UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-07807
Fidelity Revere Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | May 31 |
Date of reporting period: | November 30, 2005 |
Item 1. Reports to Stockholders
Fidelity® Cash Central Fund
Semiannual Report November 30, 2005 |
To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1- 800-SEC-0330.
1.734014.105 | 421733.1.0 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2005 to November 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Expenses Paid | ||||||||||
Beginning | Ending | During Period* | ||||||||
Account Value | Account Value | June 1, 2005 to | ||||||||
June 1, 2005 | November 30, 2005 | November 30, 2005 | ||||||||
Actual | $ | 1,000.00 | $ | 1,018.10 | $ | .01 | ||||
Hypothetical (5% return per | ||||||||||
year before expenses) | $ | 1,000.00 | $ | 1,025.06 | $ | .01 |
* Expenses are equal to the Fund’s annualized expense ratio of ..0014%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one half year period).
Semiannual Report |
2 |
Investment Changes | ||||||
Maturity Diversification | ||||||
Days | % of fund’s | % of fund’s | % of fund’s | |||
investments | investments | investments | ||||
11/30/05 | 5/31/05 | 11/30/04 | ||||
0 – 30 | 96.4 | 94.3 | 82.8 | |||
31 – 90 | 2.1 | 5.7 | 7.9 | |||
91 – 180 | 0.0 | 0.0 | 9.3 | |||
181 – 397 | 1.5 | 0.0 | 0.0 | |||
Weighted Average Maturity | ||||||
11/30/05 | 5/31/05 | 11/30/04 | ||||
Fidelity Cash Central Fund | 8 Days | 6 Days | 21 Days | |||
All Taxable Money Market Funds Average* | 37 Days | 35 Days | 40 Days |
**Net Other Assets are not included in the pie chart.
*Source: iMoneyNet, Inc.
3 Semiannual Report
Investments November 30, 2005 (Unaudited) | ||||||
Showing Percentage of Net Assets | ||||||
Federal Agencies 9.6% | ||||||
Due | Annualized Yield at | Principal | Value | |||
Date | Time of Purchase | Amount | (Note 1) | |||
Fannie Mae – 5.9% | ||||||
Agency Coupons – 5.9% | ||||||
12/7/05 | 3.98% (a) | $ 325,000,000 | $ 324,976,156 | |||
12/21/05 | 3.80 (a) | 130,000,000 | 129,926,860 | |||
12/22/05 | 3.79 (a) | 589,000,000 | 588,624,583 | |||
12/29/05 | 4.10 (a) | 270,500,000 | 270,487,774 | |||
2/22/06 | 4.27 (a) | 360,000,000 | 359,893,681 | |||
1,673,909,054 | ||||||
Federal Home Loan Bank – 2.2% | ||||||
Agency Coupons – 2.2% | ||||||
12/13/05 | 3.73 (a) | 375,000,000 | 374,841,855 | |||
2/10/06 | 4.20 (a) | 250,000,000 | 249,928,812 | |||
624,770,667 | ||||||
Freddie Mac – 1.5% | ||||||
Discount Notes – 1.5% | ||||||
9/27/06 | 4.26 | 295,000,000 | 284,957,708 | |||
9/29/06 | 4.51 | 137,986,000 | 132,973,812 | |||
417,931,520 | ||||||
TOTAL FEDERAL AGENCIES | 2,716,611,241 | |||||
Time Deposits 13.4% | ||||||
ING Belgium SA/NV | ||||||
12/1/05 | 4.04 | 600,000,000 | 600,000,000 | |||
12/1/05 | 4.04 | 400,000,000 | 400,000,000 | |||
Rabobank Nederland Coop. Central | ||||||
12/1/05 | 4.03 | 700,000,000 | 700,000,000 | |||
12/1/05 | 4.03 | 700,000,000 | 700,000,000 | |||
Societe Generale | ||||||
12/1/05 | 4.04 | 700,000,000 | 700,000,000 | |||
12/1/05 | 4.04 | 700,000,000 | 700,000,000 | |||
TOTAL TIME DEPOSITS | 3,800,000,000 | |||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 4 |
Repurchase Agreements 77.3% | ||||||
Maturity | Value | |||||
Amount | (Note 1) | |||||
In a joint trading account (Collateralized by U.S. Treasury | ||||||
Obligations) dated 11/30/05 due 12/1/05 at: | ||||||
3.96% (b) | $ 378,066,599 | $ 378,025,000 | ||||
3.97% (b) | 5,382,406,633 | 5,381,813,000 | ||||
In a joint trading account (Collateralized by U.S. | ||||||
Government Obligations) dated 11/30/05 due | ||||||
12/1/05 at: | ||||||
4.03% (b) | 618,557,303 | 618,488,000 | ||||
4.04% (b) | 15,149,312,690 | 15,147,614,000 | ||||
4.04% (b) | 38,491,319 | 38,487,000 | ||||
With: | ||||||
Goldman Sachs & Co. at 4.16%, dated 11/30/05 | ||||||
due 12/1/05 (Collateralized by Corporate | ||||||
Obligations valued at $341,251,195, 0% – 8.25%, | ||||||
6/1/06 – 12/31/49) | 325,037,578 | 325,000,000 | ||||
Lehman Brothers, Inc. at 4.12%, dated 11/30/05 | ||||||
due 12/1/05 (Collateralized by Mortgage Loan | ||||||
Obligations valued at $5,250,146, 0% – 8.5%, | ||||||
7/25/08 – 2/25/35) | 5,000,572 | 5,000,000 | ||||
TOTAL REPURCHASE AGREEMENTS | 21,894,427,000 | |||||
TOTAL INVESTMENT PORTFOLIO 100.3% | ||||||
(Cost $28,411,038,241) | 28,411,038,241 | |||||
NET OTHER ASSETS – (0.3)% | (84,277,760) | |||||
NET ASSETS 100% | $ 28,326,760,481 |
Legend (a) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflect the next interest rate reset date or, when applicable, the final maturity date. |
See accompanying notes which are an integral part of the financial statements.
5 Semiannual Report
Investments (Unaudited) continued
(b) Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement/ | Value | |||
Counterparty | ||||
$378,025,000 due | ||||
12/1/05 at 3.96% | ||||
Banc of America | ||||
Securities LLC. | $ | 42,066,869 | ||
Barclays Capital Inc. | 97,595,136 | |||
Merrill Lynch, Pierce, | ||||
Fenner & Smith | 111,056,534 | |||
Morgan Stanley & Co. | ||||
Incorporated | 75,720,364 | |||
State Street Bank and | ||||
Trust Company | 51,586,097 | |||
$ | 378,025,000 | |||
$5,381,813,000 due | ||||
12/1/05 at 3.97% | ||||
BNP Paribas Securities | ||||
Corp. | 1,018,706,656 | |||
Merrill Lynch | ||||
Government | ||||
Securities, Inc. | 2,716,551,082 | |||
Merrill Lynch, Pierce, | ||||
Fenner & Smith | 941,434,360 | |||
Morgan Stanley & Co. | ||||
Incorporated | 25,983,132 | |||
UBS Securities LLC | 679,137,770 | |||
$ | 5,381,813,000 | |||
$618,488,000 due | ||||
12/1/05 at 4.03% | ||||
Banc of America | ||||
Securities LLC | 210,848,182 | |||
Credit Suisse First Boston | ||||
LLC | 281,130,909 | |||
Morgan Stanley & Co. | ||||
Incorporated | 126,508,909 | |||
$ | 618,488,000 |
Repurchase Agreement/ | Value | |
Counterparty | ||
$15,147,614,000 due | ||
12/1/05 at 4.04% | ||
Banc of America | ||
Securities LLC | $ 4,040,361,831 | |
Bank of America, | ||
National Association . | 514,695,775 | |
Barclays Capital Inc. | 5,404,305,634 | |
Goldman Sachs & Co. . | 2,058,783,099 | |
Morgan Stanley & Co. | ||
Incorporated | 1,739,789,069 | |
Societe Generale, New | ||
York Branch | 257,347,887 | |
UBS Securities LLC | 1,003,656,761 | |
Wachovia Capital | ||
Markets, LLC | 128,673,944 | |
$ 15,147,614,000 | ||
$38,487,000 due | ||
12/1/05 at 4.04% | ||
Merrill Lynch | ||
Government | ||
Securities, Inc. | $ 38,487,000 |
Income Tax Information
At May 31, 2005, the fund had a capital loss carryforward of approximately $2,283,569 of which $208,156, and $2,075,413 will expire on May 31, 2012 and 2013, respectively.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report 6
Financial Statements | ||||||
Statement of Assets and Liabilities | ||||||
November 30, 2005 (Unaudited) | ||||||
Assets | ||||||
Investment in securities, at value (including repurchase | ||||||
agreements of $21,894,427,000) See | ||||||
accompanying schedule: | ||||||
Unaffiliated issuers (cost $28,411,038,241) | $ 28,411,038,241 | |||||
Cash | 431 | |||||
Interest receivable | 13,178,648 | |||||
Prepaid expenses | 130,534 | |||||
Total assets | 28,424,347,854 | |||||
Liabilities | ||||||
Distributions payable | $ | 97,564,945 | ||||
Other payables and accrued expenses | 22,428 | |||||
Total liabilities | 97,587,373 | |||||
Net Assets | $ 28,326,760,481 | |||||
Net Assets consist of: | ||||||
Paid in capital | $ 28,326,455,609 | |||||
Undistributed net investment income | 160,014 | |||||
Accumulated undistributed net realized gain (loss) on | ||||||
investments | 144,858 | |||||
Net Assets, for 28,323,084,411 shares outstanding | $ 28,326,760,481 | |||||
Net Asset Value, offering price and redemption price per | ||||||
share ($28,326,760,481 ÷ 28,323,084,411 shares) | $ 1.00 |
See accompanying notes which are an integral part of the financial statements.
7 Semiannual Report |
Financial Statements continued | ||||||
Statement of Operations | ||||||
Six months ended November 30, 2005 (Unaudited) | ||||||
Investment Income | ||||||
Interest (including $210,492 from affiliated | ||||||
interfund lending) | $ | 462,830,646 | ||||
Expenses | ||||||
Independent trustees’ compensation | $ | 55,670 | ||||
Custodian fees and expenses | 19,887 | |||||
Audit | 17,176 | |||||
Legal | 7,362 | |||||
Insurance | 82,345 | |||||
Miscellaneous | 15 | |||||
Total expenses before reductions | 182,455 | |||||
Expense reductions | (4,444) | 178,011 | ||||
Net investment income | 462,652,635 | |||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss) on: | ||||||
Investment securities: | ||||||
Unaffiliated issuers | 17 | |||||
Net increase in net assets resulting from operations | $ | 462,652,652 | ||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 8 |
Statement of Changes in Net Assets | ||||
Six months ended | Year ended | |||
November 30, 2005 | May 31, | |||
(Unaudited) | 2005 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income | $ 462,652,635 | $ 565,648,600 | ||
Net realized gain (loss) | 17 | (1,219,495) | ||
Net increase in net assets resulting | ||||
from operations | 462,652,652 | 564,429,105 | ||
Distributions to shareholders from net investment | ||||
income | (462,563,510) | (566,152,104) | ||
Share transactions at net asset value of $1.00 per | ||||
share | ||||
Proceeds from sales of shares | 85,787,654,209 | 139,512,275,187 | ||
Cost of shares redeemed | (83,567,150,438) | (136,781,982,194) | ||
Net increase (decrease) in net assets and shares | ||||
resulting from share transactions | 2,220,503,771 | 2,730,292,993 | ||
Total increase (decrease) in net assets | 2,220,592,913 | 2,728,569,994 | ||
Net Assets | ||||
Beginning of period | 26,106,167,568 | 23,377,597,574 | ||
End of period (including undistributed net invest- | ||||
ment income of $160,014 and undistributed net | ||||
investment income of $70,889, respectively) | $ 28,326,760,481 | $ 26,106,167,568 |
See accompanying notes which are an integral part of the financial statements.
9 Semiannual Report
Financial Highlights | ||||||||||||
Six months | ||||||||||||
ended | ||||||||||||
November 30, | ||||||||||||
2005 | Years ended May 31, | |||||||||||
(Unaudited) | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||
Selected Per Share Data | ||||||||||||
Net asset value, | ||||||||||||
beginning of | ||||||||||||
period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||
Income from | ||||||||||||
Investment | ||||||||||||
Operations | ||||||||||||
Net invest | ||||||||||||
ment | ||||||||||||
income | 018 | .020 | .011 | .016 | .026 | .060 | ||||||
Distributions | ||||||||||||
from net | ||||||||||||
investment | ||||||||||||
income | (.018) | (.020) | (.011) | (.016) | (.026) | (.060) | ||||||
Net asset value, | ||||||||||||
end of period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||
Total ReturnB,C . | 1.81% | 2.05% | 1.11% | 1.58% | 2.68% | 6.21% | ||||||
Ratios to Average Net AssetsD | ||||||||||||
Expenses | ||||||||||||
before | ||||||||||||
reductions | .0014%A | .0016% | .0016% | .0016% | .0017% | .0016% | ||||||
Expenses | ||||||||||||
net of fee | ||||||||||||
waivers, | ||||||||||||
if any | 0014%A | .0016% | .0016% | .0016% | .0017% | .0016% | ||||||
Expenses | ||||||||||||
net of all | ||||||||||||
reductions | .0014%A | .0015% | .0016% | .0016% | .0016% | .0016% | ||||||
Net invest | ||||||||||||
ment | ||||||||||||
income | 3.59%A | 2.05% | 1.10% | 1.58% | 2.63% | 6.04% | ||||||
Supplemental Data | ||||||||||||
Net assets, | ||||||||||||
end of | ||||||||||||
period (000 | ||||||||||||
omitted) | $28,326,760 | $26,106,168 | $23,377,598 | $25,174,899 | $27,692,376 | $28,927,649 |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
10 |
Notes to Financial Statements
For the period ended November 30, 2005 (Unaudited)
1. Significant Accounting Policies.
Fidelity Cash Central Fund (the fund) is a fund of Fidelity Revere Street 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 statutory trust. Shares of the fund are only offered to other investment companies and accounts (the investing funds) managed by Fidelity Management & Research Company (FMR), or its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require 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 by compliance with certain conditions under Rule 2a 7 of the 1940 Act, securities are valued at amortized cost, which approximates value.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distribu tions from realized gains, if any, are recorded on the ex dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to capital loss carryforwards and losses deferred due to excise tax regulations.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ | — | ||
Unrealized depreciation | — | |||
Net unrealized appreciation (depreciation) | $ | — | ||
Cost for federal income tax purposes | $ | 28,411,038,241 |
11 Semiannual Report
Notes to Financial Statements (Unaudited) continued | ||
2. Operating Policies. |
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
3. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the fund with investment management services. The fund does not pay any fees for these services.
Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the fund, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. The fund’s activity in this program during the period for which loans were outstanding was as follows:
Average Daily | Weighted Average | |||||||||
Borrower or Lender | Loan Balance | Interest Rate | Interest Earned | Interest Expense | ||||||
Lender | $ 22,552,912 | 3.69% | $ | 210,492 | — | |||||
4. Expense Reductions. |
Through arrangements with the fund’s custodian, credits realized as a result of uninvested cash balances were used to reduce the fund’s expenses. During the period, these credits reduced the fund’s custody expenses by $4,444.
Semiannual Report |
12 |
5. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum expo sure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is consid ered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the fund.
13 Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Cash Central Fund
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Fixed Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant and ultimately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fiduciary duty under applicable law.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub advisers (together, the Investment Advisers), including the background of the fund’s portfolio manager and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s invest ment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropri ate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and
Semiannual Report |
14 |
management personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an elec tronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Administrative Services. The Board considered the nature, extent, quality, and cost of administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restric tions. The Board reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund’s Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment compa nies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund’s management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except operating expenses for services provided by entities not affiliated with FMR, such as fees for custodial, auditing, legal and insurance services. Based on its review, the Board concluded that the fund’s net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, manag ing, administering and servicing the fund and its shareholders. The Board also consid ered the level of Fidelity’s profits in respect of all the Fidelity funds.
15 Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity’s fund profitability methodology, including additional detail on various cost allocations; (ii) fall out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
Semiannual Report |
16 |
Fidelity® Municipal Cash Central Fund |
Semiannual Report November 30, 2005 |
To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1- 800-SEC-0330.
1.734025.105 | 422139.1.0 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2005 to November 30, 2005).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Expenses Paid | ||||||||||
During Period* | ||||||||||
Beginning | Ending | June 1, 2005 | ||||||||
Account Value | Account Value | to November 30, | ||||||||
June 1, 2005 | November 30, 2005 | 2005 | ||||||||
Actual | $ | 1,000.00 | $ | 1,012.90 | $ | .03 | ||||
Hypothetical (5% return per year | ||||||||||
before expenses) | $ | 1,000.00 | $ | 1,025.04 | $ | .03 |
* Expenses are equal to the Fund’s annualized expense ratio of ..0053%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one half year period).
Semiannual Report |
18 |
Investment Changes | ||||||
Maturity Diversification | ||||||
Days | % of fund’s | % of fund’s | % of fund’s | |||
investments | investments | investments | ||||
11/30/05 | 5/31/05 | 11/30/04 | ||||
0 – 30 | 100.0 | 99.8 | 99.9 | |||
31 – 90 | 0.0 | 0.2 | 0.1 | |||
Weighted Average Maturity | ||||||
11/30/05 | 5/31/05 | 11/30/04 | ||||
Fidelity Municipal Cash Central Fund | 4 Days | 4 Days | 4 Days | |||
All Tax Free Money Market Funds Average* | 29 Days | 22 Days | 35 Days |
**Net Other Assets are not included in the pie chart.
*Source: iMoneyNet, Inc.
