<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST Two World Trade Center, New York,
New York 10048
LETTER TO THE SHAREHOLDERS May 31, 1996
DEAR SHAREHOLDER:
During the twelve-months ended May 31, 1996, interest rates on short-term
U.S. Treasury securities were highly volatile. From mid-1995 through year-end
1995, interest rates declined to levels not seen since February 1994.
Subsequently, during the first five months of 1996, interest rates rose,
retracing nearly all of the previous year's decline. Much of the Treasury
market's strength in late 1995 was attributed to economic data supporting the
perception that the economy was slowing to near recession levels. By early
1996, however, the market's perception had changed. The combined effect of
the government shut-down and the severe winter weather created pent-up demand
by the consumer sector. Reinvigorated by low mortgage rates,
rebate-incentives by the auto dealers and extraordinary "sale" prices at
local retailers, retail sales and housing starts soared. Combined with strong
employment data, concerns arose about a quickly rebounding economy, and
possibly an inflation surge. By May 31, 1996, the three-year U.S. Treasury
note was yielding 6.41 percent compared to 5.91 percent twelve-months
earlier.
PERFORMANCE AND PORTFOLIO STRUCTURE
On May 31, 1996, Dean Witter Short-Term U.S. Treasury Trust had net assets in
excess of $258 million. The Fund's total return for the twelve month period
was 4.09 percent. This performance included income distributions totaling
approximately $0.53 per share and a change in net asset value from $9.98 per
share on May 31, 1995, to $9.84 per share on May 31, 1996. The accompanying
chart illustrates the growth of a $10,000 investment in the Fund from
inception (August 13, 1991) through May 31, 1996, versus a similar investment
in the Lehman Brothers 1-3 Year Government Bond Index.
The Fund's performance for the twelve-month period was reflective of the
higher interest rate environment. In response to the rise in rates in 1996,
the Fund's average maturity was reduced to approximately 1.9 years. The Fund,
whose income is free from state and local taxes in all 50 states and
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
LETTER TO THE SHAREHOLDERS May 31, 1996, continued
the District of Columbia, continues to offer investors an attractive
alternative to other short-term investments.
The Fund maintains a diversified investment strategy
across the maturity spectrum, often out to a maximum
of five years. The Fund continues to provide a competitive
level of income.
LOOKING AHEAD
For the second half of 1996, we expect U.S. economic
growth to moderate from the rapid second quarter pace,
while inflation should remain subdued in the months
ahead, albeit at a slightly higher level than 1995. We
believe the Federal Reserve Board will want to see a
sustained confirmation of strong economic trends before
taking overt action to slow the economy.
We appreciate your ongoing support of Dean Witter
Short-Term U.S. Treasury Trust and look forward to
continuing to serve your investment objectives.
DEAN WITTER SHORT TERM U.S TREASURY TRUST
GROWTH OF $10,000
DATE TOTAL LEHMAN 1-3 GOVT INDEX
August 13, 1991 $10,000 $10,000
May 31, 1992 $10,655 $10,684
May 31, 1993 $11,373 $11,413
May 31, 1994 $11,401 $11,644
May 31, 1995 $12,110 $12,501
May 31, 1996 $12,606 (2) $13,161
AVERAGE ANNUAL TOTAL RETURNS
1 YEAR LIFE OF FUND
4.09 (1) 4.94 (1)
Fund Lehman(3)
Past performance is not predictive of future returns.
________________________________________
(1) Figure shown assumes reinvestment of all distributions. There is no
sales charge.
(2) Closing value assuming a complete redemption on May 31, 1996.
(3) The Lehman Brothers 1-3 Year Government Bond Index is a sub-index of
the LehmanBrothers Government Bond Index and is comprised of Agency
and Treasury securitieswith maturities of one to three years. The
index does not include any expenses, fees orcharges. The Index is
unmanaged and should not be considered an investment.
