FIDELITY U.S. EQUITY INDEX PORTFOLIO
SEMIANNUAL REPORT
AUGUST 31, 1994
PERFORMANCE UPDATE
$100,000 OVER LIFE OF FUND
U.S. Equity Index (650) Standard & Poor's
02/17/88 100000.00 100000.00
02/29/88 103400.00 103287.20
03/31/88 100200.00 100095.63
04/30/88 100900.00 101206.69
05/31/88 101700.00 102087.19
06/30/88 106307.66 106772.99
07/31/88 106106.12 106367.25
08/31/88 102478.56 102750.77
09/30/88 106727.96 107127.95
10/31/88 109774.43 110106.11
11/30/88 108149.64 108531.59
12/31/88 110097.83 110430.89
01/31/89 118116.15 118514.43
02/28/89 115237.78 115563.42
03/31/89 117909.84 118256.05
04/30/89 124121.07 124393.54
05/31/89 129090.05 129431.48
06/30/89 128241.54 128693.72
07/31/89 139909.33 140314.76
08/31/89 142513.75 143064.93
09/30/89 141893.03 142478.36
10/31/89 138644.37 139172.87
11/30/89 141473.84 142011.99
12/31/89 144725.55 145420.28
01/31/90 134955.50 135662.58
02/28/90 136673.32 137412.63
03/31/90 140223.80 141054.06
04/30/90 136761.49 137527.71
05/31/90 150069.77 150936.66
06/30/90 148987.01 149910.29
07/31/90 148442.06 149430.58
08/31/90 134818.53 135922.05
09/30/90 128134.10 129302.65
10/31/90 127584.64 128746.65
11/30/90 135826.54 137063.68
12/31/90 139466.58 140887.76
01/31/91 145578.66 147030.47
02/28/91 155913.64 157543.14
03/31/91 159698.28 161355.69
04/30/91 160034.02 161742.94
05/31/91 166860.64 168730.24
06/30/91 159228.13 161002.39
07/31/91 166552.85 168505.10
08/31/91 170496.93 172498.67
09/30/91 167580.94 169617.95
10/31/91 169850.14 171890.83
11/30/91 162929.06 164963.63
12/31/91 181531.45 183835.47
01/31/92 178058.27 180416.13
02/29/92 180373.73 182761.54
03/31/92 176779.45 179197.69
04/30/92 181906.87 184466.10
05/31/92 182839.13 185369.98
06/30/92 180038.57 182607.97
07/31/92 187427.77 190076.64
08/31/92 183557.24 186180.06
09/30/92 185665.47 188376.99
10/31/92 186137.60 189036.31
11/30/92 192511.37 195482.45
12/31/92 194881.44 197886.88
01/31/93 196428.12 199549.13
02/28/93 199045.58 202263.00
03/31/93 203226.05 206530.75
04/30/93 198196.36 201532.70
05/31/93 203494.44 206933.78
06/30/93 203984.00 207533.89
07/31/93 203136.08 206703.75
08/31/93 210888.44 214537.82
09/30/93 209194.03 212885.88
10/31/93 213458.32 217292.62
11/30/93 211387.09 215228.34
12/31/93 213970.40 217832.60
01/31/94 221156.43 225238.91
02/28/94 215085.47 219134.94
03/31/94 205615.41 209580.65
04/30/94 208239.14 212263.29
05/31/94 211615.99 215744.41
06/30/94 206450.48 210458.67
07/31/94 213244.10 217361.71
08/31/94 221799.03 226273.54
$100,000 OVER LIFE OF FUND: LET'S SAY YOU INVESTED $100,000 IN FIDELITY
U.S. EQUITY INDEX PORTFOLIO ON FEBRUARY 17, 1988, WHEN THE FUND STARTED. BY
AUGUST 31, 1994, THE VALUE OF YOUR INVESTMENT WOULD HAVE GROWN TO $221,799
- - A 121.80% INCREASE ON YOUR INITIAL INVESTMENT. FOR COMPARISON, LOOK AT
HOW A $100,000 INVESTMENT IN THE S&P 500 (WITH DIVIDENDS REINVESTED) DID
OVER THE SAME PERIOD. IT WOULD HAVE GROWN TO $226,271 - A 126.27% INCREASE.
IF FIDELITY HAD NOT REIMBURSED CERTAIN FUND EXPENSES DURING THE PERIODS
SHOWN, THE TOTAL RETURNS WOULD HAVE BEEN LOWER.
CUMULATIVE TOTAL RETURNS
FOR THE PERIOD ENDED AUGUST 31, 1994
Six One Five Life of
Month Year Years Fund
s
FIDELITY U.S.
EQUITY 3.12% 5.17% 55.63 121.80
INDEX PORTFOLIO % %
S&P 500(registered trademark) 3.26% 5.47% 58.16 126.27
% %
AVERAGE ANNUAL TOTAL RETURNS
FOR THE PERIOD ENDED AUGUST 31, 1994
Life of
One Five Fund
Year Years
FIDELITY U.S. EQUITY
5.17% 9.25% 12.95%
INDEX PORTFOLIO
S&P 500(registered trademark) 5.47% 9.60% 13.29%
THE CHARTS ABOVE SHOW FIDELITY U.S. EQUITY INDEX PORTFOLIO'S TOTAL RETURNS,
WHICH INCLUDE CHANGES IN SHARE PRICE, AND REINVESTMENT OF DIVIDENDS AND
CAPITAL GAINS. FIGURES FOR THE S&P 500, AN UNMANAGED INDEX OF COMMON STOCK
PRICES, INCLUDE REINVESTMENT OF DIVIDENDS. S&P 500 IS A REGISTERED
TRADEMARK OF STANDARD & POOR'S CORPORATION.
FIGURES FOR MORE THAN ONE YEAR ASSUME A STEADY COMPOUNDED RATE OF RETURN
AND ARE NOT THE FUND'S YEAR-BY-YEAR RESULTS, WHICH FLUCTUATED OVER THE
PERIODS SHOWN. THE LIFE OF FUND FIGURES ARE FROM COMMENCEMENT OF
OPERATIONS, FEBRUARY 17, 1988, TO THE PERIODS LISTED ABOVE.
ALL PERFORMANCE NUMBERS ARE HISTORICAL; THE FUND'S SHARE PRICE AND RETURN
WILL VARY AND YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES.
AN INTERVIEW WITH
JENNIFER FARRELLY,
PORTFOLIO MANAGER OF
FIDELITY U.S. EQUITY INDEX PORTFOLIO
Q. JENNIFER, HOW DID THE FUND DO?
A. The fund had a total return of 3.12% for the six months ended August 31,
1994, while the Standard & Poor's 500 index returned 3.26% during the same
period. For the 12 months ended August 31, the fund returned 5.17%,
compared to 5.47% for the S&P 500. Because the fund's stock investments
closely resemble those in the index, much of the difference in these
returns can be attributed to the fund's expenses.
Q. HOW WOULD YOU CHARACTERIZE THE BEHAVIOR OF S&P 500 STOCKS OVER THE PAST
SIX MONTHS?
A. Earlier this year, stocks suffered from rising interest rates, concerns
about future inflation, and a weak U.S. dollar. However, the same
strengthening economy that triggered the Federal Reserve Board to raise
rates was helping companies boost their earnings. After stock prices
relative to earnings fell to more attractive levels, investors began to
reward the stocks of those companies with the strongest earnings growth and
growth potential. That helped the market bounce back in July and August. In
addition, by August, investors became more confident that the rate hikes
had indeed decreased the likelihood of an inflation problem down the road.
As for sectors within the S&P 500, several that were doing well fell out of
favor recently, and vice versa.
Q. CAN YOU GIVE US SOME EXAMPLES?
A. Sure. As the economy began to pick up in the second half of 1993,
cyclical stocks - those whose prices rise and fall with economic cycles -
performed very well. However, as the Fed began raising rates in February of
this year, investors worried that economic growth would slow, and they
began to sell many cyclicals quite heavily. For example, the prices of the
index's auto stocks such as Chrysler, Ford and General Motors have fallen
more than 13% over the past six months. Other transportation stocks such as
airlines and railroads suffered as well. In fact, U.S. Air Group was the
S&P's third worst performing stock over the past six months - its price
dropped nearly 42%. Investors were also concerned that rising rates would
hinder the earnings potential of home builders. That group was down nearly
30%, and was the index's worst performing industry over the past six
months. One notable exception among cyclically oriented stocks was the
basic industries sector - more than 8% of the index on August 31.
Q. WHICH BASIC INDUSTRIES STOCKS PERFORMED WELL, AND WHY?
A. Commodity stocks, those companies that produce the raw materials used to
manufacture various consumer products, have had a strong past six months.
They traditionally do well in the latter stages of an economic recovery, as
they gain the ability to raise prices on their commodities while
maintaining profitability. As a group, chemical stocks - more than 3% of
the S&P 500 on August 31 - rose nearly 12% in price over the past six
months. Paper products stocks (up 10.5%) also did well, as did companies
that produce aluminum (up 8.4%), copper (up 12.8%) and steel (up 9.9%).
Q. CONSUMER NONDURABLE STOCKS - NEARLY 21% OF THE INDEX ON AUGUST 31 -
LAGGED THE BROAD MARKET IN 1993. DID THEIR PERFORMANCE IMPROVE?
A. Somewhat. Selected health care stocks rebounded recently, as it appeared
more likely that Congress would not enact major health care reform this
year. Drug companies - up 10% over the past six months - also have
benefited from an increase in merger activity, as companies try to position
themselves for an uncertain future. For example, American Cyanamid was the
index's best performing stock over the past six months. Its price rose
nearly 114% on the heels of a takeover by American Home Products. On the
flip side, retail and food stocks continued their sluggish performance.
Q. HOW DO YOU SEE THE NEXT SIX MONTHS SHAPING UP?
A. Although stock prices have risen recently, the market appears at a
crossroads of sorts. The improving economy has led to stronger corporate
earnings; however, we have yet to realize the extent to which higher
interest rates might dampen economic growth. If rates level out, and
earnings drive the market, the stocks of those companies showing the best
earnings improvement could do well. However, market volatility has
increased in 1994 compared to 1993, and I expect that could continue. A
long-term approach is always helpful in weathering the market's highs and
lows.
