<PAGE> 1
VANGUARD
MUNICIPAL BOND
FUND
Annual Report -- October 31, 1997
[PHOTO]
[THE VANGUARD GROUP LOGO]
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[PHOTO]
OUR CREW MAKES THE DIFFERENCE
Throughout our history, The Vanguard Group has received considerable attention
as the low-cost provider of mutual funds. While such accolades are gratifying,
we are most proud, not of our low operating expenses or the billions of dollars
we manage, but of our sterling reputation created by the Vanguard crew.
We recognize that it is our crew members--some 6,000 highly motivated men and
women--who form the cornerstone of our operations. As with any cornerstone, we
could not survive long--let alone prosper--without it. That's why we chose this
fiscal year's annual report to celebrate the spirit, enthusiasm, and
achievements of our crew. (We call those who work at Vanguard crew members, not
employees, because they operate as a team to accomplish our mission of serving
you, our clients.)
But while we prize the collective contributions of our crew, we also take
time to recognize the importance of the individual. Each calendar quarter, we
present our Award For Excellence to a handful of crew members who have
demonstrated particular excellence in the performance of their jobs and who
embody "The Vanguard Spirit." Our report cover shows only a few of the more
than 300 crew members who have received this distinction since 1984.
They, along with the rest of our valiant crew, look forward to serving
you in the years ahead.
[PHOTO]
John J. Brennan John C. Bogle
President Chairman
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CONTENTS
<S> <C>
A MESSAGE TO OUR SHAREHOLDERS . . . . . . . . . . . . . . . . . . 1
THE MARKETS IN PERSPECTIVE . . . . . . . . . . . . . . . . . . . 5
REPORT FROM THE ADVISER . . . . . . . . . . . . . . . . . . . . . 7
PERFORMANCE SUMMARIES . . . . . . . . . . . . . . . . . . . . . . 9
PORTFOLIO PROFILES . . . . . . . . . . . . . . . . . . . . . . . 16
FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . . . . . . 24
</TABLE>
All comparative mutual fund data are from Lipper Analytical Services, Inc., or
Morningstar unless otherwise noted.
<PAGE> 3
FELLOW SHAREHOLDER,
As we reported to you two months ago, we have changed the fiscal year-end for
Vanguard Municipal Bond Fund to October 31 from August 31. Here we present the
performance of our seven Portfolios during the two-month "stub" period since
our last report. Later in this letter we will discuss the performance of the
financial markets and our seven Portfolios over the past twelve months and
provide our customary ten-year overview. The change in the fiscal year will
enable our portfolio managers to better match the realization of capital gains
with the timing of distributions to the Fund's shareholders, but will not
affect the Fund's investment objectives or policies.
<TABLE>
<CAPTION>
- ---------------------------------------------
TOTAL RETURNS
AUG. 31, 1997
PORTFOLIO THROUGH OCT. 31, 1997
- ---------------------------------------------
<S> <C>
Money Market +0.6%
Short-Term +0.7
Limited-Term +1.0
Intermediate-Term +1.2
Insured Long-Term +1.4
Long-Term +1.5
High-Yield +1.6
- ---------------------------------------------
</TABLE>
During the brief two-month period ended October 31, interest rates moved
slightly lower and all of our Portfolios provided positive returns, ranging
from +0.6% for our Money Market Portfolio to +1.6% for our High-Yield
Portfolio. We report these figures for your information but caution that
performance over such a brief period should not be used as the basis for any
investment decision. The returns are presented above.
Per-share figures for each Portfolio, including net asset values, income
dividends, and any distributions from net realized capital gains, are presented
in the table following this letter. Because future annual reports will reflect
the October fiscal year-end, we next turn to a report of the Fund's performance
over the twelve-month and ten-year periods through October 31, 1997.
TWELVE-MONTH PERFORMANCE OVERVIEW
During the twelve months, conditions were almost picture-perfect for investors.
Steady economic growth, low inflation, and falling interest rates propelled the
Standard & Poor's 500 Composite Stock Price Index to a +32.1% gain and provided
a solid foundation for the bond market. On balance during the year, the yield
on the benchmark 30-year U.S. Treasury bond declined by 0.49 percentage point
to 6.15%. On the short-term side, on the other hand, rates edged up a bit, with
the yield on the 90-day U.S. Treasury bill closing the fiscal year at 5.20%, up
0.05 percentage point from the level on October 31, 1996. The general decline
in long-term interest rates boosted the prices of bonds, which, added to
interest payments, brought the total return on long-term U.S. Treasury bonds to
+12.6%.
The rate decline in the long-term tax-exempt bond market was smaller than
that in the (taxable) Treasury market, with the yield on high-grade municipal
bonds dropping on balance to 5.40% from 5.83% during the year. Yields on
high-quality, short-term municipal securities finished the year at 3.75%, up
slightly from where they started. At the end of the fiscal year, the 5.40%
yield on 20-year tax-exempt bonds was equal to 87% of the yield on 20-year
(taxable) U.S. Treasury bonds. For investors in the maximum marginal tax
bracket of 39.6%, a 5.40% tax-exempt yield is equivalent to a highly attractive
yield of 8.94% on taxable bonds. For short-term municipals, the tax-exempt
yield of 3.75% is equivalent to a taxable yield of 6.20% on Treasury bills.
1
<PAGE> 4
In this environment, the Portfolios of Vanguard Municipal Bond Fund earned
fine returns for the twelve months ended October 31, 1997, both on an absolute
basis and relative to competing mutual funds. Returns ranged from +3.5% for our
Money Market Portfolio to +8.4% for our High-Yield Portfolio. These are solid
returns for fixed-income funds--particularly since 100% of the income return is
free from federal income taxes. The adjacent table presents the new fiscal-year
total return (capital change plus reinvested dividends) for each Portfolio,
broken down into its capital and income components. It also shows each
Portfolio's yield as of October 31.
<TABLE>
<CAPTION>
- -----------------------------------------------------------
COMPONENTS OF TOTAL RETURNS
FISCAL YEAR ENDED OCTOBER 31, 1997
---------------------------------------
TOTAL INCOME CAPITAL CURRENT
PORTFOLIO RETURN RETURN RETURN YIELD*
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
Money Market** +3.5% +3.5% 0.0% 3.53%
Short-Term +4.0 +4.0 0.0 3.75
Limited-Term +5.0 +4.5 +0.5 4.05
Intermediate-Term +6.6 +5.3 +1.3 4.40
Insured Long-Term +7.6 +5.7 +1.9 4.86
Long-Term +8.2 +5.6 +2.6 4.81
High-Yield +8.4 +5.9 +2.5 4.97
- -----------------------------------------------------------
</TABLE>
*SEC 7-day annualized yield for Money Market Portfolio; SEC 30-day annualized
yield for other Portfolios.
**Money market funds do not assure a stable value of $1 per share and, unlike
bank certificates of deposit, are not insured by the Federal Deposit
Insurance Corporation.
As you would expect, the decline in interest rates during the year
affected the net asset values of our Portfolios in proportion to their
maturities. Though dividends from tax-exempt interest provided most of the
total return of our Portfolios, all but two of them also experienced increases
in share price because of lower rates. Our Long-Term Portfolio, the most
sensitive to changes in interest rates, and our High-Yield Portfolio, which is
sensitive to the economy's strength, experienced the largest share-price gains.
Our Intermediate-Term Portfolio also benefited nicely from the interest rate
decline. Our Limited-Term Portfolio received only a slight degree of
share-price appreciation, and our Short-Term Portfolio provided no capital
appreciation. Our Money Market Portfolio maintained its share price of $1, as
is expected though not guaranteed.
Partly as a result of higher bond prices, we expect to make year-end
distributions of realized capital gains to shareholders of five of our
Portfolios. Based on estimates as of October 31, we expect the distributions to
total $0.01 per share for our Short-Term Portfolio; $0.05 per share for our
Intermediate-Term Portfolio; $0.08 per share for our Insured Long-Term
Portfolio; $0.06 for our Long-Term Portfolio; and $0.05 for our High-Yield
Portfolio. We endeavor to minimize the realization of these taxable gains, but
we don't allow that policy to interfere with our overall investment strategy.
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TOTAL RETURNS
FISCAL YEAR ENDED OCTOBER 31, 1997
-----------------------------------------
AVERAGE
VANGUARD COMPETITIVE
PORTFOLIO FUND FUND DIFFERENCE
- -----------------------------------------------------------
<S> <C> <C> <C>
Money Market +3.5% +3.0% +0.5%
Short-Term +4.0 +4.2* -0.2
Limited-Term +5.0 +4.9 +0.1
Intermediate-Term +6.6 +6.6 0.0
Insured Long-Term +7.6 +7.4 +0.2
Long-Term +8.2 +8.1 +0.1
High-Yield +8.4 +9.3 -0.9
- -----------------------------------------------------------
</TABLE>
*Adjusted for maturity differences.
Compared with that of its peers, Vanguard Municipal Bond Fund's
performance was solid: Four of our seven Portfolios outpaced their average
competitors over the twelve months, one matched its average peer, and two fell
slightly short.
2
<PAGE> 5
The shortfall of our High-Yield Portfolio is explained in part by the
distress of industrial revenue bonds issued to finance so-called de-inking
plants, which process recycled paper. Our Portfolio was hurt by holding two
such bonds, amounting to about 1.7% of its assets. Though our High-Yield
Portfolio almost invariably holds a smaller share of lower-quality issues than
its peers--a policy that has served our shareholders well over the long
term--this episode illustrates that we are not immune to the risks of investing
in sub-investment-grade bonds.
Over time, the bond market has demonstrated both the negative and positive
effects of interest rate changes. During the Fund's past four fiscal years,
rising interest rates have twice detracted from bond returns, while falling
interest rates have twice augmented them. This illustrates that while bond
prices can be volatile over short periods, these fluctuations often cancel each
other out over longer periods. As a result, the long-term returns on bonds are
overwhelmingly determined by income returns rather than by capital gains or
losses.
LONG-TERM PERFORMANCE OVERVIEW
Over a longer--and thus, more meaningful--period, the results of our Portfolios
are uniformly impressive. The Performance Summaries on pages 9 through 15
present the long-term results for each of our Portfolios, including yearly
breakdowns of the income and capital returns earned by each, as well as
cumulative returns for the period. The table below summarizes the total returns
of each Portfolio relative to the average return of comparable tax-exempt
fixed-income mutual funds for the ten years ended October 31. It also shows how
a $10,000 investment in each fund would have grown over the decade.
As the table shows, each of our Portfolios has outperformed its peer group
during these longer periods. Over the years, our margin of superiority, which
we call the "Vanguard advantage," can add up to considerable sums. Our annual
average margins of superiority range from 0.3 percentage point to 1.3
percentage points, equating over a decade to extra returns ranging from about
$500 to more than $2,800 (or from 5% to 28% of the initial investment) for our
shareholders versus those delivered by our peers.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------
TOTAL RETURNS
10 YEARS ENDED OCTOBER 31, 1997
-----------------------------------------------------------------
FINAL VALUE OF
AVERAGE A $10,000
ANNUAL RATE INITIAL INVESTMENT*
-----------------------------------------------------------------
AVERAGE AVERAGE
VANGUARD COMPETITIVE VANGUARD COMPETITIVE VANGUARD
PORTFOLIO PORTFOLIO FUND PORTFOLIO FUND ADVANTAGE
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Money Market +4.1% +3.7% $14,928 $14,347 $ 581
Short-Term +5.1 +4.8** 16,516 16,018 498
Limited-Term +6.3 +5.7 18,352 17,398 954
Intermediate-Term +8.4 +7.1 22,383 19,782 2,601
Insured Long-Term +9.1 +8.2 23,813 21,935 1,878
Long-Term +9.4 +8.3 24,647 22,200 2,447
High-Yield +9.6 +8.3 25,011 22,205 2,806
- ---------------------------------------------------------------------------------------
</TABLE>
*Assuming reinvestment of all income dividends and capital gains distributions.
**Adjusted for maturity differences.
Costs matter for all mutual funds. But they matter particularly for bond
funds, where expenses account for a large share of the performance difference
between funds with similar quality and maturity. The expense ratios of our
Portfolios averaged about 0.20% of net assets during the fiscal year, well
below the 0.59% expense ratio of the average short-term municipal bond fund and
the 1.07% expense ratio of the average long-term municipal bond fund. These
respective differences of about 0.40
3
<PAGE> 6
percentage point and 0.85 percentage point amount to $4.00 to $8.50 for each
$1,000 invested in the funds. Because expenses reduce the income passed through
to bond fund investors, our cost advantage flows directly to our shareholders.
Much of the credit for our long-term success also goes to Vanguard Fixed
Income Group, which manages our Portfolios with outstanding expertise and
professionalism within our clearly defined maturity and credit-quality
standards.
The Performance Summaries that follow also compare the returns of each of
our non-money-market Portfolios with those of an unmanaged index benchmark.
While we have uniformly outpaced our peers over longer periods, we have not
always surpassed these indexes. But our Portfolios' close tracking of their
respective indexes is noteworthy, since the indexes exist only on paper and are
not burdened by the operating, advisory, and securities transaction costs that,
in the real world, all mutual funds bear.
Because the past decade has been a generous one for bonds--interest rates
have receded from levels much higher than those prevailing today--it is very
unlikely that absolute returns from tax-exempt bonds will be as high in the
next decade as they were in the past one. However, we are confident that our
enduring advantages--low costs and sound management--will continue to provide
our Portfolios with a virtually insurmountable long-term edge relative to our
peer group of mutual funds.
IN SUMMARY
The rewards of the financial markets have been abundantly clear over the past
three years. Though the inherent risks of investing--even bond investing--may
not seem as obvious, we assure you that they exist. We need look back only a
few years for evidence of the wide and unpredictable swings that are very much
a part of bond investing.
That said, the greatest risk is not investing in the first place. We
believe that a sound method for dealing with risk is to construct a balanced
investment program of stock funds, bond funds, and reserves, one that is suited
to your objectives, financial situation, tolerance for risk, and time horizon.
If you have such a program in place, you should be prepared to "stay the
course" toward your investment goals, no matter what lies ahead.
/s/ JOHN C. BOGLE /s/ JOHN J. BRENNAN
John C. Bogle John J. Brennan
November 19, 1997
<TABLE>
<CAPTION>
Portfolio Statistics--August 31, 1997, through October 31, 1997
- ---------------------------------------------------------------------------------------
NET ASSET VALUE
PER SHARE TWO MONTHS
---------------------------- -----------------------
AUGUST 31, OCTOBER 31, INCOME CAPITAL CURRENT
PORTFOLIO 1997 1997 DIVIDENDS GAINS YIELD*
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Money Market $ 1.00 $ 1.00 $0.006 -- 3.53%
Short-Term 15.57 15.58 0.103 -- 3.75
Limited-Term 10.71 10.74 0.078 -- 4.05
Intermediate-Term 13.30 13.35 0.111 -- 4.40
Insured Long-Term 12.45 12.51 0.111 -- 4.86
Long-Term 11.11 11.18 0.098 -- 4.81
High-Yield 10.76 10.83 0.106 -- 4.97
- ---------------------------------------------------------------------------------------
</TABLE>
*SEC 7-day annualized yield for Money Market Portfolio; SEC 30-day annualized
yield for other Portfolios.
4
<PAGE> 7
THE MARKETS IN PERSPECTIVE
Year Ended October 31, 1997
U.S. EQUITY MARKETS
The 12-month period ended October 31, 1997, was exceptionally strong for stock
investors, although it wound up on a rather unpleasant note. Over the period,
large-capitalization stocks continued their advance, propelling the S&P 500
Index to a 32.1% gain. Small-cap stocks also fared well, as illustrated by the
29.3% increase of the Russell 2000 Index. These gains stood despite October's
volatile final week, when sharp declines in Asian stock markets led many
investors to question their expectations regarding the U.S. market. While the
domestic market dropped substantially--the Dow Jones Industrial Average fell
554 points, or 7.2%, on October 27--it then rebounded smartly over the next few
days. This quick recovery probably can be attributed to investors' recognition
that three major factors underlying the bull market of recent years were
unaffected by the turmoil in Asia. These factors are solid economic growth;
restrained inflation, at levels not experienced since the 1960s; and impressive
growth in corporate profits.
Among large-cap stocks, the best-performing sectors in fiscal 1997 were
technology and financial services, with increases of 51.1% and 41.4%,
respectively. The surge in technology reflects robust corporate spending on
this industry's products, particularly desktop computers, networking equipment,
and software. Consumer discretionary and cyclical stocks could be considered
laggards by contrast, despite their respective gains of 20.4% and 14.5%.
(Clearly the market has shown amazing growth when a 15%-20% advance over a
one-year period can be viewed as inadequate.)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
AVERAGE ANNUALIZED RETURNS
PERIODS ENDED OCTOBER 31, 1997
---------------------------------
1 YEAR 3 YEARS 5 YEARS
- ------------------------------------------------------------------------
<S> <C> <C> <C>
EQUITY
S&P 500 Index 32.1% 27.5% 19.9%
Russell 2000 Index 29.3 21.3 18.7
MSCI EAFE Index 4.9 5.1 12.1
- ------------------------------------------------------------------------
FIXED INCOME
Lehman Aggregate Bond Index 8.9% 10.1% 7.5%
Lehman 10-Year Municipal Bond Index 8.7 9.4 7.8
Salomon Brothers Three-Month
U.S. Treasury Bill Index 5.2 5.4 4.6
- ------------------------------------------------------------------------
OTHER
Consumer Price Index 2.1% 2.6% 2.6%
- ------------------------------------------------------------------------
</TABLE>
While small-company stocks failed to match the outsized advance of the S&P
500 Index, their performance grew notably stronger in the second half of the
fiscal year. This was evident in both absolute and relative terms: During the
past six months, the Russell 2000 Index rose 27.3%, compared to 15.2% for the
S&P 500. The improved performance of smaller companies cannot be attributed to
any single factor, but is, rather, due to a combination of attractive
valuations and good earnings.
U.S. FIXED-INCOME MARKETS
Interest rates fell across the yield curve, rewarding fixed-income investors
with higher total returns. For example, the rates on 1-, 5-, 10-, and 30-year
Treasury issues decreased 0.06%, 0.35%, 0.51%, and 0.49%, respectively, during
the fiscal year. These declines reflected the continuing good news regarding
inflation and the relative dormancy of
5
<PAGE> 8
the Federal Reserve. The benefit to investors was illustrated by the 8.9%
return of the Lehman Brothers Aggregate Bond Index, the broadest measure of
investment-grade issues. Investors in lower-quality securities fared even
better, as shown by the 13.7% gain of the Lehman High Yield Bond Index. The
strength of the economy combined with the lack of inflationary pressure
produced an ideal environment for junk bonds.
INTERNATIONAL EQUITY MARKETS
The last quarter of the fiscal year proved to be horrible for investments in
Pacific markets, with declines both widespread and pronounced. The Morgan
Stanley Capital International (MSCI) Pacific Index declined by 21.4% in U.S.
dollar terms during the three months and was down 19.7% for the full fiscal
year. Among individual markets (also in U.S. dollar terms), Japan fell 18.4%
for the quarter and 18.1% for the 12 months, while the declines over the same
periods reached 34.3% and 17.5% in Hong Kong and 49.0% and 57.2% in Malaysia.
These markets suffered for a variety of reasons, but concern about future
economic growth was particularly significant.
By contrast, the European markets continued to provide U.S. investors with
solid returns, although they, too, stumbled in late October. The MSCI Europe
Index posted a gain of 26.0% for the 12 months despite a 4.9% decline in
October. The robust character of the European markets reflects strong earnings
and optimism that the growth will remain solid.
6
<PAGE> 9
REPORT FROM THE ADVISER
It was only 60 days ago that we last reported on the status of Vanguard
Municipal Bond Fund. We are writing to you again because we have moved the
Fund's fiscal year-end from August 31 to October 31, a change that will allow
us to better manage the Fund's potential capital gains tax liabilities.
Since our last report, financial markets have been roiled by major
concerns over international economic stability. The spreading currency crisis
in Asia has caused increased turbulence in the world's major stock markets. On
the home front, our economy has continued to expand.
Shareholders should bear in mind that the total returns of the shortened
fiscal period--presented in the Message To Shareholders on page 1--are not
comparable to those in our previous reports because this period includes only
two months' worth of income instead of the normal 12 months' worth. We also
note that the October dividend distribution of the Fund's High-Yield Portfolio
was greater than normal because the Portfolio recaptured some tax-exempt
interest payments that had been delayed during the restructuring of a
high-yield security.
GLOBAL STOCK MARKETS AFFECTED BOND MARKETS
Several countries in Asia have been experiencing economic difficulties that
have forced them to devalue their currencies. This currency distress eventually
spread to Hong Kong and its stock market. On October 27, 1997, the stock
markets of Hong Kong and several of its Pacific Rim neighbors experienced
significant losses. This "Asian flu" quickly leaped to the world's other major
stock markets. When trading ended in New York on October 27, the Dow Jones
Industrial Average had recorded a record daily point loss of 554. On a
percentage basis, the Dow was off 7% from its previous close. (This was
one-third of the percentage decline experienced on "Black Monday," October 19,
1987.) By the end of October, most of the global stock markets had recovered
their losses, and market participants prepared themselves for increased levels
of volatility.
The distress in the global equity markets caused a phenomenon known as a
"flight to quality." This is defined as the moving of capital to the safest
possible investment to avoid loss during an unsettling period in a market. In
October, the U.S. Treasury securities market was the recipient of most of the
fleeing capital. The result was hefty price gains for most Treasury securities
late in the month.
THE DOMESTIC ECONOMY
The U.S. economy has shown signs of accelerating its growth rate. The
unemployment rate in October was reported at 4.7%, a 24-year low. The Gross
Domestic Product (GDP)--the nation's output of goods and services--registered a
3.3% annual growth rate in the third
7
<PAGE> 10
quarter, after adjusting for the effects of inflation. These reports indicate a
strong economy. Nonetheless, inflation remains subdued. The annual rate of
inflation, as measured by the third-quarter GDP implicit price index, was 1.4%.
This was the lowest rate by this measure since 1964.
CONCLUSION
The seven Portfolios of Vanguard Municipal Bond Fund performed consistently
with their investment objectives during the two-month period covered by this
report. As noted above, unusual income accruals in our High-Yield Portfolio
distorted its dividends during October. The abnormally high dividend resulted
from a recovery of tax-exempt interest, foregone for months during
restructuring negotiations. The High-Yield Portfolio's monthly dividend
distribution will revert to more normal levels in November. The tumult in the
global equity markets has changed the focus of many bond-market participants.
They are no longer solely concerned with the domestic economy's growth rate and
its effect on inflation. A complex global component must now be factored into
the market's analysis of whether--and when--inflation will rise from its
present levels. Whatever happens, the Portfolios of Vanguard Municipal Bond
Fund will provide returns consistent with their investment objectives.
Ian A. MacKinnon, Managing Director
Christopher M. Ryon, Principal
Pamela Wisehaupt Tynan, Principal
Reid O. Smith, Principal
Vanguard Fixed Income Group
November 14, 1997
INVESTMENT PHILOSOPHY
Each Portfolio holds a diversified group of municipal bonds designed to produce
a high level of current, tax-exempt income consistent with each Portfolio's
maturity and quality mandates.
In managing the Fund, Vanguard Fixed Income Group follows a disciplined
investment policy, meeting well-defined standards for credit quality and
keeping each Portfolio within its stated maturity range, while seeking to
exceed, with reasonable consistency over the long term, average returns
achieved by comparable funds.
8
<PAGE> 11
PERFORMANCE SUMMARY
Money Market Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note that
annual returns can fluctuate widely. An investment in a money market fund is
neither insured nor guaranteed by the U.S. government, and there is no
assurance that the fund will be able to maintain a stable value of $1 per
share.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: JUNE 10, 1980-OCTOBER 31, 1997
- --------------------------------------------------------
MONEY MARKET PORTFOLIO AVERAGE
FUND*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -------------------------------------------------------
<S> <C> <C> <C> <C>
1980 0.0% 1.3% 1.3% 0.1%
1981 0.0 6.4 6.4 6.2
1982 0.0 7.4 7.4 7.8
1983 0.0 5.1 5.1 4.8
1984 0.0 5.8 5.8 5.4
1985 0.0 5.4 5.4 5.0
1986 0.0 4.9 4.9 4.6
1987 0.0 4.4 4.4 3.9
1988 0.0 5.0 5.0 4.7
1989 0.0 6.3 6.3 5.9
1990 0.0 5.9 5.9 5.5
1991 0.0 4.8 4.8 4.5
1992 0.0 3.3 3.3 2.8
1993 0.0 2.5 2.5 2.0
1994 0.0 2.5 2.5 2.1
1995 0.0 3.7 3.7 3.3
1996 0.0 3.4 3.4 3.0
1997 0.0 3.5 3.5 3.0
- --------------------------------------------------------
</TABLE>
*Average Tax-Exempt Money Market Fund.
See Financial Highlights table on page 32 for dividend information for the past
five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: OCTOBER 31, 1987-OCTOBER 31, 1997
- ----------------------------------------------------------------------
MONEY MARKET PORTFOLIO AVERAGE TAX-EXEMPT MONEY MARKET FUND
<S> <C> <C>
1987 10 10000 10000
1988 01 10125 10114
1988 04 10239 10224
1988 07 10363 10337
1988 10 10503 10470
1989 01 10656 10610
1989 04 10823 10771
1989 07 10997 10933
1989 10 11162 11088
1990 01 11328 11241
1990 04 11487 11391
1990 07 11650 11542
1990 10 11818 11701
1991 01 11983 11856
1991 04 12123 11982
1991 07 12255 12096
1991 10 12390 12223
1992 01 12513 12332
1992 04 12613 12417
1992 07 12708 12495
1992 10 12795 12569
1993 01 12878 12639
1993 04 12953 12696
1993 07 13030 12752
1993 10 13111 12818
1994 01 13187 12880
1994 04 13260 12937
1994 07 13343 13003
1994 10 13443 13089
1995 01 13563 13193
1995 04 13689 13301
1995 07 13818 13409
1995 10 13944 13520
1996 01 14072 13630
1996 04 14184 13725
1996 07 14302 13819
1996 10 14423 13924
1997 01 14546 14028
1997 04 14665 14127
1997 07 14798 14235
1997 10 14928 14347
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED OCTOBER 31, 1997
------------------------------ FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Money Market Portfolio 3.50% 3.13% 4.09% $14,928
Average Tax-Exempt Money Market Fund 3.04 2.68 3.68 14,347
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED SEPTEMBER 30, 1997*
- -----------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Money Market Portfolio 6/10/1980 3.48% 3.12% 0.00% 4.10% 4.10%
- -----------------------------------------------------------------------------------------
</TABLE>
*SEC rules require that we provide this average annual total return information
through the latest calendar quarter.
9
<PAGE> 12
PERFORMANCE SUMMARY
Short-Term Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate so that an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: OCTOBER 31, 1977-OCTOBER 31, 1997
- ---------------------------------------------------------------
SHORT-TERM PORTFOLIO LEHMAN*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
1978 -1.1% 3.5% 2.4% N/A
1979 -0.7 4.4 3.7 N/A
1980 0.9 5.3 6.2 N/A
1981 0.1 6.7 6.8 N/A
1982 2.4 8.3 10.7 N/A
1983 -0.5 6.1 5.6 N/A
1984 -0.1 6.5 6.4 N/A
1985 0.7 6.5 7.2 N/A
1986 1.6 6.1 7.7 11.0%
1987 -2.2 5.0 2.8 3.2
1988 1.6 5.4 7.0 5.9
1989 0.3 6.0 6.3 6.2
1990 0.4 6.1 6.5 7.0
1991 1.2 5.7 6.9 9.4
1992 0.8 4.5 5.3 7.8
1993 0.3 3.9 4.2 6.6
1994 -1.3 3.5 2.2 1.4
1995 1.2 4.1 5.3 8.0
1996 -0.1 4.0 3.9 4.5
1997 0.0 4.0 4.0 5.5
- --------------------------------------------------------------
</TABLE>
*Lehman 3-Year Municipal Bond Index.
See Financial Highlights table on page 33 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: OCTOBER 31, 1987-OCTOBER 31, 1997
- -------------------------------------------------------------------------------------------------------------------
SHORT-TERM PORTFOLIO AVERAGE SHORT-TERM MUNICIPAL FUND* LEHMAN 3 YEAR MUNICIPAL BOND INDEX
<S> <C> <C> <C>
1987 10 10000 10000 10000
1988 01 10307 10114 10320
1988 04 10444 10224 10465
1988 07 10547 10337 10486
1988 10 10702 10470 10592
1989 01 10825 10610 10713
1989 04 10927 10771 10745
1989 07 11228 10933 11142
1989 10 11372 11088 11249
1990 01 11563 11241 11449
1990 04 11688 11391 11532
1990 07 11939 11542 11878
1990 10 12111 11701 12034
1991 01 12376 11998 12398
1991 04 12573 12235 12638
1991 07 12730 12285 12831
1991 10 12944 12514 13160
1992 01 13205 12833 13561
1992 04 13293 12959 13636
1992 07 13575 13178 14190
1992 10 13635 13240 14185
1993 01 13837 13498 14478
1993 04 13983 13693 14746
1993 07 14050 13662 14888
1993 10 14202 13808 15124
1994 01 14358 14093 15387
1994 04 14322 14021 15148
1994 07 14446 14033 15350
1994 10 14515 14062 15330
1995 01 14637 14280 15496
1995 04 14874 14530 15855
1995 07 15120 14675 16307
1995 10 15280 14826 16556
1996 01 15493 15166 16862
1996 04 15541 15190 16847
1996 07 15702 15212 17057
1996 10 15875 15379 17303
1997 01 16024 15692 17549
1997 04 16124 15778 17622
1997 07 16363 15883 18082
1997 10 16516 16018 18253
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED OCTOBER 31, 1997
---------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Short-Term Portfolio 4.04% 3.91% 5.15% $16,516
Average Short-Term Municipal Fund* 4.16 3.88 4.82 16,018
Lehman 3-Year Municipal Bond Index 5.49 5.17 6.20 18,253
- ----------------------------------------------------------------------------------------------------
</TABLE>
*Adjusted for maturity differences.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED SEPTEMBER 30, 1997*
- -----------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Short-Term Portfolio 9/1/1977 4.23% 3.84% 0.39% 4.71% 5.10%
- -----------------------------------------------------------------------------------------
</TABLE>
*SEC rules require that we provide this average annual total return information
through the latest calendar quarter.
10
<PAGE> 13
PERFORMANCE SUMMARY
Limited-Term Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate so that an investment in the
Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: AUGUST 31, 1987-OCTOBER 31, 1997
- -------------------------------------------------------------------
LIMITED-TERM PORTFOLIO LEHMAN*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- ------------------------------------------------------------------
<S> <C> <C> <C> <C>
1987 -0.6% 1.0% 0.4% -0.2%
1988 2.2 6.3 8.5 5.9
1989 0.0 6.5 6.5 6.2
1990 0.7 6.5 7.2 7.0
1991 2.8 6.1 8.9 9.4
1992 1.7 5.3 7.0 7.8
1993 2.4 4.6 7.0 6.6
1994 -3.1 4.2 1.1 1.4
1995 2.5 4.7 7.2 8.0
1996 -0.2 4.6 4.4 4.5
1997 0.5 4.5 5.0 5.5
- ------------------------------------------------------------------
</TABLE>
*Lehman 3-Year Municipal Bond Index.
See Financial Highlights table on page 33 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: OCTOBER 31, 1987-OCTOBER 31, 1997
- --------------------------------------------------------------------------------------------------------------
LIMITED-TERM PORTFOLIO AVERAGE LIMITED-TERM MUNICIPAL FUND LEHMAN 3 YEAR MUNICIPAL BOND INDEX
<S> <C> <C> <C>
1987 10 10000 10000 10000
1988 01 10427 10373 10320
1988 04 10557 10488 10465
1988 07 10681 10591 10486
1988 10 10846 10763 10592
1989 01 10976 10898 10713
1989 04 11062 10960 10745
1989 07 11434 11261 11142
1989 10 11552 11410 11249
1990 01 11771 11598 11449
1990 04 11864 11679 11532
1990 07 12218 11960 11878
1990 10 12387 12126 12034
1991 01 12733 12419 12398
1991 04 12984 12617 12638
1991 07 13169 12779 12831
1991 10 13495 13065 13160
1992 01 13849 13381 13561
1992 04 13916 13475 13636
1992 07 14411 13888 14190
1992 10 14434 13918 14185
1993 01 14781 14273 14478
1993 04 15028 14535 14746
1993 07 15152 14626 14888
1993 10 15443 14951 15124
1994 01 15693 15135 15387
1994 04 15468 14888 15148
1994 07 15648 14991 15350
1994 10 15610 15024 15330
1995 01 15757 15128 15496
1995 04 16146 15451 15855
1995 07 16517 15723 16307
1995 10 16739 15978 16556
1996 01 17072 16228 16862
1996 04 17006 16220 16847
1996 07 17216 16339 17057
1996 10 17473 16592 17303
1997 01 17686 16761 17549
1997 04 17716 16871 17622
1997 07 18186 17208 18082
1997 10 18352 17398 18253
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED OCTOBER 31, 1997
---------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Limited-Term Portfolio 5.03% 4.92% 6.26% $18,352
Average Limited-Term Municipal Fund 4.86 4.56 5.69 17,398
Lehman 3-Year Municipal Bond Index 5.49 5.17 6.20 18,253
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED SEPTEMBER 30, 1997*
- -----------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Limited-Term Portfolio 8/31/1987 5.53% 4.83% 0.93% 5.36% 6.29%
- -----------------------------------------------------------------------------------------
</TABLE>
*SEC rules require that we provide this average annual total return information
through the latest calendar quarter.
11
<PAGE> 14
PERFORMANCE SUMMARY
Intermediate-Term Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: OCTOBER 31, 1977-OCTOBER 31, 1997
- -----------------------------------------------------------
INTERMEDIATE-TERM PORTFOLIO LEHMAN*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
1978 -5.6% 4.4% -1.2% N/A
1979 -9.5 4.8 -4.7 N/A
1980 -11.6 5.9 -5.7 N/A
1981 -18.4 7.4 -11.0 N/A
1982 15.4 11.3 26.7 N/A
1983 0.3 8.4 8.7 N/A
1984 -1.7 8.9 7.2 N/A
1985 7.2 9.4 16.6 N/A
1986 10.8 8.5 19.3 19.8%
1987 -7.9 6.6 -1.3 -0.4
1988 6.4 7.5 13.9 10.5
1989 0.3 7.2 7.5 6.3
1990 0.3 7.0 7.3 8.0
1991 5.6 7.0 12.6 11.2
1992 1.2 6.0 7.2 8.2
1993 8.4 5.9 14.3 12.0
1994 -6.5 5.0 -1.5 -1.9
1995 6.3 5.8 12.1 12.3
1996 -0.3 5.2 4.9 4.7
1997 1.3 5.3 6.6 7.4
- -----------------------------------------------------------
</TABLE>
*Lehman 7-Year Municipal Bond Index.
See Financial Highlights table on page 34 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: OCTOBER 31, 1987-OCTOBER 31, 1997
- ---------------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-TERM PORTFOLIO AVERAGE INTERMEDIATE-TERM MUNICIPAL FUND LEHMAN 7 YEAR MUNICIPAL BOND INDEX
<S> <C> <C> <C>
1987 10 10000 10000 10000
1988 01 10760 10517 10649
1988 04 10793 10579 10752
1988 07 10997 10705 10798
1988 10 11388 10979 11055
1989 01 11627 11049 11182
1989 04 11765 11174 11196
1989 07 12263 11588 11728
1989 10 12245 11645 11751
1990 01 12505 11775 12050
1990 04 12518 11856 12054
1990 07 13130 12302 12549
1990 10 13145 12404 12692
1991 01 13681 12714 13148
1991 04 14028 13034 13425
1991 07 14288 13230 13620
1991 10 14796 13661 14109
1992 01 15114 13916 14491
1992 04 15262 14065 14573
1992 07 16236 14819 15403
1992 10 15867 14661 15266
1993 01 16641 15118 15849
1993 04 17200 15608 16220
1993 07 17508 15882 16568
1993 10 18134 16443 17092
1994 01 18521 16665 17435
1994 04 17867 16015 16724
1994 07 18201 16260 17014
1994 10 17867 16033 16769
1995 01 18352 16223 17089
1995 04 18959 16853 17701
1995 07 19551 17307 18386
1995 10 20031 17782 18836
1996 01 20621 18105 19334
1996 04 20288 17923 19043
1996 07 20615 18153 19318
1996 10 21005 18554 19712
1997 01 21313 18661 20056
1997 04 21367 18814 20062
1997 07 22253 19595 20982
1997 10 22383 19782 21177
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED OCTOBER 31, 1997
------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Intermediate-Term Portfolio 6.56% 7.12% 8.39% $22,383
Average Intermediate-Term Municipal Fund 6.62 6.17 7.06 19,782
Lehman 7-Year Municipal Bond Index 7.43 6.76 7.79 21,177
- -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED SEPTEMBER 30, 1997*
- -----------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Intermediate-Term Portfolio 9/1/1977 7.45% 6.78% 2.27% 6.20% 8.47%
- -----------------------------------------------------------------------------------------
</TABLE>
*SEC rules require that we provide this average annual total return information
through the latest calendar quarter.
12
<PAGE> 15
PERFORMANCE SUMMARY
Insured Long-Term Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: SEPTEMBER 30, 1984-OCTOBER 31, 1997
- -------------------------------------------------------------
INSURED LONG-TERM PORTFOLIO LEHMAN*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
1984 -1.6% 0.8% -0.8% 1.3%
1985 6.7 9.7 16.4 18.7
1986 14.3 9.2 23.5 22.6
1987 -9.2 6.9 -2.3 -0.8
1988 7.9 8.2 16.1 14.6
1989 1.3 7.5 8.8 8.1
1990 -0.8 7.2 6.4 7.4
1991 6.0 7.2 13.2 12.2
1992 0.2 6.5 6.7 8.4
1993 10.7 6.4 17.1 14.1
1994 -10.8 5.2 -5.6 -4.3
1995 9.5 6.4 15.9 14.8
1996 0.7 5.6 6.3 5.7
1997 1.9 5.7 7.6 8.5
- -------------------------------------------------------------
</TABLE>
*Lehman Municipal Bond Index.
See Financial Highlights table on page 34 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: OCTOBER 31, 1987-OCTOBER 31, 1997
- ------------------------------------------------------------------------------------------------------------------
INSURED LONG-TERM PORTFOLIO AVERAGE INSURED LONG-TERM MUNICIPAL FUND LEHMAN MUNICIPAL BOND INDEX
<S> <C> <C> <C>
1987 10 10000 10000 10000
1988 01 10801 10851 10781
1988 04 10813 10787 10850
1988 07 11084 11057 11048
1988 10 11612 11527 11457
1989 01 11967 11766 11705
1989 04 12155 11986 11818
1989 07 12724 12474 12394
1989 10 12637 12424 12385
1990 01 12773 12550 12645
1990 04 12715 12613 12670
1990 07 13515 13209 13253
1990 10 13446 13147 13305
1991 01 14112 13668 13814
1991 04 14382 14030 14125
1991 07 14612 14275 14410
1991 10 15226 14714 14923
1992 01 15566 15049 15321
1992 04 15711 15262 15468
1992 07 16974 16262 16389
1992 10 16252 15763 16175
1993 01 17237 16502 16826
1993 04 17992 17222 17424
1993 07 18262 17540 17838
1993 10 19031 18115 18452
1994 01 19496 18482 18888
1994 04 18229 17354 17800
1994 07 18743 17687 18178
1994 10 17970 16974 17654
1995 01 18860 17593 18222
1995 04 19619 18449 18991
1995 07 20160 18837 19611
1995 10 20829 19459 20275
1996 01 21730 20164 20965
1996 04 21065 19626 20501
1996 07 21553 19976 20905
1996 10 22136 20428 21431
1997 01 22409 20579 21770
1997 04 22493 20755 21860
1997 07 23759 21882 23048
1997 10 23813 21935 23250
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED OCTOBER 31, 1997
------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Long-Term Portfolio 7.57% 7.94% 9.06% $23,813
Average Insured Long-Term Municipal Fund 7.38 6.83 8.17 21,935
Lehman Municipal Bond Index 8.49 7.53 8.80 23,250
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED SEPTEMBER 30, 1997*
- -----------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Insured Long-Term Portfolio 9/30/1984 8.55% 7.38% 2.53% 6.62% 9.15%
- -----------------------------------------------------------------------------------------
</TABLE>
*SEC rules require that we provide this average annual total return information
through the latest calendar quarter.
13
<PAGE> 16
PERFORMANCE SUMMARY
Long-Term Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: OCTOBER 31, 1977-OCTOBER 31, 1997
- -----------------------------------------------------------
LONG-TERM PORTFOLIO LEHMAN*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
1978 -8.9% 5.3% -3.6% N/A
1979 -9.4 5.7 -3.7 N/A
1980 -19.2 6.5 -12.7 N/A
1981 -21.4 8.4 -13.0 -11.4%
1982 19.0 13.3 32.3 31.6
1983 1.8 9.5 11.3 4.4
1984 -3.3 9.6 6.3 7.6
1985 8.3 10.1 18.4 18.7
1986 14.5 9.3 23.8 22.6
1987 -11.0 6.9 -4.1 -0.8
1988 9.0 8.3 17.3 14.6
1989 1.2 7.6 8.8 8.1
1990 -1.1 7.2 6.1 7.4
1991 6.7 7.6 14.3 12.2
1992 0.8 6.7 7.5 8.4
1993 10.5 6.4 16.9 14.1
1994 -10.7 5.2 -5.5 -4.3
1995 9.5 6.5 16.0 14.8
1996 1.1 5.6 6.7 5.7
1997 2.6 5.6 8.2 8.5
- -----------------------------------------------------------
</TABLE>
*Lehman Municipal Bond Index.
