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. Total return reflects
the change in the value of an investment, assuming reinvestment of dividend
income and capital gains (the profits earned upon the sale of securities
that have grown in value). If Fidelity had not reimbursed certain fund
expenses, the total returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1997 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Spartan U.S. Equity Index Fund 25.87% 116.14% 289.86%
S&P 500(registered trademark) 26.16% 118.75% 299.79%
S&P 500 Index Objective Funds Average 25.56% 113.82% n/a
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, one year, five years, or since the fund
started on February 17, 1988. For example, if you had invested $1,000 in a
fund that had a 5% return over the past year, you would have $1,050. For
comparison, you can look at the performance of the Standard & Poor's 500
Index - a widely recognized, unmanaged index of common stocks. To measure
how the fund's performance stacked up against its peers, you can compare it
to the S&P 500 index objective funds average, which reflects the
performance of 53 mutual funds with similar objectives tracked by Lipper
Analytical Services, Inc. over the past one year. Both benchmarks reflect
reinvestment of dividends and capital gains, if any, and exclude the effect
of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1997 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Spartan U.S. Equity Index Fund 25.87% 16.67% 16.24%
S&P 500 26.16% 16.94% 16.56%
S&P 500 Index Objective Funds Average 25.56% 16.41% n/a
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and show you
what would have happened if the fund had performed at a constant rate each
year. (Note: Lipper calculates average annual total returns by annualizing
each fund's total return, then taking an arithmetic average. This may
produce a slightly different figure than that obtained by averaging the
cumulative total returns and annualizing the result.)
$100,000 OVER LIFE OF FUND
1988/02/17 100000.00 100000.00
1988/02/29 103400.00 103287.20
1988/03/31 100200.00 100095.63
1988/04/30 100900.00 101206.69
1988/05/31 101700.00 102087.19
1988/06/30 106307.66 106772.99
1988/07/31 106106.12 106367.25
1988/08/31 102478.56 102750.77
1988/09/30 106727.95 107127.95
1988/10/31 109774.42 110106.11
1988/11/30 108149.64 108531.59
1988/12/31 110097.82 110430.89
1989/01/31 118116.15 118514.43
1989/02/28 115237.77 115563.42
1989/03/31 117909.83 118256.05
1989/04/30 124121.06 124393.54
1989/05/31 129090.04 129431.48
1989/06/30 128241.53 128693.72
1989/07/31 139909.33 140314.76
1989/08/31 142513.74 143064.93
1989/09/30 141893.01 142478.36
1989/10/31 138644.36 139172.87
1989/11/30 141473.83 142011.99
1989/12/31 144725.54 145420.28
1990/01/31 134955.49 135662.58
1990/02/28 136673.30 137412.63
1990/03/31 140223.80 141054.06
1990/04/30 136761.48 137527.71
1990/05/31 150069.76 150936.66
1990/06/30 148986.99 149910.29
1990/07/31 148442.05 149430.58
1990/08/31 134818.51 135922.05
1990/09/30 128134.08 129302.65
1990/10/31 127584.62 128746.65
1990/11/30 135826.52 137063.68
1990/12/31 139466.56 140887.76
1991/01/31 145578.64 147030.47
1991/02/28 155913.61 157543.14
1991/03/31 159698.26 161355.69
1991/04/30 160033.99 161742.94
1991/05/31 166860.62 168730.24
1991/06/30 159228.10 161002.39
1991/07/31 166552.82 168505.10
1991/08/31 170496.90 172498.67
1991/09/30 167580.91 169617.95
1991/10/31 169850.12 171890.83
1991/11/30 162929.04 164963.63
1991/12/31 181531.43 183835.47
1992/01/31 178058.25 180416.13
1992/02/29 180373.71 182761.54
1992/03/31 176779.44 179197.69
1992/04/30 181906.86 184466.10
1992/05/31 182839.12 185369.98
1992/06/30 180038.56 182607.97
1992/07/31 187427.76 190076.64
1992/08/31 183557.23 186180.06
1992/09/30 185665.45 188376.99
1992/10/31 186137.58 189036.31
1992/11/30 192511.35 195482.45
1992/12/31 194881.43 197886.88
1993/01/31 196428.11 199549.13
1993/02/28 199045.56 202263.00
1993/03/31 203226.03 206530.75
1993/04/30 198196.34 201532.70
1993/05/31 203494.42 206933.78
1993/06/30 203983.98 207533.89
1993/07/31 203136.06 206703.75
1993/08/31 210888.42 214537.82
1993/09/30 209194.01 212885.88
1993/10/31 213458.30 217292.62
1993/11/30 211387.07 215228.34
1993/12/31 213970.37 217832.60
1994/01/31 221156.41 225238.91
1994/02/28 215085.45 219134.94
1994/03/31 205615.39 209580.65
1994/04/30 208239.11 212263.29
1994/05/31 211615.97 215744.41
1994/06/30 206450.46 210458.67
1994/07/31 213244.07 217361.71
1994/08/31 221799.00 226273.54
1994/09/30 216368.29 220729.84
1994/10/31 221176.47 225696.26
1994/11/30 213078.48 217476.40
1994/12/31 216308.29 220701.58
1995/01/31 221808.74 226424.37
1995/02/28 230507.12 235248.13
1995/03/31 237188.64 242190.30
1995/04/30 244138.93 249322.80
1995/05/31 253796.32 259288.24
1995/06/30 259633.20 265311.50
1995/07/31 268175.46 274109.23
1995/08/31 268822.61 274797.25
1995/09/30 280085.88 286393.69
1995/10/31 279045.64 285371.27
1995/11/30 291268.51 297899.06
1995/12/31 296728.36 303636.60
1996/01/31 306851.56 313972.39
1996/02/29 309743.91 316882.91
1996/03/31 312794.92 319934.50
1996/04/30 317149.92 324650.33
1996/05/31 325231.02 333023.06
1996/06/30 326565.57 334291.88
1996/07/31 312054.50 319522.87
1996/08/31 318577.83 326261.60
1996/09/30 336433.81 344623.61
1996/10/31 345664.00 354128.32
1996/11/30 371749.33 380896.88
1996/12/31 364185.72 373351.32
1997/01/31 386888.20 396678.31
1997/02/28 389861.15 399788.27
$100,000 OVER LIFE OF FUND: Let's say hypothetically that $100,000 was
invested in Spartan U.S. Equity Index Fund on February 17, 1988, when the
fund started. As the chart shows, by February 28, 1997, the value of the
investment would have grown to $389,861 - a 289.86% increase on the initial
investment. For comparison, look at how the S&P 500 did over the same
period. With dividends and capital gains, if any, reinvested, the same
$100,000 investment in the S&P 500 would have grown to $399,788 - a 299.79%
increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is no guarantee of
how it will do tomorrow. The stock market, for
example, has a history of growth in the long
run and volatility in the short run. In turn, the
share price and return of a fund that invests
in stocks or 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)
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Jennifer Farrelly,
Portfolio Manager
of Spartan U.S.
Equity Index Fund
(formerly Fidelity
U.S. Equity Index
Portfolio)
Q. HOW DID THE FUND PERFORM, JENNIFER?
A. For the 12-month period that ended February 28, 1997, the fund had a
total return of 25.87%. That compares with the 26.16% return of the
Standard & Poor's 500 Index for the same period. Of course, the fund's
total return is slightly lower than the index due to expenses.
Additionally, the S&P 500 index objective funds average, as tracked by
Lipper Analytical Services, returned 25.56% for the 12-month period.
Q. WHAT HAVE BEEN SOME OF THE MAJOR DEVELOPMENTS IN THE MARKET RECENTLY?
A. Throughout the past 12 months, the market has been able to shake off
brief downturns and rebound strongly. For example, in early December 1996,
Federal Reserve Board Chairman Alan Greenspan caused markets to tumble
worldwide when he hinted at the "irrational exuberance" of the stock
market. However, sentiment toward stocks remained optimistic because the
economy posted slow but steady growth with relatively low inflation. For
most of the period, investors took heart that the economy wasn't growing so
fast that it might spawn a rise in interest rates that could erode
corporate profits. At the end of February, however, Greenspan noted in his
semiannual Congressional testimony that the Fed might be inclined to raise
short-term interest rates modestly in the first half of 1997, as a
preemptive strike against possible inflation caused by a tight labor
market.
Q. IN SUCH A STRONG MARKET, EARNINGS REPORTS MUST HAVE BEEN SOLID . . .
A. Yes, they were. In 1996, both third quarter and fourth quarter earnings
came in stronger than expected. Nevertheless, there were some concerns that
corporate earnings might begin
to show some weakness. For one thing, the dollar remained strong, raising
the costs of American goods abroad. For another, a tight labor market
raised the potential for increased wages and lower profits. Presently,
companies have very little pricing power, making it very difficult for them
to pass on higher employment costs in the form of price increases.
Q. LARGE-CAPITALIZATION STOCKS CONTINUED TO BE THE MARKET LEADERS. WHY IS
THAT?
A. What we've witnessed this year is what investors call a "flight to
quality," where large-capitalization companies are sought because of their
stable earnings growth and liquidity. As the market climbs higher and
higher, it becomes more difficult for portfolio managers to pick stocks
that will outperform. Therefore, many managers have moved to larger
companies with established track records as a way of keeping up with the
market. Some large-cap stocks also are considered "defensive," because they
are not influenced by the vagaries of the economy. In the past few months,
investors sought defensive stocks - such as food or personal care companies
- - because they offer steady earnings growth in an environment where it can
be difficult to discern the strength of the economy.
Q. TECHNOLOGY PROVED TO BE ONE OF THE MARKET LEADERS. WHY WAS THAT?
A. Among the many factors that drove this sector was stronger-than-expected
personal computer sales - up 20% in 1996 from 1995. This demand buoyed many
companies with PC-related products. For example, memory chip maker Intel
posted very strong earnings gains. Microsoft also continued its dominance
of the software business. In February 1997, however, the technology sector
faltered, largely because the group's valuations were very high and some
companies reported earnings slowdowns. For example, the distribution
channels that sell personal computers - a leading indicator of technology
demand - reported mediocre results.
Q. FINANCIAL COMPANIES ALSO PERFORMED WELL . . .
A. Yes, they did. Bank stocks thrived, helped by steadily improving
earnings, strong balance sheets and a greater emphasis on fee-based
businesses. Additionally, banks enjoyed a relatively benign interest rate
environment. Brokerage firms also continued to reap the rewards of a
booming stock market.
Q. WHAT WERE THE MAIN DRIVERS BEHIND THE STRONG PERFORMANCE OF ENERGY
STOCKS?
A. The price of the underlying commodities - oil and natural gas - shot up
in 1996 due to a positive supply and demand dynamic, and the stocks
followed suit. However, since the beginning of 1997, the price of oil has
dropped about 20%, and energy-related stocks have suffered.
Q. WERE THERE ANY SECTORS THAT PROVED TO BE LAGGARDS?
A. Utility stocks struggled. The sector underperformed the broad market due
to concerns about how deregulation would affect utility companies,
especially telephone and electric companies. Also, utility stocks tend to
trade up and down with bonds, and the bond market underperformed the stock
market significantly. The one positive area of the sector was natural gas,
which benefited from the higher energy prices I just described.
Q. WHAT'S YOUR OUTLOOK?
A. One major wild card is the effect of possible Fed interest rate
increases and their influence on corporate earnings. In addition, investors
should understand there is still a great deal of uncertainty given the
stock market's historically high valuations and the questionable
sustainability of future corporate earnings growth.
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 total return which corresponds to
that of the Standard & Poor's 500 Index
START DATE: February 17, 1988
SIZE: as of February 28, 1997, more than
$6.4 billion
MANAGER: Jennifer Farrelly, since 1994;
manager, Spartan Market Index Fund (formerly
Fidelity Market Index Fund) and VIP II: Index 500
Portfolio, since 1994; joined Fidelity in 1988
(checkmark)
JENNIFER FARRELLY ON CHANGES TO
THE S&P 500:
"The S&P 500 is an index of 500 stocks chosen
to be representative of the broader market.
Periodically, companies will be added or
deleted from the index. Usually, this is based on
events such as acquisitions, spin-offs or shifts
in asset size."
Here are some of the changes to the index in
the past six months involving some well-known
companies:
(solid bullet) October 15, 1996: Community Psychiatric
Centers is removed from the health care sector;
Union Pacific Resources Group is added to the
energy sector of the S&P 500.
(solid bullet) November 1, 1996: Yellow Corp. is removed
from the transportation sector and added to the
S&P SmallCap 600 Index; Cognizant Corp. is
added to the consumer cyclicals sector.
(solid bullet) December 2, 1996: Consolidated
Freightways is removed due to the spin-off of
its national long-haul trucking unit; MBIA is
added to the financial sector.
(solid bullet) December 18, 1996: Bally Entertainment is
removed due to its acquisition by Hilton Hotels,
already included in the S&P 500; Guidant
Corp. is added to the health care sector.
(solid bullet) December 31, 1996: Luby's Cafeterias,
Ryan's Family Steak Houses and Shoney's are
moved to the S&P SmallCap 600; AutoZone,
Frontier Corp. and Thermo Electron are added
to the S&P 500.
(solid bullet) January 7, 1997: Boatmen's Bancshares is
removed because of its acquisition by S&P
component NationsBank; HEALTHSOUTH
Corp. is moved from the S&P MidCap 400 and
added to the S&P 500.
