<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
Two World Trade Center, New York, New York 10048
LETTER TO THE SHAREHOLDERS May 31, 1998
DEAR SHAREHOLDER:
During the twelve months ended May 31, 1998, the U.S. economy exhibited healthy
growth and benign inflation. However, the Federal Reserve Board expressed
concern over the possibility of a resurgence in inflation due to the continued
strength of the economy and employment growth. This did not materialize, and as
a result the Fed left rates unchanged.
Interest rates on short-term U.S. Treasury securities over the past year were
volatile, with yields on two-year notes ranging between 5.16 percent and 6.21
percent. At the end of the period, the two-year note was yielding 5.52 percent.
PERFORMANCE
Morgan Stanley Dean Witter Short-Term U.S. Treasury Trust's total return for
the fiscal year ended May 31, 1998, was 6.68 percent compared to 6.60 percent
for the Lipper Analytical Services, Inc. Short U.S. Treasury Funds Average and
6.97 percent for the Lehman Brothers 1-3 Year Government Bond Index.
The accompanying chart illustrates the performance of a hypothetical $10,000
investment in the Fund from inception (August 13, 1991), through the fiscal
year ended May 31, 1998, versus similar investments in the issues that comprise
the Lehman Brothers and Lipper Indexes. The Fund's performance for the twelve
months ended May 31, 1998 was enhanced by the generally lower interest rate
environment. On May 31, 1998, the Fund had net assets in excess of $241
million.
THE PORTFOLIO
The Fund maintains a diversified investment strategy across the maturity
spectrum, often to a maximum of five years. In response to the positive
economic environment, continuing turmoil in Asia and a low inflationary
outlook, the Fund's weighted average maturity was increased to its current
level of approximately 2.8 years. The average maturity of the Fund may be
further extended slightly in the months ahead as conditions warrant.
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
LETTER TO THE SHAREHOLDERS May 31, 1998, continued
We continue to believe that the Fund, whose income is free from state and local
taxes in all 50 states and the District of Columbia, offers investors an
attractive alternative to other short-term investments.
LOOKING AHEAD
During the winter of 1997-98, the turmoil in the Southeast Asian financial
markets brought an investor flight to quality in U.S. Treasuries and the U.S.
dollar. As the crisis in Southeast Asia continues to unfold, we believe that
the deflationary trend of that area's economies could be beneficial to holding
inflation in check in the United States, although there can be no assurance
what the outcome will be.
We expect that the U.S. economy is likely to maintain a healthy, albeit slowing
pace for the remainder of the year. However, should inordinately strong
economic growth give rise to inflationary pressures, the Federal Reserve may
need to reassess its current monetary policy.
We appreciate your ongoing support of Morgan Stanley Dean Witter Short-Term
U.S. Treasury Trust and look forward to continuing to serve your investment
objectives in the months and years to come.
Very truly yours,
/s/ CHARLES A. FIUMEFREDDO
CHARLES A. FIUMEFREDDO
Chairman of the Board
DEAN WITTER SHORT TERM U.S. TREASURY TRUST
GROWTH OF $10,000
Date Total LEHMAN* Lipper*
-----------------------------------------------------------------------
August 13, 1991 $10,000 $10,000 $10,000
-----------------------------------------------------------------------
May 31, 1992 $10,655 $10,684 $10,698
-----------------------------------------------------------------------
May 31, 1993 $11,373 $11,413 $11,507
-----------------------------------------------------------------------
May 31, 1994 $11,401 $11,644 $11,691
-----------------------------------------------------------------------
May 31, 1995 $12,110 $12,501 $12,524
-----------------------------------------------------------------------
May 31, 1996 $12,606 $13,161 $13,092
-----------------------------------------------------------------------
May 31, 1997 $13,315 $14,031 $13,866
-----------------------------------------------------------------------
May 31, 1998 $14,205(2) $15,008 $14,781
-----------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
1 Year 5 Years 10 Years Since Inception
------- ------- -------- ---------------
6.68(1) 4.55(1) N/A 5.30(1)
---- Fund ----Lehman(3) ----Lipper(4)
Past performance is not predictive of future returns
- ---------------
1.) Figure assumes reinvestment of all distributions. There is no sales charge.
2.) Closing value assuming a complete redemption on May 31, 1998.
3.) The Lehman Brothers 1-3 year Government Bond Index is a sub-index of the
Lehman Brothers Government Bond Index and is comprised of Agency and
Treasury securities with maturities of one to three years. The index does
not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
4.) The Lipper Short U.S. Treasury Fund Average tracks the performance of all
funds which invest at least 65% of their assets in U.S. Treasury bills,
notes, and bonds with dollar-weighted average maturities of less than
three years.