See Financial Highlights table on page 35 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: OCTOBER 31, 1987-OCTOBER 31, 1997
- ----------------------------------------------------------------------------------------------------
LONG-TERM PORTFOLIO AVERAGE GENERAL MUNICIPAL FUND LEHMAN MUNICIPAL BOND INDEX
<S> <C> <C> <C>
1987 10 10000 10000 10000
1988 01 10927 10848 10781
1988 04 10876 10814 10850
1988 07 11155 11078 11048
1988 10 11733 11546 11457
1989 01 12029 11798 11705
1989 04 12204 11965 11818
1989 07 12820 12475 12394
1989 10 12763 12439 12385
1990 01 12922 12593 12645
1990 04 12820 12546 12670
1990 07 13655 13202 13253
1990 10 13542 13116 13305
1991 01 14285 13661 13814
1991 04 14598 13958 14125
1991 07 14872 14246 14410
1991 10 15483 14722 14923
1992 01 15878 15095 15321
1992 04 16049 15248 15468
1992 07 17366 16292 16389
1992 10 16652 15804 16175
1993 01 17621 16600 16826
1993 04 18462 17213 17424
1993 07 18705 17607 17838
1993 10 19473 18246 18452
1994 01 19919 18645 18888
1994 04 18703 17399 17800
1994 07 19207 17749 18178
1994 10 18399 17176 17654
1995 01 19251 17748 18222
1995 04 20040 18420 18991
1995 07 20673 18894 19611
1995 10 21341 19535 20275
1996 01 22273 20238 20965
1996 04 21678 19651 20501
1996 07 22202 20009 20905
1996 10 22773 20533 21431
1997 01 23068 20803 21770
1997 04 23206 20855 21860
1997 07 24519 22026 23048
1997 10 24647 22200 23250
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED OCTOBER 31, 1997
----------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Long-Term Portfolio 8.23% 8.16% 9.44% $24,647
Average General Municipal Fund 8.12 7.03 8.30 22,200
Lehman Municipal Bond Index 8.49 7.53 8.80 23,250
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED SEPTEMBER 30, 1997*
- -----------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Long-Term Portfolio 9/1/1977 8.93% 7.60% 2.79% 6.69% 9.48%
- -----------------------------------------------------------------------------------------
</TABLE>
*SEC rules require that we provide this average annual total return information
through the latest calendar quarter.
14
<PAGE> 17
PERFORMANCE SUMMARY
High-Yield Portfolio
All of the data on this page represent past performance, which cannot be used
to predict future returns that may be achieved by the Portfolio. Note, too,
that both share price and return can fluctuate widely so that an investment in
the Portfolio could lose money.
<TABLE>
<CAPTION>
TOTAL INVESTMENT RETURNS: DECEMBER 27, 1978-OCTOBER 31, 1997
- -------------------------------------------------------------
HIGH-YIELD PORTFOLIO LEHMAN*
FISCAL CAPITAL INCOME TOTAL TOTAL
YEAR RETURN RETURN RETURN RETURN
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
1979 -6.8% 5.2% -1.6% N/A
1980 -15.3 7.1 -8.2 N/A
1981 -19.4 9.0 -10.4 -11.4%
1982 16.1 13.7 29.8 31.6
1983 2.4 9.8 12.2 4.4
1984 -2.6 10.0 7.4 7.6
1985 8.5 10.4 18.9 18.7
1986 14.7 9.6 24.3 22.6
1987 -11.7 7.0 -4.7 -0.8
1988 10.1 8.7 18.8 14.6
1989 1.1 7.7 8.8 8.1
1990 -1.9 7.5 5.6 7.4
1991 7.2 8.0 15.2 12.2
1992 0.6 7.1 7.7 8.4
1993 10.0 6.8 16.8 14.1
1994 -10.5 5.5 -5.0 -4.3
1995 9.0 6.8 15.8 14.8
1996 0.3 5.7 6.0 5.7
1997 2.5 5.9 8.4 8.5
- -------------------------------------------------------------
</TABLE>
*Lehman Municipal Bond Index.
See Financial Highlights table on page 35 for dividend and capital gains
information for the past five years.
<TABLE>
<CAPTION>
CUMULATIVE PERFORMANCE: OCTOBER 31, 1987-OCTOBER 31, 1997
- ------------------------------------------------------------------------------------------------------------
HIGH-YIELD PORTFOLIO AVERAGE HIGH-YIELD MUNICIPAL FUND LEHMAN MUNICIPAL BOND INDEX
<S> <C> <C> <C>
1987 10 10000 10000 10000
1988 01 10983 10681 10781
1988 04 10874 10733 10850
1988 07 11232 11033 11048
1988 10 11881 11454 11457
1989 01 12198 11711 11705
1989 04 12427 11914 11818
1989 07 13041 12436 12394
1989 10 12930 12417 12385
1990 01 13089 12572 12645
1990 04 12985 12547 12670
1990 07 13844 13136 13253
1990 10 13651 13041 13305
1991 01 14323 13374 13814
1991 04 14710 13695 14125
1991 07 15054 14085 14410
1991 10 15729 14470 14923
1992 01 16098 14802 15321
1992 04 16314 15014 15468
1992 07 17636 15958 16389
1992 10 16941 15557 16175
1993 01 17934 16241 16826
1993 04 18749 16770 17424
1993 07 19032 17233 17838
1993 10 19788 17745 18452
1994 01 20223 18130 18888
1994 04 19131 17122 17800
1994 07 19587 17540 18178
1994 10 18792 17048 17654
1995 01 19607 17519 18222
1995 04 20439 18160 18991
1995 07 21087 18717 19611
1995 10 21769 19216 20275
1996 01 22516 19885 20965
1996 04 21981 19415 20501
1996 07 22508 19845 20905
1996 10 23083 20320 21431
1997 01 23413 20667 21770
1997 04 23512 20824 21860
1997 07 24793 21929 23048
1997 10 25011 22205 23250
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED OCTOBER 31, 1997
------------------------------- FINAL VALUE OF A
1 YEAR 5 YEARS 10 YEARS $10,000 INVESTMENT
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
High-Yield Portfolio 8.35% 8.10% 9.60% $25,011
Average High-Yield Municipal Fund 9.28 7.38 8.30 22,205
Lehman Municipal Bond Index 8.49 7.53 8.80 23,250
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS: PERIODS ENDED SEPTEMBER 30, 1997*
- -----------------------------------------------------------------------------------------
10 YEARS
INCEPTION -----------------------------
DATE 1 YEAR 5 YEARS CAPITAL INCOME TOTAL
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
High-Yield Portfolio 12/27/1978 8.99% 7.56% 2.63% 6.96% 9.59%
- -----------------------------------------------------------------------------------------
</TABLE>
*SEC rules require that we provide this average annual total return information
through the latest calendar quarter.
15
<PAGE> 18
PORTFOLIO PROFILE
Money Market Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
October 31, 1997. Key elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
FINANCIAL ATTRIBUTES
- -----------------------------------------
<S> <C>
Yield 3.5%
Average Maturity 46 days
Average Quality MIG-1
Expense Ratio 0.18%*
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
- -----------------------------------------
<S> <C>
MIG-1/SP-1 68.0%
A-1/P-1 27.0
AAA/AA 4.7
A 0.3
- -----------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF TOTAL NET ASSETS)
- -----------------------------------------
<S> <C>
Texas 12.3%
Florida 5.8
Wisconsin 5.6
New York 4.8
Illinois 4.7
Alabama 4.2
Georgia 4.1
Alaska 4.1
Missouri 3.8
California 3.7
- -----------------------------------------
Top Ten 53.1%
</TABLE>
16
<PAGE> 19
AVERAGE COUPON. The average interest rate, expressed as a percentage of face
value, paid on the bonds held by the portfolio.
AVERAGE DURATION. An estimate of how much a bond portfolio's share price will
fluctuate in response to a change in interest rates. To see how the price
could shift, multiply the portfolio's duration by the change in rates. If
interest rates rise by one percentage point, the share price of a portfolio
with an average duration of five years would decline by about 5%. If rates
decrease by a percentage point, the portfolio's share price would rise by 5%.
AVERAGE MATURITY. The average length of time until bonds held by the portfolio
reach maturity (or are called) and are repaid. In general, the longer the
average maturity, the more a portfolio's share price will fluctuate in response
to changes in market interest rates.
AVERAGE QUALITY. An indicator of credit risk, this figure is the average of the
ratings assigned to a portfolio's securities holdings by credit-rating
agencies. The agencies make their judgment after appraising an issuer's ability
to meet its obligations. Quality is graded on a scale, with Aaa or AAA
indicating the most creditworthy bond issuers and SP-1 or MIG-1 indicating the
most creditworthy issuers of money market securities.
BETA. A measure of the magnitude of a portfolio's past share-price fluctuations
in relation to the ups and downs of the overall market (or appropriate market
index). The market (or index) is assigned a beta of 1.00, so a portfolio with a
beta of 1.20 would have seen its share price rise or fall by 12% when the
overall market rose or fell by 10%.
CASH RESERVES. The percentage of a portfolio's net assets invested in "cash
equivalents"--highly liquid, short-term, interest-bearing investments--after
adjusting for cash held in collateral for futures contracts.
DISTRIBUTION BY CREDIT QUALITY. This breakdown of a portfolio's securities by
credit rating can help in gauging the risk that returns could be affected by
defaults or other credit problems.
DISTRIBUTION BY MATURITY. An indicator of interest-rate risk. In general, the
higher the concentration of longer-maturity issues, the more a portfolio's
share price will fluctuate in response to changes in interest rates.
EXPENSE RATIO. The percentage of a portfolio's average net assets used to pay
its annual administrative and advisory expenses. These expenses directly reduce
returns to investors.
INVESTMENT FOCUS. This grid indicates the focus of a portfolio in terms of two
attributes: average maturity (short, medium, or long) and average credit
quality (high, medium, or low).
LARGEST STATE CONCENTRATIONS. An indicator of diversification. The less
concentrated a portfolio's holdings of bonds, the less the portfolio will be
hurt by any financial problems in a single state or region.
NUMBER OF ISSUES. An indicator of diversification. The more separate issues a
portfolio holds, the less susceptible it is to a price decline stemming from
the problems of a particular bond issuer.
R-SQUARED. A measure of how much of a portfolio's past returns can be explained
by the returns from the overall market (or its benchmark index). If a
portfolio's total return were precisely synchronized with the overall market's
return, its R-squared would be 1.00. If a portfolio's returns bore no
relationship to the market's returns, its R-squared would be 0.
YIELD. A snapshot of a portfolio's interest income. The yield, expressed as a
percentage of the portfolio's net asset value, is based on income earned by the
portfolio over the past 30 days (7 days for money market portfolios) and is
annualized, or projected forward for the coming year.
YIELD TO MATURITY. The rate of return an investor would receive if the
securities held by the portfolio were held to their maturity dates.
17
<PAGE> 20
PORTFOLIO PROFILE
Short-Term Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
October 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
FINANCIAL ATTRIBUTES
- -------------------------------------------
<S> <C>
Number of Issues 201
Yield 3.8%
Yield to Maturity 3.9%
Average Coupon 5.3%
Average Maturity 432 days
Average Quality AA+
Average Duration 1.1 years
Expense Ratio 0.18%*
Cash Reserves 2.2%
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
SHORT-TERM LEHMAN
PORTFOLIO INDEX*
- -------------------------------------------
<S> <C> <C>
R-Squared 0.66 1.00
Beta 0.13 1.00
</TABLE>
*Lehman Municipal Bond Index.
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
- -----------------------------------------------
<S> <C>
AAA 63.4%
AA 30.2
A 3.9
BBB 1.0
BB 1.5
B --
Not Rated --
- -----------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
- -------------------------------------------
<S> <C>
Under 1 Year 52.6%
1-3 Years 41.6
3-5 Years 5.8
Over 5 Years --
- -------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF TOTAL NET ASSETS)
- -------------------------------------------
<S> <C>
California 19.9%
New York 8.5
Texas 7.0
Massachusetts 6.9
Illinois 4.6
Pennsylvania 4.0
District of Columbia 3.7
Ohio 3.3
Georgia 3.2
Florida 3.2
- -------------------------------------------
Top Ten 64.3%
</TABLE>
18
<PAGE> 21
PORTFOLIO PROFILE
Limited-Term Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
October 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
FINANCIAL ATTRIBUTES
- -------------------------------------------
<S> <C>
Number of Issues 246
Yield 4.1%
Yield to Maturity 4.1%
Average Coupon 6.0%
Average Maturity 3.0 years
Average Quality AA+
Average Duration 2.6 years
Expense Ratio 0.18%*
Cash Reserves 0%
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
LIMITED-TERM LEHMAN
PORTFOLIO INDEX*
- -------------------------------------------
<S> <C> <C>
R-Squared 0.78 1.00
Beta 0.32 1.00
</TABLE>
*Lehman Municipal Bond Index.
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
- -----------------------------------------------
<S> <C>
AAA 57.5%
AA 30.3
A 6.1
BBB 3.9
BB 2.2
B --
Not Rated --
- -----------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
- -------------------------------------------
<S> <C>
Under 1 Year 14.5%
1-3 Years 40.0
3-5 Years 35.1
Over 5 Years 10.4
- -------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF TOTAL NET ASSETS)
- -------------------------------------------
<S> <C>
New York 16.6%
California 11.5
Texas 8.6
Pennsylvania 8.1
Massachusetts 5.9
Michigan 5.7
Florida 4.4
Wisconsin 4.0
Washington 3.5
Georgia 3.3
- -------------------------------------------
Top Ten 71.6%
</TABLE>
19
<PAGE> 22
PORTFOLIO PROFILE
Intermediate-Term Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
October 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
FINANCIAL ATTRIBUTES
- -------------------------------------------
<S> <C>
Number of Issues 772
Yield 4.4%
Yield to Maturity 4.5%
Average Coupon 5.8%
Average Maturity 6.6 years
Average Quality AA+
Average Duration 5.1 years
Expense Ratio 0.18%*
Cash Reserves 0.8%
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
INTERMEDIATE-TERM LEHMAN
PORTFOLIO INDEX*
- -------------------------------------------
<S> <C> <C>
R-Squared 0.97 1.00
Beta 0.75 1.00
</TABLE>
*Lehman Municipal Bond Index.
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
- -----------------------------------------------
<S> <C>
AAA 61.7%
AA 22.8
A 11.2
BBB 4.0
BB 0.3
B --
Not Rated --
- -----------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
- -------------------------------------------
<S> <C>
Under 1 Year 11.7%
1-5 Years 21.9
5-10 Years 47.2
Over 10 Years 19.2
- -------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF TOTAL NET ASSETS)
- -------------------------------------------
<S> <C>
New York 13.3%
California 9.6
Texas 8.8
Pennsylvania 7.8
New Jersey 5.6
Illinois 5.2
Massachusetts 4.9
Florida 4.4
Washington 3.7
Nevada 3.6
- -------------------------------------------
Top Ten 66.9%
</TABLE>
20
<PAGE> 23
PORTFOLIO PROFILE
Insured Long-Term Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
October 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
FINANCIAL ATTRIBUTES
- -------------------------------------------
<S> <C>
Number of Issues 253
Yield 4.9%
Yield to Maturity 5.0%
Average Coupon 6.0%
Average Maturity 12.1 years
Average Quality AAA
Average Duration 8.0 years
Expense Ratio 0.18%*
Cash Reserves 0%
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
INSURED LONG-TERM LEHMAN
PORTFOLIO INDEX*
- -------------------------------------------
<S> <C> <C>
R-Squared 0.96 1.00
Beta 1.19 1.00
</TABLE>
*Lehman Municipal Bond Index.
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
- -----------------------------------------------
<S> <C>
AAA 97.6%
AA 2.4
A --
BBB --
BB --
B --
Not Rated --
- -----------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
- -------------------------------------------
<S> <C>
Under 1 Year 3.6%
1-5 Years 13.6
5-10 Years 20.7
10-20 Years 46.1
20-30 Years 16.0
Over 30 Years --
- -------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF TOTAL NET ASSETS)
- -------------------------------------------
<S> <C>
California 10.6%
Texas 8.5
Pennsylvania 8.1
Florida 7.9
Massachusetts 6.6
Ohio 6.1
New Jersey 4.7
Illinois 4.5
New York 4.2
Michigan 4.1
- -------------------------------------------
Top Ten 65.3%
</TABLE>
21
<PAGE> 24
PORTFOLIO PROFILE
Long-Term Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
October 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
FINANCIAL ATTRIBUTES
- -------------------------------------------
<S> <C>
Number of Issues 145
Yield 4.8%
Yield to Maturity 4.8%
Average Coupon 5.9%
Average Maturity 11.4 years
Average Quality AA+
Average Duration 7.4 years
Expense Ratio 0.18%*
Cash Reserves 1.3%
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
LONG-TERM LEHMAN
PORTFOLIO INDEX*
- -------------------------------------------
<S> <C> <C>
R-Squared 0.97 1.00
Beta 1.14 1.00
</TABLE>
*Lehman Municipal Bond Index.
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
- -----------------------------------------------
<S> <C>
AAA 51.9%
AA 18.6
A 24.2
BBB 5.3
BB --
B --
Not Rated --
- -----------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
- -------------------------------------------
<S> <C>
Under 1 Year 11.8%
1-5 Years 15.4
5-10 Years 13.2
10-20 Years 43.3
20-30 Years 16.3
Over 30 Years --
- -------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF TOTAL NET ASSETS)
- -------------------------------------------
<S> <C>
New York 16.2%
Texas 12.5
California 12.0
Pennsylvania 9.7
Massachusetts 7.5
New Jersey 4.8
Illinois 4.7
Ohio 3.0
Washington 2.9
Wisconsin 2.9
- -------------------------------------------
Top Ten 76.2%
</TABLE>
22
<PAGE> 25
PORTFOLIO PROFILE
High-Yield Portfolio
This Profile provides a snapshot of the Portfolio's characteristics as of
October 31, 1997, compared where appropriate to an unmanaged index. Key
elements of this Profile are defined on page 17.
<TABLE>
<CAPTION>
FINANCIAL ATTRIBUTES
- -------------------------------------------
<S> <C>
Number of Issues 253
Yield 5.0%
Yield to Maturity 5.2%
Average Coupon 5.8%
Average Maturity 11.4 years
Average Quality AA-
Average Duration 7.6 years
Expense Ratio 0.19%*
Cash Reserves 0%
</TABLE>
*Annualized.
INVESTMENT FOCUS
- -------------------------------------------
[GRAPH]
<TABLE>
<CAPTION>
VOLATILITY MEASURES
- -------------------------------------------
HIGH-YIELD LEHMAN
PORTFOLIO INDEX*
- -------------------------------------------
<S> <C> <C>
R-Squared 0.97 1.00
Beta 1.10 1.00
</TABLE>
*Lehman Municipal Bond Index.
<TABLE>
<CAPTION>
DISTRIBUTION BY CREDIT QUALITY (% OF PORTFOLIO)
- -----------------------------------------------
<S> <C>
AAA 52.5%
AA 8.2
A 14.3
BBB 14.3
BB 2.7
B --
Not Rated 8.0
- -----------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
DISTRIBUTION BY MATURITY (% OF PORTFOLIO)
- -------------------------------------------
<S> <C>
Under 1 Year 6.7%
1-5 Years 11.6
5-10 Years 32.1
10-20 Years 32.6
20-30 Years 15.4
Over 30 Years 1.6
- -------------------------------------------
Total 100.0%
</TABLE>
<TABLE>
<CAPTION>
LARGEST STATE CONCENTRATIONS
(% OF TOTAL NET ASSETS)
- -------------------------------------------
<S> <C>
California 12.7%
New York 12.4
Texas 9.6
Pennsylvania 8.7
Florida 7.3
Massachusetts 7.2
Illinois 5.0
District of Columbia 4.4
Michigan 4.3
Indiana 3.2
- -------------------------------------------
Top Ten 74.8%
</TABLE>
23
<PAGE> 26
FINANCIAL STATEMENTS
October 31, 1997
The Statements of Net Assets, integral parts of the Financial Statements for
each of the Vanguard Municipal Bond Fund Portfolios, and the Report Of
Independent Accountants are included as an insert to this report.
STATEMENT OF OPERATIONS
This Statement shows interest earned by each Portfolio during the two most
recent reporting periods, and details the operating expenses charged to the
Portfolio. These expenses directly reduce the amount of investment income
available to pay to shareholders as tax-exempt income dividends. This Statement
also shows any Net Gains (Losses) realized on the sale of investments, and the
increase or decrease in the Unrealized Appreciation (Depreciation) on
investments during each period. If a Portfolio invested in futures contracts
during the period, the results of these investments are shown separately.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
MONEY MARKET SHORT-TERM
PORTFOLIO PORTFOLIO
------------------------------ --------------------------------
SEP. 1 TO YEAR ENDED SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997 OCT. 31, 1997 AUG. 31, 1997
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Interest $33,155 $180,797 $10,258 $59,725
-----------------------------------------------------------------
Total Income 33,155 180,797 10,258 59,725
-----------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 127 735 35 217
Management and Administrative 1,152 6,664 313 1,913
Marketing and Distribution 252 1,567 70 470
Taxes (other than income taxes) 66 323 18 90
Custodian Fees 12 100 3 26
Legal Fees -- -- -- --
Auditing Fees 13 10 9 7
Shareholders' Reports 17 90 6 33
Annual Meeting and Proxy Costs 1 8 -- 3
Directors' Fees and Expenses 2 11 1 3
-----------------------------------------------------------------
Total Expenses 1,642 9,508 455 2,762
Expenses Paid Indirectly--Note C (12) (100) (3) (34)
-----------------------------------------------------------------
Net Expenses 1,630 9,408 452 2,728
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 31,525 171,389 9,806 56,997
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold -- 132 7 592
Futures Contracts -- -- -- --
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) -- 132 7 592
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities -- -- 1,397 2,384
Futures Contracts -- -- -- --
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) -- -- 1,397 2,384
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $31,525 $171,521 $11,210 $59,973
==========================================================================================================
</TABLE>
24
<PAGE> 27
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
LIMITED-TERM INTERMEDIATE-TERM
PORTFOLIO PORTFOLIO
------------------------------ --------------------------------
SEP. 1 TO YEAR ENDED SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997 OCT. 31, 1997 AUG. 31, 1997
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Interest $14,739 $84,467 $58,149 $329,518
-----------------------------------------------------------------
Total Income 14,739 84,467 58,149 329,518
-----------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 46 269 160 925
Management and Administrative 427 2,509 1,526 9,031
Marketing and Distribution 80 497 236 1,441
Taxes (other than income taxes) 24 129 84 434
Custodian Fees 4 32 11 99
Legal Fees -- -- -- --
Auditing Fees 9 8 14 11
Shareholders' Reports 8 48 27 163
Annual Meeting and Proxy Costs -- 4 1 14
Directors' Fees and Expenses 1 4 2 15
-----------------------------------------------------------------
Total Expenses 599 3,500 2,061 12,133
Expenses Paid Indirectly--Note C (4) (96) (11) (397)
-----------------------------------------------------------------
Net Expenses 595 3,404 2,050 11,736
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 14,144 81,063 56,099 317,782
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 560 970 24 9,488
Futures Contracts (273) 1,411 (12,019) (4,325)
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) 287 2,381 (11,995) 5,163
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 5,853 9,835 44,814 106,226
Futures Contracts (410) 2,619 (7,928) 10,516
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 5,443 12,454 36,886 116,742
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $19,874 $95,898 $80,990 $439,687
==========================================================================================================
</TABLE>
25
<PAGE> 28
STATEMENT OF OPERATIONS (continued)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
INSURED LONG-TERM LONG-TERM
PORTFOLIO PORTFOLIO
------------------------------ --------------------------------
SEP. 1 TO YEAR ENDED SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997 OCT. 31, 1997 AUG. 31, 1997
(000) (000) (000) (000)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
INCOME
Interest $18,677 $111,546 $11,265 $ 64,496
-----------------------------------------------------------------
Total Income 18,677 111,546 11,265 64,496
-----------------------------------------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 49 293 30 171
Management and Administrative 467 2,917 279 1,724
Marketing and Distribution 59 381 38 236
Taxes (other than income taxes) 25 126 15 72
Custodian Fees 4 34 2 21
Legal Fees -- -- -- --
Auditing Fees 10 8 9 7
Shareholders' Reports 8 51 5 25
Annual Meeting and Proxy Costs -- 4 -- 3
Directors' Fees and Expenses 1 4 -- 3
-----------------------------------------------------------------
Total Expenses 623 3,818 378 2,262
Expenses Paid Indirectly--Note C (4) (130) (2) (89)
-----------------------------------------------------------------
Net Expenses 619 3,688 376 2,173
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 18,058 107,858 10,889 62,323
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 1,062 12,355 1,565 2,928
Futures Contracts (8,402) (4,617) (3,750) (54)
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (7,340) 7,738 (2,185) 2,874
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 19,467 55,180 10,272 38,537
Futures Contracts (3,310) (497) 321 1,240
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) 16,157 54,683 10,593 39,777
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $26,875 $170,279 $19,297 $104,974
==========================================================================================================
</TABLE>
26
<PAGE> 29
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
HIGH-YIELD
PORTFOLIO
----------------------------------
SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997
(000) (000)
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
INCOME
Interest $23,284 $119,410
----------------------------------
Total Income 23,284 119,410
----------------------------------
EXPENSES
The Vanguard Group--Note B
Investment Advisory Services 53 307
Management and Administrative 462 3,021
Marketing and Distribution 72 448
Taxes (other than income taxes) 27 133
Custodian Fees 4 33
Legal Fees 43 --
Auditing Fees 10 8
Shareholders' Reports 9 55
Annual Meeting and Proxy Costs -- 5
Directors' Fees and Expenses 1 5
----------------------------------
Total Expenses 681 4,015
Expenses Paid Indirectly--Note C (4) (127)
----------------------------------
Net Expenses 677 3,888
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 22,607 115,522
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS)
Investment Securities Sold 275 14,567
Futures Contracts (5,488) (4,642)
- ----------------------------------------------------------------------------------------------------------
REALIZED NET GAIN (LOSS) (5,213) 9,925
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION)
Investment Securities 25,587 62,449
Futures Contracts (7,184) 934
- ----------------------------------------------------------------------------------------------------------
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) 18,403 63,383
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $35,797 $188,830
==========================================================================================================
</TABLE>
27
<PAGE> 30
STATEMENT OF CHANGES IN NET ASSETS
This Statement shows how each Portfolio's total net assets changed during the
two most recent reporting periods. The Operations section summarizes
information that is detailed in the Statement of Operations. Because the
Portfolio distributes its income to shareholders each day, the amounts of
Distributions--Net Investment Income generally equal the net income earned as
shown under the Operations section. The amounts of Distributions--Realized
Capital Gain may not match the capital gains shown in the Operations section,
because distributions are determined on a tax basis and may be made in a period
different from the one in which the gains were realized on the financial
statements. The Capital Share Transactions section shows the amount
shareholders invested in the Portfolio, either by purchasing shares or by
reinvesting distributions, and the amounts redeemed. The corresponding numbers
of Shares Issued and Redeemed are shown at the end of the Statement.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
MONEY MARKET SHORT-TERM
PORTFOLIO PORTFOLIO
----------------------------- --------------------------------
SEP. 1 TO YEAR ENDED SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997 OCT. 31, 1997 AUG. 31, 1997
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 31,525 $ 171,389 $ 9,806 $ 56,997
Realized Net Gain (Loss) -- 132 7 592
Change in Unrealized Appreciation (Depreciation) -- -- 1,397 2,384
--------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 31,525 171,521 11,210 59,973
--------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (31,525) (171,389) (9,806) (56,997)
Realized Capital Gain -- -- -- (392)
--------------------------------------------------------------
Total Distributions (31,525) (171,389) (9,806) (57,389)
--------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 943,194 5,660,032 135,146 732,007
Issued in Lieu of Cash Distributions 29,510 159,979 8,197 48,457
Redeemed (937,706) (5,099,054) (123,916) (775,966)
--------------------------------------------------------------
Net Increase from Capital Share
Transactions 34,998 720,957 19,427 4,498
- -----------------------------------------------------------------------------------------------------------------
Total Increase 34,998 721,089 20,831 7,082
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 5,345,412 4,624,323 1,463,734 1,456,652
--------------------------------------------------------------
End of Period $5,380,410 $5,345,412 $1,484,565 $1,463,734
=================================================================================================================
(1)Shares Issued (Redeemed)
Issued 943,194 5,660,032 8,675 47,037
Issued in Lieu of Cash Distributions 29,510 159,979 526 3,113
Redeemed (937,706) (5,099,054) (7,954) (49,869)
--------------------------------------------------------------
Net Increase in Shares Outstanding 34,998 720,957 1,247 281
=================================================================================================================
</TABLE>
28
<PAGE> 31
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
LIMITED-TERM INTERMEDIATE-TERM
PORTFOLIO PORTFOLIO
----------------------------- -------------------------------
SEP. 1 TO YEAR ENDED SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997 OCT. 31, 1997 AUG. 31, 1997
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 14,144 $ 81,063 $ 56,099 $ 317,782
Realized Net Gain (Loss) 287 2,381 (11,995) 5,163
Change in Unrealized Appreciation (Depreciation) 5,443 12,454 36,886 116,742
--------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 19,874 95,898 80,990 439,687
--------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (14,144) (81,063) (56,099) (317,782)
Realized Capital Gain -- -- -- (1,435)
--------------------------------------------------------------
Total Distributions (14,144) (81,063) (56,099) (319,217)
--------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 122,679 672,438 245,741 1,549,834
Issued in Lieu of Cash Distributions 11,012 63,785 41,585 236,107
Redeemed (106,518) (582,527) (199,759) (1,175,502)
--------------------------------------------------------------
Net Increase from Capital Share
Transactions 27,173 153,696 87,567 610,439
- -----------------------------------------------------------------------------------------------------------------
Total Increase 32,903 168,531 112,458 730,909
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 1,929,106 1,760,575 6,657,681 5,926,772
--------------------------------------------------------------
End of Period $1,962,009 $1,929,106 $6,770,139 $6,657,681
=================================================================================================================
(1)Shares Issued (Redeemed)
Issued 11,434 62,932 18,412 117,359
Issued in Lieu of Cash Distributions 1,025 5,970 3,113 17,869
Redeemed (9,927) (54,564) (14,978) (89,141)
--------------------------------------------------------------
Net Increase in Shares Outstanding 2,532 14,338 6,547 46,087
=================================================================================================================
</TABLE>
29
<PAGE> 32
STATEMENT OF CHANGES IN NET ASSETS (continued)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
INSURED LONG-TERM LONG-TERM
PORTFOLIO PORTFOLIO
----------------------------- -------------------------------
SEP. 1 TO YEAR ENDED SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997 OCT. 31, 1997 AUG. 31, 1997
(000) (000) (000) (000)
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 18,058 $ 107,858 $ 10,889 $ 62,323
Realized Net Gain (Loss) (7,340) 7,738 (2,185) 2,874
Change in Unrealized Appreciation (Depreciation) 16,157 54,683 10,593 39,777
--------------------------------------------------------------
Net Increase in Net Assets Resulting
from Operations 26,875 170,279 19,297 104,974
--------------------------------------------------------------
DISTRIBUTIONS
Net Investment Income (18,058) (107,858) (10,889) (62,323)
Realized Capital Gain -- (11,310) -- (2,409)
--------------------------------------------------------------
Total Distributions (18,058) (119,168) (10,889) (64,732)
--------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 43,498 265,675 39,661 221,419
Issued in Lieu of Cash Distributions 11,314 76,210 7,317 44,013
Redeemed (44,567) (305,317) (27,954) (194,173)
--------------------------------------------------------------
Net Increase from Capital Share
Transactions 10,245 36,568 19,024 71,259
- -----------------------------------------------------------------------------------------------------------------
Total Increase 19,062 87,679 27,432 111,501
- -----------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 2,024,057 1,936,378 1,221,705 1,110,204
--------------------------------------------------------------
End of Period $2,043,119 $2,024,057 $1,249,137 $1,221,705
=================================================================================================================
(1)Shares Issued (Redeemed)
Issued 3,481 21,609 3,557 20,226
Issued in Lieu of Cash Distributions 904 6,179 654 4,015
Redeemed (3,568) (24,797) (2,508) (17,737)
--------------------------------------------------------------
Net Increase in Shares Outstanding 817 2,991 1,703 6,504
=================================================================================================================
</TABLE>
30
<PAGE> 33
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
HIGH-YIELD
PORTFOLIO
------------------------------
SEP. 1 TO YEAR ENDED
OCT. 31, 1997 AUG. 31, 1997
(000) (000)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
OPERATIONS
Net Investment Income $ 22,607 $ 115,522
Realized Net Gain (Loss) (5,213) 9,925
Change in Unrealized Appreciation (Depreciation) 18,403 63,383
------------------------------
Net Increase in Net Assets Resulting from Operations 35,797 188,830
------------------------------
DISTRIBUTIONS
Net Investment Income (22,607) (115,522)
Realized Capital Gain -- --
------------------------------
Total Distributions (22,607) (115,522)
------------------------------
CAPITAL SHARE TRANSACTIONS(1)
Issued 101,099 480,518
Issued in Lieu of Cash Distributions 14,591 77,020
Redeemed (65,952) (422,965)
------------------------------
Net Increase from Capital Share Transactions 49,738 134,573
- ----------------------------------------------------------------------------------------------------
Total Increase 62,928 207,881
- ----------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period 2,192,644 1,984,763
------------------------------
End of Period $2,255,572 $2,192,644
====================================================================================================
(1)Shares Issued (Redeemed)
Issued 9,278 45,326
Issued in Lieu of Cash Distributions 1,347 7,255
Redeemed (6,106) (39,946)
------------------------------
Net Increase in Shares Outstanding 4,519 12,635
====================================================================================================
</TABLE>
31
<PAGE> 34
FINANCIAL HIGHLIGHTS
This table summarizes each Portfolio's investment results and distributions to
shareholders on a per-share basis. It also presents the Portfolio's Total
Return and shows net investment income and expenses as percentages of average
net assets. These data will help you assess: the variability of the Portfolio's
net income and total returns from year to year; the relative contributions of
net income and capital gains to the Portfolio's total return; how much it costs
to operate the Portfolio; and the extent to which the Portfolio tends to
distribute capital gains.
The table also shows the Portfolio Turnover Rate, a measure of trading
activity. A turnover rate of 100% means that the average security is held in
the Portfolio for one year. Money market portfolios are not required to report
a Portfolio Turnover Rate.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
YEAR ENDED AUGUST 31,
SEP. 1 TO -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD OCT. 31, 1997 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .006 .034 .034 .036 .024 .025
Net Realized and Unrealized Gain (Loss)
on Investments -- -- -- -- -- --
--------------------------------------------------------------------
Total from Investment Operations .006 .034 .034 .036 .024 .025
--------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.006) (.034) (.034) (.036) (.024) (.025)
Distributions from Realized Capital Gains -- -- -- -- -- --
--------------------------------------------------------------------
Total Distributions (.006) (.034) (.034) (.036) (.024) (.025)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
====================================================================================================================
TOTAL RETURN 0.59% 3.47% 3.48% 3.63% 2.43% 2.51%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $5,380 $5,345 $4,624 $4,166 $4,164 $3,538
Ratio of Total Expenses to
Average Net Assets 0.18%* 0.19% 0.20% 0.22% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 3.53%* 3.41% 3.42% 3.56% 2.41% 2.48%
Portfolio Turnover Rate N/A N/A N/A N/A N/A N/A
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
32
<PAGE> 35
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
SHORT-TERM PORTFOLIO
YEAR ENDED AUGUST 31,
SEP. 1 TO -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD OCT. 31, 1997 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $15.57 $15.54 $15.59 $15.46 $15.63 $15.64
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .103 .610 .609 .600 .534 .609
Net Realized and Unrealized Gain (Loss)
on Investments .010 .034 (.050) .131 (.150) .033
--------------------------------------------------------------------
Total from Investment Operations .113 .644 .559 .731 .384 .642
--------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.103) (.610) (.609) (.600) (.534) (.609)
Distributions from Realized Capital Gains -- (.004) -- (.001) (.020) (.043)
--------------------------------------------------------------------
Total Distributions (.103) (.614) (.609) (.601) (.554) (.652)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $15.58 $15.57 $15.54 $15.59 $15.46 $15.63
====================================================================================================================
TOTAL RETURN 0.73% 4.22% 3.64% 4.83% 2.49% 4.18%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,485 $1,464 $1,457 $1,442 $1,561 $1,329
Ratio of Total Expenses to
Average Net Assets 0.18%* 0.19% 0.20% 0.22% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 3.96%* 3.91% 3.90% 3.88% 3.42% 3.88%
Portfolio Turnover Rate 4% 34% 33% 32% 27% 46%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
LIMITED-TERM PORTFOLIO
YEAR ENDED AUGUST 31,
SEP. 1 TO -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD OCT. 31, 1997 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.71 $10.62 $10.71 $10.57 $10.80 $10.64
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .078 .476 .483 .476 .454 .485
Net Realized and Unrealized Gain (Loss)
on Investments .030 .090 (.090) .140 (.208) .209
--------------------------------------------------------------------
Total from Investment Operations .108 .566 .393 .616 .246 .694
--------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.078) (.476) (.483) (.476) (.454) (.485)
Distributions from Realized Capital Gains -- -- -- -- (.022) (.049)
--------------------------------------------------------------------
Total Distributions (.078) (.476) (.483) (.476) (.476) (.534)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.74 $10.71 $10.62 $10.71 $10.57 $10.80
====================================================================================================================
TOTAL RETURN 1.01% 5.44% 3.73% 5.99% 2.31% 6.68%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,962 $1,929 $1,761 $1,669 $1,814 $1,625
Ratio of Total Expenses to
Average Net Assets 0.18%* 0.19% 0.21% 0.22% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 4.34%* 4.46% 4.51% 4.51% 4.24% 4.50%
Portfolio Turnover Rate 2% 28% 27% 35% 21% 20%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
33
<PAGE> 36
FINANCIAL HIGHLIGHTS (continued)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
INTERMEDIATE-TERM PORTFOLIO
YEAR ENDED AUGUST 31,
SEP. 1 TO -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD OCT. 31, 1997 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.30 $13.04 $13.14 $13.02 $13.45 $12.85
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .111 .669 .671 .686 .683 .710
Net Realized and Unrealized Gain (Loss)
on Investments .050 .263 (.091) .278 (.354) .721
--------------------------------------------------------------------
Total from Investment Operations .161 .932 .580 .964 .329 1.431
--------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.111) (.669) (.671) (.686) (.683) (.710)
Distributions from Realized Capital Gains -- (.003) (.009) (.158) (.076) (.121)
--------------------------------------------------------------------
Total Distributions (.111) (.672) (.680) (.844) (.759) (.831)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $13.35 $13.30 $13.04 $13.14 $13.02 $13.45
====================================================================================================================
TOTAL RETURN 1.21% 7.31% 4.47% 7.82% 2.49% 11.54%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $6,770 $6,658 $5,927 $5,448 $5,068 $4,945
Ratio of Total Expenses to
Average Net Assets 0.18%* 0.19% 0.20% 0.22% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 4.99%* 5.07% 5.09% 5.35% 5.15% 5.41%
Portfolio Turnover Rate 1% 15% 14% 12% 18% 15%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
INSURED LONG-TERM PORTFOLIO
YEAR ENDED AUGUST 31,
SEP. 1 TO -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD OCT. 31, 1997 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.45 $12.14 $12.12 $11.98 $12.89 $12.28
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .111 .674 .670 .684 .699 .718
Net Realized and Unrealized Gain (Loss)
on Investments .060 .382 .020 .313 (.734) .813
--------------------------------------------------------------------
Total from Investment Operations .171 1.056 .690 .997 (.035) 1.531
--------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.111) (.674) (.670) (.684) (.699) (.718)
Distributions from Realized Capital Gains -- (.072) -- (.173) (.176) (.203)
--------------------------------------------------------------------
Total Distributions (.111) (.746) (.670) (.857) (.875) (.921)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $12.51 $12.45 $12.14 $12.12 $11.98 $12.89
====================================================================================================================
TOTAL RETURN 1.37% 8.93% 5.77% 8.88% -0.32% 13.06%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,043 $2,024 $1,936 $1,935 $1,938 $2,194
Ratio of Total Expenses to
Average Net Assets 0.18%* 0.19% 0.20% 0.22% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 5.32%* 5.47% 5.46% 5.82% 5.62% 5.77%
Portfolio Turnover Rate 1% 18% 18% 7% 16% 30%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
34
<PAGE> 37
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
LONG-TERM PORTFOLIO
YEAR ENDED AUGUST 31,
SEP. 1 TO -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD OCT. 31, 1997 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.11 $10.73 $10.68 $10.58 $11.38 $10.95
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .098 .588 .591 .608 .609 .640
Net Realized and Unrealized Gain (Loss)
on Investments .070 .403 .050 .256 (.595) .715
--------------------------------------------------------------------
Total from Investment Operations .168 .991 .641 .864 .014 1.355
--------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.098) (.588) (.591) (.608) (.609) (.640)
Distributions from Realized Capital Gains -- (.023) -- (.156) (.205) (.285)
--------------------------------------------------------------------
Total Distributions (.098) (.611) (.591) (.764) (.814) (.925)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $11.18 $11.11 $10.73 $10.68 $10.58 $11.38
====================================================================================================================
TOTAL RETURN 1.52% 9.46% 6.08% 8.74% 0.08% 13.09%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $1,249 $1,222 $1,110 $1,054 $1,001 $1,131
Ratio of Total Expenses to
Average Net Assets 0.18%* 0.19% 0.20% 0.23% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 5.28%* 5.37% 5.45% 5.87% 5.56% 5.81%
Portfolio Turnover Rate 1% 9% 26% 35% 45% 36%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
HIGH-YIELD PORTFOLIO
YEAR ENDED AUGUST 31,
SEP. 1 TO -----------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD OCT. 31, 1997 1997 1996 1995 1994 1993
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.76 $10.39 $10.43 $10.39 $11.17 $10.76
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT OPERATIONS
Net Investment Income .106 .589 .594 .625 .626 .669
Net Realized and Unrealized Gain (Loss)
on Investments .070 .370 (.040) .213 (.566) .664
--------------------------------------------------------------------
Total from Investment Operations .176 .959 .554 .838 .060 1.333
--------------------------------------------------------------------
DISTRIBUTIONS
Dividends from Net Investment Income (.106) (.589) (.594) (.625) (.626) (.669)
Distributions from Realized Capital Gains -- -- -- (.173) (.214) (.254)
--------------------------------------------------------------------
Total Distributions (.106) (.589) (.594) (.798) (.840) (.923)
- --------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.83 $10.76 $10.39 $10.43 $10.39 $11.17
====================================================================================================================
TOTAL RETURN 1.63% 9.45% 5.39% 8.69% 0.52% 13.08%
====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (Millions) $2,256 $2,193 $1,985 $1,865 $1,781 $1,931
Ratio of Total Expenses to
Average Net Assets 0.19%* 0.19% 0.20% 0.22% 0.20% 0.20%
Ratio of Net Investment Income to
Average Net Assets 6.08%* 5.56% 5.66% 6.15% 5.83% 6.15%
Portfolio Turnover Rate 3% 27% 19% 33% 50% 34%
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
*Annualized.
