Calvert
Tax-Free Reserves
Semi-Annual Report
Limited-Term
Long-Term
Money Market
June 30, 1998
<PAGE>
CONTENTS
President's Letter
1
Portfolio
Manager Remarks
2
Portfolio of Investments
8
Statements of
Assets and Liabilities
25
Statements
of Operations
26
Statements of
Changes in Net Assets
27
Notes to
Financial Statements
30
Financial Highlights
33
Dear Investor:
The previous quarter serves as a reminder that U.S. stock and bond markets can
be severely impacted by global forces and points out some of the challenges
portfolio managers will face in the months ahead.
The Asian financial crisis remains the number one issue. Devaluation of
foreign currencies makes U.S. goods more xpensive for buyers overseas and
cheapens the cost of imports to the U.S. This radical shift in pricing power
and advantage caused investors to reduce their expectations for future U.S.
corporate profits growth and helped keep stock prices from rising further.
Asia's struggles also touched off a general flight-to-quality, with investors
bailing out of stocks and riskier bonds, especially emerging market issues,
and running for the safety of U.S. Treasury securities. The yield on the
benchmark 30-year Treasury bond fell to an all-time low.
Russia's economic woes also came to the fore. Propping up the ruble is likely
to be a financial drain on world lenders and could spell more trouble for
emerging market countries.
There are bright spots. In Europe, corporations continued to post good returns
and most markets advanced during the last quarter. Looking ahead, progress
toward a single currency, the euro, for 11 participating countries should
encourage further gains, as it will reduce corporations' currency risk and
make it easier to sell goods and services to customers in other euro-based
countries.
Our equity and fixed-income managers continue to cast a wide net
in monitoring these and other key economic and financial hot spots around the
world without lessening their focus on the changing U.S. economy.
We appreciate your choosing to invest with Calvert Group.
Sincerely,
/s/
Barbara J. Krumsiek
President and CEO
July 27, 1998
<PAGE>
[picture]
Tom Dailey is a member of the CAMCO portfolio management team.
Calvert Tax-Free Reserves Money Market Portfolio seeks to earn the highest
interest income exempt from federal income taxes as is consistent with prudent
investment management, preservation of capital, and the quality and maturity
characteristics of the Portfolio.
Fund
Information
asset allocation
tax-exempt
money market
NASDAQ symbol
CTMXX
CUSIP number
131620-10-6
CALVERT TAX-FREE RESERVES
Money Market Portfolio
Please describe interest rate trends and economic conditions during the past
six months.
The domestic economy continued to expand during the first half of 1998, buoyed
by low interest rates, low unemployment, and subdued inflation.
The decline in long-term interest rates was primarily the result of the
anti-inflationary effects of Asia's financial woes and the Treasury's paydown
of outstanding debt. Devaluation of foreign currencies makes U.S. goods more
expensive, so U.S. exports to those regions have declined. Imports to the
U.S., on the other hand, rose, which tends to increase price competition here.
The Federal Reserve opted to maintain its neutral monetary policy on the
assumption that fallout from the Asian financial crisis would act as a
sufficient drag on the U.S. economy. The Fed has not taken steps to raise or
lower rates since hiking the federal funds rate one-quarter of a percent on
March 25, 1997.
What steps did you take to enhance the Portfolio's yield?
We looked to exploit seasonal supply and demand conditions, including
tax-season outflows and new issuance. During the second quarter of the year,
large numbers of investors redeem shares of their tax-free money market mutual
funds in order to meet tax payments. Fund managers are forced to sell
securities to meet redemptions, which creates an abundant supply. Yields move
up to lure investors back into the market.
Also in the first half of this year, variable-rate demand note issuance
increased. This only magnifies the increase in rates. We positioned the
Portfolio to benefit from these events by shortening maturity from 50 days at
the beginning of the year to 28 days at the end of the first quarter.
Our opportunity to bring maturity back in line with our target range came at
the end of the second quarter, when unicipalities flood the market with new
issues of one-year notes. This year, the supply of these notes was reduced by
two factors. First, municipalities have seen tax revenues rise and therefore
don't need to issue the same volume of debt securities. Second, a significant
portion of this note issuance was converted into variable-rate demand notes.
We acted quickly to buy one-year securities before their yields trended below
attractive levels. At the close of the period,
maturity stood at 52 days, just above its level at the beginning of the year.
<PAGE>
How has the Portfolio performed relative to its peers?
Calvert Tax-Free Reserves Money Market Portfolio's six-month return of 1.66%
is outperformed the 1.48% return for the Lipper Tax-Exempt Money Market
Average.
What's your outlook for the coming months?
We anticipate financial turmoil in Asia will continue to hold the pace of US
economic growth to non-inflationary levels and keep the Federal Reserve from
acting to raise rates. Also, we expect the equity markets to remain volatile.
Thus, we're looking for opportunities to maintain a longer average maturity.
July 21, 1998
Please remember, this discussion reflects the views and opinions of Calvert
Asset Management Company at June 30, 1998, the end of the reporting period.
Our strategy and the Fund's portfolio composition may differ due to
ever-changing market and economic conditions. While historical performance is
no guarantee of future results, it may give you a better and more thorough
understanding of our investment
decisions and management philosophy.
Portfolio
statistics
weighted
average maturity
6.30.98 52 days
12.31.97 50 days
credit quality
distribution
as of 6.30.98
Pie Chart
1st Tier 94%
2nd Tier 6%
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.
comparative month-end yields
IBC's General
CTFR Purpose Tax-Free
Money Market Money Market
Class O Averages
6.30.98 3.27%3.02%
5.31.98 3.51%3.17%
4.30.98 3.62%3.19%
3.31.98 3.14%2.79%
2.28.98 3.08%2.75%
1.31.98 3.27%2.96%
12.31.97 3.48%3.18%
class O
average annual
total return
as of 6.30.98
1 year 3.39%
5 year 3.28%
10 year 4.10%
inception 4.81%
(3.04.81)
Total returns assume reinvestment of dividends. Past performance is no
guarantee of future results. Performance information represents the value of
an investment in Class O shares. The value of an investment in Class I shares
would be different. Sources: IBC's Money Fund Report, IBC Financial Data Inc.
and Lipper Analytical Services Inc.
<PAGE>
[picture]
Emmett Long is a member of the CAMCO portfolio management team.
Calvert Tax-Free Reserves Limited-Term Portfolio seeks to earn the highest
level of interest income exempt from federal income taxes as is consistent
with prudent investment management, preservation of capital, and the quality
and maturity characteristics of the Portfolio.
Fund
Information
asset allocation
short-term
tax-exempt bonds
NASDAQ symbol
CTFLX
CUSIP number
131620-20-5
COMPARATIVE INVESTMENT PERFORMANCE
CTFR Lipper Short Lehman
Limited-Term Municipal Debt Municipal Bond
Portfolio Funds Average Index TR
6 month 1.79% 1.92% 2.69%
1 year 3.87% 4.56% 8.66%
3 year 4.04% 4.39% 7.85%
5 year 3.89% 4.01% 6.46%
Investment performance does not reflect the deduction of any front-end sales
charge.
TR represents total return. Source: Lipper Analytical Services, Inc.
CALVERT TAX-FREE RESERVES LIMITED-TERM PORTFOLIO
Describe the economic environment for the first six months of the year.
The US economy maintained a steady pace of growth during the first half of
year, buoyed by low interest rates, low unemployment and low inflation.
The low interest rate/low inflation rate trend is being driven primarily by
the Asian crisis.
The crisis precipitated a "flight" to the safe haven of US Treasuries, and as
money poured in long-term yields fell to near records lows.
The crisis also helped to reduce inflationary pressures worldwide and aided
the Federal Reserve to keep anticipated rate increases on hold. These two
effects, long long-term rates and low inflation, energized the economy during
the period.
How did the investing environment affect the Portfolio's strategy?
The Portfolio is structured to remain fairly stable when volatility tends to
rock the intermediate and long-term segments of the curve. There were no
surprises for the first half of the year and the Portfolio performed in line
with our objectives. As always, we emphasized a value approach in an effort to
optimize tax-free income for our investors.
How did the Portfolio's performance compare to its peers?
For the six-months ended June 30, 1998, Calvert Tax-Free Reserves Limited-Term
Portfolio generated a total return of 1.79% vs. 1.92% for its benchmark, the
Lipper Short Municipal Debt Funds Average.
During the period, we kept the average maturity near the one year level,
compared to the other funds in our Lipper category, whose average maturities
tend to be closer to three years, and the Lehman Municipal Bond Index whose
maturity averages 20 years.
The Portfolio's short maturity provides a risk averse investor minimal
volatility, extremely efficient tax management and competitive total return.
What is your short-term outlook and how will it change your management
strategy for the Portfolio?
Economic weakness in Asia will continue to dampen inflation and economic
activity in the US. The one positive to all this is that we do not expect the
Fed to raise rates anytime soon. We will maintain our current strategy for the
second half of the year.
July 21, 1998
Please remember, this discussion reflects the views and opinions of Calvert
Asset Management Company at June 30, 1998, the end of the reporting period.
Our strategy and the Fund's portfolio composition may differ due to
ever-changing market and economic conditions. While historical performance is
no guarantee of future results, it may give you a better and more thorough
understanding of our investment decisions and management philosophy.
Portfolio
statistics
monthly
dividend yield
6.30.98 3.84%
12.31.97 3.71%
30 day SEC yield
6.30.98 3.56%
12.31.97 3.54%
weighted
average maturity
6.30.98 292 days
12.31.97 327 days
effective duration
6.30.98 259 days
12.31.97 295 days
credit quality
distribution
as of 6.30.98
Pie Chart
AAA 19%
AA 14%
A 16%
BBB 23%
cash equivalents 28%
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Total returns assume reinvestment of dividends and reflect the deduction of
Portfolio's maximum front-end sales charge of 1.00%. No sales charge has been
applied to the indices used for comparison. Past performance is no guarantee
of future returns. Source: Lipper Analytical Services, Inc.
Line Graph here showing comparison from 7/1/88 to 6/30/98
CTFR Limited-Term Portfolio $16,005
Lehman Municipal Bond Fund Index TR $22,192
Lipper Short Municipal Debt Funds Average $16,508
average annual
total return
as of 6.30.98
1 year 2.82%
5 year 3.68%
10 year 4.82%
inception 6.07%
(3.04.81)
<PAGE>
[picture]
Emmett Long is a member of the CAMCO portfolio management team.
Calvert Tax-Free Reserves Long-Term Portfolio seeks to earn the highest level
of interest income exempt from federal income taxes as is consistent with
prudent investment management, preservation of capital, and the quality an
maturity characteristics of the Portfolio.
