MERRILL
LYNCH
MUNICIPAL
BOND
FUND, INC.
FUND LOGO
Semi-Annual Report December 31, 1993
This report is not authorized for use as an offer of sale
or a solicitation of an offer to buy shares of the Fund
unless accompanied or preceded by the Fund's current
prospectus. Past performance results shown in this report
should not be considered a representation of future
performance. Investment return and principal value of
shares will fluctuate so that shares, when redeemed,
may be worth more or less than their original cost.
Merrill Lynch
Municipal Bond Fund, Inc.
Box 9011
Princeton, NJ
08543-9011
MERRILL LYNCH MUNICIPAL BOND FUND, INC.
Officers and
Directors
Arthur Zeikel, President and Director
Ronald W. Forbes, Director
Charles C. Reilly, Director
Kevin A. Ryan, Director
Richard R. West, Director
Marc A. White, Director
Terry K. Glenn, Executive Vice President
Vincent R. Giordano, Senior Vice President
Donald C. Burke, Vice President
Kenneth A. Jacob, Vice President
Gerald M. Richard, Treasurer
Mark B. Goldfus, Secretary
<PAGE>
Custodian
The Bank of New York
110 Washington Street
New York, New York 10286
Transfer Agent
Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
TO OUR SHAREHOLDERS
As 1993 drew to a close the US economy began to show some signs
of improvement with little evidence of an appreciable increase in
the rate of inflation. Interest rate-sensitive sectors of the US
economy are expanding, such as capital goods, consumer durables
and residential construction. However, excluding the interest
rate-sensitive sectors, the US economy grew only marginally
during 1993. Growth was hampered by declining government
spending, a deteriorating trade balance, and sluggishness in
other sectors of the economy. Despite the areas of economic
weakness that persist, concerns arose late in 1993 that the rate
of business activity might increase inflationary pressures which
were reflected in an upturn of long-term interest rates.
Other developments late in the year had significant long-term
implications for the US financial markets. The outline for
proposed healthcare reform is very important for the US economy.
As the various healthcare reform proposals are debated, investors
will focus on their potential effects on the Federal budget, the
US economy and the quality of healthcare delivery in the United
States. In addition, the ratification of the North American Free
Trade Agreement by the US Congress was important not only for the
prospect of expanding trade with Canada and Mexico, but also as a
positive influence on the recently concluded round of
negotiations on the General Agreement on Tariffs and Trade.
Further economic integration and growth through trade
liberalization would be positive for the capital markets in the
United States and around the world.
The Municipal Market
Long-term municipal bonds were essentially unchanged during the
three months ended December 31, 1993. However, during the
quarter, tax-exempt bond yields fluctuated in a relatively wide
range in reaction to vacillating investor concerns regarding the
current economic recovery's strength and associated inflationary
pressures going forward into 1994. Initially, long-term municipal
bond yields, as measured by the Bond Buyer Revenue Bond Index,
declined to another record low level of 5.41% in mid-October
1993. Renewed investor concerns, however, triggered yields to
rise into late November by over 30 basis points (0.30%) to 5.74%.
Amid signs of a slowing economic expansion and reduced
inflationary expectations, municipal bond yields were able to
resume their decline, ending the period at 5.52%.
<PAGE>
During the December quarter, long-term US Treasury bond yields
rose approximately 30 basis points to end the quarter at 6.35%.
The municipal bond market's ability to outperform its taxable
counterpart was aided in large part by a reduction in the pace of
tax-exempt bond issuance during the third quarter. Long-term
municipal bond issuance for the December quarter was
approximately $66 billion, an increase of slightly more than 5%
versus the same period last year. However, bond issuance
throughout earlier 1993 had been increasing at nearly a 25% rate.
For all of 1993, municipalities issued a record $290 billion in
long-term securities, an increase of approximately 25% compared
to the previous record year of 1992. Yet despite this record
issuance, long-term municipal bond yields still declined over 90
basis points during 1993.
The projected strong technical position of the municipal bond
market in 1994 was also responsible for the strong performance of
municipal bonds during the December quarter. The overall
supply/demand structure of the tax-exempt bond market is expected
to be very positive throughout 1994, particularly in the first
quarter. An estimated $30 billion in municipal bond coupon
payments, bond maturities and bond calls is expected to be
available for reinvestment on January 1, 1994. While not all of
this amount will be immediately invested in long-term municipal
bonds, the enactment of the increased marginal Federal income tax
rates on January 1, 1994 should help ensure that much of that amount
will find its way into the tax-exempt market early in 1994. Coupled
with this increased demand, total bond issuance for 1994 has been
projected to decline to approximately $175 billion. Much of the
record amount of bond issuance over the last two years has been
the result of municipalities refinancing their existing higher-
couponed debt. At current yield levels, however, not many of
these refundings remain to be done. Consequently, bond issuance
is expected to decline dramatically. The combination of increased
Federal income tax rates and the anticipated reduction in supply
in 1994 served to lower tax-exempt bond yields during most of the
December quarter. This combination should continue to be the
dominant factor affecting municipal bond yields in 1994.
Portfolio Strategy
The Insured and National Portfolios remained constructive on
long-term municipal securities throughout most of the six-month
period ended December 31, 1993. Assets have been directed toward
those issues offering an attractive level of tax-exempt income,
strong qualities of protection from redemption prior to maturity
and significant potential for appreciation if the trend toward
lower long-term interest rates continues. As interest rates
continued to decline, a larger portion of the Portfolios'
holdings have become prerefunded, thus adding an increased asset
valuation along with the highest credit quality. As opportunities
became available, we selectively sold these shorter-maturity
prerefunded bonds, and the proceeds were reinvested in long-term
income-oriented municipal bonds.
<PAGE>
The Limited Maturity Portfolio continued to remain somewhat
defensively positioned as concerns of exceptionally strong
economic growth in the last quarter of 1993 pushed short-term
interest rates higher. We maintained an average portfolio
maturity of approximately 16 months and an average cash position
of 12% during the period. The Portfolio has continued to be
heavily weighted in securities with a rating of A or better,
which tend to outperform lesser-rated securities in periods of
volatility.
We appreciate your ongoing interest in Merrill Lynch Municipal
Bond Fund, Inc., and we look forward to serving your investment
needs and objectives in the months and years to come.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Vincent R. Giordano)
Vincent R. Giordano
Senior Vice President and
Portfolio Manager
(Kenneth A. Jacob)
Kenneth A. Jacob
Vice President and Portfolio Manager
February 8, 1994
PERFORMANCE DATA
None of the past results shown should be considered a representation of
future performance. Investment return and principal value of shares will
fluctuate so that shares, when redeemed, may be worth more or less than
their original cost.
Average Annual Total Return
Insured Portfolio
% Return Without % Return With
Class A Shares* Sales Charge Sales Charge**
Year Ended 12/31/93 +12.85% + 8.33%
Five Years Ended 12/31/93 +10.09 + 9.19
Ten Years Ended 12/31/93 +10.65 +10.20
% Return % Return
Class B Shares* Without CDSC With CDSC**
Year Ended 12/31/93 +11.88% +7.88%
Five Years Ended 12/31/93 + 9.27 +9.27
Inception (10/21/88) through 12/31/93 + 9.10 +9.10
<PAGE>
National Portfolio
% Return Without % Return With
Class A Shares* Sales Charge Sales Charge**
Year Ended 12/31/93 +12.59% + 8.08%
Five Years Ended 12/31/93 + 9.87 + 8.98
Ten Years Ended 12/31/93 +10.91 +10.46
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Class B Shares* Without CDSC With CDSC**
Year Ended 12/31/93 +11.65% +7.65%
Five Years Ended 12/31/93 + 9.03 +9.03
Inception (10/21/88) through 12/31/93 + 8.89 +8.89
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to
0% after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
Limited Maturity Portfolio
% Return Without % Return With
Class A Shares* Sales Charge Sales Charge**
Year Ended 12/31/93 +4.30% +3.51%
Five Years Ended 12/31/93 +6.06 +5.91
Ten Years Ended 12/31/93 +6.04 +5.96
[FN]
*Maximum sales charge is 0.75%.
**Assuming maximum sales charge.
% Return % Return
Class B Shares* Without CDSC With CDSC**
Year Ended 12/31/93 +3.93% +2.93%
Inception (11/2/92) through 12/31/93 +4.31 +4.31
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to
0% after one year.
**Assuming payment of applicable contingent deferred sales charge.
<PAGE>
<TABLE>
Performance Summary--Class A Shares
<CAPTION>
1/1-12/31 Beginning/Ending Net Asset Value Dividends Paid* % Change**
Period Limited Limited Limited
Covered Insured National Maturity Insured National Maturity Insured National Maturity
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/77-12/77 $9.80/9.80 -- -- $0.09 -- -- + 0.94% -- --
1978 9.80/8.97 -- -- 0.48 -- -- - 3.69 -- --
1979++ 8.97/8.39 $ 9.60/ 9.60 $9.90/ 9.88 0.53 $ 0.11 $0.10 - 0.75 + 1.17% +0.86%
1980 8.39/6.86 9.60/ 8.54 9.88/ 9.74 0.60 0.79 0.64 -11.44 - 3.00 +5.13
1981 6.86/5.66 8.54/ 7.34 9.74/ 9.78 0.65 0.90 0.77 - 8.51 - 3.82 +8.64
1982 5.66/6.81 7.34/ 8.71 9.78/ 9.89 0.67 0.93 0.80 +33.96 +33.16 +9.67
1983 6.81/6.97 8.71/ 9.01 9.89/ 9.76 0.65 0.89 0.67 +12.41 +14.04 +5.57
1984 6.97/6.88 9.01/ 8.96 9.76/ 9.74 0.66 0.90 0.67 + 8.49 +10.00 +6.91
1985 6.88/7.53 8.96/ 9.86 9.74/ 9.75 0.64 0.88 0.63 +19.56 +20.76 +6.71
1986 7.53/8.18 9.86/10.67 9.75/ 9.90 0.61(1) 1.01(1) 0.56 +17.24 +19.08 +7.47
1987 8.18/7.56 10.67/ 9.76 9.90/ 9.68 0.68(2) 0.86(2) 0.53(2) + 0.86 - 0.40 +3.18
1988 7.56/7.79 9.76/10.11 9.68/ 9.68 0.57 0.76 0.56 +10.92 +11.71 +5.90
1989 7.79/7.94 10.11/10.25 9.68/ 9.74 0.57 0.75 0.59 + 9.49 + 9.11 +6.93
1990 7.94/7.86 10.25/10.09 9.74/ 9.72 0.61(3) 0.73 0.60 + 7.07 + 5.85 +6.11
1991 7.86/8.18 10.09/10.49 9.72/ 9.88 0.60(4) 0.82(4) 0.54 +12.07 +12.58 +7.39
1992 8.18/8.27 10.49/10.55 9.88/ 9.97 0.63(5) 0.89(5) 0.45 + 9.06 + 9.37 +5.62
1993 8.27/8.60 10.55/10.91 9.97/10.01 0.71(6) 0.94(6) 0.38 +12.85 +12.59 +4.30
Total $9.95 $12.16 $8.49
Cumulative total return as of 12/31/93: +223.16%** +303.89%** +139.85%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains distributions at net asset value on
the payable date, and do not include sales charge; results would be lower if sales charge was included.
++For National and Limited Maturity Portfolios, period covered is from 11/30/79 to 12/31/79.
(1) Includes capital gains of $0.011 and $0.178 for the Insured and National Portfolios, respectively.
(2) Includes capital gains of $0.098, $0.073, and $0.012 for the Insured, National and Limited Maturity
Portfolios, respectively.
(3) Includes capital gains of $0.064 for the Insured Portfolio.
(4) Includes capital gains of $0.058 and $0.060 for the Insured and National Portfolios, respectively.
(5) Includes capital gains of $0.084 and $0.130 for the Insured and National Portfolios, respectively.
(6) Includes capital gains of $0.181 and $0.157 for the Insured and National Portfolios, respectively.
</TABLE>
<PAGE>
<TABLE>
Performance Summary--Class B Shares
<CAPTION>
1/1-12/31 Beginning/Ending Net Asset Value Dividends Paid* % Change**
Period Limited Limited Limited
Covered Insured National Maturity*** Insured National Maturity*** Insured National Maturity***
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/21/88-12/31/88 $7.81/7.78 $10.14/10.11 -- $0.11 $0.14 -- + 0.97% + 1.08% --
1989 7.78/7.94 10.11/10.25 -- 0.51 0.67 -- + 8.81 + 8.29 --
1990 7.94/7.86 10.25/10.09 -- 0.55(1) 0.66 -- + 6.28 + 5.05 --
1991 7.86/8.17 10.09/10.49 -- 0.54(2) 0.75(2) -- +11.10 +11.74 --
1992 8.17/8.27 10.49/10.55 $9.93/ 9.97 0.56(3) 0.81(3) $0.06 + 8.36 + 8.54 +1.05%
1993 8.27/8.59 10.55/10.90 9.97/10.01 0.64(4) 0.85(4) 0.35 +11.88 +11.65 +3.93
Total $2.91 $3.88 $0.41
Cumulative total return as of 12/31/93:+57.28%** +55.72%** +5.02%**
<FN>
*Figures may include short-term capital gains distributions.
**Figures assume reinvestment of all dividends and capital gains distributions at net asset value on
the payable date, and do not reflect deduction of any sales charge; results would be lower if sales
charge was deducted.
***Commenced operations on 11/02/92.
(1) Includes capital gains of $0.064 for the Insured Portfolio.
(2) Includes capital gains of $0.058 and $0.060 for the Insured and National Portfolios, respectively.
(3) Includes capital gains of $0.084 and $0.130 for the Insured and National Portfolios, respectively.
(4) Includes capital gains of $0.181 and $0.157 for the Insured and National Portfolios, respectively.
</TABLE>
<TABLE>
PERFORMANCE DATA (concluded)
<CAPTION>
Recent Performance Results*
12 Month 3 Month
12/31/93 9/30/93 12/31/92 % Change % Change
<S> <C> <C> <C> <C> <C>
Insured Portfolio Class A Shares $ 8.60 $ 8.84 $ 8.27 + 6.17%(1) -0.67%(1)
Insured Portfolio Class B Shares 8.59 8.84 8.27 + 6.05(1) -0.79(1)
National Portfolio Class A Shares 10.91 11.25 10.55 + 4.90(2) -1.63(2)
National Portfolio Class B Shares 10.90 11.24 10.55 + 4.80(2) -1.63(2)
Limited Maturity Portfolio Class A Shares 10.01 10.00 9.97 + 0.40 +0.10
Limited Maturity Portfolio Class B Shares 10.01 10.01 9.97 + 0.40 0.00
Insured Portfolio Class A Shares--Total Return +12.85(3) +1.25(4)
Insured Portfolio Class B Shares--Total Return +11.88(5) +0.94(6)
National Portfolio Class A Shares--Total Return +12.59(7) +1.05(8)
National Portfolio Class B Shares--Total Return +11.65(9) +0.85(10)
Limited Maturity Portfolio Class A Shares--Total Return + 4.30(11) +1.04(12)
Limited Maturity Portfolio Class B Shares--Total Return + 3.93(13) +0.85(14)
Insured Portfolio Class A Shares--Standardized 30-day Yield 4.70%
Insured Portfolio Class B Shares--Standardized 30-day Yield 4.13%
National Portfolio Class A Shares--Standardized 30-day Yield 5.02%
National Portfolio Class B Shares--Standardized 30-day Yield 4.46%
Limited Maturity Portfolio Class A Shares--Standardized 30-day Yield 2.95%
Limited Maturity Portfolio Class B Shares--Standardized 30-day Yield 2.62%
<PAGE>
<FN>
*Investment results shown for the 3-month and 12-month periods are before the deduction of any sales charges.
(1) Percent change includes reinvestment of $0.181 per share capital gains distributions.
(2) Percent change includes reinvestment of $0.157 per share capital gains distributions.
(3) Percent change includes reinvestment of $0.528 per share ordinary income dividends
and $0.181 per share capital gains distributions.
(4) Percent change includes reinvestment of $0.169 per share ordinary income dividends
and $0.181 per share capital gains distributions.
(5) Percent change includes reinvestment of $0.463 per share ordinary income dividends
and $0.181 per share capital gains distributions.
(6) Percent change includes reinvestment of $0.151 per share ordinary income dividends
and $0.181 per share capital gains distributions.
(7) Percent change includes reinvestment of $0.780 per share ordinary income dividends
and $0.157 per share capital gains distributions.
(8) Percent change includes reinvestment of $0.300 per share ordinary income dividends
and $0.157 per share capital gains distributions.
(9) Percent change includes reinvestment of $0.698 per share ordinary income dividends
and $0.157 per share capital gains distributions.
(10) Percent change includes reinvestment of $0.278 per share ordinary income dividends
and $0.157 per share capital gains distributions.
(11) Percent change includes reinvestment of $0.381 per share ordinary income dividends.
(12) Percent change includes reinvestment of $0.094 per share ordinary income dividends.
(13) Percent change includes reinvestment of $0.346 per share ordinary income dividends.
(14) Percent change includes reinvestment of $0.085 per share ordinary income dividends.
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (in Thousands)
<CAPTION>
Municipal Bonds Insured Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Alabama--0.7%
Auburn University, Alabama, Revenue Refunding Bonds(e):
AAA Aaa $ 5,925 (Athletic Project), 5.25% due 4/01/2010 $ 6,005
AAA Aaa 5,000 (General Fee), 5.25% due 6/01/2013 4,988
AAA Aaa 1,500 (Housing and Dining), 5.25% due 6/01/2012 1,505
AAA Aaa 1,250 Mobile, Alabama, GO, Refunding and Capital Improvement Bonds, 10.875% due 11/01/2007(c) 1,866
AAA Aaa 7,465 Montgomery, Alabama, Baptist Medical Center, Special Care Facilities Financing
Authority Revenue Bonds, Series A, 5.75% due 1/01/2022(h) 7,541
Alaska--0.8%
Fairbanks, Northstar Borough, Alaska, Revenue Refunding Bonds, UT, Series S(e):
AAA Aaa 2,000 5.40% due 3/01/2005 2,095
AAA Aaa 2,000 5.45% due 3/01/2006 2,089
AAA Aaa 2,035 5.50% due 3/01/2008 2,102
Kenai Peninsula Borough, Alaska, GO(b):
AAA Aaa 6,450 8.40% due 1/01/2000 7,809
AAA Aaa 8,460 8.40% due 1/01/2001 10,428
Arizona--1.9%
AAA Aaa 4,000 Arizona State Municipal Financing Program, COP, Series 34, 7.25% due 8/01/2009(g) 4,921
AAA Aaa 3,800 Maricopa County, Arizona, IDA, Health Facilities Revenue Bonds (Saint Joseph's Care
Center Project), Series A, 7.75% due 7/01/2020(e) 4,536
AAA Aaa 4,000 Maricopa County, Arizona, IDA, Hospital Facilities Revenue Refunding Bonds
(Samaritan Health Services), Series A, 7% due 12/01/2013(e) 4,629
AAA Aaa 7,000 Maricopa County, Arizona, Unified School District No. 097 Revenue Bonds (Deere
Valley Project), 1986 Series E, UT, 10% due 7/01/2000 (h) 9,237
Mesa, Arizona, IDA, Health Care Facilities Revenue Bonds (Western Health Network)(g):
AAA Aaa 10,000 Refunding, Series A-2, 7.625% due 1/01/2013 11,529
AAA Aaa 7,340 Series A-1, 7.625% due 1/01/2019 8,456
Phoenix, Arizona, Street and Highway User, Revenue Refunding Bonds, Series A(h)(j):
AAA Aaa 5,000 5.63% due 7/01/2012 1,849
AAA Aaa 5,000 5.63% due 7/01/2013 1,739
AAA Aaa 7,000 Tucson, Arizona, Refunding Bonds, 4.90% due 7/01/2013(h) 6,803
AAA Aaa 5,250 University of Arizona Medical Center Corporation, Hospital Revenue Refunding Bonds,
5% due 7/01/2021(e) 5,038
</TABLE>
Portfolio Abbreviations
To simplify the listings of Merrill Lynch Municipal Bond Fund, Inc.'s
portfolio holdings in the Schedule of Investments, we have abbreviated
the names of many of the securities according to the list at right.
