ANNUAL REPORT
================================================================================
1997
1997
1997
1997
1997
Smith Barney
Municipal
Money Market
Fund, Inc.
----------------
March 31, 1997
[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 the annual report for the Smith Barney Municipal Money
Market Fund, Inc. for the year ended March 31, 1997. 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.
Performance Update
As of March 31, 1997, the Municipal Money Market Fund's 7-day current yield was
2.86%. The Fund's 7-day effective yield -- which reflects compounding -- was
2.90%. This means that investors in the federal income tax bracket of 36% would
have to earn a 4.53% taxable yield to match the tax-free income provided by the
Fund. (According to the Internal Revenue Service, approximately 10% of U.S.
taxpayers fall into the 36% federal income tax bracket.)
While the Smith Barney Municipal Money Market Fund seeks 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.
Market and Economic Overview
The U.S. economy continues to grow strongly with relatively low inflation. Gross
Domestic Product (GDP), a key economic indicator that measures the total output
of U.S. goods and services, grew at an annual rate of 3.8% for the fourth
quarter 1996 and 3.4% for all of 1996. In comparison, GDP grew at a meager 0.3%
for the same period in 1995 and at a rate of 1.3% for all of 1995. Moreover,
recently released reports suggest the U.S. economy has continued to expand in
early 1997. For example, some recent government reports indicated brisk U.S.
employment growth for the first quarter of 1997, and a decline in the
unemployment rate to roughly 5.30%, the lowest rate in years. In addition, this
job growth has been accompanied by strong retail sales and upbeat consumer
confidence surveys. Given the current favorable economic data, we anticipate
first quarter 1997 GDP to grow at an annual rate of 4% to 4.25%.
However, despite the apparent economic expansion, inflationary pressures have
remained relatively benign. In our opinion, declining health care costs,
deregulation in certain industries, and increased global competition have helped
to
1
<PAGE>
keep inflation in check. Nevertheless, Federal Reserve Board ("Fed") Chairman
Alan Greenspan has continued to voice concerns about higher inflation that could
result from an overheated U.S. economy. In response to this steady stream of
positive economic reports, the Fed raised the federal funds rate by 25 basis
points, or 0.25%, to 5.50% in March of this year. (The federal funds rate is the
interest rate banks charge each other for overnight loans and is a closely
watched indicator of the direction of interest rates.) This increase in
short-term interest rates is the first Fed action since January 1996. Although
this move was widely expected by many investors, it remains to be seen whether
this is a one-time action, or the first in a series of preemptive moves by the
Fed to ward off inflationary pressures.
Tax-Exempt Money Market Overview
The recent rise in short-term interest rates, coupled with seasonal redemptions,
tends to depress the prices of tax-exempt money market instruments and therefore
drive up their yields. We expect tax-exempt money market rates to become more
attractive relative to taxable money market instruments on an after-tax basis
over the near term.
For most state and local governments, June signals the end of the current fiscal
year. During the reporting period, a strong national economy and failure to
enact the federal balanced budget amendment have been beneficial for most state
finances. New job creation and increased labor productivity have helped push
state tax collections above most budget revenue estimates. In early March of
1997, the proposed federal balanced budget amendment fell short of the
two-thirds congressional majority vote required to become a constitutional
amendment. Many state and local officials feared that passage of this amendment
would put pressure on federal grants earmarked for state and local governments.
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. We have slightly shortened the Fund's average weighted maturity to
approximately 40 to 45 days to reflect our more neutral stance on the market. In
addition, we positioned the Fund to take into account seasonal tax redemptions
and possible further Fed tightenings of monetary policy.
2
<PAGE>
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 Vice President
/s/ Lawrence T. McDermott
Lawrence T. McDermott
Vice President
April 21, 1997
3
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- --------------------------------------------------------------------------------
Schedule of Investments March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Alabama -- 1.2%
$11,670,000 VMIG 1* Birmingham Baptist Medical Center Special Care Facilities
Finance Authority Revenue (Senior Living
Communities Inc. Project A) 3.50%(b) $ 11,670,000
5,480,000 VMIG 1* Birmingham Baptist Medical Center Medical Clinic Board
(Western Medical Systems Project Series A) 3.50%(b) 5,480,000
1,500,000 NR++ Cintronelle IDB PCR Refunding (Akzo Chemicals Inc. Project)
3.50%(b) 1,500,000
1,250,000 NR++ Cullman IDB IDR (Pressac Project) 3.70%(b) 1,250,000
5,000,000 A-1 Huntsville IDB IDR (Hitachi Seiki USA Project) 3.78%(a)(b) 5,000,000
1,000,000 NR++ Huntsville Madison County Airport Authority IDR
(Molex Project) 3.55%(a)(b) 1,000,000
1,900,000 A-1+ Mcintosh IDB PCR (Ciba-Geigy Corp. Project) 3.75%(b) 1,900,000
1,000,000 NR++ Mobile County (M&T Chemicals Project)
Series 1984 3.525%(b) 1,000,000
Montgomery BMC Special Care Facilities Financing Authority
Revenue (VHA Alabama Inc. Cap) AMBAC-Insured:
3,175,000 A-1 Series C3.45%(b) 3,175,000
9,000,000 A-1 Series F 3.45%(b) 9,000,000
5,500,000 P-1* Montgomery County Industrial Building Revenue
(Conn Fineblanking Corp. Project) 3.65%(a)(b) 5,500,000
7,300,000 P-1* Phoenix County IDB Environmental Improvement Revenue
(Mead Coated Board Project) TECP 3.40% due 4/23/97(a) 7,300,000
2,700,000 A-1 Prattville IDB IDR (Merchant Realty Co) 3.65%(a)(b) 2,700,000
13,000,000 A-1+ Tuscaloosa County IDA Solid Waste Disposal Revenue
(Tuscaloosa Steel Corp. Project) 3.50%(a)(b) 13,000,000
- ---------------------------------------------------------------------------------------------------------
69,475,000
- ---------------------------------------------------------------------------------------------------------
Alaska -- 0.5%
Alaska State Housing Finance Corp.:
11,055,000 VMIG 1* AMBAC-Insured PART 3.55%(b) 11,055,000
4,700,000 A-1+ Series C 3.50%(b) 4,700,000
12,000,000 SP-1+ Anchorage TAN 4.00% due 12/17/97 12,038,743
- ---------------------------------------------------------------------------------------------------------
27,793,743
- ---------------------------------------------------------------------------------------------------------
Arkansas -- 1.6%
5,200,000 A-1+ Arkansas State Development Finance Authority Health
Care Facilities Revenue (Sisters of Mercy
Health Systems Inc.) Series B 3.45%(b) 5,200,000
2,650,000 NR++ Atkins IDR (Green Bay Foods Project) 3.55%(a)(b) 2,650,000
3,300,000 VMIG 1* Fayetteville IDR (Amcast Industrial Corp.) 3.65%(a)(b) 3,300,000
Little River County Solid Waste Disposal Revenue
Nekoosa Papers Project:
20,450,000 VMIG 1* 3.55%(a)(b) 20,450,000
35,000,000 P-1* Series A 3.55%(a)(b) 35,000,000
</TABLE>
See Notes to Financial Statements
4
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Arkansas -- 1.6% (continued)
$10,650,000 A-1+ Little Rock Health Facilities Board Hospital Revenue
(Southwest Hospital) FGIC-Insured 3.35%(b) $ 10,650,000
6,000,000 NR++ Searcy IDR (Kohler Project) Series 88 3.55%(a)(b) 6,000,000
1,000,000 NR++ Sheridan IDR (Kohler Project) 3.50%(b) 1,000,000
3,550,000 A-1+ Warren Solid Waste Disposal Revenue (Potlatch Corp.
Project) 3.55%(a)(b) 3,550,000
- ---------------------------------------------------------------------------------------------------------
87,800,000
- ---------------------------------------------------------------------------------------------------------
Arizona -- 3.3%
Apache County IDA PCR Tucson Electric Power Co:
15,000,000 A-1 Series 81A 3.50%(b) 15,000,000
8,000,000 A-1 Series 83B 3.45%(b) 8,000,000
Apache County IDA Tucson Electric Power Co.:
6,700,000 A-1+ Series 83A 3.50%(b) 6,700,000
10,150,000 A-1 Series 83C 3.45%(b) 10,150,000
22,800,000 VMIG 1* Arizona Education Loan Corp. Education Loan Revenue
Series A 3.55%(a)(b) 22,800,000
8,150,000 A-1 Maricopa County PCR (Southern California Ed Paloverdi)
TECP Series F 3.45% due 5/15/97 8,150,000
1,600,000 VMIG 1* City Of Mesa Muni Development Corp TECP
3.55% due 5/30/97 1,600,000
4,000,000 VMIG 1* Phoenix Civic Improvement Corp. Revenue (Apartment
Improvements) 3.50%(a)(b) 4,000,000
9,500,000 VMIG 1* Phoenix GO Series 16A PART 3.55%(b) 9,500,000
4,200,000 A-1 Phoenix IDA Multi-Family Housing Revenue (Southwest
Villages Project A) 3.45%(b) 4,200,000
Pima County IDA Industrial Revenue:
21,900,000 A-1+ Tucson Electric (Irvington) Series A 3.45%(b) 21,900,000
43,700,000 A-1+ Tuscon Electric Series A 3.50%(b) 43,700,000
17,350,000 A-1+ Tucson Electric Series A 3.50%(b) 17,350,000
1,900,000 P-1* Tempe Arizona IDA Multi-Family Revenue (Schreiber
Foods Inc. Project) 4.00%(a)(b) 1,900,000
4,400,000 A-1 Tempe IDA IDR (Elliot's Crossing Apartments Project)
3.45%(b) 4,400,000
- ---------------------------------------------------------------------------------------------------------
179,350,000
- ---------------------------------------------------------------------------------------------------------
California -- 4.1%
10,100,000 SP-1+ Antioch USD TRAN 4.50% due 7/1/97 10,116,488
8,800,000 A-1 California Alternative Energy (Modesto Energy Project)
3.40%(b) 8,800,000
8,100,000 A-1+ California Alternative Energy Source Financing Authority
Cogeneration (GE Cap Corp.-Arroyo) Series A
3.25%(a)(b) 8,100,000 California Higher Education Loan
Authority Inc.:
25,500,000 A-1+ Series C 3.55%(a)(b) 25,500,000
9,000,000 VMIG 1* Series E-5 3.75% due 6/1/97(a)(c) 9,000,000
</TABLE>
See Notes to Financial Statements
5
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
California -- 4.1% (continued)
California PCFA:
PCR Refunding (Pacific Gas & Electric):
$12,000,000 A-1+ Series A 3.35%(a)(b) $12,000,000
3,700,000 A-1+ Series C 3.55%(b) 3,700,000
1,400,000 A-1+ Solid Waste Disposal Revenue (Shell Oil Co.
