(registered trademark)
ISIG-SANN-0796
15023
FIDELITY INSTITUTIONAL
SHORT-INTERMEDIATE
GOVERNMENT FUND
(FORMERLY FIDELITY INSTITUTIONAL
SHORT-INTERMEDIATE GOVERNMENT
PORTFOLIO - CLASS I)
SEMIANNUAL REPORT
MAY 31, 1996
CHECK PAGE NUMBERS !!!
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on investing
strategies.
PERFORMANCE 4 How the fund has done over time.
FUND TALK 7 The manager's review of fund
performance, strategy and outlook.
INVESTMENT CHANGES 10 A summary of major shifts in the
fund's investments over the past six
months.
INVESTMENTS 11 A complete list of the fund's
investments with their market
values.
FINANCIAL STATEMENTS 13 Statements of assets and liabilities,
operations, and changes in net
assets,
as well as financial highlights.
NOTES 17 Notes to the financial statements.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUND. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE
INVESTORS IN THE FUND 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 FUND NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND INCLUDING CHARGES AND EXPENSES,
CALL 1-800-843-3001. READ THE PROSPECTUS
CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Although stocks have managed to post solid returns through the first five
months of 1996, signs of strength in the economy have led to inflation
fears, causing some uncertainty in bond markets so far this year. In 1995,
both stock and bond markets posted strong results, while the year before,
stocks posted below-average returns and bonds had one of the worst years in
history.
These market ups and downs are a normal part of investing, and there are
some basic principles that are helpful for investors to remember in
different types of markets.
Keeping in mind that the effects of interest rate changes on your bond
investments will only be "paper" gains or losses unless you sell your
shares, staying in your bond fund may be appropriate if your investment
horizon is at least a year or more. The longer your investing time frame,
the more likely it is that you will retain your principal investment
through both up and down markets. For example, a 10-year time frame, such
as saving for a college education, enables you to weather these ups and
downs in a long-term fund, which has higher potential returns. An
intermediate-length fund could be appropriate if your investment horizon is
two to four years, and a short-term bond fund could be the right choice if
you need your money in one or two years.
If your time horizon is less than a year, you might want to consider moving
some of your bond investment into a money market fund, which seeks income
and a stable share price by investing in high-quality, short-term
investments. Of course, there is no assurance that a money market fund will
achieve its goal, and it is important to remember that money market funds
are not insured or guaranteed by any agency of the U.S. government.
No matter what your investment horizon or portfolio diversity, it makes
good sense to follow a regular investment plan - investing a certain amount
of money at the same time each month or quarter - and to review your
portfolio periodically. A periodic investment plan will not, of course,
assure a profit or protect against a loss.
Remember to contact your investment professional if you need help with your
investments.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate historical performance. You can look at
the total percentage change in value, the average annual percentage change,
or the growth of a hypothetical $100,000 investment. A fund's total return
includes changes in share price, plus reinvestment of any dividends (or
income) and capital gains (the profits the fund earns when it sells
investments that have grown in value). You can also look at income to
measure performance.
CUMULATIVE TOTAL RETURNS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
PERIODS ENDED MAY 31, 1996 PAST 6 PAST 1 PAST 5 LIFE OF
MONTHS YEAR YEARS FUND
Fidelity Institutional Short-Intermediate Government Fund 0.75% 4.99% 35.71% 93.93%
Salomon Brothers Treasury/Agency 1-5 Year Index 0.78% 4.94% 38.58% n/a
Short-Intermediate U.S. Government Funds Average -0.05% 4.05% 35.80% 93.93%
</TABLE>
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, six months, one year, five years, or
since the fund began on November 10, 1986. For example, if you invested
$1,000 in a fund that had a 5% return over the past year, the value of your
investment would be $1,050. You can compare the fund's returns to the
performance of the Salomon Brothers Treasury/Agency 1-5 Year Index - a
market-capitalization weighted index comprised of U.S. Treasury and U.S.
Government Agency securities. Issues included in the Index have fixed-rate
coupons and weighted average lives of one to five years. To measure how the
fund's performance stacked up against its peers, you can compare it to the
short-intermediate U.S. government funds average, which reflects the
performance of 96 funds with similar objectives tracked by Lipper
Analytical Services over the past six months. These benchmarks include
reinvested dividends and capital gains, if any.
AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PERIODS ENDED MAY 31, 1996 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Fidelity Institutional Short-Intermediate Government Fund 4.99% 6.30% 7.17%
Salomon Brothers Treasury/Agency 1-5 Year Index 4.94% 6.74% n/a
Short-Intermediate U.S. Government Funds Average 4.05% 6.31% 7.18%
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
$100,000 OVER LIFE OF FUND
IMAHDR PRASUN SHR__CHT 19960531 19960619 142449 S00000000000001
Instit. Sht. Int. Gov. SB Treas./Agency 1-5 Yr
00662 SB025
1986/11/30 100000.00 100000.00
1986/12/31 100232.45 100214.42
1987/01/31 100984.52 100992.22
1987/02/28 101297.04 101471.52
1987/03/31 101534.48 101324.36
1987/04/30 100733.60 100412.02
1987/05/31 101025.36 100391.00
1987/06/30 102031.83 101505.15
1987/07/31 102646.76 101933.99
1987/08/31 102870.96 101992.85
1987/09/30 102770.50 101273.91
1987/10/31 104186.29 103729.24
1987/11/30 104953.26 104364.10
1987/12/31 105853.42 105175.53
1988/01/31 107712.94 107248.27
1988/02/29 108817.08 108219.47
1988/03/31 108720.94 108198.44
1988/04/30 108785.98 108194.24
1988/05/31 108647.18 107984.02
1988/06/30 109881.56 109278.96
1988/07/31 110106.53 109215.89
1988/08/31 110213.93 109375.66
1988/09/30 111588.10 110842.97
1988/10/31 112484.85 112125.29
1988/11/30 112515.68 111557.70
1988/12/31 112780.97 111688.04
1989/01/31 113748.45 112663.44
1989/02/28 113857.27 112503.68
1989/03/31 114282.70 112953.54
1989/04/30 115949.64 114786.63
1989/05/31 117612.63 116792.10
1989/06/30 119764.15 119369.35
1989/07/31 121326.05 121433.68
1989/08/31 120733.67 120243.85
1989/09/30 121440.29 120920.75
1989/10/31 123395.24 123069.16
1989/11/30 124456.69 124216.94
1989/12/31 125011.52 124662.60
1990/01/31 124905.35 124443.98
1990/02/28 125514.30 124961.11
1990/03/31 126068.16 125284.84
1990/04/30 126226.71 125360.52
1990/05/31 128132.86 127529.96
1990/06/30 129431.74 129035.11
1990/07/31 130900.35 130796.72
1990/08/31 131407.27 130880.81
1990/09/30 132295.69 132083.25
1990/10/31 133615.13 133701.91
1990/11/30 135084.39 135202.86
1990/12/31 136609.16 136981.29
1991/01/31 137853.22 138267.82
1991/02/28 138891.95 138990.96
1991/03/31 139756.92 139920.12
1991/04/30 141155.69 141395.84
1991/05/31 142195.47 142198.86
1991/06/30 142497.86 142581.46
1991/07/31 143853.21 144074.00
1991/08/31 146120.12 146340.13
1991/09/30 147346.73 148375.03
1991/10/31 148929.68 150031.53
1991/11/30 150365.93 151788.94
1991/12/31 154016.64 154677.32
1992/01/31 152549.86 153886.90
1992/02/29 153239.30 154345.18
1992/03/31 153175.74 153958.38
1992/04/30 154315.48 155530.80
1992/05/31 156283.47 157342.86
1992/06/30 158139.65 159381.96
1992/07/31 159806.46 161812.07
1992/08/31 161526.84 163510.62
1992/09/30 163504.68 165453.02
1992/10/31 161646.75 163830.15
1992/11/30 161973.71 163233.13
1992/12/31 163773.02 165078.83
1993/01/31 165722.10 167731.76
1993/02/28 167247.90 169590.08
1993/03/31 168029.81 170178.68
1993/04/30 168658.86 171540.89
1993/05/31 169019.66 170939.67
1993/06/30 170363.41 172789.57
1993/07/31 170873.05 173117.51
1993/08/31 171939.57 175181.84
1993/09/30 172350.90 175787.26
1993/10/31 172624.54 176094.18
1993/11/30 172552.26 175741.01
1993/12/31 173380.52 176451.55
1994/01/31 174965.54 177868.40
1994/02/28 173462.42 176165.65
1994/03/31 170555.17 174383.01
1994/04/30 169677.98 173399.20
1994/05/31 169851.71 173622.03
1994/06/30 170052.87 173907.93
1994/07/31 171933.26 175745.22
1994/08/31 172405.45 176291.78
1994/09/30 171630.57 175345.81
1994/10/31 171952.96 175568.64
1994/11/30 171334.85 174643.68
1994/12/31 171893.89 175089.34
1995/01/31 174332.02 177817.95
1995/02/28 177247.64 180744.17
1995/03/31 178140.11 181732.18
1995/04/30 180124.79 183577.89
1995/05/31 183807.15 187778.01
1995/06/30 184976.34 188883.75
1995/07/31 185419.00 189350.43
1995/08/31 186876.05 190624.34
1995/09/30 187922.13 191620.77
1995/10/31 189839.29 193479.08
1995/11/30 191537.33 195526.59
1995/12/31 193281.61 197170.49
1996/01/31 195048.64 198911.08
1996/02/29 193709.65 197708.64
1996/03/31 193238.13 197077.99
1996/04/30 192899.00 196800.50
1996/05/31 192972.20 197056.97
IMATRL PRASUN SHR__CHT 19960531 19960619 142454 R00000000000123
$100,000 OVER LIFE OF FUND: Let's say hypothetically that $100,000 was
invested in Fidelity Institutional Short-Intermediate Government Fund on
November 30, 1986, shortly after the fund started. As the chart shows, by
May 31, 1996, the value of the investment would have grown to $192,972 - a
92.97% increase on the initial investment. For comparison, look at how the
Salomon Brothers Treasury/Agency 1-5 Year Index did over the same period.
