<PAGE>
CMIA MUNICIPAL BOND ACCOUNTS
ANNUAL REPORT
SEPTEMBER 30, 1995
<PAGE>
CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC.
--------------------------
1995 ANNUAL REPORT
DEAR SHAREHOLDER:
During their first year as part of the Connecticut Mutual Investments
Accounts portfolio, our municipal bond funds performed admirably. Each of the
five funds turned in double-digit returns and performed competitively in their
respective peer groups.
These tax-free municipal bond portfolios, managed by Boston Management and
Research, joined the CMIA portfolio in October, 1994 -- just as the bond market
was near the bottom of its downward slide. The market, however, began its
recovery in mid-November 1994. Since then, bond funds such as ours have
experienced strong appreciation, aided by the market's positive reaction to slow
economic growth and low inflation.
The outstanding performance of the CMIA municipal bond funds over the past
year reflects that favorable investment environment, as well as the solid
management strategy of Boston Management and Research. This strategy of longer
than average durations compared with the fund's peers, placed the CMIA funds in
very competitive positions in their respective universes for total return
performance for the nine month
period ending September 30, 1995.
But even though the municipal market has turned
in strong results for the past 12 months, it has
underperformed the taxable market. Much of this
under-
performance is due to concerns that major tax
reform legislation could eliminate the
tax-advantaged status of municipal bonds.
While some sort of reform is likely, Boston
Management and Research thinks that it is unlikely
that it will involve sweeping changes that call
for a flat tax or elimination of major tax
deductions. Any such major tax reform would
provoke strong opposition and could seriously
depress entire sectors of the U.S. economy.
Accordingly, we view this recent
underperformance as a potential buying
opportunity. Municipal bonds could represent an
attractive asset class at these current relative
trading relationships, with the potential for
future outperformance for those investors willing
to adopt a patient, long-term investment horizon.
ECONOMIC FORECAST
After a tremendous rally in the bond market
earlier this year, the outlook for bonds continues
to be
favorable. We foresee continued moderate economic growth with low inflation --
an ideal situation for investors.
We expect inflation to hover around 3 percent, dropping even lower if the
economy slows further. A slowing of the economy could prompt the Fed to cut the
fed funds rate, possibly spurring a continuation of the bond market rally into
1996.
At the same time, the municipal bond market could benefit from the federal
budget cuts currently being discussed in Washington. Reducing the federal budget
deficit by slashing expenditures would drastically reduce the federal
government's borrowing needs. As a result, interest rates would be suppressed
across the entire yield curve. All fixed-income instruments, including municipal
bonds, would benefit.
The outlook for the tax-free market continues to be favorable due to the lack
of meaningful primary market supply of tax-free bonds. This relatively low level
of primary market supply will not be large enough to offset the $190 billion of
bonds scheduled to be called or maturing
during 1995. As a result, the outstanding supply of tax-free bonds
is expected to decline for 1995 and 1996.
The declining supply, coupled with attractive taxable equivalent
yields, could make the tax-free market an attractive sector among
the many fixed income instruments available.
SUMMARY
This year's dramatic reversal in the course of the bond market
clearly illustrates the unpredictability of the financial markets
and underscores a key tenet of investing: long-term investors
willing to ride out market ups and downs have been rewarded with
strong returns.
We will continue to monitor changes in economic and political
conditions. But, regardless of what lies ahead for the economy, the
goal of your fund remains the same: to provide you with a
competitive tax-free income from a portfolio of high-quality
municipal bonds.*
If you have any questions about the municipal bond funds, or
would like information or a prospectus on CMIA LifeSpan Accounts,
our new asset allocation accounts introduced earlier this year,
call your Registered Representative, or 1-800-234-5606, press 3.
Please remember to read the prospectus carefully before investing.
David E. Sams, Jr.
PRESIDENT AND CHIEF EXECUTIVE OFFICER
CONNECTICUT MUTUAL LIFE INSURANCE COMPANY
THE CMIA MUNICIPAL BOND ACCOUNTS
THE CMIA MUNICIPAL BOND ACCOUNTS
NATIONAL MUNICIPALS
The National Account is a diversified series of the Company. The National
Account's investment objective is to provide current income exempt from
regular Federal income tax.
CALIFORNIA TAX FREE
The California Account is a diversified series of the Company. The California
Account's investment objective is to provide current income exempt from both
regular Federal income tax and California state personal income tax.
MASSACHUSETTS TAX FREE
The Massachusetts Account is a non-diversified series of the Company. The
Massachusetts Account's investment objective is to provide current income
exempt from both regular Federal income tax and Massachusetts state personal
income tax.
NEW YORK TAX FREE
The New York Account is a non-diversified series of the Company. The New York
Account's investment objective is to provide current income exempt from
regular Federal income tax and New York state and New York City personal
income taxes.
OHIO TAX FREE
The Ohio Account is a non-diversified series of the Company. The Ohio
Account's investment objective is to provide current income exempt from both
regular Federal income tax and Ohio state personal income tax.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE.
THIS MATERIAL IS INTENDED FOR USE ONLY WHEN PRECEDED OR ACCOMPANIED BY A
PROSPECTUS.
* A PORTION OF THE PORTFOLIO'S INCOME COULD BE SUBJECT TO FEDERAL, STATE OR
LOCAL ALTERNATIVE MINIMUM TAXES. BOND FUND SHARES ARE NOT GUARANTEED AND WILL
FLUCTUATE WITH MARKET CONDITIONS AND INTEREST RATES. SHARES WHEN REDEEMED MAY BE
WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------- ----------------------------------------
NATIONAL CALIFORNIA
MUNICIPALS MUNICIPALS
<S> <C>
Although the Fund slightly underperformed
the Lipper average for the third quarter
of 1995, it outperformed the average, on
a year to date basis, reporting a total
return of 13.2 percent. The average total
return of all funds in the Fund's peer
group during the same period was 11.6
percent.
The Fund's outperformance during the last
nine months is a direct result of a
duration longer than most of its peer
group. In addition, the Fund continues to
selectively purchase above average yield
bonds in order to preserve the Fund's
favorable distribution rate.
EDGAR REPRESENTATION OF DATA POINTS USED
IN PRINTED GRAPHIC
<CAPTION>
LEHMAN BROS.
MUNI. BOND NATIONAL
INDEX MUNICIPALS
<S> <C> <C>
9/30/94 10,000.00 10,000
10/31/94 9,408.00 9,822
11/30/94 9,378.76 9,645
12/31/94 9,618.88 9,857
1/31/95 9,967.81 10,139
2/28/95 10,299.26 10,434
3/31/95 10,369.29 10,554
4/28/95 10,387.70 10,566
5/31/95 10,783.69 10,903
6/30/95 10,670.26 10,808
7/31/95 10,695.19 10,910
8/31/95 10,829.78 11,049
9/30/95 10,886.31 11,118
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RESULTS. STANDARD RETURNS ARE NET
OF FUND EXPENSES AND INCLUDE REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS.
THE W/OUT SC RETURNS DO NOT REFLECT THE EFFECTS OF SALES CHARGES. THE W/SC
ASSUMES THE CURRENT MAXIMUM INITIAL SALES CHARGE OF 4.00% FOR ALL ACCOUNTS.
CALIFORNIA MUNICIPALS
Despite weak total return performance during August, the Fund turned in an
average total return of 12.7 percent year to date, compared with 12.3 percent
Lipper average for its peer group. Performance was hindered during August by the
underperformance of holdings of both County of Los Angeles and the State of
California -- two situations viewed as temporary.
Despite poor economic conditions in Orange and Los Angeles counties, the
California economy is improving slowly -- particularly in San Francisco and the
Silicon Valley.
Management has been able to take advantage of California's size, choosing
credits very selectively, avoiding problem areas and focusing on areas of
greatest economic growth.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN BROS
CALIFORNIA MUNICIPALS MUNI. BOND INDEX
<S> <C> <C>
9/30/94 10,000.00 10,000
10/31/94 9,398.40 9,822
11/30/94 9,160.97 9,645
12/31/94 9,231.22 9,857
1/31/95 9,570.89 10,139
2/28/95 9,894.01 10,434
3/31/95 10,024.08 10,554
4/28/95 9,991.97 10,566
5/31/95 10,334.04 10,903
6/30/95 10,133.34 10,808
7/31/95 10,194.53 10,910
8/31/95 10,285.45 11,049
9/30/95 10,374.08 11,118
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------- ----------------------------------------
MASSACHUSETTS NEW YORK
MUNICIPALS MUNICIPALS
<S> <C>
The Fund chalked up a total return of
12.6 percent for the first nine months of
1995, compared with an 11.5 percent
return for its peer group.
The Fund continues to keep exposure to
the hospital sector quite low because of
the pressures of intense competition in
the health care sector.
In general, Massachusetts has made great
strides in recent years as employment
levels have climbed significantly,
personal income growth has accelerated
and the state's financial position has
improved. As a result of this progress,
the state's debt ratings have been
upgraded to A1 and A+ -- considerably
higher than they were at their lowest
point in early 1991.
On the fiscal front, the administration
recently initiated efforts to control
social spending, which could result in
further fiscal improvements in the
future.
EDGAR REPRESENTATION OF DATA POINTS USED
IN PRINTED GRAPHIC
<CAPTION>
LEHMAN BROS.
MUNI. BOND MASSACHUSETTS
INDEX MUNICIPALS
<S> <C> <C>
9/30/94 10,000.00 10,000
10/31/94 9,360.00 9,822
11/30/94 9,061.29 9,645
12/31/94 9,342.74 9,857
1/31/95 9,690.04 10,139
2/28/95 10,016.34 10,434
3/31/95 10,112.94 10,554
4/28/95 10,099.55 10,566
5/31/95 10,378.58 10,903
6/30/95 10,194.19 10,808
7/31/95 10,257.99 10,910
8/31/95 10,397.81 11,049
9/30/95 10,486.16 11,118
</TABLE>
NEW YORK MUNICIPALS
For the first nine months of 1995, the Fund turned in a total return of 13.2
percent, compared with the category average return of 11.5 percent.
In anticipation of potential issuance reforms, the state plans to issue an
unusually heavy calendar of state-supported appropriation debt between now and
year-end. Anticipating that state-appropriated debt will underperform in the
face of a heavy new issuance calendar, management has been reducing exposure to
state-appropriation debt and swapping into high-grade debt. Once this wave of
debt has come to market, state-appropriated debt should be attractively priced
and once again represent a buying opportunity.
This past summer, discount coupon bonds returned to favor. This was an
opportunity to sell deep discounts in the New York Portfolio and trade into more
moderate discount bonds that should perform comparably to deep discounts in an
up market and much better in a down market.
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION> LEHMAN BROS.
NEW YORK MUNICIPALS MUNI. BOND INDEX
<S> <C> <C>
9/30/94 10,000.00 10,000
10/31/94 9,360.00 9,822
11/30/94 9,041.55 9,645
12/31/94 9,325.02 9,857
1/31/95 9,651.32 10,139
2/28/95 9,989.21 10,434
3/31/95 10,101.61 10,554
4/28/95 10,100.11 10,566
5/31/95 10,415.26 10,903
6/30/95 10,243.02 10,808
7/31/95 10,327.63 10,910
8/31/95 10,466.06 11,049
9/30/95 10,524.45 11,118
</TABLE>
<PAGE>
- ----------------------------------------
<TABLE>
OHIO
MUNICIPALS
<S> <C>
In this Portfolio, the levels of new bond
issuance have decreased significantly,
creating a supply-and-demand situation
that bodes well for the value of the
bonds.
In the first nine months of 1995, the
Ohio Portfolio showed a total return of
13.7 percent, compared with an 11.4
percent total return for its peer group.
The state's economy continues to be
diverse and strong and its balance sheet
remains healthy. Ohio also benefits from
relatively conservative management and a
debt burden that is low relative to that
of other industrialized states.
Portfolio management remains highly
selective in adding health care and
hospital bonds to the Portfolio, in the
face of intense competition in the health
care arena.
EDGAR REPRESENTATION OF DATA POINTS USED
IN PRINTED GRAPHIC
<CAPTION>
LEHMAN BROS.
MUNI. BOND OHIO
INDEX MUNICIPALS
<S> <C> <C>
9/30/94 10,000.00 10,000
10/31/94 9,350.40 9,822
11/30/94 9,093.93 9,645
12/31/94 9,373.50 9,857
1/31/95 9,737.15 10,139
2/28/95 10,077.04 10,434
3/31/95 10,154.29 10,554
4/28/95 10,158.60 10,566
5/31/95 10,483.39 10,903
6/30/95 10,347.55 10,808
7/31/95 10,415.67 10,910
8/31/95 10,563.62 11,049
9/30/95 10,628.46 11,118
</TABLE>
<PAGE>
- ---------------------------------------------------------------
STATEMENT OF NET ASSETS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS,
INC.
September 30, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
A C C O U N T S
<S> <C> <C> <C> <C> <C>
<CAPTION>
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK
MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS OHIO MUNICIPALS
<S> <C> <C> <C> <C> <C>
ASSETS
Investment in Portfolio, at value
(Identified cost $2,934,589, $282,768,
$132,214,
$358,451, $358,106) (Note 1A) $3,067,155 $ 438,154 $ 138,381 $ 374,596 $ 372,582
Receivable from Fund shares sold 1,515 -- -- 31 --
--------------- --------------- --------------- --------------- ---------------
Total Assets 3,068,670 438,154 138,381 374,627 372,582
--------------- --------------- --------------- --------------- ---------------
LIABILITIES
Dividends payable 5,689 1,606 294 340 287
Accrued expenses payable 5,372 1,882 93 644 574
--------------- --------------- --------------- --------------- ---------------
Total Liabilities 11,061 3,488 387 984 861
--------------- --------------- --------------- --------------- ---------------
NET ASSETS $3,057,609 $ 434,666 $ 137,994 $ 373,643 $ 371,721
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
OUTSTANDING SHARES 285,630 42,546 13,363 35,894 35,279
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
NET ASSET VALUE PER SHARE $10.70 $10.22 $10.33 $10.41 $10.54
-------- --------- --------- --------- ---------
-------- --------- --------- --------- ---------
NET ASSETS CONSIST OF:
Capital (par value and paid-in surplus) $2,958,125 $314,871 $133,118 $360,812 $359,041
Undistributed net investment income 19 246 12 19 62
Accumulated undistributed net realized
loss (33,101) (35,837) (1,303) (3,333) (1,858)
Net unrealized appreciation 132,566 155,386 6,167 16,145 14,476
--------------- --------------- --------------- --------------- ---------------
NET ASSETS $3,057,609 $434,666 $137,994 $373,643 $371,721
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
</TABLE>
The accompanying notes are an integral part of these financial statements. 1
<PAGE>
- ---------------------------------------------------------------
STATEMENT OF OPERATIONS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS,
INC.
For the period from October 3, 1994
(Inception)
to September 30, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
A C C O U N T S
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK
MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest income allocated from Portfolio $ 114,578 $ 53,387 $ 2,899 $ 13,637
Expenses allocated from Portfolio (7,315) (4,578) (224) (1,045)
--------------- --------------- ------- -------
Total investment income 107,263 48,809 2,675 12,592
--------------- --------------- ------- -------
Operating Expenses 5,452 1,960 141 695
--------------- --------------- ------- -------
NET INVESTMENT INCOME 101,811 46,849 2,534 11,897
--------------- --------------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) from Portfolio --
Investment transactions (identified cost
basis) (9,541) (28,589) (818) 457
Financial futures contracts (23,560) (7,248) (485) (3,790)
--------------- --------------- ------- -------
Net realized loss on investments (33,101) (35,837) (1,303) (3,333)
--------------- --------------- ------- -------
Change in unrealized appreciation
(depreciation) --
Investments 130,277 162,793 6,242 15,580
Financial futures contracts 2,289 (7,407) (75) 565
--------------- --------------- ------- -------
Net unrealized appreciation 132,566 155,386 6,167 16,145
--------------- --------------- ------- -------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS 99,465 119,549 4,864 12,812
--------------- --------------- ------- -------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 201,276 $ 166,398 $ 7,398 $ 24,709
--------------- --------------- ------- -------
--------------- --------------- ------- -------
<CAPTION>
- ----------------------------------------------
OHIO MUNICIPALS
<S> <C>
INVESTMENT INCOME
Interest income allocated from Portfolio $ 12,968
Expenses allocated from Portfolio (1,107)
-------
Total investment income 11,861
-------
Operating Expenses 625
-------
NET INVESTMENT INCOME 11,236
-------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS
Net realized gain (loss) from Portfolio --
Investment transactions (identified cost
basis) 554
Financial futures contracts (2,412)
-------
Net realized loss on investments (1,858)
-------
Change in unrealized appreciation
(depreciation) --
Investments 14,390
Financial futures contracts 86
-------
Net unrealized appreciation 14,476
-------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS 12,618
-------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 23,854
-------
-------
</TABLE>
2 The accompanying notes are an integral part of these financial statements.
<PAGE>
- ---------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS,
INC.
For the period from October 3, 1994
(Inception)
to September 30, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
A C C O U N T S
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO
MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS
<S> <C> <C> <C> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS:
Net investment income $ 101,811 $ 46,849 $ 2,534 $ 11,897 $ 11,236
Net realized loss on investments (33,101) (35,837) (1,303) (3,333) (1,858)
Net unrealized appreciation 132,566 155,386 6,167 16,145 14,476
--------------- -------------- --------------- --------------- ---------------
Net increase in net assets resulting from
operations 201,276 166,398 7,398 24,709 23,854
--------------- -------------- --------------- --------------- ---------------
DIVIDENDS TO SHAREHOLDERS:
From net investment income (101,792) (46,603) (2,522) (11,878) (11,174)
--------------- -------------- --------------- --------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 2,949,096 1,623,483 132,175 361,732 453,014
Net asset value of shares issued to
shareholders from reinvestment of dividends 63,742 37,455 943 10,466 8,525
Cost of shares reacquired (54,713) (1,346,067) -- (11,386) (102,498)
--------------- -------------- --------------- --------------- ---------------
Increase in net assets derived from capital
share transactions 2,958,125 314,871 133,118 360,812 359,041
--------------- -------------- --------------- --------------- ---------------
NET INCREASE IN NET ASSETS 3,057,609 434,666 137,994 373,643 371,721
NET ASSETS -- BEGINNING OF PERIOD -- -- -- -- --
--------------- -------------- --------------- --------------- ---------------
NET ASSETS -- END OF PERIOD $3,057,609 $ 434,666 $ 137,994 $ 373,643 $ 371,721
--------------- -------------- --------------- --------------- ---------------
--------------- -------------- --------------- --------------- ---------------
Undistributed net investment income included
in net assets at end of period $19 $246 $12 $19 $62
------ ------ ------- ------- ------
------ ------ ------- ------- ------
</TABLE>
The accompanying notes are an integral part of these financial statements. 3
<PAGE>
- ---------------------------------------------------------------
FINANCIAL HIGHLIGHTS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS,
INC.
For the period from October 3, 1994
(Inception)
to September 30, 1995
Selected data for a share of capital stock outstanding throughout the period:
<TABLE>
<CAPTION>
DISTRIBUTIONS RATIO OF
DIVIDENDS NET REALIZED FROM NET NET ASSET NET ASSET OPERATING
YEAR NET FROM NET & UNREALIZED REALIZED VALUE AT VALUE AT EXPENSES TO
ENDED INVESTMENT INVESTMENT GAIN (LOSS) GAIN ON BEGINNING END OF AVERAGE
SEPTEMBER 30 INCOME INCOME ON INVESTMENTS INVESTMENTS OF PERIOD PERIOD NET ASSETS (B)
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
NATIONAL MUNICIPALS ACCOUNT
1995 (a) $.61 $(.61) $.70 $ -- $10.00 $10.70 .80%
CALIFORNIA MUNICIPALS ACCOUNT
1995 (a) .56 (.56) .22 -- 10.00 10.22 .80
MASSACHUSETTS MUNICIPALS ACCOUNT
1995 (a) .56 (.56) .33 -- 10.00 10.33 .80
NEW YORK MUNICIPALS ACCOUNT
1995 (a) .52 (.52) .41 -- 10.00 10.41 .80
OHIO MUNICIPALS ACCOUNT
1995 (a) .50 (.50) .54 -- 10.00 10.54 .80
<CAPTION>
RATIO OF RATIO OF NET
INTEREST INVESTMENT NET ASSETS
YEAR EXPENSE TO INCOME TO AT END OF ANNUAL
ENDED AVERAGE AVERAGE PERIOD (IN TOTAL
SEPTEMBER 30 NET ASSETS (B) NET ASSETS(B) THOUSANDS) RETURN (C)
<S> <C> <C> <C> <C>
- --------------
NATIONAL MUNIC
1995 .02% 6.45% $ 3,058 13.40%
CALIFORNIA MUN
1995 -- 5.91 435 8.06
MASSACHUSETTS
1995 -- 5.53 138 9.23
NEW YORK MUNIC
1995 .01 5.48 374 9.63
OHIO MUNICIPAL
1995 .03 5.40 372 10.71
</TABLE>
(a) For the period from October 3, 1994 (Inception) to September 30, 1995
(b) Annualized
(c) Annual total returns do not include the effect of sales charges
4 The accompanying notes are an integral part of these financial statements.
<PAGE>
- ---------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS CONNECTICUT MUTUAL INVESTMENT ACCOUNTS,
INC.