FIDELITY U.S. EQUITY INDEX PORTFOLIO
INVESTMENTS/AUGUST 31, 1994 (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF
INVESTMENTS)
VALUE VALUE
SHARES (NOTE 1) SHARES (NOTE 1)
COMMON STOCKS - 98.2%
AEROSPACE & DEFENSE - 1.6%
AEROSPACE & DEFENSE - 1.1%
Boeing Co. 182,219 $ 8,290,908
Lockheed Corp. 33,577 2,644,189
Martin Marietta Corp. 51,024 2,595,846
McDonnell Douglas Corp. 21,047 2,488,808
Northrop Corp. 26,254 1,181,430
Rockwell International Corp. 118,122 4,267,157
21,468,338
DEFENSE ELECTRONICS - 0.4%
E-Systems, Inc. 18,236 784,148
Loral Corp. 44,456 1,856,038
Raytheon Co. 72,366 4,893,751
7,533,937
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 33,800 1,525,225
TOTAL AEROSPACE & DEFENSE 30,527,500
BASIC INDUSTRIES - 7.9%
CHEMICALS & PLASTICS - 4.4%
Air Products & Chemicals, Inc. 61,128 3,041,118
Avery Dennison Corp. 30,051 1,036,760
Dow Chemical Co. 147,386 11,072,373
du Pont (E.I.) de Nemours & Co. 363,240 21,976,020
Eastman Chemical Co. 44,229 2,333,080
Engelhard Corp. 51,329 1,379,467
FMC Corp. (a) 19,353 1,132,151
First Mississippi Corp. 10,723 170,228
Goodrich (B.F.) Co. 13,729 655,560
Grace (W.R.) & Co. 50,198 2,020,470
Great Lakes Chemical Corp. 38,100 2,295,525
Hercules, Inc. 21,862 2,355,631
Minnesota Mining & Manufacturing Co. 226,730 12,498,491
Monsanto Co. 63,478 5,244,870
Morton International, Inc. 78,465 2,324,526
Nalco Chemical Co. 36,900 1,249,988
PPG Industries, Inc. 113,770 4,735,676
Praxair, Inc. 72,095 1,640,161
Raychem Corp. 22,900 956,075
Rohm & Haas Co. 36,180 2,252,205
Union Carbide Corp. 80,795 2,777,328
83,147,703
IRON & STEEL - 0.5%
Armco, Inc. (a) 55,701 369,019
Bethlehem Steel Corp. (a) 56,975 1,310,425
Inland Steel Industries, Inc. (a) 22,039 911,864
Nucor Corp. 46,600 $ 3,215,400
USX U.S. Steel Group 40,416 1,646,952
Worthington Industries, Inc. 48,450 1,041,675
8,495,335
METALS & MINING - 0.8%
ASARCO, Inc. 22,345 675,936
Alcan Aluminium Ltd. 119,965 3,137,229
Aluminum Co. of America 47,303 3,973,452
Cyprus Amax Minerals Co. 49,373 1,604,623
Inco Ltd. 62,259 1,793,240
Phelps Dodge Corp. 37,772 2,398,522
Reynolds Metals Co. 32,362 1,775,865
15,358,867
PACKAGING & CONTAINERS - 0.3%
Ball Corp. 15,777 439,784
Bemis Co., Inc. 27,460 672,770
Corning, Inc. 111,816 3,452,319
Crown Cork & Seal Co., Inc. (a) 47,508 1,769,673
6,334,546
PAPER & FOREST PRODUCTS - 1.9%
Boise Cascade Corp. 20,336 582,118
Champion International Corp. 49,811 1,793,196
Federal Paper Board Co., Inc. 22,544 684,774
Georgia-Pacific Corp. 48,323 3,594,023
International Paper Co. 66,323 5,115,161
James River Corp. of Virginia 43,659 1,020,529
Kimberly-Clark Corp. 86,200 5,118,125
Louisiana-Pacific Corp. 58,962 2,093,151
Mead Corp. 31,773 1,604,537
Potlatch Corp. 15,631 687,764
Scott Paper Co. 39,584 2,592,752
Stone Container Corp. (a) 48,327 954,458
Temple-Inland, Inc. 29,720 1,675,465
Union Camp Corp. 37,386 1,883,320
Westvaco Corp. 35,876 1,300,505
Weyerhaeuser Co. 110,038 5,047,993
35,747,871
TOTAL BASIC INDUSTRIES 149,084,322
CONGLOMERATES - 1.2%
Allied-Signal, Inc. 152,252 5,690,419
Crane Co. 16,003 418,078
Dial Corp. (The) 49,300 1,158,550
Harris Corp. 21,248 1,027,872
ITT Corp. 62,965 5,163,130
Teledyne, Inc. 29,670 526,643
Textron, Inc. 47,301 2,613,380
Tyco Laboratories, Inc. 24,800 1,091,200
VALUE VALUE
SHARES (NOTE 1) SHARES (NOTE 1)
COMMON STOCKS - CONTINUED
CONGLOMERATES - CONTINUED
United Technologies Corp. 67,953 $ 4,323,510
Whitman Corp. 56,430 973,418
22,986,200
CONSTRUCTION & REAL ESTATE - 0.6%
BUILDING MATERIALS - 0.3%
Armstrong World Industries, Inc. 19,955 972,806
Masco Corp. 83,754 2,324,174
Owens-Corning Fiberglass Corp. (a) 23,146 824,576
Sherwin-Williams Co. 46,504 1,540,445
5,662,001
CONSTRUCTION - 0.1%
Centex Corp. 16,938 448,857
Kaufman & Broad Home Corp. 17,393 269,592
Morrison-Knudsen Corp. 16,900 304,200
Pulte Corp. 14,728 364,518
Skyline Corp. 6,013 121,012
1,508,179
ENGINEERING - 0.2%
EG & G, Inc. 29,864 474,091
Fluor Corp. 43,992 2,331,576
Foster Wheeler Corp. 19,141 779,996
3,585,663
TOTAL CONSTRUCTION & REAL ESTATE 10,755,843
DURABLES - 4.3%
AUTOS, TIRES, & ACCESSORIES - 3.4%
Chrysler Corp. 189,512 9,120,265
Cooper Tire & Rubber Co. 44,800 1,159,200
Cummins Engine Co., Inc. 21,374 860,304
Dana Corp. 52,804 1,471,912
Eaton Corp. 40,598 2,014,676
Echlin, Inc. 31,565 974,569
Ford Motor Co. 536,126 15,681,686
General Motors Corp. 398,532 20,026,233
Genuine Parts Co. 66,588 2,447,109
Goodyear Tire & Rubber Co. 80,932 2,832,620
Johnson Controls, Inc. 21,644 1,149,838
NACCO Industries, Inc. Class A 4,810 300,024
Navistar International Corp. (a) 40,107 656,752
PACCAR, Inc. 20,823 1,041,150
Pep Boys-Manny, Moe & Jack 32,600 1,136,925
SPX Corp. 6,814 119,245
Snap-on Tools Corp. 22,748 833,146
TRW, Inc. 34,569 2,592,675
64,418,329
CONSUMER ELECTRONICS - 0.4%
Black & Decker Corp. 44,968 $ 1,039,885
Maytag Co. 57,090 1,041,893
Newell Co. 42,200 2,009,775
Stanley Works 24,001 1,041,043
Whirlpool Corp. 39,781 2,182,982
7,315,578
HOME FURNISHINGS - 0.0%
Bassett Furniture Industries, Inc. 7,731 226,132
TEXTILES & APPAREL - 0.5%
Hartmarx Corp. (a) 17,324 99,613
Liz Claiborne, Inc. 42,201 933,697
NIKE, Inc. Class B 39,600 2,549,250
Oshkosh B'Gosh, Inc. Class A 7,817 120,186
Reebok International Ltd. 44,231 1,608,903
Russell Corp. 22,146 716,977
Springs Industries, Inc. Class A 9,421 347,399
Stride Rite Corp. 26,800 425,450
VF Corp. 34,616 1,830,321
8,631,796
TOTAL DURABLES 80,591,835
ENERGY - 9.7%
COAL - 0.1%
Eastern Enterprises Co. 11,227 290,499
Pittston Company Services Group 22,148 617,376
907,875
ENERGY SERVICES - 0.7%
Baker Hughes, Inc. 75,195 1,409,906
Dresser Industries, Inc. 93,876 1,889,255
Halliburton Co. 61,123 1,848,971
Helmerich & Payne, Inc. 13,228 350,542
McDermott International, Inc. 28,543 745,686
Rowan Companies, Inc. (a) 44,882 331,005
Schlumberger Ltd. 130,600 7,444,200
14,019,565
OIL & GAS - 8.9%
Amerada Hess Corp. 49,798 2,496,125
Amoco Corp. 265,698 15,377,272
Ashland Oil, Inc. 32,300 1,223,363
Atlantic Richfield Co. 85,608 9,170,757
Burlington Resources, Inc. 69,400 2,611,175
Chevron Corp. 348,796 14,780,231
Coastal Corp. (The) 55,929 1,712,826
Exxon Corp. 664,659 39,547,211
Kerr-McGee Corp. 27,656 1,344,773
Louisiana Land & Exploration Co. 17,736 764,865
Maxus Energy Corp. (a) 71,904 377,496
Mobil Corp. 213,178 17,960,247
VALUE VALUE
SHARES (NOTE 1) SHARES (NOTE 1)
COMMON STOCKS - CONTINUED
ENERGY - CONTINUED
OIL & GAS - CONTINUED
Occidental Petroleum Corp. 163,938 $ 3,647,621
Oryx Energy Co. 51,926 746,436
Pennzoil Co. 24,548 1,258,085
Phillips Petroleum Co. 139,966 4,636,374
Royal Dutch Petroleum Co. 286,924 32,314,816
Santa Fe Energy Resources, Inc. 48,132 457,254
Sun Company, Inc. 57,226 1,595,175
Texaco, Inc. 138,632 8,560,526
USX-Marathon Group 153,382 2,645,840
Unocal Corp. 129,153 3,697,005
166,925,473
TOTAL ENERGY 181,852,913
FINANCE - 11.4%
BANKS - 5.7%
Banc One Corp. 208,615 7,249,371
BankAmerica Corp. 187,335 9,249,666
Bank of Boston Corp. 49,718 1,305,098
Bankers Trust New York Corp. 42,689 3,142,978
Barnett Banks, Inc. 52,144 2,463,804
Boatmen's Bancshares, Inc. 55,700 1,872,913
Chase Manhattan Corp. 98,749 3,727,775
Chemical Banking Corp. 135,127 5,236,171
Citicorp 206,892 9,154,971
CoreStates Financial Corp. 75,300 2,127,225
First Chicago Corp. 47,248 2,456,896
First Fidelity Bancorporation 42,816 1,964,184
First Interstate Bancorp 44,332 3,541,019
First Union Corp. 91,214 4,207,246
Fleet Financial Group, Inc. 73,421 2,909,307
Keycorp 129,255 4,249,258
Mellon Bank Corp. 51,173 3,032,000
Morgan (J.P.) & Co., Inc. 103,523 6,819,578
NBD Bancorp, Inc. 85,943 2,674,976
NationsBank Corp. 144,238 8,041,269
Norwest Corp. 170,504 4,539,669
PNC Financial Corp. 125,668 3,518,704
Shawmut National Corp. 55,093 1,239,593
SunTrust Banks, Inc. 65,600 3,353,800
U.S. Bancorp 53,550 1,486,013
Wachovia Corp. 91,700 3,209,500
Wells Fargo & Co. 29,757 4,753,510
107,526,494
CREDIT & OTHER FINANCE - 1.0%
American Express Co. 264,743 $ 7,445,897
Beneficial Corp. 27,954 1,202,022
Dean Witter Discover & Co. 91,320 3,892,515
Household International, Inc. 50,535 1,996,133
MBNA Corp. 79,450 2,006,113
National Intergroup, Inc. 6,900 125,063
Transamerica Corp. 37,726 2,013,625
18,681,368