Martinez Project) Series A 3.55%(a)(b) 1,400,000
10,000,000 SP-1+ California School Cash Reserve Program Authority
Pool-Series A 4.75% due 7/2/97 10,021,837
15,025,000 SP-1+ California State RAN Series A 4.50% due 6/30/97 15,043,882
40,000,000 SP-1+ California Statewide Communities Development Authority
Revenue TRAN Series A 4.75% due 6/30/97 40,071,666
9,300,000 A-1 Chula Vista IDR (San Diego Gas & Electric Co)
Series B 3.45%(a)(b) 9,300,000
4,200,000 SP-1+ Colton USD TRAN 4.25% due 6/30/97 4,204,289
8,000,000 SP-1+ Conejo Valley USD TRAN 4.50% due 7/2/97 8,013,588
1,000,000 MIG 1* Contra Costa Community College District TRAN
4.50% due 6/30/97 1,002,230
9,000,000 SP-1+ Fremont California Union High School District Santa
Clara County TRAN 4.50% due 7/1/97 9,014,693
1,400,000 VMIG 1* Irvine California Public Facilities and
Infrastructure Authority Lease Revenue
(Capital Improvement Project) 3.30%(b) 1,400,000
10,000,000 SP-1+ Los Angeles County Educational Pooled TRAN Series A
4.75% due 6/30/97 10,021,363
3,600,000 SP-1+ Moreland Elementary School District TRAN
4.50% due 7/1/97 3,605,877
1,200,000 A-1+ Oakland Revenue (Childrens Hospital Medical Center)
Series B 3.25%(b) 1,200,000
3,000,000 AAA Orange County Recovery COP MBIA-Insured Series A
4.25% due 7/1/97 3,001,066
5,000,000 SP-1+ Pittsburg USD TRAN 4.50% due 7/1/97 5,008,162
7,000,000 SP-1+ Riverside County School Financing Authority
School District BAN 4.625% due 7/17/97 7,011,324
3,700,000 SP-1+ San Bernadino Community College District TRAN
4.25% due 6/30/97 3,703,952
6,600,000 SP-1+ San Diego Community College District TRAN
4.50% due 6/30/97 6,607,788
6,000,000 SP-1+ Ventura County Community College District TRAN
4.25% due 6/30/97 6,007,557
3,320,000 A-1+ Woodland Multi-Family Housing Mortgage Revenue
(Crossroads) Series A 3.20% (b) 3,320,000
- ---------------------------------------------------------------------------------------------------------
226,175,762
- ---------------------------------------------------------------------------------------------------------
Colorado -- 0.7%
1,700,000 VMIG 1* Colorado Health Facilites Authority Revenue (Health
Facility National Benevolent) Series A 3.50%(b) 1,700,000
</TABLE>
See Notes to Financial Statements
6
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Colorado -- 0.7% (continued)
$ 6,600,000 NR++ Colorado HFA Economic Development Revenue
(Celestial Seasonings) 3.60%(a)(b) $6,600,000
4,700,000 NR++ Colorado Postsecondary EFA Revenue (Regis Jesuit High
School Project) 3.55%(b) 4,700,000
6,200,000 SP-1+ Colorado State General Fund Revenue TRAN Series A
4.50% due 6/27/97 6,213,820
7,000,000 A-1+ Denver City & County Airport Revenue PART
MBIA-Insured 3.55%(b) 7,000,000
Denver City and County Multi-Family Housing Revenue:
5,000,000 A-1 Regency Park Project Series B 3.75%(b) 5,000,000
1,000,000 A-1+ Season Apartments Project 3.55%(b) 1,000,000
5,000,000 A-1+ Smith Creek Metropolitan District Revenue 3.40%(b) 5,000,000
- ---------------------------------------------------------------------------------------------------------
37,213,820
- ---------------------------------------------------------------------------------------------------------
Connecticut -- 0.9%
13,560,000 NR++ Connecticut State Rites PART 3.60% due 4/7/97(c) 13,560,000
Mashantucket Pequot Tribe TECP:
22,200,000 A-1+ 3.50% due 4/10/97 22,200,000
11,800,000 A-1+ 3.50% due 4/30/97 11,800,000
- ---------------------------------------------------------------------------------------------------------
47,560,000
- ---------------------------------------------------------------------------------------------------------
Delaware -- 3.8%
Delaware State Economic Development Authority
MBIA-Insured (Hospital Billing Collection Service):
94,500,000 A-1+ Series A 3.50%(b) 94,500,000
27,400,000 A-1+ Series B 3.50%(b) 27,400,000
71,900,000 A-1+ Series C 3.50%(b) 71,900,000
14,900,000 A-1+ Eagle Tax-Exempt PART (Delaware State Housing)
MBIA-Insured 3.80% due 3/1/98(c) 14,900,000
- ---------------------------------------------------------------------------------------------------------
208,700,000
- ---------------------------------------------------------------------------------------------------------
District of Columbia -- 0.1%
5,120,000 VMIG 1* District of Columbia GO Refunding PART
Series B-1 FGIC Insured 3.80%(b) 5,120,000
- ---------------------------------------------------------------------------------------------------------
Florida -- 3.0%
Broward County HFA Multi-Family Housing Revenue:
400,000 A-1 Margate Investments Project 3.55%(b) 400,000
3,000,000 VMIG 1* Welleby Apartments Project 3.45%(b) 3,000,000
Eagle Tax-Exempt PART:
13,100,000 A-1+ Florida Board of Education 3.65% due 6/1/97(c) 13,100,000
14,830,000 A-1+ Orange County Florida Housing 3.80% due 3/1/98(c) 14,830,000
7,930,000 VMIG 1* Eustis Health Facilities Authority Revenue
(Waterman Medical Center) 3.45%(b) 7,930,000
9,000,000 A-1+ Florida HFA PART 3.65%(a)(b) 9,000,000
3,400,000 A-1+ Florida Housing Finance Agency Multi-Family Housing
(Series II-J Ashley Lake Apartments) 3.55%(a)(b) 3,400,000
</TABLE>
See Notes to Financial Statements
7
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Florida -- 3.0% (continued)
$ 3,730,000 A-1 Florida Local Government Community Association of
Counties TECP 3.00% due 4/11/97 $ 3,730,000
Florida Muni Power Agency Series A TECP:
5,020,000 A-1 2.90% due 4/1/97 5,020,000
2,800,000 A-1 3.40% due 5/8/97 2,800,000
1,500,000 NR++ Hendry County IDA IDR (Savannah Foods &
Industry Project) 3.80%(a)(b) 1,500,000
10,000,000 A-1 Jacksonville TECP 3.45% due 05/13/97 10,000,000
1,000,000 A-1 Jacksonville PCR TECP (Florida Power & Light) 3.50%
due 5/14/97 999,939
20,700,000 A-1 Orange County HFA Revenue Refunding Series 1985
TECP (Pooled Hospital Loan Program) MBIA-Insured
3.40% due 4/21/97 20,700,000
5,000,000 A-1+ Palm Beach County Health Facilities Authority
(Pooled Hospital Loan Program) TECP MBIA-Insured
3.40% due 5/8/97 5,000,000
2,200,000 VMIG 1* Pasco County HFA Multi-Family Revenue
(Carlton Arms Magnolia) 3.52%(b) 2,200,000
1,665,000 A-1+ Pinellas County HFA Single-Family Mortgage Revenue
PART 3.60%(a)(b) 1,665,000
3,000,000 A-1+ Pinellas County Educational Facilities Authority Revenue
Refunding TECP (Pooled Independent Higher Education)
MBIA-Insured 3.35% due 4/22/97 3,000,000
2,350,000 NR++ Pinellas County Industrial Council IDR (Molex ETC Inc.
Project) 3.55%(a)(b) 2,350,000
5,100,000 A-1+ St. Lucie County PCR (Florida Power & Light Co. Project)
3.65%(b) 5,100,000
Sunshine State Government Finance Series 1986 TECP:
6,000,000 VMIG 1* 3.35% due 5/6/97 6,000,000
7,000,000 VMIG 1* 3.55% due 5/14/97 7,000,000
20,900,000 A-1+ Tampa Occupational License Tax Series A
FGIC-Insured 3.50%(b) 20,900,000
West Orange Memorial Hospital TECP:
2,500,000 VMIG 1* 3.40% due 4/24/97 2,500,000
4,700,000 VMIG 1* 3.50% due 5/27/97 4,700,000
5,100,000 VMIG 1* 3.45% due 5/28/97 5,100,000
- ---------------------------------------------------------------------------------------------------------
161,924,939
- ---------------------------------------------------------------------------------------------------------
Georgia -- 1.7%
2,000,000 VMIG 1* Athens-Clarke County Industrial Development Authority IDR
(Nakanishi Manufacturing Project) 3.775%(a)(b) 2,000,000
1,000,000 A-1 Clayton County Housing Authority Multi-Family Housing
Revenue FSA-Insured (Georgia Rainwood Development)
3.42%(b) 1,000,000
1,500,000 NR++ Cobb County IDA IDR (RLR Industries Inc. Project) 3.55%(b) 1,500,000
</TABLE>
See Notes to Financial Statements
8
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Georgia -- 1.7% (continued)
$ 4,055,000 NR++ Cobb County Multi-Family Housing (Williamstown
Apartment Project) 3.55%(a)(b) $ 4,055,000
7,310,000 A-1 DeKalb County Development Authority PCR (General
Motors Corp. Project) 3.65%(b) 7,310,000
3,200,000 NR++ Dodge County Industrial Development Authority
(Sylvan Hardwoods LLC Project) 3.55%(b) 3,200,000
15,200,000 A-1+ Eagle Tax-Exempt PART (Georgia GO) 3.65% due 2/12/98(c) 15,200,000
10,400,000 A-1 Fulco Hospital Authority Anticipation Certificates
(St. Josephs Hospital) TECP 3.50% due 5/27/97 10,400,000
Georgia State GO:
6,745,000 NR+ 3.70% due 10/30/97(c) 6,745,000
4,835,000 VMIG 1* Series 93C PART 3.70%(b) 4,835,000
5,000,000 NR++ Harralson County Development IDR (Gold Kist Project)
3.55%(a)(b) 5,000,000
2,900,000 NR++ Jackson County IDA IDR (Snider Tire Inc. Project)
3.55%(a)(b) 2,900,000
4,900,000 A-1+ Marietta Housing Authority Multi-Family Revenue Refunding
(Concepts 21 Apartments) 3.50%(b) 4,900,000
5,000,000 A-1+ Municipal Electricity Authority Special Obligation PART
MBIA-Insured 3.55%(b) 5,000,000
3,200,000 NR++ Pike County IDA IDR (Thomaston Mills Inc. Project)
3.55%(a)(b) 3,200,000
3,000,000 NR++ Richmond County Development Authority Revenue
(General Signal) 3.50%(b) 3,000,000
3,500,000 NR++ Smyrna Housing Authority Multi-Family Housing Revenue
(Walton Grove Project) 3.55%(a)(b) 3,500,000
4,700,000 A-1+ Thomaston-Upson County IDA Revenue (De Ster Production
Corp.) Series A 3.85%(a)(b) 4,700,000
Tift County IDA IDR (Queen Carpet Corp. Project):
3,000,000 NR++ Series A 3.55%(a)(b) 3,000,000
1,500,000 NR++ Series B 3.50%(b) 1,500,000
1,350,000 NR++ Villa Rica Development Authority IDR (Lowes Home
Centers Inc. Project) 3.50%(b) 1,350,000
1,200,000 NR++ Winder-Barrow Industrial Building Authority IDR
(Southeastern Metal Inc. Project) 3.55%(a)(b) 1,200,000
- ---------------------------------------------------------------------------------------------------------
95,495,000
- ---------------------------------------------------------------------------------------------------------
Hawaii -- 0.6%
Hawaii State GO FGIC-Insured:
7,750,000 VMIG 1* Series A PART 3.55% due 6/16/97(c) 7,750,000
8,245,000 VMIG 1* Series B PART 3.55% due 6/16/97(c) 8,245,000
5,275,000 VMIG 1* Series CM PART 3.80% due 1/14/98(c) 5,275,000
5,500,000 VMIG 1* Hawaii State Department of Budget and Finance Special
Purpose Mortgage Revenue (Ewa Plain Water Development)
4.05% due 10/1/97(c) 5,501,581
</TABLE>
See Notes to Financial Statements
9
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Hawaii -- 0.6% (continued)
Hawaii State Housing Finance & Development Corporation
Revenue:
$ 3,200,000 VMIG 1* Affordable Rental Housing Program A 3.70%(b) $ 3,200,000
3,740,000 NR+ Single-Family Housing TOB 3.65%(a)(b) 3,740,000
- ---------------------------------------------------------------------------------------------------------
33,711,581
- ---------------------------------------------------------------------------------------------------------
Idaho -- 0.5%
22,700,000 A-1+ Cluster County PCR (Amoco Oil) 3.65% due 4/1/97(c) 22,700,000
4,500,000 NR++ Twin Falls IDR (Individual-Longview Fibre Co. Project)
3.65%(b) 4,500,000
- ---------------------------------------------------------------------------------------------------------
27,200,000
- ---------------------------------------------------------------------------------------------------------
Illinois -- 5.3%
10,800,000 A-1+ Bolingbrook Multi-Family Revenue Housing Redevelopment
(Amberton Apartments) 3.55%(a)(b) 10,800,000
15,660,000 A-1+ Central Lake Community Joint Action Water Agency Interim
Water Revenue PART FGIC-Insured Series SG-11 3.50%(b) 15,660,000
Chicago PART AMBAC-Insured:
13,280,000 A-1+ Series 1995 3.55%(b) 13,280,000
3,045,000 A-1+ Series 1996 3.65%(b) 3,045,000
20,000,000 A-1+ Chicago Tender Notes Series 1995 3.55% due 1/31/98 20,000,000
7,400,000 A-1+ Chicago Gas Supply Revenue (Peoples Gas Light & Coke Co.)
