Semi Annual Report
December 31, 1998 Thornburg Limited Term Municipal Fund National Portfolio
<TABLE>
<CAPTION>
Fund facts. . . as of 12/31/98
<S> <C> <C> <C>
Thornburg Thornburg Thornburg
Limited Term Limited Term Limited Term
Municipal Fund Nat'l Municipal Fund Nat'l Municipal Fund Nat'l
A Shares C Shares I Shares
SEC Yield 3.30% 2.93% 3.75%
Taxable Equiv. Yields 5.46% 4.85% 6.21%
NAV $13.59 $13.61 $13.59
Max. Offering Price $13.94 $13.61 $13.59
Total returns. . . as of 12/31/98
(Annual Average - After Subtracting Maximum Sales Charge)
One Year 2.16% 4.36% 5.18%
Three Year 3.86% 4.29% N/A
Five Year 3.96% N/A N/A
Ten Year 5.90% N/A N/A
Since Inception 6.78% 4.76% 6.01%
Inception Date (9/28/84) (9/1/94) (7/5/96)
<FN>
Taxable equivalent yields assume a 39.6% marginal federal tax rate. Net
investment income of the National Portfolio will be subject to applicable state
and local taxes. The investment return and principal value of an investment in
the fund will fluctuate so that, when redeemed, an investor's shares may be
worth more or less than their original cost.
Maximum sales charge of the Fund's Class A Shares is 2.50%.
The data quoted represent past performance and may not be construed as a
guarantee of future results.
</FN>
</TABLE>
Dear Shareholder,
I am pleased to present the Semiannual Report for the National Portfolio of
Thornburg Limited Term Municipal Fund for the period ending December 31, 1998.
The net asset value of the A shares increased 9 cents per share to $13.59 during
the period. If you were with us for the entire period, you received dividends of
29.5 cents per share. If you reinvested your dividends, you received 29.8 cents
per share. Investors who owned C Shares received dividends of 26.7 and 26.9
cents per share, respectively. Your Limited Term Municipal Fund portfolio
currently holds over 570 municipal obligations from 49 states and 3 U.S.
Territories. Approximately 90% of the bonds are rated A or better by one of the
major rating agencies. As you know, we "ladder" the maturities of the bonds in
your portfolio so that some bonds are scheduled to mature at par during each of
the coming years. Today, your fund's weighted average maturity is approximately
4.2 years, and we always keep it below 5 years. Percentages of the portfolio
maturing in the coming years are summarized below:
Over the last 6 months your average portfolio maturity has increased slightly.
The passage of time shortened the maturities of the bonds we owned at the
beginning of the period. We directed portfolio cash flow and new money primarily
into the five to nine year maturity range of your bond ladder, taking advantage
of the plentiful supply and good selection of new municipal bonds that came to
market last year. Today, we are managing the portfolio to keep the average
maturity approximately where it is. The supply of new municipals in the first 2
months of 1999 has been low, but we believe this will change very soon. We
currently intend to keep your average portfolio maturity where it is if interest
rates remain stable or decrease. If bond yields increase, we will likely extend
the average portfolio maturity. This would permit us to increase our dividend
yields if higher yields are available. You may or may not be aware of how the
Alternative Minimum Tax (AMT) affects certain taxpayers who may receive
significant proportions of their overall income from sources other than ordinary
wages. The AMT assures that all taxpayers pay at least a minimum rate,
regardless of exemptions, tax-credits, or the character of certain income
components. The interest paid on certain so-called "private-purpose" municipal
bonds is subject to the AMT, and this has been the case since 1986. Your
Thornburg Limited Term Municipal Fund does not own any municipal bonds which are
subject to the AMT. We have so far been able to achieve our objectives with
municipal bonds that are fully exempt from federal income taxes, and we hope
that we will continue to be able to do so. In the past, investors seem to have
drawn no distinction between bond funds (like your Thornburg Limited Term
Municipal Fund) that own no AMT bonds, and those that are full of them. We
believe this will soon change. In the next few years the AMT will catch ever
increasing numbers of taxpayers who qualify for tax breaks or derive income from
capital gains, employee benefits or other "non-ordinary" sources. The tables
below illustrate how application of present tax law can be expected to increase
the number of taxpayers subject to the AMT in 2008 verses 1998.
Summary: Current and Projected Impact of AMT on Various Income Groups
1998 2008
AMT Payers as a % of All AMT Payers as a % of All
Taxpayers in Category Taxpayers in Category
Income Category
$30,000 to less than $40,000 0.1% 0.9%
$40,000 to less than $50,000 0.1% 1.8%
$50,000 to less than $75,000 0.3% 5.8%
$75,000 to less than $100,000 1.0% 19.7%
$100,000 to less than $200,000 3.2% 26.6%
$200,000 and over 17.9% 42.7%
(Source: Joint Tax Committee U.S. Congress, Merrill Lynch)
If present tax laws are not changed, the AMT status of their municipal bond
holdings will become a matter of greater importance to a significant percentage
of upper and middle income taxpayers between now and 2008. The table above
clearly shows that. Again, we want to reiterate that your Thornburg Limited Term
Municipal Fund does not own any municipal bonds which are subject to the AMT on
individuals. Stay tuned for further developments. Over the years, our practice
of laddering a diversified portfolio of short and intermediate maturity bonds
has allowed your fund to consistently perform well in varying interest rate
environments. Your fund has earned Morningstar's 5 star overall rating* for risk
adjusted performance. In addition, your fund recently received a Performance
Achievement Certificate from Lipper** for having the number 1 ranked performance
among 5 short-intermediate municipal debt funds for the 10 year period ending
December 31, 1998. I would like to attribute this to capable execution of a
sensible investment strategy over time. Thank you for investing in Thornburg
Limited Term Municipal Fund.
Sincerely,
Brian J. McMahon George Strickland
Manager Co-Portfolio Manager
% of portfolio Cumulative %
maturing within maturing by end of
1 years = 10% year 1 = 10%
1 to 2 years = 15% year 2 = 25%
2 to 3 years = 17% year 3 = 42%
3 to 4 years = 12% year 4 = 54%
4 to 5 years = 11% year 5 = 65%
5 to 6 years = 7% year 6 = 72%
6 to 7 years = 8% year 7 = 80%
7 to 8 years = 7% year 8 = 87%
8 to 9 years = 8% year 9 = 95%
9 to 10 years = 4% year 10 = 99%
At 12/31/98. Portfolio holdings can and do vary over time.
*Morningstar proprietary rating reflects historical risk adjusted performances
as of 12/31/98. Ratings are subject to change every month. Funds with at least
three years of performance history are assigned ratings from one star (lowest)
to five stars (highest). Morningstar overall ratings are calculated from the
funds' three-, five-, and ten year average annual returns and a risk factor that
reflects fund performance relative to three month Treasury bill returns. 10% of
the funds in an investment category receive five stars and 22.5% receive four
stars. LTMFX is ranked 4 stars for the 3-year period, 4 stars for the 5-year
period, and 5 stars for the 10-year period ending 12/31/98. At 12/31/98, there
were 1577 bond funds with 3-year ratings, 1040 with 5-year ratings, and 370 with
10-year ratings in Morningstar's Municipal Bond category. Ratings are for Class
A shares only. **Lipper Analytical Services, Inc., a division of Reuters,
collects mutual fund data from investment advisors and provides rankings of
mutual funds. Past performance cannot guarantee future results.
ASSETS
Investments at value (cost $934,631,718) $ 970,869,700
Cash 2,395,682
Receivable for fund shares sold 1,022,008
Interest receivable 15,271,402
Prepaid expenses and other assets 62,018
Total Assets 989,620,810
LIABILITIES
Payable for investments purchased 57,555,960
Payable for fund shares redeemed 2,075,153
Accounts payable investment advisor (Note 4) 458,979
Accounts payable and accrued expenses 640,311
Dividends Payable 3,375,772
Total Liabilities 64,106,175
NET ASSETS $ 925,514,635
NET ASSET VALUE:
Class A Shares:
Net asset value and redemption price per share ($821,913,109
applicable to 60,493,696 shares of beneficial interest
outstanding - Note 5) $ 13.59
Maximum sales charge, 2.50 % of offering
price (2.57% of net asset value per share) 0.35
Maximum Offering Price Per Share $ 13.94
Class C Shares:
Net asset value and offering price per share * ($25,010,765
applicable to 1,837,677 shares of beneficial interest
outstanding - Note 5) $ 13.61
Class I Shares:
Net asset value, offering and redemption price per share
($78,590,761 applicable to 5,783,589 shares of beneficial
interest outstanding - Note 5) $ 13.59
*Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
See notes to unaudited financial statements.
INVESTMENT INCOME:
Interest income (net of premium amortized
of $2,012,985) $24,767,842
EXPENSES:
Investment advisory fees (Note 4) 2,131,547
Administration fees (Note 4)
Class A Shares 522,464
Class C Shares 15,197
Class I Shares 19,872
Distribution and service fees (Note 4)
Class A Shares 1,044,929
Class C Shares 120,598
Transfer agent fees 244,091
Custodian fees 178,600
Registration and filing fees 43,875
Professional fees 38,950
Accounting fees 46,465
Director fees 16,199
Other expenses 35,074
Total Expenses 4,457,861
Less:
Expenses reimbursed by investment advisor (Note 4) (1,240)
Distribution and service fees waived (Note 4) (44,612)
Net Expenses 4,412,009
Net Investment Income 20,355,833
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS (Note 6)
Net realized gain on investments sold 433,513
Increase in unrealized appreciation of investments 5,175,562
Net Realized and Unrealized Gain
on Investments 5,609,075
Net Increase in Net Assets Resulting from Operation $25,964,908
See notes to unaudited financial statements.
Six Months Ended Year Ended
December 31,1998 June 30,1998
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 20,355,833 $ 41,845,041
Net realized gain on investments sold 433,513 342,383
Increase in unrealized appreciation of investment 5,175,562 4,063,563
Net Increase in Assets Resulting from Operations 25,964,908 46,250,987
DIVIDENDS TO SHAREHOLDERS:
From net investment income
Class A Shares (18,026,847) (38,380,219)
Class C Shares (472,999) (826,124)
Class I Shares (1,855,987) (2,638,698)
FUND SHARE TRANSACTIONS (Note 5):
Class A Shares (20,055,062) (4,905,669)
Class C Shares 2,145,755 3,140,092
Class I Shares 534,891 41,796,989
Net Increase (Decrease) in Net Assets (11,765,341) 44,437,358
NET ASSETS:
Beginning of period 937,279,976 892,842,618
End of period $ 925,514,635$ 937,279,976
See notes to unaudited financial statements.
Note 1 - Organization
Thornburg Limited Term Municipal Fund, Inc. (the "Fund") was incorporated in
Maryland on February 14, 1984. The Fund was reorganized in 1986 as a series
investment company with separate investment portfolios. The current portfolios
are as follows: National Portfolio (the "Portfolio") and California Portfolio.
The Fund is an open-end diversified management investment company, registered
under the Investment Company Act of 1940, as amended. The primary investment
objective of the Fund is to obtain as high a level of current income exempt from
federal income tax as is consistent with preservation of capital. The Portfolio
currently offers three classes of shares of beneficial interest, Class A, Class
C and Institutional Class (Class I) shares. Each class of shares of the
Portfolio represents an interest in the same portfolio of investments, except
that (i) Class A shares are sold subject to a front-end sales charge collected
at the time the shares are purchased and bear a service fee, (ii) Class C shares
are sold at net asset value without a sales charge at the time of purchase, but
are subject to a contingent deferred sales charge upon redemption within one
year, and bear both a service fee and a distribution fee, (iii) Class I shares
are sold at net asset value without a sales charge at the time of purchase, and
(iv) the respective classes have different reinvestment privileges.
Additionally, the Portfolio may allocate among its classes certain expenses, to
the extent allowable to specific classes, including transfer agent fees,
government registration fees, certain printing and postage costs, and
administrative and legal expenses. Currently, class specific expenses of the
Portfolio are limited to distribution fees, administrative fees, and certain
transfer agent expenses.
Note 2 - Significant Accounting Policies
Significant accounting policies of the Fund are as follows:
Valuation of Investments: In determining the net asset value of the Portfolio,
the Fund utilizes an independent pricing service approved by the Board of
Directors. Debt investment securities have a primary market over the counter and
are valued on the basis of valuations furnished by the pricing service. The
pricing service values portfolio securities at quoted bid prices or the yield
equivalents when quotations are not readily available. Securities for which
quotations are not readily available are valued at fair value as determined by
the pricing service using methods which include consideration of yields or
prices of municipal obligations of comparable quality, type of issue, coupon,
maturity and rating; indications as to value from dealers and general market
conditions. The valuation procedures used by the pricing service and the
portfolio valuations received by the Portfolio are reviewed by the officers of
the Fund under the general supervision of the Board of Directors. Short-term
obligations having remaining maturities of 60 days or less are valued at
amortized cost, which approximates value. Federal Income Taxes: It is the policy
of the Fund to comply with the provisions of the Internal Revenue Code
applicable to "regulated investment companies" and to distribute all of its
taxable (if any) and tax exempt income to its shareholders. Therefore, no
provision for Federal income tax is required. Dividends paid by the Portfolio
for the six months ended December 31, 1998 represent exempt interest dividends
which are excludable by shareholders from gross income for Federal income tax
purposes. When-Issued and Delayed Delivery Transactions: The Fund may engage in
when-issued or delayed delivery transactions. To the extent the Fund engages in
such transactions, it will do so for the purpose of acquiring portfolio
securities consistent with the investment objectives of the Portfolio and not
for the purpose of investment leverage or to speculate on interest rate changes.
At the time the Fund makes a commitment to purchase a security for the
Portfolio, on a when-issued basis, the Portfolio will record the transaction and
reflect the value in determining its net asset value. When effecting such
transactions, assets of the Portfolio of an amount sufficient to make payment
for the portfolio securities to be purchased will be segregated on the
Portfolio's records on the trade date. Securities purchased on a when-issued or
delayed delivery basis do not earn interest until the settlement date.
Dividends: Net investment income of the Portfolio is declared daily as a
dividend on shares for which the Fund has received payment. Dividends are paid
monthly and are reinvested in additional shares of the Portfolio at net asset
value per share at the close of business on the dividend payment date, or at the
shareholder's option, paid in cash. Net capital gains, to the extent available,
will be distributed annually. General: Securities transactions are accounted for
on a trade date basis. Interest income is accrued as earned. Premiums and
original issue discounts on securities purchased are amortized to call dates or
maturity dates of the respective securities. Realized gains and losses from the
sale of securities are recorded on an identified cost basis. Use of Estimates:
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates.