Fund
Information
asset allocation
long-term
tax-exempt bonds
NASDAQ symbol
CTTLX
CUSIP number
131620-30-4
COMPARATIVE INVESTMENT PERFORMANCE
CTFR Lipper General Lehman
Long-Term Municipal Debt Municipal Bond
Portfolio Funds Average Index TR
6 month 1.81% 2.26% 2.69%
1 year 7.76% 8.39% 8.66%
3 year 6.80% 7.32% 7.85%
5 year 6.06% 5.77% 6.46%
Investment performance does not reflect the deduction of any front-end sales
charge.
TR represents total return. Source: Lipper Analytical Services, Inc.
CALVERT TAX-FREE RESERVES
Long-Term Portfolio
How would you characterize the investment environment over the last six months?
The "Asian contagion" caused extreme volatility in the municipal markets.
Early in the first quarter, bond prices soared as investors sought stability
in dollar-denominated issues. Increased demand combined with the
anti-inflationary effect of weaker international currencies pushed the yield
on the benchmark 30-year Treasury bond to a near-term low of 5.67% in January.
The municipal market participated in the rally.
In mid-February, the tone turned decidedly bearish. Key economic releases were
full of conflicting information, and the 30-year Treasury yield backed up to
the 6.00% range. By May, municipal ratios to benchmark issues were the widest
they have been since 1995. At that point, investors realized the inherent
value in the municipal market and the renewed interest sparked a rally that
extended through the end of the period.
How did this environment affect the Portfolio's strategy?
Coming out of 1997, we moved to lengthen duration--which like maturity is a
measure of the portfolio's interest rate sensitivity--in light of our
favorable outlook for the bond market. This strategy served the fund well in
early 1998. However, due to the price insensitivity of a significant portion
of the fund, we tended to underperform once we settled into a very narrow
trading range in later stages of the first quarter and the early part of the
second quarter. The Fund was also underexposed to securities issued by
electric utilities, the best performing bond market sector for the first half
of the year.
How did the Portfolio's return compare to results for its peers?
The Calvert Tax-Free Reserves Long-Term Portfolio generated a six-month return
of 1.81%, compared to a 2.26% return for an average of similar funds.
What is your short-term outlook for the bond market?
We believe yields on municipal securities will test new lows in the later
stages of this year. Accordingly, we'll keep the Portfolio's weighted average
maturity near the long end of our target range. This will allow us to
participate more fully in any market rally.
July 21, 1998
Please remember, this discussion reflects the views and opinions of Calvert
Asset Management Company at June 30, 1998, the end of the reporting period.
Our strategy and the Fund's portfolio composition may differ due to
ever-changing market and economic conditions. While historical performance is
no guarantee of future results, it may give you a better and more thorough
understanding of our investment decisions and management philosophy.
Portfolio
statistics
monthly
dividend yield
6.30.98 4.09%
12.31.97 4.66%
30 day SEC yield
6.30.98 3.99%
12.31.97 4.17%
weighted
average maturity
6.30.98 16 years
12.31.97 16 years
effective duration
6.30.98 8.09 years
12.31.97 7.35 years
credit quality
distribution
as of 6.30.98
Pie Chart
AAA 54%
AA 21%
A 15%
BBB 2%
cash & equivalents 8%
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
Total returns assume reinvestment of dividends and reflect the deduction of
Fund's maximum front-end sales charge of 3.75%. No sales charge has been
applied to the indices used for comparison. Past performance is no guarantee
of future returns. Source: Lipper Analytical Services, Inc.
Line graph here showing comparison from 7/1/88 to 6/30/98
CTFR Limited-Term Portfolio $19,927
Lehman Municipal Bond Fund Index TR $22,192
Lipper General Municipal Debt Funds Average $20,999
average annual
total return
as of 6.30.98
1 year 3.74%
5 year 5.25%
10 year 7.14%
inception 8.01%
(8.23.83)
<PAGE>
Money Market Portfolio
Portfolio of Investments
June 30, 1998
Principal
Municipal Obligations - 111.1% Amount Value
Alabama - 3.0%
Alabama MFH Revenue VRDN,
3.75%, 9/1/20, LOC: Southtrust Bank, AL $3,090,000 $3,090,000
3.70%, 12/1/03, LOC: Amsouth Bank 3,365,000 3,365,000
Series A, 3.65%, 4/1/14, LOC: Southtrust
Bank, AL 785,000 785,000
Athens IDA Revenue VRDN, 4.55%,
6/1/05,
LOC: Tokai Bank, Ltd. 3,500,000 3,500,000
Birmingham Airport Authority Revenue
Municipal Trust Receipts,
3.64%, 7/1/26, MBIA Insured 8,000,000 8,000,000
Calhoun County Economic Development
Council
Revenue VRDN,
3.85%, 3/1/18, LOC: FNB Boston 4,000,000 4,000,000
Haleyville IDA Revenue VRDN, 3.75%,
11/1/04,
LOC: Columbus Bank & Trust 2,170,000 2,170,000
Mobile Spring Hill Medical Clinic
Revenue VRDN,
3.65%, 2/1/11, LOC: Amsouth Bank 3,425,000 3,425,000
Montgomery IDA Revenue VRDN,
3.70%, 1/1/07, LOC: Wachovia
Bank & Trust 505,000 505,000
3.75%, 3/1/23, LOC: Southtrust Bank 3,190,000 3,190,000
Northpoint MFH Revenue VRDN,
3.75%, 9/3/15, LOC: Amsouth Bank 2,170,000 2,170,000
3.65%, 7/1/18, LOC: Amsouth Bank 5,690,000 5,690,000
State IDA Revenue VRDN, 3.75%,
11/1/14,
LOC: Southtrust Bank, AL 6,675,000 6,675,000
Wynlakes Government Utility Authority
Revenue VRDN,
4.00%, 5/1/06, LOC: Amsouth Bank 3,800,000 3,800,000
Arizona - 1.7%
Apache County IDA Revenue VRDN,
3.65%, 12/15/18,
LOC: Bank of New York 4,600,000 4,600,000
Maricopa County IDA Revenue
VRDN, 3.90%, 10/1/08,
C/LOC: Great American FSB 5,415,000 5,415,000
Pinal County IDA Revenue VRDN,
4.45%, 12/1/05,
LOC: Industrial Bank of Japan 10,000,000 10,000,000
Prescott IDA Revenue VRDN, 3.75%,
12/1/14,
GA: Household Finance Corp. 8,200,000 8,200,000
Arkansas - 2.6%
Arkadelphia IDA Revenue Bonds, 3.75%,
4/1/11,
LOC: Den Danske Bank 4,000,000 4,000,000
Fayetteville Public Facilities Revenue
VRDN, 4.00%, 9/1/27,
LOC: Dresdner Bank, AG 9,300,000 9,300,000
North Little Rock Baptist Health
Facilities Revenue VRDN,
3.60%, 12/1/21, MBIA Insured 31,700,000 31,700,000
California - 15.7%
California Valleys Housing Financial
Authority Revenue VRDN,
Series A, 4.25%, 7/1/25, LOC:
Sumitomo Bank, Ltd. 6,035,000 6,035,000
Contra Costa County MFH Revenue
VRDN, 4.40%, 10/20/28,
LOC: Sumitomo Bank, Ltd. 2,000,000 2,000,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Fresno MFH Revenue VRDN, 4.50%,
5/1/15, LOC: Tokai Bank, Ltd. $8,712,000 $8,712,000
Inland Valley Development Agency Tax
Allocation VRDN,
3.75%, 3/1/27, Confirming LOC:
National
Westminster Bank 34,485,000 34,485,000
Kern Community College District
COPS, 3.20%, 1/1/25,
LOC: Union Bank of California 12,650,000 12,650,000
Local Government Financial Authority
COPS, Series 1, 4.55%,
8/1/16, LOC: Fuji Bank, Ltd. 3,200,000 3,200,000
Los Angeles County Tax and Revenue
Anticipation Notes,
Series A, 4.50%, 6/30/99 5,000,000 5,039,850
Marion County MFH Authority Revenue
VRDN, 4.10%, 10/15/29,
LOC: Dai-Ichi Kangyo Bank, Ltd. 2,900,000 2,900,000
Modesto District Financing Authority
Floating Rate Receipts,
3.58%, 10/1/15, MBIA Insured 14,000,000 14,000,000
Orange County Apartment Development
Revenue VRDN,
4.70%, 3/1/07, LOC: Tokai Bank, Ltd. 1,950,000 1,950,000
4.35%, 8/15/07, LOC: Tokai Bank, Ltd. 9,000,000 9,000,000
4.43%, 11/1/08, LOC: Tokai Bank, Ltd. 9,700,000 9,700,000
Redlands Redevelopment Agency Lease
Revenue VRDN,
4.45%, 6/1/22, Confirming LOC:
Sumitomo Bank, Ltd. 6,145,000 6,145,000
Series A, 4.45%, 8/1/22, Confirming LOC:
Sumitomo Bank, Ltd . 15,860,000 15,860,000
Riverside MFH Revenue VRDN, 4.25%,
6/1/09,
LOC: Tokai Bank, Ltd. 1,015,000 1,015,000
San Francisco MFH Revenue VRDN,
4.40%, 10/1/00,
LOC: Mitsubishi Trust & Banking 23,245,000 23,245,000
State Floating Rate Receipts, 3.77538%,
8/1/15, FGIC Insured 5,400,000 5,400,000
State School Cash Reserve Program Authority
Notes, Series A,
4.75%, 7/2/98 49,800,000 49,800,848
4.50%, 7/2/99 56,175,000 56,593,761
Colorado - 2.2%
Central City MFH Revenue VRDN,
4.00%, 12/25/30,
LOC: Texas Commerce Bank 3,194,000 3,194,000
City and County of Denver MFH Revenue
VRDN, 3.30%,
12/15/14, Confirming
LOC: Den Danske Bank 8,500,000 8,500,000
Fort Collins MFH Revenue VRDN,
3.90%, 11/25/30,
LOC: Texas Commerce Bank 3,950,000 3,950,000
Lakewood IDA Revenue VRDN,
4.35%, 8/1/07,
LOC: West One Bank 2,070,000 2,070,000
State General Fund Tax and Revenue
Anticipation Notes,
Series A, 4.00%, 6/25/99 20,000,000 20,079,600
Connecticut - 0.1%
Connecticut State Health and Education
