STATE AND LOCAL ASSET MANAGEMENT SERIES:
GOVERNMENT MONEY MARKET PORTFOLIO
SEMIANNUAL REPORT
MAY 31, 1994
STATE AND LOCAL ASSET MANAGEMENT SERIES: GOVERNMENT MONEY MARKET PORTFOLIO
INVESTMENTS/MAY 31, 1994 (UNAUDITED)
(Showing Percentage of Total Value of Investments)
ANNUALIZED
YIELD AT
DUE TIME OF PRINCIPAL VALUE MATURITY VALUE
DATE PURCHASE AMOUNT (NOTE 1) AMOUNT (NOTE 1)
U.S. Treasury Obligations - 32.4%
U.S. TREASURY BILLS - 18.0%
6/30/94 3.30% $ 31,000,000 $ 30,920,089
9/29/94 3.92 19,000,000 18,756,215
10/13/94 4.04 11,000,000 10,837,860
10/20/94 3.36 10,000,000 9,871,533
10/20/94 4.16 4,000,000 3,936,158
74,321,855
U.S. TREASURY NOTES - 14.4%
6/30/94 3.72 4,815,000 4,832,935
7/31/94 3.20 4,000,000 4,006,158
8/15/94 3.08 9,000,000 9,171,068
8/15/94 3.78 5,000,000 5,048,947
8/15/94 3.85 7,000,000 7,042,573
8/15/94 4.50 15,000,000 15,069,770
9/30/94 3.22 13,140,000 13,169,286
1/31/95 3.63 1,000,000 1,003,674
59,344,411
TOTAL U.S. TREASURY OBLIGATIONS 133,666,266
Repurchase Agreements - 67.6%
With Goldman, Sachs & Co.:
At 3.82%, dated 3/22/94 due 6/20/94:
(U.S. Treasury Obligations)
(principal amount $23,671,000)
5%, 1/31/99 $ 22,210,100 $ 22,000,000
In a joint trading account
(U.S. Treasury Obligations)
dated 5/31/94, due 6/1/94
(Notes 2 and 3)
At 4.25% 244,028,822 244,000,000
At 4.32% 13,201,585 13,200,000
TOTAL REPURCHASE AGREEMENTS 279,200,000
TOTAL INVESTMENTS - 100% $ 412,866,266
Total Cost for Income Tax Purposes - $412,866,266
INCOME TAX INFORMATION:
At November 30, 1993, the fund had a capital loss carryforward of
approximately $37,400 of which $29,000 and $8,400 will expire on November
30, 1999 and 2001, respectively.
FINANCIAL STATEMENTS
Statement of Assets and Liabilities
DRAFT
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May 31, 1994 (Unaudited)
ASSETS
Investment in securities, at value (including repurchase agreements of $279,200,000) (Notes 1 and 2) - $ 412,866,266
See accompanying schedule
Cash 185
Interest receivable 1,429,947
TOTAL ASSETS 414,296,398
LIABILITIES
Dividends payable $ 80,650
Accrued management fee 153,520
TOTAL LIABILITIES 234,170
NET ASSETS $ 414,062,228
Net Assets consist of:
Paid in capital $ 414,074,477
Accumulated net realized gain (loss) on investments (12,249)
NET ASSETS, for 414,074,477 shares outstanding $ 414,062,228
NET ASSET VALUE, offering price and redemption price per share ($414,062,228 (divided by) 414,074,477 shares) $1.00
</TABLE>
Statement of Operations
DRAFT
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Six Months Ended May 31, 1994 (Unaudited)
INTEREST INCOME $ 7,800,762
EXPENSES
Management fee (Note 4) $ 982,169
Non-interested trustees 2,316
compensation
TOTAL EXPENSES 984,485
NET INTEREST INCOME 6,816,277
NET REALIZED GAIN (LOSS) ON (27,453)
INVESTMENTS (NOTE 1)
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 6,788,824
</TABLE>
Statement of Changes in Net Assets
DRAFT
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SIX MONTHS YEAR
ENDED ENDED
MAY 31, 1994 NOVEMBER 30,
(UNAUDITED) 1993
INCREASE (DECREASE) IN NET ASSETS
Operations $ 6,816,277 $ 23,520,412
Net interest income
Net realized gain (loss) on investments (27,453) (8,438)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 6,788,824 23,511,974
Dividends to shareholders from net interest income (6,816,277) (23,520,412)
Share transactions at net asset value of $1.00 per share 264,016,343 802,949,416
Proceeds from sales of shares