* Since 8/31/91.
2
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
PORTFOLIO OF INVESTMENTS May 31, 1998
<TABLE>
<CAPTION>
PRINICIPAL DESCRIPTION
AMOUNT IN AND COUPON
THOUSANDS MATURITY DATE RATE VALUE
- ----------- ----------------------------------------------- ---------- ---------------
<S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (99.3%)
U.S. Treasury Notes (82.3%)
$ 1,900 03/31/00 ...................................... 5.50% $ 1,898,613
400 02/28/01 ...................................... 5.625 400,684
3,300 11/15/00 ...................................... 5.75 3,314,520
12,600 10/31/02 ...................................... 5.75 12,667,536
19,000 11/30/02 ...................................... 5.75 19,100,320
800 09/30/98 ...................................... 6.00 801,704
9,400 06/30/99 ...................................... 6.00 9,450,102
14,700 07/31/02 ...................................... 6.00 14,911,386
26,930 09/30/00 ...................................... 6.125 27,264,471
17,100 12/31/01 ...................................... 6.125 17,387,793
1,750 07/31/98 ...................................... 6.25 1,753,377
1,000 03/31/99 ...................................... 6.25 1,006,060
13,500 04/30/01 ...................................... 6.25 13,742,055
18,000 10/31/01 ...................................... 6.25 18,361,800
3,500 02/28/02 ...................................... 6.25 3,574,970
2,200 06/30/02 ...................................... 6.25 2,250,072
10,000 05/15/99 ...................................... 6.375 10,074,900
1,600 01/15/00 ...................................... 6.375 1,619,824
8,000 04/30/00 ...................................... 6.75 8,171,040
20,000 02/29/00 ...................................... 7.125 20,513,400
10,000 07/15/98 ...................................... 8.25 10,038,500
------------
198,303,127
------------
U.S. Treasury Strips (17.0%)
25,600 05/15/99 (Coupon) ............................. 0.00 24,302,080
1,100 08/15/00 (Principal) .......................... 0.00 974,897
6,100 11/15/01 (Principal) .......................... 0.00 5,041,345
13,000 02/15/02 (Principal) .......................... 0.00 10,605,920
------------
40,924,242
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Identified Cost $236,713,024) (a)............. 99.3 % 239,227,369
OTHER ASSETS IN EXCESS OF LIABLITIES .......... 0.7 1,797,171
------- ------------
NET ASSETS .................................... 100.0 % $241,024,540
------- ============
</TABLE>
- ---------------------
(a) The aggregate cost for federal income tax purposes approximates
identified cost. The aggregate gross unrealized appreciation is
$3,558,734 and the aggregate gross unrealized depreciation is
$1,044,389, resulting in net unrealized appreciation of $2,514,345.
SEE NOTES TO FINANCIAL STATEMENTS
3
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
May 31, 1998
<TABLE>
<CAPTION>
ASSETS:
<S> <C>
Investments in securities, at value
(identified cost $236,713,024) ............... $239,227,369
Receivable for:
Interest ................................... 3,022,057
Shares of beneficial interest sold ......... 2,331,376
Prepaid expenses and other assets ............... 37,843
-------------
TOTAL ASSETS ............................... 244,618,645
-------------
LIABILITIES:
Payable for:
Shares of beneficial interest
repurchased ............................. 3,208,007
Plan of distribution fee ................... 71,331
Investment management fee .................. 71,331
Dividends to shareholders .................. 70,555
Accrued expenses and other payables ............. 172,881
-------------
TOTAL LIABILITIES .......................... 3,594,105
-------------
NET ASSETS ................................. $241,024,540
=============
COMPOSITION OF NET ASSETS:
Paid-in-capital ................................. $256,769,712
Net unrealized appreciation ..................... 2,514,345
Accumulated undistributed net investment
income ....................................... 205,261
Accumulated net realized loss ................... (18,464,778)
-------------
NET ASSETS ................................. $241,024,540
=============
NET ASSET VALUE PER SHARE,
24,192,405 shares outstanding (unlimited
shares authorized of $.01 par value).......... $ 9.96
=============
</TABLE>
<TABLE>
<CAPTION>
NET INVESTMENT INCOME:
<S> <C>
INTEREST INCOME ............................... $14,715,707
-----------
EXPENSES
Investment management fee ..................... 841,955
Plan of distribution fee ...................... 827,872
Transfer agent fees and expenses .............. 113,907
Registration fees ............................. 64,175
Professional fees ............................. 44,016
Shareholder reports and notices ............... 40,837
Trustees' fees and expenses ................... 16,417
Custodian fees ................................ 8,333
Other ......................................... 12,948
-----------
TOTAL EXPENSES ............................ 1,970,460
-----------
NET INVESTMENT INCOME ..................... 12,745,247
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized loss ............................. (250,683)