Facilities Authority
Revenue VRDN, 4.20%, 2/1/09, LOC:
Barclays Bank, Plc. 1,120,000 1,120,000
Connecticut State Development Authority
Revenue VRDN,
4.20%, 6/1/08, LOC: Barclays Bank, Plc. 1,001,000 1,001,000
District of Columbia - 3.7%
D.C. Municipal Trust Receipts,
3.80%, 6/1/03, FSA Insured 5,300,000 5,300,000
3.80%, 7/27/03, AMBAC Insured 10,900,000 10,900,000
3.80%, 6/1/05, MBIA Insured 7,710,000 7,710,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
District of Columbia (cont'd)
D.C. MFH Revenue VRDN, 4.35%,
12/1/05,
LOC: Sumitomo Bank, Ltd. $10,390,000 $10,390,000
D.C. Tax and Revenue Anticipation
Notes, 4.50%, 9/30/98,
LOC: Morgan Guaranty Trust 24,000,000 24,036,240
Metro D.C Airports Revenue VRDN,
3.70%, 8/21/98,
LOC: NationsBank 4,500,000 4,500,000
Florida - 5.7%
Capital Projects Financial Authority
Revenue VRDN,
Series A, 3.55%, 8/1/17, FSA Insured 21,000,000 21,000,000
4.00%, 6/1/28, FSA Insured 15,000,000 15,000,000
Duval County MFH Revenue VRDN,
4.10%, 6/1/07, LOC: Household
Financial Corp. 3,150,000 3,150,000
4.10%, 7/1/25, LOC:
Household Financial Corp. 2,800,000 2,800,000
Pinellas County Health Facilities
Authority Revenue VRDN,
3.90%, 12/1/15, LOC: Chase
Manhattan Bank 3,600,000 3,600,000
3.60%, 11/1/15, LOC: First Union
Bank, NC 3,955,000 3,955,000
Orange County Health Facilities
Authority Revenue VRDN,
3.70%, 3/27/06, MBIA Insured 2,600,000 2,600,000
3.70%, 10/1/06, MBIA Insured 6,880,000 6,880,000
3.70%, 10/1/08, MBIA Insured 4,000,000 4,000,000
Palm Beach County IDA Revenue
VRDN, 4.33%, 5/5/10,
LOC: Union Bank of California 4,160,000 4,160,000
State Housing Finance Agency
Revenue VRDN,
4.10%, 12/1/09, SURBD:
Continental Casualty Co. 4,315,000 4,315,000
3.75%, 7/1/23, Confirming LOC:
Commerze Bank, AG 8,800,000 8,800,000
3.85%, 4/1/99, SURBD:
Continental Casualty Co. 7,500,000 7,500,000
University Athletic Association
Capital Improvement
Revenue VRDN,
3.70%, 2/1/20, LOC: Sunbank, NA 4,700,000 4,700,000
Volusia County MFH Revenue
VRDN, 3.875%, 9/1/05,
LOC: Amsouth Bank 3,830,000 3,830,000
Georgia - 3.9%
Athens MFH Revenue VRDN,
3.875%, 8/1/05,
Confirming LOC: FNB Chicago 2,000,000 2,000,000
Columbus Downtown
Development Authority
Revenue VRDN,
3.75%, 8/1/15, LOC: Columbus
Bank & Trust 7,800,000 7,800,000
De Kalb County MFH Revenue
VRDN, 3.65%, 11/1/15,
LOC: Amsouth Bank 7,470,000 7,470,000
Franklin County Industrial Building
Authority Revenue VRDN,
3.85%, 1/1/07, LOC: Comerica Bank 2,560,000 2,560,000
Fulton County MFH Authority Floating
Rate Trust Receipts,
3.75%, 9/1/07, LOC: International
Neder Verz 13,295,000 13,295,000
3.75%, 1/1/08, LOC: International
Neder Verz 11,560,000 11,560,000
Fulton County Residential Care
Facilities Revenue VRDN,
4.00%, 1/1/18, LOC:
Rabobank Nederland 5,800,000 5,800,000
Jackson County IDA Revenue VRDN,
4.45%, 12/1/15, LOC:
Bank of Tokyo-Mitsubishi, Ltd. 7,000,000 7,000,000
4.05%, 12/1/24, LOC:
Barclays Bank, Plc. 2,545,000 2,545,000
State Residential Financial Authority
Revenue VRDN, Series A,
3.80%, 12/1/20, TOA: Citibank 6,760,000 6,760,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Hawaii - 2.0%
State Department Budget and Finance
VRDN, 3.75%, 12/1/21,
LOC: Union Bank of California $10,000,000 $10,000,000
Hawaii State Revenue VRDN, 3.68%,
4/1/05, MBIA Insured 24,000,000 24,000,000
Idaho - 3.2%
State Tax Anticipation Notes, 4.50%,
6/30/99 50,000,000 50,433,000
Twin Falls Industrial Development Corp.
Revenue VRDN,
4.65%, 12/1/15, LOC: Sumitomo
Bank, Ltd. 4,500,000 4,500,000
Illinois - 5.7%
Arlington Heights MFH Revenue VRDN,
4.45%, 5/1/24,
LOC: Heller Financial 4,230,000 4,230,000
Chicago Municipal Trust Receipts
VRDN, 3.70%, 1/1/18,
AMBAC Insured 2,900,000 2,900,000
Elgin Industrial Development Revenue
VRDN, 3.70%, 9/1/16,
LOC: LaSalle Bank 4,700,000 4,700,000
Fulton IDA Revenue VRDN, 3.80%,
4/1/12,
LOC: Firstar Bank, Milwaukee 6,250,000 6,250,000
Galesburg Knox College Project Revenue
VRDN, 3.50%, 3/1/31,
LOC: LaSalle Bank 4,000,000 4,000,000
Rockford Economic Development
Revenue, 4.25%, 12/1/10,
LOC: Banque Paribas 2,380,000 2,380,000
State Development Financial Authority
Pollution Control Revenue
VRDN, 4.20%, 3/1/17, LOC:
Bank of Tokyo-Mitsubishi, Ltd. 2,200,000 2,200,000
State Health Facilities Authority
Revenue VRDN, 3.80%, 5/1/11,
BPA: FNB Chicago 6,000,000 6,000,000
State Educational Facilities Authority
Revenue VRDN,
3.90%, 11/1/05, LOC: Bank of
Tokyo-Mitsibishi 7,900,000 7,900,000
3.55%, 12/1/25, LOC: FNB Chicago 16,530,000 16,530,000
3.50%, 4/1/32, LOC: Bank of America 19,700,000 19,700,000
State IDA Revenue VRDN,
3.90%, 11/1/02, LOC: LaSalle Bank 2,000,000 2,000,000
3.90%, 9/2/05, LOC: American
National Bank & Trust 1,100,000 1,100,000
3.70%, 12/1/09, LOC: LaSalle Bank 2,000,000 2,000,000
Series B, 3.55%, 1/1/10, LOC:
National City Bank 2,225,000 2,225,000
4.20%, 3/1/17, LOC:
Bank of Tokyo-Mitsubishi 200,000 200,000
State Development Financial Authority
Revenue VRDN,
3.65%, 9/1/26, LOC:
Firstar Bank, Milwaukee 2,192,500 2,192,500
State Housing Development Authority
Revenue VRDN,
4.40%, 2/1/24, LOC: Sumitomo
Bank, Ltd. 7,905,000 7,905,000
Winnebago County IDA Revenue VRDN,
6.035%, 12/1/06,
LOC: Bank of Nova Scotia 2,280,000 2,280,000
Indiana - 0.7%
Frankfort Economic IDA Revenue
VRDN, 4.30%, 1/1/23,
LOC: Dai-Ichi Kangyo Bank 5,400,000 5,400,000
Shelbyville IDA Revenue VRDN,
4.25%, 9/1/06,
LOC: Industrial Bank of Japan 1,500,000 1,500,000
South Bend MFH Revenue VRDN,
4.15%, 10/1/09,
LOC: FHLB-INDPLS 4,500,000 4,500,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Iowa - 0.1%
Davenport IDA Revenue VRDN,
6.035%, 12/1/06,
LOC: Bank of Nova Scotia $1,600,000 $1,600,000
Kansas - 0.6%
Kansas City MFH Revenue VRDN,
3.85%, 6/1/15,
LOC: Huntington National Bank 6,575,000 6,575,000
State MFH Revenue VRDN,
3.90%, 12/25/30,
LOC: Texas Commerce Bank 4,000,000 4,000,000
Kentucky - 1.9%
Carroll County Solid Waste IDA Revenue
VRDN, 3.90%, 5/1/27,
LOC: Banco Bilbao Vizcaya 5,951,000 5,951,000
Glasgow IRB VRDN, 5.95%, 6/1/20,
Bank of Tokyo-Mitsubishi, Ltd. 4,100,000 4,100,000
Hancock County IDA Revenue VRDN,
3.70%, 6/1/12,
LOC: Chase Manhattan 5,000,000 5,000,000
Hopkinsville IDA Revenue VRDN,
4.30%, 4/1/04,
LOC: Dai-Ichi Kangyo Bank 7,600,000 7,600,000
Ohio County Pollution Control Revenue
VRDN, 4.20%, 10/1/15,
LOC: Chase Manhattan 7,000,000 7,000,000
Owensboro IDA Revenue VRDN,
3.70%, 6/1/17,
LOC: LaSalle Bank 2,400,000 2,400,000
State Financial IDA Revenue VRDN,
Series B, 3.90%, 2/1/08,
LOC: National City Bank 1,000,000 1,000,000
Louisiana - 1.8%
Caddo-Bossier Parishes Port Revenue
VRDN, 4.20%, 1/1/28,
LOC: First Commercial Bank 4,000,000 4,000,000
New Orleans Levee District Revenue
VRDN, 5.15%, 10/1/17,
LOC: Fuji Bank, Ltd. 24,155,000 24,155,000
State Public Facilities Authority Revenue
VRDN, 3.80%, 12/1/14,
LOC: Regions Bank 2,880,000 2,880,000
Maine - 0.4%
Orrington Resource Recovery
Revenue VRDN, 3.625%, 5/1/03,
LOC: Bank of Nova Scotia 6,000,000 6,000,000
Maryland - 1.3%
Baltimore IDA Revenue VRDN, 4.45%,
8/1/16,
LOC: Dai-Ichi Kangyo Bank 22,150,000 22,150,000
State Economic Development Corporation
Revenue VRDN,
3.60%, 6/1/20, LOC: NationsBank 380,000 380,000
Massachusetts - 0.7%
Hudson IDA Revenue VRDN,
4.58%, 10/1/13,
LOC: FNB Boston 1,100,000 1,100,000
State GO Notes, 6.80%, 7/1/98 4,810,000 4,810,000
State Industrial Finance Authority
Revenue VRDN,
4.33%, 11/3/99, LOC: FNB Boston 875,000 875,000
4.58%, 8/1/14, LOC: FNB Boston 4,700,000 4,700,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Michigan - 2.1%
Jackson County Economic Development
Corp. Revenue VRDN,
4.00%, 6/1/27, LOC:
Michigan National Bank $3,900,000 $3,900,000
Sault Sainte Marie Tribe Building
Revenue VRDN, Series A,
4.30%, 6/1/03, LOC: First of
America Bank, MI 5,655,000 5,655,000
State Municipal Authority Revenue
Notes, 4.50%, 7/2/98 19,000,000 19,000,109
State Strategic Fund Economic
Development
Revenue VRDN,
4.30%, 9/1/08, LOC: Dai-Ichi
Kangyo Bank 6,800,000 6,800,000
Minnesota - 1.5%
Burnsville MFH Revenue VRDN,
4.65%, 6/1/25,
Confirming LOC: Sumitomo Bank, Ltd. 5,750,000 5,750,000
Cottage Grove Pollution Control Board
Revenue VRDN, 3.888%, 8/1/12 1,100,000 1,100,000
Maple Grove MFH Revenue VRDN,
4.65%, 6/1/26,
LOC: Sumitomo Bank, Ltd. 2,900,000 2,900,000
Mendota Heights MFH Revenue VRDN,
4.65%, 11/1/25,
LOC: Sumitomo Bank, Ltd. 4,935,000 4,935,000
Minneapolis Community Development
Agency Revenue VRDN,
4.25%, 2/1/12, LOC: Sumitomo
Bank, Ltd. 11,555,000 11,555,000
Mississippi - 0.3%
Mississippi Business Financial Corp.