September 30, 1995
- --------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Connecticut Mutual Investments Accounts, Inc. (the Fund), a Maryland
corporation, is registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company. The Fund is comprised
of thirteen separate Accounts, five of which are included in these financial
statements: National Municipals Account, California Municipals Account,
Massachusetts Municipals Account, New York Municipals Account and Ohio
Municipals Account. Each Account invests all of its investable assets in
interests in a separate corresponding open-end management investment company
(a "Portfolio"), a New York Trust, having the same investment objective as its
corresponding Account. The National Municipals Account invests its assets in
the National Municipals Portfolio, the California Municipals Account invests
its assets in the California Tax Free Portfolio, the Massachusetts Municipals
Account invests its assets in the Massachusetts Tax Free Portfolio, the New
York Municipals Account invests its assets in the New York Tax Free Portfolio,
and the Ohio Municipals Account invests its assets in the Ohio Tax Free
Portfolio. The value of each Account's investment in its corresponding
Portfolio reflects the Account's proportionate interest in the net assets of
that Portfolio (0.14%, 0.11%, 0.05%, 0.06% and 0.12%, at September 30, 1995,
for the National Municipals Account, California Municipals Account,
Massachusetts Municipals Account, New York Municipals Account and Ohio
Municipals Account, respectively). The performance of each Account is directly
affected by the performance of its corresponding Portfolio. The financial
statements of each Portfolio, including the portfolio investments, are
included elsewhere in this report and should be read in conjunction with each
Account's financial statements.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles.
(a)INVESTMENT VALUATION - Valuation of securities by the Portfolios is
discussed in Note 1 of the Portfolios' Notes to Financial Statements which
are included elsewhere in this report.
(b)INCOME - Each Account's net investment income consists of the Account's pro
rata share of the net investment income of its corresponding Portfolio,
less all expenses of each Account.
(c)FEDERAL INCOME TAXES - Each Account's policy is to comply with the
provisions of the Internal Revenue Code applicable to regulated investment
companies and to distribute to shareholders each year all of its taxable
and tax-exempt income, including any net realized gain on investments.
Accordingly, no provision for federal income or excise tax is necessary.
Dividends paid by each Account from net interest on tax-exempt municipal
bonds allocated from its corresponding Portfolio are not includable by
shareholders as gross income for federal income tax purposes because each
Account and Portfolio intend to meet certain requirements of the Internal
Revenue Code applicable to regulated investment companies which will enable
the Accounts to pay tax-exempt interest dividends. The portion of such
interest, if any, earned on private activity bonds issued after August 7,
1986, may be considered a tax preference item to shareholders.
- ---------------------------------------------------------------
2. DISTRIBUTIONS TO SHAREHOLDERS
The net income of an Account is determined daily and substantially all of the
net income so determined is declared as a dividend to shareholders of record
at the time of declaration. Distributions are paid monthly. Distributions of
realized capital gains, if any, are made at least annually. Distributions are
paid in the form of additional shares of an Account at the net asset value as
of the ex-dividend date or, at the election of the shareholder, in cash. The
Fund distinguishes between distributions on a tax basis and a financial
reporting basis. Generally accepted accounting principles require that only
distributions in excess of tax basis earnings and profits be reported in the
financial statements as a return of capital. Differences in the recognition or
classification of income between the financial statements and tax earnings and
profits which result in temporary over distributions for financial statement
purposes are classified as distributions in excess of net investment income or
accumulated net realized gains.
5
<PAGE>
- ---------------------------------------------------------------
3. CAPITAL STOCK
The authorized capital stock of the Fund at September 30, 1995 consisted of
3,000,000,000 shares of common stock, par value $0.001 per share. The shares
of stock are divided among thirteen separate Accounts, five of which are
indicated below. All shares of common stock have equal voting rights, except
that only shares of a particular Account are entitled to vote on matters
pertaining to that Account.
Transactions in capital stock were as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
FOR THE PERIOD FROM OCTOBER 3, 1994 (INCEPTION) TO SEPTEMBER 30, 1995
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK
MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS
<S> <C> <C> <C> <C>
Shares authorized (in millions) 200 200 200 200
--- --- --- ---
--- --- --- ---
Shares sold 284,763 169,643 13,270 35,980
Shares issued to shareholders from reinvestment
of dividends 6,005 3,744 93 1,020
------- --------------- ------ ------
Total issued 290,768 173,387 13,363 37,000
Shares reacquired (5,138) (130,841) -- (1,106)
------- --------------- ------ ------
Net increase 285,630 42,546 13,363 35,894
------- --------------- ------ ------
------- --------------- ------ ------
<CAPTION>
- --------------------------------------------------
OHIO
MUNICIPALS
<S> <C>
Shares authorized (in millions) 200
---
---
Shares sold 44,330
Shares issued to shareholders from reinvestment
of dividends 821
------
Total issued 45,151
Shares reacquired (9,872)
------
Net increase 35,279
------
------
</TABLE>
- --------------------------------------------------
4. INVESTMENT TRANSACTIONS
Increases and decreases in each Account's investment in its corresponding
Portfolio for the period from October 3, 1994 (inception) to September 30,
1995 were as follows:
<TABLE>
<CAPTION>
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK
MUNICIPALS MUNICIPALS MUNICIPALS MUNICIPALS
<S> <C> <C> <C> <C>
Increases $2,947,581 $1,623,484 $ 132,176 $ 361,701
Decreases 87,154 1,353,687 1,333 12,509
<CAPTION>
OHIO
MUNICIPALS
<S> <C>
Increases $ 453,014
Decreases 104,911
</TABLE>
- --------------------------------------------------
5. TRANSACTIONS WITH AFFILIATES
G. R. Phelps & Co., Inc., a wholly owned subsidiary of Connecticut Mutual
Life Insurance Company, Inc., serves as the administrator of each Account,
but receives no compensation. For the period from October 3, 1994 (inception)
to September 30, 1995, the Administrator, serving as principal underwriter
for sale of shares of the Accounts, earned $174,385 related to sales charges
deducted for shares sold and contingent deferred sales charges for shares
redeemed. Also, during the period from October 3, 1994 (inception) to
September 30, 1995, the Administrator subsidized operating expenses on the
Accounts in order to maintain the Accounts' annualized expense ratio limits
as set forth in the Accounts' prospectus. Subsidies were as follows: National
Municipals -- $45,680, California Municipals -- $27,997, Massachusetts
Municipals -- $27,390, New York Municipals -- $29,452 and Ohio Municipals --
$29,208. Each Portfolio has engaged the services of Boston Management and
Research, a wholly owned subsidiary of Eaton Vance Management, as its
investment adviser.
Each Account has adopted a distribution plan (Plan) in accordance with the
requirements of Rule 12b-1 of the Investment Company Act of 1940, as amended.
Under each Plan, each Account may pay G. R. Phelps & Co., Inc. (the
Distributor) a fee, not exceeding 0.25% of the Account's average daily net
assets for any fiscal year, as reimbursement for its expenditures incurred in
distributing and servicing shares of the Account. No Account has paid any
amounts pursuant to a Rule 12b-1 distribution plan during the period from
October 3, 1994 (inception) to September 30, 1995.
6
<PAGE>
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
To the Board of Directors of
Connecticut Mutual Investment Accounts, Inc.:
We have audited the accompanying statement of net assets of Connecticut Mutual
Investment Accounts, Inc. (a Maryland corporation) National Municipals,
California Municipals, Massachusetts Municipals, New York Municipals and Ohio
Municipals Accounts as of September 30, 1995, and the related statement of
operations and statement of changes in net assets for the period from
inception (October 3, 1994) to September 30, 1995, and the financial
highlights for the period indicated. These financial statements and financial
highlights are the responsibility of the Accounts' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audit.
We conducted our audit 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. 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
audit provides 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 each
of the respective Municipals Accounts comprising Connecticut Mutual Investment
Accounts, Inc. as of September 30, 1995, the results of their operations and
the changes in their net assets for the period from inception (October 3,
1994) to September 30, 1995, and the financial highlights for the period
indicated in conformity with generally accepted accounting principles.
Arthur Andersen LLP
Hartford, Connecticut
November 15, 1995
7
<PAGE>
- ---------------------------------------------------------------
PORTFOLIO OF INVESTMENTS September 30, 1995
NATIONAL MUNICIPALS PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS -- 100%
UTILITY REVENUE BONDS -- 4.0%
Baa2 BBB $ 10,000 Brazos River Authority, Texas, PCR, Texas Utilities Electric Company, 9.25%,
3/1/18 $ 11,183,800
Aa AA 22,600 Lewis County, Washington, Cowlitz Falls Hydroelectric Project, 5.5%, 10/1/22 21,415,308
Aa AA 10,000 Los Angeles, California, Department of Water & Power, 5%, 10/15/33 8,347,900
Aa AA 29,700 Washington Public Power Supply System, Project 2, 4.8%, 7/1/04 28,487,052
Aaa AAA 16,340 Washington Public Power Supply System, Project 2, 5%, 7/1/09 15,111,232
NR NR 5,000 West Feliciana, Louisiana, PCR, Gulf States Utilities Company Project, (AMT),
9%, 5/1/15 5,619,600
-------------
90,164,892
-------------
HEALTH CARE -- 2.5%
NR NR 17,070 Bell County, Texas, Health Facilities, Care Institute Inc., 9%, 11/1/24 18,102,223
NR NR 5,000 Delaware County, Pennsylvania, Glen Riddle Project, 8.625%, 9/1/25 5,007,700
NR NR 5,460 Hillsborough County, Florida, IDA, Center for Independent Living, Tampa
Projects, 11%, 3/1/19 (4) 4,368,000
NR NR 4,650 Hillsborough County, Florida, IDA, Center for Independent Living, Tampa
Projects, 10.25%, 3/1/09 (4) 3,720,000
NR NR 18,740 Illinois Development Finance Authority, Care Institute Inc., 7.8%, 6/1/25 17,846,851
NR NR 7,915 Roseville, Minnesota, Elder Care Facility, Care Institute Inc., 7.75%, 11/1/23 7,960,828
-------------
57,005,602
-------------
HOSPITALS -- 11.2%
NR BBB 7,000 Arizona Health Facilities, Phoenix Memorial, 8.2%, 6/1/21 7,473,760
NR NR 2,450 Berlin, Maryland, Atlantic General, 8.375%, 6/1/22 2,590,703
Baa1 BBB+ 12,700 Butler County, Pennsylvania, Butler Memorial, 8%, 7/1/16 13,372,719
Baa NR 10,180 Chaves County, New Mexico, Eastern New Mexico Medical Center, 7.25%, 12/1/22 10,376,270
NR BBB+ 8,405 Christian County, Kentucky, Jennie Stuart Medical Center, 7.625%, 4/1/10 8,768,012
Baa BBB 35,000 Colorado Health Facilities, Rocky Mountain Adventist Healthcare, 6.625%,
2/1/22 34,082,650
NR BBB- 3,000 Colorado Health Facilities, National Jewish Center For Immunology and
Respiratory Medicine, 6.875%, 2/15/12 2,943,420
NR BBB- 5,015 Colorado Health Facilities, National Jewish Center For Immunology and
Respiratory Medicine, 7.1%, 2/15/22 4,869,213
Baa1 NR 4,000 Crossville, Tennessee, HEFA, Cumberland Medical Center, 6.75%, 11/1/12 4,051,080
Baa1 BBB 6,000 District of Columbia, Washington Hospital Center Issue -- Medlantic Healthcare
Group, Inc., 7.125%, 8/15/19 5,982,240
NR A- 5,000 Dubuque, Iowa, Finley Hospital Project, 6.875%, 1/1/12 5,234,550
NR NR 1,325 Grant County, New Mexico, Gila Regional Medical Center, 10%, 2/1/12 1,404,898
NR BBB- 5,720 Grove City Area Hospital Authority, Pennsylvania, United Community Hospital,
8.125%, 7/01/12 5,920,886
NR BBB- 4,000 Hawaii Department of Budget and Finance, Special Purpose Mortgage Revenue,
Wahiawa General Hospital, 7.5%, 7/1/12 4,118,080
NR NR 4,760 Health Services Authority of Hazelton, Luzerne County, Pennsylvania, Hazelton
-- Saint Joseph Medical Center, 8.375%, 7/1/12 4,921,078
NR BBB+ 4,650 Illinois, Chicago Osteopathic Health Systems, 7.125%, 5/15/11 4,795,778
NR BBB+ 4,500 Illinois, Chicago Osteopathic Health Systems, 7.25%, 5/15/22 4,615,245
Baa1 NR 1,000 Illinois HFA, Holy Cross Hospital, 6.7%, 3/1/14 1,000,660
Baa1 NR 2,650 Illinois HFA, Holy Cross Hospital, 6.75%, 3/1/24 2,623,341
Baa NR 4,500 Indiana Health Facility Financing Authority, Memorial Hospital and Health Care
Center, 7.4%, 3/1/22 4,618,440
Baa1 BBB+ 3,750 Louisiana Public Facilities Authority, Woman's Hospital Foundation, 7.25%,
10/1/22 3,824,325
Baa BB+ 10,000 Maricopa County, Arizona, Sun Health Corporation, 8.125%, 4/1/12 10,701,300
Baa NR 2,000 Marshall County, Alabama, Guntersville -- Arab Medical Center, 7%, 10/1/09 2,048,160
</TABLE>
8
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
HOSPITALS (CONTINUED)
Baa NR $ 2,000 Marshall County, Alabama, Guntersville -- Arab Medical Center, 7%, 10/1/13 $ 2,029,360
NR BBB 6,000 Midland County Hospital District, Memorial Hospital and Medical Center, 0%,
6/1/07 2,972,040
NR BBB 6,500 Midland County Hospital District, Memorial Hospital and Medical Center, 0%,
6/1/11 2,360,020
Ba NR 5,000 Mississippi Hospital Equipment and Facilities Authority, Magnolia Hospital,
7.375%, 10/1/21 4,962,800
NR BBB 5,340 Montgomery County, Ohio, Dayton Osteopathic Hospital, 6%, 12/1/12 4,956,268
Ba1 NR 3,090 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/13 3,112,279
Ba1 NR 2,000 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/14 2,011,620
Ba1 NR 3,465 Montgomery County, Pennsylvania, United Hospitals, Inc., 7.5%, 11/1/15 3,482,706
Baa NR 8,405 New Hampshire HEFA, Frisbie Memorial Hospital, 6.125%, 10/1/13 7,928,857
A BBB+ 10,000 Philadelphia, Pennsylvania, Albert Einstein Medical Center, 7%, 10/1/21 10,402,900
Baa1 BBB+ 9,000 Philadelphia, Pennsylvania, Graduate Health System Obligated Group, 6.625%,
7/1/21 8,829,900
Baa1 A- 9,250 Philadelphia, Pennsylvania, Temple University Hospital, 6.625%, 11/15/23 9,173,318
Baa NR 6,000 Prince George's County, Maryland, Greater Southeast Healthcare System, 6.375%,
1/1/23 5,444,700
Baa1 BBB+ 10,000 Randolph County Building Commission, West Virginia, Davis Memorial Hospital,
7.65%, 11/1/21 10,495,900
NR BB+ 8,000 Scranton -- Lackawanna Health and Welfare Authority, Pennsylvania, Moses
Taylor Hospital, 8.25%, 7/1/09 8,384,720
Baa BBB 8,000 South Dakota HEFA, Prairie Lakes Health Care System Issue, 7.25%, 4/1/22 8,148,160
NR NR 5,220 Vermont Educational and Health Buildings Financing Agency, Northwestern
Medical Center Project, 9.75%, 9/1/18 5,682,440
NR NR 4,950 Winslow, Arizona, IDA, Winslow Memorial Hospital, 9.5%, 6/1/22 5,444,406
-------------
256,159,202
-------------
LIFE CARE -- 8.4%
NR NR 8,616 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center
8.625%, 2/1/20 9,075,061
NR NR 7,000 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center
8.85%, 2/1/23 7,451,150
NR NR 5,744 Albuquerque, New Mexico, First Mortgage IDR, La Vida Llena Retirement Center
2.25%, 2/1/23 1,872,659
NR NR 10,000 Atlantic Beach, Florida, Fixed Rate Improvement, Fleet Landing Project, 8%,
10/1/24 10,455,200
NR NR 3,060 Chester County, Pennsylvania, Kimberton Project, (AMT), 8.5%, 9/1/25 3,066,946
NR NR 5,185 Collier County, IDA, Florida, Retirement Rental, Beverly Enterprises --
Florida, Inc., 10.75%, 3/1/03 6,088,590
NR NR 12,555 Dekalb Private Hospital, Georgia GF/Atlanta, 8.5%, 3/1/25 12,327,378
NR NR 4,320 Florence, Kentucky, Housing Facilities, Bluegrass RHF Housing, Inc., 9.5%,
7/1/17 4,582,440
NR NR 6,690 Fulton County Residential Care Facilities for the Elderly Authority, Georgia,
Lenbrook Square Foundation, Inc., 9.75%, 1/1/17 7,066,112
Baa1 NR 10,000 Indianapolis, Indiana, National Benevolent Association -- Robin Run Village,
7.625%, 10/1/22 10,466,600
NR NR 4,500 Kansas City, Missouri, IDA, Kingswood United Methodist Manor, 9%, 11/15/13 4,843,755
NR NR 2,100 Loudon County, Virginia, IDA, Residential Care, Falcons Landing, 9.25%, 7/1/04 2,252,964
NR NR 20,400 Loudon County, Virginia, IDA, Residential Care, Falcons Landing, 8.75%,
11/1/24 20,793,312
NR NR 18,545 Louisiana HFA -- HCC Assisted Living Group 1, 9%, 3/1/25 18,912,747
NR NR 1,950 New Hampshire Higher Educational & Health Facilities, Riverwoods at Exeter,
8%, 3/1/01 2,000,427
</TABLE>
9
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
LIFE CARE (CONTINUED)
NR NR $ 10,000 New Hampshire Higher Educational & Health Facilities, Riverwoods at Exeter,
9%, 3/1/23 $ 10,696,100
NR NR 3,500 New Jersey EDA, Cadbury Corporation -- 1991 Project, 7.5%, 7/1/21 3,432,975
NR NR 20,000 New Jersey EDA, Keswick Pines Project, 8.75%, 1/1/24 20,137,200
NR NR 10,000 New Jersey EDA, Forsgate Project, 8.625%, 6/1/25 9,763,200
NR NR 13,955 St Tammany Public Finance, Christwood Project, 9%, 11/15/25 13,739,116
NR NR 7,500 Vermont IDA, Wake Robin Corporation, 8.75%, 4/1/23 7,842,825
NR NR 4,500 Vermont IDA, Wake Robin Corporation, 8.75%, 3/1/23 4,840,605
-------------
191,707,362
-------------
NURSING HOME -- 6.7%
NR NR 13,680 Bell County, Texas, Riverside Healthcare, Inc. -- Normandy Terrace, 9%, 4/1/23 14,700,391
NR NR 5,500 Dauphin County IDA, Pennsylvania, Susquehanna Center Nursing Facility, 10%,
6/1/21 (4) 3,575,000
NR NR 5,000 Delaware County, Pennsylvania, Mainline -- Haverford Nursing and
Rehabilitation Centers, 9%, 8/1/22 5,442,150
NR NR 930 Jefferson County IDA, Missouri, Cedar Hills Retirement Village, 12%, 12/1/15 968,716
NR NR 3,750 Lackawanna County, Pennsylvania IDA, Edella Street Associates, 8.875%, 9/1/14 4,084,012
NR NR 3,445 Luzerne County, Pennsylvania, IDA, River Street Associates, 8.75%, 6/15/07 3,708,301
NR NR 6,455 Massachusetts HEFA, Fairview Extended Care Services, Inc., 10.125%, 1/1/11 7,041,437
NR NR 11,790 Mississippi Finance Corp., Magnolia Healthcare, 7.99%, 7/1/25 11,139,546