Very truly yours,
/s/ Charles A. Fiumefreddo
CHARLES A. FIUMEFREDDO
Chairman of the Board
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
PORTFOLIO OF INVESTMENTS May 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON
THOUSANDS DESCRIPTION AND MATURITY DATE RATE VALUE
- ----------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (99.0%)
U.S. Treasury Notes (88.3%)
$10,300 01/31/98 ....................................................... 5.00 % $10,108,484
2,000 02/15/99 ....................................................... 5.00 1,931,250
2,600 11/15/98 ....................................................... 5.50 2,549,219
5,000 12/31/00 ....................................................... 5.50 4,779,688
2,500 01/31/98 ....................................................... 5.625 2,477,734
1,000 09/30/97 ....................................................... 5.75 996,406
5,000 10/31/97 ....................................................... 5.75 4,978,125
6,500 10/31/00 ....................................................... 5.75 6,283,672
5,000 06/30/00 ....................................................... 5.875 4,873,438
2,500 10/15/99 ....................................................... 6.00 2,466,016
40,000 12/31/96 ....................................................... 6.125 40,131,250
3,000 05/31/00 ....................................................... 6.25 2,964,844
10,000 06/30/97 ....................................................... 6.375 10,048,437
20,000 01/15/00 ....................................................... 6.375 19,890,625
25,000 11/30/96 ....................................................... 6.50 25,113,281
8,000 04/30/00 ....................................................... 6.75 8,046,250
15,000 10/31/96 ....................................................... 6.875 15,082,031
40,000 09/30/96 ....................................................... 7.00 40,200,000
20,000 02/29/00 ....................................................... 7.125 20,356,250
5,000 02/15/98 ....................................................... 7.25 5,081,250
---------------
228,358,250
---------------
U.S. Treasury Strips (10.7%)
22,500 05/15/99 (Coupon) .............................................. 0.00 18,639,020
12,000 08/15/00 (Principal) ........................................... 0.00 9,097,006
---------------
27,736,026
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Identified Cost $256,999,063) (a) ............................. 99.0% 256,094,276
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES ................. 1.0 2,542,992
-------------
NET ASSETS ..................................................... 100.0% $258,637,268
=============
<FN>
- ------------
(a) The aggregate cost for federal income tax purposes approximates
identified cost. The aggregate gross unrealized appreciation was $1,366,432
and the aggregate gross unrealized depreciation was $2,271,219, resulting in
net unrealized depreciation of $904,787.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1996
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities, at value
(identified cost $256,999,063) ......... $256,094,276
Cash .................................... 72,291
Receivable for:
Interest .............................. 3,443,526
Shares of beneficial interest sold ... 416,241
Deferred organizational expenses ....... 6,611
Prepaid expenses ........................ 71,251
--------------
TOTAL ASSETS .......................... 260,104,196
--------------
LIABILITIES:
Payable for:
Shares of beneficial interest
repurchased ............................ 1,142,770
Dividends to shareholders ............. 77,974
Investment management fee ............. 77,697
Plan of distribution fee .............. 77,697
Accrued expenses ........................ 90,790
--------------
TOTAL LIABILITIES ..................... 1,466,928
--------------
NET ASSETS:
Paid-in-capital ......................... 277,185,866
Net unrealized depreciation ............. (904,787)
Accumulated undistributed net investment
income ................................. 276,397
Accumulated net realized loss ........... (17,920,208)
--------------
NET ASSETS ............................ $258,637,268
==============
NET ASSET VALUE PER SHARE,
26,278,463 shares outstanding
(unlimited shares authorized of $.01
par value) ............................. $ 9.84
==============
</TABLE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED MAY 31, 1996
<TABLE>
<CAPTION>
<S> <C>
NET INVESTMENT INCOME:
INTEREST INCOME .................. $17,101,746
-------------
EXPENSES
Investment management fee ........ 970,394
Plan of distribution fee ......... 959,304
Transfer agent fees and expenses 145,517
Registration fees ................ 57,961
Professional fees ................ 54,545
Trustees' fees and expenses ..... 42,915
Shareholder reports and notices . 33,196
Organizational expenses .......... 27,011
Custodian fees ................... 18,141
Other ............................ 13,901
-------------
TOTAL EXPENSES ................. 2,322,885
-------------
NET INVESTMENT INCOME .......... 14,778,861
-------------
NET REALIZED AND UNREALIZED LOSS:
Net realized loss ................ (87,549)
Net change in unrealized
appreciation/depreciation ....... (3,742,190)
-------------
NET LOSS ....................... (3,829,739)
-------------
NET INCREASE ..................... $10,949,122
=============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
FINANCIAL STATEMENTS, continued
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR
ENDED MAY 31, ENDED
1996 MAY 31, 1995
- ----------------------------------------------------- -------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income ................................ $ 14,778,861 $ 18,848,815
Net realized loss .................................... (87,549) (15,967,802)
Net change in unrealized appreciation/depreciation .. (3,742,190) 16,077,178
-------------- ------------------
NET INCREASE ....................................... 10,949,122 18,958,191
Dividends from net investment income ................. (14,943,028) (18,580,804)
Net decrease from transactions in shares of
beneficial interest ................................. (10,553,025) (243,210,264)
-------------- ------------------
TOTAL DECREASE ..................................... (14,546,931) (242,832,877)
NET ASSETS:
Beginning of period .................................. 273,184,199 516,017,076
-------------- ------------------
END OF PERIOD ......................................