Note 3 - Merger of MacKenzie National Municipal Fund
On September 4, 1997, the Fund acquired all of the net assets of the MacKenzie
Limited Term National Municipal Fund ("MacKenzie") pursuant to a plan of
reorganization approved by MacKenzie's shareholders. The merger was accomplished
by a tax free exchange of Class A shares of the Portfolio (valued at
$51,645,133) for the net assets of MacKenzie which aggregated $51,645,133,
including $1,028,723 of unrealized appreciation. The combined net assets of the
Portfolio immediately after merger were $936,759,616.
Note 4 - Investment Advisory Fee and Other Transactions With Affiliates
Pursuant to an investment advisory agreement, Thornburg Management Company, Inc.
(the "Adviser") serves as the investment adviser and performs services for which
the fees are payable at the end of each month. For the six months ended December
31, 1998, these fees were payable at annual rates ranging from 1/2 of 1% to 9/40
of 1% of the average daily net assets of the Portfolio. The Fund also has an
Administrative Services Agreement with the Adviser, whereby the Adviser will
perform certain administrative services for the shareholders of each class of
the Portfolio's shares, and for which fees will be payable at an annual rate of
up to 1/8 of 1% of the average daily net assets attributable to each class of
shares. For the six months ended December 31, 1998, the Adviser voluntarily
reimbursed certain operating expenses amounting to $1,240. The Fund has an
underwriting agreement with Thornburg Securities Corporation (the
"Distributor"), which acts as the Distributor of Portfolio shares. For the six
months ended December 31, 1998, the Distributor earned commissions aggregating
$47,427 from the sale of Class A shares, and collected contingent deferred sales
charges aggregating $3,606 from redemptions of Class C shares of the Portfolio.
Pursuant to a Service Plan under Rule 12b-1 of the Investment Company Act of
1940, the Fund may reimburse to the Adviser amounts not to exceed .25 of 1% per
annum of the average net assets attributable to each class of shares of the
Portfolio for payments made by the Adviser to securities dealers and other
financial institutions to obtain various shareholder related services. The
Adviser may pay out of its own funds additional expenses for distribution of the
Portfolio's shares. The Fund has also adopted a Distribution Plan pursuant to
Rule 12b-1, applicable only to the Portfolio's Class C shares under which the
Fund compensates the Distributor for services in promoting the sale of Class C
shares of the Portfolio at an annual rate of up to .75% of the average daily net
assets attributable to Class C shares. Total fees incurred by each class of
shares of the Portfolio under their respective service and distribution plans
and fees waived by the Distributor for the six months ended December 31, 1998,
are set forth in the statement of operations. Certain officers and directors of
the Fund are also officers and/or directors of the Adviser and Distributor. The
compensation of unaffiliated directors is borne by the Fund.
<TABLE>
<CAPTION>
Note 5 - Shares of Beneficial Interest
At December 31, 1998 there were an unlimited number of shares of beneficial
interest authorized, and capital paid in aggregated $893,264,049. Transactions
in shares of beneficial interest were as follows:
<S> <C> <C> <C> <C>
Six Months Ended Year Ended
December 31,1998 June 30,1998
Class A Shares Shares Amount Shares Amount
Shares sold 3,025,373 $41,111,095 11,281,653 $152,647,428
Shares issued to shareholders in
reinvestment of distributions 987,285 13,395,461 1,828,097 24,714,633
Shares issued in merger 0 0 3,834,086 51,645,133
Shares repurchased (5,493,278) (74,561,618) (17,296,867) (233,912,863)
Net Increase (Decrease) (1,480,620) ($20,055,062) (353,031) ($4,905,669)
Class C Shares
Shares sold 334,924 $4,558,002 633,883 $8,559,695
Shares issued to shareholders in
reinvestment of distributions 32,365 440,064 48,651 658,733
Shares repurchased (209,753) (2,852,311) (499,094) (6,078,336)
Net Increase 157,536 $2,145,755 233,440 $3,140,092
Class I Shares
Shares sold 1,373,056 $18,641,349 3,756,419 $50,860,935
Shares issued to shareholders in
reinvestment of distributions 125,710 1,706,126 142,116 1,920,839
Shares repurchased (1,461,131) (19,812,584) (812,038) (10,984,785)
Net Increase 37,635 $534,891 3,086,497 $41,796,989
<FN>
Note 6 - Securities Transactions
For the six months ended December 31, 1998, the Portfolio had purchase and sale
transactions (excluding short-term securities) of $105,938,238 and $98,398,836
respectively. The cost of investments for Federal income tax purposes is
$934,631,718. At December 31, 1998, net unrealized appreciation of investments
was $36,237,982, resulting from $36,745,910 gross unrealized appreciation and
$507,928 gross unrealized depreciation. Accumulated net realized losses from
security transactions included in net assets at December 31, 1998 aggregated
$3,987,396. For Federal income tax purposes, the Portfolio has realized capital
loss carryforwards of $3,829,870 from prior fiscal years available to offset
future realized capital gains. To the extent that such carryforwards are used,
no capital gains distributions will be made. The carryforwards expire as
follows: June 30, 2002 - $561,833, June 30, 2003 - $602,103, and June 30, 2004 -
$2,665,934.
</FN>
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C>
Six Months
Ended
December Year Ended June 30,
1998 1998 1997 1996 1995
CLASS A SHARES:
Net asset value, beginning of period $13.50 $13.44 $13.35 $13.37 $13.27
Income from investment operations:
Net investment income 0.30 0.61 0.62 0.63 0.64
Net realized and unrealized
gain (loss) on investments 0.09 0.06 0.09 (0.02) 0.10
Total from investment operations 0.39 0.67 0.71 0.61 0.74
Less dividends from:
Net investment income (0.30) (0.61) (0.62) (0.63) (0.64)
Change in net asset value 0.09 0.06 0.09 (0.02) 0.10
Net asset value, end of period $ 13.59 $ 13.50 $ 13.44 $ 13.35 $ 13.37
TOTAL RETURN (a) 4.80% 5.05% 5.46% 4.60% 5.76%
RATIOS/SUPPLEMENTAL DATA Ratios to average net asset:
Net investment income 4.31%(b) 4.50% 4.65% 4.66% 4.86%
Expenses 0.96%(b) 0.97% 0.96% 0.97% 0.97%
Portfolio turnover rate 10.20% 24.95% 23.39% 20.60% 23.02%
Net assets at end of period (000) $821,913 $836,947 $837,621 $917,831 $931,987
<FN>
(a) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(b) Annualized.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Per share operating performance
(for a share outstanding throughout the year)
<S> <C> <C> <C> <C> <C>
Six Months Period from
Ended Sept. 1, 1994 (a) -
December 31, Year Ended June 30, June 30,
1998 1998 1997 1996 1995
CLASS C SHARES:
Net asset value, beginning of period $13.53 $13.46 $13.37 $13.40 $13.29
Income from investment operations:
Net investment income 0.27 0.55 0.57 0.57 0.46
Net realized and unrealized
gain (loss) on investments 0.08 0.07 0.09 (0.03) 0.11
Total from investment operations 0.35 0.62 0.66 0.54 0.57
Less dividends from:
Net investment income (0.27) (0.55) (0.57) (0.57) (0.46)
Change in net asset value 0.08 0.07 0.09 (0.03) 0.11
Net asset value, end of period $ 13.61 $ 13.53 $ 13.46 $ 13.37 $ 13.40
TOTAL RETURN (b) 4.36% 4.70% 5.02% 4.05% 4.25%
RATIOS/SUPPLEMENTAL DATA Ratios to average net asset:
Net investment income 3.89% (c) 4.08% 4.24% 4.22% 4.21%(c)
Expenses, after expense reductions 1.38% (c) 1.38% 1.38% 1.41% 1.60%(c)
Expenses, before expense reductions1.78% (c) 1.83% 1.86% 1.63% 1.84%(c)
Portfolio turnover rate 10.20% 24.95% 23.39% 20.60% 23.02%
Net assets at end of period (000) $ 25,011 $ 22,729 $ 19,475 $ 15,948 $ 6,469
<FN>
(a) Commencement of sales of Class C shares.
(b) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(c) Annualized.
</FN>
</TABLE>
<TABLE>
<CAPTION>
Per share operating performance
(for a share outstanding throughout the year)
<S> <C> <C> <C>
Six Months Period from
Ended July 5, 1996(a) -
December 31, Year Ended June 30, June 30,
1998 1998 1997
CLASS I SHARES:
Net asset value, beginning of period $13.51 $13.44 $13.27
Income from investment operations:
Net investment income 0.32 0.66 0.66
Net realized and unrealized
gain (loss) on investments 0.08 0.07 0.17
Total from investment operations 0.40 0.73 0.83
Less dividends from:
Net investment income (0.32) (0.66) (0.66)
Change in net asset value 0.08 0.07 0.17
Net asset value, end of period $13.59 $13.51 $13.44
TOTAL RETURN (b) 5.18% 5.52% 6.42%
RATIOS/SUPPLEMENTAL DATA
Ratios to average net asset:
Net investment income 4.67%(c) 4.85% 5.01%(c)
Expenses, after expense reductions 0.60%(c) 0.60% 0.60%(c)
Expenses, before expense reductions 0.61%(c) 0.66% 0.79%(c)
Portfolio turnover rate 10.20% 24.95% 23.39%
Net assets at end of period (000) $78,591 $77,605 $35,746
<FN>
(a) Commencement of sale of Class I shares
(b) Sales loads are not reflected in computing total return, which is not
annualized for periods less than one year.
(c) Annualized.
</FN>
</TABLE>
Principal Underwriter
Thornburg Securities Corporation
119 East Marcy Street
Santa Fe, New Mexico 87501
(800) 847-0200
www.thornburg.com
This report is submitted for the general information of the shareholders of the
Fund. It is not authorized for distribution to prospective investors in the Fund
unless preceded or accompanied by an effective prospectus, which includes
information regarding the Fund's objectives and policies, experience of its
management, marketability of shares, and other information. Performance data
quoted represent past performance and do not guarantee future results.
<TABLE>
<CAPTION>
Schedule of Investments
Thornburg Limited Term Municipal - National Portfolio December 31, 1998
CUSIPS: Class A - 532-723-103, Class C - 532-723-509, Class I - 532-723-806
NASDAQ Symbols: Class A - LTMFX, Class C - LTMCX, Class I - LTMIX
<S> <C> <C> <C>
Principal Credit
Amount Issuer-Description Moody's/S&P Value
Alabama (1.80%)
1,675,000 Alabama A&M University Housing & General Fee Revenue Series 1992, 5.90% due 11/1/02 Aaa/AAA $ 1,804,863
(Living & Learning Center Project; Insured: MBIA)
1,000,000 Alabama Water Pollution Control Authority Series 1991, 6.45% due 8/15/02 (Insured: Aaa/AAA 1,066,630
AMBAC)
1,550,000 Birmingham Jefferson Civic Center Authority Special Tax Series 1989, 7.20% due 1/1/01 A3/A+ 1,585,619
2,500,000 Birmingham Special Care Facility Finance Authority Revenue Series 1990, 7.625% due A1/NR 2,638,975
12/1/10 put 12/1/00 (Methodist Homes for the Aging Project; LOC: SouthTrust Bank)
1,495,000 Houston County Hospital Board Revenue Refunding Series 1984, 7.625% due 4/1/07 Aaa/AAA 1,613,568
pre-refunded 2/15/02 @ 100 (South East Alabama Medical Center Project)
330,000 Houston County Hospital Revenue Bonds, 6.375% due 1/1/02 (ETM) Aaa/NR 343,913
1,000,000 Huntsville Healthcare Authority Revenue Bonds, 5.50% due 6/1/08 (Insured: MBIA) Aaa/AAA 1,087,400
1,695,000 Montgomery County Revenue Warrants Series 1992, 6.625% due 4/1/02 pre-refunded NR/AAA* 1,834,499
4/1/01 @ 102
2,640,000 Montgomery Special Care Facilities Baptist Med Center Series A, 4.40% due 5/1/02 Aaa/AAA 2,670,228
(Insured: AMBAC) (when issued)
705,000 Montgomery Special Care Facilities Baptist Med Center Series A, 4.75% due 5/1/04 Aaa/AAA 727,482
(Insured: AMBAC) (when issued)
735,000 Montgomery Special Care Facilities Baptist Med Center Series A, 4.80% due 5/1/05 Aaa/AAA 762,482
(Insured: AMBAC) (when issued)
770,000 Montgomery Special Care Facilities Baptist Med Center Series A, 4.85% due 5/1/06 Aaa/AAA 800,361
(Insured: AMBAC) (when issued)
