(2_FIDELITY_LOGOS)FIDELITY
HIGH YIELD TAX-FREE
PORTFOLIO
SEMIANNUAL REPORT
MAY 31, 1994
CONTENTS
PRESIDENT'S MESSAGE 3 Ned Johnson on bond market
strategies.
PERFORMANCE 4 How the fund has done over time.
FUND TALK 7 The manager's review of fund
performance, strategy and outlook.
INVESTMENT CHANGES 10 A summary of major shifts in the
fund's investments over the past six
months.
INVESTMENTS 11 A complete list of the fund's
investments with their market
values.
FINANCIAL STATEMENTS 39 Statements of assets and liabilities,
operations, and changes in net
assets, as well as financial
highlights.
NOTES 43 Notes to the financial statements.
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL
INFORMATION OF THE SHAREHOLDERS OF THE FUND. THIS REPORT IS NOT AUTHORIZED
FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE FUND UNLESS PRECEDED OR
ACCOMPANIED BY
AN EFFECTIVE PROSPECTUS. NEITHER THE FUND NOR FIDELITY DISTRIBUTORS
CORPORATION IS A
BANK, AND FUND SHARES ARE NOT BACKED OR GUARANTEED BY ANY BANK OR INSURED
BY THE
FDIC.
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
The past few months have been an unsettling time for bond investors. The
bond market declined after the Federal Reserve Board raised short-term
interest rates from February through May. These rate hikes caused bond
yields to rise and bond prices to fall. While nobody knows whether rates
will continue to go up, this may be a good time to review the effect rising
rates have on your bond fund investment, and consider how well your current
bond fund holdings match your original investment goals.
Most investors choose bond funds to generate income and to help diversify
their investment portfolios. Despite the recent market downturn, bond
mutual funds still satisfy these needs. Where investors have felt the
negative effect of rising rates is in the market value of their investment,
which has eroded as bond prices have fallen. It's important
to remember, however, that this loss in principal is only "on paper" until
you choose to sell your shares. That's why your investing time horizon is
key.
If your time horizon is short - one year or less - you may want to consider
shifting all or part of your bond fund
investment into short-term investments.
If you don't need your money within the next year, staying in your bond
fund may be the appropriate strategy for you. The longer your investing
time frame, the better your chances of retaining your principal investment
through periods of rising AND falling rates. For example, if you plan to
use your money in one to two years, a short-term bond fund may be the right
choice. If your time frame is two to four years, a fund with an
intermediate length average maturity may be best. If you have a longer-term
goal - say a child's college education that's 10 years away - you may be
willing to ride out the bond market's peaks and valleys in exchange for the
higher potential returns of a longer-term fund.
If you have questions, please call us at 1-800-544-8888. We would be happy
to send you a Fidelity FundMatch kit, which can help you determine the mix
of investments that is right for you. You might also find it convenient to
set up
a regular investment plan using the Fidelity Automatic Account Builder.
We look forward to hearing from you.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance. You can
look at the total percentage change in value, the average annual percentage
change, or the growth of a hypothetical $10,000 investment. Each figure
includes changes in a fund's share price, plus reinvestment of any
dividends (or income) and capital gains (the profits the fund earns when it
sells bonds that have grown in value). You can also look at the fund's
income.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED MAY 31, 1994 PAST 6 PAST 1 PAST 5 PAST 10
MONTHS YEAR YEARS YEARS
High Yield Tax-Free -2.90% 1.44% 45.66% 184.70%
Lehman Brothers Municipal
Bond Index -1.83% 2.47% 48.84% 186.42%
Average High Yield Municipal
Bond Fund -2.18% 2.25% 43.36% 170.06%
Consumer Price Index 1.17% 2.29% 19.14% 42.65%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, six months, one, five, or ten years. For
example, if you invested $1,000 in a fund that had a 5% return over the
past year, you would end up with $1,050. You can compare the fund's returns
to the performance of the Lehman Brothers Municipal Bond Index - a broad
gauge of the municipal bond market.
To measure how the fund stacked up against its peers, you can look at the
average high yield municipal bond fund, which reflects the performance of
34 high yield municipal bond funds tracked by Lipper Analytical Services.
Both benchmarks include reinvested dividends and capital gains, if any.
Comparing the fund's performance to the consumer price index helps show how
your fund did compared to inflation.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED MAY 31, 1994 PAST 1 PAST 5 PAST 10
YEAR YEARS YEARS
High Yield Tax-Free 1.44% 7.81% 11.03%
Lehman Brothers Municipal Bond Index 2.47% 8.28% 11.10%
Average High Yield Municipal Bond Fund 2.25% 7.42% 10.41%
Consumer Price Index 2.29% 3.57% 3.62%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
$10,000 OVER 10 YEARS
High Yield (037) LB Municipal Bond Index
05/31/84 10000.00 10000.00
06/30/84 10451.65 10217.10
07/31/84 11017.63 10746.35
08/31/84 11156.01 10987.39
09/30/84 11084.00 10913.55
10/31/84 11236.93 11050.52
11/30/84 11386.64 11213.18
12/31/84 11663.93 11423.31
01/31/85 12213.31 12082.78
02/28/85 12073.88 11781.32
03/31/85 12178.50 11882.99
04/30/85 12504.80 12317.91
05/31/85 12928.18 12745.59
06/30/85 13105.65 12879.29
07/31/85 13219.74 12904.53
08/31/85 13185.27 12814.46
09/30/85 13008.43 12685.93
10/31/85 13484.58 13120.67
11/30/85 13893.12 13591.31
12/31/85 14159.98 13710.78
01/31/86 14840.65 14518.35
02/28/86 15373.98 15094.14
03/31/86 15493.35 15098.97
04/30/86 15438.74 15110.45
05/31/86 15245.79 14864.45
06/30/86 15406.10 15006.26
07/31/86 15516.17 15097.34
08/31/86 16272.74 15773.25
09/30/86 16253.15 15812.84
10/31/86 16591.40 16085.93
11/30/86 16840.23 16404.59
12/31/86 16836.10 16359.32
01/31/87 17252.40 16851.90
02/28/87 17454.80 16934.81
03/31/87 17322.13 16755.30
04/30/87 16153.21 15914.52
05/31/87 16034.39 15835.58
06/30/87 16305.36 16300.51
07/31/87 16513.22 16466.78
08/31/87 16590.20 16503.83
09/30/87 15811.13 15895.33
10/31/87 15758.20 15951.60
11/30/87 16090.96 16368.10
12/31/87 16358.56 16605.60
01/31/88 16927.86 17197.09
02/29/88 17140.63 17378.87
03/31/88 16732.32 17176.40
04/30/88 16854.79 17306.94
05/31/88 16977.00 17256.93
06/30/88 17180.12 17509.39
07/31/88 17358.04 17623.56
08/31/88 17438.09 17639.06
09/30/88 17821.74 17958.33
10/31/88 18164.24 18275.30
11/30/88 18010.96 18107.89
12/31/88 18358.06 18293.14
01/31/89 18617.05 18671.44
02/28/89 18504.42 18458.40
03/31/89 18542.56 18414.28
04/30/89 19140.89 18851.44
05/31/89 19545.79 19242.98
06/30/89 19735.71 19504.30
07/31/89 19879.54 19769.76
08/31/89 19791.35 19576.21
09/30/89 19706.87 19517.48
10/31/89 19913.22 19755.59
11/30/89 20281.00 20101.32
12/31/89 20449.63 20266.15
01/31/90 20234.15 20170.90
02/28/90 20499.08 20350.42
03/31/90 20522.27 20356.52
04/30/90 20153.12 20209.96
05/31/90 20709.19 20650.53
06/30/90 20930.36 20832.26
07/31/90 21254.37 21138.49
08/31/90 21033.28 20831.98
09/30/90 21191.96 20844.48
10/31/90 21473.63 21221.77
11/30/90 22087.52 21648.33
12/31/90 22182.54 21743.58
01/31/91 22471.47 22034.94
02/28/91 22612.12 22226.65
03/31/91 22684.87 22235.54
04/30/91 22995.23 22531.27
05/31/91 23197.76 22731.80
06/30/91 23199.00 22709.07
07/31/91 23536.01 22986.12
08/31/91 23743.92 23289.53
09/30/91 23933.70 23592.30
10/31/91 24158.74 23804.63
11/30/91 24211.47 23871.28
12/31/91 24439.98 24384.51
01/31/92 24690.86 24440.60
02/29/92 24741.39 24447.93
03/31/92 24765.63 24457.71
04/30/92 25002.44 24675.38
05/31/92 25242.41 24966.55
06/30/92 25592.42 25385.99
07/31/92 26249.02 26147.57
08/31/92 25899.64 25891.32
09/30/92 25969.18 26059.62
10/31/92 25536.79 25804.23
11/30/92 26199.49 26266.13
12/31/92 26483.20 26534.04
01/31/93 26853.83 26841.84
02/28/93 27842.12 27813.51
03/31/93 27640.41 27518.69
04/30/93 27903.33 27796.63
05/31/93 28065.28 27952.29
06/30/93 28478.27 28419.09
07/31/93 28488.16 28456.04
08/31/93 29107.20 29047.92
09/30/93 29528.16 29379.07
10/31/93 29559.26 29434.89
11/30/93 29321.32 29175.86
12/31/93 29955.23 29791.47
01/31/94 30284.68 30131.10
02/28/94 29513.22 29350.70
03/31/94 28147.69 28156.13
04/30/94 28293.93 28395.46
05/31/94 28470.28 28642.50
$10,000 OVER 10 YEARS: Let's say you invested $10,000 in Fidelity High
Yield Tax-Free Portfolio on May 31, 1984. As the chart shows, by May 31,
1994, the value of your investment would have grown to $28,470 - a 184.70%
increase on your initial investment. For comparison, look at how the Lehman
Brothers Municipal Bond index did over the same period. With dividends
reinvested, the same $10,000 would have grown to $28,642 - a 186.42%
increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is
no guarantee of how it will do
tomorrow. Bond prices, for
example, move in the
opposite direction of interest
rates. In turn, the share price,
return, and yield of a fund
that invests in bonds will vary.
That means if you sell your
shares during a market
downturn, you might lose
money. But if you can ride out
the market's ups and downs,
you may have a gain.
(checkmark)
TOTAL RETURN COMPONENTS
SIX YEARS ENDED NOVEMBER 30,
MONTHS
ENDED
MAY 31,
1994 1993 1992 1991 1990 1989
Dividend return 5.02% 6.33% 6.70% 7.11% 7.31% 7.69%
Capital appreciation -7.92% 5.59% 1.51% 2.51% 1.60% 4.91%
return
Total return -2.90% 11.92% 8.21% 9.62% 8.91% 12.60%
DIVIDEND returns and capital appreciation returns are both part of a bond
fund's total return. A dividend return reflects the actual dividends paid
by the fund. A capital appreciation return reflects both the amount paid by
the fund to shareholders as capital gain distributions and changes in the
fund's share price. Both returns assume the dividends or gains are
reinvested.
DIVIDENDS AND YIELD
<TABLE>
<CAPTION>
<S> <C> <C> <C>
PERIODS ENDED MAY 31, 1994 PAST PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 6.47(cents) 37.67(cents) 75.66(cents)
Annualized dividend rate 6.37% 6.01% 5.86%
30-day annualized yield 6.18% - -
30-day annualized tax-equivalent yield 9.66% - -
</TABLE>
DIVIDENDS per share show the income paid by the fund for a set period. If
you annualize this number, based on an average share price of $11.95 over
the past month, $12.56 over the past six months and $12.92 over the past
year, you can compare the fund's income over these three periods. The
30-day annualized YIELD is a standard formula for all funds based on the
yields of the bonds in the fund, averaged over the past 30 days. This
figure shows you the yield characteristics of the fund's investments at the
end of the period. It also helps you compare funds from different companies
on an equal basis. The tax-equivalent yield shows what you would have to
earn on a taxable investment to equal the fund's tax-free yield, if you're
in the 36% federal tax bracket.
FUND TALK: THE MANAGER'S OVERVIEW
An interview with Anne Punzak,
Portfolio Manager of Fidelity
High Yield Tax-Free Portfolio
Q. ANNE, HOW HAS THE FUND PERFORMED?
A. It has been a difficult period both for the fund and the municipal bond
market in general. The fund's total return for the six months ended May 31,
1994, was -2.90%. That slightly lagged the average high yield municipal
bond fund, which returned -2.18% for the same period, according to Lipper
Analytical Services. For the year ended May 31, 1994, the fund had a total
return of 1.44%, compared to the average high yield fund's return of 2.25%,
again according to Lipper.
Q. WHY DID THE MUNICIPAL BOND MARKET FALL DURING THE PAST SIX MONTHS?
A. Simply put, higher interest rates. Throughout October and into November,
short-term interest rates remained fairly stable. But by mid-November,
fears of inflation caused rates to rise slightly. Until the end of January,
rates moved within a narrow range. During this period, the Federal Reserve
Board seemed content to keep the federal funds rate - the rate banks charge
each other for overnight loans - at 3.00%, where it had been since
September 1992. On February 4, the Fed reversed that policy, raising the
fed funds rate to 3.25%. And through May, the Fed moved three more times,
raising fed funds to 4.25%. The Fed rate hikes were a preemptive strike
against inflation. The economy appeared to be heating up and the Fed seemed
determined to keep inflation in check. However, the move still worried bond
investors, who dislike any mention of inflation because it erodes the value
of their bonds' interest income, which is paid at a fixed rate. As a
result, bond prices fell from February through early May.