(Including undistributed net investment income of
$276,397 and $440,564, respectively) ............... $258,637,268 $ 273,184,199
============== ==================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1996
1. Organization and Accounting Policies
Dean Witter Short-Term U.S. Treasury Trust (the "Fund") is registered under
the Investment Company Act of 1940, as amended (the "Act"), as a diversified,
open-end management investment company. The Fund's investment objective is
current income, preservation of principal and liquidity. The Fund seeks to
achieve its objective by investing its assets in U.S. Treasury securities
backed by the full faith and credit of the U.S. Government. The Fund was
organized as a Massachusetts business trust on June 4, 1991 and commenced
operations on August 13, 1991.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts and disclosures. Actual results could differ
from those estimates. The following is a summary of significant accounting
policies:
A. VALUATION OF INVESTMENTS -- (1) portfolio securities for which
over-the-counter market quotations are readily available are valued at the
latest available bid price prior to the time of valuation; (2) when market
quotations are not readily available, portfolio securities are valued at
their fair value as determined in good faith under procedures established by
and under the general supervision of the Trustees (valuation of debt
securities for which market quotations are not readily available may be based
upon current market prices of securities which are comparable in coupon,
rating and maturity or an appropriate matrix utilizing similar factors); and
(3) short-term debt securities having a maturity date of more than sixty days
at time of purchase are valued on a mark-to-market basis until sixty days
prior to maturity and thereafter at amortized cost based on their value on
the 61st day. Short-term debt securities having a maturity date of sixty days
or less at the time of purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on
the trade date (date the order to buy or sell is executed). Realized gains
and losses on security transactions are determined by the identified cost
method. Discounts are accreted over the life of the respective securities.
Interest income is accrued daily.
C. FEDERAL INCOME TAX STATUS -- It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income to its shareholders.
Accordingly, no federal income tax provision is required.
D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund records dividends
and distributions to its shareholders on the ex-dividend date. The amount of
dividends and distributions from net investment income and net realized
capital gains are determined in accordance with federal income tax
regulations
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1996, continued
which may differ from generally accepted accounting principles. These
"book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the capital accounts based on their federal tax-basis
treatment; temporary differences do not require reclassification. Dividends
and distributions which exceed net investment income and net realized capital
gains for financial reporting purposes but not for tax purposes are reported
as dividends in excess of net investment income or distributions in excess of
net realized capital gains. To the extent they exceed net investment income
and net realized capital gains for tax purposes, they are reported as
distributions of paid-in-capital.
E. ORGANIZATIONAL EXPENSES -- Dean Witter InterCapital Inc. (the "Investment
Manager") paid the organizational expenses of the Fund in the amount of
approximately $135,000 which have been reimbursed for the full amount
thereof. Such expenses have been deferred and are being amortized on the
straight-line method over a period not to exceed five years from the
commencement of operations.