NR NR 6,750 Missouri HEFA, Bethesda Health Group of St. Louis, Inc., 6.625%, 8/15/05 6,761,340
NR NR 14,000 Missouri HEFA, Bethesda Health Group of St. Louis, Inc., 7.5%, 8/15/12 14,417,200
NR NR 12,500 Montgomery County, Pennsylvania, IDA, Advancement of Geriatric Health Care
Institute, 8.375%, 7/1/23 12,967,875
NR NR 5,000 New Jersey EDA, Claremont Health System, Inc., 9.10%, 9/1/22 5,280,600
NR NR 5,915 New Jersey EDA, Victoria Health Corporation, 7.75%, 1/1/24 5,927,067
NR NR 3,305 Okaloosa County, Florida, Beverly Enterprises -- Florida, Inc., 10.75%,
10/1/03 3,612,927
NR NR 3,500 Philadelphia, Pennsylvania, The Philadelphia Protestant Home Project, 8.625%,
7/1/21 3,559,255
Baa1 BBB 4,630 Racine County, Wisconsin, Health Center, 8.125%, 8/1/21 4,836,915
NR NR 5,000 Rhode Island Health and Education Building, Steere House, 8.25%, 7/1/15 5,276,050
NR NR 12,430 St. Paul, Minnesota, Housing and Redevelopment, Care Institute, Inc. --
Highland, 8.75%, 11/1/24 12,528,570
NR NR 5,000 Sussex County, Delaware, Delaware Health Corporation, 7.6%, 1/1/24 5,002,600
NR NR 5,000 Sussex County, Delaware, Delaware Health Corporation, 7.5%, 1/1/14 5,088,500
NR NR 4,500 Tarrant County Health Facilities, Texas, 3927 Foundation, Inc., 10.25%, 9/1/19 4,747,950
NR NR 1,805 Upshur County, West Virginia County Commission, Holbrook Nursing Home, Inc.,
10.25%, 4/1/12 1,878,120
NR NR 6,000 Westmoreland County, Pennsylvania, IDA, Highland Health System, Inc., 9.25%,
6/1/22 6,291,180
NR NR 3,605 Wood County, West Virginia, West Virginia Rehabilitation Services, Inc.,
(AMT), 9.5%, 12/1/15 3,857,206
-------------
152,692,908
-------------
SINGLE & MULTI-FAMILY HOUSING -- 3.1%
Aa AA- 9,850 California Housing Finance Agency, (AMT), "RIBS", Variable Rate, 8/1/23 (1) 9,997,750
NR NR 7,000 Chester County, Pennsylvania, IDB, Senior Life Choice of Paoli, L.P., 8.05%,
1/1/24 7,094,570
NR NR 9,500 Lake Creek Affordable Housing Corporation, Multifamily Housing, 8%, 12/1/23 9,624,165
NR NR 8,000 Los Angeles County Housing Authority, California, Multifamily Housing,
Corporate Fund for Housing Projects, 10.5%, 12/1/29 8,246,800
NR BBB+ 2,000 Massachusetts Housing Finance Authority, Multifamily, Harbor Point Revenue,
(AMT), 8%, 12/1/15 2,075,680
NR NR 3,345 Minneapolis Community Development, Multifamily, Lindsay Brothers, 9.5%,
12/1/07 3,466,892
NR NR 2,185 Minneapolis Community Development, Multifamily, Lindsay Brothers, 1.5%,
12/1/07 823,985
</TABLE>
10
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
SINGLE & MULTI-FAMILY HOUSING (CONTINUED)
NR NR $ 4,770 North Little Rock Residential Housing Facilities, Arkansas, Parkstone Place,
9.75%, 8/1/21 $ 4,994,238
NR NR 4,000 North Miami, Florida, Health Care Facilities, The Imperial Club, 8%, 1/1/13 3,651,160
NR NR 8,925 North Miami, Florida, Health Care Facilities, The Imperial Club, 9.25%, 1/1/13 9,533,863
NR NR 5,000 Village of North Syracuse Housing Authority, AJM Senior Housing, Inc., Janus
Park, 8%, 6/1/24 4,878,600
NR NR 5,800 Ridgeland, Mississippi, Urban Renewal, The Orchard Limited Project, 7.75%,
12/1/15 5,740,782
-------------
70,128,485
-------------
HOTELS -- 0.6%
NR NR 3,885 Chandler, Arizona, IDA, SMP II Limited Partner, Resort/Convention Center,
7.5%, 12/1/15 3,864,409
NR NR 1,929 Illinois Development Finance Authority, Comfort Inn -- O'Hare, 10%, 5/1/16 2,107,681
NR NR 1,068 Illinois Development Finance Authority, Comfort Inn -- O'Hare, 2.5%, 5/1/16 373,194
NR NR 1,025 Kirksville, Missouri, IDA, Holiday Inn, 10.5%, 7/1/03 (4) 563,750
NR NR 3,615 Kirksville, Missouri, IDA, Holiday Inn, 11%, 7/1/16 (4) 1,988,250
NR NR 4,205 Niagara County, New York, IDA, Wintergarden Inn Associate, 9.75%, 6/1/11 (4) 2,312,750
NR NR 1,795 Orange Beach, Alabama, Romar Hotels, Inc., 10.5%, 4/1/16 1,901,156
-------------
13,111,190
-------------
GENERAL OBLIGATIONS -- 0.5%
A1 A 14,500 California, 4.75%, 9/1/23 11,848,095
-------------
LEASE/CERTIFICATES OF PARTICIPATION -- 1.0%
A A 16,500 Indiana Transportation Finance, Airport Facilities, 6.25%, 11/1/16 16,422,450
NR A- 3,500 Plymouth County, Massachusetts, COP, Plymouth County Correctional Facility,
7%, 4/1/22 3,753,015
NR NR 2,500 St. Louis, Missouri, Convention and Sports Facility, 7.9%, 8/15/21 2,741,875
-------------
22,917,340
-------------
TRANSPORTATION -- 14.4%
Baa2 BB+ 28,000 Chicago, Illinois, O'Hare International, American Airlines, (AMT), 7.875%,
11/1/25 30,009,560
Baa2 BB+ 20,275 Chicago, Illinois, O'Hare International, American Airlines, 8.2%, 12/1/24 23,277,322
Baa2 BB+ 41,000 Dallas-Fort Worth, Texas, International Airport Facility, American Airlines,
(AMT), 7.25%, 11/1/30 42,995,880
Baa BB 8,000 Denver, Colorado, Airport System Revenue, (AMT), 7%, 11/15/25 8,086,160
Baa BB 7,800 Denver, Colorado, Airport System Revenue, (AMT), 8%, 11/15/17 8,391,708
Baa BB 5,725 Denver, Colorado, Airport System Revenue, (AMT), 7.5%, 11/15/23 6,111,724
Baa3 BB 95,500 Denver, Colorado, United Airlines, (AMT), 6.875%, 10/1/32 96,293,605
A A- 5,000 Hawaii Airports, (AMT), 7%, 7/1/18 5,255,200
NR NR 2,200 Los Angeles International Airport, Continental Airlines, (AMT), 9%, 8/1/08 2,420,154
NR NR 4,425 Los Angeles International Airport, Continental Airlines, (AMT), 9%, 8/1/17 4,740,237
NR BBB 900 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/02 633,987
NR BBB 4,000 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/03 2,702,240
NR BBB 2,940 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/04 1,838,235
NR BBB 2,905 New York State Thruway Authority, Cross -- Westchester Expressway, 0%, 1/1/06 1,596,965
A1 AA- 15,000 Port Authority of New York and New Jersey, (AMT), Variable Rate, 1/15/27 (1) 15,537,300
B2 NR 11,000 Port Authority of New York and New Jersey, La Guardia Airport, Continental and
Eastern Airlines, (AMT), 9.125%, 12/1/15 12,412,620
A1 AA- 5,000 Port of Seattle, Washington, (AMT), 6%, 12/1/14 5,001,650
NR NR 35,100 San Joaquin Hills, California, Toll Roads, 0%, 1/1/17 8,098,272
NR NR 25,000 San Joaquin Hills, California, Toll Roads, 0%, 1/1/18 5,383,250
NR NR 46,210 San Joaquin Hills, California, Toll Roads, 0%, 1/1/20 8,668,072
NR NR 72,685 San Joaquin Hills, California, Toll Roads, 0%, 1/1/21 12,724,963
</TABLE>
11
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
TRANSPORTATION (CONTINUED)
NR NR $ 29,225 San Joaquin Hills, California, Toll Roads, 0%, 1/1/22 $ 4,775,365
NR NR 45,045 San Joaquin Hills, California, Toll Roads, 0%, 1/1/23 6,869,363
NR NR 108,260 San Joaquin Hills, California, Toll Roads, 0%, 1/1/24 15,409,728
-------------
329,233,560
-------------
WATER & SEWER -- 0.6%
A A- 10,000 New York City Municipal Water Finance Authority, 6.25%, 6/15/21 10,065,500
Baa BBB 4,000 Philadelphia, Pennsylvania, Municipal Water Finance Authority, 7%, 8/1/18 4,473,320
-------------
14,538,820
-------------
SOLID WASTE -- 2.7%
Baa2 BBB+ 6,050 Carbon County, Utah, Laidlaw, (AMT), 7.5%, 2/1/10 6,466,603
NR A- 2,625 Eastern Connecticut, Resource Recovery, Wheelabrator, 5.5%, 1/1/14 2,382,923
NR A- 11,495 Eastern Connecticut, Resource Recovery, Wheelabrator, 5.5%, 1/1/20 10,306,187
Ba NR 2,000 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/14 533,040
Ba NR 5,000 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/15 1,240,650
Ba NR 10,000 Mercer County, New Jersey, Improvement Authority, (AMT), 0%, 4/1/16 2,310,100
NR NR 35,000 Village of Robbins, Cook County, Illinois, Robbins Resource Recovery Partners,
L.P., 9.25%, 10/15/16 38,525,200
-------------
61,764,703
-------------
COGENERATION FACILITIES -- 3.3%
NR NR 14,000 Maryland Energy, AES Warrior Run Project, (AMT), 7.4%, 9/1/19 14,411,740
NR NR 21,150 New Jersey EDA, Vineland Cogeneration Limited Partnership Project, (AMT),
7.875%, 6/1/19 23,738,155
NR NR 2,300 Palm Beach County, Florida, Solid Waste IDR, Osceola Power Limited Partnership
Project, (AMT), 6.95%, 1/1/22 2,294,135
NR NR 7,000 Pennsylvania EDA, Northampton Generating Project, Junior Leins, (AMT), 6.875%,
1/1/11 6,777,750
NR NR 13,450 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.6%, 1/1/19 12,760,822
NR NR 5,100 Pennsylvania EDA, Northampton Generating Project, (AMT), 6.5%, 1/1/13 4,955,364
NR NR 10,000 Pennsylvania EDA, Colver Project, (AMT), 8.05%, 12/1/15 10,371,200
-------------
75,309,166
-------------
INDUSTRIALS -- 10.4%
Baa2 NR 3,000 Camden, Alabama, IDB, MacMillan Bloedel Project, 7.75%, 5/1/09 3,191,250
NR NR 4,325 College Park, Georgia, Airport Parking Venture, 10%, 5/15/16 3,892,500
Baa1 BBB 24,000 Courtland, Alabama, IDB, Champion International Corporation, (AMT), 7%, 6/1/22 24,943,920
Baa1 BBB 20,245 Courtland, Alabama, IDB, Champion International Corporation, (AMT), 6.375%,
3/1/29 19,792,119
NR NR 8,040 East Chicago, Indiana, PCR, Inland Steel Company Project #9, (AMT), 10%,
11/1/11 8,679,743
Baa1 BBB 19,000 Gulf Coast Waste Disposal, Texas, Champion International Corporation, (AMT),
6.875%, 12/1/28 19,621,680
NR NR 6,000 Gwinnett County, Georgia, IDR, Plastics/Packaging, Inc., (AMT), 9.00%, 5/1/13 6,000,000
Baa1 BBB- 10,000 Maine Finance Authority, Great Northern Paper, Inc., Project -- Bowater
Incorporated, (AMT), 7.75%, 10/1/22 10,687,400
NR BB+ 5,000 Maine Solid Waste Disposal, Boise Cascade Corporation, (AMT), 7.9%, 6/1/15 5,295,600
NR NR 1,765 Massachusetts Industrial Finance Agency, IDR, Boston Beer Company, (AMT),
11.5%, 7/15/07 2,015,348
Baa1 BBB- 5,000 McMinn County, Tennessee, IDB, Calhoun Newsprint Company Project -- Bowater
Incorporated, (AMT), 7.4%, 12/1/22 5,302,750
NR NR 10,000 Michigan Strategic, S.D. Warren Co., Series 87A, (AMT), 7.375%, 1/15/22 10,235,500
NR NR 15,000 Michigan Strategic, S.D. Warren Co., Series 87B, (AMT), 7.375%, 1/15/22 15,353,250
NR NR 2,500 Michigan Strategic, S.D. Warren Co., Series 87C, (AMT), 7.375%, 1/15/22 2,559,425
</TABLE>
12
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
INDUSTRIALS (CONTINUED)
Baa1 BBB $ 4,370 Middleboro, Massachusetts, IDR, Read Corporation, 9.5%, 10/1/10 $ 3,714,500
Baa2 BBB- 7,500 Pennsylvania, EDA, MacMillan Bloedel Project, (AMT), 7.6%, 12/1/20 8,177,925
Baa1 BBB+ 10,000 Pennsylvania, EDA, Sun Company, Inc. (R&M), (AMT), 7.6%, 12/1/24 10,911,100
Baa3 BBB- 12,000 Port of Corpus Christi, Texas, Valero Refining & Marketing Company, 10.25%,
6/1/17 13,492,920
NR NR 2,695 Savannah, Georgia, IDR, Intercat -- Savannah, Inc., (AMT), 9.75%, 7/1/10 2,896,936
NR NR 4,000 Savannah, Georgia, IDR, Intercat -- Savannah, Inc., (AMT), 9%, 1/1/15 4,278,600
A1 AA- 61,120 Valdez, Alaska, Marine Terminal, BP Pipelines, Inc., 5.5%, 10/1/28 (3) 55,694,378
-------------
236,736,844
-------------
INSURED UTILITY REVENUE BONDS -- 5.2%
Aaa AAA 20,000 Intermountain Power Agency, (MBIA) Utah, 6%, 7/1/16 (2) 19,224,000
Aaa AAA 10,000 Puerto Rico Telephone Authority, (MBIA), Variable Rate, 1/25/07 (1) 9,962,500
Aaa AAA 16,500 Sacramento, California, Municipal Utility District, (MBIA), Variable Rate
11/15/15 (1) 14,870,625
Aaa AAA 21,000 Sacramento, California, Municipal Utility District, (MBIA), 4.75%, 9/1/21 (3) 17,617,320
Aaa AAA 49,245 South Carolina Public Services, Forwards, Series 96A, (MBIA), 5.75%, 1/1/22
(2) 46,506,486
Aaa AAA 15,350 South Carolina Public Services, "RIBS", (FGIC), Variable Rate, 1/1/25 (1) 10,572,312
-------------
118,753,243
-------------
INSURED TRANSPORTATION -- 1.8%
Aaa AAA 14,400 Metropolitan Washington Airports Authority, (MBIA), Variable Rate, 4/1/21 (1) 12,510,000
Aaa AAA 18,200 Mobile, Alabama, Airport Authority, (MBIA), 6.375%, 10/1/14 (3) 19,056,128
Aaa AAA 10,000 Triborough Bridge and Tunnel Authority, "Rites", (MBIA), Variable Rate, 1/1/19
(1) 10,110,100
-------------
41,676,228
-------------
INSURED HOSPITAL -- 0.8%
Aaa AAA 10,000 Louisville, Kentucky, Alliant Health System, Inc., (MBIA), Variable Rate,
10/1/14 (1) 11,000,000
Aaa AAA 7,000 Montgomery County, Pennsylvania, Abington Memorial Hospital, (AMBAC), Variable
Rate, 6/1/11 (1) 7,931,980
-------------
18,931,980
-------------
INSURED SPECIAL TAX REVENUE -- 5.6%
Aaa AAA 20,000 Los Angeles County (California), Metropolitan Transportation, (AMBAC), 4.75%,
7/1/18 16,960,600
Aaa AAA 92,995 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place
Expansion Project, (MBIA), 0%, 6/15/28 12,225,123
Aaa AAA 92,995 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place
Expansion Project, (FGIC), 0%, 6/15/29 11,489,532
Aaa AAA 9,800 Metropolitan Pier and Exposition Authority, Illinois, McCormick Place
Expansion Project, (MBIA), "RIBS", Variable Rate, 6/15/27 (1) 9,114,000
Aaa AAA 3,415 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%,
12/1/12 1,227,078
Aaa AAA 10,935 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%,
12/1/15 3,190,833
Aaa AAA 10,000 New Orleans Regional Transit Authority, Louisiana, Sales Tax, (FGIC), 0%,
12/1/21 1,982,200
Aaa AAA 21,655 Rancho Mirage, California, Water District Financing, (AMBAC), 4.75%, 8/15/21 18,168,978
Aaa AAA 13,350 Rancho Mirage, California, Whitewater Redevelopment Project, (MBIA), 5%,
4/1/24 11,635,459
Aaa AAA 40,000 South Orange, California, Public Financing, Foothill Area, (FGIC), 5.5%,
8/15/15 (3) 36,909,200
Aaa AAA 7,000 Utah Municipal Finance Corporation, Local Government Revenue, (FSA), 0%,
3/1/10 2,975,700
Aaa AAA 6,000 Utah Municipal Finance Corporation, Local Government Revenue, (FSA), 0%,
3/1/11 2,385,840
-------------
128,264,543
-------------
INSURED INDUSTRIALS -- 0.4%
Aaa AAA 11,950 Chicago, Illinois, The Peoples Gas Light and Coke Company, (AMBAC), "RIBS",
(AMT), Variable Rate, 12/1/23 (1) 10,217,250
-------------
</TABLE>
13
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
INSURED HOUSING -- 0.4%
Aaa AAA $ 7,525 SCA Multifamily Mortgage, IDB, Hamilton County, Tennessee, (FSA) (AMT), 7.35%
1/1/30 $ 8,057,845
-------------
INSURED GENERAL OBLIGATIONS STATE & SCHOOL DISTRICT -- 0.9%
Aaa AAA 10,000 California General Obligation, (FSA), 4.75%, 9/1/18 8,475,500
Aaa AAA 15,000 California General Obligation, (FGIC), 4.75%, 9/1/23 12,509,250
-------------
20,984,750
-------------
INSURED WATER & SEWER -- 0.9%
Aaa AAA 10,300 Harrisburg, Pennsylvania, Water Revenue Bonds, (FGIC), Variable, 8/11/16 9,447,572
Aaa AAA 10,000 New York City Municipal Water Finance Authority, (FSA), Variable Rate, 6/15/21
(1) 10,075,000
-------------
19,522,572
-------------
REFUNDED & ESCROWED -- 9.7%
NR AAA 65,000 Bakersfield, California, Bakersfield Assisted Living Center, 0%, 4/15/21 11,924,250
NR NR 2,200 Bexar County, Texas, Health Facilities, St. Luke's Lutheran, 7%, 5/1/21 2,501,422
NR AAA 177,055 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/24 24,484,936
NR AAA 27,870 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/20 5,159,016
Aaa NR 29,600 Colorado HFA, Retirement Housing, Liberty Heights Project, 0%, 7/15/22 4,745,176
Ba1 BBB 10,000 Detroit, Michigan, Unlimited Tax, 8.7%, 4/1/10 11,823,200
Ba1 BBB 3,500 Detroit, Michigan, Unlimited Tax, Series 1991, 8%, 4/1/11 4,111,275
NR NR 7,000 Florida, Mid-Bay Bridge Authority Revenue Bonds, 6.875%, 10/1/22 7,864,570
NR NR 1,820 Hyland Hills Park and Recreation District, Adams County, Colorado, 9.75%,
7/1/01 1,856,400
NR NR 2,430 Hyland Hills Park and Recreation District, Adams County, Colorado, 9.9%,
7/1/04 2,573,297
NR NR 1,615 Hyland Hills Park and Recreation District, Adams County, Colorado, 10%, 7/1/06 1,711,690
NR AAA 30,360 Illinois Development Finance Authority, Regency Park at Lincolnwood, 0%,
7/15/25 3,897,313
NR AAA 186,555 Illinois Development Finance Authority, Regency Park at Lincolnwood, 0%,
7/15/23 27,781,770
NR AAA 4,000 Jackson County, Oklahoma, Jackson County Memorial Hospital, 9%, 8/1/15 4,420,640
NR AAA 12,750 Louisiana Public Facilities Authority, Southern Baptist Hospitals, Inc., 8%,
5/15/12 15,393,075
Aaa NR 138,000 Mississippi Housing Finance Corporation, Single Family Mortgage, 0%, 6/1/15 41,157,120
Aaa NR 6,130 North Salt Lake Municipal Building Authority, Davis County, Utah, 8.625%,
12/1/17 7,617,690
NR NR 8,885 Scottsdale IDA, Arizona, Westminster Village, Inc., 10%, 6/1/07 9,982,831
Aaa AAA 19,165 Texas Turnpike Authority, Houston Ship Channel Bridge, 0%, 1/1/20 26,769,672
Aaa AAA 2,675 Washington Public Power Supply System, Nuclear Project No. 1, 14.375%, 7/1/01 3,927,167
NR BBB- 1,000 West Virginia HFA, Logan General Hospital, 8.625%, 4/1/01 1,042,720
NR BBB- 1,750 West Virginia HFA, Logan General Hospital, 8.75%, 4/1/13 1,825,845
-------------
222,571,075
-------------
COLLEGES & UNIVERSITIES -- 0.4%
NR BBB- 3,300 Massachusetts Health and Educational Facilities, Nichols College, 7%, 10/1/20 3,381,048
NR NR 4,415 New Hampshire Higher Educational and Health, Franklin Pierce Law Center, 7.5%,
7/1/22 4,690,452
-------------
8,071,500
-------------
TAX ALLOCATION -- 0.2%
Baa BBB 3,870 Inglewood, California Public Financing Authority, In-Town, Manchester-Prairie
and North Inglewood Industrial Park Redevelopment Projects -- Redevelopment
Loans, 7%, 5/1/22 3,959,745
-------------
SPECIAL ASSESSMENT -- 0.8%
A BBB 8,000 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/05 4,630,720
A BBB 11,000 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/06 5,929,330
A BBB 17,460 Hoffman Estates, Illinois, Economic Development Project Area, 0%, 5/15/07 8,740,651
-------------
19,300,701
-------------
</TABLE>
14
<PAGE>
NATIONAL MUNICIPALS PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED) PRINCIPAL
- -------------------- AMOUNT
STANDARD (000
MOODY'S & POOR'S OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
MISCELLANEOUS -- 3.5%
NR NR $ 6,805 American Samoa Economic Development, Executive Office Building, 10.125%,
9/1/08 $ 7,677,129
NR NR 11,500 Harris County, Texas, Space Center Houston Project, 9.25%, 8/15/15 (5) 3,450,000
NR A- 16,500 Los Angeles Regional Airports Improvement Corporation, LAXFuel, (AMT), 6.5%,
1/1/32 16,204,650
NR NR 4,710 Mille Lacs Capital Improvements, Mille Lacs Band of Chippewa Indians, 9.25%,
11/1/12 5,198,898
NR NR 22,500 New Jersey, Sports & Exhibition Authority, Monmouth Park Project, 8%, 1/1/25 24,552,675
NR NR 10,200 Orange County Community Activity Center Revenue Bonds, 8%, 3/1/24 10,374,420
NR NR 19,500 Retama, Texas, Special Facilities Revenue, Retama Race Track, 8.75%, 12/15/18
(5) 11,700,000
-------------
79,157,772
-------------
TOTAL TAX-EXEMPT INVESTMENTS
(IDENTIFIED COST, $2,147,410,455) 2,282,787,373
TAXABLE INVESTMENT -- 0.04%
NR NR 935 Ridgeland, Mississippi, Urban Renewal, The Orchard Limited Project, 9%,
12/1/00 (identified cost, $935,000) 932,663
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST, $2,148,345,455) $2,283,720,036
-------------
-------------
</TABLE>
(1)The above designated securities have been issued as inverse floater bonds.
