<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST Two World Trade Center, New York,
New York 10048
LETTER TO THE SHAREHOLDERS November 30, 1996
DEAR SHAREHOLDER:
During the six-month period ended November 30, 1996, interest rates on
short-and intermediate-term U.S. Treasury securities were highly volatile.
With consumer demand stimulating the economy, as retail sales and housing
starts soared, interest rates rose early. This is because inventory
liquidation, combined with strong employment data, caused concern about a
quickly rebounding economy, and possibly an inflation surge. However, by
early September 1996, interest rates began to decline as evidence of a
moderating economy began to surface. On November 30, 1996, the two-year U.S.
Treasury note was yielding 5.58 percent compared to 6.05 percent six months
ago.
PERFORMANCE AND PORTFOLIO STRATEGY
Against this backdrop, Dean Witter Short-Term U.S. Treasury Trust produced a
total return of 4.39 percent for the six month period ended November 30,
1996. During this period, the Fund's net asset value increased from $9.84 per
share on May 31, 1996, to $10.00 per share on November 30, 1996, while the
Fund declared income dividends totaling approximately $0.27 per share. On
November 30, 1996, the Fund's net assets exceeded $266 million.
The Fund maintains a diversified investment strategy across the maturity
spectrum, often out to a maximum of five years. By the end of November, the
average-weighted maturity of the Fund's portfolio was extended to
approximately 2.9 years. The Fund, whose income is free from state and local
taxes in all 50 states and the District of Columbia, continues to offer
investors an attractive alternative to other short-term investments.
LOOKING AHEAD
We expect the U.S. economy to maintain a slow-to-moderate pace for 1997.
Before taking overt action to slow the economy, the Federal Reserve Board
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
LETTER TO THE SHAREHOLDERS November 30, 1996, continued
is likely to look for sustained confirmation of rising inflation and a strong
economy. Inflation in 1997 should continue to remain subdued albeit at a
slightly higher level than 1996.
We appreciate your support of Dean Witter Short-Term U.S. Treasury Trust and
look forward to continuing to serve your investment needs and objectives.
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 November 30, 1996 (unaudited)
<TABLE>
<CAPTION>
PRINCIPAL DESCRIPTION
AMOUNT IN AND COUPON
THOUSANDS MATURITY DATE RATE VALUE
----------- ---------------------------------------------------------------- ------------- -------------
<S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (99.3%)
U.S. Treasury Notes (88.0%)
$ 5,900 10/31/00 ..................................................... 5.75 % $ 5,894,041
7,100 10/31/98 ..................................................... 5.875 7,134,364
9,600 11/15/99 ..................................................... 5.875 9,645,792
5,000 06/30/00 ..................................................... 5.875 5,019,100
1,000 11/30/01 ..................................................... 5.875 1,001,630
8,800 09/30/98 ..................................................... 6.00 8,863,888
13,000 08/15/99 ..................................................... 6.00 13,107,380
3,000 05/15/98 ..................................................... 6.125 3,024,660
6,000 07/31/00 ..................................................... 6.125 6,071,280
15,500 05/31/00 ..................................................... 6.25 15,741,180
22,000 04/30/01 ..................................................... 6.25 22,376,200
18,000 10/31/01 ..................................................... 6.25 18,309,060
10,000 06/30/97 ..................................................... 6.375 10,061,400
37,000 05/15/99 ..................................................... 6.375 37,600,880
20,000 01/15/00 ..................................................... 6.375 20,388,400
16,000 05/31/97 ..................................................... 6.75 16,107,680
8,000 04/30/00 ..................................................... 6.75 8,244,480
20,000 02/29/00 ..................................................... 7.125 20,813,400
5,000 02/15/98 ..................................................... 7.25 5,099,500
-------------
234,504,315
-------------
U.S. Treasury Strips (11.3%)
23,600 05/15/99 (Coupon) ............................................. 0.00 20,587,224
12,000 08/15/00 (Principal) .......................................... 0.00 9,713,880
-------------
30,301,104
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Identified Cost $261,322,644) (a) .............................. 99.3% 264,805,419
CASH AND OTHER ASSETS IN EXCESS OF
LIABILITIES .................................................... 0.7 1,805,868
----- -------------
NET ASSETS ........................................................ 100.0% $266,611,287
===== =============
</TABLE>
- ------------
(a) The aggregate cost for federal income tax purposes approximates
identified cost. The aggregate gross unrealized appreciation is
$3,664,343 and the aggregate gross unrealized depreciation is $181,568,
resulting in net unrealized appreciation of $3,482,775.