35
<PAGE> 38
NOTES TO FINANCIAL STATEMENTS
Vanguard Municipal Bond Fund is registered under the Investment Company Act of
1940 as a diversified open-end investment company, or mutual fund, and
comprises the Money Market, Short-Term, Limited-Term, Intermediate-Term,
Insured Long-Term, Long-Term, and High-Yield Portfolios. Each Portfolio invests
in debt instruments of many municipal issuers; the issuers' abilities to meet
their obligations may be affected by economic and political developments in a
specific state or region.
A. The following significant accounting policies conform to generally accepted
accounting principles for mutual funds. The Fund consistently follows such
policies in preparing its financial statements.
1. SECURITY VALUATION: Money Market Portfolio: Investment securities are
valued at amortized cost, which approximates market value. Other Portfolios:
Bonds, and temporary cash investments acquired over 60 days to maturity, are
valued using the latest bid prices or using valuations based on a matrix system
(which considers such factors as security prices, yields, maturities, and
ratings), both as furnished by independent pricing services. Other temporary
cash investments are valued at amortized cost, which approximates market value.
2. FEDERAL INCOME TAXES: Each Portfolio intends to continue to qualify as a
regulated investment company and distribute all of its income. Accordingly, no
provision for federal income taxes is required in the financial statements.
3. FUTURES CONTRACTS: Each Portfolio, except the Money Market Portfolio,
may use Municipal Bond Index, U.S. Treasury Bond, and U.S. Treasury Note
futures contracts to a limited extent, with the objectives of enhancing
returns, managing interest-rate risk, maintaining liquidity, diversifying
credit risk, and minimizing transaction costs. The Portfolios may purchase or
sell futures contracts instead of bonds to take advantage of pricing
differentials between the futures contracts and the underlying bonds. The
Portfolios may also seek to take advantage of price differences among bond
market sectors by simultaneously buying futures (or bonds) of one market sector
and selling futures (or bonds) of another sector. Futures contracts may also be
used to simulate a fully invested position in the underlying bonds while
maintaining a cash balance for liquidity. The primary risks associated with the
use of futures contracts are imperfect correlation between changes in market
values of bonds held by the Portfolios and the prices of futures contracts, and
the possibility of an illiquid market.
Futures contracts are valued based upon their quoted daily settlement
prices. The aggregate principal amounts of the contracts are not recorded in
the financial statements. Fluctuations in the values of futures contracts are
recorded in the Statement of Net Assets as an asset (liability) and in the
Statement of Operations as unrealized appreciation (depreciation) until the
contracts are closed, when they are recorded as realized futures gains
(losses).
4. DISTRIBUTIONS: Distributions from net investment income are declared
daily and paid on the first business day of the following month. Annual
distributions from realized capital gains, if any, are recorded on the
ex-dividend date.
5. OTHER: Security transactions are accounted for on the date securities
are bought or sold. Costs used to determine realized gains (losses) on the sale
of investment securities are those of the specific securities sold. Premiums
and original issue discounts are amortized and accreted, respectively, to
interest income over the lives of the respective securities.
B. The Vanguard Group furnishes at cost investment advisory, corporate
management, administrative, marketing, and distribution services. The costs of
such services are allocated to the Fund under methods approved by the Board of
Directors. At October 31, 1997, the Fund had contributed capital aggregating
$1,422,000 to Vanguard (included in Other Assets), representing 7.1% of
Vanguard's capitalization. The Fund's Directors and officers are also Directors
and officers of Vanguard.
36
<PAGE> 39
C. The Fund's custodian bank has agreed to reduce its fees when the Fund
maintains cash on deposit in the non-interest-bearing custody account. For the
two months ended October 31, 1997, custodian fee offset arrangements reduced
expenses for the Money Market, Short-Term, Limited-Term, Intermediate-Term,
Insured Long-Term, Long-Term, and High-Yield Portfolios by $12,000, $3,000,
$4,000, $11,000, $4,000, $2,000, and $4,000, respectively.
D. During the two months ended October 31, 1997, purchases and sales of
investment securities other than temporary cash investments were:
<TABLE>
<CAPTION>
-----------------------------------------------------------------
(000)
-------------------------
PORTFOLIO PURCHASES SALES
-----------------------------------------------------------------
<S> <C> <C>
Short-Term $ 90,107 $45,459
Limited-Term 116,949 32,281
Intermediate-Term 237,857 74,604
Insured Long-Term 59,974 28,208
Long-Term 13,252 26,296
High-Yield 88,447 62,631
-----------------------------------------------------------------
</TABLE>
E. Capital gains distributions are determined on a tax basis and may differ
from realized capital gains for financial reporting purposes due to differences
in the timing of realization of gains. For federal income tax purposes, the
Portfolios had the following capital gains available for distribution at
October 31, 1997, and/or capital losses available to offset future capital
gains:
<TABLE>
<CAPTION>
--------------------------------------------------------------------
CAPITAL LOSS
-------------------------
CAPITAL GAINS EXPIRATION
AVAILABLE FOR FISCAL YEAR(S)
DISTRIBUTION AMOUNT ENDING
PORTFOLIO (000) (000) OCTOBER 31
--------------------------------------------------------------------
<S> <C> <C> <C>
Money Market -- $ (638) 2001-2005
Short-Term $ 540 -- --
Limited-Term -- (2,325) 2003-2005
Intermediate-Term 26,374 -- --
Insured Long-Term 13,299 (1,861) 2005
Long-Term 6,521 (635) 2005
High-Yield 10,842 (3,074) 2005
--------------------------------------------------------------------
</TABLE>
Capital gains available for distribution by the Insured Long-Term,
Long-Term, and High-Yield Portfolios represent tax basis gains realized through
fiscal year-end August 31, 1997. For the two months ended October 31, 1997, the
Portfolios realized tax basis losses, which are available to offset future net
capital gains.
37
<PAGE> 40
F. At October 31, 1997, net unrealized appreciation of investment securities
for financial reporting and federal income tax purposes was:
<TABLE>
<CAPTION>
--------------------------------------------------------------------
(000)
--------------------------------------------
NET
APPRECIATED DEPRECIATED UNREALIZED
PORTFOLIO SECURITIES SECURITIES APPRECIATION
--------------------------------------------------------------------
<S> <C> <C> <C>
Short-Term $ 7,069 $ (58) $ 7,011
Limited-Term 25,319 (282) 25,037
Intermediate-Term 358,066 (217) 357,849
Insured Long-Term 191,587 (7) 191,580
Long-Term 108,934 (54) 108,880
High-Yield 176,874 (30,162) 146,712
--------------------------------------------------------------------
</TABLE>
At October 31, 1997, the aggregate settlement value of open futures
contracts expiring in December 1997 and the related unrealized appreciation
(depreciation) were:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
(000)
-----------------------------
AGGREGATE UNREALIZED
NUMBER OF SETTLEMENT APPRECIATION
PORTFOLIO/FUTURES CONTRACTS CONTRACTS VALUE (DEPRECIATION)
- ----------------------------------------------------------------------------
<S> <C> <C> <C>
Limited-Term/
Long 5-Year U.S. Treasury Note 750 $ 81,305 $ (257)
Intermediate-Term/
Short U.S. Treasury Note 2,000 223,500 (6,267)
Insured Long-Term/
Short U.S. Treasury Bond 647 76,649 (3,807)
Long-Term/
Long U.S. Treasury Bond 250 29,617 71
High-Yield/
Short U.S. Treasury Bond 1,411 167,159 (7,912)
- ----------------------------------------------------------------------------
</TABLE>
38
<PAGE> 41
DIRECTORS AND OFFICERS
JOHN C. BOGLE
Chairman of the Board and Director of The Vanguard Group, Inc., and of each of
the investment companies in The Vanguard Group.
JOHN J. BRENNAN
President, Chief Executive Officer, and Director of The Vanguard Group, Inc.,
and of each of the investment companies in The Vanguard Group.
ROBERT E. CAWTHORN
Chairman Emeritus and Director of Rhone-Poulenc Rorer, Inc.; Managing Director
of Global Health Care Partners/DLJ Merchant Banking Partners; Director of Sun
Company, Inc., and Westinghouse Electric Corp.
BARBARA BARNES HAUPTFUHRER
Director of The Great Atlantic and Pacific Tea Co., IKON Office Solutions,
Inc., Raytheon Co., Knight-Ridder, Inc., and Massachusetts Mutual Life
Insurance Co.; Trustee Emerita of Wellesley College.
BURTON G. MALKIEL
Chemical Bank Chairman's Professor of Economics, Princeton University; Director
of Prudential Insurance Co. of America, Amdahl Corp., Baker Fentress & Co., The
Jeffrey Co., and Southern New England Communications Co.
ALFRED M. RANKIN, JR.
Chairman, President, and Chief Executive Officer of NACCO Industries, Inc.;
Director of NACCO Industries, The BFGoodrich Co., and The Standard Products Co.
JOHN C. SAWHILL
President and Chief Executive Officer of The Nature Conservancy; formerly,
Director and Senior Partner of McKinsey & Co. and President of New York
University; Director of Pacific Gas and Electric Co., Procter & Gamble Co., and
NACCO Industries.
JAMES O. WELCH, JR.
Retired Chairman of Nabisco Brands, Inc.; retired Vice Chairman and Director of
RJR Nabisco; Director of TECO Energy, Inc., and Kmart Corp.
J. LAWRENCE WILSON
Chairman and Chief Executive Officer of Rohm & Haas Co.; Director of Cummins
Engine Co.; Trustee of Vanderbilt University.
OTHER FUND OFFICERS
RAYMOND J. KLAPINSKY
Secretary; Managing Director and Secretary of The Vanguard Group, Inc.;
Secretary of each of the investment companies in The Vanguard Group.
RICHARD F. HYLAND
Treasurer; Principal of The Vanguard Group, Inc.; Treasurer of each of the
investment companies in The Vanguard Group.
KAREN E. WEST
Controller; Principal of The Vanguard Group, Inc.; Controller of each of the
investment companies in The Vanguard Group.
OTHER VANGUARD OFFICERS
R. GREGORY BARTON
Managing Director, Legal Department.
ROBERT A. DISTEFANO
Managing Director, Information Technology.
JAMES H. GATELY
Managing Director, Individual Investor Group.
KATHLEEN C. GUBANICH
Managing Director, Human Resources.
IAN A. MACKINNON
Managing Director, Fixed Income Group.
F. WILLIAM MCNABB, III
Managing Director, Institutional Investor Group.
MICHAEL S. MILLER
Managing Director, Planning and Development.
RALPH K. PACKARD
Managing Director and Chief Financial Officer.
GEORGE U. SAUTER
Managing Director, Core Management Group.
"Standard & Poor's 500," "S&P 500(R)," "Standard & Poor's(R)," "S&P(R)," and
"500" are trademarks of The McGraw-Hill Companies, Inc. Frank Russell Company is
the owner of trademarks and copyrights relating to the Russell Indexes.
"Wilshire 4500" and "Wilshire 5000" are trademarks of Wilshire Associates.
<PAGE> 42
THE VANGUARD
FAMILY OF FUNDS
EQUITY AND BALANCED FUNDS
GROWTH AND INCOME FUNDS
Vanguard/Windsor Fund
Vanguard/Windsor II
Vanguard Equity Income Fund
Vanguard Growth and Income Portfolio
Vanguard Selected Value Portfolio
Vanguard/Trustees' Equity-U.S. Portfolio
Vanguard Convertible Securities Fund
BALANCED FUNDS
Vanguard/Wellington Fund
Vanguard/Wellesley Income Fund
Vanguard STAR Portfolio
Vanguard Asset Allocation Fund
Vanguard LifeStrategy Portfolios
GROWTH FUNDS
Vanguard/Morgan Growth Fund
Vanguard/PRIMECAP Fund
Vanguard U.S. Growth Portfolio
AGGRESSIVE GROWTH FUNDS
Vanguard Explorer Fund
Vanguard Specialized Portfolios
Vanguard Horizon Fund
INTERNATIONAL FUNDS
Vanguard International Growth Portfolio
Vanguard International Value Portfolio
INDEX FUNDS
Vanguard Index Trust
Vanguard Tax-Managed Fund
Vanguard Balanced Index Fund
Vanguard Bond Index Fund
Vanguard International Equity Index Fund
Vanguard Total International Portfolio
FIXED-INCOME FUNDS
MONEY MARKET FUNDS
Vanguard Money Market Reserves
Vanguard Treasury Money Market Portfolio
Vanguard Admiral Funds
INCOME FUNDS
Vanguard Fixed Income Securities Fund
Vanguard Admiral Funds
Vanguard Preferred Stock Fund
TAX-EXEMPT MONEY MARKET FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds (CA, NJ, NY, OH, PA)
TAX-EXEMPT INCOME FUNDS
Vanguard Municipal Bond Fund
Vanguard State Tax-Free Funds (CA, FL, NJ, NY, OH, PA)
Q950-10/97 - (C) 1997 Vanguard Marketing Corporation, Distributor
FUND INFORMATION
1-800-662-7447
INDIVIDUAL ACCOUNT SERVICES
1-800-662-2739
INSTITUTIONAL INVESTOR SERVICES
1-800-523-1036
http://www.vanguard.com
[email protected]
All Vanguard funds are offered by prospectus only. Prospectuses contain more
complete information on advisory fees, distribution charges, and other expenses
and should be read carefully before you invest or send money. Prospectuses can
be obtained directly from The Vanguard Group.
[THE VANGUARD GROUP LOGO]
Post Office Box 2600
Valley Forge, Pennsylvania 19482
<PAGE> 43
VANGUARD MUNICIPAL BOND FUND
FINANCIAL STATEMENTS
October 31, 1997
The Statement of Net Assets should be read in conjunction with the Statement of
Operations, Statement of Changes in Net Assets, Financial Highlights, and Notes
to Financial Statements, all of which appear in the accompanying report.
STATEMENT OF NET ASSETS
This Statement provides a detailed list of each Portfolio's municipal bond
holdings by state, including each security's market value on the last day of
the reporting period and information on credit enhancements such as insurance
or letters of credit. Other assets are added to, and liabilities are subtracted
from, the value of Total Municipal Bonds to calculate the Portfolio's Net
Assets. Finally, Net Assets are divided by the outstanding shares of the
Portfolio to arrive at its share price, or Net Asset Value (NAV) Per Share.
At the end of the Statement of Net Assets of each Portfolio, you will find
a table displaying the composition of the Portfolio's net assets on both a
dollar and per-share basis. Undistributed Net Investment Income is usually zero
because the Portfolio distributes its net income to shareholders as a dividend
each day. Any realized gains must be distributed annually, so the bulk of net
assets consists of Paid in Capital (money invested by shareholders). The
balance shown for Accumulated Net Realized Gains usually approximates the
amount available to distribute to shareholders as taxable capital gains as of
the statement date, but may differ because certain investments or transactions
may be treated differently for financial statement and tax purposes. Any
Accumulated Net Realized Losses, and any cumulative excess of distributions
over net realized gains, will appear as negative balances. Unrealized
Appreciation (Depreciation) is the difference between the value of the
Portfolio's investments and their cost, and reflects the gains (losses) that
would be realized if the Portfolio were to sell all of its investments at their
statement-date values.
<TABLE>
<CAPTION>
- -------------------------------------------
CONTENTS
<S> <C>
Money Market Portfolio . . . . . . 1
Short-Term Portfolio . . . . . . . 9
Limited-Term Portfolio . . . . . . 15
Intermediate-Term Portfolio . . . 21
Insured Long-Term Portfolio . . . 36
Long-Term Portfolio . . . . . . . 43
High-Yield Portfolio . . . . . . . 47
Key To Abbreviations . . . . . . . 54
Report Of Independent Accountants 55
- -------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
MONEY MARKET PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (100.4%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ALABAMA (4.2%)
Alabama Special Care Fac. Finance Auth. of the
City of Montgomery Hosp. Rev. VRDO 3.65% 11/5/97 (3) $ 20,400 $ 20,400
Birmingham AL GO VRDO 3.60% 11/5/97 (2) LOC 31,800 31,800
Birmingham AL GO VRDO 3.625% 11/5/97 LOC 28,900 28,900
Birmingham AL GO VRDO 3.625% 11/6/97 LOC 19,800 19,800
Daphne AL Villa Mercy Special Care Fac. Rev. VRDO
(Mercy Medical Project) 3.65% 11/5/97 LOC 23,500 23,500
Huntsville AL Health Care Auth.VRDO 3.65% 11/6/97 (1) 30,800 30,800
McIntosh AL IDR PCR VRDO (Ciba-Geigy Corp. Project) 3.60% 11/5/97 LOC 25,000 25,000
McIntosh AL IDR PCR VRDO (Ciba-Geigy Corp. Project) 4.25% 11/4/97 LOC 12,100 12,100
Mobile AL IDR VRDO (Kimberly-Clark Tissue Co. Project) 3.65% 11/5/97 33,550 33,550
-----------
225,850
-----------
ALASKA (4.1%)
Alaska Housing Finance Corp. VRDO 3.65% 11/5/97 124,800 124,800
Alaska Housing Finance Corp. TOB VRDO 3.75% 11/6/97 7,845 7,845
</TABLE>
1
<PAGE> 44
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
MONEY MARKET PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Anchorage AK Electric Util. Rev. VRDO (Muni. Light & Power) 3.60% 11/5/97 LOC $ 18,000 $ 18,000
Anchorage AK TAN 4.00% 12/17/97 12,000 12,007
Valdez AK Marine Terminal VRDO (Exxon Pipeline Project) 4.15% 11/4/97 18,000 18,000
Valdez AK Marine Terminal VRDO (Exxon Pipeline Project) 4.20% 11/4/97 3,000 3,000
Valdez AK Marine Air Terminal VRDO (Atlantic Richfield Co.) 3.95% 11/6/97 7,000 7,000
Valdez City AK Marine Terminal Rev. VRDO
(Mobil Alaska Pipeline Co. Project) 3.65% 11/5/97 28,350 28,350
-----------
219,002
-----------
ARIZONA (0.7%)
Arizona Health Fac. Auth. VRDO (Samaritan Health Services) 3.60% 11/6/97 (3) 26,760 26,760
Maricopa County AZ PCR VRDO (Arizona Public Service Palo Verde) 4.20% 11/4/97 LOC 11,900 11,900
-----------
38,660
-----------
CALIFORNIA (3.7%)
California RAN 4.50% 6/30/98 60,000 60,250
California Health Fac. Finance Auth. VRDO (Kaiser Permanente) 3.40% 11/5/97 1,000 1,000
California Higher Educ. Loan Auth. Student Loan Rev. PUT 3.95% 5/1/98 LOC 49,300 49,300
California Higher Educ. Loan Auth. Student Loan Rev. PUT 4.00% 7/1/98 LOC 16,000 16,000
California Higher Educ. Loan Auth. Student Loan Rev. VRDO 3.60% 11/5/97 LOC 9,650 9,650
Los Angeles City CA TRAN 4.50% 6/30/98 24,000 24,095
Los Angeles County CA Pension Obligation VRDO 3.40% 11/5/97 (2) 1,100 1,100
Los Angeles County CA TRAN 4.50% 6/30/98 21,000 21,080
Orange County CA Sanitation Dist. VRDO 3.95% 11/4/97 (3) 5,200 5,200
Stanislaus CA TRAN 4.50% 7/9/98 14,000 14,055
-----------
201,730
-----------
COLORADO (2.3%)
Colorado TRAN 4.50% 6/26/98 31,000 31,128
Colorado Health Fac. Auth. Rev. VRDO (Kaiser Permanente) 3.60% 11/5/97 18,600 18,600
Colorado Health Fac. Auth. Rev. VRDO (Sisters of Charity) 3.60% 11/6/97 5,300 5,300
Colorado Springs (El Paso County) CO School Dist. 4.50% 6/30/98 24,400 24,504
Denver CO City, County Airport Rev. VRDO 3.75% 11/6/97 LOC 21,000 21,000
Moffat County CO PCR VRDO (PacifiCorp Project) 4.25% 11/4/97 (2) 10,605 10,605
Regional Transp. Dist. of Colorado COP (Transit Vehicles Project) 3.70% 11/5/97 LOC 14,690 14,690
-----------
125,827
-----------
FLORIDA (5.8%)
Dade County FL Water & Sewer System Rev. TOB VRDO (Eagle Trust) 3.78% 11/6/97 (3) 24,000 24,000
Dade County FL Water & Sewer System Rev. VRDO 3.60% 11/5/97 (3) 24,414 24,414
Florida Dept. of General Services Rev.
(Dept. of Environmental Protection Preservation-2000) 5.00% 7/1/98 (2) 7,015 7,067
Florida State Muni. Power Agency VRDO (Stanton Project) 3.65% 11/5/97 (1) 24,195 24,195
Gulf Breeze FL Local Govt. Loan Program VRDO 3.65% 11/6/97 (3) 38,065 38,065
Hillsborough County FL IDA PCR VRDO (Tampa Electric Co. Project) 4.25% 11/4/97 13,100 13,100
Jacksonville FL Electric Auth. System 3.80% 11/21/97 8,200 8,200
Lee County FL Hosp. Board CP (Lee Memorial Hosp. Project) 3.70% 11/10/97 20,500 20,500
Lee County FL Hosp. Board CP (Lee Memorial Hosp. Project) 3.80% 12/15/97 21,500 21,500
Lee County FL Hosp. Board CP (Lee Memorial Hosp. Project) 3.85% 11/18/97 31,000 31,000
Lee County FL Hosp. Board CP (Lee Memorial Hosp. Project) 3.85% 12/18/97 30,505 30,505
Lee County FL Hosp. Board CP (Lee Memorial Hosp. Project) 3.90% 12/11/97 7,000 7,000
Lee County FL Hosp. Board CP (Lee Memorial Hosp. Project) 3.90% 2/26/98 28,500 28,500
Orange County FL Health Fac. Auth. VRDO
(Adventist Health System/Sunbelt) 3.625% 11/6/97 LOC 36,200 36,200
-----------
314,246
-----------
GEORGIA (4.1%)
Burke County GA Dev. Auth. PCR PUT (Oglethorpe Power Corp.) 3.60% 12/1/97 (2) 20,000 20,000
Burke County GA Dev. Auth. PCR VRDO (Georgia Power Co.) 4.05% 11/14/97 3,900 3,900
Burke County GA Dev. Auth. PCR VRDO (Georgia Power Co.) 4.20% 11/4/97 6,600 6,600
Burke County GA Dev. Auth. PCR VRDO (Oglethorpe Power Corp.) 3.60% 11/5/97 (3) 95,920 95,920
Dekalb County GA TAN 4.00% 12/31/97 20,000 20,015
Fulco GA Hosp. Auth. RAN Certificates (Shepard Center Project) 3.65% 11/5/97 LOC 7,300 7,300
Macon-Bibb County GA Hosp. Auth. Rev. VRDO
(Medical Center of Central Georgia) 3.70% 11/5/97 LOC 5,000 5,000
</TABLE>
2
<PAGE> 45
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Muni. Electric Auth. of Georgia CP (Subordinate Bonds Project) 3.75% 11/20/97 LOC $ 25,000 $ 25,000
Muni. Electric Auth. of Georgia General Resolution CP 3.75% 11/20/97 LOC 7,385 7,385
Muni. Electric Auth. of Georgia VRDO (Sublien Bonds Project) 3.65% 11/5/97 LOC 4,600 4,600
Muni. Gas Auth. of Georgia VRDO (Agency Project) 3.70% 11/5/97 LOC 23,300 23,300
-----------
219,020
-----------
HAWAII (0.3%)
Hawaii GO 4.50% 1/1/98 5,000 5,005
Hawaii GO 5.00% 11/1/97 4,000 4,000
Honolulu HI City & County CP 3.85% 11/5/97 8,100 8,100
-----------
17,105
-----------
IDAHO (0.5%)
Idaho TAN 4.625% 6/30/98 25,000 25,119
-----------
ILLINOIS (4.7%)
Chicago IL Water Rev. 4.70% 11/1/97 (2) 3,250 3,250
Cook County IL 4.75% 11/15/97 (3) 5,000 5,002
Illinois Dev. Finance Auth. PCR VRDO (Illinois Power Co. Project) 3.65% 11/5/97 LOC 13,900 13,900
Illinois Educ. Fac. VRDO (Depaul Univ.) 3.60% 11/5/97 LOC 33,600 33,600
Illinois GO 5.125% 12/1/97 (3) 20,000 20,024
Illinois Health Fac. Auth. PUT (Evanston Hosp. Corp.) 3.75% 1/15/98 17,000 17,000
Illinois Health Fac. Auth. VRDO (Franciscan Sisters Health Care Corp.) 3.60% 11/5/97 LOC 27,000 27,000
Illinois Health Fac. Auth. VRDO (Hosp. Sisters Service) 3.65% 11/5/97 (1) 23,700 23,700
Illinois Health Fac. Auth. VRDO (Pooled Finance) 3.60% 11/5/97 LOC 6,000 6,000
Illinois Health Fac. Auth. VRDO (Swedish Covenant Hosp.) 3.65% 11/5/97 (2) 34,500 34,500
Illinois Health Fac. Auth. VRDO (Univ. of Chicago Hosp. Project) 3.60% 11/5/97 (1) 21,000 21,000
Illinois Toll Highway Auth. VRDO 3.60% 11/5/97 (1) LOC 34,520 34,520
Schaumburg IL VRDO 3.65% 11/5/97 10,800 10,800
-----------
250,296
-----------
INDIANA (2.1%)
Hammond City IN PCR VRDO (Amoco Oil Co. Project) 4.20% 11/4/97 9,225 9,225
Indiana Educ. Fac. Auth. VRDO (Univ. of Notre Dame Du Lac Project) 3.55% 11/6/97 15,400 15,400
Indiana Health Fac. Finance Auth. Hosp. Rev. VRDO
(Capital Access Designated Pool) 3.65% 11/5/97 LOC 9,150 9,150
Indiana Health Fac. Finance Auth. Hosp. Rev. VRDO
(Charity Obligated Group-Daughters of Charity
National Health System) 3.80% 11/5/97 21,000 21,000
Indiana Health Fac. Finance Auth. Hosp. Rev. VRDO
(Clarian Health Partners) 3.65% 11/5/97 31,400 31,400
Mt. Vernon IN PCR & Solid Waste Disposal CP
(General Electric Co. Project) 3.80% 11/19/97 4,400 4,400
Mt. Vernon IN PCR PUT (Southern Indiana Gas & Electric) 4.05% 5/1/98 12,000 12,027
Petersburg IN PCR CP (Indianapolis Power & Light Co.) 3.75% 2/11/98 3,000 3,000
Rockport City IN PCR VRDO (AEP Generating Co. Project) 4.25% 11/4/97 (2) 7,100 7,100
-----------
112,702
-----------
KANSAS (0.2%)
Overland Park KS Muni. Temporary Notes 4.25% 4/1/98 10,900 10,922
-----------
KENTUCKY (2.1%)
Kentucky Econ. Dev. Finance Auth. Hosp. Rev. VRDO
(Baptist Healthcare System Obligation Group) 3.60% 11/5/97 LOC 82,000 82,000
Kentucky Econ. Dev. Finance Auth. Hosp. Rev. VRDO
(Health Alliance of Greater Cincinnati) 3.65% 11/5/97 30,900 30,900
-----------
112,900
-----------
LOUISIANA (1.4%)
East Baton Rouge Parish LA PCR VRDO (Exxon Project) 3.95% 11/4/97 700 700
Lousiana GO 3.80% 1/20/98 7,800 7,800
Louisiana Public Fac. Auth. Hosp. Rev. CP
(Our Lady of the Lake Regional Medical Center) 3.80% 11/21/97 (4) 15,500 15,500
</TABLE>
3
<PAGE> 46
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
MONEY MARKET PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Louisiana Public Fac. Auth. Hosp. Rev. CP
(Our Lady of the Lake Regional Medical Center) 3.85% 11/5/97 (4) $ 11,400 $ 11,400
Louisiana Public Fac. Auth. Hosp. Rev. CP
(Our Lady of the Lake Regional Medical Center) 3.90% 12/12/97 (4) 13,760 13,760
Louisiana Public Fac. Auth. Rev. VRDO (Sisters of Charity) 3.65% 11/5/97 24,600 24,600
-----------
73,760
-----------
MAINE (0.4%)
Maine Health & Higher Educ. Fac. Auth. VRDO (Bowdoin College) 3.65% 11/5/97 LOC 13,500 13,500
Maine Muni. Bond Bank 4.125% 11/1/97 10,000 10,000
-----------
23,500
-----------
MARYLAND (1.4%)
Frederick County MD Consolidated Public Improvement VRDO 3.75% 11/5/97 47,500 47,500
Washington MD Suburban Sanitation Dist. BAN VRDO 3.65% 11/5/97 25,800 25,800
-----------
73,300
-----------
MASSACHUSETTS (0.8%)
Massachusetts Bay Transp. Auth. Notes 4.25% 2/27/98 5,000 5,006
Massachusetts Bay Transp. Auth. CP 3.70% 2/23/98 LOC 5,100 5,100
Massachusetts GO VRDO 3.50% 11/6/97 35,000 35,000
-----------
45,106
-----------
MICHIGAN (3.6%)
Detroit MI City School Dist. State School Aid 4.50% 5/1/98 30,000 30,087
Michigan Housing Dev. Auth. Rental Rev. VRDO 3.55% 11/5/97 LOC 37,700 37,700
Michigan State Hosp. Finance Auth. VRDO
(Charity Obligated Group-Daughters of Charity
National Health System) 3.80% 11/5/97 10,000 10,000
Michigan State Hosp. Finance Auth. VRDO
(Daughters of Charity-Providence Hosp.) 3.75% 11/5/97 26,250 26,250
Oakland County MI Econ. Dev. Corp. VRDO (Cranbrook Educ. Comm.) 3.65% 11/6/97 4,500 4,500
Regents of Univ. of Michigan Hosp. Rev. VRDO 4.25% 11/4/97 51,200 51,200
Univ. of Michigan Hosp. Rev. VRDO 4.25% 11/4/97 10,300 10,300
Univ. of Michigan Rev. VRDO (Medical Service Plan) 4.25% 11/4/97 22,200 22,200
-----------
192,237
-----------
MINNESOTA (0.1%)
Canby MN Community Hosp. Dist. #1 Yellow Medicine County VRDO
(Sioux Valley Hospitals & Health Systems) 3.70% 11/7/97 3,870 3,870
-----------
MISSISSIPPI (0.9%)
Mississippi GO 5.00% 11/1/98 3,730 3,771
Mississippi Hosp. Equipment Fac. Auth. Rev.
(North Mississippi Health Services) 3.80% 11/19/97 20,000 20,000
Mississippi Hosp. Equipment Fac. Auth. Rev.
(North Mississippi Health Services) 3.85% 12/17/97 25,000 25,000
-----------
48,771
-----------
MISSOURI (3.8%)
Missouri Environmental Improvement & Energy Resources Auth.
PCR CP (Union Electric Co.) 3.75% 2/26/98 LOC 11,655 11,655
Missouri Health & Educ. Fac. Auth. VRDO (SSM Health Care Project) 3.65% 11/5/97 (1) 23,300 23,300
Missouri Health & Educ. Fac. Auth. VRDO (SSM Health Care Project) 3.75% 11/4/97 LOC 7,200 7,200
Missouri Health & Educ. Fac. Auth. VRDO
(Sisters of Mercy Health Care System) 3.60% 11/5/97 55,000 55,000
Missouri Health & Educ. Fac. Auth. VRDO
(Sisters of Mercy Health Care System) 3.60% 11/6/97 44,300 44,300
Missouri Health & Educ. Fac. Auth. VRDO (Washington Univ.) 4.20% 11/4/97 9,600 9,600
Missouri Health & Educ. Fac. Auth. School Dist.
Advance Funding Program (Columbia School Dist.) 4.50% 9/14/98 6,000 6,030
Missouri Health & Educ. Fac. Auth. School Dist.
Advance Funding Program (Rockwood R-VI School Dist.) 4.50% 9/14/98 4,500 4,523
Missouri Health & Educ. Fac. Auth. School Dist.
Advance Funding Program (St. Louis County School Dist.) 4.50% 9/14/98 9,000 9,045
</TABLE>
4
<PAGE> 47
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Missouri Health & Educ. Finance Auth. VRDO
(St. Anthony's Medical Center) 3.60% 11/5/97 $ 23,500 $ 23,500
Missouri Higher Educ. Loan Auth. Student Loan Rev. 5.15% 2/15/98 11,365 11,404
-----------
205,557
-----------
NEBRASKA (0.3%)
Lincoln City NE (Lincoln Electric System) 3.85% 11/18/97 13,200 13,200
Lincoln City NE (Lincoln Electric System) 3.85% 11/19/97 4,000 4,000
-----------
17,200
-----------
NEVADA (1.9%)
Clark County NV Airport Improvement Rev. VRDO
(McCarren International Airport) 3.60% 11/5/97 LOC 17,800 17,800
Clark County NV Airport System Refunding Rev. VRDO
(McCarren International Airport) 3.60% 11/5/97 (1) 83,223 83,223
-----------
101,023
-----------
NEW HAMPSHIRE (0.5%)
New Hampshire Higher Educ. & Health Fac. Auth. VRDO
(St Paul's School) 3.60% 11/6/97 LOC 25,200 25,200
-----------
NEW JERSEY (0.9%)
Cherry Hill Township NJ 4.50% 10/14/98 20,000 20,128
Freehold Township NJ BAN 4.125% 10/28/98 7,965 7,990
New Jersey Health Care Fac. Finance Auth. VRDO
(Hosp. Capital Assets) 3.40% 11/6/97 LOC 200 200
New Jersey TRAN CP 3.70% 11/18/97 20,000 20,000
-----------
48,318
-----------
NEW MEXICO (2.9%)
Hurley NM PCR VRDO
(Kennecott Sante Fe Corp. Project British Petroleum) 4.20% 11/4/97 35,600 35,600
New Mexico Finance Auth. Administrative Fee Rev. Bonds VRDO
(Trims Project) 3.75% 11/5/97 LOC 5,000 5,000
New Mexico Highway Comm. VRDO 3.60% 11/5/97 (4) 14,000 14,000
New Mexico TRAN 4.50% 6/30/98 100,050 100,441
-----------
155,041
-----------
NEW YORK (4.8%)
Great Neck NY Union Free School Dist. TAN 4.25% 6/30/98 7,000 7,022
New York City NY Custodial Receipt TOB VRDO 3.85% 11/6/97 4,000 4,000
New York City NY GO VRDO 3.70% 11/5/97 LOC 20,500 20,500
New York City NY GO VRDO 3.90% 11/4/97 LOC 2,620 2,620
New York City NY GO VRDO 4.05% 11/4/97 LOC 5,300 5,300
New York City NY IDA Civic Fac. Rev. VRDO (National Audobon Society) 4.00% 11/4/97 LOC 1,200 1,200
New York City NY Muni. Assistance Corp. VRDO 3.65% 11/5/97 LOC 41,600 41,600
New York City NY Muni. Finance Auth. Water & Sewer System
Rev. VRDO 4.00% 11/4/97 (3) 36,700 36,700
New York City NY Muni. Water Finance Auth. CP 3.90% 12/18/97 LOC 50,000 50,000
New York Environmental Quality GO VRDO CP 3.80% 12/18/97 LOC 21,500 21,500
New York Local Govt. Assistance Corp. VRDO 3.60% 11/5/97 LOC 2,600 2,600
New York Local Govt. Assistance Corp. VRDO 3.65% 11/5/97 LOC 23,000 23,000
New York Medical Care Fac. Finance Agency Rev.
(Hosp. & Nursing Home) 8.10% 2/15/98 (Prere.) 20,000 20,648
Orange County NY BAN 4.50% 11/12/97 6,700 6,702
Roslyn NY Union Free School Dist. TAN 4.25% 6/29/98 3,000 3,009
Syosset NY Central School Dist. TAN 4.10% 6/29/98 9,000 9,017
Syosset NY Central School Dist. TAN 4.25% 6/29/98 1,600 1,605
-----------
257,023
-----------
NORTH CAROLINA (3.4%)
Charlotte NC Airport Refunding Rev. VRDO 3.60% 11/5/97 (1) 13,560 13,560
Mecklenburg County NC VRDO 3.55% 11/6/97 21,800 21,800
North Carolina Educ. Fac. Finance Auth. VRDO
(Bowman Gray School of Medicine Project) 3.65% 11/5/97 LOC 5,700 5,700
</TABLE>
5
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
MONEY MARKET PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
North Carolina Educ. Fac. Finance Auth. VRDO (Duke Univ.) 3.60% 11/6/97 $ 38,900 $ 38,900
North Carolina Medical Care Comm. Hosp. Rev. VRDO
(Duke Univ. Hosp. Project) 3.60% 11/6/97 21,600 21,600
North Carolina Medical Care Comm. Hosp. Rev. VRDO
(Moses H. Cone Memorial Hosp. Project) 3.60% 11/6/97 19,500 19,500
North Carolina Medical Care Comm. Hosp. Rev. VRDO
(North Carolina Baptist Hosp. Project) 3.60% 11/6/97 41,000 41,000
Wake County NC Industrial Fac. & Pollution Control Finance Auth. VRDO
(Carolina Power & Light) 3.65% 11/5/97 LOC 12,400 12,400
Winston-Salem NC COP VRDO 3.65% 11/6/97 8,850 8,850
-----------
183,310
-----------
NORTH DAKOTA (0.6%)
Oliver County ND PCR VRDO (Square Butte Electric Cooperative Project) 3.65% 11/5/97 (2) 30,750 30,750
-----------
OHIO (3.4%)
Cincinnati OH Student Loan Funding Corp. Student Loan Rev. VRDO 3.65% 11/5/97 LOC 6,125 6,125
Clermont County OH Hosp. Rev. VRDO (Mercy Health System) 3.60% 11/5/97 25,100 25,100
Columbus OH GO VRDO 3.55% 11/6/97 4,300 4,300
Cuyahoga County OH Hosp. Rev. VRDO (Cleveland Clinic Foundation) 3.70% 11/5/97 59,400 59,400
Cuyahoga County OH Hosp. Rev. VRDO (Cleveland Clinic Foundation) 3.70% 11/5/97 LOC 11,740 11,740
Franklin County OH Hosp. Rev. VRDO (Holy Cross Health System) 3.65% 11/6/97 7,800 7,800
Franklin County OH Hosp. Rev. VRDO (U.S. Health Corp.) 3.65% 11/6/97 LOC 4,515 4,515
Hamilton County OH Hosp. Fac. Rev. VRDO
(Health Alliance of Greater Cincinnati) 3.65% 11/5/97 (1) 51,200 51,200
Ohio Air Quality Dev. Auth. VRDO (Cincinnati Gas & Electric Co. Project) 4.20% 11/4/97 LOC 700 700
Ohio Public Fac. Comm. Higher Educ. Fac. 4.50% 5/1/98 10,850 10,876
Ohio Public Fac. Comm. Higher Educ. Fac. 6.50% 12/1/97 2,950 2,956
-----------
184,712
-----------
OKLAHOMA (0.7%)
Garfield County OK IDA PCR VRDO
(Oklahoma Gas & Electric Co. Project) 3.75% 11/5/97 19,200 19,200
Oklahoma City OK Ind. & Cultural Health Fac. Auth. VRDO
(St. Anthony Hosp. Project) 3.75% 11/4/97 LOC 21,500 21,500
-----------
40,700
-----------
OREGON (3.0%)
Oregon Health Housing Educ. & Cultural Fac. Auth. VRDO
(Peacehealth) 3.625% 11/6/97 LOC 14,055 14,055
Oregon Veterans Welfare Program VRDO 3.60% 11/5/97 LOC 73,095 73,095
Oregon Veterans Welfare Program VRDO 3.65% 11/5/97 LOC 62,300 62,300
Portland OR TAN 4.50% 6/29/98 10,325 10,368
-----------
159,818
-----------
PENNSYLVANIA (2.3%)
Allegheny County PA Hosp. Dev. Auth. VRDO
(Allegheny General Hosp. Project) 3.60% 11/5/97 LOC 4,500 4,500
Allegheny County PA Hosp. Dev. Auth. VRDO (Presbyterian Univ. Health) 3.60% 11/6/97 2,100 2,100
Dauphin County PA Rev. (Allhealth Pooled Finance Program) 3.75% 11/5/97 (4) 50,000 50,000
Delaware County PA IDA PCR Refunding VRDO (PECO Energy) 3.90% 11/4/97 LOC 2,900 2,900
Pennsylvania Higher Educ. Fac. Auth. VRDO (Carnegie Mellon Univ.) 4.00% 11/4/97 15,900 15,900
Pennsylvania Higher Educ. Fac. Auth. VRDO
(Univ. of Pennsylvania Health Services) 3.60% 11/5/97 400 400
Philadelphia PA Hosp. & Higher Educ. Fac. Auth. VRDO
(Children's Hosp. Project) 4.00% 11/4/97 37,300 37,300
Sayre PA Health Care Fac. Auth. VRDO
(VHA of Pennsylvania, Pooled Capital Asset Financial Program) 3.65% 11/5/97 (2) 8,000 8,000
York County PA IDA Refunding VRDO (PECO Energy) 3.90% 11/4/97 LOC 4,000 4,000
-----------
125,100
-----------
SOUTH CAROLINA (0.1%)
Berkeley County SC PCR VRDO (Amoco Chemical Co. Project) 4.20% 11/4/97 3,550 3,550
-----------
</TABLE>
6
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SOUTH DAKOTA (0.3%)
South Dakota Health & Educ. Fac. Auth.
