENDED MARCH 31, 1999
ASSETS
Operations Net interest income $ 343,882,124 $ 257,635,040
Net realized gain (loss) 68,022 26,737
NET INCREASE (DECREASE) IN 343,950,146 257,661,777
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (272,808,629) (210,351,889)
Class II (23,748,922) (13,261,130)
Class III (47,324,573) (34,022,021)
TOTAL DISTRIBUTIONS (343,882,124) (257,635,040)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 1,136,381,651 1,368,411,434
Class II 87,724,687 267,739,413
Class III 259,804,627 154,489,280
TOTAL SHARE TRANSACTIONS 1,483,910,965 1,790,640,127
TOTAL INCREASE (DECREASE) 1,483,978,987 1,790,666,864
IN NET ASSETS
NET ASSETS
Beginning of period 6,145,566,552 4,354,899,688
End of period $ 7,629,545,539 $ 6,145,566,552
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .052 .055 .052 .057
Less Distributions
From net interest income (.052) (.052) (.055) (.052) (.057)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.32% 5.31% 5.60% 5.37% 5.84%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 6,033,243 $ 4,896,805 $ 3,528,366 $ 2,810,717 $ 3,064,136
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .20% B
net assets
Ratio of net interest income 5.23% 5.18% 5.47% 5.25% 5.69%
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 E
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 .050 .053 .051 .021
Less Distributions
From net interest income (.050) (.050) (.053) (.051) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.17% 5.16% 5.45% 5.22% 2.16%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 507,409 $ 419,679 $ 151,951 $ 108,636 $ 102
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 5.10% 4.94% 5.32% 5.10% 5.33% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .049 .052 .050 .054
Less Distributions
From net interest income (.049) (.049) (.052) (.050) (.054)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.06% 5.05% 5.34% 5.11% 5.58%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,088,894 $ 829,083 $ 674,582 $ 658,964 $ 194,489
(000 omitted)
Ratio of expenses to average .45% B .45% B .45% B .45% B .45% B
net assets
Ratio of net interest income 4.98% 4.91% 5.21% 5.00% 5.30%
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.
DOMESTIC PORTFOLIO
INVESTMENTS MARCH 31, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 6.6%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
DOMESTIC CERTIFICATES OF
DEPOSIT - 6.6%
Citibank, New York NA
4/17/00 6.10% $ 130,000,000 $ 130,000,000
First Union National Bank,
North Carolina
5/18/00 6.00 75,000,000 75,000,000
5/30/00 6.00 50,000,000 50,000,000
11/21/00 6.48 25,000,000 25,000,000
Suntrust Bank
4/5/00 5.90 50,000,000 50,000,000
U.S. Bank NA, Minnesota
4/3/00 6.20 (b) 75,000,000 75,000,000
TOTAL CERTIFICATES OF DEPOSIT 405,000,000
COMMERCIAL PAPER - 45.0%
Asset Securitization Coop.
Corp.
4/26/00 6.08 50,000,000 49,789,931
Associates First Capital BV
5/18/00 6.02 50,000,000 49,613,556
Baker Hughes, Inc.
4/3/00 6.27 85,000,000 84,970,392
Bank of America Corp.
6/23/00 6.20 50,000,000 49,296,806
9/11/00 6.30 50,000,000 48,619,028
Centric Capital Corp.
4/3/00 5.92 15,000,000 14,995,117
4/20/00 6.08 22,500,000 22,428,156
6/5/00 6.07 29,300,000 28,983,641
6/6/00 6.07 7,280,000 7,200,187
Chase Manhattan Corp.
4/26/00 6.03 25,000,000 24,898,438
Citibank Credit Card Master
Trust I (Dakota Certificate
Program)
4/5/00 5.93 50,000,000 49,967,389
4/6/00 5.93 25,000,000 24,979,618
4/18/00 5.96 25,000,000 24,930,701
4/20/00 5.96 15,000,000 14,953,529
5/3/00 6.01 75,000,000 74,605,333
5/9/00 6.06 15,000,000 14,905,000
5/12/00 6.06 5,000,000 4,965,947
6/7/00 6.10 50,000,000 49,440,736
6/8/00 6.09 50,000,000 49,433,333
Citicorp
4/3/00 5.90 50,000,000 49,983,694
Citigroup, Inc.
4/18/00 6.11 50,000,000 49,856,444
Corporate Receivables Corp.
4/5/00 5.93 50,000,000 49,967,389
4/13/00 5.90 25,000,000 24,951,250
4/13/00 5.94 40,906,000 40,825,961
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
4/24/00 5.95% $ 6,450,000 $ 6,425,687
CXC, Inc.
4/6/00 5.90 50,000,000 49,959,375
4/6/00 5.99 20,000,000 19,983,417
4/17/00 6.00 25,000,000 24,933,667
5/11/00 5.98 10,000,000 9,934,333
Delaware Funding Corp.
4/6/00 5.92 88,580,000 88,507,660
4/14/00 5.91 40,477,000 40,391,492
Edison Asset Securitization LLC
4/19/00 5.95 27,691,000 27,609,865
4/19/00 6.00 30,000,000 29,910,600
4/25/00 6.08 36,441,000 36,294,021
4/26/00 5.97 43,720,000 43,540,869
5/18/00 6.03 50,000,000 49,611,597
5/19/00 6.03 45,603,000 45,241,216
5/22/00 6.04 50,000,000 49,578,542
Falcon Asset Securitization
Corp.
4/17/00 6.01 55,000,000 54,853,822
Fleet Funding Corp.
4/10/00 5.95 20,000,000 19,970,400
4/17/00 6.00 35,301,000 35,207,335
Ford Motor Credit Co.
4/7/00 6.06 90,000,000 89,909,400
4/11/00 6.05 50,000,000 49,916,250
GE Capital International
Funding, Inc.
6/20/00 6.20 25,000,000 24,660,556
9/13/00 6.34 50,000,000 48,592,917
General Electric Capital Corp.
4/20/00 5.97 25,000,000 24,922,153
5/12/00 6.09 50,000,000 49,672,292
General Electric Capital
Services, Inc.
5/8/00 6.09 100,000,000 99,411,806
8/17/00 6.28 50,000,000 48,836,583
General Motors Acceptance Corp.
5/11/00 6.09 100,000,000 99,378,194
Goldman Sachs Group, Inc.
5/15/00 6.00 30,000,000 29,783,300
6/14/00 6.11 25,000,000 24,691,153
J.P. Morgan & Co., Inc.
4/14/00 5.91 50,000,000 49,894,375
Kitty Hawk Funding Corp.
4/28/00 6.04 34,248,000 34,093,884
8/11/00 6.27 10,000,000 9,777,067
8/15/00 6.27 10,000,000 9,770,311
Merrill Lynch & Co., Inc.
5/22/00 6.02 50,000,000 49,579,958
Morgan Stanley Dean Witter &
Co.
4/13/00 5.94 120,000,000 119,764,000
5/26/00 6.04 20,000,000 19,818,194
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
National Rural Utility Coop.
Finance Corp.
9/13/00 6.30% $ 25,000,000 $ 24,301,042
New Center Asset Trust
4/3/00 6.32 125,000,000 124,956,111
4/6/00 5.91 20,000,000 19,983,722
4/24/00 5.95 25,000,000 24,906,403
5/8/00 6.13 50,000,000 49,687,556
5/15/00 6.08 22,000,000 21,838,129
The Bear Stearns Companies,
Inc.
4/10/00 5.93 30,000,000 29,955,975
4/17/00 5.94 20,000,000 19,947,733
Triple-A One Funding Corp.
4/24/00 5.96 20,363,000 20,286,243
TOTAL COMMERCIAL PAPER 2,754,850,781
FEDERAL AGENCIES - 3.6%
FANNIE MAE - 1.5%
Agency Coupons - 0.5%
4/23/00 5.95 (b) 30,000,000 29,995,918
Discount Notes - 1.0%
6/29/00 6.14 65,000,000 64,027,799
94,023,717
FEDERAL HOME LOAN BANK - 1.1%
Agency Coupons - 1.1%
4/4/00 5.84 (b) 65,000,000 64,977,283
FREDDIE MAC - 1.0%
Discount Notes - 1.0%
2/1/01 6.57 41,000,000 38,853,240
2/7/01 6.50 25,000,000 23,678,333
62,531,573
TOTAL FEDERAL AGENCIES 221,532,573
U.S. TREASURY OBLIGATIONS -
4.2%
U.S. TREASURY BILLS - 4.2%
4/18/00 6.00 255,000,000 254,363,562
BANK NOTES - 8.8%
Bank of America NA
5/18/00 6.00 40,000,000 40,000,000
6/21/00 6.10 50,000,000 50,000,000
Bank One NA
7/26/00 6.25 20,000,000 19,993,903
Bank One NA, Chicago
4/24/00 6.00 (b) 20,000,000 19,989,973
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
5/26/00 6.00% $ 75,000,000 $ 75,000,000
5/30/00 6.00 50,000,000 50,000,000
7/19/00 6.15 25,000,000 25,000,000
First National Bank, Chicago
4/3/00 6.13 (b) 70,000,000 69,998,650
7/5/00 5.80 25,000,000 24,996,887
7/12/00 5.75 20,000,000 19,997,323
First Union National Bank,
North Carolina
4/4/00 6.09 (b) 15,000,000 15,000,000
4/24/00 6.09 (b) 25,000,000 25,000,000
4/26/00 6.04 (b) 12,000,000 12,000,000
Fleet National Bank
4/3/00 6.21 (b) 25,000,000 24,996,623
NationsBank NA
4/3/00 6.15 (b) 20,000,000 19,999,898
US Bank NA, North Dakota
4/24/00 6.05 (b) 50,000,000 49,992,470
TOTAL BANK NOTES 541,965,727
MEDIUM-TERM NOTES - 6.9%
Associates Corp. of North
America
6/23/00 5.57 25,000,000 25,010,713
CIESCO LP
4/17/00 5.98 (b) 40,000,000 39,997,694
CIT Group, Inc.
4/3/00 6.20 (b) 20,000,000 19,997,498
4/3/00 6.30 (b) 20,000,000 19,991,094
General Electric Capital Corp.
5/3/00 6.04 (b) 25,000,000 25,000,000
General Motors Acceptance
Corp. Mortgage Credit
4/3/00 5.98 95,000,000 94,968,598
5/2/00 6.20 95,000,000 94,527,696
Merrill Lynch & Co., Inc.
5/3/00 6.09 (b) 50,000,000 49,995,000
Morgan Stanley Dean Witter &
Co.
6/30/00 6.30 (b) 50,000,000 49,996,970
TOTAL MEDIUM-TERM NOTES 419,485,263
SHORT-TERM NOTES - 3.6%
GE Life & Annuity Assurance Co.
4/3/00 6.01 (b)(c) 28,000,000 28,000,000
Jackson National Life
Insurance Co.
4/2/00 6.16 (b)(c) 10,000,000 10,000,000
Monumental Life Insurance Co.
4/3/00 6.05 (b)(c) 10,000,000 10,000,000
SHORT-TERM NOTES - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Monumental Life Insurance Co.
- - continued
4/3/00 6.08% (b)(c) $ 10,000,000 $ 10,000,000
5/1/00 6.21 (b)(c) 35,000,000 35,000,000
New York Life Insurance Co.
4/3/00 6.28 (b)(c) 5,000,000 5,000,000
Pacific Life Insurance Co.
6/9/00 6.22 (b)(c) 3,000,000 3,000,000
SMM Trust Series 1999 E,
4/5/00 6.02 (a)(b) 5,000,000 5,000,000
Strategic Money Market Trust
Series 1999 A6,
4/13/00 6.15 (a)(b) 28,000,000 28,000,000
Strategic Money Market Trust
Series 2000 B,
6/13/00 6.15 (a)(b) 20,000,000 20,000,000
Travelers Insurance Co.
6/30/00 6.40 (b)(c) 65,000,000 65,000,000
TOTAL SHORT-TERM NOTES 219,000,000
</TABLE>
MUNICIPAL SECURITIES - 0.8%
Greater Texas Student Ln.
Corp. Student Ln. Rev.
Series 2000 A, 5.92%, LOC
Student Ln. Marketing
Assoc., VRDN
4/3/00 5.92 (b) 50,000,000 50,000,000
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 33.1%
MATURITY AMOUNT
In a joint trading account:
(U.S. Government Obligations) $ 770,416,014 770,000,000
dated 3/31/00 due 4/3/00 At
6.48%
(U.S. Treasury Obligations)
dated 3/31/00 due 4/3/00 At:
6% 188,352,129 188,258,000
6.08% 154,170,074 154,092,000
With:
Goldman Sachs & Co. At 6.38%, 215,114,219 215,000,000
dated 3/31/00 due 4/3/00
(Commercial Paper
Obligations) (principal
amount $220,708,000) 0% -
6.22%, 4/3/00 - 9/22/00
J.P. Morgan Securities At 200,107,167 200,000,000
6.43%, dated 3/31/00 due
4/3/00 (Corporate
Obligations) (principal
amount $204,511,107) 6.9% -
9.375%, 3/15/21 - 5/15/38
Lehman Communication Paper At 300,161,500 300,000,000
6.46%, dated 3/31/00 due
4/3/00 (Commercial Paper
Obligations) (principal
amount $306,001,000) 0% -
6.20%, 4/3/00 - 8/1/00
MATURITY AMOUNT VALUE (NOTE 1)
Merrill Lynch Pierce Fenner & $ 100,053,833 $ 100,000,000
Smith At 6.46%, dated
3/31/00 due 4/3/00
(Commercial Paper
Obligations) (principal
amount $105,684,000) 0%,
4/3/00 - 5/4/00
Salomon Smith Barney At 100,053,625 100,000,000
6.44%, dated 3/31/00 due
4/3/00: (Corporate
Obligations) (principal
amount $109,119,000) 0% -
9.38%, 11/15/03 - 12/1/45
TOTAL REPURCHASE AGREEMENTS 2,027,350,000
TOTAL INVESTMENT PORTFOLIO 6,893,547,906
- - 112.6%
NET OTHER ASSETS - (12.6)% (773,962,273)
NET ASSETS - 100% $ 6,119,585,633
</TABLE>
Total Cost for Income Tax Purposes $ 6,893,547,906
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
$53,000,000 or 0.9% 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.
Additional information on each holding is as follows:
SECURITY ACQUISITION DATE COST
GE Life & Annuity Assurance 4/8/99 $ 28,000,000
Co. 6.01%, 4/3/00
Jackson National Life 7/6/99 $ 10,000,000
Insurance Co. 6.16%, 4/2/00
Monumental Life Insurance 9/17/98 $ 10,000,000
Co.: 6.05%, 4/3/00
6.08%, 4/3/00 3/12/99 $ 10,000,000
6.21%, 5/1/00 1/28/00 $ 35,000,000
New York Life Insurance Co. 12/20/99 $ 5,000,000
6.28%, 4/3/00
Pacific Life Insurance Co. 8/31/99 $ 3,000,000
6.22%, 6/9/00
Travelers Insurance Co. 3/30/00 $ 65,000,000
6.40%, 6/30/00
INCOME TAX INFORMATION
At March 31, 2000, the fund had a capital loss carryforward of
approximately $253,000 of which $6,000, $49,000, $32,000, $1,000 and
$165,000 will expire on March 31, 2002, 2003, 2005, 2006 and 2008,
respectively.
A total of 1.80% 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 2001 of amounts for use in preparing
2000 income tax returns.
OTHER INFORMATION
The fund invested in securities that are not registered under the
Securities Act of 1933. These securities are subject to legal or
contractual restrictions on resale. At the end of the period,
restricted securities (excluding Rule 144A issues) amounted to
$166,000,000 and 2.7% of net assets.
The fund participated in the interfund lending program as a lender.