INVESTMENT CHANGES
TOP TEN STOCKS AS OF FEBRUARY 28, 1997
% OF FUND'S % OF FUND'S INVESTMENTS
INVESTMENTS IN THESE STOCKS
6 MONTHS AGO
General Electric Co. 2.7 2.6
Coca-Cola Co. (The) 2.4 2.4
Exxon Corp. 1.9 1.9
Microsoft Corp. 1.8 1.4
Intel Corp. 1.8 1.2
Merck & Co., Inc. 1.7 1.5
Philip Morris Companies, Inc. 1.7 1.4
Royal Dutch Petroleum Co. ADR 1.5 1.5
Procter & Gamble Co. 1.3 1.1
Johnson & Johnson 1.2 1.2
TOP TEN MARKET SECTORS AS OF FEBRUARY 28, 1997
% OF FUND'S % OF FUND'S INVESTMENTS
INVESTMENTS IN THESE MARKET SECTORS
6 MONTHS AGO
Finance 14.7 13.2
Technology 12.8 11.1
Nondurables 11.2 10.8
Health 10.4 9.7
Utilities 9.7 10.3
Energy 8.1 8.3
Basic Industries 5.5 5.8
Industrial Machinery & Equipment 5.1 5.2
Retail & Wholesale 4.2 4.7
Durables 3.9 4.0
INVESTMENTS FEBRUARY 28, 1997
Showing Percentage of Total Value of Investment in Securities
COMMON STOCKS - 94.6%
SHARES VALUE (NOTE 1)
(000S)
AEROSPACE & DEFENSE - 1.6%
AEROSPACE & DEFENSE - 1.3%
Boeing Co. 374,149 $ 38,070
Lockheed Martin Corp. 201,066 17,794
McDonnell Douglas Corp. 221,410 14,060
Northrop Grumman Corp. 60,369 4,384
Rockwell International Corp. 227,948 14,760
89,068
DEFENSE ELECTRONICS - 0.2%
Raytheon Co. 246,352 11,609
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 65,879 4,430
TOTAL AEROSPACE & DEFENSE 105,107
BASIC INDUSTRIES - 5.5%
CHEMICALS & PLASTICS - 2.8%
Air Products & Chemicals, Inc. 116,343 8,624
Avery Dennison Corp. 108,702 4,389
Dow Chemical Co. 253,580 20,540
du Pont (E.I.) de Nemours & Co. 587,790 63,040
Eastman Chemical Co. 81,071 4,469
Engelhard Corp. 150,049 3,320
FMC Corp. (a) 38,670 2,659
Goodrich (B.F.) Co. 56,090 2,279
Grace (WR) & Co. 86,580 4,589
Great Lakes Chemical Corp. 66,104 3,066
Hercules, Inc. 106,737 4,963
Monsanto Co. 613,810 22,327
Morton International, Inc. 148,770 6,137
Nalco Chemical Co. 70,257 2,582
PPG Industries, Inc. 191,407 10,719
Praxair, Inc. 163,381 7,944
Raychem Corp. 46,668 3,973
Rohm & Haas Co. 66,831 6,148
Union Carbide Corp. 132,829 6,276
188,044
IRON & STEEL - 0.3%
Allegheny Teledyne, Inc. 182,069 4,643
Armco, Inc. (a) 111,405 460
Bethlehem Steel Corp. (a) 116,609 962
Inland Steel Industries, Inc. 51,187 1,011
Nucor Corp. 91,627 4,410
USX-U.S. Steel Group 88,071 2,763
Worthington Industries, Inc. 100,803 2,104
16,353
SHARES VALUE (NOTE 1)
(000S)
METALS & MINING - 0.7%
Alcan Aluminium Ltd. 236,074 $ 8,455
Aluminum Co. of America 180,966 12,894
ASARCO, Inc. 44,743 1,398
Cyprus Amax Minerals Co. 97,311 2,275
Freeport-McMoRan Copper & Gold, Inc.
Class B 201,786 6,861
Inco Ltd. 175,717 6,184
Phelps Dodge Corp. 67,610 4,834
Reynolds Metals Co. 66,539 4,175
47,076
PACKAGING & CONTAINERS - 0.3%
Ball Corp. 31,884 805
Bemis Co., Inc. 54,620 2,260
Corning, Inc. 240,176 9,037
Crown Cork & Seal Co., Inc. 133,990 7,436
Tupperware Corp. 64,857 2,902
22,440
PAPER & FOREST PRODUCTS - 1.4%
Boise Cascade Corp. 50,677 1,666
Champion International Corp. 99,653 4,397
Georgia-Pacific Corp. 95,477 7,447
International Paper Co. 313,427 13,086
James River Corp. of Virginia 89,719 2,938
Kimberly-Clark Corp. 294,820 31,251
Louisiana-Pacific Corp. 113,612 2,414
Mead Corp. 54,518 3,176
Potlatch Corp. 30,127 1,303
Stone Container Corp. 103,480 1,345
Temple-Inland, Inc. 57,903 3,192
Union Camp Corp. 72,589 3,502
Westvaco Corp. 106,347 3,137
Weyerhaeuser Co. 206,979 9,573
Willamette Industries, Inc. 57,802 3,699
92,126
TOTAL BASIC INDUSTRIES 366,039
CONGLOMERATES - 1.0%
AlliedSignal, Inc. 295,258 21,332
Crane Co. 48,005 1,566
Harris Corp. 40,754 3,006
ITT Industries, Inc. 123,289 3,205
Textron, Inc. 86,433 8,524
Tyco International Ltd. 163,586 9,652
United Technologies Corp. 251,106 18,896
Whitman Corp. 108,202 2,543
68,724
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
CONSTRUCTION & REAL ESTATE - 0.4%
BUILDING MATERIALS - 0.2%
Armstrong World Industries, Inc. 43,158 $ 2,973
Masco Corp. 167,529 5,884
Owens-Corning 53,756 2,278
Sherwin-Williams Co. 89,622 5,030
16,165
CONSTRUCTION - 0.1%
Centex Corp. 29,638 1,197
Fleetwood Enterprises, Inc. 37,068 964
Kaufman & Broad Home Corp. 40,654 574
Pulte Corp. 24,328 830
3,565
ENGINEERING - 0.1%
EG & G, Inc. 49,342 1,073
Fluor Corp. 87,398 5,299
Foster Wheeler Corp. 42,339 1,651
8,023
TOTAL CONSTRUCTION & REAL ESTATE 27,753
DURABLES - 3.9%
AUTOS, TIRES, & ACCESSORIES - 2.5%
AutoZone, Inc. (a) 156,700 3,878
Chrysler Corp. 760,740 25,770
Cooper Tire & Rubber Co. 85,943 1,708
Cummins Engine Co., Inc. 41,310 2,091
Dana Corp. 106,218 3,293
Eaton Corp. 80,622 5,785
Echlin, Inc. 64,711 2,241
Ford Motor Co. 1,237,541 40,684
General Motors Corp. 789,261 45,678
Genuine Parts Co. 125,756 5,879
Goodyear Tire & Rubber Co. 162,291 8,561
Johnson Controls, Inc. 43,170 3,637
NACCO Industries, Inc. Class A 8,604 467
Navistar International Corp. (a) 76,973 741
PACCAR, Inc. 40,449 2,654
Pep Boys-Manny, Moe & Jack 65,148 2,125
Snap-on Tools Corp. 63,616 2,473
TRW, Inc. 132,452 6,937
164,602
CONSUMER DURABLES - 0.6%
Minnesota Mining & Manufacturing Co. 436,477 40,156
CONSUMER ELECTRONICS - 0.2%
Black & Decker Corp. 91,580 2,896
Maytag Co. 104,629 2,302
Newell Co. 165,830 6,156
Whirlpool Corp. 77,533 3,915
15,269
SHARES VALUE (NOTE 1)
(000S)
TEXTILES & APPAREL - 0.6%
Fruit of the Loom, Inc. Class A (a) 80,360 $ 3,285
Liz Claiborne, Inc. 74,482 3,017
NIKE, Inc. Class B 300,648 21,609
Reebok International Ltd. 56,470 2,640
Russell Corp. 39,842 1,499
Springs Industries, Inc. Class A 21,159 934
Stride Rite Corp. 51,848 622
VF Corp. 66,431 4,617
38,223
TOTAL DURABLES 258,250
ENERGY - 8.1%
ENERGY SERVICES - 0.8%
Baker Hughes, Inc. 150,923 5,358
Dresser Industries, Inc. 183,460 5,573
Halliburton Co. 130,822 8,454
Helmerich & Payne, Inc. 26,024 1,100
McDermott International, Inc. 57,127 1,271
Rowan Companies, Inc. (a) 89,253 1,774
Schlumberger Ltd. 257,215 25,882
Western Atlas, Inc. (a) 56,015 3,410
52,822
OIL & GAS - 7.3%
Amerada Hess Corp. 97,331 5,195
Amoco Corp. 519,199 43,872
Ashland, Inc. 67,318 2,819
Atlantic Richfield Co. 167,921 20,990
Burlington Resources, Inc. 126,592 5,554
Chevron Corp. 681,194 43,937
Coastal Corp. (The) 109,786 4,995
Exxon Corp. 1,296,323 129,470
Kerr-McGee Corp. 50,567 3,167
Louisiana Land & Exploration Co. 35,761 1,708
Mobil Corp. 411,378 50,497
Occidental Petroleum Corp. 343,478 8,759
Oryx Energy Co. (a) 109,509 2,190
Pennzoil Co. 48,603 2,789
Phillips Petroleum Co. 274,711 11,366
Royal Dutch Petroleum Co. ADR 559,512 96,796
Santa Fe Energy Resources, Inc. (a) 94,832 1,221
Sun Co., Inc. 76,273 2,059
Texaco, Inc. 276,191 27,308
USX-Marathon Group 300,205 7,993
Union Pacific Resources Group, Inc. 260,644 6,353
Unocal Corp. 262,471 10,138
489,176
TOTAL ENERGY 541,998
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
FINANCE - 14.7%
BANKS - 7.2%
Banc One Corp. 446,253 $ 19,691
Bank of Boston Corp. 159,587 12,029
Bank of New York Co., Inc. 397,766 15,413
BankAmerica Corp. 374,528 42,603
Bankers Trust New York Corp. 85,396 7,750
Barnett Banks, Inc. 203,770 9,424
Chase Manhattan Corp. 458,173 45,875
Citicorp 491,033 57,328
Comerica, Inc. 112,100 6,740
CoreStates Financial Corp. 232,355 12,228
Fifth Third Bancorp 110,600 9,221
First Bank System, Inc. 140,400 11,021
First Union Corp. 296,248 25,996
KeyCorp 235,331 12,590
Mellon Bank Corp. 135,027 10,853
Morgan (J.P.) & Co., Inc. 194,579 20,455
National City Corp. 231,512 11,691
NationsBank Corp. 810,718 48,542
Norwest Corp. 386,577 19,232
PNC Financial Corp. 355,878 15,080
Republic New York Corp. 57,725 5,361
SunTrust Banks, Inc. 232,950 11,968
U.S. Bancorp 157,681 7,785
Wachovia Corp. 172,586 10,506
Wells Fargo & Co. 96,531 29,370
478,752
CREDIT & OTHER FINANCE - 1.7%
American Express Co. 406,603 26,582
Beneficial Corp. 54,550 3,771
Dean Witter, Discover & Co. 335,622 12,879
First Chicago NBD Corp. 332,780 19,468
Fleet Financial Group, Inc. 252,770 15,419
Green Tree Financial Corp. 143,500 5,381
Household International, Inc. 101,140 9,798
MBNA Corp. 348,730 11,159
Transamerica Corp. 69,217 6,065
110,522
FEDERAL SPONSORED CREDIT - 1.0%
Federal Home Loan Mortgage Corporation 746,612 22,212
Federal National Mortgage Association 1,140,040 45,602
67,814
INSURANCE - 4.1%
Aetna, Inc. 157,413 13,046
Allstate Corp. 464,360 29,429
American General Corp. 212,388 9,212
American International Group, Inc. 490,178 59,312
SHARES VALUE (NOTE 1)
(000S)
Aon Corp. 113,000 $ 7,161
CIGNA Corp. 78,564 12,010
Chubb Corp. (The) 181,752 10,655
Conseco, Inc. 174,500 6,849
General Re Corp. 86,154 14,614
ITT Hartford Group, Inc. 122,589 9,194
Jefferson Pilot Corp. 74,419 4,391
Lincoln National Corp. 108,939 6,332
Loews Corp. 120,160 12,271
MGIC Investment Corp. 61,500 4,835
Marsh & McLennan Companies, Inc. 74,873 8,760
Providian Corp. 97,807 5,465
SAFECO Corp. 131,706 5,499
St. Paul Companies, Inc. (The) 86,552 5,842
Torchmark Corp. 73,506 4,328
Travelers Group, Inc. (The) 668,593 35,853
UNUM Corp. 76,276 5,864
USF&G Corp. 120,821 2,718
USLIFE Corp. 35,827 1,706
275,346
SAVINGS & LOANS - 0.2%
Ahmanson (H.F.) & Co. 110,037 4,525
Golden West Financial Corp. 59,914 4,059
Great Western Financial Corp. 143,831 6,311
14,895
SECURITIES INDUSTRY - 0.5%
Merrill Lynch & Co., Inc. 172,010 16,513
Morgan Stanley Group, Inc. 159,000 10,037
Salomon, Inc. 113,793 6,330
32,880
TOTAL FINANCE 980,209
HEALTH - 10.4%
DRUGS & PHARMACEUTICALS - 6.5%
Allergan, Inc. 68,403 2,326
ALZA Corp. Class A (a) 88,406 2,509
American Home Products Corp. 666,630 42,664
Amgen, Inc. (a) 276,174 16,881
Bristol-Myers Squibb Co. 522,758 68,220
Lilly (Eli) & Co. 575,932 50,322
Merck & Co., Inc. 1,258,323 115,766
Pharmacia & Upjohn, Inc. 530,535 19,563
Pfizer, Inc. 673,016 61,665
Schering-Plough Corp. 385,566 29,544
Sigma Aldrich Corp. 104,464 3,199
Warner-Lambert Co. 283,130 23,783
436,442
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
HEALTH - CONTINUED
MEDICAL EQUIPMENT & SUPPLIES - 3.0%
Abbott Laboratories 810,952 $ 45,615
Bard (C.R.), Inc. 59,601 1,632
