A Special Notice to all
Calvert Group Shareholders
We're pleased to announce that on April 21, 1997, Barbara Krumsiek joined
Calvert Group as president and chief executive officer. Ms. Krumsiek comes to
Calvert Group from Alliance Capital Management, where she served as senior
vice president and managing director of their mutual funds division. She has
20 years experience in mutual fund management and marketing.
Ms. Krumsiek replaces former Calvert Group president, Clifton S. Sorrell, who
stepped down earlier this year after nearly 10 years in the top post.
We look forward to Ms. Krumsiek leading the company into the next century and
bringing Calvert Group mutual funds to a growing number of new investors. We
welcome her to the Calvert Group family.
CALVERT TAX-FREE RESERVES
Dear Investor:
Each of the Calvert Tax-Free Reserves Portfolios generated a positive
return for the six-month period ended June 30, 1997.
Review of the Economy and Markets
The economy expanded at a robust pace for the first quarter then
appeared to moderate in the second quarter. A number of other indicators,
including an increase in housing starts and rising wages, also pointed to a
strengthening economy.
In an attempt to defuse inflationary pressures, the Federal Reserve
adopted a slightly more restrictive monetary policy. The Fed nudged its target
for key short-term rates higher in March, but left rates unchanged during the
second quarter.
In general, money market and bond yields moved higher during the
first part of the year then backed down toward the close of this reporting
period as investors revised their forecast for the next Fed move-first
thinking the Fed would take steps to raise rates then expecting no change.
Municipal Rate Graph Here
This graph shows the municipal rates (between 3% to 6%) for 1, 7, and 20 year
AA General Obligations, from 6/96 to 6/97.
Portfolio Strategy
Money Market Portfolio
Expecting generally rising rates, we kept the Portfolio's maturity
near the short end of its target range so that we would have the opportunity
to reinvest the proceeds of maturing securities in higher yielding issues.
Limited-Term
In anticipation of higher rates, we maintained a cautious position
throughout the period and kept the Portfolio's weighted average maturity near
the short end of its target range. This strategy worked to our advantage as
yields moved higher through April. However, when yields backed down late in
the quarter the Portfolio did not gain as much in price as our more aggressive
peers. Prices of longer-term securities appreciate more in response to a
decline in rates than do those of shorter-term securities.
We took a further conservative measure by pruning out securities we
identified as most susceptible to the market discount rule, which has adverse
tax consequences for investors and can depress prices for these securities.
Long-Term Portfolio
As with the other
Tax-Free Reserves Portfolios, we kept the Long-Term Portfolio's weighted
average maturity short to minimize the negative effects of rising rates on its
share price. Our more cautious stance meant we did not benefit as fully from
the rally in the market that occurred in the second quarter.
Annualized Total Return Graph Here (source: Lipper Analytical Services, Inc.)
This is a chart of annual total return as follows:
6 months ended 12/31/96 6/30/97
Tax-Free Reserve Money
Market (Class O) 3.27% 3.32%
Tax-Free Reserve Money
Market (Class MMP) 2.63% 2.68%
Lipper Tax-Exempt Money
Market Average 2.95% 3.00%
Limited-Term Investment Performance Graph Here
(Investment performance does not reflect the deduction of any front-end sales
charge)
Periods Ended 6/30/97 6 Months 12 Months
Limited-Term Portfolio 1.99% 4.07%
Lipper Short Muni Debt
Funds Average 1.99% 4.56%
Long-Term Investment Performance Graph Here
(Investment performance does not reflect the deduction of any front-end sales
charge)
Periods Ended 6/30/97 6 Months 12 Months
Long-Term Portfolio 2.37% 7.12%
Lipper General Muni
Fund Average 2.95% 7.81%
Outlook
Despite today's tight labor market and rising wages, inflation has
continued to decline. Many economists and analysts attribute this to an
increase in business productivity, brought about by broader-based use of
information technology and the growth of the Internet. In our view, businesses
will soon have to pass their higher labor costs along to consumers in the form
of modestly higher prices. At that point, we expect the Federal Reserve will
take additional steps to keep inflation in check and interest rates will trend
a bit higher. Accordingly, we will continue to manage the Funds defensively.
Despite a possible rise in rates, we expect that munis will continue
to offer an advantage over after-tax yields on comparable maturity U.S.
government issues, as they have since the flat tax scare of 1995. Municipal
bond issuance has been very tight and met with steady demand, which puts
downward pressure on coupon rates and helps to keep prices of previously
issued securities firm. Looking ahead, we expect these positive technical
conditions will remain in force.
Thank you for your investment.
Sincerely,
David Rochat Barbara Krumsiek
Senior Vice President President
July 21, 1997
Ratings Breakdown graph here
This is a graphic of 3 pie charts; one for Money Market, one for Limited-Term,
and one for Long-Term, showing ratings (First Tier, Second Tier; Cash and
S&P/Moody's ratings (AAA, etc.).
Caption to chart:
NR: Obligation is not rated by a commercial credit rating service, such as
Moody's Investor Services, Inc., or Standard & Poor's Corporation; obligation
has been determined to be of appropriate quality for the Portfolio by Calvert
Asset Management Company, Inc., the Investment Advisor.
All securities in Calvert Group money market funds are eligible securities
under rule 2a-7 of the Investment Company Act of 1940. First Tier securities
are eligible securities rated in the highest rating category for short-term
debt obligations by at least two of the Nationally Recognized Statistical
Ratings Organizations. Second Tier Securities are eligible securities not in
the First Tier.
End of chart
Portfolio Statistics
Weighted Average Maturity 12/31/96 6/30/97
Money Market Portfolio 42 days 54 days
Limited-Term Portfolio 319 days 352 days
Long-Term Portfolio 18 years 16 years
Money Market Yields
Seven-Day Compounded (Effective) 6/30/97
Money Market Portfolio (Class O) 3.75%
Money Market Portfolio (Class MMP) 3.06%
SEC Yields
Thirty Days Ended 6/30/97
Limited-Term Portfolio 3.90%
Long-Term Portfolio 4.56%
Yields assume reinvestment of dividends.
Average Annual Total Returns
Since
Periods Ended 6/30/97 1 Year 5 Year 10 Year Inception
Class A Shares
Limited-Term Portfolio (3/81) 3.01% 3.80% 4.98% 6.20%
Long-Term Portfolio (8/82) 3.08% 5.65% 6.85% 8.03%
Portfolio Statistics
Performance Comparisons
Three graphs here. Each shows the change in value of a hypothetical investment
of $10,000 from 7/1/87 to 6/30/97. The Limited-Term and Long-Term graphs also
compare the Fund to one or two indexes. The footnotes to the graph are: 1. The
Lehman Aggregate Municipal Bond Index has a maturity of approximately 20
years, which is comparable to that of the Long-Term Portfolio but much greater
than that of the Limited-Term Portfolio. 2. Total returns assume reinvestment
of dividends and reflect the deduction of each fund's maximum front-end sales
charge of 1.00% for the Limited-Term Portfolio and 3.75% for the Long-Term