The average daily loan balance during the period for which loans were
outstanding amounted to $15,316,375. The weighted average interest
rate was 5.69%. Interest earned from the interfund lending program
amounted to $19,366 and is included in interest income on the
Statement of Operations.
DOMESTIC PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2000
ASSETS
Investment in securities, at $ 6,893,547,906
value (including repurchase
agreements of
$2,027,350,000) - See
accompanying schedule
Receivable for investments 89,778,750
sold
Interest receivable 13,608,191
TOTAL ASSETS 6,996,934,847
LIABILITIES
Payable to custodian bank $ 26
Payable for investments 867,123,926
purchased
Share transactions in process 809,777
Distributions payable 7,200,470
Accrued management fee 1,004,118
Distribution fees payable 351,414
Other payables and accrued 859,483
expenses
TOTAL LIABILITIES 877,349,214
NET ASSETS $ 6,119,585,633
Net Assets consist of:
Paid in capital $ 6,119,839,445
Accumulated net realized gain (253,812)
(loss) on investments
NET ASSETS $ 6,119,585,633
CLASS I NET ASSET VALUE, $1.00
offering price and
redemption price per share
($4,362,301,045 (divided
by) 4,362,490,392 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($315,890,242 (divided by)
315,903,954 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($1,441,394,346 (divided
by) 1,441,456,910 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 2000
INTEREST INCOME $ 245,767,407
EXPENSES
Management fee $ 8,687,940
Transfer agent fees
Class I 836,739
Class II 85,417
Class III 229,319
Distribution fees
Class II 486,501
Class III 2,078,998
Accounting fees and expenses 369,551
Non-interested trustees' 12,821
compensation
Custodian fees and expenses 104,698
Registration fees 1,126,017
Audit 27,681
Legal 24,778
Miscellaneous 6,390
Total expenses before 14,076,850
reductions
Expense reductions (2,823,415) 11,253,435
NET INTEREST INCOME 234,513,972
NET REALIZED GAIN (LOSS) ON (165,714)
INVESTMENTS
NET INCREASE IN NET ASSETS $ 234,348,258
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 2000 YEAR ENDED MARCH 31, 1999
ASSETS
Operations Net interest income $ 234,513,972 $ 91,909,725
Net realized gain (loss) (165,714) 41,042
NET INCREASE (DECREASE) IN 234,348,258 91,950,767
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (174,380,158) (73,935,908)
Class II (16,893,455) (7,057,324)
Class III (43,240,359) (10,916,493)
TOTAL DISTRIBUTIONS (234,513,972) (91,909,725)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 2,132,513,496 777,527,539
Net asset Value of - 281,496,359
Domestic Portfolio Class I
shares issued in exchange
for the net assets of Rated
Money Market Portfolio
Class I
Class II (8,754,446) 218,713,695
Net asset Value of - 71,482,363
Domestic Portfolio Class II
shares issued in exchange
for the net assets of Rated
Money Market Portfolio
Class II
Class III 844,063,969 395,616,253
Net asset Value of - 128,465,120
Domestic Portfolio Class III
shares issued in exchange
for the net assets of Rated
Money Market Portfolio
Class III
TOTAL SHARE TRANSACTIONS 2,967,823,019 1,873,301,329
TOTAL INCREASE (DECREASE) 2,967,657,305 1,873,342,371
IN NET ASSETS
NET ASSETS
Beginning of period 3,151,928,328 1,278,585,957
End of period $ 6,119,585,633 $ 3,151,928,328
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .052 .055 .053 .057
Less Distributions
From net interest income (.053) (.052) (.055) (.053) (.057)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.45% 5.37% 5.64% 5.40% 5.85%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 4,362,301 $ 2,229,906 $ 1,170,833 $ 919,554 $ 1,117,917
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .20% B
net assets
Ratio of net interest income 5.47% 5.17% 5.50% 5.26% 5.66%
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 E
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 .051 .054 .051 .021
Less Distributions
From net interest income (.052) (.051) (.054) (.051) (.021)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.29% 5.22% 5.49% 5.24% 2.15%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 315,890 $ 324,648 $ 34,455 $ 4,235 $ 2,105
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 5.21% 4.92% 5.36% 5.10% 5.20% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .050 .053 .050 .054
Less Distributions
From net interest income (.051) (.050) (.053) (.050) (.054)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.19% 5.11% 5.38% 5.13% 5.56%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,441,394 $ 597,374 $ 73,298 $ 121,709 $ 47,396
(000 omitted)
Ratio of expenses to average .45% B .45% B .45% B .45% B .47% B
net assets
Ratio of net interest income 5.20% 4.84% 5.26% 5.02% 5.40%
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.
MONEY MARKET PORTFOLIO
INVESTMENTS MARCH 31, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
CERTIFICATES OF DEPOSIT - 18.7%
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
DOMESTIC CERTIFICATES OF
DEPOSIT - 2.1%
First National Bank, Chicago
6/5/00 5.55% $ 50,000,000 $ 49,996,583
First Union National Bank,
North Carolina
5/17/00 6.00 100,000,000 100,000,000
5/20/00 6.18 (c) 75,000,000 75,000,000
5/30/00 6.00 110,000,000 110,000,000
334,996,583
LONDON BRANCH, EURODOLLAR,
FOREIGN BANKS - 8.8%
Abbey National Treasury
Services PLC
11/9/00 6.50 75,000,000 75,000,000
ABN-AMRO Bank NV
8/4/00 6.25 110,000,000 110,002,020
Barclays Bank PLC
5/4/00 6.09 135,000,000 135,000,000
5/8/00 6.01 95,000,000 95,000,481
7/28/00 5.80 25,000,000 25,000,000
Bayerische Hypo-und
Vereinsbank AG
6/13/00 6.10 150,000,000 150,000,000
Deutsche Bank AG
6/28/00 6.10 69,000,000 68,998,635
9/19/00 6.40 50,000,000 49,976,964
Halifax PLC
5/22/00 6.00 100,000,000 100,000,000
6/14/00 6.10 60,000,000 59,995,374
6/26/00 6.10 75,000,000 75,000,000
12/7/00 6.43 25,000,000 25,000,000
12/18/00 6.51 75,000,000 75,000,000
ING Bank NV
6/28/00 6.11 50,000,000 50,000,000
11/8/00 6.51 100,000,000 100,005,849
National Australia Bank Ltd.
11/30/00 6.50 50,000,000 50,001,610
RaboBank Nederland Coop.
Central
12/18/00 6.52 47,000,000 47,000,000
Westdeutsche Landesbank
Girozentrale
5/22/00 6.00 100,000,000 99,997,623
1,390,978,556
NEW YORK BRANCH, YANKEE
DOLLAR, FOREIGN BANKS - 7.8%
Banque Nationale de Paris
8/2/00 5.85 25,000,000 24,995,969
Barclays Bank PLC
4/3/00 6.13 (c) 50,000,000 49,999,033
4/3/00 6.14 (c) 75,000,000 74,995,111
6/14/00 5.66 50,000,000 49,995,141
Bayerische Hypo-und
Vereinsbank AG
4/25/00 6.05 (c) 100,000,000 99,955,560
Deutsche Bank AG
4/3/00 6.14 (c) 100,000,000 99,993,279
4/10/00 5.90 (c) 100,000,000 99,948,979
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
National Westminster Bank PLC
7/12/00 5.75% $ 100,000,000 $ 99,986,616
Norddeutsche Landesbank
Girozentrale
7/12/00 5.76 100,000,000 99,986,617
2/8/01 6.75 40,000,000 39,983,728
RaboBank Nederland Coop.
Central
7/5/00 5.80 50,000,000 49,994,396
Royal Bank of Canada
4/3/00 6.14 (c) 65,000,000 64,999,021
6/5/00 5.55 40,000,000 39,997,266
Societe Generale
4/10/00 5.94 (c) 125,000,000 124,938,025
4/20/00 6.02 (c) 50,000,000 49,993,013
4/28/00 6.13 (c) 40,000,000 39,975,102
Svenska Handelsbanken AB
6/12/00 5.60 50,000,000 49,996,216
Westdeutsche Landesbank
Girozentrale
5/23/00 6.03 75,000,000 75,000,000
1,234,733,072
TOTAL CERTIFICATES OF DEPOSIT 2,960,708,211
COMMERCIAL PAPER - 37.8%
Abbey National NA
6/27/00 6.10 40,000,000 39,422,900
Aegon Funding Corp.
9/12/00 6.38 42,000,000 40,817,560
Aspen Funding Corp.
6/26/00 6.12 65,000,000 64,069,420
Bayerische Landesbank
Girozentrale
4/4/00 5.91 150,000,000 149,926,875
Centric Capital Corp.
4/25/00 6.08 49,700,000 49,499,543
Citibank Credit Card Master
Trust I (Dakota Certificate
Program)
5/8/00 6.06 25,000,000 24,845,833
5/12/00 6.06 15,000,000 14,897,842
Citicorp
4/13/00 6.00 50,000,000 49,900,500
Corporate Receivables Corp.
4/13/00 6.00 50,000,000 49,900,500
Cregem North America, Inc.
10/30/00 6.50 20,000,000 19,269,778
11/29/00 6.44 150,000,000 143,798,750
CXC, Inc.
4/4/00 5.95 30,000,000 29,985,175
4/6/00 5.91 50,000,000 49,959,167
4/17/00 6.00 50,000,000 49,867,333
5/1/00 6.06 80,000,000 79,599,333
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
CXC, Inc. - continued
5/4/00 6.10% $ 50,000,000 $ 49,722,708
Daimler-Chrysler North
America Holding Corp.
5/4/00 6.01 50,000,000 49,728,667
Delaware Funding Corp.
4/24/00 5.96 56,700,000 56,486,273
Den Danske Corp., Inc.
8/4/00 6.25 60,000,000 58,737,500
Deutsche Bank Financial, Inc.
4/3/00 5.93 75,000,000 74,975,542
Dexia CLF Finance Co.
4/26/00 5.94 60,000,000 59,756,250
Edison Asset Securitization LLC
4/3/00 5.90 128,314,000 128,272,298
4/6/00 5.91 10,053,000 10,044,790
4/10/00 5.93 100,000,000 99,852,500
4/10/00 5.95 53,589,000 53,509,688
4/17/00 5.91 115,000,000 114,701,000
4/18/00 6.00 80,000,000 79,774,844
4/18/00 6.05 67,392,000 67,200,420
4/24/00 6.04 74,491,000 74,205,451
5/22/00 6.03 50,000,000 49,578,542
5/22/00 6.04 56,284,000 55,809,573
Enterprise Funding Corp.
4/17/00 6.02 58,126,000 57,971,256
Falcon Asset Securitization
Corp.
4/3/00 5.90 78,020,000 77,994,557
4/5/00 5.90 50,000,000 49,967,500
4/6/00 5.91 50,000,000 49,959,167
4/10/00 5.94 20,000,000 19,970,500
4/11/00 5.91 15,000,000 14,975,500
4/11/00 5.95 100,000,000 99,835,556
4/17/00 5.95 65,000,000 64,829,556
4/24/00 6.11 25,000,000 24,902,889
5/1/00 6.09 75,000,000 74,622,500
Fleet Funding Corp.
5/17/00 6.10 7,167,000 7,111,687
GE Capital International
Funding, Inc.
6/20/00 6.20 65,000,000 64,117,444
9/13/00 6.34 52,000,000 50,536,633
General Electric Capital Corp.
5/17/00 6.01 200,000,000 198,487,111
Goldman Sachs Group, Inc.
5/15/00 6.00 80,000,000 79,422,133
6/14/00 6.11 150,000,000 148,146,917
GTE Corp.
4/4/00 5.93 15,000,000 14,992,625
4/24/00 6.10 52,000,000 51,798,673
Heller Financial, Inc.
4/7/00 5.97 15,000,000 14,985,150
4/11/00 6.06 30,000,000 29,949,750
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
4/17/00 6.11% $ 10,000,000 $ 9,972,978
4/25/00 6.15 15,000,000 14,938,800
4/27/00 6.18 50,000,000 49,777,917
Kitty Hawk Funding Corp.
4/18/00 6.11 80,272,000 80,041,151
4/28/00 6.12 92,548,000 92,125,287
8/15/00 6.27 49,457,000 48,321,028
9/20/00 6.41 20,000,000 19,406,600
MCI WorldCom, Inc.
4/3/00 5.93 20,000,000 19,993,444
4/5/00 6.00 5,000,000 4,996,683
4/12/00 6.00 10,000,000 9,981,758
Merrill Lynch & Co., Inc.
6/5/00 6.19 100,000,000 98,895,000
Morgan Stanley Dean Witter &
Co.
4/13/00 5.94 55,000,000 54,891,833
4/24/00 6.08 50,000,000 49,806,736
5/26/00 6.04 55,000,000 54,500,035
New Center Asset Trust
5/15/00 6.03 35,000,000 34,746,756
Newport Funding Corp.
4/11/00 5.91 50,000,000 49,918,750
4/24/00 6.11 30,000,000 29,883,467
6/21/00 6.12 50,000,000 49,325,675
9/18/00 6.35 115,000,000 111,660,208
Park Avenue Receivables Corp.
4/5/00 5.90 120,000,000 119,921,733
PHH Corp.
5/1/00 6.22 45,000,000 44,768,625
Preferred Receivables Funding
Corp.
4/6/00 6.02 46,735,000 46,696,054
4/11/00 5.93 58,905,000 58,808,625
4/17/00 6.02 225,000,000 224,401,000
Salomon Smith Barney
Holdings, Inc.
4/26/00 6.08 25,000,000 24,894,965
Societe Generale NA
5/22/00 6.00 100,000,000 99,167,000
8/3/00 6.25 200,000,000 195,825,333
12/26/00 6.69 40,000,000 38,096,078
The Bear Stearns Companies,
Inc.
4/17/00 5.94 45,000,000 44,882,400
Three Rivers Funding Corp.
4/10/00 5.95 70,000,000 69,896,400
Triple-A One Funding Corp.
4/4/00 5.90 44,360,000 44,338,301
4/19/00 5.93 100,000,000 99,706,500
UBS Finance, Inc.
4/3/00 6.32 447,354,000 447,197,115
Westdeutsche Landesbank
Girozentrale
5/24/00 6.04 100,000,000 99,124,028
COMMERCIAL PAPER - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Windmill Funding Corp.
4/4/00 5.90% $ 28,895,000 $ 28,880,866
4/5/00 5.90 25,000,000 24,983,694
4/10/00 5.93 25,000,000 24,963,125
4/11/00 5.93 50,000,000 49,918,056
4/18/00 6.07 66,325,000 66,135,826
4/24/00 6.06 100,000,000 99,615,389
4/25/00 6.10 25,000,000 24,898,833
TOTAL COMMERCIAL PAPER 5,992,997,711
FEDERAL AGENCIES - 3.1%
FREDDIE MAC - 3.1%
Discount Notes - 3.1%
4/4/00 5.75 500,000,000 499,761,456
BANK NOTES - 4.9%
Bank of America NA
5/18/00 6.00 160,000,000 160,000,000
6/21/00 6.10 100,000,000 100,000,000
Bank One NA, Chicago
4/19/00 6.02 (c) 50,000,000 49,980,779
4/24/00 6.00 (c) 80,000,000 79,959,891
5/30/00 6.00 60,000,000 60,000,000
Comerica Bank, Detroit
4/13/00 6.03 (c) 63,000,000 62,984,784
First Union National Bank,
North Carolina
4/4/00 6.09 (c) 75,000,000 75,000,000
4/26/00 6.04 (c) 54,000,000 54,000,000
Fleet National Bank
4/3/00 6.28 (c) 40,000,000 39,982,151
NationsBank NA
4/3/00 6.15 (c) 90,000,000 89,999,545
TOTAL BANK NOTES 771,907,150
MASTER NOTES - 0.7%
J.P. Morgan Securities, Inc.