93B 3.70% due 12/1/97(a)(c) 7,400,000
Chicago O'Hare International Airport Revenue General Airport:
11,500,000 A-1+ 2nd Lien-A 3.55%(a)(b) 11,500,000
4,400,000 A-1+ 2nd Lien-B 3.55%(a)(b) 4,400,000
14,200,000 A-1+ Chicago O'Hare International Airport Revenue
Second Lien-B 3.55%(a)(b) 14,200,000
10,500,000 SP-1+ Chicago Park District Capital Improvement
4.70% due 9/30/97 10,540,386
8,235,000 A-1+ Cook County PART MBIA-Insured 3.55%(b) 8,235,000
4,700,000 NR+ Dupage Water Series 93 TOB 3.56%(b) 4,700,000
9,500,000 A-1+ Illinois Education (University Of Chicago) PART 3.56%(b) 9,500,000
14,200,000 A-1+ Eagle Tax-Exempt PART (Illinois GO) FGIC-Insured
3.50% due 1/1/98(c) 14,200,000
Illinois Development Finance Authority Economic
Development Revenue:
1,000,000 NR++ Molex Inc. Project 3.50%(b) 1,000,000
950,000 NR++ Series C 3.60%(b) 950,000
5,505,000 VMIG 1* Illinois Development Finance Authority IDR (Alcan-Toyo
America Project) 3.70%(a)(b) 5,505,000
Illinois Development Finance Authority PCR
(Illinois Power Co):
18,000,000 A-1 Con Ed Co. Project Series B AMBAC-Insured 3.50%(b) 18,000,000
2,700,000 A-1+ Series 1993B 3.50%(b) 2,700,000
14,600,000 A-1+ Series 1993C TECP 3.55% due 4/23/97 14,600,000
2,000,000 A-1+ Series 1994C 3.45%(b) 2,000,000
</TABLE>
See Notes to Financial Statements
10
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Illinois -- 5.3% (continued)
Illinois Development Finance Authority Revenue:
$ 3,000,000 A-1+ Harris Pavilion (Residential Rental) 3.55%(a)(b) $ 3,000,000
5,100,000 A-1+ Safety Education-Foundation 3.45%(b) 5,100,000
14,400,000 A-1+ Illinois HDA Residential Mortgage Revenue PART
AMBAC-Insured 3.65%(a)(b) 14,400,000
Illinois Health Facilities Authority Revenue:
1,300,000 A-1+ Alexian Bros TECP MBIA-Insured 3.40% due 4/24/97 1,300,000
6,900,000 A-1+ Decatur Memorial Hospital Project Series A
MBIA-Insured 3.50%(b) 6,900,000
2,000,000 VMIG 1* Gottlieb Health Resource Inc. 3.50%(b) 2,000,000
6,600,000 A-1+ Swedish Covenant Hospital Project AMBAC-Insured
3.50%(b) 6,600,000
12,500,000 VMIG 1* University of Chicago TECP 3.55% due 6/30/97 12,500,000
Illinois State GO:
1,500,000 NR+ 3.25% due 8/1/97 1,497,713
10,000,000 NR+ 5.25% due 10/1/97 10,098,185
3,255,000 A-1+ Illinois State Sales Tax Revenue PART FSA-Insured 3.50%(b) 3,255,000
2,940,000 VMIG 1* Illinois Student Assistance Community Student Loan
Revenue 3.50%(a)(b) 2,940,000
3,300,000 A-1+ Lockport IDR (Panduit Corp. Project) 3.55%(a)(b) 3,300,000
2,000,000 A-1+ Oswego IDR (Griffith Laboratories Project) 3.60%(a)(b) 2,000,000
4,000,000 NR++ Paris IDR (Simonton Building Products Inc.) 3.55%(a)(b) 4,000,000
15,735,000 A-1+ Regional Transportation Authority PART FGIC-Insured
3.50%(b) 15,735,000
3,000,000 VMIG 1* St. Charles County IDA Industrial Revenue 3.50%(b) 3,000,000
3,000,000 A-1+ University of Illinois Revenue PART FGIC-Insured 3.50%(b) 3,000,000
- ---------------------------------------------------------------------------------------------------------
292,841,284
- ---------------------------------------------------------------------------------------------------------
Iowa -- 0.4%
1,500,000 NR++ Cedar Rapids IDR Refunding (McKesson Corp. Project)
3.50%(b) 1,500,000
Iowa Housing Finance Authority:
3,000,000 P-1* IDR (Sauer-Sundstrand Co. Project) 3.60%(a)(b) 3,000,000
7,500,000 A-1+ Series A 3.30%(b) 7,500,000
10,000,000 SP-1+ Iowa School Corps Cerificates Series A 4.75% due 6/27/97 10,018,330
2,400,000 A-1 Louisa County PCR (Iowa-Illinois Gas & Electric Co. Project)
Series 1987 3.45%(b) 2,400,000
- ---------------------------------------------------------------------------------------------------------
24,418,330
- ---------------------------------------------------------------------------------------------------------
Indiana -- 1.3%
4,100,000 A-1+ Allen County Economic Development Revenue
(Mattel Project) 3.70%(a)(b) 4,100,000
1,785,000 NR++ Bluffton Economic Development Revenue (Snider Tire Inc.
Project) 3.55%(b) 1,785,000
4,300,000 P-1* Frankfort Indiana Economic Development Revenue (General
Seating of America Project) 4.00%(a)(b) 4,300,000
</TABLE>
See Notes to Financial Statements
11
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Indiana -- 1.3% (continued)
$20,000,000 SP-1+ Hammond LOC Public Improvement Bond Bank 4.20%
due 1/8/98 $ 20,074,374
10,000,000 A-1+ Indiana Development Finance Authority Solid Waste TECP
3.40% due 5/7/97(a) 10,000,000
Indiana Local Public Bond Bank:
6,200,000 SP-1 Series F 4.125% due 7/10/97 6,209,896
2,175,000 SP-1 Series H 4.125% due 7/10/97 2,178,471
11,000,000 SP-1 Indiana Secondary Market Educational Loans Inc. Education
Loan Revenue Series B AMBAC-Insured 3.50%(a)(b) 11,000,000
5,300,000 A-1+ Indiana State Development Finance Authority IDR (Red Gold
Inc. Project) AMBAC-Insured 3.50%(a)(b) 5,300,000
3,600,000 A-1+ Ossian Economic Development Revenue (Walbro Auto
Corporation Project) 3.65%(a)(b) 3,600,000
1,300,000 NR++ Plymouth IDR (Dean Foods Co. Project) 3.50%(b) 1,300,000
1,255,000 VMIG 1* Richmond Economic Development Revenue (Beverly
Enterprises Indiana) 3.50%(b) 1,255,000
- ---------------------------------------------------------------------------------------------------------
71,102,741
- ---------------------------------------------------------------------------------------------------------
Kansas -- 0.5%
3,400,000 NR++ Fredonia Revenue Exempt Facilities (Systech Enrvironmental)
3.75%(a)(b) 3,400,000
14,000,000 NR++ Sedwick County Airport Facility Revenue (Flight Safety
International Inc. Project) 3.55%(a)(b) 14,000,000
Wichita Airport Authority Airport Facilities Revenue
(Flight Safety International Project):
1,750,000 NR++ 3.50%(b) 1,750,000
6,170,000 NR++ 3.55%(a)(b) 6,170,000
1,000,000 AAA Wyandotte County Capital Improvement Corp Certificate
Participation (Criminal Justice Complex Project)
FGIC-Insured (Pre-Refunded -- Escrowed with
U.S. Government Securities to 9/1/97 Call @ 102)
7.875% due 9/1/07 1,031,000
- ---------------------------------------------------------------------------------------------------------
26,351,000
- ---------------------------------------------------------------------------------------------------------
Kentucky -- 0.9%
3,250,000 NR++ Calvert City PCR (BOC Group Inc. Project) 3.50%(b) 3,250,000
20,760,000 VMIG 1* Clipper Kentucky Tax-Exempt PART 3.56%(b) 20,760,000
Hancock County IDR:
21,685,000 NR++ Southwire Co. Project A 3.60%(b) 21,685,000
1,000,000 NR++ Southwire Co. Project B 3.60%(b) 1,000,000
1,516,000 A-1 Jefferson County IDR (Belknap Inc. Project) 3.55%(b) 1,516,000
- ---------------------------------------------------------------------------------------------------------
48,211,000
- ---------------------------------------------------------------------------------------------------------
Louisiana -- 1.7%
1,410,000 NR++ Kentwood IDR Refunding (Suntory Water Group Inc.)
3.50%(b) 1,410,000
</TABLE>
See Notes to Financial Statements
12
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Louisiana -- 1.7% (continued)
$10,600,000 A-1+ Lake Charles Harbor and Term District Revenue
(Port Improvement) 3.50%(b) $ 10,600,000
Louisiana Public Authority Hospital Revenue:
1,500,000 P-1* Houma-Psychiatric Hospital Inc. 3.50%(b) 1,500,000
21,500,000 A-1+ Our Lady Lake TECP FSA-Insured 3.30% due 5/20/97 21,500,000
4,200,000 NR++ Louisiana Public Facility Authority (Home Depot USA Inc.
Project) 3.55%(a)(b) 4,200,000
7,025,000 VMIG 1* Louisiana State GO Series 29A PART MBIA-Insured
3.55%(b) 7,025,000
10,000,000 NR++ Natchitoches Parish Revenue Refunding (Trust Joist Corp.