IDA Revenue VRDN,
3.90%, 1/1/06, LOC: National
Bank of Canada 3,675,000 3,675,000
4.00%, 6/1/07, LOC: Deposit Guaranty 1,900,000 1,900,000
Missouri - 0.5%
St. Louis IDA Revenue VRDN,
4.05%, 1/1/21,
LOC: Banca Nazionale Del Lavoro 4,100,000 4,100,000
State IDA Revenue VRDN,
4.58%, 3/1/01, LOC: FNB Boston 755,000 755,000
3.95%, 9/1/08, LOC: Morgan
Guaranty Trust 4,000,000 4,000,000
Nebraska - 0.2%
State IDA Revenue VRDN, 4.30%, 12/1/04,
LOC: Sanwa Bank, Ltd. 4,000,000 4,000,000
New Hampshire - 0.3%
State Business Financial Authority Facilities
Revenue VRDN,
3.85%, 12/1/17, LOC: Firstar Bank,
Milwaukee 5,500,000 5,500,000
New Jersey - 0.5%
State Economic Development Authority
Revenue VRDN,
3.60%, 8/1/01, LOC: CoreStates 600,000 600,000
3.35%, 3/1/02, LOC: CoreStates 2,200,000 2,200,000
4.50%, 12/1/15, LOC: Asahi Bank, Ltd. 6,405,000 6,405,000
New York - 8.5%
Long Island Power Authority Electric
Revenue VRDN,
3.80%, 5/1/33, LOC: ABN Amro Bank 85,600,000 85,600,000
Orange County IDA Revenue
VRDN, 4.40%, 10/1/98,
LOC: Sakura Bank 8,000,000 8,000,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
New York (cont'd)
State Energy Development
Authority Pollution
Control Revenue VRDN,
3.80%, 7/1/27, LOC: Morgan
Guaranty Trust $20,300,000 $20,300,000
3.80%, 6/1/29, LOC: Morgan
Guaranty Trust 1,700,000 1,700,000
State IDA Revenue VRDN,
Subseries E, 4.00%, 8/1/16,
LOC: Morgan Guaranty Trust 12,100,000 12,100,000
State Metro Transportation Authority
Facilities Revenue VRDN,
3.60%, 7/1/24, AMBAC Insured 6,500,000 6,500,000
State Throughway Authority Municipal
Trust Receipts,, 3.68%, 1/1/25,
FGIC Insured 10,165,000 10,165,000
Nevada - 1.1%
Henderson Public Improvement Trust
Revenue VRDN,
3.90%, 4/1/07, LOC: NationsBank 1,700,000 1,700,000
State MFH Revenue VRDN, 3.65%,
10/1/30,
Confirming LOC: FHLB-SF 16,490,000 16,490,000
North Carolina - 1.1%
Guilford County Industrial Facilities
& Pollution
Control Revenue VRDN, 4.20%, 12/1/04,
LOC: Sumitomo Bank, Ltd. 3,000,000 3,000,000
Wake County Industrial Facilities &
Pollution Control Financing Authority
Revenue VRDN,
4.35%, 7/15/98, LOC: Bank of New York 7,000,000 7,000,000
4.20%, 9/1/15, LOC: Sumitomo Bank, Ltd. 7,900,000 7,900,000
Oklahoma - 1.0%
Cleveland MFH Revenue VRDN, 3.85%,
4/1/20,
SURBD: Continental Casualty Co. 5,930,000 5,930,000
Oklahoma Housing Finance Authority
Revenue VRDN,
4.25%, 12/1/05, C/LOC: Binghampton
Savings Bank 5,900,000 5,900,000
Tulsa IDA Revenue VRDN, Series A,
4.10%, 11/2/98,
LOC: Sanwa Bank, Ltd. 5,000,000 5,000,000
Oregon - 1.2%
Deschutes County Administrative School
District No. 1 Revenue VRDN,
3.68%, 12/1/03, FGIC Insured 4,505,000 4,505,000
3.68%, 12/1/04, FGIC Insured 4,885,000 4,885,000
3.68%, 12/1/05, FGIC Insured 5,285,000 5,285,000
3.68%, 12/1/06, FGIC Insured 5,655,000 5,655,000
Pennsylvania - 4.4%
Allegheny County IDA Revenue
VRDN, 5.75%, 7/1/27,
LOC: Dresdner Bank, AG 3,900,000 3,900,000
Berks County IDA Revenue VRDN,
3.70%, 7/1/25, LOC: CoreStates 1,375,000 1,375,000
3.70%, 9/1/25, LOC: CoreStates 1,200,000 1,200,000
Chester County IDA Revenue
VRDN, 3.80%, 4/1/17,
LOC: CoreStates 3,210,000 3,210,000
Delaware County Authority Revenue
VRDN, 3.60%, 7/1/14,
LOC: PNC Bank NA 8,500,000 8,500,000
Philadelphia MFH Redevelopment
Authority
Revenue VRDN,
3.80%, 12/1/09, LOC: Marine
Midland Bank 2,950,000 2,950,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Pennsylvania (cont'd)
Philadelphia Tax and Revenue Anticipation
Notes, Series A,
4.25%, 6/30/99 $37,750,000 $37,973,102
Temple University Higher Education Revenue
VRDN, Series B,
4.50%, 5/14/99 9,000,000 9,056,433
York County IDA Pollution Control
Revenue VRDN, 3.75%, 8/1/16,
LOC: Toronto-Dominion Bank 4,600,000 4,600,000
West Cornwall Township Municipal
Authority Revenue VRDN,
3.80%, 3/1/16, LOC: CoreStates 1,780,000 1,780,000
South Carolina - 1.4%
Dorchester County Industrial Revenue
VRDN, 4.32%, 10/1/24,
LOC: Bayerische Vereinsbank 5,100,000 5,100,000
Orangeburg IDA Revenue VRDN,
4.58%, 6/1/08,
LOC: FNB Boston 4,020,000 4,020,000
State Housing Finance and Development
Authority Revenue VRDN,
3.70%, 7/1/07, SURBD:
Continental Casualty Co. 6,000,000 6,000,000
State Public Service Authority Revenue
VRDN, 3.70%, 1/1/25,
FGIC Insured 8,700,000 8,700,000
Tennessee - 3.6%
Coffee County IDA Revenue
VRDN,
4.75%, 12/1/01, LOC: Asahi Bank 6,300,000 6,300,000
3.95%, 5/1/12, LOC:
Barnett Bank of South Florida 5,060,000 5,060,000
Sevier County Public Building Authority
Revenue VRDN,
6.55%, 6/1/05, AMBAC Insured 9,000,000 9,000,000
3.55%, 6/1/14, AMBAC Insured 3,000,000 3,000,000
3.55%, 6/1/17, AMBAC Insured 5,000,000 5,000,000
3.55%, 6/1/18, AMBAC Insured 17,000,000 17,000,000
3.55%, 6/1/19, AMBAC Insured 10,000,000 10,000,000
Shelby County Health Educational
and Housing Facilities
Board Revenue VRDN, 3.75%, 7/1/22,
LOC: NationsBank 5,000,000 5,000,000
Texas - 11.2%
Bexar County MFH Revenue VRDN,
4.45%, 6/1/28,
LOC: Heller Financial 5,400,000 5,400,000
Cleburne IDA Revenue VRDN, 3.75%,
2/1/04,
LOC: National City Bank 1,875,000 1,875,000
Grand Prairie IDA Revenue VRDN,
3.95%, 12/1/06,
LOC: PNC Bank, N.A. 1,100,000 1,100,000
Harris County Health Facilities
Development Authority
Revenue VRDN, 3.85%, 12/1/25, IA:
Prudential Insurance Co. 76,150,000 76,150,000
Harris County IDA Revenue VRDN,
4.60%, 8/1/01, LOC: Sakura Bank, Ltd. 3,500,000 3,500,000
4.20%, 8/1/01, LOC:
Bank of Tokyo-Mitsubishi, Ltd. 1,600,000 1,600,000
Harris County MFH Financial Corp.
Revenue VRDN,
4.33%, 6/1/30, LOC: Heller Financial 5,500,000 5,500,000
State MFH Floating Trust Receipts,
3.75%, 12/31/22,
LOC: International Neder Verz 6,140,000 6,140,000
State Tax and Revenue Anticipation
Notes, Series A, 4.75%, 8/31/98 77,500,000 77,629,848
Tarrant County Housing Financial Corp.