Q. TURNING TO THE FUND, WHY DID ITS PERFORMANCE LAG THE AVERAGE?
A. The fund has a longer duration - or a measure of its sensitivity to
interest rate changes - than other funds. The longer the duration, the more
sensitive the fund is to changes in interest rates. Also, the fund had a
smaller stake in lower-quality higher-yielding bonds - which performed
better than lower-yielding bonds during the market's decline - than other
funds of this type. Since taking over the fund last October, I've continued
to add to the fund's stake in higher-yielding bonds to 3.7% of investments
at the end of May. In hindsight, the fund's performance probably would have
done better if I had built a larger stake, up to the allowed maximum of
25%.
Q. WERE THERE ANY CHANGES IN YOUR STRATEGY OVER THE PAST SIX MONTHS?
A. Starting in March, the fund was allowed to invest so that 20% of its
income can come from AMT bonds, which are bonds subject to the alternative
minimum tax. These bonds are attractive because of their relatively high
yields. In addition, the change allows me to invest in sectors which could
benefit from further improvements in the economy, like housing and
industrial development projects. Since March, I've built the fund's stake
in AMT bonds to 2% at the end of May. On the other hand, I've cut back the
fund's stake in electric utility bonds to 12.9% from 19.1% six months ago,
mostly due to my concern about the effects of increased competition among
electricity suppliers.
Q. HAVE YOU CHANGED THE WAY YOU ALLOCATE THE FUND'S ASSETS ACROSS STATES?
A. Yes, primarily by raising the fund's investments in New York and
California. New York's economy and fiscal situation have improved, and the
state's bonds have done quite well. In California there was an abundant
supply of insured bonds. The uncertainty about the state's economy forced
many municipalities to issue insured bonds in order to attract investors
and I was able to buy them when they were relatively cheap.
Q. THERE'S BEEN A LOT OF TALK LATELY ABOUT DERIVATIVES. DO YOU USE THEM IN
THE FUND?
A. Yes, I use futures, which is one type of financial derivative - meaning
its market value is derived from an underlying security or index. Earlier
in 1994, I used futures to hedge against the market's sell-off. When the
market fell, the price of the futures rose, offsetting some of the fund's
price decline. Now I'm using futures as a way of taking advantage of what I
think will be a more positive environment for municipal bonds. If I'm
right, the futures will appreciate, and help the fund. We have used futures
and options in our municipal bond funds for many years. More recently I've
started to use another type of derivative known as an inverse floater -
whose yield rises as short-term rates fall, and vice versa. These
securities typically are created by splitting a municipal bond into two
parts: a tax-free money market instrument yielding the prevailing
short-term rate, and a longer-term security whose yield moves in the
opposite direction when money market rates change. The latter piece is
called an inverse floater. By using various derivatives, I can hope to
achieve higher levels of tax-exempt income and increased flexibility in
managing overall sensitivity to changes in interest rates. Keep in mind
that these strategies involve additional risk to the fund and don't always
work as intended. Consequently, I've limited the use of inverse floaters to
less than 5% of the fund's total investments as of May 31, 1994 and have no
plans to increase the fund's stake in them.
Q. WHAT'S YOUR OUTLOOK FOR THE HIGH-YIELD MUNICIPAL MARKET?
A. I think that high-yield bonds will continue to benefit from improvements
in the economy. In fact, we've started to see some evidence of that trend
already. During 1993, more bonds' credit ratings were upgraded than
downgraded, for the first time since the late 1980s. Also, supply and
demand factors are starting to work in municipal bonds' favor. This year
the supply of new bonds issued from January to May was down about 38% from
the same period last year. Shortages may crop up soon, which should help
boost municipal prices. While I expect there to be some short-term market
volatility, it probably won't be as dramatic as in the past six months.
FUND FACTS
GOAL: to provide high current
income exempt from federal
income tax
START DATE: December 1, 1977
SIZE: as of May 31, 1994,
more than $1.9 billion
MANAGER: Anne Punzak,
since October 1993;
manager,
Fidelity Aggressive Tax-Free
Portfolio, since January
1986; Spartan Aggressive
Municipal Fund, since April
1993;
Spartan Florida Tax-Free
Fund, since March 1992;
Fidelity
Insured Tax-Free Fund,
October 1989 to September
1993; joined Fidelity in 1985
(checkmark)
ANNE PUNZAK'S STRATEGY:
"When interest rates were
falling, as they did over the
past couple of years, it paid to
concentrate on price
appreciation more than
income as the way to get the
highest total return. As
interest rates fell, the price of
bonds rose. But now, it looks
fairly certain that interest
rates won't come down much
from current levels. Given
that, I'll focus on generating a
higher income. In my opinion,
higher-yielding, lower-rated
bonds that are carefully
researched by Fidelity's staff
- - - which is one of the largest
in the industry - should help
boost the fund's total return.
With further improvements in
the economy, the credit
quality of these lower-rated
bonds most likely will
improve."
(bullet) A recent change to the
fund's investment policies
allows it to invest so that as
much as 20% of its income
may be derived from AMT
bonds which are bonds
subject to the alternative
minimum tax. As of May 31,
1994, the fund had a 2%
stake in AMT bonds.
INVESTMENT CHANGES
TOP FIVE STATES AS OF MAY 31, 1994
% OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS
6 MONTHS AGO
Colorado 8.4 9.8
New York 8.2 4.4
Massachusetts 7.7 10.4
Texas 6.4 5.2
Illinois 6.4 4.0
TOP FIVE SECTORS AS OF MAY 31, 1994
% OF FUND'S % OF FUND'S
INVESTMENTS INVESTMENTS
6 MONTHS AGO
Health Care 27.5 27.9
General Obligations 13.1 10.7
Electric Revenue 12.9 19.1
Industrial Development 9.3 7.1
Special Tax 7.9 6.9
AVERAGE YEARS TO MATURITY AS OF MAY 31, 1994
6 MONTHS AGO
Years 19.2 19.3
AVERAGE YEARS TO MATURITY SHOWS THE AVERAGE TIME UNTIL THE PRINCIPAL OF THE
BONDS IN THE FUND IS EXPECTED TO BE REPAID, WEIGHTED BY DOLLAR AMOUNT.
DURATION AS OF MAY 31, 1994
6 MONTHS AGO
Years 8.8 8.1
DURATION SHOWS HOW MUCH A BOND'S PRICE FLUCTUATES WITH CHANGES IN INTEREST
RATES. IF RATES RISE 1%, FOR EXAMPLE, THE SHARE PRICE OF A FUND WITH A
FIVE-YEAR DURATION WILL FALL 5%.
QUALITY DIVERSIFICATION AS OF MAY 31, 1994
(MOODY'S RATINGS)
Aaa 23.4%
Aa, A 36.3%
Baa 17.2%
Ba or B 9.8%
Non-rated 10.9%
Row: 1, Col: 1, Value: 10.9
Row: 1, Col: 2, Value: 9.800000000000001
Row: 1, Col: 3, Value: 17.2
Row: 1, Col: 4, Value: 36.3
Row: 1, Col: 5, Value: 23.4
THIS CHART EXCLUDES SHORT-TERM INVESTMENTS. WHERE MOODY'S RATINGS ARE NOT
AVAILABLE, WE HAVE USED S&P RATINGS.
INVESTMENTS MAY 31, 1994 (UNAUDITED)
Showing Percentage of Total Value of Investment in Securities
MUNICIPAL BONDS - 97.6%
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
ALABAMA - 1.8%
Alabama Bldg. Renovation Fin. Auth. Rev.
7.45% 9/1/11 A $ 3,000 $ 3,280
Alabama Mental Health Fin. Auth. Spl. Tax
7.375% 5/1/09 A 3,000 3,244
Alabama Spl. Care Facs. Fing. Auth. Mobile
Hosp. Rev. (Daughters of Charity Providence)
10.125% 6/1/15 Aa 700 749
Birmingham Jefferson Civic Ctr. Auth. Spl. Tax
(Cap. Outlay) 7.25% 1/1/12 A 5,875 6,228
Cullman Med. Park South Med. Clinic Board
Rev. (Cullman Reg. Med. Ctr.) Series A:
6.50% 2/15/13 Baa 6,500 6,029
6.50% 2/15/23 Baa 7,000 6,361
McIntosh Ind. Dev. Board Poll. Cont. Rev.
(Ciba-Geigy Corp.) 6% 8/1/07 - 2,665 2,512
Shelby County Series S, 7.40% 8/1/07 - 5,000 5,169
33,572
ALASKA - 0.7%
Alaska Hsg. Fin. Corp. Rev. Rfdg. Series A,
5% 12/1/18 Aa 7,500 5,953
North Slope Borough:
Rfdg. Series C, 10.20% 6/30/94 Baa1 475 477
Series B, 0% 1/1/03 (MBIA Insured) Aaa 9,000 5,546
Valdex Marine Term. Rev. Rfdg. (Amerada Hess
Pipeline Corp.) 6.10% 2/1/24 - 2,000 1,833
13,809
ARIZONA - 2.0%
Chandler Cap. Appreciation Rfdg.:
0% 7/1/04, (FGIC Insured) Aaa 5,700 3,170
0% 7/1/05, (FGIC Insured) Aaa 5,700 2,964
0% 7/1/06, (FGIC Insured) Aaa 5,700 2,757
0% 7/1/07, (FGIC Insured) Aaa 5,700 2,565
0% 7/1/08, (FGIC Insured) Aaa 1,700 710
0% 7/1/09, (FGIC Insured) Aaa 2,000 798
Maricopa County Ind. Dev. Auth. Hosp. Facs.
Rev. Rfdg. (Samaritan Health Svcs.) Series A,
7% 12/1/16, (MBIA Insured) Aaa 2,000 2,205
Maricopa County Poll. Cont. Corp. Poll. Cont.
Rev. (Pub. Svc. Co. New Mexico - Palo Verde)
7.75% 11/1/09 Ba2 7,165 7,577
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
ARIZONA - CONTINUED
Phoenix Str. & Hwy. User Rev. Rfdg. (Jr. Lien)
Series A:
0% 7/1/12, (FGIC Insured) (c) Aaa $ 5,000 $ 1,600
0% 7/1/13, (FGIC Insured) Aaa 4,850 1,443
Pima County Ind. Dev. Auth. Ind. Rev. Rfdg.
(Lease Oblig.) (Irvington Proj. Tucson Elec. Pwr.
Co.) Series A, 7.25% 7/15/10, (FSA Insured) Aaa 5,000 5,325
Tucson & Pima County Ind. Dev. Auth. Single
Family Mtg. Rev. (Verex Mtg. Assurance, Inc.)
9.375% 2/1/14 BB- 2,855 2,930
Tucson Wtr. Rev. Rfdg. 5.50% 7/1/14 A1 3,450 3,191
37,235
ARKANSAS - 1.1%
Arkansas Dev. Fin. Auth. Rev. (Cap. Asset)
Series B, 7.10% 3/1/08 A 4,500 4,797
Arkansas Univ. Rev. (Trustee) 7.20% 12/1/10 A 1,250 1,369
Baxter County Hosp. Rev. Rfdg. & Impt.
7.50% 9/1/21 Baa 4,000 4,175
Fayetteville Pub. Facs. Board Rev. Rfdg. (Butterfield
Trail Village Proj.) Series A, 9.50% 9/1/14 - 2,200 2,338
North Little Rock Elec. Rev. Rfdg. Series A:
6.50% 7/1/10, (MBIA Insured) Aaa 3,840 4,099
6.50% 7/1/15, (MBIA Insured) Aaa 1,000 1,073
Pulaski County Health Facs. Board Rev. Rfdg.
(Sisters Charity Nazareth Corp.) 6.05%
11/1/09, (MBIA Insured) Aaa 2,290 2,316
Pulaski County Hosp. Rev. Rfdg. (Arkansas
Children's Hosp. Proj.) 10.125% 3/1/15 A- 800 839
21,006
CALIFORNIA - 6.3%
California Dept. Wtr. Resource Ctr. (Valley Proj.)
5% 12/1/13 Aa 5,610 4,845
California Gen. Oblig. 4.75%, 9/1/23 Aa 2,000 1,577
California Health Facs. Fing. Auth. Rfdg.
(Insured Health Facs.) (Catholic Healthcare
West) Series B, 5% 7/1/14, (AMBAC Insured) Aaa 11,775 10,022
California Pub. Works Board Lease Rev.:
(California Univ. Proj.) Series A, 5.50% 6/1/10 A1 7,300 6,561
(Dept. Correction State Prison D-Susanville)
5.375% 6/1/18 A1 3,000 2,554
(Various Commty. Coll. Projs.) Series A,
5.625% 12/1/18 A1 10,000 8,887
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
CALIFORNIA - CONTINUED
California Statewide Cmmty. Dev. Auth. Rev. Ctfs.
of Prtn.:
Rfdg. (Insured Health Facs.) (Eskaton, Inc.)
5.80%, 5/1/13 A+ $ 5,000 $ 4,644
(Sisters of Charity Leavenworth)
5% 12/1/23 Aa 2,000 1,613
California Univ. Rev. Rfdg. (Multiple Purp. Proj.)
Series C:
5.125% 9/1/13, (AMBAC Insured) Aaa 1,500 1,314
5% 9/1/14, (AMBAC Insured) Aaa 3,000 2,576
5.25% 9/1/16, (AMBAC Insured) Aaa 6,000 5,265
Culver City Redev. Fing. Auth. Rev. Rfdg. Tax
Allocation 4.60% 11/1/20, (AMBAC Insured) Aaa 5,000 3,894
Del Norte County Pub. Wks. Rev. Rfdg.