Portfolio. No sales charge has been applied to the indices used for
comparison. The value of an investment in Class O for Money Market Portfolio
is plotted in the line graph. The value of an investment in Class MMP for
Money Market Portfolio shares would be different. Past performance is no
guarantee of future results.
Money Market Portfolio
Statement of Net Assets
June 30, 1997
Principal
Amount Value
Municipal Obligations - 102.4%
Alabama - 1.8%
Alabama MFH Revenue VRDN,
$3,490,000 4.30%, 12/1/03, LOC: Amsouth Bank $3,490,000
805,000 Series A, 4.20%, 4/1/14, LOC: Southtrust Bk, AL 805,000
3,135,000 4.20%, 9/1/20, LOC: Southtrust Bank, AL 3,135,000
2,900,000 Athens IDA Revenue VRDN, 4.95%, 6/1/05,
LOC: Tokai Bank, Ltd. 2,900,000
3,600,000 Mobile Spring Hill Medical Clinic Revenue VRDN,
4.20%, 2/1/11, LOC: Amsouth Bank 3,600,000
5,690,000 Northpoint MFH Revenue VRDN, 4.20%, 7/1/18,
LOC: Amsouth Bank 5,690,000
2,140,000 Pell City IDA Revenue VRDN, 4.40%, 11/1/05,
LOC: Key Bank 2,140,000
2,650,000 Prattville IDA Revenue VRDN, 4.35%, 3/1/26,
LOC: Amsouth Bank 2,650,000
4,000,000 Wynlakes Government Utility Authority Revenue
VRDN, 4.65%, 5/1/06, LOC: Amsouth Bank 4,000,000
Arizona - 5.8%
Apache County IDA Revenue VRDN,
4,600,000 4.20%, 12/15/18, LOC: Bank of New York 4,600,000
41,900,000 Series B, 4.30%, 10/1/21, LOC: Bank of Tokyo
-Mitsubishi Ltd. 41,900,000
7,380,000 Glendale IDA Revenue VRDN, 4.55%,
1/1/20, LOC: Sumitomo Trust and Banking 7,380,000
5,415,000 Maricopa County IDA Revenue VRDN, 4.55%,
10/1/08, C/LOC: Great American FSB 5,415,000
Maricopa County Pollution Control Revenue VRDN,
3,000,000 4.35%, 7/1/14, LOC: Citibank 3,000,000
10,100,000 4.25%, 12/1/14, LOC: Credit Suisse 10,100,000
9,900,000 Pinal County IDA Revenue VRDN, 4.35%,
12/1/05, LOC: Industrial Bank of Japan 9,900,000
8,300,000 Prescott IDA Revenue VRDN, 3.95%, 12/1/14,
GA: Household Finance Corp. 8,300,000
Arkansas - 0.5%
4,000,000 Arkadelphia IDA Revenue VRDN, 4.40%, 4/1/11,
LOC: Den Danske Bank 4,000,000
4,535,000 State Financial Authority Revenue VRDN, 3.65%,
8/1/14, FSA Insured 4,535,000
California - 19.5%
11,500,000 Baldwin Park Redevelopment Agency VRDN,
5.85%, 8/1/23, LOC: Wells Fargo Bank, NA 11,500,000
California School Cash Reserves Program Notes,
18,000,000 Series A,3.60%, 7/2/97, MBIA Insured 18,000,291
20,000,000 4.75%, 7/2/98, AMBAC Insured 20,175,200
8,085,000 California Valleys Housing Financial Authority
Revenue VRDN, Series A, 4.875%, 7/1/25, LOC:
Sumitomo Bank, Ltd. 8,085,000
$8,712,000 Fresno MFH Revenue VRDN, 5.30%, 5/1/15, LOC:
Tokai Bank Ltd. $8,712,000
4,450,000 Huntington Beach Tax & Revenue Anticipation
Notes, 4.50%, 10/1/97 4,459,015
10,750,000 La Mirada IDA Revenue VRDN, 5.75%, 12/1/26,
LOC: FNB Chicago 10,750,000
59,000,000 Los Angeles County Unlimited GO Notes, 4.50%,
6/30/98 59,368,160
Orange County Apartment Development Revenue VRDN,
18,750,000 4.35%, 11/1/05, LOC: Wells Fargo Bank, NA 18,750,000
5,450,000 4.40%, 3/1/07, LOC: Tokai Bank, Ltd. 5,450,000
1,000,000 4.30%, 11/1/08, LOC: Banque Paribas 1,000,000
4,342,857 Palmdale School District Project Lease VRDN,
4.60%, 12/13/10, LOC: National Westminster Bk 4,342,857
2,150,000 Paramount MFH Tax and Revenue Anticipation
VRDN, 4.73%, 10/1/18, LOC: Heller Financial 2,150,000
20,000,000 Riverside County IDA Revenue VRDN, 4.50%,
6/30/98 20,105,400
Riverside MFH Revenue VRDN,
3,200,000 5.05%, 6/1/05, LOC: Tokai Bank, Ltd. 3,200,000
1,040,000 4.80%, 6/1/09, LOC: Tokai Bank, Ltd. 1,040,000
5,330,000 Sacramento County MFH Revenue VRDN, 5.05%,
12/1/98, LOC: Tokai Bank, Ltd. 5,330,000
28,000,000 San Bernardino County MFH Revenue VRDN,
6.05%, 5/1/15, IA: Escrowed/T-Bills 28,000,000
8,000,000 San Bernardino County Public Safety Authority
Revenue Bonds, 4.50%, 5/1/98 8,025,852
San Francisco MFH Revenue VRDN,
34,860,000 4.65%, 10/1/00, LOC: Mitsubishi Trust & Banking 34,860,000
18,500,000 4.225%, 12/1/05, LOC: Industrial Bank of Japan 18,500,000
1,200,000 Simi Valley MFH Revenue VRDN, 4.15%, 6/1/10,
LOC: Sumitomo Trust & Banking 1,200,000
700,000 Stockton IDA Revenue VRDN, 4.58%, 12/1/16,
LOC: Union Bank of California 700,000
6,100,000 Student Education Loan Marketing Corporation
Revenue VRDN, Series A, 4.10%, 11/1/02,
LOC: Dresdner Bank AG 6,100,000
2,275,000 Union City Housing Mortgage Revenue VRDN,
4.65%, 10/1/11, LOC: Mitsubishi Trust & Banking 2,275,000
2,905,000 Victorville MFH Revenue VRDN, 4.75%, 12/1/15,
C/LOC: Redland S&L 2,905,000
Colorado - 1.1%
8,455,000 Arapahoe County MFH Revenue VRDN, 4.70%,
11/1/17, LOC: Heller Financial 8,455,000
8,500,000 City and County of Denver MFH Revenue VRDN,
4.40%, 12/15/14, LOC: Sumitomo Trust & Bk. 8,500,000
1,070,000 Lakewood IDA Revenue VRDN, 5.35%, 8/1/07,
LOC: West One Bank 1,070,000
Connecticut - 0.1%
1,100,000 State Development Authority Revenue VRDN,
4.40%, 6/1/08, LOC: Barclays Bank, Plc. 1,100,000
1,190,000 State Health and Education Facilities Authority
Revenue VRDN, 4.40%, 2/1/09, LOC: Barclays
Bank, Plc. 1,190,000
District of Columbia - 3.6%
GO VRDN,
$5,300,000 4.60%, 6/1/03, FSA Insured $5,300,000
6,400,000 4.10%, 6/1/03, Series B-1, LOC: Union Bank of
Switzerland 6,400,000
10,900,000 4.50%, 7/27/03, AMBAC Insured 10,900,000
7,710,000 4.50%, 6/1/05, MBIA Insured 7,710,000
10,390,000 MFH Revenue VRDN, 4.35%, 12/1/05, LOC:
Sumitomo Bank, Ltd. 10,390,000
Metropolitan DC Airports Authority Bonds,
4,500,000 3.90%, 10/15/97 4,500,000
11,900,000 3.95%, 10/24/97 11,900,000
Florida - 4.4%
6,900,000 Dade County Aviation Revenue VRDN, Series A,
4.45%, 10/1/09, LOC: Fuji Bank, Ltd. 6,900,000
6,300,000 Duval County MFH Revenue VRDN, 5.00%, 6/1/07,
LOC: Household Financial Corp. 6,300,000
3,500,000 Escambia County IDA Revenue VRDN, 4.35%,
2/1/17, LOC: Amsouth Bank 3,500,000
8,800,000 Florida Housing Finance Agency Revenue VRDN,
4.30%, 7/1/23, LOC: Heller Financial 8,800,000
5,000,000 Gulf Breeze Revenue VRDN, Series A, 4.20%,
3/31/21, LOC: Barnett Bank of South Florida 5,000,000
Jacksonville Hospital Revenue VRDN,
3,000,000 4.325%, 2/1/18, LOC: Sumitomo Bank, Ltd. 3,000,000
4,000,000 4.325%, 2/1/19, LOC: Sumitomo Bank, Ltd. 4,000,000
6,025,000 Manatee County Housing Finance Authority
Revenue VRDN, 4.15%, 12/1/07, LOC:
Marine Midland Bank 6,025,000
4,200,000 Pinellas County Health Facilities Authority
Revenue VRDN, 4.30%, 11/1/15, LOC:
First Union Bank, NC 4,200,000
Orange County Health Facilities Authority
Revenue VRDN,
2,600,000 4.45%, 3/27/06, MBIA Insured 2,600,000
6,880,000 4.45%, 10/1/06, MBIA Insured 6,880,000
4,000,000 4.45%, 10/1/08, MBIA Insured 4,000,000
4,445,000 Palm Beach County IDA Revenue VRDN, 4.415%,
5/5/10, LOC: Union Bank of California 4,445,000
3,530,000 Volusia County MFH Revenue VRDN, 4.50%,
9/1/05, GA: Household Finance Corp. 3,530,000
Georgia - 1.7%
2,000,000 Athens MFH Revenue VRDN, 4.50%, 8/1/05,
LOC: First Bank, N.A. 2,000,000
7,850,000 Columbus Downtown Development Authority
Revenue VRDN, 4.20%, 8/1/15, LOC:
Columbus Bank & Trust 7,850,000
7,470,000 De Kalb County MFH Revenue VRDN, 4.30%,
11/1/15, LOC: Amsouth Bank 7,470,000
Jackson County IDA Revenue VRDN: 4.55%,
7,000,000 12/1/15, LOC: Bank of Tokyo-Mitsubishi, Ltd. 7,000,000
2,585,000 4.65%, 12/1/24, LOC: Barclays Bank, Plc. 2,585,000
Hawaii - 1.3%
$10,000,000 State Department Budget and Finance VRDN, 4.40%,
12/1/21, LOC: Union Bank of California $10,000,000
10,000,000 State Housing Finance and Development Corp.