<PAGE>
ACES SM Adjustable Convertible Extendable Securities
AMT Alternative Minimum Tax (subject to)
BAN Bond Anticipation Notes
COP Certificates of Participation
DATES Daily Adjustable Tax-Exempt Securities
EDA Economic Development Authority
GO General Obligation Bonds
HFA Housing Finance Authority
IDA Industrial Development Authority
IDR Industrial Development Revenue Bonds
INFLOS Inverse Floating Rate Municipal Bonds
LEVRRS Leveraged Reverse Rate Securities
LT Limited Tax
M/F Multi-Family
MVRICS Municipal Variable Rate Inverse Class Securities
PARS Periodic Auction Reset Securities
PCR Pollution Control Revenue Bonds
RAN Revenue Anticipation Notes
RIB Residual Interest Bonds
RI-TR Residual Interest-Trust Receipts
SAVRS Select Auction Variable Rate Securities
S/F Single-Family
STRIPES Short-Term Rate Inverse Payment Exempt Securities
TAN Tax Anticipation Notes
TRAN Tax Revenue Anticipation Notes
UPDATES Unit Price Daily Adjustable Tax-Exempt Securities
UT Unlimited Tax
VRDN Variable Rate Demand Notes
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds Insured Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
California--5.8%
AAA Aaa $ 3,500 California Health Facilities Financing Authority Revenue Bonds (UniHealth America),
Series A, 7.625% due 10/01/2015(b) $ 4,110
AAA Aaa 8,000 Central Coast Water Authority, California, Revenue Bonds (State Water Project
Regional Facilities), 6.60% due 10/01/2022(b) 8,925
AAA Aaa 12,000 Fresno, California, Sewer Revenue Bonds, Series A-1, 6.25% due 9/01/2014(b) 13,501
AAA Aaa 7,000 Los Angeles, California, Convention and Exhibition Center Authority, Revenue
Refunding Bonds, COP, 7% due 8/15/2000(a) 8,230
AAA Aaa 2,415 Los Angeles, California, Regional Airports Improvement Corporation, Lease Revenue
Bonds (Los Angeles International Airport), AMT, 6.50% due 1/01/2012(h) 2,655
Los Angeles, California, Wastewater System Revenue Bonds(a) (e):
AAA Aaa 1,850 7.625% due 8/01/1998 2,168
AAA Aaa 29,935 Series D, 6.70% due 12/01/2001 34,874
<PAGE>
Los Angeles, California, Wastewater System Revenue Refunding Bonds(e):
AAA Aaa 5,000 Series A, 5.70% due 6/01/2013 5,152
AAA Aaa 5,000 Series C, 5.60% due 6/01/2015 5,076
AAA Aaa 20,000 Series C, 5.60% due 6/01/2020 20,251
AAA Aaa 15,000 Los Angeles County, California, Transportation Commission, Sales Tax Revenue Bonds,
Proposition C, Second Series--Series A, 6% due 7/01/2023(e) 15,974
AAA Aaa 6,000 Los Angeles County, California, Transportation Commission, Sales Tax Revenue Bonds,
Series A, 6.75% due 7/01/2001(a) (h) 7,023
AAA VMG1 2,000 Los Angeles County, California, Transportation Commission, Sales Tax, Revenue
Refunding Bonds, Series A, VRDN, 2.20% due 7/01/2012(f)(h) 2,000
AAA Aaa 8,800 Northern California Power Agency, Multiple Capital Facilities Revenue Bonds,
RIB, 10.298% due 9/02/2025(a)(e) 10,681
AAA Aaa 2,000 Northern California Power Agency, Multiple Capital Facilities Revenue Bonds,
SAVRS, 2.55% due 9/02/2025(e) (f) 2,000
A1+ VMG1 1,400 Orange County, California, Various Sanitation District, COP Nos. 1, 2, 3, 6, 7,
and 11, Series C, VRDN, 3.45% due 8/01/2017(f)(h) 1,400
AAA Aaa 3,280 Riverside County, California, Transportation Commission Sales Tax Revenue Bonds,
Series A, 5.40% due 6/01/2003(b) 3,507
AAA VMG1 1,400 Southern California Public Power Authority, Transmission Project Revenue Refunding
Bonds, VRDN, 3.05% due 7/01/2019(b)(f) 1,400
AAA Aaa 10,000 University of California, Revenue Bonds (Multiple Purpose Projects), 1989 Series B,
6.75% due 9/01/1999(a) (b) 11,497
AAA Aaa 12,075 University of California, Revenue Refunding Bonds (Multiple Purpose Projects),
Series C, 5.25% due 9/01/2016(b) 11,916
AAA Aaa 9,000 West and Central Basin Financing Authority, California, Revenue Bonds,
6.125% due 8/01/2022(b) 9,663
Colorado--0.0%
AAA Aaa 1,000 Colorado Health Facilities Authority, Revenue Refunding Bonds (Rose Medical Center
Project), 5.125% due 8/15/2021(e) 999
Connecticut--0.2%
AAA Aaa 625 Connecticut State Health and Educational Facilities Authority, Revenue Refunding
Bonds (Fairfield University), Series G, 5% due 7/01/2018(e) 608
AAA Aaa 1,000 Connecticut State Health and Educational Facilities Authority Revenue Bonds (Saint
Francis Hospital and Medical Center), Series C, 5% due 7/01/2023(h) 953
AAA Aaa 4,000 Connecticut State Municipal Electric Energy Cooperative Power Supply System, Revenue
Refunding Bonds, Series A, 5% due 1/01/2018(e) 3,843
Delaware--0.4%
AAA Aaa 6,000 Delaware EDA, PCR, Refunding (Delmarva Power and Light Company), Series B,
7.30% due 3/01/2014(e) 6,942
AAA Aaa 3,750 Delaware Health Facilities Authority, Crossover Revenue Refunding Bonds
(Delaware Medical Center), 7% due 10/01/2015(e) 4,273
District of Columbia--0.6%
District of Columbia, Hospital Revenue Refunding Bonds (National Rehabilitation
Hospital-Medlantic), Series A(e):
AAA Aaa 7,000 7.10% due 11/01/2011 7,946
AAA Aaa 9,250 7.125% due 11/01/2019 10,501
<PAGE>
Florida--6.3%
AAA Aaa 2,735 Altamonte Springs, Florida, Health Facilities Authority, Hospital Revenue Bonds
(Adventist Health/Sunbelt), Series A, 7% due 11/15/2014(b) 3,132
AAA Aaa 5,000 Florida Board of Finance Department, General Services Revenue Bonds (Department
of Natural Resources Preservation), Series A, 6.75% due 7/01/2013(b) 5,630
AAA Aaa 4,840 Florida Municipal Power Agency, Revenue Refunding Bonds (All Requirement Power
Supply Project), 6.25% due 10/01/2001(a) (b) 5,265
AAA Aaa 9,250 Florida Municipal Power Agency, Revenue Refunding Bonds (Stanton II Project),
4.50% due 10/01/2027(b) 8,105
Florida Turnpike Authority, Turnpike Revenue Bonds, Series A:
AAA Aaa 2,935 9.50% due 7/01/2001(b) 3,894
AAA Aaa 4,500 5% due 7/01/2015(h) 4,373
AAA Aaa 9,250 Homestead, Florida, Special Insurance Assessment Revenue Bonds (Hurricane Andrew
Covered Claims), 5% due 9/01/2001(e) 9,589
Jacksonville, Florida, Health Facilities Authority, Hospital Revenue Refunding &
Improvement Bonds (Baptist Medical Center Project):
AAA Aaa 500 11.50% due 10/01/2012 879
AAA Aaa 26,500 Series A, 7.30% due 6/01/2019(e) 30,484
AAA Aaa 8,750 Jacksonville, Florida, Port Authority Revenue Bonds, AMT, 7.875% due 11/01/2018(g) 9,859
AAA Aaa 10,000 Lee County, Florida, Hospital Board of Directors, Hospital Revenue Bonds, INFLOS,
10.483% due 4/01/2020(d)(e) 11,963
AAA Aaa 16,700 Martin County, Florida, PCR, Refunding (Florida Power and Light Company Project),
7.30% due 7/01/2020(e) 19,343
AAA Aaa 5,000 Miami, Florida, Sports and Exhibition Authority, Special Obligation Revenue
Refunding Bonds, Series A, 6.15% due 10/01/2020(h) 5,383
AAA Aaa 11,645 Orange County, Florida, Health Facilities Authority, Revenue Refunding Bonds
(Pooled Hospital Loan), Series B, 7.875% due 12/01/2025(g) 12,518
AAA Aaa 4,225 Orange County, Florida, Housing Finance Authority, Mortgage Revenue Refunding Bonds,
Series A, 7.60% due 1/01/2024(h) 4,632
Orange County, Florida, Sales Tax Revenue Bonds:
AAA Aaa 7,005 6.125% due 1/01/2000(a) 7,811
AAA Aaa 16,995 6.125% due 1/01/2019(h) 17,933
Orlando and Orange Counties, Florida, Expressway Authority Revenue Bonds(h):
AAA Aaa 1,280 6.75% due 7/01/2000(a) 1,481
AAA Aaa 320 6.75% due 7/01/2019 364
Palm Beach County, Florida, Criminal Justice Facilities, Revenue Refunding Bonds(h):
AAA Aaa 5,000 5.375% due 6/01/2008 5,206
AAA Aaa 11,985 5.375% due 6/01/2009 12,346
AAA Aaa 4,935 5.375% due 6/01/2010 5,096
AAA Aaa 1,000 Seminole County, Florida, Solid Waste Disposal System Revenue Bonds, 7.25%
due 10/01/2000(a)(e) 1,194
AAA Aaa 2,850 South Broward, Florida, Hospital District Revenue Bonds, RIB, Series C,
10.708% due 5/13/2021(b)(d)(k) 3,406
AAA Aaa 3,500 South Broward, Florida, Hospital District Revenue Bonds, SAVRS, Series B,
2.20% due 5/13/2021(b)(d) 3,500
AAA Aaa 2,000 Tampa, Florida, Water and Sewer System Revenue Bonds, Series A, 7.25% due 10/01/2016(b) 2,260
AAA Aaa 2,240 West Coast Regional Water Supply Authority, Florida, Capital Improvement Revenue Bonds
(Hillsborough County Project), 10.40% due 10/01/2010(a)(b) 3,519
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds Insured Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Georgia--4.0%
AAA Aaa $ 1,600 Atlanta, Georgia, Board of Education, COP, 7.125% due 6/01/2000(a)(h) $ 1,882
AAA Aaa 5,000 Douglasville-Douglas County, Georgia, Water and Sewer Authority, Water and Sewer
Revenue Bonds, 5.625% due 6/01/2015(b) 5,266
AAA Aa 18,445 Georgia Municipal Electric Authority Revenue Bonds, VRDN, 2.75% due 1/01/2008(f) 18,445
Metropolitan Atlanta Rapid Transit Authority, Georgia, Sales Tax Revenue
Refunding Bonds(b):
AAA Aaa 2,310 Series A, 5.125% due 7/01/2016 2,272
AAA Aaa 9,020 Series A, 5.125% due 7/01/2017 8,869
AAA Aa1 9,500 Series A, 5.125% due 7/01/2018 9,337
AAA Aaa 10,000 Series A, 5.125% due 7/01/2019 9,825
AAA Aaa 10,500 Series A, 5.125% due 7/01/2020 10,314
AAA Aaa 18,605 Series P, 6% due 7/01/2013 20,415
AAA Aaa 24,925 Series P, 6.25% due 7/01/2020 28,237
AAA Aaa 9,000 Municipal Electric Authority, Georgia, Special Obligation Bonds (Fifth Crossover
Series, Project One), 6.40% due 1/01/2013(b) 10,270
Hawaii--2.2%
Hawaii Airport System Revenue Bonds, AMT:
AAA Aaa 21,795 7.30% due 7/01/2020(b) 24,888
AAA Aaa 23,200 Second Series, 7.50% due 7/01/2020(h) 26,677
Hawaii County, Hawaii, Revenue Refunding and Improvement Bonds, Series A, UT(h):
AAA Aaa 1,000 5.60% due 5/01/2012 1,059
AAA Aaa 1,000 5.60% due 5/01/2013 1,061
Hawaii Department of Budget and Finance, Special Purpose Mortgage Revenue Bonds
(Hawaiian Electric Company), AMT(e):
AAA Aaa 5,000 Series C, 7.375% due 12/01/2020 5,764
AAA Aaa 4,340 7.625% due 12/01/2018 5,065
AAA Aaa 4,500 Hawaii Harbor Capital Improvement Revenue Bonds, AMT, 7% due 7/01/1999(a)(b) 5,108
Illinois--7.3%
AAA Aaa 23,150 Chicago, Illinois, GO, UT, 7.50% due 1/01/1999(a)(b) 27,065
AAA Aaa 25,000 Chicago, Illinois, Public Building Commission Revenue Bonds (Community College
District No. 508), Series B, 8.75% due 1/01/2007(c)(g) 30,188
AAA Aaa 25,000 Chicago, Illinois, Public Building Commission Revenue Bonds, Series A, 7.125%
due 1/01/2015(c)(e) 29,850
AAA Aaa 3,290 Chicago, Illinois, Wastewater Transmission Revenue Bonds, 6.75% due 11/15/2000(a)(h) 3,840
Cook County, Illinois, GO, UT(e):
AAA Aaa 37,250 7.375% due 11/01/1999(a) 44,129
AAA Aaa 20,000 Series A, 6.60% due 11/15/2022 22,085
AAA Aaa 11,000 Evergreen Park, Illinois, Hospital Facility Revenue Refunding Bonds (Little Company
of Mary Hospital), 7.75% due 2/15/2009(e) 12,539
AA- Aa 400 Illinois GO, Anti-Pollution Revenue Bonds, LT, Series O, 11% due 11/01/2004 618
Illinois Health Facilities Authority Revenue Bonds:
AAA Aaa 3,250 (Elmhurst Memorial Hospital), 6.625% due 1/01/2022(h) 3,559
AAA Aaa 2,000 (Methodist Health Project), RIB, 10.856% due 5/01/2021(b)(d)(k) 2,408
AAA Aaa 5,500 (Northern Illinois Medical Center), 7.875% due 9/01/2014(b) 6,263
AAA Aaa 8,000 (Saint Luke's Medical Center), PARS, 10.588% due 10/01/2024(d)(e)(k) 9,650
<PAGE>
Metropolitan Pier and Exposition Authority, Illinois, Dedicated State Tax Revenue
Bonds, Series A(f)(h)(j)(k):
AAA Aaa 7,000 5.67% due 6/15/2010 2,865
AAA Aaa 5,000 5.70% due 6/15/2011 1,922
AAA Aaa 27,215 5.75% due 6/15/2013 9,264
AAA Aaa 25,845 5.75% due 6/15/2014 8,297
AAA Aaa 1,940 6.10% due 6/15/2015 589
AAA Aaa 9,750 6.10% due 6/15/2016 2,801
AAA Aaa 10,000 Metropolitan Pier and Exposition Authority, Illinois, Dedicated State Tax
Revenue Bonds, Series A, 6.50% due 6/15/2027(b) 10,965
AAA Aaa 3,025 Northwest Suburban Municipal Joint Action Water Agency, Illinois, Water Supply System
Revenue Refunding Bonds, Series A, 5.90% due 5/01/2015(e) 3,136
Indiana--1.8%
AAA Aaa 6,725 Goshen-Chandler, Indiana, School Building Corporation, First Mortgage Revenue
Refunding Bonds, UT, 5.75% due 1/15/2010(e) 7,000
AAA Aaa 2,470 Indiana Employment Development Commission, Environmental Revenue Bonds (Public
Service Company of Indiana), AMT, 7.50% due 3/15/2015(e) 2,861
Indiana Secondary Market Education Loan Revenue Bonds, AMT, VRDN(f):
A1+ VMG1 13,200 Series B, 2.95% due 12/01/2013 13,200
A1+ VMG1 16,500 Series F, 2.95% due 12/01/2014 16,500
AAA Aaa 4,040 Indianapolis, Indiana, Local Public Improvement Bond Bank, LT, Series A, 7.90%
due 2/01/2002(a)(g) 4,964
AAA Aaa 2,000 Jasper County, Indiana, PCR, Refunding (Northern Indiana Public Service),
7.10% due 7/01/2017(e) 2,300
AAA Aaa 3,830 Purdue University, Indiana, University Revenue Bonds (Purdue University Dormitory
System), Series B, 6% due 7/01/2001(a)(b) 4,297
AAA Aaa 3,550 Rockport, Indiana, PCR, Refunding (Indiana-Michigan Power), LT, Series B,
7.60% due 3/01/2016(h) 4,213
Iowa--0.4%
AAA Aaa 5,000 Des Moines, Iowa, Parking Facilities Revenue Bonds, 7.25% due 7/01/2015(h) 5,723
Iowa Finance Authority, Hospital Facilities Revenue Refunding Bonds (Allen Memorial
Hospital), Series A(b):
AAA Aaa 3,500 5.50% due 2/15/2013 3,517
AAA Aaa 2,100 5.60% due 2/15/2020 2,115
Kansas--0.3%
AAA Aaa 1,000 Burlington, Kansas, PCR, Refunding (Kansas Gas and Electric Company Project),
7% due 6/01/2031(e) 1,145
AAA Aaa 8,400 Wichita, Kansas, Hospital Revenue Bonds, RIB, Series--III--A, 10.111%
due 10/01/2017(d)(e)(k) 10,006
Kentucky--0.7%
AAA Aaa 11,470 Kentucky Development Finance Authority, Hospital Revenue Refunding and Improvement
Bonds (Saint Elizabeth Medical Center), Series A, 9% due 11/01/2000(h) 14,600
Owensboro, Kentucky, Electric Light and Power Revenue Bonds, Series B(b)(j)(k):
AAA Aaa 1,000 5.70% due 1/01/2011 404
AAA Aaa 5,000 5.90% due 1/01/2014 1,676
AAA Aaa 9,125 5.80% due 1/01/2015 2,896
AAA Aaa 7,675 5.90% due 1/01/2016 2,302
AAA Aaa 3,500 5.72% due 1/01/2019 884
<PAGE>
Louisiana--0.9%
AAA Aaa 8,700 Louisiana Public Facilities Authority, Health and Education Capital Facilities Revenue
Bonds (Our Lady of the Lake Regional Medical Center), Series C, 8.20% due 12/01/2015(g) 10,282
Louisiana State Revenue Refunding Bonds, Series A(e):
AAA Aaa 4,875 5.10% due 8/01/2001 5,115
AAA Aaa 5,500 5.25% due 8/01/2003 5,753
AAA Aaa 3,950 5.30% due 8/01/2004 4,156
AAA Aaa 2,450 5.375% due 8/01/2005 2,583
Maryland--1.1%
AAA Aaa 10,000 Baltimore, Maryland, Revenue Refunding Bonds (Water Projects), Series A,
6.25% due 7/01/2022(h) 10,824
Maryland Health and Higher Educational Facilities Authority Revenue Bonds
(University of Maryland Medical Systems) (h):
AAA Aaa 2,250 Series A, 7% due 7/01/2001(a) 2,658
AAA Aaa 4,400 Series B, 7% due 7/01/2022(c) 5,641
Maryland Health and Higher Educational Facilities Authority, Revenue Refunding Bonds:
AAA Aaa 6,325 (Greater Baltimore Medical Center), 5% due 7/01/2013(h) 6,111
AAA Aaa 7,500 (Sinai Hospital Project), 5.25% due 7/01/2019(b) 7,366
AAA Aaa 2,250 Prince Georges County, Maryland, IDA, Lease Revenue Bonds (Upper Marlboro Justice
Center Project), 7% due 6/30/1999(a)(e) 2,605
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds Insured Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Massachusetts--3.0%
AAA Aaa $ 3,175 Massachusetts Bay Transportation Authority, Massachusetts General Transportation
System, Series A, 7.10% due 3/01/2010(g) $ 3,608
AAA Aaa 13,000 Massachusetts Bay Transportation Authority Revenue Bonds, COP, Series A,
7.65% due 8/01/2015(i) 15,420
AAA Aaa 6,000 Massachusetts Educational Loan Authority Revenue Bonds, AMT, Issue D, Series A,
7.25% due 1/01/2009(e) 6,517
AAA Aaa 27,000 Massachusetts GO (Construction Loan), Series C, 7% due 6/01/1999(a)(b) 31,215
Massachusetts Health and Educational Facilities Authority, Capital Asset Program,
VRDN(e)(f):
A1+ VMG1 700 Series B, 3.30% due 7/01/2005 700
SP1+ VMG1 8,500 Series D, 2.85% due 1/01/2035 8,500
Massachusetts Health and Educational Facilities Authority Revenue Bonds(e):
AAA Aaa 5,000 (Lahey Clinic Medical Center), Series A, 7.625% due 7/01/1998(a) 5,830
AAA Aaa 2,355 (Massachusetts General Hospital), Refunding, Series G, 5.25% due 7/01/2023 2,317
AAA Aaa 3,100 Massachusetts Health and Educational Facilities Authority Revenue Bonds (Saint
Elizabeth Hospital), LEVRRS, Series E, 10.11% due 8/15/2021(i)(k) 3,797
Massachusetts Industrial Finance Agency Revenue Bonds(e):
AAA Aaa 5,500 (Brandeis University), Series C, 6.80% due 10/01/2019 6,108
AAA Aaa 4,500 (Milton Academy), Series A, 7.25% due 9/01/1999(a) 5,284
AAA Aaa 3,250 Massachusetts Port Authority Revenue Bonds, 13% due 9/01/1999(c) 5,660
<PAGE>
Michigan--3.1%
AAA Aaa 10,000 Grand Rapids, Michigan, Water Supply System, Revenue Refunding Bonds,
5.75% due 1/01/2018(h) 10,190
AAA Aaa 2,900 Michigan Hospital Finance Authority Revenue Bonds (Oakwood Hospital Obligated Group),
7% due 7/01/2000(a)(h) 3,397
AAA Aaa 18,100 Michigan Hospital Finance Authority Revenue Bonds (Sisters of Mercy),
INFLOS, 9.875% due 2/15/2022(d)(i) 20,725
Monroe County, Michigan, PCR (Detroit Edison Company Project), AMT:
AAA Aaa 16,500 Project 1, 7.65% due 9/01/2020(h) 19,434
AAA Aaa 13,255 Series CC, 7.50% due 12/01/2019(b) 15,452
AAA Aaa 9,745 Series I-B, 7.50% due 9/01/2019(b) 11,365
AAA Aaa 15,000 Western Michigan University Revenue Bonds, Series A, 6.50% due 7/15/2001(a)(b) 17,355
Minnesota--0.2%
AAA Aaa 5,000 Northern Municipal Power Agency, Minnesota, Electric Systems Revenue Refunding Bonds,
Series A, 6% due 1/01/2019(b) 5,223
Mississippi--0.5%
AAA Aaa 1,320 Harrison County, Mississippi, Wastewater Management District, Revenue Refunding Bonds,
Wastewater Treatment Facilities, Series A, 8.50% due 2/01/2013(h) 1,837
AAA Aaa 1,750 Hinds County, Mississippi, Revenue Refunding Bonds (Methodist Hospital &
Rehabilitation), 5.60% due 5/01/2012(b) 1,834
AAA Aaa 13,000 Mississippi Hospital Equipment and Facilities Authority, Revenue Refunding and
Improvement Bonds (North Mississippi Health Services), 5.75% due 5/15/2016(b) 13,172
AA- NR 280 Mississippi Housing Finance Corporation, S/F Mortgage Purchase Revenue Bonds,
10.50% due 9/15/2007 291
Missouri--0.2%
AAA Aaa 5,000 Kansas City, Missouri, Municipal Assistance Corporation, Leasehold Improvement
Revenue Bonds, Series B, 6% due 4/15/2020(b) 5,224
Montana--0.2%
AAA Aaa 5,600 Montana Health Facilities Authority, Hospital Facilities Revenue Bonds (Deaconess
Medical Center Project), SAVRS, Series A, 2.50% due 2/15/2016(b)(f) 5,600
Nevada--2.5%
AAA Aaa 6,500 Clark County, Nevada, Airport Improvement Revenue Bonds, AMT, 8.125% due 7/01/2018(g) 7,564
Clark County, Nevada, Airport Revenue Bonds(a)(h):
