[TYPE] N-30D
[DOCUMENT-COUNT]
[NOTIFY] 72731,2220
[SROS]
[SUBMISSION-CONTACT]
[PHONE] (212) 732-0045
[NAME] Anthony L. Willsea
[/SUBMISSION-CONTACT]
[FILER]
[CIK]
[CCC]
[PERIOD]
SEMI-ANNUAL REPORT
================================================================================
Smith Barney
Municipal
Money Market
Fund, Inc.
---------------------------------------------
September 30, 1996
[Logo] Smith Barney Mutual Funds
Investing for your future.
Every day.
<PAGE>
- ----------------------------------------------
Smith Barney Municipal Money Market Fund, Inc.
- ----------------------------------------------
Dear Shareholder:
We are pleased to provide you with the semi-annual report for the Smith Barney
Municipal Money Market Fund, Inc. for the six-month period ended September 30,
1996. In this report, we summarize the period's prevailing economic and market
conditions and outline our portfolio strategy. A detailed summary of the Fund's
performance can be found in the appropriate sections that follow in the
semi-annual report.
Market and Economic Overview
It appears that the U.S. economy is showing some signs of slowing from its 4.7%
second quarter annual growth rate and we expect the third quarter's annual
growth rate to be in the 1.5% to 2% range. However, the extent of the U.S.
economic slowdown remains uncertain. Currently, weakness is evident in consumer
spending. For example, retail sales barely rose in the months of July and August
and department store sales dropped during the first two weeks of September. In
our view, rising debt levels and credit card delinquencies may be taking its
toll on consumers.
During his July 18, 1996 Humphrey-Hawkins testimony, Federal Reserve Board
Chairman Alan Greenspan cited two key issues to watch: additional evidence
suggesting higher wage inflation and the sustainability of higher above-average
growth after the surge in the Gross Domestic Product (GDP) annual growth rate
(4.7%) during the second quarter of 1996. It is unlikely that many U.S.
corporations will be able to sustain earnings growth if wages continue to
increase without cutting expenses or passing on the costs to consumers in the
form of higher prices. However, since that time, several new reports released
point to slower GDP growth during the third quarter of 1996. Yet, the debate
continues about whether the apparent slowdown in the annual rate of U.S.
economic growth will be large enough and soon enough to alleviate building wage
pressures in an increasingly tight labor market.
As we stated previously, while there are some clear signs that the U.S. economic
growth slowed during the third quarter of 1996, we believe there are still
pockets of growth that may warrant some concern. Many consumers continue to
purchase big ticket items, with spending on housing and automobiles, despite
higher borrowing costs, showing solid momentum. Moreover, the U.S. unemployment
rate fell to a seven-year low of 5.1% in August. Non-farm payrolls have averaged
a monthly growth rate of more than 230,000 for the first eight months of 1996.
During the same time period in 1995, non-farm payrolls grew at a monthly rate of
185,000.
1
<PAGE>
Fund Performance Update
As of September 30, 1996, the Municipal Money Market Fund's 7-day current yield
was 3.13%. The Fund's 7-day effective yield -which reflects compounding -- was
3.18%. This means that investors in the federal income tax bracket of 36% would
have to earn a 4.97% taxable yield to match the tax-free income provided by the
Fund.
While the Smith Barney Municipal Money Market Fund tries to maintain a stable
net asset value of $1.00 per share, there can be no assurance this goal will be
achieved. The U.S. government does not insure or guarantee an investment in the
Smith Barney Municipal Money Market Fund.
Fund's Investment Strategy
The Smith Barney Municipal Money Market Fund seeks to provide investors with
income exempt from federal income tax by investing in a portfolio of high
quality, short-term municipal obligations selected for liquidity and stability
of principal. The average maturity of the Fund's holdings is expected to remain
between 50 and 60 days over the near term.
While concerns earlier in the year of major changes in the tax code made many
investors leery of the tax-exempt market, we are confident that with the
elections over that tax reform or a flat tax is behind us in the near future. We
believe that state and local government access to the debt market is essential
to maintain the aging infrastructure of the country.
In closing, thank you for investing in the Smith Barney Municipal Money Market
Fund, Inc. We look forward to continuing to help you achieve your financial
goals.
Sincerely,
/s/ Heath B. McLendon /s/ Joseph Benevento
Heath B. McLendon Joseph Benevento
Chairman and Vice President
Chief Executive Officer
/s/ Lawrence T. McDermott
Lawrence T. McDermott
Vice President
October 15, 1996
2
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Alabama -- 1.0%
$1,500,000 P-1* Cintronelle IDB PCR Refunding (Akzo Chemicals Inc.
Project) 3.90%(b) $ 1,500,000
1,400,000 NR Cullman IDB Industrial Revenue (Pressac Project) 4.10%(b) 1,400,000
5,000,000 A-1 Huntsville IDB Industrial Revenue (Hitachi Seiki USA
Project) 4.17%(a)(b) 5,000,000
1,000,000 NR Huntsville Madison County Airport Authority IDR
(Molex Project) 4.00%(a)(b) 1,000,000
Maplesville IDB Revenue (International Paper Co. Project):
2,835,000 A-2 Series A 3.60% due 10/1/96(c) 2,835,000
2,750,000 A-2 Series B 3.60% due 10/1/96(c) 2,750,000
1,000,000 NR Mobile County (M&T Chemicals Project)
Series 1984 3.925%(b) 1,000,000
8,400,000 A-2 Mobile IDB Solid Waste Disposal Revenue (International
Paper Co.) 3.45% due 3/1/97 (a)(c) 8,400,000
Montgomery BMC Special Care Facilities Financing Authority
Revenue (VHA Hospital Alabama):
775,000 A-1 Series F AMBAC-Insured 3.90%(b) 775,000
1,500,000 A-1 Series H AMBAC-Insured 3.90%(b) 1,500,000
5,500,000 P-1* Montgomery County Industrial Building Revenue
(Conn Fineblanking Corp. Project) 4.05%(a)(b) 5,500,000
2,700,000 A-1 Prattville IDB IDR (Merchant Realty Co.) 4.05%(a)(b) 2,700,000
5,500,000 A-2 Selma IDB Solid Waste Disposal Revenue (International
Paper Co. Project) 3.45% due 3/1/97(a)(c) 5,500,000
13,000,000 A-1+ Tuscaloosa County IDA Solid Waste Disposal Revenue
(Tuscaloosa Steel Corp. Project) 3.95%(a)(b) 13,000,000
- -----------------------------------------------------------------------------------------------
52,860,000
- -----------------------------------------------------------------------------------------------
Alaska -- 0.2%
12,055,000 VMIG 1* Alaska State Housing Finance Corp. Muni Trust Receipts
AMBAC-Insured 3.95%(b) 12,055,000
- -----------------------------------------------------------------------------------------------
Arizona -- 5.5%
Apache County IDA PCR Tucson Electric Power Co.:
32,700,000 VMIG 1* Series 81B 3.90%(b) 32,700,000
21,700,000 VMIG 1* Series 83A 3.85%(b) 21,700,000
8,000,000 VMIG 1* Series 83B 3.85%(b) 8,000,000
10,150,000 P-1* Series 83C 3.85%(b) 10,150,000
14,900,000 A-1+ Springville Project 3.80%(b) 14,900,000
22,800,000 VMIG 1* Arizona Education Loan Corp. Education Loan Revenue
Series 91A 4.00%(a)(b) 22,800,000
6,700,000 P-1* Maricopa County PCR (Public Service Co. New Mexico)
3.90%(b) 6,700,000
Maricopa County PCR (Southern California Ed Paloverdi):
3,450,000 P-1* Series D 3.50% due 10/10/96 3,450,000
5,000,000 P-1* Series E 3.50% due 10/10/96 5,000,000
8,150,000 P-1* Series F 3.50% due 10/10/96 8,150,000
</TABLE>
See Notes to Financial Statements.
3
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Arizona -- 5.5% (continued)
$ 7,000,000 VMIG 1* Mesa Municipal Development Corp. (Special Tax Updates)
3.50% due 10/30/96 $ 7,000,000
4,000,000 VMIG 1* Phoenix Civic Improvement Corp. Revenue (Apartment
Improvements) 3.95%(a)(b) 4,000,000
4,300,000 A-1 Phoenix IDA Multi-Family Housing Revenue
(Southwest Vlgs Project A) 3.80% 4,300,000
9,500,000 VMIG 1* Phoenix Putters Series 16A 3.90%(b) 9,500,000
Pima County IDA Industrial Revenue:
36,900,000 VMIG 1* Tucson Electric (Irvington) Series A 3.80%(b) 36,900,000
43,700,000 A-1+ Tuscon Electric Series A 3.85%(b) 43,700,000
18,000,000 A-1+ Tucson Electric Series A 3.85%(b) 18,000,000
13,500,000 A-1+ Tucson Electric Series 1983A 3.80%(b) 13,500,000
12,000,000 A-1+ Updates - Tucson Electric 3.90%(b) 12,000,000
2,800,000 A-1 Pinal County IDA PCR (Magma Copper Co. Project)
3.90%(b) 2,800,000
1,900,000 P-1* Tempe Arizona IDA (Schreiber Foods Inc.) 3.80%(b) 1,900,000
3,650,000 A-1 Tempe Arizona Multi-Family Housing (Elliot's
Crossing Apartment Project) 4.35%(a)(b) 3,650,000
- -----------------------------------------------------------------------------------------------
290,800,000
- -----------------------------------------------------------------------------------------------
Arkansas -- 1.7%
7,250,000 A-1+ Arkansas State Development Finance Authority IDR
(Potlatch Corp. Project) Series A 3.95%(a)(b) 7,250,000
2,650,000 NR Atkins IDR (Green Bay Foods Project) 4.00%(a)(b) 2,650,000
3,300,000 NR Fayetteville IDR (Amcast Industrial Corp.) 4.00%(b) 3,300,000
Little River County Solid Waste Disposal Revenue
Nekoosa Papers Project:
20,450,000 P-1* 3.95%(a)(b) 20,450,000
35,000,000 P-1* Series A 3.95%(a)(b) 35,000,000
10,650,000 A-1+ Little Rock Health Facilities Board Hospital Revenue
(Southwest Hospital) FGIC-Insured 3.675%(b) 10,650,000
6,000,000 NR Searcy IDR (Kohler Project) Series 88 4.00%(a)(b) 6,000,000
3,550,000 A-1+ Warren Solid Waste Disposal Revenue (Potlatch Corp.