With dividends reinvested, the same $100,000 would have grown to $197,057 -
a 97.06% increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is no guarantee of
how it will do tomorrow. Bond prices, for
example, generally move in the opposite
direction of interest rates. In turn, the share
price, return, and yield of a fund that invests in
bonds will vary. That means if you sell your
shares during a market downturn, you might
lose money. But if you can ride out the market's
ups and downs, you may have a gain.
(checkmark)
TOTAL RETURN COMPONENTS
SIX MONTHS ENDED YEARS ENDED NOVEMBER 30,
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
MAY 31, 1996 1995 1994 1993 1992 1991
Dividend return 3.46% 7.56% 6.07% 6.12% 6.90% 8.25%
Capital appreciation return -2.71% 4.23% -6.78% 0.41% 0.82% 3.06%
Total return 0.75% 11.79% -0.71% 6.53% 7.72% 11.31%
</TABLE>
DIVIDEND returns and capital appreciation returns are both part of a bond
fund's total return. A dividend return reflects the actual dividends paid
by the fund. A capital appreciation return reflects both the amount paid by
the fund to shareholders as capital gain distributions and changes in the
fund's share price. Both returns assume the dividends or gains are
reinvested.
DIVIDENDS AND YIELD
PERIODS ENDED MAY 31, 1996 PAST 1 PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 5.36(cents) 33.29(cents) 65.72(cents)
Annualized dividend rate 6.74% 6.97% 6.90%
30-day annualized yield 6.21% - -
DIVIDENDS per share show the income paid by the fund for a set period and
do not reflect any tax reclassifications. If you annualize this number,
based on an average net asset value of $9.37 over the past month, $9.52
over the past six months, and $9.53 over the past year, you can compare the
fund's income over these three periods.
The 30-day annualized YIELD is a standard formula for all bond funds based
on the yields of the bonds in the fund, averaged over the past 30 days.
This figure shows you the yield characteristics of the fund's investments
at the end of the period. It also helps you compare funds from different
companies on an equal basis.
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Curt
Hollingsworth,
Portfolio Manager
of Fidelity
Institutional
Short-Intermediat
e Government
Fund
Q. CURT, HOW HAS THE FUND PERFORMED?
A. For the six months ended May 31, 1996, the fund had a total return of
0.75%. To compare, the short-intermediate U.S. government funds average
tracked by Lipper Analytical Services posted a return of -0.05% during the
same period, and the Salomon Brothers Treasury/Agency 1-5 Year Index
returned 0.78%. For the 12 months ended May 31, 1996, the fund had a total
return of 4.99%, while the short-intermediate U.S. government funds average
returned 4.05% and the Salomon Brothers index returned 4.94%.
Q. WHAT IS MEANT BY TOTAL RETURN?
A. Total return is simply the "total" amount of return to the fund's
shareholders and reflects both income and changes in share price. Interest
income is the main source of return for a bond fund over the long term. In
addition, the change in a bond fund's share price plays a role based on
appreciation or depreciation of the fund's holdings. Fortunately, total
return is easy to explain using a "dollars in, dollars out" example. If
someone invested $100 in this fund 12 months ago, reinvested the dividends
and capital gains, and didn't sell before the end of the period, the
investment would have been worth $104.99 as of May 31, 1996. That is what
is meant by a total return of 4.99%.
Q. WHAT HAS THE BOND MARKET ENVIRONMENT BEEN LIKE OVER THE PAST SIX MONTHS?
A. At the beginning of the period, the bond market was nearing the end of a
solid rally that had been sustained during much of 1995. Investors were
anticipating that the Federal Reserve Board would continue to lower
short-term interest rates - something it had done three times in the past
year, with the last decrease at the end of January 1996. The Fed had done
so because inflation appeared to be under control and the economy seemed to
be slowing. By lowering short-term interest rates, the Fed attempted to
stop the economy from weakening further. The anticipation of Fed
interest-rate easing had been priced into the short end of the yield curve.
However, the first quarter of 1996 showed weakening in the bond market,
with a significant rise in rates. Most of this rise was due to statistics
that came out in February and March showing the economy was stronger than
expected. Investor sentiment changed, reflecting uncertainty over what the
Fed's next move might be. A stronger economy can lead to inflation, which
the Fed usually seeks to control by raising interest rates. Because of
continuing evidence of a strengthening economy - including increases in new
home starts - it appeared at the end of the period that the market
anticipated increases in short-term interest rates by the Fed.
Q. WHAT HELPED THE FUND PERFORM BETTER THAN THE LIPPER AVERAGE?
A. As far as I can tell, the fund's competitors had a longer duration than
the fund did. Duration is a measure of sensitivity to interest rates - the
longer the duration, the more sensitive a bond fund is to changes in
interest rates. When interest rates rise, a fund with a longer duration
will drop more in value than one with a shorter duration. We had close to a
year where rates were falling and the market maintained strong expectations
of further Fed interest-rate easing. In that kind of environment, it can be
easy for fund managers to increase their funds' durations. Despite the
widespread consensus that the Fed was going to keep easing, I did not
lengthen the fund's duration, because I seek to match the interest-rate
sensitivity of the market by maintaining a duration that is close to that
of the fund's index. By sticking to this discipline, the fund was not
subject to the same losses as many of its competitors.