965,000 Morgan County-Decatur Healthcare Revenue, 5.40% due 3/1/00 (Decatur General Hospital NR/AAA 987,793
Project; Insured: Connie Lee)
Alaska (0.30%)
2,500,000 North Slope Borough G.O. Refunding Series 1992-A, 5.80% due 6/30/02 (Insured: MBIA) Aaa/AAA 2,666,650
Arizona (1.90%)
1,250,000 Arizona Educational Loan Marketing Corporation Revenue Series 1992-A, 6.70% due 3/1/00 Aa2/NR 1,292,462
2,320,000 Arizona Municipal Finance Program Certificate of Participation Series 15, 8.65% due Aaa/AAA 2,869,585
8/1/04 (Flagstaff Project) (ETM)
235,000 Glendale Water and Sewer Revenue, 9.00% due 7/1/03 (ETM) Aaa/AAA 285,001
685,000 Maricopa County Certificate of Participation, 5.625% due 6/1/00 A2/BBB+ 696,090
500,000 Maricopa County School District 40 - Glendale General Obligation, 0% due 7/1/00 Baa1/A- 473,490
750,000 Maricopa County School District 40 - Glendale General Obligation, 0% due 1/1/01 Baa1/A- 694,245
1,000,000 Maricopa County Unified School District 48, 7.75% due 7/1/03 Aa2/AA 1,161,170
500,000 Maricopa County Unified School District 48 G.O., 5.60% due 7/1/03 Baa1/A- 534,135
2,000,000 Maricopa County/Paradise Valley Unified School District General Obligation Refunding Aaa/AAA 1,821,700
Series 1992, 0% due 7/1/01 (Insured: AMBAC)
3,800,000 Maricopa School District 41, 0% due 7/1/01 (Insured: FGIC) Aaa/AAA 3,461,230
2,000,000 Pima County/Tucson Unified School District 1 School Improvement Series 1992-D, 5.50% Aaa/AAA 2,119,860
due 7/1/02 (Insured: FGIC)
1,000,000 Show Low Industrial Development Authority Hospital Revenue Series A, 5.125% due NR/A 1,046,350
12/1/07 (Navapache Regional Medical Center Project; Insured: ACA)
175,000 South Tucson Municipal Property Corporation Series 1990, 8.20% due 6/1/99 (ETM) Aaa*/NR 178,598
175,000 South Tucson Municipal Property Corporation Series 1990, 8.25% due 6/1/00 (ETM) Aaa*/NR 186,368
1,200,000 Tucson Water System Revenue Refunding Series 1992, 5.80% due 7/1/99 A1/A+ 1,216,788
Arkansas (0.40%)
1,000,000 Arkansas State General Obligation College Savings, 0% due 6/1/02 Aa3/AA 874,900
2,645,000 Little Rock Hotel And Restaurant Gross Receipts Tax Refunding, 7.125% due 8/1/09 A/NR 3,189,394
California (12.60%)
2,145,000 Antelope Valley Hospital Revenue Bond, 5.50% due 1/1/07 (Insured: FSA) Aaa/AAA 2,332,816
4,000,000 California Cities Home Owner Lease Purchase Program Series A, 4.15% due 12/1/03 Aaa/AAA 4,059,640
(Insured: MBIA)
7,440,000 California Health Facilities Financing Authority Series 1991-D, 6.50% due 7/1/16 Aaa/AAA 8,110,046
pre-refunded 7/1/01 @ 102 (Catholic Health Care Project)
3,000,000 California Housing Financing Agency Revenue, 5.05% due 8/1/06 Aaa/AAA 3,074,670
515,000 California Public Works Board Lease Revenue, 4.75% due 10/1/07 A2/A 536,872
350,000 California State General Obligation, 9.25% due 3/1/05 Aa3/A+ 448,669
1,100,000 California Statewide Communities Development Authority Certificate of Participation, Aaa/AAA 1,107,084
3.45% (inverse floater) due 1/1/02 (Motion Picture & Television Fund Project;
Insured: AMBAC)
870,000 California Statewide Community Development Authority Insured Health Facilities NR/A+ 899,884
Revenue Certificate of Participation Series 1992, 6.40% due 5/1/02 (Eskaton
Properties Incorporated Phase II Project)
1,000,000 Escondido Multi Family Housing Revenue Refunding Bond Series 1997-A, 5.40% due 1/1/27 NR/AAA 1,059,140
put 7/1/07 (Terrace Gardens Project; Collateralized: FNMA)
910,000 Fairfield-Suisun Sewer District Revenue Refunding Series A, 6.50% due 5/1/03 Aaa/AAA 985,312
(Insured: MBIA)
7,125,000 Glendale Hospital Revenue Series 1994, 7.625% due 1/1/05 (Verdugo Hills Project; NR/A+ 7,936,039
Guarantee: Industrial Indemnity)
1,000,000 Los Angeles Transit Finance Corporation Certificate of Participation Series 1992-B, A1/NR 1,013,700
5.70% due 7/1/99
1,995,000 Los Angeles Transportation Commission Certificate of Participation, 5.90% due 7/1/00 A1/NR 2,068,995
2,500,000 Los Angeles Transportation Commission Certificate of Participation, 6.00% due 7/1/01 A1/NR 2,641,625
1,500,000 Los Angeles Unified School District Certificates of Participation, 6.20% due 6/1/01 A2/A 1,586,550
(Dr. Francisco Bravo Medical Project)
500,000 Los Angeles Water and Power, 9.00% due 2/1/02 Aa3/A+ 576,460
500,000 Los Angeles Water and Power, 9.00% due 9/1/04 Aa3/A+ 614,380
5,710,000 Los Angeles Water and Power, 7.10% due 1/15/31 crossover refunded 1/15/01 @ 102 Aa3/A+ 6,233,550
1,500,000 MSR Public Power Agency Series F, 5.45% due 7/1/01 (San Juan Project; Insured: AMBAC) Aaa/AAA 1,572,000
265,000 New Haven Unified School District Certificates of Participation, 7.00% due 12/1/99 NR/A- 271,058
1,375,000 Orange County Refunding Recovery A, 5.20% due 6/1/03 (ETM) Aaa/AAA 1,460,181
1,625,000 Orange County Unrefunded Bal Refunding Recovery A, 5.20% due 6/1/03 (Insured: MBIA) Aaa/AAA 1,722,549
6,400,000 Orange County Local Transportation Authority Sales Tax Revenue, 2.94% (inverse Aaa/AAA 6,407,040
floater) due 2/15/99 (Insured: FGIC)
1,000,000 Orange County Local Transportation Authority Sales Tax Revenue, 5.50% due 2/15/01 Aa/AA+ 1,042,710
13,000,000 Orange County Recovery Certificates of Participation Series A, 5.50% due 7/1/02 Aaa/AAA 13,801,060
(Insured: MBIA)
2,500,000 Orange County Refunding Recovery, 5.10% due 6/1/02 (Insured : MBIA) Aaa/AAA 2,621,350
7,600,000 Orange County Refunding Recovery, 6.50% due 6/1/04 (Insured: MBIA) Aaa/AAA 8,576,752
5,200,000 Orange County Refunding Recovery, 6.50% due 6/1/05 (Insured: MBIA) Aaa/AAA 5,939,232
2,000,000 Orange County Special Financing Authority Teeter Plan Revenue Series E, 6.15% due Baa1/BBB+ 2,045,540
11/1/14 put 11/1/99 (LOC: Industrial Bank of Japan)
5,000,000 Orange County Special Financing Authority Teeter Plan Revenue Series E, 6.35% due Baa1/BBB+ 5,292,200
11/1/14 put 11/1/01 (LOC: Industrial Bank of Japan)
1,290,000 Oxnard Harbor District Revenue Refunding, 6.60% due 8/1/00 (Insured: FSA) Aaa/AAA 1,332,054
1,000,000 Palm Springs Housing Authority Revenue Tahquitz Crt Apts A, 4.90% due 9/1/23 put NR/AAA 1,027,610
9/1/03 (LOC: FHLB)
500,000 Palomar Pomerado Health Systems Revenue, 0% due 11/1/03 (Insured: MBIA) Aaa/AAA 414,265
500,000 Pomona Public Financing Authority Rev. Series P, 5.625% due 10/1/03 NR/A- 536,925
2,745,000 Redwood City Multi Family Housing Revenue Series 1985-B, 5.20% due 10/1/08 put NR/A+ 2,770,144
10/1/00 (Redwood Shores Apartments Projects; Insured: Continental Casualty)
750,000 Redwood City Public Financing Authority Local Agency Rev. Series B, 7.10% due 7/15/01 NR/A- 814,770
(ETM)
620,000 San Francisco Airport Improvement Corporation Lease Revenue Bond, 7.875% due 7/1/99 Aaa/AAA 635,233
(United Airlines Project) (ETM)
1,000,000 San Francisco Port Community Rev., 9.00% due 7/1/03 A1/A- 1,208,630
2,100,000 San Joaquin County Certificates of Participation, 5.50% due 9/1/99 (General Hospital A3/A- 2,129,883
Project)
2,000,000 San Marcos PFA Tax Allocation Series 1992-A, 5.60% due 1/1/01 (Insured: FSA) (ETM) Aaa/AAA 2,085,960
500,000 Santa Clara Certificates of Participation, 7.75% due 2/1/02 (Insured: MBIA) Aaa/AAA 559,730
2,000,000 Santa Clara County Financing Authority Lease Revenue Series B, 5.50% due 5/15/09 Aaa/AAA 2,102,520
(when issued) (Insured: AMBAC)
4,180,000 Santa Margarita / Dana Point Authority Revenue Improvement District Series A, 9.50% Aaa/AAA 5,150,178
due 8/1/03 (Insured: MBIA)
1,000,000 Sonoma County Certificate of Participation Public Works Improvement Program, 5.875% NR/A+ 1,029,960
due 8/1/04 (Integrated Waste Project)
750,000 Southern California Public Power Authority Rev., 6.75% due 7/1/01 (Power Project) A/A 797,962
2,000,000 Southgate Recreation & Park District Certification of Participation, 5.15% due NR/A+ 2,073,980
10/1/21 pre-refunded 10/1/01 (Wildhawk Golf Club Project; LOC: U.S. Bank of
California)
1,000,000 University California Certificates of Participation, 10.00% due 11/1/03 (UCLA Center Aa3/NR 1,264,390
Chiller/Cogen Project)
780,000 University California Revenue Series A, 6.30% due 9/1/00 NR/A+ 815,857
Colorado (3.80%)
500,000 Arvada Limited Sales & Use Tax Series 1991, 6.50% due 6/1/01 (ETM) Aaa*/NR 532,215
2,000,000 Aurora Centretech Metropolitan District Colorado Refunding Series C, 4.875% due NR/A+ 2,013,400
12/1/28 , put 12/1/08 (LOC: Banque Nationale Paris)
390,000 Boulder County Single Family Revenue Series 1982-A, 10.00% due 11/1/99 NR/CC 362,123
2,355,000 Boulder Urban Renewal Authority Tax Increment Refunding Series 1992, 5.90% due 3/1/01 Aaa/AAA 2,441,523
(Insured: MBIA)
1,465,000 Boulder Urban Renewal Authority Tax Increment Refunding Series 1992, 6.00% due 3/1/02 Aaa/AAA 1,522,472
(Insured: MBIA)
490,000 Castle Pines Metropolitan District General Obligation Refunding & Improvement, 7.50% Aaa/AAA 509,634
due 12/1/99 (Insured: FSA) (ETM)
370,000 Colorado Health Facilities Authority Revenue Refunding National Benevolent Baa1/NR 370,980
Association B, 4.90% due 2/1/08
2,000,000 Colorado Housing Finance Authority Capital Appreciation Series A, 0% due 11/1/01 Aa1/AA- 1,725,160
835,000 Colorado Student Loan Revenue Series 1992-B, 6.40% due 9/1/99 A/NR 852,627
2,020,000 Colorado Student Loan Revenue Series 1992-B, 6.55% due 12/1/02 A/NR 2,126,353
3,230,000 Colorado Student Obligation Bond Authority Revenue Series 1994-L, 5.90% due 9/1/00 A/NR 3,343,696
2,395,000 Colorado Student Obligation Bond Authority Student Loan Revenue Series B, 5.90% due A/NR 2,507,828
9/1/02
1,080,000 Denver City & County Industrial Development Revenue, 7.40% due 3/1/03 (University of NR/A- 1,172,653
Denver Project)
1,155,000 Denver City & County Industrial Development Revenue, 7.50% due 3/1/04 (University of NR/A- 1,256,455
Denver Project)
1,185,000 Denver City & County Industrial Development Revenue, 7.60% due 3/1/05 (University of NR/A- 1,295,419
Denver Project)
315,000 Denver City & County Industrial Development Revenue, 6.40% due 12/1/10 NR/A+ 319,306
3,500,000 Denver City & County Industrial Development Revenue, 5.375% due 7/1/11 put 7/1/00 NR/A1+ 3,562,230
(Translogic Corporation Project; LOC: Commerzbank)
2,460,000 Denver School District 1 Certificate of Participation Series 1996, 5.50% due 12/15/02 Aaa/AAA 2,616,850
(Insured: AMBAC)
500,000 El Paso County School District General Obligation 20 Series B, 8.25% due 12/15/04 Aa3/NR 608,825
(State Aid Withholding)
560,000 Highlands Ranch Metro District 1 Refunding, 5.25% due 9/1/03 (Insured: AMBAC) Aaa/AAA 594,395
2,175,000 Highlands Ranch Metro District 2 General Obligation, 6.00% due 6/15/04 (Insured: FSA) Aaa/AAA 2,397,568
2,725,000 Westminister Multi Family Housing Revenue Series 1995, 5.95% due 9/1/15 put 9/1/06 NR/AA- 2,888,064
(Semper Village Apartments Project; Insured: AXA)
1,350,000 Westminster Sales & Use Tax Revenue Refunding Series 1996, 5.50% due 12/1/01 NR/AA- 1,417,770
Connecticut (1.60%)
1,685,000 Bridgeport General Obligation, 6.00% due 3/1/05 (Insured: AMBAC) Aaa/AAA 1,871,041
1,325,000 Bridgeport General Obligation, 6.00% due 3/1/06 (Insured: AMBAC) Aaa/AAA 1,484,861
1,045,000 Capitol Region Education Council, 6.375% due 10/15/05 NR/BBB 1,136,908
5,540,000 Connecticut State Special Tax Obligation Series 1989-B, 0% due 7/1/99 (Transportation Aaa/AAA 5,455,958
Infrastructure Project; Insured: AMBAC)
5,000,000 Connecticut Unemployment Compensation Advance Fund Refunding Revenue Series 1996-A, Aaa/AAA 5,229,600
5.50% due 5/15/01 (Insured: AMBAC)
500,000 New Haven General Obligation, 9.50% due 11/15/03 Baa1/BBB 612,240
Delaware (0.20%)
1,500,000 Delaware Solid Waste System Revenue, 6.00% due 7/1/03 (Insured: MBIA) Aaa/AAA 1,634,670
District of Columbia (1.70%)