Project) 4.00%(a)(b) 3,550,000
- -----------------------------------------------------------------------------------------------
88,850,000
- -----------------------------------------------------------------------------------------------
California -- 4.0%
10,100,000 SP-1+ Antioch USD TRAN 4.50% due 7/1/97 10,149,465
2,400,000 A-1+ California Health Facilities Financing Authority Revenue
(St. Joseph Health System) Series B 3.80%(b) 2,400,000
California Higher Education Loan Authority Inc.:
3,300,000 VMIG 1* Senior Lien Series A-1 3.90%(b) 3,300,000
1,700,000 A-1+ Series A 3.90%(b) 1,700,000
16,000,000 A-1+ Series C 4.00%(a)(b) 16,000,000
9,000,000 VMIG 1* Series E-5 3.75% due 6/1/97(a) 9,000,000
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
California -- 4.0% (continued)
$ 2,300,000 A-1+ California PCFA PCR Refunding (Pacific Gas & Electric)
Series C 3.55% (b) $ 2,300,000
10,000,000 SP-1+ California School Cash Reserve Program Authority Pool--
Series A 4.75% due 7/2/97 10,065,037
19,425,000 SP-1+ California State RAN Series A 4.50% due 6/30/97 19,498,777
40,000,000 SP-1+ California Statewide Communities Development Authority
Revenue TAN Series A 4.75% due 6/30/97 40,216,591
4,200,000 SP-1+ Colton Joint USD TRAN 4.25% due 6/30/97 4,212,962
8,000,000 SP-1+ Conejo Joint USD TRAN 4.50% due 7/2/97 8,040,468
9,000,000 SP-1+ Fremont California Union High School District Santa Clara
County TAN 4.50% due 7/1/97 9,044,078
3,800,000 VMIG 1* Irvine California Public Facilities and Infrastructure
Authority Lease Revenue (Capital Improvement
Project) 3.60%(b) 3,800,000
10,000,000 SP-1+ Los Angeles County Educational Pooled TRAN
Series A 4.75% due 6/30/97 10,064,563
3,600,000 SP-1+ Moreland Elementary School District TRAN
4.50% due 7/1/97 3,617,631
3,000,000 AAA Orange County Recovery Certificates Participation
Series A MBIA-Insured 4.25% due 7/1/97 3,003,199
5,000,000 SP-1+ Pittsburg USD TRAN 4.50% due 7/1/97 5,024,488
7,000,000 SP-1+ Riverside County School Financing Authority School
District BAN 4.625% due 7/17/97 7,030,584
3,700,000 SP-1+ San Bernadino Community College District TRAN
4.25% due 6/30/97 3,711,944
6,600,000 SP-1+ San Diego Community College District TRAN
4.50% due 6/30/97 6,623,537
10,000,000 SP-1+ San Diego TAN Series A 4.50% due 7/2/97 10,054,199
6,690,000 A-1+ San Jose - Santa Clara Water Financing Authority
Sewer Revenue FGIC-Insured 3.85%(b) 6,690,000
10,720,000 SP-1+ Santa Clara County TRAN 4.50% due 8/1/97 10,779,774
6,000,000 SP-1+ Ventura County Community College District TRAN
4.25% due 6/30/97 6,022,839
- -----------------------------------------------------------------------------------------------
212,350,136
- -----------------------------------------------------------------------------------------------
Colorado -- 0.6%
6,900,000 NR Colorado HFA Economic Development Revenue
(Celestial Seasonings) 3.60%(a)(b) 6,900,000
1,750,000 VMIG 1* Colorado HFA Revenue (Health Facitlity National Benevolent)
Series A 3.85%(b) 1,750,000
10,000,000 SP-1+ Colorado State General Fund Revenue TRAN Series A
4.50% due 6/27/97 10,051,028
Denver City & County Multi-Family Housing Revenue:
5,000,000 A-1 Regency Park Project Series B 3.90%(b) 5,000,000
1,000,000 A-1+ Season Apartments Project 3.95%(b) 1,000,000
7,000,000 A-1+ Denver City & County of Airport Revenue
Muni Trust Receipts MBIA-Insured 4.00%(b) 7,000,000
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Colorado -- 0.6% (continued)
$ 1,200,000 A-1+ Denver City & County Revenue (Childrens Hospital
Association Project) FGIC-Insured 3.90%(b) $ 1,200,000
- -----------------------------------------------------------------------------------------------
32,901,028
- -----------------------------------------------------------------------------------------------
Connecticut -- 1.5%
Connecticut State Development Authority (Solid Waste -
Exeter Project):
12,900,000 A-1 Series A 3.95%(a)(b) 12,900,000
7,700,000 A-1 Series B 3.95%(a)(b) 7,700,000
1,400,000 A-1 Series C 3.95%(a)(b) 1,400,000
8,400,000 A-1+ Connecticut State Development Authority PCR (Connecticut
Light & Power Co. Project) Series A 3.85%(b) 8,400,000
5,000,000 VMIG 1* Connecticut State Health & Educational Facilities Authority
Yale University Revenue 3.90%(b) 5,000,000
13,560,000 NR Connecticut State Rites 3.70% due 11/21/96 13,560,000
Mashantucket Pequot Tribe TECP:
10,000,000 A-1+ 3.50% due 10/10/96 10,000,000
5,700,000 A-1+ 3.40% due 10/24/96 5,697,902
5,000,000 A-1+ 3.50% due 11/14/96 5,000,000
7,000,000 A-1+ 3.60% due 12/19/96 7,000,000
- -----------------------------------------------------------------------------------------------
76,657,902
- -----------------------------------------------------------------------------------------------
Delaware -- 4.1%
Delaware State Economic Development Authority
MBIA-Insured (Hospital Billing Collection Service):
92,570,000 A-1+ Series A 3.90%(b) 92,570,000
27,400,000 A-1+ Series B 3.90%(b) 27,400,000
72,000,000 A-1+ Series C 3.90%(b) 72,000,000
5,700,000 A-1+ Delaware State Economic Development Authority Revenue
Gas Facilities (Delmarva Project) 3.95%(b) 5,700,000
1,400,000 A-1+ Delaware State Health Facilities Authority Revenue
MBIA-Insured 3.80%(b) 1,400,000
Delaware State Housing Authority Revenue TOB Long
Muni Trust Receipts:
8,430,000 NR (CR-43) MBIA-Insured 3.85% due 3/1/97(a)(c) 8,430,000
8,440,000 NR (CR-44) MBIA-Insured 3.85% due 3/1/97(a)(c) 8,440,000
- -----------------------------------------------------------------------------------------------
215,940,000
- -----------------------------------------------------------------------------------------------
District of Columbia -- 0.1%
5,120,000 VMIG 1* District of Columbia GO Refunding Series B-1 FGIC-Insured
4.25%(b) 5,120,000
- -----------------------------------------------------------------------------------------------
Florida -- 2.4%
Broward County HFA Multi-Family Housing Revenue:
2,000,000 A-1 Margate Investments Project 3.85%(b) 2,000,000
3,000,000 VMIG 1* Welleby Apartments Project 3.90%(b) 3,000,000
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Florida -- 2.4% (continued)
$ 8,075,000 VMIG 1* Eustis Health Facilities Authority Revenue
(Waterman Medical Center) 4.15%(b) $ 8,075,000
9,000,000 A-1+ Florida HFA 4.05%(a)(b) 9,000,000
Florida Housing Finance Agency Multi-Family Housing:
3,400,000 A-1+ Series II-J Ashley Lake 3.90%(a)(b) 3,400,000
1,500,000 A-1 Series OO Oak at Mill Creek 3.90%(b) 1,500,000
14,000,000 A-1 Florida Local Government Pooled Program
3.60% due 11/25/96 14,000,000
2,800,000 A-1 Florida Municipal Power Agency Series A
3.55% due 11/12/96 2,800,000
1,500,000 NR Hendry County IDA IDR (Savannah Foods & Industry Project)
4.20%(a)(b) 1,500,000
6,000,000 NR Jacksonville Electric Authority Revenue (Series 3 - A)
(Pre-Refunded-- Escrowed with U.S. Government
Securities to 10/1/96 Call @ 101.5) 7.70% due 10/1/28(d) 6,116,009
4,900,000 VMIG 1* Jacksonville Hospital Revenue (University Medical Center
Project) 4.00%(b) 4,900,000
2,300,000 A-1+ Ocean Highway & Port Authority Revenue 3.85%(a)(b) 2,300,000
Orange County HFA Mortgage Revenue:
5,890,000 NR Series B Muni-Trust Receipts 3.85% due 3/1/97(a)(c) 5,890,000
10,295,000 NR Series E Muni-Trust Receipts 3.85% due 3/1/97(a)(c) 10,295,000
5,000,000 VMIG 1* Palm Beach County Health Facilities Authority Revenue
Refunding (Pooled Hospital Loan Program)
MBIA-Insured 3.55% due 10/24/96 5,000,000
2,200,000 VMIG 1* Pasco County HFA Multi-Family Revenue (Carlton Arms
Magnolia) 3.925%(b) 2,200,000
Pinellas County Educational Facilities Authority Revenue
Refunding (Pooled Independent Higher Education)
MBIA-Insured:
9,700,000 A-1+ 3.55% due 10/28/96 9,700,000
3,100,000 A-1+ 3.55% due 11/14/96 3,100,000
2,300,000 A-1+ 3.45% due 11/26/96 2,300,000
1,665,000 A-1+ Pinellas County HFA Single-Family Mortgage Revenue
4.05%(a)(b) 1,665,000
2,350,000 NR Pinellas County Industrial Council IDR (Molex ETC Inc.
Project) 4.00%(a)(b) 2,350,000
12,425,000 A-1+ Sunshine State Government Finance Notes
3.50% due 10/10/96 12,425,000
West Orange Memorial Hosptial Tax District Revenue
(Series A-2):
4,700,000 VMIG 1* 3.50% due 10/24/96 4,700,000
8,450,000 VMIG 1* 3.45% due 11/27/96 8,450,000
- -----------------------------------------------------------------------------------------------
126,666,009
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Georgia -- 1.9%
$ 2,000,000 VMIG 1* Athens - Clarke County Industrial Development Authority IDR
(Nakanishi Manufacturing Project) 4.175%(a)(b) $ 2,000,000
Clayton County Housing Authority Multi-Family Housing
Revenue:
5,500,000 VMIG 1* Chateau Forest Apartments Series E Refunding 3.90%(b) 5,500,000
2,000,000 A-1 Georgia Rainwood Development FSA-Insured 3.75%(b) 2,000,000
1,500,000 NR Cobb County Industrial Development Authority Revenue
(RLR Inds. Inc. Project) 3.55%(b) 1,500,000
4,055,000 NR Cobb County Multi-Family Housing (Williamstown Apartment
Project) 4.00%(a)(b) 4,055,000
7,260,000 A-1 DeKalb County Development Authority PCR (General Motors
Corp. Project) 4.00%(b) 7,260,000
3,200,000 NR Dodge County IDA (Sylvan Hardwoods LLC Project) 4.00%(b) 3,200,000
10,400,000 A-1 Fulco Hospital Authority Revenue Anticipation Certificates
(St. Josephs Hospital Project) 3.50% due 10/24/96 10,400,000
10,776,587 MIG 1* Georgia Municipal Assocation Pooled Board Certificates
Participation MBIA-Insured 3.80%(b) 10,776,587
4,835,000 VMIG 1* Georgia State GO Series 93C Muni Trust Receipts 3.95%(b) 4,835,000
5,000,000 NR Harralson County Development IDR (Gold Kist Project)
4.00%(a)(b) 5,000,000
Jackson County IDA:
2,900,000 NR (Snider Tire Inc. Project) 4.00%(a)(b) 2,900,000
3,000,000 VMIG 1* Series 1985 4.20%(b) 3,000,000
4,900,000 A-1+ Marietta Housing Authority Multi-Family Revenue Refunding
(Concepts 21 Apartments) 3.90%(b) 4,900,000
5,000,000 A-1+ Municipal Electricity Authority Special Obligation Muni
Trust Receipts MBIA-Insured 4.00%(b) 5,000,000
3,200,000 NR Pike County IDA IDR (Thomaston Mills Inc. Project)
4.00%(a)(b) 3,200,000
2,400,000 A-1+ Putnam County Development Authority PCR (Georgia
Power Co.) First Series 4.00%(b) 2,400,000
3,000,000 NR Richmond County Development Authority Revenue
Refunding (General Signal) 3.90%(b) 3,000,000
4,000,000 NR Savannah Economic Development Authority IDR (Fuji
Vegetable Oil Project) 4.05%(a)(b) 4,000,000
3,500,000 NR Smyrna Housing Authority Multi-Family Housing Revenue
(Walton Grove Project) 4.00%(a)(b) 3,500,000
4,700,000 A-1+ Thomaston-Upson County IDA Revenue (De Ster Production
Corp.) Series A 4.25%(a)(b) 4,700,000
Tift County IDA IDR (Queen Carpet Corp. Project):
3,000,000 NR Series A 4.00%(a)(b) 3,000,000
1,500,000 NR Series B 3.90%(b) 1,500,000
1,350,000 NR Villa Rica Development Authority IDR (Lowes Home
Centers Inc. Project) 3.90%(b) 1,350,000
1,400,000 NR Winder-Barrow Industrial Building Authority IDR
(Southeastern Metal Inc. Project) 4.00%(a)(b) 1,400,000
- -----------------------------------------------------------------------------------------------
100,376,587
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Hawaii -- 0.5%
Hawaii State Department Budget and Finance Special
Purp Mortgage Revenue:
$ 5,500,000 VMIG 1* Ewa Plain Water Development 4.05% due 10/1/97(b) $ 5,503,135
9,975,000 VMIG 1* Wailuku River Hyroelectric 3.85%(a)(b) 9,975,000
Hawaii State Housing Finance & Development Corp. Revenue:
3,200,000 VMIG 1* Affordable Rental Housing Program A 3.95%(b) 3,200,000
4,225,000 NR Single-Family Housing Muni Trust Receipts 4.05%(a)(b) 4,225,000
- -----------------------------------------------------------------------------------------------
22,903,135
- -----------------------------------------------------------------------------------------------
Idaho -- 0.5%
22,700,000 A-1+ Cluster County PCR (Amoco Oil) 3.65% due 4/1/97 22,702,043
4,500,000 NR Twin Falls IDR (Individual-Longview Fibre Co. Project)
4.05%(b) 4,500,000
- -----------------------------------------------------------------------------------------------
27,202,043
- -----------------------------------------------------------------------------------------------
Illinois -- 6.3%
11,000,000 A-1+ Bolingbrook Multi-Family Revenue Housing Redevelopment
(Amberton Apartments) 4.00%(a)(b) 11,000,000
15,660,000 A-1+ Central Lake Community Joint Action Water Agency Interim
Water Revenue Muni Trust Receipts FGIC-Insured
Series SG-11 3.95%(b) 15,660,000
13,700,000 A-1+ Chicago Gas Supply Revenue (Peoples Gas Light & Coke Co.)