19 Semiannual Report
Investments November 30, 2005 (Unaudited) | ||||||
Showing Percentage of Net Assets | ||||||
Municipal Securities 100.2% | ||||||
Principal | Value (Note 1) | |||||
Amount | ||||||
Alabama – 1.7% | ||||||
Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. | ||||||
Proj.) Series 1995 E, 3.01%, VRDN (a) | $20,740,000 | $ 20,740,000 | ||||
Mobile Indl. Dev. Board Rev. (Alabama Pwr. Theodore Plant | ||||||
Proj.) Series A, 3.11%, VRDN (a)(b) | 9,300,000 | 9,300,000 | ||||
30,040,000 | ||||||
Alaska – 0.5% | ||||||
Alaska Hsg. Fin. Corp. Series A, 3.11% (FSA Insured), | ||||||
VRDN (a)(b) | 8,000,000 | 8,000,000 | ||||
Arizona – 2.4% | ||||||
Arizona Hsg. Fin. Auth. Multi-family Hsg. Rev. (Santa Carolina | ||||||
Apts. Proj.) 3.12%, LOC Fannie Mae, VRDN (a)(b) | 6,100,000 | 6,100,000 | ||||
Coconino County Poll. Cont. Corp. Rev. (Arizona Pub. Svc. Co. | ||||||
Navajo Proj.) Series 1994 A, 3.12%, LOC KBC Bank NV, | ||||||
VRDN (a)(b) | 6,790,000 | 6,790,000 | ||||
Maricopa County Indl. Dev. Auth. Indl. Dev. Rev. Bonds | ||||||
(American Wtr. Corp. Proj.) Series 1988, 3.2% tender | ||||||
12/16/05, CP mode (b) | 3,000,000 | 3,000,000 | ||||
Maricopa County Indl. Dev. Auth. Multi-family Hsg. Rev. | ||||||
(Glenn Oaks Apts. Proj.) Series 2001, 3.15%, LOC Fannie | ||||||
Mae, VRDN (a)(b) | 4,200,325 | 4,200,325 | ||||
Maricopa County Indl. Dev. Auth. Single Family Mtg. Rev. | ||||||
Participating VRDN Series MS 1165, 3.12% (Liquidity | ||||||
Facility Morgan Stanley) (a)(b)(c) | 3,450,000 | 3,450,000 | ||||
Phoenix Civic Impt. Corp. District Rev. Participating VRDN | ||||||
Series PZ 85, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(c) | 1,800,000 | 1,800,000 | ||||
Phoenix Civic Impt. Corp. Excise Tax Rev. Series 1995, 3.03%, | ||||||
LOC Landesbank Hessen-Thuringen, VRDN (a)(b) | 10,700,000 | 10,700,000 | ||||
Phoenix Indl. Dev. Auth. Multi-family Hsg. Rev. (Paradise Lakes | ||||||
Apt. Proj.) Series 1995, 3.03%, LOC Bank of America NA, | ||||||
VRDN (a) | 3,800,000 | 3,800,000 | ||||
Phoenix Indl. Dev. Auth. Single Family Mtg. Rev. Participating | ||||||
VRDN Series PT 1082, 3.12% (Liquidity Facility Merrill Lynch | ||||||
& Co., Inc.) (a)(b)(c) | 1,260,000 | 1,260,000 | ||||
41,100,325 | ||||||
Arkansas – 0.7% | ||||||
Arkansas Dev. Fin. Auth. Multi-family Hsg. Rev. (Kiehl Partners | ||||||
LP Proj.) 3.1%, LOC Fannie Mae, VRDN (a)(b) | 1,000,000 | 1,000,000 | ||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 20 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Arkansas – continued | ||||
Arkansas Dev. Fin. Auth. Single Family Mtg. Rev. Participating | ||||
VRDN: | ||||
Series MS 1139, 3.12% (Liquidity Facility Morgan | ||||
Stanley) (a)(b)(c) | $ 6,900,000 | $ 6,900,000 | ||
Series ROC II R121, 3.12% (Liquidity Facility Citibank | ||||
NA) (a)(b)(c) | 3,680,000 | 3,680,000 | ||
11,580,000 | ||||
California – 2.9% | ||||
Access to Lns. for Learning Student Ln. Corp. Rev. (Student Ln. | ||||
Prog.) Series VA1, 3.08% (AMBAC Insured), VRDN (a)(b) | 10,000,000 | 10,000,000 | ||
California Home Mtg. Fin. Auth. Homebuyers Fund Single | ||||
Family Participating VRDN Series ROC II R321, 3.1% | ||||
(Liquidity Facility Citibank NA) (a)(b)(c) | 13,565,000 | 13,565,000 | ||
California Hsg. Fin. Agcy. Home Mtg. Rev. Participating | ||||
VRDN: | ||||
Series MT 22, 3.11% (Liquidity Facility Landesbank | ||||
Hessen-Thuringen) (a)(b)(c) | 3,930,000 | 3,930,000 | ||
Series PT 998, 3.11% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 3,100,000 | 3,100,000 | ||
California Poll. Cont. Fing. Auth. Ctfs. of Prtn. (Pacific Gas & | ||||
Elec. Co. Proj.) Series 1997 B, 3.01%, LOC JPMorgan Chase | ||||
Bank, VRDN (a)(b) | 18,000,000 | 18,000,000 | ||
Los Angeles Reg’l. Arpt. Impt. Rev. (Compagne Nationale Air | ||||
France Int’l. Arpt. Proj.) 3.26%, LOC Societe Generale, | ||||
VRDN (a)(b) | 1,425,000 | 1,425,000 | ||
50,020,000 | ||||
Colorado – 3.5% | ||||
Colorado Health Facilities Auth. Rev. (Boulder Cmnty. Hosp. | ||||
Proj.) Series 2000, 3.13%, LOC JPMorgan Chase Bank, | ||||
VRDN (a) | 1,000,000 | 1,000,000 | ||
Colorado Hsg. & Fin. Auth. Series 2003 A2 Class I, 3.11% | ||||
(Liquidity Facility Dexia Cr. Local de France), VRDN (a)(b) | 28,700,000 | 28,700,000 | ||
Colorado Hsg. & Fin. Auth. Solid Waste Rev. (Waste Mgmt., | ||||
Inc. Proj.) 3.1%, LOC Wachovia Bank NA, VRDN (a)(b) | 1,700,000 | 1,700,000 | ||
Colorado Springs Utils. Rev. Participating VRDN Series SGA | ||||
88, 3.03% (Liquidity Facility Societe Generale) (a)(c) | 4,900,000 | 4,900,000 | ||
Denver City & County Arpt. Rev. Participating VRDN: | ||||
Series PT 688, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 6,235,000 | 6,235,000 | ||
Series PT 920, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 1,500,000 | 1,500,000 |
See accompanying notes which are an integral part of the financial statements.
21 Semiannual Report
Investments (Unaudited) continued | ||||
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Colorado – continued | ||||
E-470 Pub. Hwy. Auth. Rev. Participating VRDN Series MS | ||||
997, 3.12% (Liquidity Facility Morgan Stanley) (a)(c) | $ 6,640,000 | $ 6,640,000 | ||
El Paso County Co. Single Family Mtg. Rev. Participating | ||||
VRDN Series MS 1136, 3.12% (Liquidity Facility Morgan | ||||
Stanley) (a)(b)(c) | 9,915,500 | 9,915,500 | ||
60,590,500 | ||||
Delaware – 0.4% | ||||
Delaware Econ. Dev. Auth. Rev. (Delmarva Pwr. & Lt. Co. | ||||
Proj.): | ||||
Series 1993 C, 3.17%, VRDN (a) | 5,700,000 | 5,700,000 | ||
Series 1999 B, 3.12%, VRDN (a)(b) | 1,100,000 | 1,100,000 | ||
6,800,000 | ||||
District Of Columbia – 1.3% | ||||
Metropolitan Washington Arpts. Auth. Participating VRDN | ||||
Series MSTC 01 130, 3.05% (Liquidity Facility Bear Stearns | ||||
Companies, Inc.) (a)(b)(c) | 11,060,000 | 11,060,000 | ||
Metropolitan Washington Arpts. Auth. Sys. Rev. Participating | ||||
VRDN: | ||||
Series PT 1991, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 3,200,000 | 3,200,000 | ||
Series ROC II R195, 3.12% (Liquidity Facility Citibank | ||||
NA) (a)(b)(c) | 1,500,000 | 1,500,000 | ||
Series Stars 126, 3.12% (Liquidity Facility BNP Paribas | ||||
SA) (a)(b)(c) | 6,690,000 | 6,690,000 | ||
22,450,000 | ||||
Florida – 5.2% | ||||
Clipper Tax-Exempt Trust Participating VRDN Series Clipper 05 | ||||
17, 3.16% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 1,094,000 | 1,094,000 | ||
Escambia County Hsg. Fin. Rev. Participating VRDN Series RF | ||||
00 15, 3.19% (Liquidity Facility Bank of New York, New | ||||
York) (a)(b)(c) | 1,165,000 | 1,165,000 | ||
Florida Board of Ed. Participating VRDN Series MSTC 01 131, | ||||
3.03% (Liquidity Facility Bear Stearns Companies, Inc.) (a)(c) | 19,555,000 | 19,555,000 | ||
Florida Board of Ed. Cap. Outlay Participating VRDN Series | ||||
MSTC 01 161, 3.03% (Liquidity Facility Bear Stearns | ||||
Companies, Inc.) (a)(c) | 9,695,000 | 9,695,000 | ||
Florida Board of Ed. Lottery Rev. Participating VRDN Series | ||||
MSTC 01 160, 3.03% (Liquidity Facility Bear Stearns | ||||
Companies, Inc.) (a)(c) | 13,315,000 | 13,315,000 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
22 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Florida – continued | ||||
Florida Board of Ed. Pub. Ed. Participating VRDN: | ||||
Series PT 2979, 3.07% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(c) | $ 8,500,000 | $ 8,500,000 | ||
Series SGA 00 102, 3.03% (Liquidity Facility Societe | ||||
Generale) (a)(c) | 11,580,000 | 11,580,000 | ||
Lee County Hosp. Board of Directors Hosp. Rev. (Lee Memorial | ||||
Health Sys. Proj.) Series 1995 A, 3.02%, VRDN (a) | 4,400,000 | 4,400,000 | ||
Manatee County Hsg. Fin. Auth. Multi-family Hsg. Rev. (La | ||||
Miranda Gardens Proj.) Series A, 3.18%, LOC SunTrust | ||||
Bank, VRDN (a)(b) | 2,500,000 | 2,500,000 | ||
Orange County Hsg. Fin. Auth. Homeowner Rev. Participating | ||||
VRDN Series PT 2411, 3.13% (Liquidity Facility Merrill Lynch | ||||
& Co., Inc.) (a)(b)(c) | 2,590,000 | 2,590,000 | ||
Pinellas County Hsg. Fin. Auth. Single Family Mortgage Rev. | ||||
Participating VRDN Series PT 2355, 3.13% (Liquidity Facility | ||||
Merrill Lynch & Co., Inc.) (a)(b)(c) | 3,630,000 | 3,630,000 | ||
Saint Johns County Hsg. Fin. Auth. Multifamily Hsg. Rev. | ||||
(Ponce Hbr. Apts. Proj.) 3.03%, LOC Fannie Mae, | ||||
VRDN (a)(b) | 5,000,000 | 5,000,000 | ||
Tampa Bay Wtr. Util. Sys. Rev. 3.1%, LOC Bank of America | ||||
NA, VRDN (a)(b) | 6,800,000 | 6,800,000 | ||
89,824,000 | ||||
Georgia – 3.5% | ||||
Atlanta Arpt. Rev. Participating VRDN: | ||||
Series PT 2503, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 5,190,000 | 5,190,000 | ||
Series PT 901, 3.12% (Liquidity Facility BNP Paribas | ||||
SA) (a)(b)(c) | 6,175,000 | 6,175,000 | ||
Bartow County Dev. Auth. Poll. Cont. Rev. (Georgia Pwr. Co. | ||||
Plant Bowen Proj.) Second Series 1998, 3.11%, VRDN (a)(b) | 17,000,000 | 17,000,000 | ||
Canton Hsg. Auth. Multi-family Hsg. Rev. (Alta Ridgewalk | ||||
Apts. Proj.) Series 2003, 3.11%, LOC AmSouth Bank NA, | ||||
Birmingham, VRDN (a)(b) | 12,950,000 | 12,950,000 | ||
Clayton County Dev. Auth. Spl. Facilities Rev. (Delta Air Lines, | ||||
Inc. Proj.): | ||||
Series 2000 B, 3.11%, LOC Gen. Elec. Cap. Corp., | ||||
VRDN (a)(b) | 2,900,000 | 2,900,000 | ||
Series 2000 C, 3.11%, LOC Gen. Elec. Cap. Corp., | ||||
VRDN (a)(b) | 3,700,000 | 3,700,000 | ||
DeKalb County Dev. Auth. Indl. Dev. Rev. (Qualex Proj.) | ||||
3.14%, LOC Comerica Bank, Detroit, VRDN (a)(b) | 1,210,000 | 1,210,000 | ||
Georgia Hsg. & Fin. Auth. Rev. Participating VRDN Series | ||||
ROC II R423, 3.12% (Liquidity Facility Citibank NA) (a)(b)(c) | 3,095,000 | 3,095,000 |
See accompanying notes which are an integral part of the financial statements.
23 Semiannual Report
Investments (Unaudited) continued | ||||||
Municipal Securities continued | ||||||
Principal | Value (Note 1) | |||||
Amount | ||||||
Georgia – continued | ||||||
Gwinnett County Hsg. Auth. Multi-family Hsg. Rev. (Herrington | ||||||
Mill Apts. Proj.) 3.05%, LOC SunTrust Bank, VRDN (a)(b) | $ 2,000,000 | $ 2,000,000 | ||||
Liberty County Indl. Auth. (Hy Sil Manufacturing Co., Inc. | ||||||
Proj.) Series 2001 B, 3.1%, LOC SunTrust Bank, VRDN (a)(b) | 2,330,000 | 2,330,000 | ||||
Putnam Dev. Auth. Swr. Facility Rev. (Oconee Crossings Wharf | ||||||
Proj.) 3.15%, LOC Wachovia Bank NA, VRDN (a)(b) | 4,695,000 | 4,695,000 | ||||
61,245,000 | ||||||
Hawaii – 0.7% | ||||||
Hawaii Arpts. Sys. Rev. Participating VRDN Series PT 2310, | ||||||
3.12% (Liquidity Facility Merrill Lynch & Co., Inc.) (a)(b)(c) | 1,325,000 | 1,325,000 | ||||
Hawaii Dept. of Budget & Fin. Spl. Purp. Rev. Participating | ||||||
VRDN Series PA 1244, 3.12% (Liquidity Facility Merrill | ||||||
Lynch & Co., Inc.) (a)(b)(c) | 2,500,000 | 2,500,000 | ||||
Hawaii Hsg. Fin. & Dev. Corp. Single Family Mtg. Purp. Rev. | ||||||
Participating VRDN Series LB 05 L6, 3.14% (Liquidity Facility | ||||||
Lehman Brothers Hldgs., Inc.) (a)(b)(c) | 8,430,000 | 8,430,000 | ||||
12,255,000 | ||||||
Idaho – 0.0% | ||||||
Idaho Hsg. & Fin. Assoc. Participating VRDN Series PA 145A, | ||||||
3.12% (Liquidity Facility Merrill Lynch & Co., Inc.) (a)(b)(c) | 419,000 | 419,000 | ||||
Illinois – 7.6% | ||||||
Aurora Single Family Mtg. Rev. Participating VRDN Series MS | ||||||
1152, 3.12% (Liquidity Facility Morgan Stanley) (a)(b)(c) | 7,600,000 | 7,600,000 | ||||
Boone McHenry & Dekalb Counties Cmnty. Unit School District | ||||||
#100 Participating VRDN Series PZ 50, 3.12% (Liquidity | ||||||
Facility Merrill Lynch & Co., Inc.) (a)(c) | 2,735,000 | 2,735,000 | ||||
Carol Stream Multi-family Rev. (Saint Charles Square Proj.) | ||||||
3.12%, LOC Fannie Mae, VRDN (a)(b) | 1,415,000 | 1,415,000 | ||||
Chicago Gen. Oblig. Participating VRDN Series EGL 01 1303, | ||||||
3.19% (Liquidity Facility Citibank NA, New York) (a)(c) | 2,450,000 | 2,450,000 | ||||
Chicago Midway Arpt. Rev.: | ||||||
Series 1998 A, 3.07% (MBIA Insured), VRDN (a)(b) | 35,300,000 | 35,300,000 | ||||
Series 1998 B, 3.07% (MBIA Insured), VRDN (a)(b) | 33,155,000 | 33,155,000 | ||||
Chicago O’Hare Int’l. Arpt. Rev. Participating VRDN: | ||||||
Series MT 49, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(b)(c) | 2,000,000 | 2,000,000 | ||||
Series MT 53, 3.12% (Liquidity Facility Landesbank | ||||||
Hessen-Thuringen) (a)(b)(c) | 2,300,000 | 2,300,000 | ||||
Series MT 59, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(b)(c) | 6,150,000 | 6,150,000 | ||||
Series Putters 653Z, 3.11% (Liquidity Facility JPMorgan | ||||||
Chase Bank) (a)(b)(c) | 4,195,000 | 4,195,000 | ||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 24 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Illinois – continued | ||||
Chicago O’Hare Int’l. Arpt. Rev. Participating VRDN: - | ||||
continued | ||||
Series ROC II R239, 3.12% (Liquidity Facility Citibank | ||||
NA) (a)(b)(c) | $ 5,200,000 | $ 5,200,000 | ||
Chicago Wastewtr. Transmission Rev. Participating VRDN | ||||
Series PZ 40, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(c) | 2,120,000 | 2,120,000 | ||
Illinois Dev. Fin. Auth. Rev. (Jewish Federation Metropolitan | ||||
Chicago Projs.) 3% (AMBAC Insured), VRDN (a) | 4,725,000 | 4,725,000 | ||
Illinois Edl. Facilities Auth. Revs. (Elmhurst College Proj.) 3%, | ||||
LOC JPMorgan Chase Bank, VRDN (a) | 3,450,000 | 3,450,000 | ||
Illinois Health Facilities Auth. Rev. (Univ. of Chicago Hosps. | ||||
Proj.) Series 1998, 3% (MBIA Insured), VRDN (a) | 6,945,000 | 6,945,000 | ||
Illinois Student Assistance Commission Student Ln. Rev. Series | ||||
1996 A, 3.03%, LOC Bank of America NA, VRDN (a)(b) | 700,000 | 700,000 | ||
Lemont Envir. Facilities Rev. (Citgo Petroleum Corp. Proj.) | ||||
3.06%, LOC Bank of New York, New York, VRDN (a)(b) | 7,650,000 | 7,650,000 | ||
Metropolitan Pier & Exposition Auth. Dedicated State Tax Rev. | ||||
Participating VRDN Series Putters 269, 3.08% (Liquidity | ||||
Facility JPMorgan Chase Bank) (a)(c) | 2,660,000 | 2,660,000 | ||
130,750,000 | ||||
Indiana – 2.3% | ||||
Baugo School Bldg. Corp. Participating VRDN Series PT 3109, | ||||
3.08% (Liquidity Facility Merrill Lynch & Co., Inc.) (a)(c) | 5,545,000 | 5,545,000 | ||
Indiana Dev. Fin. Auth. Indl. Dev. Rev. (Republic Services, Inc. | ||||
Proj.) 3.05%, LOC SunTrust Bank, VRDN (a)(b) | 1,730,000 | 1,730,000 | ||
Indiana Health & Edl. Facilities Fing. Auth. Hosp. Rev. (Howard | ||||
Reg’l. Health Sys. Proj.) Series B, 3.08%, LOC Nat’l. City | ||||
Bank, Indiana, VRDN (a) | 9,000,000 | 9,000,000 | ||
Indiana Hsg. Fin. Auth. Single Family Mtg. Rev. Participating | ||||
VRDN Series LB 03 L45J, 3.14% (Liquidity Facility Lehman | ||||
Brothers Hldgs., Inc.) (a)(b)(c) | 7,170,000 | 7,170,000 | ||
Indianapolis Local Pub. Impt. Bond Bank Participating VRDN: | ||||
Series MT 39, 3.12% (Liquidity Facility Svenska | ||||
Handelsbanken AB) (a)(b)(c) | 4,585,000 | 4,585,000 | ||
Series PT 731, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 2,600,000 | 2,600,000 | ||
Lawrence County Indl. Dev. Rev. (D&M Tool Proj.) 3.34%, LOC | ||||
Huntington Nat’l. Bank, Columbus, VRDN (a)(b) | 350,000 | 350,000 |
See accompanying notes which are an integral part of the financial statements.