(Sioux Valley Hospitals & Health System) 3.70% 11/7/97 $ 11,130 $ 11,130
South Dakota School District COP (Cash Flow Finance Project) 4.50% 7/27/98 6,180 6,204
-----------
17,334
-----------
TENNESSEE (3.1%)
Metro. Govt. of Nashville & Davidson County TN Health & Educ. CP
(Baptist Hosp.) 3.80% 11/18/97 73,600 73,600
Metro. Govt. of Nashville & Davidson County TN Health & Educ. PUT
(Vanderbilt Univ.) 3.65% 1/15/98 5,500 5,500
Metro. Govt. of Nashville TN Airport Auth. Improvement Refunding VRDO 3.65% 11/5/97 (3) 33,100 33,100
Metro. Govt. of Nashville TN Airport Auth. Improvement Refunding VRDO 3.65% 11/5/97 (3) LOC 19,900 19,900
Shelby County TN CP 3.85% 12/16/97 26,000 26,000
Tennessee GO 5.00% 5/1/98 8,725 8,777
-----------
166,877
-----------
TEXAS (12.3%)
Dallas/Fort Worth TX Regional Airport 4.00% 11/1/97 (1) 9,000 9,000
Gulf Coast Waste Disposal Auth. of TX PCR VRDO (Exxon Project) 4.20% 11/4/97 12,600 12,600
Harris County TX Health Fac. Dev. Corp. CP (Sisters of Charity) 3.70% 2/23/98 9,400 9,400
Harris County TX Health Fac. Dev. Corp. Hosp. Rev. VRDO
(Methodist Hosp.) 4.00% 11/4/97 23,700 23,700
Harris County TX Health Fac. Dev. Corp. Medical Fac. VRDO
(Baylor College of Medicine) 3.65% 11/5/97 25,000 25,000
Harris County TX Health Fac. Dev. Corp. VRDO
(St. Lukes Episcopal Hosp.) 4.05% 11/4/97 161,550 161,550
Harris County TX Health Fac. Dev. Corp. VRDO (Sisters of Charity) 3.65% 11/5/97 31,500 31,500
Harris County TX Health Fac. Dev. Corp. VRDO (Texas Children's Hosp.) 3.65% 11/5/97 32,400 32,400
Harris County TX Toll Road VRDO 3.65% 11/5/97 61,500 61,500
Houston TX Water & Sewer System Rev. 7.60% 12/1/97 (Prere.) 4,010 4,103
Katy TX Independent School Dist. VRDO 3.70% 11/6/97 24,700 24,700
North Central TX Health Fac. Dev. Corp. VRDO
(Presbyterian Medical Center) 4.05% 11/4/97 (1) 8,700 8,700
Pasadena TX Independent School Dist. VRDO 3.70% 11/6/97 19,200 19,200
Red River TX Auth. PCR VRDO (Southwest Public Service) 3.65% 11/6/97 18,600 18,600
Red River TX Auth. PCR VRDO (Southwest Public Service) 3.65% 11/6/97 (2) 20,000 20,000
Richardson TX Independent School Dist. TRAN 4.50% 8/27/98 17,000 17,087
San Antonio TX Electric & Gas System Rev. CP 3.75% 11/13/97 7,500 7,500
Southwest Higher Educ. Auth. of TX VRDO (Southern Methodist Univ.) 4.20% 11/4/97 LOC 18,200 18,200
Texas GO 6.75% 12/1/97 5,000 5,000
Texas TRAN 4.75% 8/31/98 140,000 141,017
Univ. of Texas System Board of Regents Rev. Finance System CP 3.85% 11/20/97 5,066 5,066
West Side Calhoun County TX Dev. VRDO
(Sohio Chemical Co. Project-British Petroleum) 4.00% 11/4/97 6,400 6,400
-----------
662,223
-----------
UTAH (3.0%)
Emery County UT PCR VRDO (PacifiCorp Project) 3.60% 11/5/97 LOC 35,500 35,500
Emery County UT PCR VRDO (PacifiCorp. Project) 4.25% 11/4/97 (2) 13,000 13,000
Intermountain Power Agency of UT PUT 3.75% 3/16/98 LOC 31,500 31,500
Intermountain Power Agency of UT TOB VRDO (Eagle Trust) 3.75% 11/6/97 (1) 37,600 37,600
Salt Lake City UT Rev. (Pooled Hosp. Finance Program) 3.85% 11/19/97 5,000 5,000
Salt Lake City UT Rev. (Pooled Hosp. Finance Program) 3.85% 11/20/97 3,200 3,200
Salt Lake County UT PCR VRDO (British Petroleum) 4.00% 11/4/97 7,500 7,500
Univ. of Utah Rev. VRDO (Auxiliary & Campus Fac.) 3.70% 11/5/97 27,590 27,590
-----------
160,890
-----------
VERMONT (0.4%)
Vermont Educ. & Health Buildings Finance Agency PUT
(Middlebury College Project) 3.95% 5/1/98 6,600 6,600
Vermont Educ. & Health Buildings Finance Agency VRDO
(Norwich Univ.) 3.65% 11/6/97 LOC 14,400 14,400
-----------
21,000
-----------
</TABLE>
7
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
MONEY MARKET PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
VIRGINIA (0.8%)
Fairfax County VA IDA Rev. VRDO (Fairfax Hosp. System) 3.60% 11/5/97 $ 25,550 $ 25,550
Fairfax County VA IDA Rev. VRDO (Fairfax Hosp. System) 3.65% 11/5/97 18,000 18,000
-----------
43,550
-----------
WASHINGTON (2.4%)
Port of Seattle WA GO VRDO 3.65% 11/5/97 2,300 2,300
Seattle WA Muni. Light & Power VRDO 3.60% 11/5/97 35,700 35,700
Seattle WA Water System Rev. VRDO 3.60% 11/5/97 LOC 19,800 19,800
Washington GO VRDO 3.55% 11/5/97 71,540 71,540
-----------
129,340
-----------
WISCONSIN (5.6%)
Milwaukee WI Ind. Dev. VRDO (Wisconsin Electric Power Co. Project) 3.65% 11/6/97 10,000 10,000
Milwaukee WI Rev. School Order Notes 4.25% 8/27/98 15,000 15,049
Oak Creek City WI VRDO (Wisconsin Electric Power Co. Project) 3.60% 11/5/97 47,100 47,100
Univ. of Wisconsin Hospitals & Clinics Auth. Rev. VRDO
(Univ. of Wisconsin Hosp.) 3.60% 11/5/97 (1) 16,500 16,500
Village of Pleasant Prairie WI PCR VRDO
(Wisconsin Electric Power Co. Project) 3.65% 11/6/97 23,500 23,500
Wisconsin CP 3.85% 11/6/97 16,389 16,389
Wisconsin GO 4.50% 6/15/98 125,000 125,531
Wisconsin Health & Educ. Fac. Auth. VRDO
(Wheaton Franciscan Services) 3.60% 11/6/97 LOC 48,700 48,700
-----------
302,769
-----------
WYOMING (0.5%)
Kemmerer WY VRDO (Exxon Project) 4.15% 11/4/97 7,000 7,000
Lincoln County WY PCR VRDO (Exxon Project) 3.95% 11/4/97 10,500 10,500
Sublette County WY (Exxon Project) 4.20% 11/4/97 8,200 8,200
-----------
25,700
-----------
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $5,400,908) 5,400,908
- ----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.4%)
- ----------------------------------------------------------------------------------------------------------------------------------
Other Assets--Note B 132,719
Liabilities (153,217)
-----------
(20,498)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------------------------
Applicable to 5,381,033,241 outstanding $.001 par value shares
(authorized 6,700,000,000 shares) $5,380,410
==================================================================================================================================
NET ASSET VALUE PER SHARE $1.00
==================================================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
For key to abbreviations and other references, see page 54.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
AT OCTOBER 31, 1997, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $5,381,047 $1.00
Undistributed Net Investment Income -- --
Accumulated Net Realized Losses--Note E (637) --
Unrealized Appreciation -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $5,380,410 $1.00
==================================================================================================================================
</TABLE>
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
SHORT-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (97.8%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ALABAMA (0.5%)
Birmingham AL GO VRDO 3.625% 11/6/97 LOC $ 1,400 $ 1,400
Huntsville AL Health Care Auth. VRDO 3.65% 11/6/97 (1) 5,300 5,300
-----------
6,700
-----------
ALASKA (3.1%)
Alaska Housing Finance Corp. VRDO 3.65% 11/5/97 25,800 25,800
North Slope Borough AK GO 0.00% 1/1/02 (1) 7,650 6,337
North Slope Borough AK GO 7.125% 7/1/98 (1) 7,710 7,879
North Slope Borough AK GO 7.15% 7/1/99 (1) 5,670 5,957
Valdez AK Marine Terminal VRDO (Exxon Pipeline Co. Project) 4.20% 11/4/97 100 100
-----------
46,073
-----------
ARIZONA (1.2%)
Arizona Transp. Board Excise Tax Rev. 5.50% 7/1/98 (2) 7,315 7,401
Maricopa County AZ PCR VRDO (Arizona Public Service Palo Verde) 4.00% 11/4/97 LOC 3,000 3,000
Maricopa County AZ School Dist. 0.00% 7/1/99 (3) 7,530 7,037
-----------
17,438
-----------
CALIFORNIA (19.9%)
California Community College Financing Auth. TRAN 4.50% 9/30/98 56,330 56,644
California Dept. of Water (Central Valley Project) 8.75% 12/1/00 4,540 5,150
California Health Fac. Finance Auth. VRDO (Catholic Healthcare West) 3.40% 11/5/97 (1) 500 500
California Health Fac. Finance Auth. VRDO (Kaiser Permanente) 3.40% 11/5/97 3,700 3,700
California Higher Educ. Loan Auth. Student Loan Rev. VRDO 3.60% 11/5/97 LOC 28,400 28,400
Irvine CA Ranch Water Dist. Rev. VRDO 3.60% 11/4/97 LOC 800 800
Livermore Valley CA Joint Unified School Dist. TRANS 4.50% 12/30/98 8,000 8,068
Los Angeles CA Dept. of Water & Power Rev. 9.00% 11/15/97 5,855 5,867
Los Angeles County CA Local Educ. Agency Pooled TRAN 4.50% 9/30/98 40,000 40,227
Los Angeles County CA Pension Obligations Rev. VRDO 3.40% 11/5/97 (2) 1,200 1,200
Los Angeles County CA Public Works Finance Auth. 6.00% 9/1/99 (1) 11,080 11,495
Los Angeles County CA TRAN 4.50% 6/30/98 25,000 25,113
Los Angeles County CA Unified School Dist. TRAN 4.50% 10/1/98 10,000 10,065
Mount Diablo CA Unified School Dist. 4.75% 1/28/99 13,800 13,936
Sacramento CA Util. Rev. 7.875% 8/15/98 (Prere.) 4,000 4,204
San Diego CA Area Local Govt. COP Pooled TRAN 4.50% 10/1/98 25,000 25,156
San Diego City CA TRAN 4.50% 9/30/98 28,300 28,486
San Juan CA Unified School Dist. TRAN 4.25% 12/30/98 25,000 25,091
Southern CA Public Power Auth. TRAN VRDO 3.40% 11/5/97 (2)LOC 2,000 2,000
-----------
296,102
-----------
COLORADO (0.8%)
Colorado Health Fac. Auth. Rev. VRDO (Kaiser Permanente) 3.60% 11/5/97 5,200 5,200
Jefferson County CO School Dist. GO 5.00% 12/15/98 (1) 6,235 6,311
-----------
11,511
-----------
CONNECTICUT (2.1%)
Connecticut GO 5.00% 8/1/00 7,000 7,171
Connecticut GO 5.65% 11/15/98 2,500 2,546
Connecticut Special Assessment Unemployment Compensation 5.50% 5/15/00 (2) 17,500 18,106
Connecticut State 2nd Lien Special Tax Obligation Transp.
Infrastructure Purpose VRDO 3.60% 11/5/97 LOC 3,400 3,400
-----------
31,223
-----------
DISTRICT OF COLUMBIA (3.7%)
District of Columbia GO 0.00% 6/1/99 (1) 5,000 4,682
District of Columbia GO 0.00% 6/1/00 (1) 6,900 6,182
District of Columbia GO 5.50% 6/1/98 9,065 9,139
District of Columbia GO 5.50% 6/1/99 12,100 12,314
District of Columbia GO 5.90% 6/1/00 (1) 10,105 10,518
District of Columbia GO 6.00% 6/1/01 (1) 8,115 8,568
District of Columbia GO 7.10% 6/1/00 (4) 3,620 3,873
-----------
55,276
-----------
</TABLE>
9
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
SHORT-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FLORIDA (3.2%)
Dade County FL School Dist. 7.00% 8/1/98 (3) $ 7,510 $ 7,691
Dade County FL Water & Sewer System Rev. VRDO 3.60% 11/5/97 (3) 1,580 1,580
Florida State Department Transp. Rev. (Right-of-Way) 6.40% 7/1/99 2,765 2,877
Florida State Turnpike 7.50% 7/1/99 (Prere.) 9,750 10,493
Gulf Breeze FL Local Govt. Loan Program VRDO 3.65% 11/6/97 (3) 19,575 19,575
Hillsborough County FL IDA PCR VRDO (Tampa Electric Co. Project) 4.00% 11/4/97 400 400
Jacksonville FL Transp. Auth. 9.00% 1/1/98 (Prere.) 3,780 3,887
St. Lucie County FL PCR VRDO (Florida Power & Light Co.) 4.00% 11/4/97 500 500
-----------
47,003
-----------
GEORGIA (3.2%)
Burke County GA Dev. Auth. PCR VRDO (Georgia Power Co.) 4.05% 11/4/97 1,000 1,000
Burke County GA Dev. Auth. PCR VRDO (Georgia Power Co.) 4.20% 11/4/97 1,700 1,700
Burke County GA Dev. Auth. PCR VRDO (Oglethorpe Power) 3.60% 11/5/97 (3) 6,100 6,100
Burke County GA Dev. Auth. PCR VRDO (Oglethorpe Power) 3.60% 11/5/97 (3) 2,300 2,300
Georgia GO 6.80% 8/1/98 6,155 6,293
Georgia GO 7.00% 11/1/99 7,500 7,948
Georgia GO 7.40% 8/1/00 5,000 5,439
Georgia GO 7.50% 4/1/01 5,500 6,091
Georgia GO 7.70% 4/1/99 5,000 5,261
Municipal Gas Auth. of GA Rev. VRDO (Agency Project) 3.65% 11/5/97 LOC 4,900 4,900
-----------
47,032
-----------
HAWAII (2.5%)
Hawaii GO 5.00% 11/1/97 1,250 1,250
Hawaii GO 5.00% 11/1/98 16,000 16,173
Hawaii GO 5.00% 11/1/99 20,000 20,377
-----------
37,800
-----------
ILLINOIS (4.6%)
Chicago IL GO 7.50% 1/1/99 (Prere.) 5,000 5,301
Chicago IL Metro. Sanitation Dist. 7.85% 1/1/98 (Prere.) 5,600 5,749
Chicago IL Metro. Water Reclamation Dist. 6.40% 1/1/00 5,000 5,238
Chicago IL Metro. Water Reclamation Dist. 6.80% 1/1/00 (Prere.) 5,200 5,589
Chicago IL Metro. Water Reclamation Dist. 7.25% 1/1/99 (Prere.) 3,490 3,623
Chicago IL Public Building Comm. 4.50% 12/1/98 (1) 8,000 8,050
Chicago IL Public Building Comm. 7.75% 1/1/99 (3) 5,000 5,315
Chicago IL School Finance Auth. GO 4.40% 6/1/98 (1) 6,755 6,778
Illinois GO 5.50% 8/1/98 7,700 7,797
Illinois Housing Dev. Auth. VRDO (Illinois Center Apartments) 3.95% 11/5/97 14,800 14,800
-----------
68,240
-----------
INDIANA (0.3%)
Merrillville IN Multi School Building Corp. 7.50% 7/15/00 (Prere.) 4,000 4,420
-----------
LOUISIANA (0.6%)
East Baton Rouge Parish LA PCR VRDO (Exxon Project) 3.95% 11/4/97 6,800 6,800
East Baton Rouge Parish LA PCR VRDO (Exxon Project) 4.00% 11/4/97 2,300 2,300
-----------
9,100
-----------
MARYLAND (0.3%)
Maryland Health & Higher Educ. Fac. (Francis Scott Key) 7.00% 7/1/00 (Prere.) 4,000 4,367
-----------
MASSACHUSETTS (6.9%)
Massachusetts Bay Transp. Auth. 7.00% 3/1/01 (Prere.) 6,000 6,629
Massachusetts Bay Transp. Auth. 7.10% 3/1/99 (3)(Prere.) 7,800 8,272
Massachusetts Consolidated Loan 7.00% 6/1/99 (Prere.) 10,000 10,654
Massachusetts Consolidated Loan 7.50% 2/1/99 (3)(Prere.) 6,400 6,741
Massachusetts GO 5.50% 7/1/99 10,000 10,242
Massachusetts GO 7.25% 7/1/98 (Prere.) 5,000 5,187
Massachusetts GO 7.25% 3/1/00 (3)(Prere.) 3,910 4,257
Massachusetts GO 9.25% 7/1/00 10,000 11,267
Massachusetts State Health and Educ. Fac. Auth. Rev. PUT
(Fairview Extended Care) 4.55% 7/14/02 3,500 3,525
</TABLE>
10
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 $ 1,485 $ 1,508
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 (ETM) 5,515 5,606
Massachusetts Water Resources Auth. Rev. 6.50% 12/1/01 (Prere.) 4,300 4,743
Massachusetts Water Resources Auth. Rev. 7.00% 4/1/00 (Prere.) 4,500 4,884
Massachusetts Water Resources Auth. Rev. 7.625% 4/1/00 (Prere.) 17,645 19,403
-----------
102,918
-----------
MICHIGAN (3.1%)
Greater Detroit MI Resource Recovery Auth. 5.00% 12/13/99 (2) 12,000 12,233
Michigan Building Auth. Rev. (Equipment Program) 5.00% 10/1/98 3,615 3,654
Michigan Building Auth. Rev. (Fac. Program) 5.00% 10/1/00 (2) 4,000 4,103
Michigan Trunk Line 5.50% 11/15/98 13,720 13,942
Regents of Univ. of MI Hosp. Rev. VRDO 4.25% 11/4/97 1,600 1,600
Royal Oak MI Finance Auth. Hosp. Rev. VRDO (William Beaumont Hosp.) 4.00% 11/4/97 11,200 11,200
-----------
46,732
-----------
MINNESOTA (0.9%)
Minnesota GO 6.00% 8/1/99 5,730 5,931
Minnesota GO 6.40% 8/1/00 6,700 7,116
-----------
13,047
-----------
MISSOURI (1.5%)
Missouri Health & Educ. Fac. Auth. VRDO
(Sisters of Mercy Health System) 3.60% 11/5/97 1,000 1,000
Missouri Health & Educ. Fac. Auth. VRDO
(Sisters of Mercy Health System) 3.60% 11/6/97 4,600 4,600
Missouri Health & Educ. Fac. Auth. VRDO
(St. Anthony Medical Center) 3.60% 11/5/97 7,000 7,000
St. Louis County MO Rockwood School Dist. GO Refunding 8.50% 2/1/01 8,000 9,033
-----------
21,633
-----------
NEVADA (1.9%)
Clark County NV Airport System Refunding Rev. VRDO
(McCarren International Airport) 3.60% 11/5/97 (1) 13,525 13,525
Clark County NV Airport System Refunding Rev. VRDO
(McCarren International Airport) 3.60% 11/5/97 LOC 2,685 2,685
Clark County NV Highway Improvement Motor Vehicle Fuel Tax 4.50% 7/1/98 (2) 5,160 5,185
Clark County NV School Dist. GO (Computer Equipment) 7.50% 6/15/00 (3) 6,000 6,501
-----------
27,896
-----------
NEW JERSEY (0.2%)
New Jersey Econ. Dev. Auth. Transition Fac. 5.125% 7/1/00 (1) 2,710 2,777
New Jersey Turnpike Auth. VRDO 3.25% 11/5/97 (3)LOC 800 800
-----------
3,577
-----------
NEW MEXICO (0.5%)
Albuquerque NM Water & Sewer 5.90% 7/1/98 (ETM) 4,105 4,162
Hurley NM PCR VRDO (Kennecott Sante Fe Corp. Project
British Petroleum) 4.20% 11/4/97 3,800 3,800
-----------
7,962
-----------
NEW YORK (8.5%)
Erie County NY Water Auth. Waterworks System Rev. VRDO 3.65% 11/5/97 (2) 500 500
Muni. Assistance Corp. of New York 4.50% 7/1/98 10,000 10,051
Muni. Assistance Corp. of New York 5.00% 7/1/01 10,000 10,276
Muni. Assistance Corp. of New York 5.25% 7/1/01 5,110 5,294
Muni. Assistance Corp. of New York VRDO 3.65% 11/5/97 LOC 5,100 5,100
Nassau County NY General Improvement 4.50% 9/1/99 (3) 14,025 14,154
Nassau County NY General Improvement 5.125% 11/1/99 (3) 7,525 7,688
New York City NY GO 5.25% 8/1/99 9,875 10,064
New York City NY GO VRDO 3.70% 11/5/97 LOC 5,000 5,000
New York City NY GO VRDO 4.00% 11/4/97 LOC 1,200 1,200
New York Medical Care Fac. (St. Luke's) 7.45% 2/15/00 (1)(Prere.) 5,000 5,457
New York Medical Care Fac. Finance Agency Rev. 7.80% 2/15/99 (Prere.) 5,000 5,339
New York State Dormitory Auth. Rev. (City Univ.) 7.625% 7/1/00 (Prere.) 23,600 26,096
New York State Dormitory Auth. Rev. (State Univ.) 7.25% 5/15/00 (Prere.) 2,070 2,267
New York State Thruway Auth. (Highway & Bridge Trust Fund) 5.00% 4/1/98 8,750 8,791
</TABLE>
11
<PAGE> 54
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
SHORT-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
New York State Thruway Auth. Service Contract Rev. (Highway Bridge) 5.10% 4/1/99 $ 5,085 $ 5,158
New York Urban Dev. Corp. (Correction Fac.) 7.75% 1/1/00 (Prere.) 3,900 4,272
-----------
126,707
-----------
NORTH CAROLINA (1.3%)
Charlotte NC Airport Refunding Rev. VRDO 3.60% 11/5/97 (1) 2,200 2,200
North Carolina Eastern Muni. Power Agency 7.25% 1/1/99 (Prere.) 3,000 3,173
North Carolina Medical Care Comm. VRDO (Duke Univ. Hosp.) 3.60% 11/6/97 3,000 3,000
North Carolina Muni. Power Agency 7.875% 1/1/98 (Prere.) 6,000 6,160
Wake County NC Industrial Fac. & Pollution Control Finance
Auth. VRDO (Carolina Power & Light) 3.65% 11/5/97 LOC 4,200 4,200
-----------
18,733
-----------
OHIO (3.3%)
Cincinnati City OH School Dist. TAN 5.50% 12/1/00 (2) 4,300 4,476
Cincinnati OH Student Loan Funding Corp. Student Loan Rev. VRDO 3.65% 11/5/97 4,300 4,300
Clermont County OH Hosp. Rev. VRDO (Mercy Health Systems) 3.60% 11/5/97 4,000 4,000
Cuyahoga County OH Hosp. Rev. VRDO (Cleveland Clinic) 3.70% 11/5/97 LOC 2,400 2,400
Franklin County OH Hosp. Rev. VRDO (Holy Cross Health System) 3.65% 11/6/97 12,800 12,800
Hamilton County OH Hosp. Fac. Rev. VRDO (Bethesda Hosp.) 3.50% 11/6/97 LOC 1,800 1,800
Hamilton County OH Hosp. Fac. Rev. VRDO
(Health Alliance of Greater Cincinnati) 3.65% 11/5/97 (1) 10,000 10,000
Hancock County OH BAN 4.50% 12/1/98 5,865 5,900
Ohio Air Quality Dev. Auth. Rev. VRDO (Cincinnati Gas &
Electric Co. Project) 3.95% 11/4/97 LOC 3,000 3,000
-----------
48,676
-----------
OKLAHOMA (3.1%)
Garfield County OK IDA PCR VRDO
(Oklahoma Gas & Electric Co. Project) 3.75% 11/5/97 11,600 11,600
Grand River Dam Auth. OK 4.90% 6/1/98 10,000 10,064
Oklahoma Ind. Auth. Health System Rev. VRDO (Baptist Center) 3.70% 11/5/97 24,625 24,625
-----------
46,289
-----------
OREGON (0.1%)
Oregon Veterans Welfare Program GO VRDO 3.60% 11/5/97 LOC 1,100 1,100
-----------
PENNSYLVANIA (4.0%)
Allegheny County PA Hosp. Dev. Auth. VRDO
(Allegheny General Hosp. Project) 3.60% 11/5/97 LOC 3,200 3,200
Allegheny County PA Hosp. Dev. Auth. VRDO (Presbyterian Univ. Health) 3.60% 11/6/97 (1) 3,750 3,750
Berks County PA GO 7.25% 11/15/00 (3)(Prere.) 6,700 7,422
Montgomery County PA GO 5.00% 7/15/99 2,775 2,827
Pennsylvania GO 5.25% 11/15/00 (3) 7,500 7,757
Pennsylvania Higher Educ. Fac. Auth. Health Services
(Allegheny/Delaware Valley) 4.60% 11/15/99 (1) 4,830 4,881
Philadelphia PA GO 5.75% 11/15/98 (3) 6,655 6,779
Philadelphia PA GO 6.00% 11/15/99 (3) 10,000 10,388
Philadelphia PA School Dist. 6.70% 7/1/99 (1) 5,145 5,371
Philadelphia PA Water & Sewer Rev. 6.90% 10/1/99 (Prere.) 5,000 5,360
Sayre PA Health Care Fac. Auth. VRDO
(VHA of Pennsylvania, Pooled Capital Asset Financing Program) 3.65% 11/5/97 (2) 1,500 1,500
-----------
59,235
-----------
PUERTO RICO (0.8%)
Puerto Rico GO 5.50% 7/1/99 10,000 10,242
Puerto Rico Govt. Dev. Bank VRDO 3.35% 11/5/97 LOC 1,400 1,400
-----------
11,642
-----------
TENNESSEE (1.8%)
Metro. Govt. of Nashville & Davidson County TN 10.50% 12/1/97 (Prere.) 5,750 5,781
Metro. Govt. of Nashville TN Airport Auth. Improvement
Refunding VRDO 3.65% 11/5/97 (3) LOC 9,900 9,900
Tennessee GO 5.00% 5/1/99 10,070 10,237
-----------
25,918
-----------
</TABLE>
12
<PAGE> 55
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
TEXAS (7.0%)
Austin TX Combined Util. System Rev. 7.60% 11/15/99 (1) $ 2,300 $ 2,460
Austin TX Combined Util. System Rev. 7.60% 11/15/99 (1)(Prere.) 2,700 2,890
Austin TX Combined Util. System Rev. 11.125% 11/15/99 (Prere.) 4,000 4,550
Dallas TX GO 7.50% 2/15/99 3,050 3,189
Fort Worth TX Water & Sewer Rev. 5.60% 2/15/98 3,500 3,518
Garland TX Independent School Dist. GO 7.00% 2/15/99 5,000 5,192
Harris County TX Health Fac. Dev. Corp. Hosp. Rev. VRDO
(Methodist Hosp.) 3.70% 11/4/97 2,200 2,200
Harris County TX Toll Road VRDO 3.65% 11/5/97 17,165 17,165
Houston TX Hotel Occupancy Rev. 6.00% 7/1/99 (4) 4,000 4,129
Lower Colorado River Auth. TX Rev. 5.00% 1/1/99 3,180 3,219
Pasadena TX Independent School Dist. VRDO 3.70% 11/6/97 400 400
Texas National Research Lab Comm. (Super Conductors) 7.125% 4/1/00 (Prere.) 15,930 17,335
Texas Public Finance Auth. 8.00% 10/1/98 3,000 3,114
Texas TRAN 4.75% 8/31/98 35,000 35,272
-----------
104,633
-----------
UTAH (0.4%)
Intermountain Power Agency UT 7.00% 7/1/99 (Prere.) 5,100 5,444
-----------
VIRGINIA (0.8%)
Virginia Public School Auth. 5.00% 8/1/99 6,215 6,328
Virginia Public School Auth. 5.30% 8/1/00 2,370 2,446
Virginia Public School Auth. 5.50% 8/1/98 3,320 3,362
-----------
12,136
-----------
WASHINGTON (3.0%)
King County WA GO 6.70% 1/1/99 9,000 9,288
Snohomish County WA Public Util. Dist. Rev. 5.00% 1/1/00 (3) 3,000 3,055
Snohomish County WA Public Util. Dist. Rev. 9.75% 1/1/99 (3) 5,315 5,660
Washington GO 4.40% 10/1/98 4,500 4,525
Washington GO 7.75% 12/1/98 (Prere.) 2,500 2,602
Washington GO VRDO 3.55% 11/5/97 10,300 10,300
Washington Health Care Auth. (Empire Health Spokane) 8.00% 11/1/97 (Prere.) 9,200 9,384
-----------
44,814
-----------
WEST VIRGINIA (1.2%)
West Virginia Building Comm. Rev. 5.00% 7/1/98 (1) 5,190 5,231
West Virginia School Building Auth. Rev. 6.00% 7/1/98 (1) 7,000 7,105
West Virginia Water Dev. Auth. 7.70% 11/1/00 (Prere.) 4,960 5,552
-----------
17,888
-----------
WISCONSIN (0.6%)
Wisconsin Clean Water Rev. 6.30% 6/1/00 3,000 3,162
Wisconsin GO 5.00% 5/1/99 5,305 5,388
-----------
8,550
-----------
WYOMING (0.9%)
Kemmerer WY PCR VRDO (Exxon Project) 4.15% 11/4/97 3,500 3,500
Sweetwater County WY PCR VRDO (PacifiCorp Project) 4.00% 11/4/97 (2) 10,000 10,000
-----------
13,500
-----------
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $1,444,304) 1,451,315
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE> 56
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE*
SHORT-TERM PORTFOLIO (000)
- ----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (2.2%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Other Assets--Note B 38,543
Liabilities (5,293)
-----------
33,250
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------------------------
Applicable to 95,257,063 outstanding $.001 par value shares
(authorized 350,000,000 shares) $1,484,565
==================================================================================================================================
NET ASSET VALUE PER SHARE $15.58
==================================================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
For key to abbreviations and other references, see page 54.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
AT OCTOBER 31, 1997, NET ASSETS CONSISTED OF:
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,477,015 $15.50
Undistributed Net Investment Income -- --
Accumulated Net Realized Gains--Note E 539 .01
Unrealized Appreciation--Note F 7,011 .07
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,484,565 $15.58
==================================================================================================================================
</TABLE>
14
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
LIMITED-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (100.5%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ALABAMA
Huntsville AL Health Care Auth. VRDO 3.60% 11/6/97 (1) $ 200 $ 200
-----------
ALASKA (1.4%)
Anchorage AK GO 4.70% 8/1/01 (1) 5,000 5,087
North Slope Borough AK GO 7.25% 6/30/00 (3)+ 20,000 21,573
-----------
26,660
-----------
ARIZONA (1.8%)
Arizona Transp. Board Excise Tax 6.00% 7/1/02 (2) 15,185 16,318
Arizona Transp. Board Highway Rev. 6.00% 7/1/00 4,500 4,723
Maricopa County AZ School Dist. GO 0.00% 7/1/99 (3) 8,000 7,477
Salt River AZ Agricultural Refunding Rev. (Salt River Project) 5.50% 1/1/00 7,375 7,600
-----------
36,118
-----------
CALIFORNIA (11.5%)
California GO 7.50% 11/1/03 (3) 6,000 7,011
California GO 9.00% 6/1/00 5,000 5,598
California GO 10.50% 10/1/00 3,000 3,523
California Dept. of Water (Central Valley Project) 8.25% 12/1/01 4,790 5,518
California Dept. of Water (Central Valley Project) 8.25% 12/1/02 5,060 5,973
California Dept. of Water (Central Valley Project) 8.25% 12/1/05 5,685 7,096
California Health Fac. Finance Auth. VRDO (Kaiser Permanente) 3.40% 11/5/97 900 900
Los Angeles CA Dept. of Water & Power Water Works Rev. 9.00% 5/15/02 + 9,135 10,884
Los Angeles CA Dept. of Water & Power Water Works Rev. 9.00% 5/15/03 5,355 6,551
Los Angeles County CA Local Educ. Agency TRAN 4.50% 9/30/98 43,000 43,244
Los Angeles County CA Public Works Auth. 6.00% 9/1/99 (1) 10,000 10,375
Los Angeles County CA Unified School Dist. TRAN 4.50% 10/1/98 25,000 25,162
Los Rois CA Community College Dist. TRAN 4.75% 12/30/98 16,500 16,659
San Diego CA Area Local Govt. COP Pooled TRAN 4.50% 10/1/98 25,000 25,155
San Diego City CA TRANS 4.50% 9/30/98 25,000 25,164
San Joaquin Hills CA Transp. Corridor Agency Toll Road Rev. 0.00% 1/15/00 (1) 2,000 1,830
San Joaquin Hills CA Transp. Corridor Agency Toll Road Rev. 0.00% 1/15/01 (1) 10,000 8,761
Univ. of California Rev. (Multi Purpose Dist. Project) 10.00% 9/1/00 (2) 7,755 8,966
Univ. of California Rev. (Multi Purpose Dist. Project) 10.00% 9/1/01 (2) 5,500 6,618
-----------
224,988
-----------
COLORADO (0.3%)
Platte River Power Auth. CO Rev. 5.00% 6/1/00 (1) 5,000 5,113
-----------
CONNECTICUT (2.8%)
Connecticut GO 5.50% 11/1/01 13,630 14,302
Connecticut GO 9.875% 3/1/01 6,750 7,921
Connecticut Special Assessment Unemployment Compensation 5.00% 1/1/01 4,230 4,339
Connecticut Special Assessment Unemployment Compensation 5.50% 5/15/01 (2) 13,455 14,042
Connecticut Special Tax Obligation Rev. (Transp. Infrastructure) 4.00% 10/1/99 11,000 11,012
Connecticut Special Tax Obligation Rev. (Transp. Infrastructure) 6.25% 10/1/02 (3) 4,000 4,351
-----------
55,967
-----------
DELAWARE (0.3%)
Delaware GO 5.00% 1/1/02 5,085 5,241
-----------
DISTRICT OF COLUMBIA (2.1%)
District of Columbia GO 4.90% 6/1/00 20,000 20,183
District of Columbia GO 5.50% 6/1/98 9,000 9,073
District of Columbia GO 5.50% 6/1/99 12,105 12,319
-----------
41,575
-----------
FLORIDA (4.4%)
Dade County FL School Dist. 5.00% 2/15/01 (1) 4,525 4,646
Dade County FL School Dist. 7.375% 7/1/99 (Prere.) 19,600 21,055
Dade County FL Water & Sewer Rev. VRDO 3.60% 11/5/97 (3) 675 675
Florida State Board of Educ. Capital Outlay 6.50% 6/1/02 4,505 4,931
</TABLE>
15
<PAGE> 58
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
LIMITED-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Florida Board of Educ. (Capital Outlay Rev.) 6.50% 6/1/04 $ 5,565 $ 6,226
Florida Dept. of General Services Rev.