93B 3.85% due 12/1/96(a)(c) 13,700,000
Chicago Multi-Family Housing (Waveland Assoc. Project):
7,900,000 A-1 Series C 3.85%(b) 7,900,000
10,000,000 A-1 Series E 3.85%(b) 10,000,000
10,000,000 A-1 Series F 3.85%(b) 10,000,000
Chicago Muni-Trust Receipts AMBAC-Insured:
3,045,000 A-1+ 4.10%(b) 3,045,000
13,280,000 A-1+ Series 1995 4.00%(b) 13,280,000
Chicago O'Hare International Airport Revenue General
Airport:
11,700,000 VMIG 1* 2nd Lien-A 3.90%(a)(b) 11,700,000
14,400,000 VMIG 1* 2nd-B 4.00%(a)(b) 14,400,000
4,500,000 VMIG 1* Series 88 B 3.90%(a)(b) 4,500,000
10,500,000 SP-1+ Chicago Park District Capital Improvement 4.70% due
9/30/97 10,580,772
2,500,000 A-1+ Chicago Tender Notes Series B 3.65% due 10/31/96 2,500,000
8,235,000 A-1+ Cook County Muni Trust Receipts MBIA-Insured 4.00%(b) 8,235,000
5,000,000 NR Du Page Water Community Revenue Muni Trust Receipts
3.95%(b) 5,000,000
13,000,000 A-1+ Elmhurst Revenue (Joint Community Accredation) 4.05%(b) 13,000,000
5,505,000 VMIG 1* Illinois Development Finance Authority IDR (Alcan-Toyo
America Project) 4.30%(a)(b) 5,505,000
Illinois Development Finance Authority PCR (Illinois
Power Co):
14,400,000 A-1+ Series 1987B 4.00%(a)(b) 14,400,000
8,800,000 A-1+ Series 1987C 4.00%(a)(b) 8,800,000
2,700,000 A-1+ Series 1993B 3.90%(b) 2,700,000
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Illinois -- 6.3% (continued)
$ 3,000,000 A-1+ Series D 4.00%(a)(b) $ 3,000,000
2,000,000 A-1+ Illinois Development Finance Authority (Commonwealth
Edison) Series 1994C 3.85%(a)(b) 2,000,000
1,000,000 NR Illinois Development Finance Authority Economic
Development Revenue (Molex Inc. Project) 3.90%(b) 1,000,000
3,400,000 A-1+ Illinois Development Finance Authority Revenue
(Safety Education-Foundation For Safety) 3.85%(b) 3,400,000
10,000,000 A-1 Illinois Educational Facilities Authority Revenue
(University of Chicago) MBIA-Insured 3.90%(b) 10,000,000
Illinois HDA Residential Mortgage Revenue:
14,400,000 Aa* Molex Inc. AMBAC-Insured 4.05%(b) 14,400,000
1,000,000 NR Series C 4.00%(b) 1,000,000
Illinois Health Facilities Authority Revenue:
2,000,000 A-1+ Gottlieb Health Resource Inc. 3.85%(b) 2,000,000
Highland Park Hospital:
12,000,000 VMIG 1* Series A FGIC-Insured 3.60%(b) 12,000,000
5,300,000 VMIG 1* Series B FGIC-Insured 5.00%(b) 5,300,000
6,600,000 A-1+ Swedish Covenant Hospital Project AMBAC-Insured
3.90%(b) 6,600,000
Universtiy of Chicago Hospitals Project:
10,000,000 VMIG 1* Series 94C MBIA-Insured 3.90%(b) 10,000,000
12,500,000 VMIG 1* Series 85A 3.75% due 1/30/97 12,500,000
Illinois HFA Revenue (Revolving Fund):
5,475,000 A-1+ Series D 3.90%(b) 5,475,000
2,200,000 VMIG 1* Series E MBIA-Insured 3.90%(b) 2,200,000
15,000,000 NR Illinois State GO Muni Trust Receipts FGIC-Insured
3.60% due 1/1/97(c) 15,000,000
3,255,000 A-1+ Illinois State Sales Tax Revenue Muni Trust Receipts
FSA-Insured 3.95%(b) 3,255,000
3,000,000 VMIG 1* Illinois Student Assistance Community Student Loan
Revenue 3.95%(a)(b) 3,000,000
3,300,000 A-1+ Lockport IDR (Panduit Corp. Project) 3.95%(a)(b) 3,300,000
4,000,000 NR Paris IDR (Simonton Building Products Inc.) 4.00%(a)(b) 4,000,000
15,735,000 A-1+ Regional Transportation Authority Muni Trust Receipts
FGIC-Insured 3.95%(b) 15,735,000
1,400,000 A-1+ Savanna IDR Refunding (Metform Corp. Project)
Series C 3.85%(a)(b) 1,400,000
3,000,000 VMIG 1* St. Charles County IDA Industrial Revenue 3.90%(b) 3,000,000
3,000,000 P-1* Terre Haute Economic Development Revenue (First
Financial Corp. Project) 3.85%(b) 3,000,000
3,000,000 AAA University of Illinois Revenue Muni Trust Receipts
FGIC-Insured 3.95%(b) 3,000,000
- -----------------------------------------------------------------------------------------------
331,470,772
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Indiana -- 1.6%
$ 4,300,000 A-1+ Allen County Economic Development (Revenue Kransco
Project) 4.10%(a)(b) $ 4,300,000
2,000,000 NR Crawfordsville IDR (Natioanal Service Industry Inc. Project)
3.90%(b) 2,000,000
4,300,000 P-1* Frankfort Indiana Econmic Development Revenue (General
Seating of America Project) 4.35%(a)(b) 4,300,000
13,000,000 MIG 1* Indiana Bond Bank Advance Funding Notes 4.25% due 1/9/97 13,016,664
20,000,000 SP-1+ Indiana Bond Bank Reassessment Assistance Notes Series A
4.125% due 1/30/97 20,024,002
11,000,000 MIG 1* Indiana Secondary Market Educational Loans Inc. Education
Loan Revenue Series B AMBAC-Insured 3.90%(a)(b) 11,000,000
5,300,000 A-1+ Indiana State Development Finance Authority IDR (Red
Gold Inc. Project) AMBAC-Insured 3.90%(a)(b) 5,300,000
4,500,000 AAA Indiana State Toll Finance Authority Toll Road Revenue
(Pre-Refunded-- Escrowed with U.S. Government
Securities to 1/1/97 Call @ 102) 6.875% due 7/1/12 4,624,009
5,225,000 SP-1+ Indianapolis Local Public Improvement Board Series D
4.25% due 1/9/97 5,231,306
3,600,000 A-1+ Ossian Economic Development Revenue (Walbro Auto Corp.
Project) 4.00%(a)(b) 3,600,000
5,000,000 VMIG 1* Petersburg Solid Waste Disposal Revenue (Indiana Power
and Light Co. Project) Series A 3.85%(a)(b) 5,000,000
1,300,000 NR Plymouth IDR (Dean Foods Co. Project) 3.90%(b) 1,300,000
1,255,000 VMIG 1* Richmond Economic Developmet Revenue (Beverly
Enterprises Indiana) 3.70%(b) 1,255,000
- -----------------------------------------------------------------------------------------------
80,950,981
- -----------------------------------------------------------------------------------------------
Iowa -- 0.8%
1,500,000 NR Cedar Rapids IDR Refunding (McKesson Corp. Project)
3.90%(b) 1,500,000
3,100,000 VMIG 1* Iowa Finance Authority Small Business Development
Revenue (Village Court Association) 3.80%(b) 3,100,000
9,700,000 VMIG 1* Iowa Higher Education Loan Authority Revenue Education
Loan Private College Facilities MBIA-Insured 3.85%(b) 9,700,000
Iowa Housing Finance Authority:
3,000,000 P-1* DR (Sauer-Sundstrand Co. Project) 3.95%(a)(b) 3,000,000
7,600,000 A-1+ Series A 3.60%(b) 7,600,000
10,000,000 MIG 1* Iowa School Corps Cerificates Series A 4.75% due 6/27/97 10,056,674
Louisa County PCR (Iowa-Illinois Gas & Electric Co. Project):
6,000,000 A-1 Series A 3.70%(b) 6,000,000
2,400,000 A-1 Series 1987 3.80%(b) 2,400,000
- -----------------------------------------------------------------------------------------------
43,356,674
- -----------------------------------------------------------------------------------------------
Kansas -- 0.8%
3,400,000 NR Fredonia Revenue Exempt Facilities (Systech Environmental)
4.20%(a)(b) 3,400,000
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Kansas -- 0.8% (continued)
$14,000,000 NR Sedwick County Airport Facility Revenue (Flight Safety
International Inc. Project) 4.00%(a)(b) $14,000,000
Wichita Airport Authority Airport Facilities Revenue
(Flight Safety International Inc. Project):
1,750,000 NR 3.90%(b) 1,750,000
6,170,000 NR 4.00%(a)(b) 6,170,000
Wichita Revenue (CSJ Health System Wichita-XXV):
1,200,000 VMIG 1* Series 25 4.00%(b) 1,200,000
3,000,000 VMIG 1* Series 85 4.00%(b) 3,000,000
13,850,000 SP-1+ Wichita Temporary Notes Series 188 4.50% due 2/27/97 13,891,273
- -----------------------------------------------------------------------------------------------
43,411,273
- -----------------------------------------------------------------------------------------------
Kentucky -- 1.5%
3,250,000 NR Calvert City PCR (BOC Group Inc. Project) 3.90%(b) 3,250,000
10,760,000 VMIG 1* Clipper Kentucky Tax Exempt Trust 3.95%(b) 10,760,000
22,685,000 NR Hancock County Industrial Building Revenue (Southwire Co.
Project) 4.00%(b) 22,685,000
1,600,000 A-1 Jefferson County IDR (Belknap Inc. Project) 3.75%(b) 1,600,000
41,700,000 NR Ohio County PCR (Big Rivers Electric Corp.) 4.10%(b) 41,700,000
- -----------------------------------------------------------------------------------------------
79,995,000
- -----------------------------------------------------------------------------------------------
Louisiana -- 2.2%
1,500,000 P-1* Iberville Parish PCR (Dow Chemical Co. Project) 4.00%(a)(b) 1,500,000
1,410,000 NR Kentwood IDR Refunding (Suntory Water Group Inc.) 3.90%(b) 1,410,000
Lake Charles Harbor and Term District Revenue:
1,400,000 P-1* Citgo Petroleum Corp. 3.85%(b) 1,400,000
4,600,000 A-1+ Port Improvement 3.90%(b) 4,600,000
4,000,000 A-1+ Louisiana Health Facilites Sisters of Charity TECP
3.55% due 11/14/96 4,000,000
14,020,000 MIG 1* Louisiana Housing Finance Agency Mortgage Revenue,
Series B-4 3.80% due 4/15/97(a)(c) 14,020,000
Louisiana Public Authority Hospital Revenue:
1,500,000 P-1* Houma-Psychiatric Hospital Inc. 3.85%(b) 1,500,000
20,900,000 A-1+ Our Lady Lake TECP FGIC-Insured 3.60% due 12/11/96 20,900,000
1,000,000 VMIG 1* Program Hospital Refunding MBIA-Insured 3.90%(b) 1,000,000
4,200,000 NR Louisiana Public Facility Authority (Home Depot USA Inc.
Project) 4.00%(a)(b) 4,200,000
21,800,000 VMIG 1* Louisiana Public Facility (SCG Health Care System) TECP
3.50% due 10/30/96 21,800,000
7,025,000 VMIG 1* Louisiana State GO Muni Trust CTFS Series 29A
MBIA-Insured 3.90%(b) 7,025,000
10,000,000 NR Natchitoches Parish Revenue Refunding (Trust Joist Corp.
Project) 4.05%(b) 10,000,000
11,700,000 VMIG 1* New Orleans Aviation Board Revenue Passenger Facility
Charge 4.20%(a)(b) 11,700,000
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Louisiana -- 2.2% (continued)
$ 4,000,000 NR Ouachita Parish IDB (Sulzer Escher Wyss Project)
4.00%(a)(b) $ 4,000,000
3,800,000 A-1+ Plaquemines Parish Environmental Revenue (BP
Exploration & Oil) 4.10%(a)(b) 3,800,000
- -----------------------------------------------------------------------------------------------
112,855,000
- -----------------------------------------------------------------------------------------------
Maine -- 0.5%
2,020,000 A-1+ Maine Finance Authority Economic Development Revenue
Series A,B,C & E 4.15%(a)(b) 2,020,000
14,500,000 SP-1+ Maine State TANS 4.50% due 6/27/97 14,564,848
9,500,000 VMIG 1* Westbrook Revenue (Southern Container Corp. Project)
3.90%(a)(b) 9,500,000
- -----------------------------------------------------------------------------------------------
26,084,848
- -----------------------------------------------------------------------------------------------
Maryland -- 4.0%
6,000,000 NR Anne Arundel County Economic Development Revenue
(West Capital Associates -- Capital Gazette
Communication, Inc.) 3.90%(b) 6,000,000
4,000,000 NR Baltimore County Economic Development Revenue
Refunding Lithco Co. Project 4.00%(a)(b) 4,000,000
Maryland State Community Development Administration
Department Housing & Community Development:
16,175,000 VMIG 1* First Series 3.90% due 9/1/97 16,176,779
4,935,000 NR Muni Trust Receipts 4.05%(a)(b) 4,935,000
9,100,000 NR Series 2024 4.00%(b) 9,100,000
9,285,000 VMIG 1* Second Series 4.00% due 9/1/97(a) 9,285,927
15,000,000 VMIG 1* Maryland State Health & Higher Educational Facilities
Authority Revenue (Peninsula General Hospital) 3.90%(b) 15,000,000
4,750,000 A-1+ Maryland State Industrial Development Financing Authority
Economic Development Revenue (General Binding Corp.