FEDERAL SPONSORED CREDIT - 1.0%
Federal Home Loan Mortgage Corporation 96,500 5,995,063
Federal National Mortgage Association 146,300 13,002,413
18,997,476
INSURANCE - 3.1%
Aetna Life & Casualty Co. 60,032 2,964,080
Alexander & Alexander Services, Inc. 23,300 477,650
American General Corp. 114,608 3,423,914
American International Group, Inc. 169,968 15,976,992
CIGNA Corp. 38,494 2,579,098
Chubb Corp. (The) 46,894 3,434,986
Continental Corp. 29,571 443,565
General Re Corp. 45,000 5,023,125
Jefferson Pilot Corp. 26,519 1,432,026
Lincoln National Corp. 50,400 1,940,400
Marsh & McLennan Companies, Inc. 39,587 3,369,843
Providian Corp. 53,812 1,809,429
SAFECO Corp. 33,678 1,839,661
St. Paul Companies, Inc. (The) 45,308 1,959,571
Torchmark Corp. 39,050 1,664,506
Travelers, Inc. (The) 173,227 6,409,399
UNUM Corp. 40,700 1,999,388
USF&G Corp. 45,689 616,802
USLIFE Corp. 12,231 438,787
57,803,222
SAVINGS & LOANS - 0.2%
Ahmanson (H.F.) & Co. 62,514 1,398,751
Golden West Financial Corp. 34,200 1,483,425
Great Western Financial Corp. 70,995 1,464,272
4,346,448
SECURITIES INDUSTRY - 0.4%
Merrill Lynch & Co., Inc. 109,154 4,434,381
Salomon, Inc. 59,153 2,565,761
7,000,142
TOTAL FINANCE 214,355,150
VALUE VALUE
SHARES (NOTE 1) SHARES (NOTE 1)
COMMON STOCKS - CONTINUED
HEALTH - 8.8%
DRUGS & PHARMACEUTICALS - 5.2%
ALZA Corp. Class A 43,700 $ 1,026,950
Allergan, Inc. 34,200 936,225
American Cyanamid Co. 48,106 4,642,229
American Home Products Corp. 166,142 9,864,681
Amgen, Inc. (a) 71,200 3,755,800
Bristol-Myers Squibb Co. 273,614 15,732,805
Lilly (Eli) & Co. 156,724 8,913,678
Merck & Co., Inc. 671,131 22,902,345
Pfizer, Inc. 171,784 11,724,258
Schering-Plough Corp. 103,374 7,223,258
Upjohn Co. 92,618 3,345,825
Warner-Lambert Co. 71,568 5,984,874
96,052,928
MEDICAL EQUIPMENT & SUPPLIES - 2.6%
Abbott Laboratories 438,756 13,162,680
Bard (C.R.), Inc. 27,768 774,033
Bausch & Lomb, Inc. 31,670 1,239,089
Baxter International, Inc. 147,980 4,198,933
Becton, Dickinson & Co. 38,892 1,667,495
Biomet, Inc. (a) 61,700 694,125
Johnson & Johnson 344,104 17,248,213
Mallinckrodt Group, Inc. 41,096 1,325,346
McKesson Corp. 22,047 2,259,818
Medtronic, Inc. 30,660 3,027,675
Millipore Corp. 15,200 849,300
Pall Corp. 61,928 1,114,704
St. Jude Medical, Inc. 24,800 855,600
U.S. Surgical Corp. 30,200 777,650
49,194,661
MEDICAL FACILITIES MANAGEMENT - 1.0%
Beverly Enterprises, Inc. (a) 44,467 605,863
Columbia/HCA Healthcare Corp. 180,917 7,688,973
Community Psychiatric Centers 23,254 325,556
Manor Care, Inc. 33,320 916,300
National Medical Enterprises, Inc. 88,874 1,621,951
United Healthcare Corp. 88,400 4,618,900
U.S. Healthcare, Inc. 86,500 3,741,125
19,518,668
TOTAL HEALTH 164,766,257
INDUSTRIAL MACHINERY & EQUIPMENT - 5.5%
ELECTRICAL EQUIPMENT - 3.3%
Emerson Electric Co. 120,173 7,465,748
General Electric Co. 915,430 45,542,643
General Signal Corp. 25,372 $ 913,392
Grainger (W.W.), Inc. 27,166 1,765,790
Honeywell, Inc. 69,900 2,507,663
Scientific-Atlanta, Inc. 20,090 899,028
Westinghouse Electric Corp. 189,234 2,672,930
Zenith Electronics Corp. (a) 19,730 202,233
61,969,427
INDUSTRIAL MACHINERY & EQUIPMENT - 1.5%
Briggs & Stratton Corp. 7,717 595,174
Caterpillar, Inc. 54,515 6,296,483
Cincinnati Milacron, Inc. 18,028 423,658
Clark Equipment Co. (a) 9,320 658,225
Cooper Industries, Inc. 62,014 2,457,305
Deere & Co. 45,879 3,406,516
Dover Corp. 30,578 1,769,702
Giddings & Lewis, Inc. 18,300 343,125
Harnischfeger Industries, Inc. 13,644 315,518
Illinois Tool Works, Inc. 60,620 2,621,815
Ingersoll-Rand Co. 56,422 2,151,089
Parker-Hannifin Corp. 26,053 1,094,226
TRINOVA Corp. 15,240 575,310
Tenneco, Inc. 90,549 4,459,538
Timken Co. 16,544 643,148
Varity Corp. (a) 23,559 889,352
28,700,184
POLLUTION CONTROL - 0.7%
Browning-Ferris Industries, Inc. 103,270 3,265,914
Ogden Corp. 23,245 520,107
Rollins Environmental Services, Inc. 32,324 197,985
Safety Kleen Corp. 30,907 521,556
WMX Technologies, Inc. 258,747 7,762,410
Zurn Industries, Inc. 6,614 126,493
12,394,465
TOTAL INDUSTRIAL MACHINERY &
EQUIPMENT 103,064,076
MEDIA & LEISURE - 4.6%
BROADCASTING - 1.4%
CBS, Inc. 7,258 2,319,714
Capital Cities/ABC, Inc. 82,090 6,885,299
Comcast Corp. Class A 126,750 2,028,000
Tele-Communications, Inc. Class A (a) 309,252 6,977,498
Time Warner, Inc. 202,527 7,721,342
25,931,853
ENTERTAINMENT - 0.7%
Disney (Walt) Co. 287,412 11,819,819
King World Productions, Inc. (a) 19,950 753,113
12,572,932
VALUE VALUE
SHARES (NOTE 1) SHARES (NOTE 1)
COMMON STOCKS - CONTINUED
MEDIA & LEISURE - CONTINUED
LEISURE DURABLES & TOYS - 0.3%
Brunswick Corp. 51,103 $ 1,175,369
Fleetwood Enterprises, Inc. 24,454 644,974
Hasbro, Inc. 47,041 1,475,911
Mattel, Inc. 91,548 2,632,005
Outboard Marine Corp. 10,623 262,919
6,191,178
LODGING & GAMING - 0.3%
Bally Entertainment Corp. (a) 25,133 188,498
Hilton Hotels Corp. 25,658 1,510,615
Marriott International, Inc. 67,040 1,977,680
Promus Companies, Inc. (a) 54,743 2,011,805
5,688,598
PUBLISHING - 1.2%
American Greetings Corp. Class A 39,700 1,191,000
Dow Jones & Co., Inc. 53,413 1,695,863
Dun & Bradstreet Corp. 91,020 5,245,028
Gannett Co., Inc. 78,788 3,939,400
Harcourt General, Inc. 41,698 1,407,308
Knight-Ridder, Inc. 29,067 1,504,217
McGraw-Hill, Inc. 26,459 1,842,208
Meredith Corp. 7,722 372,587
New York Times Co. (The) Class A 57,195 1,401,278
Times Mirror Co., Series A 68,150 2,240,431
Tribune Co. 35,992 1,934,570
22,773,890
RESTAURANTS - 0.7%
Luby's Cafeterias, Inc. 13,806 324,441
McDonald's Corp. 378,784 10,700,648
Ryan's Family Steak Houses, Inc. (a) 28,600 193,050
Shoney's, Inc. (a) 22,042 300,322
Wendy's International, Inc. 55,062 874,109
12,392,570
TOTAL MEDIA & LEISURE 85,551,021
NONDURABLES - 11.2%
AGRICULTURE - 0.1%
Pioneer Hi-Bred International,Inc. 47,800 1,493,750
BEVERAGES - 3.3%
Anheuser-Busch Companies, Inc. 142,284 7,754,478
Brown-Forman Corp. Class B 36,961 1,113,450
Coca-Cola Company (The) 692,248 31,843,408
Coors (Adolph) Co. Class B 20,442 416,506
PepsiCo, Inc. 427,509 14,161,236
Seagram Co. Ltd. 199,444 6,474,034
61,763,112
FOODS - 2.9%
Archer-Daniels-Midland Co. 183,778 $ 4,732,284
Borden, Inc. 75,672 841,851
CPC International, Inc. 80,190 4,290,165
Campbell Soup Co. 134,302 5,204,203
ConAgra, Inc. 132,729 4,346,875
General Mills, Inc. 84,906 4,584,924
Heinz (H.J.) Co. 134,698 4,933,314
Hershey Foods Corp. 46,905 2,251,440
Kellogg Co. 120,388 6,816,971
Pet, Inc. 54,830 1,110,308
Quaker Oats Co. 35,793 2,876,862
Ralston Purina Co. 53,660 2,173,230
SYSCO Corp. 98,608 2,526,830
Sara Lee Corp. 256,016 5,920,370
Wrigley (Wm.) Jr. Company 62,244 2,544,224
55,153,851
HOUSEHOLD PRODUCTS - 3.0%
Alberto Culver Co. Class B 14,632 343,852
Avon Products, Inc. 38,582 2,281,161
Clorox Co. 28,962 1,509,644
Colgate-Palmolive Co. 78,858 4,514,621
Gillette Company 118,346 8,565,292
International Flavors & Fragrances, Inc. 59,932 2,629,517
Premark International, Inc. 34,000 1,538,500
Procter & Gamble Co. 366,078 22,284,998
Rubbermaid, Inc. 85,870 2,415,094
Unilever NV 85,686 9,778,915
55,861,594
TOBACCO - 1.9%
American Brands, Inc. 107,956 3,886,416
Philip Morris Companies, Inc. 469,418 28,634,498
UST, Inc. 109,560 3,423,750
35,944,664
TOTAL NONDURABLES 210,216,971
PRECIOUS METALS - 0.6%
American Barrick Resources Corp. 153,500 3,494,888
Echo Bay Mines Ltd. 59,900 761,320
Homestake Mining Co. 73,510 1,387,501
Newmont Mining Corp. 45,725 1,960,459
Placer Dome, Inc. 127,335 2,887,521
10,491,689
RETAIL & WHOLESALE - 6.2%
APPAREL STORES - 0.6%
Brown Group, Inc. 9,421 350,932
Charming Shoppes, Inc. 55,016 488,267
Gap, Inc. 77,764 3,343,852
VALUE VALUE
SHARES (NOTE 1) SHARES (NOTE 1)
COMMON STOCKS - CONTINUED
RETAIL & WHOLESALE - CONTINUED
APPAREL STORES - CONTINUED
Genesco, Inc. (a) 13,018 $ 39,054
Limited, Inc. (The) 194,340 3,911,093
Melville Corp. 56,426 2,137,135
TJX Companies, Inc. 39,266 854,036
11,124,369
DRUG STORES - 0.2%
Long Drug Stores, Inc. 11,125 386,594
Rite Aid Corp. 47,196 973,418
Walgreen Co. 65,844 2,477,381
3,837,393
GENERAL MERCHANDISE STORES - 3.5%
Dayton Hudson Corp. 38,316 3,247,281
Dillard Department Stores, Inc. Class A 60,461 1,692,908
K mart Corp. 218,668 3,744,690
May Department Stores Co. (The) 132,930 5,450,130
Mercantile Stores Co., Inc. 19,693 738,488