25 Semiannual Report
Investments (Unaudited) continued | ||||||||
Municipal Securities continued | ||||||||
Principal | Value (Note 1) | |||||||
Amount | ||||||||
Indiana – continued | ||||||||
Mount Vernon of Hancock County Multi-School Corp. | ||||||||
Participating VRDN Series DB 137, 3.08% (Liquidity Facility | ||||||||
Deutsche Bank AG) (a)(c) | $ 4,095,000 | $ 4,095,000 | ||||||
Whiting Envir. Facilities Rev. (BP PLC Proj.) 3.06%, | ||||||||
VRDN (a)(b) | 5,000,000 | 5,000,000 | ||||||
40,075,000 | ||||||||
Iowa 0.3% | ||||||||
Iowa Fin. Auth. Health Care Facilities Rev. (Care Initiatives | ||||||||
Proj.) 3.08%, LOC KBC Bank NV, VRDN (a) | 4,585,000 | 4,585,000 | ||||||
Iowa Fin. Auth. Indl. Dev. Rev. (Grafco Industries Proj.) Series | ||||||||
1999, 3.15%, LOC Bank of America NA, VRDN (a)(b) | 1,100,000 | 1,100,000 | ||||||
5,685,000 | ||||||||
Kansas 0.5% | ||||||||
Chanute Indl. Dev. Rev. (Ash Grove Cement Co. Proj.) 3.12%, | ||||||||
LOC Bank of America NA, VRDN (a)(b) | 5,600,000 | 5,600,000 | ||||||
Kansas Dev. Fin. Auth. Lease Rev. (State of Kansas-Dept. of | ||||||||
Administration-7th and Harrison State Office Bldg. Proj.) | ||||||||
Series 2002 J1, 3.03% (Liquidity Facility Kansas Pooled | ||||||||
Money Invt. Board), VRDN (a) | 570,000 | 570,000 | ||||||
Wichita Hosp. Rev. Participating VRDN Series MT 170, 3.08% | ||||||||
(Liquidity Facility Landesbank Hessen-Thuringen) (a)(c) | 3,100,000 | 3,100,000 | ||||||
9,270,000 | ||||||||
Kentucky 4.1% | ||||||||
Carroll County Solid Waste Disp. Rev. (North American | ||||||||
Stainless LP Proj.) Series 2000, 3.15%, LOC JPMorgan | ||||||||
Chase Bank, VRDN (a)(b) | 9,570,000 | 9,570,000 | ||||||
Kentucky Econ. Dev. Fin. Auth. Indl. Bldg. Rev. (Republic Svcs., | ||||||||
Inc. Proj.) Series 2000, 3.15%, LOC Bank of America NA, | ||||||||
VRDN (a)(b) | 2,920,000 | 2,920,000 | ||||||
Louisville & Jefferson County Reg’l. Arpt. Auth. Spl. Facilities | ||||||||
Rev. (UPS Worldwide Forwarding, Inc. Proj.): | ||||||||
Series 1999 A, 3.05% (United Parcel Svc. of America | ||||||||
Guaranteed), VRDN (a)(b) | 21,320,000 | 21,320,000 | ||||||
Series B, 3.07% (United Parcel Svc. of America | ||||||||
Guaranteed), VRDN (a)(b) | 36,000,000 | 36,000,000 | ||||||
Mason County Poll. Cont. Rev. (East Kentucky Pwr. Coop. Proj.) | ||||||||
Series 1984 B1, 3.15% (Nat’l. Rural Utils. Coop. Fin. Corp. | ||||||||
Guaranteed), VRDN (a) | 1,595,000 | 1,595,000 | ||||||
71,405,000 | ||||||||
See accompanying notes which are an integral part of the financial statements. | ||||||||
Semiannual Report | 26 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Louisiana – 7.7% | ||||
Calcasieu Parish Indl. Dev. Board Envir. Rev. (Citgo Petroleum | ||||
Corp. Proj.): | ||||
Series 1994, 3.06%, LOC BNP Paribas SA, VRDN (a)(b) | $20,000,000 | $ 20,000,000 | ||
3.06%, LOC BNP Paribas SA, VRDN (a)(b) | 40,700,000 | 40,700,000 | ||
East Baton Rouge Mtg. Fing. Auth. Single Family Rev. | ||||
Participating VRDN Series MS 973, 3.14% (Liquidity Facility | ||||
Morgan Stanley) (a)(b)(c) | 10,100,000 | 10,100,000 | ||
Jefferson Parish Home Mtg. Auth. Single Family Mtg. Rev. | ||||
Participating VRDN Series LB 03 L51J, 3.14% (Liquidity | ||||
Facility Lehman Brothers Hldgs., Inc.) (a)(b)(c) | 3,280,000 | 3,280,000 | ||
Louisiana Hsg. Fin. Agcy. Mtg. Rev.: | ||||
Participating VRDN Series MS 1066, 3.14% (Liquidity | ||||
Facility Morgan Stanley) (a)(b)(c) | 1,400,000 | 1,400,000 | ||
Participating VRDN Series Clipper 05 11, 3.19% (Liquidity | ||||
Facility State Street Bank & Trust Co., Boston) (a)(b)(c) | 4,997,000 | 4,997,000 | ||
Louisiana Offshore Term. Auth. Deepwater Port Rev. (LOOP | ||||
LLC Proj.) Series 2003 A, 3%, LOC SunTrust Bank, VRDN (a) | 11,300,000 | 11,300,000 | ||
Louisiana Pub. Facilities Auth. Rev. (Air Products & Chemicals, | ||||
Inc. Proj.) 3.08%, VRDN (a)(b) | 6,250,000 | 6,250,000 | ||
Saint Charles Parish Poll. Cont. Rev. (Shell Oil Co.-Norco | ||||
Proj.): | ||||
Series 1991, 3.05%, VRDN (a)(b) | 6,675,000 | 6,675,000 | ||
Series 1993, 3.06%, VRDN (a)(b) | 11,150,000 | 11,150,000 | ||
West Baton Rouge Parish Indl. District #3 Rev. (Dow Chemical | ||||
Co. Proj.): | ||||
Series 1993, 3.17%, VRDN (a)(b) | 1,000,000 | 1,000,000 | ||
Series 1994 A, 3.17%, VRDN (a)(b) | 10,200,000 | 10,200,000 | ||
Series 1994 B, 3.1%, VRDN (a) | 2,600,000 | 2,600,000 | ||
Series 1995, 3.17%, VRDN (a)(b) | 3,050,000 | 3,050,000 | ||
132,702,000 | ||||
Maryland 0.4% | ||||
Maryland Cmnty. Dev. Administration Dept. of Hsg. & Cmnty. | ||||
Dev. Participating VRDN: | ||||
Series MT 160, 3.09% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(c) | 3,700,000 | 3,700,000 | ||
Series PT 2607, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 2,640,000 | 2,640,000 | ||
6,340,000 |
See accompanying notes which are an integral part of the financial statements.
27 Semiannual Report
Investments (Unaudited) continued | ||||
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Massachusetts 1.4% | ||||
Massachusetts Dev. Fin. Agcy. Solid Waste Disp. Rev. | ||||
(Wheelabrator Millbury Proj.) 3.1%, LOC JPMorgan Chase | ||||
Bank, VRDN (a)(b) | $ 5,000,000 | $ 5,000,000 | ||
Massachusetts Gen. Oblig. (Central Artery Proj.) Series 2000 | ||||
A, 3% (Liquidity Facility Landesbank Baden-Wuert), | ||||
VRDN (a) | 20,000,000 | 20,000,000 | ||
25,000,000 | ||||
Michigan – 0.4% | ||||
Detroit City School District Participating VRDN Series MACN | ||||
05 R, 3.08% (Liquidity Facility Bank of America NA) (a)(c) | 2,095,000 | 2,095,000 | ||
Michigan Strategic Fund Ltd. Oblig. Rev.: | ||||
(Detroit Symphony Orchestra, Inc. Proj.) Series 2001 B, 3%, | ||||
LOC Standard Fed. Bank, VRDN (a) | 3,600,000 | 3,600,000 | ||
(Mans Proj.) Series 1998, 3.2%, LOC Comerica Bank, | ||||
Detroit, VRDN (a)(b) | 500,000 | 500,000 | ||
6,195,000 | ||||
Minnesota 0.7% | ||||
Minneapolis & Saint Paul Hsg. Fin. Board Rev. Participating | ||||
VRDN Series MT 118, 3.13% (Liquidity Facility Landesbank | ||||
Hessen-Thuringen) (a)(b)(c) | 2,700,000 | 2,700,000 | ||
Minneapolis Multi-family Rev. (Gateway Real Estate Proj.) | ||||
3.1%, LOC Lasalle Bank NA, VRDN (a)(b) | 1,350,000 | 1,350,000 | ||
Minnesota Hsg. Fin. Agcy. Participating VRDN Series LB 03 | ||||
L28J, 3.19% (Liquidity Facility Lehman Brothers Hldgs., | ||||
Inc.) (a)(b)(c) | 4,940,000 | 4,940,000 | ||
Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. | ||||
Participating VRDN Series PZ 77, 3.12% (Liquidity Facility | ||||
Merrill Lynch & Co., Inc.) (a)(c) | 2,205,000 | 2,205,000 | ||
11,195,000 | ||||
Mississippi – 1.7% | ||||
Jackson County Indl. Sewage Facilities Rev. (Chevron U.S.A, | ||||
Inc. Proj.) Series 1994, 3.03%, VRDN (a)(b) | 18,100,000 | 18,100,000 | ||
Mississippi Bus. Fin. Corp. Envir. Impt. Rev. (Trex Co., Inc. | ||||
Proj.) 3.15%, LOC JPMorgan Chase Bank, VRDN (a)(b) | 4,700,000 | 4,700,000 | ||
Mississippi Dev. Bank Spl. Oblig. Participating VRDN Series | ||||
Putters 667, 3.08% (Liquidity Facility JPMorgan Chase & | ||||
Co.) (a)(c) | 2,395,000 | 2,395,000 | ||
Mississippi Home Corp. Single Family Rev. Participating VRDN | ||||
Series PT 3244, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 4,880,000 | 4,880,000 | ||
30,075,000 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
28 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Nebraska – 0.9% | ||||
Douglas County Solid Waste Disp. Rev. (Waste Mgmt., Inc. | ||||
Proj.) Series A, 3.1%, LOC Bank of America NA, | ||||
VRDN (a)(b) | $ 1,500,000 | $ 1,500,000 | ||
Nebraska Invt. Fin. Auth. Single Family Hsg. Rev.: | ||||
Participating VRDN Series Merlots 00 UU, 3.07% (Liquidity | ||||
Facility Wachovia Bank NA) (a)(b)(c) | 625,000 | 625,000 | ||
Series 2001 B, 3.11% (Liquidity Facility Fed. Home Ln. Bank | ||||
Topeka), VRDN (a)(b) | 2,730,000 | 2,730,000 | ||
Series 2001 C, 3.11% (Liquidity Facility Fed. Home Ln. Bank | ||||
Topeka), VRDN (a)(b) | 1,715,000 | 1,715,000 | ||
Series 2002 B, 3.11% (Liquidity Facility Fed. Home Ln. Bank | ||||
Topeka), VRDN (a)(b) | 2,810,000 | 2,810,000 | ||
Series 2002 C, 3.11% (Liquidity Facility Fed. Home Ln. Bank | ||||
Topeka), VRDN (a)(b) | 2,160,000 | 2,160,000 | ||
Series 2002 F, 3.11% (Liquidity Facility Fed. Home Ln. Bank | ||||
Topeka), VRDN (a)(b) | 205,000 | 205,000 | ||
Washington County Indl. Dev. Rev. (Cargill Dow Polymers LLC | ||||
Proj.) 3.02%, LOC Wachovia Bank NA, VRDN (a)(b) | 4,000,000 | 4,000,000 | ||
15,745,000 | ||||
Nevada 1.4% | ||||
Clark County Arpt. Rev. Participating VRDN: | ||||
Series PT 2806, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 3,445,000 | 3,445,000 | ||
Series Putters 498, 3.11% (Liquidity Facility PNC Bank NA, | ||||
Pittsburgh) (a)(b)(c) | 5,285,000 | 5,285,000 | ||
Clark County Indl. Dev. Rev.: | ||||
Participating VRDN: | ||||
Series Floaters 04 1181, 3.09% (Liquidity Facility Morgan | ||||
Stanley) (a)(b)(c) | 3,170,000 | 3,170,000 | ||
Series PA 1023, 3.12% (Liquidity Facility Merrill Lynch & | ||||
Co., Inc.) (a)(b)(c) | 6,190,000 | 6,190,000 | ||
(Southwest Gas Corp. Proj.) Series A, 3.05%, LOC Fleet | ||||
Nat’l. Bank, VRDN (a)(b) | 3,750,000 | 3,750,000 | ||
Truckee Meadows Wtr. Auth. Wtr. Rev. Participating VRDN | ||||
Series SGA 01 137, 3.03% (Liquidity Facility Societe | ||||
Generale) (a)(c) | 1,500,000 | 1,500,000 | ||
23,340,000 | ||||
New Hampshire – 0.6% | ||||
Clipper Tax-Exempt Trust Participating VRDN Series Clipper 05 | ||||
3, 3.15% (Liquidity Facility State Street Bank & Trust Co., | ||||
Boston) (a)(b)(c) | 4,154,000 | 4,154,000 |
See accompanying notes which are an integral part of the financial statements.