Project) 4.00%(a)(b) 4,750,000
35,000,000 A-1+ Montgomery County BANS 3.55% due 11/12/96 35,000,000
Montgomery County Economic Development Revenue
(Howard Hughes Medical Center):
10,500,000 A-1+ Series A 3.85%(b) 10,500,000
25,500,000 A-1+ Series B 3.80%(b) 25,500,000
25,500,000 A-1+ Series C 3.85%(b) 25,500,000
27,500,000 VMIG 1* Montgomery County Housing Opportunity Community
Housing Revenue (Draper Land Apartments) Issue I
FGIC-Issued 3.90%(a) 27,500,000
19,800,000 NR Northeast Waste Disposal Authority Resource Recovery
Revenue MBIA-Insured Refunding 3.75% due 4/1/97 19,800,000
- -----------------------------------------------------------------------------------------------
213,047,706
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Massachussetts -- 2.1%
$10,395,000 VMIG 1* Clipper Massachusetts Tax-Exempt Trust 4.05%(a)(b) $ 10,395,000
Massachusetts Bay Transportation Authority:
18,185,000 A-1+ Muni Trust Receipts MBIA-Insured 3.90%(b) 18,185,000
40,000,000 SP-1 Series B 4.75% due 9/5/97 40,290,983
8,000,000 SP-1+ Series C TECP 3.55% due 11/14/96 8,000,000
24,000,000 A-1 Massachusetts State GO Series A 4.25% due 6/10/97 24,063,803
4,000,000 NR Massachusetts State Industrial Finance Authority IDR
(Sunstrand Corp. Project) 4.00%(a)(b) 4,000,000
3,660,000 NR Massachusetts State Industrial Finance Industrial Revenue
(Catamount Manufacturing Inc.) 3.00%(a)(b) 3,660,000
- -----------------------------------------------------------------------------------------------
108,594,786
- -----------------------------------------------------------------------------------------------
Michigan -- 2.6%
3,500,000 NR Berrien County Limited Obligation Revenue (Menasha Corp.
Project) 3.90%(b) 3,500,000
10,000,000 SP-1+ Michigan City School District (State School Aid Notes)
4.50% due 5/1/97 10,030,938
18,850,000 A-1+ Detroit Sewer Disposable Revenue Muni Trust Receipts
FGIC-Insured 4.00%(b) 18,850,000
4,000,000 A-1+ Detroit Water Supply System FGIC-Insured 3.90%(b) 4,000,000
10,000,000 SP-1+ Michigan State Muni Board Authority Revenue Series B
4.50% due 7/25/97 10,043,045
14,180,000 NR Michigan State HDA 4.00%(b) 14,180,000
Michigan State HDA Rental Housing Revenue:
5,000,000 VMIG 1* Series A TECP 3.55% due 10/24/96(a) 5,000,000
2,135,000 VMIG 1* Series A TECP 3.60% due 10/30/96(a) 2,135,000
4,000,000 VMIG 1* Series A 4.05%(a)(b) 4,000,000
3,300,000 A-1+ Series C 3.90%(b) 3,300,000
5,500,000 VMIG 1* Woodland Meadows Project 3.95%(a)(b) 5,500,000
Michigan Strategic Fund:
28,440,000 VMIG 2* PCR (General Motors Corp. Project) 3.75%(b) 28,440,000
3,000,000 VMIG 2* PCR Refunding (General Motors Corp. Project) 4.00%(b) 3,000,000
15,700,000 P-1* Solid Waste Disposal Revenue (Grayling Generating
Project) 3.95%(a)(b) 15,700,000
6,800,000 VMIG 1* University of Michigan University Revenue,
Yamaha Music 4.35%(a)(b) 6,800,000
- -----------------------------------------------------------------------------------------------
134,478,983
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Minnesota -- 2.1%
$ 6,000,000 A-1+ Becker PCR (Northern State Power Co. Series A) TECP
3.55% due 10/29/96 $ 6,000,000
5,000,000 A-1 Bloomington Multi-Family Housing Revenue Refunding
(Rental Housing Crow/Bloomington) 3.70%(b) 5,000,000
24,000,000 A-1+ Eagle Tax-Exempt Trust State of Minnesota Muni Trust
Receipts 3.75% due 11/1/96 24,000,000
2,400,000 A-1 Golden Valley IDR (Unicare Homes Project) 4.15%(b) 2,400,000
1,000,000 A-1+ Hubbard County Solid Waste Disposal Revenue (Potlatch
Corp. Project) 4.00%(a)(b) 1,000,000
Minneapolis GO:
13,980,000 A-1+ Series B 3.86%(b) 13,980,000
9,000,000 A-1+ Series A 3.86%(b) 9,000,000
3,300,000 VMIG 1* Minneapolis Community Development Agency Revenue
(Riverplace Project Pennacle Apartment) 3.95%(b) 3,300,000
9,900,000 A-1+ Minneapolis St. Paul Housing Finance Multi-Family
Housing Revenue 4.05%(a)(b) 9,900,000
Minnesota State Housing Finance Agency:
2,445,000 A-1+ Series M 3.50% due 12/12/96 2,445,000
435,000 A-1+ Series O 3.60% due 12/12/96 435,000
1,690,000 NR Moorehead IDR Refunding (Super Value Store Project)
4.05% (b) 1,690,000
Rochester Health Care Facility (Mayo Foundation Project):
10,000,000 A-1+ Series A 4.05%(b) 10,000,000
17,600,000 A-1+ Series C 4.05%(b) 17,600,000
3,300,000 A-1+ Saint Paul Housing & Redevelopment Authority Revenue
(Housing Development Minnesota Multi-City) 3.85%(b) 3,300,000
- -----------------------------------------------------------------------------------------------
110,050,000
- -----------------------------------------------------------------------------------------------
Mississippi -- 0.5%
10,000,000 A-1+ Canton IDR (Levi Strauss & Co. Project) 3.90%(b) 10,000,000
2,880,000 NR Jackson IDR Refunding (McKesson Corp. Project) 3.90%(b) 2,880,000
5,000,000 A-1+ Mississippi Business Financial Corp. Solid Waste Disposal
Revenue 3.95%(b) 5,000,000
5,350,000 NR Newton IDR Refunding (La-Z-Boy Chair Co. Project) 3.90%(b) 5,350,000
3,700,000 A-2 Warren County Solid Waste Disposal Revenue (International
Paper Co. Project) TECP 3.45% due 3/1/97(a) 3,700,000
1,500,000 NR Washington County IDR (LA-Z-Boy Chair Project) 3.90%(b) 1,500,000
- -----------------------------------------------------------------------------------------------
28,430,000
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Missouri -- 3.3%
$ 4,500,000 P-1* Carthage IDA Revenue (Schreiber Foods Inc. Project)
4.35%(a)(b) $ 4,500,000
1,100,000 A-1 Joplin IDA IDR (Northpark Mall Extension) 3.95%(b) 1,100,000
5,195,000 A-1+ Kansas City IDA Multi-Family Housing Revenue (Willow
Creek IV Apartments) 3.85%(b) 5,195,000
13,000,000 A-1+ Maries County IDA Solid Waste Management Revenue
(Kingsford Project) 4.00%(a)(b) 13,000,000
Missouri Higher Education Loan Authority Student
Loan Revenue:
23,300,000 VMIG 1* Series 88A 3.90%(a)(b) 23,300,000
29,300,000 VMIG 1* Series 90A 3.90%(a)(b) 29,300,000
19,250,000 VMIG 1* Series 90B 3.90%(a)(b) 19,250,000
4,000,000 P-1* Missouri State Environmental Improvement and Energy
Authority (Utilicorp United Inc. Project) 4.00%(a)(b) 4,000,000
Missouri State Environmental Improvement and Energy
Resource Authority PCR (Union Electric Co. Project) Series A:
5,145,000 A-1+ TECP 3.60% due 10/9/96 5,145,000
5,000,000 A-1+ TECP 3.45% due 11/27/96 5,000,000
Missouri State Health & Educational Facilities
Authority Revenue:
10,000,000 A-1+ Sister of Mercy Health Care Project Refunding 3.80%(b) 10,000,000
8,100,000 A-1+ St. Anthony's Medical Center Series A 3.80%(b) 8,100,000
6,100,000 A-1+ St. Anthony's Medical Center Series B 3.80%(b) 6,100,000
3,900,000 VMIG 1* St. Anthony's Series C 3.45% due 10/2/96 3,900,000
2,000,000 NR Missouri State IDB IDR (Kawasaki Motors Manufacturing
Co.) 4.25%(a)(b) 2,000,000
2,970,000 A-1 St. Louis County IDA Multi-Family Housing Revenue Refunding
(Westport Station Apartments) Series A 3.80%(b) 2,970,000
25,000,000 SP-1+ University of Missouri Series FY 1996-1997
4.75% due 6/30/97 25,152,253
4,000,000 NR Versailles IDA IDR Refunding (Gates Rubber Co. Project)
3.875%(b) 4,000,000
- -----------------------------------------------------------------------------------------------
172,012,253
- -----------------------------------------------------------------------------------------------
Montana -- 0.3%
1,600,000 NR Missoula IDR (Washington Corp. Project) 3.72%(b) 1,600,000
3,925,000 A-1+ Montana Board of Investment (Colstrip 89) 4.538%(b) 3,925,000
12,000,000 VMIG 1* Montana State Health Facilities Authority Revenue (Pooled
Loan Program) Series A FGIC-Insured 3.90%(b) 12,000,000
- -----------------------------------------------------------------------------------------------
17,525,000
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Nebraska -- 1.5%
$ 2,900,000 VMIG 1* Buffalo County IDR (Agrex Inc. Project) 4.35%(b) $ 2,900,000
Nebraska Higher Education Loan Program Income Revenue
Student Loan Program:
19,850,000 A-1+ Series A 4.00%(a)(b) 19,850,000
12,300,000 A-1+ Series B 4.00%(a)(b) 12,300,000
22,280,000 A-1+ Series D 4.00%(a)(b) 22,280,000
19,725,000 A-1+ Series 2016C 4.00%(a)(b) 19,725,000
3,500,000 A-1+ Series 2018C 4.00%(b) 3,500,000
- -----------------------------------------------------------------------------------------------
80,555,000
- -----------------------------------------------------------------------------------------------
Nevada -- 1.8%
9,790,000 A-1+ Clark County Airport Improvement Revenue Lien
Series A-2 3.90%(a)(b) 9,790,000
Clark County IDR:
1,000,000 A-1+ Nevada Gogeneration Association 4.10%(a)(b) 1,000,000
21,000,000 A-1+ Nevada Power Co. Project Series A 4.10%(a)(b) 21,000,000
39,000,000 A-1+ Nevada Power Co. Project Series B 4.00%(a)(b) 39,000,000
11,450,000 NR Clark County School District Muni Trust Receipts
FGIC-Insured 3.95%(a)(b) 11,450,000
11,715,000 A-1+ Henderson Public Improvement Trust Housing Revenue
Multi-Family (Pueblo Verde) 3.90%(b) 11,715,000
2,400,000 A-1+ Washoe County Water Facility Revenue (Sierra Pacific
Power Co. Project) 4.10%(a)(b) 2,400,000
- -----------------------------------------------------------------------------------------------
96,355,000
- -----------------------------------------------------------------------------------------------
New Hampshire -- 1.2%
4,200,000 A-1 New Hampshire Higher Educational & Health Facilities
Authority Revenue (VHA New England Inc.) Series E
AMBAC-Insured 3.85%(b) 4,200,000
New Hampshire State Business Finance Authority PCR
Refunding Public Service Co.:
37,000,000 A-1+ Series 92D 4.00%(a)(b) 37,000,000
2,100,000 A-1+ Series 93E 4.00%(a)(b) 2,100,000
8,725,000 A-1 New Hampshire State HFA Multi-Family Housing (Manchester)
3.85%(b) 8,725,000
New Hampshire State IDA Revenue:
1,700,000 NR Industrial Development (KRH Rolls Inc.) 3.75%(a)(b) 1,700,000
2,000,000 NR Pollution Control (Conneticut Light & Power Co.)