Project) 3.65%(b) 10,000,000
9,600,000 A-1 New Orleans Aviation Board Revenue Passenger Facility
Charge 3.65%(a)(b) 9,600,000
5,000,000 NR++ Ouachita Parish IDB IDR (Sulzer Escher Wyss Project)
3.55%(a)(b) 5,000,000
20,000,000 A-1 St. James Parish PCR (Texaco Project) Series A TECP
3.50% due 4/23/97 20,000,455
1,000,000 NR++ Vermillion Parish IDR (Garan Inc. Project) 3.55%(a)(b) 1,000,000
- ---------------------------------------------------------------------------------------------------------
91,835,455
- ---------------------------------------------------------------------------------------------------------
Maine -- 0.5%
1,935,000 A-1+ Maine Finance Authority Economic Development Revenue
Series A,B,C, & E 3.75%(a)(b) 1,935,000
14,500,000 SP-1+ Maine State TAN 4.50% due 6/27/97 14,520,973
9,500,000 A-1 Westbrook Revenue (Southern Container Corp. Project)
3.65%(a)(b) 9,500,000
- ---------------------------------------------------------------------------------------------------------
25,955,973
- ---------------------------------------------------------------------------------------------------------
Maryland -- 3.9%
3,800,000 A-1+ Anne Arundel County Economic (Baltimore Gas & Electric
Co. Project) TECP 3.55% due 5/23/97 3,800,000
4,000,000 A-1+ Baltimore County Economic Development Revenue
(Art Litho Co. Project) 3.55%(a)(b) 4,000,000
18,700,000 NR++ Eagle Tax-Exempt PART (Northeast Maryland Waste
Disposal) MBIA-Insured 3.75% due 4/1/97 18,700,000
Maryland State Community Development Administration
Department Housing & Community Development:
16,175,000 VMIG 1* First Series 3.90%due 9/1/97(c) 16,175,818
4,865,000 NR+ PART 3.65%(a)(b) 4,865,000
9,285,000 VMIG 1* Second Series 4.00% due 9/1/97(c) 9,285,427
9,100,000 NR++ Series B 3.70%(a)(b) 9,100,000
Maryland State Health & Higher Educational Facilities
Authority Revenue:
15,000,000 VMIG 1* Peninsula General Hospital 3.50%(b) 15,000,000
10,000,000 VMIG 1* Pooled Loan Program Series B 3.45%(b) 10,000,000
</TABLE>
See Notes to Financial Statements
13
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Maryland -- 3.9% (continued)
$ 4,750,000 A-1+ Maryland State IDA Economic Development Revenue
(General Binding Corp. Project) 3.65%(a)(b) $ 4,750,000
Montgomery County Economic Development Revenue
(Howard Hughes Medical Center):
10,500,000 A-1+ Series A 3.45%(b) 10,500,000
25,500,000 A-1+ Series B 3.45%(b) 25,500,000
25,500,000 A-1+ Series C 3.45%(b) 25,500,000
27,500,000 A-1+ Montgomery County Housing Opportunity Community
Housing Revenue (Draper Land Apartments)
Issue I FGIC-Insured 3.55%(b) 27,500,000
19,700,000 A-1+ Montgomery County BAN TECP 3.30% due 5/8/97 19,700,000
8,300,000 A-1+ Washington County Economic Development Revenue
(Purina Mills Inc. Project) 3.60%(a)(b) 8,300,000
- ---------------------------------------------------------------------------------------------------------
212,676,245
- ---------------------------------------------------------------------------------------------------------
Massachusetts -- 4.2%
10,395,000 VMIG 1* Clipper Massachusetts Tax-Exempt Trust PART
3.66%(a)(b) 10,395,000
Massachusetts Bay Transportation Authority:
45,000,000 SP-1+ Series A 4.25% due 2/27/98 45,245,260
10,000,000 SP-1+ Series B 4.75% due 9/5/97 10,032,877
8,000,000 SP-1+ TECP 3.20% due 4/28/97 8,000,000
TECP Series C:
14,500,000 SP-1+ 3.40% due 4/17/97 14,500,000
10,500,000 SP-1+ 3.40% due 4/22/97 10,500,000
13,500,000 SP-1+ 3.40% due 4/24/97 13,500,000
9,700,000 SP-1+ 3.50% due 5/27/97 9,700,000
4,000,000 SP-1+ 3.45% due 5/28/97 4,000,000
5,200,000 SP-1+ 3.50% due 5/28/97 5,200,000
5,000,000 SP-1+ 3.45% due 5/30/97 5,000,000
6,100,000 SP-1+ 3.50% due 5/30/97 6,100,000
5,500,000 A-1 Massachusetts Finance Agency New England Power
TECP 3.55% due 5/29/97 5,500,000
13,000,000 A-1+ Massachusetts Municipal Wholesale Electric Co. Power
Supply System Revenue Series C 3.30%(b) 13,000,000
24,000,000 SP-1+ Massachusetts State GO Series A 4.25% due 6/10/97 24,017,723
17,100,000 VMIG 1* Massachusetts State Health & Educational Facilities
Authority Revenue 3.40%(b) 17,100,000
3,160,000 NR++ Massachusetts State Industrial Finance Industrial Revenue
(Catamount Manufacturing Inc.) 3.60%(a)(b) 3,160,000
21,100,000 A-1+ Massachusetts Water Resource Authority
TECP 3.40% due 5/21/97 21,100,000
5,000,000 NR+ Springfield Mass BAN 4.10% due 11/21/97 5,012,348
- ---------------------------------------------------------------------------------------------------------
231,063,208
- ---------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
14
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Michigan -- 4.1%
$ 3,500,000 NR++ Berrien County Limited Obligation Revenue
(Menasha Corp. Project) 3.50%(b) $ 3,500,000
10,000,000 SP-1+ Michigan City School District (State School Aid Notes)
4.50% due 5/1/97 10,004,378
18,850,000 A-1+ Detroit Sewer Disposable Revenue PART FGIC-Insured
3.55%(b) 18,850,000
18,000,000 A-1+ Michigan State Building Authority Series 1
TECP 3.50% due 5/1/97 18,000,000
71,000,000 SP-1+ Michigan State GO Notes 4.50% due 9/30/97 71,358,348
Michigan State HDA:
3,000,000 A-1+ Series 1988A TECP 3.55% due 5/29/97(a) 3,000,000
5,000,000 VMIG 1* Series A Multi-Family Revenue TECP 3.55%
due 5/27/97(a) 5,000,000
3,300,000 A-1+ Series C Revenue 3.45%(b) 3,300,000
4,000,000 VMIG 1* Series 2010 Rental Housing Revenue PART FSA-Insured
3.65%(a)(b) 4,000,000
5,500,000 VMIG 1* Woodland Meadows Project Revenue 3.55%(a)(b) 5,500,000
10,000,000 SP-1+ Michigan State Muni Board Authority Revenue
Series B 4.50% due 7/25/97 10,016,667
14,180,000 NR+ Michigan State Housing Development Authority
TOB 3.60%(b) 14,180,000
Michigan Strategic Fund:
28,440,000 VMIG 1* PCR (General Motors Corp. Project) 3.40%(b) 28,440,000
2,500,000 P-1* PCR Refunding (Consumers Power Project) 3.65%(b) 2,500,000
3,000,000 VMIG 1* PCR Refunding (General Motors Corp. Project) 3.55%(b) 3,000,000
15,700,000 P-1* Solid Waste Disposal Revenue (Grayling Generating
Project) 3.50%(a)(b) 15,700,000
6,800,000 VMIG 1* University of Michigan Yamaha Music 4.00%(a)(b) 6,800,000
- ---------------------------------------------------------------------------------------------------------
223,149,393
- ---------------------------------------------------------------------------------------------------------
Minnesota -- 3.4%
Becker PCR (Nothern State Power Co.):
6,000,000 A-1+ Series A TECP 3.40% due 5/8/97 6,000,000
5,000,000 A-1+ TECP 3.45% due 08/06/97 5,000,000
3,900,000 A-1 Bloomington Multi-Family Revenue Refunding
(Rental Housing Crow/Bloomington) 3.30%(b) 3,900,000
52,485,000 A-1+ Capital Realty Investments Tax-Exempt PART 3.65%(b) 52,485,000
3,900,000 A-1+ City Of Becker TECP 3.40% due 4/17/97 3,900,000
24,000,000 A-1+ Eagle Tax-Exempt Minnesota GO PART 3.50% due 5/1/97(c) 24,000,000
2,400,000 A-2 Golden Valley IDR (Unicare Homes Project) 3.75%(b) 2,400,000
1,000,000 A-1+ Hubbard County Solid Waste Disposal Revenue (Potlatch
Corp. Project) 3.55%(a)(b) 1,000,000
13,210,000 A-1+ Minneapolis GO Series B 3.46%(b) 13,210,000
9,900,000 A-1+ Minneapolis St. Paul Housing Finance
Multi-Family Revenue 3.65%(a)(b) 9,900,000
</TABLE>
See Notes to Financial Statements
15
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Minnesota -- 3.4% (continued)
Minnesota GO:
$ 7,565,000 NR+ PART 3.70% due 10/30/97(c) $ 7,565,000
3,000,000 AAA Pre-Refunded--Escrowed with U.S. Government
Securities to 8/1/97 Call @ 102, 7.10% due 8/1/00 3,034,811
20,945,000 AAA Series A Revenue AMBAC-Insured 5.00% due 6/30/97 21,037,098
1,690,000 NR++ Moorehead IDR Refunding (Super Value Store Project)
3.45%(b) 1,690,000
Rochester Health Care Facility (Mayo Foundation Project):
10,000,000 A-1+ Series A 3.65%(b) 10,000,000
17,600,000 A-1+ Series C 3.65%(b) 17,600,000
1,400,000 A-1+ Saint Paul Housing & Redevelopment Authority Revenue
(Housing Development Minnesota Multi-City) 3.50%(b) 1,400,000
- ---------------------------------------------------------------------------------------------------------
184,121,909
- ---------------------------------------------------------------------------------------------------------
Mississippi -- 0.3%
2,880,000 NR++ Jackson IDR Refunding (McKesson Corp. Project) 3.50%(b) 2,880,000
5,000,000 A-1+ Mississippi Business Financial Corp. Solid Waste Disposal
Revenue 3.60%(b) 5,000,000
5,350,000 NR++ Newton IDR Refunding (La-Z-Boy Chair Co. Project)
3.50%(b) 5,350,000
1,500,000 NR++ Washington County IDR (La-Z-Boy Chair Co. Project)
3.55%(a)(b) 1,500,000
- ---------------------------------------------------------------------------------------------------------
14,730,000
- ---------------------------------------------------------------------------------------------------------
Missouri -- 2.1%
4,500,000 P-1* Carthage IDA Revenue (Schreiber Foods Inc. Project)
4.00%(a)(b) 4,500,000
5,295,000 A-1+ Kansas City IDA Multi-Family Housing Revenue
(Willow Creek IV Apartments) 3.45%(b) 5,295,000
13,000,000 A-1+ Maries County IDA Solid Waste Management Revenue
Kingford Plaza 3.65%(a)(b) 13,000,000
Missouri Higher Education Loan Authority
Student Loan Revenue:
23,300,000 VMIG 1* Series 88A 3.50%(a)(b) 23,300,000
14,300,000 VMIG 1* Series 90A 3.50%(a)(b) 14,300,000
1,250,000 VMIG 1* Series 90B 3.50%(a)(b) 1,250,000
1,790,000 VMIG 1* Missouri State Economic Development Export &
Infrastructure Board IDA Series E 3.55%(b) 1,790,000
4,000,000 A-1+ Missouri State Environmental Improvement and Energy
Authority (Utilicorp United Inc. Project) 3.65%(a)(b) 4,000,000
Missouri State Health & Educational Facilities
Authority Revenue:
9,900,000 A-1+ SSM Health Care Projects MBIA-Insured
Series C 3.50%(b) 9,900,000
8,100,000 A-1+ St. Anthonys Medical Center Series B 3.45%(b) 8,100,000
</TABLE>
See Notes to Financial Statements
16
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Missouri -- 2.1% (continued)
$ 3,100,000 A-1+ St. Charles County IDA Revenue Refunding
(Casalon Apartment Project) 3.45%(b) $ 3,100,000