(Dept. of Environmental Protection Preservation-2000) 5.50% 7/1/99 (2) 6,765 6,941
Florida School Board Assoc. Rev. (Orange County) 7.00% 7/1/00 (2) 13,820 14,851
Florida State Dept. of Transp. Rev. (Right-of-Way) 6.40% 7/1/00 3,080 3,265
Florida Turnpike Auth. Rev. 9.50% 7/1/99 (2) 4,000 4,356
Hillsborough County FL School Dist. 6.95% 8/15/99 (1) 5,425 5,710
Lakeland FL Electric & Water Rev. 6.25% 10/1/02 (3) 5,000 5,451
Lee County FL School Board 6.00% 8/1/02 (4) 2,750 2,957
Orange County FL Health Fac. Auth. Rev. 6.00% 10/1/04 (1) 3,975 4,343
-----------
85,407
-----------
GEORGIA (3.3%)
Burke County GA PCR VRDO (Georgia Power Co.) 4.20% 11/4/97 300 300
Cobb County GA School Dist. 5.00% 2/1/00 8,040 8,216
Georgia GO 5.75% 3/1/02 5,600 5,947
Georgia GO 7.20% 3/1/99 9,650 10,067
Georgia GO 7.20% 3/1/02 3,000 3,355
Georgia GO 7.25% 7/1/99 3,000 3,162
Georgia GO 7.25% 7/1/02 5,620 6,344
Georgia GO 7.25% 9/1/02 8,160 9,244
Georgia GO 7.40% 8/1/02 12,360 14,035
Metro. Atlanta GA Rapid Transp. Auth. 6.35% 7/1/04 3,560 3,858
-----------
64,528
-----------
HAWAII (1.8%)
Hawaii GO 5.00% 9/1/99 5,000 5,088
Hawaii GO 7.75% 2/1/02 9,600 10,846
Honolulu HI City & County GO 4.60% 10/1/99 6,500 6,570
Honolulu HI City & County GO 5.25% 11/1/03 (3)++ 13,135 13,645
-----------
36,149
-----------
ILLINOIS (1.3%)
Chicago IL GO 6.25% 10/31/02 (1) 4,250 4,605
Chicago IL Metro. Water Reclamation Dist. 4.70% 12/1/99 7,710 7,818
Illinois GO 6.40% 8/1/01 5,365 5,660
Illinois Sales Tax Rev. 7.20% 6/15/99 (Prere.) 7,600 8,129
-----------
26,212
-----------
KENTUCKY (0.6%)
Kentucky Property & Buildings Comm. Rev. 6.00% 11/1/02 2,000 2,150
Kentucky Property & Buildings Comm. Rev. 6.75% 11/1/99 9,500 9,996
-----------
12,146
-----------
LOUISIANA (1.9%)
Louisiana GO 6.00% 8/1/00 (3) 5,000 5,244
Louisiana GO 6.00% 8/1/01 (3) 19,325 20,512
New Orleans LA GO 6.50% 10/1/01 (2) 10,655 11,519
-----------
37,275
-----------
MAINE (0.3%)
Maine Health & Higher Educ. (Sebasticook Hosp.) 10.10% 7/1/01 (Prere.) 4,350 5,349
-----------
MARYLAND (0.3%)
Maryland Dept. of Transp. 6.70% 8/15/99 (Prere.) 5,000 5,318
-----------
MASSACHUSETTS (5.9%)
Massachusetts Bay Transit Auth. 7.625% 3/1/00 (Prere.) 5,550 6,088
Massachusetts GO 6.25% 7/1/02 12,500 13,514
Massachusetts GO 6.875% 7/1/01 (Prere.) 17,400 19,277
Massachusetts GO 7.00% 7/1/98 LOC 5,000 5,105
Massachusetts GO 7.50% 12/1/00 (Prere.) 14,750 16,462
Massachusetts GO 7.50% 12/1/07 (Prere.) 10,000 11,161
Massachusetts GO 9.25% 7/1/00 10,000 11,266
Massachusetts State Consolidated Loan 7.00% 12/1/00 (Prere.) 5,000 5,420
</TABLE>
16
<PAGE> 59
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Massachusetts State Health and Educ. Fac. Auth. PUT
(Fairview Extended Care) 4.55% 7/14/02 $ 3,500 $ 3,525
Massachusetts Water Resources Auth. 6.875% 12/1/01 (Prere.) 9,945 11,109
Massachusetts Water Resources Auth. 7.00% 4/1/00 (Prere.) 5,985 6,496
Massachusetts Water Resources Auth. 7.30% 4/1/00 (Prere.) 5,000 5,461
-----------
114,884
-----------
MICHIGAN (5.7%)
Detroit MI GO 5.60% 5/1/00 (2) 7,040 7,277
Detroit MI GO 5.70% 5/1/01 (2) 5,000 5,232
Greater Detroit MI Resource Recovery Auth. 5.00% 12/13/00 (2) 6,290 6,445
Greater Detroit MI Resource Recovery Auth. 5.50% 12/13/01 (2) 5,000 5,235
Greater Detroit MI Resource Recovery Auth. 5.50% 12/13/03 (2) 17,995 19,006
Greater Detroit MI Resource Recovery Auth. 5.50% 12/13/04 (2) 12,990 13,740
Michigan GO (Environmental Protection Program) 6.00% 11/1/02 4,845 5,228
Michigan GO (Recreation Program) 6.00% 11/1/00 11,910 12,567
Michigan GO (Recreation Program) 6.00% 11/1/01 5,910 6,314
Michigan State Building Auth. 6.20% 10/1/02 5,450 5,902
Michigan State Building Auth. 6.30% 10/1/03 (4) 7,800 8,450
Regents of Univ. of Michigan Hosp. Rev. VRDO 4.25% 11/4/97 3,200 3,200
Royal Oak MI Hosp. Fin. Auth. (West Beaumont Hosp.) 6.75% 1/1/01 (Prere.) 12,450 13,596
-----------
112,192
-----------
MINNESOTA (1.0%)
Minnesota GO 4.625% 8/1/00 10,385 10,555
Minnesota GO 6.00% 8/1/04 5,000 5,462
Minnesota Public Fac. Auth. Water PCR 5.00% 3/1/02 2,620 2,702
-----------
18,719
-----------
MISSOURI (0.4%)
Kansas City MO School Dist. Building Corp. 10.50% 2/1/99 (3) 7,545 8,138
-----------
NEBRASKA (0.2%)
Omaha NE Public Power Dist. Electric Rev. 5.00% 2/1/01 4,250 4,360
-----------
NEVADA (0.9%)
Clark County NV Airport Systems Refunding Rev. VRDO (McCarren
International Airport) 3.60% 11/5/97 (1) 900 900
Clark County NV School Dist. GO 9.75% 6/1/01 (1) 10,000 11,790
Clark County NV School Dist. GO (Computer Equipment) 7.00% 6/15/99 (3) 4,000 4,190
-----------
16,880
-----------
NEW JERSEY (2.7%)
New Jersey Transp. Trust Fund Auth. 4.40% 6/15/99 5,000 5,037
New Jersey Transp. Trust Fund Auth. 6.00% 6/15/00 12,655 13,256
New Jersey Turnpike Auth. 5.20% 1/1/98 + 15,000 15,033
New Jersey Turnpike Auth. 5.60% 1/1/00 (2) 4,000 4,127
New Jersey Turnpike Auth. 6.00% 1/1/98 8,000 8,028
Passaic County NJ Utilities Solid Waste Disposal Rev. 0.00% 3/1/00 (1) 4,220 3,826
Passaic Valley NJ Sewer System Rev. 5.70% 12/1/03 (2) 3,980 4,253
-----------
53,560
-----------
NEW MEXICO (0.6%)
New Mexico GO 5.50% 9/1/00 6,350 6,597
New Mexico GO 5.50% 9/1/01 4,475 4,690
-----------
11,287
-----------
NEW YORK (16.6%)
Battery Park City NY Auth. 7.70% 5/1/99 (Prere.) 5,000 5,370
Hempstead NY Industrial Dev. Agency (American Fuel Co.) 4.40% 12/1/01 (1) 6,810 6,848
Muni. Assistance Corp. for New York City NY 5.00% 7/1/00 4,330 4,432
Muni. Assistance Corp. for New York City NY 5.50% 7/1/00 42,940 44,486
Muni. Assistance Corp. for New York City NY 5.50% 7/1/02 5,500 5,781
Muni. Assistance Corp. for New York City NY 6.00% 7/1/00 (2) 10,000 10,488
Muni. Assistance Corp. for New York City NY 6.00% 7/1/05 10,370 11,347
Muni. Assistance Corp. for New York City NY VRDO 3.65% 11/5/97 LOC 600 600
</TABLE>
17
<PAGE> 60
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
LIMITED-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Nassau County NY General Improvement 4.50% 9/1/98 (3) $ 21,430 $ 21,552
New York City NY Cultural Resources Center (Museum of Modern Art) 5.00% 1/1/00 (2) 7,250 7,396
New York City NY GO 5.25% 8/1/99 9,875 10,064
New York City NY GO 5.50% 8/1/98 15,000 15,178
New York City NY IDA (USTA National Tennis Center Project) 7.75% 11/15/00 (4) 3,125 3,444
New York City NY IDA (USTA National Tennis Center Project) 7.75% 11/15/01 (4) 4,380 4,944
New York City NY IDA (USTA National Tennis Center Project) 7.75% 11/15/02 (4) 3,100 3,573
New York State COP 4.50% 2/1/98 4,985 4,993
New York State COP 4.70% 2/1/99 4,580 4,619
New York State Dormitory Auth. (City Univ.) 5.50% 7/1/98 6,300 6,369
New York State Dormitory Auth. (City Univ.) 7.625% 7/1/00 (Prere.) 6,200 6,856
New York State Dormitory Auth. (City Univ.) 7.875% 7/1/00 (Prere.) 15,725 17,525
New York State Dormitory Auth. (City Univ.) 9.00% 7/1/00 (3) 15,515 17,415
New York State Dormitory Auth. (Dept. of Health) 7.70% 7/1/00 (Prere.) 6,790 7,537
New York State Dormitory Auth. (State Univ.) 7.70% 5/15/00 (Prere.) 6,500 7,189
New York State Environmental Fac. PCR
(New York City Water Fin. Auth.) 5.50% 6/15/03 3,000 3,164
New York State Environmental Fac. PCR (State Water Revolving Fund) 4.00% 6/15/01 1,750 1,740
New York State Environmental Fac. PCR (State Water Revolving Fund) 4.10% 6/15/02 3,000 2,977
New York State Environmental Fac. PCR (State Water Revolving Fund) 4.20% 2/15/03 3,840 3,804
New York State Environmental Fac. PCR (State Water Revolving Fund) 4.20% 6/15/03 6,120 6,059
New York State Environmental Fac. PCR (State Water Revolving Fund) 4.30% 6/15/04 6,025 5,960
New York State Housing Finance Agency 8.00% 11/1/00 (Prere.) 4,140 4,668
New York State Housing Finance Agency Service Contract 7.80% 3/15/01 (Prere.) 15,000 16,951
New York State Local Govt. Assistance Corp. 7.00% 4/1/01 (Prere.) 14,550 16,131
New York State Medical Care Fac. Finance Agency Rev. 7.875% 8/15/00 (Prere.) 8,000 8,937
New York State Power Auth. 7.10% 1/1/99 6,400 6,561
New York State Thruway Auth. (Highway & Bridge Trust Fund) 6.00% 4/1/02 (1) 11,965 12,770
New York State Urban Dev. Corp. (Correctional Fac.) 7.50% 1/1/01 (Prere.) 7,100 7,932
-----------
325,660
-----------
NORTH CAROLINA (0.2%)
North Carolina Muni. Power Agency (Catawba Electric) 5.10% 1/1/98 3,980 3,988
-----------
OHIO (2.1%)
Butler County OH Transp. Improvement Dist. 5.00% 4/1/03 (4)++ 3,000 3,090
Cleveland OH School Dist. RAN 5.00% 6/1/01 (2) 6,000 6,158
Cleveland OH Water Works Rev. 6.25% 1/1/02 (2)(Prere.) 4,245 4,637
Franklin County OH PUT (U.S. Health Corp.) 4.50% 6/1/00 LOC 10,000 10,080
Ohio Public Fac. Comm. Higher Educ. Fac. 5.00% 11/1/99 6,370 6,495
Ohio Public Fac. Comm. Higher Educ. Fac. 5.50% 12/1/99 7,685 7,918
Ohio Water Dev. Auth. Rev. 4.90% 12/1/97 3,455 3,458
-----------
41,836
-----------
OKLAHOMA (1.6%)
Grand River Dam Auth. OK Rev. 4.90% 6/1/98 17,500 17,613
Tulsa County OK Criminal Justice Auth. 5.25% 3/1/01 (2) 6,525 6,734
Tulsa County OK Criminal Justice Auth. 5.25% 9/1/01 (2) 6,960 7,213
-----------
31,560
-----------
PENNSYLVANIA (8.1%)
Delaware County PA IDA Rev. (Resource Recovery Fac.) 5.50% 1/1/99 5,000 5,073
Pennsylvania Convention Center Auth. Rev. 5.75% 9/1/99 8,700 8,844
Pennsylvania GO 4.75% 6/15/99 (1) 10,500 10,638
Pennsylvania GO 5.00% 5/1/00 2,710 2,769
Pennsylvania GO 5.25% 11/15/01 (3) 10,000 10,405
Pennsylvania GO 5.40% 7/1/00 4,000 4,132
Pennsylvania Higher Educ. Fac. Health Services
(Allegheny/Delaware Valley) 5.00% 11/15/02 (1) 7,990 8,219
Pennsylvania Intergovernmental Cooperation Auth. 6.00% 6/15/01 (3) 10,000 10,598
Pennsylvania Turnpike Rev. 7.50% 12/1/99 (Prere.) 15,000 16,324
Philadelphia PA Airport Rev. 5.25% 6/15/01 (3) 4,590 4,749
Philadelphia PA Gas Works 7.00% 7/1/02 (8) 4,035 4,489
</TABLE>
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Philadelphia PA GO 6.00% 11/15/99 (3) $ 8,505 $ 8,835
Philadelphia PA GO 6.00% 11/15/00 (3) 13,000 13,695
Philadelphia PA Hosp. & Higher Educ. Fac. Auth. VRDO
(Children's Hosp. Project) 4.00% 11/4/97 400 400
Philadelphia PA Muni. Lease Rev. 5.25% 7/15/98 1,645 1,658
Philadelphia PA School Dist. GO 4.70% 7/1/99 (1) 14,000 14,158
Philadelphia PA School Dist. GO 6.60% 7/1/98 (2) 3,000 3,055
Philadelphia PA Water & Sewer 6.90% 10/1/99 (Prere.) 24,150 25,890
Philadelphia PA Water & Waste Water Rev. 6.25% 8/1/02 (1) 5,450 5,899
-----------
159,830
-----------
PUERTO RICO (0.8%)
Puerto Rico Electric Power Auth. Rev. 6.00% 7/1/03 (1) 5,000 5,428
Puerto Rico GO 5.50% 7/1/99 10,000 10,242
Puerto Rico Govt. Dev. Bank VRDO 3.35% 11/5/97 LOC 200 200
-----------
15,870
-----------
RHODE ISLAND (1.2%)
Rhode Island Consolidated Capital Dev. Loan GO 6.00% 8/1/03 (1) 9,665 10,447
Rhode Island Consolidated Capital Dev. Loan GO 6.00% 8/1/04 (1) 11,345 12,332
-----------
22,779
-----------
TEXAS (8.6%)
Austin TX Combined Util. System Rev. 9.50% 5/15/00 (Prere.) 5,705 6,438
Austin TX Combined Util. System Rev. 10.00% 5/15/00 (Prere.) 5,000 5,700
Austin TX GO 6.00% 9/1/99 (Prere.) 6,200 6,422
Fort Worth TX Water & Sewer Rev. 5.90% 2/15/01 2,900 3,055
Harris County TX Flood Control Dist. GO 5.50% 10/1/00 3,000 3,120
Harris County TX GO 5.50% 10/1/00 2,645 2,751
Harris County TX Health Fac. Dev. Corp. (Memorial Hosp.) 5.00% 6/1/00 (1) 3,025 3,085
Harris County TX Health Fac. Dev. Corp. (Memorial Hosp.) 5.00% 6/1/01 (1) 5,835 5,971
Harris County TX Health Fac. Dev. Corp. VRDO (Methodist Hosp.) 3.70% 11/4/97 1,100 1,100
Harris County TX Toll Road Refunding GO 6.50% 8/15/02 (2)(Prere.) 5,220 5,807
Harris County TX Toll Road VRDO 3.65% 11/5/97 100 100
Houston TX GO 5.90% 3/1/03 3,475 3,683
Houston TX Hotel Occupancy Tax Rev. 6.00% 7/1/00 (4) 4,250 4,450
Houston TX Hotel Occupancy Tax Rev. 6.00% 7/1/01 (4) 4,000 4,241
Houston TX Hotel Occupancy Tax Rev. 6.00% 7/1/02 (4) 2,250 2,409
Houston TX Independent School Dist. 5.00% 7/15/99 6,700 6,821
Houston TX Independent School Dist. 6.40% 8/15/01 (Prere.) 4,095 4,410
Houston TX Water & Sewer System Rev. 0.00% 12/1/00 (2) 6,130 5,385
Houston TX Water & Sewer System Rev. 4.90% 12/1/97 5,000 5,004
Houston TX Water & Sewer System Rev. 5.40% 12/1/00 8,000 8,284
Lower Colorado River Auth. TX 5.50% 1/1/01 17,730 18,416
San Antonio TX Electric & Gas Rev. 7.00% 2/1/99 (Prere.) 3,105 3,267
San Antonio TX Electric & Gas Rev. 7.00% 2/1/00 1,695 1,778
San Antonio TX GO 5.40% 8/1/04 7,495 7,803
Texas GO 5.375% 10/1/00 5,000 5,185
Texas Muni. Power Agency Rev. 5.80% 9/1/03 (1) 6,750 7,231
Texas Muni. Power Agency Rev. 6.40% 9/1/98 (3) 3,000 3,063
Texas TRAN 4.75% 8/31/98 17,000 17,132
Univ. of Texas Board of Regents Rev. 7.00% 8/15/01 (Prere.) 6,700 7,470
Univ. of Texas Permanent Univ. Fund 6.50% 7/1/01 (Prere.) 4,285 4,693
Univ. of Texas Permanent Univ. Fund 9.50% 7/1/00 3,545 4,027
-----------
168,301
-----------
UTAH (0.2%)
Utah Water Finance Agency Rev. (Pooled Loan Financing Program) 4.70% 10/1/01 (1) 5,000 5,086
-----------
VIRGINIA (1.3%)
Virginia Public School Auth. 5.00% 8/1/00 6,345 6,502
Virginia Public School Auth. 5.00% 8/1/02 ++ 12,415 12,805
Virginia Public School Auth. 5.00% 8/1/03 ++ 6,200 6,399
-----------
25,706
-----------
</TABLE>
19
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
LIMITED-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
WASHINGTON (3.5%)
King County WA School Dist. 6.30% 12/1/03 $ 5,375 $ 5,863
Washington GO 6.10% 9/1/00 5,000 5,271
Washington GO 6.30% 9/1/02 4,700 5,077
Washington GO 6.50% 7/1/02 5,035 5,510
Washington GO 6.75% 6/1/01 (Prere.) 20,000 21,693
Washington GO 7.00% 10/1/99 7,555 7,976
Washington GO 7.00% 8/1/02 4,000 4,468
Washington Health Care Fac. Auth. (Sisters of Providence) 6.00% 10/1/00 (2) 3,030 3,180
Washington Health Care Fac. Auth. (Sisters of Providence) 6.00% 10/1/01 (2) 4,735 5,027
Washington Motor Vehicle Fuel Tax 5.30% 9/1/99 5,000 5,121
-----------
69,186
-----------
WEST VIRGINIA (0.4%)
West Virginia State Building Comm. Rev. 5.50% 7/1/99 (1) 2,500 2,561
West Virginia State Building Comm. Rev. 5.50% 7/1/00 (1) 5,500 5,691
-----------
8,252
-----------
WISCONSIN (4.0%)
Wisconsin GO 4.125% 11/1/98 33,625 33,724
Wisconsin GO 5.80% 5/1/01 4,000 4,213
Wisconsin GO 6.00% 5/1/03 14,055 15,179
Wisconsin Public Power System Rev. 7.30% 7/1/00 (3)(Prere.) 4,000 4,395
Wisconsin Public Power System Rev. 7.40% 7/1/00 (2)(Prere.) 19,500 21,474
-----------
78,985
-----------
WYOMING (0.4%)
Platte County WY PCR (Basin Electric Power Corp.) 4.20% 1/1/99 3,370 3,378
Platte County WY PCR (Basin Electric Power Corp.) 4.40% 1/1/00 3,945 3,963
-----------
7,341
-----------
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $1,947,609) 1,972,646
- ----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.5%)
- ----------------------------------------------------------------------------------------------------------------------------------
Other Assets--Note B 37,524
Liabilities (48,161)
-----------
(10,637)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------------------------
Applicable to 182,679,813 outstanding $.001 par value shares
(authorized 350,000,000 shares) $1,962,009
==================================================================================================================================
NET ASSET VALUE PER SHARE $10.74
==================================================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
+Securities with an aggregate value of $3,789,000 have been segregated as
initial margin for open futures contracts.
For key to abbreviations and other references, see page 54.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
AT OCTOBER 31, 1997, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,939,672 $10.61
Undistributed Net Investment Income -- --
Accumulated Net Realized Losses--Note E (2,443) (.01)
Unrealized Appreciation (Depreciation)--Note F
Investment Securities 25,037 .14
Futures Contracts (257) --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,962,009 $10.74
==================================================================================================================================
</TABLE>
20
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (99.2%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ALABAMA (0.5%)
Columbia AL Industrial Dev. Board PCR VRDO
(Alabama Power Co. Project) 4.15% 11/4/97 $ 3,000 $ 3,000
Huntsville AL Health Care Auth. VRDO 3.60% 11/6/97 (1) 6,300 6,300
Huntsville AL Health Care Auth. VRDO 3.65% 11/6/97 (1) 23,300 23,300
Univ. of Southern Alabama Hosp. 7.00% 5/15/04 (2) 3,250 3,473
-----------
36,073
-----------
ALASKA (0.3%)
Alaska Housing Finance Corp. VRDO 3.65% 11/5/97 16,200 16,200
Anchorage AK Electric Rev. 8.00% 12/1/11 (1) 5,395 7,043
-----------
23,243
-----------
ARIZONA (1.8%)
Arizona Transp. Board Highway Rev. 8.75% 7/1/03 10,000 12,168
Arizona Transp. Board-Maricopa County Regional Area 6.00% 7/1/05 (2) 18,885 20,716
Maricopa County AZ COP 6.00% 6/1/04 5,275 5,484
Maricopa County AZ GO 6.25% 7/1/02 (3) 5,100 5,534
Maricopa County AZ PCR VRDO (Arizona Public Service Palo Verde) 4.20% 11/4/97 LOC 6,400 6,400
Maricopa County AZ (Samaritan Health Service) 7.15% 12/1/04 (1) 9,900 11,456
Maricopa County AZ (Samaritan Health Service) 7.15% 12/1/05 (1) 6,080 6,927
Mesa AZ GO 5.70% 7/1/08 (1) 5,600 5,943
Phoenix AZ Civic Improvement Water System 5.95% 7/1/16 6,600 6,913
Phoenix AZ Highway Rev. 9.25% 7/1/07 4,000 5,445
Tucson AZ Unified School Dist. 7.50% 7/1/06 (3) 8,840 10,676
Tucson AZ Unified School Dist. 7.50% 7/1/07 (3) 9,125 11,147
Tucson AZ Unified School Dist. 7.50% 7/1/08 (3) 8,060 9,943
-----------
118,752
-----------
CALIFORNIA (9.6%)
Anaheim CA Public Finance Auth. Rev. 6.00% 9/1/08 (4) 2,000 2,229
Anaheim CA Public Finance Auth. Rev. 6.00% 9/1/09 (4) 2,000 2,230
California Dept. of Water (Central Valley Project) 8.25% 12/1/03 5,000 6,028
California Dept. of Water (Central Valley Project) 8.25% 12/1/04 5,545 6,807
California GO 5.70% 8/1/07 17,500 18,873
California GO 5.75% 8/1/08 (3) 15,000 16,184
California GO 6.40% 2/1/06 (1) 4,500 5,083
California GO 6.75% 6/1/04 13,165 14,908
California GO 7.00% 10/1/05 (1) 5,000 5,850
California GO 7.10% 6/1/05 12,495 14,574
California GO 11.00% 3/1/06 13,185 18,936
California Health Fac. Finance Auth. (Catholic Healthcare West) 6.25% 7/1/04 (1) 4,515 4,987
California Health Fac. Finance Auth. (Catholic Healthcare West) 6.25% 7/1/05 (1) 5,875 6,535
California Health Fac. Finance Auth. (Catholic Healthcare West) 6.25% 7/1/06 (1) 5,000 5,603
California Health Fac. Finance Auth. (Catholic Healthcare West) 6.25% 7/1/07 (1) 5,290 5,965
California Health Fac. Finance Auth. (Sisters of Providence) 6.00% 10/1/02 3,865 4,162
California Health Fac. Finance Auth. (Sisters of Providence) 6.00% 10/1/03 4,095 4,444
California Health Fac. Finance Auth. (Sisters of Providence) 6.00% 10/1/04 4,340 4,739
California Higher Educ. Loan Auth. Student Loan Rev. VRDO 3.60% 11/5/97 LOC 1,500 1,500
California Public Works Board (Community College) 5.625% 3/1/16 (2) 20,000 20,671
California Public Works Board (Dept. of Corrections) 5.375% 11/1/11 6,500 6,655
California Public Works Board (Dept. of Corrections) 5.375% 11/1/12 7,990 8,119
California Public Works Board (Dept. of Corrections) 5.50% 1/1/15 (1) 10,000 10,226
California Public Works Board (Dept. of Corrections) 6.00% 1/1/08 (2) 14,865 16,344
California Public Works Board (State Archives) 5.375% 12/1/09 4,555 4,742
California Public Works Board (State Archives) 5.375% 12/1/10 6,635 6,850
California Public Works Board (State Archives) 5.375% 12/1/12 7,895 8,023
California Public Works Board (Univ. of California) 6.10% 12/1/05 (2) 6,515 7,100
California Public Works Board (Univ. of California) 6.20% 12/1/06 (2) 3,320 3,633
California Public Works Board (Various Univ. Projects) 5.375% 12/1/09 (2) 8,900 8,882
Clovis CA Unified School Dist. GO 0.00% 8/1/00 7,000 6,266
Clovis CA Unified School Dist. GO 0.00% 8/1/01 11,180 9,577
Contra Costa CA COP 5.50% 11/1/11 (1) 5,660 5,892
</TABLE>
21
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Fresno CA Sewer Rev. 6.25% 9/1/14 (2) $ 12,000 $ 13,604
Irvine CA Unified School Dist. GO 5.50% 11/1/13 (2) 4,565 4,736
Long Beach CA Financing Auth. Rev. 6.00% 11/1/07 (2) 3,070 3,424
Long Beach CA Harbor Rev. 7.10% 5/15/99 2,900 3,038
Los Angeles CA COP 7.50% 6/1/98 (Prere.) 3,950 4,110
Los Angeles CA COP 7.60% 6/1/98 (Prere.) 3,995 4,159
Los Angeles County CA Transp. Auth. Sales Tax Rev. 8.00% 7/1/01 (2) 6,365 7,188
Los Angeles County CA Transp. Auth. Sales Tax Rev. 8.00% 7/1/02 (2) 3,915 4,528
Los Angeles County CA Transp. Comm. Sales Tax Rev. 6.50% 7/1/10 51,070 58,919
Los Angeles CA Unified School Dist. TRAN 4.50% 10/1/98 14,500 14,594
Metro. Water Dist. of Southern California 7.75% 7/1/01 (Prere.) 9,380 10,689
Northern California Power Agency (Hydroelectric Project) 6.10% 7/1/05 (1) 5,575 6,167
Northern California Power Agency (Hydroelectric Project) 6.20% 7/1/06 (1) 5,940 6,667
Northern California Power Agency (Hydroelectric Project) 6.25% 7/1/07 (1) 6,685 7,565
Oakland CA Redev. Agency (Central Dist. Project) 5.75% 2/1/04 (2) 1,535 1,649
Oakland CA Redev. Agency (Central Dist. Project) 5.90% 2/1/05 (2) 4,870 5,303
Oakland CA Redev. Agency (Central Dist. Project) 6.00% 2/1/07 (2) 3,360 3,724
San Bernardino CA Medical Center COP 5.50% 8/1/04 (1) 7,150 7,592
San Bernardino CA Medical Center COP 5.50% 8/1/05 (1) 10,000 10,641
San Bernardino CA Medical Center COP 5.50% 8/1/06 (1) 8,500 9,071
San Bernardino CA Medical Center COP 5.75% 8/1/06 (1) 3,300 3,590
San Bernardino CA Medical Center COP 5.75% 8/1/07 (1) 3,420 3,740
San Bernardino CA Medical Center COP 6.75% 8/1/10 11,385 12,631
San Bernardino CA Medical Center COP 7.00% 8/1/08 (1) 9,045 10,835
San Bernardino CA Medical Center COP 7.00% 8/1/09 (1) 9,705 11,682
San Bernardino CA Medical Center COP 7.00% 8/1/10 (1) 10,525 12,702
San Diego CA Local Govt. COP TRAN 4.50% 10/1/98 20,000 20,124
San Diego County CA Regional Transp. Auth. Sales Tax Rev. 5.00% 4/1/07 (3) 12,730 13,145
San Diego County CA Regional Transp. Auth. Sales Tax Rev. 7.00% 4/1/01 (Prere.) 3,220 3,576
San Diego County CA Regional Transp. Auth. Sales Tax Rev. 7.00% 4/1/06 1,780 2,032
San Diego County CA Water Rev. COP 5.40% 5/1/03 5,000 5,272
San Diego County CA Water Rev. COP 5.50% 5/1/04 5,000 5,314
San Diego County CA Water Rev. COP 5.50% 5/1/05 4,245 4,527
San Joaquin Hills CA Toll Rev. 0.00% 1/15/04 25,000 19,002
San Joaquin Hills CA Toll Rev. 0.00% 1/15/05 25,000 18,053
San Joaquin Hills CA Toll Rev. 0.00% 1/15/06 16,000 10,955
Santa Margarita/Dana Point CA Water Dist. Rev. 5.50% 8/1/11 (2) 4,785 4,978
Santa Margarita/Dana Point CA Water Dist. Rev. 5.50% 8/1/12 (2) 3,315 3,428
South Orange County CA Public Finance Auth. 7.00% 9/1/06 (1) 500 588
Southern California Public Power Auth. 6.75% 7/1/99 6,190 6,471
Southern California Rapid Transit Dist. Rev. 5.70% 9/1/04 (2) 14,040 15,123
Univ. of California Rev. (Multi Purpose Project) 10.00% 9/1/03 (2) 3,790 4,869
-----------
652,622
-----------
COLORADO (0.8%)
Colorado Health Fac. Auth. (Sisters of Charity Health System Inc.) 8.50% 5/15/04 (1) 17,500 21,449
Denver CO City & County School Dist. 6.95% 12/15/99 (3)(Prere.) 4,390 4,696
Denver CO City & County School Dist. 6.95% 12/15/00 (3) 4,860 5,191
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/11 (1) 8,000 3,959
E-470 Public Highway Auth. CO Rev. 4.80% 9/1/09 (1) 6,095 6,071
E-470 Public Highway Auth. CO Rev. 4.90% 9/1/10 (1) 5,000 4,979
E-470 Public Highway Auth. CO Rev. 5.00% 9/1/11 (1) 7,250 7,242
-----------
53,587
-----------
CONNECTICUT (2.5%)
Connecticut GO 5.30% 11/15/06 16,940 17,775
Connecticut GO 5.40% 11/15/07 24,010 25,206
Connecticut GO 5.50% 12/1/07 8,950 9,579
Connecticut GO 6.00% 5/15/03 5,000 5,402
Connecticut GO 6.00% 10/1/04 5,660 6,177
Connecticut GO 6.00% 11/1/04 10,000 10,924
Connecticut GO 7.00% 3/15/03 5,000 5,628
</TABLE>
22
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Connecticut Resource Recovery Auth. (Bridgeport Resco) 8.40% 1/1/99 $ 4,950 $ 5,042
Connecticut Special Tax Obligation Rev. (Transp. Infrastructure) 5.125% 9/1/05 11,575 12,024
Connecticut Special Tax Obligation Rev. (Transp. Infrastructure) 5.25% 9/1/06 42,550 44,406
Connecticut Special Tax Obligation Rev. (Transp. Infrastructure) 7.125% 6/1/10 12,000 14,498
Connecticut Special Tax Obligation Rev. (Transp. Infrastructure) 7.75% 6/1/00 11,300 12,304
South Central CT Regional Water Auth. Water System Rev. 5.75% 8/1/06 3,000 3,219
-----------
172,184
-----------
DELAWARE (0.3%)
Delaware Transp. Auth. Rev. 5.625% 7/1/06 (1) 11,420 12,085
Delaware Transp. Auth. Rev. 5.80% 7/1/08 7,545 8,005
-----------
20,090
-----------
DISTRICT OF COLUMBIA (2.3%)
District of Columbia GO 5.50% 6/1/98 20,000 20,163
District of Columbia GO 5.50% 6/1/06 (4) 6,205 6,539
District of Columbia GO 5.75% 6/1/07 (2) 5,050 5,355
District of Columbia GO 5.80% 6/1/04 (3) 13,000 13,877
District of Columbia GO 6.00% 6/1/08 (1) 8,890 9,605
District of Columbia GO 6.10% 6/1/11 (1) 7,000 7,483
District of Columbia GO 6.30% 6/1/05 (1) 5,000 5,411
District of Columbia GO 6.30% 6/1/08 (1) 15,000 16,344
District of Columbia GO 7.50% 6/1/99 (2)(Prere.) 17,875 19,161
District of Columbia Hosp. Rev. (Medlantic Health Group) 6.00% 8/15/07 (1) 2,985 3,264
District of Columbia Hosp. Rev. (Medlantic Health Group) 6.00% 8/15/08 (1) 3,160 3,473
District of Columbia Hosp. Rev. (Medlantic Health Group) 6.00% 8/15/10 (1) 2,555 2,794
District of Columbia Hosp. Rev. (Medlantic Health Group) 6.00% 8/15/12 (1) 2,995 3,253
District of Columbia TRAN VRDO 3.70% 11/5/97 LOC 42,000 42,000
-----------
158,722
-----------
FLORIDA (4.4%)
Alachua County FL Health Fac. Auth. VRDO (Shands Teaching Hosp.) 3.65% 11/5/97 (1) 12,200 12,200
Broward County FL School Board COP 5.75% 7/1/03 (2) 9,000 9,635
Broward County FL School Board COP 5.75% 7/1/04 (2) 9,515 10,233
Broward County FL School Board COP 5.75% 7/1/05 (2) 5,445 5,882
Broward County FL School Dist. GO 5.30% 2/15/04 1,295 1,357
Broward County FL School Dist. GO 5.40% 2/15/05 5,000 5,280
Broward County FL School Dist. GO 5.50% 2/15/06 10,080 10,674
Dade County FL Sales Tax Rev. 6.00% 10/1/02 (2) 5,000 5,391
Dade County FL School Dist. GO 6.25% 2/15/04 (1) 5,520 6,069
Dade County FL School Dist. GO 7.00% 8/1/99 (3) 8,300 8,731
Dade County FL Water & Sewer Rev. VRDO 3.60% 11/5/97 (3) 31,668 31,668
Florida Board of Educ. (Capital Outlay Rev.) 0.00% 6/1/00 (Prere.) 15,000 4,714
Florida Board of Educ. (Capital Outlay Rev.) 4.90% 6/1/08 6,905 6,995
Florida Board of Educ. (Capital Outlay Rev.) 5.00% 6/1/09 3,620 3,673
Florida Board of Educ. (Capital Outlay Rev.) 5.25% 6/1/05 ++ 4,815 5,051
Florida Board of Educ. (Capital Outlay Rev.) 5.50% 6/1/04 ++ 5,095 5,409
Florida Board of Educ. (Capital Outlay Rev.) 6.50% 6/1/05 5,000 5,647
Florida Dept. of General Services 5.125% 7/1/09 (2) 5,325 5,472
Florida Dept. of General Services 5.625% 7/1/08 (2) 5,000 5,344
Florida Dept. of General Services 6.00% 7/1/06 (2) 18,560 20,510
Florida School Board Assn. Rev. (Orange County) 6.90% 7/1/99 (2) 12,450 13,046
Gulf Breeze FL Local Govt. Loan Program VRDO 3.65% 11/6/97 (3) 14,725 14,725
Hillsborough County FL IDA PCR VRDO (Tampa Electric Co.) 4.00% 11/4/97 3,300 3,300
Hillsborough County FL School Dist. GO 7.10% 8/15/03 23,665 25,992
Lakeland FL Electric & Water Rev. 6.25% 10/1/03 (3) 6,465 7,117
Lakeland FL Electric & Water Rev. 6.50% 10/1/06 (3) 5,300 6,063
Lee County FL School Board 6.00% 8/1/05 (4) 4,175 4,581
Palm Beach County FL School Board 6.00% 8/1/05 (2) 6,115 6,722
Palm Beach County FL School Board 6.00% 8/1/06 (2) 6,480 7,166
Palm Beach County FL Solid Waste Auth. Rev. 5.25% 10/1/03 (2) 9,000 9,442
Palm Beach County FL Solid Waste Auth. Rev. 5.50% 10/1/06 (2) 13,910 14,901
Reedy Creek FL Util. Rev. 5.50% 10/1/08 (2) 10,570 11,323
St. Lucie County FL PCR VRDO (Florida Power & Light Co.) 4.00% 11/4/97 200 200
-----------
294,513
-----------
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FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
GEORGIA (3.3%)
Burke County GA Dev. Auth. PCR VRDO (Oglethorpe Power Corp.) 3.60% 11/5/97 (3) $ 6,400 $ 6,400
Burke County GA Dev. Auth. PCR VRDO (Oglethorpe Power Corp.) 3.60% 11/5/97 (3) 4,100 4,100
DeKalb County GA GO 5.60% 1/1/05 3,040 3,220
Fulton County GA School Dist. GO 6.375% 5/1/10 15,000 17,141
Georgia GO 6.00% 7/1/04 5,000 5,467
Georgia GO 6.30% 4/1/02 3,820 4,145
Georgia GO 6.30% 3/1/07 15,000 16,989
Georgia GO 6.50% 7/1/05 5,000 5,663
Georgia GO 6.50% 8/1/01 3,230 3,500
Georgia GO 6.50% 12/1/03 5,000 5,592
Georgia GO 6.75% 9/1/10 8,000 9,473
Georgia GO 6.80% 8/1/02 8,000 8,898
Georgia GO 7.00% 11/1/04 5,000 5,786
Georgia GO 7.00% 11/1/05 15,670 18,346
Georgia GO 7.00% 11/1/06 16,780 19,857
Georgia GO 7.00% 11/1/07 17,960 21,464
Georgia GO 7.10% 9/1/09 3,400 4,127
Georgia GO 7.25% 9/1/05 3,630 4,295
Georgia GO 7.25% 9/1/06 7,860 9,411
Georgia GO 7.40% 8/1/07 11,200 13,666
Monroe County GA Dev. Auth. (Oglethorpe Power Corp.) 6.65% 1/1/08 9,220 10,579
Muni. Electric Auth. of Georgia 6.30% 1/1/05 12,775 14,145
Muni. Electric Auth. of Georgia 8.10% 1/1/03 2,320 2,383
Muni. Electric Auth. of Georgia VRDO (Sublien Bonds Project) 3.65% 11/5/97 LOC 11,950 11,950
-----------
226,597
-----------
HAWAII (2.3%)
Hawaii Airport System Rev. 5.40% 7/1/02 (1) 7,855 8,203
Hawaii Airport System Rev. 5.85% 7/1/02 (1) 7,830 8,334
Hawaii Airport System Rev. 5.95% 7/1/03 (1) 2,590 2,788
Hawaii Airport System Rev. 6.05% 7/1/04 (1) 3,145 3,421
Hawaii Airport System Rev. 6.15% 7/1/05 (1) 10,735 11,722
Hawaii Airport System Rev. 6.25% 7/1/06 5,000 5,484
Hawaii GO 5.00% 11/1/97 4,000 4,000
Hawaii GO 5.00% 2/1/04 10,000 10,253
Hawaii GO 5.00% 2/1/05 6,650 6,808
Hawaii GO 5.125% 2/1/06 11,605 11,933
Hawaii GO 5.50% 7/1/01 6,500 6,777
Hawaii GO 6.40% 3/1/07 5,555 6,297
Honolulu HI City & County GO 5.50% 11/1/08 (3)++ 7,130 7,571
Honolulu HI City & County GO 5.75% 1/1/06 8,825 9,472
Honolulu HI City & County GO 6.00% 1/1/08 5,000 5,491
Honolulu HI City & County GO 6.30% 3/1/10 4,830 5,218
Honolulu HI City & County GO 8.00% 10/1/09 30,560 38,969
-----------
152,741
-----------
ILLINOIS (5.2%)
Chicago IL Metro. Sanitation Dist. 8.75% 1/1/00 (Prere.) 2,980 3,266
Chicago IL Metro. Water Reclamation Dist. 5.85% 12/1/03 6,355 6,838
Chicago IL Metro. Water Reclamation Dist. 5.90% 12/1/06 4,450 4,865
Chicago IL Metro. Water Reclamation Dist. 5.95% 12/1/07 7,200 7,922
Chicago IL Metro. Water Reclamation Dist. 6.00% 12/1/08 9,900 10,956
Chicago IL Metro. Water Reclamation Dist. 6.05% 12/1/09 3,000 3,332
Chicago IL Metro. Water Reclamation Dist. 6.10% 12/1/06 5,300 5,820
Chicago IL Metro. Water Reclamation Dist. 6.25% 12/1/08 15,000 16,740
Chicago IL Public Building Comm. Rev. 7.50% 1/1/02 (1) 2,500 2,565
Chicago IL Public Building Comm. Rev. 7.60% 1/1/03 (1) 2,500 2,565
Chicago IL Public Building Comm. Rev. 7.70% 1/1/08 (1)(ETM) 4,000 4,105
Chicago IL School Finance Auth. 4.40% 6/1/98 (1) 5,000 5,017
Chicago IL School Finance Auth. 5.00% 6/1/03 (3) 25,190 25,830
Chicago IL School Finance Auth. 5.10% 6/1/04 (3) 26,155 26,920
</TABLE>
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<CAPTION>
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Chicago IL School Finance Auth. 5.20% 6/1/05 (3) $ 3,000 $ 3,102
Chicago IL School Finance Auth. 5.375% 6/1/08 (3) 9,500 9,856
Chicago IL School Finance Auth. 6.00% 6/1/01 (3) 8,305 8,777
Chicago IL School Finance Auth. 6.10% 6/1/02 (3) 11,945 12,794
Chicago IL Water Rev. 5.50% 11/1/03 (2) 5,000 5,277
Cook County IL GO 5.75% 11/15/03 (3) 5,000 5,360
Cook County IL GO 5.80% 11/15/04 10,000 10,789
Cook County IL GO 6.60% 11/1/03 (2) 4,785 5,289
Cook County IL GO 6.75% 11/1/01 (2) 3,000 3,332
Illinois GO 6.25% 10/1/05 6,000 6,538
Illinois Health Fac. Auth. (Lutheran General Health Systems) 7.25% 4/1/99 (Prere.) 1,075 1,141
Illinois Health Fac. Auth. (Lutheran General Health Systems) 7.25% 4/1/00 5,790 6,102
Illinois Health Fac. Auth. VRDO (Univ. of Chicago Hosp. Project) 3.60% 11/5/97 (1) 700 700
Illinois Housing Dev. Auth. VRDO (Illinois Center Apartments) 3.95% 11/5/97 LOC 33,455 33,455
Illinois Metro. Pier & Exposition Auth. Rev. 6.50% 6/1/06 (2) 11,885 13,408
Illinois Metro. Pier & Exposition Auth. Rev. 6.75% 6/1/10 (2) 25,000 29,151
Illinois Metro. Pier & Exposition Auth. Rev. 7.25% 6/15/05 (2) 15,000 17,492
Illinois Regional Transp. Auth. 9.00% 6/1/05 (2) 5,220 6,664
Illinois Regional Transp. Auth. 9.00% 6/1/08 (2) 6,840 9,201
Illinois Regional Transp. Auth. 9.00% 6/1/09 (2) 4,255 5,792
Illinois Sales Tax Rev. 6.50% 6/15/13 5,000 5,783
Illinois Toll Highway Auth. VRDO 3.60% 11/5/97 (1) LOC 23,000 23,000
-----------
349,744
-----------
INDIANA (0.9%)
East Chicago IN School Building Corp. 11.75% 2/1/99 (Prere.) 4,825 5,314
Indiana Educ. Fac. Auth. VRDO (Univ. of Notre Dame Du Lac Project) 3.55% 11/6/97 5,100 5,100
Indiana Muni. Power Agency 5.875% 1/1/10 (1) 4,500 4,907
Indiana State Office Building Comm. Rev. 6.65% 7/1/01 4,500 4,795
Indiana State Office Building Comm. Rev. 6.70% 7/1/02 5,290 5,633
Indiana Univ. Student Fee Bonds 6.80% 8/1/04 25,000 27,513
Indiana Univ. Student Fee Bonds 7.00% 8/1/06 5,845 6,390
-----------
59,652
-----------
KENTUCKY (1.0%)
Kentucky Dev. Finance Auth. (St. Elizabeth Medical Center) 6.625% 11/1/04 (3) 20,025 21,949
Kentucky Dev. Finance Auth. (Sisters of Charity) 6.60% 11/1/06 5,000 5,422
Kentucky Econ. Dev. Finance Auth. Rev. VRDO
(Baptist Healthcare System Group) 3.60% 11/5/97 LOC 9,700 9,700
Kentucky Property & Buildings Comm. Rev. 5.25% 11/1/08 2,500 2,587
Kentucky Property & Buildings Comm. Rev. 5.50% 9/1/03 8,000 8,440
Kentucky Property & Buildings Comm. Rev. 5.60% 9/1/04 3,000 3,187
Kentucky Property & Buildings Comm. Rev. 5.70% 9/1/05 7,350 7,818
Kentucky Property & Buildings Comm. Rev. 6.875% 8/1/06 10,400 11,548
Kentucky Turnpike Auth. Resource Recovery Road Rev. 13.125% 1/1/98 (Prere.) 30 30
-----------
70,681
-----------
LOUISIANA (1.9%)
Jefferson Parish LA Sales Tax Rev. 6.75% 12/1/06 (3) 11,000 12,187
Louisiana Gas & Fuel Tax Rev. 7.20% 11/15/99 9,500 10,068
Louisiana Gas & Fuel Tax Rev. 7.25% 11/15/00 5,250 5,640
Louisiana Gas & Fuel Tax Rev. 7.25% 11/15/04 11,000 11,824
Louisiana GO 5.50% 4/15/03 (3) 4,445 4,678
Louisiana GO 6.00% 4/15/04 (3) 7,210 7,806
Louisiana GO 6.25% 4/15/05 (3) 6,455 7,129
Louisiana GO 6.75% 5/15/02 (1) 7,680 8,445
Louisiana GO 7.00% 9/1/00 (Prere.) 11,540 12,641
Louisiana GO 7.00% 8/1/04 (1) 5,810 6,643
Louisiana GO 7.75% 8/1/06 (1) 10,970 13,362
Louisiana GO 8.75% 9/1/00 (4) 8,830 9,902
Louisiana GO 8.75% 9/1/01 (4) 9,445 10,750
New Orleans LA Public Improvement GO 7.70% 10/1/99 2,395 2,501
New Orleans LA Public Improvement GO 7.75% 10/1/00 5,510 5,757
-----------
129,333
-----------
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<CAPTION>
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FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MAINE
Maine Muni. Bond Bank 4.90% 11/1/02 $ 2,500 $ 2,568
-----------
MARYLAND (0.1%)
Maryland GO 5.00% 10/15/99 8,520 8,701
-----------
MASSACHUSETTS (4.9%)
Boston MA Water & Sewer Comm. 5.75% 11/1/13 6,325 6,757
Massachusetts Bay Transit Auth. 5.30% 3/1/04 32,380 33,774
Massachusetts Bay Transit Auth. 7.25% 3/1/03 (3) 16,000 17,374
Massachusetts GO 5.10% 2/1/05 25,000 25,793
Massachusetts GO 5.50% 2/1/11 10,000 10,239
Massachusetts GO 5.50% 7/1/13 5,360 5,501
Massachusetts GO 5.70% 2/1/08 (1) 6,805 7,264
Massachusetts GO 6.25% 7/1/02 10,000 10,812
Massachusetts GO 6.50% 8/1/02 (Prere.) 3,840 4,269
Massachusetts GO 6.90% 6/1/00 (2) 2,500 2,652
Massachusetts GO 7.00% 6/1/99 (Prere.) 3,000 3,196
Massachusetts GO 7.00% 6/1/02 (2) 5,000 5,327
Massachusetts GO 7.50% 6/1/04 3,975 4,639
Massachusetts Health & Education Auth. (Partner Healthcare System) 5.25% 7/1/03 (4) 4,055 4,218
Massachusetts Ind. Finance Agency (Refusetech Inc. Project) 6.15% 7/1/02 5,040 5,281
Massachusetts Ind. Finance Agency (Refusetech Inc. Project) 6.30% 7/1/05 21,500 23,147
Massachusetts Ind. Finance Auth. Rev. (BioMed Research Corp.) 0.00% 8/1/04 10,000 7,332
Massachusetts Ind. Finance Auth. Rev. (BioMed Research Corp.) 7.10% 8/1/99 12,420 13,016
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 1,410 1,432
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 ETM 4,590 4,666
Massachusetts Turnpike Auth. Rev. 4.75% 1/1/04 2,500 2,558
Massachusetts Water Resources Auth. 5.25% 3/1/07 5,000 5,156
Massachusetts Water Resources Auth. 5.25% 3/1/09 7,175 7,301
Massachusetts Water Resources Auth. 5.50% 11/1/07 32,860 34,333
Massachusetts Water Resources Auth. 6.50% 7/15/10 30,220 34,565
Massachusetts Water Resources Auth. 6.50% 7/15/19 37,515 43,329
Massachusetts Water Resources Auth. 7.25% 4/1/01 9,800 10,641
-----------
334,572
-----------
MICHIGAN (2.5%)
Detroit MI GO 5.80% 5/1/02 (2) 8,970 9,493
Detroit MI GO 5.90% 5/1/03 (2) 9,490 10,150
Greater Detroit MI Resource Recovery Auth. 5.50% 12/13/04 (2) 7,505 7,939
Greater Detroit MI Resource Recovery Auth. 6.25% 12/13/05 (2) 12,905 14,315
Greater Detroit MI Resource Recovery Auth. 6.25% 12/13/06 (2) 17,475 19,464
Greater Detroit MI Resource Recovery Auth. 6.25% 12/13/07 (2) 11,070 12,391
Michigan Muni. Bond Auth. Local Govt. Loan Auth. 0.00% 12/1/99 (3) 6,000 5,514
Michigan Muni. Bond Auth. Local Govt. Loan Auth. 0.00% 12/1/00 (3) 5,590 4,918
Michigan Muni. Bond Auth. Local Govt. Loan Auth. 0.00% 12/1/01 (3) 9,630 8,094
Michigan Public Power Agency 5.30% 1/1/05 13,075 13,644
Michigan Public Power Agency 5.375% 1/1/06 13,790 14,392
Michigan Public Power Agency 5.50% 1/1/07 14,545 15,245
Michigan Public Power Agency 5.50% 1/1/08 9,360 9,758
Michigan State Building Auth. 5.50% 10/1/07 (2) 7,500 7,989
Michigan State Building Auth. 6.00% 10/1/09 (2) 8,735 9,118
Michigan State Building Auth. 6.50% 10/1/03 (2) 3,000 3,277
Regents of Univ. of Michigan Hosp. Rev. VRDO 4.25% 11/4/97 800 800
-----------
166,501
-----------
MINNESOTA (0.1%)
Minnesota GO 5.125% 11/1/09 8,275 8,482
-----------
</TABLE>
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<TABLE>
<CAPTION>
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MISSISSIPPI (0.3%)
Mississippi GO 5.25% 5/1/08 $ 5,805 $ 6,020
Mississippi GO 6.50% 5/1/03 4,285 4,745
Mississippi GO 7.00% 5/1/05 4,840 5,616
-----------
16,381
-----------
MISSOURI (0.1%)
St. Louis County MO Rockwood School Dist. GO 8.50% 2/1/02 5,940 6,898
-----------
NEBRASKA (0.4%)
Consumers Public Power Dist. NE Electric Rev. 5.10% 1/1/03 11,510 11,513
Nebraska Public Power Dist. 5.60% 7/1/03 13,175 13,946
-----------
25,459
-----------
NEVADA (3.6%)
Clark County NV Airport System Refunding Rev. VRDO
(McCarren International Airport) 3.60% 11/5/97 (1) 24,400 24,400
Clark County NV GO 5.50% 6/1/12 (3) 6,365 6,569
Clark County NV GO 5.60% 6/1/13 (3) 7,175 7,431
Clark County NV GO 5.625% 6/1/14 (3) 7,450 7,702
Clark County NV GO 7.50% 6/1/06 (2) 3,575 4,300
Clark County NV GO 7.50% 6/1/07 (2) 9,550 11,602
Clark County NV GO 7.50% 6/1/09 (2) 6,825 8,441
Clark County NV GO 8.00% 6/1/08 (2) 9,875 12,539
Clark County NV School Dist. GO 5.375% 5/1/06 (3) 3,740 3,901
Clark County NV School Dist. GO 5.375% 5/1/07 (3) 9,195 9,559
Clark County NV School Dist. GO 5.375% 5/1/08 (3) 9,170 9,484
Clark County NV School Dist. GO 5.50% 6/15/10 (3) 16,325 17,045
Clark County NV School Dist. GO 5.60% 6/15/09 (3) 9,640 10,158
Clark county NV School Dist. GO 5.625% 6/15/13 (3) 10,000 10,376
Clark County NV School Dist. GO 5.70% 6/15/09 (1) 10,825 11,459
Clark County NV School Dist. GO 5.875% 6/15/13 (1) 9,275 9,744
Clark County NV School Dist. GO 5.875% 6/15/14 (1) 14,485 15,162
Clark County NV School Dist. GO 5.90% 6/15/12 (3) 10,000 10,613
Clark County NV School Dist. GO 6.50% 6/15/06 (3) 13,865 15,711
Clark County NV School Dist. GO 7.25% 6/15/02 (1) 3,995 4,478
Clark County NV School Dist. GO 7.40% 3/1/00 10,000 10,315
Clark County NV School Dist. GO 9.75% 6/1/00 (1) 4,580 5,197
Nevada GO 6.00% 5/1/05 10,450 11,084
Washoe County NV Hosp. Medical Center 6.00% 6/1/09 (2) 6,310 6,795
-----------
244,065
-----------
NEW JERSEY (5.6%)
Camden County NJ Muni. Util. Auth. 0.00% 9/1/99 (3) 12,545 11,583
Camden County NJ Muni. Util. Auth. 0.00% 9/1/00 (3) 18,500 16,308
Camden County NJ Muni. Util. Auth. 0.00% 9/1/02 (3) 18,545 14,815
Camden County NJ Muni. Util. Auth. 0.00% 9/1/03 (3) 18,545 14,062
Essex County NJ Solid Waste Util. Auth. 5.50% 4/1/11 (4) 3,000 3,116
New Jersey Econ. Dev. Auth. 5.70% 7/1/05 (1) 6,330 6,775
New Jersey Econ. Dev. Auth. 5.80% 7/1/07 (1) 17,800 19,233
New Jersey Econ. Dev. Auth. 5.80% 7/1/08 (1) 4,000 4,296
New Jersey Econ. Dev. Auth. 5.875% 7/1/11 (1) 6,000 6,391
New Jersey Econ. Dev. Auth. 7.00% 7/1/03 (1) 26,195 29,548
New Jersey Econ. Dev. Auth. VRDO (United Water) 4.00% 11/4/97 (2) 300 300
New Jersey Health Care Rev. (Union Hosp./Mega Care) 6.00% 7/1/98 2,820 2,852
New Jersey Health Care Rev. (Union Hosp./Mega Care) 6.20% 7/1/99 3,080 3,160
New Jersey Health Care Rev. (Union Hosp./Mega Care) 6.40% 7/1/00 3,295 3,432
New Jersey Sports & Exposition Auth. 6.50% 3/1/06 4,725 5,177
New Jersey Sports & Exposition Auth. 6.50% 3/1/07 3,500 3,817
New Jersey Transp. Trust Fund Auth. 5.30% 12/15/01 5,000 5,220
New Jersey Transp. Trust Fund Auth. 5.50% 6/15/11 (1) 4,250 4,404
New Jersey Transp. Trust Fund Auth. 6.00% 12/15/04 (1) 4,000 4,375
New Jersey Transp. Trust Fund Auth. 6.00% 6/15/08 34,660 38,453
</TABLE>
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<CAPTION>
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FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
New Jersey Transp. Trust Fund Auth. 6.00% 6/15/09 $ 37,000 $ 41,068
New Jersey Turnpike Auth. 4.75% 1/1/06 (ETM) 18,955 19,398
New Jersey Turnpike Auth. 5.60% 1/1/00 (2) 5,000 5,159
New Jersey Turnpike Auth. 5.90% 1/1/03 (2) 4,700 5,022
New Jersey Turnpike Auth. 5.90% 1/1/04 (2) 19,030 20,347
New Jersey Turnpike Auth. 6.00% 1/1/05 (2) 22,220 23,832
New Jersey Turnpike Auth. 6.50% 1/1/09 (2) 50,000 57,558
New Jersey Turnpike Auth. Rev. VRDO 3.25% 11/5/97 (3) LOC 2,100 2,100
Port Auth. of NY & NJ VRDO 4.00% 11/4/97 100 100
Rutgers State Univ. NJ Rev. 6.40% 5/1/13 4,675 5,364
-----------
377,265
-----------
NEW MEXICO
Hurley NM PCR VRDO
(Kennecott Santa Fe Corp. Project-British Petroleum) 4.20% 11/4/97 300 300
-----------
NEW YORK (13.3%)
Metro. NY Transp. Auth. 5.20% 7/1/05 (2) 5,760 5,985
Metro. NY Transp. Auth. 5.40% 7/1/03 10,560 10,966
Metro. NY Transp. Auth. 5.50% 4/1/15 (1) 4,500 4,607
Metro. NY Transp. Auth. 5.625% 7/1/05 11,485 12,070
Metro. NY Transp. Auth. 5.70% 7/1/17 (1) 9,000 9,324
Metro. NY Transp. Auth. 5.75% 7/1/06 12,320 13,033
Metro. NY Transp. Auth. 6.10% 7/1/07 (1) 3,625 4,018
Metro. NY Transp. Auth. 6.10% 7/1/08 (1) 7,200 7,999
Metro. NY Transp. Auth. 7.50% 7/1/00 (Prere.) 4,350 4,807
New York City NY GO 5.60% 8/1/05 10,380 10,850
New York City NY GO 5.70% 8/1/06 6,110 6,414
New York City NY GO 5.70% 8/1/07 9,800 10,292
New York City NY GO 5.75% 2/15/07 8,950 9,395
New York City NY GO 5.875% 8/15/12 (3) 7,000 7,427
New York City NY GO 5.90% 8/1/10 4,750 4,970
New York City NY GO 6.00% 8/15/99 13,070 13,493
New York City NY GO 6.00% 8/1/11 5,600 5,885
New York City NY GO 6.00% 8/1/12 4,000 4,187
New York City NY GO 6.10% 8/1/02 4,000 4,255
New York City NY GO 6.15% 8/15/00 3,170 3,325
New York City NY GO 7.00% 8/15/99 (3) 5,550 5,832
New York City NY GO 7.00% 8/15/99 (3)(ETM) 9,450 9,951
New York City NY GO 7.00% 8/1/00 340 347
New York City NY GO 7.00% 2/1/02 (Prere.) 3,145 3,522
New York City NY GO 7.00% 8/1/04 5,000 5,624
New York City NY GO 7.00% 8/1/05 6,500 7,366
New York City NY GO 7.00% 2/1/05 1,855 2,028
New York City NY GO 7.10% 8/15/07 10,000 11,199
New York City NY GO 8.00% 11/1/97 (2)(Prere.) 1,845 1,873
New York City NY GO 8.00% 8/1/99 4,560 4,855
New York City NY GO 8.00% 8/1/99 (ETM) 615 657
New York City NY GO 8.00% 11/1/00 (2) 2,175 2,252
New York City NY GO 8.00% 8/1/01 (Prere.) 3,185 3,650
New York City NY GO 8.00% 8/15/01 (Prere.) 3,090 3,545
New York City NY GO 8.00% 4/1/06 (2) 5,955 7,280
New York City NY GO 8.125% 11/1/97 (3)(Prere.) 11,155 11,322
New York City NY GO VRDO 3.70% 11/5/97 LOC 2,600 2,600
New York City NY GO VRDO 3.90% 11/4/97 LOC 1,100 1,100
New York City NY GO VRDO 4.00% 11/4/97 LOC 200 200
New York City NY GO VRDO 4.05% 11/4/97 LOC 200 200
New York City NY IDA (USTA National Tennis Center Project) 6.375% 11/15/07 (4) 6,200 6,977
New York City NY IDA (USTA National Tennis Center Project) 6.40% 11/15/08 (4) 4,105 4,626
New York City NY IDA (USTA National Tennis Center Project) 6.50% 11/15/09 (4) 6,745 7,584
New York City NY IDA (USTA National Tennis Center Project) 6.50% 11/15/10 (4) 3,500 3,935
</TABLE>
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
New York City NY Muni. Water Finance Auth.