4/7/00 6.12 (c) 120,000,000 120,000,000
MEDIUM-TERM NOTES - 4.8%
Abbey National Treasury
Services PLC
8/3/00 5.85 50,000,000 49,991,872
AT&T Corp.
4/7/00 5.99 (c) 175,000,000 175,000,000
Centex Home Mortgage LLC
4/20/00 6.21 (a)(c) 80,000,000 80,000,000
CIESCO LP
4/17/00 5.98 (c) 50,000,000 49,997,117
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
Ford Motor Credit Co.
4/3/00 6.20% (c) $ 50,000,000 $ 50,000,000
5/23/00 6.09 (c) 100,000,000 99,972,963
General Electric Capital Corp.
4/12/00 5.98 (c) 38,000,000 38,000,000
5/12/00 6.05 (c) 43,000,000 43,000,000
Merrill Lynch & Co., Inc.
5/3/00 6.09 (b)(c) 70,000,000 69,993,000
Morgan Stanley Dean Witter &
Co.
6/30/00 6.30 (c) 100,000,000 99,993,940
TOTAL MEDIUM-TERM NOTES 755,948,892
SHORT-TERM NOTES - 4.2%
Jackson National Life
Insurance Co.
4/2/00 6.16 (c)(d) 47,000,000 47,000,000
Monumental Life Insurance Co.
4/3/00 6.05 (c)(d) 36,000,000 36,000,000
4/3/00 6.08 (c)(d) 55,000,000 55,000,000
5/1/00 6.21 (c)(d) 95,000,000 95,000,000
New York Life Insurance Co.
4/3/00 6.28 (c)(d) 39,000,000 39,000,000
6/1/00 6.22 (c)(d) 37,000,000 37,000,000
Pacific Life Insurance Co.
6/9/00 6.22 (c)(d) 37,000,000 37,000,000
RACERS Series 1999 16MM,
4/3/00 5.94 (a)(c) 73,000,000 73,000,000
SMM Trust Series 1999 E,
4/5/00 6.02 (a)(c) 28,000,000 28,000,000
SMM Trust Series 1999 I,
5/26/00 6.11 (a)(c) 29,000,000 29,000,000
Strategic Money Market Trust
Series 1999 A6,
4/13/00 6.15 (a)(c) 139,000,000 139,000,000
Strategic Money Market Trust
Series 2000 B,
6/13/00 6.15 (a)(c) 57,000,000 57,000,000
TOTAL SHORT-TERM NOTES 672,000,000
TIME DEPOSITS - 17.3%
Barclays Bank PLC
4/3/00 6.38 150,000,000 150,000,000
Bayerische Hypo-und
Vereinsbank AG
4/3/00 6.38 500,000,000 500,000,000
Citibank, New York NA
4/3/00 6.38 140,000,000 140,000,000
Credit Swiss First Boston Bank
4/3/00 6.31 500,000,000 500,000,000
TIME DEPOSITS - CONTINUED
DUE DATE ANNUALIZED YIELD AT TIME OF PRINCIPAL AMOUNT VALUE (NOTE 1)
PURCHASE
National Westminster Bank PLC
4/3/00 6.31% $ 250,000,000 $ 250,000,000
Norddeutsche Landesbank
Girozentrale
4/3/00 6.31 350,000,000 350,000,000
Norwest Bank NA, Minnesota
4/3/00 6.31 700,000,000 700,000,000
Societe Generale
4/3/00 6.31 150,000,000 150,000,000
TOTAL TIME DEPOSITS 2,740,000,000
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
REPURCHASE AGREEMENTS - 9.7%
MATURITY AMOUNT
In a joint trading account
(U.S. Treasury Obligations)
dated 3/31/00 due 4/3/00 At:
6.17% $ 4,572,348 4,570,000
6.27% 374,556,663 374,361,000
With:
Credit Suisse First Boston, 100,054,167 100,000,000
Inc. At 6.5%, dated 3/31/00
due 4/3/00 (Commercial Paper
Obligations) (principal
amount $107,300,000) 0%,
4/3/00 - 9/5/00
Goldman Sachs & Co. At 6.38%, 560,297,500 560,000,000
dated 3/31/00 due 4/3/00
(Commercial Paper
Obligations) (principal
amount $578,728,000) 0%,
4/10/00 - 9/28/00
J.P. Morgan Securities At 200,107,500 200,000,000
6.45%, dated 3/31/00 due
4/3/00 (Commercial Paper
Obligations) (principal
amount $207,654,054) 0% -
6.42%, 6/15/00 - 9/28/00
Lehman Bros, Inc. At 6.4%, 300,160,000 300,000,000
dated 3/31/00 due 4/3/00
(Corporate Obligations)
(principal amount
$380,650,198) 0% - 9.08%,
7/15/01 - 5/1/31
TOTAL REPURCHASE AGREEMENTS 1,538,931,000
TOTAL INVESTMENT PORTFOLIO 16,052,254,420
- - 101.2%
NET OTHER ASSETS - (1.2)% (186,181,381)
NET ASSETS - 100% $ 15,866,073,039
</TABLE>
Total Cost for Income Tax Purposes $ 16,052,254,420
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 $406,000,000 or 2.6% of net assets.
(b) Security purchased on a delayed delivery or when-issued basis.
(c) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end. The due dates on these types of
securities reflects the next interest rate reset date or, when
applicable, the final maturity date.
(d) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
Additional information on each holding is as follows:
SECURITY ACQUISITION DATE COST
Jackson National Life 7/6/99 $ 47,000,000
Insurance Co. 6.16%, 4/2/00
Monumental Life Insurance 7/31/98 - 9/17/98 $ 36,000,000
Co.: 6.05%, 4/3/00
6.08%, 4/3/00 3/12/99 $ 55,000,000
6.21%, 5/1/00 1/28/00 $ 95,000,000
New York Life Insurance Co.: 8/13/99 $ 37,000,000
6.22%, 6/1/00
6.28% 4/3/00 12/20/99 $ 39,000,000
Pacific Life Insurance Co. 8/31/99 $ 37,000,000
6.22%, 6/9/00
INCOME TAX INFORMATION
At March 31, 2000, the fund had a capital loss carryforward of
approximately $2,209,000 of which $317,000, $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.
OTHER INFORMATION
The fund invested in securities that are not registered under the
Securities Act of 1933. These securities are subject to legal or
contractual restrictions on resale. At the end of the period,
restricted securities (excluding Rule 144A issues) amounted to
$346,000,000 and 2.2% of net assets.
The fund participated in the interfund lending program as a lender.
The average daily loan balance during the period for which loans were
outstanding amounted to $13,268,200. The weighted average interest
rate was 5.26%. Interest earned from the interfund lending program
amounted to $9,689 and is included in interest income on the Statement
of Operations.
MONEY MARKET PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2000
ASSETS
Investment in securities, at $ 16,052,254,420
value (including repurchase
agreements of
$1,538,931,000) - See
accompanying schedule
Interest receivable 58,348,338
Other receivables 9,232
TOTAL ASSETS 16,110,611,990
LIABILITIES
Payable for investments $ 135,000,000
purchased Regular delivery
Delayed delivery 69,993,000
Share transactions in process 7,063,577
Distributions payable 28,440,293
Accrued management fee 2,041,763
Distribution fees payable 167,115
Other payables and accrued 1,833,203
expenses
TOTAL LIABILITIES 244,538,951
NET ASSETS $ 15,866,073,039
Net Assets consist of:
Paid in capital $ 15,868,394,109
Accumulated net realized gain (2,321,070)
(loss) on investments
NET ASSETS $ 15,866,073,039
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($14,983,657,648 (divided
by) 14,985,827,278 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($199,550,850 (divided by)
199,579,745 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($682,864,541 (divided by)
682,963,420 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 2000
INTEREST INCOME $ 841,116,737
EXPENSES
Management fee $ 30,357,913
Transfer agent fees
Class I 3,362,473
Class II 45,871
Class III 183,393
Distribution fees
Class II 228,582
Class III 1,622,033
Accounting fees and expenses 870,428
Non-interested trustees' 48,785
compensation
Custodian fees and expenses 267,387
Registration fees 1,900,565
Audit 67,927
Legal 51,257
Miscellaneous 25,807
Total expenses before 39,032,421
reductions
Expense reductions (9,859,681) 29,172,740
NET INTEREST INCOME 811,943,997
NET REALIZED GAIN (LOSS) ON (93,341)
INVESTMENTS
NET INCREASE IN NET ASSETS $ 811,850,656
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 2000 YEAR ENDED MARCH 31, 1999
ASSETS
Operations Net interest income $ 811,943,997 $ 658,281,621
Net realized gain (loss) (93,341) 46,094
NET INCREASE (DECREASE) IN 811,850,656 658,327,715
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (770,963,387) (620,092,279)
Class II (7,882,635) (6,802,226)
Class III (33,097,975) (31,387,116)
TOTAL DISTRIBUTIONS (811,943,997) (658,281,621)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I 2,215,659,788 3,384,051,137
Class II 109,824,473 3,745,773
Class III 30,345,612 164,699,216
TOTAL SHARE TRANSACTIONS 2,355,829,873 3,552,496,126
TOTAL INCREASE (DECREASE) 2,355,736,532 3,552,542,220
IN NET ASSETS
NET ASSETS
Beginning of period 13,510,336,507 9,957,794,287
End of period $ 15,866,073,039 $ 13,510,336,507
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .053 .055 .053 .057
Less Distributions
From net interest income (.053) (.053) (.055) (.053) (.057)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.47% 5.40% 5.68% 5.43% 5.90%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 14,983,658 $ 12,768,085 $ 9,383,996 $ 8,714,137 $ 6,465,953
(000 omitted)
Ratio of expenses to average .18% B .18% B .18% B .18% B .18% B
net assets
Ratio of net interest income 5.36% 5.24% 5.54% 5.31% 5.73%
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 E
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 .051 .054 .051 .022
Less Distributions
From net interest income (.052) (.051) (.054) (.051) (.022)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 5.31% 5.24% 5.52% 5.27% 2.17%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 199,551 $ 89,741 $ 85,990 $ 167,583 $ 64,200
(000 omitted)
Ratio of expenses to average .33% D .33% D .33% D .33% D .33% A, D
net assets
Ratio of net interest income 5.17% 5.13% 5.39% 5.16% 5.29% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .050 .053 .050 .055
Less Distributions
From net interest income (.051) (.050) (.053) (.050) (.055)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 5.20% 5.14% 5.41% 5.17% 5.61%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 682,865 $ 652,511 $ 487,808 $ 444,048 $ 229,530
(000 omitted)
Ratio of expenses to average .43% B .43% B .43% B .43% B .45% B
net assets
Ratio of net interest income 5.10% 4.98% 5.28% 5.06% 5.46%
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.
TAX-EXEMPT PORTFOLIO
INVESTMENTS MARCH 31, 2000
Showing Percentage of Net Assets
<TABLE>
<CAPTION>
<S> <C> <C> <C>
MUNICIPAL SECURITIES - 103.5%
PRINCIPAL AMOUNT VALUE (NOTE 1)
ALASKA - 0.9%
Alaska Hsg. Fin. Corp.:
Bonds Series 1999 B, 4% $ 3,645,000 $ 3,645,000
12/1/00 (MBIA Insured)
Participating VRDN:
Series FRRI 98 2, 4% 3,010,000 3,010,000
(Liquidity Facility Bank of
New York NA) (b)(d)
Series FRRI 99 2, 4% 5,800,000 5,800,000
(Liquidity Facility
Commerzbank AG) (b)(d)
Series Merlots 99 D, 4.05% 3,300,000 3,300,000
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (b)(d)
Valdez Marine Term. Rev.
Rfdg. Bonds (Atlantic
Richfield Co. Proj.):
Series 1994 A, 3.65% tender 2,300,000 2,300,000
4/12/00, CP mode
Series 1994 C, 3.6% tender 1,500,000 1,500,000
4/11/00, CP mode
19,555,000
ALABAMA - 3.0%
Anniston Ind. Dev. Board 9,100,000 9,100,000
(Monsanto Co. Proj.) Series
1992, 4.1%, VRDN (b)
Anniston Solid Waste Disp. 2,230,000 2,230,000
Auth. (Monsanto Co. Proj.)
Series 1992, 4.1%, VRDN (b)
Birmingham Pub. Park & 9,200,000 9,200,000
Recreation Board Rev.
(McWane Ctr. Proj.) Series
1997, 4%, LOC Amsouth Bank,
Birmingham, VRDN (b)
Decatur Ind. Dev. Board Poll.
Cont. Rev.:
(Monsanto Co. Proj.) Series 5,925,000 5,925,000
1990, 4.1%, VRDN (b)
Rfdg. (Monsanto Co. Proj.):
Series 1992, 4.1%, VRDN (b) 3,500,000 3,500,000
Series 1994, 4.1%, VRDN (b) 3,115,000 3,115,000
Huntsville Ind. Dev. Board 1,000,000 1,000,000
Rev. Rfdg. (PPG Industries,
Inc. Proj.) Series 1992,
3.95%, VRDN (b)
Jefferson County Swr. Rev. 10,200,000 10,200,000
Participating VRDN Series PA
487R, 3.96% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
Mobile Ind. Dev. Board Poll. 12,000,000 12,000,000
Cont. Rev. (Alabama Pwr. Co.
Proj.) Series C, 3.82%, VRDN
(b)
Tarrant City Ind. Dev. Board 2,300,000 2,300,000
Rev. Rfdg. (Philip Morris
Co., Inc. Proj.) Series
1993, 4.05%, VRDN (b)
Tuscaloosa County Port Auth. 3,710,000 3,710,000
Rev. (Capstone Hotel Ltd.
Proj.) Series 1989 A, 3.95%,
LOC Southtrust Bank NA, VRDN
(b)
62,280,000
PRINCIPAL AMOUNT VALUE (NOTE 1)
ARKANSAS - 0.9%
Arkansas Hosp. Equip. Fin. $ 2,900,000 $ 2,900,000
Auth. (Arkansas Hosp. Assoc.
Pooled Fing. Prog.) Series
1998 A, 4%, LOC Bank of
America NA, VRDN (b)
Crossett Poll. Cont. Rev. 4,200,000 4,200,000
(Georgia-Pacific Corp.
Proj.) 3.95%, LOC Suntrust
Bank, VRDN (b)
Pulaski County Health 12,200,000 12,200,000
Facilities Board Rev.
(Catholic Health Initiatives
Proj.) Series 2000 B, 4.05%,
LOC Bank One NA, VRDN (b)
19,300,000
ARIZONA - 1.5%
Maricopa County Poll. Cont. 2,250,000 2,250,000
Rev. Bonds (Southern
California Edison Co. Proj.)
Series 1985 F, 3.65% tender
4/12/00, CP mode
Phoenix Ind. Dev. Auth. 18,000,000 18,000,000
Multi-family Hsg. Rev. Rfdg.
(Paradise Lakes Apt. Proj.)
Series 1995, 4.05%, LOC Gen.
Elec. Cap. Corp., VRDN (b)
Pinal County Ind. Dev. Auth. 9,845,000 9,845,000
Hosp. Rev. (Casa Grande Med.
Ctr. Proj.) Series 1995, 4%,
LOC Chase Manhattan Bank,
VRDN (b)
30,095,000
CALIFORNIA - 0.9%
California Higher Ed. Student
Ln. Auth. Rev. Bonds:
Series 1987 A, 3.18%, tender 16,700,000 16,700,000
5/1/00, LOC Nat'l.
Westminster Bank PLC
Series 1992 A2, 3.18%, tender 2,300,000 2,298,563
4/1/00, LOC Student Ln.
Marketing Assoc.
18,998,563
COLORADO - 0.6%
Colorado Springs Utils. Rev. 1,000,000 1,000,000
Participating VRDN Series
FRRI 19, 4.05% (Liquidity
Facility Bank of New York
NA) (b)(d)
Denver City & County Arpt.