(Dept. of Corrections) 5.125% 12/1/08 A1 3,500 3,146
East Bay Muni. Util. Dist. Unltd. Tax Rfdg.
(Spl. Dist. #1) Series E, 5% 4/1/15 Aa 3,000 2,580
Fresno Swr. Rev. Series A-1, 4.75% 9/1/21,
(AMBAC Insured) Aaa 2,000 1,598
Industry Urban Ind. Dev. Agcy. Rfdg.
(Civic Recreational Proj. #1) Series A,
7.375% 5/1/12 - 1,000 1,068
Los Angeles County Metropolitan Trans. Auth.
Sales Tax Rev. Sr. Series B (Prop. C Section):
4.75% 7/1/13, (AMBAC Insured) Aaa 5,000 4,163
4.75% 7/1/18, (AMBAC Insured) Aaa 2,000 1,615
Los Angeles Dept. Wtr. & Pwr. Elec. Plant Rev.
4.75% 11/15/19 Aa 6,400 5,064
Orange County Dev. Agcy. Tax Allocation
(Santa Ana Heights Proj.) 6% 9/1/15 Baa1 2,800 2,576
Oxnard Fing. Auth. Wastewtr. Rev. Rfdg.
5.50% 6/1/14, (FGIC Insured) Aaa 1,250 1,156
Sacramento City Fing. Auth. (Cap. Appreciation
Tax Allocation Comb. Proj.) Series B, 0%
11/1/06, (MBIA Insured) Aaa 2,810 1,356
Sacramento County Sanitation Dist. Fing. Auth.
Rev. 4.75% 12/1/23 Aa 5,000 3,963
San Bernardino County Ctfs. Prtn. (Med Ctr.
Fing. Proj.) 5.50% 8/1/17 Baa1 3,800 3,320
San Diego Swr. Rev. Series A, 5% 5/15/23,
(AMBAC Insured) Aaa 2,980 2,466
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
CALIFORNIA - CONTINUED
San Francisco Bldg. Auth. Lease Rev. (Dept.
Gen. Svcs. Lease) Series A, 5% 10/1/13 A1 $ 6,000 $ 5,123
San Joaquin Hills Trans. Corridor Agcy. Toll
Road Rev. (Sr. Lien):
0% 1/1/17 - 3,500 691
0% 1/1/19 - 20,000 3,375
San Jose Redev. Agcy. Tax Allocation (Merged
Area Redev. Proj.) 4.75% 8/1/24, (MBIA Insured) Aaa 3,075 2,441
Sequoia Hosp. Dist. Rev. 5.375% 8/15/23 A 5,000 4,225
South Orange County Pub. Fing. Auth. Spl. Tax
Rev. (Sr. Lien) Series A, 7% 9/1/11,
(MBIA Insured) Aaa 3,490 3,835
Southern California Pub. Pwr. Auth. Pwr. Proj.
Rev. Rfdg. (Mead Adelanto Proj.) Series A,
4.75% 7/1/16, (AMBAC Insured) Aaa 3,000 2,445
Southern California Rapid Tran. Rev. (Spl.
Benefit Assessment Dist. A1) 5.50% 9/1/09,
(AMBAC Insured) Aaa 3,000 2,846
Upland Ctfs. of Prtn. (San Antonio Commty.
Hosp.) 5% 1/1/18 A 3,000 2,396
Walnut Creek Ctfs. of Prtn. Rfdg. (John Muit
Med. Ctr.) 5%, 2/15/16, (MBIA Insured) Aaa 4,750 4,014
119,214
COLORADO - 8.4%
Arvada Sales & Use Tax Rev. Rfdg. & Impt.
6.25% 12/1/12, (FGIC Insured) Aaa 4,000 4,064
Auraria Higher Ed. Ctr. Rev. (Student Fee)
Series B, 6.50% 11/1/16, (AMBAC Insured) Aaa 2,500 2,600
Aurora Water Rfdg. 4.75% 11/1/14 A1 3,540 3,012
Avon Metropolitan Dist. Gen. Oblig. Rfdg. & Impt.
(Eagle Co.) Series 1990:
8% 11/1/00 - 1,225 1,308
8.30% 11/1/10 - 2,505 2,720
Boulder Larimer & Weld Counties St. Vrain
Valley School Dist. Rfdg. 6% 12/15/10,
(MBIA Insured) Aaa 1,500 1,514
Colorado Board Agric. Rev. Rfdg. & Impt.
(Colorado Univ. Auxiliary Facs.) 6.40%
3/1/11, (MBIA Insured) Aaa 2,000 2,078
Colorado Health Facs. Auth. Rev.:
(Commty. Provider Pooled Loan) Series A,
7.25% 7/15/17, (Cap. Guaranty Insured) Aaa 1,878 2,056
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
COLORADO - CONTINUED
Colorado Health Facs. Auth. Rev. - continued
(Hosp. - North Colorado Med. Ctr.) 5.95%
5/15/12, (MBIA Insured) Aaa $ 750 $ 754
(Hosp. - Swedish Med. Ctr. Proj.) Series A:
7.25% 10/1/08 Baa1 7,200 7,722
7.50% 10/1/20 Baa1 10,000 10,550
6.80% 1/1/23 Baa1 10,500 10,461
(PSL Health Care Sys. Proj.):
Series A:
6.75% 2/15/13 Baa1 7,750 7,653
6.25% 2/15/16, (FSA Insured) Aaa 8,000 8,740
6.875% 2/15/23 Baa1 500 494
Series B, 8.50% 2/15/21 Baa1 6,250 6,859
(Rocky Mountain Adventist):
6.625% 2/1/13 Baa 16,300 15,668
6.625% 2/1/22 Baa 4,700 4,430
(Sisters of Charity Health Care Sys.) Series A,
6.25% 5/15/12, (AMBAC Insured) Aaa 2,000 2,068
Colorado Springs Arpt. Rev. (Cap. Appreciation)
Series C:
0% 1/1/02 BBB 1,550 978
0% 1/1/04 BBB 1,530 840
0% 1/1/09 BBB 1,655 616
0% 1/1/10 BBB 1,500 518
Colorado Univ. Hosp. Auth. Hosp. Rev.
Series A:
6.25% 11/15/12, (AMBAC Insured) Aaa 4,000 4,020
6.40% 11/15/22, (AMBAC Insured) Aaa 2,000 2,018
Colorado Univ. Rev.:
(Biomedical Research Bldg. Proj.) 7% 6/1/09 A+ 5,725 6,097
(Research Bldg. Revolving Fund) 6.125%
6/1/12, (MBIA Insured) Aaa 1,330 1,330
Colorado Wtr. Resources Pwr. Dev. Auth. Clean
Wtr. Rev. Series A, 7% 9/1/12 Aa 2,500 2,669
Denver City & County Arpt. Rev. Series A:
7.50% 11/15/06 Baa 6,500 6,622
7.50% 11/15/12 Baa 10,000 10,163
7.25% 11/15/25 Baa 6,300 6,206
Denver City & County Ind. Dev. Rev. (Denver
Univ. Prog.) Series 1991, 7.50% 3/1/11 BBB 1,000 1,073
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
COLORADO - CONTINUED
Jefferson County Ctfs. of Prtn.
Rfdg. 6.65% 12/1/08, (MBIA Insured) Aaa $ 3,000 $ 3,218
7.125% 12/1/10, (MBIA Insured) Aaa 250 273
Jefferson County School Dist. #R-001, 6%
12/15/12, (AMBAC Insured) Aaa 2,000 2,003
Jefferson County Single Family Mtg. Rev.
Series 1991 A, 8.875% 10/1/13, (MBIA Insured) Aaa 540 555
La Plata County School Dist. #9-R Durango:
6.55% 11/1/13, (FGIC Insured) Aaa 2,000 2,093
6.60% 11/1/17, (FGIC Insured) Aaa 1,600 1,674
Lafayette Wtr. Rfdg. & Impt. Series B, 6.25%
12/1/12, (AMBAC Insured) Aaa 2,000 2,048
Larimer County School Dist. #R-1 Poudre Impt.
Unltd. Tax 6.50% 12/15/11 A 5,000 5,213
Mountain Village Metropolitan Dist. San Miguel
County Rfdg. 8.10% 12/1/11 - 2,000 2,138
South Suburban Park & Recreation Dist. Rfdg. &
Impt. Unltd. Tax 6.25% 2/15/13,
(AMBAC Insured) Aaa 2,000 2,045
Vail Sales Tax Rev. Rfdg. & Impt. Series B,
6.125% 12/1/12, (MBIA Insured) Aaa 1,185 1,189
160,350
CONNECTICUT - 0.4%
Connecticut Health & Edl. Facs. Auth. Rev.
(New Britain Mem. Hosp.) Series A,
7.50% 7/1/06 BBB- 5,000 5,162
Norwalk Hsg. Auth. Mtg. Rev. (Monterey Village)
Series 1985 B, Section 8, 9% 11/1/99 BBB 2,195 2,275
7,437
DISTRICT OF COLUMBIA - 0.3%
District of Columbia Hosp. Rev. (Hosp. for
Sick Children) Series A, 8.875% 1/1/21 - 5,950 6,411
FLORIDA - 3.3%
Dade County Health Facs. Auth. Hosp. Rev.
(South Shore Hosp. & Med. Ctr.) Series A,
7.60% 8/1/24, (FHA Guaranteed) AA+ 890 958
Florida Tpk. Auth. Tpk. Rev. Rfdg. Series A,
5% 7/1/19, (FGIC Insured) Aaa 2,000 1,680
Hillsborough County Port. Dist. Port. Rev.
Series 1984 A, 11% 6/1/94 - 785 785
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
FLORIDA - CONTINUED
Jacksonville Elec. Auth. Rev. Rfdg. (St. John's River)
Issue 2, Series 8, 5.50% 10/1/13 Aa1 $ 2,000 $ 1,865
Jacksonville Health Facs. Auth. Hosp. Rev. Rfdg.
(Methodist Hosp. Proj.) Series A, 8% 10/1/06 - 2,050 1,907
Jacksonville Health Facs. Auth. Ind. Dev. Rev. Rfdg.
(Cypress Village Proj.) (Nat'l. Benevolent Assoc.)
7% 12/1/22 Baa1 2,000 2,005
Tampa Cap. Impt. Prog. Rev.:
Series A, 8.25% 10/1/18 AA 10,000 10,763
Series B, 8.375% 10/1/18 A- 40,000 43,000
62,963
GEORGIA - 0.6%
Atlanta Arpt. Facs. Rev. Rfdg. Series A, 6.50%
1/1/06, (AMBAC Insured) Aaa 2,000 2,150
Atlanta Wtr. & Swr. Auth. Rev. 4.50% 1/1/18 Aa 7,750 5,987
Brunswick Wtr. & Swr. Rev. Rfdg. & Impt.
6.10% 10/1/19, (MBIA Insured) Aaa 1,500 1,493
Savannah Port Auth. Poll. Cont. Rev. (Continental
Group, Inc. Proj.) 9.875% 3/1/00 Ba2 2,000 2,032
11,662
HAWAII - 0.9%
Hawaii Gen. Oblig. Rfdg. Series CI,
4.75% 11/1/09 Aa 7,000 6,247
Honolulu City & County:
Rfdg. & Impt. Series B:
5.50% 10/1/11 Aa 3,000 2,835
5% 10/1/13 Aa 4,500 3,960
Series A, 5.75% 4/1/10 Aa 4,820 4,742
17,784
IDAHO - 0.9%
Boise City Independent School Dist. Rev. 5.40%
7/30/14 (AMBAC Insured) Aaa 3,590 3,352
Boise Univ. Rev. Rfdg. & Impt. (Student Union &
Hsg.) 6.30% 4/1/15, (MBIA Insured) Aaa 800 821
Boise Urban Renewal Parking Agcy. Rev. (Tax
Increment) Series A, B, C, 8.125% 9/1/15 A 2,600 2,785
Idaho Falls Elec. Rfdg.:
0% 4/1/06, (FGIC Insured) Aaa 4,000 1,975
0% 4/1/13, (FGIC Insured) Aaa 7,150 2,208
Idaho Health Facs. Auth. Rev. (Magic Valley
Regional Med. Ctr.) 5.50% 12/1/07,
(AMBAC Insured) Aaa 3,525 3,432
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
IDAHO - CONTINUED
Idaho Univ. Rev. (Student Facs. Fee)
6.30% 4/1/10 A $ 2,000 $ 2,030
16,603
ILLINOIS - 5.2%
Chicago Gen. Oblig. Rfdg. Series B, 5% 1/1/11,
(AMBAC Insured) Aaa 2,000 1,774
Chicago O'Hare Int'l. Arpt. Rev. Rfdg. (Sr. Lien)
Series A:
5% 1/1/12 A1 10,000 8,712
5% 1/1/16 A1 10,000 8,463
Chicago O'Hare Int'l. Arpt. Spl. Facs. Rev. Rfdg.
(Delta Airlines, Inc.) 6.45% 5/1/18 Ba3 1,750 1,590
Grayslake Multi-Family Hsg. Rev. (Country
Squire Apts.) 9.50% 12/1/25,
(FHA Guaranteed) AA- 2,430 2,482
Illinois Dev. Fin. Auth. Solid Waste Disp. Rev.