Reinvestment of dividends from net interest income 6,103,803 19,518,253
Cost of shares redeemed (378,908,885) (1,384,543,667)
Net increase (decrease) in net assets and shares resulting from share transactions (108,788,739) (562,075,998)
TOTAL INCREASE (DECREASE) IN NET ASSETS (108,816,192) (562,084,436)
NET ASSETS
Beginning of period 522,878,420 1,084,962,856
End of period $ 414,062,228 $ 522,878,420
</TABLE>
FINANCIAL HIGHLIGHTS
DRAFT
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SIX MONTHS YEARS ENDED NOVEMBER 30,
ENDED
MAY 31, 1994
(UNAUDITED) 1993 1992 1991 1990 1989
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
Income from Investment Operations .015 .028 .037 .058 .078 .088
Net interest income
Less Distributions (.015) (.028) (.037) (.058) (.078) (.088)
From net interest income
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
TOTAL RETURN (dagger) 1.50% 2.82% 3.73% 5.98% 8.09% 9.17%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (000 omitted) $ 414,062 $ 522,878 $ 1,084,963 $ 1,095,483 $ 935,570 $ 1,013,077
Ratio of expenses to average net assets .43%* .43% .43% .43% .43% .43%
Ratio of net interest income to average 2.98%* 2.79% 3.64% 5.81% 7.81% 8.81%
net assets
</TABLE>
* ANNUALIZED
(dagger) TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT
ANNUALIZED.
NOTES TO FINANCIAL STATEMENTS
FOR THE PERIOD ENDED MAY 31, 1994 (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES.
State and Local Asset Management Series: Government Money Market Portfolio
(the fund) is a fund of Fidelity Institutional Investors Trust (the trust)
and is authorized to issue an unlimited number of shares. The trust is
registered under the Investment Company Act of 1940, as amended (the 1940
Act), as an open-end management investment company organized as a Delaware
business trust. The following summarizes the significant accounting
policies of the fund:
SECURITY VALUATION. As permitted under Rule 2a-7 of the 1940 Act, and
certain conditions therein, securities are valued initially at cost and
thereafter assume a constant amortization to maturity of any discount or
premium.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, the fund is not subject to income taxes to
the extent that it distributes all of its taxable income for its fiscal
year. The schedule of investments includes information regarding income
taxes under the caption "Income Tax Information."
INTEREST INCOME. Interest income, which includes amortization of premium
and 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. Dividends are declared daily and paid
monthly from net interest income.
2. OPERATING POLICIES.
REPURCHASE AGREEMENTS. The fund, through its custodian, receives delivery
of the underlying securities, whose market value is required to be at least
102% of the resale price at the time of purchase. The fund's investment
adviser, Fidelity Management & Research Company (FMR), is responsible for
determining that the value of these underlying securities remains at least
equal to the resale price.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission (the SEC), the fund, along with other
registered investment companies having management contracts with FMR, may
transfer uninvested cash balances into a joint trading account. These
balances are invested in one or more repurchase agreements that are
collateralized by U.S. Treasury or Federal Agency obligations.