Rev. Participating VRDN:
Series 1997 Q, 4.05% 2,900,000 2,900,000
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (b)(d)
Series FRRI 13, 4% (Liquidity 4,600,000 4,600,000
Facility Bank of New York
NA) (b)(d)
Series MSDW 98 153, 3.98% 4,600,000 4,600,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
13,100,000
DISTRICT OF COLUMBIA - 0.9%
District of Columbia Gen.
Oblig. Participating VRDN:
Series Merlots 99 P, 4.05% 2,800,000 2,800,000
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (b)(d)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
DISTRICT OF COLUMBIA -
CONTINUED
District of Columbia Gen.
Oblig. Participating VRDN: -
continued
Series ROC 2 99 10, 3.96% $ 3,965,000 $ 3,965,000
(Liquidity Facility Toronto
Dominion Bank) (b)(d)
Series ROC 2 99 12, 3.96% 4,200,000 4,200,000
(Liquidity Facility Salomon
Smith Barney Hldgs., Inc.)
(b)(d)
District of Columbia Rev.:
Bonds (The American Nat'l. 3,300,000 3,300,000
Red Cross Issue Proj.)
Series 2000, 3.7% tender
4/13/00, LOC Bank One NA, CP
mode
(Nat'l. Academy of Sciences 3,500,000 3,500,000
Proj.) Series 1999 C, 3.95%
(AMBAC Insured), VRDN (b)
17,765,000
DELAWARE - 0.3%
Delaware Hsg. Auth. 6,110,000 6,110,000
Participating VRDN Series PA
39, 3.96% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
FLORIDA - 5.4%
Brevard County School 3,500,000 3,504,997
District TAN 4% 6/30/00
Broward County Fin. Auth. 1,620,000 1,620,000
Multi-family Hsg. Rev. (Palm
Aire-Oxford Proj.) Series
1990, 4% (Continental
Casualty Co. Guaranteed),
VRDN (b)
Florida Board of Ed. Cap. 3,000,000 3,000,000
Outlay Participating VRDN
Series PT 1223, 3.96%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (b)(d)
Florida Cap. Projects Fin. 20,000,000 20,000,000
Auth. (Florida Hosp. Assoc.
Cap. Proj.) Series 1998 A,
3.9% (FSA Insured), VRDN (b)
Florida Hsg. Fin. Agcy. 1,500,000 1,500,000
Multi-family Hsg. Rev. Rfdg.
(Brandon-Oxford Proj.)
Series 1990 C, 4%
(Continental Casualty Co.
Guaranteed), VRDN (b)
Florida Local Govt. Fin. 4,991,000 4,991,000
Auth. Rev. Series A, 3.75%
4/12/00, LOC First Union
Nat'l. Bank, North Carolina,
CP
Indian River County Hosp.
District Hosp. Rev. Bonds:
Series 1988, 3.85% tender 2,000,000 2,000,000
4/6/00, LOC Kredietbank, CP
mode
Series 1989, 3.85% tender 1,000,000 1,000,000
4/6/00, LOC Kredietbank, CP
mode
Jacksonville Elec. Auth. Rev.:
Series A, 3.9% 4/7/00, CP 2,101,000 2,101,000
Series C1, 3.75% 4/12/00, CP 6,000,000 6,000,000
Series E, 3.9% 4/4/00, CP 2,400,000 2,400,000
Jacksonville Gen. Oblig. 3,000,000 3,000,000
3.65% 4/12/00, CP
Lee County Hosp. Board
Directors Hosp. Rev. Bonds
(Lee Memorial Hosp. Proj.):
Series 1985 D, 4.1% tender 7,500,000 7,500,000
5/3/00, CP mode
PRINCIPAL AMOUNT VALUE (NOTE 1)
Series 1997 B, 3.85% tender $ 4,800,000 $ 4,800,000
4/11/00, CP mode
Lee County Hsg. Fin. Auth. 5,100,000 5,100,000
Multi-family Hsg. Rev. Rfdg.
(Forestwood Apts. Proj.)
3.9% (Fannie Mae
Guaranteed), VRDN (b)
Orange County Health
Facilities Auth. Rev.:
Participating VRDN Series PA 3,985,000 3,985,000
95, 4.1% (Liquidity Facility
Merrill Lynch & Co., Inc.)
(b)(d)(e)
(SHCC Svcs., Inc. Proj.) 3,610,000 3,610,000
Series 1992, 3.95%, LOC
Suntrust Bank, VRDN (b)
Saint Lucie County Poll.
Cont. Rev. Rfdg. Bonds
(Florida Pwr. & Lt. Co.
Proj.) Series 1994 A:
3.65% tender 4/13/00, CP mode 7,600,000 7,600,000
3.8% tender 4/14/00, CP mode 3,500,000 3,500,000
Sarasota County Pub. Hosp.
District Rev. Bonds
(Sarasota Memorial Hosp.
Proj.) Series A:
3.85% tender 4/7/00, CP mode 7,500,000 7,500,000
4.15% tender 8/10/00, CP mode 7,000,000 7,000,000
Tampa Sports Auth. 9,300,000 9,300,000
Participating VRDN Series
SGA 61, 4% (Liquidity
Facility Societe Generale)
(b)(d)
111,011,997
GEORGIA - 7.6%
Burke County Ind. Dev. Auth.
Poll. Cont. Rev. Bonds
(Georgia Pwr. Co. Plant
Vogtle Proj.):
Second Series 1995, 3.78% 4,200,000 4,200,000
tender 4/25/00, CP mode
Series 1996, 3.75% tender 30,200,000 30,200,000
4/24/00, CP mode
Clayton County Hsg. Auth. 7,215,000 7,215,000
Multi-family Hsg. Rev. Rfdg.
(Partners LP Proj.) Series
1996, 4%, LOC Wachovia Bank
NA, VRDN (b)
Columbia County Elderly Auth. 6,670,000 6,670,000
Residential Care Facilities
Rev. (Augusta Residential
Ctr. on Aging Proj.) 3.95%,
LOC Suntrust Bank, VRDN (b)
DeKalb County Dev. Auth. Rev.:
(BDS Oglethorpe Univ. Proj.) 5,515,000 5,515,000
3.95%, LOC Suntrust Bank,
VRDN (b)
(Marist School, Inc. Proj.) 2,000,000 2,000,000
Series 1999, 3.95%, LOC
Suntrust Bank, VRDN (b)
Georgia Gen. Oblig.
Participating VRDN:
Series 991002, 3.98% 8,400,000 8,400,000
(Liquidity Facility
Citibank, New York NA) (b)(d)
Series ROC 2 R11, 3.96% 7,700,000 7,700,000
(Liquidity Facility Salomon
Smith Barney Hldgs., Inc.)
(b)(d)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
GEORGIA - CONTINUED
Georgia Muni. Elec. Auth.:
Bonds Series 1985 A, 3.8% $ 14,650,000 $ 14,650,000
tender 4/13/00, LOC
Landesbank Hessen-Thuringen,
CP mode
Participating VRDN Series 7,750,000 7,750,000
FRRI A71, 4% (Liquidity
Facility Bayerische Hypo-und
Vereinsbank AG) (b)(d)
Series A:
3.8% 4/12/00, LOC Morgan 11,850,000 11,850,000
Guaranty Trust Co., NY, LOC
Bayerische Landesbank
Girozentrale, CP
4.1% 5/1/00, LOC Morgan 9,850,000 9,850,000
Guaranty Trust Co., NY, LOC
Bayerische Landesbank
Girozentrale, CP
Series B:
3.6% 4/5/00, LOC Morgan 1,200,000 1,200,000
Guaranty Trust Co., NY, LOC
Bayerische Landesbank
Girozentrale, CP
4.1% 5/4/00, LOC Morgan 2,700,000 2,700,000
Guaranty Trust Co., NY, LOC
Bayerische Landesbank
Girozentrale, CP
Gwinnett County Hsg. Auth. 3,000,000 3,000,000
Multi-family Hsg. Rev. (Post
Apts. Homes Proj.) 3.9%
(Fannie Mae Guaranteed),
VRDN (b)
Henry County Dev. Auth. Rev. 2,000,000 2,000,000
Rfdg. (Georgia-Pacific Corp.
Proj.) 3.95%, LOC Suntrust
Bank, VRDN (b)
Metro. Atlanta Rapid Transit 5,785,000 5,785,000
Auth. Sales Tax Rev.
Participating VRDN Series
MSDW 00 227, 3.98%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Roswell Hsg. Auth. 5,200,000 5,200,000
Multi-family Hsg. Rev.
(Autumnbrook Apts. Proj.)
Series 1991 A, 4.05%, LOC
Amsouth Bank, Birmingham,
VRDN (b)
South Georgia Hosp. Auth. 21,400,000 21,400,000
Rev. (Alliance Cmnty. Hosp.
Proj.) Series 1999 A, 4%
(AMBAC Insured), VRDN (b)
157,285,000
IOWA - 0.2%
Iowa Fin. Auth. Rev. (Wheaton 3,800,000 3,800,000
Franciscan Svcs. Proj.)
Series 1998 B, 3.85% (MBIA
Insured), VRDN (b)
IDAHO - 0.3%
Caribou County Poll. Cont.
Rev. Rfdg. (Monsanto Co.
Proj.):
Series 1990, 4.1%, VRDN (b) 3,600,000 3,600,000
Series 1994 A, 4.1%, VRDN (b) 3,000,000 3,000,000
6,600,000
PRINCIPAL AMOUNT VALUE (NOTE 1)
ILLINOIS - 8.4%
Chicago Board of Ed. $ 9,000,000 $ 9,000,000
Participating VRDN Series BA
96 BB, 4.06% (Liquidity
Facility Bank of America NA)
(b)(d)
Chicago Pub. Bldg. Cmnty. 1,695,000 1,695,000
Bldg. Participating VRDN
Series PA 473, 3.96%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (b)(d)
Chicago Tax Increment Alloc. 11,400,000 11,400,000
Rev. (Stockyards Southeast
Quad Proj.) Series 1996 B,
4%, LOC Northern Trust Co.,
Chicago, VRDN (b)
Glendale Heights 1,330,000 1,330,000
Participating VRDN Series PT
106, 3.99% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
Illinois Dev. Fin. Auth. Rev.:
(Adventist Health Sys. Proj.) 3,500,000 3,500,000
Series A, 3.95% (MBIA
Insured), VRDN (b)
(AMR Pooled Fing. Prog.) 23,000,000 23,000,000
Series A, 4% (Bank of
America NA Guaranteed), VRDN
(b)
(Local Govt. Fing. Prog.):
Series 1999 A, 4% (AMBAC 11,200,000 11,200,000
Insured), VRDN (b)
Series 1999 B, 4% (AMBAC 5,400,000 5,400,000
Insured), VRDN (b)
Illinois Edl. Facilities
Auth. Rev.:
Participating VRDN Series 4,250,000 4,250,000
Merlots 97 U, 4.05%
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (b)(d)
(Art Institute of Chicago
Proj.):
Series 1992, 3.95% (BPA Bank 5,900,000 5,900,000
of America NA), VRDN (b)
Series 1996, 3.95% (Liquidity 7,600,000 7,600,000
Facility Bank of America
NA), VRDN (b)
(Field Museum of Natural 7,000,000 7,000,000
History Proj.) Series 2000,
3.95%, LOC Bank One NA, VRDN
(b)
Illinois Gen. Oblig.
Participating VRDN:
Series MSDW 00 257, 3.98% 3,000,000 3,000,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Series MSDW 98 143, 3.98% 20,070,000 20,070,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Illinois Health Facilities
Auth. Rev.:
(Franciscan Eldercare & 3,150,000 3,150,000
Cmnty. Svcs. Proj.) Series
1996 B, 3.9%, LOC LaSalle
Nat'l. Bank, Chicago, VRDN
(b)
(Little Co. of Mary Hosp. 18,905,000 18,905,000
Proj.) Series 1997 B, 3.95%
(MBIA Insured), VRDN (b)
(Resurrection Health Care 15,250,000 15,250,000
Proj.) Series B, 3.95% (FSA
Insured), VRDN (b)
Illinois Hsg. Dev. Auth. 3,700,000 3,700,000
Homeowner Mtg. Rev. Bonds
Series E1, 3.55%, tender
7/27/00
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
ILLINOIS - CONTINUED
Illinois Hsg. Dev. Auth. $ 1,000,000 $ 1,000,000
Multi-family Hsg. Rev. Bonds
Series 1999 B1, 4.2%, tender
12/22/00
Illinois Reg'l. Trans. Auth. 17,500,000 17,500,000
Participating VRDN Series SG
82, 3.96% (Liquidity
Facility Societe Generale)
(b)(d)
173,850,000
INDIANA - 1.3%
Fort Wayne Econ. Dev. Rev. 3,950,000 3,950,000
(Edy's Grand Ice Cream
Proj.) Series 1985, 4.025%,
LOC Bank of America NA, VRDN
(b)
Fort Wayne Poll. Cont. Rev. 3,300,000 3,300,000
(Gen. Motors Corp. Proj.)
4%, VRDN (b)
Indiana Bond Bank TAN Series 9,000,000 9,039,719
2000 A2, 4.75% 1/18/01, LOC
Bank of America NA
Indianapolis Local Pub. Impt. 3,600,000 3,605,774
Bond Bank TAN Series F, 4.5%
7/10/00
Rockport Poll. Cont. Rev. 3,300,000 3,300,000
Rfdg. (Indiana Michigan Pwr.
Co. Proj.) Series 1995B,
3.9% (AMBAC Insured) (BPA
Bank of New York NA), VRDN
(b)
Valparaiso Econ. Dev. Rev. 3,000,000 3,000,000
(Indiana Retirement Cmnty.
Proj.) 4%, LOC Bank One,
Indiana NA, VRDN (b)
26,195,493
KANSAS - 0.6%
Burlington Poll. Cont. Rev. 8,000,000 8,000,000
Participating VRDN FRRI A15,
4% (Liquidity Facility Bank
of New York NA) (b)(d)
La Cygne Envir. Impt. Rev. 4,500,000 4,500,000
Rfdg. (Kansas City Pwr. &
Lt. Co. Proj.) Series 1994,
4%, VRDN (b)
12,500,000
KENTUCKY - 1.4%
Jefferson County Poll. Cont.
Rev.:
Bonds (Louisville Gas & Elec. 3,100,000 3,100,000
Co. Proj.) Series 1996 A,
3.65% tender 4/10/00, CP mode
Rfdg. (Philip Morris Co., 1,300,000 1,300,000
Inc. Proj.) Series 1992,
4.05%, VRDN (b)
Jefferson County Retirement 3,500,000 3,500,000
Home Rev. (Nazareth Library
Proj.) 3.98%, LOC Fifth
Third Bank, Cincinnati, VRDN
(b)
Kentucky Asset Liability 4,100,000 4,100,000
Commission Gen. Fund Rev.
Bonds First Series, 3.85%
tender 4/10/00, CP mode
Kentucky Econ. Dev. Fin. 2,800,000 2,800,000
Auth. Hosp. Facilities Rev.
(Baptist Health Care Proj.)
Series B, 3.85% (MBIA
Insured), VRDN (b)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Louisville & Jefferson County $ 3,880,000 $ 3,880,000
Visitors & Convention
Commission Rev.
Participating VRDN Series PT
69, 3.96% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
Middletown Rev. (Christian 11,000,000 11,000,000
Academy Proj.) Series 1997,
4%, LOC Bank One, Kentucky
NA, VRDN (b)
29,680,000
LOUISIANA - 2.4%
Calcasieu Parish Ind. Dev.
Board Poll. Cont. Rev. Rfdg.:
(PPG Industries, Inc. Proj.) 3,400,000 3,400,000
Series 1999, 4%, VRDN (b)
(PPG Industries Proj.) Series 10,000,000 10,000,000
1992, 3.95%, VRDN (b)
Lafayette Econ. Dev. Auth. 3,750,000 3,750,000
Ind. Dev. Rev. Rfdg. (Holt
County of Louisiana Proj.)