Water & Sewer System Rev. 5.30% 6/15/06 $ 27,665 $ 28,663
New York City NY Muni. Water Finance Auth.
Water & Sewer System Rev. 6.00% 6/15/10 4,000 4,371
New York State Dormitory Auth. Rev. (City Univ.) 5.50% 7/1/16 16,000 16,309
New York State Dormitory Auth. Rev. (City Univ.) 6.25% 7/1/03 4,250 4,592
New York State Dormitory Auth. Rev. (City Univ.) 6.35% 7/1/04 2,500 2,730
New York State Dormitory Auth. Rev. (City Univ.) 6.45% 7/1/05 1,500 1,655
New York State Dormitory Auth. Rev. (City Univ.) 7.00% 7/1/01 8,090 8,854
New York State Dormitory Auth. Rev. (City Univ.) 7.00% 7/1/01 (ETM) 1,910 2,095
New York State Dormitory Auth. Rev. VRDO (Cornell University) 4.00% 11/4/97 2,900 2,900
New York State Dormitory Auth. Rev. VRDO
(New York Foundling Charitable Corp.) 3.60% 11/5/97 LOC 21,600 21,600
New York State Dormitory Auth. Rev. (New York Univ.) 6.375% 7/1/07 (3) 27,000 29,313
New York State Dormitory Auth. Rev. (State Univ.) 5.80% 5/15/05 5,400 5,766
New York State Dormitory Auth. Rev. (State Univ.) 5.90% 5/15/06 2,000 2,155
New York State Dormitory Auth. Rev. (State Univ.) 6.00% 7/1/03 (2) 4,000 4,320
New York State Dormitory Auth. Rev. (State Univ.) 6.00% 7/1/04 (2) 4,000 4,344
New York State Dormitory Auth. Rev. (State Univ.) 6.10% 5/15/08 2,000 2,220
New York State Dormitory Auth. Rev. (State Univ.) 6.25% 7/1/04 6,570 7,217
New York State Dormitory Auth. Rev. (State Univ.) 7.00% 5/15/99 (Prere.) 14,105 15,009
New York State Dormitory Auth. Rev. (State Univ.) 7.00% 5/15/01 4,180 4,432
New York State Dormitory Auth. Rev. (State Univ.) 7.10% 5/15/00 6,050 6,458
New York State Dormitory Auth. Rev. (Univ. of Rochester) 5.75% 7/1/14 (1) 9,725 10,059
New York State Environmental Fac. Corp. Pollution Control Rev. 5.50% 6/15/08 13,185 14,002
New York State GO 6.00% 10/1/03 4,800 5,191
New York State GO 6.00% 10/1/04 9,195 9,995
New York State GO 7.80% 11/15/99 5,000 5,365
New York State Local Govt. Assistance Corp. 5.00% 7/1/99 9,500 9,662
New York State Local Govt. Assistance Corp. 5.125% 7/1/07 8,000 8,293
New York State Local Govt. Assistance Corp. 5.125% 4/1/10 24,000 24,299
New York State Local Govt. Assistance Corp. 5.20% 7/1/07 (2) 4,500 4,675
New York State Local Govt. Assistance Corp. 5.25% 7/1/01 4,000 4,144
New York State Local Govt. Assistance Corp. 5.50% 7/1/00 5,000 5,180
New York State Local Govt. Assistance Corp. 5.50% 7/1/01 4,500 4,700
New York State Local Govt. Assistance Corp. 5.50% 7/1/02 10,000 10,511
New York State Local Govt. Assistance Corp. 5.50% 7/1/03 11,945 12,609
New York State Local Govt. Assistance Corp. 5.50% 7/1/07 5,000 5,328
New York State Local Govt. Assistance Corp. 6.00% 7/1/04 4,200 4,567
New York State Local Govt. Assistance Corp. 6.00% 4/1/06 5,000 5,451
New York State Local Govt. Assistance Corp. 6.00% 7/1/06 23,500 25,863
New York State Local Govt. Assistance Corp. 6.00% 4/1/07 3,000 3,284
New York State Local Govt. Assistance Corp. 6.00% 7/1/07 10,000 11,041
New York State Local Govt. Assistance Corp. 6.00% 4/1/08 13,140 14,438
New York State Local Govt. Assistance Corp. 6.00% 7/1/08 10,000 11,089
New York State Local Govt. Assistance Corp. 6.25% 7/1/05 5,000 5,551
New York State Local Govt. Assistance Corp. 6.875% 4/1/19 11,650 13,083
New York State Local Govt. Assistance Corp. VRDO 3.65% 11/5/97 LOC 2,300 2,300
New York State Local Govt. Assistance Corp. VRDO 3.60% 11/5/97 LOC 15,000 15,000
New York State Local Govt. Assistance Corp. VRDO 3.65% 11/5/97 LOC 5,700 5,700
New York State Medical Care Fac. Finance Agency Rev. 5.375% 2/15/14 (4) 4,460 4,457
New York State Medical Care Fac. Finance Agency Rev. 6.00% 8/15/02 (1) 5,350 5,727
New York State Medical Care Fac. Finance Agency Rev. 7.875% 8/15/00 (Prere.) 6,815 7,613
New York State Thruway Auth. (Highway & Bridge Trust Fund) 5.30% 4/1/08 (1) 7,740 8,030
New York State Thruway Auth. (Highway & Bridge Trust Fund) 5.40% 4/1/07 (1) 9,215 9,708
New York State Thruway Auth. (Highway & Bridge Trust Fund) 6.25% 4/1/06 (3) 10,000 11,111
New York State Thruway Auth. (Service Contract) 5.75% 4/1/13 (1) 10,000 10,419
New York State Urban Dev. Corp. (Correctional Fac.) 6.40% 1/1/04 9,685 10,546
Onondaga County NY PCR (Anheuser-Busch Cos., Inc. Project) 6.625% 8/1/06 10,000 11,320
Suffolk County NY Water Auth. 6.80% 6/1/12 (ETM) 10,660 12,383
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FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Triborough Bridge & Tunnel NY Auth. Rev. 0.00% 1/1/03 $ 19,185 $ 15,183
Triborough Bridge & Tunnel NY Auth. Rev. 5.80% 1/1/06 6,000 6,498
Triborough Bridge & Tunnel NY Auth. Rev. 6.00% 1/1/12 12,000 13,207
Triborough Bridge & Tunnel NY Auth. Rev. 6.60% 1/1/10 59,325 68,659
Triborough Bridge & Tunnel NY Auth. Rev. VRDO 3.65% 11/5/97 (3) 18,900 18,900
-----------
901,971
-----------
NORTH CAROLINA (1.2%)
Charlotte NC Airport Refunding Rev. VRDO 3.60% 11/5/97 (1) 5,555 5,555
North Carolina Educ. Fac. Finance Auth. VRDO
(Bowman Gray School of Medicine Project) 3.65% 11/5/97 LOC 5,300 5,300
North Carolina Educ. Fac. Finance Auth. VRDO (Duke Univ.) 3.60% 11/6/97 4,100 4,100
North Carolina Medical Care Hosp. Rev. VRDO (Duke Univ. Hosp.) 3.60% 11/6/97 1,300 1,300
North Carolina Muni. Power Agency (Catawba Electric) 6.00% 1/1/04 (2) 7,000 7,567
North Carolina Muni. Power Agency (Catawba Electric) 6.00% 1/1/05 (2) 28,750 31,035
North Carolina Muni. Power Agency (Catawba Electric) 7.00% 1/1/00 (Prere.) 6,040 6,523
North Carolina Muni. Power Agency (Catawba Electric) 7.25% 1/1/07 5,000 5,949
North Carolina Muni. Power Agency (Catawba Electric) 7.25% 1/1/07 (1) 5,410 6,436
Wake County NC Industrial Fac. & Pollution Control Finance Auth. VRDO
(Carolina Power & Light) 3.65% 11/5/97 LOC 8,100 8,100
-----------
81,865
-----------
OHIO (3.4%)
Butler County OH Transp. Improvement Dist. Rev. 5.00% 4/1/06 (4)++ 3,000 3,085
Clermont County OH Hosp. Rev. VRDO (Mercy Health Systems) 3.60% 11/5/97 5,800 5,800
Cleveland OH GO 5.50% 8/1/08 (1) 6,295 6,699
Cleveland OH School Dist. 8.125% 12/1/98 (ETM) 1,515 1,594
Cleveland OH School Dist. 9.00% 12/1/98 (Prere.)+ 4,000 4,292
Cleveland OH Water Works 6.00% 1/1/02 (1) 11,190 11,921
Cleveland OH Water Works 6.00% 1/1/03 (1) 2,105 2,262
Cleveland OH Water Works 6.00% 1/1/04 (1) 6,855 7,414
Cleveland OH Water Works 6.00% 1/1/05 (1) 4,545 4,947
Cleveland OH Water Works 6.00% 1/1/06 (1) 2,100 2,300
Cleveland OH Water Works 6.25% 1/1/05 (2) 4,910 5,332
Columbus OH VRDO 3.55% 11/6/97 800 800
Columbus OH Sewer Rev. VRDO 3.60% 11/6/97 4,200 4,200
Cuyahoga County OH Hosp. Rev. VRDO (Cleveland Clinic Foundation) 3.70% 11/5/97 LOC 2,100 2,100
Franklin County OH Hosp. Rev. VRDO (U.S. Health Corp.) 3.65% 11/6/97 LOC 5,450 5,450
Hamilton County OH Hosp. Fac. Rev. VRDO (Bethesda Hosp.) 3.50% 11/6/97 LOC 1,500 1,500
Hamilton County OH Hosp. Fac. Rev. VRDO
(Health Alliance of Greater Cincinnati) 3.65% 11/5/97 (1) 5,500 5,500
Lorain County OH Hosp. Rev. (Catholic Healthcare Partners) 5.625% 9/1/13 (1) 3,000 3,119
Ohio Air Quality Dev. Auth. VRDO (Cincinnati Gas & Electric Co Project) 3.95% 11/4/97 LOC 1,800 1,800
Ohio Air Quality Dev. Auth. VRDO (Cincinnati Gas & Electric Co. Project) 4.15% 11/4/97 LOC 600 600
Ohio Air Quality Dev. Auth. VRDO (Cincinnati Gas & Electric Co. Project) 4.20% 11/4/97 LOC 2,700 2,700
Ohio Building Auth. (Adult Correctional Building) 5.75% 4/1/08 5,375 5,839
Ohio Building Auth. (Adult Correctional Building) 5.75% 4/1/09 (2) 5,485 5,933
Ohio Building Auth. (Adult Correctional Building) 5.90% 10/1/09 (1) 4,435 4,803
Ohio Building Auth. (Adult Correctional Building) 6.00% 10/1/07 (2) 3,710 4,113
Ohio Building Auth. (Adult Correctional Building) 6.50% 10/1/02 (1) 5,350 5,881
Ohio Building Auth. (Adult Correctional Building) 6.50% 10/1/03 (1) 5,710 6,347
Ohio Building Auth. (Data Center) 5.70% 10/1/04 2,895 3,103
Ohio Building Auth. (Data Center) 5.75% 10/1/05 3,070 3,312
Ohio Building Auth. (Highway Safety Building) 5.375% 10/1/09 (2) 4,605 4,819
Ohio Building Auth. (Highway Safety Building) 5.75% 10/1/08 (2) 5,055 5,492
Ohio Building Auth. (Highway Safety Building) 6.00% 4/1/07 (2) 4,640 5,124
Ohio Building Auth. (State Correctional Fac.) 5.70% 10/1/03 3,305 3,530
Ohio Building Auth. (State Correctional Fac.) 5.70% 10/1/04 2,725 2,921
Ohio Building Auth. (State Correctional Fac.) 5.80% 10/1/06 4,360 4,739
Ohio Building Auth. (State Correctional Fac.) 5.90% 10/1/07 2,500 2,748
Ohio Building Auth. (State Correctional Fac.) 6.50% 10/1/02 3,790 4,154
Ohio Building Auth. (State Correctional Fac.) 6.50% 10/1/03 5,500 6,029
Ohio Building Auth. (State Correctional Fac.) 6.50% 10/1/04 2,500 2,740
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Ohio Building Auth. (State Correctional Fac.) 7.20% 8/1/00 $ 10,000 $ 10,730
Ohio Building Auth. (State Correctional Fac.) 7.25% 8/1/01 7,500 8,054
Ohio Building Auth. (State Correctional Fac.) 7.30% 8/1/02 10,000 10,747
Ohio Building Auth. (State Correctional Fac.) 7.35% 8/1/03 4,945 5,319
Ohio Higher Educ. Fac. 5.90% 12/1/05 8,175 8,711
Ohio Public Fac. Comm. Higher Educ. Fac. 5.50% 12/1/06 5,465 5,737
Ohio Turnpike Comm. Rev. 5.50% 2/15/10 (1) 4,435 4,640
Ohio Water Dev. Auth. 5.00% 12/1/98 2,275 2,304
Ohio Water Dev. Auth. 6.00% 12/1/08 (2) 6,000 6,499
-----------
227,783
-----------
OKLAHOMA (1.9%)
Garfield County OK IDA PCR VRDO
(Oklahoma Gas & Electric Co. Project) 3.75% 11/5/97 11,400 11,400
Grand River Dam Auth. OK 5.70% 6/1/05 (4) 20,000 21,500
Grand River Dam Auth. OK 5.75% 6/1/06 (4) 19,350 20,955
Grand River Dam Auth. OK 5.875% 6/1/07 (1) 14,500 15,872
Grand River Dam Auth. OK 6.25% 6/1/11 (2) 7,600 8,560
Grand River Dam Auth. OK 8.00% 6/1/02 21,000 24,134
Oklahoma Ind. Auth. (St. Anthony's Hosp.) 7.50% 10/1/03 (1) 5,470 5,485
Tulsa County OK Ind. Auth. PUT (St. Francis Hosp.) 5.15% 12/15/03 8,715 8,954
Tulsa OK Metro. Util. Auth. 7.00% 2/1/03 8,465 9,297
-----------
126,157
-----------
OREGON (0.5%)
Portland OR Sewer System Rev. 5.00% 6/1/10 18,980 19,108
Portland OR Sewer System Rev. 5.00% 6/1/12 (3) 13,580 13,565
-----------
32,673
-----------
PENNSYLVANIA (7.8%)
Allegheny County PA GO 7.45% 2/15/98 2,000 2,021
Allegheny County PA GO 7.60% 11/1/98 (Prere.) 2,000 2,072
Allegheny County PA Hosp. Dev. Auth. VRDO
(Allegheny General Hosp. Project) 3.65% 11/5/97 LOC 3,800 3,800
Allegheny County PA Hosp. Dev. Auth. VRDO
(Children's Hosp. Pittsburgh) 3.60% 11/6/97 (1) 4,800 4,800
Berks County PA GO 7.25% 11/15/00 (3)(Prere.) 10,000 11,077
Delaware County PA Hosp. Rev. VRDO (Crozer-Chester Medical Center) 3.78% 11/5/97 LOC 2,900 2,900
Delaware County PA IDA Resource Recovery Rev. (Browning Ferris) 6.00% 1/1/09 5,355 5,695
Delaware County PA IDA Resource Recovery Rev. (Browning Ferris) 6.10% 1/1/07 7,955 8,549
Erie County PA Prison Auth. Commonwealth Lease Rev. 6.75% 11/1/01 (1)(Prere.) 5,295 5,792
Northumberland County PA Commonwealth Lease Rev. 6.70% 10/15/01 (1)(Prere.) 7,005 7,642
Northumberland County PA Commonwealth Lease Rev. 7.75% 10/15/01 (1)(Prere.) 6,000 6,773
Pennsylvania Convention Center Auth. 6.25% 9/1/04 15,200 16,251
Pennsylvania Convention Center Auth. 6.70% 9/1/14 (1) 4,000 4,511
Pennsylvania COP 4.80% 7/1/01 (2) 20,000 20,362
Pennsylvania COP 4.90% 7/1/02 (2) 13,665 13,973
Pennsylvania COP 5.00% 7/1/03 (2) 4,555 4,674
Pennsylvania GO 5.00% 4/15/05 24,290 24,974
Pennsylvania GO 5.00% 4/15/07 7,950 8,143
Pennsylvania GO 5.00% 4/15/08 9,250 9,390
Pennsylvania GO 5.125% 9/15/09 (2) 20,000 20,509
Pennsylvania GO 5.375% 5/15/13 (3) 3,515 3,581
Pennsylvania GO 5.90% 11/15/01 1,500 1,595
Pennsylvania GO 6.20% 11/15/04 12,480 13,566
Pennsylvania GO 6.50% 11/1/06 4,260 4,675
Pennsylvania GO 7.10% 11/1/08 6,700 7,192
Pennsylvania GO 10.00% 4/15/02 (2) 10,160 12,467
Pennsylvania Higher Educ. Fac. Auth. (Allegheny/Delaware Valley) 5.00% 11/15/03 (1) 7,380 7,585
Pennsylvania Higher Educ. Fac. Auth. (Allegheny/Delaware Valley) 5.00% 11/15/04 (1) 9,295 9,533
Pennsylvania Higher Educ. Fac. Auth. (Allegheny/Delaware Valley) 5.00% 11/15/05 (1) 7,690 7,869
Pennsylvania Higher Educ. Fac. Auth. (Allegheny/Delaware Valley) 5.00% 11/15/06 (1) 3,250 3,319
Pennsylvania Higher Educ. Fac. Auth. VRDO (Univ. of Pennsylvania) 3.60% 11/5/97 1,400 1,400
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FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Pennsylvania Higher Educ. Fac. Auth. VRDO
(Univ. of Pennsylvania Health Services) 3.60% 11/5/97 $ 500 $ 500
Pennsylvania IDA 6.50% 7/1/98 9,850 10,019
Pennsylvania IDA 6.60% 1/1/99 5,065 5,216
Pennsylvania IDA 6.60% 7/1/99 10,355 10,777
Pennsylvania IDA 6.70% 1/1/00 7,420 7,809
Pennsylvania IDA 6.70% 7/1/00 9,080 9,656
Pennsylvania IDA 6.80% 1/1/01 5,000 5,374
Pennsylvania IDA 6.80% 7/1/01 5,480 5,946
Pennsylvania Intergovernmental Cooperation Auth. 5.45% 6/15/08 (3) 14,595 15,080
Pennsylvania Intergovernmental Cooperation Auth. 5.75% 6/15/99 (3) 17,000 17,481
Pennsylvania Intergovernmental Cooperation Auth. 6.00% 6/15/02 (3) 28,500 30,510
Philadelphia PA Airport Rev. (Philadelphia Airport Systems) 5.75% 6/15/11 (3) 4,695 4,994
Philadelphia PA Airport Rev. (Philadelphia Airport Systems) 6.00% 6/15/03 (3) 5,530 5,963
Philadelphia PA GO 4.60% 5/15/99 (3) 4,345 4,385
Philadelphia PA GO 6.00% 11/15/00 (3) 11,995 12,636
Philadelphia PA IDA VRDO (Franklin Institute) 3.65% 11/6/97 LOC 6,650 6,650
Philadelphia PA Muni. Lease Rev. 6.00% 7/15/03 5,065 5,205
Philadelphia PA School Dist. GO 0.00% 7/1/00 (2) 15,500 13,874
Philadelphia PA School Dist. GO 5.375% 7/1/05 (1) 7,500 7,867
Philadelphia PA School Dist. GO 6.25% 9/1/05 (2) 5,000 5,534
Philadelphia PA School Dist. GO 6.25% 9/1/06 (2) 2,000 2,226
Philadelphia PA School Dist. GO 6.25% 9/1/08 (2) 4,000 4,482
Philadelphia PA School Dist. GO 6.25% 9/1/09 (2) 2,080 2,332
Philadelphia PA School Dist. GO 6.70% 7/1/99 (2) 9,000 9,389
Philadelphia PA Water & Waste Water Rev. 4.75% 6/15/98 11,540 11,598
Philadelphia PA Water & Waste Water Rev. 5.50% 6/15/06 (1) 12,750 13,531
Philadelphia PA Water & Waste Water Rev. 6.25% 8/1/07 (1) 5,000 5,604
Philadelphia PA Water & Waste Water Rev. 6.875% 10/1/06 (1) 15,455 16,502
Pittsburgh PA Water & Sewer Auth. Rev. 5.60% 9/1/18 (3) 6,000 6,101
Pittsburgh PA GO 5.00% 3/1/03 (1) 5,000 5,139
Sayre PA Health Care Fac. Auth. VRDO
(VHA of Pennsylvania, Pooled Capital Asset Financing Program) 3.65% 11/5/97 (2) 2,200 2,200
Schuylkill PA Redev. Auth. 6.95% 6/1/01 (3)(Prere.) 3,995 4,400
-----------
525,670
-----------
PUERTO RICO (0.7%)
Puerto Rico Govt. Dev. Bank VRDO 3.35% 11/5/97 LOC 400 400
Puerto Rico Electric Power Auth. Rev. 6.50% 7/1/05 (1) 20,525 23,231
Puerto Rico GO 5.00% 7/1/98 15,000 15,118
Puerto Rico Telephone Auth. Rev. 5.40% 1/1/08 9,550 9,907
-----------
48,656
-----------
RHODE ISLAND (0.6%)
Rhode Island Consolidated Capital Dev. Loan GO 6.00% 8/1/05 (1) 4,000 4,372
Rhode Island Consolidated Capital Dev. Loan GO 6.00% 8/1/06 (1) 5,000 5,495
Rhode Island Depositors Econ. Protection Corp. 6.55% 8/1/10 (1) 26,850 31,111
-----------
40,978
-----------
SOUTH CAROLINA (0.2%)
Piedmont SC Muni. Power Agency Rev. 5.40% 1/1/07 (1) 1,800 1,889
Piedmont SC Muni. Power Agency Rev. 5.40% 1/1/07 (1)(ETM) 1,400 1,490
Piedmont SC Muni. Power Agency Rev. VRDO 3.55% 11/5/97 (1) 5,400 5,400
Piedmont SC Muni. Power Agency Rev. VRDO 3.65% 11/5/97 (1) 5,900 5,900
-----------
14,679
-----------
SOUTH DAKOTA (0.1%)
South Dakota Health & Educ. Fac. Auth. Rev. (McKennan Hosp.) 7.50% 7/1/04 (1) 5,845 6,249
-----------
TENNESSEE (0.2%)
Metro. Govt. of Nashville TN Airport Auth. Improvement
Refunding VRDO 3.65% 11/5/97 (3)LOC 6,800 6,800
Shelby County TN (Methodist Health Systems) 6.25% 8/1/06 4,915 5,493
-----------
12,293
-----------
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FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
TEXAS (8.8%)
Anderson County TX Rev. (Coffield Prison Farm Project) 5.50% 3/15/04 (2) $ 5,715 $ 5,993
Anderson County TX Rev. (Coffield Prison Farm Project) 5.50% 3/15/05 (2) 5,590 5,843
Anderson County TX Rev. (Coffield Prison Farm Project) 5.50% 3/15/06 (2) 6,985 7,284
Austin TX Combined Util. System Rev. 5.20% 11/15/03 (1) 3,360 3,501
Austin TX Combined Util. System Rev. 5.30% 5/15/04 (1) 5,770 6,029
Austin TX Combined Util. System Rev. 5.75% 11/15/03 (4)++ 7,500 7,938
Austin TX Combined Util. System Rev. 5.80% 11/15/06 (1) 5,255 5,709
Austin TX Combined Util. System Rev. 6.00% 11/15/06 (1) 23,265 25,615
Austin TX Combined Util. System Rev. 7.25% 11/15/03 5,605 5,899
Austin TX Combined Util. System Rev. 7.25% 11/15/03 (ETM) 395 454
Austin TX Independent School Dist. 5.75% 8/1/12 5,000 5,281
Bell County TX Health Fac. Dev. Corp. (Scott & White Hosp.) 7.625% 9/1/03 8,340 8,738
Birdville TX Independent School Dist. 5.75% 2/15/03 4,990 5,312
Corpus Christi TX GO 7.50% 11/1/97 (2)(Prere.) 1,155 1,155
Corpus Christi TX GO 7.50% 11/1/98 (2) 1,865 1,871
Dallas/Fort Worth TX Regional Airport Joint Rev. 8.75% 11/1/03 4,890 4,890
Dallas TX Independent School Dist. 5.30% 8/15/08 7,510 7,776
Dallas TX Independent School Dist. 5.40% 8/15/09 10,440 10,805
Dallas TX Independent School Dist. 5.50% 8/15/10 24,210 25,092
Dallas TX Independent School Dist. 5.60% 8/15/03 (Prere.) 2,220 2,362
Dallas TX Independent School Dist. 5.60% 8/15/04 5,780 6,109
Dallas TX Independent School Dist. 5.70% 8/15/03 (Prere.) 1,230 1,314
Dallas TX Independent School Dist. 5.70% 8/15/06 3,520 3,716
Gulf Coast TX Waste Disposal Auth. PCR VRDO (Amoco Project) 4.15% 11/4/97 2,500 2,500
Harris County TX Health Fac. Dev. Corp. (Memorial Hosp.) 6.00% 6/1/08 6,080 6,658
Harris County TX Health Fac. Dev. Corp. (Memorial Hosp.) 6.00% 6/1/10 (1) 1,500 1,652
Harris County TX Toll Road 6.30% 8/15/02 (3)(Prere.) 4,470 4,934
Harris County TX Toll Road 6.30% 8/15/04 (3) 840 920
Harris County TX Toll Road VRDO 3.65% 11/5/97 14,285 14,285
Houston TX GO 5.00% 3/1/04 6,265 6,412
Houston TX GO 5.10% 3/1/06 12,200 12,473
Houston TX GO 5.80% 3/1/02 5,080 5,384
Houston TX GO 7.00% 3/1/08 48,405 57,431
Houston TX GO 7.30% 3/1/98 (3)(Prere.) 3,000 3,035
Houston TX Hotel Occupancy Tax Rev. 5.25% 7/1/07 (4) 6,585 6,835
Houston TX Housing Finance Corp. TOB VRDO 3.80% 11/6/97 (4) 9,000 9,000
Houston TX Water & Sewer System Rev. 0.00% 12/1/00 (2) 6,130 5,384
Houston TX Water & Sewer System Rev. 5.75% 12/1/15 (1) 3,315 3,414
Houston TX Water & Sewer System Rev. 7.00% 12/1/01 (2) 3,220 3,554
Houston TX Water & Sewer System Rev. 7.00% 12/1/02 (2) 4,125 4,628
Houston TX Water & Sewer System Rev. 7.00% 12/1/03 (2) 3,100 3,526
North Texas Health Fac. Dev. 5.75% 2/15/10 (1) 4,115 4,431
San Antonio TX Electric & Gas System Rev. 5.50% 2/1/02 1,845 1,950
San Antonio TX Electric & Gas System Rev. 5.50% 2/1/04 2,700 2,825
San Antonio TX Electric & Gas System Rev. 5.80% 2/1/06 8,000 8,641
Southwest Higher Educ. Auth. of TX VRDO (Southern Methodist Univ.) 4.20% 11/4/97 LOC 1,400 1,400
Tarrant County TX Health Resources 5.75% 2/15/13 (1) 7,670 8,099
Tarrant County TX Water Control & Improvement Dist. 4.50% 3/1/11 (3) 5,000 4,684
Texas GO 6.00% 10/1/06 6,000 6,636
Texas GO 8.00% 10/1/07 50,000 63,321
Texas Muni. Power Agency Rev. 6.10% 9/1/07 (1) 12,500 13,927
Texas Muni. Power Agency Rev. 6.10% 9/1/08 (1) 27,840 31,192
Texas Muni. Power Agency Rev. 6.10% 9/1/09 (1) 5,000 5,596
Texas Public Fin. Auth. Building Rev. 5.75% 10/1/09 5,000 5,301
Texas Public Fin. Auth. Building Rev. 5.75% 10/1/10 8,625 9,086
Texas Public Fin. Auth. Building Rev. 6.60% 2/1/00 (1) 5,000 5,268
Texas Public Fin. Auth. Building Rev. 6.75% 2/1/02 (1) 5,000 5,372
Texas Public Fin. Auth. Building Rev. 6.80% 2/1/03 (1) 5,000 5,362
Texas TRAN 4.75% 8/31/98 74,000 74,574
Texas Water Resource Finance Auth. 7.50% 8/15/01 3,860 4,069
</TABLE>
33
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Univ. of Texas Permanent Univ. Fund 6.40% 7/1/02 $ 5,000 $ 5,459
Univ. of Texas Rev. 7.00% 8/15/07 14,050 15,507
-----------
593,411
-----------
UTAH (0.2%)
Emery County UT PCR VRDO (PacifiCorp Project) 4.25% 11/4/97 (2) 1,200 1,200
Jordan UT School Dist. 5.75% 6/15/05 4,235 4,582
Salt Lake County UT Building Rev. 5.90% 10/1/06 (1) 4,000 4,329
-----------
10,111
-----------
VIRGINIA (0.5%)
Chesapeake Bay Bridge & Tunnel VA 5.40% 7/1/05 (3) 6,090 6,430
Fairfax County VA GO 7.25% 6/1/00 5,805 6,269
Fairfax County VA IDA Hosp. Rev. VRDO
(Inova Health System Hosp. Project) 3.60% 11/5/97 LOC 400 400
Virginia Public School Auth. 5.00% 8/1/05 ++ 4,360 4,492
Virginia Public School Auth. 5.00% 8/1/11 ++ 3,380 3,376
Virginia Public School Auth. 5.25% 8/1/08 ++ 4,540 4,733
Virginia Public School Auth. 5.40% 6/1/09 5,750 6,005
-----------
31,705
-----------
WASHINGTON (3.7%)
King County WA GO 6.00% 12/1/04 (3) 5,000 5,375
King County WA GO 6.10% 12/1/05 5,000 5,397
King County WA School Dist. 5.50% 1/1/12 (2) 5,635 5,735
Port of Seattle WA GO 5.50% 10/1/17 (3) 5,290 5,390
Seattle WA GO 5.60% 1/15/09 5,020 5,282
Seattle WA Power and Light 5.10% 5/1/05 10,575 10,914
Seattle WA Water System Rev. 5.00% 12/1/03 2,000 2,061
Seattle WA Water System Rev. 5.10% 12/1/04 4,000 4,139
Seattle WA Water System Rev. 5.20% 12/1/05 2,320 2,410
Tacoma WA Electric System Rev. 5.50% 1/1/12 (2) 5,500 5,583
Tacoma WA Electric System Rev. 5.70% 1/1/03 (2) 6,845 7,255
Washington GO 5.50% 7/1/02 5,000 5,262
Washington GO 5.60% 9/1/04 5,000 5,335
Washington GO 5.75% 9/1/07 19,950 21,796
Washington GO 5.75% 9/1/08 4,000 4,346
Washington GO 5.75% 5/1/09 5,000 5,274
Washington GO 6.00% 7/1/03 5,200 5,626
Washington GO 6.00% 7/1/04 3,115 3,391
Washington GO 6.10% 6/1/06 9,495 10,516
Washington GO 6.125% 6/1/07 10,110 11,318
Washington GO 6.20% 6/1/08 10,765 12,080
Washington GO 6.25% 6/1/09 11,465 12,928
Washington GO 6.25% 9/1/09 21,550 22,870
Washington GO 6.25% 6/1/10 7,450 8,401
Washington GO 6.25% 2/1/11 6,680 7,509
Washington GO 7.00% 10/1/98 3,900 4,012
Washington GO 7.10% 9/1/99 7,500 7,690
Washington GO 7.20% 9/1/98 (Prere.) 2,365 2,428
Washington GO VRDO 3.55% 11/5/97 14,200 14,200
Washington Health Care Fac. Auth. (Sisters of Providence) 6.00% 10/1/02 (2) 5,105 5,469
Washington Health Care Fac. Auth. (Sisters of Providence) 6.00% 10/1/03 (2) 5,270 5,685
Washington Health Care Fac. Auth. (Sisters of Providence) 6.00% 10/1/04 (2) 5,515 5,978
Washington Health Care Fac. Auth. (Sisters of Providence) 6.00% 10/1/05 (2) 4,830 5,258
Washington Health Care Fac. Auth. (Sisters of Providence) 6.00% 10/1/06 (2) 6,055 6,623
-----------
253,536
-----------
WEST VIRGINIA (0.1%)
West Virginia School Building Auth. Rev. 5.30% 7/1/09 (2) 8,000 8,303
-----------
WISCONSIN (1.2%)
Wisconsin GO 4.25% 11/1/99 4,000 4,024
Wisconsin GO 6.20% 5/1/06 20,990 23,378
</TABLE>
34
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
INTERMEDIATE-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Wisconsin GO 6.25% 5/1/07 + $ 22,970 $ 25,823
Wisconsin GO 6.25% 5/1/08 24,365 27,488
-----------
80,713
-----------
WYOMING (0.1%)
Kemmerer WY VRDO (Exxon Project) 4.15% 11/4/97 1,100 1,100
Lincoln County WY PCR VRDO (Exxon Project) 4.20% 11/4/97 3,600 3,600
Platte County WY PCR 4.60% 1/1/02 2,430 2,452
-----------
7,152
-----------
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $6,355,782) 6,713,631
- ----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (0.8%)
- ----------------------------------------------------------------------------------------------------------------------------------
Other Assets--Note B 119,554
Liabilities (63,046)
-----------
56,508
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------------------------
Applicable to 507,260,693 outstanding $.001 par value shares
(authorized 1,150,000,000 shares) $6,770,139
==================================================================================================================================
NET ASSET VALUE PER SHARE $13.35
==================================================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
+Securities with an aggregate value of $9,913,000 have been segregated as
initial margin for open futures contracts.