Nordstrom, Inc. 43,894 2,063,018
Penney (J.C.) Co., Inc. 126,324 6,647,801
Price/Costco, Inc. 116,363 1,825,445
Sears, Roebuck & Co. 188,040 8,908,395
Wal-Mart Stores, Inc. 1,230,228 30,294,365
Woolworth Corp. 70,652 1,148,095
65,760,616
GROCERY STORES - 0.7%
Albertson's, Inc. 135,612 3,915,797
American Stores Co. 76,240 1,925,060
Bruno's, Inc. 41,800 350,075
Fleming Companies, Inc. 19,775 561,116
Giant Food, Inc. Class A 31,970 695,348
Great Atlantic & Pacific Tea Co., Inc. 20,444 490,656
Kroger Co. (The) (a) 57,894 1,469,060
Supervalu, Inc. 38,487 1,140,177
Winn-Dixie Stores, Inc. 39,896 2,119,475
12,666,764
RETAIL & WHOLESALE, MISC - 1.2%
Circuit City Stores, Inc. 51,400 1,220,750
Handleman Co. (Del.) 17,911 190,304
Home Depot, Inc. (The) 239,800 10,850,950
Lowe's Companies, Inc. 82,184 2,968,897
Tandy Corp. 33,965 1,367,091
Toys "R" Us, Inc. (a) 155,450 5,732,219
22,330,211
TOTAL RETAIL & WHOLESALE 115,719,353
SERVICES - 1.1%
ADVERTISING - 0.1%
Interpublic Group of Companies, Inc. 40,300 $ 1,390,350
LEASING & RENTAL - 0.2%
Blockbuster Entertainment Corp. 129,900 3,361,163
Ryder Systems, Inc. 41,391 1,138,253
4,499,416
PRINTING - 0.4%
Alco Standard Corp. 28,734 1,874,894
Deluxe Corp. 44,199 1,337,020
Donnelley (R.R.) & Sons Co. 84,882 2,567,681
Harland (John H.) Co. 16,300 344,338
Moore Corporation Ltd. 53,307 1,023,597
7,147,530
SERVICES - 0.4%
Block (H & R), Inc. 56,820 2,485,875
Ecolab, Inc. 33,800 781,625
Jostens, Inc. 24,300 446,513
National Education Corp. (a) 15,800 90,850
National Service Industries, Inc. 26,557 713,719
Service Corp. International 45,432 1,203,948
Western Atlas, Inc. 25,160 1,116,475
6,839,005
TOTAL SERVICES 19,876,301
TECHNOLOGY - 8.5%
COMMUNICATIONS EQUIPMENT - 0.6%
Andrew Corp. (a) 13,586 658,921
Cisco Systems, Inc. (a) 137,000 3,399,313
DSC Communications Corp. (a) 59,892 1,714,409
M/A-Com, Inc. (a) 13,636 114,202
Northern Telecom Ltd. 134,475 4,770,884
10,657,729
COMPUTER SERVICES & SOFTWARE - 2.1%
Autodesk, Inc. 12,800 777,600
Automatic Data Processing, Inc. 75,880 4,107,005
Ceridian Corp. (a) 23,648 632,584
Computer Associates International, Inc. 87,951 3,529,034
Computer Sciences Corp. (a) 26,954 1,209,561
Lotus Development Corp. (a) 23,649 966,653
Microsoft Corp. (a) 308,200 17,914,125
Novell, Inc. (a) 181,100 2,829,688
Oracle Systems Corp. (a) 155,200 6,625,100
Shared Medical Systems Corp. 12,229 305,725
38,897,075
COMPUTERS & OFFICE EQUIPMENT - 3.0%
Amdahl Corp. 61,622 570,004
Apple Computer, Inc. 62,746 2,270,621
Compaq Computer Corp. (a) 134,900 5,041,888
VALUE VALUE
SHARES (NOTE 1) SHARES (NOTE 1)
COMMON STOCKS - CONTINUED
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT - CONTINUED
Cray Research, Inc. (a) 13,918 $ 300,977
Data General Corp. (a) 19,032 168,909
Digital Equipment Corp. (a) 73,847 1,790,790
Hewlett-Packard Co. 135,400 12,169,075
Intergraph Corp. (a) 24,266 233,560
International Business Machines Corp. 311,127 21,351,090
Pitney Bowes, Inc. 84,678 3,260,103
Sun Microsystems, Inc. (a) 50,000 1,325,000
Tandem Computers, Inc. (a) 61,007 922,731
Unisys Corp. (a) 91,185 900,452
Xerox Corp. 55,773 5,974,683
56,279,883
ELECTRONIC INSTRUMENTS - 0.1%
Perkin-Elmer Corp. 23,553 703,646
Tektronix, Inc. 16,132 554,538
1,258,184
ELECTRONICS - 2.2%
AMP, Inc. 56,126 4,076,151
Advanced Micro Devices, Inc. (a) 49,690 1,441,010
Intel Corp. 223,780 14,713,535
Motorola, Inc. 298,200 16,102,800
National Semiconductor Corp. (a) 63,820 1,188,648
Texas Instruments, Inc. 49,091 3,822,962
Thomas & Betts Corp. 10,120 652,740
41,997,846
PHOTOGRAPHIC EQUIPMENT - 0.5%
Eastman Kodak Co. 176,919 8,801,720
Polaroid Corp. 25,091 884,458
9,686,178
TOTAL TECHNOLOGY 158,776,895
TRANSPORTATION - 1.7%
AIR TRANSPORTATION - 0.3%
AMR Corp. (a) 40,568 2,444,222
Delta Air Lines, Inc. 26,957 1,341,111
Southwest Airlines Co. 76,400 2,024,600
USAir Group, Inc. (a) 31,750 214,313
6,024,246
RAILROADS - 1.2%
Burlington Northern, Inc. 47,686 2,503,515
CSX Corp. 56,029 4,328,240
Conrail, Inc. 42,660 2,346,300
Norfolk Southern Corp. 74,121 4,762,274
Santa Fe Pacific Corp. 99,331 $ 2,135,617
Union Pacific Corp. 109,844 6,329,761
22,405,707
TRUCKING & FREIGHT - 0.2%
Consolidated Freightways, Inc. (a) 19,145 $ 459,480
Federal Express Corp. (a) 29,861 2,116,398
Roadway Services, Inc. 20,897 1,337,408
Yellow Corp. 15,033 304,418
4,217,704
TOTAL TRANSPORTATION 32,647,657
UTILITIES - 13.3%
CELLULAR - 0.7%
Airtouch Communications (a) 263,703 7,449,610
McCaw Cellular Communications, Inc.
Class A (a) 111,900 6,056,588
13,506,198
ELECTRIC UTILITY - 3.8%
American Electric Power Co., Inc. 98,725 3,109,838
Baltimore Gas & Electric Co. 78,138 1,797,174
Carolina Power & Light Co. 86,000 2,279,000
Central & South West Corp. 101,120 2,275,200
Commonwealth Edison Co. 114,440 2,746,560
Consolidated Edison Co. of New York, Inc. 125,468 3,434,687
Detroit Edison Company 78,671 2,143,785
Dominion Resources, Inc. (Va.) 90,015 3,386,814
Duke Power Co. 109,636 4,248,395
Entergy Corp. 123,238 3,065,545
FPL Group, Inc. 101,751 3,192,438
Houston Industries, Inc. 69,936 2,430,276
Niagara Mohawk Power Corp. 76,449 1,137,179
Northern States Power Co. (Minn.) 35,773 1,547,182
Ohio Edison Co. 81,677 1,582,492
PSI Resources, Inc. 30,663 686,085
Pacific Gas & Electric Co. 228,628 5,629,965
PacifiCorp. 151,000 2,585,875
Peco Energy Co. 118,525 3,229,806
Public Service Enterprise Group, Inc. 130,938 3,633,530
SCEcorp. 239,706 3,265,994
Southern Co. 346,980 6,549,248
Texas Utilities Co. 120,834 4,047,939
Union Electric Co. 54,700 1,955,525
69,960,532
GAS - 0.8%
Columbia Gas System, Inc. (The) (a) 27,052 727,023
Consolidated Natural Gas Co. 49,697 1,981,668
ENSERCH Corp. 35,666 566,198
Enron Corp. 133,316 4,066,138
VALUE
SHARES (NOTE 1)
COMMON STOCKS - CONTINUED
UTILITIES - CONTINUED
GAS - CONTINUED
NICOR, Inc. 28,300 $ 689,813
Noram Energy Corp. 65,500 474,875
ONEOK, Inc. 14,232 256,176
Pacific Enterprises 45,069 963,350
Panhandle Eastern Corp. 64,207 1,404,528
Peoples Energy Corp. 18,638 498,567
Sonat, Inc. 46,694 1,424,167
Transco Energy Co. 21,900 333,975
Williams Companies, Inc. 55,488 1,727,064
15,113,542
TELEPHONE SERVICES - 8.0%
AT & T Corp. 726,686 39,786,059
Ameritech Corp. 292,544 12,104,008
Bell Atlantic Corp. 233,362 12,776,570
BellSouth Corp. 265,560 15,767,625
GTE Corp. 512,068 16,258,159
MCI Communications Corp. 290,462 7,061,857
NYNEX Corp. 222,076 8,577,686
Pacific Telesis Group 225,603 7,444,899
Southwestern Bell Corp. 321,298 13,293,705
Sprint Corporation 183,800 7,283,075
U.S. West, Inc. 242,542 9,792,633
150,146,276
TOTAL UTILITIES 248,726,548
TOTAL COMMON STOCKS (Cost $1,585,556,254) 1,839,990,531
PRINCIPAL
AMOUNT
U.S. Treasury OBLIGATIONS - 0.3%
8 5/8%, 1/15/95 (b) $ 500,000 506,405
11 1/4%, 2/15/95 (b) 1,000,000 1,027,340
8 1/2%, 5/15/95 (b) 500,000 510,705
8 5/8%, 10/15/95 (b) 3,000,000 3,094,680
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $5,533,358) 5,139,130
MATURITY VALUE
AMOUNT (NOTE 1)
REPURCHASE AGREEMENTS - 1.5%
Investments in repurchase agreements
(U.S. Treasury obligations), in a joint
trading account, at 4.83% dated
8/31/94 due 9/1/94 $27,522,694 $ 27,519,000
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $1,618,608,612) $1,872,648,661
LEGEND:
(a) Non-income producing
(b) A portion of the securities were pledged to cover margin requirements
for futures contracts. At the period end the value of securities pledged
amounted to $5,139,130.
OTHER INFORMATION:
The fund had the following futures contracts open at period end (see Note2
of Notes to Financial Statements).
EXPIRATION UNDERLYING FACE UNREALIZED
PURCHASED DATE AMOUNT AT VALUE GAIN/(LOSS)
319 S&P 500 Futures
Contracts Sept., 1994 $ 75,618,950 $ 2,777,118
7 S&P 500 Futures
Contracts Dec., 1994 1,668,625 (3,120)
total purchased futures
contracts $ 77,287,575 $ 2,773,998
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES 4.1%
INCOME TAX INFORMATION:
At August 31, 1994 the aggregate cost of investment securities for income
tax purposes was $1,619,387,832. Net unrealized appreciation aggregated
$253,260,829, of which $339,609,455 related to appreciated investment
securities and $86,348,626 related to depreciated investment securities.