(2)When-issued security.
(3)Security has been segregated to cover when-issued securities.
(4)Non-income producing security.
(5)The Portfolio is accruing only partial interest on this security.
(6) At September 30, 1995, the concentration of the Portfolio's investments in
the various states, determined as a percentage of total investments is as
follows:
California -- 12.1%
The Portfolio invests primarily in debt securities issued by municipalities. The
ability of the issuers of the debt securities to meet their obligations may be
affected by economic developments in a specific industry or municipality. In
order to reduce the risk associated with such economic developments, at
September 30, 1995, 16.0% of the securities in the portfolio of investments are
backed by bond insurance of various financial guaranty assurance agencies. The
aggregate percentage by financial institution ranges from 1.4% to 9.1% of total
investments.
Note: The classification of securities by industry sector set forth above is
unaudited.
See notes to financial statements
15
<PAGE>
- ---------------------------------------------------------------
PORTFOLIO OF INVESTMENTS September 30, 1995
CALIFORNIA TAX FREE PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS -- 100%
COGENERATION -- 3.4%
NR BBB- $ 2,985 Central Valley Financing Authority, Carson Ice-Gen Project, 6.20%, 7/1/20 $ 2,914,584
NR BBB- 10,900 Sacramento Cogeneration Authority, Procter & Gamble Project, 6.50%, 7/1/21 10,987,636
-----------
13,902,220
-----------
ESCROWED TO MATURITY -- 16.2%
NR NR 130 City of Commerce Joint Powers Financing Authority, 8.00%, 3/1/22 153,456
NR BBB 2,000 City of Rancho Mirage Joint Powers Financing Authority, Civic Center, 7.50%,
4/1/17 2,320,380
Aaa AAA 8,000 County of Sacramento, SFMRB (GNMA), (AMT), 8.125%, 7/1/16 (2) 9,771,840
Aaa AAA 6,000 County of Sacramento, SFMRB (GNMA), (AMT), 8.25%, 1/1/21 (2) 7,790,400
Aaa AAA 14,285 County of Sacramento, SFMRB (GNMA), (AMT), 8.50%, 11/1/16 (2) 18,319,941
Aaa AAA 3,000 City and County of San Francisco Sewer System Secondary "RITES", (AMBAC),
Variable, 10/1/21 (1) 3,604,680
Baa1 A- 2,375 City of San Luis Obispo, Capital Improvement Board, 8.25%, 6/1/06 2,489,523
NR BBB 1,575 Fontana Public Financing Authority, North Fontana Redevelopment Project, 7.75%,
12/1/20 1,871,462
Aaa AAA 6,400 Port of Oakland, (BIGI), 0%, 11/1/05 3,784,960
NR NR 3,200 Oceanside California Community Development Commission, 8.40%, 6/1/18 3,357,408
NR NR 3,000 Poway Redevelopment Agency, Paguay Redevelopment Project, 7.75%, 12/15/21 3,567,420
NR BBB+ 1,000 City of Upland Police Building Construction, 8.20%, 8/1/16 1,054,870
NR NR 4,000 Huntington Beach Public Financing Authority, Huntington Beach Redevelopment
Projects, 8.375%, 5/1/18 4,472,080
NR NR 2,975 Sacramento -- Yolo Port District Port Facilities, 8.30%, 12/1/03 3,286,125
-----------
65,844,545
-----------
GENERAL OBLIGATIONS -- 1.9%
Baa1 A 3,000 Puerto Rico, 6.50%, 7/1/23 3,131,640
AA Aa 5,000 East Bay Municipal Utilities District, Wastewater System, 5.00%, 4/1/15 4,435,100
-----------
7,566,740
-----------
HOSPITALS -- 1.1%
NR BBB+ 2,700 City of Stockton, Dameron Hospital Association, 8.30%, 12/1/14 2,854,818
NR A 1,500 Woodland, Memorial Hospital, 8.20%, 8/1/15 1,610,175
-----------
4,464,993
-----------
HOUSING -- 8.6%
Aa AA- 3,770 California Housing Finance Agency (HFA), (AMT), 7.375%, 8/1/11 3,923,288
Aa AA- 800 California HFA, 7.375%, 8/1/17 855,792
Aa AA- 5,000 California HFA, (AMT), 7.40%, 8/1/26 5,381,050
Aa AA- 3,875 California HFA, (AMT), (FHA), 7.50%, 8/1/25 4,150,513
Aa AA- 8,185 California HFA, (AMT), (FHA), 7.65%, 8/1/23 8,549,724
Aa AA- 2,500 California HFA, 8.10%, 8/1/16 2,571,800
Aa AA- 2,500 California HFA, 8.20%, 8/1/17 2,596,875
Aa AA- 1,325 California HFA, (AMT), 8.60%, 8/1/19 1,394,165
Aa3 NR 60 California HFA, 9.875%, 8/1/10 61,343
A NR 845 The Housing Authority of the County of Los Angeles, 7.875%, 8/1/16 874,541
NR NR 2,000 The Housing Authority of the County of Los Angeles, 10.50%, 12/1/29 2,061,700
NR A+ 2,050 City of Oakland, California HFA, 7.10%, 1/1/10 2,086,716
NR AAA 495 County of Riverside, California HFA, (GNMA), (AMT), 6.85%, 10/1/16 526,452
-----------
35,033,959
-----------
</TABLE>
16
<PAGE>
CALIFORNIA TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
INSURED EDUCATION -- 1.0%
Aaa AAA $ 3,330 Regents of the University of California, (MBIA), 4.75%, 9/1/21 $ 2,770,826
Aaa AAA 1,500 Regents of the University of California, (AMBAC), 4.875%, 9/1/19 1,280,340
-----------
4,051,166
-----------
INSURED GENERAL OBLIGATION -- 0.3%
Aaa AAA 4,700 Roseville Unified High School District, (FGIC), 0%, 6/1/20 1,032,919
-----------
INSURED HOUSING -- 0.2%
Aaa AAA 720 California HFA, (MBIA), (AMT), 7.00%, 8/1/23 752,177
-----------
INSURED HOSPITALS -- 1.1%
Aaa AAA 5,250 Anaheim Memorial Hospital, (AMBAC), 5.125%, 5/15/20 4,547,813
-----------
INSURED LEASE REVENUE/CERTIFICATE OF PARTICIPATION -- 4.3%
Aaa AAA 3,300 California Statewide Communities Development Authority, Motion Picture and
Television Fund, (AMBAC), 5.68%, 1/1/24 3,052,401
Aaa AAA 7,700 Moulton Niguel Water District, (AMBAC), 4.80%, 9/1/17 6,548,003
Aaa AAA 4,350 Stockton, California Wastewater Treatment Plant, (FGIC), 6.80%, 9/1/24 4,701,350
Aaa AAA 13,985 Visalia Unified School District, (MBIA), 0%, 12/1/17 3,206,201
-----------
17,507,955
-----------
INSURED TAX ALLOCATION -- 1.0%
Aaa AAA 4,850 City of San Jose Redevelopment Agency, (MBIA), 4.75%, 8/1/24 4,000,086
-----------
INSURED TRANSPORTATION -- 3.1%
Aaa AAA 10,000 Port of Oakland, (AMT), (BIGI), 0%, 11/1/19 1,734,500
Aaa AAA 10,000 Airports Commission City and County of San Francisco, San Francisco
International Airport, (MBIA), 6.75%, 5/1/13 10,807,200
-----------
12,541,700
-----------
INSURED UTILITIES -- 8.8%
Aaa AAA 5,700 Anaheim Public Financing Authority, Anaheim Electric Utility, (FGIC), 5.75%,
10/1/22 5,444,754
Aaa AAA 8,000 Northern California Power Agency "RIBS," (MBIA), Variable, 9/2/25 (1) 8,640,960
Aaa AAA 3,500 Sacramento Municipal Utilities District, (MBIA), 6.375%, 8/15/22 3,627,820
Aaa AAA 4,000 Southern California Public Power Authority, (FGIC), Variable, 7/1/12 4,000,000
Aaa AAA 6,915 Southern California Public Power Authority, (MBIA), 5.00%, 1/1/20 6,044,747
Aaa AAA 2,750 Southern California Public Power Authority, (MBIA), 5.50%, 7/1/20 2,576,970
Aaa AAA 5,750 Southern California Public Power Authority, (MBIA), 5.75%, 7/1/21 5,569,393
-----------
35,904,644
-----------
INSURED WATER & SEWER -- 2.7%
Aaa AAA 5,000 East Bay Municipal Utility District "Yield Curve Notes," (MBIA), Variable,
6/1/08 (1) 4,799,800
Aaa AAA 3,430 San Buenaventura Water District, (AMBAC), 4.75%, 10/1/13 2,965,441
Aaa AAA 3,000 San Diego County Water Authority, "RITES," (FGIC), Variable, 4/22/09 (1) 3,074,790
-----------
10,840,031
-----------
LEASE REVENUE/CERTIFICATES OF PARTICIPATION -- 22.6%
A1 AA- 2,945 City of Beverly Hills, 6.75%, 6/1/19 3,026,606
A1 A- 3,140 California State Public Works Board, Various Community College Projects,
5.625%, 12/1/18 2,879,694
A1 A- 7,485 California State Public Works Board, Various University of California Projects,
5.00%, 6/1/23 6,209,107
A1 A- 3,000 California State Public Works Board, Various University of California Projects,
5.50%, 6/1/10 2,866,080
A1 A- 8,000 California State Public Works Board, Various University of California Projects,
5.50%, 6/1/14 7,376,800
A A- 2,800 California State Public Works Board, California State Prison -- Susanville,
5.375%, 6/1/12 2,586,500
</TABLE>
17
<PAGE>
CALIFORNIA TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
LEASE REVENUE/CERTIFICATES OF PARTICIPATION (CONTINUED)
A A- $ 3,500 California State Public Works Board, California State Prison -- Susanville,
5.375%, 6/1/18 $ 3,107,965
A1 A- 5,000 California State Public Works Board, Various University of California Projects,
5.25%, 6/1/20 4,369,250
A1 A- 14,025 California State Public Works Board, Various University of California Projects,
5.50%, 6/1/19 12,717,029
NR A 4,150 California Statewide Community Development Authority, Eskaton Health
Facilities, 5.875%, 5/1/20 3,862,322
A BBB 2,750 City of Inglewood, California, Civic Center Improvement Project, 7.00%, 8/1/19 2,841,438
A A- 5,115 County of Los Angeles, Disney Parking Project, 0%, 3/1/16 1,217,114
A A- 1,925 County of Los Angeles, Disney Parking Project, 0%, 3/1/17 426,927
A A- 5,370 County of Los Angeles, Disney Parking Project, 0%, 3/1/18 1,110,086
A A- 3,100 County of Los Angeles, Disney Parking Project, 0%, 3/1/20 550,188
A A- 5,000 County of Los Angeles, Disney Parking Project, 0%, 9/1/17 1,070,600
A A- 1,000 County of Los Angeles, Disney Parking Project, 6.50%, 3/1/23 992,330
NR NR 14,000 County of Los Angeles, Capital Asset Leasing Corporation, Marina del Rey,
6.50%, 7/1/08 13,725,460
Aa AA 4,305 County of Orange Water District, 5.00%, 8/15/18 3,668,376
A1 A+ 4,000 Pasadena Parking Facility Project, 6.25%, 1/1/18 4,111,480
NR A- 2,360 Richmond Joint Powers Financing Authority, 7.00%, 5/15/07 2,532,091
Aa A+ 4,000 City of Sacramento Financing Authority, 5.40%, 11/1/20 3,666,440
Aa NR 6,000 University of California at Los Angeles Chiller/Cogeneration Project, 5.60%,
11/1/20 5,537,460
NR BBB 1,000 Watsonville Mammoth Lakes, 7.875%, 6/1/11 1,072,130
-----------
91,523,473
-----------
NURSING HOMES -- 0.8%
NR NR 3,250 Banning, San Georgonio Pass Convalescent Hospital, (AMT), 9.50%, 12/1/11 3,381,365
-----------
SOLID WASTE -- 0.6%
Baa1 NR 2,350 Mojave Desert and Mountain Solid Waste Joint Powers Authority, (AMT), 7.875%,
6/1/20 2,569,396
-----------
SPECIAL TAX -- 4.9%
NR NR 2,100 City of Fairfield, Green Valley Road -- Mangels Boulevard Extension Assessment
District, 7.375%, 9/2/18 2,147,880
NR NR 970 City of Fairfield, Green Valley Road -- Mangels Boulevard Extension Assessment
District, 8.00%, 9/2/11 999,876
NR NR 3,000 Lincoln Unified School District, 7.625%, 9/1/21 3,128,730
Baa NR 10,800 Pleasanton Joint Powers Financing Authority, 6.15%, 9/2/12 10,654,200
NR NR 3,000 County of Riverside Community Facilities District, 7.55%, 9/1/17 3,053,790
-----------
19,984,476
-----------
TAX ALLOCATION -- 9.0%
NR NR 2,945 City of Commerce Joint Powers Financing Authority, 8.00%, 3/1/22 3,110,951
NR BBB 5,000 County of Contra Costa Public Financing Authority, 7.10%, 8/1/22 5,134,300
NR BBB 3,910 Fontana Public Financing Authority, Downtown Redevelopment Project, 7.00%,
9/1/21 3,952,111
NR BBB 8,220 Fontana Redevelopment Agency, Jurupa Hills Redevelopment Project Area, 7.00%,
10/1/14 8,351,191
NR BBB 2,500 City of Pittsburg Redevelopment Agency, 7.40%, 8/15/20 2,614,900
NR BBB 600 City of Rancho Mirage Joint Powers Financing Authority, 7.50%, 4/1/17 632,592
NR BBB 2,500 County of Riverside Redevelopment Agency, 7.50%, 10/1/26 2,619,025
NR BBB 5,605 San Carlos Redevelopment Agency, 7.10%, 9/1/17 5,777,185
</TABLE>
18
<PAGE>
CALIFORNIA TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
TAX ALLOCATION (CONTINUED)
NR NR $ 1,400 City of Simi Valley Community Development Agency, 8.20%, 9/1/12 $ 1,419,852
Baa1 BBB+ 3,000 Westminster Redevelopment Agency, 7.30%, 8/1/21 3,107,820
-----------
36,719,927
-----------
TRANSPORTATION -- 5.8%
NR BBB 3,050 Guam Airport Authority, (AMT), 6.70%, 10/1/23 3,056,558
Aa AA- 2,000 City of Long Beach Harbor Revenue Bonds, (AMT), 7.25%, 5/15/19 2,154,720
A1 A- 1,400 County of Orange, California Airport Revenue Bonds, 8.125%, 7/1/16 1,449,294
NR NR 12,000 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds,
(Fitch: rated BBB), 0%, 1/1/14 3,481,440
NR NR 5,765 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds,
(Fitch: rated BBB), 0%, 1/1/26 721,778
NR NR 35,975 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds,
(Fitch: rated BBB), 0%, 1/1/27 4,205,117
NR NR 4,940 San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Bonds,
(Fitch: rated BBB), 7.00%, 1/1/30 5,074,368
Baa1 BBB 1,500 Stockton Port District, 7.95%, 1/1/05 1,598,940
Baa1 BBB 1,500 Stockton Port District, 8.10%, 1/1/14 1,611,510
-----------
23,353,725
-----------
UTILITIES -- 1.7%
Aa AA- 7,070 Southern California Public Power Authority, 0%, 7/1/15 2,109,829
Aa AA- 3,425 Southern California Public Power Authority, 5.50%, 7/1/20 3,176,277
Aa AA 1,490 Southern California Public Power Authority, 6.875%, 7/1/15 1,530,170
-----------
6,816,276
-----------
WATER & SEWER -- 0.9%
NR BBB 3,190 Orange Cove Irrigation District, 6.625%, 2/1/17 3,232,905
Aa AA- 515 City of Pasadena, Water Revenue Bonds, 5.00%, 7/1/18 449,760
-----------
3,682,665
-----------
TOTAL TAX-EXEMPT INVESTMENTS
(IDENTIFIED COST $381,719,158) $406,022,257
-----------
-----------
</TABLE>
(1)The above designated securities have been issued as inverse floater bonds.
(2)Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by California
municipalities. The ability of the issuers of the debt securities to meet
their obligations may be affected by economic developments in a specific
industry or municipality. In order to reduce the risk associated with such
economic developments, at September 30, 1995, 35.2% of the securities in the
portfolio of investments are backed by bond insurance of various financial
institutions and financial guaranty assurance agencies. The aggregate
percentage by financial institution ranged from 0.1% to 13.0% of total
investments.