Q. YOU INCREASED THE FUND'S POSITION IN FEDERAL AGENCY SECURITIES OVER THE
PERIOD FROM 21.5% SIX MONTHS AGO TO 28.0% AS OF MAY 31. WHAT KINDS OF
SECURITIES DID YOU PURCHASE?
A. I bought amortizing notes. These federal agency notes make regular
principal payments, and the size and timing of the payments are spelled out
in the notes' prospectus. There are two major advantages to these
securities: they are non-callable, and their principal and interest
payments are backed by instruments, either pledged or held in trust, that
are backed by the full faith and credit of the U.S. government. These bonds
will not only reduce the portfolio's call risk relative to the index, but
they also offer attractive yields above comparable Treasuries.
Q. YOU'VE ALSO INCREASED THE FUND'S INVESTMENTS IN MORTGAGE-BACKED
SECURITIES FROM 23.3% SIX MONTHS AGO TO 28.6% AT THE END OF THE PERIOD.
WHAT IS THE MAKE-UP OF THAT PART OF THE PORTFOLIO?
A. I've bought a combination of mortgage securities with very high coupons
as well as very low coupons, relative to current interest rates. On the one
hand, the majority of the high-coupon securities are "seasoned" mortgages.
Seasoned securities contain mortgage loans that have been through several
refinancing periods without being prepaid and thus are less likely to be
prepaid in the near future. On the other hand, the lower-coupon securities
are low enough that homeowners currently have no incentive to prepay their
mortgages.
Q. ARE THERE ANY OTHER BENEFITS TO THIS STRATEGY?
A. Yes. Both the high- and low-coupon mortgage securities have good
convexity characteristics. In other words, they don't have too much call
risk, so they should perform more like non-callable Treasuries than do
mortgage securities with coupons that are closer to current interest rate
levels.
Q. WHAT'S YOUR OUTLOOK?
A. I think that federal agency issues are going to continue to outperform
comparable Treasuries. In addition, the tendency of federal agency issues
to produce consistent performance results has persuaded me that I should
continue to add to the position, and doing so probably will be one of my
main focuses over the next six months. I will endeavor to continue to build
up the agency position, particularly focusing on non-callable agencies that
will produce consistent performance compared to Treasury securities.
THE VIEWS EXPRESSED IN THIS REPORT REFLECT THOSE OF THE PORTFOLIO MANAGER
ONLY THROUGH THE END OF THE PERIOD OF THE REPORT AS STATED ON THE COVER.
THE MANAGER'S VIEWS ARE SUBJECT TO CHANGE AT ANY TIME BASED ON MARKET AND
OTHER CONDITIONS.
FUND FACTS
GOAL: seeks a high level of current income
in a manner consistent with preserving
capital
START DATE: November 10, 1986
SIZE: as of May 31, 1996, more than
$340 million
MANAGER: Curt Hollingsworth, since 1987;
manager, Spartan Limited Maturity
Government, Fidelity Short-Intermediate
Government and Spartan Short-Intermediate
Government funds, and The North Carolina
Capital Management Trust: Term Portfolio;
previously managed the Spartan Long-Term
Government Bond, Fidelity Government
Securities and Fidelity Advisor Government
Investment funds; joined Fidelity in 1983
(checkmark)
CURT HOLLINGSWORTH ON MANAGING THROUGH THE
UPS AND DOWNS OF THE MARKETS:
"The fund was hurt less than its competitors by
the fall in the bond market because it did not
become more aggressive, even when it
appeared conditions for bonds were going to
improve because of interest rate reductions.
When the bond market turned downward, it
helped this fund, relative to others. If the fund
had shifted into longer-term securities, it would
have been hit hard by the downward turn in the
bond market during the period.
"It can be easy to get carried away when all of
the news appears to be positive. It's important to
maintain discipline and stay the course, and not
fall subject to the temptation to reach too far
when all of the news is good. Sticking with a
steady strategy and riding out short-term
fluctuations often can help you achieve better
investment results."
INVESTMENT CHANGES
COUPON DISTRIBUTION AS OF MAY 31, 1996
% OF FUND'S % OF FUND'S INVESTMENTS
INVESTMENTS 6 MONTHS AGO
Under 5% 1.7 3.7
5 - 5.99% 8.1 7.4
6 - 6.99% 33.7 7.3
7 - 7.99% 8.3 14.6
8 - 8.99% 23.0 31.9
9 - 9.99% 15.2 27.4
10% and over 6.4 4.8
Zero Coupon Bonds 0.1 0.1
COUPON DISTRIBUTION SHOWS THE RANGE OF STATED INTEREST RATES ON THE FUND'S
INVESTMENTS, EXCLUDING REPURCHASE AGREEMENTS.
AVERAGE YEARS TO MATURITY AS OF MAY 31, 1996
6 MONTHS AGO
Years 3.5 3.1
AVERAGE YEARS TO MATURITY IS BASED ON THE AVERAGE TIME UNTIL PRINCIPAL
PAYMENTS ARE EXPECTED FROM EACH OF THE FUND'S BONDS, WEIGHTED BY DOLLAR
AMOUNT.