Bausch & Lomb, Inc. 58,022 2,169
Baxter International, Inc. 285,046 13,112
Becton, Dickinson & Co. 130,110 6,408
Biomet, Inc. 120,832 1,843
Boston Scientific Corp. (a) 185,649 12,299
Guidant Corp. 77,500 5,193
Johnson & Johnson 1,390,192 80,110
Mallinckrodt, Inc. 77,122 3,278
Medtronic, Inc. 250,124 16,196
Millipore Corp. 45,257 1,952
Pall Corp. 131,099 2,850
St. Jude Medical, Inc. (a) 84,472 3,337
U.S. Surgical Corp. 65,419 2,788
198,782
MEDICAL FACILITIES MANAGEMENT - 0.9%
Beverly Enterprises, Inc. (a) 103,739 1,491
Columbia/HCA Healthcare Corp. 700,922 29,439
HEALTHSOUTH Rehabilitation Corp. (a) 164,500 6,621
Humana, Inc. (a) 169,700 3,330
Manor Care, Inc. 65,539 1,745
Tenet Healthcare Corp. (a) 308,968 8,381
United HealthCare Corp. 191,994 9,576
60,583
TOTAL HEALTH 695,807
HOLDING COMPANIES - 0.3%
CINergy Corp. 164,727 5,683
Norfolk Southern Corp. 130,681 11,908
17,591
INDUSTRIAL MACHINERY & EQUIPMENT - 5.1%
ELECTRICAL EQUIPMENT - 3.5%
Emerson Electric Co. 234,045 23,170
General Electric Co. 1,718,869 176,829
General Instrument Corp. (a) 143,000 3,396
General Signal Corp. 51,996 2,268
Grainger (W.W.), Inc. 55,505 4,399
Honeywell, Inc. 132,170 9,401
Scientific-Atlanta, Inc. 80,578 1,350
Westinghouse Electric Corp. 654,455 11,289
232,102
SHARES VALUE (NOTE 1)
(000S)
INDUSTRIAL MACHINERY & EQUIPMENT - 1.2%
Briggs & Stratton Corp. 30,205 $ 1,318
Case Corp. 76,700 3,979
Caterpillar, Inc. 199,842 15,663
Cincinnati Milacron, Inc. 41,533 893
Cooper Industries, Inc. 112,722 4,988
Deere & Co. 269,737 11,498
Dover Corp. 117,504 5,831
Giddings & Lewis, Inc. 34,512 477
Harnischfeger Industries, Inc. 51,202 2,246
Illinois Tool Works, Inc. 129,399 10,918
Ingersoll-Rand Co. 114,212 5,425
Parker-Hannifin Corp. 77,678 3,398
Stanley Works 90,186 3,450
Tenneco, Inc. 178,187 7,016
Timken Co. 32,553 1,705
TRINOVA Corp. 29,354 1,090
79,895
POLLUTION CONTROL - 0.4%
Browning-Ferris Industries, Inc. 221,922 6,963
Laidlaw, Inc. Class B 327,666 4,538
Safety Kleen Corp. 60,755 1,094
WMX Technologies, Inc. 506,552 16,020
28,615
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 340,612
MEDIA & LEISURE - 3.7%
BROADCASTING - 0.6%
Comcast Corp. Class A special 340,619 6,089
TCI Group Class A 693,225 8,232
Time Warner, Inc. 593,619 24,338
38,659
ENTERTAINMENT - 1.0%
Disney (Walt) Co. 708,197 52,584
King World Productions, Inc. (a) 38,888 1,444
Viacom, Inc. Class B (a) 369,279 13,017
67,045
LEISURE DURABLES & TOYS - 0.2%
Brunswick Corp. 102,678 2,939
Hasbro, Inc. 90,042 3,849
Mattel, Inc. 283,816 7,060
13,848
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
MEDIA & LEISURE - CONTINUED
LODGING & GAMING - 0.5%
HFS, Inc. (a) 134,400 $ 9,206
Harrah's Entertainment, Inc. (a) 107,310 1,985
Hilton Hotels Corp. 258,019 6,483
ITT Corp. (a) 121,589 6,870
Marriott International, Inc. 133,665 7,084
31,628
PUBLISHING - 0.9%
American Greetings Corp. Class A 78,021 2,419
Cognizant Corp. 178,601 6,229
Dow Jones & Co., Inc. 100,957 4,051
Dun & Bradstreet Corp. 177,801 4,356
Gannett Co., Inc. 147,111 11,732
Harcourt General, Inc. 74,130 3,493
Knight-Ridder, Inc. 98,066 3,898
McGraw-Hill, Inc. 103,830 5,386
Meredith Corp. 27,964 1,370
New York Times Co. (The) Class A 100,900 4,490
Times Mirror Co. Class A 103,320 5,321
Tribune Co. 128,684 5,051
57,796
RESTAURANTS - 0.5%
Darden Restaurants, Inc. 164,734 1,194
McDonald's Corp. 728,512 31,508
Wendy's International, Inc. 135,107 2,803
35,505
TOTAL MEDIA & LEISURE 244,481
NONDURABLES - 11.2%
AGRICULTURE - 0.1%
Pioneer Hi-Bred International, Inc. 86,061 5,863
BEVERAGES - 3.8%
Anheuser-Busch Companies, Inc. 521,348 23,200
Brown-Forman Corp. Class B 72,122 3,227
Coca-Cola Co. (The) 2,597,600 158,454
Coors (Adolph) Co. Class B 39,481 844
PepsiCo, Inc. 1,621,832 53,318
Seagram Co. Ltd. 389,428 15,185
254,228
FOODS - 2.3%
Archer-Daniels-Midland Co. 568,017 10,508
CPC International, Inc. 150,115 12,628
Campbell Soup Co. 243,938 21,985
SHARES VALUE (NOTE 1)
(000S)
ConAgra, Inc. 251,209 $ 13,314
General Mills, Inc. 163,534 10,671
Heinz (H.J.) Co. 383,808 15,976
Hershey Foods Corp. 160,346 7,316
Kellogg Co. 220,043 15,073
Quaker Oats Co. 141,720 5,084
Ralston Purina Co. 110,674 9,089
Sara Lee Corp. 505,173 19,575
Sysco Corp. 186,798 6,491
Wrigley (Wm.) Jr. Co. 121,254 7,260
154,970
HOUSEHOLD PRODUCTS - 3.1%
Alberto Culver Co. Class B 57,956 1,652
Avon Products, Inc. 138,772 8,083
Clorox Co. 53,849 6,435
Colgate-Palmolive Co. 153,260 15,862
Gillette Co. 579,282 45,836
International Flavors & Fragrances, Inc. 115,467 5,355
Procter & Gamble Co. 711,851 85,511
Rubbermaid, Inc. 156,319 3,732
Unilever NV ADR 166,947 31,803
204,269
TOBACCO - 1.9%
American Brands, Inc. 177,581 9,345
Philip Morris Companies, Inc. 850,101 114,870
UST, Inc. 194,267 5,998
130,213
TOTAL NONDURABLES 749,543
PRECIOUS METALS - 0.4%
Barrick Gold Corp. 372,928 10,549
Battle Mountain Gold Co. 234,600 1,730
Echo Bay Mines Ltd. 145,388 1,126
Homestake Mining Co. 153,164 2,527
Newmont Mining Corp. 103,814 4,931
Placer Dome, Inc. 249,946 5,362
Santa Fe Pacific Gold Corp. 137,346 2,575
28,800
RETAIL & WHOLESALE - 4.2%
APPAREL STORES - 0.3%
Charming Shoppes, Inc. (a) 109,409 485
Gap, Inc. 296,024 9,769
Limited, Inc. (The) 282,979 5,377
TJX Companies, Inc. 81,183 3,389
19,020
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
RETAIL & WHOLESALE - CONTINUED
DRUG STORES - 0.3%
CVS Corp. 110,281 $ 5,100
Long Drug Stores, Inc. 40,652 1,032
Rite Aid Corp. 127,892 5,387
Walgreen Co. 257,048 10,989
22,508
GENERAL MERCHANDISE STORES - 2.3%
Costco Companies, Inc. (a) 219,153 5,616
Dayton Hudson Corp. 226,265 9,503
Dillard Department Stores, Inc. Class A 118,594 3,573
Federated Department Stores, Inc. (a) 216,900 7,537
K mart Corp. (a) 505,094 6,314
May Department Stores Co. (The) 262,846 12,255
Mercantile Stores Co., Inc. 38,508 1,848
Nordstrom, Inc. 84,790 3,116
Penney (J.C.) Co., Inc. 240,856 11,862
Sears, Roebuck & Co. 408,788 22,177
Wal-Mart Stores, Inc. 2,394,501 63,155
Woolworth Corp. (a) 139,465 2,911
149,867
GROCERY STORES - 0.5%
Albertson's, Inc. 263,113 9,275
American Stores Co. 152,115 6,807
Fleming Companies, Inc. 39,338 688
Giant Food, Inc. Class A 62,553 2,041
Great Atlantic & Pacific Tea Co., Inc. 39,930 1,188
Kroger Co. (The) (a) 131,633 6,977
Supervalu, Inc. 70,311 2,180
Winn-Dixie Stores, Inc. 157,852 5,032
34,188
RETAIL & WHOLESALE, MISCELLANEOUS - 0.8%
Circuit City Stores, Inc. 102,300 3,197
Home Depot, Inc. (The) 501,342 27,323
IKON Office Solutions, Inc. 135,922 5,607
Lowe's Companies, Inc. 180,268 6,580
Tandy Corp. 60,944 3,070
Toys "R" Us, Inc. (a) 286,328 7,445
53,222
TOTAL RETAIL & WHOLESALE 278,805
SHARES VALUE (NOTE 1)
(000S)
SERVICES - 0.5%
ADVERTISING - 0.1%
Interpublic Group of Companies, Inc. 84,708 $ 4,246
LEASING & RENTAL - 0.0%
Ryder Systems, Inc. 85,550 2,695
PRINTING - 0.2%
Deluxe Corp. 85,915 2,717
Donnelley (R.R.) & Sons Co. 156,954 4,846
Harland (John H.) Co. 32,128 972
Moore Corp. Ltd. 104,362 2,304
10,839
SERVICES - 0.2%
Block (H&R), Inc. 99,681 2,928
Ecolab, Inc. 67,427 2,554
Jostens, Inc. 40,397 869
National Service Industries, Inc. 49,513 1,881
Service Corp. International 245,952 7,133
15,365
TOTAL SERVICES 33,145
TECHNOLOGY - 12.8%
COMMUNICATIONS EQUIPMENT - 1.8%
Andrew Corp. (a) 63,078 3,469
Cabletron Systems, Inc. (a) 163,062 4,892
Cisco Systems, Inc. (a) 677,882 37,707
DSC Communications Corp. (a) 122,507 2,573
Lucent Technologies, Inc. 664,732 35,812
Northern Telecom Ltd. 269,791 19,394
Tellabs, Inc. (a) 187,202 7,465
3Com Corp. (a) 181,300 6,003
117,315
COMPUTER SERVICES & SOFTWARE - 3.3%
Autodesk, Inc. 47,555 1,611
Automatic Data Processing, Inc. 302,994 12,915
CUC International, Inc. (a) 410,840 9,809
Ceridian Corp. (a) 71,932 2,814
Computer Associates International, Inc. 380,741 16,562
Computer Sciences Corp. (a) 79,249 5,349
First Data Corp. 467,158 17,110
Microsoft Corp. (a) 1,247,874 121,668
Novell, Inc. (a) 358,973 3,635
Oracle Systems Corp. (a) 686,077 26,929
Shared Medical Systems Corp. 24,452 1,336
219,738
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT - 3.9%
Amdahl Corp. (a) 126,723 $ 1,251
Apple Computer, Inc. (a) 130,053 2,113
Bay Networks, Inc. (a) 202,400 3,846
Compaq Computer Corp. (a) 282,822 22,414
Data General Corp. (a) 40,943 793
Dell Computer Corp. (a) 188,000 13,372
Digital Equipment Corp. (a) 161,602 5,292
EMC Corp. (a) 242,900 8,744
Hewlett-Packard Co. 1,061,566 59,448
Intergraph Corp. (a) 49,751 410
International Business Machines Corp. 540,262 77,663
Pitney Bowes, Inc. 155,077 9,634
Seagate Technology (a) 261,700 12,365
Silicon Graphics, Inc. (a) 182,570 4,405
Sun Microsystems, Inc. (a) 383,360 11,836
Tandem Computers, Inc. (a) 123,490 1,544
Unisys Corp. (a) 182,453 1,232
Xerox Corp. 338,744 21,172
257,534
ELECTRONIC INSTRUMENTS - 0.3%
Applied Materials, Inc. (a) 187,626 9,499
Perkin-Elmer Corp. 44,958 3,192
Tektronix, Inc. 34,195 1,667
Thermo Electron Corp. 155,800 5,317
19,675
ELECTRONICS - 3.0%
Advanced Micro Devices, Inc. (a) 142,602 5,116
AMP, Inc. 229,287 8,914
Intel Corp. 856,549 121,523
LSI Logic Corp. (a) 134,300 4,633
Micron Technology, Inc. 218,025 8,176
Motorola, Inc. 619,006 34,587
National Semiconductor Corp. (a) 144,520 3,776
Texas Instruments, Inc. 198,272 15,292
Thomas & Betts Corp. 55,458 2,475
204,492
PHOTOGRAPHIC EQUIPMENT - 0.5%
Eastman Kodak Co. 347,962 31,186
Polaroid Corp. 47,339 2,000
33,186
TOTAL TECHNOLOGY 851,940
SHARES VALUE (NOTE 1)
(000S)
TRANSPORTATION - 1.1%
AIR TRANSPORTATION - 0.3%
AMR Corp. (a) 94,904 $ 7,462
Delta Air Lines, Inc. 78,030 6,281
Southwest Airlines Co. 151,481 3,560
USAir Group, Inc. (a) 66,926 1,322
18,625
RAILROADS - 0.7%
Burlington Northern Santa Fe Corp. 159,742 13,299
CSX Corp. 226,490 10,447
Conrail, Inc. 83,669 8,743
Union Pacific Corp. 255,622 15,401
47,890
TRUCKING & FREIGHT - 0.1%
Caliber System, Inc. 40,932 931
Federal Express Corp. (a) 118,844 6,120
7,051
TOTAL TRANSPORTATION 73,566