Floating Trust Receipts,
3.75%, 8/1/25, LOC:
International Neder Verz 11,000,000 11,000,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Utah - 0.5%
Provo City MFH Revenue VRDN,
4.80%, 12/15/10,
LOC: Dai-Ichi Kangyo Bank $4,400,000 $4,400,000
University of Utah Revenue VRDN,
4.20%, 12/1/15,
LOC: First Security Bank 4,275,000 4,275,000
Vermont - 0.0%
State IDA Revenue VRDN, 4.33%,
12/1/04, LOC: FNB Boston 370,000 370,000
Washington - 0.3%
Grant County Public Utilities VRDN,
4.05%, 10/1/11,
LOC: Southtrust Bank, AL 3,000,000 3,000,000
Port Everett Limited VRDN, 4.05%,
12/1/06,
LOC: Sumitomo Bank, Ltd. 2,550,000 2,550,000
West Virginia - 0.2%
Harris County IDA Revenue VRDN,
3.60%, 6/1/14,
LOC: Societe Generale 4,140,000 4,140,000
Wisconsin - 0.5%
Eau Claire IDA Revenue VRDN, 3.80%,
5/1/07,
LOC: Firstar Bank, Milwaukee 3,500,000 3,500,000
Germantown IDA Revenue VRDN,
3.80%, 5/1/17,
LOC: Firstar Bank, Milwaukee 2,000,000 2,000,000
Grafton IDA Revenue VRDN, 3.95%,
12/1/17,
LOC: Firstar Bank, Milwaukee 2,900,000 2,900,000
Wyoming - 2.7%
State General Fund Tax and Revenue
Anticipation Notes,
4.00%, 6/25/99 45,000,000 45,183,600
Other - 11.0%
ABN Amro Chicago Corp. LeaseTOPS
Trust Certificates,
3.85%, 10/4/00, BPA: LaSalle Bank 11,699,390 11,699,390
ABN Amro Chicago Corp. Municipal
LeaseTOPS Trust Certificates,
3.27%, 3/1/10, MBIA Insured 10,085,000 10,085,000
Capital Realty Investors Tax Exempt
Certificates Revenue VRDN,
3.85%, 12/1/04, LOC: Swiss Bank 16,400,000 16,400,000
Series 96-2, 3.85%, 2/1/04, LOC:
Swiss Bank 48,955,000 48,955,000
Morgan Keegan Trust Receipts, 3.75%,
4/6/99,
IA: Escrowed/Treasury Bills 22,000,000 22,000,000
Pitney Bowes Corporation Lease
TOPS Trust Certificates,
3.76%, 10/10/01, AMBAC Insured 15,000,000 15,000,000
3.85%, 2/11/11, LOC:
Landesbank Hessen-Thuringen 5,000,000 5,000,000
Puttable Floating Option Tax Exempt
Receipts,
4.00%, 10/1/30, BPA: Societe Generale 40,000,000 40,000,000
4.05%, 10/11/30, AMBAC Insured 18,680,000 18,680,000
TOTAL INVESTMENTS
(Cost $1,891,546,281) - 111.1% 1,891,546,281
Other assets and liabilities, net - (11.1%) (189,366,368)
Net Assets - 100.0% $1,702,179,913
See notes to financial statements.
<PAGE>
LIMITED-TERM PORTFOLIO
Portfolio of Investments
June 30, 1998
PRINCIPAL
Municipal Obligations - 98.5% AMOUNT VALUE
Alabama - 0.1%
Montgomery Wynlakes Governmenta
l Utilities Service Corp.
Revenue VRDN, 4.05%, 5/1/06,
LOC: Amsouth Bank $200,000 $200,000
Arizona - 3.0%
Educational Loan Marketing
Corporation Revenue Bonds,
6.55%, 3/1/99 11,920,000 12,123,355
Glendale County IDA Revenue
Bonds, 5.20%, 12/1/13,
LOC: Dresdner Bank
(Tender 12/1/98 @100) 2,450,000 2,461,196
California - 7.7%
California Valleys Housing Financial
Authority Revenue VRDN,
4.25%, 7/1/25, LOC:
Sumitomo Bank, Ltd. 5,500,000 5,500,000
Compton Community Redevelopment
Agency Tax Allocation Notes
Series 1, 5.50%, 8/1/98 645,000 645,955
Del Norte Bond Anticipation Notes,
5.50%, 11/1/98 3,620,000 3,621,412
Health Facilities Financing, Downey
Community Hospital
Revenue Bonds, 4.75%, 5/15/99 2,220,000 2,235,052
San Bernardino Public Safety Authority,
Insurance Financing
Project Revenue Bonds, Series A,
4.50%, 11/1/98 8,400,000 8,424,444
4.60%, 5/1/99 2,800,000 2,821,448
San Jose Financing Authority,
Convention Center Project
Revenue Bonds, Series C,
5.75%, 9/1/98 575,000 577,001
State Public Works Board Lease
Revenue Bonds, Series C,
4.75%, 9/1/99 13,960,000 14,124,449
Colorado - 0.4%
Denver City & County Airport Revenue
VRDN, 7.00%, 11/15/99 2,000,000 2,080,400
Connecticut - 0.4%
State Recovery Authority Revenue Bond,
5.60%, 11/15/99 1,945,000 1,991,466
District of Columbia - 0.1%
Redevelopment Agency Sports
Arena Revenue Bonds, 5.10%, 11/1/98 500,000 501,185
Florida - 1.0%
Orange County Housing Financial
Authority Revenue VRDN,
3.60%, 8/1/08 150,000 150,000
Palm Beach Housing Finance
Authority Mallards Cove Revenue
VRDN, 5.525%, 3/1/22, INSUR:
Fireman's Insurance Co. 4,820,000 4,820,000
Volusia County MFH Revenue VRDN,
Series C, 3.875%, 9/1/05,
LOC: Amsouth Bank 170,000 170,000
Georgia - 0.4%
Association County Community
Leasing Program COPs,
4.00%, 12/1/98, AMBAC Insured 1,050,000 1,051,722
Tri-City Hospital Authority Revenue
Bonds, 5.25%, 7/1/99 1,000,000 1,008,930
<PAGE>
PRINCIPAL
Municipal Obligations (Cont'd) AMOUNT VALUE
Guam - 0.8%
Guam Government GO Bonds, Series A,
5.75%, 8/15/99 $3,710,000 $3,782,308
Illinois - 7.2%
Chicago Board of Education COPs,
4.35%, 12/1/98,
LOC: Canadian Imperial 8,000,000 8,023,600
Chicago Parking District GO
Refunding Bonds, 5.50%, 1/1/99,
FGIC Insured 2,000,000 2,019,060
Fulton IDA Revenue VRDN,
3.80%, 4/1/12,
LOC: Firstar Bank Milwaukee 1,250,000 1,250,000
State Educational Facilities Authority
Revenue Bonds,
4.75%, 9/1/00 1,770,000 1,789,895
State IDA Revenue VRDN, 3.90%, 9/2/05,
LOC: American
National Bank & Trust 1,300,000 1,300,000
State IDA Pollution Control Revenue
VRDN, 4.20%, 3/1/17,
LOC: Bank of Tokyo-Mitsubishi 10,900,000 10,900,000
State Sales Tax Revenue Bonds,
Series Q, 5.10%, 6/15/99 10,000,000 10,138,900
Indiana - 1.1%
Shelbyville Economic Development
Revenue VRDN,
4.25%, 9/1/06, LOC:
Industrial Bank of Japan 5,300,000 5,300,000
Kentucky - 0.4%
Owensboro IDA Revenue
VRDN, 3.70%, 6/1/17,
LOC: LaSalle Bank 1,900,000 1,900,000
Louisiana - 1.6%
Offshore Terminal Authority Deepwater
Port Revenue Bonds,
5.40%, 9/1/98 5,000,000 5,013,350
6.45%, 9/1/98 2,780,000 2,792,510
Maryland - 4.0%
Baltimore (The Zamoiski Company Project),
6.647%, 12/1/09 7,525,940 7,525,940
Montgomery County Economic
Development Bonds,
5.25%, 11/1/09, LOC:
FNB of Maryland 900,000 901,692
State Economic Development Corp.