2. INVESTMENT MANAGEMENT AGREEMENT
Pursuant to an Investment Management Agreement with the Investment Manager,
the Fund pays the Investment Manager a management fee, accrued daily and
payable monthly, by applying the annual rate of 0.35% to the net assets of
the Fund determined as of the close of each business day.
Under the terms of the Agreement, in addition to managing the Fund's
investments, the Investment Manager maintains certain of the Fund's books and
records and furnishes, at its own expense, office space, facilities,
equipment, clerical, bookkeeping and certain legal services and pays the
salaries of all personnel, including officers of the Fund who are employees
of the Manager. The Investment Manager also bears the cost of telephone
services, heat, light, power and other utilities provided to the Fund.
3. PLAN OF DISTRIBUTION
Dean Witter Distributors Inc. (the "Distributor"), an affiliate of the
Investment Manager, is the distributor of the Fund's shares and, in
accordance with a Plan of Distribution (the "Plan") pursuant to Rule 12b-1
under the Act, finances certain expenses in connection with the distribution
of shares of the Fund.
Under the Plan, the Distributor bears the expense of all promotional and
distribution related activities on behalf of the Fund, except for expenses
that the Trustees determine to reimburse, as described below. The following
activities and services may be provided by the Distributor under the Plan:
(1) compensation to, and expenses of, account executives of Dean Witter
Reynolds Inc., an affiliate of the Investment Manager and Distributor, other
employees and selected broker-dealers; (2) sales incentives and bonuses to
sales representatives and to marketing personnel in connection with promoting
sales of the Fund's shares;
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1996, continued
(3) expenses incurred in connection with promoting sales of the Fund's
shares; (4) preparing and distributing sales literature; and (5) providing
advertising and promotional activities, including direct mail solicitation
and television, radio, newspaper, magazine and other media advertisements.
The Fund is authorized to reimburse the Distributor for specific expenses the
Distributor incurs or plans to incur in promoting the distribution of the
Fund's shares. The amount of each monthly reimbursement payment may in no
event exceed an amount equal to a payment at the annual rate of 0.35% of the
Fund's average daily net assets during the month. For the year ended May 31,
1996, the distribution fee was accrued at the annual rate of 0.35%.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
The cost of purchases and proceeds from sales/maturities of portfolio
securities for the year ended
May 31, 1996 aggregated $170,238,532 and $181,222,211, respectively.
Dean Witter Trust Company, an affiliate of the Investment Manager and
Distributor, is the Fund's transfer agent. At May 31, 1996, the Fund had
transfer agent fees and expenses payable of approximately $12,900.
The Fund has an unfunded noncontributory defined benefit pension plan
covering all independent Trustees of the Fund who will have served as
independent Trustees for at least five years at the time of retirement.
Benefits under this plan are based on years of service and compensation
during the last five years of service. Aggregate pension costs for the year
ended May 31, 1996 included in Trustees' fees and expenses in the Statement
of Operations amounted to $24,133. At May 31, 1996, the Fund had an
accrued pension liability of $34,659 which is included in accrued expenses in
the Statement of Assets and Liabilities.
5. FEDERAL INCOME TAX STATUS
At May 31, 1996, the Fund had a net capital loss carryover of approximately
$17,778,000 of which $11,507,000 will be available through May 31, 2003 and
$6,271,000 will be available through May 31, 2004 to offset future capital
gains to the extent provided by regulations. To the extent that this
carryover loss is used to offset future capital gains, it is probable that
the gains to offset will not be distributed to shareholders.
Capital losses incurred after October 31 ("post-October losses") within the
taxable year are deemed to arise on the first business day of the Fund's next
taxable year. The Fund incurred and will elect to defer net capital losses of
approximately $142,000 during fiscal 1996. As of May 31, 1996, the Fund had
temporary book/tax differences primarily attributable to post-October losses.