60,000 District Columbia Refunding Series A - 3, 4.90% due 6/1/00 Aaa*/BB 61,149
25,000 District Columbia Pre-refunded Series B, 7.10% due 6/1/00 (Insured: FSA) Aaa/AAA 26,283
500,000 District Columbia Hospital Revenue Refunding Medlantic Healthcare Group A, 6.00% due Aaa/AAA 565,210
8/15/07 (ETM)
1,120,000 District Columbia Revenue Bonds, 5.00% due 1/1/04 (American Association for Aaa/AAA 1,164,643
Advancement of Science Project; Insured: AMBAC)
1,235,000 District Columbia Revenue Bonds, 5.50% due 1/1/06 (American Association for Aaa/AAA 1,325,316
Advancement of Science Project; Insured: AMBAC)
110,000 District Columbia Series A, 5.30% due 6/1/00 (ETM) Aaa*/BB 112,765
1,195,000 District Columbia Unrefunded Balance, 4.90% due 6/1/00 Ba1/BB 1,210,882
1,390,000 District Columbia Unrefunded Balance, 5.30% due 6/1/00 Ba1/BB 1,416,062
975,000 District Columbia Unrefunded Balance, 7.10% due 6/1/00 (Insured: FSA) Aaa/AAA 1,022,717
275,000 District of Columbia Association of American Medical Colleges, 7.20% due 2/15/01 NR/AA- 292,177
pre-refunded 2/15/00 @ 102
3,440,000 District of Columbia Certificate of Participation Series 1993, 6.875% due 1/1/03 NR/BB- 3,595,247
1,505,000 District of Columbia General Obligation Capital Appreciation Refunding, 0% due 6/1/02 Aaa/AAA 1,316,724
(Insured: MBIA)
2,000,000 District of Columbia General Obligation Refunding Series A, 5.50% due 6/1/01 Aaa/AAA 2,079,460
(Insured: FSA)
1,000,000 District of Columbia Revenue, 6.00% due 7/15/03 (Childrens Hospital Project; Insured: Aaa/AAA 1,081,340
FGIC)
1,330,000 District of Columbia Revenue, 6.00% due 8/15/05 (Medlantic Healthcare Project; Aaa/AAA 1,477,457
Insured: MBIA) (ETM)
Florida (2.90%)
200,000 Alachua County Health Facilities Revenue, 7.00% due 12/1/01 (Shands Hospital & NR/AAA 218,660
Clinics Project) (ETM)
425,000 Brevard County Tourist Development Tax Revenue Series 1993, 6.325% due 3/1/03 NR/NR 441,703
(Florida Marlins Training Facilities)
3,000,000 Collier County School Board Certificates of Participation, 5.50% due 2/15/03 Aaa/AAA 3,152,280
(Insured: FSA)
5,000,000 Dade County Solid Waste System Special Obligation Revenue, 5.25% due 10/1/03 Aaa/AAA 5,290,900
(Insured: AMBAC)
200,000 East County Water Control District Lee County Drain, 5.50% due 11/1/03 (LOC: Asset NR/AA 213,626
Guaranty)
1,500,000 Florida Housing Development Authority, 6.25% due 12/1/06 (Hammock's Place Project) NR/AAA 1,559,340
1,940,000 Florida Housing Finance Authority Series 1987, 4.85% due 2/1/08 put 2/1/01 NR/AA 1,955,539
(Guaranteed: Connecticut General)
3,100,000 Florida Housing Finance Authority Multi Family Housing Revenue, 5.10% due 4/1/13 put NR/AA- 3,151,491
4/1/02 (Park Colony Project; LOC: Mellon Bank)
150,000 Hillsborough County Utility Refunding Rev, 9.75% due 12/1/03 (ETM) Aaa/AAA 179,247
550,000 Jacksonville Port Authority Rev., 7.625% due 11/1/02 (Insured: MBIA) Aaa/AAA 625,905
1,000,000 Jacksonville Port Authority Rev., 7.625% due 11/1/03 (Insured: MBIA) Aaa/AAA 1,166,600
1,000,000 Lee County School Board Certificate of Participation, 6.20% due 8/1/00 (Insured: FSA) Aaa/AAA 1,043,370
1,195,000 Lee County School Board Certificate of Participation, 6.30% due 8/1/01 (Insured: FSA) Aaa/AAA 1,274,360
315,000 Martin County Combined Special Assessment Series 1990-A, 8.125% due 3/1/01 NR/NR 327,559
4,295,000 Miami Dade County School Board Refunding Series Certifications of Participation, Aaa/AAA 4,640,361
5.25% due 8/1/09
940,000 Palm Beach County Industrial Development Revenue Series 1996, 6.00% due 12/1/06 NR/A+ 1,037,008
(Lourdes-Noreen McKeen Residence for Geriatric Care Project; LOC: Allied Irish Bank)
250,000 Pasco County School Board Certificate of Participation Series A, 6.10% due 8/1/01 Aaa/AAA 265,468
(Insured: FSA)(ETM)
1,310,000 Port Orange Florida Water and Sewer Revenue Refunding, 5.50% due 10/1/09 (when Aaa/AAA 1,443,161
issued) (Insured: AMBAC)
Georgia (0.40%)
1,590,000 Burke County Development Authority Pollution Control Revenue, 6.25% due 1/1/03 Aaa/AAA 1,727,774
(Insured: MBIA)
600,000 Gwinnett County Dev Auth Rev, 6.95% due 6/1/01 (Mead Corp. Project) (ETM) NR/NR 619,590
1,000,000 Monroe County Pollution Control Revenue, 6.55% due 1/1/06 (Oglethorpe Power Aaa/AAA 1,140,600
Corporation Project; Insured: MBIA)
Guam (0.10%)
800,000 Guam Government General Obligation Series A, 5.90% due 9/1/05 NR/BBB 801,936
Hawaii (1.10%)
2,000,000 Hawaii General Obligation Refunding, 5.00% due 4/1/08 (Insured: MBIA) Aaa/AAA 2,109,700
6,000,000 Hawaii Refunding Series CB, 5.00% due 1/1/00 A1/A+ 6,105,480
1,500,000 Hawaii State Department Budget & Finance Special Purpose Mortgage Revenue, 5.70% due A2/A 1,594,545
7/1/03 (Kapiolani Health Care System Project)
500,000 Honolulu City & County Series A, 7.25% due 7/1/00 Aa2/AA 527,280
700,000 Honolulu City & County Refunding Series One, 5.875% due 6/1/04 Aa2/AA 764,463
Idaho (0.70%)
700,000 Boise Urban Renewal Agency Package Revenue Tax Increment Series A, 6.00% due 9/1/02 NR/BBB+ 745,787
4,980,000 Idaho Falls Electric Revenue Refunding, 0% due 4/1/00 (Insured: FGIC) Aaa/AAA 4,769,097
760,000 Idaho Housing Agency Single Family Mortgage Subordinated Series D-1, 5.90% due 7/1/06 Aa2/NR 800,888
435,000 Idaho Student Loan Marketing Association Refunding Revenue Series 1992, 6.40% due NR/NR 441,995
10/1/99
Illinois (5.90%)
1,800,000 Chicago General Obligation, 5.50% due 1/1/04 (Insured: AMBAC) Aaa/AAA 1,921,266
5,000,000 Chicago O'Hare International Airport Special Facility Revenue Refunding International Aaa/AAA 5,255,650
Terminal, 5.50% due 1/1/08 (when issued) (Insured: AMBAC)
5,000,000 Chicago O'Hare International Airport Special Facility Revenue Refunding International Aaa/AAA 5,227,050
Terminal, 5.50% due 1/1/10 (when issued) (Insured: AMBAC) (when issued)
2,000,000 Cook County Community College District 508, 8.40% due 1/1/01 (Insured: FGIC) Aaa/AAA 2,182,520
1,800,000 Cook County Community College District 508 COP, 8.50% due 1/1/02 (Insured: FGIC) Aaa/AAA 2,037,204
3,350,000 Cook County Community Unified School District 401 Series 1996, 0% due 12/1/03 Aaa/AAA 2,746,631
(Insured: FSA)
595,000 Cook County School District 100, 8.20% due 12/1/05 (Insured: FSA) Aaa/NR 735,664
640,000 Cook County School District 100 Berwyn, 8.20% due 12/1/06 (Insured: FSA) Aaa/NR 805,850
715,000 Du Page County High School, 5.75% due 12/1/06 Aa3/NR 789,060
760,000 Du Page County High School, 5.75% due 12/1/07 Aa3/NR 843,372
870,000 Du Page County School District Capital Appreciation, 0% due 2/1/06 (Insured: FGIC) Aaa/NR 637,423
400,000 Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, NR/BBB 417,112
5.60% due 7/1/04
1,000,000 Illinois Development Finance Authority Revenue Refunding Community Rehab Providers A, NR/BBB 1,042,410
5.60% due 7/1/05
4,020,000 Illinois Educational Facilities Authority Revenues Advocate Health Care Network B, A1/AA 4,213,643
5.25% due 8/15/09 (when issued)
925,000 Illinois Health Facilities Authority Revenue, 5.25% due 5/1/99 (Galesburg Cottage Baa2/AA 931,697
Hospital Project; Insured: Asset Guaranty)
2,000,000 Illinois Health Facilities Authority Revenue Series 1992, 7.00% due 7/1/02 (Trinity Baa2/BBB 2,130,280
Medical Center Project)
500,000 Illinois Health Facilities Authority Revenue, 5.20% due 10/1/03 (Illinois Masonic A3/A- 523,710
Medical Center Project)
1,000,000 Illinois Health Facilities Authority Revenue Refunding, 6.25% due 12/1/04 (Friendship NR/A- 1,055,810
Village Schaumburg)
1,155,000 Illinois Health Facilities Authority Revenue Series A, 5.25% due 7/1/07 (The Carle Aaa/AAA 1,227,361
Foundation Project) (Insured: AMBAC)
2,500,000 Illinois Health Facilities Authority Revenue Refunding Series C, 7.00% due 4/1/08 Aaa/AAA 2,990,400
(Lutheran General Health) (Insured: FSA)
3,995,000 Illinois Health Facilities Authority Revenue Series A, 4.70% due 7/1/31 put 7/1/04 Aa1/NR 4,049,292
(Edgewater Med Center Project; LOC: Credit Local De France)
780,000 Illinois Health Facilities Authority Revenue Series 1993-A, 7.875% due 8/15/05 NR/NR 844,639
(Community Provider Pooled Loan Program Project)
9,105,000 Lake County Forest Preserve District Capital Appreciation, 0% due 12/1/06 Aa2/AA+ 6,486,311
750,000 Macon County & Decatur Certificates of Participation, 6.50% due 1/1/05 (Insured: FGIC) Aaa/AAA 842,347
500,000 Metropolitan Pier and Exposition Authority Dedicated State Tax Rev., 0% due 12/15/01 Aaa/AAA 446,320
(Insured: MBIA)
2,445,000 Naperville City, Du Page & Will Counties Economic Dev. Rev., 6.10% due 5/1/08 NR/AA- 2,697,079
(Hospital and Health System Association Project; LOC: American National Bank)
2,800,000 Rosemont General Obligation Series B, 5.40% due 12/1/05 A/A 2,998,828
900,000 Will & Kendall Counties Community School District 202 General Obligation, 5.45% due Aaa/AAA 935,262
1/1/05 (Insured: AMBAC)
Indiana (5.30%)
1,250,000 Brownsburg School Building Corporation First Mortgage, 5.375% due 8/1/07 NR/A 1,336,112
1,175,000 Brownsburg School Building Corporation First Mortgage, 5.375% due 2/1/07 NR/A 1,252,832
1,255,000 Columbus School Building Corporation, 5.50% due 1/15/02 (Insured: MBIA) Aaa/AAA 1,318,754
1,860,000 Elberfeld J H Castle School Building Corporation Indiana First Mortgage, 0% due NR/A 1,368,253
1/15/06
770,000 Elberfeld J H Castle School Building Corporation Indiana First Mortgage Refunding, 0% Aaa/AAA 510,202
due 1/5/08 (Insured: MBIA)
1,860,000 Elberfeld J H Castle School Building Corporation Indiana First Mortgage Refunding, 0% Aaa/AAA 1,204,611
due 7/5/08 (Insured: MBIA)
895,000 Gary Judgement Funding General Obligation, 6.60% due 6/15/99 NR/NR 907,772
570,000 Gary Judgement Funding General Obligation, 6.60% due 12/15/99 NR/NR 586,541
2,305,000 Hammond Multi-School Building Corp First Mortgage Refunding Bond Series 1997, 6.00% NR/A 2,566,894
due 7/15/08 (Lake County Project)
550,000 Indiana Bond Bank Series B, 7.25% due 2/1/01 (Special Loan Program) NR/A+ 556,804
1,120,000 Indiana Bond Bank Special Program Series 1992-B, 5.60% due 8/1/99 NR/A+ 1,136,150
2,640,000 Indiana Bond Bank State Revolving Fund Series 1993-A, 5.50% due 2/1/00 NR/AAA 2,704,970
1,500,000 Indiana Health Facilities Revenue, 5.55% due 7/1/01 (Marion General Hospital Project; Aaa/AAA 1,564,950
Insured: MBIA)
1,470,000 Indianapolis Economic Development Revenue, 5.30% due 12/1/07 (FNMA Pass-Thru Aaa/AAA 1,513,644
Certificate)
1,220,000 Indianapolis Local Public Improvement Bond Bank Trans Rev, 0% due 7/1/05 Aa/AA- 931,165
1,240,000 Indianapolis Local Public Improvement Bond Bank Trans Rev, 0% due 7/1/06 Aa/AA- 901,257
6,200,000 Indianapolis Local Public Improvement Bond Bank Trans Rev Series 1996, 6.00% due NR/NR 6,229,388
1/10/01
2,200,000 Indianapolis Resource Recovery Revenue, 6.75% due 12/1/04 (Ogden Martin System, Inc. Aaa/AAA 2,495,042
Project; (Insured: AMBAC)
670,000 Lake County Park District, 5.00% due 12/31/07 (Insured: AMBAC) Aaa/AAA 693,564
700,000 Lake County Park District, 5.00% due 12/31/08 (Insured: AMBAC) Aaa/AAA 722,246
700,000 Lake County Park District, 5.00% due 12/31/09 (Insured: AMBAC) Aaa/AAA 718,480
1,025,000 Lawrence Township Indiana School Building Corporation Refunding First Mortgage, 5.25% NR/A+ 1,090,313
due 7/5/06
1,075,000 Lawrence Township Indiana School Building Corporation Refunding First Mortgage, 5.25% NR/A+ 1,138,500
due 7/5/07
1,135,000 Lawrence Township Indiana School Building Corporation Refunding First Mortgage, 5.25% NR/A+ 1,202,079
due 7/5/08
1,645,000 Logansport Multi-Purpose School Building Corporation First Mortgage Refunding Series NR/A 1,714,287
1992, 5.50% due 7/1/01