4.235%, LOC Chase Bank of
Texas NA, LOC Morgan
Guaranty Trust Co., NY, VRDN
(b)
Louisiana Gen. Oblig. 11,170,000 11,170,000
Participating VRDN Series
MSDW 00 217, 3.98%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Lousiana Local Govt. Envir. 3,800,000 3,800,000
Facilities Cmnty. Dev. Auth.
Rev.
(Shreveport/Independence
Proj.) 3.9% (MBIA Insured),
VRDN (b)
West Baton Rouge Parish Ind.
District #3 Rev. Rfdg. Bonds
(Dow Chemical Co. Proj.)
Series 1991:
3.85% tender 4/12/00, CP mode 14,200,000 14,200,000
4.2% tender 9/14/00, CP mode 4,000,000 4,000,000
50,320,000
MASSACHUSETTS - 0.3%
Massachusetts Health & Edl. 2,835,000 2,920,187
Facilities Auth. Rev. Bonds
(Emerson Hosp. Proj.) Series
C, 8% 7/1/18 (Pre-Refunded
to 7/1/00 @ 102) (c)
New England Ed. Ln. Marketing 4,000,000 4,015,508
Corp. Massachusetts Student
Ln. Rev. Rfdg. Bonds Series
G, 5% 8/1/00
6,935,695
MARYLAND - 1.2%
Baltimore County Metro. 3,700,000 3,700,000
District 3.85% 4/10/00, CP
Baltimore Gen. Oblig. Rev. 4,500,000 4,500,000
Rfdg. Participating VRDN
Series SGA 20, 3.98%
(Liquidity Facility Societe
Generale) (b)(d)
Montgomery County Gen. Oblig. 15,500,000 15,500,000
Series 1995, 3.8% 4/13/00, CP
23,700,000
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
MICHIGAN - 2.5%
Clinton Economic Dev. Corp. $ 2,100,000 $ 2,100,000
Rev. (Clinton Area Care Ctr.
Proj.) 3.96%, LOC Northern
Trust Co., Chicago, VRDN (b)
Detroit Swr. Disp. Rev.:
Participating VRDN Series SG 4,400,000 4,400,000
133, 3.96% (Liquidity
Facility Societe Generale)
(b)(d)
Series 1998 A, 3.9% (MBIA 4,100,000 4,100,000
Insured) (BPA Morgan
Guaranty Trust Co., NY),
VRDN (b)
Detroit Swr. Rev. 2,900,000 2,900,000
Participating VRDN Series BS
99 81, 3.98% (Liquidity
Facility The Bear Stearns
Companies, Inc.) (b)(d)
Detroit Wtr. Supply Sys. Rev. 2,000,000 2,000,000
Participating VRDN Series
Merlots 00 D, 4.05%
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (b)(d)
Michigan Bldg. Auth. Rev. 1,700,000 1,700,000
Series 2, 3.65% 4/27/00, LOC
Canadian Imperial Bank of
Commerce, CP
Michigan Hosp. Fin. Auth. 5,970,000 5,970,000
Rev. Participating VRDN
Series BS 97 23, 3.98%
(Liquidity Facility The Bear
Stearns Companies, Inc.)
(b)(d)
Michigan Hsg. Dev. Auth. 3,600,000 3,600,000
Rental Hsg. Rev. Series 1997
B, 3.9%, LOC Landesbank
Hessen-Thuringen, VRDN (b)
Michigan Muni. Bond Auth.
Rev. RAN:
Series B1, 4.25% 8/25/00 4,600,000 4,611,500
Series B2, 4.25% 8/25/00, LOC 6,000,000 6,015,696
Morgan Guaranty Trust Co., NY
Michigan Strategic Fund Ltd. 8,500,000 8,500,000
Oblig. Rev. (Detroit Edison
Co. Proj.) 4%, LOC Barclays
Bank PLC, VRDN (b)
Michigan Strategic Fund Poll. 2,000,000 2,000,000
Cont. Rev. Bonds (Dow
Chemical Co. Proj.) Series
1987, 3.65% tender 4/13/00,
CP mode
Wayne Charter County Arpt. 4,100,000 4,100,000
Rev. Participating VRDN
Series SG 122, 3.96%
(Liquidity Facility Societe
Generale) (b)(d)
51,997,196
MINNESOTA - 2.4%
Minnesota Hsg. Fin. Agcy.:
Bonds (Single Family Mtg. 2,800,000 2,800,076
Prog.) Series G, 3.7%,
tender 6/29/00
Participating VRDN Series PT 9,440,000 9,440,000
114, 3.96% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
Minnesota Rev. Bonds Series 7,000,000 7,017,296
A, 5% 6/30/00 (AMBAC Insured)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Minnetonka Multi-family Hsg. $ 21,400,000 $ 21,400,000
Rev. Rfdg. (Cliffs at
Ridgedale Proj.) Series
1995, 3.95% (Fannie Mae
Guaranteed), VRDN (b)
Rochester Health Care 9,700,000 9,700,000
Facilities Rev. Bonds (Mayo
Foundation Proj.) Series
1985 C, 3.9%, tender 4/20/00
(c)
50,357,372
MISSOURI - 1.0%
Kansas City Ind. Dev. Auth. 1,600,000 1,600,000
(Ewing Marion Kauffman
Foundation Proj.) Series A,
4%, VRDN (b)
Missouri Health & Edl. 20,000,000 20,000,000
Facilities Auth. Rev.
(Missouri Pooled Hosp. Ln.
Prog.) Series 1999 A, 4%
(CDC Fdg. Corp. Guaranteed),
VRDN (b)
21,600,000
MISSISSIPPI - 0.3%
Mississippi Gen. Oblig. 5,300,000 5,300,000
Participating VRDN Series
992401, 3.82% (Liquidity
Facility Citibank, New York
NA) (b)(d)
NORTH CAROLINA - 0.7%
North Carolina Edl. 5,405,000 5,405,000
Facilities Fin. Agcy. Rev.
(Providence Day School
Proj.) Series 1999, 4%, LOC
Bank of America NA, VRDN (b)
North Carolina Gen. Oblig.
Participating VRDN:
Series MSDW 00 249, 3.96% 2,495,000 2,495,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Series MSDW 98 38, 3.96% 5,595,000 5,595,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
13,495,000
NEW JERSEY - 0.6%
Woodbridge Township Gen. 12,160,000 12,178,921
Oblig. BAN 3.9% 7/28/00
NEW MEXICO - 0.2%
New Mexico Mtg. Fin. Auth. 5,055,000 5,055,000
Bonds 3.95% 6/15/00
NEVADA - 0.2%
Nevada Gen. Oblig. 4,100,000 4,100,000
Participating VRDN Series
FRRI 36, 4% (Liquidity
Facility Bank of New York
NA) (b)(d)
NON STATE SPECIFIC - 0.5%
Stephens Equity Trust I 11,000,000 11,000,000
Participating VRDN Series
1996, 4.06%, LOC Bayerische
Hypo-und Vereinsbank AG
(b)(d)
NEW YORK - 7.3%
Board Coop. Edl. Services 1,900,000 1,902,789
Sole Supervisory District
RAN 4.375% 6/29/00, LOC
Chase Manhattan Bank
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
NEW YORK - CONTINUED
Long Island Pwr. Auth. Elec. $ 3,765,000 $ 3,765,000
Sys. Rev. Participating VRDN
Series PA 544, 3.96%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (b)(d)
Nassau County Gen. Oblig. TAN 2,000,000 2,006,056
4.75% 8/31/00, LOC First
Union Nat'l. Bank, North
Carolina
New York City Gen. Oblig.
Participating VRDN:
Series FRRI 99 A50, 4% 66,100,000 66,099,997
(Liquidity Facility
Bayerische Hypo-und
Vereinsbank AG) (b)(d)
Series FRRI 99 A51, 4% 5,000,000 5,000,000
(Liquidity Facility Bank of
New York NA) (b)(d)
New York City Muni. Wtr. Fin.
Auth. Wtr. & Swr. Sys. Rev.:
Participating VRDN Series PT 5,000,000 5,000,000
1032, 3.91% (Liquidity
Facility Bank of America NA)
(b)(d)
Series 1, 3.95% 4/4/00, LOC 7,300,000 7,300,000
Commerzbank AG, LOC Toronto
Dominion Bank, CP
Series 4, 3.65% 4/27/00, LOC 28,500,000 28,500,000
Westdeutsche Landesbank
Girozentrale, CP
New York City Transitional
Fin. Auth. Rev.
Participating VRDN:
Series FRRI 99 A46, 4% 11,000,000 11,000,000
(Liquidity Facility Bank of
New York NA) (b)(d)
Series FRRI 99 A48, 4% 5,000,000 5,000,000
(Liquidity Facility Bank of
New York NA) (b)(d)
Series Merlots 99 G, 4% 9,695,000 9,695,000
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (b)(d)
New York State Envir. 4,995,000 4,995,000
Facilities Corp. Poll. Cont.
Rev. Participating VRDN
Series PA 174, 3.96%, LOC
Merrill Lynch & Co., Inc.,
(Liquidity Facility Merrill
Lynch & Co., Inc.) (b)(d)
150,263,842
OHIO - 5.1%
Butler County Health 2,530,000 2,530,000
Facilities Rev. (Knolls of
Oxford Proj.) Series 1999,
3.9%, LOC Firstar Bank NA,
VRDN (b)
Clinton County Hosp. Rev.
(Ohio Hosp. Cap., Inc.
Pooled Prog.):
Series 1998, 4%, LOC Fifth 10,800,000 10,800,000
Third Bank, Cincinnati, VRDN
(b)
4%, LOC Nat'l. City Bank, 10,600,000 10,600,000
VRDN (b)
Dublin Gen. Oblig. BAN 4.5% 3,000,000 3,006,328
12/15/00
Franklin County Hosp. Rev. 5,380,000 5,380,000
Rfdg. & Impt. (US Healthcare
Corp.) Series C, 3.9%, LOC
Morgan Guaranty Trust Co.,
NY, VRDN (b)
Lorain County Hosp. Rev. 3,200,000 3,200,000
(Elyria United Methodist
Village Proj.) Series 1996
B, 3.97%, LOC Bank One NA,
VRDN (b)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Lorain County Independent $ 12,520,000 $ 12,520,000
Living Facilities (Elyria
United Methodist Village
Proj.) 3.97%, LOC Bank One
NA, VRDN (b)
Marion County Hosp. Impt. 5,055,000 5,055,000
Rev. (Pooled Lease Prog.)
Series 1990, 3.97%, LOC Bank
One NA, VRDN (b)
Ohio Air Quality Dev. Auth. 2,600,000 2,600,000
Rev. Bonds (Cleveland Elec.
Co. Proj.) Series 1988 B,
3.85% tender 4/12/00 (FGIC
Insured), CP mode
Ohio Higher Edl. Facilities
Rev.:
(Pooled Fing. Prog.):
Series 1997, 4%, LOC Fifth 10,220,000 10,220,000
Third Bank, Cincinnati, VRDN
(b)
Series 1999, 4%, LOC Fifth 10,000,000 10,000,000
Third Bancorp, LOC Fifth
Third Bank, Cincinnati, VRDN
(b)
3.8% 4/10/00, CP 3,000,000 3,000,000
Ohio Pub. Facilities 3,750,000 3,754,784
Commission Rev. Bonds
(Higher Ed. Cap. Facilities
Proj.) Series II A, 4.25%
12/1/00 (AMBAC Insured)
Ohio Spl. Oblig. Bonds Series 5,140,000 5,184,897
B, 5.25% 12/1/00 (FSA
Insured)
Ohio Wtr. Dev. Auth. Poll. 8,955,000 8,955,000
Cont. Facilities Rev. Rfdg.
Series 1999, 3.9% (AMBAC
Insured), VRDN (b)
Portage County Gen. Oblig. BAN:
(Nursing Home Impt. Proj.) 3,700,000 3,711,104
4.4% 11/30/00
4.5% 11/30/00 4,750,000 4,759,760
105,276,873
OKLAHOMA - 1.1%
Oklahoma City Ind. & Cultural
Facilities Bonds (SSM Health
Care Proj.) Series 1998 B:
3.65% tender 4/11/00 (MBIA 3,000,000 3,000,000
Insured) (Liquidity Facility
Bank of America NA), CP mode
3.95% tender 4/4/00 (MBIA 3,440,000 3,440,000
Insured) (Liquidity Facility
Bank of America NA), CP mode
Oklahoma Dev. Fin. Auth. Rev.
(Oklahoma Hosp. Assoc. Proj.):
Series 1999 A, 4% (CDC Fdg. 12,700,000 12,700,000
Corp. Guaranteed), VRDN (b)
Series 2000 A, 4% (CDC Fdg. 3,300,000 3,300,000
Corp. Guaranteed), VRDN (b)
22,440,000
OREGON - 0.6%
Oregon Gen. Oblig. Veterans 7,000,000 7,000,000
Welfare RAN Series 1979 B,
4.3% 4/1/01 (a)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
OREGON - CONTINUED
Oregon Health Hsg. Edl. & $ 3,400,000 $ 3,400,000
Cultural Facilities Auth.
(Hillside Manor Proj.)
Series 2000 A, 3.96%, LOC
Bank One, Arizona NA, VRDN
(b)
Oregon Hsg. & Cmnty. 2,000,000 2,000,000
Services. Dept. Bonds Series
2000 C, 4.25% 3/29/01
12,400,000
PENNSYLVANIA - 7.8%
Allegheny County Hosp. Dev. 4,770,000 4,770,000
Auth. Participating VRDN
Series MSDW 00 201, 3.96%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Allegheny County Ind. Dev. 5,700,000 5,700,000
Auth. Rev. Rfdg. (Duquesne
Lt. Co. Proj.) Series 1999
A, 4% (AMBAC Insured), VRDN
(b)
Allegheny County Port Auth. 5,000,000 5,006,442
RAN 4% 6/30/00, LOC PNC Bank
NA
Dallastown Area School 1,600,000 1,600,000
District York County Series
1998, 3.94% (FGIC Insured)
(BPA FGIC-SPI), VRDN (b)
Dauphin County Gen. Auth. 24,930,000 24,930,000
Rev. (All-Health Pooled
Fing. Prog.) Series 1997 B,
4% (FSA Insured) (BPA Cr.
Swiss First Boston Bank),
VRDN (b)
Delaware County Auth. Hosp. 4,765,000 4,765,000
Rev. (Crozer-Chester Med.
Ctr. Proj.) Series 1996,
3.82%, LOC Kredietbank, VRDN
(b)
Emmaus Gen. Auth. Rev. 32,300,000 32,300,000
(Pennsylvania Ln. Prog.)
Series 2000, 4% (FSA
Insured), VRDN (b)
Lancaster Higher Ed. Auth. 14,780,000 14,780,000
College Rev. (Franklin &
Marshall College Proj.)
3.96% (BPA Chase Manhattan
Bank), VRDN (b)
Lehigh County Ind. Dev. Auth. 2,740,000 2,740,000
Rev. (The Keebler Co. Proj.)
Series 1992, 4.05%, LOC Bank
of Nova Scotia, VRDN (b)
Montgomery County Ind. Dev. 6,120,000 6,120,000
Auth. Rev. (Gaudenzia
Foundation, Inc. Proj.) 4%,
LOC PNC Bank NA, VRDN (b)
New Garden Gen. Auth. Muni. 6,400,000 6,400,000
Rev. (Muni. Pooled Fin.
Prog.) Series 1999, 3.88%
(AMBAC Insured), VRDN (b)
Pennsylvania 12,655,000 12,655,000
Intergovernmental Coop.
Auth. Spl. Tax Rev.