UTILITIES - 9.7%
CELLULAR - 0.2%
AirTouch Communications, Inc. (a) 523,572 14,267
ELECTRIC UTILITY - 2.5%
American Electric Power Co., Inc. 195,746 8,172
Baltimore Gas & Electric Co. 153,999 4,235
Carolina Power & Light Co. 158,089 5,869
Central & South West Corp. 220,234 5,368
Consolidated Edison Co. of New York, Inc. 245,369 7,576
DTE Energy Co. 151,556 4,585
Dominion Resources, Inc. 188,031 7,568
Duke Power Co. 210,348 9,308
Edison International 452,382 9,726
Entergy Corp. 241,190 6,361
FPL Group, Inc. 191,177 8,699
GPU, Inc. 125,843 4,405
Houston Industries, Inc. 244,774 5,691
Niagara Mohawk Power Corp. (a) 150,754 1,545
Northern States Power Co. 72,063 3,432
Ohio Edison Co. 159,173 3,581
PECO Energy Co. 232,258 5,226
PG&E Corp. 430,338 9,898
PP&L Resources, Inc. 169,500 3,877
PacifiCorp. 307,701 6,346
Public Service Enterprise Group, Inc. 248,996 7,003
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
UTILITIES - CONTINUED
ELECTRIC UTILITY - CONTINUED
Southern Co. 703,142 $ 15,293
Texas Utilities Co. 234,444 9,466
Unicom Corp. 225,100 5,008
Union Electric Co. 106,748 4,096
162,334
GAS - 0.7%
Columbia Gas System, Inc. (The) 57,555 3,381
Consolidated Natural Gas Co. 99,018 5,050
Eastern Enterprises Co. 21,060 708
Enron Corp. 265,705 10,595
ENSERCH Corp. 72,825 1,529
NICOR, Inc. 52,053 1,744
Noram Energy Corp. 143,383 2,151
ONEOK, Inc. 28,848 822
Pacific Enterprises 88,776 2,708
PanEnergy Corp. 157,809 6,727
Peoples Energy Corp. 36,609 1,240
Sonat, Inc. 89,920 4,136
Williams Companies, Inc. 163,810 7,167
47,958
TELEPHONE SERVICES - 6.3%
AT&T Corp. 1,691,566 67,451
ALLTEL Corp. 197,888 7,000
Ameritech Corp. 573,499 36,561
Bell Atlantic Corp. 456,907 31,584
BellSouth Corp. 1,037,142 48,616
Frontier Corp. 170,800 3,779
GTE Corp. 1,004,165 46,945
MCI Communications Corp. 714,924 25,559
NYNEX Corp. 459,389 23,659
Pacific Telesis Group 447,150 18,221
SBC Communications, Inc. 630,126 36,232
Sprint Corp. 449,376 20,447
U.S. West Communications Group 498,679 17,952
U.S. West Media Group (a) 652,179 11,984
WorldCom, Inc. (a) 909,600 24,218
420,208
TOTAL UTILITIES 644,767
TOTAL COMMON STOCKS
(Cost $4,206,869) 6,307,137
U.S. TREASURY OBLIGATIONS - 0.3%
PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
U.S. Treasury Bills, yield at date
of purchase:
5.04% to 5.07%, 3/6/97 (c) $ 16,700 $ 16,693
5.01%, 4/3/97 (c) 300 299
4.93% to 5.21%, 6/26/97 (c) 2,600 2,558
TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS
(Cost $19,272) 19,550
CASH EQUIVALENTS - 5.1%
SHARES
Taxable Central Cash Fund (b)
(Cost $ 342,160) 342,160,396 342,160
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $4,568,301) $ 6,668,847
FUTURES CONTRACTS
DOLLAR AMOUNTS
IN THOUSANDS EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
436 S&P 500 Stock
Index Contracts March 1997 $ 172,307 $ (3,645)
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES - 2.6%
LEGEND
1. Non-income producing
2. At period end, the seven-day yield on the Taxable Central Cash Fund was
5.31%. The yield refers to the income earned by investing in the fund over
the seven-day period, expressed as an annual percentage.
3. A portion of the security was pledged to cover margin requirements for
futures contracts, At the period end, the value of securities pledged
amounted to $13,572,000.
INCOME TAX INFORMATION
At February 28, 1997, the aggregate cost of investment securities for
income tax purposes was $4,572,424,000. Net unrealized appreciation
aggregated $2,096,423,000, of which $2,186,747,000 related to appreciated
investment securities and $90,324,000 related to depreciated investment
securities.
The fund hereby designates approximately $8,082,000 as a capital gain
dividend for the purpose of the dividend paid deduction.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS (EXCEPT PER-SHARE AMOUNT) FEBRUARY 28, 1997
ASSETS 4. 5.
6.Investment in securities, at value (cost $4,568,301) - See accompanying schedule 7. $ 6,668,847
8.Cash 9. 1,357
10.Receivable for investments sold 11. 83,557
12.Receivable for fund shares sold 13. 22,818
14.Dividends receivable 15. 12,588
16.Interest receivable 17. 836
18.Other receivables 19. 90
20.Receivable from investment adviser for expense reductions 21. 31
22. 23.TOTAL ASSETS 24. 6,790,124
LIABILITIES 25. 26.
27.Payable for investments purchased $ 195,128 28.
29.Payable for fund shares redeemed 90,027 30.
31.Payable for daily variation on futures contracts 458 32.
33.Other payables and accrued expenses 1,760 34.
35.Collateral on securities loaned, at value 15,691 36.
37. 38.TOTAL LIABILITIES 39. 303,064
40.NET ASSETS 41. $ 6,487,060
42.Net Assets consist of: 43. 44.
45.Paid in capital 46. $ 4,339,905
47.Undistributed net investment income 48. 19,890
49.Accumulated undistributed net realized gain (loss) on investments and foreign currency 50. 30,364
transactions
51.Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign 52. 2,096,901
currencies
53.NET ASSETS, for 224,882 shares outstanding 54. $ 6,487,060
55.NET ASSET VALUE, offering price and redemption price per share ($6,487,060 (divided by) 224,882 shares) 56. $28.85
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS YEAR ENDED FEBRUARY 28, 1997
INVESTMENT INCOME 58. $ 102,734
57.Dividends
59.Interest (including income on securities loaned of $103) 60. 11,145
61. 62.TOTAL INCOME 63. 113,879
EXPENSES 64. 65.
66.Management fee $ 14,132 67.
68.Transfer agent fees 11,637 69.
70.Accounting and security lending fees 815 71.
72.Non-interested trustees' compensation 29 73.
74.Custodian fees and expenses 101 75.
76.Registration fees 585 77.
78.Audit 65 79.
80.Legal 32 81.
82.Interest 1 83.
84.Miscellaneous 223 85.
86. Total expenses before reductions 27,620 87.
88. Expense reductions (14,355) 13,265
89.90.NET INVESTMENT INCOME 91. 100,614
REALIZED AND UNREALIZED GAIN (LOSS) 93. 94.
92.Net realized gain (loss) on:
95. Investment securities 68,267 96.
97. Foreign currency transactions 2 98.
99. Futures contracts 36,315 104,584
100.Change in net unrealized appreciation (depreciation) on: 101. 102.
103. Investment securities 1,007,917 104.
105. Futures contracts (1,795) 1,006,122
106.107.NET GAIN (LOSS) 108. 1,110,706
109.110.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 111. $ 1,211,320
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS YEAR ENDED YEAR ENDED
FEBRUARY 28, FEBRUARY 29,
1997 1996
INCREASE (DECREASE) IN NET ASSETS
112.Operations $ 100,614 $ 72,193
Net investment income
113. Net realized gain (loss) 104,584 38,947
114. Change in net unrealized appreciation (depreciation) 1,006,122 775,317
115. 1,211,320 886,457
116.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
117.Distributions to shareholders (95,107) (65,604)
From net investment income
118. From net realized gain (39,757) (16,889)
119. 120.TOTAL DISTRIBUTIONS (134,864) (82,493)
121.Share transactions 2,905,735 1,958,707
Net proceeds from sales of shares
122. Reinvestment of distributions 131,170 79,457
123. Cost of shares redeemed (1,739,466) (963,855)
124.125. 1,297,439 1,074,309
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
126. 2,373,895 1,878,273
127.TOTAL INCREASE (DECREASE) IN NET ASSETS
NET ASSETS 128. 129.
130. Beginning of period 4,113,165 2,234,892
131. $ 6,487,060 $ 4,113,165
End of period (including undistributed net investment income of $19,890 and $14,381,
respectively)
OTHER INFORMATION 133. 134.
132.Shares
135. Sold 113,005 92,972
136. Issued in reinvestment of distributions 5,223 3,799
137. Redeemed (67,942) (46,224)
138. Net increase (decrease) 50,286 50,547
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
139. YEAR ENDED YEAR ENDED YEARS ENDED FEBRUARY 28, FOUR MONTHS YEAR ENDED
FEBRUARY 28, FEBRUARY 29, ENDED OCTOBER 31,
FEBRUARY 28,
140. 1997 1996 1995 1994 F 1993 1992
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
141.SELECTED PER-SHARE DATA
142.Net asset value, beginning of period $ 23.56 $ 18.02 $ 17.36 $ 16.73 $ 15.77 $ 14.97
143.Income from Investment Operations
144. Net investment income .51 G .48 .43 .44 .15 .42
145. Net realized and unrealized gain (loss) 5.47 5.63 .77 .88 .94 .97
146. Total from investment operations 5.98 6.11 1.20 1.32 1.09 1.39
147.Less Distributions
148. From net investment income (.49) (.46) (.43) (.44) (.13) (.43)
149. From net realized gain (.20) (.11) (.07) (.25) - (.16)
150. In excess of net realized gain - - (.04) - - -
151. Total distributions (.69) (.57) (.54) (.69) (.13) (.59)
152.Net asset value, end of period $ 28.85 $ 23.56 $ 18.02 $ 17.36 $ 16.73 $ 15.77
153.TOTAL RETURN B, C 25.87% 34.37% 7.17% 8.06% 6.93% 9.59%
154.RATIOS AND SUPPLEMENTAL DATA
155.Net assets, end of period (in millions) $ 6,487 $ 4,113 $ 2,235 $ 1,892 $ 1,472 $ 1,455
156.Ratio of expenses to average net .28% .28% .28% .28% .28% A .28%
assets D
157.Ratio of expenses to average net assets .26% E .25% E .28% .28% .28% A .28%
after expense reductions
158.Ratio of net investment income to 2.00% 2.34% 2.65% 2.59% 2.95% A 2.78%
average
net assets
159.Portfolio turnover rate 3% 1% 11% 4% 28% A 6%
160.Average commissions rate H $ .0237
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIODS SHOWN (SEE NOTE 7 OF NOTES TO FINANCIAL
STATEMENTS).
D 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 7 OF NOTES TO FINANCIAL STATEMENTS).
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 7 OF
NOTES TO FINANCIAL STATEMENTS).
F EFFECTIVE MARCH 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.
G NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
H FOR FISCAL YEARS BEGINNING ON OR AFTER SEPTEMBER 1, 1995, A FUND IS
REQUIRED TO DISCLOSE ITS AVERAGE COMMISSION RATE PER SHARE FOR SECURITY
TRADES ON WHICH COMMISSIONS ARE CHARGED. THIS AMOUNT MAY VARY FROM PERIOD
TO PERIOD AND FUND TO FUND DEPENDING ON THE MIX OF TRADES EXECUTED IN
VARIOUS MARKETS WHERE TRADING PRACTICES AND COMMISSION RATE STRUCTURES MAY
DIFFER.