DURATION AS OF MAY 31, 1996
6 MONTHS AGO
Years 2.4 2.3
DURATION SHOWS HOW MUCH A BOND FUND'S PRICE FLUCTUATES WITH CHANGES IN
COMPARABLE INTEREST RATES. IF RATES RISE 1%, FOR EXAMPLE, A FUND WITH A
FIVE-YEAR DURATION IS LIKELY TO LOSE ABOUT 5% OF ITS VALUE. OTHER FACTORS
ALSO CAN INFLUENCE A BOND FUND'S PERFORMANCE AND SHARE PRICE. ACCORDINGLY,
A BOND FUND'S ACTUAL PERFORMANCE MAY DIFFER FROM THIS EXAMPLE.
ASSET ALLOCATION
AS OF MAY 31, 1996 AS OF NOVEMBER 30, 1995
U.S. government
agency mortgage-
backed securities 28.6%
U.S. government
and government
agency obligations 67.0%
Collateralized
mortgage obligations
(CMOs) 0.9%
Short-term
investments 3.5%
U.S. government
agency mortgage-
backed securities 23.3%
U.S. government
and government
agency obligations 73.0%
Collateralized
mortgage obligations
(CMOs) 0.9%
Short-term
investments 2.8%
Row: 1, Col: 1, Value: 3.5
Row: 1, Col: 2, Value: 1.9
Row: 1, Col: 3, Value: 66.0
Row: 1, Col: 4, Value: 28.6
Row: 1, Col: 1, Value: 2.8
Row: 1, Col: 2, Value: 1.9
Row: 1, Col: 3, Value: 72.0
Row: 1, Col: 4, Value: 23.3
INVESTMENTS MAY 31, 1996 (UNAUDITED)
Showing Percentage of Total Value of Investment in Securities
U.S. GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS - 67.0%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
U.S. TREASURY OBLIGATIONS - 39.0%
8 1/2%, 5/15/97 $ 830,000 $ 850,103
8 3/4%, 10/15/97 17,870,000 18,492,590
7 3/8%, 11/15/97 1,825,000 1,856,372
6 1/8%, 3/31/98 74,750,000 74,644,603
9%, 5/15/98 26,320,000 27,640,211
8 7/8%, 11/15/98 6,400,000 6,761,024
8 7/8%, 2/15/99 2,109,000 2,235,540
9 1/8%, 5/15/99 310,000 331,892
TOTAL U.S. TREASURY OBLIGATIONS 132,812,335
U.S. GOVERNMENT AGENCY OBLIGATIONS - 28.0%
Federal Agricultural Mortgage Corporation
6.92%, 8/10/00 1,040,000 1,044,878
Federal Farm Credit Bank 6.09%, 4/03/00 830,000 811,873
Federal Home Loan Bank:
8.60%, 1/25/00 2,000,000 2,120,620
8.85%, 6/21/00 940,000 1,008,300
6.17%, 10/17/01 1,000,000 967,030
6.20%, 7/17/02 960,000 923,550
Federal Home Loan Mortgage Corporation:
6.55%, 1/4/00 510,000 507,450
6.395%, 5/16/00 1,570,000 1,550,860
6.40%, 8/1/00 1,000,000 986,090
6.55%, 10/2/02 720,000 706,444
Federal National Mortgage Association:
0%, 11/30/99 610,000 481,668
8.90%, 6/12/00 15,120,000 16,242,206
6.32%, 8/3/00 2,420,000 2,379,150
6.33%, 8/11/00 1,240,000 1,219,068
Government Trust Certificates:
(assets of Trust guaranteed by U.S.
Government through Defense Security
Assistance Agency):
Class 1-C, 9 1/4%, 11/15/01 1,819,000 1,938,308
Class 2-E, 9.40%, 5/15/02 3,240,000 3,463,236
Class T-2, 9 5/8%, 5/15/02 1,487,000 1,590,034
(assets of Trust guaranteed by U.S.
Government through Export-Import Bank):
Series 1992-A 7.02%, 9/1/04 1,134,750 1,142,825
Series 1993-A 4.86%, 4/1/98 332,000 328,069
Series 1993-C 5.20%, 10/15/04 775,200 726,992
Series 1993-D 5.23%, 5/15/05 551,489 514,953
Series 1994-F 8.178%, 12/15/04 12,468,721 12,960,200
Series 1996-A 6.55%, 6/15/04 1,040,000 1,027,406
PRINCIPAL VALUE
AMOUNT (NOTE 1)
Israel Export Trust Certificate Series 1994-1
(assets of Trust guaranteed by U.S.
Government through Export-Import Bank)
6.88%, 1/26/03 $ 691,765 $ 691,150
Private Export Funding Corp. secured:
9.10%, 10/30/98 130,000 137,355
7.30%, 1/31/02 3,710,000 3,772,959
5.65%, 3/15/03 931,000 902,065
6.86%, 4/30/04 367,200 366,330
Series II, 8.40%, 7/31/01 3,000,000 3,184,050
Series SS, 5.80%, 2/1/04 1,310,000 1,244,317
Series VV, 6.24%, 5/15/02 390,000 377,169
State of Israel (guaranteed by U.S.