(Ford Heights Waste Tire Proj.)
7.875% 4/1/11 (e) - 18,600 18,809
Illinois Edl. Facs. Auth. Rev. (Lewis University)
6% 10/1/24 Baa 5,000 4,444
Illinois Health Facs. Auth. Rev.:
Rfdg. (Lutheran Gen. Health Sys.) Series C:
7% 4/1/14 A 1,500 1,568
6% 4/1/18 A 3,000 2,786
Rfdg. (OSF Healthcare Sys.) 6% 11/15/13 A1 5,000 4,694
(Memorial Hosp.):
6.875% 5/1/00 BBB 1,700 1,721
7.125% 5/1/10 BBB 4,000 3,965
7.25% 5/1/22 BBB 4,000 3,970
Lake County Forest Preserve Dist. Unltd. Tax
(Cap. Appreciation):
0% 12/1/07 Aa 10,440 4,633
0% 12/1/08 Aa 12,505 5,143
Metropolitan Pier & Exposition Auth. Dedicated
State Tax Rev. (McCormick Place Expansion Proj.):
Series A:
0% 6/15/07, (FGIC Insured) (b) Aaa 4,800 4,050
0% 6/15/09, (FGIC Insured) Aaa 18,175 7,088
0% 6/15/16, (FGIC Insured) (b) Aaa 11,820 7,151
Round Lake Beach Tax Increment Rev. Rfdg.
7.50% 12/1/13 - 5,000 4,788
97,831
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
INDIANA - 0.7%
Indiana Univ. Rev. Rfdg. (Student Fee) Series H,
0% 8/1/09, (AMBAC Insured) Aaa $ 17,000 $ 6,588
Indianapolis Econ. Dev. Rev. Rfdg. & Impt.
(Nat'l. Benevolent Assoc.) 7.625% 10/1/22 Baa1 3,000 3,120
Indianapolis Local Pub. Impt. Bond Bank Series D,
Rfdg. 6.75% 2/1/14 A+ 4,000 4,170
13,878
KANSAS - 0.3%
Kansas City Util. Sys. Rev. Rfdg. & Impt.
(Cap. Appreciation) 0% 9/1/10,
(AMBAC Insured) Aaa 6,690 2,408
Wichita Hosp. Rev. Rfdg. & Impt. (St. Francis II
Reg'l. Med. Ctr.) Series A3, 6.25% 10/1/10,
(MBIA Insured) Aaa 2,500 2,572
4,980
KENTUCKY - 2.0%
Danville Multi-City Lease Rev. (Shelbyville)
Series H, 6.70% 7/1/11, (MBIA Insured) Aaa 2,430 2,564
Henderson Elec. Lt. & Pwr. Rev. Rfdg. 5.70%
3/1/03 A 1,980 1,982
Hopkins County Hosp. Rev. (Trover Clinic
Foundation, Inc.) 6.625% 11/15/11,
(MBIA Insured) Aaa 2,000 2,088
Jefferson County Cap. Projs. Corp. Rev. (Muni.
Multiple Rfdg. Lease) Series A, 0% 8/15/11 A1 5,365 1,710
Kenton County Arpt. Board Arpt. Rev. (Spl.
Facs Delta Proj. A) 7.125% 2/1/21 (e) Ba1 17,500 16,581
Kentucky Tpk. Auth. Econ. Dev. Road Rev. Rfdg.
(Revitalization Proj.) 5.50% 7/1/09,
(AMBAC Insured) Aaa 2,200 2,115
Owensboro Elec. Lt. & Pwr. Rev. Series B,
0% 1/1/07, (AMBAC Insured) Aaa 10,000 4,700
Peery County Econ. Dev. Rev. Rfdg. (The Kroger
Co. Proj.) 6.60% 5/1/02 Ba2 2,435 2,417
Louisville Univ. Rev. Rfdg. (Consolidated Edl.
Bldgs.) Series I:
5.40% 5/1/09 A1 2,360 2,239
5.40% 5/1/10 A1 1,565 1,473
37,869
LOUISIANA - 2.5%
Lake Charles Hbr. & Term. Dist. Port Facs. Rev.
Rfdg. (Trunkline LNG Co. Proj.) Series
1992, 7.75% 8/15/22 Ba1 24,500 25,909
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
LOUISIANA - CONTINUED
Louisiana Offshore Term. Auth. Deepwtr. Port Rev.
Rfdg. (1st Stage) (Loop, Inc. Proj.) Series E,
7.60% 9/1/10 A3 $ 2,300 $ 2,527
Monroe-West Monroe Pub. Trust Fing. Auth.
Mtg. Rev. Rfdg. (Cap. Appreciation) Series C,
0% 8/20/14 AA- 9,000 2,498
New Orleans Audubon Park Commission
Aquarium Rev. Series 1992 A, 8% 4/1/12 - 5,000 5,181
St. James Parish Poll. Cont. Rev.
(B.F. Goodrich Proj.) 14.50% 12/1/11 Baa1 500 605
St. John Baptist Parish Sales Tax Dist. Rfdg.
Series 1989, 7.80% 12/1/14 Baa 2,700 2,997
St. John Baptist Parish School Dist. #1 5.20%
3/1/09 Baa 1,000 894
St. Tammany Pub. Trust Fing. Auth. Rev. Rfdg.
(Cap. Appreciation) Series C, 0% 7/20/14 Aa 4,650 1,319
Westside Habilitation Ctr. Cheyenville Rev. Rfdg.
(Intermediate Care Fac. Retirement) 8.50%
10/1/13 - 4,900 4,673
46,603
MAINE - 0.5%
State Str. Hsg. Preservation Corp. Hsg. Rev.
(Multi-Family Proj.) Series A:
7.20% 1/1/02 A 620 643
7.375% 1/1/12 A 3,505 3,645
7.50% 1/1/19 A 4,700 4,894
9,182
MARYLAND - 0.8%
Baltimore County Mtg. Rev. (Loch Raven Village)
10.10% 11/20/20, (GNMA Coll.) AAA 1,390 1,440
Howard County Mtg. Rev. (Heartlands Elderly Apts.
Proj.) 8.875% 12/1/10, (MBIA Insured)
(FHA Guaranteed) Aaa 250 263
Maryland Commty. Dev. Administration Dept.
Hsg. & Commty. Dev. (Single Family Prog.) 4th
Series, 7.40% 4/1/17 Aa 2,485 2,600
Maryland Health & Higher Edl. Facs. Auth. Rev.:
Rfdg. (Doctors Commty. Hosp.) 5.75% 7/1/13 Baa 2,500 2,200
(Holy Cross Hosp.) Issue A, 7.125% 7/1/10,
(AMBAC Insured) Aaa 1,350 1,470
Montgomery County Hsg. Opportunities
Commission Hsg. Rev. (Multi-Family) Series B,
9.375% 7/1/15 Aa 445 462
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
MARYLAND - CONTINUED
Prince George's County Hosp. Rev. (Greater
Southeast Health Care Sys.) 6.375% 1/1/13 Baa $ 2,250 $ 2,154
Prince George's County Rfdg. (Consolidated
Pub. Impt. Ltd. Tax) 5.10% 10/1/04 A 1,000 971
Prince George's County Solid Waste Mgmt. Sys.
Rev. 5.25% 6/15/13 A 1,500 1,356
Queen Anne's County Econ. Dev. Rev. (Safeway
Stores Proj.) 7.75% 12/15/09, (Pre-Refunded
to 6/15/94 @100) (f) BB 2,445 2,445
15,361
MASSACHUSETTS - 7.6%
Birmingham Baptist Med. Ctr. Spl. Care Facs. Fing.
Auth. Rev. (Baptist Med. Ctr.) Series A,
5.50% 8/15/13, (MBIA Insured) Aaa 3,500 3,202
Boston Gen. Oblig. Rfdg. Series A, 5% 7/1/08,
(AMBAC Insured) Aaa 4,570 4,170
Massachusetts Gen. Oblig.:
Rfdg. Series A, 5.25% 2/1/08 A 5,000 4,688
Ltd. Tax (Consolidated Loan) Series C,
0% 12/1/04 A 4,000 2,230
5% 8/1/06 A 5,000 4,675
Massachusetts Health & Edl. Facs. Auth. Rev.:
(Brigham & Women's Hosp.) Series C,
7.125% 6/1/09 Aa 1,000 1,061
(1st Mtg.) (Fairview Extended Care) Series A:
10.125% 1/1/11 - 3,010 3,213
10.25% 1/1/21 - 6,400 6,880
(Metro West Health, Inc.) Series C, 6.50%
11/15/18, (AMBAC Insured) A 4,000 3,985
(St. Luke's Hosp. New Bedford) 8.60%
8/15/23, (MBIA Insured) (g) Aaa 2,600 2,314
(Salem Hosp.) Series A, 6.75% 7/1/00 - 5,905 5,957
(Tufts University Issue) Series C, 7.40% 8/1/18 A1 2,815 3,075
Massachusetts Hsg. Fin. Agcy. (Hsg. Projs.)
Series A, 6.30% 10/1/13 A1 11,000 10,904
Massachusetts Hsg. Fin. Agcy. Hsg. Rev.
(Multi-Family) Series 1984 B, 10.375%
12/1/09, (MBIA Insured) Aaa 1,000 1,043
Massachusetts Hsg. Fin. Agcy. Single Family
Mtg. Purchase Series 1984 A, 11.375%
12/1/08 Aa 215 223
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
MASSACHUSETTS - CONTINUED
Massachusetts Ind. Fin. Agcy. Health Care Facs.
Rev. (Hampden Nursing Home Proj.)
Series A, 9.75% 10/1/17 - $ 4,815 $ 4,996
Massachusetts Ind. Fin. Agcy. Rev.:
(Atlantic Med. Ctr.) Series A, 10.125% 11/1/14 - 7,300 8,149
(Cap. Appreciation) (Massachusetts Biomedical
Research):
Series A-1, 0% 8/1/03 A1 23,300 13,368
Series A-2:
0% 8/1/04 A1 5,000 2,675
0% 8/1/06 A1 26,800 12,395
0% 8/1/09 A1 15,800 6,004
0% 8/1/10 A1 11,000 3,891
(1st Mtg. Reeds Landing):
7.75% 10/1/20 - 1,300 1,266
8.625% 10/1/23 - 3,000 2,843
Massachusetts Muni. Wholesale Elec. Co. Pwr.
Supply Sys. Rev.:
Series A:
Rfdg. 5.10% 7/1/08, (AMBAC Insured) Aaa 8,775 8,062
6% 7/1/18 (c) A 11,690 11,090
8.02% 7/1/18 (g) Aaa 5,000 4,112
8.75% 7/1/18 A 30 30
5% 7/1/10, (AMBAC Insured) Aaa 3,680 3,261
Massachusetts Univ. Ctfs. of Prtn.
(Telecommunications Sys.) Series A:
7.45% 11/1/97 BBB- 810 854
7.70% 5/1/99 BBB- 1,190 1,257
7.70% 11/1/99 BBB- 1,240 1,310
7.80% 5/1/00 BBB- 1,285 1,359
144,542
MICHIGAN - 5.2%
Detroit Convention Facs. Rev. Rfdg. (Cobo Hall
Expansion Proj.) 5.25% 9/30/12 A 3,000 2,684
Detroit Gen. Oblig. 6.35% 4/1/14 Ba1 5,000 4,837
Detroit Hosp. Fin. Auth. Facs. Rev. (Michigan
Healthcare Corp. Proj.) 10% 12/1/20 B 37,080 38,794
Dickenson County Econ. Dev. Corp. Solid
Waste Disp. Rev. Rfdg. (Champion Int'l. Corp.)
6.55% 3/1/07 Baa1 5,000 4,913
Grand Rapids San. Swr. Sys. Rev. Impt. & Rfdg.
7% 1/1/16 A1 2,195 2,349
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
MICHIGAN - CONTINUED
Michigan Hsg. Dev. Auth. Single Family Mtg. Rev.
Series A:
7.50% 6/1/15 AA $ 470 $ 495
7.70% 12/1/16 AA 1,775 1,865
Michigan Hosp. Fin. Auth. Rev. Rfdg.:
(Bay Med. Ctr.) Series A, 8.25% 7/1/12 Baa1 1,000 1,089
(Brighton Hosp.) Series A, 8.625% 10/1/18 - 1,550 1,566
(Detroit Macomb Hosp. Corp.) Series A:
7.40% 6/1/13 B 1,160 1,124
7% 6/1/15 B 3,500 3,242
(Pontiac Osteopathic Hosp.) 6% 2/1/24 Baa1 2,860 2,510
Michigan Hsg. Dev. Auth. Rental Hsg. Rev.
Series B, 5.70% 4/1/12 A+ 2,000 1,873
Michigan South Central Pwr. Agcy. Pwr. Supply
Sys. Rev. Rfdg. Series 1991, 6.75% 11/1/10 A 2,000 2,048
Michigan Strategic Fund Ltd. Oblig. Rev.
(Mercy Svcs. for Aging Proj.) 9.40% 5/15/20 - 9,200 9,833
Michigan Trunkline Rfdg. Series B-1, 5.50%
10/1/21 A1 5,000 4,469
Pontiac Stadium Bldg. Auth. Rev. 6.60% 3/1/00 Baa 1,395 1,414
Waterford Township Econ. Dev. Corp. Rev. Ltd.