3.95%(a)(b) 2,000,000
10,000,000 A-1+ New Hampshire State IDA Solid Waste Disposal Facility
Revenue (United Illuminating Co. Project) Series A
3.75% due 3/3/97(c) 10,000,855
- -----------------------------------------------------------------------------------------------
65,725,855
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
New Jersey -- 0.9%
North Bergen Notes:
$ 7,300,000 NR 4.375% due 4/25/97 $ 7,314,831
3,200,000 NR 4.50% due 4/25/97 3,208,720
9,205,000 A-1+ New Jersey State Housing & Mortgage Finance Agency
Revenue AMBAC-Insured 3.85%(a)(b) 9,205,000
New Jersey State TRANS TECP:
15,000,000 A-1+ 3.65% due 12/13/96 15,000,000
9,000,000 A-1+ 3.60% due 1/14/97 9,000,000
4,000,000 NR Trenton Temporary Notes 4.25% due 12/20/96 4,004,634
- -----------------------------------------------------------------------------------------------
47,733,185
- -----------------------------------------------------------------------------------------------
New Mexico -- 0.7%
4,900,000 NR Bellen IDR (Solo New Mexico Project) 4.00%(a)(b) 4,900,000
23,705,000 NR Los Alamos County Inc. Utility System Revenue Series A
(Pre-Refunded -- Escrowed with U.S. Government
Securities to 1/1/97 Call @ 102) 7.75% due 1/1/15(d) 24,427,136
New Mexico Mortgage Finance Authority:
4,400,000 NR Muni Trust Receipts FGIC-Insured 3.85% due 4/1/97 4,400,000
4,725,000 NR Series 1995 4.05%(a)(b) 4,725,000
- -----------------------------------------------------------------------------------------------
38,452,136
- -----------------------------------------------------------------------------------------------
New York -- 8.0%
8,275,000 NR Clinton County BAN 4.00% due 12/12/96 8,283,020
Eagle Tax-Exempt Trust Muni Trust Receipts:
9,200,000 A-1+ NYC Muni-Water MBIA-Insured 3.95%(b) 9,200,000
2,000,000 A-1+ NYC Enviornment CGIC-Insured 3.95%(b) 2,000,000
2,000,000 A-1+ NYS Medicare AMBAC-Insured 3.95%(b) 2,000,000
22,200,000 A-1 Metropolitan Transportation Authority Commuter Facility
Revenue 3.75%(b) 22,200,000
30,000,000 SP-1 Nassau County BAN Series C 4.25% due 3/14/97 30,064,309
10,300,000 NR Nassau County Board Coop Educational Services Sole
Supervisory District RAN 4.25% due 6/26/97 10,310,853
3,410,000 AAA Nassau County GO General Improvement Series R
FGIC-Insured 5.00% due 11/1/96 3,413,536
15,000,000 SP-1 Nassau County RAN Series B 4.25% due 4/15/97 15,040,807
New York City GO:
26,300,000 A-1+ Series F-6 3.80%(b) 26,300,000
6,100,000 A-1+ Series F-7 3.80%(b) 6,100,000
15,400,000 A-1+ Series 92D FGIC-Insured 3.75%(b) 15,400,000
2,600,000 A-1+ Sub-Series B5 MBIA-Insured 3.90%(b) 2,600,000
1,400,000 A-1+ Sub-Series B8 3.75%(b) 1,400,000
New York City Housing Development Corp. Mortgage
Revenue Multi-Family:
2,100,000 A-1 Columbus Apartment Project 3.65%(b) 2,100,000
4,900,000 VMIG 1* East 96th St Project Series A 3.70%(b) 4,900,000
10,200,000 A-1 East 17th St Series A 3.95%(b) 10,200,000
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
New York -- 8.0% (continued)
$ 1,200,000 A-1+ New York City IDA (Ronald McDonald House) 3.65%(b) $ 1,200,000
New York City Muni Water Finance Authority Water &
Sewer System Revenue:
9,685,000 A-1+ Muni Trust Receipts MBIA-Insured 3.80%(b) 9,685,000
10,900,000 A-1+ Series 4 3.45% due 10/24/96 10,900,000
3,200,000 A-1 Series 92A 3.90%(b) 3,200,000
4,300,000 A-1+ New York State Dormitory Authority Revenue Colgate University
Muni Trust Receipts Series 15 FGIC-Insured 3.80%(b) 4,300,000
4,000,000 A-1+ New York State Energy Research & Development Authority
PCR Refunding (New York Electric & Gas)
Series B 3.90%(b) 4,000,000
New York State Local Assistance Corp.:
3,300,000 A-1+ Series A 3.70%(b) 3,300,000
13,500,000 A-1+ Series C 3.75%(b) 13,500,000
New York State Medical Care Facilities Finance
Agency Revenue:
10,098,000 NR FSA-Insured 3.60% due 11/21/96 10,098,000
4,000,000 VMIG 1* Lenox Hill Hospital Series A 3.65%(b) 4,000,000
9,775,000 A-1+ Muni Trust Receipts 3.80%(b) 9,775,000
10,470,000 A-1+ Muni Trust Receipts 3.85%(b) 10,470,000
5,625,000 VMIG 1* Muni Trust Receipts 3.85%(b) 5,625,000
18,222,300 VMIG 1* Muni Trust Receipts 3.70% due 10/11/96 18,222,300
8,140,000 VMIG 1* Muni Trust Receipts FHA-Insured 3.85%(b) 8,140,000
12,125,000 VMIG 1* St. Lukes Hospital Muni Trust Receipts 3.85%(b) 12,125,000
New York State Mortgage Agency Revenue:
1,875,000 VMIG 1* Muni Trust Receipts 2019 4.00%(a)(b) 1,875,000
3,000,000 VMIG 1* Muni Trust Receipts 2025 4.00%(a)(b) 3,000,000
2,500,000 A-1+ New York State Throughway Authority Revenue Muni Trust
Receipts FGIC-Insured 3.80%(b) 2,500,000
18,650,000 A-1+ New York State Urban Developement Corp. Revenue GO
Muni Trust Receipts MBIA-Insured 3.80%(b) 18,650,000
Niagara County IDA Solid Waste Disposal Revenue
Refunding (American Ref-fuel Co.):
10,000,000 A-1 Series D 4.10%(a)(b) 10,000,000
5,300,000 A-1 3.85% due 10/7/96(a) 5,300,000
10,000,000 A-1 3.75% due 10/7/96(a) 10,000,000
5,400,000 A-1 3.75% due 10/18/96(a) 5,400,000
2,750,000 NR Onondaga County IDA IDR (Southern Container Project)
Series B 3.80%(a)(b) 2,750,000
3,000,000 A-1+ Port Authority of NY and NJ Special Obligation Revenue
(Versatile Structure) Series 1 3.80%(a)(b) 3,000,000
8,000,000 NR Rochester BAN Series I 4.125% due 10/31/96 8,003,165
3,000,000 NR Rochester GO Muni Trust Receipts AMBAC-Insured 3.95%(b) 3,000,000
10,000,000 MIG 1* Suffolk County BAN Series A 4.00% due 1/2/97 10,007,622
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
New York -- 8.0% (continued)
$ 5,049,000 VMIG 1* Triborough Bridge & Tunnel Authority Revenue Muni Trust
Receipts FGIC-Insured 3.90%(b) $ 5,049,000
31,800,000 VMIG 1* Triborough Bridge & Tunnel Authority Special Obligation
FGIC-Insured 3.80%(b) 31,800,000
- -----------------------------------------------------------------------------------------------
420,387,612
- -----------------------------------------------------------------------------------------------
North Carolina -- 1.2%
32,800,000 MIG 1* Bladen County Industrial Facilities & PCFA Resource Recovery
Revenue (Beach Energy Project) 4.05%(a)(b) 32,800,000
3,500,000 NR Iredell County Industrial Facilities & PCFA Industrial
Revenue (Valspar Corp. Project) 3.95%(a)(b) 3,500,000
24,400,000 VMIG 1* Lenoir County PCFA Resource Recovery (Carolina Project)
4.05%(a)(b) 24,400,000
3,000,000 A-1+ North Carolina Power Agency (Catawba Project) TECP
3.55% due 11/12/96 3,000,000
- -----------------------------------------------------------------------------------------------
63,700,000
- -----------------------------------------------------------------------------------------------
Ohio -- 1.5%
14,290,000 VMIG 1* Cleveland City School District Muni Trust Receipts
AMBAC-Insured 3.30% due 6/1/97 14,290,000
14,000,000 A-1+ Eagle Tax-Exempt Trust Muni Trust Receipts
AMBAC-Insured Ohio Water Development 3.95%(b) 14,000,000
2,000,000 NR Franklin County IDR (Tigerpoly Manufacturing Inc.)
4.05%(a)(b) 2,000,000
1,800,000 A-1+ Fulton County IDR (Poly Craft Inc.) 3.875%(b) 1,800,000
2,000,000 VMIG 1* Hillsboro IDR (Manufacturing Co. Limited Project) 4.30%(b) 2,000,000
10,000,000 NR North Olmsted BAN 4.60% due 12/19/96 10,010,533
2,000,000 NR Oakwood IDR (Sennett Steel Corp. Project) 3.90%(b) 2,000,000
Ohio State Air Quality Development Authority Revenue:
4,130,000 VMIG 1* Environmental Improvement USX Project 3.55% due 10/1/96 4,130,000
4,000,000 A-1+ JMG Funding Limited Partnership Series A 3.80%(a)(b) 4,000,000
3,000,000 A-1+ JMG Funding Limited Partnership Series B 3.90%(a)(b) 3,000,000
4,260,000 NR Ohio State PCR (General Motors Corp. Project) 3.90%(b) 4,260,000
3,000,000 A-1+ Ohio State Public Facilities Muni Trust Receipts 4.00%(a)(b) 3,000,000
5,500,000 A-1+ Ohio State Water Development Authority PCR Duquesne
Light Co. Project 3.95%(b) 5,500,000
10,500,000 MIG 1* Summit County BANS Series B 4.00% due 6/5/97 10,523,945
- -----------------------------------------------------------------------------------------------
80,514,478
- -----------------------------------------------------------------------------------------------
Oklahoma -- 0.5%
1,145,000 NR Adair County IDR (Baldor Electric Co.) 3.90%(b) 1,145,000
7,780,000 VMIG 1* Broken Arrow Economic Development Authority (Paragon
Films Inc. Project) 4.175%(a)(b) 7,780,000
4,500,000 VMIG 1* Creek County Industrial Authority Revenue Industrial
Development (Henry Vogt Machinery) 4.10%(a)(b) 4,500,000
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Oklahoma -- 0.5% (continued)
$ 7,265,000 NR Garfield County Industrial Authority IDR Refunding (BOC
Group Inc. Project) 3.90%(b) $ 7,265,000
Tulsa Industrial Authority Revenue (Hospital Hillcrest
Medical Center Project):
4,000,000 VMIG 1* Series 1985 3.90%(b) 4,000,000
3,875,000 VMIG 1* Series 1988 3.90%(b) 3,875,000
- -----------------------------------------------------------------------------------------------
28,565,000
- -----------------------------------------------------------------------------------------------
Oregon -- 1.0%
3,700,000 A-1 Forsyth Mont PCR (Portland General Electric)
Series C 3.90%(b) 3,700,000
1,300,000 A-1 Oregon State Economic Development Commission Economic
& IDR (Trust Joist) 3.90%(b) 1,300,000
2,400,000 A-1 Oregon State Economic Development Revenue (Kydtaru
Oregon Project) 3.80%(a)(b) 2,400,000
9,000,000 MIG 1* Oregon State Housing Community Series F
3.55% due 12/12/96(a) 9,000,000
Oregon State Housing & Community Services Department
Mortgage Revenue (Single Family Mortgage Program):
1,500,000 VMIG 1* Series F 4.00% due 8/8/97 1,500,000
2,700,000 VMIG 1* Series G 4.10% due 8/8/97 2,700,000
4,100,000 A-1+ Oregon State G.O. 3.80%(b) 4,100,000
Port St. Helen's PCR (Portland General Electric):
700,000 A-1+ Series A 4.00%(b) 700,000
2,800,000 A-1+ Series B 3.95%(b) 2,800,000
Portland Multi-Family Revenue:
6,850,000 A-1+ South Park Block Project Series A 3.85%(b) 6,850,000
1,845,000 P-1* University Park Apartments Project 3.85%(b) 1,845,000
16,900,000 P-1* Washington County Housing Authority Multi-Family
(Cedar Mill Project) 3.95%(a)(b) 16,900,000
- -----------------------------------------------------------------------------------------------
53,795,000
- -----------------------------------------------------------------------------------------------
Pennsylvania -- 4.2%
Allegheny County Hospital Development Authority Revenue:
2,600,000 A-1+ Allegheny General Hospital Series B 3.80%(a)(b) 2,600,000
5,200,000 A-1+ Health Center Dev Inc. TECP Series B 3.50% due 11/27/96 5,200,000
5,800,000 VMIG 1* Allegheny County IDA Revenue (Residential Rental
Development) Series A 5.00%(a)(b) 5,800,000
5,000,000 VMIG 1* Beaver County IDA PCR (Duquesne Light) TECP 3.45%
due 10/11/96 5,000,000
12,400,000 A-1+ Cambria County IDA Resource Recovery Revenue
(Cambria Cogen Project) Series V-2 4.00%(a)(b) 12,400,000
2,000,000 A-2 Chester County IDA IDR General Motors Corp. Project
4.00%(b) 2,000,000
13,450,000 A-2 Clinton County IDA Solid Waste Disposal (International
Paper Co. Project) 3.80% due 1/15/97(a)(b) 13,450,000
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Pennsylvania -- 4.2% (continued)
$ 2,500,000 A-1+ Commonwealth of Pennsylvania State GO Muni Trust
Receipts AMBAC-Insured 4.10%(b) $ 2,500,000
Delaware County IDA PCR (Philadelphia Electric Series C):
5,000,000 A-1+ TECP 3.45% due 10/7/96 5,000,000
1,000,000 A-1+ TECP FGIC-Insured 3.45% due 10/30/96 1,000,000
14,500,000 A-1+ TECP FGIC-Insured 3.60% due 11/12/96 14,500,000
2,800,000 NR Dauphin County Redevelopment Authority Multi-Family
Revenue (High Pointe Club) 3.95%(a)(b) 2,800,000
Eagle Tax-Exempt Trust Muni Trust Receipts AMBAC-Insured
Beaver County:
19,000,000 A-1 Series 95A 3.95%(b) 19,000,000
19,000,000 A-1 Series 95B 3.95%(b) 19,000,000
3,900,000 NR East Pennsylvania Industrial & Commercial Development
Authority (Electronic Data Systems Corp.) 3.90%(a)(b) 3,900,000
Pennsylvania State Higher Education Assistance Agency
Student Loan Revenue:
3,200,000 A-1+ Series B 3.90%(a)(b) 3,200,000
10,000,000 A-1+ Series C 3.90%(a)(b) 10,000,000
800,000 VMIG 1* Pennsylvania State Higher Educational Facilities Authority
College & University Revenues (Temple University) 3.95%(b) 800,000
10,000,000 MIG 1* Pennsylvania State University (University Project Notes)
Series A 4.00% due 12/18/96 10,009,703
10,000,000 SP-1 Philadelphia School District TRAN 4.50% due 6/30/97 10,035,876
27,000,000 SP-1 Philadelphia TRAN Series A 4.50% due 6/30/97 27,106,305
32,900,000 VMIG 1* Quakertown Hospital Program Series 1985A 3.80%(b) 32,900,000
10,235,000 A-1+ Southeastern Transportation Authority Special Revenue
Muni Trust Receipts 3.90%(b) 10,235,000
1,715,000 A-1+ Schulykill County IDA Resource Recovery Revenue
(Northeastern Power Co.) 3.90%(b) 1,715,000
2,790,000 NR York County IDA IDR (New Edgcomb Corp. Project)
3.625%(b) 2,790,000
- -----------------------------------------------------------------------------------------------
222,941,884
- -----------------------------------------------------------------------------------------------
Rhode Island -- 0.3%
10,695,000 NR Cranston BAN 4.625% due 3/3/97 10,717,871
3,900,000 A-1+ Providence Off Street Public Parking Corp. Exempt Facility
Revenue (Washington Street Garage Corp. Project)
3.95%(a)(b) 3,900,000
- -----------------------------------------------------------------------------------------------
14,617,871
- -----------------------------------------------------------------------------------------------
South Carolina -- 0.5%
2,400,000 NR Anderson County Industrial Revenue (Fed Paper Board Co. Inc.