Statement of Assets and Liabilities
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C>
August 31, 1994 (Unaudited)
ASSETS
Investment in securities, at value (including repurchase agreements of $27,519,000) (cost $1,618,608,612) $ 1,872,648,661
- - See accompanying schedule
Cash 504,529
Receivable for investments sold 38,751,646
Receivable for fund shares sold 3,568,601
Dividends receivable 6,150,928
Interest receivable 120,433
Other receivables 1,422,898
Receivable from investment adviser for expense reductions 437,477
Total assets 1,923,605,173
LIABILITIES
Payable for investments purchased $ 986,328
Payable for fund shares redeemed 1,559,986
Accrued management fee 449,153
Payable for daily variation on futures contracts 326,715
Other payables and accrued expenses 548,551
Collateral on securities loaned, at value 2,143,200
Total liabilities 6,013,933
NET ASSETS $ 1,917,591,240
Net Assets consist of:
Paid in capital $ 1,654,701,937
Undistributed net investment income 7,027,167
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions (952,128)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies 256,814,264
NET ASSETS, for 108,758,164 shares outstanding $ 1,917,591,240
NET ASSET VALUE, offering price and redemption price per share ($1,917,591,240 (divided by) $17.63
shares)
</TABLE>
Statement of Operations
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C>
Six Months Ended August 31, 1994 (Unaudited)
INVESTMENT INCOME $ 25,613,552
Dividends
Interest (including security lending fees of $26,495) 1,423,822
Total income 27,037,374
EXPENSES
Management fee $ 2,594,121
Transfer agent fees 2,363,110
Accounting and security lending fees 355,381
Non-interested trustees' compensation 5,334
Custodian fees and expenses 88,027
Audit 32,831
Legal 4,982
Interest 1,730
Miscellaneous 3,301
Total expenses before reductions 5,448,817
Expense reductions (2,810,270) 2,638,547
Net investment income 24,398,827
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on:
Investment securities 157,468
Foreign currency transactions 66
Futures contracts (330,185) (172,651)
Change in net unrealized appreciation (depreciation) on:
Investment securities 33,978,122
Futures contracts 3,354,728
Assets and liabilities in foreign 217 37,333,067
currencies
Net gain (loss) 37,160,416
Net increase (decrease) in net assets resulting from operations $ 61,559,243
</TABLE>
Statement of Changes in Net Assets
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS YEAR ENDED
ENDED AUGUST FEBRUARY 28,
31, 1994 1994
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations $ 24,398,827 $ 42,616,745
Net investment income
Net realized gain (loss) (172,651) 27,471,522
Change in net unrealized appreciation (depreciation) 37,333,067 54,942,260
Net increase (decrease) in net assets resulting from operations 61,559,243 125,030,527
Distributions to shareholders: (21,819,015) (41,085,662)
From net investment income
From net realized gain (6,489,037) (23,556,130)
Total distributions (28,308,052) (64,641,792)
Share transactions 789,771,050 1,395,243,466
Net proceeds from sales of shares
Reinvestment of distributions 27,015,382 60,945,054
Cost of shares redeemed (824,700,532) (1,096,425,419)
Net increase (decrease) in net assets resulting from share transactions (7,914,100) 359,763,101
Total increase (decrease) in net assets 25,337,091 420,151,836
NET ASSETS
Beginning of period 1,892,254,149 1,472,102,313
End of period (including undistributed net investment income of $7,027,167 and $6,424,856, $ 1,917,591,240 $ 1,892,254,149
respectively)
OTHER INFORMATION
Shares
Sold 46,645,025 85,203,118
Issued in reinvestment of distributions 1,594,324 3,597,250
Redeemed (48,492,663) (67,776,697)
Net increase (decrease) (253,314) 21,023,671
</TABLE>
Financial Highlights
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEAR ENDED FOUR MONTHS
ENDED AUGUST FEBRUARY 28, ENDED YEARS ENDED OCTOBER 31,
31, FEBRUARY 28,
1994 1994 1993 1992 1991 1990
Selected Per-Share Data
Net asset value, beginning of period $ 17.36 $ 16.73 $ 15.77 $ 14.97 $ 11.61 $ 13.23
Income from Investment Operations
Net investment income .21 .44 .15 .42 .42 .44
Net realized and unrealized gain (loss).32 .88 .94 .97 3.38 (1.44)
Total from investment operations .53 1.32 1.09 1.39 3.80 (1.00)
Less Distributions
From net investment income (.20) (.44) (.13) (.43) (.44) (.48)
From net realized gain (.06) (.25) - (.16) - (.14)
Total distributions (.26) (.69) (.13) (.59) (.44) (.62)
Net asset value, end of period $ 17.63 $ 17.36 $ 16.73 $ 15.77 $ 14.97 $ 11.61
TOTAL RETURN B, C 3.12% 8.06% 6.93% 9.59% 33.13% (7.98)%
Ratios and Supplemental Data
Net assets, end of period (in millions)$1,918 $ 1,892 $ 1,472 $ 1,455 $ 960 $ 436
Ratio of expenses to average net assets.28% .28% .28% .28% .28% .28%
A A
Ratio of expenses to average net assets.53% .61% .66% .64% .67% .66%
before expense reductions A A
Ratio of net investment income to
average 2.59% 2.59% 2.95% 2.78% 3.14% 3.55%
net assets A A
Portfolio turnover rate 15% 4% 28% 6% 4% 2%
A A
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIOD SHOWN (SEE NOTE 7 OF NOTES TO FINANCIAL
STATEMENTS).
NOTES TO FINANCIAL STATEMENTS
FOR THE PERIOD ENDED AUGUST 31, 1994 (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES.
Fidelity U.S. Equity Index Portfolio (the fund) is a fund of Fidelity
Institutional 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 Massachusetts business trust. The following
summarizes the significant accounting policies of the fund:
SECURITY VALUATION. Securities for which exchange quotations are readily
available are valued at the last sale price, or if no sale price, at the
closing bid price. Securities for which exchange quotations are not readily
available (and in certain cases debt securities which trade on an
exchange), are valued primarily using dealer-supplied valuations or at
their fair value as determined in good faith under consistently applied
procedures under the general supervision of the Board of Trustees.
Short-term securities maturing within sixty days of their purchase date are
valued at amortized cost or original cost plus accrued interest, both of
which approximate current value.
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 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. Dividend income is recorded on the ex-dividend date,
except certain dividends from foreign securities where the ex-dividend date
may have passed, are recorded as soon as the fund is informed of the
ex-dividend date. Interest income is accrued as earned. Dividend and
interest income is recorded net of foreign taxes withheld where recovery of
such taxes is uncertain.
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 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 are primarily due to differing treatments for
futures and options transactions, foreign currency transactions,
redemptions in kind, non-taxable dividends, and losses deferred due to wash
sales. The fund also utilized earnings and profits distributed to
shareholders on redemption of shares as a part of the dividends paid
deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital and may
affect net investment income per share. Undistributed net investment income
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.
REPURCHASE AGREEMENTS. The fund, through its custodian, receives delivery
of the underlying securities, whose market value is required to be at least
102% of the resale price at the time of purchase. The fund's investment
adviser, Fidelity Management & Research Company (FMR), is responsible for
determining that the value of these underlying securities remains at least
equal to the resale price.
2. OPERATING POLICIES - CONTINUED
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other affiliated
entities of 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.
FUTURES CONTRACTS AND OPTIONS. The fund may invest in futures and options
contracts, and may also write options. These investments involve, to
varying degrees, elements of market risk and risks in excess of the amount
recognized in the Statement of Assets and Liabilities. The face or contract
amounts, as reflected in the schedule of investments under the caption
"Futures Contracts," reflect the extent of the involvement the fund has in
the particular classes of instruments. Risks may be caused by an imperfect
correlation between movements in the price of the instruments and the price
of the underlying securities and interest rates. Risks also may arise if
there is an illiquid secondary market for the instruments, or due to the
inability of counterparties to perform.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. Options traded
on an exchange are valued using the last sale price or, in the absence of a
sale, the last offering price. Options traded over-the-counter are valued
using dealer-supplied valuations.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $134,213,965 and $164,037,324, respectively.
The market value of futures contracts opened and closed during the period
amounted to $248,902,477 and $231,279,920, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee that
is computed daily at an annual rate of .28% of the fund's average net
assets.
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations Company
(FIIOC), an affiliate of FMR, is the fund's transfer, dividend disbursing
and shareholder servicing agent. FIIOC receives fees based on the type,
size, number of accounts and the number of transactions made by
shareholders. FIIOC pays for typesetting, printing and mailing of all
shareholder reports, except proxy statements.
ACCOUNTING AND SECURITY LENDING FEES. Fidelity Service Co., an affiliate of
FMR, maintains the fund's accounting records and administers the security
lending program. The security lending fee is based on the number and
duration of lending transactions. The accounting fee is based on the level
of average net assets for the month plus out-of-pocket expenses.
5. SECURITY LENDING.
The fund loaned securities to certain brokers who paid the fund negotiated
lenders' fees. These fees are included in interest income. The fund
receives U.S. Treasury obligations and/or cash as collateral against the
loaned securities, in an amount at least equal to 102% of the market value
of the loaned securities at the inception of each loan. This collateral
must be maintained at not less than 100% of the market value of the loaned
securities during the period of the loan. At period end, the value of the
securities loaned and the value of collateral amounted to $2,075,925 and
$2,143,200, respectively.
6. BANK BORROWINGS.
The fund is permitted to have bank borrowings for temporary or emergency
purposes to fund shareholder redemptions. The fund has established
borrowing arrangements with certain banks. Under the most restrictive
arrangement, the fund must pledge to the bank securities having a market
value in excess of 220% of the total bank borrowings. The interest rate on
the borrowings is the bank's base rate, as revised from time to time. The
maximum loan and the average daily loan balances during the periods for
which loans were outstanding amounted to $3,236,000. The weighted average
interest rate was 4.81%.
7. REIMBURSEMENT OF EXPENSES
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses) above an annual rate of .28% of average net assets. For the
period, the reimbursement amounted to $2,810,270.
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, THE FEDERAL
RESERVE BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO INVESTMENT RISK,
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL.
NEITHER THE FUND NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK. FOR MORE
INFORMATION ON ANY FIDELITY FUND
INCLUDING CHARGES AND EXPENSES, CALL 1-800-544-8888 FOR A FREE PROSPECTUS.
READ IT CAREFULLY BEFORE YOU INVEST
OR SEND MONEY.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, PRESIDENT
J. Gary Burkhead, SENIOR VICE PRESIDENT
William J. Hayes, VICE PRESIDENT
Jonathan F. Weed, VICE PRESIDENT
Gary L. French, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
Arthur S. Loring, SECRETARY
Robert H. Morrison, MANAGER, SECURITY TRANSACTIONS
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
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND
SHAREHOLDER
SERVICING AGENT
Fidelity Investments Institutional
Operations Company
Boston, MA
CUSTODIAN
Brown Brothers Harriman & Co.
Boston, MA UEI-10-94S
FIDELITY U.S. BOND INDEX PORTFOLIO
SEMIANNUAL REPORT TO SHAREHOLDERS
AUGUST 31, 1994
PERFORMANCE UPDATE
$100,000 OVER LIFE OF FUND FID. U.S. BOND IX PORT.(651) AGGREGATE
BOND INDEX (SH01
03/31/90 100000.00 100000.00
04/30/90 98902.15 99080.00
05/31/90 101848.95 102012.77
06/30/90 103292.33 103655.17
07/31/90 104861.21 105085.61
08/31/90 103552.15 103677.47
09/30/90 104402.79 104537.99
10/31/90 105789.53 105865.62
11/30/90 107912.50 108141.73
12/31/90 109639.20 109828.75
01/31/91 110945.70 111190.62
02/28/91 111681.87 112135.74
03/31/91 112576.10 112909.48
04/30/91 113908.48 114128.90
05/31/91 114705.76 114790.85
06/30/91 114615.94 114733.45
07/31/91 116187.71 116328.25
08/31/91 118683.00 118840.94
09/30/91 121180.33 121253.41
10/31/91 122572.39 122599.32
11/30/91 123844.12 123727.24
12/31/91 127589.07 127401.93
01/31/92 126089.96 125669.27
02/29/92 126777.93 126486.12
03/31/92 126332.43 125777.80
04/30/92 127155.24 126683.40
05/31/92 129563.13 129077.71
06/30/92 131479.58 130858.99
07/31/92 134384.14 133528.51
08/31/92 135838.14 134877.15
09/30/92 137508.21 136482.18
10/31/92 135863.10 134666.97
11/30/92 135802.93 134693.90
12/31/92 137757.57 136835.54
01/31/93 140497.87 139462.78
02/28/93 143334.35 141903.38
03/31/93 143928.50 142499.37
04/30/93 145002.73 143496.87
05/31/93 145185.51 143683.41
06/30/93 147708.59 146284.08
07/31/93 148811.01 147117.90
08/31/93 151228.56 149692.47
09/30/93 151744.95 150096.64
10/31/93 152254.88 150651.99
11/30/93 151011.42 149371.45
12/31/93 151827.71 150178.06
01/31/94 153733.22 152205.46
02/28/94 151041.84 149557.09
03/31/94 147851.92 145863.03
04/30/94 146592.86 144696.12
05/31/94 146472.14 144681.65
06/30/94 146357.37 144363.35
07/31/94 148983.70 147236.18
08/31/94 149184.11 147412.87
$100,000 OVER LIFE OF FUND: LET'S SAY YOU INVESTED $100,000 IN FIDELITY
U.S. BOND INDEX PORTFOLIO ON MARCH 31, 1990, SHORTLY AFTER THE FUND
STARTED. BY AUGUST 31, 1994, THE VALUE OF YOUR INVESTMENT WOULD HAVE GROWN
TO $149,184 - A 49.18% INCREASE ON YOUR INITIAL INVESTMENT. FOR COMPARISON,
LOOK AT HOW A $100,000 INVESTMENT IN THE LEHMAN BROTHERS AGGREGATE BOND
INDEX (WITH DIVIDENDS REINVESTED) DID OVER THE SAME PERIOD. IT WOULD HAVE
GROWN TO $147,413 - A 47.41% INCREASE.