955,000 Mishawaka School First Mortgage, 6.25% due 7/15/06 NR/A 1,067,231
1,015,000 Mishawaka School First Mortgage, 6.25% due 7/15/07 NR/A 1,142,748
535,000 New Albany Floyd County School Building Corp., 6.20% due 7/1/03 (ETM) NR/A 585,798
1,660,000 Noblesville High School Building Corp. First Mortgage Bond Series 1997 Refunding Aaa/AAA 1,822,248
First Mortgage, 5.75% due 1/5/06 (Insured: AMBAC)
1,820,000 Noblesville High School Building Corp. First Mortgage Bond Series 1997 Refunding Aaa/AAA 2,007,497
First Mortgage, 5.75% due 7/5/06 (Insured: AMBAC)
1,295,000 Seymour Community High School Building Corporation Refunding First Mortgage, 5.50% Aaa/AAA 1,412,094
due 7/5/08 (Insured: FSA)
1,820,000 Westfield Elem. School Building Corp. First Mtg Series 1997, 6.80% due 7/15/07 Aaa/AAA 2,141,558
(Insured: AMBAC)
1,385,000 Whitley County Middle School Building Corporation Refunding First Mortgage, 5.25% due Aaa/AAA 1,477,061
7/10/06 (Insured: FSA)
1,470,000 Whitley County Middle School Building Corporation Refunding First Mortgage, 5.25% due Aaa/AAA 1,572,018
7/10/07 (Insured: FSA)
1,575,000 Whitley County Middle School Building Corporation Refunding First Mortgage, 5.25% due Aaa/AAA 1,687,093
7/10/08 (Insured: FSA)
Iowa (1.50%)
1,225,000 Des Moines Hospital Revenue Refunding Series 1996-A, 6.25% due 11/15/04 (Des Moines Aa2/NR 1,360,669
General Hospital Project; LOC: Norwest)
1,500,000 Iowa Certificate of Participation, 6.10% due 7/1/01 (Insured: AMBAC) Aaa/AAA 1,583,595
875,000 Iowa Student Loan Liquidity Corporation Student Loan Revenue 1991 Series A, 6.35% due Aa1/NR 914,620
3/1/01
2,000,000 Iowa Student Loan Liquidity Corporation Student Loan Revenue 1991 Series C, 6.80% due Aaa/AAA 2,137,480
12/1/02
1,000,000 Lansing Pollution Control Revenue Refunding, 4.30% due 11/1/08 put 11/1/03 A2/A-1 1,000,810
(Interstate Power Company Project)
2,675,000 Marion Commercial Development Revenue Refunding Series 1991-A, 7.25% due 1/1/14 put NR/A 2,765,602
7/1/02 (Collins Road Project; Insured: Trygg-Hansa)
500,000 Muscatine Electric Revenue, 9.50% due 1/1/04 (ETM) Aaa/AAA 580,985
4,445,000 Muscatine Electric Revenue Refunding Series 1992, 5.40% due 1/1/00 (Insured: AMBAC) Aaa/AAA 4,545,768
Kansas (0.70%)
500,000 Johnson County Unified School Dstrict No. 233 Series B, 6.10% due 3/1/99 A1/A+ 502,535
1,000,000 Kansas City Industrial Revenue Series 12/1/84, 7.20% due 12/1/04 (Ash Grove Cement NR/NR 1,040,660
Project)
1,000,000 Sedgwick County Unified School District 265, 8.20% due 10/1/03 (Insured: FSA) Aaa/AAA 1,187,000
3,960,000 Topeka Multi Family Housing Revenue Refunding Series 1991-A, 7.25% due 4/1/21 put NR/A 4,065,970
4/1/02 (Fleming Court Project; Insured: Trygg-Hansa)
Kentucky (0.80%)
4,500,000 Jefferson County Insured Hospital Revenue Series 1992 Revenue, 8.124% due 10/1/02 Aaa/AAA 5,146,875
(Alliant Health Systems Project; Insured: MBIA) (Inverse Floater)
1,000,000 Kentucky State Turnpike Authority Res Rec Rev, 0% due 7/1/06 (Insured: FGIC) Aaa/AAA 733,250
1,810,000 Paintsville First Mortgage Revenue Series 1991, 8.50% due 9/1/03 (Paul B. Hall NR/NR 1,982,421
Medical Center Project; Guaranteed: Health Management Associates)
Louisiana (3.40%)
2,165,000 East Baton Rouge Public Improv. Sales Tax Series 1993-A, 8.00% due 2/1/01 (Insured: Aaa/AAA 2,352,273
FGIC)
2,475,000 East Baton Rouge Sales Tax Series, 8.00% due 2/1/06 (Insured: FGIC) Aaa/AAA 3,042,196
1,000,000 Jefferson Parish Drainage Improvement Refunding, 6.15% due 9/1/05 (Insured: FGIC) NR/AAA 1,103,720
1,040,000 Jefferson Parish School Board Refunding, 0% due 3/1/08 (Insured: FSA) Aaa/AAA 699,743
220,000 Lafayette Parish Law Enforcement District Special Tax Certificates Indebtedness, NR/A 220,517
6.00% due 3/1/99
1,000,000 Louisiana Offshore Authority Deepwater Port Rev. Series B, 6.25% due 9/1/04 A3/A 1,106,440
1,065,000 Louisiana PFA Multi Family Housing, 5.95% due 3/15/19 put 3/15/05 (Oakleigh Apts. NR/AA- 1,112,403
Project; Insured: AXA)
2,485,000 Louisiana PFA Student Loan Revenue Series A-1, 5.90% due 3/1/99 Aaa/NR 2,492,281
3,525,000 Louisiana PFA Student Loan Revenue Series A-1, 6.10% due 3/1/00 Aaa/NR 3,607,097
5,000,000 Louisiana Public Facilities Authority Health and Ed Cap Fac Revenue Series 1985, Aaa/AAA 5,174,200
5.00% due 12/1/15 put 6/1/02 (Insured: AMBAC)
1,200,000 Louisiana Public Facilities Authority Hospital, 2.79% due 7/1/99 (St. Francis Medical Aaa/AAA 1,206,768
Center Project; Insured: FSA) (Inverse Floater)
1,100,000 Louisiana Public Facilities Authority Hospital, 3.04% due 7/1/00 (St. Francis Medical Aaa/AAA 1,111,726
Center Project; Insured: FSA) (Inverse Floater)
1,300,000 Louisiana Public Facilities Authority Hospital Revenue and Refunding, 3.24% due Aaa/AAA 1,315,236
7/1/01 (St. Francis Medical Center Project; Insured: FSA) (Inverse Floater)
500,000 Louisiana State University Agricultural & Mechanical College Board, 7.70% due 4/15/02 Aaa*/NR 559,350
(ETM)
2,125,000 Louisiana Unlimited Tax General Obligation Series A, 6.00% due 8/1/01 (Insured: FGIC) Aaa/AAA 2,248,038
750,000 New Orleans Audubon Park Commission Revenue Series A, 8.00% due 4/1/12 pre-refunded Aaa*/NR 858,158
4/1/02 @ 102 (Aquarium Project)
3,720,000 Orleans Levee District Public Improvement Trust Receipts Series 1995-A, 5.95% due Aaa/AAA 3,950,156
11/1/01 (Insured: FSA)
460,000 Ouachita Parish Hospital District 1 Series 1991, 7.25% due 7/1/01 (ETM) NR/A 497,968
600,000 St Tammany Parish Louisiana Sales Tax, 5.75% due 4/1/06 (Insured: FGIC) Aaa/AAA 659,730
Maine (0.00%)
300,000 Regional Waste Systems Maine Solid Waste Series P, 5.375% due 7/1/05 NR/AA 321,102
Maryland (0.40%)
2,000,000 Howard County Multifamily Housing Revenue, 7.00% due 7/1/24 put 7/1/04 (Chase Glen Baa1/NR 2,215,560
Project; Guaranty: Avalon Prop.)
1,000,000 Maryland Health and High Educational Facility Authority, 4.75% due 7/1/21 put 3/1/01 NR/A 1,016,610
(Stella Maris Project; LOC: First Natl Bank)
1,105,000 Washington Suburban Sanitary District Series 1994, 8.75% due 6/1/99 Aa1/AA 1,131,067
Massachusetts (4.70%)
1,000,000 Boston FHA Insured City Hospital Revenue Series A, 7.15% due 2/15/01 pre-refunded Aaa/NR 1,078,060
8/15/00 (Boston City Hospital Project)
1,600,000 Boston General Obligation Series A, 7.60% due 2/1/04 pre-refunded 2/1/99 NR/A+ 1,637,872
1,000,000 Boston General Obligation Series A, 7.25% due 7/1/99 Aa3/A+ 1,021,090
3,135,000 Boston Revenue City Hospital, 7.65% due 2/15/10 pre-refunded 8/15/00 Aaa/NR 3,402,478
65,000 Haverhill General Obligation Municipal Purpose Loan Series 1991, 7.50% due 10/15/11 Baa3/BBB 72,786
380,000 Holyoke General Obligation Electric Revenue Series 1991-A, 8.00% due 6/1/01 Baa2/NR 399,357
1,195,000 Holyoke General Obligation School Project Loan Act of 1948, 7.35% due 8/1/02 Baa2/AAA* 1,286,095
pre-refunded 8/1/01
300,000 Holyoke General Obligation Sewer Revenue Series B, 8.00% due 6/1/01 Baa2/BBB+ 313,260
1,060,000 Lynn General Obligation, 7.00% due 1/15/04 Baa1/NR 1,181,487
525,000 Massachusetts Education Loan Revenue Series 1985-C, 7.875% due 6/1/03 (LOC: Rabobank NR/AAA 536,330
Nederland)
2,000,000 Massachusetts General Obligation Consolidated Loan of 1991 Series B, 0% due 6/1/01 Aa3/AA- 1,829,980
500,000 Massachusetts General Obligation Consolidated Loan Series D, 6.50% due 7/1/02 Aa3/AA- 541,510
3,000,000 Massachusetts Hynes Convention Center Authority Refunding Series 1992, 0% due 9/1/00 Aa3/AA- 2,832,210
2,500,000 Massachusetts Hynes Convention Center Authority Refunding Series 1992, 0% due 9/1/02 Aa3/AA- 2,176,900
5,000,000 Massachusetts IFA First Mortgage Revenue Series 1996-B, 5.00% due 5/1/26 put 5/1/02 NR/A-1 5,148,000
(Orchard Cove Project; LOC: Fleet National Bank)
2,500,000 Massachusetts IFA Recovery Refunding Revenue Series 1993-A, 5.45% due 7/1/01 Aaa/AAA 2,604,175
(Insured: FSA)
1,950,000 Massachusetts Industrial Finance Agency Resources Recovery Revenue, 4.95% due 12/1/06 NR/BBB 1,975,545
1,245,000 Massachusetts State Health & Education Facilities Authority Series B, 6.875% due A1/A 1,267,709
7/1/99 (Charlton Hospital Project) (ETM)
2,420,000 Massachusetts State Health & Educational Facilities Authority Series B, 5.50% due NR/NR 2,485,243
5/15/11 put 5/15/01 (Community Health Capital Fund Project; LOC: First National Bank
of Boston)
1,480,000 New Bedford Industrial Revenue, 7.42% due 7/1/02 (Aerovox Corporation Project) NR/NR 1,496,028
1,000,000 New England Education Loan Marketing Corporation Student Loan Revenue Series 1992-F, Aa/NR 1,076,980
6.50% due 9/1/02
3,000,000 New England Education Loan Marketing Corporation Student Loan Revenue Series 1993-B, A3/A- 3,073,260
5.40% due 6/1/00
295,000 South Essex Sewer District General Obligation, 9.00% due 12/1/99 Baa1/NR 310,588
550,000 Springfield General Obligation, 7.75% due 5/1/99 Baa3/NR 558,288
250,000 Springfield General Obligation, 7.75% due 5/1/00 Baa3/NR 263,150
300,000 Springfield General Obligation, 7.75% due 5/1/01 Baa3/NR 325,164
300,000 Springfield General Obligation, 7.80% due 5/1/02 Baa3/NR 329,829
1,500,000 Taunton General Obligation, 8.00% due 2/1/06 (Insured: MBIA) Aaa/AAA 1,849,965
2,000,000 University of Massachusetts Bldg. Authority Ref Revenue Series 1991-A, 6.80% due Aa3/A+ 2,025,000
5/1/99
1,000,000 University of Massachusetts Bldg. Authority Ref Revenue Series 1991-A, 7.15% due Aa3/A+ 1,127,930
5/1/03
1,250,000 Worcester Municipal Purpose Loan of 1991 General Obligation, 6.80% due 5/15/01 Aaa/AAA 1,339,337
(Insured: MBIA)
Michigan (1.70%)
1,215,000 Dearborn Sewage Disposal Systems, 6.90% due 4/1/01 (Insured: MBIA) Aaa/AAA 1,301,423
3,000,000 Detroit Economic Development Corp. Refunding, 7.00% due 6/1/12 put 6/1/02 (E.H. NR/NR 3,156,630
Associates Project; LOC: First Fed of Michigan)
1,300,000 Detroit General Obligation Series, 8.50% due 4/1/00 Baa1/BBB+ 1,376,154
890,000 Kalamazoo Hospital Finance Authority Hospital Facility Revenue, 5.50% due 5/15/08 Aaa/NR 964,689
(Bronson Methodist Hospital Project; Insured: MBIA)
1,625,000 Kent Hospital Finance Authority Michigan Revenue Refunding Spectrum Health Series A, Aa3/AA 1,723,849
5.25% due 1/15/06
1,265,000 Michigan State Hospital Finance Authority Revenue Refunding, 5.25% due 2/15/07 Aaa/NR 1,343,733
(Insured: MBIA)
955,000 Michigan State Hospital Finance Authority Revenue 1991-A Garden City Hospital, 8.30% Ba3/NR 1,044,445
due 9/1/02
2,000,000 Wayne County Building Authority Limited Tax General Obligation Sinking Fund Series Aaa*/BBB+ 2,274,960
1992-A, 7.80% due 3/1/05 pre-refunded 3/1/02 @ 102
1,055,000 Wayne County Wastewater Control System Limited Tax General Obligation Refunding, Baa2/AAA* 1,173,614
7.875% due 5/1/02 (ETM)
1,940,000 West Ottawa Public Schools General Obligation Unlimited Tax, 6.30% due 5/1/03 Aaa/AAA 2,121,506
(Insured: FGIC)
Minnesota (1.00%)
2,365,000 Anoka County Minnesota Resources Recovery Revenue, 5.00% due 12/1/06 (when issued) A1/A+ 2,436,778
(Northern States Power Company Project)
1,000,000 Anoka County Minnesota Resources Recovery Revenue, 4.60% due 12/1/08 (when issued) A1/A+ 999,660
(Northern States Power Company Project)
650,000 Coon Rapids Industrial Development Ref. Rev., 6.75% due 12/1/01 (LOC: Norwest Bank) NR/NR 657,664
1,500,000 Metropolitan Council Minneapolis - St. Paul Area Sports Facilities Revenue, 5.30% due A/NR 1,547,940
10/1/00 (Hubert H. Humphery Metrodome Project) (ETM)
720,000 Minneapolis - St. Paul Housing & Redevelopment Authority Single Family Mortgage Aaa/NR 721,238
Revenue Series 96-B, 5.125% due 6/1/32 put 6/1/00 (Insured: FNMA/GNMA)
855,000 Minneapolis - St. Paul Single Family Housing Revenue Series A, 8.25% due 11/1/07 NR/AAA 872,929