NOTES TO FINANCIAL STATEMENTS
For the period ended February 28, 1997
1. SIGNIFICANT ACCOUNTING POLICIES.
On April 17, 1997, the Board of Trustees approved a change in the fund's
name from Fidelity U.S. Equity Index Portfolio to Spartan U.S. Equity Index
Fund. Spartan U.S. Equity Index Fund (the fund) is a fund of Fidelity
Concord Street Trust (the trust) (formerly Fidelity Institutional 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 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 with remaining maturities of sixty days or less for which
quotations are not readily available are valued at amortized cost or
original cost plus accrued interest, both of which approximate current
value.
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. Income receipts
and expense payments are translated into U.S. dollars at the prevailing
exchange rate on the respective dates of the transactions. Purchases and
sales of securities are translated into U.S. dollars at the contractual
currency exchange rates established at the time of each trade.
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, and the difference between
the amount of net investment income accrued and the U.S. dollar amount
actually received. The effects of changes in foreign currency exchange
rates on investments in securities are included with the net realized and
unrealized gain or loss on investment 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 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. 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. Non-cash dividends included in dividend income, if any,
are recorded at the fair market value of the securities received. 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 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 futures
and options transactions, redemptions-in-kind 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.
1. SIGNIFICANT ACCOUNTING POLICIES - CONTINUED
DISTRIBUTIONS TO SHAREHOLDERS - CONTINUED
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital.
Undistributed net investment income and accumulated undistributed net
realized gain (loss) on investments and foreign currency transactions 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.
FOREIGN CURRENCY CONTRACTS. The fund generally uses foreign currency
contracts to facilitate transactions in foreign-denominated securities.
Losses may arise from changes in the value of the foreign currency or if
the counterparties do not perform under the contracts' terms. The U.S.
dollar value of foreign currency contracts is determined using contractual
currency exchange rates established at the time of each trade. The cost of
the foreign currency contracts is included in the cost basis of the
associated investment.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission (the SEC), 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 for U.S.
Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
Securities are transferred to an account of the 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.
TAXABLE CENTRAL CASH FUND. Pursuant to an Exemptive Order issued by the
SEC, the fund may invest in the Taxable Central Cash Fund (the Cash Fund)
managed by FMR Texas, an affiliate of FMR. The Cash Fund is an open-end
money market fund available only to investment companies and other accounts
managed by FMR and its affiliates. The Cash Fund seeks preservation of
capital, liquidity, and current income by investing in U.S. Treasury
securities and repurchase agreements for these securities, and may be
utilized by the fund as an additional cash management option. Dividends
from the Cash Fund are declared daily and paid monthly from net interest
income. Income distributions received by the fund are recorded as interest
income.
FUTURES CONTRACTS. The fund may use futures contracts to manage its
exposure to the stock market. Buying futures tends to increase the fund's
exposure to the underlying instrument, while selling futures tends to
decrease the fund's exposure to the underlying instrument or hedge other
fund investments. Futures contracts involve, to varying degrees, risk of
loss in excess of the futures variation margin reflected in the Statement
of Assets and Liabilities. The underlying face amount at value of any open
futures contracts at period end is shown in the schedule of investments
under the caption "Futures Contracts." This amount reflects each contract's
exposure to the underlying instrument at period end. Losses may arise from
changes in the value of the underlying instruments, if there is an illiquid
secondary market for the contracts, or if the counterparties do not perform
under the contracts' terms. Futures contracts are valued at the settlement
price established each day by the board of trade or exchange on which they
are traded.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases of securities, other than short-term securities, aggregated
$1,410,096,000. Sales of securities, other than short-term securities,
aggregated $151,437,000, of which $74,038,000 represents the current value
of securities delivered in redemption of fund shares.
The market value of futures contracts opened and closed during the period
amounted to $2,309,258,000 and $2,309,333,000, 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,
Inc. (FIIOC), an affiliate of FMR, is the fund's transfer, dividend
disbursing and shareholder servicing agent. FIIOC receives account fees and
asset-based fees that vary according to account size and type of account.
FIIOC pays for typesetting, printing and mailing of all shareholder
reports, except proxy statements. For the period, the transfer agent fees
were equivalent to an annual rate of .23% of average net assets.
ACCOUNTING AND SECURITY LENDING FEES. Fidelity Service Company, Inc. (FSC),
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.
BROKERAGE COMMISSIONS. The fund placed a portion of its portfolio
transactions with brokerage firms which are affiliates of FMR. The
commissions paid to these affiliated firms were $4,000 for the period.
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 $14,923,000 and
$15,691,000, 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 balance during the period for which
the loan was outstanding amounted to $7,192,000. The weighted average
interest rate was 5.69%.
7. 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 .28% of average net assets. For the
period, the reimbursement reduced the expenses by $13,759,000. Effective
April 18, 1997, the fund's expense limitation was changed from .28% to .19%
of average net assets.
In addition, the fund has entered into arrangements with its custodian and
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
custodian and transfer agent fees were reduced by $16,000 and $580,000,
respectively, under these arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust (formerly Fidelity
Institutional Trust) and the Shareholders of Spartan U.S. Equity Index Fund
(formerly Fidelity U.S. Equity Index Portfolio):
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments, and the related statements of
operations and of changes in net assets and the financial highlights
present fairly, in all material respects, the financial position of Spartan
U.S. Equity Index Fund (formerly Fidelity U.S. Equity Index Portfolio) (a
fund of Fidelity Concord Street Trust) (formerly Fidelity Institutional
Trust) at February 28, 1997, the results of its operations for the year
then ended, and the changes in its net assets and the financial highlights
for the periods indicated in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the
Spartan U.S. Equity Index Fund's management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with
generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the
financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which
included confirmation of securities at February 28, 1997 by correspondence
with the custodian and brokers and the application of alternative auditing
procedures where confirmations from brokers were not received, provide a
reasonable basis for the opinion expressed above.
/s/PRICE WATERHOUSE LLP
PRICE WATERHOUSE LLP
Boston, Massachusetts
April 18, 1997
DISTRIBUTIONS
The Board of Trustees of Spartan U.S. Equity Index Fund (formerly Fidelity
U.S. Equity Index Portfolio) voted to pay on April 7, 1997, to shareholders
of record at the opening of business on April 4, 1997, a distribution of
$.10 per share derived from capital gains realized from sales of portfolio
securities.
A total of 83.92% of the dividends distributed during the fiscal year
qualifies for the dividends-received deduction for corporate shareholders.
A total of .53% of the dividends distributed during the fiscal year was
derived from interest on U.S. Government securities which is generally
exempt from state income tax.
The fund will notify shareholders in January 1998 of the applicable
percentage for use in preparing 1997 income tax returns.
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
Jennifer Farrelly, VICE PRESIDENT
Arthur S. Loring, SECRETARY
Kenneth A. Rathgeber, TREASURER
Robert H. Morrison, MANAGER, SECURITY TRANSACTIONS
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox *
Phyllis Burke Davis *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Thomas R. Williams *
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
CUSTODIAN
State Street Bank & Trust Company
Boston, MA
* INDEPENDENT TRUSTEES
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. Total return reflects
the change in the value of an investment, assuming reinvestment of dividend
income and capital gains (the profits earned upon the sale of securities
that have grown in value). You can also look at the fund's income, as
reflected in the fund's yield, to measure performance. If Fidelity had not
reimbursed certain fund expenses, the total returns and dividends would
have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1997 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Fidelity U.S. Bond Index 4.93% 42.83% 81.68%
Lehman Brothers Aggregate Bond Index 5.35% 42.30% n/a
Intermediate U.S. Government Funds 4.13% 34.24% n/a
Average
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, one year, five years, or since the fund
started on March 8, 1990. 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
Lehman Brothers Aggregate Bond Index - a market value weighted performance
benchmark for investment-grade fixed-rate debt issues, including
government, corporate, asset-backed, and mortgage-backed securities, with
maturities of at least one year. To measure how the fund's performance
stacked up against its peers, you can compare it to the intermediate U.S.
government funds average, which reflects the performance of 120 mutual
funds with similar objectives tracked by Lipper Analytical Services, Inc.
over the past one year. Both benchmarks include reinvested dividends and
capital gains, if any, and exclude the effect of sales charges.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED FEBRUARY 28, 1997 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Fidelity U.S. Bond Index 4.93% 7.39% 8.92%
Lehman Brothers Aggregate Bond Index 5.35% 7.31% n/a
Intermediate U.S. Government Funds Average 4.13% 6.04% n/a
AVERAGE ANNUAL TOTAL RETURNS take the fund's cumulative return and show you
what would have happened if the fund had performed at a constant rate each
year. (Note: Lipper calculates average annual total returns by annualizing
each fund's total return, then taking an arithmetic average. This may
produce a slightly different figure than that obtained by averaging the
cumulative total returns and annualizing the result.)
$100,000 OVER LIFE OF FUND
IMAHDR PRASUN SHR__CHT 19960930 19961009 151627 S00000000000001
Fidelity US Bond In LB Aggregate Bond
00651 LB001
1990/03/31 100000.00 100000.00
1990/04/30 98902.15 99083.85
1990/05/31 101848.95 102017.56
1990/06/30 103292.33 103654.45
1990/07/31 104861.22 105088.32
1990/08/31 103552.16 103684.91
1990/09/30 104402.79 104542.69
1990/10/31 105789.54 105869.96
1990/11/30 107912.50 108148.92
1990/12/31 109639.21 109834.03
1991/01/31 110945.71 111191.76
1991/02/28 111681.88 112140.90
1991/03/31 112576.12 112912.39
1991/04/30 113908.49 114135.62
1991/05/31 114705.78 114803.07
1991/06/30 114615.95 114744.70
1991/07/31 116187.72 116335.90
1991/08/31 118683.01 118853.42
1991/09/30 121180.35 121261.80
1991/10/31 122572.41 122611.92
1991/11/30 123844.13 123736.17
1991/12/31 127589.08 127410.92
1992/01/31 126089.97 125677.60
1992/02/29 126777.95 126494.77
1992/03/31 126332.45 125781.65
1992/04/30 127155.26 126690.18
1992/05/31 129563.14 129080.80
1992/06/30 131479.59 130857.27
1992/07/31 134384.15 133527.05
1992/08/31 135838.15 134879.71
1992/09/30 137508.23 136478.53
1992/10/31 135863.12 134669.07
1992/11/30 135802.95 134699.52
1992/12/31 137757.58 136841.44
1993/01/31 140497.88 139465.54
1993/02/28 143334.37 141906.91
1993/03/31 143928.53 142498.22
1993/04/30 145002.76 143490.51
1993/05/31 145185.54 143673.23
1993/06/30 147708.62 146277.03
1993/07/31 148811.04 147104.35
1993/08/31 151228.58 149682.77
1993/09/30 151744.97 150093.90
1993/10/31 152254.90 150654.76
1993/11/30 151011.43 149373.16
1993/12/31 151827.73 150182.72
1994/01/31 153733.24 152210.44
1994/02/28 151041.86 149566.03
1994/03/31 147851.94 145878.59
1994/04/30 146592.88 144713.73
1994/05/31 146472.17 144693.43
1994/06/30 146357.40 144373.67
1994/07/31 148983.72 147241.40
1994/08/31 149184.14 147424.12
1994/09/30 147199.85 145254.29
1994/10/31 147124.76 145124.86
1994/11/30 146887.75 144802.56
1994/12/31 147861.23 145802.46
1995/01/31 150615.89 148687.95
1995/02/28 153906.27 152223.12
1995/03/31 154741.75 153157.04
1995/04/30 156921.63 155296.42
1995/05/31 162915.09 161305.96
1995/06/30 164175.49 162488.58
1995/07/31 163920.93 162125.67
1995/08/31 165680.40 164082.33
1995/09/30 167266.66 165678.61
1995/10/31 169659.14 167833.21
1995/11/30 172051.51 170348.19
1995/12/31 174475.09 172738.81
1996/01/31 175635.69 173885.90
1996/02/29 172573.36 170863.36
1996/03/31 171338.87 169675.67
1996/04/30 170217.63 168721.45
1996/05/31 169914.39 168378.84
1996/06/30 172042.14 170640.04
1996/07/31 172563.31 171106.99
1996/08/31 172267.20 170820.22
1996/09/30 175105.19 173797.08
1996/10/31 178991.99 177646.94
1996/11/30 182038.14 180689.78
1996/12/31 180381.75 179009.75
1997/01/31 180767.40 179557.91
1997/02/28 181077.80 180004.57
$100,000 OVER LIFE OF FUND: Let's say hypothetically that $100,000 was
invested in Fidelity U.S. Bond Index Fund on March 31, 1990, shortly after
the fund started. As the chart shows, by February 28, 1997, the value of
the investment would have grown to $181,078 - an 81.08% increase on the
initial investment. For comparison, look at how the Lehman Brothers
Aggregate Bond Index did over the same period. With dividends and capital
gains, if any, reinvested, the same $100,000 would have grown to $180,005 -
an 80.01% 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)
DIVIDENDS AND YIELD
PERIODS ENDED FEBRUARY 28, 1997 PAST 1 PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 5.81(cents) 36.50(cents) 73.41(cents)
Annualized dividend rate 7.17% 6.98% 7.00%
30-day annualized yield 6.48% - -
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 $10.56 over the past one month,
$10.54 over the past six months and $10.49 over the past one 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. If Fidelity had not reimbursed certain fund expenses during
the period shown, the yield would have been 6.22%.
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Jennifer Farrelly,
Portfolio Manager
of Spartan U.S.