AVERAGE ANNUAL TOTAL RETURNS*
FIDELITY
U.S. BOND INDEX
PORTFOLIO
LEHMAN
BROTHERS
AGGREGATE
BOND INDEX
FOR THE PERIOD ENDED AUGUST 31, 1994
One year total return -1.35% -1.51%
Life of fund average annual total return 9.40% n/a
FOR THE PERIOD ENDED AUGUST 31, 1994
Six month total return -1.23% -1.43
One year total return -1.35% -1.51%
Life of fund cumulative total return 49.68% n/a
CUMULATIVE TOTAL RETURNS*
PERFORMANCE UPDATE - CONTINUED
FIDELITY
U.S. BOND INDEX
PORTFOLIO
FOR THE PERIOD ENDED AUGUST 31, 1994
30-day annualized net yield 6.94%
Six-month dividends per share 37.28(cents)
Six-month annualized dividend rate** 7.19%
YIELD AND DIVIDENDS
* TOTAL RETURNS INCLUDE CHANGES IN SHARE PRICE AND REINVESTMENT OF
DIVIDENDS AND CAPITAL GAINS, IF ANY. FIGURES FOR MORE THAN ONE YEAR ASSUME
A STEADY COMPOUNDED RATE OF RETURN AND ARE NOT THE FUND'S YEAR-BY-YEAR
RESULTS, WHICH FLUCTUATED OVER THE PERIODS SHOWN. LIFE OF FUND FIGURES ARE
FROM COMMENCEMENT OF OPERATIONS, MARCH 8, 1990, TO THE PERIODS LISTED
ABOVE. THE LEHMAN BROTHERS AGGREGATE BOND INDEX IS A BROAD MEASURE OF THE
BOND MARKET. IT INCLUDES REINVESTED DIVIDENDS AND CAPITAL GAINS, IF ANY.
** THE DIVIDEND RATE REFLECTS ACTUAL DIVIDENDS PAID DURING THE PERIOD. IT
IS BASED ON AN AVERAGE SHARE PRICE OF $10.29.
IF FIDELITY HAD NOT REIMBURSED CERTAIN FUND EXPENSES DURING THE PERIODS
SHOWN, THE 30-DAY YIELD WOULD HAVE BEEN 6.73% AND THE TOTAL RETURNS WOULD
HAVE BEEN LOWER.
ALL PERFORMANCE NUMBERS ARE HISTORICAL; THE FUND'S SHARE PRICE, YIELD AND
RETURN WILL VARY AND YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES.
AN INTERVIEW WITH
CHRISTINE THOMPSON,
PORTFOLIO MANAGER OF
FIDELITY U.S. BOND INDEX PORTFOLIO
Q. CHRISTINE, HOW HAS THE FUND PERFORMED OVER THE PAST SIX MONTHS?
A. Although it was a disappointing period for fixed-income investments, the
fund outpaced its benchmark. For the six months ended August 31, 1994, the
fund's total return was -1.23%. That beat the Lehman Brothers Aggregate
Bond Index, which returned -1.43% for the same period. For the 12 months
ended August 31, 1994, the fund's total return was -1.35%, compared with
the index's return of -1.51%.
Q. HOW HAVE INDIVIDUAL SEGMENTS OF THE FIXED-INCOME MARKET FARED SINCE
FEBRUARY?
A. From the beginning of March through the end of August, Treasury
securities, which make up about 47% of the Lehman Brothers Aggregate Bond
Index, returned -1.6%; mortgage-backed securities, at roughly 29% of the
index, returned about -0.9%; corporate securities, which comprise roughly
16% of the index, returned about -2.1%; agencies, which were about 7% of
the index, returned -1.7%; and asset-backed securities, which were just
over 1% of the total, were up 0.4%.
Q. CAN YOU OUTLINE YOUR STRATEGY?
A. I use a technique called stratified sampling, which involves selecting
and prioritizing characteristics of bonds, and dissecting the index into
cells that define the parameters for those characteristics. For example,
duration - which is a measure of a bond's sensitivity to changes in
interest rates - is the characteristic that I prioritize as most important.
The duration of the fund and the distribution of duration is always set to
match the index. I determine what percent of the index falls within a
duration of zero to one year, one to two years, and so on. The next step is
to find securities that will give the fund the same duration breakdown as
the index. I follow the same procedure for other security characteristics
including, but not limited to sector, maturity and credit quality.
Q. WHAT'S THE NEXT STEP?
A. The Lehman Brothers Aggregate Bond Index is made up of more than 4,000
individual securities. Obviously, it's impractical for the fund to own
everything in that index. So using Fidelity's research resources, I pick
securities that have the characteristics I need, and also offer the
potential for performing better than other securities with similar
characteristics. Usually I'm looking at more than one parameter at a time.
For example, I may need a Treasury security and at the same time, a
security with a 10-year duration.
Q. WHAT ELEMENTS OF THAT STRATEGY HELPED THE FUND COME OUT AHEAD
OF ITS BENCHMARK?
A. One choice that has helped the fund's recent performance has been the
positioning of the fund's corporate bonds. With the spread - or the
difference in yield between corporate and Treasury securities - very
narrow, I've emphasized relatively short maturity corporate bonds. These
short-maturity issues still benefit from the high yields that corporate
securities offer compared to Treasuries. They also have helped insulate the
fund from the price losses that longer maturity corporate issues have
experienced as credit concerns have caused the yield spreads for some
utility and industrial issues to widen.
Q. WHAT OTHER CHANGES HAVE YOU MADE RECENTLY?
A. Within the mortgage sector, I had positioned the fund with a modest
overweighting in very low- and very high-coupon securities last year, as a
way to protect against rapid prepayments when interest rates were falling.
Now, with interest rates higher, we expect prepayments to slow dramatically
so I've invested more in middle-coupon bonds. We've also made some changes
in the asset-backed sector. I've shifted from owning AAA-rated credit card
and automobile securities to A-rated securities, which offer as much as
0.40% more in yield. Both strategies could help the fund's relative
performance going forward.
Q. WHAT'S AHEAD FOR THE FUND?
A. As always, the fund's return will be dictated by the direction of
interest rates. No matter which way interest rates go, I'll continue to
keep the fund fully invested and structure the fund with securities that
have the potential for performing better than average.
FIDELITY U.S. BOND INDEX PORTFOLIO
INVESTMENTS/AUGUST 31, 1994 (UNAUDITED)
(SHOWING PERCENTAGE OF TOTAL VALUE OF
INVESTMENTS)
MOODY'S MOODY'S
RATINGS (B) PRINCIPAL VALUE RATINGS (B) PRINCIPAL VALUE
(UNAUDITED) VALUE (NOTE 1) (UNAUDITED) VALUE (NOTE 1)
NONCONVERTIBLE BONDS - 26.8%
BASIC INDUSTRIES - 0.2%
PAPER & FOREST PRODUCTS - 0.2%
Chesapeake Corp.:
10 3/8%, 10/1/00 Baa3 $ 300,000 $ 332,786
9 7/8%, 5/1/03 Baa3 350,000 382,683
715,469
DURABLES - 0.3%
AUTOS, TIRES, & ACCESSORIES - 0.3%
General Motors Corp. 9 3/4%,
5/15/99 Baa1 1,000,000 1,041,560
ENERGY - 1.8%
ENERGY SERVICES - 1.7%
McDermott International, Inc.
10 1/4%, 6/1/95 Baa3 2,250,000 2,307,848
Petroliam Nasional Berhad yankee
6 7/8%, 7/1/03 (a) A2 4,000,000 3,724,920
6,032,768
OIL & GAS - 0.1%
Societe Nationale Elf Aquitaine
7 3/4%, 5/1/99 Aa3 150,000 152,817
TOTAL ENERGY 6,185,585
FINANCE - 19.1%
ASSET-BACKED SECURITIES - 2.6%
Capital Auto Receivables Asset Trust
5.85%, 1/15/98 Aaa 705,531 696,822
Discover Card Trust
6 1/8%, 5/15/98 A2 1,670,000 1,649,643
Premier Auto Trust
6.8%, 12/02/98 Aa3 1,225,000 1,220,789
Standard Credit Card Master Trust I:
8 1/4%, 10/7/97 A2 250,000 257,422
5 1/2%, 9/7/98 A2 760,000 729,600
6 1/4%, 9/7/98 A2 440,000 429,000
9 1/4%, 9/7/99 A2 1,500,000 1,598,430
United Federal Savings Bank Grantor
Trust 6.975%, 7/10/00 Baa2 2,280,291 2,263,902
8,845,608
BANKS - 10.1%
Bancomer SA euro 8%,
7/7/98 (a) Ba2 1,000,000 980,000
Bancomer SNC euro 8%, 7/7/98 - 680,000 666,400
Bank of Boston Corp.:
9 1/2%, 8/15/97 Baa2 $ 179,000 $ 190,288
10.3%, 9/1/00 Baa2 1,461,000 1,497,525
Barnett Bank, Inc. 10.875%,
3/15/03 Baa1 115,000 134,903
Chase Manhattan Corp.
euro 5.063%, 5/31/00 Baa2 900,000 884,250
Citicorp euro 5 1/4%,
7/10/97 Baa3 110,000 109,313
Continental Bank Corp.
4 1/2%, 5/18/00 (c) Baa3 1,500,000 1,492,500
Export-Import Bank Korea
7.85%, 11/1/96 A1 500,000 508,890
First of America Bank Corp.
8 1/2%, 2/1/04 A3 750,000 774,615
First Bank Systems, Inc. euro:
5 1/4%, 11/29/96 (c) A3 3,000,000 3,001,875
5 1/4%,11/30/10 (c) Baa1 550,000 541,750
First Fidelity Bancorporation
8 1/2%, 4/1/98 A3 594,000 617,208
First Hawaiian Bank secured
6.93%, 12/1/03 (a) A1 1,000,000 918,600
First Interstate Bancorp:
9 3/8%, 1/23/02 Baa3 150,000 162,632
9 1/8%, 2/1/04 Baa1 520,000 560,383
First Maryland Bancorp:
10 3/8%, 8/1/99 Baa1 750,000 837,495
8 3/8%, 5/15/02 Baa1 1,050,000 1,084,209
First National Bank of Boston
8 3/8%, 12/15/02 Baa1 300,000 306,102
Fleet Financial Group, Inc.
8 1/8%, 7/1/04 A3 500,000 506,385
Fleet/Norstar Financial Group, Inc.