20,000,000 SP-1+ University of Missouri Series FY 1996-1997
4.75% due 6/30/97 20,040,302
4,000,000 NR++ Versailles IDA IDR Refunding (Gates Rubber Co. Project)
3.525%(b) 4,000,000
- ---------------------------------------------------------------------------------------------------------
112,575,302
- ---------------------------------------------------------------------------------------------------------
Montana --- 0.1%
1,400,000 NR++ Missoula IDR (Washington Corp. Project) 3.50%(b) 1,400,000
3,925,000 A-1+ Montana Board of Investment (Colstrip 89) 4.53%(b) 3,925,000
- ---------------------------------------------------------------------------------------------------------
5,325,000
- ---------------------------------------------------------------------------------------------------------
Nebraska --1.2%
2,900,000 VMIG 1* Buffalo County IDR (Agrex Inc. Project) 3.95%(b) 2,900,000
Nebraska Higher Education Loan Program Income Revenue
Student Loan Program:
19,850,000 A-1+ Series A 3.55%(a)(b) 19,850,000
22,280,000 A-1+ Series D 3.55%(a)(b) 22,280,000
19,725,000 A-1+ Series 2016C 3.55%(a)(b) 19,725,000
3,500,000 A-1+ Series 2018C 3.55%(b) 3,500,000
- ---------------------------------------------------------------------------------------------------------
68,255,000
- ---------------------------------------------------------------------------------------------------------
Nevada -- 1.0%
9,790,000 A-1+ Clark County Airport Improvement Revenue Lien Series
A-2 3.55%(a)(b) 9,790,000
Clark County IDR:
2,100,000 VMIG 1* Nevada Cogeneration I Project 3.55%(a)(b) 2,100,000
29,000,000 A-1+ Nevada Power Co. Project Series B 3.55%(a)(b) 29,000,000
11,450,000 A-1+ Clark County School District PART FGIC-Insured 3.50%(a)(b) 11,450,000
- ---------------------------------------------------------------------------------------------------------
52,340,000
- ---------------------------------------------------------------------------------------------------------
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 3.45%(b) 4,200,000
New Hampshire State Business Finance Authority
PCR Refunding Public Service Co:
27,000,000 A-1+ Series 92D 3.55%(a)(b) 27,000,000
2,100,000 A-1+ Series 93E 3.55%(a)(b) 2,100,000
3,000,000 A-1 New Hampshire State Finance Authority PCR (New England
Power Co.) TECP 3.40% due 4/30/97 3,000,000
2,000,000 A-1+ New Hampshire State IDA Revenue Pollution Control
(Conneticut Light & Power Co.) 3.50%(a)(b) 2,000,000
</TABLE>
See Notes to Financial Statements
17
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
New Hampshire -- 1.2% (continued)
$10,000,000 A-1+ New Hampshire State IDA Solid Waste Disposal
Facility Revenue (United Illuminating Co. Project)
Series A 3.55% due 9/2/97(a)(c) $ 10,000,000
21,500,000 A-1 New Hampshire State PCR Project 90 Series B
TECP 3.50% due 5/14/97 21,500,000
- ---------------------------------------------------------------------------------------------------------
69,800,000
- ---------------------------------------------------------------------------------------------------------
New Jersey -- 1.0%
9,205,000 A-1+ New Jersey State Housing & Mortgage Finance
Agency Revenue PART AMBAC-Insured 3.40%(a)(b) 9,205,000
New Jersey TRAN TECP:
8,000,000 A-1+ 3.35% due 4/22/97 8,000,000
9,000,000 A-1+ 3.50% due 5/9/97 9,000,000
8,700,000 A-1+ 3.45% due 5/28/97 8,700,000
10,500,000 A-1+ 3.50% due 5/29/97 10,500,000
North Bergen Notes:
7,300,000 NR+ 4.375% due 4/25/97 7,301,728
3,200,000 NR+ 4.50% due 4/25/97 3,201,016
- ---------------------------------------------------------------------------------------------------------
55,907,744
- ---------------------------------------------------------------------------------------------------------
New Mexico -- 0.3%
4,900,000 NR++ Bellen IDR (Solo New Mexico Project) 3.55%(a)(b) 4,900,000
3,400,000 A-1+ Eagle Tax-Exempt PART (New Mexico Mortgage
Finance) FGIC-Insured 3.85% due 4/1/97(c) 3,400,000
4,725,000 NR+ New Mexico Mortgage Finance Authority Series 1995
PART 3.65%(a)(b) 4,725,000
3,000,000 NR+ Santa Fe Single-Family Mortgage Revenue Series 1995
3.70% due 11/1/97 3,000,000
- ---------------------------------------------------------------------------------------------------------
16,025,000
- ---------------------------------------------------------------------------------------------------------
New York -- 8.0%
10,300,000 NR+ Board Coop Educational Services Sole Supervisory District
RAN 4.25% due 6/26/97 10,303,483
Eagle Tax-Exempt PART:
2,000,000 A-1+ NYC Enviornment CGIC-Insured 3.56%(b) 2,000,000
3,100,000 A-1+ NYC Muni Water MBIA-Insured 3.56%(b) 3,100,000
6,100,000 A-1+ NYC Muni Water MBIA-Insured 3.56%(b) 6,100,000
2,000,000 A-1+ NYS Med Care AMBAC-Insured 3.56%(b) 2,000,000
20,450,000 NR+ Monroe County GO BANS Series B 4.00% due 12/12/97 20,519,006
15,000,000 SP-1+ Nassau County RAN Series B 4.25% due 4/15/97 15,002,915
30,000,000 SP-1+ Nassau County BAN Series A 4.25% due 8/15/97 30,073,224
</TABLE>
See Notes to Financial Statements
18
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
New York -- 8.0% (continued)
NYC GO:
$ 4,000,000 A-1+ PART Series AMBAC-Insured 3.50%(b) $ 4,000,000
2,500,000 A-1+ PART Series MBIA-Insured 3.50%(b) 2,500,000
4,500,000 A-1+ Series D FGIC-Insured 3.55%(b) 4,500,000
300,000 A-1+ Series F-2 3.45%(b) 300,000
4,200,000 A-1+ Series F-4 3.45%(b) 4,200,000
9,600,000 A-1+ Series F-5 3.40%(b) 9,600,000
4,100,000 A-1+ Series F-7 3.45%(b) 4,100,000
2,200,000 A-1+ Sub-Series B3 3.70%(b) 2,200,000
1,100,000 VMIG 1* Sub-Series B5 MBIA-Insured 3.45%(b) 1,100,000
4,700,000 A-1+ Sub-Series E2 3.70%(b) 4,700,000
4,100,000 A-1+ Sub-Series E4 3.70%(b) 4,100,000
9,000,000 A-1+ Sub-Series J2 TECP 3.45%due 8/8/97 9,000,000
9,685,000 A-1+ NYC Muni Water Finance Authority Water & Sewer
System Revenue Series 12 PART MBIA-Insured 3.45%(b) 9,685,000
NYC RAN:
51,000,000 SP-1+ Series A 4.50% due 4/15/97 51,015,355
37,000,000 SP-1+ Series B 4.50% due 6/30/97 37,062,285
8,625,000 A-1+ New York State Dormitory Authority Revenue
Colgate University Series PART FGIC-Insured 3.45%(b) 8,625,000
8,000,000 A-1 New York State Energy Research & Development Authority
Revenue (Brooklyn Union Gas Project) Series A-3
MBIA-Insured 3.20%(b) 8,000,000
New York State Energy Research & Development Authority
PCR (New York Electric & Gas) Refunding:
5,450,000 A-1+ Series B 3.20% (b) 5,450,000
2,000,000 A-1+ Series C 3.50 (b) 2,000,000
New York State Local Assistance Corp:
28,600,000 A-1+ Series C 3.40%(b) 28,600,000
2,300,000 A-1+ Series D 3.40%(b) 2,300,000
New York State Medical Care Facilities Finance Agency
Revenue:
8,140,000 VMIG 1* PART FHA-Insured 3.55%(b) 8,140,000
10,098,000 NR++ Series B PART FSA-Insured 3.60% due 4/7/97 10,098,000
12,125,000 VMIG 1* St. Lukes Hospital PART FHA-Insured 3.55%(b) 12,125,000
New York State Mortgage Agency Revenue:
1,705,000 VMIG 1* PART 2019 3.60%(a)(b) 1,705,000
3,000,000 VMIG 1* PART 2025 3.60%(a)(b) 3,000,000
5,000,000 A-1+ New York State Power Authority Revenue & General
Purpose PART 3.50%(b) 5,000,000
Port Authority of NY & NJ Special Obligation Revenue
(Versatile Structure Obligation):
8,800,000 A-1+ Series 2 3.65%(b) 8,800,000
5,100,000 A-1+ Series 5 3.75%(b) 5,100,000
9,347,000 NR+ Rochester BAN Series III 4.50% due 10/30/97 9,383,964
</TABLE>
See Notes to Financial Statements
19
<PAGE>
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Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
New York -- 8.0% (continued)
$ 3,000,000 NR++ Rochester GO PART AMBAC-Insured 3.55%(b) $ 3,000,000
11,826,000 NR+ Rockland County BAN 4.00% due 8/7/97 11,848,284
48,000,000 SP-1+ Suffolk County TAN Series I 4.00% due 8/14/97 48,127,251
5,049,000 VMIG 1* Triborough Bridge & Tunnel Authority Revenue PART
FGIC-Insured 3.50%(b) 5,049,000
13,900,000 A-1+ Triborough Bridge & Tunnel Authority Special Obligation
FGIC-Insured 3.45%(b) 13,900,000
- ---------------------------------------------------------------------------------------------------------
437,412,767
- ---------------------------------------------------------------------------------------------------------
North Carolina -- 1.7%
6,000,000 NR++ Alamance County Industrial Facilities & PCR Financing
Authority (Culp Inc. Project) 3.50%(a)(b) 6,000,000
32,800,000 MIG 1* Bladen County Industrial Facilities & PCFA Resource
Recovery Revenue (Beach Energy Project) 3.70%(a)(b) 32,800,000
3,500,000 NR++ Iredell County Industrial Facilities & PCFA Industrial
(Valspar Corp. Project) 3.50%(a)(b) 3,500,000
24,400,000 A-1 Lenoir County PCFA Resource Recovery (Carolina Project)
3.70%(a)(b) 24,400,000
North Carolina Municipal Power Agency Authority
(Catawba Project) TECP:
6,500,000 A-1+ 2.90% due 4/1/97 6,500,000
18,810,000 A-1+ 3.55% due 5/2/97 18,810,000
3,000,000 A-1+ 3.40% due 5/9/97 3,000,000
2,810,000 A-1+ 3.50% due 5/14/97 2,810,000
- ---------------------------------------------------------------------------------------------------------
97,820,000
- ---------------------------------------------------------------------------------------------------------
Ohio -- 1.2%
14,000,000 A-1+ Ohio Water District PART AMBAC-Insured
3.56%(b) 14,000,000
1,800,000 A-1+ Fulton County IDR (Poly Craft Inc.) 3.52%(a)(b) 1,800,000
1,000,000 VMIG 1* Hillboro IDR (Trade Manufacturing Co. Ltd.) 3.90%(b) 1,000,000
15,000,000 A-1+ Lake County Hospital Facilities Revenue (Lake Hospital
Systems Inc.) 3.50%(b) 15,000,000
2,000,000 NR++ Oakwood Village IDR (Sennet Steel Corp. Project)
3.52%(b) 2,000,000
4,000,000 A-1+ Ohio State Air Quality Development Authority Revenue
(JMG FDG Limited Partnership) Series A 3.50%(a)(b) 4,000,000
Ohio State PCR (Duquesne Light Co) TECP:
3,000,000 A-1+ 3.45% due 8/1/97(a) 3,000,000
5,000,000 A-1+ 3.50% due 8/1/97(a) 5,000,000
4,300,000 NR+ Ohio State PCR (General Motor Co.) 3.55%(b) 4,300,000
2,800,000 A-1+ Paulding County Solid Waste Disposal Revenue
(Lafarge Corp. Project) 3.70%(a)(b) 2,800,000
5,500,000 A-1+ Ohio State Water Development (Duquesne Light Co.)