See notes to financial statements
19
<PAGE>
- ---------------------------------------------------------------
PORTFOLIO OF INVESTMENTS September 30, 1995
MASSACHUSETTS TAX FREE PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS -- 100%
EDUCATION -- 9.8%
Aa1 AA+ $ 1,625 Massachusetts Health and Educational Facilities Authority (HEFA), Amherst
College, 6.80%, 11/1/21 $ 1,740,440
A1 A+ 250 Massachusetts HEFA, Tufts University, 7.75%, 8/1/13 271,052
NR BBB- 3,700 Massachusetts HEFA, Merrimack College, 7.125%, 7/1/12 3,882,003
NR AAA 2,900 Massachusetts HEFA, Wentworth Institute, (Connie Lee), 5.50%, 10/1/23 2,675,047
NR BBB- 6,855 Massachusetts HEFA, Smithe College, 5.75%, 7/1/24 6,694,182
Aaa AAA 5,180 Massachusetts HEFA, Harvard University, 5.625%, 11/1/28 5,114,577
Aa1 AA 4,690 Massachusetts Industrial Finance Agency, Phillips Academy, 5.375%, 9/1/23 4,385,056
A1 NR 2,000 The New England Education Loan Marketing Corporation, (AMT), 6.90%, 11/1/09 2,157,440
NR BBB- 1,300 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control
Authority, Polytechnic University, 5.50%, 8/1/24 1,128,491
NR BBB- 1,000 Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control
Authority, Polytechnic University, 6.50%, 8/1/24 990,870
-----------
29,039,158
-----------
GENERAL OBLIGATIONS -- 13.7%
Baa1 NR 1,000 City of Lowell, 6.375%, 8/15/01 1,067,490
A1 A+ 3,900 Commonwealth of Massachusetts, 5.00%, 1/1/12 3,609,060
A1 A+ 875 Commonwealth of Massachusetts, 5.00%, 1/1/14 795,839
A1 A+ 2,500 Massachusetts Bay Transportation Authority (MBTA), 5.75%, 3/1/18 2,465,775
A1 A+ 4,750 MBTA, 5.50%, 3/1/21 4,525,135
A1 A+ 14,000 MBTA, 5.75%, 3/1/25 13,593,440
A1 A+ 1,000 MBTA, 5.90%, 3/1/12 1,014,690
NR BBB 1,175 Government of Guam, 5.40%, 11/15/18 1,022,650
A NR 3,375 Town of Nantucket, 6.80%, 12/1/11 3,634,875
Baa1 A 100 Puerto Rico Public Buildings Authority, 5.50%, 7/1/21 92,369
Baa1 A 1,900 Puerto Rico Aqueduct and Sewer Authority, 7.00%, 7/1/19 2,037,313
A A 2,500 University of Massachusetts Building Authority, 6.875%, 5/1/14 2,839,950
A A 250 University of Massachusetts Building Authority, 7.20%, 5/1/04 287,396
NR NR 3,350 Virgin Islands Public Finance Authority, 7.25%, 10/1/18 3,528,321
-----------
40,514,303
-----------
HOSPITALS -- 8.4%
A A- 3,000 Massachusetts HEFA, Charlton Memorial Hospital, 7.25%, 7/1/13 3,147,750
A1 A 530 Massachusetts HEFA, Spaulding Rehabilitation Hospital, 7.625%, 7/1/21 568,632
Baa1 BBB+ 2,000 Massachusetts HEFA, New England Baptist Hospital, 7.35%, 7/1/17 2,067,480
Aa NR 3,100 Massachusetts HEFA, Daughters of Charity Health System, 6.10%, 7/1/14 3,143,524
A1 A+ 1,000 Massachusetts HEFA, Dana-Farber Cancer Institute, 6.65%, 12/1/15 1,020,340
A A 4,250 Massachusetts HEFA, The Medical Center of Central Massachusetts, 7.10%, 7/1/21 4,394,755
Baa BBB 1,825 Massachusetts HEFA, Sisters of Providence Health System, 6.50%, 11/15/08 1,887,870
NR A- 1,470 Massachusetts HEFA, Jordan Hospital, 6.875%, 10/1/15 1,052,722
NR A- 1,470 Massachusetts HEFA, Jordan Hospital, 6.875%, 10/1/22 1,507,073
NR AAA 2,625 Massachusetts HEFA, Winchester Hospital, (Connie Lee), 5.75%, 7/1/14 2,557,223
NR AAA 3,650 Massachusetts HEFA, Winchester Hospital, (Connie Lee), 5.75%, 7/1/24 3,486,917
-----------
24,824,286
-----------
</TABLE>
20
<PAGE>
MASSACHUSETTS TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
HOUSING -- 11.4%
NR AAA $ 2,750 Framingham Housing Authority, (GNMA), 6.65%, 2/20/32 $ 2,783,275
A1 A+ 6,000 Massachusetts Housing Finance Agency (HFA), 6.375%, 4/1/21 5,973,720
Aa A+ 7,250 Massachusetts HFA, (AMT), 6.60%, 12/1/26 7,328,952
Aa A+ 6,400 Massachusetts HFA, (AMT), 6.60%, 12/1/26 6,469,696
Aaa AAA 1,000 Massachusetts HFA, (FNMA), 6.875%, 11/15/11 1,063,630
Aaa AAA 2,750 Massachusetts HFA, (FNMA), 6.90%, 11/15/21 2,882,330
Aa A+ 2,795 Massachusetts HFA, (AMT), 7.125%, 6/1/25 2,908,924
Aa A+ 400 Massachusetts HFA, 7.35%, 12/1/16 425,408
Aa A+ 2,265 Massachusetts HFA, (AMT), 8.10%, 6/1/20 2,369,734
Aa A+ 1,500 Massachusetts HFA, (AMT), 8.10%, 12/1/21 1,576,035
-----------
33,781,704
-----------
INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL -- 7.0%
Baa1 BBB 14,185 City of Boston Harbor Electric Energy Company Project, (AMT), 7.30%, 5/15/15 15,178,942
NR NR 9,000 Massachusetts Industrial Finance Agency, Massachusetts Biomedical Research
Corporation, 0%, 8/1/19 3,817,800
Aa3 AA 1,550 Puerto Rico Industrial, Medical and Environmental Pollution Control Authority,
The Upjohn Company, 7.50%, 12/1/23 1,697,235
-----------
20,693,977
-----------
INSURED EDUCATION -- 2.1%
Aaa AAA 335 Massachusetts Educational Finance Authority, (MBIA), (AMT), 7.25%, 1/1/09 350,460
Aaa AAA 2,000 Massachusetts Educational Finance Authority, (AMBAC), (AMT), 7.30%, 1/1/12 2,096,840
Aaa AAA 250 Massachusetts HEFA, Northeastern University, (AMBAC), 7.50%, 10/1/08 273,820
Aaa AAA 400 Massachusetts HEFA, Boston University "RIBS", (MBIA), Variable, 10/1/31 (1) 439,464
Aaa AAA 3,000 Massachusetts HEFA, Tufts University, (FGIC), 5.95%, 8/15/18 3,032,640
-----------
6,193,224
-----------
INSURED GENERAL OBLIGATION -- 1.7%
Aaa AAA 1,795 City of Boston, (FSA), 4.875%, 9/1/09 1,686,833
Aaa AAA 1,000 Commonwealth of Puerto Rico "RIBS", (AMBAC), Variable, 7/1/15 (1) 1,009,940
Aaa AAA 600 Town of Tyngsborough, (AMBAC), 6.90%, 5/15/08 663,798
Aaa AAA 1,770 MBTA, (MBIA), 5.50%, 3/1/21 1,663,995
-----------
5,024,566
-----------
INSURED HOSPITALS -- 11.8%
Aaa AAA 300 Massachusetts HEFA, Berkshire Health Systems, (MBIA), 7.60%, 10/1/14 332,346
Aaa AAA 1,250 Massachusetts HEFA, Beth Israel Hospital, Inverse Floaters, (AMBAC), Variable,
7/1/25 (1) 1,253,675
Aaa AAA 1,500 Massachusetts HEFA, Capital Asset Program, (MBIA), 7.20%, 7/1/09 1,649,085
AAA AAA 2,050 Massachusetts HEFA, Fallon Healthcare System (CGIC), 6.75%, 6/1/20 (2) 2,171,442
AAA AAA 4,500 Massachusetts HEFA, Fallon Healthcare System (CGIC), 6.875%, 6/1/11 4,881,465
Aaa AAA 2,040 Massachusetts HEFA, Beverly Hospital, (MBIA), 7.30%, 7/1/13 2,219,581
Aaa AAA 1,000 Massachusetts HEFA, Baystate Medical Center, (FGIC), 5.00%, 7/1/20 883,550
Aaa AAA 3,000 Massachusetts HEFA, The Medical Center of Central Massachusetts, (AMBAC),
"CARS", Variable, 6/23/22 (1) 3,330,090
</TABLE>
21
<PAGE>
MASSACHUSETTS TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
INSURED HOSPITALS (CONTINUED)
Aaa AAA $ 2,000 Massachusetts HEFA, St. Elizabeth Hospital Issue, "LEVRRS", (FSA), Variable,
8/15/21 (1) $ 2,196,960
Aaa AAA 2,600 Massachusetts HEFA, Saint Luke's Hospital, "Yield Curve Notes", (MBIA),
Variable, 8/15/13 (1) 2,556,970
Aaa AAA 1,200 Massachusetts HEFA, University Hospital, (MBIA), 7.25%, 7/1/19 1,323,552
Aaa AAA 6,950 Massachusetts HEFA, Lahey Clinic, (MBIA), 5.375%, 7/1/23 6,454,118
Aaa AAA 5,000 Massachusetts HEFA, New England Medical Center, (MBIA), 5.375%, 7/1/24 4,664,350
Aaa AAA 1,000 Massachusetts HEFA, New England Medical Center, (FGIC), 6.50%, 7/1/12 1,052,960
-----------
34,970,144
-----------
INSURED HOUSING -- 0.7%
Aaa AAA 2,000 Massachusetts Housing Finance Agency, (AMBAC), 6.45%, 1/1/36 2,027,680
-----------
INSURED TRANSPORTATION -- 2.2%
Aaa AAA 5,860 Massachusetts Port Authority, (AMT), (FGIC), 7.50%, 7/1/20 6,490,243
-----------
LEASE/CERTIFICATE OF PARTICIPATION -- 2.9%
NR A 7,800 Plymouth County, Massachusetts Correctional Facility Project, 7.00%, 4/1/22 8,363,862
-----------
NURSING HOMES -- 0.5%
NR AA 1,495 Massachusetts HEFA, Deutches Altenheim, Incorporated, (FHA), 7.70%, 11/1/31 (2) 1,613,195
-----------
SOLID WASTE -- 2.6%
Baa1 BBB 5,970 Massachusetts Industrial Finance Agency, Massachusetts Refusetech, Inc.
Project, 6.30%, 7/1/05 6,242,531
NR NR 1,340 City of Pittsfield, Vicon Recovery Associates Project, 7.95%, 11/1/04 1,409,425
-----------
7,651,956
-----------
SPECIAL TAX -- 4.2%
A1 A+ 5,695 Commonwealth of Massachusetts, Special Obligation Revenue Bonds, 6.00%, 6/1/13 5,747,223
A1 A+ 4,560 Commonwealth of Massachusetts, Special Obligation Revenue Bonds, 5.80%, 6/1/14 4,518,550
Baa1 A 2,000 Puerto Rico Highway and Transportation Authority, 6.625%, 7/1/18 2,099,080
-----------
12,364,853
-----------
TRANSPORTATION -- 5.2%
NR BBB 7,950 Guam Airport Authority, (AMT), 6.70%, 10/1/23 7,967,093
Aa AA- 7,300 Massachusetts Port Authority, 6.00%, 7/1/23 7,260,069
-----------
15,227,162
-----------
UTILITY -- 6.0%
NR BBB 2,765 Guam Power Authority, 5.25%, 10/1/23 2,382,103
A BBB+ 2,610 Massachusetts Municipal Wholesale Electric Company, 6.00%, 7/1/18 2,555,843
A BBB+ 5,560 Massachusetts Municipal Wholesale Electric Company, 6.625%, 7/1/18 5,747,205
A BBB+ 3,500 Massachusetts Municipal Wholesale Electric Company, 6.75%, 7/1/11 3,664,010
Baa1 A- 1,850 Puerto Rico Electric Power Authority, 5.50%, 7/1/13 1,755,447
Baa1 A- 150 Puerto Rico Electric Power Authority, 5.50%, 7/1/20 138,746
NR NR 1,500 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 1,575,314
-----------
17,818,668
-----------
</TABLE>
22
<PAGE>
MASSACHUSETTS TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
WATER & SEWER -- 9.8%
NR NR $ 2,075 Massachusetts Industrial Finance Authority, American Hingham Water, 6.60%,
12/1/15 $ 2,095,480
A A 18,620 Massachusetts Water Resources Authority (MWRA), 4.75%, 12/1/23 15,364,479
A A 5,000 MWRA, 5.00%, 3/1/22 4,323,500
A A 1,500 MWRA, 5.25%, 3/1/13 1,390,095
A A 3,915 MWRA, 5.25%, 12/1/15 3,608,260
NR NR 2,000 Virgin Islands Water and Power Authority, 7.60%, 1/1/12 2,122,760
-----------
28,904,574
-----------
TOTAL TAX-EXEMPT INVESTMENTS
(IDENTIFIED COST $277,979,560) $295,503,555
-----------
-----------
</TABLE>
(1)The above designated securities have been issued as inverse floater bonds.
(2)Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by Massachusetts
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1995, 21.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.5% to 7.3% of total investments.
See notes to financial statements.
23
<PAGE>
- ---------------------------------------------------------------
PORTFOLIO OF INVESTMENTS September 30, 1995
NEW YORK TAX FREE PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS -- 100.0%
ASSISTED LIVING -- 0.3%
NR NR $ 1,970 Village of North Syracuse Housing Authority, (AJM Senior Housing, Inc. Janus
Park Project), 8.00%, 6/1/24 $ 1,922,168
-----------
EDUCATION -- 12.7%
A NR 1,000 Dutchess County IDA, Bard College, 7.00%, 11/1/17 1,084,310
A1 NR 6,295 Monroe County IDA, University of Rochester, 7.25%, 12/1/16 6,646,324
NR BBB- 1,660 City of New Rochelle IDA Civic Facilities, College of New Rochelle, 6.75%,
7/1/22 1,704,920
Baa1 BBB+ 6,895 Dormitory Authority, State University Educational Facilities, 4.75%, 7/1/14 6,124,208
Baa1 BBB+ 2,500 Dormitory Authority, State University Educational Facilities, 5.00%, 5/15/18 2,118,800
Baa1 BBB+ 11,500 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/13 10,464,310
Baa1 BBB+ 7,600 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/15 6,850,260
Baa1 BBB+ 7,605 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/19 6,714,759
Baa1 BBB+ 6,805 Dormitory Authority, State University Educational Facilities, 5.25%, 5/15/21 6,043,657
Baa1 BBB+ 3,130 Dormitory Authority, State University Educational Facilities, 5.50%, 5/15/08 3,041,139
Baa1 BBB+ 28,250 Dormitory Authority, State University Educational Facilities, 5.50%, 5/15/13 26,375,613
Baa1 BBB+ 415 Dormitory Authority, State University Educational Facilities, 7.375%, 5/15/14 450,279
Baa1 BBB+ 1,300 Dormitory Authority, State University Educational Facilities, 7.50%, 5/15/11 1,497,184
NR AA 1,300 Dormitory Authority, New York Medical College, (Asset Guaranty), 6.875%, 7/1/21 1,391,845
A1 A+ 950 Dormitory Authority, University of Rochester, 5.625%, 7/1/12 927,276
-----------
81,434,884
-----------
ELECTRIC UTILITIES -- 4.9%
A1 A 2,500 New York State Energy Resource & Development Authority, Brooklyn Union Gas
(RIBS) (AMT), Variable, 7/1/26 (1) 2,918,350
Aa3 A+ 500 New York State Energy Resource & Development Authority, Consolidated Edison
(AMT), 7.75%, 1/1/24 538,345
Aa3 A+ 2,365 New York State Energy Resource & Development Authority, Consolidated Edison
(AMT), 7.50%, 7/1/25 2,563,684
Aa3 A+ 1,000 New York State Energy Resource & Development Authority, Consolidated Edison
(AMT), 7.50%, 1/1/26 1,098,470
Aa AA- 18,000 Power Authority of the State of New York, 5.25%, 1/1/18 16,447,500
Baa1 A- 11,500 Puerto Rico Electric Power Authority, 0%, 7/1/17 3,023,350
Baa1 A- 2,250 Puerto Rico Electric Power Authority, 5.50% 7/1/20 2,081,183
NR NR 3,000 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 3,150,630
-----------
31,821,512
-----------
ESCROWED -- 7.6%
Aaa AAA 725 Albany Municipal Water (MBIA), 7.50%, 12/1/17 806,592
Aaa BBB 1,000 Dormitory Authority, City University, 7.625%, 7/1/20 1,152,840
Aaa BBB+ 1,530 Dormitory Authority, State University Educational Facilities, 7.70%, 5/15/12 1,763,677
NR BBB 1,000 Dormitory Authority, City University, 8.125%, 7/1/08 1,116,170
Baa1 BBB- 2,250 Dormitory Authority, Upstate Community College, 7.20%, 7/1/21 2,582,842
Baa1 NR 2,000 Dormitory Authority, Upstate Community College, 7.30%, 7/1/21 2,305,860
Aaa AAA 500 Erie County Water Authority, Water Works System, 6.00%, 12/1/08 528,920
Aaa AAA 500 Metropolitan Transportation Authority Commuter Facilities Bonds, 7.50%, 7/1/19 571,735
Aaa AAA 1,000 New York Local Government Assistance Corporation (LGAC), 7.00%, 4/1/16 1,136,100
Aaa AAA 5,500 New York LGAC, 6.75%, 4/1/21 6,238,980
Aaa BBB 1,000 New York State Housing Finance Agency Service Contracts, 7.80%, 9/15/11 1,173,510
Aaa AAA 1,775 New York State Housing Finance Agency Service Contracts, 7.375%, 9/15/21 2,073,520
</TABLE>
24
<PAGE>
NEW YORK TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
ESCROWED (CONTINUED)
Aaa BBB+ $ 90 New York State Medical Care Facilities Finance Agency, Mental Health Services
Facilities, 7.75%, 8/15/10 $ 103,334
Aaa AAA 450 New York State Medical Care Facilities Finance Agency, Mental Health Services
Facilities, 7.875%, 8/15/08 525,047
Aaa AAA 3,320 New York State Medical Care Facilities Finance Agency, Mental Health Services
Facilities, 7.50%, 2/15/21 3,842,004