Tax (Canterbury Health Care):
8% 7/1/08 - 300 299
8.375% 7/1/23 - 1,000 1,015
Western Townships Util. Auth. Swr. Disp. Sys.:
Rfdg.:
0% 1/1/05, (Cap. Guaranty Insured) Aaa 2,810 1,521
6.50% 1/1/10, (Cap. Guaranty Insured) Aaa 7,720 7,923
Ltd. Tax 8.20% 1/1/18 BBB+ 2,000 2,185
98,048
MINNESOTA - 1.9%
Centennial Independent School Dist. #12 Rfdg.
Series B, 4.875% 2/1/12, (FGIC Insured) Aaa 2,610 2,300
Minneapolis & St. Paul Hsg. & Redev. Auth.
Healthcare Sys. Rev. (Healthspan Health Sys.
Corp.) (Health One Sys.) Series A, 4.75%
11/15/18, (AMBAC Insured) Aaa 5,000 4,050
Minneapolis Hsg. & Redev. Auth. Mtg. Single
Family Rev. 6.75% 5/1/09, (FHA Guaranteed) A1 1,055 1,075
Northern Minnesota Muni. Pwr. Agcy. Elec. Sys.
Rev. Rfdg. Series B, 5.50% 1/1/18,
(AMBAC Insured) Aaa 2,000 1,845
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
MINNESOTA - CONTINUED
Rochester Health Care Facs. Rev. (Mayo
Foundation/Mayo Med. Ctr.):
Series I:
5.90% 11/15/09 AA+ $ 2,000 $ 1,953
5.90% 11/15/10 AA+ 2,250 2,191
RIB Series H, 8.73% 11/15/15 (g) AA+ 9,000 8,651
St. Louis Park Hosp. Facs. Auth. Rev.
(Health System Obligated A) 5.20%
7/1/23, (AMBAC Insured) Aaa 2,000 1,723
St. Paul Hsg. & Redev. Auth. Hosp. Rev.:
(Healtheast) Series A, 6.625% 11/1/17 Baa 2,000 1,885
(St. Paul-Ramsey Med. Ctr. Proj.) 5.50%
5/15/13, (AMBAC Insured) Aaa 1,180 1,103
Western Minnesota Muni. Pwr. Agcy. Supply Rev.
Series A, 6.125% 1/1/16 A 8,775 8,851
35,627
MISSISSIPPI - 0.6%
Hinds County Ctfs. of Prtn. (Welfare Dept. Proj.)
7.75% 3/1/09 A 1,095 1,180
Hinds County Mtg. Rev. Rfdg. (Methodist Hosp. &
Rehabilitation) 5.60% 5/1/12, (AMBAC Insured) Aaa 4,000 3,785
Mississippi Home Corp. Single Family Sr. Rev. Rfdg.
Series 1990 A, 9.25% 3/1/12, (FGIC Insured) Aaa 600 630
Mississippi Hosp. Equip. & Facs. Auth. Rev.
(Singing River Hosp. Sys. Proj.) 5.50% 3/1/13 Aaa 2,105 1,929
Panola County Ind. Dev. Rev. Rfdg. (Kroger Co.)
7.125% 11/1/12 Ba2 3,250 3,303
10,827
MISSOURI - 1.1%
Greene County Single Family Mtg. Rev. 9.375%
12/1/06, (AMBAC Insured) Aaa 50 52
Kansas City Ind. Dev. Auth. Health Facs. Rev.
Rfdg. & Impt. (Menorah Med. Ctr. Proj.)
9.25% 6/1/16 - 3,500 3,841
Missouri Gen. Oblig. (Third State Bldg.) Series B,
7.70% 12/1/09, (Pre-Refunded to
12/1/94 @103) (f) Aaa 5,025 5,276
Missouri Health & Edl. Facs. Auth. Health Facs.
Rev. (Barnes Jewish-Christian Health)
5.25% 5/15/12 Aa 4,000 3,545
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
MISSOURI - CONTINUED
Missouri Health & Edl. Facs. Auth. Hosp. Facs.
Rev. (SSM Health Care) Series AA, 6.25%
6/1/07, (MBIA Insured) Aaa $ 1,000 $ 1,034
Missouri Hsg. Dev. Commission Mtg. Purchase
(Single Family) 6.60% 11/15/10,
(FHA Guaranteed) Aa 1,455 1,482
Missouri Univ. Rev. Rfdg. (Columbia Hosp. &
Clinics) Series A, 6.50% 11/1/11,
(AMBAC Insured) Aaa 1,500 1,579
St. Louis Reg'l. Convention & Sports Complex
Auth. Series C, 7.90% 8/15/21 - 3,000 3,131
19,940
MONTANA - 0.5%
Great Falls Ind. Dev. Rev. Rfdg. (K mart Corp.
Proj.) 6.50% 11/15/01 A2 200 203
Great Falls Wtr. & Swr. Rev. Series 1992,
6.40% 8/1/12, (FGIC Insured) Aaa 1,200 1,244
Montana Board of Investment Payroll Tax
(Workers Compensation) Series 1991,
6.875% 6/1/11, (MBIA Insured) Aaa 6,700 7,119
8,566
NEBRASKA - 1.2%
Buffalo County Hosp. Auth. #1 (Sisters of
Charity Health Care) Series A, 6.625%
5/15/09, (MBIA Insured) Aaa 1,000 1,054
Douglas County Hosp. Auth. #1 (Immanuel Med.
Ctr., Inc.) 6.90% 9/1/11, (AMBAC Insured) Aaa 3,250 3,506
Hastings Elec. Sys. Rev. Rfdg. 6.30% 1/1/19 A 2,000 2,020
Lancaster County Hosp. Auth. #1 Hosp. Rev.
(Bryan Mem. Hosp. Proj.):
6.60% 6/1/12, (MBIA Insured) Aaa 1,000 1,049
6.70% 6/1/22, (FGIC Insured) Aaa 2,500 2,641
Nebraska Investment Fin. Auth. Hosp. Rev.
(Methodist Health. Sys.):
6.65% 3/1/00, (MBIA Insured) Aaa 2,500 2,694
6.75% 3/1/01, (MBIA Insured) Aaa 2,400 2,598
Omaha Pub. Pwr. Dist. Elec. Rev. Rfdg.
Series B, 6.15% 2/1/12 Aa 5,000 5,006
Scotts Bluff County Hosp. Auth. #1 Hosp. Rev.
(Reg'l. West Med. Ctr. Proj.) 6.45% 12/15/04 A 3,000 3,098
23,666
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
NEW HAMPSHIRE - 0.1%
New Hampshire Fin. Auth. Poll. Cont. Rev.
Rfdg. (United Illuminating Co.) Series A,
5.875% 10/1/33 Baa3 $ 2,500 $ 2,166
NEW JERSEY - 1.1%
Cape May County Muni. Util. Auth. Rfdg. Series B,
5% 1/1/16, (FGIC Insured) Aaa 2,200 1,909
New Jersey Econ. Dev. Rev. Rfdg. (Statewide Realty
Proj.-Vista Hotels):
Series A, 11% 12/15/17 - 14,445 14,445
Series B, 11% 12/15/17 - 9,370 12
New Jersey Health Care Facs. Fing. Auth. Rev.
(Monmouth Med. Ctr.) 10.50% 7/1/14,
(HIB Insured) A 4,350 4,453
20,819
NEW MEXICO - 3.1%
Albuquerque Hosp. Rev. Rfdg. (Presbyterian
Health Care Sys.) 6.375% 8/1/07,
(FGIC Insured) Aaa 500 520
Farmington Poll. Cont. Rev. (Pub. Svc. Co.
of New Mexico San Juan Proj.):
Rfdg. Series X, 5.90% 4/1/07 Ba2 12,640 11,928
Series A:
6% 3/1/08 Ba2 14,230 13,464
6.40% 8/15/23 Ba2 9,000 8,235
Gallup Poll. Cont. Rev. Rfdg. (Plains Elec. Generation
Unltd. Tax) 6.65% 8/15/17, (MBIA Insured) Aaa 14,150 14,840
New Mexico Univ. Rev.:
Rfdg. Series A:
6.25% 6/1/12 A1 2,000 2,038
6% 6/1/21 A1 4,050 3,959
Series B, 5.75% 6/1/12 A1 2,500 2,388
6.50% 6/1/21 (Escrowed to Maturity) (f) A1 1,000 1,023
58,395
NEW YORK - 8.0%
New York City Gen. Oblig.:
Rfdg.:
Series D, 5.75% 8/15/07 Baa1 1,500 1,430
Series G, 5.70% 8/1/08 Baa1 2,300 2,167
Series G, 5.625% 8/1/12 Baa1 2,150 1,951
Unltd. Tax Series D, 5.75% 8/15/10 Baa1 4,000 3,735
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
NEW YORK - CONTINUED
New York City Gen. Oblig. - continued
Series C:
5.50% 10/1/11 Baa1 $ 3,500 $ 3,150
5.50% 10/1/16 Baa1 10,000 8,825
Series E:
5.70% 8/1/08 Baa1 2,000 1,884
5.75% 5/25/12 Baa1 1,855 1,709
New York State Dorm. Auth. Rev.:
Rfdg. (State Univ. Edl. Facs.):
Series A:
5.50% 5/15/09 Baa1 4,000 3,730
5.875% 5/15/11 Baa1 3,000 2,880
5.50% 5/15/13 Baa1 5,000 4,563
5.25% 5/15/15 Baa1 10,000 8,713
Series B, 5.25% 5/15/10 Baa1 5,100 4,545
(City Univ.) Series F, 5.50% 7/1/12 Baa1 4,600 4,169
(Consolidated City Univ. Sys.) Series A:
5.75% 7/1/06, (FGIC Insured) Aaa 3,750 3,811
5.75% 7/1/13 Baa1 13,750 12,839
(Court Facs. Lease) Series A:
5.625% 5/15/13 Baa1 5,510 5,028
5.375% 5/15/16 Baa1 10,000 8,738
5.25% 5/15/21 Baa1 10,375 8,741
New York State Local Gov't. Assistance Corp.:
Rfdg.:
Series C, 5.50% 4/1/17 A 26,600 24,040
Series E, 5.25 4/1/16 A 11,500 10,077
Series A, 0% 4/1/08 A 2,000 863
Series B, 0% 4/1/08 A 5,000 2,156
RIBS 6.968% 4/1/21 (g) A 4,000 3,175
New York State Tollway Auth. Gen. Rev. (Spl.
Oblig.) Series A:
0% 1/1/02 BBB 3,775 2,383
0% 1/1/05 BBB 8,500 4,409
New York State Urban Dev. Corp. Rev. Rfdg.
(Correctional Facs.):
Series A, 5.50% 1/1/14 Baa1 5,000 4,469
5.50% 1/1/15 Baa1 7,000 6,221
Triborough Bridge & Tunnel Auth. Rev. Rfdg.
(Gen. Purp.) Series Y, 5.50% 1/1/17 Aa 1,000 919
151,320
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
NEW YORK & NEW JERSEY - 1.1%
New York & New Jersey Port (Delta Airlines, Inc.
Proj.) Series 1R, 6.95% 6/1/08 Ba1 $ 21,500 $ 21,527
NORTH CAROLINA - 1.1%
North Carolina Eastern Muni. Pwr. Agcy. Pwr.
Sys. Rev. Rfdg. Series C, 5% 1/1/21 A 6,000 4,913
North Carolina Med. Care Commission Hosp.
Rev.:
Rfdg. (Mercy Hosp. Proj.) 6.50% 8/1/15 A- 1,000 984
(Duke Univ. Hosp. Proj.) Series 1985 A,
8.625% 6/1/10, (Pre-Refunded to
6/1/95 @102) (f) Aa 1,000 1,063
North Carolina Muni. Pwr. Agcy. #1 Catawba
Elec. Rev. Rfdg.:
0% 1/1/09 A 13,050 5,138
6% 11/1/11, (MBIA Insured) Aaa 3,500 3,487
5.75% 1/1/15 A 2,475 2,305
Pitt County Rev. (Pitt County Mem. Hosp.) 6.75%
12/1/14, (MBIA Insured) Aaa 2,000 2,124
20,014
NORTH DAKOTA - 0.3%
Mercer County Poll. Cont. Rev. Rfdg. (Montana
Dakota Utils. Co. Proj.) 6.65% 6/1/22,
(FGIC Insured) Aaa 5,500 5,761
OHIO - 2.3%
Broadview Heights Ind. Dev. Rev. (Royalview
Manor) Series A, 10.625% 7/15/14,
(FHA Guaranteed) - 665 684
Eaton Ind. Dev. Rev. Rfdg. (Baxter Int'l., Inc. Proj.)
6.50% 12/1/12 A3 2,605 2,660
Hamilton County Swr. Sys. Rev. Rfdg. & Impt.
Metropolitan Swr. Dist. Series A, 5.35%
12/1/07, (FGIC Insured) Aaa 2,475 2,401
Loveland City School Dist. Unltd. Tax 6.65%
12/1/15 A 3,500 3,666
Montgomery County Ind. Dev. Rev. Rfdg.
(The Kroger Co.) 7.45% 9/1/07 Ba2 4,700 4,841
Mount Vernon Hosp. Rev. (Knox Commty. Hosp.)
7.875% 6/1/12 - 16,940 18,083
Ohio Bldg. Auth. (Workers Comp. - Green Bldg.)
4.75% 4/1/14 A 3,500 2,962
Ohio Wtr. Dev. Auth. Rev. Rfdg. & Impt. (Pure
Wtr.) 6% 12/1/08, (AMBAC Insured) Aaa 3,000 3,053
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
OHIO - CONTINUED
Warren County Hosp. Facs. Rev. Rfdg. & Impt.