Government through Agency for
International Development):
7 3/4%, 4/1/98 3,675,537 3,747,982
4 7/8%, 9/15/98 5,750,000 5,559,560
7 1/8%, 8/15/99 1,522,000 1,541,357
7 3/4%, 11/15/99 10,504,000 10,838,657
5 3/4%, 3/15/00 941,000 909,627
6.05%, 8/15/00 2,663,000 2,594,960
8%, 11/15/01 410,000 429,901
6 1/4%, 8/15/02 945,000 913,870
U.S. Housing & Urban Development
6.67%, 8/1/01 3,600,000 3,569,075
TOTAL U.S. GOVERNMENT
AGENCY OBLIGATIONS 95,421,594
TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS
(Cost $229,618,235) 228,233,929
U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES - 28.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 10.1%
5 1/2%, 5/1/98 92,910 89,194
6%, 2/1/98 to 5/1/98 366,922 357,631
6 1/2%, 4/1/98 to 5/1/08 1,765,876 1,714,184
7%, 2/1/97 to 12/1/97 351,683 352,232
7 1/2%, 11/1/12 to 12/1/96 2,774,319 2,757,035
8%, 9/1/07 to 12/1/09 3,903,138 3,978,514
8 1/2%, 1/1/07 to 5/1/17 3,593,207 3,701,435
9%, 12/1/07 to 3/1/22 3,031,728 3,176,677
9 1/2%, 1/1/17 to 12/1/22 5,833,682 6,242,878
10%, 1/1/09 to 6/1/20 1,672,753 1,816,857
10 1/4%, 12/1/09 60,873 65,913
10 1/2%, 1/1/16 to 5/1/21 6,361,709 4,965,978
U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES - CONTINUED
PRINCIPAL VALUE
AMOUNT (NOTE 1)
FEDERAL HOME LOAN MORTGAGE CORPORATION - CONTINUED
11%, 6/1/13 to 1/1/19 $ 119,127 $ 130,604
11 1/2%, 10/1/15 103,883 115,433
11 3/4%, 7/1/13 54,672 60,614
12%, 9/1/11 to 11/1/19 198,014 224,442
12 1/4%, 11/1/14 141,363 159,360
12 1/2%, 8/1/10 to 6/1/19 3,868,524 4,441,493
34,350,474
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 16.8%
5 1/2%, 3/1/00 to 1/1/09 24,375,085 22,828,478
6%, 10/1/08 to 12/1/08 12,512,849 11,828,522
6 1/2%, 7/1/00 to 2/1/10 2,664,307 2,603,595
7%, 1/1/08 to 1/1/10 2,197,486 2,168,997
8%, 6/1/02 to 8/1/09 817,582 834,477
8 1/4%, 12/1/01 1,884,459 1,936,282
8 1/2%, 3/1/08 to 9/1/23 3,086,490 3,175,899
9%, 11/1/97 to 8/1/21 4,926,565 5,159,186
9 1/2%, 5/1/09 to 11/1/21 530,036 568,974
10%, 1/1/17 to 1/1/20 1,483,506 1,611,155
10 1/2%, 5/1/10 to 8/1/20 669,835 735,952
11%, 9/1/14 to 6/1/15 2,520,467 2,779,727
11 1/2%, 12/1/00 to 11/1/15 607,606 672,189
12 1/2%, 3/1/16 243,965 281,092
12 3/4%, 10/1/13 29,646 34,083
57,218,608
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.7%
8 1/2%, 5/15/16 to 1/15/17 584,578 605,368
9%, 1/15/05 to 2/15/17 1,547,841 1,637,222
10%, 11/15/09 to 9/15/19 1,082,863 1,186,026
11%, 7/15/10 to 12/15/15 563,993 625,746
11 1/2%, 12/15/12 to 8/15/13 1,054,267 1,186,588
12%, 1/15/14 to 3/15/14 218,946 251,092
12 1/2%, 11/15/14 120,792 140,424
13%, 8/15/14 to 11/15/14 235,101 274,033
13 1/2%, 7/15/11 74,613 88,709
5,995,208
TOTAL U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES
(Cost $98,051,759) 97,564,290
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.9%
PRINCIPAL VALUE
AMOUNT (NOTE 1)
U.S. GOVERNMENT AGENCY - 0.9%
Federal Home Loan Mortgage Corporation:
sequential pay Series 1353 Class A,
5 1/2%, 11/15/04 $ 217,112 $ 212,837
planned amortization class
Series 1722-PC, 6 1/2%, 3/15/12 3,000,000 2,983,125
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS
(Cost $3,216,350) 3,195,962
REPURCHASE AGREEMENTS - 3.5%
MATURITY
AMOUNT
Investments in repurchase agreements
(U.S. Treasury obligations) in a joint
trading account at 5.32% dated
5/31/96 due 6/3/96 $ 11,726,196 11,721,000
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $342,607,344) $340,715,181
INCOME TAX INFORMATION
At May 31, 1996, the aggregate cost of investment securities for income tax
purposes was $342,607,891. Net unrealized depreciation aggregated
$1,892,710, of which $2,114,093 related to appreciated investment
securities and $4,006,803 related to depreciated investment securities.
At November 30, 1995, the fund had a capital loss carryforward of
approximately $18,104,000 of which $14,816,000 and $3,288,000 will expire
on November 30, 2002 and 2003, respectively.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
MAY 31, 1996 (UNAUDITED)
ASSETS 1. 2.