AAA Aaa 5,590 6.25% due 6/01/2001 6,268
AAA Aaa 4,450 6.90% due 6/01/2001 5,172
AAA Aaa 10,000 Clark County, Nevada, Passenger Facility Revenue Bonds (Las Vegas McCarran
International Airport), Series A, 6% due 7/01/2022(b) 10,533
Las Vegas, Nevada, Revenue Refunding Bonds(h):
AAA Aaa 1,500 6.50% due 10/01/2007 1,691
AAA Aaa 2,665 6.50% due 10/01/2008 2,990
AAA Aaa 7,500 Reno, Nevada, GO, Refunding, 7.125% due 4/01/1999(a)(b) 8,686
AAA Aaa 35,000 Washoe County, Nevada, Water Facility Revenue Bonds (Sierra Pacific Power), AMT,
6.65% due 6/01/2017(e) 38,997
<PAGE>
New Hampshire--0.3%
New Hampshire Health and Higher Educational Facilities Authority Revenue Bonds:
AAA Aaa 10,000 (Mary Hitchcock Memorial Hospital), 5.25% due 8/15/2021 9,927
AAA Aaa 1,000 VRDN (VHA New England), Series D, 2.85% due 12/01/2025(b)(f) 1,000
New Jersey--2.8%
AAA Aaa 3,350 Cape May County, New Jersey, Industrial Pollution Control Financing Authority, Revenue
Refunding Bonds (Atlantic City Electric Company), Series A, 6.80% due 3/01/2021(e) 4,188
AAA Aaa 6,220 Hoboken/Union City/Weehawken, New Jersey, Sewer Authority, Sewer Revenue Bonds,
7.25% due 8/01/1999(a)(e) 7,291
AAA Aaa 16,000 Hudson County, New Jersey, COP (Correctional Facilities), 7.60% due 12/01/1998(a)(g) 18,834
AAA Aaa 4,750 Jersey City, New Jersey, Sewer Authority Revenue Refunding Bonds, 6.25% due 1/01/2014(b) 5,469
Middletown Township, New Jersey, Sewer Authority Revenue Refunding Bonds, Series A(h):
AAA Aaa 1,000 5% due 1/01/2006 1,024
AAA Aaa 1,095 5.05% due 1/01/2007 1,120
AAA Aaa 1,750 5.10% due 1/01/2008 1,788
AAA Aaa 5,000 New Jersey EDA, Water Facilities, Revenue Refunding Bonds (Hackensack Water Company),
Series A, 7% due 1/01/2019(b) 5,516
AAA Aaa 3,860 New Jersey Health Care Facilities Financing Authority, Revenue Bonds (Saint Peter's
Medical Center), Series D, 7.25% due 7/01/1997(a)(e) 4,364
New Jersey Housing and Mortgage Finance Agency Revenue Bonds (Home Buyer), AMT(e):
AAA Aaa 7,530 Series B, 7.90% due 10/01/2022 8,076
AAA Aaa 20,225 Series D, 7.70% due 10/01/2029 22,265
A-1 VMG1 3,000 New Jersey Sports and Exposition Authority, State Contract Revenue Bonds, Series C,
VRDN, 2.80% due 9/01/2024(e)(f) 3,000
NR VMG1 5,000 New Jersey Turnpike Authority, Turnpike Revenue Refunding Bonds, Series D, VRDN,
3.05% due 1/01/2018(e)(f) 5,000
New York--5.3%
Metropolitan Transportation Authority, New York, Service Contract Revenue
Refunding Bonds(b):
AAA Aaa 4,000 (Commuter Facilities), Series K, 7.50% due 7/01/1998(a) 4,657
AAA Aaa 9,650 (Transportation Facilities), Series L, 7.50% due 7/01/2017 11,034
AAA Aaa 6,010 New York City, New York, Health and Hospital Authority, Local Government Revenue
Refunding Bonds, Series A, 5.625% due 2/15/2013(b) 6,213
New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue Bonds(h):
AAA Aaa 11,075 Refunding, Series A, 5.75% due 6/15/2018 11,462
AAA Aaa 3,450 Series A, 6.75% due 6/15/2014 3,813
New York City, New York, Municipal Water Finance Authority, Water and Sewer System
Revenue Bonds:
AAA Aaa 25,000 RIB, 7.75% due 6/15/2008(d) 25,625
A1+ VMG1 1,400 VRDN, Series C, 3.15% due 6/15/2022(f)(h) 1,400
AAA VMG1 6,100 VRDN, Series C, 3.15% due 6/15/2023(f)(h) 6,100
New York City, New York, GO(b):
AAA Aaa 7,150 Series I, 7.25% due 8/15/2013 8,285
AAA Aaa 10,130 Series I, 7.25% due 8/15/2016 11,731
AAA Aaa 1,000 Series I, 7.25% due 8/15/2017 1,158
<PAGE>
New York City, New York, VRDN(f):
A1+ VMG1 7,000 Series B, 3.20% due 10/01/2021 7,000
A1+ VMG1 6,500 Series B, 3.20% due 10/01/2022 6,500
A1+ VMG1 1,200 Series D, 3.45% due 2/01/2020 1,200
A1+ VMG1 1,400 Series D, 3.45% due 2/01/2021 1,400
A- VMG1 800 Series D, 3.45% due 2/01/2022 800
New York State Medical Care Facilities Finance Agency Revenue Bonds (Mental
Health Services):
AAA Aaa 4,985 Series C, 7.375% due 8/15/2019(e) 5,805
AAA Aaa 11,500 Series D, 5.90% due 8/15/2022(b) 12,045
AAA Aaa 8,900 New York State Dormitory, VRDN, 2.75% due 5/15/2003(f) 8,900
A1+ VMG1 5,000 Niagara Falls, New York, Bridge Commission Toll Revenue Bonds, Series A, VRDN,
2.90% due 10/01/2019(h) 5,000
Suffolk County, New York, Water Authority, Waterworks Revenue Refunding Bonds(b):
AAA Aaa 13,230 7.375% due 6/01/1998(a) 15,416
AAA Aaa 1,235 7.375% due 6/01/2012 1,414
AAA Aaa 8,445 Series C, 5.75% due 6/01/2013 8,849
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds Insured Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
North Carolina--1.5%
A-1 VMG1 $ 8,600 North Carolina Medical Care Commission, Hospital Revenue Bonds, ACES (Pooled
Equipment Financing Project), VRDN, 3.50% due 12/01/2025(f) $ 8,600
North Carolina Municipal Power Agency, Electric Revenue Refunding Bonds (Catawba
Electric Project No. 1):
AAA Aaa 5,705 5.20% due 1/01/2000(h) 5,992
AAA Aaa 35,355 5% due 1/01/2018(e) 34,157
Ohio--1.3%
AAA Aaa 12,000 Clermont County, Ohio, Hospital Facilities Crossover Revenue Refunding Bonds (Mercy
Health Systems), Series A, 7.50% due 9/01/2019(b) 14,037
AAA Aaa 2,250 Cleveland, Ohio, Revenue Refunding Bonds, 5.375% due 9/01/2009(b) 2,328
A Aa 515 Ohio HFA, S/F Mortgage Revenue Bonds, Series A, 11.375% due 8/01/2010 537
AAA Aaa 6,700 Ohio Municipal Electric Generation Agency, Joint Ventures, COP, 5.376% due 2/15/2013(b) 6,769
AAA Aaa 15,000 Ohio State Air Quality Development Authority, Revenue Refunding Bonds, PCR,
Series B, Ohio Edison, 5.625% due 11/15/2029(b) 15,226
A-1 Aaa 1,815 Scioto County, Ohio, Hospital Facilities Revenue Bonds (VHA Center Capital Asset
Project), Series F, VRDN, 2.85% due 12/01/2025(b)(f) 1,815
<PAGE>
Oklahoma--1.2%
AAA Aaa 7,500 Oklahoma Industrial Authority, Hospital Revenue Bonds (Baptist Medical Center),
Series A, 7% due 8/15/2014(b) 8,501
AAA Aaa 5,000 Tulsa, Oklahoma, Airport Revenue Bonds, 7.50% due 6/01/2008(e) 5,646
AAA Aaa 21,560 Tulsa, Oklahoma, Industrial Authority Hospital Revenue Bonds (Saint John's Medical
Center, Inc.), 7.25% due 12/01/2009(e) 25,158
Oregon--0.2%
AAA Aaa 1,200 Jefferson County, Oregon, Revenue Bonds (School District Number 509J),
5.50% due 6/15/2013(i) 1,247
AAA Aaa 4,000 Port of Portland, Oregon, Portland International Airport, Airport Revenue Bonds,
Series 7-B, AMT, 7.10% due 7/01/2021(e) 4,645
Pennsylvania--8.7%
AAA Aaa 1,500 Allegheny County, Pennsylvania, Airport Revenue Bonds (Greater Pittsburgh
International Airport), AMT, Series C, 7% due 1/01/2018(e) 1,642
AAA Aaa 1,750 Allegheny County, Pennsylvania, Hospital Development Authority Revenue Bonds
(Mercy Hospital of Pittsburgh), 6.75% due 4/01/2021(b) 1,947
Allegheny County, Pennsylvania, Hospital Development Authority Revenue Bonds,
VRDN(e)(f):
A1+ VMG1 4,200 Series A, 3.05% due 3/01/2020 4,200
A1+ VMG1 600 Series B, 3.05% due 3/01/2020 600
A1+ VMG1 200 Series D, 3.05% due 3/01/2020 200
AAA Aaa 19,070 Allegheny County, Pennsylvania, Sanitation Authority, Sewer Revenue Bonds,
5.50% due 12/01/2008(h) 19,847
AAA Aaa 6,900 Beaver County, Pennsylvania, Hospital Authority Revenue Bonds (Medical Center
of Beaver, Pennsylvania, Incorporated), Series A, 6.25% due 7/01/2022(b) 7,428
AAA Aaa 3,365 Beaver County, Pennsylvania, IDA, PCR, Refunding (Ohio Edison Company),
Series A, 7% due 6/01/2021(h) 3,757
AAA Aaa 3,610 Berks County, Pennsylvania, Municipal Authority Hospital Revenue Bonds (Reading
Hospital Medical Center Project), 5.70% due 10/01/2014(e) 3,828
AAA Aaa 9,000 Bucks County, Pennsylvania, IDA (Grand View Hospital Project), 7% due 7/01/2001(a)(b) 10,662
AAA Aaa 3,500 Delaware County, Pennsylvania, College Revenue Bonds (Haverford College),
7.375% due 11/15/2020(a)(e) 4,214
AAA Aaa 3,250 Lehigh County, Pennsylvania, General Purpose Authority, College Revenue Bonds
(Lehigh Pre-treatment Plant Project), 7.25% due 1/01/1998(a)(h) 3,706
AAA Aaa 10,000 Lehigh County, Pennsylvania, Revenue Refunding Bonds, UT, 5.125% due 11/15/2011(h) 9,799
A1+ VMG1 1,800 Lehigh County, Pennsylvania, Sewer Authority Revenue Bonds, Series B, VRDN, 3.15% due
3/15/2005(f)(h) 1,800
A1+ Aaa 3,850 Lehigh County, Pennsylvania, Water Authority Revenue Bonds, VRDN, 3.15%
due 11/01/2004(f)(h) 3,850
AAA Aaa 3,400 Monroeville, Pennsylvania, Hospital Authority, Hospital Revenue Bonds (Forbes Health
System), Series B, 7.35% due 10/01/2015(g) 3,780
A1+ VMG1 3,900 Montgomery County, Pennsylvania, Health and Higher Educational Authority Revenue Bonds
(Holy Redeemer Hospital), VRDN, 3.15% due 9/01/2018(b)(f) 3,900
<PAGE>
AAA Aaa 2,500 Montgomery County, Pennsylvania, Higher Education and Health Authority, Hospital
Revenue Bonds (Abington Hospital), Series A, MVRICS, 10.445% due 6/01/2011(b)(k) 3,022
AAA Aaa 9,725 Pennsylvania Convention Center Authority Revenue Bonds, Series A,
6.70% due 9/01/2016(h) 11,565
AAA Aaa 16,000 Pennsylvania Higher Education Assistance Agency, Student Loan Revenue Bonds,
Linked RIB and SAVRS, AMT, 7.437% due 3/01/2020(e) 17,523
Pennsylvania Higher Education Assistance Agency, Student Loan Revenue Bonds,
RIB, AMT(b)(d):
AAA Aaa 10,000 10.474% due 9/03/2026 11,550
AAA Aaa 17,000 Series B, 9.172% due 3/01/2022 17,807
Pennsylvania Higher Education Facilities Authority, College and University
Revenue Bonds:
AAA Aaa 1,500 (Bryn Mawr College), 6.50% due 12/01/2009(h) 1,649
AAA Aaa 4,250 (Temple University), First Series, 6.50% due 4/01/2021(e) 4,676
AAA Aaa 180 Pennsylvania Public School Building Authority, Lease Revenue Bonds, Series BC,
10.375% due 11/01/2006 191
Pennsylvania Turnpike Commission, Turnpike Revenue Bonds:
AAA Aaa 2,235 Series C, 7.625% due 12/01/1998(a)(h) 2,633
AAA Aaa 3,250 Series F, 7.25% due 12/01/1999(a)(b) 3,836
AAA Aaa 25,390 Series L, 6.25% due 6/01/2011(b) 27,539
Philadelphia, Pennsylvania, Airport Revenue Bonds, AMT(e):
AAA Aaa 8,150 7.75% due 6/15/2015 9,302
AAA Aaa 24,000 7.375% due 6/15/2018 27,018
AAA Aaa 5,000 Philadelphia, Pennsylvania, Gas Works Revenue Bonds, 12th Series B,
7% due 5/15/2020(c)(e) 6,038
AAA Aaa 5,750 Philadelphia, Pennsylvania, Parking Authority, Airport Parking Revenue Bonds,
7.375% due 9/01/2018(b) 6,568
AAA Aaa 18,400 Philadelphia, Pennsylvania, Water and Wastewater Revenue Bonds, 14th Series, RIB,
7.32% due 6/15/2004(h)(k) 19,895
Pittsburgh, Pennsylvania, Revenue Refunding Bonds, UT, Series A(b):
AAA Aaa 1,200 5.10% due 9/01/2005 1,238
AAA Aaa 1,000 5.20% due 9/01/2006 1,036
AAA Aaa 1,000 5.40% due 9/01/2008 1,037
Pittsburgh, Pennsylvania, Water and Sewer Authority, Water and Sewer System Revenue
Refunding Bonds, Series A:
AAA Aaa 5,000 6.50% due 9/01/2001(a)(h) 5,777
AAA Aaa 9,000 4.75% due 9/01/2016(h) 8,362
Rhode Island--2.7%
Providence, Rhode Island, GO, UT(e):
AAA Aaa 1,540 6.75% due 1/15/2008 1,711
AAA Aaa 1,540 6.75% due 1/15/2009 1,712
AAA Aaa 1,540 6.75% due 1/15/2010 1,712
Rhode Island Depositors Economic Protection Corporation, Special Obligation Bonds,
Series A(i):
AAA Aaa 35,000 5.75% due 8/01/2019 37,038
AAA Aaa 26,100 6.625% due 8/01/2002(a) 30,429
AAA Aaa 10,800 Rhode Island Health and Educational Building Corporation Revenue Bonds (Rhode Island
Hospital), INFLOS, 10.729% due 8/15/2021(d)(h) 13,217
South Carolina--4.6%
AAA Aaa 7,000 Charleston, South Carolina, Waterworks and Sewer Revenue Refunding Improvement Bonds,
6% due 1/01/2016(b) 7,475
AAA Aaa 5,000 Florence County, South Carolina, Hospital Revenue Bonds (McLeod Regional Medical
Center Project), 6.75% due 11/01/2020(h) 5,578
AAA Aaa 4,000 Georgetown County, South Carolina, Hospital Facilities Revenue Refunding Bonds
(Georgetown Memorial Hospital), Series B, 7.25% due 11/01/2017(b) 4,622
AAA Aaa 1,750 Greenville, South Carolina, Hospital System, Hospital Facilities Revenue Bonds,
Series A, 7.50% due 5/01/2016(h) 1,937
AAA Aaa 2,410 Myrtle Beach, South Carolina, Water and Sewer System Revenue Bonds,
5.25% due 3/01/2020(e) 2,403
AAA Aaa 3,500 Pickens & Richland Counties, South Carolina, Hospital Facilities Revenue Bonds
(Baptist Hospital), Series A, 7% due 8/01/2001(a)(b) 4,127
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Refunding Bonds:
AAA Aaa 15,750 Series A, 7.40% due 1/01/2018(b) 17,765
AAA Aaa 9,150 6.25% due 1/01/2021(h) 10,433
AAA Aaa 7,235 5% due 1/01/2022(h) 6,880
AAA Aaa 13,680 6.30% due 1/01/2022(e) 14,797
AAA Aaa 14,550 South Carolina Jobs, EDA, Hospital Facilities Revenue Bonds, RIB,
7.96% due 8/01/2021(b)(d)(k) 14,532
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds Insured Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
South Carolina--(concluded)
South Carolina Public Service Authority, Revenue Refunding Bonds (Santee Cooper):
AAA Aaa $ 6,000 Series A, 5.50% due 7/01/2011(e) $ 6,089
AAA Aaa 4,000 Series B, 6.10% due 7/01/2027(b) 4,255
AAA Aaa 2,750 Series C, 5% due 1/01/2014(b) 2,649
AAA Aaa 9,500 Series C, 5% due 1/01/2018(h) 9,091
AAA Aaa 35,400 Series C, 5% due 1/01/2025(h) 33,535
Tennessee--0.3%
Jackson, Tennessee, Water and Sewer System Revenue Bonds(b):
AAA Aaa 1,595 10.375% due 7/01/1999(a) 2,109
AAA Aaa 1,905 10.375% due 7/01/2012 2,253
AAA Aaa 2,200 Knox County, Tennessee, Health, Education and Housing Facilities Board, Hospital
Facilities Crossover Revenue Refunding Bonds (Mercy Health Care System), Series A,
7.60% due 9/01/2019(b) 2,596
AAA Aaa 2,750 Metropolitan Nashville Airport Authority, Tennessee, Airport Revenue Bonds, AMT,
Series A, 6.25% due 7/01/2000(h) 3,043
<PAGE>
Texas--12.8%
AAA Aaa 2,750 Amarillo, Texas, Health Facilities Corporation, Hospital Revenue Bonds (High Plains
Baptist Hospital), RIB, 10.114% due 1/03/2022(i)(k) 3,224
Austin, Texas, Utility System Revenue Bonds:
AAA Aaa 3,000 10.75% due 5/15/2000(a)(g) 4,086
AAA Aaa 11,190 9.25% due 5/15/2004(a)(e)(g) 15,420
AAA Aaa 5,250 Refunding, Series B, 5.25% due 5/15/2018(b)(e) 5,157
AAA Aaa 6,000 Brazos River Authority, Texas, PCR, Refunding (Texas Utilities Electric Co. Project),
AMT, 6.50% due 12/01/2027(b) 6,547
AAA Aaa 12,000 Brazos River Authority, Texas, PCR (Texas Utilities Electric Co. Project),
AMT, Series B, 6.625% due 6/01/2022(h) 13,196
Brazos River Authority, Texas, Revenue Refunding Bonds (Houston Light and Power):
AAA Aaa 12,700 5.60% due 12/01/2017(e) 12,765
AAA Aaa 13,900 Series B, 7.20% due 12/01/2018(k) 15,932
AAA Aaa 20,000 Brownsville, Texas, Utility System Revenue Refunding Bonds, 6.25% due 9/01/2014(e) 22,529
AAA Aaa 5,000 Coastal Bend Health Facilities Development Corporation, Texas (Incarnate World
Health Service), Series A, 6% due 11/15/2022(i) 5,282
AAA Aaa 5,000 Harris County, Texas, Hospital District Mortgage, Revenue Refunding Bonds,
7.40% due 2/15/2010(b) 6,237
AAA Aaa 11,805 Harris County, Texas, Toll Road Tax and Senior Lien Revenue Bonds,
7.10% due 8/15/2017(b) 13,563
Harris County, Texas, Toll Road Tax and Senior Lien Revenue Refunding Bonds, Series A:
AAA Aaa 12,000 6.50% due 8/15/2011(h) 13,292
AAA Aaa 18,000 6.50% due 8/15/2017(b) 19,891
AAA Aaa 8,390 Houston, Texas, Independent School District Refunding and School House Bonds,
5.65% due 8/15/2009(b)(j) 3,694
AAA Aaa 3,500 Houston, Texas, Water Conveyance System COP, Revenue Refunding Bonds, Series J,
6.25% due 12/15/2013(b) 3,972
Houston, Texas, Water and Sewer System, Revenue Refunding Bonds, Series C(b)(j):
AAA Aaa 11,250 5.70% due 12/01/2009 4,818
AAA Aaa 17,700 5.70% due 12/01/2010 7,234
AAA Aaa 45,960 5.70% due 12/01/2011 17,691
AAA Aaa 53,850 5.78% due 12/01/2012 19,473
Lower Colorado River Authority, Texas, Revenue Refunding Bonds:
AAA Aaa 725 7% due 1/01/2001(a)(b) 845
AAA Aaa 525 7% due 1/01/2011(b) 601
AAA Aaa 27,500 Fifth Supplemental Series, 5.25% due 1/01/2015(e) 27,155
AAA Aaa 4,415 Series B, 5.60% due 1/01/2009(c)(e)(j) 2,009
AAA Aaa 5,000 Matagorda County, Texas, Navigation District No. 1, PCR (Central Power and Light
Company Project), AMT, 7.50% due 3/01/2020(b) 5,749
AAA Aaa 8,250 Matagorda County, Texas, Navigation District No. 1, PCR (Houston Light and Power),
AMT, Series D, 7.60% due 10/01/2019(h) 9,478
<PAGE>
Matagorda County, Texas, Navigation District No. 1, Revenue Refunding Bonds
(Houston Light and Power):
AAA Aaa 11,800 Series A, 6.70% due 3/01/2027(b) 13,245
AAA Aaa 26,305 Series C, 7.125% due 7/01/2019(h) 29,702
AAA Aaa 6,470 Series E, 7.20% due 12/01/2018(h) 7,376
AAA VMG1 800 North Texas Higher Educational Authority Incorporated, Texas, Student Loan, Revenue
Bonds, VRDN, AMT, Series C, 3.20% due 4/01/2020(b)(f) 800
AAA Aaa 15,000 Southwest Higher Education Authority Incorporated, Texas, Revenue Refunding Bonds
(Southern Methodist University), Series B, 6.25% due 10/01/2022(h) 16,142
Tarrant County, Texas, Water Control and Improvement District #001, Water Revenue
Refunding Bonds(b):
AAA Aaa 5,000 4.50% due 3/01/2001 4,643
AAA Aaa 5,000 4.75% due 3/01/2013 4,735
Texas Housing Agency, S/F Mortgage Revenue Bonds (Verex Mortgage Insurance),
1984 Series B:
A+ Aa 290 11.125% due 9/01/2004 299
A+ Aa 360 11.25% due 3/01/2016 369
Texas Municipal Power Agency, Revenue Refunding Bonds:
AAA Aaa 10,000 5.50% due 9/01/2010(e) 10,468
AAA Aaa 33,885 6.10% due 9/01/2014(e) 11,108
AAA Aaa 2,900 Series A, 6.75% due 9/01/2012(b) 3,267
Texas State Public Finance Authority, Building Revenue Capital Appreciation
Refunding Bonds(e)(j):
AAA Aaa 7,000 5.80% due 2/01/2009 3,171
AAA Aaa 2,890 6.10% due 2/01/2011 1,177
AAA Aaa 8,500 5.81% due 2/01/2012 3,255
Texas Turnpike Authority, Turnpike Revenue Refunding Bonds (Dallas North Thruway)(b):
AAA Aaa 3,230 4.75% due 1/01/2011 3,088
AAA Aaa 2,085 4.75% due 1/01/2013 1,975
AAA Aaa 3,725 4.75% due 1/01/2014 3,505
AAA Aaa 25,875 Trinity River Authority, Texas, Regional Wastewater System, Revenue Refunding Bonds,
Series A, 5% due 8/01/2016(b) 24,957
Utah--1.2%
AAA Aaa 2,805 Salt Lake City, Utah, Hospital Revenue Bonds (Holy Cross Health System Corporation--
Holy Cross Hospital), 7.375% due 12/01/2018(h) 3,121
AAA Aaa 14,000 Salt Lake City, Utah, Hospital Revenue Refunding Bonds (IHC Hospitals, Incorporated),
INFLOS, 10.774% due 5/15/2020(b)(d) 16,800
AA- Aaa 1,000 Uintah County, Utah, PCR (Deseret Generation and Transmission Cooperative-National
Rural Utilities Company), Series 1984 F-2, 10.50% due 6/15/2001(a) 1,386
Utah Board of Regents, Student Loan Revenue Bonds, AMT(b):
AAA Aaa 2,650 Series F, 7.45% due 11/01/2008 2,882
AAA Aaa 3,100 VRDN, Series C, 2.95% due 11/01/2013(f) 3,100
AAA Aaa 4,005 Utah County, Utah, Municipal Building Authority, Lease Revenue Bonds (City and
County Administration Building Complex), Series A, 7% due 12/01/1998(a)(g) 4,544