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments in securities, at value
(identified cost $261,322,644) ...................................... $264,805,419
Cash ................................................................. 10,880
Receivable for:
Interest ........................................................... 3,273,983
Shares of beneficial interest sold ................................. 13,375
Prepaid expenses ..................................................... 90,070
--------------
TOTAL ASSETS ....................................................... 268,193,727
--------------
LIABILITIES:
Payable for:
Investments purchased .............................................. 999,063
Shares of beneficial interest repurchased .......................... 234,890
Dividends to shareholders .......................................... 116,183
Plan of distribution fee ........................................... 77,438
Investment management fee .......................................... 77,438
Accrued expenses and other payables .................................. 77,428
--------------
TOTAL LIABILITIES ................................................. 1,582,440
--------------
NET ASSETS:
Paid-in-capital ..................................................... 280,923,042
Net unrealized appreciation ......................................... 3,482,775
Accumulated undistributed net investment income ..................... 263,765
Accumulated net realized loss ....................................... (18,058,295)
--------------
NET ASSETS ........................................................ $266,611,287
==============
NET ASSET VALUE PER SHARE,
26,653,935 shares outstanding (unlimited shares authorized of $.01
par value) .......................................................... $ 10.00
==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
FINANCIAL STATEMENTS, continued
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C>
NET INVESTMENT INCOME:
INTEREST INCOME ........................ $ 7,963,244
------------
EXPENSES
Plan of distribution fee ............... 448,268
Investment management fee .............. 448,268
Transfer agent fees and expenses ...... 65,189
Registration fees ...................... 40,417
Professional fees ...................... 19,062
Shareholder reports and notices ....... 18,596
Trustees' fees and expenses ............ 11,421
Organizational expenses ................ 6,642
Custodian fees ......................... 6,384
Servicing fees ......................... 3,595
Other .................................. 4,675
------------
TOTAL EXPENSES ....................... 1,072,517
------------
NET INVESTMENT INCOME ................ 6,890,727
------------
NET REALIZED AND UNREALIZED GAIN
(LOSS):
Net realized loss ...................... (138,087)
Net change in unrealized depreciation . 4,387,562
------------
NET GAIN ............................. 4,249,475
------------
NET INCREASE ........................... $11,140,202
============
</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 SIX FOR THE YEAR
MONTHS ENDED ENDED
NOVEMBER 30, 1996 MAY 31, 1996
- ------------------------------------------------------ ----------------- --------------
<S> <C> <C>
(unaudited)
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income ................................. $ 6,890,727 $ 14,778,861
Net realized loss ..................................... (138,087) (87,549)
Net change in unrealized appreciation/depreciation ... 4,387,562 (3,742,190)
----------------- --------------
NET INCREASE ........................................ 11,140,202 10,949,122
Dividends from net investment income .................. (6,903,359) (14,943,028)
Net increase (decrease) from transactions in shares of
beneficial interest .................................. 3,737,176 (10,553,025)
----------------- --------------
NET INCREASE (DECREASE) ............................. 7,974,019 (14,546,931)
NET ASSETS:
Beginning of period ................................... 258,637,268 273,184,199
----------------- --------------
END OF PERIOD
(Including undistributed net investment income of
$263,765 and $276,397, respectively) ................ $266,611,287 $258,637,268
================= ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS November 30, 1996 (unaudited)
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, including circumstances under which it
is determined by the Investment Manager that sale or bid prices are not
reflective of a security's market value, 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.