9.9%, 6/15/01 A3 1,390,000 1,542,566
Korea Development Bank 6 1/4%,
5/1/00 A1 2,000,000 1,852,020
Manufacturers Hanover Trust:
euro:
5.188%, 4/30/97 (c) - 1,500,000 1,495,313 5 1/4%, 7/15/97 (c) Baa2
500,000 498,750
8 1/2%, 2/15/99 A3 1,045,000 1,085,828
Marine Midland Banks, Inc.
8 5/8%, 3/1/97 Baa1 1,272,000 1,315,897
Merchants National Corp.
9 7/8%, 10/1/99 A2 750,000 823,500
MOODY'S MOODY'S
RATINGS (B) PRINCIPAL VALUE RATINGS (B) PRINCIPAL VALUE
(UNAUDITED) VALUE (NOTE 1) (UNAUDITED) VALUE (NOTE 1)
NONCONVERTIBLE BONDS - CONTINUED
BANKS - CONTINUED
NCNB Corp. 9.375%, 9/15/09 A3 $ 2,000,000 $ 2,211,160
Provident Bank 7 1/8%, 3/15/03 Baa2 1,675,000 1,586,510
Shawmut Bank of Boston, NA euro
5 3/8%, 2/24/97 (c) Baa2 120,000 119,100
Shawmut Corp.:
8 7/8%, 4/1/96 Baa1 950,000 976,220
8 1/8%, 2/1/97 Baa1 680,000 699,278
Shawmut National Corp. 7.2%,
4/15/03 Baa2 1,000,000 946,050
Signet Banking Corp.:
5 1/4%, 5/15/97 (c) Baa1 1,400,000 1,391,250 5 1/4%, 4/15/98 (c) Baa1
1,000,000 993,750 9 5/8%, 6/01/99 Baa1 400,000 431,124
UJB Financial Corp. 8 5/8%,
12/10/02 Baa3 1,140,000 1,183,582
34,927,221
CREDIT & OTHER FINANCE - 2.9%
Financiera Energetica Nacional:
6 5/8%, 12/13/96 (a) - 1,000,000 973,000
6 5/8%, 12/13/96 - 1,000,000 973,000
Fleet Mortgage Group, Inc.
6 1/8%, 8/15/97 A3 200,000 195,484
General Motors Acceptance Corp. :
8 1/4%, 8/1/96 Baa1 500,000 512,840
8.15%, 9/17/96 A3 1,000,000 1,022,930
7.6%, 1/9/97 Baa1 400,000 404,952
7 3/4%, 1/28/97 Baa1 750,000 761,588
Greyhound Financial Corp.:
8 1/4%, 3/11/97 Baa2 2,000,000 2,058,000
6.95%, 1/28/98 Baa2 750,000 741,435
8 1/2%, 5/1/98 Baa2 1,000,000 1,039,280
MNC Financial, Inc. 9 3/8%,
5/1/97 A3 100,000 105,800
Margaretten Financial Corp.
6 3/4%, 6/15/00 A2 210,000 202,835
Westinghouse Credit Corp.
8.98%, 6/15/98 Ba1 1,000,000 1,033,150
10,024,294
INSURANCE - 1.9%
Metropolitan Life Insurance Co.
6 3/10%, 11/1/03 (a) Aa3 3,000,000 2,667,300
Nationwide Mutual Insurance Co.
6 1/2%, 2/15/04 (a) Aa3 1,500,000 1,371,330
New York Life Insurance Co.
6 2/5%, 12/15/03 (a) Aa2 $ 1,500,000 $ 1,350,900
Protective Life Corp. 7.95%,
7/1/04 A3 1,085,000 1,078,924
6,468,454
SAVINGS & LOANS - 1.6%
Golden West Finance Corp.
8 3/8%, 4/15/02 A3 500,000 514,380
Great Western Financial Corp.
6 3/8%, 7/1/00 Baa2 990,000 932,135
Home Savings of America:
10 1/4%, 12/5/96 Baa1 500,000 519,375
10 1/2%, 6/12/97 Baa1 2,000,000 2,115,220
6%, 11/1/00 Baa1 1,000,000 914,930
Household Bank
8.45%, 12/10/02 A3 650,000 673,712
5,669,752
TOTAL FINANCE 65,935,329
MEDIA & LEISURE - 0.2%
PUBLISHING - 0.2%
News America Holdings, Inc.
8 5/8%, 2/1/03 Ba1 730,000 738,424
NONDURABLES - 0.4%
TOBACCO - 0.4%
RJR Nabisco, Inc. 9 1/4%,
5/1/95 Baa3 1,516,000 1,537,997
SERVICES - 0.9%
LEASING & RENTAL - 0.9%
Ryder System, Inc. 9.2%,
3/15/98 Baa1 2,188,000 2,225,196
U.S. Leasing International, Inc.
6.54%, 11/15/00 A2 900,000 849,276
3,074,472
TECHNOLOGY - 1.4%
COMPUTERS & OFFICE EQUIPMENT - 0.7%
Comdisco, Inc.:
9 3/4%, 1/15/97 Baa2 565,000 598,561
9.3%, 6/27/00 Baa2 1,250,000 1,340,625
9 1/4%, 7/6/00 Baa2 375,000 397,969
2,337,155
ELECTRONICS - 0.7%
Grupo Condumex SA de CV
6 1/4%, 7/27/96 (a) - 2,750,000 2,650,313
TOTAL TECHNOLOGY 4,987,468
MOODY'S MOODY'S
RATINGS (B) PRINCIPAL VALUE RATINGS (B) PRINCIPAL VALUE
(UNAUDITED) VALUE (NOTE 1) (UNAUDITED) VALUE (NOTE 1)
NONCONVERTIBLE BONDS - CONTINUED
TRANSPORTATION - 0.1%
AIR TRANSPORTATION - 0.1%
AMR Corp. 9 1/2%, 7/15/98 Baa3 $ 250,000 $ 260,030
TRUCKING & FREIGHT - 0.0%
Consolidated Freightways, Inc.
9 1/8%, 8/15/99 Baa3 100,000 102,764
TOTAL TRANSPORTATION 362,794
UTILITIES - 2.4%
ELECTRIC UTILITY - 2.0%
Gulf States Utilities Co.
9.72%, 7/1/98 Baa3 1,610,000 1,698,067
Long Island Lighting Co.:
8 3/4%, 5/1/96 Baa3 2,400,000 2,466,624
7.3%, 7/15/99 Ba1 1,000,000 942,460
United Illuminating Co. :
7 3/8%, 1/15/98 Baa3 1,500,000 1,484,460
9.76%, 1/2/06 Baa3 337,000 354,356
6,945,967
GAS - 0.4%
Southwest Gas Co.
9 3/4%, 6/15/02 Ba1 1,250,000 1,325,938
TOTAL UTILITIES 8,271,905
TOTAL NONCONVERTIBLE BONDS
(Cost $96,044,654) 92,851,003
U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS - 44.9%
U.S. TREASURY OBLIGATIONS - 42.4%
3 7/8%, 8/31/95 Aaa 2,170,000 2,135,085
9 1/4%, 1/15/96 Aaa 8,600,000 8,981,582
9 3/8%, 4/15/96 Aaa 10,100,000 10,620,756
7 1/4%, 11/15/96 Aaa 5,800,000 5,919,596
8 1/2%, 5/15/97 Aaa 2,000,000 2,104,060
8 3/4%, 10/15/97 Aaa 5,700,000 6,057,162
9 1/4%, 8/15/98 Aaa 14,300,000 15,564,692
7%, 4/15/99 Aaa 1,685,000 1,701,580
6 3/8%, 1/15/00 Aaa 11,400,000 11,164,818
8 1/2%, 11/15/00 Aaa 8,400,000 9,060,156
7 7/8%, 8/15/01 Aaa 2,000,000 2,095,320
10 3/4%, 8/15/05 Aaa 3,230,000 4,065,763
12 3/4%, 11/15/10 Aaa 5,195,000 7,292,481
9 7/8%, 11/15/15 Aaa 12,500,000 15,441,375
8 7/8%, 8/15/17 Aaa $ 2,405,000 $ 2,724,047
8 1/8%, 8/15/19 Aaa 29,980,000 31,572,538
12%, 8/15/23 Aaa 7,415,000 10,263,991
146,765,002
U.S. GOVERNMENT AGENCY OBLIGATIONS - 2.5%
Financing Corporation Coupon Strip
Series D 2/3/97 Aaa 1,073,000 920,387
Government Trust G current
coupon certificate, Class G-2
8%, 5/15/98 Aaa 1,752,685 1,805,055
Government Trust certificates
9 1/8%, 11/15/96 Aaa 5,600,000 5,800,256
8,525,698
TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS
(Cost $163,425,597) 155,290,700
U.S. Government Agency
Mortgage-Backed Securities - 27.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.7%
8%, 7/1/16 Aaa 48,011 47,482
8 1/2%, 9/1/19 Aaa 62,578 63,497
9%, 10/1/16 to 11/1/16 Aaa 1,604,555 1,667,400
9 1/2%, 10/1/08 to 9/1/18 Aaa 1,906,788 2,007,923
10%, 6/1/20 Aaa 457,710 487,315
10 1/2%, 1/1/01 to 2/1/19 Aaa 1,406,322 1,501,971
11%, 1/1/06 to 9/1/20 Aaa 1,186,034 1,289,465
11 1/2%, 8/1/13 to 6/1/20 Aaa 869,240 954,345
11 3/4%, 9/1/13 Aaa 137,155 150,270
12%, 2/1/13 to 7/1/15 Aaa 155,647 171,054
12 3/4%, 8/1/12 to 3/1/14 Aaa 188,808 215,005
13 1/2%, 1/1/23 Aaa 669,914 775,425
9,331,152
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 9.4%
6 1/2%, 1/1/24 to 4/1/24 Aaa 3,492,753 3,201,318
7%, 6/1/23 to 5/1/24 Aaa 1,975,554 1,866,925
7 1/2%, 11/1/07 to 9/1/09 Aaa 2,799,497 2,786,372
8%, 6/1/09 Aaa 196,338 198,792
8 1/2% 6/1/17 to 6/1/24 Aaa 14,313,999 14,570,166
9%, 8/1/01 to 8/1/07 Aaa 7,331,351 7,647,608
10 1/2%, 4/1/01 Aaa 174,375 187,235
10 3/4%, 8/1/10 to 5/1/14 Aaa 609,324 660,922
11 1/4%, 5/1/14 Aaa 138,832 152,812
11 1/2%, 8/1/14 Aaa 321,264 357,407
MOODY'S
RATINGS (B) PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES - CONTINUED
FEDERAL NATIONAL MORTGAGE ASSOCIATION - CONTINUED
12 1/4%, 6/1/13 Aaa $ 45,934 $ 51,447
12 1/2%, 1/1/15 Aaa 104,465 118,307
13%, 12/1/14 to 1/1/15 Aaa 108,897 124,551
13 1/4%, 2/1/13 Aaa 12,134 13,909
13 1/2%, 8/1/14 to 11/1/14 Aaa 95,464 109,426
14%, 3/1/12 to 10/1/14 Aaa 430,055 497,250
32,544,447
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 15.0%
6 1/2%, 6/15/23 to 9/15/24 Aaa 6,639,111 5,977,820
7%, 12/15/22 to 9/15/23 Aaa 3,337,203 3,117,150
7 1/2%, 2/15/17 to 4/15/24 Aaa 15,575,181 15,036,125
8%, 7/15/17 to 8/15/24 Aaa 10,618,663 10,550,606
8 1/2%, 3/15/17 to 9/15/24 Aaa 6,942,598 7,066,318
9%, 7/15/16 to 10/15/21 Aaa 5,122,402 5,375,730
10%, 2/15/16 to 3/15/18 Aaa 4,248,592 4,579,667
11 1/2%, 3/15/10 to 4/15/15 Aaa 93,728 96,512
51,799,928
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(Cost $96,292,653) 93,675,527
FOREIGN GOVERNMENT OBLIGATIONS (d) - 0.5%
Malaysia euro 9 1/2%, 10/31/96 A2 820,000 860,639
Victorian Public Authorities Finance
Agency 8.45%, 10/1/01 A1 1,000,000 1,049,950
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $2,039,408) 1,910,589
MATURITY VALUE
AMOUNT (NOTE 1)
REPURCHASE AGREEMENTS - 0.7%
Investments in repurchase agreements
(U.S. Treasury obligations), in a joint
trading account, at 4.83% dated
8/31/94 due 9/1/94 $ 2,301,309 2,301,000
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $360,103,312) $ 346,028,819
LEGEND:
(c) 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 $14,636,363 or 4.2% of net
assets.