Net change in unrealized depreciation ......... 3,306,205
-----------
NET GAIN .................................. 3,055,522
-----------
NET INCREASE .................................. $15,800,769
===========
</TABLE>
STATEMENT OF OPERATIONS
For the year ended May 31, 1998
SEE NOTES TO FINANCIAL STATEMENTS
4
<PAGE>
MORGAN STANLEY 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 ENDED
MAY 31, 1998 MAY 31, 1997
---------------- ---------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income ................................ $ 12,745,247 $ 13,978,300
Net realized loss .................................... (250,683) (293,887)
Net change in unrealized depreciation ................ 3,306,205 112,927
------------- -------------
NET INCREASE ...................................... 15,800,769 13,797,340
Dividends from net investment income ................. (12,934,573) (13,860,110)
Net increase (decrease) from transactions in shares of
beneficial interest ................................ 7,891,155 (28,307,309)
------------- -------------
NET INCREASE (DECREASE) ........................... 10,757,351 (28,370,079)
NET ASSETS:
Beginning of period .................................. 230,267,189 258,637,268
------------- -------------
END OF PERIOD
(Including undistributed net investment income of
$205,261 and $394,587, respectively) .............. $ 241,024,540 $ 230,267,189
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
5
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1998
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley 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.
Effective June 22, 1998, the following entities have changed their name:
<TABLE>
<CAPTION>
OLD NAME NEW NAME
- -------------------------------------------- ----------------------------------------------------------
<S> <C>
Dean Witter Short-Term U.S. Treasury Trust Morgan Stanley Dean Witter Short-Term U.S. Treasury Trust
Dean Witter InterCapital Inc. Morgan Stanley Dean Witter Advisors Inc.
Dean Witter Distributors Inc. Morgan Stanley Dean Witter Distributors Inc.
</TABLE>
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 Morgan Stanley Dean Witter Advisors Inc. (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.
6
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1998, continued
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 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.
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
Morgan Stanley 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
7
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1998, continued
following activities and services may be provided by the Distributor under the
Plan: (1) compensation to, and expenses of, Morgan Stanley Dean Witter
Financial Advisors, 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 year ended May 31, 1998, the
distribution fee was accrued at the annual rate of 0.34%.
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, 1998 aggregated $211,152,327 and
$219,696,301, respectively.
Morgan Stanley Dean Witter Trust FSB, an affiliate of the Investment Manager
and Distributor, is the Fund's transfer agent. At May 31, 1998, the Fund had
transfer agent fees and expenses payable of approximately $4,200.
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, 1998 included in
Trustees' fees and expenses in the Statement of Operations amounted to $2,990.
At May 31, 1998, the Fund had an accrued pension liability of $38,431 which is
included in accrued expenses in the Statement of Assets and Liabilities.
8
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
NOTES TO FINANCIAL STATEMENTS May 31, 1998, continued
5. SHARES OF BENEFICIAL INTEREST
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR
ENDED ENDED
MAY 31, 1998 MAY 31, 1997
---------------------------------- ----------------------------------
SHARES AMOUNT SHARES AMOUNT
---------------- ----------------- ---------------- -----------------
<S> <C> <C> <C> <C>
Shares sold ........................................ 28,646,260 $ 285,059,941 25,650,127 $ 253,738,691
Shares issued in reinvestment of dividends ......... 1,058,231 10,524,484 1,132,124 11,170,571
---------- -------------- ---------- --------------
29,704,491 295,584,425 26,782,251 264,909,262
Shares repurchased ................................. (28,891,924) (287,693,270) (29,680,876) (293,216,571)
----------- -------------- ----------- --------------
Net increase (decrease) ............................ 812,567 $ 7,891,155 (2,898,625) $ (28,307,309)
=========== ============== =========== ==============
</TABLE>
6. FEDERAL INCOME TAX STATUS
At May 31, 1998, the Fund had a net capital loss carryover of approximately
$18,356,000, which may be used to offset future capital gains to the extent
provided by regulations, which is available through May 31 of the following
years:
<TABLE>
<CAPTION>
AMOUNT IN THOUSANDS
- -------------------------------------------
2003 2004 2005 2006
- ------------ --------- ------ -------
<S> <C> <C> <C>
$ 11,507 $6,271 $333 $245
========= ====== ==== ====
</TABLE>
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 $108,000 during fiscal 1998.