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS November 30, 1996 (unaudited) continued
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 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 were fully amortized as of August 12, 1996.
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,
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS November 30, 1996 (unaudited) continued
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;
(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 six months ended
November 30, 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 six months ended November 30, 1996 aggregated $215,332,530
and $227,766,115, respectively.
Dean Witter Trust Company, an affiliate of the Investment Manager and
Distributor, is the Fund's transfer agent. At November 30, 1996, the Fund had
transfer agent fees and expenses payable of approximately $15,090.
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 six
months ended November 30, 1996 included in Trustees' fees and expenses in the
Statement of Operations amounted to $2,896. At November 30, 1996, the Fund
had an accrued pension liability of $36,457 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 is 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.
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 such
<PAGE>
DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS November 30, 1996 (unaudited) continued
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.
6. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
NOVEMBER 30, 1996 MAY 31, 1996
------------------------------- -------------------------------
(UNAUDITED)
SHARES AMOUNT SHARES AMOUNT
-------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
Shares sold ................................ 12,164,500 $ 120,197,020 34,443,060 $ 344,385,684
Shares issued in reinvestment of dividends 559,178 5,525,620 1,214,559 12,124,758
-------------- --------------- -------------- ---------------
12,723,678 125,722,640 35,657,619 356,510,442
Shares repurchased ......................... (12,348,206) (121,985,464) (36,751,484) (367,063,467)
-------------- --------------- -------------- ---------------
Net increase (decrease) .................... 375,472 $ 3,737,176 (1,093,865) $ (10,553,025)
============== =============== ============== ===============
</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 SIX FOR THE YEAR ENDED MAY 31 AUGUST 13, 1991*
MONTHS ENDED THROUGH
NOVEMBER 30, 1996 1996 1995 1994 1993 MAY 31, 1992
- ---------------------------------------------------------- ------------ ------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
(unaudited)
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period .. $ 9.84 $ 9.98 $ 9.88 $10.34 $10.21 $ 10.00
----------------- ------------ ------------- ------------ ------------ ----------
Net investment income .................. 0.28 0.54 0.49 0.49 0.54 0.44
Net realized and unrealized gain (loss) 0.15 (0.14) 0.10 (0.45) 0.13 0.20
----------------- ------------ ------------- ------------ ------------ ----------
Total from investment operations ...... 0.43 0.40 0.59 0.04 0.67 0.64
----------------- ------------ ------------- ------------ ------------ ----------
Less dividends and distributions from:
Net investment income ................. (0.27) (0.54) (0.49) (0.50) (0.53) (0.43)
Net realized gain ..................... -- -- -- -- (0.01) --
----------------- ------------ ------------- ------------ ------------ ----------
Total dividends and distributions ..... (0.27) (0.54) (0.49) (0.50) (0.54) (0.43)
----------------- ------------ ------------- ------------ ------------ ----------
Net asset value, end of period ......... $10.00 $ 9.84 $ 9.98 $ 9.88 $10.34 $ 10.21
================= ============ ============= ============ ============ ==========
TOTAL INVESTMENT RETURN+ ............... 4.39%(1) 4.09% 6.22% 0.25% 6.75% 6.55%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses ............................... 0.84%(2) 0.84% 0.84% 0.79% 0.80% 0.79%(2)(3)
Net investment income .................. 5.38%(2) 5.33% 4.93% 4.74% 5.18% 5.49%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands $266,611 $258,637 $273,184 $516,017 $584,206 $523,555
Portfolio turnover rate ................ 88%(1) 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 and net investment
income ratios would have been 0.81% and 5.47%, respectively.
SEE NOTES TO FINANCIAL STATEMENTS
<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
The financial statements included herein have been taken from the records
of the Fund without examination by the independent accountants and
accordingly they do not express an opinion thereon.
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
SEMIANNUAL REPORT
NOVEMBER 30, 1996