Project) 4.00%(a)(b) 2,400,000
2,252,000 NR Chesterfield County IDR (Culp Inc. Project) 4.00%(a)(b) 2,252,000
6,100,000 A-1+ Rock Hill County Utility Stystem Revenue FGIC-Insured
3.85%(b) 6,100,000
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
South Carolina -- 0.5% (continued)
South Carolina Jobs Economic Development Authority
Economic Development Revenue:
$ 4,200,000 NR Conco Medical Products Project 4.15%(a)(b) $ 4,200,000
4,500,000 NR Galey & Lord Industries Inc. Project 4.00%(a)(b) 4,500,000
6,000,000 NR Orders Realty Co. Inc. Project 4.00%(a)(b) 6,000,000
- -----------------------------------------------------------------------------------------------
25,452,000
- -----------------------------------------------------------------------------------------------
Tennessee -- 3.8%
Anderson County Tennessee IDB Revenue:
4,000,000 P-1* Becromal of America Inc. Project 4.35%(a)(b) 4,000,000
1,300,000 P-1* Becromal of America Inc. Project 4.35%(a)(b) 1,300,000
9,100,000 A-1 Clarksville Public Building Authority Revenue (Pooled
Financing Tennessee Muni Board Fund) 3.85%(b) 9,100,000
2,000,000 NR Covington IDB Revenue Refunding (Wallace Computer
Services) 4.00%(a)(b) 2,000,000
4,500,000 A-1+ Franklin IDB Multi-Family Revenue (Landings Project)
Class C 3.80%(b) 4,500,000
8,100,000 NR Loudon IDB PCR (AE Staley Manufacturing) 3.90%(b) 8,100,000
4,665,000 NR Memphis Electric System Revenue Muni Trust Receipts
4.00%(b) 4,665,000
12,400,000 VMIG 1* Metro Government Nashville & Davidson County IDB Revenue
Multi-Family Housing (Arbor Knoll) 3.90%(b) 12,400,000
Metropolitan Nashville Airport Refunding FGIC-Insured:
2,900,000 A-1+ Series 1993 3.85%(b) 2,900,000
23,300,000 A-1+ Series 1995 3.85%(b) 23,300,000
2,600,000 NR Roane County IDB IDR (Great Lakes Carbon Corp.) 3.70%(b) 2,600,000
3,000,000 VMIG 1* Shelby County Health Educational & Housing Facilities Board
Revenue Multi-Family Housing (Arbor Lake) 3.95%(a)(b) 3,000,000
11,240,000 NR Tennessee State Housing Development Agency Muni Trust
Receipts FSA-Insured 3.85% due 4/1/97 11,240,000
13,500,000 SP-1+ Tennessee State Local Development Authority Revenue
4.00% due 5/29/97 13,530,906
Tennessee State School Board Authority (Higher Educational
Facilities) BANS:
3,975,000 A-1+ Series A 3.85%(b) 3,975,000
5,100,000 A-1+ Series B 3.85%(b) 5,100,000
6,650,000 A-1+ Series C 3.85%(b) 6,650,000
Volunteer State Student Funding Corp. Tennessee Student
Loan Revenue:
2,000,000 A-1 Series A 4.00%(a)(b) 2,000,000
4,000,000 A-1 Series A-1 4.00%(a)(b) 4,000,000
25,100,000 A-1 Series A-2 4.00%(a)(b) 25,100,000
13,700,000 A-1 Series A-2 4.00%(a)(b) 13,700,000
36,000,000 A-1 Series A-3 4.00%(a)(b) 36,000,000
- -----------------------------------------------------------------------------------------------
199,160,906
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Texas -- 8.0%
$13,500,000 VMIG 1* Amarillo Health Facilities Corporate Revenue 4.05%(b) $13,500,000
Austin Independent School District Muni Trust Receipts:
4,750,000 NR Series 2011 3.95%(b) 4,750,000
4,750,000 NR Series 2012 3.95%(b) 4,750,000
12,745,000 NR Series 2013 3.95%(b) 12,745,000
19,340,000 A-1+ Austin Utility System Revenue Muni Trust Receipts
MBIA-Insured 3.95%(b) 19,340,000
3,500,000 A-1+ Brazos River Authority PCR (Utilities Electric Co.)
3.75% due 11/13/96(a) 3,500,000
City of Houston GO:
5,000,000 A-1+ TECP Series A 3.45% due 10/8/96 5,000,000
1,400,000 A-1+ TECP Series B 3.45% due 10/8/96 1,400,000
Corpus Christi Texas Industrial Development Corp. IDR
(Dedietrich USA Inc. Project):
3,000,000 VMIG 1* #129AX 4.00%(a)(b) 3,000,000
2,000,000 VMIG 1* #129BX 4.00%(a)(b) 2,000,000
2,180,000 NR Dallas Housing Financial Corp., Series A Muni Trust
Receipts 3.85% due 4/1/97(a) 2,180,000
10,300,000 A-1+ Eagle Tax-Exempt Muni Trust Receipts Bexar Co. 4.10%(a)(b) 10,300,000
23,000,000 VMIG 1* Greater East Texas Higher Education Authority Inc. Student
Loan Revenue Senior Lien Series 1995A 3.85% due
5/1/97(a) 23,002,015
Gulf Coast Waste Disposal Authority (Amoco Oil Co. Project):
9,700,000 VMIG 1* 4.10%(a)(b) 9,700,000
7,200,000 VMIG 1* 3.45% due 10/1/96 7,200,000
Harris County Health Facilities Development Corp. School
Health Care System Revenue Sisters of Charity:
8,400,000 A-1+ TECP 3.55% due 10/28/96 8,400,000
8,600,000 A-1+ TECP 3.50% due 10/30/96 8,600,000
5,300,000 A-1+ TECP 3.50% due 10/30/96 5,300,000
16,150,000 A-1+ TECP 3.45% due 11/26/96 16,150,000
1,400,000 P-1* Harris County Industrial Development Corp. IDR
(Chusei USA Project) 4.35%(a)(b) 1,400,000
Houston Water & Sewer System Revenue:
15,000,000 A-1+ Muni Trust Receipts MBIA-Insured 4.00%(b) 15,000,000
10,000,000 A-1 TECP Series A 3.50% due 10/30/96 10,000,000
2,000,000 A-1+ Hunt County Industrial Development Corp. Revenue (Trico
Ind. Inc. Project) 3.85%(b) 2,000,000
3,000,000 A-1+ Intermountain Power Agency Series 1985E TECP
3.55% due 10/15/96 3,000,000
8,000,000 NR Leon County Development Corp. IDR (BOC Group Inc.
Project) 3.90%(b) 8,000,000
1,100,000 NR McAllen Health Facilities Development Corp. Revenue
(McAllen Associates No.1) 3.90%(b) 1,100,000
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Texas -- 8.0% (continued)
North Texas Higher Education Authority Inc. Student Loan
Revenue Refunding:
$ 6,700,000 A-1+ Series 1991A 3.90%(a)(b) $ 6,700,000
10,200,000 SP-1+ Series 1991C AMBAC-Insured 3.90%(a)(b) 10,200,000
15,400,000 VMIG 1* Series 1996C AMBAC-Insured 3.90%(a)(b) 15,400,000
1,500,000 SP-1+ Series 1991F AMBAC-Insured 3.90%(a)(b) 1,500,000
5,500,000 VMIG 1* Series 1993A 3.90%(a)(b) 5,500,000
7,000,000 A-1+ Plano Childrens Health MBIA-Insured TECP 3.50% due 10/30/96 7,000,000
13,900,000 A-1+ Port Arthur Navy District PCR (Star Enterprises Project)
4.00%(a)(b) 13,900,000
4,900,000 A-1+ Port Corpus Christi Authority Nueces County Marine Terminal
Revenue (Reynolds Metals Co.) 3.60%(b) 4,900,000
5,300,000 A-1+ Red River Authority Pollution Control (Southwestern Public
Service Co.) 3.85%(b) 5,300,000
2,850,000 NR Round Rock Industrial Development Corp. IDR Refunding
(Tellabs Inc. Project) 3.90%(b) 2,850,000
17,200,000 A-1+ San Antonio Housing Finance Corp. Multi-Family Housing
Revenue (Braesview Apartments Project) 3.90%(a)(b) 17,200,000
5,000,000 A-1 Smith Creek Metorpolitan District Revenue 3.85%(b) 5,000,000
3,570,000 A-1+ Texas A & M University Revenue Muni Trust Receipts 4.00%(b) 3,570,000
8,000,000 MIG 1* Texas Association of School Board Certificates Participation
TAN FSA-Insured 4.75% due 8/29/97 8,057,571
8,500,000 VMIG 1* Texas Health Facilities Development Corp. Revenue
(North Texas Pooled Health) Series 1985B 3.85%(b) 8,500,000
3,510,000 A-1+ Texas Higher Education Authority Inc. Series B 3.90%(b) 3,510,000
10,000,000 A-1+ Texas Public Finance Authority GO TECP 3.70% due 2/5/97 10,000,000
80,000,000 SP-1+ Texas State TRAN Series A 4.75% due 8/29/97 80,573,645
Trinity River Authority PCR:
5,900,000 VMIG 2* General Motors Corp. Project 3.85%(b) 5,900,000
2,900,000 VMIG 1* Utilities Electric Co. Project Series A AMBAC-Insured
4.10%(a)(b) 2,900,000
- -----------------------------------------------------------------------------------------------
419,778,231
- -----------------------------------------------------------------------------------------------
Utah -- 2.0%
4,000,000 VMIG 1* Morgan County Solid Waste Disposal Revenue (Holnam Inc.
