(registered trademark)
STATE AND LOCAL
ASSET MANAGEMENT
SERIES:
GOVERNMENT
MONEY MARKET
PORTFOLIO
SEMIANNUAL REPORT
MAY 31, 1996
SLAMG-7-96S
14727
CONTENTS
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SCHEDULES OF INVESTMENTS & FINANCIAL STATEMENTS
INVESTMENTS 3 A complete list of the fund's
investments with their market
values.
FINANCIAL STATEMENTS 4 Statements of assets and liabilities,
operations, and changes in net
assets,
as well as financial highlights.
NOTES 8 Notes to the financial statements.
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THE FUND SEEKS TO OBTAIN AS HIGH A LEVEL OF CURRENT INCOME AS IS CONSISTENT
WITH THE PRESERVATION OF CAPITAL AND LIQUIDITY, AND TO MAINTAIN A CONSTANT
NET ASSET VALUE PER SHARE (NAV) OF $1.00.
INVESTMENTS IN THE FUND ARE NEITHER INSURED NOR GUARANTEED BY THE U.S.
GOVERNMENT, AND THERE CAN BE NO ASSURANCE THAT THE
FUND WILL MAINTAIN A STABLE $1.00 SHARE PRICE.
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 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 RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL AMOUNT INVESTED.
NEITHER THE FUND NOR FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND, INCLUDING CHARGES AND EXPENSES,
CALL 1-800-343-9222 FOR A FREE PROSPECTUS. READ
IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
INVESTMENTS MAY 31, 1996 (UNAUDITED)
Showing Percentage of Total Value of Investments
U.S. TREASURY OBLIGATIONS - 20.7%
DUE ANNUALIZED YIELD AT PRINCIPAL VALUE
DATE TIME OF PURCHASE AMOUNT (NOTE 1)
U.S. TREASURY BILLS - 8.4%
11/14/96 5.28% $ 2,000,000 $ 1,952,590
4/3/97 5.54 1,000,000 955,332
4/3/97 5.55 2,000,000 1,910,580
4/3/97 5.59 2,000,000 1,909,900
5/29/97 5.71 1,000,000 945,700
5/29/97 5.74 2,000,000 1,890,897
9,564,999
U.S. TREASURY NOTES - 12.3%
10/15/96 5.25 1,000,000 1,009,541
10/15/96 5.27 1,000,000 1,009,479
7/31/96 5.05 1,000,000 1,004,426
8/15/96 5.00 3,000,000 2,995,855
8/15/96 5.01 1,000,000 998,593
9/30/96 4.87 1,000,000 1,004,551
9/30/96 4.89 2,000,000 2,008,958
9/30/96 4.92 1,000,000 1,004,373
9/30/96 4.98 2,000,000 2,008,344
10/31/96 5.12 1,000,000 1,005,970
14,050,090
TOTAL U.S. TREASURY OBLIGATIONS 23,615,089
REPURCHASE AGREEMENTS - 79.3%
MATURITY VALUE
AMOUNT (NOTE 1)
In a joint trading account
(U.S. Treasury Obligations)
dated 5/31/96 due 6/3/96:
(Note 2)
At 5.33% $ 65,028,854 $ 65,000,000
At 5.37% 25,674,484 25,663,000
TOTAL REPURCHASE AGREEMENTS 90,663,000
TOTAL INVESTMENTS - 100% $ 114,278,089
Total Cost for Income Tax Purposes $ 114,278,089
INCOME TAX INFORMATION
At November 30, 1995, the fund had a capital loss carryforward of
approximately $100,000 of which $29,000, $9,000, $48,000 and $14,000 will
expire on November 30, 1999, 2001, 2002 and 2003, respectively.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
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MAY 31, 1996 (UNAUDITED)
1.ASSETS 2. 3.
4.Investment in securities, at value (including repurchase agreements of $90,663,000) - 5. $ 114,278,089
See accompanying schedule
6.Cash 7. 32,713
8.Interest receivable 9. 183,873
10. 11.TOTAL ASSETS 12. 114,494,675
13.LIABILITIES 14. 15.
16.Distributions payable $ 39,629 17.
18.Accrued management fee 41,466 19.
20. 21.TOTAL LIABILITIES 22. 81,095
23.24.NET ASSETS 25. $ 114,413,580
26.Net Assets consist of: 27. 28.
29.Paid in capital 30. $ 114,459,736
31.Accumulated net realized gain (loss) on investments 32. (46,156)
33.34.NET ASSETS, for 114,459,736 shares outstanding 35. $ 114,413,580
36.37.NET ASSET VALUE, offering price and redemption price per share 38. $1.00
($114,413,580 (divided by) 114,459,736 shares)
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STATEMENT OF OPERATIONS
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SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
39.40.INTEREST INCOME 41. $ 3,417,903
42.EXPENSES 43. 44.
45.Management fee $ 266,976 46.
47.Non-interested trustees' compensation 220 48.