Revenue VRDN, 4.30%, 7/1/25, LOC:
Industrial Bank of Japan 10,000,000
Illinois - 6.0%
2,900,000 Chicago Municipal Trust Receipts VRDN, 4.45%,
1/1/18, AMBAC Insured 2,900,000
5,000,000 Elgin IDA VRDN, 4.40%, 9/1/16, LOC:
LaSalle Bank 5,000,000
7,500,000 Fulton IDA Revenue VRDN, 4.25%, 4/1/12,
LOC: Firstar Bank, Milwaukee 7,500,000
4,000,000 Galesburg Knox College Project Revenue VRDN,
4.20%, 3/1/31, LOC: LaSalle Bank 4,000,000
Illinois Development Financial Authority
Pollution Control Revenue VRDN,
7,400,000 4.20%, 3/1/17, LOC: Bk of Tokyo-Mitsubishi, Ltd. 7,400,000
9,400,000 4.35%, 3/1/17, LOC: Bk of Tokyo-Mitsubishi, Ltd. 9,400,000
10,000,000 4.20%, 4/1/32, MBIA Insured 10,000,000
13,500,000 Illinois Educational Facilities Authority
Revenue VRDN, 4.45%, 1/1/18, LOC:
Sumitomo Bank, Ltd. 13,500,000
4,000,000 Illinois Health Facilities Authority
Revenue VRDN, 4.15%, 9/15/20, LOC:
LaSalle Bank 4,000,000
Illinois IDA Revenue VRDN,
2,400,000 4.60%, 11/1/02, LOC: LaSalle Bank 2,400,000
2,600,000 4.60%, 9/2/05, LOC: American Nat'l Bk & Trust 2,600,000
2,000,000 4.625%, 1/1/09, LOC: Industrial Bank of Japan 2,000,000
2,200,000 4.40%, 12/1/09, LOC: LaSalle Bank 2,200,000
2,225,000 Series B, 4.40%, 1/1/10, LOC: American National
Bank & Trust 2,225,000
2,250,000 Illinois Development Financial Authority
Revenue VRDN, 4.25%, 9/1/26, LOC:
Firstar Bank, Milwaukee 2,250,000
6,270,000 Illinois Housing Development Authority
Revenue VRDN, 4.60%, 2/1/24, LOC:
Sumitomo Bank, Ltd. 6,270,000
5,300,000 Plainfield IDA Revenue VRDN, 4.40%, 4/1/17,
LOC: LaSalle Bank 5,300,000
2,480,000 Rockford Economic Development Revenue Bonds,
4.45%, 12/2/97, LOC: Banque Paribas 2,480,000
2,280,000 Winnebago County IDA Revenue VRDN, 6.035%,
12/1/06, LOC: Bank of Nova Scotia 2,280,000
Indiana - 1.0%
8,420,000 Lawrence Economic Development Revenue VRDN,
4.775%, 6/1/24, LOC: Heller Financial 8,420,000
2,890,000 Marion Economic Development Revenue VRDN,
4.20%, 4/1/08, LOC: LaSalle Bank 2,890,000
4,500,000 South Bend MFH Revenue VRDN, 4.50%, 10/1/09,
LOC: Key Bank 4,500,000
Iowa - 2.0%
$1,600,000 Davenport IDA Revenue VRDN, 6.035%, 12/1/06,
LOC: Bank of Nova Scotia $1,600,000
27,000,000 Iowa State School Anticipation Warrants,
Series A, 4.50%, 6/26/98, FSA Insured 27,173,381
3,000,000 Scott County IDA Revenue, 4.45%, 3/1/02, LOC:
Firstar Bank, Milwaukee 3,000,000
Kansas - 1.1%
6,615,000 Kansas City MFH Revenue VRDN, 4.475%, 6/1/15,
LOC: Huntington National Bank 6,615,000
11,075,000 Shawnee MFH Revenue VRDN, 4.725%, 2/1/24,
LOC: Heller Financial 11,075,000
Kentucky - 2.5%
11,652,000 Carroll County Solid Waste IDARevenue VRDN,
4.80%, 5/1/27, LOC: Banco Bilbao Viscaya 11,652,000
4,100,000 Glasgow Industrial Building Revenue VRDN,
5.95%, 6/1/20, Bank of Tokyo-Mitsubishi, Ltd. 4,100,000
3,000,000 Hancock County IDA Revenue VRDN, 4.20%,
6/1/12, LOC: Chase Manhattan 3,000,000
9,800,000 Mayfield Multi-City Lease Revenue VRDN, 4.30%,
7/1/26, LOC: PNC Bank, NA 9,800,000
7,000,000 Ohio County Pollution Control Revenue VRDN,
4.65%, 10/1/15, LOC: Chase Manhattan 7,000,000
4,500,000 Owensboro IDA Revenue VRDN, 4.20%, 6/1/17,
LOC: LaSalle Bank 4,500,000
Louisiana - 0.2%
3,000,000 Louisiana Public Facilities Authority
Revenue VRDN, 5.70%, 12/1/14, LOC:
Regions Bank 3,000,000
Maine - 0.4%
6,700,000 Orrington Resource Recovery Revenue VRDN,
4.25%, 5/1/03, LOC: Bank of Nova Scotia 6,700,000
Maryland - 0.2%
700,000 Maryland Economic Development Corporation
Revenue VRDN, 4.20%, 6/1/20, LOC:
NationsBank 700,000
2,750,056 Ocean City IDA Revenue VRDN, 5.525%, 7/1/13,
LOC: First National Bank of Maryland 2,750,056
Massachusetts - 0.5%
1,175,000 Hudson IDA Revenue VRDN, 4.665%, 10/1/13,
LOC: FNB Boston 1,175,000
1,275,000 Massachusetts State Industrial Finance
Authority Revenue
VRDN: 4.415%, 11/3/99, LOC: FNB Boston 1,275,000
4,900,000 4.665%, 8/1/14, LOC: FNB Boston 4,900,000
500,000 New Bedford IDA Revenue VRDN, 4.665%, 10/1/97,
LOC: CoresSates 500,000
Michigan - 3.6%
5,000,000 Detroit City School Dist GO Notes, 4.50%, 5/1/98 5,024,200
Municipal Bond Authority Revenue Notes,
$7,000,000 4.50%, 7/3/97, Series A $7,000,000
15,000,000 4.50%, 7/2/98, Series B 15,096,000
5,100,000 State Hospital Financing Authority Revenue VRDN,
Series A,
4.30%, 12/1/23, LOC: First American Bank, MI 5,100,000
6,800,000 State Strategic Fund Economic Development
Revenue VRDN,
4.60%, 9/1/08, LOC: Dai-Ichi Kangyo Bank 6,800,000
11,000,000 4.00%, 9/1/20, LOC: Barclays Bank Plc. 11,000,000
6,825,000 Sault Sainte Marie Tribe Building Revenue VRDN,
Series A,
4.22%, 6/1/03, LOC: First of America Bank, MI 6,825,000
Minnesota - 0.1%
1,100,000 Cottage Grove Pollution Control Board Revenue
VRDN,
4.50%, 8/1/12 1,100,000
Mississippi - 0.6%
Mississippi Business Financial Corp. IDA Revenue
VRDN,
3,675,000 4.40%, 1/1/06, LOC: National Bank of Canada 3,675,000
1,900,000 4.60%, 6/1/07, LOC: Deposit Guaranty 1,900,000
3,500,000 Penola County VRDN, 4.45%, 9/1/10, LOC:
Instituto Bancario 3,500,000
Missouri - 2.1%
4,500,000 Carthage IDA Revenue VRDN, 4.60%, 11/1/10,
LOC: Bank of Tokyo-Mitshubishi, Ltd. 4,500,000
10,000,000 Environmental Impact & Energy Resolution
Authority
Pollution Control Revenue VRDN, 3.95%, 6/1/98,
LOC: Swiss Bank Corp. 10,000,000
4,045,000 Kansas City MFH Revenue VRDN, 4.50%, 8/1/20,
LOC: Heller Financial 4,045,000
955,000 IDA Revenue VRDN, 4.665%, 3/1/01, LOC:
FNB Boston 955,000
5,000,000 St. Charles County IDA Revenue VRDN, 4.10%,
12/1/07, LOC: Bank of America 5,000,000
9,100,000 St. Louis IDA Revenue VRDN, 4.80%, 1/1/21,
LOC: Banca Naz Del Lavoro 9,100,000
Nebraska - 0.2%
2,900,000 Brazos County IDA Revenue VRDN, 4.65%, 2/1/15,
LOC: Bank of Tokyo-Mitsubishi, Ltd. 2,900,000
New Hampshire - 2.2%
13,075,000 Manchester MFH Revenue VRDN, 5.75%, 6/15/15,
LOC: Daiwa Bank, Ltd. 13,075,000
5,945,000 New Hampshire Higher Education & Health
Adjustable
Trust Receipts, Series SG19, 4.35%, 6/1/23,
BPA: Societe Generale 5,945,000
16,400,000 State Turnpike Systems Revenue VRDN, 4.40%,
2/1/24, LOC: Corestates 16,400,000
New Jersey - 0.8%
Economic Development Authority Revenue VRDN,
2,275,000 4.20%, 3/1/98, LOC: Corestates 2,275,000
1,120,000 4.38%, 1/1/00, LOC: Marine Midland Bank 1,120,000
1,500,000 4.625%, 12/1/14, LOC: Citibank 1,500,000
7,400,000 5.125%, 12/1/15, LOC: Asahi Bank, Ltd. 7,400,000
New York - 8.9%
City of New York GO Bonds,
$5,700,000 Subseries J 2, 3.80%, 11/1/97 $5,700,000
7,000,000 Subseries J 3, 3.80%, 9/26/97 7,000,000
9,000,000 Subseries J 3, 3.80%, 10/22/97 9,000,000
16,140,000 Energy Research and Development Authority
Pollution
Control RevenueVRDN, 3.80%, 6/1/29, LOC:
Morgan Guaranty Trust 16,140,000
Environmental Revenue Bonds,
5,000,000 3.80%, 8/20/97 5,000,000
5,000,000 3.70%, 8/22/97 5,000,000
New York City MFH Revenue VRDN,
20,000,000 3.85%, 7/24/97 20,000,000
15,000,000 3.80%, 9/25/97 15,000,000
4,000,000 New York City Municipal Water Financing Notes,
3.75%, 7/31/97 4,000,000
14,400,000 New York City VRDN, Subseries B, 3.80%,
6/1/29 14,400,000
3,200,000 New York City Water Bank Notes, Series 3, 3.80%,
7/31/97 3,200,000
18,200,000 New York City Water Revenue Bonds, Series 4,
3.80%, 10/16/97 18,200,000
Orange County IDA Revenue VRDN,
7,500,000 4.625%, 6/1/98, LOC: Sakura Bank 7,500,000
500,000 4.625%, 10/1/98, LOC: Sakura Bank 500,000
Suffolk County Tax Anticipation Notes,
3,000,000 4.00%, 8/14/97, LOC: National Westminster Bank 3,000,560
5,000,000 4.50%, 9/11/97, LOC: Canadian Imperial 5,005,349