29 Semiannual Report
Investments (Unaudited) continued | ||||
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
New Hampshire – continued | ||||
New Hampshire Bus. Fin. Auth. Resource Recovery Rev. | ||||
(Wheelabrator Concord Co. LP Proj.) Series 1997 B, 3.03%, | ||||
LOC Wachovia Bank NA, VRDN (a)(b) | $ 4,525,000 | $ 4,525,000 | ||
New Hampshire Hsg. Fin. Auth. Single Family Rev. | ||||
Participating VRDN Series Merlots 02 A4, 3.07% (Liquidity | ||||
Facility Wachovia Bank NA) (a)(b)(c) | 1,030,000 | 1,030,000 | ||
9,709,000 | ||||
New Mexico – 0.7% | ||||
Bernalillo County Gross Receipt Tax Rev. Participating VRDN | ||||
Series Putters 1118, 3.08% (Liquidity Facility JPMorgan | ||||
Chase & Co.) (a)(c) | 1,910,000 | 1,910,000 | ||
New Mexico Mtg. Fin. Auth. Participating VRDN: | ||||
Series Clipper 05 15, 3.24% (Liquidity Facility State Street | ||||
Bank & Trust Co., Boston) (a)(b)(c) | 5,400,000 | 5,400,000 | ||
Series PT 739, 3.12% (Liquidity Facility BNP Paribas | ||||
SA) (a)(b)(c) | 2,220,000 | 2,220,000 | ||
Series ROC II R426, 3.12% (Liquidity Facility Citigroup | ||||
Global Markets Hldgs., Inc.) (a)(b)(c) | 2,670,000 | 2,670,000 | ||
12,200,000 | ||||
New York – 2.6% | ||||
New York City Gen. Oblig. Participating VRDN Series ROC II | ||||
R251, 3.11% (Citigroup Global Markets Hldgs., Inc. | ||||
Guaranteed) (Liquidity Facility Citigroup Global Markets | ||||
Hldgs., Inc.) (a)(c) | 4,900,000 | 4,900,000 | ||
New York State Hsg. Fin. Agcy. Rev.: | ||||
(Archstone Westbury Hsg. Proj.) Series A, 2.97%, LOC | ||||
JPMorgan Chase Bank, VRDN (a)(b) | 4,500,000 | 4,500,000 | ||
(Clinton Green North Hsg. Proj.) Series A, 2.97%, LOC Bank | ||||
of America NA, VRDN (a)(b) | 28,500,000 | 28,500,000 | ||
New York State Thruway Auth. State Personal Income Tax Rev. | ||||
Participating VRDN Series Putters 1186, 3.08% (Liquidity | ||||
Facility JPMorgan Chase Bank) (a)(c) | 6,265,000 | 6,265,000 | ||
44,165,000 | ||||
New York & New Jersey – 0.2% | ||||
Port Auth. of New York & New Jersey Spl. Oblig. Rev. Series | ||||
6, 2.99%, VRDN (a)(b) | 2,800,000 | 2,800,000 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
30 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Non State Specific 0.3% | ||||
Clipper Tax-Exempt Trust Participating VRDN: | ||||
Series Clipper 04 11, 3.19% (Liquidity Facility State Street | ||||
Bank & Trust Co., Boston) (a)(b)(c) | $ 3,274,000 | $ 3,274,000 | ||
Series Clipper 05 7, 3.16% (Liquidity Facility State Street | ||||
Bank & Trust Co., Boston) (a)(c) | 2,400,000 | 2,400,000 | ||
5,674,000 | ||||
North Carolina – 3.1% | ||||
Catawba County Indl. Facilities & Poll. Cont. Fin. Auth. Rev. | ||||
(Kroehler Furniture Proj.) Series 1998, 3.17%, LOC Nat’l. | ||||
City Bank, VRDN (a)(b) | 970,000 | 970,000 | ||
Durham Hsg. Auth. Multi-family Hsg. Rev. (Lakeside Garden | ||||
Apts. Proj.) 3.1%, LOC SunTrust Bank, VRDN (a)(b) | 6,775,000 | 6,775,000 | ||
Gaston County Indl. Facilities & Poll. Cont. Fing. Auth. Rev. | ||||
(Duke Energy Corp. Proj.) Series 1999, 3.18%, VRDN (a)(b) | 18,800,000 | 18,800,000 | ||
North Carolina Hsg. Fin. Agcy. Home Ownership Rev. | ||||
Participating VRDN: | ||||
Series LB 04 L14, 3.14% (Liquidity Facility Lehman Brothers | ||||
Hldgs., Inc.) (a)(b)(c) | 3,890,000 | 3,890,000 | ||
Series Merlots 00 A37, 3.07% (Liquidity Facility Wachovia | ||||
Bank NA) (a)(b)(c) | 2,695,000 | 2,695,000 | ||
Series Merlots A70, 3.07% (Liquidity Facility Wachovia Bank | ||||
NA) (a)(b)(c) | 3,105,000 | 3,105,000 | ||
North Carolina State Ed. Assistance Auth. Student Ln. Rev.: | ||||
Series 2005 A3, 3.08% (AMBAC Insured), VRDN (a)(b) | 6,200,000 | 6,200,000 | ||
Series 2005 A4, 3.08% (AMBAC Insured), VRDN (a)(b) | 10,000,000 | 10,000,000 | ||
Raleigh Durham Arpt. Auth. Rev. Participating VRDN Series | ||||
MT 100, 3.12% (Liquidity Facility Landesbank | ||||
Hessen-Thuringen) (a)(b)(c) | 1,285,000 | 1,285,000 | ||
53,720,000 | ||||
North Dakota 0.0% | ||||
Fargo Indl. Dev. Rev. (Owen Ind., Inc. Proj.) Series 1997, | ||||
3.1%, LOC Wells Fargo Bank NA, Minnesota, VRDN (a)(b) . | 600,000 | 600,000 | ||
Ohio – 2.3% | ||||
Cuyahoga County Rev. (Cleveland Clinic Health Sys. Obligated | ||||
Group Prog.) Subseries B3, 3.05%, VRDN (a) | 17,300,000 | 17,300,000 | ||
Ohio Air Quality Dev. Auth. Rev.: | ||||
(AK Steel Corp. Proj.) Series A, 3.11%, LOC ABN AMRO | ||||
Bank NV, VRDN (a)(b) | 3,500,000 | 3,500,000 | ||
(Cincinnati Gas & Elec. Co. Proj.) Series A, 3.1%, VRDN (a) | 2,000,000 | 2,000,000 | ||
Ohio Higher Edl. Facility Commission Rev. (Case Western | ||||
Reserve Univ. 2002 Proj.) Series A, 3.01%, VRDN (a) | 5,200,000 | 5,200,000 |
See accompanying notes which are an integral part of the financial statements.
31 Semiannual Report
Investments (Unaudited) continued | ||||
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Ohio – continued | ||||
Ohio Hsg. Fin. Agcy. Mtg. Rev. Participating VRDN: | ||||
Series BA 01 I, 3.16% (Liquidity Facility Bank of America | ||||
NA) (a)(b)(c) | $ 1,475,000 | $ 1,475,000 | ||
Series PT 582, 3.12% (Liquidity Facility Svenska | ||||
Handelsbanken AB) (a)(b)(c) | 3,785,000 | 3,785,000 | ||
Twinsburg Indl. Dev. Rev. (United Stationers Supply Co. Proj.) | ||||
3.12%, LOC PNC Bank NA, Pittsburgh, VRDN (a)(b) | 6,800,000 | 6,800,000 | ||
40,060,000 | ||||
Oklahoma – 0.8% | ||||
Clipper Tax-Exempt Trust Participating VRDN Series Clipper 04 | ||||
3, 3.16% (Liquidity Facility State Street Bank & Trust Co., | ||||
Boston) (a)(b)(c) | 4,648,676 | 4,648,676 | ||
Tulsa County Hsg. Fin. Auth. Single Family Mtg. Rev. | ||||
Participating VRDN Series MS 01 582, 3.12% (Liquidity | ||||
Facility Morgan Stanley) (a)(b)(c) | 600,000 | 600,000 | ||
Tulsa County Indl. Auth. Rev. (Montereau Warren Woods Proj.) | ||||
3%, LOC BNP Paribas SA, VRDN (a) | 7,720,000 | 7,720,000 | ||
12,968,676 | ||||
Oregon – 0.3% | ||||
Portland Hsg. Auth. Rev. (New Columbia – Cecelia Proj.) | ||||
3.1%, LOC Bank of America NA, VRDN (a)(b) | 5,050,000 | 5,050,000 | ||
Pennsylvania – 2.4% | ||||
Allegheny County Indl. Dev. Auth. Rev.: | ||||
(Sacred Heart High School Proj.) 3.11%, LOC PNC Bank | ||||
NA, Pittsburgh, VRDN (a) | 1,000,000 | 1,000,000 | ||
(Union Elec. Steel Co. Proj.) Series 1996 A, 3.13%, LOC | ||||
PNC Bank NA, Pittsburgh, VRDN (a)(b) | 1,000,000 | 1,000,000 | ||
(UPMC Children’s Hosp. Proj.) Series 2004 A, 3.17%, | ||||
VRDN (a) | 5,600,000 | 5,600,000 | ||
Cambria County Ind. Dev. Auth. (Cambria Cogen Co. Proj.) | ||||
Series 1998 A1, 3.1%, LOC Bayerische Hypo-und | ||||
Vereinsbank AG, VRDN (a)(b) | 9,100,000 | 9,100,000 | ||
Geisinger Auth. Health Sys. Rev. (Geisinger Health Sys. Proj.) | ||||
Series B, 3% (Liquidity Facility Wachovia Bank NA), | ||||
VRDN (a) | 2,800,000 | 2,800,000 | ||
Pennsylvania Econ. Dev. Fing. Auth. Exempt Facilities Rev. | ||||
(Merck & Co. Proj.) Series 2000, 3.11%, VRDN (a)(b) | 2,900,000 | 2,900,000 | ||
Pennsylvania Econ. Dev. Fing. Auth. Indl. Dev. Rev.: | ||||
Series 1997 B2, 3.13%, LOC PNC Bank NA, Pittsburgh, | ||||
VRDN (a)(b) | 800,000 | 800,000 | ||
Series 2004 D3, 3.13%, LOC PNC Bank NA, Pittsburgh, | ||||
VRDN (a)(b) | 1,500,000 | 1,500,000 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
32 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Pennsylvania – continued | ||||
Pennsylvania Hsg. Fin. Agcy. Participating VRDN: | ||||
Series PA 930, 3.09% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | $ 1,000,000 | $ 1,000,000 | ||
Series PT 890, 3.11% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 3,100,000 | 3,100,000 | ||
Pennsylvania Tpk. Commission Registration Fee Rev. | ||||
Participating VRDN Series Putters 1167, 3.08% (Liquidity | ||||
Facility JPMorgan Chase Bank) (a)(c) | 2,350,000 | 2,350,000 | ||
Pittsburgh Urban Redev. Auth. Single Family Mortgage Rev. | ||||
Participating VRDN Series PT 996, 3.11% (Liquidity Facility | ||||
Merrill Lynch & Co., Inc.) (a)(b)(c) | 3,300,000 | 3,300,000 | ||
Schuylkill County Indl. Dev. Auth. Resource Recovery Rev. | ||||
(Northeastern Pwr. Co. Proj.) Series 1997 B, 3.09%, LOC | ||||
Dexia Cr. Local de France, VRDN (a)(b) | 7,510,000 | 7,510,000 | ||
41,960,000 | ||||
Rhode Island – 2.3% | ||||
Rhode Island Health & Edl. Bldg. Corp. Rev. (Care New | ||||
England Proj.) Series 2002 A, 3.03%, LOC Fleet Nat’l. Bank, | ||||
VRDN (a) | 40,340,000 | 40,340,000 | ||
South Carolina – 2.1% | ||||
Berkeley County Exempt Facility Indl. Rev. (BP Amoco Chemical | ||||
Co. Proj.) 3.06%, VRDN (a)(b) | 8,700,000 | 8,700,000 | ||
Darlington County Indl. Dev. Rev. (Nucor Corp. Proj.) Series A, | ||||
3.06%, VRDN (a)(b) | 4,000,000 | 4,000,000 | ||
Oconee County Poll. Cont. Rev. (Duke Energy Corp. Proj.) | ||||
Series B, 3.18%, VRDN (a)(b) | 10,000,000 | 10,000,000 | ||
South Carolina Hsg. Fin. & Dev. Auth. Multi-family Rev.: | ||||
(Belton Woods Apt. Proj.) 3.05%, LOC SunTrust Bank, | ||||
VRDN (a)(b) | 5,555,000 | 5,555,000 | ||
(Cedarwoods Apts. Proj.) 3.05%, LOC SunTrust Bank, | ||||
VRDN (a)(b) | 5,620,000 | 5,620,000 | ||
South Carolina Jobs Econ. Dev. Auth. Econ. Dev. Rev.: | ||||
(Mohawk Ind., Inc. Proj.) Series 1997 A, 3.14%, LOC | ||||
Wachovia Bank NA, VRDN (a)(b) | 1,000,000 | 1,000,000 | ||
(Turnils North America Proj.) Series 1999, 3.05%, LOC | ||||
Wachovia Bank NA, VRDN (a)(b) | 1,565,000 | 1,565,000 | ||
36,440,000 | ||||
South Dakota 0.4% | ||||
South Dakota Hsg. Dev. Auth. Participating VRDN: | ||||
Series BA 01 S, 3.19% (Liquidity Facility Bank of America | ||||
NA) (a)(b)(c) | 2,520,000 | 2,520,000 |
See accompanying notes which are an integral part of the financial statements.
33 Semiannual Report
Investments (Unaudited) continued | ||||||
Municipal Securities continued | ||||||
Principal | Value (Note 1) | |||||
Amount | ||||||
South Dakota continued | ||||||
South Dakota Hsg. Dev. Auth. Participating VRDN: – continued | ||||||
Series LB 04 L67 3.14% (Liquidity Facility Lehman Brothers | ||||||
Hldgs., Inc.) (a)(b)(c) | $ 3,300,000 | $ 3,300,000 | ||||
South Dakota Hsg. Dev. Auth. Single Family Rev. Participating | ||||||
VRDN Series PT 889, 3.13% (Liquidity Facility Merrill Lynch | ||||||
& Co., Inc.) (a)(b)(c) | 1,300,000 | 1,300,000 | ||||
7,120,000 | ||||||
Tennessee – 3.0% | ||||||
Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund | ||||||
Proj.): | ||||||
3.03%, LOC Bank of America NA, VRDN (a) | 1,450,000 | 1,450,000 | ||||
3.03%, LOC Bank of America NA, VRDN (a) | 24,770,000 | 24,770,000 | ||||
Memphis-Shelby County Arpt. Auth. Arpt. Rev. Participating | ||||||
VRDN Series Merlots 00 C, 3.07% (Liquidity Facility | ||||||
Wachovia Bank NA) (a)(b)(c) | 3,000,000 | 3,000,000 | ||||
Montgomery County Pub. Bldg. Auth. Pooled Fing. Rev. | ||||||
(Tennessee County Ln. Pool Prog.) 3.03%, LOC Bank of | ||||||
America NA, VRDN (a) | 1,900,000 | 1,900,000 | ||||
Sevier County Pub. Bldg. Auth. Rev. Series 2001 III A, 3.07% | ||||||
(AMBAC Insured), VRDN (a)(b) | 20,970,000 | 20,970,000 | ||||
52,090,000 | ||||||
Texas 18.2% | ||||||
Bell County Health Facilities Dev. Corp. Rev. (Scott & White | ||||||
Memorial Hosp. Proj.) Series B2, 3% (MBIA Insured), | ||||||
VRDN (a) | 8,820,000 | 8,820,000 | ||||
Brazos County Hsg. Fin. Corp. Single Family Mortgage Rev. | ||||||
Participating VRDN Series MT 76, 3.12% (Liquidity Facility | ||||||
Merrill Lynch & Co., Inc.) (a)(b)(c) | 5,400,000 | 5,400,000 | ||||
Brazos River Hbr. Navigation Brazoria County Envir. Facilities | ||||||
Rev.: | ||||||
(JT Venture Proj.) Series 1998, 3.06%, LOC JPMorgan Chase | ||||||
Bank, VRDN (a)(b) | 12,500,000 | 12,500,000 | ||||
(Merey Sweeny LP Proj.): | ||||||
Series 2000 A, 3.06%, LOC JPMorgan Chase Bank, | ||||||
VRDN (a)(b) | 8,600,000 | 8,600,000 | ||||
Series 2002 A: | ||||||
3.06%, LOC Bank of America NA, VRDN (a)(b) | 8,300,000 | 8,300,000 | ||||
3.06%, LOC JPMorgan Chase Bank, VRDN (a)(b) | 12,500,000 | 12,500,000 | ||||
Series 2002 B: | ||||||
3.06%, LOC JPMorgan Chase Bank, VRDN (a)(b) | 12,500,000 | 12,500,000 | ||||
3.06%, LOC JPMorgan Chase Bank, VRDN (a)(b) | 7,500,000 | 7,500,000 | ||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 34 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Texas continued | ||||
Calhoun County Solid Waste Disp. Rev. (Formosa Plastics | ||||
Corp. Proj.): | ||||
Series 2000, 3.1%, LOC Wachovia Bank NA, VRDN (a)(b) . | $ 2,900,000 | $ 2,900,000 | ||
3.1%, LOC Wachovia Bank NA, VRDN (a)(b) | 2,900,000 | 2,900,000 | ||
Dallas Fort Worth Int’l. Arpt. Rev. Participating VRDN: | ||||
Series PT 2830, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 1,755,000 | 1,755,000 | ||
Series PT 738, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 3,910,000 | 3,910,000 | ||
Series Putters 351, 3.11% (Liquidity Facility JPMorgan Chase | ||||
Bank) (a)(b)(c) | 2,500,000 | 2,500,000 | ||
Denton County Gen. Oblig. Participating VRDN Series SGA | ||||
117, 3.03% (Liquidity Facility Societe Generale) (a)(c) | 8,930,000 | 8,930,000 | ||
Gulf Coast Indl. Dev. Auth. Marine Term. (Amoco Oil Co. | ||||
Proj.) Series 1993, 3.06%, VRDN (a)(b) | 9,300,000 | 9,300,000 | ||
Gulf Coast Indl. Dev. Auth. Envir. Facilities Rev. (Citgo | ||||
Petroleum Corp. Proj.): | ||||
Series 1999, 3.06%, LOC BNP Paribas SA, VRDN (a)(b) | 7,700,000 | 7,700,000 | ||
3.05%, LOC WestLB AG, VRDN (a)(b) | 25,000,000 | 25,000,000 | ||
Gulf Coast Indl. Dev. Auth. Exempt Facilities Indl. Rev. (BP | ||||
Global Pwr. Corp. Proj.) 3.06%, VRDN (a)(b) | 13,100,000 | 13,100,000 | ||
Gulf Coast Waste Disp. Auth. Envir. Facilities Rev.: | ||||
(Air Products Proj.) 3.08% (Air Products & Chemicals, Inc. | ||||
Guaranteed), VRDN (a)(b) | 5,000,000 | 5,000,000 | ||
(Amoco Oil Co. Proj.) Series 2001, 3.06%, VRDN (a)(b) | 3,725,000 | 3,725,000 | ||
(BP Amoco Chemical Co. Proj.) Series B, 3.06%, | ||||
VRDN (a)(b) | 4,100,000 | 4,100,000 | ||
Gulf Coast Waste Disp. Auth. Poll. Cont. Rev. (Amoco Oil Co. | ||||
Proj.): | ||||
Series 1993, 3.06%, VRDN (a)(b) | 7,600,000 | 7,600,000 | ||
Series 1994, 3.06%, VRDN (a)(b) | 9,600,000 | 9,600,000 | ||
Harris County Flood Cont. District Participating VRDN Series | ||||
PT 3277, 3.08% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(c) | 3,000,000 | 3,000,000 | ||
Harris County Gen. Oblig. Participating VRDN Series SG 04 | ||||
P19, 3.19% (Liquidity Facility Societe Generale) (a)(c) | 1,625,000 | 1,625,000 | ||
Harris County Health Facilities Dev. Corp. Rev.: | ||||
(Methodist Hosp. Proj.) Series B, 3%, VRDN (a) | 10,840,000 | 10,840,000 | ||