Revenue VRDN,
3.60%, 6/1/20, LOC:
Nations Bank NA 120,000 120,000
State and Local Facilities Unlimited
GO Bonds, First Series,
5.00%, 3/1/00 8,000,000 8,150,880
State Health and Higher Educational
Facilities Authority
Revenue Bonds, 5.50%, 7/1/99 2,855,000 2,907,960
Massachusetts - 2.5%
Housing Finance Agency MFH Revenue
Bonds, Series A,
5.00%, 12/1/98, AMBAC Insured 505,000 507,616
5.10%, 6/1/99, AMBAC Insured 520,000 525,023
Municipal Wholesale Electric Power
Company Revenue Bonds,
6.10%, 7/1/98 5,240,000 5,240,314
Series B, 6.25%, 7/1/99 6,025,000 6,166,527
Michigan - 1.8%
Southfield Economic Development
Corporation Revenue VRDN,
5.95%, 5/15/11, INSUR:
Firemans Insurance Co. 6,570,000 6,570,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Michigan (cont'd)
State Housing Development
Authority Revenue Bonds,
6.00%, 10/1/11, (Escrowed in
U.S. Treasury Obligations) $275,000 $277,250
State Housing Development
Authority Limited Obligation
Revenue VRDN, 5.00%, 10/1/11 1,005,000 1,005,523
State Hospital Finance Authority
Pontiac Osteopathic Revenue Bonds,
5.10%, 2/1/99 1,000,000 1,006,900
State Strategic Limited Obligation
Revenue VRDN, 4.50%, 11/1/09,
LOC: Tokai Bank Ltd. 150,000 150,000
Minnesota - 2.8%
Edina MFH Vernon Terrace
Revenue VRDN, 5.00%, 7/1/25 6,450,000 6,507,727
St. Paul Port Authority Revenue
VRDN, 4.40%, 7/1/12 7,165,000 7,166,648
Mississippi - 0.2%
Higher Education Student Loan
Revenue Bonds, Series C,
6.05%, 1/1/99 1,000,000 1,010,470
Missouri - 0.0%
Saint Louis IDA Revenue VRDN, 4.05%,
1/1/21,
LOC: Banca Naz Del Lavoro 200,000 200,000
Nebraska - 0.5%
University of Nebraska Facilities
Corp. Revenue Bonds,
4.25%, 7/15/00 2,525,000 2,539,670
New Hampshire - 0.0%
Higher Education & Health Revenue
Bonds, 7.50%, 12/1/00,
FGIC Insured 185,000 185,498
New Mexico - 0.8%
Albuquerque Unlimited GO
Bonds, 5.25%, 7/1/98 3,735,000 3,735,149
New York - 22.3%
City University COPs, 4.65%, 8/15/98 4,970,000 4,975,566
Dormitory Authority Revenue Bonds,
Series B, 5.00%, 2/15/00 3,460,000 3,512,661
5.00%, 2/15/01 3,865,000 3,939,479
Municipal Assistance Corporation
for the City of New York,
Series I, 5.00%, 7/1/99 15,000,000 15,205,050
Nassau County Unlimited GO Bonds,
Series V, 5.125%, 3/1/99,
AMBAC Insured 3,800,000 3,838,494
5.125%, 3/1/00, AMBAC Insured 4,330,000 4,414,002
New York City GO Bonds,
Series L, 5.25%, 8/1/99 2,900,000 2,943,848
Series F, 4.25%, 8/1/00 9,005,000 9,029,674
Port Authority New York and
New Jersey, 1st Installment
KIAC Project Special
Obligation Revenue Bonds,
6.25%, 10/1/99 5,400,000 5,522,688
State COPs Revenue Bonds,
4.40%, 8/1/98 9,465,000 9,470,206
4.90%, 9/1/98 5,920,000 5,931,662
4.60%, 2/1/99 12,710,000 12,775,965
4.75%, 2/1/00 13,915,000 14,059,159
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
New York (cont'd)
State Thruway Authority Highway
and Bridge Revenue Bonds,
Series A, 4.75%, 4/1/99,
AMBAC Insured $10,490,000 $10,579,794
Series A, 4.75%, 4/1/00,
AMBAC Insured 3,675,000 3,725,972
North Carolina - 0.8%
Wake County Industrial Facilities
and Pollution Control
Revenue Bonds, 4.35%, 7/15/98, LOC:
Bank of New York 3,800,000 3,800,000
Ohio - 3.1%
Lorraine County Hospital Revenue
Bonds, 5.00%, 9/1/99 2,000,000 2,029,660
Marion County Hospital Revenue
Bonds, 5.25%, 5/15/99 1,175,000 1,187,960
State Housing Fin Agency Mtg
Revenue VRDN, 4.20%, 9/1/30 12,000,000 12,005,040
Pennsylvania - 4.0%
Northeastern Hospital Authority Revenue
VRDN, 7.65%, 7/1/10,
(Prerefunded 7/1/99 @ 102) 3,780,000 3,969,113
Philadelphia Airport Revenue Bonds,
5.25%, 6/15/99, FGIC Insured1, 750,000 1,774,010
5.25%, 6/15/00, FGIC Insured3, 690,000 3,769,335
Philadelphia Hospitals & Higher
Education Revenue Bonds,
5.05%, 7/1/98 1,200,000 1,200,036
5.35%, 7/1/99 1,335,000 1,356,360
Philadelphia Municipal Authority,
Philadelphia Gas Works
Equipment COPs, Asset Guaranty
Insured
5.95%, 10/1/98 1,600,000 1,608,992
5.95%, 4/1/99 1,600,000 1,626,256
Philadelphia Water and Sewer
Revenue Bonds, 7.30%, 8/1/98 4,400,000 4,413,200
Puerto Rico - 5.5%
Commonwealth GO Bonds,
5.50%, 7/1/99 10,200,000 10,372,074
Commonwealth Highway and
Transportation Authority
Revenue Bonds, 4.25%, 7/1/00 12,490,000 12,547,079
Electric Power Authority Revenue
Bonds, Series W,
5.00%, 7/1/98 3,000,000 3,000,090
Infrastructure Financing Authority
Revenue Bonds, Series A,
7.40%, 7/1/98 1,350,000 1,350,135
South Dakota - 0.2%
Housing Development Authority,
Home Ownership
Mortgage Revenue Bonds,
Series A, 4.60%, 5/1/99 1,000,000 1,005,230
Tennessee - 1.0%
Knox County Health Educational
Hospital Facility
Revenue Bonds, 7.00%,
1/1/15, MBIA Insured 4,450,000 4,736,135
Texas - 6.4%
Brazos River Authority Revenue
Bonds, 4.15%, 6/18/99 30,000,000 30,013,800
Irving Hospital Authority Healthcare
System Revenue Bonds,
Series A, 4.50%, 7/1/98, FSA Insured 1,490,000 1,490,030
Vermont - 3.8%
State Educational and Health Buildings
Agency Revenue VRDN,
3.45%, 6/1/05, Confirming LOC:
FNB Boston 1,155,000 1,155,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Vermont (cont'd)
State IDA Revenue VRDN, 5.775%,
12/1/01,
LOC: Vermont National Bank $250,000 $250,000
Student Assistance Corp. Promissory
Notes,
4.05%, 12/15/98 3,340,000 3,340,000
6.50%, 6/15/00, AMBAC Insured 2,000,000 2,088,240
4.55%, 12/15/00 11,830,000 11,869,867
Virginia - 1.5%
Henrico County IDA Revenue VRDN,
4.55%, 10/1/00,
LOC: Tokai Bank Ltd. 2,000,000 2,000,000
Public School Authority Revenue
Bonds, Series I, 4.25%, 8/1/99 5,520,000 5,557,426
Virgin Islands - 0.2%
Virgin Islands Public Finance
Authority Revenue Bonds,
5.00%, 10/1/00 1,000,000 1,016,320
Washington - 3.3%
Grant County Public Utilities Revenue
VRDN, 4.05%, 10/1/11,
LOC: Southtrust Bank 1,000,000 1,000,000
Public Power Supply Revenue
Bonds, Series A,
4.50%, 7/1/99 1,935,000 1,948,390
4.75%, 7/1/99 10,000,000 10,093,600
7.30%, 7/1/00 3,000,000 3,180,840
Wyoming - 4.0%
Lincoln County Pollution Control
Revenue VRDN,
5.30%, 11/1/12, GA:
Union Pacific Corp. 3,090,000 3,089,166
Uinta County Pollution Control
Revenue VRDN,
5.30%, 11/1/12, GA:
Union Pacific Corp. 16,500,000 16,495,785
Other - 5.6%
ABN Amro Chicago Corp.
LeaseTOPS Trust Certificates,
3.85%, 10/4/00, BPA: LaSalle Bank 398,013 398,013
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, 11.50%, 12/1/18 4,105,180 4,105,180
Puttable Floating Option Tax
Exempt Receipts,
4.375%, 7/1/28, BPA:
Societe Generale 10,000,000 10,000,000
4.375%, 10/1/32, BPA:
Societe Generale 12,925,000 12,925,000
TOTAL INVESTMENTS (Cost $483,237,315) - 98.5% 484,810,007
Other assets in excess
of liabilities, net - 1.5% 7,188,766
Net Assets - 100.0% $491,998,773
<PAGE>
LONG-TERM PORTFOLIO
Portfolio of Investments
June 30, 1998
PRINCIPAL
Municipal Obligations - 100.4% AMOUNT VALUE
Alaska - 2.0%
Anchorage Revenue Bonds, 6.00%,
10/1/14, FGIC Insured $1,000,000 $1,128,200
Arizona - 8.0%
Maricopa County School District 69
GO Bonds,
6.25%, 7/1/14, FSA Insured 2,000,000 2,314,040
Tucson GO Bonds, 5.50%, 7/1/18 2,000,000 2,125,520
California - 4.3%
Buena Park IDA Revenue Bonds, 5.355%,
12/28/99,
GA: Mass Mutual Life Insurance 200,000 200,000
California Valleys Housing Financial
Authority Revenue Bonds,
4.25%, 7/1/25, LOC: Sumitomo
Bank, Ltd. 1,050,000 1,050,000
Los Angeles Unified School
District GO Bonds, Series A,
6.00%, 7/1/15, FGIC Insured 1,000,000 1,128,400
Colorado - 2.6%
City and County Airport Revenue
Bonds, Series A,
7.20%, 11/15/02 1,300,000 1,444,209
Florida - 17.8%
Dade County Educational Facilities
Authority Revenue Bonds,
6.00%, 4/1/08, MBIA Insured 1,700,000 1,899,376
Dade County GO Bonds, 7.75%,
10/1/18, AMBAC Insured 2,000,000 2,695,800
Dade County IDA Revenue Bonds,
8.00%, 6/1/22 1,800,000 2,020,842
Flagler County Special Assessment
Revenue Bonds,
7.20%, 7/1/14 1,000,000 1,101,460
Tampa Palms Community
Development Special Assessment
Revenue Bonds, 5.90%,
5/1/08, MBIA Insured 2,000,000 2,212,060
Georgia - 3.9%
Cobb-Marietta Coliseum & Exhibit
Hall Authority
Revenue Bonds, 6.75%,
10/1/26, MBIA Insured 2,000,000 2,201,200
Indiana - 4.3%
Indianapolis Local Public
Improvement Bond Bank
Revenue Bonds, 6.75%, 2/1/14 1,000,000 1,193,880
Shelbyville Economic
Development Revenue Bonds,
4.25%, 9/1/06, LOC:
Industrial Bank of Japan 1,200,000 1,200,000
Kentucky - 1.6%
Hopkinsville Industrial Buildings
Revenue Bonds,
4.30%, 4/1/04,
LOC: Dai-Ichi Kangyo Bank 900,000 900,000
Louisiana - 6.6%
State Public Finance Agency
MFH Revenue Bonds,
7.75%, 11/1/16, Asset
Guaranty Insured 1,690,000 1,820,671
7.00%, 6/1/24 1,680,000 1,863,926
<PAGE>
PRINCIPAL
Municipal Obligations (Cont'd) AMOUNT VALUE
Maryland - 5.9%
Dorchester General Hospital
Revenue Bonds, Series B,
8.50%, 4/1/14 $2,100,000 $2,408,364
Maryland State Community
Development Authority Mortgage
Revenue Bonds, 7.70%, 4/1/15 845,000 881,107
Massachusetts - 8.5%
Massachusetts Bay Transportation
Authority Revenue Bonds,
5.50%, 3/1/15, MBIA Insured 2,000,000 2,135,480
State GO Bonds, Series A, 5.00%,
7/1/12, AMBAC Insured 1,000,000 1,025,360
State Water Resource Authority
Revenue Bonds, 5.50%, 8/1/15,
FSA Insured 1,500,000 1,603,275
Michigan - 7.6%
Detroit Water Supply System
Revenue Bonds, Series A,
5.00%, 7/1/27, MBIA Insured1, 700,000 1,651,839
Southfield Economic Development
Corporation Revenue VRDN,
5.95%, 5/15/11, INSUR:
Firemans Insurance Company, NJ 410,000 410,000
State Hospital Finance Authority
Revenue Bonds, 7.00%, 11/1/21 1,000,000 1,107,290
State Trunk Line Revenue Bonds,
Series A, 5.50%, 11/1/18 1,000,000 1,063,300
New Jersey - 4.1%
Jersey City GO Bonds, Series A,
6.25%, 10/1/10 2,000,000 2,304,280
New York - 8.8%
New York and New Jersey Port
Authority, Ninety-Third Series
Consolidated Revenue Bonds,
6.125%, 6/1/2094 2,500,000 2,901,950
Orange County IDA Revenue
VRDN, 5.61%, 12/1/05 295,000 295,000
State Dorm Authority Revenue Bonds,
5.50%, 7/1/17,
MBIA Insured 1,600,000 1,697,392
Puerto Rico - 4.2%
Commonwealth Highway and
Transportation Authority
Revenue Bonds, Series Z, 6.25%,
7/1/14, MBIA Insured 2,000,000 2,318,900
Rhode Island - 2.0%
Port Authority & Economic
Development Corp. Airport
Revenue Bonds, Series A,
7.00%, 7/1/14, FSA Insured 500,000 613,640
State Housing & Mortgage
Finance Corp. Revenue Bonds, Series B,
7.95%, 10/1/30 500,000 524,470
Texas - 5.9%
Houston Water Conveyance System
Contract COPS,
6.125%, 12/15/09, AMBAC Insured 1,000,000 1,140,370
Tarrant County Health Facilities
Development Corp.