Equity Index Fund
(formerly Fidelity
U.S. Equity Index
Portfolio)
Q. CHRISTINE, HOW HAS THE FUND PERFORMED?
A. Even though the fixed-income markets were volatile throughout the year,
the fund's performance closely tracked the Lehman Brothers Aggregate Bond
Index just as it is designed to do. For the year ending February 28, 1997,
the fund's total return was 4.93%, and the Lehman Brothers Aggregate Bond
Index returned 5.35%. The fund's total return is slightly lower than the
index due to operating expenses. For another comparison, the intermediate
U.S. government funds average returned 4.13%, as tracked by Lipper
Analytical Services.
Q. HOW DID INDIVIDUAL SECTORS OF THE TAXABLE BOND MARKET FARE?
A. Throughout the past year, the non-government sectors - including
mortgage-backed, asset-backed and corporate securities - were the best
performers. Their performance was driven by tightening yield spreads -
which means that the difference in yields between Treasury securities and
other sectors of the market became quite narrow. That tightening reflected
a consistent increase in demand for higher-yielding securities together
with moderate new issue activity.
Q. TURNING TO THE FUND, WHAT ACCOUNTED FOR ITS PERFORMANCE?
A. Individual security selection helped the fund somewhat offset expenses
and transaction costs, and perform closely in line with the index. Since
the index is made up of more than 4,000 individual securities, it's
impractical for the fund to own everything in it. In choosing the fund's
investments, I use a technique known as statistical sampling. This process
entails assembling a portfolio that replicates the characteristics of the
index - which can include duration, sector, maturity, credit quality and
others - by investing in representative issues.
Q. LET'S BEGIN WITH YOUR CHOICES IN THE MORTGAGE SECTOR . . .
A. Mortgage-backed securities typically are very sensitive to changes in
interest rates because they are subject to prepayment risk - the risk that
mortgage holders will refinance or pay off their mortgages before maturity.
Even though interest rates fluctuated throughout the year, they remained in
a broad range, never falling low enough to trigger a large new wave of
mortgage refinancing activity. In this environment, I focused on current
coupon mortgages - those issued at or near current interest rates - because
I felt that they were attractively priced relative to other mortgage
securities. Even though current coupon bonds are highly sensitive to
falling interest rates, this strategy benefited the fund because prepayment
trends turned out to be close to market expectations. By the end of the
period, the fund's mortgage holdings were fairly evenly distributed among
various coupon mortgages replicating the Aggregate Bond index's
composition.
Q. WHAT WAS YOUR STRATEGY WITHIN THE CORPORATE SECTOR?
A. I increased the fund's holdings in Yankee bonds, which are
dollar-denominated bonds issued in the United States by foreign banks,
corporations and governments, and maintained a modest overweighting in bank
securities relative to the index. Yankee bonds make up one of the fastest
growing sectors of the fixed-income markets and, during the year, the
sector offered many attractive opportunities. Since some investors don't
invest in foreign issues, these securities often offer higher yields. I
underweighted bonds issued by industrial concerns including manufacturing
and consumer product companies. My continued emphasis on banks was a plus
for the fund, as many banks' capitalization, profitability and asset
quality improved or remained strong. What's more, mergers and acquisitions
within the banking sector continued and many banks involved emerged as
stronger entities.
Q. WITH INTEREST RATES VOLATILE, DID YOU EMPHASIZE THE SHORTER-MATURITY
TREASURY SECURITIES SINCE THEY ARE LESS SENSITIVE TO INTEREST RATE MOVES?
A. No, I didn't. It is important to remember that the fund does not make
interest rate timing bets. Rather, I structure the fund to replicate the
distribution of the index's duration - a measure of interest rate
sensitivity - across the various maturities available. However, I did
choose individual Treasury securities that I felt offered value and the
potential to outperform others. For example, I generally favored older
Treasury securities, while avoiding more-recently issued securities. Newly
issued Treasuries have a higher amount of liquidity, meaning they are more
actively traded. For that reason, their prices tend to be higher and their
yields lower than older Treasury securities with comparable maturities.
Because the fund's Treasury positions are core holdings, the fund doesn't
necessarily require additional liquidity of the newest issues.
Q. WHAT'S YOUR OUTLOOK FOR THE FUND?
A. As always, the fund's returns will be determined primarily by the
direction of interest rates. Because valuations across sectors and between
individual security types are very compressed, there is less room to
differentiate performance based on a security selection than in the past.
In this environment, with the fund positioned to closely replicate that of
the Lehman Brothers Aggregate Bond Index, its performance is expected to
track that of the market as represented by this index.
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: to provide returns consistent with
those of the Lehman Brothers Aggregate Bond
Index
START DATE: March 8,1990
SIZE: as of February 28, 1997, more than
$568 million
MANAGER: Christine Thompson, since 1990;
manager, Fidelity Intermediate Bond Fund,
since 1995; co-manager, Fidelity Global Bond
Fund, since 1996; Fidelity Target Timeline
Funds, since 1996; joined Fidelity in 1985
(checkmark)
CHRISTINE THOMPSON ON CHANGES TO THE LEHMAN
BROTHERS AGGREGATE BOND INDEX:
"Market indexes are not static. The index
providers - such as Lehman Brothers - often
add new securities to their indexes as there are
innovations in the markets. Recently, Lehman
has added a couple of new types of securities
to its Aggregate Bond Index. The first are
capital securities, which are issued primarily by
banks as securities into a trust, and the trust, in
turn, issues certificates to investors. By the end
of the period, about 29 of these issues were
included in the index, and the category is
growing quite quickly. Lehman also added
Treasury Inflation Index notes, commonly
referred to as inflation-indexed Treasuries. I
chose to invest in some capital securities
before their official inclusion because I
thought their prices were attractive relative to
other corporate securities. On the other hand, I
didn't immediately add inflation-indexed bonds
because I felt that their inclusion in the index
wasn't material enough to affect the
performance of the index."
INVESTMENT CHANGES
QUALITY DIVERSIFICATION AS OF FEBRUARY 28, 1997
(MOODY'S RATINGS) % OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS
6 MONTHS AGO
Aaa 71.2 73.3
Aa 0.9 1.0
A 12.5 12.7
Baa 12.7 11.1
Ba 1.0 0.3
TABLE EXCLUDES SHORT-TERM INVESTMENTS. WHERE MOODY'S RATINGS ARE NOT
AVAILABLE, WE HAVE USED S&P RATINGS. SECURITIES RATE AS "BA" OR BELOW WERE
RATED INVESTMENT GRADE BY OTHER NATIONALLY RECOGNIZED RATING AGENCIES OR
ASSIGNED AN INVESTMENT GRADE RATING AT THE TIME OF ACQUISITION BY FIDELITY.
AVERAGE YEARS TO MATURITY AS OF FEBRUARY 28, 1997
6 MONTHS AGO
Years 8.4 8.1
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 FEBRUARY 28, 1997
6 MONTHS AGO
Years 4.7 4.7
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 (% OF FUND'S INVESTMENTS)
AS OF FEBRUARY 28, 1997 * AS OF AUGUST 31, 1996 **
U.S. government
and government
agency obligations 41.5%
Mortgage-backed
securities 27.7%
Corporate bonds 28.1%
Foreign government
obligations 1.0%
Short-term investments 1.7%
FOREIGN INVESTMENTS 4.7%
U.S. government
and government
agency obligations 46.1%
Mortgage-backed
securities 25.6%
Corporate bonds 25.8%
Foreign government
obligations 0.9%
Short-term investments 1.6%
FOREIGN INVESTMENTS 5.1%
Row: 1, Col: 1, Value: 1.7
Row: 1, Col: 2, Value: 1.0
Row: 1, Col: 3, Value: 28.1
Row: 1, Col: 4, Value: 27.7
Row: 1, Col: 5, Value: 41.5
Row: 1, Col: 1, Value: 1.6
Row: 1, Col: 2, Value: 0.9
Row: 1, Col: 3, Value: 25.8
Row: 1, Col: 4, Value: 25.6
Row: 1, Col: 5, Value: 46.1
*
**
INVESTMENTS FEBRUARY 28, 1997
Showing Percentage of Total Value of Investment in Securities
NONCONVERTIBLE BONDS - 28.1%
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
BASIC INDUSTRIES - 1.0%
CHEMICALS & PLASTICS - 0.5%
Methanex Corp. yankee
8 7/8%, 11/15/01 A2 $ 2,820,000 $ 3,008,594
PAPER & FOREST PRODUCTS - 0.5%
Chesapeake Corp.:
10 3/8%, 10/1/00 Baa3 505,000 560,272
9 7/8%, 5/1/03 Baa3 1,210,000 1,366,852
Great Northern Nekoosa Corp.
9 1/8%, 2/1/98 Baa2 750,000 768,188
2,695,312
TOTAL BASIC INDUSTRIES 5,703,906
DURABLES - 0.7%
TEXTILES & APPAREL - 0.7%
Levi Strauss & Co.
7%, 11/1/06 (b) Baa2 4,000,000 3,940,960
ENERGY - 2.4%
ENERGY SERVICES - 0.8%
Petroliam Nasional BHD yankee
6 7/8%, 7/1/03 (b) A1 4,190,000 4,167,458
OIL & GAS - 1.6%
Nationale Elf Aquitaine yankee
7 3/4%, 5/1/99 Aa3 150,000 153,989
Occidental Petroleum Corp.:
5.85%, 11/9/98 Baa3 2,000,000 1,980,860
5.90%, 11/9/98 Baa3 1,425,000 1,412,474
5.93%, 11/9/98 Baa3 800,000 793,344
6 3/4%, 9/16/99 Baa3 810,000 811,085
6.09%, 11/29/99 Baa3 390,000 383,826
Phillips 66 Capital II
8%, 1/15/07 Baa1 3,000,000 2,975,190
Union Oil Co. of California
9 1/8%, 2/15/06 Baa2 625,000 702,913
9,213,681
TOTAL ENERGY 13,381,139
FINANCE - 18.2%
ASSET-BACKED SECURITIES - 2.4%
Boatmens Auto Trust
6.35%, 10/15/01 A2 430,000 428,791
Case Equipment Loan Trust
6.45%, 9/15/02 A3 1,000,000 991,870
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
Caterpillar Financial Asset Trust
6.55%, 5/22/02 A3 $ 500,000 $ 501,797
Ford Credit Grantor Trust
5.90%, 10/15/00 Aaa 2,601,303 2,596,019
Green Tree Financial Corp.:
6.45%, 5/15/27 Aaa 1,460,000 1,459,533
6.65%, 7/15/27 Aaa 2,120,000 2,131,257
KeyCorp Auto Grantor Trust
5.80%, 7/15/00 A3 155,104 154,763
Olympic Automobile Receivables
Trust 6 1/8%, 11/15/04 Aaa 1,600,000 1,592,293
Premier Auto Trust:
6.80%, 12/2/98 Aa3 431,560 433,312
6%, 5/6/00 Aaa 1,230,000 1,228,463
Standard Credit Card Master Trust I:
participation certificate 5 1/2%,
9/7/98 A2 960,000 958,500
7.65%, 2/15/00 A2 430,000 436,988
Union Federal Savings Bank Grantor
Trust 6.975%, 7/10/00 Baa2 652,979 652,163
13,565,749
BANKS - 8.9%
BanPonce Financial Corp.
6.34%, 3/29/99 A3 610,000 606,987
BanPonce Corp.:
5 3/4%, 3/1/99 A3 930,000 913,799
6.378%, 4/8/99 A3 1,000,000 992,470
6.488%, 3/3/00 A3 1,440,000 1,434,456
Barnett Banks, Inc.:
8 1/2%, 3/1/99 A3 1,170,000 1,213,267 10 7/8%, 3/15/03 A3 1,020,000
1,199,306
Capital One Bank:
6.83%, 5/17/99 Baa3 1,000,000 1,004,000
6.55%, 2/4/00 Baa3 2,000,000 1,982,800
Citicorp 9%, 4/15/99 A2 1,053,000 1,105,376
Comerica, Inc. 9 3/4%, 5/1/99 A3 1,000,000 1,063,890
Corporacion Andina de Fomento:
euro 7 1/4%, 4/30/98 Baa3 250,000 252,813
yankee 7 1/4%, 4/30/98 (b) Baa2 3,000,000 3,033,750
yankee 7 3/8%, 7/21/00 Baa2 1,450,000 1,476,057
First Hawaiian, Inc.
6 1/4%, 8/15/00 Baa1 1,000,000 979,600
First Interstate Bancorp
8 5/8%, 4/1/99 A2 1,042,000 1,085,920
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
First Maryland Bancorp
10 3/8%, 8/1/99 Baa1 $ 750,000 $ 810,233
First Tennessee National Corp.
6 3/4%, 11/15/05 Baa1 620,000 597,829
Firstar Corp. 7.15%, 9/1/00 A3 1,300,000 1,308,528
Fleet/Norstar Financial Group, Inc.
9.90%, 6/15/01 A3 1,390,000 1,546,139
HSBC Americas, Inc.
7%, 11/1/06 Baa1 2,000,000 1,960,400
Kansallis-Osake-Pankki
10%, 5/1/02 A3 2,600,000 2,945,332
Korea Development Bank yankee:
9 1/4%, 6/15/98 A1 1,000,000 1,038,470
7%, 7/15/99 A1 1,000,000 1,010,750
6 1/4%, 5/1/00 A1 2,000,000 1,976,380
Merchants National Corp.
9 7/8%, 10/1/99 A2 1,650,000 1,772,397
Merita Bank Ltd. yankee
6 1/2%, 1/15/06 A3 2,100,000 1,991,136
Midland American Capital Corp.
gtd. 12 3/4%, 11/15/03 A1 330,000 362,720
Midlantic Corp.:
9 7/8%, 12/1/99 A3 1,000,000 1,078,760
9.20%, 8/1/01 A3 1,337,000 1,437,369
NCNB Corp. 10.20%, 7/15/15 A2 2,000,000 2,484,900
NationsBank Corp.