Utah Municipal Power Agency, Electric System Revenue Refunding Bonds, Series A(h):
AAA Aaa 3,120 5.50% due 7/01/2012 3,171
AAA Aaa 3,295 5.50% due 7/01/2013 3,330
Vermont--0.6%
AAA Aaa 18,950 Vermont HFA Revenue Bonds (Home Mortgage Purchase), AMT, Series B,
7.60% due 12/01/2024(e) 20,432
<PAGE>
Virginia--2.2%
AAA Aaa 9,600 Prince William County, Virginia, Service Authority, Water and Sewer System Revenue
Refunding Bonds, 5% due 7/01/2021(h) 9,212
Roanoke, Virginia, IDA, Hospital Revenue Bonds (Roanoke Memorial Hospital Projects)(e):
AAA Aaa 5,750 6.50% due 7/01/2000(a) 6,440
AAA Aaa 8,250 7.25% due 7/01/2000(a) 9,747
AAA Aaa 20,020 Series A, 5% due 7/01/2024 18,886
AAA Aaa 11,000 Upper Occoquan Sewer Authority, Virginia, Regional Sewer Revenue Bonds,
6% due 7/01/2001(a)(e) 12,181
AAA Aaa 6,000 Winchester, Virginia, IDA, Hospital Facilities Revenue Refunding Bonds (Winchester
Medical Center-First Mortgage), 7.25% due 1/01/2000(a)(b) 7,045
AAA Aaa 5,000 Winchester, Virginia, IDA, Hospital Revenue Refunding Bonds (Winchester Medical
Center), SAVRS, 2.50% due 12/01/2014(b)(d) 5,000
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in Thousands)
<CAPTION>
Municipal Bonds Insured Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Washington--5.0%
Seattle, Washington, Municipality, Metropolitan Seattle, Sewer Revenue Bonds,
Series W(e):
AAA Aaa $ 2,465 6.25% due 1/01/2022 $ 2,654
AAA Aaa 4,485 6.25% due 1/01/2023 4,829
Seattle, Washington, Municipality, Metropolitan Seattle, Sewer Revenue Refunding Bonds(h):
AAA Aaa 8,155 Series X, 5.30% due 1/01/2008 8,305
AAA Aaa 9,605 Series X, 5.375% due 1/01/2009 9,752
AAA Aaa 9,755 Series X, 5.40% due 1/01/2010 9,884
AAA Aaa 10,960 Series X, 5.40% due 1/01/2011 11,069
AAA Aaa 6,560 Series Y, 5.70% due 1/01/2015 6,667
AAA Aaa 3,315 Series Y, 5.70% due 1/01/2016 3,369
AAA Aaa 10,000 Seattle, Washington, Solid Waste Utility Revenue Refunding Bonds, Series A,
6.875% due 5/01/2009(g) 11,082
AAA Aaa 7,125 Tacoma, Washington, Electric System Revenue Refunding Bonds, Series B,
5.50% due 1/01/2012(b) 7,189
Tacoma, Washington, Sewer Revenue Bonds(e):
AAA Aaa 3,425 7.625% due 12/01/2006 3,914
AAA Aaa 4,075 7.625% due 12/01/2007 4,657
AAA Aaa 4,400 7.625% due 12/01/2008 5,029
AAA Aaa 3,250 University of Washington Revenue Bonds (Housing and Dining), 7% due 12/01/2021(e) 3,756
AAA Aaa 7,000 Washington Health Care Facilities Authority Revenue Bonds (Southwest Washington
Hospital--Vancouver), 7.125% due 10/01/2019(g) 8,033
A+ A1 195 Washington Housing Finance Commission, S/F Mortgage Revenue Bonds, 1984 Series A,
10.875% due 1/01/2011 203
D NR 719 Washington Public Power Supply System, Generating Facilities Revenue Bonds
(Nuclear Project Numbers 4 & 5), Series D, 12.50% due 7/01/2010(b) 719
Washington Public Power Supply System, Revenue Refunding Bonds:
AAA Aaa 5,750 Project No. 1, 6.25% due 7/01/2017(e) 6,176
AAA Aaa 2,530 Project No. 1, Series A, 5.70% due 7/01/2017(e) 2,573
AAA Aaa 10,000 Project No. 1, Series B, 5.60% due 7/01/2015(e) 10,084
AAA Aaa 12,380 Project No. 2, Series A, 5.70% due 7/01/2008(e) 13,213
AAA Aaa 19,895 Project No. 3, Series A, 7.25% due 7/01/1999(a)(g) 23,282
<PAGE>
West Virginia--1.4%
AAA Aaa 9,270 Kanawha County, West Virginia, Building Commission Revenue Refunding Bonds
(Charleston Area Medical Center Inc.), Series A, 7.10% due 6/01/2013(e) 10,409
AAA Aaa 11,900 Putnam County, West Virginia, PCR, Refunding (Appalachian Power Company Project),
Series D, 5.45% due 6/01/2019(b) 11,867
AAA Aaa 8,000 West Virginia Board of Regents Revenue Bonds (Registration Fee), Series B,
7.25% due 4/01/1999(a)(e) 9,183
AAA Aaa 6,000 West Virginia Parkways, Economic Development and Tourism Authority Revenue Bonds,
1989 Series, 7.125% due 7/01/1999(a)(h) 6,949
AAA Aaa 5,600 West Virginia School Building Authority Revenue Bonds (Capital Improvement),
Series B, 6.75% due 7/01/2010(e) 6,212
Wisconsin--3.0%
BBB+ A 700 Kenosha, Wisconsin, Sewer System Mortgage Revenue Refunding Bonds, 1985 Series,
10% due 1/01/1999(a) 765
AAA Aaa 7,000 Superior, Wisconsin, Limited Obligation Revenue Refunding Bonds (Midwest Energy
Resources), Series E, 6.90% due 8/01/2021(h) 8,439
Wisconsin Health and Educational Facilities Authority Revenue Bonds:
AAA Aaa 1,500 (Saint Lukes Medical Center Project), 7.10% due 8/15/2019(e) 1,703
AAA Aaa 4,000 (Samaritan Health Care Projects), Series B, 7% due 6/01/2000(a)(e) 4,690
AAA Aaa 5,750 (Waukesha Memorial Hospital), Series B, 7.25% due 8/15/2019(b) 6,631
Wisconsin Public Power System Incorporated, Power Supply System Revenue Bonds,
Series A(a)(b):
AAA Aaa 13,000 7.40% due 7/01/2000 15,560
AAA Aaa 6,500 6.875% due 7/01/2001 7,672
AAA Aaa 16,485 Wisconsin Public Power System Incorporated, Power Supply System Revenue Refunding
Bonds, Series A, 5.25% due 7/01/2021(b) 16,064
AAA Aaa 35,955 Wisconsin State Health and Educational Facilities Authority Revenue Bonds (Aurora
Health Care), 5.25% due 8/15/2023(e) 34,292
Total Investments (Cost--$2,851,010)--100.2% $3,162,849
Liabilities in Excess of Other Assets--(0.2%) (6,289)
----------
Net Assets--100.0% $3,156,560
==========
<FN>
(a) Prerefunded.
(b) AMBAC Insured.
(c) Escrowed to maturity.
(d) The interest rate is subject to change periodically and inversely based upon
the prevailing market rate. The interest rate shown is the rate in effect at
December 31, 1993.
(e) MBIA Insured.
(f) The interest rate is subject to change periodically based upon the prevailing
market rate. The interest rate shown is the rate in effect at December 31, 1993.
(g) BIG Insured.
(h) FGIC Insured.
(i) FSA Insured.
(j) Principal only securities are traded on a discount basis and are amortized
to maturity.
(k) Represents the yield to maturity.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in Thousands)
<CAPTION>
Municipal Bonds National Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Alaska--1.1%
A- A $ 885 Alaska Industrial Development and Exposition Authority, Revolving Fund Revenue
Bonds, AMT, Series A, 7.95% due 4/01/2010 $ 1,017
Valdez, Alaska, Marine Term Revenue Refunding Bonds:
AA- A1 5,000 (BP Pipeline), Series B, 7% due 12/01/2025 5,551
AA- A1 11,250 (Sohio Pipeline), 7.125% due 12/01/2025 12,645
Arizona--2.6%
A1+ P1 600 Maricopa County, Arizona, Pollution Control Corporation, PCR (Arizona Public
Service), VRDN, 2.95% due 12/01/2009(a) 600
Phoenix, Arizona, Civic Improvement Corporation, Wastewater Systems Lease Revenue Bonds:
A A1 13,730 Refunding, 5% due 7/01/2018 13,060
A A1 6,930 Refunding, 4.75% due 7/01/2023 6,336
A UR* 4,000 6.125% due 7/01/2023(k) 4,564
AA P1 300 Pinal County, Arizona, IDA, PCR (Newmont Mining Corporation), VRDN, 4% due 12/01/2009(a) 300
AA Aa 24,700 Salt River Project, Arizona, Agricultural Improvement and Power District, Electric
System Revenue Bonds, STRIPES, 6.972% due 1/01/2011(a) 23,311
California--3.3%
A+ Aa 8,300 California State, GO, 4.75% due 09/01/2023 7,438
A Aaa 21,950 California State Public Works Board, Lease Revenue Bonds (Various University of
California Projects), Series A, 6.60% due 12/01/2002(k) 25,784
NR NR 4,000 Long Beach California, GO, Special Tax Community Facilities, District No. 3,
6.375% due 9/01/2023 3,924
Los Angeles, California, Department of Water and Power, Electric Plant Revenue Bonds
Second Issue:
AA Aa 5,000 4.75% due 10/15/2020 4,568
AA Aa 10,000 Crossover, Refunding, 4.75% due 11/15/2019(m) 9,151
SP1+ MIG1++ 3,600 Los Angeles County, California, TRAN, Series A, 3% due 6/30/1994 3,617
NR NR 5,000 Pleasanton, California, Joint Powers Financing Authority, Revenue Reassesment Bonds,
Sub-Series B, 6.75% due 9/02/2017 5,196
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds National Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Colorado--0.2%
A NR $ 500 Adams County, Colorado, School District No. 1 Refunding Bonds, UT, 5.25% due 6/01/2017 $ 493
Boulder County, Colorado, Hospital Revenue Refunding Bonds (Longmont United Hospital
Project):
BBB+ Baa1 2,000 5.80% due 12/01/2013 1,998
BBB+ Baa1 1,000 5.875% due 12/01/2020 1,000
AAA MIG1++ 700 Northglenn, Colorado, Industrial Development, Revenue Refunding Bonds (Castle
Gardens), VRDN, 2.90% due 1/01/2009(a) 700
Connecticut--1.1%
AA- Aa 4,900 Connecticut State, GO Refunding, UT, Series B, 5.50% due 3/15/2012 5,118
A NR 750 Connecticut State Health and Educational Facilities Authority Revenue Bonds (Taft
School Issue), Series B, 5.40% due 7/01/2020 743
AA Aa 5,000 Connecticut State, HFA, Housing Mortgage Finance Program, Series B, 6.30% due 5/15/2024 5,235
AA- A 6,550 Connecticut State Resource Recovery Authority Revenue Bonds (American Refuse Fuel),
AMT, Series A, 8% due 11/15/2015 7,606
AA- A1 1,000 Connecticut State Special Tax Obligation Revenue Bonds (Transportation
Infrastructure), Series C, 5% due 10/01/2013 979
A NR 1,000 Eastern Connecticut Resource Recovery Authority, Solid Waste Disposal Revenue Bonds
(Wheelabrator Lisbon Project), AMT, Series A, 5.50% due 1/01/2020 948
Delaware--0.5%
BBB NR 7,500 Delaware State Health Facilities Authority Revenue Bonds (Beebe Medical Center
Project), 8.50% due 6/01/2016 8,724
District of Columbia--0.2%
AA- A1 3,750 District of Columbia Revenue Bonds, RIB (Georgetown University),
9.972% due 4/01/2022(n) 4,294
Florida--4.4%
AA Aaa 10,650 Florida HFA, Home Ownership Revenue Bonds, AMT, Series G1, 7.90% due 3/01/2022(g) 11,602
AA UR* 22,500 Florida State Board of Education, Capital Outlay, Registered RI-TR, Series 93-18,
7.395% due 6/01/2009(a) 22,134
AA Aa 7,400 Florida State, GO, Board of Education, ACES, Series 1993-R, 2.75% due 6/01/2003(a) 7,400
AA Aa 15,000 Florida State, GO, Refunding, Board of Education, Capital Outlay (Public Education),
UT, Series D, 5% due 6/01/2015 14,446
AA- Aa2 5,000 Hillborough County, Florida, IDA, PCR, Refunding (Tampa Electric Company Project),
Series 1991, 7.875% due 8/01/2021 6,019
AA Aa1 10,000 Jacksonville, Florida, Electric Authority Revenue Bonds, Registered RI-TR,
7.670% due 10/01/2009(a) 10,463
AAA UR* 2,700 Leesburg, Florida, Hospital Revenue Capital Improvement Bonds (Leesburg Regional
Medical Center Project), Series 1991-A, 7.50% due 7/01/2002(k) 3,289
AAA NR 4,990 Orange County, Florida, HFA, Mortgage Revenue Bonds, AMT, Series A,
8.375% due 3/01/2021(g) 5,322
<PAGE>
Georgia--1.2%
AA- Aa 24,855 Atlanta, Georgia, Water and Sewer Revenue Refunding Bonds, 4.75% due 1/01/2023 22,585
Hawaii--0.4%
AA Aa 8,010 State of Hawaii GO, ACES, Series 1993-P, 2.75% due 11/01/2012(a) 8,010
Idaho--0.1%
AA NR 2,775 Idaho Housing Agency, S/F Mortgage Revenue Bonds, AMT, Series E, 7.875% due 7/01/2024 3,060
Illinois--4.7%
AA- Aa3 8,000 Chicago, Illinois, Gas Supply Revenue Bonds (People's Gas Light & Coke Company
Project), AMT, Series A, 8.10% due 5/01/2020 9,574
Chicago, Illinois, O'Hare International Airport, Special Facilities Revenue Bonds
(United Airlines):
BB Baa2 4,945 AMT, Series B, 8.95% due 5/01/2018 5,842
BB Baa2 14,525 Series 1984-B, 8.85% due 5/01/2018 17,215
AAA Aaa 5,015 Chicago, Illinois, Public Building Commission Building Revenue Bonds (Community
College District No. 508), Series B, 8.75% due 1/01/2007(d)(i) 6,056
A+ A1 3,400 Chicago, Illinois, Water Revenue Bonds, 7.20% due 11/15/1999(k) 3,983
BBB NR 3,000 Illinois Educational Facilities Authority Revenue Refunding Bonds (Columbia College),
6.875% due 12/01/2017 3,223
AAA Aaa 5,000 Illinois Health Facilities Authority Revenue Bonds, INFLOS (Saint Luke's Medical
Center), 10.588% due 10/01/2024(f)(n) 6,031
AAA Aaa 1,500 Illinois Health Facilities Authority Revenue Bonds, RIB (Methodist Health Project),
10.937% due 8/01/2021(c)(n) 1,806
A+ A1 5,905 Illinois Health Facilities Authority, Revenue Refunding Bonds (OSF Healthcare
Systems), 6% due 11/15/2023 5,954
NR Aa 5,760 Illinois Housing Development Authority, Residential Mortgage Revenue Bonds, RIB,
AMT, 10.607% due 2/01/2018(n) 6,516
Metropolitan Pier and Exposition Authority, Illinois, Dedicated State Tax Revenue
Bonds (McCormick Place Expansion Project), Series A:
AAA Aaa 18,595 5.75% due 6/15/2015(e)(j)(l) 5,648
AAA Aaa 26,250 5.75% due 6/15/2016(e)(j)(l) 7,542
A+ A 2,000 6.50% due 6/15/2022 2,145
NR A1 4,000 Southwestern Illinois, Development Authority, Sewer Facilities Revenue Bonds
(Monsanto Company Project), AMT, 7.30% due 7/15/2015 4,560
Indiana--0.7%
NR Baa1 3,500 Indiana Health Facilities Financing Authority, Hospital Revenue Bonds (Riverview
Hospital Project), 6.875% due 8/01/2017 3,760
A+ A1 2,000 Indiana Transportation Finance Authority, Highway Revenue Bonds, Series A,
7.25% due 6/01/2015 2,457
A+ NR 5,000 Indianapolis, Indiana, Local Public Improvement Refunding Bond Bank, Series D,
6.75% due 2/01/2020 5,431
NR Aa 1,500 Marion County, Indiana, Hospital Authority, Hospital Facility Revenue Bonds
(Daughters of Charity--Saint Vincent's Hospital Project), 10.125% due 11/01/2015 1,690
Iowa--0.6%
NR NR 9,000 Iowa Financing Authority, Health Care Facilities Revenue Bonds (Mercy Health
Initiatives Project), 9.95% due 7/01/2019 9,537
NR A1+ 700 Iowa Financing Authority Revenue Bonds (Cedar River Paper Co.), 4% due 7/01/2023(a) 700
<PAGE>
Kentucky--0.8%
Owensboro, Kentucky, Electric Light and Power Revenue Bonds, Series B(c)(j)(l):
AAA Aaa 6,100 5.72% due 1/01/2011 2,466
AAA Aaa 6,475 5.75% due 1/01/2012 2,460
AAA Aaa 2,750 5.75% due 1/01/2013 983
Trimble County, Kentucky, PCR (Louisville Gas and Electric Company), AMT, Series A:
AA Aa2 1,405 7.625% due 11/01/2000(k) 1,701
AA Aa2 6,345 7.625% due 11/01/2020 7,365
Louisiana--2.7%
NR Ba1 26,000 Lake Charles, Louisiana, Harbor and Terminal District Port Facilities, Revenue
Refunding Bonds (Trunkline Lining Company Project), 7.75% due 8/15/2022 29,589
BB- NR 3,000 Port New Orleans, Louisiana, Industrial Development Revenue Refunding Bonds
(Continental Grain Company Project), 7.50% due 7/01/2013 3,185
NR Baa3 9,000 Saint Charles Parish of Louisiana, PCR (Louisiana Power and Light Project),
8.25% due 6/01/2014 10,546
West Feliciana Parish of Louisiana, PCR (Gulf States Utilities):
BBB- NR 750 Series I, 7.70% due 12/01/2014 856
BBB- NR 5,000 Series II, 7.70% due 12/01/2014 5,722
Maryland--0.8%
NR Aa 350 Maryland State Community Development Administration, M/F Housing Revenue Refunding
Bonds, Insured Mortgage (Department Housing and Community Development), Series H,
5.60% due 5/15/2026 351
AA- Aa 2,400 Maryland State Health and Higher Educational Facilities Authority, Revenue Refunding Bonds
(The John Hopkins Medical Center), 5% due 7/01/2023 2,279
AA- Aa 7,000 Maryland State Stadium Authority, Sports Facilities Lease Revenue Bonds, AMT,
Series D, 7.60% due 12/15/2019 8,071
AAA Aaa 1,500 Montgomery County, Maryland, Consolidated Public Improvement Refunding Bonds, UT,
Series A, 5% due 10/01/2010 1,501
NR Baa 2,850 Prince Georges County, Maryland, Hospital Revenue Bonds (Greater Southeast Healthcare
Systems), 6.375% due 1/01/2023 2,903
NR NR 300 Prince Georges County, Maryland, Housing Authority, Mortgage Revenue Bonds
(Laurel-Oxford), VRDN, 3.125% due 10/01/2007(a) 300
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds National Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Massachusetts--10.4%
NR NR $ 4,650 Beverly, Massachusetts, BAN, 3.23% due 3/30/1994 $ 4,657
Massachusets Bay Transportation Authority, GO(k):
A+ Aaa 5,550 Series A, 7.625% due 3/01/2000 6,645
A+ Aaa 30,450 Series B, 7.80% due 3/01/2001 37,240
AAA Aaa 6,000 Series B, 7.875% due 3/01/2001 7,407
A+ A 4,000 Massachusetts Bay Transportation Authority, GO, Refunding, Series B,
6.20% due 3/01/2016 4,483
SP1 MIG2 4,600 Massachusetts Bay Transportation Authority Notes, Series B, 3.25% due 9/30/1994 4,632
A+ A 20,000 Massachusetts State, GO, Consolidated Loans, UT, Series B, 9.25% due 7/01/2000 25,510
SP1+ VMG1 300 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(Capital Assets Program), VRDN, Series D, 2.85% due 1/01/2035(a)(f) 300
Massachusetts State, Health and Educational Facilities Authority Revenue Bonds:
A- NR 4,250 (Jordan Hospital), Series C, 6.875% due 10/01/2022 4,585
NR NR 9,600 (North Adams Regional Hospital), Series A, 9.625% due 7/01/2018 10,712
NR Baa 12,350 Massachusetts State Health and Educational Facilities Authority Revenue Refunding
Bonds (New England Memorial Hospital), Series B, 6.25% due 7/01/2023 12,360
AAA Aaa 1,750 Massachusetts State, HFA, Residential Development Bonds, Series C,
6.875% due 11/15/2011(g) 1,893
A1+ VMG1 1,500 Massachusetts State Industrial Finance Agency, Resource Recovery Revenue Refunding
Bonds (OGDEN Haverhill Project), Series A, VRDN, 2.90% due 12/01/2006(a) 1,500
A+ A1 13,750 Massachusetts State Turnpike Authority, Turnpike Revenue Refunding Bonds,
Series A, 5% due 1/01/2020 13,078
Massachusetts State Water Resources Authority, GO, Refunding, Series B:
A A 7,500 5.25% due 3/01/2013 7,279
A A 13,000 5% due 3/01/2022 12,038
Massachusetts State Water Resources Authority, GO, Series A:
A A 24,405 6% due 4/01/2020 24,898
A A 6,985 5.75% due 12/01/2021 7,060
Springfield, Massachusetts, RAN:
NR NR 1,000 3.25% due 2/04/1994 1,000
NR NR 4,500 3.30% due 2/04/1994 4,503
<PAGE>
Michigan--5.7%
BBB Baa1 13,000 Dickinson County, Michigan, Economic Development Corporation, PCR, Refunding
(Champion International Corporation Project), 5.85% due 10/01/2018 13,035
A+ A 1,000 Marquette, Michigan, City Hospital Finance Authority, Hospital Revenue Refunding
Bonds (Marquette General Hospital), Series C, 7.50% due 4/01/2019 1,122
Michigan State, Building Authority Revenue Bonds:
AA- A 3,000 Refunding, Series I, 6.25% due 10/01/2020 3,247
AA- A 14,000 Series II, 6.25% due 10/01/2020 15,152
Michigan State Hospital Finance Authority, Hospital Revenue Bonds (Detroit
Medical Center):
A- A 3,500 Refunding, Obligation Group, Series A, 7.50% due 8/15/2011 4,041
A- A 19,585 Refunding, Series B, 5.75% due 8/15/2012 19,538
A- A 10,000 Refunding, Series B, 5.50% due 8/15/2023 9,476
A- A 6,500 Series A, 6.50% due 8/15/2018 6,994
AAA Aaa 7,365 Michigan State Trunk Line, GO, Series A, 5.67% due 10/01/2012(c)(j)(l) 2,687
BBB Baa1 9,350 Monroe County, Michigan, PCR (Detroit Edison Project), AMT, Series A,
7.75% due 12/01/2019 10,706
Royal Oaks, Michigan, Hospital Financing Authority, Hospital Revenue Refunding Bonds
(William Beaumont Hospital), Series G:
AA Aa 3,250 5.50% due 11/15/2013 3,230
AA Aa 12,000 5.25% due 11/15/2019 11,389
West Ottowa, Michigan, Public School District, Revenue Refunding Bonds, UT(e)(j)(l):
AAA Aaa 5,275 5.85% due 5/01/2016 1,553
AAA Aaa 5,755 5.85% due 5/01/2017 1,601
Minnesota--2.3%
AA+ NR 6,270 Minnesota State, HFA, S/F Mortgage Bonds, AMT, Series A, 7.45% due 7/01/2022(b) 6,881
Saint Paul, Minnesota, Housing and Redevelopment Authority, Hospital Revenue Bonds
(Healtheast Project):
BBB- Baa 13,460 Series A, 9.75% due 11/01/2017 16,126
BBB- Baa 3,345 Series B, 9.625% due 11/01/2008 3,877
BBB- Baa 965 Series C, 9.75% due 11/01/2017 1,156
AAA NR 9,255 Saint Paul, Minnesota, Housing and Redevelopment Authority, S/F Mortgage Revenue
Refunding Bonds, Series C, 6.95% due 12/01/2031(g) 9,950
A+ A1 4,250 Southern Minnesota, Municipal Power Agency, Power Supply Systems, Revenue Refunding
Bonds, Series A, 4.75% due 1/01/2016 3,980
Mississippi--2.4%
NR NR 23,535 Claiborne County, Mississippi, PCR (Middle South Energy, Inc.),
Series C, 9.875% due 12/01/2014 28,952
BBB Baa 5,950 Lowndes County, Mississippi, Hospital Revenue Refunding Bonds (Golden Triangle
Medical Center), 8.50% due 2/01/2010 6,914
Medical Center Educational Building Corporation, Mississippi, Revenue Bonds
(University of Mississippi Medical Center Project):
A- NR 1,000 5.625% due 12/01/2009 1,001
A- NR 1,500 5.80% due 12/01/2014 1,505
A- NR 5,000 5.90% due 12/01/2023 5,018
Missouri--1.0%
BBB+ NR 4,000 Independence, Missouri, IDA, Health Facilities Revenue Refunding and Improvement
Bonds (Independence Registered Health), 6.375% due 11/15/2018 4,136
NR Baa1 6,150 Missouri State Health and Educational Facilities Authority, Health Facilities Revenue
Refunding Bonds (Jefferson Memorial Hospital Association Project), 6% due 8/15/2023 6,107
A+ A1 4,000 Missouri State Regional Convention and Sports Complex Authority Refunding Bonds,
Series A, 5.60% due 8/15/2017 3,987
BBB+ A 4,760 St. Louis County, Missouri, Regional Convention and Sports Complex Authority
Refunding Bonds, Series B, 5.75% due 8/15/2021 4,721
<PAGE>
Missouri & Illinois--0.9%
BBB+ NR 11,400 Bi-State Development Agency, Missouri and Illinois, Revenue Bonds (American
Commonwealth), No. 5, 7.75% due 6/01/2010 12,899
BBB- NR 3,625 Joplin, Missouri, IDA, Hospital Facilities Revenue Refunding and Improvement Bonds
(Tri-State Osteopathic), 8.25% due 12/15/2014 4,168
Montana--0.3%
BBB+ Baa1 5,000 Forsyth, Montana, PCR, Refunding (The Montana Power Company), Series B,
5.90% due 12/01/2023 5,029
Nebraska--0.6%
AAA Aaa 6,100 Nebraska Investment Finance Authority, S/F Mortgage Revenue Bonds, AMT, RIB,
10.877% due 9/10/2030(g)(n) 7,114
AA Aa 3,000 Omaha Public Power District, Nebraska, Electric Revenue Bonds, Series C,
5.50% due 2/01/2017 3,025
New Hampshire--1.3%
NR Baa1 7,065 New Hampshire Higher Educational and Health Facilities Authority Revenue Bonds
(Saint Anselm College), 6.375% due 7/01/2023 7,402
A+ Aa 3,520 New Hampshire State, HFA, S/F Residential Mortgage Bonds, AMT, 7.90% due 7/01/2022 3,832
New Hampshire State, IDA, PCR (Public Service Co. of New Hampshire Project), AMT:
BBB- Baa3 4,850 Series A, 7.65% due 5/01/2021 5,458
BBB- Baa3 6,500 Series C, 7.65% due 5/01/2021 7,315
New Jersey--1.0%
NR NR 6,700 New Jersey Health Care Facilities, Financing Authority Revenue Bonds (Riverwood
Center Issue), Series A, 9.90% due 7/01/2021 7,547
AA A 9,500 University of Medicine and Dentistry of New Jersey, Revenue Bonds, Series C,
7.20% due 12/01/2019 10,837
New Mexico--1.2%
NR Aaa 7,540 Chaves County, New Mexico, Hospital Revenue Bonds (Eastern New Mexico Medical Center
Project), 8.625% due 12/01/1999(k) 9,283
BB Ba2 12,000 Farmington, New Mexico, PCR, Refunding (Public Service Company, San Juan Project),
Series A, 6.40% due 8/15/2023 12,235
New York and New Jersey--0.9%
Port Authority of New York and New Jersey, Consolidated Refunding Bonds:
AA- A1 4,265 87th Series, 5.20% due 7/15/2012 4,265
AA- A1 3,705 87th Series, 5.25% due 7/15/2014 3,700
AA- A1 8,000 91st Series, 5.20% due 11/15/2016 7,926
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds National Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
New York--14.9%
Metropolitan Transportation Authority, New York, Service Contract Revenue
Refunding Bonds (Commuter Facilities), Series 5:
BBB Baa1 $ 2,145 6.90% due 7/01/2006 $ 2,441
BBB Baa1 5,000 7% due 7/01/2012 5,722
New York City, New York, GO, UT:
A- Baa1 3,600 Series A, 7.75% due 8/15/2016 4,233
A- Baa1 4,065 Series A, 7.75% due 8/15/2017 4,779
A- Baa1 1,450 Series A, 8% due 8/15/2018 1,737
A- Baa1 5,375 Series B, 8.25% due 6/01/2006 6,703
A- Baa1 2,700 Series B, 8.25% due 6/01/2007 3,389
A- Baa1 10,000 Series B, 7.75% due 2/01/2011 11,720
A- Baa1 4,500 Series B, 7.75% due 2/01/2012 5,274
A- Baa1 2,875 Series B, 7.75% due 2/01/2013 3,370
A- Baa1 1,650 Series B, 7.75% due 2/01/2014 1,934
A- Baa1 750 Series B, 7.75% due 2/01/2015 879
A- Baa1 2,000 Series D, 7.70% due 2/01/2011 2,338
A- Baa1 3,575 Series D, 8% due 8/01/2015 4,279
A- Baa1 55 Series D, 8% due 8/01/2018 66
A- Baa1 150 Series D, 8% due 8/01/2019 180
A- Aaa 1,085 Series F, 8.25% due 11/15/2019(k) 1,381
A- Baa1 65 Series F, 8.25% due 11/15/2019 80
A- Aaa 5,495 Series F, 8.25% due 11/15/2020(k) 6,993
A- Baa1 330 Series F, 8.25% due 11/15/2020 403
New York City, New York, GO, VRDN(a):
A1+ VMG1 500 Series B, 3.20% due 10/01/2021(e) 500
A1+ VMG1 4,150 Sub-Series A-7, 4.75% due 8/01/2021 4,150
BBB Baa 10,750 New York City, New York, Health and Hospital Authority, Local Government Revenue
Refunding Bonds, Series A, 6.30% due 2/15/2020 11,052
New York State Dormitory Authority Revenue Bonds (City University Systems), Series A:
BBB Baa1 10,000 Consolidated, 2nd General, Series A, 5.75% due 7/01/2013 10,260
BBB UR* 8,650 Consolidated, Series A, 7.625% due 7/01/2000(k) 10,481
BBB Baa1 19,430 Consolidated, Series A, 5.75% due 7/01/2009 20,035
BBB Baa1 4,900 Crossover, Refunding, Series E, 5.75% due 7/01/2011 5,036
BBB Baa1 11,450 Series F, 5% due 7/01/2020 10,463
<PAGE>
New York State Dormitory Authority Revenue Bonds (State University Educational
Facilities):
BBB+ Baa1 7,500 Refunding, Series A, 5.50% due 5/15/2010 7,516
BBB+ Baa1 5,000 Refunding, Series A, 5.875% due 5/15/2011 5,208
BBB+ Baa1 5,725 Refunding, Series A, 5.50% due 5/15/2013 5,718
BBB+ Baa1 4,000 Refunding, Series A, 5.50% due 5/15/2019 3,962
BBB+ Baa1 15,000 Refunding, Series B, 7.375% due 5/15/2000(k) 14,583
BBB+ Baa1 4,875 Refunding, Series B, 7.375% due 5/15/2014(j) 5,808
BBB+ Baa1 5,085 Refunding, Series B, 7.375% due 5/15/2014 5,871
BBB+ Baa1 5,000 Series A, 7.50% due 5/15/2013 6,182
BB+ Baa3 5,000 New York State Energy Research and Development Authority, Electrical Facilities
Revenue Bonds (Long Island Lighting Co.), AMT, Series A, 7.15% due 12/01/2020 5,434
A1+ NR 200 New York State Environmental Facilities Corporation, Resource Recovery Revenue Bonds
(OFS Equity Huntington Project), AMT, VRDN, 3.80% due 11/01/2014(a) 200
NR VMG1 600 New York State Job Development Authority, State Guaranteed Special Purpose Bonds,
Series A-1 thru A-25, VRDN, 4.75% due 3/01/2007(a) 600
New York State Local Government Assistance Corporation:
A A 13,700 Refunding, Series E, 6% due 4/01/2014 14,792
A A 6,000 Series A, 7% due 4/01/2012 6,882
A Aaa 4,000 Series B, 7.375% due 4/01/2001(k) 4,819
AAA Aaa 6,000 Series B, 7.50% due 4/01/2001(k) 7,276
A Aaa 12,275 Series D, 7% due 4/01/2002(k) 14,638
A A 5,000 Series D, 5.375% due 4/01/2014 4,948
A A1 5,380 New York State Thruway Authority, GO, Series A, 5.75% due 1/01/2019 5,549
BBB Baa1 6,000 New York State Urban Development Corporation Revenue Bonds (Correctional Capital
Facilities), Series 1, 7.75% due 1/01/2000(k) 7,181
A+ Aa 6,075 Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Refunding
Bonds, Series Q, 6.75% due 1/01/2009 7,145
North Carolina--0.9%
A A 17,000 North Carolina Municipal Power Agency, Electric Revenue Refunding Bonds (Catawba
Electric Project No. 1), 5% due 1/01/2015 16,172
NR P1 200 Wake County, North Carolina, Industrial Facilities and Pollution Control Financing
Authority Revenue Bonds (Carolina Power and Light Company Project), AMT, DATES,
4.40% due 3/01/2017(a) 200
Ohio--2.4%
NR VMG1 100 Cuyahoga County, Ohio, Hospital Revenue and Improvement Bonds (University Hospital
of Cleveland), VRDN, 4% due 1/01/2016(a) 100
A A1 3,610 Cuyahoga County, Ohio, Hospital Revenue Bonds (Meridia Health Systems),
7.25% due 8/15/2019 4,050
NR VMG1 200 Franklin County, Ohio, Health Systems Revenue Bonds (Franciscan Sisters--Saint Anthony
Medical Center), Series B, VRDN, 4% due 7/01/2015(a) 200
NR NR 3,000 Greene County, Ohio, Certificates of Indebtedness, 2.98% due 7/20/1994 3,013
Ohio HFA, S/F Mortgage Revenue Bonds, AMT(g):
AAA NR 3,500 Series B, 8.25% due 12/15/2019 3,651
AAA NR 4,955 Series C, 7.85% due 9/01/2021 5,241
AAA Aaa 11,100 Ohio HFA, S/F Mortgage Revenue Bonds, RIB, AMT, Series B-4, 10.906% due 3/31/2031(g)(n) 12,709
BBB- Baa2 15,000 Ohio State Air Quality Development Authority, PCR, Refunding (Ohio Edison),
Series A, 5.95% due 5/15/2029 14,976
Oklahoma--0.1%
NR NR 1,945 Oklahoma State Turnpike Authority, Turnpike Revenue Bonds, First Series,
7.875% due 1/01/1999(k) 2,307
<PAGE>
Oregon--0.4%
A+ A 600 Gresham, Oregon, Water Revenue Refunding Bonds, Series B, 5.30% due 11/01/2015 607
A- NR 700 Keizer, Oregon, Urban Renewal Agency, Tax Increment Revenue Bonds (North River
Road Economic Development Area), AMT, 5.60% due 7/01/2013 700
NR Aa 2,040 Lane County, Oregon, School District No. 4, GO, Refunding, Eugene, UT, Series A,
5.375% due 7/01/2013 2,159
AA- NR 700 Multnomah County, Oregon, School District No. 040, GO, UT, 5.625% due 6/01/2012 742
AA- Aa 1,200 Oregon State, PCR, UT, Series C, 5.625% due 6/01/2013 1,271
AAA Aaa 1,200 Polk County, Oregon, School District No. 002, GO, UT, 5.40% due 6/01/2012(h) 1,242
AAA Aaa 700 Yamhill County, Oregon, School District No. 029J, GO, UT, 5.50% due 6/01/2010(h) 731
Pennsylvania--4.6%
NR A 8,000 Allegheny County, Pennsylvania, Hospital Development Authority, Revenue Refunding
Bonds (South Hills Health), 6% due 5/01/2020 8,151
BB+ Baa3 15,650 Beaver County, Pennsylvania, IDA, PCR, Refunding (Ohio Edison Project), Series A,
7.75% due 9/01/2024 17,290
A1 NR 500 Erie County, Pennsylvania, IDA, Revenue Bonds (McInnes Steel Co.), AMT, VRDN,
4.50% due 11/01/2001(a) 500
BBB NR 5,000 Montgomery County, Pennsylvania, Higher Education and Health Authority, Hospital
Revenue Bonds (Jeanes Health System Project), 8.75% due 7/01/2000(k) 6,342
AA Aa 8,800 Pennsylvania, HFA, Revenue Refunding Bonds, RIB, AMT, Series 1991-31C, 11.364%
due 10/01/2023(n) 10,043
AAA Aaa 10,000 Pennsylvania State Higher Educational Assistance Agency, Student Loan Revenue Bonds,
RIB, AMT, 10.474% due 9/03/2026(c)(n) 11,550
SP1+ MIG1++ 2,700 Pennsylvania State, TAN, UT, First Series, 3.25% due 6/30/1994 2,716
BBB+ Baa1 5,400 Philadelphia, Pennsylvania, Hospital and Higher Educational Facilities Authority
Revenue Bonds (Graduate Health Systems), Series A, 6.25% due 7/01/2013 5,462
BBB Baa 7,335 Philadelphia, Pennsylvania, Water and Wastewater Revenue Refunding Bonds,
5.75% due 6/15/2013 7,326
AAA Aaa 4,800 Pittsburgh, Pennsylvania, Water and Sewer Authority, Water and Sewer Systems Revenue
Refunding Bonds, Series A, 6.75% due 9/01/2001(e)(k) 5,623
BBB Baa 5,650 Ridley Park, Pennsylvania, Hospital Authority, Revenue Refunding Bonds (Taylor
Hospital), Series A, 6.125% due 12/01/2020 5,602
AAA Aaa 2,500 York County, Pennsylvania, Hospital Authority Revenue Bonds (York Hospital),
7% due 1/01/2001(c)(k) 2,926
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in Thousands)
<CAPTION>
Municipal Bonds National Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Puerto Rico--0.1%
NR Aaa $ 2,000 Puerto Rico, Industrial, Medical and Environmental Pollution Control Facilities,
Financing Authority Revenue Bonds, Series A, 5.10% due 12/01/2018 $ 1,972
Rhode Island--2.1%
Rhode Island Depositors Economic Protection Corporation, Special Obligation Bonds,
Series A:
A- Baa1 30,000 Refunding, 6.25% due 8/01/2016 32,520
A- NR 5,250 6.95% due 8/01/2002(k) 6,245
South Carolina--0.9%
BBB- Baa 8,355 South Carolina Jobs, EDA, Economic Development Revenue Bonds (Saint Francis Hospital--
Franciscan Sisters), 7% due 7/01/2015 8,872
A+ A1 8,750 South Carolina State, Public Service Authority, Revenue Refunding Bonds, Series C,
5.125% due 1/01/2021 8,327
Tennessee--0.6%
A1+ NR 900 Bradley County, Tennessee, Industrial Development Board, Industrial Revenue Refunding
Bonds (OLIN Corporation Project), Series C, VRDN, 3.85% due 11/01/2017(a) 900
NR NR 10,000 Knox County, Tennessee, Health, Educational and Housing Facilities Board, Hospital
Facilities Revenue Bonds (Baptist Health System of East Tennessee), 8.60% due 4/15/2016 10,964
Texas--12.7%
AAA Aaa 8,750 Austin, Texas, Utility System Revenue Combined Bonds, Prior Lien, Series A, 9.50%
due 5/15/2000(k) 11,265
A- NR 13,500 Brazos County, Texas, Health Facility Development Corporation, Franciscan Services
Corporation, Revenue Refunding Bonds (Saint Joseph Hospital and Health Center),
Series B, 6% due 1/01/2013 13,673
Brazos River Authority, Texas, PCR (Texas Utilities Electric Company Project),
AMT, Series A:
BBB Baa2 4,295 8.25% due 1/01/2019 4,938
BBB Baa2 18,150 7.875% due 3/01/2021 21,036
A A2 12,350 Brazos River Authority, Texas, Revenue Refunding Bonds (Houston Light and Power),
Series 1989-A, 7.625% due 5/01/2019 13,984
BB Ba1 4,170 Dallas-Fort Worth, Texas, International Airport Facilities Improvement Corporation,
Revenue Refunding Bonds (Delta Airlines, Inc.), 6.25% due 11/01/2013 4,132
Dallas, Texas, Waterworks and Sewer Systems Revenue Refunding and Improvement Bonds,
Series A:
AA Aa 2,195 4% due 10/01/2012 1,858
AA Aa 2,320 4% due 10/01/2013 1,946
BBB Baa1 5,000 Gulf Coast Waste Disposal Authority, Texas, Revenue Bonds (Champion International
Corporation), AMT, 7.45% due 5/01/2026 5,615
Harris County, Texas, Certificates of Obligation, Tax and Revenue Bonds:
AA+ Aa 2,400 10% due 10/01/2000 3,204
<PAGE>
AA+ Aa 2,400 10% due 10/01/2001 3,282
A1+ VMG1 100 Harris County, Texas, Health Facilities Development Corporation, Special Facilities
Revenue Bonds (Texas Medical Center Project), VRDN, 4% due 2/15/2022(a)(f) 100
A1+ NR 500 Houston, Texas, Health Facilities Development Corporation, Hospital Revenue Bonds
(Methodist Hospital Project), VRDN, 4.50% due 12/01/2014(a) 500
Houston, Texas, Water and Sewer Systems Revenue Refunding Bonds (Jr. Lien),
Series C(c)(j)(l):
AAA Aaa 3,500 5.80% due 12/01/2009 1,499
AAA Aaa 5,000 5.80% due 12/01/2010 2,043
BBB- Baa 8,335 Jefferson County, Texas, Health Facilities Development Corporation, Hospital Revenue
Bonds (Baptist Healthcare Systems Project), 8.875% due 6/01/2021 9,886
Lower Colorado River Authority, Texas, Revenue Bonds (Junior Lien 4th):
A+ A1 13,080 5.25% due 1/01/2015 12,691
A+ A1 19,410 5.25% due 1/01/2015(i) 19,288
AA Aa 12,000 North Central Texas, Health Facilities Development Corporation Revenue Bonds,
INFLOS (Baylor University Medical Center), Series A, 10.891% due 5/15/2016(n) 14,460
NR P1 450 Port Arthur, Texas, Navigation District Industrial Development Corporation,
PCR (American Petrofina Inc.), VRDN, 3.80% due 5/01/2003(a) 450
AAA Aaa 13,685 Round Rock, Texas, Independent School District and School Building Refunding Bonds,
Capital Appreciation, UT, 5.80% due 8/15/2011(f)(j)(l) 5,351
AA Aa1 15,000 San Antonio, Texas, Electric and Gas Revenue Refunding Bonds, 5% due 2/01/2017 14,365
San Antonio, Texas, Refunding and General Improvement Bonds:
AA Aa 2,535 4% due 8/01/2011 2,232
AA Aa 4,610 4% due 8/01/2012 4,041
AA Aa 4,885 4% due 8/01/2013 4,274
AA Aa 5,775 4% due 8/01/2014 4,997
A+ Aa 13,315 Texas Housing Agency, Residential Development Mortgage Revenue Bonds, Series A,
7.50% due 7/01/2015(g) 13,824
A- A 21,700 Texas National Research Laboratory, Community Financing Corporation, Lease Revenue
Bonds (Superconducting Super Collider Project), 7.10% due 12/01/2021 22,242
AA Aa 13,460 Texas State, GO, Series 1993-N, ACES, 2.75% due 10/01/2005(a) 13,460
BBB Baa2 2,000 West Side Calhoun County, Texas, Navigation District, Solid Waste Disposal Revenue
Bonds (Union Carbide Chemicals Project), AMT, 6.40% due 5/01/2023 2,077
Utah--0.3%
AA Aa 7,835 Intermountain Power Agency, Utah, Power Supply Revenue Bonds, Series B, Capital
Appreciation, 5.35% due 7/01/2004(j)(l) 4,660
AA Aa 5,000 Intermountain Power Agency, Utah, Power Supply Revenue Refunding Bonds, Capital
Appreciation, Series A, 5.81% due 7/01/2017(j)(l) 1,353
Virginia--1.2%
A+ Aa 5,250 Fairfax County, Virginia, Economic Development Authority, Resource Recovery Revenue
Bonds (Ogden Martin Systems Project), AMT, Series A, 7.75% due 2/01/2011 6,049
AAA Aaa 15,300 Fairfax County, Virginia, Registered Bonds, RIB, 7.265% due 5/01/2008(n) 16,122
<PAGE>
Washington--4.9%
AAA Aaa 14,000 Spokane, Washington, Regional Solid Waste Management System Revenue Bonds, Series B,
7.625% due 1/01/2011(c) 16,196
Washington State, GO, Series A:
AA Aa 14,465 4.875% due 10/01/2015 13,640
AA Aa 20,000 4.50% due 10/01/2018 17,606
AA Aa 8,200 Washington State Public Power Supply Systems Revenue Bonds (Nuclear Project #1),
INFLOS, 7.67% due 7/10/2012(n) 8,097
Washington State Public Power Supply Systems, Revenue Refunding Bonds (Nuclear
Project #2), Series A:
AA Aa 16,470 5.80% due 7/01/2007 17,224
AA Aa 6,195 5.75% due 7/01/2012 6,242
AA Aa 11,545 Washington State Public Power Supply Systems, Revenue Refunding Bonds (Nuclear
Project #3), Series C, 5.50% due 7/01/2018 11,317
Wisconsin--1.1%
AA Aa 3,380 Wisconsin, Housing and Economic Development Authority, Home Ownership Revenue Bonds,
AMT, Series C, 8.50% due 1/01/1994(k) 3,380
AAA Aaa 7,500 Wisconsin Public Power System Incorporated, Power Supply System Revenue Bonds,
Series A, 7.40% due 7/01/2000(c)(k) 8,977
AAA Aaa 6,000 Wisconsin State Health and Educational Facilities Authority Revenue Bonds (SSM
Health Care Projects), Series B, 7% due 6/01/2000(f)(k) 7,035
Total Investments (Cost--$1,713,019)--100.7% 1,849,278
Liabilities in Excess of Other Assets--(0.7%) (11,977)
----------
Net Assets--100.0% $1,837,301
==========
<FN>
(a) The interest rate is subject to change periodically based upon prevailing market rates.