Nevada - 0.1%
1,800,000 Henderson Public Improvement Trust Revenue VRDN,
4.60%, 4/1/07, LOC: Barclays Bank, Plc. 1,800,000
North Carolina - 0.2%
2,900,000 Wake County Industrial Facilities & Pollution
Financing
Authority Revenue Bonds, 4.10%, 7/15/97,
LOC: Fuji Bk Ltd 2,900,000
Ohio - 0.2%
2,700,000 Mahoning County Revenue VRDN, 4.70%, 12/1/21,
LOC: PNC Bank, NA 2,700,000
Oklahoma - 1.1%
5,930,000 Cleveland MFH Revenue VRDN, 4.40%, 4/1/20,
SURBD: Continental Casualty Co. 5,930,000
5,900,000 Oklahoma Housing Finance Authority Revenue
VRDN, 4.875%, 12/1/05, C/LOC: Binghampton
Savings Bank 5,900,000
5,000,000 Tulsa IDA Revenue VRDN, Series A, 4.15%,
11/1/14, LOC: Sanwa Bank, Ltd. 5,000,000
Pennsylvania - 4.4%
2,600,000 Berks County IDA Revenue VRDN, 4.375%, 7/1/25,
LOC: CoreStates 2,600,000
3,300,000 Chester County IDA Revenue VRDN, 4.375%, 4/1/17,
LOC: Corestates 3,300,000
8,500,000 Delaware County Authority Revenue VRDN, 4.25%,
7/1/14, LOC: PNC Bank NA 8,500,000
7,300,000 Emmaus GO Revenue VRDN, 4.30%, 3/1/24, LOC:
Fuji Bank, Ltd. 7,300,000
Philadelphia GO Bonds, Adjustable Coupon,
$10,000,000 4.15%, 7/14/97, LOC: Fuji Bank, Ltd. 10,000,000
12,000,000 4.10%, 7/15/97, LOC: Fuji Bank, Ltd. 12,000,000
4,600,000 4.15%, 7/15/97, LOC: Fuji Bank, Ltd. 4,600,000
15,000,000 3.85%, 8/7/97, LOC: Fuji Bank, Ltd. 15,000,000
2,850,000 Philadelphia MFH Redevelopment Authority Revenue
VRDN,
4.45%, 12/1/09, LOC: Marine Midland Bank 2,850,000
1,845,000 West Cornwall Township Municipal Authority
Revenue
VRDN, 4.375%, 3/1/16, LOC: CoreStates 1,845,000
South Carolina - 1.0%
5,100,000 Dorchester County Industrial Revenue VRDN,
4.944%, 10/1/24, LOC: Bayerische Vereinsbank 5,100,000
4,450,000 Orangeburg IDA Revenue VRDN, 4.665%, 6/1/08,
LOC: FNB Boston 4,450,000
6,000,000 State Housing Finance and Development Authority
Revenue VRDN, 4.35%, 7/1/07, SURBD:
Continental Casualty Co. 6,000,000
South Dakota - 0.5%
7,460,000 Housing Development Authority Puttable Floating
Rate Notes, Series C,4.40%, 5/1/19, BPA:
Caisse des Depots et Consignations 7,460,000
Tennessee - 0.4%
5,100,000 Coffee County Industrial Board VRDN, 4.50%,
5/1/12, LOC: Barnett Bank of South Florida 5,100,000
1,000,000 Roane County Industrial Board Solid Waste Revenue
VRDN, 5.00%, 11/1/20, LOC: Long Term Credit
Bank of Japan 1,000,000
60,000 Housing Development Agency Revenue VRDN, 4.25%,
7/1/13, FSA Insured 60,000
Texas - 7.3%
5,400,000 Bexar County MFH Revenue VRDN, 4.725%, 6/1/28,
LOC: Heller Financial 5,400,000
3,000,000 Brazos River Authority Rev VRDN, 4.10%,
11/1/18 3,000,000
2,200,000 Cleburne IDA Revenue VRDN, 4.40%, 2/1/04,
LOC: National City Bank 2,200,000
1,000,000 Grand Prairie IDA Revenue VRDN, 4.05%, 12/1/06,
LOC: PNC Bank, N.A. 1,000,000
4,500,000 Greater Texas Student Loan GO Bonds, 3.70%,
4/1/05, LOC: SLMA 4,496,832
72,450,000 Harris County Health Facilities Developmen
Authority Revenu VRDN, 4.75%, 12/1/25, IA:
Prudential Insur Co. 72,450,000
2,900,000 Harris County IDA Revenue VRDN, 5.10%, 8/1/01,
LOC: Sakura Bank, Ltd. 2,900,000
4,100,000 Orange County IDA Revenue VRDN, 5.00%, 10/1/22,
LOC: Long Term Credit Bank of Japan 4,100,000
18,400,000 State Tax & Revenue Anticip Notes, 4.75%,
8/29/97 18,424,426
Utah - 2.4%
$9,000,000 Intermountain Power Agency Revenue Bonds, Series
85E,
3.80%, 10/17/97, LOC: Bank of America $9,000,000
4,500,000 Provo City MFH Revenue VRDN, 4.20%, 12/15/10,
LOC: Dai-Ichi Kangyo Bank 4,500,000
Tooele County Hazardous Waste Treatment Revenue
VRDN, GA: Union Pacific Corp.,
8,500,000 4.05%, 7/25/97 8,500,000
7,000,000 4.00%, 8/8/97 7,000,000
9,200,000 4.15%, 8/12/97 9,200,000
Vermont - 0.1%
1,620,000 Education & Health Buildings Financing Agency
Revenue VRDN, 4.30%, 6/1/05, LOC: FNB Boston 1,620,000
415,000 State IDA Revenue VRDN, 4.415%, 12/1/04,
LOC: FNB Boston 415,000
Virginia - 2.1%
17,100,000 Richmond IDA Revenue VRDN, 4.70%, 12/1/17,
LOC: Banque Paribas 17,100,000
15,700,000 State MFH Development Authority Revenue VRDN,
Series A, 5.60%, 1/1/34 15,700,000
Washington - 2.4%
4,000,000 Colbert County Public Utilities VRDN, 4.30%,
10/1/11, LOC: Southtrust Bank, AL 4,000,000
2,750,000 Port Everett Limited VRDN, 4.55%, 12/1/06,
LOC: Sumitomo Bank, Ltd. 2,750,000
3,000,000 Richland Golf Enterprise Revenue VRDN, 4.20%,
12/1/21, LOC: Seafirst BOA, NW 3,000,000
6,420,000 Seattle MFH Revenue VRDN, 4.30%, 12/1/26,
LOC: Seafirst BOA, NW 6,420,000
8,750,000 State MFH Revenue VRDN, 4.30%, 10/1/26,
LOC: Seafirst BOA, NW 8,750,000
4,600,000 Yakima County Public Corp. Revenue VRDN, 4.30%,
8/1/06, LOC: Seafirst BOA, NW 4,600,000
8,300,000 Yakama Indian Nation IDA Revenue VRDN, 4.55%,
6/1/07, LOC: Seafirst BOA, NW 8,300,000
West Virginia - 0.3%
4,140,000 Harris County IDA Revenue VRDN, 4.25%, 6/1/14,
LOC: Societe Generale 4,140,000
Wisconsin - 1.0%
3,500,000 Eau Claire IDA Revenue VRDN, 4.25%, 5/1/07,
LOC: Firstar Bank, Milwauke 3,500,000
2,000,000 Germantown IDA Revenue VRDN, 4.25%, 5/1/17,
LOC: Firstar Bank, Milwaukee 2,000,000
3,100,000 Mantowoc IDA Revenue VRDN, 4.25%, 5/1/17,
LOC: Firstar Bank, Milwaukee 3,100,000
6,450,000 Housing and Economic Development Authority
Revenue VRDN, 4.20%, 3/1/20, FSA Insured 6,450,000
Other - 6.7%
$16,800,000 Capital Realty Investors Tax Exempt
Certificates Revenue
VRDN 4.45%, 12/1/04, LOC: Swiss Bk Corp $16,800,000
18,205,000 Series 96-2, 4.45%, 2/1/04, LOC: Swiss
Bank Corp 18,205,000
9,720,000 Koch Financial Corp. Tender Option VRDN, 4.25%,
10/20/20, TOA: Credit Suisse 9,720,000
7,801,349 LaSalle National Bank LeaseTOPS Tr, 4.40%,
5/1/02, BPA: LaSalle Bank 7,801,349
Pitney Bowes Corporation LeaseTOPS Trust
Certificates,
9,504,484 4.40%, 4/1/98, BPA: Pitney Bowes Credit 9,504,484
9,238,000 4.40%, 2/11/11, LOC: Landesbank
Hessen-Thuringen 9,238,000
5,760,000 4.30%, 10/11/30, AMBAC Insured 5,760,000
10,210,000 4.40%, 10/11/30, BPA: Credit Suisse 10,210,000
Puttable Floating Option Tax-Exempt Receipts,
2,265,000 Series PP5, 4.55%, 8/15/24, AMBAC Insured 2,265,000
5,140,000 4.50%, 12/1/24, TOA: Merrill Lynch 5,140,000
TOTAL INVESTMENTS (Cost $1,595,990,412)
- 102.4% 1,595,990,412
Other assets and liabilities, net - (2.4%) (38,097,742)
Net Assets - 100.0% $1,557,892,670
Net Assets Consist of:
Paid-in capital applicable to the following shares of
beneficial interest, unlimited number of no par shares
authorized:
Class O: 1,531,604,610 shares outstanding $1,531,492,200
Class MMP: 26,435,734 shares outstanding 26,432,911
Undistributed net investment income (loss) (50)
Accumulated net realized gain (loss) on investments (32,391)
Net assets $1,557,892,670
Net Asset Value per Share
Class O (based on net assets of $1,531,462,032) $1.00
Class MMP (based on net assets of $26,430,638) $1.00
Limited-Term Portfolio
Statement of Net Assets
June 30, 1997
Principal
Amount Value
Municipal Obligations - 103.1%
Alabama - 0.1%
$600,000 Athens IDA Revenue VRDN, 4.95%, 6/1/05,
LOC: Tokai Bank, Ltd. $600,000
Arizona - 2.9%
11,920,000 Educational Loan Marketing Corporation Revenue
Bonds, 6.55%, 3/1/99 12,287,851
2,600,000 Glendale County IDA Revenue Bonds, 5.20%,
12/1/13, LOC: Dresdner Bank (Tender
12/1/98 @ 100) 2,622,464
220,000 VRDN, 4.55%, 1/1/20, LOC: Sumitomo Trust and
Banking 220,000
California - 14.0%
605,000 Chula Vista MFH, Eucalyptus Grove Project Revenue
Bonds 5.75%, 11/1/07, SURBD:
Continental Casualty Co. 605,805
1,525,000 Compton Community Redevelopment Agency Tax
Allocation Notes Series 1, 5.50%, 8/1/98 1,546,563