500,000 Minneapolis Community Development Agency Supported Dev. Rev. Ltd Tax - Common Bond NR/NR 552,045
Series G-3, 7.00% due 12/1/03
380,000 Minneapolis MFHR Refunding Series 1991, 6.75% due 10/1/01 (Churchill Apartments NR/AAA 400,341
Project; FHA Mortgage Insurance)
1,250,000 Minneapolis School District Certificate of Participation, 5.30% due 2/1/00 A1/A 1,276,513
Mississipi (0.40%)
1,000,000 Medical Center Education Building Corp. Rev., 7.00% due 12/1/00 (University of NR/A- 1,061,330
Mississippi Medical Center Project)
2,000,000 Mississippi High Education Assistance Corporation Student Loan Revenue Series 1992-B, NR/A 2,033,320
6.00% due 1/1/00
700,000 Mississippi Hospital Equipment & Facilities Authority Revenue, 8.60% due 1/1/01 (Rush Baa3/AAA* 739,158
Medical Foundation Project) (ETM)
Missouri (1.50%)
1,555,000 Jackson County Public Building Corporation Leasehold Revenue Series 1996, 6.00% due Aaa/AAA 1,723,578
12/1/04 (Capital Improvement Project; Insured: MBIA)
1,315,000 Missouri Environmental Improvement And Energy Resources Authority PCR, 5.25% due A1/AA 1,419,542
12/1/07
1,055,000 Missouri Health & Education Facilities Authority Revenue, 0% due 1/1/02 (ETM) NR/NR 936,808
4,000,000 Missouri Higher Education Loan Authority Student Loan Revenue Refunding, 5.50% due Aa/NR 4,061,480
2/15/00
735,000 Missouri Regional Convention & Sport, 5.25% due 8/15/08 (Insured: AMBAC) Aaa/AAA 778,218
255,000 Missouri State Enviromental Improvement & Energy Resources Authority Revenue Series Aa1/NR 278,771
1991-A, 6.50% due 12/1/02 (State Revolving Revenue Project)
325,000 Missouri State Enviromental Improvement & Energy Resources Authority Revenue Series Aa1/NR 355,729
1991-A, 6.60% due 12/1/03 (State Revolving Revenue Project)
680,000 Missouri State Housing Development Authority Revenue, 6.30% due 7/15/99 Aa/AA+ 685,828
3,860,000 St. Louis IDA Refunding Revenue Series 1993-B, 5.10% due 12/1/08 put 12/1/00 NR/A- 3,900,723
(Westport Residence Project; Guaranteed: Lincoln National Corporation)
Montana (0.00%)
420,000 Montana Higher Education Student Loan Revenue Series 1992-A, 6.70% due 12/1/01 A/NR 445,914
Nebraska (0.90%)
1,500,000 Nebraska IFA Hospital Equipment Revenue, 6.85% due 3/1/02 pre-refunded 3/1/01 @ 102 Aaa/AAA 1,630,425
(Insured: MBIA)
1,160,000 Nebraska IFA Multi Family Housing Revenue 1985-B, 4.875% due 1/1/08 (FNMA: NR/AAA 1,177,307
Collateralized)
2,890,000 Nebraska IFA Tax Exempt Multi Family Housing Revenue Refunding 1995-A, 5.50% due NR/AAA 3,037,246
12/1/25 put 12/1/05 (Willow Park Apartments Project; FNMA Collateralized)
2,500,000 Nebraska Public Power District Series 1993, 5.10% due 1/1/00 Aaa/AAA 2,549,600
Nevada (0.30%)
1,085,000 Washoe County Airport Authority Revenue Refunding, 5.30% due 7/1/00 (Insured: MBIA) Aaa/AAA 1,113,622
1,325,000 Washoe County Airport Authority Revenue Refunding, 5.45% due 7/1/01 (Insured: MBIA) Aaa/AAA 1,379,563
750,000 Washoe County Airport Authority Revenue Refunding, 5.60% due 7/1/02 (Insured: MBIA) Aaa/AAA 791,843
New Hampshire (0.90%)
500,000 New Hampshire Capital Appreciation General Obligation, 0% due 7/1/04 Aa2/AA+ 401,050
5,000,000 New Hampshire Health and Educational Authority Revenue Bond Series B, 5.05% due A2/NR 5,164,500
3/1/23 put 3/1/03 (Riverwoods at Exeter Project; LOC: Banque Paribas)
2,030,000 New Hampshire Industrial Development Authority Revenue, 6.40% due 12/1/09 put 12/1/99 NR/AA 2,088,342
(Central Vermont Public Services; LOC: Toronto Dominion Bank)
770,000 New Hampshire Industrial Development Authority Revenue Series 1995, 7.70% due 7/1/00 A1/NR 770,000
(Electra/PJ-Allied Project)
New Jersey (0.50%)
595,000 Hudson County Certificates of Participation, 6.20% due 6/1/03 (Corrections Facility Aaa/AAA 645,563
Project; Insured: MBIA)
1,000,000 New Jersey Health Care Facilities Financing Authority Revenue, 7.00% due 7/1/03 NR/AAA 1,121,120
(Christ Hospital Project; Insured: Connie Lee)
1,000,000 New Jersey Health Care Financing Authority Revenue, 5.75% due 7/1/04 (Kennedy Health Aaa/AAA 1,087,690
Systems) (Insured: MBIA)
1,000,000 New Jersey Health Care Financing Authority Revenue, 5.75% due 7/1/05 (Kennedy Health Aaa/AAA 1,095,700
Systems) (Insured: MBIA)
1,000,000 New Jersey Turnpike Authority Revenue Series A, 5.70% due 1/1/01 Baa1/BBB+ 1,038,610
New Mexico (0.50%)
215,000 Las Cruces Gross Receipts Tax Revenue, 5.65% due 12/1/00 A/A 223,503
273,000 Santa Fe County Office and Training Facilities Revenue Series 1990, 9.00% due 1/1/99 Aaa/NR 273,000
(ETM)
285,000 Santa Fe County Office and Training Facilities Revenue Series 1990, 9.00% due 7/1/99 Aaa/NR 293,365
(ETM)
298,000 Santa Fe County Office and Training Facilities Revenue Series 1990, 9.00% due 1/1/00 Aaa/NR 315,120
(ETM)
326,000 Santa Fe County Office and Training Facilities Revenue Series 1990, 9.00% due 1/1/01 Aaa/NR 360,210
(ETM)
650,000 Santa Fe Refuse Disposal Systems, 5.00% due 6/1/03 A3/NR 672,250
775,000 Santa Fe Refuse Disposal Systems Improvement Revenue, 5.00% due 6/1/05 A3/NR 803,179
745,000 Santa Fe Solid Waste Management Agency Facility Revenue, 5.75% due 6/1/04 NR/NR 799,728
510,000 Santa Fe Solid Waste Management Agency Facility Revenue, 5.90% due 6/1/05 NR/NR 554,839
775,000 Santa Fe Solid Waste Management Agency Facility Revenue, 6.00% due 6/1/06 NR/NR 851,477
New York (7.60%)
310,000 Amherst Industrial Development Authority Lease Revenue Bonds Series A, 5.25% due NR/A 317,992
10/1/08 (Pink Complex Project; LOC: Key Bank)
5,230,000 Dutchess County Resource Recovery Agency Revenue, 5.00% due 1/1/08 (Insured: Aaa/AAA 5,356,723
MBIA)(when issued)
1,000,000 Hempstead Town Industrial Development Agency Resources Recovery Revenue, 5.00% due Aaa/AAA 1,052,610
12/1/09 (American Fuel Company Project) (Insured: MBIA)
1,785,000 Islip Resources Recovery Agency Series 85-D, 5.95% due 7/1/03 (Insured: AMBAC) Aaa/AAA 1,941,598
500,000 Metropolitian Transit Authority Services Contract Commuter Fac Rev, 7.00% due 7/1/02 Baa1/BBB+ 545,535
3,830,000 Nassau County General Improvement Series Y, 5.00% due 3/1/06 (Insured: FGIC) Aaa/AAA 4,038,811
4,600,000 New York City General Obligation, 8.25% due 6/1/07 (Insured: FSA) Aaa/AAA 5,885,424
500,000 New York City General Obligation Series A, 7.00% due 8/1/03 A3/A- 562,850
800,000 New York City General Obligation Series D, 6.30% due 2/1/01 (ETM) Aaa/A- 844,584
1,960,000 New York City General Obligation Series D, 6.30% due 2/1/01 A3/A- 2,063,449
750,000 New York City General Obligation Series D, 5.70% due 8/1/02 A3/A- 796,260
1,150,000 New York City General Obligation Series E, 7.20% due 2/1/00 (ETM) Aaa/A- 1,199,392
90,000 New York City General Obligation Series E, 7.20% due 2/1/00 A3/A- 93,722
785,000 New York City General Obligation Series E, 6.30% due 8/1/01 (ETM) Aaa/A- 837,407
1,910,000 New York City General Obligation Series E, 6.30% due 8/1/01 A3/A- 2,030,616
1,000,000 New York City General Obligation Series E, 7.00% due 8/1/04 (Insured: AMBAC) Aaa/AAA 1,148,100
250,000 New York City Health and Hospital Corp. Rev Series A, 6.00% due 2/15/05 Baa3/BBB- 269,477
1,525,000 New York Dormitory Authority, 6.00% due 2/1/04 (Millard Fillmore Hospital Project; Aaa/AAA 1,662,372
Insured: AMBAC)
755,000 New York Dormitory Authority, 5.25% due 7/1/07 (St. Thomas Aquinas; Insured: Asset NR/AA 808,952
Guarantee)
1,040,000 New York Dormitory Authority, 6.00% due 7/1/07 (Champlain Valley Physicians; Insured: NR/AAA 1,171,872
Connie Lee)
2,400,000 New York Dormitory Authority Refunding Secured Hospital Series G, 5.125% due 2/15/08 Aaa/AAA 2,549,472
(Insured: AMBAC)
700,000 New York Dormitory Authority, 5.25% due 7/1/08 (St. Thomas Aquinas; Insured: Asset NR/AA 749,728
Guarantee)
1,900,000 New York Dormitory Authority Revenue, 5.50% due 7/1/08 (Good Samaritan Hospital; Baa1/AA 2,071,646
(Insured: Asset Guaranty)
3,000,000 New York Dormitory Authority Revenue State University Educational Facilities, 5.25% Aaa/AAA 3,149,340
due 7/1/02 (Insured: AMBAC)
1,000,000 New York Dormitory Authority Revenue State University Educational Facilities Series A3/A- 1,120,150
A, 7.00% due 5/15/04
7,155,000 New York Dormitory Authority Series 1994-B, 6.00% due 7/1/24 put 12/5/99 (Miriam A1/A 7,356,986
Osborn Memorial Home Project; LOC: Banque Paribas)
555,000 New York Health Facilities Revenue Refunding 1990-A, 7.90% due 11/1/99 Baa1/A- 564,141
1,500,000 New York Local Government Assistance Corporation Revenue Series D, 6.50% due 4/1/02 A3/A+ 1,622,145
1,500,000 New York Medical Care Facilities Finance Mental Health Services Facilities Series A, A3/A- 1,607,325
7.25% due 2/15/01
960,000 New York Medical Care Facilities Finance, 6.00% due 11/15/02 Aa1/AA 1,033,546
805,000 New York Medical Care Facilities Finance, 5.40% due 8/15/05 (Insured: FHA Mortgage Aa/AA 850,297
Project)
3,920,000 New York Refunding Series A, 5.25% due 8/1/07 A3/A- 4,207,493
1,320,000 New York State Thruway Authority General Revenue Special Obligation, 0% due 1/1/06 NR/BBB 966,029
2,500,000 New York State Urban Development Corporation, 7.60% due 4/1/03 pre-refunded 4/1/01 Aaa/BBB+ 2,761,950
255,000 New York State Urban Development Corporation Revenue University Facilities Grants, Baa1/BBB+ 282,752
6.00% due 1/1/06
3,425,000 New York State Urban Development Corporation Series 7, 6.00% due 1/1/06 Baa1/BBB+ 3,797,743
2,000,000 Syracuse Series B, 5.20% due 10/1/06 Aaa/AAA 2,137,140
2,675,000 Syracuse Industrial Development Authority Pilot Revenue Refunding Series, 5.125% due NR/AA 2,774,724
10/15/02 (LOC: ABN AMRO)
1,000,000 Triborough Bridge and Tunnel Authority, 6.50% due 1/1/04 (Insured: MBIA) Aaa/AAA 1,074,310
515,000 Westchester County IDA Civic Facility Revenue, 6.25% due 4/1/05 (Julia Dykman Project) NR/NR 544,391
North Carolina (0.50%)
1,430,000 Carteret County Certificate of Parcipation Series 1992, 6.50% due 2/1/00 (Elementary A/BBB+ 1,453,781
School Project)
725,000 Gastonia Housing Corp First Lien Rev Series A, 5.75% due 7/1/04 (Golfview Village NR/NR 747,707
Square Apartment Project)
485,000 North Carolina Housing Finance Authority Single Family Housing Revenue, 6.80% due Aa1/AA+ 486,450
7/1/08
1,865,000 North Carolina Municipal Power Agency 1 Catawba Electrical Revenue, 6.00% due 1/1/05 Aaa/AAA 2,037,811
(Insured: MBIA)
North Dakota (1.20%)
2,895,000 Burleigh County Health Care Revenue Refunding Medcenter One Incorporated, 5.00% due Aaa/AAA 3,046,553
5/1/07 (when issued) (Insured: MBIA)
3,040,000 Burleigh County Health Care Revenue Refunding Medcenter One Incorporated, 5.00% due Aaa/AAA 3,200,907
5/1/08 (when issued) (Insured: MBIA)
1,695,000 Burleigh County Health Care Revenue Refunding Medcenter One Incorporated, 5.25% due Aaa/AAA 1,815,667
5/1/09 (when issued) (Insured: MBIA)
910,000 Grand Forks Health Care Systems Revenue Bond Series 1997, 6.25% due 8/15/05 (Altru Aaa/AAA 1,018,381
Health System Project; Insured: MBIA)
1,000,000 North Dakota Building Authority Refunding Revenue Series 1993-A, 5.15% due 6/1/00 Aaa/AAA 1,024,200
(Insured: AMBAC)
1,250,000 North Dakota Student Loan Revenue, 5.45% due 7/1/02 (Insured: AMBAC) Aaa/AAA 1,310,313
Ohio (3.70%)
1,000,000 Barberton Hospital Facilities Series 1992, 6.65% due 1/1/02 A/NR 1,083,340
2,370,000 Belmont County IDRB Series 1991, 6.50% due 1/1/00 (May Department Stores Co. Project) NR/A 2,415,883
3,900,000 Butler County Hospital Revenue Bonds, 5.15% due 11/1/17 put 11/1/02 (Middletown A1/A-1 3,912,012
Regional Hospital Project; LOC: Star Bank)
1,000,000 Butler County Transportation Improvement Revenue Bonds, 5.00% due 4/1/06 (Insured: Aaa/AAA 1,056,210
FSA)
1,250,000 Cincinnati School District Revenue Anticipation Notes, 6.05% due 6/15/00 (ETM) NR/A- 1,297,425