3.50%(a)(b) 5,500,000
</TABLE>
See Notes to Financial Statements
20
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Ohio -- 1.2% (continued)
$10,500,000 MIG 1* Summit County BAN Series B 4.00% due 6/5/97 $ 10,506,301
- ---------------------------------------------------------------------------------------------------------
68,906,301
- ---------------------------------------------------------------------------------------------------------
Oklahoma -- 0.5%
1,145,000 NR++ Adair County IDR (Baldor Elecetric Co.) 3.50%(b) 1,145,000
7,030,000 VMIG 1* Broken Arrow Economic Development Authority
(Paragon Films Inc. Project) 3.77%(a)(b) 7,030,000
4,500,000 NR++ Creek County Industrial Authority Revenue Industrial
Development (Henry Vogt Machinery) 3.60%(a)(b) 4,500,000
8,980,000 A-1+ Oklahoma State Student Loan Authority Revenue
Series A MBIA-Insured 3.55%(a)(b) 8,980,000
3,900,000 VMIG 1* St. Anthonys Hospital Health Care TECP 3.50% due 5/22/97 3,900,000
- ---------------------------------------------------------------------------------------------------------
25,555,000
- ---------------------------------------------------------------------------------------------------------
Oregon -- 0.8%
11,085,000 A-1+ Oregon State GO Series 73F 3.40%(b) 11,085,000
1,300,000 NR++ Oregon State Economic Development Commission
Economic & IDR (Trust Joist) 3.50%(b) 1,300,000
2,400,000 A-1 Oregon State Economic Development Revenue
(Kydtaru Oregon Project) 3.77%(a)(b) 2,400,000
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(c) 1,500,000
2,700,000 VMIG 1* Series G 4.10%due 8/8/97(c) 2,700,000
Port St Helen's PCR (Portland General Electric):
6,850,000 A-1 Series A 3.45%(b) 6,850,000
16,900,000 P-1* Washington County Multi-Family Housing Authority
(Cedar Mill Project) 3.60%(a)(b) 16,900,000
- ---------------------------------------------------------------------------------------------------------
42,735,000
- ---------------------------------------------------------------------------------------------------------
Pennsylvania -- 4.9%
5,200,000 A-1 Allegheny County Hospital Development Authority Revenue
Health Center Dev Inc. Series B TECP 3.50% due 6/10/97 5,200,000
5,800,000 VMIG 1* Allegheny County IDA IDR (Residential Rental Development)
Series A 3.80%(a)(b) 5,800,000
Beaver County PCR IDA (Duquesne Light Co.) TECP:
4,500,000 A-1+ 3.35% due 4/28/97 4,500,000
9,330,000 A-1+ 3.40% due 5/7/97 9,330,000
5,000,000 A-1+ 3.55% due 5/27/97 5,000,000
6,000,000 NR++ Berks County TRAN 4.375% due 12/31/97 6,031,699
12,400,000 A-1+ Cambria County IDA Resource Recovery Revenue
(Cambria Cogen Project) Series V-2 3.55%(a)(b) 12,400,000
Carbon County IDA Resource Recovery
(Panther Creek) TECP:
3,000,000 A-1+ 3.45% due 8/7/97 3,000,000
5,975,000 A-1+ 3.50% due 8/7/97 5,975,000
</TABLE>
See Notes to Financial Statements
21
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Pennsylvania -- 4.9% (continued)
$11,300,000 A-1+ City of Philadelphia Gas Works Series B TECP 3.40%
due 6/12/97 $ 11,300,000
2,800,000 NR++ Dauphin County Redevelopment Authority Multi-Family
Revenue (High Pointe Club) 3.55%(a)(b) 2,800,000
Delaware County IDR (Philadelphia Electric Co.)
FGIC-Insured TECP:
2,500,000 A-1+ 3.35% due 4/22/97 2,500,000
21,000,000 A-1+ 3.45% due 4/30/97 21,000,000
14,200,000 A-1+ 3.45% due 5/14/97 14,200,000
Eagle Tax-Exempt PART AMBAC-Insured Beaver County:
19,000,000 A-1 Series 95A 3.56%(b) 19,000,000
19,000,000 A-1 Series 95B 3.56%(b) 19,000,000
3,900,000 NR++ East Pennsylvania Industrial & Commercial Development
Authority (Electronic Data Systems Corp.) 3.50%(a)(b) 3,900,000
2,500,000 NR++ Luzerne County IDA IDR (Culp Inc. Project) 3.55%(a)(b) 2,500,000
2,500,000 A-1+ Pennsylvania State COP PART AMBAC-Insured 3.65%(b) 2,500,000
Pennsylvania State Higher Education Assistance Agency
Student Loan Revenue:
3,200,000 A-1+ Series B 3.50%(a)(b) 3,200,000
10,000,000 A-1+ Series C 3.50%(a)(b) 10,000,000
1,100,000 SP-1+ Pennsylvania State TAN 4.50% due 6/30/97 1,102,603
2,200,000 A-1 Pennsylvania Commonwealth GO BAN Series 97A TECP
3.40% due 5/8/97 2,200,000
3,600,000 A-1 Pennsylvania State Higher Educational Facilities Authority
Health Services Revenue (Allegheny Delaware VY-D)
3.45%(b) 3,600,000
1,150,000 AAA Pennsylvania State Turnpike Commonwealth Turnpike
Revenue Series J FGIC-Insured (Escrowed to Maturity
with U.S. Government Securities) 6.00% due 12/01/97 1,167,975
29,000,000 SP-1 Philadelphia TRAN Series A 4.50% due 6/30/97 29,039,238
13,000,000 SP-1 Philadelphia School District TRAN 4.50% due 6/30/97 13,018,011
17,900,000 VMIG 1* Quakertown Hospital Program Series 1985A 3.50%(b) 17,900,000
18,700,000 P-1* Quakertown General Authority Revenue (Pooled
Financing Program) Series A FGIC-Insured 3.50%(b) 18,700,000
10,235,000 A-1+ Southeastern Transportation Authority Special
Revenue PART FGIC-Insured 3.50%(b) 10,235,000
- ---------------------------------------------------------------------------------------------------------
266,099,526
- ---------------------------------------------------------------------------------------------------------
Rhode Island -- 0.8%
Cranston GO BAN:
4,258,000 NR+ 4.125% due 7/8/97 4,263,359
9,000,000 NR+ 4.125% due 7/31/97 9,010,991
17,042,000 NR+ 4.25% due 10/1/97 17,079,471
3,900,000 A-1+ Providence (Washington Street Garage Corp.
Project) 3.50%(a)(b) 3,900,000
</TABLE>
See Notes to Financial Statements
22
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Rhode Island -- 0.8% (continued)
$ 6,925,000 A-1+ Rhode Island Port Authority & Economic Development
Corp. Electric Energy Facilities Revenue
(Newport Electric Corp. Project) 3.45%(b) $ 6,925,000
- ---------------------------------------------------------------------------------------------------------
41,178,821
- ---------------------------------------------------------------------------------------------------------
South Carolina -- 1.5%
Anderson County Industrial Revenue:
6,580,000 NR++ Culp Inc. Project 3.55%(a)(b) 6,580,000
2,400,000 NR++ Fed Paper Board Co. Inc. Project 3.55%(a)(b) 2,400,000
4,000,000 NR++ Mikron Corp Anderson Project 3.55%(a)(b) 4,000,000
2,252,000 NR++ Chesterfield County IDR (Culp Inc. Project) 3.55%(a)(b) 2,252,000
1,700,000 P-1* Horry County Revenue (Carolina Treatment) 3.50%(b) 1,700,000
31,000,000 A-1+ Piedmont Muni Power Agency Electric Revenue
Refunding Series C MBIA-Insured 3.35%(b) 31,000,000
South Carolina Jobs Economic Development
Authority Revenue:
4,200,000 NR++ Conco Medical Products Project 3.70%(a)(b) 4,200,000
4,500,000 NR++ Galey & Lord Industries Inc. Project 3.50%(a)(b) 4,500,000
2,000,000 NR++ Greenville Machinery Project 3.55%(a)(b) 2,000,000
6,000,000 NR++ Orders Realty Co. Inc. Project 3.55%(a)(b) 6,000,000
York County PCR Refunding (Duke Power Co. Project) TECP:
15,550,000 A-1+ 3.40% due 4/23/97 15,550,000
3,000,000 A-1+ 3.40% due 4/24/97 3,000,000
- ---------------------------------------------------------------------------------------------------------
83,182,000
- ---------------------------------------------------------------------------------------------------------
South Dakota -- 0.3%
15,445,000 VMIG 1* South Dakota HDA Series F 3.75% due 11/13/97 15,445,000
- ---------------------------------------------------------------------------------------------------------
Tennessee-- 2.5%
Anderson County Tennessee IDB Revenue:
4,000,000 P-1* Becromal of America Inc. Project 3.95%(a)(b) 4,000,000
900,000 P-1* Becrowal of America Inc. Project 3.95%(a)(b) 900,000
9,100,000 A-1 Clarksville Public Building Authority Revenue
(Pooled Financing Tennessee Muni Board Fund) 3.50%(b) 9,100,000
2,000,000 NR++ Convington IDB Revenue Refunding (Wallace Computer
Services) 3.55%(a)(b) 2,000,000
10,100,000 NR++ Eagle Tax-Exempt PART (Tennessee Housing Development
Authority) FSA-Insured 3.85% due 4/1/97 10,100,000
5,000,000 VMIG 1* Knox County Health & Education (Mercy Health Systems)
Series A 3.45%(b) 5,000,000
8,100,000 NR++ Loudon IDB PCR (AE Stanley Manufacturing) 3.50%(b) 8,100,000
4,665,000 NR+ Memphis Electric System Revenue PART 3.60%(b) 4,665,000
12,400,000 VMIG 1* Metro Government Nashville & Davidson County IDB
Revenue Multi-Family Housing (Arbor Knoll) 3.50%(b) 12,400,000
25,200,000 A-1+ Metropolitan Nashville Airport Refunding FGIC-Insured
Series 1995 3.45%(b) 25,200,000
</TABLE>
See Notes to Financial Statements
23
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Tennessee -- 2.5% (continued)
$ 2,600,000 NR++ Roane County IDB IDR (Great Lakes Carbon Corp.) 3.60%(b) $ 2,600,000
1,500,000 SP-1+ Tennessee State Local Development Authority Revenue
4.00% due 5/29/97 1,500,299
Volunteer State Student Funding Corp. Tennessee Student
Loan Revenue:
2,000,000 A-1 Series A 3.60%(a)(b) 2,000,000
25,100,000 A-1 Series A-2 3.60%(a)(b) 25,100,000
26,000,000 A-1 Series A-3 3.60%(a)(b) 26,000,000
- ---------------------------------------------------------------------------------------------------------
138,665,299
- ---------------------------------------------------------------------------------------------------------
Texas -- 9.7%
13,500,000 VMIG 1* Amarillo HFA Revenue 3.65%(b) 13,500,000
Austin Independent School District PART:
4,750,000 VMIG 1* Series 2011 3.55%(b) 4,750,000
4,750,000 VMIG 1* Series 2012 3.55%(b) 4,750,000
12,745,000 VMIG 1* Series 2013 3.55%(b) 12,745,000
19,340,000 A-1+ Austin Utility System Revenue PART MBIA-Insured 3.50%(b) 19,340,000
14,720,000 A-1+ Austin Utility System TECP Series A 3.45% due 5/19/97 14,720,000
Brazos River Authority PCR (Texas Utilities Electric Co.):
3,045,000 A-1 Series C MBIA-Insured 3.75%(b) 3,045,000
3,500,000 A-1+ 3.65% due 5/1/97(a)(c) 3,500,000
2,500,000 A-1+ TECP 3.40% due 5/9/97(a) 2,500,000
14,600,000 A-1+ TECP 3.45% due 5/9/97(a) 14,600,000
Corpus Christi Texas IDA IDR (Dedietrich USA Inc. Project):
3,000,000 P-1* #129AX 3.60% (a)(b) 3,000,000
2,000,000 P-1* #129BX 3.60% (a)(b) 2,000,000
Dallas Area Rapid Transit TECP Series A:
5,000,000 A-1+ 3.45% due 5/13/97 5,000,000
5,000,000 A-1+ 3.55% due 5/14/97 5,000,000
1,875,000 NR+ Dallas Housing Financial Corp, Series A TOB
3.85% due 4/1/97(a)(c) 1,875,000
Eagle Tax-Exempt PART:
9,900,000 A-1+ Bexar Co. 3.66%(a)(b) 9,900,000
8,400,000 A-1+ San Antonio AMBAC-Insured 3.70% due 4/1/97 8,400,000
23,000,000 A-1+ Greater East Texas Higher Education Authority Inc.