Participating VRDN Series PT
339, 3.96% (Liquidity
Facility Bayerische Hypo-und
Vereinsbank AG) (b)(d)
Philadelphia Gen. Oblig. TRAN 3,500,000 3,506,248
Series 1999 2000 A, 4.25%
6/30/00
Philadelphia Ind. Dev. Rev. 2,100,000 2,100,000
(Cliveden-Maplewood
Convalescent Ctr., Inc.
Proj.) Series 1999, 4%, LOC
PNC Bank NA, VRDN (b)
Philadelphia School District 10,200,000 10,213,343
TRAN Series A, 4% 6/30/00,
LOC First Union Nat'l. Bank,
North Carolina
PRINCIPAL AMOUNT VALUE (NOTE 1)
Philadelphia Wtr. & Swr. Rev. $ 2,000,000 $ 2,000,000
Participating VRDN Series
1997 Q, 3.96% (Liquidity
Facility Caisse des Depots
et Consignations) (b)(d)
Quakertown Hosp. Auth. Hosp. 10,600,000 10,600,000
Rev. (Pooled Fing. Prog.)
Series 1985 A, 4%, LOC PNC
Bank NA, VRDN (b)
Scranton-Lackawanna Health & 4,450,000 4,450,000
Welfare Auth. Rev. (Elan
Gardens Proj.) Series 1996,
4.1%, LOC PNC Bank NA, VRDN
(b)
York Gen. Auth. Pooled Fing. 7,530,000 7,530,000
Rev. (City of Reading Proj.)
Series 1996 A, 3.9% (AMBAC
Insured), VRDN (b)
162,166,033
RHODE ISLAND - 0.3%
Rhode Island Gen. Oblig. 3.8% 5,400,000 5,400,000
(Liquidity Facility
Landesbank
Hessen-Thuringen), VRDN (b)
Rhode Island Health & Ed. 1,370,000 1,370,000
Bldg. Corp. Rev. (Providence
Country Day School Proj.)
Series 1996, 4%, LOC Fleet
Nat'l. Bank, VRDN (b)
6,770,000
SOUTH CAROLINA - 2.0%
Berkeley County Poll. Cont. 3,700,000 3,700,000
Facilities Rev. (Alumax,
Inc. Proj.) 3.96% (Alcoa,
Inc. Guaranteed), VRDN (b)
Piedmont Muni. Pwr. Agcy. 8,900,000 8,900,000
Elec. Rev. (BPA Cr. Suisse
Proj.) Series 1997 C, 3.9%
(MBIA Insured) (BPA Cr.
Swiss First Boston Bank),
VRDN (b)
South Carolina Hsg. Fin. &
Hsg. Dev. Auth. Multi-family
Rev. Rfdg.:
(Charleston Oxford Proj.) 10,180,000 10,180,000
Series 1990 B, 4%
(Continental Casualty Co.
Guaranteed), VRDN (b)
(Greenville Oxford Proj.) 4,855,000 4,855,000
Series 1990 A, 4%
(Continental Casualty Co.
Guaranteed), VRDN (b)
(Richland Oxford Proj.) 5,130,000 5,130,000
Series 1990 C, 4%
(Continental Casualty Co.
Guaranteed), VRDN (b)
South Carolina Pub. Svc. 2,700,000 2,700,000
Auth. Rev. 4.1% 9/14/00, CP
South Carolina Trans. 6,090,000 6,090,000
Infrastructure Bank Rev.
Participating VRDN Series
MSDW 98 75, 3.98% (b)(d)
41,555,000
TENNESSEE - 5.1%
Chattanooga Health Ed. & Hsg. 9,000,000 9,000,000
(McCallie School Proj.)
Series 1998, 3.95%, LOC
Suntrust Bank, VRDN (b)
Clarksville Pub. Bldg. Auth. 5,700,000 5,700,000
(City of Murfreesboro Ln.
Prog.) 4%, LOC Bank of
America NA, VRDN (b)
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
TENNESSEE - CONTINUED
Jackson Health & Hsg. $ 3,485,000 $ 3,485,000
Facilities Board
Multi-family Hsg. Rev. Rfdg.
(Post House North Apts.
Proj.) 4.05%, LOC Southtrust
Bank NA, VRDN (b)
Knox County Health & Ed. Hsg. 16,500,000 16,500,000
Facilities Board Rev.
(Pooled Hosp. Ln. Prog.)
Series 1999 A, 4% (CDC Fdg.
Corp. Guaranteed), VRDN (b)
Memphis Gen. Oblig. 30,000 30,000
Participating VRDN Series
SGB 23, 3.96% (Liquidity
Facility Societe Generale)
(b)(d)
Metro. Govt. Nashville & 5,510,000 5,510,000
Davidson County Health &
Edl. Facilities Board Rev.
(Adventist/Sunbelt Proj.)
Series 1996 A, 3.95%, LOC
Suntrust Bank, VRDN (b)
Metro. Govt. of Nashville & 2,100,000 2,100,000
Davidson County
Participating VRDN Series
SGA 11, 3.98% (Liquidity
Facility Societe Generale)
(b)(d)
Sevier County Pub. Bldg.
Auth. Rev.:
Series IV B5, 4% (FSA 10,000,000 10,000,000
Insured), VRDN (b)
Series IV C2, 4% (FSA 10,000,000 10,000,000
Insured), VRDN (b)
Shelby County Gen. Oblig.:
Series 1999 A:
3.7% 4/14/00, CP 5,800,000 5,800,000
3.9% 4/3/00, CP 5,000,000 5,000,000
TAN Series B, 4.25% 6/30/00 29,500,000 29,537,416
Tusculum Health Ed. & Hsg. 2,000,000 2,000,000
Facilities Rev. (Tusculum
College Proj.) Series 1998,
3.95%, LOC Suntrust Bank,
VRDN (b)
104,662,416
TEXAS - 14.7%
Austin Combined Util. Sys.
Rev.:
Participating VRDN Series 4,000,000 4,000,000
1998 V, 3.96% (Liquidity
Facility Bank of America NA)
(b)(d)
Series A, 3.95% 4/4/00, LOC 2,100,000 2,100,000
Morgan Guaranty Trust Co.,
NY, CP
Austin Hsg. Fin. Corp. 6,000,000 6,000,000
Multi-family Hsg. Rev.
(Riverchase Proj.) Series
1985 A, 3.92%, LOC Household
Fin. Corp., VRDN (b)
Austin Independent School 4,800,000 4,800,000
District Variable Rate TRAN
4.592% 8/31/00 (b)(e)
Bexar County Health 6,400,000 6,400,000
Facilities Dev. Corp. Rev.
(Warm Springs Rehabilitation
Proj.) Series 1997, 3.9%,
LOC Chase Bank of Texas NA,
VRDN (b)
Bexar County Hsg. Fin. Auth. 3,000,000 3,000,000
Multi-family Rev.
(Fountainhead Apts. Proj.)
3.9% (Fannie Mae
Guaranteed), VRDN (b)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Brazos River Hbr. Navigation $ 2,550,000 $ 2,550,000
District of Brazoria County
Poll. Cont. Rev. Bonds (Dow
Chemical Co. Proj.) 3.65%
tender 4/11/00, CP mode
Brazos River Hbr. Navigation
District of Brazoria County
Rev. Bonds (Dow Chemical Co.
Proj.) Series 1991:
3.65% tender 4/7/00, CP mode 2,900,000 2,900,000
3.85% tender 4/12/00, CP mode 6,900,000 6,900,000
Coastal Wtr. Auth. 12,000,000 12,000,000
Participating VRDN Series
1997 J Class A, 3.96%
(Liquidity Facility Caisse
des Depots et Consignations)
(b)(d)
Colorado River Muni. Wtr. 680,000 680,000
District Rev. Participating
VRDN Series PA 187, 3.96%
(Liquidity Facility Merrill
Lynch & Co., Inc.) (b)(d)
Comal County Health 5,200,000 5,200,000
Facilities Dev. Rev.
(McKenna Memorial Health
Sys. Proj.) 3.9%, LOC Chase
Bank of Texas NA, VRDN (b)
Dallas Area Rapid Transit
Sales Tax Rev.:
Series A, 3.65% 4/14/00, LOC 3,400,000 3,400,000
Bayerische Landesbank
Girozentrale, LOC
Westdeutsche Landesbank
Girozentrale, CP
Series B, 3.7% 4/10/00, LOC 2,400,000 2,400,000
Bayerische Landesbank
Girozentrale, LOC
Westdeutsche Landesbank
Girozentrale, CP
Series C, 3.85% 4/13/00, LOC 4,000,000 4,000,000
Bayerische Landesbank
Girozentrale, LOC
Westdeutsche Landesbank
Girozentrale, CP
Denton Util. Sys. Rev. Rfdg. 8,000,000 8,000,000
Participating VRDN Series
SGA 32, 3.98% (Liquidity
Facility Societe Generale)
(b)(d)
Farmers Branch Ind. Dev. 3,700,000 3,700,000
Corp. Rev. Rfdg. (PPG Ind.,
Inc. Proj.) Series 1992,
3.95%, VRDN (b)
Granbury Independent School 4,815,000 4,815,000
District Participating VRDN
Series SB 129, 3.96%
(Liquidity Facility Societe
Generale) (b)(d)
Grapevine-Colleyville 6,575,000 6,575,000
Independent School District
Rfdg. Participating VRDN
Series SG 69, 3.96%
(Liquidity Facility Societe
Generale) (b)(d)
Greater East Texas Higher Ed. 10,200,000 10,200,000
Auth. Student Ln. Rev. Rfdg.
Bonds Series 1992 A, 3.8%,
tender 9/1/00, LOC Student
Ln. Marketing Assoc.
Harris County Cultural Ed. 5,500,000 5,500,000
Facilities Fin. Corp. Rev.
(Houston Music Hall-Hobby
Ctr. Proj.) Series 1999,
3.9%, LOC Chase Bank of
Texas NA, VRDN (b)
Harris County Gen. Oblig.:
Participating VRDN Series SG 2,400,000 2,400,000
96, 3.96% (Liquidity
Facility Societe Generale)
(b)(d)
Series D, 3.65% 4/12/00, CP 2,204,000 2,204,000
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
TEXAS - CONTINUED
Harris County Health $ 30,500,000 $ 30,500,000
Facilities Dev. Corp. Hosp.
Rev. (Children's Hosp.
Proj.) Series 1999 B1, 3.95%
(MBIA Insured), VRDN (b)
Harris County Health 4,700,000 4,700,000
Facilities Dev. Corp. Spl.
Facilities Rev. (Texas Med.
Ctr. Proj.) Series 1999 B,
3.9% (FSA Insured), VRDN (b)
Houston Gen. Oblig. Series B, 2,200,000 2,200,000
3.7% 4/13/00, CP
Houston Hsg. Fin. Corp. Rfdg. 9,685,000 9,685,000
Participating VRDN Series PT
1, 3.96% (Liquidity Facility
Banque Nationale de Paris)
(b)(d)
Houston Wtr. & Swr. Sys. Rev.:
Participating VRDN Series 9,000,000 9,000,000
FRRI 32, 4% (Liquidity
Facility Bank of New York
NA) (b)(d)
Series A, 3.85% 4/5/00, CP 3,700,000 3,700,000
Hurst Euless Bedford 6,000,000 6,000,000
Independent School District
Rfdg. Participating VRDN
Series SG 98, 3.96%
(Liquidity Facility Societe
Generale) (b)(d)
Lower Colorado River Auth.
Tax Rev. Participating VRDN:
Series MSDW 98 185, 3.98% 2,500,000 2,500,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Series PA 575, 3.96% 7,495,000 7,495,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (b)(d)
Series PA 590R, 3.96% 2,400,000 2,400,000
(Liquidity Facility Merrill
Lynch & Co., Inc.) (b)(d)
Plano Health Facilities Dev.
Corp. Hosp. Rev. Bonds
(Childrens & Presbyterian
Health Care Ctr. Proj.):
3.85% tender 4/10/00 (MBIA 2,500,000 2,500,000
Insured) (BPA Chase Bank of
Texas NA), CP mode
3.85% tender 4/11/00 (MBIA 2,900,000 2,900,000
Insured) (BPA Chase Bank of
Texas NA), CP mode
San Antonio Elec. & Gas Rev.
Participating VRDN:
Series MSDW 98 76, 3.98% 8,795,000 8,795,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Series MSDW 98 77, 3.98% 6,150,000 6,150,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Series SG 105, 3.96% 30,100,000 30,100,000
(Liquidity Facility Societe
Generale) (b)(d)
Series SG 107, 3.96% 9,880,000 9,880,000
(Liquidity Facility Societe
Generale) (b)(d)
San Antonio Hotel Occupancy 2,100,000 2,100,000
Tax Rev. Participating VRDN
Series SG 51, 3.96%
(Liquidity Facility Societe
Generale) (b)(d)
PRINCIPAL AMOUNT VALUE (NOTE 1)
Texas Dept. Hsg. & Cmnty. $ 1,460,000 $ 1,460,000
Affairs Mtg. Rev.
Participating VRDN Series PT
9, 3.96% (Liquidity Facility
Merrill Lynch & Co., Inc.)
(b)(d)
Texas Dept. Hsg. & Cmnty. 2,402,000 2,402,000
Affairs Single Family Mtg.
Participating VRDN Series PA
126, 3.99% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
Texas Gen. Oblig. TRAN Series 26,700,000 26,762,098
1999 A, 4.5% 8/31/00
Texas Pub. Fin. Auth. Rev. 2,000,000 2,000,000
Series B, 3.65% 4/14/00, CP
Texas Wtr. Dev. Board Rev.
Participating VRDN:
Series FRRI A69, 4% 3,100,000 3,100,000
(Liquidity Facility
Bayerische Hypo-und
Vereinsbank AG) (b)(d)
Series SGA 23, 3.98% 1,900,000 1,900,000
(Liquidity Facility Societe
Generale) (b)(d)
Univ. of Texas Permanent 4,000,000 4,000,000
Univ. Fund Bonds Series A,
3.65% tender 4/10/00, CP mode
Univ. of Texas Univ. Rev.
Participating VRDN:
Series MSDW 98 97, 3.98% 8,840,000 8,840,000
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Series SGA 79, 3.98% 3,700,000 3,700,000
(Liquidity Facility Societe
Generale) (b)(d)
304,493,098
UTAH - 2.5%
Intermountain Pwr. Agcy. Pwr.
Supply Rev.:
Bonds:
Series 1985 E, 4.075%, tender 3,000,000 3,000,000
9/15/00 (AMBAC Insured)
Series 1985 F, 4.075%, tender 5,200,000 5,200,000
9/15/00 (AMBAC Insured)
Series C, 6% 7/1/00 (MBIA 4,900,000 4,932,904
Insured)
Rfdg. Bonds Series 1985 E2, 5,000,000 5,000,000
3.6% tender 4/3/00 (AMBAC
Insured) (BPA Landesbank
Hessen-Thuringen), CP mode
Series 1997 B1, 3.6% 4/3/00, 22,700,000 22,700,000
CP
Series 1998 B4, 3.6% 4/3/00, 10,000,000 10,000,000
CP
50,832,904
VIRGINIA - 1.9%
Chesterfield County Ind. Dev.
Auth. Poll. Cont. Rev. Bonds
(Virginia Elec. & Pwr. Co.
Proj.) Series 1987 A:
3.85% tender 4/5/00, CP mode 3,600,000 3,600,000
3.9% tender 4/3/00, CP mode 1,500,000 1,500,000
Louisa Ind. Dev. Auth. Poll.
Cont. Rev. Bonds (Virginia
Elec. & Pwr. Co. Proj.):
Series 1984:
3.9% tender 4/19/00, CP mode 2,500,000 2,500,000
3.9% tender 4/25/00, CP mode 1,800,000 1,800,000
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
VIRGINIA - CONTINUED
Louisa Ind. Dev. Auth. Poll.