Aaa NR 8,100 New York State Urban Development Corporation Correctional Facilities, 6.50%,
1/1/21 8,848,197
Baa1 BBB 4,750 New York State Thruway Authority, Local Highway and Bridge Service Contract
Bonds, 7.25%, 1/1/10 (2) 5,404,740
Baa1 BBB 5,350 New York State UDC, Onondaga Co. Convention Center, 7.875%, 1/1/10 6,241,577
NR AA- 500 Power Authority of the State of New York, 8.00% 1/1/17 548,960
NR A 1,760 Puerto Rico Highway & Transportation Authority, 6.625%, 7/1/18 1,989,310
-----------
48,953,915
-----------
GENERAL OBLIGATIONS -- 1.6%
Baa1 A- 120 New York City, 8.25%, 11/15/16 136,942
Baa1 A- 4,000 New York City, 7.50%, 2/1/18 4,399,280
Aa AA 1,700 Onondaga County, 5.875%, 2/15/11 1,758,259
Aa AA 1,600 Onondaga County, 5.875%, 2/15/12 1,641,424
Baa1 A 2,175 Puerto Rico Public Building Authority, Public Education and Health Facilities,
5.75%, 7/1/15 2,102,594
-----------
10,038,499
-----------
HEALTH CARE -- 19.1%
NR AAA 6,705 Dormitory Authority, United Health Services (FHA), 7.35%, 8/1/29 7,225,509
Aa AAA 4,785 New York State Medical Care Facilities Finance Agency (MCFFA), Hospital Insured
Mortgage (FHA), 5.25%, 8/15/14 4,443,782
NR AA 2,670 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.10%,
8/15/15 2,663,645
NR AAA 3,710 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.125%,
2/15/14 3,902,994
Aa AA 1,000 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.55%,
8/15/12 1,043,570
Aa AA 3,800 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.65%,
8/15/32 3,946,338
NR AA 9,000 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.70%,
8/15/23 9,446,220
Aa AA 1,050 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.75%,
2/15/12 1,107,446
Aa AA 1,500 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 6.95%,
2/15/32 1,586,430
Aa AA 2,190 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 7.00%,
8/15/32 2,326,262
Aa AA 6,600 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 7.25%,
2/15/31 7,124,634
Aa AA 750 New York State MCFFA, Hospital and Nursing Insured Mortgage (FHA), 7.35%,
2/15/29 819,128
Aa AA 2,425 New York State MCFFA, Insured Mortgage Project (FHA), 6.20%, 2/15/10 2,484,607
Aa AA 3,500 New York State MCFFA, Insured Mortgage Project (FHA), 6.20%, 8/15/14 3,591,490
Aa AA 5,625 New York State MCFFA, Insured Mortgage Project (FHA), 6.20%, 8/15/15 5,723,775
Aa AA 6,550 New York State MCFFA, Insured Mortgage Project (FHA), 6.25%, 8/15/15 6,661,285
Aa AA 2,500 New York State MCFFA, Insured Mortgage Project (FHA), 6.50%, 2/15/35 2,552,300
Aa AA 950 New York State MCFFA, Insured Mortgage Project (FHA), 7.45%, 8/15/31 1,030,095
Baa1 BBB+ 10,205 New York State MCFFA, Mental Health Services Facilities, 5.25%, 2/15/19 9,320,737
Baa1 BBB+ 11,500 New York State MCFFA, Mental Health Services Facilities, 5.25%, 8/15/23 9,895,865
Baa1 BBB+ 6,625 New York State MCFFA, Mental Health Services Facilities, Series 1994A, 5.25%,
8/15/23 5,700,879
Baa1 BBB+ 1,230 New York State MCFFA, Mental Health Services Facilities, 7.50%, 2/15/21 1,372,754
Baa1 BBB+ 1,610 New York State MCFFA, Mental Health Services Facilities, 7.625%, 8/15/17 1,777,150
Baa1 BBB+ 145 New York State MCFFA, Mental Health Services Facilities, 7.75%, 8/15/10 161,153
Baa1 BBB+ 495 New York State MCFFA, Mental Health Services Facilities, 7.875%, 8/15/08 558,469
</TABLE>
25
<PAGE>
NEW YORK TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
HEALTH CARE (CONTINUED)
Baa BBB $ 19,700 New York State MCFFA, Secured Hospital (Brookdale), 6.80%, 8/15/12 $20,263,223
Baa BBB 5,540 New York State MCFFA, Secured Hospital, 7.35%, 8/15/11 5,881,652
-----------
122,611,392
-----------
HOSPITALS -- 0.7%
Aa AAA 1,500 Dormitory Authority, Long Island Jewish Medical Center (FHA), 7.75%, 8/15/27 1,629,735
NR AAA 1,000 Dormitory Authority, St. Francis Hospital (FHA), 7.65%, 8/1/30 1,119,780
Baa1 BBB+ 1,800 Syracuse Industrial Development Agency (IDA), St. Joseph's Hospital Health
Center, 7.50%, 6/1/18 1,914,804
-----------
4,664,319
-----------
HOUSING -- 5.5%
NR NR 4,744 New York City Housing Development Corporation (HDC), Allerville Project,
6.50%, 11/15/18 4,772,297
Baa A 4,750 New York City HDC, General Housing, 6.50%, 5/1/22 4,797,690
NR NR 2,080 New York City HDC, Dayton Project, 6.50%, 11/15/18 2,092,643
NR AAA 2,550 New York City HDC, Multi-Unit Management, 7.35%, 6/1/19 2,702,439
Aa A+ 235 New York State Housing Finance Agency, Baytown, 7.10%, 8/15/35 248,280
Aa NR 250 New York State Mortgage Agency, 6.90%, 4/1/03 263,523
Aa NR 8,750 New York State Mortgage Agency, 6.90%, 4/1/15 9,220,313
Aa NR 1,000 New York State Mortgage Agency, 7.50%, 4/1/15 1,082,280
Aa NR 295 New York State Mortgage Agency, 7.65%, 4/1/19 311,963
Aa NR 625 New York State Mortgage Agency, 7.70%, 10/1/12 676,644
Aa NR 270 New York State Mortgage Agency, 8.00%, 10/1/17 287,312
Aa NR 6,350 New York State Mortgage Agency (AMT), 6.40%, 10/1/20 6,318,568
Aa NR 1,600 New York State Mortgage Agency (AMT), 7.95%, 10/1/21 1,727,808
Baa BBB 350 Puerto Rico Commonwealth Urban Renewal & Housing Corporation, 7.875%, 10/1/04 395,693
Aaa AAA 410 Puerto Rico Housing Financial Corporation Single-Family (GNMA), 7.65%, 10/15/22 434,124
-----------
35,331,577
-----------
INSURED COLLEGE & UNIVERSITY -- 1.8%
Aaa AAA 6,950 Dormitory Authority, Marist College (MBIA), 6.00%, 7/1/22 6,958,549
Aaa AAA 5,000 Dormitory Authority, New York University (MBIA), 5.00%, 7/1/11 4,698,350
-----------
11,656,899
-----------
INSURED GENERAL OBLIGATIONS -- 1.0%
Aaa AAA 1,035 Erie County Water Authority (AMBAC), 0%, 12/1/17 211,295
Aaa AAA 3,900 New York City Trust for Cultural Resources, Museum of Modern Art (AMBAC),
5.40%, 1/1/12 3,764,748
Aaa AAA 2,480 New York State Environmental Facilities Corporation (EFC), Jamaica Water Supply
Company (AMT) (AMBAC), 7.625%, 4/1/29 2,677,334
-----------
6,653,377
-----------
INSURED GENERAL OBLIGATIONS (LOCAL) -- 1.8%
Aaa AAA 520 Chautauqua County Unlimited Tax (FGIC), 6.40%, 9/15/08 574,621
Aaa AAA 770 Chautauqua County Unlimited Tax (FGIC), 6.40%, 9/15/09 847,123
Aaa AAA 465 Chautauqua County Unlimited Tax (FGIC), 7.30%, 4/1/07 547,793
Aaa AAA 725 Jamestown, (Secondary AMBAC), 7.00%, 3/15/07 838,521
Aaa AAA 600 Jamestown, (Secondary AMBAC), 7.00%, 3/15/08 693,852
Aaa AAA 675 Jamestown, (Secondary AMBAC), 7.00%, 3/15/13 789,278
Aaa AAA 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/09 814,891
</TABLE>
26
<PAGE>
NEW YORK TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
INSURED GENERAL OBLIGATIONS (LOCAL) (CONTINUED)
Aaa AAA $ 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/10 $ 816,739
Aaa AAA 700 Jamestown, (Secondary AMBAC), 7.10%, 3/15/11 817,929
Aaa AAA 675 Jamestown, (Secondary AMBAC), 7.10%, 3/15/12 789,271
Aaa AAA 515 Jamestown, (Secondary AMBAC), 7.10%, 3/15/14 601,808
Aaa AAA 2,000 New York City (AMBAC), 7.00%, 8/1/17 2,201,300
Aaa AAA 500 Oyster Bay (FGIC), 6.60%, 2/15/12 533,400
Aaa AAA 450 Oyster Bay (FGIC), 6.60%, 2/15/13 480,060
-----------
11,346,586
-----------
INSURED GENERAL OBLIGATIONS (SCHOOL DISTRICT) -- 0.2%
Aaa AAA 700 Bethlehem Central School District (AMBAC), 7.10%, 11/1/08 819,903
Aaa AAA 700 Bethlehem Central School District (AMBAC), 7.10%, 11/1/09 814,716
-----------
1,634,619
-----------
INSURED GENERAL OBLIGATIONS (TERRITORY) -- 0.7%
Aaa AAA 4,500 Commonwealth of Puerto Rico Public Improvement Residual Interest Tax Exempt
Securities (FSA), Variable, 7/1/22 (1) 4,616,865
-----------
INSURED HEALTH CARE -- 4.4%
Aaa AAA 1,500 New York State MCFFA, Long Term Health Care (CGIC), 6.80%, 11/1/14 1,588,695
Aaa AAA 1,300 New York State MCFFA, New York Hospital (FHA) (AMBAC), 6.60%, 2/15/11 1,409,226
Aaa AAA 5,400 New York State MCFFA, New York Hospital (FHA) (AMBAC), 6.75%, 8/15/14 5,794,146
Aaa AAA 20,525 New York State MCFFA, Mental Health Services Facilities (MBIA), 5.375%, 2/15/14 19,280,980
-----------
28,073,047
-----------
INSURED HOUSING -- 0.1%
Aaa AAA 500 New York City HDC, Charter Oaks (MBIA), 7.375%, 4/1/17 524,525
-----------
INSURED MISCELLANEOUS -- 0.1%
Aaa AAA 500 New York City IDA, (USTA National Tennis Center Incorporated Project) (FSA),
6.375%, 11/15/14 522,020
-----------
INSURED SOLID WASTE -- 1.6%
Aaa AAA 1,650 Dutchess County Resource Recovery Solid Waste (FGIC), 7.50%, 1/1/09 1,814,505
Aaa AAA 6,795 Islip Resource Recovery Agency (MBIA), 6.50%, 7/1/09 7,272,960
Aaa AAA 1,000 Montgomery, Otesgo, Schoharie Solid Waste Management Authority (MBIA), 5.25%,
1/1/14 936,350
-----------
10,023,815
-----------
INSURED TOLL & TURNPIKE -- 1.0%
Aaa AAA 3,000 Triborough Bridge & Tunnel Authority Residual Interest Securities (MBIA),
Variable, 1/1/19 (1) 3,033,030
Aaa AAA 3,000 Triborough Bridge & Tunnel Authority Residual Interest Securities (MBIA),
Variable, 1/1/12 (1) 3,229,230
-----------
6,262,260
-----------
INSURED WATER & SEWER -- 0.1%
Aaa AAA 275 Albany Municipal Water Financial Authority (MBIA), 7.50%, 12/1/17 298,944
-----------
LEASE/CERTIFICATE OF PARTICIPATION -- 8.7%
Baa1 BBB 1,955 Dormitory Authority, City University, 5.75%, 7/1/13 1,869,000
Baa1 BBB 17,815 Dormitory Authority, City University, 5.75%, 7/1/13 17,031,318
Baa1 BBB 250 Dormitory Authority, City University, 6.375%, 7/1/08 256,618
Baa1 BBB 5,100 Dormitory Authority, City University, 7.00%, 7/1/09 5,653,044
Baa1 BBB 4,325 Dormitory Authority, City University, 7.50%, 7/1/10 4,967,133
Baa1 BBB 6,125 New York State HFA Service Contract, 5.375%, 9/15/11 5,635,000
</TABLE>
27
<PAGE>
NEW YORK TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
LEASE/CERTIFICATE OF PARTICIPATION (CONTINUED)
NR BBB $ 5,865 New York State Thruway Authority, 0%, 1/1/01 $ 4,438,046
Baa1 BBB 5,775 New York State Urban Development Corporation (UDC) Correctional Facilities,
5.50%, 1/1/14 5,342,337
Baa1 BBB 7,670 New York State UDC Correctional Facilities, 5.25%, 1/1/13 6,896,557
Baa1 BBB 500 New York State UDC, Alfred Technology, 7.875%, 1/1/20 549,070
Baa1 BBB 750 New York State UDC, Clarkson Center for Advanced Materials, 7.80%, 1/1/20 821,512
Baa1 BBB 750 New York State UDC, Clarkson Center for Advanced Materials, 8.00%, 1/1/20 839,737
A1 A 1,825 Syracuse -- Hancock International Airport Certificates of Participation,
6.625%, 1/1/12 1,921,105
-----------
56,220,477
-----------
MISCELLANEOUS -- 1.6%
Aa AA- 200 City of New York Municipal Assistance Corporation, 7.50%, 7/1/08 218,888
Aa AA- 485 City of New York Municipal Assistance Corporation, 7.625%, 7/1/08 530,896
Aa AA- 635 City of New York Municipal Assistance Corporation, 7.625%, 7/1/08 714,724
NR NR 1,300 New York City IDA, (YMCA of Greater New York), 8.00%, 8/1/16 1,394,536
Aaa AAA 7,000 VRDC -- IVRC Trust, Variable Rate, 6/26/02 (1) 7,214,340
-----------
10,073,384
-----------
SOLID WASTE -- 2.0%
Baa1 A- 2,665 Hempstead IDA Resource Recovery, American Refunding Fuel Co., 7.40%, 12/1/10 2,782,473
Baa NR 9,530 New York State EFC Resource Recovery, Huntington Project, 7.50%, 10/1/12 10,056,056
-----------
12,838,529
-----------
SPECIAL TAX REVENUE -- 12.5%
A A 12,160 New York State LGAC, 5.00%, 4/1/21 10,582,240
A A 5,000 New York State LGAC, 5.00%, 4/1/21 4,368,900
A A 8,750 New York State LGAC, 5.00%, 4/1/23 7,526,313
A A 4,750 New York State LGAC, 5.25%, 4/1/16 4,406,908
A A 2,500 New York State LGAC, 5.25%, 4/1/19 2,265,400
A A 4,500 New York State LGAC, 5.375%, 4/1/16 4,221,180
A A 5,225 New York State LGAC, 5.50%, 4/1/17 4,960,040
A A 12,420 New York State LGAC, 5.50%, 4/1/18 11,731,808
A A 13,000 New York State LGAC, 5.50%, 4/1/21 12,140,570
NR BBB+ 2,630 New York State Municipal Bond Bank Agency, 6.875%, 3/15/06 2,866,095
Baa1 BBB 3,100 New York State Thruway Authority Contract, Local & Highway Building,
5.25%, 4/1/13 2,800,478
Baa1 A 2,000 Puerto Rico Highway and Transportation Authority, 5.50%, 7/1/15 1,902,740
Baa1 A 2,500 Puerto Rico Highway and Transportation Authority, 5.50%, 7/1/15 2,378,425
Baa1 A 4,840 Puerto Rico Highway and Transportation Authority, 6.625%, 7/1/18 5,079,774
Baa1 BBB 3,335 Triborough Bridge & Tunnel Authority, Convention Center, 6.00%, 1/1/11 3,318,158
-----------
80,549,029
-----------
TRANSPORTATION -- 6.2%
Baa1 BBB 4,025 MTA Transit Facilities Service Contract, 4.75%, 7/1/19 3,261,417
Baa1 BBB 3,670 MTA Transit Facilities Service Contract, 4.75%, 7/1/19 2,973,764
Baa1 BBB 2,000 MTA Transit Facilities Service Contract, 5.75%, 7/1/13 1,928,740
Baa1 BBB 725 MTA Transit Facilities Service Contract, 5.75%, 7/1/13 699,168
NR BBB 2,350 New York State Thruway Authority, Cross Westchester Expressway Project, 0%,
1/1/03 1,587,566
Ba1 BB 6,500 Port Authority of New York and New Jersey, 5.75%, 6/15/30 6,254,170
Ba1 BB 2,800 Port Authority of New York and New Jersey, Delta Airlines LaGuardia Airport,
6.95%, 6/1/08 2,969,512
A1 AA- 1,500 Port Authority of New York and New Jersey (AMT), Variable, 1/15/27 (1) 1,553,730
Aa A+ 5,330 Triborough Bridge and Tunnel Authority (TBTA) General Purpose, 5.00%, 1/1/12 4,869,062
</TABLE>
28
<PAGE>
NEW YORK TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
TRANSPORTATION (CONTINUED)
Aa A+ $ 11,580 TBTA General Purpose, 5.50%, 1/1/17 $11,048,941
Aa A+ 2,500 TBTA General Purpose, 6.125%, 1/1/21 2,583,100
-----------
39,729,170
-----------
WATER & SEWER REVENUE -- 3.8%
Aa A 11,050 New York State EFC, State Water Pollution Control, 6.875%, 6/15/10 12,110,568
Aa A+ 4,545 New York State EFC, State Water Pollution Control, 7.20%, 3/15/11 5,052,540
Aa A 2,750 New York State EFC, State Water Pollution Control, 7.00%, 6/15/12 3,053,738
Aa A 150 New York State EFC, State Water Pollution Control, 7.50%, 6/15/12 169,304
Baa1 A 3,750 Puerto Rico Aqueduct & Sewer Authority, 7.875%, 7/1/17 4,160,625
-----------
24,546,775
-----------
TOTAL TAX-EXEMPT INVESTMENTS
(IDENTIFIED COST $610,645,613) $642,348,587
-----------
-----------
</TABLE>
(1)The above designated securities have been issued as inverse floater bonds.
(2)Security has been segregated to cover margin requirements on open financial
futures contracts.
The Portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1995, 23.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 0.1% to 11.0% of total investments.