Student Loan Revenue Senior Lien Series 1995A
3.85% due 5/1/97(a)(c) 23,000,285
4,600,000 VMIG 1* Gulf Coast Waste Disposal Authority (Amoco Oil
Co. Project) 3.75% due 4/1/97(c) 4,600,000
10,000,000 VMIG 1* Harris County Health Facilities Development Corp. Revenue
(Buckner Retirement Services Project) 3.50%(b) 10,000,000
Harris County Health Facilities Development Corp. School
Health Care System Revenue Sisters of Charity:
16,000,000 VMIG 1* TECP 3.75% due 6/30/97 16,000,000
20,200,000 A-1+ TECP 3.75% due 6/30/97 20,200,000
</TABLE>
See Notes to Financial Statements
24
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Texas -- 9.7% (continued)
Harris County Industrial Development Corp.:
$ 1,400,000 P-1* IDR (Chusei USA Project) 4.00%(a)(b) $ 1,400,000
2,115,000 A-1 TECP 3.40% due 8/6/97 2,115,000
Houston Airport TECP:
2,200,000 A-1+ 3.55% due 5/29/97(a) 2,200,000
7,500,000 A-1+ Series A 3.375% due 4/22/97 7,500,000
2,000,000 A-1+ Hunt County Industrial Development Corp. Revenue
(Trico Industries Inc. Project) 3.40%(b) 2,000,000
Intermountain Power Agency TECP:
5,000,000 A-1+ Series 85E 3.40% due 6/9/97 5,000,000
7,500,000 A-1+ Series 85F 3.55% due 5/2/97 7,500,000
6,700,000 A-1+ Series 85F 3.45% due 5/21/97 6,700,000
8,000,000 NR++ Leon County Development Corporation IDR
(BOC Group Inc. Project) 3.50%(b) 8,000,000
1,100,000 NR++ McAllen Health Facilities Development Corp Revenue
(McAllen Associates No. 1) 3.45%(b) 1,100,000
North Texas Higher Education Authority Inc.
Student Loan Revenue Refunding:
6,700,000 A-1+ Series 1991A 3.50%(a)(b) 6,700,000
10,200,000 SP-1+ Series 1991C AMBAC-Insured 3.50%(a)(b) 10,200,000
3,500,000 SP-1+ Series 1991F AMBAC-Insured 3.50%(a)(b) 3,500,000
5,500,000 SP-1+ Series 1993A 3.50%(a)(b) 5,500,000
15,400,000 SP-1+ Series 1996C AMBAC-Insured 3.50%(a)(b) 15,400,000
13,900,000 A-1 Port Arthur Navy District PCR
(Star Enterprises Project) 3.50%(a)(b) 13,900,000
2,000,000 A-1+ Port Corpus Christi Authority Nueces County Marine
Terminal Revenue (Reynolds Metals Co.) 3.35%(b) 2,000,000
2,850,000 NR++ Round Rock Industrial Development Corporation IDR
Refunding (Tellabs Inc. Project) 3.50%(b) 2,850,000
5,800,000 VMIG 1* Sabine River Authority PCR (Utilities Project)
Series A AMBAC-Insured 3.75%(b) 5,800,000
17,300,000 A-1+ San Antonio Housing Finance Corp. Multi-Family Housing
Revenue (Braeaview Apartments Project) 3.55%(a)(b) 17,300,000
Texas A&M University Board of Regents TECP:
1,900,000 A-1+ 3.45% due 5/28/97 1,900,000
3,000,000 A-1+ 3.50% due 5/29/97 3,000,000
3,570,000 A-1+ Texas A&M University Revenue PART 3.55%(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 8,026,011
22,250,000 A-1 Texas Municipal Power Agency BAN TECP
3.40% due 5/22/97 22,250,000
14,100,000 A-1+ Texas Pollution Finance Authority GO 3.45% due 5/28/97 14,100,000
5,900,000 NR+ Trinity River Authority PCR (General Motors Corp. Project)
3.55%(b) 5,900,000
</TABLE>
See Notes to Financial Statements
25
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Texas -- 9.7% (continued)
$144,470,000 SP-1+ Texas State TRAN Series A 4.75% due 8/29/97 $145,084,149
- ---------------------------------------------------------------------------------------------------------
532,920,445
- ---------------------------------------------------------------------------------------------------------
Utah -- 1.4%
4,000,000 A-1+ Morgan County Solid Waste Disposal Revenue (Holnam Inc.
Project) 3.55%(a)(b) 4,000,000
5,625,000 A-1 Ogden City IDR (Infiltrator System Inc. Project) 3.65%(a)(b) 5,625,000
2,000,000 A-1+ Salt Lake City Revenue Series A 3.45%(b) 2,000,000
4,900,000 VMIG 1* Salt Lake County Housing Authority (Sandy Retirement
Center) 3.30%(b) 4,900,000
4,550,000 A-1+ Salt Lake County (Amoco) 3.70% due 4/1/97(c) 4,550,000
Utah State Board Regents Student Loan Revenue:
27,000,000 A-1+ Series A AMBAC-Insured 3.50%(a)(b) 27,000,000
15,000,000 VMIG 1* Series C 3.50%(a)(b) 15,000,000
12,600,000 A-1+ Series L AMBAC-Insured 3.50%(a)(b) 12,600,000
- ---------------------------------------------------------------------------------------------------------
75,675,000
- ---------------------------------------------------------------------------------------------------------
Vermont -- 0.3%
14,200,000 A-1+ Vermont IDA IDR (Ryegate Project) 3.50%(a)(b) 14,200,000
3,000,000 A-1+ Vermont State GO TECP Series I RAN 3.45% due 5/20/97 3,000,000
- ---------------------------------------------------------------------------------------------------------
17,200,000
- ---------------------------------------------------------------------------------------------------------
Virginia -- 0.5%
500,000 A-1+ Brunswick County IDA Facility Revenue (Aegis Waste
Solutions Inc) 3.60%(b) 500,000
4,100,000 A-1 Charles City & County IDA Exempt Facility Revenue
(Chambers Development of Virginia Inc. Project)
3.65%(a)(b) 4,100,000
5,000,000 A-1 Fairfax County IDA (Inova Health Systems) TECP
3.40% due 4/23/97 5,000,000
6,505,000 NR+ Hampton Roads Sanitation Waste Water Revenue PART
3.60%(b) 6,505,000
3,000,000 A-1+ King George County IDA Solid Waste Disposal Facility
Revenue (Garnet of VA Inc. Project) 3.50%(a)(b) 3,000,000
2,300,000 A-1+ Peninsula Ports Authority Coal Term Revenue
(Dominion Term Project) Series D 3.70%(b) 2,300,000
9,385,000 VMIG 1* Virginia State HDA Commonwealth Mortgage TOB
3.60%(a)(b) 9,385,000
- ---------------------------------------------------------------------------------------------------------
30,790,000
- ---------------------------------------------------------------------------------------------------------
Washington -- 4.0%
7,170,000 MIG 1* Birch Bay Water & Sewer District BAN 4.625% due 8/1/97 7,186,927
Eagle Tax-Exempt PART MBIA-Insured:
14,000,000 A-1+ Washington Public Power Services 3.56%(b) 14,000,000
14,600,000 A-1+ Washington State G.O. 3.50% due 1/1/98(c) 14,600,000
</TABLE>
See Notes to Financial Statements
26
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Washington -- 4.0% (continued)
$ 9,500,000 A-1+ King County Revenue Notes TECP 3.45% due 5/22/97 $ 9,500,000
7,245,000 NR++ Pierce County (Port Sea-Land Service Project) 3.50%(b) 7,245,000
17,255,000 A-1+ Pierce County EDA Special Revenue (Weyerhaesuser
Real Estate) 3.45%(b) 17,255,000
64,729,000 A-1 Port Everett IDR Solid Waste Recycling Revenue
(Snohomish River Pulp Co. Project) 3.60%(a)(b) 64,729,000
150,000 A-1+ Port Kalama Public Corp (Conagra Inc. Project) 3.30%(a)(b) 150,000
6,500,000 A-1 Port Pasco Economic devlopment (Douglas Fruit Co. Inc.
Project) 3.50%(a)(b) 6,500,000
9,500,000 A-1 Port Vancouver Special Revenue (United Grain Corp. Project)
3.85%(a)(b) 9,500,000
8,400,000 VMIG 1* Student Loan Finance Association Washington Guaranteed
Series A 3.50%(a)(b) 8,400,000 Washington
Metropolitan Airport TECP:
10,000,000 A-1+ 3.65% due 5/20/97 10,000,000
10,000,000 A-1+ 3.60% due 6/26/97 10,000,000
1,000,000 AAA Washington State Various Purpose (Pre-Refunded --
Escrowed with U.S. Government Securities to 10/1/97
Call @ 100) 8.80% due 10/1/01 1,023,329
6,360,000 NR+ Washington State GO 6.75% due 9/1/97 6,451,420
Washington State Housing Finance Commission
Multi-Family Mortgage Revenue:
7,450,000 A-1+ Arbors on the Park Project 3.65%(a)(b) 7,450,000
10,555,000 A-1+ Pacific First Federal Series B 3.55%(b) 10,555,000
4,998,000 VMIG 1* Washington State Public Power Supply PART
3.80% due 1/14/98(c) 4,998,000
3,100,000 NR++ Yakima County Washington Public Corp IDR
(John I. Haas Project) 3.70%(b) 3,100,000
Yakima County Public Corporation:
6,400,000 VMIG 1* Can Am Millwork Limited 3.70%(a)(b) 6,400,000
2,000,000 NR++ Longview Fibre Co. Project 3.65%(a)(b) 2,000,000
- ---------------------------------------------------------------------------------------------------------
221,043,676
- ---------------------------------------------------------------------------------------------------------
West Virginia -- 0.5%
Marion County Commission Solid Waste Disposal
Facility Revenue (Granttown Project):
5,100,000 A-1+ Series B 3.50%(a)(b) 5,100,000
3,500,000 VMIG 1* Series D 3.50%(a)(b) 3,500,000
1,730,000 NR++ Putnam County Solid Waste Disposal Revenue (FMC Corp.)
3.55%(a)(b) 1,730,000
</TABLE>
See Notes to Financial Statements
27
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
West Virginia -- 0.5% (continued)
West Virginia State Hospital Finance Authority Hospital
Revenue (Mid-Atlantic/Cap) AMBAC-Insured:
$ 4,000,000 A-1 Series D 3.50%(b) $ 4,000,000
3,090,000 A-1 Series E 3.50%(b) 3,090,000
2,300,000 A-1 Series G 3.50%(b) 2,300,000
9,100,000 A-1+ West Virginia Public Energy Authority Revenue
(Morgantown Assoc. Project) TECP 3.50% due 8/7/97 9,100,000
- ---------------------------------------------------------------------------------------------------------
28,820,000
- ---------------------------------------------------------------------------------------------------------
Wisconsin -- 1.0%
9,500,000 NR++ Brokaw Sewer & Solid Waste Revenue (Wausau Paper
Mills Co. Project) 3.70%(a)(b) 9,500,000
6,605,000 NR+ City of Milwakee PART 3.55%(b) 6,605,000
11,800,000 A-1+ Eagle Tax-Exempt PART Wisconsin Housing EDA 3.71%(a)(b) 11,800,000
10,000,000 SP-1+ Milwaukee RAN Series A 4.50% due 2/19/98 10,075,359
4,190,000 VMIG 1* Wisconsin Housing and Economic Development Authority
Home Ownership Revenue TOB 3.65%(a)(b) 4,190,000
6,320,000 A-1+ Wisconsin Public Power Inc. System Power Supply System
Revenue PART AMBAC-Insured 3.55%(b) 6,320,000
5,160,000 NR+ Wisconsin State GO Series A 6.50% due 5/1/97 5,173,878
- ---------------------------------------------------------------------------------------------------------
53,664,237
- ---------------------------------------------------------------------------------------------------------
Wyoming -- 0.6%
6,700,000 A-1 Sweetwater County PCR (Idaho Power Co Project) 3.75%(b) 6,700,000
18,000,000 A-1+ Uinta County PCR (Amoco Standard Oil Co.) Series A
3.90% due 12/1/97(c) 18,018,380
10,710,000 VMIG 1* Wyoming Community Development Authority TOB
3.60%(a)(b) 10,710,000
- ---------------------------------------------------------------------------------------------------------
35,428,380
- ---------------------------------------------------------------------------------------------------------
Miscellaneous -- 4.4%
Capital Realty Investments Tax-Exempt Fund Ltd. PART:
16,345,000 A-1+ Series 3 3.65%(b) 16,345,000
17,000,000 A-1+ Series 4 3.75%(a)(b) 17,000,000
14,148,548 VMIG 1* Clipper Blue Tax-Exempt PART 4.06%(b) 14,148,548
Clipper Blue Tax-Exempt PART:
71,986,308 VMIG 1* 95-1 3.66%(a)(b) 71,986,308
27,313,704 VMIG 1* 95-2 3.86%(b) 27,313,704
32,932,565 VMIG 1* 95I 3.86%(b) 32,932,565
Pooled Puttable Floating Options Tax-Exempt PART:
9,080,000 A-1 4.10%(b) 9,080,000
3,040,000 A-1+ 4.15%(a)(b) 3,040,000
IBM Asset Backed Certificate PART:
17,355,000 A-1+ Series E 3.65%(b) 17,355,000
4,200,000 A-1+ Series F 3.65%(b) 4,200,000
</TABLE>
See Notes to Financial Statements
28
<PAGE>
- --------------------------------------------------------------------------------
Schedule of Investments (continued) March 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING SECURITY VALUE
=========================================================================================================
<S> <C> <C> <C>
Miscellaneous -- 4.4% (continued)
$ 800,000 VMIG 1* Puerto Rico Public Building Authority
Series 1995 3.10%(b) $ 800,000
27,630,000 NR+ Puerto Rico Industrial Medical PCR (Abbot Labs)
3.75% due 3/1/98(c) 27,630,000
- ---------------------------------------------------------------------------------------------------------
241,831,125
- ---------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100%
(Cost -- $5,488,577,006**) $5,488,577,006
=========================================================================================================
</TABLE>
(a) Income from these issues is considered a preference item for the purposes
of calculating the alternative 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.