8,000,000 Community College Financing Authority Tax and
Revenue Anticipation Notes, 4.50%, 9/30/98 8,042,000
3,620,000 Del Norte Bond Anticipation Notes, 5.50%,
11/1/98 3,621,158
2,220,000 Health Facilities Financing, Downey Community
Hospital Revenue Bonds, 4.75%, 5/15/99 2,230,168
18,500,000 Los Angeles Unilateral School District Tax and
Revenue
San Bernardino Public Safety Authority, Insurance
Financing Project Revenue Bonds, Series A,
8,400,000 4.50%, 11/1/98 8,442,084
2,800,000 4.60%, 5/1/99 2,814,532
20,000,000 San Francisco City and County Redevelopment
Agency MFH Revenue VRDN, 5.937%, 3/1/18 20,000,000
575,000 San Jose Financing Authority, Convention Center
Project Revenue Bonds, Series C, 5.75%, 9/1/98 586,190
5,860,000 Statewide Community Development Authority Tax
and Revenue Anticipation Notes, Series B,
4.75%, 9/30/98, FSA Insured 5,908,111
465,000 Tahoe City Public Utility District, Capital
Facilities Project,Certificates of Participation,
Series B, 5.60%, 6/1/98 471,445
200,000 Union City Housing Mortgage Revenue VRDN, 4.65%,
10/1/11, LOC: Mitsubishi Trust & Banking 200,000
Colorado - 2.2%
Denver City and County Airport Revenue,
9,500,000 Bonds, Series A, 6.60%, 11/15/97 9,591,485
2,000,000 VRDN, 7.00%, 11/15/99 2,103,460
Connecticut - 0.4%
$1,945,000 State Recovery Authority Revenue Bond, 5.60%,
11/15/99 $2,003,622
District of Columbia - 0.2%
Redevelopment Agency Sports Arena Revenue Bonds,
500,000 4.85%, 11/1/97 500,720
500,000 5.10%, 11/1/98 503,045
Florida - 2.9%
10,000,000 Jacksonville Hospital Revenue Bonds, 10.375%,
10/1/07 (Pre-Refunded 10/1/97 @ 100) 10,358,700
150,000 Orange County Housing Financial Authority
Revenue VRDN, 4.15%, 8/1/08 150,000
4,470,000 Palm Beach Housing Finance Authority Mallards
Cove Revenue VRDN, 5.525%, 3/1/22, INSUR:
Fireman's Insurance Co. 4,470,000
Georgia - 0.2%
1,000,000 Tri-City Hospital Authority Revenue Bonds,
5.25%, 7/1/99 1,004,330
Guam - 0.8%
4,250,000 Guam government GO Bonds, Series A, 5.75%,
8/15/99 4,324,375
Idaho - 0.4%
1,825,000 SLMA, 6.00%, 10/1/97 1,829,398
Illinois - 4.7%
8,000,000 Chicago Board of Education Certificates of
Participation, 4.35%, 12/1/98, LOC:
Canadian Imperial 8,012,720
2,000,000 Chicago Parking District GO Refunding Bonds,
5.50%, 1/1/99, FGIC Insured 2,038,060
4,500,000 Illinois Development Financial Authority
Pollution Control Revenue VRDN, 4.20%, 3/1/17,
LOC: Bank of Tokyo -Mitsubishi Ltd. 4,500,000
10,000,000 State Sales Tax Revenue Bonds, Series Q, 5.10%,
6/15/99 10,169,200
Kentucky - 0.5%
1,800,000 State Turnpike Authority Economic Development
Revenue Bonds, 5.00%, 1/1/98 1,810,260
1,000,000 Kentucky Development Financial Authority Revenue
Bonds, Series B, 4.55%, 2/1/08, LOC: National
City Bank 1,000,000
Louisiana - 3.3%
Offshore Terminal Authority Deepwater Port
Revenue Bonds,
5,000,000 5.20%, 9/1/97 5,009,950
2,535,000 6.35%, 9/1/97 2,544,658
2,780,000 6.45%, 9/1/98 2,847,749
7,000,000 State Recovery Sales Tax Revenue Bonds, 4.25%,
7/1/98, MBIA Insured 7,030,030
Maryland - 2.3%
$950,000 Montgomery County Economic Development Bonds,
6.375%, 11/1/09, LOC: First National Bank of
Maryland $951,520
450,000 Ocean City Industrial Development Revenue VRDN,
5.525%, 7/1/13, LOC: First National Bank
of Maryland 450,000
8,000,000 State and Local Facilities Unlimited GO Bonds,
First Series, 5.00%, 3/1/00 8,155,520
2,400,000 State Industrial Authority Economic Development
Bonds, 5.25%, 12/31/11, LOC: First National Bank
of Maryland 2,400,072
Massachusetts - 2.4%
Housing Finance Agency MFH Revenue Bonds,
Series A,
485,000 4.80%, 12/1/97, AMBAC Insured 487,532
495,000 5.00%, 6/1/98, AMBAC Insured 499,410
505,000 5.00%, 12/1/98, AMBAC Insured 511,883
520,000 5.10%, 6/1/99, AMBAC Insured 526,994
Municipal Wholesale Electric Power Company
Revenue Bonds,
5,240,000 6.10%, 7/1/98 5,347,630
5,025,000 Series B, 6.25%, 7/1/99 5,198,413
Michigan - 3.4%
5,330,000 Detroit Limited GO Bonds, Series A, 5.20%,
5/1/98 5,377,330
3,525,000 Oakland County Economic Development Corp.
Limited Obligation Revenue VRDN, 5.25%, 11/1/14 3,541,567
5,950,000 Southfield Economic Development Corporation
Revenue VRDN, 5.95%, 5/15/11, INSUR:
Fireman's Insurance Co. 5,950,000
280,000 State Housing Development Authority Revenue
Bonds, 6.00%, 10/1/11, (Escrowed in U.S. Treasury
Obligations) 281,137
570,000 State Housing Development Authority Limited
Obligation Revenue VRDN, 5.00%, 10/1/11 571,157
State Hospital Finance Authority Pontiac Osteopathic
Revenue Bonds,
1,000,000 4.90%, 2/1/98 1,002,960
1,000,000 5.10%, 2/1/99 1,001,300
150,000 State Strategic Limited Obligation Revenue
VRDN, 5.125%, 11/1/09, LOC: Tokai Bank Ltd. 150,000
Minnesota - 1.2%
6,450,000 Edina MFH Vernon Terrace Revenue VRDN, 5.00%,
7/1/25 6,489,022
Mississippi - 0.2%
1,000,000 Higher Education Student Loan Revenue Bonds,
Series C, 6.05%, 1/1/99 1,017,190
Nevada - 1.6%
8,150,000 Sparks Redevelopment Agency Tax Allocation Bond
Anticipation Notes, 5.00%, 9/1/97 8,145,436
New Hampshire - 0.1%
315,000 Higher Education & Health Revenue Bonds, 7.50%,
12/1/00, FGIC Insured 319,092
New Mexico - 0.7%
$3,735,000 Albuquerque Unlimited GO Bonds, 5.25%, 7/1/98 $3,785,572
New York - 23.4%
City University Certificates of Participation,
2,785,000 4.40%, 8/15/97 2,786,365
4,970,000 4.65%, 8/15/98 5,000,913
Dormitory Authority Revenue Bonds,
7,385,000 Series A, 4.375%, 7/1/97 7,385,074
1,165,000 Series A, 4.75%, 7/1/97 1,165,023
1,155,000 Series B, 4.375%, 7/1/97 1,155,012
3,460,000 Series B, 5.00%, 2/15/00 3,498,544
595,000 Energy Research and Development Authority State
Service Contract Revenue Bonds, 5.00%, 4/1/98 599,552
15,000,000 Municipal Assistance Corporation for the City of
New York, Series I, 5.00%, 7/1/99 15,234,000
Nassau County Unlimited GO Bonds,
3,800,000 Series V, 5.125%, 3/1/99, AMBAC Insured 3,858,330
4,330,000 5.125%, 3/1/00, AMBAC Insured 4,416,730
New York City GO Bonds,
1,310,000 5.00%, 4/1/99 1,319,733
725,000 5.00%, 4/1/99 736,005
290,000 Series E, 5.50%, 8/1/97 290,409
710,000 Series E, 5.50%, 8/1/97 710,895
770,000 Orange County IDA Revenue VRDN, 5.61%, 12/1/05,
LOC: Summit Bank 770,000
5,400,000 Port Authority New York and New Jersey, 1st
Installment KIAC Project Special Obligation Revenue
Bonds, 6.25%, 10/1/99 5,515,074
State Certificate of Participation Revenue Bonds,
5,335,000 4.75%, 9/1/97 5,341,615
5,775,000 4.90%, 3/1/98 5,810,920
9,465,000 4.40%, 8/1/98 9,498,695
5,920,000 4.90%, 9/1/98 5,971,267
12,710,000 4.60%, 2/1/99 12,734,403
13,915,000 4.75%, 2/1/00 13,951,040
State Thruway Authority Highway and Bridge
Revenue Bonds,
10,490,000 Series A, 4.75%, 4/1/99, AMBAC Insured 10,591,229
3,675,000 Series A, 4.75%, 4/1/00, AMBAC Insured 3,715,351
Oklahoma - 1.5%
7,970,000 Tulsa IDA Revenue VRDN, 4.35%, 10/1/22, MBIA
Insured 7,970,000
Ohio - 7.2%
1,060,000 Cleveland Motor Vehicle Motorized Equipment
Certificates of Participation, 6.50%, 1/1/98 1,072,413
2,450,000 Cleveland School District GO Bonds, 7.25%,
6/15/98 2,480,698
5,000,000 Franklin County Hospital Revenue VRDN, 4.10%,
12/1/11, LOC: Morgan Guarantee Trust 5,015,100
2,000,000 Lorraine County Hospital Revenue Bonds, 5.00%,
9/1/99 2,034,800
$1,175,000 Marion County Hospital Revenue Bonds, 5.25%,
5/15/99 $1,186,198
25,600,000 Water Development Authority Solid Waste
Anticipation Notes, 5.15%, 1/1/99 25,740,800
Pennsylvania - 4.3%
8,500,000 Beaver County IDA Pollution Control Revenue
Bonds, 4.30%, 10/1/32, LOC: Barclay's Bank, Plc.