Project) 3.90%(a)(b) 4,000,000
5,625,000 A-1 Ogden City IDR (Infiltrator System Inc. Project) 3.90%(a)(b) 5,625,000
11,900,000 VMIG 1* Salt Lake City Revenue Series A 3.80%(b) 11,900,000
4,550,000 A-1+ Salt Lake County (Amoco) 3.70% due 4/1/97 4,551,502
4,900,000 VMIG 1* Salt Lake County Housing Authority (Sandy Retirement
Center) 3.625%(b) 4,900,000
10,175,000 A-1+ Utah County Environmental Improvement Revenue Refunding
(USX Corp. Project) 3.65% due 3/3/97 10,175,000
Utah State Board Regents Student Loan Revenue:
27,000,000 A-1+ Series A AMBAC-Insured 3.90%(a)(b) 27,000,000
7,200,000 A-1+ Series B AMBAC-Insured 3.80%(b) 7,200,000
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Utah -- 2.0% (continued)
$15,000,000 A-1+ Series C 3.90%(a)(b) $ 15,000,000
12,600,000 A-1+ Series L AMBAC-Insured 3.90%(a)(b) 12,600,000
- -----------------------------------------------------------------------------------------------
102,951,502
- -----------------------------------------------------------------------------------------------
Vermont -- 0.3%
14,200,000 A-1+ Vermont IDA IDR (Ryegate Project) 3.85%(a)(b) 14,200,000
- -----------------------------------------------------------------------------------------------
Virginia -- 0.7%
4,400,000 VMIG 1* Charles City & County IDA Exempt Facility Revenue (Chambers
Development of Virginia Inc. Project) 3.95%(a)(b) 4,400,000
2,400,000 VMIG 1* Fairfax County IDA Revenue (Inova Health System Series B)
TECP 3.45% due 10/10/96 2,400,000
6,505,000 NR Hampton Roads Sanitation Waste Water Revenue Muni Trust
Receipts 4.00%(b) 6,505,000
3,000,000 A-1+ King George County IDA Solid Waste Disposal Facility
Revenue (Garnet of VA Inc. Project) 5.00%(a)(b) 3,000,000
10,125,000 VMIG 1* Louisa IDA PCR (Electric & Power) TECP 3.60% due 12/12/96 10,125,000
9,385,000 NR Virginia State HDA Commonwealth Mortgage Muni Trust
Receipts 4.00%(a)(b) 9,385,000
- -----------------------------------------------------------------------------------------------
35,815,000
- -----------------------------------------------------------------------------------------------
Washington -- 3.5%
14,000,000 A-1+ Eagle Tax-Exempt Trust Washington GO Muni Trust Receipts
MBIA-Insured 3.95%(b) 14,000,000
64,729,000 NR Port Everett Industrial Development Corporate Solid Waste
Recycling Revenue (Snohomish River Pulp Co. Project)
4.05%(a)(b) 64,729,000
9,500,000 A-1 Port Vancouver Special Revenue (United Grain Corp.
Project) 4.25%(a)(b) 9,500,000
Student Loan Finance Association Washington Guaranteed:
8,400,000 VMIG 1* Series A 4.00%(a)(b) 8,400,000
7,900,000 VMIG 1* Third Program Series A 4.00%(a)(b) 7,900,000
15,420,000 NR Washington State GO Muni Trust Receipts 3.60% due 1/1/97 15,420,000
Washington State Housing Finance Commission
Multi-Family Mortgage Revenue:
7,450,000 A-1+ Arbors on the Park Project 4.10%(a)(b) 7,450,000
10,755,000 A-1+ Pacific First Federal Series B 4.05%(b) 10,755,000
Washington State Public Power Supply Systems Nuclear
Project No. 3 Revenue:
4,998,000 NR Muni Trust Receipts 4.05%(b) 4,998,000
29,625,000 A-1+ Series 3A-1 3.80%(b) 29,625,000
1,000,000 NR Washington State Various Purpose (Pre-Refunded --
Escrowed with U.S. Government Securities to 10/1/01
Call @ 100) 8.80% due 10/1/97(d) 1,046,530
Yakima County Public Corp.:
6,600,000 P-1 (Am Millwork Ltd. Project) 4.10%(a)(b) 6,600,000
3,100,000 NR IDR (John I. Haas Project) 4.15%(b) 3,100,000
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Washington -- 3.5% (continued)
$ 2,000,000 A-1+ Yakima County Public Corp. (Longview Fibre Co. Project)
4.05%(a)(b) $ 2,000,000
- -----------------------------------------------------------------------------------------------
185,523,530
- -----------------------------------------------------------------------------------------------
West Virginia -- 0.3%
Marion County Commission Solid Waste Disposal Facility
Revenue (Granttown Project):
5,200,000 A-1+ Series B 3.90%(a)(b) 5,200,000
3,600,000 A-1+ Series D 3.90%(a)(b) 3,600,000
1,730,000 NR Putnam County Solid Waste Disposal Revenue (FMC Corp.)
4.00%(a)(b) 1,730,000
West Virginia State Hospital Finance Authoriy Hospital
Revenue (Mid - Atlantic/Cap) AMBAC-Insured:
4,000,000 A-1 Series D 3.90%(b) 4,000,000
3,090,000 A-1 Series E 3.90%(b) 3,090,000
- -----------------------------------------------------------------------------------------------
17,620,000
- -----------------------------------------------------------------------------------------------
Wisconsin -- 0.8%
9,500,000 NR Brokaw Sewer & Solid Waste Revenue (Wausau Paper Mills
Co. Project) 4.10%(a)(b) 9,500,000
6,605,000 A-1 City Of Milwaukee Muni Trust Receipts 3.95%(b) 6,605,000
11,800,000 A-1 Eagle Tax-Exempt Trust Muni Trust Receipts Housing EDA
4.10%(a)(b) 11,800,000
1,000,000 NR Fairwater IDR (Dean Foods Co. Project) 3.90%(b) 1,000,000
4,595,000 VMIG 1* Wisconsin Housing and Economic Development Authority
Home Ownership Revenue Muni Trust Receipts 4.05%(a)(b) 4,595,000
6,320,000 A-1+ Wisconsin Public Power Inc. System Power Supply System
Revenue Muni Trust Receipts AMBAC-Insured 4.00%(b) 6,320,000
- -----------------------------------------------------------------------------------------------
39,820,000
- -----------------------------------------------------------------------------------------------
Wyoming -- 0.6%
7,500,000 A-1+ Converse County PCR (Pacificorp Project) TECP
3.60% due 10/30/96 7,500,000
6,305,000 A-1+ Sweetwater County PCR (Pacificorp Project) Series B TECP
3.50% due 10/30/96 6,305,000
9,000,000 A-1+ Unita County PCR (Amoco Standard Oil Co.)
3.98% due 12/1/96(c) 9,003,549
10,710,000 VMIG 1* Wyoming Community Development Authority 4.00%(a)(b) 10,710,000
- -----------------------------------------------------------------------------------------------
33,518,549
- -----------------------------------------------------------------------------------------------
Miscellaneous -- 4.1%
23,245,580 VMIG 1* Clipper Blue Tax-Exempt 4.45%(b) 23,245,580
Clipper Blue Tax-Exempt Trust:
74,439,338 MIG 1* 95-1 4.05%(a)(b) 74,439,338
35,102,170 MIG 1* 95-2 4.25%(b) 35,102,168
46,051,616 VMIG 1* 95I 4.25%(b) 46,051,61
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (unaudited) (continued) September 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
===============================================================================================
<C> <C> <S> <C>
Miscellaneous -- 4.1% (continued)
$ 520,000 A-1+ Pooled Puttable Floating Options Tax-Exempt Receipts
4.35%(a)(b) $ 520,000
27,630,000 NR Puerto Rico Industrial Medical PCR (Abbot Labs)
3.41% due 3/3/97(c) 27,630,000
800,000 A-1+ Puerto Rico Public Building Authority Series 1995
Muni Trust Receipts 3.50%(b) 800,000
80,000 A-1+ Puttable Floating Options Tax-Exempt Receipts (Koch
Financial Corp.) 4.35%(b) 80,000
5,475,000 NR University of Puerto Rico Muni Trust Receipts
MBIA-Insured 3.65%(b) 5,475,000
- -----------------------------------------------------------------------------------------------
213,343,699
- -----------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100%
(Cost -- $5,267,471,554**) $5,267,471,554
===============================================================================================
</TABLE>
(a) Income from these issues is considered a preference item for purposes of
calculating the alternative minimum tax.
(b) Variable rate obligation payable at par on demand at any time on no more
than seven days' notice.
(c) Variable rate obligation payable at par on demand on the date indicated.
(d) Pre-Refunded bonds escrowed by U.S. Government securities and bonds
escrowed to maturity by U.S. Government securities are considered by
Manager to be triple-A rated even if issuer has not applied for new
ratings.
** Aggregate cost for Federal income tax purposes is substantially the same.
See pages 29 and 30 for definition of ratings and certain security
descriptions.
See Notes to Financial Statements.
28
<PAGE>
- --------------------------------------------------------------------------------
Bond Ratings
- --------------------------------------------------------------------------------
All ratings are by Standard & Poor's Ratings Services ("Standard & Poor's")
except that those identified by an asterisk (*) are rated by Moody's Investors
Service Inc. ("Moody's"). The definitions of the applicable rating symbols are
set forth below:
Standard & Poor's -- Ratings from "AA" to "BBB" may be modified by the addition
of a plus (+) or a minus (-) sign to show relative standings within the major
rating categories.
AAA -- Debt rated "AAA"' have the highest rating assigned by Standard &
Poor's. Capacity to pay interest and repay principal is extremely
strong.
AA -- Debt rated "AA" have a very strong capacity to pay interest and
repay principal and differ from the highest rated issue only in a
small degree.
A -- Debt rated "A" have a strong capacity to pay interest and repay
principal although it is somewhat more susceptible to the adverse
effects of changes in circumstances and economic conditions than debt
in higher rated categories.
BBB -- Debt rated "BBB" is regarded as having an adequate capacity to pay
interest and repay principal. Whereas it normally exhibits adequate
protection parameters, adverse economic conditions or changing
circumstances are more likely to lead to a weakened capacity to pay
interest and repay principal for debt in this category than in higher
rated categories.
Moody's-- Numerical modifiers 1, 2 and 3 may be applied to each generic rating
from "Aa" to "Baa", where 1 is the highest and 3 the lowest raking
within its generic category.
Aaa -- Bonds that are rated "Aaa" are judged to be of the best quality.
They carry the smallest degree of investment risk and are generally
referred to as "gilt edge." Interest payments are protected by a large
or by an exceptionally stable margin and principal is secure. While
the various protective elements are likely to change, such changes as
can be visualized are most unlikely to impair the fundamentally strong
position of such issues.
Aa -- Bonds that are rated "Aa" are judged to be of high quality by all
standards. Together with the Aaa group they comprise what are
generally known as high grade bonds. They are rated lower than the
best bonds because margins of protection may not be as large as in Aaa
securities or fluctuation of protective elements may be of greater
amplitude or there may be other elements present which make the
long-term risks appear somewhat larger than in Aaa securities.
A -- Bonds that are rated "A" possess many favorable investment
attributes and are to be considered as upper medium grade obligations.
Factors giving security to principal and interest are considered
adequate but elements may be present which suggest a susceptibility to
impairment some time in the future.
Baa -- Bonds that are rated "Baa" are considered as medium grade
obligations, i.e., they are neither highly protected nor poorly
secured. Interest payments and principal security appear adequate for
the present but certain protective elements may be lacking or may be
characteristically unreliable over any great length of time. Such
bonds lack outstanding investment characteristics and in fact have
speculative characteristics as well.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
29
<PAGE>
- --------------------------------------------------------------------------------
Short-Term Securities Ratings
- --------------------------------------------------------------------------------
SP-1 -- Standard & Poor's highest rating indicating very strong or strong
capacity to pay principal and interest; those issues determined to
possess overwhelming safety characteristics are denoted with a plus
(+) sign.
A-1 -- Standard & Poor's highest commercial paper and variable-rate demand
obligation (VRDO) rating indicating that the degree of safety
regarding timely payment is either overwhelming or very strong; those
issues determined to possess overwhelming safety characteristics are
denoted with a plus (+) sign.
A-2 -- Standard & Poor's second highest commercial paper and variable-rate
demand obligation (VRDO) rating indicating that the degree of safety
regarding timely payment is either overwhelming or very strong; those
issues determined to possess overwhelming safety characteristics are
denoted with a plus (+) sign.
MIG 1 -- Moody's highest rate for short-term municipal obligations. VMIG 1
-- Moody's highest rating for issues having a demand feature -- VRDO.
VMIG 2 -- Moody's second highest rating for issues having a demand
feature -- VRDO.
P-1 -- Moody's highest rating for commercial paper and for VRDO prior to
the advent of the VMIG 1 rating.