(Saint Luke’s Episcopal Hosp. Proj.) Series B, 3% (Liquidity | ||||
Facility JPMorgan Chase Bank) (Liquidity Facility | ||||
Bayerische Landesbank Girozentrale), VRDN (a) | 38,005,000 | 38,005,000 | ||
(Texas Med. Ctr. Proj.) Series 2001, 3% (MBIA Insured), | ||||
VRDN (a) | 8,190,000 | 8,190,000 | ||
See accompanying notes which are an integral part of the financial statements. |
35 Semiannual Report
Investments (Unaudited) continued | ||||||
Municipal Securities continued | ||||||
Principal | Value (Note 1) | |||||
Amount | ||||||
Texas continued | ||||||
Houston Gen. Oblig. Participating VRDN Series Putters 1151, | ||||||
3.08% (Liquidity Facility JPMorgan Chase Bank) (a)(c) | $ 6,310,000 | $ 6,310,000 | ||||
Houston Wtr. & Swr. Sys. Rev. Participating VRDN Series | ||||||
Merlots 02 A16, 3.02% (Liquidity Facility Wachovia Bank | ||||||
NA) (a)(c) | 2,285,000 | 2,285,000 | ||||
North Texas Higher Ed. Auth. Student Ln. Rev. Series 1991 F, | ||||||
3.03% (AMBAC Insured), VRDN (a)(b) | 2,400,000 | 2,400,000 | ||||
Port Arthur Navigation District Indl. Dev. Corp. Exempt | ||||||
Facilities Rev. (Air Products & Chemicals, Inc. Proj.) 3.09% | ||||||
(Air Products & Chemicals, Inc. Guaranteed), VRDN (a)(b) | 8,300,000 | 8,300,000 | ||||
Port Corpus Christi Indl. Dev. Corp. Envir. Facilities Rev. (Citgo | ||||||
Petroleum Corp. Proj.) Series 1998, 3.06%, LOC JPMorgan | ||||||
Chase Bank, VRDN (a)(b) | 3,000,000 | 3,000,000 | ||||
Port of Port Arthur Navigation District Envir. Facilities Rev. | ||||||
(Motiva Enterprises LLC Proj.) 3.1%, VRDN (a)(b) | 2,895,000 | 2,895,000 | ||||
San Antonio Elec. & Gas Systems Rev. Participating VRDN | ||||||
Series Merlots 01 A10, 3.02% (Liquidity Facility Wachovia | ||||||
Bank NA) (a)(c) | 5,775,000 | 5,775,000 | ||||
Texas Dept. Hsg. & Cmnty. Affairs Residential Mtg. Rev. | ||||||
Participating VRDN Series LB 05 L2, 3.14% (Liquidity Facility | ||||||
Lehman Brothers Hldgs., Inc.) (a)(b)(c) | 4,730,000 | 4,730,000 | ||||
Texas Gen. Oblig.: | ||||||
Participating VRDN: | ||||||
Series PT 3026, 3.08% (Liquidity Facility Merrill Lynch & | ||||||
Co., Inc.) (a)(c) | 4,180,000 | 4,180,000 | ||||
Series Putters 1016, 3.08% (Liquidity Facility JPMorgan | ||||||
Chase Bank) (a)(c) | 3,320,000 | 3,320,000 | ||||
(Veterans Hsg. Assistance Prog.) Series A, 3.11% (Liquidity | ||||||
Facility State Street Bank & Trust Co., Boston), VRDN (a)(b) | 3,530,000 | 3,530,000 | ||||
Victoria Independent School District Participating VRDN Series | ||||||
PT 3057, 3.08% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(c) | 2,230,000 | 2,230,000 | ||||
West Side Calhoun County Navigation District Envir. Facilities | ||||||
Rev. (BP Chemicals, Inc. Proj.) Series 2000, 3.06%, | ||||||
VRDN (a)(b) | 19,000,000 | 19,000,000 | ||||
313,755,000 | ||||||
Utah 0.6% | ||||||
Utah Board of Regents Student Ln. Rev. Series 1996 Q, 3.03% | ||||||
(AMBAC Insured), VRDN (a)(b) | 10,000,000 | 10,000,000 | ||||
Virginia – 0.1% | ||||||
Chesterfield County Indl. Dev. Auth. Rev. Participating VRDN | ||||||
Series PT 886, 3.13% (Liquidity Facility Lloyds TSB Bank | ||||||
PLC) (a)(c) | 1,700,000 | 1,700,000 | ||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 36 |
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Washington 7.2% | ||||
Chelan County Pub. Util. District #1 Rev. Participating VRDN | ||||
Series Merlots 00 R, 3.07% (Liquidity Facility Wachovia | ||||
Bank NA) (a)(b)(c) | $ 2,400,000 | $ 2,400,000 | ||
Clark County School District #37, Vancouver Participating | ||||
VRDN Series PZ 55, 3.12% (Liquidity Facility Merrill Lynch & | ||||
Co., Inc.) (a)(c) | 4,855,000 | 4,855,000 | ||
Pierce County Econ. Dev. Corp. Rev. (K&M Hldgs. II Proj.) | ||||
Series 1997, 3.15%, LOC Wells Fargo Bank NA, San | ||||
Francisco, VRDN (a)(b) | 1,100,000 | 1,100,000 | ||
Port Bellingham Indl. Dev. Corp. Envir. Facilities Indl. Rev.: | ||||
(Atlantic Richfield Proj.) 3.06%, VRDN (a)(b) | 19,600,000 | 19,600,000 | ||
(BP West Coast Products LLC Proj.) 3.06%, VRDN (a)(b) | 5,150,000 | 5,150,000 | ||
Port of Seattle Rev. Participating VRDN: | ||||
Series MS 1169X, 3.09% (Liquidity Facility Morgan | ||||
Stanley) (a)(b)(c) | 4,777,500 | 4,777,500 | ||
Series PT 2171, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b)(c) | 3,095,000 | 3,095,000 | ||
Series Putters 1180, 3.08% (Liquidity Facility JPMorgan | ||||
Chase & Co.) (a)(c) | 2,550,000 | 2,550,000 | ||
Series ROC II R329, 3.12% (Liquidity Facility Citibank | ||||
NA) (a)(b)(c) | 995,000 | 995,000 | ||
Port of Tacoma Rev. Participating VRDN: | ||||
Series Putters 1043, 3.11% (Liquidity Facility JPMorgan | ||||
Chase & Co.) (a)(b)(c) | 3,070,000 | 3,070,000 | ||
Series Putters 1053, 3.11% (Liquidity Facility JPMorgan | ||||
Chase & Co.) (a)(b)(c) | 3,075,000 | 3,075,000 | ||
Seattle Hsg. Auth. Rev. (NewHolly Phase III Proj.) 3.11%, LOC | ||||
Key Bank NA, VRDN (a)(b) | 2,355,000 | 2,355,000 | ||
Seattle Muni. Lt. & Pwr. Rev. Participating VRDN Series SGA | ||||
96, 3.03% (Liquidity Facility Societe Generale) (a)(c) | 14,955,000 | 14,955,000 | ||
Washington Econ. Dev. Fin. Auth. Econ. Dev. Rev. (Mount | ||||
Ainstar Resort Proj.) 3.13%, LOC U.S. Bank NA, Minnesota, | ||||
VRDN (a)(b) | 9,145,000 | 9,145,000 | ||
Washington Econ. Dev. Fin. Auth. Solid Waste Disp. Rev. | ||||
(Waste Mgmt., Inc. Proj.) Series E, 3.1%, LOC JPMorgan | ||||
Chase Bank, VRDN (a)(b) | 5,000,000 | 5,000,000 | ||
Washington Hsg. Fin. Commission Multi-family Hsg. Rev.: | ||||
(Crestview Apts. Proj.) 3.12%, LOC Bank of America NA, | ||||
VRDN (a)(b) | 14,000,000 | 14,000,000 | ||
(Highland Park Apts. Proj.) Series A, 3.12%, LOC Bank of | ||||
America NA, VRDN (a)(b) | 4,520,000 | 4,520,000 | ||
(Seaport Landing Retirement Proj.) Series A, 3.19%, LOC | ||||
Bank of America NA, VRDN (a)(b) | 11,880,000 | 11,880,000 |
See accompanying notes which are an integral part of the financial statements.
37 Semiannual Report
Investments (Unaudited) continued | ||||
Municipal Securities continued | ||||
Principal | Value (Note 1) | |||
Amount | ||||
Washington – continued | ||||
Washington Hsg. Fin. Commission Multi-family Hsg. Rev.: - | ||||
continued | ||||
(Silver Creek Retirement Proj.) Series A, 3.19%, LOC Wells | ||||
Fargo Bank NA, San Francisco, VRDN (a)(b) | $ 5,100,000 | $ 5,100,000 | ||
(Woodland Retirement Proj.) Series A, 3.19%, LOC Wells | ||||
Fargo Bank NA, San Francisco, VRDN (a)(b) | 6,875,000 | 6,875,000 | ||
124,497,500 | ||||
West Virginia – 0.1% | ||||
Marion County Solid Waste Disp. Rev. (Grant Town | ||||
Cogeneration Proj.) Series 1990 B, 3.05%, LOC Deutsche | ||||
Bank AG, VRDN (a)(b) | 915,000 | 915,000 | ||
Wisconsin – 0.7% | ||||
Sturtevant Indl. Dev. Rev. (Quadra, Inc. Proj.) 3.26%, LOC | ||||
JPMorgan Chase Bank, VRDN (a)(b) | 1,100,000 | 1,100,000 | ||
Wisconsin Hsg. & Econ. Dev. Auth. Home Ownership Rev.: | ||||
Participating VRDN: | ||||
Series PA 1331, 3.13% (Liquidity Facility Merrill Lynch & | ||||
Co., Inc.) (a)(b)(c) | 1,790,000 | 1,790,000 | ||
Series ROC II R420, 3.12% (Liquidity Facility Citibank | ||||
NA) (a)(b)(c) | 4,870,000 | 4,870,000 | ||
Series 2002 I, 3.03% (FSA Insured), VRDN (a)(b) | 5,000,000 | 5,000,000 | ||
12,760,000 | ||||
TOTAL INVESTMENT PORTFOLIO 100.2% | ||||
(Cost $1,730,625,001) | 1,730,625,001 | |||
NET OTHER ASSETS – (0.2)% | (4,013,797) | |||
NET ASSETS 100% | $ 1,726,611,204 |
Security Type Abbreviations CP - COMMERCIAL PAPER VRDN - VARIABLE RATE DEMAND NOTE |
Legend (a) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (b) Private activity obligations whose interest is subject to the federal alternative minimum tax for individuals. (c) Provides evidence of ownership in one or more underlying municipal bonds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report 38
Financial Statements | ||||||
Statement of Assets and Liabilities | ||||||
November 30, 2005 (Unaudited) | ||||||
Assets | ||||||
Investment in securities, at value See accompanying | ||||||
schedule: | ||||||
Unaffiliated issuers (cost $1,730,625,001) | $1,730,625,001 | |||||
Interest receivable | 6,693,618 | |||||
Prepaid expenses | 7,310 | |||||
Other receivables | 1,781 | |||||
Total assets | 1,737,327,710 | |||||
Liabilities | ||||||
Payable to custodian bank | $ | 2,311 | ||||
Payable for investments purchased | 6,266,586 | |||||
Distributions payable | 4,428,973 | |||||
Other payables and accrued expenses | 18,636 | |||||
Total liabilities | 10,716,506 | |||||
Net Assets | $ 1,726,611,204 | |||||
Net Assets consist of: | ||||||
Paid in capital | $1,726,632,345 | |||||
Undistributed net investment income | 5,965 | |||||
Accumulated undistributed net realized gain (loss) on | ||||||
investments | (27,106) | |||||
Net Assets, for 1,726,257,472 shares outstanding | $ 1,726,611,204 | |||||
Net Asset Value, offering price and redemption price per | ||||||
share ($1,726,611,204 ÷ 1,726,257,472 shares) | $ | 1.00 |
See accompanying notes which are an integral part of the financial statements.
39 Semiannual Report
Financial Statements continued | ||||
Statement of Operations | ||||
Six months ended November 30, 2005 (Unaudited) | ||||
Investment Income | ||||
Interest | $ 20,941,651 | |||
Expenses | ||||
Independent trustees’ compensation | $ | 3,509 | ||
Custodian fees and expenses | 14,958 | |||
Audit | 17,176 | |||
Legal | 458 | |||
Insurance | 7,210 | |||
Miscellaneous | 15 | |||
Total expenses | 43,326 | |||
Net investment income | 20,898,325 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment securities: | ||||
Unaffiliated issuers | 1,794 | |||
Net increase in net assets resulting from operations | $ 20,900,119 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
40 |
Statement of Changes in Net Assets | ||||||
Six months ended | Year ended | |||||
November 30, 2005 | May 31, | |||||
(Unaudited) | 2005 | |||||
Increase (Decrease) in Net Assets | ||||||
Operations | ||||||
Net investment income | $ 20,898,325 | $ 40,659,992 | ||||
Net realized gain (loss) | 1,794 | 28,900 | ||||
Net increase in net assets resulting from operations | . | 20,900,119 | 40,688,892 | |||
Distributions to shareholders from net investment income | . | (20,907,276) | (40,650,916) | |||
Share transactions at net asset value of $1.00 per share | ||||||
Proceeds from sales of shares | 1,835,660,500 | 7,540,927,400 | ||||
Cost of shares redeemed | (1,745,861,300) | (8,446,075,000) | ||||
Net increase (decrease) in net assets and shares | ||||||
resulting from share transactions | 89,799,200 | (905,147,600) | ||||
Total increase (decrease) in net assets | 89,792,043 | (905,109,624) | ||||
Net Assets | ||||||
Beginning of period | 1,636,819,161 | 2,541,928,785 | ||||
End of period (including undistributed net investment | ||||||
income of $5,965 and undistributed net investment | ||||||
income of $14,916, respectively) | $ 1,726,611,204 | $ 1,636,819,161 |
See accompanying notes which are an integral part of the financial statements.
41 Semiannual Report
Financial Highlights | ||||||||||||
Six months ended | ||||||||||||
November 30, | ||||||||||||
2005 | Years ended May 31, | |||||||||||
(Unaudited) | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||
Selected Per Share Data | ||||||||||||
Net asset value, | ||||||||||||
beginning of | ||||||||||||
period | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||
Income from | ||||||||||||
Investment | ||||||||||||
Operations | ||||||||||||
Net investment | ||||||||||||
income | 013 | .017 | .010 | .014 | .019 | .039 | ||||||
Distributions from | ||||||||||||
net investment | ||||||||||||
income | (.013) | (.017) | (.010) | (.014) | (.019) | (.039) | ||||||
Net asset value, | ||||||||||||
end of period . | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | $ 1.00 | ||||||
Total ReturnB,C | 1.29% | 1.76% | 1.02% | 1.38% | 1.93% | 4.01% | ||||||
Ratios to Average Net AssetsD | ||||||||||||
Expenses | ||||||||||||
before | ||||||||||||
reductions | 0053%A | .0046% | .0040% | .0045% | .0092% | .0101% | ||||||
Expenses net of | ||||||||||||
fee waivers, | ||||||||||||
if any | 0053%A | .0046% | .0040% | .0045% | .0092% | .0101% | ||||||
Expenses | ||||||||||||
net of all | ||||||||||||
reductions | 0053%A | .0046% | .0030% | .0025% | .0068% | .0073% | ||||||
Net investment | ||||||||||||
income | 2.58%A | 1.69% | 1.01% | 1.36% | 1.75% | 3.92% | ||||||
Supplemental Data | ||||||||||||
Net assets, | ||||||||||||
end of period | ||||||||||||
(000 omitted) | $1,726,611 | $1,636,81 | $2,541,929 | $1,875,463 | $1,442,613 | $513,360 |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
42 |
Notes to Financial Statements
For the period ended November 30, 2005 (Unaudited)
1. Significant Accounting Policies.
Fidelity Municipal Cash Central Fund (the fund) is a fund of Fidelity Revere Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is regis tered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open end management investment company organized as a Delaware statutory trust. Shares of the fund are only offered to other investment companies and accounts (the investing funds) managed by Fidelity Management & Research Company (FMR), or its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require manage ment 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 by compliance with certain conditions under Rule 2a 7 of the 1940 Act, securities are valued at amortized cost, which approximates value. Investments in open end mutual funds are valued at their closing net asset value each business day.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distribu tions from realized gains, if any, are recorded on the ex dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
The fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the Internal Revenue Service (IRS) will agree with this opinion. In the event the IRS determines that the issuer does not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
43 Semiannual Report
Notes to Financial Statements (Unaudited) continued 1. Significant Accounting Policies continued Income Tax Information and Distributions to Shareholders continued |
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ | — | ||
Unrealized depreciation | — | |||
Net unrealized appreciation (depreciation) | $ | — | ||
Cost for federal income tax purposes | $ | 1,730,625,001 |
2. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the fund with investment management services. The fund does not pay any fees for these services.
3. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum expo sure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is consid ered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the fund.
Semiannual Report |
44 |
Board Approval of Investment Advisory Contracts and Management Fees
Municipal Cash Central Fund
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Fixed Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant and ultimately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fiduciary duty under applicable law.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub advisers (together, the Investment Advisers), including the background of the fund’s portfolio manager and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s invest ment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropri ate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and
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Board Approval of Investment Advisory Contracts and Management Fees continued
management personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an elec tronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Administrative Services. The Board considered the nature, extent, quality, and cost of administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restric tions. The Board reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund’s Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment compa nies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund’s management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except operating expenses for services provided by entities not affiliated with FMR, such as fees for custodial, auditing, legal and insurance services. Based on its review, the Board concluded that the fund’s net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, manag ing, administering and servicing the fund and its shareholders. The Board also consid ered the level of Fidelity’s profits in respect of all the Fidelity funds.
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46 |
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity’s fund profitability methodology, including additional detail on various cost allocations; (ii) fall out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures
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Board Approval of Investment Advisory Contracts and Management Fees continued
are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
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48 |
Fidelity® Securities Lending Cash Central Fund
Semiannual Report November 30, 2005 |
To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800 544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1- 800-SEC-0330.
1.743119.105 | 421734.1.0 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2005 to November 30, 2005).
Actual Expenses |
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Expenses Paid | ||||||||||
During Period* | ||||||||||
Beginning | Ending | June 1, 2005 | ||||||||
Account Value | Account Value | to November 30, | ||||||||
June 1, 2005 | November 30, 2005 | 2005 | ||||||||
Actual | $ | 1,000.00 | $ | 1,018.10 | $ | .05 | ||||
Hypothetical (5% return per year | ||||||||||
before expenses) | $ | 1,000.00 | $ | 1,025.02 | $ | .05 |
* Expenses are equal to the Fund’s annualized expense ratio of ..0098%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
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2 |
Investment Changes | ||||||
Maturity Diversification | ||||||
Days | % of fund’s | % of fund’s | % of fund’s | |||
investments | investments | investments | ||||
11/30/05 | 5/31/05 | 11/30/04 | ||||
0 – 30 | 98.1 | 95.1 | 79.9 | |||
31 – 90 | 1.1 | 4.9 | 10.2 | |||
91 – 180 | 0.0 | 0.0 | 9.9 | |||
181 – 397 | 0.8 | 0.0 | 0.0 | |||
Weighted Average Maturity | ||||||
11/30/05 | 5/31/05 | 11/30/04 | ||||
Fidelity Security Lending Cash | ||||||
Central Fund | 4 Days | 5 Days | 22 Days | |||
All Taxable Money Market | ||||||
Funds Average* | 37 Days | 35 Days | 40 Days |
** Net Other Assets are not included in the pie chart.
*Source: iMoneyNet, Inc.
3 Semiannual Report
Investments November 30, 2005 (Unaudited) | ||||||
Showing Percentage of Net Assets | ||||||
Federal Agencies 1.9% | ||||||
Due | Annualized Yield at | Principal | Value | |||
Date | Time of Purchase | Amount | (Note 1) | |||
Fannie Mae – 1.1% | ||||||
Agency Coupons – 1.1% | ||||||
2/22/06 | 4.27% (a) | $ 100,000,000 | $ 99,970,467 | |||
Freddie Mac – 0.8% | ||||||
Discount Notes – 0.8% | ||||||
9/27/06 | 4.26 | 50,000,000 | 48,297,917 | |||
9/29/06 | 4.51 | 30,000,000 | 28,910,283 | |||
77,208,200 | ||||||
TOTAL FEDERAL AGENCIES | 177,178,667 | |||||
Repurchase Agreements 98.4% | ||||||
Maturity | ||||||
Amount | ||||||
In a joint trading account (Collateralized by U.S. | ||||||
Government Obligations) dated 11/30/05 due | ||||||
12/1/05 At: | ||||||
4.03% (c) | $ 256,799,772 | 256,771,000 | ||||
4.04% (c) | 8,585,505,692 | 8,584,543,000 | ||||
With Goldman Sachs & Co. At 4.16%, dated: | ||||||
11/21/05 due 12/19/05 (Collateralized by | ||||||
Corporate Obligations valued at $183,750,960, 0% | ||||||
– 7%, 11/16/07 – 5/15/34) (a)(b) | 175,566,222 | 175,000,000 | ||||
11/30/05 due 12/1/05 (Collateralized by Corporate | ||||||
Obligations valued at $341,250,695, 0% – 8%, | ||||||
11/15/06 – 11/15/35) | 325,037,578 | 325,000,000 | ||||
TOTAL REPURCHASE AGREEMENTS | 9,341,314,000 | |||||
TOTAL INVESTMENT PORTFOLIO 100.3% | ||||||
(Cost $9,518,492,667) | 9,518,492,667 | |||||
NET OTHER ASSETS – (0.3)% | (25,848,848) | |||||
NET ASSETS 100% | $ 9,492,643,819 | |||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 4 |
Legend (a) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due dates on these types of securities reflect the next interest rate reset date or, when applicable, the final maturity date. (b) The maturity amount is based on the rate at period end. (c) Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement/ | Value | |
Counterparty | ||
$256,771,000 due | ||
12/1/05 at 4.03% | ||
Banc of America | ||
Securities LLC | $ 87,535,568 | |
Credit Suisse First Boston | ||
LLC | 116,714,091 | |
Morgan Stanley & Co. | ||
Incorporated | 52,521,341 | |
$ 256,771,000 | ||
$8,584,543,000 due | ||
12/1/05 at 4.04% | ||
Banc of America | ||
Securities LLC | $2,289,777,115 | |
Bank of America, | ||
National Association | 291,691,352 | |
Barclays Capital Inc. | 3,062,759,198 | |
Goldman, Sachs & Co. | 1,166,765,409 | |
Morgan Stanley & Co. | ||
Incorporated. | 985,983,276 | |
Societe Generale, New | ||
York Branch | 145,845,676 | |
UBS Securities LLC | 568,798,136 | |
Wachovia Capital | ||
Markets, LLC | 72,922,838 | |
$ 8,584,543,000 |
Income Tax Information
At May 31, 2005, the fund had a capital loss carryforward of approximately $387,080 of which $37,595 and $349,485 will expire on May 31, 2012 and 2013, respectively.
See accompanying notes which are an integral part of the financial statements.
5 Semiannual Report
Financial Statements | ||||||
Statement of Assets and Liabilities | ||||||
November 30, 2005 (Unaudited) | ||||||
Assets | ||||||
Investment in securities, at value | ||||||
(including repurchase agreements of $9,341,314,000) | ||||||
See accompanying schedule: | ||||||
Unaffiliated issuers (cost $9,518,492,667) | $9,518,492,667 | |||||
Cash | 224 | |||||
Interest receivable | 1,335,340 | |||||
Prepaid expenses | 33,416 | |||||
Total assets | 9,519,861,647 | |||||
Liabilities | ||||||
Distributions payable | $ | 27,146,034 | ||||
Other affiliated payables | 53,612 | |||||
Other payables and accrued expenses | 18,182 | |||||
Total liabilities | 27,217,828 | |||||
Net Assets | $ 9,492,643,819 | |||||
Net Assets consist of: | ||||||
Paid in capital | $9,493,142,574 | |||||
Undistributed net investment income | 7,861 | |||||
Accumulated undistributed net realized gain (loss) on | ||||||
investments | (506,616) | |||||
Net Assets, for 9,493,088,704 shares outstanding | $ 9,492,643,819 | |||||
Net Asset Value, offering price and redemption price per | ||||||
share ($9,492,643,819 ÷ 9,493,088,704 shares) | $ | 1.00 |
See accompanying notes which are an integral part of the financial statements.
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6 |
Statement of Operations | ||||||
Six months ended November 30, 2005 (Unaudited) | ||||||
Investment Income | ||||||
Interest | $ | 118,575,011 | ||||
Expenses | ||||||
Accounting fees and expenses | $ | 266,843 | ||||
Independent trustees’ compensation | 15,486 | |||||
Custodian fees and expenses | 4,805 | |||||
Audit | 17,176 | |||||
Legal | 2,000 | |||||
Insurance | 17,558 | |||||
Miscellaneous | 15 | |||||
Total expenses before reductions | 323,883 | |||||
Expense reductions | (162) | 323,721 | ||||
Net investment income | 118,251,290 | |||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss) on: | ||||||
Investment securities: | ||||||
Unaffiliated issuers | 95,292 | |||||
Net increase in net assets resulting from operations | $ | 118,346,582 |
See accompanying notes which are an integral part of the financial statements.
7 Semiannual Report
Financial Statements continued | ||||
Statement of Changes in Net Assets | ||||
Six months ended | Year ended | |||
November 30, 2005 | May 31, | |||
(Unaudited) | 2005 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income | $ 118,251,290 | $ 143,498,327 | ||
Net realized gain (loss) | 95,292 | (453,541) | ||
Net increase in net assets resulting | ||||
from operations | 118,346,582 | 143,044,786 | ||
Distributions to shareholders from net investment income | (118,248,924) | (143,636,219) | ||
Share transactions at net asset value of $1.00 per share | ||||
Proceeds from sales of shares | 28,202,018,875 | 48,968,416,680 | ||
Cost of shares redeemed | (28,457,214,284) | (47,169,891,539) | ||
Net increase (decrease) in net assets and shares | ||||
resulting from share transactions | (255,195,409) | 1,798,525,141 | ||
Total increase (decrease) in net assets | (255,097,751) | 1,797,933,708 | ||
Net Assets | ||||
Beginning of period | 9,747,741,570 | 7,949,807,862 | ||
End of period (including undistributed net investment | ||||
income of $7,861 and undistributed net investment | ||||
income of $5,495, respectively) | $ 9,492,643,819 | $ 9,747,741,570 |
See accompanying notes which are an integral part of the financial statements.
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8 |
Financial Highlights | ||||||||||||||||
Six months ended | ||||||||||||||||
November 30, | ||||||||||||||||
2005 | Years ended May 31, | |||||||||||||||
(Unaudited) | 2005 | 2004 | 2003 | 2002 | 2001 | |||||||||||
Selected Per Share Data | ||||||||||||||||
Net asset value, | ||||||||||||||||
beginning of | ||||||||||||||||
period | $ 1.00 | $ | 1.00 | $ 1.00 | $ 1.00 | $ | 1.00 | $ 1.00 | ||||||||
Income from | ||||||||||||||||
Investment | ||||||||||||||||
Operations | ||||||||||||||||
Net investment | ||||||||||||||||
income | 018 | .020 | .011 | .016 | .025 | .060 | ||||||||||
Distributions from | ||||||||||||||||
net investment | ||||||||||||||||
income | (.018) | (.020) | (.011) | (.016) | (.025) | (.060) | ||||||||||
Net asset value, | ||||||||||||||||
end of period . | $ 1.00 | $ | 1.00 | $ 1.00 | $ 1.00 | $ | 1.00 | $ 1.00 | ||||||||
Total ReturnB,C | 1.81% | 2.04% | 1.11% | 1.59% | 2.57% | 6.22% | ||||||||||
Ratios to Average Net AssetsD | ||||||||||||||||
Expenses | ||||||||||||||||
before | ||||||||||||||||
reductions | 0098%A | .0099% | .0102% | .0113% | .0115% | .0107% | ||||||||||
Expenses net of | ||||||||||||||||
fee waivers, | ||||||||||||||||
if any | 0098%A | .0099% | .0102% | .0113% | .0115% | .0107% | ||||||||||
Expenses net of | ||||||||||||||||
all reductions | .0098%A | .0096% | .0102% | .0113% | .0113% | .0105% | ||||||||||
Net investment | ||||||||||||||||
income | 3.58%A | 2.13% | 1.10% | 1.53% | 2.56% | 6.04% | ||||||||||
Supplemental Data | ||||||||||||||||
Net assets, end | ||||||||||||||||
of period | ||||||||||||||||
(000 omitted) | $9,492,644 | $9,747,742 | $7,949,808 | $4,286,512 | $3,829,173 | $4,029,347 |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund. |
See accompanying notes which are an integral part of the financial statements.
9 Semiannual Report |
Notes to Financial Statements
For the period ended November 30, 2005 (Unaudited)
1. Significant Accounting Policies.
Fidelity Securities Lending Cash Central Fund (the fund) is a fund of Fidelity Revere Street 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 statu tory trust. Shares of the fund are only offered to other investment companies and accounts (the investing funds) managed by Fidelity Management & Research Company (FMR), or its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require 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 by compliance with certain conditions under Rule 2a 7 of the 1940 Act, securities are valued at amortized cost, which approximates value.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distribu tions from realized gains, if any, are recorded on the ex dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to capital loss carryforwards.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ | — | ||
Unrealized depreciation | — | |||
Net unrealized appreciation (depreciation) | $ | — | ||
Cost for federal income tax purposes | $ | 9,518,492,667 |
Semiannual Report 10
2. Operating Policies. |
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
3. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR, provides the fund with investment management services. The fund does not pay any fees for these services.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the fund’s accounting records. The fee is based on the level of average net assets for the month.
4. Expense Reductions. |
Through arrangements with the fund’s custodian, credits realized as a result of unin vested cash balances were used to reduce the fund’s expenses. During the period, these credits reduced the fund’s expenses by $162.
5. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is considered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the fund.
11 Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Securities Lending Cash Central Fund
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Fixed Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant and ultimately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fiduciary duty under applicable law.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub advisers (together, the Investment Advisers), including the background of the fund’s portfolio manager and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s invest ment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropri ate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and
Semiannual Report |
12 |
management personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an elec tronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Administrative Services. The Board considered the nature, extent, quality, and cost of administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restric tions. The Board reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund’s Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment compa nies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund’s management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except operating expenses for services provided by entities not affiliated with FMR, such as fees for custodial, auditing, legal and insurance services. Based on its review, the Board concluded that the fund’s net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, manag ing, administering and servicing the fund and its shareholders. The Board also consid ered the level of Fidelity’s profits in respect of all the Fidelity funds.
13 Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity’s fund profitability methodology, including additional detail on various cost allocations; (ii) fall out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Semiannual Report |
14 |
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
15 Semiannual Report
Fidelity® Tax Free Cash Central Fund
Semiannual Report November 30, 2005 |
To view a fund’s proxy voting guidelines and proxy voting record for the 12 month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securi ties and Exchange Commission’s (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N Q. Forms N Q are available on the SEC’s web site at http://www.sec.gov. A fund’s Forms N Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC’s Public Reference Room may be obtained by calling 1- 800-SEC-0330.
1.810806.101 | 422142.1.0 |
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (June 1, 2005 to November 30, 2005).
Actual Expenses |
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the share holder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Expenses Paid | ||||||||||
During Period* | ||||||||||
Beginning | Ending | June 1, 2005 | ||||||||
Account Value | Account Value | to November 30, | ||||||||
June 1, 2005 | November 30, 2005 | 2005 | ||||||||
Actual | $ | 1,000.00 | $ | 1,012.40 | $ | .13 | ||||
Hypothetical (5% return per year | ||||||||||
before expenses) | $ | 1,000.00 | $ | 1,024.94 | $ | .13 |
* Expenses are equal to the Fund’s annualized expense ratio of ..0252%; multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period).
Semiannual Report |
2 |
Investment Changes | ||||||||
Maturity Diversification | ||||||||
Days | % of fund’s | % of fund’s | % of fund’s | |||||
investments | investments | investments | ||||||
11/30/05 | 5/31/05 | 11/30/04 | ||||||
0 – 30 | 100.0 | 100.0 | 100.0 | |||||
Weighted Average Maturity | ||||||||
11/30/05 | 5/31/05 | 11/30/04 | ||||||
Fidelity Tax Free Cash Central | ||||||||
Fund | 4 Days | 2 Days | 3 Days | |||||
All Tax Free Money Market | ||||||||
Funds Average* | 29 Days | 22 Days | 35 Days |
*Source: iMoneyNet, Inc.