3.Investment in securities, at value (including repurchase agreements of $11,721,000) 4. $ 340,715,181
(cost $342,607,344) - See accompanying schedule
5.Cash 6. 33,091
7.Receivable for investments sold 8. 368,726
9.Interest receivable 10. 3,704,278
11. TOTAL ASSETS 12. 344,821,276
LIABILITIES 13. 14.
15.Payable for investments purchased $ 3,600,000 16.
17.Distributions payable 168,403 18.
19.Accrued management fee 128,282 20.
21. TOTAL LIABILITIES 22. 3,896,685
23.NET ASSETS 24. $ 340,924,591
25.Net Assets consist of: 26. 27.
28.Paid in capital 29. $ 363,438,683
30.Undistributed net investment income 31. 843,109
32.Accumulated undistributed net realized gain (loss) on investments 33. (21,465,038)
34.Net unrealized appreciation (depreciation) on investments 35. (1,892,163)
36.NET ASSETS 37. $ 340,924,591
NET ASSET VALUE, offering price and redemption price per share ($340,924,591 (divided by) 36,516,339 shares) 38. $9.34
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
INVESTMENT INCOME 40. $ 13,205,473
39.Interest
EXPENSES 41. 42.
43.Management fee $ 784,182 44.
45.Non-interested trustees' compensation 591 46.
47. Total expenses before reductions 784,773 48.
49. Expense reductions (121,940) 662,833
50.NET INVESTMENT INCOME 51. 12,542,640
REALIZED AND UNREALIZED GAIN (LOSS) 53. (3,284,411)
52.Net realized gain (loss) on investment securities
54.Change in net unrealized appreciation (depreciation) on investment securities 55. (6,836,363)
56.NET GAIN (LOSS) 57. (10,120,774)
58.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 59. $ 2,421,866
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS YEAR ENDED
ENDED NOVEMBER 30,
MAY 31, 1996 1995
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
60.Operations $ 12,542,640 $ 24,502,089
Net investment income
61. Net realized gain (loss) (3,284,411) (3,161,030)
62. Change in net unrealized appreciation (depreciation) (6,836,363) 16,819,220
63. NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 2,421,866 38,160,279
64.Distributions to shareholders (12,184,001) (7,054)
From net investment income
Class I
65. Class II - (24,108,710)
66. TOTAL DISTRIBUTIONS (12,184,001) (24,115,764)
67.Share transactions 55,136,718 116,396,020
Net proceeds from sales of shares
68. Reinvestment of distributions 11,074,114 21,916,510
69. Cost of shares redeemed (64,094,509) (143,673,695)
70.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS 2,116,323 (5,361,165)
71. TOTAL INCREASE (DECREASE) IN NET ASSETS (7,645,812) 8,683,350
NET ASSETS 72. 73.
74. Beginning of period 348,570,403 339,887,053
75. End of period (including undistributed net investment income of $843,109 and $484,470, $ 340,924,591 $ 348,570,403
respectively)
OTHER INFORMATION 5,774,094 12,338,047
76.Shares
Sold
77. Issued in reinvestment of distributions 1,165,122 2,322,847
78. Redeemed (6,722,983) (15,250,216)
79. Net increase (decrease) 216,233 (589,322)
</TABLE>
FINANCIAL HIGHLIGHTS
80. SIX MONTHS YEARS ENDED NOVEMBER 30,
ENDED
MAY 31, 1996
81. (UNAUDITED) 1995 1994 D 1993 1992 1991
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
82.SELECTED PER-SHARE DATA
83.Net asset value, beginning of period $ 9.600 $ 9.210 $ 9.890 $ 9.850 $ 9.770 $ 9.480
84.Income from Investment Operations
85. Net investment income .343 .669 .597 .654 .721 .747
86. Net realized and unrealized gain (loss) (.270) .383 (.665) (.022) .014 .286
87. Total from investment operations .073 1.052 (.068) .632 .735 1.033
88.Less Distributions
89. From net investment income (.333) (.662) (.602) (.592) (.655) (.743)
90. From net realized gain - - (.010) - - -
91. Total distributions (.333) (.662) (.612) (.592) (.655) (.743)
92.Net asset value, end of period $ 9.340 $ 9.600 $ 9.210 $ 9.890 $ 9.850 $ 9.770
93.TOTAL RETURN B, C .75% 11.79% (.71)% 6.53% 7.72% 11.31%
94.RATIOS AND SUPPLEMENTAL DATA
95.Net assets, end of period (000 omitted) $ 340,925 $ 348,570 $ 339,788 $ 344,935 $ 188,918 $ 171,228
96.Ratio of expenses to average net assets .39% A, .45% .45% .45% .45% .45%
F
97.Ratio of expenses to average net assets after .38% A, .45% .45% .45% .45% .45%
expense reductions E
98.Ratio of net investment income to average net 7.19% A 7.14% 7.06% 7.14% 7.29% 7.77%
assets
99.Portfolio turnover rate 179% A 214% 303% 351% 355% 192%
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED
DURING THE PERIOD SHOWN (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS).