For key to abbreviations and other references, see page 54.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
AT OCTOBER 31, 1997, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $6,444,802 $12.70
Undistributed Net Investment Income -- --
Overdistributed Net Realized Gains--Note E (26,245) (.05)
Unrealized Appreciation (Depreciation)--Note F
Investment Securities 357,849 .71
Futures Contracts (6,267) (.01)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $6,770,139 $13.35
==================================================================================================================================
</TABLE>
35
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
INSURED LONG-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (100.8%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ALABAMA (1.4%)
Birmingham AL Medical Center (Special Care Medical Center) 7.25% 7/1/15 (1) $ 6,715 $ 6,800
Medical Clinic Board of Bessemer AL (Bessemer Carraway Hosp.) 7.25% 4/1/15 (1) 5,000 5,416
Medical Clinic Board of Montgomery AL (Jackson Hosp.) 6.00% 3/1/26 (2) 12,000 12,651
Mobile AL Water & Sewer Comm. 5.50% 1/1/10 (3) 4,000 4,160
-----------
29,027
-----------
ALASKA (1.3%)
Alaska Housing Fin. Corp. Rev. VRDO 3.65% 11/5/97 4,180 4,180
Anchorage AK Electric Rev. 8.00% 12/1/09 (1) 2,565 3,311
Anchorage AK Electric Rev. 8.00% 12/1/10 (1) 2,960 3,845
Anchorage AK Water GO 7.20% 6/1/17 (2) 11,000 11,596
Valdez AK Marine Terminal VRDO (Exxon Pipeline Project) 4.20% 11/4/97 3,700 3,700
-----------
26,632
-----------
ARIZONA (0.5%)
Maricopa County AZ (Samaritan Health Service) 7.00% 12/1/16 (1) 8,650 10,579
-----------
ARKANSAS (0.5%)
North Little Rock AR Electric System 6.50% 7/1/10 (1) 3,500 4,031
North Little Rock AR Electric System 6.50% 7/1/15 (1) 4,500 5,199
-----------
9,230
-----------
CALIFORNIA (10.6%)
California Health Fac. Finance Auth. (Adventist Health System) 6.75% 3/1/11 (1) 12,000 13,029
California Health Fac. Finance Auth. (Kaiser Permanente) 3.40% 11/5/97 1,700 1,700
California Health Fac. Finance Auth. (Pomona Valley Hosp.) 5.75% 7/1/15 8,205 8,581
California Housing Finance Agency 8.625% 8/1/15 (1) 2,550 2,668
California PCR Rev. VRDO (Pacific Gas & Electric) 4.10% 11/4/97 LOC 1,100 1,100
Fresno CA COP (City Hall Refinancing Project) 6.375% 8/1/10 (2) 10,500 11,231
Irvine CA Ranch Water Dist. VRDO 3.60% 11/4/97 LOC 700 700
Los Angeles CA Unified School Dist. 5.375% 7/1/16 (3) 5,000 5,052
Los Angeles County CA Metro. Transp. Auth. VRDO 3.40% 11/5/97 (3) 900 900
Modesto CA Irrigation Dist. Finance Auth. (Woodland Project) 6.50% 10/1/22 (2) 20,225 23,857
MSR California Public Power Agency (San Juan Project) 6.125% 7/1/13 (2) 7,000 7,848
MSR California Public Power Agency (San Juan Project) 6.75% 7/1/20 (1) 13,000 15,607
Northern California Power Agency (Combustion Turbine Project) 6.00% 8/15/10 (1) 3,500 3,574
Oakland CA Redev. Agency (Central Dist. Project) 5.50% 2/1/14 (2) 6,300 6,604
Oakland CA Redev. Agency (Central Dist. Project) 6.00% 2/1/08 (2) 5,585 6,199
Pittsburg CA Redev. Agency 5.50% 8/1/07 (3) 3,000 3,164
Port of Oakland CA Rev. 5.40% 11/1/17 (1) 25,575 26,000
Sacramento CA Muni. Util. Dist. 5.75% 8/15/13 (1) 12,360 12,739
Sacramento CA Muni. Util. Dist. 6.50% 9/1/13 (1) 8,895 10,342
San Jose CA Tax Redev. 6.00% 8/1/10 (1) 8,105 9,016
Santa Clara CA Redev. Agency (Bayshore North Project) 7.00% 7/1/10 (2) 3,000 3,618
Santa Clara CA Valley Water Dist. 6.00% 2/1/24 (3) 5,000 5,251
Santa Rosa CA Waste Water Rev. 6.00% 9/1/15 (3) 5,000 5,479
South County CA Waste Water Auth. (Gilroy) 5.50% 8/1/22 (3) 8,000 8,035
South County CA Waste Water Auth. (Morgan Hill) 5.50% 8/1/22 (3) 7,000 7,031
Southern California Public Power Auth. (Palo Verde) 5.00% 7/1/15 (2) 2,605 2,533
Southern California Rapid Transit Dist. 5.80% 9/1/06 (2) 4,000 4,381
Southern California Rapid Transit Dist. 5.90% 9/1/07 (2) 3,155 3,489
Ukiah CA Electric Rev. 6.25% 6/1/18 (1) 6,330 7,187
-----------
216,915
-----------
COLORADO (3.8%)
Colorado Health Fac. Auth. (Sisters of Charity Health System Inc.) 6.00% 5/15/13 (1) 4,525 4,667
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/04 (1) 13,750 10,111
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/05 (1) 17,200 11,999
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/07 (1) 12,250 7,721
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/08 (1) 14,355 8,542
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/09 16,500 9,251
</TABLE>
36
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Denver CO Health Fac. Rev. (St. Anthony's Hosp.) 7.70% 5/1/07 (1) $ 2,800 $ 2,912
Northern Colorado Water Conservation Dist. Rev. 6.50% 12/1/12 (2) 20,575 23,213
-----------
78,416
-----------
CONNECTICUT (0.3%)
Connecticut Special Obligation Transp. Infrastructure Rev. 5.625% 10/1/14 (3) 3,000 3,092
South Central CT Regional Water Auth. Water System Rev. 5.75% 8/1/12 (3) 3,100 3,237
-----------
6,329
-----------
DELAWARE (1.0%)
Delaware Econ. Dev. Auth. (Delmarva Power & Light) 7.30% 9/1/15 (3) 4,000 4,310
Delaware Health Fac. Auth. (Delaware Medical Center) 7.00% 10/1/15 (1) 6,000 6,390
Dover DE Electric Rev. 5.75% 7/1/15 (3) 5,225 5,393
Dover DE Electric Rev. 6.10% 7/1/11 (3) 2,000 2,136
Sussex County DE Waste Water Rev. 6.60% 6/15/04 (1)(Prere.) 2,500 2,832
-----------
21,061
-----------
DISTRICT OF COLUMBIA (0.5%)
District of Columbia Rev. (Howard Univ.) 5.75% 10/1/17 (1) 10,030 10,358
-----------
FLORIDA (7.9%)
Coral Springs FL Improvement Dist. Water & Sewer GO 6.00% 6/1/10 (1) 3,000 3,338
Dade County FL Water & Sewer Rev. VRDO 3.60% 11/5/97 (3) 6,350 6,350
Davie FL Water & Sewer Rev. 6.375% 10/1/12 (2) 2,620 3,007
Florida Muni. Power Agency (Stanton Project) 5.00% 10/1/19 (1) 8,100 7,767
Hillsborough County FL IDA PCR Rev. VRDO (Tampa Electric Co.) 4.00% 11/4/97 100 100
Orange and Orlando County FL Expressway Auth. 8.25% 7/1/13 (3) 9,695 13,098
Orange and Orlando County FL Expressway Auth. 8.25% 7/1/15 (3) 8,360 11,411
Orange and Orlando County FL Expressway Auth. 8.25% 7/1/16 (3)+ 12,295 16,899
Orange County FL Health Auth. Hosp. (Adventist for Sunbelt Group) 6.25% 11/15/10 (2) 4,000 4,440
Palm Beach FL Criminal Justice 7.20% 6/1/14 (3) 16,300 20,246
Palm Beach FL Criminal Justice 7.20% 6/1/15 (3) 4,000 4,978
St. Lucie County FL Util. System Rev. 6.00% 10/1/20 (3)(ETM) 2,350 2,545
Sarasota County FL Public Hosp. (Sarasota Memorial Hosp.) 5.75% 10/1/17 (1) 28,850 29,881
Seacoast FL Util. Auth. Water & Sewer Rev. 5.50% 3/1/19 (3) 2,000 2,095
Tampa FL Util. Rev. 6.75% 10/1/10 (2) 9,330 11,073
Tampa FL Util. Rev. 6.75% 10/1/11 (2) 9,965 11,831
Tampa FL Util. Rev. 6.75% 10/1/12 (2) 10,635 12,649
-----------
161,708
-----------
GEORGIA (0.5%)
Burke County GA Dev. Auth. PCR VRDO (Georgia Power Co.) 4.20% 11/4/97 130 130
Henry County GA School Dist. GO 6.45% 8/1/11 (1) 4,000 4,597
Private Colleges & Universities Auth. of GA (Mercer Univ. Project) 6.50% 11/1/15 (1) 5,000 5,792
-----------
10,519
-----------
HAWAII (1.4%)
Hawaii Airport System Rev. 6.35% 7/1/07 (1) 8,000 8,814
Hawaii Highway Rev. 5.25% 7/1/11 1,650 1,673
Hawaii Highway Rev. 5.25% 7/1/12 1,500 1,513
Hawaii Highway Rev. 5.25% 7/1/16 2,550 2,529
Honolulu HI City & County GO 8.00% 10/1/10 11,000 14,148
-----------
28,677
-----------
ILLINOIS (4.5%)
Chicago IL Board of Educ. GO 6.25% 1/1/11 (1) 7,000 7,807
Chicago IL Public Building Comm. 7.00% 1/1/20 (1)(ETM) 21,500 26,040
Chicago IL Waste Water Transmission Rev. 6.50% 1/1/08 (3) 1,315 1,504
Cook County IL GO 7.25% 11/1/07 (1) 6,000 7,226
Illinois Dev. Finance Auth. PCR (Illinois Power Co. Project) 7.40% 12/1/24 (1) 14,000 16,244
Illinois Regional Transit Auth. GO (Cook, DuPage, and Kane Counties) 7.20% 11/1/20 (2) 24,000 30,013
Will County IL Community Unit School Dist. (Romeoville) 7.10% 12/1/09 (2) 1,250 1,514
Will County IL Community Unit School Dist. (Romeoville) 7.10% 12/1/10 (2) 1,115 1,355
-----------
91,703
-----------
</TABLE>
37
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
INSURED LONG-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INDIANA (1.0%)
Indiana Muni. Power Agency 6.125% 1/1/13 (1) $ 13,250 $ 14,746
Merrillville IN School Building Corp. 6.65% 7/1/06 (1) 5,500 6,281
-----------
21,027
-----------
KANSAS (0.6%)
Kansas Health System Dev. Auth. (St. Luke Mission) 5.375% 11/15/16 (1) 9,300 9,312
Kansas Health System Dev. Auth. (St. Luke Mission) 5.375% 11/15/21 (1) 3,000 2,978
-----------
12,290
-----------
KENTUCKY (2.0%)
Jefferson County KY Health System Rev. (Jewish Hosp.) 5.75% 1/1/26 (2) 11,000 11,365
Kentucky Dev. Finance Auth. Hosp. Fac. Rev.
(St. Elizabeth's Medical Center) 6.00% 11/1/10 (3) 23,885 25,192
Kentucky Econ. Dev. Finance Auth. Hosp. Rev. VRDO
(Baptist Healthcare Systems) 3.60% 11/5/97 LOC 3,300 3,300
-----------
39,857
-----------
LOUISIANA (2.7%)
East Baton Rouge Parish LA PCR VRDO (Exxon Project) 4.00% 11/4/97 780 780
Jefferson Parish LA Sales Tax Rev. 6.75% 12/1/06 (3) 8,500 9,417
New Orleans LA Capital Appreciation 0.00% 9/1/13 (2) 9,000 3,962
New Orleans LA GO 0.00% 9/1/10 (2) 8,500 4,482
New Orleans LA GO 0.00% 9/1/11 (2) 10,475 5,184
New Orleans LA GO 6.00% 9/1/21 (2) 22,250 22,984
Ouachita Parish LA Hosp. Service (Glenwood Medical Center) 5.70% 5/15/16 (4) 4,900 5,061
Ouachita Parish LA Hosp. Service (Glenwood Medical Center) 5.75% 5/15/21 (4) 3,200 3,316
-----------
55,186
-----------
MAINE (0.8%)
Maine Health & Higher Educ. Fac. Auth.
(Eastern Maine Medical Center) 6.375% 10/1/21 (3) 8,000 8,640
Maine Turnpike Rev. 6.00% 7/1/18 (1) 7,000 7,381
-----------
16,021
-----------
MARYLAND (0.7%)
Maryland Health & Educ. Fac. Auth.
(Univ. of Maryland Medical System) 7.00% 7/1/22 (3) 12,025 14,858
-----------
MASSACHUSETTS (6.6%)
Boston MA GO 6.50% 7/1/12 (2) 4,750 5,208
Boston MA Water & Sewer Comm. 7.25% 11/1/06 (5) 2,500 2,578
Lawrence MA GO 4.75% 2/15/14 (2) 1,500 1,414
Massachusetts Consolidated Loan GO 4.50% 11/1/15 (2) 15,000 13,506
Massachusetts Consolidated Loan GO 7.00% 7/1/09 (3) 32,250 38,529
Massachusetts Health & Educ. Fac. Auth. (Boston College) 6.75% 7/1/11 (3) 6,595 7,205
Massachusetts Health & Educ. Fac. Auth. (Falmouth Hosp.) 5.50% 7/1/08 (1) 1,425 1,485
Massachusetts Health & Educ. Fac. Auth. (Lahey Clinic) 7.85% 7/1/03 (1) 3,360 3,926
Massachusetts Health & Educ. Fac. Auth.
(Massachusetts General Hosp.) 6.25% 7/1/12 (2) 19,650 21,812
Massachusetts Housing Finance Agency Rev. 5.95% 10/1/08 (2) 27,485 28,877
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 2,340 2,377
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 (ETM) 8,660 8,803
-----------
135,720
-----------
MICHIGAN (4.1%)
Detroit MI Sewer System Rev. 5.45% 7/1/07 (3) 6,850 7,331
Michigan Hosp. Fin. Auth. Rev. (Mercy Health) 5.375% 8/15/26 (2) 5,000 4,938
Michigan Strategic Fund (Detroit Edison) 7.00% 7/15/08 (1) 18,375 21,863
Michigan Trunk Line Rev. 5.625% 11/1/26 (3) 10,000 10,218
Monroe County MI Econ. Dev. Corp. (Detroit Edison) 6.95% 9/1/22 (3) 25,000 30,781
St. Clair MI Econ. Dev. Corp. PCR (Detroit Edison) 6.40% 8/1/24 (2) 8,000 8,924
-----------
84,055
-----------
</TABLE>
38
<PAGE> 81
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MINNESOTA (0.5%)
Southern Minnesota Muni. Power Agency Supply System Rev. 5.50% 1/1/15 (2) $ 6,120 $ 6,195
Southern Minnesota Muni. Power Agency Supply System Rev. 5.50% 1/1/15 (2)(Prere.) 3,880 4,002
-----------
10,197
-----------
MISSOURI (0.3%)
Missouri Health & Educ. Fac. Auth. (Lester Cox Medical Center) 5.25% 6/1/15 (1) 5,000 5,057
-----------
NEVADA (0.3%)
Clark County NV GO 6.50% 6/1/17 (2) 5,000 5,809
-----------
NEW HAMPSHIRE (0.4%)
New Hampshire Higher Educ. (Hitchcock Clinic) 6.00% 7/1/15 (1) 7,560 7,934
-----------
NEW JERSEY (4.7%)
Atlantic County NJ Public Fac. COP 7.40% 3/1/12 (3) 4,335 5,400
Hoboken-Union City-Weehawken NJ Sewage Auth. 6.25% 8/1/14 (1) 10,185 11,555
Hoboken-Union City-Weehawken NJ Sewage Auth. 6.25% 8/1/15 (1) 10,820 12,261
New Jersey Health Care Fac. Finance Auth.
(St. Clares-Riverside Medical Center) 5.75% 7/1/14 (1) 3,000 3,118
New Jersey Sports & Exposition Auth. 6.50% 3/1/13 (1) 18,795 21,788
New Jersey Turnpike Auth. 6.50% 1/1/13 (1) 30,000 34,742
New Jersey Turnpike Auth. 6.50% 1/1/16 (1) 5,000 5,793
New Jersey Turnpike Auth. VRDO 3.25% 11/5/97 (3) LOC 2,300 2,300
-----------
96,957
-----------
NEW MEXICO (0.9%)
Albuquerque NM Hosp. System (Presbyterian Health) 6.375% 8/1/07 (1) 4,000 4,380
Farmington NM Util. Systems Rev. 5.75% 5/15/13 (3) 3,000 3,107
Santa Fe NM Rev. 6.30% 6/1/24 (2) 5,000 5,532
Univ. of New Mexico Rev. 5.375% 6/1/26 (1) 5,000 5,002
-----------
18,021
-----------
NEW YORK (4.2%)
Metro. NY Transp. Auth. 6.00% 4/1/20 (1) 18,000 19,892
Nassau County NY Combined Sewer Dist. 6.60% 7/15/98 (Prere.) 475 494
New York City NY GO VRDO 3.70% 11/5/97 LOC 7,900 7,900
New York City NY Muni. Water & Sewer System Rev. 7.00% 6/15/09 (2) 1,845 2,022
New York City NY Muni. Water Finance Auth. Water &
Sewer System Rev. VRDO 4.00% 11/4/97 (3) 1,000 1,000
New York City NY VRDO 3.55% 11/5/97 LOC 4,900 4,900
New York Local Govt. Assistance Corp. VRDO 3.60% 11/5/97 LOC 200 200
New York State Medical Care Fac. Finance Agency
(Mental Health Improvement) 6.00% 8/15/15 (1) 5,000 5,272
New York State Thruway Auth. (Highway & Bridge Trust Fund) 6.00% 4/1/06 (2) 11,815 12,924
New York State Thruway Auth. (Highway & Bridge Trust Fund) 6.00% 4/1/07 (2) 16,480 18,108
Suffolk County NY Water Auth. 5.75% 6/1/13 (2) 7,345 7,617
Triborough Bridge & Tunnel Auth. of NY Rev. 6.00% 1/1/14 4,500 4,691
Triborough Bridge & Tunnel Auth. of NY Rev. 6.00% 1/1/15 (2) 1,275 1,329
-----------
86,349
-----------
NORTH CAROLINA (1.1%)
North Carolina Higher Educ. VRDO (Duke Univ.) 3.60% 11/6/97 1,940 1,940
North Carolina Medical Care Rev. (Wake County Hosp.) 5.25% 10/1/17 (1) 14,250 14,076
North Carolina Muni. Power Agency (Catawba Electric) 6.00% 1/1/10 (1) 6,750 7,450
-----------
23,466
-----------
NORTH DAKOTA (1.1%)
Bismarck ND Medical Center 7.50% 5/1/13 (5) 10,000 10,645
Mercer County ND PCR (Basin Electric Power) 6.05% 1/1/19 (2) 10,000 10,605
-----------
21,250
-----------
OHIO (6.1%)
Cleveland OH Airport System Rev. 0.00% 1/1/06 (1) 3,475 2,378
Cleveland OH Public Power System Rev. 7.00% 11/15/16 (1) 5,000 5,663
Cleveland OH School Dist. Board of Educ. GO 5.875% 12/1/11 (3) 4,720 4,949
</TABLE>
39
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
INSURED LONG-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Cleveland OH Water Works Rev. 6.25% 1/1/15 (2) $ 2,500 $ 2,691
Columbus OH Electric System Rev. VRDO 3.60% 12/1/97 LOC 195 195
Cuyahoga County OH Hosp. Refunding and Improvement (Univ. Hosp.) 5.625% 1/15/21 (1) 11,480 11,689
Cuyahoga County OH Hosp. Rev. VRDO (Cleveland Clinic Foundation) 3.70% 11/5/97 LOC 400 400
Franklin County OH Convention Center Rev. 0.00% 12/1/06 (1) 4,355 2,856
Greater Cleveland OH Regional Transp. Auth. GO 5.65% 12/1/16 (3) 5,000 5,155
Northeast Ohio Regional Sewer Dist. Waste Water Improvement Rev. 6.50% 11/15/01 (2) 5,750 6,294
Ohio Air Quality Dev. Auth. PCR (Ohio Edison Project) 7.10% 6/1/18 (3) 6,500 7,027
Ohio Air Quality Dev. Auth. PCR (Ohio Edison Project) 7.45% 3/1/16 (3) 9,500 10,300
Ohio Air Quality Dev. Auth. VRDO (Cincinnati Gas & Electric) 3.95% 11/4/97 LOC 900 900
Ohio GO 7.625% 8/1/09 4,345 5,464
Ohio Water Dev Auth. PCR Water Control Loan Fund Rev. 5.125% 6/1/19 (1)++ 40,750 39,838
Ohio Water Dev Auth. PCR Water Control Loan Fund Rev. 5.50% 12/1/10 (1)++ 3,575 3,757
Ohio Water Dev Auth. PCR Water Control Loan Fund Rev. 5.50% 6/1/12 (1)++ 3,175 3,294
Ohio Water Dev Auth. PCR Water Control Loan Fund Rev. 5.50% 6/1/13 (1)++ 3,420 3,527
Ohio Water Dev Auth. PCR Water Control Loan Fund Rev. 5.50% 6/1/14 (1)++ 7,475 7,674
-----------
124,051
-----------
OKLAHOMA (0.3%)
Grand River Dam Auth. OK 5.75% 6/1/06 (4) 5,800 6,281
-----------
OREGON (1.3%)
Oregon Health, Housing, Educ. & Cultural Fac. (Lewis & Clark College) 6.00% 10/1/13 (1) 2,250 2,412
Oregon Health Sciences Univ. Rev. 5.25% 7/1/25 (1) 8,000 7,930
Portland OR GO Sewer Rev. 5.50% 6/1/17 (1) 15,000 15,214
-----------
25,556
-----------
PENNSYLVANIA (8.1%)
Allegheny County PA Hosp. Auth. (Presbyterian Hosp.) 7.125% 7/1/99 (1)(Prere.) 12,500 13,357
Allegheny County PA Sanitary Auth. 5.50% 12/1/16 (3) 10,000 10,111
Allegheny County PA Sanitary Auth. 6.00% 12/1/19 (1) 20,000 21,349
Armstrong County PA Hosp. Auth. Rev. 6.25% 6/1/13 (2) 18,400 19,852
Lehigh County PA General Purpose Auth. (Lehigh Valley Hosp.) 6.50% 7/1/10 (1) 6,655 7,252
Pennsylvania Convention Center Auth. Rev. 6.00% 9/1/19 (3)(ETM) 10,000 10,981
Pennsylvania Convention Center Auth. Rev. 6.70% 9/1/16 (3)(ETM) 9,970 11,647
Pennsylvania Higher Educ. Fac. Health Service Rev.
(Allegheny-Delaware Valley) 5.875% 11/15/16 (1) 20,000 20,952
Pennsylvania Turnpike Comm. Rev. 6.00% 6/1/15 (1) 1,000 1,048
Philadelphia PA Gas Works Rev. 6.00% 5/15/12 (2) 3,000 3,114
Philadelphia PA Water & Waste Water Rev. 7.00% 6/15/10 (3) 15,000 17,891
Philadelphia PA Water & Waste Water Rev. 7.00% 6/15/11 (3) 16,500 19,713
Pittsburgh PA Water & Sewer System Rev. 7.25% 9/1/14 (3)(ETM) 5,000 6,118
Sayre PA Health Care Fac. Auth. VRDO
(VHA of Pennsylvania, Pooled Capital Asset Funding Program) 3.65% 11/5/97 (2) 2,700 2,700
-----------
166,085
-----------
PUERTO RICO (0.8%)
Puerto Rico Highway and Transp. Rev. 6.00% 7/1/18 (4) 10,850 11,984
Puerto Rico Public Building Auth. 0.00% 7/1/01 (3) 4,150 3,583
-----------
15,567
-----------
RHODE ISLAND (0.3%)
Rhode Island Depositors Econ. Protection Corp. 5.80% 8/1/12 (1) 2,000 2,163
Rhode Island Public Building Auth. 6.00% 2/1/11 (2) 3,805 3,922
-----------
6,085
-----------
SOUTH CAROLINA (3.8%)
Piedmont SC Muni. Power Agency Rev. 5.00% 1/1/18 (3) 23,585 22,685
Piedmont SC Muni. Power Agency Rev. 6.75% 1/1/19 (3) 10,600 12,680
Piedmont SC Muni. Power Agency Rev. 6.75% 1/1/20 (3) 23,515 28,147
Public Service Auth. Rev. of South Carolina 6.25% 1/1/22 (2) 13,000 14,114
-----------
77,626
-----------
SOUTH DAKOTA (0.7%)
South Dakota Health & Educ. Fac. Auth. Rev.(McKennan Hosp.) 7.625% 1/1/08 (1) 10,065 12,451
South Dakota Health & Educ. Fac. Auth. Rev. (McKennan Hosp.) 7.625% 7/1/14 (1) 1,435 1,534
-----------
13,985
-----------
</TABLE>
40
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
TENNESSEE (1.1%)
Health, Educ. & Housing Fac. of Tennessee (Methodist Health System) 5.50% 8/1/12 (1) $ 2,500 $ 2,578
Knox County TN Health, Educ. & Housing Fac. (Fort Sanders Hosp.) 8.00% 1/1/08 (1) 3,000 3,079
Nashville and Davidson County TN Health and Educ. Fac.
(Meharry Medical College) 6.00% 12/1/12 (2) 3,405 3,770
Tennessee Housing Dev. Agency 7.125% 7/1/17 (1) 2,665 2,799
Tennessee School Board Auth. Higher Educ. Fac. 5.50% 5/1/22 (4) 9,500 9,597
-----------
21,823
-----------
TEXAS (8.5%)
Austin TX Combined Util. System Rev. 5.75% 11/15/16 (2) 10,000 10,214
Colorado River Muni. Water Dist. of Texas Rev. 6.00% 1/1/16 (2) 6,000 6,324
Corpus Christi TX Util. System Rev. 7.00% 7/15/10 (3) 7,500 8,129
Gulf Coast TX Waste Disposal Auth. PCR VRDO (Exxon Project) 4.20% 11/4/97 1,500 1,500
Harris County TX Health Fac. Dev. Corp. VRDO (Methodist Hosp.) 4.00% 11/4/97 4,000 4,000
Harris County TX Toll Road VRDO 3.65% 11/5/97 1,600 1,600
Houston TX Public Improvement 7.00% 3/1/08 16,000 18,984
Houston TX Water & Sewer System Rev. 7.00% 12/1/20 (1) 12,280 13,529
Houston TX Water Conveyance System 6.25% 12/15/12 (2) 8,340 9,446
Houston TX Water Conveyance System 6.80% 12/15/10 (2) 5,490 6,514
Houston TX Water Conveyance System 6.80% 12/15/11 (2) 8,910 10,580
Houston TX Water Conveyance System 7.50% 12/15/12 (2) 1,000 1,264
Houston TX Water Conveyance System 7.50% 12/15/13 (2) 1,100 1,396
Lower Colorado River Auth. of Texas Rev. 5.625% 1/1/15 (4)(Prere.) 3,055 3,215
Northeast Hosp. Auth. (Northeast Medical Center) 5.625% 5/15/17 (4) 7,425 7,580
Northeast Hosp. Auth. (Northeast Medical Center) 5.625% 5/15/22 (4) 7,110 7,191
Northeast Hosp. Auth. (Northeast Medical Center) 6.00% 5/15/09 (4) 3,945 4,353
Northeast Hosp. Auth. (Northeast Medical Center) 6.00% 5/15/10 (4) 2,000 2,198
Northeast Hosp. Auth. (Northeast Medical Center) 6.25% 5/15/11 (4) 1,400 1,568
Northeast Hosp. Auth. (Northeast Medical Center) 6.25% 5/15/12 (4) 1,000 1,119
San Antonio TX Electric & Gas System Rev. 0.00% 2/1/06 (3) 18,000 12,171
San Antonio TX Electric & Gas System Rev. 0.00% 2/1/07 (3) 15,000 9,629
Texas TRAN 4.75% 8/31/98 25,000 25,194
Texas Turnpike Auth. of Dallas North Toll (Addison Project) 6.60% 1/1/23 (3) 4,500 5,147
-----------
172,845
-----------
VIRGINIA (0.7%)
Henry County VA Public Service Auth. 6.25% 11/15/19 (3) 1,500 1,609
Norfolk VA Water Dev. 5.90% 11/1/25 (1) 12,150 12,758
-----------
14,367
-----------
WASHINGTON (1.3%)
Snohomish County WA Mukilteo School Dist. 5.60% 12/1/08 (3) 6,960 7,502
Snohomish County WA Mukilteo School Dist. 5.65% 12/1/09 (3) 9,160 9,893
Snohomish County WA Mukilteo School Dist. 5.65% 12/1/10 (3) 3,950 4,257
Snohomish County WA Mukilteo School Dist. 5.70% 12/1/11 (3) 5,000 5,387
-----------
27,039
-----------
WEST VIRGINIA (1.3%)
West Virginia Hosp. Finance Auth. (Charleston Medical Center) 5.75% 9/1/13 (1) 8,000 8,372
West Virginia State Building Comm. Rev. (Jail & Correction Fac.) 7.00% 7/1/11 (1) 7,325 8,819
West Virginia State Building Comm. Rev. (Jail & Correction Fac.) 7.00% 7/1/12 (1) 7,840 9,465
-----------
26,656
-----------
WISCONSIN (0.2%)
Wisconsin Health & Educ. (St. Luke's Medical Center) 7.10% 8/15/11 (1) 4,000 4,466
-----------
WYOMING (0.1%)
Kemmerer WY PCR VRDO (Exxon Project) 4.15% 11/4/97 2,100 2,100
-----------
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $1,868,160) 2,059,740
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
41
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE*
INSURED LONG-TERM PORTFOLIO (000)
- ----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.8%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Other Assets--Note B 47,370
Liabilities (63,991)
-----------
(16,621)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------------------------
Applicable to 163,348,789 outstanding $.001 par value shares
(authorized 350,000,000 shares) $2,043,119
==================================================================================================================================
NET ASSET VALUE PER SHARE $12.51
==================================================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
+Securities with a value of $6,872,000 have been segregated as initial margin
for open futures contracts.
For key to abbreviations and other references, see page 54.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
AT OCTOBER 31, 1997, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,874,045 $11.47
Undistributed Net Investment Income -- --
Overdistributed Net Realized Gains--Note E (18,699) (.11)
Unrealized Appreciation (Depreciation)--Note F
Investment Securities 191,580 1.17
Futures Contracts (3,807) (.02)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,043,119 $12.51
==================================================================================================================================
</TABLE>
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
LONG-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (98.7%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ARIZONA (0.7%)
Scottsdale AZ IDA (Memorial Hosp.) 6.00% 9/1/12 (2) $ 4,000 $ 4,309
Scottsdale AZ IDA (Memorial Hosp.) 6.125% 9/1/17 (2) 4,700 5,080
-----------
9,389
-----------
CALIFORNIA (12.0%)
Anaheim CA Public Finance Auth. 6.00% 9/1/13 (4) 7,000 7,759
Anaheim CA Public Finance Auth. 6.00% 9/1/14 (4) 2,500 2,764
California GO 6.25% 9/1/12 5,000 5,649
California Health Fac. Auth. VRDO (Kaiser Permanente) 3.40% 11/5/97 11,900 11,900
California Housing Finance Auth. VRDO (Catholic Healthcare West) 3.40% 11/5/97 (1) 700 700
California PCR VRDO (Pacific Gas & Electric) 4.10% 11/4/97 LOC 1,000 1,000
California Public Works Rev. (Community College Project) 5.625% 3/1/16 (2) 11,370 11,752
California Public Works Rev. (Dept. of Corrections) 5.625% 11/1/16 (1) 16,675 17,263
California State Dept. of Water (Central Valley Project) 4.75% 12/1/25 3,120 2,824
Culver City CA Redev. Finance Auth. 4.60% 11/1/20 (2) 10,240 9,119
Fresno CA Sewer Rev. 6.25% 9/1/10 (2) 6,395 7,269
Los Angeles County CA COP (Capital Fac. Project) 6.50% 3/1/10 21,815 23,399
San Bernardino CA COP (Capital Fac. Project) 6.875% 8/1/24 (ETM) 18,000 22,210
San Bernardino CA Medical Center COP 5.50% 8/1/19 (1) 11,400 11,430
San Bernardino CA Medical Center COP 5.50% 8/1/24 (1) 14,295 14,294
-----------
149,332
-----------
COLORADO (1.2%)
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/16 (1) 10,185 3,747
E-470 Public Highway Auth. CO Rev. 5.00% 9/1/15 (1) 11,645 11,402
-----------
15,149
-----------
DISTRICT OF COLUMBIA (0.9%)
District of Columbia GO 5.40% 6/1/12 (2) 5,000 5,049
District of Columbia GO 6.75% 6/1/05 (2) 6,140 6,555
-----------
11,604
-----------
FLORIDA (0.5%)
Dade County FL Water & Sewer System Rev. VRDO 3.60% 11/5/97 (3) 5,975 5,975
-----------
GEORGIA (2.8%)
Burke County GA PCR VRDO (Georgia Power Co.) 4.20% 11/4/97 7,800 7,800
College Park GA IDA GO (Civic Center) 7.00% 9/1/10 11,500 13,719
Metro. Atlanta GA Rapid Transit Auth. Rev. 6.25% 7/1/18 12,170 13,742
-----------
35,261
-----------
ILLINOIS (4.7%)
Chicago IL Metro. Water Capital Improvement Rev. 7.00% 1/1/11 20,000 23,844
Chicago IL Public Building Comm. 7.00% 1/1/20 (1)(ETM) 6,000 7,267
Chicago IL Skyway Toll Bridge Rev. 6.50% 1/1/10 7,750 8,689
Illinois Dev. Finance Auth. PCR (Illinois Power Co. Project) 7.40% 12/1/24 (1) 8,150 9,456
Illinois Metro. Pier & Exposition Auth. Rev. 6.75% 6/1/10 (1) 6,000 7,021
Illinois Toll Highway Auth. Rev. VRDO 3.60% 11/5/97 (1)LOC 2,405 2,405
-----------
58,682
-----------
INDIANA (1.9%)
Indiana Health Fac. Finance Auth. Rev. (Ancilla System, Inc.) 5.75% 7/1/15 (1) 4,470 4,574
Indiana State Office Building Comm. Rev. 6.90% 7/1/11 16,875 19,947
-----------
24,521
-----------
LOUISIANA (2.8%)
De Soto Parish LA PCR (Southwestern Electric Power Co.) 7.60% 1/1/19 24,300 27,727
East Baton Rouge LA PCR VRDO (Exxon Project) 4.00% 11/4/97 7,600 7,600
-----------
35,327
-----------
MASSACHUSETTS (7.5%)
Massachusetts Bay Transp. Auth. 7.00% 3/1/21 15,000 18,413
Massachusetts GO 5.75% 5/1/12 7,500 8,061
Massachusetts GO 6.00% 6/1/11 3,500 3,710
Massachusetts GO 6.50% 8/1/01 (Prere.) 3,115 3,417
</TABLE>
43
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
LONG-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Massachusetts GO 6.50% 8/1/11 $ 2,345 $ 2,557
Massachusetts Housing Finance Agency 6.125% 11/15/08 3,500 3,676
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 1,490 1,513
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 (ETM) 5,510 5,601
Massachusetts Water Resources Auth. Rev. 5.50% 11/1/16 (3) 5,000 5,079
Massachusetts Water Resources Auth. Rev. 5.50% 7/15/22 5,000 4,986
Massachusetts Water Resources Auth. Rev. 6.50% 7/15/19 + 32,000 36,960
-----------
93,973
-----------
MICHIGAN (1.6%)
Detroit MI GO 6.375% 4/1/07 10,500 11,437
Grand Rapids MI Tax Increment Rev. (Downtown Project) 6.875% 6/1/24 (1) 7,500 8,511
-----------
19,948
-----------
MISSISSIPPI (1.1%)
Claiborne County MS PCR (Middle South Energy) 9.875% 12/1/14 10,000 10,845
Jackson County MS Port Fac. Rev. VRDO (Chevron USA Inc. Project) 4.20% 11/4/97 2,900 2,900
-----------
13,745
-----------
NEVADA (1.4%)
Clark County NV Building Auth. 5.25% 6/15/16 (3) 7,000 6,975
Humbolt County NV PCR (Idaho Power Co.) 8.30% 12/1/14 9,100 10,862
-----------
17,837
-----------
NEW JERSEY (4.8%)
New Jersey Econ. Dev. Auth. Market Transition Fac. 5.75% 7/1/06 (1) 14,165 15,257
New Jersey Econ. Dev. Auth. Water Fac. VRDO (United Water) 4.00% 11/4/97 (2) 5,000 5,000
New Jersey Health Care Fac. Auth. Rev. (Atlantic City Medical Center) 6.80% 7/1/05 3,500 3,855
New Jersey Sports & Exposition Auth. Rev. 6.50% 3/1/13 10,000 11,569
New Jersey Sports & Exposition Auth. Rev. 6.50% 3/1/19 20,000 21,738
New Jersey Turnpike Auth. Rev. VRDO 3.25% 11/5/97 (3)LOC 2,100 2,100
-----------
59,519
-----------
NEW MEXICO (0.8%)
Farmington NM PCR VRDO (Four Corners Project) 4.00% 11/4/97 LOC 9,700 9,700
-----------
NEW YORK (16.2%)
Babylon NY Waste Water Fac. GO 9.00% 8/1/08 (3) 4,900 6,632
Babylon NY Waste Water Fac. GO 9.00% 8/1/09 (3) 2,800 3,834
Babylon NY Waste Water Fac. GO 9.00% 8/1/10 (3) 4,900 6,776
Metro. NY Transit Auth. Dedicated Petroleum Tax 5.25% 4/1/26 (1) 4,675 4,600
Metro. NY Transit Auth. Dedicated Petroleum Tax 6.00% 4/1/20 (1) 13,665 15,101
Metro. NY Transit Auth. Rev. 5.70% 7/1/17 (1) 8,320 8,619
Metro. NY Transit Auth. Rev. 6.375% 7/1/18 (1) 7,500 8,459
New York City NY GO 5.70% 8/1/07 4,700 4,936
New York City NY GO 5.75% 2/15/07 5,000 5,249
New York City NY GO 5.80% 8/1/08 5,730 6,041
New York City NY GO 5.90% 8/1/09 6,125 6,460
New York City NY GO 6.375% 8/1/04 5,000 5,393
New York City NY GO 7.10% 2/1/02 (1)(Prere.) 5,180 5,822
New York City NY GO 7.10% 2/1/10 (1) 2,320 2,581
New York City NY GO VRDO 3.70% 11/5/97 LOC 1,800 1,800
New York City NY GO VRDO 4.20% 11/4/97 (1) 4,600 4,600
New York City NY Health & Hospital Rev. VRDO (Health System) 3.60% 11/5/97 LOC 2,500 2,500
New York City NY Muni. Water Finance Auth.