The interest rates shown are those in effect at December 31, 1993.
(b) FHA Insured.
(c) AMBAC Insured.
(d) BIG Insured.
(e) FGIC Insured.
(f) MBIA Insured.
(g) GNMA/FNMA Collateralized.
(h) FSA Insured.
(i) Escrowed to Maturity.
(j) Represents the yield to maturity.
(k) Prerefunded.
(l) Principal only securities are traded on a discount basis and are amortized to maturity.
(m) Secured by 100% Directs Obligations; Escrowed to February 1, 1994.
(n) The interest rate is subject to change periodically and inversely based upon prevailing
market rates. The interest rates shown are the rates in effect at December 31, 1993.
*Under Review.
++Highest short-term rating by Moody's Investors Service, Inc.
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in Thousands)
<CAPTION>
Municipal Bonds Limited Maturity Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Alabama--0.7%
A- A3 $ 7,400 Mobile, Alabama, Industrial Development Board, Solid Waste Disposal Revenue Bonds
(International Paper Company Project), AMT, Series A, 3% due 3/01/1994 $ 7,408
Alaska--0.9%
Alaska State Housing Finance Corporation, GO, Series A:
A+ Aa 2,300 3.80% due 12/01/1994 2,308
A+ Aa 1,700 4.20% due 12/01/1995 1,715
AAA Aaa 5,000 Anchorage, Alaska, GO, Refunding Bonds, UT, 4.85% due 7/01/1995(d) 5,122
Arizona--0.9%
A+ A1 3,000 Maricopa County, Arizona, Transportation Board, Excise Tax Revenue Bonds,
7.10% due 7/01/1996 3,256
AAA NR 5,000 Phoenix, Arizona, Street and Highway Revenue Refunding Bonds, 7.50% due 7/01/1994(a) 5,231
Pinal County, Arizona, IDA, Pollution Control Revenue Bonds, VRDN(b):
AA P1 600 (Magma Copper/Newmont Mining Corp), VRDN, 4% due 12/01/2009 600
A1+ P1 300 (Newmont Project), DATES, VRDN, 4% due 12/01/2009 300
California--3.8%
SP-1 MIG1++ 14,900 California State, RAN, 3.50% due 6/28/1994 15,006
A+ Aa 10,000 California State Various Purpose Bonds, GO, 4% due 10/01/1995 10,148
AA Aa 5,005 California Statewide Communities Development Authority, Revenue Refunding Bonds,
COP (Saint Joseph Health Systems), 4.10% due 7/01/1997 5,087
SP1+ MIG1++ 2,200 Los Angeles County, California, TRAN, Series A, 3% due 6/30/1994 2,210
A+ A 4,290 Riverside County, California, Transportation Commission, Sales Tax Revenue Bonds,
Series A, 5.80% due 6/01/1994 4,347
San Diego County, California, Water Authority, Water Revenue Refunding Bonds,
COP, Series A:
AA- Aa 1,450 3.50% due 5/01/1994 1,454
AA- Aa 1,100 4.10% due 5/01/1995 1,111
Colorado--1.8%
NR A 5,000 Colorado Student Obligation Bond Authority, Student Loan Revenue Bonds, Series B,
5.10% due 12/01/1994 5,077
NR NR 10,000 Denver, Colorado, City and County Airport Revenue Bonds, Sub-series B,
4.25% due 9/01/1995 10,041
AA Baa1 3,810 Jefferson County, Colorado, School District No. R-001, Refunding Revenue Bonds,
Series A, 3.65% due 12/15/1996 3,842
<PAGE>
Connecticut--2.7%
Connecticut State Economic Recovery Notes, GO, Series A:
AA- Aa 4,200 5.25% due 12/15/1994 4,307
AA- Aa 3,900 5.40% due 12/15/1995 4,070
AA- Aa 6,705 Connecticut State, GO, Series B, 4.90% due 11/15/1995 6,924
NR Aa3 3,980 Connecticut State Housing Mortgage Revenue Bonds (Commissioner of Housing of the State
Acting as a Housing Authority of Chestnut Hill Apartments), 4.60% due 4/01/1997 4,022
Connecticut State Special Tax Obligation Revenue Bonds, Transportation Infrastructure:
A1+ VMG1 2,500 Second Lien, VRDN, 3.10% due 12/01/2010(b) 2,500
AA- A1 3,515 Series C, 4.40% due 10/01/1997 3,613
AAA Aaa 2,000 Stratford, Connecticut, GO, 3.50% due 11/01/1996(f) 2,008
Delaware--0.3%
Delaware Realty Transfer Tax Revenue Bonds (Land and Water Conservation Trust
Fund Program)(f):
AAA Aaa 1,500 5.10% due 4/01/1994 1,510
AAA Aaa 1,500 5.30% due 4/01/1995 1,538
District of Columbia--1.3%
District of Columbia, General Fund Recovery Bonds:
A1+ VMG1 500 Series B-3, VRDN, 4.75% due 6/01/2003(b) 500
AAA Aaa 11,000 Series C, UT, 5.50% due 6/01/1995(f) 11,326
AAA Aaa 1,465 District of Columbia, GO, Series B, UT, 5.30% due 6/01/1995(d) 1,504
Florida--4.9%
Dade County, Florida, Aviation Revenue Refunding Bonds, Series X:
A Aa 3,595 3.75% due 10/01/1994 3,626
A Aa 2,000 4.10% due 10/01/1995 2,031
A-1 VMG1 3,900 Dade County, Florida, Solid Waste IDR (Montenay-Dade Limited Project), VRDN,
Series A, 3.20% due 12/01/2013(b) 3,900
AAA Aaa 1,900 Dade County, Florida, Water System Revenue Refunding Bonds, 4% due 6/01/1995(f)(h) 1,926
Florida State Division Board of Finance, Department of General Service Revenue Bonds
(Department of Natural Resources Preservation 2000), Series A(c):
AAA Aaa 5,000 6.10% due 7/01/1994 5,092
AAA Aaa 5,000 6.10% due 7/01/1995 5,220
Florida State, GO, COP (Construction Equipment Financing Program):
A+ A 15,000 5.55% due 11/15/1994 15,337
A+ A 3,860 5.75% due 11/15/1995 3,965
Florida State Turnpike Authority, Turnpike Revenue Bonds, Series A(f):
AAA Aaa 2,000 5% due 7/01/1994 2,026
AAA Aaa 2,375 5% due 7/01/1995 2,441
AAA Aaa 4,000 Homestead, Florida, Special Insurance Assessment Revenue Bonds (Hurricane Andrew
Covered Claim), 4.20% due 3/01/1996(d) 4,057
NR VMG1 500 Sarasota County, Florida, Health Facility Authority, Hospital Revenue Bonds (Venice
Hospital Project), VRDN, ACES, 4.75% due 12/01/2022(b) 500
<PAGE>
Georgia--3.1%
A- A3 5,000 Crisp County, Georgia, Development Authority, Solid Waste Disposal Revenue Bonds
(International Paper Company), AMT, Series B, 3.35% due 9/01/1994 5,011
AA- A1 10,000 Georgia Municipal Electric Authority, Power Refunding Revenue Bonds, Series CC,
3.75% due 1/01/1997 10,003
AA+ Aaa 9,780 Georgia State, GO, Series B, 3.50% due 7/01/1996 9,864
AA Aa1 2,000 Gwinnett County, Georgia, COP (Water and Sewer), 7.60% due 8/01/1995 2,136
NR P1 1,300 Hapeville, Georgia, Development Authority, IDR (Hapeville Hotel Limited), VRDN,
3.80% due 11/01/2015(b) 1,300
AAA Aaa 3,965 Metropolitan Atlanta, Georgia, Rapid Transit Authority, Sales Tax Revenue Refunding
Bonds, Series P, 4.75% due 7/01/1995(c) 4,056
Illinois--5.9%
Chicago, Illinois, Metropolitan Water Reclamation District--Greater Chicago Revenue
Refunding Bonds:
AA Aa 5,000 4% due 12/01/1996 5,094
AA Aa 3,100 UT, 4.10% due 12/01/1995 3,152
AA Aa 3,000 UT, 4.50% due 12/01/1996 3,087
A+ A1 2,580 Chicago, Illinois, O'Hare International Airport, Revenue Bonds, Series A, AMT,
4.40% due 1/01/1995 2,626
SP1+ NR 10,000 Chicago, Illinois, Park District Notes, GO, 3.25% due 10/01/1994 10,067
AAA Aaa 2,755 Chicago, Illinois, School Financing Authority, Revenue Refunding Bonds, Series A,
5% due 6/01/1995(f) 2,821
A-1 VMG1 15,000 Chicago, Illinois, Tender Notes, Series B, 3.85% due 10/31/1994 15,171
AAA Aaa 3,750 Cook County, Illinois, High School District No. 205, Revenue Refunding Bonds,
UT (Thornton Township), 5% due 6/01/1995(f) 3,846
Illinois State, GO:
AA- Aa 3,000 5.50% due 6/01/1995 3,094
SP1+ MIG1++ 3,300 COP, 3.25% due 5/16/1994 3,314
AA- Aa 4,120 Refunding, 5.25% due 10/01/1994 4,200
A A1 3,625 Illinois State Toll and Highway Authority (Toll Priority), Revenue Refundings Bonds,
Series A, 3.70% due 1/01/1996 3,639
Indiana--0.5%
AA- A1 4,800 Purdue University, Indiana, University Revenues Student Fees, Series J,
4.15% due 7/01/1996 4,869
Kentucky--2.1%
Kentucky State Property and Building Community, Revenue Refunding Bonds, Project No. 55:
A A 13,000 3.60% due 9/01/1996 13,036
A A 5,000 3.90% due 9/01/1997 5,029
AAA Aaa 3,250 Kentucky State Turnpike Authority, Economic Development, Refunding Revenue Bonds
(Revitalization Projects), 4% due 7/01/1996(c) 3,297
Louisiana--1.1%
Louisiana State Offshore Terminal Authority, Revenue Refunding Bonds (Deepwater
Port), First Stage, Series B:
A A3 4,000 4.20% due 9/01/1994 4,026
A A3 5,410 4.60% due 9/01/1995 5,480
NR NR 1,775 New Orleans, Louisiana, COP, 6.75% due 10/01/1994 1,818
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds Limited Maturity Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Maine--1.2%
AA+ Aa $ 5,255 Maine State General Purpose Bonds, 4.10% due 9/01/1995 $ 5,337
A1+ VMG1 6,500 Maine State Housing Authority, Mortgage Purpose Bonds, AMT, Series B-2,
4.60% due 5/15/1994 6,512
Maryland--0.6%
AA+ Aaa 1,000 Baltimore County, Maryland, Metropolitan District 63rd Issue, Special Assessment
Revenue Bonds, 5.70% due 7/01/1994 1,017
A+ A1 4,535 Maryland State Transportation Authority Revenue Bonds (Transportation Facilities
Project), 6% due 7/01/1995 4,719
Massachusetts--3.5%
AAA Aaa 2,900 Massachusetts, GO, Series A, Dedicated Income Tax, 7% due 6/01/1995(f) 3,051
BBB+ NR 5,111 Massachusetts State, COP, 5.10% due 6/30/1996 5,217
A+ A 7,000 Massachusetts State, GO, Revenue Refunding Bonds, Series C, 3.55% due 9/01/1994 7,020
A1+ VMG1 200 Massachusetts State Health and Educational Facilities Authority Revenue Bonds
(Capital Assets Program), VRDN, Series B, 4.25% due 7/01/2005(b)(d) 200
AAA Aaa 2,005 Massachusetts State Health and Educational Facilities Authority Revenue Bonds (New
England Medical Center Hospitals), Series G, 3.80% due 7/01/1997(d) 2,018
Massachusetts State, HFA, Housing Projects, Revenue Refunding Bonds, Series A:
A+ A1 6,720 3.90% due 4/01/1995(h) 6,758
A+ A1 3,600 4.40% due 10/01/1996 3,672
A-1 VMG1 500 Massachusetts State, UPDATES (National Westminster Bank), VRDN, Series B,
4.25% due 12/01/1997(b) 500
Massachusetts State Water Resource Authority, GO, Series A:
AAA Aaa 2,555 6.70% due 4/01/1995(h) 2,672
A A 1,690 6.70% due 4/01/1995 1,757
NR NR 1,015 South Hadley, Massachusetts, Industrial Revenue Bonds (South Hadley Health Care),
AMT, Series A, 5% due 12/01/1996 1,015
NR NR 2,000 Springfield, Massachusetts, RAN, 3.90% due 4/01/1994 2,006
Michigan--2.0%
NR VMG1 1,000 Detroit, Michigan, Downtown Development Authority, Revenue Refunding Bonds
(Millender Center Project), VRDN, 3.30% due 12/01/2010(b) 1,000
SP-1 MIG1++ 5,075 Detroit, Michigan, Notes, GO, 3.80% due 7/01/1995 5,104
BBB+ Baa 12,000 Detroit, Michigan, State Aid Distribution, GO, 4.625% due 5/01/1994 12,049
A-1 NR 1,600 Detroit, Michigan, Tax Increment Finance Authority Revenue Bonds (Demand Tax
Increment Central Industrial Park Project), VRDN, 3.25% due 10/01/2010(b) 1,600
NR VMG1 800 Michigan State Strategic Fund, Solid Waste Disposal Revenue Bonds (Grayling
Generating Project), AMT, VRDN, 3.40% due 1/01/2014(b) 800
<PAGE>
Minnesota--1.1%
A1+ VMG1 300 Duluth, Minnesota, Tax Increment Revenue Bonds (Lake Superior Paper), VRDN,
2.95% due 9/01/2010(b) 300
Hennepin County, Minnesota, Capital Improvement Bonds, UT, Series B:
AAA Aaa 4,300 2.80% due 12/01/1994 4,317
AAA Aaa 3,225 3.25% due 12/01/1995 3,242
AAA Aaa 1,600 Minneapolis and St. Paul, Minnesota, Metropolitan Airports Revenue Bonds, AMT, UT,
Series 8, 4.60% due 1/01/1995 1,631
AA+ NR 1,650 Minnesota Public Facilities Authority, Water Pollution Control Revenue Bonds,
Series A, 4.70% due 3/01/1995 1,679
Mississippi--1.1%
A NR 10,000 Mississippi Higher Education Assistance Corporation, Student Loan Revenue Refunding
Bonds, Series C, AMT, 5.40% due 1/01/1996 10,311
NR P1 800 Perry County, Mississippi, PCR, Refunding (Leaf River Forest Project), VRDN,
4.75% due 3/01/2002(b) 800
Missouri--4.5%
NR VMG1 7,300 Missouri Higher Education Loan Authority, Student Loan Revenue Bonds, VRDN, AMT,
Series A, 3.15% due 6/01/2017(b) 7,300
A-1 VMG1 3,600 Missouri State Environmental Improvement and Energy Resource Authority, Environmental
Improvement Revenue Refunding Bonds (Kansas City Power), VRDN, 3.50% due 7/01/2017 (b) 3,600
SP1+ NR 14,500 Missouri State Environmental Improvement and Energy Resource Authority, Water PCR
(State Revolving Fund Program), Series A, 3.90% due 9/01/1996 14,547
SP1+ MIG1++ 17,500 Missouri State Environmental Improvement Notes and Energy Resource Authority, Water
PCR (State Revolving Fund Program), Series A, 4.40% due 5/01/1994 17,605
AAA Aaa 2,975 Sikeston, Missouri, Electric Revenue Refunding Bonds, 4.50% due 6/01/1994(d) 3,000
Nebraska--2.2%
Nebraska Public Power District Revenue Bonds:
A+ A1 8,000 (Nuclear Facility), 3.60% due 7/01/1994 8,044
A+ A1 7,000 (Nuclear Facility), 4% due 7/01/1995 7,100
A+ A1 3,570 (Power Supply System), Series C, 3.50% due 1/01/1996 3,577
A+ A1 3,500 Refunding (Electric System), Series A, 4.50% due 1/01/1995 3,565
Nevada--1.2%
A1+ NR 5,000 Clark County, Nevada, PCR (Southern California Edison Company), AMT, Series A,
7% due 2/01/1994 5,021
AAA Aaa 7,000 Washoe County, Nevada, Airport Authority, Airport Systems Improvement Revenue Bonds,
AMT, Series A, 3.90% due 7/01/1995(d) 7,037
<PAGE>
New Jersey--4.7%
Camden County, New Jersey, Improvement Authority (Solid Waste Disposal), Revenue
Refunding Bonds (Landfill Project):
A- A1 1,125 3.55% due 7/01/1995 1,131
A- A1 2,000 4% due 7/01/1997 2,020
AAA Aaa 3,820 Middlesex County, New Jersey, Utility Authority, Solid Waste System Revenue Bonds,
5.20% due 12/01/1995(f) 3,972
AA+ NR 6,000 New Jersey State Governmental, GO, 5.80% due 8/01/1994(h) 6,119
New Jersey State Housing and Mortgage Finance Agency, Revenue Refunding Bonds,
Series 1:
A+ NR 2,860 4% due 5/01/1994 2,866
A+ NR 3,670 4% due 11/01/1994 3,685
A+ VMG1 5,000 3.40% due 3/29/1995 5,019
A+ NR 3,765 4.50% due 11/01/1995 3,833
New Jersey State Transportation Trust Fund Authority, Revenue Refunding Bonds,
Series B (Transportation Systems):
A+ Aa 5,505 3.20% due 6/15/1995 5,513
A+ Aa 7,535 3.70% due 6/15/1997 7,559
Passaic Valley, New Jersey, Sewage Commissioners Revenue Refunding Bonds
(Sewer Systems), Series D(c):
AAA Aaa 3,100 5.70% due 12/01/1994 3,191
AAA Aaa 3,265 5.70% due 12/01/1995 3,425
New Mexico--0.3%
AAA Aaa 2,500 New Mexico Education Loan Assistance Foundation, Student Loan Revenue Bonds,
Series A, AMT, 5.75% due 4/01/1996(c) 2,618
New York--5.3%
AAA Aaa 4,000 Albany County, New York, Revenue Refunding Bonds, 3.30% due 10/01/1995(f) 4,025
A-2 NR 5,150 Corinth, New York, IDA, Solid Waste Disposal Revenue Bonds (International Paper
Company Project), AMT, Series A, 2.90% due 3/01/1994 5,154
AAA Aaa 2,000 Nassau County, New York, GO, UT, 3.625% due 10/01/1997(c) 1,973
New York City, New York, GO, UT:
A- Baa1 5,000 Refunding, Series A, 4.60% due 8/01/1995 5,060
A- Baa1 3,000 Series A, 7.20% due 3/15/1995(a)(h) 3,150
A- Baa1 10,405 Series D, 6.40% due 2/01/1995 10,674
A- Aaa 945 Series D, 6.40% due 2/01/1995(a)(h) 986
A- A 10,430 New York City, New York, Municipal Water Finance Authority, Revenue Refunding Bonds
(Water and Sewer Systems), Series A, 4.10% due 6/15/1994 10,493
SP-1 MIG1++ 3,100 New York City, New York, RAN, Series B, UT, 3.50% due 6/30/1994 3,121
A1+ VMG1 7,000 New York State Dormitory Authority Revenue Bonds (New York Public Library),
Series B, 3.875% due 7/01/1995 7,079
A A 2,000 New York State Local Government Assistance Corporation Revenue Bonds, Series A,
5% due 4/01/1995 2,040
North Carolina--0.6%
AAA Aa1 1,820 Greensboro, North Carolina, Refunding GO, UT, 4.40% due 2/01/1994 1,820
A A2 4,000 Wake County, North Carolina, Industrial Facilities and Pollution Control Financing
Authority Revenue Bonds (Carolina Power and Light), 1984 Series A, 5.90% due 7/01/1994 4,011
North Dakota--0.5%
NR Aa 5,000 North Dakota Student Loan Revenue Refunding Bonds, Series A, 5.40% due 7/01/1996 5,207
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in Thousands)
<CAPTION>
Municipal Bonds Limited Maturity Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Ohio--10.7%
Cincinnati, Ohio, City School District, RAN:
A+ NR $ 2,500 5.35% due 6/15/1996 $ 2,604
AAA NR 10,000 Series B-1, 6.875% due 6/15/1994(f)(h) 10,215
A+ NR 7,500 Cincinnati, Ohio, City School District, TAN, 5% due 6/01/1995 7,715
Cleveland, Ohio, City School District, UT, RAN(c):
AAA Aaa 3,000 4.20% due 6/01/1996 3,057
AAA Aaa 10,000 4.35% due 6/01/1997 10,203
NR Aa1 2,700 Columbus, Ohio, Sewer Improvement (Waterworks Parks), 6.75% due 7/01/1995(h) 2,843
NR MIG1++ 5,100 North Olmsted, Ohio, BAN, 3.97% due 12/15/1994 5,173
Ohio State Air Quality Development Authority, PCR (Ohio Edison Company):
AAA Aaa 6,700 5.65% due 9/01/1994 6,718
A1+ VMG1 5,500 Series A, 4.25% due 8/1/1996 5,561
AAA P1 8,600 Series B, VRDN, 4.65% due 5/01/2018(b) 8,600
A1+ P1 3,000 Series C, 3.125% due 9/01/1994 3,004