1,000,000 Cincinnati School District Revenue Anticipation Notes, 6.15% due 6/15/02 (ETM) NR/A- 1,075,480
1,765,000 Cleveland Certificate of Participation, 7.10% due 7/1/02 (Motor Vehicle & Community Baa2/BBB 1,846,384
Equipment Project)
1,000,000 Cleveland General Obligation Limited, 5.30% due 9/1/08 (Insured: AMBAC) Aaa/AAA 1,085,060
2,255,000 Cuyahoga County Hospital Revenue Refunding Series B, 6.00% due 1/15/06 (University Aa3/AA 2,498,495
Hosps Health Systems Project)
960,000 Cuyahoga County Housing Revenue Series, 7.00% due 4/1/00 (North Coast Community Homes NR/NR 975,792
Project)
1,000,000 Erie County Hospital Improvement Refunding Revenue Series, 6.25% due 1/1/01 A/A 1,047,350
(Firelands Community Hospital Project)
2,000,000 Franklin County General Obligation, 6.375% due 12/1/17 pre-refunded 12/1/01 @ 102 NR/NR 2,186,580
1,100,000 Hamilton County Hospital Facilities Refunding Revenue Series 1992, 6.25% due 1/1/01 Aa2/NR 1,155,550
(Episcopal Retirement Homes Project; LOC: Fifth/Third Bank)
1,820,000 Knox County Hospital Facilities Revenue Refunding, 4.10% due 6/1/02 (Knox Community NR/AA 1,817,816
Hospital Project; Insured: Asset Guaranty)
2,065,000 Knox County Hospital Facilities Revenue Refunding, 4.50% due 6/1/06 (Knox Community NR/AA 2,060,540
Hospital Project; Insured: Asset Guaranty)
315,000 Lucas County Ohio Convention Center Site Acq Bonds, 6.50% due 12/1/09 A1/NR 372,172
1,500,000 Ohio Air Quality Development Authority, 8.00% due 12/1/13 (Cleveland Project; Aaa/AAA 1,723,260
Insured: FGIC)
3,095,000 Ohio Water Development Authority Safe Water Refunding, 0% due 12/1/00 (Insured: MBIA) Aaa/AAA 2,892,804
1,060,000 Switzerland Local School District of Monroe County Revenue Anticipation Notes, 6.25% NR/NR 1,091,090
due 6/15/00
2,765,000 Warren County Hospital Facilities Improvement and Refunding Revenue, 6.80% due 7/1/01 Aa2/NR 2,897,914
(Otterbein Home Project; LOC: Fifth/Third Bank)
910,000 Washington County Hospital Facilities Revenue, 6.875% due 9/1/02 (Marietta Area Baa1/NR 966,192
Health Project)
Oklahoma (0.70%)
1,190,000 Broken Arrow Utility Systems and Sales Tax Revenue Series 1992-A, 6.00% due 5/1/01 Aaa/AAA 1,254,938
(Insured: FGIC)
200,000 Comanche County SFMR Refunding 1990 Series, 7.65% due 6/1/99 A1/NR 201,974
720,000 Grand River Dam Authority Oklahoma Revenue, 6.00% due 6/1/07 (Insured: MBIA) Aaa/AAA 816,631
1,210,000 Oklahoma City Municipal Improvement Authority Water & Sewer Revenue Series A Aaa/AAA 1,148,556
Refunding, 0% due 7/1/00 (Insured: AMBAC)
945,000 Pushmataha County Town of Antlers Hospital Authority Revenue Refunding Series 1991, NR/NR 1,040,625
8.75% due 6/1/03
1,155,000 Tulsa Industrial Development Hospital Revenue, 5.60% due 2/15/03 (St. John's Medical Aa3/AA 1,227,234
Center Project)
750,000 Tulsa Public Facilities Authority Solid Waste Steam & Electric Revenue Refunding Aaa/AAA 799,327
Series 1994, 5.45% due 11/1/04 (Ogden Martin Systems of Tulsa Project; Insured: AMBAC)
Oregon (0.60%)
2,500,000 Clackamas County Hospital Facility Authority Revenue Bonds, 6.10% due 10/1/01 A1/AA- 2,656,700
1,540,000 Clackamas County Oregon Hospital Facility Authority Revenue Refunding Series A, 5.50% NR/NR 1,548,023
due 9/15/08
1,325,000 Emerald Peoples Utility District Revenue, 7.20% due 11/1/03 (Insured: FGIC) Aaa/AAA 1,521,352
300,000 Oregon State General Obligation, 9.00% due 10/1/00 Aa2/AA 328,470
Pennsylvania (6.40%)
2,540,000 Blair County Hospital Authority Revenue, 5.375% due 7/1/06 (Altoona Hospital Project; Aaa/AAA 2,721,889
Insured: AMBAC)
3,100,000 Blair County Hospital Authority Revenue, 5.375% due 7/1/07 (Altoona Hospital Project; Aaa/AAA 3,332,903
Insured: AMBAC)
1,000,000 Chester County Utility, 7.00% due 12/15/11 pre-refunded 8/01/01 Aa2/AA 1,082,600
550,000 Clariton School District General Obligation, 0% due 11/1/99 NR/A 534,979
500,000 Clariton School District General Obligation, 0% due 11/1/02 NR/A 428,605
3,060,000 Delaware County Health Facilities Authority Revenue Series 1993-B, 5.375% due Aaa/BBB+ 3,119,823
11/15/99 (Mercy Health Corporation of S.E. Pennsylvania Project) (ETM)
6,310,000 Delaware County Industrial Development Authority Revenue Series A, 6.10% due 1/1/04 NR/A- 6,732,013
(Amer Ref - Fuel Co Project)
1,140,000 Delaware County Industrial Development Authority Revenue Series A, 6.10% due 1/1/06 NR/A- 1,231,587
(Amer Ref - Fuel Co Project)
1,950,000 Erie County Hospital Authority Revenue Hamot Health Foundation Series A, 5.00% due Aaa/AAA 2,042,020
5/15/06 (Insured: AMBAC)
2,030,000 Erie School District General Obligation, 0% due 6/1/00 (ETM) NR/AAA* 1,929,373
1,000,000 Erie School District General Obligation, 0% due 12/1/00 (ETM) NR/AAA* 933,090
1,000,000 Geisinger Authority Pennsylvania Health Systems Revenue Pennsylvania Str Geisinger Aa2/AA 1,081,980
Health Systems A, 5.50% due 8/15/09
3,365,000 Harrisburg Authority Commonwealth Lease Revenue Series 1991, 6.25% due 6/1/00 Aaa/AAA 3,498,153
(Insured: FSA)
1,300,000 Harrisburg Authority Lease Revenue, 6.50% due 6/1/04 crossover refunded 6/1/01 @ 101 Aaa/AAA 1,398,488
(Insured: FSA)
1,455,000 Mc Keesport Area School District General Obligation Refunding Revenue Series 1991, 0% NR/A 1,363,684
due 10/1/00
1,680,000 Mc Keesport Area School District General Obligation Refunding Revenue Series 1991, 0% NR/A 1,444,935
due 10/1/02
1,000,000 Montgomery County Education & Health Pottstown Healthcare Corporation, 5.50% due Aaa/AAA 1,075,630
1/1/06 (Insured: FSA)
1,055,000 Montgomery County Education & Health Pottstown Healthcare Corporation, 5.50% due Aaa/AAA 1,139,938
1/1/07 (Insured: FSA)
1,110,000 Montgomery County Education & Health Pottstown Healthcare Corporation, 5.50% due Aaa/AAA 1,203,373
1/1/08 (Insured: FSA)
450,000 New Castle Area Hospital Authority Revenue Series A, 6.20% due 11/15/02 (St. Francis A/NR 484,664
Hospital Project)
750,000 Northeastern Pennsylvania Hospital & Education Authority Health Care Revenue, 6.20% Aaa/AAA 825,893
due 1/1/04 (Wyoming Valley Health Care Series A Refunding; Insured: AMBAC)
175,000 Pennsylvania Higher Educational Facilities Authority, 5.00% due 11/15/06 ( Insured: Aaa/AAA 175,046
MBIA)
1,000,000 Pennsylvania Infrastructure Authority Revenue Pennvest, 6.25% due 9/1/02 NR/AA+ 1,080,920
2,000,000 Pennsylvania State Certificates of Participation, 5.10% due 7/1/04 (Insured: AMBAC) Aaa/AAA 2,071,680
3,000,000 Pennsylvania State Certificates of Participation Series A, 5.40% due 7/1/09 (Insured: Aaa/AAA 3,096,960
AMBAC)
715,000 Pennsylvania State High Education Facilities Authority Revenue, 6.15% due 4/1/04 (ETM) Baa3/AAA* 742,463
2,000,000 Pennsylvania State Refunding & Projects General Obligation Series A, 6.50% due 1/1/00 Aa3/AA 2,066,860
1,000,000 Philadelphia Gas Works Revenue, 5.375% due 8/1/07 (Insured: FSA) Aaa/AAA 1,070,030
665,000 Philadelphia Hospital & Higher Education Facilities Authority Hospital Revenue Series Ca/CCC 252,700
1991, 7.00% due 7/1/01 (Graduate Health Systems Project)
2,920,000 Philadelphia Parking Authority Airport Parking Revenue Series 1997, 5.50% due 9/1/04 Aaa/AAA 3,134,912
(Insured: AMBAC)
2,600,000 Philadelphia Water & Wastewater Revenue Series 1993, 4.875% due 6/15/01 (Insured: FSA) Aaa/AAA 2,673,138
500,000 Southeastern Pennsylvania Transportation Authority, 6.00% due 6/1/01 (LOC: Canadian Aa3/AA- 527,365
Imperial Bank of Commerce)
3,000,000 Southeastern Pennsylvania Transportation Authority Series 1994, 6.00% due 6/1/99 Aa3/AA- 3,036,840
(LOC: Canadian Imperial Bank of Commerce)
1,980,000 Southern Chester County Health & Higher Education Series 1997-A, 6.10% due 6/1/03 NR/NR 2,010,037
2,825,000 State Public School District Building Authority Reading School District Capital Aaa/AAA 2,674,992
Appreciation Series B, 0% due 7/15/00 (Insured: MBIA)
Puerto Rico (0.20%)
1,000,000 Puerto Rico Electric Power Revenue Refunding Series 1992-Q, 5.70% due 7/1/00 Baa1/BBB+ 1,033,210
1,000,000 Puerto Rico Municipal Finance Agency Series A, 5.70% due 7/1/03 Baa1/A- 1,072,360
250,000 Puerto Rico Public Improvement General Obligation, 6.60% due 7/1/04 pre-refunded NR/AAA 277,855
7/1/02 @ 101.5
Rhode Island (0.50%)
2,190,000 Rhode Island Depositors Economic Protection Corp. Series 1992-A, 6.10% due 8/1/02 Aaa/AAA 2,361,740
(Insured: FSA)
355,000 Rhode Island Health & Educational Building Corporation Health Facilities Revenue, NR/AAA* 378,363
8.00% due 7/1/00 (Steere House Issue Project) (ETM)
759,000 Rhode Island Industrial Facilities Corporation Series 1991, 5.875% due 6/1/02 A1/NR 788,654
(Paramount Cards, Inc. Project; LOC: Bank of Scotland)
1,500,000 Rhode Island Student Loan Authority Student Loan Rev. Ref. Series A, 6.55% due A/AAA* 1,560,825
12/1/00 (ETM)
South Carolina (0.50%)
300,000 Edgefield County School District General Obligation, 8.50% due 2/1/02 (Insured: FSA) Aaa/AAA 341,076
500,000 Florence County Public Facilities Corporation, 7.30% due 3/1/03 pre-refunded 3/1/00 Aaa/AAA 528,170
(Law Enforcement Project; Insured: AMBAC)
1,715,000 Piedmont Municipal Power Agency Electric Unrefunded Balance Series A, 6.25% due Aaa/AAA 1,905,519
1/1/05 (Insured: FGIC)
860,000 Piedmont Municipal Power Agency Electric Revenue, 6.25% due 1/1/04 (Insured: FGIC) Aaa/AAA 928,447
500,000 South Carolina State Housing Authority Multi Family Revenue, 7.375% due 12/1/07 NR/NR 490,000
915,000 York County School District 4, 7.00% due 3/1/03 (Insured: FGIC) Aaa/AAA 1,025,441
South Dakota (1.10%)
970,000 South Dakota Health and Educational Facilities Authority Revenue, 5.00% due 9/1/01 Aaa/AAA 983,017
(Rapid City Regional Hospital Project; Insured: MBIA) (when issued)
1,020,000 South Dakota Health and Educational Facilities Authority Revenue, 5.00% due 9/1/02 Aaa/AAA 1,039,074
(Rapid City Regional Hospital Project; Insured: MBIA)(when issued)
1,070,000 South Dakota Health and Educational Facilities Authority Revenue, 5.00% due 9/1/03 Aaa/AAA 1,094,963
(Rapid City Regional Hospital Project; Insured: MBIA) (when issued)
1,135,000 South Dakota Health and Educational Facilities Authority Revenue, 5.00% due 9/1/04 Aaa/AAA 1,164,329
(Rapid City Regional Hospital Project; Insured: MBIA)(when issued)
1,400,000 South Dakota Health and Educational Facilities Authority Revenue Series 1992, 5.40% Aaa/AAA 1,462,734
due 9/1/01 (Rapid City Regional Hospital Project; Insured: MBIA)
1,255,000 South Dakota Health and Educational Revenue Refunding, 5.00% due 9/1/06 (Rapid City Aaa/AAA 1,286,287
Regional Hospital Project; Insured: MBIA) (when issued)
750,000 South Dakota Health and Educational Revenue Refunding, 5.00% due 9/1/07 (Rapid City Aaa/AAA 766,508
Regional Hospital Project; Insured: MBIA)(when issued)
500,000 South Dakota Health and Educational Revenue Refunding, 5.25% due 9/1/09 (Rapid City Aaa/AAA 519,425
Regional Hospital Project; Insured: MBIA) (when issued)
1,250,000 South Dakota Lease Revenue Series 93-B, 8.00% due 9/1/03 (Insured: FSA) Aaa/AAA 1,460,650
500,000 South Dakota Lease Revenue Trust Series A, 8.30% due 9/1/01 (Insured: FSA) Aaa/AAA 557,060
Tennessee (1.30%)
5,000,000 Chattanooga-Hamilton County Hospital Revenue, 10.622% due 5/25/21 refunded 5/1/01 @ Aaa/AAA 5,850,000
102 (Erlanger Medical Center Project; Insured: FSA)
1,565,000 Clarksville Natural Gas Corporation Series 1994-A, 7.00% due 5/1/02 (Guaranty: Louis NR/BBB- 1,631,294
Dreyfus Natural Gas)
1,130,000 Clarksville Natural Gas Corporation Series 1994-A, 7.00% due 11/1/02 (Guaranty: Louis NR/BBB- 1,177,765
Dreyfus Natural Gas)
940,000 Copperhill Industrial Development Board, 7.80% due 12/1/00 (City Services Company Baa2/BBB 952,483