+ Security has not been rated by either Moody's Investors Service or Standard
& Poor's. However, the Board of Directors has determined this security to
present minimal credit risks.
++ Security has not been rated by either Moody's Investors Service or Standard
& Poor's. However, the Board of Directors has determined this security to
be considered as a first tier quality issue due to enhancement features;
such as insurance and/or an irrevocable letter of credit.
** Aggregate cost for Federal income tax purposes is substantially the same.
See pages 30 and 31 for definition of ratings and certain security
descriptions.
See Notes to Financial Statements
29
<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.
30
<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 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 -- Financial Security Assurance
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
PART -- Partnership Structure
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
SWAP -- Swap Structure
TAN -- Tax Anticipation Notes
TECP -- Tax Exempt Commercial Paper
TOB -- Tender Option Bond
TRAN -- Tax & Revenue Anticipation Notes
VHA -- Veterans Housing Authority
31
<PAGE>
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities March 31, 1997
- --------------------------------------------------------------------------------
ASSETS:
Investments, at amortized cost $ 5,488,577,006
Cash 161,111
Interest receivable 44,559,118
Receivable for securities sold 43,786,263
- --------------------------------------------------------------------------------
Total Assets 5,577,083,498
- --------------------------------------------------------------------------------
LIABILITIES:
Dividends payable 6,443,367
Management fees payable 2,308,689
Distribution fees payable 192,176
Accrued expenses 1,222,279
- --------------------------------------------------------------------------------
Total Liabilities 10,166,511
- --------------------------------------------------------------------------------
Total Net Assets $ 5,566,916,987
================================================================================
NET ASSETS:
Capital stock (10,000,000,000 shares
authorized; par value $0.01 per share) $ 55,679,189
Capital paid in excess of par value 5,512,598,653
Accumulated net realized loss on security transactions (1,360,855)
- --------------------------------------------------------------------------------
Total Net Assets $ 5,566,916,987
================================================================================
Shares Outstanding:
Class A 5,563,148,329
- --------------------------------------------------------------------------------
Class C 15,121
Class Y 4,755,401
Net Asset Value Per Share $1.00
- --------------------------------------------------------------------------------
See Notes to Financial Statements
32
<PAGE>
- --------------------------------------------------------------------------------
Statement of Operations For the Year Ended March 31, 1997
- --------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest $ 192,373,989
- --------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 3) 26,073,153
Distribution fees (Note 3) 5,356,489
Registration fees 1,966,581
Shareholder and system servicing fees 1,729,029
Shareholder communications 469,025
Custody 351,047
Audit and legal 55,115
Directors' fees 29,200
Other 70,095
- --------------------------------------------------------------------------------
Total Expenses 36,099,734
- --------------------------------------------------------------------------------
Net Investment Income 156,274,255
- --------------------------------------------------------------------------------
Net Realized Loss From Security Transactions (68,434)
- --------------------------------------------------------------------------------
Increase in Net Assets From Operations $ 156,205,821
================================================================================
See Notes to Financial Statements.
33
<PAGE>
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets For the Years Ended March 31,
- --------------------------------------------------------------------------------
1997 1996
================================================================================
OPERATIONS:
Net investment income $ 156,274,255 $ 166,193,675
Net realized gain (loss) (68,434) 182,322
- --------------------------------------------------------------------------------
Increase in Net Assets From Operations 156,205,821 166,375,997
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 2) (156,274,255) (166,193,675)
- --------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE 5):
Net proceeds from sale of shares 23,013,880,836 23,799,688,864
Net asset value of shares issued for
reinvestment of dividends 155,223,817 161,496,398
Cost of shares reacquired (23,015,472,861) (23,200,080,333)
- --------------------------------------------------------------------------------
Increase in Net Assets From
Fund Share Transactions 153,631,792 761,104,929
- --------------------------------------------------------------------------------
Increase in Net Assets 153,563,358 761,287,251
NET ASSETS:
Beginning of year 5,413,353,629 4,652,066,378
- --------------------------------------------------------------------------------
End of year $ 5,566,916,987 $ 5,413,353,629
================================================================================
See Notes to Financial Statements
34
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
- --------------------------------------------------------------------------------
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 plus accreted discount, or minus amortized premium, approximates
market value; (c) interest income, adjusted for amortization of premium and
accretion of original issue discount, is recorded on the accrual basis; market
discount is recognized upon the disposition of the security; (d) direct expenses
are charged to each class; management fees and general expenses are allocated on
the basis of relative net assets; (e) gains or losses on the sale of securities
are calculated by using the specific identification method; (f) dividends and
distributions to shareholders are recorded on the ex-dividend date; (g) 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; (h) 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; and (i) 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.
35
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (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 service fee
calculated with respect to Class A and C shares 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, 1997, the Fund had, for Federal income tax purposes,
approximately $1,361,000 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 2004
================================================================================
Carryforward Amounts $97,000 $1,086,000 $37,000 $72,000 $69,000
================================================================================
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 March 31, 1997, total paid-in capital amounted to the following for each
class:
Class A Class C Class Y
================================================================================
Total Paid-in Capital $5,563,506,138 $15,121 $4,756,583
================================================================================
36
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
Transactions in shares of each class were as follows:
Year Ended Year Ended
March 31, 1997 March 31,1996*
================================================================================
Class A
Shares sold 22,921,128,655 23,778,520,460
Shares issued on reinvestment 154,549,067 161,445,786
Shares redeemed (22,908,963,488) (23,195,899,521)
- -------------------------------------------------------------------------------
Net Increase 166,714,234 744,066,725
================================================================================
Class C
Shares sold 199,991 3,399,290
Shares issued on reinvestment 3,890 10,620
Shares redeemed (232,619) (4,180,812)
- -------------------------------------------------------------------------------
Net Decrease (28,738) (770,902)
================================================================================
Class Y
Shares sold 92,552,190 17,769,114
Shares issued on reinvestment 670,860 39,992
Shares redeemed (106,276,754) --
- -------------------------------------------------------------------------------
Net Increase (Decrease) (13,053,704) 17,809,106
================================================================================
* For Class Y shares, transactions are for the period from February 12, 1996
(inception date) to March 31, 1996.
37
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
For a share of each class of capital stock outstanding throughout each year:
<TABLE>
<CAPTION>
Class A Shares 1997 1996 1995 1994 1993
===============================================================================================================
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------
Net investment income(1) 0.029 0.033 0.027 0.019 0.022
Dividends from net investment income (0.029) (0.033) (0.027) (0.019) (0.022)
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------
Total Return 2.94% 3.34% 2.71% 1.89% 2.25%
- ---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (in millions) $ 5,562 $ 5,395 $ 4,651 $ 1,286 $ 1,251
- ---------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(1) 0.67% 0.63% 0.61% 0.64% 0.62%
Net investment income 2.90 3.28 3.01 1.87 2.22
===============================================================================================================
Class C Shares 1997 1996 1995(2) 1994
===============================================================================================================
Net Asset Value, Beginning of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------
Net investment income(1) 0.029 0.033 0.027 0.019
Dividends from net investment income (0.029) (0.033) (0.027) (0.019)
- ---------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Year $ 1.00 $ 1.00 $ 1.00 $ 1.00
- ---------------------------------------------------------------------------------------------------------------
Total Return 2.94% 3.34% 2.71% 1.89%++
- ---------------------------------------------------------------------------------------------------------------
Net Assets, End of Year (in millions) $ 0.02 $ 0.04 $ 1.0 $ 5.0
- ---------------------------------------------------------------------------------------------------------------
Ratios of Average Net Assets:
Expenses(1) 0.67% 0.60% 0.61% 0.64%+
Net investment income 2.89 3.43 3.01 1.87+
===============================================================================================================
</TABLE>
(1) 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
(2) On November 7, 1994, the former Class B shares were renamed Class C shares.
(3) 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.
38
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights (continued)
- --------------------------------------------------------------------------------
For a share of each class of capital stock outstanding throughout each year:
Class Y Shares 1997 1996(1)
================================================================================
Net Asset Value, Beginning of Year $ 1.00 $ 1.00
- --------------------------------------------------------------------------------
Net investment income 0.030 0.004
Dividends from net investment income (0.030) (0.004)
- --------------------------------------------------------------------------------
Net Asset Value, End of Year $ 1.00 $ 1.00
- --------------------------------------------------------------------------------
Total Return 3.04% 0.39%++
- --------------------------------------------------------------------------------
Net Assets, End of Year (in millions) $ 5.0 $ 18.0
- --------------------------------------------------------------------------------
Ratios of Average Net Assets:
Expenses 0.57% 0.55%+
Net investment income 3.00 2.81+
================================================================================
(1) 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.
39
<PAGE>
- --------------------------------------------------------------------------------
Independent Auditors' Report
- --------------------------------------------------------------------------------
To the Shareholders and Board of Directors
of the Smith Barney Municipal Money Market Fund, Inc.:
We have audited the accompanying statement of assets and liabilities including
the schedule of investments of the Smith Barney Municipal Money Market Fund,
Inc. as of March 31, 1997, the related statement of operations for the year then
ended, the statements of changes in net assets for each of the years in the
two-year period then ended and the financial highlights for each of the years in
the five-year period then ended. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of March
31, 1997, by correspondence with the custodian. As to securities sold but not
delivered, we performed other appropriate auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Smith Barney Municipal Money Market Fund, Inc. as of March 31, 1997, the results
of its operations for the year then ended, the changes in its net assets for
each of the years in the two-year period then ended and the financial highlights
for each of the years in the five-year period then ended, in conformity with
generally accepted accounting principles.
/s/ KPMG Peat Marwick LLP
New York, New York
May 14, 1997
40
<PAGE>
- --------------------------------------------------------------------------------
Tax Information (unaudited)
- --------------------------------------------------------------------------------
For Federal tax purposes the Fund hereby designates for the fiscal year
ended March 31, 1997:
o 100% of the dividends paid by the Fund from net investment income as
tax-exempt for regular Federal income tax purposes.
41
<PAGE>
Smith Barney
Municipal Money
Market Fund, Inc.
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
Emeritus
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
SMITH BARNEY
A Member of Travelers Group [LOGO]
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 9134
Boston, MA 02104-9134
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
FD2396 5/97