5 1/8%, 9/15/98 A1 358,000 352,161
Provident Bank:
6 1/8%, 12/15/00 A3 1,800,000 1,761,084
6 3/8%, 1/15/04 Baa2 1,500,000 1,432,905
Shawmut National Corp.:
8 5/8%, 12/15/99 A3 1,190,000 1,245,038
7.20%, 4/15/03 A3 1,000,000 996,820
Signet Bank 7.80%, 9/15/06 Baa1 1,500,000 1,541,175
Signet Banking Corp.
9 5/8%, 6/1/99 Baa2 1,264,000 1,338,500
Union Planters Corp.
6 3/4%, 11/1/05 Baa2 1,500,000 1,446,555
50,780,072
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
CREDIT & OTHER FINANCE - 5.7%
AT&T Capital Corp.
6.02%, 12/4/98 Baa3 $ 4,100,000 $ 4,076,179
Chase Capital I
7.67%, 12/1/26 A1 3,000,000 2,929,650
Edison Mission Energy Funding
Corp. 6.77%, 9/15/03 (b) Baa1 3,720,000 3,700,842
Finova Capital Corp.
6.14%, 11/2/98 Baa1 2,200,000 2,193,070
First Securities Capital I
8.41%, 12/15/26 (b) A3 3,000,000 3,099,810
Fleet Financial Group, Inc.
7 5/8%, 12/1/99 A3 1,250,000 1,282,575
Fleet Mortgage Group, Inc.
6 1/2%, 6/15/00 A2 800,000 796,008
Ford Capital BV gtd. yankee
9%, 8/15/98 A1 2,000,000 2,075,000
Ford Motor Credit
7.05%, 6/6/01 A1 1,000,000 1,011,310
General Motors Acceptance Corp.:
6.40%, 6/8/98 A3 2,000,000 2,008,620
6%, 12/30/98 A3 2,000,000 1,990,220
Greyhound Financial Corp.
8 1/2%, 5/1/98 Baa1 1,000,000 1,023,090
MCN Investment Corp.:
5.84%, 2/1/99 Baa2 1,460,000 1,444,393
6.03%, 2/1/01 Baa2 1,940,000 1,889,347
Union Acceptance Corp.
7.075%, 7/10/02 Baa2 284,187 283,920
WFS Financial Owner Trust
6.90%, 12/20/03 Aaa 2,370,000 2,372,459
32,176,493
INSURANCE - 0.9%
Metropolitan Life Insurance Co.
6.30%, 11/1/03 (b) A1 2,560,000 2,451,968
Nationwide Mutual Insurance Co.
6 1/2%, 2/15/04 (b) A1 2,690,000 2,587,215
5,039,183
SAVINGS & LOANS - 0.3%
Great Western Financial Corp.
6 3/8%, 7/1/00 Baa1 1,000,000 989,090
Home Savings of America
6%, 11/1/00 A3 1,000,000 970,600
1,959,690
TOTAL FINANCE 103,521,187
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
MEDIA & LEISURE - 0.9%
BROADCASTING - 0.8%
TCI Communication, Inc.
7 1/4%, 6/15/99 Ba1 $ 2,000,000 $ 2,013,860
Time Warner, Inc. 7.95%, 2/1/00 Ba1 2,400,000 2,473,824
4,487,684
PUBLISHING - 0.1%
News America Holdings, Inc.
8 5/8%, 2/1/03 Baa3 355,000 380,102
TOTAL MEDIA & LEISURE 4,867,786
RETAIL & WHOLESALE - 0.4%
APPAREL STORES - 0.2%
Limited, Inc. 9 1/8%, 2/1/01 Baa2 1,150,000 1,219,828
GENERAL MERCHANDISE STORES - 0.2%
Dayton Hudson Corp.
10%, 12/1/00 Baa1 1,000,000 1,103,660
TOTAL RETAIL & WHOLESALE 2,323,488
TECHNOLOGY - 0.8%
COMPUTERS & OFFICE EQUIPMENT - 0.8%
Comdisco, Inc.:
6.55%, 2/4/00 Baa1 1,500,000 1,499,175
9.30%, 6/27/00 Baa2 1,250,000 1,347,375
9 1/4%, 7/6/00 Baa2 375,000 402,851
5 3/4%, 2/15/01 Baa1 1,500,000 1,444,590
4,693,991
TRANSPORTATION - 0.7%
AIR TRANSPORTATION - 0.7%
AMR Corp.:
7 3/4%, 12/1/97 Baa3 1,000,000 1,010,340
9 1/2%, 7/15/98 Baa3 430,000 446,516
9 1/2%, 5/15/01 Baa3 2,500,000 2,724,050
4,180,906
UTILITIES - 3.0%
CELLULAR - 0.3%
360 Degrees Communications Co.
7 1/8%, 3/1/03 Ba1 1,530,000 1,519,764
ELECTRIC UTILITY - 0.8%
British Columbia Hydro & Power
Authority yankee
12 1/2%, 1/15/14 Aa2 930,000 1,062,730
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
Massachusetts Electric Co.
6.78%, 11/20/06 A2 $ 2,000,000 $ 1,949,740
United Illuminating Co.:
7 3/8%, 1/15/98 Baa3 1,500,000 1,509,750
9.76%, 1/2/06 Baa3 273,000 284,376
4,806,596
GAS - 1.9%
Columbia Gas System, Inc.:
6.39%, 11/28/00 Baa3 1,000,000 986,900
6.61%, 11/28/02 Baa3 1,000,000 987,620
Enron Corp. 10%, 6/1/98 Baa2 1,000,000 1,043,460
Sonat, Inc. 9 1/2%, 8/15/99 A3 3,034,000 3,215,221
Southwest Gas Corp.
9 3/4%, 6/15/02 Baa2 2,930,000 3,271,081
Transco Energy Co.
9 1/8%, 5/1/98 Baa2 1,490,000 1,538,097
11,042,379
TOTAL UTILITIES 17,368,739
TOTAL NONCONVERTIBLE BONDS
(Cost $161,130,296) 159,982,102
U.S. GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS - 41.5%
U.S. TREASURY OBLIGATIONS - 35.8%
6 1/8%, 3/31/98 Aaa 11,390,000 11,427,359
9 1/4%, 8/15/98 Aaa 2,445,000 2,555,783
8 7/8%, 2/15/99 Aaa 630,000 661,796
8%, 8/15/99 Aaa 850,000 884,663
7 3/4%, 12/31/99 Aaa 17,943,000 18,638,291
8 1/2%, 2/15/00 Aaa 9,500,000 10,070,000
6 7/8%, 3/31/00 Aaa 2,800,000 2,847,684
5 3/4%, 10/31/00 Aaa 503,000 494,040
7 7/8%, 8/15/01 Aaa 14,000,000 14,796,180
10 3/4%, 5/15/03 Aaa 12,973,000 15,776,336
12 3/8%, 5/15/04 Aaa 3,636,000 4,841,552
11 5/8%, 11/15/04 Aaa 5,600,000 7,295,736
7%, 7/15/06 Aaa 850,000 872,576
11 3/4%, 2/15/10 Aaa 4,762,000 6,246,411
12 3/4%, 11/15/10 (callable) Aaa 10,950,000 15,292,332
13 7/8%, 5/15/11 Aaa 300,000 446,532
10 3/8%, 11/15/12 Aaa 250,000 318,008
12%, 8/15/13 (callable) Aaa 11,365,000 16,029,992
9 7/8%, 11/15/15 Aaa 25,500,000 33,416,985
9%, 11/15/18 Aaa 16,490,000 20,272,311
7 1/4%, 2/15/23 Aaa 19,900,000 20,326,059
203,510,626
U.S. GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
U.S. GOVERNMENT AGENCY OBLIGATIONS - 5.7%
Federal Agricultural Mortgage
Corporation:
7.44%, 5/25/00 Aaa $ 500,000 $ 515,155
6.92%, 8/10/02 Aaa 1,040,000 1,054,134
Federal Home Loan Bank:
6.37% 6/30/03 Aaa 510,000 502,590
7.31%, 6/16/04 Aaa 2,040,000 2,104,382
7.38%, 8/5/04 Aaa 370,000 383,816
Federal Home Loan Mortgage
Corporation 8%, 1/26/05 Aaa 1,000,000 1,071,870
Federal National Mortgage
Association 7 3/8%, 3/28/05 Aaa 500,000 518,045
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 Aaa 678,797 721,195
Class 2-E,
9.40%, 5/15/02 Aaa 1,294,709 1,377,467
Class T-2,
9 5/8%, 5/15/02 Aaa 1,152,802 1,225,555
Guaranteed Export Trust
Certificates (assets of Trust
guaranteed by U.S. Government
through Export-Import Bank):
Series 1993-C,
5.20%, 10/15/04 Aaa 974,089 927,040
Series 1993-D,
5.23%, 5/15/05 Aaa 660,000 626,868
Series 1994-C,
6.61%,9/15/99 Aaa 185,430 186,682
Overseas Private Investment Corp.
(U.S. Government
guaranteed participation
certificate) Series 1994-195,
6.08%, 8/15/04 (callable) Aaa 1,590,000 1,550,981
Private Export Funding Corp.
secured:
5.65%, 3/15/03 Aaa 929,500 909,339
5.48%, 9/15/03 Aaa 2,275,000 2,207,182
6.86%, 4/30/04 Aaa 1,023,750 1,032,145
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
State of Israel (guaranteed by
U.S. Government through
Agency for International
Development):
7 3/4%, 4/1/98 Aaa $ 1,159,338 $ 1,172,647
6 3/8%, 8/15/01 Aaa 1,500,000 1,490,145
0%, 11/15/01 Aaa 1,900,000 1,406,361
8%, 11/15/01 Aaa 1,330,000 1,405,345
6 1/4%, 8/15/02 Aaa 2,562,000 2,517,721
6 5/8%, 2/15/04 Aaa 900,000 891,693
7 5/8%, 8/15/04 Aaa 800,000 832,671
5.89%, 8/15/05 Aaa 1,970,000 1,851,345
8 1/2%, 4/1/06 Aaa 2,705,000 2,926,864
U.S. Department of Housing and
Urban Development (U.S.
Government guaranteed
participation certificates)
Series 1995-A, 8.27%, 8/1/03 Aaa 1,000,000 1,081,050
32,490,288
TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS
(Cost $238,183,842) 236,000,914
U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES - 27.3%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 3.8%
6 1/2%, 10/1/07 Aaa 829,087 818,442
7%, 6/1/99 to 7/1/26 Aaa 2,526,895 2,545,845
7 1/2%, 4/1/26 to 8/1/26 Aaa 4,885,590 4,884,028
8%, 7/1/16 to 10/1/26 Aaa 4,986,909 5,086,832
8 1/2%, 9/1/19 Aaa 36,299 38,038
9%, 11/1/01 to 10/1/16 Aaa 857,862 897,922
9 1/2%, 10/1/08 to 9/1/18 Aaa 1,189,310 1,282,355
10%, 6/1/20 Aaa 289,127 315,779
10 1/2%, 1/1/01 to 2/1/19 Aaa 744,003 813,028
11%, 1/1/06 to 9/1/20 Aaa 3,633,940 4,053,291
11 1/2%, 8/1/13 to 10/1/15 Aaa 199,078 223,645
11 3/4%, 9/1/13 Aaa 79,604 89,628
12%, 2/1/13 to 7/1/15 Aaa 78,185 89,342
12 3/4%, 8/1/12 to 10/1/13 Aaa 157,660 182,414
13 1/2%, 1/1/23 Aaa 485,481 575,363
21,895,952
U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES - CONTINUED
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 15.4%
5 1/2%, 9/1/00 to 4/1/11 Aaa $ 13,758,414 $ 12,984,969
6%, 1/1/01 to 4/1/16 Aaa 7,566,016 7,306,443
6 1/2%, 11/1/08 to 3/1/26 Aaa 14,252,965 13,654,585
7%, 10/1/11 to 3/1/27 Aaa 35,644,450 34,857,316
7 1/2%, 11/1/07 to 11/1/26 Aaa 11,250,084 11,260,800
7 1/2%, 3/1/27 (d) Aaa 600,000 598,500
8 1/2%, 6/1/17 to 7/1/24 Aaa 3,535,181 3,683,068
9 1/2%, 9/1/21 Aaa 1,878,603 2,038,998
10 3/4%, 9/1/10 to 5/1/14 Aaa 288,353 318,919
11 1/4%, 5/1/14 Aaa 61,129 68,746
11 1/2%, 8/1/14 Aaa 201,180 229,383
12 1/2%, 1/1/15 Aaa 65,955 76,610
13%, 12/1/14 to 1/1/15 Aaa 105,707 125,988
13 1/2%, 8/1/14 to 11/1/14 Aaa 49,392 59,509
14%, 3/1/12 to 10/1/14 Aaa 377,801 455,078
87,718,912
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 8.1%
6%, 12/15/08 to 3/15/11 Aaa 3,219,841 3,109,792
6 1/2%, 6/15/23 to 6/15/24 Aaa 7,843,647 7,492,224
7%, 12/15/22 to 9/15/23 Aaa 2,832,581 2,777,077
7 1/2%, 2/15/17 to 4/15/24 Aaa 3,682,468 3,701,405
8%, 11/15/16 to 1/15/27 Aaa 11,466,208 11,740,165
9%, 7/15/18 to 11/15/26 Aaa 6,263,950 6,647,177
9 1/2%, 1/15/19 to 11/15/24 Aaa 510,738 554,164
10%, 6/15/13 to 9/15/25 Aaa 4,577,268 5,040,168
11%, 7/15/10 to 8/15/17 Aaa 2,554,042 2,897,001
11 1/2%, 7/15/10 to 8/15/13 Aaa 2,740 3,141
12%, 2/15/16 Aaa 1,558,422 1,817,276
45,779,590
TOTAL U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES
(Cost $154,680,843) 155,394,454
COMMERCIAL MORTGAGE SECURITIES - 0.4%
MOODY'S RATINGS PRINCIPAL VALUE
(UNAUDITED) AMOUNT (NOTE 1)
Oregon Commercial Mortgage,
Inc. Series 1995-1 Class A,
7.15%, 6/25/26 (b) AAA $ 698,937 $ 698,172
Resolution Trust Corp.