3 Semiannual Report
Investments November 30, 2005 (Unaudited) | ||||||
Showing Percentage of Net Assets | ||||||
Municipal Securities 99.8% | ||||||
Principal | Value | |||||
Amount | (Note 1) | |||||
Alabama – 1.7% | ||||||
ABN AMRO Muni. Tops Ctfs. Trust Participating VRDN | ||||||
Series AAB 20, 3.09% (Liquidity Facility ABN-AMRO Bank | ||||||
NV) (a)(b) | $ 1,000,000 | $ 1,000,000 | ||||
Columbia Indl. Dev. Board Poll. Cont. Rev. (Alabama Pwr. Co. | ||||||
Proj.) Series 1995 A, 3%, VRDN (a) | 3,460,000 | 3,460,000 | ||||
4,460,000 | ||||||
Alaska – 4.2% | ||||||
Valdez Marine Term. Rev. (BP Pipelines, Inc. Proj.): | ||||||
Series B, 3%, VRDN (a) | 7,700,000 | 7,700,000 | ||||
3%, VRDN (a) | 2,950,000 | 2,950,000 | ||||
10,650,000 | ||||||
Arizona – 0.1% | ||||||
Phoenix Civic Impt. Corp. District Rev. Participating VRDN | ||||||
Series PZ 85, 3.12% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(b) | 300,000 | 300,000 | ||||
California – 0.8% | ||||||
California Gen. Oblig. Participating VRDN Series TOC 05 | ||||||
GG, 3.07% (Liquidity Facility Goldman Sachs Group, | ||||||
Inc.) (a)(b) | 2,000,000 | 2,000,000 | ||||
Colorado – 1.6% | ||||||
Adams County Rev. Participating VRDN Series TOC 05 T, | ||||||
3.08% (Liquidity Facility Goldman Sachs Group, Inc.) (a)(b) . | 1,000,000 | 1,000,000 | ||||
Colorado Health Facilities Auth. Retirement Hsg. Rev. | ||||||
Participating VRDN Series PZ 89, 3.12% (Liquidity Facility | ||||||
Merrill Lynch & Co., Inc.) (a)(b) | 2,000,000 | 2,000,000 | ||||
Moffat County Poll. Cont. Rev. (Colorado-UTE Elec. Assoc., Inc. | ||||||
Proj.) Series 1984, 3.06% (AMBAC Insured), VRDN (a) | 1,000,000 | 1,000,000 | ||||
4,000,000 | ||||||
Florida – 4.5% | ||||||
Dade County Indl. Dev. Auth. Rev. (Florida Pwr. & Lt. Co. Proj.) | ||||||
Series 1993, 3.01%, VRDN (a) | 1,400,000 | 1,400,000 | ||||
Florida Board of Ed. Pub. Ed. Participating VRDN Series PT | ||||||
2979, 3.07% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(b) | 1,500,000 | 1,500,000 | ||||
Lee County Hosp. Board of Directors Hosp. Rev. (Lee Memorial | ||||||
Health Sys. Proj.): | ||||||
Series 1985 C, 3.02%, VRDN (a) | 3,500,000 | 3,500,000 | ||||
See accompanying notes which are an integral part of the financial statements. | ||||||
Semiannual Report | 4 |
Municipal Securities continued | ||||||
Principal | Value | |||||
Amount | (Note 1) | |||||
Florida – continued | ||||||
Lee County Hosp. Board of Directors Hosp. Rev. (Lee Memorial | ||||||
Health Sys. Proj.): – continued | ||||||
Series 1985 D, 3.02%, VRDN (a) | $ 4,500,000 | $ | 4,500,000 | |||
Orange County Indl. Dev. Auth. Indl. Dev. Rev. (Central Florida | ||||||
YMCA Proj.) Series A, 3.1%, LOC Bank of America NA, | ||||||
VRDN (a) | 600,000 | 600,000 | ||||
11,500,000 | ||||||
Georgia – 0.3% | ||||||
Athens-Clarke County Unified Govt. Dev. Auth. Rev. (Univ. of | ||||||
Georgia Athletic Assoc. Proj.) Series B, 3.02%, LOC Bank of | ||||||
America NA, VRDN (a) | 700,000 | 700,000 | ||||
Illinois – 7.2% | ||||||
Chicago Gen. Oblig. Participating VRDN Series PT 2359, | ||||||
3.08% (Liquidity Facility Merrill Lynch & Co., Inc.) (a)(b) | 1,750,000 | 1,750,000 | ||||
Chicago Park District Participating VRDN Series Putters 974, | ||||||
3.08% (Liquidity Facility JPMorgan Chase & Co.) (a)(b) | 1,470,000 | 1,470,000 | ||||
Illinois Dev. Fin. Auth. Rev.: | ||||||
(Glenwood School for Boys Proj.) Series 1998, 3%, LOC | ||||||
Harris NA, VRDN (a) | 200,000 | 200,000 | ||||
(Jewish Federation Metropolitan Chicago Projs.) 3% | ||||||
(AMBAC Insured), VRDN (a) | 725,000 | 725,000 | ||||
Illinois Edl. Facilities Auth. Revs.: | ||||||
(Chicago Children’s Museum Proj.) Series 1994, 3%, LOC | ||||||
JPMorgan Chase Bank, VRDN (a) | 1,170,000 | 1,170,000 | ||||
(Field Museum of Natural History Proj.) Series 2000, 3%, | ||||||
LOC JPMorgan Chase Bank, VRDN (a) | 2,250,000 | 2,250,000 | ||||
Illinois Gen. Oblig. Participating VRDN: | ||||||
Series PT 1882, 3.08% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(b) | 1,000,000 | 1,000,000 | ||||
Series PT 2010, 3.08% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(b) | 2,825,000 | 2,825,000 | ||||
Series PT 871, 3.08% (Liquidity Facility Landesbank | ||||||
Hessen-Thuringen) (a)(b) | 2,000,000 | 2,000,000 | ||||
Metropolitan Pier & Exposition Auth. Dedicated State Tax Rev. | ||||||
Participating VRDN Series PZ 84, 3.12% (Liquidity Facility | ||||||
Merrill Lynch & Co., Inc.) (a)(b) | 2,000,000 | 2,000,000 | ||||
Metropolitan Pier & Exposition Auth. Hosp. Facilities Rev. | ||||||
Participating VRDN Series EGL 04 49 Class A, 3.08% | ||||||
(Liquidity Facility Citibank NA) (a)(b) | 1,000,000 | 1,000,000 | ||||
Schaumburg Village Gen. Oblig. Participating VRDN Series | ||||||
MS 1178, 3.07% (Liquidity Facility Morgan Stanley) (a)(b) | 2,000,000 | 2,000,000 | ||||
18,390,000 |
See accompanying notes which are an integral part of the financial statements.
5 Semiannual Report |
Investments (Unaudited) continued | ||||||||
Municipal Securities continued | ||||||||
Principal | Value | |||||||
Amount | (Note 1) | |||||||
Indiana – 2.7% | ||||||||
Hammond Poll. Cont. Rev. (Amoco Oil Co. Proj.) Series 1994, | ||||||||
3% (BP PLC Guaranteed), VRDN (a) | $ | 980,000 | $ | 980,000 | ||||
Indiana Health & Edl. Facilities Fing. Auth. Hosp. Rev. (Howard | ||||||||
Reg’l. Health Sys. Proj.) Series B, 3.08%, LOC Nat’l. City | ||||||||
Bank, Indiana, VRDN (a) | 1,000,000 | 1,000,000 | ||||||
Indiana Trans. Fin. Auth. Hwy. Participating VRDN Series Piper | ||||||||
04 E, 3.1% (Liquidity Facility Bank of New York, New | ||||||||
York) (a)(b) | 5,000,000 | 5,000,000 | ||||||
6,980,000 | ||||||||
Iowa 1.8% | ||||||||
Iowa Fin. Auth. Health Care Facilities Rev. (Care Initiatives | ||||||||
Proj.) 3.08%, LOC KBC Bank NV, VRDN (a) | 4,000,000 | 4,000,000 | ||||||
Iowa Fin. Auth. Wellness Facilities Rev. (Cmnty. Y of | ||||||||
Marshalltown Proj.) 3.1%, LOC Bank of America NA, | ||||||||
VRDN (a) | 500,000 | 500,000 | ||||||
4,500,000 | ||||||||
Kansas 0.2% | ||||||||
Wichita Hosp. Rev. Participating VRDN Series MT 170, 3.08% | ||||||||
(Liquidity Facility Landesbank Hessen-Thuringen) (a)(b) | 400,000 | 400,000 | ||||||
Louisiana – 0.5% | ||||||||
New Orleans Aviation Board Rev. (MBIA Insured) Series 1993 | ||||||||
B, 3.05% (MBIA Insured), VRDN (a) | 1,330,000 | 1,330,000 | ||||||
Maine – 0.7% | ||||||||
Maine Tpk. Auth. Tpk. Rev. Participating VRDN Series Putters | ||||||||
546, 3.08% (Liquidity Facility JPMorgan Chase Bank) (a)(b) . | 1,795,000 | 1,795,000 | ||||||
Maryland 1.9% | ||||||||
Maryland Cmnty. Dev. Administration Dept. of Hsg. & Cmnty. | ||||||||
Dev. Participating VRDN Series MT 160, 3.09% (Liquidity | ||||||||
Facility Merrill Lynch & Co., Inc.) (a)(b) | 400,000 | 400,000 | ||||||
Maryland Econ. Dev. Corp. Rev. (U.S. Pharmacopeial | ||||||||
Convention, Inc. Proj.) Series B, 3.06% (AMBAC Insured), | ||||||||
VRDN (a) | 4,500,000 | 4,500,000 | ||||||
4,900,000 | ||||||||
Michigan – 10.8% | ||||||||
Detroit City School District Participating VRDN: | ||||||||
Series AAB 04 39, 3.09% (Liquidity Facility ABN AMRO | ||||||||
Bank NV) (a)(b) | 1,000,000 | 1,000,000 | ||||||
Series DB 182, 3.07% (Liquidity Facility Deutsche Bank | ||||||||
AG) (a)(b) | 2,200,000 | 2,200,000 | ||||||
Series EGL 7050072, 3.08% (Liquidity Facility Citibank | ||||||||
NA) (a)(b) | 3,500,000 | 3,500,000 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
6 |
Municipal Securities continued | ||||||
Principal | Value | |||||
Amount | (Note 1) | |||||
Michigan – continued | ||||||
Detroit City School District Participating VRDN: – continued | ||||||
Series Putters 1092, 3.08% (Liquidity Facility PNC Bank NA, | ||||||
Pittsburgh) (a)(b) | $ 1,000,000 | $ | 1,000,000 | |||
Detroit Swr. Disp. Rev. Participating VRDN: | ||||||
Series Merlots 01 A112, 3.02% (Liquidity Facility Wachovia | ||||||
Bank NA) (a)(b) | 2,440,000 | 2,440,000 | ||||
Series PT 2595, 3.07% (Liquidity Facility Dexia Cr. Local de | ||||||
France) (a)(b) | 8,005,000 | 8,005,000 | ||||
Detroit Wtr. Supply Sys. Rev. 3% (MBIA Insured), VRDN (a) | 3,000,000 | 3,000,000 | ||||
Fraser Pub. School District Participating VRDN Series AAB 05 | ||||||
39, 3.09% (Liquidity Facility ABN-AMRO Bank NV) (a)(b) | 1,515,000 | 1,515,000 | ||||
Grand Rapids San. Swr. Sys. Rev. Impt. Participating VRDN | ||||||
Series EGL 98 2201, 3.08% (Liquidity Facility Citibank | ||||||
NA) (a)(b) | 1,000,000 | 1,000,000 | ||||
Michigan Bldg. Auth. Rev. Participating VRDN Series AAB 02 | ||||||
35, 3.09% (Liquidity Facility ABN-AMRO Bank NV) (a)(b) | 1,000,000 | 1,000,000 | ||||
Michigan Strategic Fund Ltd. Oblig. Rev. (Detroit Symphony | ||||||
Orchestra, Inc. Proj.) Series 2001 B, 3%, LOC Standard Fed. | ||||||
Bank, VRDN (a) | 1,000,000 | 1,000,000 | ||||
Univ. of Michigan Univ. Revs. Series 1992 A, 3.01%, | ||||||
VRDN (a) | 2,100,000 | 2,100,000 | ||||
27,760,000 | ||||||
Minnesota 1.8% | ||||||
Minneapolis Gen. Oblig. Participating VRDN Series Putters | ||||||
641, 3.08% (Liquidity Facility JPMorgan Chase & Co.) (a)(b) | 1,320,000 | 1,320,000 | ||||
Southern Minnesota Muni. Pwr. Agcy. Pwr. Supply Sys. Rev. | ||||||
Participating VRDN Series PZ 77, 3.12% (Liquidity Facility | ||||||
Merrill Lynch & Co., Inc.) (a)(b) | 1,000,000 | 1,000,000 | ||||
Univ. of Minnesota Participating VRDN Series MS 01 648, | ||||||
3.07% (Liquidity Facility Morgan Stanley) (a)(b) | 2,400,000 | 2,400,000 | ||||
4,720,000 | ||||||
Missouri – 4.2% | ||||||
Kansas City School District Bldg. Corp. Rev. Participating | ||||||
VRDN Series MS 908, 3.07% (Liquidity Facility Morgan | ||||||
Stanley) (a)(b) | 1,787,500 | 1,787,500 | ||||
Missouri Health & Edl. Facilities Auth. Health Facilities Rev. | ||||||
(Cox Health Sys. Proj.) 3.06% (AMBAC Insured), VRDN (a) . | 5,800,000 | 5,800,000 | ||||
Missouri Health & Edl. Facilities Auth. Rev. (Washington Univ. | ||||||
Proj.) Series A, 3% (Liquidity Facility Dexia Cr. Local de | ||||||
France), VRDN (a) | 3,105,000 | 3,105,000 | ||||
10,692,500 |
See accompanying notes which are an integral part of the financial statements.
7 Semiannual Report |
Investments (Unaudited) continued | ||||||
Municipal Securities continued | ||||||
Principal | Value | |||||
Amount | (Note 1) | |||||
Nebraska – 0.8% | ||||||
Lincoln Elec. Sys. Rev. Participating VRDN Series TOC 05 CC, | ||||||
3.07% (Liquidity Facility Goldman Sachs Group, Inc.) (a)(b) . | $ | 2,000,000 | $ | 2,000,000 | ||
Nevada 1.3% | ||||||
Clark County Arpt. Rev. Participating VRDN Series DB 180, | ||||||
3.08% (Liquidity Facility Deutsche Bank AG) (a)(b) | 3,440,000 | 3,440,000 | ||||
New Jersey – 0.6% | ||||||
New Jersey Trans. Trust Fund Auth. Participating VRDN | ||||||
Series PT 2363A, 3.07% (Liquidity Facility Dexia Cr. | ||||||
Local de France) (a)(b) | 1,470,000 | 1,470,000 | ||||
New Mexico – 0.6% | ||||||
Farmington Poll. Cont. Rev. (Arizona Pub. Svc. Co. Four | ||||||
Corners Proj.) Series 1994 B, 3%, LOC Barclays Bank PLC, | ||||||
VRDN (a) | 1,600,000 | 1,600,000 | ||||
New York – 8.7% | ||||||
New York City Gen. Oblig. Participating VRDN Series PA | ||||||
1249, 3.07% (Liquidity Facility Merrill Lynch & Co., | ||||||
Inc.) (a)(b) | 3,000,000 | 3,000,000 | ||||
New York City Indl. Dev. Agcy. Rev. (One Bryant Park LLC | ||||||
Proj.) Series B, 3.05%, LOC Bank of America NA, LOC Bank | ||||||
of New York, New York, VRDN (a) | 6,000,000 | 6,000,000 | ||||
New York Convention Ctr. Dev. Corp. Rev. Participating VRDN | ||||||
Series MACN 05 S, 3.08% (Liquidity Facility Bank of | ||||||
America NA) (a)(b) | 9,995,000 | 9,995,000 | ||||
New York Local Govt. Assistance Corp. Participating VRDN | ||||||
Series SG 99, 3.07% (Liquidity Facility Societe | ||||||
Generale) (a)(b) | 450,000 | 450,000 | ||||
New York State Urban Dev. Corp. Rev. Participating VRDN | ||||||
Series Putters 1183, 3.11% (Liquidity Facility JPMorgan | ||||||
Chase & Co.) (a)(b) | 1,900,000 | 1,900,000 | ||||
New York Transitional Fin. Auth. Rev. Participating VRDN | ||||||
Series Putters 1152, 3.08% (Liquidity Facility JPMorgan | ||||||
Chase Bank) (a)(b) | 1,000,000 | 1,000,000 | ||||
22,345,000 | ||||||
Non State Specific 0.0% | ||||||
Clipper Tax-Exempt Trust Participating VRDN Series Clipper 05 | ||||||
7, 3.16% (Liquidity Facility State Street Bank & Trust Co., | ||||||
Boston) (a)(b) | 100,000 | 100,000 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
8 |
Municipal Securities continued | ||||||
Principal | Value | |||||
Amount | (Note 1) | |||||
North Carolina – 1.1% | ||||||
North Carolina Infrastructure Fin. Corp. Ctfs. of Prtn. | ||||||
Participating VRDN Series Putters 918, 3.08% (Liquidity | ||||||
Facility JPMorgan Chase & Co.) (a)(b) | $ 1,800,000 | $ | 1,800,000 | |||
Univ. of North Carolina at Chapel Hill Rev. Participating VRDN | ||||||
Series TOC 05 W, 3.07% (Liquidity Facility Goldman Sachs | ||||||
Group, Inc.) (a)(b) | 1,000,000 | 1,000,000 | ||||
2,800,000 | ||||||
Ohio – 4.8% | ||||||
Cuyahoga County Rev. (Cleveland Clinic Health Sys. Obligated | ||||||
Group Prog.): | ||||||
Subseries B1, 3.05%, VRDN (a) | 2,000,000 | 2,000,000 | ||||
Subseries B3, 3.05%, VRDN (a) | 3,000,000 | 3,000,000 | ||||
Dayton School District Participating VRDN Series SG 173, | ||||||
3.07% (Liquidity Facility Societe Generale) (a)(b) | 1,000,000 | 1,000,000 | ||||
Ohio Air Quality Dev. Auth. Rev. (Ohio Edison Co. Proj.) | ||||||
Series 2000 C, 3.01%, LOC Wachovia Bank NA, VRDN (a) | 5,270,000 | 5,270,000 | ||||
Ohio Higher Edl. Facility Commission Rev. (Case Western | ||||||
Reserve Univ. 2002 Proj.) Series A, 3.01%, VRDN (a) | 1,000,000 | 1,000,000 | ||||
12,270,000 | ||||||
Oklahoma – 0.2% | ||||||
Tulsa County Indl. Auth. Rev. (Montereau Warren Woods Proj.) | ||||||
3%, LOC BNP Paribas SA, VRDN (a) | 595,000 | 595,000 | ||||
Oregon – 1.2% | ||||||
Oregon Dept. Administrative Svcs. Ctfs. of Prtn. Participating | ||||||
VRDN Series ROC II R7017, 3.08% (Liquidity Facility | ||||||
Citibank NA) (a)(b) | 3,035,000 | 3,035,000 | ||||
Pennsylvania – 5.5% | ||||||
Allegheny County Indl. Dev. Auth. Rev. (UPMC Children’s | ||||||
Hosp. Proj.) Series 2004 A, 3.17%, VRDN (a) | 600,000 | 600,000 | ||||
Geisinger Auth. Health Sys. Rev. (Geisinger Health Sys. Proj.) | ||||||
Series B, 3% (Liquidity Facility Wachovia Bank NA), | ||||||
VRDN (a) | 6,800,000 | 6,800,000 | ||||
Pennsylvania Gen. Oblig. Participating VRDN Series Merlots | ||||||
04 B15, 3.02% (Liquidity Facility Wachovia Bank NA) (a)(b) | 1,890,000 | 1,890,000 | ||||
Pennsylvania Pub. School Bldg. Auth. School Rev. Participating | ||||||
VRDN Series AAB 03 24, 3.09% (Liquidity Facility | ||||||
ABN AMRO Bank NV) (a)(b) | 1,000,000 | 1,000,000 | ||||
Pittsburgh Wtr. & Swr. Auth. Wtr. & Swr. Sys. Rev. | ||||||
Participating VRDN Series MS 01 752, 3.07% (Liquidity | ||||||
Facility Morgan Stanley) (a)(b) | 3,715,000 | 3,715,000 | ||||
14,005,000 |
See accompanying notes which are an integral part of the financial statements.