Water & Sewer System Rev. 7.00% 6/15/01 (Prere.) 2,520 2,776
New York City NY Muni. Water Finance Auth.
Water & Sewer System Rev. 7.00% 6/15/09 2,480 2,726
New York City NY Muni. Water Finance Auth.
Water & Sewer System Rev. VRDO 4.00% 11/4/97 (3) 4,200 4,200
New York Local Govt. Assistance Corp. Rev. 5.375% 4/1/12 5,275 5,335
New York Local Govt. Assistance Corp. Rev. 5.40% 4/1/13 13,125 13,258
New York Local Govt. Assistance Corp. Rev. 5.40% 4/1/15 5,700 5,719
New York Local Govt. Assistance Corp. Rev. 6.50% 4/1/20 10,000 10,755
New York Local Govt. Assistance Corp. Rev. 6.875% 4/1/19 8,000 8,984
</TABLE>
44
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
New York Medical Care Fac. Auth. Rev. 6.875% 2/15/32 (7) $ 5,000 $ 5,439
New York State Dormitory Auth. Rev. (State Univ.) 5.00% 5/15/14 10,000 9,619
New York State Dormitory Auth. Rev. (State Univ.) 7.50% 5/15/11 18,900 22,819
Triborough Bridge & Tunnel Auth. NY Rev. (General Purpose Rev.) 6.125% 1/1/21 10,000 11,251
-----------
202,284
-----------
NORTH CAROLINA (1.5%)
North Carolina Eastern Muni. Power Agency Rev. 6.50% 1/1/18 (ETM) 4,625 5,389
North Carolina Eastern Muni. Power Agency Rev. 7.50% 1/1/09 (Prere.) 4,935 6,110
North Carolina Medical Care Rev. (Wake County Hosp.) 5.25% 10/1/17 (1) 7,100 7,013
-----------
18,512
-----------
OHIO (3.0%)
Cuyahoga County OH Hosp. Rev. VRDO (Cleveland Clinic Foundation) 3.70% 11/5/97 LOC 1,500 1,500
Franklin County OH Hosp. Rev. (Children's Hosp.) 5.75% 11/1/20 2,945 3,024
Ohio Air Quality Dev. Auth. VRDO
(Cincinnati Gas & Electric Co. Project) 3.95% 11/4/97 LOC 500 500
Ohio GO 4.625% 5/1/98 5,000 5,022
Ohio Turnpike Comm. Rev. 5.50% 2/15/26 (1) 26,650 26,898
-----------
36,944
-----------
OREGON (0.8%)
Portland County OR Sewer System Rev. 5.50% 6/1/17 (1) 10,090 10,234
-----------
PENNSYLVANIA (9.7%)
Allegheny County PA Hosp. Dev. Auth. VRDO
(Children's Hosp. Pittsburgh) 3.60% 11/6/97 (1) 350 350
Allegheny County PA Sanitary Auth. 6.00% 12/1/19 (1) 10,000 10,675
Delaware County PA IDA Resource Recovery (Browning Ferris) 6.10% 7/1/13 10,000 10,687
Pennsylvania GO 6.375% 9/15/09 11,000 11,882
Pennsylvania GO 6.375% 9/15/10 8,820 9,527
Pennsylvania GO 6.375% 9/15/11 5,975 6,452
Pennsylvania GO 6.375% 9/15/12 13,500 14,593
Pennsylvania Higher Educ. Fac. Auth. Rev. VRDO
(Univ. of Pennsylvania Health Service) 3.60% 11/5/97 2,000 2,000
Pennsylvania Hosp. & Higher Educ. Fac. Auth. VRDO (Children's Hosp.) 4.00% 11/4/97 2,300 2,300
Pennsylvania Housing Finance Agency Residential Dev. Rev. 7.50% 7/1/06 3,890 4,191
Philadelphia PA Water & Waste Water Rev. 7.00% 6/15/10 (3) 20,000 23,855
Pittsburgh PA School Dist. 5.50% 9/1/14 (1) 4,715 4,804
Pittsburgh PA Water & Sewer Auth. Rev. 6.50% 9/1/13 (3) 10,000 11,567
Radnor Township PA School Auth. 9.875% 9/15/00 (ETM) 295 321
Sayre PA Health Care Fac. Auth. VRDO
(VHA of Pennsylvania, Pooled Capital Asset Financing Program) 3.65% 11/5/97 (2) 7,600 7,600
-----------
120,804
-----------
PUERTO RICO (1.2%)
Puerto Rico GO 5.00% 7/1/98 5,000 5,039
Puerto Rico Highway and Transp. Rev. 5.00% 7/1/16 (4) 10,605 10,353
-----------
15,392
-----------
SOUTH CAROLINA (1.9%)
Piedmont SC Muni. Power Agency Rev. 6.15% 1/1/07 (1) 4,040 4,513
Piedmont SC Muni. Power Agency Rev. 6.20% 1/1/08 (1) 3,000 3,368
Piedmont SC Muni. Power Agency Rev. 6.50% 1/1/15 (3) 12,210 14,103
Piedmont SC Muni. Power Agency Rev. 6.50% 1/1/15 (3)(ETM) 2,035 2,340
-----------
24,324
-----------
TEXAS (12.5%)
Harris County TX Health Fac. Dev. Rev. VRDO (Methodist Hosp.) 3.70% 11/4/97 5,900 5,900
Harris County TX Health Fac. Dev. Rev. VRDO (St. Luke's Hospital) 4.05% 11/4/97 12,600 12,600
Harris County TX Toll Road VRDO 3.65% 11/5/97 200 200
Houston TX Hotel Occupancy Tax Rev. 5.50% 7/1/11 (4) 21,760 22,301
Houston TX Public Improvement 7.00% 3/1/08 5,000 5,932
Houston TX Water & Sewer System Rev. 6.375% 12/1/01 (2)(Prere.) 360 395
Houston TX Water & Sewer System Rev. 6.375% 12/1/17 (2) 5,640 6,129
North East TX Independent School Dist. 5.00% 2/1/16 6,425 6,267
</TABLE>
45
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
LONG-TERM PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
San Antonio TX Electric & Gas System Rev. 5.00% 2/1/17 $ 14,135 $ 13,709
Southwest TX Higher Educ. Auth. VRDO (Southern Methodist Univ.) 4.20% 11/4/97 LOC 1,500 1,500
Texas City TX IDR (Arco Pipeline Project) 7.375% 10/1/20 17,000 21,541
Texas GO 5.50% 4/1/02 (Prere.) 10,345 11,015
Texas GO 5.50% 4/1/20 4,655 4,692
Texas TRAN 4.75% 8/31/98 10,000 10,078
Texas Water Dev. Board Rev. 5.25% 7/15/17 7,000 6,999
Texas Water Dev. Board Rev. 6.50% 7/15/10 17,425 20,001
Texas Water Dev. Board Rev. 7.05% 8/1/25 5,655 6,433
-----------
155,692
-----------
VIRGINIA (0.5%)
Richmond VA Metro. Expressway Auth. Rev. 6.375% 7/15/16 (3) 5,400 5,879
-----------
WASHINGTON (2.9%)
Washington Dept. of Ecology COP (State Office Building Project) 5.00% 4/1/16 27,820 26,782
Washington GO 5.50% 5/1/18 4,000 4,135
Washington GO 6.75% 2/1/15 3,450 4,076
Washington GO VRDO 3.55% 11/5/97 1,600 1,600
-----------
36,593
-----------
WEST VIRGINIA (0.9%)
West Virginia State Building Comm. Rev. 7.00% 7/1/14 (1) 8,975 10,896
-----------
WISCONSIN (2.9%)
Wisconsin Clean Water Rev. 6.875% 6/1/11 20,500 24,345
Wisconsin GO 6.25% 5/1/09 10,000 11,298
-----------
35,643
-----------
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $1,124,279) 1,233,159
- ----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (1.3%)
- ----------------------------------------------------------------------------------------------------------------------------------
Other Assets--Note B 19,618
Liabilities (3,640)
-----------
15,978
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------------------------
Applicable to 111,701,669 outstanding $.001 par value shares
(authorized 350,000,000 shares) $1,249,137
==================================================================================================================================
NET ASSET VALUE PER SHARE $11.18
==================================================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
+Securities with a value of $2,541,000 have been segregated as initial margin
for open futures contracts.
For key to abbreviations and other references, see page 54.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
AT OCTOBER 31, 1997, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $1,149,286 $10.29
Undistributed Net Investment Income -- --
Overdistributed Net Realized Gains--Note E (9,100) (.08)
Unrealized Appreciation--Note F
Investment Securities 108,880 .97
Futures Contracts 71 --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $1,249,137 $11.18
==================================================================================================================================
</TABLE>
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
HIGH-YIELD PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (100.7%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ALASKA (0.2%)
Alaska Housing Finance Corp. VRDO 3.65% 11/5/97 $ 1,790 $ 1,790
North Slope Borough AK GO 7.50% 6/30/01 (4) 3,000 3,331
-----------
5,121
-----------
ARIZONA (1.8%)
Board of Regents Rev. (Univ. of Arizona) 6.20% 6/1/16 26,660 30,153
Pima County AZ IDA Rev. (La Cholla Project) 8.50% 7/1/20 + 6,650 6,889
Scottsdale AZ IDA Hosp. Rev. VRDO
(Scottsdale Memorial Health Systems) 3.60% 11/5/97 (2) 3,600 3,600
-----------
40,642
-----------
ARKANSAS (0.2%)
North Little Rock AR Electric System Rev. 6.50% 7/1/15 (1) 3,450 3,986
-----------
CALIFORNIA (12.7%)
California Educ. Fac. Auth. (Univ. of Southern California) 5.70% 10/1/15 6,000 6,287
California GO 4.75% 9/1/23 (3) 10,000 9,061
California Health Fac. Finance Auth. VRDO (Catholic Health Care West) 3.40% 11/5/97 (1) 1,500 1,500
California Health Fac. Finance Auth. VRDO (Kaiser Permanente) 3.40% 11/5/97 10,800 10,800
California PCP VRDO (Pacific Gas & Electric Project) 4.10% 11/4/97 LOC 200 200
California PCP VRDO (Pacific Gas & Electric Project) 4.15% 11/4/97 500 500
California Public Works Rev. (Community College Project) 5.375% 3/1/10 3,555 3,664
California Public Works Rev. (Community College Project) 5.375% 3/1/11 3,905 3,993
California Public Works Rev. (Community College Project) 5.375% 3/1/12 4,265 4,331
California Public Works Rev. (Community College Project) 7.00% 3/1/04 (Prere.) 14,275 16,609
California Public Works Rev. (Dept. of Corrections) 5.375% 11/1/13 7,820 7,907
California Public Works Rev. (Univ. Project) 6.40% 12/1/16 (2) 8,450 9,450
Irvine CA Ranch Water Dist. VRDO 3.60% 11/4/97 LOC 200 200
Orange County CA Airport Rev. 5.375% 7/1/08 (1) 5,745 6,037
Orange County CA Airport Rev. 5.50% 7/1/04 (1) 3,555 3,762
Orange County CA Airport Rev. 6.00% 7/1/01 (1) 7,245 7,686
Orange County CA Airport Rev. 6.00% 7/1/05 (1) 4,020 4,388
Orange County CA Airport Rev. 6.00% 7/1/06 (1) 4,565 5,010
Orange County CA Airport Rev. 6.00% 7/1/07 (1) 3,135 3,456
Sacramento CA Finance Auth. Lease Rev. 5.40% 11/1/20 12,565 12,781
Sacramento County CA Sanitation Dist. Rev. 4.75% 12/1/23 9,000 8,151
San Bernardino County CA COP (Capital Fac. Project) 6.875% 8/1/24 (ETM) 25,220 31,118
San Bernardino County CA COP (Medical Center Funding) 4.75% 8/1/28 10,425 9,049
San Bernardino County CA COP (Medical Center Funding) 7.00% 8/1/20 12,180 14,605
San Joaquin Hills CA Transp. Agency Rev. 0.00% 1/1/01 7,340 6,423
San Joaquin Hills CA Transp. Agency Rev. 0.00% 1/1/02 14,000 11,697
San Joaquin Hills CA Transp. Agency Rev. 0.00% 1/15/09 (1) 4,095 2,362
San Joaquin Hills CA Transp. Agency Rev. 0.00% 1/15/15 (1) 3,500 2,268
San Joaquin Hills CA Transp. Agency Rev. 0.00% 1/15/16 22,500 14,090
San Joaquin Hills CA Transp. Agency Rev. 0.00% 1/15/17 20,000 12,468
San Joaquin Hills CA Transp. Agency Rev. 5.50% 1/15/28 27,835 27,469
Southern California Public Power Auth. Rev. 6.00% 7/1/18 3,985 4,061
Univ. of California Hosp. (Medical Center) 6.00% 7/1/26 (2) 10,260 10,826
Vallejo CA Sanitation & Flood Control COP 5.00% 7/1/19 (3) 15,000 14,555
-----------
286,764
-----------
COLORADO (3.0%)
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/03 (1) 8,200 6,343
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/06 (1) 22,000 14,595
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/07 (1) 12,500 7,878
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/08 (1) 14,000 8,330
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/09 (1) 16,195 9,080
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/10 (1) 7,185 3,788
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/12 (1) 26,795 12,513
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/13 (1) 5,000 2,201
</TABLE>
47
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
HIGH-YIELD PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/14 (1) $ 5,000 $ 2,073
E-470 Public Highway Auth. CO Rev. 0.00% 9/1/15 (1) 5,000 1,957
-----------
68,758
-----------
DISTRICT OF COLUMBIA (4.4%)
District of Columbia GO 5.50% 6/1/98 20,000 20,163
District of Columbia VRDO (George Washington Univ.) 3.85% 11/5/97 LOC 31,500 31,500
Metro. Washington D.C. Airport Auth. Rev. 5.50% 10/1/09 (3) 6,795 7,116
Metro. Washington D.C. Airport Auth. Rev. 5.50% 10/1/10 (3) 7,270 7,547
Metro. Washington D.C. Airport Auth. Rev. 5.50% 10/1/24 (1) 10,630 10,526
Metro. Washington D.C. Airport Auth. Rev. 5.70% 10/1/07 (1) 12,900 13,772
Metro. Washington D.C. Airport Auth. Rev. 5.875% 10/1/15 (1) 8,400 8,730
-----------
99,354
-----------
FLORIDA (7.3%)
Citrus County FL PCR (Florida Power Corp.) 6.35% 2/1/22 6,500 6,938
Dade County FL Aviation Rev. (Miami International Airport) 5.50% 10/1/02 (4) 4,270 4,470
Dade County FL Aviation Rev. (Miami International Airport) 5.75% 10/1/03 (4) 17,950 19,075
Dade County FL Aviation Rev. (Miami International Airport) 5.75% 10/1/04 (4) 11,850 12,627
Dade County FL Aviation Rev. (Miami International Airport) 5.75% 10/1/05 (4) 7,490 7,994
Dade County FL Water & Sewer System Rev. VRDO 3.60% 11/5/97 (3) 3,850 3,850
Florida Dept. of General Services
(Dept. of Environmental Protection Preservation) 5.75% 7/1/08 (2) 18,590 20,316
Florida Dept. of General Services
(Dept. of Environmental Protection Preservation) 6.00% 7/1/03 (2) 15,980 17,332
Florida Dept. of General Services
(Dept. of Environmental Protection Preservation) 6.00% 7/1/04 (2) 10,815 11,805
Orange County FL School Master Lease COP 6.00% 8/1/08 (1) 11,580 12,858
Orange County FL School Master Lease COP 6.00% 8/1/09 (1) 12,255 13,556
Orange County FL School Master Lease COP 6.00% 8/1/10 (1) 12,825 14,081
Orlando FL Util. Comm. Rev. 6.75% 10/1/17 2,200 2,654
Palm Beach County FL Auth. Rev. 6.00% 10/1/07 (2) 10,850 12,076
Tarpon Springs FL Health Fac. Auth. Rev. (Tarpon Springs Hosp.) 8.75% 5/1/12 4,000 4,141
-----------
163,773
-----------
GEORGIA (2.0%)
Burke County GA Dev. Auth. PCR VRDO (Oglethorpe Power Co.) 3.60% 11/5/97 (3) 40 40
Burke County GA PCR VRDO (Georgia Power Co.) 4.00% 11/4/97 300 300
Cartersville GA Water & Waste Water Fac. (Anheuser-Busch Cos., Inc.) 7.40% 11/1/10 5,000 6,117
Dalton County GA Dev. Auth. (Hamilton Health Care System) 5.50% 8/15/17 (1) 5,000 5,158
Dalton County GA Dev. Auth. (Hamilton Health Care System) 5.50% 8/15/26 (1) 12,000 12,333
Muni. Electric Auth. of Georgia Rev. 6.60% 1/1/18 (1) 5,000 5,843
Savannah GA Hosp. Auth. Rev. (Candler Hosp.) 7.00% 1/1/23 13,000 13,700
-----------
43,491
-----------
HAWAII (1.1%)
Hawaii GO 6.25% 3/1/07 (3) 5,000 5,588
Hawaii Harbor Capital Improvement Rev. 5.50% 7/1/27 (1) 18,500 18,365
-----------
23,953
-----------
ILLINOIS (5.0%)
Chicago IL Public Building Comm. 7.00% 1/1/15 (1)(ETM) 10,000 11,719
Chicago IL Public Building Comm. 7.00% 1/1/20 (1)(ETM) 10,000 12,111
Chicago IL Skyway Toll Bridge Rev. 6.75% 1/1/04 (Prere.) 10,000 11,398
Chicago IL Skyway Toll Bridge Rev. 6.75% 1/1/04 (Prere.) 18,185 20,727
Cook County IL GO 6.60% 11/15/22 (1) 12,000 13,455
Illinois Dev. Finance Auth. Rev. (Regency Park Project) 10.25% 4/15/19 # 6,500 5,265
Illinois Dev. Finance Auth. Rev. (Regency Park Project) 10.625% 4/15/20 # 6,000 4,860
Illinois Dev. Finance Auth. Rev. PCR (Illinois Power Co. Project) 7.40% 12/1/24 (1) 20,000 23,206
Illinois Health Fac. Auth. Certificate of Beneficial Interest
(Adventist Living Centers) -- -- # 770 69
Illinois Health Fac. Auth. Rev. (United Medical Center) 8.125% 7/1/03 (Prere.) 2,565 2,909
Illinois Toll Highway Auth. Rev. 6.30% 1/1/11 5,000 5,575
Loves Park IL First Mortgage Rev. (Hoosier Care) 9.75% 8/1/19 1,520 1,624
-----------
112,918
-----------
</TABLE>
48
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INDIANA (3.2%)
Indiana Educ. Fac. Auth. VRDO (Univ. of Notre Dame Du Lac Project) 3.55% 11/6/97 $ 2,300 $ 2,300
Indiana Health Fac. Finance Auth. Rev. (Ancilla System, Inc.) 7.375% 7/1/23 19,400 23,263
Indiana State Office Building Comm. Rev. 6.90% 7/1/11 + 15,660 18,511
Indianapolis IN Local Public Improvement Bond Bank 6.75% 2/1/14 21,500 25,306
Indianapolis IN Local Public Improvement Bond Bank 6.75% 2/1/20 2,500 2,761
-----------
72,141
-----------
IOWA (0.5%)
Des Moines IA Rev. (Des Moines General Hosp.) 8.25% 11/15/11 9,620 10,345
-----------
KENTUCKY (1.0%)
Jefferson County KY (Jewish Hosp. Health) 5.65% 1/1/17 (2) 8,000 8,184
Jefferson County KY (Jewish Hosp. Health) 5.70% 1/1/21 (2) 10,000 10,291
Kentucky Property & Buildings Comm. Rev. 5.80% 9/1/06 3,100 3,304
-----------
21,779
-----------
LOUISIANA (1.1%)
Iberia Parish LA Hosp. Services Dist. 8.00% 5/26/16 6,250 6,566
Louisiana Health Educ. Auth. (Lambeth House Project) 8.75% 10/1/17 12,295 13,793
West Feliciana Parish LA PCR (Gulf States Util.) 9.00% 5/1/15 4,000 4,485
-----------
24,844
-----------
MARYLAND (0.2%)
Hagerstown MD Energy Finance Administration Recycling Rev.
(Hagerstown Fiber Project) 9.00% 10/15/16 17,500 5,250
-----------
MASSACHUSETTS (7.2%)
Massachusetts Consolidated Loan 4.50% 11/1/15 (2) 14,620 13,164
Massachusetts Consolidated Loan 5.75% 5/1/12 (2) 5,000 5,385
Massachusetts GO 6.00% 6/1/11 14,750 15,634
Massachusetts Industrial Finance Agency
(Massachusetts Recycling Assoc.) 9.00% 8/1/16 # 17,000 6,460
Massachusetts Industrial Finance Agency (Refusetech Inc. Project) 6.30% 7/1/05 34,500 37,142
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 2,335 2,371
Massachusetts Turnpike Auth. BAN 5.00% 6/1/99 (ETM) 8,665 8,808
Massachusetts Water Resources Auth. Rev. 5.50% 7/15/22 22,420 22,358
Massachusetts Water Resources Auth. Rev. 6.50% 7/15/19 43,700 50,473
-----------
161,795
-----------
MICHIGAN (4.3%)
Detroit MI GO 6.25% 4/1/05 13,000 14,088
Detroit MI GO 6.375% 4/1/06 8,635 9,428
Dickinson County MI Memorial Hosp. System Rev. 7.625% 11/1/05 1,150 1,264
Dickinson County MI Memorial Hosp. System Rev. 8.00% 11/1/14 5,700 6,402
Michigan Hosp. Finance Auth. Rev. (Genesys Health System) 7.50% 10/1/27 6,620 7,476
Michigan Hosp. Finance Auth. Rev. (Genesys Health System) 8.10% 10/1/13 5,000 5,917
Michigan Hosp. Finance Auth. Rev. (Genesys Health System) 8.125% 10/1/21 15,000 17,747
Michigan Housing Dev. Auth. Rev. 6.30% 4/1/04 6,500 6,878
Michigan Public Power Agency Rev. (Belle River Project) 5.50% 1/1/13 27,000 27,220
-----------
96,420
-----------
MINNESOTA (0.3%)
Washington County MN Housing & Redev. Auth. Rev.
(Woodland Park Project) 0.00% 5/1/20 35,070 2,149
Washington County MN Housing & Redev. Auth. Rev.
(Woodland Park Project) 9.75% 5/1/20 5,000 4,750
-----------
6,899
-----------
MISSISSIPPI (1.0%)
Claiborne County MS PCR (Middle South Energy) 9.875% 12/1/14 21,000 22,775
-----------
MISSOURI (0.6%)
Missouri Health & Educ. Fac. Auth. VRDO
(Sisters of Mercy Health Care System) 3.60% 11/5/97 4,300 4,300
</TABLE>
49
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
HIGH-YIELD PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Missouri Health & Educ. Fac. Auth. VRDO (Washington Univ.) 4.20% 11/4/97 $ 1,700 $ 1,700
St. Luke Mission Health System MO 5.375% 11/15/16 (1) 8,000 8,003
-----------
14,003
-----------
NEVADA (0.2%)
Clark County NV Airport System Refunding Rev. VRDO
(McCarren International Airport) 3.60% 11/5/97 (1) 4,900 4,900
-----------
NEW HAMPSHIRE (0.3%)
New Hampshire Health & Higher Educ. Rev. (Catholic Medical Center) 6.00% 7/1/17 6,580 6,601
-----------
NEW JERSEY (1.6%)
New Jersey Econ. Dev. Auth. Market Transition Fac. 5.875% 7/1/11 (1) 8,000 8,522
New Jersey Sports & Exposition Auth. Rev. 6.50% 3/1/13 15,000 17,353
New Jersey Transp. Trust 6.00% 6/15/11 (1) 10,000 10,953
-----------
36,828
-----------
NEW YORK (12.4%)
Metro. NY Transit Auth. Rev. 6.00% 4/1/20 (1) 18,000 19,892
Metro. NY Transit Auth. Rev. 6.375% 7/1/04 (1)(Prere.) 25,690 28,976
Metro. NY Transit Auth. Rev. 7.375% 7/1/08 22,870 26,758
New York City NY GO 5.90% 8/1/09 5,150 5,431
New York City NY GO VRDO 3.70% 11/5/97 LOC 300 300
New York City NY Muni. Water Finance Auth. Water & Sewer
System Rev. 5.50% 6/15/20 25,000 24,680
New York State Energy Research & Dev. Auth. PCR VRDO
(New York Electric & Gas) 3.95% 11/4/97 LOC 9,285 9,285
New York State Dormitory Auth. Rev. (City Univ.) 5.50% 7/1/01 ++ 1,955 1,999
New York State Dormitory Auth. Rev. (City Univ.) 5.50% 7/1/02 ++ 3,050 3,127
New York State Dormitory Auth. Rev. (City Univ.) 5.50% 7/1/03 ++ 1,000 1,026
New York State Dormitory Auth. Rev. (City Univ.) 5.50% 7/1/04 ++ 500 514
New York State Dormitory Auth. Rev. (City Univ.) 5.50% 7/1/05 ++ 1,000 1,028
New York State Dormitory Auth. Rev. (City Univ.) 5.50% 7/1/06 ++ 500 514
New York State Dormitory Auth. Rev. (City Univ.) 6.375% 7/1/08 3,150 3,367
New York State Dormitory Auth. Rev. (City Univ.) 7.50% 7/1/10 5,500 6,657
New York State Dormitory Auth. Rev. (State Univ.) 5.375% 5/15/07 (2) 2,100 2,223
New York State Dormitory Auth. Rev. (State Univ.) 7.50% 5/15/13 11,500 14,267
New York State Local Govt. Assistance Corp. Rev. 6.00% 4/1/16 6,400 6,831
New York State Local Govt. Assistance Corp. Rev. 6.50% 4/1/20 16,110 17,327
New York State Local Govt. Assistance Corp. Rev. 7.00% 4/1/10 6,320 7,006
New York State Local Govt. Assistance Corp. Rev. VRDO 3.65% 11/5/97 LOC 15,600 15,600
New York State Power Auth. Rev. 6.50% 1/1/19 26,250 28,564
Port Auth. of New York & New Jersey Special Obligation Rev.
(JFK International Airport) 6.00% 12/1/05 (1) 7,500 8,186
Port Auth. of New York & New Jersey Special Obligation Rev.
(JFK International Airport) 6.00% 12/1/06 (1) 9,000 9,863
Port Auth. of New York & New Jersey Special Obligation Rev.
(JFK International Airport) 6.00% 12/1/07 (1) 5,000 5,500
Port Auth. of New York & New Jersey Special Obligation Rev.
(JFK International Airport) 6.25% 12/1/08 (1) 4,000 4,487
Triborough Bridge & Tunnel Auth. NY Rev. (Convention Center Project) 7.25% 1/1/10 13,500 15,983
Triborough Bridge & Tunnel Auth. NY Rev. (General Purpose Rev.) 5.50% 1/1/17 10,000 10,410
-----------
279,801
-----------
NORTH CAROLINA (1.4%)
Charlotte NC Airport Refunding Rev. VRDO 3.60% 11/5/97 (1) 1,395 1,395
New Hanover County NC Hosp. Rev. (Regional Medical Center) 5.75% 10/1/16 (2) 12,500 12,961
North Carolina Eastern Muni. Power Agency Rev. 5.00% 1/1/20 (ETM) 10,385 10,161
North Carolina Eastern Muni. Power Agency Rev. 6.50% 1/1/18 (ETM) 6,665 7,766
-----------
32,283
-----------
OHIO (1.9%)
Butler County OH Transp. Improvement Dist. Rev. 5.125% 4/1/17 (4)++ 5,000 4,883
Butler County OH Transp. Improvement Dist. Rev. 5.50% 4/1/09 (4)++ 3,000 3,175
</TABLE>
50
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<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Columbus OH VRDO 3.55% 11/6/97 $ 200 $ 200
Cuyahoga County OH Hosp. Rev. VRDO (Cleveland Clinic) 3.70% 11/5/97 LOC 535 535
Hamilton County OH Hosp. Fac. Rev. VRDO (Bethesda Hosp.) 3.50% 11/6/97 LOC 1,000 1,000
Lucas County OH Hosp. Fac. Rev. (Flower Memorial Hosp.) 8.125% 12/1/11 8,900 10,328
Ohio GO (Highway Obligation) 4.50% 5/15/98 11,400 11,446
Scioto County OH Marine Terminal Fac. VRDO (Norfolk Southern Corp.) 5.40% 11/5/97 12,000 12,000
-----------
43,567
-----------
OKLAHOMA (0.6%)
Jackson County OK Memorial Hosp. Auth. Rev. (Jackson Memorial) 6.75% 8/1/04 4,700 4,840
Jackson County OK Memorial Hosp. Auth. Rev. (Jackson Memorial) 7.30% 8/1/15 4,000 4,279
Norman OK Regional Hosp. Auth. 5.625% 9/1/16 (1) 4,510 4,607
-----------
13,726
-----------
OREGON (1.3%)
Oregon State Department Administrative Services 5.70% 5/1/16 (2) 4,290 4,447
Oregon Veterans Welfare Program VRDO 3.65% 11/5/97 LOC 1,100 1,100
Port Auth. of Portland OR Airport Rev. 5.625% 7/1/26 (3) 9,000 9,096
Portland County OR Sewer System Rev. 5.50% 6/1/17 (1) 15,000 15,214
-----------
29,857
-----------
PENNSYLVANIA (8.7%)
Allegheny County PA Airport Rev. (Pittsburgh International Airport) 5.75% 1/1/11 (1) 5,000 5,323
Allegheny County PA Sanitary Auth. 6.00% 12/1/19 (1) 14,630 15,617
Delaware County PA IDA (Browning Ferris) 6.10% 7/1/13 19,000 20,305
Langhorne PA Higher Educ. & Health Auth. Rev. (Lower Bucks Hosp.) 7.30% 7/1/12 4,500 4,754
Langhorne PA Higher Educ. & Health Auth. Rev. (Lower Bucks Hosp.) 7.35% 7/1/22 13,200 13,976
Montgomery County PA Higher Educ. & Health Auth. Rev.
(Brittany Point Project) 8.50% 1/1/03 (Prere.) 5,000 5,991
Pennsylvania Convention Center Auth. Rev. 6.60% 9/1/09 (4) 2,500 2,814
Pennsylvania Convention Center Auth. Rev. 6.70% 9/1/14 (4) 3,500 3,947
Pennsylvania Convention Center Auth. Rev. 6.75% 9/1/19 (4) 3,695 4,180
Pennsylvania Econ. Dev. Auth. Rev. (Colver Project) 7.05% 12/1/10 2,500 2,743
Pennsylvania Econ. Dev. Auth. Rev. (Colver Project) 7.125% 12/1/15 14,000 15,423
Pennsylvania Higher Educ. Fac. Auth. Rev. VRDO
(Univ. of Pennsylvania) 3.60% 11/5/97 3,400 3,400
Pennsylvania Housing Finance Agency Rev. 7.60% 7/1/13 10,000 10,753
Philadelphia PA Hosp. & Higher Educ. Fac. Auth. Rev.
(Children's Seashore Hosp.) 7.00% 8/15/12 3,540 3,872
Philadelphia PA Hosp. & Higher Educ. Fac. Auth. Rev.
(Children's Seashore Hosp.) 7.00% 8/15/17 1,000 1,091
Philadelphia PA Hosp. & Higher Educ. Fac. Auth. Rev.
(Children's Seashore Hosp.) 7.00% 8/15/22 500 543
Philadelphia PA Hosp. & Higher Educ. Fac. Auth. Rev. (Methodist Hosp.) 7.75% 7/1/04 (Prere.) 12,290 14,756
Philadelphia PA Hosp. & Higher Educ. Fac. Auth. Rev.
(Roxborough Memorial Hosp.) 7.25% 3/1/24 9,800 10,045
Philadelphia PA Muni. Auth. Rev. 6.125% 7/15/08 4,000 4,217
Philadelphia PA Muni. Auth. Rev. 6.25% 7/15/13 5,785 6,050
Philadelphia PA Muni. Auth. Rev. 6.30% 7/15/17 1,750 1,830
Philadelphia PA Muni. Auth. Rev. 8.625% 11/15/16 1,385 1,549
Philadelphia PA Water & Waste Water Rev. 7.00% 6/15/11 (3) 21,500 25,686
Scranton-Lackawanna PA Health & Welfare (Moses Taylor Hosp.) 8.50% 7/1/01 (Prere.) 14,375 16,677
-----------
195,542
-----------
PUERTO RICO (0.5%)
Puerto Rico GO 5.00% 7/1/98 10,600 10,683
-----------
RHODE ISLAND (0.5%)
Rhode Island Convention Center Auth. Rev. 5.75% 5/15/20 (2) 5,000 5,169
Rhode Island Public Building Auth. 5.25% 2/1/10 (2) 5,000 5,051
-----------
10,220
-----------
SOUTH CAROLINA (0.3%)
Piedmont SC Muni. Power Agency Rev. 6.25% 1/1/21 (3) 6,640 7,512
-----------
</TABLE>
51
<PAGE> 94
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
FACE MARKET
MATURITY AMOUNT VALUE*
HIGH-YIELD PORTFOLIO COUPON DATE (000) (000)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
TEXAS (9.6%)
Austin TX Airport System Rev. 6.125% 11/15/25 (1) $ 38,000 $ 40,022
Austin TX Airport System Rev. 6.45% 11/15/20 17,040 18,615
Austin TX Water, Sewer & Electric Rev. 14.00% 11/15/01 200 244
Harris County TX Hosp. Dist. Rev. 7.40% 2/15/10 (2) 17,500 20,781
Harris County TX Improvement GO 0.00% 10/1/13 (1) 9,630 4,156
Harris County TX Toll Road 6.25% 8/15/15 (1) 5,000 5,606
Harris County TX Toll Road VRDO 3.65% 11/5/97 5,200 5,200
Hidalgo County TX Health Mission Hosp. 6.875% 8/15/26 7,880 8,453
Houston TX Water & Sewer System Rev. 0.00% 12/1/11 (2) 24,810 11,958
Houston TX Water & Sewer System Rev. 6.375% 12/1/01 (2)(Prere.) 290 319
Houston TX Water & Sewer System Rev. 6.375% 12/1/17 (2) 4,530 4,922
North Central TX Health Fac. Dev. Corp. VRDO
(Presbyterian Medical Center) 4.05% 11/4/97 (1) 200 200
Odessa TX Junior College Dist. Rev. 8.125% 12/1/18 10,000 11,357
San Antonio TX Electric & Gas Rev. 5.00% 2/1/17 3,500 3,395
Texas GO 5.50% 4/1/02 (Prere.) 27,375 29,148
Texas GO 5.50% 4/1/20 12,675 12,777
Texas Muni. Power Agency Rev. 0.00% 9/1/06 6,205 4,081
Texas TRAN 4.75% 8/31/98 20,000 20,155
Texas Turnpike Auth. Rev. 5.50% 1/1/15 (3) 14,605 14,969
-----------
216,358
-----------
UTAH (0.9%)
Intermountain Power Agency UT Power Supply Rev. 5.70% 7/1/17 (1) 12,000 12,341
Intermountain Power Agency UT Power Supply Rev. 5.75% 7/1/19 (1) 8,000 8,296
-----------
20,637
-----------
VIRGINIA (0.9%)
Alexandria VA Redev. & Housing Auth. Rev. (Portals West Project) 9.50% 7/15/20 ## 9,680 6,098
Chesterfield County VA Mortgage Rev. (Brandermill Woods Project) 0.00% 7/1/17 2,600 26
Chesterfield County VA Mortgage Rev. (Brandermill Woods Project) 0.00% 7/1/18 2,600 26
Chesterfield County VA Mortgage Rev. (Brandermill Woods Project) 0.00% 7/1/19 2,600 26
Chesterfield County VA Mortgage Rev. (Brandermill Woods Project) 0.00% 7/1/20 2,600 26
Chesterfield County VA Mortgage Rev. (Brandermill Woods Project) 0.00% 7/1/21 2,600 26
Chesterfield County VA Mortgage Rev. (Brandermill Woods Project) 10.25% 7/1/15 ## 8,000 5,760
Chesterfield County VA Mortgage Rev. (Brandermill Woods Project) 10.625% 7/1/16 ## 10,400 7,488
-----------
19,476
-----------
WASHINGTON (2.0%)
Chelan County WA Public Util. Dist. (Rock Island Hydro Project) 0.00% 6/1/09 (1) 7,950 4,487
Chelan County WA Public Util. Dist. (Rock Island Hydro Project) 0.00% 6/1/10 (1) 19,550 10,374
Chelan County WA Public Util. Dist. (Rock Island Hydro Project) 0.00% 6/1/11 (1) 11,400 5,676
Chelan County WA Public Util. Dist. (Rock Island Hydro Project) 0.00% 6/1/12 (1) 19,650 9,229
Port Auth. of Seattle WA GO 5.75% 5/1/14 15,600 15,990
Washington GO VRDO 3.55% 11/5/97 300 300
-----------
46,056
-----------
WEST VIRGINIA (0.4%)
West Virginia State Building Comm. Rev. 7.00% 7/1/13 (1) 8,390 10,166
-----------
WYOMING (0.1%)
Kemmerer WY PCR VRDO (Exxon Project) 4.15% 11/4/97 1,400 1,400
Lincoln County WY PCR VRDO (Exxon Project) 4.20% 11/4/97 700 700
-----------
2,100
-----------
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS
(COST $2,124,612) 2,271,324
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
52
<PAGE> 95
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
MARKET
VALUE*
(000)
- ----------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES (-0.7%)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C>
Other Assets--Note B 39,139
Liabilities (54,891)
-----------
(15,752)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS (100%)
- ----------------------------------------------------------------------------------------------------------------------------------
Applicable to 208,258,512 outstanding $.001 par value shares
(authorized 550,000,000 shares) $2,255,572
==================================================================================================================================
NET ASSET VALUE PER SHARE $10.83
==================================================================================================================================
</TABLE>
*See Note A in Notes to Financial Statements.
+Securities with an aggregate value of $5,760,000 have been segregated as
initial margin for open futures contracts.
For key to abbreviations and other references, see page 54.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
AT OCTOBER 31, 1997, NET ASSETS CONSISTED OF:
- ----------------------------------------------------------------------------------------------------------------------------------
AMOUNT PER
(000) SHARE
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Paid in Capital $2,127,518 $10.22
Undistributed Net Investment Income -- --
Accumulated Net Realized Losses--Note E (10,746) (.05)
Unrealized Appreciation (Depreciation)--Note F
Investment Securities 146,712 .70
Futures Contracts (7,912) (.04)
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $2,255,572 $10.83
==================================================================================================================================
</TABLE>
53
<PAGE> 96
KEY TO ABBREVIATIONS
BAN--Bond Anticipation Note.
COP--Certificate of Participation.
CP--Commercial Paper.
GO--General Obligation Bond.
IDA--Industrial Development Authority Bond.
IDR--Industrial Development Revenue Bond.
PCR--Pollution Control Revenue Bond.
PUT--Put Option Obligation.
RAN--Revenue Anticipation Note.
TAN--Tax Anticipation Note.
TOB--Tender Option Bond.
TRAN--Tax Revenue Anticipation Note.
VRDO--Variable Rate Demand Obligation.
(ETM)--Escrowed to Maturity.
(Prere.)--Prerefunded.
#Non-Income-Producing Security--Interest Payments in Default.
##Only partial interest was paid on the last interest payment date.
++Security purchased on a when-issued or delayed delivery basis for which the
Portfolio has not taken delivery as of October 31, 1997.
Scheduled principal and interest payments are guaranteed by:
(1) MBIA (Municipal Bond Insurance Association).
(2) AMBAC (AMBAC Indemnity Corporation).
(3) FGIC (Financial Guaranty Insurance Company).
(4) FSA (Financial Security Assurance).
(5) BIGI (Bond Investors Guaranty Insurance).
(6) Connie Lee Inc.
(7) FHA (Federal Housing Authority).
(8) CapMAC (Capital Markets Assurance Corporation).
The insurance does not guarantee the market value of the municipal bonds.
LOC--Scheduled principal and interest payments are guaranteed by bank letter of
credit.
54
<PAGE> 97
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Directors of
Vanguard Municipal Bond Fund
In our opinion, the accompanying statements of net assets and the related
statements of operations and of changes in net assets and the financial
highlights appearing in the Annual Report to Shareholders present fairly, in
all material respects, the financial position of Money Market Portfolio,
Short-Term Portfolio, Limited-Term Portfolio, Intermediate-Term Portfolio,
Insured Long-Term Portfolio, Long-Term Portfolio, and High-Yield Portfolio
(separate portfolios of Vanguard Municipal Bond Fund, hereafter referred to as
the "Fund") at October 31, 1997, the results of each of their operations for
the two periods then ended, the changes in each of their net assets for each of
the two periods then ended and the financial highlights for each of the six
periods then ended, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 1997 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where securities purchased had not been settled, provide a reasonable basis for
the opinion expressed above.
PRICE WATERHOUSE LLP
Thirty South Seventeenth Street
Philadelphia, Pennsylvania 19103
December 3, 1997
55
<PAGE> 98
SPECIAL 1997 TAX INFORMATION (UNAUDITED) VANGUARD MUNICIPAL BOND FUND
This information for the two months ended October 31, 1997, is included
pursuant to provisions of the Internal Revenue Code.
The Short-Term and Intermediate-Term Portfolios designate $7,000 and
$xx,000, respectively, as capital gain dividends (from net long-term capital
gains), which, along with capital gains realized through August 31, 1997, will
be distributed in December 1997.
The total capital gain dividends, and the portion thereof designated as
a 20% rate gain distribution are:
<TABLE>
<CAPTION>
-----------------------------------------------------
TOTAL
CAPITAL GAIN 20% RATE GAIN
PORTFOLIO DIVIDENDS* DISTRIBUTION
-----------------------------------------------------
<S> <C> <C>
Short-Term $ 147,000 $ 147,000
Intermediate-Term 18,893,000 4,304,000
Insured Long-Term 8,371,000 4,080,000
Long-Term 4,798,000 1,432,000
High-Yield 10,842,468 6,503,000
-----------------------------------------------------
</TABLE>
*Includes amounts designated as of fiscal year end August 31, 1997
Each Portfolio designates 100% of its income dividends as exempt-interest
dividends.
56