(Otterbein Home Proj.) 7.20% 7/1/11,
LOC Fifth Third Bancorp Aa2 $ 2,450 $ 2,618
Warren Hosp. Rev. Rfdg. (Warren General
Hosp. Proj.) Series B, 7.20% 11/15/09 BBB 2,750 2,692
43,660
OKLAHOMA - 0.7%
Grand River Auth. Rev. Rfdg. 5.50% 6/1/09 A 12,500 11,797
Valley View Hosp. Auth. Rev. 10% 10/1/14,
(HIB Insured) A 1,140 1,176
12,973
OREGON - 1.3%
Astoria Hosp. Facs. Auth. Hosp. Rev.
(Columbia Mem. Hosp.) 7% 1/1/13 - 2,500 2,309
North Clackamas Parks & Recreational Dist.
Rev. Facs. 5.70% 4/1/13 A- 1,000 979
Oregon Health Hsg. Edl. & Cultural Facs. Auth.
Rev. (Lewis & Clark College Proj.):
Series A:
7.125% 7/1/20, (MBIA Insured) Aaa 1,100 1,235
6.125% 10/1/24, (MBIA Insured) Aaa 3,500 3,491
6% 10/1/13, (MBIA Insured) Aaa 1,750 1,741
Portland Hosp. Facs. Auth. Hosp. Rev. (Legacy
Health Sys.)
Series A, 6.625% 5/1/11, (AMBAC Insured) Aaa 250 263
Series B:
6.625% 5/1/11, (AMBAC Insured) Aaa 2,000 2,105
6.70% 5/1/21, (AMBAC Insured) Aaa 11,000 11,591
Portland Swr. Sys. Rev. Rfdg. Series A, 5.25%
3/1/10 A1 2,000 1,853
25,567
PENNSYLVANIA - 4.4%
Allegheny County Hosp. Dev. Auth. Health Facs.
Rev. (Allegheny Valley School):
8% 2/1/02 Baa 1,735 1,867
8.50% 2/1/15 Baa 3,325 3,595
Allegheny County Ind. Dev. Auth. Rev. (K mart
Corp.) (Commercial Dev.) Series A,
11% 1/1/07 A2 2,585 3,412
Butler County Hosp. Auth. Rev. (North Hills
Passavant Hosp.) Series A:
6.80% 6/1/06, (Cap. Guaranty Insured) Aaa 5,000 5,363
6.90% 6/1/09, (Cap. Guaranty Insured) Aaa 5,000 5,294
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
PENNSYLVANIA - CONTINUED
Cumberland County Muni. Auth. Rev.
(Carlisle Hosp.) 6.80% 11/15/23 Baa $ 4,600 $ 4,238
Delaware County Auth. Rev. (1st. Mtg.) (Riddle
Village Proj.):
7% 6/1/00 - 1,500 1,496
8.25% 6/1/22 - 3,000 2,993
9.25% 6/1/22 - 5,000 5,400
Harrisburg Auth. Wtr. Rev. (Complimentary
Auction Rate B-3) 8.17% 7/15/15,
(FGIC Insured) (g) Aaa 4,000 3,715
Lehigh County Gen. Purp. Auth. Rev.
(Wiley House) 9.50% 11/1/16 - 5,930 6,456
Montgomery County Higher Ed. & Health Auth.
Hosp. Rev. (United Hosp. Inc. Proj.)
(St. Christopher) 8.25% 11/1/03 Ba1 2,305 2,391
Northumberland County Auth. Commonwealth
Lease Rev. 0% 10/15/13, (MBIA Insured) Aaa 11,830 3,608
Pennsylvania Intergovernmental Coop. Auth. Spl.
Tax Rev. Rfdg. Series A:
5% 6/15/15 Baa 5,210 4,500
5% 6/15/22, (MBIA Insured) Aaa 7,835 6,542
Philadelphia Wtr. & Wastewtr. Rev.:
Rfdg.:
5% 6/15/12, (FGIC Insured) Aaa 3,000 2,648
5.75% 6/15/13 Baa 2,000 1,830
8.12% 6/15/12, (FGIC Insured) (g) Aaa 10,000 8,775
Philadelphia Hosp. & Higher Ed. Facs. Auth. Hosp.
Rev. (Temple Univ. Hosp.) Series A, 6.50%
11/15/08 Baa1 1,000 1,018
Philadelphia Muni. Auth. Rev. Rfdg. Lease
Series D:
6% 7/15/03 Ba 1,500 1,418
6.125% 7/15/08 Ba 4,000 3,700
Wyoming Ind. Dev. Auth. Poll. Ref. (Proctor &
Gamble Paper Proj.) 5.55% 5/1/10 Aa2 4,300 4,047
84,306
PUERTO RICO - 0.2%
Puerto Rico Tel. Auth. Rev. 5.76% 1/1/04,
(AMBAC Insured) (g) Aaa 4,000 3,510
RHODE ISLAND - 0.8%
Lincoln Gen. Oblig. Unltd. Tax Rfdg. 5.50%
8/15/10, (MBIA Insured) Aaa 3,470 3,265
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
RHODE ISLAND - CONTINUED
Newport Gen. Oblig. 6.80% 4/15/10,
(Pre-Refunded to 4/15/01 @102) (f) A1 $ 605 $ 667
Rhode Island Depositors Econ. Protection Spl.
Oblig. Rfdg. Series A, 5.75% 8/1/12 Baa1 3,495 3,246
Rhode Island Hsg. & Mtg. Fin. Corp.
(Homeownership Opportunity) Series 3-A,
7.80% 10/1/10 Aa 1,000 1,070
Rhode Island Health & Edl. Bldg. Corp. Rev.:
Rfdg. (Higher Ed. Facs. Johnson & Wales Univ.)
Series A, 5.25% 4/1/16, (Connie Lee Insured) Aaa 4,000 3,460
(Hosp. Fing.):
(Roger Williams Hosp.) 7.75% 7/1/16 BBB 1,000 1,068
(Westerly Hospital) 6% 7/1/19 Baa 3,000 2,659
15,435
SOUTH CAROLINA - 0.1%
Grand Strand Wtr. & Swr. Auth. Waterwks. &
Swr. Sys. Rev. Series 1991, 6.375% 6/1/12,
(MBIA Insured) Aaa 2,000 2,098
South Carolina Hsg. Auth. (Home Ownership
Mtg. Purchase) Series 1985 B, 9.375%
7/1/16, (Pre-Refunded to 6/1/94 @100) (f) Aa 75 78
2,176
SOUTH DAKOTA - 0.2%
Rapid City Civic Ctr. Facs. Rev. (Rushmore Plaza
Partners Ltd. Proj.) 11.50% 6/30/09 A 595 613
South Dakota Lease Rev. (Trust Cfts.) Series A,
6.625% 9/1/12, (Cap. Guaranty Insured) Aaa 1,220 1,267
Spearfish School Dist. #40-2 Unltd. Tax
(Lawrence County) 7.30% 7/1/11 A 1,500 1,646
3,526
TENNESSEE - 0.4%
Bradley County Ind. Dev. Board Ind. Dev. Rev.
Rfdg. (Kroger Co. - Peytons SE Proj.)
8.10% 5/1/12 Ba2 4,000 4,310
Tennessee Hsg. Dev. Auth. Mtg. Series A, 5.90%
7/1/18 A1 4,150 3,870
8,180
TEXAS - 6.4%
Austin Util. Sys. Rev. Rfdg.:
(Combined PR Lien) 0% 5/15/09, (MBIA Insured) Aaa 3,770 1,489
6% 11/15/13 A 3,750 3,623
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
TEXAS - CONTINUED
Cass County Envir. Protection Rev. (Int'l. Paper
Co. Proj.) Series B, 5.70% 5/1/12 A3 $ 1,850 $ 1,850
Corpus Christi Hsg. Fin. Corp. Single Family
Mtg. Rev. (Lomas & Nettleton Co.)
Series A, 13.375% 6/1/13 AA- 45 47
Cypress-Fairbanks Independent School Dist. Rfdg.
Unltd. Tax Series A, 0% 2/15/12,
(PSF Guaranteed) Aaa 14,000 4,550
Dallas Hsg. Corp. Cap. Proj. Rev. Rfdg.
(Section 8 Assorted Projs.):
7.70% 8/1/05 A 1,100 1,132
7.85% 8/1/13 A 1,000 1,038
East Texas Health Facs. Dev. Corp. Hosp. Rev.
(Mem. Foundation Hosp. - Palestine, Inc.):
7.25% 8/15/03 - 2,970 2,833
7.80% 8/15/18 - 2,440 2,330
Goose Creek Consolidated Independent School
Dist. Rfdg. (Cap. Appreciation):
0% 2/15/08, (PSF Guaranteed) Aaa 2,575 1,107
0% 2/15/09, (PSF Guaranteed) Aaa 3,475 1,399
0% 2/15/10, (PSF Guaranteed) Aaa 3,270 1,226
Harris County Cultural & Ed. Facs. Fin. Corp.
Rev. (Space Ctr. Houston Proj.):
9% 8/15/00 - 6,200 6,332
9.25% 8/15/15 - 18,920 19,393
Harris County Gen. Oblig.:
6.625% 8/15/17, (MBIA Insured) Aaa 160 162
6.625% 8/15/17, (MBIA Insured),
(Pre-Refunded to 8/15/97 @ 102) (f) Aaa 840 901
Houston Hsg. Auth. Rev. (Low Income Elderly
Hsg.) (1st Lien):
7.50% 7/1/16 - 420 420
7.50% 7/1/18 - 405 405
Houston Wtr. Conveyance Sys. Contract Ctfs. of
Prtn. Series D, 6.375% 12/15/07
(AMBAC Insured) Aaa 1,500 1,575
Port Arthur Hsg. Fin. Corp. Multi-Family Mtg.
Rev. (Port Arthur Udal Proj.) Series E,
9.625% 1/1/28, (FHA Guaranteed) AAA 485 505
Port Arthur Hsg. Fin. Corp. Single Family Mtg.
Rev. Rfdg. 8.70% 3/1/12 A 1,295 1,395
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
TEXAS - CONTINUED
Port Corpus Christi Ind. Dev. Corp. Rev. (Valero
Refining & Marketing Co.) Series A,
10.25% 6/1/17 Baa3 $ 1,535 $ 1,736
Port Dev. Corp. Ind. Dev. Rev. (Cargill, Inc. Proj.)
7.70% 3/1/07 Aa2 1,000 1,096
Tarrant County Hsg. Fin. Corp. Rev. (Single Family
Mtg.) Series A:
9% 11/15/95 Ba 155 154
9.50% 5/15/03 Ba 640 633
Texarkana Health Facs. Dev. Corp. Hosp. Rev.
(Wadley Regional Med. Ctr. Proj.) 7% 10/1/05,
(MBIA Insured) Aaa 1,750 1,916
Texas City Ind. Dev. Corp. Marine Term. Rev.
Rfdg. (Arco Pipeline Co. Proj.)
7.375% 10/1/20 A2 6,000 6,690
Texas Gen. Oblig. Rfdg. (Veterans Land)
7.40% 12/1/20 Aa 2,500 2,713
Texas Hsg. Agcy. Mtg. Rev. Single Family
Series 1983 A, 10.50% 9/1/09 Aa 65 67
Texas Muni. Pwr. Agcy. Rev. Rfdg.
(Cap. Appreciation):
0% 9/1/05, (AMBAC Insured) Aaa 13,000 6,744
0% 9/1/10, (AMBAC Insured) Aaa 6,650 2,402
Texas Nat'l. Research Lab. Commission Fing.
Corp. Lease Rev. (Superconducting Super
Collider) 7.10% 12/1/21 A 26,765 27,200
Texas Wtr. Dev. Board Rev. (Revolving Fund
Sr. Lien) 5.25% 7/15/15 Aa 3,000 2,700
Tomball Hospital Auth. Rev. Rfdg. 6.125% 7/1/23 Baa 7,500 6,478
Tyler Health Facs. Dev. Corp. Hosp. Rev.
(East Texas Med. Ctr. Reg'l. Health Sys.)
Series B, 6.625% 11/1/11 Baa 7,045 6,710
120,951
VERMONT - 1.4%
Burlington Elec. Rev. Series A, 6.25% 7/1/14,
(MBIA Insured) Aaa 3,000 3,055
Vermont Colleges Rev. Rfdg. 5.125% 7/1/18 A 2,000 1,710
Vermont Edl. & Health Bldgs. Fin. Agcy. Rev.:
Rfdg. (Central Vermont Hosp. Proj.)
Series A, 8% 10/1/09 Baa1 2,500 2,666
(St. Michael's College Proj.) 6.50% 10/1/13 A- 3,000 3,000
(Middlebury College Proj.) 6% 11/1/22 AA 4,500 4,416
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
VERMONT - CONTINUED
Vermont Muni. Bond Bank:
Series 1991-1:
7% 12/1/11 A $ 1,360 $ 1,469
6.875% 12/1/22 A 2,385 2,564
Series 1, 5.375% 12/1/13 A 3,500 3,185
Series B, 7.20% 12/1/20 A 3,000 3,240
Vermont Pub. Pwr. Supply Auth. Rev. (McNeil Proj.)