As of May 31, 1998, the Fund had temporary book/tax differences primarily
attributable to post-October losses.
7. RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
The Fund may invest a portion of its assets in zero coupon U.S. Treasury
securities. Zero coupon securities are subject to substantially greater market
fluctuations during periods of changing prevailing interest rates than are
comparable debt securities.
9
<PAGE>
MORGAN STANLEY 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 YEAR ENDED MAY 31
--------------------------------------------
1998 1997 1996
-------------- -------------- --------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period ........ $ 9.85 $ 9.84 $ 9.98
--------- --------- ---------
Net investment income ....................... 0.53 0.54 0.54
Net realized and unrealized gain (loss) ..... 0.11 -- (0.14)
--------- ---------- ----------
Total from investment operations ............ 0.64 0.54 0.40
--------- ---------- ----------
Less dividends and distributions from:
Net investment income ...................... (0.53) (0.53) (0.54)
Net realized gain .......................... -- -- --
---------- ---------- ----------
Total dividends and distributions ........... (0.53) (0.53) (0.54)
---------- ---------- ----------
Net asset value, end of period .............. $ 9.96 $ 9.85 $ 9.84
========== ========== ==========
TOTAL INVESTMENT RETURN+ .................... 6.68% 5.63% 4.09%
RATIOS TO AVERAGE NET ASSETS:
Expenses .................................... 0.82% 0.83% 0.84%
Net investment income ....................... 5.30% 5.42% 5.33%
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ..... $241,025 $230,267 $258,637
Portfolio turnover rate ..................... 95% 149% 63%
</TABLE>
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE YEAR ENDED MAY 31 AUGUST 13, 1991*
-------------------------------------------- THROUGH
1995 1994 1993 MAY 31, 1992
-------------- -------------- -------------- ----------------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of period ........ $ 9.88 $ 10.34 $ 10.21 $ 10.00
--------- --------- --------- ---------------
Net investment income ....................... 0.49 0.49 0.54 0.44
Net realized and unrealized gain (loss) ..... 0.10 ( 0.45) 0.13 0.20
--------- ---------- --------- ---------------
Total from investment operations ............ 0.59 0.04 0.67 0.64
--------- ---------- --------- ---------------
Less dividends and distributions from:
Net investment income ...................... (0.49) ( 0.50) ( 0.53) ( 0.43)
Net realized gain .......................... -- -- ( 0.01) --
---------- ---------- ---------- ---------------
Total dividends and distributions ........... (0.49) ( 0.50) ( 0.54) ( 0.43)
---------- ---------- ---------- ---------------
Net asset value, end of period .............. $ 9.98 $ 9.88 $ 10.34 $ 10.21
========== ========== ========== ===============
TOTAL INVESTMENT RETURN+ .................... 6.22% 0.25% 6.75% 6.55%(1)
RATIOS TO AVERAGE NET ASSETS:
Expenses .................................... 0.84% 0.79% 0.80% 0.79%(2)(3)
Net investment income ....................... 4.93% 4.74% 5.18% 5.49%(2)(3)
SUPPLEMENTAL DATA:
Net assets, end of period, in thousands ..... $273,184 $516,017 $584,206 $ 523,555
Portfolio turnover rate ..................... 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
10
<PAGE>
MORGAN STANLEY DEAN WITTER SHORT-TERM U.S. TREASURY TRUST
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND TRUSTEES
OF MORGAN STANLEY 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 Morgan Stanley Dean Witter
Short-Term U.S. Treasury Trust (the "Fund"), formerly Dean Witter Short-Term
U.S. Treasury Trust, at May 31, 1998, 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 six 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, 1998 by correspondence with the
custodian, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
July 10, 1998
11
<PAGE>
TRUSTEES
Michael Bozic
Charles A. Fiumefreddo
Edwin J. Garn
John R. Haire
Wayne E. Hedien
Dr. Manuel H. Johnson
Michael E. Nugent
Philip J. Purcell
John L. Schroeder
OFFICERS
Charles A. Fiumefreddo
Chairman and Chief Executive Officer
Barry Fink
Vice President, Secretary and General Counsel
Rajesh K. Gupta
Vice President
Thomas F. Caloia
Treasurer
TRANSFER AGENT
Morgan Stanley Dean Witter Trust FSB
Harborside Financial Center - Plaza Two
Jersey City, New Jersey 07311
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York 10036
INVESTMENT MANAGER
Morgan Stanley Dean Witter Advisors 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.
MORGAN STANLEY
DEAN WITTER
SHORT-TERM
U.S. TREASURY
TRUST
[GRAPHIC]
ANNUAL REPORT
MAY 31, 1998