- --------------------------------------------------------------------------------
Security Descriptions
- --------------------------------------------------------------------------------
AMBAC -- American Municipal Bond Assurance Corporation
BAN -- Bond Anticipation Notes
CGIC -- Capital Guaranty Insurance Company
EDC -- Economic Development Corporation
EFA -- Educational Facilities Authority
ETM -- Escrowed to Maturity
FGIC -- Financial Guaranty Insurance Company
FRTC -- Floating Rate Trust Certificates
FSA -- Federal Savings Association
GO -- General Obligation
HDA -- Housing Development Authority
HEFA -- Health and Educational Facilities Authority
HFA -- Housing Finance Authority
IDA -- Industrial Development Authority
IDB -- Industrial Development Board
IDC -- Industrial Development Corporation
IDR -- Industrial Development Revenue
MBIA -- Municipal Bond Investors Assurance Corporation
PCFA -- Pollution Control Finance Authority
PCR -- Pollution Control Revenue
PFA -- Public Facilities Authority
RAN -- Revenue Anticipation Notes
RAW -- Revenue Anticipation Warrants
STEM -- Short-Term Extendable Maturity
TAN -- Tax Anticipation Notes
TECP -- Tax Exempt Commercial Paper
TOB -- Tender Option Bond
TRAN -- Tax & Revenue Anticipation Notes
VHA -- Veterans Housing Authority
30
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities (unaudited) September 30, 1996
- --------------------------------------------------------------------------------
ASSETS:
Investments, at amortized cost $5,267,471,554
Interest receivable 29,348,209
Prepaid expenses 522,382
- --------------------------------------------------------------------------------
Total Assets 5,297,342,145
- --------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased 167,001,731
Dividends payable 6,483,891
Management fees payable 2,093,325
Distribution fees payable 145,556
Payable to bank 536,335
- --------------------------------------------------------------------------------
Total Liabilities 176,260,838
- --------------------------------------------------------------------------------
Total Net Assets $5,121,081,307
================================================================================
NET ASSETS:
Capital stock (10,000,000,000 shares
authorized; par value $0.01 per share) $51,221,050
Capital paid in excess of par value 5,071,242,906
Accumulated net realized loss on security transactions (1,382,649)
- --------------------------------------------------------------------------------
Total Net Assets $5,121,081,307
================================================================================
Shares Outstanding 5,122,104,964
- --------------------------------------------------------------------------------
Net Asset Value Per Share $1.00
- --------------------------------------------------------------------------------
See Notes to Financial Statements.
31
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations (unaudited)
- --------------------------------------------------------------------------------
For the Six Months Ended September 30, 1996
INVESTMENT INCOME:
Interest $ 95,726,077
- --------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 3) 12,898,294
Distribution fees (Note 3) 2,642,443
Registration fees 1,281,000
Shareholder and system servicing fees 581,940
Shareholder communications 235,155
Custody 155,024
Audit and legal 27,633
Directors' fees 14,640
Other 25,071
- --------------------------------------------------------------------------------
Total Expenses 17,861,200
- --------------------------------------------------------------------------------
Net Investment Income 77,864,877
- --------------------------------------------------------------------------------
Net Realized Loss From Security Transactions (90,228)
- --------------------------------------------------------------------------------
Increase in Net Assets From Operations $ 77,774,649
================================================================================
See Notes to Financial Statements.
32
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
For the Six Months Ended September 30, 1996 (unaudited)
and the Year Ended March 31, 1996
September 30 March 31
================================================================================
OPERATIONS:
Net investment income $ 77,864,877 $ 166,193,675
Net realized gain (loss) (90,228) 182,322
- --------------------------------------------------------------------------------
Increase in Net Assets From Operations 77,774,649 166,375,997
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2) (77,864,877) (166,193,675)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 5):
Net proceeds from sale of shares 11,010,543,338 23,799,688,864
Net asset value of shares issued for
reinvestment of dividends 78,704,993 161,496,398
Cost of shares reacquired (11,381,430,425) (23,200,080,333)
- --------------------------------------------------------------------------------
Increase (Decrease) in Net Assets From
Fund Share Transactions (292,182,094) 761,104,929
- --------------------------------------------------------------------------------
Increase (Decrease) in Net Assets (292,272,322) 761,287,251
NET ASSETS:
Beginning of period 5,413,353,629 4,652,066,378
- --------------------------------------------------------------------------------
End of period $ 5,121,081,307 $ 5,413,353,629
================================================================================
See Notes to Financial Statements.
33
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. SIGNIFICANT ACCOUNTING POLICIES
Smith Barney Municipal Money Market Fund, Inc. ("Fund"), a Maryland
corporation, is registered under the Investment Company Act of 1940, as amended,
as a diversified, open-end investment management company.
The significant accounting policies consistently followed by the Fund are:
(a) security transactions are accounted for on trade date; (b) the Fund uses the
amortized cost method for valuing investments; accordingly, the cost of
securities, adjusted for a constant accretion (amortization) to maturity of any
discount (premium), approximates market value; (c) interest income is recorded
on the accrual basis; (d) direct expenses are charged to the Fund and each
class; management fees and general expenses are allocated on the basis of
relative net assets; (e) dividends and distributions to shareholders are
recorded on the ex-dividend date; (f) the Fund intends to comply with the
applicable provisions of the Internal Revenue Code pertaining to regulated
investment companies and make distributions of taxable income sufficient to
relieve it from substantially all Federal income and excise taxes; (g) the
character of income and gains to be distributed are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. At March 31, 1996, reclassifications were made to the Fund's capital
accounts to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a portion
of accumulated net realized gains amounting to $6,701 was reclassified to
paid-in capital. Net investment income, net realized gains and net assets were
not affected by this change; and (h) estimates and assumptions are required to
be made regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
2. EXEMPT-INTEREST DIVIDENDS AND OTHER DISTRIBUTIONS
The Fund declares and records a dividend of substantially all of its net
investment income on each business day. Such dividends are paid or reinvested
monthly in Fund shares on the payable date. Furthermore, the Fund intends to
satisfy conditions that will enable interest from municipal securities, which is
exempt from regular Federal income tax and from designated state income taxes,
to retain such status when distributed to its shareholders.
Capital gain distributions, if any, are taxable to shareholders, and are
declared and paid at least annually.
34
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
- --------------------------------------------------------------------------------
3. MANAGEMENT AGREEMENT AND OTHER TRANSACTIONS
Smith Barney Mutual Funds Management Inc. ("SBMFM"), a subsidiary of Smith
Barney Holdings Inc. ("SBH"), acts as investment manager of the Fund. The Fund
pays SBMFM a management fee calculated at the annual rate of 0.50% on the first
$2.5 billion of the Fund's average daily net assets, 0.475% on the next $2.5
billion and 0.45% on average daily net assets in excess of $5.0 billion. These
fees are calculated daily and paid monthly.
Smith Barney Inc. ("SB"), another subsidiary of SBH, acts as distributor of
Fund shares. Pursuant to a Distribution Plan, the Fund pays SB a distribution
fee calculated at the annual rate of 0.10% of the Fund's average daily net
assets.
All officers and two Directors of the Fund are employees of SB.
4. CAPITAL LOSS CARRYFORWARD
At March 31, 1996, the Fund had, for Federal income tax purposes,
approximately $1,292,000 of capital loss carryforwards available to offset
future capital gains. To the extent that these carryforward losses are used to
offset capital gains, it is possible that the gains so offset will not be
distributed. The amount and expiration of the carryovers are indicated below.
Expiration occurs on March 31, of the year indicated.
2000 2001 2002 2003
================================================================================
Carryforward Amounts $97,000 $1,086,000 $37,000 $72,000
================================================================================
5. CAPITAL SHARES
The Fund has the ability to establish multiple classes of shares. Each
share of a class represents an identical interest in the Fund and has the same
rights, except that each class bears certain expenses specifically related to
the distribution of its shares. Class A and Class Y shares can be purchased
directly by investors. Class C shares are not available for purchase. They
represent previously issued B shares, which were renamed as Class C shares
effective November 7, 1994. Class C shares may only be redeemed or exchanged out
of the Fund.
At September 30, 1996, total paid-in capital amounted to the following for
each class:
Class A Class C Class Y
================================================================================
Total Paid-in Capital $5,117,098,979 $216,253 $5,148,724
================================================================================
35
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (unaudited) (continued)
- --------------------------------------------------------------------------------
Transactions in shares of each class were as follows:
Six Months Ended Year Ended
September 30, 1996 March 31,1996*
================================================================================
Class A
Shares sold 10,952,301,046 23,778,520,460
Shares issued on reinvestment 78,221,117 161,445,786
Shares redeemed (11,310,215,895) (23,195,899,521)
- --------------------------------------------------------------------------------
Net Increase (Decrease) (279,693,732) 744,066,725
================================================================================
Class C
Shares sold 199,991 3,399,290
Shares issued on reinvestment 1,732 10,620
Shares redeemed (29,342) (4,180,812)
- --------------------------------------------------------------------------------
Net Increase (Decrease) 172,381 (770,902)
================================================================================
Class Y
Shares sold 58,042,301 17,769,114
Shares issued on reinvestment 482,144 39,992
Shares redeemed (71,185,188) --
- --------------------------------------------------------------------------------
Net Increase (Decrease) (12,660,743) 17,809,106
================================================================================
* For Class Y shares, transactions are for the period from February 12, 1996
(inception date) to March 31, 1996.
36
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
For a share of each class of capital stock outstanding throughout each period:
Class A Shares 1996(1) 1996 1995 1994 1993 1992
================================================================================
Net Asset Value,
Beginning of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------
Net investment income(2) 0.015 0.033 0.027 0.019 0.022 0.037
Dividends from net
investment income (0.015) (0.033) (0.027) (0.019)(0.022) (0.037)
- --------------------------------------------------------------------------------
Net Asset Value,
End of Period $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------
Total Return 1.47%++ 3.34% 2.71% 1.89% 2.25% 3.73%
- --------------------------------------------------------------------------------
Net Assets,
End of Period (in millions) $5,116 $5,395 $4,651 $1,286 $1,251 $1,355
- --------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(2) 0.67%+ 0.63% 0.61% 0.64% 0.62% 0.53%
Net investment income 2.92+ 3.28 3.01 1.87 2.22 3.66
================================================================================
Class C Shares 1996(1) 1996 1995(3) 1994(4)
================================================================================
Net Asset Value,
Beginning of Period $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------
Net investment income(2) 0.015 0.033 0.027 0.019
Dividends from net
investment income (0.015) (0.033) (0.027) (0.019)
- --------------------------------------------------------------------------------
Net Asset Value,
End of Period $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------
Total Return 1.47%++ 3.34% 2.71% 1.89%++
- --------------------------------------------------------------------------------
Net Assets,
End of Period (in millions) $0.20 $0.04 $1.0 $5.0
- --------------------------------------------------------------------------------
Ratios of Average Net Assets:
Expenses(2) 0.67%+ 0.60% 0.61% 0.64%+
Net investment income 2.86+ 3.43 3.01 1.87+
================================================================================
(1) For the six months ended September 30, 1996 (unaudited).
(2) The manager has waived a part of its fees for the years ended March 31,
1996 and March 31, 1995. If such fees were not waived, the per share effect
on net investment income and expense ratios would have been as follows:
Per Share Decreases Expense Ratios
to Net Investment Income Without Fee Waivers
------------------------ -------------------
1996 1995 1996 1995
---- ---- ---- ----
Class A $0.0001 $0.0002 0.64% 0.63%
Class C 0.0001 0.0002 0.62 0.63
(3) On November 7, 1994, the former Class B shares were renamed Class C shares.
(4) For the period from May 25, 1993 (inception date) to March 31, 1994.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
37
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights (continued)
- --------------------------------------------------------------------------------
For a share of each class of capital stock outstanding throughout each period:
Class Y Shares 1996(1) 1996(2)
================================================================================
Net Asset Value, Beginning of Period $1.00 $1.00
- --------------------------------------------------------------------------------
Net investment income 0.015 0.004
Dividends from net investment income (0.015) (0.004)
- --------------------------------------------------------------------------------
Net Asset Value, End of Period $1.00 $1.00
- --------------------------------------------------------------------------------
Total Return++ 1.52% 0.39%
- --------------------------------------------------------------------------------
Net Assets, End of Period (in millions) $5.0 $18.0
- --------------------------------------------------------------------------------
Ratios of Average Net Assets+:
Expenses 0.57% 0.55%
Net investment income 2.99 2.81
================================================================================
(1) For the six months ended September 30, 1996 (unaudited).
(2) For the period from February 12, 1996 (inception date) to March 31, 1996.
++ Total return is not annualized, as it may not be representative of the
total return for the year.
+ Annualized.
38
<PAGE>
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<PAGE>
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<PAGE>
Smith Barney SMITH BARNEY
Municipal Money ------------
Market Fund, Inc.
A Member of TravelersGroup [Logo]
Directors
Jessica M. Bibliowicz
Joseph H. Fleiss
Donald R. Foley
Paul Hardin
Francis P. Martin, M.D.
Heath B. McLendon, Chairman
Roderick C. Rasmussen
John P. Toolan
C. Richard Youngdahl
Officers
Heath B. McLendon
Chief Executive Officer
Jessica M. Bibliowicz
President
Lewis E. Daidone
Senior Vice President
and Treasurer
Joseph Benevento
Vice President
Lawrence T. McDermott
Vice President
Irving P. David
Controller
Christina T. Sydor
Secretary
Investment Manager
Smith Barney Mutual
Funds Management Inc.
Distributor
Smith Barney Inc.
Custodian
PNC Bank, N.A.
Shareholder
Servicing Agent
First Data Investor Services Group, Inc.
P.O. Box 1376
Boston, MA 02104
This report is submitted for
the general information of the
shareholders of Smith Barney Municipal
Money Market Fund, Inc.
It is not authorized for distribution to
prospective investors unless accompanied
or preceded by a current Prospectus for
the Fund, which contains information
concerning the Fund's investment policies
and expenses as well as other pertinent
information.
Smith Barney
Municipal Money
Market Fund, Inc.
388 Greenwich Street
New York, New York 10013
FD0807 11/96