See notes to financial statements
29
<PAGE>
- ---------------------------------------------------------------
PORTFOLIO OF INVESTMENTS September 30, 1995
OHIO TAX FREE PORTFOLIO
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS -- 100%
EDUCATION -- 7.9%
A A+ $ 1,000 University of Cincinnati, 6.50%, 12/1/11 $ 1,035,190
A1 AA- 650 University of Cincinnati, 6.50%, 6/1/11 684,314
Aa AA- 550 Ohio State Higher Educational Facilities, Case Western University, 6.50%,
10/1/20 604,335
NR AA 1,000 Ohio State Higher Educational Facilities, Oberlin College, 5.375%, 10/1/15 942,190
NR AAA 2,100 Ohio Higher Educational Facilities, Ohio Northern University, (CLEE), 5.60%,
5/1/13 2,069,886
NR AAA 2,750 Ohio Higher Educational Facilities, Ohio Northern University, (CLEE), 5.65%,
5/1/18 2,688,153
A1 A+ 1,300 Ohio State Higher Educational Facilities, Public Facilities, 5.50%, 12/1/07 1,319,513
A1 NR 7,000 Ohio State Student Loan Funding Corp., (AMT), 6.10%, 8/1/07 7,165,200
A1 NR 7,000 Ohio State Student Loan Funding Corp., (AMT), 6.10%, 8/1/08 7,121,100
A1 AA- 1,500 Ohio State University Revenue, 5.75%, 12/1/09 1,523,325
-----------
25,153,206
-----------
ESCROWED -- 0.2%
A1 NR 500 Gahanna, Ohio General Obligation, 7.00%, 6/1/12 566,875
-----------
GENERAL OBLIGATIONS -- 9.1%
NR NR 3,035 Belmont County, 7.30%, 12/1/17 3,190,392
A NR 600 City of Brunswick, Various Purpose, 6.30%, 12/1/12 617,586
NR NR 2,450 Cleveland City School District, 7.25%, 6/15/98 2,498,069
Aaa AAA 1,035 City of Columbus, 5.50%, 11/1/12 1,025,902
A1 NR 1,360 Copley-Fairlawn City School District, 6.25%, 12/1/15 1,403,180
NR BBB 3,500 Guam Government, 5.375%, 11/15/13 3,104,535
A1 NR 3,340 Hilliard City School District, 6.30%, 12/1/14 3,462,344
A1 NR 500 Huber Heights, Ohio, 6.75%, 12/1/11 534,185
A NR 1,200 Mansfield Ohio Waterworks Improvement, 5.60%, 12/1/13 1,162,692
A1 NR 725 City of Medina, Ohio Fire Station Improvement, 3.00%, 12/1/10 527,445
Aa AA 1,500 Ohio State Infrastructure Improvement, 0%, 8/1/11 632,685
Baa1 NR 1,000 Scioto County, Ohio Human Services Building, 7.15%, 8/1/11 1,136,590
NR NR 1,000 Tuscarawas Public Library Improvement, 6.90%, 12/1/11 1,055,300
Baa NR 1,000 Youngstown, Ohio, 7.55%, 12/1/11 1,080,240
NR NR 6,855 Youngstown, Ohio 7.35%, 6/15/05 7,413,614
-----------
28,844,759
-----------
HEALTH CARE -- 2.4%
NR AAA 1,000 Allen County Ohio, LIMA Convalescent Home Foundation (GNMA), 6.40%, 1/1/21 1,022,330
Aa2 NR 1,600 Hamilton County, Episcopal Retirement Homes, 6.80%, 1/1/08 1,745,504
NR BBB- 1,800 Marion County, United Church Homes, 6.30%, 11/15/15 1,734,354
Baa BBB 2,925 Puerto Rico Urban Renewal & Housing Corporation, 0%, 10/1/99 2,364,570
Aa2 NR 600 Warren County, Otterbein Home Project, 7.20%, 7/1/11 662,418
-----------
7,529,176
-----------
HOSPITALS -- 19.3%
Baa BBB- 1,000 Butler County, Hamilton-Hughe Hospital, 7.50%, 1/1/10 1,032,270
NR BBB 1,000 Cambridge Ohio, Guernsey Memorial Hospital, 8.00%, 12/1/11 1,068,500
A1 A 2,100 Cuyahoga County, Fairview General Hospital, 6.25%, 8/15/10 2,152,101
A1 A 2,370 Cuyahoga County, Meridia Health System, 7.00%, 8/15/23 2,505,967
A1 A 2,000 Cuyahoga County, Meridia Health System, 6.50%, 8/15/12 2,052,600
Aa AA 750 Cuyahoga County, University Hospitals Health System, 6.50%, 1/15/19 778,560
Aa AA 4,450 Cuyahoga County, University Hospitals Health System, 6.00%, 1/15/22 4,487,024
NR BBB 4,500 Defiance Hospital, Inc., 7.625%, 11/1/03 4,641,075
Baa BBB- 665 East Liverpool City Hospital -- Series A, 8.00%, 10/1/21 696,893
</TABLE>
30
<PAGE>
OHIO TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
HOSPITALS (CONTINUED)
Baa BBB- $ 1,000 East Liverpool City Hospital -- Series B, 8.00%, 10/1/21 $ 1,044,880
A A- 4,000 Erie County, Firelands Community Hospital, 6.75%, 1/1/08 4,237,640
Aa NR 3,000 Franklin County, Children's Hospital, 6.60%, 5/1/13 3,167,310
Aa NR 1,900 Franklin County, Riverside United Methodist Hospital, 5.75%, 5/15/20 1,804,088
A A 1,015 City of Garfield Heights, Marymount Hospital, 6.65%, 11/15/11 1,052,058
A A 1,000 City of Garfield Heights, Marymount Hospital, 6.70%, 11/15/15 1,040,670
Aa2 NR 1,000 Hamilton County, Wesley Hall Project, 6.50%, 3/1/15 1,022,560
A1 A 4,000 Hamilton County, Bethesda Hospital, Inc., 6.25%, 1/1/12 4,027,400
A1 A+ 1,095 Lorain County, Humility of Mary Health Care Corp., 7.125%, 12/15/06 1,199,266
A1 A+ 5,900 Lorain County, Humility of Mary Health Care Corp., 5.90%, 12/15/08 6,048,208
A1 A+ 1,000 Lorain County, Humility of Mary Health Care Corp., 7.20%, 12/15/11 1,081,030
NR A+ 1,750 Lorain County, Lakeland Community Hospital, Inc., 6.50%, 11/15/12 1,794,538
NR BBB+ 1,000 Lucas County, Flowers Hospital, 6.125%, 12/1/13 939,000
A A 2,760 City of Middleburg Heights, Southwest General Hospital Project, 6.75%, 8/15/21 2,880,971
NR NR 10,000 Mt Vernon, Knox Community Hospital, 7.875%, 6/1/12 10,358,900
-----------
61,113,509
-----------
HOUSING -- 7.1%
Aa NR 1,300 City of Clermont, Laurels Project, (FHA), 6.00%, 9/1/20 1,285,011
Aa NR 1,000 Franklin County, Hamilton Creek Apartments (FHA), (AMT), 5.80%, 7/1/14 942,190
Aa NR 3,660 Franklin County, Hamilton Creek Apartments (FHA), (AMT), 5.55%, 7/1/24 3,239,905
NR AAA 3,490 Ohio HFA, (GNMA), (AMT), 6.375%, 3/1/25 3,523,853
NR AAA 4,735 Ohio HFA, (GNMA), (AMT), 6.70%, 3/1/25 4,844,899
NR AAA 835 Ohio HFA, SFMR, (GNMA), 7.60%, 9/1/16 871,723
NR AAA 1,250 Ohio HFA, MFMR -- Asbury Woods, (FHA), 7.00%, 10/1/24 1,279,350
Aa NR 2,850 Ohio HFA, Oakleaf Village Project, (FHA), 5.70%, 9/1/26 2,643,746
Aa NR 1,000 Ohio HFA, Aristocrat South Board & Care Project (FHA), (AMT), 7.30%, 8/1/31 1,037,330
Aaa AAA 1,085 Ohio HFA SFMR, (GNMA) (AMT), Variable, 3/31/31 (1) 1,162,317
NR BBB+ 1,020 Ohio Economic Development, KMART Corp., 6.75%, 5/15/07 1,034,810
A1 A+ 500 Ohio Building Authority Juvenile Correctional Building, 5.80%, 10/1/07 515,125
-----------
22,380,259
-----------
INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL REVENUE -- 8.8%
NR BBB 510 Madison County, IDR, KMART Corp., 6.75%, 9/15/06 523,734
Baa1 NR 3,750 Ohio Air Quality Development Authority, Ashland Oil Inc, 6.85%, 4/1/10 3,991,163
NR A- 595 Ohio IDR, Enterprise Bond Fund, Burrows Paper Corp. (AMT), 7.625%, 6/1/11 659,546
NR A- 310 Ohio IDR, Enterprise Bond Fund, Cheryl & Co., (AMT), 5.50%, 12/1/04 307,774
NR A- 530 Ohio IDR, Enterprise Bond Fund, Cheryl & Co., (AMT), 5.90%, 12/1/09 530,806
NR A- 1,815 Ohio IDR, Enterprise Bond Fund, Consolidated Biscuit, (AMT), 7.00%, 12/1/09 2,014,051
NR A- 3,425 Ohio IDR, Enterprise Bond Fund, J J & W LP Project, (AMT), 6.70%, 12/1/14 3,536,826
NR A- 750 Ohio IDR, Enterprise Bond Fund, Luigino's Inc. (AMT), 6.85%, 6/1/01 772,388
NR A- 1,000 Ohio IDR, Enterprise Bond Fund, Progress Plastic Products, (AMT), 6.80%,
12/1/01 1,086,040
NR A- 1,525 Ohio IDR, Enterprise Bond Fund, Progress Plastic Products, (AMT), 7.80%,
12/1/09 1,772,660
NR A- 680 Ohio IDR, Enterprise Bond Fund, Royal Appliance Manufacturing Co., Series 1991
#9 (AMT), 7.625%, 12/1/11 758,234
NR A- 1,000 Ohio IDR, Enterprise Bond Fund, Royal Appliance Manufacturing Co., Series 1991
#5, (AMT), 7.625%, 12/1/11 1,115,050
NR A- 1,800 Ohio IDR, Enterprise Bond Fund, Speco Corp. (AMT), 6.60%, 6/1/04 1,857,186
NR A- 170 Ohio IDR, Enterprise Bond Fund, Speco Corp. (AMT), 6.25%, 6/1/00 173,553
NR A- 880 Ohio IDR, Enterprise Bond Fund, VSM Corp., (AMT), 7.375%, 12/1/11 969,936
NR AA- 1,000 Ohio Pollution Control, Standard Oil Company, 6.75%, 12/1/15 1,167,220
Baa2 BBB 4,065 Ohio Water Development Authority, Union Carbide Corp. Project, 5.50%, 1/15/07 3,935,245
</TABLE>
31
<PAGE>
OHIO TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
INDUSTRIAL DEVELOPMENT/POLLUTION CONTROL REVENUE (CONTINUED)
Ba2 NR $ 1,500 Portage County, Kroger Corporation, 7.25%, 7/1/99 $ 1,592,175
Ba2 NR 1,000 Summit County, Kroger Corporation, 6.85%, 7/1/99 1,050,140
-----------
27,813,727
-----------
INSURED EDUCATION -- 1.1%
Aaa AAA 1,000 Adams & Highland County Local School District, (MBIA), 5.25%, 12/1/21 923,810
Aaa AAA 1,500 Delaware County, Buckeye Valley Local School District, (MBIA), 5.25%, 12/1/20 1,402,665
Aaa AAA 1,000 Ohio Higher Education, University of Dayton Project (FGIC), 5.80%, 12/1/14 1,000,720
-----------
3,327,195
-----------
INSURED GENERAL OBLIGATIONS -- 1.5%
Aaa AAA 1,700 Puerto Rico (AMBAC), Variable, 7/1/15 (1) 1,716,898
Aaa AAA 3,000 Puerto Rico (FSA), Variable, 7/1/22 (1) 3,077,910
-----------
4,794,808
-----------
INSURED HEALTHCARE -- 2.4%
Aaa AAA 1,945 Hamilton County, Sisters of Charity Health Care System (MBIA), 5.25%, 5/15/13 1,819,645
Aa AA- 5,925 Montgomery County, Sisters of Charity Health Care System (MBIA), 5.25%, 5/15/11 5,563,871
-----------
7,383,516
-----------
INSURED HOSPITALS -- 11.7%
Aaa AAA 2,500 Akron, Bath and Copley Townships Children's Hospital Medical Center of Akron,
(AMBAC), 5.25%, 11/15/20 2,276,175
Aaa AAA 1,000 Clermont County, Mercy Health System (AMBAC), Variable, 10/5/21 (1) 1,128,810
Aaa AAA 1,500 Cuyahoga County, Fairview Hospital, (MBIA), 5.50%, 8/15/19 1,389,270
Aaa AAA 5,885 Franklin County, Riverside United Methodist (AMBAC), 5.75%, 5/15/12 5,797,961
Aaa AAA 10,500 Franklin County, Riverside United Methodist (AMBAC), 5.75%, 5/15/20 10,085,565
Aaa AAA 1,455 Hamilton County, The Christ Hospital (FGIC), 5.50%, 1/1/08 1,472,169
Aaa AAA 1,500 Hamilton County, Children's Hospital Medical Center, (FGIC), 5.00%, 5/15/13 1,370,130
Aaa AAA 2,750 Mansfield General Hospital (AMBAC), 6.70%, 12/1/09 2,970,028
Aaa AAA 1,000 Montgomery County, Ohio Miami Valley Hospital, (AMBAC), 6.25%, 11/15/16 1,030,000
Aaa AAA 6,565 Portage County, Robinson Memorial Hospital, (MBIA), 5.80%, 11/15/15 6,272,201
Aaa AAA 3,500 Stark County, Timkon Mercy Medical, (MBIA), 5.00%, 12/1/19 3,113,320
-----------
36,905,629
-----------
INSURED HOUSING -- 0.6%
Aaa AAA 990 Ohio Capital Corporation FHA Insured Mortgage Loans, (MBIA), 7.25%, 7/1/24 1,032,649
Aaa AAA 750 Ohio Capital Corporation FHA Insured Mortgage Loans, (MBIA), 6.50%, 1/1/25 763,965
-----------
1,796,614
-----------
INSURED INDUSTRIAL DEVELOPMENT REVENUE -- 2.3%
Aaa AAA 7,000 Ohio Air Quality Development Authority, JMG Funding, L.P. Project, (AMBAC),
(AMT), 6.375%, 1/1/29 7,180,670
-----------
INSURED LEASE -- 2.6%
Aaa AAA 1,000 Ohio Higher Education, University of Dayton, (FGIC), 0%, 12/1/06 560,870
Aaa AAA 8,000 Ohio State Public Building Authority -- Workers Comp Facilities (MBIA), 4.50%,
4/1/04 7,785,200
-----------
8,346,070
-----------
INSURED SPECIAL TAX REVENUE -- 4.9%
Aaa AAA 2,110 Hudson Local School District, (FGIC), 0%, 12/15/09 976,656
Aaa AAA 2,115 Hudson Local School District, (FGIC), 0%, 12/15/10 920,427
Aaa AAA 2,000 North Canton City School District, (AMBAC), 5.90%, 12/1/14 2,024,260
Aaa AAA 1,400 Pickerington Local School District, (AMBAC), 0%, 12/1/11 562,800
Aaa AAA 2,000 Puerto Rico Highway & Transportation Authority (FSA), 5.50%, 7/1/17 1,911,920
</TABLE>
32
<PAGE>
OHIO TAX FREE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
RATINGS (UNAUDITED)
- -------------------- PRINCIPAL
STANDARD AMOUNT
MOODY'S & POOR'S (000 OMITTED) SECURITY VALUE
<S> <C> <C> <C> <C>
TAX-EXEMPT INVESTMENTS (CONTINUED)
INSURED SPECIAL TAX REVENUE (CONTINUED)
Aaa AAA $ 7,000 Puerto Rico Highway & Transportation Authority (FSA), 5.25%, 7/1/21 $ 6,435,380
Aaa AAA 3,000 Puerto Rico Highway & Transportation Authority (FSA), 5.25%, 7/1/20 2,762,220
-----------
15,593,663
-----------
INSURED UTILITIES -- 2.4%
Aaa AAA 1,650 Cleveland Public Power System, (MBIA), 7.00%, 11/15/17 1,809,605
Aaa AAA 2,000 Cuyahoga County Medical Center Utility System (AMT) (MBIA), 6.10%, 8/15/15 2,001,480
Aaa AAA 1,380 OH Municipal Electric Generation Agency (AMBAC), 5.375%, 2/15/24 1,289,665
Aaa AAA 2,300 Puerto Rico Electric Power Authority, (FSA), Variable, 7/1/02 (1) 2,548,814
-----------
7,649,564
-----------
LEASE/CERTIFICATES OF PARTICIPATION -- 1.1%
A NR 1,000 University of Akron COP, West Campus Parking Deck, 5.50%, 1/1/14 974,080
Baa1 A 2,500 Puerto Rico Public Building Authority, 6.00%, 7/1/12 2,504,675
-----------
3,478,755
-----------
LIFE CARE -- 0.6%
Aa NR 2,000 Franklin County, Kensington Place Project, 6.75%, 1/1/34 2,046,600
-----------
SPECIAL TAX REVENUE -- 4.2%
Baa1 A 3,000 Puerto Rico Highway & Transportation Authority, 6.625%, 7/1/12 3,168,450
Baa1 A 1,500 Puerto Rico Highway & Transportation Authority, 5.50%, 7/1/15 1,427,055
Baa1 A 5,000 Puerto Rico Highway & Transportation Authority, 5.25%, 7/1/20 4,466,150
Baa1 A 4,995 Puerto Rico Highway & Transportation Authority, 5.00%, 7/1/22 4,280,216
-----------
13,341,871
-----------
TRANSPORTATION -- 1.7%
NR BBB 2,750 Guam Airport Authority, (AMT), 6.70%, 10/1/23 2,755,913
A1 AA- 2,830 Ohio Turnpike Commission, 5.75%, 2/15/24 2,771,617
-----------
5,527,530
-----------
UTILITIES -- 7.2%
NR BBB 5,500 Guam Power Authority, 5.25%, 10/1/13 4,960,170
NR BBB 5,000 Guam Power Authority, 5.25%, 10/1/23 4,307,600
Baa1 A- 3,000 Puerto Rico Electric Power Authority, 5.00%, 7/1/12 2,709,060
Baa1 A- 360 Puerto Rico Electric Power Authority, 7.125%, 7/1/14 392,580
Baa1 A- 4,000 Puerto Rico Electric Power Authority, 6.00%, 7/1/14 3,968,440
Baa1 A- 20,165 Puerto Rico Electric Power Authority, 0%, 7/1/17 5,301,379
NR NR 1,000 Virgin Islands Water and Power Authority, 7.40%, 7/1/11 1,050,210
-----------
22,689,439
-----------
WATER & SEWER REVENUE -- 0.9%
NR NR 800 The Mahoning Valley Sanitary District, 7.80%, 12/15/08 855,392
NR NR 950 The Mahoning Valley Sanitary District, 7.80%, 12/15/09 1,013,099
NR NR 1,000 City of Vermilion, Ohio Water System, 7.25%, 8/15/15 1,066,720
-----------
2,935,211
-----------
TOTAL TAX-EXEMPT INVESTMENTS
(IDENTIFIED COST, $304,406,955) $316,398,646
-----------
-----------
</TABLE>
(1)The above designated securities have been issued as inverse floater bonds.
The Portfolio invests primarily in debt securities issued by Ohio
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at September 30, 1995, 36.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution ranged from 2.0% to 11.4% of total investments.
See notes to financial statements.
33
<PAGE>
- ---------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES September 30, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
P O R T F O L I O S
<CAPTION>
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO OHIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments --
Identified cost $2,148,345,455 $381,719,158 $277,979,560 $610,645,613 $304,406,955
Unrealized appreciation 135,374,581 24,303,093 17,523,995 31,702,974 11,991,691
-------------- -------------- -------------- -------------- --------------
Total investments, at value (Note 1A) 2,283,720,036 406,022,251 295,503,555 642,348,587 316,398,646
Cash 3,616,689 589 6,632 696 522
Receivable for investments sold 32,684,771 50,000 13,030,253 17,612,917 998,095
Interest receivable 43,138,659 6,743,380 5,219,546 10,635,275 5,490,518
Deferred organization expenses (Note 1D) 46,641 14,563 12,432 14,921 9,316
-------------- -------------- -------------- -------------- --------------
Total assets 2,363,206,796 412,830,783 313,772,418 670,612,396 322,897,097
-------------- -------------- -------------- -------------- --------------
LIABILITIES:
Demand note payable (Note 5) -- 2,032,000 2,018,000 476,000 3,860,000
Payable for investments purchased 5,033,541 -- 9,507,914 16,908,493 --
Payable for when-issued securities (Note
1G) 97,457,676 -- -- -- --
Payable for daily variation margin on open
financial futures contracts (Note 1E) -- 103,125 61,875 477,125 --
Payable to affiliates --
Trustees' fees 7,368 4,638 4,126 5,150 4,126
Custodian fees -- 8,667 4,381 1,500 6,183
Accrued expenses 61,848 12,215 5,875 7,819 10,140
-------------- -------------- -------------- -------------- --------------
Total liabilities 102,560,433 2,160,645 11,602,171 17,876,087 3,880,449
-------------- -------------- -------------- -------------- --------------
NET ASSETS applicable to investors'
interest in
Portfolio $2,260,646,363 $410,670,138 $302,170,247 $652,736,309 $319,016,648
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
SOURCES OF NET ASSETS:
Net proceeds from capital contributions
and withdrawals $2,125,271,782 $386,540,544 $284,750,352 $621,396,197 $307,024,957
Unrealized appreciation of investments and
financial futures contracts (computed on
the basis of identified cost) 135,374,581 24,129,594 17,419,895 31,340,112 11,991,691
-------------- -------------- -------------- -------------- --------------
Total $2,260,646,363 $410,670,138 $302,170,247 $652,736,309 $319,016,648
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
</TABLE>
See notes to financial statements
34
<PAGE>
- ---------------------------------------------------------------
STATEMENTS OF OPERATIONS For the Year Ended September 30, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
P O R T F O L I O S
<CAPTION>
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest Income (Note 1B) $166,061,913 $28,624,042 $19,516,946 $41,798,094 $20,219,008
-------------- -------------- -------------- -------------- --------------
Expenses --
Investment adviser fee (Note 2) 9,944,026 2,121,262 1,383,407 3,031,508 1,463,895
Compensation of Trustees not members of
the Investment Adviser's organization
(Note 2) 29,082 18,570 16,111 20,640 19,598
Custodian fee (Note 2) 374,289 187,581 135,884 221,548 157,716
Interest expense (Note 5) -- -- -- -- 114,074
Legal and accounting fees 117,108 42,258 30,407 37,661 30,478
Amortization of organization expenses
(Note 1D) 19,459 5,625 5,209 6,278 3,960
Miscellaneous 609,017 120,219 91,575 193,968 31,370
-------------- -------------- -------------- -------------- --------------
Total expenses 11,092,981 2,495,515 1,662,593 3,511,603 1,821,091
Deduct reduction of custodian fee (Note
2) 317,043 47,611 61,501 220,048 67,412
-------------- -------------- -------------- -------------- --------------
Net expenses 10,775,938 2,447,904 1,601,092 3,291,555 1,753,679
-------------- -------------- -------------- -------------- --------------
NET INVESTMENT INCOME 155,285,975 26,176,138 17,915,854 38,506,539 18,465,329
-------------- -------------- -------------- -------------- --------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized loss --
Investment transactions (identified cost
basis) (60,263,375) (19,076,355) (12,310,806) (12,293,704) (4,554,010)
Financial futures contracts (26,703,060) (3,974,440) (3,356,628) (6,983,956) (2,677,416)
-------------- -------------- -------------- -------------- --------------
Net realized loss on investments (86,966,435) (23,050,795) (15,667,434) (19,277,660) (7,231,426)
-------------- -------------- -------------- -------------- --------------
Change in unrealized appreciation
(depreciation) --
Investments 177,320,778 34,125,832 24,470,289 43,541,560 20,963,434
Financial futures contracts -- (650,309) (482,875) (498,006) --
-------------- -------------- -------------- -------------- --------------
Net unrealized appreciation 177,320,778 33,475,523 23,987,414 43,043,554 20,963,434
-------------- -------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS 90,354,343 10,424,728 8,319,980 23,765,894 13,732,008
-------------- -------------- -------------- -------------- --------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $245,640,318 $36,600,866 $26,235,834 $62,272,433 $32,197,337
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
</TABLE>
See notes to financial statements
35
<PAGE>
- ---------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended September 30, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
P O R T F O L I O S
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS --
Net investment income $155,285,975 $26,176,138 $17,915,854 $38,506,539 $18,465,329
Net realized loss on investments (86,966,435) (23,050,795) (15,667,434) (19,277,660) (7,231,426)
Change in unrealized appreciation of
investments 177,320,778 33,475,523 23,987,414 43,043,554 20,963,434
-------------- -------------- -------------- -------------- --------------
Net increase in net assets from operations 245,640,318 36,600,866 26,235,834 62,272,433 32,197,337
-------------- -------------- -------------- -------------- --------------
CAPITAL TRANSACTIONS --
Contributions 443,671,368 39,676,667 27,917,577 61,423,633 24,237,228
Withdrawals (639,601,609) (110,738,796) (60,522,944) (126,606,533) (61,829,470)
-------------- -------------- -------------- -------------- --------------
Decrease in net assets resulting from
capital transactions (195,930,241) (71,062,129) (32,605,367) (65,182,900) (37,592,242)
-------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 49,710,077 (34,461,263) (6,369,533) (2,910,467) (5,394,905)
NET ASSETS:
At beginning of year 2,210,936,286 445,131,401 308,539,780 655,646,776 324,411,553
-------------- -------------- -------------- -------------- --------------
At end of year $2,260,646,363 $410,670,138 $302,170,247 $652,736,309 $319,016,648
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
</TABLE>
See notes to financial statements
36
<PAGE>
- ---------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS For the Year Ended September 30, 1994
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
P O R T F O L I O S
<CAPTION>
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK OHIO
PORTFOLIO PORTFOLIO+ PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS --
Net investment income $144,467,768 $13,943,369 $17,598,654 $38,006,256 $18,012,641
Net realized loss on investment
transactions (8,642,077) (10,624,666) (5,575,616) (2,555,481) (413,084)
Change in unrealized depreciation of
investments (224,012,810) (942,071) (26,955,377) (67,884,728) (32,855,282)
-------------- -------------- -------------- -------------- --------------
Net increase (decrease) in net assets from
operations (88,187,119) 2,376,632 (14,932,339) (32,433,953) (15,255,725)
-------------- -------------- -------------- -------------- --------------
CAPITAL TRANSACTIONS --
Contributions 760,864,297 24,605,354 73,999,994 135,102,754 78,699,031
Withdrawals (545,063,348) (49,109,598) (41,140,572) (95,828,619) (37,123,714)
-------------- -------------- -------------- -------------- --------------
Increase (decrease) in net assets
resulting from
capital transactions 215,800,949 (24,504,244) 32,859,422 39,274,135 41,575,317
-------------- -------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS 127,613,830 (22,127,612) 17,927,083 6,840,182 26,319,592
NET ASSETS:
At beginning of year 2,083,322,456 467,259,013 290,612,697 648,806,594 298,091,961
-------------- -------------- -------------- -------------- --------------
At end of year $2,210,936,286 $445,131,401 $308,539,780 $655,646,776 $324,411,553
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
</TABLE>
+ For the California Portfolio, the Statement of Changes in Net Assets is for
the six months ended September 30, 1994 (Note 7).