Cont. Rev. Bonds (Virginia
Elec. & Pwr. Co. Proj.): -
continued
Series 1985, 3.7% tender $ 3,325,000 $ 3,325,000
4/10/00, CP mode
Series 1987, 3.85% tender 2,500,000 2,500,000
4/3/00, CP mode
Newport News Gen. Oblig. BAN 2,800,000 2,802,100
4.5% 6/15/00
Prince William County Ind. 1,700,000 1,700,000
Dev. Auth. Poll. Cont. Rev.
Bonds (Virginia Elec. & Pwr.
Co. Proj.) 3.85% tender
4/3/00, CP mode
Virginia Hsg. Dev. Auth.
Commonwealth Mtg. Rev. Bonds:
Series B, 4.15%, tender 2,300,000 2,300,000
10/19/00
Sub Series B, 4.12%, tender 4,900,000 4,900,000
9/12/00
Virginia Pub. Bldg. Auth. 9,290,000 9,290,000
Pub. Facilities Rev.
Participating VRDN Series
MSDW 00 218, 3.98%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
York County Ind. Dev. Auth. 3,000,000 3,000,000
Poll. Cont. Rev. Bonds
(Virginia Elec. & Pwr. Co.
Proj.) Series 1985, 3.85%
tender 4/3/00, CP mode
39,217,100
VERMONT - 0.1%
Vermont Edl. & Health Bldg. 1,500,000 1,500,000
Fin. Agcy. Rev. Bonds
(Middlebury College Proj.)
3.15%, tender 5/1/00
WASHINGTON - 3.5%
Kent Gen. Oblig. 4,100,000 4,100,000
Participating VRDN Series
SGA 27, 3.98% (Liquidity
Facility Societe Generale)
(b)(d)
King County Gen. Oblig. 2,795,000 2,795,000
Participating VRDN Series PA
495, 3.96% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
King County Swr. Rev. 1,800,000 1,800,000
Participating VRDN Series
Merlots 00 E, 4.05%
(Liquidity Facility First
Union Nat'l. Bank, North
Carolina) (b)(d)
Port Seattle Gen. Oblig. 3,600,000 3,600,000
Series 1985, 3.85%, VRDN (b)
Seattle Gen. Oblig. Ltd. Tax 9,600,000 9,600,000
Bonds Series D, 3.7% tender
4/3/00 (Liquidity Facility
Cr. Communale De Belgique),
CP mode
PRINCIPAL AMOUNT VALUE (NOTE 1)
Seattle Muni. Swr. Rev. $ 12,097,500 $ 12,097,500
Participating VRDN Series
MSDW 00 236, 3.98%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Snohomish Pub. Hosp. District 7,600,000 7,600,000
#2 Rfdg. & Impt. (Stevens
Heath Care Proj.) Series
1999, 3.9%, LOC Bank of
America NA, VRDN (b)
Spokane Gen. Oblig. TRAN 5,500,000 5,526,290
4.75% 4/2/01 (a)
Tacoma Elec. Sys. Rev. 5,265,000 5,265,000
Participating VRDN Series
MSDW 00 219, 3.98%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Vancouver Washington Wtr. & 2,500,000 2,500,000
Swr. Rev. Participating VRDN
Series MSDW 00 260, 4.01%
(Liquidity Facility Morgan
Stanley Dean Witter & Co.)
(b)(d)
Washington Gen. Oblig.
Participating VRDN:
Series 20004703, 3.82% 9,140,000 9,140,000
(Liquidity Facility
Citibank, New York NA) (b)(d)
Series SGA 36, 3.98% 2,000,000 2,000,000
(Liquidity Facility Societe
Generale) (b)(d)
Washington Pub. Pwr. Supply 7,100,000 7,100,000
Sys. Nuclear Proj. #1 Rev.
Rfdg. Series 1993 1 A1,
3.9%, LOC Bank of America
NA, VRDN (b)
73,123,790
WISCONSIN - 4.4%
Milwaukee County Gen. Oblig.:
Participating VRDN:
Series FRRI 00 A8, 4% 6,800,000 6,800,000
(Liquidity Facility Bank of
New York NA) (b)(d)
Series FRRI A37, 4% 47,600,000 47,600,000
(Liquidity Facility Bank of
New York NA) (b)(d)
TAN 4.75% 3/1/01 6,255,000 6,283,275
Wisconsin Gen. Oblig. Series 30,000,000 30,000,000
B, 3.7% 4/13/00, CP
90,683,275
WEST VIRGINIA - 0.5%
Cabell County Life Care
Facilities Rev. Series 1998:
3.96%, LOC Huntington Nat'l. 4,100,000 4,100,000
Bank, Columbus, VRDN (b)
3.96%, LOC Huntington Nat'l. 1,000,000 1,000,000
Bank, Columbus, VRDN (b)
West Virginia Bldg. 5,840,000 5,840,000
Commission (Davis & Elki
College Proj.) 3.96%, LOC
Huntington Nat'l. Bank,
Columbus, VRDN (b)
10,940,000
MUNICIPAL SECURITIES -
CONTINUED
PRINCIPAL AMOUNT VALUE (NOTE 1)
WYOMING - 0.1%
Wyoming Cmnty. Dev. Auth. $ 1,565,000 $ 1,565,000
Participating VRDN Series PT
112, 3.96% (Liquidity
Facility Merrill Lynch &
Co., Inc.) (b)(d)
TOTAL INVESTMENT PORTFOLIO 2,142,054,568
- - 103.5%
NET OTHER ASSETS - (3.5)% (72,508,460)
NET ASSETS - 100% $ 2,069,546,108
</TABLE>
Total Cost for Income Tax Purposes $ 2,142,054,568
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) Security purchased on a delayed delivery or when-issued basis.
(b) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(c) Security collateralized by an amount sufficient to pay interest
and principal.
(d) Provides evidence of ownership in one or more underlying municipal
bonds.
(e) Restricted securities - Investment in securities not registered
under the Securities Act of 1933.
Additional information on each holding is as follows:
SECURITY ACQUISITION DATE COST
Austin Independent School 9/17/99 $ 4,800,000
District Variable Rate TRAN
4.592% 8/31/00
Orange County Health 7/2/99 $ 3,985,000
Facilities Auth. Rev.
Participating VRDN Series PA
95, 4.1% (Liquidity Facility
Merrill Lynch & Co., Inc.)
INCOME TAX INFORMATION
At May 31, 1999, the fund had a capital loss carryforward of
approximately $191,000, all of which will expire on May 31, 2005.
TAX-EXEMPT PORTFOLIO
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 2000
ASSETS
Investment in securities, at $ 2,142,054,568
value - See accompanying
schedule
Cash 63,557
Interest receivable 16,229,627
TOTAL ASSETS 2,158,347,752
LIABILITIES
Payable for investments $ 71,602,406
purchased Regular delivery
Delayed delivery 12,526,290
Distributions payable 4,227,860
Accrued management fee 281,002
Distribution fees payable 51,006
Other payables and accrued 113,080
expenses
TOTAL LIABILITIES 88,801,644
NET ASSETS $ 2,069,546,108
Net Assets consist of:
Paid in capital $ 2,070,035,715
Accumulated net realized gain (489,607)
(loss) on investments
NET ASSETS $ 2,069,546,108
CLASS I: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($1,825,452,411 (divided by)
1,825,884,271 shares)
CLASS II: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($25,937,175 (divided by)
25,943,311 shares)
CLASS III: NET ASSET VALUE, $1.00
offering price and
redemption price per share
($218,156,522 (divided by)
218,208,133 shares)
STATEMENT OF OPERATIONS
YEAR ENDED MARCH 31, 2000
INTEREST INCOME $ 71,459,726
EXPENSES
Management fee $ 4,054,382
Transfer agent fees
Class I 450,591
Class II 10,506
Class III 37,596
Distribution fees
Class II 61,651
Class III 345,646
Accounting fees and expenses 230,869
Non-interested trustees' 6,533
compensation
Custodian fees and expenses 65,054
Registration fees 154,757
Audit 31,854
Legal 7,032
Miscellaneous 3,813
Total expenses before 5,460,284
reductions
Expense reductions (1,029,869) 4,430,415
NET INTEREST INCOME 67,029,311
NET REALIZED GAIN (LOSS) ON (339,128)
INVESTMENTS
NET INCREASE IN NET ASSETS $ 66,690,183
RESULTING FROM OPERATIONS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
INCREASE (DECREASE) IN NET YEAR ENDED MARCH 31, 2000 YEAR ENDED MARCH 31, 1999
ASSETS
Operations Net interest income $ 67,029,311 $ 74,522,345
Net realized gain (loss) (339,128) 105,653
NET INCREASE (DECREASE) IN 66,690,183 74,627,998
NET ASSETS RESULTING FROM
OPERATIONS
Distributions to shareholders
from net interest income:
Class I (61,397,342) (71,884,455)
Class II (1,287,490) (1,301,004)
Class III (4,344,479) (1,336,886)
TOTAL DISTRIBUTIONS (67,029,311) (74,522,345)
Share transactions - net
increase (decrease) at net
asset value of $1.00 per
share:
Class I (50,895,402) (259,352,346)
Class II 2,362,874 (7,252,488)
Class III 169,396,895 11,534,985
TOTAL SHARE TRANSACTIONS 120,864,367 (255,069,849)
TOTAL INCREASE (DECREASE) 120,525,239 (254,964,196)
IN NET ASSETS
NET ASSETS
Beginning of period 1,949,020,869 2,203,985,065
End of period $ 2,069,546,108 $ 1,949,020,869
</TABLE>
FINANCIAL HIGHLIGHTS - CLASS I
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996
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 .033 .032 .035 .033 .036
Less Distributions
From net interest income (.033) (.032) (.035) (.033) (.036)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN A 3.38% 3.28% 3.60% 3.40% 3.70%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 1,825,452 $ 1,876,635 $ 2,135,884 $ 2,022,191 $ 1,806,918
(000 omitted)
Ratio of expenses to average .20% B .20% B .20% B .20% B .19% B
net assets
Ratio of net interest income 3.32% 3.24% 3.54% 3.34% 3.64%
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
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 E
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 .032 .031 .034 .032 .013
Less Distributions
From net interest income (.032) (.031) (.034) (.032) (.013)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 3.22% 3.13% 3.44% 3.25% 1.34%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 25,937 $ 23,579 $ 30,829 $ 60,247 $ 968
(000 omitted)
Ratio of expenses to average .35% D .35% D .35% D .35% D .35% A, D
net assets
Ratio of net interest income 3.13% 3.05% 3.41% 3.21% 3.17% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS II
SHARES) TO MARCH 31, 1996.
FINANCIAL HIGHLIGHTS - CLASS III
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
YEARS ENDED MARCH 31, 2000 1999 1998 1997 1996 E
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 .031 .030 .033 .031 .013
Less Distributions
From net interest income (.031) (.030) (.033) (.031) (.013)
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN B, C 3.12% 3.03% 3.34% 3.14% 1.30%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period $ 218,157 $ 48,807 $ 37,272 $ 26,313 $ 988
(000 omitted)
Ratio of expenses to average .45% D .45% D .45% D .45% D .45% A, D
net assets
Ratio of net interest income 3.14% 2.98% 3.28% 3.09% 3.00% A
to average net assets
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT
BEEN REDUCED DURING THE PERIODS SHOWN.
D FMR AGREED TO REIMBURSE A PORTION OF THE CLASS' EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE CLASS' EXPENSE RATIO WOULD
HAVE BEEN HIGHER.
E FOR THE PERIOD NOVEMBER 6, 1995 (COMMENCEMENT OF SALE OF CLASS III
SHARES) TO MARCH 31, 1996.
NOTES TO FINANCIAL STATEMENTS
For the period ended March 31, 2000
1. SIGNIFICANT ACCOUNTING POLICIES.
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio,
Domestic Portfolio, Money Market Portfolio and Tax-Exempt Portfolio
(the funds) are funds of Colchester Street Trust (the trust) and is
authorized to issue an unlimited number of shares. The trust is
registered under the Investment Company Act of 1940, as amended (the
1940 Act), as an open-end management investment company organized as a
Delaware business trust.
Each fund offers Class I, Class II and Class III shares, each of which
has equal rights as to assets and voting privileges. Each class has
exclusive voting rights with respect to matters that affect that
class. Interest income, realized and unrealized capital gains and
losses, the common expenses of the fund, and certain fund-level
expense reductions, if any, are allocated on a pro rata basis to each
class based on the relative net assets of each class to the total net
assets of each fund. Each class of shares differs in its respective
distribution, transfer agent, and certain other class-specific fees,
expenses, and expense reductions. The financial statements have been
prepared in conformity with generally accepted accounting principles
which require management to make certain estimates and assumptions at
the date of the financial statements. The following summarizes the
significant accounting policies of each fund:
SECURITY VALUATION. As permitted under Rule 2a-7 of the 1940 Act, and
certain conditions therein, securities are valued initially at cost
and thereafter assume a constant amortization to maturity of any
discount or premium.
INCOME TAXES. As a qualified regulated investment company under
Subchapter M of the Internal Revenue Code, each fund is not subject to
income taxes to the extent that it distributes substantially all of
its taxable income for the fiscal year. The schedules of investments
include information regarding income taxes under the caption "Income
Tax Information."
INTEREST INCOME. Interest income, which includes amortization of
premium and accretion of discount, is accrued as earned. For
Tax-Exempt Portfolio, accretion of discount represents unrealized gain
until realized at the time of a security disposition or maturity.
EXPENSES. Most expenses of the trust can be directly attributed to a
fund. Expenses which cannot be directly attributed are apportioned
among the funds in the trust.
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 SEC), the funds, along with
other affiliated entities of Fidelity Management & Research Company
(FMR), may transfer uninvested cash balances into one or more joint
trading accounts. These balances are invested in one or more
repurchase agreements for U.S. Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury, Federal Agency,
or other obligations found to be satisfactory by FMR 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.
INTERFUND LENDING PROGRAM. Pursuant to an Exemptive Order issued by
the SEC, the funds, along with other registered investment companies
having management contracts with FMR, may participate in an interfund
lending program. This program provides an alternative credit facility
allowing the funds to borrow from, or lend money to, other
participating funds. Information regarding each fund's participation
in the program is included under the caption "Other Information" at
the end of each applicable fund's schedule of investments.
WHEN-ISSUED SECURITIES. Each fund may purchase or sell securities on a
when-issued basis. Payment and delivery may take place after the
customary settlement period for that security. The price of the
underlying securities is fixed at the time the transaction is
negotiated. The values of the securities purchased on a when-issued or
forward commitment basis are identified as such in each applicable
fund's schedule of investments. Each fund may receive compensation for
interest forgone in the purchase of a when-issued security. With
respect to purchase commitments, each fund identifies securities as
segregated in its records with a value at least equal to the amount of
the commitment. Losses may arise due to changes in the value of the
underlying securities, if the counterparty does not perform under the
contract, or if the issuer does not issue the securities due to
political, economic, or other factors.
RESTRICTED SECURITIES. Certain funds are permitted to invest in
securities that are subject to legal or contractual restrictions on
resale. These securities generally may be resold in transactions
exempt from registration or to the public if the securities are
registered. Disposal of these securities may involve time-consuming
negotiations and expense, and prompt sale at an acceptable price may
be difficult. Information regarding restricted securities is included
under the caption "Other Information" at the end of each applicable
fund's schedule of investments.
3. JOINT TRADING ACCOUNT.
At the end of the period, certain funds had 20% or more of their total
investments in repurchase agreements through a joint trading account.