Series C, 5% 7/1/15, (AMBAC Insured) Aaa 2,000 1,748
27,053
VIRGINIA - 1.0%
Hopewell Ind. Dev. Auth. Resources Recovery
Rev. (Stone Container Corp.) 8.25% 6/1/16 - 4,350 4,350
Lynchburg Ind. Dev. Auth. Facs. 1st Mtg. Rev.
Rfdg. (Central Health, Inc.) 8.125% 1/1/16 A1 3,000 3,285
Peninsula Ports Auth. Health Sys. Rev. (Riverside
Health Sys. Proj.) Series A, 6.625% 7/1/18 Aa 3,900 4,012
Peninsula Ports Auth. Hosp. Facs. Auth. Rev. Rfdg.
(Whittaker Mem. Proj.) 8.70% 8/1/23,
(FHA Guaranteed) Aa 1,500 1,620
Portsmouth Pub. Impt. Rfdg. 5.45% 8/1/09 A1 1,000 953
Richmond Redev. & Hsg. Auth. Mtg. Rev.
(Multi-Family Hsg. Pinebrook Proj.) 9.25%
10/1/20, (GNMA Coll.) AAA 750 797
Virginia Beach Dev. Auth. Hosp. Facs. Rev.
(Virginia Beach Gen. Hosp. Proj.) 5.125%
2/15/18, (AMBAC Insured) Aaa 2,800 2,482
Virginia Hsg. Dev. Auth. Commonwealth Mtg.
Series B, Sub-series B-2, 7.625% 7/1/17 Aa 2,000 2,090
Virginia Resources Auth. Wtr. & Swr. Sys. Rev.
Series A, 7.70% 11/1/10 AA 180 200
19,789
WASHINGTON - 5.0%
Clark County Spl. Tax 114 Evergreen 6.50%
12/1/05, (AMBAC Insured) Aaa 3,500 3,729
King County Pub. Hosp. Dist. #1 Hosp. Facs. Rev.
Rfdg. (Valley Med. Ctr.) 6.25% 9/1/09
(AMBAC Insured) Aaa 1,730 1,754
Washington Pub. Pwr. Supply Sys. Nuclear
Proj. #1 Rev.:
Rfdg. Series A, 7.50% 7/1/15 Aa 1,965 2,120
7.57% 7/1/12 (g) Aa 5,000 3,900
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
WASHINGTON - CONTINUED
Washington Pub. Pwr. Supply Sys. Nuclear
Proj. #2 Rev.:
Rfdg. Series C:
0% 7/1/04 Aa $ 1,570 $ 856
0% 7/1/05 Aa 16,330 8,287
Series A, 6.30% 7/1/12 Aa 7,000 7,026
8.14% 7/1/10, (FGIC Insured) (g) Aa 17,500 15,028
5.375% 7/1/11 Aa 5,560 5,004
7.77% 7/1/12 (g) Aa 10,000 7,800
Washington Pub. Pwr. Supply Sys. Nuclear
Proj. #3 Rev.:
Rfdg. Series A:
0% 7/1/09, (BIG Insured) Aaa 3,400 1,330
0% 7/1/10, (BIG Insured) Aaa 6,940 2,533
0% 7/1/11, (BIG Insured) Aaa 4,000 1,360
0% 7/1/12, (BIG Insured) Aaa 4,000 1,265
0% 7/1/13, (BIG Insured) Aaa 4,000 1,175
0% 7/1/14, (BIG Insured) Aaa 3,350 925
Rfdg. Series B, 7.125% 7/1/16 Aa 14,250 15,443
7.57% 7/1/12 (g) Aa 20,500 15,990
95,525
WEST VIRGINIA - 0.6%
West Virginia Parkway Econ. Dev. & Tourism
Auth. Series C, 8.06% 5/15/13,
(FGIC Insured) (g) Aaa 10,000 8,425
West Virginia School Bldg. Auth. Rev.
(Cap. Impt.) Series A, 6.75% 7/1/15 A 2,000 2,085
10,510
WYOMING - 1.2%
Natrona County Hosp. Rev. (Wyoming Med.
Ctr. Proj.) 8.125% 9/15/10 Baa1 4,500 4,932
Wyoming Commty. Dev. Auth. Single Family Mtg.
Series B, 7.40% 6/1/31, (FHA Guaranteed) Aaa 2,015 2,091
Wyoming Farm Loan Board Cap. Facs. Rev.:
Rfdg.:
6.25% 10/1/12 AA- 2,000 2,038
5.75% 10/1/20 AA- 7,000 6,554
0% 10/1/04 AA- 3,995 2,242
0% 10/1/05 AA- 3,995 2,112
MUNICIPAL BONDS - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
WYOMING - CONTINUED
Wyoming Farm Loan Board Cap. Facs. Rev. - continued
0% 10/1/06 AA- $ 3,945 $ 1,958
21,927
TOTAL MUNICIPAL BONDS
(Cost $1,852,356) 1,850,056
MUNICIPAL NOTES (D) - 2.4%
FLORIDA - 0.1%
Dade County Health Facs. Auth. Hosp. Rev.
(Miami Childrens Hosp. Proj.) Series 1990,
3.10%, LOC Barnett Bank, VRDN VMIG 1 2,600 2,600
ILLINOIS - 1.2%
Chicago O'Hare Int'l. Arpt. Spl. Facs. Rev.
(American Airlines, Inc.), VRDN:
Series 1984 B, 3.20%, LOC Long-Term Cr.
Bank of Japan P-2 3,600 3,600
Series 1984 C, 3.20%, LOC Long-Term Cr.
Bank of Japan P-2 8,400 8,400
Illinois Dev. Fin. Auth. Multi-Family Hsg. Rev.
Rfdg. (Garden Glen Apts.) Series 93,
3.10%, VRDN A-1+ 6,400 6,400
Illinois Health Facs. Auth. Rev. (LaGrange Mem.
Health Sys.) Series 1990, 3.30%, LOC First
Nat'l. Bank of Chicago, VRDN VMIG 1 3,700 3,700
22,100
MARYLAND - 0.1%
Baltimore County Econ. Dev. Rev. Rfdg. (Blue
Circle, Inc. Proj.) Series 1992, 2.95%, LOC
Den Danske Bank Group, VRDN VMIG 1 1,800 1,800
MASSACHUSETTS - 0.1%
Massachusetts Health & Edl. Facs. Auth. Rev.
(Harvard Univ.) Issue I, 2.65%, VRDN VMIG 1 1,000 1,000
NEW JERSEY - 0.0%
New Jersey Econ. Dev. Rev. (Eldorado Terminals
Co. Proj.) Series 1984 A, 2.90%, VRDN P-1 700 700
NEW YORK - 0.2%
New York City Trust Cultural Resources Rev.
(Guggenheim Foundation) Series 1990 B,
3%, LOC Swiss Bank, VRDN VMIG 1 3,500 3,500
MUNICIPAL NOTES (D) - CONTINUED
MOODY'S RATINGS (A) PRINCIPAL VALUE (NOTE 1)
AMOUNT (000S) (000S)
NORTH CAROLINA - 0.1%
Halifax County Ind. Facs. Poll. Cont. Facs. Auth.
(Westmoreland Hadson Proj.) (Roanoke Valley
Proj.) Series 1991, 3.20%, LOC Cr. Suisse,
VRDN (e) - $ 1,400 $ 1,400
PENNSYLVANIA - 0.3%
Schuylkill County Ind. Dev. Auth. Resources
Recovery Rev. (Westwood Energy Prop.)
Series 1985, 3.10%, LOC Fuji Bank, VRDN P-1 6,525 6,525
VIRGINIA - 0.1%
Southampton County Ind. Dev. Auth. Facs.
Rev. (Hadson Pwr. #11 - Southampton Proj.)
Series 1990-A, 3.35%, LOC Cr. Suisse, VRDN (e) - 2,000 2,000
WISCONSIN - 0.2%
Nekoosa Poll. Cont. Rev. Rfdg. (Nekoosa
Papers, Inc.) 3.25%, LOC Long-Term Cr.
Bank of Japan, VRDN VMIG 2 4,100 4,100
TOTAL MUNICIPAL NOTES
(Cost $45,725) 45,725
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $1,898,081) $ 1,895,781
FUTURES CONTRACTS
AMOUNTS IN THOUSANDS EXPIRATION UNDERLYING FACE UNREALIZED
DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
200 Municipal Bond Index
Futures Contracts Sept. 1994 $ 18,119 $ (144)
THE VALUE OF FUTURES CONTRACTS PURCHASED AS A PERCENTAGE OF TOTAL
INVESTMENT IN SECURITIES -- 1.0%
SELL
310 U.S. Treasury Note
Futures Contracts Sept. 1994 $ 31,814 $ 28
THE VALUE OF FUTURES CONTRACTS SOLD AS A PERCENTAGE OF TOTAL INVESTMENT IN
SECURITIES - 1.7%
$ (116)
SECURITY TYPE ABBREVIATIONS
VRDN - Variable Rate Demand Notes
LEGEND
(a) Standard & Poor's Corporation credit ratings are used in the
absence of a rating by Moody's Investors Service, Inc.
(b) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date.
(c) A portion of the Security was pledged to cover margin requirements for
futures contracts. At the period end, the value of securities pledged
amounted to $11,242,000.
(d) The coupon rate shown on floating or adjustable rate securities
represents the rate at period end.
(e) Private activity obligations whose interest is subject to the federal
alternative minimum tax for individuals.
(f) Security collateralized by an amount sufficient to pay interest and
principal.
(g) Coupon is inversely indexed to a floating interest rate. The price will
be more volatile than the price of a comparable fixed rate security. The
rate shown is the rate at period end.
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value
of investment in securities, is as follows (ratings are unaudited):
MOODY'S RATINGS S&P RATINGS
Aaa, Aa, A 51.7% AAA, AA, A 57.1%Baa 15.2% BBB 12.3%Ba 7.2% BB 6.0%B 2.1%
B 2.3%Caa 0.0% CCC 0.0%Ca, C 0.0% CC, C 0.0%
D 0.0%
The percentage not rated by either S&P or Moody's amounted to 10.9%.
FMR has determined that unrated debt securities that are lower quality
account for 8.8% of the total value of investment in securities.
The distribution of municipal securities by revenue source, as a percentage
of total value of investment in securities, is as follows:
Health Care 27.5%
General Obligation 13.1
Electric Revenue 12.9
Others (individually less than 10%) 46.5
TOTAL 100.0%
INCOME TAX INFORMATION
At May 31, 1994, the aggregate cost of investment securities for income tax
purposes was $1,898,086,000. Net unrealized depreciation aggregated
$2,305,000, of which $66,553,000 related to appreciated investment
securities and $68,858,000 related to depreciated investment securities.
At November 30, 1993, the fund was required to defer $37,933,000 of losses
on futures contracts.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS (EXCEPT PER-SHARE AMOUNTS) MAY 31, 1994 (UNAUDITED)
ASSETS
Investment in securities, at value (cost $1,898,081) $ 1,895,781
(Note 1) - See accompanying schedule
Cash 10
Receivable for investments sold 22,255
Interest receivable 35,519
Other receivables 5
TOTAL ASSETS 1,953,570
LIABILITIES
Payable for investments purchased $ 31,230
Payable for fund shares redeemed 3,711
Dividends payable 4,636
Accrued management fee 651
Payable for daily variation on futures contracts 37
Other payables and accrued expenses 219
TOTAL LIABILITIES 40,484
NET ASSETS $ 1,913,086
Net Assets consist of (Note 1):
Paid in capital $ 1,924,670
Accumulated undistributed net realized gain (loss) on (9,168)
investments
Net unrealized appreciation (depreciation) on:
Investment securities (2,300)
Futures contracts (116)
NET ASSETS, for 159,401 shares outstanding $ 1,913,086
NET ASSET VALUE, offering price and redemption price per $12.00
share ($1,913,086 (divided by) 159,401 shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED MAY 31, 1994 (UNAUDITED)
INTEREST INCOME $ 68,353
EXPENSES
Management fee (Note 4) $ 4,185
Transfer agent, accounting and custodian fees and 1,247
expenses (Note 4)
Non-interested trustees' compensation 7
Registration fees 28
Audit 37
Legal 153
TOTAL EXPENSES 5,657
NET INTEREST INCOME 62,696
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
(NOTES 1 AND 3)
Net realized gain (loss) on:
Investment securities 31,228
Futures contracts 4,534 35,762
Change in net unrealized appreciation (depreciation) on:
Investment securities (152,333)
Futures contracts (269) (152,602)
NET GAIN (LOSS) (116,840)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM $ (54,144)
OPERATIONS
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS YEAR ENDED
ENDED MAY 31, NOVEMBER 30,
1994 1993
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
Operations $ 62,696 $ 126,423
Net interest income
Net realized gain (loss) on investments 35,762 76,125
Change in net unrealized appreciation (depreciation) (152,602) 40,071
on
investments
NET INCREASE (DECREASE) IN NET ASSETS RESULTING (54,144) 242,619
FROM OPERATIONS
Distributions to shareholders: (62,696) (126,423)
From net interest income
From net realized gain (80,779) (30,740)
TOTAL DISTRIBUTIONS (143,475) (157,163)
Share transactions 459,273 820,243
Net proceeds from sales of shares
Reinvestment of distributions 108,007 116,658
Cost of shares redeemed (584,765) (969,090)
Net increase (decrease) in net assets resulting from (17,485) (32,189)
share
transactions
TOTAL INCREASE (DECREASE) IN NET ASSETS (215,104) 53,267
NET ASSETS
Beginning of period 2,128,190 2,074,923
End of period $ 1,913,086 $ 2,128,190
OTHER INFORMATION
Shares
Sold 36,978 62,985
Issued in reinvestment of distributions 8,451 8,997
Redeemed (46,947) (74,180)
Net increase (decrease) (1,518) (2,198)
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
SIX MONTHS YEARS ENDED NOVEMBER 30,
ENDED
MAY 31,
1994
(UNAUDITED) 1993 1992 1991 1990 1989
SELECTED PER-SHARE DATA
Net asset value, $ 13.230 $ 12.720 $ 12.690 $ 12.610 $ 12.800 $ 12.210
beginning of period
Income from Investment .377 .764 .811 .845 .857 .893
Operations
Net interest income
Net realized and (.730) .700 .190 .310 .200 .600
unrealized gain
(loss)
on investments
Total from investment (.353) 1.464 1.001 1.155 1.057 1.493
operations
Less Distributions (.377) (.764) (.811) (.845) (.857) (.893)
From net interest
income
From net realized gain (.500) (.190) (.160) (.230) (.390) (.010)
on investments
Total distributions (.877) (.954) (.971) (1.075) (1.247) (.903)
Net asset value, end of $ 12.000 $ 13.230 $ 12.720 $ 12.690 $ 12.610 $ 12.800
period
TOTAL RETURN (dagger) (2.90)% 11.92 8.21 9.62 8.91 12.60
% % % % %
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of $ 1,913 $ 2,128 $ 2,075 $ 1,997 $ 1,784 $ 1,738
period (in millions)
Ratio of expenses to .56%* .56 .57 .56 .57 .58
average net assets % % % % %
Ratio of net interest 6.17%* 5.85 6.40 6.72 6.96 7.10
income to average net % % % % %
assets
Portfolio turnover rate 50%* 53 47 44 58 71
% % % % %
</TABLE>
* ANNUALIZED
(dagger) TOTAL RETURNS FOR PERIODS LESS THAN ONE YEAR ARE NOT ANNUALIZED.