See notes to financial statements
37
<PAGE>
- ---------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS For the period from the start of
business, May 3, 1993, to March 31,
1994
-------------
<TABLE>
<CAPTION>
CALIFORNIA
PORTFOLIO
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS --
Net investment income $ 25,183,098
Net realized gain on investment
transactions 10,976,521
Change in unrealized depreciation of
investments (34,132,327)
--------------
Net increase in net assets from operations $ 2,027,292
--------------
CAPITAL TRANSACTIONS --
Contributions 553,867,973
Withdrawals (88,736,272)
--------------
Increase in net assets resulting from
capital transactions 465,131,701
--------------
NET INCREASE IN NET ASSETS 467,158,993
NET ASSETS:
At beginning of period 100,020
--------------
At end of period $467,259,013
--------------
--------------
</TABLE>
See notes to financial statements
38
<PAGE>
- ---------------------------------------------------------------
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
P O R T F O L I O S
------------------------------------------------------------------------
<CAPTION>
NATIONAL CALIFORNIA
<CAPTION>
1995 1994 1993** 1995 1994*
<S> <C> <C> <C> <C> <C>
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET
ASSETS):
Expenses 0.50% 0.50% 0.47%+ 0.59% 0.57%+
Net investment income 7.00% 6.55% 6.58%+ 6.22% 6.09%+
Portfolio turnover 54% 40% 13% 58% 40%
Net assets, at end of period (000 omitted) $2,260,646 $2,210,936 $2,083,322 $410,763 $445,131
------------------------------------------------------------------------
<CAPTION>
MASSACHUSETTS NEW YORK
<S> <C> <C> <C> <C> <C>
1995 1994 1993** 1995 1994
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET
ASSETS):
Expenses 0.56% 0.51% 0.49%+ 0.54% 0.48%
Net investment income 6.00% 5.74% 5.72%+ 5.97% 5.70%
Portfolio turnover 87% 53% 38% 55% 47%
Net assets, at end of period (000 omitted) $302,170 $308,540 $290,613 $652,736 $655,647
---------------------------
<CAPTION>
OHIO
<S> <C> <C> <C> <C> <C>
1995 1994
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET
ASSETS):
Expenses 0.57% 0.51%
Net investment income 5.80% 5.61%
Portfolio turnover 51% 31%
Net assets, at end of period (000 omitted) $319,017 $324,412
- ------------------------------------------------
-------------
1993***
<S> <C>
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET
ASSETS):
Expenses 0.55%+
Net investment income 5.72%+
Portfolio turnover 91%
Net assets, at end of period (000 omitted) $467,259
---------------------------
1993**
<S> <C>
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET
ASSETS):
Expenses 0.48%+
Net investment income 5.64%+
Portfolio turnover 37%
Net assets, at end of period (000 omitted) $648,807
<S> <C>
1993**
RATIOS (AS A PERCENTAGE OF AVERAGE DAILY NET
ASSETS):
Expenses 0.49%+
Net investment income 5.61%+
Portfolio turnover 24%
Net assets, at end of period (000 omitted) $298,092
</TABLE>
+ Annualized.
* For the six months ended September 30, 1994 (Note 7).
** For the period from the start of business, February 1, 1993, to September
30, 1993.
*** For the period from the start of business, May 3, 1993 to March 31, 1994.
See notes to financial statements
39
<PAGE>
- ---------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
National Municipals Portfolio (National Portfolio) and California Tax Free
Portfolio (California Portfolio) are registered under the Investment Company
Act of 1940 as diversified open-end management investment companies which were
organized as trusts under the laws of the State of New York on May 1, 1992.
Massachusetts Tax Free Portfolio (Massachusetts Portfolio), New York Tax Free
Portfolio (New York Portfolio), and Ohio Tax Free Portfolio (Ohio Portfolio),
collectively the Portfolios, are registered under the Investment Company Act
of 1940 as non-diversified open-end management investment companies which were
organized as trusts under the laws of the State of New York on May 1, 1992.
The Declarations of Trust permit the Trustees to issue interests in the
Portfolios. The following is a summary of significant accounting policies of
the Portfolios. The policies are in conformity with generally accepted
accounting principles.
A. INVESTMENT VALUATION - Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the
mean between the latest bid and asked prices. Futures contracts listed on
commodity exchanges are valued at closing settlement prices. Short-term
obligations, maturing in sixty days or less, are valued at amortized cost,
which approximates value. Investments for which valuations or market
quotations are unavailable are valued at fair value using methods
determined in good faith by or at the direction of the Trustees.
B. INCOME - Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. INCOME TAXES - The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for federal or state taxes
on any taxable income of the Portfolios because each investor in the
Portfolios are ultimately responsible for the payment of any taxes. Since
some of the Portfolios' investors are regulated investment companies that
invest all or substantially all of their assets in the Portfolios, the
Portfolios normally must satisfy the applicable source of income and
diversification requirements (under the Internal Revenue Code) in order for
their respective investors to satisfy them. The Portfolios will allocate at
least annually among their respective investors each investor's
distributive share of the Portfolios' net taxable (if any) and tax-exempt
investment income, net realized capital gains, and any other items of
income, gain, loss, deductions or credit. Interest income received by the
Portfolios on investments in municipal bonds, which is excludable from
gross income under the Internal Revenue Code, will retain its status as
income exempt from federal income tax when allocated to each Portfolio's
investors. The portion of such interest, if any, earned on private activity
bonds issued after August 7, 1986, may be considered a tax preference item
for investors.
D. DEFERRED ORGANIZATION EXPENSES - Costs incurred by a Portfolio in
connection with its organization are being amortized on the straight-line
basis over five years.
E. FINANCIAL FUTURES CONTRACTS - Upon the entering of a financial futures
contract, a Portfolio is required to deposit ("initial margin") either in
cash or securities an amount equal to a certain percentage of the purchase
price indicated in the financial futures contract. Subsequent payments are
made or received by a Portfolio ("margin maintenance") each day, dependent
on the daily fluctuations in the value of the underlying security, and are
recorded for book purposes as unrealized gains or losses by a Portfolio. A
Portfolio's investment in financial futures contracts is designed only to
hedge against anticipated future changes in interest rates. Should interest
rates move unexpectedly, a Portfolio may not achieve the anticipated
benefits of the financial futures contracts and may realize a loss.
F. LEGAL FEES - Legal fees and other related expenses incurred as part of
negotiations of the terms and requirements of capital infusions, or that
are expected to result in the restructuring of or a plan of reorganization
for an investment are recorded as realized losses. Ongoing expenditures to
protect or enhance an investment are treated as operating expenses.
G. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS - The Portfolios may engage
in when-issued and delayed delivery transactions. The Portfolios record
when-issued securities on trade date and maintain security positions such
that sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked to market daily and begin earning interest on
settlement date.
H. OTHER - Investment transactions are accounted for on a trade date basis.
40
<PAGE>
- ---------------------------------------------------------------
(2) INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS
WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR),
as compensation for management and investment advisory services rendered to
each Portfolio. The fee is based upon a percentage of average daily net assets
plus a percentage of gross income (i.e., income other than gains from the sale
of securities). For the year ended September 30, 1995, each Portfolio paid
advisory fees as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
PORTFOLIO AMOUNT
<S> <C>
National $9,944,026
California 2,121,262
Massachusetts 1,383,407
New York 3,031,508
Ohio 1,463,895
<CAPTION>
PORTFOLIO EFFECTIVE RATE
<S> <C>
National 0.45%
California 0.50%
Massachusetts 0.46%
New York 0.47%
Ohio 0.46%
</TABLE>
Except as to Trustees of the Portfolios who are not members of BMR's
organization, officers and Trustees receive remuneration for their services to
the Portfolios out of such investment adviser fee. Investors Bank & Trust
Company (IBT), an affiliate of BMR, serves as custodian of the Portfolios.
Pursuant to the custodian agreements, IBT receives a fee reduced by credits
which are determined based on the average daily cash balances each Portfolio
maintains with IBT. All significant credit balances are reported as a
reduction of expenses in the statement of operations. Certain of the officers
and Trustees of the Portfolios are officers and directors/trustees of the
above organizations. Trustees of the Portfolios that are not affiliated with
the Investment Adviser may elect to defer receipt of all or a portion of their
annual fees in accordance with the terms of the Trustees Deferred Compensation
Plan. For the year ended September 30, 1995, no significant amounts have been
deferred.
- ---------------------------------------------------------------
(3) INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities and
short-term obligations, for the year ended September 30, 1995 were as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
NATIONAL CALIFORNIA MASSACHUSETTS NEW YORK
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C>
Purchases $1,192,305,188 $240,733,525 $256,567,304 $355,016,997
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Sales $1,201,905,002 $289,176,459 $272,646,745 $397,804,899
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
OHIO
PORTFOLIO
<S> <C>
Purchases $159,675,006
---------------
---------------
Sales $188,427,313
---------------
---------------
</TABLE>
- --------------------------------------------------
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation/depreciation in value of the investments
owned by each Portfolio at September 30, 1995, as computed on a federal income
tax basis, are as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
NATIONAL CALIFORNIA MASSACHUSETTS
PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
Aggregate Cost $2,148,345,455 $381,719,158 $277,979,560
--------------- --------------- ---------------
--------------- --------------- ---------------
Gross unrealized appreciation $ 165,148,448 $24,714,474 $17,673,126
Gross unrealized depreciation 29,773,867 411,381 149,131
--------------- --------------- ---------------
Net unrealized appreciation $ 135,374,581 $24,303,093 $17,523,995
--------------- --------------- ---------------
--------------- --------------- ---------------
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
NEW YORK OHIO
PORTFOLIO PORTFOLIO
<S> <C> <C> <C>
Aggregate Cost $610,645,613 $304,406,955
--------------- ---------------
--------------- ---------------
Gross unrealized appreciation $34,539,991 $13,447,996
Gross unrealized depreciation 2,837,017 1,456,305
--------------- ---------------
Net unrealized appreciation $31,702,974 $11,991,691
--------------- ---------------
--------------- ---------------
</TABLE>
41
<PAGE>
- ---------------------------------------------------------------
(5) LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR in a
$120 million unsecured line of credit agreement with a bank. The line of
credit consists of a $20 million committed facility and a $100 million
discretionary facility. Each Portfolio may temporarily borrow up to 5% of its
total assets to satisfy redemption requests and settle securities
transactions. Interest is charged to each portfolio or fund based on its
borrowings at an amount above either the bank's adjusted certificate of
deposit rate, a variable adjusted certificate of deposit rate, or a federal
funds effective rate. In addition, a fee computed at an annual rate of 1/4 of
1% on the $20 million committed facility and on the daily unused portion of
the $100 million discretionary facility is allocated among the participating
funds and portfolios at the end of each quarter. At September 30, 1995, the
California Portfolio, Massachusetts Portfolio, New York Portfolio and Ohio
Portfolio had balances outstanding pursuant to this line of credit of
$2,032,000, $2,018,000, $476,000 and $3,860,000, respectively.
For the year ended September 30, 1995, the Ohio Portfolio had an average daily
balance outstanding pursuant to this line of credit of $2,928,000 at an
average interest rate of 7.27%. The Ohio Portfolio's maximum outstanding month
end balance during the year was $9,776,000. The National Portfolio, California
Portfolio, Massachusetts Portfolio and New York Portfolio did not have any
significant borrowings or allocated fees during the year ended September 30,
1995.
- ---------------------------------------------------------------
(6) FINANCIAL INSTRUMENTS
The Portfolios regularly trade in financial instruments with off-balance sheet
risk in the normal course of their investing activities to assist in managing
exposure to various market risks. These financial instruments include written
options and futures contracts and may involve, to a varying degree, elements
of risk in excess of the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered. A summary of
obligations under these financial instruments at September 30, 1995 is as
follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
FUTURES
CONTRACTS
PORTFOLIO EXPIRATION DATE CONTRACTS POSITION
<S> <C> <C> <C>
California 12/95 75 U.S. Treasury Bonds Short
Massachusetts 12/95 45 U.S. Treasury Bonds Short
New York 12/95 347 U.S. Treasury Bonds Short
<CAPTION>
- ----------------------------------------------------
NET UNREALIZED
PORTFOLIO DEPRECIATION
<S> <C>
California $ 173,499
Massachusetts 104,100
New York 362,862
</TABLE>
At September 30, 1995, each Portfolio had sufficient cash and/or securities to
cover margin requirements on open futures contracts. The National Portfolio
and Ohio Portfolio did not have any open obligations under these financial
instruments at September 30, 1995.
- ---------------------------------------------------------------
(7) CHANGE OF FISCAL YEAR
The California Portfolio changed its fiscal year end from March 31, to
September 30, effective September 30, 1994.
42
<PAGE>
- ---------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
TO THE TRUSTEES AND INVESTORS OF:
NATIONAL MUNICIPALS PORTFOLIO
CALIFORNIA TAX FREE PORTFOLIO
MASSACHUSETTS TAX FREE PORTFOLIO
NEW YORK TAX FREE PORTFOLIO
OHIO TAX FREE PORTFOLIO
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments, of National Municipals Portfolio,
California Tax Free Portfolio, Massachusetts Tax Free Portfolio, New York Tax
Free Portfolio, and Ohio Tax Free Portfolio as of September 30, 1995, the
related statements of operations for the year then ended, the statements of
changes in net assets for the years ended September 30, 1995 and 1994, and for
the California Tax Free Portfolio the year ended March 31, 1994, and the
supplementary data for each of the years in the three-year period ended
September 30, 1995. These financial statements and supplementary data are the
responsibility of each Trusts' management. Our responsibility is to express an
opinion on the financial statements and supplementary data 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
supplementary data 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 at September 30, 1995, by correspondence with the custodian and brokers;
where replies were not received from brokers, we performed other audit
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, such financial statements and supplementary data present
fairly, in all material respects, the financial position of National
Municipals Portfolio, California Tax Free Portfolio, Massachusetts Tax Free
Portfolio, New York Tax Free Portfolio, and Ohio Tax Free Portfolio at
September 30, 1995, the results of their operations, the changes in their net
assets and their supplementary data for the respective stated periods in
conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
October 27, 1995
43
<PAGE>
INVESTMENT MANAGEMENT PORTFOLIOS
------------------------------------------
OFFICERS AND BOARD OF TRUSTEES
OFFICERS
THOMAS J. FETTER
President and Portfolio Manager
of the Ohio Tax Free Portfolio
JAMES B. HAWKES
Vice President, Trustee
ROBERT B. MACINTOSH
Vice President and Portfolio
Manager of the California and
Massachusetts Tax Free Portfolios
JAMES L. O'CONNOR
Treasurer
BARBARA E. CAMPBELL
Assistant Treasurer
DOUGLAS C. MILLER
Assistant Treasurer
THOMAS OTIS
Secretary
JANET E. SANDERS
Assistant Treasurer and
Assistant Secretary
INDEPENDENT TRUSTEES
DONALD R. DWIGHT
President, Dwight Partners, Inc.
Chairman, Newspaper of New England, Inc.
SAMUEL L. HAYES, III
Jacob H. Schiff Professor of
Investment Banking,
Harvard Graduate School of Business
Administration
NORTON H. REAMER
President and Director,
United Asset Management Corporation
JOHN L. THORNDIKE
Director, Fiduciary Trust Company
JACK L. TREYNOR
Investment Adviser and Consultant
PORTFOLIO MANAGERS
NICOLE ANDERES,
New York Tax Free Portfolio
TOM METZOLD,
National Municipals Portfolio
<PAGE>
CONNECTICUT MUTUAL INVESTMENT ACCOUNTS, INC.
--------------------------------------
BOARD OF DIRECTORS AND OFFICERS
DIRECTORS
RICHARD H. AYERS
Chairman and Chief Executive Officer
The Stanley Works
DAVID E. A. CARSON
President, Chairman and
Chief Executive Officer
People's Bank
DONALD H. POND, JR., FSA, CLU
Retired Executive Vice President
Connecticut Mutual Life Insurance Company
RICHARD W. GREENE
Executive Vice President and Treasurer
University of Rochester
BEVERLY L. HAMILTON
President
ARCO Investment Management Company
DAVID E. SAMS, JR.
President and Chief Executive Officer
Connecticut Mutual Life Insurance Company
OFFICERS
DONALD H. POND, JR., FSA, CLU, President
Retired Executive Vice President
Connecticut Mutual Life Insurance Company
LINDA M. NAPOLI, Treasurer and Controller
Treasurer, Mutual Funds
Connecticut Mutual Life Insurance Company
LOUIS A. LACCAVOLE, CPA, General Auditor
Vice President and General Auditor
Connecticut Mutual Life Insurance Company
ANN F. LOMELI, Secretary
Corporate Secretary and Counsel
Connecticut Mutual Life Insurance Company
AUDITORS
ARTHUR ANDERSEN LLP
Hartford, CT
This report has been prepared for shareholders of the Account and may be
distributed to prospective investors in the Account when preceded or accompanied
by a current prospectus.
<PAGE>
CMIA SHAREHOLDER SERVICES AGENT
National Financial Data Services
P.O. Box 419694
Kansas City, MO 64179-0948
1-800-322-CMIA
YOUR CMIA REPRESENTATIVE IS:
National Distributor
Connecticut Mutual
Financial Services, LLC
an affiliate of
[LOGO] CONNECTICUT MUTUAL
THE BLUE CHIP COMPANY
CONNECTICUT MUTUAL LIFE
INSURANCE COMPANY
140 Garden Street
Hartford, CT 06154
1-800-234-5606