Revenue Bonds, 5.75%,
2/15/15, MBIA Insured 2,000,000 2,172,600
Vermont - 0.3%
State IDA Revenue Bonds, 5.775%, 12/1/01,
LOC: Vermont National Bank 150,000 150,000
<PAGE>
Principal
Municipal Obligations (Cont'd) Amount Value
Virginia - 2.0%
Arlington County GO Bonds,
Series 1993, 6.00%, 6/1/11 $1,000,000 $1,132,050
Total Municipal Obligations
(Cost $52,738,051) 56,036,251
TOTAL INVESTMENTS (Cost $52,738,051)
- 100.4% $56,036,251
Other assets and liabilities, net - (0.4%) (197,168)
Net Assets - 100.0% $55,839,083
Explanation of Guarantees
BPA: Bond-Purchase Agreement GIC: Guaranteed Investment Contract
GA: Guaranty Agreement SURBD: Surety Bond
LOC: Letter of Credit TOA: Tender Option Agreement
C/LOC: Collateralized LOC IA: Investment Agreement
INSUR: Insurance
Abbreviations
IDA: Industrial Development Authority
MFH: Multi-Family Housing
VRDN: Variable Rate Demand Notes
Certain securities have optional or mandatory tender features which give them
a shorter effective maturity date.
See notes to financial statements.
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
June 30, 1998
Money Market Limited-Term Long-Term
Assets Portfolio Portfolio Portfolio
Investment in securities $1,891,546,281 $484,810,007 $56,036,251
Cash 10,034,390 3,035,311 5,772
Receivable for securities sold 998,474 - 2,503,075
Receivable for shares sold 2,915,382 1,496,987 3,025
Interest receivable 14,242,125 6,531,788 817,017
Other assets 69,024 27,517 13,835
Total assets 1,919,805,676 495,901,610 59,438,975
Liabilities
Payable for securities purchased 215,302,913 2,536,994 3,480,580
Payable for shares redeemed 1,075,131 1,030,153 73,594
Payable to Calvert Asset
Management Company, Inc. 293,731 253,617 28,419
Payable to CalvertAdministrative
Service Company 308,310 3,389 391
Payable to Calvert Shareholders
Services, Inc. 90,788 3,413 378
Payable to Calvert
Distributors, Inc. - - 4,156
Accrued expenses and other
liabilities 554,890 75,271 12,374
Total liabilities 217,625,763 3,902,837 3,599,892
Net assets $1,702,179,913 $491,998,773 $55,839,083
Net Assets Consist of:
Paid-in capital applicable to the
following shares of
beneficial interest, unlimited number
of no par value shares authorized:
Money Market Portfolio
Class O:
1,379,220,952 shares
outstanding $1,379,108,542
Institutional Class:
322,812,209 shares outstanding 322,809,386
Limited-Term Portfolio Class A:
46,007,931 shares
outstanding $490,378,616
Long-Term Portfolio Class A:
3,266,954 shares
outstanding $52,411,764
Undistributed net investment income 50,521 150,360 43,965
Accumulated net realized gain (loss)
on investments 211,464 (102,895) 85,154
Net unrealized appreciation
(depreciation)
on investments - 1,572,692 3,298,200
Net Assets $1,702,179,913 $491,998,773 $55,839,083
Net Asset Value Per Share
Money Market Portfolio
Class O (based on net assets of
$1,379,336,066) $1.00
Institutional Class
(based on net assets
of $322,843,847) $1.00
Limited-Term Portfolio Class A $10.69
Long-Term Portfolio Class A $17.09
See notes to financial statements.
<PAGE>
STATEMENTS OF OPERATIONS
Six Months ended June 30, 1998
Money Market Limited-Term Long-Term
Net Investment Income Portfolio Portfolio Portfolio
Investment Income
Interest income $30,763,143 $11,099,482 $1,454,826
Expenses
Investment advisory fee 1,535,473 1,480,726 159,128
Transfer agency fees and
expenses 986,507 107,197 16,715
Distribution Plan expenses:
Class A - - 23,869
Trustees' fees and expenses 89,757 28,490 3,091
Administrative fees
Class O 1,834,121 - -
Institutional Class 35,136 - -
Class A - 21,154 2,268
Custodian fees 84,208 31,148 8,420
Registration fees 71,637 20,077 12,544
Reports to shareholders 144,751 37,763 5,035
Professional fees 27,193 9,497 1,079
Miscellaneous 38,747 14,898 1,854
Total expenses 4,847,530 1,750,950 234,003
Fees paid indirectly (115,375) (35,110) (8,965)
Net expenses 4,732,155 1,715,840 225,038
Net Investment Income 26,030,988 9,383,642 1,229,788
Realized and Unrealized Gain
(Loss) on Investments
Net realized gain (loss) 211,464 39,854 55,817
Change in unrealized appreciation
or depreciation - (345,515) (313,307)
Net Realized and Unrealized
Gain (Loss) on Investments 211,464 (305,661) (257,490)
Increase (Decrease) in Net Assets
Resulting from Operations $26,242,452 $9,077,981 $972,298
<PAGE>
MONEY MARKET PORTFOLIO
Statements of Changes in Net Assets
Six Months Ended Year Ended
June 30, December 31,
Increase (Decrease) in Net Assets 1998 1997
Operations
Net investment income $26,030,988 $52,453,937
Net realized gain (loss) 211,464 28,848
Increase (Decrease) in
Net Assets
Resulting from Operations 26,242,452 52,482,785
Distributions to shareholders from
Net investment income:
Class O shares (23,426,714) (50,409,548)
Institutional Classshares (2,617,240) (2,109,318)
Net realized gain on
investments:
Class O shares - (27,838)
Institutional Class shares - (1,010)
Total distributions (26,043,954) (52,547,714)
Capital share transactions
Shares sold:
Class O shares 1,010,888,357 3,040,009,059
Institutional Classshares 1,234,852,475 767,943,597
Reinvestment of distributions:
Class O shares 22,834,394 48,300,641
Institutional Classshares 1,883,585 989,318
Shares redeemed:
Class O shares (1,059,905,924) (3,233,630,004)
Institutional Classshares (965,008,070) (751,001,884)
Total capital share
transactions 245,544,817 (127,389,273)
Total Increase (Decrease)
in Net Assets 245,743,315 (127,454,202)
Net Assets
Beginning of period 1,456,436,598 1,583,890,800
End of period (including
undistributed net investment
income of $50,521 and
$63,487, respectively) $1,702,179,913 $1,456,436,598
Capital Share Activity
Shares sold:
Class O shares 1,010,888,357 3,040,009,059
Institutional Classshares 1,234,852,475 767,943,597
Reinvestment of distributions:
Class O shares 22,834,394 48,300,641
Institutional Classshares 1,883,585 989,318
Shares redeemed:
Class O shares (1,059,905,924) (3,233,630,004)
Institutional Classshares (965,008,070) (751,001,884)
Total capital share activity 245,544,817 (127,389,273)
See notes to financial statements.
<PAGE>
LIMITED-TERM PORTFOLIO
Statements of Changes in Net Assets
Six Months Ended Year Ended
June 30, December 31,
Increase (Decrease) in Net Assets 1998 1997
Operations
Net investment income $9,383,642 $20,835,586
Net realized gain (loss) 39,854 159,810
Change in unrealized
appreciation or depreciation (345,515) 205,433
Increase (Decrease)
in Net Assets
Resulting from Operations 9,077,981 21,200,829
Distributions to shareholders from
Net investment income (9,368,331) (20,821,712)
Capital share transactions
Shares sold 140,287,405 286,871,063
Reinvestment of distributions: 7,788,198 16,952,842
Shares redeemed (145,966,184) (326,364,971)
Total capital share
transactions 2,109,419 (22,541,066)
Total Increase (Decrease)
in Net Assets 1,819,069 (22,161,949)
Net Assets
Beginning of period 490,179,704 512,341,653
End of period (including
undistributed net investment
income of $150,360 and
$135,049, respectively) $491,998,773 $490,179,704
Capital Share Activity
Shares sold 13,098,804 26,812,094
Reinvestment of distributions 728,206 1,586,656
Shares redeemed (13,627,489) (30,512,482)
Total capital share activity 199,521 (2,113,732)
See notes to financial statements.
<PAGE>
LONG-TERM PORTFOLIO
Statements of Changes in Net Assets
Six Months Ended Year Ended
June 30, December 31,
Increase (Decrease) in Net Assets 1998 1997
Operations
Net investment income $1,229,788 $2,645,626
Net realized gain (loss) 55,817 549,837
Change in unrealized
appreciation or depreciation (313,307) 942,620
Increase (Decrease)
in Net Assets
Resulting from Operations 972,298 4,138,083
Distributions to shareholders from
Net investment income (1,239,239) (2,660,919)
Net realized gain on
investments (287,685) (61,075)
Total distributions (1,526,924) (2,721,994)
Capital share transactions
Shares sold 10,387,532 5,996,763
Reinvestment of distributions 1,275,882 2,235,768
Shares redeemed (6,235,310) (11,628,213)
Total capital share
transactions 5,428,104 (3,395,682)
Total Increase (Decrease)
in Net Assets 4,873,478 (1,979,593)
Net Assets
Beginning of period 50,965,605 52,945,198
End of period (including
undistributed net investment
income of $43,965 and
$53,416, respectively) $55,839,083 $50,965,605
Capital Share Activity
Shares sold 605,180 356,893
Reinvestment of distributions 74,537 132,740
Shares redeemed (362,989) (688,631)
Total capital share activity 316,728 (198,998)
See notes to financial statements.
<PAGE>
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 Institutional Class 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 July 29, 1997, all outstanding Class MMPshares 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 changed its name and was
converted to the Institutional Class, with a lower expected expense ratio and
a minimum initial investment of $1,000,000.