9 Semiannual Report |
Investments (Unaudited) continued | ||||||||
Municipal Securities continued | ||||||||
Principal | Value | |||||||
Amount | (Note 1) | |||||||
Tennessee – 3.2% | ||||||||
Clarksville Pub. Bldg. Auth. Rev. (Tennessee Muni. Bond Fund | ||||||||
Proj.) 3.03%, LOC Bank of America NA, VRDN (a) | $ 1,000,000 | $ | 1,000,000 | |||||
Johnson City Health & Edl. Hosp. Rev. Participating VRDN | ||||||||
Series LB 03 L8J, 3.09% (Liquidity Facility Lehman Brothers | ||||||||
Hldgs., Inc.) (a)(b) | 4,300,000 | 4,300,000 | ||||||
Montgomery County Pub. Bldg. Auth. Pooled Fing. Rev. | ||||||||
(Tennessee County Ln. Pool Prog.) 3.03%, LOC Bank of | ||||||||
America NA, VRDN (a) | 3,000,000 | 3,000,000 | ||||||
8,300,000 | ||||||||
Texas 12.0% | ||||||||
Bell County Health Facilities Dev. Corp. Rev. (Scott & White | ||||||||
Memorial Hosp. Proj.) Series 2001 2, 3% (MBIA Insured), | ||||||||
VRDN (a) | 1,000,000 | 1,000,000 | ||||||
Board of Regents of The Univ. of Texas Sys. Permanent Univ. | ||||||||
Fund Participating VRDN Series TOC 05 Y, 3.07% (Liquidity | ||||||||
Facility Goldman Sachs Group, Inc.) (a)(b) | 1,000,000 | 1,000,000 | ||||||
Copperas Cove Independent School District Participating | ||||||||
VRDN Series PT 3046, 3.08% (Liquidity Facility Merrill Lynch | ||||||||
& Co., Inc.) (a)(b) | 5,630,000 | 5,630,000 | ||||||
Denton County Gen. Oblig. Participating VRDN Series SGA | ||||||||
117, 3.03% (Liquidity Facility Societe Generale) (a)(b) | 100,000 | 100,000 | ||||||
Granbury Independent School District Participating VRDN | ||||||||
Series ROC II R2218, 3.08% (Liquidity Facility Citigroup | ||||||||
Global Markets Hldgs., Inc.) (a)(b) | 3,490,000 | 3,490,000 | ||||||
Harris County Health Facilities Dev. Corp. Rev. (Methodist | ||||||||
Hosp. Proj.) Series B, 3%, VRDN (a) | 12,160,000 | 12,160,000 | ||||||
North East Texas Independent School District Participating | ||||||||
VRDN Series TOC 05 U, 3.07% (Liquidity Facility Goldman | ||||||||
Sachs Group, Inc.) (a)(b) | 1,000,000 | 1,000,000 | ||||||
Texas A&M Univ. Rev. Participating VRDN Series Putters 945, | ||||||||
3.08% (Liquidity Facility JPMorgan Chase Bank) (a)(b) | 2,000,000 | 2,000,000 | ||||||
Texas Wtr. Dev. Board Rev. 3% (Liquidity Facility JPMorgan | ||||||||
Chase Bank), VRDN (a) | 1,600,000 | 1,600,000 | ||||||
Victoria Independent School District Participating VRDN | ||||||||
Series PT 3057, 3.08% (Liquidity Facility Merrill Lynch & Co., | ||||||||
Inc.) (a)(b) | 2,725,000 | 2,725,000 | ||||||
30,705,000 | ||||||||
Utah 2.7% | ||||||||
Weber County Hosp. Rev. (IHC Health Services, Inc. Proj.) | ||||||||
Series C, 3% (Liquidity Facility Landesbank | ||||||||
Hessen-Thuringen), VRDN (a) | 6,880,000 | 6,880,000 | ||||||
See accompanying notes which are an integral part of the financial statements. | ||||||||
Semiannual Report | 10 |
Municipal Securities continued | ||||
Principal | Value | |||
Amount | (Note 1) | |||
Virginia – 0.5% | ||||
Roanoke Indl. Dev. Auth. Hosp. Rev. (Carilion Health Svcs. | ||||
Proj.) Series 2002 D, 3.02% (Liquidity Facility Bank of | ||||
America NA), VRDN (a) | $ 1,300,000 | $ 1,300,000 | ||
Washington 2.0% | ||||
King County Gen. Oblig. Participating VRDN Series DB-174, | ||||
3.08% (Liquidity Facility Deutsche Bank AG) (a)(b) | 1,290,000 | 1,290,000 | ||
Port of Seattle Rev. Participating VRDN Series DB 168, 3.08% | ||||
(Liquidity Facility Deutsche Bank AG) (a)(b) | 1,000,000 | 1,000,000 | ||
Washington Gen. Oblig. Participating VRDN: | ||||
Series PT 2734, 3.08% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b) | 5,000 | 5,000 | ||
Series PT 2735, 3.08% (Liquidity Facility Merrill Lynch & Co., | ||||
Inc.) (a)(b) | 400,000 | 400,000 | ||
Series Putters 1073, 3.08% (Liquidity Facility JPMorgan | ||||
Chase Bank) (a)(b) | 2,500,000 | 2,500,000 | ||
5,195,000 | ||||
West Virginia – 0.8% | ||||
West Virginia Gen. Oblig. Participating VRDN Series Putters | ||||
1083, 3.08% (Liquidity Facility JPMorgan Chase & | ||||
Co.) (a)(b) | 2,000,000 | 2,000,000 | ||
Wisconsin – 2.0% | ||||
Wisconsin Gen. Oblig. Participating VRDN Series MS 1166, | ||||
3.07% (Liquidity Facility Morgan Stanley) (a)(b) | 5,000,000 | 5,000,000 | ||
Wyoming – 6.8% | ||||
Platte County Poll. Cont. Rev.: | ||||
(Tri-State Generation & Transmission Assoc. Proj.) | ||||
Series 1984 A, 3.06%, LOC Nat’l. Rural Utils. Coop. Fin. | ||||
Corp., VRDN (a) | 7,390,000 | 7,390,000 | ||
Series 1984 B, 3.06%, LOC Nat’l. Rural Utils. Coop. Fin. | ||||
Corp., VRDN (a) | 600,000 | 600,000 | ||
Uinta County Poll. Cont. Rev. (Chevron Corp. Proj.) Series | ||||
1993, 3%, VRDN (a) | 9,290,000 | 9,290,000 | ||
17,280,000 | ||||
TOTAL INVESTMENT PORTFOLIO 99.8% | ||||
(Cost $255,397,500) | 255,397,500 | |||
NET OTHER ASSETS – 0.2% | 621,680 | |||
NET ASSETS 100% | $ 256,019,180 |
See accompanying notes which are an integral part of the financial statements.
11 Semiannual Report
Investments (Unaudited) continued
Security Type Abbreviation |
VRDN — VARIABLE RATE DEMAND NOTE |
Legend (a) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. (b) Provides evidence of ownership in one or more underlying municipal bonds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report 12
Financial Statements | ||||||
Statement of Assets and Liabilities | ||||||
November 30, 2005 (Unaudited) | ||||||
Assets | ||||||
Investment in securities, at value | ||||||
See accompanying schedule: | ||||||
Unaffiliated issuers (cost $255,397,500) | $ | 255,397,500 | ||||
Interest receivable | 1,200,149 | |||||
Prepaid expenses | 157 | |||||
Total assets | 256,597,806 | |||||
Liabilities | ||||||
Payable to custodian bank | $ | 2,129 | ||||
Distributions payable | 561,412 | |||||
Other payables and accrued expenses | 15,085 | |||||
Total liabilities | 578,626 | |||||
Net Assets | $ | 256,019,180 | ||||
Net Assets consist of: | ||||||
Paid in capital | $ | 256,010,886 | ||||
Accumulated undistributed net realized gain (loss) on | ||||||
investments | 8,294 | |||||
Net Assets, for 256,010,501 shares outstanding | $ | 256,019,180 | ||||
Net Asset Value, offering price and redemption price per | ||||||
share ($256,019,180 ÷ 256,010,501 shares) | $ | 1.00 |
See accompanying notes which are an integral part of the financial statements.
13 Semiannual Report
Financial Statements continued | ||||||
Statement of Operations | ||||||
Six months ended November 30, 2005 (Unaudited) | ||||||
Investment Income | ||||||
Interest | $ | 1,887,011 | ||||
Expenses | ||||||
Independent trustees’ compensation | $ | 246 | ||||
Custodian fees and expenses | 2,520 | |||||
Audit | 14,957 | |||||
Legal | 31 | |||||
Miscellaneous | 404 | |||||
Total expenses before reductions | 18,158 | |||||
Expense reductions | (1,200) | 16,958 | ||||
Net investment income | 1,870,053 | |||||
Realized and Unrealized Gain (Loss) | ||||||
Net realized gain (loss) on: | ||||||
Investment securities: | ||||||
Unaffiliated issuers | 8,309 | |||||
Net increase in net assets resulting from operations | $ | 1,878,362 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
14 |
Statement of Changes in Net Assets | ||||||||
Six months ended | Year ended | |||||||
November 30, 2005 | May 31, | |||||||
(Unaudited) | 2005 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations | ||||||||
Net investment income | $ | 1,870,053 | $ 2,609,852 | |||||
Net realized gain (loss) | 8,309 | 399 | ||||||
Net increase in net assets resulting from operations | . | 1,878,362 | 2,610,251 | |||||
Distributions to shareholders from net investment income | . | (1,869,592) | (2,610,313) | |||||
Share transactions at net asset value of $1.00 per share | ||||||||
Proceeds from sales of shares | 271,055,200 | 1,749,339,100 | ||||||
Cost of shares redeemed | (79,249,000) | (1,929,973,500) | ||||||
Net increase (decrease) in net assets and shares | ||||||||
resulting from share transactions | 191,806,200 | (180,634,400) | ||||||
Total increase (decrease) in net assets | 191,814,970 | (180,634,462) | ||||||
Net Assets | ||||||||
Beginning of period | 64,204,210 | 244,838,672 | ||||||
End of period (including undistributed net investment | ||||||||
income of $0 and distributions in excess of net | ||||||||
investment income of $462, respectively) | $ | 256,019,180 | $ 64,204,210 |
See accompanying notes which are an integral part of the financial statements.
15 Semiannual Report
Financial Highlights | ||||||||||||
Six months ended | ||||||||||||
November 30, | ||||||||||||
2005 | Years ended May 31, | |||||||||||
(Unaudited) | 2005 | 2004D | ||||||||||
Selected Per Share Data | ||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||
Income from Investment Operations | ||||||||||||
Net investment income | 012 | .017 | .003 | |||||||||
Distributions from net investment income | (.012) | (.017) | (.003) | |||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||
Total ReturnB,C | 1.24% | 1.69% | .32% | |||||||||
Ratios to Average Net AssetsE | ||||||||||||
Expenses before reductions | 0252%A | .0237% | .0290%A | |||||||||
Expenses net of fee waivers, if any | 0252%A | .0237% | .0145%A | |||||||||
Expenses net of all reductions | 0236%A | .0218% | .0131%A | |||||||||
Net investment income | 2.60%A | 1.51% | .99%A | |||||||||
Supplemental Data | ||||||||||||
Net assets, end of period (000 omitted) | $ | 256,019 | $ | 64,204 | $ | 244,839 |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D For the period February 3, 2004 (commencement of operations) to May 31, 2004. E Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expense ratios before reductions for start up periods may not be representative of longer term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report |
16 |
Notes to Financial Statements
For the period ended November 30, 2005 (Unaudited)
1. Significant Accounting Policies.
Fidelity Tax Free Cash Central Fund (the fund) is a fund of Fidelity Revere Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is regis tered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open end management investment company organized as a Delaware statutory trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require 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 by compliance with certain conditions under Rule 2a 7 of the 1940 Act, securities are valued at amortized cost, which approximates value. Investments in open end mutual funds are valued at their closing net asset value each business day.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distribu tions from realized gains, if any, are recorded on the ex dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book tax differences will reverse in a subsequent period.
Book tax differences are primarily due to losses deferred due to excise tax regulations.
The fund purchases municipal securities whose interest, in the opinion of the issuer, is free from federal income tax. There is no assurance that the Internal Revenue Service (IRS) will agree with this opinion. In the event the IRS determines that the issuer does
17 Semiannual Report
Notes to Financial Statements (Unaudited) continued
1. Significant Accounting Policies continued
Income Tax Information and Distributions to Shareholders continued
not comply with relevant tax requirements, interest payments from a security could become federally taxable, possibly retroactively to the date the security was issued.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ | — | ||
Unrealized depreciation | — | |||
Net unrealized appreciation (depreciation) | $ | — | ||
Cost for federal income tax purposes | $ | 255,397,500 |
2. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Investments Money Management, Inc. (FIMM), an affiliate of Fidelity Management & Research Company (FMR), provides the fund with investment management services. The fund does not pay any fees for these services.
3. Expense Reductions. |
Through arrangements with the fund’s custodian, credits realized as a result of unin vested cash balances were used to reduce the fund’s expenses. During the period, these credits reduced the fund’s custody expenses by $1,200.
4. Other. |
The fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the perfor mance of their duties to the fund. In the normal course of business, the fund may also enter into contracts that provide general indemnifications. The fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the fund. The risk of material loss from such claims is considered remote.
At the end of the period mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the fund.
Semiannual Report |
18 |
Board Approval of Investment Advisory Contracts and Management Fees
Tax Free Cash Central Fund
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees’ counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund’s Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such com mittee, the Fixed Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant and ultimately reached a determination, with the assistance of fund counsel and independent Trustees’ counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity’s fiduciary duty under applicable law.
Nature, Extent, and Quality of Services Provided by Fidelity. The Board consid ered staffing within the investment adviser, Fidelity Investments Money Management, Inc., and the sub advisers (together, the Investment Advisers), including the background of the fund’s portfolio manager and the fund’s investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity’s invest ment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropri ate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers’ invest ment staff, their use of technology, and the Investment Advisers’ approach to recruiting, training, and retaining portfolio managers and other research, advisory, and
19 Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees continued
management personnel. The Board considered Fidelity’s extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity’s analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity’s portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund’s portfolio, as well as an elec tronic communication system that provides immediate real time access to research concerning issuers and credit enhancers.
Administrative Services. The Board considered the nature, extent, quality, and cost of administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund. The Board also considered the nature and extent of the Investment Advisers’ supervision of third party service providers, principally custodians and subcustodians. The Board also considered the resources devoted to, and the record of compliance with, the fund’s compliance policies and procedures.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restric tions. The Board reviewed the fund’s absolute investment performance, as well as the fund’s relative investment performance, but did not consider performance to be a material factor in its decision to renew the fund’s Advisory Contracts. The Board noted that the fund is designed to offer a liquid investment option for other investment compa nies and accounts managed by Fidelity Management & Research Company (FMR) or its affiliates and ultimately to enhance the performance of those investment companies and accounts.
Based on its review, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund’s shareholders.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered that FMR pays the fund’s management fee on behalf of the fund. The Board also noted that FMR bears all expenses of the fund, except operating expenses for services provided by entities not affiliated with FMR, such as fees for custodial, auditing, legal and insurance services. Based on its review, the Board concluded that the fund’s net management fee and total expenses were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, manag ing, administering and servicing the fund and its shareholders. The Board also consid ered the level of Fidelity’s profits in respect of all the Fidelity funds.
Semiannual Report |
20 |
On an annual basis, FMR presents to the Board Fidelity’s profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board’s assessment of the results of Fidelity’s profitability analysis. PwC’s engagement includes the review and assessment of Fidelity’s methodologies used in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC’s reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity’s profitabil ity methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity’s non fund businesses and any fall out benefits related to the mutual fund business as well as cases where Fidelity’s affiliates may benefit from or be related to the fund’s business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Economies of Scale. The Board concluded that the realization of economies of scale was not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund, except certain operating expenses for services provided by entities not affiliated with FMR.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity’s fund profitability methodology, including additional detail on various cost allocations; (ii) fall out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund’s existing Advisory Contracts should be renewed.
21 Semiannual Report
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Revere Street Trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Revere Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Revere Street Trust
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | January 20, 2006 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | January 20, 2006 |
By: | /s/Paul M. Murphy |
Paul M. Murphy | |
Chief Financial Officer | |
Date: | January 20, 2006 |