A+ A 2,500 Ohio State Building Authority, Revenue Refunding Bonds (State Correctional Facility),
Series A, 3.70% due 10/01/1994 2,519
AAA Aa 6,400 Ohio State, GO, Highway Obligation Bonds, Series Q, 5.70% due 5/15/1994 6,479
A+ A 5,620 Ohio State Higher Education Facilities Revenue Bonds, Series II-B, 5.875% due 12/01/1994 5,783
Ohio State Public Facilities Commission, Higher Education Facilities:
AAA Aaa 5,000 Capital Facilities, Series II-A, Refunding, 4.60% due 6/01/1997(c) 5,154
AAA Aaa 1,995 Series II-A, 6.25% due 5/01/1995(c) 2,077
A+ A1 8,500 Series II-B, 4.625% due 12/01/1996 8,777
A+ A1 3,090 Series II-C, Refunding, 4% due 12/01/1994 3,122
A1+ P1 4,000 Ohio State Water Development Authority, Pollution Control Facility Revenue Bonds
(Ohio Edison Company Project), AMT, Series B, 3.125% due 9/01/1994 4,007
NR MIG1++ 6,140 Toledo, Ohio, City Services Special Assessment Notes, Special Obligation Bonds,
3.20% due 12/01/1994 6,179
Pennsylvania--4.8%
A- A3 15,000 Clinton County, Pennsylvania, IDA, Solid Waste Disposal Revenue Bonds (International
Paper Company Project), AMT, Series A, 3.25% due 1/15/1994 15,007
A1+ NR 300 Geisinger, Pennsylvania, Health System Revenue Bonds, Series B, VRDN,
4.50% due 7/01/2022(b) 300
A- A 11,675 Pennsylvania, IDA, Economic Development Revenue Bonds, Series A, 6% due 1/01/1994 11,675
Pennsylvania State, GO(c):
AAA Aaa 8,895 Refunding, Series A, UT, 6.10% due 1/01/1994 8,895
AAA Aaa 10,000 Series B, 5% due 11/15/1994(g) 10,216
AAA Aaa 3,000 Pittsburgh, Pennsylvania, Water and Sewer Authority Water and Sewer System, Revenue
Refunding Bonds, Series A, 3.50% due 9/01/1996(f) 3,011
<PAGE>
Puerto Rico--1.2%
BBB Baa 7,065 Puerto Rico, Housing Bank and Finance Agency, S/F Refunding Bonds (Commonwealth
Appropriation), 3.75% due 12/01/1995 7,070
AAA VMG1 2,000 Puerto Rico Housing Finance Corporation, S/F Mortgage Revenue Bonds (Convertible
Option-Portfolio Two), AMT, Series F, 4.60% due 4/15/1994 2,014
A Baa1 3,415 Puerto Rico Public Buildings Authority, Revenue Guaranteed Refunding Bonds, Series J,
5.20% due 7/01/1995 3,503
Rhode Island--2.5%
Rhode Island Depositors Economic Protection Corporation, Special Obligation Bonds,
Series A(e):
AAA Aaa 4,395 4.70% due 8/01/1994 4,449
AAA Aaa 4,180 5% due 8/01/1995 4,297
A1+ VMG1 10,170 Rhode Island Housing and Mortgage Finance Corporation Bonds (Homeowners Opportunity),
Series 14-B, AMT, VRDN, 3.50% due 4/01/2027(b) 10,170
NR A 6,000 Rhode Island State, Student Loan Authority, Student Loan Revenue Refunding Bonds,
Series A, 5.70% due 12/01/1996 6,327
South Carolina--2.3%
NR NR 7,800 Berkeley County, South Carolina, Water and Sewer BAN, 3.25% due 9/01/1994 7,843
Charleston, South Carolina, Waterworks and Sewer Improvement Revenue Refunding Bonds:
AA- A1 1,000 4.05% due 1/01/1994 1,000
AA- A1 1,000 4.45% due 1/01/1995 1,018
South Carolina State Public Service Authority Revenue Refunding Bonds, Series C:
A+ A1 2,925 3.60% due 1/01/1996 2,937
A+ A1 10,170 3.80% due 1/01/1997 10,216
Tennessee--1.2%
AAA VMG1 12,700 Metropolitan Nashville, Tennessee, Airport Authority Airport Revenue Refunding
Bonds, VRDN, 3.15% due 7/01/2019(b) 12,700
Texas--8.7%
AAA Aaa 4,880 Austin, Texas, Utility System Revenue Refunding Bonds, Series A,
4.80% due 11/15/1995(d) 5,023
Brazos, Texas, Higher Education Authority Incorporated, Student Loan Revenue
Refunding Bonds, AMT:
NR Aaa 2,250 Series A-1, 5% due 12/01/1996 2,323
NR Aa 2,000 Series C-1, 5% due 11/01/1995 2,062
NR Aa 5,455 Series C-1, 5.60% due 11/01/1997 5,717
AAA Aaa 3,250 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding Bonds (Dallas-Fort Worth
International Airport), 3.75% due 11/01/1996(d) 3,272
NR A1 4,600 Fort Bend County, Texas, Corporate Industrial Development Bonds, Revenue Refunding
Bonds (Frito Lay Incorporated Project), 4% due 10/01/1996 4,609
<PAGE>
AA- Aa 3,915 Houston, Texas, Certificates of Obligation, Tax and Revenue Bonds, Series F,
3.60% due 3/01/1997 3,915
Houston, Texas, Health Facilities Development Corporation, Hospital Revenue Bonds
(Methodist Hospital Project), VRDN(b):
A1+ NR 6,800 4.50% due 12/01/2014 6,800
A1+ NR 300 4.50% due 12/01/2015 300
A1+ NR 400 4.50% due 12/01/2021 400
AAA Aaa 9,500 Houston, Texas, Water and Sewer System Revenue Refunding Bonds, Series D, Junior Lien,
5.55% due 12/01/1995(f) 9,903
Panhandle-Plains, Texas, Higher Education Authority Incorporated, Student Loan
Revenue Refunding Bonds (Student Loan Marketing Association):
NR VMG1 6,000 Series A, 3.65% due 3/01/1995 6,003
NR Aaa 2,000 Series C, 3.95% due 9/01/1996 1,997
NR Aaa 2,675 Series C, 4.15% due 9/01/1997 2,674
San Antonio, Texas, Electric and Gas Revenue Refunding Bonds, Series A, Junior Lien:
AA Aa1 9,000 5.80% due 2/01/1995 9,242
AA Aa1 3,000 6% due 2/01/1996 3,150
AA Aa 4,525 Texas State, GO, Refunding, 6.40% due 12/01/1994 4,682
AA Aa 3,000 Texas State Public Finance Authority Revenue Bonds, Series A, 6% due 10/01/1995 3,145
AAA Aaa 4,770 Texas State Public Property Finance Corporation, Revenue Refunding Bonds (Mental
Health and Retardation), 4.25% due 9/01/1995 4,847
SP1+ MIG1++ 4,400 Texas State, TRAN, 3.25% due 8/31/1994 4,435
AAA Aa 1,500 Texas Water Development Board Revenue Bonds (State Revolving Fund-Senior Lien),
4.35% due 7/15/1995 1,524
AA Aa 3,000 University of Texas, Revenue Refunding Bonds (Financing System), Series A,
5.60% due 8/15/1994 3,054
Utah--1.5%
Intermountain Power Agency, Utah, Power Supply Revenue Refunding Bonds:
AA Aa 1,250 Series A, 3.90% due 7/01/1996 1,266
AA Aa 4,250 Series B, 4.60% due 7/01/1995 4,332
AA- NR 1,715 University of Utah, Utah, Revenue Refunding Bonds (University Hospital Project),
Series A, 5% due 5/15/1995 1,751
AAA Aaa 3,250 Utah State Board of Regents, Student Loan Revenue Bonds, AMT, Series D,
6.90% due 11/01/1994(c) 3,368
AAA Aaa 4,825 Utah State Building and Highway, GO, UT, 4.50% due 7/01/1994 4,878
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in Thousands)
<CAPTION>
Municipal Bonds Limited Maturity Portfolio
S&P Moody's Face Value
Ratings Ratings Amount Issue (Note 1a)
<S> <S> <C> <S> <C>
STATE
Virginia--2.8%
NR Aaa $ 2,000 Virginia Education Loan Authority, Revenue Refunding Bonds (Guaranteed Student Loan
Program), Series E, 4.625% due 3/01/1995 $ 2,033
AAA Aaa 2,500 Virginia Port Authority Facilities, Revenue Refunding Bonds, 5% due 7/01/1995(c) 2,568
Virginia State Housing Development Authority, Commonwealth Mortgage Revenue Bonds,
AMT, Series B, Sub Series B-1:
AA+ VMG1 5,275 5% due 7/01/1994 5,322
AA+ VMG1 5,400 5.30% due 1/01/1995 5,488
AA+ VMG1 2,975 5.50% due 1/01/1996 3,064
AA Aa 1,500 Virginia State Public Building Authority, Building Revenue Bonds, Series C,
3.95% due 8/01/1995 1,519
Virginia State Public School Authority, Revenue Refunding Bonds:
AA Aa 3,000 Series B, 3.60% due 1/01/1996 3,016
AA Aa 5,605 Series C-1987, 4.375% due 1/01/1996 5,716
Washington--4.2%
Port Seattle, Washington, Revenue Refunding Bonds:
AA- A1 1,075 Series A, 4.25% due 4/01/1996 1,090
AA- A1 3,000 Series B, 4% due 11/01/1995 3,035
SP1+ MIG1++ 7,655 Seattle, Washington, Metropolitan Municipality, Seattle Sewer Revenue BAN,
3.50% due 7/01/1995 7,711
A1+ VMG1 5,000 Seattle, Washington, Municipal Light and Power Revenue Bonds (Bond Purchase
Agreement), Series A, 5.05% due 11/01/1994 5,105
AA Aa 7,250 Washington State, GO, Series R-93-B-1, UT, 4.125% due 10/01/1997 7,377
Washington State Public Power Supply System, Revenue Refunding Bonds:
AA Aa 8,000 Series A (Nuclear Project No. 1), 4.20% due 7/01/1995 8,103
AA Aa 6,275 Series A (Nuclear Project No. 2), 4.20% due 7/01/1995 6,382
AA Aa 3,725 Series C (Nuclear Project No. 3), 4% due 7/01/1997 3,744
Wisconsin--1.6%
AA- A1 2,500 Milwaukee County, Wisconsin, GO, UT, Series A, 6% due 12/01/1994 2,576
AA Aa 3,500 Milwaukee County, Wisconsin, Metropolitan Sewer District Revenue Bonds, Series A, UT,
5.25% due 9/01/1995 3,615
Wisconsin Housing and Economic Development Authority, Housing Revenue Refunding Bonds,
Series C:
A A1 2,200 3.60% due 11/01/1995 2,204
A A1 2,795 4.30% due 11/01/1997 2,829
AA Aa 5,445 Wisconsin State, GO, Series A, UT, 4.70% due 5/01/1996 5,612
Total Investments (Cost--$1,014,914)--100.3% 1,025,905
Liabilities in Excess of Other Assets--(0.3%) (3,402)
----------
Net Assets--100.0% $1,022,503
<PAGE> ==========
<FN>
(a) Prerefunded.
(b) The interest rate is subject to change periodically based upon the prevailing market rate.
The interest rate shown is the rate in effect at December 31, 1993.
(c) AMBAC Insured.
(d) MBIA Insured.
(e) FSA Insured.
(f) FGIC Insured.
(g) GNMA Collateralized.
(h) Escrowed to maturity.
++Highest short-term rating by Moody's Investors Service, Inc.
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES
<CAPTION>
Limited
Insured National Maturity
As of December 31, 1993 Portfolio Portfolio Portfolio
<S> <S> <C> <C> <C>
Assets: Investments, at value* (Note 1a) $3,162,849,324 $1,849,278,087 $1,025,904,571
Cash 80,265 116,963 58,087
Receivables:
Interest 54,406,112 31,771,351 12,907,325
Capital shares sold 52,477,145 3,227,811 5,680,821
Securities sold -- 14,743,730 --
Deferred organization expenses (Note 1e) 6,857 6,070 --
Prepaid registration fees and other assets (Note 1e) 55,811 41,077 20,999
-------------- -------------- --------------
Total assets 3,269,875,514 1,899,185,089 1,044,571,803
-------------- -------------- --------------
Liabilities: Payables:
Dividends to shareholders (Note 1f) 96,982,926 27,286,411 1,181,720
Securities purchased 9,653,000 30,080,597 12,758,437
Capital shares redeemed 4,564,481 3,098,830 7,740,010
Investment adviser (Note 2) 1,026,883 790,638 305,084
Distributor (Note 2) 650,423 324,193 43,124
Accrued expenses and other liabilities 438,012 302,938 39,950
-------------- -------------- --------------
Total liabilities 113,315,725 61,883,607 22,068,325
-------------- -------------- --------------
Net Assets: Net assets $3,156,559,789 $1,837,301,482 $1,022,503,478
============== ============== ==============
Net Assets Class A Common Stock, $0.10 par value++ $ 25,521,506 $ 12,424,794 $ 8,841,926
Consist of: Class B Common Stock, $0.10 par value++++ 11,205,324 4,423,619 1,373,478
Paid-in capital in excess of par 2,799,084,866 1,688,128,493 1,004,596,679
Undistributed (accumulated) realized capital gains
(losses)--net (Note 5) 8,908,560 (3,934,516) (3,299,545)
Unrealized appreciation on investments--net 311,839,533 136,259,092 10,990,940
-------------- -------------- --------------
Net assets $3,156,559,789 $1,837,301,482 $1,022,503,478
============== ============== ==============
<PAGE>
Net Asset Class A:
Value: Net assets $2,193,983,495 $1,355,012,661 $ 885,010,908
============== ============== ==============
Shares outstanding 255,215,064 124,247,944 88,419,254
============== ============== ==============
Net asset value and redemption price per share $ 8.60 $ 10.91 $ 10.01
============== ============== ==============
Class B:
Net assets $ 962,576,294 $ 482,288,821 $ 137,492,570
============== ============== ==============
Shares outstanding 112,053,239 44,236,186 13,734,782
============== ============== ==============
Net asset value and redemption price per share $ 8.59 $ 10.90 $ 10.01
============== ============== ==============
<FN>
*Identified cost $2,851,009,791 $1,713,018,995 $1,014,913,631
============== ============== ==============
++Authorized shares--Class A 500,000,000 375,000,000 150,000,000
============== ============== ==============
++++Authorized shares--Class B 375,000,000 375,000,000 150,000,000
============== ============== ==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS
<CAPTION>
Limited
Insured National Maturity
For the Six Months December 31, 1993 Portfolio Portfolio Portfolio
<S> <S> <C> <C> <C>
Investment Income Interest and amortization of premium and discount earned $ 94,830,228 $ 57,636,584 $ 20,892,133
(Note 1d): -------------- -------------- --------------
Expenses: Investment advisory fees (Note 2) 5,773,604 4,421,441 1,692,888
Distribution fees--Class B (Note 2) 3,602,715 1,750,635 218,058
Transfer agent fees--Class A (Note 2) 338,835 245,926 76,500
Registration fees (Note 1e) 71,127 91,799 117,157
Transfer agent fees--Class B (Note 2) 168,369 97,003 13,164
Custodian fees 120,214 80,999 45,205
Accounting services (Note 2) 91,263 68,285 43,582
Printing and shareholder reports 77,739 44,908 20,673
Professional fees 35,563 18,523 16,093
Pricing fees 30,655 17,704 13,811
Portfolio insurance 41,975 3,213 1,477
Directors' fees and expenses 12,522 6,767 3,110
Amortization of organization expenses (Note 1e) 3,606 3,076 --
Other 9,918 5,331 3,387
-------------- -------------- --------------
Total expenses 10,378,105 6,855,610 2,265,105
-------------- -------------- --------------
Investment income--net 84,452,123 50,780,974 18,627,028
-------------- -------------- --------------
<PAGE>
Realized & Realized gain on investments--net 43,945,591 29,721,609 925,888
Unrealized Gain Change in unrealized appreciation/depreciation on
(Loss) on investments--net 24,271,233 (1,702) (685,000)
Investments--Net -------------- -------------- --------------
(Notes 1d & 3): Net Increase in Net Assets Resulting from Operations $ 152,668,947 $ 80,500,881 $ 18,867,916
============== ============== ==============
See Notes to Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
Insured Portfolio National Portfolio Limited Maturity Portfolio
------------------------------ ------------------------------ ------------------------------
For the Six For the For the Six For the For the Six For the
Months Ended Year Ended Months Ended Year Ended Months Ended Year Ended
December 31, June 30, December 31, June 30, December 31, June 30,
Increase (Decrease) in Net Assets: 1993 1993 1993 1993 1993 1993
<S> <C> <C> <C> <C> <C> <C>
Operations:
Investment income--net $ 84,452,123 $ 167,805,641 $ 50,780,974 $ 99,669,395 $ 18,627,028 $ 31,371,404
Realized gain on investments--net 43,945,591 67,994,693 29,721,609 38,689,103 925,888 2,133,811
Change in unrealized appreciation/
depreciation on investments--net 24,271,233 101,260,716 (1,702) 49,677,981 (685,000) 4,480,891
-------------- -------------- -------------- -------------- -------------- --------------
Net increase in net assets
resulting from operations 152,668,947 337,061,050 80,500,881 188,036,479 18,867,916 37,986,106
-------------- -------------- -------------- -------------- -------------- --------------
Dividends & Distributions to
Shareholders (Note 1f):
Investment income--net:
Class A (61,899,912) (126,159,264) (39,346,632) (80,896,286) (16,560,657) (30,211,746)
Class B (22,552,211) (41,646,377) (11,434,342) (18,773,109) (2,066,371) (1,159,658)
Realized gain on investments--net:
Class A (57,171,047) (26,812,986) (36,128,677) (22,563,878) -- --
Class B (24,972,443) (10,208,890) (12,798,152) (5,793,680) -- --
-------------- -------------- -------------- -------------- -------------- --------------
Net decrease in net assets
resulting from dividends
and distributions to shareholders (166,595,613) (204,827,517) (99,707,803) (128,026,953) (18,627,028) (31,371,404)
-------------- -------------- -------------- -------------- -------------- --------------
Capital Share Transactions (Note 4):
Net increase in net assets derived
from capital share transactions 33,991,512 235,653,905 78,632,957 153,435,527 80,347,307 321,893,595
-------------- -------------- -------------- -------------- -------------- --------------
Net Assets:
Total increase in net assets 20,064,846 367,887,438 59,426,035 213,445,053 80,588,195 328,508,297
Beginning of period 3,136,494,943 2,768,607,505 1,777,875,447 1,564,430,394 941,915,283 613,406,986
-------------- -------------- -------------- -------------- -------------- --------------
End of period $3,156,559,789 $3,136,494,943 $1,837,301,482 $1,777,875,447 $1,022,503,478 $ 941,915,283
============== ============== ============== ============== ============== ==============
See Notes to Financial Statements.
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
<CAPTION>
The following per share data and ratios have been derived
from information provided in the financial statements.