3. JOINT TRADING ACCOUNT.
At the end of the period, the fund had 20% or more of its total investments
in repurchase agreements through a joint trading account. These repurchase
agreements were with entities whose creditworthiness has been reviewed and
found satisfactory by FMR. The repurchase agreements were dated May 31,
1994 and due June 1, 1994. The maturity values of the joint trading account
investments were $244,028,822 at 4.25% and $13,201,585 at 4.32%. The
investments in repurchase agreements through the joint trading account are
summarized as follows:
SUMMARY OF JOINT TRADING ACCOUNT
MAXIMUM
AMOUNT AGGREGATE AGGREGATE AGGREGATE
NO. OF WITH ONE PRINCIPAL MATURITY MARKET COUPON MATURITY
DEALERS DEALER AMOUNT OF AMOUNT OF VALUE OF RATES OF DATES OF
OR BANKS OR BANK AGREEMENTS AGREEMENTS COLLATERAL COLLATERAL COLLATERAL
At 4.25% 11 27.2% $3,309,000,000 $3,309,390,869 $3,374,513,748 0%-13.75%
6/30/94-2/15/21
At 4.32% 5 36.0 625,000,000 625,075,069 637,471,803 0%-11.625%
6/30/94-11/15/18
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, Fidelity Management &
Research (FMR) pays all expenses except the compensation of the
non-interested Trustees and certain exceptions such as interest, taxes,
brokerage commissions and extraordinary expenses. FMR receives a fee that
is computed daily at an annual rate of .43% of the fund's average net
assets.
SUB-ADVISER FEE. As the fund's investment sub-adviser, FMR Texas Inc., a
wholly owned subsidiary of FMR, receives a fee from FMR of 50% of the
management fee payable to FMR. The fee is paid prior to any voluntary
expense reimbursements which may be in effect, and after reducing the fee
for any payments by FMR pursuant to the fund's Distribution and Service
Plan.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plan (the Plan), and in accordance with Rule 12b-1 of the 1940 Act, FMR or
the fund's distributor, Fidelity Distributors Corporation (FDC), an
affiliate of FMR, may use their resources to pay administrative and
promotional expenses related to the sale of the fund's shares. Subject to
the approval of the Board of Trustees, the Plan also authorizes payments to
third parties that assist in the sale of the fund's shares or render
shareholder support services. FMR or FDC has informed the fund that
payments made to third parties under the Plan amounted to $3,150 for the
period.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL INFORMATION OF THE
SHAREHOLDERS OF THE FUND. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO
PROSPECTIVE INVESTORS IN THE FUND UNLESS
PRECEDED OR ACCOMPANIED BY AN EFFECTIVE PROSPECTUS. MUTUAL FUND SHARES ARE
NOT DEPOSITS OR OBLIGATIONS OF, (OR
ENDORSED OR GUARANTEED BY) ANY DEPOSITORY INSTITUTION. SHARES ARE NOT
INSURED BY THE FDIC, THE FEDERAL RESERVE
BOARD OR ANY OTHER AGENCY, AND ARE SUBJECT TO INVESTMENT RISK INCLUDING THE
POSSIBLE LOSS OF PRINCIPAL.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
SUB-ADVISER
FMR Texas Inc.
Irving, TX
OFFICERS
Edward C. Johnson 3d, PRESIDENT
J. Gary Burkhead, SENIOR VICE PRESIDENT
Thomas D. Maher, ASSISTANT VICE PRESIDENT
Gary L. French, TREASURER
John H. Costello, ASSISTANT TREASURER
Arthur S. Loring, SECRETARY
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox
Phyllis Burke Davis
Richard J. Flynn
Edward C. Johnson 3d
E. Bradley Jones
Donald J. Kirk
Peter S. Lynch
Edward H. Malone
Marvin L. Mann
Gerald C. McDonough
Thomas R. Williams
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND
SHAREHOLDER
SERVICING AGENT
Fidelity Investments Institutional
Operations Company
Boston, MA
CUSTODIAN
Morgan Guaranty Trust Company of New York
New York, NY SLAMG-7-94S