Project)
630,000 Metro Government Nashville Tennessee Industrial Refunding Multi Family Housing, 5.45% NR/AAA 665,267
due 11/1/26 put 11/1/06 (Insured: FNMA)
1,070,000 Southeast Tax Exempt Mortgage Bond Trust, 7.25% due 4/1/17 put 4/1/03 (Inv. NR/AAA 1,193,960
Agreement: Bayeriche Landesbank)
1,000,000 Tennessee Housing Development Agency Mortgage Finance Series A, 5.70% due 7/1/08 A1/A+ 1,048,500
Texas (5.50%)
2,500,000 Austin Utility Systems Revenue Bonds, 5.50% due 11/15/02 (Insured: FSA) Aaa/AAA 2,656,200
890,000 Bexar County Health Facilities Development Corporate Hospital Revenue, 7.40% due Aaa*/NR 920,767
5/1/00 (ETM)
1,065,000 Cypress-Fairbanks Independent School District General Obligation, 0% due 2/1/02 Aaa/AAA 943,995
(Insured: FGIC)
315,000 Dallas Waterworks & Sewer Systems Revenue, 7.10% due 4/1/99 Aa2/AA 318,169
1,300,000 Denison Hospital Authority Hospital Revenue, 5.90% due 8/15/07 (Texoma Med Center NR/BBB+ 1,366,001
Incorporated Project)
1,000,000 Denton County General Obligation, 7.75% due 7/15/02 (Insured: MBIA) Aaa/AAA 1,128,380
2,015,000 Ector County Hospital Revenue, 7.125% due 4/15/02 A2/A 2,184,320
4,000,000 Harris County Flood Control District L.T.G.O. Series 1991-A, 0% due 10/1/01 (Insured: Aaa/AAA 3,601,760
MBIA)
1,000,000 Harris County Health Facilities Dev. Corp. Hospital Revenue, 6.90% due 6/1/02 A3/NR 1,100,530
(Memorial Hospital Systems Project)
955,000 Harris County Health Facilities Hospital, 6.70% due 6/1/00 (Memorial Hospital Systems A3/NR 999,217
Project)
500,000 Harris County Health Facilities School Health Care System Rev., 6.80% due 7/1/04 Aa3/AA 546,445
(Sisters of Charity Project)
880,000 Houston Housing Finance Corp. SFMRB Series A, 5.35% due 6/1/02 (Insured: FSA) Aaa/AAA 905,485
1,000,000 Houston Water Conveyance Systems Contract Certificates of Partcipation Series F, Aaa/AAA 1,119,000
7.20% due 12/15/02 (Insured: AMBAC)
2,850,000 Humble Independent School District of Harris County Series 1992, 0% due 2/15/00 Aaa/AAA 2,738,252
(Guaranty: PSF)
1,295,000 Irving Flood Control District Section 3 Refunding Capital Appreciation, 0% due 9/1/01 Baa1/NR 1,163,376
3,765,000 Irving Independent School District Capital Appreciation, 0% due 2/15/05 (Guarantee: Aaa/AAA 2,919,117
PSF)
2,000,000 Irving Independent School District Capital Appreciation, 0% due 2/15/02 (Guarantee: Aaa/AAA 1,770,080
PSF)
500,000 Irving Independent School District Capital Appreciation, 0% due 2/15/04 (Guarantee: Aaa/AAA 406,150
PSF)
430,000 Jefferson County Health Facilities Development Corporation Hospital Revenue Series Ba1/BB 436,085
1989, 8.125% due 10/1/99 (Baptist Health Care System Project)
2,630,000 Lancaster Independent School District Unlimited Tax Refunding, 0% due 2/15/99 Aaa/AAA 2,619,638
(Guarantee: PSF)
2,230,000 Lower Colorado River Authority Jr. Lien Refunding Revenue Series 1992, 0% due 1/1/01 Aaa/AAA 2,066,251
(Insured: AMBAC)
1,600,000 Mission Consolidated Independent School, 6.50% due 2/15/08 (Guarantee: PSF) Aaa/AAA 1,870,848
1,020,000 Montgomery County Certificates Obligation, 6.00% due 3/1/07 (Insured: MBIA) Aaa/AAA 1,144,777
1,075,000 Montgomery County Certificates Obligation, 6.00% due 3/1/08 (Insured: MBIA) Aaa/AAA 1,214,524
1,000,000 North Texas Higher Education Student Loan Revenue, 6.50% due 4/1/99 (Insured: AMBAC) Aaa/AAA 1,008,310
4,600,000 Plano Capital Appreciation Refunding General Obligation, 0% due 3/1/01 Aa1/AA 4,238,808
8,630,000 Richardson Independent School District Capital Appreciation Refunding Series A, 0% Aaa/AAA 6,691,098
due 2/15/05 (Guarantee: PSF)
1,415,000 San Antonio General Obligation Improvement Forward Refunding Series 1998, 5.50% due Aa2/AA+ 1,481,420
8/1/01
885,000 Tarrant County HFC Multi Family Housing Revenue, 4.90% due 9/1/06 put 9/1/01 (Bedford NR/AA- 886,159
Springs Project; Guaranteed: Provident Mutual Life Insurance Company)
775,000 Texas Water Resources Authority Revenue, 7.50% due 8/15/01 A/A 789,818
1,255,000 Texas Water Resources Finance Authority Revenue, 7.00% due 8/15/99 (Insured: AMBAC) Aaa/AAA 1,284,944
870,000 Texas Water Resources Finance Authority Revenue, 7.40% due 8/15/00 A/A 887,426
Utah (3.00%)
1,000,000 Davis County Solid Waste Management and Recovery Rev., 5.90% due 6/15/03 (ETM) A3/A 1,052,060
6,685,000 Intermountain Power Agency Power Supply Rev., 5.50% due 7/1/00 (Insured: MBIA) Aaa/AAA 6,887,622
5,055,000 Intermountain Power Agency Power Supply Rev. Series B, 5.50% due 7/1/01 (Insured: Aaa/AAA 5,278,987
MBIA)
8,000,000 Intermountain Power Agency Revenue, 0% due 7/1/00 (ETM) Aaa/AAA 7,593,760
1,525,000 Intermountain Power Agency Utah Power Supply Revenue Series B, 0% due 7/1/05 Aaa/AAA 1,163,956
(Insured: BIG)
2,405,000 Ogden Neighborhood Development Agency Tax Increment Revenue Series A, 0% due 12/30/05 A2/NR 1,669,864
(LOC: Sumitomo Bank)
100,000 Ogden Neighborhood Development Agency Utah Tax Increment Revenue Series A, 0% due A2/NR 90,719
12/30/00 (25th Street Project: LOC: Sumitomo Bank)
600,000 Salt Lake City Municipal Building Authority Lease Revenue Series A, 5.75% due 10/15/08 A1/A+ 645,522
1,715,000 Utah Building Ownership Authority Lease Revenue Series A, 5.00% due 5/15/05 (Insured: Aaa/AAA 1,800,013
FSA)
600,000 Utah Municipal Finance Co-op Local Government Revenue, 7.10% due 6/1/00 pre-refunded Baa1/AA 610,002
6/1/99
2,000,000 Weber County Housing Authority MFHR Series 1991, 6.50% due 11/1/18 put 11/1/01 Aaa/AAA 2,136,420
(Cherry Creek Apartment Project; LOC: First Security Bank of Utah, Insured: FGIC)
Virginia (1.40%)
495,000 Hampton General Obligation Refunding Bond, 5.85% due 3/1/07 Aa3/AA 497,272
3,000,000 Hampton Redevelopment Housing Authority Multi Family Housing Refunding Series 1994, Baa1/NR 3,245,040
7.00% due 7/1/24 put 7/1/04 (Chase Hampton Apartments Project)
1,755,000 Henrico County IDA Public Facility Lease Revenue, 6.50% due 8/1/00 (Henrico County Aa2/AA 1,837,783
Regional Jail Project)
2,120,000 Newport News Refunding Series A, 5.00% due 7/1/06 Aa2/AA 2,223,732
3,000,000 Suffolk Redevelopment Housing Authority MFHR, 7.00% due 7/1/24 put 7/1/04 (Chase Baa1/NR 3,327,480
Heritage @ Dulles Project)
1,960,000 Virginia Housing Development Authority Series C-8, 5.70% due 7/1/03 Aa1/AA+ 2,062,195
255,000 Virginia Housing Development Authority Series D-4, 5.00% due 7/1/00 Aa1/AA+ 258,937
Washington (3.00%)
1,010,000 Chelan County PUD 1 Consolidated System Revenue 1992, 5.55% due 7/1/99 Aa3/AA 1,022,433
1,125,000 Chelan County PUD 1 Consolidated System Revenue 1992, 5.75% due 7/1/00 Aa3/AA 1,162,181
705,000 Grant County PUD 2, 5.00% due 1/1/05 (when issued) (Priest Rapids Hydro Project; Aaa/AAA 720,242
Insured: AMBAC)
740,000 Grant County PUD 2, 5.00% due 1/1/06 (when issued) (Priest Rapids Hydro Project; Aaa/AAA 754,060
Insured: AMBAC)
780,000 Grant County PUD 2, 5.00% due 1/1/07 (when issued) (Priest Rapids Hydro Project; Aaa/AAA 794,844
Insured: AMBAC)
1,195,000 Grant County PUD 2 Priest Rapids Hydroelectric, 6.00% due 1/1/03 (Insured: AMBAC) Aaa/AAA 1,291,245
950,000 Grant County PUD 2 Priest Rapids Hydroelectric, 6.00% due 1/1/06 (Insured: AMBAC) Aaa/AAA 1,057,046
500,000 Jefferson County Public Hospital District 2, 7.50% due 12/1/03 (Insured: FGIC) Aaa/AAA 579,320
725,000 Spokane County School District 363 Unlimited Tax G.O. Refunding Series 1992, 5.40% A2/NR 751,020
due 12/1/00
550,000 Tacoma Conservation Systems Project Revenue, 6.20% due 1/1/06 (Tacoma Public Aa1/AA- 610,885
Utilities)
1,345,000 Washington Health Care Facilities Authority Pooled Equipment Series 1992-A, 7.35% due A3/NR 1,374,294
6/1/02 (Dominican Health Project)
3,500,000 Washington Public Power Supply System Project 1 Ref. Rev., 5.30% due 7/1/02 Aa1/AA- 3,660,020
2,000,000 Washington Public Power Supply System Project 1 Ref. Rev., 6.50% due 7/1/02 Aa1/AA- 2,157,560
850,000 Washington Public Power Supply System Project 1 Ref. Rev., 6.50% due 7/1/03 Aa1/AA- 916,538
250,000 Washington Public Power Supply System Project 2 Ref. Rev., 7.50% due 7/1/02 Aa1/AA- 271,583
2,000,000 Washington Public Power Supply System Project 2 Ref. Rev., 7.50% due 7/1/03 Aa1/AA- 2,188,100
pre-refunded 1/1/01 @ 102
1,140,000 Washington Public Power Supply System Project 3 Ref. Rev., 0% due 7/1/08 Aa1/AA- 745,583
1,750,000 Washington Public Power Supply System Project Series 1991-A, 6.50% due 7/1/03 Aa1/AA- 1,889,160
1,655,000 Washington Public Power Supply System Series 96-A, 6.00% due 7/1/06 (Insured: MBIA) Aaa/AAA 1,838,225
1,000,000 Washington Public Power Supply System Series B, 7.25% due 7/1/00 Aa1/AA- 1,053,410
1,700,000 Washington Public Power Supply System Series B Refunding, 7.15% due 7/1/01 Aa1/AA- 1,788,400
500,000 Washington Public Power Supply System Series C, 7.20% due 7/1/99 Aa1/AA- 510,180
1,040,000 Washington Public Power Supply System Series G Project 1 Rev., 7.15% due 7/1/01 Aa1/AA- 1,094,080
550,000 Washington State Certificates of Participation State Equipment Series A, 6.40% due Aa3/AA- 569,756
4/1/00
245,000 Washington State Certificates of Participation State Equipment Series A, 6.50% due Aa2/A+ 252,306
10/1/01
500,000 Washington State Health Care Facilities Authority Rev., 6.20% due 2/15/01 (Sacred NR/AA- 523,750
Heart Medical Center, Spokane Project)
West Virginia (1.20%)
790,000 Harrison County Nursing Facility Revenue Refunding, 5.625% due 9/1/10 (Salem Health NR/NR 786,461
Care Corporation Project; LOC: Fleet Bank)
596,488 Marion County SFMR Series 1992, 7.75% due 7/10/11 NR/NR 649,802
5,000,000 West Virginia Parkway Economic Development Tourism Authority Series 1993, 4.89% due Aaa/AAA 5,231,450
5/15/01 (Insured: FGIC) (Inverse Floater)
2,500,000 West Virginia Parkway Economic Development Tourism Authority Series 1993, 4.99% due Aaa/AAA 2,638,650
5/15/02 (Insured: FGIC) (Inverse Floater)
2,000,000 West Virginia Statewide Commission Lottery Revenue Series 1997-A, 5.50% due 7/1/05 Aaa/AAA 2,163,100
(Insured: MBIA)
Wisconsina (1.10%)
490,000 Cady Small Business Pollution Control Revenue Refunding Series 1992, 6.20% due 4/1/00 NR/NR 497,218
(Summit Cheese Project; Guaranteed: SBA)
1,000,000 Eau Claire Area School District, 7.625% due 4/1/04 A1/NR 1,165,360
1,290,000 Merrill Area Common Public School Refunding, 6.50% due 4/1/06 (Insured: FSA) Aaa/AAA 1,466,356
3,045,000 Wisconsin Health & Educational Facilities Authority, 5.75% due 11/15/01 (Insured: FSA) Aaa/AAA 3,210,313
800,000 Wisconsin Health & Educational Facilities Authority, 5.90% due 8/15/05 (Wheaton Aaa/AAA 878,552
Francisan Services Inc. Project; Insured: MBIA)
1,500,000 Wisconsin Health & Educational Facilities Authority Series 1992, 5.50% due 8/15/01 Aaa/AAA 1,565,595
(Wheaton Francisan Services Inc. Project; Insured: MBIA)
715,000 Wisconsin Health And Educational Facilities Authority Revenue, 5.25% due 12/15/06 Aaa/AAA 761,875
(United Health Group Incorporated; Insured: AMBAC)
755,000 Wisconsin Health And Educational Facilities Authority Revenue, 5.25% due 12/15/07 Aaa/AAA 806,151
(United Health Group Incorporated; Insured: AMBAC)
Wyoming (0.30%)
1,192,199 Evanston Industrial Development Revenue Series 1983, 9.90% due 4/1/04 (Wybanco A2*/A+* 1,237,001
Project; LOC: Texas Commerce Bank)
1,390,000 Uinta County School District Number 1 Refunding Series B Convertible, 5.00% due NR/AA 1,449,492
12/1/05 (Insured: Asset Guarantee)
Municipal Trust (0.30%)
Certificates
3,000,000 Clipper Caraval Tax Exempt Certificate Series 1998 1 Certificate Class A 4, 4.50% due Aaa/AAA 3,000,000
10/6/05 (Insured: AMBAC)
TOTAL INVESTMENTS(Cost $934,631,718)** $970,869,700
<FN>
See notes to unaudited financial statements.
</FN>
</TABLE>