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 (including options)
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. Risks from writing or purchasing option securities arise from
possible illiquidity of the options market and the movement in the value of
the investment or in interest rates. The risk associated with purchasing
options is limited to the premium originally paid.
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.
<PAGE>
The Fund hereby designates $61,075 as capital gain dividends paid for
Long-Term Portfolio during the taxable year ended December 31, 1997. Of the
amount designated, 100% is taxable at the 20% maximum capital gain rate.
Estimates: The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts 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 and transfer agent's fees may be paid indirectly
by credits earned on the Fund's cash on deposit with the bank. Such a 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 Next Over
$500 Million $500 Million $1 Billion
Money Market
1/1/97-7/31/97 50% .45% .40%
8/1/97-12-31-97 .25% .20% . 15%
Limited-Term .60% .50% .40%
Long-Term .60% .50% .40%
Due to the conversion of Class MMP to the Institutional Class on August 1,
1997, the fees paid to the Advisor for the Money Market Portfolios Class O and
Institutional Class changed as reflected above.
Calvert Administrative Services Company, an affiliate of the Advisor, provides
administrative services to the Fund for an annual fee. Due to the conversion
of Class MMP to the Institutional Class on August 1, 1997, the fee structure
changed. Prior to August 1, 1997 the Fund paid, monthly, a pro rata portion of
a $200,000 annual fee, which was allocated to all of the Portfolios of the
Fund based on their relative net assets. Effective August 1, 1997, Class O and
Institutional Class of Money Market pays annual rates of .26% and .05%,
respectively, based of their average daily net assets. The remaining
portfolios of the Fund pays monthly an annual fee, of $80,000, which is
allocated between the Portfolios 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
Long-Term. Effective August 1, 1997, Class MMP which was converted into the
Institutional Class, terminated it Distribution Plan.
The Distributor paid $63,793 in addition to the commissions charged on sales
of Limited-Term, and paid $11,250 in addition to the commissions charged on
sales of Long-Term.
Calvert Shareholder Services, Inc., an affiliate of the Advisor, is the
shareholder servicing agent for the Fund. National Financial Data Services,
Inc., is the transfer and dividend disbursing agent.
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 44,325,323 10,011,828
Sales 49,731,207 7,150,867
Money Market held only short-term investments.
The cost of investments owned at June 30, 1998 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, 1998 and the net capital loss carryforwards as
of December 31, 1997 with expiration dates:
Money Market Limited-Term Long-Term
Unrealized appreciation - 1,582,155 3,375,927
Unrealized depreciation - 9,463 77,727
Net - 1,572,692 3,298,200
Capital loss carryforward - 142,749 -
Expiration dates - 2002 -
Capital loss carryforwards 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 - Line of Credit
A financing agreement is in place with all Calvert Group Funds and State
Street Bank and Trust Company ("the Bank"). Under the agreement, the Bank is
providing an unsecured line of credit facility, in the aggregate amount of $50
million ($25 million committed and $25 million uncommitted), to be accessed by
the Funds for temporary or emergency purposes only. Borrowings under this
facility bear interest at the overnight Federal Funds Rate plus .50% per
annum. A commitment fee of .10% per annum will be incurred on the unused
portion of the committed facility which will be allocated to all participating
funds. This fee is paid quarterly in arrears. The Fund had no loans
outstanding pursuant to this line of credit at June 30, 1998.
<PAGE>
MONEY MARKET PORTFOLIO
Financial Highlights
Periods Ended
June 30, December 31, December 31,
Class 0 Shares 1998 1997 1996
Net asset value, beginning $1.00 $1.00 $1.00
Income from investment operations
Net investment income .016 .033 .033
Distributions from
Net investment income (.016) (.033) (.033)
Net asset value, ending $1.00 $1.00 $1.00
Total return* 1.66% 3.38% 3.33%
Ratios to average net assets:
Net investment income 3.32%(a) 3.32% 3.28%
Total expenses + .66%(a) .65% .65%
Net expenses .64%(a) .64% .64%
Net assets, ending (in thousands) $1,379,336 $1,405,350 $1,550,731
Number of shares outstanding,
ending (in thousands) 1,379,221 1,405,404 1,550,724
Years Ended
December 31, December 31, December 31,
Class O Shares 1995 1994 1993
Net asset value, beginning $1.00 $1.00 $1.00
Income from investment operations
Net investment income .040 .028 .024
Distributions from
Net investment income (.040) (.028) (.024)
Net asset value, ending $1.00 $1.00 $1.00
Total return* 4.02% 2.81% 2.41%
Ratios to average net assets:
Net investment income 3.93% 2.75% 2.37%
Total expenses + .62% - -
Net expenses .61% .62% .60%
Net assets, ending (in thousands) $1,740,839 $1,344,595 $1,500,614
Number of shares outstanding,
ending (in thousands) 1,740,948 1,344,668 1,500,557
<PAGE>
MONEY MARKET PORTFOLIO
Financial Highlights
Periods Ended
June 30, December 31,
Institutional Class/MMP 1998 1997
Net asset value, beginning $1.00 $1.00
Income from investment operations
Net investment income .018 .031
Distributions from
Net investment income (.018) (.031)
Net asset value, ending $1.00 $1.00
Total return* 1.82% 3.12%
Ratios to average net assets:
Net investment income 3.73%(a) 3.37%
Total expenses + .31%(a) .63%
Net expenses .29%(a) .62%
Expenses reimbursed - (.04%)
Net assets, ending (in thousands) $322,844 $51,087
Number of shares outstanding,
ending (in thousands) 322,812 51,084
Years Ended
December 31, December 31,
Institutional Class/MMP + 1996 1995^
Net asset value, beginning $1.00 $1.00
Income from investment operations
Net investment income .030 .008
Distributions from
Net investment income (.030) (.008)
Net asset value, ending $1.00 $1.00
Total return* 2.68% .79%
Ratios to average net assets:
Net investment income 2.65% 3.19%(a)
Total expenses + 1.29% 1.35%(a)
Net expenses 1.28% 1.34%(a)
Net assets, ending (in thousands) $33,160 $41,736
Number of shares outstanding,
ending (in thousands) 33,153 41,732
<PAGE>
LIMITED-TERM PORTFOLIO
Financial Highlights
Periods Ended
June 30, December 31, December 31,
Class A Shares 1998 1997 1996
Net asset value, beginning $10.70 $10.69 $10.72
Income from investment operations
Net investment income .20 .42 .44
Net realized and
unrealized gain (loss) (.01) .01 (.03)
Total from investment
operations .19 .43 .41
Distributions from
Net investment income (.20) (.42) (.44)
Total increase (decrease) in
net asset value (.01) .01 (.03)
Net asset value, ending $10.69 $10.70 $10.69
Total return* 1.79% 4.07% 3.94%
Ratios to average net assets:
Net investment income 3.80%(a) 3.91% 4.12%
Total expenses + .71%(a) .70% .71%
Net expenses .69%(a) .69% .70%
Portfolio turnover 13% 52% 45%
Net assets, ending
(in thousands) $491,999 $490,180 $512,342
Number of shares outstanding,
ending (in thousands) 46,008 45,808 47,922
Years Ended
December 31, December 31, December 31,
Class A Shares 1995 1994 1993
Net asset value, beginning $10.59 $10.72 $10.68
Income from investment operations
Net investment income .45 .39 .38
Net realized and
unrealized gain (loss) .13 (.13) .04
Total from investment
operations .58 .26 .42
Distributions from
Net investment income (.45) (.39) (.38)
Total increase (decrease)
in net asset value .13 (.13) .04
Net asset value, ending $10.72 $10.59 $10.72
Total return* 5.55% 2.42% 4.02%
Ratios to average net assets:
Net investment income 4.21% 3.60% 3.59%
Total expenses + .71% - -
Net expenses .70% .66% .67%
Portfolio turnover 33% 27% 14%
Net assets, ending
(in thousands) $457,707 $544,822 $663,305
Number of shares outstanding,
ending (in thousands) 42,690 51,424 61,861
<PAGE>
LONG-TERM PORTFOLIO
Financial Highlights
Periods Ended
June 30, December 31, December 31,
Class A Shares 1998 1997 1996
Net asset value, beginning $17.28 $16.81 $17.31
Income from investment operations
Net investment income .39 .87 .93
Net realized and
unrealized gain (loss) (.09) .50 (.46)
Total from investment
operations .30 1.37 .47
Distributions from
Net investment income (.40) (.87) (.95)
Net realized gains (.09) (.03) (.02)
Total distributions (.49) (.90) (.97)
Total increase (decrease)
in net asset value (.19) .47 (.50)
Net asset value, ending $17.09 $17.28 $16.81
Total return * 1.75% 8.41% 2.89%
Ratios to average net assets:
Net investment income 4.64%(a) 5.16% 5.50%
Total expenses + .88%(a) .87% .89%
Net expenses .85%(a) .85% .86%
Portfolio turnover 15% 41% 41%
Net assets, ending
(in thousands) $55,839 $50,966 $52,945
Number of shares outstanding,
ending (in thousands) 3,267 2,950 3,149
Years Ended
December 31, December 31, December 31,
Class A Shares 1995 1994 1993
Net asset value, beginning $15.83 $17.15 $16.32
Income from investment operations
Net investment income .95 .93 .94
Net realized and
unrealized gain (loss) 1.53 (1.33) .83
Total from investments 2.48 (.40) 1.77
Distributions from
Net investment income (.91) (.92) (.94)
Net realized gains (.09) - -
Total distributions (1.00) (.92) (.94)
Total increase (decrease)
in net asset value 1.48 (1.32) .83
Net asset value, ending $17.31 $15.83 $17.15
Total return * 16.05% (2.30%) 11.12%
Ratios to average net assets:
Net investment income 5.71% 5.73% 5.59%
Total expenses + .87% - -
Net expenses .85% .81% .78%
Portfolio turnover 58% 98% 97%
Net assets, ending
(in thousands) $57,359 $47,267 $55,204
Number of shares outstanding,
ending (in thousands) 3,314 2,985 3,219
a) Annualized
* Total return does not reflect deduction of Class A front-end sales
charge.
+ 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.
+ On August 1, 1997, ClassMMP changed its name and was converted to the
Institutional Class, with a lower expected expense ratio. See notes to
financial statements.
<PAGE>
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Registered, Certified
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Calvert Group
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Kansas City, MO 64105-1807
Web Site
http://www.calvertgroup.com
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Calvert Distributors, Inc.
4550 Montgomery Avenue
Suite 1000 North
Bethesda, Maryland 20814
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