Insured Portfolio
-------------------------------------------------------------------------------------------------------
Class A Class B
-------------------------------------------------------- ----------------------------------------------
For the For the
Six Six
Months Months
Ended Ended
Dec. 31, For the Year Ended June 30, Dec. 31, For the Year Ended June 30,
1993 1993 1992 1991 1990 1993 1993 1992 1991 1990
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value beginning
of period $ 8.64 $ 8.26 $ 7.92 $ 7.86 $ 7.97 $ 8.63 $ 8.26 $ 7.92 $ 7.86 $ 7.97
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Investment income--net .24 .50 .52 .54 .55 .21 .44 .46 .48 .49
Realized and unrealized
gain (loss) on invest-
ments--net .19 .49 .41 .12 (.11) .19 .48 .41 .12 (.11)
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Total from investment
operations .43 .99 .93 .66 .44 .40 .92 .87 .60 .38
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Less dividends and
distributions:
Investment income--net (.24) (.50) (.52) (.54) (.55) (.21) (.44) (.46) (.48) (.49)
Realized gain on invest-
ments--net (.23) (.11) (.07) (.06) -- (.23) (.11) (.07) (.06) --
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Total dividends and
distributions (.47) (.61) (.59) (.60) (.55) (.44) (.55) (.53) (.54) (.49)
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Net asset value, end
of period $ 8.60 $ 8.64 $ 8.26 $ 7.92 $ 7.86 $ 8.59 $ 8.63 $ 8.26 $ 7.92 $ 7.86
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Total Investment Return:**
Based on net asset value
per share 5.03%+++ 12.43% 12.11% 8.84% 5.76% 4.64%+++ 11.45% 11.27% 8.02% 4.98%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Ratios to Average
Net Assets:
Expenses, excluding
distribution fees .42%* .42% .44% .45% .46% .42%* .43% .44% .45% .47%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Expenses .42%* .42% .44% .45% .46% 1.17%* 1.18% 1.19% 1.20% 1.22%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Investment income--net 5.45%* 5.94% 6.44% 6.90% 7.03% 4.69%* 5.17% 5.69% 6.13% 6.27%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
<PAGE>
Supplemental Data:
Net assets, end of period
(in thousands) $2,193,983 $2,225,188 $2,062,591 $1,984,307 $2,019,166 $962,576 $911,307 $706,016 $537,755 $408,641
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Portfolio turnover 13.29% 43.86% 22.50% 33.12% 23.20% 13.29% 43.86% 22.50% 33.12% 23.20%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
<CAPTION>
The following per share data and ratios have been derived
from information provided in the financial statements.
National Portfolio
-------------------------------------------------------------------------------------------------------
Class A Class B
-------------------------------------------------------- ----------------------------------------------
For the For the
Six Six
Months Months
Ended Ended
Dec. 31, For the Year Ended June 30, Dec. 31, For the Year Ended June 30,
1993 1993 1992 1991 1990 1993 1993 1992 1991 1990
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating
Performance:
Net asset value beginning
of period $ 11.02 $ 10.64 $ 10.17 $ 10.12 $ 10.31 $ 11.02 $ 10.63 $ 10.16 $ 10.11 $ 10.30
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Investment income--net .32 .67 .71 .73 .74 .28 .59 .63 .65 .66
Realized and unrealized
gain (loss) on invest-
ments--net .19 .57 .58 .05 (.19) .18 .58 .58 .05 (.19)
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Total from investment
operations .51 1.24 1.29 .78 .55 .46 1.17 1.21 .70 .47
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Less dividends and
distributions:
Investment income--net (.32) (.67) (.71) (.73) (.74) (.28) (.59) (.63) (.65) (.66)
Realized gain on invest-
ments--net (.30) (.19) (.11) -- -- (.30) (.19) (.11) -- --
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Total dividends and
distributions (.62) (.86) (.82) (.73) (.74) (.58) (.78) (.74) (.65) (.66)
---------- ---------- ---------- ---------- ---------- -------- -------- -------- -------- --------
Net asset value, end
of period $ 10.91 $ 11.02 $ 10.64 $ 10.17 $ 10.12 $ 10.90 $ 11.02 $ 10.63 $ 10.16 $ 10.11
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Total Investment Return:**
Based on net asset value
per share 4.65%+++ 12.21% 13.09% 7.94% 5.53% 4.16%+++ 11.47% 12.25% 7.14% 4.74%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
<PAGE>
Ratios to Average
Net Assets:
Expenses, excluding
distribution fees .55%* .55% .55% .55% .55% .55%* .56% .56% .56% .56%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Expenses .55%* .55% .55% .55% .55% 1.30%* 1.31% 1.31% 1.31% 1.31%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Investment income--net 5.66%* 6.23% 6.80% 7.20% 7.27% 4.90%* 5.46% 6.03% 6.43% 6.52%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Supplemental Data:
Net assets, end of period
(in thousands) $1,355,013 $1,353,805 $1,278,055 $1,255,820 $1,365,541 $482,289 $424,071 $286,375 $213,581 $179,362
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
Portfolio turnover 36.79% 65.43% 50.94% 75.25% 48.80% 36.79% 65.43% 50.94% 75.25% 48.80%
========== ========== ========== ========== ========== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
<CAPTION>
The following per share data and ratios have been derived
from information provided in the financial statements.
Limited Maturity Portfolio
--------------------------------------------------------------------------
Class A Class B
---------------------------------------------------- -------------------
For the For the For the
Six Six Period
Months Months Nov. 2,
Ended Ended 1992++ to
Dec. 31, For the Year Ended June 30, Dec. 31, June 30,
1993 1993 1992 1991 1990 1993 1993
<S> <C> <C> <C> <C> <C> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period $ 10.01 $ 9.91 $ 9.75 $ 9.71 $ 9.73 $ 10.01 $ 9.93
-------- -------- -------- -------- -------- -------- --------
Investment income--net .19 .41 .50 .57 .60 .17 .24
Realized and unrealized gain (loss) on
investments--net -- .10 .16 .04 (.02) -- .08
-------- -------- -------- -------- -------- -------- --------
Total from investment operations .19 .51 .66 .61 .58 .17 .32
-------- -------- -------- -------- -------- -------- --------
Less dividends:
Investment income--net (.19) (.41) (.50) (.57) (.60) (.17) (.24)
-------- -------- -------- -------- -------- -------- --------
Net asset value, end of period $ 10.01 $ 10.01 $ 9.91 $ 9.75 $ 9.71 $ 10.01 $ 10.01
======== ======== ======== ======== ======== ======== ========
Total Investment Return:**
Based on net asset value per share 1.89%+++ 5.28% 6.93% 6.45% 6.16% 1.70%+++ 3.26%+++
======== ======== ======== ======== ======== ======== ========
<PAGE>
Ratios to Average Net Assets:
Expenses, excluding distribution fees .40%* .41% .40% .40% .40% .40%* .41%*
======== ======== ======== ======== ======== ======== ========
Expenses .40%* .41% .40% .40% .40% .75%* .76%*
======== ======== ======== ======== ======== ======== ========
Investment income--net 3.67%* 4.13% 5.02% 5.88% 6.21% 3.32%* 3.60%*
======== ======== ======== ======== ======== ======== ========
Supplemental Data:
Net assets, end of period (in thousands) $885,011 $846,736 $613,407 $350,549 $352,005 $137,493 $ 95,179
======== ======== ======== ======== ======== ======== ========
Portfolio turnover 20.64% 65.43% 96.32% 93.06% 106.44% 20.64% 65.43%
======== ======== ======== ======== ======== ======== ========
<FN>
*Annualized.
**Total investment returns exclude the effects of sales loads.
++Commencement of operations.
+++Aggregate total investment return.
See Notes to Financial Statements.
</TABLE>
NOTES TO FINANCIAL STATEMENTS
1. Significant Accounting Policies:
Merrill Lynch Municipal Bond Fund, Inc. (the "Fund") is registered
under the Investment Company Act of 1940 as a diversified, open-
end investment management company. The Fund's Portfolios offer
Class A and Class B Shares. Class A Shares are sold with a front-
end sales charge. Class B Shares may be subject to a contingent
deferred sales charge. Both classes of shares have identical
voting, dividend, liquidation and other rights and the same terms
and conditions, except that Class B Shares bear certain expenses
related to the distribution of such shares and have exclusive
voting rights with respect to matters relating to such
distribution expenditures. The following is a summary of
significant accounting policies followed by the Fund.
(a) Valuation of investments--Insured Portfolio: Where bonds in
the Portfolio have not been insured pursuant to policies obtained
by the issuer, the Fund has obtained insurance with respect to
the payment of interest and principal of each bond. Such
insurance is valid as long as the bonds are held by the Fund.
All Portfolios: Municipal bonds and money market securities are
traded primarily in the over-the-counter markets and are valued
at the most recent bid price or yield equivalent as obtained from
dealers that make markets in such securities. Positions in
futures contracts are valued at closing prices as of the close of
such exchanges. Options, which are traded on exchanges, are
valued at their last sale price as of the close of such exchanges
or, lacking any sales, at the last available bid price. Assets
for which market quotations are not readily available are valued
at fair value on a consistent basis using methods determined in
good faith by the Fund's Board of Directors, including valuations
furnished by a pricing service retained by the Fund, which may
utilize a matrix system for valuations.
<PAGE>
(b) Financial futures contracts--The National and Limited
Maturity Portfolios (the "Portfolios") may purchase or sell interest
rate futures contracts and options on such futures contracts for the
purpose of hedging the market risk on existing securities or the
intended purchase of securities. Futures contracts are contracts for
delayed delivery of securities at a specific future date and at a
specific price or yield. Upon entering into a contract, the Portfolios
deposit and maintain as collateral such initial margin as required by
the exchange on which the transaction is effected. Pursuant to the
contract, the Portfolios agree to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in value of the contract.
Such receipts or payments are known as variation margin and are recorded
by the Portfolios as unrealized gains or losses. When the contract is
closed, the Portfolios record a realized gain or loss equal to the
difference between the value of the contract at the time it was opened
and the value at the time it was closed.
(c) Income taxes--It is the Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute substantially all of its
taxable income to its shareholders. Therefore, no Federal income tax
provision is required.
(d) Security transactions and investment income--Security
transactions are recorded on the dates the transactions are
entered into (the trade dates). Interest income is recognized on
the accrual basis. Original issue discounts and market premiums
are amortized into interest income. Realized gains and losses on
security transactions are determined on the identified cost basis.
(e) Deferred organization expenses and prepaid registration
fees--Deferred organization expenses are charged to expense on a
straight-line basis over a five-year period. Costs related to the
organization of the second class of shares are charged to expense
over a period not exceeding five years. Prepaid registration fees
are charged to expense as the related shares are issued.
(f) Dividends and distributions--Dividends from net investment
income are declared daily and paid monthly. Distributions of
capital gains are recorded on the ex-dividend dates.
2. Investment Advisory Agreement and Transactions
with Affiliates:
The Fund has entered into an Investment Advisory Agreement with
Fund Asset Management, Inc. ("FAMI"), a wholly-owned subsidiary
of Merrill Lynch Investment Management, Inc. ("MLIM"), which is
an indirect wholly-owned subsidiary of Merrill Lynch & Co.,
Inc., and Distribution Agreements and a Distribution Plan with
Merrill Lynch Funds Distributor, Inc. ("MLFD" or the "Distributor"),
a wholly-owned subsidiary of MLIM.
<PAGE>
FAMI is responsible for the management of the Fund's portfolios and
provides the necessary personnel, facilities, equipment and certain
other services necessary to the operation of the Fund. For such services,
FAMI receives at the end of each month a fee with respect to each
Portfolio at the annual rates set forth below which are based upon
the average daily value of the Fund's net assets.
Rate of Advisory Fee
Aggregate of Average Daily Limited
Net Assets of the Three Insured National Maturity
Combined Portfolios Portfolio Portfolio Portfolio
Not exceeding $250 million 0.40 % 0.50 % 0.40 %
In excess of $250 million but
not exceeding $400 million 0.375 0.475 0.375
In excess of $400 million but
not exceeding $550 million 0.375 0.475 0.35
In excess of $550 million but
not exceeding $1.5 billion 0.375 0.475 0.325
In excess of $1.5 billion 0.35 0.475 0.325
The Investment Advisory Agreement obligates FAMI to reimburse the
Fund to the extent that the Fund's expenses (excluding interest,
taxes, distribution fees, brokerage fees and commissions and
extraordinary items) exceed 2.5% of the Fund's first $30 million
of average daily net assets, 2.0% of the Fund's next $70 million
of average daily net assets, and 1.5% of the average daily net
assets in excess thereof. No fee payment will be made to FAMI
with respect to any Portfolio during any fiscal year which will
cause the expenses of such Portfolio to exceed the pro rata
expense limitation applicable to such Portfolio at the time of
such payment.
Effective January 1, 1994, the investment advisory business of
FAMI reorganized from a corporation to a limited partnership. The
general partner of FAMI is Princeton Services, Inc., an indirect
wholly-owned subsidiary of Merrill Lynch & Co.
The Fund has adopted a Plan of Distribution (the "Plan") pursuant
to Rule 12b-1 under the Investment Company Act of 1940 pursuant
to which MLFD receives a fee from the Fund for the sale of Class B
Shares of the Portfolios at the end of each month at the annual
rate of 0.50% and 0.25% (in the case of the Insured Portfolio and
the National Portfolio) or 0.25% and 0.10% (in the case of the
Limited Maturity Portfolio) of the average daily net assets of
the Class B Shares of the respective Portfolios. This fee is to
compensate the Distributor for services provided and the expenses
borne by it under the Plan. As authorized by the Plan, the
Distributor has entered into an agreement with Merrill Lynch,
Pierce, Fenner & Smith Inc. ("MLPF&S"), an affiliate of MLIM,
which provides for the compensation of MLPF&S for providing
distribution-related services to the Fund.
<PAGE>
For the six months December 31, 1993, MLFD earned underwriting
discounts, and MLPF&S earned dealer concessions on sales of the
Fund's Class A Shares as follows:
Insured National Limited Maturity
Portfolio Portfolio Portfolio
MLFD $ 86,625 $ 63,582 $ 57,796
MLPF&S 824,495 610,978 442,099
MLPF&S received contingent deferred sales charges of $1,060,982
relating to transactions in Class B Shares, amounting to $660,945,
$314,814 and $85,223 in the Insured, National and Limited
Maturity Portfolios, respectively.
Financial Data Services, Inc. ("FDS"), a wholly-owned subsidiary of
Merrill Lynch & Co., Inc., is the Fund's transfer agent.
Accounting services are provided to the Fund by FAMI at cost.
Certain officers and/or directors of the Fund are officers and/or
directors of FAMI, MLIM, MLFD, FDS, MLPF&S, and/or Merrill Lynch
& Co.
3. Investments:
Purchases and sales of investments, excluding short-term securities, for
the six months December 31, 1993 were as follows:
Purchases Sales
Insured Portfolio $ 400,928,954 $ 588,599,687
National Portfolio 633,956,012 629,303,828
Limited Maturity Portfolio 289,657,335 173,093,840
Net realized and unrealized gains (losses) as of December 31,
1993 were as follows:
Realized Unrealized
Insured Portfolio Gains Gains
Long-term investments $ 43,945,591 $ 311,839,533
------------- -------------
Total $ 43,945,591 $ 311,839,533
============= =============
<PAGE>
Realized Unrealized
National Portfolio Gains (Losses) Gains
Long-term investments $ 29,671,092 $ 136,208,609
Short-term investments 252,205 50,483
Financial future contracts on options (201,688) --
------------- -------------
Total $ 29,721,609 $ 136,259,092
============= =============
Realized Unrealized
Limited Maturity Portfolio Gains Gains
Long-term investments $ 123,142 $ 10,652,136
Short-term investments 802,746 338,804
------------- -------------
Total $ 925,888 $ 10,990,940
============= =============
Transactions in put options on futures opened and closed during
the six months ended December 31, 1993 for the National Portfolio
were as follows:
Premiums
Par Value Paid
Outstanding put options on futures at the
beginning of the period -- --
Options opened $ 125,000,000 $ 142,206,250
Options closed (125,000,000) (142,206,250)
------------- -------------
Outstanding put options on futures at end
of the period $ -- $ --
============= =============
NOTES TO FINANCIAL STATEMENTS (concluded)
As of December 31, 1993, net unrealized appreciation/depreciation
for Federal income tax purposes were as follows:
Gross Gross
Unrealized Unrealized Net Unrealized
Appreciation Depreciation Appreciation
Insured Portfolio $312,227,866 $ 388,333 $311,839,533
National Portfolio 139,033,642 2,774,550 136,259,092
Limited Maturity Portfolio 11,200,380 209,440 10,990,940
The aggregate cost of investments at December 31, 1993 for
Federal income tax purposes was $2,851,009,791 for the Insured
Portfolio, $1,713,018,995 for the National Portfolio, and
$1,014,913,631 for the Limited Maturity Portfolio.
<PAGE>
4. Capital Share Transactions:
Net increase in net assets derived from capital share
transactions for the six months ended December 31, 1993 and the
year ended June 30, 1993 were $33,991,512 and $235,653,905,
respectively, for the Insured Portfolio; $78,632,957 and
$153,435,527, respectively, for the National Portfolio and
$80,347,307 and $321,893,595, respectively, for the Limited
Maturity Portfolio.
Transactions in capital shares for Class A and Class B Shares
were as follows:
Insured Portfolio
Class A Shares for the Six Dollar
Months Ended December 31, 1993 Shares Amount
Shares sold 16,144,383 $ 141,064,269
Shares issued to shareholders in
reinvestment of dividends and
distributions 6,442,743 55,763,640
------------- -------------
Total issued 22,587,126 196,827,909
Shares redeemed (25,047,839) (218,968,666)
------------- -------------
Net decrease (2,460,713) $ (22,140,757)
============= =============
Insured Portfolio
Class A Shares for the Year Dollar
Ended June 30, 1993 Shares Amount
Shares sold 32,564,428 $ 274,538,370
Shares issued to shareholders in
reinvestment of dividends and
distributions 8,286,565 69,474,166
------------- -------------
Total issued 40,850,993 344,012,536
Shares redeemed (32,853,753) (276,837,512)
------------- -------------
Net increase 7,997,240 $ 67,175,024
============= =============
Insured Portfolio
Class B Shares for the Six Dollar
Months Ended December 31, 1993 Shares Amount
Shares sold 11,564,297 $ 101,233,503
Shares issued to shareholders in
reinvestment of dividends and
distributions 2,967,646 25,644,261
------------- -------------
Total issued 14,531,943 126,877,764
Shares redeemed (8,080,135) (70,745,495)
------------- -------------
Net increase 6,451,808 $ 56,132,269
============= =============
<PAGE>
Insured Portfolio
Class B Shares for the Year Dollar
Ended June 30, 1993 Shares Amount
Shares sold 32,402,900 $ 272,169,578
Shares issued to shareholders in reinvest-
ment of dividends and distributions 3,185,099 26,690,639
------------- -------------
Total issued 35,587,999 298,860,217
Shares redeemed (15,508,409) (130,381,336)
------------- -------------
Net increase 20,079,590 $ 168,478,881
============= =============
National Portfolio
Class A Shares for the Six Dollar
Months Ended December 31, 1993 Shares Amount
Shares sold 4,846,192 $ 54,005,624
Shares issued to shareholders in reinvest-
ment of dividends and distributions 3,526,523 38,792,152
------------- -------------
Total issued 8,372,715 92,797,776
Shares redeemed (6,997,071) (77,845,310)
------------- -------------
Net increase 1,375,644 $ 14,952,466
============= =============
National Portfolio
Class A Shares for the Year Dollar
Ended June 30, 1993 Shares Amount
Shares sold 11,991,383 $ 128,971,704
Shares issued to shareholders in reinvest-
ment of dividends and distributions 4,869,454 52,127,903
------------- -------------
Total issued 16,860,837 181,099,607
Shares redeemed (14,162,108) (152,405,959)
------------- -------------
Net increase 2,698,729 $ 28,693,648
============= =============
National Portfolio
Class B Shares for the Six Dollar
Months Ended December 31, 1993 Shares Amount
Shares sold 8,107,904 $ 90,223,757
Shares issued to shareholders in reinvest-
ment of dividends and distributions 1,177,694 12,929,406
------------- -------------
Total issued 9,285,598 103,153,163
Shares redeemed (3,548,368) (39,472,672)
------------- -------------
Net increase 5,737,230 $ 63,680,491
============= =============
<PAGE>
National Portfolio
Class B Shares for the Year Dollar
Ended June 30, 1993 Shares Amount
Shares sold 17,460,542 $ 188,034,227
Shares issued to shareholders in reinvest-
ment of dividends and distributions 1,136,290 12,165,013
------------- -------------
Total issued 18,596,832 200,199,240
Shares redeemed (7,032,886) (75,457,361)
------------- -------------
Net increase 11,563,946 $ 124,741,879
============= =============
Limited Maturity Portfolio
Class A Shares for the Six Dollar
Months Ended December 31, 1993 Shares Amount
Shares sold 22,856,730 $ 228,535,304
Shares issued to shareholders in
reinvestment of dividends 1,058,366 10,565,211
------------- -------------
Total issued 23,915,096 239,100,515
Shares redeemed (20,101,916) (200,999,205)
------------- -------------
Net increase 3,813,180 $ 38,101,310
============= =============
Limited Maturity Portfolio
Class A Shares for the Year Dollar
Ended June 30, 1993 Shares Amount
Shares sold 56,244,112 $ 561,589,090
Shares issued to shareholders in
reinvestment of dividends 1,844,279 18,415,744
------------- -------------
Total issued 58,088,391 580,004,834
Shares redeemed (35,373,885) (353,118,455)
------------- -------------
Net increase 22,714,506 $ 226,886,379
============= =============
Limited Maturity Portfolio
Class B Shares for the Six Dollar
Months Ended December 31, 1993 Shares Amount
Shares sold 5,764,996 $ 57,637,893
Shares issued to shareholders in
reinvestment of dividends 135,439 1,354,238
------------- -------------
Total issued 5,900,435 58,992,131
Shares redeemed (1,674,859) (16,746,134)
------------- -------------
Net increase 4,225,576 $ 42,245,997
============= =============
<PAGE>
Limited Maturity Portfolio
Class B Shares for the Period Dollar
November 2, 1992++ to June 30, 1993 Shares Amount
Shares sold 10,536,340 $ 105,289,015
Shares issued to shareholders in
reinvestment of dividends 69,735 697,915
------------- -------------
Total issued 10,606,075 105,986,930
Shares redeemed (1,096,869) (10,979,714)
------------- -------------
Net increase 9,509,206 $ 95,007,216
============= =============
[FN]
++Commencement of operations.
5. Capital Loss Carryforward:
At June 30, 1993, the Fund had a net capital loss carryforward of
approximately $4,225,000 in the Limited Maturity Portfolio, of
which $1,416,000 expires in 1997, $2,787,000 expires in 1998 and
$22,000 expires in 1999. These will be available to offset like
amounts of any future taxable gains.