(Tender 10/1/97 @ 100) 8,511,900
Philadelphia Hospitals & Higher Education
Revenue Bonds,
1,200,000 5.05%, 7/1/98 1,207,332
1,335,000 5.35%, 7/1/99 1,347,082
Philadelphia Municipal Authority, Philadelphia
Gas Works Equipment Certificates of Participation,
Asset Guaranty Insured,
1,500,000 5.95%, 10/1/97 1,507,245
1,600,000 5.95%, 4/1/98 1,622,896
1,600,000 5.95%, 10/1/98 1,631,648
1,600,000 5.95%, 4/1/99 1,634,496
4,400,000 Philadelphia Water and Sewer Revenue Bonds, 7.30%,
8/1/98 4,525,620
200,000 Sharon Regional Health System Authority Hospital
Revenue Bonds, 5.50%, 12/1/97 200,956
Puerto Rico - 2.9%
10,200,000 Commonwealth GO Bonds, 5.50%, 7/1/99 10,432,458
1,280,000 Electric Power Authority Revenue Bonds, Series W,
4.25%, 7/1/97 1,280,013
2,000,000 Highway Authority Revenue Bonds, Series Q, 7.20%,
7/1/97 2,000,180
1,350,000 Infrastructure Financing Authority Revenue Bonds,
Series A, 7.40%, 7/1/98 1,394,672
South Dakota - 0.2%
1,000,000 Housing Development Authority, Home Ownership
Mortgage Revenue Bonds, Series A, 4.60%, 5/1/99 1,005,430
Tennessee - 4.0%
6,300,000 Coffee County Industrial Board Revenue VRDN,
5.375%, 12/1/01, LOC: Asahi Bank 6,300,000
4,450,000 Knox County Health Educational Hospital Facility
Revenue Bonds, 7.00%, 1/1/15, MBIA Insured 4,812,230
10,000,000 Roane County Industrial Board and Solid Waste
Disposal Revenue VRDN, 5.00%, 11/1/20, LOC: Long
Term Credit Bank of Japan 10,000,000
Texas - 7.4%
1,590,000 Brazos County Health Facilities Development,
St. Joseph Hospital and Health Center Revenue
Bonds, 4.875%, 1/1/98 1,595,883
3,000,000 Brazos River Authority Revenue VRDN, 4.10%,
11/1/18 3,000,000
1,000,000 GO Bonds, Series A, 4.625%, 10/1/97 1,002,010
3,700,000 Harris County Health Facilities Development
Floating Trust Receipts, Series FR-2, 4.75%,
12/1/25, IA: Prudential Insurance Company 3,700,000
1,490,000 Irving Hospital Authority Healthcare System
Revenue Bonds, Series A, 4.50%, 7/1/98,
FSA Insured 1,497,107
$3,000,000 Orange County Navigation and Port District
Horsehead Reservoir Development Project Revenue
VRDN, 5.00%,10/1/22,LOC: Long Term Credit
Bank of Japa $3,000,000
25,000,000 State Tax and Revenue Anticipation Notes, 4.75%,
8/29/97 25,034,000
Vermont - 1.1%
350,000 IDA Revenue VRDN, 5.775%, 12/1/01, LOC:
Vermont National Bank 350,000
250,000 Municipal Bond Banks, Series 1, 6.75%, 12/1/97 253,075
5,100,000 Student Assistance Corp. Promissory Notes,
Series A, 4.25%, 12/15/97 5,103,723
Virginia - 0.4%
1,885,000 State Housing Development Authority Construction
Loan Notes, 6.875%, 1/1/17 (Tender at any interest
payment date) 1,889,072
Washington - 1.3%
7,000,000 State General Obligation Bonds, Series R, 4.20%,
8/1/98 7,020,160
Wisconsin - 0.8%
4,050,000 State Certificates of Participation, Series B,
4.25%, 9/1/97 4,052,228
West Virginia - 2.2%
11,295,000 School Building Authority Revenue Bonds, 7.00%,
7/1/97 11,295,904
Other - 1.9%
2,000,000 Absaloka Casino Enterprise Bond Anticipation
Notes, 8.50%, 12/1/97 2,006,040
4,320,180 Fort Mojave Indian Tribe of Arizona, California
and Nevada Public Facilities Combined Limited
Obligation and Revenue Bonds Adjustable Rate and
Tender Series A of 1993, 11.25%, 12/1/18
(Tender 12/1/96 @ 100) 4,320,180
1,260,000 Koch Financial Corp. Tender Option VRDN, 4.25%,
10/20/20, TOA: Credit Suisse 1,260,000
Pitney Bowes Credit Corp. LeaseTOPS Trust
Certificates,
450,000 4.40%, 4/1/98, BPA: Pitney Bowes Credit 450,000
1,600,000 4.40%, 2/11/11, LOC: Landesbank
Hessen-Thuringen 1,600,000
TOTAL INVESTMENTS (Cost $536,940,581)
- 103.1% 538,169,193
Other assets and liabilities, net - (3.1%) (16,259,454)
Net Assets - 100.0% $521,909,739
Net Assets Consist of:
Paid-in capital applicable to 48,843,119 Class A shares of
beneficial interest, unlimited number of no par shares
authorized: $520,777,785
Undistributed net investment income 169,154
Accumulated realized gain (loss) on investments (265,812)
Net unrealized appreciation (depreciation) on investments 1,228,612
Net assets $521,909,739
Net Asset Value per Share $10.69
Long-Term Portfolio
Statement of Net Assets
June 30, 1997
Principal
Amount Value
Municipal Obligations - 98.2%
Alaska - 2.1%
$1,000,000 Anchorage Revenue Bonds, 6.00%, 10/1/14,
FGIC Insured $1,070,200
Arizona - 4.3%
2,000,000 Maricopa County School District 69 Revenue Bonds,
6.25%, 7/1/14, FSA Insured 2,220,720
California - 4.1%
1,000,000 Montebello Unified School District Certificate of
Participation Revenue Bonds, 6.30%, 6/1/11 1,031,330
1,000,000 Walnut Valley School District GO Bonds, 6.10%,
8/1/08, AMBAC Insured 1,103,460
Colorado - 2.8%
1,300,000 Denver City and County Airport Revenue Bonds,
Series A, 7.20%, 11/15/02 1,428,362
Delaware - 0.2%
80,000 Dover Electric Power Revenue Bonds, 7.00%,
7/1/15 86,841
Florida - 22.3%
1,000,000 Brevard County School Board Certificates of
Participation,Series A, 5.40%, 7/1/10,
AMBAC Insured 1,027,690
1,700,000 Dade County Educational Facilities Authority
Revenue Bonds, 6.00%, 4/1/08, MBIA Insured 1,844,347
1,900,000 Dade County IDA Revenue Bonds, 8.00%, 6/1/22 1,934,846
1,000,000 Flagler County Special Assessment Revenue Bonds,
7.20%, 7/1/14 1,104,930
2,000,000 Florida State Board of Education Capital Outlay
Trust Receipts VRDN, 5.50%, 6/1/26 1,957,400
1,500,000 Tampa Capital Improvement Program Revenue Bonds,
Series B, 8.375%, 10/1/18, IA: Den Danske Bank, 1,559,805
2,000,000 Tampa Palms Community Development Special
Assessment Revenue Bonds, 5.90%, 5/1/08, MBIA
Insured 2,168,200
Hawaii - 1.9%
1,000,000 Honolulu City & County GO Bonds, 5.00%, 10/1/13 960,140
Illinois - 4.7%
2,500,000 Chicago General Obligation Bonds, Series B, 5.00%,
1/1/11, AMBAC Insured 2,442,450
Indiana - 2.2%
1,000,000 Indianapolis Local Public Improvement Bond Bank
Revenue Bonds, 6.75%, 2/1/14 1,145,440
Louisiana - 7.0%
Louisiana Public Finance Agency MFH Revenue Bonds,
$1,690,000 7.75%, 11/1/16, Asset Guaranty Insured 1,803,348
1,705,000 7.00%, 6/1/24 1,848,561
Maryland - 6.2%
2,100,000 Cambridge Economic Development Revenue Bonds,
8.50%, 4/1/14 2,290,155
885,000 Maryland State Community Development Authority
Mortgage Revenue Bonds, 7.70%, 4/1/15 925,604
Massachusetts - 1.9%
1,000,000 State GO Bonds, Series A, 5.00%, 7/1/12,
AMBAC Insured 971,230
Michigan - 4.0%
980,000 Southfield Economic Development Corporation Revenue
VRDN, 5.95%, 5/15/11, INSUR: Firemans Insurance
Company, NJ 980,000
1,000,000 State Hospital Finance Authority Revenue Bonds,
7.00%, 11/1/21 1,089,470
New Jersey - 4.2%
2,000,000 Jersey City General Obligation Bonds, Series A,
6.25%, 10/1/10 2,207,200
New York - 5.1%
2,500,000 New York and New Jersey Port Authority, Ninety-
Third Series Consolidated Revenue Bonds, 6.125%,
6/1/2094 2,663,125
Ohio - 3.9%
1,000,000 Dayton Special Facilities Revenue Bonds,
6.05%, 10/1/09 1,029,920
1,000,000 Cleveland Waterworks Revenue Bonds, 5.50%,
1/1/21, MBIA Insured 1,010,560
Pennsylvania - 6.5%
1,255,000 Northeastern Pennsylvania Hospital Authority
Revenue Bonds, 7.65%, 7/1/10, (Pre-refunded) 1,352,237
2,000,000 Philadelphia Airport Rev. Bonds, 9.00%, 6/15/15 2,037,500
Rhode Island - 2.1%
500,000 Port Authority & Economic Development Corp.
Airport Revenue Bonds, Series A, 7.00%, 7/1/14,
FSA Insured 580,945
500,000 State Housing & Mortgage Finance Corp
Revenue Bonds, Series B, 7.95%, 10/1/30 529,595
Texas - 2.1%
1,000,000 Houston Water Conveyance System Contract
Certificates of Participation, 6.125%, 12/15/09,
AMBAC Insured 1,096,540
Vermont - 2.5%
1,250,000 Vermont Educational and Health Buildings Finance
Agency Hospital Revenue Bonds, 6.00%, 9/1/06 1,285,363
Virginia - 6.2%
$1,000,000 Arlington County GO Bonds, Series 1993,
6.00%, 6/1/11 $1,089,920
1,000,000 Chesapeake IDA Public Facilities Lease Revenue
Bonds, 6.00%, 6/1/08, MBIA Insured 1,084,190
1,000,000 Virginia State Housing Development Authority
Revenue Bonds, 6.00%, 7/1/03 1,040,280
Other - 1.9%
1,000,000 Oneida Utility Community Government Lease Revenue
Bonds, 6.25%, 7/1/97 1,000,040
Total Municipal Obligations (Cost $48,407,907) 51,001,944
Contracts
Options Purchased - 0.0%
100 Put Options on September 1997 U.S. Treasury
Bond Futures, Expiration 8/23/97, Strike
Price 104 4,687
Total Options (Premium $121,310) 4,687
TOTAL INVESTMENTS (Cost $48,529,217) - 98.2% 51,006,631
Other assets and liabilities, net - 1.8% 956,576
Net Assets - 100.0% $51,963,207
Net Assets Consist of:
Paid-in capital applicable to the following 3,101,939
Class A shares of beneficial interest,
unlimited number of no par value shares authorized: $49,567,601
Undistributed net investment income 54,731
Accumulated net realized gain (loss) on investments (136,539)
Net unrealized appreciation (depreciation) on investments 2,477,414
Net assets $51,963,207
Net Asset Value per Share $16.75
Explanation of Guarantees:
BPA: Bond Purchase Agreement
GA: Guaranty Agreement
LOC: Letter of Credit
C/LOC: Collateralized LOC
GIC: Guaranteed Investment Contract
SURBD: Surety Bond
TOA: Tender Option Agreement
IA: Investment Agreement
Abbreviations:
IDA: Industrial Development Authority
MFH: Multi-Family Housing
VRDN: Variable Rate Demand Note
GO: General Obligation
Certain securities have optional or mandatory tender features which give them
a shorter effective maturity date.
See notes to financial statements.