These repurchase agreements were with entities whose creditworthiness
has been reviewed and found satisfactory by FMR. The investments in
repurchase agreements through the joint trading account are summarized
as follows:
SUMMARY OF JOINT TRADING
DATED MARCH 23, 2000, DUE APRIL 6, 2000 5.95%
Number of dealers or banks 1
Maximum amount with one dealer or bank 100%
Aggregate principal amount of agreements $250,000,000
Aggregate maturity amount of agreements $250,578,472
Aggregate market value of transferred assets $255,340,901
Coupon rates of transferred assets 5.5% to 8.88%
Maturity dates of transferred assets 4/15/00 to 2/15/08
DATED MARCH 27, 2000, DUE APRIL 3, 2000 6.12%
Number of dealers or banks 4
Maximum amount with one dealer or bank 32.8%
Aggregate principal amount of agreements $1,525,000,000
Aggregate maturity amount of agreements $1,532,486,298
Aggregate market value of transferred assets $1,558,220,229
Coupon rates of transferred assets 0% to 8.5%
Maturity dates of transferred assets 12/1/05 to 11/1/37
DATED MARCH 31, 2000, DUE APRIL 3, 2000 6.08%
Number of dealers or banks 9
Maximum amount with one dealer or bank 45.9%
Aggregate principal amount of agreements $1,054,284,000
Aggregate maturity amount of agreements $1,054,818,179
Aggregate market value of transferred assets $1,025,020,447
Coupon rates of transferred assets 0% to 13.25%
Maturity dates of transferred assets 4/6/00 to 5/15/30
DATED MARCH 31, 2000, DUE APRIL 3, 2000 6.17%
Number of dealers or banks 2
Maximum amount with one dealer or bank 72.6%
Aggregate principal amount of agreements $365,000,000
Aggregate maturity amount of agreements $365,187,552
Aggregate market value of transferred assets $372,946,223
Coupon rates of transferred assets 0% to 8.88%
Maturity dates of transferred assets 4/20/00 to 5/15/30
DATED MARCH 31, 2000, DUE APRIL 3, 2000 6.21%
Number of dealers or banks 12
Maximum amount with one dealer or bank 22.9%
Aggregate principal amount of agreements $6,026,107,000
Aggregate maturity amount of agreements $6,029,223,846
Aggregate market value of transferred assets $6,154,571,134
Coupon rates of transferred assets 0% to 14.25%
Maturity dates of transferred assets 4/13/00 to 5/15/30
DATED MARCH 31, 2000, DUE APRIL 3, 2000 6.25%
Number of dealers or banks 9
Maximum amount with one dealer or bank 15.7%
Aggregate principal amount of agreements $3,191,000,000
Aggregate maturity amount of agreements $3,192,662,612
Aggregate market value of transferred assets $3,255,874,256
Coupon rates of transferred assets 0% to 9.55%
Maturity dates of transferred assets 5/1/00 to 11/1/38
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As each fund's investment adviser, FMR receives a fee
that is computed daily at an annual rate of .20% of the fund's average
net assets.
SUB-ADVISER FEE. As each fund's investment sub-adviser, Fidelity
Investments Money Management, Inc., a wholly owned subsidiary of FMR,
receives a fee from FMR of 50% of the management fee payable to FMR.
The fees are paid prior to any voluntary expense reimbursements which
may be in effect.
DISTRIBUTION AND SERVICE PLAN. In accordance with Rule 12b-1 of the
1940 Act, the Board of Trustees has adopted separate distribution
plans with respect to Class II and Class III shares (collectively
referred to as "the Plans"). Under certain of the Plans, the class
pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a
distribution and service fee. A portion of this fee may be reallowed
to securities dealers, banks and other financial institutions for the
distribution of each applicable class of shares and providing
shareholder support services. For the period, this fee was based on
the following annual rates of the average net assets of each
applicable class:
CLASS II .15%
CLASS III .25%
For the period the following amounts were retained by FDC:
CLASS II CLASS III
Treasury Only Portfolio $ 1,376 $ 24,830
Treasury Portfolio $ - $ 51,586
Government Portfolio $ - $ 10,235
Domestic Portfolio $ - $ 1,386
Money Market Portfolio $ 2,684 $ 1,272
Tax-Exempt Portfolio $ 509 $ 2,398
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations
Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend
disbursing and shareholder servicing agent for the funds except for
Tax-Exempt Portfolio. Effective June 21, 1999, Citibank, N.A.
(Citibank) replaced UMB Bank, n.a. as the custodian, transfer and
shareholder servicing agent for Tax-Exempt Portfolio. Citibank has
entered into a sub-contract with FIIOC to perform the activities
associated with the transfer and shareholder servicing agent functions
for Tax-Exempt Portfolio. FIIOC receives account fees and asset-based
fees that vary according to account size and type of account. FIIOC
pays for typesetting, printing and mailing of all shareholder reports,
except proxy statements.
4. FEES AND OTHER TRANSACTIONS WITH
AFFILIATES - CONTINUED
TRANSFER AGENT FEES - CONTINUED
For the period, the transfer agent fees were equivalent to the
following annual rates as a percentage of average net assets:
CLASS I CLASS II CLASS III
Treasury Only Portfolio .03% .03% .03%
Treasury Portfolio .02% .03% .02%
Government Portfolio .03% .03% .03%
Domestic Portfolio .03% .03% .03%
Money Market Portfolio .02% .03% .03%
Tax-Exempt Portfolio .02% .03% .03%
ACCOUNTING FEES. Fidelity Service Company, Inc. (FSC), an affiliate of
FMR, maintains the accounting records for the funds except for
Tax-Exempt Portfolio. Citibank also has a sub-contract with FSC to
maintain Tax-Exempt Portfolio's accounting records. The fee is based
on the level of average net assets for the month plus out-of-pocket
expenses.
5. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the funds' operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses, and 12b-1 fees payable by Class II and Class III of each
fund) above an annual rate of .20% (.18% for Money Market) of average
net assets. For the period, the reimbursement reduced expenses by the
following:
CLASS I CLASS II CLASS III
Treasury Only Portfolio $ 518,906 $ 25,026 $ 50,410
Treasury Portfolio $ 1,662,346 $ 152,086 $ 1,140,234
Government Portfolio $ 2,673,195 $ 260,654 $ 550,664
Domestic Portfolio $ 2,067,303 $ 212,681 $ 543,431
Money Market Portfolio $ 9,298,634 $ 108,758 $ 452,289
Tax-Exempt Portfolio $ 903,405 $ 20,779 $ 74,417
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 $18,407
and $31,268 under this arrangement for Treasury Only and Tax-Exempt
Portfolio, respectively.
6. BENEFICIAL INTEREST.
At the end of the period, certain shareholders were record owners of
approximately 10% or more of the total outstanding shares of the
following funds:
BENEFICIAL INTEREST
FUND NUMBER OF SHAREHOLDERS % OWNERSHIP
Treasury Only Portfolio 2 24%
Treasury Portfolio 1 27%
Government Portfolio 1 11%
Domestic Portfolio 1 13%
7. SHARE TRANSACTIONS.
Transactions for each class of shares for the periods are as follows:
YEAR ENDED MARCH 31, YEAR ENDED MARCH 31,
2000 1999
TREASURY ONLY PORTFOLIO CLASS 3,967,330,547 3,225,354,216
I Shares sold
Reinvestment of distributions 15,127,535 12,321,228
from net interest income
Shares redeemed (3,798,937,455) (3,230,397,546)
Net increase (decrease) $ 183,520,627 $ 7,277,898
TREASURY ONLY PORTFOLIO CLASS 166,319,318 271,559,642
II Shares sold
Reinvestment of distributions 1,693,992 1,535,439
from net interest income
Shares redeemed (173,334,570) (252,169,318)
Net increase (decrease) $ (5,321,260) $ 20,925,763
TREASURY ONLY PORTFOLIO CLASS 520,155,983 578,593,613
III Shares sold
Reinvestment of distributions 3,169,293 3,214,922
from net interest income
Shares redeemed (463,083,114) (581,447,756)
Net increase (decrease) $ 60,242,162 $ 360,779
7. SHARE TRANSACTIONS - CONTINUED
YEAR ENDED MARCH 31, YEAR ENDED MARCH 31,
2000 1999
TREASURY PORTFOLIO CLASS I 58,566,500,026 64,257,957,773
Shares sold
Reinvestment of distributions 97,213,459 97,557,789
from net interest income
Shares redeemed (58,137,676,355) (64,918,765,373)
Net increase (decrease) $ 526,037,130 $ (563,249,811)
TREASURY PORTFOLIO CLASS II 5,055,389,738 5,692,697,517
Shares sold
Reinvestment of distributions 2,795,307 5,129,015
from net interest income
Shares redeemed (4,957,407,451) (5,735,491,971)
Net increase (decrease) $ 100,777,594 $ (37,665,439)
TREASURY PORTFOLIO CLASS III 25,826,661,884 34,401,503,367
Shares sold
Reinvestment of distributions 39,791,991 33,781,747
from net interest income
Shares redeemed (25,663,979,705) (34,512,665,668)
Net increase (decrease) $ 202,474,170 $ (77,380,554)
GOVERNMENT PORTFOLIO CLASS I 44,437,490,145 34,932,282,004
Shares sold
Reinvestment of distributions 109,031,999 87,233,949
from net interest income
Shares redeemed (43,410,140,493) (33,651,104,519)
Net increase (decrease) $ 1,136,381,651 $ 1,368,411,434
GOVERNMENT PORTFOLIO CLASS II 4,993,706,204 3,952,436,820
Shares sold
Reinvestment of distributions 17,063,776 10,093,868
from net interest income
Shares redeemed (4,923,045,293) (3,694,791,275)
Net increase (decrease) $ 87,724,687 $ 267,739,413
GOVERNMENT PORTFOLIO CLASS 12,284,786,587 9,808,092,304
III Shares sold
Reinvestment of distributions 36,220,321 26,583,124
from net interest income
Shares redeemed (12,061,202,281) (9,680,186,148)
Net increase (decrease) $ 259,804,627 $ 154,489,280
DOMESTIC PORTFOLIO CLASS I 40,236,172,462 15,577,206,973
Shares sold
Reinvestment of distributions 103,375,051 46,450,889
from net interest income
Shares redeemed (38,207,034,017) (14,846,130,323)
2,132,513,496 777,527,539
Issued in exchange for the - 281,512,275
net assets of Rated Money
Market Portfolio Class I
Net increase (decrease) $ 2,132,513,496 $ 1,059,039,814
DOMESTIC PORTFOLIO CLASS II 3,987,065,006 2,403,859,326
Shares sold
Reinvestment of distributions 14,240,075 6,824,018
from net interest income
Shares redeemed (4,010,059,527) (2,191,969,649)
(8,754,446) 218,713,695
Issued in exchange for the - 71,486,478
net assets of Rated Money
Market Portfolio Class II
Net increase (decrease) $ (8,754,446) $ 290,200,173
DOMESTIC PORTFOLIO CLASS III 8,925,159,763 2,244,459,901
Shares sold
Reinvestment of distributions 37,582,062 9,388,494
from net interest income
Shares redeemed (8,118,677,856) (1,858,232,142)
844,063,969 395,616,253
Issued in exchange for the - 128,472,530
net assets of Rated Money
Market Portfolio Class III
Net increase (decrease) 844,063,969 524,088,783
7. SHARE TRANSACTIONS - CONTINUED
YEAR ENDED MARCH 31, YEAR ENDED MARCH 31,
2000 1999
MONEY MARKET PORTFOLIO CLASS 137,392,990,056 101,424,061,871
I Shares sold
Reinvestment of distributions 462,354,895 392,490,343
from net interest income
Shares redeemed (135,639,685,163) (98,432,501,077)
Net increase (decrease) $ 2,215,659,788 $ 3,384,051,137
MONEY MARKET PORTFOLIO CLASS 2,631,694,505 1,533,330,431
II Shares sold
Reinvestment of distributions 6,672,931 6,352,348
from net interest income
Shares redeemed (2,528,542,963) (1,535,937,006)
Net increase (decrease) $ 109,824,473 $ 3,745,773
MONEY MARKET PORTFOLIO CLASS 7,357,732,082 6,024,061,398
III Shares sold
Reinvestment of distributions 28,127,227 25,467,991
from net interest income
Shares redeemed (7,355,513,697) (5,884,830,173)
Net increase (decrease) $ 30,345,612 $ 164,699,216
TAX-EXEMPT PORTFOLIO CLASS I 7,236,350,790 9,232,248,835
Shares sold
Reinvestment of distributions 13,948,536 16,974,104
from net interest income
Shares redeemed (7,301,194,728) (9,508,575,285)
Net increase (decrease) $ (50,895,402) $ (259,352,346)
TAX-EXEMPT PORTFOLIO CLASS II 376,606,072 360,961,784
Shares sold
Reinvestment of distributions 1,118,042 1,217,980
from net interest income
Shares redeemed (375,361,240) (369,432,252)
Net increase (decrease) $ 2,362,874 $ (7,252,488)
TAX-EXEMPT PORTFOLIO CLASS 491,472,336 171,520,441
III Shares sold
Reinvestment of distributions 4,075,144 1,160,473
from net interest income
Shares redeemed (326,150,585) (161,145,929)
Net increase (decrease) $ 169,396,895 $ 11,534,985
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.
INDEPENDENT AUDITORS' REPORT
To the Trustees of Colchester Street Trust and the Shareholders of
Treasury Only Portfolio, Treasury Portfolio, Government Portfolio,
Domestic Portfolio, Money Market Portfolio and Tax-Exempt Portfolio:
We have audited the accompanying statements of assets and liabilities
of Treasury Only Portfolio, Treasury Portfolio, Government Portfolio,
Domestic Portfolio, Money Market Portfolio and Tax-Exempt Portfolio,
(the Funds), each a series of Colchester Street Trust, including the
portfolios of investments, as of March 31, 2000, and the related
statements of operations, changes in net assets, and financial
highlights for the year then ended. These financial statements and
financial highlights are the responsibility of the Funds' management.
Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The statement
of changes in net assets for the year ended March 31, 1999, and the
financial highlights for each of the four years in the period then
ended were audited by other auditors whose report, dated May 13, 1999,
expressed an unqualified opinion on those statements and financial
highlights.
We conducted our audits in accordance with auditing standards
generally accepted in the United States of America. Those standards
require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included
confirmation of securities owned as of March 31, 2000, by
correspondence with the custodian and brokers; where replies were not
received from brokers, we performed other auditing procedures. An
audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the
financial position of the Funds as of March 31, 2000, the results of
their operations, the changes in their net assets, and the financial
highlights for the year then ended, in conformity with accounting
principles generally accepted in the United States of America.
/s/DELOITTE & TOUCHE LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 9, 2000
INVESTMENT ADVISOR
Fidelity Management & Research Company
Boston MA
INVESTMENT SUB-ADVISOR
Fidelity Investments Money Management, Inc.
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
Robert A. Dwight, Treasurer
Matthew N. Karstetter, Deputy Treasurer
Maria F. Dwyer, Deputy Treasurer
Stanley N. Griffith, Assistant Vice President
John H. Costello, Assistant Treasurer
Thomas J. Simpson, Assistant Treasurer
BOARD OF TRUSTEES
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
Donald J. Kirk *
Ned C. Lautenbach *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Robert C. Pozen
Thomas R. Williams *
* INDEPENDENT TRUSTEES
ADVISORY BOARD
J. Michael Cook
Abigail P. Johnson
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER
SERVICING AGENTS
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
TREASURY ONLY PORTFOLIO, TREASURY PORTFOLIO,
GOVERNMENT PORTFOLIO, DOMESTIC PORTFOLIO
AND MONEY MARKET PORTFOLIO
Citibank N.A.
New York, NY
TAX-EXEMPT PORTFOLIO
CUSTODIANS
The Bank of New York
New York, NY
TREASURY ONLY PORTFOLIO, TREASURY PORTFOLIO,
GOVERNMENT PORTFOLIO, DOMESTIC PORTFOLIO
AND MONEY MARKET PORTFOLIO
Citibank, N.A.
New York, NY
TAX-EXEMPT PORTFOLIO