(d) Standard & Poor's Corporation credit ratings are used in the absence of
a rating by Moody's Investors Service, Inc.
(e) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(f) Most foreign government obligations have not been individually rated by
S&P or Moody's. The ratings listed are assigned to securities by FMR, the
fund's investment adviser, based principally on S&P and Moody's ratings of
the sovereign credit of the issuing government.
OTHER INFORMATION:
The composition of long-term debt holdings as a percentage of total value
of investment in securities, is as follows (ratings are unaudited):
MOODY'S S&P
RATINGS RATINGS
Aaa, Aa, A 82.7% AAA, AA, A 82.3%
Baa 13.5% BBB 13.1%
Ba 1.5% BB 1.2%
B 0.0% B 0.0%
Caa 0.0% CCC 0.0%
Ca, C 0.0% CC, C 0.0%
D 0.0%
For some foreign government obligations, FMR has assigned the ratings of
the sovereign credit of the issuing government. The percentage not rated by
either S&P or Moody's amounted to 1.5%.
INCOME TAX INFORMATION:
At August 31, 1994, the aggregate cost of investment securities for income
tax purposes was $360,151,160. Net unrealized depreciation aggregated
$14,122,341, of which $638,181 related to appreciated investment securities
and $14,760,522 related to depreciated investment securities.
Statement of Assets and Liabilities
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C>
August 31, 1994 (Unaudited)
ASSETS
Investment in securities, at value (including repurchase agreements of $2,301,000) (cost $360,103,312) $ 346,028,819
Cash 39,562
Receivable for investments sold 12,469,638
Receivable for fund shares sold 15,974,075
Interest receivable 4,792,819
Receivable from investment adviser for expense reductions 103,369
Total assets 379,408,282
LIABILITIES
Payable for investments purchased $ 29,746,562
Dividends payable 175,617
Accrued management fee 86,564
Other payables and accrued expenses 75,352
Total liabilities 30,084,095
NET ASSETS $ 349,324,187
Net Assets consist of:
Paid in capital $ 367,288,469
Undistributed net investment income 1,178,680
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions (5,068,469)
Net unrealized appreciation (depreciation) on investments (14,074,493)
NET ASSETS, for 33,859,482 shares outstanding $ 349,324,187
NET ASSET VALUE, offering price and redemption price per share ($349,324,187 (divided by) $10.32
shares)
</TABLE>
Statement of Operations
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C>
Six Months Ended August 31, 1994 (Unaudited)
INVESTMENT INCOME $ 6,880
Dividends
Interest 12,522,198
Total income 12,529,078
EXPENSES
Management fee $ 518,627
Transfer agent fees 229,415
Accounting fees and expenses 64,736
Non-interested trustees' compensation 914
Custodian fees and expenses 14,165
Registration fees 16,167
Audit 14,578
Legal 1,506
Miscellaneous 597
Total expenses before reductions 860,705
Expense reductions (337,928) 522,777
Net investment income 12,006,301
REALIZED AND UNREALIZED GAIN (LOSS) (5,007,969)
Net realized gain (loss) on investment securities
Change in net unrealized appreciation (depreciation) on investment securities (11,019,493)
Net gain (loss) (16,027,462)
Net increase (decrease) in net assets resulting from operations $ (4,021,161)
</TABLE>
Statement of Changes in Net Assets
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C>
SIX MONTHS YEAR ENDED
ENDED FEBRUARY 28,
AUGUST 31, 1994 1994
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations $ 12,006,301 $ 13,181,796
Net investment income
Net realized gain (loss) (5,007,969) 1,625,689
Change in net unrealized appreciation (depreciation) (11,019,493) (7,742,283)
Net increase (decrease) in net assets resulting from operations (4,021,161) 7,065,202
Distributions to shareholders: (11,640,083) (12,348,634)
From net investment income
From net realized gain - (1,625,689)
In excess of net realized gain - (603,620)
Total distributions (11,640,083) (14,577,943)
Share transactions 114,974,580 329,923,999
Net proceeds from sales of shares
Reinvestment of distributions 10,496,902 12,579,756
Cost of shares redeemed (48,989,580) (169,838,606)
Net increase (decrease) in net assets resulting from share transactions 76,481,902 172,665,149
Total increase (decrease) in net assets 60,820,658 165,152,408
NET ASSETS
Beginning of period 288,503,529 123,351,121
End of period (including undistributed net investment income of $1,178,680 and $812,462, $ 349,324,187 $ 288,503,529
respectively)
OTHER INFORMATION
Shares
Sold 10,905,277 29,686,344
Issued in reinvestment of distributions 1,012,895 1,135,382
Redeemed (4,693,565) (15,332,829)
Net increase (decrease) 7,224,607 15,488,897
</TABLE>
Financial Highlights
DRAFT
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEAR ENDED FOUR MONTHS
ENDED AUGUST FEBRUARY 28, ENDED YEARS ENDED OCTOBER 31, MARCH 8, 1990
31, 1994 FEBRUARY 28, (COMMENCEMENT
OF
OPERATIONS) TO
OCTOBER 31,
(UNAUDITED) 1994 1993 1992 1991 1990
SELECTED PER-SHARE DATA
Net asset value, beginning of
period $ 10.830 $ 11.070 $ 10.910 $ 10.710 $ 10.040 $ 10.000
Income from Investment
Operations .377 .697 .260 .839 .863 .559
Net investment income
Net realized and
unrealized gain (loss) (.514) (.110) .324 .277 .668 .040
Total from investment
operations (.137) .587 .584 1.116 1.531 .599
Less Distributions (.373) (.727) (.254) (.836) (.861) (.559)
From net investment income
From net realized gain on
investments - (.070) (.170) (.080) - -
In excess of net realized
gain on investments - (.030) - - - -
Total distributions (.373) (.827) (.424) (.916) (.861) (.559)
Net asset value, end of period $ 10.320 $ 10.830 $ 11.070 $ 10.910 $ 10.710 $ 10.040
TOTAL RETURN C, D (1.23)% 5.38% 5.50% 10.84% 15.86% 6.14%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period
(000 omitted) $ 349,324 $ 288,504 $ 123,351 $ 86,149 $ 39,144 $ 25,600
Ratio of expenses to average
net assets B .32%1. .32% .32%1. .32% .32% .32%1.
Ratio of expenses to average net
assets before .53%1. .66% .87%1. .83% .90% .84%1.
expense reductions B
Ratio of net investment income
to average net 7.35%1. 6.93% 7.34%1. 7.70% 8.33% 8.62%1.
assets
Portfolio turnover rate 78%1. 160% 89%1. 113% 50% 62%1.
</TABLE>
1. ANNUALIZED
2. SEE NOTE 5 OF NOTES TO FINANCIAL STATEMENTS.
3. THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIODS SHOWN.
4. TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
NOTES TO FINANCIAL STATEMENTS
FOR THE PERIOD ENDED AUGUST 31, 1994 (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES.
Fidelity U.S. Bond Index Portfolio (the fund) is a fund of Fidelity
Institutional 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 Massachusetts business trust. 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.
FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
dollars at the prevailing rates of exchange at period end. Purchases and
sales of securities, income receipts, and expense payments are translated
into U.S. dollars at the prevailing exchange rate on the respective dates
of the transactions.
Effective March 1, 1994, the fund adopted Statement of Position (SOP) 93-4:
Foreign Currency Accounting and Financial Statement Presentation for
Investment Companies. In accordance with this SOP, reported net realized
gains and losses on foreign currency transactions represent net gains and
losses from sales and maturities of forward currency contracts, disposition
of foreign currencies, currency gains and losses realized between the trade
and settlement dates on securities transactions, and the difference between
the amount of net investment income accrued and the U.S. dollar amount
actually received. Further, as permitted under the SOP, the effects of
changes in foreign currency exchange rates on investments in securities are
not segregated in the Statement of Operations from the effects of changes
in market prices of those securities, but are included with the net
realized and unrealized gain or loss on investment in securities.
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 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. Dividend income is recorded on the ex-dividend date,
except certain dividends from foreign securities where the ex-dividend date
may have passed, are recorded as soon as the fund is informed of the
ex-dividend date. Interest income, which includes accretion of original
issue discount, is accrued as earned. Investment income is recorded net of
foreign taxes withheld where recovery of such taxes is uncertain.
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 are primarily due to differing treatments for
mortgage-backed securities, market discount and losses deferred due to wash
sales. The fund also utilized earnings and profits distributed to
shareholders on redemption of shares as part of the dividends paid
deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital and may
affect net investment income per share. Undistributed net investment income
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.
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
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.
REPURCHASE AGREEMENTS. The fund, through its custodian, receives delivery
of the underlying securities, whose market value is required to be at least
102% of the resale price at the time of purchase. The fund's investment
adviser, Fidelity Management & Research Company (FMR), is responsible for
determining that the value of these underlying securities remains at least
equal to the resale price.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other affiliated
entities of 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.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $201,758,741 and $126,842,993, respectively, of which U.S.
government and government agency obligations aggregated $168,404,914 and
$107,224278, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee that
is computed daily at an annual rate of .32% of the fund's average net
assets.
TRANSFER AGENT FEE. Fidelity Investments Institutional Operations Company
(FIIOC), an affiliate of FMR, is the fund's transfer, dividend disbursing
and shareholder servicing agent. FIIOC receives fees based on the type,
size, number of accounts and the number of transactions made by
shareholders. FIIOC pays for typesetting, printing and mailing of all
shareholder reports, except proxy statements.
ACCOUNTING FEE. Fidelity Service Co. (FSC), an affiliate of FMR, maintains
the fund's accounting records. The accounting 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 fund's operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses) above an annual rate of .32% of average net assets. For the
period, the reimbursement amounted to $337,928.
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, THE FEDERAL RESERVE BOARD OR ANY
OTHER AGENCY, AND ARE SUBJECT TO INVESTMENT RISK, INCLUDING THE POSSIBLE
LOSS OF PRINCIPAL. NEITHER THE FUND NOR
FIDELITY DISTRIBUTORS CORPORATION IS A BANK. FOR MORE INFORMATION ON ANY
FIDELITY FUND INCLUDING CHARGES AND
EXPENSES, CALL 1-800-544-8888 FOR A FREE PROSPECTUS. READ IT CAREFULLY
BEFORE YOU INVEST OR SEND MONEY.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, PRESIDENT
J. Gary Burkhead, SENIOR VICE PRESIDENT
Thomas J. Steffanci, VICE PRESIDENT
Christine Thompson, VICE PRESIDENT
Gary L. French, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
Arthur S. Loring, SECRETARY
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
Marvin L. Mann
Edward H. Malone
Gerald C. McDonough
Thomas R. Williams
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND
SHAREHOLDER
SERVICING AGENT
Fidelity Investments Institutional
Operations Company
Boston, MA
CUSTODIAN
Bank of New York
New York, NY UBI-10-94S