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1996, continued
6. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE YEAR ENDED FOR THE YEAR ENDED
MAY 31, 1996 MAY 31, 1995
------------------------------- -------------------------------
SHARES AMOUNT SHARES AMOUNT
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
Shares sold 34,443,060 $ 344,385,684 13,555,042 $ 133,430,704
Shares issued in reinvestment of dividends 1,214,559 12,124,758 1,536,708 15,079,568
-------------- --------------- -------------- ---------------
35,657,619 356,510,442 15,091,750 148,510,272
Shares repurchased (36,751,484) (367,063,467) (39,933,119) (391,720,536)
-------------- --------------- -------------- ---------------
Net decrease (1,093,865) $ (10,553,025) (24,841,369) $(243,210,264)
============== =============== ============== ===============
</TABLE>
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED MAY 31 AUGUST 13, 1991*
---------------------------------------------- THROUGH
1996 1995 1994 1993 MAY 31, 1992
- ---------------------------------------- ---------- ---------- ---------- ---------- ----------------
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value,
beginning of period ................... $ 9.98 $ 9.88 $10.34 $10.21 $ 10.00
---------- ---------- ---------- ---------- ----------------
Net investment income ................... 0.54 0.49 0.49 0.54 0.44
Net realized and unrealized gain (loss) (0.14) 0.10 (0.45) 0.13 0.20
---------- ---------- ---------- ---------- ----------------
Total from investment operations ....... 0.40 0.59 0.04 0.67 0.64
---------- ---------- ---------- ---------- ----------------
Less dividends and distributions from:
Net investment income .................. (0.54) (0.49) (0.50) (0.53) (0.43)
Net realized gain ...................... -- -- -- (0.01) --
---------- ---------- ---------- ---------- ----------------
Total dividends and distributions ...... (0.54) (0.49) (0.50) (0.54) (0.43)
---------- ---------- ---------- ---------- ----------------
Net asset value, end of period .......... $ 9.84 $ 9.98 $ 9.88 $10.34 $ 10.21
========== ========== ========== ========== ================
TOTAL INVESTMENT RETURN+ ................ 4.09% 6.22% 0.25% 6.75% 6.55%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses ................................ 0.84% 0.84% 0.79% 0.80% 0.79%(2)(3)
Net investment income ................... 5.33% 4.93% 4.74% 5.18% 5.49%(2)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $258,637 $273,184 $516,017 $584,206 $523,555
Portfolio turnover rate ................. 63% 30% 49% 21% 12%(1)
</TABLE>
- ------------
* Commencement of operations.
+ Calculated based on the net asset value as of the last business day of
the period.
(1) Not annualized.
(2) Annualized.
(3) If the Fund had borne all expenses that were assumed or waived by the
Investment Manager, the above annualized expense ratio would have been
0.81%.
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND TRUSTEES
OF DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
In our opinion, the accompanying statement of assets and liabilities,
including the portfolio 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 Dean Witter
Short-Term U.S. Treasury Trust (the "Fund") at May 31, 1996, the results of
its operations for the year then ended, the changes in its net assets for
each of the two years in the period then ended and the financial highlights
for each of the four years in the period then ended and for the period August
13, 1991 (commencement of operations) through May 31, 1992, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are
the responsibility of the 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 May 31,
1996 by correspondence with the custodian, provide a reasonable basis for the
opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York 10036
July 10, 1996
<PAGE>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
John R. Haire
Dr. Manuel H. Johnson
Michael E. Nugent
Philip J. Purcell
John L. Schroeder
OFFICERS
Charles A. Fiumefreddo
Chairman and Chief Executive Officer
Sheldon Curtis
Vice President, Secretary and General Counsel
Rajesh K. Gupta
Vice President
Thomas F. Caloia
Treasurer
TRANSFER AGENT
Dean Witter Trust Company
Harborside Financial Center -Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
1177 Avenue of the Americas
New York, New York 10036
INVESTMENT MANAGER
Dean Witter InterCapital Inc.
Two World Trade Center
New York, New York 10048
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its officers and
trustees, fees, expenses and other pertinent information, please see the
prospectus
of the Fund.
This report is not authorized for distribution to prospective investors
in the Fund unless preceded or accompanied by an effective prospectus.
DEAN WITTER
SHORT-TERM
U.S. TREASURY
TRUST
ANNUAL REPORT
MAY 31, 1996