Series 1995-C2 Class A-1B,
6 1/4%, 5/25/27 Aaa 1,310,000 1,285,847
TOTAL COMMERCIAL MORTGAGE
SECURITIES (Cost $2,004,624) 1,984,019
FOREIGN GOVERNMENT OBLIGATIONS (C) - 0.7%
Manitoba Province yankee
7.93%, 2/15/00 A1 850,000 878,866
Newfoundland Province yankee
7.32%, 10/13/23 Baa1 1,220,000 1,178,605
Ontario Province yankee
7 3/4%, 6/4/02 Aa3 2,000,000 2,093,280
TOTAL FOREIGN GOVERNMENT
OBLIGATIONS (Cost $4,112,957) 4,150,751
SUPRANATIONAL OBLIGATIONS - 0.3%
African Development Bank
7 3/4%, 12/15/01
(Cost $1,382,934) Aa1 1,325,000 1,382,585
CASH EQUIVALENTS - 1.7%
MATURITY
AMOUNT
Investments in repurchase agreements
(U.S. Treasury obligations) in a joint
trading account at 5.37%, dated
2/28/97 due 3/3/97 $ 9,619,303 9,615,000
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $571,110,496) $ 568,509,825
LEGEND
8. Standard & Poor's credit ratings are used in the absence of a rating by
Moody's Investors Service, Inc.
9. 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 $23,680,175 or 4.2% of net
assets.
10. For foreign government obligations not 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.
11. Security purchased on a delayed delivery basis (see Note 2 of Notes to
Financial Statements).
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 RATINGS S&P RATINGS
Aaa, Aa, A 84.5% AAA, AA, A 79.2%
Baa 12.7% BBB 16.8%
Ba 1.0% BB 1.0%
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.
INCOME TAX INFORMATION
At February 28, 1997, the aggregate cost of investment securities for
income tax purposes was $571,886,216. Net unrealized depreciation
aggregated $3,376,391, of which $4,084,889 related to appreciated
investment securities and $7,461,280 related to depreciated investment
securities.
At February 28, 1997, the fund had a capital loss carryforward of
approximately $11,394,000 of which $5,486,000, $3,769,000 and $2,139,000
will expire on February 28, 2003, February 29, 2004 and February 28, 2005,
respectively.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS FEBRUARY 28, 1997
ASSETS 12. 13.
14.Investment in securities, at value (including repurchase agreements of $9,615,000) 15. $ 568,509,825
(cost $571,110,496) - See accompanying schedule
16.Cash 17. 204,817
18.Receivable for investments sold 19. 10,774,651
20.Interest receivable 21. 7,160,115
22.Receivable from investment adviser for expense reductions 23. 22,935
24. 25.TOTAL ASSETS 26. 586,672,343
LIABILITIES 27. 28.
29.Payable for investments purchased $ 17,223,061 30.
Regular delivery
31. Delayed delivery 603,188 32.
33.Distributions payable 275,662 34.
35.Other payables and accrued expenses 190,467 36.
37. 38.TOTAL LIABILITIES 39. 18,292,378
40.NET ASSETS 41. $ 568,379,965
42.Net Assets consist of: 43. 44.
45.Paid in capital 46. $ 583,485,357
47.Distributions in excess of net investment income 48. (390,731)
49.Accumulated undistributed net realized gain (loss) on investments 50. (12,113,990)
51.Net unrealized appreciation (depreciation) on investments 52. (2,600,671)
53.NET ASSETS, for 54,209,012 shares outstanding 54. $ 568,379,965
55.NET ASSET VALUE, offering price and redemption price per share ($568,379,965 (divided by) 54,209,012 56. $10.48
shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS YEAR ENDED FEBRUARY 28, 1997
INVESTMENT INCOME 58. $ 37,891,561
57.Interest
EXPENSES 59. 60.
61.Management fee $ 1,649,438 62.
63.Transfer agent fees 1,077,168 64.
65.Accounting fees and expenses 191,467 66.
67.Non-interested trustees' compensation 2,059 68.
69.Custodian fees and expenses 37,336 70.
71.Registration fees 112,263 72.
73.Audit 14,077 74.
75.Legal 3,497 76.
77.Miscellaneous 20,296 78.
79. Total expenses before reductions 3,107,601 80.
81. Expense reductions (1,531,811) 1,575,790
82.83.NET INVESTMENT INCOME 84. 36,315,771
REALIZED AND UNREALIZED GAIN (LOSS) 86. (2,760,808)
85.Net realized gain (loss) on investment securities
87.Change in net unrealized appreciation (depreciation) on investment securities 88. (7,661,971)
89.90.NET GAIN (LOSS) 91. (10,422,779)
92.93.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 94. $ 25,892,992
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
YEAR ENDED YEAR ENDED
FEBRUARY 28, FEBRUARY 29,
1997 1996
INCREASE (DECREASE) IN NET ASSETS
95.Operations $ 36,315,771 $ 29,973,416
Net investment income
96. Net realized gain (loss) (2,760,808) 62,718
97. Change in net unrealized appreciation (depreciation) (7,661,971) 15,922,876
98. 99.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 25,892,992 45,959,010
100.Distributions to shareholders from net investment income (36,038,592) (29,821,179)
101.Share transactions 199,504,433 210,548,939
Net proceeds from sales of shares
102. Reinvestment of distributions 32,500,246 26,920,819
103. Cost of shares redeemed (129,124,771) (132,643,614)
104.105. 102,879,908 104,826,144
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
106. 92,734,308 120,963,975
107.TOTAL INCREASE (DECREASE) IN NET ASSETS
NET ASSETS 108. 109.
110. Beginning of period 475,645,657 354,681,682
111. $ 568,379,965 $ 475,645,657
End of period (including distributions in excess of net investment income of $390,731
and $369,965, respectively)
OTHER INFORMATION 113. 114.
112.Shares
115. Sold 18,991,542 19,606,989
116. Issued in reinvestment of distributions 3,099,083 2,521,506
117. Redeemed (12,298,032) (12,324,143)
118. Net increase (decrease) 9,792,593 9,804,352
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
119. YEAR ENDED YEAR ENDED YEARS ENDED FEBRUARY 28, FOUR MONTHS YEAR ENDED
FEBRUARY 28, FEBRUARY 29, ENDED FEBRUARY OCTOBER 31,
28,
120. 1997 1996 1995 1994 D 1993 1992
121.SELECTED PER-SHARE DATA
122.Net asset value,
beginning of period $ 10.710 $ 10.250 $ 10.830 $ 11.070 $ 10.910 $ 10.710
123.Income from Investment
Operations .739 G .755 .718 .697 .260 .839
Net investment income
124. Net realized and
unrealized gain (.235) .460 (.542) (.110) .324 .277
(loss)
125. Total from investment
operations .504 1.215 .176 .587 .584 1.116
126.Less Distributions
127. From net investment
income (.734) (.755) (.756) (.727) (.254) (.836)
128. From net realized gain - - - (.070) (.170) (.080)
129. In excess of net
realized gain - - - (.030) - -
130. Total distributions (.734) (.755) (.756) (.827) (.424) (.916)
131.Net asset value, end of
period $ 10.480 $ 10.710 $ 10.250 $ 10.830 $ 11.070 $ 10.910
132.TOTAL RETURN B, C 4.93% 12.13% 1.90% 5.38% 5.50% 10.84%
133.RATIOS AND SUPPLEMENTAL DATA
134.Net assets, end of
period (000 $ 568,380 $ 475,646 $ 354,682 $ 288,504 $ 123,351 $ 86,149
omitted)
135.Ratio of expenses to
average net .32% .32% .32% .32% .32% A .32%
assets E
136.Ratio of expenses to
average net .31% .31% .32% .32% .32% A .32%
assets after expense reductions F F
137.Ratio of net investment
income to 7.05% 7.11% 7.58% 6.93% 7.34% A 7.70%
average
net assets
138.Portfolio turnover rate 65% 128% 73% 160% 89% A 113%
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIODS SHOWN (SEE NOTE 5 OF NOTES TO FINANCIAL
STATEMENTS).
D EFFECTIVE MARCH 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 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).
F 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).
G NET INVESTMENT INCOME PER SHARE HAS BEEN CALCULATED BASED ON AVERAGE
SHARES OUTSTANDING DURING THE PERIOD.
NOTES TO FINANCIAL STATEMENTS
For the period ended February 28, 1997
1. SIGNIFICANT ACCOUNTING POLICIES.
On April 17, 1997, the Board of Trustees approved a change in the fund's
name from Fidelity U.S. Bond Index Portfolio to Fidelity U.S. Bond Index
Fund. Fidelity U.S. Bond Index Fund (the fund) is a fund of Fidelity
Concord Street Trust (the trust) (formerly Fidelity Institutional 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. Securities (including
restricted 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. Short-term securities with remaining maturities of sixty days
or less for which quotations are not readily available 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 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, capital loss
carryforwards 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.
Distributions in excess of net investment income and accumulated
undistributed net realized gain (loss) on investments may include temporary
book and tax basis differences that 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 for U.S.
Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The underlying U.S. Treasury or Federal Agency
Securities are transferred to an account of the 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.
2. OPERATING POLICIES - CONTINUED
DELAYED DELIVERY TRANSACTIONS. The fund may purchase or sell securities on
a delayed delivery basis. Payment and delivery may take place a month or
more after the date of the transaction. The price of the underlying
securities and the date when the securities will be delivered and paid for
are fixed at the time the transaction is negotiated. The market values of
the securities purchased or sold on a delayed delivery basis are identified
as such in the fund's schedule of investments. The fund may receive
compensation for interest forgone in the purchase of a delayed delivery
security. With respect to purchase commitments, the fund identifies
securities as segregated in its custodial records with a value at least
equal to the amount of the commitment. Losses may arise due to changes in
the market value of the underlying securities or if the counterparty does
not perform under the contract.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $429,339,490 and $328,983,833, respectively, of which U.S.
government and government agency obligations aggregated $345,638,734 and
$280,542,613, 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 FEES. Fidelity Investments Institutional Operations Company,
Inc. (FIIOC), an affiliate of FMR, is the fund's transfer, dividend
disbursing and shareholder servicing agent. FIIOC receives account fees and
asset-based fees that vary according to account size and type of account.
FIIOC pays for typesetting, printing and mailing of all shareholder
reports, except proxy statements. For the period, the transfer agent fees
were equivalent to an annual rate of .21% of average net assets.
ACCOUNTING FEES. Fidelity Service Company, Inc., an affiliate of FMR,
maintains the fund's accounting records. The fee is based on the level of
average net assets for the month plus out-of-pocket expenses.
5. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the 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 reduced the expenses by $1,475,845.
In addition, the fund has entered into arrangements with its custodian and
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
custodian and transfer agent fees were reduced by $15,775 and $40,191,
respectively, under these arrangements.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Fidelity Concord Street Trust (formerly Fidelity
Institutional Trust) and the Shareholders of Fidelity U.S. Bond Index Fund
(formerly Fidelity U.S. Bond Index Portfolio):
In our opinion, the accompanying statement of assets and liabilities,
including the schedule of investments (except for Moody's and Standard &
Poor's ratings), and the related statements of operations and of changes in
net assets and the financial highlights present fairly, in all material
respects, the financial position of Fidelity U.S. Bond Index Fund (formerly
Fidelity U.S. Bond Index Portfolio) (a fund of Fidelity Concord Street
trust) (formerly Fidelity Institutional Trust) at February 28, 1997, the
results of its operations for the year then ended, and the changes in its
net assets and the financial highlights for the periods indicated in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Fidelity U.S. Bond Index Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement.
An audit includes examining, on a test basis, evidence supporting the
amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe
that our audits, which included confirmation of securities at February 28,
1997 by correspondence with the custodian and brokers and the application
of alternative auditing procedures where confirmations from brokers were
not received, provide a reasonable basis for the opinion expressed above.
/s/PRICE WATERHOUSE LLP
PRICE WATERHOUSE LLP
Boston, Massachusetts
April 18, 1997
DISTRIBUTIONS
A total of 42.62% of the dividends distributed during the fiscal year was
derived from interest on U.S. Government securities which is generally
exempt from state income tax.
The fund will notify shareholders in January 1998 of the applicable
percentage for use in preparing 1997 income tax returns.
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
Christine Thompson, 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 *
Robert M. Gates *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Marvin L. Mann *
William O. McCoy *
Gerald C. McDonough *
Thomas R. Williams *
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
CUSTODIAN
The Bank of New York
New York, NY
* INDEPENDENT TRUSTEES