D EFFECTIVE DECEMBER 1, 1993, THE FUND ADOPTED STATEMENT OF POSITION 93-2,
"DETERMINATION, DISCLOSURE, AND FINANCIAL STATEMENT PRESENTATION OF INCOME,
CAPITAL GAIN, AND RETURN OF CAPITAL DISTRIBUTIONS BY INVESTMENT COMPANIES."
AS A RESULT, NET INVESTMENT INCOME PER SHARE MAY REFLECT CERTAIN
RECLASSIFICATIONS RELATED TO BOOK TO TAX DIFFERENCES.
E FMR OR THE FUND HAS ENTERED INTO VARYING ARRANGEMENTS WITH THIRD PARTIES
WHO EITHER PAID OR REDUCED A PORTION OF THE FUND'S EXPENSES (SEE NOTE 5 OF
NOTES TO FINANCIAL STATEMENTS).
F FMR AGREED TO REIMBURSE A PORTION OF THE FUND'S EXPENSES DURING THE
PERIOD. WITHOUT THIS REIMBURSEMENT, THE FUND'S EXPENSE RATIO WOULD HAVE
BEEN HIGHER (SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS).
NOTES TO FINANCIAL STATEMENTS
For the period ended May 31, 1996 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES.
Fidelity Institutional Short-Intermediate Government Fund (the fund)
(formerly Fidelity Institutional Short-Intermediate Government Portfolio -
Class I) is a fund of Fidelity Advisor Series IV (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 Massachusetts
business trust. The financial statements have been prepared in conformity
with generally accepted accounting principles which permit management to
make certain estimates and assumptions at the date of the financial
statements. The following summarizes the significant accounting policies of
the fund:
SECURITY VALUATION. Securities are valued based upon a computerized matrix
system and/or appraisals by a pricing service, both of which consider
market transactions and dealer-supplied valuations. Short-term securities
maturing within sixty days of their purchase date are valued either at
amortized cost or original cost plus accrued interest, both of which
approximate current value. Securities for which market quotations are not
readily available are valued at their fair value as determined in good
faith under consistently applied procedures under the general supervision
of the Board of Trustees.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, the fund is not subject to income taxes to
the extent that it distributes substantially all of its taxable income for
its fiscal year. The schedule of investments includes information regarding
income taxes under the caption "Income Tax Information."
INVESTMENT INCOME. Interest income, which includes accretion of original
issue discount, is accrued as earned.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are declared daily and paid
monthly from net investment income. Distributions from realized gains, if
any, are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences, which may result in distribution
reclassifications, are primarily due to differing treatments for paydown
gains/losses on certain securities, market discount, and losses deferred
due to wash sales.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital and may
affect the per-share allocation between net investment income and realized
and unrealized gain (loss). Undistributed net investment income and
accumulated undistributed net realized gain (loss) on investments may
include temporary book and tax basis differences which will reverse in a
subsequent period. Any taxable income or gain remaining at fiscal year end
is distributed in the following year.
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 fund, along with other affiliated
entities of Fidelity Management & Research Company (FMR), may transfer
uninvested cash balances into one or more joint trading accounts. These
balances are invested in one or more repurchase agreements that mature in
60 days or less from the date of purchase, and are collateralized by U.S.
Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
Securities are transferred to an account of the fund, 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 fund's
investment adviser, is responsible for determining that the value of the
underlying securities remains in accordance with the market value
requirements stated above.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of long-term U.S. government and government agency
obligations aggregated $310,143,090 and $325,388,831, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR pays all expenses,
except the compensation of the non-interested Trustees and certain
exceptions such as interest, taxes, brokerage commissions and extraordinary
expenses. FMR receives a fee that is computed daily at an annual rate of
.45% of the fund's average net assets.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plan (the Plan), and in accordance with Rule 12b-1 of the 1940 Act, FMR or
the fund's distributor, Fidelity Distributors Corporation (FDC), an
affiliate of FMR, may use their resources to pay administrative and
promotional expenses related to the sale of the fund's shares. Subject to
the approval of the Board of Trustees, the Plan also authorizes payments to
third parties that assist in the sale of the fund's shares or render
shareholder support services. No payments were made to third parties under
the Plan during the period.
5. EXPENSE REDUCTIONS.
FMR agreed to reimburse a portion of the fund's operating expenses. For the
period, this reimbursement reduced expenses by $98,146.
In addition, FMR has entered into an arrangement on behalf of the fund with
the fund's transfer agent whereby interest earned on uninvested cash
balances was used to offset a portion of the fund's expenses. During the
period, the fund's expenses were reduced by $23,794 under this arrangement.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, PRESIDENT
J. Gary Burkhead, SENIOR VICE PRESIDENT
Fred L. Henning, Jr., VICE PRESIDENT
Curtis Hollingsworth, VICE PRESIDENT
Arthur S. Loring, SECRETARY
Kenneth A. Rathgeber, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox *
Phyllis Burke Davis *
Richard J. Flynn *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Edward H. Malone *
Marvin L. Mann *
Gerald C. McDonough *
Thomas R. Williams *
ADVISORY BOARD
William O. McCoy
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional Operations Company
Boston, MA
CUSTODIAN
The Bank of New York
New York, NY
* INDEPENDENT TRUSTEES