<PAGE>
Statements of Operations
Six Months Ended June 30, 1997
Net Investment Income Money Limited- Long-
Market Term Term
Portfolio Portfolio Portfolio
Net Investment Income
Investment Income
Interest income $30,788,085 $12,768,785 $1,585,395
Expenses
Investment advisory fee 3,499,898 1,610,040 152,998
Transfer agency fees
and expenses 935,314 95,647 12,806
Distribution Plan expenses:
Class MMP 53,095 - -
Class A - - 22,950
Trustees' fees & expenses 123,423 42,307 4,027
Administrative fees 61,582 21,460 2,008
Custodian fees 52,227 28,049 6,803
Registration fees 56,406 21,683 11,123
Reports to shareholders 307,118 63,037 7,700
Professional fees 29,143 10,109 951
Miscellaneous 81,934 25,586 3,134
Total expenses 5,200,140 1,917,918 224,500
Fees paid indirectly (52,227) (28,049) (6,803)
Net expenses 5,147,913 1,889,869 217,697
Net Investment Income 25,640,172 10,878,916 1,367,698
Realized and Unrealized
Gain (Loss) on Investments
Net realized gain (loss) (32,391) 70,495 40,752
Change in unrealized appreciation
or depreciation - (484,162) (191,473)
Net Realized and
Unrealized Gain (Loss)
on Investments (32,391) (413,667) (150,721)
Increase (Decrease) in
Net Assets Resulting
from Operations $25,607,781 $10,465,249 $1,216,977
<PAGE>
Money Market Portfolio
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets Six Months Year Ended
Ended December
June 30, 1997 31, 1996
Operations
Net investment income $25,640,172 $57,218,223
Net realized gain (loss) (32,391) 33,590
Increase (Decrease) in Net Assets
Resulting from Operations 25,607,781 57,251,813
Distributions to shareholders from
Net investment income:
Class O shares (25,359,942) (56,093,159)
Class MMP shares (408,696) (1,031,769)
Total distributions (25,768,638) (57,124,928)
Capital share transactions
Shares sold:
Class O shares 1,913,649,740 4,893,871,993
Class O shares issued from merger
(Note A) - 25,561,370
Class MMP shares 19,718,416 49,376,871
Reinvestment of distributions:
Class O shares 23,848,003 53,590,469
Class MMP shares 395,733 1,008,296
Shares redeemed:
Class O shares (1,956,617,562) 5,163,255,645)
Class MMP shares (26,831,603) (58,963,850)
Total capital share transactions (25,837,273) (198,810,496)
Total Increase (Decrease) in
Net Assets (25,998,130) (198,683,611)
Net Assets
Beginning of period 1,583,890,800 1,782,574,411
End of period (including undistributed net
investment income (loss)
of ($50) and $128,416, respectively) $1,557,892,670 $1,583,890,800
Capital Share Activity
Shares sold:
Class O shares 1,913,649,740 4,893,872,122
Class O shares issued from
merger (Note A) - 25,561,370
Class MMP shares 19,718,416 49,376,871
Reinvestment of distributions:
Class O shares 23,848,003 53,590,469
Class MMP shares 395,733 1,008,296
Shares redeemed:
Class O shares (1,956,617,562) (5,163,247,502)
Class MMP shares (26,831,603) (58,963,639)
Total capital share activity (25,837,273) (198,802,013)
See notes to financial statements.
<PAGE>
Limited-Term Portfolio
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets Six Months Year Ended
Ended December
June 30, 1997 31, 1996
Operations
Net investment income $10,878,916 $21,362,929
Net realized gain (loss) 70,495 109,135
Change in unrealized appreciation
or depreciation (484,162) (1,443,220)
Increase (Decrease) in Net
Assets Resulting from
Operations 10,465,249 20,028,844
Distributions to shareholders from
Net investment income:
Class A shares (10,864,685) (20,638,063)
Class C shares - (860,629)
Total distributions (10,864,685) (21,498,692)
Capital share transactions
Shares sold:
Class A shares 191,853,653 281,591,729
Class C shares - 18,545,971
Reinvestment of distributions:
Class A shares 8,610,597 16,001,306
Class C shares - 829,298
Shares redeemed:
Class A shares (190,496,728) (241,582,307)
Class C shares - (49,338,119)
Total capital share transactions 9,967,522 26,047,878
Total Increase (Decrease) in
Net Assets 9,568,086 24,578,030
Net Assets
Beginning of period 512,341,653 487,763,623
End of period (including undistributed net
investment income of $169,154 and $154,923,
respectively) $521,909,739 $512,341,653
Capital Share Activity
Shares sold:
Class A shares 17,943,558 26,296,141
Class C shares - 1,738,075
Reinvestment of distributions:
Class A shares 806,527 1,496,514
Class C shares - 77,843
Shares redeemed:
Class A shares (17,829,108) (22,560,453)
Class C shares - (4,629,558)
Total capital share activity 920,977 2,418,562
See notes to financial statements.
Long-Term Portfolio
Statements of Changes in Net Assets
Increase (Decrease) in Net Assets Six Months Year Ended
Ended December 31,
June 30, 1997 1996
Operations
Net investment income $1,367,698 $2,938,135
Net realized gain (loss) 40,752 (180,586)
Change in unrealized appreciation
or depreciation (191,473) (1,414,590)
Increase (Decrease) in Net Assets
Resulting from Operations 1,216,977 1,342,959
Distributions to shareholders from
Net investment income:
Class A shares (1,387,227) (2,985,717)
Class C shares - (53,884)
Net realized gain on investments:
Class A shares - (35,067)
Total distributions (1,387,227) (3,074,668)
Capital share transactions
Shares sold:
Class A shares 3,587,447 7,505,675
Class C shares - 846,535
Reinvestment of distributions:
Class A shares 1,138,167 2,461,574
Class C shares - 52,534
Shares redeemed:
Class A shares (5,537,355) (12,713,133)
Class C shares - (2,513,044)
Total capital share transactions (811,741)
(4,359,859)
Total Increase (Decrease) in Net Assets (981,991) (6,091,568)
Net Assets
Beginning of period 52,945,198 59,036,766
End of period (including undistributed net
investment income of $54,731 and $74,260,
respectively) $51,963,207 $52,945,198
Capital Share Activity
Shares sold:
Class A shares 215,825 447,469
Class C shares - 50,957
Reinvestment of distributions:
Class A shares 68,396 146,928
Class C shares - 3,173
Shares redeemed:
Class A shares (331,506) (758,710)
Class C shares - (152,069)
Total capital share activity (47,285) (262,252)
See notes to financial statements.
Notes To Financial Statements
Note A-Significant Accounting Policies
General: The Calvert Tax-Free Reserves (the "Fund") is registered under the
Investment Company Act of 1940 as a diversified, open-end management
investment company. The Fund is comprised of five separate portfolios, three
of which are reported herein; Money Market, Limited-Term and Long-Term. The
operations of each series are accounted for separately. Each Portfolio offers
shares of beneficial interest. Money Market Class O and Class MMP shares are
sold without a sales charge. Shares of Limited-Term and Long-Term are sold
with a maximum front-end sales charge of 1.00% for Limited-Term and 3.75% for
Long-Term. On October 29, 1996, all outstanding Class C shares of Limited-Term
and Long-Term were converted into an equivalent value of Class A shares. This
transaction was a tax-free exchange and no sales charge was applied to the
Class A shares issued.
On April 26, 1996, the net assets of Calvert Tax-Free Reserves New Jersey
Money Market Portfolio ("New Jersey") were merged into Money Market Portfolio.
The acquisition was accomplished by a tax-free exchange of 25,561,370 shares
of Money Market Portfolio (valued at $25,561,370) for the 25,561,370 shares of
New Jersey outstanding at April 26, 1996. New Jersey's net assets at that date
were combined with those of Money Market Portfolio. The aggregate net assets
of Money Market Portfolio and New Jersey immediately before the acquisition
were $1,721,364,392 and $25,552,886, respectively.
Security Valuation: Municipal securities are valued utilizing the average of
bid prices or at bid prices based on a matrix system (which considers such
factors as security prices, yields, maturities and ratings) furnished by
dealers through an independent pricing service. Securities listed or traded on
a national securities exchange are valued at the last reported sale price. All
securities for Money Market are valued at amortized cost which approximates
market. Other securities and assets for which market quotations are not
available or deemed inappropriate are valued in good faith under the direction
of the Board of Trustees.
Options: Long-Term may write or purchase option securities. The option premium
is the basis for recognition of unrealized or realized gain or loss on the
option. The cost of securities acquired or the proceeds from securities sold
through the exercise of the option is adjusted by the amount of the premium.
Futures Contracts: Long-Term may enter into futures contracts agreeing to buy
or sell a financial instrument for a set price at a future date. The Portfolio
maintains securities with a value equal to its obligation under each contract.
Initial margin deposits of either cash or securities are made upon entering
into futures contracts; thereafter, variation margin payments are made or
received daily reflecting the change in market value. Unrealized or realized
gains and losses are recognized based on the change in market value. Risks of
futures contracts arise from the possible illiquidity of the futures markets
and the movement in the value of the investment or in interest rates.
Security Transactions and Investment Income: Security transactions are
accounted for on trade date. Realized gains and losses are recorded on an
identified cost basis. Interest income, accretion of discount and amortization
of premium are recorded on an accrual basis.
Distributions to Shareholders: Distributions to shareholders are recorded by
the Fund on ex-dividend date. Dividends from net investment income are accrued
daily and paid monthly for Money Market; dividends from net investment income
are declared and paid monthly for Limited-Term and Long-Term. Distributions
from net realized capital gains, if any, are paid at least annually.
Distributions are determined in accordance with income tax regulations which
may differ from generally accepted accounting principles, accordingly,
periodic reclassifications are made within the Fund's capital accounts to
reflect income and gains available for distribution under income tax
regulations.
Estimates: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amount of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expenses during the
reporting period. Actual results could differ from those estimates.
Expense Offset Arrangements: The Fund has an arrangement with its custodian
bank whereby the custodian's fees are paid indirectly by credits earned on the
Fund's cash on deposit with the bank. Such deposit arrangement is an
alternative to overnight investments.
Federal Income Taxes: No provision for federal income or excise tax is
required since the Fund intends to continue to qualify as a regulated
investment company under the Internal Revenue Code and to distribute
substantially all of its earnings.
Note B-Related Party Transactions
Calvert Asset Management Company, Inc. (the "Advisor") is wholly-owned by
Calvert Group, Ltd. ("Calvert"), which is indirectly wholly-owned by Acacia
Mutual Life Insurance Company. The Advisor provides investment advisory
services and pays the salaries and fees of officers and affiliated Trustees of
the Fund. For its services, the Advisor receives monthly fees based on the
following annual rates of average daily net assets:
First $500 Next $500 Over $1
Million Million Billion
Money Market .50% .45% .40%
Limited-Term .60% .50% .40%
Long-Term .60% .50% .40%
Calvert Administrative Services Company, an affiliate of the Advisor, provides
administrative services to the Fund for an annual fee, payable monthly of
$200,000, which is allocated to all of the Portfolios of the Fund based on
their relative net assets.