NOTES TO FINANCIAL STATEMENTS
For the period ended May 31, 1994 (Unaudited)
1. SIGNIFICANT ACCOUNTING
POLICIES.
Fidelity High Yield Tax-Free Portfolio (the fund) is a fund of Fidelity
Court 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 organ- ized as a Massachusetts business trust. The following
summarizes the significant accounting policies of the fund:
SECURITY VALUATION. Securities are valued based upon a computerized matrix
system and/or appraisals by a pricing service, both of which consider
market transactions and dealer-supplied valuations. Short-term securities
maturing within sixty days are valued either at amortized cost or original
cost plus accrued interest, both of which approximate current value.
Securities for which quotations are not readily available through the
pricing service are valued at their fair value as determined in good faith
under consistently applied procedures under the general supervision of the
Board of Trustees.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, the fund is not subject to income taxes to
the extent that it distributes all of its taxable income for its fiscal
year. The schedule of investments includes information regarding income
taxes under the caption "Income Tax Information."
INTEREST INCOME. Interest income, which includes amortization of premium
and accretion of original issue discount, is accrued as earned.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are declared daily and paid
monthly from net interest income. Distributions 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. These differences are primarily due to differing treatments for
futures and options transactions and losses deferred due to wash sales and
futures and options. The fund also utilized earnings and profits
distributed to shareholders on redemption of shares as a part of the
dividends paid deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital. Any
taxable gain remaining at fiscal year end is distributed in the following
year.
1. SIGNIFICANT ACCOUNTING
POLICIES - CONTINUED
SECURITY TRANSACTIONS. Security transactions are accounted for as of trade
date. Gains and losses on securities sold are determined on the basis of
identified cost.
CHANGE IN ACCOUNTING FOR DISTRIBUTIONS TO SHAREHOLDERS. Effective December
1, 1993, the fund adopted Statement of Position 93-2: Determination,
Disclosure, and Financial Statement Presentation of Income, Capital Gain,
and Return of Capital Distributions by Investment Companies. As a result,
the fund changed the classification of distributions to shareholders to
better disclose the differences between financial statement amounts and
distributions determined in accordance with income tax regulations.
Accordingly, amounts as of November 30, 1993 have been reclassified to
reflect an increase in paid in capital of $6,969,000 and a decrease in
accumulated net realized gain on investments of $6,969,000.
2. OPERATING POLICIES.
FUTURES CONTRACTS AND OPTIONS. The fund may invest in futures contracts and
write options. These investments involve to varying degrees, elements of
market risk and risks in excess of the amount recognized in the Statement
of Assets and Liabilities. The face or contract amounts reflect the extent
of the involvement the fund has in the particular classes of instruments.
Risks may be caused by an imperfect correlation between movements in the
price of the instruments and the price of the underlying securities and
interest rates. Risks also may arise if there is an illiquid secondary
market for the instruments, or due to the inability of counterparties to
perform.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. Options traded
on an exchange are valued using the last sale price or, in the absence of a
sale, the last offering price. Options traded over-the-counter are valued
using dealer-supplied valuations.
3. PURCHASES AND SALES OF
INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $486,995,000 and $563,891,000, respectively.
The market value of futures contracts opened and closed amounted to
$890,535,000 and $889,698,000, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, Fidelity Management &
Research Company (FMR) receives a monthly fee that is calculated on the
basis of a group fee rate plus a fixed individual fund fee rate applied to
the average net assets of the fund. The group fee rate is the weighted
average of a series of rates ranging from .15% to .37% and is based on the
monthly average net assets of all the mutual funds advised by FMR. The
annual individual fund fee rate is .25%.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES - CONTINUED
MANAGEMENT FEE - CONTINUED
For the period, the management fee was equivalent to an annualized rate of
.41% of average net assets.
The Board of Trustees approved a new group fee rate schedule with rates
ranging from .1325% to .3700%. Effective November 1, 1993, FMR has
voluntarily agreed to implement this new group fee rate schedule as it
results in the same or a lower management fee.
DISTRIBUTION AND SERVICE PLAN. Pursuant to the Distribution and Service
Plan (the Plan), and in accordance with Rule 12b-1 of the 1940 Act, FMR or
the fund's distributor, Fidelity Distributors Corporation (FDC), an
affiliate of FMR, may use their resources to pay administrative and
promotional expenses related to the sale of the fund's shares. Subject to
the approval of the Board of Trustees, the Plan also authorizes payments to
third parties that assist in the sale of the fund's shares or render
shareholder support services. FMR or FDC has informed the fund that
payments made to third parties under the Plan amounted to $8,000 for the
period.
TRANSFER AGENT AND ACCOUNTING FEES. United Missouri Bank, N.A. (the Bank)
is the custodian and transfer and shareholder servicing agent for the fund.
The Bank has entered into a sub-contract with Fidelity Service Co. (FSC),
an affiliate of FMR, under which FSC performs the activities associated
with the fund's transfer and shareholder servicing agent and accounting
functions. The fund pays transfer agent fees based on the type, size,
number of accounts and number of transactions made by shareholders. FSC
pays for typesetting, printing and mailing of all shareholder reports,
except proxy statements. The accounting fee is based on the level of
average net assets for the month plus out-of-pocket expenses. For the
period, FSC received transfer agent and accounting fees amounting to
$956,000 and $283,000, respectively.
TO CALL FIDELITY
FOR FUND INFORMATION AND QUOTES
The Fidelity Telephone Connection offers you special automated telephone
services for quotes and balances. The services are easy to use,
confidential and quick. All you need is a Touch Tone telephone.
YOUR PERSONAL IDENTIFICATION NUMBER
(PIN)
The first time you call one of our automated telephone services, we'll ask
you
to set up your Personal Identification
Number (PIN). The PIN assures that
only you have automated telephone
access to your account information.
Please have your Customer Number
(T-account #) handy when you call --
you'll need it to establish your PIN. If
you would ever like to change your PIN, just choose the "Change your
Personal
Identification Number" option when
you call. If you forget your PIN, please
call a Fidelity representative at 1-800-
544-6666 for assistance.
(PHONE_GRAPHIC)(PHONE_GRAPHIC)MUTUAL FUND QUOTES*
1-800-544-8544
Just make a selection from this record-ed menu:
PRESS
For quotes on funds you own.
1.
For an individual fund quote.
2.
For the ten most frequently
requested Fidelity fund quotes.
3.
For quotes on Fidelity Select
Portfolios(registered trademark).
4.
To change your Personal
Identification Number (PIN).
5.
To speak with a Fidelity
representative.
6.
(PHONE_GRAPHIC)(PHONE_GRAPHIC)MUTUAL FUND ACCOUNT
BALANCES 1-800-544-7544
Just make a selection from this record-
ed menu:
PRESS
For balances on funds you own.
1.
For your most recent fund activity
(purchases, redemptions, and
dividends).
2.
To change your Personal
Identification Number (PIN).
3.
To speak with a Fidelity
representative.
4.
* WHEN YOU CALL THE QUOTES LINE, PLEASE REMEMBER THAT A FUND'S YIELD AND
RETURN WILL
VARY AND, EXCEPT FOR MONEY MARKET FUNDS, SHARE PRICE WILL ALSO VARY. THIS
MEANS THAT
YOU MAY HAVE A GAIN OR LOSS WHEN YOU SELL YOUR SHARES. THERE IS NO
ASSURANCE THAT
MONEY MARKET FUNDS WILL BE ABLE TO MAINTAIN A STABLE $1 SHARE PRICE; AN
INVESTMENT IN
A MONEY MARKET FUND IS NOT INSURED OR GUARANTEED BY THE U.S. GOVERNMENT.
TOTAL
RETURNS ARE HISTORICAL AND INCLUDE CHANGES IN SHARE PRICE, REINVESTMENT OF
DIVIDENDS
AND CAPITAL GAINS, AND THE EFFECTS OF ANY SALES CHARGES. FOR MORE
INFORMATION ON ANY
FIDELITY FUND INCLUDING MANAGEMENT FEES AND CHARGES, CALL 1-800-544-8888
FOR A FREE
PROSPECTUS. READ IT CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
TO WRITE FIDELITY
Please locate the address that is closest to you. We'll give your
correspondence immediate attention and send you written confirmation upon
completion of your request. Please send ALL correspondence about retirement
accounts to Dallas.
(LETTER_GRAPHIC)MAKING CHANGES
TO YOUR ACCOUNT
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 2269
Boston, MA 02107-2269
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
Fidelity Investments
P.O. Box 30280
Salt Lake City, UT 84130-0280
(LETTER_GRAPHIC)FOR NON-RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
Additional Payments
P.O. Box 2656
Boston, MA 02293-0656
Fidelity Investments
Additional Payments
P.O. Box 620024
Dallas, TX 75262-0024
Fidelity Investments
Additional Payments
P.O. Box 31455
Salt Lake City, UT 84131-0455
OVERNIGHT EXPRESS
Fidelity Investments
Additional Payments
World Trade Center
164 Northern Avenue
Boston, MA 02210
SELLING SHARES
Fidelity Investments
P.O. Box 193
Boston, MA 02103-0878
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
Fidelity Investments
P.O. Box 30281
Salt Lake City, UT 84130-0281
OVERNIGHT EXPRESS
Fidelity Investments
Attn: Redemptions
World Trade Center
164 Northern Avenue
Boston, MA 02210
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 193
Boston, MA 02101-0193
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
(LETTER_GRAPHIC)FOR RETIREMENT
ACCOUNTS
BUYING SHARES
Fidelity Investments
P.O. Box 620024
Dallas, TX 75262-0024
SELLING SHARES
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
GENERAL CORRESPONDENCE
Fidelity Investments
P.O. Box 660602
Dallas, TX 75266-0602
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, President
J. Gary Burkhead, Senior Vice President
Gary L. French, Treasurer
John H. Costello, Assistant Treasurer
Arthur S. Loring, Secretary
BOARD OF TRUSTEES
J. Gary Burkhead
Richard J. Flynn *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Edward H. Malone *
Gerald C. McDonough *
Thomas R. Williams *
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER
SERVICING AGENT
Fidelity Service Co.
Boston, MA
CUSTODIAN
United Missouri Bank, N.A.
Kansas City, MO
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
* INDEPENDENT TRUSTEES
AUTOMATED LINES FOR QUICKEST SERVICE
FIDELITY TAX-FREE BOND FUNDS
Aggressive Tax-Free
California Tax-Free High Yield
California Tax-Free Insured
High Yield Tax-Free
Insured Tax-Free
Limited Term Municipals
Massachusetts Tax-Free High Yield
Michigan Tax-Free High Yield
Minnesota Tax-Free
Municipal Bond
New York Tax-Free High Yield
New York Tax-Free Insured
Ohio Tax-Free High Yield
Spartan(Registered trademark) Aggressive Municipal
Spartan California Intermediate Municipal
Spartan California Municipal High Yield
Spartan Connecticut Municipal High Yield
Spartan Florida Municipal Income
Spartan Intermediate Municipal
Spartan Maryland Municipal Income
Spartan Municipal Income
Spartan New Jersey Municipal High Yield
Spartan New York Intermediate Municipal
Spartan New York Municipal High Yield
Spartan Pennsylvania Municipal High Yield
Spartan Short-Intermediate Municipal
THE FIDELITY TELEPHONE CONNECTION
MUTUAL FUND 24-HOUR SERVICE
Account Balances 1-800-544-7544
Exchanges/Redemptions 1-800-544-7777
Mutual Fund Quotes 1-800-544-8544
Account Assistance 1-800-544-6666
Product Information 1-800-544-8888
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