49. Total expenses before reductions 267,196 50.
51. Expense reductions (6,573) 260,623
52.53.NET INTEREST INCOME 54. 3,157,280
55.56.NET REALIZED GAIN (LOSS) ON INVESTMENTS 57. 944
58.59.NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 60. $ 3,158,224
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STATEMENT OF CHANGES IN NET ASSETS
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SIX MONTHS YEAR
ENDED ENDED
MAY 31, 1996 NOVEMBER 30,
(UNAUDITED) 1995
61.INCREASE (DECREASE) IN NET ASSETS
62.Operations $ 3,157,280 $ 10,684,270
Net interest income
63. Net realized gain (loss) 944 (14,087)
64. 65.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 3,158,224 10,670,183
66.Distributions to shareholders from net interest income (3,157,280) (10,684,270)
67.Share transactions at net asset value of $1.00 per share 38,814,398 129,257,739
Proceeds from sales of shares
68. Reinvestment of distributions from net interest income 2,764,139 9,981,409
69. Cost of shares redeemed (62,964,807) (247,566,577)
70.71. (21,386,270) (108,327,429)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
72. 73.TOTAL INCREASE (DECREASE) IN NET ASSETS (21,385,326) (108,341,516)
74.NET ASSETS 75. 76.
77. Beginning of period 135,798,906 244,140,422
78. End of period $ 114,413,580 $ 135,798,906
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FINANCIAL HIGHLIGHTS
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SIX MONTHS YEARS ENDED NOVEMBER 30,
ENDED
MAY 31, 1996
(UNAUDITED) 1995 1994 1993 1992 1991
79.SELECTED PER-SHARE DATA
80.Net asset value, beginning of
period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
81.Income from Investment Operations .025 .055 .036 .028 .037 .058
Net interest income
82.Less Distributions (.025) (.055) (.036) (.028) (.037) (.058)
From net interest income
83.Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
84.TOTAL RETURN B 2.55% 5.62% 3.63% 2.82% 3.73% 5.98%
85.RATIOS AND SUPPLEMENTAL DATA
86.Net assets, end of period (000
omitted) $ 114,414 $ 135,799 $ 244,140 $ 522,878 $ 1,084,963 $ 1,095,483
87.Ratio of expenses to average net
assets .43%A .43% .43% .43% .43% .43%
88.Ratio of expenses to average net
assets .42%A .43% .43% .43% .43% .43%
after expense reductions ,C
89.Ratio of net interest income to
average 5.08%A 5.46% 3.44% 2.79% 3.64% 5.81%
net assets
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A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED. THE
TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN REDUCED
DURING THE PERIODS SHOWN.
C 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).
NOTES TO FINANCIAL STATEMENTS
For the period ended May 31, 1996 (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 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. 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 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."
INTEREST INCOME. Interest income, which includes amortization of premium
and accretion of discount, is accrued as earned.
DISTRIBUTIONS TO SHAREHOLDERS. Dividends are declared daily and paid
monthly from net interest income.
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 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 that
mature in 60 days or less from the date of purchase, and are collateralized
by 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.
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 maturity values of the joint trading account
investments having variable rates are calculated based on the rate at
period end. The maturity values of the joint trading account investments
were $65,028,854 at 5.33%. and $25,674,484 at 5.37%. The investments in
repurchase agreements through the joint trading account are summarized as
follows:
SUMMARY OF JOINT TRADING
DATED MAY 31, 1996, DUE JUNE 3, 1996 AT 5.33%
Number of dealers or banks 17
Maximum amount with one dealer or bank 24.4%
Aggregate principal amount of agreements $8,595,045,000
Aggregate maturity amount of agreements $8,595,045,000
Aggregate market value of collateral $8,598,860,470
Coupon rates of collateral 0.0% to 11.25%
Maturity dates of collateral 7/11/96 to 8/15/23
3. JOINT TRADING ACCOUNT - CONTINUED
SUMMARY OF JOINT TRADING - CONTINUED
DATED MAY 31, 1996, DUE JUNE 3, 1996 AT 5.37%
Number of dealers or banks 5
Maximum amount with one dealer or bank 58.6%
Aggregate principal amount of agreements $1,075,000,000
Aggregate maturity amount of agreements $1,075,481,037
Aggregate market value of collateral $1,141,663,289
Coupon rates of collateral 0.0% to 11.25%
Maturity dates of collateral 7/15/96 to 2/15/26
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, 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.
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 $342 for the
period.
5. EXPENSE REDUCTIONS
FMR has entered into an arrangement on behalf of the fund with the fund's
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
expenses were reduced by $6,573 under this arrangement.
PROXY VOTING RESULTS
A special meeting of the fund's shareholders was held on June 19, 1996. The
results of votes taken among shareholders on the proposal before them are
listed below.
PROPOSAL
To approve an Agreement and Plan of Reorganization and Liquidation whereby
Treasury, a series of Fidelity Institutional Cash Portfolios, would acquire
substantially all of the assets and assume the liabilities of the fund, in
exchange solely for Class I shares of beneficial interest in Treasury.
# OF % OF
SHARES VOTED SHARES VOTED
Affirmative 72,272,247.65 98.262
Against 985,513.65 1.339
Abstain 293,105.63 .399
TOTAL 73,550,866.93 100.000
Page 11
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DO NOT STRIP-IN THIS NOTE
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
Fred L. Henning Jr., VICE PRESIDENT
Leland C. Barron, VICE PRESIDENT
Arthur S. Loring, SECRETARY
Kenneth A. Rathgeber, TREASURER
Thomas D. Maher, ASSISTANT VICE PRESIDENT
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
Thomas J. Simpson, ASSISTANT TREASURER
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*
ADVISORY BOARD
William O. McCoy
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND
SHAREHOLDER
SERVICING AGENT
Fidelity Investments
Institutional Operations Company
Boston, MA
CUSTODIAN
The Bank of New York
New York, NY
* INDEPENDENT TRUSTEES