Calvert Distributors, Inc., an affiliate of the Advisor, is the distributor
and principal underwriter for the Fund. Distribution Plans, adopted by Class
MMP of Money Market and Long-Term, allow the Portfolios to pay the distributor
for expenses and services associated with distribution of shares. The expenses
paid may not exceed an annual rate of average daily net assets of: .35% on
Class MMP of Money Market and Long-Term.
The Distributor paid $71,261 in addition to the commissions charged on sales
of Limited-Term, and received $4,255 as its portion of commissions charged on
sales of Long-Term.
Calvert Shareholder Services, Inc., an affiliate of the Advisor, acts as
transfer, dividend disbursing and shareholder servicing agent for the Fund.
Each Trustee who is not affiliated with the Advisor received an annual fee of
$20,500 plus up to $1,500 for each Board and Committee meeting attended.
Trustee's fees are allocated to each of the funds served.
Note C-Investment Activity
During the period, purchases and sales of investments, other than short-term
securities, were:
Limited-Term Long-Term
Purchases $142,860,234 $5,108,700
Sales 60,796,031 8,688,357
Money Market held only short-term investments.
The cost of investments owned at June 30, 1997 was substantially the same for
federal income tax and financial reporting purposes for each Portfolio. The
following table presents the components of net unrealized appreciation
(depreciation) as of June 30, 1997 and the net realized capital loss
carryforward as of December 31, 1996 with expiration dates:
Money Limited- Long-
Market Term Term
Unrealized appreciation - $1,386,233 $2,594,036
Unrealized depreciation - (157,621) (116,622)
Net - $1,228,612 $2,477,414
Capital loss carry forward - $336,307 $223,896
Expiration dates - 2002 2004
Capital losses may be utilized to offset current and future capital gains
until expiration.
As a cash management practice, Portfolios may sell or purchase short-term
variable rate demand notes from other Portfolios managed by the Advisor. All
transactions are executed at independently derived prices.
Note D-Subsequent Event
On July 29, 1997, all outstanding Class MMP shares were converted
automatically into Class O shares of the Money Market Portfolio. This
transaction was a non-taxable exchange. On August 1, 1997, Class MMP was
converted to the Institutional Class, with a lower expected expense ratio and
a minimum initial investment of $1,000,000.
Financial Highlights
Money Market Portfolio
Class O Shares,
Periods Ended
6/30/97 12/31/96 12/31/95 12/31/94
Net asset value, beginning $1.00 $1.00 $1.00 $1.00
Income from investment operations
Net investment income .016 .033 .040 .028
Distributions from
Net investment income (.016) (.033) (.040) (.028)
Net asset value, ending $1.00 $1.00 $1.00 $1.00
Total return* 1.65% 3.33% 4.02% 2.81%
Ratios to average net assets:
Net investment income 3.29%(a) 3.28% 3.93% 2.75%
Total expenses + .65%(a) .65% .62% -
Net expenses .65%(a) .64% .61% .62%
Net assets, ending
(in thousands) $1,531,462 $1,550,731 $1,740,839 $1,344,595
Number of shares outstanding,
ending (in thousands) 1,531,605 1,550,724 1,740,948 1,344,668
Class O shares, periods ended
12/31/93 12/31/92
Net asset value, beginning $1.00 $1.00
Income from investment operations
Net investment income .024 .031
Distributions from
Net investment income (.024) (.031)
Net asset value, ending 1.00 $1.00
Total return* 2.41% 3.18%
Ratios to average net assets:
Net investment income 2.37% 3.10%
Total expenses + - -
Net expenses .60% .59%
Net assets, ending
(in thousands) $1,500,614 $1,552,106
Number of shares outstanding,
ending (in thousands) 1,500,557 1,552,061
Class MMP shares, periods ended
6/30/97 12/31/96
12/31/95^
Net asset value, beginning $1.00 $1.00 $1.00
Income from investment operations
Net investment income .013 .030 .008
Distributions from
Net investment income (.013) (.030) (.008)
Net asset value, ending $1.00 $1.00 $1.00
Total return* 1.35% 2.68% .79%
Ratios to average net assets:
Net investment income 2.62%(a) 2.65%(a) 3.19%(a)
Total expenses + 1.31%(a) 1.29%(a) 1.35%(a)
Net expenses 1.30%(a) 1.28%(a) 1.34%(a)
Net assets, ending
(in thousands) $26,431 $33,160 $41,736
Number of shares outstanding,
ending (in thousands) 26,436 33,153 41,732
Financial Highlights
Limited-Term Portfolio
(Class A Shares)
Periods Ended 06/30/97 12/31/96 12/31/95
Net asset value, beginning $10.69 $10.72 $10.59
Income from investment operations
Net investment income .21 .44 .45
Net realized and unrealized gain (loss) - (.03) .13
Total from investment operations .21 .41 .58
Distributions from
Net investment income (.21) (.44) (.45)
Total increase (decrease) in net asset value - (.03) .13
Net asset value, ending $10.69 $10.69 $10.72
Total return* 1.99% 3.94% 5.55%
Ratios to average net assets:
Net investment income 3.99%(a) 4.12% 4.21%
Total expenses + .70%(a) .71% .71%
Net expenses .69%(a) .70% .70%
Portfolio turnover 17% 45% 33%
Net assets, ending (in thousands) $521,910 $512,342 $457,707
Number of shares outstanding,
ending (in thousands) 48,843 47,922 42,690
Years Ended 12/31/94 12/31/93 12/31/92
Net asset value, beginning $10.72 $10.68 $10.65
Income from investment operations
Net investment income .39 .38 .49
Net realized and unrealized gain (loss) (.13) .04 .03
Total from investment operations .26 .42 .52
Distributions from
Net investment income (.39) (.38) (.49)
Total increase (decrease) in net asset value (.13) .04 .03
Net asset value, ending $10.59 $10.72 $10.68
Total return* 2.42% 4.02% 4.99%
Ratios to average net assets:
Net investment income 3.60% 3.59% 4.58%
Total expenses + - - -
Net expenses .66% .67% .71%
Portfolio turnover 27% 14% 5%
Net assets, ending (in thousands) $544,822 $663,305 $567,419
Number of shares outstanding,
ending (in thousands) 51,424 61,861 53,140
Financial Highlights
Limited-Term Portfolio
(Class C Shares)
Periods Ended 10/29/96 12/31/95
12/31/94#
Net asset value, beginning $10.68 $10.56 $10.70
Income from investment operations
Net investment income .30 .38 .27
Net realized and unrealized gain (loss) (.02) .13
(.12)
Total from investment operations .28 .51 .15
Distributions from
Net investment income (.31) (.39) (.29)
Total increase (decrease) in net asset value (.03)
.12 (.14)
Net asset value, ending $10.65 $10.68 $10.56
Total return* 2.63% 4.86% 1.43%
Ratios to average net assets:
Net investment income 3.45%(a) 3.57% 3.05%(a)
Total expenses + 1.43%(a) 1.35% -
Net expenses 1.42%(a) 1.34% 1.38%(a)
Portfolio turnover 27% 33% 27%
Net assets, ending (in thousands) $29,215 $30,057 $31,081
Number of shares outstanding,
ending (in thousands) 2,744 2,814 2,942
Financial Highlights
Long-Term Portfolio
(Class A Shares)
Periods Ended 06/30/97 12/31/96 12/31/95
Net asset value, beginning $16.81 $17.31 $15.83
Income from investment operations
Net investment income .44 .93 .95
Net realized and unrealized gain (loss) (.05) (.46) 1.53
Total from investment operations .39 .47 2.48
Distributions from
Net investment income (.45) (.95) (.91)
Net realized gains - (.02) (.09)
Total distributions (.45) (.97) (1.00)
Total increase (decrease) in net
asset value (.06) (.50) 1.48
Net asset value, ending $16.75 $16.81 $17.31
Total return * 2.37% 2.89% 16.05%
Ratios to average net assets:
Net investment income 5.36%(a) 5.50% 5.71%
Total expenses + .88%(a) .89% .87%
Net expenses .85%(a) .86% .85%
Portfolio turnover 11% 41% 58%
Net assets, ending (in thousands) $51,963 $52,945 $57,359
Number of shares outstanding,
ending (in thousands) 3,102 3,149 3,314
Years Ended 12/31/94 12/31/93 12/31/92
Net asset value, beginning $17.15 $16.32 $16.11
Income from investment operations
Net investment income .93 .94 .98
Net realized and unrealized gain (loss) (1.33) .83 .20
Total from investments (.40) 1.77 1.18
Distributions from
Net investment income (.92) (.94) (.97)
Net realized gains - - -
Total distributions (.92) (.94) (.97)
Total increase (decrease) in net
asset value (1.32) .83 .21
Net asset value, ending $15.83 $17.15 $16.32
Total return * (2.30%) 11.12% 7.60%
Ratios to average net assets:
Net investment income 5.73% 5.59% 6.06%
Total expenses + - - -
Net expenses .81% .78% .82%
Portfolio turnover 98% 97% 196%
Net assets, ending (in thousands) $47,267 $55,204 $45,665
Number of shares outstanding,
ending (in thousands) 2,985 3,219 2,799
Financial Highlights
Long-Term Portfolio
(Class C Shares)
Periods Ended
10/29/96 12/31/95 12/31/94
Net asset value, beginning $17.13 $15.72 $16.86
Income from investment operations
Net investment income .52 .78 .58
Net realized and unrealized gain (loss) (.56) 1.46 (1.04)
Total from investment operations (.04) 2.24 (.46)
Distributions from
Net investment income (.54) (.74) (.68)
Net realized gains - (.09) -
Total distributions (.54) .83 (.68)
Total increase (decrease) in net
asset value (.58) 1.41 (1.14)
Net asset value, ending $16.55 $17.13 $15.72
Total return * (.17%) 14.51% (2.24%)
Ratios to average net assets:
Net investment income 3.89%(a) 4.34% 3.57%(a)
Total expenses + 2.52%(a) 2.19% -
Net expenses 2.49%(a) 2.17% 2.55%(a)
Expenses reimbursed (.02%)(a) - 3.06%(a)
Portfolio turnover 30% 58% 98%
Net assets, ending (in thousands) $1,307 $1,678 $871
Number of shares outstanding,
ending (in thousands) 79 98 55
* Total return does not reflect deduction of Class A front-end sales charge.
(a) Annualized
+ Effective December 31, 1995, this ratio reflects total expenses before
reduction for fees paid indirectly; such reductions are included in the ratio
of net expenses.
^ From October 2, 1995, inception.
# From March 1, 1994, inception.
